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: (888) 454-3965
Date of fiscal year end:
August 31
Date of reporting period:
August 31, 2022
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
The following is a copy of the Registrant’s annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30e-1).
Morgan Stanley
Pathway Funds
Annual Report
| • | | Small-Mid Cap Equity Fund |
| • | | International Equity Fund |
| • | | Emerging Markets Equity Fund |
| • | | International Fixed Income 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
Table of Contents
Morgan Stanley Pathway Funds
DEAR SHAREHOLDER,
Global equity market returns were negative during the twelve-month period ending August 31, 2022. U.S. markets as measured by the S&P 500® Index i declined -11.23%, while developed international markets represented by the MSCI EAFE® Index (Net) viii declined -15.88% and emerging markets as measured by the MSCI Emerging Markets Index (Net) xi declined -21.80%.
During the trailing 12 months ending August 31, 2022, growth stocks underperformed value, both domestically and abroad. The U.S. large-cap Russell 1000® Growth Index iii declined -19.06% compared to the Russell 1000® Value Index iv which declined -6.23%. The US small-cap Russell 2000® Growth Index vi declined -25.26% compared to a decline of -10.18% for the Russell 2000® Value Index vii. In developed international markets the MSCI EAFE® Growth Index ix declined -25.77% compared to a decline of -13.91% for the MSCI EAFE® Value Index x. Within emerging markets, the MSCI Emerging Markets Growth Index (Net) xii declined -25.72% compared to a decline of -17.49% for the MSCI Emerging Markets Value Index (Net) xiii.
Within the United States, three out of the eleven S&P 500® Index i sectors posted positive results. The returns were as follows: Energy (+75.77%), Utilities (+11.72%), Consumer Staples (+4.08%), Health Care (-6.30%), Real Estate (-9.69%), Industrials (-9.70%), Materials (-10.08%), Financials (-12.37%), Information Technology (-14.35%), Consumer Discretionary (-16.17%) and Communication Services (-35.19%).
Fixed income markets also produced negative returns during the same twelve-month period. Broad investment grade indices such as the Bloomberg U.S. Aggregate BondTM Index xv declined -11.52% and the Bloomberg Global Aggregate Bond Index xvi declined -17.61%. U.S. high yield as measured by the Bloomberg U.S. Corporate High Yield Bond Index xvii declined -10.60%.
Morgan Stanley & Co. economists expect U.S. real GDP to grow 1.7%% in 2022 and 1.3% in 2023. The forecast for global real GDP growth is 2.6% in 2022 and 2.8% in 2023.
Morgan Stanley Pathway Funds
(Returns are for the fiscal one-year period ending August 31, 2022)
The Large Cap Equity Fund declined -15.44% compared to a decline of -12.96% for Russell 1000® Index ii. The return of the Lipper Large-Cap Core Funds Average xxii declined -13.02%.
The Small-Mid Cap Equity Fund declined -15.89% compared to a decline of -15.54% for Russell 2500® Index v. The return of the Lipper Small-Cap Core Funds Average xxiii declined -11.27%.
The International Equity Fund declined -21.37% compared to a decline of -19.80% for the MSCI EAFE® Index (Net) viii. The return of the Lipper International Large-Cap Core Funds Average xxiv declined -19.05%.
The Emerging Markets Equity Fund declined -25.82% compared to a decline of -21.80% for the MSCI Emerging Markets Index (Net) xi. The return of the Lipper Emerging Markets Funds Average xxv declined -25.92%.
The Core Fixed Income Fund declined -12.86% compared to a decline of -11.52% for the Bloomberg U.S. Aggregate BondTM Index xv. The return of the Lipper Core Bond Funds Average xxvi declined -11.94%.
The High Yield Fund declined -10.88% compared to a decline of -10.60% for the Bloomberg U.S. Corporate High Yield Bond Index xvii. The return of the Lipper High Yield Funds Average xxvii declined -9.94%.
The International Fixed Income Fund declined -11.54% compared to a decline of -10.76% for the FTSE Non-USD World Government Bond Index (USD) Hedged xx. The return of the Lipper International Income Funds Average xxviii declined -16.62%.
I
The Municipal Bond Fund declined -8.91% compared to decline of -8.63% for the Bloomberg U.S. Municipal Bond Index xix. The return of the Lipper General & Insured Municipal Debt Funds Average xxix declined -10.24%.
The Inflation-Linked Fixed Income Fund declined -6.55% compared to a decline of -5.98% for the Bloomberg U.S. Treasury Inflation Protected Securities (TIPS) Index xviii. The return of the Lipper Inflation Protected Bond Funds Average xxx declined -4.71%.
The Ultra-Short Term Fixed Income Fund declined -0.92% compared to a gain of 0.44% for the FTSE 3-Month U.S. Treasury Bill Index xiv. The return of the Lipper Ultra-Short Obligations Funds Average xxxi declined -0.92%.
The Alternative Strategies Fund declined -2.06% compared to a decline of -3.93% for the HFRX Global Hedge Fund Index xxi. The return of the Lipper Alternative Multi-Strategy Funds Average xxxii declined -2.85%.
Additional information regarding the investment managers of the Morgan Stanley Pathway Funds and commentary specific to each individual Sub-adviser is available in the Annual Report following this Shareholder Letter.
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.
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.
III
| | | | |
Performance of the Morgan Stanley Pathway Funds For the Year Ended August 31, 2022†* | | | |
| |
| Large Cap Equity Fund | | | -15.44 | % |
Russell 1000® Index (ii) | | | -12.96 | % |
| |
| Small-Mid Cap Equity Fund | | | -15.89 | % |
Russell 2500® Index (v) | | | -15.54 | % |
| |
| International Equity Fund | | | -21.37 | % |
MSCI EAFE® Index (Net) (viii) | | | -19.80 | % |
| |
| Emerging Markets Equity Fund | | | -25.82 | % |
MSCI Emerging Markets Index (Net) (xi) | | | -21.80 | % |
| |
| Core Fixed Income Fund | | | -12.86 | % |
Bloomberg U.S. Aggregate BondTM Index (xv) | | | -11.52 | % |
| |
| High Yield Fund | | | -10.88 | % |
Bloomberg U.S. Corporate High Yield Bond Index (xvii) | | | -10.60 | % |
| |
| International Fixed Income Fund | | | -11.54 | % |
FTSE Non-USD World Government Bond Index (USD) Hedged (xx) | | | -10.76 | % |
| |
| Municipal Bond Fund | | | -8.91 | % |
Bloomberg U.S. Municipal Bond Index (xix) | | | -8.63 | % |
| |
| Inflation-Linked Fixed Income Fund | | | -6.55 | % |
Bloomberg U.S. Treasury Inflation Protected Securities (TIPS) Index (xviii) | | | -5.98 | % |
| |
| Ultra-Short Term Fixed Income Fund | | | -0.92 | % |
FTSE 3-Month U.S. Treasury Bill Index (xiv) | | | 0.44 | % |
| |
| Alternative Strategies Fund | | | -2.06 | % |
HFRX Global Hedge Fund Index (xxi) | | | -3.93 | % |
See pages 25 through 29 for all footnotes.
IV
Large Cap Equity Fund
|
| ABOUTTHE SUB-ADVISERS |
|
• ClearBridge Investments, LLC (“ClearBridge”) |
| ClearBridge is a wholly-owned subsidiary of Legg Mason, Inc., a financial services holding company. The Portfolio Managers for the ClearBridge Large Cap Growth strategy utilize a fundamental, bottom-up research approach that emphasizes company analysis, management and stock selection. ClearBridge invests in large capitalization companies that it believes are dominant in their industries due to product, distribution or service strength. ClearBridge emphasizes individual security selection while diversifying the Fund’s investments across industries, which may help to reduce risk. ClearBridge attempts to identify established large capitalization companies with the highest growth potential, then analyze each company in detail, ranking its management, strategy and competitive market position. The Portfolio Managers pursue a collaborative approach in which both they and the research analysts propose companies with attractive business models and good long-term growth prospects for further review. The team is particularly valuation conscious, gravitating toward “controversy”, or companies that are temporarily inefficiently priced. |
|
• Columbia Management Investment Advisers, LLC (“Columbia”) |
| Columbia uses a combination of fundamental and quantitative analysis with risk management, including cross-correlation analysis, in identifying investment opportunities and constructing it’s portion of the Fund’s portfolio. In selecting investments, Columbia considers, among other factors: |
|
| · overall economic and market conditions; and |
|
| · the financial condition and management of a company, including its competitive position, the quality of its balance sheet and earnings, its future prospects, and the potential for growth and stock price appreciation. |
| Columbia may sell a security when the security’s price reaches a target set by Columbia; if Columbia believes that there is deterioration in the issuer’s financial circumstances or fundamental prospects; if other investments are more attractive; or for other reasons. |
|
• BlackRock Financial Management, Inc. (“BlackRock”) |
| BlackRock employs a “passive” management approach, attempting to invest in a portfolio |
As of August 31, 2022 the Sub-advisers for Morgan Stanley Pathway Large Cap Equity Fund (“Fund”) were BlackRock Financial Management, Inc. (“BlackRock”), Columbia Management Investment Advisers, LLC (“Columbia”), Lazard Asset Management, LLC (“Lazard”), Delaware Investments Fund Advisers (“MIM”), Lyrical Asset Management LP (“Lyrical”) and ClearBridge Investments, LLC (“ClearBridge”).
For the fiscal year ending August 31, 2022, the Fund returned -15.44% compared to -12.96% for Russell 1000® Index ii. The Fund’s positioning within industrials and real estate had the largest positive impact on relative performance while positioning within information technology and energy had the largest negative impact. The top contributors included Dollar Tree, ConocoPhillips and Exxon Mobil, while the top detractors included Meta Platforms, Alphabet and Amazon.
The Fund’s dividend yield was 1.40%, less than the benchmark’s 1.57% dividend yield. The Fund’s one year forward price to earnings ratio (P/E) was 17.1, slightly less than the benchmark which was 17.2. The estimated earnings per share growth over the next 3-5 years was 13.9%, slightly higher than the benchmark’s 12.7% growth rate. The top 10 positions accounted for 19% of the Fund’s holdings and included Apple, Microsoft, Amazon, Alphabet and Visa.
During the fiscal one-year period, BlackRock performed in-line with the Russell 1000® Index ii, which matched its passive mandate to track the index.
The portion of the Fund managed by Lazard outperformed their benchmark during the fiscal one-year period. The top contributing sector was consumer discretionary, while the largest detractor was health care. The top contributors were Dollar Tree, LKQ, and Sysco, while the top detractors were Alphabet, S&P Global and Medtronic. As of August 31, 2022, Lazard’s top ten positions represented 62% of their portfolio.
The portion of the Fund managed by MIM outperformed their benchmark during the fiscal one-year period. The top contributing sector was consumer discretionary, while energy was the largest detractor. The top contributors were Dollar Tree, Archer-Daniels-Midland and ConocoPhillips, while the top detractors were Comcast, Walt Disney and Baxter International. As of August 31, 2022, MIM’s top ten positions represented 33% of their portfolio.
The portion of the Fund managed by Lyrical trailed their benchmark during the fiscal one-year period. The top contributing sector was health care, while consumer discretionary was the largest detractor. The top contributors were Lear, Suncor Energy and Centene, while the top detractors were eBay, Lincoln National and Uber Technologies. As of August 31, 2022, Lyrical’s top ten positions represented 48% of their portfolio.
The portion of the Fund managed by ClearBridge trailed their benchmark during the fiscal one-year period. The top contributing sector was health care, while information technology was their largest detractor. The top contributors were Home Depot, UnitedHealth Group and W.W. Grainger, while the top detractors were Meta Platforms, Netflix and Amazon. As of August 31, 2022, ClearBridge’s top ten positions represented 47% of their portfolio.
1
|
| of assets whose performance is expected to match approximately the performance of the Russell 1000® Index. The Fund will be substantially invested in securities in the Russell 1000® Index, and will invest, under normal circumstances, at least 80% of its assets in securities or other financial instruments that are components of or have economic characteristics similar to the securities included in the Russell 1000® Index. |
|
• Lazard Asset Management, LLC (“Lazard”) |
| Lazard, an indirect, wholly-owned subsidiary of Lazard Ltd., is known for its global perspective on investing and years of experience with global, regional and domestic portfolios. With more than 300 investment personnel worldwide, Lazard offers investors of all types an array of equity, fixed income, and alternative investment solutions from its network of local offices in ten different countries. Its team-based approach to portfolio management helps Lazard to deliver robust and consistent performance over time, and strong client relationships allow them to understand how to employ their capabilities to its clients’ advantage. Lazard manages an all cap, concentrated strategy designed to leverage the best collection of ideas from the U.S. Equity team. It is benchmark-agnostic, seeking to outperform any broad-based market index (i.e., S&P 500® Index, Russell 1000® Index, Russell 3000® Index) by investing in companies that compound earnings and capital and by taking advantage of valuation anomalies. |
|
• Delaware Investments Fund Advisers, a member of Macquarie Investment Management Business Trust (“MIM”) |
| MIM will invest under normal circumstances, at least 80% of its net assets, plus the amount of any borrowings for investment purposes, in securities of large-capitalization companies. MIM invests primarily in securities of large-capitalization companies that the Manager believes have long-term capital appreciation potential. MIM currently defines large-capitalization stocks as those with market capitalizations of $5 billion or greater at the time of purchase. Typically, the Manager seeks to select securities that it believes are undervalued in relation to their intrinsic value, as indicated by multiple factors, including the earnings and cash flow potential or the asset value of the respective issuers. The Manager also considers a company’s plans for future operations on a selective basis. The Manager may sell a security if it no longer believes the security will contribute to meeting the investment objective of the Fund. |
|
• Lyrical Asset Management LP (“Lyrical”) |
| Lyrical employs a deep value style with a high quality focus. Lyrical employs a value investing philosophy and believes that a portfolio of companies with low valuations relative to their long-term normalized earnings power will outperform the overall market over time and unlike some traditional value investors who |
The portion of the Fund managed by Columbia trailed their benchmark during the fiscal one-year period. Positioning was strongest within industrials and weakest within information technology. The top contributors were Eli Lilly, Sarepta Therapeutics and Quanta Services, while the top detractors were Match Group, Align Technology and RingCentral. As of August 31, 2022, Columbia’s top ten positions represented 41% of their portfolio.
2
|
| are willing to own any business at the right price, Lyrical’s philosophy is to invest only in businesses that it believes are of good quality. Lyrical invests only in the common stock of companies within its investable universe, which is the top 1,000 U.S. listed stocks by market capitalization. |
The following graph depicts the performance of the Russell 1000® Indexii vs. the Lipper Large-Cap Core Funds Averagexxii
|
HISTORICAL PERFORMANCE FOR THE TEN-YEAR PERIOD ENDED AUGUST 31, 2022 LARGE CAP EQUITY FUND Comparison of $10,000 Investment in the Fund with the Russell 1000® Index
and the Lipper Large-Cap Core Funds Average |
The performance shown above and below represents past performance. Past performance is no guarantee of future results and current performance may be higher or lower than the performance shown above and below. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would have been lower. Principal value and investment returns will fluctuate and investors’ shares, when redeemed, may be worth more or less than their original cost. To obtain performance data current to the most recent month-end, please visit our website at www.morganstanley.com/wealth-investmentsolutions/cgcm.
The graph above and returns shown below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
| | | | | | | | | | | | | | | | | | | | | | |
| | | LARGE CAP EQUITY FUND Average Annual Total Returns for the Period Ended August 31, 2022† |
| | | | | Without
Annual
Advisory
Program
Fee | | With
Annual
Advisory
Program
Fee* | | Russell
1000®
Index** | �� | Lipper
Large-Cap
Core Funds
Average** |
| | Since Inception 11/18/1991 | | | | 8.52 | % | | | | 6.52 | % | | | | 10.05 | % | | | | N/A | |
| | 10 years | | | | 11.55 | | | | | 8.81 | | | | | 12.98 | | | | | 11.96 | % |
| | 5 years | | | | 9.79 | | | | | 7.19 | | | | | 11.61 | | | | | 10.77 | |
| | 3 years | | | | 9.82 | | | | | 7.28 | | | | | 12.14 | | | | | 11.07 | |
| | | 1 year | | | | -15.44 | | | | | -17.11 | | | | | -12.96 | | | | | -13.02 | |
See pages 25 through 29 for all footnotes.
3
Small-Mid Cap Equity Fund
|
| ABOUTTHE SUB-ADVISERS |
|
• Neuberger Berman Investment Advisers LLC (“Neuberger”) |
| Neuberger employs in-depth research to identify out-of-favor small cap companies selling at a significant discount to intrinsic value, where there is a dynamic plan or event that is expected to both enhance value and narrow the price/value gap. Neuberger’s analysts seek to invest when there is a true disconnect between reality and market perception — something that occurs regularly in particular types of companies. For example, we believe the market tends to demonstrate inefficiency in pricing companies with complex corporate structures since many investors will not take the time to understand them. Neuberger’s valuation approach resembles the due diligence effort that Neuberger’s a private equity firm might employ to evaluate the purchase of an entire company. Neuberger’s analysts also focus on investing in businesses where management has a significant ownership stake as, in our view, such companies tend to be more aligned with shareholders’ interests. |
|
• Westfield Capital Management Company, L.P. (“Westfield”) |
| Westfield favors investing in earnings growth stocks given a conviction that stock prices follow earnings progress and that they offer the best opportunity for superior real rates of return. Reasonably priced stocks of companies with high foreseen earnings potential are best identified through in-depth, fundamental research. It is Westfield’s belief that the small capitalization portion of the market is under-researched, and therefore less efficient, than the large capitalization sector. |
|
• BlackRock Financial Management, Inc. (“BlackRock”) |
| BlackRock Financial Management, Inc. employs a “passive” management approach, attempting to invest in a portfolio of assets whose performance is expected to match approximately the performance of the Russell 2500® Index. The Fund will be substantially invested in securities in the Russell 2500® Index, and will invest, under normal circumstances, at least 80% of its assets in securities or other financial instruments that are components of or have economic characteristics similar to the securities included in the Russell 2500® Index. |
As of August 31, 2022, the Sub-advisers for the Morgan Stanley Pathway Small-Mid Cap Equity (“Fund”) were BlackRock Financial Management, Inc. (“BlackRock”), Aristotle Capital Boston, LLC (“Aristotle”), D.F. Dent & Company, Inc. (“DF Dent”), Neuberger Berman Investment Advisers LLC (“Neuberger”), Nuance Investments, LLC (“Nuance”), Westfield Capital Management Company, L.P. (“Westfield”).
For the fiscal year ending August 31, 2022, the Fund returned -15.89% compared to -15.54% for Russell 2500® Index v. The Fund’s positioning within industrials and consumer discretionary had the largest positive impact on relative performance while positioning within energy and materials had the largest negative impact. The top contributors included Cal-Maine Foods, Devon Energy and Range Resources, while the top detractors included Cable One, Charles River Laboratories International and Illumina.
The Fund’s dividend yield was 1.18%, less than the benchmark’s 1.40% yield. The Fund’s forward P/E was 14.1, higher than the benchmark which was 12.3. The estimated earnings per share growth over the next 3-5 years was 12.6%, higher than the benchmark’s 11.9% growth rate. The top 10 positions accounted for 7% of the Fund’s holdings and included Baxter International, WillScot Mobile Mini Holdings, Acadia Healthcare Company, Dentsply Sirona and Alleghany.
During the fiscal one-year period, BlackRock performed in-line with the Russell 2500® Index v, which matched its passive mandate to track the index.
The portion of the Fund managed by Neuberger trailed their benchmark during the fiscal one-year period. Their positioning was strongest in real estate and weakest in information technology. The top contributors were Devon Energy, Acadia Healthcare Company and Molina Healthcare, while the top detractors were Charles River Laboratories International, Resideo Technologies and Harsco. As of August 31, 2022, Neuberger’s top ten positions represented 26% of their portfolio.
The portion of the Fund managed by Westfield outperformed their benchmark during the fiscal one-year period. Their positioning was strongest in health care and weakest in materials. The top contributors were PDC Energy, Turning Point Therapeutics and Option Care Health, while the top detractors were National Vision Holdings, Tandem Diabetes Care and Azenta. As of August 31, 2022, Westfield’s top ten positions represented 26% of their portfolio.
The portion of the Fund managed by Aristotle outperformed their benchmark during the fiscal one-year period. Their positioning was strongest in industrials and weakest in energy. The top contributors were Range Resources, NexTier Oilfield Solutions, and Acadia Healthcare Company, while the top detractors were 1-800-Flowers.com, Herbalife Nutrition and Charles River Laboratories International. As of August 31, 2022, Aristotle’s top ten positions represented 19% of their portfolio.
The portion of the Fund managed by DF Dent trailed their benchmark during the fiscal one-year period. Positioning was strongest in industrials and weakest in information technology. The top contributors were UTZ Brands, WillScot Mobile
4
|
• D.F. Dent & Company, Inc (“DF Dent”) |
| DF Dent employs a bottom-up, fundamental process that seeks companies that are consistent growers, have strong management and are unrecognized and under-researched. The strategy looks for companies with above-average EPS growth expectations, high returns on investment, sustainable free cash flow growth, a competitive advantage and attractive relative valuations. |
|
• Nuance Investments, LLC (“Nuance”) |
| Nuance seeks to invest in companies with leading and sustainable market share positions and above-average financial strength that are trading at discounts to Nuance’s calculation of intrinsic value. Through analysis of companies’ financial statements, management strategy, and competitive positioning, Nuance attempts to provide excess returns over time. |
|
• Aristotle Capital Boston, LLC (“Aristotle”) |
| Aristotle seeks to deliver a diversified, high quality portfolio that can deliver attractive risk-adjusted results primarily driven by stock selection. They focus on companies they believe have low expectations, can create shareholder value, and have high potential for improved growth and profitability. |
Mini Holdings and Waste Connections, while the top detractors were Cable One, Wayfair and Illumina. As of August 31, 2022, DF Dent’s top ten positions represented 38% of their portfolio.
The portion of the Fund managed by Nuance outperformed their benchmark during the fiscal one-year period. Positioning was strongest in financials and weakest in health care. The top contributors were Cal-Maine Foods, Alleghany and W.R. Berkley, while the top detractors were Beiersdorf AG, Smith & Nephew PLC and Baxter International. As of August 31, 2022, Nuance’s top ten positions represented 43% of their portfolio.
5
The following graph depicts performance of the Russell 2500® Indexv vs. the Lipper Small-Cap Core Funds Averagexxiii
|
HISTORICAL PERFORMANCE FOR THE TEN-YEAR PERIOD ENDED AUGUST 31, 2022 SMALL-MID CAP EQUITY FUND Comparison of $10,000 Investment in the Fund with the Russell 2500® Index
and the Lipper Small-Cap Core Funds Average |
The performance shown above and below represents past performance. Past performance is no guarantee of future results and current performance may be higher or lower than the performance shown above and below. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would have been lower. Principal value and investment returns will fluctuate and investors’ shares, when redeemed, may be worth more or less than their original cost. To obtain performance data current to the most recent month-end, please visit our website at www.morganstanley.com/wealth-investmentsolutions/cgcm.
The graph above and returns shown below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
| | | | | | | | | | | | | | | | | | | | | | |
| | | SMALL-MID CAP EQUITY FUND Average Annual Total Returns for the Period Ended August 31, 2022† |
| | | | | Without
Annual
Advisory
Program
Fee | | With
Annual
Advisory
Program
Fee* | | Russell
2500®
Index** | | Lipper
Small-Cap
Core Funds
Average** |
| | Since Inception 11/18/1991 | | | | 8.91 | % | | | | 6.90 | % | | | | 10.48 | % | | | | N/A | |
| | 10 years | | | | 9.84 | | | | | 7.14 | | | | | 10.96 | | | | | 9.52 | % |
| | 5 years | | | | 8.14 | | | | | 5.57 | | | | | 8.54 | | | | | 6.76 | |
| | 3 years | | | | 8.89 | | | | | 6.38 | | | | | 9.57 | | | | | 9.25 | |
| | | 1 year | | | | -15.89 | | | | | -17.56 | | | | | -15.54 | | | | | -11.27 | |
See pages 25 through 29 for all footnotes.
6
International Equity Fund
|
| ABOUTTHE SUB-ADVISERS |
|
• Victory Capital Management, Inc. (“Victory Capital”) |
| Victory Capital’s investment franchise, Trivalent Investments, employs a bottom-up investment approach that emphasizes individual stock selection. The investment process uses a combination of quantitative and traditional qualitative, fundamental analysis to identify stocks with low relative price multiples and positive trends in earnings forecasts. The stock selection process is designed to produce a diversified portfolio that, relative to the S&P Developed ex-U.S. Small Cap Index, tends to have a below average price-to-earnings ratio and an above average earnings growth trend. |
|
• Causeway Capital Management LLC (“Causeway”) |
| Causeway’s international developed market investment philosophy is based on a long-term value strategy and the investment team applies an active, bottom-up, research-intensive approach towards stock selection. Causeway’s investment approach seeks to identify under-priced stocks of high quality companies believed to be exhibiting superior financial strength as compared to peers. In addition to fundamental analysis, quantitative research is considered an integral part of the process and is used for screenings of investment candidates as well as risk management. Portfolio managers work as a team to make investment decisions and are supported by the firm’s dedicated fundamental and quantitative research analysts. Analysts and portfolio managers are assigned global industryspecific research responsibilities. Fundamental research is further organized into six research clusters: financials/materials, consumer, industrial/ manufacturing, energy, technology and health care. Causeway’s unconstrained, international established market value equity approach invests in a variety of market capitalization ranges, but primarily in large- and midcapitalization non-U.S. developed market companies. Causeway can also invest in smallcap issues and less developed emerging markets. Value-driven security characteristics may include low price/earnings ratio, low price/ book ratio, low price/cash flow ratio and high dividend yield, but may also include outof- favor companies that may have high rates of growth of earnings. Sector and regional weights are byproducts of the investment process. |
As of August 31, 2022, the Sub-advisers for the Morgan Stanley Pathway International Equity Fund (“Fund”) were BlackRock Financial Management Inc. (“BlackRock”), Causeway Capital Management, LLC (“Causeway”), Schroders Investment Management North America, Inc. (“Schroders”), Victory Capital Management, Inc. (“Victory Capital”) and Walter Scott & Partners Limited (“Walter Scott”).
For the fiscal year ending August 31, 2022, the Fund returned -21.37% compared to -19.80% for the MSCI EAFE® Index (Net) viii. The Fund’s positioning within energy and consumer staples had the largest positive impact on relative performance, while the positioning within industrials and materials had the largest negative impact. Top contributors included Compagnie Financiere Richemont, TotalEnergies SE and Shell PLC, while the top detractors included Prudential, Rolls-Royce Holdings and SAP SE.
The Fund’s offered a dividend yield of 2.9% compared to the benchmark of 3.3%. On a valuation basis, the Fund’s forward P/E was 12.7, higher than the benchmark which was 11.7. The estimated earnings per share growth over the next 3-5 years was 14.0%, compared to the benchmark of 9.9%. The top ten positions accounted for 15% of the Fund and included Roche Holdings, SAP SE, Nestle, Novartis and AstraZeneca.
During the fiscal one-year period ending August 31, 2022, BlackRock performed in-line with the MSCI EAFE® Index (Net) viii, which matched its passive mandate to track the index.
The portion of the Fund managed by Causeway outperformed their benchmark during the fiscal one-year period. Their positioning was strongest in energy and weakest in materials. The top positions contributing to performance included Compagnie Financiere Richemont, TotalEnergies and BP PLC, while the top detractors included Prudential, Rolls-Royce Holdings and SAP SE. As of August 31, 2022, Causeway’s top ten positions represented 30% of their portfolio.
The portion of the Fund managed by Schroders trailed their benchmark during the fiscal one-year period. Overall positioning was strongest in energy and weakest in industrials. The top positions contributing to performance were Equinor ASA, Shell PLC and BOC Hong Kong (Holdings) LTD., while the top detractors included Zalando SE, Sony Group and Siemens AG. As of August 31, 2022, Schroders’ top ten positions represented 24% of their portfolio.
The portion of the Fund managed by Victory Capital trailed their benchmark during the fiscal one-year period. Overall positioning was strongest in information technology and weakest in health care. The top positions contributing to performance included ARC Resources, Rheinmetall AG and Kintetsu Word Express, while the top detractors included Future PLC, Faurecia Societe Europeenne and Osstem Implant Co. As of August 31, 2022, Victory Capital’s top ten positions represented 10% of their portfolio.
7
|
• BlackRock Financial Management, Inc. (“BlackRock”) |
| BlackRock Financial Management, Inc. employs a “passive” management approach, attempting to invest in a portfolio of assets whose performance is expected to match approximately the performance of the MSCI EAFE® Index (Net). The Fund will be substantially invested in securities in the MSCI EAFE® Index (Net), and will invest, under normal circumstances, at least 80% of its assets in securities or other financial instruments that are components of or have economic characteristics similar to the securities included in the MSCI EAFE® Index (Net). |
|
• Schroders Investment Management North America, Inc. (“Schroders”) |
| Schroders uses a bottom-up growth oriented approach towards stock selection and employs a fundamental, research driven process to identify quality growth companies with attractive medium-term growth and valuation, quality management and financial position, and a sustainable competitive advantage. Schroders “best ideas” portfolio blends both core and opportunistic holdings. |
|
• Walter Scott & Partners Limited (“Walter Scott”) |
| Walter Scott is considered growth-oriented strategy focusing on long-term high-quality growth companies. The root of the process lies with the team’s ability to identify companies capable of sustaining what it believes are exceptional rates of internal and external wealth generation through intensive fundamental research. Portfolio shape is a result of stock selection in high-conviction businesses with a long-term time horizon. |
The portion of the Fund managed by Walter Scott trailed their benchmark during the fiscal one-year period. Overall positioning was strongest in consumer staples and weakest in financials. The top positions contributing to performance included Compass Group PLC, Alimentation Couche-Tard and TotalEnergies SE, while the top detractors included Adidas AG, Prudential and Kone Oyj. As of August 31, 2022, Walter Scott’s top ten positions represented 28% of their portfolio.
8
The following graph depicts the performance of MSCI EAFE® Index (Net)viii vs. the Lipper International Large-Cap Core Funds Averagexxiv
|
HISTORICAL PERFORMANCE FOR THE TEN-YEAR PERIOD ENDED AUGUST 31, 2022 INTERNATIONAL EQUITY FUND Comparison of $10,000 Investment in the Fund with the Morgan Stanley Capital International Europe, Australasia, Far
East (MSCI EAFE®) Index (Net) and the Lipper International Large-Cap Core Funds Average |
The performance shown above and below represents past performance. Past performance is no guarantee of future results and current performance may be higher or lower than the performance shown above and below. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would have been lower. Principal value and investment returns will fluctuate and investors’ shares, when redeemed, may be worth more or less than their original cost. To obtain performance data current to the most recent month-end, please visit our website at www.morganstanley.com/wealth-investmentsolutions/cgcm.
The graph above and returns shown below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
| | | | | | | | | | | | | | | | | | | | | | |
| | | INTERNATIONAL EQUITY FUND Average Annual Total Returns for the Period Ended August 31, 2022† |
| | | | | Without
Annual
Advisory
Program
Fee | | With
Annual
Advisory
Program
Fee* | | MSCI
EAFE®
Index
(Net)** | | Lipper
International
Large-Cap
Core Funds
Average** |
| | Since Inception 11/18/1991 | | | | 4.80 | % | | | | 2.87 | % | | | | 5.07 | % | | | | N/A | |
| | 10 years | | | | 4.20 | | | | | 1.64 | | | | | 5.00 | | | | | 4.30 | % |
| | 5 years | | | | 1.45 | | | | | -0.96 | | | | | 1.63 | | | | | 1.41 | |
| | 3 years | | | | 3.27 | | | | | 0.89 | | | | | 2.39 | | | | | 3.14 | |
| | | 1 year | | | | -21.37 | | | | | -22.92 | | | | | -19.80 | | | | | -19.05 | |
See pages 25 through 29 for all footnotes.
9
Emerging Markets Equity Fund
|
| ABOUTTHE SUB-ADVISERS |
|
• Van Eck Associates Corporation (“VanEck”) |
| VanEck is privately held global asset management firm founded in 1955. VanEck’s mission is to develop and offer investors forward-looking, intelligently designed investment strategies that strengthen a long-term portfolio. VanEck’s Emerging Markets Equity Strategy (“Strategy”) seeks long-term competitive risk-adjusted returns through investments that demonstrate structural growth at a reasonable price. The Strategy seeks to uncover structural growth opportunities wherever they exist within emerging markets, and employs a fundamentally driven stock selection and research process with the flexibility to invest across the market capitalization spectrum. |
|
• BlackRock Financial Management, Inc. (“BlackRock”) |
| BlackRock Financial Management, Inc. employs a “passive” management approach, attempting to invest in a portfolio of assets whose performance is expected to match approximately the performance of the MSCI Emerging Market Index (Net). The Fund will be substantially invested in securities in the MSCI Emerging Market Index (Net), and will invest, under normal circumstances, at least 80% of its assets in securities or other financial instruments that are components of or have economic characteristics similar to the securities included in the MSCI Emerging Market Index (Net). |
|
• Lazard Asset Management LLC (“Lazard”) |
| Lazard, an indirect, wholly-owned subsidiary of Lazard Ltd., is known for its global perspective on investing and years of experience with global, regional and domestic portfolios. With more than 300 investment personnel worldwide, Lazard offers investors of all types an array of equity, fixed income, and alternative investment solutions from its network of local offices in ten different countries. Its team-based approach to portfolio management helps Lazard to deliver robust and consistent performance over time, and strong client relationships allow them to understand how to employ their capabilities to its clients’ advantage. |
| Lazard manages a relative value strategy (“Value Strategy”) and invests primarily in equity securities, principally common stocks, of non-U.S. companies whose principal activities are located in emerging or developing market countries. In the Value |
As of August 31, 2022, the Sub-advisers for the Morgan Stanley Pathway Emerging Markets Equity Fund (“Fund”) were BlackRock Financial Management, Inc. (“BlackRock”), Van Eck Associates Corporation (“VanEck”), Lazard Asset Management, LLC (“Lazard”) and Martin Currie Inc. (“Martin Currie”).
For the fiscal year ending August 31, 2022, the Fund returned -25.82% compared to -21.80% for the MSCI Emerging Markets Index (Net) xi. The Fund’s positioning within energy and materials had the largest positive impact on relative performance, while the positioning within financials and information technology had the largest negative impact. Top contributors included Titan Company LTD, Petroleo Brasileiro SA and Banco do Brasil, while the top detractors included Tencent Holdings, OTP Bank Nyrt and Samsung Electronics.
The Fund’s holdings offered a dividend yield of 3.3%, slightly higher than the MSCI Emerging Market’s Index (Net) xi yield of 3.2%. On a valuation basis, the Fund’s forward P/E was 11.1 compared to the benchmark which was 10.7. The estimated earnings per share growth over the next 3-5 years was 14.5%, in line with the benchmark of 14.5%. The top ten positions accounted for 22% of the Fund and included Samsung Electronics, Tencent Holdings, Taiwan Semiconductor Manufacturing, Reliance Industries and SK Hynix.
For the fiscal year ending August 31, 2022 BlackRock performed in-line with the MSCI Emerging Markets Index (Net) xi, which matched its passive mandate to track the index.
The portion of the Fund managed by VanEck trailed their benchmark during the fiscal one-year period. Overall positioning was strongest in energy and weakest in financials. The top positions contributing to performance included Bank of Georgia Group, Cholamandalam Investment and Finance Co. and Phoenix Mills Ltd., while the top detractors include Delivery Hero SE, MercadoLibre and Sberbank Russia PJSC Sponsored ADR. As of August 31, 2022, VanEck’s top ten positions represented 34% of their portfolio.
The portion of the Fund managed by Lazard trailed their benchmark during the fiscal one-year period. Overall positioning was strongest in energy and weakest in real estate. The top positions contributing to performance included PT Telkom Indonesia, Petroleo Brasileiro SA and BB Seguridade Participacoes SA, while the top detractors included Lukoil, OTP Bank Nyrt and Samsung Electronics. As of August 31, 2022, Lazard’s top ten positions represented 27% of their portfolio.
The portion of the Fund managed by Martin Currie trailed their benchmark during the fiscal one-year period. Overall positioning was strongest in consumer discretionary and weakest in financials. The top positions contributing to performance included PT Telkom Indonesia, Titan Company Limited and Maruti Suzuki India Ltd., while the top detractors included Tencent Holdings, OTP Bank Nyrt and Samsung Electronics. As of August 31, 2022, Martin Currie’s top ten positions represented 43% of their portfolio.
10
|
| Strategy, assets are invested in companies that are believed to be undervalued based on their earnings, cash flow or asset values. Lazard’s approach consists of an analytical framework, accounting validation, fundamental analysis and portfolio construction parameters and its selection process focuses on growth and considers the sustainability of growth and the tradeoff between valuation and growth. |
|
• Martin Currie Inc. (“Martin Currie”) |
Martin Currie is a core active strategy that strives to identify mispriced businesses through fundamental research. Martin Currie seeks high-quality companies with strong growth opportunities while employing a disciplined approach to valuation. The strategy has a long-term investment horizon focusing on stock selection that drives its sector/country allocations. |
The following graph depicts the performance of MSCI Emerging Markets Index (Net)xi vs. the Lipper Emerging Markets Funds Averagexxv
|
HISTORICAL PERFORMANCE FOR THE TEN-YEAR PERIOD ENDED AUGUST 31, 2022 EMERGING MARKETS EQUITY FUND Comparison of $10,000 Investment in the Fund with the MSCI Emerging Markets Index
(Net) and the Lipper Emerging Markets Funds Average |
The performance shown above and below represents past performance. Past performance is no guarantee of future results and current performance may be higher or lower than the performance shown above and below. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would have been lower. Principal value and investment returns will fluctuate and investors’ shares, when redeemed, may be worth more or less than their original cost. To obtain performance data current to the most recent month-end, please visit our website at www.morganstanley.com/wealth-investmentsolutions/cgcm.
The graph above and returns shown below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
| | | | | | | | | | | | | | | | | | | | | | |
| | | EMERGING MARKETS EQUITY FUND Average Annual Total Returns for the Period Ended August 31, 2022† |
| | | | | Without
Annual
Advisory
Program
Fee | | With
Annual
Advisory
Program
Fee* | | MSCI
Emerging
Markets
Index
(Net)** | | Lipper
Emerging
Markets
Funds
Average** |
| | Since Inception 4/20/1994 | | | | 3.88 | % | | | | 1.93 | % | | | | N/A | | | | | N/A | |
| | 10 years | | | | 1.38 | | | | | -1.11 | | | | | 2.92 | % | | | | 2.13 | % |
| | 5 years | | | | -2.04 | | | | | -4.37 | | | | | 0.59 | | | | | -0.42 | |
| | 3 years | | | | -1.38 | | | | | -3.65 | | | | | 2.74 | | | | | 1.17 | |
| | | 1 year | | | | -25.82 | % | | | | -27.40 | | | | | -21.80 | | | | | -25.92 | |
See pages 25 through 29 for all footnotes.
11
Core Fixed Income Fund
|
| ABOUTTHE SUB-ADVISERS |
|
• Metropolitan West Asset Management LLC (“MetWest”) |
| MetWest seeks to achieve consistent outperformance through the measured and diversified application of five fixed income management strategies, including: (i) duration management; (ii) yield curve positioning; (iii) sector allocation; (iv) security selection; and (v) opportunistic execution. Predicated on a long-term economic outlook, MetWest employs a value-oriented approach to managing fixed income that recognizes the periodic inefficient nature of over-the-counter markets and the mean-reverting characteristics of the investable universe. |
|
• Western Asset Management Company (“Western”) |
| Western combines traditional analysis with innovative technology applied to all sectors of the market. Western believes inefficiencies exist in the fixed-income market and attempts to add incremental value by exploiting these inefficiencies across all eligible market sectors. The key areas of focus are: (i) sector and subsector allocation; (ii) issue selection; (iii) duration; and (iv) term structure. |
|
• BlackRock Financial Management, Inc. (“BlackRock”) |
| BlackRock’s Customized Core strategy employs a fundamental, diversified, relative value approach that seeks alpha by strategically allocating among three alpha sources — macro strategies, sector allocation and security selection — based on best and highest information ratio ideas, and aims to provide superior long-term performance relative to the benchmark index by creating a diversified portfolio of investment grade securities. A disciplined and risk-budgeted risk management framework which consists of determining interest rate risk, yield curve risk, cash flow risk, credit risk and liquidity risk of all securities. |
As of August 31, 2022, the Sub-advisers for the Morgan Stanley Pathway Core Fixed Income Fund (“Fund”) were Metropolitan West Asset Management, LLC (“MetWest”), Western Asset Management Company (“Western”) and BlackRock Financial Management, Inc. (“BlackRock”).
For the fiscal year ending August 31, 2022, the Fund returned -12.86% compared to its benchmark, the Bloomberg U.S. Aggregate BondTM Index xv which returned -11.52%.
The portion of the Fund managed by MetWest trailed the benchmark during the fiscal one-year period. Returns for the period benefitted from the portfolio’s duration positioning, which was shorter than the benchmark for the first 7 months of the period. As rates began to rise on the Fed’s comments of tapering in late 2021 and eventual announcement of forthcoming rate hikes in early 2022, this defensive positioning helped to insulate the portfolio from the worst of the effects of rising rates. However, the portfolio maintained a curve-steepening bias throughout the period, which offset some of the duration benefits as policy-sensitive shorter rates surged higher over the year on the back of the Fed’s aggressive tightening cycle. Corporate credit was additive from a positioning standpoint as the portfolio entered the period positioned defensively with a relative underweight to corporate credit overall, which was maintained for majority of the year. Away from corporates, securitized credit weighed on relative performance throughout the year, especially in the residential mortgage-backed securities (MBS) space. With the portfolio maintaining an overweight position in agency MBS throughout the period, performance suffered as the sector struggled from continued rate volatility, aggressive Fed policy and concern of outright sales of MBS securities from the Fed’s balance sheet, while the off-index exposure to non-agency MBS produced an additional drag as the sector struggled amid broader macro uncertainty and a cooling of home price appreciation from prior levels. Finally, the small positions in asset-backed securities (ABS) and commercial mortgage-backed securities (CMBS) detracted on the margin as yield spreads in both sectors widened in sympathy with broader markets.
The portion of the Fund managed BlackRock trailed the benchmark during the fiscal one-year period. The main detractors to performance were positioning and selection within investment grade credit, allocation to high yield credit, securitized assets positioning and selection, and emerging market debt selection. This was modestly offset by tactical duration positioning and allocation to TIPS. The portfolio generally held an overweight position across spread sectors. The material widening in spread levels over 2022 thus hurt the overweight to credit. However, the recent widening provided an opportunity to add idiosyncratic names at attractive levels and improved the overall yield profile of the portfolio.
The portion of the Fund managed by Western trailed the benchmark during the fiscal one-year period. Duration Positioning was the main detractor to performance. The Fund’s overweight duration positioning focused on the back end of the yield curve detracted as yields significantly increased during the 12-month period. Developed Non-U.S. positions also detracted as most currency positions depreciated versus a strengthening U.S. Dollar. Corporate bond exposure, including both investment-grade and high-yield credit, modestly detracted from performance as
12
The following graph depicts the performance of Bloomberg U.S. Aggregate BondTM Indexxv vs. the Lipper Core Bond Funds Averagexxvi
investment-grade and high-yield credit spreads widened during the 12-month period. Agency MBS underweight exposure was the largest contributor to performance as spreads widened during the reporting period. Yield Curve Positioning modestly contributed to performance given a consistent overweight to the back end and underweight to the long end, and as the curve (10s30s) flattened. Structured product positions, in aggregate, slightly added to performance, mainly due to selection within non-agency RMBS, as spreads widened for the structured sectors (including non-agency RMBS, CMBS and ABS).
|
HISTORICAL PERFORMANCE FOR THE TEN-YEAR PERIOD ENDED AUGUST 31, 2022 CORE FIXED INCOME FUND
Comparison of $10,000 Investment in the Fund with the Bloomberg U.S. Aggregate BondTM Index and
the Lipper Core Bond Funds Average |
The performance shown above and below represents past performance. Past performance is no guarantee of future results and current performance may be higher or lower than the performance shown above and below. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would have been lower. Principal value and investment returns will fluctuate and investors’ shares, when redeemed, may be worth more or less than their original cost. To obtain performance data current to the most recent month-end, please visit our website at www.morganstanley.com/wealth-investmentsolutions/cgcm.
The graph above and returns shown below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
| | | | | | | | | | | | | | | | | | | | | | |
| | | CORE FIXED INCOME FUND Average Annual Total Returns for the Period Ended August 31, 2022† |
| | | | | Without
Annual
Advisory
Program
Fee | | With
Annual
Advisory
Program
Fee* | | Bloomberg
U.S.
Aggregate
BondTM
Index** | | Lipper
Core
Bond
Funds
Average** |
| | Since Inception 11/18/1991 | | | | 4.66 | % | | | | 2.73 | % | | | | 4.88 | % | | | | N/A | |
| | 10 years | | | | 1.53 | | | | | -0.96 | | | | | 1.35 | | | | | 1.38 | % |
| | 5 years | | | | 0.51 | | | | | -1.88 | | | | | 0.52 | | | | | 0.52 | |
| | 3 years | | | | -1.98 | | | | | -4.24 | | | | | -2.00 | | | | | -1.77 | |
| | | 1 year | | | | -12.86 | | | | | -14.58 | | | | | -11.52 | | | | | -11.94 | |
See pages 25 through 29 for all footnotes.
13
High Yield Fund
|
| ABOUTTHE SUB-ADVISERS |
|
• Western Asset Management Company (“Western”) |
| Western combines traditional analysis with innovative technology applied to all sectors of the market. Western believes inefficiencies exist in the fixed-income market and attempts to add incremental value by exploiting these inefficiencies across all eligible market sectors. The key areas of focus are: (i) sector and subsector allocation; (ii) issue selection; (iii) duration; and (iv) term structure. |
|
• PineBridge Investments LLC (“PineBridge”) |
| PineBridge is a strategy seeking total return through a combination of high current income and capital appreciation. The strategy focuses on security selection to drive excess return and is generally overweight the higher quality segment of the high yield market. |
As of August 31, 2022, the Sub-advisers for the Morgan Stanley Pathway High Yield Fund (“Fund”) were Western Asset Management Company (“Western”) and PineBridge Investments LLC (“PineBridge”).
For the fiscal year ending August 31, 2022, the Fund returned -10.88% compared to its benchmark, the Bloomberg U.S. Corporate High Yield Bond Index xvii which returned -10.60%.
The portion of the Fund managed by Western trailed the benchmark during the fiscal one-year period. Rating positioning contributed to relative performance during the period largely due to the overweight to single Bs. Industry allocations was a detractor to relative performance largely due to an overweight to banking and an underweight to capital goods sector. Issue selection was the largest detractor to relative performance during the period, led by issuer tilts within communications, consumer cyclical and consumer non-cyclical sectors.
The portion of the Fund managed by PineBridge outperformed the benchmark during the fiscal one-year period. Sector selection and security selection contributed to performance with an overweight allocation to the energy sector being the most significant contributor. Underweight allocations to the communications, consumer non-cyclical and banking sectors, and the cash position also contributed to performance. From a security selection standpoint, consumer non-cyclicals were the most notable contributors to performance, with selection among communications and energy names also contributing for the period. Detractors included security selection within consumer cyclicals along with underweight allocations to the capital goods and insurance sectors.
14
The following graph depicts the performance of the Bloomberg U.S. Corporate High Yield Bond Indexxvii vs. the Lipper High Yield Funds Averagexxvii
|
HISTORICAL PERFORMANCE FOR THE TEN-YEAR PERIOD ENDED AUGUST 31, 2022 HIGH YIELD FUND Comparison of $10,000 Investment in the Fund with the Bloomberg U.S. Corporate High Yield Bond Index
and the Lipper High Yield Funds Average |
The performance shown above and below represents past performance. Past performance is no guarantee of future results and current performance may be higher or lower than the performance shown above and below. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would have been lower. Principal value and investment returns will fluctuate and investors’ shares, when redeemed, may be worth more or less than their original cost. To obtain performance data current to the most recent month-end, please visit our website at www.morganstanley.com/wealth-investmentsolutions/cgcm.
The graph above and returns shown below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
| | | | | | | | | | | | | | | | | | | | | | |
| | | HIGH YIELD FUND Average Annual Total Returns for the Period Ended August 31, 2022† |
| | | | | Without
Annual
Advisory
Program
Fee | | With
Annual
Advisory
Program
Fee* | | Bloomberg
U.S.
Corporate
High Yield
Bond
Index** | | Lipper
High
Yield
Funds
Average** |
| | Since Inception 7/13/1998 | | | | 3.89 | % | | | | 1.87 | % | | | | 5.87 | % | | | | N/A | |
| | 10 years | | | | 2.88 | | | | | 0.36 | | | | | 4.51 | | | | | 3.69 | % |
| | 5 years | | | | 1.15 | | | | | -1.25 | | | | | 2.58 | | | | | 2.04 | |
| | 3 years | | | | -1.04 | | | | | -3.32 | | | | | 1.03 | | | | | 0.68 | |
| | | 1 year | | | | -10.88 | | | | | -12.64 | | | | | -10.60 | | | | | -9.94 | |
See pages 25 through 29 for all footnotes.
15
International Fixed Income Fund
|
| ABOUTTHE SUB-ADVISER |
|
• Pacific Investment Management Company LLC (“PIMCO”) |
| PIMCO is a leading global investment management firm, with offices in 11 countries throughout North America, Europe and Asia. Founded in 1971, PIMCO offers a wide range of innovative solutions to help millions of investors worldwide meet their needs. Our goal is to provide attractive returns while maintaining a strong culture of risk management and long-term discipline. PIMCO’s investment philosophy revolves around the principle of diversification. PIMCO believes that no single risk should dominate returns. PIMCO seeks to add value through the use of “top-down” strategies such as our exposure to interest rates, or duration, changing volatility, yield curve positioning and sector rotation. PIMCO also employs “bottom-up” strategies involving analysis and selection of specific securities. |
As of August 31, 2022, the Sub-adviser for the Morgan Stanley Pathway International Fixed Income Fund (“Fund”) was Pacific Investment Management Company LLC (“PIMCO”).
For the fiscal year ending August 31, 2022, the Fund returned -11.54% compared to its benchmark, the FTSE Non-USD World Government Bond Index (USD) Hedged xx which returned -10.76%.
Interest rate strategies added to performance. Tactical exposure to U.S. duration, including overall short exposure to short and long-end rates, added to performance as the U.S. yield curve flattened during the period. Outside the U.S., short exposure to German interest rates added to performance while select exposure to Italian duration detracted from performance. An underweight to Polish interest rates contributed to performance. Within emerging markets, long exposure to Peruvian duration detracted from performance. Spread strategies overall detracted from performance. A modest exposure to high yield credit and short exposure to investment grade corporate credit both detracted during the period. Tactical short exposure to agency mortgages added to performance as spreads widened during the period. Lastly, overall currency strategies detracted from performance, including long exposure to the Japanese Yen.
16
The following graph depicts the performance of the FTSE Non-USD World Government Bond Index (USD) Hedgedxx vs. the FTSE Non-USD World Government Bond Index (USD) Unhedgedxx and the Lipper International Income Funds Averagexxviii
|
HISTORICAL PERFORMANCE FOR THE TEN-YEAR PERIOD ENDED AUGUST 31, 2022 INTERNATIONAL FIXED INCOME FUND Comparison of $10,000 Investment in the Fund with the FTSE Non-USD World Government Bond Index (USD) Hedged,
FTSE Non-USD World Government Bond Index (USD) Unhedged and the Lipper International Income Funds Average |
The performance shown above and below represents past performance. Past performance is no guarantee of future results and current performance may be higher or lower than the performance shown above and below. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would have been lower. Principal value and investment returns will fluctuate and investors’ shares, when redeemed, may be worth more or less than their original cost. To obtain performance data current to the most recent month-end, please visit our website at www.morganstanley.com/wealth-investmentsolutions/cgcm.
The graph above and returns shown below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | INTERNATIONAL FIXED INCOME FUND Average Annual Total Returns for the Period Ended August 31, 2022† |
| | | | | Without
Annual
Advisory
Program
Fee | | With
Annual
Advisory
Program
Fee* | | FTSE
Non-USD
WGBI
(USD)
Hedged** | | FTSE
Non-USD
WGBI
(USD)
Unhedged** | | Lipper
International
Income
Funds
Average** |
| | Since Inception 11/18/1991 | | | | 4.96 | % | | | | 3.03 | % | | | | 5.21 | % | | | | 3.79 | % | | | | N/A | |
| | 10 years | | | | 1.91 | | | | | -0.59 | | | | | 2.46 | | | | | -2.29 | | | | | -0.78 | % |
| | 5 years | | | | 0.42 | | | | | -1.96 | | | | | 0.76 | | | | | -4.12 | | | | | -2.34 | |
| | 3 years | | | | -3.17 | | | | | -5.41 | | | | | -3.36 | | | | | -8.37 | | | | | -4.98 | |
| | | 1 year | | | | -11.54 | | | | | -13.29 | | | | | -10.76 | | | | | -25.62 | | | | | -16.62 | |
See pages 25 through 29 for all footnotes.
17
Municipal Bond Fund
|
| ABOUTTHE SUB-ADVISER |
|
• BlackRock Financial Management, Inc. (“BlackRock”) |
| BlackRock seeks to build a high quality municipal bond portfolio that offers an attractive level of tax free income and capital preservation while providing stability and consistency throughout full market cycles. By way of comprehensive sector analysis, a rigorous credit review and sophisticated risk management technology, BlackRock’s seasoned portfolio managers strive to capture market inefficiencies. |
As of August 31, 2022, the Sub-adviser for the Morgan Stanley Pathway Municipal Bond Fund (“Fund”) was BlackRock Financial Management, Inc. (“BlackRock”).
For the fiscal year ending August 31, 2022, the Fund returned -8.91% compared to its benchmark, the Bloomberg U.S. Municipal Bond Index xix which returned -8.63%.
Contributors included an underweight to tax backed states, school districts, utilities, and interest rate hedges. Within credit, an underweight exposure to BBB rated credits was also additive to performance. Curve positioning was a detractor along with overweight positions to the corporate backed, housing, and healthcare sectors.
18
The following graph depicts the performance of the Bloomberg U.S. Municipal Bond Indexxix vs. the Lipper General & Insured Municipal Debt Funds Averagexxix
|
HISTORICAL PERFORMANCE FOR THE TEN-YEAR PERIOD ENDED AUGUST 31, 2022 MUNICIPAL BOND FUND Comparison of $10,000 Investment in the Fund with the Bloomberg U.S. Municipal Bond Index
and the Lipper General & Insured Municipal Debt Funds Average |
The performance shown above and below represents past performance. Past performance is no guarantee of future results and current performance may be higher or lower than the performance shown above and below. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would have been lower. Principal value and investment returns will fluctuate and investors’ shares, when redeemed, may be worth more or less than their original cost. To obtain performance data current to the most recent month-end, please visit our website at www.morganstanley.com/wealth-investmentsolutions/cgcm.
The graph above and returns shown below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
| | | | | | | | | | | | | | | | | | | | | | |
| | | MUNICIPAL BOND FUND Average Annual Total Returns for the Period Ended August 31, 2022† |
| | | | | Without
Annual
Advisory
Program
Fee | | With
Annual
Advisory
Program
Fee* | | Bloomberg
U.S.
Municipal
Bond
Index** | | Lipper
General &
Insured
Municipal
Debt
Funds
Average** |
| | Since Inception 11/18/1991 | | | | 4.11 | % | | | | 2.19 | % | | | | 4.87 | % | | | | N/A | |
| | 10 years | | | | 1.64 | | | | | -0.86 | | | | | 2.25 | | | | | 1.97 | % |
| | 5 years | | | | 0.70 | | | | | -1.69 | | | | | 1.28 | | | | | 0.95 | |
| | 3 years | | | | -1.44 | | | | | -3.71 | | | | | -0.83 | | | | | -1.35 | |
| | | 1 year | | | | -8.91 | | | | | -10.72 | | | | | -8.63 | | | | | -10.24 | |
See pages 25 through 29 for all footnotes.
19
Inflation-Linked Fixed Income Fund
|
| ABOUTTHE SUB-ADVISER |
|
• Pacific Investment Management Company LLC (“PIMCO”) |
| PIMCO is a leading global investment management firm, with offices in 11 countries throughout North America, Europe and Asia. Founded in 1971, PIMCO offers a wide range of innovative solutions to help millions of investors worldwide meet their needs. Our goal is to provide attractive returns while maintaining a strong culture of risk management and long-term discipline. PIMCO’s investment philosophy revolves around the principle of diversification. PIMCO believes that no single risk should dominate returns. PIMCO seeks to add value through the use of “top-down” strategies such as our exposure to interest rates, or duration, changing volatility, yield curve positioning and sector rotation. PIMCO also employs “bottom-up” strategies involving analysis and selection of specific securities. |
As of August 31, 2022, the Sub-adviser for the Morgan Stanley Pathway Inflation-Linked Fixed Income Fund (“Fund”) was Pacific Investment Management Company LLC (“PIMCO”).
For the fiscal year ending August 31, 2022, the Fund returned -6.55% compared to its benchmark, the Bloomberg U.S. Treasury Inflation Protected Securities (TIPS) Index xviii which returned -5.98%.
An underweight to U.S. nominal duration added to performance as U.S. Treasury yields rose over the period. However, curve strategies in the Eurozone detracted from performance. An overweight to US breakeven inflation contributed to performance as inflation expectations increased during the period. Outside the U.S., short exposure to United Kingdom breakevens detracted from performance as United Kingdom breakeven levels rose, while exposure to select European breakevens contributed to performance. Spread sector strategies generally detracted from performance, including holdings of select non-Agency and Agency mortgage-backed securities. Lastly, holdings of select emerging market currencies contributed to performance.
20
The following graph depicts the performance of the Bloomberg U.S. Treasury Inflation Protected Securities (TIPS) Indexxviii vs. the Lipper Inflation Protected Bond Funds Averagexxx
|
HISTORICAL PERFORMANCE FOR THE TEN-YEAR PERIOD ENDED AUGUST 31, 2022 INFLATION-LINKED FIXED INCOME FUND^ Comparison of $10,000 Investment in the Fund with the Bloomberg U.S. Treasury Inflation Protected Securities (TIPS)
Index and the Lipper Inflation Protected Bond Funds Average |
| | ^ | Since inception March 9, 2016. |
The performance shown above and below represents past performance. Past performance is no guarantee of future results and current performance may be higher or lower than the performance shown above and below. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would have been lower. Principal value and investment returns will fluctuate and investors’ shares, when redeemed, may be worth more or less than their original cost. To obtain performance data current to the most recent month-end, please visit our website at www.morganstanley.com/wealth-investmentsolutions/cgcm.
The graph above and returns shown below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
| | | | | | | | | | | | | | | | | | | | | | |
| | | INFLATION-LINKED FIXED INCOME FUND Average Annual Total Returns for the Period Ended August 31, 2022† |
| | | | | Without
Annual
Advisory
Program
Fee | | With
Annual
Advisory
Program
Fee* | | Bloomberg
U.S.
Treasury
Inflation
Protected
Securities
(TIPS)
Index** | | Lipper
Inflation
Protected
Bond
Funds
Average** |
| | Since Inception 3/9/2016 | | | | 3.34 | % | | | | 0.93 | % | | | | 3.16 | % | | | | N/A | |
| | 10 years | | | | N/A | | | | | N/A | | | | | 1.73 | | | | | 1.26 | % |
| | 5 years | | | | 3.20 | | | | | 0.83 | | | | | 3.22 | | | | | 2.85 | |
| | 3 years | | | | 3.05 | | | | | 0.80 | | | | | 2.65 | | | | | 2.71 | |
| | | 1 year | | | | -6.55 | % | | | | -7.86 | | | | | -5.98 | | | | | -4.71 | |
See pages 25 through 29 for all footnotes.
21
Ultra-Short Term Fixed Income Fund
|
| ABOUTTHE SUB-ADVISER |
|
• Pacific Investment Management Company LLC (“PIMCO”) |
| PIMCO is a leading global investment management firm, with offices in 11 countries throughout North America, Europe and Asia. Founded in 1971, PIMCO offers a wide range of innovative solutions to help millions of investors worldwide meet their needs. Our goal is to provide attractive returns while maintaining a strong culture of risk management and long-term discipline. PIMCO’s investment philosophy revolves around the principle of diversification. PIMCO believes that no single risk should dominate returns. PIMCO seeks to add value through the use of “top-down” strategies such as our exposure to interest rates, or duration, changing volatility, yield curve positioning and sector rotation. PIMCO also employs “bottom-up” strategies involving analysis and selection of specific securities. |
As of August 31, 2022, the Sub-adviser for the Morgan Stanley Pathway Ultra-Short Term Fixed Income Fund (“Fund”) was Pacific Investment Management Company LLC (“PIMCO”).
For the fiscal year ending August 31, 2022, the Fund returned -0.92% compared to its benchmark, the FTSE 3-Month U.S. Treasury Bill Index xiv which returned 0.44%.
Interest rate strategies detracted from performance. An underweight to U.S. duration, including select short exposure to intermediate and long-end rates, detracted from performance. Exposure to Canadian interest rates also detracted from performance as local yields increased over the period. Spread sector strategies generally detracted from performance. Exposure to agency MBS detracted from performance as spreads widened during the period. An allocation to short-dated investment grade corporate credit added to performance, while select holdings of securitized credit such as CMBS and ABS detracted from performance. Overall currency strategies were positive for performance. Underweight exposure to the U.S. Dollar as well as long tactical exposure to the Mexican Peso both contributed to performance. Select exposure to the Japanese yen detracted from performance.
22
The following graph depicts the performance of the FTSE 3-Month U.S. Treasury Bill Indexxiv vs. the Lipper Ultra-Short Obligations Funds Averagexxxi
|
HISTORICAL PERFORMANCE FOR THE TEN-YEAR PERIOD ENDED AUGUST 31, 2022 ULTRA-SHORT TERM FIXED INCOME FUND^ Comparison of $10,000 Investment in the Fund with the FTSE 3-Month U.S. Treasury Bill Index and the Lipper
Ultra-Short Obligations Funds Average |
| | ^ | Since inception March 9, 2016. |
The performance shown above and below represents past performance. Past performance is no guarantee of future results and current performance may be higher or lower than the performance shown above and below. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would have been lower. Principal value and investment returns will fluctuate and investors’ shares, when redeemed, may be worth more or less than their original cost. To obtain performance data current to the most recent month-end, please visit our website at www.morganstanley.com/wealth-investmentsolutions/cgcm.
The graph above and returns shown below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
| | | | | | | | | | | | | | | | | | | | | | |
| | | ULTRA-SHORT TERM FIXED INCOME FUND Average Annual Total Returns for the Period Ended August 31, 2022† |
| | | | | Without
Annual
Advisory
Program
Fee | | With
Annual
Advisory
Program
Fee* | | FTSE
3-Month
U.S.
Treasury
Bill
Index** | | Lipper
Ultra-
Short
Obligations
Funds
Average** |
| | Since Inception 3/9/2016 | | | | 1.42 | % | | | | -0.94 | % | | | | 0.96 | % | | | | N/A | |
| | 10 years | | | | N/A | | | | | N/A | | | | | 0.64 | | | | | 0.90 | % |
| | 5 years | | | | 1.23 | | | | | -1.07 | | | | | 1.10 | | | | | 1.17 | |
| | 3 years | | | | 0.67 | | | | | -1.49 | | | | | 0.56 | | | | | 0.52 | |
| | | 1 years | | | | -0.92 | | | | | -2.42 | | | | | 0.44 | | | | | -0.92 | |
See pages 25 through 29 for all footnotes.
23
Alternative Strategies Fund
|
| ABOUTTHE MANAGER |
|
• Consulting Group Advisory Services, LLC |
| Consulting Group Advisory Services, LLC is a business of Morgan Stanley Wealth Management (“MSWM”). MSWM is one of the largest financial services firms in the U.S. with branch offices in all 50 states and the District of Columbia. MSWM’s advisory services are provided by its Consulting Group and Wealth Management Investment Resources business units. |
During the fiscal one-year period ending August 31, 2022, the Morgan Stanley Pathway Alternative Strategies Fund (“Fund”) returned -2.06% compared to its benchmark, the HFRX Global Hedge Fund Index xxi which returned -3.93%. Contributing to performance were exposures to managed futures, commodities, and multi-strategy while exposures to global macro, long-short equity, and long-short credit detracted from relative performance.
|
HISTORICAL PERFORMANCE FOR THE TEN-YEAR PERIOD ENDED AUGUST 31, 2022
ALTERNATIVE STRATEGIES FUND^ Comparison of $10,000 Investment in the Fund with the HFRX Global Hedge Fund Index |
| | ^ | Since inception February 15, 2018. |
The performance shown above and below represents past performance. Past performance is no guarantee of future results and current performance may be higher or lower than the performance shown above and below. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would have been lower. Principal value and investment returns will fluctuate and investors’ shares, when redeemed, may be worth more or less than their original cost. To obtain performance data current to the most recent month-end, please visit our website at www.morganstanley.com/wealth-investmentsolutions/cgcm.
The graph above and returns shown below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
| | | | | | | | | | | | | | | | | |
| | | ALTERNATIVE STRATEGIES FUND Average Annual Total Returns for the Period Ended August 31, 2022† |
| | | | | Without
Annual
Advisory
Program
Fee | | With
Annual
Advisory
Program
Fee* | | HFRX
Global Hedge
Fund Index |
| | Since Inception 2/15/2018 | | | | 2.67 | % | | | | 0.35 | % | | | | 1.18 | % |
| | 10 years | | | | N/A | | | | | N/A | | | | | 1.97 | |
| | 5 years | | | | N/A | | | | | N/A | | | | | 1.99 | |
| | 3 years | | | | 3.49 | | | | | 1.26 | | | | | 3.20 | |
| | | 1 year | | | | -2.06 | | | | | -3.61 | | | | | -3.93 | |
See pages 25 through 29 for all footnotes.
24
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%. |
| ** | | Inception returns of the market indices and Lipper investment category averages are calculated from the end of the inception month. |
| i. | | The S&P 500® Index tracks the performance of 500 widely held, large-capitalization U.S. stocks. Please note that an investor cannot invest directly in an index. |
| ii. | | 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. |
| iii. | | The U.S. large-cap Russell 1000® Growth Index measures the performance of those Russell 1000® Index companies with higher price-to-book ratios and higher forecasted growth values. 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 Russell 1000® Value Index measures the performance of those Russell 1000® Index companies with lower price-to-book ratios and lower forecasted growth values. 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 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. |
| vi. | | The U.S. small-cap Russell 2000® Growth Index measures the performance of those Russell 2000® Index companies with higher price-to-book ratios and higher forecasted growth values. 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 Russell 2000® Value Index measures the performance of those Russell 2000® Index companies with lower price-to-book ratios and lower forecasted growth values. 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 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. |
25
| ix. | | The MSCI EAFE® Growth Index captures large and mid-cap securities exhibiting overall growth style characteristics across Developed Markets countries* around the world, excluding the U.S. and Canada. The growth investment style characteristics for index construction are defined using five variables: long-term forward EPS growth rate, short-term forward EPS growth rate, current internal growth rate and long-term historical EPS growth trend and long-term historical sales per share growth trend. Please note that an investor cannot invest directly in an index. |
| x. | | The MSCI EAFE® Value Index captures large and mid-cap securities exhibiting overall value style characteristics across Developed Markets countries* around the world, excluding the U.S. and Canada. 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. Please note that an investor cannot invest directly in an index. |
| xi. | | 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 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. 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. |
| xii. | | The MSCI Emerging Markets Growth 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 growth investment style characteristics for index construction are defined using five variables: long-term forward EPS growth rate, short-term forward EPS growth rate, current internal growth rate and long-term historical EPS growth trend and long-term historical sales per share growth trend. 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. |
| xiii. | | 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. |
| xiv. | | 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 |
26
| | 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. |
| xv. | | 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. |
| xvi. | | The Bloomberg Global Aggregate Bond Index is a flagship measure of global investment grade debt from twenty-four local currency markets. This multi-currency benchmark includes treasury, government-related, corporate and securitized fixed-rate bonds from both developed and emerging markets issuers. Please note that an investor cannot invest directly in an index. |
| xvii. | | 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. |
| xviii. | | 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. |
| xix. | | The Bloomberg U.S. Municipal Bond 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. |
| xx. | | 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. |
| xxi. | | 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. |
| xxii. | | The Lipper Large-Cap Core Funds Average are equally weighted total returns using all the active funds available within the category of 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. 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. |
27
| xxiii. | | The Lipper Small-Cap Core Funds Average are equally weighted total returns using all the active funds available within the category of 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 SmallCap 600® Index. 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. |
| xxiv. | | 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. |
| xxv. | | 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. |
| xxvi. | | 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. |
| xxvii. | | 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. |
| xxviii. | | 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 US dollar and non-US 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. |
| xxix. | | 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. |
| xxx. | | 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 |
28
| | 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. |
| xxxi. | | 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. The Lipper Ultra-Short Obligations Funds Average invest primarily in investment-grade debt issues or better and maintain a portfolio dollar-weighted average maturity between 91 days and 365 days. |
| xxxii. | | The Lipper Alternative Multi-Strategy Funds Average – These are equally weighted total returns using funds that by 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. |
29
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 March 1, 2022 and held for the six months ended August 31, 2022.
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(3) | | Expense
Paid During
the Period(4) |
Large Cap Equity Fund | | | | -10.53 | % | | | $ | 1,000.00 | | | | $ | 894.70 | | | | | 0.49 | % | | | $ | 2.34 | |
Small-Mid Cap Equity Fund | | | | -10.10 | % | | | | 1,000.00 | | | | | 899.00 | | | | | 0.59 | % | | | | 2.82 | |
International Equity Fund | | | | -14.97 | % | | | | 1,000.00 | | | | | 850.30 | | | | | 0.68 | % | | | | 3.17 | |
Emerging Markets Equity Fund | | | | -14.57 | % | | | | 1,000.00 | | | | | 854.30 | | | | | 0.85 | % | | | | 3.97 | |
Core Fixed Income Fund | | | | -8.49 | % | | | | 1,000.00 | | | | | 915.10 | | | | | 0.54 | % | | | | 2.61 | |
High Yield Fund | | | | -8.33 | % | | | | 1,000.00 | | | | | 916.70 | | | | | 0.97 | % | | | | 4.69 | |
International Fixed Income Fund | | | | -7.41 | % | | | | 1,000.00 | | | | | 925.90 | | | | | 0.93 | % | | | | 4.51 | |
Municipal Bond Fund | | | | -5.98 | % | | | | 1,000.00 | | | | | 940.20 | | | | | 0.74 | % | | | | 3.62 | |
Inflation-Linked Fixed Income Fund | | | | -5.92 | % | | | | 1,000.00 | | | | | 940.80 | | | | | 0.87 | % | | | | 4.26 | |
Ultra-Short Term Fixed Income Fund | | | | -0.51 | % | | | | 1,000.00 | | | | | 994.90 | | | | | 0.67 | % | | | | 3.37 | |
Alternative Strategies Fund | | | | -0.93 | % | | | | 1,000.00 | | | | | 990.70 | | | | | 0.74 | % | | | | 3.71 | |
| (1) | For the six months ended August 31, 2022. |
| (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) | Annualized Expense Ratios are based on the most recent 6-month expense ratios, which may differ from net expense ratios in the Financial Highlights. |
| (4) | 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 (184 days) in the most recent fiscal half-year, then divided by 365 (to reflect the one-half year period). |
30
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(2) | | Expense
Paid During
the Period(3) |
Large Cap Equity Fund | | | | 5.00 | % | | | $ | 1,000.00 | | | | $ | 1,022.74 | | | | | 0.49 | % | | | $ | 2.50 | |
Small-Mid Cap Equity Fund | | | | 5.00 | % | | | | 1,000.00 | | | | | 1,022.23 | | | | | 0.59 | % | | | | 3.01 | |
International Equity Fund | | | | 5.00 | % | | | | 1,000.00 | | | | | 1,021.78 | | | | | 0.68 | % | | | | 3.47 | |
Emerging Markets Equity Fund | | | | 5.00 | % | | | | 1,000.00 | | | | | 1,020.92 | | | | | 0.85 | % | | | | 4.33 | |
Core Fixed Income Fund | | | | 5.00 | % | | | | 1,000.00 | | | | | 1,022.48 | | | | | 0.54 | % | | | | 2.75 | |
High Yield Fund | | | | 5.00 | % | | | | 1,000.00 | | | | | 1,020.32 | | | | | 0.97 | % | | | | 4.94 | |
International Fixed Income Fund | | | | 5.00 | % | | | | 1,000.00 | | | | | 1,020.52 | | | | | 0.93 | % | | | | 4.74 | |
Municipal Bond Fund | | | | 5.00 | % | | | | 1,000.00 | | | | | 1,021.48 | | | | | 0.74 | % | | | | 3.77 | |
Inflation-Linked Fixed Income Fund | | | | 5.00 | % | | | | 1,000.00 | | | | | 1,020.82 | | | | | 0.87 | % | | | | 4.43 | |
Ultra-Short Term Fixed Income Fund | | | | 5.00 | % | | | | 1,000.00 | | | | | 1,021.83 | | | | | 0.67 | % | | | | 3.41 | |
Alternative Strategies Fund | | | | 5.00 | % | | | | 1,000.00 | | | | | 1,021.48 | | | | | 0.74 | % | | | | 3.77 | |
| (1) | For the six months ended August 31, 2022. |
| (2) | Annualized Expense Ratios are based on the most recent 6-month expense ratios, which may differ from net expense ratios in the Financial Highlights. |
| (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 (184 days) in the most recent fiscal half-year, then divided 365 (to reflect the one-half year period). |
31
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| COMMON STOCKS — 96.7% | |
|
| COMMUNICATION SERVICES — 7.2% | |
|
| Diversified Telecommunication Services — 0.9% | |
| | 173,053 | | | AT&T Inc. | | $ | 3,035,350 | |
| | 5,913 | | | Frontier Communications Parent Inc.* | | | 152,319 | |
| | 191,371 | | | Liberty Global PLC, Class C Shares* | | | 4,078,116 | |
| | 24,252 | | | Lumen Technologies Inc. | | | 241,550 | |
| | 179,793 | | | Verizon Communications Inc. | | | 7,517,145 | |
| | | | | | | | |
| | | | Total Diversified Telecommunication Services | | | 15,024,480 | |
| | | | | | | | |
|
| Entertainment — 1.6% | |
| | 18,704 | | | Activision Blizzard Inc. | | | 1,468,077 | |
| | 12,478 | | | AMC Entertainment Holdings Inc., Class A Shares*(a) | | | 113,799 | |
| | 25,739 | | | Electronic Arts Inc. | | | 3,265,507 | |
| | 577 | | | Liberty Media Corp-Liberty Formula One, Class A Shares* | | | 33,541 | |
| | 4,796 | | | Liberty Media Corp-Liberty Formula One, Class C Shares* | | | 305,409 | |
| | 3,719 | | | Live Nation Entertainment Inc.* | | | 336,049 | |
| | 429 | | | Madison Square Garden Sports Corp.* | | | 68,756 | |
| | 24,781 | | | Netflix Inc.* | | | 5,540,040 | |
| | 2,011 | | | Playtika Holding Corp.* | | | 21,176 | |
| | 10,629 | | | ROBLOX Corp., Class A Shares* | | | 415,700 | |
| | 2,807 | | | Roku Inc., Class A Shares* | | | 190,876 | |
| | 20,270 | | | Sea Ltd., ADR* | | | 1,256,740 | |
| | 3,346 | | | Spotify Technology SA* | | | 361,870 | |
| | 3,824 | | | Take-Two Interactive Software Inc.* | | | 468,669 | |
| | 102,694 | | | Walt Disney Co. (The)* | | | 11,509,944 | |
| | 56,971 | | | Warner Bros Discovery Inc.* | | | 754,296 | |
| | 1,055 | | | World Wrestling Entertainment Inc., Class A Shares | | | 71,751 | |
| | | | | | | | |
| | | | Total Entertainment | | | 26,182,200 | |
| | | | | | | | |
|
| Interactive Media & Services — 4.0% | |
| | 299,660 | | | Alphabet Inc., Class A Shares* | | | 32,429,205 | |
| | 132,780 | | | Alphabet Inc., Class C Shares* | | | 14,492,937 | |
| | 1,867 | | | IAC Inc.* | | | 119,992 | |
| | 60,464 | | | Match Group Inc.* | | | 3,418,030 | |
| | 93,014 | | | Meta Platforms Inc., Class A Shares* | | | 15,154,771 | |
| | 13,954 | | | Pinterest Inc., Class A Shares* | | | 321,500 | |
| | 2,335 | | | TripAdvisor Inc.* | | | 55,573 | |
| | 18,016 | | | Twitter Inc.* | | | 698,120 | |
| | 6,636 | | | ZoomInfo Technologies Inc., Class A Shares* | | | 301,407 | |
| | | | | | | | |
| | | | Total Interactive Media & Services | | | 66,991,535 | |
| | | | | | | | |
|
| Media — 0.6% | |
| | 4,771 | | | Altice USA Inc., Class A Shares* | | | 47,710 | |
| | 144 | | | Cable One Inc. | | | 163,440 | |
| | 2,794 | | | Charter Communications Inc., Class A Shares* | | | 1,152,888 | |
| | 193,004 | | | Comcast Corp., Class A Shares | | | 6,984,815 | |
| | 6,092 | | | DISH Network Corp., Class A Shares* | | | 105,696 | |
| | 7,636 | | | Fox Corp., Class A Shares | | | 260,999 | |
| | 3,499 | | | Fox Corp., Class B Shares | | | 110,638 | |
| | 9,367 | | | Interpublic Group of Cos., Inc. (The) | | | 258,904 | |
| | 498 | | | Liberty Broadband Corp., Class A Shares* | | | 50,208 | |
| | 3,113 | | | Liberty Broadband Corp., Class C Shares* | | | 316,592 | |
| | 1,812 | | | Liberty Media Corp-Liberty SiriusXM, Class A Shares | | | 75,271 | |
| | 3,686 | | | Liberty Media Corp-Liberty SiriusXM, Class C Shares* | | | 152,453 | |
| | 3,923 | | | New York Times Co. (The), Class A Shares | | | 119,612 | |
| | 9,559 | | | News Corp., Class A Shares | | | 161,738 | |
See Notes to Financial Statements.
32
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| COMMUNICATION SERVICES — 7.2% — (continued) | |
|
| Media — 0.6% — (continued) | |
| | 2,970 | | | News Corp., Class B Shares | | $ | 51,203 | |
| | 952 | | | Nexstar Media Group Inc., Class A Shares | | | 182,137 | |
| | 4,913 | | | Omnicom Group Inc. | | | 328,680 | |
| | 181 | | | Paramount Global, Class A Shares | | | 4,782 | |
| | 14,111 | | | Paramount Global, Class B Shares(a) | | | 330,056 | |
| | 17,125 | | | Sirius XM Holdings Inc.(a) | | | 104,291 | |
| | | | | | | | |
| | | | Total Media | | | 10,962,113 | |
| | | | | | | | |
|
| Wireless Telecommunication Services — 0.1% | |
| | 14,400 | | | T-Mobile US Inc.* | | | 2,073,024 | |
| | | | | | | | |
| | | | TOTAL COMMUNICATION SERVICES | | | 121,233,352 | |
| | | | | | | | |
|
| CONSUMER DISCRETIONARY — 12.3% | |
|
| Auto Components — 0.5% | |
| | 40,336 | | | Adient PLC* | | | 1,339,155 | |
| | 30,633 | | | Aptiv PLC* | | | 2,862,041 | |
| | 5,796 | | | BorgWarner Inc. | | | 218,509 | |
| | 5,802 | | | Gentex Corp. | | | 158,337 | |
| | 25,452 | | | Lear Corp. | | | 3,528,665 | |
| | 6,198 | | | QuantumScape Corp., Class A Shares*(a) | | | 68,364 | |
| | | | | | | | |
| | | | Total Auto Components | | | 8,175,071 | |
| | | | | | | | |
|
| Automobiles — 1.2% | |
| | 94,774 | | | Ford Motor Co. | | | 1,444,356 | |
| | 35,146 | | | General Motors Co. | | | 1,342,929 | |
| | 3,248 | | | Harley-Davidson Inc. | | | 125,275 | |
| | 12,835 | | | Lucid Group Inc.*(a) | | | 196,889 | |
| | 4,302 | | | Rivian Automotive Inc., Class A Shares*(a) | | | 140,718 | |
| | 61,488 | | | Tesla Inc.* | | | 16,946,708 | |
| | 1,292 | | | Thor Industries Inc. | | | 104,665 | |
| | | | | | | | |
| | | | Total Automobiles | | | 20,301,540 | |
| | | | | | | | |
|
| Distributors — 0.7% | |
| | 3,344 | | | Genuine Parts Co. | | | 521,697 | |
| | 202,360 | | | LKQ Corp. | | | 10,769,599 | |
| | 955 | | | Pool Corp. | | | 323,927 | |
| | | | | | | | |
| | | | Total Distributors | | | 11,615,223 | |
| | | | | | | | |
|
| Diversified Consumer Services — 0.0% | |
| | 3,875 | | | ADT Inc. | | | 28,249 | |
| | 1,474 | | | Bright Horizons Family Solutions Inc.* | | | 100,527 | |
| | 768 | | | Grand Canyon Education Inc.* | | | 62,500 | |
| | 4,105 | | | H&R Block Inc. | | | 184,725 | |
| | 1,825 | | | Mister Car Wash Inc.* | | | 18,086 | |
| | 3,727 | | | Service Corp. International | | | 229,993 | |
| | 2,927 | | | Terminix Global Holdings Inc.* | | | 124,836 | |
| | | | | | | | |
| | | | Total Diversified Consumer Services | | | 748,916 | |
| | | | | | | | |
|
| Hotels, Restaurants & Leisure — 1.8% | |
| | 9,046 | | | Airbnb Inc., Class A Shares* | | | 1,023,284 | |
| | 5,549 | | | Aramark | | | 198,155 | |
| | 3,513 | | | Booking Holdings Inc.* | | | 6,589,721 | |
| | 2,013 | | | Boyd Gaming Corp. | | | 109,568 | |
| | 4,929 | | | Caesars Entertainment Inc.* | | | 212,538 | |
| | 20,794 | | | Carnival Corp.*(a) | | | 196,711 | |
| | 1,861 | | | Chipotle Mexican Grill Inc., Class A Shares* | | | 2,971,645 | |
See Notes to Financial Statements.
33
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| CONSUMER DISCRETIONARY — 12.3% — (continued) | |
|
| Hotels, Restaurants & Leisure — 1.8% — (continued) | |
| | 854 | | | Choice Hotels International Inc. | | $ | 97,962 | |
| | 904 | | | Churchill Downs Inc. | | | 178,169 | |
| | 3,048 | | | Darden Restaurants Inc. | | | 377,068 | |
| | 876 | | | Domino’s Pizza Inc. | | | 325,749 | |
| | 9,149 | | | DraftKings Inc., Class A Shares*(a) | | | 146,933 | |
| | 3,651 | | | Expedia Group Inc.* | | | 374,775 | |
| | 6,632 | | | Hilton Worldwide Holdings Inc. | | | 844,652 | |
| | 1,213 | | | Hyatt Hotels Corp., Class A Shares* | | | 108,709 | |
| | 7,999 | | | Las Vegas Sands Corp.* | | | 301,002 | |
| | 6,585 | | | Marriott International Inc., Class A Shares | | | 1,012,378 | |
| | 1,021 | | | Marriott Vacations Worldwide Corp. | | | 145,411 | |
| | 17,863 | | | McDonald’s Corp. | | | 4,506,478 | |
| | 8,593 | | | MGM Resorts International | | | 280,475 | |
| | 10,097 | | | Norwegian Cruise Line Holdings Ltd.*(a) | | | 132,069 | |
| | 3,903 | | | Penn Entertainment Inc.* | | | 121,891 | |
| | 2,042 | | | Planet Fitness Inc., Class A Shares* | | | 138,345 | |
| | 5,344 | | | Royal Caribbean Cruises Ltd.* | | | 218,302 | |
| | 1,891 | | | Six Flags Entertainment Corp.* | | | 41,886 | |
| | 27,717 | | | Starbucks Corp. | | | 2,330,168 | |
| | 2,115 | | | Travel + Leisure Co. | | | 89,676 | |
| | 28,874 | | | Vail Resorts Inc. | | | 6,487,410 | |
| | 4,369 | | | Wendy’s Co. (The) | | | 83,797 | |
| | 2,249 | | | Wyndham Hotels & Resorts Inc. | | | 146,950 | |
| | 2,591 | | | Wynn Resorts Ltd.* | | | 156,989 | |
| | 6,915 | | | Yum! Brands Inc. | | | 769,225 | |
| | | | | | | | |
| | | | Total Hotels, Restaurants & Leisure | | | 30,718,091 | |
| | | | | | | | |
|
| Household Durables — 0.4% | |
| | 7,797 | | | DR Horton Inc. | | | 554,757 | |
| | 3,723 | | | Garmin Ltd. | | | 329,448 | |
| | 3,196 | | | Leggett & Platt Inc. | | | 122,151 | |
| | 6,195 | | | Lennar Corp., Class A Shares | | | 479,803 | |
| | 305 | | | Lennar Corp., Class B Shares | | | 18,813 | |
| | 1,270 | | | Mohawk Industries Inc.* | | | 140,157 | |
| | 9,327 | | | Newell Brands Inc. | | | 166,487 | |
| | 72 | | | NVR Inc.* | | | 298,084 | |
| | 5,708 | | | PulteGroup Inc. | | | 232,087 | |
| | 4,371 | | | Tempur Sealy International Inc. | | | 109,319 | |
| | 2,590 | | | Toll Brothers Inc. | | | 113,416 | |
| | 809 | | | TopBuild Corp.* | | | 148,662 | |
| | 27,150 | | | Whirlpool Corp. | | | 4,251,690 | |
| | | | | | | | |
| | | | Total Household Durables | | | 6,964,874 | |
| | | | | | | | |
|
| Internet & Direct Marketing Retail — 3.4% | |
| | 383,317 | | | Amazon.com Inc.* | | | 48,593,096 | |
| | 43,671 | | | Chewy Inc., Class A Shares*(a) | | | 1,499,225 | |
| | 6,034 | | | DoorDash Inc., Class A Shares* | | | 361,437 | |
| | 122,100 | | | eBay Inc. | | | 5,388,273 | |
| | 3,041 | | | Etsy Inc.* | | | 321,160 | |
| | 177,505 | | | Qurate Retail Inc., Class A Shares | | | 550,265 | |
| | 1,839 | | | Wayfair Inc., Class A Shares*(a) | | | 96,934 | |
| | | | | | | | |
| | | | Total Internet & Direct Marketing Retail | | | 56,810,390 | |
| | | | | | | | |
|
| Leisure Products — 0.0% | |
| | 1,887 | | | Brunswick Corp. | | | 140,978 | |
| | 3,095 | | | Hasbro Inc. | | | 243,948 | |
See Notes to Financial Statements.
34
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| CONSUMER DISCRETIONARY — 12.3% — (continued) | |
|
| Leisure Products — 0.0% — (continued) | |
| | 8,550 | | | Mattel Inc.* | | $ | 189,126 | |
| | 7,301 | | | Peloton Interactive Inc., Class A Shares* | | | 74,397 | |
| | 1,420 | | | Polaris Inc. | | | 160,843 | |
| | 2,098 | | | YETI Holdings Inc.* | | | 77,395 | |
| | | | | | | | |
| | | | Total Leisure Products | | | 886,687 | |
| | | | | | | | |
|
| Multiline Retail — 1.2% | |
| | 23,095 | | | Dollar General Corp. | | | 5,483,215 | |
| | 87,078 | | | Dollar Tree Inc.* | | | 11,814,743 | |
| | 3,089 | | | Kohl’s Corp. | | | 87,789 | |
| | 6,871 | | | Macy’s Inc. | | | 119,006 | |
| | 2,693 | | | Nordstrom Inc. | | | 46,077 | |
| | 1,541 | | | Ollie’s Bargain Outlet Holdings Inc.* | | | 85,233 | |
| | 11,194 | | | Target Corp. | | | 1,794,846 | |
| | | | | | | | |
| | | | Total Multiline Retail | | | 19,430,909 | |
| | | | | | | | |
|
| Specialty Retail — 2.2% | |
| | 16,804 | | | Advance Auto Parts Inc. | | | 2,833,827 | |
| | 983 | | | AutoNation Inc.* | | | 122,482 | |
| | 479 | | | AutoZone Inc.* | | | 1,015,102 | |
| | 5,631 | | | Bath & Body Works Inc. | | | 210,205 | |
| | 4,854 | | | Best Buy Co., Inc. | | | 343,129 | |
| | 1,598 | | | Burlington Stores Inc.* | | | 224,024 | |
| | 3,873 | | | CarMax Inc.* | | | 342,528 | |
| | 2,518 | | | Carvana Co., Class A Shares*(a) | | | 83,069 | |
| | 1,414 | | | Dick’s Sporting Goods Inc.(a) | | | 150,407 | |
| | 1,331 | | | Five Below Inc.* | | | 170,208 | |
| | 2,410 | | | Floor & Decor Holdings Inc., Class A Shares* | | | 196,078 | |
| | 6,300 | | | GameStop Corp., Class A Shares*(a) | | | 180,432 | |
| | 4,936 | | | Gap Inc. (The) | | | 45,115 | |
| | 24,975 | | | Home Depot Inc. (The) | | | 7,203,290 | |
| | 3,962 | | | Leslie’s Inc.*(a) | | | 56,181 | |
| | 11,311 | | | Lithia Motors Inc., Class A Shares | | | 3,002,392 | |
| | 47,328 | | | Lowe’s Cos., Inc. | | | 9,188,258 | |
| | 1,578 | | | O’Reilly Automotive Inc.* | | | 1,100,055 | |
| | 663 | | | Penske Automotive Group Inc. | | | 78,174 | |
| | 1,943 | | | Petco Health & Wellness Co., Inc., Class A Shares*(a) | | | 28,990 | |
| | 407 | | | RH* | | | 104,155 | |
| | 8,337 | | | Ross Stores Inc. | | | 719,233 | |
| | 91,277 | | | TJX Cos., Inc. (The) | | | 5,691,121 | |
| | 14,616 | | | Tractor Supply Co. | | | 2,706,152 | |
| | 1,241 | | | Ulta Beauty Inc.* | | | 521,059 | |
| | 1,832 | | | Victoria’s Secret & Co.* | | | 61,262 | |
| | 1,679 | | | Williams-Sonoma Inc. | | | 249,751 | |
| | | | | | | | |
| | | | Total Specialty Retail | | | 36,626,679 | |
| | | | | | | | |
|
| Textiles, Apparel & Luxury Goods — 0.9% | |
| | 3,539 | | | Capri Holdings Ltd.* | | | 166,970 | |
| | 977 | | | Carter’s Inc. | | | 72,151 | |
| | 874 | | | Columbia Sportswear Co. | | | 62,264 | |
| | 660 | | | Deckers Outdoor Corp.* | | | 212,236 | |
| | 167,055 | | | Hanesbrands Inc. | | | 1,455,049 | |
| | 2,697 | | | lululemon athletica Inc.* | | | 808,992 | |
| | 103,590 | | | NIKE Inc., Class B Shares | | | 11,027,155 | |
| | 1,682 | | | PVH Corp. | | | 94,613 | |
| | 1,066 | | | Ralph Lauren Corp., Class A Shares | | | 97,358 | |
See Notes to Financial Statements.
35
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| CONSUMER DISCRETIONARY — 12.3% — (continued) | |
|
| Textiles, Apparel & Luxury Goods — 0.9% — (continued) | |
| | 3,281 | | | Skechers USA Inc., Class A Shares* | | $ | 124,022 | |
| | 6,479 | | | Tapestry Inc. | | | 225,016 | |
| | 4,131 | | | Under Armour Inc., Class A Shares* | | | 34,783 | |
| | 5,012 | | | Under Armour Inc., Class C Shares* | | | 38,041 | |
| | 8,441 | | | V.F. Corp. | | | 349,879 | |
| | | | | | | | |
| | | | Total Textiles, Apparel & Luxury Goods | | | 14,768,529 | |
| | | | | | | | |
| | | | TOTAL CONSUMER DISCRETIONARY | | | 207,046,909 | |
| | | | | | | | |
|
| CONSUMER STAPLES — 5.4% | |
|
| Beverages — 1.1% | |
| | 205 | | | Boston Beer Co., Inc. (The), Class A Shares* | | | 69,101 | |
| | 1,117 | | | Brown-Forman Corp., Class A Shares | | | 78,827 | |
| | 4,438 | | | Brown-Forman Corp., Class B Shares | | | 322,643 | |
| | 94,378 | | | Coca-Cola Co. (The) | | | 5,824,066 | |
| | 3,739 | | | Constellation Brands Inc., Class A Shares | | | 919,981 | |
| | 20,713 | | | Keurig Dr Pepper Inc. | | | 789,580 | |
| | 4,259 | | | Molson Coors Beverage Co., Class B Shares | | | 220,062 | |
| | 54,971 | | | Monster Beverage Corp.* | | | 4,883,074 | |
| | 33,416 | | | PepsiCo Inc. | | | 5,756,574 | |
| | | | | | | | |
| | | | Total Beverages | | | 18,863,908 | |
| | | | | | | | |
|
| Food & Staples Retailing — 1.8% | |
| | 3,907 | | | Albertsons Cos., Inc., Class A Shares | | | 107,482 | |
| | 3,235 | | | BJ’s Wholesale Club Holdings Inc.* | | | 240,975 | |
| | 883 | | | Casey’s General Stores Inc. | | | 188,759 | |
| | 18,831 | | | Costco Wholesale Corp.(a) | | | 9,831,665 | |
| | 2,130 | | | Grocery Outlet Holding Corp.* | | | 85,456 | |
| | 15,836 | | | Kroger Co. (The) | | | 759,178 | |
| | 3,672 | | | Performance Food Group Co.* | | | 183,526 | |
| | 167,582 | | | Sysco Corp. | | | 13,778,592 | |
| | 5,416 | | | US Foods Holding Corp.* | | | 165,838 | |
| | 17,370 | | | Walgreens Boots Alliance Inc. | | | 608,992 | |
| | 34,845 | | | Walmart Inc. | | | 4,618,705 | |
| | | | | | | | |
| | | | Total Food & Staples Retailing | | | 30,569,168 | |
| | | | | | | | |
|
| Food Products — 1.1% | |
| | 63,678 | | | Archer-Daniels-Midland Co. | | | 5,596,660 | |
| | 3,370 | | | Bunge Ltd. | | | 334,203 | |
| | 4,785 | | | Campbell Soup Co. | | | 241,068 | |
| | 133,650 | | | Conagra Brands Inc. | | | 4,594,887 | |
| | 3,840 | | | Darling Ingredients Inc.* | | | 292,070 | |
| | 4,596 | | | Flowers Foods Inc. | | | 125,471 | |
| | 1,001 | | | Freshpet Inc.* | | | 43,574 | |
| | 14,613 | | | General Mills Inc. | | | 1,122,278 | |
| | 3,542 | | | Hershey Co. (The) | | | 795,781 | |
| | 6,820 | | | Hormel Foods Corp. | | | 342,910 | |
| | 1,567 | | | Ingredion Inc. | | | 136,439 | |
| | 2,573 | | | J.M. Smucker Co. (The) | | | 360,194 | |
| | 6,130 | | | Kellogg Co. | | | 445,896 | |
| | 16,797 | | | Kraft Heinz Co. (The) | | | 628,208 | |
| | 3,580 | | | Lamb Weston Holdings Inc. | | | 284,717 | |
| | 6,016 | | | McCormick & Co., Inc., Class VTG Shares | | | 505,765 | |
| | 33,385 | | | Mondelez International Inc., Class A Shares | | | 2,065,196 | |
| | 1,166 | | | Pilgrim’s Pride Corp.* | | | 33,196 | |
| | 1,321 | | | Post Holdings Inc.* | | | 117,252 | |
See Notes to Financial Statements.
36
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| CONSUMER STAPLES — 5.4% — (continued) | |
|
| Food Products — 1.1% — (continued) | |
| | 5 | | | Seaboard Corp. | | $ | 19,312 | |
| | 6,839 | | | Tyson Foods Inc., Class A Shares | | | 515,524 | |
| | | | | | | | |
| | | | Total Food Products | | | 18,600,601 | |
| | | | | | | | |
|
| Household Products — 0.7% | |
| | 5,833 | | | Church & Dwight Co., Inc. | | | 488,280 | |
| | 3,014 | | | Clorox Co. (The) | | | 435,041 | |
| | 20,009 | | | Colgate-Palmolive Co. | | | 1,564,904 | |
| | 8,163 | | | Kimberly-Clark Corp. | | | 1,040,946 | |
| | 57,770 | | | Procter & Gamble Co. (The) | | | 7,968,794 | |
| | 1,441 | | | Reynolds Consumer Products Inc. | | | 40,247 | |
| | 982 | | | Spectrum Brands Holdings Inc. | | | 61,856 | |
| | | | | | | | |
| | | | Total Household Products | | | 11,600,068 | |
| | | | | | | | |
|
| Personal Products — 0.4% | |
| | 8,462 | | | Coty Inc., Class A Shares* | | | 63,550 | |
| | 23,532 | | | Estee Lauder Cos., Inc. (The), Class A Shares | | | 5,986,070 | |
| | 3,001 | | | Olaplex Holdings Inc.* | | | 39,973 | |
| | | | | | | | |
| | | | Total Personal Products | | | 6,089,593 | |
| | | | | | | | |
|
| Tobacco — 0.3% | |
| | 43,778 | | | Altria Group Inc. | | | 1,975,263 | |
| | 37,455 | | | Philip Morris International Inc. | | | 3,576,578 | |
| | | | | | | | |
| | | | Total Tobacco | | | 5,551,841 | |
| | | | | | | | |
| | | | TOTAL CONSUMER STAPLES | | | 91,275,179 | |
| | | | | | | | |
|
| ENERGY — 3.1% | |
|
| Energy Equipment & Services — 0.2% | |
| | 22,360 | | | Baker Hughes Co., Class A Shares | | | 564,814 | |
| | 21,447 | | | Halliburton Co. | | | 646,198 | |
| | 9,553 | | | NOV Inc. | | | 168,801 | |
| | 34,138 | | | Schlumberger NV | | | 1,302,365 | |
| | | | | | | | |
| | | | Total Energy Equipment & Services | | | 2,682,178 | |
| | | | | | | | |
|
| Oil, Gas & Consumable Fuels — 2.9% | |
| | 8,284 | | | Antero Midstream Corp. | | | 83,420 | |
| | 7,097 | | | Antero Resources Corp.* | | | 284,448 | |
| | 8,138 | | | APA Corp. | | | 318,277 | |
| | 6,116 | | | Cheniere Energy Inc. | | | 979,661 | |
| | 3,079 | | | Chesapeake Energy Corp. | | | 309,409 | |
| | 47,502 | | | Chevron Corp. | | | 7,508,166 | |
| | 72,568 | | | ConocoPhillips | | | 7,942,568 | |
| | 870 | | | Continental Resources Inc. | | | 60,752 | |
| | 19,379 | | | Coterra Energy Inc. | | | 599,005 | |
| | 15,888 | | | Devon Energy Corp. | | | 1,122,011 | |
| | 4,276 | | | Diamondback Energy Inc. | | | 569,905 | |
| | 2,341 | | | DT Midstream Inc. | | | 129,247 | |
| | 739 | | | Enviva Inc. | | | 51,375 | |
| | 14,124 | | | EOG Resources Inc. | | | 1,713,241 | |
| | 8,898 | | | EQT Corp. | | | 425,324 | |
| | 101,902 | | | Exxon Mobil Corp. | | | 9,740,812 | |
| | 6,800 | | | Hess Corp. | | | 821,304 | |
| | 3,584 | | | HF Sinclair Corp. | | | 188,626 | |
| | 47,998 | | | Kinder Morgan Inc. | | | 879,323 | |
| | 17,035 | | | Marathon Oil Corp. | | | 435,926 | |
| | 13,052 | | | Marathon Petroleum Corp. | | | 1,314,989 | |
| | 1,163 | | | New Fortress Energy Inc., Class A Shares(a) | | | 66,698 | |
| | 19,770 | | | Occidental Petroleum Corp. | | | 1,403,670 | |
See Notes to Financial Statements.
37
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| ENERGY — 3.1% — (continued) | |
|
| Oil, Gas & Consumable Fuels — 2.9% — (continued) | |
| | 10,737 | | | ONEOK Inc. | | $ | 657,427 | |
| | 6,238 | | | Ovintiv Inc. | | | 331,487 | |
| | 2,284 | | | PDC Energy Inc. | | | 155,106 | |
| | 11,622 | | | Phillips 66 | | | 1,039,704 | |
| | 5,822 | | | Pioneer Natural Resources Co. | | | 1,474,247 | |
| | 6,348 | | | Range Resources Corp.* | | | 208,595 | |
| | 26,869 | | | Southwestern Energy Co.* | | | 201,249 | |
| | 175,889 | | | Suncor Energy Inc. | | | 5,684,732 | |
| | 5,452 | | | Targa Resources Corp. | | | 371,990 | |
| | 138 | | | Texas Pacific Land Corp. | | | 253,983 | |
| | 9,883 | | | Valero Energy Corp. | | | 1,157,497 | |
| | 29,427 | | | Williams Cos., Inc. (The) | | | 1,001,401 | |
| | | | | | | | |
| | | | Total Oil, Gas & Consumable Fuels | | | 49,485,575 | |
| | | | | | | | |
| | | | TOTAL ENERGY | | | 52,167,753 | |
| | | | | | | | |
|
| FINANCIALS — 9.3% | |
|
| Banks — 2.3% | |
| | 169,767 | | | Bank of America Corp. | | | 5,705,869 | |
| | 976 | | | Bank of Hawaii Corp. | | | 76,147 | |
| | 2,879 | | | Bank OZK | | | 116,686 | |
| | 739 | | | BOK Financial Corp. | | | 65,675 | |
| | 47,653 | | | Citigroup Inc. | | | 2,325,943 | |
| | 11,790 | | | Citizens Financial Group Inc. | | | 432,457 | |
| | 3,214 | | | Comerica Inc. | | | 258,084 | |
| | 2,651 | | | Commerce Bancshares Inc. | | | 182,309 | |
| | 1,425 | | | Cullen/Frost Bankers Inc. | | | 185,193 | |
| | 3,404 | | | East West Bancorp Inc. | | | 245,667 | |
| | 16,477 | | | Fifth Third Bancorp | | | 562,690 | |
| | 298 | | | First Citizens BancShares Inc., Class A Shares | | | 241,964 | |
| | 3,053 | | | First Hawaiian Inc. | | | 78,493 | |
| | 12,974 | | | First Horizon Corp. | | | 293,472 | |
| | 4,310 | | | First Republic Bank | | | 654,387 | |
| | 7,759 | | | FNB Corp. | | | 92,487 | |
| | 34,754 | | | Huntington Bancshares Inc. | | | 465,704 | |
| | 70,504 | | | JPMorgan Chase & Co. | | | 8,018,420 | |
| | 22,280 | | | KeyCorp | | | 394,133 | |
| | 4,314 | | | M&T Bank Corp. | | | 784,199 | |
| | 2,843 | | | PacWest Bancorp | | | 74,856 | |
| | 1,867 | | | Pinnacle Financial Partners Inc. | | | 150,686 | |
| | 9,977 | | | PNC Financial Services Group Inc. (The) | | | 1,576,366 | |
| | 1,877 | | | Popular Inc. | | | 144,942 | |
| | 2,130 | | | Prosperity Bancshares Inc. | | | 150,974 | |
| | 22,570 | | | Regions Financial Corp. | | | 489,092 | |
| | 1,505 | | | Signature Bank | | | 262,412 | |
| | 1,417 | | | SVB Financial Group* | | | 576,039 | |
| | 3,560 | | | Synovus Financial Corp. | | | 142,970 | |
| | 111,722 | | | Truist Financial Corp. | | | 5,233,058 | |
| | 4,955 | | | Umpqua Holdings Corp. | | | 87,902 | |
| | 104,714 | | | US Bancorp | | | 4,776,005 | |
| | 4,305 | | | Webster Financial Corp. | | | 202,550 | |
| | 91,670 | | | Wells Fargo & Co. | | | 4,006,896 | |
| | 2,553 | | | Western Alliance Bancorp | | | 195,866 | |
| | 1,389 | | | Wintrust Financial Corp. | | | 117,148 | |
| | 3,575 | | | Zions Bancorp NA | | | 196,732 | |
| | | | | | | | |
| | | | Total Banks | | | 39,564,473 | |
| | | | | | | | |
See Notes to Financial Statements.
38
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| FINANCIALS — 9.3% — (continued) | |
|
| Capital Markets — 3.5% | |
| | 21,070 | | | Affiliated Managers Group Inc. | | $ | 2,683,475 | |
| | 30,526 | | | Ameriprise Financial Inc. | | | 8,181,273 | |
| | 3,662 | | | Ares Management Corp., Class A Shares | | | 271,501 | |
| | 17,836 | | | Bank of New York Mellon Corp. (The) | | | 740,729 | |
| | 3,626 | | | BlackRock Inc., Class A Shares | | | 2,416,330 | |
| | 16,977 | | | Blackstone Inc. | | | 1,594,819 | |
| | 9,729 | | | Blue Owl Capital Inc., Class A Shares | | | 107,992 | |
| | 4,998 | | | Carlyle Group Inc. (The) | | | 162,585 | |
| | 2,555 | | | Cboe Global Markets Inc. | | | 301,413 | |
| | 36,739 | | | Charles Schwab Corp. (The) | | | 2,606,632 | |
| | 8,683 | | | CME Group Inc., Class A Shares | | | 1,698,482 | |
| | 3,742 | | | Coinbase Global Inc., Class A Shares*(a) | | | 249,966 | |
| | 867 | | | Evercore Inc., Class A Shares | | | 81,229 | |
| | 917 | | | FactSet Research Systems Inc. | | | 397,373 | |
| | 6,996 | | | Franklin Resources Inc. | | | 182,386 | |
| | 8,040 | | | Goldman Sachs Group Inc. (The) | | | 2,674,667 | |
| | 2,242 | | | Interactive Brokers Group Inc., Class A Shares | | | 138,085 | |
| | 13,336 | | | Intercontinental Exchange Inc. | | | 1,344,936 | |
| | 9,015 | | | Invesco Ltd. | | | 148,477 | |
| | 3,326 | | | Janus Henderson Group PLC | | | 77,828 | |
| | 5,253 | | | Jefferies Financial Group Inc. | | | 168,569 | |
| | 13,812 | | | KKR & Co., Inc., Class Miscella Shares | | | 698,335 | |
| | 2,461 | | | Lazard Ltd., Class A Shares | | | 89,457 | |
| | 1,926 | | | LPL Financial Holdings Inc. | | | 426,282 | |
| | 917 | | | MarketAxess Holdings Inc. | | | 227,957 | |
| | 3,862 | | | Moody’s Corp. | | | 1,098,816 | |
| | 30,843 | | | Morgan Stanley(b) | | | 2,628,440 | |
| | 573 | | | Morningstar Inc. | | | 130,639 | |
| | 12,658 | | | MSCI Inc., Class A Shares | | | 5,686,480 | |
| | 8,382 | | | Nasdaq Inc. | | | 498,981 | |
| | 4,949 | | | Northern Trust Corp. | | | 470,600 | |
| | 4,701 | | | Raymond James Financial Inc. | | | 490,643 | |
| | 13,415 | | | Robinhood Markets Inc., Class A Shares*(a) | | | 128,113 | |
| | 49,751 | | | S&P Global Inc. | | | 17,521,307 | |
| | 2,620 | | | SEI Investments Co. | | | 143,314 | |
| | 8,904 | | | State Street Corp. | | | 608,588 | |
| | 2,502 | | | Stifel Financial Corp. | | | 148,394 | |
| | 5,404 | | | T. Rowe Price Group Inc. | | | 648,480 | |
| | 2,565 | | | Tradeweb Markets Inc., Class A Shares | | | 178,498 | |
| | 2,150 | | | Virtu Financial Inc., Class A Shares | | | 49,364 | |
| | | | | | | | |
| | | | Total Capital Markets | | | 58,101,435 | |
| | | | | | | | |
|
| Consumer Finance — 0.6% | |
| | 7,793 | | | Ally Financial Inc. | | | 258,728 | |
| | 14,552 | | | American Express Co. | | | 2,211,904 | |
| | 25,727 | | | Bread Financial Holdings Inc. | | | 988,689 | |
| | 9,561 | | | Capital One Financial Corp. | | | 1,011,745 | |
| | 166 | | | Credit Acceptance Corp.*(a) | | | 88,325 | |
| | 42,787 | | | Discover Financial Services | | | 4,299,666 | |
| | 2,681 | | | OneMain Holdings Inc., Class A Shares | | | 93,647 | |
| | 6,566 | | | SLM Corp. | | | 100,329 | |
| | 19,194 | | | SoFi Technologies Inc.*(a) | | | 113,628 | |
| | 12,067 | | | Synchrony Financial | | | 395,194 | |
| | 1,772 | | | Upstart Holdings Inc.*(a) | | | 45,895 | |
| | | | | | | | |
| | | | Total Consumer Finance | | | 9,607,750 | |
| | | | | | | | |
See Notes to Financial Statements.
39
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| FINANCIALS — 9.3% — (continued) | |
|
| Diversified Financial Services — 0.8% | |
| | 11,090 | | | Apollo Global Management Inc. | | $ | 616,382 | |
| | 43,608 | | | Berkshire Hathaway Inc., Class B Shares* | | | 12,245,127 | |
| | 9,245 | | | Equitable Holdings Inc. | | | 275,039 | |
| | 2,504 | | | Voya Financial Inc. | | | 154,071 | |
| | | | | | | | |
| | | | Total Diversified Financial Services | | | 13,290,619 | |
| | | | | | | | |
|
| Insurance — 2.1% | |
| | 15,428 | | | Aflac Inc. | | | 916,732 | |
| | 316 | | | Alleghany Corp.* | | | 265,813 | |
| | 6,619 | | | Allstate Corp. (The) | | | 797,589 | |
| | 1,662 | | | American Financial Group Inc. | | | 212,204 | |
| | 89,947 | | | American International Group Inc. | | | 4,654,757 | |
| | 5,084 | | | Aon PLC, Class A Shares(a) | | | 1,419,758 | |
| | 8,703 | | | Arch Capital Group Ltd.* | | | 397,901 | |
| | 5,025 | | | Arthur J. Gallagher & Co. | | | 912,389 | |
| | 25,593 | | | Assurant Inc. | | | 4,056,235 | |
| | 1,487 | | | Assured Guaranty Ltd. | | | 75,941 | |
| | 1,899 | | | Axis Capital Holdings Ltd. | | | 100,932 | |
| | 1,952 | | | Brighthouse Financial Inc.* | | | 92,818 | |
| | 5,715 | | | Brown & Brown Inc. | | | 360,274 | |
| | 10,191 | | | Chubb Ltd. | | | 1,926,609 | |
| | 3,776 | | | Cincinnati Financial Corp. | | | 366,121 | |
| | 623 | | | CNA Financial Corp. | | | 23,961 | |
| | 562 | | | Erie Indemnity Co., Class A Shares | | | 120,791 | |
| | 953 | | | Everest Re Group Ltd. | | | 256,405 | |
| | 6,572 | | | Fidelity National Financial Inc. | | | 256,965 | |
| | 2,597 | | | First American Financial Corp. | | | 138,939 | |
| | 2,185 | | | Globe Life Inc. | | | 212,360 | |
| | 830 | | | Hanover Insurance Group Inc. (The) | | | 107,394 | |
| | 7,927 | | | Hartford Financial Services Group Inc. (The) | | | 509,785 | |
| | 1,386 | | | Kemper Corp. | | | 63,756 | |
| | 90,387 | | | Lincoln National Corp. | | | 4,163,225 | |
| | 4,917 | | | Loews Corp. | | | 271,959 | |
| | 322 | | | Markel Corp.* | | | 384,503 | |
| | 12,114 | | | Marsh & McLennan Cos., Inc. | | | 1,954,836 | |
| | 77,858 | | | MetLife Inc. | | | 5,008,605 | |
| | 6,738 | | | Old Republic International Corp. | | | 147,158 | |
| | 961 | | | Primerica Inc. | | | 121,807 | |
| | 6,039 | | | Principal Financial Group Inc. | | | 451,476 | |
| | 14,148 | | | Progressive Corp. (The) | | | 1,735,252 | |
| | 9,063 | | | Prudential Financial Inc. | | | 867,782 | |
| | 1,634 | | | Reinsurance Group of America Inc. | | | 204,838 | |
| | 1,044 | | | RenaissanceRe Holdings Ltd. | | | 141,211 | |
| | 1,985 | | | Ryan Specialty Holdings Inc., Class A Shares* | | | 84,085 | |
| | 5,783 | | | Travelers Cos., Inc. (The) | | | 934,764 | |
| | 4,997 | | | Unum Group | | | 189,136 | |
| | 65 | | | White Mountains Insurance Group Ltd. | | | 89,050 | |
| | 2,678 | | | Willis Towers Watson PLC | | | 553,891 | |
| | 5,010 | | | WR Berkley Corp. | | | 324,648 | |
| | | | | | | | |
| | | | Total Insurance | | | 35,874,655 | |
| | | | | | | | |
|
| Mortgage Real Estate Investment Trusts (REITs) — 0.0% | |
| | 12,854 | | | AGNC Investment Corp. | | | 153,605 | |
| | 37,620 | | | Annaly Capital Management Inc. | | | 242,649 | |
| | 9,809 | | | Rithm Capital Corp. | | | 92,499 | |
| | 6,684 | | | Starwood Property Trust Inc. | | | 153,264 | |
| | | | | | | | |
| | | | Total Mortgage Real Estate Investment Trusts (REITs) | | | 642,017 | |
| | | | | | | | |
See Notes to Financial Statements.
40
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| FINANCIALS — 9.3% — (continued) | |
|
| Thrifts & Mortgage Finance — 0.0% | |
| | 7,432 | | | MGIC Investment Corp. | | $ | 106,203 | |
| | 11,184 | | | New York Community Bancorp Inc.(a) | | | 109,492 | |
| | 2,586 | | | Rocket Cos., Inc., Class A Shares | | | 20,430 | |
| | 1,501 | | | TFS Financial Corp. | | | 21,464 | |
| | 1,352 | | | UWM Holdings Corp. | | | 4,894 | |
| | | | | | | | |
| | | | Total Thrifts & Mortgage Finance | | | 262,483 | |
| | | | | | | | |
| | | | TOTAL FINANCIALS | | | 157,343,432 | |
| | | | | | | | |
|
| HEALTH CARE — 14.4% | |
|
| Biotechnology — 1.6% | |
| | 42,720 | | | AbbVie Inc. | | | 5,744,131 | |
| | 2,942 | | | Alnylam Pharmaceuticals Inc.* | | | 608,023 | |
| | 12,907 | | | Amgen Inc. | | | 3,101,552 | |
| | 3,541 | | | Biogen Inc.* | | | 691,840 | |
| | 58,638 | | | BioMarin Pharmaceutical Inc.* | | | 5,230,510 | |
| | 50,623 | | | Exact Sciences Corp.* | | | 1,799,648 | |
| | 7,389 | | | Exelixis Inc.* | | | 131,081 | |
| | 30,412 | | | Gilead Sciences Inc. | | | 1,930,250 | |
| | 5,422 | | | Horizon Therapeutics PLC* | | | 321,037 | |
| | 4,457 | | | Incyte Corp.* | | | 313,906 | |
| | 3,439 | | | Ionis Pharmaceuticals Inc.* | | | 146,226 | |
| | 1,034 | | | Mirati Therapeutics Inc.* | | | 83,785 | |
| | 8,303 | | | Moderna Inc.* | | | 1,098,238 | |
| | 2,093 | | | Natera Inc.* | | | 103,101 | |
| | 2,294 | | | Neurocrine Biosciences Inc.* | | | 240,021 | |
| | 1,839 | | | Novavax Inc.*(a) | | | 60,760 | |
| | 2,505 | | | Regeneron Pharmaceuticals Inc.* | | | 1,455,555 | |
| | 17,484 | | | Sarepta Therapeutics Inc.* | | | 1,912,400 | |
| | 3,247 | | | Seagen Inc.* | | | 500,980 | |
| | 1,578 | | | Ultragenyx Pharmaceutical Inc.* | | | 75,255 | |
| | 1,085 | | | United Therapeutics Corp.* | | | 245,883 | |
| | 6,163 | | | Vertex Pharmaceuticals Inc.* | | | 1,736,487 | |
| | | | | | | | |
| | | | Total Biotechnology | | | 27,530,669 | |
| | | | | | | | |
|
| Health Care Equipment & Supplies — 4.0% | |
| | 41,448 | | | Abbott Laboratories | | | 4,254,637 | |
| | 1,085 | | | ABIOMED Inc.* | | | 281,319 | |
| | 47,570 | | | Alcon Inc. | | | 3,124,398 | |
| | 12,123 | | | Align Technology Inc.* | | | 2,954,375 | |
| | 70,773 | | | Baxter International Inc. | | | 4,066,617 | |
| | 6,863 | | | Becton Dickinson and Co. | | | 1,732,358 | |
| | 34,359 | | | Boston Scientific Corp.* | | | 1,385,011 | |
| | 1,164 | | | Cooper Cos., Inc. (The) | | | 334,580 | |
| | 5,221 | | | DENTSPLY SIRONA Inc. | | | 171,092 | |
| | 41,059 | | | DexCom Inc.* | | | 3,375,460 | |
| | 56,785 | | | Edwards Lifesciences Corp.* | | | 5,116,329 | |
| | 1,137 | | | Enovis Corp.* | | | 57,589 | |
| | 97,828 | | | Envista Holdings Corp.* | | | 3,628,441 | |
| | 1,921 | | | Globus Medical Inc., Class A Shares* | | | 113,704 | |
| | 59,258 | | | Hologic Inc.* | | | 4,003,471 | |
| | 488 | | | ICU Medical Inc.* | | | 77,592 | |
| | 2,014 | | | IDEXX Laboratories Inc.* | | | 700,107 | |
| | 15,946 | | | Insulet Corp.* | | | 4,073,725 | |
| | 1,619 | | | Integra LifeSciences Holdings Corp.* | | | 77,243 | |
| | 36,875 | | | Intuitive Surgical Inc.* | | | 7,586,663 | |
See Notes to Financial Statements.
41
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| HEALTH CARE — 14.4% — (continued) | |
|
| Health Care Equipment & Supplies — 4.0% — (continued) | |
| | 1,232 | | | Masimo Corp.* | | $ | 180,969 | |
| | 127,178 | | | Medtronic PLC | | | 11,181,490 | |
| | 2,510 | | | Novocure Ltd.* | | | 206,146 | |
| | 30,925 | | | Omnicell Inc.* | | | 3,163,318 | |
| | 814 | | | Penumbra Inc.* | | | 133,634 | |
| | 1,193 | | | QuidelOrtho Corp.* | | | 94,557 | |
| | 3,482 | | | ResMed Inc. | | | 765,761 | |
| | 2,052 | | | STERIS PLC | | | 413,232 | |
| | 19,392 | | | Stryker Corp. | | | 3,979,238 | |
| | 1,518 | | | Tandem Diabetes Care Inc.* | | | 69,433 | |
| | 1,147 | | | Teleflex Inc. | | | 259,520 | |
| | 5,042 | | | Zimmer Biomet Holdings Inc. | | | 536,065 | |
| | | | | | | | |
| | | | Total Health Care Equipment & Supplies | | | 68,098,074 | |
| | | | | | | | |
|
| Health Care Providers & Services — 4.0% | |
| | 2,168 | | | Acadia Healthcare Co., Inc.* | | | 177,624 | |
| | 4,518 | | | agilon health Inc.*(a) | | | 93,884 | |
| | 758 | | | Amedisys Inc.* | | | 89,785 | |
| | 3,579 | | | AmerisourceBergen Corp., Class A Shares | | | 524,538 | |
| | 6,630 | | | Cardinal Health Inc. | | | 468,874 | |
| | 102,005 | | | Centene Corp.* | | | 9,153,929 | |
| | 350 | | | Chemed Corp. | | | 166,667 | |
| | 47,221 | | | Cigna Corp. | | | 13,384,792 | |
| | 76,785 | | | CVS Health Corp. | | | 7,536,448 | |
| | 1,410 | | | DaVita Inc.* | | | 120,259 | |
| | 5,827 | | | Elevance Health Inc. | | | 2,826,736 | |
| | 2,312 | | | Encompass Health Corp. | | | 112,294 | |
| | 1,156 | | | Enhabit Inc.* | | | 19,190 | |
| | 2,256 | | | Guardant Health Inc.* | | | 112,935 | |
| | 34,024 | | | HCA Healthcare Inc. | | | 6,732,329 | |
| | 3,404 | | | Henry Schein Inc.* | | | 249,888 | |
| | 3,055 | | | Humana Inc. | | | 1,471,838 | |
| | 2,244 | | | Laboratory Corp. of America Holdings | | | 505,506 | |
| | 3,506 | | | McKesson Corp. | | | 1,286,702 | |
| | 1,412 | | | Molina Healthcare Inc.* | | | 476,366 | |
| | 2,407 | | | Oak Street Health Inc.*(a) | | | 63,063 | |
| | 2,881 | | | Premier Inc., Class A Shares | | | 101,526 | |
| | 2,824 | | | Quest Diagnostics Inc. | | | 353,875 | |
| | 1,570 | | | Signify Health Inc., Class A Shares* | | | 43,803 | |
| | 2,566 | | | Tenet Healthcare Corp.* | | | 144,979 | |
| | 39,699 | | | UnitedHealth Group Inc. | | | 20,616,882 | |
| | 1,567 | | | Universal Health Services Inc., Class B Shares | | | 153,315 | |
| | | | | | | | |
| | | | Total Health Care Providers & Services | | | 66,988,027 | |
| | | | | | | | |
|
| Health Care Technology — 0.1% | |
| | 2,793 | | | Certara Inc.* | | | 43,766 | |
| | 6,134 | | | Change Healthcare Inc.* | | | 150,712 | |
| | 495 | | | Definitive Healthcare Corp., Class A Shares* | | | 9,940 | |
| | 2,315 | | | Doximity Inc., Class A Shares*(a) | | | 76,835 | |
| | 3,728 | | | Teladoc Health Inc.* | | | 115,792 | |
| | 3,379 | | | Veeva Systems Inc., Class A Shares* | | | 673,502 | |
| | | | | | | | |
| | | | Total Health Care Technology | | | 1,070,547 | |
| | | | | | | | |
|
| Life Sciences Tools & Services — 1.6% | |
| | 2,102 | | | 10X Genomics Inc., Class A Shares* | | | 69,345 | |
| | 7,260 | | | Agilent Technologies Inc. | | | 931,095 | |
See Notes to Financial Statements.
42
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| HEALTH CARE — 14.4% — (continued) | |
|
| Life Sciences Tools & Services — 1.6% — (continued) | |
| | 14,610 | | | Avantor Inc.* | | $ | 363,935 | |
| | 1,795 | | | Azenta Inc. | | | 94,614 | |
| | 518 | | | Bio-Rad Laboratories Inc., Class A Shares* | | | 251,251 | |
| | 959 | | | Bio-Techne Corp. | | | 318,206 | |
| | 2,509 | | | Bruker Corp. | | | 140,504 | |
| | 1,205 | | | Charles River Laboratories International Inc.* | | | 247,326 | |
| | 15,647 | | | Danaher Corp. | | | 4,223,282 | |
| | 14,048 | | | Illumina Inc.* | | | 2,832,639 | |
| | 4,547 | | | IQVIA Holdings Inc.* | | | 966,965 | |
| | 2,546 | | | Maravai LifeSciences Holdings Inc., Class A Shares* | | | 53,135 | |
| | 540 | | | Mettler-Toledo International Inc.* | | | 654,728 | |
| | 3,031 | | | PerkinElmer Inc. | | | 409,367 | |
| | 5,478 | | | QIAGEN NV* | | | 248,866 | |
| | 1,292 | | | Repligen Corp.* | | | 283,426 | |
| | 121,844 | | | Sotera Health Co.* | | | 2,060,382 | |
| | 2,467 | | | Syneos Health Inc., Class A Shares* | | | 148,291 | |
| | 20,828 | | | Thermo Fisher Scientific Inc. | | | 11,357,925 | |
| | 1,461 | | | Waters Corp.* | | | 436,255 | |
| | 1,779 | | | West Pharmaceutical Services Inc. | | | 527,811 | |
| | | | | | | | |
| | | | Total Life Sciences Tools & Services | | | 26,619,348 | |
| | | | | | | | |
|
| Pharmaceuticals — 3.1% | |
| | 51,478 | | | Bristol-Myers Squibb Co. | | | 3,470,132 | |
| | 4,148 | | | Catalent Inc.* | | | 365,024 | |
| | 10,717 | | | Elanco Animal Health Inc.* | | | 162,148 | |
| | 33,268 | | | Eli Lilly & Co. | | | 10,021,320 | |
| | 1,469 | | | Jazz Pharmaceuticals PLC* | | | 228,018 | |
| | 87,115 | | | Johnson & Johnson | | | 14,055,134 | |
| | 111,447 | | | Merck & Co., Inc. | | | 9,513,116 | |
| | 6,220 | | | Organon & Co. | | | 177,457 | |
| | 3,275 | | | Perrigo Co. PLC | | | 122,551 | |
| | 136,617 | | | Pfizer Inc. | | | 6,179,187 | |
| | 8,863 | | | Royalty Pharma PLC, Class A Shares | | | 370,562 | |
| | 29,500 | | | Viatris Inc. | | | 281,725 | |
| | 42,150 | | | Zoetis Inc., Class A Shares | | | 6,597,739 | |
| | | | | | | | |
| | | | Total Pharmaceuticals | | | 51,544,113 | |
| | | | | | | | |
| | | | TOTAL HEALTH CARE | | | 241,850,778 | |
| | | | | | | | |
|
| INDUSTRIALS — 10.6% | |
|
| Aerospace & Defense — 1.6% | |
| | 1,588 | | | Axon Enterprise Inc.* | | | 185,288 | |
| | 13,245 | | | Boeing Co. (The)* | | | 2,122,511 | |
| | 2,242 | | | BWX Technologies Inc. | | | 116,875 | |
| | 911 | | | Curtiss-Wright Corp. | | | 134,090 | |
| | 5,953 | | | General Dynamics Corp. | | | 1,362,820 | |
| | 1,077 | | | HEICO Corp. | | | 164,027 | |
| | 1,928 | | | HEICO Corp., Class A Shares | | | 236,334 | |
| | 1,987 | | | Hexcel Corp. | | | 116,577 | |
| | 9,072 | | | Howmet Aerospace Inc. | | | 321,421 | |
| | 960 | | | Huntington Ingalls Industries Inc. | | | 221,050 | |
| | 4,649 | | | L3Harris Technologies Inc. | | | 1,060,855 | |
| | 5,737 | | | Lockheed Martin Corp. | | | 2,410,171 | |
| | 1,373 | | | Mercury Systems Inc.* | | | 66,083 | |
| | 11,845 | | | Northrop Grumman Corp. | | | 5,661,792 | |
| | 126,058 | | | Raytheon Technologies Corp. | | | 11,313,706 | |
See Notes to Financial Statements.
43
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| INDUSTRIALS — 10.6% — (continued) | |
|
| Aerospace & Defense — 1.6% — (continued) | |
| | 2,567 | | | Spirit AeroSystems Holdings Inc., Class A Shares | | $ | 77,267 | |
| | 5,187 | | | Textron Inc. | | | 323,565 | |
| | 1,262 | | | TransDigm Group Inc. | | | 757,692 | |
| | 1,419 | | | Woodward Inc. | | | 132,066 | |
| | | | | | | | |
| | | | Total Aerospace & Defense | | | 26,784,190 | |
| | | | | | | | |
|
| Air Freight & Logistics — 0.6% | |
| | 3,030 | | | CH Robinson Worldwide Inc. | | | 345,874 | |
| | 4,031 | | | Expeditors International of Washington Inc. | | | 414,750 | |
| | 5,802 | | | FedEx Corp. | | | 1,223,120 | |
| | 2,423 | | | GXO Logistics Inc.* | | | 107,533 | |
| | 41,779 | | | United Parcel Service Inc., Class B Shares | | | 8,126,433 | |
| | | | | | | | |
| | | | Total Air Freight & Logistics | | | 10,217,710 | |
| | | | | | | | |
|
| Airlines — 0.1% | |
| | 3,059 | | | Alaska Air Group Inc.* | | | 133,250 | |
| | 15,532 | | | American Airlines Group Inc.*(a) | | | 201,761 | |
| | 729 | | | Copa Holdings SA, Class A Shares* | | | 51,905 | |
| | 15,429 | | | Delta Air Lines Inc.* | | | 479,379 | |
| | 7,862 | | | JetBlue Airways Corp.* | | | 61,245 | |
| | 14,275 | | | Southwest Airlines Co.* | | | 523,892 | |
| | 7,823 | | | United Airlines Holdings Inc.* | | | 273,883 | |
| | | | | | | | |
| | | | Total Airlines | | | 1,725,315 | |
| | | | | | | | |
|
| Building Products — 0.8% | |
| | 1,500 | | | Advanced Drainage Systems Inc. | | | 203,550 | |
| | 2,167 | | | Allegion PLC | | | 206,082 | |
| | 3,171 | | | AO Smith Corp. | | | 179,003 | |
| | 50,860 | | | Armstrong World Industries Inc. | | | 4,271,731 | |
| | 2,837 | | | AZEK Co., Inc. (The), Class A Shares* | | | 51,775 | |
| | 4,151 | | | Builders FirstSource Inc.* | | | 243,290 | |
| | 1,243 | | | Carlisle Cos., Inc. | | | 367,505 | |
| | 20,474 | | | Carrier Global Corp. | | | 800,943 | |
| | 3,153 | | | Fortune Brands Home & Security Inc. | | | 193,689 | |
| | 1,316 | | | Hayward Holdings Inc.* | | | 13,831 | |
| | 16,805 | | | Johnson Controls International PLC | | | 909,823 | |
| | 809 | | | Lennox International Inc. | | | 194,257 | |
| | 5,706 | | | Masco Corp. | | | 290,264 | |
| | 2,339 | | | Owens Corning | | | 191,167 | |
| | 35,700 | | | Trane Technologies PLC | | | 5,500,299 | |
| | 2,819 | | | Trex Co., Inc.* | | | 131,901 | |
| | | | | | | | |
| | | | Total Building Products | | | 13,749,110 | |
| | | | | | | | |
|
| Commercial Services & Supplies — 0.9% | |
| | 2,114 | | | Cintas Corp. | | | 860,060 | |
| | 1,242 | | | Clean Harbors Inc.* | | | 145,836 | |
| | 5,147 | | | Copart Inc.* | | | 615,838 | |
| | 1,107 | | | Driven Brands Holdings Inc.* | | | 34,793 | |
| | 3,347 | | | IAA Inc.* | | | 124,709 | |
| | 852 | | | MSA Safety Inc. | | | 101,269 | |
| | 4,980 | | | Republic Services Inc., Class A Shares | | | 710,746 | |
| | 5,481 | | | Rollins Inc. | | | 185,038 | |
| | 2,263 | | | Stericycle Inc.* | | | 113,354 | |
| | 1,286 | | | Tetra Tech Inc. | | | 174,652 | |
| | 66,138 | | | Waste Management Inc. | | | 11,179,306 | |
| | | | | | | | |
| | | | Total Commercial Services & Supplies | | | 14,245,601 | |
| | | | | | | | |
See Notes to Financial Statements.
44
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| INDUSTRIALS — 10.6% — (continued) | |
|
| Construction & Engineering — 0.3% | |
| | 3,232 | | | AECOM | | $ | 236,421 | |
| | 1,402 | | | MasTec Inc.* | | | 112,861 | |
| | 4,849 | | | MDU Resources Group Inc. | | | 146,198 | |
| | 32,011 | | | Quanta Services Inc. | | | 4,523,154 | |
| | 511 | | | Valmont Industries Inc. | | | 141,455 | |
| | 5,231 | | | WillScot Mobile Mini Holdings Corp.* | | | 209,972 | |
| | | | | | | | |
| | | | Total Construction & Engineering | | | 5,370,061 | |
| | | | | | | | |
|
| Electrical Equipment — 0.7% | |
| | 810 | | | Acuity Brands Inc. | | | 132,783 | |
| | 5,580 | | | AMETEK Inc. | | | 670,493 | |
| | 86,492 | | | Bloom Energy Corp., Class A Shares* | | | 2,197,762 | |
| | 5,322 | | | ChargePoint Holdings Inc.* | | | 86,589 | |
| | 35,292 | | | Eaton Corp. PLC | | | 4,822,299 | |
| | 14,270 | | | Emerson Electric Co. | | | 1,166,430 | |
| | 1,504 | | | Generac Holdings Inc.* | | | 331,496 | |
| | 1,310 | | | Hubbell Inc., Class B Shares | | | 270,253 | |
| | 4,082 | | | nVent Electric PLC | | | 134,543 | |
| | 12,478 | | | Plug Power Inc.*(a) | | | 349,883 | |
| | 1,629 | | | Regal Rexnord Corp. | | | 224,134 | |
| | 2,809 | | | Rockwell Automation Inc. | | | 665,564 | |
| | 3,815 | | | Sensata Technologies Holding PLC | | | 153,668 | |
| | 4,962 | | | Sunrun Inc.* | | | 163,895 | |
| | 7,564 | | | Vertiv Holdings Co., Class A Shares | | | 87,213 | |
| | | | | | | | |
| | | | Total Electrical Equipment | | | 11,457,005 | |
| | | | | | | | |
|
| Industrial Conglomerates — 0.6% | |
| | 13,717 | | | 3M Co.(a)(f) | | | 1,705,709 | |
| | 26,455 | | | General Electric Co. | | | 1,942,855 | |
| | 36,604 | | | Honeywell International Inc. | | | 6,930,968 | |
| | | | | | | | |
| | | | Total Industrial Conglomerates | | | 10,579,532 | |
| | | | | | | | |
|
| Machinery — 1.6% | |
| | 1,530 | | | AGCO Corp. | | | 166,326 | |
| | 2,505 | | | Allison Transmission Holdings Inc. | | | 90,831 | |
| | 12,892 | | | Caterpillar Inc. | | | 2,381,281 | |
| | 1,209 | | | Crane Holdings Co. | | | 114,081 | |
| | 3,404 | | | Cummins Inc. | | | 733,120 | |
| | 6,756 | | | Deere & Co. | | | 2,467,629 | |
| | 2,988 | | | Donaldson Co., Inc. | | | 153,434 | |
| | 33,648 | | | Dover Corp. | | | 4,204,654 | |
| | 1,137 | | | Esab Corp. | | | 46,719 | |
| | 3,094 | | | Flowserve Corp. | | | 94,274 | |
| | 8,663 | | | Fortive Corp. | | | 548,628 | |
| | 2,333 | | | Gates Industrial Corp. PLC* | | | 25,010 | |
| | 4,032 | | | Graco Inc. | | | 257,403 | |
| | 1,834 | | | IDEX Corp. | | | 369,019 | |
| | 7,488 | | | Illinois Tool Works Inc.(a) | | | 1,458,887 | |
| | 9,809 | | | Ingersoll Rand Inc. | | | 464,652 | |
| | 2,113 | | | ITT Inc. | | | 153,256 | |
| | 1,386 | | | Lincoln Electric Holdings Inc. | | | 189,453 | |
| | 1,333 | | | Middleby Corp. (The)* | | | 191,712 | |
| | 1,418 | | | Nordson Corp. | | | 322,127 | |
| | 1,557 | | | Oshkosh Corp. | | | 124,186 | |
| | 130,036 | | | Otis Worldwide Corp. | | | 9,391,200 | |
See Notes to Financial Statements.
45
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| INDUSTRIALS — 10.6% — (continued) | |
|
| Machinery — 1.6% — (continued) | |
| | 8,248 | | | PACCAR Inc. | | $ | 721,783 | |
| | 3,078 | | | Parker-Hannifin Corp. | | | 815,670 | |
| | 3,979 | | | Pentair PLC | | | 177,066 | |
| | 1,292 | | | Snap-on Inc. | | | 281,475 | |
| | 3,641 | | | Stanley Black & Decker Inc. | | | 320,772 | |
| | 1,488 | | | Timken Co. (The) | | | 93,729 | |
| | 2,568 | | | Toro Co. (The) | | | 212,964 | |
| | 4,327 | | | Westinghouse Air Brake Technologies Corp. | | | 379,262 | |
| | 4,391 | | | Xylem Inc. | | | 400,020 | |
| | | | | | | | |
| | | | Total Machinery | | | 27,350,623 | |
| | | | | | | | |
|
| Marine — 0.0% | |
| | 1,461 | | | Kirby Corp.* | | | 97,975 | |
| | | | | | | | |
|
| Professional Services — 0.8% | |
| | 3,220 | | | Booz Allen Hamilton Holding Corp., Class A Shares | | | 308,154 | |
| | 557 | | | CACI International Inc., Class A Shares* | | | 156,445 | |
| | 10,980 | | | Clarivate PLC* | | | 128,137 | |
| | 73,419 | | | CoStar Group Inc.* | | | 5,112,899 | |
| | 6,070 | | | Dun & Bradstreet Holdings Inc. | | | 86,497 | |
| | 2,932 | | | Equifax Inc. | | | 553,415 | |
| | 814 | | | FTI Consulting Inc.* | | | 130,728 | |
| | 3,116 | | | Jacobs Solutions Inc. | | | 388,191 | |
| | 3,347 | | | KBR Inc. | | | 161,660 | |
| | 3,289 | | | Leidos Holdings Inc. | | | 312,619 | |
| | 1,332 | | | ManpowerGroup Inc. | | | 97,662 | |
| | 8,628 | | | Nielsen Holdings PLC | | | 240,204 | |
| | 2,659 | | | Robert Half International Inc. | | | 204,663 | |
| | 1,327 | | | Science Applications International Corp. | | | 120,850 | |
| | 4,695 | | | TransUnion | | | 346,820 | |
| | 27,791 | | | Verisk Analytics Inc., Class A Shares | | | 5,201,364 | |
| | | | | | | | |
| | | | Total Professional Services | | | 13,550,308 | |
| | | | | | | | |
|
| Road & Rail — 1.3% | |
| | 219 | | | AMERCO | | | 115,122 | |
| | 718 | | | Avis Budget Group Inc.* | | | 120,179 | |
| | 52,498 | | | CSX Corp. | | | 1,661,562 | |
| | 5,625 | | | Hertz Global Holdings Inc.*(a) | | | 103,837 | |
| | 2,042 | | | JB Hunt Transport Services Inc. | | | 355,349 | |
| | 3,935 | | | Knight-Swift Transportation Holdings Inc., Class A Shares | | | 198,757 | |
| | 898 | | | Landstar System Inc. | | | 131,674 | |
| | 7,195 | | | Lyft Inc., Class A Shares* | | | 105,982 | |
| | 5,747 | | | Norfolk Southern Corp. | | | 1,397,268 | |
| | 2,474 | | | Old Dominion Freight Line Inc. | | | 671,468 | |
| | 1,280 | | | Ryder System Inc. | | | 97,843 | |
| | 1,269 | | | Schneider National Inc., Class B Shares | | | 29,009 | |
| | 435,622 | | | Uber Technologies Inc.* | | | 12,528,489 | |
| | 15,175 | | | Union Pacific Corp. | | | 3,406,939 | |
| | 2,383 | | | XPO Logistics Inc.* | | | 124,917 | |
| | | | | | | | |
| | | | Total Road & Rail | | | 21,048,395 | |
| | | | | | | | |
|
| Trading Companies & Distributors — 1.3% | |
| | 73,972 | | | AerCap Holdings NV* | | | 3,258,466 | |
| | 59,356 | | | Air Lease Corp., Class A Shares | | | 2,158,184 | |
| | 1,168 | | | Core & Main Inc., Class A Shares* | | | 27,530 | |
| | 13,888 | | | Fastenal Co. | | | 698,983 | |
| | 1,115 | | | MSC Industrial Direct Co., Inc., Class A Shares | | | 88,319 | |
See Notes to Financial Statements.
46
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| INDUSTRIALS — 10.6% — (continued) | |
|
| Trading Companies & Distributors — 1.3% — (continued) | |
| | 1,051 | | | SiteOne Landscape Supply Inc.* | | $ | 131,543 | |
| | 26,669 | | | United Rentals Inc.* | | | 7,788,415 | |
| | 86,812 | | | Univar Solutions Inc.* | | | 2,189,399 | |
| | 798 | | | Watsco Inc. | | | 217,080 | |
| | 1,076 | | | WESCO International Inc.* | | | 141,688 | |
| | 9,068 | | | WW Grainger Inc. | | | 5,032,196 | |
| | | | | | | | |
| | | | Total Trading Companies & Distributors | | | 21,731,803 | |
| | | | | | | | |
| | | | TOTAL INDUSTRIALS | | | 177,907,628 | |
| | | | | | | | |
|
| INFORMATION TECHNOLOGY — 26.7% | |
|
| Communications Equipment — 0.9% | |
| | 6,020 | | | Arista Networks Inc.* | | | 721,678 | |
| | 3,747 | | | Ciena Corp.* | | | 190,123 | |
| | 180,900 | | | Cisco Systems Inc. | | | 8,089,848 | |
| | 73,001 | | | CommScope Holding Co., Inc.* | | | 824,911 | |
| | 1,432 | | | F5 Inc.* | | | 224,910 | |
| | 7,834 | | | Juniper Networks Inc. | | | 222,642 | |
| | 1,694 | | | Lumentum Holdings Inc.* | | | 141,534 | |
| | 20,777 | | | Motorola Solutions Inc. | | | 5,057,329 | |
| | 142 | | | Ubiquiti Inc. | | | 44,075 | |
| | 1,717 | | | ViaSat Inc.* | | | 65,212 | |
| | | | | | | | |
| | | | Total Communications Equipment | | | 15,582,262 | |
| | | | | | | | |
|
| Electronic Equipment, Instruments & Components — 0.9% | |
| | 14,135 | | | Amphenol Corp., Class A Shares | | | 1,039,347 | |
| | 36,182 | | | Arrow Electronics Inc.* | | | 3,792,235 | |
| | 2,432 | | | Avnet Inc. | | | 106,740 | |
| | 3,270 | | | CDW Corp. | | | 558,189 | |
| | 4,053 | | | Cognex Corp. | | | 170,672 | |
| | 18,142 | | | Corning Inc. | | | 622,633 | |
| | 206,949 | | | Flex Ltd.* | | | 3,685,762 | |
| | 3,061 | | | II-VI Inc.*(a) | | | 144,571 | |
| | 810 | | | IPG Photonics Corp.* | | | 73,378 | |
| | 3,428 | | | Jabil Inc. | | | 206,708 | |
| | 4,406 | | | Keysight Technologies Inc.* | | | 722,099 | |
| | 587 | | | Littelfuse Inc. | | | 139,248 | |
| | 3,209 | | | National Instruments Corp. | | | 127,590 | |
| | 24,100 | | | TD SYNNEX Corp. | | | 2,320,348 | |
| | 1,127 | | | Teledyne Technologies Inc.* | | | 415,142 | |
| | 5,997 | | | Trimble Inc.* | | | 379,310 | |
| | 4,116 | | | Vontier Corp. | | | 90,223 | |
| | 1,259 | | | Zebra Technologies Corp., Class A Shares* | | | 379,765 | |
| | | | | | | | |
| | | | Total Electronic Equipment, Instruments & Components | | | 14,973,960 | |
| | | | | | | | |
|
| IT Services — 6.2% | |
| | 15,316 | | | Accenture PLC, Class A Shares | | | 4,418,053 | |
| | 4,239 | | | Affirm Holdings Inc., Class A Shares*(a) | | | 99,320 | |
| | 3,873 | | | Akamai Technologies Inc.* | | | 349,654 | |
| | 3,015 | | | Amdocs Ltd. | | | 257,692 | |
| | 10,093 | | | Automatic Data Processing Inc. | | | 2,466,830 | |
| | 12,501 | | | Block Inc., Class A Shares* | | | 861,444 | |
| | 2,836 | | | Broadridge Financial Solutions Inc. | | | 485,438 | |
| | 6,747 | | | Cloudflare Inc., Class A Shares* | | | 422,160 | |
| | 63,014 | | | Cognizant Technology Solutions Corp., Class A Shares | | | 3,980,594 | |
| | 1,007 | | | Concentrix Corp. | | | 126,661 | |
See Notes to Financial Statements.
47
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| INFORMATION TECHNOLOGY — 26.7% — (continued) | |
|
| IT Services — 6.2% — (continued) | |
| | 5,975 | | | DXC Technology Co.* | | $ | 148,061 | |
| | 1,298 | | | EPAM Systems Inc.* | | | 553,597 | |
| | 1,209 | | | Euronet Worldwide Inc.* | | | 107,190 | |
| | 55,147 | | | Fidelity National Information Services Inc. | | | 5,038,781 | |
| | 163,317 | | | Fiserv Inc.* | | | 16,526,047 | |
| | 1,817 | | | FleetCor Technologies Inc.* | | | 386,167 | |
| | 1,887 | | | Gartner Inc.* | | | 538,399 | |
| | 4,386 | | | Genpact Ltd. | | | 206,054 | |
| | 62,925 | | | Global Payments Inc. | | | 7,817,173 | |
| | 991 | | | Globant SA* | | | 208,873 | |
| | 3,908 | | | GoDaddy Inc., Class A Shares* | | | 296,305 | |
| | 21,752 | | | International Business Machines Corp. | | | 2,794,044 | |
| | 1,725 | | | Jack Henry & Associates Inc. | | | 331,545 | |
| | 4,351 | | | Kyndryl Holdings Inc.* | | | 45,337 | |
| | 20,808 | | | MasterCard Inc., Class A Shares | | | 6,749,491 | |
| | 1,537 | | | MongoDB Inc., Class A Shares* | | | 496,236 | |
| | 2,992 | | | Okta Inc., Class A Shares* | | | 273,469 | |
| | 7,796 | | | Paychex Inc. | | | 961,559 | |
| | 100,913 | | | PayPal Holdings Inc.* | | | 9,429,311 | |
| | 1,131 | | | Shift4 Payments Inc., Class A Shares* | | | 51,223 | |
| | 4,735 | | | Snowflake Inc., Class A Shares* | | | 856,798 | |
| | 5,416 | | | SS&C Technologies Holdings Inc. | | | 301,996 | |
| | 3,490 | | | Switch Inc., Class A Shares | | | 118,486 | |
| | 2,055 | | | Thoughtworks Holding Inc.* | | | 27,044 | |
| | 5,458 | | | Toast Inc., Class A Shares* | | | 103,320 | |
| | 4,076 | | | Twilio Inc., Class A Shares* | | | 283,608 | |
| | 42,392 | | | VeriSign Inc.* | | | 7,724,670 | |
| | 140,935 | | | Visa Inc., Class A Shares | | | 28,005,194 | |
| | 9,633 | | | Western Union Co. (The) | | | 142,761 | |
| | 1,093 | | | WEX Inc.* | | | 168,595 | |
| | 1,194 | | | Wix.com Ltd.* | | | 75,568 | |
| | | | | | | | |
| | | | Total IT Services | | | 104,234,748 | |
| | | | | | | | |
|
| Semiconductors & Semiconductor Equipment — 5.2% | |
| | 39,041 | | | Advanced Micro Devices Inc.* | | | 3,313,410 | |
| | 1,049 | | | Allegro MicroSystems Inc.* | | | 24,463 | |
| | 104,568 | | | Analog Devices Inc. | | | 15,845,189 | |
| | 21,312 | | | Applied Materials Inc. | | | 2,004,820 | |
| | 4,270 | | | ASML Holding NV, Class REG Shares, ADR | | | 2,092,044 | |
| | 29,435 | | | Broadcom Inc. | | | 14,691,303 | |
| | 1,290 | | | Cirrus Logic Inc.* | | | 98,930 | |
| | 3,147 | | | Enphase Energy Inc.* | | | 901,427 | |
| | 3,233 | | | Entegris Inc. | | | 306,747 | |
| | 2,542 | | | First Solar Inc.* | | | 324,232 | |
| | 1,508 | | | GLOBALFOUNDRIES Inc.*(a) | | | 90,208 | |
| | 149,414 | | | Intel Corp. | | | 4,769,295 | |
| | 3,606 | | | KLA Corp. | | | 1,240,933 | |
| | 3,349 | | | Lam Research Corp. | | | 1,466,561 | |
| | 3,276 | | | Lattice Semiconductor Corp.*(a) | | | 176,576 | |
| | 20,414 | | | Marvell Technology Inc. | | | 955,783 | |
| | 12,995 | | | Microchip Technology Inc. | | | 847,924 | |
| | 26,955 | | | Micron Technology Inc. | | | 1,523,766 | |
| | 1,318 | | | MKS Instruments Inc. | | | 131,286 | |
| | 1,091 | | | Monolithic Power Systems Inc. | | | 494,419 | |
| | 119,717 | | | NVIDIA Corp. | | | 18,070,084 | |
See Notes to Financial Statements.
48
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| INFORMATION TECHNOLOGY — 26.7% — (continued) | |
|
| Semiconductors & Semiconductor Equipment — 5.2% — (continued) | |
| | 10,477 | | | ON Semiconductor Corp.* | | $ | 720,503 | |
| | 2,601 | | | Qorvo Inc.* | | | 233,518 | |
| | 27,084 | | | QUALCOMM Inc. | | | 3,582,401 | |
| | 92,111 | | | Skyworks Solutions Inc. | | | 9,077,539 | |
| | 3,864 | | | Teradyne Inc. | | | 327,049 | |
| | 22,287 | | | Texas Instruments Inc. | | | 3,682,035 | |
| | 1,061 | | | Universal Display Corp. | | | 118,545 | |
| | 2,753 | | | Wolfspeed Inc.* | | | 312,383 | |
| | | | | | | | |
| | | | Total Semiconductors & Semiconductor Equipment | | | 87,423,373 | |
| | | | | | | | |
|
| Software — 9.2% | |
| | 41,443 | | | Adobe Inc.* | | | 15,476,474 | |
| | 1,354 | | | Alteryx Inc., Class A Shares* | | | 84,381 | |
| | 2,108 | | | ANSYS Inc.* | | | 523,416 | |
| | 5,431 | | | AppLovin Corp., Class A Shares* | | | 133,766 | |
| | 687 | | | Aspen Technology Inc.* | | | 144,682 | |
| | 16,774 | | | Atlassian Corp. PLC, Class A Shares* | | | 4,154,249 | |
| | 5,257 | | | Autodesk Inc.* | | | 1,060,547 | |
| | 2,037 | | | Avalara Inc.* | | | 186,569 | |
| | 4,070 | | | Bentley Systems Inc., Class B Shares | | | 149,654 | |
| | 2,290 | | | Bill.com Holdings Inc.* | | | 370,705 | |
| | 3,675 | | | Black Knight Inc.* | | | 243,138 | |
| | 6,589 | | | Cadence Design Systems Inc.* | | | 1,144,971 | |
| | 4,082 | | | CCC Intelligent Solutions Holdings Inc.* | | | 39,024 | |
| | 3,196 | | | Ceridian HCM Holding Inc.* | | | 190,609 | |
| | 3,037 | | | Citrix Systems Inc. | | | 312,113 | |
| | 2,999 | | | Confluent Inc., Class A Shares* | | | 82,053 | |
| | 1,843 | | | Coupa Software Inc.* | | | 107,631 | |
| | 20,771 | | | Crowdstrike Holdings Inc., Class A Shares* | | | 3,792,992 | |
| | 6,241 | | | Datadog Inc., Class A Shares* | | | 654,993 | |
| | 4,737 | | | DocuSign Inc., Class A Shares* | | | 275,788 | |
| | 1,598 | | | Dolby Laboratories Inc., Class A Shares | | | 117,038 | |
| | 1,391 | | | DoubleVerify Holdings Inc.* | | | 35,957 | |
| | 6,767 | | | Dropbox Inc., Class A Shares* | | | 144,746 | |
| | 4,808 | | | Dynatrace Inc.* | | | 183,569 | |
| | 1,837 | | | Elastic NV* | | | 154,143 | |
| | 625 | | | Fair Isaac Corp.* | | | 280,875 | |
| | 1,630 | | | Five9 Inc.* | | | 159,919 | |
| | 16,205 | | | Fortinet Inc.* | | | 789,021 | |
| | 2,025 | | | Guidewire Software Inc.* | | | 145,213 | |
| | 1,106 | | | HubSpot Inc.* | | | 372,766 | |
| | 854 | | | Informatica Inc., Class A Shares*(a) | | | 18,848 | |
| | 18,064 | | | Intuit Inc. | | | 7,799,674 | |
| | 1,574 | | | Jamf Holding Corp.* | | | 37,697 | |
| | 5,842 | | | Mandiant Inc.* | | | 133,548 | |
| | 1,518 | | | Manhattan Associates Inc.* | | | 214,433 | |
| | 231,864 | | | Microsoft Corp. | | | 60,625,480 | |
| | 1,158 | | | nCino Inc.* | | | 36,523 | |
| | 2,949 | | | NCR Corp.* | | | 91,567 | |
| | 1,155 | | | New Relic Inc.* | | | 70,120 | |
| | 241,643 | | | NortonLifeLock Inc. | | | 5,458,715 | |
| | 5,294 | | | Nutanix Inc., Class A Shares* | | | 91,586 | |
| | 92,264 | | | Oracle Corp. | | | 6,841,376 | |
| | 43,678 | | | Palantir Technologies Inc., Class A Shares* | | | 337,194 | |
| | 18,593 | | | Palo Alto Networks Inc.* | | | 10,352,768 | |
See Notes to Financial Statements.
49
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| INFORMATION TECHNOLOGY — 26.7% — (continued) | |
|
| Software — 9.2% — (continued) | |
| | 1,236 | | | Paycom Software Inc.* | | $ | 434,083 | |
| | 1,077 | | | Paycor HCM Inc.* | | | 31,912 | |
| | 976 | | | Paylocity Holding Corp.* | | | 235,216 | |
| | 936 | | | Pegasystems Inc. | | | 34,267 | |
| | 1,686 | | | Procore Technologies Inc.* | | | 92,056 | |
| | 2,550 | | | PTC Inc.* | | | 292,970 | |
| | 1,968 | | | RingCentral Inc., Class A Shares* | | | 84,703 | |
| | 2,539 | | | Roper Technologies Inc. | | | 1,022,151 | |
| | 71,062 | | | Salesforce Inc.* | | | 11,094,199 | |
| | 4,139 | | | SentinelOne Inc., Class A Shares* | | | 113,036 | |
| | 15,542 | | | ServiceNow Inc.* | | | 6,754,864 | |
| | 2,876 | | | Smartsheet Inc., Class A Shares* | | | 95,685 | |
| | 29,636 | | | Splunk Inc.* | | | 2,668,129 | |
| | 3,672 | | | Synopsys Inc.* | | | 1,270,585 | |
| | 2,455 | | | Teradata Corp.* | | | 80,770 | |
| | 10,478 | | | Trade Desk Inc. (The), Class A Shares* | | | 656,971 | |
| | 987 | | | Tyler Technologies Inc.* | | | 366,680 | |
| | 43,888 | | | UiPath Inc., Class A Shares* | | | 721,958 | |
| | 23,429 | | | Unity Software Inc.*(a) | | | 1,000,887 | |
| | 5,045 | | | VMware Inc., Class A Shares | | | 585,371 | |
| | 20,124 | | | Workday Inc., Class A Shares* | | | 3,311,605 | |
| | 2,976 | | | Zendesk Inc.* | | | 228,468 | |
| | 6,098 | | | Zoom Video Communications Inc., Class A Shares* | | | 490,279 | |
| | 2,010 | | | Zscaler Inc.* | | | 320,072 | |
| | | | | | | | |
| | | | Total Software | | | 155,607,448 | |
| | | | | | | | |
|
| Technology Hardware, Storage & Peripherals — 4.3% | |
| | 423,392 | | | Apple Inc. | | | 66,565,690 | |
| | 6,458 | | | Dell Technologies Inc., Class C Shares | | | 247,277 | |
| | 31,268 | | | Hewlett Packard Enterprise Co. | | | 425,245 | |
| | 25,452 | | | HP Inc. | | | 730,727 | |
| | 5,343 | | | NetApp Inc. | | | 385,390 | |
| | 6,512 | | | Pure Storage Inc., Class A Shares* | | | 188,653 | |
| | 89,449 | | | Western Digital Corp.* | | | 3,780,115 | |
| | | | | | | | |
| | | | Total Technology Hardware, Storage & Peripherals | | | 72,323,097 | |
| | | | | | | | |
| | | | TOTAL INFORMATION TECHNOLOGY | | | 450,144,888 | |
| | | | | | | | |
|
| MATERIALS — 2.6% | |
|
| Chemicals — 1.6% | |
| | 5,355 | | | Air Products & Chemicals Inc. | | | 1,351,870 | |
| | 2,813 | | | Albemarle Corp. | | | 753,772 | |
| | 1,263 | | | Ashland Inc. | | | 128,523 | |
| | 4,989 | | | Axalta Coating Systems Ltd.* | | | 128,467 | |
| | 43,001 | | | Celanese Corp., Class A Shares | | | 4,767,091 | |
| | 5,027 | | | CF Industries Holdings Inc. | | | 520,093 | |
| | 3,899 | | | Chemours Co. (The) | | | 131,513 | |
| | 17,501 | | | Corteva Inc. | | | 1,075,086 | |
| | 17,600 | | | Dow Inc. | | | 897,600 | |
| | 77,065 | | | DuPont de Nemours Inc. | | | 4,287,897 | |
| | 3,101 | | | Eastman Chemical Co. | | | 282,191 | |
| | 5,993 | | | Ecolab Inc. | | | 981,833 | |
| | 5,673 | | | Element Solutions Inc. | | | 105,915 | |
| | 3,066 | | | FMC Corp. | | | 331,373 | |
| | 19,812 | | | Ginkgo Bioworks Holdings Inc.*(a) | | | 53,294 | |
| | 4,790 | | | Huntsman Corp. | | | 134,216 | |
See Notes to Financial Statements.
50
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| MATERIALS — 2.6% — (continued) | |
|
| Chemicals — 1.6% — (continued) | |
| | 6,167 | | | International Flavors & Fragrances Inc. | | $ | 681,330 | |
| | 12,144 | | | Linde PLC | | | 3,435,052 | |
| | 6,195 | | | LyondellBasell Industries NV, Class A Shares | | | 514,185 | |
| | 8,730 | | | Mosaic Co. (The) | | | 470,285 | |
| | 156 | | | NewMarket Corp. | | | 44,805 | |
| | 3,472 | | | Olin Corp. | | | 189,780 | |
| | 5,730 | | | PPG Industries Inc. | | | 727,595 | |
| | 3,088 | | | RPM International Inc. | | | 287,678 | |
| | 968 | | | Scotts Miracle-Gro Co. (The) | | | 64,808 | |
| | 15,780 | | | Sherwin-Williams Co. (The) | | | 3,662,538 | |
| | 4,290 | | | Valvoline Inc. | | | 124,710 | |
| | 813 | | | Westlake Corp. | | | 80,186 | |
| | | | | | | | |
| | | | Total Chemicals | | | 26,213,686 | |
| | | | | | | | |
|
| Construction Materials — 0.4% | |
| | 906 | | | Eagle Materials Inc. | | | 108,376 | |
| | 1,505 | | | Martin Marietta Materials Inc. | | | 523,303 | |
| | 37,022 | | | Vulcan Materials Co. | | | 6,163,793 | |
| | | | | | | | |
| | | | Total Construction Materials | | | 6,795,472 | |
| | | | | | | | |
|
| Containers & Packaging — 0.4% | |
| | 36,492 | | | Amcor PLC | | | 438,269 | |
| | 1,603 | | | AptarGroup Inc. | | | 164,805 | |
| | 532 | | | Ardagh Group SA, Class A Shares(c)(f) | | | 6,307 | |
| | 3,600 | | | Ardagh Metal Packaging SA | | | 22,140 | |
| | 2,004 | | | Avery Dennison Corp. | | | 367,975 | |
| | 7,523 | | | Ball Corp. | | | 419,859 | |
| | 69,086 | | | Berry Global Group Inc.* | | | 3,753,442 | |
| | 2,848 | | | Crown Holdings Inc. | | | 258,000 | |
| | 7,384 | | | Graphic Packaging Holding Co. | | | 164,442 | |
| | 8,936 | | | International Paper Co. | | | 371,916 | |
| | 2,241 | | | Packaging Corp. of America | | | 306,838 | |
| | 3,482 | | | Sealed Air Corp. | | | 187,366 | |
| | 2,024 | | | Silgan Holdings Inc. | | | 92,193 | |
| | 2,405 | | | Sonoco Products Co. | | | 151,563 | |
| | 6,119 | | | WestRock Co. | | | 248,370 | |
| | | | | | | | |
| | | | Total Containers & Packaging | | | 6,953,485 | |
| | | | | | | | |
|
| | Metals & Mining — 0.2% | |
| | 4,515 | | | Alcoa Corp. | | | 223,402 | |
| | 12,515 | | | Cleveland-Cliffs Inc.* | | | 216,134 | |
| | 34,926 | | | Freeport-McMoRan Inc. | | | 1,033,810 | |
| | 2,190 | | | MP Materials Corp.* | | | 76,628 | |
| | 19,196 | | | Newmont Corp. | | | 793,947 | |
| | 6,421 | | | Nucor Corp. | | | 853,608 | |
| | 1,528 | | | Reliance Steel & Aluminum Co. | | | 287,233 | |
| | 1,575 | | | Royal Gold Inc. | | | 144,742 | |
| | 2,065 | | | Southern Copper Corp. | | | 97,200 | |
| | 5,118 | | | SSR Mining Inc. | | | 69,042 | |
| | 4,320 | | | Steel Dynamics Inc. | | | 348,710 | |
| | 6,344 | | | United States Steel Corp. | | | 145,087 | |
| | | | | | | | |
| | | | Total Metals & Mining | | | 4,289,543 | |
| | | | | | | | |
|
| | Paper & Forest Products — 0.0% | |
| | 1,965 | | | Louisiana-Pacific Corp. | | | 106,562 | |
| | | | | | | | |
| | | | TOTAL MATERIALS | | | 44,358,748 | |
| | | | | | | | |
See Notes to Financial Statements.
51
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| REAL ESTATE — 3.0% | |
|
| Equity Real Estate Investment Trusts (REITs) — 2.9% | |
| | 3,912 | | | Alexandria Real Estate Equities Inc. | | $ | 600,101 | |
| | 7,092 | | | American Homes 4 Rent, Class A Shares | | | 252,192 | |
| | 11,215 | | | American Tower Corp.(a) | | | 2,849,171 | |
| | 6,329 | | | Americold Realty Trust Inc. | | | 186,199 | |
| | 3,831 | | | Apartment Income REIT Corp. | | | 156,496 | |
| | 3,374 | | | AvalonBay Communities Inc. | | | 677,870 | |
| | 3,769 | | | Boston Properties Inc. | | | 299,372 | |
| | 7,025 | | | Brixmor Property Group Inc. | | | 150,897 | |
| | 2,503 | | | Camden Property Trust | | | 321,661 | |
| | 3,533 | | | Cousins Properties Inc. | | | 94,861 | |
| | 90,585 | | | Crown Castle Inc. | | | 15,474,636 | |
| | 5,216 | | | CubeSmart | | | 240,197 | |
| | 6,860 | | | Digital Realty Trust Inc. | | | 848,102 | |
| | 4,078 | | | Douglas Emmett Inc. | | | 79,603 | |
| | 9,200 | | | Duke Realty Corp. | | | 541,420 | |
| | 993 | | | EastGroup Properties Inc. | | | 163,875 | |
| | 1,814 | | | EPR Properties | | | 78,891 | |
| | 6,625 | | | Equinix Inc. | | | 4,355,076 | |
| | 4,335 | | | Equity LifeStyle Properties Inc. | | | 303,883 | |
| | 59,817 | | | Equity Residential | | | 4,377,408 | |
| | 1,589 | | | Essex Property Trust Inc. | | | 421,180 | |
| | 3,174 | | | Extra Space Storage Inc. | | | 630,769 | |
| | 1,880 | | | Federal Realty Investment Trust | | | 190,388 | |
| | 3,155 | | | First Industrial Realty Trust Inc. | | | 159,895 | |
| | 5,619 | | | Gaming and Leisure Properties Inc. | | | 271,229 | |
| | 9,153 | | | Healthcare Realty Trust Inc., Class A Shares | | | 222,601 | |
| | 12,990 | | | Healthpeak Properties Inc. | | | 340,988 | |
| | 2,392 | | | Highwoods Properties Inc. | | | 72,741 | |
| | 17,107 | | | Host Hotels & Resorts Inc. | | | 303,991 | |
| | 3,404 | | | Hudson Pacific Properties Inc. | | | 44,967 | |
| | 14,736 | | | Invitation Homes Inc. | | | 534,622 | |
| | 6,899 | | | Iron Mountain Inc. | | | 362,956 | |
| | 2,708 | | | JBG SMITH Properties | | | 59,495 | |
| | 2,816 | | | Kilroy Realty Corp. | | | 137,336 | |
| | 14,246 | | | Kimco Realty Corp. | | | 300,306 | |
| | 2,096 | | | Lamar Advertising Co., Class A Shares | | | 196,793 | |
| | 1,963 | | | Life Storage Inc. | | | 249,792 | |
| | 14,116 | | | Medical Properties Trust Inc. | | | 206,235 | |
| | 2,776 | | | Mid-America Apartment Communities Inc. | | | 459,900 | |
| | 4,215 | | | National Retail Properties Inc. | | | 189,253 | |
| | 2,050 | | | National Storage Affiliates Trust | | | 103,566 | |
| | 5,851 | | | Omega Healthcare Investors Inc. | | | 191,094 | |
| | 5,285 | | | Park Hotels & Resorts Inc. | | | 73,990 | |
| | 17,855 | | | Prologis Inc. | | | 2,223,126 | |
| | 3,776 | | | Public Storage | | | 1,249,214 | |
| | 3,485 | | | Rayonier Inc. | | | 123,787 | |
| | 14,539 | | | Realty Income Corp. | | | 992,723 | |
| | 4,073 | | | Regency Centers Corp. | | | 247,801 | |
| | 3,940 | | | Rexford Industrial Realty Inc. | | | 245,107 | |
| | 2,575 | | | SBA Communications Corp., Class A Shares | | | 837,519 | |
| | 7,895 | | | Simon Property Group Inc. | | | 805,132 | |
| | 1,659 | | | SL Green Realty Corp.(a) | | | 73,278 | |
| | 3,039 | | | Spirit Realty Capital Inc. | | | 124,143 | |
| | 5,990 | | | STORE Capital Corp. | | | 161,610 | |
| | 2,897 | | | Sun Communities Inc. | | | 445,298 | |
See Notes to Financial Statements.
52
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| REAL ESTATE — 3.0% — (continued) | |
|
| Equity Real Estate Investment Trusts (REITs) — 2.9% — (continued) | |
| | 7,704 | | | UDR Inc. | | $ | 345,678 | |
| | 9,604 | | | Ventas Inc. | | | 459,647 | |
| | 23,231 | | | VICI Properties Inc. | | | 766,391 | |
| | 4,250 | | | Vornado Realty Trust | | | 111,435 | |
| | 10,976 | | | Welltower Inc. | | | 841,310 | |
| | 18,135 | | | Weyerhaeuser Co. | | | 619,492 | |
| | 4,534 | | | WP Carey Inc. | | | 380,992 | |
| | | | | | | | |
| | | | Total Equity Real Estate Investment Trusts (REITs) | | | 48,829,681 | |
| | | | | | | | |
|
| | Real Estate Management & Development — 0.1% | |
| | 7,962 | | | CBRE Group Inc., Class A Shares* | | | 628,679 | |
| | 1,017 | | | Howard Hughes Corp. (The)* | | | 64,712 | |
| | 1,204 | | | Jones Lang LaSalle Inc.* | | | 208,292 | |
| | 11,366 | | | Opendoor Technologies Inc.* | | | 49,215 | |
| | 3,138 | | | WeWork Inc., Class A Shares* | | | 12,866 | |
| | 1,457 | | | Zillow Group Inc., Class A Shares* | | | 48,664 | |
| | 4,084 | | | Zillow Group Inc., Class C Shares* | | | 136,650 | |
| | | | | | | | |
| | | | Total Real Estate Management & Development | | | 1,149,078 | |
| | | | | | | | |
| | | | TOTAL REAL ESTATE | | | 49,978,759 | |
| | | | | | | | |
|
| UTILITIES — 2.1% | |
|
| | Electric Utilities — 1.5% | |
| | 6,002 | | | Alliant Energy Corp. | | | 366,362 | |
| | 12,424 | | | American Electric Power Co., Inc. | | | 1,244,885 | |
| | 1,711 | | | Avangrid Inc. | | | 84,523 | |
| | 7,848 | | | Constellation Energy Corp. | | | 640,318 | |
| | 18,638 | | | Duke Energy Corp. | | | 1,992,589 | |
| | 75,611 | | | Edison International | | | 5,124,157 | |
| | 4,838 | | | Entergy Corp. | | | 557,821 | |
| | 5,368 | | | Evergy Inc. | | | 367,869 | |
| | 8,308 | | | Eversource Energy | | | 745,145 | |
| | 23,638 | | | Exelon Corp. | | | 1,037,945 | |
| | 13,122 | | | FirstEnergy Corp. | | | 518,975 | |
| | 2,585 | | | Hawaiian Electric Industries Inc. | | | 101,125 | |
| | 1,234 | | | IDACORP Inc. | | | 134,802 | |
| | 47,507 | | | NextEra Energy Inc. | | | 4,040,945 | |
| | 106,546 | | | NRG Energy Inc. | | | 4,398,219 | |
| | 4,805 | | | OGE Energy Corp. | | | 194,795 | |
| | 37,459 | | | PG&E Corp.* | | | 461,870 | |
| | 2,764 | | | Pinnacle West Capital Corp. | | | 208,267 | |
| | 17,798 | | | PPL Corp. | | | 517,566 | |
| | 25,622 | | | Southern Co. (The) | | | 1,974,688 | |
| | 13,172 | | | Xcel Energy Inc. | | | 978,021 | |
| | | | | | | | |
| | | | Total Electric Utilities | | | 25,690,887 | |
| | | | | | | | |
|
| | Gas Utilities — 0.0% | |
| | 3,332 | | | Atmos Energy Corp. | | | 377,782 | |
| | 2,139 | | | National Fuel Gas Co. | | | 152,447 | |
| | 5,032 | | | UGI Corp. | | | 198,764 | |
| | | | | | | | |
| | | | Total Gas Utilities | | | 728,993 | |
| | | | | | | | |
|
| Independent Power & Renewable Electricity Producers — 0.0% | |
| | 16,112 | | | AES Corp. (The) | | | 410,050 | |
| | 3,131 | | | Brookfield Renewable Corp., Class A Shares | | | 120,199 | |
| | 10,293 | | | Vistra Corp. | | | 254,752 | |
| | | | | | | | |
| | | | Total Independent Power & Renewable Electricity Producers | | | 785,001 | |
| | | | | | | | |
See Notes to Financial Statements.
53
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| UTILITIES — 2.1% — (continued) | |
|
| Multi-Utilities — 0.5% | |
| | 6,143 | | | Ameren Corp. | | $ | 568,965 | |
| | 15,216 | | | CenterPoint Energy Inc. | | | 479,761 | |
| | 7,078 | | | CMS Energy Corp. | | | 478,048 | |
| | 8,569 | | | Consolidated Edison Inc. | | | 837,534 | |
| | 19,511 | | | Dominion Energy Inc. | | | 1,596,000 | |
| | 4,663 | | | DTE Energy Co. | | | 607,775 | |
| | 9,606 | | | NiSource Inc. | | | 283,473 | |
| | 12,026 | | | Public Service Enterprise Group Inc. | | | 773,993 | |
| | 7,602 | | | Sempra Energy | | | 1,254,102 | |
| | 7,639 | | | WEC Energy Group Inc. | | | 787,886 | |
| | | | | | | | |
| | | | Total Multi-Utilities | | | 7,667,537 | |
| | | | | | | | |
|
| | Water Utilities — 0.1% | |
| | 4,395 | | | American Water Works Co., Inc. | | | 652,438 | |
| | 5,632 | | | Essential Utilities Inc. | | | 276,813 | |
| | | | | | | | |
| | | | Total Water Utilities | | | 929,251 | |
| | | | | | | | |
| | | | TOTAL UTILITIES | | | 35,801,669 | |
| | | | | | | | |
| | | | TOTAL COMMON STOCKS (Cost — $1,000,203,593) | | | 1,629,109,095 | |
| | | | | | | | |
|
| | CLOSED END MUTUAL FUND SECURITY — 1.2% | |
|
| | FINANCIALS — 1.2% | |
|
| | Capital Markets — 1.2% | |
| | 278,711 | | | iShares® Core S&P U.S. Value ETF, Common Class Shares (Cost — $15,841,905) | | | 19,217,124 | |
| | | | | | | | |
| | | | TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS (Cost — $1,016,045,498) | | | 1,648,326,219 | |
| | | | | | | | |
| | |
Face
Amount† | | | | | | |
|
| | SHORT-TERM INVESTMENTS (d) — 2.6% | |
|
| | MONEY MARKET FUND — 0.6% | |
| $ | 10,568,557 | | | Invesco STIT – Government & Agency Portfolio, 2.185%, Institutional Class(e) (Cost — $10,568,557) | | | 10,568,557 | |
| | | | | | | | |
|
| | TIME DEPOSITS — 2.0% | |
| | 7,432,189 | | | ANZ National Bank – London, 1.680% due 9/1/22 | | | 7,432,189 | |
| | 29,803 | CAD | | BBH – Grand Cayman, 1.380% due 9/1/22 | | | 22,696 | |
| | 21,790,526 | | | Citibank – New York, 1.680% due 9/1/22 | | | 21,790,526 | |
| | 1,357,493 | | | JPMorgan Chase & Co. – New York, 1.680% due 9/1/22 | | | 1,357,493 | |
| | 1,465,845 | | | National Australia Bank Ltd. – London, 1.680% due 9/1/22 | | | 1,465,845 | |
| | 1,853,663 | | | Sumitomo Mitsui Banking Corp. – Tokyo, 1.680% due 9/1/22 | | | 1,853,663 | |
| | | | | | | | |
| | | | TOTAL TIME DEPOSITS (Cost — $33,922,412) | | | 33,922,412 | |
| | | | | | | | |
| | | | TOTAL SHORT-TERM INVESTMENTS (Cost — $44,490,969) | | | 44,490,969 | |
| | | | | | | | |
| | | | TOTAL INVESTMENTS — 100.5% (Cost — $1,060,536,467) | | | 1,692,817,188 | |
| | | | | | | | |
| | | | Liabilities in Excess of Other Assets — (0.5)% | | | (7,960,868 | ) |
| | | | | | | | |
| | | | TOTAL NET ASSETS — 100.0% | | $ | 1,684,856,320 | |
| | | | | | | | |
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
| * | Non-income producing security. |
| (a) | All or a portion of this security is on loan (See Note 1). |
See Notes to Financial Statements.
54
| (b) | Affiliated security (See Note 2). As of August 31, 2022, total cost and total market value of affiliated security amounted to $752,966 and $2,628,440, respectively. |
| (c) | Security is valued in good faith at fair value by or under the direction of the Board of Trustees. |
| (d) | 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 2.0%. |
| (e) | Represents investments of collateral received from securities lending transactions. |
At August 31, 2022, 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 | | $ | 1,075,508,780 | | | $ | 708,949,636 | | | $ | (91,612,764) | | | $ | 617,336,872 | |
| | |
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 | | | 26.8 | % |
Health Care | | | 14.4 | |
Consumer Discretionary | | | 12.3 | |
Industrials | | | 10.6 | |
Financials | | | 10.5 | |
Communication Services | | | 7.2 | |
Consumer Staples | | | 5.4 | |
Energy | | | 3.1 | |
Real Estate | | | 3.0 | |
Materials | | | 2.6 | |
Utilities | | | 2.1 | |
Short-Term Investments | | | 2.0 | |
| | | | |
| | | 100.0 | %+ |
| | | | |
| ^ | As a percentage of total investments. |
| + | Does not reflect investments of collateral received from securities lending transactions. |
At August 31, 2022, 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 September Futures | | | 65 | | | | 9/22 | | | $ | 12,862,403 | | | $ | 12,858,624 | | | $ | (3,779 | ) |
S&P MidCap 400 E-mini Index September Futures | | | 5 | | | | 9/22 | | | | 1,182,937 | | | | 1,215,150 | | | | 32,213 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | 28,434 | |
| | | | | | | | | | | | | | | | | | | | |
At August 31, 2022, Large Cap Equity Fund had deposited cash of $714,984 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.
55
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| COMMON STOCKS — 96.9% | |
|
| COMMUNICATION SERVICES — 2.2% | |
|
| Diversified Telecommunication Services — 0.1% | |
| | 541 | | | | | | | Anterix Inc.* | | $ | 22,965 | |
| | 382 | | | | | | | ATN International Inc. | | | 17,897 | |
| | 868 | | | | | | | Bandwidth Inc., Class A Shares* | | | 13,454 | |
| | 4,518 | | | | | | | Charge Enterprises Inc.* | | | 10,979 | |
| | 1,743 | | | | | | | Cogent Communications Holdings Inc. | | | 92,815 | |
| | 2,589 | | | | | | | Consolidated Communications Holdings Inc.* | | | 14,861 | |
| | 1,657 | | | | | | | EchoStar Corp., Class A Shares* | | | 30,505 | |
| | 10,067 | | | | | | | Frontier Communications Parent Inc.* | | | 259,326 | |
| | 29,387 | | | | | | | Globalstar Inc.* | | | 58,774 | |
| | 600 | | | | | | | IDT Corp., Class B Shares* | | | 15,342 | |
| | 5,267 | | | | | | | Iridium Communications Inc.* | | | 233,802 | |
| | 2,029 | | | | | | | Liberty Latin America Ltd., Class A Shares* | | | 14,203 | |
| | 6,205 | | | | | | | Liberty Latin America Ltd., Class C Shares* | | | 43,249 | |
| | 694 | | | | | | | Ooma Inc.* | | | 8,397 | |
| | 3,089 | | | | | | | Radius Global Infrastructure Inc., Class A Shares* | | | 42,536 | |
| | | | | | | | | | | | |
| | | | | | | | Total Diversified Telecommunication Services | | | 879,105 | |
| | | | | | | | | | | | |
| |
| Entertainment — 0.8% | | | |
| | 21,424 | | | | | | | AMC Entertainment Holdings Inc., Class A Shares*(a) | | | 195,387 | |
| | 4,546 | | | | | | | Cinemark Holdings Inc.* | | | 64,008 | |
| | 33,950 | | | | | | | Endeavor Group Holdings Inc., Class A Shares* | | | 767,949 | |
| | 2,014 | | | | | | | IMAX Corp.* | | | 31,579 | |
| | 409 | | | | | | | Liberty Media Corp-Liberty Braves, Class A Shares* | | | 11,493 | |
| | 1,458 | | | | | | | Liberty Media Corp-Liberty Braves, Class C Shares* | | | 39,862 | |
| | 981 | | | | | | | Liberty Media Corp-Liberty Formula One, Class A Shares* | | | 57,025 | |
| | 8,386 | | | | | | | Liberty Media Corp-Liberty Formula One, Class C Shares* | | | 534,020 | |
| | 2,537 | | | | | | | Lions Gate Entertainment Corp., Class A Shares* | | | 24,989 | |
| | 110,349 | | | | | | | Lions Gate Entertainment Corp., Class B Shares* | | | 1,029,556 | |
| | 8,692 | | | | | | | Madison Square Garden Entertainment Corp.* | | | 482,927 | |
| | 811 | | | | | | | Madison Square Garden Sports Corp.* | | | 129,979 | |
| | 809 | | | | | | | Marcus Corp. (The) | | | 13,017 | |
| | 3,300 | | | | | | | Playstudios Inc.* | | | 11,946 | |
| | 4,341 | | | | | | | Playtika Holding Corp.* | | | 45,711 | |
| | 992 | | | | | | | Reservoir Media Inc.* | | | 6,498 | |
| | 13,206 | | | | | | | Skillz Inc., Class A Shares*(a) | | | 17,564 | |
| | 11,373 | | | | | | | World Wrestling Entertainment Inc., Class A Shares(a) | | | 773,478 | |
| | | | | | | | | | | | |
| | | | | | | | Total Entertainment | | | 4,236,988 | |
| | | | | | | | | | | | |
| |
| Interactive Media & Services — 0.2% | | | |
| | 654 | | | | | | | Arena Group Holdings Inc. (The)* | | | 6,880 | |
| | 3,532 | | | | | | | Bumble Inc., Class A Shares* | | | 88,477 | |
| | 4,237 | | | | | | | Cargurus Inc., Class A Shares* | | | 79,232 | |
| | 2,700 | | | | | | | Cars.com Inc.* | | | 34,425 | |
| | 1,882 | | | | | | | DHI Group Inc.* | | | 9,598 | |
| | 2,993 | | | | | | | Eventbrite Inc., Class A Shares* | | | 21,280 | |
| | 770 | | | | | | | EverQuote Inc., Class A Shares* | | | 6,661 | |
| | 7,693 | | | | | | | fuboTV Inc.* | | | 27,849 | |
| | 3,197 | | | | | | | IAC Inc.* | | | 205,471 | |
| | 847 | | | | | | | MediaAlpha Inc., Class A Shares* | | | 7,072 | |
| | 1,027 | | | | | | | Outbrain Inc.* | | | 4,529 | |
| | 1,999 | | | | | | | QuinStreet Inc.* | | | 24,008 | |
| | 1,067 | | | | | | | Shutterstock Inc. | | | 59,122 | |
| | 4,347 | | | | | | | TripAdvisor Inc.* | | | 103,459 | |
| | 4,723 | | | | | | | TrueCar Inc.* | | | 10,296 | |
See Notes to Financial Statements.
56
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| COMMUNICATION SERVICES — 2.2% — (continued) | |
| |
| Interactive Media & Services — 0.2% — (continued) | | | |
| | 5,844 | | | | | Vimeo Inc.* | | $ | 34,596 | |
| | 8,399 | | | | | Vinco Ventures Inc.* | | | 8,147 | |
| | 3,054 | | | | | Yelp Inc., Class A Shares* | | | 104,355 | |
| | 1,910 | | | | | Ziff Davis Inc.* | | | 147,605 | |
| | 3,442 | | | | | ZipRecruiter Inc., Class A Shares* | | | 57,413 | |
| | | | | | | | | | |
| | | | | | Total Interactive Media & Services | | | 1,040,475 | |
| | | | | | | | | | |
| |
| Media — 1.1% | | | |
| | 2,665 | | | | | Advantage Solutions Inc.* | | | 9,701 | |
| | 9,131 | | | | | Altice USA Inc., Class A Shares* | | | 91,310 | |
| | 1,217 | | | | | AMC Networks Inc., Class A Shares* | | | 32,603 | |
| | 4,856 | | | | | Audacy Inc., Class A Shares* | | | 2,679 | |
| | 862 | | | | | Boston Omaha Corp., Class A Shares* | | | 23,127 | |
| | 1,623 | | | | | Cable One Inc. | | | 1,842,105 | |
| | 1,317 | | | | | Cardlytics Inc.* | | | 17,437 | |
| | 13,890 | | | | | Clear Channel Outdoor Holdings Inc., Class A Shares* | | | 22,224 | |
| | 58,295 | | | | | Criteo SA, ADR* | | | 1,575,131 | |
| | 1,299 | | | | | Cumulus Media Inc., Class A Shares* | | | 12,107 | |
| | 41 | | | | | Daily Journal Corp.* | | | 10,709 | |
| | 2,331 | | | | | Entravision Communications Corp., Class A Shares | | | 11,842 | |
| | 2,467 | | | | | EW Scripps Co. (The), Class A Shares* | | | 36,882 | |
| | 4,982 | | | | | Gannett Co., Inc.* | | | 11,558 | |
| | 3,574 | | | | | Gray Television Inc. | | | 68,263 | |
| | 5,320 | | | | | iHeartMedia Inc., Class A Shares* | | | 47,082 | |
| | 1,380 | | | | | Integral Ad Science Holding Corp.* | | | 11,219 | |
| | 16,473 | | | | | Interpublic Group of Cos., Inc. (The) | | | 455,314 | |
| | 1,798 | | | | | John Wiley & Sons Inc., Class A Shares | | | 82,762 | |
| | 841 | | | | | Loyalty Ventures Inc.* | | | 1,775 | |
| | 5,368 | | | | | Magnite Inc.* | | | 40,421 | |
| | 6,891 | | | | | New York Times Co. (The), Class A Shares | | | 210,107 | |
| | 16,217 | | | | | News Corp., Class A Shares | | | 274,392 | |
| | 5,155 | | | | | News Corp., Class B Shares | | | 88,872 | |
| | 1,617 | | | | | Nexstar Media Group Inc., Class A Shares | | | 309,364 | |
| | 1,765 | | | | | PubMatic Inc., Class A Shares* | | | 34,541 | |
| | 1,241 | | | | | Scholastic Corp. | | | 56,974 | |
| | 1,931 | | | | | Sinclair Broadcast Group Inc., Class A Shares | | | 42,656 | |
| | 3,696 | | | | | Stagwell Inc.* | | | 25,059 | |
| | 1,169 | | | | | TechTarget Inc.* | | | 75,868 | |
| | 9,236 | | | | | TEGNA Inc. | | | 197,650 | |
| | 1,293 | | | | | Thryv Holdings Inc.* | | | 33,075 | |
| | 2,259 | | | | | WideOpenWest Inc.* | | | 40,210 | |
| | | | | | | | | | |
| | | | | | Total Media | | | 5,795,019 | |
| | | | | | | | | | |
| |
| Wireless Telecommunication Services — 0.0% | | | |
| | 2,292 | | | | | Gogo Inc.* | | | 34,059 | |
| | 2,230 | | | | | Shenandoah Telecommunications Co. | | | 49,707 | |
| | 4,252 | | | | | Telephone & Data Systems Inc. | | | 69,180 | |
| | 522 | | | | | United States Cellular Corp.* | | | 14,924 | |
| | | | | | | | | | |
| | | | | | Total Wireless Telecommunication Services | | | 167,870 | |
| | | | | | | | | | |
| | | | | | TOTAL COMMUNICATION SERVICES | | | 12,119,457 | |
| | | | | | | | | | |
|
| CONSUMER DISCRETIONARY — 7.8% | |
|
| Auto Components — 0.5% | |
| | 3,884 | | | | | Adient PLC* | | | 128,949 | |
| | 4,445 | | | | | American Axle & Manufacturing Holdings Inc.* | | | 46,006 | |
See Notes to Financial Statements.
57
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| CONSUMER DISCRETIONARY — 7.8% — (continued) | |
|
| Auto Components — 0.5% — (continued) | |
| | 9,953 | | | | | BorgWarner Inc. | | $ | 375,228 | |
| | 5,678 | | | | | Dana Inc. | | | 87,839 | |
| | 1,126 | | | | | Dorman Products Inc.* | | | 102,072 | |
| | 1,774 | | | | | Fox Factory Holding Corp.* | | | 165,354 | |
| | 9,715 | | | | | Gentex Corp. | | | 265,122 | |
| | 1,422 | | | | | Gentherm Inc.* | | | 85,178 | |
| | 11,644 | | | | | Goodyear Tire & Rubber Co. (The)* | | | 163,365 | |
| | 2,083 | | | | | Holley Inc.* | | | 11,811 | |
| | 1,038 | | | | | LCI Industries | | | 120,273 | |
| | 2,461 | | | | | Lear Corp. | | | 341,193 | |
| | 10,012 | | | | | Luminar Technologies Inc., Class A Shares*(a) | | | 86,303 | |
| | 1,949 | | | | | Modine Manufacturing Co.* | | | 29,196 | |
| | 670 | | | | | Motorcar Parts of America Inc.* | | | 9,956 | |
| | 959 | | | | | Patrick Industries Inc. | | | 50,798 | |
| | 10,087 | | | | | QuantumScape Corp., Class A Shares*(a) | | | 111,260 | |
| | 2,544 | | | | | Solid Power Inc.* | | | 16,739 | |
| | 928 | | | | | Standard Motor Products Inc. | | | 34,058 | |
| | 1,225 | | | | | Stoneridge Inc.* | | | 23,275 | |
| | 3,559 | | | | | Tenneco Inc., Class A Shares* | | | 67,123 | |
| | 1,173 | | | | | Visteon Corp.* | | | 140,561 | |
| | 977 | | | | | XPEL Inc.* | | | 66,954 | |
| | | | | | | | | | |
| | | | | | Total Auto Components | | | 2,528,613 | |
| | | | | | | | | | |
|
| Automobiles — 0.1% | |
| | 5,022 | | | | | Canoo Inc.* | | | 16,020 | |
| | 8,459 | | | | | Cenntro Electric Group Ltd.* | | | 11,166 | |
| | 4,785 | | | | | Faraday Future Intelligent Electric Inc.* | | | 5,359 | |
| | 6,576 | | | | | Fisker Inc.*(a) | | | 59,381 | |
| | 5,513 | | | | | Harley-Davidson Inc. | | | 212,637 | |
| | 5,872 | | | | | Lordstown Motors Corp., Class A Shares* | | | 12,566 | |
| | 2,232 | | | | | Thor Industries Inc. | | | 180,814 | |
| | 1,302 | | | | | Winnebago Industries Inc. | | | 74,969 | |
| | 6,490 | | | | | Workhorse Group Inc.* | | | 20,314 | |
| | | | | | | | | | |
| | | | | | Total Automobiles | | | 593,226 | |
| | | | | | | | | | |
|
| Distributors — 0.1% | |
| | 1,421 | | | | | Funko Inc., Class A Shares* | | | 31,645 | |
| | 1,630 | | | | | Pool Corp. | | | 552,880 | |
| | 348 | | | | | Weyco Group Inc. | | | 8,909 | |
| | | | | | | | | | |
| | | | | | Total Distributors | | | 593,434 | |
| | | | | | | | | | |
|
| Diversified Consumer Services — 0.4% | |
| | 2,764 | | | | | 2U Inc.* | | | 19,680 | |
| | 8,866 | | | | | ADT Inc. | | | 64,633 | |
| | 1,795 | | | | | Adtalem Global Education Inc.* | | | 67,654 | |
| | 753 | | | | | American Public Education Inc.* | | | 7,778 | |
| | 7,635 | | | | | Beachbody Co., Inc.(The)* | | | 8,857 | |
| | 2,431 | | | | | Bright Horizons Family Solutions Inc.* | | | 165,794 | |
| | 552 | | | | | Carriage Services Inc., Class A Shares | | | 19,546 | |
| | 5,235 | | | | | Chegg Inc.* | | | 103,025 | |
| | 4,907 | | | | | Coursera Inc.* | | | 56,430 | |
| | 967 | | | | | Duolingo Inc., Class A Shares* | | | 90,917 | |
| | 1,062 | | | | | European Wax Center Inc., Class A Shares | | | 22,971 | |
| | 3,351 | | | | | Frontdoor Inc.* | | | 78,681 | |
| | 155 | | | | | Graham Holdings Co., Class B Shares | | | 87,642 | |
| | 1,319 | | | | | Grand Canyon Education Inc.* | | | 107,340 | |
See Notes to Financial Statements.
58
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| CONSUMER DISCRETIONARY — 7.8% — (continued) | |
|
| Diversified Consumer Services — 0.4% — (continued) | |
| | 6,815 | | | | | H&R Block Inc. | | $ | 306,675 | |
| | 4,829 | | | | | Laureate Education Inc., Class A Shares | | | 53,216 | |
| | 2,966 | | | | | Mister Car Wash Inc.* | | | 29,393 | |
| | 3,366 | | | | | Nerdy Inc.* | | | 10,300 | |
| | 3,196 | | | | | OneSpaWorld Holdings Ltd.* | | | 28,157 | |
| | 2,793 | | | | | Perdoceo Education Corp.* | | | 32,343 | |
| | 1,759 | | | | | PowerSchool Holdings Inc., Class A Shares* | | | 31,662 | |
| | 4,188 | | | | | Rover Group Inc., Class A Shares* | | | 15,956 | |
| | 6,481 | | | | | Service Corp. International | | | 399,942 | |
| | 1,195 | | | | | StoneMor Inc.* | | | 4,111 | |
| | 954 | | | | | Strategic Education Inc. | | | 61,724 | |
| | 1,780 | | | | | Stride Inc.* | | | 67,889 | |
| | 5,075 | | | | | Terminix Global Holdings Inc.* | | | 216,449 | |
| | 3,050 | | | | | Udemy Inc.* | | | 45,323 | |
| | 1,399 | | | | | Universal Technical Institute Inc.* | | | 9,597 | |
| | 4,269 | | | | | Vivint Smart Home Inc.* | | | 26,724 | |
| | 2,394 | | | | | WW International Inc.* | | | 12,497 | |
| | | | | | | | | | |
| | | | | | Total Diversified Consumer Services | | | 2,252,906 | |
| | | | | | | | | | |
|
| Hotels, Restaurants & Leisure — 1.7% | |
| | 2,156 | | | | | Accel Entertainment Inc., Class A Shares* | | | 20,288 | |
| | 9,621 | | | | | Aramark | | | 343,566 | |
| | 1,734 | | | | | Bally’s Corp.* | | | 41,078 | |
| | 43 | | | | | Biglari Holdings Inc., Class B Shares* | | | 5,799 | |
| | 912 | | | | | BJ’s Restaurants Inc.* | | | 22,873 | |
| | 3,722 | | | | | Bloomin’ Brands Inc. | | | 75,259 | |
| | 572 | | | | | Bluegreen Vacations Holding Corp., Class A Shares | | | 11,920 | |
| | 1,576 | | | | | Bowlero Corp.*(a) | | | 18,628 | |
| | 3,317 | | | | | Boyd Gaming Corp. | | | 180,544 | |
| | 1,727 | | | | | Brinker International Inc.* | | | 42,329 | |
| | 1,124 | | | | | Century Casinos Inc.* | | | 8,284 | |
| | 2,166 | | | | | Cheesecake Factory Inc. (The) | | | 66,323 | |
| | 1,389 | | | | | Choice Hotels International Inc. | | | 159,332 | |
| | 7,463 | | | | | Churchill Downs Inc. | | | 1,470,883 | |
| | 673 | | | | | Chuy’s Holdings Inc.* | | | 15,028 | |
| | 976 | | | | | Cracker Barrel Old Country Store Inc. | | | 105,349 | |
| | 1,794 | | | | | Dave & Buster’s Entertainment Inc.* | | | 74,164 | |
| | 2,494 | | | | | Denny’s Corp.* | | | 23,568 | |
| | 681 | | | | | Dine Brands Global Inc. | | | 45,355 | |
| | 756 | | | | | El Pollo Loco Holdings Inc.* | | | 6,842 | |
| | 3,558 | | | | | Everi Holdings Inc.* | | | 65,823 | |
| | 1,341 | | | | | F45 Training Holdings Inc.* | | | 3,353 | |
| | 668 | | | | | First Watch Restaurant Group Inc.* | | | 11,202 | |
| | 1,323 | | | | | Full House Resorts Inc.* | | | 8,917 | |
| | 955 | | | | | Golden Entertainment Inc.* | | | 36,538 | |
| | 3,679 | | | | | Hilton Grand Vacations Inc.* | | | 150,030 | |
| | 2,119 | | | | | Hyatt Hotels Corp., Class A Shares* | | | 189,905 | |
| | 1,114 | | | | | Inspired Entertainment Inc.* | | | 11,664 | |
| | 66,017 | | | | | International Game Technology PLC | | | 1,184,345 | |
| | 846 | | | | | Jack in the Box Inc. | | | 67,562 | |
| | 3,404 | | | | | Krispy Kreme Inc. | | | 39,997 | |
| | 164 | | | | | Kura Sushi USA Inc., Class A Shares* | | | 12,261 | |
| | 1,798 | | | | | Life Time Group Holdings Inc.* | | | 21,306 | |
| | 4,017 | | | | | Light & Wonder Inc.* | | | 197,757 | |
| | 1,085 | | | | | Lindblad Expeditions Holdings Inc.* | | | 8,387 | |
See Notes to Financial Statements.
59
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| CONSUMER DISCRETIONARY — 7.8% — (continued) | |
|
| Hotels, Restaurants & Leisure — 1.7% — (continued) | |
| | 1,697 | | | | | Marriott Vacations Worldwide Corp. | | $ | 241,687 | |
| | 537 | | | | | Monarch Casino & Resort Inc.* | | | 32,429 | |
| | 496 | | | | | NEOGAMES SA* | | | 7,931 | |
| | 1,393 | | | | | Noodles & Co., Class A Shares* | | | 6,617 | |
| | 17,886 | | | | | Norwegian Cruise Line Holdings Ltd.*(a) | | | 233,949 | |
| | 786 | | | | | ONE Group Hospitality Inc.(The)* | | | 5,612 | |
| | 1,336 | | | | | Papa John’s International Inc. | | | 107,989 | |
| | 6,878 | | | | | Penn Entertainment Inc.* | | | 214,800 | |
| | 3,525 | | | | | Planet Fitness Inc., Class A Shares* | | | 238,819 | |
| | 89,680 | | | | | Playa Hotels & Resorts NV* | | | 588,301 | |
| | 1,099 | | | | | Portillo’s Inc., Class A Shares* | | | 24,200 | |
| | 392 | | | | | RCI Hospitality Holdings Inc. | | | 25,562 | |
| | 2,155 | | | | | Red Rock Resorts Inc., Class A Shares | | | 82,364 | |
| | 2,470 | | | | | Rush Street Interactive Inc.* | | | 11,955 | |
| | 1,213 | | | | | Ruth’s Hospitality Group Inc. | | | 22,101 | |
| | 11,419 | | | | | SeaWorld Entertainment Inc.* | | | 573,805 | |
| | 1,523 | | | | | Shake Shack Inc., Class A Shares* | | | 72,586 | |
| | 3,076 | | | | | Six Flags Entertainment Corp.* | | | 68,133 | |
| | 522 | | | | | Sweetgreen Inc., Class A Shares* | | | 8,827 | |
| | 1,394 | | | | | Target Hospitality Corp.* | | | 18,526 | |
| | 2,824 | | | | | Texas Roadhouse Inc., Class A Shares | | | 250,658 | |
| | 3,451 | | | | | Travel + Leisure Co. | | | 146,322 | |
| | 1,729 | | | | | Vacasa Inc., Class A Shares* | | | 6,916 | |
| | 1,665 | | | | | Vail Resorts Inc. | | | 374,092 | |
| | 7,282 | | | | | Wendy’s Co. (The) | | | 139,669 | |
| | 6,168 | | | | | Wingstop Inc. | | | 702,289 | |
| | 3,719 | | | | | Wyndham Hotels & Resorts Inc. | | | 242,999 | |
| | 4,515 | | | | | Wynn Resorts Ltd.* | | | 273,564 | |
| | 803 | | | | | Xponential Fitness Inc., Class A Shares* | | | 14,719 | |
| | | | | | | | | | |
| | | | | | Total Hotels, Restaurants & Leisure | | | 9,483,880 | |
| | | | | | | | | | |
|
| Household Durables — 1.0% | |
| | 803 | | | | | Aterian Inc.* | | | 1,831 | |
| | 971 | | | | | Beazer Homes USA Inc.* | | | 13,827 | |
| | 381 | | | | | Cavco Industries Inc.* | | | 89,158 | |
| | 1,256 | | | | | Century Communities Inc. | | | 58,643 | |
| | 1,032 | | | | | Dream Finders Homes Inc., Class A Shares* | | | 12,745 | |
| | 778 | | | | | Ethan Allen Interiors Inc. | | | 18,493 | |
| | 4,982 | | | | | GoPro Inc., Class A Shares* | | | 30,340 | |
| | 1,247 | | | | | Green Brick Partners Inc.* | | | 30,377 | |
| | 971 | | | | | Helen of Troy Ltd.* | | | 120,045 | |
| | 162 | | | | | Hovnanian Enterprises Inc., Class A Shares* | | | 6,495 | |
| | 1,014 | | | | | Installed Building Products Inc. | | | 91,828 | |
| | 1,180 | | | | | iRobot Corp.* | | | 69,478 | |
| | 16,885 | | | | | KB Home | | | 483,755 | |
| | 1,696 | | | | | La-Z-Boy Inc. | | | 44,758 | |
| | 368 | | | | | Legacy Housing Corp.* | | | 6,289 | |
| | 5,548 | | | | | Leggett & Platt Inc. | | | 212,045 | |
| | 864 | | | | | LGI Homes Inc.* | | | 82,002 | |
| | 500 | | | | | Lifetime Brands Inc. | | | 4,460 | |
| | 483 | | | | | Lovesac Co. (The)* | | | 14,901 | |
| | 1,105 | | | | | M/I Homes Inc.* | | | 47,780 | |
| | 2,399 | | | | | MDC Holdings Inc. | | | 74,561 | |
| | 1,501 | | | | | Meritage Homes Corp.* | | | 117,603 | |
| | 2,192 | | | | | Mohawk Industries Inc.* | | | 241,909 | |
See Notes to Financial Statements.
60
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| CONSUMER DISCRETIONARY — 7.8% — (continued) | |
|
| Household Durables — 1.0% — (continued) | |
| | 55,064 | | | | | Newell Brands Inc. | | $ | 982,892 | |
| | 9,926 | | | | | PulteGroup Inc. | | | 403,591 | |
| | 2,062 | | | | | Purple Innovation Inc., Class A Shares* | | | 5,897 | |
| | 2,184 | | | | | Skyline Champion Corp.* | | | 123,767 | |
| | 815 | | | | | Snap One Holdings Corp.* | | | 9,120 | |
| | 24,754 | | | | | Sonos Inc.* | | | 372,300 | |
| | 4,956 | | | | | Taylor Morrison Home Corp., Class A Shares* | | | 124,445 | |
| | 33,469 | | | | | Tempur Sealy International Inc. | | | 837,060 | |
| | 4,508 | | | | | Toll Brothers Inc. | | | 197,405 | |
| | 1,364 | | | | | TopBuild Corp.* | | | 250,649 | |
| | 1,614 | | | | | Traeger Inc.* | | | 4,261 | |
| | 4,578 | | | | | Tri Pointe Homes Inc.* | | | 79,337 | |
| | 1,934 | | | | | Tupperware Brands Corp.* | | | 21,738 | |
| | 475 | | | | | Universal Electronics Inc.* | | | 10,559 | |
| | 2,930 | | | | | Vizio Holding Corp., Class A Shares* | | | 31,410 | |
| | 2,174 | | | | | Vuzix Corp.*(a) | | | 16,327 | |
| | 1,394 | | | | | Weber Inc., Class A Shares | | | 10,009 | |
| | | | | | | | | | |
| | | | | | Total Household Durables | | | 5,354,090 | |
| | | | | | | | | | |
|
| Internet & Direct Marketing Retail — 0.3% | |
| | 36,412 | | | | | 1-800-Flowers.com Inc., Class A Shares* | | | 316,056 | |
| | 331 | | | | | 1stdibs.com Inc.* | | | 2,241 | |
| | 34 | | | | | aka Brands Holding Corp.* | | | 71 | |
| | 3,039 | | | | | BARK Inc.* | | | 7,050 | |
| | 1,761 | | | | | CarParts.com Inc.* | | | 11,411 | |
| | 12,514 | | | | | Chewy Inc., Class A Shares*(a) | | | 429,606 | |
| | 24,353 | | | | | ContextLogic Inc., Class A Shares* | | | 31,659 | |
| | 362 | | | | | Duluth Holdings Inc., Class B Shares* | | | 3,211 | |
| | 1,179 | | | | | Groupon Inc., Class A Shares* | | | 11,684 | |
| | 617 | | | | | Lands’ End Inc.* | | | 8,527 | |
| | 937 | | | | | Liquidity Services Inc.* | | | 16,388 | |
| | 1,751 | | | | | Overstock.com Inc.* | | | 45,701 | |
| | 970 | | | | | PetMed Express Inc. | | | 19,953 | |
| | 3,057 | | | | | Porch Group Inc.* | | | 6,573 | |
| | 2,199 | | | | | Poshmark Inc., Class A Shares* | | | 23,793 | |
| | 1,904 | | | | | Quotient Technology Inc.* | | | 3,541 | |
| | 14,475 | | | | | Qurate Retail Inc., Class A Shares | | | 44,872 | |
| | 3,636 | | | | | RealReal Inc. (The)* | | | 7,781 | |
| | 3,136 | | | | | Rent the Runway Inc., Class A Shares* | | | 13,955 | |
| | 1,848 | | | | | Revolve Group Inc., Class A Shares* | | | 43,409 | |
| | 629 | | | | | RumbleON Inc., Class B Shares* | | | 13,744 | |
| | 3,079 | | | | | Stitch Fix Inc., Class A Shares* | | | 15,457 | |
| | 3,143 | | | | | ThredUp Inc., Class A Shares* | | | 7,575 | |
| | 1,280 | | | | | Vivid Seats Inc., Class A Shares | | | 10,355 | |
| | 8,508 | | | | | Wayfair Inc., Class A Shares*(a) | | | 448,457 | |
| | 1,416 | | | | | Xometry Inc., Class A Shares*(a) | | | 69,398 | |
| | | | | | | | | | |
| | | | | | Total Internet & Direct Marketing Retail | | | 1,612,468 | |
| | | | | | | | | | |
|
| Leisure Products — 0.4% | |
| | 1,473 | | | | | Acushnet Holdings Corp. | | | 70,189 | |
| | 4,531 | | | | | AMMO Inc.* | | | 17,263 | |
| | 8,670 | | | | | BRP Inc. | | | 599,184 | |
| | 3,185 | | | | | Brunswick Corp. | | | 237,951 | |
| | 5,968 | | | | | Callaway Golf Co.* | | | 132,072 | |
| | 970 | | | | | Clarus Corp. | | | 14,715 | |
See Notes to Financial Statements.
61
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| CONSUMER DISCRETIONARY — 7.8% — (continued) | |
|
| Leisure Products — 0.4% — (continued) | |
| | 182 | | | | | Johnson Outdoors Inc., Class A Shares | | $ | 11,128 | |
| | 1,748 | | | | | Latham Group Inc.* | | | 9,981 | |
| | 812 | | | | | Malibu Boats Inc., Class A Shares* | | | 48,744 | |
| | 338 | | | | | Marine Products Corp. | | | 3,356 | |
| | 691 | | | | | MasterCraft Boat Holdings Inc.* | | | 16,646 | |
| | 14,574 | | | | | Mattel Inc.* | | | 322,377 | |
| | 12,391 | | | | | Peloton Interactive Inc., Class A Shares* | | | 126,264 | |
| | 2,361 | | | | | Polaris Inc. | | | 267,431 | |
| | 2,040 | | | | | Smith & Wesson Brands Inc. | | | 27,132 | |
| | 740 | | | | | Solo Brands Inc., Class A Shares* | | | 3,071 | |
| | 721 | | | | | Sturm Ruger & Co., Inc. | | | 37,672 | |
| | 2,319 | | | | | Vista Outdoor Inc.* | | | 65,210 | |
| | 3,626 | | | | | YETI Holdings Inc.* | | | 133,763 | |
| | | | | | | | | | |
| | | | | | Total Leisure Products | | | 2,144,149 | |
| | | | | | | | | | |
|
| Multiline Retail — 0.3% | |
| | 1,366 | | | | | Big Lots Inc. | | | 28,099 | |
| | 169 | | | | | Dillard’s Inc., Class A Shares | | | 50,064 | |
| | 1,092 | | | | | Franchise Group Inc. | | | 37,008 | |
| | 5,240 | | | | | Kohl’s Corp. | | | 148,921 | |
| | 11,946 | | | | | Macy’s Inc. | | | 206,905 | |
| | 4,748 | | | | | Nordstrom Inc. | | | 81,238 | |
| | 15,121 | | | | | Ollie’s Bargain Outlet Holdings Inc.* | | | 836,342 | |
| | | | | | | | | | |
| | | | | | Total Multiline Retail | | | 1,388,577 | |
| | | | | | | | | | |
|
| Specialty Retail — 2.2% | |
| | 1,426 | | | | | Aaron’s Co., Inc. (The) | | | 16,969 | |
| | 2,195 | | | | | Abercrombie & Fitch Co., Class A Shares* | | | 31,586 | |
| | 3,441 | | | | | Academy Sports & Outdoors Inc. | | | 148,238 | |
| | 6,265 | | | | | American Eagle Outfitters Inc. | | | 70,544 | |
| | 216 | | | | | America’s Car-Mart Inc.* | | | 17,412 | |
| | 3,445 | | | | | Arko Corp. | | | 32,831 | |
| | 936 | | | | | Asbury Automotive Group Inc.* | | | 163,313 | |
| | 1,671 | | | | | AutoNation Inc.* | | | 208,207 | |
| | 3,286 | | | | | Bed Bath & Beyond Inc.*(a) | | | 31,316 | |
| | 720 | | | | | Big 5 Sporting Goods Corp.(a) | | | 8,813 | |
| | 1,257 | | | | | Boot Barn Holdings Inc.* | | | 83,741 | |
| | 1,189 | | | | | Buckle Inc. (The) | | | 38,381 | |
| | 597 | | | | | Build-A-Bear Workshop Inc. | | | 9,146 | |
| | 16,361 | | | | | Caleres Inc. | | | 417,533 | |
| | 1,611 | | | | | Camping World Holdings Inc., Class A Shares | | | 48,523 | |
| | 15,298 | | | | | CarMax Inc.* | | | 1,352,955 | |
| | 4,351 | | | | | Carvana Co., Class A Shares*(a) | | | 143,539 | |
| | 597 | | | | | Cato Corp. (The), Class A Shares | | | 6,454 | |
| | 41,926 | | | | | Chico’s FAS Inc.* | | | 238,140 | |
| | 7,510 | | | | | Children’s Place Inc. (The)* | | | 316,772 | |
| | 297 | | | | | Citi Trends Inc.* | | | 5,999 | |
| | 707 | | | | | Conn’s Inc.* | | | 6,794 | |
| | 1,274 | | | | | Container Store Group Inc. (The)* | | | 8,638 | |
| | 38,754 | | | | | Designer Brands Inc., Class A Shares | | | 661,143 | |
| | 2,715 | | | | | Destination XL Group Inc.* | | | 14,960 | |
| | 2,325 | | | | | Dick’s Sporting Goods Inc. | | | 247,310 | |
| | 3,005 | | | | | EVgo Inc.*(a) | | | 28,517 | |
| | 4,601 | | | | | Express Inc.* | | | 6,994 | |
| | 2,282 | | | | | Five Below Inc.* | | | 291,822 | |
See Notes to Financial Statements.
62
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| CONSUMER DISCRETIONARY — 7.8% — (continued) | |
|
| Specialty Retail — 2.2% — (continued) | |
| | 15,316 | | | | | Floor & Decor Holdings Inc., Class A Shares* | | $ | 1,246,110 | |
| | 3,501 | | | | | Foot Locker Inc. | | | 128,977 | |
| | 11,209 | | | | | GameStop Corp., Class A Shares*(a) | | | 321,026 | |
| | 8,352 | | | | | Gap Inc. (The) | | | 76,337 | |
| | 663 | | | | | Genesco Inc.* | | | 37,513 | |
| | 665 | | | | | Group 1 Automotive Inc. | | | 118,762 | |
| | 2,023 | | | | | GrowGeneration Corp.*(a) | | | 9,609 | |
| | 1,249 | | | | | Guess? Inc.(a) | | | 21,820 | |
| | 560 | | | | | Haverty Furniture Cos., Inc. | | | 15,019 | |
| | 602 | | | | | Hibbett Inc. | | | 35,277 | |
| | 452 | | | | | JOANN Inc. | | | 3,209 | |
| | 6,366 | | | | | Leslie’s Inc.*(a) | | | 90,270 | |
| | 1,178 | | | | | Lithia Motors Inc., Class A Shares | | | 312,688 | |
| | 960 | | | | | LL Flooring Holdings Inc.* | | | 7,814 | |
| | 884 | | | | | MarineMax Inc.* | | | 32,125 | |
| | 19,510 | | | | | Monro Inc. | | | 903,508 | |
| | 919 | | | | | Murphy USA Inc. | | | 266,666 | |
| | 31,795 | | | | | National Vision Holdings Inc.* | | | 1,056,548 | |
| | 24,097 | | | | | ODP Corp. (The)* | | | 861,468 | |
| | 516 | | | | | OneWater Marine Inc., Class A Shares* | | | 20,563 | |
| | 3,799 | | | | | Party City Holdco Inc.* | | | 7,484 | |
| | 1,134 | | | | | Penske Automotive Group Inc. | | | 133,710 | |
| | 3,269 | | | | | Petco Health & Wellness Co., Inc., Class A Shares*(a) | | | 48,773 | |
| | 2,067 | | | | | Rent-A-Center Inc. | | | 53,411 | |
| | 735 | | | | | RH* | | | 188,094 | |
| | 4,628 | | | | | Sally Beauty Holdings Inc.* | | | 68,865 | |
| | 641 | | | | | Shoe Carnival Inc. | | | 15,249 | |
| | 1,991 | | | | | Signet Jewelers Ltd. | | | 130,152 | |
| | 910 | | | | | Sleep Number Corp.* | | | 37,701 | |
| | 804 | | | | | Sonic Automotive Inc., Class A Shares | | | 42,765 | |
| | 1,503 | | | | | Sportsman’s Warehouse Holdings Inc.* | | | 11,964 | |
| | 2,102 | | | | | Tile Shop Holdings Inc. | | | 8,240 | |
| | 885 | | | | | Tilly’s Inc., Class A Shares | | | 6,638 | |
| | 416 | | | | | Torrid Holdings Inc.* | | | 2,334 | |
| | 452 | | | | | TravelCenters of America Inc.* | | | 24,444 | |
| | 2,857 | | | | | Urban Outfitters Inc.* | | | 57,511 | |
| | 3,373 | | | | | Victoria’s Secret & Co.* | | | 112,793 | |
| | 6,707 | | | | | Volta Inc.* | | | 14,353 | |
| | 3,602 | | | | | Warby Parker Inc., Class A Shares*(a) | | | 45,277 | |
| | 2,898 | | | | | Williams-Sonoma Inc. | | | 431,078 | |
| | 131 | | | | | Winmark Corp. | | | 27,034 | |
| | 782 | | | | | Zumiez Inc.* | | | 20,301 | |
| | | | | | | | | | |
| | | | | | Total Specialty Retail | | | 11,710,070 | |
| | | | | | | | | | |
|
| Textiles, Apparel & Luxury Goods — 0.8% | |
| | 4,134 | | | | | Allbirds Inc., Class A Shares* | | | 16,991 | |
| | 5,810 | | | | | Capri Holdings Ltd.* | | | 274,116 | |
| | 14,937 | | | | | Carter’s Inc. | | | 1,103,097 | |
| | 1,566 | | | | | Columbia Sportswear Co. | | | 111,562 | |
| | 2,550 | | | | | Crocs Inc.* | | | 187,935 | |
| | 1,130 | | | | | Deckers Outdoor Corp.* | | | 363,374 | |
| | 1,382 | | | | | Ermenegildo Zegna NV | | | 14,152 | |
| | 1,694 | | | | | Fossil Group Inc.* | | | 7,166 | |
| | 2,026 | | | | | G-III Apparel Group Ltd.* | | | 42,688 | �� |
| | 14,631 | | | | | Hanesbrands Inc. | | | 127,436 | |
See Notes to Financial Statements.
63
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| CONSUMER DISCRETIONARY — 7.8% — (continued) | |
|
| Textiles, Apparel & Luxury Goods — 0.8% — (continued) | |
| | 2,441 | | | | | Kontoor Brands Inc. | | $ | 90,878 | |
| | 752 | | | | | Movado Group Inc. | | | 23,981 | |
| | 699 | | | | | Oxford Industries Inc. | | | 74,604 | |
| | 1,080 | | | | | PLBY Group Inc.* | | | 4,860 | |
| | 2,816 | | | | | PVH Corp. | | | 158,400 | |
| | 1,897 | | | | | Ralph Lauren Corp., Class A Shares | | | 173,253 | |
| | 279 | | | | | Rocky Brands Inc. | | | 7,290 | |
| | 5,520 | | | | | Skechers USA Inc., Class A Shares* | | | 208,656 | |
| | 3,187 | | | | | Steven Madden Ltd. | | | 92,774 | |
| | 468 | | | | | Superior Group of Cos., Inc. | | | 5,200 | |
| | 11,092 | | | | | Tapestry Inc. | | | 385,225 | |
| | 7,747 | | | | | Under Armour Inc., Class A Shares* | | | 65,230 | |
| | 9,000 | | | | | Under Armour Inc., Class C Shares* | | | 68,310 | |
| | 548 | | | | | Unifi Inc.* | | | 6,225 | |
| | 38,493 | | | | | Wolverine World Wide Inc. | | | 752,153 | |
| | | | | | | | | | |
| | | | | | Total Textiles, Apparel & Luxury Goods | | | 4,365,556 | |
| | | | | | | | | | |
| | | | | | TOTAL CONSUMER DISCRETIONARY | | | 42,026,969 | |
| | | | | | | | | | |
|
| CONSUMER STAPLES — 4.5% | |
|
| Beverages — 0.1% | |
| | 387 | | | | | Boston Beer Co., Inc. (The), Class A Shares* | | | 130,450 | |
| | 2,243 | | | | | Celsius Holdings Inc.* | | | 232,128 | |
| | 196 | | | | | Coca-Cola Consolidated Inc. | | | 92,969 | |
| | 1,312 | | | | | Duckhorn Portfolio Inc.(The)* | | | 23,931 | |
| | 615 | | | | | MGP Ingredients Inc. | | | 67,318 | |
| | 997 | | | | | National Beverage Corp. | | | 55,293 | |
| | 6,352 | | | | | Primo Water Corp. | | | 83,465 | |
| | 1,476 | | | | | Vintage Wine Estates Inc.* | | | 8,723 | |
| | 1,232 | | | | | Vita Coco Co., Inc. (The)*(a) | | | 18,468 | |
| | | | | | | | | | |
| | | | | | Total Beverages | | | 712,745 | |
| | | | | | | | | | |
|
| Food & Staples Retailing — 0.4% | |
| | 6,762 | | | | | Albertsons Cos., Inc., Class A Shares | | | 186,023 | |
| | 1,365 | | | | | Andersons Inc. (The) | | | 50,546 | |
| | 5,602 | | | | | BJ’s Wholesale Club Holdings Inc.* | | | 417,293 | |
| | 1,551 | | | | | Casey’s General Stores Inc. | | | 331,557 | |
| | 1,523 | | | | | Chefs’ Warehouse Inc. (The)* | | | 50,777 | |
| | 3,722 | | | | | Grocery Outlet Holding Corp.* | | | 149,327 | |
| | 1,410 | | | | | HF Foods Group Inc.* | | | 7,177 | |
| | 613 | | | | | Ingles Markets Inc., Class A Shares | | | 53,656 | |
| | 321 | | | | | Natural Grocers by Vitamin Cottage Inc. | | | 4,609 | |
| | 6,366 | | | | | Performance Food Group Co.* | | | 318,173 | |
| | 989 | | | | | PriceSmart Inc. | | | 62,574 | |
| | 2,441 | | | | | Rite Aid Corp.* | | | 17,526 | |
| | 1,409 | | | | | SpartanNash Co. | | | 42,876 | |
| | 4,654 | | | | | Sprouts Farmers Market Inc.* | | | 134,501 | |
| | 2,410 | | | | | United Natural Foods Inc.* | | | 106,233 | |
| | 9,184 | | | | | US Foods Holding Corp.* | | | 281,214 | |
| | 334 | | | | | Village Super Market Inc., Class A Shares | | | 7,341 | |
| | 723 | | | | | Weis Markets Inc. | | | 56,184 | |
| | | | | | | | | | |
| | | | | | Total Food & Staples Retailing | | | 2,277,587 | |
| | | | | | | | | | |
|
| Food Products — 1.6% | |
| | 408 | | | | | Alico Inc. | | | 13,852 | |
| | 2,617 | | | | | AppHarvest Inc.* | | | 7,537 | |
See Notes to Financial Statements.
64
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| CONSUMER STAPLES — 4.5% — (continued) | |
|
| Food Products — 1.6% — (continued) | |
| | 2,926 | | | | | B&G Foods Inc.(a) | | $ | 63,377 | |
| | 7,743 | | | | | Benson Hill Inc.* | | | 27,488 | |
| | 2,679 | | | | | Beyond Meat Inc.* | | | 65,368 | |
| | 1,347 | | | | | BRC Inc., Class A Shares* | | | 13,133 | |
| | 15,554 | | | | | Calavo Growers Inc. | | | 653,890 | |
| | 26,265 | | | | | Cal-Maine Foods Inc. | | | 1,408,067 | |
| | 6,679 | | | | | Darling Ingredients Inc.* | | | 508,005 | |
| | 7,689 | | | | | Flowers Foods Inc. | | | 209,910 | |
| | 1,363 | | | | | Fresh Del Monte Produce Inc. | | | 37,264 | |
| | 1,829 | | | | | Freshpet Inc.* | | | 79,616 | |
| | 22,138 | | | | | Hain Celestial Group Inc. (The)* | | | 448,516 | |
| | 5,680 | | | | | Hostess Brands Inc., Class A Shares* | | | 131,662 | |
| | 2,765 | | | | | Ingredion Inc. | | | 240,749 | |
| | 4,019 | | | | | J&J Snack Foods Corp. | | | 598,952 | |
| | 366 | | | | | John B Sanfilippo & Son Inc. | | | 29,547 | |
| | 5,991 | | | | | Lamb Weston Holdings Inc. | | | 476,464 | |
| | 821 | | | | | Lancaster Colony Corp. | | | 138,380 | |
| | 954 | | | | | Landec Corp.* | | | 10,017 | |
| | 25,767 | | | | | Mission Produce Inc.* | | | 414,849 | |
| | 2,066 | | | | | Pilgrim’s Pride Corp.* | | | 58,819 | |
| | 2,345 | | | | | Post Holdings Inc.* | | | 208,142 | |
| | 11 | | | | | Seaboard Corp. | | | 42,486 | |
| | 203 | | | | | Seneca Foods Corp., Class A Shares* | | | 10,725 | |
| | 3,699 | | | | | Simply Good Foods Co. (The)* | | | 113,004 | |
| | 1,301 | | | | | Sovos Brands Inc.* | | | 19,866 | |
| | 4,208 | | | | | SunOpta Inc.* | | | 41,785 | |
| | 1,831 | | | | | Tattooed Chef Inc.* | | | 12,195 | |
| | 540 | | | | | Tootsie Roll Industries Inc. | | | 19,348 | |
| | 34,547 | | | | | TreeHouse Foods Inc.* | | | 1,609,890 | |
| | 43,046 | | | | | Utz Brands Inc. | | | 717,146 | |
| | 1,373 | | | | | Vital Farms Inc.* | | | 17,780 | |
| | 1,493 | | | | | Whole Earth Brands Inc.* | | | 7,629 | |
| | | | | | | | | | |
| | | | | | Total Food Products | | | 8,455,458 | |
| | | | | | | | | | |
|
| Household Products — 1.7% | |
| | 362 | | | | | Central Garden & Pet Co.* | | | 14,451 | |
| | 1,692 | | | | | Central Garden & Pet Co., Class A Shares* | | | 63,890 | |
| | 14,460 | | | | | Clorox Co. (The) | | | 2,087,156 | |
| | 2,789 | | | | | Energizer Holdings Inc. | | | 78,371 | |
| | 242,232 | | | | | Henkel AG & Co. KGaA, ADR | | | 3,862,206 | |
| | 22,634 | | | | | Kimberly-Clark Corp. | | | 2,886,288 | |
| | 2,230 | | | | | Reynolds Consumer Products Inc. | | | 62,284 | |
| | 1,644 | | | | | Spectrum Brands Holdings Inc. | | | 103,555 | |
| | 576 | | | | | WD-40 Co. | | | 108,956 | |
| | | | | | | | | | |
| | | | | | Total Household Products | | | 9,267,157 | |
| | | | | | | | | | |
|
| Personal Products — 0.7% | |
| | 4,284 | | | | | Beauty Health Co.* | | | 49,694 | |
| | 62,043 | | | | | Beiersdorf AG, ADR | | | 1,248,926 | |
| | 5,465 | | | | | BellRing Brands Inc.* | | | 129,466 | |
| | 14,276 | | | | | Coty Inc., Class A Shares* | | | 107,213 | |
| | 2,159 | | | | | Edgewell Personal Care Co. | | | 84,115 | |
| | 2,059 | | | | | elf Beauty Inc.* | | | 78,510 | |
| | 27,769 | | | | | Herbalife Nutrition Ltd.* | | | 724,493 | |
See Notes to Financial Statements.
65
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| CONSUMER STAPLES — 4.5% — (continued) | |
|
| Personal Products — 0.7% — (continued) | |
| | 3,957 | | | | | Honest Co., Inc. (The)* | | $ | 14,285 | |
| | 741 | | | | | Inter Parfums Inc. | | | 58,183 | |
| | 464 | | | | | Medifast Inc. | | | 58,223 | |
| | 462 | | | | | Nature’s Sunshine Products Inc.* | | | 4,481 | |
| | 18,351 | | | | | Nu Skin Enterprises Inc., Class A Shares | | | 751,290 | |
| | 5,174 | | | | | Olaplex Holdings Inc.* | | | 68,918 | |
| | 570 | | | | | USANA Health Sciences Inc.* | | | 36,776 | |
| | 2,601 | | | | | Veru Inc.*(a) | | | 39,795 | |
| | | | | | | | | | |
| | | | | | Total Personal Products | | | 3,454,368 | |
| | | | | | | | | | |
|
| | Tobacco — 0.0% | |
| | 6,185 | | | | | 22nd Century Group Inc.* | | | 8,288 | |
| | 514 | | | | | Turning Point Brands Inc. | | | 11,986 | |
| | 971 | | | | | Universal Corp. | | | 49,560 | |
| | 5,948 | | | | | Vector Group Ltd. | | | 58,290 | |
| | | | | | | | | | |
| | | | | | Total Tobacco | | | 128,124 | |
| | | | | | | | | | |
| | | | | | TOTAL CONSUMER STAPLES | | | 24,295,439 | |
| | | | | | | | | | |
|
| ENERGY — 4.1% | |
|
| Energy Equipment & Services — 1.0% | |
| | 5,992 | | | | | Archrock Inc. | | | 44,281 | |
| | 5,473 | | | | | Borr Drilling Ltd.* | | | 21,947 | |
| | 999 | | | | | Bristow Group Inc.* | | | 28,981 | |
| | 2,487 | | | | | Cactus Inc., Class A Shares | | | 99,356 | |
| | 8,562 | | | | | ChampionX Corp. | | | 186,737 | |
| | 4,350 | | | | | Diamond Offshore Drilling Inc.* | | | 30,928 | |
| | 699 | | | | | DMC Global Inc.* | | | 15,602 | |
| | 14,200 | | | | | Dril-Quip Inc.* | | | 314,246 | |
| | 3,525 | | | | | Expro Group Holdings NV* | | | 47,658 | |
| | 5,030 | | | | | Helix Energy Solutions Group Inc.* | | | 21,730 | |
| | 4,186 | | | | | Helmerich & Payne Inc. | | | 178,951 | |
| | 6,678 | | | | | ION Geophysical Corp.* | | | 187 | |
| | 5,932 | | | | | Liberty Energy Inc., Class A Shares* | | | 88,980 | |
| | 386 | | | | | Nabors Industries Ltd.* | | | 51,149 | |
| | 1,206 | | | | | National Energy Services Reunited Corp.* | | | 8,466 | |
| | 3,902 | | | | | Newpark Resources Inc.* | | | 11,238 | |
| | 173,610 | | | | | NexTier Oilfield Solutions Inc.* | | | 1,626,726 | |
| | 1,602 | | | | | Noble Corp.* | | | 48,621 | |
| | 16,518 | | | | | NOV Inc. | | | 291,873 | |
| | 53,085 | | | | | Oceaneering International Inc.* | | | 469,802 | |
| | 44,673 | | | | | Oil States International Inc.* | | | 218,898 | |
| | 25,253 | | | | | Patterson-UTI Energy Inc. | | | 376,270 | |
| | 3,315 | | | | | ProPetro Holding Corp.* | | | 30,365 | |
| | 2,530 | | | | | RPC Inc. | | | 20,113 | |
| | 2,960 | | | | | Select Energy Services Inc., Class A Shares* | | | 21,046 | |
| | 1,342 | | | | | Solaris Oilfield Infrastructure Inc., Class A Shares | | | 14,359 | |
| | 54,750 | | | | | TechnipFMC PLC* | | | 447,855 | |
| | 52,388 | | | | | TETRA Technologies Inc.* | | | 208,504 | |
| | 1,640 | | | | | Tidewater Inc.* | | | 36,342 | |
| | 3,307 | | | | | US Silica Holdings Inc.* | | | 46,397 | |
| | 2,625 | | | | | Valaris Ltd.* | | | 133,823 | |
| | 2,899 | | | | | Weatherford International PLC* | | | 81,578 | |
| | | | | | | | | | |
| | | | | | Total Energy Equipment & Services | | | 5,223,009 | |
| | | | | | | | | | |
See Notes to Financial Statements.
66
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| ENERGY — 4.1% — (continued) | |
|
| Oil, Gas & Consumable Fuels — 3.1% | |
| | 979 | | | | | Aemetis Inc.* | | $ | 8,928 | |
| | 2,981 | | | | | Alto Ingredients Inc.* | | | 12,878 | |
| | 1,554 | | | | | Amplify Energy Corp.* | | | 11,577 | |
| | 13,821 | | | | | Antero Midstream Corp. | | | 139,177 | |
| | 12,235 | | | | | Antero Resources Corp.* | | | 490,379 | |
| | 14,052 | | | | | APA Corp. | | | 549,574 | |
| | 653 | | | | | Arch Resources Inc. | | | 95,064 | |
| | 2,543 | | | | | Archaea Energy Inc., Class A Shares* | | | 50,250 | |
| | 1,403 | | | | | Ardmore Shipping Corp.* | | | 13,525 | |
| | 3,004 | | | | | Berry Corp. | | | 27,487 | |
| | 2,359 | | | | | Brigham Minerals Inc., Class A Shares | | | 70,180 | |
| | 3,317 | | | | | California Resources Corp. | | | 165,717 | |
| | 2,117 | | | | | Callon Petroleum Co.* | | | 90,100 | |
| | 8,891 | | | | | Centennial Resource Development Inc., Class A Shares* | | | 73,173 | |
| | 387 | | | | | Centrus Energy Corp., Class A Shares* | | | 19,276 | |
| | 5,307 | | | | | Chesapeake Energy Corp. | | | 533,300 | |
| | 1,751 | | | | | Chord Energy Corp. | | | 247,854 | |
| | 3,018 | | | | | Civitas Resources Inc. | | | 202,779 | |
| | 6,683 | | | | | Clean Energy Fuels Corp.* | | | 44,910 | |
| | 38,000 | | | | | CNX Resources Corp.* | | | 671,460 | |
| | 3,898 | | | | | Comstock Resources Inc.* | | | 76,401 | |
| | 1,384 | | | | | CONSOL Energy Inc. | | | 99,344 | |
| | 1,205 | | | | | Crescent Energy Co., Class A Shares | | | 20,642 | |
| | 1,109 | | | | | CVR Energy Inc. | | | 36,220 | |
| | 2,938 | | | | | Delek US Holdings Inc. | | | 82,999 | |
| | 2,140 | | | | | Denbury Inc.* | | | 190,310 | |
| | 28,467 | | | | | Devon Energy Corp. | | | 2,010,340 | |
| | 6,091 | | | | | DHT Holdings Inc. | | | 47,571 | |
| | 7,265 | | | | | Diamondback Energy Inc. | | | 968,279 | |
| | 1,250 | | | | | Dorian LPG Ltd. | | | 18,188 | |
| | 4,031 | | | | | DT Midstream Inc. | | | 222,552 | |
| | 2,054 | | | | | Earthstone Energy Inc., Class A Shares* | | | 31,221 | |
| | 6,993 | | | | | Energy Fuels Inc.* | | | 56,783 | |
| | 1,228 | | | | | Enviva Inc. | | | 85,371 | |
| | 15,310 | | | | | EQT Corp. | | | 731,818 | |
| | 16,811 | | | | | Equitrans Midstream Corp. | | | 155,838 | |
| | 992 | | | | | Excelerate Energy Inc., Class A Shares | | | 25,475 | |
| | 1,152 | | | | | FLEX LNG Ltd. | | | 38,097 | |
| | 5,610 | | | | | Frontline Ltd.* | | | 66,535 | |
| | 8,472 | | | | | Gevo Inc.*(a) | | | 26,517 | |
| | 4,168 | | | | | Golar LNG Ltd.* | | | 113,661 | |
| | 1,457 | | | | | Green Plains Inc.* | | | 53,370 | |
| | 498 | | | | | Gulfport Energy Corp.* | | | 48,684 | |
| | 6,190 | | | | | HF Sinclair Corp. | | | 325,780 | |
| | 287 | | | | | HighPeak Energy Inc. | | | 7,267 | |
| | 2,060 | | | | | International Seaways Inc. | | | 60,832 | |
| | 677 | | | | | Kinetik Holdings Inc., Class A Shares | | | 24,961 | |
| | 19,243 | | | | | Kosmos Energy Ltd.* | | | 136,048 | |
| | 706 | | | | | Laredo Petroleum Inc.* | | | 54,793 | |
| | 6,869 | | | | | Magnolia Oil & Gas Corp., Class A Shares | | | 163,963 | |
| | 4,640 | | | | | Matador Resources Co. | | | 276,544 | |
| | 6,107 | | | | | Murphy Oil Corp. | | | 237,990 | |
| | 238 | | | | | NACCO Industries Inc., Class A Shares | | | 10,703 | |
| | 1,975 | | | | | New Fortress Energy Inc., Class A Shares(a) | | | 113,266 | |
See Notes to Financial Statements.
67
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| ENERGY — 4.1% — (continued) | |
|
| Oil, Gas & Consumable Fuels — 3.1% — (continued) | |
| | 1,947 | | | | | NextDecade Corp.* | | $ | 14,349 | |
| | 6,391 | | | | | Nordic American Tankers Ltd. | | | 16,617 | |
| | 29,522 | | | | | Northern Oil & Gas Inc. | | | 934,076 | |
| | 10,724 | | | | | Ovintiv Inc. | | | 569,873 | |
| | 2,300 | | | | | Par Pacific Holdings Inc.* | | | 43,240 | |
| | 3,978 | | | | | PBF Energy Inc., Class A Shares* | | | 135,888 | |
| | 22,295 | | | | | PDC Energy Inc. | | | 1,514,053 | |
| | 4,812 | | | | | Peabody Energy Corp.* | | | 118,664 | |
| | 53,785 | | | | | Range Resources Corp.* | | | 1,767,375 | |
| | 871 | | | | | Ranger Oil Corp., Class A Shares | | | 33,960 | |
| | 618 | | | | | REX American Resources Corp.* | | | 18,725 | |
| | 427 | | | | | Riley Exploration Permian Inc. | | | 10,735 | |
| | 3,896 | | | | | Ring Energy Inc.* | | | 12,623 | |
| | 778 | | | | | SandRidge Energy Inc.* | | | 16,322 | |
| | 2,114 | | | | | Scorpio Tankers Inc. | | | 87,942 | |
| | 5,319 | | | | | SFL Corp., Ltd. | | | 56,913 | |
| | 505 | | | | | SilverBow Resources Inc.* | | | 20,079 | |
| | 394 | | | | | Sitio Royalties Corp. | | | 10,023 | |
| | 5,063 | | | | | SM Energy Co. | | | 223,126 | |
| | 46,652 | | | | | Southwestern Energy Co.* | | | 349,423 | |
| | 2,778 | | | | | Talos Energy Inc.* | | | 57,588 | |
| | 2,758 | | | | | Teekay Corp.* | | | 9,625 | |
| | 971 | | | | | Teekay Tankers Ltd., Class A Shares* | | | 23,887 | |
| | 21,319 | | | | | Tellurian Inc.* | | | 85,276 | |
| | 240 | | | | | Texas Pacific Land Corp. | | | 441,710 | |
| | 13,303 | | | | | Uranium Energy Corp.* | | | 60,130 | |
| | 7,355 | | | | | Ur-Energy Inc.* | | | 10,150 | |
| | 2,430 | | | | | VAALCO Energy Inc. | | | 12,174 | |
| | 2,235 | | | | | Vertex Energy Inc.*(a) | | | 18,997 | |
| | 3,524 | | | | | W&T Offshore Inc.* | | | 22,906 | |
| | 2,661 | | | | | World Fuel Services Corp. | | | 68,654 | |
| | | | | | | | | | |
| | | | | | Total Oil, Gas & Consumable Fuels | | | 16,901,054 | |
| | | | | | | | | | |
| | | | | | TOTAL ENERGY | | | 22,124,063 | |
| | | | | | | | | | |
|
| FINANCIALS — 13.2% | |
|
| Banks — 5.6% | |
| | 874 | | | | | 1st Source Corp. | | | 41,244 | |
| | 579 | | | | | ACNB Corp.(a) | | | 20,589 | |
| | 631 | | | | | Allegiance Bancshares Inc. | | | 26,729 | |
| | 634 | | | | | Amalgamated Financial Corp. | | | 14,265 | |
| | 1,312 | | | | | Amerant Bancorp Inc., Class A Shares | | | 34,361 | |
| | 611 | | | | | American National Bankshares Inc. | | | 20,120 | |
| | 2,500 | | | | | Ameris Bancorp | | | 116,700 | |
| | 881 | | | | | Arrow Financial Corp. | | | 28,289 | |
| | 6,584 | | | | | Associated Banc-Corp. | | | 131,943 | |
| | 3,231 | | | | | Atlantic Union Bankshares Corp. | | | 104,846 | |
| | 2,848 | | | | | Banc of California Inc. | | | 48,074 | |
| | 872 | | | | | BancFirst Corp. | | | 94,054 | |
| | 1,521 | | | | | Bancorp Inc. (The)* | | | 36,078 | |
| | 358 | | | | | Bank First Corp. | | | 29,095 | |
| | 1,642 | | | | | Bank of Hawaii Corp. | | | 128,109 | |
| | 722 | | | | | Bank of Marin Bancorp | | | 22,310 | |
| | 2,194 | | | | | Bank of NT Butterfield & Son Ltd. (The) | | | 71,568 | |
| | 4,963 | | | | | Bank OZK | | | 201,150 | |
See Notes to Financial Statements.
68
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| FINANCIALS — 13.2% — (continued) | |
|
| Banks — 5.6% — (continued) | |
| | 70,444 | | | | | BankUnited Inc. | | $ | 2,609,950 | |
| | 559 | | | | | Bankwell Financial Group Inc. | | | 17,620 | |
| | 7,520 | | | | | Banner Corp. | | | 456,915 | |
| | 951 | | | | | Bar Harbor Bankshares | | | 26,942 | |
| | 900 | | | | | Baycom Corp. | | | 16,749 | |
| | 954 | | | | | BCB Bancorp Inc. | | | 17,172 | |
| | 11,727 | | | | | Berkshire Hills Bancorp Inc. | | | 330,819 | |
| | 659 | | | | | Blue Ridge Bankshares Inc. | | | 9,668 | |
| | 1,281 | | | | | BOK Financial Corp. | | | 113,842 | |
| | 2,157 | | | | | Brookline Bancorp Inc. | | | 26,898 | |
| | 1,185 | | | | | Business First Bancshares Inc. | | | 27,954 | |
| | 1,141 | | | | | Byline Bancorp Inc. | | | 24,885 | |
| | 5,119 | | | | | Cadence Bank | | | 130,432 | |
| | 308 | | | | | Cambridge Bancorp | | | 25,327 | |
| | 653 | | | | | Camden National Corp. | | | 29,535 | |
| | 572 | | | | | Capital Bancorp Inc. | | | 14,168 | |
| | 831 | | | | | Capital City Bank Group Inc. | | | 26,534 | |
| | 1,121 | | | | | Capstar Financial Holdings Inc. | | | 22,588 | |
| | 946 | | | | | Carter Bankshares Inc.* | | | 15,581 | |
| | 2,967 | | | | | Cathay General Bancorp | | | 124,436 | |
| | 1,106 | | | | | CBTX Inc. | | | 32,959 | |
| | 770 | | | | | Central Pacific Financial Corp. | | | 16,778 | |
| | 635 | | | | | Citizens & Northern Corp. | | | 15,240 | |
| | 423 | | | | | City Holding Co. | | | 35,959 | |
| | 563 | | | | | Civista Bancshares Inc. | | | 11,907 | |
| | 817 | | | | | CNB Financial Corp. | | | 21,503 | |
| | 547 | | | | | Coastal Financial Corp.* | | | 21,989 | |
| | 1,332 | | | | | Colony Bankcorp Inc. | | | 18,808 | |
| | 2,495 | | | | | Columbia Banking System Inc. | | | 74,725 | |
| | 19,810 | | | | | Comerica Inc. | | | 1,590,743 | |
| | 4,614 | | | | | Commerce Bancshares Inc. | | | 317,305 | |
| | 1,556 | | | | | Community Bank System Inc. | | | 101,731 | |
| | 784 | | | | | Community Trust Bancorp Inc. | | | 33,124 | |
| | 1,640 | | | | | ConnectOne Bancorp Inc. | | | 41,049 | |
| | 2,140 | | | | | CrossFirst Bankshares Inc.* | | | 28,205 | |
| | 2,482 | | | | | Cullen/Frost Bankers Inc. | | | 322,561 | |
| | 1,161 | | | | | Customers Bancorp Inc.* | | | 40,275 | |
| | 5,019 | | | | | CVB Financial Corp. | | | 131,699 | |
| | 1,448 | | | | | Dime Community Bancshares Inc. | | | 45,264 | |
| | 919 | | | | | Eagle Bancorp Inc. | | | 44,599 | |
| | 5,967 | | | | | East West Bancorp Inc. | | | 430,638 | |
| | 7,015 | | | | | Eastern Bankshares Inc. | | | 136,091 | |
| | 535 | | | | | Enterprise Bancorp Inc. | | | 17,216 | |
| | 1,508 | | | | | Enterprise Financial Services Corp. | | | 68,946 | |
| | 673 | | | | | Equity Bancshares Inc., Class A Shares | | | 21,018 | |
| | 431 | | | | | Esquire Financial Holdings Inc. | | | 16,111 | |
| | 603 | | | | | Farmers & Merchants Bancorp Inc. | | | 17,222 | |
| | 1,431 | | | | | Farmers National Banc Corp. | | | 20,449 | |
| | 1,751 | | | | | FB Financial Corp. | | | 69,375 | |
| | 794 | | | | | Financial Institutions Inc. | | | 20,668 | |
| | 7,866 | | | | | First Bancorp | | | 136,274 | |
| | 384 | | | | | First Bancorp Inc. (The) | | | 11,136 | |
| | 916 | | | | | First Bancshares Inc. (The) | | | 27,388 | |
| | 727 | | | | | First Bank | | | 10,898 | |
| | 2,279 | | | | | First Busey Corp. | | | 52,417 | |
See Notes to Financial Statements.
69
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| FINANCIALS — 13.2% — (continued) | |
|
| Banks — 5.6% — (continued) | |
| | 555 | | | | | First Business Financial Services Inc. | | $ | 18,470 | |
| | 512 | | | | | First Citizens BancShares Inc., Class A Shares | | | 415,724 | |
| | 2,751 | | | | | First Commonwealth Financial Corp. | | | 37,083 | |
| | 805 | | | | | First Community Bancshares Inc. | | | 25,382 | |
| | 2,751 | | | | | First Financial Bancorp | | | 59,367 | |
| | 5,447 | | | | | First Financial Bankshares Inc. | | | 231,552 | |
| | 634 | | | | | First Financial Corp. | | | 29,481 | |
| | 2,337 | | | | | First Foundation Inc. | | | 44,310 | |
| | 412 | | | | | First Guaranty Bancshares Inc. | | | 9,179 | |
| | 5,431 | | | | | First Hawaiian Inc. | | | 139,631 | |
| | 22,288 | | | | | First Horizon Corp. | | | 504,155 | |
| | 357 | | | | | First Internet Bancorp | | | 13,091 | |
| | 22,773 | | | | | First Interstate BancSystem Inc., Class A Shares | | | 916,841 | |
| | 2,596 | | | | | First Merchants Corp. | | | 103,373 | |
| | 780 | | | | | First Mid Bancshares Inc. | | | 27,573 | |
| | 1,106 | | | | | First of Long Island Corp. (The) | | | 20,361 | |
| | 530 | | | | | First Western Financial Inc.* | | | 14,061 | |
| | 489 | | | | | Five Star Bancorp | | | 12,435 | |
| | 1,288 | | | | | Flushing Financial Corp. | | | 26,597 | |
| | 14,874 | | | | | FNB Corp. | | | 177,298 | |
| | 6,473 | | | | | Fulton Financial Corp. | | | 105,057 | |
| | 953 | | | | | FVCBankcorp Inc.* | | | 18,355 | |
| | 1,417 | | | | | German American Bancorp Inc. | | | 53,223 | |
| | 4,758 | | | | | Glacier Bancorp Inc. | | | 241,135 | |
| | 537 | | | | | Great Southern Bancorp Inc. | | | 31,565 | |
| | 344 | | | | | Guaranty Bancshares Inc. | | | 11,920 | |
| | 3,568 | | | | | Hancock Whitney Corp. | | | 172,085 | |
| | 722 | | | | | Hanmi Financial Corp. | | | 17,848 | |
| | 2,232 | | | | | HarborOne Bancorp Inc. | | | 30,444 | |
| | 538 | | | | | HBT Financial Inc. | | | 9,727 | |
| | 1,720 | | | | | Heartland Financial USA Inc. | | | 76,832 | |
| | 2,685 | | | | | Heritage Commerce Corp. | | | 30,314 | |
| | 843 | | | | | Heritage Financial Corp. | | | 21,910 | |
| | 2,654 | | | | | Hilltop Holdings Inc. | | | 70,066 | |
| | 8,262 | | | | | Home BancShares Inc. | | | 194,405 | |
| | 519 | | | | | HomeStreet Inc. | | | 18,066 | |
| | 769 | | | | | HomeTrust Bancshares Inc. | | | 17,856 | |
| | 3,457 | | | | | Hope Bancorp Inc. | | | 50,023 | |
| | 1,825 | | | | | Horizon Bancorp Inc. | | | 34,529 | |
| | 64,939 | | | | | Huntington Bancshares Inc. | | | 870,183 | |
| | 4,748 | | | | | Independent Bank Corp. | | | 311,591 | |
| | 1,461 | | | | | Independent Bank Group Inc. | | | 98,413 | |
| | 2,387 | | | | | International Bancshares Corp. | | | 99,610 | |
| | 587 | | | | | John Marshall Bancorp Inc. | | | 14,798 | |
| | 3,000 | | | | | Lakeland Bancorp Inc. | | | 48,870 | |
| | 924 | | | | | Lakeland Financial Corp. | | | 69,614 | |
| | 1,494 | | | | | Live Oak Bancshares Inc. | | | 54,143 | |
| | 1,098 | | | | | Macatawa Bank Corp. | | | 10,453 | |
| | 721 | | | | | Mercantile Bank Corp. | | | 23,851 | |
| | 1,020 | | | | | Metrocity Bankshares Inc. | | | 20,390 | |
| | 481 | | | | | Metropolitan Bank Holding Corp.* | | | 34,435 | |
| | 560 | | | | | Mid Penn Bancorp Inc. | | | 16,290 | |
| | 1,022 | | | | | Midland States Bancorp Inc. | | | 25,642 | |
| | 706 | | | | | MidWestOne Financial Group Inc. | | | 21,533 | |
| | 396 | | | | | MVB Financial Corp. | | | 12,664 | |
See Notes to Financial Statements.
70
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| FINANCIALS — 13.2% — (continued) | |
|
| Banks — 5.6% — (continued) | |
| | 31,333 | | | | | National Bank Holdings Corp., Class A Shares | | $ | 1,257,393 | |
| | 1,226 | | | | | NBT Bancorp Inc. | | | 47,544 | |
| | 545 | | | | | Nicolet Bankshares Inc.* | | | 41,736 | |
| | 437 | | | | | Northeast Bank | | | 16,942 | |
| | 3,558 | | | | | Northwest Bancshares Inc. | | | 50,061 | |
| | 2,804 | | | | | OceanFirst Financial Corp. | | | 54,510 | |
| | 1,444 | | | | | OFG Bancorp | | | 39,277 | |
| | 12,208 | | | | | Old National Bancorp | | | 203,752 | |
| | 1,982 | | | | | Old Second Bancorp Inc. | | | 27,193 | |
| | 970 | | | | | Origin Bancorp Inc. | | | 39,625 | |
| | 454 | | | | | Orrstown Financial Services Inc. | | | 11,681 | |
| | 25,151 | | | | | Pacific Premier Bancorp Inc. | | | 823,947 | |
| | 27,771 | | | | | PacWest Bancorp | | | 731,210 | |
| | 618 | | | | | Park National Corp. | | | 81,471 | |
| | 879 | | | | | Parke Bancorp Inc. | | | 19,496 | |
| | 914 | | | | | Pathward Financial Inc. | | | 30,125 | |
| | 882 | | | | | PCB Bancorp | | | 16,564 | |
| | 584 | | | | | PCSB Financial Corp. | | | 10,810 | |
| | 847 | | | | | Peapack Gladstone Financial Corp. | | | 28,518 | |
| | 1,230 | | | | | Peoples Bancorp Inc. | | | 36,765 | |
| | 386 | | | | | Peoples Financial Services Corp. | | | 18,790 | |
| | 3,223 | | | | | Pinnacle Financial Partners Inc. | | | 260,128 | |
| | 3,137 | | | | | Popular Inc. | | | 242,239 | |
| | 386 | | | | | Preferred Bank | | | 26,186 | |
| | 1,513 | | | | | Premier Financial Corp. | | | 40,881 | |
| | 950 | | | | | Primis Financial Corp. | | | 12,455 | |
| | 758 | | | | | Professional Holding Corp., Class A Shares* | | | 21,194 | |
| | 3,769 | | | | | Prosperity Bancshares Inc. | | | 267,147 | |
| | 789 | | | | | QCR Holdings Inc. | | | 44,066 | |
| | 1,000 | | | | | RBB Bancorp | | | 22,100 | |
| | 294 | | | | | Red River Bancshares Inc. | | | 15,026 | |
| | 1,606 | | | | | Renasant Corp. | | | 53,544 | |
| | 486 | | | | | Republic Bancorp Inc., Class A Shares | | | 20,655 | |
| | 1,597 | | | | | Republic First Bancorp Inc.* | | | 5,078 | |
| | 966 | | | | | S&T Bancorp Inc. | | | 28,632 | |
| | 1,910 | | | | | Sandy Spring Bancorp Inc. | | | 73,573 | |
| | 2,022 | | | | | Seacoast Banking Corp. of Florida | | | 65,351 | |
| | 2,104 | | | | | ServisFirst Bancshares Inc. | | | 177,493 | |
| | 1,266 | | | | | Shore Bancshares Inc. | | | 24,117 | |
| | 527 | | | | | Sierra Bancorp | | | 10,919 | |
| | 10,379 | | | | | Signature Bank | | | 1,809,682 | |
| | 5,600 | | | | | Silvergate Capital Corp., Class A Shares* | | | 510,272 | |
| | 3,907 | | | | | Simmons First National Corp., Class A Shares | | | 92,166 | |
| | 995 | | | | | SmartFinancial Inc. | | | 24,965 | |
| | 613 | | | | | South Plains Financial Inc. | | | 16,631 | |
| | 300 | | | | | Southern First Bancshares Inc.* | | | 12,933 | |
| | 906 | | | | | Southside Bancshares Inc. | | | 34,138 | |
| | 3,108 | | | | | SouthState Corp. | | | 242,548 | |
| | 1,342 | | | | | Stock Yards Bancorp Inc. | | | 88,921 | |
| | 636 | | | | | Summit Financial Group Inc. | | | 18,139 | |
| | 6,086 | | | | | Synovus Financial Corp. | | | 244,414 | |
| | 31,351 | | | | | Texas Capital Bancshares Inc.* | | | 1,850,650 | |
| | 778 | | | | | Third Coast Bancshares Inc.* | | | 14,160 | |
| | 620 | | | | | Tompkins Financial Corp. | | | 44,417 | |
| | 14,549 | | | | | Towne Bank | | | 414,501 | |
See Notes to Financial Statements.
71
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| FINANCIALS — 13.2% — (continued) | |
|
| Banks — 5.6% — (continued) | |
| | 1,521 | | | | | | | TriCo Bancshares | | $ | 71,776 | |
| | 939 | | | | | | | Triumph Bancorp Inc.* | | | 58,133 | |
| | 1,807 | | | | | | | Trustmark Corp. | | | 56,993 | |
| | 7,993 | | | | | | | UMB Financial Corp. | | | 715,134 | |
| | 9,043 | | | | | | | Umpqua Holdings Corp. | | | 160,423 | |
| | 5,437 | | | | | | | United Bankshares Inc. | | | 201,713 | |
| | 25,246 | | | | | | | United Community Banks Inc. | | | 846,498 | |
| | 618 | | | | | | | Unity Bancorp Inc. | | | 17,323 | |
| | 1,298 | | | | | | | Univest Financial Corp. | | | 32,190 | |
| | 826 | | | | | | | USCB Financial Holdings Inc.* | | | 10,738 | |
| | 65,370 | | | | | | | Valley National Bancorp | | | 759,599 | |
| | 1,815 | | | | | | | Veritex Holdings Inc. | | | 54,650 | |
| | 2,775 | | | | | | | Washington Federal Inc. | | | 88,828 | |
| | 784 | | | | | | | Washington Trust Bancorp Inc. | | | 39,694 | |
| | 7,523 | | | | | | | Webster Financial Corp. | | | 353,957 | |
| | 2,591 | | | | | | | WesBanco Inc. | | | 88,638 | |
| | 1,024 | | | | | | | West BanCorp Inc. | | | 25,201 | |
| | 757 | | | | | | | Westamerica BanCorp | | | 42,354 | |
| | 4,422 | | | | | | | Western Alliance Bancorp | | | 339,256 | |
| | 2,590 | | | | | | | Wintrust Financial Corp. | | | 218,441 | |
| | 6,257 | | | | | | | Zions Bancorp NA | | | 344,323 | |
| | | | | | | | | | | | |
| | | | | | | | Total Banks | | | 29,946,206 | |
| | | | | | | | | | | | |
|
| Capital Markets — 2.5% | |
| | 1,619 | | | | | | | Affiliated Managers Group Inc. | | | 206,196 | |
| | 2,534 | | | | | | | Artisan Partners Asset Management Inc., Class A Shares | | | 85,548 | |
| | 1,195 | | | | | | | Assetmark Financial Holdings Inc.* | | | 23,111 | |
| | 56 | | | | | | | Associated Capital Group Inc., Class A Shares | | | 2,217 | |
| | 774 | | | | | | | B. Riley Financial Inc. | | | 38,522 | |
| | 4,502 | | | | | | | Bakkt Holdings Inc.*(a) | | | 11,660 | |
| | 13,491 | | | | | | | BGC Partners Inc., Class A Shares | | | 54,234 | |
| | 2,006 | | | | | | | Blucora Inc.* | | | 40,281 | |
| | 1,433 | | | | | | | Brightsphere Investment Group Inc. | | | 24,490 | |
| | 8,706 | | | | | | | Carlyle Group Inc. (The) | | | 283,206 | |
| | 4,416 | | | | | | | Cboe Global Markets Inc. | | | 520,956 | |
| | 15,503 | | | | | | | Cohen & Steers Inc. | | | 1,106,604 | |
| | 1,081 | | | | | | | Cowen Inc., Class A Shares | | | 41,564 | |
| | 116 | | | | | | | Diamond Hill Investment Group Inc. | | | 19,842 | |
| | 1,166 | | | | | | | Donnelley Financial Solutions Inc.* | | | 49,497 | |
| | 1,560 | | | | | | | Evercore Inc., Class A Shares | | | 146,156 | |
| | 1,582 | | | | | | | FactSet Research Systems Inc. | | | 685,544 | |
| | 3,684 | | | | | | | Federated Hermes Inc., Class B Shares | | | 125,477 | |
| | 2,639 | | | | | | | Focus Financial Partners Inc., Class A Shares* | | | 103,317 | |
| | 205 | | | | | | | GAMCO Investors Inc., Class A Shares | | | 4,147 | |
| | 2,300 | | | | | | | GCM Grosvenor Inc., Class A Shares | | | 18,055 | |
| | 1,487 | | | | | | | Hamilton Lane Inc., Class A Shares | | | 103,465 | |
| | 2,142 | | | | | | | Houlihan Lokey Inc., Class A Shares | | | 168,147 | |
| | 15,487 | | | | | | | Invesco Ltd. | | | 255,071 | |
| | 5,845 | | | | | | | Janus Henderson Group PLC | | | 136,773 | |
| | 8,791 | | | | | | | Jefferies Financial Group Inc. | | | 282,103 | |
| | 4,103 | | | | | | | Lazard Ltd., Class A Shares | | | 149,144 | |
| | 3,319 | | | | | | | LPL Financial Holdings Inc. | | | 734,594 | |
| | 844 | | | | | | | Manning & Napier Inc., Class A Shares | | | 10,744 | |
| | 1,557 | | | | | | | MarketAxess Holdings Inc. | | | 387,055 | |
| | 2,714 | | | | | | | Moelis & Co., Class A Shares | | | 113,065 | �� |
See Notes to Financial Statements.
72
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| FINANCIALS — 13.2% — (continued) | |
|
| Capital Markets — 2.5% — (continued) | |
| | 4,827 | | | | | Moody’s Corp. | | $ | 1,373,378 | |
| | 1,027 | | | | | Morningstar Inc. | | | 234,146 | |
| | 18,408 | | | | | Nasdaq Inc. | | | 1,095,828 | |
| | 25,906 | | | | | Northern Trust Corp. | | | 2,463,402 | |
| | 4,245 | | | | | Open Lending Corp., Class A Shares* | | | 41,219 | |
| | 474 | | | | | Oppenheimer Holdings Inc., Class A Shares | | | 17,206 | |
| | 2,458 | | | | | Perella Weinberg Partners, Class A Shares | | | 17,673 | |
| | 717 | | | | | Piper Sandler Cos. | | | 82,147 | |
| | 1,006 | | | | | PJT Partners Inc., Class A Shares | | | 69,635 | |
| | 805 | | | | | Pzena Investment Management Inc., Class A Shares | | | 7,664 | |
| | 22,948 | | | | | Robinhood Markets Inc., Class A Shares*(a) | | | 219,153 | |
| | 1,125 | | | | | Sculptor Capital Management Inc., Class A Shares | | | 10,609 | |
| | 4,383 | | | | | SEI Investments Co. | | | 239,750 | |
| | 575 | | | | | Silvercrest Asset Management Group Inc., Class A Shares | | | 10,275 | |
| | 44,207 | | | | | SLR Investment Corp.(a) | | | 670,620 | |
| | 22,877 | | | | | StepStone Group Inc., Class A Shares | | | 624,313 | |
| | 4,312 | | | | | Stifel Financial Corp. | | | 255,745 | |
| | 707 | | | | | StoneX Group Inc.* | | | 65,638 | |
| | 721 | | | | | Victory Capital Holdings Inc., Class A Shares | | | 19,308 | |
| | 4,109 | | | | | Virtu Financial Inc., Class A Shares | | | 94,343 | |
| | 318 | | | | | Virtus Investment Partners Inc. | | | 60,818 | |
| | 4,940 | | | | | WisdomTree Investments Inc. | | | 24,749 | |
| | | | | | | | | | |
| | | | | | Total Capital Markets | | | 13,628,404 | |
| | | | | | | | | | |
|
| | Consumer Finance — 0.3% | |
| | 163 | | | | | Atlanticus Holdings Corp.* | | | 4,641 | |
| | 7,640 | | | | | Bread Financial Holdings Inc. | | | 293,605 | |
| | 949 | | | | | Consumer Portfolio Services Inc.* | | | 11,046 | |
| | 296 | | | | | Credit Acceptance Corp.*(a) | | | 157,496 | |
| | 679 | | | | | Curo Group Holdings Corp. | | | 4,481 | |
| | 1,006 | | | | | Encore Capital Group Inc.* | | | 55,008 | |
| | 1,409 | | | | | Enova International Inc.* | | | 49,230 | |
| | 1,735 | | | | | EZCORP Inc., Class A Shares* | | | 15,181 | |
| | 1,566 | | | | | FirstCash Holdings Inc. | | | 122,085 | |
| | 1,554 | | | | | Green Dot Corp., Class A Shares* | | | 31,531 | |
| | 4,013 | | | | | LendingClub Corp.* | | | 52,450 | |
| | 456 | | | | | LendingTree Inc.* | | | 13,903 | |
| | 7,413 | | | | | Moneylion Inc.*(a) | | | 10,601 | |
| | 4,902 | | | | | Navient Corp. | | | 75,442 | |
| | 632 | | | | | Nelnet Inc., Class A Shares | | | 53,240 | |
| | 1,164 | | | | | NerdWallet Inc., Class A Shares* | | | 12,094 | |
| | 4,850 | | | | | OneMain Holdings Inc., Class A Shares | | | 169,410 | |
| | 788 | | | | | Oportun Financial Corp.* | | | 4,027 | |
| | 1,850 | | | | | PRA Group Inc.* | | | 68,339 | |
| | 2,294 | | | | | PROG Holdings Inc.* | | | 42,531 | |
| | 276 | | | | | Regional Management Corp. | | | 9,298 | |
| | 11,223 | | | | | SLM Corp. | | | 171,487 | |
| | 32,831 | | | | | SoFi Technologies Inc.*(a) | | | 194,360 | |
| | 3,044 | | | | | Upstart Holdings Inc.*(a) | | | 78,840 | |
| | 166 | | | | | World Acceptance Corp.* | | | 19,296 | |
| | | | | | | | | | |
| | | | | | Total Consumer Finance | | | 1,719,622 | |
| | | | | | | | | | |
|
| Diversified Financial Services — 0.2% | |
| | 766 | | | | | Alerus Financial Corp. | | | 18,200 | |
| | 824 | | | | | A-Mark Precious Metals Inc. | | | 25,470 | |
See Notes to Financial Statements.
73
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| FINANCIALS — 13.2% — (continued) | |
|
| Diversified Financial Services — 0.2% — (continued) | |
| | 1,063 | | | | | Banco Latinoamericano de Comercio Exterior SA, Class E Shares | | $ | 15,520 | |
| | 3,474 | | | | | Cannae Holdings Inc.* | | | 75,073 | |
| | 2,479 | | | | | Compass Diversified Holdings | | | 51,712 | |
| | 3,074 | | | | | Jackson Financial Inc., Class A Shares | | | 96,093 | |
| | 15,484 | | | | | Voya Financial Inc. | | | 952,731 | |
| | | | | | | | | | |
| | | | | | Total Diversified Financial Services | | | 1,234,799 | |
| | | | | | | | | | |
|
| Insurance — 3.7% | |
| | 3,883 | | | | | Alleghany Corp.* | | | 3,266,302 | |
| | 1,747 | | | | | Ambac Financial Group Inc.* | | | 26,362 | |
| | 3,320 | | | | | American Equity Investment Life Holding Co. | | | 126,160 | |
| | 2,839 | | | | | American Financial Group Inc. | | | 362,484 | |
| | 843 | | | | | AMERISAFE Inc. | | | 40,312 | |
| | 1,257 | | | | | Argo Group International Holdings Ltd. | | | 24,675 | |
| | 2,260 | | | | | Assurant Inc. | | | 358,187 | |
| | 2,553 | | | | | Assured Guaranty Ltd. | | | 130,382 | |
| | 3,201 | | | | | Axis Capital Holdings Ltd. | | | 170,133 | |
| | 10,643 | | | | | Bright Health Group Inc.* | | | 16,071 | |
| | 3,187 | | | | | Brighthouse Financial Inc.* | | | 151,542 | |
| | 9,810 | | | | | Brown & Brown Inc. | | | 618,422 | |
| | 54,452 | | | | | BRP Group Inc., Class A Shares* | | | 1,709,793 | |
| | 971 | | | | | Chubb Ltd. | | | 183,568 | |
| | 5,179 | | | | | CNO Financial Group Inc. | | | 95,345 | |
| | 698 | | | | | Crawford & Co., Class A Shares | | | 4,244 | |
| | 558 | | | | | Donegal Group Inc., Class A Shares | | | 8,102 | |
| | 25,135 | | | | | eHealth Inc.*(b) | | | 160,864 | |
| | 812 | | | | | Employers Holdings Inc. | | | 31,798 | |
| | 499 | | | | | Enstar Group Ltd.* | | | 94,436 | |
| | 1,036 | | | | | Erie Indemnity Co., Class A Shares | | | 222,667 | |
| | 5,308 | | | | | Everest Re Group Ltd. | | | 1,428,117 | |
| | 4,306 | | | | | First American Financial Corp. | | | 230,371 | |
| | 14,737 | | | | | Genworth Financial Inc., Class A Shares* | | | 62,190 | |
| | 3,751 | | | | | Globe Life Inc. | | | 364,560 | |
| | 10,562 | | | | | Goosehead Insurance Inc., Class A Shares*(a) | | | 549,224 | |
| | 1,274 | | | | | Greenlight Capital Re Ltd., Class A Shares* | | | 10,052 | |
| | 1,474 | | | | | Hanover Insurance Group Inc. (The) | | | 190,721 | |
| | 2,639 | | | | | Hartford Financial Services Group Inc. (The) | | | 169,714 | |
| | 251 | | | | | HCI Group Inc.(a) | | | 11,995 | |
| | 13,844 | | | | | Hippo Holdings Inc.* | | | 13,429 | |
| | 1,213 | | | | | Horace Mann Educators Corp. | | | 43,389 | |
| | 51 | | | | | Investors Title Co. | | | 7,515 | |
| | 977 | | | | | James River Group Holdings Ltd. | | | 23,214 | |
| | 2,656 | | | | | Kemper Corp. | | | 122,176 | |
| | 907 | | | | | Kinsale Capital Group Inc. | | | 229,997 | |
| | 1,985 | | | | | Lemonade Inc.*(a) | | | 43,908 | |
| | 7,095 | | | | | Lincoln National Corp. | | | 326,796 | |
| | 1,096 | | | | | Markel Corp.* | | | 1,308,745 | |
| | 2,151 | | | | | MBIA Inc.* | | | 25,360 | |
| | 1,086 | | | | | Mercury General Corp. | | | 34,643 | |
| | 98 | | | | | National Western Life Group Inc., Class A Shares | | | 18,650 | |
| | 380 | | | | | NI Holdings Inc.* | | | 4,989 | |
| | 11,984 | | | | | Old Republic International Corp. | | | 261,731 | |
| | 5,392 | | | | | Oscar Health Inc., Class A Shares* | | | 35,749 | |
| | 8,800 | | | | | Palomar Holdings Inc.* | | | 697,752 | |
| | 1,611 | | | | | Primerica Inc. | | | 204,194 | |
See Notes to Financial Statements.
74
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| FINANCIALS — 13.2% — (continued) | |
|
| Insurance — 3.7% — (continued) | |
| | 1,532 | | | | | ProAssurance Corp. | | $ | 32,769 | |
| | 10,092 | | | | | Reinsurance Group of America Inc. | | | 1,265,133 | |
| | 1,824 | | | | | RenaissanceRe Holdings Ltd. | | | 246,714 | |
| | 1,653 | | | | | RLI Corp. | | | 181,433 | |
| | 453 | | | | | Root Inc., Class A Shares* | | | 5,613 | |
| | 3,402 | | | | | Ryan Specialty Holdings Inc., Class A Shares* | | | 144,109 | |
| | 412 | | | | | Safety Insurance Group Inc. | | | 37,101 | |
| | 2,526 | | | | | Selective Insurance Group Inc. | | | 200,615 | |
| | 6,025 | | | | | Selectquote Inc.* | | | 6,688 | |
| | 3,624 | | | | | SiriusPoint Ltd.* | | | 16,199 | |
| | 776 | | | | | Stewart Information Services Corp. | | | 39,297 | |
| | 845 | | | | | Tiptree Inc. | | | 10,098 | |
| | 18,903 | | | | | Travelers Cos., Inc. (The) | | | 3,055,481 | |
| | 758 | | | | | Trean Insurance Group Inc.* | | | 3,373 | |
| | 1,587 | | | | | Trupanion Inc.* | | | 112,010 | |
| | 697 | | | | | United Fire Group Inc. | | | 20,513 | |
| | 1,053 | | | | | Universal Insurance Holdings Inc. | | | 12,573 | |
| | 8,408 | | | | | Unum Group | | | 318,243 | |
| | 119 | | | | | White Mountains Insurance Group Ltd. | | | 163,030 | |
| | | | | | | | | | |
| | | | | | Total Insurance | | | 20,092,022 | |
| | | | | | | | | | |
|
| | Mortgage Real Estate Investment Trusts (REITs) — 0.5% | |
| | 773 | | | | | AFC Gamma Inc. | | | 13,443 | |
| | 21,791 | | | | | AGNC Investment Corp. | | | 260,402 | |
| | 286 | | | | | Angel Oak Mortgage Inc. | | | 3,967 | |
| | 68,602 | | | | | Annaly Capital Management Inc. | | | 442,483 | |
| | 5,782 | | | | | Apollo Commercial Real Estate Finance Inc. | | | 67,360 | |
| | 6,373 | | | | | Arbor Realty Trust Inc. | | | 95,468 | |
| | 1,995 | | | | | Ares Commercial Real Estate Corp. | | | 26,314 | |
| | 5,900 | | | | | ARMOUR Residential REIT Inc.(a) | | | 41,890 | |
| | 6,985 | | | | | Blackstone Mortgage Trust Inc., Class A Shares | | | 202,425 | |
| | 3,434 | | | | | BrightSpire Capital Inc., Class A Shares | | | 28,846 | |
| | 6,063 | | | | | Broadmark Realty Capital Inc. | | | 39,106 | |
| | 397 | | | | | Chicago Atlantic Real Estate Finance Inc. | | | 6,062 | |
| | 10,174 | | | | | Chimera Investment Corp. | | | 86,479 | |
| | 3,662 | | | | | Claros Mortgage Trust Inc. | | | 62,584 | |
| | 1,655 | | | | | Dynex Capital Inc. | | | 25,669 | |
| | 2,275 | | | | | Ellington Financial Inc. | | | 33,397 | |
| | 3,453 | | | | | Franklin BSP Realty Trust Inc. | | | 44,544 | |
| | 1,891 | | | | | Granite Point Mortgage Trust Inc. | | | 17,813 | |
| | 3,537 | | | | | Hannon Armstrong Sustainable Infrastructure Capital Inc. | | | 139,782 | |
| | 1,219 | | | | | Invesco Mortgage Capital Inc. | | | 19,370 | |
| | 2,316 | | | | | KKR Real Estate Finance Trust Inc. | | | 44,606 | |
| | 4,624 | | | | | Ladder Capital Corp., Class A Shares | | | 51,141 | |
| | 4,683 | | | | | MFA Financial Inc. | | | 51,185 | |
| | 14,742 | | | | | New York Mortgage Trust Inc. | | | 41,278 | |
| | 510 | | | | | Nexpoint Real Estate Finance Inc. | | | 10,465 | |
| | 2,028 | | | | | Orchid Island Capital Inc* | | | 27,419 | |
| | 3,805 | | | | | PennyMac Mortgage Investment Trust | | | 56,504 | |
| | 2,841 | | | | | Ready Capital Corp. | | | 37,217 | |
| | 4,454 | | | | | Redwood Trust Inc. | | | 34,519 | |
| | 17,467 | | | | | Rithm Capital Corp. | | | 164,714 | |
| | 12,066 | | | | | Starwood Property Trust Inc. | | | 276,673 | |
| | 3,150 | | | | | TPG RE Finance Trust Inc. | | | 29,169 | |
| | 13,980 | | | | | Two Harbors Investment Corp. | | | 67,803 | |
| | | | | | | | | | |
| | | | | | Total Mortgage Real Estate Investment Trusts (REITs) | | | 2,550,097 | |
| | | | | | | | | | |
See Notes to Financial Statements.
75
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| FINANCIALS — 13.2% — (continued) | |
|
| Thrifts & Mortgage Finance — 0.4% | |
| | 2,274 | | | | | Axos Financial Inc.* | | $ | 95,008 | |
| | 936 | | | | | Blue Foundry Bancorp* | | | 10,642 | |
| | 835 | | | | | Bridgewater Bancshares Inc.* | | | 14,345 | |
| | 5,361 | | | | | Capitol Federal Financial Inc. | | | 48,571 | |
| | 1,741 | | | | | Columbia Financial Inc.* | | | 37,136 | |
| | 1,321 | | | | | Enact Holdings Inc.(a) | | | 33,553 | |
| | 4,492 | | | | | Essent Group Ltd. | | | 179,635 | |
| | 384 | | | | | Federal Agricultural Mortgage Corp., Class C Shares | | | 41,948 | |
| | 613 | | | | | Finance Of America Cos Inc., Class A Shares* | | | 748 | |
| | 1,515 | | | | | Flagstar Bancorp Inc. | | | 58,373 | |
| | 217 | | | | | Greene County Bancorp Inc. | | | 11,544 | |
| | 78 | | | | | Hingham Institution for Savings | | | 23,158 | |
| | 500 | | | | | Home Bancorp Inc. | | | 19,520 | |
| | 437 | | | | | Home Point Capital Inc.(a) | | | 1,005 | |
| | 3,076 | | | | | Kearny Financial Corp. | | | 34,943 | |
| | 760 | | | | | Luther Burbank Corp. | | | 9,964 | |
| | 586 | | | | | Merchants Bancorp | | | 15,805 | |
| | 13,018 | | | | | MGIC Investment Corp. | | | 186,027 | |
| | 3,078 | | | | | Mr Cooper Group Inc.* | | | 130,199 | |
| | 19,308 | | | | | New York Community Bancorp Inc.(a) | | | 189,025 | |
| | 3,498 | | | | | NMI Holdings Inc., Class A Shares* | | | 71,814 | |
| | 1,560 | | | | | Northfield Bancorp Inc. | | | 22,995 | |
| | 1,206 | | | | | PennyMac Financial Services Inc. | | | 64,063 | |
| | 545 | | | | | Pioneer Bancorp Inc.* | | | 5,096 | |
| | 1,137 | | | | | Provident Bancorp Inc. | | | 16,475 | |
| | 2,206 | | | | | Provident Financial Services Inc. | | | 51,245 | |
| | 7,253 | | | | | Radian Group Inc. | | | 153,111 | |
| | 453 | | | | | Southern Missouri Bancorp Inc. | | | 23,887 | |
| | 2,510 | | | | | TFS Financial Corp. | | | 35,893 | |
| | 651 | | | | | TrustCo Bank Corp. NY | | | 21,704 | |
| | 4,620 | | | | | UWM Holdings Corp. | | | 16,724 | |
| | 342 | | | | | Velocity Financial Inc.* | | | 3,906 | |
| | 1,312 | | | | | Walker & Dunlop Inc. | | | 131,804 | |
| | 1,083 | | | | | Waterstone Financial Inc. | | | 18,725 | |
| | 11,022 | | | | | WSFS Financial Corp. | | | 532,914 | |
| | | | | | | | | | |
| | | | | | Total Thrifts & Mortgage Finance | | | 2,311,505 | |
| | | | | | | | | | |
| | | | | | TOTAL FINANCIALS | | | 71,482,655 | |
| | | | | | | | | | |
|
| HEALTH CARE — 16.0% | |
|
| Biotechnology — 2.9% | |
| | 1,734 | | | | | 2seventy bio Inc.* | | | 25,542 | |
| | 1,083 | | | | | 4D Molecular Therapeutics Inc.* | | | 8,512 | |
| | 822 | | | | | Aadi Bioscience Inc.* | | | 11,138 | |
| | 4,782 | | | | | ACADIA Pharmaceuticals Inc.* | | | 78,568 | |
| | 1,936 | | | | | Adagio Therapeutics Inc.* | | | 8,828 | |
| | 1,213 | | | | | Adicet Bio Inc.* | | | 17,176 | |
| | 8,534 | | | | | ADMA Biologics Inc.* | | | 23,042 | |
| | 870 | | | | | Aduro Biotech*(b)(c) | | | 2,209 | |
| | 321 | | | | | Aerovate Therapeutics Inc.* | | | 6,365 | |
| | 4,001 | | | | | Affimed NV* | | | 10,483 | |
| | 10,159 | | | | | Agenus Inc.* | | | 27,429 | |
| | 2,288 | | | | | Agios Pharmaceuticals Inc.* | | | 58,344 | |
| | 918 | | | | | Akero Therapeutics Inc.* | | | 10,786 | |
| | 670 | | | | | Albireo Pharma Inc.* | | | 11,725 | |
See Notes to Financial Statements.
76
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| HEALTH CARE — 16.0% — (continued) | |
|
| Biotechnology — 2.9% — (continued) | |
| | 2,467 | | | | | Alector Inc.* | | $ | 25,533 | |
| | 55,498 | | | | | Alkermes PLC* | | | 1,313,638 | |
| | 3,513 | | | | | Allogene Therapeutics Inc.* | | | 48,163 | |
| | 1,036 | | | | | Allovir Inc.* | | | 7,780 | |
| | 460 | | | | | Alpine Immune Sciences Inc.* | | | 3,455 | |
| | 636 | | | | | ALX Oncology Holdings Inc.* | | | 8,268 | |
| | 11,698 | | | | | Amicus Therapeutics Inc.* | | | 131,369 | |
| | 934 | | | | | AnaptysBio Inc.* | | | 21,687 | |
| | 2,611 | | | | | Anavex Life Sciences Corp.* | | | 25,039 | |
| | 530 | | | | | Anika Therapeutics Inc.* | | | 11,978 | |
| | 3,734 | | | | | Apellis Pharmaceuticals Inc.* | | | 225,944 | |
| | 3,139 | | | | | Arbutus Biopharma Corp.* | | | 6,969 | |
| | 431 | | | | | Arcellx Inc.* | | | 7,745 | |
| | 998 | | | | | Arcturus Therapeutics Holdings Inc.* | | | 14,012 | |
| | 2,159 | | | | | Arcus Biosciences Inc.* | | | 51,989 | |
| | 14,329 | | | | | Arcutis Biotherapeutics Inc.* | | | 386,167 | |
| | 4,338 | | | | | Arrowhead Pharmaceuticals Inc.* | | | 172,262 | |
| | 11,230 | | | | | Ascendis Pharma AS, ADR*(a) | | | 1,005,871 | |
| | 3,264 | | | | | Atara Biotherapeutics Inc.* | | | 13,089 | |
| | 944 | | | | | Aura Biosciences Inc.* | | | 12,612 | |
| | 5,694 | | | | | Aurinia Pharmaceuticals Inc.* | | | 41,908 | |
| | 2,636 | | | | | Avid Bioservices Inc.* | | | 45,392 | |
| | 2,448 | | | | | Avidity Biosciences Inc.* | | | 48,030 | |
| | 2,713 | | | | | Beam Therapeutics Inc.* | | | 148,130 | |
| | 7,724 | | | | | BioCryst Pharmaceuticals Inc.* | | | 107,364 | |
| | 2,589 | | | | | Biohaven Pharmaceutical Holding Co., Ltd.* | | | 386,667 | |
| | 654 | | | | | Bioxcel Therapeutics Inc.* | | | 8,947 | |
| | 3,740 | | | | | Bluebird Bio Inc.* | | | 21,842 | |
| | 11,054 | | | | | Blueprint Medicines Corp.* | | | 809,374 | |
| | 4,531 | | | | | Bridgebio Pharma Inc.* | | | 47,575 | |
| | 1,683 | | | | | C4 Therapeutics Inc.* | | | 16,965 | |
| | 2,063 | | | | | CareDx Inc.* | | | 40,414 | |
| | 2,167 | | | | | Caribou Biosciences Inc.* | | | 21,388 | |
| | 4,462 | | | | | Catalyst Pharmaceuticals Inc.* | | | 60,415 | |
| | 1,948 | | | | | Celldex Therapeutics Inc.* | | | 59,219 | |
| | 1,003 | | | | | Century Therapeutics Inc.* | | | 10,552 | |
| | 2,266 | | | | | Cerevel Therapeutics Holdings Inc.* | | | 65,941 | |
| | 2,683 | | | | | ChemoCentryx Inc.* | | | 136,779 | |
| | 2,677 | | | | | Chimerix Inc.* | | | 5,889 | |
| | 1,901 | | | | | Chinook Therapeutics Inc.* | | | 39,541 | |
| | 1,941 | | | | | Cogent Biosciences Inc.* | | | 32,007 | |
| | 52,341 | | | | | Coherus Biosciences Inc.* | | | 585,172 | |
| | 2,375 | | | | | Crinetics Pharmaceuticals Inc.* | | | 44,840 | |
| | 3,943 | | | | | CTI BioPharma Corp.*(a) | | | 24,762 | |
| | 940 | | | | | Cullinan Oncology Inc.* | | | 12,671 | |
| | 3,452 | | | | | Cytokinetics Inc.* | | | 182,818 | |
| | 1,077 | | | | | Day One Biopharmaceuticals Inc.*(a) | | | 25,299 | |
| | 1,864 | | | | | Deciphera Pharmaceuticals Inc.* | | | 30,253 | |
| | 4,280 | | | | | Denali Therapeutics Inc.* | | | 118,428 | |
| | 1,708 | | | | | Design Therapeutics Inc.* | | | 34,604 | |
| | 4,774 | | | | | Dynavax Technologies Corp.* | | | 54,758 | |
| | 1,194 | | | | | Dyne Therapeutics Inc.* | | | 11,701 | |
| | 486 | | | | | Eagle Pharmaceuticals Inc.* | | | 15,926 | |
| | 2,953 | | | | | Editas Medicine Inc., Class A Shares* | | | 43,409 | |
| | 1,397 | | | | | Eiger BioPharmaceuticals Inc.* | | | 11,539 | |
See Notes to Financial Statements.
77
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| HEALTH CARE — 16.0% — (continued) | |
|
| Biotechnology — 2.9% — (continued) | |
| | 13,618 | | | | | Emergent BioSolutions Inc.* | | $ | 327,104 | |
| | 858 | | | | | Enanta Pharmaceuticals Inc.* | | | 52,235 | |
| | 6,010 | | | | | EQRx Inc.* | | | 29,389 | |
| | 2,775 | | | | | Erasca Inc.* | | | 25,031 | |
| | 7,325 | | | | | Exact Sciences Corp.* | | | 260,404 | |
| | 13,121 | | | | | Exelixis Inc.* | | | 232,767 | |
| | 19,830 | | | | | Fate Therapeutics Inc.* | | | 518,356 | |
| | 3,368 | | | | | FibroGen Inc.* | | | 41,898 | |
| | 784 | | | | | Foghorn Therapeutics Inc.* | | | 7,793 | |
| | 1,285 | | | | | Forma Therapeutics Holdings Inc.* | | | 17,219 | |
| | 1,906 | | | | | Generation Bio Co.* | | | 9,759 | |
| | 14,735 | | | | | Geron Corp.* | | | 38,900 | |
| | 2,568 | | | | | Global Blood Therapeutics Inc.* | | | 174,367 | |
| | 2,781 | | | | | Gossamer Bio Inc.* | | | 38,795 | |
| | 5,610 | | | | | Halozyme Therapeutics Inc.* | | | 228,495 | |
| | 4,418 | | | | | Heron Therapeutics Inc.* | | | 18,070 | |
| | 532 | | | | | HilleVax Inc.* | | | 6,336 | |
| | 1,045 | | | | | Icosavax Inc.* | | | 4,932 | |
| | 1,337 | | | | | Ideaya Biosciences Inc.* | | | 13,143 | |
| | 297 | | | | | IGM Biosciences Inc.* | | | 5,765 | |
| | 851 | | | | | Imago Biosciences Inc.*(a) | | | 12,365 | |
| | 2,277 | | | | | ImmunityBio Inc.*(a) | | | 9,108 | |
| | 9,441 | | | | | ImmunoGen Inc.* | | | 54,852 | |
| | 1,336 | | | | | Immunovant Inc.* | | | 6,880 | |
| | 1,030 | | | | | Inhibrx Inc.* | | | 18,272 | |
| | 8,887 | | | | | Inovio Pharmaceuticals Inc.* | | | 20,351 | |
| | 4,912 | | | | | Insmed Inc.* | | | 120,933 | |
| | 2,375 | | | | | Instil Bio Inc.* | | | 12,350 | |
| | 3,127 | | | | | Intellia Therapeutics Inc.* | | | 187,808 | |
| | 974 | | | | | Intercept Pharmaceuticals Inc.* | | | 16,918 | |
| | 5,920 | | | | | Ionis Pharmaceuticals Inc.* | | | 251,718 | |
| | 6,209 | | | | | Iovance Biotherapeutics Inc.* | | | 66,560 | |
| | 38,917 | | | | | Ironwood Pharmaceuticals Inc., Class A Shares* | | | 418,747 | |
| | 1,000 | | | | | iTeos Therapeutics Inc.* | | | 22,180 | |
| | 4,790 | | | | | IVERIC bio Inc.* | | | 47,134 | |
| | 895 | | | | | Janux Therapeutics Inc.* | | | 9,684 | |
| | 1,329 | | | | | Jounce Therapeutics Inc.* | | | 4,864 | |
| | 871 | | | | | KalVista Pharmaceuticals Inc.* | | | 14,345 | |
| | 1,216 | | | | | Karuna Therapeutics Inc.* | | | 310,153 | |
| | 2,788 | | | | | Karyopharm Therapeutics Inc.* | | | 14,107 | |
| | 583 | | | | | Keros Therapeutics Inc.* | | | 20,621 | |
| | 1,957 | | | | | Kezar Life Sciences Inc.* | | | 20,118 | |
| | 1,073 | | | | | Kiniksa Pharmaceuticals Ltd., Class A Shares* | | | 12,576 | |
| | 890 | | | | | Kinnate Biopharma Inc.* | | | 12,887 | |
| | 1,361 | | | | | Kodiak Sciences Inc.* | | | 13,624 | |
| | 1,382 | | | | | Kronos Bio Inc.* | | | 5,528 | |
| | 824 | | | | | Krystal Biotech Inc.* | | | 57,771 | |
| | 2,874 | | | | | Kura Oncology Inc.* | | | 39,834 | |
| | 1,443 | | | | | Kymera Therapeutics Inc.* | | | 40,794 | |
| | 2,519 | | | | | Lexicon Pharmaceuticals Inc.* | | | 6,927 | |
| | 619 | | | | | Ligand Pharmaceuticals Inc.* | | | 57,189 | |
| | 7,232 | | | | | Lyell Immunopharma Inc.*(a) | | | 48,454 | |
| | 2,240 | | | | | MacroGenics Inc.* | | | 8,893 | |
| | 554 | | | | | Madrigal Pharmaceuticals Inc.* | | | 39,954 | |
| | 10,408 | | | | | MannKind Corp.* | | | 37,989 | |
See Notes to Financial Statements.
78
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| HEALTH CARE — 16.0% — (continued) | |
|
| Biotechnology — 2.9% — (continued) | |
| | 1,109 | | | | | MeiraGTx Holdings PLC* | | $ | 9,205 | |
| | 3,754 | | | | | Mersana Therapeutics Inc.* | | | 28,155 | |
| | 4,371 | | | | | MiMedx Group Inc.* | | | 15,430 | |
| | 1,844 | | | | | Mirati Therapeutics Inc.* | | | 149,419 | |
| | 765 | | | | | Mirum Pharmaceuticals Inc.* | | | 19,110 | |
| | 1,250 | | | | | Monte Rosa Therapeutics Inc.* | | | 9,900 | |
| | 1,123 | | | | | Morphic Holding Inc.* | | | 30,905 | |
| | 3,295 | | | | | Myriad Genetics Inc.* | | | 73,610 | |
| | 3,652 | | | | | Natera Inc.* | | | 179,898 | |
| | 3,933 | | | | | Neurocrine Biosciences Inc.* | | | 411,510 | |
| | 1,590 | | | | | Nkarta Inc.* | | | 22,880 | |
| | 3,305 | | | | | Novavax Inc.*(a) | | | 109,197 | |
| | 1,837 | | | | | Nurix Therapeutics Inc.* | | | 28,896 | |
| | 1,019 | | | | | Nuvalent Inc., Class A Shares*(a) | | | 17,201 | |
| | 9,089 | | | | | Ocugen Inc.* | | | 23,450 | |
| | 19 | | | | | Oncternal Therapeutics Inc.*(c) | | | 19 | |
| | 2,782 | | | | | Organogenesis Holdings Inc., Class A Shares* | | | 9,987 | |
| | 3,559 | | | | | Outlook Therapeutics Inc.* | | | 3,986 | |
| | 1,891 | | | | | PMV Pharmaceuticals Inc.* | | | 26,323 | |
| | 3,246 | | | | | Point Biopharma Global Inc., Class A Shares* | | | 31,649 | |
| | 1,097 | | | | | Praxis Precision Medicines Inc.* | | | 3,423 | |
| | 3,243 | | | | | Precigen Inc.* | | | 7,167 | |
| | 1,189 | | | | | Prometheus Biosciences Inc.* | | | 62,197 | |
| | 1,740 | | | | | Protagonist Therapeutics Inc.* | | | 15,173 | |
| | 1,574 | | | | | Prothena Corp. PLC* | | | 43,395 | |
| | 2,840 | | | | | PTC Therapeutics Inc.* | | | 141,830 | |
| | 1,002 | | | | | Rallybio Corp.* | | | 11,072 | |
| | 1,172 | | | | | RAPT Therapeutics Inc.* | | | 31,304 | |
| | 5,701 | | | | | Recursion Pharmaceuticals Inc., Class A Shares* | | | 59,918 | |
| | 1,728 | | | | | REGENXBIO Inc.* | | | 50,976 | |
| | 3,264 | | | | | Relay Therapeutics Inc.* | | | 74,974 | |
| | 1,381 | | | | | Replimune Group Inc.* | | | 26,322 | |
| | 2,557 | | | | | REVOLUTION Medicines Inc.* | | | 53,262 | |
| | 5,956 | | | | | Rigel Pharmaceuticals Inc.* | | | 8,458 | |
| | 29,276 | | | | | Rocket Pharmaceuticals Inc.* | | | 451,143 | |
| | 2,127 | | | | | Sage Therapeutics Inc.* | | | 80,103 | |
| | 3,358 | | | | | Sana Biotechnology Inc.*(a) | | | 22,868 | |
| | 5,271 | | | | | Sangamo Therapeutics Inc.* | | | 28,463 | |
| | 3,479 | | | | | Sarepta Therapeutics Inc.* | | | 380,533 | |
| | 2,747 | | | | | Seres Therapeutics Inc.* | | | 14,120 | |
| | 17,050 | | | | | Sorrento Therapeutics Inc.*(a) | | | 34,952 | |
| | 1,449 | | | | | SpringWorks Therapeutics Inc.* | | | 40,239 | |
| | 672 | | | | | Stoke Therapeutics Inc.* | | | 10,120 | |
| | 1,348 | | | | | Sutro Biopharma Inc.* | | | 7,630 | |
| | 2,164 | | | | | Syndax Pharmaceuticals Inc.* | | | 51,092 | |
| | 849 | | | | | Talaris Therapeutics Inc.* | | | 2,810 | |
| | 2,580 | | | | | Tango Therapeutics Inc.* | | | 10,578 | |
| | 1,223 | | | | | Tenaya Therapeutics Inc.* | | | 5,369 | |
| | 5,487 | | | | | TG Therapeutics Inc.* | | | 39,122 | |
| | 2,478 | | | | | Travere Therapeutics Inc., Class Preferred Shares* | | | 66,311 | |
| | 2,287 | | | | | Twist Bioscience Corp.* | | | 91,754 | |
| | 599 | | | | | Tyra Biosciences Inc.* | | | 3,959 | |
| | 2,805 | | | | | Ultragenyx Pharmaceutical Inc.* | | | 133,770 | |
| | 1,873 | | | | | United Therapeutics Corp.* | | | 424,459 | |
| | 2,203 | | | | | Vanda Pharmaceuticals Inc.* | | | 23,308 | |
See Notes to Financial Statements.
79
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| HEALTH CARE — 16.0% — (continued) | |
|
| Biotechnology — 2.9% — (continued) | |
| | 4,917 | | | | | | | Vaxart Inc.* | | $ | 15,243 | |
| | 2,366 | | | | | | | Vaxcyte Inc.* | | | 61,895 | |
| | 6,877 | | | | | | | VBI Vaccines Inc.* | | | 6,159 | |
| | 544 | | | | | | | Vera Therapeutics Inc., Class A Shares* | | | 11,821 | |
| | 3,049 | | | | | | | Veracyte Inc.* | | | 62,200 | |
| | 1,945 | | | | | | | Vericel Corp.* | | | 48,528 | |
| | 1,513 | | | | | | | Verve Therapeutics Inc.*(a) | | | 58,039 | |
| | 3,014 | | | | | | | Vir Biotechnology Inc.* | | | 71,583 | |
| | 1,307 | | | | | | | Viridian Therapeutics Inc.*(a) | | | 29,028 | |
| | 7,834 | | | | | | | VistaGen Therapeutics Inc.* | | | 1,441 | |
| | 2,392 | | | | | | | Xencor Inc.* | | | 63,125 | |
| | 1,519 | | | | | | | Y-mAbs Therapeutics Inc.* | | | 24,426 | |
| | 1,693 | | | | | | | Zentalis Pharmaceuticals Inc.* | | | 45,389 | |
| | | | | | | | | | | | |
| | | | | | | | Total Biotechnology | | | 15,449,263 | |
| | | | | | | | | | | | |
|
| Health Care Equipment & Supplies — 5.7% | |
| | 100,187 | | | | | | | Accuray Inc.* | | | 238,445 | |
| | 2,648 | | | | | | | Alphatec Holdings Inc.* | | | 20,098 | |
| | 1,712 | | | | | | | AngioDynamics Inc.* | | | 37,904 | |
| | 1,762 | | | | | | | Artivion Inc.* | | | 39,046 | |
| | 11,335 | | | | | | | AtriCure Inc.* | | | 517,103 | |
| | 60 | | | | | | | Atrion Corp. | | | 36,237 | |
| | 15,917 | | | | | | | Avanos Medical Inc.* | | | 392,036 | |
| | 1,288 | | | | | | | AxoGen Inc.* | | | 12,069 | |
| | 1,994 | | | | | | | Axonics Inc.* | | | 144,066 | |
| | 76,768 | | | | | | | Baxter International Inc. | | | 4,411,089 | |
| | 1,526 | | | | | | | BioLife Solutions Inc.* | | | 36,029 | |
| | 1,018 | | | | | | | Bioventus Inc., Class A Shares* | | | 7,442 | |
| | 5,328 | | | | | | | Butterfly Network Inc.* | | | 33,193 | |
| | 14,636 | | | | | | | Cardiovascular Systems Inc.* | | | 193,342 | |
| | 6,314 | | | | | | | Cerus Corp.* | | | 25,951 | |
| | 1,187 | | | | | | | CONMED Corp. | | | 105,133 | |
| | 1,878 | | | | | | | CryoPort Inc.* | | | 61,335 | |
| | 4,640 | | | | | | | Cue Health Inc.*(a) | | | 15,451 | |
| | 795 | | | | | | | Cutera Inc.* | | | 37,961 | |
| | 24,409 | | | | | | | CytoSorbents Corp.* | | | 46,377 | |
| | 119,286 | | | | | | | DENTSPLY SIRONA Inc. | | | 3,909,002 | |
| | 2,378 | | | | | | | Embecta Corp. | | | 75,906 | |
| | 2,100 | | | | | | | Enovis Corp.* | | | 106,365 | |
| | 6,797 | | | | | | | Envista Holdings Corp.* | | | 252,101 | |
| | 5,472 | | | | | | | Figs Inc., Class A Shares* | | | 63,256 | |
| | 1,834 | | | | | | | Glaukos Corp.* | | | 89,041 | |
| | 3,302 | | | | | | | Globus Medical Inc., Class A Shares* | | | 195,445 | |
| | 29,453 | | | | | | | Haemonetics Corp.* | | | 2,209,859 | |
| | 421 | | | | | | | Heska Corp.* | | | 38,340 | |
| | 11,335 | | | | | | | ICU Medical Inc.* | | | 1,802,265 | |
| | 2,681 | | | | | | | IDEXX Laboratories Inc.* | | | 931,969 | |
| | 1,984 | | | | | | | Inari Medical Inc.* | | | 137,590 | |
| | 990 | | | | | | | Inogen Inc.* | | | 28,344 | |
| | 4,817 | | | | | | | Inspire Medical Systems Inc.* | | | 922,407 | |
| | 1,356 | | | | | | | Integer Holdings Corp.* | | | 85,523 | |
| | 3,077 | | | | | | | Integra LifeSciences Holdings Corp.* | | | 146,804 | |
| | 6,907 | | | | | | | Intuitive Surgical Inc.* | | | 1,421,046 | |
| | 236 | | | | | | | iRadimed Corp. | | | 7,918 | |
| | 1,257 | | | | | | | iRhythm Technologies Inc.* | | | 185,345 | |
See Notes to Financial Statements.
80
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| HEALTH CARE — 16.0% — (continued) | |
|
| Health Care Equipment & Supplies — 5.7% — (continued) | |
| | 16,897 | | | | | Lantheus Holdings Inc.* | | $ | 1,331,484 | |
| | 763 | | | | | LeMaitre Vascular Inc. | | | 37,677 | |
| | 2,300 | | | | | LivaNova PLC* | | | 129,375 | |
| | 2,068 | | | | | Masimo Corp.* | | | 303,769 | |
| | 1,768 | | | | | Meridian Bioscience Inc.* | | | 57,619 | |
| | 28,528 | | | | | Merit Medical Systems Inc.* | | | 1,689,713 | |
| | 188 | | | | | Mesa Laboratories Inc. | | | 32,122 | |
| | 1,912 | | | | | Nano-X Imaging Ltd.*(a) | | | 25,449 | |
| | 4,473 | | | | | Neogen Corp.*(a) | | | 93,486 | |
| | 1,372 | | | | | Nevro Corp.* | | | 62,179 | |
| | 4,266 | | | | | Novocure Ltd.* | | | 350,367 | |
| | 5,568 | | | | | NuVasive Inc.* | | | 236,696 | |
| | 1,815 | | | | | Omnicell Inc.* | | | 185,656 | |
| | 55,594 | | | | | OraSure Technologies Inc.* | | | 227,379 | |
| | 686 | | | | | Orthofix Medical Inc.* | | | 13,651 | |
| | 567 | | | | | OrthoPediatrics Corp.* | | | 27,834 | |
| | 1,948 | | | | | Outset Medical Inc.* | | | 35,629 | |
| | 1,957 | | | | | Paragon 28 Inc.* | | | 34,345 | |
| | 1,512 | | | | | Penumbra Inc.* | | | 248,225 | |
| | 1,076 | | | | | PROCEPT BioRobotics Corp.*(a) | | | 43,556 | |
| | 1,739 | | | | | Pulmonx Corp.* | | | 31,945 | |
| | 5,999 | | | | | QuidelOrtho Corp.* | | | 475,481 | |
| | 939 | | | | | RxSight Inc.* | | | 11,747 | |
| | 1,101 | | | | | SeaSpine Holdings Corp.* | | | 7,046 | |
| | 19,342 | | | | | Senseonics Holdings Inc.*(a) | | | 34,429 | |
| | 1,475 | | | | | Shockwave Medical Inc.* | | | 437,868 | |
| | 1,183 | | | | | SI-BONE Inc.* | | | 19,519 | |
| | 981 | | | | | Sight Sciences Inc.* | | | 6,838 | |
| | 1,484 | | | | | Silk Road Medical Inc.* | | | 59,108 | |
| | 132,509 | | | | | Smith & Nephew PLC, ADR(a) | | | 3,159,015 | |
| | 1,977 | | | | | STAAR Surgical Co.* | | | 187,004 | |
| | 496 | | | | | Surmodics Inc.* | | | 16,710 | |
| | 664 | | | | | Tactile Systems Technology Inc.* | | | 5,478 | |
| | 14,024 | | | | | Tandem Diabetes Care Inc.* | | | 641,458 | |
| | 5,732 | | | | | Teleflex Inc. | | | 1,296,922 | |
| | 1,144 | | | | | TransMedics Group Inc.* | | | 59,522 | |
| | 1,501 | | | | | Treace Medical Concepts Inc.* | | | 30,065 | |
| | 247 | | | | | UFP Technologies Inc.* | | | 22,969 | |
| | 120 | | | | | Utah Medical Products Inc. | | | 11,028 | |
| | 18,710 | | | | | Varex Imaging Corp.* | | | 394,594 | |
| | 2,847 | | | | | Vicarious Surgical Inc.* | | | 10,619 | |
| | 6,767 | | | | | ViewRay Inc.* | | | 23,143 | |
| | 975 | | | | | Zimvie Inc.* | | | 14,840 | |
| | 811 | | | | | Zynex Inc. | | | 7,250 | |
| | | | | | | | | | |
| | | | | | Total Health Care Equipment & Supplies | | | 31,149,642 | |
| | | | | | | | | | |
|
| Health Care Providers & Services — 3.5% | |
| | 7,872 | | | | | 1Life Healthcare Inc.* | | | 135,477 | |
| | 8,160 | | | | | 23andMe Holding Co., Class A Shares* | | | 27,499 | |
| | 48,779 | | | | | Acadia Healthcare Co., Inc.* | | | 3,996,463 | |
| | 2,331 | | | | | Accolade Inc.* | | | 23,730 | |
| | 3,134 | | | | | AdaptHealth Corp., Class A Shares* | | | 56,318 | |
| | 677 | | | | | Addus HomeCare Corp.* | | | 60,402 | |
| | 892 | | | | | Agiliti Inc.* | | | 14,325 | |
| | 7,769 | | | | | agilon health Inc.*(a) | | | 161,440 | |
See Notes to Financial Statements.
81
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| HEALTH CARE — 16.0% — (continued) | |
|
| Health Care Providers & Services — 3.5% — (continued) | |
| | 782 | | | | | AirSculpt Technologies Inc. | | $ | 6,819 | |
| | 3,651 | | | | | Alignment Healthcare Inc.* | | | 55,532 | |
| | 10,097 | | | | | Amedisys Inc.* | | | 1,195,990 | |
| | 1,861 | | | | | AMN Healthcare Services Inc.* | | | 191,013 | |
| | 1,654 | | | | | Apollo Medical Holdings Inc.* | | | 71,337 | |
| | 1,522 | | | | | Aveanna Healthcare Holdings Inc.* | | | 2,770 | |
| | 7,766 | | | | | Brookdale Senior Living Inc.* | | | 34,170 | |
| | 7,037 | | | | | Cano Health Inc.* | | | 43,418 | |
| | 2,788 | | | | | CareMax Inc.* | | | 19,070 | |
| | 919 | | | | | Castle Biosciences Inc.* | | | 26,651 | |
| | 3,103 | | | | | Chemed Corp. | | | 1,477,618 | |
| | 16,709 | | | | | Clover Health Investments Corp., Class A Shares* | | | 43,610 | |
| | 5,286 | | | | | Community Health Systems Inc.* | | | 14,061 | |
| | 376 | | | | | CorVel Corp.* | | | 58,423 | |
| | 4,282 | | | | | Covetrus Inc.* | | | 89,365 | |
| | 1,562 | | | | | Cross Country Healthcare Inc.* | | | 39,644 | |
| | 2,405 | | | | | DaVita Inc.* | | | 205,122 | |
| | 3,453 | | | | | DocGo Inc.*(a) | | | 35,221 | |
| | 17,903 | | | | | Encompass Health Corp. | | | 869,549 | |
| | 8,951 | | | | | Enhabit Inc.* | | | 148,587 | |
| | 2,217 | | | | | Ensign Group Inc. (The) | | | 189,110 | |
| | 885 | | | | | Fulgent Genetics Inc.* | | | 38,471 | |
| | 4,054 | | | | | Guardant Health Inc.* | | | 202,943 | |
| | 1,356 | | | | | Hanger Inc.* | | | 25,262 | |
| | 15,753 | | | | | HealthEquity Inc.* | | | 1,040,958 | |
| | 5,747 | | | | | Henry Schein Inc.* | | | 421,887 | |
| | 5,551 | | | | | Hims & Hers Health Inc.* | | | 35,304 | |
| | 722 | | | | | Innovage Holding Corp.* | | | 2,650 | |
| | 8,433 | | | | | Invitae Corp.*(a) | | | 25,636 | |
| | 633 | | | | | Joint Corp. (The)* | | | 11,546 | |
| | 1,245 | | | | | LHC Group Inc.* | | | 201,030 | |
| | 2,940 | | | | | LifeStance Health Group Inc.*(a) | | | 18,493 | |
| | 527 | | | | | ModivCare Inc.* | | | 57,085 | |
| | 3,415 | | | | | Molina Healthcare Inc.* | | | 1,152,119 | |
| | 546 | | | | | National HealthCare Corp. | | | 37,920 | |
| | 498 | | | | | National Research Corp. | | | 16,987 | |
| | 4,883 | | | | | Oak Street Health Inc.*(a) | | | 127,935 | |
| | 1,092 | | | | | Oncology Institute Inc.(The)* | | | 6,934 | |
| | 17,392 | | | | | OPKO Health Inc.* | | | 37,915 | |
| | 55,173 | | | | | Option Care Health Inc.* | | | 1,708,156 | |
| | 3,047 | | | | | Owens & Minor Inc. | | | 89,917 | |
| | 1,319 | | | | �� | P3 Health Partners Inc.* | | | 6,489 | |
| | 17,946 | | | | | Patterson Cos., Inc. | | | 500,514 | |
| | 22,863 | | | | | Pediatrix Medical Group Inc.* | | | 407,419 | |
| | 916 | | | | | Pennant Group Inc. (The)* | | | 14,354 | |
| | 29,897 | | | | | PetIQ Inc., Class A Shares* | | | 279,238 | |
| | 4,899 | | | | | Premier Inc., Class A Shares | | | 172,641 | |
| | 1,713 | | | | | Privia Health Group Inc.* | | | 68,160 | |
| | 3,174 | | | | | Progyny Inc.* | | | 127,627 | |
| | 5,512 | | | | | R1 RCM Inc.* | | | 120,437 | |
| | 2,059 | | | | | RadNet Inc.* | | | 41,365 | |
| | 4,382 | | | | | Select Medical Holdings Corp. | | | 112,354 | |
| | 8,775 | | | | | Sema4 Holdings Corp.* | | | 8,950 | |
| | 3,023 | | | | | Signify Health Inc., Class A Shares* | | | 84,342 | |
| | 1,791 | | | | | Surgery Partners Inc.* | | | 49,306 | |
See Notes to Financial Statements.
82
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| HEALTH CARE — 16.0% — (continued) | |
|
| Health Care Providers & Services — 3.5% — (continued) | |
| | 4,431 | | | | | Tenet Healthcare Corp.* | | $ | 250,351 | |
| | 19,283 | | | | | Universal Health Services Inc., Class B Shares | | | 1,886,649 | |
| | 534 | | | | | US Physical Therapy Inc. | | | 44,114 | |
| | | | | | | | | | |
| | | | | | Total Health Care Providers & Services | | | 18,726,192 | |
| | | | | | | | | | |
|
| Health Care Technology — 0.6% | |
| | 4,718 | | | | | Allscripts Healthcare Solutions Inc.* | | | 80,206 | |
| | 10,424 | | | | | American Well Corp., Class A Shares* | | | 47,429 | |
| | 4,932 | | | | | Certara Inc.* | | | 77,284 | |
| | 10,505 | | | | | Change Healthcare Inc.* | | | 258,108 | |
| | 536 | | | | | Computer Programs & Systems Inc.* | | | 16,353 | |
| | 549 | | | | | Convey Health Solutions Holdings Inc.* | | | 5,759 | |
| | 1,391 | | | | | Definitive Healthcare Corp., Class A Shares* | | | 27,931 | |
| | 3,942 | | | | | Doximity Inc., Class A Shares*(a) | | | 130,835 | |
| | 3,477 | | | | | Evolent Health Inc., Class A Shares* | | | 127,780 | |
| | 2,001 | | | | | Health Catalyst Inc.* | | | 24,012 | |
| | 1,189 | | | | | HealthStream Inc.* | | | 26,313 | |
| | 15,369 | | | | | Multiplan Corp.* | | | 54,099 | |
| | 2,266 | | | | | NextGen Healthcare Inc.* | | | 38,839 | |
| | 2,450 | | | | | Nutex Health Inc.* | | | 6,591 | |
| | 765 | | | | | OptimizeRx Corp.* | | | 12,141 | |
| | 2,138 | | | | | Phreesia Inc.* | | | 54,861 | |
| | 2,351 | | | | | Schrodinger Inc.* | | | 64,511 | |
| | 3,749 | | | | | Sharecare Inc.* | | | 6,861 | |
| | 708 | | | | | Simulations Plus Inc. | | | 42,515 | |
| | 6,699 | | | | | Teladoc Health Inc.* | | | 208,071 | |
| | 8,559 | | | | | Veeva Systems Inc., Class A Shares* | | | 1,705,980 | |
| | | | | | | | | | |
| | | | | | Total Health Care Technology | | | 3,016,479 | |
| | | | | | | | | | |
|
| Life Sciences Tools & Services — 1.9% | |
| | 3,832 | | | | | 10X Genomics Inc., Class A Shares* | | | 126,418 | |
| | 8,635 | | | | | AbCellera Biologics Inc.*(a) | | | 92,222 | |
| | 2,370 | | | | | Absci Corp.* | | | 7,987 | |
| | 4,636 | | | | | Adaptive Biotechnologies Corp.* | | | 41,353 | |
| | 767 | | | | | Akoya Biosciences Inc.* | | | 8,744 | |
| | 216 | | | | | Alpha Teknova Inc.* | | | 974 | |
| | 37,820 | | | | | Azenta Inc. | | | 1,993,492 | |
| | 1,816 | | | | | Berkeley Lights Inc.* | | | 6,665 | |
| | 10,701 | | | | | Bionano Genomics Inc.*(a) | | | 26,538 | |
| | 1,418 | | | | | Bio-Rad Laboratories Inc., Class A Shares* | | | 687,787 | |
| | 6,091 | | | | | Bio-Techne Corp. | | | 2,021,055 | |
| | 4,474 | | | | | Bruker Corp. | | | 250,544 | |
| | 9,586 | | | | | Charles River Laboratories International Inc.* | | | 1,967,526 | |
| | 2,245 | | | | | Codexis Inc.* | | | 15,737 | |
| | 5,030 | | | | | Cytek Biosciences Inc.* | | | 58,599 | |
| | 6,710 | | | | | Illumina Inc.* | | | 1,353,004 | |
| | 614 | | | | | Inotiv Inc.* | | | 12,016 | |
| | 4,557 | | | | | Maravai LifeSciences Holdings Inc., Class A Shares* | | | 95,105 | |
| | 4,487 | | | | | MaxCyte Inc.* | | | 23,332 | |
| | 1,196 | | | | | Medpace Holdings Inc.* | | | 176,542 | |
| | 1,925 | | | | | NanoString Technologies Inc.* | | | 26,103 | |
| | 3,512 | | | | | Nautilus Biotechnology Inc., Class A Shares* | | | 7,762 | |
| | 5,371 | | | | | NeoGenomics Inc.* | | | 53,979 | |
| | 10,121 | | | | | Pacific Biosciences of California Inc.*(a) | | | 59,309 | |
| | 9,282 | | | | | QIAGEN NV* | | | 421,681 | |
See Notes to Financial Statements.
83
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| HEALTH CARE — 16.0% — (continued) | |
|
| Life Sciences Tools & Services — 1.9% — (continued) | |
| | 1,361 | | | | | Quanterix Corp.* | | $ | 12,725 | |
| | 4,548 | | | | | Quantum-Si Inc.* | | | 14,190 | |
| | 2,317 | | | | | Repligen Corp.* | | | 508,280 | |
| | 3,242 | | | | | Science 37 Holdings Inc.* | | | 5,122 | |
| | 1,843 | | | | | Seer Inc., Class A Shares* | | | 18,614 | |
| | 2,075 | | | | | Singular Genomics Systems Inc.* | | | 5,540 | |
| | 7,279 | | | | | SomaLogic Inc.* | | | 26,787 | |
| | 4,059 | | | | | Sotera Health Co.* | | | 68,638 | |
| | 83,055 | | | | | Standard BioTools Inc.*(a)(b) | | | 117,108 | |
| | 4,332 | | | | | Syneos Health Inc., Class A Shares* | | | 260,397 | |
| | | | | | | | | | |
| | | | | | Total Life Sciences Tools & Services | | | 10,571,875 | |
| | | | | | | | | | |
|
| Pharmaceuticals — 1.4% | |
| | 5,051 | | | | | Achillion Pharmaceuticals Inc.*(c) | | | 2,323 | |
| | 2,571 | | | | | Aclaris Therapeutics Inc.* | | | 40,905 | |
| | 1,941 | | | | | Aerie Pharmaceuticals Inc.* | | | 29,309 | |
| | 71,099 | | | | | Amneal Pharmaceuticals Inc.* | | | 154,285 | |
| | 1,650 | | | | | Amphastar Pharmaceuticals Inc.* | | | 48,840 | |
| | 441 | | | | | Amylyx Pharmaceuticals Inc.* | | | 11,131 | |
| | 553 | | | | | ANI Pharmaceuticals Inc.* | | | 20,400 | |
| | 1,950 | | | | | Arvinas Inc.* | | | 82,563 | |
| | 3,220 | | | | | Atea Pharmaceuticals Inc.* | | | 24,150 | |
| | 1,072 | | | | | Athira Pharma Inc.* | | | 3,623 | |
| | 1,299 | | | | | Axsome Therapeutics Inc.* | | | 82,876 | |
| | 1,882 | | | | | Cara Therapeutics Inc.* | | | 19,422 | |
| | 1,485 | | | | | Cassava Sciences Inc.*(a) | | | 38,209 | |
| | 13,705 | | | | | Catalent Inc.* | | | 1,206,040 | |
| | 499 | | | | | CinCor Pharma Inc.* | | | 16,851 | |
| | 1,236 | | | | | Collegium Pharmaceutical Inc.* | | | 21,729 | |
| | 3,594 | | | | | Corcept Therapeutics Inc.* | | | 92,797 | |
| | 1,340 | | | | | DICE Therapeutics Inc.*(a) | | | 21,038 | |
| | 1,848 | | | | | Edgewise Therapeutics Inc.* | | | 18,628 | |
| | 2,726 | | | | | Esperion Therapeutics Inc.* | | | 20,336 | |
| | 1,328 | | | | | Evolus Inc.* | | | 12,762 | |
| | 826 | | | | | EyePoint Pharmaceuticals Inc.* | | | 8,260 | |
| | 958 | | | | | Fulcrum Therapeutics Inc.* | | | 7,089 | |
| | 1,096 | | | | | Harmony Biosciences Holdings Inc.* | | | 48,125 | |
| | 105,093 | | | | | Innoviva Inc.* | | | 1,383,024 | |
| | 3,757 | | | | | Intra-Cellular Therapies Inc.* | | | 188,827 | |
| | 2,530 | | | | | Jazz Pharmaceuticals PLC* | | | 392,707 | |
| | 2,242 | | | | | Liquidia Corp.* | | | 12,936 | |
| | 7,453 | | | | | Nektar Therapeutics, Class A Shares* | | | 29,365 | |
| | 1,878 | | | | | NGM Biopharmaceuticals Inc.* | | | 26,499 | |
| | 6,179 | | | | | Nuvation Bio Inc.* | | | 17,301 | |
| | 2,651 | | | | | Ocular Therapeutix Inc.* | | | 13,467 | |
| | 10,624 | | | | | Organon & Co. | | | 303,103 | |
| | 15,095 | | | | | Pacira BioSciences Inc.* | | | 792,186 | |
| | 5,460 | | | | | Perrigo Co. PLC | | | 204,313 | |
| | 674 | | | | | Phathom Pharmaceuticals Inc.* | | | 5,756 | |
| | 789 | | | | | Phibro Animal Health Corp., Class A Shares | | | 11,685 | |
| | 15,579 | | | | | Prestige Consumer Healthcare Inc.* | | | 787,986 | |
| | 3,674 | | | | | Progenics Pharmaceuticals Inc.*# | | | – | |
| | 1,913 | | | | | Provention Bio Inc.* | | | 8,264 | |
| | 1,024 | | | | | Reata Pharmaceuticals Inc., Class A Shares* | | | 24,484 | |
| | 1,086 | | | | | Relmada Therapeutics Inc.* | | | 31,646 | |
See Notes to Financial Statements.
84
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| HEALTH CARE — 16.0% — (continued) | |
|
| Pharmaceuticals — 1.4% — (continued) | |
| | 2,964 | | | | | Revance Therapeutics Inc.* | | $ | 58,984 | |
| | 1,907 | | | | | SIGA Technologies Inc. | | | 28,758 | |
| | 31,026 | | | | | Supernus Pharmaceuticals Inc.* | | | 1,062,020 | |
| | 827 | | | | | Tarsus Pharmaceuticals Inc.* | | | 12,719 | |
| | 2,181 | | | | | Theravance Biopharma Inc.* | | | 19,651 | |
| | 738 | | | | | Theseus Pharmaceuticals Inc.* | | | 5,033 | |
| | 1,454 | | | | | Tricida Inc.* | | | 18,204 | |
| | 923 | | | | | Ventyx Biosciences Inc.*(a) | | | 18,829 | |
| | 6,848 | | | | | Xeris Biopharma Holdings Inc.* | | | 11,436 | |
| | 2,285 | | | | | Zogenix Inc.*(b)(c) | | | 1,554 | |
| | | | | | | | | | |
| | | | | | Total Pharmaceuticals | | | 7,502,428 | |
| | | | | | | | | | |
| | | | | | TOTAL HEALTH CARE | | | 86,415,879 | |
| | | | | | | | | | |
|
| INDUSTRIALS — 18.7% | |
|
| Aerospace & Defense — 2.1% | |
| | 1,484 | | | | | AAR Corp.* | | | 63,634 | |
| | 21,626 | | | | | Aerojet Rocketdyne Holdings Inc.* | | | 931,432 | |
| | 957 | | | | | Aerovironment Inc.* | | | 84,838 | |
| | 819 | | | | | AerSale Corp.* | | | 15,790 | |
| | 5,490 | | | | | Archer Aviation Inc., Class A Shares* | | | 19,435 | |
| | 7,612 | | | | | Astra Space Inc.*(a) | | | 6,492 | |
| | 1,028 | | | | | Astronics Corp.* | | | 9,468 | |
| | 2,813 | | | | | Axon Enterprise Inc.* | | | 328,221 | |
| | 3,767 | | | | | BWX Technologies Inc. | | | 196,374 | |
| | 901 | | | | | Cadre Holdings Inc. | | | 22,975 | |
| | 1,582 | | | | | Curtiss-Wright Corp. | | | 232,855 | |
| | 368 | | | | | Ducommun Inc.* | | | 16,192 | |
| | 23,977 | | | | | HEICO Corp., Class A Shares | | | 2,939,101 | |
| | 21,549 | | | | | Hexcel Corp. | | | 1,264,280 | |
| | 15,716 | | | | | Howmet Aerospace Inc. | | | 556,818 | |
| | 1,632 | | | | | Huntington Ingalls Industries Inc. | | | 375,784 | |
| | 1,078 | | | | | Kaman Corp. | | | 34,194 | |
| | 5,155 | | | | | Kratos Defense & Security Solutions Inc.* | | | 64,644 | |
| | 2,946 | | | | | Maxar Technologies Inc. | | | 70,203 | |
| | 17,352 | | | | | Mercury Systems Inc.* | | | 835,152 | |
| | 3,763 | | | | | Momentus Inc.* | | | 6,661 | |
| | 1,217 | | | | | Moog Inc., Class A Shares | | | 91,251 | |
| | 183 | | | | | National Presto Industries Inc. | | | 12,484 | |
| | 809 | | | | | Park Aerospace Corp. | | | 9,312 | |
| | 1,335 | | | | | Parsons Corp.* | | | 55,242 | |
| | 9,213 | | | | | Rocket Lab USA Inc.* | | | 50,671 | |
| | 13,771 | | | | | Spirit AeroSystems Holdings Inc., Class A Shares | | | 414,507 | |
| | 8,985 | | | | | Textron Inc. | | | 560,484 | |
| | 3,091 | | | | | TransDigm Group Inc. | | | 1,855,805 | |
| | 2,488 | | | | | Triumph Group Inc.* | | | 32,319 | |
| | 392 | | | | | V2X Inc.* | | | 13,587 | |
| | 9,720 | | | | | Virgin Galactic Holdings Inc.*(a) | | | 57,445 | |
| | 2,485 | | | | | Woodward Inc. | | | 231,279 | |
| | | | | | | | | | |
| | | | | | Total Aerospace & Defense | | | 11,458,929 | |
| | | | | | | | | | |
|
| Air Freight & Logistics — 0.1% | |
| | 2,450 | | | | | Air Transport Services Group Inc.* | | | 73,818 | |
| | 1,171 | | | | | Atlas Air Worldwide Holdings Inc.* | | | 117,006 | |
| | 1,090 | | | | | Forward Air Corp. | | | 105,774 | |
| | 4,371 | | | | | GXO Logistics Inc.* | | | 193,985 | |
See Notes to Financial Statements.
85
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| INDUSTRIALS — 18.7% — (continued) | |
|
| Air Freight & Logistics — 0.1% — (continued) | |
| | 1,411 | | | | | Hub Group Inc., Class A Shares* | | $ | 112,612 | |
| | 1,467 | | | | | Radiant Logistics Inc.* | | | 10,269 | |
| | | | | | | | | | |
| | | | | | Total Air Freight & Logistics | | | 613,464 | |
| | | | | | | | | | |
|
| Airlines — 0.2% | |
| | 5,213 | | | | | Alaska Air Group Inc.* | | | 227,078 | |
| | 621 | | | | | Allegiant Travel Co.* | | | 59,927 | |
| | 26,653 | | | | | American Airlines Group Inc.*(a) | | | 346,222 | |
| | 2,589 | | | | | Blade Air Mobility Inc.* | | | 13,359 | |
| | 1,275 | | | | | Copa Holdings SA, Class A Shares* | | | 90,780 | |
| | 1,711 | | | | | Frontier Group Holdings Inc.*(a) | | | 22,072 | |
| | 2,057 | | | | | Hawaiian Holdings Inc.* | | | 30,834 | |
| | 13,728 | | | | | JetBlue Airways Corp.* | | | 106,941 | |
| | 10,499 | | | | | Joby Aviation Inc.* | | | 55,645 | |
| | 1,945 | | | | | SkyWest Inc.* | | | 41,409 | |
| | 4,556 | | | | | Spirit Airlines Inc.* | | | 103,330 | |
| | 1,269 | | | | | Sun Country Airlines Holdings Inc.* | | | 25,279 | |
| | 7,655 | | | | | Wheels Up Experience Inc.* | | | 14,315 | |
| | | | | | | | | | |
| | | | | | Total Airlines | | | 1,137,191 | |
| | | | | | | | | | |
|
| Building Products — 1.8% | |
| | 1,872 | | | | | AAON Inc. | | | 107,603 | |
| | 15,617 | | | | | Advanced Drainage Systems Inc. | | | 2,119,227 | |
| | 3,669 | | | | | Allegion PLC | | | 348,922 | |
| | 665 | | | | | American Woodmark Corp.* | | | 34,467 | |
| | 5,312 | | | | | AO Smith Corp. | | | 299,862 | |
| | 1,101 | | | | | Apogee Enterprises Inc. | | | 44,965 | |
| | 1,956 | | | | | Armstrong World Industries Inc. | | | 164,284 | |
| | 32,540 | | | | | AZEK Co., Inc. (The), Class A Shares* | | | 593,855 | |
| | 7,132 | | | | | Builders FirstSource Inc.* | | | 418,007 | |
| | 897 | | | | | Caesarstone Ltd. | | | 9,140 | |
| | 6,834 | | | | | Carlisle Cos., Inc. | | | 2,020,540 | |
| | 625 | | | | | CSW Industrials Inc. | | | 79,125 | |
| | 5,537 | | | | | Fortune Brands Home & Security Inc. | | | 340,138 | |
| | 1,387 | | | | | Gibraltar Industries Inc.* | | | 58,046 | |
| | 1,980 | | | | | Griffon Corp. | | | 62,073 | |
| | 2,898 | | | | | Hayward Holdings Inc.* | | | 30,458 | |
| | 781 | | | | | Insteel Industries Inc. | | | 22,571 | |
| | 3,482 | | | | | Janus International Group Inc.* | | | 35,969 | |
| | 3,835 | | | | | JELD-WEN Holding Inc.* | | | 42,760 | |
| | 1,347 | | | | | Lennox International Inc. | | | 323,442 | |
| | 958 | | | | | Masonite International Corp.* | | | 78,384 | |
| | 4,041 | | | | | Owens Corning | | | 330,271 | |
| | 2,482 | | | | | PGT Innovations Inc.* | | | 51,923 | |
| | 1,220 | | | | | Quanex Building Products Corp. | | | 27,206 | |
| | 73,605 | | | | | Resideo Technologies Inc.* | | | 1,532,456 | |
| | 1,757 | | | | | Simpson Manufacturing Co., Inc. | | | 162,768 | |
| | 4,763 | | | | | Trex Co., Inc.* | | | 222,861 | |
| | 2,482 | | | | | UFP Industries Inc. | | | 197,046 | |
| | 5,200 | | | | | View Inc.* | | | 9,256 | |
| | 5,215 | | | | | Zurn Elkay Water Solutions Corp. | | | 143,830 | |
| | | | | | | | | | |
| | | | | | Total Building Products | | | 9,911,455 | |
| | | | | | | | | | |
|
| Commercial Services & Supplies — 1.5% | |
| | 2,736 | | | | | ABM Industries Inc. | | | 126,950 | |
| | 4,687 | | | | | ACCO Brands Corp. | | | 27,794 | |
See Notes to Financial Statements.
86
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| INDUSTRIALS — 18.7% — (continued) | |
|
| Commercial Services & Supplies — 1.5% — (continued) | |
| | 4,913 | | | | | ACV Auctions Inc., Class A Shares* | | $ | 41,810 | |
| | 933 | | | | | Aris Water Solution Inc., Class A Shares | | | 15,861 | |
| | 1,957 | | | | | Brady Corp., Class A Shares | | | 91,079 | |
| | 2,030 | | | | | BrightView Holdings Inc.* | | | 20,544 | |
| | 1,992 | | | | | Brink’s Co. (The) | | | 110,118 | |
| | 2,080 | | | | | Casella Waste Systems Inc., Class A Shares* | | | 170,414 | |
| | 692 | | | | | Cimpress PLC* | | | 23,237 | |
| | 9,308 | | | | | Clean Harbors Inc.* | | | 1,092,945 | |
| | 4,868 | | | | | CoreCivic Inc.* | | | 46,392 | |
| | 1,668 | | | | | Deluxe Corp. | | | 32,092 | |
| | 2,275 | | | | | Driven Brands Holdings Inc.* | | | 71,503 | |
| | 1,039 | | | | | Ennis Inc. | | | 22,058 | |
| | 2,849 | | | | | GEO Group Inc. (The)* | | | 23,305 | |
| | 128,174 | | | | | Harsco Corp.* | | | 726,747 | |
| | 3,189 | | | | | Healthcare Services Group Inc. | | | 44,869 | |
| | 534 | | | | | Heritage-Crystal Clean Inc.* | | | 17,392 | |
| | 1,847 | | | | | HNI Corp. | | | 59,104 | |
| | 5,637 | | | | | IAA Inc.* | | | 210,035 | |
| | 2,175 | | | | | Interface Inc., Class A Shares | | | 24,295 | |
| | 55,646 | | | | | KAR Auction Services Inc.* | | | 812,432 | |
| | 1,285 | | | | | Kimball International Inc., Class B Shares | | | 9,830 | |
| | 5,571 | | | | | Li-Cycle Holdings Corp.* | | | 40,167 | |
| | 25,727 | | | | | Matthews International Corp., Class A Shares | | | 643,432 | |
| | 3,204 | | | | | MillerKnoll Inc. | | | 88,687 | |
| | 1,144 | | | | | Montrose Environmental Group Inc.* | | | 46,000 | |
| | 1,542 | | | | | MSA Safety Inc. | | | 183,282 | |
| | 157 | | | | | NL Industries Inc. | | | 1,383 | |
| | 4,876 | | | | | Pitney Bowes Inc. | | | 14,092 | |
| | 2,084 | | | | | Quad Graphics Inc.* | | | 6,585 | |
| | 838 | | | | | SP Plus Corp.* | | | 27,771 | |
| | 3,699 | | | | | Steelcase Inc., Class A Shares | | | 41,355 | |
| | 20,256 | | | | | Stericycle Inc.* | | | 1,014,623 | |
| | 2,211 | | | | | Tetra Tech Inc. | | | 300,276 | |
| | 631 | | | | | UniFirst Corp. | | | 113,744 | |
| | 893 | | | | | Viad Corp.* | | | 34,095 | |
| | 375 | | | | | VSE Corp. | | | 15,694 | |
| | 13,054 | | | | | Waste Connections Inc. | | | 1,816,856 | |
| | | | | | | | | | |
| | | | | | Total Commercial Services & Supplies | | | 8,208,848 | |
| | | | | | | | | | |
|
| Construction & Engineering — 1.9% | |
| | 5,567 | | | | | AECOM | | | 407,226 | |
| | 1,297 | | | | | Ameresco Inc., Class A Shares* | | | 89,298 | |
| | 8,615 | | | | | API Group Corp.* | | | 133,963 | |
| | 1,979 | | | | | Arcosa Inc. | | | 115,673 | |
| | 520 | | | | | Argan Inc. | | | 17,987 | |
| | 1,480 | | | | | Comfort Systems USA Inc. | | | 148,503 | |
| | 1,176 | | | | | Concrete Pumping Holdings Inc.* | | | 7,879 | |
| | 1,648 | | | | | Construction Partners Inc., Class A Shares* | | | 48,221 | |
| | 19,818 | | | | | Dycom Industries Inc.* | | | 2,221,994 | |
| | 2,131 | | | | | EMCOR Group Inc. | | | 253,419 | |
| | 5,857 | | | | | Fluor Corp.* | | | 154,859 | |
| | 2,014 | | | | | Granite Construction Inc. | | | 60,380 | |
| | 2,542 | | | | | Great Lakes Dredge & Dock Corp.* | | | 24,327 | |
| | 303 | | | | | IES Holdings Inc.* | | | 9,208 | |
| | 1,365 | | | | | Infrastructure & Energy Alternatives Inc.* | | | 19,397 | |
See Notes to Financial Statements.
87
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| INDUSTRIALS — 18.7% — (continued) | |
|
| Construction & Engineering — 1.9% — (continued) | |
| | 2,472 | | | | | MasTec Inc.* | | $ | 198,996 | |
| | 8,435 | | | | | MDU Resources Group Inc. | | | 254,315 | |
| | 710 | | | | | MYR Group Inc.* | | | 65,987 | |
| | 394 | | | | | Northwest Pipe Co.* | | | 12,474 | |
| | 553 | | | | | NV5 Global Inc.* | | | 77,840 | |
| | 2,330 | | | | | Primoris Services Corp. | | | 47,229 | |
| | 5,933 | | | | | Quanta Services Inc. | | | 838,333 | |
| | 1,268 | | | | | Sterling Infrastructure Inc.* | | | 32,068 | |
| | 1,364 | | | | | Tutor Perini Corp.* | | | 9,248 | |
| | 2,898 | | | | | Valmont Industries Inc. | | | 802,224 | |
| | 109,812 | | | | | WillScot Mobile Mini Holdings Corp.* | | | 4,407,854 | |
| | | | | | | | | | |
| | | | | | Total Construction & Engineering | | | 10,458,902 | |
| | | | | | | | | | |
|
| Electrical Equipment — 1.8% | |
| | 1,435 | | | | | Acuity Brands Inc. | | | 235,240 | |
| | 459 | | | | | Allied Motion Technologies Inc. | | | 16,074 | |
| | 6,292 | | | | | Array Technologies Inc.* | | | 131,503 | |
| | 17,535 | | | | | Atkore Inc.* | | | 1,480,129 | |
| | 13,512 | | | | | AZZ Inc. | | | 575,746 | |
| | 117,925 | | | | | Babcock & Wilcox Enterprises Inc.* | | | 941,042 | |
| | 1,578 | | | | | Blink Charging Co.* | | | 33,722 | |
| | 30,792 | | | | | Bloom Energy Corp., Class A Shares* | | | 782,425 | |
| | 8,266 | | | | | ChargePoint Holdings Inc.* | | | 134,488 | |
| | 11,010 | | | | | Encore Wire Corp. | | | 1,432,401 | |
| | 1,101 | | | | | Energy Vault Holdings Inc.* | | | 6,067 | |
| | 1,745 | | | | | EnerSys | | | 108,836 | |
| | 4,544 | | | | | Enovix Corp.* | | | 100,513 | |
| | 3,957 | | | | | ESS Tech Inc.* | | | 17,569 | |
| | 1,550 | | | | | Fluence Energy Inc., Class A Shares* | | | 30,923 | |
| | 1,932 | | | | | FTC Solar Inc.* | | | 7,999 | |
| | 15,488 | | | | | FuelCell Energy Inc.* | | | 64,895 | |
| | 8,080 | | | | | GrafTech International Ltd. | | | 47,510 | |
| | 2,224 | | | | | Hubbell Inc., Class B Shares | | | 458,811 | |
| | 982 | | | | | NuScale Power Corp.* | | | 13,473 | |
| | 6,819 | | | | | nVent Electric PLC | | | 224,754 | |
| | 21,745 | | | | | Plug Power Inc.*(a) | | | 609,730 | |
| | 332 | | | | | Powell Industries Inc. | | | 8,187 | |
| | 128 | | | | | Preformed Line Products Co. | | | 9,958 | |
| | 2,775 | | | | | Regal Rexnord Corp. | | | 381,812 | |
| | 18,501 | | | | | Sensata Technologies Holding PLC | | | 745,220 | |
| | 4,526 | | | | | Shoals Technologies Group Inc., Class A Shares* | | | 119,351 | |
| | 6,163 | | | | | Stem Inc.* | | | 96,882 | |
| | 3,372 | | | | | SunPower Corp., Class A Shares* | | | 80,928 | |
| | 8,509 | | | | | Sunrun Inc.* | | | 281,052 | |
| | 1,189 | | | | | Thermon Group Holdings Inc.* | | | 20,867 | |
| | 1,329 | | | | | TPI Composites Inc.* | | | 24,706 | |
| | 12,970 | | | | | Vertiv Holdings Co., Class A Shares | | | 149,544 | |
| | 881 | | | | | Vicor Corp.* | | | 62,674 | |
| | | | | | | | | | |
| | | | | | Total Electrical Equipment | | | 9,435,031 | |
| | | | | | | | | | |
|
| Industrial Conglomerates — 0.4% | |
| | 16,757 | | | | | 3M Co. | | | 2,083,733 | |
| | 1,087 | | | | | Brookfield Business Corp., Class A Shares | | | 26,436 | |
| | | | | | | | | | |
| | | | | | Total Industrial Conglomerates | | | 2,110,169 | |
| | | | | | | | | | |
See Notes to Financial Statements.
88
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| INDUSTRIALS — 18.7% — (continued) | |
|
| | Machinery — 3.7% | |
| | 2,556 | | | | | AGCO Corp. | | $ | 277,863 | |
| | 407 | | | | | Alamo Group Inc. | | | 53,219 | |
| | 15,127 | | | | | Albany International Corp., Class A Shares | | | 1,334,050 | |
| | 3,937 | | | | | Allison Transmission Holdings Inc. | | | 142,756 | |
| | 23,724 | | | | | Altra Industrial Motion Corp. | | | 900,326 | |
| | 1,026 | | | | | Astec Industries Inc. | | | 39,173 | |
| | 25,688 | | | | | Barnes Group Inc. | | | 797,612 | |
| | 2,891 | | | | | Berkshire Grey Inc.*(a) | | | 5,840 | |
| | 679 | | | | | Blue Bird Corp.* | | | 8,060 | |
| | 6,278 | | | | | Chart Industries Inc.* | | | 1,217,053 | |
| | 615 | | | | | CIRCOR International Inc.* | | | 10,024 | |
| | 1,267 | | | | | Columbus McKinnon Corp. | | | 38,808 | |
| | 1,979 | | | | | Crane Holdings Co. | | | 186,738 | |
| | 11,410 | | | | | Desktop Metal Inc., Class A Shares* | | | 36,284 | |
| | 5,104 | | | | | Donaldson Co., Inc. | | | 262,090 | |
| | 929 | | | | | Douglas Dynamics Inc. | | | 27,034 | |
| | 2,433 | | | | | Energy Recovery Inc.* | | | 55,813 | |
| | 20,024 | | | | | Enerpac Tool Group Corp., Class A Shares | | | 388,466 | |
| | 870 | | | | | EnPro Industries Inc. | | | 78,787 | |
| | 2,110 | | | | | Esab Corp. | | | 86,700 | |
| | 1,091 | | | | | ESCO Technologies Inc. | | | 88,840 | |
| | 4,900 | | | | | Evoqua Water Technologies Corp.* | | | 171,892 | |
| | 2,543 | | | | | Federal Signal Corp. | | | 101,389 | |
| | 20,447 | | | | | Flowserve Corp. | | | 623,020 | |
| | 1,931 | | | | | Franklin Electric Co., Inc. | | | 167,707 | |
| | 4,571 | | | | | Gates Industrial Corp. PLC* | | | 49,001 | |
| | 1,007 | | | | | Gorman-Rupp Co. (The) | | | 26,595 | |
| | 15,819 | | | | | Graco Inc. | | | 1,009,885 | |
| | 1,374 | | | | | Greenbrier Cos., Inc. (The) | | | 39,173 | |
| | 1,312 | | | | | Helios Technologies Inc. | | | 71,661 | |
| | 3,027 | | | | | Hillenbrand Inc. | | | 126,135 | |
| | 5,415 | | | | | Hillman Solutions Corp.* | | | 45,432 | |
| | 1,372 | | | | | Hydrofarm Holdings Group Inc.* | | | 4,665 | |
| | 4,856 | | | | | Hyliion Holdings Corp.* | | | 17,045 | |
| | 331 | | | | | Hyster-Yale Materials Handling Inc. | | | 9,642 | |
| | 4,055 | | | | | Hyzon Motors Inc.*(a) | | | 8,637 | |
| | 4,661 | | | | | IDEX Corp. | | | 937,840 | |
| | 16,429 | | | | | ITT Inc. | | | 1,191,595 | |
| | 1,295 | | | | | John Bean Technologies Corp. | | | 133,722 | |
| | 474 | | | | | Kadant Inc. | | | 85,050 | |
| | 3,419 | | | | | Kennametal Inc. | | | 80,141 | |
| | 117,908 | | | | | Knorr-Bremse AG, ADR | | | 1,424,329 | |
| | 1,771 | | | | | Lightning eMotors Inc.* | | | 5,030 | |
| | 8,850 | | | | | Lincoln Electric Holdings Inc. | | | 1,209,706 | |
| | 2,277 | | | | | Lindsay Corp. | | | 365,140 | |
| | 984 | | | | | Luxfer Holdings PLC ,ADR | | | 16,187 | |
| | 1,593 | | | | | Manitowoc Co., Inc. (The)* | | | 15,213 | |
| | 57,452 | | | | | Markforged Holding Corp.* | | | 139,608 | |
| | 7,794 | | | | | Microvast Holdings Inc.* | | | 19,173 | |
| | 2,263 | | | | | Middleby Corp. (The)* | | | 325,465 | |
| | 610 | | | | | Miller Industries Inc. | | | 14,341 | |
| | 2,334 | | | | | Mueller Industries Inc. | | | 147,439 | |
| | 131,837 | | | | | Mueller Water Products Inc., Class A Shares | | | 1,487,121 | |
| | 12,211 | | | | | Nikola Corp.*(a) | | | 65,451 | |
| | 2,426 | | | | | Nordson Corp. | | | 551,114 | |
See Notes to Financial Statements.
89
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| INDUSTRIALS — 18.7% — (continued) | |
|
| Machinery — 3.7% — (continued) | |
| | 108 | | | | | Omega Flex Inc. | | $ | 10,910 | |
| | 2,763 | | | | | Oshkosh Corp. | | | 220,377 | |
| | 6,787 | | | | | Pentair PLC | | | 302,022 | |
| | 9,398 | | | | | Proterra Inc.*(a) | | | 56,764 | |
| | 1,079 | | | | | Proto Labs Inc.* | | | 41,434 | |
| | 1,170 | | | | | RBC Bearings Inc.* | | | 281,596 | |
| | 1,510 | | | | | REV Group Inc. | | | 17,395 | |
| | 3,850 | | | | | Sarcos Technology & Robotics Corp.* | | | 12,628 | |
| | 1,310 | | | | | Shyft Group Inc. (The) | | | 31,375 | |
| | 2,186 | | | | | Snap-on Inc. | | | 476,242 | |
| | 1,839 | | | | | SPX Technologies Inc.* | | | 104,933 | |
| | 481 | | | | | Standex International Corp. | | | 43,487 | |
| | 727 | | | | | Tennant Co. | | | 43,874 | |
| | 2,912 | | | | | Terex Corp. | | | 96,737 | |
| | 2,614 | | | | | Timken Co. (The) | | | 164,656 | |
| | 1,948 | | | | | Titan International Inc.* | | | 27,330 | |
| | 4,385 | | | | | Toro Co. (The) | | | 363,648 | |
| | 3,585 | | | | | Trinity Industries Inc. | | | 87,402 | |
| | 5,590 | | | | | Twin Disc Inc.* | | | 51,987 | |
| | 2,325 | | | | | Velo3D Inc.* | | | 10,021 | |
| | 2,346 | | | | | Wabash National Corp. | | | 38,592 | |
| | 1,155 | | | | | Watts Water Technologies Inc., Class A Shares | | | 159,991 | |
| | 4,637 | | | | | Westinghouse Air Brake Technologies Corp. | | | 406,433 | |
| | | | | | | | | | |
| | | | | | Total Machinery | | | 19,770,914 | |
| | | | | | | | | | |
|
| Marine — 0.1% | |
| | 2,360 | | | | | Costamare Inc. | | | 26,621 | |
| | 557 | | | | | Eagle Bulk Shipping Inc. | | | 24,196 | |
| | 1,545 | | | | | Eneti Inc. | | | 12,931 | |
| | 1,687 | | | | | Genco Shipping & Trading Ltd. | | | 23,129 | |
| | 4,986 | | | | | Golden Ocean Group Ltd. | | | 47,816 | |
| | 2,465 | | | | | Kirby Corp.* | | | 165,303 | |
| | 1,691 | | | | | Matson Inc. | | | 124,559 | |
| | 2,124 | | | | | Safe Bulkers Inc. | | | 6,775 | |
| | | | | | | | | | |
| | | | | | Total Marine | | | 431,330 | |
| | | | | | | | | | |
|
| Professional Services — 2.8% | |
| | 13,755 | | | | | Alight Inc., Class A Shares* | | | 108,389 | |
| | 16,637 | | | | | ASGN Inc.* | | | 1,608,798 | |
| | 504 | | | | | Atlas Technical Consultants Inc.* | | | 4,294 | |
| | 269 | | | | | Barrett Business Services Inc. | | | 21,692 | |
| | 5,490 | | | | | Booz Allen Hamilton Holding Corp., Class A Shares | | | 525,393 | |
| | 960 | | | | | CACI International Inc., Class A Shares* | | | 269,635 | |
| | 2,038 | | | | | CBIZ Inc.* | | | 88,979 | |
| | 19,707 | | | | | Clarivate PLC* | | | 229,981 | |
| | 26,036 | | | | | CoStar Group Inc.* | | | 1,813,147 | |
| | 256 | | | | | CRA International Inc. | | | 23,401 | |
| | 10,380 | | | | | Dun & Bradstreet Holdings Inc. | | | 147,915 | |
| | 2,104 | | | | | Exponent Inc. | | | 197,481 | |
| | 2,569 | | | | | First Advantage Corp.* | | | 35,555 | |
| | 386 | | | | | Forrester Research Inc.* | | | 16,054 | |
| | 463 | | | | | Franklin Covey Co.* | | | 22,025 | |
| | 11,335 | | | | | FTI Consulting Inc.* | | | 1,820,401 | |
| | 791 | | | | | Heidrick & Struggles International Inc. | | | 22,512 | |
| | 1,087 | | | | | HireRight Holdings Corp.* | | | 17,675 | |
See Notes to Financial Statements.
90
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| INDUSTRIALS — 18.7% — (continued) | |
|
| Professional Services — 2.8% — (continued) | |
| | 20,331 | | | | | Huron Consulting Group Inc.* | | $ | 1,360,144 | |
| | 785 | | | | | ICF International Inc. | | | 79,725 | |
| | 1,482 | | | | | Insperity Inc. | | | 161,568 | |
| | 5,889 | | | | | Jacobs Solutions Inc. | | | 733,652 | |
| | 62,587 | | | | | KBR Inc. | | | 3,022,952 | |
| | 1,238 | | | | | Kelly Services Inc., Class A Shares | | | 19,944 | |
| | 910 | | | | | Kforce Inc. | | | 49,795 | |
| | 2,182 | | | | | Korn Ferry | | | 132,927 | |
| | 3,876 | | | | | Legalzoom.com Inc.* | | | 39,923 | |
| | 2,247 | | | | | ManpowerGroup Inc. | | | 164,750 | |
| | 1,232 | | | | | ManTech International Corp., Class A Shares | | | 118,161 | |
| | 14,922 | | | | | Nielsen Holdings PLC | | | 415,428 | |
| | 6,673 | | | | | Planet Labs PBC* | | | 36,568 | |
| | 472 | | | | | Red Violet Inc.* | | | 8,963 | |
| | 1,137 | | | | | Resources Connection Inc. | | | 22,217 | |
| | 4,493 | | | | | Robert Half International Inc. | | | 345,826 | |
| | 2,329 | | | | | Science Applications International Corp. | | | 212,102 | |
| | 3,728 | | | | | Skillsoft Corp.* | | | 12,004 | |
| | 7,419 | | | | | Spire Global Inc.* | | | 10,016 | |
| | 1,196 | | | | | Sterling Check Corp.* | | | 25,451 | |
| | 1,528 | | | | | TriNet Group Inc.* | | | 125,907 | |
| | 1,401 | | | | | TrueBlue Inc.* | | | 28,777 | |
| | 4,938 | | | | | Upwork Inc.* | | | 85,921 | |
| | 4,697 | | | | | Verisk Analytics Inc., Class A Shares | | | 879,091 | |
| | 374 | | | | | Willdan Group Inc.* | | | 8,512 | |
| | | | | | | | | | |
| | | | | | Total Professional Services | | | 15,073,651 | |
| | | | | | | | | | |
|
| Road & Rail — 1.0% | |
| | 373 | | | | | AMERCO | | | 196,075 | |
| | 1,015 | | | | | ArcBest Corp. | | | 81,738 | |
| | 1,219 | | | | | Avis Budget Group Inc.* | | | 204,036 | |
| | 479 | | | | | Covenant Logistics Group Inc., Class A Shares | | | 13,469 | |
| | 1,348 | | | | | Daseke Inc.* | | | 8,169 | |
| | 1,655 | | | | | Heartland Express Inc. | | | 25,073 | |
| | 9,561 | | | | | Hertz Global Holdings Inc.*(a) | | | 176,496 | |
| | 20,305 | | | | | Knight-Swift Transportation Holdings Inc., Class A Shares | | | 1,025,606 | |
| | 1,537 | | | | | Landstar System Inc. | | | 225,370 | |
| | 12,751 | | | | | Lyft Inc., Class A Shares* | | | 187,822 | |
| | 2,623 | | | | | Marten Transport Ltd. | | | 51,962 | |
| | 4,927 | | | | | Old Dominion Freight Line Inc. | | | 1,337,237 | |
| | 234 | | | | | PAM Transportation Services Inc.* | | | 6,952 | |
| | 2,081 | | | | | Ryder System Inc. | | | 159,072 | |
| | 6,390 | | | | | Saia Inc.* | | | 1,321,644 | |
| | 2,139 | | | | | Schneider National Inc., Class B Shares | | | 48,898 | |
| | 6,050 | | | | | TuSimple Holdings Inc., Class A Shares* | | | 43,500 | |
| | 346 | | | | | Universal Logistics Holdings Inc. | | | 12,632 | |
| | 7,101 | | | | | Werner Enterprises Inc. | | | 282,549 | |
| | 4,258 | | | | | XPO Logistics Inc.* | | | 223,204 | |
| | | | | | | | | | |
| | | | | | Total Road & Rail | | | 5,631,504 | |
| | | | | | | | | | |
|
| Trading Companies & Distributors — 1.3% | |
| | 45,383 | | | | | AerCap Holdings NV* | | | 1,999,121 | |
| | 4,406 | | | | | Air Lease Corp., Class A Shares | | | 160,202 | |
| | 713 | | | | | Alta Equipment Group Inc. | | | 8,392 | |
| | 1,585 | | | | | Applied Industrial Technologies Inc. | | | 168,042 | |
See Notes to Financial Statements.
91
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| INDUSTRIALS — 18.7% — (continued) | |
|
| Trading Companies & Distributors — 1.3% — (continued) | |
| | 2,313 | | | | | Beacon Roofing Supply Inc.* | | $ | 127,007 | |
| | 407 | | | | | BlueLinx Holdings Inc.* | | | 28,531 | |
| | 1,674 | | | | | Boise Cascade Co. | | | 104,340 | |
| | 2,540 | | | | | Core & Main Inc., Class A Shares* | | | 59,868 | |
| | 2,528 | | | | | Custom Truck One Source Inc.* | | | 16,634 | |
| | 197 | | | | | Distribution Solutions Group Inc.* | | | 7,829 | |
| | 646 | | | | | DXP Enterprises Inc.* | | | 17,171 | |
| | 29,820 | | | | | Fastenal Co. | | | 1,500,841 | |
| | 1,452 | | | | | GATX Corp. | | | 140,278 | |
| | 459 | | | | | Global Industrial Co. | | | 13,807 | |
| | 1,754 | | | | | GMS Inc.* | | | 84,543 | |
| | 1,256 | | | | | H&E Equipment Services Inc. | | | 39,765 | |
| | 1,078 | | | | | Herc Holdings Inc. | | | 121,307 | |
| | 1,643 | | | | | Hudson Technologies Inc.* | | | 13,637 | |
| | 144 | | | | | Karat Packaging Inc.* | | | 2,576 | |
| | 996 | | | | | McGrath RentCorp | | | 84,182 | |
| | 3,414 | | | | | MRC Global Inc.* | | | 33,218 | |
| | 1,939 | | | | | MSC Industrial Direct Co., Inc., Class A Shares | | | 153,588 | |
| | 4,684 | | | | | NOW Inc.* | | | 56,770 | |
| | 1,796 | | | | | Rush Enterprises Inc., Class A Shares | | | 84,520 | |
| | 288 | | | | | Rush Enterprises Inc., Class B Shares | | | 14,584 | |
| | 8,377 | | | | | SiteOne Landscape Supply Inc.* | | | 1,048,465 | |
| | 2,032 | | | | | Textainer Group Holdings Ltd. | | | 61,732 | |
| | 701 | | | | | Titan Machinery Inc.* | | | 21,577 | |
| | 281 | | | | | Transcat Inc.* | | | 20,819 | |
| | 2,689 | | | | | Triton International Ltd. | | | 160,237 | |
| | 6,860 | | | | | Univar Solutions Inc.* | | | 173,009 | |
| | 605 | | | | | Veritiv Corp.* | | | 72,110 | |
| | 1,361 | | | | | Watsco Inc. | | | 370,233 | |
| | 1,853 | | | | | WESCO International Inc.* | | | 244,003 | |
| | | | | | | | | | |
| | | | | | Total Trading Companies & Distributors | | | 7,212,938 | |
| | | | | | | | | | |
| | | | | | TOTAL INDUSTRIALS | | | 101,454,326 | |
| | | | | | | | | | |
|
| INFORMATION TECHNOLOGY — 15.7% | |
|
| Communications Equipment — 1.5% | |
| | 2,885 | | | | | ADTRAN Holdings Inc. | | | 67,047 | |
| | 274 | | | | | Aviat Networks Inc.* | | | 8,576 | |
| | 62,697 | | | | | CalAmp Corp.* | | | 387,467 | |
| | 2,345 | | | | | Calix Inc.* | | | 138,003 | |
| | 368 | | | | | Cambium Networks Corp.* | | | 7,161 | |
| | 1,434 | | | | | Casa Systems Inc.*(a) | | | 5,564 | |
| | 49,149 | | | | | Ciena Corp.* | | | 2,493,820 | |
| | 486 | | | | | Clearfield Inc.* | | | 56,429 | |
| | 8,336 | | | | | CommScope Holding Co., Inc.* | | | 94,197 | |
| | 1,241 | | | | | Comtech Telecommunications Corp. | | | 14,011 | |
| | 1,549 | | | | | Digi International Inc.* | | | 51,287 | |
| | 734 | | | | | DZS Inc.* | | | 9,770 | |
| | 38,772 | | | | | EMCORE Corp.* | | | 92,277 | |
| | 5,384 | | | | | Extreme Networks Inc.* | | | 77,153 | |
| | 2,533 | | | | | F5 Inc.* | | | 397,833 | |
| | 3,450 | | | | | Harmonic Inc.* | | | 38,847 | |
| | 132,516 | | | | | Infinera Corp.*(a) | | | 726,188 | |
| | 3,004 | | | | | Inseego Corp.* | | | 8,111 | |
| | 13,429 | | | | | Juniper Networks Inc. | | | 381,652 | |
See Notes to Financial Statements.
92
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| INFORMATION TECHNOLOGY — 15.7% — (continued) | |
|
| Communications Equipment — 1.5% — (continued) | |
| | 2,883 | | | | | Lumentum Holdings Inc.* | | $ | 240,875 | |
| | 983 | | | | | NETGEAR Inc.* | | | 23,189 | |
| | 2,924 | | | | | NetScout Systems Inc.* | | | 92,808 | |
| | 1,581 | | | | | Ondas Holdings Inc.* | | | 7,462 | |
| | 15,078 | | | | | Radware Ltd.* | | | 323,574 | |
| | 194,947 | | | | | Ribbon Communications* (Restricted, cost - $594,588, acquired 08/16/22) (j) | | | 641,376 | |
| | 70,462 | | | | | Ribbon Communications Inc.* | | | 247,322 | |
| | 22,206 | | | | | ViaSat Inc.* | | | 843,384 | |
| | 58,063 | | | | | Viavi Solutions Inc.* | | | 817,527 | |
| | | | | | | | | | |
| | | | | | Total Communications Equipment | | | 8,292,910 | |
| | | | | | | | | | |
|
| Electronic Equipment, Instruments & Components — 2.6% | |
| | 742 | | | | | 908 Devices Inc.* | | | 14,951 | |
| | 16,175 | | | | | Advanced Energy Industries Inc. | | | 1,452,353 | |
| | 3,973 | | | | | Aeva Technologies Inc.* | | | 12,237 | |
| | 1,778 | | | | | Akoustis Technologies Inc.* | | | 7,788 | |
| | 16,382 | | | | | Amphenol Corp., Class A Shares | | | 1,204,569 | |
| | 3,752 | | | | | Arlo Technologies Inc.* | | | 22,850 | |
| | 2,729 | | | | | Arrow Electronics Inc.* | | | 286,027 | |
| | 4,003 | | | | | Avnet Inc. | | | 175,692 | |
| | 1,177 | | | | | Badger Meter Inc. | | | 111,450 | |
| | 20,420 | | | | | Belden Inc. | | | 1,337,102 | |
| | 1,432 | | | | | Benchmark Electronics Inc. | | | 39,308 | |
| | 7,193 | | | | | Cognex Corp. | | | 302,897 | |
| | 1,466 | | | | | CTS Corp. | | | 62,041 | |
| | 1,098 | | | | | ePlus Inc.* | | | 51,738 | |
| | 3,860 | | | | | Evolv Technologies Holdings Inc.* | | | 8,762 | |
| | 1,506 | | | | | Fabrinet* | | | 154,877 | |
| | 684 | | | | | FARO Technologies Inc.* | | | 22,948 | |
| | 772 | | | | | Focus Universal Inc.* | | | 8,299 | |
| | 710 | | | | | Identiv Inc.* | | | 10,593 | |
| | 11,991 | | | | | II-VI Inc.*(a) | | | 566,335 | |
| | 47,821 | | | | | Innoviz Technologies Ltd.*(a) | | | 240,061 | |
| | 1,376 | | | | | Insight Enterprises Inc.* | | | 125,381 | |
| | 6,187 | | | | | IPG Photonics Corp.* | | | 560,480 | |
| | 32,794 | | | | | Itron Inc.* | | | 1,560,339 | |
| | 5,723 | | | | | Jabil Inc. | | | 345,097 | |
| | 906 | | | | | Kimball Electronics Inc.* | | | 19,515 | |
| | 52,849 | | | | | Knowles Corp.* | | | 800,662 | |
| | 4,756 | | | | | Lightwave Logic Inc.* | | | 37,905 | |
| | 1,011 | | | | | Littelfuse Inc. | | | 239,829 | |
| | 1,444 | | | | | Methode Electronics Inc. | | | 58,424 | |
| | 7,455 | | | | | MicroVision Inc.*(a) | | | 36,082 | |
| | 6,032 | | | | | Mirion Technologies Inc.* | | | 45,662 | |
| | 1,072 | | | | | Napco Security Technologies Inc.* | | | 31,796 | |
| | 5,455 | | | | | National Instruments Corp. | | | 216,891 | |
| | 10,598 | | | | | nLight Inc.* | | | 132,369 | |
| | 1,477 | | | | | Novanta Inc.* | | | 197,460 | |
| | 6,556 | | | | | OSI Systems Inc.* | | | 546,246 | |
| | 5,150 | | | | | Ouster Inc.* | | | 7,725 | |
| | 1,140 | | | | | PAR Technology Corp.* | | | 40,128 | |
| | 556 | | | | | PC Connection Inc. | | | 27,622 | |
| | 1,152 | | | | | Plexus Corp.* | | | 107,977 | |
| | 2,402 | | | | | Rogers Corp.* | | | 601,749 | |
| | 2,558 | | | | | Sanmina Corp.* | | | 124,114 | |
See Notes to Financial Statements.
93
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| INFORMATION TECHNOLOGY — 15.7% — (continued) | |
|
| Electronic Equipment, Instruments & Components — 2.6% — (continued) | |
| | 977 | | | | | ScanSource Inc.* | | $ | 28,304 | |
| | 5,277 | | | | | SmartRent Inc., Class A Shares*(a) | | | 17,045 | |
| | 1,764 | | | | | TD SYNNEX Corp. | | | 169,838 | |
| | 3,271 | | | | | Teledyne Technologies Inc.* | | | 1,204,906 | |
| | 4,102 | | | | | TTM Technologies Inc.* | | | 64,525 | |
| | 11,385 | | | | | Velodyne Lidar Inc.*(a) | | | 14,231 | |
| | 5,333 | | | | | Vishay Intertechnology Inc. | | | 104,900 | |
| | 436 | | | | | Vishay Precision Group Inc.* | | | 14,959 | |
| | 6,809 | | | | | Vontier Corp. | | | 149,253 | |
| | | | | | | | | | |
| | | | | | Total Electronic Equipment, Instruments & Components | | | 13,724,292 | |
| | | | | | | | | | |
|
| IT Services — 2.7% | |
| | 7,284 | | | | | Affirm Holdings Inc., Class A Shares*(a) | | | 170,664 | |
| | 5,066 | | | | | Amdocs Ltd. | | | 432,991 | |
| | 6,185 | | | | | AvidXchange Holdings Inc.* | | | 48,181 | |
| | 2,809 | | | | | BigCommerce Holdings Inc.* | | | 46,826 | |
| | 1,407 | | | | | Brightcove Inc.* | | | 9,342 | |
| | 2,077 | | | | | Cantaloupe Inc.* | | | 13,231 | |
| | 515 | | | | | Cass Information Systems Inc. | | | 18,890 | |
| | 1,973 | | | | | Cerberus Cyber Sentinel Corp.* | | | 5,367 | |
| | 1,783 | | | | | Concentrix Corp. | | | 224,266 | |
| | 222,864 | | | | | Conduent Inc.* | | | 911,514 | |
| | 9,734 | | | | | Core Scientific Inc.* | | | 21,415 | |
| | 1,389 | | | | | CSG Systems International Inc. | | | 80,354 | |
| | 1,574 | | | | | Cyxtera Technologies Inc.* | | | 9,979 | |
| | 3,093 | | | | | DigitalOcean Holdings Inc.*(a) | | | 130,184 | |
| | 10,166 | | | | | DXC Technology Co.* | | | 251,913 | |
| | 4,565 | | | | | Edgio Inc.* | | | 16,799 | |
| | 9,600 | | | | | Euronet Worldwide Inc.* | | | 851,136 | |
| | 2,551 | | | | | EVERTEC Inc. | | | 85,714 | |
| | 2,201 | | | | | Evo Payments Inc., Class A Shares* | | | 73,337 | |
| | 1,326 | | | | | ExlService Holdings Inc.* | | | 222,383 | |
| | 4,766 | | | | | Fastly Inc., Class A Shares* | | | 44,562 | |
| | 40,541 | | | | | Flywire Corp.* | | | 1,007,849 | |
| | 4,467 | | | | | Gartner Inc.* | | | 1,274,524 | |
| | 7,393 | | | | | Genpact Ltd. | | | 347,323 | |
| | 1,697 | | | | | Globant SA* | | | 357,677 | |
| | 2,280 | | | | | Grid Dynamics Holdings Inc.* | | | 46,079 | |
| | 1,227 | | | | | Hackett Group Inc. (The) | | | 25,190 | |
| | 970 | | | | | I3 Verticals Inc., Class A Shares* | | | 22,659 | |
| | 220 | | | | | IBEX Holdings Ltd.* | | | 3,711 | |
| | 1,768 | | | | | Information Services Group Inc. | | | 10,201 | |
| | 1,302 | | | | | International Money Express Inc.* | | | 29,165 | |
| | 3,031 | | | | | Jack Henry & Associates Inc. | | | 582,558 | |
| | 64,105 | | | | | Kyndryl Holdings Inc.* | | | 667,974 | |
| | 17,834 | | | | | Marqeta Inc., Class A Shares* | | | 138,927 | |
| | 2,543 | | | | | Maximus Inc. | | | 154,080 | |
| | 3,863 | | | | | MoneyGram International Inc.* | | | 39,789 | |
| | 4,544 | | | | | Okta Inc., Class A Shares* | | | 415,322 | |
| | 3,933 | | | | | Paya Holdings Inc.* | | | 24,660 | |
| | 9,488 | | | | | Payoneer Global Inc.* | | | 62,811 | |
| | 15,021 | | | | | Paysafe Ltd.* | | | 24,785 | |
| | 1,439 | | | | | Perficient Inc.* | | | 112,386 | |
| | 864 | | | | | PFSweb Inc.* | | | 8,173 | |
| | 482 | | | | | Priority Technology Holdings Inc.* | | | 1,928 | |
See Notes to Financial Statements.
94
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| INFORMATION TECHNOLOGY — 15.7% — (continued) | |
|
| IT Services — 2.7% — (continued) | |
| | 1,997 | | | | | Rackspace Technology Inc.* | | $ | 8,907 | |
| | 3,615 | | | | | Remitly Global Inc.* | | | 39,765 | |
| | 3,807 | | | | | Repay Holdings Corp., Class A Shares* | | | 35,367 | |
| | 13,750 | | | | | Sabre Corp.* | | | 98,863 | |
| | 24,687 | | | | | Shift4 Payments Inc., Class A Shares* | | | 1,118,074 | |
| | 2,410 | | | | | SolarWinds Corp.* | | | 21,859 | |
| | 1,335 | | | | | Squarespace Inc., Class A Shares* | | | 28,035 | |
| | 11,470 | | | | | StoneCo Ltd., Class A Shares* | | | 108,736 | |
| | 5,895 | | | | | Switch Inc., Class A Shares | | | 200,135 | |
| | 3,619 | | | | | Thoughtworks Holding Inc.* | | | 47,626 | |
| | 9,373 | | | | | Toast Inc., Class A Shares* | | | 177,431 | |
| | 793 | | | | | TTEC Holdings Inc. | | | 41,514 | |
| | 342 | | | | | Tucows Inc., Class A Shares* | | | 16,071 | |
| | 76,551 | | | | | Unisys Corp.* | | | 712,690 | |
| | 6,063 | | | | | Verra Mobility Corp., Class A Shares* | | | 96,644 | |
| | 15,949 | | | | | Western Union Co. (The) | | | 236,364 | |
| | 1,853 | | | | | WEX Inc.* | | | 285,825 | |
| | 5,462 | | | | | Wix.com Ltd.* | | | 345,690 | |
| | 22,636 | | | | | WNS Holdings Ltd., ADR* | | | 1,907,083 | |
| | | | | | | | | | |
| | | | | | Total IT Services | | | 14,553,498 | |
| | | | | | | | | | |
|
| Semiconductors & Semiconductor Equipment — 2.3% | |
| | 2,071 | | | | | ACM Research Inc., Class A Shares* | | | 34,979 | |
| | 2,135 | | | | | Allegro MicroSystems Inc.* | | | 49,788 | |
| | 906 | | | | | Alpha & Omega Semiconductor Ltd.* | | | 35,026 | |
| | 1,531 | | | | | Ambarella Inc.* | | | 103,924 | |
| | 4,065 | | | | | Amkor Technology Inc. | | | 81,828 | |
| | 1,877 | | | | | Applied Materials Inc. | | | 176,569 | |
| | 785 | | | | | Atomera Inc.* | | | 10,150 | |
| | 1,358 | | | | | Axcelis Technologies Inc.* | | | 90,905 | |
| | 1,631 | | | | | AXT Inc.* | | | 14,010 | |
| | 9,417 | | | | | CEVA Inc.* | | | 275,636 | |
| | 2,375 | | | | | Cirrus Logic Inc.* | | | 182,139 | |
| | 2,014 | | | | | Cohu Inc.* | | | 54,036 | |
| | 873 | | | | | Credo Technology Group Holding Ltd.* | | | 12,039 | |
| | 333 | | | | | CyberOptics Corp.* | | | 17,729 | |
| | 1,843 | | | | | Diodes Inc.* | | | 131,166 | |
| | 7,432 | | | | | Entegris Inc. | | | 705,148 | |
| | 4,429 | | | | | First Solar Inc.* | | | 564,919 | |
| | 3,221 | | | | | FormFactor Inc.* | | | 94,311 | |
| | 1,190 | | | | | Ichor Holdings Ltd.* | | | 36,557 | |
| | 903 | | | | | Impinj Inc.* | | | 80,620 | |
| | 4,550 | | | | | indie Semiconductor Inc., Class A Shares* | | | 38,721 | |
| | 2,441 | | | | | Kulicke & Soffa Industries Inc. | | | 102,620 | |
| | 5,661 | | | | | Lattice Semiconductor Corp.*(a) | | | 305,128 | |
| | 53,670 | | | | | MACOM Technology Solutions Holdings Inc.* | | | 2,959,900 | |
| | 15,489 | | | | | MaxLinear Inc., Class A Shares* | | | 556,520 | |
| | 10,269 | | | | | MKS Instruments Inc. | | | 1,022,895 | |
| | 2,049 | | | | | Onto Innovation Inc.* | | | 145,459 | |
| | 1,170 | | | | | PDF Solutions Inc.* | | | 30,865 | |
| | 2,583 | | | | | Photronics Inc.* | | | 43,394 | |
| | 2,417 | | | | | Power Integrations Inc. | | | 172,888 | |
| | 60,517 | | | | | Rambus Inc.* | | | 1,560,733 | |
| | 2,232 | | | | | Rigetti Computing Inc.* | | | 8,883 | |
| | 5,083 | | | | | Rockley Photonics Holdings Ltd.*(a) | | | 7,218 | |
See Notes to Financial Statements.
95
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| INFORMATION TECHNOLOGY — 15.7% — (continued) | |
|
| Semiconductors & Semiconductor Equipment — 2.3% — (continued) | |
| | 2,665 | | | | | Semtech Corp.* | | $ | 123,096 | |
| | 1,479 | | | | | Silicon Laboratories Inc.* | | | 185,363 | |
| | 1,863 | | | | | SiTime Corp.* | | | 198,242 | |
| | 316 | | | | | SkyWater Technology Inc.* | | | 4,108 | |
| | 1,972 | | | | | SMART Global Holdings Inc.* | | | 36,186 | |
| | 1,649 | | | | | Synaptics Inc.* | | | 190,641 | |
| | 1,545 | | | | | Transphorm Inc.* | | | 8,575 | |
| | 1,789 | | | | | Ultra Clean Holdings Inc.* | | | 52,364 | |
| | 1,821 | | | | | Universal Display Corp. | | | 203,460 | |
| | 57,395 | | | | | Veeco Instruments Inc.* | | | 1,213,330 | |
| | 4,794 | | | | | Wolfspeed Inc.* | | | 543,975 | |
| | | | | | | | | | |
| | | | | | Total Semiconductors & Semiconductor Equipment | | | 12,466,043 | |
| | | | | | | | | | |
|
| Software — 6.2% | |
| | 4,737 | | | | | 8x8 Inc.* | | | 24,680 | |
| | 2,659 | | | | | A10 Networks Inc. | | | 36,960 | |
| | 38,797 | | | | | ACI Worldwide Inc.* | | | 919,489 | |
| | 831 | | | | | Agilysys Inc.* | | | 43,021 | |
| | 2,060 | | | | | Alarm.com Holdings Inc.* | | | 137,196 | |
| | 1,757 | | | | | Alkami Technology Inc.* | | | 25,477 | |
| | 2,123 | | | | | Altair Engineering Inc., Class A Shares* | | | 110,417 | |
| | 2,462 | | | | | Alteryx Inc., Class A Shares* | | | 153,432 | |
| | 1,110 | | | | | American Software Inc., Class A Shares | | | 18,792 | |
| | 2,380 | | | | | Amplitude Inc., Class A Shares* | | | 36,057 | |
| | 7,264 | | | | | ANSYS Inc.* | | | 1,803,651 | |
| | 765 | | | | | Appfolio Inc., Class A Shares* | | | 77,556 | |
| | 1,715 | | | | | Appian Corp., Class A Shares* | | | 80,433 | |
| | 9,248 | | | | | AppLovin Corp., Class A Shares* | | | 227,778 | |
| | 476 | | | | | Arteris Inc.* | | | 3,389 | |
| | 2,990 | | | | | Asana Inc., Class A Shares* | | | 57,258 | |
| | 4,188 | | | | | Aspen Technology Inc.* | | | 881,993 | |
| | 2,765 | | | | | Atlassian Corp. PLC, Class A Shares* | | | 684,780 | |
| | 3,624 | | | | | Avalara Inc.* | | | 331,922 | |
| | 3,677 | | | | | Avaya Holdings Corp.* | | | 5,846 | |
| | 5,767 | | | | | AvePoint Inc.* | | | 26,990 | |
| | 1,035 | | | | | Benefitfocus Inc.* | | | 7,669 | |
| | 7,102 | | | | | Bentley Systems Inc., Class B Shares | | | 261,141 | |
| | 4,057 | | | | | Bill.com Holdings Inc.* | | | 656,747 | |
| | 6,483 | | | | | Black Knight Inc.* | | | 428,915 | |
| | 1,984 | | | | | Blackbaud Inc.* | | | 103,763 | |
| | 29,613 | | | | | Blackline Inc.* | | | 2,011,907 | |
| | 8,091 | | | | | Blend Labs Inc., Class A Shares*(a) | | | 25,487 | |
| | 62,444 | | | | | Box Inc., Class A Shares* | | | 1,607,933 | |
| | 16,160 | | | | | Braze Inc., Class A Shares*(a) | | | 665,469 | |
| | 4,171 | | | | | BTRS Holdings Inc., Class 1 Shares* | | | 28,196 | |
| | 2,882 | | | | | C3.ai Inc., Class A Shares* | | | 51,876 | |
| | 6,888 | | | | | CCC Intelligent Solutions Holdings Inc.* | | | 65,849 | |
| | 12,219 | | | | | Cerence Inc.* | | | 244,502 | |
| | 5,700 | | | | | Ceridian HCM Holding Inc.* | | | 339,948 | |
| | 1,008 | | | | | ChannelAdvisor Corp.* | | | 15,211 | |
| | 1,907 | | | | | Cleanspark Inc.* | | | 8,162 | |
| | 2,564 | | | | | Clear Secure Inc., Class A Shares* | | | 58,818 | |
| | 72,319 | | | | | Cognyte Software Ltd.* | | | 377,505 | |
| | 1,816 | | | | | CommVault Systems Inc.* | | | 98,591 | |
| | 5,117 | | | | | Confluent Inc., Class A Shares* | | | 140,001 | |
See Notes to Financial Statements.
96
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| INFORMATION TECHNOLOGY — 15.7% — (continued) | |
|
| Software — 6.2% — (continued) | |
| | 637 | | | | | Consensus Cloud Solutions Inc.* | | $ | 32,073 | |
| | 987 | | | | | Couchbase Inc.* | | | 16,374 | |
| | 12,655 | | | | | Coupa Software Inc.* | | | 739,052 | |
| | 4,743 | | | | | Crowdstrike Holdings Inc., Class A Shares* | | | 866,119 | |
| | 934 | | | | | CS Disco Inc.* | | | 12,889 | |
| | 3,585 | | | | | Cvent Holding Corp., Class A Shares* | | | 18,140 | |
| | 448 | | | | | Digimarc Corp.* | | | 7,983 | |
| | 3,727 | | | | | Digital Turbine Inc.* | | | 68,838 | |
| | 2,692 | | | | | Dolby Laboratories Inc., Class A Shares | | | 197,162 | |
| | 1,305 | | | | | Domo Inc., Class B Shares* | | | 25,134 | |
| | 2,751 | | | | | DoubleVerify Holdings Inc.* | | | 71,113 | |
| | 11,792 | | | | | Dropbox Inc., Class A Shares* | | | 252,231 | |
| | 3,313 | | | | | Duck Creek Technologies Inc.* | | | 39,425 | |
| | 8,320 | | | | | Dynatrace Inc.* | | | 317,658 | |
| | 8,162 | | | | | E2open Parent Holdings Inc.* | | | 56,073 | |
| | 1,155 | | | | | Ebix Inc.(a) | | | 30,053 | |
| | 816 | | | | | eGain Corp.* | | | 7,515 | |
| | 3,179 | | | | | Elastic NV* | | | 266,750 | |
| | 721 | | | | | Enfusion Inc., Class A Shares* | | | 8,933 | |
| | 1,508 | | | | | EngageSmart Inc.* | | | 30,115 | |
| | 1,579 | | | | | Envestnet Inc.* | | | 82,692 | |
| | 1,595 | | | | | Everbridge Inc.* | | | 63,449 | |
| | 1,280 | | | | | EverCommerce Inc.* | | | 14,899 | |
| | 1,045 | | | | | Fair Isaac Corp.* | | | 469,623 | |
| | 2,909 | | | | | Five9 Inc.* | | | 285,402 | |
| | 1,193 | | | | | ForgeRock Inc., Class A Shares* | | | 20,353 | |
| | 18,928 | | | | | Guidewire Software Inc.* | | | 1,357,327 | |
| | 1,329 | | | | | Informatica Inc., Class A Shares*(a) | | | 29,331 | |
| | 909 | | | | | Instructure Holdings Inc.* | | | 20,662 | |
| | 660 | | | | | Intapp Inc.* | | | 9,563 | |
| | 1,330 | | | | | InterDigital Inc. | | | 66,713 | |
| | 4,052 | | | | | IronNet Inc.* | | | 8,185 | |
| | 2,669 | | | | | Jamf Holding Corp.* | | | 63,923 | |
| | 2,971 | | | | | KnowBe4 Inc., Class A Shares* | | | 57,103 | |
| | 2,814 | | | | | LivePerson Inc.* | | | 32,642 | |
| | 2,876 | | | | | LiveRamp Holdings Inc.* | | | 57,089 | |
| | 9,596 | | | | | Mandiant Inc.* | | | 219,365 | |
| | 2,610 | | | | | Manhattan Associates Inc.* | | | 368,689 | |
| | 4,354 | | | | | Marathon Digital Holdings Inc.*(a) | | | 51,595 | |
| | 9,476 | | | | | Matterport Inc.* | | | 43,684 | |
| | 971 | | | | | MeridianLink Inc.*(a) | | | 16,866 | |
| | 401 | | | | | MicroStrategy Inc., Class A Shares*(a) | | | 92,856 | |
| | 1,693 | | | | | Mitek Systems Inc.* | | | 17,302 | |
| | 1,388 | | | | | Model N Inc.* | | | 41,501 | |
| | 5,318 | | | | | Momentive Global Inc.* | | | 37,705 | |
| | 2,866 | | | | | N-able Inc.* | | | 28,545 | |
| | 2,487 | | | | | nCino Inc.* | | | 78,440 | |
| | 33,560 | | | | | NCR Corp.* | | | 1,042,038 | |
| | 11,772 | | | | | New Relic Inc.* | | | 714,678 | |
| | 2,530 | | | | | NextNav Inc.* | | | 8,577 | |
| | 23,423 | | | | | NortonLifeLock Inc. | | | 529,126 | |
| | 8,720 | | | | | Nutanix Inc., Class A Shares* | | | 150,856 | |
| | 3,956 | | | | | Olo Inc., Class A Shares* | | | 30,896 | |
| | 1,945 | | | | | ON24 Inc.* | | | 17,427 | |
| | 29,262 | | | | | OneSpan Inc.* | | | 336,806 | |
| | 3,533 | | | | | PagerDuty Inc.* | | | 91,999 | |
See Notes to Financial Statements.
97
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| INFORMATION TECHNOLOGY — 15.7% — (continued) | |
|
| Software — 6.2% — (continued) | |
| | 1,929 | | | | | Paycor HCM Inc.* | | $ | 57,156 | |
| | 1,660 | | | | | Paylocity Holding Corp.* | | | 400,060 | |
| | 1,759 | | | | | Pegasystems Inc. | | | 64,397 | |
| | 3,278 | | | | | Ping Identity Holding Corp.* | | | 92,243 | |
| | 2,921 | | | | | Procore Technologies Inc.* | | | 159,487 | |
| | 1,819 | | | | | Progress Software Corp. | | | 87,548 | |
| | 29,547 | | | | | PROS Holdings Inc.* | | | 616,055 | |
| | 4,366 | | | | | PTC Inc.* | | | 501,610 | |
| | 2,307 | | | | | Q2 Holdings Inc.* | | | 91,634 | |
| | 1,623 | | | | | Qualys Inc.* | | | 246,534 | |
| | 2,453 | | | | | Rapid7 Inc.* | | | 141,047 | |
| | 1,777 | | | | | Rimini Street Inc.* | | | 8,956 | |
| | 3,520 | | | | | RingCentral Inc., Class A Shares* | | | 151,501 | |
| | 4,307 | | | | | Riot Blockchain Inc.*(a) | | | 30,881 | |
| | 64,640 | | | | | Samsara Inc., Class A Shares*(a) | | | 961,197 | |
| | 1,437 | | | | | Sapiens International Corp. NV | | | 31,786 | |
| | 323 | | | | | SecureWorks Corp., Class A Shares* | | | 3,359 | |
| | 7,071 | | | | | SentinelOne Inc., Class A Shares* | | | 193,109 | |
| | 355 | | | | | ShotSpotter Inc.* | | | 11,584 | |
| | 30,485 | | | | | Smartsheet Inc., Class A Shares* | | | 1,014,236 | |
| | 12,276 | | | | | Sprout Social Inc., Class A Shares* | | | 737,051 | |
| | 1,522 | | | | | SPS Commerce Inc.* | | | 185,867 | |
| | 3,484 | | | | | Sumo Logic Inc.* | | | 30,590 | |
| | 2,608 | | | | | Telos Corp.* | | | 25,819 | |
| | 4,627 | | | | | Tenable Holdings Inc.* | | | 183,275 | |
| | 4,395 | | | | | Teradata Corp.* | | | 144,595 | |
| | 1,813 | | | | | Tyler Technologies Inc.* | | | 673,548 | |
| | 15,387 | | | | | UiPath Inc., Class A Shares* | | | 253,116 | |
| | 1,012 | | | | | Upland Software Inc.* | | | 10,596 | |
| | 2,156 | | | | | UserTesting Inc.* | | | 8,969 | |
| | 4,611 | | | | | Varonis Systems Inc., Class B Shares* | | | 126,111 | |
| | 24,592 | | | | | Verint Systems Inc.* | | | 1,192,466 | |
| | 1,052 | | | | | Veritone Inc.*(a) | | | 7,732 | |
| | 490 | | | | | Viant Technology Inc., Class A Shares* | | | 2,215 | |
| | 3,329 | | | | | WM Technology Inc.* | | | 8,722 | |
| | 10,518 | | | | | Workiva Inc., Class A Shares* | | | 714,067 | |
| | 97,961 | | | | | Xperi Holding Corp. | | | 1,558,560 | |
| | 4,508 | | | | | Yext Inc.* | | | 20,061 | |
| | 5,023 | | | | | Zendesk Inc.* | | | 385,616 | |
| | 2,099 | | | | | Zeta Global Holdings Corp., Class A Shares* | | | 14,693 | |
| | 4,721 | | | | | Zuora Inc., Class A Shares* | | | 36,257 | |
| | | | | | | | | | |
| | | | | | Total Software | | | 33,690,650 | |
| | | | | | | | | | |
|
| Technology Hardware, Storage & Peripherals — 0.4% | |
| | 4,972 | | | | | 3D Systems Corp.* | | | 50,366 | |
| | 1,452 | | | | | Avid Technology Inc.* | | | 39,712 | |
| | 1,929 | | | | | Corsair Gaming Inc.*(a) | | | 29,687 | |
| | 45,631 | | | | | Diebold Nixdorf Inc.* | | | 158,796 | |
| | 1,829 | | | | | Eastman Kodak Co.* | | | 9,895 | |
| | 5,188 | | | | | IonQ Inc.* | | | 30,817 | |
| | 11,806 | | | | | Pure Storage Inc., Class A Shares* | | | 342,020 | |
| | 371,693 | | | | | Quantum Corp.* | | | 583,558 | |
| | 46,722 | | | | | Stratasys Ltd.* | | | 806,422 | |
| | 1,932 | | | | | Super Micro Computer Inc.* | | | 125,735 | |
| | 602 | | | | | Turtle Beach Corp.* | | | 5,653 | |
See Notes to Financial Statements.
98
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| INFORMATION TECHNOLOGY — 15.7% — (continued) | |
|
| Technology Hardware, Storage & Peripherals — 0.4% — (continued) | |
| | 5,118 | | | | | Xerox Holdings Corp. | | $ | 85,061 | |
| | | | | | | | | | |
| | | | | | Total Technology Hardware, Storage & Peripherals | | | 2,267,722 | |
| | | | | | | | | | |
| | | | | | TOTAL INFORMATION TECHNOLOGY | | | 84,995,115 | |
| | | | | | | | | | |
|
| MATERIALS — 5.4% | |
|
| Chemicals — 2.2% | |
| | 1,071 | | | | | AdvanSix Inc. | | | 38,834 | |
| | 1,778 | | | | | Albemarle Corp. | | | 476,433 | |
| | 1,145 | | | | | American Vanguard Corp. | | | 22,820 | |
| | 7,597 | | | | | Amyris Inc.* | | | 22,335 | |
| | 2,127 | | | | | Ashland Inc. | | | 216,444 | |
| | 1,017 | | | | | Aspen Aerogels Inc.* | | | 13,231 | |
| | 25,144 | | | | | Avient Corp. | | | 1,102,062 | |
| | 36,353 | | | | | Axalta Coating Systems Ltd.* | | | 936,090 | |
| | 1,314 | | | | | Balchem Corp. | | | 173,212 | |
| | 2,337 | | | | | Cabot Corp. | | | 168,194 | |
| | 339 | | | | | Chase Corp. | | | 29,886 | |
| | 6,395 | | | | | Chemours Co. (The) | | | 215,703 | |
| | 3,418 | | | | | Danimer Scientific Inc.*(a) | | | 15,210 | |
| | 2,829 | | | | | Diversey Holdings Ltd.* | | | 17,342 | |
| | 3,210 | | | | | DuPont de Nemours Inc. | | | 178,604 | |
| | 13,021 | | | | | Ecolab Inc. | | | 2,133,230 | |
| | 2,511 | | | | | Ecovyst Inc.* | | | 23,202 | |
| | 9,713 | | | | | Element Solutions Inc. | | | 181,342 | |
| | 1,005 | | | | | FutureFuel Corp. | | | 7,326 | |
| | 73,103 | | | | | GCP Applied Technologies Inc.* | | | 2,296,896 | |
| | 34,430 | | | | | Ginkgo Bioworks Holdings Inc.*(a) | | | 92,617 | |
| | 837 | | | | | Hawkins Inc. | | | 32,074 | |
| | 2,229 | | | | | HB Fuller Co. | | | 144,573 | |
| | 8,361 | | | | | Huntsman Corp. | | | 234,275 | |
| | 1,637 | | | | | Ingevity Corp.* | | | 114,819 | |
| | 1,043 | | | | | Innospec Inc. | | | 97,479 | |
| | 375 | | | | | Intrepid Potash Inc.* | | | 17,524 | |
| | 733 | | | | | Koppers Holdings Inc. | | | 16,734 | |
| | 772 | | | | | Kronos Worldwide Inc. | | | 9,943 | |
| | 6,641 | | | | | Livent Corp.*(a) | | | 213,707 | |
| | 1,260 | | | | | LSB Industries Inc.* | | | 19,883 | |
| | 2,222 | | | | | Mativ Holdings Inc. | | | 52,484 | |
| | 1,365 | | | | | Minerals Technologies Inc. | | | 79,525 | |
| | 267 | | | | | NewMarket Corp. | | | 76,685 | |
| | 5,771 | | | | | Olin Corp. | | | 315,443 | |
| | 4,738 | | | | | Origin Materials Inc.* | | | 29,613 | |
| | 2,349 | | | | | Orion Engineered Carbons SA | | | 39,604 | |
| | 5,023 | | | | | Perimeter Solutions SA* | | | 48,974 | |
| | 4,534 | | | | | PureCycle Technologies Inc.* | | | 41,395 | |
| | 578 | | | | | Quaker Chemical Corp. | | | 100,757 | |
| | 2,153 | | | | | Rayonier Advanced Materials Inc.* | | | 9,732 | |
| | 5,283 | | | | | RPM International Inc. | | | 492,164 | |
| | 1,656 | | | | | Scotts Miracle-Gro Co. (The) | | | 110,869 | |
| | 1,749 | | | | | Sensient Technologies Corp. | | | 139,343 | |
| | 955 | | | | | Stepan Co. | | | 99,540 | |
| | 1,116 | | | | | Tredegar Corp. | | | 11,394 | |
| | 1,590 | | | | | Trinseo PLC | | | 42,183 | |
| | 60,327 | | | | | Tronox Holdings PLC, Class A Shares | | | 882,584 | |
| | 115 | | | | | Valhi Inc. | | | 4,018 | |
See Notes to Financial Statements.
99
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| MATERIALS — 5.4% — (continued) | |
|
| Chemicals — 2.2% — (continued) | |
| | 7,372 | | | | | Valvoline Inc. | | $ | 214,304 | |
| | | | | | | | | | |
| | | | | | Total Chemicals | | | 12,052,635 | |
| | | | | | | | | | |
|
| Construction Materials — 0.4% | |
| | 1,625 | | | | | Eagle Materials Inc. | | | 194,382 | |
| | 24,187 | | | | | Summit Materials Inc., Class A Shares* | | | 687,394 | |
| | 78 | | | | | United States Lime & Minerals Inc. | | | 8,018 | |
| | 8,251 | | | | | Vulcan Materials Co. | | | 1,373,709 | |
| | | | | | | | | | |
| | | | | | Total Construction Materials | | | 2,263,503 | |
| | | | | | | | | | |
|
| Containers & Packaging — 1.6% | |
| | 19,717 | | | | | AptarGroup Inc. | | | 2,027,105 | |
| | 765 | | | | | Ardagh Group SA, Class A Shares(b)(c) | | | 9,069 | |
| | 6,386 | | | | | Ardagh Metal Packaging SA | | | 39,274 | |
| | 11,267 | | | | | Avery Dennison Corp. | | | 2,068,846 | |
| | 5,443 | | | | | Berry Global Group Inc.* | | | 295,718 | |
| | 21,813 | | | | | Crown Holdings Inc. | | | 1,976,040 | |
| | 839 | | | | | Cryptdyde Inc.* | | | 660 | |
| | 12,620 | | | | | Graphic Packaging Holding Co. | | | 281,047 | |
| | 1,135 | | | | | Greif Inc., Class A Shares | | | 76,102 | |
| | 197 | | | | | Greif Inc., Class B Shares | | | 12,858 | |
| | 1,658 | | | | | Myers Industries Inc. | | | 32,033 | |
| | 6,384 | | | | | O-I Glass Inc.* | | | 83,056 | |
| | 3,853 | | | | | Packaging Corp. of America | | | 527,553 | |
| | 1,500 | | | | | Pactiv Evergreen Inc. | | | 16,650 | |
| | 32,397 | | | | | Ranpak Holdings Corp., Class A Shares* | | | 171,380 | |
| | 6,034 | | | | | Sealed Air Corp. | | | 324,690 | |
| | 12,806 | | | | | Silgan Holdings Inc. | | | 583,313 | |
| | 4,000 | | | | | Sonoco Products Co. | | | 252,080 | |
| | 1,669 | | | | | TriMas Corp. | | | 45,931 | |
| | | | | | | | | | |
| | | | | | Total Containers & Packaging | | | 8,823,405 | |
| | | | | | | | | | |
|
| Metals & Mining — 1.1% | |
| | 1,518 | | | | | 5E Advanced Materials Inc.* | | | 22,770 | |
| | 83,334 | | | | | Alamos Gold Inc., Class A Shares | | | 599,171 | |
| | 7,614 | | | | | Alcoa Corp. | | | 376,741 | |
| | 726 | | | | | Alpha Metallurgical Resources Inc. | | | 114,091 | |
| | 4,159 | | | | | Arconic Corp.* | | | 104,848 | |
| | 5,109 | | | | | ATI Inc.* | | | 152,912 | |
| | 2,078 | | | | | Carpenter Technology Corp. | | | 70,590 | |
| | 2,063 | | | | | Century Aluminum Co.* | | | 15,926 | |
| | 90,650 | | | | | Cleveland-Cliffs Inc.* | | | 1,565,526 | |
| | 10,858 | | | | | Coeur Mining Inc.* | | | 29,968 | |
| | 5,036 | | | | | Commercial Metals Co. | | | 204,008 | |
| | 1,419 | | | | | Compass Minerals International Inc. | | | 57,455 | |
| | 5,496 | | | | | Constellium SE, Class A Shares* | | | 73,207 | |
| | 2,810 | | | | | Dakota Gold Corp.* | | | 9,582 | |
| | 3,346 | | | | | Ferroglobe Representation & Warranty Insurance Trust*# | | | — | |
| | 429 | | | | | Haynes International Inc. | | | 17,027 | |
| | 22,789 | | | | | Hecla Mining Co. | | | 89,789 | |
| | 679 | | | | | Kaiser Aluminum Corp. | | | 48,725 | |
| | 848 | | | | | Materion Corp. | | | 73,191 | |
| | 3,762 | | | | | MP Materials Corp.* | | | 131,632 | |
| | 9,904 | | | | | Novagold Resources Inc.* | | | 43,875 | |
| | 372 | | | | | Olympic Steel Inc. | | | 9,791 | |
| | 727 | | | | | Piedmont Lithium Inc.*(a) | | | 44,456 | |
See Notes to Financial Statements.
100
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| MATERIALS — 5.4% — (continued) | |
|
| Metals & Mining — 1.1% — (continued) | |
| | 1,064 | | | | | PolyMet Mining Corp.* | | $ | 3,320 | |
| | 945 | | | | | Ramaco Resources Inc. | | | 9,960 | |
| | 2,551 | | | | | Reliance Steel & Aluminum Co. | | | 479,537 | |
| | 2,751 | | | | | Royal Gold Inc. | | | 252,817 | |
| | 648 | | | | | Ryerson Holding Corp. | | | 18,468 | |
| | 1,119 | | | | | Schnitzer Steel Industries Inc., Class A Shares | | | 36,972 | |
| | 8,813 | | | | | SSR Mining Inc. | | | 118,887 | |
| | 7,469 | | | | | Steel Dynamics Inc. | | | 602,898 | |
| | 3,717 | | | | | SunCoke Energy Inc. | | | 24,495 | |
| | 1,964 | | | | | TimkenSteel Corp.* | | | 30,128 | |
| | 10,677 | | | | | United States Steel Corp. | | | 244,183 | |
| | 2,074 | | | | | Warrior Met Coal Inc. | | | 67,509 | |
| | 1,391 | | | | | Worthington Industries Inc. | | | 70,927 | |
| | | | | | | | | | |
| | | | | | Total Metals & Mining | | | 5,815,382 | |
| | | | | | | | | | |
|
| Paper & Forest Products — 0.1% | |
| | 787 | | | | | Clearwater Paper Corp.* | | | 33,479 | |
| | 1,591 | | | | | Glatfelter Corp. | | | 7,748 | |
| | 3,448 | | | | | Louisiana-Pacific Corp. | | | 186,985 | |
| | 1,860 | | | | | Resolute Forest Products Inc.* | | | 37,684 | |
| | 1,432 | | | | | Sylvamo Corp. | | | 63,638 | |
| | | | | | | | | | |
| | | | | | Total Paper & Forest Products | | | 329,534 | |
| | | | | | | | | | |
| | | | | | TOTAL MATERIALS | | | 29,284,459 | |
| | | | | | | | | | |
|
| REAL ESTATE — 6.2% | |
|
| Equity Real Estate Investment Trusts (REITs) — 5.6% | |
| | 3,372 | | | | | Acadia Realty Trust | | | 53,716 | |
| | 3,121 | | | | | Agree Realty Corp. | | | 235,074 | |
| | 3,186 | | | | | Alexander & Baldwin Inc. | | | 59,674 | |
| | 77 | | | | | Alexander’s Inc. | | | 18,241 | |
| | 35,172 | | | | | American Assets Trust Inc. | | | 976,375 | |
| | 12,732 | | | | | American Homes 4 Rent, Class A Shares | | | 452,750 | |
| | 11,141 | | | | | Americold Realty Trust Inc. | | | 327,768 | |
| | 6,556 | | | | | Apartment Income REIT Corp. | | | 267,813 | |
| | 6,404 | | | | | Apartment Investment & Management Co., Class A Shares* | | | 56,611 | |
| | 9,146 | | | | | Apple Hospitality REIT Inc. | | | 145,513 | |
| | 3,215 | | | | | Armada Hoffler Properties Inc. | | | 42,213 | |
| | 1,453 | | | | | Ashford Hospitality Trust Inc.* | | | 13,339 | |
| | 1,167 | | | | | Bluerock Residential Growth REIT Inc., Class A Shares | | | 31,101 | |
| | 5,360 | | | | | Boston Properties Inc. | | | 425,745 | |
| | 3,087 | | | | | Braemar Hotels & Resorts Inc. | | | 15,898 | |
| | 6,768 | | | | | Brandywine Realty Trust | | | 54,347 | |
| | 12,308 | | | | | Brixmor Property Group Inc. | | | 264,376 | |
| | 7,017 | | | | | Broadstone Net Lease Inc., Class A Shares | | | 134,305 | |
| | 474 | | | | | BRT Apartments Corp. | | | 11,314 | |
| | 4,295 | | | | | Camden Property Trust | | | 551,950 | |
| | 4,094 | | | | | CareTrust REIT Inc. | | | 88,185 | |
| | 1,948 | | | | | CatchMark Timber Trust Inc., Class A Shares | | | 20,746 | |
| | 1,175 | | | | | CBL & Associates Properties Inc. | | | 34,005 | |
| | 622 | | | | | Centerspace | | | 46,886 | |
| | 21,561 | | | | | Chatham Lodging Trust* | | | 262,182 | |
| | 1,956 | | | | | City Office REIT Inc. | | | 22,592 | |
| | 586 | | | | | Clipper Realty Inc. | | | 4,928 | |
| | 927 | | | | | Community Healthcare Trust Inc. | | | 34,197 | |
| | 4,760 | | | | | Corporate Office Properties Trust | | | 122,998 | |
See Notes to Financial Statements.
101
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| REAL ESTATE — 6.2% — (continued) | |
|
| Equity Real Estate Investment Trusts (REITs) — 5.6% — (continued) | |
| | 36,963 | | | | | Cousins Properties Inc. | | $ | 992,457 | |
| | 723 | | | | | CTO Realty Growth Inc. | | | 15,263 | |
| | 9,249 | | | | | CubeSmart | | | 425,916 | |
| | 9,114 | | | | | DiamondRock Hospitality Co.* | | | 79,565 | |
| | 10,606 | | | | | Diversified Healthcare Trust | | | 15,485 | |
| | 7,023 | | | | | Douglas Emmett Inc. | | | 137,089 | |
| | 3,662 | | | | | Easterly Government Properties Inc., Class A Shares | | | 65,733 | |
| | 1,706 | | | | | EastGroup Properties Inc. | | | 281,541 | |
| | 5,720 | | | | | Empire State Realty Trust Inc., Class A Shares | | | 39,868 | |
| | 3,111 | | | | | EPR Properties | | | 135,297 | |
| | 120,092 | | | | | Equity Commonwealth* | | | 3,159,621 | |
| | 7,426 | | | | | Equity LifeStyle Properties Inc. | | | 520,563 | |
| | 5,609 | | | | | Essential Properties Realty Trust Inc. | | | 126,988 | |
| | 2,031 | | | | | Farmland Partners Inc. | | | 29,470 | |
| | 3,252 | | | | | Federal Realty Investment Trust | | | 329,330 | |
| | 5,526 | | | | | First Industrial Realty Trust Inc. | | | 280,058 | |
| | 3,111 | | | | | Four Corners Property Trust Inc. | | | 83,655 | |
| | 3,441 | | | | | Franklin Street Properties Corp. | | | 9,669 | |
| | 9,909 | | | | | Gaming and Leisure Properties Inc. | | | 478,307 | |
| | 1,633 | | | | | Getty Realty Corp. | | | 49,121 | |
| | 1,504 | | | | | Gladstone Commercial Corp. | | | 28,681 | |
| | 1,163 | | | | | Gladstone Land Corp. | | | 27,342 | |
| | 2,614 | | | | | Global Medical REIT Inc. | | | 28,336 | |
| | 4,267 | | | | | Global Net Lease Inc. | | | 58,757 | |
| | 114,023 | | | | | Healthcare Realty Trust Inc., Class A Shares | | | 2,773,039 | |
| | 5,916 | | | | | Healthpeak Properties Inc. | | | 155,295 | |
| | 1,330 | | | | | Hersha Hospitality Trust, Class A Shares* | | | 12,901 | |
| | 4,386 | | | | | Highwoods Properties Inc. | | | 133,378 | |
| | 29,320 | | | | | Host Hotels & Resorts Inc. | | | 521,016 | |
| | 5,915 | | | | | Hudson Pacific Properties Inc. | | | 78,137 | |
| | 9,095 | | | | | Independence Realty Trust Inc. | | | 176,898 | |
| | 182 | | | | | Indus Realty Trust Inc. | | | 11,178 | |
| | 2,489 | | | | | Industrial Logistics Properties Trust | | | 18,643 | |
| | 3,795 | | | | | Innovative Industrial Properties Inc., Class A Shares | | | 348,077 | |
| | 2,763 | | | | | InvenTrust Properties Corp. | | | 72,556 | |
| | 11,984 | | | | | Iron Mountain Inc. | | | 630,478 | |
| | 23,036 | | | | | iStar Inc. | | | 317,206 | |
| | 38,536 | | | | | JBG SMITH Properties | | | 846,636 | |
| | 4,799 | | | | | Kilroy Realty Corp. | | | 234,047 | |
| | 25,304 | | | | | Kimco Realty Corp. | | | 533,408 | |
| | 8,867 | | | | | Kite Realty Group Trust | | | 171,665 | |
| | 3,620 | | | | | Lamar Advertising Co., Class A Shares | | | 339,882 | |
| | 3,516 | | | | | Life Storage Inc. | | | 447,411 | |
| | 1,582 | | | | | LTC Properties Inc. | | | 71,016 | |
| | 12,009 | | | | | LXP Industrial Trust | | | 120,811 | |
| | 8,840 | | | | | Macerich Co. (The) | | | 84,599 | |
| | 24,507 | | | | | Medical Properties Trust Inc. | | | 358,047 | |
| | 1,822 | | | | | National Health Investors Inc. | | | 119,359 | |
| | 7,325 | | | | | National Retail Properties Inc. | | | 328,892 | |
| | 3,489 | | | | | National Storage Affiliates Trust | | | 176,264 | |
| | 5,680 | | | | | Necessity Retail REIT Inc.(The) | | | 42,373 | |
| | 2,393 | | | | | NETSTREIT Corp.(a) | | | 47,046 | |
| | 956 | | | | | NexPoint Residential Trust Inc. | | | 50,496 | |
| | 1,940 | | | | | Office Properties Income Trust | | | 34,086 | |
| | 9,715 | | | | | Omega Healthcare Investors Inc. | | | 317,292 | |
See Notes to Financial Statements.
102
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| REAL ESTATE — 6.2% — (continued) | |
|
| Equity Real Estate Investment Trusts (REITs) — 5.6% — (continued) | |
| | 539 | | | | | One Liberty Properties Inc. | | $ | 13,017 | |
| | 2,327 | | | | | Orion Office REIT Inc. | | | 22,967 | |
| | 6,031 | | | | | Outfront Media Inc. | | | 106,749 | |
| | 7,842 | | | | | Paramount Group Inc. | | | 54,345 | |
| | 9,510 | | | | | Park Hotels & Resorts Inc. | | | 133,140 | |
| | 5,302 | | | | | Pebblebrook Hotel Trust | | | 93,421 | |
| | 4,810 | | | | | Phillips Edison & Co., Inc. | | | 157,143 | |
| | 9,196 | | | | | Physicians Realty Trust | | | 153,205 | |
| | 5,257 | | | | | Piedmont Office Realty Trust Inc., Class A Shares | | | 61,927 | |
| | 1,414 | | | | | Plymouth Industrial REIT Inc. | | | 28,662 | |
| | 483 | | | | | Postal Realty Trust Inc., Class A Shares | | | 7,173 | |
| | 2,844 | | | | | PotlatchDeltic Corp. | | | 132,018 | |
| | 6,028 | | | | | Rayonier Inc. | | | 214,115 | |
| | 7,196 | | | | | Regency Centers Corp. | | | 437,805 | |
| | 5,136 | | | | | Retail Opportunity Investments Corp. | | | 86,028 | |
| | 6,904 | | | | | Rexford Industrial Realty Inc. | | | 429,498 | |
| | 26,038 | | | | | RLJ Lodging Trust | | | 314,018 | |
| | 3,540 | | | | | RPT Realty | | | 34,090 | |
| | 2,205 | | | | | Ryman Hospitality Properties Inc.* | | | 181,295 | |
| | 9,533 | | | | | Sabra Health Care REIT Inc. | | | 142,709 | |
| | 876 | | | | | Safehold Inc. | | | 33,314 | |
| | 421 | | | | | Saul Centers Inc. | | | 18,646 | |
| | 3,298 | | | | | SBA Communications Corp., Class A Shares | | | 1,072,674 | |
| | 6,541 | | | | | Service Properties Trust | | | 44,740 | |
| | 8,573 | | | | | SITE Centers Corp. | | | 111,106 | |
| | 2,599 | | | | | SL Green Realty Corp.(a) | | | 114,798 | |
| | 35,043 | | | | | Spirit Realty Capital Inc. | | | 1,431,507 | |
| | 19,950 | | | | | STAG Industrial Inc. | | | 614,460 | |
| | 10,833 | | | | | STORE Capital Corp. | | | 292,274 | |
| | 4,049 | | | | | Summit Hotel Properties Inc. | | | 31,825 | |
| | 30,785 | | | | | Sunstone Hotel Investors Inc.* | | | 335,249 | |
| | 4,314 | | | | | Tanger Factory Outlet Centers Inc. | | | 66,522 | |
| | 3,116 | | | | | Terreno Realty Corp. | | | 190,045 | |
| | 32,189 | | | | | UMH Properties Inc. | | | 580,690 | |
| | 9,882 | | | | | Uniti Group Inc. | | | 92,792 | |
| | 455 | | | | | Universal Health Realty Income Trust | | | 23,155 | |
| | 4,581 | | | | | Urban Edge Properties | | | 72,059 | |
| | 1,056 | | | | | Urstadt Biddle Properties Inc., Class A Shares | | | 17,656 | |
| | 3,399 | | | | | Veris Residential Inc.* | | | 45,683 | |
| | 7,371 | | | | | Vornado Realty Trust | | | 193,268 | |
| | 3,570 | | | | | Washington Real Estate Investment Trust | | | 70,008 | |
| | 1,631 | | | | | Whitestone REIT, Class B Shares | | | 16,049 | |
| | 4,589 | | | | | Xenia Hotels & Resorts Inc.* | | | 72,782 | |
| | | | | | | | | | |
| | | | | | Total Equity Real Estate Investment Trusts (REITs) | | | 30,089,713 | |
| | | | | | | | | | |
|
| Real Estate Management & Development — 0.6% | |
| | 5,141 | | | | | Anywhere Real Estate Inc.* | | | 50,228 | |
| | 23,681 | | | | | CBRE Group Inc., Class A Shares* | | | 1,869,852 | |
| | 11,151 | | | | | Compass Inc., Class A Shares* | | | 31,892 | |
| | 6,523 | | | | | Cushman & Wakefield PLC* | | | 97,584 | |
| | 6,179 | | | | | DigitalBridge Group Inc.* | | | 109,986 | |
| | 7,922 | | | | | Doma Holdings Inc.* | | | 4,778 | |
| | 2,639 | | | | | Douglas Elliman Inc. | | | 12,166 | |
| | 2,591 | | | | | eXp World Holdings Inc.(a) | | | 33,502 | |
| | 669 | | | | | Forestar Group Inc.* | | | 8,322 | |
See Notes to Financial Statements.
103
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| REAL ESTATE — 6.2% — (continued) | |
|
| Real Estate Management & Development — 0.6% — (continued) | |
| | 253 | | | | | FRP Holdings Inc.* | | $ | 14,552 | |
| | 1,727 | | | | | Howard Hughes Corp. (The)* | | | 109,889 | |
| | 2,063 | | | | | Jones Lang LaSalle Inc.* | | | 356,899 | |
| | 4,739 | | | | | Kennedy-Wilson Holdings Inc. | | | 83,217 | |
| | 951 | | | | | Marcus & Millichap Inc. | | | 35,548 | |
| | 6,788 | | | | | Newmark Group Inc., Class A Shares | | | 69,577 | |
| | 18,932 | | | | | Opendoor Technologies Inc.* | | | 81,975 | |
| | 623 | | | | | RE/MAX Holdings Inc., Class A Shares | | | 14,179 | |
| | 4,159 | | | | | Redfin Corp.* | | | 34,062 | |
| | 525 | | | | | RMR Group Inc. (The), Class A Shares | | | 13,671 | |
| | 1,857 | | | | | Seritage Growth Properties, Class A Shares*(a) | | | 23,287 | |
| | 1,395 | | | | | St Joe Co. (The) | | | 53,289 | |
| | 298 | | | | | Stratus Properties Inc.* | | | 10,612 | |
| | 1,245 | | | | | Tejon Ranch Co.* | | | 19,621 | |
| | 5,586 | | | | | WeWork Inc., Class A Shares* | | | 22,903 | |
| | 2,333 | | | | | Zillow Group Inc., Class A Shares* | | | 77,922 | |
| | 6,856 | | | | | Zillow Group Inc., Class C Shares*(a) | | | 229,402 | |
| | | | | | | | | | |
| | | | | | Total Real Estate Management & Development | | | 3,468,915 | |
| | | | | | | | | | |
| | | | | | TOTAL REAL ESTATE | | | 33,558,628 | |
| | | | | | | | | | |
|
| UTILITIES — 3.1% | |
|
| Electric Utilities — 0.8% | |
| | 22,003 | | | | | ALLETE Inc. | | | 1,302,138 | |
| | 4,712 | | | | | Hawaiian Electric Industries Inc. | | | 184,333 | |
| | 2,100 | | | | | IDACORP Inc. | | | 229,404 | |
| | 1,576 | | | | | MGE Energy Inc. | | | 121,383 | |
| | 9,848 | | | | | NRG Energy Inc. | | | 406,525 | |
| | 8,377 | | | | | OGE Energy Corp. | | | 339,604 | |
| | 1,769 | | | | | Otter Tail Corp. | | | 133,630 | |
| | 4,722 | | | | | Pinnacle West Capital Corp. | | | 355,803 | |
| | 3,518 | | | | | PNM Resources Inc. | | | 166,859 | |
| | 17,203 | | | | | Portland General Electric Co. | | | 888,879 | |
| | 502 | | | | | Via Renewables Inc., Class A Shares | | | 4,282 | |
| | | | | | | | | | |
| | | | | | Total Electric Utilities | | | 4,132,840 | |
| | | | | | | | | | |
|
| Gas Utilities — 0.3% | |
| | 4,066 | | | | | Brookfield Infrastructure Corp., Class A Shares | | | 193,542 | |
| | 501 | | | | | Chesapeake Utilities Corp. | | | 63,276 | |
| | 3,605 | | | | | National Fuel Gas Co. | | | 256,928 | |
| | 3,970 | | | | | New Jersey Resources Corp. | | | 175,236 | |
| | 1,595 | | | | | Northwest Natural Holding Co. | | | 75,938 | |
| | 2,259 | | | | | ONE Gas Inc. | | | 176,812 | |
| | 5,012 | | | | | South Jersey Industries Inc. | | | 169,656 | |
| | 2,749 | | | | | Southwest Gas Holdings Inc. | | | 214,010 | |
| | 2,136 | | | | | Spire Inc. | | | 149,285 | |
| | 8,665 | | | | | UGI Corp. | | | 342,268 | |
| | | | | | | | | | |
| | | | | | Total Gas Utilities | | | 1,816,951 | |
| | | | | | | | | | |
|
| Independent Power & Renewable Electricity Producers — 0.7% | |
| | 1,832 | | | | | Altus Power Inc.* | | | 19,199 | |
| | 5,251 | | | | | Brookfield Renewable Corp., Class A Shares | | | 201,586 | |
| | 1,443 | | | | | Clearway Energy Inc., Class A Shares | | | 49,755 | |
| | 3,336 | | | | | Clearway Energy Inc., Class C Shares | | | 123,765 | |
| | 2,632 | | | | | Montauk Renewables Inc.* | | | 46,718 | |
| | 19,166 | | | | | Ormat Technologies Inc.(a) | | | 1,791,638 | |
See Notes to Financial Statements.
104
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| UTILITIES — 3.1% — (continued) | |
|
| Independent Power & Renewable Electricity Producers — 0.7% — (continued) | |
| | 4,158 | | | | | Sunnova Energy International Inc.* | | $ | 104,865 | |
| | 58,131 | | | | | Vistra Corp. | | | 1,438,742 | |
| | | | | | | | | | |
| | | | | | Total Independent Power & Renewable Electricity Producers | | | 3,776,268 | |
| | | | | | | | | | |
|
| Multi-Utilities — 0.4% | |
| | 23,655 | | | | | Avista Corp. | | | 961,103 | |
| | 2,705 | | | | | Black Hills Corp. | | | 204,173 | |
| | 16,920 | | | | | NiSource Inc. | | | 499,309 | |
| | 10,677 | | | | | NorthWestern Corp. | | | 565,668 | |
| | 701 | | | | | Unitil Corp. | | | 36,515 | |
| | | | | | | | | | |
| | | | | | Total Multi-Utilities | | | 2,266,768 | |
| | | | | | | | | | |
|
| Water Utilities — 0.9% | |
| | 1,545 | | | | | American States Water Co. | | | 128,189 | |
| | 3,672 | | | | | American Water Works Co., Inc. | | | 545,108 | |
| | 334 | | | | | Artesian Resources Corp., Class A Shares | | | 18,246 | |
| | 17,056 | | | | | California Water Service Group | | | 998,288 | |
| | 13,721 | | | | | Essential Utilities Inc. | | | 674,387 | |
| | 619 | | | | | Global Water Resources Inc. | | | 8,431 | |
| | 502 | | | | | Middlesex Water Co. | | | 44,563 | |
| | 7,057 | | | | | Pennon Group PLC, ADR | | | 152,079 | |
| | 734 | | | | | Pure Cycle Corp.* | | | 7,575 | |
| | 36,146 | | | | | SJW Group | | | 2,324,188 | |
| | 6,683 | | | | | United Utilities Group PLC, ADR | | | 163,800 | |
| | 626 | | | | | York Water Co. (The) | | | 27,525 | |
| | | | | | | | | | |
| | | | | | Total Water Utilities | | | 5,092,379 | |
| | | | | | | | | | |
| | | | | | TOTAL UTILITIES | | | 17,085,206 | |
| | | | | | | | | | |
| | | | | | TOTAL COMMON STOCKS
(Cost — $438,786,235) | | | 524,842,196 | |
| | | | | | | | | | |
|
| PREFERRED STOCKS — 0.6% | |
|
| FINANCIALS — 0.6% | |
|
| Banks — 0.3% | |
| | 7,777 | | | | | US Bancorp, 4.000%(d) | | | 139,675 | |
| | 78,505 | | | | | US Bancorp, 3.500% (3-Month USD-LIBOR + 0.600%)(a)(d)(e) | | | 1,543,408 | |
| | | | | | | | | | |
| | | | | | Total Banks | | | 1,683,083 | |
| | | | | | | | | | |
|
| Insurance — 0.3% | |
| | 34,708 | | | | | MetLife Inc., 4.750%(a)(d) | | | 744,834 | |
| | 27,972 | | | | | MetLife Inc., 5.625%(a)(d) | | | 686,433 | |
| | | | | | | | | | |
| | | | | | Total Insurance | | | 1,431,267 | |
| | | | | | | | | | |
| | | | | | TOTAL PREFERRED STOCKS
(Cost — $3,409,370) | | | 3,114,350 | |
| | | | | | | | | | |
|
| CLOSED END MUTUAL FUND SECURITIES — 0.2% | |
|
| FINANCIALS — 0.2% | |
|
| Capital Markets — 0.2% | |
| | 4,508 | | | | | iShares® Core S&P Small-Capital ETF | | | 438,178 | |
| | 1,288 | | | | | iShares® Russell 2000 ETF, Common Class Shares(a) | | | 236,348 | |
| | 4,404 | | | | | iShares® Russell Mid-Capital ETF, Common Class Shares | | | 303,039 | |
| | | | | | | | | | |
| | | | | | TOTAL CLOSED END MUTUAL FUND SECURITIES
(Cost — $572,123) | | | 977,565 | |
| | | | | | | | | | |
See Notes to Financial Statements.
105
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| CORPORATE BONDS & NOTES — 0.1% | |
|
| INFORMATION TECHNOLOGY — 0.1% | |
|
| Communications Equipment — 0.1% | |
| $ | 702,000 | | | NR | | Infinera Corp., Senior Unsecured Notes, 2.500% due 3/1/27(b)(f) | | $ | 688,501 | |
| | | | | | | | | | |
|
| ENERGY — 0.0% | |
|
| Energy Equipment & Services — 0.0% | |
| | 20,000 | | | D | | ION Geophysical Corp., Secured Notes, 8.000% due 12/15/25(g) | | | 10,960 | |
| | | | | | | | | | |
| | | | | | TOTAL CORPORATE BONDS & NOTES
(Cost — $722,016) | | | 699,461 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS
(Cost — $443,489,744) | | | 529,633,572 | |
| | | | | | | | | | |
| | | |
Face
Amount† | | | | | | | | |
|
| SHORT-TERM INVESTMENTS (h) — 6.2% | |
|
| MONEY MARKET FUND — 3.9% | |
| $ | 21,278,164 | | | | | Invesco STIT – Government & Agency Portfolio, 2.185%, Institutional Class(i)
(Cost — $21,278,164) | | | 21,278,164 | |
| | | | | | | | | | |
|
| TIME DEPOSITS — 2.3% | |
| | 20,372 | CAD | | | | BBH – Grand Cayman, 1.380% due 9/1/22 | | | 15,514 | |
| | 3,043,730 | | | | | Citibank – New York, 1.680% due 9/1/22 | | | 3,043,730 | |
| | 2,349,282 | | | | | JPMorgan Chase & Co. – New York, 1.680% due 9/1/22 | | | 2,349,282 | |
| | 3,972,403 | | | | | Royal Bank of Canada – Toronto, 1.680% due 9/1/22 | | | 3,972,403 | |
| | 2,887,096 | | | | | Sumitomo Mitsui Banking Corp. – Tokyo, 1.680% due 9/1/22 | | | 2,887,096 | |
| | | | | | | | | | |
| | | | | | TOTAL TIME DEPOSITS
(Cost — $12,268,025) | | | 12,268,025 | |
| | | | | | | | | | |
| | | | | | TOTAL SHORT-TERM INVESTMENTS
(Cost — $33,546,189) | | | 33,546,189 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS — 104.0%
(Cost — $477,035,933) | | | 563,179,761 | |
| | | | | | | | | | |
| | | | | | Liabilities in Excess of Other Assets — (4.0)% | | | (21,627,835 | ) |
| | | | | | | | | | |
| | | | | | TOTAL NET ASSETS — 100.0% | | $ | 541,551,926 | |
| | | | | | | | | | |
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
| †† | All ratings are by Standard & Poor’s Rating Service, unless otherwise noted. All ratings are unaudited. |
| * | Non-income producing security. |
| (a) | All or a portion of this security is on loan (See Note 1). |
| (c) | Security is valued in good faith at fair value by or under the direction of the Board of Trustees. |
| (d) | Security is perpetual in nature and has no stated maturity date. |
| (e) | Variable rate security. Interest rate disclosed is that which was in effect at August 31, 2022. |
| (f) | 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 August 31, 2022, amounts to $688,501 and represents 0.1% of net assets. |
| (g) | Security is currently in default. |
| (h) | 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 2.3%. |
| (i) | Represents investments of collateral received from securities lending transactions. |
| (j) | The aggregate value of restricted securities (excluding 144A holdings) at August 31, 2022, amounts to $641,376 and represents 0.1% of net assets. |
| # | Security that used significant unobservable inputs to determine fair value. |
See Notes to Financial Statements.
106
| | | | | | |
| Small-Mid Cap Equity Fund |
At August 31, 2022, 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 | | $ | 487,851,689 | | | $ | 132,821,723 | | | $ | (57,559,835) | | | $ | 75,261,888 | |
| | |
Abbreviations used in this schedule: |
| ADR | | — American Depositary Receipts |
| LIBOR | | — London Interbank Offered Rate |
| PLC | | — Public Limited Company |
| REIT | | — Real Estate Investment Trust |
| | | | |
| Summary of Investments by Security Sector^ | |
Industrials | | | 18.7 | % |
Health Care | | | 15.9 | |
Information Technology | | | 15.8 | |
Financials | | | 13.9 | |
Consumer Discretionary | | | 7.8 | |
Real Estate | | | 6.2 | |
Materials | | | 5.4 | |
Consumer Staples | | | 4.5 | |
Energy | | | 4.1 | |
Utilities | | | 3.2 | |
Communication Services | | | 2.2 | |
Short-Term Investments | | | 2.3 | |
| | | | |
| | | 100.0 | %+ |
| | | | |
| ^ | As a percentage of total investments. |
| + | Does not reflect investments of collateral received from securities lending transactions. |
At August 31, 2022, Small-Mid Cap 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 Russell 2000 Index September Futures | | | 13 | | | | 9/22 | | | $ | 1,246,184 | | | $ | 1,198,990 | | | $ | (47,194 | ) |
S&P MidCap 400 E-mini Index September Futures | | | 1 | | | | 9/22 | | | | 262,020 | | | | 243,030 | | | | (18,990 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | (66,184 | ) |
| | | | | | | | | | | | | | | | | | | | |
At August 31, 2022, Small-Mid Cap Equity Fund had deposited cash of $152,996 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 pages 304-305 for definitions of ratings.
See Notes to Financial Statements.
107
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| COMMON STOCKS — 96.0% | |
|
| Australia — 3.6% | |
| | 124,950 | | | Allkem Ltd.* | | $ | 1,173,505 | |
| | 4,829 | | | Ampol Ltd. | | | 114,926 | |
| | 23,973 | | | APA Group | | | 181,104 | |
| | 12,245 | | | Aristocrat Leisure Ltd. | | | 297,230 | |
| | 3,933 | | | ASX Ltd. | | | 209,751 | |
| | 37,399 | | | Aurizon Holdings Ltd. | | | 94,994 | |
| | 60,762 | | | Australia & New Zealand Banking Group Ltd.(a) | | | 944,369 | |
| | 98,086 | | | Bank of Queensland Ltd.(b) | | | 469,648 | |
| | 491,109 | | | Beach Energy Ltd. | | | 578,004 | |
| | 103,843 | | | BHP Group Ltd. | | | 2,866,809 | |
| | 10,333 | | | BlueScope Steel Ltd. | | | 117,293 | |
| | 29,149 | | | Brambles Ltd. | | | 245,041 | |
| | 42,450 | | | Charter Hall Group, REIT | | | 388,421 | |
| | 16,136 | | | Cochlear Ltd. | | | 2,346,044 | |
| | 27,148 | | | Coles Group Ltd. | | | 324,639 | |
| | 35,109 | | | Commonwealth Bank of Australia | | | 2,328,582 | |
| | 11,193 | | | Computershare Ltd. | | | 187,692 | |
| | 35,338 | | | CSL Ltd. | | | 7,060,009 | |
| | 104,009 | | | CSR Ltd. | | | 319,625 | |
| | 21,853 | | | Dexus, REIT | | | 129,840 | |
| | 1,219 | | | Domino’s Pizza Enterprises Ltd. | | | 52,522 | |
| | 87,112 | | | Elders Ltd. | | | 687,578 | |
| | 27,833 | | | Endeavour Group Ltd. | | | 137,972 | |
| | 36,877 | | | Evolution Mining Ltd. | | | 60,069 | |
| | 34,407 | | | Fortescue Metals Group Ltd. | | | 431,008 | |
| | 34,162 | | | Goodman Group, REIT | | | 455,977 | |
| | 39,126 | | | GPT Group (The), REIT | | | 111,997 | |
| | 4,200 | | | IDP Education Ltd. | | | 82,554 | |
| | 119,132 | | | Iluka Resources Ltd. | | | 851,475 | |
| | 212,558 | | | Incitec Pivot Ltd. | | | 566,069 | |
| | 50,429 | | | Insurance Australia Group Ltd. | | | 159,606 | |
| | 16,229 | | | JB Hi-Fi Ltd. | | | 448,767 | |
| | 15,894 | | | Lendlease Corp., Ltd. | | | 110,780 | |
| | 49,319 | | | Lottery Corp., Ltd. (The)* | | | 148,136 | |
| | 25,993 | | | Macquarie Group Ltd. | | | 3,126,966 | |
| | 55,955 | | | Medibank Pvt Ltd. | | | 141,331 | |
| | 3,378 | | | Mineral Resources Ltd.* | | | 145,755 | |
| | 88,127 | | | Mirvac Group, REIT | | | 125,863 | |
| | 66,528 | | | National Australia Bank Ltd. | | | 1,383,966 | |
| | 18,088 | | | Newcrest Mining Ltd. | | | 218,588 | |
| | 305,460 | | | Nine Entertainment Co. Holdings Ltd. | | | 455,151 | |
| | 25,724 | | | Northern Star Resources Ltd. | | | 138,070 | |
| | 166,277 | | | OceanaGold Corp.* | | | 245,652 | |
| | 9,518 | | | Orica Ltd. | | | 100,308 | |
| | 35,784 | | | Origin Energy Ltd. | | | 153,802 | |
| | 105,443 | | | Pendal Group Ltd. | | | 372,536 | |
| | 19,358 | | | Qantas Airways Ltd.* | | | 69,864 | |
| | 30,017 | | | QBE Insurance Group Ltd. | | | 246,479 | |
| | 3,720 | | | Ramsay Health Care Ltd. | | | 181,823 | |
| | 1,247 | | | REA Group Ltd. | | | 107,428 | |
| | 4,386 | | | Reece Ltd. | | | 47,516 | |
| | 30,318 | | | Rio Tinto Ltd. | | | 1,949,401 | |
| | 65,374 | | | Santos Ltd. | | | 355,347 | |
| | 105,457 | | | Scentre Group, REIT | | | 210,494 | |
See Notes to Financial Statements.
108
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| Australia — 3.6% — (continued) | |
| | 6,927 | | | SEEK Ltd. | | $ | 97,623 | |
| | 34,263 | | | Seven Group Holdings Ltd. | | | 432,663 | |
| | 217,416 | | | Shopping Centres Australasia Property Group, REIT, Class Miscella Shares | | | 403,960 | |
| | 9,260 | | | Sonic Healthcare Ltd. | | | 213,876 | |
| | 94,476 | | | South32 Ltd. | | | 266,245 | |
| | 49,002 | | | Stockland, REIT | | | 120,945 | |
| | 26,115 | | | Suncorp Group Ltd. | | | 193,606 | |
| | 51,940 | | | Super Retail Group Ltd. | | | 373,088 | |
| | 67,444 | | | Technology One Ltd. | | | 543,077 | |
| | 85,314 | | | Telstra Corp., Ltd. | | | 230,805 | |
| | 62,389 | | | Transurban Group | | | 592,475 | |
| | 14,938 | | | Treasury Wine Estates Ltd. | | | 134,179 | |
| | 83,483 | | | Vicinity Centres, REIT | | | 109,839 | |
| | 4,357 | | | Washington H Soul Pattinson & Co., Ltd. | | | 76,163 | |
| | 23,043 | | | Wesfarmers Ltd. | | | 737,689 | |
| | 71,135 | | | Westpac Banking Corp. | | | 1,044,921 | |
| | 2,942 | | | WiseTech Global Ltd. | | | 116,703 | |
| | 38,931 | | | Woodside Energy Group Ltd. | | | 917,360 | |
| | 24,625 | | | Woolworths Group Ltd. | | | 606,253 | |
| | | | | | | | |
| | | | Total Australia | | | 41,669,846 | |
| | | | | | | | |
|
| Austria — 0.2% | |
| | 66,596 | | | Erste Group Bank AG | | | 1,495,593 | |
| | 2,992 | | | OMV AG | | | 120,869 | |
| | 1,375 | | | Verbund AG | | | 131,474 | |
| | 2,335 | | | Voestalpine AG | | | 47,129 | |
| | | | | | | | |
| | | | Total Austria | | | 1,795,065 | |
| | | | | | | | |
|
| Belgium — 0.5% | |
| | 3,299 | | | Ageas SA NV | | | 133,803 | |
| | 17,648 | | | Anheuser-Busch InBev SA/NV | | | 852,073 | |
| | 538 | | | D’ieteren Group | | | 81,108 | |
| | 664 | | | Elia Group SA/NV | | | 96,537 | |
| | 2,065 | | | Groupe Bruxelles Lambert SA | | | 155,955 | |
| | 5,082 | | | KBC Group NV | | | 240,871 | |
| | 3,313 | | | Proximus SADP | | | 42,140 | |
| | 349 | | | Sofina SA | | | 69,689 | |
| | 1,504 | | | Solvay SA | | | 121,214 | |
| | 30,292 | | | UCB SA | | | 2,127,751 | |
| | 40,189 | | | Umicore SA | | | 1,276,033 | |
| | 3,216 | | | Warehouses de Pauw CVA, REIT | | | 97,804 | |
| | | | | | | | |
| | | | Total Belgium | | | 5,294,978 | |
| | | | | | | | |
|
| Brazil — 0.1% | |
| | 348,489 | | | B3 SA – Brasil Bolsa Balcao | | | 794,145 | |
| | | | | | | | |
|
| Canada — 3.5% | |
| | 58,760 | | | Alamos Gold Inc., Class A Shares | | | 423,758 | |
| | 219,750 | | | Alimentation Couche-Tard Inc. | | | 9,444,991 | |
| | 87,890 | | | ARC Resources Ltd. | | | 1,213,453 | |
| | 25,352 | | | ATS Automation Tooling Systems Inc.* | | | 774,567 | |
| | 15,449 | | | AutoCanada Inc.*(b) | | | 350,239 | |
| | 12,854 | | | Ballard Power Systems Inc.* | | | 100,334 | |
| | 18,115 | | | Boardwalk Real Estate Investment Trust(b) | | | 666,302 | |
| | 15,045 | | | BRP Inc. | | | 1,043,635 | |
| | 118,939 | | | Canadian National Railway Co. | | | 14,146,961 | |
| | 25,492 | | | Canfor Corp.* | | | 500,269 | |
See Notes to Financial Statements.
109
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| Canada — 3.5% — (continued) | |
| | 58,901 | | | Celestica Inc.* | | $ | 607,782 | |
| | 2,880 | | | Colliers International Group Inc.(b) | | | 335,538 | |
| | 7,866 | | | Descartes Systems Group Inc. (The)* | | | 554,211 | |
| | 75,236 | | | Dundee Precious Metals Inc. | | | 342,620 | |
| | 56,650 | | | Element Fleet Management Corp. | | | 713,544 | |
| | 36,398 | | | Finning International Inc.(b) | | | 784,422 | |
| | 102,839 | | | Headwater Exploration Inc.* | | | 469,105 | |
| | 15,363 | | | Laurentian Bank of Canada | | | 420,943 | |
| | 5,010 | | | lululemon athletica Inc.* | | | 1,502,800 | |
| | 9,764 | | | Methanex Corp. | | | 352,966 | |
| | 41,448 | | | Parex Resources Inc. | | | 663,155 | |
| | 13,584 | | | Stella-Jones Inc. | | | 413,680 | |
| | 5 | | | Tilray Brands Inc.* | | | 19 | |
| | 39,249 | | | Toronto-Dominion Bank (The) | | | 2,525,338 | |
| | 38,819 | | | TransAlta Corp.(b) | | | 364,496 | |
| | 70,441 | | | Tricon Residential Inc. | | | 735,442 | |
| | 18,889 | | | Vermilion Energy Inc. | | | 504,608 | |
| | 48,068 | | | Whitecap Resources Inc. | | | 350,311 | |
| | | | | | | | |
| | | | Total Canada | | | 40,305,489 | |
| | | | | | | | |
|
| Chile — 0.1% | |
| | 95,084 | | | Antofagasta PLC | | | 1,210,773 | |
| | | | | | | | |
|
| China — 0.5% | |
| | 110,440 | | | Alibaba Group Holding Ltd., ADR* | | | 1,315,014 | |
| | 3,414,000 | | | Beijing Capital International Airport Co., Ltd., Class H Shares*(c) | | | 2,143,220 | |
| | 49,900 | | | Tencent Holdings Ltd. | | | 2,066,767 | |
| | | | | | | | |
| | | | Total China | | | 5,525,001 | |
| | | | | | | | |
|
| Denmark — 2.8% | |
| | 69 | | | AP Moller – Maersk AS, Class A Shares | | | 161,297 | |
| | 109 | | | AP Moller – Maersk AS, Class B Shares | | | 260,623 | |
| | 2,040 | | | Carlsberg AS, Class B Shares | | | 265,186 | |
| | 60,138 | | | Chr Hansen Holding AS | | | 3,503,956 | |
| | 42,083 | | | Coloplast AS, Class B Shares | | | 4,795,944 | |
| | 14,014 | | | Danske Bank AS | | | 187,437 | |
| | 1,952 | | | Demant AS* | | | 60,072 | |
| | 3,901 | | | DSV AS | | | 576,164 | |
| | 1,336 | | | Genmab AS* | | | 474,104 | |
| | 2,808 | | | GN Store Nord AS | | | 79,387 | |
| | 19,328 | | | ISS AS* | | | 339,028 | |
| | 9,913 | | | Jyske Bank AS, Class Registered Shares* | | | 495,387 | |
| | 117,242 | | | Novo Nordisk AS, Class B Shares | | | 12,522,879 | |
| | 75,974 | | | Novozymes AS, Class B Shares | | | 4,356,329 | |
| | 3,844 | | | Orsted AS(d) | | | 375,555 | |
| | 1,930 | | | Pandora AS | | | 116,154 | |
| | 172 | | | Rockwool AS, Class B Shares | | | 35,451 | |
| | 7,316 | | | Tryg AS | | | 165,370 | |
| | 126,618 | | | Vestas Wind Systems AS | | | 3,170,316 | |
| | | | | | | | |
| | | | Total Denmark | | | 31,940,639 | |
| | | | | | | | |
|
| Finland — 0.8% | |
| | 2,890 | | | Elisa OYJ | | | 154,610 | |
| | 9,507 | | | Fortum OYJ | | | 97,602 | |
| | 5,445 | | | Kesko OYJ, Class B Shares | | | 114,639 | |
| | 110,072 | | | Kone OYJ, Class B Shares | | | 4,407,205 | |
| | 8,596 | | | Neste OYJ | | | 423,863 | |
See Notes to Financial Statements.
110
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| Finland — 0.8% — (continued) | |
| | 109,948 | | | Nokia OYJ | | $ | 552,387 | |
| | 69,928 | | | Nordea Bank Abp, Class A Shares | | | 647,811 | |
| | 2,135 | | | Orion OYJ, Class B Shares | | | 96,851 | |
| | 10,133 | | | Sampo OYJ, Class A Shares | | | 458,707 | |
| | 11,198 | | | Stora Enso OYJ, Class R Shares | | | 167,078 | |
| | 19,991 | | | TietoEVRY OYJ | | | 511,757 | |
| | 10,844 | | | UPM-Kymmene OYJ | | | 368,718 | |
| | 27,671 | | | Valmet OYJ | | | 700,685 | |
| | 9,444 | | | Wartsila OYJ Abp | | | 77,927 | |
| | | | | | | | |
| | | | Total Finland | | | 8,779,840 | |
| | | | | | | | |
|
| France — 11.3% | |
| | 3,440 | | | Accor SA* | | | 82,315 | |
| | 612 | | | Aeroports de Paris* | | | 83,996 | |
| | 95,406 | | | Air Liquide SA | | | 11,958,454 | |
| | 12,124 | | | Airbus SE | | | 1,189,408 | |
| | 316,965 | | | Alstom SA | | | 6,524,887 | |
| | 3,009 | | | Amundi SA(d) | | | 152,535 | |
| | 8,211 | | | Arkema SA | | | 694,484 | |
| | 359,862 | | | AXA SA | | | 8,491,307 | |
| | 817 | | | BioMerieux | | | 74,697 | |
| | 81,107 | | | BNP Paribas SA | | | 3,779,419 | |
| | 17,792 | | | Bollore SE | | | 85,259 | |
| | 4,685 | | | Bouygues SA | | | 137,741 | |
| | 5,967 | | | Bureau Veritas SA | | | 148,049 | |
| | 3,406 | | | Capgemini SE | | | 589,461 | |
| | 283,666 | | | Carrefour SA | | | 4,733,307 | |
| | 10,115 | | | Cie de Saint-Gobain | | | 408,649 | |
| | 13,784 | | | Cie Generale des Etablissements Michelin SCA | | | 335,049 | |
| | 959 | | | Covivio, REIT | | | 53,530 | |
| | 25,304 | | | Credit Agricole SA | | | 232,489 | |
| | 14,342 | | | Criteo SA, ADR* | | | 387,521 | |
| | 159,340 | | | Danone SA | | | 8,380,656 | |
| | 509 | | | Dassault Aviation SA | | | 69,909 | |
| | 122,551 | | | Dassault Systemes SE | | | 4,726,479 | |
| | 18,922 | | | Edenred | | | 957,629 | |
| | 12,417 | | | Eiffage SA | | | 1,093,810 | |
| | 11,195 | | | Electricite de France SA | | | 134,021 | |
| | 39,231 | | | Elis SA | | | 502,442 | |
| | 37,110 | | | Engie SA | | | 441,347 | |
| | 17,399 | | | EssilorLuxottica SA | | | 2,596,548 | |
| | 816 | | | Eurazeo SE | | | 48,728 | |
| | 21,382 | | | Faurecia SE* | | | 306,716 | |
| | 931 | | | Gecina SA, REIT | | | 82,882 | |
| | 9,026 | | | Getlink SE | | | 170,213 | |
| | 2,325 | | | Hermes International | | | 2,980,371 | |
| | 3,871 | | | Ipsen SA | | | 371,001 | |
| | 1,520 | | | Kering SA | | | 764,121 | |
| | 44,179 | | | Klepierre SA, REIT* | | | 905,750 | |
| | 15,367 | | | La Francaise des Jeux SAEM(d) | | | 499,138 | |
| | 22,563 | | | Legrand SA | | | 1,632,415 | |
| | 18,735 | | | L’Oréal SA | | | 6,432,766 | |
| | 14,889 | | | LVMH Moët Hennessy Louis Vuitton SE | | | 9,628,703 | |
| | 6,436 | | | Nexans SA | | | 587,963 | |
| | 16,787 | | | Nexity SA | | | 375,810 | |
| | 40,535 | | | Orange SA | | | 411,235 | |
See Notes to Financial Statements.
111
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| France — 11.3% — (continued) | |
| | 24,531 | | | Pernod Ricard SA | | $ | 4,506,013 | |
| | 4,635 | | | Publicis Groupe SA | | | 226,637 | |
| | 458 | | | Remy Cointreau SA(e) | | | 85,136 | |
| | 3,905 | | | Renault SA* | | | 111,581 | |
| | 38,910 | | | Rexel SA | | | 630,220 | |
| | 6,944 | | | Safran SA | | | 707,252 | |
| | 152,432 | | | Sanofi | | | 12,543,628 | |
| | 562 | | | Sartorius Stedim Biotech | | | 205,663 | |
| | 36,480 | | | Schneider Electric SE | | | 4,329,598 | |
| | 557 | | | SEB SA | | | 41,289 | |
| | 16,158 | | | Societe Generale SA | | | 357,571 | |
| | 1,789 | | | Sodexo SA | | | 137,200 | |
| | 3,996 | | | SOITEC* | | | 565,404 | |
| | 4,676 | | | Sopra Steria Group SACA | | | 647,015 | |
| | 28,303 | | | SPIE SA | | | 617,730 | |
| | 1,193 | | | Teleperformance | | | 340,144 | |
| | 2,232 | | | Thales SA | | | 269,141 | |
| | 193,178 | | | TotalEnergies SE | | | 9,808,024 | |
| | 1,865 | | | Ubisoft Entertainment SA* | | | 85,980 | |
| | 2,331 | | | Unibail-Rodamco-Westfield, REIT* | | | 119,746 | |
| | 86,178 | | | Valeo | | | 1,647,642 | |
| | 67,994 | | | Vallourec SA* | | | 706,041 | |
| | 13,506 | | | Veolia Environnement SA | | | 300,719 | |
| | 66,816 | | | Vinci SA | | | 6,183,744 | |
| | 14,640 | | | Vivendi SE | | | 132,892 | |
| | 575 | | | Wendel SE | | | 45,132 | |
| | 4,844 | | | Worldline SA*(d) | | | 207,164 | |
| | | | | | | | |
| | | | Total France | | | 129,801,516 | |
| | | | | | | | |
|
| Germany — 6.8% | |
| | 27,813 | | | adidas AG | | | 4,142,850 | |
| | 20,264 | | | AIXTRON SE | | | 474,968 | |
| | 8,375 | | | Allianz SE, Class Registered Shares | | | 1,416,406 | |
| | 6,515 | | | Aurubis AG | | | 395,330 | |
| | 18,976 | | | BASF SE | | | 802,113 | |
| | 135,428 | | | Bayer AG, Class Registered Shares | | | 7,157,763 | |
| | 43,794 | | | Bayerische Motoren Werke AG | | | 3,230,448 | |
| | 17,892 | | | Bechtle AG | | | 686,039 | |
| | 2,048 | | | Beiersdorf AG | | | 207,040 | |
| | 3,323 | | | Brenntag SE | | | 218,313 | |
| | 789 | | | Carl Zeiss Meditec AG | | | 98,368 | |
| | 22,913 | | | Commerzbank AG* | | | 152,546 | |
| | 2,225 | | | Continental AG | | | 128,512 | |
| | 3,915 | | | Covestro AG(d) | | | 118,462 | |
| | 54,036 | | | Daimler Truck Holding AG* | | | 1,385,648 | |
| | 3,529 | | | Delivery Hero SE*(d) | | | 147,092 | |
| | 5,952 | | | Dermapharm Holding SE | | | 276,141 | |
| | 41,992 | | | Deutsche Bank AG, Class Registered Shares | | | 350,899 | |
| | 3,860 | | | Deutsche Boerse AG | | | 652,837 | |
| | 12,027 | | | Deutsche Lufthansa AG, Class Registered Shares* | | | 71,542 | |
| | 60,365 | | | Deutsche Pfandbriefbank AG(d) | | | 520,749 | |
| | 20,509 | | | Deutsche Post AG, Class Registered Shares | | | 749,514 | |
| | 320,758 | | | Deutsche Telekom AG, Class Registered Shares | | | 6,054,934 | |
| | 45,616 | | | E.ON SE | | | 389,875 | |
| | 4,261 | | | Evonik Industries AG | | | 79,400 | |
| | 23,048 | | | Freenet AG | | | 502,379 | |
See Notes to Financial Statements.
112
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| Germany — 6.8% — (continued) | |
| | 4,167 | | | Fresenius Medical Care AG & Co. KGaA | | $ | 143,138 | |
| | 8,511 | | | Fresenius SE & Co. KGaA | | | 210,688 | |
| | 19,782 | | | GEA Group AG | | | 689,601 | |
| | 7,897 | | | Gerresheimer AG | | | 413,375 | |
| | 1,223 | | | Hannover Rueck SE | | | 180,242 | |
| | 3,017 | | | HeidelbergCement AG | | | 136,736 | |
| | 3,624 | | | HelloFresh SE* | | | 86,849 | |
| | 2,101 | | | Henkel AG & Co. KGaA | | | 131,505 | |
| | 10,238 | | | HUGO BOSS AG | | | 559,467 | |
| | 120,269 | | | Infineon Technologies AG | | | 2,933,490 | |
| | 1,626 | | | KION Group AG | | | 64,920 | |
| | 12,582 | | | Knorr-Bremse AG | | | 610,505 | |
| | 10,801 | | | Lanxess AG | | | 364,027 | |
| | 1,446 | | | LEG Immobilien SE | | | 109,457 | |
| | 16,530 | | | Mercedes-Benz Group AG, Class Registered Shares | | | 931,798 | |
| | 36,506 | | | Merck KGaA | | | 6,282,258 | |
| | 1,101 | | | MTU Aero Engines AG | | | 194,586 | |
| | 2,907 | | | Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen, Class Registered Shares | | | 694,814 | |
| | 1,101 | | | Nemetschek SE | | | 65,147 | |
| | 46,715 | | | ProSiebenSat.1 Media SE | | | 361,627 | |
| | 2,121 | | | Puma SE | | | 129,953 | |
| | 103 | | | Rational AG | | | 55,563 | |
| | 3,838 | | | Rheinmetall AG | | | 609,860 | |
| | 179,623 | | | RWE AG | | | 6,874,759 | |
| | 213,132 | | | SAP SE | | | 18,190,491 | |
| | 1,748 | | | Scout24 SE(d) | | | 100,932 | |
| | 41,428 | | | Siemens AG, Class Registered Shares | | | 4,204,991 | |
| | 8,971 | | | Siemens Energy AG | | | 132,182 | |
| | 5,960 | | | Siemens Healthineers AG(d) | | | 291,471 | |
| | 2,685 | | | Symrise AG, Class A Shares | | | 281,509 | |
| | 22,816 | | | Telefonica Deutschland Holding AG | | | 59,188 | |
| | 1,841 | | | Uniper SE | | | 9,972 | |
| | 16,423 | | | United Internet AG, Class Registered Shares | | | 371,850 | |
| | 5,134 | | | VERBIO Vereinigte BioEnergie AG | | | 330,257 | |
| | 600 | | | Volkswagen AG | | | 111,039 | |
| | 14,711 | | | Vonovia SE | | | 398,965 | |
| | 30,085 | | | Zalando SE*(d) | | | 697,159 | |
| | | | | | | | |
| | | | Total Germany | | | 78,424,539 | |
| | | | | | | | |
|
| Gibraltar — 0.0% | |
| | 148,723 | | | 888 Holdings PLC | | | 212,652 | |
| | | | | | | | |
|
| Hong Kong — 3.0% | |
| | 1,176,200 | | | AIA Group Ltd. | | | 11,342,999 | |
| | 45,600 | | | ASMPT Ltd. | | | 353,782 | |
| | 524,500 | | | BOC Hong Kong Holdings Ltd. | | | 1,805,919 | |
| | 34,900 | | | Budweiser Brewing Co. APAC Ltd.(d) | | | 102,546 | |
| | 43,000 | | | Chow Tai Fook Jewellery Group Ltd. | | | 86,703 | |
| | 40,500 | | | CK Asset Holdings Ltd. | | | 273,338 | |
| | 54,500 | | | CK Hutchison Holdings Ltd. | | | 351,697 | |
| | 14,500 | | | CK Infrastructure Holdings Ltd. | | | 88,212 | |
| | 521,000 | | | CLP Holdings Ltd. | | | 4,489,543 | |
| | 40,200 | | | ESR Group Ltd.*(d) | | | 112,580 | |
| | 1,177 | | | Futu Holdings Ltd., ADR* | | | 57,779 | |
| | 44,000 | | | Galaxy Entertainment Group Ltd. | | | 246,277 | |
| | 1,901,000 | | | Hang Lung Properties Ltd. | | | 3,164,085 | |
| | 15,500 | | | Hang Seng Bank Ltd. | | | 242,091 | |
See Notes to Financial Statements.
113
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| Hong Kong — 3.0% — (continued) | |
| | 28,894 | | | Henderson Land Development Co., Ltd. | | $ | 96,605 | |
| | 58,000 | | | HK Electric Investments & HK Electric Investments Ltd. | | | 48,403 | |
| | 75,000 | | | HKT Trust & HKT Ltd., Class Miscella Shares | | | 100,608 | |
| | 239,380 | | | Hong Kong & China Gas Co., Ltd. | | | 236,067 | |
| | 54,819 | | | Hong Kong Exchanges & Clearing Ltd. | | | 2,207,321 | |
| | 23,200 | | | Hongkong Land Holdings Ltd. | | | 111,992 | |
| | 142,000 | | | Hysan Development Co., Ltd. | | | 400,395 | |
| | 73,800 | | | Jardine Matheson Holdings Ltd. | | | 3,907,854 | |
| | 42,900 | | | Link REIT | | | 331,946 | |
| | 357,500 | | | LK Technology Holdings Ltd.(b) | | | 522,894 | |
| | 31,500 | | | MTR Corp., Ltd. | | | 161,357 | |
| | 30,669 | | | New World Development Co., Ltd. | | | 99,680 | |
| | 1,231,000 | | | Pacific Basin Shipping Ltd. | | | 436,908 | |
| | 28,000 | | | Power Assets Holdings Ltd. | | | 167,492 | |
| | 68,646 | | | Sino Land Co., Ltd. | | | 100,407 | |
| | 27,000 | | | SITC International Holdings Co., Ltd. | | | 68,441 | |
| | 29,500 | | | Sun Hung Kai Properties Ltd. | | | 345,833 | |
| | 10,000 | | | Swire Pacific Ltd., Class A Shares | | | 69,016 | |
| | 25,600 | | | Swire Properties Ltd. | | | 59,050 | |
| | 121,500 | | | Techtronic Industries Co., Ltd. | | | 1,429,459 | |
| | 394,000 | | | United Laboratories International Holdings Ltd. (The) | | | 190,876 | |
| | 169,500 | | | WH Group Ltd.(d) | | | 115,459 | |
| | 34,000 | | | Wharf Real Estate Investment Co., Ltd. | | | 155,060 | |
| | 38,000 | | | Xinyi Glass Holdings Ltd. | | | 70,221 | |
| | | | | | | | |
| | | | Total Hong Kong | | | 34,150,895 | |
| | | | | | | | |
|
| India — 0.2% | |
| | 112,709 | | | HDFC Bank Ltd. | | | 2,078,975 | |
| | | | | | | | |
|
| Indonesia — 0.1% | |
| | 2,664,600 | | | Bank Central Asia Tbk PT | | | 1,466,984 | |
| | | | | | | | |
|
| Ireland — 1.3% | |
| | 2,643 | | | AerCap Holdings NV* | | | 116,424 | |
| | 136,063 | | | Bank of Ireland Group PLC | | | 838,520 | |
| | 15,564 | | | CRH PLC | | | 572,391 | |
| | 113,077 | | | Dalata Hotel Group PLC* | | | 395,994 | |
| | 2,002 | | | DCC PLC | | | 115,248 | |
| | 169,736 | | | Experian PLC | | | 5,158,443 | |
| | 3,390 | | | Flutter Entertainment PLC* | | | 425,595 | |
| | 46,626 | | | Glanbia PLC | | | 592,992 | |
| | 9,048 | | | James Hardie Industries PLC, CDI | | | 205,074 | |
| | 3,234 | | | Kerry Group PLC, Class A Shares | | | 333,363 | |
| | 3,205 | | | Kingspan Group PLC | | | 181,590 | |
| | 81,388 | | | Ryanair Holdings PLC, ADR* | | | 5,917,722 | |
| | 4,999 | | | Smurfit Kappa Group PLC | | | 167,848 | |
| | | | | | | | |
| | | | Total Ireland | | | 15,021,204 | |
| | | | | | | | |
|
| Isle of Man — 0.0% | |
| | 8,075 | | | Playtech PLC* | | | 41,949 | |
| | | | | | | | |
|
| Israel — 0.5% | |
| | 854 | | | Azrieli Group Ltd. | | | 70,904 | |
| | 26,055 | | | Bank Hapoalim BM | | | 270,073 | |
| | 31,880 | | | Bank Leumi Le-Israel BM | | | 336,730 | |
| | 42,528 | | | Bezeq The Israeli Telecommunication Corp., Ltd.* | | | 719 | |
| | 2,091 | | | Check Point Software Technologies Ltd.* | | | 251,422 | |
| | 802 | | | CyberArk Software Ltd.* | | | 115,713 | |
See Notes to Financial Statements.
114
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| Israel — 0.5% — (continued) | |
| | 534 | | | Elbit Systems Ltd. | | $ | 114,218 | |
| | 16,239 | | | ICL Group Ltd. | | | 155,692 | |
| | 16,867 | | | Inmode Ltd.* | | | 538,732 | |
| | 1 | | | Isracard Ltd. | | | 3 | |
| | 26,554 | | | Israel Discount Bank Ltd., Class A Shares | | | 162,208 | |
| | 3,343 | | | Mizrahi Tefahot Bank Ltd. | | | 135,889 | |
| | 1,385 | | | Nice Ltd.* | | | 298,608 | |
| | 7,031 | | | Nice Ltd., ADR*(b) | | | 1,500,204 | |
| | 35,172 | | | Perion Network Ltd.* | | | 719,267 | |
| | 14,234 | | | Radware Ltd.* | | | 305,462 | |
| | 22,417 | | | Teva Pharmaceutical Industries Ltd., ADR* | | | 202,650 | |
| | 2,358 | | | Tower Semiconductor Ltd.* | | | 110,897 | |
| | 1,245 | | | Wix.com Ltd.* | | | 78,796 | |
| | 1,813 | | | ZIM Integrated Shipping Services Ltd. | | | 65,431 | |
| | | | | | | | |
| | | | Total Israel | | | 5,433,618 | |
| | | | | | | | |
|
| Italy — 3.1% | |
| | 2,418 | | | Amplifon SpA | | | 63,061 | |
| | 22,487 | | | Assicurazioni Generali SpA | | | 330,332 | |
| | 10,067 | | | Atlantia SpA | | | 230,876 | |
| | 166,175 | | | Banco BPM SpA | | | 413,593 | |
| | 26,671 | | | Buzzi Unicem SpA | | | 447,660 | |
| | 10,355 | | | Davide Campari-Milano NV | | | 101,633 | |
| | 491 | | | DiaSorin SpA | | | 64,529 | |
| | 2,243,026 | | | Enel SpA | | | 10,565,612 | |
| | 52,556 | | | Eni SpA | | | 621,358 | |
| | 2,561 | | | Ferrari NV | | | 496,478 | |
| | 164,875 | | | FinecoBank Banca Fineco SpA | | | 1,787,154 | |
| | 6,762 | | | Infrastrutture Wireless Italiane SpA(d) | | | 62,870 | |
| | 1,159,753 | | | Intesa Sanpaolo SpA | | | 2,003,469 | |
| | 218,485 | | | Iren SpA | | | 329,232 | |
| | 39,704 | | | Leonardo SpA | | | 325,475 | |
| | 12,298 | | | Mediobanca Banca di Credito Finanziario SpA | | | 97,572 | |
| | 4,198 | | | Moncler SpA | | | 187,902 | |
| | 10,604 | | | Nexi SpA*(d) | | | 87,219 | |
| | 10,519 | | | Poste Italiane SpA(d) | | | 84,327 | |
| | 5,148 | | | Prysmian SpA | | | 157,834 | |
| | 63,244 | | | Recordati Industria Chimica e Farmaceutica SpA | | | 2,586,484 | |
| | 5,999 | | | Reply SpA | | | 708,739 | |
| | 40,885 | | | Snam SpA | | | 194,411 | |
| | 187,027 | | | Telecom Italia SpA* | | | 38,645 | |
| | 28,587 | | | Terna – Rete Elettrica Nazionale | | | 203,791 | |
| | 1,418,154 | | | UniCredit SpA | | | 13,935,283 | |
| | | | | | | | |
| | | | Total Italy | | | 36,125,539 | |
| | | | | | | | |
|
| Japan — 16.3% | |
| | 3,900 | | | Advantest Corp. | | | 221,473 | |
| | 13,300 | | | Aeon Co., Ltd. | | | 259,333 | |
| | 47,700 | | | AEON Financial Service Co., Ltd.(b) | | | 489,867 | |
| | 3,900 | | | AGC Inc. | | | 132,424 | |
| | 3,000 | | | Aisin Corp. | | | 89,041 | |
| | 9,500 | | | Ajinomoto Co., Inc. | | | 262,674 | |
| | 3,400 | | | ANA Holdings Inc.* | | | 65,407 | |
| | 9,300 | | | Asahi Group Holdings Ltd. | | | 311,405 | |
| | 4,400 | | | Asahi Intecc Co., Ltd. | | | 78,304 | |
| | 25,500 | | | Asahi Kasei Corp. | | | 186,488 | |
| | 30,000 | | | ASKUL Corp. | | | 397,459 | |
See Notes to Financial Statements.
115
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| Japan — 16.3% — (continued) | |
| | 38,800 | | | Astellas Pharma Inc. | | $ | 551,747 | |
| | 2,500 | | | Azbil Corp. | | | 71,383 | |
| | 4,100 | | | Bandai Namco Holdings Inc. | | | 307,541 | |
| | 2,200 | | | BayCurrent Consulting Inc.(b) | | | 649,557 | |
| | 91,400 | | | Bridgestone Corp. | | | 3,499,776 | |
| | 4,700 | | | Brother Industries Ltd. | | | 89,887 | |
| | 20,300 | | | Canon Inc. | | | 485,683 | |
| | 3,500 | | | Capcom Co., Ltd. | | | 95,601 | |
| | 2,900 | | | Central Japan Railway Co. | | | 341,781 | |
| | 11,200 | | | Chiba Bank Ltd. (The) | | | 60,396 | |
| | 13,100 | | | Chubu Electric Power Co., Inc. | | | 133,033 | |
| | 13,600 | | | Chugai Pharmaceutical Co., Ltd. | | | 350,634 | |
| | 30,100 | | | CKD Corp. | | | 396,469 | |
| | 21,900 | | | Concordia Financial Group Ltd. | | | 69,399 | |
| | 9,300 | | | CyberAgent Inc. | | | 90,817 | |
| | 4,500 | | | Dai Nippon Printing Co., Ltd. | | | 94,519 | |
| | 2,000 | | | Daifuku Co., Ltd. | | | 116,460 | |
| | 12,300 | | | Daihen Corp. | | | 365,055 | |
| | 20,400 | | | Dai-ichi Life Holdings Inc. | | | 352,318 | |
| | 36,100 | | | Daiichi Sankyo Co., Ltd. | | | 1,081,163 | |
| | 48,300 | | | Daikin Industries Ltd. | | | 8,426,827 | |
| | 1,300 | | | Daito Trust Construction Co., Ltd. | | | 127,694 | |
| | 12,200 | | | Daiwa House Industry Co., Ltd. | | | 273,498 | |
| | 44 | | | Daiwa House REIT Investment Corp., Class A Shares | | | 101,764 | |
| | 27,600 | | | Daiwa Securities Group Inc. | | | 120,372 | |
| | 8,800 | | | Denso Corp. | | | 479,360 | |
| | 4,500 | | | Dentsu Group Inc. | | | 144,952 | |
| | 9,400 | | | Disco Corp. | | | 2,293,803 | |
| | 25,700 | | | DMG Mori Co., Ltd. | | | 334,699 | |
| | 6,100 | | | East Japan Railway Co. | | | 316,339 | |
| | 8,700 | | | Ebara Corp. | | | 329,649 | |
| | 28,500 | | | Eiken Chemical Co., Ltd. | | | 389,424 | |
| | 5,200 | | | Eisai Co., Ltd. | | | 211,883 | |
| | 62,350 | | | ENEOS Holdings Inc. | | | 236,024 | |
| | 67,300 | | | FANUC Corp. | | | 10,808,826 | |
| | 1,200 | | | Fast Retailing Co., Ltd. | | | 700,617 | |
| | 2,600 | | | Fuji Electric Co., Ltd. | | | 112,429 | |
| | 8,500 | | | Fuji Soft Inc. | | | 497,848 | |
| | 7,300 | | | FUJIFILM Holdings Corp. | | | 370,684 | |
| | 71,800 | | | Fujikura Ltd. | | | 508,771 | |
| | 4,000 | | | Fujitsu Ltd. | | | 472,840 | |
| | 20,900 | | | FULLCAST Holdings Co., Ltd. | | | 365,108 | |
| | 1,100 | | | Fuyo General Lease Co., Ltd. | | | 64,939 | |
| | 84 | | | GLP J-REIT | | | 102,431 | |
| | 900 | | | GMO Payment Gateway Inc. | | | 71,872 | |
| | 21,000 | | | GungHo Online Entertainment Inc. | | | 348,898 | |
| | 24,800 | | | H.U. Group Holdings Inc. | | | 503,878 | |
| | 4,700 | | | Hakuhodo DY Holdings Inc. | | | 41,970 | |
| | 3,100 | | | Hamamatsu Photonics KK | | | 131,716 | |
| | 4,700 | | | Hankyu Hanshin Holdings Inc. | | | 140,802 | |
| | 500 | | | Hikari Tsushin Inc. | | | 63,256 | |
| | 645 | | | Hirose Electric Co., Ltd. | | | 91,615 | |
| | 2,300 | | | Hitachi Construction Machinery Co., Ltd. | | | 47,219 | |
| | 19,700 | | | Hitachi Ltd. | | | 986,478 | |
| | 4,300 | | | Hitachi Metals Ltd.* | | | 64,663 | |
| | 33,700 | | | Honda Motor Co., Ltd. | | | 893,873 | |
See Notes to Financial Statements.
116
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| Japan — 16.3% — (continued) | |
| | 2,200 | | | Hoshizaki Corp. | | $ | 65,400 | |
| | 52,800 | | | Hoya Corp. | | | 5,363,449 | |
| | 7,800 | | | Hulic Co., Ltd. | | | 59,182 | |
| | 2,100 | | | Ibiden Co., Ltd. | | | 66,920 | |
| | 4,237 | | | Idemitsu Kosan Co., Ltd. | | | 112,081 | |
| | 2,600 | | | Iida Group Holdings Co., Ltd. | | | 39,608 | |
| | 64,900 | | | INFRONEER Holdings Inc. | | | 463,030 | |
| | 21,100 | | | Inpex Corp. | | | 245,982 | |
| | 27,400 | | | Internet Initiative Japan Inc. | | | 990,164 | |
| | 1,128 | | | Invincible Investment Corp., REIT | | | 347,430 | |
| | 11,900 | | | Isuzu Motors Ltd. | | | 147,042 | |
| | 1,200 | | | Ito En Ltd. | | | 52,714 | |
| | 24,200 | | | ITOCHU Corp. | | | 664,340 | |
| | 2,000 | | | Itochu Techno-Solutions Corp. | | | 50,518 | |
| | 2,800 | | | Japan Airlines Co., Ltd.* | | | 51,545 | |
| | 10,100 | | | Japan Exchange Group Inc. | | | 150,417 | |
| | 141 | | | Japan Metropolitan Fund Invest, REIT | | | 111,927 | |
| | 8,400 | | | Japan Post Bank Co., Ltd. | | | 61,174 | |
| | 49,800 | | | Japan Post Holdings Co., Ltd. | | | 343,627 | |
| | 4,200 | | | Japan Post Insurance Co., Ltd. | | | 64,345 | |
| | 25 | | | Japan Real Estate Investment Corp., REIT | | | 115,925 | |
| | 24,400 | | | Japan Tobacco Inc. | | | 413,576 | |
| | 9,100 | | | Jeol Ltd. | | | 365,838 | |
| | 10,200 | | | JFE Holdings Inc. | | | 109,596 | |
| | 7,000 | | | JGC Holdings Corp. | | | 93,967 | |
| | 3,700 | | | JSR Corp. | | | 82,516 | |
| | 8,600 | | | Kajima Corp. | | | 90,536 | |
| | 2,700 | | | Kakaku.com Inc. | | | 49,771 | |
| | 15,200 | | | Kaneka Corp. | | | 408,308 | |
| | 14,600 | | | Kansai Electric Power Co., Inc. (The) | | | 141,499 | |
| | 9,700 | | | Kao Corp. | | | 420,727 | |
| | 81,700 | | | KDDI Corp. | | | 2,510,539 | |
| | 2,100 | | | Keio Corp. | | | 79,965 | |
| | 2,500 | | | Keisei Electric Railway Co., Ltd. | | | 69,749 | |
| | 75 | | | Kenedix Office Investment Corp., REIT, Class A Shares | | | 387,895 | |
| | 22,300 | | | Keyence Corp. | | | 8,395,504 | |
| | 2,900 | | | Kikkoman Corp. | | | 177,350 | |
| | 3,500 | | | Kintetsu Group Holdings Co., Ltd. | | | 118,890 | |
| | 16,700 | | | Kirin Holdings Co., Ltd. | | | 274,930 | |
| | 1,100 | | | Kobayashi Pharmaceutical Co., Ltd. | | | 62,566 | |
| | 2,800 | | | Kobe Bussan Co., Ltd. | | | 71,445 | |
| | 1,400 | | | Koei Tecmo Holdings Co., Ltd. | | | 46,955 | |
| | 2,100 | | | Koito Manufacturing Co., Ltd. | | | 71,652 | |
| | 18,800 | | | Komatsu Ltd. | | | 393,542 | |
| | 18,400 | | | Komeri Co., Ltd. | | | 345,748 | |
| | 1,900 | | | Konami Group Corp. | | | 96,266 | |
| | 800 | | | Kose Corp. | | | 75,565 | |
| | 106,200 | | | Kubota Corp. | | | 1,650,260 | |
| | 12,200 | | | Kumagai Gumi Co., Ltd. | | | 233,355 | |
| | 2,000 | | | Kurita Water Industries Ltd. | | | 77,926 | |
| | 6,500 | | | Kyocera Corp. | | | 361,038 | |
| | 5,300 | | | Kyowa Kirin Co., Ltd. | | | 118,928 | |
| | 1,600 | | | Lasertec Corp. | | | 220,555 | |
| | 6,200 | | | Lixil Corp. | | | 107,892 | |
| | 9,200 | | | M3 Inc. | | | 295,375 | |
| | 85,200 | | | Makita Corp. | | | 2,007,652 | |
See Notes to Financial Statements.
117
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| Japan — 16.3% — (continued) | |
| | 31,800 | | | Marubeni Corp. | | $ | 329,604 | |
| | 11,400 | | | Mazda Motor Corp. | | | 100,209 | |
| | 1,900 | | | McDonald’s Holdings Co. Japan Ltd. | | | 67,913 | |
| | 2,500 | | | MEIJI Holdings Co., Ltd. | | | 119,229 | |
| | 7,100 | | | MINEBEA MITSUMI Inc. | | | 122,090 | |
| | 175,500 | | | MISUMI Group Inc. | | | 4,309,502 | |
| | 25,800 | | | Mitsubishi Chemical Group Corp. | | | 135,522 | |
| | 25,700 | | | Mitsubishi Corp. | | | 838,964 | |
| | 39,300 | | | Mitsubishi Electric Corp. | | | 398,095 | |
| | 23,700 | | | Mitsubishi Estate Co., Ltd. | | | 319,136 | |
| | 13,900 | | | Mitsubishi HC Capital Inc. | | | 67,389 | |
| | 6,700 | | | Mitsubishi Heavy Industries Ltd. | | | 257,918 | |
| | 248,300 | | | Mitsubishi UFJ Financial Group Inc. | | | 1,284,531 | |
| | 28,400 | | | Mitsui & Co., Ltd.(b) | | | 663,055 | |
| | 3,700 | | | Mitsui Chemicals Inc. | | | 83,047 | |
| | 18,500 | | | Mitsui Fudosan Co., Ltd. | | | 373,636 | |
| | 6,900 | | | Mitsui OSK Lines Ltd.(b) | | | 180,427 | |
| | 48,990 | | | Mizuho Financial Group Inc. | | | 560,421 | |
| | 4,800 | | | MonotaRO Co., Ltd. | | | 86,281 | |
| | 9,000 | | | Morinaga Milk Industry Co., Ltd. | | | 275,099 | |
| | 9,000 | | | MS&AD Insurance Group Holdings Inc. | | | 269,196 | |
| | 195,500 | | | Murata Manufacturing Co., Ltd. | | | 10,546,829 | |
| | 63,800 | | | Nabtesco Corp. | | | 1,513,058 | |
| | 4,900 | | | NEC Corp. | | | 178,818 | |
| | 28,200 | | | NEC Networks & System Integration Corp. | | | 351,737 | |
| | 10,000 | | | Nexon Co., Ltd. | | | 199,500 | |
| | 17,900 | | | Nextage Co., Ltd. | | | 389,975 | |
| | 5,200 | | | NGK Insulators Ltd. | | | 74,179 | |
| | 23,000 | | | Nichicon Corp. | | | 242,161 | |
| | 9,100 | | | Nidec Corp. | | | 605,188 | |
| | 6,900 | | | Nihon M&A Center Holdings Inc. | | | 85,435 | |
| | 2,300 | | | Nintendo Co., Ltd. | | | 938,896 | |
| | 86 | | | Nippon Accommodations Fund Inc., REIT, Class A Shares | | | 422,113 | |
| | 31 | | | Nippon Building Fund Inc., REIT | | | 154,548 | |
| | 33,600 | | | Nippon Electric Glass Co., Ltd. | | | 634,100 | |
| | 1,600 | | | Nippon Express Holdings Inc. | | | 88,183 | |
| | 16,500 | | | Nippon Paint Holdings Co., Ltd. | | | 127,643 | |
| | 42 | | | Nippon Prologis REIT Inc. | | | 105,718 | |
| | 3,200 | | | Nippon Sanso Holdings Corp. | | | 58,205 | |
| | 1,100 | | | Nippon Shinyaku Co., Ltd. | | | 60,067 | |
| | 16,400 | | | Nippon Steel Corp. | | | 258,987 | |
| | 112,300 | | | Nippon Suisan Kaisha Ltd. | | | 459,764 | |
| | 24,300 | | | Nippon Telegraph & Telephone Corp. | | | 658,307 | |
| | 3,300 | | | Nippon Yusen KK | | | 252,219 | |
| | 2,500 | | | Nissan Chemical Corp. | | | 125,922 | |
| | 47,200 | | | Nissan Motor Co., Ltd. | | | 185,125 | |
| | 4,100 | | | Nisshin Seifun Group Inc. | | | 46,208 | |
| | 1,300 | | | Nissin Foods Holdings Co., Ltd. | | | 93,014 | |
| | 1,600 | | | Nitori Holdings Co., Ltd. | | | 153,391 | |
| | 2,900 | | | Nitto Denko Corp. | | | 178,596 | |
| | 59,100 | | | Nomura Holdings Inc. | | | 214,219 | |
| | 2,700 | | | Nomura Real Estate Holdings Inc. | | | 66,161 | |
| | 86 | | | Nomura Real Estate Master Fund Inc., REIT | | | 105,155 | |
| | 6,880 | | | Nomura Research Institute Ltd. | | | 186,093 | |
| | 117,600 | | | North Pacific Bank Ltd. | | | 194,559 | |
| | 12,700 | | | NTT Data Corp. | | | 178,822 | |
See Notes to Financial Statements.
118
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| Japan — 16.3% — (continued) | |
| | 13,100 | | | Obayashi Corp. | | $ | 90,626 | |
| | 16,500 | | | Obic Co., Ltd. | | | 2,451,077 | |
| | 5,700 | | | Odakyu Electric Railway Co., Ltd. | | | 77,967 | |
| | 16,300 | | | Oji Holdings Corp. | | | 65,007 | |
| | 25,100 | | | Olympus Corp. | | | 540,845 | |
| | 3,900 | | | Omron Corp. | | | 205,186 | |
| | 7,500 | | | Ono Pharmaceutical Co., Ltd. | | | 179,047 | |
| | 15,100 | | | Open House Group Co., Ltd.(b) | | | 592,053 | |
| | 800 | | | Oracle Corp. Japan | | | 47,786 | |
| | 4,100 | | | Oriental Land Co., Ltd. | | | 610,953 | |
| | 24,300 | | | ORIX Corp. | | | 400,342 | |
| | 7,800 | | | Osaka Gas Co., Ltd. | | | 131,142 | |
| | 2,300 | | | Otsuka Corp. | | | 74,531 | |
| | 7,900 | | | Otsuka Holdings Co., Ltd. | | | 258,051 | |
| | 38,900 | | | Outsourcing Inc. | | | 337,427 | |
| | 7,500 | | | Pan Pacific International Holdings Corp. | | | 134,186 | |
| | 44,900 | | | Panasonic Holdings Corp. | | | 363,457 | |
| | 3,600 | | | Persol Holdings Co., Ltd. | | | 72,060 | |
| | 16,600 | | | Rakuten Group Inc. | | | 80,197 | |
| | 83,300 | | | Recruit Holdings Co., Ltd. | | | 2,653,041 | |
| | 23,700 | | | Renesas Electronics Corp.* | | | 223,117 | |
| | 83,300 | | | Rengo Co., Ltd. | | | 491,243 | |
| | 46,600 | | | Resona Holdings Inc. | | | 171,299 | |
| | 26,800 | | | Resorttrust Inc.(b) | | | 430,632 | |
| | 11,700 | | | Ricoh Co., Ltd. | | | 91,947 | |
| | 1,800 | | | Rohm Co., Ltd. | | | 134,908 | |
| | 13,600 | | | Sankyo Co., Ltd. | | | 398,770 | |
| | 11,200 | | | Sankyu Inc. | | | 345,010 | |
| | 43,600 | | | Sanwa Holdings Corp. | | | 431,102 | |
| | 11,800 | | | Sawai Group Holdings Co., Ltd. | | | 348,154 | |
| | 4,800 | | | SBI Holdings Inc. | | | 94,216 | |
| | 3,400 | | | SCSK Corp. | | | 55,555 | |
| | 4,300 | | | Secom Co., Ltd. | | | 275,418 | |
| | 5,600 | | | Seiko Epson Corp. | | | 87,925 | |
| | 116,500 | | | Sekisui Chemical Co., Ltd. | | | 1,588,361 | |
| | 12,600 | | | Sekisui House Ltd. | | | 214,647 | |
| | 15,700 | | | Seven & i Holdings Co., Ltd. | | | 622,338 | |
| | 5,900 | | | SG Holdings Co., Ltd. | | | 97,839 | |
| | 5,000 | | | Sharp Corp. | | | 35,752 | |
| | 65,500 | | | Shimadzu Corp. | | | 1,919,581 | |
| | 5,600 | | | Shimamura Co., Ltd. | | | 508,437 | |
| | 1,600 | | | Shimano Inc. | | | 282,501 | |
| | 10,400 | | | Shimizu Corp. | | | 57,002 | |
| | 40,400 | | | Shin-Etsu Chemical Co., Ltd. | | | 4,696,315 | |
| | 36,100 | | | Shinko Electric Industries Co., Ltd.(b) | | | 1,007,788 | |
| | 5,400 | | | Shionogi & Co., Ltd. | | | 262,731 | |
| | 8,400 | | | Shiseido Co., Ltd. | | | 317,990 | |
| | 9,400 | | | Shizuoka Bank Ltd. (The) | | | 54,373 | |
| | 15,600 | | | SMC Corp. | | | 7,404,481 | |
| | 58,400 | | | Softbank Corp. | | | 641,043 | |
| | 24,900 | | | SoftBank Group Corp. | | | 983,747 | |
| | 6,600 | | | Sompo Holdings Inc. | | | 283,061 | |
| | 75,300 | | | Sony Group Corp. | | | 5,973,553 | |
| | 1,700 | | | Square Enix Holdings Co., Ltd. | | | 73,970 | |
| | 17,900 | | | Starts Corp., Inc. | | | 344,054 | |
| | 12,500 | | | Subaru Corp. | | | 227,000 | |
See Notes to Financial Statements.
119
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| Japan — 16.3% — (continued) | |
| | 7,700 | | | SUMCO Corp. | | $ | 104,797 | |
| | 30,300 | | | Sumitomo Chemical Co., Ltd. | | | 119,425 | |
| | 23,700 | | | Sumitomo Corp. | | | 332,913 | |
| | 14,500 | | | Sumitomo Electric Industries Ltd. | | | 165,692 | |
| | 33,400 | | | Sumitomo Forestry Co., Ltd. | | | 565,726 | |
| | 5,100 | | | Sumitomo Metal Mining Co., Ltd. | | | 160,203 | |
| | 163,090 | | | Sumitomo Mitsui Financial Group Inc. | | | 4,911,924 | |
| | 6,900 | | | Sumitomo Mitsui Trust Holdings Inc. | | | 214,841 | |
| | 6,300 | | | Sumitomo Realty & Development Co., Ltd. | | | 154,195 | |
| | 2,800 | | | Suntory Beverage & Food Ltd. | | | 102,466 | |
| | 14,800 | | | Suzuken Co., Ltd. | | | 354,007 | |
| | 7,500 | | | Suzuki Motor Corp. | | | 261,310 | |
| | 75,900 | | | Sysmex Corp. | | | 4,626,700 | |
| | 11,100 | | | T&D Holdings Inc. | | | 121,283 | |
| | 3,900 | | | Taisei Corp. | | | 118,227 | |
| | 7,200 | | | Taiyo Yuden Co., Ltd. | | | 223,058 | |
| | 313,154 | | | Takeda Pharmaceutical Co., Ltd. | | | 8,653,418 | |
| | 21,600 | | | Takeuchi Manufacturing Co., Ltd. | | | 409,039 | |
| | 7,900 | | | TDK Corp. | | | 276,626 | |
| | 18,700 | | | TechnoPro Holdings Inc. | | | 420,383 | |
| | 76,100 | | | Terumo Corp. | | | 2,448,287 | |
| | 4,400 | | | TIS Inc. | | | 126,112 | |
| | 3,800 | | | Tobu Railway Co., Ltd. | | | 89,800 | |
| | 2,300 | | | Toho Co., Ltd. | | | 87,467 | |
| | 43,500 | | | Tokio Marine Holdings Inc. | | | 2,435,506 | |
| | 30,900 | | | Tokyo Electric Power Co. Holdings Inc.* | | | 120,527 | |
| | 5,900 | | | Tokyo Electron Ltd. | | | 1,852,129 | |
| | 8,600 | | | Tokyo Gas Co., Ltd. | | | 161,078 | |
| | 10,900 | | | Tokyo Ohka Kogyo Co., Ltd. | | | 534,961 | |
| | 11,900 | | | Tokyo Seimitsu Co., Ltd. | | | 398,062 | |
| | 30,000 | | | Tokyo Tatemono Co., Ltd. | | | 449,764 | |
| | 9,000 | | | Tokyotokeiba Co., Ltd. | | | 272,673 | |
| | 11,600 | | | Tokyu Corp. | | | 137,936 | |
| | 5,300 | | | Toppan Inc. | | | 83,189 | |
| | 28,200 | | | Toray Industries Inc. | | | 161,599 | |
| | 7,900 | | | Toshiba Corp. | | | 292,355 | |
| | 5,300 | | | Tosoh Corp. | | | 68,682 | |
| | 2,800 | | | TOTO Ltd. | | | 96,594 | |
| | 44,700 | | | Toyo Tire Corp. | | | 540,611 | |
| | 3,000 | | | Toyota Industries Corp. | | | 167,877 | |
| | 438,400 | | | Toyota Motor Corp. | | | 6,544,453 | |
| | 4,300 | | | Toyota Tsusho Corp. | | | 150,076 | |
| | 2,800 | | | Trend Micro Inc. | | | 172,628 | |
| | 8,400 | | | Unicharm Corp. | | | 292,075 | |
| | 36,200 | | | Ushio Inc. | | | 440,275 | |
| | 4,300 | | | USS Co., Ltd. | | | 76,008 | |
| | 7,200 | | | Valor Holdings Co., Ltd. | | | 91,779 | |
| | 2,000 | | | Welcia Holdings Co., Ltd. | | | 41,890 | |
| | 12,700 | | | West Holdings Corp.(b) | | | 401,934 | |
| | 4,700 | | | West Japan Railway Co. | | | 182,893 | |
| | 2,600 | | | Yakult Honsha Co., Ltd. | | | 153,617 | |
| | 2,700 | | | Yamaha Corp. | | | 105,085 | |
| | 6,000 | | | Yamaha Motor Co., Ltd. | | | 124,518 | |
| | 5,700 | | | Yamato Holdings Co., Ltd. | | | 88,939 | |
| | 4,800 | | | Yaskawa Electric Corp. | | | 156,532 | |
| | 4,600 | | | Yokogawa Electric Corp. | | | 80,522 | |
See Notes to Financial Statements.
120
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| Japan — 16.3% — (continued) | |
| | 54,000 | | | Z Holdings Corp. | | $ | 159,686 | |
| | 10,800 | | | Zenkoku Hosho Co., Ltd. | | | 356,926 | |
| | 28,600 | | | Zeon Corp. | | | 273,910 | |
| | 2,600 | | | ZOZO Inc. | | | 57,709 | |
| | | | | | | | |
| | | | Total Japan | | | 187,156,708 | |
| | | | | | | | |
|
| Jordan — 0.0% | |
| | 3,493 | | | Hikma Pharmaceuticals PLC | | | 53,244 | |
| | | | | | | | |
|
| Luxembourg — 0.0% | |
| | 10,799 | | | ArcelorMittal SA | | | 256,339 | |
| | 20,103 | | | Aroundtown SA | | | 58,572 | |
| | 2,734 | | | Eurofins Scientific SE | | | 189,382 | |
| | 9,992 | | | Tenaris SA | | | 137,052 | |
| | | | | | | | |
| | | | Total Luxembourg | | | 641,345 | |
| | | | | | | | |
|
| Macau — 0.6% | |
| | 2,876,400 | | | Sands China Ltd.* | | | 6,440,914 | |
| | | | | | | | |
|
| Netherlands — 4.3% | |
| | 39,986 | | | Aalberts NV | | | 1,464,453 | |
| | 8,494 | | | ABN AMRO Bank NV, Dutch Certificate, GDR(d) | | | 81,466 | |
| | 1,231 | | | Adyen NV*(d) | | | 1,894,509 | |
| | 36,376 | | | Aegon NV | | | 162,427 | |
| | 136,373 | | | Akzo Nobel NV | | | 8,633,252 | |
| | 1,129 | | | Argenx SE* | | | 425,446 | |
| | 2,451 | | | Argenx SE, ADR* | | | 926,159 | |
| | 932 | | | ASM International NV | | | 252,825 | |
| | 25,347 | | | ASML Holding NV | | | 12,289,164 | |
| | 19,701 | | | ASR Nederland NV | | | 803,866 | |
| | 6,837 | | | BE Semiconductor Industries NV | | | 323,232 | |
| | 7,794 | | | Euronext NV(d) | | | 576,459 | |
| | 2,192 | | | EXOR NV | | | 131,911 | |
| | 53,189 | | | Fugro NV* | | | 677,458 | |
| | 2,048 | | | Heineken Holding NV | | | 145,162 | |
| | 5,266 | | | Heineken NV | | | 474,679 | |
| | 3,439 | | | IMCD NV | | | 474,932 | |
| | 840,543 | | | ING Groep NV | | | 7,366,504 | |
| | 2,158 | | | JDE Peet’s NV | | | 66,591 | |
| | 3,975 | | | Just Eat Takeaway.com NV*(d) | | | 66,516 | |
| | 21,247 | | | Koninklijke Ahold Delhaize NV | | | 584,503 | |
| | 3,644 | | | Koninklijke DSM NV | | | 465,062 | |
| | 67,116 | | | Koninklijke KPN NV | | | 213,437 | |
| | 285,855 | | | Koninklijke Philips NV | | | 4,761,974 | |
| | 5,929 | | | NN Group NV | | | 243,055 | |
| | 13,821 | | | OCI NV | | | 519,712 | |
| | 17,069 | | | Prosus NV* | | | 1,056,347 | |
| | 4,884 | | | QIAGEN NV* | | | 221,932 | |
| | 2,429 | | | Randstad NV | | | 113,177 | |
| | 21,958 | | | Signify NV(d) | | | 624,372 | |
| | 46,592 | | | Stellantis NV | | | 621,032 | |
| | 93,162 | | | Universal Music Group NV | | | 1,847,673 | |
| | 5,334 | | | Wolters Kluwer NV | | | 521,573 | |
| | | | | | | | |
| | | | Total Netherlands | | | 49,030,860 | |
| | | | | | | | |
|
| New Zealand — 0.1% | |
| | 25,351 | | | Auckland International Airport Ltd.* | | | 116,895 | |
| | 12,619 | | | Fisher & Paykel Healthcare Corp., Ltd. | | | 150,998 | |
See Notes to Financial Statements.
121
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| New Zealand — 0.1% — (continued) | |
| | 13,318 | | | Mercury NZ Ltd. | | $ | 47,151 | |
| | 25,777 | | | Meridian Energy Ltd. | | | 78,626 | |
| | 37,569 | | | Spark New Zealand Ltd. | | | 124,121 | |
| | 2,667 | | | Xero Ltd.* | | | 157,776 | |
| | | | | | | | |
| | | | Total New Zealand | | | 675,567 | |
| | | | | | | | |
|
| Norway — 0.7% | |
| | 4,972 | | | Adevinta ASA, Class B Shares* | | | 40,256 | |
| | 6,437 | | | Aker BP ASA | | | 225,238 | |
| | 111,778 | | | DNB Bank ASA | | | 2,131,920 | |
| | 99,989 | | | Equinor ASA | | | 3,865,727 | |
| | 4,064 | | | Gjensidige Forsikring ASA | | | 82,409 | |
| | 1,933 | | | Kongsberg Gruppen ASA | | | 65,920 | |
| | 8,405 | | | Mowi ASA | | | 172,396 | |
| | 27,324 | | | Norsk Hydro ASA | | | 187,716 | |
| | 15,036 | | | Orkla ASA | | | 126,084 | |
| | 1,273 | | | Salmar ASA | | | 84,330 | |
| | 37,530 | | | Sparebanken Vest | | | 333,971 | |
| | 14,217 | | | Telenor ASA | | | 155,784 | |
| | 3,380 | | | Yara International ASA | | | 143,026 | |
| | | | | | | | |
| | | | Total Norway | | | 7,614,777 | |
| | | | | | | | |
|
| Portugal — 0.0% | |
| | 56,402 | | | EDP — Energias de Portugal SA | | | 269,682 | |
| | 10,184 | | | Galp Energia SGPS SA | | | 110,117 | |
| | 5,698 | | | Jeronimo Martins SGPS SA | | | 126,323 | |
| | | | | | | | |
| | | | Total Portugal | | | 506,122 | |
| | | | | | | | |
|
| Singapore — 0.9% | |
| | 2,182,158 | | | Ascendas Real Estate Investment Trust, REIT | | | 4,396,811 | |
| | 109,850 | | | CapitaLand Integrated Commercial Trust, REIT | | | 162,592 | |
| | 52,900 | | | Capitaland Investment Ltd. | | | 139,332 | |
| | 7,100 | | | City Developments Ltd. | | | 41,212 | |
| | 36,800 | | | DBS Group Holdings Ltd. | | | 856,421 | |
| | 620,500 | | | Frasers Logistics & Commercial Trust, REIT | | | 602,476 | |
| | 124,700 | | | Genting Singapore Ltd. | | | 69,053 | |
| | 28,339 | | | Grab Holdings Ltd., Class A Shares* | | | 80,766 | |
| | 29,600 | | | Keppel Corp., Ltd. | | | 153,577 | |
| | 63,929 | | | Mapletree Logistics Trust, REIT | | | 76,275 | |
| | 45,500 | | | Mapletree Pan Asia Commercial Trust, REIT | | | 59,828 | |
| | 68,800 | | | Oversea-Chinese Banking Corp., Ltd. | | | 594,061 | |
| | 7,498 | | | Sea Ltd., ADR* | | | 464,876 | |
| | 344,500 | | | Sembcorp Industries Ltd. | | | 833,705 | |
| | 27,850 | | | Singapore Airlines Ltd.* | | | 105,787 | |
| | 17,400 | | | Singapore Exchange Ltd. | | | 117,977 | |
| | 31,700 | | | Singapore Technologies Engineering Ltd. | | | 84,467 | |
| | 174,700 | | | Singapore Telecommunications Ltd. | | | 326,932 | |
| | 24,003 | | | United Overseas Bank Ltd. | | | 468,480 | |
| | 9,271 | | | UOL Group Ltd. | | | 45,873 | |
| | 5,700 | | | Venture Corp., Ltd. | | | 74,410 | |
| | 40,200 | | | Wilmar International Ltd. | | | 116,006 | |
| | | | | | | | |
| | | | Total Singapore | | | 9,870,917 | |
| | | | | | | | |
|
| South Korea — 1.9% | |
| | 3,809 | | | Cosmax Inc.(b) | | | 177,109 | |
| | 6,470 | | | Coway Co., Ltd.(b) | | | 306,311 | |
| | 20,631 | | | Daeduck Electronics Co., Ltd. | | | 452,269 | |
See Notes to Financial Statements.
122
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| South Korea — 1.9% — (continued) | |
| | 2,843 | | | Daewoong Pharmaceutical Co., Ltd.(b) | | $ | 369,610 | |
| | 5,439 | | | Dentium Co., Ltd. | | | 351,509 | |
| | 11,599 | | | JYP Entertainment Corp. | | | 523,288 | |
| | 1,369 | | | KCC Corp. | | | 297,828 | |
| | 3,546 | | | LEENO Industrial Inc. | | | 375,937 | |
| | 2,314 | | | LG Innotek Co., Ltd.(b) | | | 589,153 | |
| | 3,679 | | | Lotte Chilsung Beverage Co., Ltd. | | | 421,554 | |
| | 7,596 | | | LOTTE Fine Chemical Co., Ltd.(b) | | | 396,099 | |
| | 5,301 | | | LX Semicon Co., Ltd.(b) | | | 372,279 | |
| | 5,061 | | | Osstem Implant Co., Ltd.(a)(b) | | | 482,773 | |
| | 257,460 | | | Samsung Electronics Co., Ltd. | | | 11,360,073 | |
| | 35,209 | | | Samsung Engineering Co., Ltd.* | | | 609,825 | |
| | 4,407 | | | Samsung SDI Co., Ltd. | | | 1,944,134 | |
| | 42,566 | | | SK Hynix Inc. | | | 2,986,804 | |
| | 9,598 | | | Youngone Corp.(b) | | | 316,082 | |
| | | | | | | | |
| | | | Total South Korea | | | 22,332,637 | |
| | | | | | | | |
|
| Spain — 3.7% | |
| | 534 | | | Acciona SA | | | 104,420 | |
| | 55,563 | | | Acerinox SA | | | 502,181 | |
| | 5,260 | | | ACS Actividades de Construccion y Servicios SA | | | 117,128 | |
| | 44,042 | | | Aena SME SA*(d) | | | 5,398,512 | |
| | 178,270 | | | Amadeus IT Group SA* | | | 9,404,462 | |
| | 48,356 | | | Applus Services SA | | | 323,046 | |
| | 438,009 | | | Banco Bilbao Vizcaya Argentaria SA | | | 1,961,349 | |
| | 357,183 | | | Banco Santander SA | | | 865,494 | |
| | 134,433 | | | Bankinter SA | | | 688,080 | |
| | 630,836 | | | CaixaBank SA | | | 1,900,454 | |
| | 11,042 | | | Cellnex Telecom SA(d) | | | 428,808 | |
| | 27,431 | | | Cia de Distribucion Integral Logista Holdings SA | | | 532,895 | |
| | 11,793 | | | Corp. ACCIONA Energias Renovables SA | | | 489,950 | |
| | 5,855 | | | EDP Renovaveis SA | | | 141,866 | |
| | 3,916 | | | Enagas SA | | | 71,466 | |
| | 6,453 | | | Endesa SA | | | 110,653 | |
| | 9,800 | | | Ferrovial SA | | | 245,093 | |
| | 6,061 | | | Grifols SA* | | | 73,037 | |
| | 837,037 | | | Iberdrola SA | | | 8,709,224 | |
| | 383,609 | | | Industria de Diseno Textil SA | | | 8,277,290 | |
| | 12,687 | | | Laboratorios Farmaceuticos Rovi SA | | | 622,791 | |
| | 45,429 | | | Merlin Properties Socimi SA, REIT | | | 414,994 | |
| | 3,145 | | | Naturgy Energy Group SA | | | 86,586 | |
| | 6,811 | | | Red Electrica Corp. SA | | | 124,483 | |
| | 29,482 | | | Repsol SA | | | 383,423 | |
| | 4,786 | | | Siemens Gamesa Renewable Energy SA* | | | 86,041 | |
| | 112,274 | | | Telefonica SA | | | 463,540 | |
| | | | | | | | |
| | | | Total Spain | | | 42,527,266 | |
| | | | | | | | |
|
| Sweden — 1.7% | |
| | 5,860 | | | Alfa Laval AB | | | 156,369 | |
| | 20,970 | | | eAlleima AB*(a)(e) | | | 84,158 | |
| | 20,364 | | | Assa Abloy AB, Class B Shares | | | 412,653 | |
| | 54,575 | | | Atlas Copco AB, Class A Shares | | | 554,336 | |
| | 32,973 | | | Atlas Copco AB, Class B Shares | | | 299,853 | |
| | 5,557 | | | Boliden AB | | | 178,121 | |
| | 20,438 | | | Cibus Nordic Real Estate AB | | | 325,807 | |
| | 44,626 | | | Dometic Group AB(d) | | | 253,824 | |
See Notes to Financial Statements.
123
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| Sweden — 1.7% — (continued) | |
| | 4,351 | | | Electrolux AB, Class B Shares | | $ | 55,111 | |
| | 14,800 | | | Embracer Group AB, Class B Shares*(b) | | | 92,159 | |
| | 13,390 | | | Epiroc AB, Class A Shares | | | 204,944 | |
| | 7,883 | | | Epiroc AB, Class B Shares | | | 107,312 | |
| | 6,127 | | | EQT AB | | | 136,744 | |
| | 12,374 | | | Essity AB, Class B Shares | | | 274,493 | |
| | 3,715 | | | Evolution AB(d) | | | 297,488 | |
| | 14,280 | | | Fastighets AB Balder, Class B Shares* | | | 78,872 | |
| | 4,527 | | | Getinge AB, Class B Shares | | | 83,950 | |
| | 15,733 | | | H & M Hennes & Mauritz AB, Class B Shares | | | 163,526 | |
| | 39,547 | | | Hexagon AB, Class B Shares | | | 403,977 | |
| | 2,028 | | | Holmen AB, Class B Shares | | | 87,000 | |
| | 7,955 | | | Husqvarna AB, Class B Shares | | | 53,506 | |
| | 2,687 | | | Industrivarden AB, Class A Shares | | | 59,516 | |
| | 3,249 | | | Industrivarden AB, Class C Shares | | | 71,252 | |
| | 5,906 | | | Indutrade AB | | | 109,408 | |
| | 19,003 | | | Intrum AB | | | 341,600 | |
| | 2,979 | | | Investment AB Latour, Class B Shares | | | 58,762 | |
| | 10,133 | | | Investor AB, Class A Shares | | | 168,200 | |
| | 37,018 | | | Investor AB, Class B Shares | | | 582,587 | |
| | 4,673 | | | Kinnevik AB, Class B Shares* | | | 66,352 | |
| | 1,529 | | | L E Lundbergforetagen AB, Class B Shares | | | 63,063 | |
| | 4,608 | | | Lifco AB, Class B Shares | | | 71,668 | |
| | 63,004 | | | Nibe Industrier AB, Class B Shares | | | 590,129 | |
| | 9,525 | | | Saab AB, Class B Shares | | | 318,243 | |
| | 4,115 | | | Sagax AB, Class B Shares | | | 88,712 | |
| | 104,853 | | | Sandvik AB | | | 1,637,062 | |
| | 6,301 | | | Securitas AB, Class B Shares | | | 55,086 | |
| | 33,067 | | | Skandinaviska Enskilda Banken AB, Class A Shares | | | 329,873 | |
| | 6,819 | | | Skanska AB, Class B Shares | | | 100,719 | |
| | 7,690 | | | SKF AB, Class B Shares | | | 115,454 | |
| | 12,310 | | | Svenska Cellulosa AB SCA, Class B Shares | | | 184,625 | |
| | 263,836 | | | Svenska Handelsbanken AB, Class A Shares | | | 2,160,526 | |
| | 418,984 | | | Swedbank AB, Class A Shares | | | 5,415,769 | |
| | 32,102 | | | Swedish Match AB | | | 322,257 | |
| | 3,652 | | | Swedish Orphan Biovitrum AB* | | | 80,557 | |
| | 11,445 | | | Tele2 AB, Class B Shares | | | 121,819 | |
| | 59,303 | | | Telefonaktiebolaget LM Ericsson, Class B Shares | | | 443,129 | |
| | 54,010 | | | Telia Co. AB | | | 189,960 | |
| | 22,521 | | | Trelleborg AB, Class B Shares | | | 468,567 | |
| | 34,206 | | | Truecaller AB, Class B Shares* | | | 180,716 | |
| | 4,029 | | | Volvo AB, Class A Shares | | | 67,125 | |
| | 30,660 | | | Volvo AB, Class B Shares | | | 485,609 | |
| | 12,884 | | | Volvo Car AB, Class B Shares*(b) | | | 78,300 | |
| | 47,377 | | | Wihlborgs Fastigheter AB | | | 339,935 | |
| | | | | | | | |
| | | | Total Sweden | | | 19,670,783 | |
| | | | | | | | |
|
| Switzerland — 9.1% | |
| | 33,372 | | | ABB Ltd., Class Registered Shares | | | 920,259 | |
| | 3,501 | | | Adecco Group AG, Class Registered Shares | | | 110,630 | |
| | 27,458 | | | Alcon Inc. | | | 1,804,901 | |
| | 625 | | | Bachem Holding AG, Class B Shares | | | 43,177 | |
| | 953 | | | Baloise Holding AG, Class Registered Shares | | | 137,479 | |
| | 72 | | | Barry Callebaut AG, Class Registered Shares | | | 147,206 | |
| | 1,765 | | | Bucher Industries AG, Class Registered Shares | | | 629,072 | |
| | 131 | | | Chocoladefabriken Lindt & Spruengli AG | | | 1,384,730 | |
See Notes to Financial Statements.
124
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| Switzerland — 9.1% — (continued) | |
| | 2 | | | Chocoladefabriken Lindt & Spruengli AG, Class Registered Shares | | $ | 217,788 | |
| | 22,164 | | | Cie Financiere Richemont SA, Class Registered Shares | | | 2,475,254 | |
| | 4,341 | | | Clariant AG, Class Registered Shares* | | | 80,128 | |
| | 18,551 | | | Coca-Cola HBC AG | | | 423,965 | |
| | 81,435 | | | Credit Suisse Group AG, Class Registered Shares | | | 420,469 | |
| | 140 | | | EMS-Chemie Holding AG, Class Registered Shares | | | 98,025 | |
| | 262 | | | Forbo Holding AG, Class Registered Shares | | | 327,490 | |
| | 9,717 | | | Galenica AG(d) | | | 683,383 | |
| | 729 | | | Geberit AG, Class Registered Shares | | | 336,420 | |
| | 188 | | | Givaudan SA, Class Registered Shares | | | 598,809 | |
| | 203,479 | | | Glencore PLC | | | 1,113,227 | |
| | 11,263 | | | Holcim AG* | | | 500,653 | |
| | 17,249 | | | Julius Baer Group Ltd. | | | 832,049 | |
| | 17,090 | | | Kuehne + Nagel International AG, Class Registered Shares | | | 3,942,278 | |
| | 3,517 | | | Logitech International SA, Class Registered Shares(b) | | | 174,732 | |
| | 11,905 | | | Lonza Group AG, Class Registered Shares | | | 6,329,828 | |
| | 151,234 | | | Nestlé SA, Class Registered Shares | | | 17,712,811 | |
| | 202,675 | | | Novartis AG, Class Registered Shares | | | 16,354,603 | |
| | 47,187 | | | OC Oerlikon Corp. AG, Class Registered Shares | | | 344,529 | |
| | 461 | | | Partners Group Holding AG | | | 443,749 | |
| | 7,673 | | | PSP Swiss Property AG, Class Registered Shares | | | 868,259 | |
| | 76,905 | | | Roche Holding AG | | | 24,803,933 | |
| | 812 | | | Schindler Holding AG | | | 141,138 | |
| | 508 | | | Schindler Holding AG, Class Registered Shares | | | 85,639 | |
| | 1,339 | | | SGS SA, Class Registered Shares | | | 2,947,268 | |
| | 733 | | | Siegfried Holding AG, Class Registered Shares* | | | 585,328 | |
| | 6,270 | | | SIG Group AG* | | | 147,416 | |
| | 6,846 | | | Sika AG, Class Registered Shares | | | 1,532,380 | |
| | 1,091 | | | Sonova Holding AG, Class Registered Shares | | | 287,621 | |
| | 13,886 | | | STMicroelectronics NV | | | 483,184 | |
| | 2,264 | | | Straumann Holding AG, Class Registered Shares | | | 248,051 | |
| | 6,999 | | | Sulzer AG, Class Registered Shares | | | 416,695 | |
| | 585 | | | Swatch Group AG (The) | | | 141,946 | |
| | 1,130 | | | Swatch Group AG (The), Class Registered Shares | | | 51,517 | |
| | 639 | | | Swiss Life Holding AG, Class Registered Shares | | | 333,914 | |
| | 1,556 | | | Swiss Prime Site AG, Class Registered Shares | | | 134,018 | |
| | 6,128 | | | Swiss Re AG | | | 476,383 | |
| | 526 | | | Swisscom AG, Class Registered Shares | | | 272,026 | |
| | 3,645 | | | Swissquote Group Holding SA, Class Registered Shares | | | 403,563 | |
| | 1,304 | | | Tecan Group AG, Class Registered Shares | | | 478,352 | |
| | 1,291 | | | Temenos AG, Class Registered Shares | | | 105,656 | |
| | 72,500 | | | UBS Group AG, Class Registered Shares | | | 1,145,228 | |
| | 11,238 | | | VAT Group AG(d) | | | 2,680,133 | |
| | 9,118 | | | Vontobel Holding AG, Class Registered Shares | | | 560,711 | |
| | 15,269 | | | Zurich Insurance Group AG | | | 6,763,931 | |
| | | | | | | | |
| | | | Total Switzerland | | | 104,681,934 | |
| | | | | | | | |
|
| Taiwan — 0.6% | |
| | 124,000 | | | Taiwan Semiconductor Manufacturing Co., Ltd. | | | 2,029,620 | |
| | 57,900 | | | Taiwan Semiconductor Manufacturing Co., Ltd., ADR | | | 4,825,965 | |
| | | | | | | | |
| | | | Total Taiwan | | | 6,855,585 | |
| | | | | | | | |
|
| United Kingdom — 17.5% | |
| | 20,338 | | | 3i Group PLC | | | 285,760 | |
| | 31,683 | | | Abcam PLC* | | | 469,680 | |
| | 49,458 | | | Abrdn PLC | | | 83,863 | |
| | 3,652 | | | Admiral Group PLC | | | 89,876 | |
See Notes to Financial Statements.
125
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| United Kingdom — 17.5% — (continued) | |
| | 260,973 | | | Airtel Africa PLC(d) | | $ | 400,812 | |
| | 25,827 | | | Anglo American PLC | | | 829,403 | |
| | 9,038 | | | Ashtead Group PLC | | | 443,910 | |
| | 7,157 | | | Associated British Foods PLC | | | 126,319 | |
| | 130,604 | | | AstraZeneca PLC | | | 16,161,358 | |
| | 13,483 | | | Atlantica Sustainable Infrastructure PLC(b) | | | 450,602 | |
| | 19,338 | | | Auto Trader Group PLC(d) | | | 145,820 | |
| | 2,424 | | | AVEVA Group PLC | | | 78,746 | |
| | 57,483 | | | Aviva PLC | | | 278,405 | |
| | 63,929 | | | BAE Systems PLC | | | 576,076 | |
| | 372,430 | | | Balfour Beatty PLC | | | 1,362,414 | |
| | 3,889,128 | | | Barclays PLC | | | 7,415,282 | |
| | 22,459 | | | Barratt Developments PLC | | | 111,215 | |
| | 2,277 | | | Berkeley Group Holdings PLC | | | 96,347 | |
| | 1,067,002 | | | BP PLC | | | 5,447,188 | |
| | 163,206 | | | British American Tobacco PLC | | | 6,537,128 | |
| | 17,715 | | | British Land Co. PLC (The), REIT | | | 88,318 | |
| | 141,178 | | | BT Group PLC | | | 247,004 | |
| | 49,288 | | | Bunzl PLC | | | 1,635,174 | |
| | 96,370 | | | Burberry Group PLC | | | 1,951,552 | |
| | 20,791 | | | CNH Industrial NV | | | 252,835 | |
| | 4,172 | | | Coca-Cola Europacific Partners PLC | | | 205,137 | |
| | 629,889 | | | Compass Group PLC | | | 13,546,987 | |
| | 26,506 | | | Computacenter PLC | | | 759,805 | |
| | 10,373 | | | Cranswick PLC | | | 371,064 | |
| | 2,835 | | | Croda International PLC | | | 220,875 | |
| | 23,659 | | | CVS Group PLC | | | 498,819 | |
| | 204,307 | | | Diageo PLC | | | 8,917,965 | |
| | 55,555 | | | Drax Group PLC | | | 410,002 | |
| | 22,278 | | | Endeavour Mining PLC(b) | | | 433,633 | |
| | 11,919 | | | Entain PLC | | | 175,697 | |
| | 4,564 | | | Ferguson PLC | | | 528,024 | |
| | 23,729 | | | Future PLC | | | 428,152 | |
| | 400,603 | | | GSK PLC | | | 6,416,660 | |
| | 304,507 | | | Haleon PLC* | | | 915,632 | |
| | 7,714 | | | Halma PLC | | | 185,507 | |
| | 103,558 | | | Harbour Energy PLC | | | 573,117 | |
| | 6,719 | | | Hargreaves Lansdown PLC | | | 63,509 | |
| | 924,258 | | | HSBC Holdings PLC | | | 5,686,496 | |
| | 52,767 | | | IG Group Holdings PLC | | | 501,269 | |
| | 32,749 | | | IMI PLC | | | 436,217 | |
| | 18,345 | | | Imperial Brands PLC | | | 403,049 | |
| | 68,249 | | | Inchcape PLC | | | 601,538 | |
| | 30,822 | | | Informa PLC | | | 195,421 | |
| | 3,739 | | | InterContinental Hotels Group PLC | | | 202,699 | |
| | 3,472 | | | Intertek Group PLC | | | 159,433 | |
| | 35,162 | | | J Sainsbury PLC | | | 83,022 | |
| | 51,895 | | | JD Sports Fashion PLC | | | 67,933 | |
| | 3,894 | | | Johnson Matthey PLC | | | 90,965 | |
| | 531,743 | | | Kingfisher PLC | | | 1,427,048 | |
| | 14,312 | | | Land Securities Group PLC, REIT | | | 107,819 | |
| | 121,306 | | | Legal & General Group PLC | | | 354,121 | |
| | 1,442,399 | | | Lloyds Banking Group PLC | | | 731,832 | |
| | 6,838 | | | London Stock Exchange Group PLC | | | 641,992 | |
| | 193,236 | | | LondonMetric Property PLC, REIT | | | 487,585 | |
| | 52,824 | | | M&G PLC | | | 119,723 | |
See Notes to Financial Statements.
126
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| United Kingdom — 17.5% — (continued) | |
| | 155,221 | | | Man Group PLC | | $ | 439,346 | |
| | 262,483 | | | Marks & Spencer Group PLC* | | | 371,112 | |
| | 88,838 | | | Melrose Industries PLC | | | 140,179 | |
| | 52,051 | | | Micro Focus International PLC | | | 312,317 | |
| | 9,837 | | | Mondi PLC | | | 166,646 | |
| | 296,745 | | | National Grid PLC | | | 3,711,411 | |
| | 115,594 | | | NatWest Group PLC | | | 330,464 | |
| | 2,687 | | | Next PLC | | | 180,782 | |
| | 12,026 | | | Ocado Group PLC* | | | 101,194 | |
| | 108,125 | | | OSB Group PLC | | | 689,680 | |
| | 13,847 | | | Pearson PLC | | | 138,694 | |
| | 6,435 | | | Persimmon PLC | | | 110,085 | |
| | 96,125 | | | Pets at Home Group PLC | | | 353,576 | |
| | 15,373 | | | Phoenix Group Holdings PLC | | | 107,423 | |
| | 1,480,439 | | | Prudential PLC | | | 15,476,369 | |
| | 192,976 | | | Reckitt Benckiser Group PLC | | | 14,871,876 | |
| | 91,791 | | | Redrow PLC | | | 538,049 | |
| | 407,676 | | | RELX PLC | | | 10,676,249 | |
| | 37,778 | | | Rentokil Initial PLC | | | 228,120 | |
| | 82,576 | | | Rio Tinto PLC | | | 4,558,792 | |
| | 13,290,224 | | | Rolls-Royce Holdings PLC* | | | 11,854,459 | |
| | 50,241 | | | RS GROUP PLC | | | 633,089 | |
| | 59,689 | | | Safestore Holdings PLC, REIT | | | 763,415 | |
| | 21,219 | | | Sage Group PLC (The) | | | 175,733 | |
| | 30,621 | | | Savills PLC | | | 335,973 | |
| | 2,501 | | | Schroders PLC | | | 77,792 | |
| | 25,277 | | | Segro PLC, REIT | | | 275,985 | |
| | 334,497 | | | Serco Group PLC | | | 678,886 | |
| | 5,060 | | | Severn Trent PLC | | | 163,690 | |
| | 404,990 | | | Shell PLC | | | 10,721,934 | |
| | 150,098 | | | Smith & Nephew PLC | | | 1,765,767 | |
| | 8,018 | | | Smiths Group PLC | | | 138,365 | |
| | 1,495 | | | Spirax-Sarco Engineering PLC | | | 182,237 | |
| | 151,151 | | | Spirent Communications PLC | | | 452,480 | |
| | 21,656 | | | SSE PLC | | | 412,974 | |
| | 10,806 | | | St. James’s Place PLC | | | 138,195 | |
| | 52,974 | | | Standard Chartered PLC | | | 367,464 | |
| | 46,256 | | | Tate & Lyle PLC | | | 409,551 | |
| | 72,065 | | | Taylor Wimpey PLC | | | 90,306 | |
| | 861,350 | | | Tesco PLC | | | 2,486,377 | |
| | 148,249 | | | Tritax Big Box REIT PLC | | | 286,030 | |
| | 313,801 | | | Unilever PLC | | | 14,244,997 | |
| | 13,844 | | | United Utilities Group PLC | | | 169,812 | |
| | 183,693 | | | Virgin Money UK PLC | | | 318,563 | |
| | 44,324 | | | Vistry Group PLC | | | 396,788 | |
| | 1,926,671 | | | Vodafone Group PLC | | | 2,584,706 | |
| | 238,905 | | | WH Smith PLC* | | | 3,959,192 | |
| | 33,753 | | | Whitbread PLC | | | 979,699 | |
| | 23,207 | | | WPP PLC | | | 199,528 | |
| | | | | | | | |
| | | | Total United Kingdom | | | 201,280,185 | |
| | | | | | | | |
|
| United States — 0.2% | |
| | 1,242 | | | Booking Holdings Inc.* | | | 2,329,756 | |
| | 24,343 | | | International Game Technology PLC | | | 436,713 | |
| | 33,067 | | | Reliance Worldwide Corp., Ltd. | | | 87,140 | |
| | | | | | | | |
| | | | Total United States | | | 2,853,609 | |
| | | | | | | | |
See Notes to Financial Statements.
127
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| Uruguay — 0.0% | |
| | 303 | | | MercadoLibre Inc.* | | $ | 259,174 | |
| | | | | | | | |
| | | | TOTAL COMMON STOCKS
(Cost — $1,129,697,795) | | | 1,102,525,274 | |
| | | | | | | | |
|
| CLOSED END MUTUAL FUND SECURITY — 0.2% | |
|
| United States — 0.2% | |
| | 40,556 | | | Vanguard FTSE Developed Markets ETF, Common Class (b)
(Cost — $1,717,447) | | | 1,640,896 | |
| | | | | | | | |
|
| PREFERRED STOCKS — 0.1% | |
|
| Germany — 0.1% | |
| | 1,161 | | | Bayerische Motoren Werke AG, Class Preferred Shares | | | 80,765 | |
| | 3,620 | | | Henkel AG & Co. KGaA, Class Preferred Shares | | | 233,587 | |
| | 3,111 | | | Porsche Automobil Holding SE, Class Preferred Shares | | | 220,268 | |
| | 494 | | | Sartorius AG, Class Preferred Shares | | | 206,361 | |
| | 3,771 | | | Volkswagen AG, Class Preferred Shares | | | 538,282 | |
| | | | | | | | |
| | | | TOTAL PREFERRED STOCKS
(Cost — $1,450,934) | | | 1,279,263 | |
| | | | | | | | |
| | | | TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS
(Cost — $1,132,866,176) | | | 1,105,445,433 | |
| | | | | | | | |
| | |
Face
Amount† | | | | | | |
|
| | SHORT-TERM INVESTMENTS (f) — 3.9% | |
|
| | MONEY MARKET FUND — 0.8% | |
| $ | 9,862,623 | | | Invesco STIT – Government & Agency Portfolio, 2.185%, Institutional Class(g)
(Cost — $9,862,623) | | | 9,862,623 | |
| | | | | | | | |
|
| TIME DEPOSITS — 3.1% | |
| | 184,947 | AUD | | ANZ National Bank – Hongkong, 0.830% due 9/1/22 | | | 126,550 | |
| | | | BBH – Grand Cayman: | | | | |
| | 140,848 | DKK | | (0.120)% due 9/1/22 | | | 19,029 | |
| | 1,439,609 | SEK | | 0.200% due 9/1/22 | | | 134,989 | |
| | 339,207 | NOK | | 0.800% due 9/1/22 | | | 34,126 | |
| | 1 | AUD | | 0.830% due 9/1/22 | | | 1 | |
| | 97,872 | GBP | | 0.870% due 9/1/22 | | | 113,693 | |
| | 2,307 | CAD | | 1.380% due 9/1/22 | | | 1,757 | |
| | 10,606 | NZD | | 1.500% due 9/1/22 | | | 6,490 | |
| | 1,211 | ZAR | | 3.500% due 9/1/22 | | | 71 | |
| | 398,972 | CHF | | BNP Paribas – Paris, (0.670)% due 9/1/22 | | | 408,197 | |
| | 453,181 | EUR | | Citibank – London, (0.130)% due 9/1/22 | | | 455,356 | |
| | 32,667,766 | | | Citibank – New York, 1.680% due 9/1/22 | | | 32,667,766 | |
| | 453,777 | HKD | | HSBC Bank – Hong Kong, 0.460% due 9/1/22 | | | 57,816 | |
| | 71,705 | SGD | | HSBC Bank – Singapore, 1.350% due 9/1/22 | | | 51,315 | |
| | 645,053 | | | JPMorgan Chase & Co. – New York, 1.680% due 9/1/22 | | | 645,053 | |
| | 234,987 | | | National Australia Bank Ltd. – London, 1.680% due 9/1/22 | | | 234,987 | |
See Notes to Financial Statements.
128
| | | | | | | | |
| International Equity Fund | |
| | |
Face
Amount† | | | Security | | Value | |
|
| TIME DEPOSITS — 3.1% — (continued) | |
| $ | 199,678 | | | Skandinaviska Enskilda Banken AB – Stockholm, 1.680% due 9/1/22 | | $ | 199,678 | |
| | | | Sumitomo Mitsui Banking Corp. – Tokyo: | | | | |
| | 18,935,673 | JPY | | (0.350)% due 9/1/22 | | | 136,321 | |
| | 107,930 | | | 1.680% due 9/1/22 | | | 107,930 | |
| | | | | | | | |
| | | | TOTAL TIME DEPOSITS
(Cost — $35,401,125) | | | 35,401,125 | |
| | | | | | | | |
| | | | TOTAL SHORT-TERM INVESTMENTS
(Cost — $45,263,748) | | | 45,263,748 | |
| | | | | | | | |
| | | | TOTAL INVESTMENTS — 100.2%
(Cost — $1,178,129,924) | | | 1,150,709,181 | |
| | | | | | | | |
| | | | Liabilities in Excess of Other Assets — (0.2)% | | | (2,692,777 | ) |
| | | | | | | | |
| | | | TOTAL NET ASSETS — 100.0% | | $ | 1,148,016,404 | |
| | | | | | | | |
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
| * | Non-income producing security. |
| (a) | Security is valued in good faith at fair value by or under the direction of the Board of Trustees. |
| (b) | All or a portion of this security is on loan (See Note 1). |
| (c) | Security trades on the Hong Kong exchange. |
| (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 August 31, 2022, amounts to $17,207,360 and represents 1.5% of net assets. |
| (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 3.1%. |
| (g) | Represents investments of collateral received from securities lending transactions. |
At August 31, 2022, 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
(Depreciation) | |
International Equity Fund | | $ | 1,216,173,291 | | | $ | 182,214,477 | | | $ | (248,325,147) | | | $ | (66,110,670) | |
| | |
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 |
See Notes to Financial Statements.
129
| | | | |
| International Equity Fund |
| | | | |
|
| Summary of Investments by Security Sector^ | |
Industrials | | | 17.5 | % |
Health Care | | | 15.3 | |
Financials | | | 14.5 | |
Information Technology | | | 11.0 | |
Consumer Staples | | | 10.2 | |
Consumer Discretionary | | | 10.1 | |
Materials | | | 6.1 | |
Utilities | | | 3.8 | |
Energy | | | 3.4 | |
Communication Services | | | 2.7 | |
Real Estate | | | 2.3 | |
Short-Term Investments | | | 3.1 | |
| | | | |
| | | 100.0 | %+ |
| | | | |
| ^ | As a percentage of total investments. |
| + | Does not reflect investments of collateral received from securities lending transactions. |
At August 31, 2022, 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 September Futures | | | 14 | | | | 9/22 | | | $ | 510,499 | | | $ | 495,166 | | | $ | (15,333 | ) |
FTSE 100 Index September Futures | | | 4 | | | | 9/22 | | | | 339,071 | | | | 338,621 | | | | (450 | ) |
SPI 200 Index September Futures | | | 2 | | | | 9/22 | | | | 229,001 | | | | 236,340 | | | | 7,339 | |
TOPIX Index September Futures | | | 2 | | | | 9/22 | | | | 282,209 | | | | 282,495 | | | | 286 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | (8,158 | ) |
| | | | | | | | | | | | | | | | | | | | |
At August 31, 2022, International Equity Fund had deposited cash of $129,230 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.
130
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| COMMON STOCKS — 95.0% | |
|
| Australia — 0.0% | |
| | 52,000 | | | MMG Ltd.* | | $ | 14,264 | |
| | | | | | | | |
|
| Brazil — 6.8% | |
| | 118,589 | | | Ambev SA | | | 348,238 | |
| | 17,493 | | | Americanas SA | | | 54,968 | |
| | 16,348 | | | Atacadao SA | | | 62,090 | |
| | 1,031,282 | | | B3 SA — Brasil Bolsa Balcao | | | 2,350,110 | |
| | 47,344 | | | Banco Bradesco SA | | | 144,216 | |
| | 30,297 | | | Banco BTG Pactual SA | | | 148,279 | |
| | 250,656 | | | Banco do Brasil SA | | | 2,009,567 | |
| | 10,285 | | | Banco Santander Brasil SA | | | 58,090 | |
| | 462,132 | | | BB Seguridade Participacoes SA | | | 2,513,263 | |
| | 14,894 | | | BRF SA* | | | 45,398 | |
| | 582,355 | | | CCR SA | | | 1,544,346 | |
| | 26,664 | | | Centrais Eletricas Brasileiras SA | | | 236,436 | |
| | 9,855 | | | Cia de Saneamento Basico do Estado de Sao Paulo | | | 93,148 | |
| | 19,970 | | | Cia Siderurgica Nacional SA | | | 52,997 | |
| | 308,000 | | | Clear Sale SA* | | | 329,912 | |
| | 794,837 | | | Cosan SA | | | 3,053,979 | |
| | 4,470 | | | CPFL Energia SA | | | 30,060 | |
| | 5,411 | | | Energisa SA | | | 44,006 | |
| | 104,178 | | | Engie Brasil Energia SA | | | 811,379 | |
| | 26,054 | | | Equatorial Energia SA | | | 121,150 | |
| | 196,900 | | | Fleury SA | | | 596,753 | |
| | 125,466 | | | Hapvida Participacoes e Investimentos SA(a) | | | 175,651 | |
| | 8,769 | | | Hypera SA | | | 72,630 | |
| | 145,900 | | | Infracommerce CXAAS SA* | | | 159,927 | |
| | 21,515 | | | JBS SA | | | 122,427 | |
| | 780,700 | | | JSL SA | | | 960,852 | |
| | 21,857 | | | Klabin SA | | | 79,147 | |
| | 18,473 | | | Localiza Rent a Car SA | | | 216,061 | |
| | 294,900 | | | Locaweb Servicos de Internet SA*(a) | | | 530,248 | |
| | 26,430 | | | Lojas Renner SA | | | 134,538 | |
| | 86,120 | | | Magazine Luiza SA* | | | 70,717 | |
| | 447,800 | | | Movida Participacoes SA | | | 1,183,214 | |
| | 24,749 | | | Natura & Co. Holding SA | | | 68,630 | |
| | 581,790 | | | Odontoprev SA | | | 1,005,816 | |
| | 17,149 | | | Petro Rio SA* | | | 90,064 | |
| | 95,618 | | | Petroleo Brasileiro SA | | | 683,478 | |
| | 214,088 | | | Petróleo Brasileiro SA, ADR | | | 3,059,317 | |
| | 24,959 | | | Raia Drogasil SA | | | 104,443 | |
| | 140,586 | | | Rede D’Or Sao Luiz SA(a) | | | 901,093 | |
| | 37,569 | | | Rumo SA | | | 146,012 | |
| | 18,853 | | | Suzano SA | | | 160,466 | |
| | 18,442 | | | TIM SA | | | 41,955 | |
| | 12,300 | | | TOTVS SA | | | 67,531 | |
| | 16,567 | | | Ultrapar Participações SA | | | 43,106 | |
| | 102,166 | | | Vale SA | | | 1,267,239 | |
| | 75,153 | | | Vale SA, Class B Shares, ADR | | | 933,400 | |
| | 809,700 | | | Vamos Locacao de Caminhoes Maquinas e Equipamentos SA | | | 2,197,069 | |
| | 49,547 | | | Vasta Platform Ltd., Class A Shares* | | | 247,735 | |
| | 218,950 | | | Vibra Energia SA | | | 773,054 | |
| | 467,508 | | | WEG SA | | | 2,543,399 | |
| | 153,100 | | | Westwing Comercio Varejista Ltd.* | | | 50,935 | |
| | | | | | | | |
| | | | Total Brazil | | | 32,738,539 | |
| | | | | | | | |
See Notes to Financial Statements.
131
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| Chile — 0.5% | |
| | 155,996 | | | Antofagasta PLC | | $ | 1,986,410 | |
| | 1,214,320 | | | Banco de Chile | | | 115,200 | |
| | 1,100 | | | Banco de Credito e Inversiones SA | | | 32,400 | |
| | 1,951,337 | | | Banco Santander Chile | | | 78,376 | |
| | 44,296 | | | Cencosud SA | | | 61,924 | |
| | 2,598 | | | Cia Cervecerias Unidas SA | | | 14,118 | |
| | 448,463 | | | Cia Sud Americana de Vapores SA | | | 42,204 | |
| | 31,677 | | | Empresas CMPC SA | | | 60,081 | |
| | 9,480 | | | Empresas COPEC SA | | | 81,769 | |
| | 473,707 | | | Enel Americas SA | | | 51,319 | |
| | 564,409 | | | Enel Chile SA | | | 18,526 | |
| | 23,830 | | | Falabella SA | | | 56,152 | |
| | | | | | | | |
| | | | Total Chile | | | 2,598,479 | |
| | | | | | | | |
|
| China — 26.8% | |
| | 1,844 | | | 360 DigiTech Inc., ADR | | | 29,467 | |
| | 9,300 | | | 360 Security Technology Inc., Class A Shares | | | 9,834 | |
| | 3,900 | | | 37 Interactive Entertainment Network Technology Group Co., Ltd., Class A Shares | | | 11,468 | |
| | 32,500 | | | 3SBio Inc.(a) | | | 21,607 | |
| | 77,106 | | | AAC Technologies Holdings Inc. | | | 142,666 | |
| | 794 | | | Advanced Micro-Fabrication Equipment Inc., Class A Shares* | | | 14,085 | |
| | 3,000 | | | AECC Aviation Power Co., Ltd., Class A Shares | | | 19,896 | |
| | 106,600 | | | Agricultural Bank of China Ltd., Class A Shares | | | 43,956 | |
| | 749,000 | | | Agricultural Bank of China Ltd., Class H Shares(b) | | | 244,874 | |
| | 13,444 | | | Aier Eye Hospital Group Co., Ltd., Class A Shares | | | 57,148 | |
| | 74,000 | | | Air China Ltd., Class H Shares*(b) | | | 59,352 | |
| | 4,139 | | | Airtac International Group* | | | 111,506 | |
| | 518,076 | | | Alibaba Group Holding Ltd.* | | | 6,168,754 | |
| | 39,644 | | | Alibaba Group Holding Ltd., ADR* | | | 3,782,434 | |
| | 1,353,000 | | | A-Living Smart City Services Co., Ltd.(a) | | | 1,392,360 | |
| | 31,400 | | | Aluminum Corp. of China Ltd., Class A Shares | | | 20,397 | |
| | 74,000 | | | Aluminum Corp. of China Ltd., Class H Shares(b) | | | 27,164 | |
| | 1,600 | | | Amlogic Shanghai Co., Ltd., Class A Shares* | | | 19,893 | |
| | 2,500 | | | Angel Yeast Co., Ltd., Class A Shares | | | 17,542 | |
| | 6,100 | | | Anhui Conch Cement Co., Ltd., Class A Shares | | | 28,140 | |
| | 354,837 | | | Anhui Conch Cement Co., Ltd., Class H Shares(b) | | | 1,352,029 | |
| | 500 | | | Anhui Gujing Distillery Co., Ltd., Class A Shares | | | 18,441 | |
| | 2,300 | | | Anhui Gujing Distillery Co., Ltd., Class B Shares | | | 35,105 | |
| | 1,800 | | | Anhui Kouzi Distillery Co., Ltd., Class A Shares | | | 13,141 | |
| | 600 | | | Anjoy Foods Group Co., Ltd., Class A Shares | | | 13,465 | |
| | 28,800 | | | ANTA Sports Products Ltd. | | | 345,814 | |
| | 700 | | | Asymchem Laboratories Tianjin Co., Ltd., Class A Shares | | | 17,325 | |
| | 1,865 | | | Autohome Inc., ADR | | | 66,413 | |
| | 3,600 | | | Avary Holding Shenzhen Co., Ltd., Class A Shares | | | 15,395 | |
| | 8,800 | | | AVIC Electromechanical Systems Co., Ltd., Class A Shares | | | 14,122 | |
| | 34,799 | | | AVIC Industry-Finance Holdings Co., Ltd., Class A Shares | | | 16,992 | |
| | 76,000 | | | AviChina Industry & Technology Co., Ltd., Class H Shares(b) | | | 36,978 | |
| | 2,200 | | | AVICOPTER PLC, Class A Shares | | | 13,420 | |
| | 56,768 | | | Baidu Inc., Class A Shares* | | | 1,022,759 | |
| | 19,200 | | | Bank of Beijing Co., Ltd., Class A Shares | | | 11,475 | |
| | 12,800 | | | Bank of Chengdu Co., Ltd., Class A Shares | | | 29,042 | |
| | 58,930 | | | Bank of China Ltd., Class A Shares | | | 25,910 | |
| | 2,034,000 | | | Bank of China Ltd., Class H Shares(b) | | | 714,398 | |
| | 39,800 | | | Bank of Communications Co., Ltd., Class A Shares | | | 26,377 | |
| | 260,000 | | | Bank of Communications Co., Ltd., Class H Shares(b) | | | 148,191 | |
| | 4,600 | | | Bank of Hangzhou Co., Ltd., Class A Shares | | | 9,529 | |
See Notes to Financial Statements.
132
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| China — 26.8% — (continued) | |
| | 19,890 | | | Bank of Jiangsu Co., Ltd., Class A Shares | | $ | 20,841 | |
| | 16,600 | | | Bank of Nanjing Co., Ltd., Class A Shares | | | 25,524 | |
| | 8,290 | | | Bank of Ningbo Co., Ltd., Class A Shares | | | 35,692 | |
| | 29,640 | | | Bank of Shanghai Co., Ltd., Class A Shares | | | 25,325 | |
| | 30,184 | | | Baoshan Iron & Steel Co., Ltd., Class A Shares | | | 23,228 | |
| | 1,174 | | | BeiGene Ltd., ADR* | | | 201,529 | |
| | 54,000 | | | Beijing Capital International Airport Co., Ltd., Class H Shares*(b) | | | 33,900 | |
| | 14,900 | | | Beijing Dabeinong Technology Group Co., Ltd., Class A Shares* | | | 18,636 | |
| | 496 | | | Beijing Kingsoft Office Software Inc., Class A Shares | | | 12,881 | |
| | 2,000 | | | Beijing New Building Materials PLC, Class A Shares | | | 7,593 | |
| | 280 | | | Beijing Roborock Technology Co., Ltd., Class A Shares | | | 12,947 | |
| | 4,800 | | | Beijing Tiantan Biological Products Corp., Ltd., Class A Shares | | | 15,403 | |
| | 1,885 | | | Beijing United Information Technology Co., Ltd., Class A Shares | | | 27,007 | |
| | 870 | | | Beijing Wantai Biological Pharmacy Enterprise Co., Ltd., Class A Shares | | | 16,053 | |
| | 55,900 | | | Beijing-Shanghai High Speed Railway Co., Ltd., Class A Shares | | | 37,363 | |
| | 200 | | | Betta Pharmaceuticals Co., Ltd., Class A Shares | | | 1,312 | |
| | 1,000 | | | BGI Genomics Co., Ltd., Class A Shares | | | 8,719 | |
| | 4,607 | | | Bilibili Inc., Class Z Shares* | | | 113,687 | |
| | 38,300 | | | BOE Technology Group Co., Ltd., Class A Shares | | | 20,474 | |
| | 2,500 | | | BYD Co., Ltd., Class A Shares | | | 103,629 | |
| | 21,500 | | | BYD Co., Ltd., Class H Shares(b) | | | 658,545 | |
| | 14,500 | | | BYD Electronic International Co., Ltd. | | | 38,466 | |
| | 5,800 | | | By-health Co., Ltd., Class A Shares | | | 15,633 | |
| | 1,800 | | | CanSino Biologics Inc., Class H Shares(a)(b) | | | 11,248 | |
| | 315,000 | | | CGN Power Co., Ltd., Class H Shares(a)(b) | | | 75,008 | |
| | 1,200 | | | Changchun High & New Technology Industry Group Inc., Class A Shares | | | 30,673 | |
| | 1,100 | | | Changjiang Securities Co., Ltd., Class A Shares | | | 904 | |
| | 3,900 | | | Chaozhou Three-Circle Group Co., Ltd., Class A Shares | | | 15,255 | |
| | 2,300 | | | Chengxin Lithium Group Co., Ltd., Class A Shares | | | 17,613 | |
| | 12,400 | | | China Baoan Group Co., Ltd., Class A Shares | | | 26,411 | |
| | 255,000 | | | China Cinda Asset Management Co., Ltd., Class H Shares(b) | | | 35,015 | |
| | 238,000 | | | China CITIC Bank Corp., Ltd., Class H Shares(b) | | | 102,106 | |
| | 43,000 | | | China Coal Energy Co., Ltd., Class H Shares(b) | | | 38,211 | |
| | 84,000 | | | China Communications Services Corp., Ltd., Class H Shares(b) | | | 36,009 | |
| | 77,000 | | | China Conch Environment Protection Holdings Ltd.*(c) | | | 68,620 | |
| | 41,500 | | | China Conch Venture Holdings Ltd. | | | 84,755 | |
| | 21,100 | | | China Construction Bank Corp., Class A Shares | | | 16,852 | |
| | 7,134,224 | | | China Construction Bank Corp., Class H Shares(b) | | | 4,418,486 | |
| | 6,200 | | | China CSSC Holdings Ltd., Class A Shares | | | 22,390 | |
| | 27,298 | | | China Eastern Airlines Corp., Ltd., Class A Shares* | | | 19,357 | |
| | 47,400 | | | China Energy Engineering Corp., Ltd. | | | 15,484 | |
| | 30,812 | | | China Everbright Bank Co., Ltd., Class A Shares | | | 12,796 | |
| | 160,000 | | | China Everbright Bank Co., Ltd., Class H Shares(b) | | | 49,079 | |
| | 47,000 | | | China Evergrande Group*(c)(d)(e) | | | 6,484 | |
| | 92,000 | | | China Feihe Ltd.*(a) | | | 75,969 | |
| | 13,200 | | | China Galaxy Securities Co., Ltd., Class A Shares | | | 18,887 | |
| | 92,500 | | | China Galaxy Securities Co., Ltd., Class H Shares(b) | | | 50,568 | |
| | 1,500 | | | China Greatwall Technology Group Co., Ltd., Class A Shares | | | 1,964 | |
| | 69,500 | | | China Hongqiao Group Ltd. | | | 67,262 | |
| | 3,100 | | | China International Capital Corp., Ltd., Class A Shares | | | 18,639 | |
| | 34,000 | | | China International Capital Corp., Ltd., Class H Shares(a)(b) | | | 59,775 | |
| | 7,200 | | | China Jushi Co., Ltd., Class A Shares | | | 14,993 | |
| | 22,000 | | | China Lesso Group Holdings Ltd. | | | 26,140 | |
| | 4,800 | | | China Life Insurance Co., Ltd., Class A Shares | | | 21,296 | |
| | 188,000 | | | China Life Insurance Co., Ltd., Class H Shares(b) | | | 269,853 | |
| | 8,800 | | | China Literature Ltd.*(a) | | | 35,643 | |
See Notes to Financial Statements.
133
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| China — 26.8% — (continued) | |
| | 80,000 | | | China Longyuan Power Group Corp., Ltd., Class H Shares(b) | | $ | 129,167 | |
| | 558,000 | | | China Medical System Holdings Ltd. | | | 825,406 | |
| | 14,000 | | | China Meidong Auto Holdings., Ltd. | | | 28,550 | |
| | 30,200 | | | China Merchants Bank Co., Ltd., Class A Shares | | | 152,558 | |
| | 762,391 | | | China Merchants Bank Co., Ltd., Class H Shares(b) | | | 3,895,121 | |
| | 9,230 | | | China Merchants Securities Co., Ltd., Class A Shares | | | 17,670 | |
| | 14,820 | | | China Merchants Shekou Industrial Zone Holdings Co., Ltd., Class A Shares | | | 31,309 | |
| | 3,100 | | | China Minmetals Rare Earth Co., Ltd., Class A Shares* | | | 11,784 | |
| | 55,920 | | | China Minsheng Banking Corp., Ltd., Class A Shares | | | 29,114 | |
| | 156,200 | | | China Minsheng Banking Corp., Ltd., Class H Shares(b) | | | 49,715 | |
| | 104,000 | | | China National Building Material Co., Ltd., Class H Shares(b) | | | 98,166 | |
| | 13,800 | | | China National Chemical Engineering Co., Ltd., Class A Shares | | | 17,171 | |
| | 18,900 | | | China National Nuclear Power Co., Ltd., Class A Shares | | | 17,397 | |
| | 5,200 | | | China Northern Rare Earth Group High-Tech Co., Ltd., Class A Shares | | | 22,622 | |
| | 60,000 | | | China Oilfield Services Ltd., Class H Shares(b) | | | 62,717 | |
| | 10,500 | | | China Pacific Insurance Group Co., Ltd., Class A Shares | | | 31,768 | |
| | 71,400 | | | China Pacific Insurance Group Co., Ltd., Class H Shares(b) | | | 150,955 | |
| | 38,900 | | | China Petroleum & Chemical Corp., Class A Shares | | | 24,083 | |
| | 640,000 | | | China Petroleum & Chemical Corp., Class H Shares(b) | | | 301,398 | |
| | 27,800 | | | China Railway Group Ltd., Class A Shares | | | 23,097 | |
| | 116,000 | | | China Railway Group Ltd., Class H Shares(b) | | | 66,369 | |
| | 2,536 | | | China Resources Microelectronics Ltd., Class A Shares | | | 19,166 | |
| | 17,200 | | | China Resources Mixc Lifestyle Services Ltd.(a) | | | 77,949 | |
| | 6,299 | | | China Shenhua Energy Co., Ltd., Class A Shares | | | 27,572 | |
| | 342,500 | | | China Shenhua Energy Co., Ltd., Class H Shares(b) | | | 1,073,910 | |
| | 20,400 | | | China Southern Airlines Co., Ltd., Class A Shares* | | | 18,974 | |
| | 44,000 | | | China Southern Airlines Co., Ltd., Class H Shares*(b) | | | 23,787 | |
| | 57,440 | | | China State Construction Engineering Corp., Ltd., Class A Shares | | | 42,671 | |
| | 39,000 | | | China Suntien Green Energy Corp., Ltd., Class H Shares(b) | | | 17,476 | |
| | 41,600 | | | China Three Gorges Renewables Group Co., Ltd., Class A Shares | | | 36,664 | |
| | 3,535 | | | China Tourism Group Duty Free Corp., Ltd., Class A Shares | | | 99,662 | |
| | 1,186,000 | | | China Tower Corp., Ltd., Class H Shares(a)(b) | | | 148,106 | |
| | 40,000 | | | China United Network Communications Ltd., Class A Shares | | | 20,548 | |
| | 15,600 | | | China Vanke Co., Ltd., Class A Shares | | | 37,492 | |
| | 611,200 | | | China Vanke Co., Ltd., Class H Shares(b) | | | 1,192,516 | |
| | 31,600 | | | China Yangtze Power Co., Ltd., Class A Shares | | | 109,530 | |
| | 1,200 | | | China Zhenhua Group Science & Technology Co., Ltd., Class A Shares | | | 19,456 | |
| | 40,300 | | | China Zheshang Bank Co., Ltd., Class A Shares* | | | 18,943 | |
| | 56,000 | | | Chinasoft International Ltd.* | | | 43,755 | |
| | 1,500 | | | Chongqing Brewery Co., Ltd., Class A Shares | | | 24,175 | |
| | 18,382 | | | Chongqing Changan Automobile Co., Ltd., Class A Shares | | | 38,624 | |
| | 2,000 | | | Chongqing Zhifei Biological Products Co., Ltd., Class A Shares | | | 27,155 | |
| | 91,728 | | | CIFI Holdings Group Co., Ltd.(d) | | | 23,116 | |
| | 148,000 | | | CITIC Ltd. | | | 152,584 | |
| | 17,365 | | | CITIC Securities Co., Ltd., Class A Shares | | | 48,965 | |
| | 53,425 | | | CITIC Securities Co., Ltd., Class H Shares(b) | | | 108,331 | |
| | 26,600 | | | CMOC Group Ltd., Class A Shares | | | 18,912 | |
| | 96,000 | | | CMOC Group Ltd., Class H Shares(b) | | | 42,892 | |
| | 1,300 | | | CNGR Advanced Material Co., Ltd., Class A Shares | | | 17,540 | |
| | 44,300 | | | Contemporary Amperex Technology Co., Ltd., Class A Shares* | | | 3,076,837 | |
| | 17,300 | | | COSCO Shipping Energy Transportation Co., Ltd., Class A Shares* | | | 35,195 | |
| | 20,720 | | | COSCO SHIPPING Holdings Co., Ltd., Class A Shares | | | 42,382 | |
| | 81,250 | | | COSCO SHIPPING Holdings Co., Ltd., Class H Shares(b) | | | 121,355 | |
| | 207,000 | | | Country Garden Holdings Co., Ltd. | | | 60,593 | |
| | 52,000 | | | Country Garden Services Holdings Co., Ltd. | | | 102,143 | |
| | 31,400 | | | CRRC Corp., Ltd., Class A Shares | | | 22,733 | |
See Notes to Financial Statements.
134
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| China — 26.8% — (continued) | |
| | 85,000 | | | CRRC Corp., Ltd., Class H Shares(b) | | $ | 31,787 | |
| | 8,700 | | | CSC Financial Co., Ltd., Class A Shares | | | 33,499 | |
| | 233,120 | | | CSPC Pharmaceutical Group Ltd. | | | 236,221 | |
| | 59,000 | | | Dali Foods Group Co., Ltd.(a) | | | 26,942 | |
| | 21,700 | | | Daqin Railway Co., Ltd., Class A Shares | | | 20,242 | |
| | 1,342 | | | Daqo New Energy Corp., ADR* | | | 89,471 | |
| | 2,736 | | | DaShenLin Pharmaceutical Group Co., Ltd., Class A Shares | | | 13,185 | |
| | 800 | | | DHC Software Co., Ltd., Class A Shares | | | 673 | |
| | 7,000 | | | Dongfang Electric Corp., Ltd., Class A Shares | | | 19,873 | |
| | 62,000 | | | Dongfeng Motor Group Co., Ltd., Class H Shares(b) | | | 39,333 | |
| | 52,000 | | | Dongyue Group Ltd. | | | 58,484 | |
| | 22,438 | | | East Money Information Co., Ltd., Class A Shares | | | 71,741 | |
| | 900 | | | Ecovacs Robotics Co., Ltd., Class A Shares | | | 10,600 | |
| | 140,100 | | | ENN Energy Holdings Ltd. | | | 2,032,641 | |
| | 315,999 | | | ENN Natural Gas Co., Ltd., Class A Shares | | | 936,771 | |
| | 2,581 | | | Eve Energy Co., Ltd., Class A Shares | | | 35,354 | |
| | 7,300 | | | Everbright Securities Co., Ltd., Class A Shares | | | 16,914 | |
| | 2,900 | | | Flat Glass Group Co., Ltd., Class A Shares* | | | 16,769 | |
| | 11,000 | | | Flat Glass Group Co., Ltd., Class H Shares*(b) | | | 36,225 | |
| | 20,800 | | | Focus Media Information Technology Co., Ltd., Class A Shares | | | 18,196 | |
| | 6,655 | | | Foshan Haitian Flavouring & Food Co., Ltd., Class A Shares | | | 77,419 | |
| | 76,500 | | | Fosun International Ltd. | | | 56,348 | |
| | 16,400 | | | Founder Securities Co., Ltd., Class A Shares | | | 16,489 | |
| | 15,000 | | | Foxconn Industrial Internet Co., Ltd., Class A Shares | | | 20,138 | |
| | 907,000 | | | Fu Shou Yuan International Group Ltd. | | | 580,454 | |
| | 4,100 | | | Fuyao Glass Industry Group Co., Ltd., Class A Shares | | | 23,152 | |
| | 17,600 | | | Fuyao Glass Industry Group Co., Ltd., Class H Shares(a)(b) | | | 83,803 | |
| | 60,620 | | | Ganfeng Lithium Co., Ltd., Class A Shares | | | 748,030 | |
| | 8,120 | | | Ganfeng Lithium Co., Ltd., Class H Shares(a)(b) | | | 71,263 | |
| | 51,400 | | | GD Power Development Co., Ltd., Class A Shares* | | | 32,307 | |
| | 162,684 | | | GDS Holdings Ltd., Class A Shares* | | | 557,678 | |
| | 15,100 | | | GEM Co., Ltd., Class A Shares | | | 18,210 | |
| | 9,300 | | | Gemdale Corp., Class A Shares | | | 15,676 | |
| | 32,000 | | | Genscript Biotech Corp.* | | | 103,165 | |
| | 8,200 | | | GF Securities Co., Ltd., Class A Shares | | | 19,466 | |
| | 31,600 | | | GF Securities Co., Ltd., Class H Shares(b) | | | 41,312 | |
| | 8,700 | | | Giant Network Group Co., Ltd., Class A Shares | | | 10,809 | |
| | 924 | | | Gigadevice Semiconductor Inc., Class A Shares | | | 15,428 | |
| | 900 | | | Ginlong Technologies Co., Ltd., Class A Shares | | | 29,757 | |
| | 117,300 | | | GoerTek Inc., Class A Shares | | | 550,162 | |
| | 2,000 | | | Gotion High-tech Co., Ltd., Class A Shares | | | 9,917 | |
| | 4,100 | | | Great Wall Motor Co., Ltd., Class A Shares | | | 19,770 | |
| | 77,000 | | | Great Wall Motor Co., Ltd., Class H Shares(b) | | | 115,563 | |
| | 241,500 | | | Gree Electric Appliances Inc. of Zhuhai, Class A Shares | | | 1,113,998 | |
| | 22,000 | | | Greentown China Holdings Ltd. | | | 41,569 | |
| | 32,000 | | | Greentown Service Group Co., Ltd. | | | 23,111 | |
| | 2,200 | | | Guangdong Haid Group Co., Ltd., Class A Shares | | | 19,397 | |
| | 1,000 | | | Guangdong Kinlong Hardware Products Co., Ltd., Class A Shares | | | 13,789 | |
| | 7,700 | | | Guanghui Energy Co., Ltd., Class A Shares | | | 14,185 | |
| | 88,000 | | | Guangzhou Automobile Group Co., Ltd., Class H Shares(b) | | | 75,776 | |
| | 2,600 | | | Guangzhou Baiyunshan Pharmaceutical Holdings Co., Ltd., Class A Shares | | | 10,212 | |
| | 7,900 | | | Guangzhou Haige Communications Group Inc. Co., Class A Shares | | | 9,979 | |
| | 1,100 | | | Guangzhou Kingmed Diagnostics Group Co., Ltd., Class A Shares | | | 10,596 | |
| | 600 | | | Guangzhou Shiyuan Electronic Technology Co., Ltd., Class A Shares | | | 5,864 | |
| | 3,220 | | | Guangzhou Tinci Materials Technology Co., Ltd., Class A Shares | | | 22,107 | |
| | 9,400 | | | Guosen Securities Co., Ltd., Class A Shares | | | 12,565 | |
See Notes to Financial Statements.
135
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| China — 26.8% — (continued) | |
| | 16,600 | | | Guotai Junan Securities Co., Ltd., Class A Shares | | $ | 35,484 | |
| | 5,900 | | | Guoyuan Securities Co., Ltd., Class A Shares | | | 6,240 | |
| | 34,000 | | | Haidilao International Holding Ltd.*(a) | | | 80,094 | |
| | 7,300 | | | Haier Smart Home Co., Ltd., Class A Shares | | | 27,263 | |
| | 62,200 | | | Haier Smart Home Co., Ltd., Class H Shares(b) | | | 203,342 | |
| | 16,000 | | | Haitian International Holdings Ltd. | | | 39,243 | |
| | 9,300 | | | Haitong Securities Co., Ltd., Class A Shares | | | 12,739 | |
| | 91,600 | | | Haitong Securities Co., Ltd., Class H Shares(b) | | | 60,009 | |
| | 2,520 | | | Hangzhou First Applied Material Co., Ltd., Class A Shares | | | 23,601 | |
| | 2,700 | | | Hangzhou Silan Microelectronics Co., Ltd., Class A Shares | | | 15,448 | |
| | 400 | | | Hangzhou Tigermed Consulting Co., Ltd., Class A Shares | | | 6,250 | |
| | 3,700 | | | Hangzhou Tigermed Consulting Co., Ltd., Class H Shares(a)(b) | | | 36,647 | |
| | 40,000 | | | Hansoh Pharmaceutical Group Co., Ltd.(a) | | | 79,642 | |
| | 5,300 | | | Henan Shuanghui Investment & Development Co., Ltd., Class A Shares | | | 20,534 | |
| | 316,000 | | | Hengan International Group Co., Ltd. | | | 1,513,687 | |
| | 10,778 | | | Hengli Petrochemical Co., Ltd., Class A Shares | | | 29,907 | |
| | 2,990 | | | Hengyi Petrochemical Co., Ltd., Class A Shares | | | 3,912 | |
| | 43,300 | | | Hesteel Co., Ltd., Class A Shares | | | 15,158 | |
| | 1,399 | | | Hithink RoyalFlush Information Network Co., Ltd., Class A Shares | | | 17,172 | |
| | 2,800 | | | Hongfa Technology Co., Ltd., Class A Shares | | | 15,239 | |
| | 900 | | | Hoshine Silicon Industry Co., Ltd., Class A Shares | | | 14,592 | |
| | 12,000 | | | Hua Hong Semiconductor Ltd.*(a) | | | 35,243 | |
| | 38,500 | | | Huadian Power International Corp., Ltd., Class A Shares | | | 30,363 | |
| | 1,694 | | | Huadong Medicine Co., Ltd., Class A Shares | | | 10,321 | |
| | 2,260 | | | Hualan Biological Engineering Inc., Class A Shares | | | 6,452 | |
| | 22,500 | | | Huaneng Power International Inc., Class A Shares* | | | 26,585 | |
| | 108,000 | | | Huaneng Power International Inc., Class H Shares*(b) | | | 55,166 | |
| | 7,200 | | | Huatai Securities Co., Ltd., Class A Shares | | | 13,670 | |
| | 48,200 | | | Huatai Securities Co., Ltd., Class H Shares(a)(b) | | | 64,481 | |
| | 10,500 | | | Huaxia Bank Co., Ltd., Class A Shares | | | 7,804 | |
| | 1,600 | | | Huaxin Cement Co., Ltd., Class A Shares | | | 4,009 | |
| | 262,200 | | | Huayu Automotive Systems Co., Ltd., Class A Shares | | | 706,117 | |
| | 4,702 | | | Huazhu Group Ltd., ADR | | | 176,936 | |
| | 3,600 | | | Hubei Xingfa Chemicals Group Co., Ltd., Class A Shares | | | 20,075 | |
| | 1,000 | | | Huizhou Desay Sv Automotive Co., Ltd., Class A Shares | | | 22,056 | |
| | 7,400 | | | Humanwell Healthcare Group Co., Ltd., Class A Shares | | | 19,935 | |
| | 3,785 | | | Hundsun Technologies Inc., Class A Shares | | | 18,379 | |
| | 7,200 | | | Hygeia Healthcare Holdings Co., Ltd.*(a) | | | 38,889 | |
| | 3,900 | | | Iflytek Co., Ltd., Class A Shares | | | 21,103 | |
| | 200 | | | Imeik Technology Development Co., Ltd., Class A Shares | | | 16,139 | |
| | 82,200 | | | Industrial & Commercial Bank of China Ltd., Class A Shares | | | 52,110 | |
| | 1,458,000 | | | Industrial & Commercial Bank of China Ltd., Class H Shares(b) | | | 741,672 | |
| | 31,400 | | | Industrial Bank Co., Ltd., Class A Shares | | | 77,576 | |
| | 19,760 | | | Industrial Securities Co., Ltd., Class A Shares* | | | 17,738 | |
| | 800 | | | Ingenic Semiconductor Co., Ltd., Class A Shares | | | 9,412 | |
| | 62,900 | | | Inner Mongolia BaoTou Steel Union Co., Ltd., Class A Shares | | | 18,273 | |
| | 16,300 | | | Inner Mongolia Junzheng Energy & Chemical Industry Group Co., Ltd., Class A Shares | | | 10,235 | |
| | 8,700 | | | Inner Mongolia Yili Industrial Group Co., Ltd., Class A Shares | | | 44,975 | |
| | 29,900 | | | Inner Mongolia Yitai Coal Co., Ltd., Class B Shares | | | 50,278 | |
| | 29,500 | | | Innovent Biologics Inc.*(a) | | | 124,736 | |
| | 3,700 | | | Inspur Electronic Information Industry Co., Ltd., Class A Shares | | | 12,391 | |
| | 6,066 | | | iQIYI Inc., ADR*(d) | | | 22,202 | |
| | 2,940 | | | JA Solar Technology Co., Ltd., Class A Shares | | | 27,847 | |
| | 1,500 | | | Jafron Biomedical Co., Ltd., Class A Shares | | | 10,181 | |
| | 2,600 | | | Jason Furniture Hangzhou Co., Ltd., Class A Shares | | | 18,192 | |
| | 4,000 | | | JCET Group Co., Ltd., Class A Shares | | | 14,309 | |
See Notes to Financial Statements.
136
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| China — 26.8% — (continued) | |
| | 28,250 | | | JD Health International Inc.*(a) | | $ | 195,142 | |
| | 44,175 | | | JD.com Inc., ADR | | | 2,804,671 | |
| | 65,694 | | | JD.com Inc., Class A Shares | | | 2,079,082 | |
| | 7,400 | | | Jiangsu Eastern Shenghong Co., Ltd., Class A Shares | | | 20,595 | |
| | 24,000 | | | Jiangsu Expressway Co., Ltd., Class H Shares(b) | | | 20,568 | |
| | 1,948 | | | Jiangsu Hengli Hydraulic Co., Ltd., Class A Shares | | | 13,757 | |
| | 10,301 | | | Jiangsu Hengrui Medicine Co., Ltd., Class A Shares | | | 51,534 | |
| | 1,000 | | | Jiangsu King’S Luck Brewery JSC Ltd., Class A Shares | | | 6,677 | |
| | 2,600 | | | Jiangsu Yanghe Brewery Joint-Stock Co., Ltd., Class A Shares | | | 61,727 | |
| | 1,100 | | | Jiangsu Yangnong Chemical Co., Ltd., Class A Shares | | | 18,093 | |
| | 6,200 | | | Jiangsu Zhongtian Technology Co., Ltd., Class A Shares | | | 19,888 | |
| | 5,300 | | | Jiangxi Copper Co., Ltd., Class A Shares | | | 12,516 | |
| | 19,000 | | | Jiangxi Copper Co., Ltd., Class H Shares(b) | | | 23,367 | |
| | 7,800 | | | Jiangxi Zhengbang Technology Co., Ltd., Class A Shares* | | | 6,738 | |
| | 7,400 | | | Jinke Properties Group Co., Ltd., Class A Shares* | | | 2,672 | |
| | 394,000 | | | Jinxin Fertility Group Ltd.(a) | | | 256,434 | |
| | 800 | | | JiuGui Liquor Co., Ltd., Class A Shares | | | 17,200 | |
| | 16,000 | | | Jiumaojiu International Holdings Ltd.(a) | | | 31,522 | |
| | 6,800 | | | Joincare Pharmaceutical Group Industry Co., Ltd., Class A Shares | | | 10,720 | |
| | 2,100 | | | Joinn Laboratories China Co., Ltd., Class A Shares | | | 23,633 | |
| | 7,800 | | | Jointown Pharmaceutical Group Co., Ltd., Class A Shares | | | 13,412 | |
| | 2,200 | | | Jonjee Hi-Tech Industrial And Commercial Holding Co., Ltd., Class A Shares | | | 10,916 | |
| | 1,500 | | | Juewei Food Co., Ltd., Class A Shares | | | 10,114 | |
| | 4,655 | | | Kanzhun Ltd., ADR* | | | 109,346 | |
| | 16,974 | | | KE Holdings Inc., ADR* | | | 306,211 | |
| | 66,000 | | | Kingdee International Software Group Co., Ltd.* | | | 128,183 | |
| | 5,800 | | | Kingfa Sci. & Tech. Co., Ltd., Class A Shares | | | 9,003 | |
| | 26,600 | | | Kingsoft Corp., Ltd. | | | 80,882 | |
| | 45,600 | | | Kuaishou Technology, Class B Shares*(a) | | | 396,263 | |
| | 6,300 | | | Kuang-Chi Technologies Co., Ltd., Class A Shares* | | | 16,528 | |
| | 1,988 | | | Kweichow Moutai Co., Ltd., Class A Shares | | | 551,919 | |
| | 4,200 | | | LB Group Co., Ltd., Class A Shares | | | 10,668 | |
| | 1,744,000 | | | Lenovo Group Ltd. | | | 1,436,835 | |
| | 9,000 | | | Lens Technology Co., Ltd., Class A Shares | | | 14,137 | |
| | 4,500 | | | Lepu Medical Technology Beijing Co., Ltd., Class A Shares | | | 12,311 | |
| | 14,803 | | | Li Auto Inc., ADR* | | | 425,882 | |
| | 60,500 | | | Li Ning Co., Ltd. | | | 550,850 | |
| | 14,500 | | | Lingyi iTech Guangdong Co., Class A Shares* | | | 11,516 | |
| | 46,500 | | | Longfor Group Holdings Ltd.(a) | | | 150,961 | |
| | 10,472 | | | LONGi Green Energy Technology Co., Ltd., Class A Shares | | | 77,324 | |
| | 18,864 | | | Lufax Holding Ltd., ADR | | | 82,436 | |
| | 11,038 | | | Luxshare Precision Industry Co., Ltd., Class A Shares | | | 59,713 | |
| | 2,000 | | | Luzhou Laojiao Co., Ltd., Class A Shares | | | 67,563 | |
| | 3,400 | | | Mango Excellent Media Co., Ltd., Class A Shares | | | 13,634 | |
| | 864 | | | Maxscend Microelectronics Co., Ltd., Class A Shares | | | 12,678 | |
| | 9,480 | | | Meinian Onehealth Healthcare Holdings Co., Ltd., Class A Shares* | | | 6,619 | |
| | 296,400 | | | Meituan, Class B Shares*(a) | | | 7,102,740 | |
| | 36,900 | | | Metallurgical Corp. of China Ltd., Class A Shares | | | 17,112 | |
| | 15,000 | | | Microport Scientific Corp.* | | | 29,852 | |
| | 4,300 | | | Ming Yang Smart Energy Group Ltd., Class A Shares | | | 16,666 | |
| | 18,000 | | | Ming Yuan Cloud Group Holdings Ltd. | | | 14,835 | |
| | 508,000 | | | Minth Group Ltd. | | | 1,437,832 | |
| | 2,041 | | | Montage Technology Co., Ltd., Class A Shares | | | 16,339 | |
| | 6,986 | | | Muyuan Foods Co., Ltd., Class A Shares | | | 59,149 | |
| | 4,680 | | | Nanjing King-Friend Biochemical Pharmaceutical Co., Ltd., Class A Shares | | | 12,135 | |
| | 7,600 | | | Nanjing Securities Co., Ltd., Class A Shares | | | 9,332 | |
See Notes to Financial Statements.
137
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| China — 26.8% — (continued) | |
| | 8,496 | | | NARI Technology Co., Ltd., Class A Shares | | $ | 33,670 | |
| | 4,906 | | | National Silicon Industry Group Co., Ltd., Class A Shares* | | | 14,587 | |
| | 700 | | | NAURA Technology Group Co., Ltd., Class A Shares | | | 28,477 | |
| | 9,700 | | | NavInfo Co., Ltd., Class A Shares | | | 18,308 | |
| | 104,525 | | | NetEase Inc. | | | 1,873,268 | |
| | 2,400 | | | New China Life Insurance Co., Ltd., Class A Shares | | | 9,991 | |
| | 28,800 | | | New China Life Insurance Co., Ltd., Class H Shares(b) | | | 67,709 | |
| | 6,400 | | | New Hope Liuhe Co., Ltd., Class A Shares* | | | 14,527 | |
| | 33,710 | | | New Oriental Education & Technology Group Inc.* | | | 97,767 | |
| | 3,400 | | | Ninestar Corp., Class A Shares | | | 21,736 | |
| | 600 | | | Ningbo Deye Technology Co., Ltd., Class A Shares | | | 31,828 | |
| | 1,202 | | | Ningbo Ronbay New Energy Technology Co., Ltd., Class A Shares | | | 17,949 | |
| | 5,200 | | | Ningbo Shanshan Co., Ltd., Class A Shares | | | 18,632 | |
| | 2,600 | | | Ningbo Tuopu Group Co., Ltd., Class A Shares | | | 29,679 | |
| | 10,200 | | | Ningxia Baofeng Energy Group Co., Ltd., Class A Shares | | | 20,023 | |
| | 33,372 | | | NIO Inc., ADR* | | | 664,437 | |
| | 46,000 | | | Nongfu Spring Co., Ltd., Class H Shares(a)(b) | | | 273,378 | |
| | 9,000 | | | OFILM Group Co., Ltd., Class A Shares* | | | 8,347 | |
| | 1,000 | | | Oppein Home Group Inc., Class A Shares | | | 18,867 | |
| | 14,464 | | | Orient Securities Co., Ltd., Class A Shares | | | 18,094 | |
| | 2,029 | | | Ovctek China Inc., Class A Shares | | | 12,492 | |
| | 279,000 | | | People’s Insurance Co. Group of China Ltd. (The), Class H Shares(b) | | | 86,238 | |
| | 4,650 | | | Perfect World Co., Ltd., Class A Shares | | | 9,911 | |
| | 21,700 | | | PetroChina Co., Ltd., Class A Shares | | | 16,841 | |
| | 540,000 | | | PetroChina Co., Ltd., Class H Shares(b) | | | 252,184 | |
| | 1,350 | | | Pharmaron Beijing Co., Ltd., Class A Shares | | | 13,254 | |
| | 165,750 | | | Pharmaron Beijing Co., Ltd., Class H Shares(a)(b) | | | 1,095,101 | |
| | 170,000 | | | PICC Property & Casualty Co., Ltd., Class H Shares(b) | | | 183,455 | |
| | 12,880 | | | Pinduoduo Inc., ADR* | | | 918,344 | |
| | 1,451,380 | | | Ping An Bank Co., Ltd., Class A Shares | | | 2,670,567 | |
| | 15,600 | | | Ping An Healthcare & Technology Co., Ltd.*(a) | | | 42,315 | |
| | 15,800 | | | Ping An Insurance Group Co. of China Ltd., Class A Shares | | | 99,985 | |
| | 953,500 | | | Ping An Insurance Group Co. of China Ltd., Class H Shares(b) | | | 5,610,430 | |
| | 18,000 | | | Poly Developments & Holdings Group Co., Ltd., Class A Shares | | | 44,979 | |
| | 15,800 | | | Pop Mart International Group Ltd.(a) | | | 40,960 | |
| | 45,300 | | | Postal Savings Bank of China Co., Ltd., Class A Shares | | | 29,506 | |
| | 202,000 | | | Postal Savings Bank of China Co., Ltd., Class H Shares(a)(b) | | | 120,619 | |
| | 22,300 | | | Power Construction Corp. of China Ltd., Class A Shares | | | 24,855 | |
| | 8,300 | | | Qinghai Salt Lake Industry Co., Ltd., Class A Shares* | | | 33,413 | |
| | 13,324 | | | RLX Technology Inc., ADR* | | | 19,053 | |
| | 21,350 | | | Rongsheng Petrochemical Co., Ltd., Class A Shares | | | 43,700 | |
| | 11,800 | | | SAIC Motor Corp., Ltd., Class A Shares | | | 26,317 | |
| | 10,100 | | | Sailun Group Co., Ltd., Class A Shares | | | 16,608 | |
| | 800 | | | Sangfor Technologies Inc., Class A Shares | | | 11,156 | |
| | 24,000 | | | Sany Heavy Equipment International Holdings Co., Ltd. | | | 24,862 | |
| | 17,700 | | | Sany Heavy Industry Co., Ltd., Class A Shares | | | 40,239 | |
| | 5,177 | | | Satellite Chemical Co., Ltd., Class A Shares | | | 16,383 | |
| | 12,700 | | | SDIC Power Holdings Co., Ltd., Class A Shares | | | 20,459 | |
| | 50,000 | | | Seazen Group Ltd.* | | | 16,600 | |
| | 3,000 | | | Seazen Holdings Co., Ltd., Class A Shares* | | | 9,014 | |
| | 7,700 | | | SF Holding Co., Ltd., Class A Shares | | | 54,971 | |
| | 750 | | | SG Micro Corp., Class A Shares | | | 17,355 | |
| | 12,300 | | | Shaanxi Coal Industry Co., Ltd., Class A Shares | | | 39,031 | |
| | 5,600 | | | Shandong Gold Mining Co., Ltd., Class A Shares | | | 14,486 | |
| | 23,500 | | | Shandong Gold Mining Co., Ltd., Class H Shares(a)(b) | | | 39,985 | |
| | 89,000 | | | Shandong Head Group Co., Ltd., Class A Shares | | | 424,059 | |
See Notes to Financial Statements.
138
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| China — 26.8% — (continued) | |
| | 5,850 | | | Shandong Hualu Hengsheng Chemical Co., Ltd., Class A Shares | | $ | 24,646 | |
| | 3,100 | | | Shandong Linglong Tyre Co., Ltd., Class A Shares | | | 10,199 | |
| | 14,900 | | | Shandong Nanshan Aluminum Co., Ltd., Class A Shares | | | 7,300 | |
| | 6,800 | | | Shandong Sun Paper Industry JSC Ltd., Class A Shares | | | 11,778 | |
| | 72,400 | | | Shandong Weigao Group Medical Polymer Co., Ltd., Class H Shares(b) | | | 98,174 | |
| | 2,548 | | | Shanghai Bairun Investment Holding Group Co., Ltd., Class A Shares | | | 8,576 | |
| | 266,949 | | | Shanghai Baosight Software Co., Ltd., Class A Shares | | | 1,465,843 | |
| | 12,220 | | | Shanghai Baosight Software Co., Ltd., Class B Shares | | | 37,036 | |
| | 39,300 | | | Shanghai Electric Group Co., Ltd., Class A Shares* | | | 24,080 | |
| | 4,000 | | | Shanghai Fosun Pharmaceutical Group Co., Ltd., Class A Shares | | | 23,290 | |
| | 518,500 | | | Shanghai Fosun Pharmaceutical Group Co., Ltd., Class H Shares(b) | | | 1,669,840 | |
| | 2,000 | | | Shanghai International Airport Co., Ltd., Class A Shares* | | | 16,298 | |
| | 17,999 | | | Shanghai International Port Group Co., Ltd., Class A Shares | | | 14,062 | |
| | 2,700 | | | Shanghai Jinjiang International Hotels Co., Ltd., Class A Shares | | | 22,526 | |
| | 2,342 | | | Shanghai Junshi Biosciences Co., Ltd., Class A Shares* | | | 17,915 | |
| | 32,520 | | | Shanghai Lujiazui Finance & Trade Zone Development Co., Ltd., Class B Shares | | | 27,100 | |
| | 2,200 | | | Shanghai M&G Stationery Inc., Class A Shares | | | 14,125 | |
| | 8,700 | | | Shanghai Pharmaceuticals Holding Co., Ltd., Class A Shares | | | 21,718 | |
| | 16,800 | | | Shanghai Pharmaceuticals Holding Co., Ltd., Class H Shares(b) | | | 24,449 | |
| | 40,200 | | | Shanghai Pudong Development Bank Co., Ltd., Class A Shares | | | 42,261 | |
| | 2,760 | | | Shanghai Putailai New Energy Technology Co., Ltd., Class A Shares | | | 25,246 | |
| | 15,800 | | | Shanghai RAAS Blood Products Co., Ltd., Class A Shares | | | 13,342 | |
| | 15,700 | | | Shanghai Yuyuan Tourist Mart Group Co., Ltd., Class A Shares | | | 18,211 | |
| | 17,600 | | | Shanxi Coking Coal Energy Group Co., Ltd., Class A Shares | | | 32,813 | |
| | 9,000 | | | Shanxi Lu’an Environmental Energy Development Co., Ltd., Class A Shares | | | 20,743 | |
| | 3,500 | | | Shanxi Meijin Energy Co., Ltd., Class A Shares | | | 5,742 | |
| | 9,600 | | | Shanxi Securities Co., Ltd., Class A Shares | | | 8,071 | |
| | 2,040 | | | Shanxi Xinghuacun Fen Wine Factory Co., Ltd., Class A Shares | | | 86,199 | |
| | 4,400 | | | Shengyi Technology Co., Ltd., Class A Shares | | | 10,111 | |
| | 1,260 | | | Shennan Circuits Co., Ltd., Class A Shares | | | 15,462 | |
| | 48,700 | | | Shenwan Hongyuan Group Co., Ltd., Class A Shares | | | 29,409 | |
| | 500 | | | Shenzhen Dynanonic Co., Ltd., Class A Shares | | | 23,126 | |
| | 1,680 | | | Shenzhen Energy Group Co., Ltd., Class A Shares | | | 1,545 | |
| | 209,800 | | | Shenzhen Inovance Technology Co., Ltd., Class A Shares | | | 1,819,008 | |
| | 2,240 | | | Shenzhen Kangtai Biological Products Co., Ltd., Class A Shares | | | 10,895 | |
| | 2,000 | | | Shenzhen Mindray Bio-Medical Electronics Co., Ltd., Class A Shares | | | 86,260 | |
| | 15,200 | | | Shenzhen Overseas Chinese Town Co., Ltd., Class A Shares | | | 11,754 | |
| | 971 | | | Shenzhen Transsion Holdings Co., Ltd., Class A Shares | | | 9,576 | |
| | 49,500 | | | Shenzhou International Group Holdings Ltd. | | | 518,576 | |
| | 4,649 | | | Shijiazhuang Yiling Pharmaceutical Co., Ltd., Class A Shares | | | 14,345 | |
| | 4,000 | | | Sichuan Chuantou Energy Co., Ltd., Class A Shares | | | 7,626 | |
| | 12,400 | | | Sichuan Road & Bridge Co., Ltd., Class A Shares | | | 19,151 | |
| | 1,200 | | | Sichuan Swellfun Co., Ltd., Class A Shares | | | 12,659 | |
| | 5,100 | | | Sichuan Yahua Industrial Group Co., Ltd., Class A Shares | | | 20,983 | |
| | 8,000 | | | Silergy Corp. | | | 138,181 | |
| | 3,700 | | | Sinolink Securities Co., Ltd., Class A Shares | | | 4,617 | |
| | 4,000 | | | Sinoma Science & Technology Co., Ltd., Class A Shares | | | 13,380 | |
| | 2,100 | | | Sinomine Resource Group Co., Ltd., Class A Shares | | | 28,679 | |
| | 770,572 | | | Sinopharm Group Co., Ltd., Class H Shares(b) | | | 1,713,264 | |
| | 24,000 | | | Sinotruk Hong Kong Ltd. | | | 23,935 | |
| | 840 | | | Skshu Paint Co., Ltd., Class A Shares* | | | 11,307 | |
| | 53,000 | | | Smoore International Holdings Ltd.(a) | | | 94,550 | |
| | 12,220 | | | Songcheng Performance Development Co., Ltd., Class A Shares | | | 22,395 | |
| | 400 | | | StarPower Semiconductor Ltd., Class A Shares | | | 22,849 | |
| | 69,000 | | | Sunac China Holdings Ltd.*(c)(e) | | | 17,583 | |
| | 71,600 | | | Sungrow Power Supply Co., Ltd., Class A Shares | | | 1,148,144 | |
See Notes to Financial Statements.
139
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| China — 26.8% — (continued) | |
| | 17,500 | | | Sunny Optical Technology Group Co., Ltd. | | $ | 239,291 | |
| | 2,800 | | | Sunwoda Electronic Co., Ltd., Class A Shares | | | 11,029 | |
| | 5,400 | | | Suzhou Dongshan Precision Manufacturing Co., Ltd., Class A Shares | | | 20,134 | |
| | 320 | | | Suzhou Maxwell Technologies Co., Ltd., Class A Shares | | | 21,644 | |
| | 1,400 | | | Suzhou TA&A Ultra Clean Technology Co., Ltd., Class A Shares | | | 15,725 | |
| | 8,274 | | | TAL Education Group, ADR* | | | 47,824 | |
| | 6,200 | | | TBEA Co., Ltd., Class A Shares | | | 22,177 | |
| | 18,200 | | | TCL Technology Group Corp., Class A Shares | | | 10,912 | |
| | 3,900 | | | TCL Zhonghuan Renewable Energy Technology Co., Ltd., Class A Shares | | | 27,094 | |
| | 395,831 | | | Tencent Holdings Ltd. | | | 16,394,600 | |
| | 14,526 | | | Tencent Music Entertainment Group, ADR* | | | 74,228 | |
| | 1,200 | | | Thunder Software Technology Co., Ltd., Class A Shares | | | 21,310 | |
| | 9,900 | | | Tianma Microelectronics Co., Ltd., Class A Shares | | | 13,492 | |
| | 18,200 | | | Tianshan Aluminum Group Co., Ltd., Class A Shares | | | 20,100 | |
| | 788,000 | | | Tingyi Cayman Islands Holding Corp. | | | 1,400,849 | |
| | 24,000 | | | Tongcheng Travel Holdings Ltd.* | | | 49,251 | |
| | 5,900 | | | Tongkun Group Co., Ltd., Class A Shares | | | 12,160 | |
| | 8,200 | | | Tongwei Co., Ltd., Class A Shares | | | 62,645 | |
| | 400 | | | Topchoice Medical Corp., Class A Shares* | | | 6,723 | |
| | 601,000 | | | Topsports International Holdings Ltd.(a) | | | 473,945 | |
| | 3,700 | | | Transfar Zhilian Co., Ltd., Class A Shares | | | 2,983 | |
| | 35,000 | | | TravelSky Technology Ltd., Class H Shares(b) | | | 61,110 | |
| | 2,527 | | | Trina Solar Co., Ltd., Class A Shares | | | 26,076 | |
| | 13,864 | | | Trip.com Group Ltd., ADR* | | | 356,582 | |
| | 1,500 | | | Tsingtao Brewery Co., Ltd., Class A Shares | | | 23,335 | |
| | 14,000 | | | Tsingtao Brewery Co., Ltd., Class H Shares(b) | | | 136,123 | |
| | 979 | | | Unigroup Guoxin Microelectronics Co., Ltd., Class A Shares | | | 22,069 | |
| | 37,000 | | | Uni-President China Holdings Ltd. | | | 31,888 | |
| | 5,960 | | | Unisplendour Corp., Ltd., Class A Shares | | | 14,883 | |
| | 11,805 | | | Vipshop Holdings Ltd., ADR* | | | 137,056 | |
| | 1,800 | | | Walvax Biotechnology Co., Ltd., Class A Shares | | | 11,350 | |
| | 4,700 | | | Wanhua Chemical Group Co., Ltd., Class A Shares | | | 60,046 | |
| | 125,000 | | | Want Want China Holdings Ltd. | | | 88,102 | |
| | 1,280 | | | Weibo Corp., ADR* | | | 26,483 | |
| | 5,300 | | | Weichai Power Co., Ltd., Class A Shares | | | 8,901 | |
| | 879,200 | | | Weichai Power Co., Ltd., Class H Shares(b) | | | 1,175,375 | |
| | 1,900 | | | Weihai Guangwei Composites Co., Ltd., Class A Shares | | | 20,845 | |
| | 14,040 | | | Wens Foodstuffs Group Co., Ltd., Class A Shares* | | | 48,138 | |
| | 11,400 | | | Western Securities Co., Ltd., Class A Shares | | | 10,678 | |
| | 2,800 | | | Westone Information Industry Inc., Class A Shares | | | 13,565 | |
| | 1,620 | | | Will Semiconductor Co., Ltd., Class A Shares | | | 21,918 | |
| | 1,600 | | | Wingtech Technology Co., Ltd., Class A Shares | | | 14,914 | |
| | 8,200 | | | Wuchan Zhongda Group Co., Ltd., Class A Shares | | | 5,449 | |
| | 1,568 | | | Wuhan Guide Infrared Co., Ltd., Class A Shares | | | 3,242 | |
| | 6,400 | | | Wuliangye Yibin Co., Ltd., Class A Shares | | | 154,252 | |
| | 7,260 | | | WUS Printed Circuit Kunshan Co., Ltd., Class A Shares | | | 12,530 | |
| | 3,864 | | | WuXi AppTec Co., Ltd., Class A Shares | | | 49,786 | |
| | 9,248 | | | WuXi AppTec Co., Ltd., Class H Shares(a)(b) | | | 104,452 | |
| | 479,500 | | | Wuxi Biologics Cayman Inc.*(a) | | | 4,225,880 | |
| | 105,400 | | | Wuxi Lead Intelligent Equipment Co., Ltd., Class A Shares | | | 841,887 | |
| | 42,980 | | | Wuxi Shangji Automation Co., Ltd., Class A Shares | | | 836,009 | |
| | 700 | | | Xiamen Faratronic Co., Ltd., Class A Shares | | | 17,965 | |
| | 5,000 | | | Xiamen Tungsten Co., Ltd., Class A Shares | | | 18,258 | |
| | 389,600 | | | Xiaomi Corp., Class B Shares*(a) | | | 569,108 | |
| | 2,700 | | | Xinjiang Goldwind Science & Technology Co., Ltd., Class A Shares | | | 5,002 | |
| | 32,582 | | | Xinjiang Goldwind Science & Technology Co., Ltd., Class H Shares(b) | | | 48,569 | |
See Notes to Financial Statements.
140
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| China — 26.8% — (continued) | |
| | 1,044,000 | | | Xinyi Solar Holdings Ltd. | | $ | 1,434,186 | |
| | 10,361 | | | XPeng Inc., Class A Shares, ADR* | | | 191,886 | |
| | 27,500 | | | Xtep International Holdings Ltd. | | | 38,188 | |
| | 28,000 | | | Yadea Group Holdings., Ltd.(a) | | | 53,432 | |
| | 6,100 | | | Yankuang Energy Group Co., Ltd., Class A Shares | | | 42,527 | |
| | 38,000 | | | Yankuang Energy Group Co., Ltd., Class H Shares(b) | | | 149,308 | |
| | 1,050 | | | Yealink Network Technology Corp., Ltd., Class A Shares | | | 10,856 | |
| | 122,684 | | | Yifeng Pharmacy Chain Co., Ltd., Class A Shares | | | 946,377 | |
| | 13,000 | | | Yihai International Holding Ltd.* | | | 32,714 | |
| | 1,800 | | | Yihai Kerry Arawana Holdings Co., Ltd., Class A Shares | | | 11,863 | |
| | 1,100 | | | YongXing Special Materials Technology Co., Ltd., Class A Shares | | | 21,295 | |
| | 5,330 | | | Yonyou Network Technology Co., Ltd., Class A Shares | | | 15,454 | |
| | 8,700 | | | YTO Express Group Co., Ltd., Class A Shares | | | 24,679 | |
| | 24,755 | | | Yum China Holdings Inc. | | | 1,226,636 | |
| | 4,160 | | | Yunda Holding Co., Ltd., Class A Shares | | | 10,127 | |
| | 4,200 | | | Yunnan Baiyao Group Co., Ltd., Class A Shares | | | 31,773 | |
| | 800 | | | Yunnan Botanee Bio-Technology Group Co., Ltd., Class A Shares | | | 21,497 | |
| | 1,300 | | | Yunnan Energy New Material Co., Ltd., Class A Shares | | | 36,257 | |
| | 169,550 | | | Zai Lab Ltd.* | | | 777,574 | |
| | 2,037 | | | Zai Lab Ltd., ADR* | | | 94,130 | |
| | 800 | | | Zhangzhou Pientzehuang Pharmaceutical Co., Ltd., Class A Shares | | | 34,775 | |
| | 24,500 | | | Zhaojin Mining Industry Co., Ltd., Class H Shares*(b) | | | 20,836 | |
| | 14,520 | | | Zhejiang Century Huatong Group Co., Ltd., Class A Shares* | | | 9,590 | |
| | 2,100 | | | Zhejiang Chint Electrics Co., Ltd., Class A Shares | | | 9,599 | |
| | 6,400 | | | Zhejiang Dahua Technology Co., Ltd., Class A Shares | | | 13,622 | |
| | 1,300 | | | Zhejiang Dingli Machinery Co., Ltd., Class A Shares | | | 7,372 | |
| | 36,000 | | | Zhejiang Expressway Co., Ltd., Class H Shares(b) | | | 27,394 | |
| | 1,241 | | | Zhejiang HangKe Technology Inc. Co., Class A Shares | | | 11,131 | |
| | 4,400 | | | Zhejiang Huahai Pharmaceutical Co., Ltd., Class A Shares | | | 12,659 | |
| | 52,058 | | | Zhejiang Huayou Cobalt Co., Ltd., Class A Shares | | | 561,198 | |
| | 1,900 | | | Zhejiang Jingsheng Mechanical & Electrical Co., Ltd., Class A Shares | | | 20,826 | |
| | 2,900 | | | Zhejiang Jiuzhou Pharmaceutical Co., Ltd., Class A Shares | | | 17,213 | |
| | 7,200 | | | Zhejiang NHU Co., Ltd., Class A Shares | | | 23,380 | |
| | 25,000 | | | Zhejiang Supcon Technology Co., Ltd., Class A Shares | | | 287,115 | |
| | 7,900 | | | Zheshang Securities Co., Ltd., Class A Shares | | | 12,473 | |
| | 18,500 | | | ZhongAn Online P&C Insurance Co., Ltd., Class H Shares*(a)(b) | | | 54,234 | |
| | 3,700 | | | Zhongji Innolight Co., Ltd., Class A Shares | | | 15,646 | |
| | 13,000 | | | Zhongsheng Group Holdings Ltd. | | | 61,342 | |
| | 17,200 | | | Zhongtai Securities Co., Ltd., Class A Shares | | | 18,415 | |
| | 15,300 | | | Zhuzhou CRRC Times Electric Co., Ltd. | | | 73,986 | |
| | 8,000 | | | Zhuzhou Kibing Group Co., Ltd., Class A Shares | | | 13,086 | |
| | 44,900 | | | Zijin Mining Group Co., Ltd., Class A Shares | | | 56,840 | |
| | 138,000 | | | Zijin Mining Group Co., Ltd., Class H Shares(b) | | | 155,991 | |
| | 13,200 | | | Zoomlion Heavy Industry Science & Technology Co., Ltd., Class A Shares | | | 11,007 | |
| | 29,200 | | | Zoomlion Heavy Industry Science & Technology Co., Ltd., Class H Shares(b) | | | 13,168 | |
| | 6,400 | | | ZTE Corp., Class A Shares | | | 22,655 | |
| | 12,600 | | | ZTE Corp., Class H Shares(b) | | | 26,650 | |
| | 11,116 | | | ZTO Express Cayman Inc., ADR | | | 289,572 | |
| | | | | | | | |
| | | | Total China | | | 128,744,142 | |
| | | | | | | | |
|
| Colombia — 0.0% | |
| | 7,109 | | | Bancolombia SA | | | 54,950 | |
| | 101,878 | | | Ecopetrol SA | | | 51,970 | |
| | 12,667 | | | Interconexion Electrica SA ESP | | | 54,882 | |
| | | | | | | | |
| | | | Total Colombia | | | 161,802 | |
| | | | | | | | |
See Notes to Financial Statements.
141
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| Cyprus — 0.0% | |
| | 7,431 | | | Polymetal International PLC(c)(e) | | $ | 1 | |
| | 2,925 | | | TCS Group Holding PLC, Class Registered Shares, GDR*(c)(e) | | | 1 | |
| | | | | | | | |
| | | | Total Cyprus | | | 2 | |
| | | | | | | | |
|
| Czech Republic — 0.1% | |
| | 4,350 | | | CEZ AS | | | 176,047 | |
| | 1,684 | | | Komercni Banka AS | | | 39,604 | |
| | 9,582 | | | Moneta Money Bank AS(a) | | | 30,339 | |
| | | | | | | | |
| | | | Total Czech Republic | | | 245,990 | |
| | | | | | | | |
|
| Egypt — 0.4% | |
| | 2,009,004 | | | Cleopatra Hospital* | | | 419,870 | |
| | 807,196 | | | Commercial International Bank Egypt SAE, Class Registered Shares, GDR | | | 1,415,665 | |
| | 60,271 | | | Commercial International Bank Egypt SAE, GDR | | | 119,549 | |
| | 22,745 | | | Eastern Co. SAE | | | 11,529 | |
| | | | | | | | |
| | | | Total Egypt | | | 1,966,613 | |
| | | | | | | | |
|
| Georgia — 0.4% | |
| | 63,700 | | | Bank of Georgia Group PLC | | | 1,477,018 | |
| | 32,700 | | | Georgia Capital PLC* | | | 259,651 | |
| | | | | | | | |
| | | | Total Georgia | | | 1,736,669 | |
| | | | | | | | |
|
| Germany — 0.2% | |
| | 25,340 | | | Delivery Hero SE*(a) | | | 1,056,198 | |
| | | | | | | | |
|
| Greece — 0.3% | |
| | 48,512 | | | Alpha Services & Holdings SA* | | | 44,561 | |
| | 53,636 | | | Eurobank Ergasias Services & Holdings SA* | | | 49,621 | |
| | 1,594 | | | FF Group*(c)(e) | | | 16 | |
| | 6,324 | | | Hellenic Telecommunications Organization SA | | | 100,545 | |
| | 2,114 | | | JUMBO SA | | | 30,169 | |
| | 1,439 | | | Mytilineos SA | | | 22,415 | |
| | 13,279 | | | National Bank of Greece SA* | | | 42,550 | |
| | 73,515 | | | OPAP SA | | | 969,464 | |
| | 6,832 | | | Public Power Corp. SA* | | | 35,446 | |
| | | | | | | | |
| | | | Total Greece | | | 1,294,787 | |
| | | | | | | | |
|
| Hong Kong — 2.1% | |
| | 375,000 | | | AIA Group Ltd. | | | 3,616,413 | |
| | 116,000 | | | Alibaba Health Information Technology Ltd.* | | | 66,592 | |
| | 250,000 | | | Alibaba Pictures Group Ltd.* | | | 19,664 | |
| | 127,000 | | | ASMPT Ltd. | | | 985,315 | |
| | 11,000 | | | Beijing Enterprises Holdings Ltd. | | | 32,713 | |
| | 138,000 | | | Beijing Enterprises Water Group Ltd. | | | 35,462 | |
| | 106,000 | | | Bosideng International Holdings Ltd. | | | 59,497 | |
| | 862,000 | | | Brilliance China Automotive Holdings Ltd.*(c)(e) | | | 262,760 | |
| | 2,173,000 | | | China Education Group Holdings Ltd. | | | 1,890,563 | |
| | 100,888 | | | China Everbright Environment Group Ltd. | | | 49,900 | |
| | 78,000 | | | China Gas Holdings Ltd. | | | 110,243 | |
| | 156,000 | | | China Jinmao Holdings Group Ltd. | | | 32,863 | |
| | 82,000 | | | China Mengniu Dairy Co., Ltd.* | | | 370,520 | |
| | 39,538 | | | China Merchants Port Holdings Co., Ltd. | | | 59,327 | |
| | 98,000 | | | China Overseas Land & Investment Ltd. | | | 262,568 | |
| | 20,000 | | | China Overseas Property Holdings Ltd. | | | 21,251 | |
| | 130,000 | | | China Power International Development Ltd. | | | 72,629 | |
| | 40,000 | | | China Resources Beer Holdings Co., Ltd. | | | 278,140 | |
| | 54,000 | | | China Resources Cement Holdings Ltd. | | | 33,310 | |
| | 26,000 | | | China Resources Gas Group Ltd. | | | 101,210 | |
See Notes to Financial Statements.
142
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| Hong Kong — 2.1% — (continued) | |
| | 82,000 | | | China Resources Land Ltd. | | $ | 335,499 | |
| | 46,000 | | | China Resources Power Holdings Co., Ltd. | | | 91,477 | |
| | 128,000 | | | China Ruyi Holdings Ltd.* | | | 32,416 | |
| | 56,000 | | | China State Construction International Holdings Ltd. | | | 64,627 | |
| | 35,800 | | | China Taiping Insurance Holdings Co., Ltd. | | | 36,547 | |
| | 72,000 | | | China Traditional Chinese Medicine Holdings Co., Ltd. | | | 31,105 | |
| | 46,000 | | | COSCO SHIPPING Ports Ltd. | | | 29,768 | |
| | 46,000 | | | Far East Horizon Ltd. | | | 34,832 | |
| | 145,000 | | | Geely Automobile Holdings Ltd. | | | 291,397 | |
| | 82,000 | | | Guangdong Investment Ltd. | | | 75,068 | |
| | 16,093 | | | Hopson Development Holdings Ltd. | | | 22,094 | |
| | 2,487 | | | HUTCHMED China Ltd., ADR*(d) | | | 31,983 | |
| | 18,000 | | | Kingboard Holdings Ltd. | | | 56,825 | |
| | 20,500 | | | Kingboard Laminates Holdings Ltd. | | | 19,563 | |
| | 110,000 | | | Kunlun Energy Co., Ltd. | | | 95,787 | |
| | 38,000 | | | Nine Dragons Paper Holdings Ltd. | | | 29,822 | |
| | 3,000 | | | Orient Overseas International Ltd. | | | 83,694 | |
| | 26,000 | | | Shenzhen International Holdings Ltd. | | | 22,419 | |
| | 23,500 | | | Shimao Group Holdings Ltd.(c)(d)(e) | | | 6,737 | |
| | 302,750 | | | Sino Biopharmaceutical Ltd. | | | 158,939 | |
| | 13,000 | | | Vinda International Holdings Ltd. | | | 36,288 | |
| | 35,000 | | | Wharf Holdings Ltd. (The) | | | 131,974 | |
| | 12,800 | | | Yuexiu Property Co., Ltd. | | | 16,047 | |
| | | | | | | | |
| | | | Total Hong Kong | | | 10,095,848 | |
| | | | | | | | |
|
| Hungary — 0.6% | |
| | 54,017 | | | MOL Hungarian Oil & Gas PLC | | | 372,338 | |
| | 126,009 | | | OTP Bank Nyrt | | | 2,675,188 | |
| | 3,854 | | | Richter Gedeon Nyrt | | | 77,640 | |
| | | | | | | | |
| | | | Total Hungary | | | 3,125,166 | |
| | | | | | | | |
|
| India — 14.2% | |
| | 1,964 | | | ACC Ltd. | | | 56,461 | |
| | 6,883 | | | Adani Enterprises Ltd. | | | 273,288 | |
| | 7,928 | | | Adani Green Energy Ltd.* | | | 240,161 | |
| | 12,475 | | | Adani Ports & Special Economic Zone Ltd. | | | 130,193 | |
| | 15,516 | | | Adani Power Ltd.* | | | 79,306 | |
| | 6,720 | | | Adani Total Gas Ltd. | | | 311,852 | |
| | 6,994 | | | Adani Transmission Ltd.* | | | 342,590 | |
| | 17,967 | | | Ambuja Cements Ltd. | | | 92,310 | |
| | 2,536 | | | Apollo Hospitals Enterprise Ltd. | | | 136,492 | |
| | 60,089 | | | Asian Paints Ltd. | | | 2,553,691 | |
| | 2,666 | | | AU Small Finance Bank Ltd.(a) | | | 21,067 | |
| | 8,684 | | | Aurobindo Pharma Ltd. | | | 59,297 | |
| | 4,163 | | | Avenue Supermarts Ltd.*(a) | | | 234,513 | |
| | 152,202 | | | Axis Bank Ltd. | | | 1,417,589 | |
| | 17,728 | | | Bajaj Auto Ltd. | | | 907,932 | |
| | 6,979 | | | Bajaj Finance Ltd. | | | 631,418 | |
| | 905 | | | Bajaj Finserv Ltd. | | | 190,048 | |
| | 2,275 | | | Balkrishna Industries Ltd. | | | 57,947 | |
| | 13,938 | | | Bandhan Bank Ltd.*(a) | | | 48,390 | |
| | 7,050 | | | Berger Paints India Ltd. | | | 59,007 | |
| | 34,819 | | | Bharat Electronics Ltd. | | | 133,207 | |
| | 6,110 | | | Bharat Forge Ltd. | | | 56,261 | |
| | 235,223 | | | Bharat Petroleum Corp., Ltd. | | | 968,975 | |
| | 55,675 | | | Bharti Airtel Ltd. | | | 503,021 | |
| | 14,037 | | | Biocon Ltd. | | | 54,121 | |
See Notes to Financial Statements.
143
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| India — 14.2% — (continued) | |
| | 2,714 | | | Britannia Industries Ltd. | | $ | 126,937 | |
| | 144,823 | | | Cholamandalam Investment & Finance Co., Ltd. | | | 1,425,459 | |
| | 12,999 | | | Cipla Ltd. | | | 167,279 | |
| | 38,514 | | | Coal India Ltd. | | | 111,867 | |
| | 3,227 | | | Colgate-Palmolive India Ltd. | | | 67,570 | |
| | 6,095 | | | Container Corp. Of India Ltd. | | | 52,742 | |
| | 17,377 | | | Dabur India Ltd. | | | 126,852 | |
| | 115,247 | | | Delhivery Ltd., (Restricted, cost – $721,373, acquired 5/20/22)*(f) | | | 814,655 | |
| | 3,205 | | | Divi’s Laboratories Ltd. | | | 144,386 | |
| | 17,785 | | | DLF Ltd. | | | 86,558 | |
| | 2,884 | | | Dr Reddy’s Laboratories Ltd. | | | 152,241 | |
| | 3,578 | | | Eicher Motors Ltd. | | | 149,553 | |
| | 45,491 | | | GAIL India Ltd. | | | 76,940 | |
| | 9,051 | | | Godrej Consumer Products Ltd.* | | | 104,223 | |
| | 3,584 | | | Godrej Properties Ltd.* | | | 62,691 | |
| | 6,440 | | | Grasim Industries Ltd. | | | 134,203 | |
| | 6,619 | | | Havells India Ltd. | | | 113,996 | |
| | 27,930 | | | HCL Technologies Ltd. | | | 324,689 | |
| | 117,780 | | | HDFC Bank Ltd. | | | 2,172,512 | |
| | 88,377 | | | HDFC Bank Ltd., ADR | | | 5,395,416 | |
| | 24,078 | | | HDFC Life Insurance Co., Ltd.(a) | | | 172,319 | |
| | 2,816 | | | Hero MotoCorp Ltd. | | | 99,612 | |
| | 34,365 | | | Hindalco Industries Ltd. | | | 185,474 | |
| | 18,466 | | | Hindustan Petroleum Corp., Ltd. | | | 55,918 | |
| | 21,021 | | | Hindustan Unilever Ltd. | | | 694,975 | |
| | 43,919 | | | Housing Development Finance Corp., Ltd. | | | 1,332,488 | |
| | 131,323 | | | ICICI Bank Ltd. | | | 1,446,027 | |
| | 258,381 | | | ICICI Bank Ltd., ADR | | | 5,643,041 | |
| | 4,599 | | | ICICI Lombard General Insurance Co., Ltd.(a) | | | 74,102 | |
| | 6,447 | | | ICICI Prudential Life Insurance Co., Ltd.(a) | | | 47,655 | |
| | 74,260 | | | Indian Oil Corp., Ltd. | | | 66,399 | |
| | 4,984 | | | Indian Railway Catering & Tourism Corp., Ltd. | | | 43,617 | |
| | 5,863 | | | Indraprastha Gas Ltd. | | | 30,648 | |
| | 520,100 | | | Indus Towers Ltd. | | | 1,296,519 | |
| | 2,093 | | | Info Edge India Ltd. | | | 112,245 | |
| | 85,864 | | | Infosys Ltd. | | | 1,581,526 | |
| | 2,555 | | | InterGlobe Aviation Ltd.*(a) | | | 64,099 | |
| | 76,832 | | | ITC Ltd. | | | 307,456 | |
| | 7,302 | | | Jindal Steel & Power Ltd. | | | 39,063 | |
| | 20,967 | | | JSW Steel Ltd. | | | 173,474 | |
| | 10,215 | | | Jubilant Foodworks Ltd. | | | 77,561 | |
| | 123,739 | | | Kotak Mahindra Bank Ltd. | | | 2,925,201 | |
| | 1,417 | | | Larsen & Toubro Infotech Ltd.(a) | | | 81,051 | |
| | 18,008 | | | Larsen & Toubro Ltd. | | | 428,839 | |
| | 5,715 | | | Lupin Ltd. | | | 47,737 | |
| | 22,413 | | | Mahindra & Mahindra Ltd. | | | 364,371 | |
| | 12,963 | | | Marico Ltd. | | | 84,550 | |
| | 22,126 | | | Maruti Suzuki India Ltd. | | | 2,505,335 | |
| | 1,803 | | | Mindtree Ltd. | | | 74,008 | |
| | 2,290 | | | Mphasis Ltd. | | | 60,153 | |
| | 50 | | | MRF Ltd. | | | 53,118 | |
| | 3,147 | | | Muthoot Finance Ltd. | | | 41,413 | |
| | 878 | | | Nestle India Ltd. | | | 218,235 | |
| | 99,169 | | | NTPC Ltd. | | | 203,084 | |
| | 55,740 | | | Oberoi Realty Ltd. | | | 697,258 | |
| | 63,200 | | | Oil & Natural Gas Corp., Ltd. | | | 108,795 | |
See Notes to Financial Statements.
144
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| India — 14.2% — (continued) | |
| | 152 | | | Page Industries Ltd. | | $ | 96,896 | |
| | 367,092 | | | Petronet LNG Ltd. | | | 1,008,693 | |
| | 57,000 | | | Phoenix Mills Ltd. (The) | | | 998,201 | |
| | 2,406 | | | PI Industries Ltd. | | | 103,141 | |
| | 3,794 | | | Pidilite Industries Ltd. | | | 128,940 | |
| | 14,192 | | | Piramal Pharma Ltd.*(c)(e) | | | 38,891 | |
| | 76,988 | | | Power Grid Corp. of India Ltd. | | | 220,207 | |
| | 353,825 | | | Reliance Industries Ltd. | | | 11,566,528 | |
| | 62,000 | | | ReNew Energy Global PLC, Class A Shares* | | | 420,360 | |
| | 36,608 | | | Samvardhana Motherson International Ltd. | | | 55,921 | |
| | 5,631 | | | SBI Cards & Payment Services Ltd. | | | 64,588 | |
| | 11,707 | | | SBI Life Insurance Co., Ltd.(a) | | | 192,950 | |
| | 257 | | | Shree Cement Ltd. | | | 70,893 | |
| | 5,206 | | | Shriram Transport Finance Co., Ltd. | | | 87,230 | |
| | 2,065 | | | Siemens Ltd. | | | 74,310 | |
| | 3,876 | | | SRF Ltd. | | | 121,959 | |
| | 45,738 | | | State Bank of India | | | 301,986 | |
| | 22,213 | | | Sun Pharmaceutical Industries Ltd. | | | 248,476 | |
| | 23,572 | | | Tata Consultancy Services Ltd. | | | 939,355 | |
| | 15,654 | | | Tata Consumer Products Ltd. | | | 158,736 | |
| | 865 | | | Tata Elxsi Ltd. | | | 96,514 | |
| | 43,335 | | | Tata Motors Ltd.* | | | 252,569 | |
| | 38,627 | | | Tata Power Co., Ltd. (The) | | | 113,553 | |
| | 184,710 | | | Tata Steel Ltd. | | | 247,451 | |
| | 15,635 | | | Tech Mahindra Ltd. | | | 208,398 | |
| | 123,145 | | | Titan Co., Ltd. | | | 3,981,691 | |
| | 3,014 | | | Torrent Pharmaceuticals Ltd. | | | 58,060 | |
| | 4,476 | | | Trent Ltd. | | | 78,344 | |
| | 20,209 | | | UltraTech Cement Ltd. | | | 1,681,954 | |
| | 7,945 | | | United Spirits Ltd.* | | | 80,476 | |
| | 145,067 | | | UPL Ltd. | | | 1,385,673 | |
| | 18,794 | | | Vedanta Ltd. | | | 62,524 | |
| | 34,605 | | | Wipro Ltd. | | | 177,245 | |
| | 241,179 | | | Yes Bank Ltd.*(e) | | | 49,208 | |
| | 53,686 | | | Zomato Ltd.* | | | 38,415 | |
| | | | | | | | |
| | | | Total India | | | 68,217,608 | |
| | | | | | | | |
|
| Indonesia — 2.9% | |
| | 402,400 | | | Adaro Energy Indonesia Tbk PT | | | 96,384 | |
| | 231,400 | | | Adaro Minerals Indonesia Tbk PT* | | | 26,739 | |
| | 197,700 | | | Aneka Tambang Tbk | | | 26,389 | |
| | 2,525,300 | | | Astra International Tbk PT | | | 1,182,110 | |
| | 6,320,000 | | | Bank BTPN Syariah Tbk PT | | | 1,259,443 | |
| | 1,425,500 | | | Bank Central Asia Tbk PT | | | 784,803 | |
| | 101,000 | | | Bank Jago Tbk PT* | | | 57,160 | |
| | 3,009,224 | | | Bank Mandiri Persero Tbk PT | | | 1,785,637 | |
| | 200,200 | | | Bank Negara Indonesia Persero Tbk PT | | | 114,524 | |
| | 12,733,724 | | | Bank Rakyat Indonesia Persero Tbk PT | | | 3,708,366 | |
| | 810,800 | | | Barito Pacific Tbk PT | | | 44,738 | |
| | 174,600 | | | Charoen Pokphand Indonesia Tbk PT | | | 69,106 | |
| | 14,300 | | | Gudang Garam Tbk PT | | | 22,844 | |
| | 86,100 | | | Indah Kiat Pulp & Paper Tbk PT | | | 48,196 | |
| | 69,500 | | | Indofood CBP Sukses Makmur Tbk PT | | | 38,836 | |
| | 143,200 | | | Indofood Sukses Makmur Tbk PT | | | 59,974 | |
| | 492,600 | | | Kalbe Farma Tbk PT | | | 55,634 | |
| | 326,849 | | | Merdeka Copper Gold Tbk PT* | | | 94,165 | |
See Notes to Financial Statements.
145
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| Indonesia — 2.9% — (continued) | |
| | 505,900 | | | Sarana Menara Nusantara Tbk PT | | $ | 42,190 | |
| | 69,600 | | | Semen Indonesia Persero Tbk PT | | | 30,870 | |
| | 459,700 | | | Sumber Alfaria Trijaya Tbk PT | | | 67,401 | |
| | 7,499,087 | | | Telkom Indonesia Persero Tbk PT | | | 2,297,022 | |
| | 37,266 | | | Telkom Indonesia Persero Tbk PT, ADR | | | 1,120,589 | |
| | 62,200 | | | Tower Bersama Infrastructure Tbk PT | | | 11,796 | |
| | 188,500 | | | Unilever Indonesia Tbk PT | | | 58,240 | |
| | 344,300 | | | United Tractors Tbk PT | | | 782,765 | |
| | 75,800 | | | Vale Indonesia Tbk PT* | | | 30,986 | |
| | | | | | | | |
| | | | Total Indonesia | | | 13,916,907 | |
| | | | | | | | |
|
| Kazakhstan — 0.3% | |
| | 24,070 | | | Kaspi.KZ JSC, GDR | | | 1,449,482 | |
| | 840 | | | Kaspi.KZ JSC, GDR(a)(c) | | | 50,652 | |
| | | | | | | | |
| | | | Total Kazakhstan | | | 1,500,134 | |
| | | | | | | | |
|
| Kuwait — 0.4% | |
| | 41,935 | | | Agility Public Warehousing Co., KSC | | | 114,254 | |
| | 30,927 | | | Boubyan Bank KSCP | | | 83,770 | |
| | 18,688 | | | Gulf Bank KSCP | | | 21,195 | |
| | 44,000 | | | Humansoft Holding Co. KSC | | | 494,247 | |
| | 125,100 | | | Kuwait Finance House KSCP | | | 364,912 | |
| | 13,177 | | | Mabanee Co., KPSC | | | 35,387 | |
| | 58,759 | | | Mobile Telecommunications Co., KSCP | | | 115,236 | |
| | 183,071 | | | National Bank of Kuwait SAKP | | | 625,655 | |
| | | | | | | | |
| | | | Total Kuwait | | | 1,854,656 | |
| | | | | | | | |
|
| Luxembourg — 0.1% | |
| | 3,985 | | | Reinet Investments SCA | | | 64,949 | |
| | 17,145 | | | Ternium SA, ADR | | | 528,238 | |
| | | | | | | | |
| | | | Total Luxembourg | | | 593,187 | |
| | | | | | | | |
|
| Malaysia — 0.5% | |
| | 46,100 | | | AMMB Holdings Bhd | | | 42,902 | |
| | 59,300 | | | Axiata Group Bhd | | | 40,165 | |
| | 174,207 | | | CIMB Group Holdings Bhd | | | 208,309 | |
| | 120,100 | | | Dialog Group Bhd | | | 64,959 | |
| | 84,300 | | | DiGi.Com Bhd | | | 70,611 | |
| | 65,800 | | | Genting Bhd | | | 68,690 | |
| | 80,300 | | | Genting Malaysia Bhd | | | 53,404 | |
| | 20,100 | | | HAP Seng Consolidated Bhd | | | 31,185 | |
| | 39,400 | | | Hartalega Holdings Bhd | | | 14,592 | |
| | 15,800 | | | Hong Leong Bank Bhd | | | 73,680 | |
| | 2,900 | | | Hong Leong Financial Group Bhd | | | 12,546 | |
| | 36,300 | | | IHH Healthcare Bhd | | | 50,182 | |
| | 77,400 | | | Inari Amertron Bhd | | | 46,102 | |
| | 56,900 | | | IOI Corp. Bhd | | | 53,587 | |
| | 11,700 | | | Kuala Lumpur Kepong Bhd | | | 60,269 | |
| | 121,509 | | | Malayan Banking Bhd | | | 243,310 | |
| | 25,900 | | | Malaysia Airports Holdings Bhd* | | | 33,815 | |
| | 57,900 | | | Maxis Bhd | | | 49,700 | |
| | 34,300 | | | MISC Bhd | | | 54,400 | |
| | 45,300 | | | MR DIY Group M Bhd(a) | | | 21,819 | |
| | 1,600 | | | Nestle Malaysia Bhd | | | 47,417 | |
| | 59,300 | | | Petronas Chemicals Group Bhd | | | 115,708 | |
| | 8,600 | | | Petronas Dagangan Bhd | | | 45,019 | |
| | 18,400 | | | Petronas Gas Bhd | | | 71,038 | |
See Notes to Financial Statements.
146
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| Malaysia — 0.5% — (continued) | |
| | 12,800 | | | PPB Group Bhd | | $ | 50,376 | |
| | 75,000 | | | Press Metal Aluminium Holdings Bhd | | | 79,344 | |
| | 372,400 | | | Public Bank Bhd | | | 391,527 | |
| | 31,500 | | | QL Resources Bhd | | | 35,851 | |
| | 54,100 | | | RHB Bank Bhd | | | 69,131 | |
| | 77,200 | | | Sime Darby Bhd | | | 39,325 | |
| | 56,800 | | | Sime Darby Plantation Bhd | | | 56,432 | |
| | 31,400 | | | Telekom Malaysia Bhd | | | 41,767 | |
| | 67,600 | | | Tenaga Nasional Bhd | | | 135,852 | |
| | 123,200 | | | Top Glove Corp. Bhd | | | 21,986 | |
| | | | | | | | |
| | | | Total Malaysia | | | 2,495,000 | |
| | | | | | | | |
|
| Mexico — 2.7% | |
| | 70,338 | | | Alfa SAB de CV, Class A Shares | | | 44,447 | |
| | 42,391 | | | America Movil SAB de CV, Class L Shares, ADR | | | 720,647 | |
| | 706,389 | | | America Movil SAB de CV, Series L | | | 601,352 | |
| | 11,362 | | | Arca Continental SAB de CV | | | 76,907 | |
| | 12,281 | | | Coca-Cola Femsa SAB de CV | | | 74,976 | |
| | 76,190 | | | Fibra Uno Administracion SA de CV, REIT | | | 79,422 | |
| | 51,233 | | | Fomento Economico Mexicano SAB de CV | | | 320,690 | |
| | 5,527 | | | Gruma SAB de CV, Class B Shares | | | 60,426 | |
| | 9,937 | | | Grupo Aeroportuario del Pacifico SAB de CV, Class B Shares | | | 142,020 | |
| | 5,854 | | | Grupo Aeroportuario del Sureste SAB de CV, Class B Shares | | | 123,324 | |
| | 41,220 | | | Grupo Bimbo SAB de CV, Series A | | | 138,870 | |
| | 12,114 | | | Grupo Carso SAB de CV, Series A1 | | | 41,582 | |
| | 420,017 | | | Grupo Financiero Banorte SAB de CV, Class O Shares | | | 2,481,045 | |
| | 60,920 | | | Grupo Financiero Inbursa SAB de CV, Class O Shares* | | | 95,437 | |
| | 284,668 | | | Grupo México SAB de CV, Series B | | | 1,072,510 | |
| | 65,431 | | | Grupo Televisa SAB | | | 82,237 | |
| | 4,431 | | | Industrias Peñoles SAB de CV | | | 36,637 | |
| | 662,165 | | | Kimberly-Clark de México SAB de CV, Class A Shares | | | 898,968 | |
| | 29,228 | | | Operadora de Sites Mexicanos SAB de CV, Class 1 Shares | | | 29,089 | |
| | 573,157 | | | Orbia Advance Corp. SAB de CV | | | 1,081,130 | |
| | 3,707 | | | Promotora y Operadora de Infraestructura SAB de CV | | | 26,084 | |
| | 125,681 | | | Qualitas Controladora SAB de CV | | | 550,561 | |
| | 284,100 | | | Regional SAB de CV | | | 1,536,030 | |
| | 758,414 | | | Wal-Mart de Mexico SAB de CV | | | 2,485,437 | |
| | | | | | | | |
| | | | Total Mexico | | | 12,799,828 | |
| | | | | | | | |
|
| Netherlands — 0.7% | |
| | 55,168 | | | Prosus NV* | | | 3,414,175 | |
| | | | | | | | |
|
| Peru — 0.5% | |
| | 7,021 | | | Cia de Minas Buenaventura SAA, ADR | | | 37,352 | |
| | 18,637 | | | Credicorp Ltd. | | | 2,402,123 | |
| | 2,223 | | | Southern Copper Corp. | | | 104,636 | |
| | | | | | | | |
| | | | Total Peru | | | 2,544,111 | |
| | | | | | | | |
|
| Philippines — 1.0% | |
| | 43,280 | | | Aboitiz Equity Ventures Inc. | | | 43,125 | |
| | 175,590 | | | ACEN Corp. | | | 23,325 | |
| | 7,030 | | | Ayala Corp. | | | 87,532 | |
| | 199,760 | | | Ayala Land Inc. | | | 101,248 | |
| | 47,558 | | | Bank of the Philippine Islands | | | 80,223 | |
| | 55,344 | | | BDO Unibank Inc. | | | 126,528 | |
| | 4,366,900 | | | Bloomberry Resorts Corp.* | | | 549,984 | |
| | 54,600 | | | Converge Information & Communications Technology Solutions Inc.* | | | 16,804 | |
See Notes to Financial Statements.
147
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| Philippines — 1.0% — (continued) | |
| | 620 | | | Globe Telecom Inc. | | $ | 23,065 | |
| | 2,800 | | | GT Capital Holdings Inc. | | | 23,988 | |
| | 681,360 | | | International Container Terminal Services Inc. | | | 2,189,516 | |
| | 67,856 | | | JG Summit Holdings Inc. | | | 61,695 | |
| | 9,470 | | | Jollibee Foods Corp. | | | 40,353 | |
| | 6,170 | | | Manila Electric Co. | | | 33,010 | |
| | 109,500 | | | Metro Pacific Investments Corp. | | | 7,261 | |
| | 54,636 | | | Metropolitan Bank & Trust Co. | | | 50,993 | |
| | 146,800 | | | Monde Nissin Corp.*(a) | | | 42,959 | |
| | 2,195 | | | PLDT Inc. | | | 65,510 | |
| | 739,970 | | | Robinsons Retail Holdings Inc. | | | 789,793 | |
| | 5,930 | | | SM Investments Corp. | | | 87,374 | |
| | 251,800 | | | SM Prime Holdings Inc. | | | 169,087 | |
| | 22,540 | | | Universal Robina Corp. | | | 48,868 | |
| | | | | | | | |
| | | | Total Philippines | | | 4,662,241 | |
| | | | | | | | |
|
| Poland — 0.3% | |
| | 9,581 | | | Allegro.eu SA*(a)(d) | | | 50,343 | |
| | 4,852 | | | Bank Polska Kasa Opieki SA | | | 66,848 | |
| | 1,614 | | | CD Projekt SA | | | 28,733 | |
| | 6,856 | | | Cyfrowy Polsat SA | | | 28,164 | |
| | 1,155 | | | Dino Polska SA*(a) | | | 84,238 | |
| | 90,600 | | | InPost SA* | | | 466,551 | |
| | 3,754 | | | KGHM Polska Miedz SA | | | 70,101 | |
| | 30 | | | LPP SA | | | 54,047 | |
| | 545 | | | mBank SA* | | | 24,973 | |
| | 9,733 | | | Orange Polska SA | | | 12,354 | |
| | 25,504 | | | PGE Polska Grupa Energetyczna SA* | | | 38,828 | |
| | 9,896 | | | Polski Koncern Naftowy ORLEN SA | | | 128,049 | |
| | 38,865 | | | Polskie Gornictwo Naftowe i Gazownictwo SA* | | | 45,978 | |
| | 23,686 | | | Powszechna Kasa Oszczednosci Bank Polski SA | | | 118,117 | |
| | 13,963 | | | Powszechny Zaklad Ubezpieczen SA | | | 83,331 | |
| | 938 | | | Santander Bank Polska SA | | | 42,496 | |
| | | | | | | | |
| | | | Total Poland | | | 1,343,151 | |
| | | | | | | | |
|
| Portugal — 0.5% | |
| | 206,219 | | | Galp Energia SGPS SA | | | 2,229,802 | |
| | | | | | | | |
|
| Qatar — 0.4% | |
| | 58,133 | | | Barwa Real Estate Co. | | | 58,155 | |
| | 82,701 | | | Commercial Bank PSQC (The) | | | 164,568 | |
| | 37,218 | | | Industries Qatar QSC | | | 183,333 | |
| | 123,115 | | | Masraf Al Rayan QSC | | | 151,125 | |
| | 113,710 | | | Mesaieed Petrochemical Holding Co. | | | 80,403 | |
| | 26,290 | | | Ooredoo QPSC | | | 64,856 | |
| | 12,424 | | | Qatar Electricity & Water Co. QSC | | | 63,895 | |
| | 10,432 | | | Qatar Fuel QSC | | | 53,847 | |
| | 72,697 | | | Qatar Gas Transport Co., Ltd. | | | 78,996 | |
| | 16,205 | | | Qatar International Islamic Bank QSC | | | 52,393 | |
| | 41,921 | | | Qatar Islamic Bank SAQ | | | 291,754 | |
| | 113,178 | | | Qatar National Bank QPSC | | | 633,625 | |
| | | | | | | | |
| | | | Total Qatar | | | 1,876,950 | |
| | | | | | | | |
|
| Romania — 0.0% | |
| | 12,894 | | | NEPI Rockcastle SA | | | 68,538 | |
| | | | | | | | |
|
| Russia — 0.0% | |
| | 64,081 | | | Alrosa PJSC#(e) | | | 641 | |
See Notes to Financial Statements.
148
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| Russia — 0.0% — (continued) | |
| | 502,100 | | | Detsky Mir PJSC#(e) | | $ | 5,021 | |
| | 179,000 | | | Fix Price Group Ltd., GDR(c)(e) | | | 1,790 | |
| | 21,428 | | | Gazprom PJSC*(c)(e) | | | 4 | |
| | 267,363 | | | Gazprom PJSC*#(e) | | | 2,674 | |
| | 885,983 | | | Inter RAO UES PJSC#(e) | | | 8,860 | |
| | 10,171 | | | Lukoil PJSC#(e) | | | 102 | |
| | 1,730 | | | Magnit PJSC(e) | | | 17 | |
| | 1 | | | Magnit PJSC, Class Registered Shares, GDR(c)(e) | | | — | |
| | 1,550 | | | MMC Norilsk Nickel PJSC#(e) | | | 15 | |
| | 24,130 | | | Mobile TeleSystems PJSC#(e) | | | 241 | |
| | 135,663 | | | Mobile TeleSystems PJSC, ADR# | | | 1,357 | |
| | 39,065 | | | Moscow Exchange MICEX-RTS PJSC*#(e) | | | 391 | |
| | 22,130 | | | Novatek PJSC#(e) | | | 221 | |
| | 38,007 | | | Novolipetsk Steel PJSC#(e) | | | 375 | |
| | 1,593 | | | Ozon Holdings PLC, ADR*(c)(e) | | | — | |
| | 921 | | | PhosAgro PJSC#(e) | | | 9 | |
| | 2 | | | PhosAgro PJSC, Class Registered Shares, GDR#(e) | | | — | |
| | 17 | | | PhosAgro PJSC, Class Registered Shares, GDR*#(e) | | | — | |
| | 869 | | | Polyus PJSC#(e) | | | 9 | |
| | 28,885 | | | Rosneft Oil Co. PJSC#(e) | | | 289 | |
| | 891,342 | | | Sberbank of Russia PJSC, (Restricted, cost – $1,699,436, acquired 8/10/15)*#(e)(f) | | | 8,913 | |
| | 5,523 | | | Severstal PAO#(e) | | | 55 | |
| | 157,330 | | | Surgutneftegas PJSC#(e) | | | 1,573 | |
| | 37,602 | | | Tatneft PJSC#(e) | | | 327 | |
| | 88,972 | | | United Co. RUSAL International PJSC*(c)(e) | | | 15 | |
| | 2,330 | | | VK Co., Ltd., GDR*(c)(e) | | | — | |
| | 60,086,472 | | | VTB Bank PJSC*#(e) | | | 9,854 | |
| | 3,377 | | | X5 Retail Group NV, Class Registered Shares, GDR(e) | | | 1 | |
| | 25,093 | | | Yandex NV, Class A Shares*(c)(e) | | | 177 | |
| | | | | | | | |
| | | | Total Russia | | | 42,931 | |
| | | | | | | | |
|
| Saudi Arabia — 2.2% | |
| | 1,780 | | | ACWA Power Co. | | | 82,765 | |
| | 3,528 | | | Advanced Petrochemical Co. | | | 46,905 | |
| | 180,289 | | | Al Rajhi Bank* | | | 4,321,142 | |
| | 25,043 | | | Alinma Bank | | | 252,200 | |
| | 6,060 | | | Almarai Co. JSC | | | 85,317 | |
| | 14,805 | | | Arab National Bank | | | 118,107 | |
| | 12,498 | | | Bank AlBilad* | | | 167,897 | |
| | 12,023 | | | Bank Al-Jazira | | | 75,074 | |
| | 14,887 | | | Banque Saudi Fransi | | | 196,649 | |
| | 1,523 | | | Bupa Arabia for Cooperative Insurance Co. | | | 66,545 | |
| | 14,545 | | | Dar Al Arkan Real Estate Development Co.* | | | 54,704 | |
| | 1,919 | | | Dr Sulaiman Al Habib Medical Services Group Co. | | | 101,965 | |
| | 617 | | | Elm Co. | | | 56,358 | |
| | 11,631 | | | Emaar Economic City* | | | 31,190 | |
| | 10,578 | | | Etihad Etisalat Co. | | | 103,027 | |
| | 1,138 | | | Jarir Marketing Co. | | | 52,036 | |
| | 12,541 | | | Mobile Telecommunications Co.* | | | 38,532 | |
| | 1,161 | | | Mouwasat Medical Services Co. | | | 74,584 | |
| | 9,889 | | | National Industrialization Co.* | | | 41,813 | |
| | 12,524 | | | Rabigh Refining & Petrochemical Co.* | | | 57,545 | |
| | 35,268 | | | Riyad Bank | | | 332,335 | |
| | 5,451 | | | SABIC Agri-Nutrients Co. | | | 251,899 | |
| | 8,982 | | | Sahara International Petrochemical Co. | | | 113,886 | |
| | 23,531 | | | Saudi Arabian Mining Co.* | | | 465,074 | |
See Notes to Financial Statements.
149
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| Saudi Arabia — 2.2% — (continued) | |
| | 61,586 | | | Saudi Arabian Oil Co.(a) | | $ | 613,860 | |
| | 22,751 | | | Saudi Basic Industries Corp. | | | 605,834 | |
| | 21,801 | | | Saudi British Bank (The) | | | 231,141 | |
| | 22,768 | | | Saudi Electricity Co. | | | 152,741 | |
| | 12,132 | | | Saudi Industrial Investment Group | | | 82,543 | |
| | 9,322 | | | Saudi Investment Bank (The) | | | 49,559 | |
| | 15,381 | | | Saudi Kayan Petrochemical Co.* | | | 60,003 | |
| | 56,213 | | | Saudi National Bank (The) | | | 1,042,640 | |
| | 874 | | | Saudi Research & Media Group* | | | 48,996 | |
| | 755 | | | Saudi Tadawul Group Holding Co. | | | 45,647 | |
| | 38,720 | | | Saudi Telecom Co. | | | 431,044 | |
| | 5,902 | | | Savola Group (The) | | | 51,205 | |
| | 6,510 | | | Yanbu National Petrochemical Co. | | | 86,637 | |
| | | | | | | | |
| | | | Total Saudi Arabia | | | 10,689,399 | |
| | | | | | | | |
|
| Singapore — 0.2% | |
| | 6,800 | | | BOC Aviation Ltd.(a) | | | 54,478 | |
| | 1,271 | | | JOYY Inc., ADR(d) | | | 38,537 | |
| | 10,801 | | | Sea Ltd., ADR* | | | 669,662 | |
| | | | | | | | |
| | | | Total Singapore | | | 762,677 | |
| | | | | | | | |
|
| South Africa — 2.5% | |
| | 18,445 | | | Absa Group Ltd. | | | 191,006 | |
| | 3,655 | | | African Rainbow Minerals Ltd. | | | 50,273 | |
| | 1,405 | | | Anglo American Platinum Ltd. | | | 98,015 | |
| | 10,772 | | | AngloGold Ashanti Ltd. | | | 144,533 | |
| | 9,447 | | | Aspen Pharmacare Holdings Ltd. | | | 81,071 | |
| | 8,357 | | | Bid Corp., Ltd. | | | 157,200 | |
| | 67,464 | | | Bidvest Group Ltd. (The) | | | 846,692 | |
| | 2,280 | | | Capitec Bank Holdings Ltd. | | | 270,346 | |
| | 6,815 | | | Clicks Group Ltd. | | | 118,434 | |
| | 12,452 | | | Discovery Ltd.* | | | 89,158 | |
| | 7,017 | | | Exxaro Resources Ltd. | | | 89,282 | |
| | 124,887 | | | FirstRand Ltd. | | | 466,295 | |
| | 8,762 | | | Foschini Group Ltd. (The) | | | 64,871 | |
| | 22,560 | | | Gold Fields Ltd. | | | 181,338 | |
| | 79,517 | | | Growthpoint Properties Ltd., REIT | | | 59,164 | |
| | 12,491 | | | Harmony Gold Mining Co., Ltd. | | | 31,186 | |
| | 21,102 | | | Impala Platinum Holdings Ltd. | | | 221,136 | |
| | 2,089 | | | Kumba Iron Ore Ltd. | | | 46,249 | |
| | 694,473 | | | Life Healthcare Group Holdings Ltd. | | | 812,862 | |
| | 5,962 | | | Mr Price Group Ltd. | | | 64,360 | |
| | 43,515 | | | MTN Group Ltd. | | | 315,079 | |
| | 10,235 | | | MultiChoice Group | | | 69,216 | |
| | 5,633 | | | Naspers Ltd., Class N Shares | | | 795,604 | |
| | 147,782 | | | Nedbank Group Ltd.(d) | | | 1,747,510 | |
| | 8,806 | | | Northam Platinum Holdings Ltd.* | | | 82,769 | |
| | 135,269 | | | Old Mutual Ltd. | | | 80,077 | |
| | 39,875 | | | Pepkor Holdings Ltd.(a) | | | 46,798 | |
| | 13,978 | | | Remgro Ltd. | | | 103,951 | |
| | 309,635 | | | Sanlam Ltd. | | | 960,805 | |
| | 13,934 | | | Sasol Ltd.* | | | 269,022 | |
| | 12,453 | | | Shoprite Holdings Ltd. | | | 169,079 | |
| | 72,515 | | | Sibanye Stillwater Ltd. | | | 162,040 | |
| | 5,542 | | | SPAR Group Ltd. (The) | | | 50,620 | |
| | 139,173 | | | Standard Bank Group Ltd. | | | 1,240,735 | |
| | 350,173 | | | Transaction Capital Ltd. | | | 767,101 | |
See Notes to Financial Statements.
150
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| South Africa — 2.5% — (continued) | |
| | 121,996 | | | Vodacom Group Ltd. | | $ | 896,650 | |
| | 26,667 | | | Woolworths Holdings Ltd. | | | 87,171 | |
| | | | | | | | |
| | | | Total South Africa | | | 11,927,698 | |
| | | | | | | | |
|
| South Korea — 11.6% | |
| | 804 | | | Alteogen Inc.* | | | 37,738 | |
| | 875 | | | Amorepacific Corp. | | | 79,625 | |
| | 638 | | | AMOREPACIFIC Group | | | 16,485 | |
| | 233 | | | BGF retail Co., Ltd. | | | 27,822 | |
| | 2,208 | | | Celltrion Healthcare Co., Ltd.(d) | | | 117,679 | |
| | 2,585 | | | Celltrion Inc. | | | 362,854 | |
| | 425 | | | Celltrion Pharm Inc.* | | | 24,608 | |
| | 1,194 | | | Cheil Worldwide Inc. | | | 19,386 | |
| | 241 | | | CJ CheilJedang Corp. | | | 72,867 | |
| | 570 | | | CJ Corp. | | | 33,092 | |
| | 365 | | | CJ ENM Co., Ltd. | | | 26,473 | |
| | 135 | | | CJ Logistics Corp.* | | | 11,879 | |
| | 22,200 | | | Coway Co., Ltd. | | | 1,051,020 | |
| | 1,439 | | | DB Insurance Co., Ltd. | | | 63,881 | |
| | 1,233 | | | Doosan Bobcat Inc. | | | 31,632 | |
| | 9,491 | | | Doosan Enerbility Co., Ltd.* | | | 142,620 | |
| | 16,460 | | | Doosan Fuel Cell Co., Ltd.* | | | 464,945 | |
| | 1,216 | | | Ecopro BM Co., Ltd. | | | 100,454 | |
| | 446 | | | E-MART Inc. | | | 32,306 | |
| | 515 | | | F&F Co., Ltd. | | | 54,179 | |
| | 127 | | | Green Cross Corp. | | | 15,439 | |
| | 1,878 | | | GS Engineering & Construction Corp. | | | 41,826 | |
| | 1,234 | | | GS Holdings Corp. | | | 42,137 | |
| | 7,759 | | | Hana Financial Group Inc. | | | 226,117 | |
| | 1,886 | | | Hankook Tire & Technology Co., Ltd. | | | 53,144 | |
| | 219 | | | Hanmi Pharm Co., Ltd. | | | 50,015 | |
| | 6,259 | | | Hanon Systems | | | 47,697 | |
| | 3,192 | | | Hanwha Solutions Corp.* | | | 124,125 | |
| | 1,100 | | | HD Hyundai Co., Ltd. | | | 51,505 | |
| | 2,792 | | | HLB Inc.* | | | 101,818 | |
| | 6,717 | | | HMM Co., Ltd.(d) | | | 110,380 | |
| | 672 | | | Hotel Shilla Co., Ltd. | | | 36,690 | |
| | 391 | | | HYBE Co., Ltd.* | | | 52,180 | |
| | 1,889 | | | Hyundai Engineering & Construction Co., Ltd. | | | 67,319 | |
| | 434 | | | Hyundai Glovis Co., Ltd. | | | 56,659 | |
| | 470 | | | Hyundai Heavy Industries Co., Ltd.* | | | 49,844 | |
| | 7,521 | | | Hyundai Mobis Co., Ltd. | | | 1,195,767 | |
| | 3,669 | | | Hyundai Motor Co. | | | 531,360 | |
| | 1,832 | | | Hyundai Steel Co. | | | 44,565 | |
| | 481 | | | Iljin Materials Co., Ltd. | | | 26,352 | |
| | 7,644 | | | Industrial Bank of Korea | | | 54,262 | |
| | 7,988 | | | Kakao Corp. | | | 432,193 | |
| | 629 | | | Kakao Games Corp.* | | | 24,468 | |
| | 3,089 | | | KakaoBank Corp.* | | | 62,289 | |
| | 2,405 | | | Kangwon Land Inc.* | | | 47,311 | |
| | 51,312 | | | KB Financial Group Inc. | | | 1,875,790 | |
| | 20,515 | | | Kia Corp. | | | 1,225,775 | |
| | 1,943 | | | Korea Aerospace Industries Ltd. | | | 87,873 | |
| | 6,655 | | | Korea Electric Power Corp. | | | 103,440 | |
| | 955 | | | Korea Investment Holdings Co., Ltd. | | | 40,192 | |
| | 890 | | | Korea Shipbuilding & Offshore Engineering Co., Ltd.* | | | 64,055 | |
See Notes to Financial Statements.
151
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| South Korea — 11.6% — (continued) | |
| | 250 | | | Korea Zinc Co., Ltd. | | $ | 124,800 | |
| | 4,494 | | | Korean Air Lines Co., Ltd.* | | | 89,274 | |
| | 573 | | | Krafton Inc.* | | | 104,310 | |
| | 28,737 | | | KT Corp. | | | 793,805 | |
| | 14,203 | | | KT&G Corp. | | | 879,620 | |
| | 408 | | | Kumho Petrochemical Co., Ltd. | | | 39,292 | |
| | 621 | | | L&F Co., Ltd. | | | 105,571 | |
| | 11,908 | | | LG Chem Ltd. | | | 5,552,294 | |
| | 2,245 | | | LG Corp. | | | 136,779 | |
| | 5,730 | | | LG Display Co., Ltd. | | | 66,146 | |
| | 2,765 | | | LG Electronics Inc. | | | 206,206 | |
| | 1,738 | | | LG Energy Solution Ltd.* | | | 594,846 | |
| | 1,505 | | | LG H&H Co., Ltd. | | | 791,150 | |
| | 336 | | | LG Innotek Co., Ltd. | | | 85,547 | |
| | 4,603 | | | LG Uplus Corp. | | | 39,290 | |
| | 449 | | | Lotte Chemical Corp. | | | 58,139 | |
| | 312 | | | Lotte Shopping Co., Ltd. | | | 22,822 | |
| | 879 | | | Meritz Financial Group Inc. | | | 20,083 | |
| | 1,025 | | | Meritz Fire & Marine Insurance Co., Ltd.* | | | 29,157 | |
| | 8,936 | | | Meritz Securities Co., Ltd. | | | 32,171 | |
| | 9,158 | | | Mirae Asset Securities Co., Ltd. | | | 44,557 | |
| | 17,691 | | | NAVER Corp. | | | 3,125,374 | |
| | 462 | | | NCSoft Corp. | | | 129,273 | |
| | 529 | | | Netmarble Corp.(a) | | | 24,899 | |
| | 3,575 | | | NH Investment & Securities Co., Ltd.* | | | 26,384 | |
| | 640 | | | Orion Corp. | | | 46,711 | |
| | 6,901 | | | Pan Ocean Co., Ltd. | | | 26,332 | |
| | 792 | | | Pearl Abyss Corp.* | | | 33,212 | |
| | 790 | | | POSCO Chemical Co., Ltd. | | | 98,024 | |
| | 1,928 | | | POSCO Holdings Inc. | | | 363,607 | |
| | 256 | | | S-1 Corp. | | | 11,077 | |
| | 454 | | | Samsung Biologics Co., Ltd.*(a) | | | 281,151 | |
| | 2,179 | | | Samsung C&T Corp. | | | 194,415 | |
| | 1,392 | | | Samsung Electro-Mechanics Co., Ltd. | | | 143,671 | |
| | 427,125 | | | Samsung Electronics Co., Ltd. | | | 18,846,311 | |
| | 4,402 | | | Samsung Engineering Co., Ltd.* | | | 76,243 | |
| | 804 | | | Samsung Fire & Marine Insurance Co., Ltd. | | | 116,467 | |
| | 17,935 | | | Samsung Heavy Industries Co., Ltd.* | | | 79,398 | |
| | 1,766 | | | Samsung Life Insurance Co., Ltd. | | | 81,201 | |
| | 5,302 | | | Samsung SDI Co., Ltd. | | | 2,338,960 | |
| | 896 | | | Samsung SDS Co., Ltd. | | | 85,242 | |
| | 1,776 | | | Samsung Securities Co., Ltd. | | | 44,548 | |
| | 1,206 | | | SD Biosensor Inc. | | | 31,344 | |
| | 794 | | | Seegene Inc. | | | 18,513 | |
| | 59,391 | | | Shinhan Financial Group Co., Ltd. | | | 1,614,906 | |
| | 670 | | | SK Biopharmaceuticals Co., Ltd.* | | | 35,510 | |
| | 725 | | | SK Bioscience Co., Ltd.* | | | 60,381 | |
| | 300 | | | SK Chemicals Co., Ltd. | | | 21,679 | |
| | 105,418 | | | SK Hynix Inc. | | | 7,397,052 | |
| | 804 | | | SK IE Technology Co., Ltd.*(a) | | | 49,306 | |
| | 1,089 | | | SK Inc. | | | 188,022 | |
| | 1,424 | | | SK Innovation Co., Ltd.* | | | 200,167 | |
| | 2,405 | | | SK Square Co., Ltd.* | | | 71,924 | |
| | 436 | | | SKC Co., Ltd. | | | 39,064 | |
| | 1,034 | | | S-Oil Corp. | | | 78,616 | |
| | 12,992 | | | Woori Financial Group Inc. | | | 117,282 | |
See Notes to Financial Statements.
152
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| South Korea — 11.6% — (continued) | |
| | 984 | | | Yuhan Corp. | | $ | 41,478 | |
| | | | | | | | |
| | | | Total South Korea | | | 55,667,735 | |
| | | | | | | | |
|
| Taiwan — 11.9% | |
| | 12,000 | | | Accton Technology Corp. | | | 110,995 | |
| | 72,000 | | | Acer Inc. | | | 51,910 | |
| | 9,777 | | | Advantech Co., Ltd. | | | 104,335 | |
| | 638,498 | | | ASE Technology Holding Co., Ltd. | | | 1,781,734 | |
| | 46,000 | | | Asia Cement Corp. | | | 65,174 | |
| | 1,000 | | | ASMedia Technology Inc. | | | 30,235 | |
| | 19,000 | | | Asustek Computer Inc. | | | 158,587 | |
| | 206,000 | | | AUO Corp. | | | 112,496 | |
| | 20,000 | | | Catcher Technology Co., Ltd.* | | | 121,458 | |
| | 193,738 | | | Cathay Financial Holding Co., Ltd. | | | 282,466 | |
| | 35,061 | | | Chailease Holding Co., Ltd. | | | 225,107 | |
| | 127,275 | | | Chang Hwa Commercial Bank Ltd. | | | 73,623 | |
| | 49,000 | | | Cheng Shin Rubber Industry Co., Ltd. | | | 56,953 | |
| | 71,000 | | | China Airlines Ltd. | | | 52,880 | |
| | 393,112 | | | China Development Financial Holding Corp. | | | 171,918 | |
| | 313,000 | | | China Steel Corp. | | | 296,541 | |
| | 99,000 | | | Chroma ATE Inc. | | | 607,950 | |
| | 96,000 | | | Chunghwa Telecom Co., Ltd. | | | 381,835 | |
| | 97,000 | | | Compal Electronics Inc. | | | 72,298 | |
| | 476,880 | | | CTBC Financial Holding Co., Ltd. | | | 365,621 | |
| | 317,000 | | | Delta Electronics Inc. | | | 2,724,371 | |
| | 21,000 | | | E Ink Holdings Inc. | | | 164,202 | |
| | 333,535 | | | E.Sun Financial Holding Co., Ltd. | | | 307,860 | |
| | 4,100 | | | Eclat Textile Co., Ltd. | | | 59,670 | |
| | 2,000 | | | eMemory Technology Inc. | | | 89,324 | |
| | 61,000 | | | Eva Airways Corp. | | | 66,943 | |
| | 64,478 | | | Evergreen Marine Corp. Taiwan Ltd. | | | 185,858 | |
| | 87,000 | | | Far Eastern New Century Corp. | | | 93,433 | |
| | 35,000 | | | Far EasTone Telecommunications Co., Ltd. | | | 85,773 | |
| | 10,920 | | | Feng TAY Enterprise Co., Ltd. | | | 61,436 | |
| | 260,557 | | | First Financial Holding Co., Ltd. | | | 226,251 | |
| | 84,000 | | | Formosa Chemicals & Fibre Corp. | | | 189,013 | |
| | 28,000 | | | Formosa Petrochemical Corp. | | | 76,706 | |
| | 103,000 | | | Formosa Plastics Corp. | | | 307,329 | |
| | 194,336 | | | Fubon Financial Holding Co., Ltd. | | | 364,651 | |
| | 8,000 | | | Giant Manufacturing Co., Ltd. | | | 62,455 | |
| | 221,000 | | | Globalwafers Co., Ltd. | | | 3,500,414 | |
| | 746,660 | | | Hon Hai Precision Industry Co., Ltd. | | | 2,667,920 | |
| | 7,000 | | | Hotai Motor Co., Ltd. | | | 140,752 | |
| | 230,051 | | | Hua Nan Financial Holdings Co., Ltd. | | | 175,015 | |
| | 256,000 | | | Innolux Corp. | | | 100,956 | |
| | 74,000 | | | Inventec Corp. | | | 56,221 | |
| | 2,541 | | | Largan Precision Co., Ltd. | | | 161,801 | |
| | 57,264 | | | Lite-On Technology Corp., ADR | | | 123,482 | |
| | 145,000 | | | MediaTek Inc. | | | 3,156,288 | |
| | 289,600 | | | Mega Financial Holding Co., Ltd. | | | 340,187 | |
| | 17,000 | | | Micro-Star International Co., Ltd. | | | 63,754 | |
| | 1,200 | | | momo.com Inc. | | | 28,623 | |
| | 129,000 | | | Nan Ya Plastics Corp. | | | 290,800 | |
| | 5,000 | | | Nan Ya Printed Circuit Board Corp. | | | 43,887 | |
| | 29,000 | | | Nanya Technology Corp. | | | 50,465 | |
| | 5,000 | | | Nien Made Enterprise Co., Ltd. | | | 46,188 | |
See Notes to Financial Statements.
153
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| Taiwan — 11.9% — (continued) | |
| | 123,000 | | | Novatek Microelectronics Corp. | | $ | 1,054,479 | |
| | 52,000 | | | Pegatron Corp. | | | 108,459 | |
| | 64,000 | | | Pou Chen Corp. | | | 60,666 | |
| | 70,000 | | | Powerchip Semiconductor Manufacturing Corp. | | | 78,773 | |
| | 66,224 | | | Poya International Co., Ltd. | | | 925,840 | |
| | 14,539 | | | President Chain Store Corp. | | | 127,950 | |
| | 624,000 | | | Quanta Computer Inc. | | | 1,622,866 | |
| | 11,000 | | | Realtek Semiconductor Corp. | | | 123,889 | |
| | 33,852 | | | Ruentex Development Co., Ltd. | | | 69,986 | |
| | 87,206 | | | Shanghai Commercial & Savings Bank Ltd. (The) | | | 142,317 | |
| | 317,693 | | | Shin Kong Financial Holding Co., Ltd. | | | 91,296 | |
| | 266,484 | | | SinoPac Financial Holdings Co., Ltd. | | | 151,410 | |
| | 35,700 | | | Synnex Technology International Corp. | | | 65,043 | |
| | 286,584 | | | Taishin Financial Holding Co., Ltd. | | | 142,188 | |
| | 150,668 | | | Taiwan Cement Corp. | | | 194,116 | |
| | 225,845 | | | Taiwan Cooperative Financial Holding Co., Ltd. | | | 204,067 | |
| | 59,000 | | | Taiwan High Speed Rail Corp. | | | 56,431 | |
| | 43,000 | | | Taiwan Mobile Co., Ltd. | | | 140,766 | |
| | 973,507 | | | Taiwan Semiconductor Manufacturing Co., Ltd. | | | 15,934,267 | |
| | 142,207 | | | Taiwan Semiconductor Manufacturing Co., Ltd., ADR | | | 11,852,953 | |
| | 31,000 | | | Unimicron Technology Corp. | | | 153,178 | |
| | 117,000 | | | Uni-President Enterprises Corp. | | | 253,403 | |
| | 302,000 | | | United Microelectronics Corp.* | | | 403,723 | |
| | 23,000 | | | Vanguard International Semiconductor Corp. | | | 55,812 | |
| | 2,000 | | | Voltronic Power Technology Corp. | | | 113,227 | |
| | 73,427 | | | Walsin Lihwa Corp. | | | 94,906 | |
| | 18,630 | | | Wan Hai Lines Ltd. | | | 52,813 | |
| | 8,000 | | | Win Semiconductors Corp. | | | 46,376 | |
| | 80,000 | | �� | Winbond Electronics Corp. | | | 58,009 | |
| | 54,000 | | | Wiwynn Corp. | | | 1,355,286 | |
| | 43,760 | | | WPG Holdings Ltd. | | | 73,632 | |
| | 12,188 | | | Yageo Corp. | | | 130,879 | |
| | 42,000 | | | Yang Ming Marine Transport Corp. | | | 107,911 | |
| | 258,488 | | | Yuanta Financial Holding Co., Ltd. | | | 171,996 | |
| | 21,000 | | | Zhen Ding Technology Holding Ltd. | | | 78,051 | |
| | | | | | | | |
| | | | Total Taiwan | | | 57,433,108 | |
| | | | | | | | |
|
| Thailand — 1.0% | |
| | 31,100 | | | Advanced Info Service PCL, NVDR | | | 163,005 | |
| | 103,900 | | | Airports of Thailand PCL, NVDR* | | | 206,530 | |
| | 185,700 | | | Asset World Corp. PCL, NVDR | | | 28,369 | |
| | 20,800 | | | B Grimm Power PCL, NVDR | | | 20,997 | |
| | 51,800 | | | Bangkok Commercial Asset Mangement PCL, NVDR | | | 26,089 | |
| | 225,600 | | | Bangkok Dusit Medical Services PCL, NVDR | | | 180,536 | |
| | 212,000 | | | Bangkok Expressway & Metro PCL, NVDR | | | 50,692 | |
| | 34,400 | | | Berli Jucker PCL, NVDR | | | 31,454 | |
| | 191,400 | | | BTS Group Holdings PCL, NVDR | | | 43,917 | |
| | 14,000 | | | Bumrungrad Hospital PCL, NVDR | | | 82,568 | |
| | 6,000 | | | Carabao Group PCL,NVDR | | | 16,524 | |
| | 51,000 | | | Central Pattana PCL, NVDR | | | 96,490 | |
| | 33,616 | | | Central Retail Corp. PCL, NVDR | | | 37,117 | |
| | 86,300 | | | Charoen Pokphand Foods PCL, NVDR | | | 61,280 | |
| | 144,800 | | | CP ALL PCL, NVDR | | | 243,381 | |
| | 8,800 | | | Delta Electronics Thailand PCL, NVDR | | | 125,639 | |
| | 4,600 | | | Electricity Generating PCL, NVDR | | | 22,996 | |
| | 36,400 | | | Energy Absolute PCL, NVDR | | | 84,721 | |
See Notes to Financial Statements.
154
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| Thailand — 1.0% — (continued) | |
| | 17,400 | | | Global Power Synergy PCL, NVDR | | $ | 32,270 | |
| | 80,100 | | | Gulf Energy Development PCL, NVDR | | | 112,105 | |
| | 137,900 | | | Home Product Center PCL, NVDR | | | 52,280 | |
| | 50,400 | | | Indorama Ventures PCL, NVDR | | | 59,431 | |
| | 29,350 | | | Intouch Holdings PCL, NVDR | | | 58,262 | |
| | 13,300 | | | JMT Network Services PCL, NVDR | | | 28,281 | |
| | 153,400 | | | Kasikornbank PCL | | | 645,212 | |
| | 10,000 | | | Kasikornbank PCL, NVDR* | | | 41,974 | |
| | 125,300 | | | Krung Thai Bank PCL, NVDR | | | 57,773 | |
| | 22,200 | | | Krungthai Card PCL, NVDR | | | 36,472 | |
| | 296,000 | | | Land and Houses PCL, NVDR | | | 71,937 | |
| | 87,100 | | | Minor International PCL, NVDR* | | | 78,030 | |
| | 19,800 | | | Muangthai Capital PCL, NVDR | | | 22,907 | |
| | 22,800 | | | Osotspa PCL, NVDR | | | 19,466 | |
| | 61,800 | | | PTT Exploration & Production PCL | | | 284,750 | |
| | 36,500 | | | PTT Exploration & Production PCL, NVDR | | | 169,137 | |
| | 55,700 | | | PTT Global Chemical PCL, NVDR | | | 72,149 | |
| | 89,100 | | | PTT Oil & Retail Business PCL, NVDR | | | 66,301 | |
| | 256,200 | | | PTT PCL, NVDR | | | 261,856 | |
| | 21,400 | | | Ratch Group PCL, NVDR | | | 25,704 | |
| | 20,000 | | | SCB X PCL | | | 60,269 | |
| | 36,500 | | | SCG Packaging PCL, NVDR | | | 56,477 | |
| | 58,600 | | | Siam Cement PCL (The), Class Registered Shares | | | 573,661 | |
| | 19,900 | | | Siam Cement PCL (The), NVDR | | | 194,380 | |
| | 20,800 | | | Srisawad Corp. PCL, NVDR | | | 27,621 | |
| | 24,300 | | | Thai Oil PCL, NVDR | | | 40,691 | |
| | 90,700 | | | Thai Union Group PCL, NVDR | | | 43,335 | |
| | 336,600 | | | True Corp. PCL, NVDR | | | 41,890 | |
| | | | | | | | |
| | | | Total Thailand | | | 4,756,926 | |
| | | | | | | | |
|
| Turkey — 0.5% | |
| | 123,590 | | | Agesa Hayat ve Emeklilik AS | | | 159,673 | |
| | 61,436 | | | Akbank TAS | | | 39,504 | |
| | 17,844 | | | Aselsan Elektronik Sanayi Ve Ticaret AS | | | 25,515 | |
| | 11,261 | | | BIM Birlesik Magazalar AS | | | 67,616 | |
| | 28,391 | | | Eregli Demir ve Celik Fabrikalari TAS | | | 44,815 | |
| | 1,799 | | | Ford Otomotiv Sanayi AS | | | 32,778 | |
| | 17,755 | | | Haci Ömer Sabanci Holding AS | | | 24,800 | |
| | 19,457 | | | KOC Holding AS | | | 48,162 | |
| | 411,440 | | | MLP Saglik Hizmetleri AS, Class B Shares*(a) | | | 914,916 | |
| | 558,820 | | | Sok Marketler Ticaret AS* | | | 517,525 | |
| | 73,020 | | | Tofas Turk Otomobil Fabrikasi AS | | | 353,824 | |
| | 9,941 | | | Turk Hava Yollari AO* | | | 39,828 | |
| | 25,061 | | | Turkcell Iletisim Hizmetleri AS | | | 29,668 | |
| | 40,843 | | | Turkiye Is Bankasi AS, Class C Shares | | | 17,740 | |
| | 3,542 | | | Turkiye Petrol Rafinerileri AS* | | | 69,825 | |
| | 36,548 | | | Turkiye Sise ve Cam Fabrikalari AS | | | 49,113 | |
| | | | | | | | |
| | | | Total Turkey | | | 2,435,302 | |
| | | | | | | | |
|
| United Arab Emirates — 0.4% | |
| | 65,895 | | | Abu Dhabi Commercial Bank PJSC | | | 162,492 | |
| | 41,885 | | | Abu Dhabi Islamic Bank PJSC | | | 100,729 | |
| | 64,799 | | | Abu Dhabi National Oil Co. for Distribution PJSC | | | 78,303 | |
| | 105,983 | | | Aldar Properties PJSC | | | 138,781 | |
| | 68,441 | | | Dubai Islamic Bank PJSC | | | 108,854 | |
| | 111,729 | | | Emaar Properties PJSC | | | 189,799 | |
| | 50,538 | | | Emirates NBD Bank PJSC | | | 183,438 | |
See Notes to Financial Statements.
155
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| United Arab Emirates — 0.4% — (continued) | |
| | 88,124 | | | Emirates Telecommunications Group Co. PJSC | | $ | 616,351 | |
| | 113,094 | | | First Abu Dhabi Bank PJSC | | | 587,329 | |
| | | | | | | | |
| | | | Total United Arab Emirates | | | 2,166,076 | |
| | | | | | | | |
|
| United Kingdom — 0.6% | |
| | 20,086 | | | Anglo American PLC | | | 645,038 | |
| | 618,959 | | | Helios Towers PLC* | | | 892,049 | |
| | 28,266 | | | Unilever PLC | | | 1,288,865 | |
| | | | | | | | |
| | | | Total United Kingdom | | | 2,825,952 | |
| | | | | | | | |
|
| United States — 0.6% | |
| | 6,689 | | | EPAM Systems Inc.* | | | 2,852,859 | |
| | 1,272 | | | Legend Biotech Corp., ADR* | | | 59,135 | |
| | 2,000 | | | Parade Technologies Ltd. | | | 56,245 | |
| | | | | | | | |
| | | | Total United States | | | 2,968,239 | |
| | | | | | | | |
|
| Uruguay — 0.8% | |
| | 7,564 | | | Globant SA* | | | 1,594,264 | |
| | 2,600 | | | MercadoLibre Inc.* | | | 2,223,936 | |
| | | | | | | | |
| | | | Total Uruguay | | | 3,818,200 | |
| | | | | | | | |
| | | | TOTAL COMMON STOCKS | | | | |
| | | | (Cost — $467,179,277) | | | 456,789,030 | |
| | | | | | | | |
|
| PREFERRED STOCKS — 1.4% | |
|
| Brazil — 0.7% | |
| | 131,941 | | | Banco Bradesco SA, Class Preferred Shares | | | 481,071 | |
| | 3,867 | | | Braskem SA, Class Preferred A Shares | | | 22,644 | |
| | 7,258 | | | Centrais Eletricas Brasileiras SA, Class Preferred B Shares | | | 66,857 | |
| | 30,345 | | | Cia Energetica de Minas Gerais, Class Preferred Shares | | | 70,609 | |
| | 29,670 | | | Gerdau SA, Class Preferred Shares | | | 133,057 | |
| | 123,997 | | | Itau Unibanco Holding SA, Class Preferred Shares | | | 615,448 | |
| | 117,545 | | | Itausa SA, Class Preferred Shares | | | 206,832 | |
| | 121,071 | | | Petroleo Brasileiro SA, Class Preferred Shares | | | 773,683 | |
| | 787,000 | | | Raizen SA, Class Preferred Shares | | | 732,508 | |
| | 13,217 | | | Telefonica Brasil SA, Class Preferred Shares | | | 104,566 | |
| | | | | | | | |
| | | | Total Brazil | | | 3,207,275 | |
| | | | | | | | |
|
| Chile — 0.1% | |
| | 3,617 | | | Sociedad Quimica y Minera de Chile SA, Class Preferred B Shares | | | 361,587 | |
| | | | | | | | |
|
| Colombia — 0.0% | |
| | 12,434 | | | Bancolombia SA, Class Preferred Shares | | | 85,938 | |
| | | | | | | | |
|
| Mexico — 0.0% | |
| | 404,060 | | | Cemex SAB de CV, Class Preferred Shares* | | | 149,024 | |
| | | | | | | | |
|
| Russia — 0.0% | |
| | 125,636 | | | Surgutneftegas PJSC, Class Preferred Shares(c)(e) | | | 20 | |
| | 83,580 | | | Surgutneftegas PJSC, Class Preferred Shares#(e) | | | 836 | |
| | | | | | | | |
| | | | Total Russia | | | 856 | |
| | | | | | | | |
|
| South Korea — 0.6% | |
| | 715 | | | Hyundai Motor Co., Class Preferred 2nd Shares | | | 49,433 | |
| | 565 | | | Hyundai Motor Co., Class Preferred Shares | | | 38,218 | |
| | 283 | | | LG Chem Ltd., Class Preferred Shares | | | 63,002 | |
| | 55 | | | LG H&H Co., Ltd., Class Preferred Shares | | | 14,943 | |
See Notes to Financial Statements.
156
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| South Korea — 0.6% — (continued) | |
| | 72,464 | | | Samsung Electronics Co., Ltd., Class Preferred Shares | | $ | 2,926,056 | |
| | | | | | | | |
| | | | Total South Korea | | | 3,091,652 | |
| | | | | | | | |
| | | | TOTAL PREFERRED STOCKS | | | | |
| | | | (Cost — $7,870,454) | | | 6,896,332 | |
| | | | | | | | |
|
| RIGHTS — 0.0% | |
|
| Brazil — 0.0% | |
| | 41,399 | | | Infracommerce CXAAS SA* | | | 3,981 | |
| | | | | | | | |
|
| China — 0.0% | |
| | 1,366 | | | Kangmei Pharmaceutical Co., Ltd.*(e) | | | 2 | |
| | | | | | | | |
|
| Thailand — 0.0% | |
| | 2,064 | | | Thai Oil PCL, NVDR*#(e) | | | — | |
| | | | | | | | |
| | | | TOTAL RIGHTS | | | | |
| | | | (Cost — $2) | | | 3,983 | |
| | | | | | | | |
| | | | TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS | | | | |
| | | | (Cost — $475,049,733) | | | 463,689,345 | |
| | | | | | | | |
| | |
Face
Amount† | | | | | | |
|
| SHORT-TERM INVESTMENTS (g) — 3.4% | |
|
| MONEY MARKET FUND — 0.0% | |
| $ | 187,012 | | | Invesco STIT – Government & Agency Portfolio, 2.185%, Institutional Class(h)
(Cost — $187,012) | | | 187,012 | |
| | | | | | | | |
|
| TIME DEPOSITS — 3.4% | |
| | 4,257,421 | | | ANZ National Bank – London, 1.680% due 9/1/22 | | | 4,257,421 | |
| | | | BBH – Grand Cayman: | | | | |
| | 2 | SGD | | 1.350% due 9/1/22 | | | 1 | |
| | 470,628 | ZAR | | 3.500% due 9/1/22 | | | 27,479 | |
| | 1,132,369 | HKD | | BNP Paribas – Paris, 0.460% due 9/1/22 | | | 144,276 | |
| | 30,620 | EUR | | Citibank – London, (0.130)% due 9/1/22 | | | 30,767 | |
| | 7,713,246 | | | Citibank – New York, 1.680% due 9/1/22 | | | 7,713,246 | |
| | 165,257 | HKD | | HSBC Bank – Hong Kong, 0.460% due 9/1/22 | | | 21,055 | |
| | 13 | GBP | | HSBC Bank – London, 0.870% due 9/1/22 | | | 14 | |
| | 2,247,028 | | | JPMorgan Chase & Co. – New York, 1.680% due 9/1/22 | | | 2,247,028 | |
| | 1,827,601 | | | Royal Bank of Canada – Toronto, 1.680% due 9/1/22 | | | 1,827,601 | |
| | | | | | | | |
| | | | TOTAL TIME DEPOSITS (Cost — $16,268,888) | | | 16,268,888 | |
| | | | | | | | |
| | | | TOTAL SHORT-TERM INVESTMENTS (Cost — $16,455,900) | | | 16,455,900 | |
| | | | | | | | |
| | | | TOTAL INVESTMENTS — 99.8% (Cost — $491,505,633) | | | 480,145,245 | |
| | | | | | | | |
| | | | Other Assets in Excess of Liabilities — 0.2% | | | 907,865 | |
| | | | | | | | |
| | | | TOTAL NET ASSETS — 100.0% | | $ | 481,053,110 | |
| | | | | | | | |
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
| * | Non-income producing security. |
| (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 August 31, 2022, amounts to $23,725,520 and represents 4.9% of net assets. |
| (b) | Security trades on the Hong Kong exchange. |
See Notes to Financial Statements.
157
| | | | |
| Emerging Markets Equity Fund |
| (c) | Security is valued in good faith at fair value by or under the direction of the Board of Trustees. |
| (d) | All or a portion of this security is on loan (See Note 1). |
| (f) | The aggregate value of restricted securities (excluding 144A holdings) at August 31, 2022, amounts to $823,568 and represents 0.2% 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 3.4%. |
| (h) | Represents investments of collateral received from securities lending transactions. |
| # | Security that used significant unobservable inputs to determine fair value. |
At August 31, 2022, 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 | | $ | 500,629,292 | | | $ | 85,278,604 | | | $ | (108,529,233) | | | $ | (23,250,629) | |
| | |
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 | | | 16.6 | % |
Insurance | | | 3.4 | |
Consumer Finance | | | 1.0 | |
Other | | | 1.3 | |
Information Technology | | | | |
Semiconductors & Semiconductor Equipment | | | 10.2 | |
Technology Hardware, Storage & Peripherals | | | 5.8 | |
Electronic Equipment, Instruments & Components | | | 2.4 | |
Other | | | 2.5 | |
Consumer Discretionary | | | 13.6 | |
Communication Services | | | 7.9 | |
Materials | | | 6.9 | |
Industrials | | | 6.5 | |
Energy | | | 6.4 | |
Consumer Staples | | | 4.3 | |
Health Care | | | 4.3 | |
Utilities | | | 1.9 | |
Real Estate | | | 1.6 | |
Short-Term Investments | | | 3.4 | |
| | | | |
| | | 100.0 | %+ |
| | | | |
| ^ | As a percentage of total investments. |
| + | Does not reflect investments of collateral received from securities lending transactions. |
See Notes to Financial Statements.
158
| | | | |
| Emerging Markets Equity Fund |
At August 31, 2022, 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 September Futures | | | 23 | | | | 9/22 | | | $ | 1,140,527 | | | $ | 1,129,185 | | | $ | (11,342 | ) |
| | | | | | | | | | | | | | | | | | | | |
At August 31, 2022, Emerging Markets Equity Fund had deposited cash of $71,994 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.
159
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| CORPORATE BONDS & NOTES — 31.5% | |
|
| Aerospace/Defense — 0.9% | |
| | | | | | BAE Systems Holdings Inc., Company Guaranteed Notes: | | | | |
| $ | 205,000 | | | BBB+ | | 3.800% due 10/7/24(a) | | $ | 202,450 | |
| | 1,195,000 | | | BBB+ | | 3.850% due 12/15/25(a) | | | 1,159,644 | |
| | | | | | Boeing Co. (The), Senior Unsecured Notes: | | | | |
| | 530,000 | | | BBB- | | 1.433% due 2/4/24 | | | 508,508 | |
| | 990,000 | | | BBB- | | 4.875% due 5/1/25 | | | 993,702 | |
| | 210,000 | | | BBB- | | 2.196% due 2/4/26 | | | 192,383 | |
| | 50,000 | | | BBB- | | 3.100% due 5/1/26 | | | 47,307 | |
| | 70,000 | | | BBB- | | 2.700% due 2/1/27 | | | 63,830 | |
| | 480,000 | | | BBB- | | 2.800% due 3/1/27 | | | 438,074 | |
| | 260,000 | | | BBB- | | 3.200% due 3/1/29 | | | 230,468 | |
| | 250,000 | | | BBB- | | 5.150% due 5/1/30 | | | 246,726 | |
| | 440,000 | | | BBB- | | 3.250% due 2/1/35 | | | 340,013 | |
| | 40,000 | | | BBB- | | 3.550% due 3/1/38 | | | 30,222 | |
| | 240,000 | | | BBB- | | 5.705% due 5/1/40 | | | 230,031 | |
| | 140,000 | | | BBB- | | 3.750% due 2/1/50 | | | 100,940 | |
| | 490,000 | | | BBB- | | 5.805% due 5/1/50 | | | 468,074 | |
| | 108,000 | | | BBB- | | 3.950% due 8/1/59 | | | 75,364 | |
| | 70,000 | | | BBB- | | 5.930% due 5/1/60 | | | 66,375 | |
| | | | | | General Dynamics Corp., Company Guaranteed Notes: | | | | |
| | 121,000 | | | A- | | 3.500% due 4/1/27 | | | 118,607 | |
| | 607,000 | | | A- | | 3.750% due 5/15/28 | | | 599,354 | |
| | 10,000 | | | A- | | 4.250% due 4/1/40 | | | 9,671 | |
| | 60,000 | | | A- | | 4.250% due 4/1/50 | | | 57,668 | |
| | 141,000 | | | BBB | | L3 Technologies Inc., Company Guaranteed Notes, 3.850% due 12/15/26 | | | 137,576 | |
| | | | | | L3Harris Technologies Inc., Senior Unsecured Notes: | | | | |
| | 489,000 | | | BBB | | 3.850% due 12/15/26 | | | 477,124 | |
| | 554,000 | | | BBB | | 4.400% due 6/15/28 | | | 546,202 | |
| | 30,000 | | | BBB | | 5.054% due 4/27/45 | | | 29,239 | |
| | | | | | Lockheed Martin Corp., Senior Unsecured Notes: | | | | |
| | 84,000 | | | A- | | 3.550% due 1/15/26 | | | 83,453 | |
| | 90,000 | | | A- | | 3.900% due 6/15/32 | | | 88,539 | |
| | 40,000 | | | A- | | 4.500% due 5/15/36 | | | 39,906 | |
| | 60,000 | | | A- | | 4.070% due 12/15/42 | | | 56,050 | |
| | 246,000 | | | A- | | 3.800% due 3/1/45 | | | 217,561 | |
| | 171,000 | | | A- | | 4.090% due 9/15/52 | | | 160,048 | |
| | 500,000 | | | A- | | 4.150% due 6/15/53 | | | 468,931 | |
| | | | | | Northrop Grumman Corp., Senior Unsecured Notes: | | | | |
| | 160,000 | | | BBB+ | | 2.930% due 1/15/25 | | | 156,032 | |
| | 340,000 | | | BBB+ | | 3.250% due 1/15/28 | | | 323,265 | |
| | 29,000 | | | BBB+ | | 4.750% due 6/1/43 | | | 28,037 | |
| | 199,000 | | | BBB+ | | 4.030% due 10/15/47 | | | 175,733 | |
| | 403,000 | | | BBB+ | | 5.250% due 5/1/50 | | | 425,781 | |
| | | | | | Raytheon Co., Senior Unsecured Notes: | | | | |
| | 40,000 | | | A- | | 7.200% due 8/15/27 | | | 45,300 | |
| | 24,000 | | | A- | | 7.000% due 11/1/28 | | | 26,670 | |
| | 55,000 | | | A- | | 4.200% due 12/15/44 | | | 47,803 | |
| | | | | | Raytheon Technologies Corp., Senior Unsecured Notes: | | | | |
| | 70,000 | | | A- | | 3.150% due 12/15/24 | | | 68,388 | |
| | 120,000 | | | A- | | 3.950% due 8/16/25 | | | 120,133 | |
| | 776,000 | | | A- | | 4.125% due 11/16/28 | | | 759,067 | |
| | 140,000 | | | A- | | 2.250% due 7/1/30 | | | 120,091 | |
| | 110,000 | | | A- | | 2.375% due 3/15/32 | | | 92,540 | |
See Notes to Financial Statements.
160
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Aerospace/Defense — 0.9% — (continued) | |
| $ | 160,000 | | | A- | | 4.500% due 6/1/42 | | $ | 152,310 | |
| | 387,000 | | | A- | | 3.750% due 11/1/46 | | | 323,398 | |
| | 484,000 | | | A- | | 2.820% due 9/1/51 | | | 340,221 | |
| | 80,000 | | | A- | | 3.030% due 3/15/52 | | | 58,575 | |
| | | | | | | | | | |
| | | | | | Total Aerospace/Defense | | | 11,747,384 | |
| | | | | | | | | | |
|
| Agriculture — 0.5% | |
| | | | | | Altria Group Inc., Company Guaranteed Notes: | | | | |
| | 40,000 | | | BBB | | 2.350% due 5/6/25 | | | 38,094 | |
| | 130,000 | | | BBB | | 4.400% due 2/14/26 | | | 129,528 | |
| | 600,000 | | | BBB | | 2.450% due 2/4/32 | | | 456,685 | |
| | 807,000 | | | BBB | | 5.800% due 2/14/39 | | | 749,646 | |
| | 80,000 | | | BBB | | 3.875% due 9/16/46 | | | 55,657 | |
| | 500,000 | | | BBB | | 5.950% due 2/14/49 | | | 457,476 | |
| | 82,000 | | | BBB | | 6.200% due 2/14/59 | | | 78,750 | |
| | | | | | BAT Capital Corp., Company Guaranteed Notes: | | | | |
| | 181,000 | | | BBB+ | | 3.215% due 9/6/26 | | | 169,464 | |
| | 500,000 | | | BBB+ | | 3.557% due 8/15/27 | | | 460,322 | |
| | 121,000 | | | BBB+ | | 2.259% due 3/25/28 | | | 102,599 | |
| | 1,280,000 | | | BBB+ | | 4.540% due 8/15/47 | | | 938,430 | |
| | 150,000 | | | BBB+ | | 3.984% due 9/25/50 | | | 102,483 | |
| | 735,000 | | | BBB+ | | 5.650% due 3/16/52 | | | 626,418 | |
| | 70,000 | | | BBB+ | | BAT International Finance PLC, Company Guaranteed Notes, 3.950% due 6/15/25(a) | | | 68,502 | |
| | 150,000 | | | A | | Cargill Inc., Senior Unsecured Notes, 1.375% due 7/23/23(a) | | | 147,002 | |
| | | | | | Imperial Brands Finance PLC, Company Guaranteed Notes: | | | | |
| | 205,000 | | | BBB | | 3.500% due 2/11/23(a) | | | 204,868 | |
| | 400,000 | | | BBB | | 3.125% due 7/26/24(a) | | | 385,220 | |
| | 205,000 | | | BBB | | 3.500% due 7/26/26(a) | | | 190,274 | |
| | | | | | Philip Morris International Inc., Senior Unsecured Notes: | | | | |
| | 110,000 | | | A | | 2.500% due 11/2/22 | | | 109,862 | |
| | 100,000 | | | A | | 1.125% due 5/1/23 | | | 98,351 | |
| | 100,000 | | | A | | 2.100% due 5/1/30 | | | 80,797 | |
| | 60,000 | | | A | | 4.500% due 3/20/42 | | | 49,763 | |
| | 961,000 | | | BBB+ | | Reynolds American Inc., Company Guaranteed Notes, 5.850% due 8/15/45 | | | 827,660 | |
| | | | | | | | | | |
| | | | | | Total Agriculture | | | 6,527,851 | |
| | | | | | | | | | |
|
| Airlines — 0.3% | |
| | 44,531 | | | A2(b) | | Air Canada Class AA Pass-Through Trust, Pass-Thru Certificates, 3.300% due 1/15/30(a) | | | 39,886 | |
| | 36,505 | | | A- | | American Airlines Class AA Pass-Through Trust, Series 2015-2, Pass-Thru Certificates, 3.600% due 9/22/27 | | | 33,440 | |
| | 285,752 | | | A- | | American Airlines Class AA Pass-Through Trust, Series 2016-1, Pass-Thru Certificates, 3.575% due 1/15/28 | | | 258,342 | |
| | 41,552 | | | A- | | American Airlines Class AA Pass-Through Trust, Series 2016-2, Pass-Thru Certificates, 3.200% due 6/15/28 | | | 36,113 | |
| | 86,627 | | | A | | American Airlines Class AA Pass-Through Trust, Series 2016-3, Pass-Thru Certificates, 3.000% due 10/15/28 | | | 78,138 | |
| | 35,220 | | | Baa1(b) | | American Airlines Class AA Pass-Through Trust, Series 2017-1, Pass-Thru Certificates, 3.650% due 2/15/29 | | | 32,327 | |
| | 104,490 | | | B | | American Airlines Class B Pass-Through Trust, Series 2015-2, Pass-Thru Certificates, 4.400% due 9/22/23 | | | 100,610 | |
| | 67,249 | | | B | | American Airlines Class B Pass-Through Trust, Series 2016-1, Pass-Thru Certificates, 5.250% due 1/15/24 | | | 62,553 | |
| | 50,500 | | | B | | American Airlines Class B Pass-Through Trust, Series 2016-2, Pass-Thru Certificates, 4.375% due 6/15/24(a) | | | 47,014 | |
See Notes to Financial Statements.
161
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Airlines — 0.3% — (continued) | |
| $ | 602 | | | B | | American Airlines Class B Pass-Through Trust, Series 2016-3, Pass-Thru Certificates, 3.750% due 10/15/25 | | $ | 524 | |
| | 39,694 | | | Ba2(b) | | American Airlines Class B Pass-Through Trust, Series 2017-1, Pass-Thru Certificates, 4.950% due 2/15/25 | | | 36,664 | |
| | | | | | Delta Air Lines Inc.: | | | | |
| | 970,000 | | | BBB- | | Senior Secured Notes, 7.000% due 5/1/25(a) | | | 1,005,456 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 50,000 | | | B+ | | 3.800% due 4/19/23 | | | 49,587 | |
| | 200,000 | | | B+ | | 2.900% due 10/28/24 | | | 187,800 | |
| | 210,000 | | | B+ | | 7.375% due 1/15/26 | | | 214,181 | |
| | | | | | Delta Air Lines Inc./SkyMiles IP Ltd., Senior Secured Notes: | | | | |
| | 230,000 | | | Baa1(b) | | 4.500% due 10/20/25(a) | | | 225,512 | |
| | 120,000 | | | Baa1(b) | | 4.750% due 10/20/28(a) | | | 114,879 | |
| | 20,000 | | | Ba3(b) | | Hawaiian Brand Intellectual Property Ltd./HawaiianMiles Loyalty Ltd., Senior Secured Notes, 5.750% due 1/20/26(a) | | | 18,283 | |
| | 170,000 | | | Baa3(b) | | Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., Senior Secured Notes, 6.500% due 6/20/27(a) | | | 170,639 | |
| | 95,743 | | | Ba2(b) | | Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd., Senior Secured Notes, 8.000% due 9/20/25(a) | | | 97,361 | |
| | | | | | United Airlines Class AA Pass-Through Trust, Pass-Thru Certificates: | | | | |
| | 29,815 | | | A+ | | 3.450% due 12/1/27 | | | 27,123 | |
| | 3,681 | | | A2(b) | | 3.100% due 7/7/28 | | | 3,332 | |
| | 40,392 | | | A3(b) | | 2.875% due 10/7/28 | | | 35,667 | |
| | 16,678 | | | A2(b) | | 3.500% due 3/1/30 | | | 14,981 | |
| | 50,258 | | | A2(b) | | 4.150% due 8/25/31 | | | 46,324 | |
| | 77,354 | | | A2(b) | | 2.700% due 5/1/32 | | | 65,613 | |
| | | | | | United Airlines Class B Pass-Through Trust, Pass-Thru Certificates: | | | | |
| | 35,570 | | | BB+ | | 4.625% due 9/3/22 | | | 35,560 | |
| | 3,688 | | | Ba1(b) | | 3.650% due 10/7/25 | | | 3,355 | |
| | 74,437 | | | Baa3(b) | | 3.500% due 5/1/28 | | | 63,035 | |
| | | | | | United AirLines Inc., Senior Secured Notes: | | | | |
| | 130,000 | | | BB- | | 4.375% due 4/15/26(a) | | | 118,702 | |
| | 810,000 | | | BB- | | 4.625% due 4/15/29(a) | | | 711,787 | |
| | | | | | | | | | |
| | | | | | Total Airlines | | | 3,934,788 | |
| | | | | | | | | | |
|
| Apparel — 0.0% | |
| | | | | | NIKE Inc., Senior Unsecured Notes: | | | | |
| | 40,000 | | | AA- | | 2.400% due 3/27/25 | | | 38,747 | |
| | 70,000 | | | AA- | | 2.750% due 3/27/27 | | | 67,065 | |
| | 140,000 | | | AA- | | 2.850% due 3/27/30 | | | 129,141 | |
| | 100,000 | | | AA- | | 3.250% due 3/27/40 | | | 85,188 | |
| | 220,000 | | | AA- | | 3.375% due 3/27/50 | | | 184,200 | |
| | | | | | | | | | |
| | | | | | Total Apparel | | | 504,341 | |
| | | | | | | | | | |
|
| Auto Manufacturers — 0.5% | |
| | | | | | Ford Motor Co., Senior Unsecured Notes: | | | | |
| | 270,000 | | | BB+ | | 3.250% due 2/12/32 | | | 211,769 | |
| | 140,000 | | | BB+ | | 6.100% due 8/19/32 | | | 136,524 | |
| | 30,000 | | | BB+ | | 4.750% due 1/15/43 | | | 22,476 | |
| | | | | | Ford Motor Credit Co. LLC, Senior Unsecured Notes: | | | | |
| | 500,000 | | | BB+ | | 4.950% due 5/28/27 | | | 470,110 | |
| | 460,000 | | | BB+ | | 2.900% due 2/16/28 | | | 385,572 | |
| | 220,000 | | | BB+ | | 2.900% due 2/10/29 | | | 178,450 | |
| | 200,000 | | | BB+ | | 5.113% due 5/3/29 | | | 186,299 | |
| | 200,000 | | | BB+ | | 4.000% due 11/13/30 | | | 167,326 | |
See Notes to Financial Statements.
162
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Auto Manufacturers — 0.5% — (continued) | |
| | | | | | General Motors Co., Senior Unsecured Notes: | | | | |
| $ | 70,000 | | | BBB | | 5.400% due 10/2/23 | | $ | 70,748 | |
| | 290,000 | | | BBB | | 6.125% due 10/1/25 | | | 298,829 | |
| | 191,000 | | | BBB | | 5.400% due 10/15/29 | | | 186,957 | |
| | 250,000 | | | BBB | | 6.250% due 10/2/43 | | | 242,067 | |
| | 455,000 | | | BBB | | 5.200% due 4/1/45 | | | 384,801 | |
| | | | | | General Motors Financial Co., Inc.: | | | | |
| | | | | | Company Guaranteed Notes: | | | | |
| | 64,000 | | | BBB | | 4.000% due 1/15/25 | | | 63,268 | |
| | 100,000 | | | BBB | | 4.350% due 1/17/27 | | | 96,755 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 646,000 | | | BBB | | 2.750% due 6/20/25 | | | 610,991 | |
| | 648,000 | | | BBB | | 3.100% due 1/12/32 | | | 524,835 | |
| | 412,000 | | | BBB+ | | Hyundai Capital America, Senior Unsecured Notes, 2.375% due 2/10/23(a) | | | 408,870 | |
| | 200,000 | | | BBB+ | | Hyundai Capital Services Inc., Senior Unsecured Notes, 3.750% due 3/5/23(a) | | | 199,569 | |
| | 54,000 | | | BBB- | | Nissan Motor Acceptance Co. LLC, Senior Unsecured Notes, 2.750% due 3/9/28(a) | | | 44,952 | |
| | | | | | Nissan Motor Co., Ltd., Senior Unsecured Notes: | | | | |
| | 250,000 | | | BBB- | | 3.043% due 9/15/23(a) | | | 245,668 | |
| | 600,000 | | | BBB- | | 3.522% due 9/17/25(a) | | | 570,424 | |
| | 300,000 | | | BBB- | | 4.345% due 9/17/27(a) | | | 278,354 | |
| | 245,000 | | | BBB- | | 4.810% due 9/17/30(a) | | | 220,032 | |
| | 3,000 | | | A+ | | Toyota Motor Credit Corp., Senior Unsecured Notes, 3.450% due 9/20/23 | | | 2,993 | |
| | | | | | | | | | |
| | | | | | Total Auto Manufacturers | | | 6,208,639 | |
| | | | | | | | | | |
|
| Banks — 9.1% | |
| | 450,000 | | | BBB | | ABN AMRO Bank NV, Senior Unsecured Notes, 2.470%
(1-Year CMT Index + 1.100%) due 12/13/29(a)(c) | | | 378,375 | |
| | | | | | Banco Santander SA, Senior Unsecured Notes: | | | | |
| | 200,000 | | | A- | | 3.848% due 4/12/23 | | | 199,705 | |
| | 600,000 | | | A- | | 2.746% due 5/28/25 | | | 564,783 | |
| | | | | | Bank of America Corp.: | | | | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 450,000 | | | A- | | 3.004% (3-Month USD-LIBOR + 0.790%) due 12/20/23(c) | | | 448,419 | |
| | 490,000 | | | A- | | 4.125% due 1/22/24 | | | 491,940 | |
| | 379,000 | | | A- | | 3.550% (3-Month USD-LIBOR + 0.780%) due 3/5/24(c) | | | 377,584 | |
| | 280,000 | | | A- | | 4.000% due 4/1/24 | | | 280,656 | |
| | 170,000 | | | A- | | 3.841% (SOFR + 1.110%) due 4/25/25(c) | | | 168,440 | |
| | 208,000 | | | A- | | 2.015% (3-Month USD-LIBOR + 0.640%) due 2/13/26(c) | | | 195,220 | |
| | 746,000 | | | A- | | 3.384% (SOFR + 1.330%) due 4/2/26(c) | | | 720,542 | |
| | 210,000 | | | A- | | 3.500% due 4/19/26 | | | 204,730 | |
| | 2,272,000 | | | A- | | 1.319% (SOFR + 1.150%) due 6/19/26(c) | | | 2,069,116 | |
| | 213,000 | | | A- | | 1.197% (SOFR + 1.010%) due 10/24/26(c) | | | 190,647 | |
| | 740,000 | | | A- | | 1.658% (SOFR + 0.910%) due 3/11/27(c) | | | 664,284 | |
| | 665,000 | | | A- | | 1.734% (SOFR + 0.960%) due 7/22/27(c) | | | 591,161 | |
| | 802,000 | | | A- | | 3.824% (3-Month USD-LIBOR + 1.575%) due 1/20/28(c) | | | 769,336 | |
| | 835,000 | | | A- | | 2.551% (SOFR + 1.050%) due 2/4/28(c) | | | 758,614 | |
| | 1,439,000 | | | A- | | 4.376% (SOFR + 1.580%) due 4/27/28(c) | | | 1,405,557 | |
| | 50,000 | | | A- | | 3.593% (3-Month USD-LIBOR + 1.370%) due 7/21/28(c) | | | 47,191 | |
| | 435,000 | | | A- | | 3.419% (3-Month USD-LIBOR + 1.040%) due 12/20/28(c) | | | 403,849 | |
| | 934,000 | | | A- | | 3.970% (3-Month USD-LIBOR + 1.070%) due 3/5/29(c) | | | 886,404 | |
| | 3,375,000 | | | A- | | 2.087% (SOFR + 1.060%) due 6/14/29(c) | | | 2,877,195 | |
| | 1,302,000 | | | A- | | 4.271% (3-Month USD-LIBOR + 1.310%) due 7/23/29(c) | | | 1,250,928 | |
| | 875,000 | | | A- | | 3.974% (3-Month USD-LIBOR + 1.210%) due 2/7/30(c) | | | 823,245 | |
| | 238,000 | | | A- | | 2.884% (3-Month USD-LIBOR + 1.190%) due 10/22/30(c) | | | 207,369 | |
| | 268,000 | | | A- | | 2.496% (3-Month USD-LIBOR + 0.990%) due 2/13/31(c) | | | 225,590 | |
See Notes to Financial Statements.
163
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Banks — 9.1% — (continued) | |
| $ | 1,508,000 | | | A- | | 2.592% (SOFR + 2.150%) due 4/29/31(c) | | $ | 1,276,613 | |
| | 172,000 | | | A- | | 1.898% (SOFR + 1.530%) due 7/23/31(c) | | | 136,039 | |
| | 886,000 | | | A- | | 1.922% (SOFR + 1.370%) due 10/24/31(c) | | | 703,124 | |
| | 825,000 | | | A- | | 2.687% (SOFR + 1.320%) due 4/22/32(c) | | | 687,101 | |
| | 395,000 | | | A- | | 2.299% (SOFR + 1.220%) due 7/21/32(c) | | | 317,461 | |
| | 1,309,000 | | | A- | | 2.572% (SOFR + 1.210%) due 10/20/32(c) | | | 1,073,788 | |
| | 1,764,000 | | | A- | | 2.972% (SOFR + 1.330%) due 2/4/33(c) | | | 1,487,366 | |
| | 1,714,000 | | | A- | | 4.571% (SOFR + 1.830%) due 4/27/33(c) | | | 1,642,378 | |
| | 240,000 | | | A- | | 5.000% due 1/21/44 | | | 234,352 | |
| | 710,000 | | | A- | | 4.330% (3-Month USD-LIBOR + 1.520%) due 3/15/50(c) | | | 638,494 | |
| | 310,000 | | | A- | | 4.083% (3-Month USD-LIBOR + 3.150%) due 3/20/51(c) | | | 267,302 | |
| | | | | | Subordinated Notes: | | | | |
| | 600,000 | | | BBB+ | | 4.200% due 8/26/24 | | | 599,485 | |
| | 1,040,000 | | | BBB+ | | 4.000% due 1/22/25 | | | 1,032,379 | |
| | 30,000 | | | BBB+ | | 7.250% due 10/15/25 | | | 32,386 | |
| | 80,000 | | | BBB+ | | 4.450% due 3/3/26 | | | 79,813 | |
| | 20,000 | | | BBB+ | | 4.250% due 10/22/26 | | | 19,728 | |
| | | | | | Bank of Montreal: | | | | |
| | 300,000 | | | A- | | Senior Unsecured Notes, 1.850% due 5/1/25 | | | 283,349 | |
| | 50,000 | | | BBB+ | | Subordinated Notes, 3.803% (5-Year USD Swap Rate + 1.432%) due 12/15/32(c) | | | 45,650 | |
| | | | | | Bank of New York Mellon Corp. (The), Senior Unsecured Notes: | | | | |
| | 90,000 | | | A | | 1.600% due 4/24/25 | | | 84,816 | |
| | 74,000 | | | A | | 3.250% due 5/16/27 | | | 71,742 | |
| | 700,000 | | | A | | 4.289% (SOFR + 1.418%) due 6/13/33(c) | | | 685,719 | |
| | | | | | Bank of Nova Scotia (The): | | | | |
| | 170,000 | | | A- | | Senior Unsecured Notes, 1.300% due 6/11/25 | | | 157,420 | |
| | 180,000 | | | BBB+ | | Subordinated Notes, 4.588% (5-Year CMT Index + 2.050%) due 5/4/37(c) | | | 163,307 | |
| | | | | | Barclays PLC: | | | | |
| | 620,000 | | | BBB | | Senior Unsecured Notes, 4.972% (3-Month USD-LIBOR + 1.902%) due 5/16/29(c) | | | 596,244 | |
| | | | | | Subordinated Notes: | | | | |
| | 200,000 | | | BB+ | | 5.088% (3-Month USD-LIBOR + 3.054%) due 6/20/30(c) | | | 188,615 | |
| | 213,000 | | | BB+ | | 3.811% (1-Year CMT Index + 1.700%) due 3/10/42(c) | | | 154,470 | |
| | | | | | BNP Paribas SA: | | | | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 470,000 | | | A- | | 4.705% (3-Month USD-LIBOR + 2.235%) due 1/10/25(a)(c) | | | 469,237 | |
| | 200,000 | | | A- | | 2.819% (3-Month USD-LIBOR + 1.111%) due 11/19/25(a)(c) | | | 190,107 | |
| | 220,000 | | | A- | | 2.219% (SOFR + 2.074%) due 6/9/26(a)(c) | | | 202,999 | |
| | 750,000 | | | A- | | 4.400% due 8/14/28(a) | | | 715,701 | |
| | 200,000 | | | A- | | 2.871% (SOFR + 1.387%) due 4/19/32(a)(c) | | | 162,687 | |
| | 200,000 | | | BBB+ | | Subordinated Notes, 4.375% (5-Year USD Swap Rate + 1.483%) due 3/1/33(a)(c) | | | 182,345 | |
| | | | | | Citigroup Inc.: | | | | |
| | 220,000 | | | BB+ | | Junior Subordinated Notes, 5.950% (3-Month USD-LIBOR + 3.905%)(c)(d) | | | 211,127 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 180,000 | | | BBB+ | | 1.678% (SOFR + 1.667%) due 5/15/24(c) | | | 176,842 | |
| | 120,000 | | | BBB+ | | 3.106% (SOFR + 2.842%) due 4/8/26(c) | | | 115,374 | |
| | 200,000 | | | BBB+ | | 3.070% (SOFR + 1.280%) due 2/24/28(c) | | | 185,483 | |
| | 70,000 | | | BBB+ | | 4.658% (SOFR + 1.887%) due 5/24/28(c) | | | 69,175 | |
| | 100,000 | | | BBB+ | | 3.980% (3-Month USD-LIBOR + 1.338%) due 3/20/30(c) | | | 93,800 | |
| | 815,000 | | | BBB+ | | 2.976% (SOFR + 1.422%) due 11/5/30(c) | | | 713,049 | |
| | 210,000 | | | BBB+ | | 4.412% (SOFR + 3.914%) due 3/31/31(c) | | | 200,564 | |
| | 70,000 | | | BBB+ | | 2.572% (SOFR + 2.107%) due 6/3/31(c) | | | 58,719 | |
| | 520,000 | | | BBB+ | | 2.561% (SOFR + 1.167%) due 5/1/32(c) | | | 429,503 | |
| | 160,000 | | | BBB+ | | 2.520% (SOFR + 1.177%) due 11/3/32(c) | | | 129,785 | |
| | 2,760,000 | | | BBB+ | | 3.057% (SOFR + 1.351%) due 1/25/33(c) | | | 2,340,629 | |
| | 250,000 | | | BBB+ | | 3.785% (SOFR + 1.939%) due 3/17/33(c) | | | 225,519 | |
See Notes to Financial Statements.
164
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Banks — 9.1% — (continued) | |
| $ | 220,000 | | | BBB+ | �� | 4.910% (SOFR + 2.086%) due 5/24/33(c) | | $ | 216,018 | |
| | 314,000 | | | BBB+ | | 8.125% due 7/15/39 | | | 411,800 | |
| | 196,000 | | | BBB+ | | 4.650% due 7/30/45 | | | 180,804 | |
| | 70,000 | | | BBB+ | | 4.650% due 7/23/48 | | | 66,341 | |
| | | | | | Subordinated Notes: | | | | |
| | 890,000 | | | BBB | | 4.400% due 6/10/25 | | | 887,031 | |
| | 250,000 | | | BBB | | 5.500% due 9/13/25 | | | 256,771 | |
| | 890,000 | | | BBB | | 4.300% due 11/20/26 | | | 879,575 | |
| | 30,000 | | | BBB | | 6.625% due 6/15/32 | | | 32,694 | |
| | 100,000 | | | BBB | | 6.675% due 9/13/43 | | | 113,674 | |
| | 286,000 | | | BBB | | 5.300% due 5/6/44 | | | 279,824 | |
| | 30,000 | | | BBB | | 4.750% due 5/18/46 | | | 27,144 | |
| | 142,000 | | | BBB+ | | Citizens Financial Group Inc., Senior Unsecured Notes, 2.850% due 7/27/26 | | | 134,759 | |
| | 58,000 | | | AA- | | Commonwealth Bank of Australia, Senior Unsecured Notes, 3.900% due 7/12/47(a) | | | 51,257 | |
| | | | | | Cooperatieve Rabobank UA: | | | | |
| | 990,000 | | | BBB+ | | Company Guaranteed Notes, 4.375% due 8/4/25 | | | 974,507 | |
| | 270,000 | | | A- | | Senior Unsecured Notes, 3.758% (1-Year CMT Index + 1.420%) due 4/6/33(a)(c) | | | 240,583 | |
| | 500,000 | | | A- | | Credit Agricole SA, Senior Unsecured Notes, 1.907% (SOFR + 1.676%) due 6/16/26(a)(c) | | | 459,713 | |
| | | | | | Credit Suisse AG, Senior Unsecured Notes: | | | | |
| | 250,000 | | | A | | 2.950% due 4/9/25 | | | 237,320 | |
| | 250,000 | | | A | | 5.000% due 7/9/27 | | | 243,215 | |
| | | | | | Credit Suisse Group AG: | | | | |
| | 760,000 | | | B+ | | Junior Subordinated Notes, 9.750% (5-Year CMT Index + 6.383%)(a)(c)(d) | | | 773,300 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 320,000 | | | BBB | | 4.550% due 4/17/26 | | | 307,262 | |
| | 370,000 | | | BBB | | 2.193% (SOFR + 2.044%) due 6/5/26(a)(c) | | | 330,444 | |
| | 900,000 | | | BBB | | 1.305% (SOFR + 0.980%) due 2/2/27(a)(c) | | | 759,562 | |
| | 60,000 | | | BBB | | 3.869% (3-Month USD-LIBOR + 1.410%) due 1/12/29(a)(c) | | | 52,115 | |
| | 250,000 | | | BBB | | 4.194% (SOFR + 3.730%) due 4/1/31(a)(c) | | | 210,686 | |
| | 1,850,000 | | | BBB | | 3.091% (SOFR + 1.730%) due 5/14/32(a)(c) | | | 1,402,733 | |
| | 1,420,000 | | | BBB | | 6.537% (SOFR + 3.920%) due 8/12/33(a)(c) | | | 1,360,452 | |
| | | | | | Danske Bank AS, Senior Unsecured Notes: | | | | |
| | 200,000 | | | BBB+ | | 3.875% due 9/12/23(a) | | | 198,205 | |
| | 800,000 | | | BBB+ | | 5.375% due 1/12/24(a) | | | 806,629 | |
| | 240,000 | | | BBB+ | | 3.244% (3-Month USD-LIBOR + 1.591%) due 12/20/25(a)(c) | | | 229,173 | |
| | 315,000 | | | A+ | | 1.549% (1-Year CMT Index + 0.730%) due 9/10/27(a)(c) | | | 272,832 | |
| | 260,000 | | | BBB+ | | 4.298% (1-Year CMT Index + 1.750%) due 4/1/28(a)(c) | | | 243,526 | |
| | | | | | Deutsche Bank AG, Senior Unsecured Notes: | | | | |
| | 150,000 | | | BBB- | | 1.447% (SOFR + 1.131%) due 4/1/25(c) | | | 140,121 | |
| | 38,000 | | | BBB- | | 4.100% due 1/13/26 | | | 37,181 | |
| | 188,000 | | | BBB- | | 2.129% (SOFR + 1.870%) due 11/24/26(c) | | | 165,915 | |
| | 645,000 | | | A | | DNB Bank ASA, Senior Unsecured Notes, 1.127%
(1-Year CMT Index + 0.850%) due 9/16/26(a)(c) | | | 576,281 | |
| | 11,000 | | | BB+ | | Goldman Sachs Capital II, Limited Guaranteed Notes, 4.000%
(3-Month USD-LIBOR + 0.768%)(c)(d) | | | 8,662 | |
| | | | | | Goldman Sachs Group Inc. (The): | | | | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 565,000 | | | BBB+ | | 3.200% due 2/23/23 | | | 564,112 | |
| | 1,120,000 | | | BBB+ | | 1.217% due 12/6/23 | | | 1,082,162 | |
| | 265,000 | | | BBB+ | | 0.657% (SOFR + 0.505%) due 9/10/24(c) | | | 254,301 | |
| | 640,000 | | | BBB+ | | 0.925% (SOFR + 0.486%) due 10/21/24(c) | | | 612,979 | |
| | 57,000 | | | BBB+ | | 1.757% (SOFR + 0.730%) due 1/24/25(c) | | | 54,827 | |
| | 183,000 | | | BBB+ | | 3.500% due 4/1/25 | | | 179,159 | |
| | 145,000 | | | BBB+ | | 3.272% (3-Month USD-LIBOR + 1.201%) due 9/29/25(c) | | | 141,349 | |
| | 163,000 | | | BBB+ | | 0.855% (SOFR + 0.609%) due 2/12/26(c) | | | 148,552 | |
See Notes to Financial Statements.
165
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Banks — 9.1% — (continued) | |
| $ | 15,000 | | | BBB+ | | 4.075% (3-Month USD-LIBOR + 1.170%) due 5/15/26(c) | | $ | 14,901 | |
| | 150,000 | | | BBB+ | | 3.500% due 11/16/26 | | | 144,252 | |
| | 220,000 | | | BBB+ | | 1.093% (SOFR + 0.789%) due 12/9/26(c) | | | 196,153 | |
| | 685,000 | | | BBB+ | | 1.431% (SOFR + 0.798%) due 3/9/27(c) | | | 611,268 | |
| | 1,240,000 | | | BBB+ | | 1.542% (SOFR + 0.818%) due 9/10/27(c) | | | 1,092,352 | |
| | 3,883,000 | | | BBB+ | | 2.640% (SOFR + 1.114%) due 2/24/28(c) | | | 3,528,415 | |
| | 1,051,000 | | | BBB+ | | 3.615% (SOFR + 1.846%) due 3/15/28(c) | | | 996,735 | |
| | 2,000 | | | BBB+ | | 4.482% (SOFR + 1.725%) due 8/23/28(c) | | | 1,958 | |
| | 620,000 | | | BBB+ | | 3.814% (3-Month USD-LIBOR + 1.158%) due 4/23/29(c) | | | 581,944 | |
| | 1,330,000 | | | BBB+ | | 4.223% (3-Month USD-LIBOR + 1.301%) due 5/1/29(c) | | | 1,275,017 | |
| | 295,000 | | | BBB+ | | 1.992% (SOFR + 1.090%) due 1/27/32(c) | | | 234,049 | |
| | 2,992,000 | | | BBB+ | | 2.615% (SOFR + 1.281%) due 4/22/32(c) | | | 2,471,014 | |
| | 1,599,000 | | | BBB+ | | 2.383% (SOFR + 1.248%) due 7/21/32(c) | | | 1,298,849 | |
| | 1,900,000 | | | BBB+ | | 2.650% (SOFR + 1.264%) due 10/21/32(c) | | | 1,569,392 | |
| | 1,373,000 | | | BBB+ | | 3.102% (SOFR + 1.410%) due 2/24/33(c) | | | 1,171,030 | |
| | 210,000 | | | BBB+ | | 6.250% due 2/1/41 | | | 234,667 | |
| | 30,000 | | | BBB+ | | 3.210% (SOFR + 1.513%) due 4/22/42(c) | | | 23,041 | |
| | 70,000 | | | BBB+ | | 2.908% (SOFR + 1.472%) due 7/21/42(c) | | | 51,271 | |
| | 100,000 | | | BBB+ | | 4.750% due 10/21/45 | | | 94,782 | |
| | | | | | Subordinated Notes: | | | | |
| | 600,000 | | | BBB | | 4.250% due 10/21/25 | | | 593,008 | |
| | 460,000 | | | BBB | | 6.750% due 10/1/37 | | | 512,354 | |
| | 290,000 | | | BBB | | 5.150% due 5/22/45 | | | 276,329 | |
| | | | | | HSBC Holdings PLC: | | | | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 105,000 | | | A- | | 4.292% (3-Month USD-LIBOR + 1.348%) due 9/12/26(c) | | | 102,115 | |
| | 485,000 | | | A- | | 1.589% (SOFR + 1.290%) due 5/24/27(c) | | | 423,206 | |
| | 1,216,000 | | | A- | | 2.251% (SOFR + 1.100%) due 11/22/27(c) | | | 1,073,831 | |
| | 405,000 | | | A- | | 4.755% (SOFR + 2.110%) due 6/9/28(c) | | | 391,375 | |
| | 2,070,000 | | | A- | | 2.206% (SOFR + 1.285%) due 8/17/29(c) | | | 1,717,487 | |
| | 420,000 | | | A- | | 3.973% (3-Month USD-LIBOR + 1.610%) due 5/22/30(c) | | | 382,587 | |
| | 350,000 | | | A- | | 2.804% (SOFR + 1.187%) due 5/24/32(c) | | | 278,628 | |
| | 230,000 | | | A- | | 2.871% (SOFR + 1.410%) due 11/22/32(c) | | | 183,436 | |
| | | | | | Subordinated Notes: | | | | |
| | 220,000 | | | BBB | | 4.762% (SOFR + 2.530%) due 3/29/33(c) | | | 196,333 | |
| | 190,000 | | | BBB | | 6.500% due 9/15/37 | | | 198,162 | |
| | | | | | Intesa Sanpaolo SpA: | | | | |
| | 200,000 | | | BBB | | Senior Unsecured Notes, 3.375% due 1/12/23(a) | | | 199,033 | |
| | 200,000 | | | BB+ | | Subordinated Notes, 5.017% due 6/26/24(a) | | | 191,462 | |
| | | | | | JPMorgan Chase & Co.: | | | | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 1,497,000 | | | A- | | 3.559% (3-Month USD-LIBOR + 0.730%) due 4/23/24(c) | | | 1,489,903 | |
| | 460,000 | | | A- | | 1.514% (SOFR + 1.455%) due 6/1/24(c) | | | 450,278 | |
| | 430,000 | | | A- | | 4.023% (3-Month USD-LIBOR + 1.000%) due 12/5/24(c) | | | 428,380 | |
| | 240,000 | | | A- | | 3.845% (SOFR + 0.980%) due 6/14/25(c) | | | 237,881 | |
| | 435,000 | | | A- | | 0.969% (3-Month Term SOFR + 0.580%) due 6/23/25(c) | | | 407,883 | |
| | 1,080,000 | | | A- | | 1.561% (SOFR + 0.605%) due 12/10/25(c) | | | 1,009,390 | |
| | 1,173,000 | | | A- | | 2.595% (SOFR + 0.915%) due 2/24/26(c) | | | 1,113,719 | |
| | 671,000 | | | A- | | 2.005% (3-Month Term SOFR + 1.585%) due 3/13/26(c) | | | 629,846 | |
| | 280,000 | | | A- | | 2.083% (SOFR + 1.850%) due 4/22/26(c) | | | 262,150 | |
| | 644,000 | | | A- | | 3.960% (3-Month USD-LIBOR + 1.245%) due 1/29/27(c) | | | 627,644 | |
| | 1,797,000 | | | A- | | 1.578% (SOFR + 0.885%) due 4/22/27(c) | | | 1,606,196 | |
| | 360,000 | | | A- | | 1.470% (SOFR + 0.765%) due 9/22/27(c) | | | 316,106 | |
| | 2,955,000 | | | A- | | 3.782% (3-Month USD-LIBOR + 1.337%) due 2/1/28(c) | | | 2,839,870 | |
| | 1,001,000 | | | A- | | 4.323% (SOFR + 1.560%) due 4/26/28(c) | | | 979,914 | |
See Notes to Financial Statements.
166
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Banks — 9.1% — (continued) | |
| $ | 915,000 | | | A- | | 2.182% (SOFR + 1.890%) due 6/1/28(c) | | $ | 815,054 | |
| | 846,000 | | | A- | | 4.005% (3-Month USD-LIBOR + 1.120%) due 4/23/29(c) | | | 802,820 | |
| | 40,000 | | | A- | | 2.069% (SOFR + 1.015%) due 6/1/29(c) | | | 34,290 | |
| | 480,000 | | | A- | | 4.203% (3-Month USD-LIBOR + 1.260%) due 7/23/29(c) | | | 460,126 | |
| | 697,000 | | | A- | | 4.452% (3-Month USD-LIBOR + 1.330%) due 12/5/29(c) | | | 673,368 | |
| | 717,000 | | | A- | | 3.702% (3-Month USD-LIBOR + 1.160%) due 5/6/30(c) | | | 661,570 | |
| | 400,000 | | | A- | | 4.565% (SOFR + 1.750%) due 6/14/30(c) | | | 389,255 | |
| | 345,000 | | | A- | | 2.739% (SOFR + 1.510%) due 10/15/30(c) | | | 299,640 | |
| | 150,000 | | | A- | | 2.522% (SOFR + 2.040%) due 4/22/31(c) | | | 127,318 | |
| | 2,330,000 | | | A- | | 2.580% (SOFR + 1.250%) due 4/22/32(c) | | | 1,931,522 | |
| | 601,000 | | | A- | | 2.545% (SOFR + 1.180%) due 11/8/32(c) | | | 495,959 | |
| | 403,000 | | | A- | | 2.963% (SOFR + 1.260%) due 1/25/33(c) | | | 343,494 | |
| | 200,000 | | | A- | | 3.964% (3-Month USD-LIBOR + 1.380%) due 11/15/48(c) | | | 168,016 | |
| | 50,000 | | | A- | | 3.109% (SOFR + 2.440%) due 4/22/51(c) | | | 36,289 | |
| | | | | | Subordinated Notes: | | | | |
| | 270,000 | | | BBB+ | | 3.875% due 9/10/24 | | | 269,034 | |
| | 210,000 | | | BBB+ | | 4.250% due 10/1/27 | | | 208,266 | |
| | 490,000 | | | BBB+ | | 4.950% due 6/1/45 | | | 472,149 | |
| | 189,000 | | | BBB+ | | KeyCorp, Senior Unsecured Notes, 2.250% due 4/6/27 | | | 170,289 | |
| | | | | | Lloyds Banking Group PLC: | | | | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 1,875,000 | | | BBB+ | | 2.907% (3-Month USD-LIBOR + 0.810%) due 11/7/23(c) | | | 1,869,639 | |
| | 400,000 | | | BBB+ | | 3.900% due 3/12/24 | | | 398,472 | |
| | 273,000 | | | BBB+ | | 3.750% due 1/11/27 | | | 260,892 | |
| | 350,000 | | | BBB+ | | 1.627% (1-Year CMT Index + 0.850%) due 5/11/27(c) | | | 309,785 | |
| | 468,000 | | | BBB+ | | 4.375% due 3/22/28 | | | 453,270 | |
| | 200,000 | | | BBB+ | | 4.550% due 8/16/28 | | | 194,438 | |
| | 530,000 | | | BBB+ | | 4.976% (1-Year CMT Index + 2.300%) due 8/11/33(c) | | | 506,425 | |
| | 245,000 | | | BBB- | | Subordinated Notes, 4.582% due 12/10/25 | | | 239,098 | |
| | | | | | Macquarie Group Ltd., Senior Unsecured Notes: | | | | |
| | 540,000 | | | BBB+ | | 1.201% (SOFR + 0.694%) due 10/14/25(a)(c) | | | 498,837 | |
| | 540,000 | | | BBB+ | | 1.340% (SOFR + 1.069%) due 1/12/27(a)(c) | | | 473,423 | |
| | 600,000 | | | BBB+ | | 4.442% (SOFR + 2.405%) due 6/21/33(a)(c) | | | 547,122 | |
| | | | | | Mizuho Financial Group Inc., Senior Unsecured Notes: | | | | |
| | 538,000 | | | A- | | 2.839% (SOFR + 1.242%) due 7/16/25(c) | | | 518,378 | |
| | 200,000 | | | A- | | 2.201% (SOFR + 1.772%) due 7/10/31(c) | | | 161,153 | |
| | 745,000 | | | A- | | 1.979% (SOFR + 1.532%) due 9/8/31(c) | | | 590,897 | |
| | 200,000 | | | A- | | 2.260% (1-Year CMT Index + 0.900%) due 7/9/32(c) | | | 158,563 | |
| | 250,000 | | | AA+ | | National Securities Clearing Corp., Senior Unsecured Notes, 1.500% due 4/23/25(a) | | | 234,551 | |
| | | | | | NatWest Group PLC, Senior Unsecured Notes: | | | | |
| | 200,000 | | | BBB | | 4.519% (3-Month USD-LIBOR + 1.550%) due 6/25/24(c) | | | 198,984 | |
| | 990,000 | | | BBB | | 4.269% (3-Month USD-LIBOR + 1.762%) due 3/22/25(c) | | | 979,583 | |
| | 400,000 | | | BBB | | 5.076% (3-Month USD-LIBOR + 1.905%) due 1/27/30(c) | | | 389,919 | |
| | 33,000 | | | A+ | | Northern Trust Corp., Senior Unsecured Notes, 3.150% due 5/3/29 | | | 30,957 | |
| | | | | | Royal Bank of Canada, Senior Unsecured Notes: | | | | |
| | 260,000 | | | A | | 1.600% due 4/17/23 | | | 256,863 | |
| | 160,000 | | | A | | 1.150% due 6/10/25 | | | 147,579 | |
| | 30,000 | | | BBB+ | | Santander Holdings USA Inc., Senior Unsecured Notes, 4.500% due 7/17/25 | | | 29,888 | |
| | | | | | Santander UK Group Holdings PLC, Senior Unsecured Notes: | | | | |
| | 180,000 | | | BBB | | 4.796% (3-Month USD-LIBOR + 1.570%) due 11/15/24(c) | | | 179,462 | |
| | 200,000 | | | BBB | | 1.089% (SOFR + 0.787%) due 3/15/25(c) | | | 187,288 | |
| | 990,000 | | | BBB | | 1.532% (1-Year CMT Index + 1.250%) due 8/21/26(c) | | | 886,212 | |
| | 1,440,000 | | | BBB | | 1.673% (SOFR + 0.989%) due 6/14/27(c) | | | 1,249,845 | |
| | 535,000 | | | BBB- | | Santander UK PLC, Subordinated Notes, 5.000% due 11/7/23(a) | | | 535,554 | |
See Notes to Financial Statements.
167
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Banks — 9.1% — (continued) | |
| | | | | | State Street Corp., Senior Unsecured Notes: | | | | |
| $ | 238,000 | | | A | | 4.421% (SOFR + 1.605%) due 5/13/33(c) | | $ | 235,189 | |
| | 10,000 | | | A | | 4.164% (SOFR + 1.726%) due 8/4/33(c) | | | 9,692 | |
| | | | | | Sumitomo Mitsui Financial Group Inc., Senior Unsecured Notes: | | | | |
| | 96,000 | | | A- | | 3.544% due 1/17/28 | | | 91,210 | |
| | 200,000 | | | A- | | 2.750% due 1/15/30 | | | 172,999 | |
| | 200,000 | | | A+ | | Swedbank AB, Senior Unsecured Notes, 1.300% due 6/2/23(a) | | | 195,843 | |
| | 96,000 | | | BBB- | | Synovus Financial Corp., Senior Unsecured Notes, 3.125% due 11/1/22 | | | 95,892 | |
| | | | | | Toronto-Dominion Bank (The), Senior Unsecured Notes: | | | | |
| | 310,000 | | | A | | 0.750% due 6/12/23 | | | 303,033 | |
| | 150,000 | | | A | | 1.150% due 6/12/25 | | | 138,269 | |
| | 360,000 | | | A | | 4.456% due 6/8/32 | | | 354,102 | |
| | 1,070,000 | | | BB | | UBS Group AG, Junior Subordinated Notes, 7.000%
(5-Year USD Swap Rate + 4.344%)(a)(c)(d) | | | 1,047,837 | |
| | | | | | US Bancorp: | | | | |
| | 350,000 | | | A+ | | Senior Unsecured Notes, 1.450% due 5/12/25 | | | 328,176 | |
| | 56,000 | | | A | | Subordinated Notes, 3.100% due 4/27/26 | | | 54,003 | |
| | | | | | Wells Fargo & Co.: | | | | |
| | 50,000 | | | BB+ | | Junior Subordinated Notes, 5.875% (3-Month USD-LIBOR + 3.990%)(c)(d) | | | 49,874 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 270,000 | | | BBB+ | | 3.750% due 1/24/24 | | | 269,409 | |
| | 300,000 | | | BBB+ | | 2.188% (SOFR + 2.000%) due 4/30/26(c) | | | 281,035 | |
| | 29,000 | | | BBB+ | | 4.540% (SOFR + 1.560%) due 8/15/26(c) | | | 28,811 | |
| | 260,000 | | | BBB+ | | 3.000% due 10/23/26 | | | 246,140 | |
| | 379,000 | | | BBB+ | | 3.526% (SOFR + 1.510%) due 3/24/28(c) | | | 358,895 | |
| | 2,759,000 | | | BBB+ | | 3.584% (3-Month USD-LIBOR + 1.310%) due 5/22/28(c) | | | 2,608,835 | |
| | 916,000 | | | BBB+ | | 4.150% due 1/24/29 | | | 890,486 | |
| | 650,000 | | | BBB+ | | 2.879% (SOFR + 1.432%) due 10/30/30(c) | | | 571,915 | |
| | 100,000 | | | BBB+ | | 4.478% (SOFR + 4.032%) due 4/4/31(c) | | | 96,537 | |
| | 1,870,000 | | | BBB+ | | 3.350% (SOFR + 1.500%) due 3/2/33(c) | | | 1,645,610 | |
| | 811,000 | | | BBB+ | | 4.897% (SOFR + 2.100%) due 7/25/33(c) | | | 799,237 | |
| | 2,300,000 | | | BBB+ | | 5.013% (SOFR + 4.502%) due 4/4/51(c) | | | 2,258,752 | |
| | 49,000 | | | BBB+ | | 4.611% (SOFR + 2.130%) due 4/25/53(c) | | | 45,385 | |
| | | | | | Subordinated Notes: | | | | |
| | 169,000 | | | BBB | | 4.480% due 1/16/24 | | | 170,240 | |
| | 230,000 | | | BBB | | 5.375% due 11/2/43 | | | 230,578 | |
| | 110,000 | | | BBB | | 5.606% due 1/15/44 | | | 111,889 | |
| | 280,000 | | | BBB | | 4.650% due 11/4/44 | | | 253,787 | |
| | 450,000 | | | BBB | | 4.900% due 11/17/45 | | | 418,085 | |
| | 40,000 | | | BBB | | 4.400% due 6/14/46 | | | 35,214 | |
| | 160,000 | | | BBB | | 4.750% due 12/7/46 | | | 146,875 | |
| | | | | | | | | | |
| | | | | | Total Banks | | | 123,437,182 | |
| | | | | | | | | | |
|
| Beverages — 0.5% | |
| | | | | | Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide Inc., Company Guaranteed Notes: | | | | |
| | 340,000 | | | BBB+ | | 3.650% due 2/1/26 | | | 334,737 | |
| | 775,000 | | | BBB+ | | 4.700% due 2/1/36 | | | 749,266 | |
| | 1,540,000 | | | BBB+ | | 4.900% due 2/1/46 | | | 1,468,484 | |
| | | | | | Anheuser-Busch InBev Worldwide Inc., Company Guaranteed Notes: | | | | |
| | 140,000 | | | BBB+ | | 4.000% due 4/13/28 | | | 138,722 | |
| | 81,000 | | | BBB+ | | 4.750% due 1/23/29 | | | 82,857 | |
| | 260,000 | | | BBB+ | | 3.500% due 6/1/30 | | | 245,212 | |
| | 160,000 | | | BBB+ | | 4.350% due 6/1/40 | | | 146,241 | |
| | 44,000 | | | BBB+ | | 4.600% due 4/15/48 | | | 40,105 | |
| | 270,000 | | | BBB+ | | 5.550% due 1/23/49 | | | 282,192 | |
See Notes to Financial Statements.
168
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Beverages — 0.5% — (continued) | |
| $ | 270,000 | | | BBB+ | | 4.500% due 6/1/50 | | $ | 245,816 | |
| | 2,000 | | | BBB+ | | 4.750% due 4/15/58 | | | 1,835 | |
| | 650,000 | | | BBB- | | Bacardi Ltd., Company Guaranteed Notes, 4.450% due 5/15/25(a) | | | 639,557 | |
| | | | | | Coca-Cola Co. (The), Senior Unsecured Notes: | | | | |
| | 110,000 | | | A+ | | 3.375% due 3/25/27 | | | 108,968 | |
| | 160,000 | | | A+ | | 1.450% due 6/1/27 | | | 144,899 | |
| | 10,000 | | | A+ | | 2.500% due 6/1/40 | | | 7,755 | |
| | 60,000 | | | A+ | | 2.600% due 6/1/50 | | | 44,011 | |
| | | | | | Constellation Brands Inc., Senior Unsecured Notes: | | | | |
| | 100,000 | | | BBB | | 3.600% due 5/9/24 | | | 99,377 | |
| | 130,000 | | | BBB | | 4.350% due 5/9/27 | | | 129,841 | |
| | 30,000 | | | BBB | | 2.250% due 8/1/31 | | | 24,554 | |
| | 455,000 | | | BBB | | 4.750% due 5/9/32 | | | 450,118 | |
| | | | | | PepsiCo Inc., Senior Unsecured Notes: | | | | |
| | 180,000 | | | A+ | | 0.750% due 5/1/23 | | | 176,955 | |
| | 20,000 | | | A+ | | 2.625% due 3/19/27 | | | 19,013 | |
| | 150,000 | | | A+ | | 1.625% due 5/1/30 | | | 127,165 | |
| | 60,000 | | | A+ | | 2.875% due 10/15/49 | | | 47,033 | |
| | 355,000 | | | BBB | | Suntory Holdings Ltd., Senior Unsecured Notes, 2.250% due 10/16/24(a) | | | 336,332 | |
| | | | | | | | | | |
| | | | | | Total Beverages | | | 6,091,045 | |
| | | | | | | | | | |
|
| Biotechnology — 0.1% | |
| | | | | | Amgen Inc., Senior Unsecured Notes: | | | | |
| | 70,000 | | | A- | | 3.625% due 5/22/24 | | | 69,783 | |
| | 358,000 | | | A- | | 3.000% due 2/22/29 | | | 330,040 | |
| | 92,000 | | | A- | | 2.800% due 8/15/41 | | | 69,308 | |
| | 122,000 | | | A- | | 4.400% due 5/1/45 | | | 110,302 | |
| | 33,000 | | | A- | | 4.663% due 6/15/51 | | | 31,086 | |
| | 91,000 | | | A- | | 4.200% due 2/22/52 | | | 79,683 | |
| | 177,000 | | | BBB+ | | Biogen Inc., Senior Unsecured Notes, 3.150% due 5/1/50 | | | 120,991 | |
| | 65,000 | | | A+ | | Celgene Corp., Senior Unsecured Notes, 3.900% due 2/20/28 | | | 64,752 | |
| | | | | | Gilead Sciences Inc., Senior Unsecured Notes: | | | | |
| | 160,000 | | | BBB+ | | 3.700% due 4/1/24 | | | 159,800 | |
| | 60,000 | | | BBB+ | | 3.650% due 3/1/26 | | | 59,041 | |
| | 64,000 | | | BBB+ | | 2.600% due 10/1/40 | | | 46,761 | |
| | 218,000 | | | BBB+ | | 4.800% due 4/1/44 | | | 210,320 | |
| | 130,000 | | | BBB+ | | 4.750% due 3/1/46 | | | 125,043 | |
| | 275,000 | | | B | | Grifols Escrow Issuer SA, Senior Unsecured Notes, 4.750% due 10/15/28(a) | | | 229,591 | |
| | | | | | | | | | |
| | | | | | Total Biotechnology | | | 1,706,501 | |
| | | | | | | | | | |
|
| Building Materials — 0.0% | |
| | 30,000 | | | BB- | | Builders FirstSource Inc., Company Guaranteed Notes, 4.250% due 2/1/32(a) | | | 23,984 | |
| | | | | | | | | | |
|
| Chemicals — 0.2% | |
| | 58,000 | | | BBB | | Dow Chemical Co., Senior Unsecured Notes, 5.550% due 11/30/48 | | | 58,809 | |
| | 479,000 | | | BBB+ | | DuPont de Nemours Inc., Senior Unsecured Notes, 4.493% due 11/15/25 | | | 483,009 | |
| | 4,000 | | | BBB | | Eastman Chemical Co., Senior Unsecured Notes, 4.500% due 12/1/28 | | | 3,917 | |
| | 69,000 | | | A- | | Ecolab Inc., Senior Unsecured Notes, 2.750% due 8/18/55 | | | 48,639 | |
| | 400,000 | | | BBB | | Equate Petrochemical BV, Company Guaranteed Notes, 4.250% due 11/3/26(a) | | | 393,558 | |
| | 841,000 | | | BBB | | International Flavors & Fragrances Inc., Senior Unsecured Notes, 2.300% due 11/1/30(a) | | | 691,477 | |
| | 87,000 | | | BBB | | LYB International Finance III LLC, Company Guaranteed Notes, 4.200% due 5/1/50 | | | 70,744 | |
| | 30,000 | | | BBB | | Monsanto Co., Senior Unsecured Notes, 4.400% due 7/15/44 | | | 22,509 | |
| | | | | | OCP SA, Senior Unsecured Notes: | | | | |
| | 200,000 | | | BB+ | | 4.500% due 10/22/25(a) | | | 196,167 | |
| | 200,000 | | | BB+ | | 3.750% due 6/23/31(a) | | | 165,222 | |
| | 200,000 | | | BB+ | | 5.125% due 6/23/51(a) | | | 144,242 | |
See Notes to Financial Statements.
169
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Chemicals — 0.2% — (continued) | |
| | | | | | Orbia Advance Corp. SAB de CV, Company Guaranteed Notes: | | | | |
| $ | 270,000 | | | BBB- | | 1.875% due 5/11/26(a) | | $ | 241,812 | |
| | 260,000 | | | BBB- | | 2.875% due 5/11/31(a) | | | 215,226 | |
| | 34,000 | | | BBB | | Sherwin-Williams Co. (The), Senior Unsecured Notes, 4.500% due 6/1/47 | | | 30,441 | |
| | 84,000 | | | BBB | | Westlake Corp., Senior Unsecured Notes, 3.375% due 8/15/61 | | | 55,553 | |
| | | | | | | | | | |
| | | | | | Total Chemicals | | | 2,821,325 | |
| | | | | | | | | | |
|
| Commercial Services — 0.3% | |
| | 550,000 | | | BB- | | ADT Security Corp. (The), Senior Secured Notes, 4.125% due 6/15/23 | | | 543,835 | |
| | | | | | Block Inc., Senior Unsecured Notes: | | | | |
| | 189,000 | | | BB | | 2.750% due 6/1/26 | | | 168,099 | |
| | 288,000 | | | BB | | 3.500% due 6/1/31 | | | 237,351 | |
| | | | | | Cintas Corp. No 2, Company Guaranteed Notes: | | | | |
| | 110,000 | | | A- | | 3.700% due 4/1/27 | | | 108,675 | |
| | 90,000 | | | A- | | 4.000% due 5/1/32 | | | 88,438 | |
| | | | | | Global Payments Inc., Senior Unsecured Notes: | | | | |
| | 225,000 | | | BBB- | | 4.950% due 8/15/27 | | | 223,357 | |
| | 522,000 | | | BBB- | | 3.200% due 8/15/29 | | | 457,450 | |
| | 345,000 | | | BBB- | | 2.900% due 5/15/30 | | | 291,447 | |
| | 230,000 | | | BBB- | | 5.400% due 8/15/32 | | | 226,239 | |
| | 283,000 | | | BBB- | | 5.950% due 8/15/52 | | | 274,738 | |
| | | | | | Moody’s Corp., Senior Unsecured Notes: | | | | |
| | 39,000 | | | BBB+ | | 3.250% due 1/15/28 | | | 36,834 | |
| | 89,000 | | | BBB+ | | 3.750% due 2/25/52 | | | 72,988 | |
| | 108,000 | | | BBB+ | | 3.100% due 11/29/61 | | | 74,304 | |
| | | | | | PayPal Holdings Inc., Senior Unsecured Notes: | | | | |
| | 140,000 | | | A- | | 1.650% due 6/1/25 | | | 131,941 | |
| | 100,000 | | | A- | | 2.300% due 6/1/30 | | | 86,222 | |
| | | | | | RELX Capital Inc., Company Guaranteed Notes: | | | | |
| | 305,000 | | | BBB+ | | 3.500% due 3/16/23 | | | 304,201 | |
| | 59,000 | | | BBB+ | | 4.000% due 3/18/29 | | | 57,186 | |
| | 447,000 | | | BBB+ | | 3.000% due 5/22/30 | | | 402,883 | |
| | 60,000 | | | B | | Rent-A-Center Inc., Company Guaranteed Notes, 6.375% due 2/15/29(a) | | | 50,693 | |
| | 450,000 | | | A3(b) | | S&P Global Inc., Company Guaranteed Notes, 4.750% due 8/1/28(a) | | | 461,379 | |
| | | | | | United Rentals North America Inc.: | | | | |
| | | | | | Company Guaranteed Notes: | | | | |
| | 50,000 | | | BB+ | | 3.875% due 2/15/31 | | | 43,304 | |
| | 120,000 | | | BB+ | | 3.750% due 1/15/32 | | | 99,966 | |
| | 20,000 | | | BBB- | | Secured Notes, 3.875% due 11/15/27 | | | 18,606 | |
| | 60,000 | | | B- | | WASH Multifamily Acquisition Inc., Senior Secured Notes, 5.750% due 4/15/26(a) | | | 57,917 | |
| | | | | | | | | | |
| | | | | | Total Commercial Services | | | 4,518,053 | |
| | | | | | | | | | |
|
| Computers — 0.4% | |
| | | | | | Apple Inc., Senior Unsecured Notes: | | | | |
| | 300,000 | | | AA+ | | 2.400% due 5/3/23 | | | 298,047 | |
| | 290,000 | | | AA+ | | 1.125% due 5/11/25 | | | 271,270 | |
| | 280,000 | | | AA+ | | 2.450% due 8/4/26 | | | 266,787 | |
| | 550,000 | | | AA+ | | 3.350% due 2/9/27 | | | 541,656 | |
| | 360,000 | | | AA+ | | 2.900% due 9/12/27 | | | 345,457 | |
| | 55,000 | | | AA+ | | 3.850% due 5/4/43 | | | 50,812 | |
| | | | | | Dell International LLC/EMC Corp.: | | | | |
| | 71,000 | | | BBB | | Company Guaranteed Notes, 3.450% due 12/15/51(a) | | | 46,521 | |
| | 52,000 | | | BBB | | Senior Unsecured Notes, 8.350% due 7/15/46 | | | 63,201 | |
| | 41,000 | | | BBB | | Hewlett Packard Enterprise Co., Senior Unsecured Notes, 6.350% due 10/15/45 | | | 41,176 | |
| | 59,000 | | | BBB | | HP Inc., Senior Unsecured Notes, 2.650% due 6/17/31 | | | 47,087 | |
See Notes to Financial Statements.
170
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Computers — 0.4% — (continued) | |
| | | | | | International Business Machines Corp., Senior Unsecured Notes: | | | | |
| $ | 680,000 | | | A- | | 3.000% due 5/15/24 | | $ | 672,312 | |
| | 101,000 | | | A- | | 3.300% due 1/27/27 | | | 98,010 | |
| | 100,000 | | | A- | | 4.250% due 5/15/49 | | | 89,334 | |
| | 118,000 | | | A- | | 3.430% due 2/9/52 | | | 90,410 | |
| | 800,000 | | | BBB- | | Leidos Inc., Company Guaranteed Notes, 4.375% due 5/15/30 | | | 741,321 | |
| | 235,000 | | | BBB- | | Lenovo Group Ltd., Senior Unsecured Notes, 6.536% due 7/27/32(a) | | | 233,788 | |
| | 850,000 | | | BB+ | | Seagate HDD Cayman, Company Guaranteed Notes, 4.091% due 6/1/29 | | | 727,885 | |
| | 315,000 | | | BB+ | | Western Digital Corp., Senior Unsecured Notes, 2.850% due 2/1/29 | | | 257,396 | |
| | | | | | | | | | |
| | | | | | Total Computers | | | 4,882,470 | |
| | | | | | | | | | |
|
| Cosmetics/Personal Care — 0.0% | |
| | 560,000 | | | BBB | | GSK Consumer Healthcare Capital US LLC, Company Guaranteed Notes, 3.625% due 3/24/32(a) | | | 498,465 | |
| | | | | | Procter & Gamble Co. (The), Senior Unsecured Notes: | | | | |
| | 30,000 | | | AA- | | 2.800% due 3/25/27 | | | 28,964 | |
| | 80,000 | | | AA- | | 3.000% due 3/25/30 | | | 75,582 | |
| | | | | | | | | | |
| | | | | | Total Cosmetics/Personal Care | | | 603,011 | |
| | | | | | | | | | |
|
| Distribution/Wholesale — 0.0% | |
| | 10,000 | | | BB- | | H&E Equipment Services Inc., Company Guaranteed Notes, 3.875% due 12/15/28(a) | | | 8,461 | |
| | | | | | | | | | |
|
| Diversified Financial Services — 0.9% | |
| | | | | | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Company Guaranteed Notes: | | | | |
| | 280,000 | | | BBB | | 4.875% due 1/16/24 | | | 278,895 | |
| | 190,000 | | | BBB | | 3.150% due 2/15/24 | | | 184,360 | |
| | 2,180,000 | | | BBB | | 2.450% due 10/29/26 | | | 1,926,425 | |
| | 540,000 | | | BBB | | 3.000% due 10/29/28 | | | 460,293 | |
| | 1,215,000 | | | BBB | | 3.300% due 1/30/32 | | | 983,786 | |
| | | | | | Air Lease Corp., Senior Unsecured Notes: | | | | |
| | 495,000 | | | BBB | | 3.250% due 3/1/25 | | | 473,555 | |
| | 200,000 | | | BBB | | 3.375% due 7/1/25 | | | 190,262 | |
| | 725,000 | | | BBB | | 2.875% due 1/15/26 | | | 670,034 | |
| | | | | | American Express Co., Senior Unsecured Notes: | | | | |
| | 190,000 | | | BBB+ | | 3.375% due 5/3/24 | | | 187,989 | |
| | 144,000 | | | BBB+ | | 2.550% due 3/4/27 | | | 134,003 | |
| | 300,000 | | | BBB+ | | 4.050% due 5/3/29 | | | 291,828 | |
| | | | | | Avolon Holdings Funding Ltd.: | | | | |
| | | | | | Company Guaranteed Notes: | | | | |
| | 285,000 | | | BBB- | | 2.875% due 2/15/25(a) | | | 261,734 | |
| | 75,000 | | | BBB- | | 3.250% due 2/15/27(a) | | | 65,035 | |
| | 1,563,000 | | | BBB- | | 2.528% due 11/18/27(a) | | | 1,280,037 | |
| | 230,000 | | | BBB- | | Senior Unsecured Notes, 2.750% due 2/21/28(a) | | | 187,909 | |
| | 132,000 | | | BBB | | Capital One Financial Corp., Senior Unsecured Notes, 1.878% (SOFR + 0.855%) due 11/2/27(c) | | | 116,576 | |
| | 435,000 | | | A | | Charles Schwab Corp. (The), Senior Unsecured Notes, 2.900% due 3/3/32 | | | 385,006 | |
| | 100,000 | | | AA- | | CME Group Inc., Senior Unsecured Notes, 3.750% due 6/15/28 | | | 98,475 | |
| | 255,000 | | | BBB- | | Discover Financial Services, Senior Unsecured Notes, 4.500% due 1/30/26 | | | 250,147 | |
| | | | | | Intercontinental Exchange Inc., Senior Unsecured Notes: | | | | |
| | 339,000 | | | A- | | 4.350% due 6/15/29 | | | 336,364 | |
| | 397,000 | | | A- | | 2.100% due 6/15/30 | | | 336,496 | |
| | 480,000 | | | A- | | 1.850% due 9/15/32 | | | 380,853 | |
| | 680,000 | | | A- | | 4.600% due 3/15/33 | | | 676,690 | |
| | 60,000 | | | A- | | 4.950% due 6/15/52 | | | 60,251 | |
| | 30,000 | | | A | | KKR Group Finance Co. II LLC, Company Guaranteed Notes, 5.500% due 2/1/43(a) | | | 29,671 | |
| | 650,000 | | | NR | | Lehman Brothers Holdings Inc., Subordinated Notes, 6.750% due 12/18/17#(f)(g) | | | – | |
See Notes to Financial Statements.
171
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Diversified Financial Services — 0.9% — (continued) | |
| $ | 535,000 | | | A | | LSEGA Financing PLC, Company Guaranteed Notes, 2.000% due 4/6/28(a) | | $ | 469,879 | |
| | 30,000 | | | A+ | | Mastercard Inc., Senior Unsecured Notes, 3.850% due 3/26/50 | | | 27,331 | |
| | | | | | Nomura Holdings Inc., Senior Unsecured Notes: | | | | |
| | 230,000 | | | BBB+ | | 3.103% due 1/16/30 | | | 196,492 | |
| | 200,000 | | | BBB+ | | 2.608% due 7/14/31 | | | 160,640 | |
| | 60,000 | | | BBB- | | Park Aerospace Holdings Ltd., Company Guaranteed Notes, 5.500% due 2/15/24(a) | | | 59,306 | |
| | 220,000 | | | BBB+ | | Raymond James Financial Inc., Senior Unsecured Notes, 4.950% due 7/15/46 | | | 214,613 | |
| | | | | | Synchrony Financial, Senior Unsecured Notes: | | | | |
| | 6,000 | | | BBB- | | 4.500% due 7/23/25 | | | 5,880 | |
| | 47,000 | | | BBB- | | 3.700% due 8/4/26 | | | 44,150 | |
| | 150,000 | | | AA | | USAA Capital Corp., Senior Unsecured Notes, 2.125% due 5/1/30(a) | | | 128,843 | |
| | | | | | Visa Inc., Senior Unsecured Notes: | | | | |
| | 420,000 | | | AA- | | 3.150% due 12/14/25 | | | 411,018 | |
| | 110,000 | | | AA- | | 2.050% due 4/15/30 | | | 96,817 | |
| | 310,000 | | | AA- | | 4.300% due 12/14/45 | | | 299,692 | |
| | | | | | | | | | |
| | | | | | Total Diversified Financial Services | | | 12,361,335 | |
| | | | | | | | | | |
|
| Electric — 1.3% | |
| | | | | | AEP Texas Inc., Senior Unsecured Notes: | | | | |
| | 82,000 | | | A- | | 3.450% due 1/15/50 | | | 63,339 | |
| | 191,000 | | | A- | | 3.450% due 5/15/51 | | | 148,870 | |
| | | | | | AEP Transmission Co. LLC, Senior Unsecured Notes: | | | | |
| | 505,000 | | | A- | | 3.750% due 12/1/47 | | | 423,050 | |
| | 120,000 | | | A- | | 2.750% due 8/15/51 | | | 84,540 | |
| | 200,000 | | | A- | | 4.500% due 6/15/52 | | | 191,726 | |
| | | | | | Alabama Power Co., Senior Unsecured Notes: | | | | |
| | 17,000 | | | A- | | 5.200% due 6/1/41 | | | 17,163 | |
| | 64,000 | | | A- | | 3.700% due 12/1/47 | | | 53,481 | |
| | 60,000 | | | A- | | 3.450% due 10/1/49 | | | 47,685 | |
| | 161,000 | | | A | | Ameren Illinois Co., 1st Mortgage Notes, 3.250% due 3/15/50 | | | 125,318 | |
| | 150,000 | | | BBB | | American Transmission Systems Inc., Senior Unsecured Notes, 2.650% due 1/15/32(a) | | | 126,700 | |
| | | | | | Baltimore Gas & Electric Co., Senior Unsecured Notes: | | | | |
| | 6,000 | | | A | | 3.500% due 8/15/46 | | | 4,956 | |
| | 150,000 | | | A | | 3.750% due 8/15/47 | | | 129,062 | |
| | 130,000 | | | A | | 3.200% due 9/15/49 | | | 101,320 | |
| | 67,000 | | | A | | 2.900% due 6/15/50 | | | 49,466 | |
| | 223,000 | | | A | | 4.550% due 6/1/52 | | | 213,745 | |
| | | | | | CenterPoint Energy Houston Electric LLC: | | | | |
| | | | | | 1st Mortgage Notes: | | | | |
| | 146,000 | | | A | | 3.350% due 4/1/51 | | | 118,725 | |
| | 126,000 | | | A | | 3.600% due 3/1/52 | | | 107,285 | |
| | 15,000 | | | A | | General Refinance Mortgage, 3.950% due 3/1/48 | | | 13,488 | |
| | | | | | Commonwealth Edison Co., 1st Mortgage Notes: | | | | |
| | 78,000 | | | A | | 3.125% due 3/15/51 | | | 60,055 | |
| | 128,000 | | | A | | 3.850% due 3/15/52 | | | 112,361 | |
| | | | | | Consolidated Edison Co. of New York Inc., Senior Unsecured Notes: | | | | |
| | 60,000 | | | A- | | 3.350% due 4/1/30 | | | 56,515 | |
| | 40,000 | | | A- | | 3.950% due 4/1/50 | | | 34,780 | |
| | | | | | Consumers Energy Co., 1st Mortgage Notes: | | | | |
| | 256,000 | | | A | | 3.500% due 8/1/51 | | | 212,630 | |
| | 91,000 | | | A | | 2.650% due 8/15/52 | | | 64,259 | |
| | | | | | DTE Electric Co., General Refinance Mortgage: | | | | |
| | 30,000 | | | A | | 4.050% due 5/15/48 | | | 27,373 | |
| | 250,000 | | | A | | 3.950% due 3/1/49 | | | 225,828 | |
| | 48,000 | | | A | | 3.650% due 3/1/52 | | | 41,184 | |
See Notes to Financial Statements.
172
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Electric — 1.3% — (continued) | |
| | | | | | Duke Energy Carolinas LLC, 1st Mortgage Notes: | | | | |
| $ | 22,000 | | | A | | 3.950% due 11/15/28 | | $ | 21,685 | |
| | 500,000 | | | A | | 4.250% due 12/15/41 | | | 460,851 | |
| | 205,000 | | | A | | 3.200% due 8/15/49 | | | 160,892 | |
| | 395,000 | | | A | | 3.550% due 3/15/52 | | | 327,229 | |
| | | | | | Duke Energy Corp., Senior Unsecured Notes: | | | | |
| | 159,000 | | | BBB | | 2.450% due 6/1/30 | | | 135,230 | |
| | 500,000 | | | BBB | | 2.550% due 6/15/31 | | | 419,979 | |
| | | | | | Duke Energy Florida LLC, 1st Mortgage Notes: | | | | |
| | 334,000 | | | A | | 2.500% due 12/1/29 | | | 298,202 | |
| | 504,000 | | | A | | 1.750% due 6/15/30 | | | 420,477 | |
| | 24,000 | | | A | | 4.200% due 7/15/48 | | | 22,137 | |
| | 335,000 | | | A | | Duke Energy Ohio Inc., 1st Mortgage Notes, 3.650% due 2/1/29 | | | 320,252 | |
| | | | | | Duke Energy Progress LLC, 1st Mortgage Notes: | | | | |
| | 130,000 | | | A | | 3.450% due 3/15/29 | | | 124,350 | |
| | 162,000 | | | A | | 4.100% due 5/15/42 | | | 145,788 | |
| | 48,000 | | | A | | 4.100% due 3/15/43 | | | 43,121 | |
| | 67,000 | | | A | | 2.900% due 8/15/51 | | | 49,267 | |
| | | | | | Edison International, Senior Unsecured Notes: | | | | |
| | 91,000 | | | BBB- | | 4.950% due 4/15/25 | | | 91,203 | |
| | 72,000 | | | BBB- | | 5.750% due 6/15/27 | | | 73,133 | |
| | 87,000 | | | A | | Entergy Arkansas LLC, 1st Mortgage Notes, 3.350% due 6/15/52 | | | 68,070 | |
| | | | | | Entergy Louisiana LLC: | | | | |
| | | | | | 1st Mortgage Notes: | | | | |
| | 168,000 | | | A | | 1.600% due 12/15/30 | | | 134,866 | |
| | 513,000 | | | A | | 2.350% due 6/15/32 | | | 425,940 | |
| | 60,000 | | | A | | 2.900% due 3/15/51 | | | 43,280 | |
| | 47,000 | | | A | | Collateral Trust, 3.050% due 6/1/31 | | | 42,226 | |
| | 98,000 | | | A | | Entergy Mississippi LLC, 1st Mortgage Notes, 3.500% due 6/1/51 | | | 79,266 | |
| | 125,000 | | | A | | Entergy Texas Inc., 1st Mortgage Notes, 3.450% due 12/1/27 | | | 120,201 | |
| | | | | | Exelon Corp., Senior Unsecured Notes: | | | | |
| | 143,000 | | | BBB | | 5.625% due 6/15/35 | | | 150,703 | |
| | 143,000 | | | BBB | | 4.700% due 4/15/50 | | | 135,187 | |
| | 114,000 | | | BBB | | 4.100% due 3/15/52(a) | | | 99,140 | |
| | | | | | FirstEnergy Corp., Senior Unsecured Notes: | | | | |
| | 60,000 | | | BB+ | | 1.600% due 1/15/26 | | | 54,250 | |
| | 310,000 | | | BB+ | | 4.400% due 7/15/27 | | | 294,131 | |
| | | | | | Florida Power & Light Co., 1st Mortgage Notes: | | | | |
| | 453,000 | | | A+ | | 3.950% due 3/1/48 | | | 414,360 | |
| | 540,000 | | | A+ | | 3.990% due 3/1/49 | | | 495,652 | |
| | 400,000 | | | BBB+ | | ITC Holdings Corp., Senior Unsecured Notes, 4.050% due 7/1/23 | | | 400,088 | |
| | 700,000 | | | BBB | | Jersey Central Power & Light Co., Senior Unsecured Notes, 4.700% due 4/1/24(a) | | | 696,957 | |
| | 485,000 | | | BBB | | Metropolitan Edison Co., Senior Unsecured Notes, 4.300% due 1/15/29(a) | | | 475,317 | |
| | | | | | MidAmerican Energy Co., 1st Mortgage Notes: | | | | |
| | 255,000 | | | A+ | | 3.100% due 5/1/27 | | | 244,889 | |
| | 100,000 | | | A+ | | 3.650% due 4/15/29 | | | 97,285 | |
| | 100,000 | | | A+ | | 3.150% due 4/15/50 | | | 78,314 | |
| | 430,000 | | | BBB+ | | NextEra Energy Capital Holdings Inc., Company Guaranteed Notes, 5.000% due 7/15/32 | | | 439,384 | |
| | | | | | Northern States Power Co., 1st Mortgage Notes: | | | | |
| | 114,000 | | | A | | 2.900% due 3/1/50 | | | 86,111 | |
| | 85,000 | | | A | | 2.600% due 6/1/51 | | | 60,566 | |
| | 50,000 | | | A | | 3.200% due 4/1/52 | | | 39,402 | |
| | | | | | NRG Energy Inc., Senior Secured Notes: | | | | |
| | 155,000 | | | BBB- | | 2.450% due 12/2/27(a) | | | 133,083 | |
| | 122,000 | | | BBB- | | 4.450% due 6/15/29(a) | | | 110,826 | |
See Notes to Financial Statements.
173
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Electric — 1.3% — (continued) | |
| | | | | | Ohio Power Co., Senior Unsecured Notes: | | | | |
| $ | 29,000 | | | A- | | 4.000% due 6/1/49 | | $ | 24,612 | |
| | 118,000 | | | A- | | 2.900% due 10/1/51 | | | 84,900 | |
| | | | | | Oncor Electric Delivery Co. LLC, Senior Secured Notes: | | | | |
| | 168,000 | | | A+ | | 3.700% due 11/15/28 | | | 163,234 | |
| | 90,000 | | | A+ | | 4.150% due 6/1/32(a) | | | 90,082 | |
| | 98,000 | | | A+ | | 3.100% due 9/15/49 | | | 76,349 | |
| | 460,000 | | | A+ | | 4.600% due 6/1/52(a) | | | 454,590 | |
| | | | | | Pacific Gas & Electric Co., 1st Mortgage Notes: | | | | |
| | 190,000 | | | BBB- | | 4.950% due 6/8/25 | | | 189,252 | |
| | 500,000 | | | BBB- | | 5.450% due 6/15/27 | | | 492,811 | |
| | 14,000 | | | BBB- | | 2.500% due 2/1/31 | | | 10,735 | |
| | 83,000 | | | BBB- | | 4.950% due 7/1/50 | | | 66,568 | |
| | | | | | PECO Energy Co., 1st Mortgage Notes: | | | | |
| | 148,000 | | | A | | 3.050% due 3/15/51 | | | 112,760 | |
| | 506,000 | | | A | | 4.600% due 5/15/52 | | | 502,177 | |
| | 560,000 | | | BBB | | Pennsylvania Electric Co., Senior Unsecured Notes, 4.150% due 4/15/25(a) | | | 546,043 | |
| | 500,000 | | | BBB | | Public Service Co. of New Mexico, Senior Unsecured Notes, 3.850% due 8/1/25 | | | 477,442 | |
| | | | | | Public Service Electric & Gas Co., 1st Mortgage Notes: | | | | |
| | 23,000 | | | A | | 3.000% due 5/15/27 | | | 22,127 | |
| | 199,000 | | | A | | 3.200% due 5/15/29 | | | 188,952 | |
| | | | | | Southern California Edison Co., 1st Mortgage Notes: | | | | |
| | 384,000 | | | A- | | 3.700% due 8/1/25 | | | 378,933 | |
| | 206,000 | | | A- | | 1.200% due 2/1/26 | | | 186,622 | |
| | 97,000 | | | A- | | 4.200% due 3/1/29 | | | 94,123 | |
| | 134,000 | | | A | | Southwestern Public Services Co., 1st Mortgage Notes, 3.150% due 5/1/50 | | | 103,159 | |
| | 115,000 | | | BBB+ | | Tampa Electric Co., Senior Unsecured Notes, 3.625% due 6/15/50 | | | 94,716 | |
| | 800,000 | | | A- | | Tucson Electric Power Co., Senior Unsecured Notes, 3.850% due 3/15/23 | | | 797,001 | |
| | | | | | Virginia Electric & Power Co., Senior Unsecured Notes: | | | | |
| | 33,000 | | | BBB+ | | 6.000% due 1/15/36 | | | 36,273 | |
| | 68,000 | | | BBB+ | | 6.000% due 5/15/37 | | | 74,942 | |
| | 55,000 | | | BBB+ | | 4.650% due 8/15/43 | | | 52,585 | |
| | 94,000 | | | BBB+ | | 4.200% due 5/15/45 | | | 84,415 | |
| | 47,000 | | | BBB+ | | 4.625% due 5/15/52 | | | 46,155 | |
| | | | | | Vistra Operations Co. LLC, Senior Secured Notes: | | | | |
| | 363,000 | | | BBB- | | 5.125% due 5/13/25(a) | | | 361,565 | |
| | 92,000 | | | BBB- | | 3.700% due 1/30/27(a) | | | 83,699 | |
| | 323,000 | | | BBB- | | 4.300% due 7/15/29(a) | | | 291,262 | |
| | | | | | | | | | |
| | | | | | Total Electric | | | 17,576,278 | |
| | | | | | | | | | |
|
| Electronics — 0.0% | |
| | 190,000 | | | BBB+ | | Agilent Technologies Inc., Senior Unsecured Notes, 2.300% due 3/12/31 | | | 157,014 | |
| | 110,000 | | | A | | Honeywell International Inc., Senior Unsecured Notes, 1.350% due 6/1/25 | | | 103,319 | |
| | | | | | | | | | |
| | | | | | Total Electronics | | | 260,333 | |
| | | | | | | | | | |
|
| Engineering & Construction — 0.0% | |
| | 182,000 | | | CCC+ | | Artera Services LLC, Senior Secured Notes, 9.033% due 12/4/25(a) | | | 149,553 | |
| | 285,000 | EUR | | BBB+ | | Heathrow Funding Ltd., Senior Secured Notes, 1.875% due 3/14/34 | | | 224,274 | |
| | | | | | | | | | |
| | | | | | Total Engineering & Construction | | | 373,827 | |
| | | | | | | | | | |
|
| Entertainment — 0.3% | |
| | 55,000 | | | CCC+ | | Caesars Entertainment Inc., Senior Unsecured Notes, 4.625% due 10/15/29(a) | | | 44,481 | |
| | | | | | Magallanes Inc., Company Guaranteed Notes: | | | | |
| | 80,000 | | | BBB- | | 3.755% due 3/15/27(a) | | | 74,874 | |
| | 100,000 | | | BBB- | | 4.054% due 3/15/29(a) | | | 91,354 | |
| | 620,000 | | | BBB- | | 4.279% due 3/15/32(a) | | | 540,207 | |
See Notes to Financial Statements.
174
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Entertainment — 0.3% — (continued) | |
| $ | 890,000 | | | BBB- | | 5.050% due 3/15/42(a) | | $ | 735,899 | |
| | 2,266,000 | | | BBB- | | 5.141% due 3/15/52(a) | | | 1,832,629 | |
| | | | | | | | | | |
| | | | | | Total Entertainment | | | 3,319,444 | |
| | | | | | | | | | |
|
| Environmental Control — 0.0% | |
| | | | | | Republic Services Inc., Senior Unsecured Notes: | | | | |
| | 130,000 | | | BBB+ | | 2.500% due 8/15/24 | | | 126,292 | |
| | 219,000 | | | BBB+ | | 3.375% due 11/15/27 | | | 209,045 | |
| | 309,000 | | | B- | | Waste Pro USA Inc., Senior Unsecured Notes, 5.500% due 2/15/26(a) | | | 277,420 | |
| | | | | | | | | | |
| | | | | | Total Environmental Control | | | 612,757 | |
| | | | | | | | | | |
|
| Food — 0.3% | |
| | 50,000 | | | A | | Hershey Co. (The), Senior Unsecured Notes, 0.900% due 6/1/25 | | | 46,517 | |
| | | | | | 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) | | | 365,838 | |
| | 465,000 | | | BBB- | | 3.000% due 5/15/32(a) | | | 385,180 | |
| | 350,000 | | | BBB- | | 6.500% due 12/1/52(a) | | | 370,800 | |
| | 275,000 | | | BBB- | | Senior Unsecured Notes, 5.500% due 1/15/30(a) | | | 275,153 | |
| | | | | | Kraft Heinz Foods Co., Company Guaranteed Notes: | | | | |
| | 10,000 | | | BBB- | | 3.000% due 6/1/26 | | | 9,484 | |
| | 40,000 | | | BBB- | | 4.250% due 3/1/31 | | | 38,215 | |
| | 10,000 | | | BBB- | | 6.750% due 3/15/32 | | | 11,134 | |
| | 40,000 | | | BBB- | | 5.000% due 7/15/35 | | | 39,095 | |
| | 30,000 | | | BBB- | | 6.875% due 1/26/39 | | | 33,063 | |
| | 10,000 | | | BBB- | | 7.125% due 8/1/39(a) | | | 11,188 | |
| | 10,000 | | | BBB- | | 4.625% due 10/1/39 | | | 8,952 | |
| | 445,000 | | | BBB- | | 5.000% due 6/4/42 | | | 416,779 | |
| | 150,000 | | | BBB- | | 5.200% due 7/15/45 | | | 141,651 | |
| | 678,000 | | | BBB- | | 4.375% due 6/1/46 | | | 578,552 | |
| | 80,000 | | | BBB- | | 5.500% due 6/1/50 | | | 79,523 | |
| | | | | | Mars Inc., Company Guaranteed Notes: | | | | |
| | 110,000 | | | A | | 2.700% due 4/1/25(a) | | | 106,863 | |
| | 350,000 | | | A | | 3.200% due 4/1/30(a) | | | 326,702 | |
| | 330,000 | | | BBB | | Mondelez International Inc., Senior Unsecured Notes, 1.500% due 5/4/25 | | | 309,197 | |
| | | | | | Post Holdings Inc., Company Guaranteed Notes: | | | | |
| | 400,000 | | | B+ | | 5.750% due 3/1/27(a) | | | 391,424 | |
| | 350,000 | | | B+ | | 4.625% due 4/15/30(a) | | | 304,391 | |
| | 285,000 | | | BBB+ | | Tyson Foods Inc., Senior Unsecured Notes, 3.900% due 9/28/23 | | | 285,099 | |
| | | | | | | | | | |
| | | | | | Total Food | | | 4,534,800 | |
| | | | | | | | | | |
|
| Forest Products & Paper — 0.1% | |
| | 45,000 | | | A+ | | Georgia-Pacific LLC, Senior Unsecured Notes, 0.950% due 5/15/26(a) | | | 40,037 | |
| | 52,000 | | | BBB | | International Paper Co., Senior Unsecured Notes, 4.800% due 6/15/44 | | | 47,361 | |
| | | | | | Suzano Austria GmbH, Company Guaranteed Notes: | | | | |
| | 380,000 | | | BBB- | | 3.750% due 1/15/31 | | | 321,478 | |
| | 570,000 | | | BBB- | | 3.125% due 1/15/32 | | | 452,332 | |
| | | | | | | | | | |
| | | | | | Total Forest Products & Paper | | | 861,208 | |
| | | | | | | | | | |
|
| Gas — 0.1% | |
| | 82,000 | | | A- | | Atmos Energy Corp., Senior Unsecured Notes, 4.125% due 10/15/44 | | | 72,548 | |
| | | | | | CenterPoint Energy Resources Corp., Senior Unsecured Notes: | | | | |
| | 353,000 | | | BBB+ | | 1.750% due 10/1/30 | | | 289,054 | |
| | 305,000 | | | BBB+ | | 4.400% due 7/1/32 | | | 305,048 | |
| | | | | | Piedmont Natural Gas Co., Inc., Senior Unsecured Notes: | | | | |
| | 123,000 | | | BBB+ | | 3.500% due 6/1/29 | | | 114,973 | |
| | 460,000 | | | BBB+ | | 5.050% due 5/15/52 | | | 454,062 | |
See Notes to Financial Statements.
175
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Gas — 0.1% — (continued) | |
| | | | | | Southern Co. Gas Capital Corp., Company Guaranteed Notes: | | | | |
| $ | 215,000 | | | BBB+ | | 5.875% due 3/15/41 | | $ | 225,205 | |
| | 250,000 | | | BBB+ | | 4.400% due 5/30/47 | | | 217,415 | |
| | | | | | | | | | |
| | | | | | Total Gas | | | 1,678,305 | |
| | | | | | | | | | |
|
| Healthcare — Products — 0.1% | |
| | | | | | Abbott Laboratories, Senior Unsecured Notes: | | | | |
| | 164,000 | | | AA- | | 3.750% due 11/30/26 | | | 164,830 | |
| | 70,000 | | | AA- | | 4.750% due 11/30/36 | | | 74,103 | |
| | 150,000 | | | AA- | | 4.900% due 11/30/46 | | | 158,344 | |
| | | | | | Alcon Finance Corp., Company Guaranteed Notes: | | | | |
| | 645,000 | | | BBB | | 3.000% due 9/23/29(a) | | | 574,341 | |
| | 380,000 | | | BBB | | 2.600% due 5/27/30(a) | | | 324,588 | |
| | 105,000 | | | BBB | | Baxter International Inc., Senior Unsecured Notes, 3.132% due 12/1/51 | | | 74,131 | |
| | 24,000 | | | BBB | | Boston Scientific Corp., Senior Unsecured Notes, 2.650% due 6/1/30 | | | 21,026 | |
| | 170,000 | | | A- | | Danaher Corp., Senior Unsecured Notes, 2.800% due 12/10/51 | | | 121,374 | |
| | 13,000 | | | WR(b) | | St Jude Medical LLC, Senior Unsecured Notes, 4.750% due 4/15/43 | | | 12,894 | |
| | 235,000 | | | A- | | Thermo Fisher Scientific Inc., Senior Unsecured Notes, 2.000% due 10/15/31 | | | 198,567 | |
| | | | | | | | | | |
| | | | | | Total Healthcare — Products | | | 1,724,198 | |
| | | | | | | | | | |
|
| Healthcare — Services — 1.2% | |
| | | | | | Aetna Inc., Senior Unsecured Notes: | | | | |
| | 40,000 | | | BBB | | 2.800% due 6/15/23 | | | 39,654 | |
| | 48,000 | | | BBB | | 6.625% due 6/15/36 | | | 53,265 | |
| | 205,000 | | | AA | | BHSH System Obligated Group, Senior Unsecured Notes, 3.487% due 7/15/49 | | | 168,449 | |
| | 420,000 | | | AA- | | Cedars-Sinai Health System, Secured Notes, 2.288% due 8/15/31 | | | 357,755 | |
| | | | | | Centene Corp., Senior Unsecured Notes: | | | | |
| | 195,000 | | | BBB- | | 4.250% due 12/15/27 | | | 185,461 | |
| | 150,000 | | | BBB- | | 4.625% due 12/15/29 | | | 141,517 | |
| | 30,000 | | | BBB- | | 3.375% due 2/15/30 | | | 25,791 | |
| | 1,070,000 | | | BBB- | | 3.000% due 10/15/30 | | | 894,306 | |
| | 325,000 | | | BBB- | | 2.500% due 3/1/31 | | | 259,798 | |
| | 10,000 | | | BBB- | | 2.625% due 8/1/31 | | | 8,015 | |
| | 100,000 | | | A+ | | City of Hope, Senior Secured Notes, 5.623% due 11/15/43 | | | 106,781 | |
| | | | | | CommonSpirit Health: | | | | |
| | 30,000 | | | A- | | Secured Notes, 4.350% due 11/1/42 | | | 26,883 | |
| | | | | | Senior Secured Notes: | | | | |
| | 683,000 | | | A- | | 3.347% due 10/1/29 | | | 612,618 | |
| | 190,000 | | | A- | | 2.782% due 10/1/30 | | | 159,724 | |
| | 175,000 | | | AA | | 3.817% due 10/1/49 | | | 143,689 | |
| | 95,000 | | | A- | | 3.910% due 10/1/50 | | | 75,170 | |
| | 205,000 | | | AA | | Duke University Health System Inc., Senior Unsecured Notes, 3.920% due 6/1/47 | | | 183,502 | |
| | | | | | Elevance Health Inc., Senior Unsecured Notes: | | | | |
| | 1,120,000 | | | A | | 3.650% due 12/1/27 | | | 1,087,546 | |
| | 220,000 | | | A | | 4.100% due 5/15/32 | | | 212,514 | |
| | 248,000 | | | A | | 4.550% due 3/1/48 | | | 233,458 | |
| | 140,000 | | | A | | 4.550% due 5/15/52 | | | 132,201 | |
| | 33,000 | | | A | | 4.850% due 8/15/54 | | | 31,095 | |
| | 140,000 | | | A | | Franciscan Missionaries of Our Lady Health System Inc., Secured Notes, 3.914% due 7/1/49 | | | 116,865 | |
| | 355,000 | | | BBB | | Fresenius Medical Care US Finance III Inc., Company Guaranteed Notes, 1.875% due 12/1/26(a) | | | 305,495 | |
| | | | | | HCA Inc., Company Guaranteed Notes: | | | | |
| | 40,000 | | | BBB- | | 5.000% due 3/15/24 | | | 40,299 | |
| | 949,000 | | | BBB- | | 5.250% due 4/15/25 | | | 959,482 | |
| | 152,000 | | | BBB- | | 5.250% due 6/15/26 | | | 153,042 | |
See Notes to Financial Statements.
176
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Healthcare — Services — 1.2% — (continued) | |
| $ | 153,000 | | | BBB- | | 5.375% due 9/1/26 | | $ | 153,614 | |
| | 76,000 | | | BBB- | | 4.500% due 2/15/27 | | | 74,368 | |
| | 684,000 | | | BBB- | | 5.625% due 9/1/28 | | | 688,364 | |
| | 1,429,000 | | | BBB- | | 4.125% due 6/15/29 | | | 1,319,805 | |
| | 383,000 | | | BBB- | | 3.500% due 9/1/30 | | | 334,575 | |
| | 907,000 | | | BBB- | | 3.625% due 3/15/32(a) | | | 786,884 | |
| | 825,000 | | | BBB- | | 5.500% due 6/15/47 | | | 765,338 | |
| | 390,000 | | | BBB- | | 5.250% due 6/15/49 | | | 349,404 | |
| | 556,000 | | | BBB- | | 3.500% due 7/15/51 | | | 386,256 | |
| | 691,000 | | | BBB- | | 4.625% due 3/15/52(a) | | | 575,102 | |
| | 41,000 | | | AA | | Hoag Memorial Hospital Presbyterian, Unsecured Notes, 3.803% due 7/15/52 | | | 35,184 | |
| | | | | | Humana Inc., Senior Unsecured Notes: | | | | |
| | 280,000 | | | BBB+ | | 3.150% due 12/1/22 | | | 279,906 | |
| | 201,000 | | | BBB+ | | 4.500% due 4/1/25 | | | 202,808 | |
| | 128,000 | | | BBB+ | | 1.350% due 2/3/27 | | | 112,192 | |
| | 30,000 | | | BBB+ | | 3.950% due 3/15/27 | | | 29,257 | |
| | 50,000 | | | BBB+ | | 2.150% due 2/3/32 | | | 40,639 | |
| | 70,000 | | | BBB+ | | 4.625% due 12/1/42 | | | 64,997 | |
| | 40,000 | | | BBB+ | | 4.950% due 10/1/44 | | | 38,632 | |
| | 35,000 | | | BBB+ | | 3.950% due 8/15/49 | | | 29,723 | |
| | 275,000 | | | AA- | | Kaiser Foundation Hospitals, Company Guaranteed Notes, 4.875% due 4/1/42 | | | 278,960 | |
| | 564,000 | | | BB- | | Molina Healthcare Inc., Senior Unsecured Notes, 3.875% due 11/15/30(a) | | | 489,070 | |
| | 88,000 | | | A+ | | Mount Nittany Medical Center Obligated Group, Unsecured Notes, 3.799% due 11/15/52 | | | 72,893 | |
| | 90,000 | | | Aa2(b) | | Nationwide Children’s Hospital Inc., Unsecured Notes, 4.556% due 11/1/52 | | | 87,996 | |
| | 90,000 | | | AA | | Presbyterian Healthcare Services, Unsecured Notes, 4.875% due 8/1/52 | | | 92,893 | |
| | 110,000 | | | AA- | | Queen’s Health Systems (The), Secured Notes, 4.810% due 7/1/52 | | | 111,674 | |
| | 240,000 | | | AA | | Roche Holdings Inc., Company Guaranteed Notes, 2.607% due 12/13/51(a) | | | 171,492 | |
| | 65,000 | | | Aa2(b) | | Seattle Children’s Hospital, Unsecured Notes, 2.719% due 10/1/50 | | | 46,432 | |
| | | | | | UnitedHealth Group Inc., Senior Unsecured Notes: | | | | |
| | 20,000 | | | A+ | | 2.375% due 10/15/22 | | | 19,991 | |
| | 60,000 | | | A+ | | 3.500% due 6/15/23 | | | 59,987 | |
| | 70,000 | | | A+ | | 3.750% due 7/15/25 | | | 69,837 | |
| | 60,000 | | | A+ | | 1.250% due 1/15/26 | | | 55,093 | |
| | 50,000 | | | A+ | | 3.875% due 12/15/28 | | | 49,342 | |
| | 170,000 | | | A+ | | 4.000% due 5/15/29 | | | 167,907 | |
| | 50,000 | | | A+ | | 2.000% due 5/15/30 | | | 42,765 | |
| | 120,000 | | | A+ | | 4.200% due 5/15/32 | | | 119,110 | |
| | 271,000 | | | A+ | | 4.750% due 7/15/45 | | | 268,657 | |
| | 223,000 | | | A+ | | 3.750% due 10/15/47 | | | 192,267 | |
| | 40,000 | | | A+ | | 4.250% due 6/15/48 | | | 37,050 | |
| | 30,000 | | | A+ | | 4.450% due 12/15/48 | | | 28,680 | |
| | 100,000 | | | A+ | | 3.700% due 8/15/49 | | | 85,598 | |
| | 20,000 | | | A+ | | 2.900% due 5/15/50 | | | 14,761 | |
| | 310,000 | | | A+ | | 3.250% due 5/15/51 | | | 244,209 | |
| | 120,000 | | | A+ | | 3.875% due 8/15/59 | | | 102,898 | |
| | 20,000 | | | A+ | | 3.125% due 5/15/60 | | | 14,719 | |
| | | | | | | | | | |
| | | | | | Total Healthcare – Services | | | 15,905,704 | |
| | | | | | | | | | |
|
| Home Builders — 0.0% | |
| | | | | | DR Horton Inc., Company Guaranteed Notes: | | | | |
| | 69,000 | | | BBB | | 2.600% due 10/15/25 | | | 65,085 | |
| | 23,000 | | | BBB | | 1.300% due 10/15/26 | | | 19,956 | |
| | 130,000 | | | BBB- | | Lennar Corp., Company Guaranteed Notes, 4.750% due 11/29/27 | | | 127,042 | |
| | 10,000 | | | BBB- | | MDC Holdings Inc., Company Guaranteed Notes, 6.000% due 1/15/43 | | | 8,212 | |
| | 50,000 | | | BB+ | | Toll Brothers Finance Corp., Company Guaranteed Notes, 4.375% due 4/15/23 | | | 49,801 | |
| | | | | | | | | | |
| | | | | | Total Home Builders | | | 270,096 | |
| | | | | | | | | | |
See Notes to Financial Statements.
177
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Insurance — 0.7% | |
| $ | 50,000 | | | CCC+ | | Alliant Holdings Intermediate LLC/Alliant Holdings Co.-Issuer, Senior Unsecured Notes, 6.750% due 10/15/27(a) | | $ | 45,502 | |
| | | | | | American International Group Inc., Senior Unsecured Notes: | | | | |
| | 90,000 | | | BBB+ | | 2.500% due 6/30/25 | | | 85,887 | |
| | 281,000 | | | BBB+ | | 4.800% due 7/10/45 | | | 263,747 | |
| | 186,000 | | | BBB+ | | 4.375% due 6/30/50 | | | 167,935 | |
| | | | | | Aon Corp., Company Guaranteed Notes: | | | | |
| | 22,000 | | | A- | | 4.500% due 12/15/28 | | | 21,851 | |
| | 1,162,000 | | | A- | | 2.800% due 5/15/30 | | | 1,018,318 | |
| | 730,000 | | | A- | | Aon Corp./Aon Global Holdings PLC, Company Guaranteed Notes, 3.900% due 2/28/52 | | | 608,806 | |
| | 835,000 | | | A+ | | Athene Global Funding, Senior Secured Notes, 2.995%
(SOFR + 0.700%) due 5/24/24(a)(c) | | | 818,465 | |
| | | | | | Berkshire Hathaway Finance Corp., Company Guaranteed Notes: | | | | |
| | 350,000 | | | AA | | 4.250% due 1/15/49 | | | 331,668 | |
| | 865,000 | | | AA | | 3.850% due 3/15/52 | | | 749,305 | |
| | 70,000 | | | A | | Chubb INA Holdings Inc., Company Guaranteed Notes, 3.350% due 5/3/26 | | | 68,616 | |
| | 100,000 | | | BBB+ | | Farmers Exchange Capital, Subordinated Notes, 7.200% due 7/15/48(a) | | | 114,273 | |
| | 900,000 | | | BBB+ | | Farmers Exchange Capital II, Subordinated Notes, 6.151%
(3-Month USD-LIBOR + 3.744%) due 11/1/53(a)(c) | | | 921,232 | |
| | 4,000 | | | BBB+ | | Hartford Financial Services Group Inc. (The), Senior Unsecured Notes, 4.300% due 4/15/43 | | | 3,513 | |
| | | | | | Marsh & McLennan Cos., Inc., Senior Unsecured Notes: | | | | |
| | 399,000 | | | A- | | 4.375% due 3/15/29 | | | 397,610 | |
| | 268,000 | | | A- | | 2.250% due 11/15/30 | | | 230,414 | |
| | 171,000 | | | A- | | 2.375% due 12/15/31 | | | 145,071 | |
| | 620,000 | | | BBB | | MetLife Inc., Junior Subordinated Notes, 6.400% due 12/15/36 | | | 636,802 | |
| | 850,000 | | | A- | | Nationwide Mutual Insurance Co., Subordinated Notes, 4.119%
(3-Month USD-LIBOR + 2.290%) due 12/15/24(a)(c) | | | 850,193 | |
| | | | | | Teachers Insurance & Annuity Association of America, Subordinated Notes: | | | | |
| | 24,000 | | | AA- | | 6.850% due 12/16/39(a) | | | 28,386 | |
| | 348,000 | | | AA- | | 4.900% due 9/15/44(a) | | | 338,793 | |
| | 85,000 | | | AA- | | 4.270% due 5/15/47(a) | | | 76,969 | |
| | 995,000 | | | AA- | | 3.300% due 5/15/50(a) | | | 761,329 | |
| | 67,000 | | | BBB | | Willis North America Inc., Company Guaranteed Notes, 2.950% due 9/15/29 | | | 58,125 | |
| | | | | | | | | | |
| | | | | | Total Insurance | | | 8,742,810 | |
| | | | | | | | | | |
|
| Internet — 0.4% | |
| | | | | | Alphabet Inc., Senior Unsecured Notes: | | | | |
| | 40,000 | | | AA+ | | 0.450% due 8/15/25 | | | 36,592 | |
| | 70,000 | | | AA+ | | 0.800% due 8/15/27 | | | 61,280 | |
| | 80,000 | | | AA+ | | 1.100% due 8/15/30 | | | 65,445 | |
| | 90,000 | | | AA+ | | 1.900% due 8/15/40 | | | 63,810 | |
| | 50,000 | | | AA+ | | 2.050% due 8/15/50 | | | 33,200 | |
| | | | | | Amazon.com Inc., Senior Unsecured Notes: | | | | |
| | 190,000 | | | AA | | 0.800% due 6/3/25 | | | 175,782 | |
| | 60,000 | | | AA | | 3.300% due 4/13/27 | | | 58,717 | |
| | 240,000 | | | AA | | 1.200% due 6/3/27 | | | 213,829 | |
| | 130,000 | | | AA | | 3.150% due 8/22/27 | | | 125,827 | |
| | 130,000 | | | AA | | 3.450% due 4/13/29 | | | 126,189 | |
| | 120,000 | | | AA | | 1.500% due 6/3/30 | | | 100,262 | |
| | 320,000 | | | AA | | 2.100% due 5/12/31 | | | 276,590 | |
| | 500,000 | | | AA | | 3.600% due 4/13/32 | | | 481,049 | |
| | 430,000 | | | AA | | 3.875% due 8/22/37 | | | 405,631 | |
| | 360,000 | | | AA | | 2.875% due 5/12/41 | | | 288,937 | |
| | 160,000 | | | AA | | 4.950% due 12/5/44 | | | 168,147 | |
| | 100,000 | | | AA | | 4.050% due 8/22/47 | | | 93,268 | |
| | 200,000 | | | AA | | 2.500% due 6/3/50 | | | 140,006 | |
See Notes to Financial Statements.
178
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Internet — 0.4% — (continued) | |
| $ | 30,000 | | | AA | | 3.100% due 5/12/51 | | $ | 23,513 | |
| | 40,000 | | | AA | | 4.250% due 8/22/57 | | | 37,772 | |
| | | | | | Prosus NV, Senior Unsecured Notes: | | | | |
| | 200,000 | | | BBB | | 3.680% due 1/21/30(a) | | | 161,466 | |
| | 940,000 | | | BBB | | 3.061% due 7/13/31(a) | | | 700,942 | |
| | | | | | Tencent Holdings Ltd., Senior Unsecured Notes: | | | | |
| | 407,000 | | | A+ | | 2.985% due 1/19/23(a) | | | 405,811 | |
| | 165,000 | | | A+ | | 3.975% due 4/11/29(a) | | | 155,704 | |
| | 490,000 | | | A+ | | 3.680% due 4/22/41(a) | | | 382,233 | |
| | 350,000 | | | A+ | | 3.840% due 4/22/51(a) | | | 260,961 | |
| | 476,000 | | | BB+ | | Twitter Inc., Senior Unsecured Notes, 3.875% due 12/15/27(a) | | | 443,483 | |
| | | | | | | | | | |
| | | | | | Total Internet | | | 5,486,446 | |
| | | | | | | | | | |
|
| Investment Companies — 0.0% | |
| | | | | | Ares Capital Corp., Senior Unsecured Notes: | | | | |
| | 68,000 | | | BBB- | | 4.250% due 3/1/25 | | | 66,245 | |
| | 56,000 | | | BBB- | | 3.250% due 7/15/25 | | | 52,575 | |
| | 460,000 | | | BBB- | | 2.150% due 7/15/26 | | | 400,398 | |
| | | | | | | | | | |
| | | | | | Total Investment Companies | | | 519,218 | |
| | | | | | | | | | |
|
| Iron/Steel — 0.0% | |
| | 30,000 | | | BBB- | | ArcelorMittal SA, Senior Unsecured Notes, 7.000% due 10/15/39 | | | 30,317 | |
| | 325,000 | | | BBB- | | Vale Overseas Ltd., Company Guaranteed Notes, 6.875% due 11/21/36 | | | 337,221 | |
| | | | | | | | | | |
| | | | | | Total Iron/Steel | | | 367,538 | |
| | | | | | | | | | |
|
| Leisure Time — 0.0% | |
| | 110,000 | | | B | | VOC Escrow Ltd., Senior Secured Notes, 5.000% due 2/15/28(a) | | | 93,107 | |
| | | | | | | | | | |
|
| Lodging — 0.2% | |
| | | | | | Las Vegas Sands Corp., Senior Unsecured Notes: | | | | |
| | 710,000 | | | BB+ | | 3.200% due 8/8/24 | | | 672,469 | |
| | 50,000 | | | BB+ | | 2.900% due 6/25/25 | | | 46,145 | |
| | 97,000 | | | BBB | | Marriott International Inc., Senior Unsecured Notes, 4.625% due 6/15/30 | | | 92,982 | |
| | | | | | Sands China Ltd., Senior Unsecured Notes: | | | | |
| | 900,000 | | | BB+ | | 5.625% due 8/8/25 | | | 822,312 | |
| | 200,000 | | | BB+ | | 4.300% due 1/8/26 | | | 173,097 | |
| | 350,000 | | | BB+ | | 2.550% due 3/8/27 | | | 281,216 | |
| | 200,000 | | | BB+ | | 3.100% due 3/8/29 | | | 151,559 | |
| | | | | | | | | | |
| | | | | | Total Lodging | | | 2,239,780 | |
| | | | | | | | | | |
|
| Machinery — Construction & Mining — 0.0% | |
| | 50,000 | | | BB- | | Vertiv Group Corp., Senior Secured Notes, 4.125% due 11/15/28(a) | | | 43,312 | |
| | | | | | | | | | |
|
| Machinery — Diversified — 0.0% | |
| | | | | | Deere & Co., Senior Unsecured Notes: | | | | |
| | 40,000 | | | A | | 3.100% due 4/15/30 | | | 37,554 | |
| | 130,000 | | | A | | 3.750% due 4/15/50 | | | 120,487 | |
| | 80,000 | | | BBB | | Otis Worldwide Corp., Senior Unsecured Notes, 2.056% due 4/5/25 | | | 75,603 | |
| | | | | | | | | | |
| | | | | | Total Machinery – Diversified | | | 233,644 | |
| | | | | | | | | | |
|
| Media — 1.1% | |
| | | | | | CCO Holdings LLC/CCO Holdings Capital Corp., Senior Unsecured Notes: | | | | |
| | 130,000 | | | BB- | | 5.125% due 5/1/27(a) | | | 123,565 | |
| | 100,000 | | | BB- | | 4.750% due 2/1/32(a) | | | 82,897 | |
| | 100,000 | | | BB- | | 4.500% due 5/1/32 | | | 81,148 | |
| | 700,000 | | | BB- | | 4.500% due 6/1/33(a) | | | 550,407 | |
See Notes to Financial Statements.
179
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Media — 1.1% — (continued) | |
| | | | | | Charter Communications Operating LLC/Charter Communications Operating Capital, Senior Secured Notes: | | | | |
| $ | 300,000 | | | BBB- | | 4.908% due 7/23/25 | | $ | 299,837 | |
| | 210,000 | | | BBB- | | 3.750% due 2/15/28 | | | 194,359 | |
| | 260,000 | | | BBB- | | 4.200% due 3/15/28 | | | 245,767 | |
| | 330,000 | | | BBB- | | 2.300% due 2/1/32 | | | 251,963 | |
| | 210,000 | | | BBB- | | 4.400% due 4/1/33 | | | 186,438 | |
| | 397,000 | | | BBB- | | 3.500% due 3/1/42 | | | 275,533 | |
| | 680,000 | | | BBB- | | 6.484% due 10/23/45 | | | 652,205 | |
| | 560,000 | | | BBB- | | 5.375% due 5/1/47 | | | 476,317 | |
| | 1,009,000 | | | BBB- | | 5.750% due 4/1/48 | | | 902,062 | |
| | 415,000 | | | BBB- | | 5.125% due 7/1/49 | | | 338,380 | |
| | 730,000 | | | BBB- | | 4.800% due 3/1/50 | | | 576,637 | |
| | 182,000 | | | BBB- | | 3.900% due 6/1/52 | | | 125,494 | |
| | 625,000 | | | BBB- | | 5.250% due 4/1/53 | | | 530,520 | |
| | 140,000 | | | BBB- | | 4.400% due 12/1/61 | | | 99,221 | |
| | 1,189,000 | | | BBB- | | 3.950% due 6/30/62 | | | 788,137 | |
| | 130,000 | | | BBB- | | 5.500% due 4/1/63 | | | 109,577 | |
| | 160,000 | | | A- | | Comcast Cable Communications Holdings Inc., Company Guaranteed Notes, 9.455% due 11/15/22 | | | 161,887 | |
| | | | | | Comcast Corp., Company Guaranteed Notes: | | | | |
| | 30,000 | | | A- | | 3.950% due 10/15/25 | | | 29,986 | |
| | 80,000 | | | A- | | 3.150% due 3/1/26 | | | 77,991 | |
| | 780,000 | | | A- | | 4.150% due 10/15/28 | | | 773,845 | |
| | 840,000 | | | A- | | 2.650% due 2/1/30 | | | 745,533 | |
| | 90,000 | | | A- | | 3.400% due 4/1/30 | | | 84,362 | |
| | 270,000 | | | A- | | 4.250% due 10/15/30 | | | 266,544 | |
| | 170,000 | | | A- | | 1.500% due 2/15/31 | | | 137,142 | |
| | 56,000 | | | A- | | 7.050% due 3/15/33 | | | 66,500 | |
| | 7,000 | | | A- | | 6.500% due 11/15/35 | | | 7,946 | |
| | 50,000 | | | A- | | 3.900% due 3/1/38 | | | 45,163 | |
| | 20,000 | | | A- | | 3.250% due 11/1/39 | | | 16,367 | |
| | 20,000 | | | A- | | 3.750% due 4/1/40 | | | 17,376 | |
| | 27,000 | | | A- | | 4.750% due 3/1/44 | | | 26,154 | |
| | 111,000 | | | A- | | 3.400% due 7/15/46 | | | 86,929 | |
| | 112,000 | | | A- | | 4.000% due 8/15/47 | | | 97,436 | |
| | 312,000 | | | A- | | 3.969% due 11/1/47 | | | 269,316 | |
| | 20,000 | | | A- | | 4.000% due 3/1/48 | | | 17,308 | |
| | 43,000 | | | A- | | 3.999% due 11/1/49 | | | 36,856 | |
| | 60,000 | | | A- | | 3.450% due 2/1/50 | | | 47,568 | |
| | 570,000 | | | A- | | 2.800% due 1/15/51 | | | 396,473 | |
| | 149,000 | | | A- | | 2.887% due 11/1/51 | | | 105,497 | |
| | 671,000 | | | A- | | 4.049% due 11/1/52 | | | 579,427 | |
| | 439,000 | | | A- | | 2.937% due 11/1/56 | | | 299,152 | |
| | 20,000 | | | A- | | 4.950% due 10/15/58 | | | 19,717 | |
| | 22,000 | | | A- | | 2.987% due 11/1/63 | | | 14,804 | |
| | | | | | Cox Communications Inc., Senior Unsecured Notes: | | | | |
| | 82,000 | | | BBB | | 3.150% due 8/15/24(a) | | | 79,696 | |
| | 70,000 | | | BBB | | 3.850% due 2/1/25(a) | | | 68,773 | |
| | 132,000 | | | BBB | | 3.600% due 6/15/51(a) | | | 100,182 | |
| | 200,000 | | | BB | | CSC Holdings LLC, Company Guaranteed Notes, 4.500% due 11/15/31(a) | | | 157,018 | |
| | 600,000 | | | CCC+ | | Diamond Sports Group LLC/Diamond Sports Finance Co., Secured Notes, 5.375% due 8/15/26(a) | | | 114,750 | |
See Notes to Financial Statements.
180
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Media — 1.1% — (continued) | |
| | | | | | DISH DBS Corp.: | | | | |
| | | | | | Company Guaranteed Notes: | | | | |
| $ | 140,000 | | | B | | 7.750% due 7/1/26 | | $ | 110,379 | |
| | 70,000 | | | B | | 5.125% due 6/1/29 | | | 41,581 | |
| | 60,000 | | | B+ | | Senior Secured Notes, 5.250% due 12/1/26(a) | | | 49,650 | |
| | 263,000 | | | Baa3(b) | | FactSet Research Systems Inc., Senior Unsecured Notes, 3.450% due 3/1/32 | | | 230,722 | |
| | | | | | Fox Corp., Senior Unsecured Notes: | | | | |
| | 200,000 | | | BBB | | 4.030% due 1/25/24 | | | 199,642 | |
| | 240,000 | | | BBB | | 5.476% due 1/25/39 | | | 236,995 | |
| | | | | | Paramount Global, Senior Unsecured Notes: | | | | |
| | 255,000 | | | BBB | | 4.200% due 5/19/32 | | | 225,577 | |
| | 141,000 | | | BBB | | 4.375% due 3/15/43 | | | 106,999 | |
| | | | | | Time Warner Cable LLC, Senior Secured Notes: | | | | |
| | 50,000 | | | BBB- | | 6.550% due 5/1/37 | | | 49,414 | |
| | 230,000 | | | BBB- | | 7.300% due 7/1/38 | | | 236,893 | |
| | 195,000 | | | BBB- | | 5.875% due 11/15/40 | | | 175,480 | |
| | 490,000 | | | BBB- | | 5.500% due 9/1/41 | | | 422,672 | |
| | 240,000 | | | BBB- | | Time Warner Entertainment Co. LP, Senior Secured Notes, 8.375% due 7/15/33 | | | 277,108 | |
| | 210,000 | | | BB- | | Virgin Media Secured Finance PLC, Senior Secured Notes, 5.500% due 5/15/29(a) | | | 188,710 | |
| | | | | | Walt Disney Co. (The), Company Guaranteed Notes: | | | | |
| | 25,000 | | | BBB+ | | 6.200% due 12/15/34 | | | 28,441 | |
| | 30,000 | | | BBB+ | | 6.650% due 11/15/37 | | | 35,779 | |
| | | | | | | | | | |
| | | | | | Total Media | | | 14,454,204 | |
| | | | | | | | | | |
|
| Mining — 0.4% | |
| | | | | | Anglo American Capital PLC, Company Guaranteed Notes: | | | | |
| | 350,000 | | | BBB | | 3.625% due 9/11/24(a) | | | 343,464 | |
| | 832,000 | | | BBB | | 4.750% due 4/10/27(a) | | | 816,869 | |
| | 400,000 | | | BBB | | 4.000% due 9/11/27(a) | | | 378,818 | |
| | 212,000 | | | BBB | | 2.250% due 3/17/28(a) | | | 180,704 | |
| | 40,000 | | | BBB+ | | Barrick Gold Corp., Senior Unsecured Notes, 5.250% due 4/1/42 | | | 39,204 | |
| | | | | | Barrick North America Finance LLC, Company Guaranteed Notes: | | | | |
| | 70,000 | | | BBB+ | | 5.700% due 5/30/41 | | | 72,067 | |
| | 190,000 | | | BBB+ | | 5.750% due 5/1/43 | | | 196,702 | |
| | 150,000 | | | A- | | BHP Billsiton Finance USA Ltd., Company Guaranteed Notes, 5.000% due 9/30/43 | | | 152,652 | |
| | 230,000 | | | B+ | | First Quantum Minerals Ltd., Company Guaranteed Notes, 6.875% due 10/15/27(a) | | | 219,671 | |
| | | | | | Freeport-McMoRan Inc., Company Guaranteed Notes: | | | | |
| | 10,000 | | | BB+ | | 3.875% due 3/15/23 | | | 9,989 | |
| | 10,000 | | | BB+ | | 4.550% due 11/14/24 | | | 10,049 | |
| | 70,000 | | | BB+ | | 5.400% due 11/14/34 | | | 66,506 | |
| | 180,000 | | | BB+ | | 5.450% due 3/15/43 | | | 162,610 | |
| | | | | | Glencore Funding LLC, Company Guaranteed Notes: | | | | |
| | 820,000 | | | BBB+ | | 4.125% due 3/12/24(a) | | | 814,927 | |
| | 210,000 | | | BBB+ | | 4.625% due 4/29/24(a) | | | 210,532 | |
| | 25,000 | | | BBB+ | | 1.625% due 4/27/26(a) | | | 22,206 | |
| | 145,000 | | | BBB+ | | 3.875% due 10/27/27(a) | | | 137,369 | |
| | 429,000 | | | BBB+ | | 2.500% due 9/1/30(a) | | | 350,231 | |
| | 148,000 | | | BBB+ | | 2.850% due 4/27/31(a) | | | 122,633 | |
| | 171,000 | | | BBB+ | | 2.625% due 9/23/31(a) | | | 136,476 | |
| | 55,000 | | | BBB+ | | 3.375% due 9/23/51(a) | | | 37,217 | |
| | 200,000 | | | Baa2(b) | | Indonesia Asahan Aluminium Persero PT, Senior Unsecured Notes, 4.750% due 5/15/25 | | | 200,775 | |
| | 860,000 | | | BBB+ | | Southern Copper Corp., Senior Unsecured Notes, 5.250% due 11/8/42 | | | 829,952 | |
| | | | | | Teck Resources Ltd., Senior Unsecured Notes: | | | | |
| | 200,000 | | | BBB- | | 3.900% due 7/15/30 | | | 181,312 | |
| | 10,000 | | | BBB- | | 6.000% due 8/15/40 | | | 9,650 | |
| | 90,000 | | | BBB- | | Yamana Gold Inc., Company Guaranteed Notes, 4.625% due 12/15/27 | | | 85,250 | |
| | | | | | | | | | |
| | | | | | Total Mining | | | 5,787,835 | |
| | | | | | | | | | |
See Notes to Financial Statements.
181
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Miscellaneous Manufacturers — 0.1% | |
| | | | | | 3M Co., Senior Unsecured Notes: | | | | |
| $ | 150,000 | | | A+ | | 2.375% due 8/26/29 | | $ | 129,508 | |
| | 30,000 | | | A+ | | 3.050% due 4/15/30 | | | 26,781 | |
| | 190,000 | | | A+ | | 3.700% due 4/15/50 | | | 153,993 | |
| | 160,000 | | | A- | | Eaton Corp., Company Guaranteed Notes, 4.150% due 11/2/42 | | | 144,269 | |
| | | | | | General Electric Co., Senior Unsecured Notes: | | | | |
| | 211,000 | | | BBB+ | | 6.750% due 3/15/32 | | | 239,694 | |
| | 1,025,000 | | | BBB+ | | 3.385% (3-Month USD-LIBOR + 0.480%) due 8/15/36(c) | | | 837,706 | |
| | 156,000 | | | BBB+ | | Parker-Hannifin Corp., Senior Unsecured Notes, 3.250% due 6/14/29 | | | 143,143 | |
| | | | | | Textron Inc., Senior Unsecured Notes: | | | | |
| | 70,000 | | | BBB | | 3.650% due 3/15/27 | | | 66,837 | |
| | 218,000 | | | BBB | | 3.900% due 9/17/29 | | | 204,042 | |
| | | | | | | | | | |
| | | | | | Total Miscellaneous Manufacturers | | | 1,945,973 | |
| | | | | | | | | | |
|
| Oil & Gas — 1.6% | |
| | | | | | Apache Corp., Senior Unsecured Notes: | | | | |
| | 60,000 | | | BB+ | | 7.750% due 12/15/29 | | | 63,837 | |
| | 20,000 | | | BB+ | | 5.250% due 2/1/42 | | | 16,783 | |
| | 30,000 | | | BB+ | | 4.750% due 4/15/43 | | | 23,666 | |
| | 60,000 | | | BB+ | | 4.250% due 1/15/44 | | | 44,670 | |
| | 90,000 | | | BB+ | | 5.350% due 7/1/49 | | | 73,872 | |
| | | | | | BP Capital Markets America Inc., Company Guaranteed Notes: | | | | |
| | 300,000 | | | A- | | 3.410% due 2/11/26 | | | 295,197 | |
| | 110,000 | | | A- | | 3.633% due 4/6/30 | | | 104,535 | |
| | 102,000 | | | BBB- | | Cenovus Energy Inc., Senior Unsecured Notes, 3.750% due 2/15/52 | | | 79,196 | |
| | | | | | Chevron Corp., Senior Unsecured Notes: | | | | |
| | 190,000 | | | AA- | | 1.554% due 5/11/25 | | | 179,469 | |
| | 230,000 | | | AA- | | 2.954% due 5/16/26 | | | 223,184 | |
| | 70,000 | | | AA- | | 1.995% due 5/11/27 | | | 64,796 | |
| | 240,000 | | | AA- | | Chevron USA Inc., Company Guaranteed Notes, 3.850% due 1/15/28 | | | 237,787 | |
| | | | | | Continental Resources Inc., Company Guaranteed Notes: | | | | |
| | 20,000 | | | BBB- | | 4.500% due 4/15/23 | | | 20,015 | |
| | 870,000 | | | BBB- | | 3.800% due 6/1/24 | | | 859,290 | |
| | 80,000 | | | BBB- | | 2.268% due 11/15/26(a) | | | 70,682 | |
| | 120,000 | | | BBB- | | 5.750% due 1/15/31(a) | | | 115,049 | |
| | 60,000 | | | BBB- | | 4.900% due 6/1/44 | | | 47,161 | |
| | | | | | Coterra Energy Inc., Senior Unsecured Notes: | | | | |
| | 470,000 | | | BBB | | 3.900% due 5/15/27(a) | | | 449,354 | |
| | 150,000 | | | BBB | | 4.375% due 3/15/29(a) | | | 144,553 | |
| | | | | | Devon Energy Corp., Senior Unsecured Notes: | | | | |
| | 42,000 | | | BBB | | 8.250% due 8/1/23 | | | 43,170 | |
| | 708,000 | | | BBB | | 5.850% due 12/15/25 | | | 731,921 | |
| | 102,000 | | | BBB | | 5.250% due 10/15/27 | | | 103,621 | |
| | 2,000 | | | BBB | | 5.875% due 6/15/28 | | | 2,063 | |
| | 20,000 | | | BBB | | 4.500% due 1/15/30 | | | 19,025 | |
| | 609,000 | | | BBB | | 5.600% due 7/15/41 | | | 605,055 | |
| | 160,000 | | | BBB | | 4.750% due 5/15/42 | | | 144,774 | |
| | 314,000 | | | BBB | | 5.000% due 6/15/45 | | | 290,941 | |
| | | | | | Diamondback Energy Inc., Company Guaranteed Notes: | | | | |
| | 328,000 | | | BBB- | | 3.250% due 12/1/26 | | | 315,534 | |
| | 1,375,000 | | | BBB- | | 3.500% due 12/1/29 | | | 1,251,898 | |
| | 489,000 | | | BBB- | | 3.125% due 3/24/31 | | | 423,418 | |
| | 98,000 | | | BBB- | | 4.400% due 3/24/51 | | | 83,771 | |
| | 403,000 | | | BBB- | | 4.250% due 3/15/52 | | | 334,265 | |
See Notes to Financial Statements.
182
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Oil & Gas — 1.6% — (continued) | |
| | | | | | Ecopetrol SA, Senior Unsecured Notes: | | | | |
| $ | 95,000 | | | BB+ | | 4.125% due 1/16/25 | | $ | 89,435 | |
| | 200,000 | | | BB+ | | 6.875% due 4/29/30 | | | 186,137 | |
| | 760,000 | | | BB+ | | 5.875% due 5/28/45 | | | 525,753 | |
| | | | | | EOG Resources Inc., Senior Unsecured Notes: | | | | |
| | 14,000 | | | A- | | 3.150% due 4/1/25 | | | 13,784 | |
| | 10,000 | | | A- | | 4.150% due 1/15/26 | | | 10,027 | |
| | 210,000 | | | A- | | 4.375% due 4/15/30 | | | 210,497 | |
| | 260,000 | | | A- | | 3.900% due 4/1/35 | | | 240,379 | |
| | 170,000 | | | A- | | 4.950% due 4/15/50 | | | 177,263 | |
| | | | | | EQT Corp., Senior Unsecured Notes: | | | | |
| | 10,000 | | | BBB- | | 6.125% due 2/1/25 | | | 10,291 | |
| | 360,000 | | | BBB- | | 3.900% due 10/1/27 | | | 341,257 | |
| | 60,000 | | | BBB- | | 5.000% due 1/15/29 | | | 58,804 | |
| | 130,000 | | | BBB- | | 3.625% due 5/15/31(a) | | | 114,959 | |
| | | | | | Exxon Mobil Corp., Senior Unsecured Notes: | | | | |
| | 20,000 | | | AA- | | 1.571% due 4/15/23 | | | 19,783 | |
| | 430,000 | | | AA- | | 2.992% due 3/19/25 | | | 421,069 | |
| | 380,000 | | | AA- | | 3.043% due 3/1/26 | | | 370,678 | |
| | 180,000 | | | AA- | | 3.482% due 3/19/30 | | | 172,941 | |
| | 70,000 | | | AA- | | 4.114% due 3/1/46 | | | 64,866 | |
| | 110,000 | | | AA- | | 4.327% due 3/19/50 | | | 105,290 | |
| | 100,000 | | | AA- | | 3.452% due 4/15/51 | | | 83,006 | |
| | 75,000 | | | BBB- | | Hess Corp., Senior Unsecured Notes, 5.800% due 4/1/47 | | | 74,813 | |
| | 200,000 | | | Baa2(b) | | KazMunayGas National Co. JSC, Senior Unsecured Notes, 5.375% due 4/24/30 | | | 187,219 | |
| | 28,000 | | | BBB | | Marathon Petroleum Corp., Senior Unsecured Notes, 6.500% due 3/1/41 | | | 30,356 | |
| | 30,000 | | | BB- | | MEG Energy Corp., Company Guaranteed Notes, 5.875% due 2/1/29(a) | | | 27,942 | |
| | | | | | Occidental Petroleum Corp., Senior Unsecured Notes: | | | | |
| | 200,000 | | | BB+ | | 6.950% due 7/1/24 | | | 209,000 | |
| | 760,000 | | | BB+ | | 5.550% due 3/15/26 | | | 779,380 | |
| | 90,000 | | | BB+ | | 3.400% due 4/15/26 | | | 86,531 | |
| | 197,000 | | | BB+ | | 6.625% due 9/1/30 | | | 210,731 | |
| | 295,000 | | | BB+ | | 7.500% due 5/1/31 | | | 332,669 | |
| | 75,000 | | | BB+ | | 7.875% due 9/15/31 | | | 86,555 | |
| | 233,000 | | | BB+ | | zero coupon due 10/10/36 | | | 121,534 | |
| | 150,000 | | | BB+ | | 4.500% due 7/15/44 | | | 130,034 | |
| | 90,000 | | | BB+ | | 4.625% due 6/15/45 | | | 79,786 | |
| | 30,000 | | | BB+ | | 4.100% due 2/15/47 | | | 25,425 | |
| | 560,000 | | | BB+ | | 4.200% due 3/15/48 | | | 471,506 | |
| | 200,000 | | | Baa2(b) | | Pertamina Persero PT, Senior Unsecured Notes, 3.100% due 8/27/30(a) | | | 178,461 | |
| | 1,060,000 | | | BB- | | Petrobras Global Finance BV, Company Guaranteed Notes, 5.750% due 2/1/29 | | | 1,063,970 | |
| | | | | | Petroleos Mexicanos, Company Guaranteed Notes: | | | | |
| | 19,000 | | | BBB | | 6.625% due 6/15/35 | | | 13,671 | |
| | 1,170,000 | | | BBB | | 6.750% due 9/21/47 | | | 739,153 | |
| | 170,000 | | | BBB | | 6.950% due 1/28/60 | | | 107,019 | |
| | 400,000 | | | A- | | Petronas Capital Ltd., Company Guaranteed Notes, 2.480% due 1/28/32(a) | | | 349,519 | |
| | | | | | Pioneer Natural Resources Co., Senior Unsecured Notes: | | | | |
| | 30,000 | | | BBB | | 1.125% due 1/15/26 | | | 26,855 | |
| | 50,000 | | | BBB | | 1.900% due 8/15/30 | | | 40,906 | |
| | 330,000 | | | BBB | | 2.150% due 1/15/31 | | | 272,791 | |
| | 200,000 | | | AA- | | Qatar Energy, Senior Unsecured Notes, 2.250% due 7/12/31 | | | 174,825 | |
| | | | | | Range Resources Corp., Company Guaranteed Notes: | | | | |
| | 105,000 | | | Ba3(b) | | 5.000% due 3/15/23 | | | 105,004 | |
| | 50,000 | | | BB | | 4.875% due 5/15/25 | | | 48,591 | |
| | 450,000 | | | BBB+ | | Reliance Industries Ltd., Senior Unsecured Notes, 3.625% due 1/12/52(a) | | | 341,911 | |
See Notes to Financial Statements.
183
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Oil & Gas — 1.6% — (continued) | |
| | | | | | Shell International Finance BV, Company Guaranteed Notes: | | | | |
| $ | 260,000 | | | A+ | | 2.875% due 5/10/26 | | $ | 251,194 | |
| | 300,000 | | | A+ | | 3.875% due 11/13/28 | | | 295,180 | |
| | 60,000 | | | A+ | | 2.750% due 4/6/30 | | | 54,041 | |
| | 90,000 | | | A+ | | 4.550% due 8/12/43 | | | 86,617 | |
| | 220,000 | | | A+ | | 4.375% due 5/11/45 | | | 206,954 | |
| | 40,000 | | | A+ | | 4.000% due 5/10/46 | | | 35,809 | |
| | 480,000 | | | A+ | | 3.250% due 4/6/50 | | | 382,791 | |
| | 400,000 | | | A+ | | Sinopec Group Overseas Development 2014 Ltd., Company Guaranteed Notes, 4.375% due 4/10/24(a) | | | 403,025 | |
| | | | | | Southwestern Energy Co., Company Guaranteed Notes: | | | | |
| | 10,000 | | | BB+ | | 5.375% due 2/1/29 | | | 9,470 | |
| | 40,000 | | | BB+ | | 5.375% due 3/15/30 | | | 37,546 | |
| | 70,000 | | | BB+ | | 4.750% due 2/1/32 | | | 62,493 | |
| | | | | | Suncor Energy Inc., Senior Unsecured Notes: | | | | |
| | 58,000 | | | BBB+ | | 6.800% due 5/15/38 | | | 64,206 | |
| | 51,000 | | | BBB+ | | 6.850% due 6/1/39 | | | 57,137 | |
| | 425,000 | | | BB | | Sunoco LP/Sunoco Finance Corp., Company Guaranteed Notes, 4.500% due 5/15/29 | | | 362,016 | |
| | 122,500 | | | CCC+ | | Transocean Poseidon Ltd., Senior Secured Notes, 6.875% due 2/1/27(a) | | | 115,563 | |
| | 1,550,000 | | | BBB- | | Viper Energy Partners LP, Company Guaranteed Notes, 5.375% due 11/1/27(a) | | | 1,486,435 | |
| | | | | | | | | | |
| | | | | | Total Oil & Gas | | | 20,905,405 | |
| | | | | | | | | | |
|
| Oil & Gas Services — 0.1% | |
| | | | | | Halliburton Co., Senior Unsecured Notes: | | | | |
| | 4,000 | | | BBB+ | | 3.800% due 11/15/25 | | | 3,959 | |
| | 20,000 | | | BBB+ | | 4.850% due 11/15/35 | | | 19,091 | |
| | 50,000 | | | BBB+ | | 5.000% due 11/15/45 | | | 45,796 | |
| | | | | | Schlumberger Holdings Corp., Senior Unsecured Notes: | | | | |
| | 90,000 | | | A | | 4.000% due 12/21/25(a) | | | 88,780 | |
| | 171,000 | | | A | | 3.900% due 5/17/28(a) | | | 163,988 | |
| | 242,100 | | | CCC+ | | Transocean Phoenix 2 Ltd., Senior Secured Notes, 7.750% due 10/15/24(a) | | | 237,599 | |
| | 56,250 | | | CCC+ | | Transocean Proteus Ltd., Senior Secured Notes, 6.250% due 12/1/24(a) | | | 54,747 | |
| | | | | | | | | | |
| | | | | | Total Oil & Gas Services | | | 613,960 | |
| | | | | | | | | | |
|
| Packaging & Containers — 0.2% | |
| | 236,000 | | | BBB | | Amcor Flexibles North America Inc., Company Guaranteed Notes, 2.690% due 5/25/31 | | | 194,609 | |
| | | | | | Ardagh Packaging Finance PLC/Ardagh Holdings USA Inc.: | | | | |
| | 330,000 | | | B- | | Company Guaranteed Notes, 5.250% due 8/15/27(a) | | | 239,164 | |
| | 215,000 | | | B- | | Senior Unsecured Notes, 5.250% due 8/15/27(a) | | | 155,819 | |
| | | | | | Ball Corp., Company Guaranteed Notes: | | | | |
| | 130,000 | | | BB+ | | 4.000% due 11/15/23 | | | 128,799 | |
| | 110,000 | | | BB+ | | 3.125% due 9/15/31 | | | 89,250 | |
| | | | | | Berry Global Inc., Senior Secured Notes: | | | | |
| | 530,000 | | | BBB- | | 1.570% due 1/15/26 | | | 474,445 | |
| | 510,000 | | | BBB- | | 4.875% due 7/15/26(a) | | | 497,227 | |
| | 475,000 | | | BB | | Graphic Packaging International LLC, Company Guaranteed Notes, 4.125% due 8/15/24 | | | 462,512 | |
| | 215,000 | | | B | | Trivium Packaging Finance BV, Senior Secured Notes, 5.500% due 8/15/26(a) | | | 206,763 | |
| | | | | | | | | | |
| | | | | | Total Packaging & Containers | | | 2,448,588 | |
| | | | | | | | | | |
|
| Pharmaceuticals — 1.6% | |
| | | | | | AbbVie Inc., Senior Unsecured Notes: | | | | |
| | 680,000 | | | BBB+ | | 2.300% due 11/21/22 | | | 678,680 | |
| | 30,000 | | | BBB+ | | 3.750% due 11/14/23 | | | 29,952 | |
| | 730,000 | | | BBB+ | | 2.600% due 11/21/24 | | | 706,065 | |
| | 260,000 | | | BBB+ | | 3.800% due 3/15/25 | | | 256,717 | |
| | 100,000 | | | BBB+ | | 3.600% due 5/14/25 | | | 98,263 | |
See Notes to Financial Statements.
184
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Pharmaceuticals — 1.6% — (continued) | |
| $ | 150,000 | | | BBB+ | | 2.950% due 11/21/26 | | $ | 141,773 | |
| | 880,000 | | | BBB+ | | 3.200% due 11/21/29 | | | 806,829 | |
| | 171,000 | | | BBB+ | | 4.550% due 3/15/35 | | | 164,828 | |
| | 185,000 | | | BBB+ | | 4.500% due 5/14/35 | | | 176,748 | |
| | 546,000 | | | BBB+ | | 4.300% due 5/14/36 | | | 510,784 | |
| | 420,000 | | | BBB+ | | 4.050% due 11/21/39 | | | 371,825 | |
| | 7,000 | | | BBB+ | | 4.625% due 10/1/42 | | | 6,474 | |
| | 489,000 | | | BBB+ | | 4.400% due 11/6/42 | | | 444,605 | |
| | 150,000 | | | BBB+ | | 4.750% due 3/15/45 | | | 140,866 | |
| | 10,000 | | | BBB+ | | 4.875% due 11/14/48 | | | 9,748 | |
| | 575,000 | | | BBB+ | | 4.250% due 11/21/49 | | | 506,108 | |
| | 255,000 | | | WR(b) | | Allergan Funding SCS, Company Guaranteed Notes, 4.550% due 3/15/35 | | | 228,808 | |
| | | | | | Bayer US Finance II LLC, Company Guaranteed Notes: | | | | |
| | 280,000 | | | BBB | | 4.250% due 12/15/25(a) | | | 275,743 | |
| | 625,000 | | | BBB | | 4.375% due 12/15/28(a) | | | 602,461 | |
| | 285,000 | | | BBB | | 4.625% due 6/25/38(a) | | | 255,072 | |
| | 140,000 | | | BBB | | 4.400% due 7/15/44(a) | | | 114,606 | |
| | 970,000 | | | BBB | | 4.875% due 6/25/48(a) | | | 883,205 | |
| | | | | | Becton Dickinson & Co., Senior Unsecured Notes: | | | | |
| | 377,000 | | | BBB | | 3.363% due 6/6/24 | | | 372,951 | |
| | 17,000 | | | BBB | | 3.734% due 12/15/24 | | | 16,867 | |
| | 865,000 | | | BBB | | 2.823% due 5/20/30 | | | 765,874 | |
| | 42,000 | | | BBB | | 4.685% due 12/15/44 | | | 40,024 | |
| | | | | | Bristol-Myers Squibb Co., Senior Unsecured Notes: | | | | |
| | 326,000 | | | A+ | | 2.900% due 7/26/24 | | | 321,067 | |
| | 158,000 | | | A+ | | 3.200% due 6/15/26 | | | 154,821 | |
| | 41,000 | | | A+ | | 3.400% due 7/26/29 | | | 39,268 | |
| | | | | | Cigna Corp.: | | | | |
| | | | | | Company Guaranteed Notes: | | | | |
| | 216,000 | | | A- | | 3.750% due 7/15/23 | | | 216,075 | |
| | 65,000 | | | A- | | 3.500% due 6/15/24 | | | 64,553 | |
| | 624,000 | | | A- | | 4.125% due 11/15/25 | | | 620,561 | |
| | 244,000 | | | A- | | 3.400% due 3/1/27 | | | 234,074 | |
| | 720,000 | | | A- | | 4.375% due 10/15/28 | | | 710,945 | |
| | 300,000 | | | A- | | 4.800% due 8/15/38 | | | 290,471 | |
| | 30,000 | | | A- | | 4.900% due 12/15/48 | | | 28,683 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 210,000 | | | A- | | 3.200% due 3/15/40 | | | 165,793 | |
| | 570,000 | | | A- | | 3.400% due 3/15/51 | | | 436,188 | |
| | | | | | CVS Health Corp., Senior Unsecured Notes: | | | | |
| | 340,000 | | | BBB | | 2.750% due 12/1/22 | | | 340,000 | |
| | 116,000 | | | BBB | | 3.875% due 7/20/25 | | | 115,302 | |
| | 180,000 | | | BBB | | 3.000% due 8/15/26 | | | 173,489 | |
| | 207,000 | | | BBB | | 3.625% due 4/1/27 | | | 201,833 | |
| | 244,000 | | | BBB | | 4.300% due 3/25/28 | | | 241,780 | |
| | 620,000 | | | BBB | | 3.750% due 4/1/30 | | | 584,445 | |
| | 257,000 | | | BBB | | 2.125% due 9/15/31 | | | 209,989 | |
| | 500,000 | | | BBB | | 4.875% due 7/20/35 | | | 490,436 | |
| | 440,000 | | | BBB | | 4.780% due 3/25/38 | | | 420,022 | |
| | 50,000 | | | BBB | | 4.125% due 4/1/40 | | | 43,896 | |
| | 457,000 | | | BBB | | 5.125% due 7/20/45 | | | 440,840 | |
| | 1,710,000 | | | BBB | | 5.050% due 3/25/48 | | | 1,652,728 | |
| | 30,000 | | | BBB | | 4.250% due 4/1/50 | | | 25,901 | |
| | 119,369 | | | BBB | | CVS Pass-Through Trust, Senior Secured Notes, 6.036% due 12/10/28 | | | 122,350 | |
| | 212,000 | | | D | | Endo Dac/Endo Finance LLC/Endo Finco Inc., Company Guaranteed Notes, 6.000% due 6/30/28(a)(g) | | | 12,190 | |
See Notes to Financial Statements.
185
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Pharmaceuticals — 1.6% — (continued) | |
| $ | 88,000 | | | A- | | Evernorth Health Inc., Company Guaranteed Notes, 4.500% due 2/25/26 | | $ | 88,439 | |
| | | | | | Johnson & Johnson, Senior Unsecured Notes: | | | | |
| | 100,000 | | | AAA | | 0.550% due 9/1/25 | | | 91,775 | |
| | 400,000 | | | AAA | | 2.450% due 3/1/26 | | | 384,961 | |
| | 210,000 | | | AAA | | 0.950% due 9/1/27 | | | 185,210 | |
| | 110,000 | | | AAA | | 3.625% due 3/3/37 | | | 102,615 | |
| | 220,000 | | | A+ | | Merck & Co., Inc., Senior Unsecured Notes, 2.750% due 12/10/51 | | | 160,113 | |
| | 215,000 | | | B- | | Option Care Health Inc., Company Guaranteed Notes, 4.375% due 10/31/29(a) | | | 189,412 | |
| | | | | | Pfizer Inc., Senior Unsecured Notes: | | | | |
| | 230,000 | | | A+ | | 0.800% due 5/28/25 | | | 213,181 | |
| | 160,000 | | | A+ | | 2.625% due 4/1/30 | | | 144,468 | |
| | 140,000 | | | A+ | | 1.700% due 5/28/30 | | | 118,837 | |
| | 259,000 | | | BBB+ | | Shire Acquisitions Investments Ireland DAC, Company Guaranteed Notes, 3.200% due 9/23/26 | | | 247,925 | |
| | 407,000 | | | BBB+ | | Takeda Pharmaceutical Co., Ltd., Senior Unsecured Notes, 2.050% due 3/31/30 | | | 341,613 | |
| | 50,000 | | | BB- | | Teva Pharmaceutical Finance Co. BV, Company Guaranteed Notes, 2.950% due 12/18/22 | | | 49,716 | |
| | | | | | Teva Pharmaceutical Finance Netherlands III BV, Company Guaranteed Notes: | | | | |
| | 300,000 | | | BB- | | 2.800% due 7/21/23 | | | 288,135 | |
| | 220,000 | | | BB- | | 7.125% due 1/31/25 | | | 218,094 | |
| | 560,000 | | | BB- | | 3.150% due 10/1/26 | | | 471,122 | |
| | 720,000 | | | BB- | | 5.125% due 5/9/29 | | | 630,535 | |
| | 130,000 | | | A+ | | Wyeth LLC, Company Guaranteed Notes, 5.950% due 4/1/37 | | | 148,236 | |
| | | | | | | | | | |
| | | | | | Total Pharmaceuticals | | | 21,037,963 | |
| | | | | | | | | | |
|
| Pipelines — 1.7% | |
| | | | | | Cameron LNG LLC, Senior Secured Notes: | | | | |
| | 50,000 | | | A | | 2.902% due 7/15/31(a) | | | 44,111 | |
| | 893,000 | | | A | | 3.302% due 1/15/35(a) | | | 761,712 | |
| | 28,000 | | | A | | 3.402% due 1/15/38(a) | | | 23,908 | |
| | | | | | Cheniere Corpus Christi Holdings LLC, Senior Secured Notes: | | | | |
| | 100,000 | | | BBB- | | 7.000% due 6/30/24 | | | 102,884 | |
| | 945,000 | | | BBB- | | 5.875% due 3/31/25 | | | 965,735 | |
| | 644,000 | | | BBB- | | 5.125% due 6/30/27 | | | 644,413 | |
| | 180,000 | | | BBB- | | 3.700% due 11/15/29 | | | 166,081 | |
| | 114,000 | | | Baa3(b) | | 2.742% due 12/31/39 | | | 89,418 | |
| | | | | | Cheniere Energy Partners LP, Company Guaranteed Notes: | | | | |
| | 200,000 | | | BB+ | | 4.500% due 10/1/29 | | | 183,775 | |
| | 560,000 | | | BB+ | | 4.000% due 3/1/31 | | | 491,436 | |
| | 200,000 | | | BB+ | | 3.250% due 1/31/32 | | | 160,352 | |
| | 40,000 | | | BBB+ | | DCP Midstream Operating LP, Company Guaranteed Notes, 6.450% due 11/3/36(a) | | | 40,388 | |
| | 38,000 | | | NR | | Eastern Gas Transmission & Storage Inc., 4.600% due 12/15/44 | | | 34,906 | |
| | | | | | Energy Transfer LP: | | | | |
| | 10,000 | | | BBB- | | Company Guaranteed Notes, 5.350% due 5/15/45 | | | 8,860 | |
| | | | | | Junior Subordinated Notes: | | | | |
| | 40,000 | | | BB | | 6.250% (3-Month USD-LIBOR + 4.028%)(c)(d) | | | 33,450 | |
| | 80,000 | | | BB | | 6.500% (5-Year CMT Index + 5.694%)(c)(d) | | | 74,067 | |
| | 180,000 | | | BB | | 6.750% (5-Year CMT Index + 5.134%)(c)(d) | | | 163,840 | |
| | 240,000 | | | BB | | 7.125% (5-Year CMT Index + 5.306%)(c)(d) | | | 219,063 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 224,000 | | | BBB- | | 3.600% due 2/1/23 | | | 223,758 | |
| | 230,000 | | | BBB- | | 5.875% due 1/15/24 | | | 233,345 | |
| | 270,000 | | | BBB- | | 4.500% due 4/15/24 | | | 269,291 | |
| | 707,000 | | | BBB- | | 3.900% due 5/15/24 | | | 697,942 | |
| | 625,000 | | | BBB- | | 5.500% due 6/1/27 | | | 633,809 | |
| | 183,000 | | | BBB- | | 4.950% due 6/15/28 | | | 180,430 | |
See Notes to Financial Statements.
186
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Pipelines — 1.7% — (continued) | |
| $ | 679,000 | | | BBB- | | 5.250% due 4/15/29 | | $ | 664,204 | |
| | 80,000 | | | BBB- | | 8.250% due 11/15/29 | | | 92,783 | |
| | 630,000 | | | BBB- | | 3.750% due 5/15/30 | | | 568,206 | |
| | 200,000 | | | BBB- | | 5.300% due 4/1/44 | | | 176,450 | |
| | 545,000 | | | BBB- | | 5.400% due 10/1/47 | | | 488,001 | |
| | 200,000 | | | BBB- | | 6.000% due 6/15/48 | | | 191,030 | |
| | 320,000 | | | BBB- | | 6.250% due 4/15/49 | | | 315,376 | |
| | 1,343,000 | | | BBB- | | 5.000% due 5/15/50 | | | 1,157,200 | |
| | | | | | Enterprise Products Operating LLC, Company Guaranteed Notes: | | | | |
| | 50,000 | | | BBB+ | | 3.900% due 2/15/24 | | | 49,892 | |
| | 780,000 | | | BBB+ | | 4.150% due 10/16/28 | | | 766,993 | |
| | 340,000 | | | BBB+ | | 2.800% due 1/31/30 | | | 300,391 | |
| | 200,000 | | | BBB+ | | 4.850% due 3/15/44 | | | 185,863 | |
| | 181,000 | | | BBB+ | | 4.200% due 1/31/50 | | | 154,308 | |
| | 300,000 | | | BBB+ | | 3.700% due 1/31/51 | | | 236,435 | |
| | 165,000 | | | BBB+ | | 3.300% due 2/15/53 | | | 123,064 | |
| | 70,000 | | | BBB+ | | 3.950% due 1/31/60 | | | 54,859 | |
| | 60,000 | | | BBB- | | 5.375% (3-Month USD-LIBOR + 2.570%) due 2/15/78(c) | | | 49,471 | |
| | 192,172 | | | Aa2(b) | | Galaxy Pipeline Assets Bidco Ltd., Senior Secured Notes, 2.160% due 3/31/34(a) | | | 168,163 | |
| | 42,000 | | | BBB | | Kinder Morgan Energy Partners LP, Company Guaranteed Notes, 6.950% due 1/15/38 | | | 45,681 | |
| | | | | | Kinder Morgan Inc., Company Guaranteed Notes: | | | | |
| | 480,000 | | | BBB | | 5.625% due 11/15/23(a) | | | 484,828 | |
| | 290,000 | | | BBB | | 4.300% due 3/1/28 | | | 284,156 | |
| | 240,000 | | | BBB | | 5.550% due 6/1/45 | | | 234,653 | |
| | 10,000 | | | BBB | | 5.200% due 3/1/48 | | | 9,344 | |
| | 191,000 | | | BBB | | 3.600% due 2/15/51 | | | 142,815 | |
| | 35,000 | | | BBB+ | | Magellan Midstream Partners LP, Senior Unsecured Notes, 4.200% due 10/3/47 | | | 28,705 | |
| | 545,000 | | | A- | | Midwest Connector Capital Co. LLC, Company Guaranteed Notes, 4.625% due 4/1/29(a) | | | 510,948 | |
| | | | | | MPLX LP, Senior Unsecured Notes: | | | | |
| | 180,000 | | | BBB | | 4.875% due 6/1/25 | | | 180,999 | |
| | 550,000 | | | BBB | | 4.800% due 2/15/29 | | | 538,778 | |
| | 150,000 | | | BBB | | 4.500% due 4/15/38 | | | 133,166 | |
| | 260,000 | | | BBB | | 4.700% due 4/15/48 | | | 223,014 | |
| | 150,000 | | | BBB | | 5.500% due 2/15/49 | | | 143,535 | |
| | | | | | NGPL PipeCo LLC, Senior Unsecured Notes: | | | | |
| | 190,000 | | | BBB- | | 4.875% due 8/15/27(a) | | | 184,611 | |
| | 277,000 | | | BBB- | | 3.250% due 7/15/31(a) | | | 232,338 | |
| | | | | | Northern Natural Gas Co., Senior Unsecured Notes: | | | | |
| | 94,000 | | | A | | 4.300% due 1/15/49(a) | | | 79,334 | |
| | 50,000 | | | A | | 3.400% due 10/16/51(a) | | | 37,436 | |
| | 426,000 | | | BBB | | Northwest Pipeline LLC, Senior Unsecured Notes, 4.000% due 4/1/27 | | | 411,665 | |
| | | | | | Rockies Express Pipeline LLC, Senior Unsecured Notes: | | | | |
| | 300,000 | | | BB+ | | 4.950% due 7/15/29(a) | | | 270,878 | |
| | 280,000 | | | BB+ | | 6.875% due 4/15/40(a) | | | 233,671 | |
| | 287,879 | | | WR(b) | | Ruby Pipeline LLC, Senior Unsecured Notes, 8.000% due 4/1/22(a)(f)(g) | | | 241,818 | |
| | | | | | Sabine Pass Liquefaction LLC, Senior Secured Notes: | | | | |
| | 135,000 | | | BBB | | 5.000% due 3/15/27 | | | 134,875 | |
| | 485,000 | | | BBB | | 4.500% due 5/15/30 | | | 464,846 | |
| | 258,000 | | | BBB+ | | Southern Natural Gas Co. LLC, Senior Unsecured Notes, 8.000% due 3/1/32 | | | 299,409 | |
| | | | | | Targa Resources Corp., Company Guaranteed Notes: | | | | |
| | 130,000 | | | BBB- | | 4.200% due 2/1/33 | | | 117,187 | |
| | 135,000 | | | BBB- | | 4.950% due 4/15/52 | | | 117,026 | |
| | | | | | Targa Resources Partners LP/Targa Resources Partners Finance Corp., Company Guaranteed Notes: | | | | |
| | 50,000 | | | BBB- | | 6.500% due 7/15/27 | | | 51,503 | |
See Notes to Financial Statements.
187
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Pipelines — 1.7% — (continued) | |
| $ | 135,000 | | | BBB- | | 5.000% due 1/15/28 | | $ | 131,805 | |
| | 20,000 | | | BBB- | | 6.875% due 1/15/29 | | | 20,467 | |
| | 247,000 | | | BBB- | | 5.500% due 3/1/30 | | | 241,612 | |
| | 240,000 | | | BBB- | | 4.875% due 2/1/31 | | | 222,037 | |
| | 40,000 | | | BBB- | | 4.000% due 1/15/32 | | | 35,086 | |
| | 560,000 | | | BBB | | Tennessee Gas Pipeline Co. LLC, Company Guaranteed Notes, 2.900% due 3/1/30(a) | | | 483,128 | |
| | | | | | Texas Eastern Transmission LP, Senior Unsecured Notes: | | | | |
| | 30,000 | | | BBB+ | | 2.800% due 10/15/22(a) | | | 29,940 | |
| | 244,000 | | | BBB+ | | 3.500% due 1/15/28(a) | | | 228,483 | |
| | 102,000 | | | BBB+ | | 7.000% due 7/15/32 | | | 114,506 | |
| | 221,000 | | | BBB+ | | 4.150% due 1/15/48(a) | | | 182,833 | |
| | | | | | Transcontinental Gas Pipe Line Co. LLC, Senior Unsecured Notes: | | | | |
| | 1,178,000 | | | BBB | | 7.850% due 2/1/26 | | | 1,289,099 | |
| | 650,000 | | | BBB | | 4.000% due 3/15/28 | | | 625,791 | |
| | 110,000 | | | BB | | Venture Global Calcasieu Pass LLC, Senior Secured Notes, 3.875% due 11/1/33(a) | | | 91,942 | |
| | | | | | Western Midstream Operating LP, Senior Unsecured Notes: | | | | |
| | 50,000 | | | BBB- | | 3.555% (3-Month USD-LIBOR + 1.100%) due 1/13/23(c) | | | 49,810 | |
| | 140,000 | | | BBB- | | 3.350% due 2/1/25 | | | 132,350 | |
| | 40,000 | | | BBB- | | 4.500% due 3/1/28 | | | 37,190 | |
| | 430,000 | | | BBB- | | 4.300% due 2/1/30 | | | 387,082 | |
| | 90,000 | | | BBB- | | 5.500% due 8/15/48 | | | 78,601 | |
| | 90,000 | | | BBB- | | 5.500% due 2/1/50 | | | 78,048 | |
| | | | | | Williams Cos., Inc. (The), Senior Unsecured Notes: | | | | |
| | 50,000 | | | BBB | | 7.500% due 1/15/31 | | | 56,873 | |
| | 260,000 | | | BBB | | 7.750% due 6/15/31 | | | 300,442 | |
| | 116,000 | | | BBB | | 8.750% due 3/15/32 | | | 143,849 | |
| | | | | | | | | | |
| | | | | | Total Pipelines | | | 22,987,856 | |
| | | | | | | | | | |
|
| Real Estate Investment Trusts (REITs) — 1.2% | |
| | | | | | Alexandria Real Estate Equities Inc., Company Guaranteed Notes: | | | | |
| | 400,000 | | | BBB+ | | 4.900% due 12/15/30 | | | 399,348 | |
| | 256,000 | | | BBB+ | | 2.950% due 3/15/34 | | | 216,831 | |
| | 520,000 | | | BBB- | | American Assets Trust LP, Company Guaranteed Notes, 3.375% due 2/1/31 | | | 440,025 | |
| | | | | | American Tower Corp., Senior Unsecured Notes: | | | | |
| | 31,000 | | | BBB- | | 2.950% due 1/15/25 | | | 29,888 | |
| | 197,000 | | | BBB- | | 1.500% due 1/31/28 | | | 166,178 | |
| | 111,000 | | | BBB- | | 3.950% due 3/15/29 | | | 104,343 | |
| | 134,000 | | | BBB- | | 3.800% due 8/15/29 | | | 124,476 | |
| | 208,000 | | | BBB- | | 2.100% due 6/15/30 | | | 168,550 | |
| | 439,000 | | | BBB- | | 2.300% due 9/15/31 | | | 349,923 | |
| | 515,000 | | | BBB- | | Brixmor Operating Partnership LP, Senior Unsecured Notes, 4.050% due 7/1/30 | | | 459,418 | |
| | | | | | Crown Castle International Corp., Senior Unsecured Notes: | | | | |
| | 51,000 | | | BBB- | | 3.150% due 7/15/23 | | | 50,669 | |
| | 116,000 | | | BBB- | | 3.700% due 6/15/26 | | | 112,618 | |
| | 267,000 | | | BBB- | | 3.800% due 2/15/28 | | | 252,467 | |
| | 150,000 | | | BBB- | | 3.100% due 11/15/29 | | | 133,063 | |
| | 536,000 | | | BBB- | | 2.250% due 1/15/31 | | | 437,162 | |
| | 386,000 | | | BBB- | | 2.500% due 7/15/31 | | | 318,228 | |
| | 74,000 | | | BBB- | | 4.150% due 7/1/50 | | | 61,834 | |
| | 40,000 | | | BB+ | | CTR Partnership LP/CareTrust Capital Corp., Company Guaranteed Notes, 3.875% due 6/30/28(a) | | | 33,942 | |
| | | | | | Duke Realty LP, Senior Unsecured Notes: | | | | |
| | 392,000 | | | BBB+ | | 2.875% due 11/15/29 | | | 352,210 | |
| | 139,000 | | | BBB+ | | 1.750% due 7/1/30 | | | 114,762 | |
| | 134,000 | | | BBB+ | | 2.250% due 1/15/32 | | | 111,478 | |
See Notes to Financial Statements.
188
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Real Estate Investment Trusts (REITs) — 1.2% — (continued) | |
| | | | | | Equinix Inc., Senior Unsecured Notes: | | | | |
| $ | 427,000 | | | BBB | | 2.000% due 5/15/28 | | $ | 368,079 | |
| | 505,000 | | | BBB | | 3.200% due 11/18/29 | | | 453,887 | |
| | 469,000 | | | BBB | | 3.900% due 4/15/32 | | | 426,891 | |
| | | | | | GLP Capital LP/GLP Financing II Inc., Company Guaranteed Notes: | | | | |
| | 705,000 | | | BBB- | | 5.250% due 6/1/25 | | | 697,259 | |
| | 900,000 | | | BBB- | | 5.375% due 4/15/26 | | | 885,557 | |
| | 220,000 | | | BBB- | | 5.300% due 1/15/29 | | | 212,992 | |
| | 492,000 | | | BBB- | | 4.000% due 1/15/30 | | | 431,843 | |
| | 875,000 | | | BBB- | | 3.250% due 1/15/32 | | | 713,074 | |
| | | | | | Healthcare Realty Holdings LP, Company Guaranteed Notes: | | | | |
| | 475,000 | | | BBB | | 3.625% due 1/15/28 | | | 437,056 | |
| | 810,000 | | | BBB | | 3.100% due 2/15/30 | | | 700,599 | |
| | 31,000 | | | BBB+ | | Healthpeak Properties Inc., Senior Unsecured Notes, 3.400% due 2/1/25 | | | 30,307 | |
| | 545,000 | | | BBB- | | Hudson Pacific Properties LP, Company Guaranteed Notes, 4.650% due 4/1/29 | | | 513,296 | |
| | | | | | Invitation Homes Operating Partnership LP, Company Guaranteed Notes: | | | | |
| | 70,000 | | | BBB- | | 2.300% due 11/15/28 | | | 58,632 | |
| | 522,000 | | | BBB- | | 4.150% due 4/15/32 | | | 470,381 | |
| | 250,000 | | | BB- | | Iron Mountain Inc., Company Guaranteed Notes, 5.250% due 7/15/30(a) | | | 221,544 | |
| | 325,000 | | | BBB | | Kilroy Realty LP, Company Guaranteed Notes, 2.650% due 11/15/33 | | | 247,911 | |
| | 146,000 | | | BBB+ | | Kimco Realty Corp., Senior Unsecured Notes, 4.600% due 2/1/33 | | | 141,740 | |
| | | | | | Life Storage LP, Company Guaranteed Notes: | | | | |
| | 350,000 | | | BBB | | 3.875% due 12/15/27 | | | 331,563 | |
| | 170,000 | | | BBB | | 2.400% due 10/15/31 | | | 136,170 | |
| | | | | | MPT Operating Partnership LP/MPT Finance Corp., Company Guaranteed Notes: | | | | |
| | 40,000 | | | BBB- | | 5.000% due 10/15/27 | | | 35,984 | |
| | 20,000 | | | BBB- | | 4.625% due 8/1/29 | | | 17,063 | |
| | 160,000 | | | BBB- | | 3.500% due 3/15/31 | | | 120,237 | |
| | | | | | National Retail Properties Inc., Senior Unsecured Notes: | | | | |
| | 314,000 | | | BBB+ | | 3.100% due 4/15/50 | | | 216,440 | |
| | 150,000 | | | BBB+ | | 3.500% due 4/15/51 | | | 111,950 | |
| | 177,000 | | | BBB+ | | 3.000% due 4/15/52 | | | 119,233 | |
| | 67,000 | | | A | | Prologis LP, Senior Unsecured Notes, 3.000% due 4/15/50 | | | 51,105 | |
| | 144,000 | | | A- | | Realty Income Corp., Senior Unsecured Notes, 3.250% due 1/15/31 | | | 129,633 | |
| | 800,000 | | | BBB- | | SL Green Operating Partnership LP, Company Guaranteed Notes, 3.250% due 10/15/22 | | | 798,456 | |
| | | | | | VICI Properties LP, Senior Unsecured Notes: | | | | |
| | 30,000 | | | BBB- | | 4.950% due 2/15/30 | | | 28,846 | |
| | 445,000 | | | BBB- | | 5.125% due 5/15/32 | | | 423,084 | |
| | 260,000 | | | BBB- | | 5.625% due 5/15/52 | | | 240,900 | |
| | | | | | VICI Properties LP/VICI Notes Co., Inc., Company Guaranteed Notes: | | | | |
| | 80,000 | | | BBB- | | 4.625% due 6/15/25(a) | | | 77,551 | |
| | 75,000 | | | BBB- | | 4.500% due 9/1/26(a) | | | 70,769 | |
| | 295,000 | | | BBB- | | 4.250% due 12/1/26(a) | | | 276,318 | |
| | 190,000 | | | BBB- | | 5.750% due 2/1/27(a) | | | 187,321 | |
| | 768,000 | | | BBB- | | 3.750% due 2/15/27(a) | | | 696,390 | |
| | 200,000 | | | BBB- | | 4.500% due 1/15/28(a) | | | 185,749 | |
| | 255,000 | | | BBB- | | 3.875% due 2/15/29(a) | | | 227,142 | |
| | | | | | | | | | |
| | | | | | Total Real Estate Investment Trusts (REITs) | | | 15,930,365 | |
| | | | | | | | | | |
|
| Retail — 0.3% | |
| | 250,000 | | | BBB | | Alimentation Couche-Tard Inc., Company Guaranteed Notes, 3.550% due 7/26/27(a) | | | 235,098 | |
| | | | | | Costco Wholesale Corp., Senior Unsecured Notes: | | | | |
| | 260,000 | | | A+ | | 1.375% due 6/20/27 | | | 233,834 | |
| | 160,000 | | | A+ | | 1.600% due 4/20/30 | | | 135,285 | |
| | 60,000 | | | CCC+ | | Fertitta Entertainment LLC/Fertitta Entertainment Finance Co., Inc., Company Guaranteed Notes, 6.750% due 1/15/30(a) | | | 49,032 | |
See Notes to Financial Statements.
189
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | �� |
|
| Retail — 0.3% — (continued) | |
| | | | | | Home Depot Inc. (The), Senior Unsecured Notes: | | | | |
| $ | 210,000 | | | A | | 2.500% due 4/15/27 | | $ | 198,840 | |
| | 450,000 | | | A | | 3.250% due 4/15/32 | | | 416,865 | |
| | 70,000 | | | A | | 3.300% due 4/15/40 | | | 58,863 | |
| | 20,000 | | | A | | 3.900% due 6/15/47 | | | 17,673 | |
| | 210,000 | | | A | | 3.350% due 4/15/50 | | | 168,510 | |
| | | | | | Lowe’s Cos., Inc., Senior Unsecured Notes: | | | | |
| | 332,000 | | | BBB+ | | 1.700% due 9/15/28 | | | 285,714 | |
| | 251,000 | | | BBB+ | | 3.650% due 4/5/29 | | | 237,801 | |
| | 70,000 | | | BBB+ | | 4.500% due 4/15/30 | | | 69,241 | |
| | | | | | McDonald’s Corp., Senior Unsecured Notes: | | | | |
| | 40,000 | | | BBB+ | | 3.300% due 7/1/25 | | | 39,362 | |
| | 30,000 | | | BBB+ | | 1.450% due 9/1/25 | | | 27,940 | |
| | 140,000 | | | BBB+ | | 3.700% due 1/30/26 | | | 138,852 | |
| | 30,000 | | | BBB+ | | 3.500% due 3/1/27 | | | 29,592 | |
| | 60,000 | | | BBB+ | | 3.500% due 7/1/27 | | | 58,495 | |
| | 340,000 | | | BBB+ | | 3.800% due 4/1/28 | | | 334,698 | |
| | 100,000 | | | BBB+ | | 3.600% due 7/1/30 | | | 95,178 | |
| | 20,000 | | | BBB+ | | 3.625% due 9/1/49 | | | 16,274 | |
| | 400,000 | | | BBB+ | | 4.200% due 4/1/50 | | | 359,751 | |
| | 360,000 | | | CCC+ | | Michaels Cos Inc. (The), Senior Unsecured Notes, 7.875% due 5/1/29(a) | | | 239,949 | |
| | 250,000 | | | BB- | | Papa John’s International Inc., Company Guaranteed Notes, 3.875% due 9/15/29(a) | | | 214,085 | |
| | 120,000 | | | A | | Target Corp., Senior Unsecured Notes, 2.250% due 4/15/25 | | | 115,481 | |
| | | | | | Walmart Inc., Senior Unsecured Notes: | | | | |
| | 90,000 | | | AA | | 1.500% due 9/22/28 | | | 78,928 | |
| | 40,000 | | | AA | | 1.800% due 9/22/31 | | | 33,760 | |
| | | | | | | | | | |
| | | | | | Total Retail | | | 3,889,101 | |
| | | | | | | | | | |
|
| 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) | | | 896,827 | |
| | 800,000 | | | BBB+ | | 4.363% (3-Month USD-LIBOR + 1.392%) due 8/1/24(a)(c) | | | 794,453 | |
| | | | | | | | | | |
| | | | | | Total Savings & Loans | | | 1,691,280 | |
| | | | | | | | | | |
|
| Semiconductors — 0.5% | |
| | 32,000 | | | A | | Applied Materials Inc., Senior Unsecured Notes, 4.350% due 4/1/47 | | | 31,220 | |
| | 118,000 | | | BBB- | | Broadcom Corp./Broadcom Cayman Finance Ltd., Company Guaranteed Notes, 3.875% due 1/15/27 | | | 113,656 | |
| | | | | | Broadcom Inc.: | | | | |
| | | | | | Company Guaranteed Notes: | | | | |
| | 85,000 | | | BBB- | | 3.625% due 10/15/24 | | | 84,074 | |
| | 109,000 | | | BBB- | | 4.150% due 11/15/30 | | | 99,835 | |
| | 98,000 | | | BBB- | | 2.450% due 2/15/31(a) | | | 78,892 | |
| | 381,000 | | | BBB- | | 4.300% due 11/15/32 | | | 345,560 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 170,000 | | | BBB- | | 4.150% due 4/15/32(a) | | | 152,516 | |
| | 350,000 | | | BBB- | | 3.469% due 4/15/34(a) | | | 283,994 | |
| | 650,000 | | | BBB- | | 3.137% due 11/15/35(a) | | | 494,807 | |
| | 10,000 | | | BBB- | | 3.187% due 11/15/36(a) | | | 7,481 | |
| | 1,301,000 | | | BBB- | | 4.926% due 5/15/37(a) | | | 1,166,488 | |
| | | | | | Intel Corp., Senior Unsecured Notes: | | | | |
| | 70,000 | | | A+ | | 3.700% due 7/29/25 | | | 69,753 | |
| | 90,000 | | | A+ | | 1.600% due 8/12/28 | | | 78,185 | |
| | 54,000 | | | A+ | | 3.734% due 12/8/47 | | | 44,205 | |
| | 110,000 | | | A+ | | 4.750% due 3/25/50 | | | 105,354 | |
| | 40,000 | | | A+ | | 3.050% due 8/12/51 | | | 28,885 | |
See Notes to Financial Statements.
190
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Semiconductors — 0.5% — (continued) | |
| $ | 275,000 | | | A+ | | 3.200% due 8/12/61 | | $ | 194,227 | |
| | | | | | KLA Corp., Senior Unsecured Notes: | | | | |
| | 383,000 | | | A- | | 4.100% due 3/15/29 | | | 381,829 | |
| | 261,000 | | | A- | | 3.300% due 3/1/50 | | | 205,115 | |
| | 190,000 | | | A- | | 5.250% due 7/15/62 | | | 195,591 | |
| | | | | | Lam Research Corp., Senior Unsecured Notes: | | | | |
| | 18,000 | | | A- | | 3.750% due 3/15/26 | | | 17,964 | |
| | 49,000 | | | A- | | 4.875% due 3/15/49 | | | 50,465 | |
| | 125,000 | | | A- | | 2.875% due 6/15/50 | | | 92,428 | |
| | | | | | NVIDIA Corp., Senior Unsecured Notes: | | | | |
| | 120,000 | | | A | | 3.500% due 4/1/40 | | | 103,698 | |
| | 440,000 | | | A | | 3.500% due 4/1/50 | | | 366,637 | |
| | 160,000 | | | A | | 3.700% due 4/1/60 | | | 131,455 | |
| | | | | | NXP BV/NXP Funding LLC/NXP USA Inc., Company Guaranteed Notes: | | | | |
| | 90,000 | | | BBB | | 2.700% due 5/1/25 | | | 85,343 | |
| | 859,000 | | | BBB | | 4.300% due 6/18/29 | | | 818,525 | |
| | 300,000 | | | BBB | | 3.400% due 5/1/30 | | | 266,614 | |
| | 138,000 | | | BBB | | 2.500% due 5/11/31 | | | 111,343 | |
| | | | | | QUALCOMM Inc., Senior Unsecured Notes: | | | | |
| | 30,000 | | | A | | 4.650% due 5/20/35 | | | 30,436 | |
| | 72,000 | | | A | | 4.300% due 5/20/47 | | | 68,510 | |
| | 96,000 | | | A | | 3.250% due 5/20/50 | | | 78,196 | |
| | 90,000 | | | A+ | | Texas Instruments Inc., Senior Unsecured Notes, 1.750% due 5/4/30 | | | 76,886 | |
| | 235,000 | | | AA- | | TSMC Arizona Corp., Company Guaranteed Notes, 4.500% due 4/22/52 | | | 230,881 | |
| | | | | | | | | | |
| | | | | | Total Semiconductors | | | 6,691,048 | |
| | | | | | | | | | |
|
| Shipbuilding — 0.0% | |
| | | | | | Huntington Ingalls Industries Inc., Company Guaranteed Notes: | | | | |
| | 215,000 | | | BBB- | | 3.483% due 12/1/27 | | | 200,381 | |
| | 286,000 | | | BBB- | | 2.043% due 8/16/28 | | | 243,124 | |
| | | | | | | | | | |
| | | | | | Total Shipbuilding | | | 443,505 | |
| | | | | | | | | | |
|
| Software — 0.8% | |
| | | | | | Autodesk Inc., Senior Unsecured Notes: | | | | |
| | 59,000 | | | BBB | | 4.375% due 6/15/25 | | | 59,439 | |
| | 279,000 | | | BBB | | 2.850% due 1/15/30 | | | 248,497 | |
| | 232,000 | | | BBB | | Citrix Systems Inc., Senior Unsecured Notes, 3.300% due 3/1/30 | | | 229,725 | |
| | 108,000 | | | BBB+ | | Electronic Arts Inc., Senior Unsecured Notes, 1.850% due 2/15/31 | | | 88,935 | |
| | 146,000 | | | BBB | | Fiserv Inc., Senior Unsecured Notes, 3.500% due 7/1/29 | | | 134,070 | |
| | | | | | Microsoft Corp., Senior Unsecured Notes: | | | | |
| | 270,000 | | | AAA | | 2.875% due 2/6/24 | | | 267,314 | |
| | 70,000 | | | AAA | | 2.700% due 2/12/25 | | | 68,914 | |
| | 910,000 | | | AAA | | 2.400% due 8/8/26 | | | 868,838 | |
| | 670,000 | | | AAA | | 3.300% due 2/6/27 | | | 659,847 | |
| | 5,000 | | | AAA | | 3.450% due 8/8/36 | | | 4,729 | |
| | 7,000 | | | AAA | | 2.525% due 6/1/50 | | | 5,125 | |
| | 18,000 | | | AAA | | 2.921% due 3/17/52 | | | 14,246 | |
| | 8,000 | | | AAA | | 2.675% due 6/1/60 | | | 5,721 | |
| | 42,000 | | | AAA | | 3.041% due 3/17/62 | | | 32,262 | |
| | 680,000 | | | BB+ | | MSCI Inc., Company Guaranteed Notes, 3.875% due 2/15/31(a) | | | 588,203 | |
| | | | | | Oracle Corp., Senior Unsecured Notes: | | | | |
| | 570,000 | | | BBB | | 1.650% due 3/25/26 | | | 514,037 | |
| | 435,000 | | | BBB | | 2.800% due 4/1/27 | | | 399,009 | |
| | 235,000 | | | BBB | | 3.250% due 11/15/27 | | | 217,403 | |
| | 520,000 | | | BBB | | 2.300% due 3/25/28 | | | 453,314 | |
See Notes to Financial Statements.
191
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Software — 0.8% — (continued) | |
| $ | 785,000 | | | BBB | | 2.875% due 3/25/31 | | $ | 653,094 | |
| | 411,000 | | | BBB | | 4.300% due 7/8/34 | | | 359,647 | |
| | 506,000 | | | BBB | | 3.900% due 5/15/35 | | | 415,717 | |
| | 267,000 | | | BBB | | 3.850% due 7/15/36 | | | 214,333 | |
| | 739,000 | | | BBB | | 3.800% due 11/15/37 | | | 579,453 | |
| | 339,000 | | | BBB | | 3.600% due 4/1/40 | | | 247,609 | |
| | 218,000 | | | BBB | | 5.375% due 7/15/40 | | | 197,111 | |
| | 570,000 | | | BBB | | 3.650% due 3/25/41 | | | 420,079 | |
| | 181,000 | | | BBB | | 4.000% due 7/15/46 | | | 133,073 | |
| | 251,000 | | | BBB | | 4.000% due 11/15/47 | | | 183,084 | |
| | 140,000 | | | BBB | | 3.600% due 4/1/50 | | | 95,782 | |
| | 209,000 | | | BBB | | 3.950% due 3/25/51 | | | 150,817 | |
| | | | | | Salesforce Inc., Senior Unsecured Notes: | | | | |
| | 130,000 | | | A+ | | 3.250% due 4/11/23 | | | 129,782 | |
| | 450,000 | | | A+ | | 3.700% due 4/11/28 | | | 446,915 | |
| | 140,000 | | | A+ | | 2.700% due 7/15/41 | | | 107,319 | |
| | 210,000 | | | A+ | | 3.050% due 7/15/61 | | | 153,040 | |
| | 281,000 | | | A- | | ServiceNow Inc., Senior Unsecured Notes, 1.400% due 9/1/30 | | | 221,201 | |
| | 475,000 | | | BBB | | Take-Two Interactive Software Inc., Senior Unsecured Notes, 4.000% due 4/14/32 | | | 438,850 | |
| | | | | | VMware Inc., Senior Unsecured Notes: | | | | |
| | 163,000 | | | BBB- | | 1.400% due 8/15/26 | | | 144,040 | |
| | 247,000 | | | BBB- | | 1.800% due 8/15/28 | | | 206,042 | |
| | 162,000 | | | BBB- | | 4.700% due 5/15/30 | | | 154,060 | |
| | | | | | Workday Inc., Senior Unsecured Notes: | | | | |
| | 70,000 | | | BBB | | 3.500% due 4/1/27 | | | 66,922 | |
| | 120,000 | | | BBB | | 3.700% due 4/1/29 | | | 113,188 | |
| | 150,000 | | | BBB | | 3.800% due 4/1/32 | | | 137,733 | |
| | | | | | | | | | |
| | | | | | Total Software | | | 10,828,519 | |
| | | | | | | | | | |
|
| Telecommunications — 3.1% | |
| | | | | | AT&T Inc., Senior Unsecured Notes: | | | | |
| | 1,000,000 | | | BBB | | zero coupon due 11/27/22(a) | | | 989,982 | |
| | 20,000 | | | BBB | | 4.250% due 3/1/27 | | | 19,859 | |
| | 260,000 | | | BBB | | 2.300% due 6/1/27 | | | 237,134 | |
| | 170,000 | | | BBB | | 1.650% due 2/1/28 | | | 146,412 | |
| | 198,000 | | | BBB | | 4.100% due 2/15/28 | | | 193,789 | |
| | 304,000 | | | BBB | | 4.350% due 3/1/29 | | | 296,804 | |
| | 660,000 | | | BBB | | 4.300% due 2/15/30 | | | 634,970 | |
| | 505,000 | | | BBB | | 2.750% due 6/1/31 | | | 432,872 | |
| | 1,915,000 | | | BBB | | 2.550% due 12/1/33 | | | 1,532,375 | |
| | 404,000 | | | BBB | | 4.500% due 5/15/35 | | | 381,144 | |
| | 50,000 | | | BBB | | 5.350% due 9/1/40 | | | 49,367 | |
| | 126,000 | | | BBB | | 3.500% due 6/1/41 | | | 99,995 | |
| | 80,000 | | | BBB | | 5.550% due 8/15/41 | | | 81,305 | |
| | 270,000 | | | BBB | | 4.350% due 6/15/45 | | | 234,318 | |
| | 820,000 | | | BBB | | 4.750% due 5/15/46 | | | 764,089 | |
| | 238,000 | | | BBB | | 4.500% due 3/9/48 | | | 208,176 | |
| | 362,000 | | | BBB | | 3.650% due 6/1/51 | | | 278,401 | |
| | 40,000 | | | BBB | | 3.300% due 2/1/52 | | | 28,874 | |
| | 50,000 | | | BBB | | 3.500% due 9/15/53 | | | 37,056 | |
| | 503,000 | | | BBB | | 3.550% due 9/15/55 | | | 370,200 | |
| | 1,640,000 | | | BBB | | 3.800% due 12/1/57 | | | 1,248,195 | |
| | 246,000 | | | BBB | | 3.650% due 9/15/59 | | | 179,291 | |
| | 75,000 | | | BBB | | 3.850% due 6/1/60 | | | 57,152 | |
See Notes to Financial Statements.
192
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Telecommunications — 3.1% — (continued) | |
| | | | | | CommScope Inc., Senior Secured Notes: | | | | |
| $ | 80,000 | | | B | | 6.000% due 3/1/26(a) | | $ | 75,704 | |
| | 390,000 | | | B | | 4.750% due 9/1/29(a) | | | 332,563 | |
| | 25,000 | | | BBB+ | | Corning Inc., Senior Unsecured Notes, 4.375% due 11/15/57 | | | 20,976 | |
| | 280,000 | EUR | | BBB | | Global Switch Finance BV, Company Guaranteed Notes, 1.375% due 10/7/30 | | | 248,065 | |
| | | | | | Intelsat Jackson Holdings SA: | | | | |
| | 974,000 | | | B+ | | Senior Secured Notes, 6.500% due 3/15/30(a) | | | 885,347 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 400,000 | | | NR | | 5.500% due 8/1/23#(f)(g) | | | — | |
| | 184,000 | | | NR | | 8.500% due 10/15/24#(a)(f)(g) | | | — | |
| | 605,000 | | | NR | | 9.750% due 7/15/25#(a)(f)(g) | | | — | |
| | | | | | Level 3 Financing Inc.: | | | | |
| | 880,000 | | | BB | | Company Guaranteed Notes, 3.625% due 1/15/29(a) | | | 707,590 | |
| | | | | | Senior Secured Notes: | | | | |
| | 586,000 | | | BBB- | | 3.400% due 3/1/27(a) | | | 520,807 | |
| | 1,185,000 | | | BBB- | | 3.875% due 11/15/29(a) | | | 1,007,144 | |
| | 430,000 | | | BB- | | Lumen Technologies Inc., Senior Unsecured Notes, 5.375% due 6/15/29(a) | | | 335,778 | |
| | | | | | Motorola Solutions Inc., Senior Unsecured Notes: | | | | |
| | 186,000 | | | BBB- | | 4.600% due 2/23/28 | | | 183,496 | |
| | 341,000 | | | BBB- | | 4.600% due 5/23/29 | | | 329,502 | |
| | 253,000 | | | BBB- | | 2.300% due 11/15/30 | | | 201,558 | |
| | 172,000 | | | BBB- | | 2.750% due 5/24/31 | | | 140,901 | |
| | 572,000 | | | BBB- | | 5.600% due 6/1/32 | | | 576,391 | |
| | 150,000 | | | BBB- | | Qwest Corp., Senior Unsecured Notes, 7.250% due 9/15/25 | | | 155,559 | |
| | | | | | Rogers Communications Inc., Company Guaranteed Notes: | | | | |
| | 450,000 | | | BBB+ | | 3.800% due 3/15/32(a) | | | 412,171 | |
| | 254,000 | | | BBB+ | | 4.550% due 3/15/52(a) | | | 224,102 | |
| | 2,236,000 | | | BB+ | | Sprint Communications LLC, Company Guaranteed Notes, 6.000% due 11/15/22 | | | 2,243,468 | |
| | 2,606,000 | | | BB+ | | Sprint Corp., Company Guaranteed Notes, 7.875% due 9/15/23 | | | 2,690,812 | |
| | | | | | Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, Senior Secured Notes: | | | | |
| | 965,938 | | | A1(b) | | 4.738% due 3/20/25(a) | | | 970,192 | |
| | 1,140,000 | | | A1(b) | | 5.152% due 3/20/28(a) | | | 1,149,226 | |
| | 330,000 | | | BBB- | | Telefonica Emisiones SA, Company Guaranteed Notes, 4.103% due 3/8/27 | | | 320,908 | |
| | | | | | T-Mobile USA Inc.: | | | | |
| | | | | | Company Guaranteed Notes: | | | | |
| | 1,280,000 | | | BBB- | | 2.250% due 2/15/26 | | | 1,178,560 | |
| | 593,000 | | | BBB- | | 2.625% due 2/15/29 | | | 512,176 | |
| | 50,000 | | | BBB- | | 3.375% due 4/15/29 | | | 45,106 | |
| | 80,000 | | | BBB- | | 2.875% due 2/15/31 | | | 67,735 | |
| | 1,730,000 | | | BBB- | | 3.500% due 4/15/31 | | | 1,535,088 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 360,000 | | | BBB- | | 3.500% due 4/15/25 | | | 351,874 | |
| | 2,123,000 | | | BBB- | | 3.750% due 4/15/27 | | | 2,041,158 | |
| | 655,000 | | | BBB- | | 3.875% due 4/15/30 | | | 608,183 | |
| | 1,600,000 | | | BBB- | | 2.550% due 2/15/31 | | | 1,333,279 | |
| | 290,000 | | | BBB- | | 2.250% due 11/15/31 | | | 233,504 | |
| | 330,000 | | | BBB- | | 2.700% due 3/15/32 | | | 275,761 | |
| | 450,000 | | | BBB- | | 4.375% due 4/15/40 | | | 399,014 | |
| | 60,000 | | | BBB- | | 3.000% due 2/15/41 | | | 44,139 | |
| | 548,000 | | | BBB- | | 3.300% due 2/15/51 | | | 394,779 | |
| | | | | | Verizon Communications Inc., Senior Unsecured Notes: | | | | |
| | 220,000 | | | BBB+ | | 2.625% due 8/15/26 | | | 207,724 | |
| | 80,000 | | | BBB+ | | 4.125% due 3/16/27 | | | 79,638 | |
| | 360,000 | | | BBB+ | | 2.100% due 3/22/28 | | | 318,754 | |
See Notes to Financial Statements.
193
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Telecommunications — 3.1% — (continued) | |
| $ | 986,000 | | | BBB+ | | 4.329% due 9/21/28 | | $ | 974,730 | |
| | 362,000 | | | BBB+ | | 3.875% due 2/8/29 | | | 349,565 | |
| | 234,000 | | | BBB+ | | 4.016% due 12/3/29 | | | 225,216 | |
| | 1,495,000 | | | BBB+ | | 3.150% due 3/22/30 | | | 1,344,319 | |
| | 177,000 | | | BBB+ | | 1.500% due 9/18/30 | | | 141,601 | |
| | 138,000 | | | BBB+ | | 1.680% due 10/30/30 | | | 110,202 | |
| | 140,000 | | | BBB+ | | 1.750% due 1/20/31 | | | 112,027 | |
| | 1,299,000 | | | BBB+ | | 2.550% due 3/21/31 | | | 1,099,656 | |
| | 790,000 | | | BBB+ | | 2.355% due 3/15/32 | | | 650,514 | |
| | 680,000 | | | BBB+ | | 4.500% due 8/10/33 | | | 657,594 | |
| | 140,000 | | | BBB+ | | 4.400% due 11/1/34 | | | 133,130 | |
| | 71,000 | | | BBB+ | | 5.850% due 9/15/35 | | | 76,502 | |
| | 150,000 | | | BBB+ | | 5.250% due 3/16/37 | | | 152,808 | |
| | 310,000 | | | BBB+ | | 2.650% due 11/20/40 | | | 224,826 | |
| | 50,000 | | | BBB+ | | 3.400% due 3/22/41 | | | 40,266 | |
| | 430,000 | | | BBB+ | | 2.850% due 9/3/41 | | | 320,406 | |
| | 100,000 | | | BBB+ | | 4.125% due 8/15/46 | | | 87,405 | |
| | 60,000 | | | BBB+ | | 4.862% due 8/21/46 | | | 58,644 | |
| | 20,000 | | | BBB+ | | 5.500% due 3/16/47 | | | 21,116 | |
| | 50,000 | | | BBB+ | | 4.000% due 3/22/50 | | | 42,764 | |
| | 786,000 | | | BBB+ | | 2.875% due 11/20/50 | | | 544,198 | |
| | 58,000 | | | BBB+ | | 2.987% due 10/30/56 | | | 39,216 | |
| | 184,000 | | | BBB+ | | 3.000% due 11/20/60 | | | 122,634 | |
| | | | | | Vmed O2 UK Financing I PLC, Senior Secured Notes: | | | | |
| | 450,000 | | | BB- | | 4.250% due 1/31/31(a) | | | 363,699 | |
| | 200,000 | | | BB- | | 4.750% due 7/15/31(a) | | | 165,250 | |
| | | | | | Vodafone Group PLC, Senior Unsecured Notes: | | | | |
| | 19,000 | | | BBB | | 4.125% due 5/30/25 | | | 18,952 | |
| | 190,000 | | | BBB | | 4.375% due 5/30/28 | | | 187,972 | |
| | 1,435,000 | | | BBB | | 4.875% due 6/19/49 | | | 1,295,287 | |
| | | | | | | | | | |
| | | | | | Total Telecommunications | | | 41,420,991 | |
| | | | | | | | | | |
|
| Transportation — 0.3% | |
| | | | | | Burlington Northern Santa Fe LLC, Senior Unsecured Notes: | | | | |
| | 351,000 | | | AA- | | 4.150% due 12/15/48 | | | 326,242 | |
| | 95,000 | | | AA- | | 2.875% due 6/15/52 | | | 70,628 | |
| | 50,000 | | | AA- | | 4.450% due 1/15/53 | | | 48,573 | |
| | | | | | Canadian Pacific Railway Co., Company Guaranteed Notes: | | | | |
| | 20,000 | | | BBB+ | | 3.000% due 12/2/41 | | | 15,830 | |
| | 220,000 | | | BBB+ | | 3.100% due 12/2/51 | | | 163,313 | |
| | 76,000 | | | BB | | Cargo Aircraft Management Inc., Company Guaranteed Notes, 4.750% due 2/1/28(a) | | | 69,677 | |
| | | | | | CSX Corp., Senior Unsecured Notes: | | | | |
| | 82,000 | | | BBB+ | | 2.600% due 11/1/26 | | | 77,826 | |
| | 114,000 | | | BBB+ | | 3.250% due 6/1/27 | | | 110,092 | |
| | 56,000 | | | BBB+ | | 4.100% due 3/15/44 | | | 49,631 | |
| | 31,000 | | | BBB+ | | 3.350% due 9/15/49 | | | 24,420 | |
| | 60,000 | | | BBB+ | | 2.500% due 5/15/51 | | | 39,908 | |
| | | | | | Norfolk Southern Corp., Senior Unsecured Notes: | | | | |
| | 282,000 | | | BBB+ | | 2.550% due 11/1/29 | | | 251,721 | |
| | 581,000 | | | BBB+ | | 3.000% due 3/15/32 | | | 522,025 | |
| | 33,000 | | | BBB+ | | 4.800% due 8/15/43 | | | 30,696 | |
| | 180,000 | | | BBB+ | | 3.050% due 5/15/50 | | | 133,538 | |
| | | | | | Ryder System Inc., Senior Unsecured Notes: | | | | |
| | 69,000 | | | BBB | | 2.500% due 9/1/24 | | | 66,793 | |
| | 410,000 | | | BBB | | 4.625% due 6/1/25 | | | 409,982 | |
| | 161,000 | | | BBB | | 2.900% due 12/1/26 | | | 150,259 | |
See Notes to Financial Statements.
194
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Transportation — 0.3% — (continued) | |
| | | | | | Union Pacific Corp., Senior Unsecured Notes: | | | | |
| $ | 50,000 | | | A- | | 3.750% due 7/15/25 | | $ | 49,857 | |
| | 60,000 | | | A- | | 2.150% due 2/5/27 | | | 55,850 | |
| | 651,000 | | | A- | | 2.891% due 4/6/36 | | | 544,519 | |
| | 35,000 | | | A- | | 4.300% due 3/1/49 | | | 32,813 | |
| | 234,000 | | | A- | | 3.250% due 2/5/50 | | | 184,950 | |
| | 226,000 | | | A- | | 3.500% due 2/14/53 | | | 184,870 | |
| | 300,000 | | | A- | | 3.839% due 3/20/60 | | | 253,577 | |
| | 160,000 | | | A- | | 3.750% due 2/5/70 | | | 127,586 | |
| | 12,000 | | | B+ | | XPO Logistics Inc., Company Guaranteed Notes, 6.250% due 5/1/25(a) | | | 12,156 | |
| | | | | | | | | | |
| | | | | | Total Transportation | | | 4,007,332 | |
| | | | | | | | | | |
|
| Trucking & Leasing — 0.0% | |
| | | | | | Penske Truck Leasing Co. LP/PTL Finance Corp., Senior Unsecured Notes: | | | | |
| | 110,000 | | | BBB | | 2.700% due 11/1/24(a) | | | 105,488 | |
| | 97,000 | | | BBB | | 3.950% due 3/10/25(a) | | | 95,090 | |
| | 164,000 | | | BBB | | 4.000% due 7/15/25(a) | | | 160,656 | |
| | 51,000 | | | BBB | | 1.700% due 6/15/26(a) | | | 45,371 | |
| | | | | | | | | | |
| | | | | | Total Trucking & Leasing | | | 406,605 | |
| | | | | | | | | | |
| | | | | | TOTAL CORPORATE BONDS & NOTES (Cost — $469,740,570) | | | 425,709,705 | |
| | | | | | | | | | |
|
| MORTGAGE-BACKED SECURITIES — 28.4% | |
|
| FHLMC — 6.2% | |
| | | | | | Federal Home Loan Mortgage Corp. (FHLMC): | | | | |
| | 2,144,340 | | | | | 4.500% due 4/1/29 – 9/1/50 | | | 2,162,784 | |
| | 229,372 | | | | | 5.500% due 1/1/30 – 2/1/40 | | | 241,541 | |
| | 10,307,141 | | | | | 3.000% due 3/1/31 – 4/1/52 | | | 9,651,254 | |
| | 27,043,847 | | | | | 2.500% due 11/1/31 – 5/1/52 | | | 24,314,038 | |
| | 14,987,540 | | | | | 3.500% due 4/1/33 – 5/1/52 | | | 14,582,665 | |
| | 1,201,058 | | | | | 5.000% due 12/1/34 – 7/1/52 | | | 1,231,533 | |
| | 25,717,477 | | | | | 2.000% due 3/1/36 – 4/1/52 | | | 22,399,191 | |
| | 23,317 | | | | | 6.000% due 5/1/38 – 6/1/39 | | | 25,058 | |
| | 6,592 | | | | | 7.000% due 3/1/39 | | | 7,242 | |
| | 67,931 | | | | | 6.500% due 9/1/39 | | | 72,258 | |
| | 7,029,576 | | | | | 4.000% due 9/1/40 – 7/1/52 | | | 7,006,726 | |
| | 2,429,895 | | | | | 1.500% due 10/1/41 – 11/1/50 | | | 2,020,571 | |
| | 100,615 | | | | | 2.098% (5-Year CMT Index + 1.284%) due 3/1/47(c) | | | 97,234 | |
| | 193,981 | | | | | 2.874% (1-Year USD-LIBOR + 1.619%) due 11/1/47(c) | | | 189,915 | |
| | 556,168 | | | | | 3.008% (1-Year USD-LIBOR + 1.628%) due 11/1/48(c) | | | 540,579 | |
| | 131,953 | | | | | 3.084% (1-Year USD-LIBOR + 1.621%) due 2/1/50(c) | | | 129,316 | |
| | | | | | | | | | |
| | | | | | Total FHLMC | | | 84,671,905 | |
| | | | | | | | | | |
|
| FNMA — 18.2% | |
| | | | | | Federal National Mortgage Association (FNMA): | | | | |
| | 741,646 | | | | | 5.500% due 3/1/23 – 9/1/56 | | | 787,018 | |
| | 635,658 | | | | | 5.000% due 5/1/23 – 9/1/49 | | | 661,188 | |
| | 10,606,462 | | | | | 4.500% due 3/1/24 – 8/1/58 | | | 10,669,511 | |
| | 8,964,296 | | | | | 4.000% due 4/1/24 – 6/1/57 | | | 8,890,394 | |
| | 14,760,766 | | | | | 3.500% due 11/1/25 – 6/1/52 | | | 14,311,778 | |
| | 39,533,326 | | | | | 2.500% due 11/1/27 – 9/1/61 | | | 35,696,318 | |
| | 30,505,075 | | | | | 3.000% due 12/1/27 – 6/1/52 | | | 28,720,356 | |
| | 76,559 | | | | | 3.160% due 5/1/29 | | | 74,041 | |
| | 441,077 | | | | | 2.930% due 6/1/30 | | | 418,324 | |
| | 458,639 | | | | | 2.149% due 2/1/32(c) | | | 400,856 | |
See Notes to Financial Statements.
195
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | | | Security | | Value | |
|
| FNMA — 18.2% — (continued) | |
| $ | 200,000 | | | | | 3.840% due 7/1/32 – 8/1/32 | | $ | 200,899 | |
| | 87,381 | | | | | 2.538% (1-Year USD-LIBOR + 1.538%) due 3/1/34(c) | | | 87,005 | |
| | 212,334 | | | | | 6.000% due 8/1/34 – 7/1/41 | | | 222,370 | |
| | 10,115 | | | | | 2.480% (1-Year Treasury Average Rate + 1.806%) due 10/1/35(c) | | | 10,507 | |
| | 3,269 | | | | | 2.477% (1-Year Treasury Average Rate + 1.825%) due 11/1/35(c) | | | 3,397 | |
| | 10,157 | | | | | 2.595% (1-Year Treasury Average Rate + 1.929%) due 11/1/35(c) | | | 10,595 | |
| | 46,738,613 | | | | | 2.000% due 6/1/36 – 4/1/52 | | | 40,737,824 | |
| | 5,569,495 | | | | | 1.500% due 9/1/36 – 8/1/51 | | | 4,888,730 | |
| | 8,115 | | | | | 7.000% due 4/1/37 | | | 8,534 | |
| | 39,582 | | | | | 2.640% (1-Year USD-LIBOR + 1.265%) due 5/1/37(c) | | | 39,426 | |
| | 125,464 | | | | | 6.500% due 9/1/37 – 5/1/40 | | | 136,496 | |
| | 7,350,000 | | | | | 3.500% due 9/1/52(h) | | | 7,018,647 | |
| | 19,975,000 | | | | | 3.000% due 9/1/51 – 10/1/52(h) | | | 18,508,905 | |
| | 23,400,000 | | | | | 2.000% due 9/1/52 – 10/1/52(h) | | | 20,190,295 | |
| | 30,225,000 | | | | | 2.500% due 9/1/52 – 10/1/52(h) | | | 27,038,084 | |
| | 6,550,000 | | | | | 4.000% due 9/1/52(h) | | | 6,404,672 | |
| | 19,500,000 | | | | | 4.500% due 9/1/52-10/1/52(h) | | | 19,412,228 | |
| | | | | | | | | | |
| | | | | | Total FNMA | | | 245,548,398 | |
| | | | | | | | | | |
|
| GNMA — 4.0% | |
| | | | | | Government National Mortgage Association (GNMA): | | | | |
| | 15,272 | | | | | 6.000% due 12/15/33 – 6/15/37 | | | 16,089 | |
| | 276,961 | | | | | 5.000% due 10/15/34 – 9/15/40 | | | 285,904 | |
| | 22,330 | | | | | 5.500% due 5/15/37 – 6/15/38 | | | 24,000 | |
| | 35,369 | | | | | 6.500% due 1/15/38 – 10/15/38 | | | 37,608 | |
| | 48,417 | | | | | 4.500% due 3/15/41 | | | 49,968 | |
| | 386,683 | | | | | 4.000% due 6/15/41 – 11/15/45 | | | 391,940 | |
| | 192,739 | | | | | 3.000% due 9/15/42 – 10/15/42 | | | 183,805 | |
| | 118,749 | | | | | 3.500% due 6/15/48 – 5/15/50 | | | 117,271 | |
| | | | | | Government National Mortgage Association II (GNMA): | | | | |
| | 44,284 | | | | | 6.000% due 7/20/37 – 11/20/40 | | | 48,376 | |
| | 1,972,194 | | | | | 4.500% due 1/20/40 – 12/20/50 | | | 2,006,232 | |
| | 306,358 | | | | | 5.000% due 7/20/40 – 10/20/48 | | | 317,155 | |
| | 4,935,553 | | | | | 4.000% due 11/20/40 – 8/20/52 | | | 4,911,038 | |
| | 9,806,969 | | | | | 3.000% due 1/20/43 – 4/20/52 | | | 9,272,651 | |
| | 6,631,747 | | | | | 3.500% due 6/20/43 – 6/20/52 | | | 6,461,401 | |
| | 8,629,624 | | | | | 2.500% due 9/20/50 – 3/20/52 | | | 7,908,642 | |
| | 7,715,424 | | | | | 2.000% due 10/20/50 – 3/20/52 | | | 6,862,098 | |
| | 3,300,000 | | | | | 3.000% due 9/20/52(h) | | | 3,102,258 | |
| | 2,500,000 | | | | | 3.500% due 9/20/52(h) | | | 2,414,639 | |
| | 1,200,000 | | | | | 4.000% due 9/20/52(h) | | | 1,184,484 | |
| | 700,000 | | | | | 4.500% due 9/20/52(h) | | | 701,338 | |
| | 500,000 | | | | | 5.000% due 9/20/52(h) | | | 507,455 | |
| | 7,925,000 | | | | | 2.500% due 9/20/52(h) | | | 7,236,206 | |
| | | | | | | | | | |
| | | | | | Total GNMA | | | 54,040,558 | |
| | | | | | | | | | |
| | | | | | TOTAL MORTGAGE-BACKED SECURITIES (Cost — $405,838,483) | | | 384,260,861 | |
| | | | | | | | | | |
|
| U.S. GOVERNMENT AGENCIES & OBLIGATIONS — 26.1% | |
|
| U.S. GOVERNMENT AGENCIES — 0.9% | |
| | | | | | Federal Home Loan Banks: | | | | |
| | 4,255,000 | | | | | 1.040% due 6/14/24 | | | 4,056,309 | |
| | 2,190,000 | | | | | 1.610% due 9/4/24 | | | 2,099,932 | |
| | 4,250,000 | | | | | 1.200% due 12/23/24 | | | 4,030,087 | |
| | 635,000 | | | | | 0.920% due 2/26/27 | | | 565,906 | |
See Notes to Financial Statements.
196
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | | | Security | | Value | |
|
| U.S. GOVERNMENT AGENCIES — 0.9% — (continued) | |
| $ | 345,000 | | | | | 4.000% due 9/1/28 | | $ | 356,570 | |
| | | | | | Federal National Mortgage Association (FNMA), Principal Strip: | | | | |
| | 575,000 | | | | | zero coupon due 1/15/30(i) | | | 447,843 | |
| | 595,000 | | | | | zero coupon due 5/15/30(i) | | | 454,959 | |
| | | | | | | | | | |
| | | | | | Total U.S. GOVERNMENT AGENCIES | | | 12,011,606 | |
| | | | | | | | | | |
|
| U.S. GOVERNMENT OBLIGATIONS — 25.2% | |
| | | | | | U.S. Treasury Bonds: | | | | |
| | 2,835,000 | | | | | 4.375% due 2/15/38 | | | 3,247,625 | |
| | 1,500,000 | | | | | 1.125% due 8/15/40 | | | 1,016,895 | |
| | 620,000 | | | | | 1.375% due 11/15/40 | | | 438,420 | |
| | 7,670,000 | | | | | 1.875% due 2/15/41 | | | 5,905,301 | |
| | 100,000 | | | | | 2.250% due 5/15/41 | | | 81,928 | |
| | 5,750,000 | | | | | 1.750% due 8/15/41 | | | 4,294,082 | |
| | 31,609,000 | | | | | 2.000% due 11/15/41 | | | 24,685,271 | |
| | 2,270,000 | | | | | 3.125% due 11/15/41 | | | 2,146,657 | |
| | 20,470,000 | | | | | 2.375% due 2/15/42 | | | 17,050,870 | |
| | 180,000 | | | | | 3.250% due 5/15/42 | | | 172,884 | |
| | 100,000 | | | | | 3.125% due 2/15/43 | | | 93,402 | |
| | 502,500 | | | | | 3.625% due 8/15/43 | | | 507,407 | |
| | 11,510,000 | | | | | 3.750% due 11/15/43 | | | 11,842,037 | |
| | 1,095,000 | | | | | 3.625% due 2/15/44 | | | 1,103,683 | |
| | 415,000 | | | | | 3.125% due 8/15/44 | | | 385,707 | |
| | 1,375,000 | | | | | 3.000% due 11/15/44 | | | 1,250,015 | |
| | 245,000 | | | | | 2.875% due 8/15/45 | | | 217,744 | |
| | 1,412,500 | | | | | 3.000% due 11/15/45 | | | 1,284,658 | |
| | 6,490,000 | | | | | 2.500% due 2/15/46 | | | 5,379,348 | |
| | 1,110,000 | | | | | 2.875% due 11/15/46 | | | 989,244 | |
| | 3,723,000 | | | | | 3.000% due 2/15/47 | | | 3,395,856 | |
| | 500,000 | | | | | 2.750% due 8/15/47 | | | 436,895 | |
| | 2,120,000 | | | | | 3.000% due 2/15/48 | | | 1,952,056 | |
| | 595,000 | | | | | 3.375% due 11/15/48 | | | 592,467 | |
| | 4,480,000 | | | | | 2.000% due 2/15/50 | | | 3,407,425 | |
| | 10,470,000 | | | | | 1.250% due 5/15/50 | | | 6,510,213 | |
| | 9,885,000 | | | | | 1.375% due 8/15/50 | | | 6,355,746 | |
| | 4,905,000 | | | | | 1.625% due 11/15/50 | | | 3,373,816 | |
| | 6,123,000 | | | | | 1.875% due 2/15/51 | | | 4,491,795 | |
| | 3,220,000 | | | | | 2.375% due 5/15/51 | | | 2,664,424 | |
| | 3,050,000 | | | | | 2.000% due 8/15/51 | | | 2,302,988 | |
| | 2,871,000 | | | | | 1.875% due 11/15/51 | | | 2,101,662 | |
| | 9,056,000 | | | | | 2.250% due 2/15/52 | | | 7,270,270 | |
| | 2,359,000 | | | | | 2.875% due 5/15/52 | | | 2,183,918 | |
| | 7,945,000 | | | | | 3.000% due 8/15/52 | | | 7,561,405 | |
| | 885,606 | | | | | U.S. Treasury Inflation Indexed Bonds, 0.125% due 2/15/52 | | | 697,930 | |
| | | | | | U.S. Treasury Notes: | | | | |
| | 725,000 | | | | | 0.125% due 8/15/23 | | | 702,292 | |
| | 175,000 | | | | | 0.125% due 2/15/24 | | | 166,811 | |
| | 2,055,000 | | | | | 0.250% due 3/15/24 | | | 1,956,986 | |
| | 11,029,000 | | | | | 0.250% due 5/15/24 | | | 10,449,547 | |
| | 2,345,000 | | | | | 3.000% due 6/30/24 | | | 2,325,901 | |
| | 20,949,000 | | | | | 3.000% due 7/31/24 | | | 20,776,334 | |
| | 16,590,000 | | | | | 3.250% due 8/31/24 | | | 16,527,787 | |
| | 6,696,000 | | | | | 1.125% due 1/15/25 | | | 6,342,367 | |
| | 5,115,000 | | | | | 1.500% due 2/15/25 | | | 4,879,630 | |
| | 40,000 | | | | | 0.250% due 5/31/25 | | | 36,653 | |
See Notes to Financial Statements.
197
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| U.S. GOVERNMENT OBLIGATIONS — 25.2% — (continued) | |
| $ | 520,000 | | | | | 2.875% due 6/15/25 | | $ | 511,753 | |
| | 34,093,000 | | | | | 3.125% due 8/15/25 | | | 33,773,378 | |
| | 365,000 | | | | | 0.250% due 9/30/25 | | | 331,052 | |
| | 2,570,000 | | | | | 0.250% due 10/31/25 | | | 2,324,545 | |
| | 1,610,000 | | | | | 0.375% due 11/30/25 | | | 1,458,056 | |
| | 620,000 | | | | | 0.375% due 12/31/25 | | | 560,180 | |
| | 375,000 | | | | | 0.375% due 1/31/26 | | | 337,983 | |
| | 4,214,000 | | | | | 0.500% due 2/28/26 | | | 3,806,427 | |
| | 8,850,000 | | | | | 0.750% due 3/31/26 | | | 8,051,771 | |
| | 8,836,000 | | | | | 0.750% due 4/30/26 | | | 8,024,883 | |
| | 20,000 | | | | | 0.875% due 6/30/26 | | | 18,184 | |
| | 1,780,000 | | | | | 1.500% due 1/31/27 | | | 1,645,109 | |
| | 6,299,000 | | | | | 1.875% due 2/28/27 | | | 5,915,893 | |
| | 90,000 | | | | | 2.500% due 3/31/27 | | | 86,815 | |
| | 100,000 | | | | | 2.625% due 5/31/27 | | | 97,012 | |
| | 22,855,000 | | | | | 3.250% due 6/30/27 | | | 22,786,257 | |
| | 31,130,000 | | | | | 3.125% due 8/31/27 | | | 30,906,253 | |
| | 7,390,000 | | | | | 0.750% due 1/31/28 | | | 6,454,992 | |
| | 223,000 | | | | | 1.125% due 2/29/28 | | | 198,596 | |
| | 2,190,000 | | | | | 1.250% due 4/30/28 | | | 1,956,799 | |
| | 565,000 | | | | | 1.125% due 8/31/28 | | | 498,127 | |
| | 3,250,000 | | | | | 3.125% due 8/31/29 | | | 3,226,641 | |
| | 812,000 | | | | | 1.375% due 11/15/31 | | | 697,781 | |
| | 1,357,000 | | | | | 2.875% due 5/15/32 | | | 1,326,574 | |
| | 3,550,000 | | | | | 2.750% due 8/15/32 | | | 3,435,180 | |
| | 2,020,000 | | | | | U.S. Treasury Strip Principal, zero coupon due 5/15/49(i) | | | 844,026 | |
| | | | | | | | | | |
| | | | | | Total U.S. GOVERNMENT OBLIGATIONS | | | 340,830,619 | |
| | | | | | | | | | |
| | | | | | TOTAL U.S. GOVERNMENT AGENCIES & OBLIGATIONS (Cost — $388,597,266) | | | 352,842,225 | |
| | | | | | | | | | |
|
| COLLATERALIZED MORTGAGE OBLIGATIONS — 11.0% | |
| | 502,414 | | | BB+ | | Accredited Mortgage Loan Trust, Series 2007-1, Class A4, 2.664%
(1-Month USD-LIBOR + 0.220%) due 2/25/37(c) | | | 497,912 | |
| | 70,272 | | | CC | | AFC Home Equity Loan Trust, Series 1999-2, Class 2A, 3.094%
(1-Month USD-LIBOR + 0.650%) due 6/25/29(c) | | | 53,229 | |
| | 1,100,000 | | | Aaa(b) | | AGL CLO 1 Ltd., Series 2019-1A, Class AR, 3.890%
(3-Month USD-LIBOR + 1.180%) due 10/20/34(a)(c) | | | 1,069,747 | |
| | 1,200,000 | | | AAA | | AIG CLO 2018-1 LLC, Series 2018-1A, Class A1R, 3.830%
(3-Month USD-LIBOR + 1.120%) due 4/20/32(a)(c) | | | 1,184,245 | |
| | 1,000,000 | | | AAA | | Allegro CLO XI Ltd., Series 2019-2A, Class A1A, 4.128%
(3-Month USD-LIBOR + 1.390%) due 1/19/33(a)(c) | | | 990,000 | |
| | 713,367 | | | CCC | | Alternative Loan Trust, Series 2005-56, Class 4A1, 3.064%
(1-Month USD-LIBOR + 0.620%) due 11/25/35(c) | | | 645,795 | |
| | 1,472,186 | | | AA | | American Home Mortgage Investment Trust 2004-3, Series 2004-3, Class 4A, 3.064%
(6-Month USD-LIBOR + 1.500%) due 10/25/34(c) | | | 1,470,203 | |
| | 673,200 | | | BBB | | Applebee’s Funding LLC/IHOP Funding LLC, Series 2019-1A, Class A2I, 4.194% due 6/5/49(a) | | | 649,122 | |
| | 210,000 | | | Baa2(b) | | Aqua Finance Trust, Series 2020-AA, Class C, 3.970% due 7/17/46(a) | | | 196,330 | |
| | 890,000 | | | Aaa(b) | | Arbor Realty Commercial Real Estate Notes Ltd., Series 2021-FL4, Class A, 3.741%
(1-Month USD-LIBOR + 1.350%) due 11/15/36(a)(c) | | | 870,145 | |
| | 241,597 | | | AAA | | Ares XLII CLO Ltd., Series 2017-42A, Class AR, 3.679%
(3-Month USD-LIBOR + 0.920%) due 1/22/28(a)(c) | | | 239,785 | |
| | | | | | Asset-Backed Securities Corp. Home Equity Loan Trust: | | | | |
| | 466,085 | | | BB | | Series 2007-HE1, Class A1B, 2.594% (1-Month USD-LIBOR + 0.150%) due 12/25/36(c) | | | 448,491 | |
| | 527,810 | | | CCC | | Series 2007-HE1, Class A4, 2.584% (1-Month USD-LIBOR + 0.140%) due 12/25/36(c) | | | 516,978 | |
See Notes to Financial Statements.
198
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| COLLATERALIZED MORTGAGE OBLIGATIONS — 11.0% — (continued) | |
| $ | 260,000 | | | AAA | | Bain Capital Credit CLO, Series 2018-1A, Class A1, 3.743%
(3-Month USD-LIBOR + 0.960%) due 4/23/31(a)(c) | | $ | 255,881 | |
| | 290,000 | | | AAA | | Bain Capital Credit CLO Ltd., Series 2021-4A, Class A1, 3.880%
(3-Month USD-LIBOR + 1.170%) due 10/20/34(a)(c) | | | 284,648 | |
| | | | | | BAMLL Commercial Mortgage Securities Trust: | | | | |
| | 480,000 | | | AA- | | Series 2015-200P, Class B, 3.490% due 4/14/33(a) | | | 452,609 | |
| | 420,000 | | | AAA(j) | | Series 2018-PARK, Class A, 4.227% due 8/10/38(a)(c) | | | 401,263 | |
| | 820,000 | | | AAA | | Series 2019-BPR, Class AMP, 3.287% due 11/5/32(a) | | | 766,417 | |
| | 22,576 | | | AA+ | | Banc of America Mortgage Trust, Series 2004-F, Class 1A1, 3.681% due 7/25/34(c) | | | 21,569 | |
| | 500,000 | | | Aaa(b) | | Barclays Commercial Mortgage Trust, Series 2019-C4, Class A5, 2.919% due 8/15/52 | | | 454,313 | |
| | 373,701 | | | AAA | | Barings CLO Ltd., Series 2013-IA, Class AR, 3.510%
(3-Month USD-LIBOR + 0.800%) due 1/20/28(a)(c) | | | 370,898 | |
| | | | | | BBCMS Mortgage Trust: | | | | |
| | 570,000 | | | AAA | | Series 2020-C6, Class A4, 2.639% due 2/15/53 | | | 504,969 | |
| | 720,000 | | | AAA | | Series 2022-C16, Class A5, 4.600% due 6/15/55(c) | | | 730,954 | |
| | 102,235 | | | WD(j) | | Bear Stearns Adjustable Rate Mortgage Trust, Series 2007-3, Class 1A1, 3.237% due 5/25/47(c) | | | 95,336 | |
| | 48,918 | | | CCC | | Bear Stearns ALT-A Trust, Series 2005-4, Class 23A2, 2.833% due 5/25/35(c) | | | 47,161 | |
| | 268,924 | | | D | | Bear Stearns Asset-Backed Securities I Trust, Series 2005-AC6, Class 1A3, 5.500% due 9/25/35(c) | | | 239,961 | |
| | | | | | Benchmark Mortgage Trust: | | | | |
| | 97,559 | | | AAA | | Series 2018-B1, Class A2, 3.571% due 1/15/51 | | | 97,145 | |
| | 348,000 | | | AAA | | Series 2019-B13, Class A4, 2.952% due 8/15/57 | | | 316,766 | |
| | 2,188,532 | | | Aa1(b) | | Series 2021-B28, Class XA, 1.398% due 8/15/54(c)(k) | | | 170,389 | |
| | 460,000 | | | AAA | | Series 2021-B31, Class A5, 2.669% due 12/15/54 | | | 400,113 | |
| | 660,000 | | | Aaa(b) | | Series 2022-B33, Class A5, 3.458% due 3/15/55 | | | 614,986 | |
| | 440,000 | | | Aaa(b) | | Series 2022-B35, Class A5, 4.594% due 5/15/55(c) | | | 443,499 | |
| | 1,333,000 | | | AAA(j) | | BFLD, Series 2019-DPLO, Class A, 3.481%
(1-Month USD-LIBOR + 1.090%) due 10/15/34(a)(c) | | | 1,310,915 | |
| | 320,000 | | | AAA | | BlueMountain CLO XXII Ltd., Series 2018-22A, Class A1, 3.592%
(3-Month USD-LIBOR + 1.080%) due 7/15/31(a)(c) | | | 314,400 | |
| | 775,000 | | | AAA | | BlueMountain Fuji US CLO I Ltd., Series 2017-1A, Class A1R, 3.690%
(3-Month USD-LIBOR + 0.980%) due 7/20/29(a)(c) | | | 765,095 | |
| | 280,000 | | | AAA | | BMO Mortgage Trust, Series 2022-C1, Class A5, 3.374% due 2/15/55(c) | | | 257,146 | |
| | | | | | BRAVO Residential Funding Trust: | | | | |
| | 2,085,302 | | | NR | | Series 2021-A, Class A1, step bond to yield, 1.991% due 10/25/59(a) | | | 1,994,864 | |
| | 710,000 | | | AAA(j) | | Series 2022-NQM3, Class A1, 5.108% due 7/25/62(a)(c)(e) | | | 709,987 | |
| | 500,000 | | | AAA | | Buttermilk Park CLO Ltd., Series 2018-1A, Class A1, 3.612%
(3-Month USD-LIBOR + 1.100%) due 10/15/31(a)(c) | | | 492,999 | |
| | | | | | BX Commercial Mortgage Trust: | | | | |
| | 940,000 | | | AAA | | Series 2019-IMC, Class A, 3.391% (1-Month USD-LIBOR + 1.000%) due 4/15/34(a)(c) | | | 918,508 | |
| | 890,000 | | | Aaa(b) | | Series 2021-CIP, Class A, 3.312% (1-Month USD-LIBOR + 0.921%) due 12/15/38(a)(c) | | | 864,715 | |
| | 280,039 | | | A3(b) | | Series 2021-XL2, Class D, 3.788% (1-Month USD-LIBOR + 1.397%) due 10/15/38(a)(c) | | | 266,699 | |
| | 220,000 | | | BBB- | | BX Trust, Series 2021-ARIA, Class D, 4.286%
(1-Month USD-LIBOR + 1.895%) due 10/15/36(a)(c) | | | 207,447 | |
| | 1,190,000 | | | NR | | CAMB Commercial Mortgage Trust, Series 2019-LIFE, Class F, 4.941%
(1-Month USD-LIBOR + 2.550%) due 12/15/37(a)(c) | | | 1,151,491 | |
| | 940,000 | | | AAA | | Cantor Commercial Real Estate Lending, Series 2019-CF3, Class A4, 3.006% due 1/15/53 | | | 851,184 | |
| | 1,460,000 | | | Aa2(b) | | CD 2017-CD3 Mortgage Trust, Series 2017-CD3, Class AS, 3.833% due 2/10/50 | | | 1,371,045 | |
| | 1,644,600 | | | AA+ | | CD Mortgage Trust, Series 2017-CD4, Class XA, 1.383% due 5/10/50(c)(k) | | | 71,990 | |
| | 1,080,000 | | | AAA | | Cedar Funding IX CLO Ltd., Series 2018-9A, Class A1, 3.690%
(3-Month USD-LIBOR + 0.980%) due 4/20/31(a)(c) | | | 1,066,501 | |
| | 545,000 | | | AA+ | | CGRBS Commercial Mortgage Trust, Series 2013-VN05, Class A, 3.369% due 3/13/35(a) | | | 544,360 | |
| | 41,933 | | | BB | | Chase Mortgage Finance Trust, Series 2007-A1, Class 5A1, 3.755% due 2/25/37(c) | | | 40,752 | |
See Notes to Financial Statements.
199
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| COLLATERALIZED MORTGAGE OBLIGATIONS — 11.0% — (continued) | |
| | | | | | Chevy Chase Funding LLC Mortgage-Backed Certificates: | | | | |
| $ | 242,785 | | | BBB | | Series 2004-2A, Class A1, 2.714% (1-Month USD-LIBOR + 0.270%) due 5/25/35(a)(c) | | $ | 232,393 | |
| | 1,011,220 | | | D | | Series 2004-2A, Class B1, 2.044% due 5/25/35(a)(c) | | | 806,179 | |
| | 950,000 | | | Aaa(b) | | CIFC Funding 2013-IV Ltd., Series 2013-4A, Class A1RR, 3.829%
(3-Month USD-LIBOR + 1.060%) due 4/27/31(a)(c) | | | 939,123 | |
| | 750,000 | | | AAA | | CIFC Funding 2014-V Ltd., Series 2014-5A, Class A1R2, 3.940%
(3-Month USD-LIBOR + 1.200%) due 10/17/31(a)(c) | | | 741,375 | |
| | 250,000 | | | Aaa(b) | | CIFC Funding 2018-II Ltd., Series 2018-2A, Class A1, 3.750%
(3-Month USD-LIBOR + 1.040%) due 4/20/31(a)(c) | | | 246,885 | |
| | | | | | CIM Trust: | | | | |
| | 355,424 | | | NR | | Series 2018-R5, Class A1, 3.750% due 7/25/58(a)(c) | | | 354,128 | |
| | 385,312 | | | NR | | Series 2018-R6, Class A1, 3.449% (1-Month USD-LIBOR + 1.076%) due 9/25/58(a)(c) | | | 377,210 | |
| | 970,466 | | | NR | | Series 2019-R4, Class A1, 3.000% due 10/25/59(a)(c) | | | 903,948 | |
| | 552,185 | | | NR | | Series 2020-R6, Class A1A, 2.250% due 12/25/60(a)(c) | | | 513,656 | |
| | 2,332,819 | | | NR | | Series 2021-R1, Class A2, 2.400% due 8/25/56(a)(c) | | | 2,083,703 | |
| | 1,181,680 | | | NR | | Series 2021-R3, Class A1A, 1.951% due 6/25/57(a)(c) | | | 1,070,988 | |
| | 1,386,062 | | | NR | | Series 2021-R4, Class A1A, 2.000% due 5/1/61(a)(c) | | | 1,254,339 | |
| | 2,288,271 | | | NR | | Series 2021-R5, Class A1, 2.000% due 8/25/61(a)(c) | | | 1,985,306 | |
| | | | | | Citigroup Commercial Mortgage Trust: | | | | |
| | 140,000 | | | Aaa(b) | | Series 2013-375P, Class A, 3.251% due 5/10/35(a) | | | 137,250 | |
| | 575,000 | | | Aaa(b) | | Series 2015-P1, Class A5, 3.717% due 9/15/48 | | | 562,407 | |
| | 285,000 | | | Aa3(b) | | Series 2016-C2, Class B, 3.176% due 8/10/49 | | | 258,934 | |
| | 740,000 | | | Aaa(b) | | Series 2016-C3, Class A3, 2.896% due 11/15/49 | | | 690,899 | |
| | 500,000 | | | Aaa(b) | | Series 2016-P5, Class A4, 2.941% due 10/10/49 | | | 471,857 | |
| | 322,980 | | | Aaa(b) | | Series 2017-P7, Class AAB, 3.509% due 4/14/50 | | | 316,858 | |
| | 1,651,640 | | | CC | | Citigroup Mortgage Loan Trust, Series 2006-AR6, Class 2A4, 2.884%
(1-Month USD-LIBOR + 0.440%) due 9/25/36(c) | | | 566,866 | |
| | | | | | Commercial Mortgage Trust: | | | | |
| | 190,000 | | | AA-(j) | | Series 2013-300P, Class B, 4.540% due 8/10/30(a)(c) | | | 186,310 | |
| | 260,000 | | | D | | Series 2013-CR9, Class E, 4.435% due 7/10/45(a)(c) | | | 138,060 | |
| | 534,837 | | | Aaa(b) | | Series 2013-CR11, Class A3, 3.983% due 8/10/50 | | | 531,680 | |
| | 40,000 | | | Baa1(b) | | Series 2013-CR12, Class B, 4.762% due 10/10/46(c) | | | 38,213 | |
| | 20,000 | | | Ba3(b) | | Series 2013-CR12, Class C, 5.216% due 10/10/46(c) | | | 15,475 | |
| | 143,000 | | | Baa3(b) | | Series 2014-CR17, Class C, 4.943% due 5/10/47(c) | | | 136,444 | |
| | 140,000 | | | AAA | | Series 2014-CR18, Class A5, 3.828% due 7/15/47 | | | 137,969 | |
| | 141,328 | | | AAA | | Series 2014-CR18, Class ASB, 3.452% due 7/15/47 | | | 140,667 | |
| | 210,000 | | | A-(j) | | Series 2014-CR21, Class C, 4.567% due 12/10/47(c) | | | 195,387 | |
| | 345,000 | | | Aaa(b) | | Series 2014-LC17, Class A5, 3.917% due 10/10/47 | | | 340,516 | |
| | 2,789,721 | | | Aa1(b) | | Series 2015-CR25, Class XA, 0.966% due 8/10/48(c)(k) | | | 54,617 | |
| | 175,000 | | | Aaa(b) | | Series 2015-CR26, Class A4, 3.630% due 10/10/48 | | | 170,359 | |
| | 874,447 | | | Aaa(b) | | Series 2015-CR27, Class A3, 3.349% due 10/10/48 | | | 844,888 | |
| | 465,000 | | | Aaa(b) | | Series 2018-COR3, Class A3, 4.228% due 5/10/51 | | | 457,433 | |
| | 178,673 | | | AA | | Countrywide Asset-Backed Certificates, Series 2007-13, Class 2A2, 3.244%
(1-Month USD-LIBOR + 0.800%) due 10/25/47(c) | | | 172,264 | |
| | | | | | Countrywide Home Loan Mortgage Pass-Through Trust: | | | | |
| | 52,369 | | | WR(b) | | Series 2005-11, Class 3A3, 2.655% due 4/25/35(c) | | | 39,989 | |
| | 42,921 | | | WR(b) | | Series 2005-11, Class 6A1, 3.044% (1-Month USD-LIBOR + 0.600%) due 3/25/35(c) | | | 31,427 | |
| | | | | | Credit Suisse Commercial Mortgage Capital Trust: | | | | |
| | 1,260,000 | | | CCC | | Series 2014-USA, Class F, 4.373% due 9/15/37(a) | | | 915,255 | |
| | 39,437 | | | NR | | Series 2015-5R, Class 1A1, 1.564% due 9/27/46(a)(c) | | | 39,292 | |
| | 165,897 | | | AAA(j) | | Series 2021-NQM7, Class A1, 1.756% due 10/25/66(a)(c) | | | 144,948 | |
| | 1,403,764 | | | NR | | Series 2021-RPL4, Class A1, 1.796% due 12/27/60(a)(c) | | | 1,323,561 | |
| | | | | | Credit Suisse Mortgage Capital Certificates: | | | | |
| | 660,000 | | | Aaa(b) | | Series 2019-ICE4, Class A, 3.371% (1-Month USD-LIBOR + 0.980%) due 5/15/36(a)(c) | | | 652,928 | |
| | 950,000 | | | Ba3(b) | | Series 2019-ICE4, Class F, 5.041% (1-Month USD-LIBOR + 2.650%) due 5/15/36(a)(c) | | | 918,428 | |
See Notes to Financial Statements.
200
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| COLLATERALIZED MORTGAGE OBLIGATIONS — 11.0% — (continued) | |
| | | | | | CSAIL Commercial Mortgage Trust: | | | | |
| $ | 295,000 | | | Aaa(b) | | Series 2015-C1, Class A4, 3.505% due 4/15/50 | | $ | 287,536 | |
| | 270,000 | | | Aaa(b) | | Series 2015-C3, Class A4, 3.718% due 8/15/48 | | | 263,204 | |
| | 1,000,000 | | | Aaa(b) | | Series 2016-C5, Class A5, 3.757% due 11/15/48 | | | 974,178 | |
| | 310,000 | | | Aaa(b) | | Series 2018-CX12, Class A4, 4.224% due 8/15/51(c) | | | 305,217 | |
| | 180,000 | | | Aaa(b) | | Series 2021-C20, Class A3, 2.805% due 3/15/54 | | | 159,024 | |
| | 280,000 | | | Aaa(b) | | CSMC NET, Series 2020-NET, Class B, 2.816% due 8/15/37(a) | | | 260,623 | |
| | | | | | CSMC Trust: | | | | |
| | 603,274 | | | AAA(j) | | Series 2018-J1, Class A2, 3.500% due 2/25/48(a)(c) | | | 554,331 | |
| | 1,846,411 | | | NR | | Series 2020-RPL3, Class A1, 2.691% due 3/25/60(a)(c) | | | 1,791,787 | |
| | 2,055,411 | | | NR | | Series 2022-RPL3, Class A1, 3.613% due 3/25/61(a)(c) | | | 2,002,089 | |
| | 50,951 | | | CCC | | CWABS Asset-Backed Notes Trust 2006-SD2, Series 2006-SD3, Class A1, 3.104%
(1-Month USD-LIBOR + 0.660%) due 7/25/36(a)(c) | | | 49,463 | |
| | 548,683 | | | CC | | CWABS Revolving Home Equity Loan Trust, Series 2004-B, Class 2A, 2.611%
(1-Month USD-LIBOR + 0.220%) due 2/15/29(c) | | | 519,570 | |
| | | | | | DBJPM Mortgage Trust: | | | | |
| | 350,000 | | | AA-(j) | | Series 2016-C1, Class B, 4.195% due 5/10/49(c) | | | 329,305 | |
| | 230,000 | | | Aaa(b) | | Series 2016-C3, Class A4, 2.632% due 8/10/49 | | | 216,420 | |
| | 390,000 | | | Aaa(b) | | DC Office Trust, Series 2019-MTC, Class A, 2.965% due 9/15/45(a) | | | 337,504 | |
| | 700,000 | | | AAA | | Dryden XXVIII Senior Loan Fund, Series 2013-28A, Class A1LR, 4.105%
(3-Month USD-LIBOR + 1.200%) due 8/15/30(a)(c) | | | 698,334 | |
| | 25,145 | | | CCC | | DSLA Mortgage Loan Trust, Series 2004-AR2, Class A2B, 3.166%
(1-Month USD-LIBOR + 0.800%) due 11/19/44(c) | | | 23,603 | |
| | 131,579 | | | B- | | Equifirst Mortgage Loan Trust, Series 2003-2, Class M2, 4.994%
(1-Month USD-LIBOR + 2.550%) due 9/25/33(c) | | | 131,599 | |
| | 824,923 | | | Aaa(b) | | Extended Stay America Trust, Series 2021-ESH, Class A, 3.472%
(1-Month USD-LIBOR + 1.080%) due 7/15/38(a)(c) | | | 809,398 | |
| | | | | | Federal Home Loan Mortgage Corp. (FHLMC), Interest Strips: | | | | |
| | 45,445 | | | NR | | Series 334, Class S7, 3.709% (6.100% – 1-Month USD-LIBOR) due 8/15/44(k)(l) | | | 5,044 | |
| | 74,519 | | | NR | | Series 353, Class S1, 3.609% (6.000% – 1-Month USD-LIBOR) due 12/15/46(k)(l) | | | 8,543 | |
| | | | | | Federal Home Loan Mortgage Corp. (FHLMC), REMICS: | | | | |
| | 2,228 | | | NR | | Series 1865, Class DA, 28.832% (31.310% – 11th District Cost of Funds Index) due 2/15/24(k)(l) | | | 169 | |
| | 7,992 | | | NR | | Series 3451, Class SB, 3.639% (6.030% – 1-Month USD-LIBOR) due 5/15/38(k)(l) | | | 697 | |
| | 41,904 | | | NR | | Series 3621, Class SB, 3.839% (6.230% – 1-Month USD-LIBOR) due 1/15/40(k)(l) | | | 4,537 | |
| | 555,000 | | | NR | | Series 3743, Class PB, 4.500% due 10/15/40 | | | 567,197 | |
| | 520,020 | | | NR | | Series 3866, Class SA, 3.559% (5.950% – 1-Month USD-LIBOR) due 5/15/41(k)(l) | | | 40,017 | |
| | 120,977 | | | NR | | Series 3947, Class SG, 3.559% (5.950% – 1-Month USD-LIBOR) due 10/15/41(k)(l) | | | 13,387 | |
| | 13,759 | | | NR | | Series 3973, Class SA, 4.099% (6.490% – 1-Month USD-LIBOR) due 12/15/41(k)(l) | | | 1,662 | |
| | 131,984 | | | NR | | Series 4203, Class PS, 3.859% (6.250% – 1-Month USD-LIBOR) due 9/15/42(k)(l) | | | 12,425 | |
| | 105,151 | | | NR | | Series 4210, Class Z, 3.000% due 5/15/43 | | | 91,064 | |
| | 47,786 | | | NR | | Series 4239, Class IO, 3.500% due 6/15/27(k) | | | 2,312 | |
| | 350,262 | | | NR | | Series 4316, Class XZ, 4.500% due 3/15/44 | | | 353,959 | |
| | 41,512 | | | NR | | Series 4335, Class SW, 3.609% (6.000% – 1-Month USD-LIBOR) due 5/15/44(k)(l) | | | 4,889 | |
| | 894,579 | | | NR | | Series 4639, Class HZ, step bond to yield, 3.250% due 4/15/53 | | | 805,503 | |
| | 160,826 | | | NR | | Series 4879, Class BC, 3.000% due 4/15/49 | | | 152,340 | |
| | 71,340 | | | NR | | Series 5010, Class IK, 2.500% due 9/25/50(k) | | | 10,403 | |
| | 250,897 | | | NR | | Series 5010, Class JI, 2.500% due 9/25/50(k) | | | 39,070 | |
| | 88,356 | | | NR | | Series 5013, Class IN, 2.500% due 9/25/50(k) | | | 13,019 | |
| | 176,528 | | | NR | | Series 5018, Class MI, 2.000% due 10/25/50(k) | | | 24,524 | |
| | 76,886 | | | NR | | Series 5040, Class IB, 2.500% due 11/25/50(k) | | | 11,510 | |
| | 1,093,365 | | | NR | | Series 5085, Class NI, 2.000% due 3/25/51(k) | | | 140,908 | |
| | 377,903 | | | NR | | Series 5140, Class NI, 2.500% due 5/25/49(k) | | | 51,369 | |
| | 470,643 | | | NR | | Series 5148, Class BI, 2.500% due 1/25/49(k) | | | 63,529 | |
| | 190,993 | | | NR | | Series 5148, Class CI, 2.000% due 6/25/49(k) | | | 22,240 | |
See Notes to Financial Statements.
201
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| COLLATERALIZED MORTGAGE OBLIGATIONS — 11.0% — (continued) | |
| $ | 500,000 | | | NR | | Series 5224, Class HL, 4.000% due 4/25/52 | | $ | 483,901 | |
| | 43,075 | | | NR | | Series R007, Class ZA, 6.000% due 5/15/36 | | | 45,883 | |
| | 371,565 | | | BB+ | | Federal Home Loan Mortgage Corp. (FHLMC), Structured Agency Credit Risk REMIC, Series 2021-DNA1, Class M2, 3.983% (SOFR + 1.800%) due 1/25/51(a)(c) | | | 366,318 | |
| | 265,000 | | | NR | | Federal National Mortgage Association (FNMA) Multifamily, REMICS, Series 2022-M10, Class A2, 2.003% due 1/25/32(c) | | | 227,121 | |
| | | | | | Federal National Mortgage Association (FNMA), ACES: | | | | |
| | 2,807,139 | | | NR | | Series 2013-M7, Class X2, 0.183% due 12/25/22(c)(f)(k) | | | 28 | |
| | 3,530,072 | | | NR | | Series 2015-M7, Class X2, 0.572% due 12/25/24(c)(k) | | | 28,382 | |
| | 15,002,847 | | | NR | | Series 2015-M8, Class X2, 0.166% due 1/25/25(c)(k) | | | 26,650 | |
| | 93,815 | | | NR | | Series 2017-M8, Class A2, 3.061% due 5/25/27(c) | | | 91,061 | |
| | 187,924 | | | NR | | Series 2019-M19, Class A2, 2.560% due 9/25/29 | | | 175,607 | |
| | 111,910 | | | NR | | Series 2019-M28, Class AV, 2.232% due 2/25/27 | | | 106,443 | |
| | 587,807 | | | NR | | Series 2020-M36, Class X1, 1.552% due 9/25/34(c)(k) | | | 49,780 | |
| | 245,000 | | | NR | | Series 2021-M2S, Class A2, 1.867% due 10/25/31(c) | | | 208,856 | |
| | 425,000 | | | NR | | Series 2022-M5, Class A3, 2.458% due 1/1/34(c) | | | 364,225 | |
| | | | | | Federal National Mortgage Association (FNMA), Connecticut Avenue Securities: | | | | |
| | 563,813 | | | AAA(j) | | Series 2014-C02, Class 1M2, 5.044% (1-Month USD-LIBOR + 2.600%) due 5/25/24(c) | | | 571,634 | |
| | 453,722 | | | A-(j) | | Series 2018-C06, Class 1M2, 4.444% (1-Month USD-LIBOR + 2.000%) due 3/25/31(a)(c) | | | 455,566 | |
| | | | | | Federal National Mortgage Association (FNMA), Grantor Trust: | | | | |
| | 46,927 | | | NR | | Series 2000-T6, Class A3, 4.238% due 11/25/40(c) | | | 46,516 | |
| | 99,422 | | | NR | | Series 2017-T1, Class A, 2.898% due 6/25/27 | | | 95,764 | |
| | | | | | Federal National Mortgage Association (FNMA), Interest Strip: | | | | |
| | 53,132 | | | NR | | Series 409, Class C13, 3.500% due 11/25/41(k) | | | 8,316 | |
| | 113,411 | | | NR | | Series 409, Class C18, 4.000% due 4/25/42(k) | | | 20,762 | |
| | 15,202 | | | NR | | Series 409, Class C22, 4.500% due 11/25/39(k) | | | 2,719 | |
| | | | | | Federal National Mortgage Association (FNMA), REMICS: | | | | |
| | 13,767 | | | NR | | Series 2004-38, Class FK, 2.794% (1-Month USD-LIBOR + 0.350%) due 5/25/34(c) | | | 13,708 | |
| | 10,942 | | | NR | | Series 2005-117, Class LC, 5.500% due 11/25/35 | | | 10,963 | |
| | 233,636 | | | NR | | Series 2006-51, Class SP, 4.206% (6.650% – 1-Month USD-LIBOR) due 3/25/36(k)(l) | | | 14,104 | |
| | 138,582 | | | NR | | Series 2007-68, Class SC, 4.256% (6.700% – 1-Month USD-LIBOR) due 7/25/37(k)(l) | | | 18,027 | |
| | 421,314 | | | NR | | Series 2008-18, Class SM, 4.556% (7.000% – 1-Month USD-LIBOR) due 3/25/38(k)(l) | | | 27,959 | |
| | 333,635 | | | NR | | Series 2011-8, Class ZA, 4.000% due 2/25/41 | | | 334,039 | |
| | 85,818 | | | NR | | Series 2011-87, Class SG, 4.106% (6.550% – 1-Month USD-LIBOR) due 4/25/40(k)(l) | | | 3,327 | |
| | 770,000 | | | NR | | Series 2011-131, Class PB, 4.500% due 12/25/41 | | | 785,077 | |
| | 71,091 | | | NR | | Series 2012-35, Class SC, 4.056% (6.500% – 1-Month USD-LIBOR) due 4/25/42(k)(l) | | | 9,604 | |
| | 54,975 | | | NR | | Series 2012-46, Class BA, 6.000% due 5/25/42 | | | 59,454 | |
| | 83,265 | | | NR | | Series 2012-51, Class B, 7.000% due 5/25/42 | | | 92,620 | |
| | 68,645 | | | NR | | Series 2012-74, Class SA, 4.206% (6.650% – 1-Month USD-LIBOR) due 3/25/42(k)(l) | | | 5,400 | |
| | 11,441 | | | NR | | Series 2012-75, Class AO, zero coupon due 3/25/42(i) | | | 10,218 | |
| | 24,698 | | | NR | | Series 2012-101, Class BI, 4.000% due 9/25/27(k) | | | 808 | |
| | 49,972 | | | NR | | Series 2012-133, Class CS, 3.706% (6.150% – 1-Month USD-LIBOR) due 12/25/42(k)(l) | | | 6,531 | |
| | 205,539 | | | NR | | Series 2013-9, Class BC, 6.500% due 7/25/42 | | | 225,760 | |
| | 171,861 | | | NR | | Series 2013-9, Class CB, 5.500% due 4/25/42 | | | 180,690 | |
| | 41,555 | | | NR | | Series 2013-54, Class BS, 3.706% (6.150% – 1-Month USD-LIBOR) due 6/25/43(k)(l) | | | 5,555 | |
| | 36,096 | | | NR | | Series 2013-73, Class IA, 3.000% due 9/25/32(k) | | | 2,370 | |
| | 255,433 | | | NR | | Series 2015-65, Class CZ, 3.500% due 9/25/45 | | | 238,267 | |
| | 125,424 | | | NR | | Series 2018-55, Class PA, 3.500% due 1/25/47 | | | 124,160 | |
| | 76,060 | | | NR | | Series 2018-57, Class QA, 3.500% due 5/25/46 | | | 75,196 | |
| | 93,259 | | | NR | | Series 2018-94, Class KD, 3.500% due 12/25/48 | | | 90,559 | |
| | 208,850 | | | NR | | Series 2020-47, Class GZ, 2.000% due 7/25/50 | | | 144,065 | |
| | 700,000 | | | NR | | Series 2020-56, Class AQ, 2.000% due 8/25/50 | | | 575,187 | |
| | 163,377 | | | NR | | Series 2020-56, Class DI, 2.500% due 8/25/50(k) | | | 26,523 | |
| | 562,000 | | | NR | | Series 2021-61, Class KI, 2.500% due 4/25/49(k) | | | 78,278 | |
| | 384,959 | | | NR | | Series 2021-69, Class IJ, 2.500% due 1/25/49(k) | | | 56,919 | |
See Notes to Financial Statements.
202
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| COLLATERALIZED MORTGAGE OBLIGATIONS — 11.0% — (continued) | |
| | | | | | FHLMC Multifamily Structured Pass-Through Certificates: | | | | |
| $ | 2,500,000 | | | AAA(j) | | Series K104, Class XAM, 1.506% due 1/25/30(c)(k) | | $ | 213,530 | |
| | 440,000 | | | AAA(j) | | Series K144, Class A2, 2.450% due 4/25/32 | | | 393,597 | |
| | 973,614 | | | AAA(j) | | Series K736, Class X1, 1.431% due 7/25/26(c)(k) | | | 39,149 | |
| | 3,999,017 | | | AAA(j) | | Series K743, Class X1, 1.028% due 5/25/28(c)(k) | | | 178,325 | |
| | 206,101 | | | NR | | Series KIR2, Class A1, 2.748% due 3/25/27 | | | 203,324 | |
| | 1,240,000 | | | AAA(j) | | FHLMC Multifamily WI Certificates, Series K146, Class A2, 2.920% due 7/25/32 | | | 1,155,151 | |
| | 174,154 | | | BBB(j) | | FHLMC Structured Agency Credit Risk Debt Notes, Series 2017-HRP1, Class M2, 4.894%
(1-Month USD-LIBOR + 2.450%) due 12/25/42(c) | | | 174,237 | |
| | | | | | First Franklin Mortgage Loan Trust: | | | | |
| | 1,038,161 | | | CC | | Series 2006-FF13, Class A2D, 2.924% (1-Month USD-LIBOR + 0.480%) due 10/25/36(c) | | | 754,758 | |
| | 555,554 | | | CCC | | Series 2006-FF15, Class A2, 2.564% (1-Month USD-LIBOR + 0.120%) due 11/25/36(c) | | | 521,166 | |
| | 1,100,000 | | | Aaa(b) | | Flatiron CLO 21 Ltd., Series 2021-1A, Class A1, 3.848%
(3-Month USD-LIBOR + 1.110%) due 7/19/34(a)(c) | | | 1,075,221 | |
| | 314,076 | | | NR | | FREMF Mortgage Trust, Series 2019-KF58, Class B, 4.512%
(1-Month USD-LIBOR + 2.150%) due 1/25/26(a)(c) | | | 312,641 | |
| | 153,611 | | | NR | | FRESB Mortgage Trust, Series 2019-SB60, Class A10H, 3.500% due 1/25/39(c) | | | 148,587 | |
| | 1,050,000 | | | AA | | GoldentTree Loan Management US CLO 1 Ltd., Series 2021-11A, Class B, 4.310%
(3-Month USD-LIBOR + 1.600%) due 10/20/34(a)(c) | | | 1,011,746 | |
| | 300,340 | | | A(j) | | GoodLeap Sustainable Home Solutions Trust, Series 2022-1GS, Class A, 2.700% due 1/20/49(a) | | | 264,248 | |
| | | | | | Government National Mortgage Association: | | | | |
| | 601,188 | | | NR | | Series 2020-103, Class AD, 1.450% due 1/16/63 | | | 500,978 | |
| | 3,212,406 | | | NR | | Series 2020-173, Class MI, 2.500% due 11/20/50(k) | | | 414,196 | |
| | 149,865 | | | NR | | Series 2021-14, Class AB, 1.340% due 6/16/63 | | | 121,122 | |
| | 453,701 | | | NR | | Series 2021-115, Class MI, 2.500% due 5/20/51(k) | | | 51,163 | |
| | 300,000 | | | NR | | Series 2022-3, Class B, 1.850% due 2/16/61 | | | 208,220 | |
| | | | | | Government National Mortgage Association (GNMA): | | | | |
| | 271,080 | | | NR | | Series 2007-51, Class SG, 4.212% (6.580% – 1-Month USD-LIBOR) due 8/20/37(k)(l) | | | 15,714 | |
| | 853,770 | | | NR | | Series 2008-51, Class GS, 3.843% (6.230% – 1-Month USD-LIBOR) due 6/16/38(k)(l) | | | 89,576 | |
| | 8,044 | | | NR | | Series 2010-85, Class HS, 4.282% (6.650% – 1-Month USD-LIBOR) due 1/20/40(k)(l) | | | 174 | |
| | 151,433 | | | NR | | Series 2012-H27, Class AI, 1.688% due 10/20/62(c)(k) | | | 5,277 | |
| | 94,610 | | | NR | | Series 2013-53, Class OI, 3.500% due 4/20/43(k) | | | 10,061 | |
| | 314,014 | | | NR | | Series 2013-85, Class IA, 0.523% due 3/16/47(c)(k) | | | 3,675 | |
| | 78,981 | | | NR | | Series 2013-107, Class AD, 2.849% due 11/16/47(c) | | | 74,449 | |
| | 90,872 | | | NR | | Series 2014-105, Class IO, 0.118% due 6/16/54(c)(k) | | | 1,576 | |
| | 1,062,240 | | | NR | | Series 2014-H20, Class FA, 2.228% (1-Month USD-LIBOR + 0.430%) due 10/20/64(c) | | | 1,053,210 | |
| | 49,406 | | | NR | | Series 2015-167, Class OI, 4.000% due 4/16/45(k) | | | 8,597 | |
| | 165,837 | | | NR | | Series 2015-167, Class SA, 3.882% (6.250% – 1-Month USD-LIBOR) due 11/20/45(k)(l) | | | 21,730 | |
| | 50,030 | | | NR | | Series 2016-84, Class IG, 4.500% due 11/16/45(k) | | | 10,193 | |
| | 52,836 | | | NR | | Series 2016-135, Class SB, 3.713% (6.100% – 1-Month USD-LIBOR) due 10/16/46(k)(l) | | | 9,242 | |
| | 71,842 | | | NR | | Series 2017-187, Class SJ, 3.832% (6.200% – 1-Month USD-LIBOR) due 12/20/47(k)(l) | | | 8,073 | |
| | 475,498 | | | NR | | Series 2017-H22, Class IC, 2.903% due 11/20/67(c)(k) | | | 21,992 | |
| | 92,967 | | | NR | | Series 2018-124, Class NW, 3.500% due 9/20/48 | | | 91,679 | |
| | 2,947 | | | NR | | Series 2018-130, Class A, 3.250% due 5/16/59 | | | 2,937 | |
| | 130,198 | | | NR | | Series 2019-12, Class QA, 3.500% due 9/20/48 | | | 127,118 | |
| | 321,408 | | | NR | | Series 2019-86, Class C, 2.500% due 3/20/49 | | | 300,704 | |
| | 91,286 | | | NR | | Series 2019-119, Class JE, 3.000% due 9/20/49 | | | 86,938 | |
| | 286,391 | | | NR | | Series 2020-47, Class MI, 3.500% due 4/20/50(k) | | | 45,390 | |
| | 77,027 | | | NR | | Series 2020-47, Class NI, 3.500% due 4/20/50(k) | | | 11,945 | |
| | 83,948 | | | NR | | Series 2020-123, Class IL, 2.500% due 8/20/50(k) | | | 12,136 | |
| | 249,346 | | | NR | | Series 2020-123, Class NI, 2.500% due 8/20/50(k) | | | 36,636 | |
| | 81,945 | | | NR | | Series 2020-127, Class IN, 2.500% due 8/20/50(k) | | | 12,010 | |
| | 85,694 | | | NR | | Series 2020-129, Class IE, 2.500% due 9/20/50(k) | | | 12,671 | |
| | 87,333 | | | NR | | Series 2020-160, Class IH, 2.500% due 10/20/50(k) | | | 13,010 | |
See Notes to Financial Statements.
203
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| COLLATERALIZED MORTGAGE OBLIGATIONS — 11.0% — (continued) | |
| $ | 84,586 | | | NR | | Series 2020-160, Class VI, 2.500% due 10/20/50(k) | | $ | 12,609 | |
| | 348,374 | | | NR | | Series 2020-160, Class YI, 2.500% due 10/20/50(k) | | | 50,894 | |
| | 412,783 | | | NR | | Series 2020-181, Class WI, 2.000% due 12/20/50(k) | | | 45,109 | |
| | 197,748 | | | NR | | Series 2020-H09, Class FL, 2.948% (1-Month USD-LIBOR + 1.150%) due 5/20/70(c) | | | 199,138 | |
| | 52,484 | | | NR | | Series 2020-H12, Class F, 2.298% (1-Month USD-LIBOR + 0.500%) due 7/20/70(c) | | | 51,592 | |
| | 270,202 | | | NR | | Series 2020-H13, Class FA, 2.248% (1-Month USD-LIBOR + 0.450%) due 7/20/70(c) | | | 264,671 | |
| | 56,236 | | | NR | | Series 2020-H13, Class FC, 2.248% (1-Month USD-LIBOR + 0.450%) due 7/20/70(c) | | | 55,197 | |
| | 2,709,431 | | | NR | | Series 2021-133, Class IO, 0.879% due 7/16/63(c)(k) | | | 195,603 | |
| | 1,385,167 | | | NR | | Series 2022-3, Class IO, 0.640% due 2/16/61(c)(k) | | | 83,089 | |
| | 653,271 | | | BBB- | | GS Mortgage Securities Corp. II, Series 2018-SRP5, Class A, 4.191%
(1-Month USD-LIBOR + 1.800%) due 9/15/31(a)(c) | | | 564,614 | |
| | | | | | GS Mortgage Securities Corp. Trust: | | | | |
| | 1,772,000 | | | AA-(j) | | Series 2021-IP, Class B, 3.541% (1-Month USD-LIBOR + 1.150%) due 10/15/36(a)(c) | | | 1,673,629 | |
| | 370,000 | | | AAA | | Series 2021-ROSS, Class A, 3.542% (1-Month USD-LIBOR + 1.150%) due 5/15/26(a)(c) | | | 355,786 | |
| | 215,277 | | | Aaa(b) | | GS Mortgage Securities Trust, Series 2017-GS6, Class A2, 3.164% due 5/10/50 | | | 204,479 | |
| | 250,000 | | | AAA | | Gulf Stream Meridian 1 Ltd., Series 2020-IA, Class A1, 3.882%
(3-Month USD-LIBOR + 1.370%) due 4/15/33(a)(c) | | | 246,030 | |
| | | | | | Harborview Mortgage Loan Trust: | | | | |
| | 55,398 | | | AA+ | | Series 2004-5, Class 2A6, 3.242% due 6/19/34(c) | | | 54,325 | |
| | 36,408 | | | WD(j) | | Series 2006-2, Class 1A, 3.524% due 2/25/36(c) | | | 14,436 | |
| | 688,218 | | | Caa2(b) | | Series 2006-10, Class 1A1A, 2.566% (1-Month USD-LIBOR + 0.200%) due 11/19/36(c) | | | 586,662 | |
| | 400,000 | | | Aa2(b) | | Hildene Community Funding CDO Ltd., Series 2015-1A, Class ARR, 2.600% due 11/1/35(a)(e) | | | 351,000 | |
| | 780,000 | | | CC | | Home Equity Asset Trust, Series 2005-6, Class M5, 3.389%
(1-Month USD-LIBOR + 0.945%) due 12/25/35(c) | | | 727,536 | |
| | 49,488 | | | AA | | Impac CMB Trust, Series 2007-A, Class A, 2.944%
(1-Month USD-LIBOR + 0.500%) due 5/25/37(a)(c) | | | 47,552 | |
| | 710,000 | | | AAA(j) | | Independence Plaza Trust, Series 2018-INDP, Class A, 3.763% due 7/10/35(a) | | | 683,080 | |
| | | | | | Indymac Index Mortgage Loan Trust: | | | | |
| | 918,505 | | | CCC | | Series 2005-AR14, Class 2A1A, 3.044% (1-Month USD-LIBOR + 0.600%) due 7/25/35(c) | | | 782,581 | |
| | 26,202 | | | Caa2(b) | | Series 2005-AR15, Class A2, 3.191% due 9/25/35(c) | | | 23,157 | |
| | 313,898 | | | NR | | InStar Leasing III LLC, Series 2021-1A, Class A, 2.300% due 2/15/54(a) | | | 276,830 | |
| | 913,244 | | | CC | | IXIS Real Estate Capital Trust, Series 2006-HE2, Class A3, 2.764%
(1-Month USD-LIBOR + 0.320%) due 8/25/36(c) | | | 274,295 | |
| | | | | | JP Morgan Chase Commercial Mortgage Securities Trust: | | | | |
| | 922,585 | | | Aaa(b) | | Series 2016-JP2, Class A3, 2.559% due 8/15/49 | | | 859,502 | |
| | 1,710,000 | | | Caa1(b) | | Series 2018-PHH, Class F, 5.701% (1-Month USD-LIBOR + 3.310%) due 6/15/35(a)(c)(f) | | | 323,190 | |
| | 365,000 | | | Aaa(b) | | Series 2019-OSB, Class A, 3.397% due 6/5/39(a) | | | 333,230 | |
| | 250,000 | | | Baa1(b) | | Series 2021-MHC, Class D, 4.091% (1-Month USD-LIBOR + 1.700%) due 4/15/38(a)(c) | | | 238,743 | |
| | 653,709 | | | CCC | | JP Morgan Mortgage Acquisition Corp., Series 2006-FRE1, Class M1, 3.029%
(1-Month USD-LIBOR + 0.585%) due 5/25/35(c) | | | 647,016 | |
| | 880,000 | | | BB | | JP Morgan Mortgage Acquisition Trust, Series 2007-CH2, Class MV2, 2.744%
(1-Month USD-LIBOR + 0.300%) due 1/25/37(c) | | | 851,973 | |
| | | | | | JP Morgan Mortgage Trust: | | | | |
| | 161,352 | | | AA+ | | Series 2018-3, Class A1, 3.500% due 9/25/48(a)(c) | | | 150,445 | |
| | 149,581 | | | AA+ | | Series 2018-5, Class A1, 3.500% due 10/25/48(a)(c) | | | 139,791 | |
| | 36,792 | | | AAA | | Series 2019-1, Class A11, 3.394% (1-Month USD-LIBOR + 0.950%) due 5/25/49(a)(c) | | | 35,932 | |
| | 1,759,264 | | | Aaa(b) | | Series 2021-13, Class A3, 2.500% due 4/25/52(a)(c) | | | 1,504,905 | |
| | 59,815 | | | Aaa(b) | | JP Morgan Trust, Series 2015-5, Class A9, 2.974% due 5/25/45(a)(c) | | | 58,931 | |
| | | | | | JPMBB Commercial Mortgage Securities Trust: | | | | |
| | 40,000 | | | Aa3(b) | | Series 2013-C17, Class B, 5.049% due 1/15/47(c) | | | 39,433 | |
| | 350,000 | | | B(j) | | Series 2014-C23, Class E, 3.364% due 9/15/47(a)(c) | | | 276,863 | |
| | | | | | JPMDB Commercial Mortgage Securities Trust: | | | | |
| | 340,000 | | | A(j) | | Series 2017-C5, Class B, 4.009% due 3/15/50(c) | | | 303,059 | |
| | 190,000 | | | Aaa(b) | | Series 2017-C7, Class A5, 3.409% due 10/15/50 | | | 181,299 | |
See Notes to Financial Statements.
204
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| COLLATERALIZED MORTGAGE OBLIGATIONS — 11.0% — (continued) | |
| $ | 130,000 | | | AA- | | Series 2018-C8, Class B, 4.522% due 6/15/51 | | $ | 122,667 | |
| | 890,000 | | | Aaa(b) | | KREF Ltd., Series 2021-FL2, Class A, 3.450%
(1-Month USD-LIBOR + 1.070%) due 2/15/39(a)(c) | | | 866,646 | |
| | 1,200,000 | | | NR | | KREST Commercial Mortgage Securities Trust 2021-CHIP, Series 2021-CHIP, Class B, 2.861% due 11/5/44(a) | | | 955,300 | |
| | | | | | Legacy Mortgage Asset Trust: | | | | |
| | 1,921,611 | | | NR | | Series 2020-GS2, Class A1, step bond to yield, 2.750% due 3/25/60(a) | | | 1,920,211 | |
| | 810,046 | | | NR | | Series 2021-GS2, Class A1, step bond to yield, 1.750% due 4/25/61(a) | | | 761,642 | |
| | 491,485 | | | NR | | Life Mortgage Trust, Series 2021-BMR, Class G, 5.341%
(1-Month USD-LIBOR + 2.950%) due 3/15/38(a)(c) | | | 455,866 | |
| | 269,601 | | | Baa2(b) | | Lunar Structured Aircraft Portfolio Notes, Series 2021-1, Class B, 3.432% due 10/15/46(a) | | | 237,459 | |
| | 1,295,000 | | | AAA | | Madison Park Funding XLVIII Ltd., Series 2021-48A, Class A, 3.888%
(3-Month USD-LIBOR + 1.150%) due 4/19/33(a)(c) | | | 1,273,633 | |
| | 280,000 | | | AAA | | Madison Park Funding XXVI Ltd., Series 2017-26A, Class AR, 4.006%
(3-Month USD-LIBOR + 1.200%) due 7/29/30(a)(c) | | | 277,480 | |
| | 801,064 | | | A | | MAPS Trust, Series 2021-1A, Class A, 2.521% due 6/15/46(a) | | | 682,742 | |
| | 181,308 | | | WD(j) | | MASTR Seasoned Securitization Trust, Series 2005-1, Class 4A1, 3.940% due 10/25/32(c) | | | 175,663 | |
| | 214,386 | | | CC | | Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-4, Class 2A4, 2.694%
(1-Month USD-LIBOR + 0.250%) due 7/25/37(c) | | | 113,129 | |
| | 12,977 | | | A+ | | Merrill Lynch Mortgage Investors Trust, Series 2004-A3, Class 4A3, 3.070% due 5/25/34(c) | | | 12,098 | |
| | 1,155,000 | | | Aaa(b) | | MF1 Ltd., Series 2021-FL7, Class A, 3.457%
(1-Month USD-LIBOR + 1.080%) due 10/16/36(a)(c) | | | 1,113,651 | |
| | 275,000 | | | AAA(j) | | MKT Mortgage Trust, Series 2020-525M, Class A, 2.694% due 2/12/40(a) | | | 231,262 | |
| | | | | | ML-CFC Commercial Mortgage Trust: | | | | |
| | 31,434 | | | Ca(b) | | Series 2007-5, Class AJ, 5.450% due 8/12/48(c) | | | 15,550 | |
| | 3,395 | | | WD(j) | | Series 2007-9, Class AJ, 6.193% due 9/12/49(c) | | | 3,346 | |
| | | | | | Morgan Stanley Bank of America Merrill Lynch Trust: | | | | |
| | 500,000 | | | Aaa(b) | | Series 2013-C13, Class A4, 4.039% due 11/15/46(m) | | | 494,777 | |
| | 512,158 | | | Aaa(b) | | Series 2016-C28, Class A3, 3.272% due 1/15/49(m) | | | 489,216 | |
| | 249,031 | | | NR | | Mosaic Solar Loan Trust, Series 2021-1A, Class D, 3.710% due 12/20/46(a) | | | 222,677 | |
| | 1,200,000 | | | Aaa(b) | | Neuberger Berman CLO XX Ltd., Series 2015-20A, Class ARR, 3.672%
(3-Month USD-LIBOR + 1.160%) due 7/15/34(a)(c) | | | 1,171,800 | |
| | 1,270,000 | | | A- | | New Economy Assets Phase 1 Sponsor LLC, Series 2021-1, Class B1, 2.410% due 10/20/61(a) | | | 1,094,198 | |
| | | | | | New Residential Mortgage Loan Trust: | | | | |
| | 148,146 | | | AAA | | Series 2016-4A, Class A1, 3.750% due 11/25/56(a)(c) | | | 142,002 | |
| | 202,697 | | | NR | | Series 2018-3A, Class A1, 4.500% due 5/25/58(a)(c) | | | 200,341 | |
| | 530,110 | | | Aaa(b) | | Series 2019-6A, Class A1B, 3.500% due 9/25/59(a)(c) | | | 507,237 | |
| | 753,931 | | | AAA(j) | | Series 2022-NQM4, Class A1, step bond to yield, 5.000% due 6/25/62(a) | | | 746,440 | |
| | 487,061 | | | Aaa(b) | | Newark BSL CLO 1 Ltd., Series 2016-1A, Class A1R, 3.869%
(3-Month USD-LIBOR + 1.100%) due 12/21/29(a)(c) | | | 481,789 | |
| | 358,708 | | | AAA | | Oak Street Investment Grade Net Lease Fund, Series 2020-1A, Class A1, 1.850% due 11/20/50(a) | | | 324,792 | |
| | 500,000 | | | AAA | | Octagon Investment Partners 36 Ltd., Series 2018-1A, Class A1, 3.482%
(3-Month USD-LIBOR + 0.970%) due 4/15/31(a)(c) | | | 492,911 | |
| | 1,000,000 | | | AAA | | Octagon Investment Partners 46 Ltd., Series 2020-2A, Class AR, 3.672%
(3-Month USD-LIBOR + 1.160%) due 7/15/36(a)(c) | | | 981,889 | |
| | 500,000 | | | Aaa(b) | | One Bryant Park Trust, Series 2019-OBP, Class A, 2.516% due 9/15/54(a) | | | 430,523 | |
| | 1,650,000 | | | B- | | Opteum Mortgage Acceptance Corp. Asset Backed Pass-Through Certificates, Series 2005-4, Class M2, 3.194% (1-Month USD-LIBOR + 0.750%) due 11/25/35(c) | | | 1,597,450 | |
| | 209,363 | | | BBB- | | Option One Mortgage Loan Trust, Series 2004-3, Class M1, 3.224%
(1-Month USD-LIBOR + 0.780%) due 11/25/34(c) | | | 202,305 | |
| | | | | | Palmer Square CLO Ltd.: | | | | |
| | 800,000 | | | AAA | | Series 2014-1A, Class A1R2, 3.870% (3-Month USD-LIBOR + 1.130%) due 1/17/31(a)(c) | | | 792,656 | |
| | 1,150,000 | | | AAA | | Series 2018-2A, Class A1A, 3.840% (3-Month USD-LIBOR + 1.100%) due 7/16/31(a)(c) | | | 1,136,551 | |
| | 1,656,296 | | | CCC | | Park Place Securities Inc. Asset-Backed Pass-Through Certificates, Series 2004-WWF1, Class M5, 4.244% (1-Month USD-LIBOR + 1.800%) due 12/25/34(c) | | | 1,624,881 | |
See Notes to Financial Statements.
205
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| COLLATERALIZED MORTGAGE OBLIGATIONS — 11.0% — (continued) | |
| | | | | | PFS Financing Corp.: | | | | |
| $ | 400,000 | | | AAA | | Series 2020-E, Class A, 1.000% due 10/15/25(a) | | $ | 385,098 | |
| | 190,000 | | | AAA | | Series 2021-A, Class A, 0.710% due 4/15/26(a) | | | 178,933 | |
| | 540,000 | | | AAA | | Series 2022-C, Class A, 3.890% due 5/15/27(a) | | | 533,159 | |
| | 788,000 | | | AAA | | Series 2022-D, Class A, 4.270% due 8/16/27(a) | | | 781,615 | |
| | | | | | PMT Credit Risk Transfer Trust: | | | | |
| | 284,998 | | | NR | | Series 2019-2R, Class A, 5.243% (1-Month USD-LIBOR + 2.750%) due 5/27/23(a)(c) | | | 279,879 | |
| | 160,568 | | | NR | | Series 2019-3R, Class A, 5.193% (1-Month USD-LIBOR + 2.700%) due 10/27/22(a)(c) | | | 160,198 | |
| | 1,515,703 | | | NR | | PRET LLC, Series 2022-RN2, Class A1, step bond to yield, 5.000% due 6/25/52(a) | | | 1,440,912 | |
| | 1,735,000 | | | NR | | Pretium Mortgage Credit Partners LLC, Series 2022-RN3, Class A1, 5.000% due 8/25/52(a)(c) | | | 1,696,773 | |
| | | | | | Prime Mortgage Trust: | | | | |
| | 8,217 | | | WR(b) | | Series 2006-DR1, Class 1A1, 5.500% due 5/25/35(a) | | | 8,186 | |
| | 546,593 | | | WR(b) | | Series 2006-DR1, Class 2A1, 5.500% due 5/25/35(a) | | | 478,313 | |
| | 666,000 | | | NR | | Progress Residential, Series 2021-SFR1, Class G, 3.861% due 4/17/38(a) | | | 601,910 | |
| | 860,791 | | | NR | | PRPM LLC, Series 2021-11, Class A1, step bond to yield, 2.487% due 11/25/26(a) | | | 808,243 | |
| | 1,535,000 | | | AAA | | RBS Commercial Funding Inc. Trust, Series 2013-GSP, Class A, 3.961% due 1/15/32(a)(c) | | | 1,497,332 | |
| | 1,107,465 | | | Aaa(b) | | Ready Capital Mortgage Financing LLC, Series 2021-FL7, Class A, 3.644%
(1-Month USD-LIBOR + 1.200%) due 11/25/36(a)(c) | | | 1,083,472 | |
| | 1,100,000 | | | AA | | Regata XII Funding Ltd., Series 2019-1A, Class BR, 4.112%
(3-Month USD-LIBOR + 1.600%) due 10/15/32(a)(c) | | | 1,047,955 | |
| | 101,465 | | | Caa2(b) | | Residential Asset Securitization Trust, Series 2005-A15, Class 1A4, 5.750% due 2/25/36 | | | 97,538 | |
| | 850,000 | | | NR | | RIAL Issuer Ltd., Series 2022-FL8, Class D, 7.046%
(1-Month Term SOFR + 4.750%) due 1/19/37(a)(c) | | | 844,587 | |
| | 419,198 | | | NR | | SBA Small Business Investment Cos., Series 2018-10B, Class 1, 3.548% due 9/10/28 | | | 408,677 | |
| | | | | | Seasoned Credit Risk Transfer Trust: | | | | |
| | 83,781 | | | NR | | Series 2018-2, Class MA, 3.500% due 11/25/57 | | | 82,150 | |
| | 790,000 | | | B(j) | | Series 2019-1, Class M, 4.750% due 7/25/58(a)(c) | | | 734,844 | |
| | 271,436 | | | NR | | Series 2019-2, Class MA, 3.500% due 8/25/58 | | | 265,341 | |
| | 210,000 | | | B(j) | | Series 2020-2, Class M, 4.250% due 11/25/59(a)(c) | | | 190,041 | |
| | 617,172 | | | AA- | | Sequoia Mortgage Trust, Series 2003-1, Class 1A, 3.128%
(1-Month USD-LIBOR + 0.760%) due 4/20/33(c) | | | 580,000 | |
| | 250,000 | | | AAA | | Signal Peak CLO 12 Ltd., Series 2022-12A, Class A1, 3.657%
(3-Month Term SOFR + 1.540%) due 7/18/34(a)(c) | | | 246,912 | |
| | 976,000 | | | B2(b) | | SMRT, Series 2022-MINI, Class F, 5.658%
(1-Month Term SOFR + 3.350%) due 1/15/39(a)(c) | | | 904,025 | |
| | 310,000 | | | NR | | Soho Trust, Series 2021-SOHO, Class B, 2.786% due 8/10/38(a)(c) | | | 251,150 | |
| | 1,110,000 | | | AAA | | SREIT Trust, Series 2021-MFP, Class A, 3.122%
(1-Month USD-LIBOR + 0.731%) due 11/15/38(a)(c) | | | 1,071,385 | |
| | 546,792 | | | AAA | | Store Maser Funding I-VII XIV XIX XX, Series 2021-1A, Class A1, 2.120% due 6/20/51(a) | | | 472,211 | |
| | 496,175 | | | A | | Structured Asset Investment Loan Trust, Series 2004-6, Class A3, 3.244%
(1-Month USD-LIBOR + 0.800%) due 7/25/34(c) | | | 480,561 | |
| | 52,575 | | | AA+ | | Structured Asset Mortgage Investments II Trust, Series 2005-AR5, Class A3, 2.866%
(1-Month USD-LIBOR + 0.500%) due 7/19/35(c) | | | 49,047 | |
| | 850,000 | | | Aaa(b) | | STWD Ltd., Series 2022-FL3, Class A, 3.233% (SOFR + 1.350%) due 11/15/38(a)(c) | | | 823,254 | |
| | 388,150 | | | NR | | Sunrun Atlas Issuer LLC, Series 2019-2, Class A, 3.610% due 2/1/55(a) | | | 355,881 | |
| | | | | | Tharaldson Hotel Portfolio Trust: | | | | |
| | 81,008 | | | AAA | | Series 2018-THL, Class A, 3.423% (1-Month USD-LIBOR + 1.050%) due 11/11/34(a)(c) | | | 79,015 | |
| | 291,629 | | | B+ | | Series 2018-THL, Class E, 5.853% (1-Month USD-LIBOR + 3.480%) due 11/11/34(a)(c) | | | 269,882 | |
| | | | | | Towd Point Mortgage Trust: | | | | |
| | 760,000 | | | Baa3(b) | | Series 2015-2, Class 1B3, 3.354% due 11/25/60(a)(c) | | | 671,411 | |
| | 1,202,050 | | | Aaa(b) | | Series 2015-5, Class M1, 3.500% due 5/25/55(a)(c) | | | 1,193,538 | |
| | 770,000 | | | Baa1(b) | | Series 2016-5, Class B2, 3.579% due 10/25/56(a)(c) | | | 699,690 | |
| | 200,000 | | | Aaa(b) | | TPGI Trust, Series 2021-DGWD, Class A, 3.090%
(1-Month USD-LIBOR + 0.700%) due 6/15/26(a)(c) | | | 193,520 | |
| | 250,000 | | | AAA | | Trinitas CLO XVIII Ltd., Series 2021-18A, Class A1, 3.880%
(3-Month USD-LIBOR + 1.170%) due 1/20/35(a)(c) | | | 244,241 | |
See Notes to Financial Statements.
206
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| COLLATERALIZED MORTGAGE OBLIGATIONS — 11.0% — (continued) | |
| | | | | | UBS Commercial Mortgage Trust: | | | | |
| $ | 340,000 | | | AA-(j) | | Series 2018-C11, Class B, 4.713% due 6/15/51(c) | | $ | 320,701 | |
| | 350,000 | | | Aaa(b) | | Series 2019-C17, Class A3, 2.669% due 10/15/52 | | | 312,505 | |
| | 1,317,418 | | | NR | | Velocity Commercial Capital Loan Trust, Series 2019-1, Class A, 3.760% due 3/25/49(a)(c) | | | 1,284,002 | |
| | 1,106,918 | | | NR | | VOLT XCIX LLC, Series 2021-NPL8, Class A1, step bond to yield, 2.116% due 4/25/51(a) | | | 1,055,837 | |
| | 874,767 | | | Aaa(b) | | Voya CLO 2014-2 Ltd., Series 2014-2A, Class A1RR, 3.760%
(3-Month USD-LIBOR + 1.020%) due 4/17/30(a)(c) | | | 866,297 | |
| | | | | | WaMu Mortgage Pass-Through Certificates Trust: | | | | |
| | 295,709 | | | B- | | Series 2005-AR1, Class A1B, 3.224% (1-Month USD-LIBOR + 0.780%) due 1/25/45(c) | | | 278,557 | |
| | 125,699 | | | BB- | | Series 2005-AR4, Class A5, 2.982% due 4/25/35(c) | | | 120,184 | |
| | 2,135,406 | | | BB+ | | Series 2005-AR15, Class A1A1, 2.964% (1-Month USD-LIBOR + 0.520%) due 11/25/45(c) | | | 1,964,055 | |
| | 717,149 | | | A- | | Series 2005-AR19, Class A1B3, 3.144% (1-Month USD-LIBOR + 0.700%) due 12/25/45(c) | | | 674,904 | |
| | 524,914 | | | CCC | | Series 2006-AR3, Class A1A, 1.859%
(1-Year Treasury Average Rate + 1.000%) due 2/25/46(c) | | | 478,643 | |
| | 291,434 | | | Ca(b) | | Washington Mutual Mortgage Pass-Through Certificates WMALT, Series 2007-OA2, Class 2A, 1.559% (1-Year Treasury Average Rate + 0.700%) due 1/25/47(c) | | | 241,282 | |
| | | | | | Wells Fargo Commercial Mortgage Trust: | | | | |
| | 120,000 | | | Ba3(b) | | Series 2013-LC12, Class B, 4.433% due 7/15/46(c) | | | 113,143 | |
| | 1,000,000 | | | Aa2(b) | | Series 2015-C28, Class AS, 3.872% due 5/15/48(c) | | | 966,646 | |
| | 150,000 | | | Aaa(b) | | Series 2015-LC20, Class A5, 3.184% due 4/15/50 | | | 145,115 | |
| | 388,640 | | | AAA | | Series 2016-BNK1, Class ASB, 2.514% due 8/15/49 | | | 375,915 | |
| | 412,415 | | | Aaa(b) | | Series 2016-C33, Class A3, 3.162% due 3/15/59 | | | 396,918 | |
| | 10,346,789 | | | Aaa(b) | | Series 2018-C43, Class XA, 0.755% due 3/15/51(c)(k) | | | 273,159 | |
| | 250,000 | | | Aaa(b) | | Series 2018-C44, Class A4, 3.948% due 5/15/51 | | | 242,291 | |
| | 3,396,299 | | | Aaa(b) | | Series 2019-C52, Class XA, 1.751% due 8/15/52(c)(k) | | | 260,094 | |
| | 180,000 | | | AAA | | Series 2019-C54, Class A4, 3.146% due 12/15/52 | | | 164,755 | |
| | 114,884 | | | Aaa(b) | | Wells Fargo Mortgage-Backed Securities Trust, Series 2019-4, Class A2, 3.000% due 9/25/49(a)(c) | | | 106,384 | |
| | 118,891 | | | Aaa(b) | | WF-RBS Commercial Mortgage Trust, Series 2013-C14, Class A4, 3.073% due 6/15/46 | | | 118,298 | |
| | | | | | | | | | |
| | | | | | TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost — $161,147,581) | | | 148,485,395 | |
| | | | | | | | | | |
|
| SOVEREIGN BONDS — 4.4% | |
|
| Argentina — 0.0% | |
| | | | | | Argentine Republic Government International Bonds: | | | | |
| | 64,372 | | | CCC+ | | 1.000% due 7/9/29 | | | 15,072 | |
| | 1,852,700 | | | CCC+ | | 0.500% due 7/9/30 | | | 444,719 | |
| | | | | | | | | | |
| | | | | | Total Argentina | | | 459,791 | |
| | | | | | | | | | |
|
| Brazil — 0.2% | |
| | | | | | Brazilian Government International Bonds: | | | | |
| | 200,000 | | | BB- | | 2.875% due 6/6/25 | | | 191,233 | |
| | 300,000 | | | BB- | | 4.625% due 1/13/28 | | | 288,326 | |
| | 200,000 | | | BB- | | 3.875% due 6/12/30 | | | 174,963 | |
| | 1,680,000 | | | BB- | | 5.000% due 1/27/45 | | | 1,299,202 | |
| | | | | | | | | | |
| | | | | | Total Brazil | | | 1,953,724 | |
| | | | | | | | | | |
|
| Canada — 0.1% | |
| | | | | | Province of Manitoba Canada: | | | | |
| | 152,000 | | | A+ | | 3.050% due 5/14/24 | | | 150,570 | |
| | 1,025,000 | | | A+ | | 1.500% due 10/25/28 | | | 901,941 | |
| | | | | | | | | | |
| | | | | | Total Canada | | | 1,052,511 | |
| | | | | | | | | | |
See Notes to Financial Statements.
207
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Chile — 0.1% | |
| | | | | | Chile Government International Bonds: | | | | |
| $ | 650,000 | | | A | | 2.450% due 1/31/31 | | $ | 550,642 | |
| | 500,000 | | | A | | 2.550% due 1/27/32 | | | 417,904 | |
| | | | | | | | | | |
| | | | | | Total Chile | | | 968,546 | |
| | | | | | | | | | |
|
| Colombia — 0.1% | |
| | | | | | Colombia Government International Bonds: | | | | |
| | 220,000 | | | BB+ | | 8.125% due 5/21/24 | | | 229,453 | |
| | 280,000 | | | BB+ | | 3.875% due 4/25/27 | | | 251,497 | |
| | 340,000 | | | BB+ | | 3.000% due 1/30/30 | | | 263,475 | |
| | 315,000 | | | BB+ | | 3.125% due 4/15/31 | | | 237,849 | |
| | 430,000 | | | BB+ | | 3.250% due 4/22/32 | | | 318,239 | |
| | 430,000 | | | BB+ | | 4.125% due 2/22/42 | | | 270,375 | |
| | | | | | | | | | |
| | | | | | Total Colombia | | | 1,570,888 | |
| | | | | | | | | | |
|
| Dominican Republic — 0.0% | |
| | 350,000 | | | BB- | | Dominican Republic International Bonds, 4.500% due 1/30/30(a) | | | 295,098 | |
| | | | | | | | | | |
|
| Egypt — 0.0% | |
| | 200,000 | | | B | | Egypt Government International Bonds, 5.250% due 10/6/25 | | | 171,151 | |
| | | | | | | | | | |
|
| Guatemala — 0.0% | |
| | 242,000 | | | BB- | | Guatemala Government Bonds, 3.700% due 10/7/33 | | | 196,603 | |
| | | | | | | | | | |
|
| Hong Kong — 0.0% | |
| | 445,000 | | | AA+ | | Airport Authority, 3.250% due 1/12/52(a) | | | 351,722 | |
| | | | | | | | | | |
|
| Hungary — 0.0% | |
| | 200,000 | | | BBB | | Hungary Government International Bonds, 2.125% due 9/22/31 | | | 147,046 | |
| | | | | | | | | | |
|
| Indonesia — 0.4% | |
| | | | | | Indonesia Government International Bonds: | | | | |
| | 80,000 | | | BBB | | 4.100% due 4/24/28 | | | 80,291 | |
| | 445,000 | | | BBB | | 2.850% due 2/14/30 | | | 411,346 | |
| | 320,000 | | | BBB | | 2.150% due 7/28/31 | | | 275,444 | |
| | 100,000 | | | BBB | | 7.750% due 1/17/38(a) | | | 123,006 | |
| | 530,000 | | | BBB | | 4.350% due 1/11/48 | | | 479,073 | |
| | | | | | Indonesia Treasury Bonds: | | | | |
| | 33,727,000,000 | IDR | | NR | | 6.500% due 2/15/31 | | | 2,197,340 | |
| | 19,692,000,000 | IDR | | NR | | 6.375% due 4/15/32 | | | 1,261,243 | |
| | | | | | | | | | |
| | | | | | Total Indonesia | | | 4,827,743 | |
| | | | | | | | | | |
|
| Israel — 0.0% | |
| | 200,000 | | | AA- | | Israel Government International Bonds, 2.750% due 7/3/30 | | | 189,934 | |
| | | | | | | | | | |
|
| Kenya — 0.0% | |
| | 520,000 | | | B | | Kenya Government International Bonds, 6.300% due 1/23/34(a) | | | 358,150 | |
| | | | | | | | | | |
|
| Mexico — 1.2% | |
| | | | | | Mexican Bonos: | | | | |
| | 15,120,000 | MXN | | BBB+ | | 10.000% due 12/5/24 | | | 755,904 | |
| | 22,540,000 | MXN | | BBB+ | | 8.500% due 5/31/29 | | | 1,089,919 | |
| | 23,930,000 | MXN | | BBB+ | | 7.750% due 11/23/34 | | | 1,072,154 | |
| | 111,575,700 | MXN | | BBB+ | | 7.750% due 11/13/42 | | | 4,892,413 | |
| | 84,090,000 | MXN | | Baa2(b) | | 8.000% due 11/7/47 | | | 3,760,260 | |
| | | | | | Mexico Government International Bonds: | | | | |
| | 200,000 | | | BBB | | 4.150% due 3/28/27 | | | 198,619 | |
| | 323,000 | | | BBB | | 3.750% due 1/11/28 | | | 311,744 | |
| | 572,000 | | | BBB | | 4.500% due 4/22/29 | | | 561,116 | |
See Notes to Financial Statements.
208
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Mexico — 1.2% — (continued) | |
| $ | 1,494,000 | | | BBB | | 2.659% due 5/24/31 | | $ | 1,243,178 | |
| | 855,000 | | | BBB | | 4.750% due 4/27/32 | | | 832,306 | |
| | 1,060,000 | | | BBB | | 3.500% due 2/12/34 | | | 889,191 | |
| | 210,000 | | | BBB | | 4.750% due 3/8/44 | | | 178,427 | |
| | 200,000 | | | BBB | | 4.600% due 2/10/48 | | | 161,685 | |
| | | | | | | | | | |
| | | | | | Total Mexico | | | 15,946,916 | |
| | | | | | | | | | |
|
| Nigeria — 0.0% | |
| | 260,000 | | | B- | | Nigeria Government International Bonds, 7.143% due 2/23/30(a) | | | 192,439 | |
| | | | | | | | | | |
|
| Oman — 0.0% | |
| | 200,000 | | | Ba3(b) | | Oman Government International Bonds, 5.625% due 1/17/28 | | | 197,482 | |
| | | | | | | | | | |
|
| Panama — 0.2% | |
| | | | | | Panama Government International Bonds: | | | | |
| | 210,000 | | | BBB | | 3.875% due 3/17/28 | | | 201,984 | |
| | 700,000 | | | BBB | | 3.160% due 1/23/30 | | | 617,574 | |
| | 640,000 | | | BBB | | 2.252% due 9/29/32 | | | 499,467 | |
| | 405,000 | | | BBB | | 3.298% due 1/19/33 | | | 344,196 | |
| | 290,000 | | | BBB | | 4.500% due 4/1/56 | | | 225,145 | |
| | | | | | | | | | |
| | | | | | Total Panama | | | 1,888,366 | |
| | | | | | | | | | |
|
| Paraguay — 0.0% | |
| | | | | | Paraguay Government International Bonds: | | | | |
| | 200,000 | | | BB | | 4.700% due 3/27/27 | | | 197,974 | |
| | 200,000 | | | BB | | 2.739% due 1/29/33(a) | | | 158,789 | |
| | | | | | | | | | |
| | | | | | Total Paraguay | | | 356,763 | |
| | | | | | | | | | |
|
| Peru — 0.1% | |
| | | | | | Peruvian Government International Bonds: | | | | |
| | 825,000 | | | BBB | | 4.125% due 8/25/27 | | | 812,209 | |
| | 790,000 | | | BBB | | 2.783% due 1/23/31 | | | 674,645 | |
| | 70,000 | | | BBB | | 6.550% due 3/14/37 | | | 76,957 | |
| | 160,000 | | | BBB | | 5.625% due 11/18/50 | | | 167,063 | |
| | | | | | | | | | |
| | | | | | Total Peru | | | 1,730,874 | |
| | | | | | | | | | |
|
| Philippines — 0.1% | |
| | | | | | Philippine Government International Bonds: | | | | |
| | 400,000 | | | BBB+ | | 3.000% due 2/1/28 | | | 386,805 | |
| | 400,000 | | | BBB+ | | 2.457% due 5/5/30 | | | 360,518 | |
| | 560,000 | | | BBB+ | | 1.648% due 6/10/31 | | | 465,525 | |
| | 550,000 | | | BBB+ | | 1.950% due 1/6/32 | | | 462,714 | |
| | | | | | | | | | |
| | | | | | Total Philippines | | | 1,675,562 | |
| | | | | | | | | | |
|
| Poland — 0.1% | |
| | 910,000 | | | A- | | Poland Government International Bonds, 4.000% due 1/22/24 | | | 910,357 | |
| | | | | | | | | | |
|
| Qatar — 0.0% | |
| | 200,000 | | | AA- | | Qatar Government International Bonds, 4.500% due 4/23/28 | | | 208,903 | |
| | | | | | | | | | |
|
| Russia — 0.1% | |
| | | | | | Russian Federal Bonds — OFZ: | | | | |
| | 6,950,000 | RUB | | NR | | 7.750% due 9/16/26(f) | | | 29,623 | |
| | 205,378,000 | RUB | | WR(b) | | 7.050% due 1/19/28(f) | | | 875,382 | |
| | 170,520,000 | RUB | | WD(j) | | 6.900% due 5/23/29(f) | | | 726,806 | |
| | 49,650,000 | RUB | | NR | | 7.700% due 3/16/39(f) | | | 211,623 | |
| | | | | | | | | | |
| | | | | | Total Russia | | | 1,843,434 | |
| | | | | | | | | | |
See Notes to Financial Statements.
209
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Saudi Arabia — 0.0% | |
| | | | | | Saudi Government International Bonds: | | | | |
| $ | 200,000 | | | A1(b) | | 3.250% due 10/26/26 | | $ | 197,627 | |
| | 200,000 | | | A1(b) | | 3.625% due 3/4/28 | | | 199,224 | |
| | | | | | | | | | |
| | | | | | Total Saudi Arabia | | | 396,851 | |
| | | | | | | | | | |
|
| South Africa — 0.0% | |
| | 300,000 | | | BB- | | Republic of South Africa Government International Bonds, 5.875% due 4/20/32 | | | 267,975 | |
| | | | | | | | | | |
|
| United Arab Emirates — 0.1% | |
| | | | | | Abu Dhabi Government International Bonds: | | | | |
| | 400,000 | | | AA | | 2.500% due 10/11/22(a) | | | 399,918 | |
| | 200,000 | | | AA | | 2.500% due 9/30/29 | | | 186,599 | |
| | | | | | | | | | |
| | | | | | Total United Arab Emirates | | | 586,517 | |
| | | | | | | | | | |
|
| United States — 1.5% | |
| | 20,685,000 | | | AA+ | | U.S. Treasury Notes, 2.750% due 7/31/27 | | | 20,165,999 | |
| | | | | | | | | | |
|
| Uruguay — 0.1% | |
| | | | | | Uruguay Government International Bonds: | | | | |
| | 46,667 | | | BBB | | 4.500% due 8/14/24 | | | 47,412 | |
| | 555,000 | | | BBB | | 4.375% due 10/27/27 | | | 572,109 | |
| | 200,000 | | | BBB | | 4.375% due 1/23/31 | | | 205,222 | |
| | | | | | | | | | |
| | | | | | Total Uruguay | | | 824,743 | |
| | | | | | | | | | |
| | | | | | TOTAL SOVEREIGN BONDS (Cost — $71,161,564) | | | 59,736,088 | |
| | | | | | | | | | |
|
| ASSET-BACKED SECURITIES — 2.1% | |
|
| Automobiles — 0.5% | |
| | 1,522,000 | | | AAA | | Capital One Prime Auto Receivables Trust, Series 2022-2, Class A3, 3.660% due 5/17/27 | | | 1,506,743 | |
| | | | | | CarMax Auto Owner Trust: | | | | |
| | 694,000 | | | AAA | | Series 2022-2, Class A2A, 2.810% due 5/15/25 | | | 689,052 | |
| | 100,000 | | | AAA | | Series 2022-2, Class A3, 3.490% due 2/16/27 | | | 99,454 | |
| | | | | | Credit Acceptance Auto Loan Trust: | | | | |
| | 33,620 | | | AAA | | Series 2019-3A, Class A, 2.380% due 11/15/28(a) | | | 33,588 | |
| | 410,000 | | | AAA | | Series 2021-2A, Class A, 0.960% due 2/15/30(a) | | | 393,692 | |
| | 320,000 | | | AAA | | Series 2021-3A, Class A, 1.000% due 5/15/30(a) | | | 305,972 | |
| | 470,000 | | | AAA | | Series 2021-4, Class A, 1.260% due 10/15/30(a) | | | 443,313 | |
| | 803,000 | | | AAA | | Ford Credit Auto Lease Trust, Series 2022-A, Class A2A, 2.780% due 10/15/24 | | | 796,766 | |
| | 920,000 | | | Aaa(b) | | Hertz Vehicle Financing LLC, Series 2021-1A, Class A, 1.210% due 12/26/25(a) | | | 855,612 | |
| | 870,000 | | | Aaa(b) | | Honda Auto Receivables Owner Trust, Series 2021-4, Class A3, 0.880% due 1/21/26 | | | 829,610 | |
| | 945,000 | | | AAA | | Hyundai Auto Receivables Trust, Series 2022-B, Class A4, 3.800% due 8/15/28 | | | 945,002 | |
| | | | | | | | | | |
| | | | | | Total Automobiles | | | 6,898,804 | |
| | | | | | | | | | |
|
| Credit Cards — 0.7% | |
| | 798,000 | | | Aaa(b) | | American Express Credit Account Master Trust, Series 2022-3, Class A, 3.750% due 8/16/27 | | | 795,892 | |
| | 4,381,000 | | | AAA | | Capital One Multi-Asset Execution Trust, Series 2022-A2, Class A, 3.490% due 5/15/27 | | | 4,328,992 | |
| | 3,536,000 | | | AAA | | Discover Card Execution Notes Trust, Series 2022-A3, Class A3, 3.560% due 7/15/27 | | | 3,512,240 | |
| | 300,000 | | | NR | | Mercury Financial Credit Card Master Trust, Series 2022-1A, Class B, 3.200% due 9/21/26(a) | | | 273,404 | |
| | | | | | | | | | |
| | | | | | Total Credit Cards | | | 8,910,528 | |
| | | | | | | | | | |
|
| Student Loans — 0.9% | |
| | | | | | College Ave Student Loans LLC: | | | | |
| | 201,056 | | | AAA | | Series 2019-A, Class A1, 3.844% (1-Month USD-LIBOR + 1.400%) due 12/28/48(a)(c) | | | 199,269 | |
| | 134,037 | | | AAA | | Series 2019-A, Class A2, 3.280% due 12/28/48(a) | | | 128,107 | |
| | | | | | ECMC Group Student Loan Trust: | | | | |
| | 162,907 | | | Aaa(b) | | Series 2016-1A, Class A, 3.794% (1-Month USD-LIBOR + 1.350%) due 7/26/66(a)(c) | | | 161,306 | |
| | 1,107,575 | | | Aaa(b) | | Series 2017-2A, Class A, 3.494% (1-Month USD-LIBOR + 1.050%) due 5/25/67(a)(c) | | | 1,091,824 | |
See Notes to Financial Statements.
210
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Student Loans — 0.9% — (continued) | |
| $ | 30,775 | | | AAA | | Navient Private Education Loan Trust, Series 2014-AA, Class A2B, 3.641%
(1-Month USD-LIBOR + 1.250%) due 2/15/29(a)(c) | | $ | 30,770 | |
| | 1,186,737 | | | Aaa(b) | | Navient Private Education Refi Loan Trust, Series 2021-FA, Class A, 1.110% due 2/18/70(a) | | | 1,032,679 | |
| | 414,975 | | | AAA | | Navient Private Education Refi Loan Trust 2020-D, Series 2020-DA, Class A, 1.690% due 5/15/69(a) | | | 385,421 | |
| | | | | | Navient Student Loan Trust: | | | | |
| | 1,073,905 | | | AA+ | | Series 2017-2A, Class A, 3.494% (1-Month USD-LIBOR + 1.050%) due 12/27/66(a)(c) | | | 1,052,665 | |
| | 1,300,000 | | | AA+ | | Series 2017-3A, Class A3, 3.494% (1-Month USD-LIBOR + 1.050%) due 7/26/66(a)(c) | | | 1,292,343 | |
| | 109,869 | | | AAA | | Series 2017-4A, Class A2, 2.944% (1-Month USD-LIBOR + 0.500%) due 9/27/66(a)(c) | | | 109,698 | |
| | 1,133,669 | | | AA+ | | Series 2020-1A, Class A1B, 3.494% (1-Month USD-LIBOR + 1.050%) due 6/25/69(a)(c) | | | 1,123,083 | |
| | | | | | Nelnet Student Loan Trust: | | | | |
| | 1,093,866 | | | AA+ | | Series 2006-1, Class A6, 3.408% (3-Month USD-LIBOR + 0.450%) due 8/23/36(a)(c) | | | 1,061,264 | |
| | 175,409 | | | Aaa(b) | | Series 2021-A, Class APT1, 1.360% due 4/20/62(a) | | | 158,214 | |
| | 357,071 | | | AAA | | SLM Private Education Loan Trust, Series 2010-C, Class A5, 7.141%
(1-Month USD-LIBOR + 4.750%) due 10/15/41(a)(c) | | | 389,631 | |
| | | | | | SLM Student Loan Trust: | | | | |
| | 758,533 | | | AA+ | | Series 2003-10A, Class A4, 2.499% (3-Month USD-LIBOR + 0.670%) due 12/17/68(a)(c) | | | 731,850 | |
| | 566,692 | | | AAA | | Series 2005-5, Class A4, 2.923% (3-Month USD-LIBOR + 0.140%) due 10/25/28(c) | | | 561,297 | |
| | | | | | SMB Private Education Loan Trust: | | | | |
| | 348,110 | | | AAA | | Series 2015-C, Class A3, 4.341% (1-Month USD-LIBOR + 1.950%) due 8/16/32(a)(c) | | | 348,447 | |
| | 23,735 | | | Aaa(b) | | Series 2016-A, Class A2A, 2.700% due 5/15/31(a) | | | 23,182 | |
| | 91,425 | | | AAA | | Series 2017-B, Class A2A, 2.820% due 10/15/35(a) | | | 88,412 | |
| | 54,024 | | | AAA | | Series 2017-B, Class A2B, 3.141% (1-Month USD-LIBOR + 0.750%) due 10/15/35(a)(c) | | | 53,574 | |
| | 224,223 | | | AAA | | Series 2018-A, Class A2B, 3.191% (1-Month USD-LIBOR + 0.800%) due 2/15/36(a)(c) | | | 221,625 | |
| | 262,715 | | | Aaa(b) | | Series 2018-B, Class A2A, 3.600% due 1/15/37(a) | | | 256,621 | |
| | 321,730 | | | AAA | | Series 2018-C, Class A2B, 3.141% (1-Month USD-LIBOR + 0.750%) due 11/15/35(a)(c) | | | 318,231 | |
| | 74,862 | | | AAA | | Series 2020-A, Class A2B, 3.221% (1-Month USD-LIBOR + 0.830%) due 9/15/37(a)(c) | | | 73,351 | |
| | 593,995 | | | AAA | | Series 2020-PTB, Class A2A, 1.600% due 9/15/54(a) | | | 542,043 | |
| | 695,782 | | | Aaa(b) | | Series 2021-A, Class A2B, 1.590% due 1/15/53(a) | | | 623,931 | |
| | 240,000 | | | Aa2(b) | | Series 2021-A, Class B, 2.310% due 1/15/53(a) | | | 216,874 | |
| | 114,255 | | | AAA | | Sofi Professional Loan Program Trust, Series 2018-B, Class A2FX, 3.340% due 8/25/47(a) | | | 112,341 | |
| | | | | | | | | | |
| | | | | | Total Student Loans | | | 12,388,053 | |
| | | | | | | | | | |
| | | | | | TOTAL ASSET-BACKED SECURITIES (Cost — $29,013,355) | | | 28,197,385 | |
| | | | | | | | | | |
|
| SENIOR LOANS — 1.7% | |
| | 234,784 | | | NR | | 1011778 B.C. Unlimited Liability Co., (Restricted, cost – $231,273, acquired 8/12/20), 4.274%
(1-Month USD-LIBOR + 1.750%) due 11/19/26(n) | | | 228,572 | |
| | 198,982 | | | NR | | Acrisure LLC, 6.024%
(1-Month USD-LIBOR + 3.500%) due 2/15/27 | | | 191,230 | |
| | 150,000 | | | NR | | Air Canada, (Restricted, cost – $149,194, acquired 7/27/21), 6.421%
(3-Month USD-LIBOR + 3.500%) due 8/11/28(n) | | | 145,460 | |
| | 320,356 | | | NR | | Ali Group North America Corp., (Restricted, cost – $317,768, acquired 10/13/21), 4.570%
(1-Month Term SOFR + 2.000%) due 7/30/29(n) | | | 312,427 | |
| | 416,148 | | | NR | | Allied Universal Holdco LLC, (Restricted, cost – $417,476, acquired 2/19/20), 6.274%
(1-Month USD-LIBOR + 3.750%) due 5/12/28(n) | | | 398,256 | |
| | 154,790 | | | NR | | Alterra Mountain Co., (Restricted, cost – $154,629, acquired 3/27/19), 6.024%
(1-Month USD-LIBOR + 3.500%) due 8/17/28(n) | | | 151,114 | |
| | 38,320 | | | NR | | Amentum Government Services Holdings LLC, 6.524%
(1-Month USD-LIBOR + 4.000%) due 1/29/27 | | | 37,372 | |
| | 645,091 | | | NR | | AmWINS Group Inc., 4.774%
(1-Month USD-LIBOR + 2.250%) due 2/19/28 | | | 631,089 | |
| | 10 | | | NR | | Aramark Intermediate HoldCo Corp., (Restricted, cost – $10, acquired 12/13/19), 4.274%
(1-Month USD-LIBOR + 1.750%) due 1/15/27(n) | | | 10 | |
| | 510,559 | | | NR | | Asplundh Tree Expert LLC, (Restricted, cost – $511,835, acquired 3/4/21), 4.274%
(1-Month USD-LIBOR + 1.750%) due 9/7/27(n) | | | 504,231 | |
See Notes to Financial Statements.
211
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| SENIOR LOANS — 1.7% — (continued) | |
| $ | 174,254 | | | NR | | Asurion LLC, (Restricted, cost – $173,903, acquired 11/20/19), 5.524%
(1-Month USD-LIBOR + 3.000%) due 11/3/24(n) | | $ | 168,155 | |
| | 496,167 | | | NR | | Asurion LLC, (Restricted, cost – $486,846, acquired 4/10/19) due 12/23/26(n) | | | 456,032 | |
| | 152,198 | | | NR | | Asurion LLC, (Restricted, cost – $148,464, acquired 1/29/21), 5.774%
(1-Month USD-LIBOR + 3.250%) due 7/31/27(n) | | | 139,768 | |
| | 31,719 | | | NR | | Asurion LLC, (Restricted, cost – $31,724, acquired 8/19/22), 6.401%
(1-Month Term SOFR + 4.000%) due 8/19/28(n) | | | 29,703 | |
| | 554,562 | | | NR | | athenahealth Group Inc., (Restricted, cost – $548,949, acquired 1/27/22), 5.800%
(1-Month Term SOFR + 3.500%) due 2/15/29(n) | | | 532,182 | |
| | 556,525 | | | NR | | Avolon TLB Borrower 1 , (Restricted, cost – $556,583, acquired 3/4/21), 4.618%
(1-Month USD-LIBOR + 2.250%) due 12/1/27(n) | | | 548,177 | |
| | 21,297 | | | NR | | Bausch & Lomb Corp., 5.653% (1-Month Term SOFR + 3.250%) due 5/10/27 | | | 20,083 | |
| | 116,082 | | | NR | | Berry Global Inc., (Restricted, cost – $116,372, acquired 2/17/21), 4.178%
(3-Month USD-LIBOR + 1.750%) due 7/1/26(n) | | | 113,779 | |
| | 77,061 | | | NR | | Brookfield WEC Holdings Inc., (Restricted, cost – $77,064, acquired 11/15/19), 5.274%
(1-Month USD-LIBOR + 2.750%) due 8/1/25(n) | | | 75,462 | |
| | 218,234 | | | NR | | Brown Group Holdings LLC, (Restricted, cost – $217,995, acquired 11/9/21), 5.024%
(1-Month USD-LIBOR + 2.500%) due 6/7/28(n) | | | 215,416 | |
| | 216,375 | | | NR | | Caesars Resort Collection LLC, (Restricted, cost – $214,081, acquired 5/20/22), 5.274%
(1-Month USD-LIBOR + 2.750%) due 12/23/24(n) | | | 214,027 | |
| | 123,872 | | | NR | | Caesars Resort Collection LLC, (Restricted, cost – $121,780, acquired 6/19/20), 6.024%
(1-Month USD-LIBOR + 3.500%) due 7/21/25(n) | | | 123,129 | |
| | 72,553 | | | NR | | Central Parent Inc., 6.610% (3-Month Term SOFR + 4.500%) due 7/6/29 | | | 70,875 | |
| | 254,700 | | | NR | | Change Healthcare Holdings LLC, (Restricted, cost – $254,236, acquired 2/18/20), 5.024%
(1-Month USD-LIBOR + 2.500%) due 3/1/24(n) | | | 253,568 | |
| | 341,627 | | | NR | | Charter Communications Operating LLC, (Restricted, cost – $342,552, acquired 10/24/19), 4.280% (1-Month USD-LIBOR + 1.750%) due 4/30/25(n) | | | 338,180 | |
| | 204,737 | | | NR | | Charter Communications Operating LLC, (Restricted, cost – $205,377, acquired 2/7/20), 4.280% (1-Month USD-LIBOR + 1.750%) due 2/1/27(n) | | | 199,034 | |
| | 463,533 | | | NR | | Citadel Securities LP, (Restricted, cost – $462,802, acquired 4/15/21), 5.070%
(1-Month USD-LIBOR + 2.500%) due 2/2/28(n) | | | 454,915 | |
| | 202,850 | | | NR | | Clarios Global LP, (Restricted, cost – $201,810, acquired 3/18/19), 5.774%
(1-Month USD-LIBOR + 3.250%) due 4/30/26(n) | | | 198,336 | |
| | 129,350 | | | NR | | Cloudera Inc., (Restricted, cost – $128,248, acquired 8/10/21), 6.274%
(1-Month USD-LIBOR + 3.750%) due 10/8/28(n) | | | 124,176 | |
| | 50,000 | | | NR | | Corporation Service Co. due 8/31/29(o) | | | 49,313 | |
| | 69,105 | | | NR | | CSC Holdings LLC, (Restricted, cost – $68,267, acquired 6/29/21), 4.641%
(1-Month USD-LIBOR + 2.250%) due 1/15/26(n) | | | 67,334 | |
| | 420,768 | | | NR | | DCert Buyer Inc., (Restricted, cost – $421,149, acquired 8/8/19), 6.903%
(3-Month Term SOFR + 4.000%) due 10/16/26(n) | | | 410,659 | |
| | 58,845 | | | NR | | Deerfield Dakota Holding LLC, 6.205%
(1-Month Term SOFR + 3.750%) due 4/9/27 | | | 57,485 | |
| | 750,000 | | | NR | | Delos Finance Sarl, (Restricted, cost – $750,000, acquired 3/4/21), 4.000%
(3-Month USD-LIBOR + 1.750%) due 10/6/23(n) | | | 750,548 | |
| | 146,466 | | | NR | | Directv Financing LLC, 7.524%
(1-Month USD-LIBOR + 5.000%) due 8/2/27 | | | 140,534 | |
| | 12,474 | | | NR | | DTI Holdco Inc. due 4/26/29(o) | | | 11,966 | |
| | 172,739 | | | NR | | Edelman Financial Engines Center LLC, (Restricted, cost – $173,213, acquired 4/22/19), 6.024% (1-Month USD-LIBOR + 3.500%) due 4/7/28(n) | | | 166,169 | |
| | 39,221 | | | NR | | Element Materials Technology Group US Holdings Inc. due 6/22/29(o) | | | 38,706 | |
| | 107,691 | | | NR | | EyeCare Partners LLC, (Restricted, cost – $107,633, acquired 2/18/22), 6.000%
(3-Month USD-LIBOR + 3.750%) due 2/18/27(n) | | | 100,575 | |
| | 85,070 | | | NR | | Fertitta Entertainment LLC, 6.455%
(1-Month Term SOFR + 4.000%) due 1/27/29 | | | 81,992 | |
| | 13,385 | | | NR | | FinCo I LLC, (Restricted, cost – $13,326, acquired 8/12/20), 5.024%
(1-Month USD-LIBOR + 2.500%) due 6/27/25(n) | | | 13,284 | |
See Notes to Financial Statements.
212
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| SENIOR LOANS — 1.7% — (continued) | |
| $ | 56,383 | | | NR | | First Eagle Holdings Inc., (Restricted, cost – $56,524, acquired 4/5/19), 4.750%
(3-Month USD-LIBOR + 2.500%) due 2/1/27(n) | | $ | 54,138 | |
| | 158,401 | | | NR | | FleetCor Technologies Operating Co. LLC, (Restricted, cost – $157,440, acquired 4/22/21), 4.274% (1-Month USD-LIBOR + 1.750%) due 4/28/28(n) | | | 155,171 | |
| | 214,072 | | | NR | | Focus Financial Partners LLC, (Restricted, cost – $214,650, acquired 2/18/20), 4.524%
(1-Month USD-LIBOR + 2.000%) due 7/3/24(n) | | | 211,664 | |
| | 20,000 | | | NR | | Formula One Management Ltd., (Restricted, cost – $19,815, acquired 8/12/20), 5.024%
(1-Month USD-LIBOR + 2.500%) due 2/1/24(n) | | | 19,858 | |
| | 47,991 | | | NR | | Four Seasons Holdings Inc., (Restricted, cost – $48,166, acquired 11/21/19), 4.524%
(1-Month USD-LIBOR + 2.000%) due 11/30/23(n) | | | 47,896 | |
| | 156,800 | | | NR | | Froneri International Ltd., (Restricted, cost – $157,110, acquired 2/18/20), 4.774%
(1-Month USD-LIBOR + 2.250%) due 1/29/27(n) | | | 151,573 | |
| | 232,990 | | | NR | | Gainwell Acquisition Corp., (Restricted, cost – $230,360, acquired 3/8/22), 6.250%
(3-Month USD-LIBOR + 4.000%) due 10/1/27(n) | | | 228,332 | |
| | 75,577 | | | NR | | Garda World Security Corp., (Restricted, cost – $74,678, acquired 10/24/19), 7.240%
(3-Month USD-LIBOR + 4.250%) due 10/30/26(n) | | | 73,720 | |
| | 35,109 | | | NR | | Genesee & Wyoming Inc., 4.250%
(3-Month USD-LIBOR + 2.000%) due 12/30/26 | | | 34,461 | |
| | 462,932 | | | NR | | Harbor Freight Tools USA Inc., (Restricted, cost – $464,668, acquired 4/15/21), 5.274%
(1-Month USD-LIBOR + 2.750%) due 10/19/27(n) | | | 443,862 | |
| | 431,964 | | | NR | | Hilton Worldwide Finance LLC, (Restricted, cost – $432,228, acquired 8/18/16), 4.194%
(1-Month USD-LIBOR + 1.750%) due 6/22/26(n) | | | 423,433 | |
| | 60,701 | | | NR | | Hub International Ltd., 5.981%
(2-Month USD-LIBOR + 3.250%/3-Month USD-LIBOR + 3.250%) due 4/25/25 | | | 59,910 | |
| | 530,000 | | | NR | | Hunter Douglas Holding BV, (Restricted, cost – $527,553, acquired 2/9/22), 6.340%
(3-Month Term SOFR + 3.500%) due 2/26/29(n) | | | 465,473 | |
| | 267,160 | | | NR | | Icon Public Limited Co., (Restricted, cost – $266,052, acquired 6/16/21), 4.563%
(3-Month USD-LIBOR + 2.250%) due 7/3/28(n) | | | 263,571 | |
| | 66,563 | | | NR | | Icon Public Limited Co., (Restricted, cost – $66,287, acquired 6/16/21) due 7/3/28(n)(o) | | | 65,669 | |
| | 162,988 | | | NR | | iHeartCommunications Inc., (Restricted, cost – $162,873, acquired 1/29/20), 5.524%
(1-Month USD-LIBOR + 3.000%) due 5/1/26(n) | | | 158,026 | |
| | 302,382 | | | NR | | II-VI Inc., (Restricted, cost – $299,813, acquired 12/8/21), 5.123%
(1-Month USD-LIBOR + 2.750%) due 7/2/29(n) | | | 296,585 | |
| | 73,208 | | | NR | | Ingram Micro Inc., 5.750%
(3-Month USD-LIBOR + 3.500%) due 6/30/28 | | | 70,646 | |
| | 183,882 | | | NR | | Jane Street Group LLC, (Restricted, cost – $183,704, acquired 1/21/21), 5.274%
(1-Month USD-LIBOR + 2.750%) due 1/26/28(n) | | | 180,511 | |
| | 644,439 | | | NR | | Jazz Pharmaceuticals Public Limited Co., (Restricted, cost – $641,782, acquired 4/22/21), 6.024% (1-Month USD-LIBOR + 3.500%) due 5/5/28(n) | | | 633,332 | |
| | 296,712 | | | NR | | Level 3 Financing Inc., (Restricted, cost – $296,440, acquired 2/16/21), 4.274%
(1-Month USD-LIBOR + 1.750%) due 3/1/27(n) | | | 284,075 | |
| | 174,384 | | | NR | | LifePoint Health Inc., (Restricted, cost – $173,414, acquired 8/16/19), 6.274%
(1-Month USD-LIBOR + 3.750%) due 11/16/25(n) | | | 169,397 | |
| | 248,724 | | | NR | | Lumen Technologies Inc., 4.774% (1-Month USD-LIBOR + 2.250%) due 3/15/27 | | | 234,837 | |
| | 588,525 | | | NR | | Medline Borrower LP, (Restricted, cost – $586,291, acquired 9/30/21), 5.774%
(1-Month USD-LIBOR + 3.250%) due 10/23/28(n) | | | 562,986 | |
| | 447,592 | | | NR | | Naked Juice LLC, 5.405%
(3-Month Term SOFR + 3.250%) due 1/24/29 | | | 430,646 | |
| | 318,712 | | | NR | | Nexstar Media Inc., (Restricted, cost – $317,585, acquired 8/16/19), 5.024%
(1-Month USD-LIBOR + 2.500%) due 9/18/26(n) | | | 316,870 | |
| | 128,381 | | | NR | | Numericable U.S. LLC, (Restricted, cost – $128,249, acquired 10/6/17), 6.200%
(3-Month USD-LIBOR + 3.688%) due 1/31/26(n) | | | 124,670 | |
| | 51,688 | | | NR | | Osmosis Buyer Ltd. due 7/31/28(o) | | | 49,836 | |
| | 113,265 | | | NR | | PCI Gaming Authority, (Restricted, cost – $113,449, acquired 5/15/19), 5.024%
(1-Month USD-LIBOR + 2.500%) due 5/29/26(n) | | | 111,063 | |
See Notes to Financial Statements.
213
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| SENIOR LOANS — 1.7% — (continued) | |
| $ | 29,765 | | | NR | | Penn National Gaming Inc., 5.305%
(1-Month Term SOFR + 2.750%) due 5/3/29 | | $ | 29,255 | |
| | 39,325 | | | NR | | Peraton Corp., 6.274%
(1-Month USD-LIBOR + 3.750%) due 2/1/28 | | | 38,309 | |
| | 250,000 | | | NR | | Perrigo Investments PLC, 4.907%
(1-Month Term SOFR + 2.500%) due 4/20/29 | | | 248,750 | |
| | 21,445 | | | NR | | PetVet Care Centers LLC, 6.024%
(1-Month USD-LIBOR + 3.500%) due 2/14/25 | | | 20,837 | |
| | 345,625 | | | NR | | Phoenix Guarantor Inc., (Restricted, cost – $345,625, acquired 2/23/21), 5.944%
(1-Month USD-LIBOR + 3.500%) due 3/5/26(n) | | | 335,668 | |
| | 674,900 | | | NR | | Pilot Travel Centers LLC, (Restricted, cost – $672,040, acquired 7/29/21), 4.555%
(1-Month Term SOFR + 2.000%) due 8/4/28(n) | | | 663,450 | |
| | 59,814 | | | NR | | Pre-Paid Legal Services Inc., 6.818%
(1-Month USD-LIBOR + 3.750%/3-Month USD-LIBOR + 3.750%) due 12/15/28 | | | 58,356 | |
| | 444,567 | | | NR | | Prime Security Services Borrower LLC, (Restricted, cost – $444,625, acquired 4/22/19), 5.107% (1-Month USD-LIBOR + 2.750%) due 9/23/26(n) | | | 435,397 | |
| | 130,000 | | | NR | | Project Alpha Intermediate Holding Inc., 6.530%
(1-Month USD-LIBOR + 4.000%) due 4/26/24 | | | 127,021 | |
| | 36,228 | | | NR | | Proofpoint Inc., 6.320%
(3-Month USD-LIBOR + 3.250%) due 8/31/28 | | | 34,969 | |
| | 169,575 | | | NR | | QUIKRETE Holdings Inc., (Restricted, cost – $168,521, acquired 6/11/21), 5.524%
(1-Month USD-LIBOR + 3.000%) due 6/11/28(n) | | | 164,514 | |
| | 197,400 | | | NR | | Rackspace Technology Global Inc., (Restricted, cost – $197,916, acquired 2/19/21), 5.617%
(3-Month USD-LIBOR + 2.750%) due 2/15/28(n) | | | 161,347 | |
| | 337,450 | | | NR | | RealPage Inc., (Restricted, cost – $337,649, acquired 2/18/21), 5.524%
(1-Month USD-LIBOR + 3.000%) due 4/24/28(n) | | | 325,498 | |
| | 334,373 | | | NR | | Reynolds Consumer Products LLC, (Restricted, cost – $335,520, acquired 2/18/20), 4.274%
(1-Month USD-LIBOR + 1.750%) due 2/4/27(n) | | | 328,339 | |
| | 34,682 | | | NR | | Safe Fleet Holdings LLC, 6.150%
(1-Month Term SOFR + 3.750%) due 2/23/29 | | | 34,043 | |
| | 421,623 | | | NR | | Scientific Games International Inc., (Restricted, cost – $417,080, acquired 4/7/22), 5.407%
(1-Month Term SOFR + 3.000%) due 4/14/29(n) | | | 415,562 | |
| | 850,000 | | | NR | | Setanta Aircraft Leasing DAC, (Restricted, cost – $849,115, acquired 11/30/21), 4.250%
(3-Month USD-LIBOR + 2.000%) due 11/5/28(n) | | | 836,897 | |
| | 105,309 | | | NR | | Sophia, L.P., 5.750%
(3-Month USD-LIBOR + 3.500%) due 10/7/27 | | | 102,019 | |
| | 360,000 | | | NR | | Sotera Health Holdings LLC, (Restricted, cost – $362,813, acquired 1/20/21), 5.274%
(1-Month USD-LIBOR + 2.750%) due 12/11/26(n) | | | 351,000 | |
| | 19,180 | | | NR | | Spin Holdco Inc., 5.611%
(3-Month USD-LIBOR + 4.000%) due 3/4/28 | | | 18,077 | |
| | 297,739 | | | NR | | Sunshine Luxembourg VII Sarl, 6.000%
(3-Month USD-LIBOR + 3.750%) due 10/1/26 | | | 287,629 | |
| | 529,067 | | | NR | | Trans Union LLC, 4.774%
(1-Month USD-LIBOR + 2.250%) due 12/1/28 | | | 520,187 | |
| | 248,724 | | | NR | | TransDigm Inc., 4.774%
(1-Month USD-LIBOR + 2.250%) due 5/30/25 | | | 243,542 | |
| | 45,981 | | | NR | | TransDigm Inc., (Restricted, cost – $44,910, acquired 2/9/21), 4.774%
(1-Month USD-LIBOR + 2.250%) due 12/9/25(n) | | | 44,894 | |
| | 33,569 | | | NR | | TruGreen Ltd. Partnership, 6.524%
(1-Month USD-LIBOR + 4.000%) due 11/2/27 | | | 32,331 | |
| | 402,753 | | | NR | | UFC Holdings LLC, (Restricted, cost – $405,773, acquired 4/30/19), 5.520%
(3-Month USD-LIBOR + 2.750%) due 4/29/26(n) | | | 392,482 | |
| | 492,096 | | | NR | | United AirLines Inc., (Restricted, cost – $493,714, acquired 4/14/21), 6.533%
(3-Month USD-LIBOR + 3.750%) due 4/21/28(n) | | | 480,376 | |
| | 150,000 | | | NR | | VFH Parent LLC, (Restricted, cost – $149,754, acquired 1/7/22), 5.397%
(1-Month Term SOFR + 3.000%) due 1/13/29(n) | | | 146,562 | |
See Notes to Financial Statements.
214
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face Amount/Units† | | | Rating†† | | Security | | Value | |
|
| SENIOR LOANS — 1.7% — (continued) | |
| $ | 430,000 | | | NR | | Virgin Media Bristol LLC, (Restricted, cost – $428,064, acquired 4/30/19), 4.891%
(1-Month USD-LIBOR + 2.500%) due 1/31/28(n) | | $ | 421,508 | |
| | 248,750 | | | NR | | Whatabrans LLC, 5.774%
(1-Month USD-LIBOR + 3.250%) due 8/3/28 | | | 236,623 | |
| | 46,024 | | | NR | | Zayo Group Holdings Inc., 6.705%
(1-Month Term SOFR + 4.250%) due 3/9/27 | | | 43,443 | |
| | 300,000 | | | NR | | Zayo Group Holdings Inc., (Restricted, cost – $293,194, acquired 3/22/22), 5.524%
(1-Month USD-LIBOR + 3.000%) due 3/9/27(n) | | | 274,196 | |
| | | | | | | | | | |
| | | | | | TOTAL SENIOR LOANS (Cost — $23,492,264) | | | 22,938,615 | |
| | | | | | | | | | |
|
| MUNICIPAL BONDS — 0.4% | |
|
| California — 0.1% | |
| | 310,000 | | | AA- | | California Health Facilities Financing Authority, Revenue Bonds, Series A, 3.000% due 8/15/51 | | | 238,164 | |
| | 205,000 | | | AA- | | Los Angeles Department of Water & Power,Revenue Bonds, 6.574% due 7/1/45 | | | 261,561 | |
| | 530,000 | | | A+ | | Los Angeles Unified School District, GO, 5.750% due 7/1/34 | | | 578,677 | |
| | | | | | State of California: | | | | |
| | 90,000 | | | AA- | | 7.500% due 4/1/34 | | | 115,075 | |
| | 100,000 | | | AA- | | 7.550% due 4/1/39 | | | 133,130 | |
| | | | | | University of California, Revenue Bonds: | | | | |
| | 90,000 | | | AA | | 2.650% due 5/15/50 | | | 62,506 | |
| | 25,000 | | | AA | | Series AD, 4.858% due 5/15/12 | | | 23,412 | |
| | 266,000 | | | AA | | Series AQ, 4.767% due 5/15/15 | | | 242,597 | |
| | | | | | | | | | |
| | | | | | Total California | | | 1,655,122 | |
| | | | | | | | | | |
|
| Connecticut — 0.0% | |
| | 300,000 | | | A+ | | State of Connecticut, GO, 5.850% due 3/15/32 | | | 331,988 | |
| | | | | | | | | | |
|
| Minnesota — 0.0% | |
| | 260,000 | | | AA | | University of Minnesota, 4.048%, Revenue Bonds, due 4/1/52 | | | 247,114 | |
| | | | | | | | | | |
|
| New Jersey — 0.1% | |
| | 485,000 | | | Aa3(b) | | Jersey City Municipal Utilities Authority, Revenue Bonds, Series B, 5.470% due 5/15/27 | | | 503,739 | |
| | 85,000 | | | BBB+ | | New Jersey Transportation Trust Fund Authority, Revenue Bonds, Series B, 6.561% due 12/15/40 | | | 99,127 | |
| | | | | | | | | | |
| | | | | | Total New Jersey | | | 602,866 | |
| | | | | | | | | | |
|
| New York — 0.1% | |
| | | | | | City of New York: | | | | |
| | 375,000 | | | AA | | GO, Series A, 3.000% due 8/1/34 | | | 323,636 | |
| | 500,000 | | | AA | | Series G-1, 5.968% due 3/1/36 | | | 566,569 | |
| | 80,000 | | | AAA | | New York City Transitional Finance Authority Future Tax Secured Revenue, Revenue Bonds, Series A-1, 5.000% due 11/1/42 | | | 81,862 | |
| | 350,000 | | | AA+ | | New York State Dormitory Authority, Revenue Bonds, 5.289% due 3/15/33 | | | 370,022 | |
| | | | | | | | | | |
| | | | | | Total New York | | | 1,342,089 | |
| | | | | | | | | | |
|
| Texas — 0.1% | |
| | 120,000 | | | Aa3(b) | | City of Houston TX, GO, 3.961% due 3/1/47 | | | 112,333 | |
| | 350,000 | | | A+ | | North Texas Tollway Authority, Revenue Bonds, Series A, 2.530% due 1/1/35 | | | 284,525 | |
| | | | | | State of Texas: | | | | |
| | 70,000 | | | AAA | | GO, 2.754% due 10/1/41 | | | 52,420 | |
| | 770,000 | | | AAA | | GO, 3.824% due 10/1/33 | | | 745,213 | |
| | | | | | | | | | |
| | | | | | Total Texas | | | 1,194,491 | |
| | | | | | | | | | |
|
| Virginia — 0.0% | |
| | 114,686 | | | AAA | | Virginia Housing Development Authority, Revenue Bonds, Series C, 6.000% due 6/25/34 | | | 115,567 | |
| | | | | | | | | | |
| | | | | | TOTAL MUNICIPAL BONDS (Cost — $6,019,343) | | | 5,489,237 | |
| | | | | | | | | | |
See Notes to Financial Statements.
215
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Shares/Units | | | Rating†† | | Security | | Value | |
|
| COMMON STOCK — 0.0% | |
|
| Wireless Telecommunication Services — 0.0% | |
| $ | 11,265 | | | | | Intelsat Emergence SA*#(f) (Cost — $848,528) | | $ | 324,809 | |
| | | | | | | | | | |
|
| RIGHT — 0.0% | |
|
| Luxembourg — 0.0% | |
| | 2,358 | | | | | Intelsat Jackson Holdings SA*#(f) (Cost — $0) | | | — | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS (Cost — $1,555,858,954) | | | 1,427,984,320 | |
| | | | | | | | | | |
|
| SHORT-TERM INVESTMENTS — 3.9% | |
|
| TIME DEPOSITS — 2.4% | |
| | | | | | ANZ National Bank – London: | | | | |
| | 343,971 | AUD | | | | 0.830% due 9/1/22 | | | 235,362 | |
| | 5,214,533 | | | | | 1.680% due 9/1/22 | | | 5,214,533 | |
| | 203,718 | GBP | | | | BBH – Grand Cayman, 0.870% due 9/1/22 | | | 236,649 | |
| | 2,801,401 | | | | | BNP Paribas – Paris, 1.680% due 9/1/22 | | | 2,801,401 | |
| | 185,959 | EUR | | | | Citibank – London, (0.130)% due 9/1/22 | | | 186,851 | |
| | 4,299 | | | | | Citibank – New York, 1.680% due 9/1/22 | | | 4,299 | |
| | 10,208,583 | | | | | JPMorgan Chase & Co. – New York, 1.680% due 9/1/22 | | | 10,208,583 | |
| | 13,697,143 | | | | | National Australia Bank Ltd. – London, 1.680% due 9/1/22 | | | 13,697,143 | |
| | 39,566,647 | JPY | | | | Sumitomo Mitsui Banking Corp. – Tokyo, (0.350)% due 9/1/22 | | | 284,847 | |
| | | | | | | | | | |
| | | | | | TOTAL TIME DEPOSITS (Cost — $32,869,668) | | | 32,869,668 | |
| | | | | | | | | | |
|
| U.S. GOVERNMENT OBLIGATIONS — 1.5% | |
| | | | | | U.S. Treasury Bills: | | | | |
| | 4,345,000 | | | | | 0.851% due 9/1/22(p) | | | 4,345,000 | |
| | 3,685,000 | | | | | 2.153% due 9/15/22(p) | | | 3,681,919 | |
| | 4,825,000 | | | | | 1.260% due 10/20/22(p) | | | 4,816,777 | |
| | 3,920,000 | | | | | 2.190% due 12/1/22(p) | | | 3,898,488 | |
| | 3,220,000 | | | | | 2.924% due 1/19/23(p) | | | 3,183,811 | |
| | | | | | | | | | |
| | | | | | TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost — $19,925,995) | | | 19,925,995 | |
| | | | | | | | | | |
| | | | | | TOTAL SHORT-TERM INVESTMENTS (Cost — $52,795,663) | | | 52,795,663 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS IN SECURITIES (Cost — $1,608,654,617) | | | 1,480,779,983 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS IN PURCHASED OPTIONS 0.0% (Cost — $537,667) | | | 222,419 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS — 109.5% (Cost — $1,609,192,284) | | | 1,481,002,402 | |
| | | | | | | | | | |
| | | | | | Liabilities in Excess of Other Assets — (9.5)% | | | (129,160,805 | ) |
| | | | | | | | | | |
| | | | | | TOTAL NET ASSETS — 100.0% | | $ | 1,351,841,597 | |
| | | | | | | | | | |
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
| †† | All ratings are by Standard & Poor’s Rating Service, unless otherwise noted. All ratings are unaudited. |
| * | Non-income producing security. |
| (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 August 31, 2022, amounts to $189,612,554 and represents 14.0% of net assets. |
| (b) | Rating by Moody’s Investors Service. All ratings are unaudited. |
| (c) | Variable rate security. Interest rate disclosed is that which was in effect at August 31, 2022. |
| (d) | Security is perpetual in nature and has no stated maturity date. |
See Notes to Financial Statements.
216
| (e) | Security is valued in good faith at fair value by or under the direction of the Board of Trustees. |
| (g) | Security is currently in default. |
| (h) | This security is traded on a TBA basis (see Note 1). |
| (i) | Principal only security. |
| (j) | Rating by Fitch Ratings Service. All ratings are unaudited. |
| (k) | Interest only security. |
| (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 August 31, 2022. |
| (m) | Affiliated security (See Note 2). As at August 31, 2022, total cost and total market value of affiliated securities amounted to $1,056,385 and $983,993, respectively. |
| (n) | The aggregate value of restricted securities (excluding 144A holdings) at August 31, 2022, amounts to $18,652,243 and represents 1.4% 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 August 31, 2022, 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 | | $ | 1,616,371,370 | | | $ | 17,117,710 | | | $ | (150,700,549) | | | $ | (133,582,839) | |
| | | | |
Abbreviations used in this schedule: |
| ACES | | — | | Alternative Credit Enhancement Securities |
| CLO | | — | | Collateralized Loan Obligation |
| CMT | | — | | Constant Maturity Treasury Rate |
| 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 Conduits |
| SOFR | | — | | Secured Overnight Financing Rate |
| | | | |
| Summary of Investments by Security Type^ | | | |
Corporate Bonds & Notes | | | 28.8 | % |
Mortgage-Backed Securities | | | 25.9 | |
U.S. Government Agencies & Obligations | | | 23.8 | |
Collateralized Mortgage Obligations | | | 10.0 | |
Sovereign Bonds | | | 4.0 | |
Asset-Backed Securities | | | 1.9 | |
Senior Loans | | | 1.6 | |
Municipal Bonds | | | 0.4 | |
Common Stock | | | 0.0 | * |
Purchased Options | | | 0.0 | * |
Right | | | 0.0 | * |
Short-Term Investments | | | 3.6 | |
| | | | |
| | | 100.0 | % |
| | | | |
| ^ | As a percentage of total investments. |
| * | Position represents less than 0.05%. |
See Notes to Financial Statements.
217
At August 31, 2022, Core Fixed Income Fund held the following Options Contracts Purchased:
| | | | | | | | | | | | | | | | | | | | | | | | |
| Currency Options | | | | | | | | | | | | |
| | | | | | |
Number of
Contracts | | | Notional
Amount† | | | Security Name | | Counterparty | | | Expiration
Date | | | Strike Price | | | Value | |
| | 564,000 | | | | $ 429,502 | CAD | | OTC U.S. Dollar versus Canadian Dollar, Put | | | CITI | | | | 10/11/22 | | | $ | 1.27 | | | $ | 444 | |
| | 564,000 | | | | 429,502 | CAD | | OTC U.S. Dollar versus Canadian Dollar, Put | | | CITI | | | | 10/11/22 | | | $ | 1.27 | | | | 502 | |
| | 1,700,000 | | | | 1,294,597 | CAD | | OTC U.S. Dollar versus Canadian Dollar, Put | | | CITI | | | | 10/11/22 | | | $ | 1.27 | | | | 1,635 | |
| | 4,154,164 | | | | 29,907 | JPY | | OTC U.S. Dollar versus Japanese Yen, Put | | | CITI | | | | 10/6/22 | | | $ | 131.39 | | | | 8,004 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | Total Currency Options | | | | | | | | | | | | | | | 10,585 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Options on Futures | | | | | | | | | | | | |
| | | | | | |
Number of
Contracts | | | Notional
Amount† | | | Security Name | | Counterparty | | | Expiration
Date | | | Strike Price | | | Value | |
| | 173 | | | | $ 41,474,588 | | | 3-Month Eurodollar December Futures, Call | | | GSC | | | | 12/19/22 | | | | $ 98.38 | | | $ | 4,325 | |
| | 52 | | | | 12,487,800 | | | 1-Year Eurodollar Mid-Curve September Futures, Call | | | CITI | | | | 9/16/22 | | | | $ 98.38 | | | | 325 | |
| | 112 | | | | 26,896,800 | | | 1-Year Eurodollar Mid-Curve September Futures, Call | | | CITI | | | | 9/16/22 | | | | $ 98.75 | | | | 700 | |
| | 62 | | | | 6,870,859 | | | U.S. Treasury 5-Year Note October Futures, Call | | | GSC | | | | 9/23/22 | | | | $ 113.25 | | | | 2,906 | |
| | 134 | | | | 14,849,922 | | | U.S. Treasury 5-Year Note September Futures, Call | | | CITI | | | | 9/2/22 | | | | $ 111.50 | | | | 11,516 | |
| | 170 | | | | 18,742,500 | | | U.S. Treasury 5-Year Note September Futures, Put | | | GSC | | | | 9/9/22 | | | | $ 110.25 | | | | 35,859 | |
| | 75 | | | | 8,780,859 | | | U.S. Treasury 10-Year Note October Futures, Call | | | GSC | | | | 9/23/22 | | | | $ 120.00 | | | | 8,203 | |
| | 148 | | | | 17,327,563 | | | U.S. Treasury 10-Year Note October Futures, Put | | | GSC | | | | 9/23/22 | | | | $ 117.00 | | | | 148,000 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | | | | | | | Total Options on Futures | | | | | | | | | | | | | | | 211,834 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | TOTAL OPTIONS CONTRACTS PURCHASED
(Cost — $537,667) | | | | | | | | | | | | | | $ | 222,419 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
At August 31, 2022, Core Fixed Income Fund held the following Options Contracts Written:
| | | | | | | | | | | | | | | | | | | | | | |
| Currency Option | | | | | | | | | | | |
| | | | | | |
Number of
Contracts | | | Notional
Amount† | | | Security Name | | Counterparty | | | Expiration
Date | | | Strike Price | | Value | |
| | 2,271,228 | | | | $ 2,271,227 | | | OTC U.S. Dollar versus British Pound, Put | | | CITI | | | | 10/27/22 | | | $ 1.21 | | $ | 914,603 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
218
| | | | | | | | | | | | | | | | | | | | | | | | |
| Options on Futures | | | | | | | | | | | | |
| | | | | | |
Number of
Contracts | | | Notional
Amount† | | | Security Name | | Counterparty | | | Expiration
Date | | | Strike Price | | | Value | |
| | 255 | | | | $ 61,238,250 | | | 1-Year Eurodollar Mid-Curve September Futures, Call | | | CITI | | | | 9/16/22 | | | | $ 99.00 | | | $ | 1,593 | |
| | 57 | | | | 13,688,550 | | | 1-Year Eurodollar Mid-Curve September Futures, Call | | | GSC | | | | 9/16/22 | | | | $ 97.50 | | | | 356 | |
| | 124 | | | | 29,778,600 | | | 1-Year Eurodollar Mid-Curve September Futures, Call | | | GSC | | | | 9/16/22 | | | | $ 97.63 | | | | 775 | |
| | 82 | | | | 19,658,475 | | | 3-Month Eurodollar December Futures, Call | | | GSC | | | | 12/19/22 | | | | $ 96.50 | | | | 10,250 | |
| | 319 | | | | 76,476,263 | | | 3-Month Eurodollar December Futures, Call | | | GSC | | | | 12/19/22 | | | | $ 97.00 | | | | 17,944 | |
| | 173 | | | | 41,474,588 | | | 3-Month Eurodollar December Futures, Call | | | GSC | | | | 12/19/22 | | | | $ 98.13 | | | | 4,325 | |
| | 173 | | | | 41,474,588 | | | 3-Month Eurodollar December Futures, Put | | | GSC | | | | 12/19/22 | | | | $ 98.13 | | | | 948,256 | |
| | 48 | | | | 11,506,200 | | | 3-Month Eurodollar June Futures, Call | | | GSC | | | | 6/19/23 | | | | $ 97.50 | | | | 9,000 | |
| | 36 | | | | 8,629,650 | | | 3-Month Eurodollar June Futures, Put | | | GSC | | | | 6/19/23 | | | | $ 97.00 | | | | 108,225 | |
| | 67 | | | | 16,133,600 | | | 3-Month SOFR September Futures, Call | | | CITI | | | | 9/15/23 | | | | $ 98.75 | | | | 7,956 | |
| | 97 | | | | 10,749,570 | | | U.S. Treasury 5-Year Note October Futures, Call | | | CITI | | | | 9/23/22 | | | | $ 113.75 | | | | 2,273 | |
| | 97 | | | | 10,749,570 | | | U.S. Treasury 5-Year Note October Futures, Put | | | GSC | | | | 9/23/22 | | | | $ 111.25 | | | | 84,875 | |
| | 296 | | | | 34,655,125 | | | U.S. Treasury 10-Year Note November Futures, Put | | | GSC | | | | 10/21/22 | | | | $ 113.50 | | | | 92,501 | |
| | 60 | | | | 7,024,688 | | | U.S. Treasury 10-Year Note October Futures, Call | | | GSC | | | | 9/23/22 | | | | $ 122.00 | | | | 1,875 | |
| | 129 | | | | 15,103,078 | | | U.S. Treasury 10-Year Note October Futures, Call | | | GSC | | | | 9/23/22 | | | | $ 121.00 | | | | 6,047 | |
| | 129 | | | | 15,103,078 | | | U.S. Treasury 10-Year Note October Futures, Put | | | GSC | | | | 9/23/22 | | | | $ 118.50 | | | | 249,938 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | | | | | | | Total Options on Futures | | | | | | | | | | | | | | | 1,546,189 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | TOTAL OPTIONS CONTRACTS WRITTEN
(Premiums received — $1,164,749) | | | | | | | | | | | | | | $ | 2,460,792 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
219
At August 31, 2022, 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 Euro-Euribor December Futures | | | 79 | | | | 12/22 | | | $ | 19,703,612 | | | $ | 19,479,655 | | | $ | (223,957 | ) |
90-Day Eurodollar December Futures | | | 379 | | | | 12/22 | | | | 92,431,650 | | | | 90,898,413 | | | | (1,533,237 | ) |
90-Day Eurodollar December Futures | | | 40 | | | | 12/23 | | | | 9,714,875 | | | | 9,626,500 | | | | (88,375 | ) |
90-Day Eurodollar June Futures | | | 93 | | | | 6/23 | | | | 22,450,781 | | | | 22,297,912 | | | | (152,869 | ) |
Australian Government 10-Year Bond September Futures | | | 35 | | | | 9/22 | | | | 2,865,309 | | | | 2,872,873 | | | | 7,564 | |
Euro-Bobl September Futures | | | 14 | | | | 9/22 | | | | 1,761,917 | | | | 1,731,391 | | | | (30,526 | ) |
Euro-OAT September Futures | | | 24 | | | | 9/22 | | | | 3,422,670 | | | | 3,328,380 | | | | (94,290 | ) |
U.S. Treasury 2-Year Note December Futures | | | 628 | | | | 12/22 | | | | 131,102,220 | | | | 130,830,063 | | | | (272,157 | ) |
U.S. Treasury 5-Year Note December Futures | | | 1,190 | | | | 12/22 | | | | 132,316,880 | | | | 131,876,173 | | | | (440,707 | ) |
U.S. Treasury 10-Year Note December Futures | | | 59 | | | | 12/22 | | | | 6,928,046 | | | | 6,897,469 | | | | (30,577 | ) |
U.S. Treasury Long Bond December Futures | | | 79 | | | | 12/22 | | | | 10,783,904 | | | | 10,731,656 | | | | (52,248 | ) |
U.S. Treasury Ultra Long Bond December Futures | | | 98 | | | | 12/22 | | | | 14,650,924 | | | | 14,651,000 | | | | 76 | |
United Kingdom Treasury 10-Year Gilt December Futures | | | 20 | | | | 12/22 | | | | 2,557,256 | | | | 2,507,537 | | | | (49,719 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | (2,961,022 | ) |
| | | | | | | | | | | | | | | | | | | | |
| Contracts to Sell: | | | | | | | | | | | | | | | | | | | | |
90-Day Eurodollar March Futures | | | 121 | | | | 3/25 | | | | 29,607,188 | | | | 29,295,613 | | | | 311,575 | |
Euro-Bund September Futures | | | 46 | | | | 9/22 | | | | 7,255,620 | | | | 6,839,292 | | | | 416,328 | |
Japan Government 10-Year Bond September Futures | | | 3 | | | | 9/22 | | | | 3,232,425 | | | | 3,229,473 | | | | 2,952 | |
U.S. Treasury 5-Year Note December Futures | | | 143 | | | | 12/22 | | | | 15,912,141 | | | | 15,847,305 | | | | 64,836 | |
U.S. Treasury 10-Year Note December Futures | | | 472 | | | | 12/22 | | | | 55,523,073 | | | | 55,179,750 | | | | 343,323 | |
U.S. Treasury Long Bond December Futures | | | 11 | | | | 12/22 | | | | 1,495,592 | | | | 1,494,281 | | | | 1,311 | |
U.S. Treasury Ultra Long Bond December Futures | | | 11 | | | | 12/22 | | | | 1,635,327 | | | | 1,644,500 | | | | (9,173 | ) |
U.S. Ultra Long Bond December Futures | | | 152 | | | | 12/22 | | | | 19,158,887 | | | | 19,028,500 | | | | 130,387 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 1,261,539 | |
| | | | | | | | | | | | | | | | | | | | |
Net Unrealized Depreciation on Open Exchange-Traded Futures Contracts | | | | | | | | | | | | | | | | | | | $ (1,699,483 | ) |
| | | | | | | | | | | | | | | | | | | | |
At August 31, 2022, Core Fixed Income Fund had deposited cash of $9,167,943 with a broker or brokers as margin collateral on an open exchange-traded futures contracts.
See Notes to Financial Statements.
220
At August 31, 2022, 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 | | | 5,863,202 | | | | USD | | | | 4,016,815 | | | | CITI | | | $ | 4,014,657 | | | | 10/18/22 | | | $ | (2,158 | ) |
British Pound | | | 1,655,489 | | | | USD | | | | 1,994,998 | | | | CITI | | | | 1,924,868 | | | | 10/18/22 | | | | (70,130 | ) |
Canadian Dollar | | | 4,520,000 | | | | USD | | | | 3,481,543 | | | | CITI | | | | 3,441,054 | | | | 10/18/22 | | | | (40,489 | ) |
Canadian Dollar | | | 1,390,000 | | | | USD | | | | 1,070,651 | | | | CITI | | | | 1,058,200 | | | | 10/18/22 | | | | (12,451 | ) |
Canadian Dollar | | | 11,192,103 | | | | USD | | | | 8,647,358 | | | | CITI | | | | 8,520,493 | | | | 10/18/22 | | | | (126,865 | ) |
Indonesian Rupiah | | | 23,436,280,400 | | | | USD | | | | 1,551,147 | | | | CITI | | | | 1,576,700 | | | | 10/18/22 | | | | 25,553 | |
Japanese Yen | | | 521,992,622 | | | | USD | | | | 3,866,326 | | | | CITI | | | | 3,772,595 | | | | 10/18/22 | | | | (93,731 | ) |
South African Rand | | | 8,680,000 | | | | USD | | | | 518,181 | | | | CITI | | | | 504,624 | | | | 10/18/22 | | | | (13,557 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | (333,828 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Contracts to Sell: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Canadian Dollar | | | 933,410 | | | | USD | | | | 730,991 | | | | CITI | | | | 710,613 | | | | 10/12/22 | | | | 20,378 | |
Canadian Dollar | | | 295,020 | | | | USD | | | | 231,243 | | | | CITI | | | | 224,601 | | | | 10/12/22 | | | | 6,642 | |
Canadian Dollar | | | 316,210 | | | | USD | | | | 248,160 | | | | CITI | | | | 240,734 | | | | 10/12/22 | | | | 7,426 | |
Chinese Offshore Renminbi | | | 6,170,000 | | | | USD | | | | 921,845 | | | | CITI | | | | 893,925 | | | | 10/18/22 | | | | 27,920 | |
Chinese Offshore Renminbi | | | 8,120,752 | | | | USD | | | | 1,209,776 | | | | CITI | | | | 1,176,555 | | | | 10/18/22 | | | | 33,221 | |
Euro | | | 236,000 | | | | USD | | | | 239,096 | | | | CITI | | | | 237,698 | | | | 10/7/22 | | | | 1,398 | |
Euro | | | 237,000 | | | | USD | | | | 240,044 | | | | GSC | | | | 238,705 | | | | 10/7/22 | | | | 1,339 | |
Euro | | | 1,833,614 | | | | NOK | | | | 18,965,440 | | | | CITI | | | | 1,848,215 | | | | 10/18/22 | | | | 61,345 | |
Euro | | | 649,627 | | | | USD | | | | 658,540 | | | | CITI | | | | 654,800 | | | | 10/18/22 | | | | 3,740 | |
Japanese Yen | | | 164,312,363 | | | | USD | | | | 1,218,555 | | | | CITI | | | | 1,186,780 | | | | 10/11/22 | | | | 31,775 | |
Mexican Peso | | | 75,041,905 | | | | USD | | | | 3,601,758 | | | | CITI | | | | 3,691,270 | | | | 10/18/22 | | | | (89,512 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | 105,672 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Unrealized Depreciation on Open Forward Foreign Currency Contracts | | | | | | | | | | | | | | | | | | | | | | | | | | $ | (228,156 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
At August 31, 2022, 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 | |
| Receive | | SOFR | | | 2.620% | | | | 2/15/48 | | | | 12-Month | | | | USD | | | | 224,000 | | | $ | 7,647 | | | $ | (1,162 | ) | | $ | 8,809 | |
| Receive | | SOFR | | | 3.270% | | | | 4/30/29 | | | | 12-Month | | | | USD | | | | 14,510,000 | | | | (205,647 | ) | | | (304,589 | ) | | | 98,942 | |
| Receive | | SOFR | | | 1.130% | | | | 8/15/28 | | | | 12-Month | | | | USD | | | | 15,832,000 | | | | 1,661,242 | | | | 89,227 | | | | 1,572,015 | |
| Receive | | SOFR | | | 1.520% | | | | 2/15/47 | | | | 12-Month | | | | USD | | | | 5,749,000 | | | | 1,296,862 | | | | 25,203 | | | | 1,271,659 | |
| Receive | | SOFR | | | 1.630% | | | | 5/15/47 | | | | 12-Month | | | | USD | | | | 6,870,000 | | | | 1,441,074 | | | | 306,223 | | | | 1,134,851 | |
| Receive | | SOFR | | | 1.650% | | | | 8/15/47 | | | | 12-Month | | | | USD | | | | 96,000 | | | | 19,906 | | | | 9,653 | | | | 10,253 | |
| Receive | | SOFR | | | 1.729% | | | | 2/15/47 | | | | 12-Month | | | | USD | | | | 1,505,000 | | | | 283,046 | | | | — | | | | 283,046 | |
| Receive | | SOFR | | | 1.733% | | | | 10/20/31 | | | | 12-Month | | | | USD | | | | 4,090,000 | | | | 171,460 | | | | 16,150 | | | | 155,310 | |
| Receive | | SOFR | | | 2.000% | | | | 3/18/32 | | | | 12-Month | | | | USD | | | | 2,303,000 | | | | 175,402 | | | | 14,962 | | | | 160,440 | |
| Receive | | U.S. Federal Funds Effective Rate Index | | | 0.560% | | | | 7/20/45 | | | | 12-Month | | | | USD | | | | 730,000 | | | | 281,741 | | | | — | | | | 281,741 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | $ | 5,132,733 | | | $ | 155,667 | | | $ | 4,977,066 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
221
At August 31, 2022, Core Fixed Income Fund held the following Centrally Cleared Credit Default Swap Contracts:
Centrally Cleared — Credit Default Swap on Index — Buy Protection (1)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Obligation & Rating | | Fixed Deal
(Pay) Rate | | | Maturity
Date | | | Payment
Frequency | | | Implied Credit
Spread at
8/31/22 (2) | | Notional
Amount (3) | | | Market
Value | | | Upfront
Payment
(Received) | | | Unrealized
Appreciation | |
Markit CDX North America High Yield
Series 38 5-Year Index, NR | | | (5.000 | )% | | | 6/20/27 | | | | 3-Month | | | 5.324% | | | USD | | | | 3,088,800 | | | $ | 6,425 | | | $ | (89,014) | | | $ | 95,439 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Centrally Cleared — Credit Default Swap on Index — Sell Protection (4)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Obligation & Rating | | Fixed Deal
Receive Rate | | | Maturity
Date | | | Payment
Frequency | | | Implied Credit
Spread at
8/31/22 (2) | | Notional
Amount (3) | | | Market
Value | | | Upfront
Payment
Paid | | | Unrealized
Depreciation | |
Markit CDX North America High Yield
Series 38 5-Year Index, NR | | | 1.000 | % | | | 6/20/27 | | | | 3-Month | | | 0.922% | | | USD | | | | 35,380,000 | | | $ | 191,510 | | | $ | 222,986 | | | $ | (31,476) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
At August 31, 2022, Core 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) | |
| Pay | | 1-Year United States Consumer Price Index for All Urban Consumers | | | 2.950% | | | | 10/20/26 | | | | USD | | | | 4,090,000 | | | $ | 246,042 | | | $ | (2,141 | ) | | $ | 248,183 | |
| Receive | | 1-Year United States Consumer Price Index for All Urban Consumers | | | 2.770% | | | | 10/20/31 | | | | USD | | | | 4,090,000 | | | | (246,093 | ) | | | 3,529 | | | | (249,622 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | $ | (51) | | | $ | 1,388 | | | $ | (1,439 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (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. |
| (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 August 31, 2022, Core Fixed Income Fund deposited cash collateral with brokers in the amount of $2,194,898 for open centrally cleared swap contracts.
See Notes to Financial Statements.
222
| | | | | | |
Currency Abbreviations used in this schedule: | | Counterparty Abbreviations used in this schedule: |
| AUD | | — Australian Dollar | | CITI | | — Citigroup Global Markets Inc. |
| EUR | | — Euro | | GSC | | — Goldman Sachs & Co. |
| GBP | | — British Pound | | JPM | | — JPMorgan Chase & Co. |
| IDR | | — Indonesian Rupiah | | | | |
| JPY | | — Japanese Yen | | | | |
| MXN | | — Mexican Peso | | | | |
| RUB | | — Russian Ruble | | | | |
| USD | | — United States Dollar | | | | |
See pages 304-305 for definitions of ratings.��
See Notes to Financial Statements.
223
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| CORPORATE BONDS & NOTES — 87.8% | |
|
| Advertising — 0.1% | |
| $ | 200,000 | | | CCC | | Clear Channel Outdoor Holdings Inc., Company Guaranteed Notes, 7.500% due 6/1/29(a) | | $ | 161,745 | |
| | | | | | | | | | |
|
| Aerospace/Defense — 0.6% | |
| | 266,000 | | | BB | | Moog Inc., Company Guaranteed Notes, 4.250% due 12/15/27(a) | | | 243,890 | |
| | 308,000 | | | B | | Spirit AeroSystems Inc., Secured Notes, 7.500% due 4/15/25(a) | | | 301,748 | |
| | 190,000 | | | B- | | TransDigm Inc., Company Guaranteed Notes, 4.625% due 1/15/29 | | | 162,127 | |
| | | | | | | | | | |
| | | | | | Total Aerospace/Defense | | | 707,765 | |
| | | | | | | | | | |
|
| Agriculture — 0.1% | |
| | 90,000 | | | BB+ | | Darling Ingredients Inc., Company Guaranteed Notes, 6.000% due 6/15/30(a) | | | 90,239 | |
| | | | | | | | | | |
|
| Airlines — 2.7% | |
| | 120,000 | | | BB- | | Air Canada, Senior Secured Notes, 3.875% due 8/15/26(a) | | | 107,242 | |
| | 650,000 | | | B | | American Airlines Inc., Senior Secured Notes, 11.750% due 7/15/25(a) | | | 719,089 | |
| | | | | | American Airlines Inc./AAdvantage Loyalty IP Ltd., Senior Secured Notes: | | | | |
| | 78,000 | | | Ba2(b) | | 5.500% due 4/20/26(a) | | | 74,307 | |
| | 201,000 | | | Ba2(b) | | 5.750% due 4/20/29(a) | | | 181,702 | |
| | 120,000 | | | BBB- | | Delta Air Lines Inc., Senior Secured Notes, 7.000% due 5/1/25(a) | | | 124,386 | |
| | 240,000 | | | Baa1(b) | | Delta Air Lines Inc./SkyMiles IP Ltd., Senior Secured Notes, 4.750% due 10/20/28(a) | | | 229,759 | |
| | 179,000 | | | Ba3(b) | | Hawaiian Brand Intellectual Property Ltd./HawaiianMiles Loyalty Ltd., Senior Secured Notes, 5.750% due 1/20/26(a) | | | 163,633 | |
| | 200,000 | | | Baa3(b) | | Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., Senior Secured Notes, 6.500% due 6/20/27(a) | | | 200,752 | |
| | 180,000 | | | NR | | Spirit Airlines Inc., Senior Unsecured Notes, 1.000% due 5/15/26 | | | 158,040 | |
| | 92,747 | | | Ba2(b) | | Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd., Senior Secured Notes, 8.000% due 9/20/25(a) | | | 94,314 | |
| | 167,160 | | | BBB- | | United Airlines Class B Pass Through Trust, Pass-Thru Certificates, 4.875% due 1/15/26 | | | 159,460 | |
| | | | | | United Airlines Inc., Senior Secured Notes: | | | | |
| | 403,000 | | | BB- | | 4.375% due 4/15/26(a) | | | 367,975 | |
| | 472,000 | | | BB- | | 4.625% due 4/15/29(a) | | | 414,770 | |
| | | | | | | | | | |
| | | | | | Total Airlines | | | 2,995,429 | |
| | | | | | | | | | |
|
| Auto Manufacturers — 1.7% | |
| | | | | | Ford Motor Co., Senior Unsecured Notes: | | | | |
| | 130,000 | | | BB+ | | 3.250% due 2/12/32 | | | 101,963 | |
| | 340,000 | | | BB+ | | 6.100% due 8/19/32 | | | 331,558 | |
| | 323,000 | | | BB+ | | 4.750% due 1/15/43 | | | 241,996 | |
| | | | | | Ford Motor Credit Co. LLC, Senior Unsecured Notes: | | | | |
| | 465,000 | | | BB+ | | 4.950% due 5/28/27 | | | 437,202 | |
| | 751,000 | | | BB+ | | 4.000% due 11/13/30 | | | 628,309 | |
| | 195,000 | | | B- | | PM General Purchaser LLC, Senior Secured Notes, 9.500% due 10/1/28(a) | | | 169,209 | |
| | | | | | | | | | |
| | | | | | Total Auto Manufacturers | | | 1,910,237 | |
| | | | | | | | | | |
|
| Auto Parts & Equipment — 0.6% | |
| | | | | | American Axle & Manufacturing Inc., Company Guaranteed Notes: | | | | |
| | 210,000 | | | B+ | | 6.500% due 4/1/27 | | | 196,692 | |
| | 200,000 | | | B+ | | 5.000% due 10/1/29 | | | 169,930 | |
| | 190,000 | | | CCC | | Dornoch Debt Merger Sub Inc., Senior Unsecured Notes, 6.625% due 10/15/29(a) | | | 148,459 | |
| | 192,000 | | | B- | | Titan International Inc., Senior Secured Notes, 7.000% due 4/30/28 | | | 182,711 | |
| | | | | | | | | | |
| | | | | | Total Auto Parts & Equipment | | | 697,792 | |
| | | | | | | | | | |
|
| Banks — 1.7% | |
| | 230,000 | | | B+ | | Barclays PLC, Junior Subordinated Notes, 8.000%
(5-Year CMT Index + 5.672%)(c)(d) | | | 226,631 | |
| | 200,000 | | | BBB- | | Credit Agricole SA, Junior Subordinated Notes, 8.125%
(5-Year USD Swap Rate + 6.185%)(a)(c)(d) | | | 205,375 | |
See Notes to Financial Statements.
224
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Banks — 1.7% — (continued) | |
| | | | | | Credit Suisse Group AG, Junior Subordinated Notes: | | | | |
| $ | 230,000 | | | B+ | | 6.375% (5-Year CMT Index + 4.822%)(a)(c)(d) | | $ | 180,435 | |
| | 200,000 | | | B+ | | 7.500% (5-Year USD Swap Rate + 4.600%)(a)(c)(d) | | | 176,706 | |
| | 200,000 | | | B+ | | 9.750% (5-Year CMT Index + 6.383%)(a)(c)(d) | | | 203,500 | |
| | 250,000 | | | BBB | | Senior Unsecured Notes, 6.537% (SOFR + 3.920%) due 8/12/33(a)(c) | | | 239,516 | |
| | 360,000 | | | BB+ | | Intesa Sanpaolo SpA, Subordinated Notes, 4.198%
(1-Year CMT Index + 2.600%) due 6/1/32(a)(c) | | | 261,810 | |
| | 520,000 | | | BB+ | | UniCredit SpA, Subordinated Notes, 5.459%
(5-Year CMT Index + 4.750%) due 6/30/35(a)(c) | | | 411,825 | |
| | | | | | | | | | |
| | | | | | Total Banks | | | 1,905,798 | |
| | | | | | | | | | |
|
| Beverages — 0.1% | |
| | 188,000 | | | CCC+ | | Triton Water Holdings Inc., Senior Unsecured Notes, 6.250% due 4/1/29(a) | | | 154,480 | |
| | | | | | | | | | |
|
| Biotechnology — 0.3% | |
| | 333,000 | | | B | | Grifols Escrow Issuer SA, Senior Unsecured Notes, 4.750% due 10/15/28(a) | | | 278,014 | |
| | | | | | | | | | |
|
| Building Materials — 1.0% | |
| | 130,000 | | | B | | MIWD Holdco II LLC/MIWD Finance Corp., Company Guaranteed Notes, 5.500% due 2/1/30(a) | | | 106,940 | |
| | 382,000 | | | B+ | | PGT Innovations Inc., Company Guaranteed Notes, 4.375% due 10/1/29(a) | | | 323,875 | |
| | 210,000 | | | B+ | | SRM Escrow Issuer LLC, Senior Secured Notes, 6.000% due 11/1/28(a) | | | 190,811 | |
| | | | | | Standard Industries Inc., Senior Unsecured Notes: | | | | |
| | 252,000 | | | BB | | 5.000% due 2/15/27(a) | | | 231,133 | |
| | 100,000 | | | BB | | 4.375% due 7/15/30(a) | | | 80,188 | |
| | 250,000 | | | BB | | Summit Materials LLC/Summit Materials Finance Corp., Company Guaranteed Notes, 5.250% due 1/15/29(a) | | | 225,317 | |
| | | | | | | | | | |
| | | | | | Total Building Materials | | | 1,158,264 | |
| | | | | | | | | | |
|
| Chemicals — 1.3% | |
| | 321,000 | | | BB- | | Consolidated Energy Finance SA, Company Guaranteed Notes, 5.625% due 10/15/28(a) | | | 264,849 | |
| | 160,000 | | | B- | | LSF11 A5 HoldCo LLC, Senior Unsecured Notes, 6.625% due 10/15/29(a) | | | 134,985 | |
| | 307,000 | | | BB | | Methanex Corp., Senior Unsecured Notes, 5.125% due 10/15/27 | | | 280,002 | |
| | 327,000 | | | BB- | | Minerals Technologies Inc., Company Guaranteed Notes, 5.000% due 7/1/28(a) | | | 295,332 | |
| | 190,000 | | | BB+ | | Olin Corp., Senior Unsecured Notes, 5.000% due 2/1/30 | | | 172,661 | |
| | 386,000 | | | B | | Trinseo Materials Operating SCA/Trinseo Materials Finance Inc., Company Guaranteed Notes, 5.125% due 4/1/29(a) | | | 274,477 | |
| | | | | | | | | | |
| | | | | | Total Chemicals | | | 1,422,306 | |
| | | | | | | | | | |
|
| Coal — 0.2% | |
| | 255,000 | | | BB | | Warrior Met Coal Inc., Senior Secured Notes, 7.875% due 12/1/28(a) | | | 250,943 | |
| | | | | | | | | | |
|
| Commercial Services — 6.9% | |
| | 200,000 | | | BB- | | ADT Security Corp. (The), Senior Secured Notes, 4.125% due 8/1/29(a) | | | 171,996 | |
| | 105,000 | | | BB- | | Adtalem Global Education Inc., Senior Secured Notes, 5.500% due 3/1/28(a) | | | 99,893 | |
| | 110,000 | | | B | | Allied Universal Holdco LLC/Allied Universal Finance Corp., Senior Secured Notes, 6.625% due 7/15/26(a) | | | 103,125 | |
| | 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) | | | 531,765 | |
| | 200,000 | | | B- | | Alta Equipment Group Inc., Secured Notes, 5.625% due 4/15/26(a) | | | 173,706 | |
| | 341,000 | | | BB- | | Brink’s Co. (The), Company Guaranteed Notes, 4.625% due 10/15/27(a) | | | 307,362 | |
| | 200,000 | | | B+ | | Carriage Services Inc., Company Guaranteed Notes, 4.250% due 5/15/29(a) | | | 168,499 | |
| | | | | | CoreCivic Inc., Company Guaranteed Notes: | | | | |
| | 50,000 | | | BB- | | 4.625% due 5/1/23 | | | 49,694 | |
| | 240,000 | | | BB- | | 8.250% due 4/15/26 | | | 239,569 | |
| | 375,000 | | | B- | | Deluxe Corp., Company Guaranteed Notes, 8.000% due 6/1/29(a) | | | 334,253 | |
See Notes to Financial Statements.
225
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Commercial Services — 6.9% — (continued) | |
| | | | | | Garda World Security Corp.: | | | | |
| $ | 217,000 | | | B | | Senior Secured Notes, 4.625% due 2/15/27(a) | | $ | 191,042 | |
| | 119,000 | | | CCC+ | | Senior Unsecured Notes, 6.000% due 6/1/29(a) | | | 92,414 | |
| | | | | | GEO Group Inc.(The), Secured Notes: | | | | |
| | 270,000 | | | B | | 10.500% due 6/30/28 | | | 257,241 | |
| | 523,000 | | | NR | | 9.500% due 12/31/28(a) | | | 473,315 | |
| | 242,000 | | | BB | | Korn Ferry, Company Guaranteed Notes, 4.625% due 12/15/27(a) | | | 224,920 | |
| | 239,000 | | | B3(b) | | Legends Hospitality Holding Co. LLC/Legends Hospitality Co.-Issuer Inc., Senior Secured Notes, 5.000% due 2/1/26(a) | | | 218,592 | |
| | 344,000 | | | CCC | | Metis Merger Sub LLC, Senior Unsecured Notes, 6.500% due 5/15/29(a) | | | 296,352 | |
| | 348,000 | | | B- | | MPH Acquisition Holdings LLC, Company Guaranteed Notes, 5.750% due 11/1/28(a) | | | 277,331 | |
| | 250,000 | | | BB | | Nielsen Finance LLC/Nielsen Finance Co., Company Guaranteed Notes, 5.875% due 10/1/30(a) | | | 250,381 | |
| | 550,000 | | | B | | Paysafe Finance PLC/Paysafe Holdings US Corp., Senior Secured Notes, 4.000% due 6/15/29(a) | | | 411,865 | |
| | | | | | Prime Security Services Borrower LLC/Prime Finance Inc.: | | | | |
| | 310,000 | | | B- | | Secured Notes, 6.250% due 1/15/28(a) | | | 275,066 | |
| | 351,000 | | | BB- | | Senior Secured Notes, 3.375% due 8/31/27(a) | | | 302,513 | |
| | 469,000 | | | BB- | | PROG Holdings Inc., Company Guaranteed Notes, 6.000% due 11/15/29(a) | | | 393,294 | |
| | 574,000 | | | B | | Rent-A-Center Inc., Company Guaranteed Notes, 6.375% due 2/15/29(a) | | | 484,961 | |
| | 400,000 | | | B+ | | Sotheby’s, Senior Secured Notes, 7.375% due 10/15/27(a) | | | 377,710 | |
| | 222,000 | | | CCC+ | | StoneMor Inc., Senior Secured Notes, 8.500% due 5/15/29(a) | | | 193,441 | |
| | 60,000 | | | B+ | | Terminix Co. LLC (The), Senior Unsecured Notes, 7.450% due 8/15/27 | | | 69,718 | |
| | 290,000 | | | BB+ | | TriNet Group Inc., Company Guaranteed Notes, 3.500% due 3/1/29(a) | | | 249,139 | |
| | | | | | United Rentals North America Inc., Company Guaranteed Notes: | | | | |
| | 280,000 | | | BB+ | | 5.250% due 1/15/30 | | | 265,384 | |
| | 160,000 | | | BB+ | | 3.875% due 2/15/31 | | | 138,572 | |
| | 165,000 | | | B+ | | WW International Inc., Senior Secured Notes, 4.500% due 4/15/29(a) | | | 103,270 | |
| | 100,000 | | | BB- | | ZipRecruiter Inc., Senior Unsecured Notes, 5.000% due 1/15/30(a) | | | 83,113 | |
| | | | | | | | | | |
| | | | | | Total Commercial Services | | | 7,809,496 | |
| | | | | | | | | | |
|
| Computers — 1.2% | |
| | 350,000 | | | CCC+ | | Ahead DB Holdings LLC, Company Guaranteed Notes, 6.625% due 5/1/28(a) | | | 316,266 | |
| | 500,000 | | | CCC+ | | Condor Merger Sub Inc., Senior Unsecured Notes, 7.375% due 2/15/30(a) | | | 418,075 | |
| | 211,000 | | | B | | NCR Corp., Company Guaranteed Notes, 5.125% due 4/15/29(a) | | | 197,327 | |
| | 235,000 | | | BB+ | | Seagate HDD Cayman, Company Guaranteed Notes, 4.091% due 6/1/29(a) | | | 201,239 | |
| | 220,000 | | | B- | | Vericast Corp., Senior Secured Notes, 11.000% due 9/15/26(a) | | | 220,583 | |
| | | | | | | | | | |
| | | | | | Total Computers | | | 1,353,490 | |
| | | | | | | | | | |
|
| Cosmetics/Personal Care — 0.6% | |
| | 272,000 | | | BB- | | Coty Inc., Senior Secured Notes, 5.000% due 4/15/26(a) | | | 258,095 | |
| | 448,000 | | | BB | | Edgewell Personal Care Co., Company Guaranteed Notes, 4.125% due 4/1/29(a) | | | 385,659 | |
| | | | | | | | | | |
| | | | | | Total Cosmetics/Personal Care | | | 643,754 | |
| | | | | | | | | | |
|
| Distribution/Wholesale — 0.2% | |
| | 56,244 | | | NR | | American News Co. LLC, Secured Notes, 8.500% (8.500% cash or 10.000% PIK) due 9/1/26(a)(e) | | | 63,626 | |
| | 170,000 | | | BB- | | H&E Equipment Services Inc., Company Guaranteed Notes, 3.875% due 12/15/28(a) | | | 143,844 | |
| | | | | | | | | | |
| | | | | | Total Distribution/Wholesale | | | 207,470 | |
| | | | | | | | | | |
|
| Diversified Financial Services — 5.0% | |
| | 369,300 | | | NR | | Accelerate360 Holdings LLC, Secured Notes, 8.000% due 3/1/28(a) | | | 397,808 | |
| | 160,000 | | | BBB | | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Company Guaranteed Notes, 3.300% due 1/30/32 | | | 129,552 | |
| | 260,000 | | | B- | | AG Issuer LLC, Senior Secured Notes, 6.250% due 3/1/28(a) | | | 238,711 | |
| | 341,000 | | | CCC | | Aretec Escrow Issuer Inc., Senior Unsecured Notes, 7.500% due 4/1/29(a) | | | 294,878 | |
See Notes to Financial Statements.
226
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Diversified Financial Services — 5.0% — (continued) | |
| $ | 60,000 | | | NR | | Bread Financial Holdings Inc., Company Guaranteed Notes, 4.750% due 12/15/24(a) | | $ | 53,254 | |
| | 724,000 | | | BB- | | Burford Capital Global Finance LLC, Company Guaranteed Notes, 6.250% due 4/15/28(a) | | | 644,200 | |
| | 444,000 | | | B- | | Cobra AcquisitionCo LLC, Company Guaranteed Notes, 6.375% due 11/1/29(a) | | | 327,321 | |
| | 180,000 | | | BB | | Coinbase Global Inc., Company Guaranteed Notes, 3.625% due 10/1/31(a) | | | 109,863 | |
| | 99,000 | | | BB | | Credit Acceptance Corp., Company Guaranteed Notes, 6.625% due 3/15/26(a) | | | 97,188 | |
| | 275,000 | | | CCC+ | | Curo Group Holdings Corp., Senior Secured Notes, 7.500% due 8/1/28(a) | | | 167,115 | |
| | 237,000 | | | Ba1(b) | | Enact Holdings Inc., Senior Unsecured Notes, 6.500% due 8/15/25(a) | | | 226,705 | |
| | 272,000 | | | B- | | Enova International Inc., Company Guaranteed Notes, 8.500% due 9/15/25(a) | | | 254,121 | |
| | 668,721 | | | B1(b) | | Global Aircraft Leasing Co., Ltd., Senior Unsecured Notes, 6.500%
(6.500% cash or 7.250% PIK) due 9/15/24(a)(e) | | | 542,172 | |
| | 174,000 | | | BB- | | goeasy Ltd., Company Guaranteed Notes, 4.375% due 5/1/26(a) | | | 156,369 | |
| | 100,000 | | | BB- | | Jane Street Group/JSG Finance Inc., Senior Secured Notes, 4.500% due 11/15/29(a) | | | 90,813 | |
| | | | | | LD Holdings Group LLC, Company Guaranteed Notes: | | | | |
| | 240,000 | | | CCC+ | | 6.500% due 11/1/25(a) | | | 138,111 | |
| | 190,000 | | | CCC+ | | 6.125% due 4/1/28(a) | | | 101,200 | |
| | 270,000 | | | B1(b) | | LFS Topco LLC, Company Guaranteed Notes, 5.875% due 10/15/26(a) | | | 221,537 | |
| | | | | | LPL Holdings Inc., Company Guaranteed Notes: | | | | |
| | 188,000 | | | BB | | 4.625% due 11/15/27(a) | | | 177,185 | |
| | 260,000 | | | BB | | 4.000% due 3/15/29(a) | | | 232,748 | |
| | 187,000 | | | B | | NFP Corp., Senior Secured Notes, 4.875% due 8/15/28(a) | | | 166,184 | |
| | | | | | Rocket Mortgage LLC/Rocket Mortgage Co.-Issuer Inc., Company Guaranteed Notes: | | | | |
| | 255,000 | | | BB+ | | 3.625% due 3/1/29(a) | | | 205,651 | |
| | 460,000 | | | BB+ | | 3.875% due 3/1/31(a) | | | 360,902 | |
| | 127,000 | | | BB- | | StoneX Group Inc., Senior Secured Notes, 8.625% due 6/15/25(a) | | | 129,804 | |
| | 210,000 | | | B- | | VistaJet Malta Finance PLC/XO Management Holding Inc., Senior Unsecured Notes, 6.375% due 2/1/30(a) | | | 180,968 | |
| | | | | | | | | | |
| | | | | | Total Diversified Financial Services | | | 5,644,360 | |
| | | | | | | | | | |
|
| Electric — 1.3% | |
| | 348,000 | | | B+ | | Calpine Corp., Senior Unsecured Notes, 5.000% due 2/1/31(a) | | | 291,789 | |
| | 78,000 | | | BB | | Clearway Energy Operating LLC, Company Guaranteed Notes, 3.750% due 1/15/32(a) | | | 65,044 | |
| | 240,000 | | | BB | | NextEra Energy Operating Partners LP, Company Guaranteed Notes, 4.500% due 9/15/27(a) | | | 222,358 | |
| | | | | | NRG Energy Inc., Company Guaranteed Notes: | | | | |
| | 174,000 | | | BB+ | | 5.750% due 1/15/28 | | | 164,214 | |
| | 157,000 | | | BB+ | | 3.625% due 2/15/31(a) | | | 124,901 | |
| | 354,000 | | | BB- | | Pattern Energy Operations LP/Pattern Energy Operations Inc., Company Guaranteed Notes, 4.500% due 8/15/28(a) | | | 319,415 | |
| | 346,000 | | | BBB- | | Vistra Operations Co. LLC, Senior Secured Notes, 4.300% due 7/15/29(a) | | | 312,002 | |
| | | | | | | | | | |
| | | | | | Total Electric | | | 1,499,723 | |
| | | | | | | | | | |
|
| Electrical Components & Equipment — 0.5% | |
| | 288,000 | | | B | | Energizer Holdings Inc., Company Guaranteed Notes, 4.375% due 3/31/29(a) | | | 234,263 | |
| | 335,000 | | | BB+ | | EnerSys, Company Guaranteed Notes, 4.375% due 12/15/27(a) | | | 305,363 | |
| | | | | | | | | | |
| | | | | | Total Electrical Components & Equipment | | | 539,626 | |
| | | | | | | | | | |
|
| Electronics — 0.5% | |
| | 335,000 | | | BB- | | Imola Merger Corp., Senior Secured Notes, 4.750% due 5/15/29(a) | | | 284,829 | |
| | 345,000 | | | BB- | | TTM Technologies Inc., Company Guaranteed Notes, 4.000% due 3/1/29(a) | | | 298,899 | |
| | | | | | | | | | |
| | | | | | Total Electronics | | | 583,728 | |
| | | | | | | | | | |
|
| Energy — Alternate Sources — 0.3% | |
| | 310,000 | | | B- | | Sunnova Energy Corp., Company Guaranteed Notes, 5.875% due 9/1/26(a) | | | 286,702 | |
| | | | | | | | | | |
|
| Engineering & Construction — 0.6% | |
| | 282,000 | | | B | | Brundage-Bone Concrete Pumping Holdings Inc., Secured Notes, 6.000% due 2/1/26(a) | | | 259,381 | |
| | 100,000 | | | BB+ | | TopBuild Corp., Company Guaranteed Notes, 3.625% due 3/15/29(a) | | | 84,239 | |
| | 340,000 | | | B- | | VM Consolidated Inc., Company Guaranteed Notes, 5.500% due 4/15/29(a) | | | 298,805 | |
| | | | | | | | | | |
| | | | | | Total Engineering & Construction | | | 642,425 | |
| | | | | | | | | | |
See Notes to Financial Statements.
227
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Entertainment — 2.5% | |
| $ | 478,000 | | | B- | | Allen Media LLC/Allen Media Co.-Issuer Inc., Company Guaranteed Notes, 10.500% due 2/15/28(a) | | $ | 242,107 | |
| | | | | | AMC Entertainment Holdings Inc.: | | | | |
| | 400,000 | | | CCC- | | Secured Notes, 10.000% due 6/15/26(a) | | | 321,550 | |
| | 190,000 | | | B- | | Senior Secured Notes, 7.500% due 2/15/29(a) | | | 163,639 | |
| | 400,000 | | | B | | Banijay Entertainment SASU, Senior Secured Notes, 5.375% due 3/1/25(a) | | | 377,671 | |
| | 154,000 | | | B | | Boyne USA Inc., Senior Unsecured Notes, 4.750% due 5/15/29(a) | | | 137,234 | |
| | 411,000 | | | B | | Caesars Entertainment Inc., Senior Secured Notes, 6.250% due 7/1/25(a) | | | 401,835 | |
| | 230,000 | | | NR | | DraftKings Holdings Inc., Company Guaranteed Notes, zero coupon due 3/15/28 | | | 156,528 | |
| | 324,000 | | | B | | Scientific Games Holdings LP/Scientific Games US FinCo Inc., Senior Unsecured Notes, 6.625% due 3/1/30(a) | | | 288,426 | |
| | | | | | SeaWorld Parks & Entertainment Inc.: | | | | |
| | 293,000 | | | B- | | Company Guaranteed Notes, 5.250% due 8/15/29(a) | | | 255,579 | |
| | 255,000 | | | BB- | | Senior Secured Notes, 8.750% due 5/1/25(a) | | | 264,007 | |
| | 107,000 | | | BB | | Speedway Motorsports LLC/Speedway Funding II Inc., Senior Unsecured Notes, 4.875% due 11/1/27(a) | | | 94,214 | |
| | 148,000 | | | B+ | | Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., Senior Unsecured Notes, 7.750% due 4/15/25(a) | | | 147,759 | |
| | | | | | | | | | |
| | | | | | Total Entertainment | | | 2,850,549 | |
| | | | | | | | | | |
|
| Environmental Control — 0.6% | |
| | | | | | Covanta Holding Corp., Company Guaranteed Notes: | | | | |
| | 355,000 | | | B | | 4.875% due 12/1/29(a) | | | 300,153 | |
| | 93,000 | | | B | | 5.000% due 9/1/30 | | | 78,585 | |
| | 349,000 | | | B+ | | Harsco Corp., Company Guaranteed Notes, 5.750% due 7/31/27(a) | | | 248,043 | |
| | | | | | | | | | |
| | | | | | Total Environmental Control | | | 626,781 | |
| | | | | | | | | | |
|
| Food — 1.7% | |
| | 372,000 | | | BB | | Albertsons Cos Inc./Safeway Inc./New Albertsons LP/Albertsons LLC, Company Guaranteed Notes, 5.875% due 2/15/28(a) | | | 354,911 | |
| | 550,000 | | | B | | C&S Group Enterprises LLC, Company Guaranteed Notes, 5.000% due 12/15/28(a) | | | 407,809 | |
| | 131,000 | | | BB | | Land O’Lakes Capital Trust I, Limited Guaranteed Notes, 7.450% due 3/15/28(a) | | | 134,894 | |
| | 347,000 | | | BB- | | Performance Food Group Inc., Company Guaranteed Notes, 5.500% due 10/15/27(a) | | | 326,538 | |
| | 254,000 | | | B+ | | Post Holdings Inc., Company Guaranteed Notes, 4.625% due 4/15/30(a) | | | 220,902 | |
| | 580,000 | | | B | | Simmons Foods Inc./Simmons Prepared Foods Inc./Simmons Pet Food Inc./Simmons Feed, Secured Notes, 4.625% due 3/1/29(a) | | | 513,794 | |
| | | | | | | | | | |
| | | | | | Total Food | | | 1,958,848 | |
| | | | | | | | | | |
|
| Forest Products & Paper — 0.2% | |
| | 278,000 | | | B | | Glatfelter Corp., Company Guaranteed Notes, 4.750% due 11/15/29(a) | | | 172,734 | |
| | | | | | | | | | |
|
| Healthcare — Products — 0.5% | |
| | | | | | Medline Borrower LP: | | | | |
| | 432,000 | | | B+ | | Senior Secured Notes, 3.875% due 4/1/29(a) | | | 366,660 | |
| | 230,000 | | | B- | | Senior Unsecured Notes, 5.250% due 10/1/29(a) | | | 193,577 | |
| | | | | | | | | | |
| | | | | | Total Healthcare — Products | | | 560,237 | |
| | | | | | | | | | |
|
| Healthcare — Services — 2.7% | |
| | 110,000 | | | B- | | Akumin Inc., Senior Secured Notes, 7.000% due 11/1/25(a) | | | 93,435 | |
| | 190,000 | | | CCC+ | | Cano Health LLC, Company Guaranteed Notes, 6.250% due 10/1/28(a) | | | 171,070 | |
| | 10,000 | | | BBB- | | Centene Corp., Senior Unsecured Notes, 3.375% due 2/15/30 | | | 8,597 | |
| | | | | | CHS/Community Health Systems Inc.: | | | | |
| | 442,000 | | | CCC | | Secured Notes, 6.125% due 4/1/30(a) | | | 274,707 | |
| | 392,000 | | | B | | Senior Secured Notes, 5.625% due 3/15/27(a) | | | 333,157 | |
| | 337,000 | | | B+ | | DaVita Inc., Company Guaranteed Notes, 4.625% due 6/1/30(a) | | | 271,713 | |
See Notes to Financial Statements.
228
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Healthcare — Services — 2.7% — (continued) | |
| | | | | | HCA Inc., Company Guaranteed Notes: | | | | |
| $ | 371,000 | | | BBB- | | 3.500% due 9/1/30 | | $ | 324,092 | |
| | 230,000 | | | BBB- | | 7.500% due 11/6/33 | | | 263,847 | |
| | 110,000 | | | BBB- | | 7.500% due 11/15/95 | | | 122,650 | |
| | 326,000 | | | B | | Legacy LifePoint Health LLC, Senior Secured Notes, 4.375% due 2/15/27(a) | | | 283,845 | |
| | 110,000 | | | CCC | | Radiology Partners Inc., Company Guaranteed Notes, 9.250% due 2/1/28(a) | | | 84,444 | |
| | 70,000 | | | CCC+ | | RegionalCare Hospital Partners Holdings Inc./LifePoint Health Inc., Company Guaranteed Notes, 9.750% due 12/1/26(a) | | | 66,916 | |
| | 427,000 | | | B- | | Select Medical Corp., Company Guaranteed Notes, 6.250% due 8/15/26(a) | | | 409,002 | |
| | 240,000 | | | BB- | | Tenet Healthcare Corp., Senior Secured Notes, 4.625% due 6/15/28(a) | | | 218,491 | |
| | 330,000 | | | CCC | | US Renal Care Inc., Senior Unsecured Notes, 10.625% due 7/15/27(a) | | | 155,394 | |
| | | | | | | | | | |
| | | | | | Total Healthcare — Services | | | 3,081,360 | |
| | | | | | | | | | |
|
| Home Builders — 0.7% | |
| | 182,000 | | | B- | | Empire Communities Corp., Senior Unsecured Notes, 7.000% due 12/15/25(a) | | | 156,863 | |
| | | | | | Forestar Group Inc., Company Guaranteed Notes: | | | | |
| | 120,000 | | | BB- | | 3.850% due 5/15/26(a) | | | 102,136 | |
| | 120,000 | | | BB- | | 5.000% due 3/1/28(a) | | | 99,794 | |
| | 125,000 | | | B+ | | Installed Building Products Inc., Company Guaranteed Notes, 5.750% due 2/1/28(a) | | | 115,488 | |
| | | | | | Mattamy Group Corp., Senior Unsecured Notes: | | | | |
| | 201,000 | | | BB | | 5.250% due 12/15/27(a) | | | 177,279 | |
| | 130,000 | | | BB | | 4.625% due 3/1/30(a) | | | 105,456 | |
| | | | | | | | | | |
| | | | | | Total Home Builders | | | 757,016 | |
| | | | | | | | | | |
|
| Insurance — 0.9% | |
| | 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) | | | 238,832 | |
| | 397,000 | | | BB | | NMI Holdings Inc., Senior Secured Notes, 7.375% due 6/1/25(a) | | | 401,637 | |
| | 428,000 | | | BB- | | Ryan Specialty Group LLC, Senior Secured Notes, 4.375% due 2/1/30(a) | | | 386,270 | |
| | | | | | | | | | |
| | | | | | Total Insurance | | | 1,026,739 | |
| | | | | | | | | | |
|
| Internet — 1.3% | |
| | 310,000 | | | B | | Acuris Finance US Inc./Acuris Finance SARL, Senior Secured Notes, 5.000% due 5/1/28(a) | | | 260,716 | |
| | 390,000 | | | B | | Cogent Communications Group Inc., Company Guaranteed Notes, 7.000% due 6/15/27(a) | | | 373,183 | |
| | 300,000 | | | B- | | GrubHub Holdings Inc., Company Guaranteed Notes, 5.500% due 7/1/27(a) | | | 234,423 | |
| | 490,000 | | | B- | | ION Trading Technologies Sarl, Senior Secured Notes, 5.750% due 5/15/28(a) | | | 418,950 | |
| | | | | | Match Group Holdings II LLC, Senior Unsecured Notes: | | | | |
| | 30,000 | | | BB | | 4.625% due 6/1/28(a) | | | 26,749 | |
| | 140,000 | | | BB | | 3.625% due 10/1/31(a) | | | 110,081 | |
| | 70,000 | | | B- | | Photo Holdings Merger Sub Inc., Senior Secured Notes, 8.500% due 10/1/26(a) | | | 52,379 | |
| | | | | | | | | | |
| | | | | | Total Internet | | | 1,476,481 | |
| | | | | | | | | | |
|
| Investment Companies — 0.1% | |
| | 120,000 | | | B+ | | Compass Group Diversified Holdings LLC, Company Guaranteed Notes, 5.250% due 4/15/29(a) | | | 102,305 | |
| | | | | | | | | | |
|
| Iron/Steel — 1.2% | |
| | 379,000 | | | B | | ATI Inc., Senior Unsecured Notes, 4.875% due 10/1/29 | | | 339,637 | |
| | | | | | Cleveland-Cliffs Inc.: | | | | |
| | 238,000 | | | Ba3(b) | | Company Guaranteed Notes, 4.625% due 3/1/29(a) | | | 211,671 | |
| | 144,000 | | | B- | | Senior Unsecured Notes, 6.250% due 10/1/40 | | | 125,667 | |
| | 200,000 | | | BB+ | | Commercial Metals Co., Senior Unsecured Notes, 3.875% due 2/15/31 | | | 166,333 | |
| | | | | | Mineral Resources Ltd., Senior Unsecured Notes: | | | | |
| | 268,000 | | | Ba3(b) | | 8.125% due 5/1/27(a) | | | 268,971 | |
| | 83,000 | | | Ba3(b) | | 8.000% due 11/1/27(a) | | | 82,926 | |
| | 96,000 | | | Ba3(b) | | 8.500% due 5/1/30(a) | | | 96,872 | |
| | | | | | | | | | |
| | | | | | Total Iron/Steel | | | 1,292,077 | |
| | | | | | | | | | |
See Notes to Financial Statements.
229
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Leisure Time — 3.3% | |
| | | | | | Carnival Corp., Company Guaranteed Notes: | | | | |
| $ | 428,000 | | | B | | 5.750% due 3/1/27(a) | | $ | 334,180 | |
| | 455,000 | | | B | | 6.000% due 5/1/29(a) | | | 344,242 | |
| | 330,000 | | | B | | 10.500% due 6/1/30(a) | | | 302,354 | |
| | 40,000 | | | NR | | Liberty TripAdvisor Holdings Inc., Senior Unsecured Notes, 0.500% due 6/30/51(a) | | | 29,620 | |
| | | | | | NCL Corp., Ltd.: | | | | |
| | 428,000 | | | B- | | Company Guaranteed Notes, 5.875% due 3/15/26(a) | | | 346,680 | |
| | 330,000 | | | B+ | | Senior Secured Notes, 5.875% due 2/15/27(a) | | | 299,538 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 552,000 | | | B- | | 3.625% due 12/15/24(a) | | | 479,175 | |
| | 321,000 | | | B- | | 7.750% due 2/15/29(a) | | | 261,326 | |
| | | | | | Royal Caribbean Cruises Ltd., Senior Unsecured Notes: | | | | |
| | 341,000 | | | B | | 4.250% due 7/1/26(a) | | | 262,489 | |
| | 160,000 | | | B | | 11.625% due 8/15/27(a) | | | 157,446 | |
| | 102,000 | | | B | | 5.500% due 4/1/28(a) | | | 78,575 | |
| | | | | | Viking Cruises Ltd.: | | | | |
| | 64,000 | | | CCC | | Company Guaranteed Notes, 5.875% due 9/15/27(a) | | | 51,617 | |
| | 259,000 | | | CCC+ | | Senior Secured Notes, 13.000% due 5/15/25(a) | | | 272,191 | |
| | 379,000 | | | CCC | | Senior Unsecured Notes, 7.000% due 2/15/29(a) | | | 304,506 | |
| | 200,000 | | | B | | VOC Escrow Ltd., Senior Secured Notes, 5.000% due 2/15/28(a) | | | 169,285 | |
| | | | | | | | | | |
| | | | | | Total Leisure Time | | | 3,693,224 | |
| | | | | | | | | | |
|
| Lodging — 2.3% | |
| | 370,000 | | | B- | | Full House Resorts Inc., Senior Secured Notes, 8.250% due 2/15/28(a) | | | 338,175 | |
| | 430,000 | | | B | | Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Esc, Company Guaranteed Notes, 4.875% due 7/1/31(a) | | | 355,541 | |
| | 475,000 | | | BB- | | Melco Resorts Finance Ltd., Senior Unsecured Notes, 5.375% due 12/4/29(a) | | | 310,101 | |
| | | | | | Sands China Ltd., Senior Unsecured Notes: | | | | |
| | 200,000 | | | BB+ | | 4.300% due 1/8/26 | | | 173,097 | |
| | 400,000 | | | Baa2(b) | | 3.750% due 8/8/31 | | | 293,038 | |
| | 331,000 | | | BB- | | Travel + Leisure Co., Senior Secured Notes, 6.000% due 4/1/27 | | | 314,761 | |
| | | | | | Wynn Macau Ltd., Senior Unsecured Notes: | | | | |
| | 200,000 | | | B+ | | 5.500% due 1/15/26(a) | | | 154,119 | |
| | 445,000 | | | B+ | | 5.625% due 8/26/28(a) | | | 316,409 | |
| | 500,000 | | | B+ | | 5.125% due 12/15/29(a) | | | 347,906 | |
| | | | | | | | | | |
| | | | | | Total Lodging | | | 2,603,147 | |
| | | | | | | | | | |
|
| Machinery — Construction & Mining — 0.2% | |
| | 240,000 | | | BB- | | Vertiv Group Corp., Senior Secured Notes, 4.125% due 11/15/28(a) | | | 207,898 | |
| | | | | | | | | | |
|
| Machinery — Diversified — 0.1% | |
| | 88,000 | | | B+ | | ATS Automation Tooling Systems Inc., Company Guaranteed Notes, 4.125% due 12/15/28(a) | | | 77,389 | |
| | | | | | | | | | |
|
| Media — 6.7% | |
| | | | | | Altice Financing SA, Senior Secured Notes: | | | | |
| | 681,000 | | | B | | 5.000% due 1/15/28(a) | | | 550,628 | |
| | 200,000 | | | B | | 5.750% due 8/15/29(a) | | | 161,569 | |
| | 358,000 | | | BB- | | Block Communications Inc., Company Guaranteed Notes, 4.875% due 3/1/28(a) | | | 327,405 | |
| | | | | | CCO Holdings LLC/CCO Holdings Capital Corp., Senior Unsecured Notes: | | | | |
| | 705,000 | | | BB- | | 6.375% due 9/1/29(a) | | | 683,321 | |
| | 571,000 | | | BB- | | 4.750% due 3/1/30(a) | | | 491,454 | |
| | 160,000 | | | BB- | | 4.500% due 8/15/30(a) | | | 134,752 | |
| | 160,000 | | | BB- | | 4.750% due 2/1/32(a) | | | 132,635 | |
| | 680,000 | | | BB- | | 4.500% due 5/1/32 | | | 551,803 | |
| | | | | | CSC Holdings LLC: | | | | |
| | 200,000 | | | BB | | Company Guaranteed Notes, 4.500% due 11/15/31(a) | | | 157,018 | |
See Notes to Financial Statements.
230
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Media — 6.7% — (continued) | |
| | | | | | Senior Unsecured Notes: | | | | |
| $ | 980,000 | | | B+ | | 5.750% due 1/15/30(a) | | $ | 760,152 | |
| | 465,000 | | | B+ | | 4.625% due 12/1/30(a) | | | 339,104 | |
| | 310,000 | | | BB | | Directv Financing LLC/Directv Financing Co.-Obligor Inc., Senior Secured Notes, 5.875% due 8/15/27(a) | | | 286,403 | |
| | | | | | DISH DBS Corp.: | | | | |
| | 600,000 | | | B | | Company Guaranteed Notes, 7.750% due 7/1/26 | | | 473,052 | |
| | 410,000 | | | B+ | | Senior Secured Notes, 5.750% due 12/1/28(a) | | | 315,603 | |
| | 65,000 | | | CCC | | DISH Network Corp., Senior Unsecured Notes, 3.375% due 8/15/26 | | | 46,934 | |
| | 180,000 | | | B1(b) | | Gannett Holdings LLC, Senior Secured Notes, 6.000% due 11/1/26(a) | | | 140,659 | |
| | 170,000 | | | BB- | | iHeartCommunications Inc., Senior Secured Notes, 5.250% due 8/15/27(a) | | | 152,806 | |
| | 44,000 | | | NR | | Liberty Latin America Ltd., Senior Unsecured Notes, 2.000% due 7/15/24 | | | 38,885 | |
| | 222,000 | | | BB+ | | Paramount Global, Junior Subordinated Notes, 6.375%
(5-Year CMT Index + 3.999%) due 3/30/62(c) | | | 204,606 | |
| | 345,000 | | | BB | | Sirius XM Radio Inc., Company Guaranteed Notes, 4.000% due 7/15/28(a) | | | 301,012 | |
| | 300,000 | | | BB | | TEGNA Inc., Company Guaranteed Notes, 5.000% due 9/15/29(a) | | | 287,668 | |
| | 150,000 | | | BBB- | | Time Warner Cable LLC, Senior Secured Notes, 7.300% due 7/1/38 | | | 154,495 | |
| | 50,000 | | | BBB- | | Time Warner Entertainment Co. LP, Senior Secured Notes, 8.375% due 7/15/33 | | | 57,731 | |
| | | | | | Univision Communications Inc., Senior Secured Notes: | | | | |
| | 388,000 | | | B+ | | 6.625% due 6/1/27(a) | | | 374,919 | |
| | 112,000 | | | B+ | | 7.375% due 6/30/30(a) | | | 111,300 | |
| | 327,000 | | | BB- | | UPC Broadband Finco BV, Senior Secured Notes, 4.875% due 7/15/31(a) | | | 283,259 | |
| | 67,000 | | | B- | | Urban One Inc., Senior Secured Notes, 7.375% due 2/1/28(a) | | | 60,259 | |
| | | | | | | | | | |
| | | | | | Total Media | | | 7,579,432 | |
| | | | | | | | | | |
|
| Metal Fabricate/Hardware — 0.3% | |
| | 90,000 | | | B+ | | Advanced Drainage Systems Inc., Company Guaranteed Notes, 6.375% due 6/15/30(a) | | | 87,339 | |
| | 80,000 | | | CCC+ | | Park-Ohio Industries Inc., Company Guaranteed Notes, 6.625% due 4/15/27 | | | 66,513 | |
| | 230,000 | | | B+ | | Roller Bearing Co. of America Inc., Senior Unsecured Notes, 4.375% due 10/15/29(a) | | | 206,712 | |
| | | | | | | | | | |
| | | | | | Total Metal Fabricate/Hardware | | | 360,564 | |
| | | | | | | | | | |
|
| Mining — 1.6% | |
| | 530,000 | | | B+ | | First Quantum Minerals Ltd., Company Guaranteed Notes, 6.875% due 10/15/27(a) | | | 506,198 | |
| | 311,000 | | | BB+ | | FMG Resources August 2006 Pty Ltd., Company Guaranteed Notes, 4.500% due 9/15/27(a) | | | 284,565 | |
| | 600,000 | | | BB+ | | Freeport-McMoRan Inc., Company Guaranteed Notes, 5.450% due 3/15/43 | | | 542,035 | |
| | | | | | Hudbay Minerals Inc., Company Guaranteed Notes: | | | | |
| | 40,000 | | | B | | 4.500% due 4/1/26(a) | | | 36,360 | |
| | 537,000 | | | B | | 6.125% due 4/1/29(a) | | | 473,511 | |
| | | | | | | | | | |
| | | | | | Total Mining | | | 1,842,669 | |
| | | | | | | | | | |
|
| Miscellaneous Manufacturers — 0.0% | |
| | 10,922 | | | B-(f) | | Anagram International Inc./Anagram Holdings LLC, Secured Notes, 10.000%
(5.000% cash and 5.000% PIK or 10.000% cash), due 8/15/26(a)(e) | | | 10,780 | |
| | | | | | | | | | |
|
| Oil & Gas — 7.2% | |
| | 364,000 | | | BB+ | | Antero Resources Corp., Company Guaranteed Notes, 5.375% due 3/1/30(a) | | | 343,088 | |
| | | | | | Apache Corp., Senior Unsecured Notes: | | | | |
| | 105,000 | | | BB+ | | 4.375% due 10/15/28 | | | 96,098 | |
| | 60,000 | | | BB+ | | 7.750% due 12/15/29 | | | 63,837 | |
| | 256,000 | | | BB+ | | 4.250% due 1/15/30 | | | 231,345 | |
| | 410,000 | | | B | | Berry Petroleum Co. LLC, Company Guaranteed Notes, 7.000% due 2/15/26(a) | | | 385,974 | |
| | 310,000 | | | BB- | | California Resources Corp., Company Guaranteed Notes, 7.125% due 2/1/26(a) | | | 305,209 | |
| | 10,000 | | | BB- | | Chesapeake Energy Corp., Company Guaranteed Notes, 5.500% due 2/1/26(a) | | | 9,650 | |
| | 692,000 | | | BB- | | Chord Energy Corp., Company Guaranteed Notes, 6.375% due 6/1/26(a) | | | 672,236 | |
| | 256,000 | | | BB- | | Civitas Resources Inc., Company Guaranteed Notes, 5.000% due 10/15/26(a) | | | 238,702 | |
| | 370,000 | | | B+ | | Colgate Energy Partners III LLC, Senior Unsecured Notes, 5.875% due 7/1/29(a) | | | 343,438 | |
See Notes to Financial Statements.
231
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Oil & Gas — 7.2% — (continued) | |
| $ | 130,000 | | | B+ | | Comstock Resources Inc., Company Guaranteed Notes, 5.875% due 1/15/30(a) | | $ | 119,163 | |
| | 319,000 | | | B+ | | Crescent Energy Finance LLC, Company Guaranteed Notes, 7.250% due 5/1/26(a) | | | 305,173 | |
| | 375,000 | | | B+ | | Earthstone Energy Holdings LLC, Company Guaranteed Notes, 8.000% due 4/15/27(a) | | | 365,839 | |
| | | | | | Hilcorp Energy I LP/Hilcorp Finance Co., Senior Unsecured Notes: | | | | |
| | 405,000 | | | BB+ | | 5.750% due 2/1/29(a) | | | 368,374 | |
| | 170,000 | | | BB+ | | 6.250% due 4/15/32(a) | | | 152,741 | |
| | 21,000 | | | BB | | Murphy Oil Corp., Senior Unsecured Notes, 6.375% due 7/15/28 | | | 20,685 | |
| | 223,000 | | | B | | Nabors Industries Inc., Company Guaranteed Notes, 7.375% due 5/15/27(a) | | | 215,573 | |
| | 412,000 | | | CCC | | Nabors Industries Ltd., Company Guaranteed Notes, 7.250% due 1/15/26(a) | | | 375,204 | |
| | 240,000 | | | B+ | | Northern Oil & Gas Inc., Senior Unsecured Notes, 8.125% due 3/1/28(a) | | | 230,816 | |
| | | | | | Occidental Petroleum Corp., Senior Unsecured Notes: | | | | |
| | 714,000 | | | BB+ | | 8.875% due 7/15/30 | | | 835,998 | |
| | 252,000 | | | BB+ | | 6.125% due 1/1/31 | | | 262,206 | |
| | 110,000 | | | BB+ | | 6.600% due 3/15/46 | | | 121,275 | |
| | 30,000 | | | BB+ | | 4.100% due 2/15/47 | | | 25,425 | |
| | 277,000 | | | BB- | | PBF Holding Co. LLC/PBF Finance Corp., Company Guaranteed Notes, 6.000% due 2/15/28 | | | 249,566 | |
| | 370,000 | | | B+ | | Penn Virginia Holdings LLC, Company Guaranteed Notes, 9.250% due 8/15/26(a) | | | 363,728 | |
| | | | | | Petrobras Global Finance BV, Company Guaranteed Notes: | | | | |
| | 40,000 | | | BB- | | 7.375% due 1/17/27 | | | 42,450 | |
| | 20,000 | | | BB- | | 5.750% due 2/1/29 | | | 20,075 | |
| | | | | | Range Resources Corp., Company Guaranteed Notes: | | | | |
| | 300,000 | | | BB | | 8.250% due 1/15/29 | | | 315,283 | |
| | 140,000 | | | BB | | 4.750% due 2/15/30(a) | | | 129,889 | |
| | 236,000 | | | B+ | | Rockcliff Energy II LLC, Senior Unsecured Notes, 5.500% due 10/15/29(a) | | | 218,393 | |
| | | | | | Southwestern Energy Co., Company Guaranteed Notes: | | | | |
| | 270,000 | | | BB+ | | 5.375% due 2/1/29 | | | 255,694 | |
| | 140,000 | | | BB+ | | 4.750% due 2/1/32 | | | 124,987 | |
| | 344,000 | | | BB- | | Strathcona Resources Ltd., Senior Unsecured Notes, 6.875% due 8/1/26(a) | | | 303,429 | |
| | | | | | | | | | |
| | | | | | Total Oil & Gas | | | 8,111,543 | |
| | | | | | | | | | |
|
| 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) | | | 312,674 | |
| | 320,000 | | | B+ | | USA Compression Partners LP/USA Compression Finance Corp., Company Guaranteed Notes, 6.875% due 4/1/26 | | | 300,662 | |
| | 187,000 | | | B+ | | Weatherford International Ltd., Senior Secured Notes, 6.500% due 9/15/28(a) | | | 176,523 | |
| | | | | | | | | | |
| | | | | | Total Oil & Gas Services | | | 789,859 | |
| | | | | | | | | | |
|
| Packaging & Containers — 1.4% | |
| | 210,000 | | | BB | | Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC, Senior Secured Notes, 6.000% due 6/15/27(a) | | | 206,085 | |
| | | | | | Ball Corp., Company Guaranteed Notes: | | | | |
| | 88,000 | | | BB+ | | 5.250% due 7/1/25 | | | 87,890 | |
| | 124,000 | | | BB+ | | 2.875% due 8/15/30 | | | 100,749 | |
| | 350,000 | | | B | | Clydesdale Acquisition Holdings Inc., Senior Secured Notes, 6.625% due 4/15/29(a) | | | 336,319 | |
| | 249,000 | | | BB+ | | Crown Americas LLC, Company Guaranteed Notes, 5.250% due 4/1/30(a) | | | 239,416 | |
| | 271,000 | | | B- | | LABL Inc., Senior Secured Notes, 5.875% due 11/1/28(a) | | | 236,278 | |
| | 10,000 | | | B- | | Pactiv LLC, Senior Unsecured Notes, 8.375% due 4/15/27 | | | 9,341 | |
| | 51,000 | | | BB+ | | Sealed Air Corp., Company Guaranteed Notes, 5.000% due 4/15/29(a) | | | 48,541 | |
| | 287,000 | | | BB- | | Silgan Holdings Inc., Company Guaranteed Notes, 4.125% due 2/1/28 | | | 263,110 | |
| | | | | | | | | | |
| | | | | | Total Packaging & Containers | | | 1,527,729 | |
| | | | | | | | | | |
|
| Pharmaceuticals — 2.3% | |
| | 280,000 | | | B | | AdaptHealth LLC, Company Guaranteed Notes, 5.125% due 3/1/30(a) | | | 239,439 | |
| | | | | | Bausch Health Cos., Inc.: | | | | |
| | 170,000 | | | B | | Senior Secured Notes, 6.125% due 2/1/27(a) | | | 127,167 | |
| | 430,000 | | | CCC | | Company Guaranteed Notes, 5.250% due 1/30/30(a) | | | 164,051 | |
See Notes to Financial Statements.
232
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Pharmaceuticals — 2.3% — (continued) | |
| $ | 324,000 | | | B+ | | Embecta Corp., Senior Secured Notes, 5.000% due 2/15/30(a) | | $ | 284,751 | |
| | 460,000 | | | BB- | | HLF Financing Sarl LLC/Herbalife International Inc., Company Guaranteed Notes, 4.875% due 6/1/29(a) | | | 363,437 | |
| | | | | | Organon & Co./Organon Foreign Debt Co.-Issuer BV: | | | | |
| | 400,000 | | | BB | | Senior Secured Notes, 4.125% due 4/30/28(a) | | | 359,438 | |
| | 459,000 | | | BB- | | Senior Unsecured Notes, 5.125% due 4/30/31(a) | | | 402,203 | |
| | 230,000 | | | D | | Par Pharmaceutical Inc., Senior Secured Notes, 7.500% due 4/1/27(a)(g) | | | 195,800 | |
| | 450,000 | | | BB- | | Teva Pharmaceutical Finance Netherlands III BV, Company Guaranteed Notes, 5.125% due 5/9/29 | | | 394,085 | |
| | | | | | | | | | |
| | | | | | Total Pharmaceuticals | | | 2,530,371 | |
| | | | | | | | | | |
|
| Pipelines — 7.0% | |
| | 341,000 | | | BB | | Antero Midstream Partners LP/Antero Midstream Finance Corp., Company Guaranteed Notes, 5.750% due 1/15/28(a) | | | 324,676 | |
| | | | | | Blue Racer Midstream LLC/Blue Racer Finance Corp., Senior Unsecured Notes: | | | | |
| | 100,000 | | | B+ | | 7.625% due 12/15/25(a) | | | 99,678 | |
| | 210,000 | | | B+ | | 6.625% due 7/15/26(a) | | | 199,103 | |
| | 381,000 | | | BB | | Buckeye Partners LP, Senior Unsecured Notes, 4.500% due 3/1/28(a) | | | 337,842 | |
| | 150,000 | | | BB+ | | Cheniere Energy Partners LP, Company Guaranteed Notes, 4.000% due 3/1/31 | | | 131,635 | |
| | 380,000 | | | BB | | CNX Midstream Partners LP, Company Guaranteed Notes, 4.750% due 4/15/30(a) | | | 321,358 | |
| | | | | | DCP Midstream Operating LP, Company Guaranteed Notes: | | | | |
| | 324,000 | | | BBB+ | | 5.625% due 7/15/27 | | | 327,182 | |
| | 190,000 | | | BBB+ | | 6.750% due 9/15/37(a) | | | 201,921 | |
| | 275,000 | | | BB+ | | DT Midstream Inc., Company Guaranteed Notes, 4.375% due 6/15/31(a) | | | 235,608 | |
| | 90,000 | | | BB | | Energy Transfer LP, Junior Subordinated Notes, 6.500%
(5-Year CMT Index + 5.694%)(c)(d) | | | 83,326 | |
| | 179,000 | | | BB+ | | EnLink Midstream LLC, Senior Unsecured Notes, 6.500% due 9/1/30(a) | | | 178,298 | |
| | | | | | EQM Midstream Partners LP, Senior Unsecured Notes: | | | | |
| | 42,000 | | | BB- | | 7.500% due 6/1/27(a) | | | 41,514 | |
| | 369,000 | | | BB- | | 5.500% due 7/15/28 | | | 337,973 | |
| | 279,000 | | | BB- | | 7.500% due 6/1/30(a) | | | 275,913 | |
| | 440,000 | | | BB- | | 6.500% due 7/15/48 | | | 373,976 | |
| | 900,000 | | | B | | Genesis Energy LP/Genesis Energy Finance Corp., Company Guaranteed Notes, 6.500% due 10/1/25 | | | 844,637 | |
| �� | 460,000 | | | BB- | | Harvest Midstream I LP, Senior Unsecured Notes, 7.500% due 9/1/28(a) | | | 436,121 | |
| | 409,000 | | | BB+ | | Holly Energy Partners LP/Holly Energy Finance Corp., Company Guaranteed Notes, 5.000% due 2/1/28(a) | | | 381,409 | |
| | 473,000 | | | B | | Howard Midstream Energy Partners LLC, Senior Unsecured Notes, 6.750% due 1/15/27(a) | | | 428,632 | |
| | 412,000 | | | B | | ITT Holdings LLC, Senior Unsecured Notes, 6.500% due 8/1/29(a) | | | 348,593 | |
| | 650,000 | | | BB- | | NGL Energy Operating LLC/NGL Energy Finance Corp., Senior Secured Notes, 7.500% due 2/1/26(a) | | | 588,468 | |
| | | | | | NuStar Logistics LP, Company Guaranteed Notes: | | | | |
| | 100,000 | | | BB- | | 5.750% due 10/1/25 | | | 95,585 | |
| | 238,000 | | | BB- | | 6.375% due 10/1/30 | | | 216,921 | |
| | 90,000 | | | BB- | | Summit Midstream Holdings LLC/Summit Midstream Finance Corp., Secured Notes, 8.500% due 10/15/26(a) | | | 87,168 | |
| | 210,000 | | | BB- | | Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp., Company Guaranteed Notes, 6.000% due 12/31/30(a) | | | 184,370 | |
| | | | | | Venture Global Calcasieu Pass LLC, Senior Secured Notes: | | | | |
| | 264,000 | | | BB | | 3.875% due 8/15/29(a) | | | 230,710 | |
| | 170,000 | | | BB | | 3.875% due 11/1/33(a) | | | 142,092 | |
| | | | | | Western Midstream Operating LP, Senior Unsecured Notes: | | | | |
| | 18,000 | | | BBB- | | 4.500% due 3/1/28 | | | 16,736 | |
| | 270,000 | | | BBB- | | 5.500% due 8/15/48 | | | 235,803 | |
| | 170,000 | | | BBB- | | 5.500% due 2/1/50 | | | 147,425 | |
| | | | | | | | | | |
| | | | | | Total Pipelines | | | 7,854,673 | |
| | | | | | | | | | |
See Notes to Financial Statements.
233
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Real Estate — 0.9% | |
| $ | 409,000 | | | BB | | Cushman & Wakefield US Borrower LLC, Senior Secured Notes, 6.750% due 5/15/28(a) | | $ | 406,055 | |
| | 300,000 | | | B | | Five Point Operating Co. LP/Five Point Capital Corp., Company Guaranteed Notes, 7.875% due 11/15/25(a) | | | 264,806 | |
| | | | | | Kennedy-Wilson Inc., Company Guaranteed Notes: | | | | |
| | 150,000 | | | BB | | 4.750% due 3/1/29 | | | 125,368 | |
| | 305,000 | | | BB | | 4.750% due 2/1/30 | | | 246,345 | |
| | | | | | | | | | |
| | | | | | Total Real Estate | | | 1,042,574 | |
| | | | | | | | | | |
|
| Real Estate Investment Trusts (REITs) — 3.6% | |
| | 240,000 | | | NR | | AFC Gamma Inc., Senior Unsecured Notes, 5.750% due 5/1/27(a)(h) | | | 203,257 | |
| | 534,000 | | | B+ | | Apollo Commercial Real Estate Finance Inc., Senior Secured Notes, 4.625% due 6/15/29(a) | | | 433,248 | |
| | 120,000 | | | BB-(f) | | Blackstone Mortgage Trust Inc., Senior Unsecured Notes, 5.500% due 3/15/27 | | | 111,150 | |
| | 345,000 | | | BB+ | | CTR Partnership LP/CareTrust Capital Corp., Company Guaranteed Notes, 3.875% due 6/30/28(a) | | | 292,750 | |
| | | | | | Diversified Healthcare Trust: | | | | |
| | 90,000 | | | BB | | Company Guaranteed Notes, 9.750% due 6/15/25 | | | 88,582 | |
| | 300,000 | | | BB- | | Senior Unsecured Notes, 4.750% due 2/15/28 | | | 222,221 | |
| | | | | | HAT Holdings I LLC/HAT Holdings II LLC, Company Guaranteed Notes: | | | | |
| | 307,000 | | | BB+ | | 6.000% due 4/15/25(a) | | | 297,989 | |
| | 407,000 | | | BB+ | | 3.375% due 6/15/26(a) | | | 353,838 | |
| | 390,000 | | | NR | | IIP Operating Partnership LP, Company Guaranteed Notes, 5.500% due 5/25/26 | | | 347,996 | |
| | 225,000 | | | BB- | | Iron Mountain Information Management Services Inc., Company Guaranteed Notes, 5.000% due 7/15/32(a) | | | 187,122 | |
| | | | | | Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., Company Guaranteed Notes: | | | | |
| | 410,000 | | | BB- | | 4.250% due 2/1/27(a) | | | 358,053 | |
| | 130,000 | | | BB- | | 4.750% due 6/15/29(a) | | | 110,370 | |
| | 160,000 | | | BBB- | | MPT Operating Partnership LP/MPT Finance Corp., Company Guaranteed Notes, 3.500% due 3/15/31 | | | 120,237 | |
| | | | | | Service Properties Trust: | | | | |
| | 131,000 | | | BB | | Company Guaranteed Notes, 5.500% due 12/15/27 | | | 113,497 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 227,000 | | | B+ | | 3.950% due 1/15/28 | | | 169,324 | |
| | 545,000 | | | B+ | | 4.375% due 2/15/30 | | | 400,090 | |
| | | | | | Starwood Property Trust Inc., Senior Unsecured Notes: | | | | |
| | 200,000 | | | BB- | | 3.625% due 7/15/26(a) | | | 177,285 | |
| | 60,000 | | | BB- | | 4.375% due 1/15/27(a) | | | 53,474 | |
| | | | | | | | | | |
| | | | | | Total Real Estate Investment Trusts (REITs) | | | 4,040,483 | |
| | | | | | | | | | |
|
| Retail — 4.3% | |
| | 70,000 | | | BB- | | Academy Ltd., Senior Secured Notes, 6.000% due 11/15/27(a) | | | 65,448 | |
| | | | | | Bath & Body Works Inc., Company Guaranteed Notes: | | | | |
| | 20,000 | | | BB | | 9.375% due 7/1/25(a) | | | 21,190 | |
| | 300,000 | | | BB | | 5.250% due 2/1/28 | | | 269,233 | |
| | 100,000 | | | BB | | 6.625% due 10/1/30(a) | | | 90,970 | |
| | 230,000 | | | CCC | | Bed Bath & Beyond Inc., Senior Unsecured Notes, 5.165% due 8/1/44 | | | 46,929 | |
| | 235,000 | | | BB- | | Brinker International Inc., Company Guaranteed Notes, 5.000% due 10/1/24(a) | | | 227,105 | |
| | 170,000 | | | CCC- | | Carrols Restaurant Group Inc., Company Guaranteed Notes, 5.875% due 7/1/29(a) | | | 127,745 | |
| | 456,000 | | | CCC | | Carvana Co., Company Guaranteed Notes, 5.875% due 10/1/28(a) | | | 274,245 | |
| | 464,000 | | | B- | | CEC Entertainment LLC, Senior Secured Notes, 6.750% due 5/1/26(a) | | | 422,850 | |
| | 268,000 | | | B | | Dave & Buster’s Inc., Senior Secured Notes, 7.625% due 11/1/25(a) | | | 270,127 | |
| | 600,000 | | | B- | | eG Global Finance PLC, Senior Secured Notes, 6.750% due 2/7/25(a) | | | 567,789 | |
| | 337,000 | | | B | | Ferrellgas LP/Ferrellgas Finance Corp., Senior Unsecured Notes, 5.375% due 4/1/26(a) | | | 293,696 | |
| | | | | | Fertitta Entertainment LLC/Fertitta Entertainment Finance Co., Inc.: | | | | |
| | 80,000 | | | CCC+ | | Company Guaranteed Notes, 6.750% due 1/15/30(a) | | | 65,376 | |
| | 120,000 | | | B | | Senior Secured Notes, 4.625% due 1/15/29(a) | | | 105,769 | |
See Notes to Financial Statements.
234
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Retail — 4.3% — (continued) | |
| | | | | | FirstCash Inc., Company Guaranteed Notes: | | | | |
| $ | 448,000 | | | BB | | 4.625% due 9/1/28(a) | | $ | 388,512 | |
| | 187,000 | | | BB | | 5.625% due 1/1/30(a) | | | 167,614 | |
| | 200,000 | | | BB+ | | Foot Locker Inc., Senior Unsecured Notes, 4.000% due 10/1/29(a) | | | 163,268 | |
| | 94,000 | | | CCC+ | | Foundation Building Materials Inc., Company Guaranteed Notes, 6.000% due 3/1/29(a) | | | 75,968 | |
| | 350,000 | | | BB- | | Ken Garff Automotive LLC, Senior Unsecured Notes, 4.875% due 9/15/28(a) | | | 294,556 | |
| | | | | | Michaels Cos Inc. (The): | | | | |
| | 30,000 | | | B | | Senior Secured Notes, 5.250% due 5/1/28(a) | | | 23,126 | |
| | 330,000 | | | CCC+ | | Senior Unsecured Notes, 7.875% due 5/1/29(a) | | | 219,953 | |
| | 97,000 | | | B- | | NMG Holding Co., Inc./Neiman Marcus Group LLC, Senior Secured Notes, 7.125% due 4/1/26(a) | | | 90,918 | |
| | 367,000 | | | CCC | | Park River Holdings Inc., Senior Unsecured Notes, 6.750% due 8/1/29(a) | | | 274,630 | |
| | 180,000 | | | B3(b) | | Sizzling Platter LLC/Sizzling Platter Finance Corp., Senior Secured Notes, 8.500% due 11/28/25(a) | | | 161,066 | |
| | 100,000 | | | BB- | | Suburban Propane Partners LP/Suburban Energy Finance Corp., Senior Unsecured Notes, 5.000% due 6/1/31(a) | | | 88,470 | |
| | 90,000 | | | BB- | | Superior Plus LP/Superior General Partner Inc., Company Guaranteed Notes, 4.500% due 3/15/29(a) | | | 79,490 | |
| | | | | | | | | | |
| | | | | | Total Retail | | | 4,876,043 | |
| | | | | | | | | | |
|
| Semiconductors — 0.4% | |
| | 320,000 | | | BB | | Entegris Escrow Corp., Company Guaranteed Notes, 5.950% due 6/15/30(a) | | | 304,058 | |
| | 219,000 | | | BB | | ON Semiconductor Corp., Company Guaranteed Notes, 3.875% due 9/1/28(a) | | | 195,721 | |
| | | | | | | | | | |
| | | | | | Total Semiconductors | | | 499,779 | |
| | | | | | | | | | |
|
| Software — 1.4% | |
| | 420,000 | | | B+ | | Central Parent Inc./CDK Global Inc., Senior Secured Notes, 7.250% due 6/15/29(a) | | | 402,700 | |
| | 160,000 | | | CCC+ | | Clarivate Science Holdings Corp., Company Guaranteed Notes, 4.875% due 7/1/29(a) | | | 132,538 | |
| | 170,000 | | | B+ | | Elastic NV, Senior Unsecured Notes, 4.125% due 7/15/29(a) | | | 144,143 | |
| | 200,000 | | | B | | Helios Software Holdings Inc./ION Corporate Solutions Finance Sarl, Senior Secured Notes, 4.625% due 5/1/28(a) | | | 159,906 | |
| | 270,000 | | | CCC | | Minerva Merger Sub Inc., Senior Unsecured Notes, 6.500% due 2/15/30(a) | | | 229,570 | |
| | 160,000 | | | B+ | | Playtika Holding Corp., Company Guaranteed Notes, 4.250% due 3/15/29(a) | | | 136,691 | |
| | 445,000 | | | B+ | | Rackspace Technology Global Inc., Senior Secured Notes, 3.500% due 2/15/28(a) | | | 317,856 | |
| | | | | | | | | | |
| | | | | | Total Software | | | 1,523,404 | |
| | | | | | | | | | |
|
| Telecommunications — 3.2% | |
| | 300,000 | | | CCC+ | | Altice France Holding SA, Senior Secured Notes, 10.500% due 5/15/27(a) | | | 259,400 | |
| | | | | | Altice France SA, Senior Secured Notes: | | | | |
| | 490,000 | | | B | | 5.125% due 7/15/29(a) | | | 372,846 | |
| | 446,000 | | | B | | 5.500% due 10/15/29(a) | | | 352,757 | |
| | | | | | CommScope Inc.: | | | | |
| | 90,000 | | | CCC+ | | Company Guaranteed Notes, 8.250% due 3/1/27(a) | | | 77,288 | |
| | 170,000 | | | B | | Senior Secured Notes, 4.750% due 9/1/29(a) | | | 144,963 | |
| | 200,000 | | | CCC+ | | CommScope Technologies LLC, Company Guaranteed Notes, 6.000% due 6/15/25(a) | | | 181,756 | |
| | 477,000 | | | B+ | | Connect Finco SARL/Connect US Finco LLC, Senior Secured Notes, 6.750% due 10/1/26(a) | | | 437,400 | |
| | 303,000 | | | BB | | Hughes Satellite Systems Corp., Company Guaranteed Notes, 6.625% due 8/1/26 | | | 287,211 | |
| | 560,000 | | | B+ | | Iliad Holding SASU, Senior Secured Notes, 7.000% due 10/15/28(a) | | | 514,703 | |
| | 156,000 | | | BB- | | Lumen Technologies Inc., Senior Unsecured Notes, 5.375% due 6/15/29(a) | | | 121,817 | |
| | 230,000 | | | BB+ | | Sprint Capital Corp., Company Guaranteed Notes, 8.750% due 3/15/32 | | | 277,955 | |
| | 435,000 | | | B | | Telesat Canada/Telesat LLC, Senior Secured Notes, 4.875% due 6/1/27(a) | | | 236,531 | |
| | 260,000 | | | BB- | | Vmed O2 UK Financing I PLC, Senior Secured Notes, 4.750% due 7/15/31(a) | | | 214,825 | |
| | 219,000 | | | CCC+ | | Zayo Group Holdings Inc., Senior Unsecured Notes, 6.125% due 3/1/28(a) | | | 170,669 | |
| | | | | | | | | | |
| | | | | | Total Telecommunications | | | 3,650,121 | |
| | | | | | | | | | |
See Notes to Financial Statements.
235
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Transportation — 0.7% | |
| $ | 341,000 | | | BB | | Cargo Aircraft Management Inc., Company Guaranteed Notes, 4.750% due 2/1/28(a) | | $ | 312,629 | |
| | 320,000 | | | CCC+ | | Carriage Purchaser Inc., Senior Unsecured Notes, 7.875% due 10/15/29(a) | | | 250,010 | |
| | 184,000 | | | B+ | | XPO CNW Inc., Senior Unsecured Notes, 6.700% due 5/1/34 | | | 177,974 | |
| | | | | | | | | | |
| | | | | | Total Transportation | | | 740,613 | |
| | | | | | | | | | |
|
| Trucking & Leasing — 0.3% | |
| | 375,000 | | | BB+ | | AerCap Global Aviation Trust, Company Guaranteed Notes, 6.500%
(3-Month USD-LIBOR + 4.300%) due 6/15/45(a)(c) | | | 357,969 | |
| | | | | | | | | | |
| | | | | | TOTAL CORPORATE BONDS & NOTES
(Cost — $111,374,794) | | | 98,769,177 | |
| | | | | | | | | | |
|
| COLLATERALIZED MORTGAGE OBLIGATIONS — 3.8% | |
| | 280,000 | | | BBB- | | ARES XLIV CLO Ltd., Series 2017-44A, Class CR, 5.912%
(3-Month USD-LIBOR + 3.400%) due 4/15/34(a)(c) | | | 268,737 | |
| | 250,000 | | | Baa3(b) | | Battalion CLO XI Ltd., Series 2017-11A, Class DR, 6.433%
(3-Month USD-LIBOR + 3.650%) due 4/24/34(a)(c) | | | 234,544 | |
| | 280,000 | | | Ba3(b) | | Canyon Capital CLO Ltd., Series 2021-1A, Class E, 8.922%
(3-Month USD-LIBOR + 6.410%) due 4/15/34(a)(c) | | | 252,389 | |
| | 250,000 | | | Baa3(b) | | Dryden 49 Senior Loan Fund, Series 2017-49A, Class DR, 6.140%
(3-Month USD-LIBOR + 3.400%) due 7/18/30(a)(c) | | | 238,817 | |
| | 360,000 | | | BB- | | Madison Park Funding XXXV Ltd., Series 2019-35A, Class ER, 8.810%
(3-Month USD-LIBOR + 6.100%) due 4/20/32(a)(c) | | | 335,640 | |
| | 500,000 | | | Ba1(b) | | Marble Point CLO XIV Ltd., Series 2018-2A, Class D, 6.240%
(3-Month USD-LIBOR + 3.530%) due 1/20/32(a)(c) | | | 439,375 | |
| | 280,000 | | | Baa3(b) | | Mountain View CLO IX Ltd., Series 2015-9A, Class CR, 5.632%
(3-Month USD-LIBOR + 3.120%) due 7/15/31(a)(c) | | | 247,660 | |
| | 250,000 | | | BB- | | Neuberger Berman CLO XVIII Ltd., Series 2014-18A, Class DR2, 8.652%
(3-Month USD-LIBOR + 5.920%) due 10/21/30(a)(c) | | | 229,797 | |
| | 280,000 | | | Baa3(b) | | Ocean Trails CLO IX, Series 2020-9A, Class DR, 6.262%
(3-Month USD-LIBOR + 3.750%) due 10/15/34(a)(c) | | | 264,975 | |
| | 210,000 | | | BBB- | | Ocean Trails CLO V, Series 2014-5A, Class DRR, 5.905%
(3-Month USD-LIBOR + 3.450%) due 10/13/31(a)(c) | | | 190,483 | |
| | 250,000 | | | BBB- | | Octagon Investment Partners 33 Ltd., Series 2017-1A, Class C, 5.460%
(3-Month USD-LIBOR + 2.750%) due 1/20/31(a)(c) | | | 230,714 | |
| | 300,000 | | | BBB- | | Pulsar Funding I LLC, Series 2019-1A, Class C, 7.510%
(3-Month USD-LIBOR + 4.800%) due 1/20/33(a)(c) | | | 267,150 | |
| | 230,000 | | | BB- | | Sculptor CLO XXVI Ltd., Series 26A, Class E, 9.960%
(3-Month USD-LIBOR + 7.250%) due 7/20/34(a)(c) | | | 206,741 | |
| | 250,000 | | | Ba3(b) | | Symphony CLO XX Ltd., Series 2018-20A, Class E, 9.030%
(3-Month USD-LIBOR + 6.290%) due 1/16/32(a)(c) | | | 231,997 | |
| | 310,000 | | | Ba3(b) | | THL Credit Wind River 2017-3 CLO Ltd., Series 2017-3A, Class ER, 9.562%
(3-Month USD-LIBOR + 7.050%) due 4/15/35(a)(c) | | | 286,055 | |
| | 350,000 | | | BB- | | Voya CLO Ltd., Series 2017-3A, Class DR, 9.660%
(3-Month USD-LIBOR + 6.950%) due 4/20/34(a)(c) | | | 320,006 | |
| | | | | | | | | | |
| | | | | | TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost — $4,568,168) | | | 4,245,080 | |
| | | | | | | | | | |
|
| SENIOR LOANS — 3.1% | |
| | 58,650 | | | NR | | Acrisure LLC, (Restricted, cost – $58,557, acquired 1/31/20), 3.607%
(1-Month USD-LIBOR + 3.500%) due 2/15/27(i) | | | 56,365 | |
| | 369,336 | | | NR | | Arctic Canadian Diamond Co., Ltd., (Restricted, cost – $369,336, acquired 2/2/21), 17.500% (3-Month USD-LIBOR + 1.750%) due 12/31/24(h)(i)(j) | | | 315,783 | |
| | 48,733 | | | NR | | CMG Media Corp., (Restricted, cost – $48,583, acquired 12/12/19), 3.585%
(1-Month USD-LIBOR + 3.500%) due 12/17/26(i) | | | 47,437 | |
| | 224,799 | | | NR | | CommScope Inc., (Restricted, cost – $219,356, acquired 4/17/20), 3.335%
(1-Month USD-LIBOR + 3.250%) due 4/6/26(i) | | | 216,194 | |
See Notes to Financial Statements.
236
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| SENIOR LOANS — 3.1% — (continued) | |
| $ | 180,000 | | | NR | | DCert Buyer Inc., (Restricted, cost – $179,635, acquired 2/16/21), 7.209%
(3-Month USD-LIBOR + 7.000%) due 2/19/29(i) | | $ | 172,035 | |
| | 322,575 | | | NR | | DCert Buyer Inc., (Restricted, cost – $316,037, acquired 4/17/20), 4.085%
(3-Month USD-LIBOR + 4.000%) due 10/16/26(i) | | | 314,825 | |
| | 80,000 | | | NR | | Deerfield Dakota Holding LLC, (Restricted, cost – $79,168, acquired 3/5/20), 7.500%
(1-Month USD-LIBOR + 6.750%) due 4/7/28(i) | | | 79,000 | |
| | 264,600 | | | NR | | Equinox Holdings Inc., (Restricted, cost – $261,364, acquired 6/9/20), 10.000%
(3-Month USD-LIBOR + 9.000%) due 3/8/24(i) | | | 235,494 | |
| | 58,741 | | | NR | | EyeCare Partners LLC, (Restricted, cost – $58,702, acquired 2/5/20), 3.857%
(3-Month USD-LIBOR + 3.750%) due 2/18/27(i) | | | 54,859 | |
| | 77,580 | | | NR | | Global Tel*Link Corp., (Restricted, cost – $75,877, acquired 8/16/19), 4.335%
(3-Month USD-LIBOR + 4.250%) due 11/29/25(i) | | | 71,921 | |
| | 236,414 | | | NR | | Great Outdoors Group LLC, (Restricted, cost – $236,414, acquired 11/24/21), 6.274%
(1-Month USD-LIBOR + 3.750%) due 3/6/28(i) | | | 229,735 | |
| | 320,000 | | | NR | | Mileage Plus Holdings LLC , (Restricted, cost – $315,577, acquired 6/25/20), 6.250%
(3-Month USD-LIBOR + 5.250%) due 6/21/27(i) | | | 326,000 | |
| | 150,966 | | | NR | | Peraton Corp., (Restricted, cost – $150,374, acquired 2/23/21), 4.500%
(1-Month USD-LIBOR + 3.750%) due 2/1/28(i) | | | 147,065 | |
| | 50,000 | | | NR | | Radiology Partners Inc., (Restricted, cost – $48,042, acquired 5/21/20), 4.346%
(1-Month USD-LIBOR + 4.250%) due 7/9/25(i) | | | 46,792 | |
| | 246,875 | | | NR | | RealTruck Group Inc., (Restricted, cost – $246,875, acquired 1/20/21), 4.000%
(1-Month USD-LIBOR + 3.500%) due 1/31/28(i) | | | 226,045 | |
| | 177,653 | | | NR | | Redstone HoldCo 2 LP, (Restricted, cost – $176,220, acquired 4/16/21), 5.500%
(3-Month USD-LIBOR + 4.750%) due 4/27/28(i) | | | 152,448 | |
| | 244,304 | | | NR | | Sedgwick Claims Management Services Inc. , (Restricted, cost – $232,757, acquired 4/30/20), 3.335% (1-Month USD-LIBOR + 3.250%) due 12/31/25(i) | | | 239,723 | |
| | 71,927 | | | NR | | Spencer Spirit IH LLC, (Restricted, cost – $71,147, acquired 6/14/19), 6.085%
(3-Month USD-LIBOR + 6.000%) due 6/19/26(h)(i) | | | 70,833 | |
| | 304,533 | | | NR | | U.S. Renal Care Inc., (Restricted, cost – $304,173, acquired 1/7/21), 5.125%
(1-Month USD-LIBOR + 5.000%) due 6/26/26(i) | | | 234,205 | |
| | 313,555 | | | NR | | Verscend Holding Corp., (Restricted, cost – $305,334, acquired 4/8/20), 4.085%
(1-Month USD-LIBOR + 4.000%) due 8/27/25(i) | | | 312,119 | |
| | | | | | | | | | |
| | | | | | TOTAL SENIOR LOANS
(Cost — $3,753,529) | | | 3,548,878 | |
| | | | | | | | | | |
| | | |
| Shares/Units | | | | | | | | |
|
| PREFERRED STOCKS — 0.5% | |
|
| FINANCIALS — 0.5% | |
|
| Diversified Financial Services — 0.5% | |
| | 6,200 | | | | | B. Riley Financial Inc., 5.000% due 12/31/26 | | | 139,376 | |
| | 4,950 | | | | | B. Riley Financial Inc., 5.250% due 8/31/28 | | | 105,039 | |
| | 12,150 | | | | | B. Riley Financial Inc., 6.000% due 1/31/28 | | | 275,562 | |
| | | | | | | | | | |
| | | | | | TOTAL PREFERRED STOCKS
(Cost — $582,500) | | | 519,977 | |
| | | | | | | | | | |
|
| CONVERTIBLE PREFERRED STOCK — 0.4% | |
|
| ENERGY — 0.4% | |
|
| Pipelines — 0.4% | |
| | 12,149 | | | | | MPLX LP, (Restricted, cost – $394,843, acquired 12/16/20), 8.462%*(d)(i)(j)
(Cost — $394,843) | | | 455,588 | |
| | | | | | | | | | |
See Notes to Financial Statements.
237
| | | | | | | | | | |
| High Yield Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| COMMON STOCKS — 0.3% | |
|
| ENERGY — 0.3% | |
|
| Oil & Gas — 0.3% | |
| | 18,894 | | | | | Berry Corp | | $ | 172,880 | |
| | 1,156 | | | | | Chord Energy Corp | | | 163,632 | |
| | | | | | | | | | |
| | | | | | TOTAL COMMON STOCKS
(Cost — $149,438) | | | 336,512 | |
| | | | | | | | | | |
| | | |
Face
Amount/Units† | | | Rating†† | | | | | |
|
| SOVEREIGN BONDS — 0.0% | |
|
| Argentina — 0.0% | |
| | | | | | Argentine Republic Government International Bonds: | | | | |
| $ | 9,647 | | | CCC+ | | 1.000% due 7/9/29 | | | 2,259 | |
| | 51,375 | | | CCC+ | | 0.500% due 7/9/30 | | | 12,332 | |
| | 94,124 | | | CCC+ | | 1.500% due 7/9/35 | | | 21,294 | |
| | | | | | | | | | |
| | | | | | TOTAL SOVEREIGN BONDS
(Cost — $86,705) | | | 35,885 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS
(Cost — $120,909,977) | | | 107,911,097 | |
| | | | | | | | | | |
|
| SHORT-TERM INVESTMENTS — 2.7% | |
|
| TIME DEPOSITS — 2.7% | |
| | 2,173,646 | | | | | BNP Paribas – Paris, 1.680% due 9/1/22 | | | 2,173,646 | |
| | 854,058 | | | | | Citibank – New York, 1.680% due 9/1/22 | | | 854,058 | |
| | 99 | | | | | JPMorgan Chase & Co. – New York, 1.680% due 9/1/22 | | | 99 | |
| | | | | | | | | | |
| | | | | | TOTAL SHORT-TERM INVESTMENTS
(Cost — $3,027,803) | | | 3,027,803 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS — 98.6%
(Cost — $123,937,780) | | | 110,938,900 | |
| | | | | | | | | | |
| | | | | | Other Assets in Excess of Liabilities — 1.4% | | | 1,562,935 | |
| | | | | | | | | | |
| | | | | | TOTAL NET ASSETS — 100.0% | | $ | 112,501,835 | |
| | | | | | | | | | |
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
| †† | All ratings are by Standard & Poor’s Rating Service, unless otherwise noted. All ratings are unaudited. |
| * | Non-income producing security. |
| (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 August 31, 2022, amounts to $84,112,073 and represents 74.8% of net assets. |
| (b) | Rating by Moody’s Investors Service. All ratings are unaudited. |
| (c) | Variable rate security. Interest rate disclosed is that which was in effect at August 31, 2022. |
| (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. All ratings are unaudited. |
| (g) | Security is currently in default. |
| (i) | The aggregate value of restricted securities (excluding 144A holdings) at August 31, 2022, amounts to $4,004,466 and represents 3.6% 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.
238
At August 31, 2022, 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 | | $ | 124,678,744 | | | $ | 1,364,105 | | | $ | (15,103,949) | | | $ | (13,739,844) | |
| | |
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 |
| USD | | — United States Dollar |
| | | | |
| Summary of Investments by Security Type^ | | | |
Corporate Bonds & Notes | | | 89.0 | % |
Collateralized Mortgage Obligations | | | 3.9 | |
Senior Loans | | | 3.2 | |
Preferred Stocks | | | 0.5 | |
Convertible Preferred Stock | | | 0.4 | |
Common Stocks | | | 0.3 | |
Sovereign Bonds | | | 0.0 | * |
Short-Term Investments | | | 2.7 | |
| | | | |
| | | 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 304-305 for definitions of ratings.
See Notes to Financial Statements.
239
| | | | | | | | | | |
| International Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | | | Security | | Value | |
|
| SOVEREIGN BONDS — 27.5% | |
|
| Argentina — 0.0% | |
| | 360,000 | ARS | | | | Argentine Bonos del Tesoro, 15.500% due 10/17/26(a) | | $ | 811 | |
| | 460,000 | ARS | | | | Provincia de Buenos Aires, 61.114%
(Argentina Deposit Rates Badlar Private Banks ARS 30 to 35 Days Index + 3.750%) due 4/12/25(a)(b)(c) | | | 3,326 | |
| | | | | | | | | | |
| | | | | | Total Argentina | | | 4,137 | |
| | | | | | | | | | |
|
| Australia — 0.5% | |
| | | | | | Australia Government Bonds: | | | | |
| | 100,000 | AUD | | | | 2.500% due 5/21/30 | | | 63,755 | |
| | 200,000 | AUD | | | | 1.000% due 11/21/31 | | | 109,278 | |
| | 100,000 | AUD | | | | 1.250% due 5/21/32 | | | 55,364 | |
| | 500,000 | AUD | | | | 4.500% due 4/21/33 | | | 368,828 | |
| | 50,000 | AUD | | | | 1.750% due 6/21/51 | | | 21,929 | |
| | 300,000 | AUD | | | | Northern Territory Treasury Corp., 2.000% due 4/21/31 | | | 172,436 | |
| | 150,000 | AUD | | | | Treasury Corp. of Victoria, 4.250% due 12/20/32 | | | 102,955 | |
| | | | | | | | | | |
| | | | | | Total Australia | | | 894,545 | |
| | | | | | | | | | |
|
| Canada — 0.2% | |
| | 600,000 | CAD | | | | Canadian Government Bonds, 2.000% due 12/1/51 | | | 369,676 | |
| | | | | | | | | | |
|
| China — 0.2% | |
| | | | | | China Government Bonds: | | | | |
| | 800,000 | CNY | | | | 3.720% due 4/12/51 | | | 128,197 | |
| | 1,300,000 | CNY | | | | 3.530% due 10/18/51 | | | 203,064 | |
| | | | | | | | | | |
| | | | | | Total China | | | 331,261 | |
| | | | | | | | | | |
|
| France — 3.1% | |
| | | | | | French Republic Government Bonds OAT: | | | | |
| | 900,000 | EUR | | | | 3.250% due 5/25/45 | | | 1,019,306 | |
| | 3,300,000 | EUR | | | | 2.000% due 5/25/48(b) | | | 3,001,213 | |
| | 1,650,000 | EUR | | | | 0.750% due 5/25/52 | | | 1,052,799 | |
| | 500,000 | EUR | | | | 0.500% due 5/25/72(b) | | | 224,447 | |
| | | | | | | | | | |
| | | | | | Total France | | | 5,297,765 | |
| | | | | | | | | | |
|
| Israel — 0.6% | |
| | 1,300,000 | ILS | | | | Bank of Israel Bills — Makam, zero coupon due 2/8/23 | | | 387,425 | |
| | 2,000,000 | ILS | | | | Israel Government Bonds — Fixed, 1.000% due 3/31/30 | | | 527,514 | |
| $ | 200,000 | | | | | State of Israel, 3.800% due 5/13/60 | | | 171,199 | |
| | | | | | | | | | |
| | | | | | Total Israel | | | 1,086,138 | |
| | | | | | | | | | |
|
| Italy — 0.5% | |
| | 550,000 | EUR | | | | Italy Buoni Poliennali Del Tesoro, 1.700% due 9/1/51(b) | | | 348,440 | |
| | 400,000 | GBP | | | | Republic of Italy Government International Bonds, 6.000% due 8/4/28 | | | 494,725 | |
| | | | | | | | | | |
| | | | | | Total Italy | | | 843,165 | |
| | | | | | | | | | |
|
| Japan — 14.0% | |
| | 1,200,000 | | | | | Development Bank of Japan Inc., 2.500% due 10/18/22 | | | 1,199,460 | |
| | 650,000,000 | JPY | | | | Japan Government Five Year Bonds, 0.005% due 6/20/27 | | | 4,678,381 | |
| | 426,000,000 | JPY | | | | Japan Government Ten Year Bonds, 0.100% due 6/20/31 | | | 3,035,634 | |
| | | | | | Japan Government Thirty Year Bonds: | | | | |
| | 190,000,000 | JPY | | | | 1.700% due 9/20/44 | | | 1,572,366 | |
| | 310,000,000 | JPY | | | | 1.400% due 9/20/45 | | | 2,420,380 | |
| | 152,000,000 | JPY | | | | 0.500% due 9/20/46 | | | 971,886 | |
| | 128,000,000 | JPY | | | | 0.700% due 12/20/48 | | | 834,713 | |
| | 380,000,000 | JPY | | | | 0.500% due 3/20/49 | | | 2,345,008 | |
| | 125,000,000 | JPY | | | | 0.700% due 6/20/51 | | | 796,452 | |
| | 190,000,000 | JPY | | | | 0.700% due 12/20/51 | | | 1,208,084 | |
See Notes to Financial Statements.
240
| | | | | | | | | | |
| International Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | | | Security | | Value | |
|
| Japan — 14.0% — (continued) | |
| | | | | | Japan Government Twenty Year Bonds: | | | | |
| | 120,000,000 | JPY | | | | 1.300% due 6/20/35 | | $ | 955,980 | |
| | 181,000,000 | JPY | | | | 1.200% due 9/20/35 | | | 1,424,367 | |
| | 190,000,000 | JPY | | | | 1.000% due 12/20/35 | | | 1,460,399 | |
| | 40,000,000 | JPY | | | | 0.400% due 3/20/36 | | | 284,537 | |
| | 113,548,600 | JPY | | | | Japanese Government CPI Linked Bonds, 0.100% due 3/10/28 | | | 862,824 | |
| | | | | | | | | | |
| | | | | | Total Japan | | | 24,050,471 | |
| | | | | | | | | | |
|
| Malaysia — 0.4% | |
| | 3,200,000 | MYR | | | | Malaysia Government Investment Issue, 4.369% due 10/31/28 | | | 731,604 | |
| | | | | | | | | | |
|
| Peru — 0.7% | |
| | | | | | Peruvian Government International Bonds: | | | | |
| | 1,300,000 | PEN | | | | 6.350% due 8/12/28 | | | 317,484 | |
| | 1,300,000 | PEN | | | | 6.350% due 8/12/28(b) | | | 317,484 | |
| | 700,000 | PEN | | | | 5.940% due 2/12/29 | | | 165,284 | |
| | 100,000 | PEN | | | | 5.940% due 2/12/29 | | | 23,612 | |
| | 400,000 | PEN | | | | 5.940% due 2/12/29(b) | | | 94,448 | |
| | 700,000 | PEN | | | | 6.950% due 8/12/31(b) | | | 171,075 | |
| | 200,000 | PEN | | | | 5.350% due 8/12/40(b) | | | 38,445 | |
| | | | | | | | | | |
| | | | | | Total Peru | | | 1,127,832 | |
| | | | | | | | | | |
|
| Qatar — 0.1% | |
| $ | 200,000 | | | | | Qatar Government International Bonds, 4.400% due 4/16/50(b) | | | 196,643 | |
| | | | | | | | | | |
|
| Romania — 0.2% | |
| | | | | | Romanian Government International Bonds: | | | | |
| | 200,000 | EUR | | | | 1.750% due 7/13/30(b) | | | 145,314 | |
| | 100,000 | EUR | | | | 2.000% due 4/14/33(b) | | | 66,473 | |
| | 50,000 | EUR | | | | 2.750% due 4/14/41(b) | | | 29,318 | |
| | 200,000 | EUR | | | | 2.875% due 4/13/42(b) | | | 117,471 | |
| | | | | | | | | | |
| | | | | | Total Romania | �� | | 358,576 | |
| | | | | | | | | | |
|
| Serbia — 0.1% | |
| | | | | | Serbia International Bonds: | | | | |
| | 100,000 | EUR | | | | 1.000% due 9/23/28(b) | | | 72,940 | |
| | 100,000 | EUR | | | | 1.650% due 3/3/33(b) | | | 61,760 | |
| | | | | | | | | | |
| | | | | | Total Serbia | | | 134,700 | |
| | | | | | | | | | |
|
| Spain — 4.0% | |
| | 100,000 | EUR | | | | Autonomous Community of Catalonia, 4.220% due 4/26/35 | | | 106,886 | |
| | | | | | Spain Government Bonds: | | | | |
| | 400,000 | EUR | | | | 1.450% due 10/31/27(b) | | | 390,834 | |
| | 1,500,000 | EUR | | | | 1.400% due 7/30/28(b) | | | 1,447,195 | |
| | 450,000 | EUR | | | | 1.450% due 4/30/29(b) | | | 431,363 | |
| | 400,000 | EUR | | | | 0.700% due 4/30/32(b) | | | 336,384 | |
| | 2,100,000 | EUR | | | | 2.550% due 10/31/32(b) | | | 2,077,426 | |
| | 400,000 | EUR | | | | 1.850% due 7/30/35(b) | | | 359,033 | |
| | 500,000 | EUR | | | | 1.900% due 10/31/52(b) | | | 372,626 | |
| | 850,000 | EUR | | | | 3.450% due 7/30/66(b) | | | 859,280 | |
| | 800,000 | EUR | | | | 1.450% due 10/31/71(b) | | | 436,254 | |
| | | | | | | | | | |
| | | | | | Total Spain | | | 6,817,281 | |
| | | | | | | | | | |
|
| United Arab Emirates — 0.1% | |
| | 200,000 | | | | | Abu Dhabi Government International Bonds, 3.875% due 4/16/50 | | | 181,885 | |
| | | | | | | | | | |
See Notes to Financial Statements.
241
| | | | | | | | | | |
| International Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | | | Security | | Value | |
|
| United Kingdom — 2.8% | |
| | | | | | United Kingdom Gilts: | | | | |
| | 1,350,000 | GBP | | | | 3.250% due 1/22/44 | | $ | 1,578,327 | |
| | 700,000 | GBP | | | | 3.500% due 1/22/45 | | | 850,324 | |
| | 500,000 | GBP | | | | 1.750% due 1/22/49 | | | 439,179 | |
| | 1,400,000 | GBP | | | | 0.625% due 10/22/50 | | | 881,493 | |
| | 1,300,000 | GBP | | | | 1.250% due 7/31/51 | | | 982,848 | |
| | | | | | | | | | |
| | | | | | Total United Kingdom | | | 4,732,171 | |
| | | | | | | | | | |
| | | | | | TOTAL SOVEREIGN BONDS
(Cost — $60,061,174) | | | 47,157,850 | |
| | | | | | | | | | |
|
| COLLATERALIZED MORTGAGE OBLIGATIONS — 22.8% | |
| $ | 15,402 | | | | | A10 Bridge Asset Financing LLC, Series 2020-C, Class A, 2.021% due 8/15/40(b) | | | 15,215 | |
| | 384,729 | | | | | ACAS CLO 2015-1 Ltd., Series 2015-1A, Class AR3, 3.630%
(3-Month USD-LIBOR + 0.890%) due 10/18/28(b)(c) | | | 378,831 | |
| | 395,630 | | | | | ACE Securities Corp. Home Equity Loan Trust, Series 2005-HE5, Class M4, 3.344%
(1-Month USD-LIBOR + 0.900%) due 8/25/35(c) | | | 389,051 | |
| 275,988
| GBP
| | | | ALBA PLC, Series 2007-1, Class A3, 1.673%
(Sterling Overnight Index Average + 0.289%) due 3/17/39(c) | | | 305,302 | |
| | 400,000 | | | | | AMMC CLO 21 Ltd., Series 2017-21A, Class A, 4.038%
(3-Month USD-LIBOR + 1.250%) due 11/2/30(b)(c) | | | 396,739 | |
| | 400,000 | | | | | Apidos CLO XXIV, Series 2016-24A, Class A1AL, 3.660%
(3-Month USD-LIBOR + 0.950%) due 10/20/30(b)(c) | | | 393,031 | |
| | 400,000 | | | | | Apidos CLO XXVI, Series 2017-26A, Class A1AR, 3.640%
(3-Month USD-LIBOR + 0.900%) due 7/18/29(b)(c) | | | 394,543 | |
| | 400,000 | | | | | Arbor Realty Commercial Real Estate Notes Ltd., Series 2022-FL1, Class A, 3.333%
(SOFR + 1.450%) due 1/15/37(b)(c) | | | 394,077 | |
| | 400,000 | | | | | ARES L CLO Ltd., Series 2018-50A, Class AR, 3.562%
(3-Month USD-LIBOR + 1.050%) due 1/15/32(b)(c) | | | 392,751 | |
| | 341,207 | | | | | ARES XL CLO Ltd., Series 2016-40A, Class A1RR, 3.382%
(3-Month USD-LIBOR + 0.870%) due 1/15/29(b)(c) | | | 337,282 | |
| | 415,221 | | | | | Argent Mortgage Loan Trust, Series 2005-W1, Class A1, 2.924%
(1-Month USD-LIBOR + 0.480%) due 5/25/35(c) | | | 375,301 | |
| | 224,235 | GBP | | | | Avon Finance No 2 PLC, Series 2A, Class A, 1.690%
(3-Month Sterling Overnight Index Average + 0.900%) due 9/20/48(b)(c) | | | 259,168 | |
| | 6,771 | | | | | Banc of America Funding Trust, Series 2006-A, Class 1A1, 2.798% due 2/20/36(c) | | | 6,555 | |
| | 435,380 | | | | | Barings CLO Ltd., Series 2013-IA, Class AR, 3.510%
(3-Month USD-LIBOR + 0.800%) due 1/20/28(b)(c) | | | 432,114 | |
| | 169,196 | | | | | Bayview Financial Asset Trust, Series 2007-SR1A, Class A, 2.894%
(1-Month USD-LIBOR + 0.450%) due 3/25/37(b)(c) | | | 174,240 | |
| | 400,000 | | | | | BDS Ltd., Series 2021-FL10, Class A, 3.727%
(1-Month USD-LIBOR + 1.350%) due 12/16/36(b)(c) | | | 393,391 | |
| | | | | | Bear Stearns Adjustable Rate Mortgage Trust: | | | | |
| | 2,057 | | | | | Series 2003-5, Class 1A2, 3.159% due 8/25/33(c) | | | 2,019 | |
| | 2,880 | | | | | Series 2003-7, Class 6A, 2.610% due 10/25/33(c) | | | 2,799 | |
| | 8,382 | | | | | Series 2004-2, Class 22A, 2.995% due 5/25/34(c) | | | 7,959 | |
| | 5,092 | | | | | Series 2004-2, Class 23A, 2.846% due 5/25/34(c) | | | 4,517 | |
| | 44,978 | | | | | Bear Stearns Structured Products Inc. Trust, Series 2007-R6, Class 1A1, 3.218% due 1/26/36(c) | | | 34,464 | |
| | 400,000 | | | | | BIG Commercial Mortgage Trust, Series 2022-BIG, Class A, 3.649%
(1-Month Term SOFR + 1.342%) due 2/15/39(b)(c) | | | 388,816 | |
| 21,401
| EUR
| | | | Black Diamond CLO Designated Activity Co., Series 2015-1A, Class A1R, 0.650%
(3-Month EURIBOR + 0.650%) due 10/3/29(b)(c) | | | 21,439 | |
| 245,688
| EUR
| | | | BlueMountain Fuji Euro CLO II DAC, Series 2017-2A, Class AR, 0.650%
(3-Month EURIBOR + 0.650%) due 7/15/30(b)(c) | | | 242,914 | |
See Notes to Financial Statements.
242
| | | | | | | | | | |
| International Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | | | Security | | Value | |
|
| COLLATERALIZED MORTGAGE OBLIGATIONS — 22.8% — (continued) | |
| | 300,000 | EUR | | | | BNPP AM Euro CLO DAC, Series 2019-1A, Class AR, 0.820%
(3-Month EURIBOR + 0.820%) due 7/22/32(b)(c) | | $ | 290,694 | |
| 223,750
| EUR
| | | | Cairn CLO VII DAC, Series 2016-7A, Class A1R, 0.670%
(3-Month EURIBOR + 0.670%) due 1/31/30(b)(c) | | | 221,177 | |
| 250,000
| EUR
| | | | Cairn CLO X DAC, Series 2018-10A, Class AR, 0.780%
(3-Month EURIBOR + 0.780%) due 10/15/31(b)(c) | | | 243,733 | |
| $ | 400,000 | | | | | CARLYLE US CLO Ltd., Series 2017-1A, Class A1R, 3.710%
(3-Month USD-LIBOR + 1.000%) due 4/20/31(b)(c) | | | 393,341 | |
| | | | | | CIFC Funding Ltd.: | | | | |
| | 400,000 | | | | | Series 2017-4A, Class A1R, 3.733% (3-Month USD-LIBOR + 0.950%) due 10/24/30(b)(c) | | | 394,283 | |
| | 400,000 | | | | | Series 2018-1A, Class A, 3.740% (3-Month USD-LIBOR + 1.000%) due 4/18/31(b)(c) | | | 393,000 | |
| | | | | | Countrywide Alternative Loan Trust: | | | | |
| | 3,966 | | | | | Series 2005-21CB, Class A3, 5.250% due 6/25/35 | | | 3,259 | |
| | 18,786 | | | | | Series 2007-16CB, Class 5A1, 6.250% due 8/25/37 | | | 11,506 | |
| | 33,316 | | | | | Series 2007-11T1, Class A12, 2.794% (1-Month USD-LIBOR + 0.350%) due 5/25/37(c) | | | 12,832 | |
| | 26,329 | | | | | Series 2007-7T2, Class A9, 6.000% due 4/25/37 | | | 13,444 | |
| | | | | | Countrywide Asset-Backed Certificates: | | | | |
| | 320,752 | | | | | Series 2007-9, Class 2A4, 2.694% (1-Month USD-LIBOR + 0.250%) due 2/25/36(c) | | | 311,028 | |
| | 48,981 | | | | | Series 2007-12, Class 1A1, 3.184% (1-Month USD-LIBOR + 0.740%) due 8/25/47(c) | | | 47,232 | |
| | 366,685 | | | | | Series 2007-13, Class 1A, 3.284% (1-Month USD-LIBOR + 0.840%) due 10/25/47(c) | | | 354,927 | |
| | 67,469 | | | | | Series 2007-SEA2, Class 1A1, 4.444% (1-Month USD-LIBOR + 2.000%) due 8/25/47(b)(c) | | | 67,220 | |
| | | | | | Countrywide Home Loan Mortgage Pass-Through Trust: | | | | |
| | 309 | | | | | Series 2004-12, Class 11A1, 3.571% due 8/25/34(c) | | | 310 | |
| | 44,591 | | | | | Series 2005-2, Class 1A1, 3.084% (1-Month USD-LIBOR + 0.640%) due 3/25/35(c) | | | 37,173 | |
| | 2,999 | | | | | Series 2005-3, Class 2A1, 3.024% (1-Month USD-LIBOR + 0.580%) due 4/25/35(c) | | | 2,771 | |
| | 48,427 | | | | | Series 2005-9, Class 1A3, 2.904% (1-Month USD-LIBOR + 0.460%) due 5/25/35(c) | | | 40,649 | |
| | 14,404 | | | | | Series 2005-11, Class 3A1, 2.655% due 4/25/35(c) | | | 11,650 | |
| | 8,509 | | | | | Series 2005-HYB9, Class 3A2A, 1.985% (1-Year USD-LIBOR + 1.750%) due 2/20/36(c) | | | 7,176 | |
| | 508,401 | | | | | Series 2007-4, Class 1A47, 6.000% due 5/25/37 | | | 263,365 | |
| | 92,291 | | | | | Series 2007-19, Class 2A1, 6.500% due 11/25/47 | | | 55,968 | |
| | | | | | Credit Suisse Mortgage Capital Trust: | | | | |
| | 34,353 | | | | | Series 2007-5R, Class A5, 6.500% due 7/26/36 | | | 9,658 | |
| | 87,667 | | | | | Series 2021-INV1, Class A3, 2.500% due 7/25/56(b)(c) | | | 74,883 | |
| | 134,882 | | | | | CSAB Mortgage-Backed Trust, Series 2006-4, Class A6A, step bond to yield, 6.184% due 12/25/36 | | | 33,839 | |
| | 300,000 | EUR | | | | CVC Cordatus Loan Fund XI DAC, Series 11A, Class AR, 0.650%
(3-Month EURIBOR + 0.650%) due 10/15/31(b)(c) | | | 291,890 | |
| | 434,865 | | | | | Deutsche Alternative-A Securities Mortgage Loan Trust, Series 2007-3, Class 2A1, 3.194% (1-Month USD-LIBOR + 0.750%) due 10/25/47(c) | | | 365,691 | |
| | 300,000 | EUR | | | | Dryden 27 Euro CLO DAC, Series 2017-27A, Class AR, 0.660%
(3-Month EURIBOR + 0.660%) due 4/15/33(b)(c) | | | 291,576 | |
| | 400,000 | | | | | Dryden 55 CLO Ltd., Series 2018-55A, Class A1, 3.532%
(3-Month USD-LIBOR + 1.020%) due 4/15/31(b)(c) | | | 395,619 | |
| | 292,303 | | | | | Dryden Senior Loan Fund, Series 2017-47A, Class A1R, 3.492%
(3-Month USD-LIBOR + 0.980%) due 4/15/28(b)(c) | | | 289,474 | |
| | 400,000 | | | | | Elevation CLO Ltd., Series 2017-8A, Class A1R2, 3.733%
(3-Month USD-LIBOR + 0.950%) due 10/25/30(b)(c) | | | 393,416 | |
| | 381,277 | | | | | Ellington Loan Acquisition Trust, Series 2007-2, Class A1, 3.494%
(1-Month USD-LIBOR + 1.050%) due 5/25/37(b)(c) | | | 372,426 | |
| | 116,952 | GBP | | | | Eurohome UK Mortgages PLC, Series 2007-1, Class A, 1.739%
(3-Month GBP-LIBOR + 0.150%) due 6/15/44(c) | | | 132,372 | |
| | 285,080 | GBP | | | | Eurosail-UK PLC, Series 2007-4X, Class A3, 2.414%
(Sterling Overnight Index Average + 1.069%) due 6/13/45(c) | | | 325,138 | |
| | 397,553 | | | | | Extended Stay America Trust, Series 2021-ESH, Class A, 3.472%
(1-Month USD-LIBOR + 1.080%) due 7/15/38(b)(c) | | | 390,071 | |
See Notes to Financial Statements.
243
| | | | | | | | | | |
| International Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | | | Security | | Value | |
|
| COLLATERALIZED MORTGAGE OBLIGATIONS — 22.8% — (continued) | |
| | | | | | Federal Home Loan Mortgage Corp. (FHLMC): | | | | |
| $ | 14,648 | | | | | Series T-35, Class A, 2.724% (1-Month USD-LIBOR + 0.280%) due 9/25/31(c) | | $ | 14,565 | |
| | 20,401 | | | | | Series T-62, Class 1A1, 2.059% (1-Year Treasury Average Rate + 1.200%) due 10/25/44(c) | | | 21,271 | |
| | | | | | Federal Home Loan Mortgage Corp. (FHLMC), REMICS: | | | | |
| | 12,575 | | | | | Series 2391, Class FJ, 2.891% (1-Month USD-LIBOR + 0.500%) due 4/15/28(c) | | | 12,589 | |
| | 25,101 | | | | | Series 2614, Class SJ, 13.087% (19.663% – 2.750% x 1-Month USD-LIBOR) due 5/15/33(d) | | | 26,389 | |
| | 94,723 | | | | | Series 4579, Class FD, 2.063% (1-Month USD-LIBOR + 0.350%) due 1/15/38(c) | | | 94,690 | |
| | 94,723 | | | | | Series 4579, Class SD, 0.631% due 1/15/38(c)(e) | | | 5,343 | |
| | 4,241 | | | | | Federal National Mortgage Association (FNMA), Grantor Trust, Series 2004-T3, Class 1A1, 6.000% due 2/25/44 | | | 4,399 | |
| | | | | | Federal National Mortgage Association (FNMA), REMICS: | | | | |
| | 4,389 | | | | | Series 2003-34, Class A1, 6.000% due 4/25/43 | | | 4,574 | |
| | 5,575 | | | | | Series 2006-48, Class TF, 2.844% (1-Month USD-LIBOR + 0.400%) due 6/25/36(c) | | | 5,558 | |
| | 57,424 | | | | | Series 2009-104, Class FA, 3.244% (1-Month USD-LIBOR + 0.800%) due 12/25/39(c) | | | 57,908 | |
| | 29,063 | | | | | Federal National Mortgage Association (FNMA), REMICS Trust, Series 2004-W12, Class 1A1, 6.000% due 7/25/44 | | | 30,271 | |
| | 24,235 | | | | | First Franklin Mortgage Loan Trust, Series 2005-FF9, Class A4, 3.164%
(1-Month USD-LIBOR + 0.720%) due 10/25/35(c) | | | 24,198 | |
| | 400,000 | | | | | FORT CRE Issuer LLC, Series 2022-FL3, Class A, 3.932%
(SOFR + 1.850%) due 2/23/39(b)(c) | | | 393,197 | |
| | 400,000 | | | | | Galaxy XV CLO Ltd., Series 2013-15A, Class ARR, 3.482%
(3-Month USD-LIBOR + 0.970%) due 10/15/30(b)(c) | | | 393,977 | |
| | 500,000 | | | | | Gallatin CLO VIII Ltd., Series 2017-1A, Class A1R, 3.602%
(3-Month USD-LIBOR + 1.090%) due 7/15/31(b)(c) | | | 491,772 | |
| | 15,557 | | | | | GMACM Mortgage Loan Trust, Series 2005-AR6, Class 3A1, 2.885% due 11/19/35(c) | | | 14,657 | |
| | | | | | Government National Mortgage Association (GNMA): | | | | |
| | 268,535 | | | | | Series 2016-H15, Class FA, 2.598% (1-Month USD-LIBOR + 0.800%) due 7/20/66(c) | | | 268,303 | |
| | 5,542 | | | | | Series 2017-121, Class PE, 3.000% due 7/20/46 | | | 5,416 | |
| | | | | | GS Mortgage-Backed Securities Corp. Trust: | | | | |
| | 376,152 | | | | | Series 2022-PJ2, Class A4, 2.500% due 6/25/52(b)(c) | | | 323,065 | |
| | 872,936 | | | | | Series 2022-PJ4, Class A4, 2.500% due 9/25/52(b)(c) | | | 749,985 | |
| | | | | | GS Mortgage-Backed Securities Trust: | | | | |
| | 178,433 | | | | | Series 2021-GR2, Class A2, 2.500% due 2/25/52(b)(c) | | | 153,524 | |
| | 91,929 | | | | | Series 2021-GR3, Class A2, 2.500% due 4/25/52(b)(c) | | | 78,983 | |
| | 364,582 | | | | | Series 2021-HP1, Class A2, 2.500% due 1/25/52(b)(c) | | | 311,416 | |
| | 90,274 | | | | | Series 2021-INV1, Class A2, 2.500% due 12/25/51(b)(c) | | | 77,671 | |
| | 280,949 | | | | | Series 2022-MM1, Class A2, 2.500% due 7/25/52(b)(c) | | | 240,328 | |
| | | | | | GSR Mortgage Loan Trust: | | | | |
| | 2,605 | | | | | Series 2003-1, Class A2, 2.880% (1-Year CMT Index + 1.750%) due 3/25/33(c) | | | 2,591 | |
| | 45,249 | | | | | Series 2005-AR7, Class 2A1, 3.057% due 11/25/35(c) | | | 45,042 | |
| | 400,000 | | | | | HalseyPoint CLO 3 Ltd., Series 2020-3A, Class A1A, 4.232%
(3-Month USD-LIBOR + 1.450%) due 11/30/32(b)(c) | | | 397,799 | |
| | | | | | Harborview Mortgage Loan Trust: | | | | |
| | 10,287 | | | | | Series 2005-2, Class 2A1A, 2.806% (1-Month USD-LIBOR + 0.440%) due 5/19/35(c) | | | 9,454 | |
| | 20,689 | | | | | Series 2005-3, Class 2A1A, 2.846% (1-Month USD-LIBOR + 0.480%) due 6/19/35(c) | | | 19,728 | |
| | 48,233 | | | | | Series 2006-SB1, Class A1A, 1.709% (1-Year Treasury Average Rate + 0.850%) due 12/19/36(c) | | | 43,867 | |
| | 69,821 | | | | | Series 2007-1, Class 2A1A, 2.626% (1-Month USD-LIBOR + 0.260%) due 3/19/37(c) | | | 63,937 | |
| | 296,632 | EUR | | | | Harvest CLO XI DAC, Series 2011-A, Class ARR, 0.650%
(3-Month EURIBOR + 0.650%) due 6/26/30(b)(c) | | | 291,670 | |
| | 16,746 | | | | | Homeward Opportunities Fund I Trust, Series 2020-2, Class A1, 1.657% due 5/25/65(b)(c) | | | 16,615 | |
| | | | | | JP Morgan Mortgage Trust: | | | | |
| | 2,197 | | | | | Series 2003-A2, Class 3A1, 2.255% due 11/25/33(c) | | | 2,115 | |
| | 499 | | | | | Series 2005-A1, Class 6T1, 2.580% due 2/25/35(c) | | | 477 | |
| | 267,400 | | | | | Series 2021-1, Class A3, 2.500% due 6/25/51(b)(c) | | | 228,260 | |
| | 359,813 | | | | | Series 2021-10, Class A3, 2.500% due 12/25/51(b)(c) | | | 303,641 | |
See Notes to Financial Statements.
244
| | | | | | | | | | |
| International Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | | | Security | | Value | |
|
| COLLATERALIZED MORTGAGE OBLIGATIONS — 22.8% — (continued) | |
| $ | 1,075,476 | | | | | Series 2021-INV4, Class A2, 3.000% due 1/25/52(b)(c) | | $ | 958,606 | |
| | 358,360 | | | | | Series 2021-INV5, Class A2, 3.000% due 12/25/51(b)(c) | | | 317,633 | |
| | 1,099,760 | | | | | Series 2021-INV8, Class A2, 3.000% due 5/25/52(b)(c) | | | 976,896 | |
| | 659,812 | | | | | Series 2022-INV1, Class A3, 3.000% due 3/25/52(b)(c) | | | 588,112 | |
| | 885,208 | | | | | Series 2022-LTV2, Class A3, 3.500% due 9/25/52(b)(c) | | | 813,712 | |
| | 2,691 | | | | | JPMorgan Resecuritization Trust, Series 2009-7, Class 17A1, 4.946% due 7/27/37(b)(c) | | | 2,684 | |
| | 405,474 | | | | | LCM XIII LP, Series 13A, Class AR3, 3.608%
(3-Month USD-LIBOR + 0.870%) due 7/19/27(b)(c) | | | 400,353 | |
| | 396,240 | GBP | | | | Ludgate Funding PLC, Series 2007-1, Class A2A, 1.849%
(3-Month GBP-LIBOR + 0.160%) due 1/1/61(c) | | | 433,735 | |
| | 400,000 | | | | | LUXE Trust, Series 2021-TRIP, Class A, 3.441%
(1-Month USD-LIBOR + 1.050%) due 10/15/38(b)(c) | | | 387,698 | |
| | 421,019 | | | | | Madison Park Funding XLI Ltd., Series 12A, Class AR, 3.589%
(3-Month USD-LIBOR + 0.830%) due 4/22/27(b)(c) | | | 416,177 | |
| | 385,036 | | | | | Madison Park Funding XXX Ltd., Series 2018-30A, Class A, 3.262%
(3-Month USD-LIBOR + 0.750%) due 4/15/29(b)(c) | | | 379,646 | |
| | 300,000 | | | | | Manhattan West Mortgage Trust, Series 2020-1MW, Class A, 2.130% due 9/10/39(b) | | | 264,764 | |
| | 250,000 | | | | | Marble Point CLO X Ltd., Series 2017-1A, Class AR, 3.552%
(3-Month USD-LIBOR + 1.040%) due 10/15/30(b)(c) | | | 245,799 | |
| | 2,951 | | | | | Merrill Lynch Mortgage Investors Trust, Series 2003-A2, Class 1A1, 2.728% due 2/25/33(c) | | | 2,691 | |
| | 99,010 | | | | | MF1 Multifamily Housing Mortgage Loan Trust, Series 2021-FL5, Class A, 3.261%
(1-Month Term SOFR + 0.964%) due 7/15/36(b)(c) | | | 98,453 | |
| | 217,551 | | | | | MFA Trust, Series 2020-NQM2, Class A1, 1.381% due 4/25/65(b)(c) | | | 208,772 | |
| | | | | | New Residential Mortgage Loan Trust: | | | | |
| | 216,637 | | | | | Series 2019-RPL3, Class A1, 2.750% due 7/25/59(b)(c) | | | 207,375 | |
| | 219,429 | | | | | Series 2020-RPL1, Class A1, 2.750% due 11/25/59(b)(c) | | | 208,520 | |
| | 443,193 | | | | | Series 2021-INV1, Class A2, 2.500% due 6/25/51(b)(c) | | | 381,874 | |
| | 489,299 | GBP | | | | Newgate Funding PLC, Series 2007-1X, Class A3, 1.578%
(3-Month GBP-LIBOR + 0.160%) due 12/1/50(c) | | | 532,148 | |
| | 400,000 | | | | | NovaStar Mortgage Funding Trust, Series 2006-1, Class A2D, 2.984%
(1-Month USD-LIBOR + 0.540%) due 5/25/36(c) | | | 375,727 | |
| | 400,000 | | | | | NYO Commercial Mortgage Trust, Series 2021-1290, Class A, 3.487%
(1-Month USD-LIBOR + 1.095%) due 11/15/38(b)(c) | | | 383,135 | |
| | 300,000 | | | | | One New York Plaza Trust, Series 2020-1NYP, Class A, 3.341%
(1-Month USD-LIBOR + 0.950%) due 1/15/36(b)(c) | | | 289,584 | |
| | 62,565 | | | | | Option One Mortgage Loan Trust, Series 2007-CP1, Class 1A1, 2.584%
(1-Month USD-LIBOR + 0.140%) due 3/25/37(c) | | | 57,404 | |
| | 500,000 | | | | | OZLM IX Ltd., Series 2014-9A, Class A1A3, 3.810%
(3-Month USD-LIBOR + 1.100%) due 10/20/31(b)(c) | | | 489,641 | |
| | 342,089 | | | | | PRET LLC, Series 2021-RN3, Class A1, step bond to yield, 1.843% due 9/25/51(b) | | | 320,517 | |
| | | | | | RALI Trust: | | | | |
| | 86,769 | | | | | Series 2006-QS6, Class 1A1, 6.000% due 6/25/36 | | | 74,215 | |
| | 42,005 | | | | | Series 2007-QO2, Class A1, 2.594% (1-Month USD-LIBOR + 0.150%) due 2/25/47(c) | | | 17,358 | |
| | 51,777 | CAD | | | | Real Estate Asset Liquidity Trust, Series 2018-1A, Class A1, 3.072% due 8/12/53(b) | | | 39,040 | |
| | | | | | Residential Asset Securitization Trust: | | | | |
| | 13,382 | | | | | Series 2005-A15, Class 5A1, 5.750% due 2/25/36 | | | 6,187 | |
| | 37,509 | | | | | Series 2006-R1, Class A2, 2.844% (1-Month USD-LIBOR + 0.400%) due 1/25/46(c) | | | 12,294 | |
| 148,006
| GBP
| | | | Residential Mortgage Securities 32 PLC, Series 32A, Class A, 2.652%
(Sterling Overnight Index Average + 1.250%) due 6/20/70(b)(c) | | | 171,642 | |
| 183,060
| GBP
| | | | ResLoC UK PLC, Series 2007-1X, Class A3B, 1.640%
(Sterling Overnight Index Average + 0.279%) due 12/15/43(c) | | | 205,574 | |
| 1,102,974
| GBP
| | | | Ripon Mortgages PLC, Series 1RA, Class A, 1.930%
(Sterling Overnight Index Average + 0.700%) due 8/28/56(b)(c) | | | 1,265,136 | |
See Notes to Financial Statements.
245
| | | | | | | | | | |
| International Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | | | Security | | Value | |
|
| COLLATERALIZED MORTGAGE OBLIGATIONS — 22.8% — (continued) | |
| | | | | | RMAC Securities No 1 PLC: | | | | |
| | 344,017 | GBP | | | | Series 2006-NS3X, Class A2A, 1.610%
(Sterling Overnight Index Average + 0.269%) due 6/12/44(c) | | $ | 381,681 | |
| 180,450
| GBP
| | | | Series 2006-NS1X, Class A2A, 1.610%
(Sterling Overnight Index Average + 0.269%) due 6/12/44(c) | | | 203,125 | |
| $ | 300,000 | | | | | Sculptor CLO XXV Ltd., Series 25A, Class A1, 3.782%
(3-Month USD-LIBOR + 1.270%) due 1/15/31(b)(c) | | | 295,430 | |
| 376,692
| EUR
| | | | Shamrock Residential DAC, Series 2022-1, Class A, 0.598%
(1-Month EURIBOR + 0.009%) due 1/24/61(c) | | | 372,016 | |
| | 900,000 | | | | | Signal Peak CLO 5 Ltd., Series 2018-5A, Class A, 3.893%
(3-Month USD-LIBOR + 1.110%) due 4/25/31(b)(c) | | | 888,668 | |
| | 175,792 | | | | | Sound Point CLO XIV Ltd., Series 2016-3A, Class AR2, 3.773%
(3-Month USD-LIBOR + 0.990%) due 1/23/29(b)(c) | | | 174,253 | |
| | 400,000 | | | | | Sound Point CLO XVII, Series 2017-3A, Class A1R, 3.690%
(3-Month USD-LIBOR + 0.980%) due 10/20/30(b)(c) | | | 395,476 | |
| | 1,107,596 | | | | | Soundview Home Loan Trust, Series 2006-3, Class A4, 2.944%
(1-Month USD-LIBOR + 0.500%) due 11/25/36(c) | | | 1,045,122 | |
| | 385,242 | GBP | | | | Stratton Mortgage Funding, Series 2021-2A, Class A, 1.855%
(3-Month Sterling Overnight Index Average + 0.900%) due 7/20/60(b)(c) | | | 444,933 | |
| | | | | | Structured Adjustable Rate Mortgage Loan Trust: | | | | |
| | 2,690 | | | | | Series 2004-1, Class 4A1, 3.641% due 2/25/34(c) | | | 2,585 | |
| | 6,295 | | | | | Series 2004-4, Class 3A2, 2.794% due 4/25/34(c) | | | 6,291 | |
| | 24,265 | | | | | Series 2004-19, Class 2A1, 2.259%
(1-Year Treasury Average Rate + 1.400%) due 1/25/35(c) | | | 21,075 | |
| | | | | | Structured Asset Mortgage Investments II Trust: | | | | |
| | 25,103 | | | | | Series 2005-AR2, Class 2A1, 2.904% (1-Month USD-LIBOR + 0.460%) due 5/25/45(c) | | | 22,624 | |
| | 38,780 | | | | | Series 2005-AR8, Class A1A, 3.004% (1-Month USD-LIBOR + 0.560%) due 2/25/36(c) | | | 34,932 | |
| | 17,375 | | | | | Series 2006-AR5, Class 1A1, 2.864% (1-Month USD-LIBOR + 0.420%) due 5/25/36(c) | | | 13,782 | |
| | 108,417 | | | | | Series 2007-AR4, Class A3, 2.664% (1-Month USD-LIBOR + 0.220%) due 9/25/47(c) | | | 92,426 | |
| | 61,267 | | | | | Series 2007-AR6, Class A1, 2.359%
(1-Year Treasury Average Rate + 1.500%) due 8/25/47(c) | | | 56,304 | |
| | 49,296 | | | | | Structured Asset Securities Corp., Series 2006-RF1, Class 1A, 2.724%
(1-Month USD-LIBOR + 0.280%) due 1/25/36(b)(c) | | | 47,539 | |
| | 29,789 | | | | | Symphony CLO XIV Ltd., Series 2014-14A, Class AR, 3.433%
(3-Month USD-LIBOR + 0.950%) due 7/14/26(b)(c) | | | 29,692 | |
| | 400,000 | | | | | TCI-Symphony CLO Ltd., Series 2017-1A, Class AR, 3.442%
(3-Month USD-LIBOR + 0.930%) due 7/15/30(b)(c) | | | 396,188 | |
| | 400,000 | | | | | THL Credit Wind River CLO Ltd., Series 2019-3A, Class AR, 3.592%
(3-Month USD-LIBOR + 1.080%) due 4/15/31(b)(c) | | | 391,248 | |
| 427,194
| GBP
| | | | Towd Point Mortgage Funding, Series 2019-A13A, Class A1, 2.474%
(Sterling Overnight Index Average + 0.900%) due 7/20/45(b)(c) | | | 495,789 | |
| 246,162
| GBP
| | | | Towd Point Mortgage Funding Auburn 14 PLC, Series 2020-A14X, Class A, 2.060%
(3-Month Sterling Overnight Index Average + 0.900%) due 5/20/45(c) | | | 284,956 | |
| | | | | | Towd Point Mortgage Trust: | | | | |
| | 677,805 | | | | | Series 2019-4, Class A1, 2.900% due 10/25/59(b)(c) | | | 653,725 | |
| | 181,139 | | | | | Series 2020-1, Class A1, 2.710% due 1/25/60(b)(c) | | | 174,219 | |
| 152,993
| GBP
| | | | Trinity Square PLC, Series 2021-1A, Class A, 2.400%
(Sterling Overnight Index Average + 0.850%) due 7/15/59(b)(c) | | | 176,166 | |
| | 172,426 | | | | | US Capital Funding II Ltd./US Capital Funding II Corp., 3.532%
(3-Month USD-LIBOR + 0.750%) due 8/1/34(b)(c) | | | 170,055 | |
| | | | | | UWM Mortgage Trust: | | | | |
| | 469,335 | | | | | Series 2021-INV3, Class A3, 2.500% due 11/25/51(b)(c) | | | 403,815 | |
| | 281,265 | | | | | Series 2021-INV4, Class A3, 2.500% due 12/25/51(b)(c) | | | 240,249 | |
| | 95,120 | | | | | Series 2021-INV5, Class A12, 3.000% due 1/25/52(b)(c) | | | 84,309 | |
See Notes to Financial Statements.
246
| | | | | | | | | | |
| International Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | | | Security | | Value | |
|
| COLLATERALIZED MORTGAGE OBLIGATIONS — 22.8% — (continued) | |
| $ | 400,000 | | | | | Venture 38 CLO Ltd., Series 2019-38A, Class A1R, 3.942%
(3-Month USD-LIBOR + 1.160%) due 7/30/32(b)(c) | | $ | 390,465 | |
| | 69,866 | | | | | Venture XVII CLO Ltd., Series 2014-17A, Class ARR, 3.392%
(3-Month USD-LIBOR + 0.880%) due 4/15/27(b)(c) | | | 69,463 | |
| | 184,481 | | | | | Vibrant CLO VI Ltd., Series 2017-6A, Class AR, 3.046%
(3-Month USD-LIBOR + 0.950%) due 6/20/29(b)(c) | | | 182,674 | |
| | 300,000 | | | | | Vibrant CLO VII Ltd., Series 2017-7A, Class A1R, 3.750%
(3-Month USD-LIBOR + 1.040%) due 9/15/30(b)(c) | | | 295,610 | |
| | 394,784 | | | | | Voya CLO Ltd., Series 2017-1A, Class A1R, 3.690%
(3-Month USD-LIBOR + 0.950%) due 4/17/30(b)(c) | | | 388,960 | |
| | | | | | WaMu Mortgage Pass-Through Certificates Trust: | | | | |
| | 4,978 | | | | | Series 2002-AR9, Class 1A, 2.259%
(1-Year Treasury Average Rate + 1.400%) due 8/25/42(c) | | | 4,717 | |
| | 1,270 | | | | | Series 2003-AR5, Class A7, 3.206% due 6/25/33(c) | | | 1,223 | |
| | 58,268 | | | | | Series 2003-AR9, Class 2A, 4.024% due 9/25/33(c) | | | 54,721 | |
| | 126,607 | | | | | Series 2004-AR1, Class A, 2.468% due 3/25/34(c) | | | 126,185 | |
| | 16,545 | | | | | Series 2005-AR13, Class A1A1, 3.024% (1-Month USD-LIBOR + 0.580%) due 10/25/45(c) | | | 15,796 | |
| | 22,735 | | | | | Series 2006-AR10, Class 2A1, 3.443% due 9/25/36(c) | | | 19,500 | |
| | 38,548 | | | | | Series 2006-AR13, Class 2A, 2.359%
(1-Year Treasury Average Rate + 1.500%) due 10/25/46(c) | | | 35,329 | |
| | 16,209 | | | | | Washington Mutual Mortgage Pass-Through Certificates WMALT,
Series 2006-AR5, Class 3A, 1.799%
(1-Year Treasury Average Rate + 0.940%) due 7/25/46(c) | | | 10,468 | |
| | 45,411 | | | | | Washington Mutual MSC Mortgage Pass-Through Certificates Trust, Series 2002-AR3, Class 1A7, 2.639% due 12/25/32(c) | | | 44,055 | |
| | 398,361 | | | | | Wind River CLO Ltd., Series 2014-1A, Class ARR, 3.790%
(3-Month USD-LIBOR + 1.050%) due 7/18/31(b)(c) | | | 392,421 | |
| | | | | | | | | | |
| | | | | | TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost — $42,330,690) | | | 39,077,916 | |
| | | | | | | | | | |
|
| MORTGAGE-BACKED SECURITIES — 15.7% | |
|
| FHLMC — 0.1% | |
| | | | | | Federal Home Loan Mortgage Corp. (FHLMC): | | | | |
| | 34,342 | | | | | 3.500% due 10/1/39 | | | 33,332 | |
| | 99,032 | | | | | 2.000% due 3/1/52 | | | 85,614 | |
| | | | | | | | | | |
| | | | | | Total FHLMC | | | 118,946 | |
| | | | | | | | | | |
|
| FNMA — 15.6% | |
| | | | | | Federal National Mortgage Association (FNMA): | | | | |
| | 375,544 | | | | | 3.500% due 10/1/34 – 6/1/50 | | | 363,015 | |
| | 5,850,000 | | | | | 3.500% due 10/1/52(f) | | | 5,582,784 | |
| | 16,554 | | | | | 2.928% (1-Year CMT Index + 2.360%) due 11/1/34(c) | | | 17,107 | |
| | 1,677 | | | | | 6.500% due 8/1/37 | | | 1,682 | |
| | 457,126 | | | | | 3.000% due 10/1/49 – 5/1/51 | | | 425,746 | |
| | 5,150,000 | | | | | 3.000% due 10/1/52(f) | | | 4,771,726 | |
| | 101,390 | | | | | 4.000% due 6/1/50 | | | 100,027 | |
| | 10,350,000 | | | | | 4.000% due 10/1/52(f) | | | 10,114,388 | |
| | 490,993 | | | | | 2.000% due 3/1/52 | | | 424,525 | |
| | 5,000,000 | | | | | 4.500% due 10/1/52(f) | | | 4,973,815 | |
| | | | | | | | | | |
| | | | | | Total FNMA | | | 26,774,815 | |
| | | | | | | | | | |
| | |
| GNMA — 0.0% | | | | | |
| | 1,534 | | | | | Government National Mortgage Association II (GNMA), 6.000% due 9/20/38 | | | 1,570 | |
| | | | | | | | | | |
| | | | | | TOTAL MORTGAGE-BACKED SECURITIES
(Cost — $27,494,961) | | | 26,895,331 | |
| | | | | | | | | | |
See Notes to Financial Statements.
247
| | | | | | | | | | |
| International Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | | | Security | | Value | |
|
| CORPORATE BONDS & NOTES — 11.3% | |
|
| Canada — 0.1% | |
| | 100,000 | EUR | | | | Fairfax Financial Holdings Ltd., Senior Unsecured Notes, 2.750% due 3/29/28(b) | | $ | 92,393 | |
| | | | | | | | | | |
|
| Cayman Islands — 0.2% | |
| $ | 200,000 | | | | | Sands China Ltd., Senior Unsecured Notes, 5.900% due 8/8/28 | | | 171,566 | |
| | | | | | | | | | |
|
| Denmark — 2.1% | |
| | | | | | Jyske Realkredit AS, Covered Notes: | | | | |
| | 6,087,328 | DKK | | | | 1.000% due 10/1/50 | | | 620,606 | |
| | 491,400 | DKK | | | | 1.500% due 10/1/53 | | | 53,526 | |
| | | | | | Nordea Kredit Realkreditaktieselskab, Covered Notes: | | | | |
| | 1 | DKK | | | | 1.500% due 10/1/37 | | | — | |
| | 9,792,789 | DKK | | | | 1.000% due 10/1/50 | | | 970,617 | |
| | 1 | DKK | | | | 1.500% due 10/1/50 | | | — | |
| | 396,640 | DKK | | | | 1.500% due 10/1/53 | | | 41,230 | |
| | | | | | Nykredit Realkredit AS, Covered Notes: | | | | |
| | 10,662,128 | DKK | | | | 1.000% due 10/1/50 | | | 1,067,691 | |
| | 1 | DKK | | | | 1.500% due 10/1/50 | | | — | |
| | 3,611,339 | DKK | | | | 1.000% due 10/1/53 | | | 369,970 | |
| | 3,183,714 | DKK | | | | 1.500% due 10/1/53 | | | 331,001 | |
| | | | | | Realkredit Danmark AS, Covered Notes: | | | | |
| | 1,267,858 | DKK | | | | 1.000% due 10/1/50 | | | 131,252 | |
| | 797,569 | DKK | | | | 1.500% due 10/1/53 | | | 82,652 | |
| | | | | | | | | | |
| | | | | | Total Denmark | | | 3,668,545 | |
| | | | | | | | | | |
|
| France — 0.9% | |
| | | | | | BNP Paribas SA, Senior Unsecured Notes: | | | | |
| | 200,000 | | | | | 3.800% due 1/10/24(b) | | | 198,746 | |
| | 200,000 | | | | | 2.159% (SOFR + 1.218%) due 9/15/29(b)(c) | | | 165,072 | |
| | 300,000 | | | | | 5.198% (3-Month USD-LIBOR + 2.567%) due 1/10/30(b)(c) | | | 293,472 | |
| | 200,000 | | | | | 3.132% (SOFR + 1.561%) due 1/20/33(b)(c) | | | 163,434 | |
| | | | | | Societe Generale SA: | | | | |
| | 200,000 | | | | | Junior Subordinated Notes, 6.750% (5-Year USD Swap Rate + 3.929%)(b)(c)(g) | | | 180,253 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 300,000 | | | | | 2.889% (1-Year CMT Index + 1.300%) due 6/9/32(b)(c) | | | 235,947 | |
| | 400,000 | | | | | 3.337% (1-Year CMT Index + 1.600%) due 1/21/33(b)(c) | | | 322,990 | |
| | | | | | | | | | |
| | | | | | Total France | | | 1,559,914 | |
| | | | | | | | | | |
|
| Germany — 1.2% | |
| | | | | | Deutsche Bank AG, Senior Unsecured Notes: | | | | |
| | 200,000 | | | | | 3.300% due 11/16/22 | | | 199,676 | |
| | 100,000 | GBP | | | | 2.625% due 12/16/24 | | | 107,723 | |
| | 100,000 | EUR | | | | 1.000% (1.600% – 3-Month EURIBOR) due 11/19/25(d) | | | 93,751 | |
| | 350,000 | | | | | 3.961% (SOFR + 2.581%) due 11/26/25(c) | | | 335,822 | |
| | 300,000 | EUR | | | | 2.625% due 2/12/26 | | | 285,009 | |
| | 200,000 | EUR | | | | 1.625% due 1/20/27 | | | 175,900 | |
| | 400,000 | | | | | 2.552% (SOFR + 1.318%) due 1/7/28(c) | | | 341,618 | |
| | 200,000 | EUR | | | | 1.750% (2.050% – 3-Month EURIBOR) due 11/19/30(d) | | | 159,850 | |
| | 200,000 | | | | | Deutsche Bank AG, (Restricted, cost – $200,406, acquired 1/21/21), Subordinated Notes, 3.729% (SOFR + 2.757%) due 1/14/32(c)(h) | | | 147,584 | |
| | 300,000 | | | | | IHO Verwaltungs GmbH, Senior Secured Notes, 6.000%
(6.000% cash or 6.750% PIK) due 5/15/27(b)(i) | | | 267,073 | |
| | | | | | | | | | |
| | | | | | Total Germany | | | 2,114,006 | |
| | | | | | | | | | |
See Notes to Financial Statements.
248
| | | | | | | | | | |
| International Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | | | Security | | Value | |
|
| Italy — 0.1% | |
| | | | | | Banca Monte dei Paschi di Siena SpA: | | | | |
| | 100,000 | EUR | | | | Senior Unsecured Notes, 2.625% due 4/28/25 | | $ | 86,508 | |
| | 100,000 | EUR | | | | Covered Notes, 0.875% due 10/8/26 | | | 92,713 | |
| | | | | | | | | | |
| | | | | | Total Italy | | | 179,221 | |
| | | | | | | | | | |
|
| Japan — 0.2% | |
| $ | 200,000 | | | | | Nissan Motor Co., Ltd., Senior Unsecured Notes, 4.345% due 9/17/27(b) | | | 185,570 | |
| | 200,000 | | | | | Nomura Holdings Inc., Senior Unsecured Notes, 2.329% due 1/22/27 | | | 178,439 | |
| | | | | | | | | | |
| | | | | | Total Japan | | | 364,009 | |
| | | | | | | | | | |
|
| Luxembourg — 0.1% | |
| | 100,000 | EUR | | | | CPI Property Group SA, Senior Unsecured Notes, 1.500% due 1/27/31 | | | 69,505 | |
| | | | | | | | | | |
|
| Netherlands — 0.3% | |
| | 500,000 | | | | | ING Groep NV, Junior Subordinated Notes, 3.875%
(5-Year CMT Index + 2.862%)(c)(g) | | | 372,565 | |
| | 52,525 | EUR | | | | Stichting AK Rabobank Certificaten, Junior Subordinated Notes, step bond to yield, 6.500%(g) | | | 53,092 | |
| | | | | | | | | | |
| | | | | | Total Netherlands | | | 425,657 | |
| | | | | | | | | | |
|
| Qatar — 0.2% | |
| | | | | | Qatar Energy, Senior Unsecured Notes: | | | | |
| | 200,000 | | | | | 2.250% due 7/12/31(b) | | | 174,825 | |
| | 200,000 | | | | | 3.125% due 7/12/41(b) | | | 163,163 | |
| | | | | | | | | | |
| | | | | | Total Qatar | | | 337,988 | |
| | | | | | | | | | |
|
| Spain — 0.2% | |
| 200,000
| EUR
| | | | Banco Bilbao Vizcaya Argentaria SA, Junior Subordinated Notes, 5.875%
(5-Year EUR Swap Rate + 5.660%)(c)(g) | | | 194,122 | |
| | 200,000 | EUR | | | | CaixaBank SA, Junior Subordinated Notes, 6.750%
(5-Year EUR Swap Rate + 6.498%)(c)(g) | | | 194,236 | |
| | | | | | | | | | |
| | | | | | Total Spain | | | 388,358 | |
| | | | | | | | | | |
|
| Supranational — 0.5% | |
| | | | | | European Investment Bank, Senior Unsecured Notes: | | | | |
| | 500,000 | AUD | | | | 0.500% due 6/21/23 | | | 334,049 | |
| | 800,000 | AUD | | | | 0.500% due 8/10/23 | | | 532,135 | |
| | | | | | | | | | |
| | | | | | Total Supranational | | | 866,184 | |
| | | | | | | | | | |
|
| Switzerland — 1.0% | |
| | | | | | Credit Suisse Group AG: | | | | |
| | | | | | Junior Subordinated Notes: | | | | |
| | 200,000 | | | | | 6.250% (5-Year USD Swap Rate + 3.455%)(b)(c)(g) | | | 180,193 | |
| | 200,000 | | | | | 7.500% (5-Year USD Swap Rate + 4.598%)(b)(c)(g) | | | 190,296 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 300,000 | | | | | 2.997% (3-Month USD-LIBOR + 1.200%) due 12/14/23(b)(c) | | | 297,963 | |
| | 250,000 | | | | | 4.282% due 1/9/28(b) | | | 224,954 | |
| | 250,000 | | | | | 3.869% (3-Month USD-LIBOR + 1.410%) due 1/12/29(b)(c) | | | 217,146 | |
| | 600,000 | | | | | 6.537% (SOFR + 3.920%) due 8/12/33(b)(c) | | | 574,839 | |
| | | | | | | | | | |
| | | | | | Total Switzerland | | | 1,685,391 | |
| | | | | | | | | | |
|
| United Kingdom — 1.9% | |
| | 600,000 | | | | | Barclays Bank PLC, Subordinated Notes, 7.625% due 11/21/22 | | | 603,108 | |
| 600,000
| GBP
| | | | Barclays PLC, Junior Subordinated Notes, 7.125%
(5-Year UK Government Note Generic Bid Yield + 6.579%)(c)(g) | | | 666,932 | |
| | 100,000 | | | | | British Telecommunications PLC, Senior Unsecured Notes, 9.625% due 12/15/30 | | | 123,619 | |
| | | | | | HSBC Holdings PLC, Senior Unsecured Notes: | | | | |
| | 300,000 | | | | | 3.961% (3-Month USD-LIBOR + 1.000%) due 5/18/24(c) | | | 298,712 | |
| | 200,000 | | | | | 4.041% (3-Month USD-LIBOR + 1.546%) due 3/13/28(c) | | | 188,629 | |
See Notes to Financial Statements.
249
| | | | | | | | | | |
| International Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | | | Security | | Value | |
|
| United Kingdom — 1.9% — (continued) | |
| | 100,000 | GBP | | | | John Lewis PLC, Senior Unsecured Notes, 6.125% due 1/21/25 | | $ | 116,965 | |
| | 200,000 | GBP | | | | Marks & Spencer PLC, Senior Unsecured Notes, 4.250% due 12/8/23 | | | 226,394 | |
| | | | | | Nationwide Building Society, Senior Unsecured Notes: | | | | |
| $ | 200,000 | | | | | 3.766% (3-Month USD-LIBOR + 1.064%) due 3/8/24(b)(c) | | | 199,295 | |
| | 300,000 | | | | | 2.972% (SOFR + 1.290%) due 2/16/28(b)(c) | | | 270,954 | |
| | 100,000 | GBP | | | | Rolls-Royce PLC, Company Guaranteed Notes, 5.750% due 10/15/27 | | | 108,942 | |
| | 400,000 | | | | | Santander UK Group Holdings PLC, Senior Unsecured Notes, 4.796%
(3-Month USD-LIBOR + 1.570%) due 11/15/24(c) | | | 398,803 | |
| | 93,926 | GBP | | | | Tesco Property Finance 4 PLC, Senior Secured Notes, 5.801% due 10/13/40 | | | 108,549 | |
| | | | | | | | | | |
| | | | | | Total United Kingdom | | | 3,310,902 | |
| | | | | | | | | | |
|
| United States — 2.4% | |
| | 100,000 | EUR | | | | AT&T Inc., Junior Subordinated Notes, 2.875%
(3.140% – 5-Year EURIBOR ICE Swap Rate)(d)(g) | | | 91,186 | |
| | 200,000 | | | | | Bank of America Corp., Junior Subordinated Notes, 5.875%
(3-Month USD-LIBOR + 2.931%)(c)(g) | | | 181,500 | |
| | | | | | Broadcom Inc.: | | | | |
| | 81,000 | | | | | Company Guaranteed Notes, 4.150% due 11/15/30 | | | 74,189 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 10,000 | | | | | 3.187% due 11/15/36(b) | | | 7,481 | |
| | 108,000 | | | | | 4.926% due 5/15/37(b) | | | 96,834 | |
| | 58,000 | | | | | Campbell Soup Co., Senior Unsecured Notes, 3.650% due 3/15/23 | | | 57,960 | |
| | 200,000 | | | | | Dell International LLC/EMC Corp., Senior Unsecured Notes, 4.900% due 10/1/26 | | | 201,145 | |
| | 100,000 | EUR | | | | Fidelity National Information Services Inc., Company Guaranteed Notes, 0.750% due 5/21/23 | | | 99,885 | |
| | | | | | Ford Motor Credit Co. LLC, Senior Unsecured Notes: | | | | |
| | 200,000 | | | | | 4.250% due 9/20/22 | | | 200,172 | |
| | 200,000 | | | | | 3.550% due 10/7/22 | | | 199,950 | |
| | 100,000 | GBP | | | | 2.748% due 6/14/24 | | | 109,285 | |
| | 100,000 | EUR | | | | 1.320% (3-Month EURIBOR + 0.700%) due 12/1/24(c) | | | 95,831 | |
| | 200,000 | | | | | 5.125% due 6/16/25 | | | 195,367 | |
| | 150,000 | | | | | GA Global Funding Trust, Secured Notes, 2.250% due 1/6/27(b) | | | 135,138 | |
| | | | | | Goldman Sachs Group Inc.(The), Senior Unsecured Notes: | | | | |
| | 400,000 | | | | | 3.615% (SOFR + 1.846%) due 3/15/28(c) | | | 379,347 | |
| | 600,000 | | | | | 3.102% (SOFR + 1.410%) due 2/24/33(c) | | | 511,739 | |
| | 100,000 | | | | | Hyatt Hotels Corp., Senior Unsecured Notes, 1.300% due 10/1/23 | | | 97,020 | |
| | 400,000 | | | | | JPMorgan Chase & Co., Senior Unsecured Notes, 4.565%
(SOFR + 1.750%) due 6/14/30(c) | | | 389,255 | |
| | 1,300,000 | | | | | Lehman Brothers Holdings Inc., Senior Unsecured Notes, zero coupon due 5/25/49(a) | | | 5,525 | |
| | 300,000 | | | | | Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., Senior Secured Notes, 6.500% due 6/20/27(b) | | | 301,128 | |
| | | | | | Pacific Gas & Electric Co., 1st Mortgage Notes: | | | | |
| | 100,000 | | | | | 3.450% due 7/1/25 | | | 95,647 | |
| | 200,000 | | | | | 4.400% due 3/1/32 | | | 176,268 | |
| | 100,000 | | | | | Principal Life Global Funding II, Secured Notes, 1.375% due 1/10/25(b) | | | 93,341 | |
| | 100,000 | | | | | Santander Holdings USA Inc., Senior Unsecured Notes, 3.400% due 1/18/23 | | | 99,719 | |
| | 200,000 | | | | | Wells Fargo & Co., Senior Unsecured Notes, 3.908%
(SOFR + 1.320%) due 4/25/26(c) | | | 196,150 | |
| | | | | | | | | | |
| | | | | | Total United States | | | 4,091,062 | |
| | | | | | | | | | |
| | | | | | TOTAL CORPORATE BONDS & NOTES
(Cost — $23,495,032) | | | 19,324,701 | |
| | | | | | | | | | |
|
| U.S. GOVERNMENT OBLIGATIONS — 2.7% | |
| | 500,000 | | | | | U.S. Treasury Bonds, 2.875% due 5/15/52 | | | 462,891 | |
| | | | | | U.S. Treasury Bonds: | | | | |
| | 200,000 | | | | | 1.375% due 11/15/40 | | | 141,426 | |
| | 1,300,000 | | | | | 1.875% due 2/15/41 | | | 1,000,898 | |
See Notes to Financial Statements.
250
| | | | | | | | | | |
| International Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | | | Security | | Value | |
|
| U.S. GOVERNMENT OBLIGATIONS — 2.7% — (continued) | |
| | | | | | U.S. Treasury Inflation Indexed Notes: | | | | |
| $ | 1,201,270 | | | | | 0.500% due 1/15/28(j) | | $ | 1,189,405 | |
| | 331,665 | | | | | 0.125% due 7/15/31 | | | 316,831 | |
| | 962,037 | | | | | 0.125% due 1/15/32 | | | 914,960 | |
| | 600,000 | | | | | U.S. Treasury Notes, 2.875% due 4/30/25(k) | | | 590,859 | |
| | | | | | | | | | |
| | | | | | TOTAL U.S. GOVERNMENT OBLIGATIONS
(Cost — $4,940,591) | | | 4,617,270 | |
| | | | | | | | | | |
|
| ASSET-BACKED SECURITIES — 0.5% | |
|
| Automobiles — 0.2% | |
| | 400,000 | | | | | Toyota Auto Loan Extended Notes Trust, Series 2019-1A, Class A, 2.560% due 11/25/31(b) | | | 389,934 | |
| | | | | | | | | | |
|
| Student Loans — 0.3% | |
| | 43,221 | | | | | Massachusetts Educational Financing Authority, Series 2008-1, Class A1, 3.733%
(3-Month USD-LIBOR + 0.950%) due 4/25/38(c) | | | 43,414 | |
| | 387,338 | | | | | SMB Private Education Loan Trust, Series 2022-B, Class A1B, 3.333%
(SOFR + 1.450%) due 2/16/55(b)(c) | | | 381,593 | |
| | | | | | | | | | |
| | | | | | Total Student Loans | | | 425,007 | |
| | | | | | | | | | |
| | | | | | TOTAL ASSET-BACKED SECURITIES
(Cost — $830,506) | | | 814,941 | |
| | | | | | | | | | |
|
| MUNICIPAL BOND — 0.1% | |
|
| United States — 0.1% | |
| | 100,000 | | | | | New Jersey Transportation Trust Fund Authority, 4.131% due 6/15/42
(Cost — $116,695) | | | 87,873 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS
(Cost — $159,269,649) | | | 137,975,882 | |
| | | | | | | | | | |
|
| | SHORT-TERM INVESTMENTS — 32.1% | |
|
| | BANKER’S ACCEPTANCE — 0.5% | |
| | 1,100,000 | CAD | | | | Bank of Nova Scotia (The), 3.392% due 11/10/22(l)
(Cost — $854,981) | | | 832,343 | |
| | | | | | | | | | |
|
| REPURCHASE AGREEMENT — 2.1% | |
| | 3,600,000 | | | | | Scotia Capital (USA) Inc. repurchase agreement dated 8/31/22, 2.300% due 9/1/22, Proceeds at maturity - $3,600,230; (Fully collateralized by U.S. Treasury Notes, 0.875% due 9/30/26; Market Valued - $3,666,642)
(Cost — $3,600,000) | | | 3,600,000 | |
| | | | | | | | | | |
|
| SOVEREIGN BONDS — 27.0% | |
| | | |
| Israel — 2.7% | | | | | | | | |
| | | | | | Bank of Israel Bills – Makam: | | | | |
| | 3,200,000 | ILS | | | | 0.008% due 11/2/22(l) | | | 960,904 | |
| | 2,900,000 | ILS | | | | (0.003)% due 12/7/22(l) | | | 870,856 | |
| | 3,800,000 | ILS | | | | 0.851% due 3/2/23(l) | | | 1,136,279 | |
| | 5,700,000 | ILS | | | | 0.818% due 4/5/23(l) | | | 1,703,405 | |
| | | | | | | | | | |
| | | | | | Total Israel | | | 4,671,444 | |
| | | | | | | | | | |
| | | |
| Japan — 24.3% | | | | | | | | |
| | | | | | Japan Treasury Discount Bills: | | | | |
| | 183,000,000 | JPY | | | | (0.120)% due 9/12/22(l) | | | 1,317,824 | |
| | 1,790,000,000 | JPY | | | | (0.143)% due 9/20/22(l) | | | 12,891,103 | |
| | 360,000,000 | JPY | | | | (0.134)% due 10/3/22(l) | | | 2,592,565 | |
| | 1,170,000,000 | JPY | | | | (0.147)% due 10/11/22(l) | | | 8,426,082 | |
| | 780,000,000 | JPY | | | | (0.139)% due 10/17/22(l) | | | 5,617,269 | |
| | 230,000,000 | JPY | | | | (0.161)% due 10/24/22(l) | | | 1,656,472 | |
See Notes to Financial Statements.
251
| | | | | | | | | | |
| International Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | | | Security | | Value | |
| |
| Japan — 24.3% — (continued) | | | |
| | 680,000,000 | JPY | | | | (0.150)% due 10/31/22(l) | | $ | 4,897,263 | |
| | 180,000,000 | JPY | | | | (0.133)% due 11/7/22(l) | | | 1,296,280 | |
| | 280,000,000 | JPY | | | | (0.113)% due 11/14/22(l) | | | 2,016,333 | |
| | 70,000,000 | JPY | | | | (0.130)% due 11/21/22(l) | | | 504,104 | |
| | 70,000,000 | JPY | | | | (0.113)% due 11/28/22(l) | | | 504,084 | |
| | | | | | | | | | |
| | | | | | Total Japan | | | 41,719,379 | |
| | | | | | | | | | |
| | | | | | TOTAL SOVEREIGN BONDS
(Cost — $47,830,623) | | | 46,390,823 | |
| | | | | | | | | | |
|
| TIME DEPOSITS — 2.2% | |
| | 40,054 | AUD | | | | ANZ National Bank – London, 0.830% due 9/1/22 | | | 27,407 | |
| $ | 1,423,661 | | | | | Barclays Bank PLC – London, 1.680% due 9/1/22 | | | 1,423,661 | |
| | | | | | BBH – Grand Cayman: | | | | |
| | 650,803 | DKK | | | | (0.120)% due 9/1/22 | | | 87,925 | |
| | 19,710 | SEK | | | | 0.200% due 9/1/22 | | | 1,848 | |
| | 4,716 | NOK | | | | 0.800% due 9/1/22 | | | 474 | |
| | 75,926 | GBP | | | | 0.870% due 9/1/22 | | | 88,200 | |
| | 44,478 | NZD | | | | 1.500% due 9/1/22 | | | 27,216 | |
| | 716,398 | ZAR | | | | 3.500% due 9/1/22 | | | 41,829 | |
| | 63,351 | CHF | | | | BNP Paribas – Paris, (0.670)% due 9/1/22 | | | 64,816 | |
| | 463,075 | EUR | | | | Citibank – London, (0.130)% due 9/1/22 | | | 465,298 | |
| | 452 | HKD | | | | HSBC Bank – Hong Kong, 0.460% due 9/1/22 | | | 58 | |
| | 89,985 | SGD | | | | HSBC Bank – Singapore, 1.350% due 9/1/22 | | | 64,397 | |
| | 1,274,778 | | | | | JPMorgan Chase & Co. – New York, 1.680% due 9/1/22 | | | 1,274,778 | |
| | 21,944,840 | JPY | | | | Sumitomo Mitsui Banking Corp. – Tokyo, (0.350)% due 9/1/22 | | | 157,984 | |
| | | | | | | | | | |
| | | | | | TOTAL TIME DEPOSITS
(Cost — $3,725,891) | | | 3,725,891 | |
| | | | | | | | | | |
|
| U.S. GOVERNMENT OBLIGATIONS — 0.3% | |
| | | | | | U.S. Treasury Bills: | | | | |
| | 332,000 | | | | | 2.288% due 10/27/22(l) | | | 330,825 | |
| | 211,000 | | | | | 2.518% due 11/10/22(l) | | | 209,973 | |
| | | | | | | | | | |
| | | | | | TOTAL U.S. GOVERNMENT OBLIGATIONS
(Cost — $540,798) | | | 540,798 | |
| | | | | | | | | | |
| | | | | | TOTAL SHORT-TERM INVESTMENTS
(Cost — $56,552,293) | | | 55,089,855 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS IN SECURITIES
(Cost — $215,821,942) | | | 193,065,737 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS IN PURCHASED OPTIONS
(Cost — $32,257) | | | 106,779 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS — 112.7%
(Cost — $215,854,199) | | | 193,172,516 | |
| | | | | | | | | | |
| | | | | | Liabilities in Excess of Other Assets — (12.7)% | | | (21,747,148 | ) |
| | | | | | | | | | |
| | | | | | TOTAL NET ASSETS — 100.0% | | $ | 171,425,368 | |
| | | | | | | | | | |
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
| (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 August 31, 2022, amounts to $48,169,592 and represents 28.1% of net assets. |
| (c) | Variable rate security. Interest rate disclosed is that which was in effect at August 31, 2022. |
| (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 August 31, 2022. |
See Notes to Financial Statements.
252
| | | | | | |
| International Fixed Income Fund |
| (e) | Interest only security. |
| (f) | This security is traded on a TBA basis (see Note 1). |
| (g) | Security is perpetual in nature and has no stated maturity date. |
| (h) | The aggregate value of restricted securities (excluding 144A holdings) at August 31, 2022, amounts to $147,584 and represents 0.1% of net assets. |
| (i) | Payment in-kind security for which part of the income earned may be paid as additional principal. |
| (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 August 31, 2022, 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 | | $ | 223,327,620 | | | $ | 11,443,194 | | | $ | (39,350,535) | | | $ | (27,907,341) | |
| | |
Abbreviations used in this schedule: |
| CLO | | — Collateralized Loan Obligation |
| CMT | | — Constant Maturity Treasury Rate |
| CPI | | — Consumer Price Index |
| 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 Conduits |
| SOFR | | — Secured Overnight Financing Rate |
| | | | |
| Summary of Investments by Security Type^ | | | |
Sovereign Bonds | | | 24.5 | % |
Collateralized Mortgage Obligations | | | 20.2 | |
Mortgage-Backed Securities | | | 13.9 | |
Corporate Bonds & Notes | | | 10.0 | |
U.S. Government Obligations | | | 2.4 | |
Asset-Backed Securities | | | 0.4 | |
Municipal Bond | | | 0.0 | * |
Purchased Options | | | 0.1 | |
Short-Term Investments | | | 28.5 | |
| | | | |
| | | 100.0 | % |
| | | | |
| ^ | As a percentage of total investments. |
| * | Position represents less than 0.05%. |
At August 31, 2022, 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 | | | $18,493 | | OTC 10-Year Swaption, 3-Month USD-LIBOR, Put | | | BOA | | | | 1/11/24 | | | | 2.180% | | | $ | 45,260 | |
| | | | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
253
| | | | | | |
| International Fixed Income Fund |
| | | | | | | | | | | | | | | | | | | | | | |
|
| Option on Futures | |
| | | | | | |
Number of
Contracts | | | Notional Amount† | | Security Name | | Counterparty | | | Expiration Date | | | Strike Price | | | Value | |
| | 200,000 | | | 194,000,000EUR | | French Republic Government Bonds OAT Futures, Put(a) | | | BNP | | | | 5/23/25 | | | | EUR 97.00 | | | $ | 61,519 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | TOTAL OPTIONS CONTRACTS PURCHASED
(Cost — $32,257) | | | | | | | | | | | | | | $ | 106,779 | |
| | | | | | | | | | | | | | | | | | | | | | |
| † | 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 August 31, 2022, International Fixed Income Fund held the following Options Contracts Written:
| | | | | | | | | | | | | | | | | | | | | | | | |
| Credit Default Swaptions | |
| | | | | | |
Number of
Contracts | | | Notional
Amount† | | | Security Name | | Counterparty | | | Expiration
Date | | | Exercise
Rate | | | Value | |
| | 200,000 | | | $ | 182,238 | | | OTC Markit CDX North America Investment Grade Series 38 5-Year Index, Put | | | DUB | | | | 12/21/22 | | | | 1.350% | | | $ | 510 | |
| | 700,000 | | | | 637,833 | | | OTC Markit CDX North America Investment Grade Series 38 5-Year Index, Put | | | DUB | | | | 12/21/22 | | | | 1.400% | | | | 1,614 | |
| | 1,400,000 | | | | 1,275,666 | | | OTC Markit CDX North America Investment Grade Series 38 5-Year Index, Put | | | GSC | | | | 11/16/22 | | | | 1.400% | | | | 1,981 | |
| | 800,000 | | | | 728,952 | | | OTC Markit CDX North America Investment Grade Series 38 5-Year Index, Put | | | GSC | | | | 12/21/22 | | | | 1.500% | | | | 1,529 | |
| | 700,000 | | | | 637,833 | | | OTC Markit CDX North America Investment Grade Series 38 5-Year Index, Put | | | GSC | | | | 10/19/22 | | | | 1.600% | | | | 260 | |
| | 900,000 | | | | 820,071 | | | OTC Markit CDX North America Investment Grade Series 38 5-Year Index, Put | | | JPM | | | | 11/16/22 | | | | 1.350% | | | | 1,404 | |
| | 200,000 | | | | 236,818 | EUR | | OTC Markit iTraxx Europe Series 37 5-Year Index, Put | | | BCLY | | | | 11/16/22 | | | | 1.900% | | | | 305 | |
| | 200,000 | | | | 236,818 | EUR | | OTC Markit iTraxx Europe Series 37 5-Year Index, Put | | | BNP | | | | 11/16/22 | | | | 1.900% | | | | 305 | |
| | 200,000 | | | | 236,818 | EUR | | OTC Markit iTraxx Europe Series 37 5-Year Index, Put | | | JPM | | | | 11/16/22 | | | | 1.900% | | | | 305 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | Total Credit Default Swaptions | | | | | | | | | | | | | | $ | 8,213 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Interest Rate Cap Option | |
| | | | | | |
Number of
Contracts | | | Notional
Amount† | | | Security Name | | Counterparty | | | Expiration
Date | | | Exercise
Rate | | | Value | |
| | 1,000,000 | | | | 6,200 | EUR | | OTC 1-Year Swaption, Call | | | GSC | | | | 4/11/23 | | | | 0.550% | | | $ | 265 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
254
| | | | | | |
| International Fixed Income Fund |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Interest Rate Swaptions | |
| | | | | | |
Number of
Contracts | | | Notional
Amount† | | | Security Name | | Counterparty | | | Expiration
Date | | | Exercise
Rate | | | Value | |
| | 700,000 | | | | 4,340 | EUR | | OTC 1-Year Swaption, 3-Month EURIBOR, Call | | | BNP | | | | 4/11/23 | | | | 0.550% | | | $ | 185 | |
| | 400,000 | | | | 2,480 | EUR | | OTC 1-Year Swaption, 3-Month EURIBOR, Call | | | BNP | | | | 4/28/23 | | | | 0.700% | | | | 150 | |
| | 1,400,000 | | | | 8,680 | EUR | | OTC 1-Year Swaption, 3-Month EURIBOR, Call | | | GSC | | | | 4/5/23 | | | | 0.550% | | | | 361 | |
| | 1,400,000 | | | | 8,680 | EUR | | OTC 1-Year Swaption, 3-Month EURIBOR, Call | | | GSC | | | | 4/11/23 | | | | 0.550% | | | | 371 | |
| | 1,000,000 | | | | 6,200 | EUR | | OTC 1-Year Swaption, 3-Month EURIBOR, Call | | | GSC | | | | 5/15/23 | | | | 0.550% | | | | 321 | |
| | 400,000 | | | | 2,480 | EUR | | OTC 1-Year Swaption, 3-Month EURIBOR, Call | | | GSC | | | | 4/24/23 | | | | 0.700% | | | | 145 | |
| | 600,000 | | | | 3,720 | EUR | | OTC 1-Year Swaption, 3-Month EURIBOR, Call | | | GSC | | | | 4/26/23 | | | | 0.700% | | | | 222 | |
| | 700,000 | | | | 4,340 | EUR | | OTC 1-Year Swaption, 3-Month EURIBOR, Put | | | BNP | | | | 4/11/23 | | | | 2.100% | | | | 4,785 | |
| | 400,000 | | | | 2,480 | EUR | | OTC 1-Year Swaption, 3-Month EURIBOR, Put | | | BNP | | | | 4/28/23 | | | | 2.250% | | | | 2,465 | |
| | 1,400,000 | | | | 8,680 | EUR | | OTC 1-Year Swaption, 3-Month EURIBOR, Put | | | GSC | | | | 4/5/23 | | | | 2.100% | | | | 9,487 | |
| | 1,000,000 | | | | 6,200 | EUR | | OTC 1-Year Swaption, 3-Month EURIBOR, Put | | | GSC | | | | 4/11/23 | | | | 2.100% | | | | 6,836 | |
| | 1,400,000 | | | | 8,680 | EUR | | OTC 1-Year Swaption, 3-Month EURIBOR, Put | | | GSC | | | | 4/11/23 | | | | 2.100% | | | | 9,571 | |
| | 1,000,000 | | | | 6,200 | EUR | | OTC 1-Year Swaption, 3-Month EURIBOR, Put | | | GSC | | | | 5/15/23 | | | | 2.100% | | | | 7,089 | |
| | 400,000 | | | | 2,480 | EUR | | OTC 1-Year Swaption, 3-Month EURIBOR, Put | | | GSC | | | | 4/24/23 | | | | 2.250% | | | | 2,445 | |
| | 600,000 | | | | 3,720 | EUR | | OTC 1-Year Swaption, 3-Month EURIBOR, Put | | | GSC | | | | 4/26/23 | | | | 2.250% | | | | 3,691 | |
| | 1,500,000 | | | | 37,754 | GBP | | OTC 1-Year Swaption, 3-Month GBP-LIBOR, Call | | | JPM | | | | 12/16/24 | | | | 0.820% | | | | 3,880 | |
| | 400,000 | | | | $ 12,329 | | | OTC 1-Year Swaption, 3-Month USD-LIBOR, Call | | | BOA | | | | 12/1/23 | | | | 2.150% | | | | 719 | |
| | 600,000 | | | | 18,493 | | | OTC 1-Year Swaption, 3-Month USD-LIBOR, Call | | | DUB | | | | 4/8/24 | | | | 2.790% | | | | 3,012 | |
| | 400,000 | | | | 12,329 | | | OTC 1-Year Swaption, 3-Month USD-LIBOR, Call | | | DUB | | | | 10/13/23 | | | | 2.920% | | | | 1,380 | |
| | 15,900,000 | | | | 490,060 | | | OTC 1-Year Swaption, 3-Month USD-LIBOR, Call | | | GSC | | | | 11/2/22 | | | | 0.870% | | | | 2 | |
| | 400,000 | | | | 12,329 | | | OTC 1-Year Swaption, 3-Month USD-LIBOR, Call | | | GSC | | | | 11/20/23 | | | | 2.150% | | | | 681 | |
| | 700,000 | | | | 21,575 | | | OTC 1-Year Swaption, 3-Month USD-LIBOR, Call | | | GSC | | | | 11/17/23 | | | | 2.250% | | | | 1,331 | |
| | 300,000 | | | | 9,246 | | | OTC 1-Year Swaption, 3-Month USD-LIBOR, Call | | | GSC | | | | 12/7/23 | | | | 2.250% | | | | 619 | |
| | 700,000 | | | | 21,575 | | | OTC 1-Year Swaption, 3-Month USD-LIBOR, Call | | | GSC | | | | 4/2/24 | | | | 2.697% | | | | 3,204 | |
| | 200,000 | | | | 6,164 | | | OTC 1-Year Swaption, 3-Month USD-LIBOR, Call | | | GSC | | | | 4/8/24 | | | | 2.721% | | | | 947 | |
| | 200,000 | | | | 6,164 | | | OTC 1-Year Swaption, 3-Month USD-LIBOR, Call | | | GSC | | | | 10/27/23 | | | | 2.841% | | | | 669 | |
| | 400,000 | | | | 12,329 | | | OTC 1-Year Swaption, 3-Month USD-LIBOR, Call | | | GSC | | | | 11/10/23 | | | | 2.910% | | | | 1,509 | |
| | 200,000 | | | | 6,164 | | | OTC 1-Year Swaption, 3-Month USD-LIBOR, Call | | | GSC | | | | 10/13/23 | | | | 2.920% | | | | 690 | |
| | 300,000 | | | | 9,246 | | | OTC 1-Year Swaption, 3-Month USD-LIBOR, Call | | | GSC | | | | 10/25/23 | | | | 2.973% | | | | 1,139 | |
| | 200,000 | | | | 6,164 | | | OTC 1-Year Swaption, 3-Month USD-LIBOR, Call | | | GSC | | | | 10/20/23 | | | | 3.018% | | | | 782 | |
| | 100,000 | | | | 3,082 | | | OTC 1-Year Swaption, 3-Month USD-LIBOR, Call | | | GSC | | | | 11/3/23 | | | | 3.088% | | | | 439 | |
| | 200,000 | | | | 6,164 | | | OTC 1-Year Swaption, 3-Month USD-LIBOR, Call | | | GSC | | | | 10/23/23 | | | | 3.140% | | | | 886 | |
| | 200,000 | | | | 6,164 | | | OTC 1-Year Swaption, 3-Month USD-LIBOR, Call | | | GSC | | | | 10/23/23 | | | | 3.190% | | | | 930 | |
| | 100,000 | | | | 3,082 | | | OTC 1-Year Swaption, 3-Month USD-LIBOR, Call | | | GSC | | | | 10/23/23 | | | | 3.225% | | | | 481 | |
| | 5,400,000 | | | | 166,436 | | | OTC 1-Year Swaption, 3-Month USD-LIBOR, Put | | | BOA | | | | 1/11/24 | | | | 2.310% | | | | 59,948 | |
| | 400,000 | | | | 12,329 | | | OTC 1-Year Swaption, 3-Month USD-LIBOR, Put | | | BOA | | | | 12/1/23 | | | | 3.650% | | | | 1,745 | |
| | 600,000 | | | | 18,493 | | | OTC 1-Year Swaption, 3-Month USD-LIBOR, Put | | | DUB | | | | 4/8/24 | | | | 2.790% | | | | 4,727 | |
| | 400,000 | | | | 12,329 | | | OTC 1-Year Swaption, 3-Month USD-LIBOR, Put | | | DUB | | | | 10/13/23 | | | | 2.920% | | | | 3,135 | |
| | 15,900,000 | | | | 490,060 | | | OTC 1-Year Swaption, 3-Month USD-LIBOR, Put | | | GSC | | | | 11/2/22 | | | | 1.270% | | | | 435,075 | |
| | 700,000 | | | | 21,575 | | | OTC 1-Year Swaption, 3-Month USD-LIBOR, Put | | | GSC | | | | 4/2/24 | | | | 2.697% | | | | 5,862 | |
| | 200,000 | | | | 6,164 | | | OTC 1-Year Swaption, 3-Month USD-LIBOR, Put | | | GSC | | | | 4/8/24 | | | | 2.721% | | | | 1,646 | |
| | 200,000 | | | | 6,164 | | | OTC 1-Year Swaption, 3-Month USD-LIBOR, Put | | | GSC | | | | 10/27/23 | | | | 2.841% | | | | 1,647 | |
| | 400,000 | | | | 12,329 | | | OTC 1-Year Swaption, 3-Month USD-LIBOR, Put | | | GSC | | | | 11/10/23 | | | | 2.910% | | | | 3,110 | |
| | 200,000 | | | | 6,164 | | | OTC 1-Year Swaption, 3-Month USD-LIBOR, Put | | | GSC | | | | 10/13/23 | | | | 2.920% | | | | 1,567 | |
| | 300,000 | | | | 9,246 | | | OTC 1-Year Swaption, 3-Month USD-LIBOR, Put | | | GSC | | | | 10/25/23 | | | | 2.973% | | | | 2,256 | |
| | 200,000 | | | | 6,164 | | | OTC 1-Year Swaption, 3-Month USD-LIBOR, Put | | | GSC | | | | 10/20/23 | | | | 3.018% | | | | 1,452 | |
| | 100,000 | | | | 3,082 | | | OTC 1-Year Swaption, 3-Month USD-LIBOR, Put | | | GSC | | | | 11/3/23 | | | | 3.088% | | | | 684 | |
| | 200,000 | | | | 6,164 | | | OTC 1-Year Swaption, 3-Month USD-LIBOR, Put | | | GSC | | | | 10/23/23 | | | | 3.140% | | | | 1,322 | |
| | 200,000 | | | | 6,164 | | | OTC 1-Year Swaption, 3-Month USD-LIBOR, Put | | | GSC | | | | 10/23/23 | | | | 3.190% | | | | 1,271 | |
| | 100,000 | | | | 3,082 | | | OTC 1-Year Swaption, 3-Month USD-LIBOR, Put | | | GSC | | | | 10/23/23 | | | | 3.225% | | | | 618 | |
| | 400,000 | | | | 12,329 | | | OTC 1-Year Swaption, 3-Month USD-LIBOR, Put | | | GSC | | | | 11/20/23 | | | | 3.650% | | | | 1,749 | |
| | 700,000 | | | | 21,575 | | | OTC 1-Year Swaption, 3-Month USD-LIBOR, Put | | | GSC | | | | 11/17/23 | | | | 3.750% | | | | 2,816 | |
| | 300,000 | | | | 9,246 | | | OTC 1-Year Swaption, 3-Month USD-LIBOR, Put | | | GSC | | | | 12/7/23 | | | | 3.750% | | | | 1,207 | |
| | 1,100,000 | | | | 33,904 | | | OTC 5-Year Swaption, 3-Month USD-LIBOR, Call | | | DUB | | | | 9/2/22 | | | | 2.450% | | | | — | |
See Notes to Financial Statements.
255
| | | | | | |
| International Fixed Income Fund |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Number of
Contracts | | | Notional
Amount† | | | Security Name | | Counterparty | | | Expiration
Date | | | Exercise
Rate | | | Value | |
| | 1,100,000 | | | | $ 33,904 | | | OTC 5-Year Swaption, 3-Month USD-LIBOR, Put | | | DUB | | | | 9/2/22 | | | | 3.050% | | | $ | 5,222 | |
| | 100,000 | | | | 3,082 | | | OTC 7-Year Swaption, 3-Month USD-LIBOR, Call | | | GSC | | | | 9/6/22 | | | | 2.450% | | | | — | |
| | 400,000 | | | | 12,329 | | | OTC 7-Year Swaption, 3-Month USD-LIBOR, Call | | | GSC | | | | 9/7/22 | | | | 2.500% | | | | 5 | |
| | 100,000 | | | | 3,082 | | | OTC 7-Year Swaption, 3-Month USD-LIBOR, Put | | | GSC | | | | 9/6/22 | | | | 3.050% | | | | 274 | |
| | 400,000 | | | | 12,329 | | | OTC 7-Year Swaption, 3-Month USD-LIBOR, Put | | | GSC | | | | 9/7/22 | | | | 3.100% | | | | 894 | |
| | 300,000 | | | | 9,246 | | | OTC 10-Year Swaption, 3-Month USD-LIBOR, Call | | | BNP | | | | 9/26/22 | | | | 2.600% | | | | 562 | |
| | 300,000 | | | | 9,246 | | | OTC 10-Year Swaption, 3-Month USD-LIBOR, Put | | | BNP | | | | 9/26/22 | | | | 3.100% | | | | 2,021 | |
| | 200,000 | | | | 1,240 | EUR | | OTC 25-Year Swaption, 3-Month EURIBOR, Put | | | BNP | | �� | | 5/23/25 | | | | 0.451% | | | | 64,961 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | Total Interest Rate Swaptions | | | | | | | | | | | | | | $ | 677,200 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
|
| Options on Futures | |
Number of
Contracts | | | Notional
Amount† | | Security Name | | Counterparty | | | Expiration
Date | | | Strike
Price | | | Value | |
| | 3 | | | $ 723,788 | | 3-Month SOFR December Futures, Call | | | BNP | | | | 12/15/23 | | | $ | 98.00 | | | $ | 1,237 | |
| | 3 | | | 723,788 | | 3-Month SOFR December Futures, Put | | | BNP | | | | 12/15/23 | | | $ | 96.50 | | | | 4,594 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | Total Options on Futures | | | | | | | | | | | | | | $ | 5,831 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | TOTAL OPTIONS CONTRACTS WRITTEN
(Premiums received — $231,026) | | | | | | | | | | | | | | $ | 691,509 | |
| | | | | | | | | | | | | | | | | | | | | | |
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
At August 31, 2022, International Fixed Income Fund held the following Forward Sale Commitments:
| | | | | | | | |
| | |
Face
Amounts† | | | Security | | Value | |
| | | | Federal National Mortgage Association (FNMA): | | | | |
| $ | 100,000 | | | 3.500% due 9/1/34(a) | | $ | 98,301 | |
| | 2,100,000 | | | 2.000% due 9/1/37(a) | | | 1,939,301 | |
| | 14,450,000 | | | 2.000% due 10/1/52(a) | | | 12,467,733 | |
| | 13,100,000 | | | 2.500% due 9/1/52(a) | | | 11,721,430 | |
| | 2,200,000 | | | 4.000% due 9/1/52(a) | | | 2,151,187 | |
| | | | | | | | |
| | | | TOTAL FORWARD SALE COMMITMENTS
(Proceeds — $28,839,350) | | $ | 28,377,952 | |
| | | | | | | | |
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
| (a) | This security is traded on a TBA basis (see Note 1). |
See Notes to Financial Statements.
256
| | | | | | |
| International Fixed Income Fund |
At August 31, 2022, 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 September Futures | | | 33 | | | | 9/22 | | | $ | 2,693,847 | | | $ | 2,708,709 | | | $ | 14,862 | |
Australian Government 3-Year Bond September Futures | | | 54 | | | | 9/22 | | | | 3,968,698 | | | | 3,979,882 | | | | 11,184 | |
Euro-BTP September Futures | | | 83 | | | | 9/22 | | | | 10,526,043 | | | | 9,966,942 | | | | (559,101 | ) |
Euro-Bund September Futures | | | 12 | | | | 9/22 | | | | 1,785,288 | | | | 1,784,163 | | | | (1,125 | ) |
Euro-Buxl 30-Year Bond September Futures | | | 11 | | | | 9/22 | | | | 1,957,993 | | | | 1,819,290 | | | | (138,703 | ) |
Euro-OAT September Futures | | | 43 | | | | 9/22 | | | | 6,016,541 | | | | 5,963,347 | | | | (53,194 | ) |
Euro-Schatz Note December Futures | | | 62 | | | | 12/22 | | | | 6,752,125 | | | | 6,731,255 | | | | (20,870 | ) |
Euro-Schatz Note September Futures | | | 107 | | | | 9/22 | | | | 11,772,091 | | | | 11,677,052 | | | | (95,039 | ) |
U.S. Treasury 5-Year Note December Futures | | | 113 | | | | 12/22 | | | | 12,590,672 | | | | 12,522,695 | | | | (67,977 | ) |
U.S. Treasury 10-Year Note December Futures | | | 88 | | | | 12/22 | | | | 10,359,250 | | | | 10,287,750 | | | | (71,500 | ) |
U.S. Treasury Ultra Bond December Futures | | | 2 | | | | 12/22 | | | | 296,245 | | | | 299,000 | | | | 2,755 | |
3-Month SOFR June Futures | | | 13 | | | | 9/23 | | | | 3,164,688 | | | | 3,125,688 | | | | (39,000 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | (1,017,708 | ) |
| | | | | | | | | | | | | | | | | | | | |
| Contracts to Sell: | | | | | | | | | | | | | | | | | | | | |
Canada Government 10-Year Bond December Futures | | | 6 | | | | 12/22 | | | | 573,236 | | | | 569,272 | | | | 3,964 | |
Euro-Bobl September Futures | | | 76 | | | | 9/22 | | | | 9,598,291 | | | | 9,398,979 | | | | 199,312 | |
U.S. Treasury 2-Year Note December Futures | | | 42 | | | | 12/22 | | | | 8,766,188 | | | | 8,749,782 | | | | 16,406 | |
U.S. Treasury Long Bond December Futures | | | 11 | | | | 12/22 | | | | 1,510,867 | | | | 1,494,281 | | | | 16,586 | |
U.S. Treasury 10-Year Ultra Bond December Futures | | | 124 | | | | 12/22 | | | | 15,543,229 | | | | 15,523,250 | | | | 19,979 | |
United Kingdom Treasury Long Gilt December Futures | | | 33 | | | | 12/22 | | | | 4,211,620 | | | | 4,137,437 | | | | 74,183 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 330,430 | |
| | | | | | | | | | | | | | | | | | | | |
Net Unrealized Depreciation on Open Exchange-Traded Futures Contracts | | | | | | | | | | | | | | | | | | $ | (687,278 | ) |
| | | | | | | | | | | | | | | | | |
At August 31, 2022, International Fixed Income Fund had deposited cash of $621,000 with a broker or brokers as margin collateral on an open exchange-traded futures contracts.
See Notes to Financial Statements.
257
| | | | | | |
| International Fixed Income Fund |
At August 31, 2022, 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 | | | 267,022 | | | | USD | | | | 185,401 | | | | SCB | | | $ | 182,710 | | | | 9/2/22 | | | $ | (2,691 | ) |
Brazilian Real | | | 1,714,871 | | | | USD | | | | 331,120 | | | | DUB | | | | 329,780 | | | | 9/2/22 | | | | (1,340 | ) |
Brazilian Real | | | 1,714,871 | | | | USD | | | | 312,019 | | | | GSC | | | | 329,780 | | | | 9/2/22 | | | | 17,761 | |
Brazilian Real | | | 1,714,871 | | | | USD | | | | 325,156 | | | | DUB | | | | 327,035 | | | | 10/4/22 | | | | 1,879 | |
British Pound | | | 227,000 | | | | USD | | | | 265,130 | | | | HSBC | | | | 263,695 | | | | 9/2/22 | | | | (1,435 | ) |
British Pound | | | 11,641,189 | | | | USD | | | | 13,536,631 | | | | UBS | | | | 13,522,995 | | | | 9/2/22 | | | | (13,636 | ) |
Canadian Dollar | | | 230,000 | | | | USD | | | | 175,628 | | | | BNP | | | | 175,152 | | | | 9/2/22 | | | | (476 | ) |
Chilean Peso | | | 48,404,406 | | | | USD | | | | 51,000 | | | | HSBC | | | | 53,869 | | | | 9/15/22 | | | | 2,869 | |
Chilean Peso | | | 345,801,800 | | | | USD | | | | 359,006 | | | | BNP | | | | 383,316 | | | | 10/6/22 | | | | 24,310 | |
Chinese Offshore Renminbi | | | 1,657,036 | | | | USD | | | | 239,695 | | | | BNP | | | | 239,961 | | | | 9/8/22 | | | | 266 | |
Danish Krone | | | 10,998,890 | | | | USD | | | | 1,483,730 | | | | BOA | | | | 1,485,975 | | | | 9/1/22 | | | | 2,245 | |
Danish Krone | | | 905,000 | | | | USD | | | | 120,813 | | | | UBS | | | | 122,267 | | | | 9/1/22 | | | | 1,454 | |
Euro | | | 104,000 | | | | USD | | | | 106,561 | | | | BOA | | | | 104,500 | | | | 9/2/22 | | | | (2,061 | ) |
Euro | | | 89,000 | | | | USD | | | | 90,821 | | | | JPM | | | | 89,427 | | | | 9/2/22 | | | | (1,394 | ) |
Euro | | | 513,000 | | | | USD | | | | 525,705 | | | | JPM | | | | 515,462 | | | | 9/2/22 | | | | (10,243 | ) |
Euro | | | 22,795,764 | | | | USD | | | | 22,891,506 | | | | SOG | | | | 22,905,182 | | | | 9/2/22 | | | | 13,676 | |
Euro | | | 177,000 | | | | USD | | | | 181,494 | | | | UBS | | | | 177,850 | | | | 9/2/22 | | | | (3,644 | ) |
Japanese Yen | | | 3,006,243,146 | | | | USD | | | | 21,670,789 | | | | JPM | | | | 21,642,440 | | | | 9/2/22 | | | | (28,349 | ) |
Malaysian Ringgit | | | 225,675 | | | | USD | | | | 51,000 | | | | BCLY | | | | 50,431 | | | | 9/21/22 | | | | (569 | ) |
Malaysian Ringgit | | | 927,831 | | | | USD | | | | 208,642 | | | | BCLY | | | | 207,339 | | | | 9/21/22 | | | | (1,303 | ) |
Malaysian Ringgit | | | 552,104 | | | | USD | | | | 124,096 | | | | BCLY | | | | 123,376 | | | | 9/21/22 | | | | (720 | ) |
Malaysian Ringgit | | | 974,105 | | | | USD | | | | 222,882 | | | | GSC | | | | 217,679 | | | | 9/21/22 | | | | (5,203 | ) |
Malaysian Ringgit | | | 3,951,768 | | | | USD | | | | 902,230 | | | | GSC | | | | 883,086 | | | | 9/21/22 | | | | (19,144 | ) |
Malaysian Ringgit | | | 1,345,224 | | | | USD | | | | 302,433 | | | | GSC | | | | 300,611 | | | | 9/21/22 | | | | (1,822 | ) |
Malaysian Ringgit | | | 4,908,427 | | | | USD | | | | 1,110,461 | | | | SCB | | | | 1,096,938 | | | | 9/28/22 | | | | (13,523 | ) |
Mexican Peso | | | 7,076,806 | | | | USD | | | | 346,946 | | | | BNP | | | | 350,411 | | | | 9/15/22 | | | | 3,465 | |
Mexican Peso | | | 4,007,000 | | | | USD | | | | 191,516 | | | | GSC | | | | 198,408 | | | | 9/15/22 | | | | 6,892 | |
Norwegian Krone | | | 17,823,749 | | | | USD | | | | 1,833,226 | | | | UBS | | | | 1,793,152 | | | | 9/2/22 | | | | (40,074 | ) |
Peruvian Sol | | | 335,064 | | | | USD | | | | 82,081 | | | | BNP | | | | 86,784 | | | | 10/5/22 | | | | 4,703 | |
Polish Zloty | | | 150,000 | | | | USD | | | | 32,068 | | | | GSC | | | | 31,661 | | | | 10/17/22 | | | | (407 | ) |
Singapore Dollar | | | 1,242,000 | | | | USD | | | | 890,355 | | | | GSC | | | | 888,835 | | | | 9/8/22 | | | | (1,520 | ) |
Singapore Dollar | | | 1,072,000 | | | | USD | | | | 766,549 | | | | GSC | | | | 767,175 | | | | 9/8/22 | | | | 626 | |
South African Rand | | | 2,176,601 | | | | USD | | | | 140,791 | | | | SCB | | | | 126,978 | | | | 9/12/22 | | | | (13,813 | ) |
South African Rand | | | 1,729,118 | | | | USD | | | | 100,491 | | | | UBS | | | | 100,561 | | | | 10/14/22 | | | | 70 | |
South African Rand | | | 2,386,858 | | | | USD | | | | 151,915 | | | | DUB | | | | 138,089 | | | | 12/12/22 | | | | (13,826 | ) |
Swiss Franc | | | 396,000 | | | | USD | | | | 418,011 | | | | BOA | | | | 405,156 | | | | 9/2/22 | | | | (12,855 | ) |
Thai Baht | | | 20,226,021 | | | | USD | | | | 571,034 | | | | BNP | | | | 554,867 | | | | 11/7/22 | | | | (16,167 | ) |
Thai Baht | | | 2,740,765 | | | | USD | | | | 76,976 | | | | BNP | | | | 75,189 | | | | 11/7/22 | | | | (1,787 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | (127,786 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Contracts to Sell: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Australian Dollar | | | 59,000 | | | | USD | | | | 41,113 | | | | DUB | | | | 40,371 | | | | 9/2/22 | | | | 742 | |
Australian Dollar | | | 55,598 | | | | USD | | | | 38,626 | | | | HSBC | | | | 38,043 | | | | 9/2/22 | | | | 583 | |
Australian Dollar | | | 71,000 | | | | USD | | | | 50,452 | | | | SCB | | | | 48,582 | | | | 9/2/22 | | | | 1,870 | |
Australian Dollar | | | 91,000 | | | | USD | | | | 63,280 | | | | SCB | | | | 62,267 | | | | 9/2/22 | | | | 1,013 | |
Australian Dollar | | | 99,000 | | | | USD | | | | 68,034 | | | | UBS | | | | 67,740 | | | | 9/2/22 | | | | 294 | |
Australian Dollar | | | 267,022 | | | | USD | | | | 185,491 | | | | SCB | | | | 182,805 | | | | 10/4/22 | | | | 2,686 | |
Australian Dollar | | | 108,576 | | | | USD | | | | 74,455 | | | | UBS | | | | 74,332 | | | | 10/4/22 | | | | 123 | |
See Notes to Financial Statements.
258
| | | | | | |
| International Fixed Income Fund |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Foreign Currency | | Local Currency | | | In Exchange For | | | Counterparty | | | Market
Value | | | Settlement
Date | | | Unrealized
Appreciation/
(Depreciation) | |
| Contracts to Sell: (continued) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Brazilian Real | | | 1,714,871 | | | | USD | | | | 327,766 | | | | DUB | | | $ | 329,780 | | | | 9/2/22 | | | $ | (2,014 | ) |
Brazilian Real | | | 1,714,871 | | | | USD | | | | 331,120 | | | | GSC | | | | 329,780 | | | | 9/2/22 | | | | 1,340 | |
British Pound | | | 74,000 | | | | USD | | | | 89,259 | | | | BCLY | | | | 85,962 | | | | 9/2/22 | | | | 3,297 | |
British Pound | | | 45,000 | | | | USD | | | | 52,984 | | | | BNP | | | | 52,274 | | | | 9/2/22 | | | | 710 | |
British Pound | | | 117,000 | | | | USD | | | | 141,957 | | | | BOA | | | | 135,913 | | | | 9/2/22 | | | | 6,044 | |
British Pound | | | 110,000 | | | | USD | | | | 134,646 | | | | BOA | | | | 127,781 | | | | 9/2/22 | | | | 6,865 | |
British Pound | | | 9,643,925 | | | | USD | | | | 11,741,768 | | | | HSBC | | | | 11,202,872 | | | | 9/2/22 | | | | 538,896 | |
British Pound | | | 48,000 | | | | USD | | | | 58,108 | | | | JPM | | | | 55,759 | | | | 9/2/22 | | | | 2,349 | |
British Pound | | | 612,000 | | | | USD | | | | 747,089 | | | | JPM | | | | 710,930 | | | | 9/2/22 | | | | 36,159 | |
British Pound | | | 1,218,264 | | | | USD | | | | 1,472,073 | | | | SOG | | | | 1,415,197 | | | | 9/2/22 | | | | 56,876 | |
British Pound | | | 11,641,189 | | | | USD | | | | 13,544,791 | | | | UBS | | | | 13,531,467 | | | | 10/4/22 | | | | 13,324 | |
Canadian Dollar | | | 350,000 | | | | USD | | | | 273,939 | | | | BOA | | | | 266,535 | | | | 9/2/22 | | | | 7,404 | |
Canadian Dollar | | | 69,000 | | | | USD | | | | 53,002 | | | | JPM | | | | 52,545 | | | | 9/2/22 | | | | 457 | |
Canadian Dollar | | | 291,000 | | | | USD | | | | 226,195 | | | | SCB | | | | 221,605 | | | | 9/2/22 | | | | 4,590 | |
Canadian Dollar | | | 92,000 | | | | USD | | | | 71,634 | | | | UBS | | | | 70,060 | | | | 9/2/22 | | | | 1,574 | |
Canadian Dollar | | | 1,091,288 | | | | USD | | | | 854,150 | | | | BOA | | | | 830,748 | | | | 11/10/22 | | | | 23,402 | |
Chinese Offshore Renminbi | | | 2,081,443 | | | | USD | | | | 307,908 | | | | BNP | | | | 301,420 | | | | 9/8/22 | | | | 6,488 | |
Chinese Offshore Renminbi | | | 793,765 | | | | USD | | | | 117,607 | | | | BNP | | | | 114,948 | | | | 9/8/22 | | | | 2,659 | |
Chinese Offshore Renminbi | | | 4,183,502 | | | | USD | | | | 619,136 | | | | SCB | | | | 605,826 | | | | 9/8/22 | | | | 13,310 | |
Chinese Offshore Renminbi | | | 1,656,197 | | | | USD | | | | 239,695 | | | | BNP | | | | 239,950 | | | | 10/17/22 | | | | (255 | ) |
Chinese Offshore Renminbi | | | 974,815 | | | | USD | | | | 151,000 | | | | BNP | | | | 141,968 | | | | 3/15/23 | | | | 9,032 | |
Chinese Offshore Renminbi | | | 2,538,712 | | | | USD | | | | 393,000 | | | | GSC | | | | 369,728 | | | | 3/15/23 | | | | 23,272 | |
Chinese Offshore Renminbi | | | 1,232,086 | | | | USD | | | | 183,592 | | | | HSBC | | | | 179,835 | | | | 5/10/23 | | | | 3,757 | |
Chinese Offshore Renminbi | | | 7,432,881 | | | | USD | | | | 1,149,000 | | | | BOA | | | | 1,085,291 | | | | 5/19/23 | | | | 63,709 | |
Chinese Offshore Renminbi | | | 814,716 | | | | USD | | | | 126,000 | | | | DUB | | | | 118,958 | | | | 5/19/23 | | | | 7,042 | |
Danish Krone | | | 16,279,860 | | | | USD | | | | 2,224,830 | | | | BNP | | | | 2,199,446 | | | | 9/1/22 | | | | 25,384 | |
Danish Krone | | | 410,000 | | | | USD | | | | 56,444 | | | | BNP | | | | 55,392 | | | | 9/1/22 | | | | 1,052 | |
Danish Krone | | | 640,000 | | | | USD | | | | 87,732 | | | | BOA | | | | 86,465 | | | | 9/1/22 | | | | 1,267 | |
Danish Krone | | | 12,186,777 | | | | USD | | | | 1,667,012 | | | | BOA | | | | 1,646,461 | | | | 9/1/22 | | | | 20,551 | |
Danish Krone | | | 10,974,854 | | | | USD | | | | 1,483,730 | | | | BOA | | | | 1,485,796 | | | | 10/3/22 | | | | (2,066 | ) |
Danish Krone | | | 17,514,499 | | | | USD | | | | 2,367,400 | | | | BOA | | | | 2,371,145 | | | | 10/3/22 | | | | (3,745 | ) |
Euro | | | 580,000 | | | | USD | | | | 591,347 | | | | BCLY | | | | 582,784 | | | | 9/2/22 | | | | 8,563 | |
Euro | | | 522,000 | | | | USD | | | | 518,284 | | | | BOA | | | | 524,505 | | | | 9/2/22 | | | | (6,221 | ) |
Euro | | | 3,323,000 | | | | USD | | | | 3,407,897 | | | | BOA | | | | 3,338,951 | | | | 9/2/22 | | | | 68,946 | |
Euro | | | 18,213,764 | | | | USD | | | | 18,623,483 | | | | HSBC | | | | 18,301,189 | | | | 9/2/22 | | | | 322,294 | |
Euro | | | 1,040,000 | | | | USD | | | | 1,059,089 | | | | SCB | | | | 1,044,992 | | | | 9/2/22 | | | | 14,097 | |
Euro | | | 818,000 | | | | USD | | | | 821,219 | | | | SCB | | | | 821,926 | | | | 9/2/22 | | | | (707 | ) |
Euro | | | 22,795,764 | | | | USD | | | | 22,940,150 | | | | SOG | | | | 22,955,049 | | | | 10/4/22 | | | | (14,899 | ) |
Israeli New Shekel | | | 1,597,765 | | | | USD | | | | 459,696 | | | | DUB | | | | 480,121 | | | | 9/13/22 | | | | (20,425 | ) |
Israeli New Shekel | | | 269,798 | | | | USD | | | | 78,025 | | | | HSBC | | | | 81,073 | | | | 9/13/22 | | | | (3,048 | ) |
Israeli New Shekel | | | 2,599,740 | | | | USD | | | | 842,035 | | | | GSC | | | | 783,046 | | | | 11/2/22 | | | | 58,989 | |
Israeli New Shekel | | | 300,000 | | | | USD | | | | 96,844 | | | | GSC | | | | 90,360 | | | | 11/2/22 | | | | 6,484 | |
Israeli New Shekel | | | 300,000 | | | | USD | | | | 96,923 | | | | GSC | | | | 90,361 | | | | 11/2/22 | | | | 6,562 | |
Israeli New Shekel | | | 2,500,000 | | | | USD | | | | 789,540 | | | | DUB | | | | 754,737 | | | | 12/7/22 | | | | 34,803 | |
Israeli New Shekel | | | 400,080 | | | | USD | | | | 129,728 | | | | JPM | | | | 120,782 | | | | 12/7/22 | | | | 8,946 | |
Israeli New Shekel | | | 1,293,890 | | | | USD | | | | 391,898 | | | | BNP | | | | 391,991 | | | | 2/8/23 | | | | (93 | ) |
Israeli New Shekel | | | 3,776,060 | | | | USD | | | | 1,154,792 | | | | HSBC | | | | 1,145,378 | | | | 3/2/23 | | | | 9,414 | |
Israeli New Shekel | | | 1,785,600 | | | | USD | | | | 544,274 | | | | BOA | | | | 542,559 | | | | 4/5/23 | | | | 1,715 | |
Israeli New Shekel | | | 3,874,650 | | | | USD | | | | 1,163,733 | | | | JPM | | | | 1,177,321 | | | | 4/5/23 | | | | (13,588 | ) |
Japanese Yen | | | 31,800,000 | | | | USD | | | | 240,915 | | | | BOA | | | | 228,934 | | | | 9/2/22 | | | | 11,981 | |
Japanese Yen | | | 1,226,835,929 | | | | USD | | | | 9,227,612 | | | | BOA | | | | 8,832,194 | | | | 9/2/22 | | | | 395,418 | |
Japanese Yen | | | 1,289,568,065 | | | | USD | | | | 9,459,249 | | | | DUB | | | | 9,283,813 | | | | 9/2/22 | | | | 175,436 | |
See Notes to Financial Statements.
259
| | | | | | |
| International Fixed Income Fund |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Foreign Currency | | Local Currency | | | In Exchange For | | | Counterparty | | | Market
Value | | | Settlement
Date | | | Unrealized
Appreciation/
(Depreciation) | |
| Contracts to Sell: (continued) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Japanese Yen | | | 451,900,000 | | | | USD | | | | 3,261,335 | | | | SCB | | | $ | 3,253,303 | | | | 9/2/22 | | | $ | 8,032 | |
Japanese Yen | | | 227,300,000 | | | | USD | | | | 1,643,891 | | | | SCB | | | | 1,636,371 | | | | 9/2/22 | | | | 7,520 | |
Japanese Yen | | | 133,000,000 | | | | USD | | | | 990,655 | | | | BCLY | | | | 958,195 | | | | 9/12/22 | | | | 32,460 | |
Japanese Yen | | | 50,000,000 | | | | USD | | | | 373,212 | | | | SCB | | | | 360,223 | | | | 9/12/22 | | | | 12,989 | |
Japanese Yen | | | 1,790,000,000 | | | | USD | | | | 13,402,207 | | | | HSBC | | | | 12,904,834 | | | | 9/20/22 | | | | 497,373 | |
Japanese Yen | | | 360,000,000 | | | | USD | | | | 2,680,702 | | | | BCLY | | | | 2,598,289 | | | | 10/3/22 | | | | 82,413 | |
Japanese Yen | | | 2,998,459,866 | | | | USD | | | | 21,670,789 | | | | JPM | | | | 21,643,257 | | | | 10/4/22 | | | | 27,532 | |
Japanese Yen | | | 480,000,000 | | | | USD | | | | 3,556,880 | | | | BCLY | | | | 3,466,899 | | | | 10/11/22 | | | | 89,981 | |
Japanese Yen | | | 690,000,000 | | | | USD | | | | 5,057,891 | | | | BCLY | | | | 4,983,668 | | | | 10/11/22 | | | | 74,223 | |
Japanese Yen | | | 780,000,000 | | | | USD | | | | 5,652,383 | | | | BCLY | | | | 5,636,778 | | | | 10/17/22 | | | | 15,605 | |
Japanese Yen | | | 230,000,000 | | | | USD | | | | 1,683,548 | | | | HSBC | | | | 1,663,183 | | | | 10/24/22 | | | | 20,365 | |
Japanese Yen | | | 680,000,000 | | | | USD | | | | 5,099,011 | | | | RBS | | | | 4,920,364 | | | | 10/31/22 | | | | 178,647 | |
Japanese Yen | | | 180,000,000 | | | | USD | | �� | | 1,362,388 | | | | BCLY | | | | 1,303,394 | | | | 11/7/22 | | | | 58,994 | |
Japanese Yen | | | 280,000,000 | | | | USD | | | | 2,115,427 | | | | BCLY | | | | 2,029,003 | | | | 11/14/22 | | | | 86,424 | |
Japanese Yen | | | 70,000,000 | | | | USD | | | | 517,708 | | | | BCLY | | | | 507,627 | | | | 11/21/22 | | | | 10,081 | |
Japanese Yen | | | 70,000,000 | | | | USD | | | | 516,477 | | | | HSBC | | | | 508,003 | | | | 11/28/22 | | | | 8,474 | |
Malaysian Ringgit | | | 15,081,318 | | | | USD | | | | 3,591,389 | | | | BNP | | | | 3,370,380 | | | | 9/28/22 | | | | 221,009 | |
Malaysian Ringgit | | | 1,388,882 | | | | USD | | | | 315,261 | | | | SCB | | | | 310,388 | | | | 9/28/22 | | | | 4,873 | |
Mexican Peso | | | 4,217,163 | | | | USD | | | | 211,640 | | | | UBS | | | | 209,102 | | | | 9/8/22 | | | | 2,538 | |
Mexican Peso | | | 7,858,000 | | | | USD | | | | 377,073 | | | | DUB | | | | 385,832 | | | | 10/27/22 | | | | (8,759 | ) |
New Zealand Dollar | | | 84,000 | | | | USD | | | | 51,909 | | | | DUB | | | | 51,400 | | | | 9/2/22 | | | | 509 | |
New Zealand Dollar | | | 65,000 | | | | USD | | | | 40,194 | | | | GSC | | | | 39,773 | | | | 9/2/22 | | | | 421 | |
New Zealand Dollar | | | 149,000 | | | | USD | | | | 91,128 | | | | BNP | | | | 91,169 | | | | 10/4/22 | | | | (41 | ) |
Norwegian Krone | | | 1,010,000 | | | | USD | | | | 106,165 | | | | JPM | | | | 101,610 | | | | 9/2/22 | | | | 4,555 | |
Peruvian Sol | | | 4,791,317 | | | | USD | | | | 1,203,425 | | | | GSC | | | | 1,233,145 | | | | 12/6/22 | | | | (29,720 | ) |
Polish Zloty | | | 250,000 | | | | USD | | | | 52,063 | | | | BCLY | | | | 52,769 | | | | 10/17/22 | | | | (706 | ) |
Singapore Dollar | | | 2,017,064 | | | | USD | | | | 1,458,639 | | | | BNP | | | | 1,443,508 | | | | 9/8/22 | | | | 15,131 | |
Singapore Dollar | | | 83,000 | | | | USD | | | | 59,368 | | | | GSC | | | | 59,399 | | | | 9/8/22 | | | | (31 | ) |
Singapore Dollar | | | 313,000 | | | | USD | | | | 227,269 | | | | JPM | | | | 223,997 | | | | 9/8/22 | | | | 3,272 | |
Swiss Franc | | | 66,000 | | | | USD | | | | 68,859 | | | | BOA | | | | 67,527 | | | | 9/2/22 | | | | 1,332 | |
Swiss Franc | | | 57,000 | | | | USD | | | | 59,535 | | | | UBS | | | | 58,318 | | | | 9/2/22 | | | | 1,217 | |
Thai Baht | | | 24,027,529 | | | | USD | | | | 671,830 | | | | UBS | | | | 659,155 | | | | 11/7/22 | | | | 12,675 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | 3,384,096 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Unrealized Appreciation on Open Forward Foreign Currency Contracts | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 3,256,310 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
At August 31, 2022, 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 | | | 3.514% | | | | PAM* | | | | 12/20/22 | | | | GSC | | | | USD | | | | 3,800,000 | | | $ | 14,169 | | | $ | 4,277 | | | $ | 9,892 | |
| iBoxx Investment Grade Index | | 3-Month USD-LIBOR | | | 2.935% | | | | PAM | | | | 9/20/22 | | | | BNP | | | | USD | | | | 4,000,000 | | | | 671,793 | | | | 1,071 | | | | 670,722 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 685,962 | | | $ | 5,348 | | | $ | 680,614 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
260
| | | | | | |
| International Fixed Income Fund |
At August 31, 2022, 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) | |
| Receive | | Thai Overnight Repurchase Rate | | | 2.000% | | | | 9/21/24 | | | | 3-Month | | | | BOA | | | | THB | | | | 36,000,000 | | | $ | 27 | | | $ | (1,535 | ) | | $ | 1,562 | |
| Receive | | Thai Overnight Repurchase Rate | | | 2.000% | | | | 9/21/24 | | | | 3-Month | | | | GSC | | | | THB | | | | 107,700,000 | | | | 81 | | | | (11,338 | ) | | | 11,419 | |
| Receive | | Thai Overnight Repurchase Rate | | | 1.750% | | | | 9/21/24 | | | | 3-Month | | | | SCB | | | | THB | | | | 28,000,000 | | | | 3,792 | | | | 1,321 | | | | 2,471 | |
| Receive | | Thai Overnight Repurchase Rate | | | 2.000% | | | | 9/21/24 | | | | 3-Month | | | | SCB | | | | THB | | | | 75,200,000 | | | | 57 | | | | (8,387 | ) | | | 8,444 | |
| Receive | | Thai Overnight Repurchase Rate | | | 2.000% | | | | 9/21/27 | | | | 3-Month | | | | SCB | | | | THB | | | | 93,000,000 | | | | 33,617 | | | | 789 | | | | 32,828 | |
| Receive | | Thai Overnight Repurchase Rate | | | 2.250% | | | | 9/21/27 | | | | 3-Month | | | | SCB | | | | THB | | | | 8,500,000 | | | | 329 | | | | (5,191 | ) | | | 5,520 | |
| Receive | | Thai Overnight Repurchase Rate | | | 2.250% | | | | 9/21/27 | | | | 3-Month | | | | SCB | | | | THB | | | | 24,400,000 | | | | 945 | | | | (3,921 | ) | | | 4,866 | |
| Receive | | 3-Month MYR-LIBOR | | | 3.250% | | | | 3/16/32 | | | | 3-Month | | | | BOA | | | | MYR | | | | 5,200,000 | | | | 64,896 | | | | 16,482 | | | | 48,414 | |
| Receive | | 3-Month MYR-LIBOR | | | 3.500% | | | | 9/21/27 | | | | 3-Month | | | | BOA | | | | MYR | | | | 5,100,000 | | | | 10,437 | | | | 3,170 | | | | 7,267 | |
| Receive | | 3-Month MYR-LIBOR | | | 3.500% | | | | 3/16/32 | | | | 3-Month | | | | BOA | | | | MYR | | | | 100,000 | | | | 754 | | | | (17 | ) | | | 771 | |
| Receive | | 3-Month MYR-LIBOR | | | 3.500% | | | | 9/21/27 | | | | 3-Month | | | | GSC | | | | MYR | | | | 600,000 | | | | 1,228 | | | | 179 | | | | 1,049 | |
| Receive | | 3-Month MYR-LIBOR | | | 3.500% | | | | 9/21/27 | | | | 3-Month | | | | SCB | | | | MYR | | | | 1,500,000 | | | | 3,070 | | | | 1,129 | | | | 1,941 | |
| Receive | | 3-Month MYR-LIBOR | | | 3.500% | | | | 3/16/32 | | | | 3-Month | | | | SCB | | | | MYR | | | | 400,000 | | | | 3,016 | | | | (1,240 | ) | | | 4,256 | |
| Pay | | 6-Month Thailand Fixing Rate | | | 3.250% | | | | 6/15/32 | | | | 6-Month | | | | BNP | | | | THB | | | | 14,500,000 | | | | 24,533 | | | | 2,281 | | | | 22,252 | |
| Pay | | 6-Month Thailand Fixing Rate | | | 2.750% | | | | 9/21/32 | | | | 6-Month | | | | BOA | | | | THB | | | | 9,700,000 | | | | 2,177 | | | | (260 | ) | | | 2,437 | |
| Pay | | 6-Month Thailand Fixing Rate | | | 3.250% | | | | 6/15/32 | | | | 6-Month | | | | BOA | | | | THB | | | | 400,000 | | | | 676 | | | | 60 | | | | 616 | |
| Pay | | 6-Month Thailand Fixing Rate | | | 2.500% | | | | 9/21/32 | | | | 6-Month | | | | GSC | | | | THB | | | | 22,700,000 | | | | (8,597 | ) | | | (3,793 | ) | | | (4,804 | ) |
| Pay | | 6-Month Thailand Fixing Rate | | | 3.250% | | | | 6/15/32 | | | | 6-Month | | | | GSC | | | | THB | | | | 3,400,000 | | | | 5,752 | | | | 608 | | | | 5,144 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 146,790 | | | $ | (9,663 | ) | | $ | 156,453 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
At August 31, 2022, 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 | | Bank of Japan Uncollateralised Overnight Call Rate | | | 0.000% | | | | 12/15/26 | | | | 12-Month | | | | JPY | | | | 90,000,000 | | | $ | (4,488 | ) | | $ | (3,627 | ) | | $ | (861 | ) |
| Pay | | Bank of Japan Uncollateralised Overnight Call Rate | | | 0.000% | | | | 3/17/31 | | | | 6-Month | | | | JPY | | | | 580,000,000 | | | | (146,277 | ) | | | (20,750 | ) | | | (125,527 | ) |
| Pay | | Bank of Japan Uncollateralised Overnight Call Rate | | | 0.050% | | | | 12/15/31 | | | | 12-Month | | | | JPY | | | | 270,000,000 | | | | (58,884 | ) | | | (65,996 | ) | | | 7,112 | |
| Pay | | Bank of Japan Uncollateralised Overnight Call Rate | | | 0.200% | | | | 6/19/29 | | | | 6-Month | | | | JPY | | | | 410,000,000 | | | | (26,016 | ) | | | 55,540 | | | | (81,556 | ) |
| Pay | | Bank of Japan Uncollateralised Overnight Call Rate | | | 0.250% | | | | 3/15/32 | | | | 12-Month | | | | JPY | | | | 50,000,000 | | | | (4,515 | ) | | | (1,479 | ) | | | (3,036 | ) |
| Pay | | Bank of Japan Uncollateralised Overnight Call Rate | | | 0.400% | | | | 12/15/51 | | | | 12-Month | | | | JPY | | | | 67,000,000 | | | | (74,039 | ) | | | (28,522 | ) | | | (45,517 | ) |
| Pay | | Bank of Japan Uncollateralised Overnight Call Rate | | | 0.450% | | | | 12/15/51 | | | | 12-Month | | | | JPY | | | | 140,000,000 | | | | (141,360 | ) | | | (147,394 | ) | | | 6,034 | |
| Pay | | Bank of Japan Uncollateralised Overnight Call Rate | | | 0.700% | | | | 3/15/52 | | | | 12-Month | | | | JPY | | | | 40,000,000 | | | | (21,796 | ) | | | (4,225 | ) | | | (17,571 | ) |
| Receive | | Bank of Japan Uncollateralised Overnight Call Rate | | | 0.400% | | | | 6/19/39 | | | | 6-Month | | | | JPY | | | | 80,000,000 | | | | 34,043 | | | | (20,457 | ) | | | 54,500 | |
| Receive | | China 7-Day Reverse Repo Index | | | 2.500% | | | | 9/15/26 | | | | 3-Month | | | | CNY | | | | 15,400,000 | | | | (28,175 | ) | | | 14,710 | | | | (42,885 | ) |
| Receive | | China 7-Day Reverse Repo Index | | | 2.500% | | | | 6/15/27 | | | | 3-Month | | | | CNY | | | | 4,800,000 | | | | (6,759 | ) | | | 65 | | | | (6,824 | ) |
| Receive | | China 7-Day Reverse Repo Index | | | 2.500% | | | | 9/21/27 | | | | 3-Month | | | | CNY | | | | 4,800,000 | | | | (5,003 | ) | | | 3,245 | | | | (8,248 | ) |
| Receive | | China 7-Day Reverse Repo Index | | | 2.750% | | | | 9/15/26 | | | | 3-Month | | | | CNY | | | | 13,500,000 | | | | (46,798 | ) | | | (10,868 | ) | | | (35,930 | ) |
| Pay | | Financial Benchmarks India Overnight Mumbai Interbank Outright Rate | | | 5.750% | | | | 3/15/24 | | | | PAM | * | | | INR | | | | 179,850,000 | | | | (18,688 | ) | | | (23,255 | ) | | | 4,567 | |
See Notes to Financial Statements.
261
| | | | | | |
| 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 | | Financial Benchmarks India Overnight Mumbai Interbank Outright Rate | | | 6.250% | | | | 9/21/23 | | | | PAM | | | | INR | | | | 547,000,000 | | | $ | (10,721 | ) | | $ | (1,728 | ) | | $ | (8,993 | ) |
| Pay | | Financial Benchmarks India Overnight Mumbai Interbank Outright Rate | | | 6.250% | | | | 9/21/24 | | | | 6-Month | | | | INR | | | | 90,300,000 | | | | (3,490 | ) | | | 210 | | | | (3,700 | ) |
| Pay | | Financial Benchmarks India Overnight Mumbai Interbank Outright Rate | | | 6.500% | | | | 9/21/24 | | | | 6-Month | | | | INR | | | | 147,776,000 | | | | 2,853 | | | | (10,963 | ) | | | 13,816 | |
| Pay | | Financial Benchmarks India Overnight Mumbai Interbank Outright Rate | | | 6.750% | | | | 9/21/24 | | | | 6-Month | | | | INR | | | | 244,600,000 | | | | 18,898 | | | | 1,140 | | | | 17,758 | |
| Receive | | Financial Benchmarks India Overnight Mumbai Interbank Outright Rate | | | 5.750% | | | | 3/16/27 | | | | 6-Month | | | | INR | | | | 231,500,000 | | | | 60,555 | | | | 117,983 | | | | (57,428 | ) |
| Receive | | Financial Benchmarks India Overnight Mumbai Interbank Outright Rate | | | 6.250% | | | | 3/16/32 | | | | 6-Month | | | | INR | | | | 22,000,000 | | | | 5,782 | | | | 15,809 | | | | (10,027 | ) |
| Receive | | Financial Benchmarks India Overnight Mumbai Interbank Outright Rate | | | 6.500% | | | | 9/21/27 | | | | 6-Month | | | | INR | | | | 69,000,000 | | | | (98 | ) | | | 2,830 | | | | (2,928 | ) |
| Receive | | Financial Benchmarks India Overnight Mumbai Interbank Outright Rate | | | 7.000% | | | | 9/21/27 | | | | 6-Month | | | | INR | | | | 61,800,000 | | | | (16,347 | ) | | | (4,117 | ) | | | (12,230 | ) |
| Pay | | Korean Won Certificate of Deposit | | | 3.000% | | | | 9/21/27 | | | | 3-Month | | | | KRW | | | | 4,841,800,000 | | | | (110,395 | ) | | | (9,648 | ) | | | (100,747 | ) |
| Pay | | Singapore Overnight Index Average | | | 2.500% | | | | 9/21/27 | | | | 6-Month | | | | SGD | | | | 2,300,000 | | | | (33,367 | ) | | | (11,380 | ) | | | (21,987 | ) |
| Pay | | Singapore Overnight Index Average | | | 2.500% | | | | 9/21/32 | | | | 6-Month | | | | SGD | | | | 800,000 | | | | (17,696 | ) | | | 2,429 | | | | (20,125 | ) |
| Pay | | Singapore Overnight Index Average | | | 2.750% | | | | 6/15/27 | | | | 6-Month | | | | SGD | | | | 700,000 | | | | (3,145 | ) | | | (1,267 | ) | | | (1,878 | ) |
| Pay | | Singapore Overnight Index Average | | | 2.750% | | | | 9/21/27 | | | | 6-Month | | | | SGD | | | | 3,599,000 | | | | (22,575 | ) | | | (11,552 | ) | | | (11,023 | ) |
| Pay | | Singapore Overnight Index Average | | | 3.000% | | | | 6/15/27 | | | | 6-Month | | | | SGD | | | | 1,600,000 | | | | 6,099 | | | | (3,061 | ) | | | 9,160 | |
| Pay | | SOFR | | | 2.886% | | | | 5/15/32 | | | | 12-Month | | | | USD | | | | 14,500,000 | | | | (104,372 | ) | | | 140,907 | | | | (245,279 | ) |
| Pay | | SOFR | | | 2.968% | | | | 6/30/24 | | | | 12-Month | | | | USD | | | | 10,400,000 | | | | (118,005 | ) | | | — | | | | (118,005 | ) |
| Pay | | SOFR | | | 1.000% | | | | 6/15/29 | | | | 12-Month | | | | USD | | | | 400,000 | | | | (50,017 | ) | | | (21,801 | ) | | | (28,216 | ) |
| Pay | | SOFR | | | 1.250% | | | | 12/15/28 | | | | 12-Month | | | | USD | | | | 3,000,000 | | | | (294,903 | ) | | | 11,605 | | | | (306,508 | ) |
| Pay | | SOFR | | | 1.500% | | | | 6/15/52 | | | | 12-Month | | | | USD | | | | 700,000 | | | | (171,231 | ) | | | (19,768 | ) | | | (151,463 | ) |
| Pay | | SOFR | | | 1.695% | | | | 11/15/31 | | | | 12-Month | | | | USD | | | | 3,700,000 | | | | (379,703 | ) | | | (6,181 | ) | | | (373,522 | ) |
| Pay | | SOFR | | | 1.750% | | | | 6/15/52 | | | | 12-Month | | | | USD | | | | 1,900,000 | | | | (368,770 | ) | | | (328,725 | ) | | | (40,045 | ) |
| Pay | | SOFR | | | 1.888% | | | | 3/22/29 | | | | 12-Month | | | | USD | | | | 800,000 | | | | (51,368 | ) | | | — | | | | (51,368 | ) |
| Pay | | SOFR | | | 2.175% | | | | 4/21/29 | | | | 12-Month | | | | USD | | | | 800,000 | | | | (38,319 | ) | | | — | | | | (38,319 | ) |
| Receive | | SOFR | | | 1.750% | | | | 6/15/24 | | | | 12-Month | | | | USD | | | | 5,000,000 | | | | 160,884 | | | | 136,204 | | | | 24,680 | |
| Receive | | SOFR | | | 1.750% | | | | 6/15/29 | | | | 12-Month | | | | USD | | | | 700,000 | | | | 52,669 | | | | 45,421 | | | | 7,248 | |
| Receive | | SOFR | | | 2.730% | | | | 4/30/29 | | | | 12-Month | | | | USD | | | | 3,200,000 | | | | 56,949 | | | | — | | | | 56,949 | |
| Receive | | SOFR | | | 2.817% | | | | 4/30/29 | | | | 12-Month | | | | USD | | | | 5,800,000 | | | | 73,268 | | | | — | | | | 73,268 | |
| Receive | | SOFR | | | 2.819% | | | | 4/30/29 | | | | 12-Month | | | | USD | | | | 900,000 | | | | 11,292 | | | | — | | | | 11,292 | |
| Receive | | SOFR | | | 2.965% | | | | 11/30/26 | | | | 12-Month | | | | USD | | | | 14,500,000 | | | | 132,401 | | | | 3,417 | | | | 128,984 | |
| Receive | | SOFR | | | 0.500% | | | | 6/15/24 | | | | 12-Month | | | | USD | | | | 2,000,000 | | | | 113,252 | | | | 19,350 | | | | 93,902 | |
| Receive | | SOFR | | | 1.000% | | | | 12/15/26 | | | | 12-Month | | | | USD | | | | 1,000,000 | | | | 85,186 | | | | 3,719 | | | | 81,467 | |
| Receive | | SOFR | | | 1.000% | | | | 6/15/27 | | | | 12-Month | | | | USD | | | | 1,600,000 | | | | 153,914 | | | | 58,831 | | | | 95,083 | |
| Receive | | SOFR | | | 1.320% | | | | 12/21/23 | | | | PAM | | | | USD | | | | 96,400,000 | | | | 2,357,799 | | | | 930,714 | | | | 1,427,085 | |
| Receive | | SOFR | | | 1.750% | | | | 6/15/27 | | | | 12-Month | | | | USD | | | | 6,700,000 | | | | 411,663 | | | | 273,917 | | | | 137,746 | |
| Receive | | SOFR | | | 1.750% | | | | 6/15/32 | | | | 12-Month | | | | USD | | | | 3,625,000 | | | | 374,280 | | | | 324,333 | | | | 49,947 | |
| Receive | | SOFR | | | 1.850% | | | | 4/21/24 | | | | PAM | | | | USD | | | | 13,000,000 | | | | 234,765 | | | | 144,162 | | | | 90,603 | |
| Receive | | SOFR | | | 2.117% | | | | 3/31/24 | | | | 12-Month | | | | USD | | | | 3,200,000 | | | | 73,821 | | | | — | | | | 73,821 | |
| Receive | | SOFR | | | 2.209% | | | | 3/31/24 | | | | 12-Month | | | | USD | | | | 1,700,000 | | | | 36,575 | | | | — | | | | 36,575 | |
See Notes to Financial Statements.
262
| | | | | | |
| 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 | | | 0.010% | | | | 2/7/23 | | | | PAM | | | | GBP | | | | 4,800,000 | | | $ | (98,507 | ) | | $ | — | | | $ | (98,507 | ) |
| Pay | | Sterling Overnight Index Average | | | 0.500% | | | | 9/21/24 | | | | 12-Month | | | | GBP | | | | 1,300,000 | | | | (99,647 | ) | | | (70,935 | ) | | | (28,712 | ) |
| Pay | | Sterling Overnight Index Average | | | 0.500% | | | | 9/21/27 | | | | 12-Month | | | | GBP | | | | 1,300,000 | | | | (198,941 | ) | | | (107,109 | ) | | | (91,832 | ) |
| Pay | | Sterling Overnight Index Average | | | 0.750% | | | | 9/21/32 | | | | 12-Month | | | | GBP | | | | 3,000,000 | | | | (669,658 | ) | | | (463,765 | ) | | | (205,893 | ) |
| Pay | | Sterling Overnight Index Average | | | 0.750% | | | | 9/21/52 | | | | 12-Month | | | | GBP | | | | 500,000 | | | | (224,490 | ) | | | (190,508 | ) | | | (33,982 | ) |
| Pay | | Swiss Average Rate Overnight Index | | | (0.500)% | | | | 9/15/26 | | | | 12-Month | | | | CHF | | | | 2,400,000 | | | | (170,145 | ) | | | (3,087 | ) | | | (167,058 | ) |
| Pay | | Swiss Average Rate Overnight Index | | | 0.283% | | | | 2/14/27 | | | | 12-Month | | | | CHF | | | | 600,000 | | | | (25,320 | ) | | | — | | | | (25,320 | ) |
| Pay | | Swiss Average Rate Overnight Index | | | 0.294% | | | | 2/10/27 | | | | 12-Month | | | | CHF | | | | 800,000 | | | | (33,097 | ) | | | (22,343 | ) | | | (10,754 | ) |
| Pay | | Swiss Average Rate Overnight Index | | | 0.295% | | | | 2/17/27 | | | | 12-Month | | | | CHF | | | | 300,000 | | | | (12,531 | ) | | | — | | | | (12,531 | ) |
| Pay | | Swiss Average Rate Overnight Index | | | 0.300% | | | | 2/15/27 | | | | 12-Month | | | | CHF | | | | 600,000 | | | | (24,808 | ) | | | — | | | | (24,808 | ) |
| Pay | | Swiss Average Rate Overnight Index | | | 0.343% | | | | 5/16/27 | | | | 12-Month | | | | CHF | | | | 400,000 | | | | (18,044 | ) | | | — | | | | (18,044 | ) |
| Pay | | Swiss Average Rate Overnight Index | | | 0.368% | | | | 6/15/27 | | | | 12-Month | | | | CHF | | | | 2,900,000 | | | | (132,632 | ) | | | (6,662 | ) | | | (125,970 | ) |
| Pay | | 3-Month Canadian Bank Bill | | | 1.220% | | | | 3/3/25 | | | | 6-Month | | | | CAD | | | | 2,000,000 | | | | (104,077 | ) | | | (380 | ) | | | (103,697 | ) |
| Pay | | 3-Month Canadian Bank Bill | | | 1.250% | | | | 6/16/31 | | | | 6-Month | | | | CAD | | | | 1,500,000 | | | | (203,128 | ) | | | (135,835 | ) | | | (67,293 | ) |
| Pay | | 3-Month Canadian Bank Bill | | | 1.500% | | | | 6/17/30 | | | | 6-Month | | | | CAD | | | | 2,200,000 | | | | (238,557 | ) | | | (27,393 | ) | | | (211,164 | ) |
| Pay | | 3-Month Canadian Bank Bill | | | 1.585% | | | | 7/19/31 | | | | 6-Month | | | | CAD | | | | 800,000 | | | | (93,562 | ) | | | (53,520 | ) | | | (40,042 | ) |
| Pay | | 3-Month Canadian Bank Bill | | | 1.713% | | | | 10/2/29 | | | | 6-Month | | | | CAD | | | | 700,000 | | | | (61,827 | ) | | | 2,504 | | | | (64,331 | ) |
| Pay | | 3-Month Canadian Bank Bill | | | 1.900% | | | | 12/18/29 | | | | 6-Month | | | | CAD | | | | 800,000 | | | | (65,599 | ) | | | 12,573 | | | | (78,172 | ) |
| Pay | | 3-Month FRA New Zealand Bank Bill | | | 3.000% | | | | 11/1/23 | | | | 3-Month | | | | NZD | | | | 3,900,000 | | | | (30,709 | ) | | | 1,323 | | | | (32,032 | ) |
| Pay | | 3-Month FRA New Zealand Bank Bill | | | 3.000% | | | | 12/15/23 | | | | 3-Month | | | | NZD | | | | 4,400,000 | | | | (37,446 | ) | | | (779 | ) | | | (36,667 | ) |
| Pay | | 3-Month FRA New Zealand Bank Bill | | | 3.750% | | | | 6/15/27 | | | | 3-Month | | | | NZD | | | | 1,800,000 | | | | (16,162 | ) | | | (18,296 | ) | | | 2,134 | |
| Pay | | 3-Month FRA New Zealand Bank Bill | | | 4.000% | | | | 6/14/24 | | | | 3-Month | | | | NZD | | | | 10,100,000 | | | | (30,504 | ) | | | (22,659 | ) | | | (7,845 | ) |
| Pay | | 3-Month SEK-STIBOR-SIDE | | | 0.500% | | | | 6/19/24 | | | | 3-Month | | | | SEK | | | | 4,800,000 | | | | (20,110 | ) | | | 6,261 | | | | (26,371 | ) |
| Pay | | 3-Month USD-LIBOR | | | 0.500% | | | | 6/16/28 | | | | 3-Month | | | | USD | | | | 500,000 | | | | (76,235 | ) | | | (21,371 | ) | | | (54,864 | ) |
| Pay | | 3-Month USD-LIBOR | | | 1.500% | | | | 12/15/28 | | | | 3-Month | | | | USD | | | | 3,100,000 | | | | (321,859 | ) | | | 55,638 | | | | (377,497 | ) |
| Pay | | 3-Month USD-LIBOR | | | 1.518% | | | | 1/20/29 | | | | 3-Month | | | | USD | | | | 100,000 | | | | (10,483 | ) | | | — | | | | (10,483 | ) |
| Pay | | 3-Month USD-LIBOR | | | 1.545% | | | | 1/20/29 | | | | 3-Month | | | | USD | | | | 900,000 | | | | (92,923 | ) | | | — | | | | (92,923 | ) |
| Pay | | 3-Month USD-LIBOR | | | 1.630% | | | | 1/26/29 | | | | 3-Month | | | | USD | | | | 200,000 | | | | (19,648 | ) | | | — | | | | (19,648 | ) |
| Receive | | 3-Month USD-LIBOR | | | 0.250% | | | | 3/30/23 | | | | 3-Month | | | | USD | | | | 1,200,000 | | | | 26,404 | | | | 122 | | | | 26,282 | |
| Receive | | 3-Month USD-LIBOR | | | 0.400% | | | | 3/30/26 | | | | 3-Month | | | | USD | | | | 850,000 | | | | 91,108 | | | | 17,606 | | | | 73,502 | |
| Receive | | 3-Month USD-LIBOR | | | 0.750% | | | | 6/16/31 | | | | 3-Month | | | | USD | | | | 200,000 | | | | 38,812 | | | | 11,329 | | | | 27,483 | |
| Receive | | 3-Month USD-LIBOR | | | 1.250% | | | | 12/15/26 | | | | 3-Month | | | | USD | | | | 2,400,000 | | | | 213,312 | | | | (29,693 | ) | | | 243,005 | |
| Receive | | 3-Month USD-LIBOR | | | 1.270% | | | | 11/4/23 | | | | 3-Month | | | | USD | | | | 15,900,000 | | | | 436,093 | | | | 172,750 | | | | 263,343 | |
| Receive | | 3-Month USD-LIBOR | | | 1.298% | | | | 8/25/24 | | | | 3-Month | | | | USD | | | | 1,400,000 | | | | 67,871 | | | | (30,011 | ) | | | 97,882 | |
| Receive | | 3-Month USD-LIBOR | | | 1.305% | | | | 8/21/23 | | | | 3-Month | | | | USD | | | | 2,000,000 | | | | 49,662 | | | | (40,806 | ) | | | 90,468 | |
| Receive | | 3-Month USD-LIBOR | | | 1.750% | | | | 12/15/31 | | | | 3-Month | | | | USD | | | | 200,000 | | | | 24,129 | | | | (7,578 | ) | | | 31,707 | |
| Pay | | 6-Month Australian Bank Bill | | | 4.500% | | | | 9/15/32 | | | | 6-Month | | | | AUD | | | | 3,400,000 | | | | 16,517 | | | | 15,628 | | | | 889 | |
| Pay | | 6-Month EURIBOR | | | (0.500)% | | | | 9/21/24 | | | | 6-Month | | | | EUR | | | | 10,600,000 | | | | (571,656 | ) | | | (914,042 | ) | | | 342,386 | |
| Pay | | 6-Month EURIBOR | | | (0.250)% | | | | 9/21/27 | | | | 6-Month | | | | EUR | | | | 24,200,000 | | | | (2,921,247 | ) | | | (2,631,689 | ) | | | (289,558 | ) |
| Pay | | 6-Month EURIBOR | | | 0.250% | | | | 9/21/32 | | | | 6-Month | | | | EUR | | | | 4,830,000 | | | | (948,741 | ) | | | (1,218,979 | ) | | | 270,238 | |
| Pay | | 6-Month EURIBOR | | | 0.550% | | | | 8/10/24 | | | | 6-Month | | | | EUR | | | | 200,000 | | | | (5,847 | ) | | | — | | | | (5,847 | ) |
| Pay | | 6-Month EURIBOR | | | 0.650% | | | | 4/12/27 | | | | 6-Month | | | | EUR | | | | 500,000 | | | | (32,918 | ) | | | — | | | | (32,918 | ) |
| Pay | | 6-Month EURIBOR | | | 0.650% | | | | 5/11/27 | | | | 6-Month | | | | EUR | | | | 300,000 | | | | (20,283 | ) | | | — | | | | (20,283 | ) |
| Pay | | 6-Month EURIBOR | | | 0.700% | | | | 4/11/27 | | | | 6-Month | | | | EUR | | | | 200,000 | | | | (12,685 | ) | | | — | | | | (12,685 | ) |
| Pay | | 6-Month EURIBOR | | | 1.000% | | | | 5/13/27 | | | | 6-Month | | | | EUR | | | | 500,000 | | | | (25,402 | ) | | | — | | | | (25,402 | ) |
| Pay | | 6-Month EURIBOR | | | 2.250% | | | | 9/21/37 | | | | 6-Month | | | | EUR | | | | 4,450,000 | | | | (141,059 | ) | | | 211,915 | | | | (352,974 | ) |
| Pay | | 6-Month EURIBOR | | | 2.250% | | | | 9/21/42 | | | | 6-Month | | | | EUR | | | | 2,310,000 | | | | (42,583 | ) | | | 176,898 | | | | (219,481 | ) |
| Receive | | 6-Month EURIBOR | | | 0.054% | | | | 5/27/50 | | | | 6-Month | | | | EUR | | | | 50,000 | | | | 18,679 | | | | 6,520 | | | | 12,159 | |
| Receive | | 6-Month EURIBOR | | | 0.064% | | | | 11/17/52 | | | | 6-Month | | | | EUR | | | | 100,000 | | | | 44,200 | | | | 11,996 | | | | 32,204 | |
| Receive | | 6-Month EURIBOR | | | 0.500% | | | | 9/21/52 | | | | 6-Month | | | | EUR | | | | 745,000 | | | | 257,585 | | | | 198,898 | | | | 58,687 | |
| Pay | | 28-Day MXN TIIE Banxico | | | 4.870% | | | | 7/7/25 | | | | 28-Day | | | | MXN | | | | 31,300,000 | | | | (172,386 | ) | | | (90,196 | ) | | | (82,190 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | $ | (4,661,456 | ) | | $ | (3,655,898 | ) | | $ | (1,005,558 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
263
| | | | | | |
| International Fixed Income Fund |
| | | | | | | | | | | | | | | | | | | | | | |
Fund Pay
Floating Rate Index | | Fund Receive
Floating Rate Index | | Maturity
Date | | | Notional
Amount | | | Market
Value | | | Upfront
Payment
Paid/
(Received) | | | Unrealized
Appreciation/
(Depreciation) | |
| 1-Month USD-LIBOR + 0.070% | | 3-Month USD-LIBOR | | | 3/7/24 | | | USD | 1,100,000 | | | $ | (49 | ) | | $ | 18 | | | $ | (67 | ) |
| 1-Month USD-LIBOR + 0.073% | | 3-Month USD-LIBOR | | | 4/27/23 | | | USD | 4,600,000 | | | | 20 | | | | (1,135 | ) | | | 1,155 | |
| 1-Month USD-LIBOR + 0.086% | | 3-Month USD-LIBOR | | | 4/12/23 | | | USD | 3,100,000 | | | | (1,328 | ) | | | (2,444 | ) | | | 1,116 | |
| 1-Month USD-LIBOR + 0.102% | | 3-Month USD-LIBOR | | | 10/4/24 | | | USD | 2,600,000 | | | | (148 | ) | | | 115 | | | | (263 | ) |
| 1-Month USD-LIBOR + 0.105% | | 3-Month USD-LIBOR | | | 9/27/24 | | | USD | 1,700,000 | | | | (20 | ) | | | (77 | ) | | | 57 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | $ | (1,525 | ) | | $ | (3,523 | ) | | $ | 1,998 | |
| | | | | | | | | | | | | | | | | | | | | | |
At August 31, 2022, International Fixed Income Fund held the following Centrally Cleared Inflation Rate Swap Contracts:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Pay
Floating Rate | | Floating Rate Index | | Fixed
Rate | | | Maturity
Date | | | Notional
Amount | | | Market
Value | | | Upfront
Payment
(Received) | | | Unrealized
Depreciation | |
| Pay | | 10-Year GBP Inflation Linked | | | 3.740% | | | | 3/15/31 | | | | GBP | | | | 300,000 | | | $ | (69,550 | ) | | $ | (2,630 | ) | | $ | (66,920 | ) |
| Pay | | 10-Year GBP Inflation Linked | | | 3.700% | | | | 4/15/31 | | | | GBP | | | | 450,000 | | | | (108,214 | ) | | | (9,516 | ) | | | (98,698 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | $ | (177,764 | ) | | $ | (12,146 | ) | | $ | (165,618 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
At August 31, 2022, 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
Spread at
8/31/22 (2) | | | Notional
Amount | | | Market
Value | | | Upfront
Payment
(Received) | | | Unrealized
Appreciation | |
China Government International Bonds, A+ | | | (1.000)% | | | | 6/20/23 | | | | 3-Month | | | | BCLY | | | | 0.298 | % | | | USD | | | | 200,000 | | | $ | (1,524 | ) | | $ | (3,815 | ) | | $ | 2,291 | |
China Government International Bonds, A+ | | | (1.000)% | | | | 6/20/23 | | | | 3-Month | | | | GSC | | | | 0.298 | % | | | USD | | | | 500,000 | | | | (3,809 | ) | | | (9,653 | ) | | | 5,844 | |
South Korea International Bonds, AA | | | (1.000)% | | | | 6/20/23 | | | | 3-Month | | | | BCLY | | | | 0.204 | % | | | USD | | | | 600,000 | | | | (5,024 | ) | | | (15,056 | ) | | | 10,032 | |
South Korea International Bonds, AA | | | (1.000)% | | | | 6/20/23 | | | | 3-Month | | | | BNP | | | | 0.204 | % | | | USD | | | | 400,000 | | | | (3,350 | ) | | | (9,884 | ) | | | 6,534 | |
South Korea International Bonds, AA | | | (1.000)% | | | | 6/20/23 | | | | 3-Month | | | | HSBC | | | | 0.204 | % | | | USD | | | | 200,000 | | | | (1,675 | ) | | | (4,989 | ) | | | 3,314 | |
South Korea International Bonds, AA | | | (1.000)% | | | | 6/20/23 | | | | 3-Month | | | | JPM | | | | 0.204 | % | | | USD | | | | 400,000 | | | | (3,349 | ) | | | (9,580 | ) | | | 6,231 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | (18,731 | ) | | $ | (52,977 | ) | | $ | 34,246 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| † | All ratings are by Standard & Poor’s Rating Service, unless otherwise noted. |
See Notes to Financial Statements.
264
| | | | | | |
| International Fixed Income Fund |
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
8/31/22 (2) | | | Notional
Amount | | | Market
Value | | | Upfront
Payment
(Received) | | | Unrealized
Appreciation | |
Republic of Italy Government International Bonds, BBB | | 1.000% | | | 6/20/25 | | | | 3-Month | | | | BCLY | | | | 1.118 | % | | | USD | | | | 300,000 | | | $ | (326 | ) | | $ | (7,348 | ) | | $ | 7,022 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| † | All ratings are by Standard & Poor’s Rating Service, unless otherwise noted. |
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
8/31/22 (2) | | | Notional
Amount | | | Market
Value | | | Upfront
Payment
Paid/
(Received) | | | Unrealized
Appreciation | |
Markit CDX North America High Yield Series 35 5-Year Index, NR | | | (5.000)% | | | | 12/20/25 | | | | 3-Month | | | | 4.719 | % | | | USD | | | | 198,000 | | | $ | (3,579 | ) | | $ | (19,303 | ) | | $ | 15,724 | |
Markit CDX North America High Yield Series 36 5-Year Index, NR | | | (5.000)% | | | | 6/20/26 | | | | 3-Month | | | | 4.841 | % | | | USD | | | | 297,000 | | | | (4,511 | ) | | | (29,168 | ) | | | 24,657 | |
Markit CDX North America Investment Grade Series 38 10-Year Index, NR | | | (1.000)% | | | | 6/20/32 | | | | 3-Month | | | | 1.281 | % | | | USD | | | | 1,300,000 | | | | 25,732 | | | | 20,052 | | | | 5,680 | |
Markit iTraxx Europe Series 31 10-Year Index, NR | | | (1.000)% | | | | 6/20/29 | | | | 3-Month | | | | 1.352 | % | | | EUR | | | | 9,600,000 | | | | 183,697 | | | | (218,575 | ) | | | 402,272 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | $ | 201,339 | | | $ | (246,994 | ) | | $ | 448,333 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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
8/31/22 (2) | | | Notional
Amount | | | Market
Value | | | Upfront
Payment
Paid/
(Received) | | | Unrealized
Appreciation/
(Depreciation) | |
Ford Motor Credit Co. LLC, BB+ | | | 5.000% | | | | 6/20/25 | | | | 3-Month | | | | 2.519 | % | | | USD | | | | 200,000 | | | $ | 14,737 | | | $ | 7,947 | | | $ | 6,790 | |
Jaguar Land Rover Automotive PLC, B+ | | | 5.000% | | | | 6/20/26 | | | | 3-Month | | | | 9.785 | % | | | EUR | | | | 200,000 | | | | (24,996 | ) | | | 12,873 | | | | (37,869 | ) |
Markit CDX North America Investment Grade Series 38 5-Year Index, NR | | | 1.000% | | | | 6/20/27 | | | | 3-Month | | | | 0.922 | % | | | USD | | | | 7,400,000 | | | | 39,852 | | | | 98,349 | | | | (58,497 | ) |
Rolls-Royce PLC, BB- | | | 1.000% | | | | 6/20/26 | | | | 3-Month | | | | 4.071 | % | | | EUR | | | | 200,000 | | | | (20,317 | ) | | | (15,002 | ) | | | (5,315 | ) |
Shell International Finance BV, A+ | | | 1.000% | | | | 12/20/26 | | | | 3-Month | | | | 0.654 | % | | | EUR | | | | 200,000 | | | | 3,269 | | | | 6,963 | | | | (3,694 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | $ | 12,545 | | | $ | 111,130 | | | $ | (98,585 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| † | All ratings are by Standard & Poor’s Rating Service, unless otherwise noted. |
See Notes to Financial Statements.
265
|
| International Fixed Income Fund |
At August 31, 2022, International Fixed Income Fund held the following OTC Cross-Currency Swap Contracts:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty Pay | | Counterparty Receive | | Maturity
Date | | | 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 | | | $ | (9,733 | ) | | $ | (3,920 | ) | | $ | (5,813 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (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. |
| (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 August 31, 2022, International Fixed Income Fund deposited cash collateral with brokers in the amount of $2,528,000 for open centrally cleared swap contracts.
At August 31, 2022, International Fixed Income Fund had cash collateral from brokers in the amount of $3,600,000 for open OTC swap contracts.
See Notes to Financial Statements.
266
|
| International Fixed Income Fund |
| | | | | | |
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 | | RBS | | — Royal Bank of Scotland PLC |
| HKD | | — Hong Kong Dollar | | 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 | | | | |
| NOK | | — Norwegian Krone | | | | |
| 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.
267
| | | | | | | | | | |
| Municipal Bond Fund | | | |
| | | |
Face
Amount† | | | Rating†† | | Security | | Value | |
|
| MUNICIPAL BONDS — 94.4% | |
|
| Alaska — 0.2% | |
| | | | | | Northern Tobacco Securitization Corp., Revenue Bonds: | | | | |
| $ | 105,000 | | | BBB+ | | Series A, 4.000% due 6/1/50 | | $ | 93,515 | |
| | 5,000 | | | BBB+ | | Series B1, 0.500% due 6/1/31 | | | 4,985 | |
| | 80,000 | | | BBB- | | Series B1, 4.000% due 6/1/50 | | | 81,305 | |
| | | | | | | | | | |
| | | | | | Total Alaska | | | 179,805 | |
| | | | | | | | | | |
|
| Arizona — 4.5% | |
| | 530,000 | | | BB | | Arizona Industrial Development Authority, Revenue Bonds, Somerset Academy of Las Vegas – Aliante and Skye Canyon Campus Projects, 3.000% due 12/15/31(a) | | | 458,807 | |
| | 2,815,000 | | | A+ | | Chandler Industrial Development Authority, Revenue Bonds, Variable AMT Intel Corp., 5.000% due 6/1/49(b)(c) | | | 2,906,626 | |
| | 150,000 | | | NR | | Industrial Development Authority of the County of Pima (The), Revenue Bonds, Imagine East Mesa Charter School, 3.250% due 7/1/24(a) | | | 148,028 | |
| | 400,000 | | | BB+ | | Maricopa County Industrial Development Authority, Revenue Bonds, Paradise School Project Paragon Management Inc., 4.000% due 7/1/26(a) | | | 395,923 | |
| | | | | | | | | | |
| | | | | | Total Arizona | | | 3,909,384 | |
| | | | | | | | | | |
|
| California — 19.3% | |
| | 195,000 | | | NR | | California Community Housing Agency, Revenue Bonds, 4.000% due 8/1/51(a) | | | 132,547 | |
| | | | | | California County Tobacco Securitization Agency, Revenue Bonds: | | | | |
| | 10,615,000 | | | NR | | zero coupon due 6/1/55 | | | 685,055 | |
| | 335,000 | | | A | | Merced County Tobacco Funding Corp., 5.000% due 6/1/31 | | | 369,556 | |
| | 500,000 | | | A+ | | California Health Facilities Financing Authority, Revenue Bonds, Providence St. Joseph Health, 3.000% due 10/1/47 | | | 369,897 | |
| | | | | | California School Finance Authority, Revenue Bonds: | | | | |
| | 640,000 | | | BBB | | Aspire Public School Obligation Group, 5.000% due 8/1/32(a) | | | 677,169 | |
| | 250,000 | | | NR | | iLead Lancaster Holdings LLC, Series A, 4.000% due 6/1/31(a) | | | 238,243 | |
| | 1,000,000 | | | A+ | | California State Public Works Board, Revenue Bonds, Series D, 4.000% due 5/1/47 | | | 972,219 | |
| | 15,750,000 | | | NR | | California Statewide Financing Authority, Revenue Bonds, Capital Appreciation Turbo Pooled Program, Series D, zero coupon due 6/1/55(a) | | | 768,138 | |
| | 165,000 | | | AAA | | City & County of San Francisco, CA, GO, Series R1, 5.000% due 6/15/32 | | | 197,722 | |
| | 1,000,000 | | | AA- | | City of Los Angeles Department of Airports, Revenue Bonds, AMT, 3.250% due 5/15/49(c) | | | 790,655 | |
| | 440,000 | | | NR | | CMFA Special Finance Agency VIII, Revenue Bonds, 3.000% due 8/1/56(a) | | | 312,142 | |
| | 1,565,000 | | | AA+ | | County of Los Angeles Public Works Financing Authority, Revenue Bonds, Green Bond, LACMA Building for the Permanent Collection Project,, 3.000% due 12/1/50 | | | 1,222,482 | |
| | | | | | CSCDA Community Improvement Authority, Revenue Bonds: | | | | |
| | 805,000 | | | NR | | 3.250% due 4/1/57(a) | | | 602,009 | |
| | 100,000 | | | NR | | 3.250% due 5/1/57(a) | | | 74,895 | |
| | 140,000 | | | NR | | 4.000% due 10/1/56(a) | | | 124,949 | |
| | 125,000 | | | NR | | 4.000% due 12/1/56(a) | | | 98,133 | |
| | 285,000 | | | NR | | 4.000% due 12/1/58(a) | | | 228,271 | |
| | 100,000 | | | NR | | 4.000% due 12/1/59(a) | | | 72,178 | |
| | 210,000 | | | NR | | Golden State Tobacco Securitization Corp., Revenue Bonds, Series B2, zero coupon due 6/1/66 | | | 24,835 | |
| | 500,000 | | | Aa3(d) | | Livermore Valley Joint Unified School District, GO, 4.000% due 8/1/46 | | | 484,883 | |
| | | | | | Los Angeles Department of Water & Power, Revenue Bonds: | | | | |
| | 500,000 | | | Aa2(d) | | Series A, 5.000% due 7/1/47 | | | 545,141 | |
| | 1,000,000 | | | Aa2(d) | | Series B, 5.000% due 7/1/47 | | | 1,106,042 | |
| | 1,350,000 | | | AA | | Orange Unified School District, GO, 5.000% due 8/1/35 | | | 1,558,305 | |
| | 1,000,000 | | | AA- | | Regents of the University of California Medical Center Pooled Revenue, Revenue Bonds, 5.000% due 5/15/47 | | | 1,098,899 | |
| | 595,000 | | | AA | | Riverside County Public Financing Authority, Tax Allocation, Series A, 4.000% due 10/1/40 | | | 586,098 | |
| | 500,000 | | | A2(d) | | San Diego County Regional Airport Authority, Revenue Bonds, Series A, 4.000% due 7/1/56 | | | 462,201 | |
| | 500,000 | | | A+ | | San Francisco City & County Airport Comm-San Francisco International Airport, Revenue Bonds, AMT, Series 2020, 4.000% due 5/1/39(c) | | | 479,625 | |
| | 475,000 | | | Aa2(d) | | Sonoma Valley Unified School District, GO, 4.000% due 8/1/38 | | | 478,292 | |
See Notes to Financial Statements.
268
| | | | | | | | | | |
| Municipal Bond Fund | | | |
| | | |
Face
Amount† | | | Rating†† | | Security | | Value | |
|
| California — 19.3% — (continued) | |
| | | | | | State of California, GO: | | | | |
| $ | 850,000 | | | AA- | | 5.000% due 4/1/42 | | $ | 918,616 | |
| | 1,020,000 | | | AA- | | 5.000% due 8/1/28 | | | 1,116,890 | |
| | | | | | | | | | |
| | | | | | Total California | | | 16,796,087 | |
| | | | | | | | | | |
|
| Colorado — 2.6% | |
| | 750,000 | | | A+ | | City & County of Denver, CO, Airport System Revenue, Revenue Bonds, AMT, Series A, 5.000% due 11/15/30(c) | | | 808,310 | |
| | 1,435,000 | | | AA+ | | City of Colorado Springs, CO, Utilities System Revenue, Revenue Bonds, System Improvement, Series B2, 5.000% due 11/15/38 | | | 1,472,200 | |
| | | | | | | | | | |
| | | | | | Total Colorado | | | 2,280,510 | |
| | | | | | | | | | |
|
| 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 | | | 386,649.00 | |
| | 700,000 | | | AA- | | Metropolitan Washington Airports Authority Aviation Revenue, Revenue Bonds, AMT, Series A, 4.000% due 10/1/36(c) | | | 680,740 | |
| | | | | | | | | | |
| | | | | | Total District of Columbia | | | 1,067,389 | |
| | | | | | | | | | |
|
| Florida — 7.2% | |
| | 1,000,000 | | | A | | Brevard County Health Facilities Authority, Revenue Bonds, Health First Obligated Group, 5.000% due 4/1/47 | | | 1,070,467 | |
| | 665,000 | | | AA+ | | Broward County, FL, Water & Sewer Utility Revenue, Revenue Bonds, Series A, 4.000% due 10/1/47 | | | 640,220 | |
| | 225,000 | | | Baa3(d) | | Capital Projects Finance Authority, FL, Revenue Bonds, Florida University Project, Series A1, 5.000% due 10/1/26 | | | 233,558 | |
| | | | | | Capital Trust Agency Inc., Revenue Bonds: | | | | |
| | 500,000 | | | NR | | Educational Growth Fund LLC Charter School Portfolio Projects, Series A1, 3.375% due 7/1/31(a) | | | 443,861 | |
| | 100,000 | | | Ba1(d) | | Viera Charter Schools Inc. Project, Series A, 4.000% due 10/15/29(a) | | | 98,293 | |
| | 2,500,000 | | | NR | | Wonderful Foundations Charter, zero coupon due 1/1/60 | | | 167,112 | |
| | 1,400,000 | | | A+ | | City of Cape Coral, FL, Water & Sewer Revenue, Revenue Bonds, 5.000% due 10/1/39 | | | 1,503,279 | |
| | 190,000 | | | NR | | Finley Woods Community Development District, Special Assessment, Area One, 3.150% due 5/1/25 | | | 184,545 | |
| | | | | | Florida Development Finance Corp., Revenue Bonds: | | | | |
| | 190,000 | | | NR | | AMT, Waste Pro USA Inc. Project, 5.000% due 5/1/29(a)(c) | | | 187,764 | |
| | 100,000 | | | BBB | | Mater Academy Project, Series A, 5.000% due 6/15/56 | | | 101,124 | |
| | 45,000 | | | NR | | Harbor Bay Community Development District, Special Assessment, Area One, Series A2, 3.100% due 5/1/24 | | | 44,415 | |
| | 275,000 | | | NR | | Lakewood Ranch Stewardship District, Special Assessment, Isles Lakewood Ranch Project, 3.875% due 5/1/29 | | | 267,375 | |
| | 1,000,000 | | | A+ | | Orange County Health Facilities Authority, Revenue Bonds, Orlando Health Obligated Group, 4.000% due 10/1/52 | | | 905,839 | |
| | 310,000 | | | NR | | Seminole County Industrial Development Authority, Revenue Bonds, Legacy Pointe at UCF Project, 3.750% due 11/15/25 | | | 291,732 | |
| | 140,000 | | | NR | | Southern Groves Community Development District No. 5, Special Assessment, 2.875% due 5/1/24 | | | 137,129 | |
| | | | | | | | | | |
| | | | | | Total Florida | | | 6,276,713 | |
| | | | | | | | | | |
|
| Georgia — 3.9% | |
| | | | | | Main Street Natural Gas Inc., Revenue Bonds: | | | | |
| | 435,000 | | | A3(d) | | Series A, 4.000% due 9/1/52(b) | | | 430,844 | |
| | 2,610,000 | | | Aa2(d) | | Series B, 4.000% due 8/1/49(b) | | | 2,671,209 | |
| | 320,000 | | | A3(d) | | Series C, 4.000% due 5/1/52(b) | | | 319,227 | |
| | | | | | | | | | |
| | | | | | Total Georgia | | | 3,421,280 | |
| | | | | | | | | | |
See Notes to Financial Statements.
269
| | | | | | | | | | |
| Municipal Bond Fund | | | |
| | | |
Face
Amount† | | | Rating†† | | Security | | Value | |
|
| Guam — 0.1% | |
| | | | | | Territory of Guam, Revenue Bonds: | | | | |
| $ | 15,000 | | | Ba1(d) | | Series A, 5.000% due 11/1/27 | | $ | 15,790 | |
| | 15,000 | | | Ba1(d) | | Series A, 5.000% due 11/1/28 | | | 15,884 | |
| | 15,000 | | | Ba1(d) | | Series A, 5.000% due 11/1/29 | | | 15,909 | |
| | | | | | | | | | |
| | | | | | Total Guam | | | 47,583 | |
| | | | | | | | | | |
|
| Illinois — 2.3% | |
| | | | | | Illinois Finance Authority, Revenue Bonds: | | | | |
| | 600,000 | | | A | | DePaul University, 5.000% due 10/1/36 | | | 626,462 | |
| | 220,000 | | | AA+ | | Northwestern Memorial HealthCare, Series A, 4.000% due 7/15/39 | | | 214,041 | |
| | 1,000,000 | | | AA+ | | Northwestern University, 5.000% due 12/1/28 | | | 1,139,435 | |
| | | | | | | | | | |
| | | | | | Total Illinois | | | 1,979,938 | |
| | | | | | | | | | |
|
| Indiana — 4.3% | |
| | 2,815,000 | | | Aa3(d) | | Indiana Finance Authority, Revenue Bonds, Franciscan Alliance Inc., Series A, 4.000% due 11/1/51 | | | 2,633,978 | |
| | 1,000,000 | | | A+ | | Indiana Municipal Power Agency, Power Supply, Revenue Bonds, Series C, 5.000% due 1/1/37 | | | 1,063,466 | |
| | | | | | | | | | |
| | | | | | Total Indiana | | | 3,697,444 | |
| | | | | | | | | | |
|
| Iowa — 1.2% | |
| | 1,000,000 | | | A3(d) | | PEFA Inc., Revenue Bonds, 5.000% due 9/1/49(b) | | | 1,045,146 | |
| | | | | | | | | | |
|
| Kentucky — 0.3% | |
| | 230,000 | | | NR | | City of Henderson, KY, Revenue Bonds, AMT, 4.450% due 1/1/42(a)(c) | | | 228,219 | |
| | | | | | | | | | |
|
| 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) | | | 258,945 | |
| | 250,000 | | | A- | | Series B, 5.000% due 1/1/38(c) | | | 258,314 | |
| | | | | | | | | | |
| | | | | | Total Louisiana | | | 517,259 | |
| | | | | | | | | | |
|
| Maryland — 1.3% | |
| | | | | | City of Baltimore, MD,Tax Allocation, Harbor Point Project: | | | | |
| | 200,000 | | | NR | | Series A, 2.750% due 6/1/24(a) | | | 195,449.00 | |
| | 125,000 | | | NR | | Series A, 2.800% due 6/1/25(a) | | | 120,690 | |
| | 135,000 | | | NR | | Series A, 2.850% due 6/1/26(a) | | | 129,009 | |
| | 25,000 | | | NR | | Series B, 3.000% due 6/1/24(a) | | | 24,483 | |
| | 630,000 | | | Baa3(d) | | Maryland Economic Development Corp., Revenue Bonds, AMT, Green Bond, Purple Line Light Rail Project, 5.250% due 6/30/55(c) | | | 668,018 | |
| | | | | | | | | | |
| | | | | | Total Maryland | | | 1,137,649 | |
| | | | | | | | | | |
|
| Massachusetts — 2.6% | |
| | 1,000,000 | | | AAA | | City of Boston, MA, GO, Series A, 5.000% due 11/1/37 | | | 1,169,408 | |
| | 1,000,000 | | | AA | | Massachusetts Bay Transportation Authority Sales Tax Revenue, Revenue Bonds, Series A1, 5.000% due 7/1/44 | | | 1,076,392 | |
| | | | | | | | | | |
| | | | | | Total Massachusetts | | | 2,245,800 | |
| | | | | | | | | | |
|
| Michigan — 0.7% | |
| | | | | | Michigan Finance Authority, Revenue Bonds: | | | | |
| | 300,000 | | | BB+ | | Cesar Chavez Academy Project, 3.250% due 2/1/24 | | | 296,039 | |
| | 190,000 | | | A1(d) | | McLaren Health Care Corp., 1.200% due 10/15/38(b) | | | 168,928 | |
| | 100,000 | | | BB | | Michigan Strategic Fund, Revenue Bonds, AMT, 4.000% due 10/1/61(b)(c) | | | 98,885 | |
| | | | | | | | | | |
| | | | | | Total Michigan | | | 563,852 | |
| | | | | | | | | | |
|
| Nebraska — 0.6% | |
| | 500,000 | | | A2(d) | | Central Plains Energy Project, Revenue Bonds, Series 1, 5.000% due 5/1/53(b) | | | 524,475 | |
| | | | | | | | | | |
See Notes to Financial Statements.
270
| | | | | | | | | | |
| Municipal Bond Fund | | | |
| | | |
Face
Amount† | | | Rating†† | | Security | | Value | |
|
| Nevada — 1.5% | |
| $ | 50,000 | | | Ba2(d) | | City of Sparks, NV, Revenue Bonds, Senior Sales Tax Anticipation, Series A, 2.500% due 6/15/24(a) | | $ | 48,601 | |
| | 1,130,000 | | | AAA | | State of Nevada Highway Improvement Revenue, Revenue Bonds, 5.000% due 12/1/31 | | | 1,244,316 | |
| | | | | | | | | | |
| | | | | | Total Nevada | | | 1,292,917 | |
| | | | | | | | | | |
|
| New Hampshire — 1.0% | |
| | 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) | | | 890,369 | |
| | | | | | | | | | |
|
| New Jersey — 3.3% | |
| | 215,000 | | | NR | | New Jersey Economic Development Authority, Revenue Bonds, Golden Door Charter School Project, 5.125% due 11/1/29(a) | | | 218,311 | |
| | 500,000 | | | AA- | | New Jersey Health Care Facilities Financing Authority, Revenue Bonds, RWJ Barnabas Health Obligated Group, 3.000% due 7/1/51 | | | 372,760 | |
| | | | | | New Jersey Transportation Trust Fund Authority, Revenue Bonds: | | | | |
| | 1,250,000 | | | A+ | | Highway Reimbursement, Series A, 5.000% due 6/15/30 | | | 1,340,006 | |
| | 1,000,000 | | | BBB+ | | Series A, 4.000% due 6/15/40 | | | 958,008 | |
| | | | | | | | | | |
| | | | | | Total New Jersey | | | 2,889,085 | |
| | | | | | | | | | |
|
| New York — 8.3% | |
| | 500,000 | | | AA+ | | New York City Municipal Water Finance Authority, Revenue Bonds, 4.000% due 6/15/51 | | | 474,317 | |
| | 40,000 | | | AA | | New York City Transitional Finance Authority Building Aid Revenue, Revenue Bonds, 4.000% due 7/15/40 | | | 38,876 | |
| | | | | | New York City Transitional Finance Authority Future Tax Secured Revenue, Revenue Bonds: | | | | |
| | 1,000,000 | | | AAA | | 4.000% due 2/1/42 | | | 963,006 | |
| | 335,000 | | | AAA | | 4.000% due 8/1/39 | | | 327,102 | |
| | | | | | New York State Dormitory Authority, Revenue Bonds: | | | | |
| | 965,000 | | | AA+ | | Series A, 5.000% due 3/15/31 | | | 1,119,049 | |
| | 500,000 | | | AA+ | | Bidding Group, Unrefunded Portion, Series B, 5.000% due 2/15/43 | | | 531,779 | |
| | 225,000 | | | Baa3(d) | | New York Transportation Development Corp., Revenue Bonds, Delta Air Lines Inc. — LaGuardia, AMT, 4.000% due 10/1/30(c) | | | 221,973 | |
| | 1,000,000 | | | AA- | | Port Authority of New York & New Jersey, Revenue Bonds, Series 230, 3.000% due 12/1/31 | | | 951,124 | |
| | | | | | Triborough Bridge & Tunnel Authority, Revenue Bonds: | | | | |
| | 275,000 | | | AA+ | | Series C1A, 5.000% due 5/15/39 | | | 302,974 | |
| | 1,000,000 | | | AA+ | | Series C3, 4.000% due 5/15/51 | | | 937,750 | |
| | 1,170,000 | | | AA | | Trust for Cultural Resources of The City of New York (The), Revenue Bonds, Juilliard School, Series A, 5.000% due 1/1/33 | | | 1,310,281 | |
| | | | | | | | | | |
| | | | | | Total New York | | | 7,178,231 | |
| | | | | | | | | | |
|
| North Dakota — 1.0% | |
| | 1,000,000 | | | Aa1(d) | | North Dakota Housing Finance Agency, Revenue Bonds, Water and Sewer System, 3.700% due 1/1/46 | | | 886,337 | |
| | | | | | | | | | |
|
| Ohio — 2.5% | |
| | | | | | Buckeye Tobacco Settlement Financing Authority, Revenue Bonds: | | | | |
| | 250,000 | | | BBB+ | | Series A2, 3.000% due 6/1/48 | | | 185,446 | |
| | 900,000 | | | BBB+ | | Series A2, 4.000% due 6/1/48 | | | 806,683 | |
| | 455,000 | | | NR | | Series B2, 5.000% due 6/1/55 | | | 433,378.00 | |
| | | | | | County of Montgomery, OH, Revenue Bonds, Dayton Children’s Hospital: | | | | |
| | 75,000 | | | A1(d) | | 4.000% due 8/1/38 | | | 73,426 | |
| | 80,000 | | | A1(d) | | 4.000% due 8/1/39 | | | 77,924 | |
| | 600,000 | | | Baa3(d) | | Ohio Air Quality Development Authority, Revenue Bonds, Ohio Valley Electric Corp., Remarketing, Series A, 2.875% due 2/1/26 | | | 580,124 | |
| | | | | | | | | | |
| | | | | | Total Ohio | | | 2,156,981 | |
| | | | | | | | | | |
See Notes to Financial Statements.
271
| | | | | | | | | | |
| Municipal Bond Fund | | | |
| | | |
Face
Amount† | | | Rating†† | | Security | | Value | |
|
| Oregon — 0.5% | |
| $ | 500,000 | | | A+ | | Oregon State Facilities Authority, Revenue Bonds, Legacy Health Project, Series A, 4.125% due 6/1/52 | | $ | 472,275 | |
| | | | | | | | | | |
|
| Pennsylvania — 1.2% | |
| | 100,000 | | | BB+ | | Bucks County Industrial Development Authority, Revenue Bonds, Grand View Hospital Project, 5.000% due 7/1/28 | | | 105,597 | |
| | | | | | Pennsylvania Turnpike Commission, Revenue Bonds: | | | | |
| | 170,000 | | | A | | Series A, 4.000% due 12/1/45 | | | 160,269 | |
| | 830,000 | | | A | | Series A, 4.000% due 12/1/46 | | | 772,956 | |
| | | | | | | | | | |
| | | | | | Total Pennsylvania | | | 1,038,822 | |
| | | | | | | | | | |
|
| Puerto Rico — 1.3% | |
| | | | | | Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, Revenue Bonds: | | | | |
| | 230,000 | | | NR | | Series A1, zero coupon due 7/1/24 | | | 215,815 | |
| | 664,000 | | | NR | | Series A1, 4.750% due 7/1/53 | | | 634,985 | |
| | 90,000 | | | NR | | Series A1, 5.000% due 7/1/58 | | | 87,310 | |
| | 216,000 | | | NR | | Series A2, 4.784% due 7/1/58 | | | 201,982 | |
| | | | | | | | | | |
| | | | | | Total Puerto Rico | | | 1,140,092 | |
| | | | | | | | | | |
|
| South Carolina — 2.5% | |
| | 2,000,000 | | | A | | South Carolina Jobs-Economic Development Authority, Revenue Bonds, Prisma Health Obligation Group, Series A, 5.000% due 5/1/28 | | | 2,189,614 | |
| | | | | | | | | | |
|
| Tennessee — 0.6% | |
| | 515,000 | | | Aa2(d) | | Tennessee Housing Development Agency, Revenue Bonds, Series A, 3.850% due 1/1/35 | | | 507,473 | |
| | | | | | | | | | |
|
| Texas — 6.0% | |
| | 630,000 | | | AA- | | City of Dallas, TX, GO, 5.000% due 2/15/28 | | | 706,804 | |
| | 505,000 | | | NR | | New Hope Cultural Education Facilities Finance Corp., Revenue Bonds, Beta Academy, 3.375% due 8/15/29(a) | | | 469,105 | |
| | 1,000,000 | | | A+ | | North Texas Tollway Authority, Revenue Bonds, Series A, 5.000% due 1/1/39 | | | 1,052,971 | |
| | 795,000 | | | Aaa(d) | | Northside Independent School District, GO, PSF-GTD-Insured, 0.700% due 6/1/50(b) | | | 749,846 | |
| | 1,250,000 | | | AA | | San Antonio Water System, Revenue Bonds, Junior Lien Revenue and Refunding Bonds, Series C, 5.000% due 5/15/46 | | | 1,322,584 | |
| | 1,000,000 | | | AA- | | Tarrant County Cultural Education Facilities Finance Corp., Revenue Bonds, Methodist Hospitals of Dallas, 4.000% due 10/1/52 | | | 929,953 | |
| | | | | | | | | | |
| | | | | | Total Texas | | | 5,231,263 | |
| | | | | | | | | | |
|
| Utah — 0.6% | |
| | 500,000 | | | A- | | Utah Associated Municipal Power Systems, Revenue Bonds, Horse Butte Wind, Series A, 5.000% due 9/1/32 | | | 543,824 | |
| | | | | | | | | | |
|
| Virginia — 3.7% | |
| | 1,000,000 | | | AA | | Hampton Roads Transportation Accountability Commission, Revenue Bonds, Series A, 4.000% due 7/1/52 | | | 944,342 | |
| | | | | | Virginia College Building Authority, Revenue Bonds, 21st Century College and Equipment Program: | | | | |
| | 1,000,000 | | | AA+ | | 4.000% due 2/1/34 | | | 1,039,821 | |
| | 1,000,000 | | | AA+ | | 5.000% due 2/1/32 | | | 1,184,887 | |
| | 100,000 | | | BBB- | | Virginia Small Business Financing Authority, Revenue Bonds, AMT, 4.000% due 1/1/48(c) | | | 87,374 | |
| | | | | | | | | | |
| | | | | | Total Virginia | | | 3,256,424 | |
| | | | | | | | | | |
|
| Washington — 4.2% | |
| | 1,000,000 | | | AA+ | | King County School District No. 401 Highline, GO, SCH BD GTY-Insured, 5.000% due 12/1/35 | | | 1,111,046 | |
| | 650,000 | | | Aa2(d) | | Snohomish County Public Utility District No 1 Electric System Revenue, Revenue Bonds, Series A, 5.000% due 12/1/5 | | | 717,079 | |
| | 1,500,000 | | | AA+ | | State of Washington, GO, Series R-2022, 4.000% due 7/1/33 | | | 1,599,180 | |
See Notes to Financial Statements.
272
| | | | | | | | | | |
| Municipal Bond Fund | | | |
| | | |
Face
Amount† | | | Rating†† | | Security | | Value | |
|
| Washington — 4.2% — (continued) | |
| $ | 100,000 | | | NR | | Washington State Convention Center Public Facilities District, Revenue Bonds, 4.000% due 7/1/31 | | $ | 96,928 | |
| | 100,000 | | | BB(e) | | Washington State Housing Finance Commission, Revenue Bonds, Transforming Age Projects, Series A, 5.000% due 1/1/26(a) | | | 100,145 | |
| | | | | | | | | | |
| | | | | | Total Washington | | | 3,624,378 | |
| | | | | | | | | | |
|
| West Virginia — 1.2% | |
| | 1,000,000 | | | AA- | | West Virginia Parkways Authority, Revenue Bonds, 5.000% due 6/1/47 | | | 1,079,833 | |
| | | | | | | | | | |
|
| Wisconsin — 2.1% | |
| | | | | | Wisconsin Health & Educational Facilities Authority, Revenue Bonds: | | | | |
| | 1,300,000 | | | AA- | | Aspirus Inc. Obligation Group, 4.000% due 8/15/40 | | | 1,251,400.00 | |
| | 500,000 | | | AA | | Milwaukee Regional Medical Center Thermal Service Obligated Group, 5.000% due 4/1/37 | | | 533,724 | |
| | | | | | | | | | |
| | | | | | Total Wisconsin | | | 1,785,124 | |
| | | | | | | | | | |
| | | | | | TOTAL MUNICIPAL BONDS
(Cost — $86,033,410) | | | 82,081,575 | |
| | | | | | | | | | |
|
| SHORT-TERM INVESTMENTS — 5.1% | |
|
| TIME DEPOSITS — 5.1% | |
| | 71,923 | | | | | ANZ National Bank – London, 1.680% due 9/1/22 | | | 71,923 | |
| | 3,130,683 | | | | | Citibank – New York, 1.680% due 9/1/22 | | | 3,130,683 | |
| | 1,220,420 | | | | | National Australia Bank Ltd. – London, 1.680% due 9/1/22 | | | 1,220,420 | |
| | | | | | TOTAL SHORT-TERM INVESTMENTS
(Cost — $4,423,026) | | | 4,423,026 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS — 99.5%
(Cost — $90,456,436) | | | 86,504,601 | |
| | | | | | | | | | |
| | | | | | Other Assets in Excess of Liabilities — 0.5% | | | 445,898 | |
| | | | | | | | | | |
| | | | | | TOTAL NET ASSETS — 100.0% | | $ | 86,950,499 | |
| | | | | | | | | | |
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
| †† | All ratings are by Standard & Poor’s Rating Service, unless otherwise noted. All ratings are unaudited. |
| (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 August 31, 2022, amounts to $7,485,731 and represents 8.6% of net assets. |
| (b) | Variable rate security. Interest rate disclosed is that which was in effect at August 31, 2022. |
| (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. All ratings are unaudited. |
| (e) | Rating by Fitch Ratings Service. All ratings are unaudited. |
At August 31, 2022, 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 | | $ | 90,465,158 | | | $ | 413,139 | | | $ | (4,364,974 | ) | | $ | (3,951,835 | ) |
| | |
Abbreviations used in this schedule: |
| AMT | | — Alternative Minimum Tax |
| GO | | — General Obligation |
| LLC | | — Limited Liabilities Company |
| PSF-GTD | | — Permanent School Fund Guaranteed |
| SCH BD GTY | | — Oregon School Bond Guaranty |
See Notes to Financial Statements.
273
| | | | |
| |
| Summary of Investments by Industry^ | | | |
General Obligation | | | 30.1 | % |
Health Care Providers & Services | | | 13.8 | |
Transportation | | | 7.0 | |
Development | | | 5.6 | |
Water and Sewer | | | 5.2 | |
School District | | | 5.1 | |
Tobacco Settlement | | | 4.4 | |
Education | | | 4.3 | |
Airport | | | 4.3 | |
Higher Education | | | 3.6 | |
Power | | | 3.4 | |
Utilities | | | 2.9 | |
Multifamily Housing | | | 1.9 | |
Single Family Housing | | | 1.6 | |
Pollution | | | 1.0 | |
Nursing Homes | | | 0.4 | |
Housing | | | 0.3 | |
Short-Term Investments | | | 5.1 | |
| | | | |
| | | 100.0 | % |
| | | | |
| ^ | As a percentage of total investments. |
At August 31, 2022, 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 December Futures | | | 8 | | | | 12/22 | | | $ | 889,609 | | | $ | 886,563 | | | $ | 3,046 | |
U.S. Treasury 10-Year Note December Futures | | | 8 | | | | 12/22 | | | | 940,128 | | | | 935,250 | | | | 4,878 | |
U.S. Treasury Long Bond December Futures | | | 6 | | | | 12/22 | | | | 815,860 | | | | 815,062 | | | | 798 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | 8,722 | |
| | | | | | | | | | | | | | | | | | | | |
At August 31, 2022, Municipal Bond Fund had deposited cash of $49,000 with a broker or brokers as margin collateral on an open exchange-traded futures contracts.
See Notes to Financial Statements.
274
| | | | | | | | | | |
| Inflation-Linked Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| U.S. GOVERNMENT AGENCIES & OBLIGATIONS — 105.8% | |
|
| U.S. GOVERNMENT OBLIGATIONS — 105.8% | |
| | | | | | U.S. Treasury Inflation Indexed Bonds: | | | | |
| $ | 1,902,084 | | | | | 2.375% due 1/15/25 | | $ | 1,970,598 | |
| | 2,273,717 | | | | | 2.000% due 1/15/26 | | | 2,370,325 | |
| | 2,258,797 | | | | | 1.750% due 1/15/28 | | | 2,385,197 | |
| | 2,914,744 | | | | | 3.625% due 4/15/28 | | | 3,378,709 | |
| | 1,921,127 | | | | | 2.500% due 1/15/29 | | | 2,135,200 | |
| | 2,247,655 | | | | | 3.875% due 4/15/29 | | | 2,702,769 | |
| | 40,065 | | | | | 3.375% due 4/15/32 | | | 49,931 | |
| | 1,069,318 | | | | | 2.125% due 2/15/40 | | | 1,273,988 | |
| | 879,496 | | | | | 2.125% due 2/15/41 | | | 1,041,696 | |
| | 2,360,412 | | | | | 0.750% due 2/15/42 | | | 2,215,703 | |
| | 889,279 | | | | | 0.625% due 2/15/43 | | | 804,801 | |
| | 2,886,078 | | | | | 1.375% due 2/15/44 | | | 3,007,947 | |
| | 1,283,486 | | | | | 0.750% due 2/15/45 | | | 1,176,273 | |
| | 1,738,265 | | | | | 1.000% due 2/15/46 | | | 1,680,466 | |
| | 2,074,492 | | | | | 0.875% due 2/15/47 | | | 1,949,690 | |
| | 1,225,632 | | | | | 1.000% due 2/15/48 | | | 1,192,919 | |
| | 645,417 | | | | | 0.250% due 2/15/50 | | | 522,202 | |
| | 1,365,744 | | | | | 0.125% due 2/15/51 | | | 1,069,973 | |
| | 532,215 | | | | | 0.125% due 2/15/52 | | | 419,429 | |
| | | | | | U.S. Treasury Inflation Indexed Notes: | | | | |
| | 4,632,945 | | | | | 0.125% due 1/15/23(a) | | | 4,565,065 | |
| | 5,869,166 | | | | | 0.625% due 4/15/23(a) | | | 5,797,303 | |
| | 2,158,864 | | | | | 0.625% due 1/15/24 | | | 2,143,638 | |
| | 4,816,967 | | | | | 0.500% due 4/15/24(a) | | | 4,778,221 | |
| | 2,656,316 | | | | | 0.125% due 10/15/24 | | | 2,621,486 | |
| | 3,900,310 | | | | | 0.125% due 4/15/25(a) | | | 3,831,377 | |
| | 570,995 | | | | | 0.125% due 10/15/25 | | | 561,902 | |
| | 3,441,830 | | | | | 0.625% due 1/15/26 | | | 3,433,562 | |
| | 1,581,832 | | | | | 0.125% due 4/15/26 | | | 1,550,094 | |
| | 2,391,989 | | | | | 0.125% due 7/15/26 | | | 2,353,153 | |
| | 2,060,284 | | | | | 0.125% due 10/15/26(a) | | | 2,022,671 | |
| | 2,490,120 | | | | | 0.375% due 1/15/27 | | | 2,460,057 | |
| | 1,679,136 | | | | | 0.125% due 4/15/27 | | | 1,638,501 | |
| | 2,798,149 | | | | | 0.375% due 7/15/27 | | | 2,769,753 | |
| | 5,499,414 | | | | | 0.500% due 1/15/28(a) | | | 5,445,097 | |
| | 7,684,664 | | | | | 0.750% due 7/15/28(a) | | | 7,747,795 | |
| | 3,156,715 | | | | | 0.875% due 1/15/29 | | | 3,194,267 | |
| | 3,205,293 | | | | | 0.250% due 7/15/29 | | | 3,125,719 | |
| | 967,420 | | | | | 0.125% due 1/15/30 | | | 928,589 | |
| | 2,623,439 | | | | | 0.125% due 7/15/30 | | | 2,523,786 | |
| | 2,287,923 | | | | | 0.125% due 1/15/31 | | | 2,187,899 | |
| | 4,433,256 | | | | | 0.125% due 7/15/31(a) | | | 4,234,972 | |
| | 4,168,827 | | | | | 0.125% due 1/15/32(h) | | | 3,964,827 | |
| | 2,855,524 | | | | | 0.625% due 7/15/32 | | | 2,855,651 | |
| | 130,000 | | | | | U.S. Treasury Notes, 1.750% due 12/31/24 | | | 125,128 | |
| | | | | | | | | | |
| | | | | | TOTAL U.S. GOVERNMENT AGENCIES & OBLIGATIONS
(Cost — $112,697,288) | | | 108,208,329 | |
| | | | | | | | | | |
|
| SOVEREIGN BONDS — 11.8% | |
|
| Australia — 0.3% | |
| | 290,000 | AUD | | Aaa(b) | | Australia Government Bonds, 3.000% due 9/20/25 | | | 287,732 | |
| | | | | | | | | | |
See Notes to Financial Statements.
275
| | | | | | | | | | |
| Inflation-Linked Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| SOVEREIGN BONDS — 11.8% — (continued) | |
|
| Canada — 0.5% | |
| | | | | | Canadian Government Real Return Bonds: | | | | |
| | 522,285 | CAD | | AAA | | 4.250% due 12/1/26 | | $ | 447,281 | |
| | 58,823 | CAD | | AAA | | 0.500% due 12/1/50 | | | 37,435 | |
| | | | | | | | | | |
| | | | | | Total Canada | | | 484,716 | |
| | | | | | | | | | |
|
| France — 1.2% | |
| | | | | | French Republic Government Bonds OAT: | | | | |
| | 666,030 | EUR | | AAu(c) | | 0.100% due 3/1/26(d) | | | 709,778 | |
| | 222,356 | EUR | | AAu(c) | | 0.100% due 7/25/31(d) | | | 235,343 | |
| | 327,483 | EUR | | AAu(c) | | 0.100% due 7/25/38(d) | | | 329,704 | |
| | | | | | | | | | |
| | | | | | Total France | | | 1,274,825 | |
| | | | | | | | | | |
|
| Italy — 3.5% | |
| | | | | | Italy Buoni Poliennali Del Tesoro: | | | | |
| | 3,177,128 | EUR | | NR | | 1.400% due 5/26/25(d) | | | 3,297,382 | |
| | 338,178 | EUR | | Baa3u(b) | | 0.400% due 5/15/30(d) | | | 316,406 | |
| | | | | | | | | | |
| | | | | | Total Italy | | | 3,613,788 | |
| | | | | | | | | | |
|
| Japan — 0.9% | |
| | | | | | Japanese Government CPI Linked Bonds: | | | | |
| | 40,258,140 | JPY | | A1(b) | | 0.100% due 3/10/28 | | | 305,910 | |
| | 83,035,530 | JPY | | A1(b) | | 0.100% due 3/10/29 | | | 633,056 | |
| | | | | | | | | | |
| | | | | | Total Japan | | | 938,966 | |
| | | | | | | | | | |
|
| New Zealand — 0.2% | |
| | 270,000 | NZD | | AAA | | New Zealand Government Bonds Inflation Linked Bonds, 2.500% due 9/20/35 | | | 197,968 | |
| | | | | | | | | | |
|
| Peru — 0.2% | |
| | 800,000 | PEN | | BBB+ | | Peru Government Bonds Inflation Linked Bonds, 6.150% due 8/12/32 | | | 181,585 | |
| | | | | | | | | | |
|
| Qatar — 0.2% | |
| $ | 200,000 | | | AA- | | Qatar Government International Bonds, 3.875% due 4/23/23 | | | 200,352 | |
| | | | | | | | | | |
|
| United Kingdom — 4.8% | |
| | | | | | United Kingdom Inflation-Linked Gilts: | | | | |
| | 2,975,814 | GBP | | Aa3u(b) | | 1.875% due 11/22/22 | | | 3,517,453 | |
| | 1,122,024 | GBP | | Aa3u(b) | | 0.125% due 3/22/24 | | | 1,395,215 | |
| | | | | | | | | | |
| | | | | | Total United Kingdom | | | 4,912,668 | |
| | | | | | | | | | |
| | | | | | TOTAL SOVEREIGN BONDS
(Cost — $14,256,364) | | | 12,092,600 | |
| | | | | | | | | | |
|
| COLLATERALIZED MORTGAGE OBLIGATIONS — 10.0% | |
| | | | | | Alternative Loan Trust: | | | | |
| | 205,255 | | | Caa2(b) | | Series 2006-HY11, Class A1, 2.684% (1-Month USD-LIBOR + 0.240%) due 6/25/36(e) | | | 192,974 | |
| | 31,916 | | | NR | | Series 2007-4CB, Class 1A35, 6.000% due 4/25/37 | | | 28,694 | |
| | 427,151 | | | Caa3(b) | | Alternative Loan Trust Resecuritization, Series 2008-2R, Class 1A1, 6.000% due 8/25/37(e) | | | 385,549 | |
| | 300,000 | | | Aaa(b) | | ARES L CLO Ltd., Series 2018-50A, Class AR, 3.562%
(3-Month USD-LIBOR + 1.050%) due 1/15/32(d)(e) | | | 294,563 | |
| | 17,999 | | | NR | | Bear Stearns Adjustable Rate Mortgage Trust, Series 2003-3, Class 3A2, 3.056% due 5/25/33(e) | | | 17,320 | |
| | 173,899 | | | CCC | | Bear Stearns Asset-Backed Securities Trust, Series 2004-1, Class M1, 3.094%
(1-Month USD-LIBOR + 0.975%) due 6/25/34(e) | | | 174,499 | |
| | 300,000 | EUR | | Aaa(b) | | Cairn CLO X DAC, Series 2018-10A, Class AR, 0.780%
(3-Month EURIBOR + 0.78%) due 10/15/31(d)(e) | | | 292,480 | |
See Notes to Financial Statements.
276
| | | | | | | | | | |
| Inflation-Linked Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| COLLATERALIZED MORTGAGE OBLIGATIONS — 10.0% — (continued) | |
| | 300,000 | EUR | | Aaa(b) | | Carlyle Global Markets Strategies Euro CLO, Series 2014-2A, Class AR-1, 0.750% (3-Month EURIBOR + 0.75%) due 11/15/31(d)(e) | | $ | 293,120 | |
| $ | 36,800 | | | AA+ | | Chevy Chase Funding LLC Mortgage-Backed Certificates, Series 2004-A, Class A1, 2.804% (1-Month USD-LIBOR + 0.360%) due 3/25/35(d)(e) | | | 35,854 | |
| | | | | | CHL Mortgage Pass-Through Trust: | | | | |
| | 564,627 | | | NR | | Series 2005-HYB6, Class 2A1, 3.361% due 10/20/35(e) | | | 540,771 | |
| | 56,879 | | | NR | | Series 2005-HYB9, Class 2A1, 5.512% (1-Year USD-LIBOR + 1.750%) due 2/20/36(e) | | | 52,280 | |
| | 90,186 | | | Caa2(b) | | Series 2006-6, Class A4, 6.000% due 4/25/36 | | | 54,394 | |
| | 124,686 | | | NR | | Series 2007-1, Class A1, 6.000% due 3/25/37 | | | 69,803 | |
| | | | | | Citigroup Mortgage Loan Trust: | | | | |
| | 4,568 | | | NR | | Series 2004-HYB2, Class 2A, 2.359% due 3/25/34(e) | | | 4,445 | |
| | 122,495 | | | Caa2(b) | | Series 2007-AR4, Class 1A1A, 3.327% due 3/25/37(e) | | | 110,411 | |
| | 18,322 | | | B(c) | | Citigroup Mortgage Loan Trust Inc., Series 2004-NCM2, Class 1CB1, 5.500% due 8/25/34 | | | 16,940 | |
| | 298,825 | | | NR | | Credit Suisse Commercial Mortgage, Series 2015-3R, Class 5A2, 2.594%
(1-Month USD-LIBOR + 0.150%) due 9/29/36(d)(e) | | | 289,119 | |
| | | | | | Credit-Based Asset Servicing & Securitization LLC: | | | | |
| | 153,000 | | | BBB- | | Series 2005-CB3, Class M4, 3.494% (1-Month USD-LIBOR + 1.050%) due 6/25/35(e) | | | 148,947 | |
| | 757,687 | | | CC | | Series 2007-CB6, Class A3, 1.844% (1-Month USD-LIBOR + 0.220%) due 7/25/37(d)(e) | | | 531,601 | |
| | | | | | CWABS Asset-Backed Certificates Trust: | | | | |
| | 149,011 | | | D | | Series 2004-7, Class MV5, 3.672% (1-Month USD-LIBOR + 1.725%) due 11/25/34(e) | | | 139,881 | |
| | 298,516 | | | CC | | Series 2007-1, Class 1A, 2.584% (1-Month USD-LIBOR + 0.140%) due 7/25/37(e) | | | 276,491 | |
| | 59,603 | | | D | | Series 2007-6, Class 1A, 2.644% (1-Month USD-LIBOR + 0.200%) due 9/25/37(e) | | | 52,130 | |
| | 329,603 | | | CCC | | Series 2007-8, Class 1A1, 2.634% (1-Month USD-LIBOR + 0.190%) due 11/25/37(e) | | | 307,083 | |
| | 389,737 | | | Aaa(b) | | Dryden Senior Loan Fund, Series 2017-47A, Class A1R, 3.492%
(3-Month USD-LIBOR + 0.980%) due 4/15/28(d)(e) | | | 385,966 | |
| | 700,868 | | | CCC | | Ellington Loan Acquisition Trust, Series 2007-1, Class A1, 3.544%
(1-Month USD-LIBOR + 1.100%) due 5/25/37(d)(e) | | | 681,133 | |
| | 258,317 | | | NR | | Government National Mortgage Association (GNMA), Series 2018-H15, Class FG, 0.382% (1-Year USD-LIBOR + 0.150%) due 8/20/68(e) | | | 252,837 | |
| | 21,196 | | | D | | GSAA Trust, Series 2006-7, Class AF4A, step bond to yield, 6.720% due 3/25/46 | | | 13,571 | |
| | 3,586 | | | AA- | | HarborView Mortgage Loan Trust, Series 2005-9, Class 2A1A, 3.048%
(1-Month USD-LIBOR + 0.680%) due 6/20/35(e) | | | 3,335 | |
| | 296,632 | EUR | | Aaa(b) | | Harvest CLO, Series 11A-ARR, Class ARR, 0.650%
(3-Month EURIBOR + 0.65%) due 6/26/30(d)(e) | | | 291,670 | |
| | 45,572 | | | B- | | IndyMac INDX Mortgage Loan Trust, Series 2005-16IP, Class A1, 3.084%
(1-Month USD-LIBOR + 0.640%) due 7/25/45(e) | | | 37,173 | |
| | 257,546 | | | CCC | | JP Morgan Alternative Loan Trust, Series 2006-A1, Class 1A1, 2.904%
(1-Month USD-LIBOR + 0.460%) due 3/25/36(e) | | | 245,299 | |
| | 106,046 | | | A- | | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-FL12, Class A, 3.841% (1-Month USD-LIBOR + 1.450%) due 12/15/31(d)(e) | | | 105,105 | |
| | 187,212 | EUR | | Aaa(b) | | Jubilee CLO BV, Series 2015-16A, Class A1R, 0.298%
(0.800% — 3-Month EURIBOR) due 12/15/29(d)(f) | | | 185,951 | |
| | 242,383 | | | NR | | Lehman XS Trust, Series 2007-20N, Class A1, 4.744%
(1-Month USD-LIBOR + 2.300%) due 12/25/37(e) | | | 249,482 | |
| | 160,258 | | | CC | | Long Beach Mortgage Loan Trust, Series 2006-7, Class 2A2, 2.684%
(1-Month USD-LIBOR + 0.240%) due 8/25/36(e) | | | 73,612 | |
| | 143,923 | | | Aaa(b) | | Midocean Credit CLO V, Series 2016-5A, Class AR, 3.858%
(3-Month USD-LIBOR + 1.120%) due 7/19/28(d)(e) | | | 143,041 | |
| | 150,540 | | | AAA | | Mountain View CLO X Ltd., Series 2015-10A, Class AR, 3.275%
(3-Month USD-LIBOR + 0.820%) due 10/13/27(d)(e) | | | 150,121 | |
| | 6,231 | | | AA+ | | MRFC Mortgage Pass-Through Trust, Series 2000-TBC2, Class A1, 2.871%
(1-Month USD-LIBOR + 0.480%) due 6/15/30(e) | | | 5,961 | |
| | | | | | New Residential Mortgage Loan Trust: | | | | |
| | 41,367 | | | NR | | Series 2018-3A, Class A1, 4.500% due 5/25/58(d)(e) | | | 40,886 | |
| | 216,637 | | | Aaa(b) | | Series 2019-RPL3, Class A1, 2.750% due 7/25/59(d)(e) | | | 207,375 | |
See Notes to Financial Statements.
277
| | | | | | | | | | |
| Inflation-Linked Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| COLLATERALIZED MORTGAGE OBLIGATIONS — 10.0% — (continued) | |
| | | | | | Option One Mortgage Loan Trust: | | | | |
| $ | 94,829 | | | CC | | Series 2007-1, Class 1A1, 2.584% (1-Month USD-LIBOR + 0.140%) due 1/25/37(e) | | $ | 65,281 | |
| | 93,825 | | | CC | | Series 2007-2, Class 1A1, 2.584% (1-Month USD-LIBOR + 0.140%) due 3/25/37(e) | | | 65,835 | |
| | 370,497 | | | Aaa(b) | | OZLM VIII Ltd., Series 2014-8A, Class A1R3, 3.720%
(3-Month USD-LIBOR + 0.980%) due 10/17/29(d)(e) | | | 365,729 | |
| | 282,465 | | | BBB | | RASC Trust, Series 2006-KS3, Class M1, 2.939%
(1-Month USD-LIBOR + 0.330%) due 4/25/36(e) | | | 279,212 | |
| | 503,541 | | | NR | | Residential Asset Securitization Trust, Series 2006-A10, Class A5, 6.500% due 9/25/36 | | | 215,995 | |
| | | | | | Securitized Asset-Backed Receivables LLC Trust: | | | | |
| | 476,342 | | | CC | | Series 2006-FR3, Class A3, 2.944% (1-Month USD-LIBOR + 0.500%) due 5/25/36(e) | | | 275,783 | |
| | 97,448 | | | CC | | Series 2006-HE2, Class A2C, 2.744% (1-Month USD-LIBOR + 0.300%) due 7/25/36(e) | | | 47,113 | |
| | 127,004 | | | B- | | Sequoia Mortgage Trust, Series 6, Class A, 3.006%
(1-Month USD-LIBOR + 0.640%) due 4/19/27(e) | | | 122,189 | |
| | | | | | Soundview Home Loan Trust: | | | | |
| | 217,535 | | | CC | | Series 2007-OPT1, Class 1A1, 2.644% (1-Month USD-LIBOR + 0.200%) due 6/25/37(e) | | | 159,635 | |
| | 55,463 | | | CCC | | Series 2007-OPT2, Class 2A3, 2.624% (1-Month USD-LIBOR + 0.180%) due 7/25/37(e) | | | 52,366 | |
| | 18,618 | | | Aaa(b) | | Symphony CLO XIV Ltd., Series 2014-14A, Class AR, 3.433%
(3-Month USD-LIBOR + 0.950%) due 7/14/26(d)(e) | | | 18,558 | |
| | 127,354 | | | Aaa(b) | | Symphony CLO XVII Ltd., Series 2016-17A, Class AR, 3.392%
(3-Month USD-LIBOR + 0.880%) due 4/15/28(d)(e) | | | 126,779 | |
| | 128,311 | | | Aaa(b) | | TICP CLO III-2 Ltd., Series 2018-3R, Class A, 3.550%
(3-Month USD-LIBOR + 0.840%) due 4/20/28(d)(e) | | | 127,854 | |
| | 230,559 | | | Aaa(b) | | Venture XVII CLO Ltd., Series 2014-17A, Class ARR, 3.392%
(3-Month USD-LIBOR + 0.880%) due 4/15/27(d)(e) | | | 229,229 | |
| | | | | | Voya CLO Ltd.: | | | | |
| | 394,784 | | | Aaa(b) | | Series 2017-1A, Class A1R, 3.690% (3-Month USD-LIBOR + 0.950%) due 4/17/30(d)(e) | | | 388,960 | |
| | 300,000 | | | AAA | | Series 2017-2A, Class A1R, 3.492% (3-Month USD-LIBOR + 0.980%) due 6/7/30(d)(e) | | | 296,550 | |
| | | | | | WaMu Mortgage Pass-Through Certificates Trust: | | | | |
| | 6,963 | | | Baa1(b) | | Series 2002-AR2, Class A, 1.912% (11th District Cost of Funds Index + 1.250%) due 2/27/34(e) | | | 6,644 | |
| | 3,524 | | | BB | | Series 2002-AR17, Class 1A, 2.059% (1-Year Treasury Average Rate + 1.200%) due 11/25/42(e) | | | 3,285 | |
| | | | | | | | | | |
| | | | | | TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost — $11,097,662) | | | 10,228,864 | |
| | | | | | | | | | |
|
| CORPORATE BONDS & NOTES — 4.1% | |
|
| Banks — 2.5% | |
| | 100,000 | GBP | | BBB | | HSBC Holdings PLC, Subordinated Notes, 6.000% due 3/29/40 | | | 108,348 | |
| | | | | | NatWest Group PLC, Senior Unsecured Notes: | | | | |
| | 200,000 | | | BBB | | 3.747% (3-Month USD-LIBOR + 1.550%) due 6/25/24(e) | | | 200,026 | |
| | 200,000 | | | BBB | | 4.519% (3-Month USD-LIBOR + 1.550%) due 6/25/24(e) | | | 198,984 | |
| | | | | | Nykredit Realkredit AS, Covered Notes: | | | | |
| | 18,353,170 | DKK | | AAA | | 1.000% due 10/1/50 | | | 1,901,612 | |
| | 685,360 | DKK | | AAA | | 1.000% due 10/1/53 | | | 69,691 | |
| | 980,806 | DKK | | AAA | | 1.500% due 10/1/53 | | | 106,664 | |
| | | | | | | | | | |
| | | | | | Total Banks | | | 2,585,325 | |
| | | | | | | | | | |
|
| Diversified Financial Services — 1.6% | |
| | | | | | Jyske Realkredit AS, Covered Notes: | | | | |
| | 6,861,401 | DKK | | AAA | | 1.000% due 10/1/50 | | | 711,466 | |
| | 492,628 | DKK | | AAA | | 1.500% due 10/1/53 | | | 53,133 | |
| | | | | | Nordea Kredit Realkreditaktieselskab, Covered Notes: | | | | |
| | 2,359,076 | DKK | | AAA | | 1.000% due 10/1/50 | | | 244,827 | |
| | 493,280 | DKK | | AAA | | 1.500% due 10/1/53 | | | 52,718 | |
See Notes to Financial Statements.
278
| | | | | | | | | | |
| Inflation-Linked Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| CORPORATE BONDS & NOTES — 4.1% — (continued) | |
|
| Diversified Financial Services — 1.6% — (continued) | |
| | | | | | Realkredit Danmark AS, Covered Notes: | | | | |
| | 3,998,628 | DKK | | AAA | | 1.000% due 10/1/50 | | $ | 413,946 | |
| | 589,837 | DKK | | AAA | | 1.000% due 10/1/53 | | | 59,385 | |
| | 589,085 | DKK | | AAA | | 1.500% due 10/1/53 | | | 64,032 | |
| | | | | | | | | | |
| | | | | | Total Diversified Financial Services | | | 1,599,507 | |
| | | | | | | | | | |
| | | | | | TOTAL CORPORATE BONDS & NOTES
(Cost — $5,865,605) | | | 4,184,832 | |
| | | | | | | | | | |
|
| MORTGAGE-BACKED SECURITIES — 3.6% | |
|
| FHLMC — 0.3% | |
| | | | | | Federal Home Loan Mortgage Corp. (FHLMC): | | | | |
| $ | 197,606 | | | | | 3.500% due 6/1/52 | | | 188,915 | |
| | 99,131 | | | | | 3.000% due 7/1/52 | | | 91,954 | |
| | | | | | | | | | |
| | | | | | Total FHLMC | | | 280,869 | |
| | | | | | | | | | |
|
| FNMA — 3.3% | |
| | | | | | Federal National Mortgage Association (FNMA): | | | | |
| | 36,502 | | | | | 4.000% due 3/1/50 | | | 36,100 | |
| | 197,140 | | | | | 3.000% due 5/1/52 | | | 182,911 | |
| | 600,000 | | | | | 3.000% due 10/1/52(g) | | | 555,929 | |
| | 2,700,000 | | | | | 4.000% due 10/1/52(g) | | | 2,638,536 | |
| | | | | | | | | | |
| | | | | | Total FNMA | | | 3,413,476 | |
| | | | | | | | | | |
| | | | | | TOTAL MORTGAGE-BACKED SECURITIES
(Cost — $3,773,348) | | | 3,694,345 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS
(Cost — $147,690,267) | | | 138,408,970 | |
| | | | | | | | | | |
|
| SHORT-TERM INVESTMENTS — 1.8% | |
|
| TIME DEPOSITS — 1.8% | |
| | 18,725 | AUD | | | | ANZ National Bank – London, 0.830% due 9/1/22 | | | 12,812 | |
| | 4,879 | ZAR | | | | BBH – Grand Cayman, 3.500% due 9/1/22 | | | 285 | |
| | | | | | BNP Paribas – Paris: | | | | |
| | 2,335 | DKK | | | | (0.120)% due 9/1/22 | | | 315 | |
| | 15,736 | SEK | | | | 0.200% due 9/1/22 | | | 1,475 | |
| | 456 | NOK | | | | 0.800% due 9/1/22 | | | 46 | |
| | 441 | SGD | | | | 1.350% due 9/1/22 | | | 316 | |
| | 21,101 | NZD | | | | 1.500% due 9/1/22 | | | 12,912 | |
| | 12,385 | GBP | | | | Skandinaviska Enskilda Banken AB – Sweden, 0.870% due 9/1/22 | | | 14,387 | |
| | 1,009 | CAD | | | | Societe Generale SA – Paris, 1.380% due 9/1/22 | | | 768 | |
| | | | | | Sumitomo Mitsui Banking Corp. – Tokyo: | | | | |
| | 18,561,590 | JPY | | | | (0.350)% due 9/1/22 | | | 133,628 | |
| | 159,302 | EUR | | | | (0.130)% due 9/1/22 | | | 160,067 | |
| | 1,510,076 | | | | | 1.680% due 9/1/22 | | | 1,510,076 | |
| | | | | | | | | | |
| | | | | | TOTAL SHORT-TERM INVESTMENTS
(Cost — $1,847,087) | | | 1,847,087 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS IN SECURITIES
(Cost — $149,537,354) | | | 140,256,057 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS IN PURCHASED OPTIONS
(Cost — $228,518) | | | 756,455 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS — 137.8%
(Cost — $149,765,872) | | | 141,012,512 | |
| | | | | | | | | | |
| | | | | | Liabilities in Excess of Other Assets — (37.8)% | | | (38,746,025 | ) |
| | | | | | | | | | |
| | | | | | TOTAL NET ASSETS — 100.0% | | $ | 102,266,487 | |
| | | | | | | | | | |
See Notes to Financial Statements.
279
| | | | | | |
| Inflation-Linked Fixed Income Fund |
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
| †† | All ratings are by Standard & Poor’s Rating Service, unless otherwise noted. All ratings are unaudited. |
| (a) | Position, or portion thereof, has been segregated to collateralize reverse repurchase agreements. |
| (b) | Rating by Moody’s Investors Service. All ratings are unaudited. |
| (c) | Rating by Fitch Ratings Service. All ratings are unaudited. |
| (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 August 31, 2022, amounts to $10,370,257 and represents 10.1% of net assets. |
| (e) | Variable rate security. Interest rate disclosed is that which was in effect at August 31, 2022. |
| (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 August 31, 2022. |
| (g) | This security is traded on a TBA basis (see Note 1). |
| (h) | All or a portion of these securities were purchased in a sale-buyback transaction. The value of these securities total $3,964,827 which represents 3.9% of net assets. |
At August 31, 2022, 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 | | $ | 152,316,558 | | | $ | 6,950,460 | | | $ | (19,298,094) | | | $ | (12,347,634) | |
| | |
Abbreviations used in this schedule: |
| CLO | | — Collateralized Loan Obligation |
| CPI | | — Consumer Price Index |
| EURIBOR | | — Euro Interbank Offered Rate |
| LIBOR | | — London Interbank Offered Rate |
| LLC | | — Limited Liability Company |
| OAT | | — Obligations assimilables du Trésor |
| PLC | | — Public Limited Company |
| | | | |
| Summary of Investments by Security Type^ | | | |
U.S. Government Agencies & Obligations | | | 76.7 | % |
Sovereign Bonds | | | 8.6 | |
Collateralized Mortgage Obligations | | | 7.3 | |
Corporate Bonds & Notes | | | 3.0 | |
Mortgage-Backed Securities | | | 2.6 | |
Purchased Options | | | 0.5 | |
Short-Term Investments | | | 1.3 | |
| | | | |
| | | 100.0% | |
| | | | |
| ^ | As a percentage of total investments. |
At August 31, 2022, Inflation-Linked Fixed Income Fund held the following Options Contracts Purchased:
Interest Rate Swaptions
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Number of
Contracts | | | Notional
Amount† | | | Security Name | | Counterparty | | | Expiration
Date | | | Exercise
Rate | | | Value | |
| | 2,700,000 | | | | $ 83,218 | | | OTC 2-Year Swaption, 3-Month USD-LIBOR, Call | | | BCLY | | | | 2/2/23 | | | | 1.410% | | | $ | 251 | |
| | 6,500,000 | | | | 200,339 | | | OTC 2-Year Swaption, 3-Month USD-LIBOR, Call | | | JPM | | | | 1/25/23 | | | | 1.710% | | | | 1,066 | |
| | 1,100,000 | | | | 6,820 | EUR | | OTC 30-Year Swaption, 3-Month EURIBOR, Put | | | BNP | | | | 11/4/22 | | | | 0.197% | | | | 454,398 | |
| | 300,000 | | | | 1,860 | EUR | | OTC 30-Year Swaption, 3-Month EURIBOR, Put | | | BCLY | | | | 11/4/22 | | | | 0.197% | | | | 123,927 | |
| | 1,100,000 | | | | 33,904 | | | OTC 30-Year Swaption, 3-Month USD-LIBOR, Put | | | DUB | | | | 11/17/23 | | | | 2.237% | | | | 176,813 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | TOTAL OPTIONS CONTRACTS PURCHASED
(Cost — $228,518) | | | | | | | | | | | | | | $ | 756,455 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
See Notes to Financial Statements.
280
| | | | | | |
| Inflation-Linked Fixed Income Fund |
At August 31, 2022, Inflation-Linked Fixed Income Fund held the following Options Contracts Written:
Credit Default Swaptions
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Number of
Contracts | | | Notional
Amount† | | | Security Name | | Counterparty | | | Expiration
Date | | | Exercise
Rate | | | Value | |
| | 100,000 | | | | $ 91,119 | | | OTC Markit CDX North America Investment Grade Series 38 5-Year Index, Put | | | DUB | | | | 12/21/22 | | | | 1.350% | | | $ | 255 | |
| | 100,000 | | | | 91,119 | | | OTC Markit CDX North America Investment Grade Series 38 5-Year Index, Put | | | DUB | | | | 12/21/22 | | | | 1.400% | | | | 231 | |
| | 100,000 | | | | 91,119 | | | OTC Markit CDX North America Investment Grade Series 38 5-Year Index, Put | | | JPM | | | | 11/16/22 | | | | 1.350% | | | | 156 | |
| | 100,000 | | | | 118,409 | EUR | | OTC Markit iTraxx Europe Series 37 5-Year Index, Put | | | BCLY | | | | 11/16/22 | | | | 1.900% | | | | 152 | |
| | 100,000 | | | | 118,409 | EUR | | OTC Markit iTraxx Europe Series 37 5-Year Index, Put | | | BNP | | | | 11/16/22 | | | | 1.900% | | | | 152 | |
| | 100,000 | | | | 118,409 | EUR | | OTC Markit iTraxx Europe Series 37 5-Year Index, Put | | | JPM | | | | 11/16/22 | | | | 1.900% | | | | 152 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | | | | | | | Total Credit Default Swaptions | | | | | | | | | | | | | | $ | 1,098 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Interest Rate Swaptions
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Number of
Contracts | | | Notional
Amount† | | | Security Name | | Counterparty | | | Expiration
Date | | | Exercise
Rate | | | Value | |
| | 5,600,000 | | | | $ 172,600 | | | OTC 5-Year Swaption, 3-Month USD-LIBOR, Put | | | DUB | | | | 11/17/23 | | | | 2.340% | | | $ | 257,698 | |
| | 2,640,000 | | | | 16,368 | EUR | | OTC 10-Year Swaption, 3-Month EURIBOR, Put | | | BNP | | | | 11/4/22 | | | | 0.000% | | | | 582,875 | |
| | 860,000 | | | | 5,332 | EUR | | OTC 10-Year Swaption, 3-Month EURIBOR, Put | | | BCLY | | | | 11/4/22 | | | | 0.000% | | | | 189,876 | |
| | 600,000 | | | | 18,493 | | | OTC 10-Year Swaption, 3-Month USD-LIBOR, Call | | | BCLY | | | | 2/2/23 | | | | 1.558% | | | | 835 | |
| | 1,400,000 | | | | 43,150 | | | OTC 10-Year Swaption, 3-Month USD-LIBOR, Call | | | JPM | | | | 1/25/23 | | | | 1.785% | | | | 2,957 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | | | | | | | Total Interest Rate Swaptions | | | | | | | | | | | | | | $ | 1,034,241 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
|
| Options on Futures | |
Number of
Contracts | | | Notional
Amount† | | | Security Name | | Counterparty | | | Expiration
Date | | | Strike Price | | | Value | |
| | 100,000 | | | | $ 99,156,250 | | | OTC Federal National Mortgage Association (FNMA) 30-Year September Futures, Put | | | JPM | | | | 9/7/22 | | | $ | 99.16 | | | $ | 146 | |
| | 100,000 | | | | 99,656,250 | | | OTC Federal National Mortgage Association (FNMA) 30-Year September Futures, Put | | | JPM | | | | 9/7/22 | | | $ | 99.66 | | | | 391 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | | | | | | | Total Options on Futures | | | | | | | | | | | | | | $ | 537 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | TOTAL OPTIONS CONTRACTS WRITTEN
(Premiums received — $212,258) | | | | | | | | | | | | | | $ | 1,035,876 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
See Notes to Financial Statements.
281
| | | | | | |
| Inflation-Linked Fixed Income Fund |
At August 31, 2022, Inflation-Linked Fixed Income Fund held the following Reverse Repurchase Agreements:
| | | | | | | | |
| | |
Face
Amounts | | | Security | | Value | |
| | | | Bank of America: | | | | |
| $ | 7,604,700 | | | 2.330% due 9/9/22 | | $ | 7,604,700 | |
| | 4,300,725 | | | 2.340% due 9/14/22 | | | 4,300,725 | |
| | | | Nomura Securities International, Inc.: | | | | |
| | 20,681,615 | | | 2.340% due 9/22/22 | | | 20,681,615 | |
| | | | | | | | |
| | | | TOTAL REVERSE REPURCHASE AGREEMENTS
(Proceeds — $32,587,040) | | $ | 32,587,040 | |
| | | | | | | | |
For the year ended August 31, 2022, the daily average borrowing and interest rate under the reverse repurchase agreements were $36,175,552 and 0.536%, respectively.
At August 31, 2022, 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: | | | | | | | | | | | | | | | | | | | | |
3-Month Euro-Euribor March Futures | | | 39 | | | | 3/23 | | | $ | 9,823,515 | | | $ | 9,573,433 | | | $ | (250,082 | ) |
Euro-Bund September Futures | | | 12 | | | | 9/22 | | | | 1,735,480 | | | | 1,784,162 | | | | 48,682 | |
U.S. Treasury Long Bond December Futures | | | 4 | | | | 12/22 | | | | 549,375 | | | | 543,375 | | | | (6,000 | ) |
U.S. Treasury Ultra Long Bond December Futures | | | 1 | | | | 12/22 | | | | 149,569 | | | | 149,500 | | | | (69 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | (207,469 | ) |
| | | | | | | | | | | | | | | | | | | | |
| Contracts to Sell: | | | | | | | | | | | | | | | | | | | | |
Australian Government 3-Year Bond September Futures | | | 8 | | | | 9/22 | | | | 587,054 | | | | 589,613 | | | | (2,559 | ) |
Euro-Bobl September Futures | | | 6 | | | | 9/22 | | | | 757,760 | | | | 742,025 | | | | 15,735 | |
Euro-BTP September Futures | | | 29 | | | | 9/22 | | | | 3,426,117 | | | | 3,482,426 | | | | (56,309 | ) |
Euro-Buxl 30-Year Bond September Futures | | | 7 | | | | 9/22 | | | | 1,195,390 | | | | 1,157,730 | | | | 37,660 | |
Euro-OAT September Futures | | | 8 | | | | 9/22 | | | | 1,147,291 | | | | 1,109,460 | | | | 37,831 | |
Euro-Schatz Note September Futures | | | 77 | | | | 9/22 | | | | 8,430,679 | | | | 8,403,112 | | | | 27,567 | |
Japan Government 10-Year Bond September Futures | | | 7 | | | | 9/22 | | | | 7,516,742 | | | | 7,535,438 | | | | (18,696 | ) |
Short Euro-BTP December Futures | | | 15 | | | | 12/22 | | | | 1,608,092 | | | | 1,605,017 | | | | 3,075 | |
U.S. Treasury 2-Year Note December Futures | | | 1 | | | | 12/22 | | | | 208,719 | | | | 208,328 | | | | 391 | |
U.S. Treasury 5-Year Note December Futures | | | 2 | | | | 12/22 | | | | 222,797 | | | | 221,641 | | | | 1,156 | |
U.S. Treasury 10-Year Note December Futures | | | 79 | | | | 12/22 | | | | 9,297,359 | | | | 9,235,594 | | | | 61,765 | |
U.S. Ultra Long Bond December Futures | | | 18 | | | | 12/22 | | | | 2,264,455 | | | | 2,253,375 | | | | 11,080 | |
United Kingdom Treasury 10-Year Gilt December Futures | | | 1 | | | | 12/22 | | | | 127,630 | | | | 125,377 | | | | 2,253 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 120,949 | |
| | | | | | | | | | | | | | | | | | | | |
Net Unrealized Depreciation on Open Exchange-Traded Futures Contracts | | | | | | | | | | | | | | | | | | $ | (86,520 | ) |
| | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
282
| | | | | | |
| Inflation-Linked Fixed Income Fund |
At August 31, 2022, Inflation-Linked Fixed Income Fund had deposited cash of $659,000 with a broker or brokers as margin collateral on an open exchange-traded futures contracts.
At August 31, 2022, 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 | | | 53,248 | | | | USD | | | | 36,980 | | | | JPM | | | $ | 36,435 | | | | 9/2/22 | | | $ | (545 | ) |
Australian Dollar | | | 312,096 | | | | USD | | | | 216,697 | | | | SCB | | | | 213,552 | | | | 9/2/22 | | | | (3,145 | ) |
British Pound | | | 604,000 | | | | USD | | | | 705,461 | | | | BNP | | | | 701,638 | | | | 9/2/22 | | | | (3,823 | ) |
British Pound | | | 77,349 | | | | USD | | | | 90,108 | | | | MLP | | | | 89,853 | | | | 9/2/22 | | | | (255 | ) |
Danish Krone | | | 11,341,927 | | | | USD | | | | 1,530,005 | | | | MLP | | | | 1,532,320 | | | | 9/1/22 | | | | 2,315 | |
Euro | | | 108,000 | | | | USD | | | | 109,981 | | | | BCLY | | | | 108,518 | | | | 9/2/22 | | | | (1,463 | ) |
Euro | | | 91,000 | | | | USD | | | | 93,330 | | | | BNP | | | | 91,436 | | | | 9/2/22 | | | | (1,894 | ) |
Euro | | | 116,000 | | | | USD | | | | 118,548 | | | | JPM | | | | 116,556 | | | | 9/2/22 | | | | (1,992) | |
Euro | | | 71,000 | | | | USD | | | | 70,637 | | | | JPM | | | | 71,341 | | | | 9/2/22 | | | | 704 | |
Euro | | | 67,000 | | | | USD | | | | 67,094 | | | | SCB | | | | 67,322 | | | | 9/2/22 | | | | 228 | |
Japanese Yen | | | 144,064,552 | | | | USD | | | | 1,038,503 | | | | JPM | | | | 1,037,144 | | | | 9/2/22 | | | | (1,359 | ) |
Peruvian Sol | | | 182,121 | | | | USD | | | | 46,527 | | | | SCB | | | | 47,342 | | | | 9/9/22 | | | | 815 | |
Peruvian Sol | | | 178,118 | | | | USD | | | | 45,697 | | | | SCB | | | | 46,261 | | | | 9/15/22 | | | | 564 | |
Peruvian Sol | | | 182,121 | | | | USD | | | | 46,938 | | | | BNP | | | | 47,009 | | | | 11/8/22 | | | | 71 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | (9,779 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Contracts to Sell: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Australian Dollar | | | 137,867 | | | | USD | | | | 96,600 | | | | BNP | | | | 94,335 | | | | 9/2/22 | | | | 2,265 | |
Australian Dollar | | | 189,206 | | | | USD | | | | 131,450 | | | | HSBC | | | | 129,464 | | | | 9/2/22 | | | | 1,986 | |
Australian Dollar | | | 111,927 | | | | USD | | | | 78,280 | | | | MLP | | | | 76,586 | | | | 9/2/22 | | | | 1,694 | |
Australian Dollar | | | 53,248 | | | | USD | | | | 36,999 | | | | JPM | | | | 36,454 | | | | 10/4/22 | | | | 545 | |
Australian Dollar | | | 73,656 | | | | USD | | | | 50,515 | | | | MLP | | | | 50,425 | | | | 10/4/22 | | | | 90 | |
Australian Dollar | | | 312,096 | | | | USD | | | | 216,803 | | | | SCB | | | | 213,663 | | | | 10/4/22 | | | | 3,140 | |
British Pound | | | 57,000 | | | | USD | | | | 68,753 | | | | BCLY | | | | 66,214 | | | | 9/2/22 | | | | 2,539 | |
British Pound | | | 32,000 | | | | USD | | | | 37,678 | | | | BNP | | | | 37,173 | | | | 9/2/22 | | | | 505 | |
British Pound | | | 14,000 | | | | USD | | | | 16,604 | | | | BNP | | | | 16,263 | | | | 9/2/22 | | | | 341 | |
British Pound | | | 4,936,000 | | | | USD | | | | 6,009,728 | | | | HSBC | | | | 5,733,908 | | | | 9/2/22 | | | | 275,820 | |
British Pound | | | 28,000 | | | | USD | | | | 34,120 | | | | JPM | | | | 32,526 | | | | 9/2/22 | | | | 1,594 | |
British Pound | | | 34,000 | | | | USD | | | | 40,142 | | | | JPM | | | | 39,496 | | | | 9/2/22 | | | | 646 | |
British Pound | | | 16,000 | | | | USD | | | | 19,585 | | | | MLP | | | | 18,586 | | | | 9/2/22 | | | | 999 | |
British Pound | | | 4,435,651 | | | | USD | | | | 5,164,392 | | | | BNP | | | | 5,155,905 | | | | 10/4/22 | | | | 8,487 | |
British Pound | | | 77,349 | | | | USD | | | | 90,162 | | | | MLP | | | | 89,909 | | | | 10/4/22 | | | | 253 | |
Canadian Dollar | | | 651,000 | | | | USD | | | | 509,570 | | | | BNP | | | | 495,754 | | | | 9/2/22 | | | | 13,816 | |
Danish Krone | | | 15,949,511 | | | | USD | | | | 2,179,684 | | | | BNP | | | | 2,154,815 | | | | 9/1/22 | | | | 24,869 | |
Danish Krone | | | 1,615,000 | | | | USD | | | | 222,800 | | | | MLP | | | | 218,190 | | | | 9/1/22 | | | | 4,610 | |
Danish Krone | | | 11,939,477 | | | | USD | | | | 1,633,184 | | | | MLP | | | | 1,613,050 | | | | 9/1/22 | | | | 20,134 | |
Danish Krone | | | 18,060,749 | | | | USD | | | | 2,441,236 | | | | MLP | | | | 2,445,098 | | | | 10/3/22 | | | | (3,862 | ) |
Danish Krone | | | 11,317,141 | | | | USD | | | | 1,530,005 | | | | MLP | | | | 1,532,136 | | | | 10/3/22 | | | | (2,131 | ) |
Euro | | | 6,236,000 | | | | USD | | | | 6,376,279 | | | | HSBC | | | | 6,265,933 | | | | 9/2/22 | | | | 110,346 | |
Euro | | | 5,783,000 | | | | USD | | | | 5,781,884 | | | | HSBC | | | | 5,823,409 | | | | 10/4/22 | | | | (41,525 | ) |
Japanese Yen | | | 77,570,405 | | | | USD | | | | 568,995 | | | | DUB | | | | 558,442 | | | | 9/2/22 | | | | 10,553 | |
Japanese Yen | | | 66,200,000 | | | | USD | | | | 501,527 | | | | MLP | | | | 476,584 | | | | 9/2/22 | | | | 24,943 | |
Japanese Yen | | | 143,691,564 | | | | USD | | | | 1,038,503 | | | | JPM | | | | 1,037,184 | | | | 10/4/22 | | | | 1,319 | |
See Notes to Financial Statements.
283
| | | | | | |
| Inflation-Linked Fixed Income Fund |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Foreign Currency | | Local Currency | | | In Exchange For | | | Counterparty | | | Market
Value | | | Settlement
Date | | | Unrealized
Appreciation/
(Depreciation) | |
| Contracts to Sell: (continued) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
New Zealand Dollar | | | 334,000 | | | | USD | | | | 209,960 | | | | HSBC | | | $ | 204,375 | | | | 9/2/22 | | | $ | 5,585 | |
New Zealand Dollar | | | 334,000 | | | | USD | | | | 204,274 | | | | BNP | | | | 204,366 | | | | 10/4/22 | | | | (92 | ) |
Peruvian Sol | | | 182,121 | | | | USD | | | | 47,230 | | | | BNP | | | | 47,342 | | | | 9/9/22 | | | | (112 | ) |
Peruvian Sol | | | 1,491,540 | | | | USD | | | | 374,561 | | | | HSBC | | | | 383,879 | | | | 12/6/22 | | | | (9,318 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | 460,039 | |
| | | | | | | | | | | | | | | | | | | | | | | | | �� | | | |
Net Unrealized Appreciation on Open Forward Foreign Currency Contracts | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 450,260 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
At August 31, 2022, 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 | | | $ | (141 | ) | | $ | (1,139 | ) | | $ | 998 | |
| Receive | | 3-Month FRA New Zealand Bank Bill | | | 3.250% | | | | 3/21/28 | | | | 6-Month | | | | NZD | | | | 700,000 | | | | 14,504 | | | | (103,178 | ) | | | 117,682 | |
| Receive | | 3-Month USD-LIBOR | | | 1.840% | | | | 11/21/28 | | | | 6-Month | | | | USD | | | | 1,500,000 | | | | 87,816 | | | | — | | | | 87,816 | |
| Pay | | 3-Month USD-LIBOR | | | 1.888% | | | | 11/21/53 | | | | 6-Month | | | | USD | | | | 300,000 | | | | (59,450 | ) | | | — | | | | (59,450 | ) |
| Pay | | 6-Month EURIBOR | | | 0.500% | | | | 9/21/52 | | | | 12-Month | | | | EUR | | | | 400,000 | | | | (138,301 | ) | | | (40,324 | ) | | | (97,977 | ) |
| Pay | | 6-Month EURIBOR | | | 0.550% | | | | 8/10/24 | | | | 12-Month | | | | EUR | | | | 100,000 | | | | (2,925 | ) | | | — | | | | (2,925 | ) |
| Pay | | 6-Month EURIBOR | | | 0.650% | | | | 4/12/27 | | | | 12-Month | | | | EUR | | | | 300,000 | | | | (19,757 | ) | | | — | | | | (19,757 | ) |
| Pay | | 6-Month EURIBOR | | | 0.650% | | | | 5/11/27 | | | | 12-Month | | | | EUR | | | | 300,000 | | | | (20,291 | ) | | | — | | | | (20,291 | ) |
| Pay | | 6-Month EURIBOR | | | 0.700% | | | | 4/11/27 | | | | 12-Month | | | | EUR | | | | 200,000 | | | | (12,689 | ) | | | — | | | | (12,689 | ) |
| Receive | | 6-Month EURIBOR | | | 0.250% | | | | 9/21/32 | | | | 6-Month | | | | EUR | | | | 1,400,000 | | | | 274,997 | | | | 126,274 | | | | 148,723 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | $ | 123,763 | | | $ | (18,367 | ) | | $ | 142,130 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
284
| | | | | | |
| Inflation-Linked Fixed Income Fund |
At August 31, 2022, 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 | | 5-Year EUR Inflation Linked | | | 3.000% | | | | 5/15/27 | | | | EUR | | | | 200,000 | | | $ | 5,868 | | | $ | 100 | | | $ | 5,768 | |
| Receive | | 5-Year EUR Inflation Linked | | | 1.030% | | | | 3/15/24 | | | | EUR | | | | 1,000,000 | | | | 83,386 | | | | (37,985 | ) | | | 121,371 | |
| Receive | | 8-Year EUR Inflation Linked | | | 2.359% | | | | 8/15/30 | | | | EUR | | | | 200,000 | | | | 5,903 | | | | — | | | | 5,903 | |
| Pay | | 10-Year EUR Inflation Linked | | | 1.380% | | | | 3/15/31 | | | | EUR | | | | 1,300,000 | | | | (257,730 | ) | | | (9,569 | ) | | | (248,161 | ) |
| Pay | | 10-Year EUR Inflation Linked | | | 1.620% | | | | 5/15/28 | | | | EUR | | | | 910,000 | | | | (128,232 | ) | | | 93,051 | | | | (221,283 | ) |
| Receive | | 10-Year EUR Inflation Linked | | | 2.470% | | | | 7/15/32 | | | | EUR | | | | 200,000 | | | | 4,411 | | | | — | | | | 4,411 | |
| Receive | | 10-Year EUR Inflation Linked | | | 2.570% | | | | 6/15/32 | | | | EUR | | | | 300,000 | | | | 3,511 | | | | — | | | | 3,511 | |
| Receive | | 10-Year EUR Inflation Linked | | | 2.600% | | | | 5/15/32 | | | | EUR | | | | 400,000 | | | | 9,796 | | | | 2,060 | | | | 7,736 | |
| Receive | | 10-Year EUR Inflation Linked | | | 2.720% | | | | 6/15/32 | | | | EUR | | | | 500,000 | | | | (1,911 | ) | | | (4,228 | ) | | | 2,317 | |
| Receive | | 15-Year EUR Inflation Linked | | | 1.710% | | | | 3/15/33 | | | | EUR | | | | 100,000 | | | | 15,128 | | | | (15,114 | ) | | | 30,242 | |
| Pay | | 15-Year EUR Inflation Linked | | | 2.487% | | | | 5/15/37 | | | | EUR | | | | 200,000 | | | | (6,085 | ) | | | 201 | | | | (6,286 | ) |
| Pay | | 30-Year EUR Inflation Linked | | | 2.421% | | | | 5/15/52 | | | | EUR | | | | 30,000 | | | | (1,504 | ) | | | — | | | | (1,504 | ) |
| Pay | | 30-Year EUR Inflation Linked | | | 2.590% | | | | 3/15/52 | | | | EUR | | | | 200,000 | | | | (2,140 | ) | | | (2,478 | ) | | | 338 | |
| Receive | | 2-Year GBP Inflation Linked | | | 5.200% | | | | 6/15/24 | | | | GBP | | | | 100,000 | | | | 5,472 | | | | — | | | | 5,472 | |
| Receive | | 2-Year GBP Inflation Linked | | | 5.330% | | | | 6/15/24 | | | | GBP | | | | 100,000 | | | | 5,174 | | | | — | | | | 5,174 | |
| Receive | | 2-Year GBP Inflation Linked | | | 6.290% | | | | 3/15/24 | | | | GBP | | | | 300,000 | | | | 22,461 | | | | (134 | ) | | | 22,595 | |
| Pay | | 5-Year GBP Inflation Linked | | | 3.330% | | | | 1/15/25 | | | | GBP | | | | 2,900,000 | | | | (555,359 | ) | | | 29,795 | | | | (585,154 | ) |
| Pay | | 5-Year GBP Inflation Linked | | | 3.850% | | | | 9/15/24 | | | | GBP | | | | 1,300,000 | | | | (197,276 | ) | | | 76,362 | | | | (273,638 | ) |
| Receive | | 5-Year GBP Inflation Linked | | | 4.626% | | | | 2/15/27 | | | | GBP | | | | 1,000,000 | | | | 101,751 | | | | — | | | | 101,751 | |
| Receive | | 5-Year GBP Inflation Linked | | | 4.735% | | | | 12/15/26 | | | | GBP | | | | 1,000,000 | | | | 108,371 | | | | (12,515 | ) | | | 120,886 | |
| Pay | | 10-Year GBP Inflation Linked | | | 3.475% | | | | 8/15/30 | | | | GBP | | | | 900,000 | | | | (235,613 | ) | | | 9,395 | | | | (245,008 | ) |
| Pay | | 10-Year GBP Inflation Linked | | | 3.717% | | | | 12/15/28 | | | | GBP | | | | 20,000 | | | | (3,579 | ) | | | 1,513 | | | | (5,092 | ) |
| Pay | | 10-Year GBP Inflation Linked | | | 3.750% | | | | 4/15/31 | | | | GBP | | | | 520,000 | | | | (121,797 | ) | | | (4 | ) | | | (121,793 | ) |
| Receive | | 10-Year GBP Inflation Linked | | | 4.300% | | | | 1/15/32 | | | | GBP | | | | 400,000 | | | | 43,606 | | | | 1,393 | | | | 42,213 | |
| Pay | | 15-Year GBP Inflation Linked | | | 3.566% | | | | 3/15/36 | | | | GBP | | | | 100,000 | | | | (24,673 | ) | | | — | | | | (24,673 | ) |
| Pay | | 15-Year GBP Inflation Linked | | | 3.580% | | | | 3/15/36 | | | | GBP | | | | 300,000 | | | | (73,204 | ) | | | (2,006 | ) | | | (71,198 | ) |
| Pay | | 1-Year USD Inflation Linked | | | 3.850% | | | | 12/20/22 | | | | USD | | | | 600,000 | | | | (20,045 | ) | | | — | | | | (20,045 | ) |
| Pay | | 1-Year USD Inflation Linked | | | 4.950% | | | | 3/7/23 | | | | USD | | | | 200,000 | | | | (2,646 | ) | | | — | | | | (2,646 | ) |
| Pay | | 1-Year USD Inflation Linked | | | 5.000% | | | | 3/3/23 | | | | USD | | | | 400,000 | | | | (5,275 | ) | | | — | | | | (5,275 | ) |
| Pay | | 1-Year USD Inflation Linked | | | 5.032% | | | | 3/8/23 | | | | USD | | | | 300,000 | | | | (3,693 | ) | | | — | | | | (3,693 | ) |
| Pay | | 1-Year USD Inflation Linked | | | 5.150% | | | | 5/23/23 | | | | USD | | | | 500,000 | | | | 811 | | | | — | | | | 811 | |
| Pay | | 1-Year USD Inflation Linked | | | 5.185% | | | | 5/24/23 | | | | USD | | | | 500,000 | | | | 1,113 | | | | — | | | | 1,113 | |
| Pay | | 1-Year USD Inflation Linked | | | 5.320% | | | | 4/29/23 | | | | USD | | | | 2,300,000 | | | | (6,426 | ) | | | — | | | | (6,426 | ) |
| Pay | | 1-Year USD Inflation Linked | | | 5.470% | | | | 3/21/23 | | | | USD | | | | 2,300,000 | | | | (15,129 | ) | | | — | | | | (15,129 | ) |
| Receive | | 5-Year USD Inflation Linked | | | 2.210% | | | | 2/5/23 | | | | USD | | | | 2,090,000 | | | | 174,301 | | | | (62,311 | ) | | | 236,612 | |
| Receive | | 5-Year USD Inflation Linked | | | 2.220% | | | | 4/13/23 | | | | USD | | | | 6,296,000 | | | | 534,367 | | | | (214,466 | ) | | | 748,833 | |
| Receive | | 5-Year USD Inflation Linked | | | 2.703% | | | | 5/25/26 | | | | USD | | | | 510,000 | | | | 46,483 | | | | 81 | | | | 46,402 | |
| Receive | | 5-Year USD Inflation Linked | | | 2.767% | | | | 5/13/26 | | | | USD | | | | 500,000 | | | | 44,407 | | | | — | | | | 44,407 | |
| Receive | | 5-Year USD Inflation Linked | | | 2.813% | | | | 5/14/26 | | | | USD | | | | 300,000 | | | | 25,947 | | | | — | | | | 25,947 | |
| Receive | | 7-Year USD Inflation Linked | | | 1.797% | | | | 8/25/27 | | | | USD | | | | 600,000 | | | | 98,259 | | | | 5,868 | | | | 92,391 | |
| Receive | | 7-Year USD Inflation Linked | | | 1.890% | | | | 8/27/27 | | | | USD | | | | 700,000 | | | | 110,108 | | | | 1,693 | | | | 108,415 | |
| Receive | | 7-Year USD Inflation Linked | | | 2.573% | | | | 8/26/28 | | | | USD | | | | 100,000 | | | | 7,791 | | | | — | | | | 7,791 | |
| Receive | | 7-Year USD Inflation Linked | | | 2.645% | | | | 9/10/28 | | | | USD | | | | 100,000 | | | | 7,022 | | | | — | | | | 7,022 | |
| Receive | | 10-Year USD Inflation Linked | | | 2.311% | | | | 2/24/31 | | | | USD | | | | 2,300,000 | | | | 288,454 | | | | 1,035 | | | | 287,419 | |
| Pay | | 10-Year USD Inflation Linked | | | 1.280% | | | | 5/19/30 | | | | USD | | | | 800,000 | | | | (173,844 | ) | | | (50,027 | ) | | | (123,817 | ) |
| Pay | | 10-Year USD Inflation Linked | | | 1.760% | | | | 11/4/29 | | | | USD | | | | 1,200,000 | | | | (204,445 | ) | | | (8,764 | ) | | | (195,681 | ) |
| Pay | | 10-Year USD Inflation Linked | | | 1.882% | | | | 11/20/29 | | | | USD | | | | 1,500,000 | | | | (238,658 | ) | | | 9,233 | | | | (247,891 | ) |
| Pay | | 10-Year USD Inflation Linked | | | 2.335% | | | | 2/5/28 | | | | USD | | | | 960,000 | | | | (104,475 | ) | | | 59,292 | | | | (163,767 | ) |
| Pay | | 10-Year USD Inflation Linked | | | 2.352% | | | | 5/9/28 | | | | USD | | | | 360,000 | | | | (37,869 | ) | | | 24,122 | | | | (61,991 | ) |
| Pay | | 10-Year USD Inflation Linked | | | 2.360% | | | | 5/9/28 | | | | USD | | | | 540,000 | | | | (56,383 | ) | | | 36,670 | | | | (93,053 | ) |
| Pay | | 10-Year USD Inflation Linked | | | 2.364% | | | | 5/10/28 | | | | USD | | | | 550,000 | | | | (57,242 | ) | | | 37,569 | | | | (94,811 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | $ | (781,332 | ) | | $ | (30,168 | ) | | $ | (751,164 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
285
| | | | | | |
| Inflation-Linked Fixed Income Fund |
At August 31, 2022, 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 | | | ImpliedCredit
Spread at
8/31/22 (2) | | | Notional
Amount (3) | | | Market
Value | | | Upfront
Payment
Paid | | | Unrealized
Depreciation | |
General Electric Co., BBB+ | | | 1.000 | % | | | 12/20/23 | | | | 3-Month | | | | 0.006 | % | | | USD | | | | 100,000 | | | $ | 655 | | | $ | 981 | | | $ | (326 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| † | 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 August 31, 2022, Inflation-Linked Fixed Income Fund deposited cash collateral with brokers in the amount of $490,000 for open centrally cleared swap contracts.
At August 31, 2022, Inflation-Linked Fixed Income Fund had cash collateral from brokers in the amount of $280,000 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 | | JPM | | — JPMorgan Chase & Co. |
| JPY | | — Japanese Yen | | MLP | | — Merrill Lynch, Pierce, Fenner & Smith Inc. |
| NOK | | — Norwegian Krone | | SCB | | — Standard Chartered Bank |
| NZD | | — New Zealand Dollar | | | | |
| PEN | | — Peruvian Sol | | | | |
| SEK | | — Swedish Krona | | | | |
| SGD | | — Singapore Dollar | | | | |
| ZAR | | — South African Rand | | | | |
| USD | | — United States Dollar | | | | |
See pages 304-305 for definitions of ratings.
At August 31, 2022, Inflation-Linked Fixed Income Fund was involved in following sale-buyback transaction:
| | | | | | | | | | | | | | | | |
| Counterparty | | Borrowing
Date | | | Maturity
Date | | | Borrowing
Rate | | | Amount
Borrowed | |
BNP Paribas SA | | | 8/12/22 | | | | 9/19/22 | | | | 2.377 | % | | $ | 4,030,523 | |
| | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
286
| | | | | | | | | | |
| Ultra-Short Term Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| CORPORATE BONDS & NOTES — 50.3% | |
|
| Aerospace/Defense — 1.7% | |
| | | | | | Boeing Co. (The), Senior Unsecured Notes: | | | | |
| $ | 3,727,000 | | | BBB- | | 4.508% due 5/1/23 | | $ | 3,736,892 | |
| | 100,000 | | | BBB- | | 1.875% due 6/15/23 | | | 98,469 | |
| | 5,100,000 | | | BBB- | | 1.433% due 2/4/24 | | | 4,893,192 | |
| | | | | | | | | | |
| | | | | | Total Aerospace/Defense | | | 8,728,553 | |
| | | | | | | | | | |
|
| Agriculture — 1.4% | |
| | | | | | BAT Capital Corp., Company Guaranteed Notes: | | | | |
| | 3,400,000 | | | BBB+ | | 3.222% due 8/15/24 | | | 3,323,709 | |
| | 1,200,000 | | | BBB+ | | 2.789% due 9/6/24 | | | 1,163,852 | |
| | | | | | Imperial Brands Finance PLC, Company Guaranteed Notes: | | | | |
| | 1,100,000 | | | BBB | | 3.125% due 7/26/24(a) | | | 1,059,356 | |
| | 700,000 | | | BBB | | 3.500% due 7/26/26(a) | | | 649,717 | |
| | 600,000 | | | BBB+ | | Reynolds American Inc., Company Guaranteed Notes, 4.450% due 6/12/25 | | | 594,945 | |
| | | | | | | | | | |
| | | | | | Total Agriculture | | | 6,791,579 | |
| | | | | | | | | | |
|
| Auto Manufacturers — 5.1% | |
| | | | | | Ford Motor Credit Co. LLC, Senior Unsecured Notes: | | | | |
| | 2,700,000 | | | BB+ | | 3.350% due 11/1/22 | | | 2,696,632 | |
| | 400,000 | | | BB+ | | 3.370% due 11/17/23 | | | 390,324 | |
| | | | | | General Motors Financial Co., Inc.: | | | | |
| | 1,600,000 | | | BBB | | Company Guaranteed Notes, 3.950% due 4/13/24 | | | 1,589,037 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 1,000,000 | | | BBB | | 4.150% due 6/19/23 | | | 999,696 | |
| | 2,000,000 | | | BBB | | 3.495% (SOFR + 1.200%) due 11/17/23(b) | | | 1,993,087 | |
| | 1,500,000 | | | BBB | | 5.100% due 1/17/24 | | | 1,514,003 | |
| | | | | | Hyundai Capital America, Senior Unsecured Notes: | | | | |
| | 1,500,000 | | | BBB+ | | 0.800% due 4/3/23(a) | | | 1,469,632 | |
| | 1,200,000 | | | BBB+ | | 5.750% due 4/6/23 | | | 1,210,044 | |
| | 1,000,000 | | | BBB+ | | 5.750% due 4/6/23(a) | | | 1,008,370 | |
| | 2,000,000 | | | BBB+ | | 0.875% due 6/14/24(a) | | | 1,873,102 | |
| | | | | | Nissan Motor Acceptance Co. LLC, Senior Unsecured Notes: | | | | |
| | 2,800,000 | | | BBB- | | 2.924% (3-Month USD-LIBOR + 0.690%) due 9/28/22(a)(b) | | | 2,798,724 | |
| | 1,000,000 | | | BBB- | | 3.875% due 9/21/23(a) | | | 993,461 | |
| | 1,500,000 | | | BBB- | | Nissan Motor Co., Ltd., Senior Unsecured Notes, 3.043% due 9/15/23(a) | | | 1,474,010 | |
| | 4,974,000 | | | BBB | | Stellantis NV, Senior Unsecured Notes, 5.250% due 4/15/23 | | | 5,002,377 | |
| | 710,000 | AUD | | BBB+ | | Volkswagen Financial Services Australia Pty Ltd., Company Guaranteed Notes, 2.922%
(3-Month Australian Bank Bill + 1.300%) due 9/14/22(b) | | | 485,867 | |
| | | | | | | | | | |
| | | | | | Total Auto Manufacturers | | | 25,498,366 | |
| | | | | | | | | | |
|
| Banks — 21.3% | |
| | 200,000 | AUD | | A | | ADCB Finance Cayman Ltd., Company Guaranteed Notes, 3.589%
(3-Month Australian Bank Bill + 1.380%) due 10/25/22(b) | | | 136,963 | |
| | | | | | Aozora Bank Ltd., Senior Unsecured Notes: | | | | |
| | 700,000 | | | BBB+ | | 2.550% due 9/9/22 | | | 699,843 | |
| | 1,000,000 | | | BBB+ | | 1.050% due 9/9/24 | | | 931,486 | |
| | 800,000 | | | A | | Banco Bilbao Vizcaya Argentaria SA, Senior Unsecured Notes, 0.875% due 9/18/23 | | | 773,021 | |
| | 1,000,000 | AUD | | A- | | Banco Santander SA, Senior Unsecured Notes, 3.841%
(3-Month Australian Bank Bill + 1.650%) due 1/19/23(b) | | | 685,625 | |
| | 1,200,000 | | | BBB+ | | Bangkok Bank PCL, Senior Unsecured Notes, 3.875% due 9/27/22 | | | 1,200,147 | |
| | 3,000,000 | | | A- | | Bank of America Corp., Senior Unsecured Notes, 3.004%
(3-Month USD-LIBOR + 0.790%) due 12/20/23(b) | | | 2,989,457 | |
See Notes to Financial Statements.
287
| | | | | | | | | | |
| Ultra-Short Term Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Banks — 21.3% — (continued) | |
| $ | 4,886,000 | | | BBB | | Barclays PLC, Senior Unsecured Notes, 4.302%
(3-Month USD-LIBOR + 1.380%) due 5/16/24(b) | | $ | 4,877,599 | |
| | | | | | BNP Paribas SA, Senior Unsecured Notes: | | | | |
| | 1,000,000 | | | A- | | 3.800% due 1/10/24(a) | | | 993,732 | |
| | 400,000 | AUD | | A- | | 4.218% (3-Month Australian Bank Bill + 1.750%) due 2/28/24(b) | | | 275,402 | |
| | 2,325,000 | | | A- | | 3.375% due 1/9/25(a) | | | 2,257,062 | |
| | 200,000 | | | A- | | 4.705% (3-Month USD-LIBOR + 2.235%) due 1/10/25(a)(b) | | | 199,675 | |
| | | | | | Citigroup Inc., Senior Unsecured Notes: | | | | |
| | 2,100,000 | | | BBB+ | | 3.010% (3-Month USD-LIBOR + 1.430%) due 9/1/23(b) | | | 2,100,000 | |
| | 760,000 | AUD | | BBB+ | | 4.011% (3-Month Australian Bank Bill + 1.720%) due 10/27/23(b) | | | 524,223 | |
| | 500,000 | | | BBB+ | | 4.042% (3-Month USD-LIBOR + 1.100%) due 5/17/24(b) | | | 500,665 | |
| | 300,000 | | | BBB+ | | 4.105% (3-Month USD-LIBOR + 1.023%) due 6/1/24(b) | | | 300,073 | |
| | 1,000,000 | | | A- | | Credit Agricole SA, Senior Unsecured Notes, 3.173%
(3-Month USD-LIBOR + 1.050%) due 3/22/24(b) | | | 1,001,552 | |
| | 2,500,000 | AUD | | A2(c) | | Credit Suisse AG, Senior Unsecured Notes, 3.557%
(3-Month Australian Bank Bill + 1.150%) due 5/26/23(b) | | | 1,713,352 | |
| | | | | | Credit Suisse Group AG, Senior Unsecured Notes: | | | | |
| | 1,750,000 | | | BBB | | 2.961% (3-Month USD-LIBOR + 1.240%) due 6/12/24(b) | | | 1,739,899 | |
| | 2,000,000 | | | BBB | | 2.961% (3-Month USD-LIBOR + 1.240%) due 6/12/24(a)(b) | | | 1,988,456 | |
| | | | | | Danske Bank AS, Senior Unsecured Notes: | | | | |
| | 1,200,000 | | | BBB+ | | 2.781% (3-Month USD-LIBOR + 1.060%) due 9/12/23(b) | | | 1,199,271 | |
| | 500,000 | | | BBB+ | | 2.781% (3-Month USD-LIBOR + 1.060%) due 9/12/23(a)(b) | | | 499,696 | |
| | 1,000,000 | | | BBB+ | | 3.875% due 9/12/23(a) | | | 991,024 | |
| | 3,731,000 | | | BBB+ | | 1.171% (1-Year CMT Index + 1.030%) due 12/8/23(a)(b) | | | 3,692,234 | |
| | 600,000 | | | BBB+ | | 5.375% due 1/12/24 | | | 604,972 | |
| | 200,000 | | | BBB+ | | 5.375% due 1/12/24(a) | | | 201,657 | |
| | | | | | Deutsche Bank AG, Senior Unsecured Notes: | | | | |
| | 300,000 | | | BBB- | | 4.112% (3-Month USD-LIBOR + 1.190%) due 11/16/22(b) | | | 300,084 | |
| | 790,000 | AUD | | BBB- | | 3.521% (3-Month Australian Bank Bill + 1.400%) due 1/30/23(b) | | | 540,206 | |
| | 1,100,000 | | | BBB- | | 3.950% due 2/27/23 | | | 1,097,036 | |
| | 400,000 | | | BBB- | | 4.273% (3-Month USD-LIBOR + 1.230%) due 2/27/23(b) | | | 399,839 | |
| | 1,800,000 | | | A- | | 0.962% due 11/8/23 | | | 1,729,850 | |
| | 2,100,000 | | | BBB- | | 2.222% (SOFR + 2.159%) due 9/18/24(b) | | | 2,026,577 | |
| | 900,000 | | | A- | | Deutsche Bank AG, (Restricted, cost – $877,963, acquired 3/31/22), Senior Unsecured Notes, 0.898% due 5/28/24(d) | | | 846,607 | |
| | 1,700,000 | AUD | | AA- | | First Abu Dhabi Bank PJSC, Senior Unsecured Notes, 3.417%
(3-Month Australian Bank Bill + 1.100%) due 2/18/25(b) | | | 1,158,472 | |
| | | | | | Goldman Sachs Group Inc. (The), Senior Unsecured Notes: | | | | |
| | 1,000,000 | | | BBB+ | | 3.708% (3-Month USD-LIBOR + 0.750%) due 2/23/23(b) | | | 1,000,430 | |
| | 3,000,000 | AUD | | BBB+ | | 3.504% (3-Month Australian Bank Bill + 1.200%) due 5/16/23(b) | | | 2,061,731 | |
| | 1,000,000 | AUD | | BBB+ | | 3.732% (3-Month Australian Bank Bill + 1.550%) due 5/2/24(b) | | | 688,862 | |
| | 1,000,000 | | | BBB+ | | 0.925% (SOFR + 0.486%) due 10/21/24(b) | | | 957,780 | |
| | 1,000,000 | | | A+ | | Hana Bank, Senior Unsecured Notes, 3.566%
(3-Month USD-LIBOR + 0.800%) due 7/26/23(b) | | | 1,002,890 | |
| | | | | | HSBC Holdings PLC, Senior Unsecured Notes: | | | | |
| | 1,000,000 | AUD | | A- | | 3.404% (3-Month Australian Bank Bill + 1.100%) due 2/16/24(b) | | | 683,874 | |
| | 5,900,000 | | | A- | | 2.951% (3-Month USD-LIBOR + 1.230%) due 3/11/25(b) | | | 5,880,685 | |
| | 1,900,000 | | | A- | | ING Groep NV, Senior Unsecured Notes, 3.024%
(SOFR + 1.010%) due 4/1/27(b) | | | 1,824,429 | |
| | | | | | JPMorgan Chase & Co., Senior Unsecured Notes: | | | | |
| | 3,300,000 | | | A- | | 3.673% (3-Month USD-LIBOR + 0.890%) due 7/23/24(b) | | | 3,296,994 | |
| | 600,000 | | | A- | | 2.720% (SOFR + 0.765%) due 9/22/27(b) | | | 579,365 | |
| | | | | | Lloyds Banking Group PLC, Senior Unsecured Notes: | | | | |
| | 4,000,000 | AUD | | BBB+ | | 3.136% (3-Month Australian Bank Bill + 1.300%) due 3/20/23(b) | | | 2,739,716 | |
| | 3,700,000 | AUD | | BBB+ | | 2.636% (3-Month Australian Bank Bill + 1.400%) due 3/7/25(b) | | | 2,510,279 | |
See Notes to Financial Statements.
288
| | | | | | | | | | |
| Ultra-Short Term Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Banks — 21.3% — (continued) | |
| | | | | | Mizuho Financial Group Inc., Senior Unsecured Notes: | | | | |
| $ | 2,900,000 | | | A- | | 2.571% (3-Month USD-LIBOR + 0.850%) due 9/13/23(b) | | $ | 2,900,125 | |
| | 3,800,000 | | | A- | | 3.627% (3-Month USD-LIBOR + 0.630%) due 5/25/24(b) | | | 3,785,495 | |
| | 300,000 | | | BBB | | NatWest Group PLC, Senior Unsecured Notes, 3.747%
(3-Month USD-LIBOR + 1.550%) due 6/25/24(b) | | | 300,039 | |
| | 1,000,000 | | | A- | | NatWest Markets PLC, Senior Unsecured Notes, 3.405%
(SOFR + 1.450%) due 3/22/25(a)(b) | | | 1,001,590 | |
| | | | | | Nordea Bank Abp, Senior Unsecured Notes: | | | | |
| | 1,200,000 | | | A | | 3.983% (3-Month USD-LIBOR + 0.940%) due 8/30/23(a)(b) | | | 1,204,966 | |
| | 600,000 | | | AA- | | 2.695% (SOFR + 0.960%) due 6/6/25(a)(b) | | | 598,481 | |
| | | | | | QNB Finance Ltd., Company Guaranteed Notes: | | | | |
| | 500,000 | AUD | | A | | 3.932% (3-Month Australian Bank Bill + 1.750%) due 2/1/23(b) | | | 343,163 | |
| | 4,200,000 | | | A | | 3.346% (3-Month USD-LIBOR + 1.250%) due 3/21/24(b) | | | 4,208,526 | |
| | 4,276,000 | | | BBB+ | | Santander Holdings USA Inc., Senior Unsecured Notes, 3.400% due 1/18/23 | | | 4,263,993 | |
| | | | | | Societe Generale SA, Senior Unsecured Notes: | | | | |
| | 2,200,000 | | | BBB | | 3.875% due 3/28/24(a) | | | 2,169,411 | |
| | 2,300,000 | | | BBB | | 2.625% due 1/22/25(a) | | | 2,169,622 | |
| | 800,000 | | | BBB | | 3.268% (SOFR + 1.050%) due 1/21/26(a)(b) | | | 776,726 | |
| | | | | | Standard Chartered PLC, Senior Unsecured Notes: | | | | |
| | 400,000 | | | BBB+ | | 1.319% (1-Year CMT Index + 1.170%) due 10/14/23(a)(b) | | | 398,320 | |
| | 500,000 | | | BBB+ | | 3.885% (3-Month USD-LIBOR + 1.080%) due 3/15/24(a)(b) | | | 497,371 | |
| | 1,700,000 | | | BBB+ | | 3.785% (3-Month USD-LIBOR + 1.560%) due 5/21/25(a)(b) | | | 1,660,991 | |
| | 3,000,000 | | | BBB+ | | 3.784% (SOFR + 1.740%) due 3/30/26(a)(b) | | | 2,984,378 | |
| | 7,700,000 | AUD | | A- | | Sumitomo Mitsui Financial Group Inc., Senior Unsecured Notes, 3.441%
(3-Month Australian Bank Bill + 1.250%) due 10/16/24(b) | | | 5,272,076 | |
| | 500,000 | | | A | | Sumitomo Mitsui Trust Bank Ltd., Senior Unsecured Notes, 0.800% due 9/16/24(a) | | | 464,847 | |
| | 5,600,000 | AUD | | A+ | | UBS AG, Senior Unsecured Notes, 2.991%
(3-Month Australian Bank Bill + 0.870%) due 7/30/25(b) | | | 3,825,140 | |
| | 5,200,000 | CAD | | BBB+ | | Wells Fargo & Co., (Restricted, cost – $4,286,016, acquired 2/11/21), Senior Unsecured Notes, 2.509% due 10/27/23(d) | | | 3,857,361 | |
| | 1,000,000 | CAD | | BBB+ | | Wells Fargo & Co., (Restricted, cost – $797,484, acquired 10/6/20), Senior Unsecured Notes, 3.184% due 2/8/24(d) | | | 744,013 | |
| | | | | | | | | | |
| | | | | | Total Banks | | | 107,829,426 | |
| | | | | | | | | | |
|
| Beverages — 0.2% | |
| | 900,000 | | | BBB- | | JDE Peet’s NV, Company Guaranteed Notes, 0.800% due 9/24/24(a) | | | 830,886 | |
| | | | | | | | | | |
|
| Commercial Services — 1.2% | |
| | 2,500,000 | | | BBB+ | | RELX Capital Inc., Company Guaranteed Notes, 3.500% due 3/16/23 | | | 2,493,451 | |
| | 5,000,000 | AUD | | BBB | | Transurban Queensland Finance Pty Ltd., Senior Secured Notes, 3.793%
(3-Month Australian Bank Bill + 2.050%) due 12/16/24(b) | | | 3,501,570 | |
| | | | | | | | | | |
| | | | | | Total Commercial Services | | | 5,995,021 | |
| | | | | | | | | | |
|
| Computers — 1.3% | |
| | 1,626,000 | | | BBB | | Dell International LLC/EMC Corp., Senior Unsecured Notes, 5.450% due 6/15/23 | | | 1,643,291 | |
| | 5,000,000 | | | BBB- | | Leidos Inc., Company Guaranteed Notes, 2.950% due 5/15/23 | | | 4,955,898 | |
| | | | | | | | | | |
| | | | | | Total Computers | | | 6,599,189 | |
| | | | | | | | | | |
|
| Diversified Financial Services — 5.9% | |
| | 5,300,000 | | | BBB | | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Company Guaranteed Notes, 4.500% due 9/15/23 | | | 5,275,717 | |
| | | | | | Aircastle Ltd., Senior Unsecured Notes: | | | | |
| | 1,300,000 | | | BBB- | | 5.000% due 4/1/23 | | | 1,299,752 | |
| | 800,000 | | | BBB- | | 4.400% due 9/25/23 | | | 795,166 | |
| | 1,200,000 | | | BBB- | | Ally Financial Inc., Senior Unsecured Notes, 3.050% due 6/5/23 | | | 1,191,473 | |
| | 2,000,000 | | | BBB- | | Aviation Capital Group LLC, Senior Unsecured Notes, 3.875% due 5/1/23(a) | | | 1,975,005 | |
See Notes to Financial Statements.
289
| | | | | | | | | | |
| Ultra-Short Term Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Diversified Financial Services — 5.9% — (continued) | |
| | | | | | Avolon Holdings Funding Ltd., Company Guaranteed Notes: | | | | |
| $ | 500,000 | | | BBB- | | 5.500% due 1/15/23(a) | | $ | 500,087 | |
| | 900,000 | | | BBB- | | 5.125% due 10/1/23(a) | | | 890,506 | |
| | 1,495,000 | | | BBB- | | BGC Partners Inc., Senior Unsecured Notes, 5.375% due 7/24/23 | | | 1,503,400 | |
| | 400,000 | | | A- | | BOC Aviation Ltd., Senior Unsecured Notes, 3.322%
(3-Month USD-LIBOR + 1.125%) due 9/26/23(a)(b) | | | 399,702 | |
| | 2,500,000 | | | BBB- | | Cantor Fitzgerald LP, Senior Unsecured Notes, 4.875% due 5/1/24(a) | | | 2,487,184 | |
| | 800,000 | | | BBB- | | LeasePlan Corp. NV, Senior Unsecured Notes, 2.875% due 10/24/24(a) | | | 762,604 | |
| | | | | | Mitsubishi HC Capital Inc., Senior Unsecured Notes: | | | | |
| | 500,000 | | | A- | | 2.652% due 9/19/22(a) | | | 499,740 | |
| | 4,118,000 | | | A- | | 3.960% due 9/19/23(a) | | | 4,100,092 | |
| | 1,200,000 | | | B+ | | Navient Corp., Senior Unsecured Notes, 5.500% due 1/25/23 | | | 1,195,408 | |
| | | | | | Nomura Holdings Inc., Senior Unsecured Notes: | | | | |
| | 4,500,000 | | | BBB+ | | 2.648% due 1/16/25 | | | 4,289,303 | |
| | 1,100,000 | | | BBB+ | | 1.851% due 7/16/25 | | | 1,013,304 | |
| | 1,000,000 | | | BBB- | | Park Aerospace Holdings Ltd., Company Guaranteed Notes, 4.500% due 3/15/23(a) | | | 994,512 | |
| | 400,000 | | | BBB- | | Synchrony Financial, Senior Unsecured Notes, 4.375% due 3/19/24 | | | 398,693 | |
| | | | | | | | | | |
| | | | | | Total Diversified Financial Services | | | 29,571,648 | |
| | | | | | | | | | |
|
| Electric — 2.6% | |
| | | | | | Ausgrid Finance Pty Ltd., Senior Secured Notes: | | | | |
| | 1,704,000 | | | BBB | | 3.850% due 5/1/23(a) | | | 1,697,843 | |
| | 1,200,000 | AUD | | Baa1(c) | | 3.341% (3-Month Australian Bank Bill + 1.220%) due 10/30/24(b) | | | 820,803 | |
| | 1,000,000 | AUD | | Baa1(c) | | 3.750% due 10/30/24 | | | 671,210 | |
| | | | | | Enel Finance International NV: | | | | |
| | 1,000,000 | | | BBB+ | | Company Guaranteed Notes, 2.650% due 9/10/24 | | | 960,243 | |
| | 300,000 | | | BBB+ | | Senior Unsecured Notes, 4.250% due 6/15/25(a) | | | 294,387 | |
| | 200,000 | | | BBB+ | | Iberdrola International BV, Company Guaranteed Notes, 5.810% due 3/15/25 | | | 208,047 | |
| | | | | | Israel Electric Corp., Ltd., Senior Secured Notes: | | | | |
| | 400,000 | | | BBB+ | | 6.875% due 6/21/23 | | | 408,898 | |
| | 600,000 | | | BBB+ | | 5.000% due 11/12/24(a) | | | 605,591 | |
| | 2,900,000 | AUD | | Aa2(c) | | Korea Southern Power Co., Ltd., Senior Unsecured Notes, 3.091%
(3-Month Australian Bank Bill + 0.970%) due 10/30/24(b) | | | 1,981,550 | |
| | | | | | Pacific Gas & Electric Co., 1st Mortgage Notes: | | | | |
| | 1,400,000 | | | BBB- | | 4.250% due 8/1/23 | | | 1,394,258 | |
| | 500,000 | | | BBB- | | 3.850% due 11/15/23 | | | 495,326 | |
| | 300,000 | | | BBB- | | 3.750% due 2/15/24 | | | 296,204 | |
| | 100,000 | | | BBB- | | 3.400% due 8/15/24 | | | 96,554 | |
| | 5,000,000 | AUD | | A- | | Victoria Power Networks Finance Pty Ltd., 2.884%
(3-Month Australian Bank Bill + 0.500%) due 8/23/24(b) | | | 3,388,379 | |
| | | | | | | | | | |
| | | | | | Total Electric | | | 13,319,293 | |
| | | | | | | | | | |
|
| Electronics — 0.3% | |
| | 1,500,000 | | | BBB- | | TD SYNNEX Corp., Senior Unsecured Notes, 1.250% due 8/9/24 | | | 1,394,309 | |
| | | | | | | | | | |
|
| Entertainment — 0.2% | |
| | | | | | Magallanes Inc., Company Guaranteed Notes: | | | | |
| | 500,000 | | | BBB- | | 3.428% due 3/15/24(a) | | | 489,207 | |
| | 700,000 | | | BBB- | | 3.662% (SOFR + 1.780%) due 3/15/24(a)(b) | | | 699,910 | |
| | | | | | | | | | |
| | | | | | Total Entertainment | | | 1,189,117 | |
| | | | | | | | | | |
|
| Food — 0.2% | |
| | 1,000,000 | | | BBB- | | Barry Callebaut Services NV, Company Guaranteed Notes, 5.500% due 6/15/23 | | | 1,004,580 | |
| | | | | | | | | | |
See Notes to Financial Statements.
290
| | | | | | | | | | |
| Ultra-Short Term Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Healthcare — Products — 0.2% | |
| $ | 1,000,000 | | | BBB | | Baxter International Inc., Senior Unsecured Notes, 2.556%
(SOFR + 0.260%) due 12/1/23(b) | | $ | 992,951 | |
| | | | | | | | | | |
|
| Healthcare — Services — 0.4% | |
| | 2,100,000 | | | BBB- | | HCA Inc., Company Guaranteed Notes, 5.000% due 3/15/24 | | | 2,115,694 | |
| | | | | | | | | | |
|
| Holding Companies — Diversified — 0.2% | |
| | 843,000 | | | A | | Hutchison Whampoa International 12 II Ltd., Company Guaranteed Notes, 3.250% due 11/8/22 | | | 842,682 | |
| | | | | | | | | | |
| |
| Housewares — 0.0% | | | |
| | 200,000 | | | BBB- | | Newell Brands Inc., Senior Unsecured Notes, 4.100% due 4/1/23 | | | 199,510 | |
| | | | | | | | | | |
|
| Insurance — 0.6% | |
| | 200,000 | | | A+ | | Athene Global Funding, Secured Notes, 3.121%
(3-Month USD-LIBOR + 0.730%) due 1/8/24(a)(b) | | | 197,613 | |
| | 200,000 | | | A- | | CNO Global Funding, Secured Notes, 1.650% due 1/6/25(a) | | | 186,652 | |
| | | | | | GA Global Funding Trust: | | | | |
| | 400,000 | | | A- | | Secured Notes, 1.625% due 1/15/26(a) | | | 358,664 | |
| | 2,400,000 | | | A- | | Senior Secured Notes, 1.250% due 12/8/23(a) | | | 2,301,900 | |
| | | | | | | | | | |
| | | | | | Total Insurance | | | 3,044,829 | |
| | | | | | | | | | |
|
| Investment Companies — 0.1% | |
| | 400,000 | | | Baa3(c) | | FS KKR Capital Corp., Senior Unsecured Notes, 1.650% due 10/12/24 | | | 368,987 | |
| | | | | | | | | | |
|
| Lodging — 0.2% | |
| | | | | | Hyatt Hotels Corp., Senior Unsecured Notes: | | | | |
| | 200,000 | | | BB+ | | 3.375% due 7/15/23 | | | 198,456 | |
| | 900,000 | | | BB+ | | 3.102% (SOFR + 1.050%) due 10/1/23(b) | | | 892,376 | |
| | | | | | | | | | |
| | | | | | Total Lodging | | | 1,090,832 | |
| | | | | | | | | | |
|
| Machinery — Diversified — 0.5% | |
| | 1,113,000 | | | BBB | | CNH Industrial Capital LLC, Company Guaranteed Notes, 1.950% due 7/2/23 | | | 1,090,058 | |
| | 1,300,000 | | | BBB | | CNH Industrial NV, Senior Unsecured Notes, 4.500% due 8/15/23 | | | 1,303,476 | |
| | | | | | | | | | |
| | | | | | Total Machinery – Diversified | | | 2,393,534 | |
| | | | | | | | | | |
|
| Media — 1.2% | |
| | 6,189,000 | | | BBB- | | Charter Communications Operating LLC/Charter Communications Operating Capital, Senior Secured Notes, 4.432% (3-Month USD-LIBOR + 1.650%) due 2/1/24(b) | | | 6,226,627 | |
| | | | | | | | | | |
|
| Oil & Gas — 0.2% | |
| | 1,000,000 | | | A1(c) | | Saudi Arabian Oil Co., Senior Unsecured Notes, 2.875% due 4/16/24 | | | 981,660 | |
| | | | | | | | | | |
|
| Packaging & Containers — 0.6% | |
| | | | | | Berry Global Inc., Senior Secured Notes: | | | | |
| | 2,200,000 | | | BBB- | | 0.950% due 2/15/24 | | | 2,084,937 | |
| | 1,114,000 | | | BBB- | | 4.875% due 7/15/26(a) | | | 1,086,098 | |
| | | | | | | | | | |
| | | | | | Total Packaging & Containers | | | 3,171,035 | |
| | | | | | | | | | |
|
| Pipelines — 0.9% | |
| | 4,500,000 | | | BBB | | Sabine Pass Liquefaction LLC, Senior Secured Notes, 5.625% due 4/15/23 | | | 4,526,355 | |
| | | | | | | | | | |
|
| Real Estate — 0.0% | |
| | 200,000 | AUD | | BBB+ | | Aroundtown SA, Senior Unsecured Notes, 4.500% due 5/14/25 | | | 132,795 | |
| | | | | | | | | | |
|
| Retail — 0.5% | |
| | 2,500,000 | | | A | | 7-Eleven Inc., Senior Unsecured Notes, 0.800% due 2/10/24(a) | | | 2,379,615 | |
| | | | | | | | | | |
See Notes to Financial Statements.
291
| | | | | | | | | | |
| Ultra-Short Term Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Savings & Loans — 0.3% | |
| | | | | | Nationwide Building Society, Senior Unsecured Notes: | | | | |
| $ | 500,000 | | | BBB+ | | 3.766% (3-Month USD-LIBOR + 1.064%) due 3/8/24(a)(b) | | $ | 498,237 | |
| | 1,000,000 | | | BBB+ | | 4.363% (3-Month USD-LIBOR + 1.392%) due 8/1/24(a)(b) | | | 993,066 | |
| | | | | | | | | | |
| | | | | | Total Savings & Loans | | | 1,491,303 | |
| | | | | | | | | | |
|
| Semiconductors — 0.5% | |
| | 1,000,000 | | | Baa2(c) | | Microchip Technology Inc., Senior Secured Notes, 4.333% due 6/1/23 | | | 1,001,831 | |
| | | | | | SK Hynix Inc., Senior Unsecured Notes: | | | | |
| | 700,000 | | | BBB- | | 1.000% due 1/19/24 | | | 664,054 | |
| | 1,100,000 | | | BBB- | | 1.000% due 1/19/24(a) | | | 1,043,513 | |
| | | | | | | | | | |
| | | | | | Total Semiconductors | | | 2,709,398 | |
| | | | | | | | | | |
| | | |
| Software — 0.1% | | | | | | | | |
| | 500,000 | | | BBB- | | VMware Inc., Senior Unsecured Notes, 1.000% due 8/15/24 | | | 468,886 | |
| | | | | | | | | | |
|
| Telecommunications — 2.2% | |
| | 3,900,000 | AUD | | BBB | | AT&T Inc., Senior Unsecured Notes, 3.106%
(3-Month Australian Bank Bill + 1.250%) due 9/19/23(b) | | | 2,678,694 | |
| | 1,000,000 | CAD | | BBB | | AT&T Inc., (Restricted, cost – $794,831, acquired 10/5/20), Senior Unsecured Notes, 2.850% due 5/25/24(d) | | | 739,130 | |
| | 400,000 | | | Baa2(c) | | SES SA, Company Guaranteed Notes, 3.600% due 4/4/23(a) | | | 395,490 | |
| | 700,000 | | | BBB- | | T-Mobile USA Inc., Senior Unsecured Notes, 3.500% due 4/15/25 | | | 684,199 | |
| | 7,600,000 | AUD | | BBB+ | | Verizon Communications Inc., Senior Unsecured Notes, 3.509%
(3-Month Australian Bank Bill + 1.220%) due 2/17/23(b) | | | 5,208,435 | |
| | 2,280,000 | AUD | | BBB | | Vodafone Group PLC, Senior Unsecured Notes, 2.672%
(3-Month Australian Bank Bill + 1.050%) due 12/13/22(b) | | | 1,561,024 | |
| | | | | | | | | | |
| | | | | | Total Telecommunications | | | 11,266,972 | |
| | | | | | | | | | |
|
| Transportation — 0.0% | |
| | 200,000 | | | BBB- | | Pacific National Finance Pty Ltd., Company Guaranteed Notes, 6.000% due 4/7/23 | | | 201,382 | |
| | | | | | | | | | |
|
| Trucking & Leasing — 0.2% | |
| | | | | | SMBC Aviation Capital Finance DAC, Company Guaranteed Notes: | | | | |
| | 500,000 | | | A- | | 4.125% due 7/15/23(a) | | | 496,279 | |
| | 700,000 | | | A- | | 3.550% due 4/15/24(a) | | | 680,900 | |
| | | | | | | | | | |
| | | | | | Total Trucking & Leasing | | | 1,177,179 | |
| | | | | | | | | | |
| | | | | | TOTAL CORPORATE BONDS & NOTES
(Cost — $263,032,126) | | | 254,534,193 | |
| | | | | | | | | | |
|
| COLLATERALIZED MORTGAGE OBLIGATIONS — 27.3% | |
| | 97,546 | | | Aaa(c) | | A10 Bridge Asset Financing LLC, Series 2020-C, Class A, 2.021% due 8/15/40(a) | | | 96,360 | |
| | 425,827 | | | B- | | ACE Securities Corp. Home Equity Loan Trust, Series 2004-OP1, Class M1, 3.224%
(1-Month USD-LIBOR + 0.780%) due 4/25/34(b) | | | 402,887 | |
| | 105,137 | | | Aaa(c) | | AMMC CLO 16 Ltd., Series 2015-16A, Class AR2, 3.463%
(3-Month USD-LIBOR + 0.980%) due 4/14/29(a)(b) | | | 104,240 | |
| | 2,000,000 | | | Aaa(c) | | Anchorage Capital CLO 6 Ltd., Series 2015-6A, Class ARR, 3.562%
(3-Month USD-LIBOR + 1.050%) due 7/15/30(a)(b) | | | 1,974,944 | |
| | 300,000 | | | Aaa(c) | | ARES L CLO Ltd., Series 2018-50A, Class AR, 3.562%
(3-Month USD-LIBOR + 1.050%) due 1/15/32(a)(b) | | | 294,563 | |
| | 128,795 | | | AAA | | Atlas Senior Loan Fund IX Ltd., Series 2018-9A, Class A, 3.580%
(3-Month USD-LIBOR + 0.870%) due 4/20/28(a)(b) | | | 128,478 | |
| | 700,000 | | | AAA | | Atrium Hotel Portfolio Trust, Series 2018-ATRM, Class A, 3.341%
(1-Month USD-LIBOR + 0.950%) due 6/15/35(a)(b) | | | 683,416 | |
| | 1,345,411 | GBP | | AAA | | Avon Finance No 2 PLC, Series 2A, Class A, 2.302%
(3-Month Sterling Overnight Index Average + 0.900%) due 9/20/48(a)(b) | | | 1,555,006 | |
See Notes to Financial Statements.
292
| | | | | | | | | | |
| Ultra-Short Term Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| COLLATERALIZED MORTGAGE OBLIGATIONS — 27.3% — (continued) | |
| | 1,200,000 | EUR | | Aaa(c) | | Bain Capital Euro CLO DAC, Series 2018-2A, Class AR, 0.740%
(3-Month EURIBOR + 0.740%) due 1/20/32(a)(b) | | $ | 1,180,163 | |
| | | | | | BAMLL Commercial Mortgage Securities Trust: | | | | |
| $ | 500,000 | | | AAA | | Series 2019-AHT, Class A, 3.591% (1-Month USD-LIBOR + 1.200%) due 3/15/34(a)(b) | | | 490,302 | |
| | 400,000 | | | Aaa(c) | | Series 2019-RLJ, Class A, 3.441% (1-Month USD-LIBOR + 1.050%) due 4/15/36(a)(b) | | | 394,097 | |
| | 407,488 | | | BBB- | | Bear Stearns Asset Backed Securities I Trust, Series 2005-CL1, Class A2, 1.817%
(1-Month USD-LIBOR + 0.500%) due 9/25/34(b) | | | 393,060 | |
| | 1,000,000 | | | Aaa(c) | | Benefit Street Partners Clo XII Ltd., Series 2017-12A, Class A1R, 3.462%
(3-Month USD-LIBOR + 0.950%) due 10/15/30(a)(b) | | | 984,475 | |
| | 1,200,000 | | | Aaa(c) | | Birch Grove CLO Ltd., Series 19A, Class AR, 2.959%
(3-Month USD-LIBOR + 1.130%) due 6/15/31(a)(b) | | | 1,177,673 | |
| | 968,949 | EUR | | AAA | | Black Diamond CLO Ltd., Series 2017-2A, Class A1, 0.860%
(3-Month EURIBOR + 0.860%) due 1/20/32(a)(b) | | | 965,839 | |
| | 93,255 | | | Aaa(c) | | Brass NO 8 PLC, Series 8A, Class A1, 3.622%
(3-Month USD-LIBOR + 0.700%) due 11/16/66(a)(b) | | | 93,249 | |
| | 1,963,516 | EUR | | AAA | | Bruegel 2021 DAC, Series 2021-1A, Class A, 0.800%
(3-Month EURIBOR + 0.800%) due 5/22/31(a)(b) | | | 1,901,940 | |
| | 2,000,000 | | | NR | | BWAY Mortgage Trust, Series 2021-1450, Class A, 3.641%
(1-Month USD-LIBOR + 1.250%) due 9/15/36(a)(b) | | | 1,929,656 | |
| | 1,500,000 | | | Aaa(c) | | BXMT Ltd., Series 2020-FL3, Class A, 3.497% (SOFR + 1.514%) due 11/15/37(a)(b) | | | 1,481,522 | |
| | 624,164 | GBP | | Aaa(c) | | Canterbury Finance No 1 PLC, Series 1, Class A2, 2.470%
(3-Month Sterling Overnight Index Average + 1.350%) due 5/16/56(b) | | | 724,895 | |
| | 3,200,000 | | | Aaa(c) | | CIFC Funding Ltd., Series 2017-4A, Class A1R, 3.733%
(3-Month USD-LIBOR + 0.950%) due 10/24/30(a)(b) | | | 3,154,262 | |
| | 2,700,000 | | | AAA | | Citigroup Commercial Mortgage Trust, Series 2021-KEYS, Class A, 3.571%
(1-Month USD-LIBOR + 1.180%) due 10/15/36(a)(b) | | | 2,598,080 | |
| | 1,659,426 | | | Aaa(c) | | Citigroup Mortgage Loan Trust, Series 2021-INV3, Class A11, 3.033%
(SOFR + 0.850%) due 5/25/51(a)(b) | | | 1,575,482 | |
| | | | | | COMM Mortgage Trust: | | | | |
| | 31,518 | | | Aaa(c) | | Series 2013-CR6, Class A3FL, 3.030% (1-Month USD-LIBOR + 0.630%) due 3/10/46(a)(b) | | | 31,518 | |
| | 2,100,000 | | | NR | | Series 2021-2400, Class A, 3.692% (1-Month USD-LIBOR + 1.300%) due 12/15/38(a)(b) | | | 2,020,169 | |
| | 825,743 | | | NR | | Credit Suisse Commercial Mortgage Capital Trust, Series 2021-RPL4, Class A1, 1.796% due 12/27/60(a)(b) | | | 778,566 | |
| | 263,001 | | | AAA | | CSMC Trust, Series 2021-INV1, Class A11, 2.314%
(SOFR + 0.800%) due 7/25/56(a)(b) | | | 248,012 | |
| | 137,857 | | | B- | | CWABS Inc. Asset-Backed Certificates Trust, Series 2004-5, Class M1, 3.299%
(1-Month USD-LIBOR + 0.855%) due 8/25/34(b) | | | 135,804 | |
| | 1,300,000 | EUR | | AAA | | Dryden 27 Euro CLO DAC, Series 2017-27A, Class AR, 0.660%
(3-Month EURIBOR + 0.660%) due 4/15/33(a)(b) | | | 1,263,496 | |
| | 557,686 | | | AAA | | Dryden 36 Senior Loan Fund, Series 2014-36A, Class AR3, 3.532%
(3-Month USD-LIBOR + 1.020%) due 4/15/29(a)(b) | | | 552,799 | |
| | 1,500,000 | EUR | | AAA | | Dryden 52 Euro CLO DAC, Series 2017-52A, Class AR, 0.860%
(3-Month EURIBOR + 0.860%) due 5/15/34(a)(b) | | | 1,458,087 | |
| | 3,000,000 | | | Aaa(c) | | Elevation CLO Ltd., Series 2017-8A, Class A1R2, 3.733%
(3-Month USD-LIBOR + 0.950%) due 10/25/30(a)(b) | | | 2,950,623 | |
| | 2,087,155 | | | Aaa(c) | | Extended Stay America Trust, Series 2021-ESH, Class A, 3.472%
(1-Month USD-LIBOR + 1.080%) due 7/15/38(a)(b) | | | 2,047,874 | |
| | | | | | Federal Home Loan Mortgage Corp. (FHLMC), REMICS: | | | | |
| | 558,248 | | | NR | | Series 4344, Class FA, 2.163% (1-Month USD-LIBOR + 0.450%) due 12/15/37(b) | | | 552,959 | |
| | 875,729 | | | NR | | Series 4351, Class FA, 2.163% (1-Month USD-LIBOR + 0.450%) due 5/15/38(b) | | | 865,369 | |
| | 1,374,004 | | | NR | | Series 4906, Class WF, 2.113% (1-Month USD-LIBOR + 0.400%) due 12/15/38(b) | | | 1,366,998 | |
| | 991,685 | | | NR | | Federal National Mortgage Association (FNMA), REMICS, Series 2017-108, Class AF, 2.744% (1-Month USD-LIBOR + 0.300%) due 1/25/48(b) | | | 984,507 | |
| | 163,245 | | | BBB+ | | Finance America Mortgage Loan Trust, Series 2004-2, Class M1, 3.269%
(1-Month USD-LIBOR + 0.825%) due 8/25/34(b) | | | 157,152 | |
See Notes to Financial Statements.
293
| | | | | | | | | | |
| Ultra-Short Term Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| COLLATERALIZED MORTGAGE OBLIGATIONS — 27.3% — (continued) | |
| | | | | | Finsbury Square PLC: | | | | |
| | 1,205,500 | GBP | | AAA(e) | | Series 2020-1A, Class A, 1.565%
(3-Month Sterling Overnight Index Average + 0.800%) due 3/16/70(a)(b) | | $ | 1,397,613 | |
| | 2,788,501 | GBP | | (P)AAA | | Series 2021-1GRA, Class AGRN, 2.019%
(3-Month Sterling Overnight Index Average + 0.650%) due 12/16/67(a)(b) | | | 3,165,306 | |
| $ | 700,000 | | | AAA | | Ford Credit Floorplan Master Owner Trust A, Series 2019-3, Class A2, 2.991%
(1-Month USD-LIBOR + 0.600%) due 9/15/24(b) | | | 700,014 | |
| | 225,154 | | | BBB- | | Fremont Home Loan Trust, Series 2005-A, Class M3, 3.179%
(1-Month USD-LIBOR + 0.735%) due 1/25/35(b) | | | 219,976 | |
| | 600,000 | | | Aaa(c) | | Gallatin CLO VIII Ltd., Series 2017-1A, Class A1R, 3.602%
(3-Month USD-LIBOR + 1.090%) due 7/15/31(a)(b) | | | 590,126 | |
| | | | | | GCAT Trust: | | | | |
| | 856,523 | | | AAA | | Series 2021-NQM3, Class A1, 1.091% due 5/25/66(a)(b) | | | 758,605 | |
| | 1,023,708 | | | AAA(e) | | Series 2022-HX1, Class A1, 2.885% due 12/27/66(a)(b) | | | 955,055 | |
| | 2,700,000 | | | Aaa(c) | | Goldentree Loan Management US CLO 2 Ltd., Series 2017-2A, Class AR, 3.620%
(3-Month USD-LIBOR + 0.910%) due 11/20/30(a)(b) | | | 2,659,816 | |
| | | | | | Government National Mortgage Association (GNMA): | | | | |
| | 1,545,439 | | | NR | | Series 2016-H06, Class FD, 2.718% (1-Month USD-LIBOR + 0.920%) due 7/20/65(b) | | | 1,545,970 | |
| | 1,163,552 | | | NR | | Series 2017-H15, Class FE, 3.575% (1-Year USD-LIBOR + 0.800%) due 7/20/67(b) | | | 1,160,910 | |
| | 81,144 | | | NR | | Series 2020-17, Class EU, 2.500% due 10/20/49 | | | 76,110 | |
| | 62,836 | | | NR | | Series 2020-21, Class AC, 2.500% due 1/20/49 | | | 59,670 | |
| | 3,534,552 | | | NR | | Series 2021-97, Class FA, 2.458% (SOFR + 0.400%) due 6/20/51(b) | | | 3,245,473 | |
| | 3,643,268 | | | NR | | Series 2021-122, Class FA, 2.458% (SOFR + 0.400%) due 7/20/51(b) | | | 3,333,400 | |
| | 1,000,000 | | | Aaa(c) | | Greystone CRE Notes Ltd., Series 2019-FL2, Class A, 3.571%
(1-Month USD-LIBOR + 1.180%) due 9/15/37(a)(b) | | | 995,512 | |
| | 2,500,000 | | | (P)Aaa(c) | | GS Mortgage Securities Corp. II, Series 2022-GTWY, Class A, 5.688% (30-Day SOFR + 3.400%) due 9/15/27(a)(b) | | | 2,523,743 | |
| | 140,159 | | | Aaa(c) | | GS Mortgage Securities Trust, Series 2014-GC18, Class AAB, 3.648% due 1/10/47 | | | 139,224 | |
| | 1,594,389 | | | AAA(e) | | GS Mortgage-Backed Securities Corp. Trust, Series 2021-RPL1, Class A1, 1.750% due 12/25/60(a)(b) | | | 1,509,849 | |
| | | | | | GS Mortgage-Backed Securities Trust: | | | | |
| | 802,950 | | | Aaa(c) | | Series 2021-GR2, Class A9, 3.033% (SOFR + 0.850%) due 2/25/52(a)(b) | | | 756,940 | |
| | 270,822 | | | Aaa(c) | | Series 2021-INV1, Class A9, 3.033% (SOFR + 0.850%) due 12/25/51(a)(b) | | | 255,320 | |
| | 1,600,000 | EUR | | Aaa(c) | | Harvest CLO XVI DAC, Series 2016-A, Class ARR, 0.640%
(3-Month EURIBOR + 0.640%) due 10/15/31(a)(b) | | | 1,558,106 | |
| | 500,000 | EUR | | Aaa(c) | | Harvest CLO XXI DAC, Series 2021-A, Class A1R, 0.760%
(3-Month EURIBOR + 0.760%) due 7/15/31(a)(b) | | | 488,589 | |
| | 27,910 | | | AAA | | Homeward Opportunities Fund I Trust, Series 2020-2, Class A1, 1.657% due 5/25/65(a)(b) | | | 27,691 | |
| | 73,986 | | | CCC | | Impac CMB Trust, Series 2004-10, Class 1A1, 3.084%
(1-Month USD-LIBOR + 0.640%) due 3/25/35(b) | | | 69,565 | |
| | 265,114 | | | A- | | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-FL12, Class A, 3.841% (1-Month USD-LIBOR + 1.450%) due 12/15/31(a)(b) | | | 262,763 | |
| | | | | | JP Morgan Mortgage Trust: | | | | |
| | 214,875 | | | Aaa(c) | | Series 2019-INV3, Class A3, 3.500% due 5/25/50(a)(b) | | | 203,525 | |
| | 345,973 | | | Aaa(c) | | Series 2021-12, Class A11, 3.033% (SOFR + 0.850%) due 2/25/52(a)(b) | | | 326,118 | |
| | 1,440,095 | EUR | | AAA | | Jubilee CLO BV, Series 2015-16A, Class A1R, 0.519%
(0.800% – 3-Month EURIBOR) due 12/15/29(a)(f) | | | 1,430,390 | |
| | 800,000 | EUR | | AAA | | Kinbane DAC, Series 2022-RPL1A, Class A, zero coupon
(1-Month EURIBOR + 0.850%) due 9/25/62(a)(b) | | | 780,849 | |
| | 2,700,000 | | | Aaa(c) | | KKR CLO 18 Ltd., Series 18, Class AR, 3.680%
(3-Month USD-LIBOR + 0.940%) due 7/18/30(a)(b) | | | 2,660,585 | |
| | 1,700,000 | EUR | | Aaa(c) | | Laurelin DAC, Series 2016-1A, Class ARR, 0.720%
(3-Month EURIBOR + 0.720%) due 10/20/31(a)(b) | | | 1,666,171 | |
| | 162,190 | | | AAA | | LCM XIII LP, Series 13A, Class AR3, 3.608%
(3-Month USD-LIBOR + 0.870%) due 7/19/27(a)(b) | | | 160,141 | |
See Notes to Financial Statements.
294
| | | | | | | | | | |
| Ultra-Short Term Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| COLLATERALIZED MORTGAGE OBLIGATIONS — 27.3% — (continued) | |
| | | | | | Legacy Mortgage Asset Trust: | | | | |
| $ | 345,503 | | | NR | | Series 2021-GS5, Class A1, step bond to yield, 2.250% due 7/25/67(a) | | $ | 322,336 | |
| | 364,272 | | | NR | | Series 2021-SL2, Class A, step bond to yield, 1.875% due 10/25/68(a) | | | 328,925 | |
| | 97,348 | | | NR | | LL ABS Trust, Series 2021-1A, Class A, 1.070% due 5/15/29(a) | | | 93,674 | |
| | | | | | LUXE Trust: | | | | |
| | 2,700,000 | | | Aaa(c) | | Series 2021-MLBH, Class A, 3.372% (1-Month USD-LIBOR + 0.980%) due 11/15/38(a)(b) | | | 2,613,218 | |
| | 2,700,000 | | | Aaa(c) | | Series 2021-TRIP, Class A, 3.441% (1-Month USD-LIBOR + 1.050%) due 10/15/38(a)(b) | | | 2,616,959 | |
| | 2,700,000 | | | Aaa(c) | | M360 Ltd., Series 2021-CRE3, Class A, 3.868%
(1-Month USD-LIBOR + 1.500%) due 11/22/38(a)(b) | | | 2,635,357 | |
| | 3,600,000 | EUR | | Aaa(c) | | Man GLG Euro CLO V DAC, Series 5A, Class A1R, 0.690%
(3-Month EURIBOR + 0.690%) due 12/15/31(a)(b) | | | 3,546,748 | |
| | 46,833 | | | AAA | | Marathon CLO V Ltd., Series 2013-5A, Class A1R, 3.854%
(3-Month USD-LIBOR + 0.870%) due 11/21/27(a)(b) | | | 46,833 | |
| | 168,090 | | | A | | Mastr Asset Backed Securities Trust, Series 2004-OPT2, Class A1, 3.144%
(1-Month USD-LIBOR + 0.700%) due 9/25/34(b) | | | 161,687 | |
| | 853,859 | | | Aaa(c) | | MF1 Ltd., Series 2020-FL4, Class A, 4.111%
(30-Day SOFR + 1.814%) due 11/15/35(a)(b) | | | 850,920 | |
| | 891,086 | | | Aaa(c) | | MF1 Multifamily Housing Mortgage Loan Trust, Series 2021-FL5, Class A, 3.261%
(30-Day SOFR + 0.964%) due 7/15/36(a)(b) | | | 886,077 | |
| | | | | | MFA Trust: | | | | |
| | 275,141 | | | AAA | | Series 2020-NQM1, Class A1, 1.479% due 3/25/65(a)(b) | | | 266,916 | |
| | 341,866 | | | AAA | | Series 2020-NQM2, Class A1, 1.381% due 4/25/65(a)(b) | | | 328,070 | |
| | 1,770,208 | | | AAA | | MidOcean Credit CLO II, Series 2013-2A, Class ARR, 3.836%
(3-Month USD-LIBOR + 1.030%) due 1/29/30(a)(b) | | | 1,748,270 | |
| | | | | | Mill City Mortgage Loan Trust: | | | | |
| | 702,139 | | | Aaa(c) | | Series 2019-GS2, Class A1, 2.750% due 8/25/59(a)(b) | | | 681,977 | |
| | 551,712 | | | AAA(e) | | Series 2021-NMR1, Class A1, 1.125% due 11/25/60(a)(b) | | | 521,098 | |
| | 438,543 | | | B- | | Morgan Stanley ABS Capital I Inc. Trust, Series 2004-HE4, Class M1, 3.344%
(1-Month USD-LIBOR + 0.900%) due 5/25/34(b)(g) | | | 420,952 | |
| | 750,739 | | | Aaa(c) | | Mountain View CLO LLC, Series 2017-1A, Class AR, 3.830%
(3-Month USD-LIBOR + 1.090%) due 10/16/29(a)(b) | | | 742,631 | |
| | 456,182 | | | AAA | | Mountain View CLO X Ltd., Series 2015-10A, Class AR, 3.275%
(3-Month USD-LIBOR + 0.820%) due 10/13/27(a)(b) | | | 454,912 | |
| | 2,700,000 | | | Aaa(c) | | Natixis Commercial Mortgage Securities Trust, Series 2021-APPL, Class A, 3.341%
(1-Month USD-LIBOR + 0.950%) due 8/15/38(a)(b) | | | 2,603,921 | |
| | | | | | New Residential Mortgage Loan Trust: | | | | |
| | 206,834 | | | NR | | Series 2018-3A, Class A1, 4.500% due 5/25/58(a)(b) | | | 204,429 | |
| | 62,776 | | | AAA(e) | | Series 2018-RPL1, Class A1, 3.500% due 12/25/57(a)(b) | | | 61,480 | |
| | 1,678,936 | | | Aaa(c) | | Series 2019-RPL3, Class A1, 2.750% due 7/25/59(a)(b) | | | 1,607,155 | |
| | 1,536,000 | | | Aaa(c) | | Series 2020-RPL1, Class A1, 2.750% due 11/25/59(a)(b) | | | 1,459,642 | |
| | 169,128 | | | A+ | | NovaStar Mortgage Funding Trust, Series 2005-4, Class M1, 3.104%
(1-Month USD-LIBOR + 0.660%) due 1/25/36(b) | | | 167,258 | |
| | 476,878 | | | NR | | NYMT Loan Trust, Series 2021-SP1, Class A1, step bond to yield, 1.670% due 8/25/61(a) | | | 437,266 | |
| | 1,800,000 | | | AAA(e) | | NYO Commercial Mortgage Trust, Series 2021-1290, Class A, 3.487%
(1-Month USD-LIBOR + 1.095%) due 11/15/38(a)(b) | | | 1,724,108 | |
| | 1,800,000 | EUR | | AAA | | OCP Euro CLO DAC, Series 2020-4A, Class AR, 0.880%
(3-Month EURIBOR + 0.880%) due 9/22/34(a)(b) | | | 1,760,539 | |
| | 1,000,000 | | | Aaa(c) | | OZLM IX Ltd., Series 2014-9A, Class A1A3, 3.810%
(3-Month USD-LIBOR + 1.100%) due 10/20/31(a)(b) | | | 979,282 | |
| | 439,784 | EUR | | Aaa(c) | | Palmer Square European Loan Funding DAC, Series 2021-1A, Class A, 0.780%
(3-Month EURIBOR + 0.780%) due 4/15/31(a)(b) | | | 431,030 | |
| | 2,350,228 | | | Aaa(c) | | Palmer Square Loan Funding Ltd., Series 2021-4A, Class A1, 3.312%
(3-Month USD-LIBOR + 0.800%) due 10/15/29(a)(b) | | | 2,319,694 | |
| | 1,000,000 | | | Aaa(c) | | Pawneee Equipment Receivables Series LLC, Series 2022-1, Class A2, 4.840% due 2/15/28(a) | | | 996,037 | |
| | 316,078 | | | AAA | | Pennsylvania Higher Education Assistance Agency, Series 2006-2, Class A-3, 2.913%
(3-Month USD-LIBOR + 0.130%) due 10/25/36(b) | | | 314,210 | |
See Notes to Financial Statements.
295
| | | | | | | | | | |
| Ultra-Short Term Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| COLLATERALIZED MORTGAGE OBLIGATIONS — 27.3% — (continued) | |
| | | | | | PFP Ltd.: | | | | |
| $ | 178,565 | | | Aaa(c) | | Series 2021-7, Class A, 3.241% (1-Month USD-LIBOR + 0.850%) due 4/14/38(a)(b) | | $ | 175,312 | |
| | 664,129 | | | Aaa(c) | | Series 2021-8, Class A, 3.387% (1-Month USD-LIBOR + 1.000%) due 8/9/37(a)(b) | | | 641,451 | |
| | 128,932 | | | NR | | Pretium Mortgage Credit Partners I LLC, Series 2021-NPL1, Class A1, step bond to yield, 2.240% due 9/27/60(a) | | | 123,449 | |
| | 1,480,064 | GBP | | AAA | | Residential Mortgage Securities 32 PLC, Series 32A, Class A, 2.652%
(3-Month Sterling Overnight Index Average + 1.250%) due 6/20/70(a)(b) | | | 1,716,420 | |
| | 1,649,988 | | | AAA | | Resimac Bastille Trust, Series 2021-2NCA, Class A1A, 3.012%
(1-Month USD-LIBOR + 0.650%) due 2/3/53(a)(b) | | | 1,633,519 | |
| | 289,239 | GBP | | AAA | | RMAC PLC, Series 2018-1, Class A, 2.160%
(3-Month Sterling Overnight Index Average + 0.819%) due 6/12/46(b) | | | 334,622 | |
| | 456,000 | GBP | | AAA | | Silverstone Master Issuer PLC, Series 2019-1A, Class 2A, 2.329%
(3-Month Sterling Overnight Index Average + 0.750%) due 1/21/70(a)(b) | | | 530,398 | |
| | 550,809 | | | Aaa(c) | | Sound Point CLO XII Ltd., Series 2016-2A, Class AR2, 3.760%
(3-Month USD-LIBOR + 1.050%) due 10/20/28(a)(b) | | | 545,669 | |
| | 1,171,946 | | | Aaa(c) | | Sound Point CLO XIV Ltd., Series 2016-3A, Class AR2, 3.773%
(3-Month USD-LIBOR + 0.990%) due 1/23/29(a)(b) | | | 1,161,688 | |
| | 494,758 | | | B | | Soundview Home Loan Trust, Series 2005-OPT1, Class M2, 3.119%
(1-Month USD-LIBOR + 0.675%) due 6/25/35(b) | | | 491,021 | |
| | 261,991 | | | NR | | Stonepeak ABS, Series 2021-1A, Class AA, 2.301% due 2/28/33(a) | | | 243,819 | |
| | 385,242 | GBP | | AAA | | Stratton Mortgage Funding, Series 2021-2A, Class A, 1.855%
(3-Month Sterling Overnight Index Average + 0.900%) due 7/20/60(a)(b) | | | 444,933 | |
| | 1,200,000 | | | AAA | | STWD Mortgage Trust, Series 2021-HTS, Class A, 3.441%
(1-Month USD-LIBOR + 1.050%) due 4/15/34(a)(b) | | | 1,171,523 | |
| | 600,000 | | | AAA | | TCW CLO Ltd., Series 2018-1A, Class A1R, 3.753%
(3-Month USD-LIBOR + 0.970%) due 4/25/31(a)(b) | | | 591,581 | |
| | 1,215,120 | | | AAA | | Tharaldson Hotel Portfolio Trust, Series 2018-THL, Class A, 3.423%
(1-Month USD-LIBOR + 1.050%) due 11/11/34(a)(b) | | | 1,185,225 | |
| | 121,967 | | | NR | | Theorem Funding Trust, Series 2021-1A, Class A, 1.210% due 12/15/27(a) | | | 119,114 | |
| | 2,100,000 | | | AAA | | THL Credit Wind River CLO Ltd., Series 2019-3A, Class AR, 3.592%
(3-Month USD-LIBOR + 1.080%) due 4/15/31(a)(b) | | | 2,054,054 | |
| | 854,388 | GBP | | AAA | | Towd Point Mortgage Funding, Series 2019-A13A, Class A1, 2.474%
(3-Month Sterling Overnight Index Average + 0.900%) due 7/20/45(a)(b) | | | 991,579 | |
| | 2,461,620 | GBP | | AAA | | Towd Point Mortgage Funding Auburn 14 PLC, Series 2020-A14X, Class A, 2.060%
(3-Month Sterling Overnight Index Average + 0.900%) due 5/20/45(b) | | | 2,849,564 | |
| | 364,399 | GBP | | AAA | | Towd Point Mortgage Funding Granite 4 PLC, Series 2019-GR4X, Class A1, 2.718%
(3-Month Sterling Overnight Index Average + 1.144%) due 10/20/51(b) | | | 421,773 | |
| | | | | | Towd Point Mortgage Trust: | | | | |
| | 235,103 | | | Aaa(c) | | Series 2017-5, Class A1, 3.044% (1-Month USD-LIBOR + 0.600%) due 2/25/57(a)(b) | | | 233,213 | |
| | 424,807 | | | AAA(e) | | Series 2018-3, Class A1, 3.750% due 5/25/58(a)(b) | | | 413,300 | |
| | 256,777 | | | Aaa(c) | | Series 2019-HY2, Class A1, 3.444% (1-Month USD-LIBOR + 1.000%) due 5/25/58(a)(b) | | | 253,321 | |
| | 299,641 | | | Aaa(c) | | Series 2019-HY3, Class A1A, 3.444% (1-Month USD-LIBOR + 1.000%) due 10/25/59(a)(b) | | | 296,841 | |
| | 724,555 | | | AAA(e) | | Series 2020-1, Class A1, 2.710% due 1/25/60(a)(b) | | | 696,875 | |
| | 2,149,263 | | | AAA(e) | | Series 2020-2, Class A1A, 1.636% due 4/25/60(a)(b) | | | 1,959,637 | |
| | 1,570,895 | | | AAA(e) | | Series 2021-SJ2, Class A1A, 2.250% due 12/25/61(a)(b) | | | 1,486,496 | |
| | 1,300,436 | GBP | | AAA | | Trinity Square PLC, Series 2021-1A, Class A, 2.400%
(3-Month Sterling Overnight Index Average + 0.850%) due 7/15/59(a)(b) | | | 1,497,408 | |
| | 1,000,000 | | | Aaa(c) | | Venture 36 CLO Ltd., Series 2019-36A, Class A1AR, 3.840%
(3-Month USD-LIBOR + 1.130%) due 4/20/32(a)(b) | | | 976,590 | |
| | 558,930 | | | Aaa(c) | | Venture XVII CLO Ltd., Series 2014-17A, Class ARR, 3.392%
(3-Month USD-LIBOR + 0.880%) due 4/15/27(a)(b) | | | 555,706 | |
| | 588,365 | | | Aaa(c) | | Venture XXVI CLO Ltd., Series 2017-26A, Class AR, 3.810%
(3-Month USD-LIBOR + 1.100%) due 1/20/29(a)(b) | | | 580,265 | |
See Notes to Financial Statements.
296
| | | | | | | | | | |
| Ultra-Short Term Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| COLLATERALIZED MORTGAGE OBLIGATIONS — 27.3% — (continued) | |
| $ | 113,820 | | | Aaa(c) | | VMC Finance LLC, Series 2019-FL3, Class A, 3.480%
(1-Month USD-LIBOR + 1.100%) due 9/15/36(a)(b) | | $ | 112,611 | |
| | 387,155 | | | AA | | WaMu Mortgage Pass-Through Certificates Trust, Series 2005-AR13, Class A1A1, 3.024% (1-Month USD-LIBOR + 0.580%) due 10/25/45(b) | | | 369,622 | |
| | 456,299 | | | Aaa(c) | | Wellfleet CLO Ltd., Series 2015-1A, Class AR4, 3.600%
(3-Month USD-LIBOR + 0.890%) due 7/20/29(a)(b) | | | 450,459 | |
| | | | | | Wells Fargo Commercial Mortgage Trust: | | | | |
| | 400,000 | | | Aaa(c) | | Series 2013-LC12, Class A4, 4.218% due 7/15/46(b) | | | 397,867 | |
| | 500,000 | | | AAA | | Series 2017-HSDB, Class A, 3.241% (1-Month USD-LIBOR + 0.850%) due 12/13/31(a)(b) | | | 493,637 | |
| | | | | | | | | | |
| | | | | | TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost — $147,508,238) | | | 137,915,820 | |
| | | | | | | | | | |
|
| ASSET-BACKED SECURITIES — 6.5% | |
|
| Automobiles — 3.2% | |
| | 2,367,596 | CAD | | AAA(e) | | BMW Canada Auto Trust, Series 2022-1A, Class A1, 3.649% due 12/20/24(a) | | | 1,792,374 | |
| | 3,000,000 | | | AAA | | Capital One Prime Auto Receivables Trust, Series 2022-2, Class A2A, 3.740% due 9/15/25 | | | 2,989,492 | |
| | 1,000,000 | | | (P)AAA | | Carvana Auto Receivables Trust, Series 2022-P3, Class A2, 4.420% due 12/10/25 | | | 999,900 | |
| | | | | | Ford Auto Securitization Trust: | | | | |
| | 767,435 | CAD | | Aaa(c) | | Series 2020-AA, Class A2, 0.887% due 8/15/24(a) | | | 577,343 | |
| | 3,500,000 | CAD | | AAA(e) | | Series 2021-AA, Class A2, 1.162% due 10/15/25(a) | | | 2,588,070 | |
| | 2,500,000 | | | AAA | | GM Financial Automobile Leasing Trust, Series 2022-3, Class A2B, 2.693%
(SOFR + 0.710%) due 10/21/24(b) | | | 2,500,736 | |
| | 300,000 | | | Aaa(c) | | Hertz Vehicle Financing III LLC, Series 2022-3A, Class A, 3.370% due 3/25/25(a) | | | 294,131 | |
| | 2,500,000 | | | AAA | | Toyota Auto Receivables Owner Trust, Series 2022-C, Class A2B, 2.480%
(SOFR + 0.570%) due 8/15/25(b) | | | 2,499,995 | |
| | 2,000,000 | | | AAA | | World Omni Auto Receivables Trust, Series 2022-C, Class A2, 3.730% due 3/16/26 | | | 1,992,894 | |
| | | | | | | | | | |
| | | | | | Total Automobiles | | | 16,234,935 | |
| | | | | | | | | | |
|
| Credit Cards — 0.6% | |
| | 3,000,000 | | | Aaa(c) | | Master Credit Card Trust II, Series 2018-1A, Class A, 2.858%
(1-Month USD-LIBOR + 0.490%) due 7/21/24(a)(b) | | | 3,001,943 | |
| | | | | | | | | | |
|
| Student Loans — 2.7% | |
| | | | | | ECMC Group Student Loan Trust: | | | | |
| | 567,987 | | | Aaa(c) | | Series 2017-2A, Class A, 3.494% (1-Month USD-LIBOR + 1.050%) due 5/25/67(a)(b) | | | 559,910 | |
| | 454,441 | | | Aaa(c) | | Series 2018-1A, Class A, 3.194% (1-Month USD-LIBOR + 0.750%) due 2/27/68(a)(b) | | | 442,753 | |
| | 710,485 | | | Aaa(c) | | Series 2019-1A, Class A1B, 3.444% (1-Month USD-LIBOR + 1.000%) due 7/25/69(a)(b) | | | 690,428 | |
| | 85,608 | | | AAA | | EFS Volunteer LLC, Series 2010-1, Class A2, 3.633% (3-Month USD-LIBOR + 0.850%) due 10/25/35(a)(b) | | | 85,001 | |
| | 2,132,965 | | | AAA | | ELFI Graduate Loan Program LLC, Series 2021-A, Class A, 1.530% due 12/26/46(a) | | | 1,915,423 | |
| | | | | | Navient Private Education Loan Trust: | | | | |
| | 24,169 | | | Aaa(c) | | Series 2015-AA, Class A2A, 2.650% due 12/15/28(a) | | | 23,949 | |
| | 965,854 | | | AAA | | Series 2015-BA, Class A3, 3.841% (1-Month USD-LIBOR + 1.450%) due 7/16/40(a)(b) | | | 961,807 | |
| | | | | | Navient Private Education Refi Loan Trust: | | | | |
| | 246,734 | | | AAA | | Series 2020-GA, Class A, 1.170% due 9/16/69(a) | | | 226,204 | |
| | 2,489,658 | | | Aaa(c) | | Series 2021-FA, Class A, 1.110% due 2/18/70(a) | | | 2,166,460 | |
| | | | | | Navient Student Loan Trust: | | | | |
| | 230,014 | | | AAA | | Series 2018-1A, Class A2, 2.794% (1-Month USD-LIBOR + 0.350%) due 3/25/67(a)(b) | | | 229,524 | |
| | 290,315 | | | AAA | | Series 2018-2A, Class A2, 2.824% (1-Month USD-LIBOR + 0.380%) due 3/25/67(a)(b) | | | 289,816 | |
| | | | | | Nelnet Student Loan Trust: | | | | |
| | 852,780 | | | AA+ | | Series 2017-3A, Class A, 3.294% (1-Month USD-LIBOR + 0.850%) due 2/25/66(a)(b) | | | 839,609 | |
| | 917,118 | | | AA+ | | Series 2019-2A, Class A, 3.344% (1-Month USD-LIBOR + 0.900%) due 6/27/67(a)(b) | | | 909,522 | |
| | 775,570 | | | AA+ | | Series 2019-3A, Class A, 3.244% (1-Month USD-LIBOR + 0.800%) due 8/25/67(a)(b) | | | 760,204 | |
| | | | | | SLC Student Loan Trust: | | | | |
| | 59,900 | | | AAA | | Series 2006-1, Class A5, 1.939% (3-Month USD-LIBOR + 0.110%) due 3/15/27(b) | | | 59,881 | |
| | 358,690 | | | AAA | | Series 2007-1, Class A4, 2.965% (3-Month USD-LIBOR + 0.060%) due 5/15/29(b) | | | 353,827 | |
See Notes to Financial Statements.
297
| | | | | | | | | | |
| Ultra-Short Term Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Student Loans — 2.7% — (continued) | |
| | | | | | SLM Student Loan Trust: | | | | |
| $ | 539,991 | | | AAA | | Series 2004-10, Class A7B, 3.383% (3-Month USD-LIBOR + 0.600%) due 10/25/29(a)(b) | | $ | 535,005 | |
| | 334,003 | | | AAA | | Series 2005-5, Class A4, 2.923% (3-Month USD-LIBOR + 0.140%) due 10/25/28(b) | | | 330,824 | |
| | 361,291 | | | B | | Series 2008-5, Class A4, 4.483% (3-Month USD-LIBOR + 1.700%) due 7/25/23(b) | | | 359,018 | |
| | 565,901 | | | B | | Series 2008-7, Class A4, 3.683% (3-Month USD-LIBOR + 0.900%) due 7/25/23(b) | | | 546,289 | |
| | 85,326 | | | B | | Series 2008-8, Class A4, 4.283% (3-Month USD-LIBOR + 1.500%) due 4/25/23(b) | | | 84,786 | |
| | | | | | SMB Private Education Loan Trust: | | | | |
| | 352,928 | | | AAA | | Series 2020-PTA, Class A2A, 1.600% due 9/15/54(a) | | | 322,400 | |
| | 297,188 | | | AAA | | Series 2021-D, Class A1A, 1.340% due 3/17/53(a) | | | 269,736 | |
| | 809,775 | | | Aaa(c) | | Towd Point Asset Trust, Series 2021-SL1, Class A2, 3.068%
(1-Month USD-LIBOR + 0.700%) due 11/20/61(a)(b) | | | 799,660 | |
| | | | | | | | | | |
| | | | | | Total Student Loans | | | 13,762,036 | |
| | | | | | | | | | |
| | | | | | TOTAL ASSET-BACKED SECURITIES
(Cost — $34,112,846) | | | 32,998,914 | |
| | | | | | | | | | |
|
| U.S. GOVERNMENT AGENCIES & OBLIGATION — 3.1% | |
|
| U.S. GOVERNMENT AGENCIES — 3.0% | |
| | | | | | Federal Home Loan Banks: | | | | |
| | 2,600,000 | | | AA+ | | 1.000% due 7/27/26 | | | 2,351,916 | |
| | 5,500,000 | | | AA+ | | 1.020% due 2/24/27 | | | 4,933,676 | |
| | 3,700,000 | | | AA+ | | 1.115% due 2/26/27 | | | 3,324,673 | |
| | 5,000,000 | | | Aaa(c) | | Federal Home Loan Mortgage Corp., 0.800% due 10/28/26 | | | 4,463,907 | |
| | | | | | | | | | |
| | | | | | Total U.S. GOVERNMENT AGENCIES | | | 15,074,172 | |
| | | | | | | | | | |
|
| U.S. GOVERNMENT OBLIGATION — 0.1% | |
| | 469,000 | | | | | U.S. Treasury Notes, 0.125% due 4/30/23 | | | 459,195 | |
| | | | | | | | | | |
| | | | | | TOTAL U.S. GOVERNMENT AGENCIES & OBLIGATION
(Cost — $17,268,371) | | | 15,533,367 | |
| | | | | | | | | | |
|
| SOVEREIGN BONDS — 1.5% | |
|
| South Korea — 0.9% | |
| | | | | | Export-Import Bank of Korea: | | | | |
| | 1,500,000 | | | AA | | 3.857% (3-Month USD-LIBOR + 0.775%) due 6/1/23(b) | | | 1,505,250 | |
| | 1,400,000 | AUD | | AA | | 2.762% (3-Month Australian Bank Bill + 0.800%) due 10/8/24(b) | | | 954,548 | |
| | 2,000,000 | AUD | | Aa2(c) | | Korea Expressway Corp., 3.183%
(3-Month Australian Bank Bill + 0.720%) due 9/2/23(b) | | | 1,368,500 | |
| | 650,000 | | | AA | | Korea National Oil Corp., 3.615%
(3-Month USD-LIBOR + 0.875%) due 7/16/23(b) | | | 652,613 | |
| | | | | | | | | | |
| | | | | | Total South Korea | | | 4,480,911 | |
| | | | | | | | | | |
|
| Supranational — 0.6% | |
| | 3,800,000 | | | AAA | | International Bank for Reconstruction & Development, 0.850% due 2/10/27 | | | 3,373,510 | |
| | | | | | | | | | |
| | | | | | TOTAL SOVEREIGN BONDS
(Cost — $8,491,207) | | | 7,854,421 | |
| | | | | | | | | | |
|
| MORTGAGE-BACKED SECURITIES — 0.2% | |
|
| FHLMC — 0.2% | |
| | 942,167 | | | | | Federal Home Loan Mortgage Corp. (FHLMC), 4.000% due 6/1/49 – 9/1/49
(Cost — $988,393) | | | 933,402 | |
| | | | | | | | | | |
|
| CERTIFICATE OF DEPOSIT — 0.2% | |
| | 1,400,000 | AUD | | A | | Mizuho Bank Ltd., 3.005%
(3-Month Australian Bank Bill + 0.750%) due 8/7/24(b) (Cost — $1,048,188) | | | 958,135 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS
(Cost — $472,449,369) | | | 450,728,252 | |
| | | | | | | | | | |
See Notes to Financial Statements.
298
| | | | | | | | | | |
| Ultra-Short Term Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | | | Security | | Value | |
|
| SHORT-TERM INVESTMENTS — 48.0% | |
|
| COMMERCIAL PAPERS — 1.1% | |
| $ | 2,300,000 | | | | | Constellation Energy Corp., 2.935% due 9/22/22(a)(h) | | $ | 2,296,069 | |
| | 1,000,000 | | | | | Enel Finance America LLC, 3.642% due 10/24/22(a)(h) | | | 994,670 | |
| | 2,000,000 | | | | | Raytheon Technologies Corp., 3.591% due 12/1/22(a)(h) | | | 1,982,053 | |
| | | | | | | | | | |
| | | | | | TOTAL COMMERCIAL PAPERS
(Cost — $5,272,792) | | | 5,272,792 | |
| | | | | | | | | | |
|
| TIME DEPOSITS — 1.0% | |
| | 88,676 | AUD | | | | ANZ National Bank – Hongkong, 0.830% due 9/1/22 | | | 60,676 | |
| | | | | | BBH – Grand Cayman: | | | | |
| | 2,560 | DKK | | | | (0.120)% due 9/1/22 | | | 346 | |
| | 986 | GBP | | | | 0.870% due 9/1/22 | | | 1,145 | |
| | 191,239 | CAD | | | | 1.380% due 9/1/22 | | | 145,634 | |
| | 6,102 | NZD | | | | 1.500% due 9/1/22 | | | 3,734 | |
| | 13,008 | EUR | | | | Citibank – London, (0.130)% due 9/1/22 | | | 13,070 | |
| | 4,260,682 | | | | | National Australia Bank Ltd. – London, 1.680% due 9/1/22 | | | 4,260,682 | |
| | 723,454 | | | | | Skandinaviska Enskilda Banken AB – Stockholm, 1.680% due 9/1/22 | | | 723,454 | |
| | 91,889 | JPY | | | | Sumitomo Mitsui Banking Corp. – Tokyo, (0.350)% due 9/1/22 | | | 662 | |
| | | | | | | | | | |
| | | | | | TOTAL TIME DEPOSITS
(Cost — $5,209,403) | | | 5,209,403 | |
| | | | | | | | | | |
|
| U.S. GOVERNMENT OBLIGATIONS — 45.9% | |
| | | | | | U.S. Cash Management Bills: | | | | |
| | 29,200,000 | | | | | 2.918% due 12/20/22(h) | | | 28,942,148 | |
| | 65,000,000 | | | | | 3.132% due 1/3/23(h) | | | 64,333,931 | |
| | | | | | U.S. Treasury Bills: | | | | |
| | 9,800,000 | | | | | 2.621% due 10/25/22(h) | | | 9,761,633 | |
| | 130,000,000 | | | | | 2.901% due 12/1/22(h) | | | 129,053,600 | |
| | | | | | | | | | |
| | | | | | TOTAL U.S. GOVERNMENT OBLIGATIONS
(Cost — $232,091,312) | | | 232,091,312 | |
| | | | | | | | | | |
| | | | | | TOTAL SHORT-TERM INVESTMENTS
(Cost — $242,573,507) | | | 242,573,507 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS — 137.1%
(Cost — $715,022,876) | | | 693,301,759 | |
| | | | | | | | | | |
| | | | | | Liabilities in Excess of Other Assets — (37.1)% | | | (187,514,830 | ) |
| | | | | | | | | | |
| | | | | | TOTAL NET ASSETS — 100.0% | | $ | 505,786,929 | |
| | | | | | | | | | |
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
| †† | All ratings are by Standard & Poor’s Rating Service, unless otherwise noted. All ratings are unaudited. |
| (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 August 31, 2022, amounts to $205,329,259 and represents 40.6% of net assets. |
| (b) | Variable rate security. Interest rate disclosed is that which was in effect at August 31, 2022. |
| (c) | Rating by Moody’s Investors Service. All ratings are unaudited. |
| (d) | The aggregate value of restricted securities (excluding 144A holdings) at August 31, 2022, amounts to $6,187,111 and represents 1.2% of net assets. |
| (e) | Rating by Fitch Ratings Service. All ratings are unaudited. |
| (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 August 31, 2022. |
| (g) | Affiliated security (See Note 2). As of August 31, 2022, total cost and total market value of affiliated security amounted to $436,869 and $420,952, respectively. |
| (h) | Rate shown represents yield-to-maturity. |
See Notes to Financial Statements.
299
| | | | | | |
| Ultra-Short Term Fixed Income Fund |
At August 31, 2022, for Ultra-Short Term 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) | |
Ultra-Short Term Fixed Income Fund | | $ | 721,350,577 | | | $ | 6,464,981 | | | $ | (30,551,015 | ) | | $ | (24,086,034 | ) |
| | |
Abbreviations used in this schedule: |
| ABS | | — Asset-Based Security |
| CLO | | — Collateralized Loan Obligation |
| CMT | | — Constant Maturity Treasury Rate |
| EURIBOR | | — Euro Interbank Offered Rate |
| LIBOR | | — London Interbank Offered Rate |
| LLC | | — Limited Liability Company |
| PCL | | — Public Company Limited |
| PLC | | — Public Limited Company |
| REMICS | | — Real Estate Mortgage Investment Conduit |
| SOFR | | — Secured Overnight Financing Rate |
| | | | |
| Summary of Investments by Security Type^ | | | |
Corporate Bonds & Notes | | | 36.7 | % |
Collateralized Mortgage Obligations | | | 19.9 | |
Asset-Backed Securities | | | 4.8 | |
U.S. Government Agencies & Obligation | | | 2.3 | |
Sovereign Bonds | | | 1.1 | |
Certificate of Deposit | | | 0.1 | |
Mortgage-Backed Securities | | | 0.1 | |
Short-Term Investments | | | 35.0 | |
| | | | |
| | | 100.0 | % |
| | | | |
| ^ | As a percentage of total investments. |
At August 31, 2022, 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 December Futures | | | 417 | | | | 12/22 | | | $ | 87,068,290 | | | $ | 86,872,829 | | | $ | 195,461 | |
U.S. Treasury 5-Year Note December Futures | | | 369 | | | | 12/22 | | | | 41,074,376 | | | | 40,892,695 | | | | 181,681 | |
U.S. Treasury 10-Year Note December Futures | | | 7 | | | | 12/22 | | | | 824,736 | | | | 818,343 | | | | 6,393 | |
U.S. Treasury Ultra Long Bond December Futures | | | 2 | | | | 12/22 | | | | 300,801 | | | | 299,000 | | | | 1,801 | |
U.S. Ultra Long Bond December Futures | | | 56 | | | | 12/22 | | | | 7,025,375 | | | | 7,010,500 | | | | 14,875 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | 400,211 | |
| | | | | | | | | | | | | | | | | | | | |
At August 31, 2022, Ultra-Short Term Fixed Income Fund had deposited cash of $1,335,000 with a broker or brokers as margin collateral on an open exchange-traded futures contracts.
See Notes to Financial Statements.
300
| | | | | | |
| Ultra-Short Term Fixed Income Fund |
At August 31, 2022, 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 | | | 2,872,000 | | | | USD | | | | 1,971,354 | | | | BNP | | | $ | 1,967,277 | | | | 11/16/22 | | | $ | (4,077 | ) |
British Pound | | | 4,788,000 | | | | USD | | | | 5,592,293 | | | | BNP | | | | 5,561,983 | | | | 9/2/22 | | | | (30,310 | ) |
British Pound | | | 500,000 | | | | USD | | | | 601,377 | | | | MLP | | | | 580,825 | | | | 9/2/22 | | | | (20,552 | ) |
British Pound | | | 13,422,000 | | | | USD | | | | 15,635,976 | | | | MLP | | | | 15,591,675 | | | | 9/2/22 | | | | (44,301 | ) |
Canadian Dollar | | | 7,710,049 | | | | USD | | | | 5,873,189 | | | | HSBC | | | | 5,871,415 | | | | 9/2/22 | | | | (1,774 | ) |
Canadian Dollar | | | 5,992,563 | | | | USD | | | | 4,632,470 | | | | JPM | | | | 4,563,502 | | | | 9/2/22 | | | | (68,968 | ) |
Canadian Dollar | | | 659,000 | | | | USD | | | | 510,619 | | | | MLP | | | | 501,846 | | | | 9/2/22 | | | | (8,773 | ) |
Mexican Peso | | | 7,185,000 | | | | USD | | | | 352,250 | | | | BNP | | | | 355,768 | | | | 9/15/22 | | | | 3,518 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | (175,237 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Contracts to Sell: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Australian Dollar | | | 32,336,000 | | | | USD | | | | 22,747,461 | | | | BCLY | | | | 22,149,675 | | | | 11/16/22 | | | | 597,786 | |
Australian Dollar | | | 17,650,076 | | | | USD | | | | 12,322,777 | | | | MLP | | | | 12,090,038 | | | | 11/16/22 | | | | 232,739 | |
Australian Dollar | | | 21,642,262 | | | | USD | | | | 15,175,316 | | | | SCB | | | | 14,824,625 | | | | 11/16/22 | | | | 350,691 | |
British Pound | | | 18,710,000 | | | | USD | | | | 22,779,986 | | | | HSBC | | | | 21,734,483 | | | | 9/2/22 | | | | 1,045,503 | |
British Pound | | | 13,422,000 | | | | USD | | | | 15,645,385 | | | | MLP | | | | 15,601,443 | | | | 10/4/22 | | | | 43,942 | |
Canadian Dollar | | | 14,346,616 | | | | USD | | | | 11,207,260 | | | | MLP | | | | 10,925,344 | | | | 9/2/22 | | | | 281,916 | |
Canadian Dollar | | | 7,711,928 | | | | USD | | | | 5,873,189 | | | | HSBC | | | | 5,871,308 | | | | 10/4/22 | | | | 1,881 | |
Canadian Dollar | | | 5,994,161 | | | | USD | | | | 4,632,470 | | | | JPM | | | | 4,563,524 | | | | 10/4/22 | | | | 68,946 | |
Euro | | | 705,000 | | | | USD | | | | 723,054 | | | | BNP | | | | 708,384 | | | | 9/2/22 | | | | 14,670 | |
Euro | | | 17,909,000 | | | | USD | | | | 18,311,863 | | | | HSBC | | | | 17,994,962 | | | | 9/2/22 | | | | 316,901 | |
Euro | | | 18,614,000 | | | | USD | | | | 18,610,408 | | | | HSBC | | | | 18,744,065 | | | | 10/4/22 | | | | (133,657 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | 2,821,318 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Unrealized Appreciation on Open Forward Foreign Currency Contracts. | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 2,646,081 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
301
| | | | | | |
| Ultra-Short Term Fixed Income Fund |
At August 31, 2022, Ultra-Short Term Fixed Income Fund held the following Centrally Cleared Credit Default Swap Contracts:
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
8/31/22 (2) | | | Notional
Amount (3) | | | Market
Value | | | Upfront
Payment
(Received) | | | Unrealized
Appreciation | |
Markit CDX North America Investment Grade Series 37 5-Year Index, NR | | | (1.000)% | | | | 12/20/26 | | | | 3-Month | | | | 0.856 | % | | | USD | | | | 44,300,000 | | | $ | (339,509 | ) | | $ | (1,058,967 | ) | | $ | 719,458 | |
Markit CDX North America Investment Grade Series 38 5-Year Index, NR | | | (1.000)% | | | | 6/20/27 | | | | 3-Month | | | | 0.922 | % | | | USD | | | | 51,900,000 | | | | (279,506 | ) | | | (357,890 | ) | | | 78,384 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | $ | (619,015 | ) | | $ | (1,416,857 | ) | | $ | 797,842 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (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 August 31, 2022, Ultra-Short Term Fixed Income Fund deposited cash collateral with brokers in the amount of $1,294,000 for open centrally cleared swap contracts.
At August 31, 2022, Ultra-Short Term Fixed Income Fund had cash collateral from brokers in the amount of $2,340,000 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 | | HSBC | | — HSBC Bank USA |
| EUR | | — Euro | | JPM | | — JPMorgan Chase & Co. |
| GBP | | — British Pound | | MLP | | — Merrill Lynch, Pierce, Fenner & Smith Inc. |
| JPY | | — Japanese Yen | | SCB | | — Standard Chartered Bank |
| NZD | | — New Zealand Dollar | | | | |
| USD | | — United States Dollar | | |
See pages 304-305 for definitions of ratings.
See Notes to Financial Statements.
302
| | | | | | |
| Alternative Strategies Fund |
| | | | | | | | |
| | |
| Units | | | Security | | Value | |
|
| OPEN END MUTUAL FUND SECURITIES — 97.4% | |
| |
| United States — 97.4% | | | |
| | 960,190 | | | American Beacon AHL Managed Futures Strategy Fund, Class Y | | $ | 11,503,080 | |
| | 875,425 | | | BlackRock Event Driven Equity Fund, Institutional Class | | | 8,640,442 | |
| | 1,130,154 | | | BlackRock Global Long/Short Equity Fund, Institutional Class | | | 12,736,833 | |
| | 1,564,949 | | | BlackRock Systematic Multi-Strategy Fund | | | 15,727,734 | |
| | 529,731 | | | BNY Mellon Global Real Return Fund, Class Y | | | 8,544,566 | |
| | 53,175 | | | Cohen & Steers Global Realty Shares Inc., Class I | | | 2,808,713 | |
| | 266,806 | | | Diamond Hill Long/Short Fund, Class I | | | 7,097,050 | |
| | 592,331 | | | Driehaus Event Driven Fund, Common Class | | | 6,989,506 | |
| | 945,841 | | | John Hancock Diversified Macro Fund, Class I | | | 9,912,419 | |
| | 635,366 | | | John Hancock Seaport Long/Short Fund, Class I | | | 7,014,441 | |
| | 461,324 | | | LoCorr Market Trend Fund, Class I | | | 7,002,897 | |
| | 595,550 | | | Neuberger Berman Long Short Fund, Institutional Class | | | 10,064,802 | |
| | 435,446 | | | PIMCO CommodityRealReturn Strategy Fund, Institutional Class | | | 2,839,108 | |
| | 943,945 | | | PIMCO Credit Opportunities Bond Fund, Institutional Class | | | 8,712,609 | |
| | 1,440,433 | | | PIMCO Mortgage Opportunities and Bond Fund, Class I2 | | | 14,361,113 | |
| | 965,355 | | | Western Asset Macro Opportunities Fund, Class I | | | 8,977,806 | |
| | | | TOTAL INVESTMENTS — 97.4% | | | | |
| | | | (Cost — $143,977,175) | | | 142,933,119 | |
| | | | | | | | |
| | | | Other Assets in Excess of Liabilities — 2.6% | | | 3,831,344 | |
| | | | | | | | |
| | | | TOTAL NET ASSETS — 100.0% | | $ | 146,764,463 | |
| | | | | | | | |
At August 31, 2022, 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 | | $ | 144,104,477 | | | $ | 4,864,669 | | | $ | (6,036,027) | | | $ | (1,171,358) | |
| | | | |
| Summary of Investments by Security Type^ | | | |
Open End Mutual Fund Securities | | | 100.0 | % |
| | | | |
| ^ | As a percentage of total investments. |
See Notes to Financial Statements.
303
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. |
304
| | |
| 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 a lower degree of speculation than “B”, and “CC” 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. |
| |
| NR | | — Indicates that the bond is not rated by Standard & Poor’s, Moody’s, or Fitch. |
| |
| WD, WR | | — Indicates that the bonds rating has been withdrawn and the issuer is no longer rated by Standard & Poor’s, Moody’s or Fitch. |
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. |
305
| | |
| | | |
| Statements of Assets and Liabilities | | |
| | | | | | | | | | | | | | | | |
| | |
Large Cap
Equity
Fund | | | Small-Mid
Cap Equity
Fund | | | International
Equity
Fund | | | | |
| ASSETS: | | | | | | | | | | | | | | | | |
Unaffiliated investments, at value1,3 | | $ | 1,690,188,748 | | | $ | 563,179,761 | | | $ | 1,150,709,181 | | | | | |
Affiliated investments, at value2 | | | 2,628,440 | | | | — | | | | — | | | | | |
Foreign currency, at value4 | | | 27 | | | | 18 | | | | 85,593 | | | | | |
Cash | | | 52,914 | | | | 387,262 | | | | 30,003 | | | | | |
Receivable for securities sold | | | 54 | | | | 328,883 | | | | 1,828,853 | | | | | |
Receivable for TBA securities sold | | | — | | | | — | | | | — | | | | | |
Dividends and interest receivable from unaffiliated investments | | | 2,442,859 | | | | 469,575 | | | | 8,119,697 | | | | | |
Dividends and interest receivable from affiliated investments | | | — | | | | — | | | | — | | | | | |
Receivable for Fund shares sold | | | 1,217,810 | | | | 405,531 | | | | 1,258,918 | | | | | |
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 | | | 714,984 | | | | 152,996 | | | | 129,230 | | | | | |
Foreign capital gains tax receivable | | | — | | | | — | | | | — | | | | | |
Prepaid trustees expenses | | | 26,487 | | | | 8,927 | | | | 65,252 | | | | | |
Prepaid expenses | | | 26,838 | | | | 14,010 | | | | 14,452 | | | | | |
| | | | | | | | | | | | | | | | |
Total Assets | | | 1,697,299,161 | | | | 564,946,963 | | | | 1,162,241,179 | | | | | |
| | | | | | | | | | | | | | | | |
| LIABILITIES: | | | | | | | | | | | | | | | | |
Reverse repurchase agreements, at value7 | | | — | | | | — | | | | — | | | | | |
Payable for collateral received from securities on loan | | | 10,568,557 | | | | 21,278,164 | | | | 9,862,623 | | | | | |
Payable for Fund shares repurchased | | | 911,888 | | | | 375,693 | | | | 670,267 | | | | | |
Payable for securities purchased | | | — | | | | 1,336,862 | | | | 2,632,031 | | | | | |
Payable for TBA securities purchased | | | — | | | | — | | | | — | | | | | |
Payable for sale-buyback transactions | | | — | | | | — | | | | — | | | | | |
Investment management fee payable | | | 602,117 | | | | 223,076 | | | | 539,838 | | | | | |
Transfer agent fees payable | | | 35,950 | | | | 11,168 | | | | 35,910 | | | | | |
Interest expense payable | | | — | | | | — | | | | — | | | | | |
Custody fee payable | | | 38,523 | | | | 15,639 | | | | 77,494 | | | | | |
Trustees’ fees payable | | | — | | | | — | | | | — | | | | | |
Variation margin on open futures contracts (Note 1) | | | 107,770 | | | | 17,192 | | | | 5,298 | | | | | |
Forward sale commitments, at value5 (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 | | | 178,036 | | | | 137,243 | | | | 401,314 | | | | | |
| | | | | | | | | | | | | | | | |
Total Liabilities | | | 12,442,841 | | | | 23,395,037 | | | | 14,224,775 | | | | | |
| | | | | | | | | | | | | | | | |
| Total Net Assets | | $ | 1,684,856,320 | | | $ | 541,551,926 | | | $ | 1,148,016,404 | | | | | |
| | | | | | | | | | | | | | | | |
| NET ASSETS: | | | | | | | | | | | | | | | | |
Paid-in-capital (Note 4) | | $ | 930,142,391 | | | $ | 414,475,250 | | | $ | 1,159,167,624 | | | | | |
Total distributable earnings (losses) | | | 754,713,929 | | | | 127,076,676 | | | | (11,151,220 | ) | | | | |
| | | | | | | | | | | | | | | | |
| Total Net Assets | | $ | 1,684,856,320 | | | $ | 541,551,926 | | | $ | 1,148,016,404 | | | | | |
| | | | | | | | | | | | | | | | |
| Shares Outstanding | | | 80,584,234 | | | | 32,696,450 | | | | 102,617,462 | | | | | |
| | | | | | | | | | | | | | | | |
| Net Asset Value | | $ | 20.91 | | | $ | 16.56 | | | $ | 11.19 | | | | | |
| | | | | | | | | | | | | | | | |
| 1 Unaffiliated investments, at cost | | $ | 1,059,783,501 | | | $ | 477,035,933 | | | $ | 1,178,129,924 | | | | | |
| | | | | | | | | | | | | | | | |
| 2 Affiliated investments, at cost | | $ | 752,966 | | | $ | — | | | $ | — | | | | | |
| | | | | | | | | | | | | | | | |
| 3 Includes securities on loan | | $ | 10,157,649 | | | $ | 20,725,665 | | | $ | 12,170,359 | | | | | |
| | | | | | | | | | | | | | | | |
| 4 Foreign currency, at cost | | $ | 2 | | | $ | 6 | | | $ | 133,640 | | | | | |
| | | | | | | | | | | | | | | | |
| 5 Proceeds received | | $ | — | | | $ | — | | | $ | — | | | | | |
| | | | | | | | | | | | | | | | |
| 6 Premiums received | | $ | — | | | $ | — | | | $ | — | | | | | |
| | | | | | | | | | | | | | | | |
| 7 Proceeds of reverse repurchase agreement | | $ | — | | | $ | — | | | $ | — | | | | | |
| | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
306
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | 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 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | 480,145,245 | | | $ | 1,480,018,409 | | | $ | 110,938,900 | | | $ | 193,172,516 | | | $ | 86,504,601 | | | $ | 141,012,512 | | | $ | 692,880,807 | | | $ | 142,933,119 | |
| | | | | — | | | | 983,993 | | | | — | | | | — | | | | — | | | | — | | | | 420,952 | | | | — | |
| | | | | 1,427,436 | | | | 774,317 | | | | — | | | | 315,689 | | | | — | | | | 385,299 | | | | 1,385 | | | | — | |
| | | | | 23,364 | | | | 68,101 | | | | 13,440 | | | | 2,189 | | | | 1,293 | | | | 1,956,035 | | | | 6,728 | | | | 3,815,520 | |
| | | | | 832,514 | | | | 4,365,682 | | | | 550,234 | | | | 1,236,612 | | | | — | | | | 1,336,124 | | | | 4,148,550 | | | | — | |
| | | | | — | | | | 77,990,916 | | | | — | | | | 91,150,531 | | | | — | | | | 8,194,860 | | | | — | | | | — | |
| | | | | 1,551,712 | | | | 7,918,276 | | | | 1,848,620 | | | | 543,688 | | | | 877,902 | | | | 307,839 | | | | 2,319,058 | | | | 74,313 | |
| | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 285 | | | | — | |
| | | | | 410,406 | | | | 1,217,987 | | | | 80,463 | | | | 157,009 | | | | 34,247 | | | | 71,686 | | | | 498,890 | | | | 264,743 | |
| | | | | — | | | | 220,737 | | | | — | | | | 3,570,630 | | | | — | | | | 521,776 | | | | 2,958,493 | | | | — | |
| | | | | 6,857 | | | | — | | | | — | | | | 10,014 | | | | 3,812 | | | | 63,854 | | | | 734 | | | | — | |
| | | | | — | | | | 1,085,764 | | | | — | | | | 5,780 | | | | — | | | | 197,687 | | | | 534,197 | | | | — | |
| | | | | — | | | | — | | | | — | | | | 883,139 | | | | — | | | | — | | | | — | | | | — | |
| | | | | — | | | | — | | | | — | | | | 31,367 | | | | — | | | | — | | | | — | | | | — | |
| | | | | 71,994 | | | | 11,362,841 | | | | — | | | | 3,149,000 | | | | 49,000 | | | | 1,149,000 | | | | 2,629,000 | | | | — | |
| | | | | 62,762 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | 21,794 | | | | 35,873 | | | | — | | | | 3,415 | | | | 4,830 | | | | — | | | | 9,822 | | | | 10,771 | |
| | | | | 447 | | | | 42,488 | | | | 52,778 | | | | 10,148 | | | | 14,810 | | | | 52,316 | | | | 18,132 | | | | 172 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 484,554,531 | | | | 1,586,085,384 | | | | 113,484,435 | | | | 294,241,727 | | | | 87,490,495 | | | | 155,248,988 | | | | 706,427,033 | | | | 147,098,638 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 32,587,040 | | | | — | | | | — | |
| | | | | 187,012 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | 264,096 | | | | 3,562,503 | | | | 625,376 | | | | 1,179,201 | | | | 396,423 | | | | 1,450,579 | | | | 1,124,124 | | | | 144,499 | |
| | | | | 833,722 | | | | 28,485,184 | | | | 18,008 | | | | 498,999 | | | | — | | | | 1,704,753 | | | | 196,316,287 | | | | — | |
| | | | | — | | | | 194,468,384 | | | | — | | | | 87,784,777 | | | | — | | | | 11,447,394 | | | | — | | | | — | |
| | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 4,030,523 | | | | — | | | | — | |
| | | | | 234,286 | | | | 440,302 | | | | 49,153 | | | | 67,411 | | | | 30,350 | | | | 39,964 | | | | 192,506 | | | | 24,961 | |
| | | | | 18,229 | | | | 43,527 | | | | 4,040 | | | | 3,134 | | | | 2,582 | | | | 3,698 | | | | 17,929 | | | | 2,140 | |
| | | | | — | | | | — | | | | — | | | | 3,061 | | | | — | | | | 17,349 | | | | 898 | | | | — | |
| | | | | 46,809 | | | | 95,863 | | | | 18,672 | | | | 37,921 | | | | 11,960 | | | | 19,430 | | | | 23,742 | | | | 10,314 | |
| | | | | — | | | | — | | | | 6,163 | | | | — | | | | — | | | | 2,127 | | | | — | | | | — | |
| | | | | — | | | | 3,880,484 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | — | | | | — | | | | — | | | | 28,377,952 | | | | — | | | | — | | | | — | | | | — | |
| | | | | — | | | | 2,460,792 | | | | — | | | | 691,509 | | | | — | | | | 1,035,876 | | | | — | | | | — | |
| | | | | — | | | | — | | | | — | | | | 10,617 | | | | — | | | | — | | | | — | | | | — | |
| | | | | — | | | | — | | | | — | | | | 99,927 | | | | — | | | | — | | | | — | | | | — | |
| | | | | — | | | | 2,842 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | — | | | | 448,893 | | | | — | | | | 314,320 | | | | — | | | | 71,516 | | | | 312,412 | | | | — | |
| | | | | — | | | | — | | | | — | | | | 3,600,000 | | | | — | | | | 280,000 | | | | 2,340,000 | | | | — | |
| | | | | 1,610,314 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 47 | | | | — | | | | — | |
| | | | | — | | | | — | | | | 129,857 | | | | — | | | | 84,121 | | | | — | | | | — | | | | 60,631 | |
| | | | | 306,953 | | | | 355,013 | | | | 131,331 | | | | 147,530 | | | | 14,560 | | | | 292,205 | | | | 312,206 | | | | 91,630 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 3,501,421 | | | | 234,243,787 | | | | 982,600 | | | | 122,816,359 | | | | 539,996 | | | | 52,982,501 | | | | 200,640,104 | | | | 334,175 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | 481,053,110 | | | $ | 1,351,841,597 | | | $ | 112,501,835 | | | $ | 171,425,368 | | | $ | 86,950,499 | | | $ | 102,266,487 | | | $ | 505,786,929 | | | $ | 146,764,463 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | 505,903,916 | | | $ | 1,545,427,275 | | | $ | 140,112,917 | | | $ | 191,249,310 | | | $ | 92,444,424 | | | $ | 108,750,355 | | | $ | 525,720,485 | | | $ | 143,732,242 | |
| | | | | (24,850,806 | ) | | | (193,585,678 | ) | | | (27,611,082 | ) | | | (19,823,942 | ) | | | (5,493,925 | ) | | | (6,483,868 | ) | | | (19,933,556 | ) | | | 3,032,221 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | 481,053,110 | | | $ | 1,351,841,597 | | | $ | 112,501,835 | | | $ | 171,425,368 | | | $ | 86,950,499 | | | $ | 102,266,487 | | | $ | 505,786,929 | | | $ | 146,764,463 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 38,822,495 | | | | 189,945,963 | | | | 35,785,792 | | | | 24,503,775 | | | | 10,164,165 | | | | 11,153,361 | | | | 52,210,104 | | | | 13,724,355 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | 12.39 | | | $ | 7.12 | | | $ | 3.14 | | | $ | 7.00 | | | $ | 8.55 | | | $ | 9.17 | | | $ | 9.69 | | | $ | 10.69 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | 491,505,633 | | | $ | 1,608,135,899 | | | $ | 123,937,780 | | | $ | 215,854,199 | | | $ | 90,456,436 | | | $ | 149,765,872 | | | $ | 714,586,007 | | | $ | 143,977,175 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | — | | | $ | 1,056,385 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 436,869 | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | 402,903 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | 1,438,397 | | | $ | 808,299 | | | $ | — | | | $ | 443,781 | | | $ | — | | | $ | 625,835 | | | $ | 3,814 | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | — | | | $ | — | | | $ | — | | | $ | 28,839,350 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | — | | | $ | 1,164,749 | | | $ | — | | | $ | 231,026 | | | $ | — | | | $ | 212,258 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 32,587,040 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
307
| | |
| For the Year Ended August 31, 2022 | | |
| | | | | | | | | | | | | | | | |
| | | Large Cap
Equity
Fund | | | Small-Mid
Cap Equity
Fund | | | International
Equity
Fund | | | | |
| INVESTMENT INCOME: | | | | | | | | | | | | | | | | |
| | | | |
Dividends from unaffiliated investments | | $ | 24,441,513 | | | $ | 7,009,908 | | | $ | 36,628,319 | | | | | |
Dividends from affiliated investments | | | 93,772 | | | | — | | | | — | | | | | |
Income from non-cash dividends | | | — | | | | — | | | | 2,569,551 | | | | | |
Interest from unaffiliated investments | | | 145,582 | | | | 67,927 | | | | 71,819 | | | | | |
Interest from affiliated investments | | | — | | | | — | | | | — | | | | | |
Income from securities lending | | | 171,341 | | | | 183,299 | | | | 265,667 | | | | | |
Less: Foreign taxes withheld (see Note 1s) | | | (44,425 | ) | | | (27,982 | ) | | | (3,811,141 | ) | | | | |
Miscellaneous income | | | — | | | | — | | | | 28,204 | | | | | |
| | | | | | | | | | | | | | | | |
Total Investment Income | | | 24,807,783 | | | | 7,233,152 | | | | 35,752,419 | | | | | |
| | | | | | | | | | | | | | | | |
| | | | |
| EXPENSES: | | | | | | | | | | | | | | | | |
| | | | |
Investment management fee (Note 2) | | | 11,474,455 | | | | 4,752,467 | | | | 9,352,616 | | | | | |
Transfer agent fees | | | 224,610 | | | | 65,588 | | | | 165,856 | | | | | |
Custody fees | | | 502,263 | | | | 227,306 | | | | 937,115 | | | | | |
Trustees’ fees | | | 326,564 | | | | 101,116 | | | | 224,592 | | | | | |
Shareholder reports | | | 220,806 | | | | 146,504 | | | | 207,126 | | | | | |
Insurance | | | 74,975 | | | | 25,644 | | | | 56,646 | | | | | |
Audit and tax | | | 81,321 | | | | 78,256 | | | | 121,668 | | | | | |
Legal fees | | | 110,618 | | | | 33,437 | | | | 99,706 | | | | | |
Registration fees | | | 52,613 | | | | 34,135 | | | | 58,142 | | | | | |
Other expense | | | 106,176 | | | | 36,864 | | | | 107,138 | | | | | |
Interest expense | | | — | | | | — | | | | — | | | | | |
| | | | | | | | | | | | | | | | |
Total Expenses | | | 13,174,401 | | | | 5,501,317 | | | | 11,330,605 | | | | | |
Less: Fee waivers and/or expense reimbursement (Note 2) | | | (3,960,953 | ) | | | (2,004,758 | ) | | | (2,385,277 | ) | | | | |
| | | | | | | | | | | | | | | | |
Net Expenses | | | 9,213,448 | | | | 3,496,559 | | | | 8,945,328 | | | | | |
| | | | | | | | | | | | | | | | |
Net Investment Income (Loss) | | $ | 15,594,335 | | | $ | 3,736,593 | | | $ | 26,807,091 | | | | | |
| | | | | | | | | | | | | | | | |
| | | | |
| 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 | | $ | 172,456,804 | | | $ | 62,316,897 | | | $ | 49,251,552 | | | | | |
Affiliated investments | | | 427,218 | | | | — | | | | — | | | | | |
Futures contracts | | | (800,611 | ) | | | (299,586 | ) | | | 38,764 | | | | | |
Options contracts written | | | — | | | | — | | | | — | | | | | |
Forward sale commitments | | | — | | | | — | | | | — | | | | | |
Short sales | | | — | | | | — | | | | — | | | | | |
Swap contracts | | | — | | | | — | | | | — | | | | | |
Forward foreign currency contracts | | | — | | | | — | | | | 604 | | | | | |
Foreign currency translations | | | 3,766 | | | | 7,368 | | | | (580,106 | ) | | | | |
Capital gain distributions received | | | — | | | | — | | | | — | | | | | |
| | | | | | | | | | | | | | | | |
Net Realized Gain (Loss): | | | 172,087,177 | | | | 62,024,679 | | | | 48,710,814 | | | | | |
| | | | | | | | | | | | | | | | |
Change in Net Unrealized Appreciation (Depreciation) from: | | | | | | | | | | | | | | | | |
| | | | |
Unaffiliated investments | | | (498,774,820 | ) | | | (166,385,602 | ) | | | (388,623,117 | )(a) | | | | |
Affiliated investments | | | (1,080,324 | ) | | | — | | | | — | | | | | |
Futures contracts | | | (991,276 | ) | | | (103,412 | ) | | | (23,010 | ) | | | | |
Options contracts written | | | — | | | | — | | | | — | | | | | |
Forward sale commitments | | | — | | | | — | | | | — | | | | | |
Swap contracts | | | — | | | | — | | | | — | | | | | |
Unfunded loan commitments | | | — | | | | — | | | | — | | | | | |
Forward foreign currency contracts | | | — | | | | — | | | | — | | | | | |
Foreign currency translations | | | (819 | ) | | | (636 | ) | | | (823,924 | ) | | | | |
| | | | | | | | | | | | | | | | |
Change in Net Unrealized Appreciation (Depreciation): | | | (500,847,239 | ) | | | (166,489,650 | ) | | | (389,470,051 | ) | | | | |
| | | | | | | | | | | | | | | | |
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 | | | (328,760,062 | ) | | | (104,464,971 | ) | | | (340,759,237 | ) | | | | |
| | | | | | | | | | | | | | | | |
Total Increase (Decrease) in Net Assets from Operations | | $ | (313,165,727 | ) | | $ | (100,728,378 | ) | | $ | (313,952,146 | ) | | | | |
| | | | | | | | | | | | | | | | |
| (a) | Includes Net increase (decrease) in accrued foreign capital gains taxes of $(17,578) and $1,614,667 for International Equity Fund and Emerging Markets Equity Fund, respectively. |
See Notes to Financial Statements.
308
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | 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 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | | $ | 16,973,469 | | | $ | — | | | $ | 114,070 | | | $ | — | | | $ | 36,198 | | | $ | — | | | $ | — | | | $ | 3,356,271 | |
| | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | 50,157 | | | | 32,094,948 | | | | 9,078,683 | | | | 3,106,865 | | | | 2,465,040 | | | | 12,167,296 | | | | 7,578,355 | | | | — | |
| | | | | — | | | | 38,866 | | | | — | | | | — | | | | — | | | | — | | | | 7,388 | | | | — | |
| | | | | 31,761 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | (1,786,403 | ) | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | — | | | | — | | | | — | | | | 1,420 | | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 15,268,984 | | | | 32,133,814 | | | | 9,192,753 | | | | 3,108,285 | | | | 2,501,238 | | | | 12,167,296 | | | | 7,585,743 | | | | 3,356,271 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | | | 4,719,705 | | | | 5,398,558 | | | | 1,119,660 | | | | 851,136 | | | | 368,684 | | | | 642,634 | | | | 2,687,905 | | | | 1,663,382 | |
| | | | | 66,233 | | | | 158,841 | | | | 16,620 | | | | 19,851 | | | | 11,926 | | | | 14,118 | | | | 65,743 | | | | 16,138 | |
| | | | | 619,855 | | | | 1,100,035 | | | | 212,602 | | | | 429,518 | | | | 138,314 | | | | 209,180 | | | | 279,416 | | | | 128,087 | |
| | | | | 91,152 | | | | 197,288 | | | | 32,279 | | | | 28,348 | | | | 14,699 | | | | 22,164 | | | | 81,821 | | | | 17,433 | |
| | | | | 176,149 | | | | 198,731 | | | | 171,054 | | | | 75,312 | | | | 7,207 | | | | 102,439 | | | | 159,525 | | | | 32,260 | |
| | | | | 22,368 | | | | 74,042 | | | | 7,772 | | | | 6,782 | | | | 3,660 | | | | 35,162 | | | | 39,006 | | | | 5,202 | |
| | | | | 155,340 | | | | 131,655 | | | | 105,077 | | | | 118,272 | | | | 77,286 | | | | 103,604 | | | | 96,347 | | | | 59,922 | |
| | | | | 38,748 | | | | 100,947 | | | | 12,950 | | | | 9,464 | | | | 6,949 | | | | 9,411 | | | | 39,995 | | | | 6,694 | |
| | | | | 47,041 | | | | 51,445 | | | | 17,776 | | | | 29,068 | | | | 21,759 | | | | 31,073 | | | | 42,395 | | | | 62,675 | |
| | | | | 70,563 | | | | 82,722 | | | | 14,945 | | | | 14,373 | | | | 6,360 | | | | 9,854 | | | | 38,555 | | | | 217,927 | |
| | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 212,743 | | | | 86,294 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 6,007,154 | | | | 7,494,264 | | | | 1,710,735 | | | | 1,582,124 | | | | 656,844 | | | | 1,392,382 | | | | 3,617,002 | | | | 2,209,720 | |
| | | | | (1,745,773 | ) | | | (339,462 | ) | | | (321,281 | ) | | | (92,668 | ) | | | — | | | | (63,578 | ) | | | (283,145 | ) | | | (1,386,152 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 4,261,381 | | | | 7,154,802 | | | | 1,389,454 | | | | 1,489,456 | | | | 656,844 | | | | 1,328,804 | | | | 3,333,857 | | | | 823,568 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | 11,007,603 | | | $ | 24,979,012 | | | $ | 7,803,299 | | | $ | 1,618,829 | | | $ | 1,844,394 | | | $ | 10,838,492 | | | $ | 4,251,886 | | | $ | 2,532,703 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | |
|
|
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | | $ | (6,842,612 | ) | | $ | (45,066,555 | ) | | $ | (4,354,537 | ) | | $ | (9,793,372 | ) | | $ | (2,063,641 | ) | | $ | 380,866 | | | $ | (6,486,013 | ) | | $ | (1,359,242 | ) |
| | | | | — | | | | (5,167 | ) | | | — | | | | — | | | | — | | | | — | | | | 298 | | | | — | |
| | | | | (364,621 | ) | | | (14,547,466 | ) | | | — | | | | (2,610,093 | ) | | | 143,623 | | | | 2,849,110 | | | | 9,261,384 | | | | — | |
| | | | | — | | | | 1,613,630 | | | | — | | | | 452,341 | | | | — | | | | (149,373 | ) | | | — | | | | — | |
| | | | | — | | | | 1,422 | | | | — | | | | 3,220,125 | | | | — | | | | 2,140 | | | | — | | | | — | |
| | | | | — | | | | (7,945 | ) | | | — | | | | (1,367 | ) | | | — | | | | 345,823 | | | | 90,540 | | | | — | |
| | | | | — | | | | 4,721,926 | | | | — | | | | (3,331,694 | ) | | | — | | | | (149,613 | ) | | | (1,309,005 | ) | | | — | |
| | | | | 843 | | | | (2,078,229 | ) | | | — | | | | 15,615,971 | | | | — | | | | 3,565,568 | | | | 9,965,706 | | | | — | |
| | | | | (412,192 | ) | | | (312,451 | ) | | | — | | | | (426,480 | ) | | | — | | | | (260,081 | ) | | | (588,623 | ) | | | — | |
| | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 3,014,305 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | (7,618,582 | ) | | | (55,680,835 | ) | | | (4,354,537 | ) | | | 3,125,431 | | | | (1,920,018 | ) | | | 6,584,440 | | | | 10,934,287 | | | | 1,655,063 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | | | (160,680,359 | )(a) | | | (157,085,032 | ) | | | (20,402,345 | ) | | | (28,063,535 | ) | | | (8,625,164 | ) | | | (24,221,721 | ) | | | (23,985,940 | ) | | | (7,019,402 | ) |
| | | | | — | | | | (95,321 | ) | | | — | | | | — | | | | — | | | | — | | | | (15,849 | ) | | | — | |
| | | | | (21,972 | ) | | | (1,469,136 | ) | | | — | | | | (703,917 | ) | | | 8,870 | | | | 37,927 | | | | 605,589 | | | | — | |
| | | | | — | | | | (1,403,767 | ) | | | — | | | | (554,378 | ) | | | — | | | | (805,858 | ) | | | — | | | | — | |
| | | | | — | | | | — | | | | — | | | | 456,476 | | | | — | | | | — | | | | — | | | | — | |
| | | | | — | | | | 3,527,733 | | | | — | | | | 429,065 | | | | — | | | | (333,823 | ) | | | 826,381 | | | | — | |
| | | | | — | | | | (2,842 | ) | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | — | | | | (245,819 | ) | | | — | | | | 2,774,811 | | | | — | | | | 280,965 | | | | 1,680,519 | | | | — | |
| | | | | (57,995 | ) | | | (27,621 | ) | | | — | | | | (69,685 | ) | | | — | | | | (72,846 | ) | | | 147,528 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | (160,760,326 | ) | | | (156,801,805 | ) | | | (20,402,345 | ) | | | (25,731,163 | ) | | | (8,616,294 | ) | | | (25,115,356 | ) | | | (20,741,772 | ) | | | (7,019,402 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | | | (168,378,908 | ) | | | (212,482,640 | ) | | | (24,756,882 | ) | | | (22,605,732 | ) | | | (10,536,312 | ) | | | (18,530,916 | ) | | | (9,807,485 | ) | | | (5,364,339 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | (157,371,305 | ) | | $ | (187,503,628 | ) | | $ | (16,953,583 | ) | | $ | (20,986,903 | ) | | $ | (8,691,918 | ) | | $ | (7,692,424 | ) | | $ | (5,555,599 | ) | | $ | (2,831,636 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
309
| | |
| | | |
| Statements of Changes in Net Assets | | |
| | |
| For the Years Ended August 31, 2022 and August 31, 2021 | | |
| | | | | | | | | | | | | | | | | | | | |
| | | Large Cap Equity Fund | | | Small-Mid Cap Equity Fund | | | | |
| | | 2022 | | | 2021 | | | 2022 | | | 2021 | | | | |
| OPERATIONS: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income | | $ | 15,594,335 | | | $ | 18,151,693 | | | $ | 3,736,593 | | | $ | 4,232,796 | | | | | |
Net realized gain (loss) | | | 172,087,177 | | | | 177,240,888 | | | | 62,024,679 | | | | 104,861,913 | | | | | |
Change in unrealized appreciation (depreciation) | | | (500,847,239 | ) | | | 355,944,288 | | | | (166,489,650 | ) | | | 128,776,009 | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Increase (Decrease) in Net Assets from Operations | | | (313,165,727 | ) | | | 551,336,869 | | | | (100,728,378 | ) | | | 237,870,718 | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| DISTRIBUTIONS TO SHAREHOLDERS FROM (NOTE 1): | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Distributable earnings | | | (218,376,686 | ) | | | (61,943,407 | ) | | | (122,000,592 | ) | | | (29,404,878 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | |
Decrease in Net Assets from Distributions to Shareholders | | | (218,376,686 | ) | | | (61,943,407 | ) | | | (122,000,592 | ) | | | (29,404,878 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | |
| FUND SHARE TRANSACTIONS (NOTE 4): | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net proceeds from sale of shares | | | 486,481,852 | | | | 405,330,578 | | | | 233,183,806 | | | | 141,489,301 | | | | | |
Reinvestment of distributions | | | 218,373,626 | | | | 61,942,619 | | | | 121,999,032 | | | | 29,404,580 | | | | | |
Cost of shares repurchased | | | (663,173,550 | ) | | | (635,750,721 | ) | | | (268,172,019 | ) | | | (322,250,629 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | |
Increase (Decrease) in Net Assets from Fund Share Transactions | | | 41,681,928 | | | | (168,477,524 | ) | | | 87,010,819 | | | | (151,356,748 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | |
Increase (Decrease) in Net Assets | | | (489,860,485 | ) | | | 320,915,938 | | | | (135,718,151 | ) | | | 57,109,092 | | | | | |
| NET ASSETS: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Beginning of year | | | 2,174,716,805 | | | | 1,853,800,867 | | | | 677,270,077 | | | | 620,160,985 | | | | | |
| | | | | | | | | | | | | | | | | | | | |
End of year | | $ | 1,684,856,320 | | | $ | 2,174,716,805 | | | $ | 541,551,926 | | | $ | 677,270,077 | | | | | |
| | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
310
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | International Equity Fund | | | Emerging Markets Equity Fund | | | Core Fixed Income Fund | | | High Yield Fund | |
| | | | 2022 | | | 2021 | | | 2022 | | | 2021 | | | 2022 | | | 2021 | | | 2022 | | | 2021 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | | $ | 26,807,091 | | | $ | 20,641,877 | | | $ | 11,007,603 | | | $ | 6,989,809 | | | $ | 24,979,012 | | | $ | 16,976,359 | | | $ | 7,803,299 | | | $ | 13,149,403 | |
| | | | | 48,710,814 | | | | 167,774,811 | | | | (7,618,582 | ) | | | 69,473,543 | | | | (55,680,835 | ) | | | 11,822,544 | | | | (4,354,537 | ) | | | 15,090,344 | |
| | | | | (389,470,051 | ) | | | 156,535,334 | | | | (160,760,326 | ) | | | 38,860,149 | | | | (156,801,805 | ) | | | (16,742,912 | ) | | | (20,402,345 | ) | | | (5,759,099 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | (313,952,146 | ) | | | 344,952,022 | | | | (157,371,305 | ) | | | 115,323,501 | | | | (187,503,628 | ) | | | 12,055,991 | | | | (16,953,583 | ) | | | 22,480,648 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | | | (119,339,071 | ) | | | (23,968,738 | ) | | | (22,917,354 | ) | | | (11,972,541 | ) | | | (36,006,413 | ) | | | (52,680,365 | ) | | | (8,225,582 | ) | | | (13,565,430 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | (119,339,071 | ) | | | (23,968,738 | ) | | | (22,917,354 | ) | | | (11,972,541 | ) | | | (36,006,413 | ) | | | (52,680,365 | ) | | | (8,225,582 | ) | | | (13,565,430 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | | | 416,349,552 | | | | 303,055,088 | | | | 201,338,210 | | | | 135,269,799 | | | | 521,340,855 | | | | 630,592,342 | | | | 36,057,337 | | | | 96,770,236 | |
| | | | | 119,336,497 | | | | 23,968,252 | | | | 22,916,953 | | | | 11,972,351 | | | | 36,008,324 | | | | 52,679,124 | | | | 8,226,664 | | | | 13,564,992 | |
| | | | | (412,033,900 | ) | | | (444,679,701 | ) | | | (125,860,875 | ) | | | (236,058,440 | ) | | | (293,194,927 | ) | | | (312,565,000 | ) | | | (119,695,578 | ) | | | (188,399,602 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
|
|
| | | 123,652,149 | | | | (117,656,361 | ) | | | 98,394,288 | | | | (88,816,290 | ) | | | 264,154,252 | | | | 370,706,466 | | | | (75,411,577 | ) | | | (78,064,374 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | (309,639,068 | ) | | | 203,326,923 | | | | (81,894,371 | ) | | | 14,534,670 | | | | 40,644,211 | | | | 330,082,092 | | | | (100,590,742 | ) | | | (69,149,156 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | | | 1,457,655,472 | | | | 1,254,328,549 | | | | 562,947,481 | | | | 548,412,811 | | | | 1,311,197,386 | | | | 981,115,294 | | | | 213,092,577 | | | | 282,241,733 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | 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 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
311
| | |
| | | |
| Statements of Changes in Net Assets | | |
| | |
| For the Years Ended August 31, 2022 and August 31, 2021 | | |
| | | | | | | | | | | | | | | | | | | | |
| | | International Fixed Income Fund | | | Municipal Bond Fund | | | | |
| | | 2022 | | | 2021 | | | 2022 | | | 2021 | | | | |
| OPERATIONS: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income | | $ | 1,618,829 | | | $ | 1,318,319 | �� | | $ | 1,844,394 | | | $ | 1,350,523 | | | | | |
Net realized gain (loss) | | | 3,125,431 | | | | 3,436,446 | | | | (1,920,018 | ) | | | 252,043 | | | | | |
Change in unrealized appreciation (depreciation) | | | (25,731,163 | ) | | | (2,169,043 | ) | | | (8,616,294 | ) | | | 610,323 | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Increase (Decrease) in Net Assets from Operations | | | (20,986,903 | ) | | | 2,585,722 | | | | (8,691,918 | ) | | | 2,212,889 | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| DISTRIBUTIONS TO SHAREHOLDERS FROM (NOTE 1): | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Distributable earnings | | | (4,340,961 | ) | | | (993,150 | ) | | | (2,081,496 | ) | | | (1,694,828 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | |
Decrease in Net Assets from Distributions to Shareholders | | | (4,340,961 | ) | | | (993,150 | ) | | | (2,081,496 | ) | | | (1,694,828 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | |
| FUND SHARE TRANSACTIONS (NOTE 4): | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net proceeds from sale of shares | | | 78,272,934 | | | | 61,446,770 | | | | 30,931,405 | | | | 42,586,476 | | | | | |
Reinvestment of distributions | | | 4,340,926 | | | | 993,140 | | | | 2,082,092 | | | | 1,694,319 | | | | | |
Cost of shares repurchased | | | (41,589,279 | ) | | | (43,465,854 | ) | | | (27,058,631 | ) | | | (22,177,139 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | |
Increase (Decrease) in Net Assets from Fund Share Transactions | | | 41,024,581 | | | | 18,974,056 | | | | 5,954,866 | | | | 22,103,656 | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Increase (Decrease) in Net Assets | | | 15,696,717 | | | | 20,566,628 | | | | (4,818,548 | ) | | | 22,621,717 | | | | | |
| NET ASSETS: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Beginning of year | | | 155,728,651 | | | | 135,162,023 | | | | 91,769,047 | | | | 69,147,330 | | | | | |
| | | | | | | | | | | | | | | | | | | | |
End of year | | $ | 171,425,368 | | | $ | 155,728,651 | | | $ | 86,950,499 | | | $ | 91,769,047 | | | | | |
| | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
312
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | Inflation-Linked Fixed Income Fund | | | Ultra-Short Term Fixed Income Fund | | | Alternative Strategies Fund | |
| | | | 2022 | | | 2021 | | | 2022 | | | 2021 | | | 2022 | | | 2021 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | | | $ | 10,838,492 | | | $ | 7,806,610 | | | $ | 4,251,886 | | | $ | 2,087,748 | | | $ | 2,532,703 | | | $ | 886,233 | |
| | | | | 6,584,440 | | | | 3,759,432 | | | | 10,934,287 | | | | (1,525,707 | ) | | | 1,655,063 | | | | 1,089,445 | |
| | | | | (25,115,356 | ) | | | (2,841,458 | ) | | | (20,741,772 | ) | | | 1,928,811 | | | | (7,019,402 | ) | | | 4,616,128 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | (7,692,424 | ) | | | 8,724,584 | | | | (5,555,599 | ) | | | 2,490,852 | | | | (2,831,636 | ) | | | 6,591,806 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | | | | (16,180,465 | ) | | | (8,155,061 | ) | | | (6,020,068 | ) | | | (6,604,435 | ) | | | (926,844 | ) | | | (482,881 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | (16,180,465 | ) | | | (8,155,061 | ) | | | (6,020,068 | ) | | | (6,604,435 | ) | | | (926,844 | ) | | | (482,881 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | | | | 27,701,819 | | | | 68,928,239 | | | | 264,301,424 | | | | 196,780,874 | | | | 69,749,277 | | | | 85,736,630 | |
| | | | | 16,181,288 | | | | 8,153,862 | | | | 6,020,038 | | | | 6,604,469 | | | | 926,844 | | | | 482,881 | |
| | | | | (66,020,546 | ) | | | (85,167,803 | ) | | | (194,914,743 | ) | | | (155,412,273 | ) | | | (39,018,518 | ) | | | (12,798,941 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
|
|
| | | (22,137,439 | ) | | | (8,085,702 | ) | | | 75,406,719 | | | | 47,973,070 | | | | 31,657,603 | | | | 73,420,570 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | (46,010,328 | ) | | | (7,516,179 | ) | | | 63,831,052 | | | | 43,859,487 | | | | 27,899,123 | | | | 79,529,495 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | | | | 148,276,815 | | | | 155,792,994 | | | | 441,955,877 | | | | 398,096,390 | | | | 118,865,340 | | | | 39,335,845 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | (102,266,487 | ) | | $ | 148,276,815 | | | $ | 505,786,929 | | | $ | 441,955,877 | | | $ | 146,764,463 | | | $ | 118,865,340 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
313
| | |
| For the Year Ended August 31, 2022 | | |
| | | | | | | | |
| | | 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 | | | (20,986,903 | ) | | | (7,692,424 | ) |
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 | | | (555,609,290 | ) | | | (97,812,742 | ) |
Proceeds from the sale and maturity of long-term investments | | | 539,816,601 | | | | 142,297,037 | |
Proceeds from short-term investments, net | | | (44,167,557 | ) | | | (985,623 | ) |
Decrease to the principal amount of inflation-indexed bonds | | | (166,233 | ) | | | (10,682,465 | ) |
Proceeds from forward sale commitments | | | 404,473,876 | | | | 788,066 | |
Payments on forward sale commitments | | | (389,540,912 | ) | | | (788,066 | ) |
Change in net unrealized appreciation from forward sale commitments | | | (456,476 | ) | | | — | |
Change in net unrealized depreciation from unaffiliated investments | | | 28,063,535 | | | | 24,221,721 | |
Change in net unrealized depreciation from options contracts written | | | 554,378 | | | | 805,858 | |
Change in net unrealized appreciation on open OTC swap contracts | | | (1,137,599 | ) | | | — | |
Increase/Decrease in variation margin on open centrally cleared swap contracts | | | 80,117 | | | | (11,885 | ) |
Net amortization (accretion) of premiums (discounts) of investments | | | 9,466 | | | | 299,088 | |
Net realized gain/loss from unaffiliated investments | | | 9,793,372 | | | | (380,866 | ) |
Increase in premium received on options contracts written | | | 42,261 | | | | 64,371 | |
Increase in variation margin on open futures contracts | | | (91,926 | ) | | | (384 | ) |
Increase/Decrease in receivable for securities sold | | | 1,178,914 | | | | (1,308,454 | ) |
Increase in receivable for TBA securities sold | | | (51,894,876 | ) | | | (2,467,139 | ) |
Increase/Decrease in dividends and interest receivable from unaffiliated investments | | | 98,665 | | | | (7,203 | ) |
Increase in deposits for collateral with counterparty | | | (2,460,000 | ) | | | (293,000 | ) |
Increase in net upfront payments received/paid on OTC open swap contracts | | | (40,363 | ) | | | — | |
Decrease for due to custodian | | | (1,822 | ) | | | — | |
Increase in prepaid trustees expenses | | | (3,415 | ) | | | — | |
Increase/Decrease in prepaid expenses | | | 6,563 | | | | (17,203 | ) |
Change in net unrealized appreciation on open forward foreign currency contracts | | | (2,774,811 | ) | | | (280,965 | ) |
Increase/Decrease in payable for securities purchased | | | (2,820,019 | ) | | | 1,377,459 | |
Increase in payable for TBA securities purchased | | | 47,395,712 | | | | 3,444 | |
Increase in deposits for collateral from counterparty | | | 2,890,000 | | | | 160,000 | |
Increase/Decrease in investment management fee payable | | | 9,541 | | | | (15,412 | ) |
Increase in interest expense payable | | | — | | | | 16,480 | |
Decrease in custody fee payable | | | (25,033 | ) | | | (11,126 | ) |
Increase/Decrease in transfer agent fees payable | | | 681 | | | | (1,145 | ) |
Decrease in trustees’ fees payable | | | — | | | | (363 | ) |
Increase/Decrease in accrued expenses | | | (3,672 | ) | | | 84,969 | |
| | | | | | | | |
Net cash and foreign currency provided by/used in operating activities | | | (37,767,225 | ) | | | 47,362,028 | |
| | | | | | | | |
| | |
Cash Flows Provided by/Used in Financing Activities: | | | | | | | | |
Proceeds from sale-buyback transactions | | | — | | | | 455,468,608 | |
Payments on sale-buyback transactions | | | — | | | | (458,121,345 | ) |
Payments on reverse repurchase agreements | | | — | | | | (5,365,256 | ) |
Proceeds from sale of shares | | | 78,742,805 | | | | 28,173,650 | |
Cost of shares repurchased | | | (40,918,677 | ) | | | (66,028,342 | ) |
Distributions to shareholders, net of reinvestments | | | (35 | ) | | | (236 | ) |
| | | | | | | | |
Net cash and foreign currency provided by/used in financing activities | | | 37,824,093 | | | | (45,872,921 | ) |
| | | | | | | | |
Net increase in cash and foreign currency (a) | | | 56,868 | | | | 1,489,107 | |
| | | | | | | | |
| | |
Cash and Foreign Currency: | | | | | | | | |
Cash, cash equivalents and foreign cash at the beginning of the year | | | 261,010 | | | | 852,227 | |
| | | | | | | | |
Cash, cash equivalents and foreign cash at end of the year | | | 317,878 | | | | 2,341,334 | |
| | | | | | | | |
| | |
Non-Cash Financing Activities: | | | | | | | | |
Reinvestment of distributions | | | (4,340,926 | ) | | | (16,181,288 | ) |
| | | | | | | | |
| (a) | Includes net change in unrealized depreciation on foreign currency of $(80,093) and $(114,072) for International Fixed Income Fund and Inflation-Linked Fixed Income Fund, respectively. |
See Notes to Financial Statements.
314
For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:
| | | | | | | | | | | | | | | | | | | | |
|
| Large Cap Equity Fund | |
| | | 2022 | | | 2021 | | | 2020 | | | 2019 | | | 2018 | |
Net Asset Value, Beginning of Year | | | $27.58 | | | $ | 21.62 | | | $ | 19.10 | | | $ | 21.31 | | | $ | 18.76 | |
| | | | | | | | | | | | | | | | | | | | |
| Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income(1) | | | 0.20 | | | | 0.22 | | | | 0.26 | | | | 0.27 | | | | 0.26 | |
Net realized and unrealized gain (loss) | | | (3.96 | ) | | | 6.49 | | | | 3.23 | | | | (0.24 | ) | | | 3.18 | |
| | | | | | | | | | | | | | | | | | | | |
Total Income (Loss) from Operations | | | (3.76 | ) | | | 6.71 | | | | 3.49 | | | | 0.03 | | | | 3.44 | |
| | | | | | | | | | | | | | | | | | | | |
| Less Distributions from: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.20 | ) | | | (0.18 | ) | | | (0.20 | ) | | | (0.34 | ) | | | (0.24 | ) |
Net realized gain | | | (2.71 | ) | | | (0.57 | ) | | | (0.77 | ) | | | (1.90 | ) | | | (0.65 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (2.91 | ) | | | (0.75 | ) | | | (0.97 | ) | | | (2.24 | ) | | | (0.89 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Year | | | $20.91 | | | $ | 27.58 | | | $ | 21.62 | | | $ | 19.10 | | | $ | 21.31 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return†(2) | | | (15.44 | )% | | | 31.79 | % | | | 18.85 | % | | | 1.32 | % | | | 18.89 | % |
Net Assets, End of Year (millions) | | | $1,685 | | | $ | 2,175 | | | $ | 1,854 | | | $ | 1,554 | | | $ | 1,737 | |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | 0.69 | % | | | 0.68 | % | | | 0.70 | % | | | 0.69 | % | | | 0.69 | % |
Net expenses(3) | | | 0.48 | | | | 0.47 | | | | 0.49 | | | | 0.48 | | | | 0.48 | |
Net investment income | | | 0.82 | | | | 0.91 | | | | 1.33 | | | | 1.43 | | | | 1.29 | |
Portfolio Turnover Rate | | | 20 | % | | | 15 | % | | | 21 | % | | | 13 | % | | | 29 | % |
| (1) | Per share amounts have been calculated using the average shares method. |
| (2) | 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. |
| (3) | Reflects fee waivers and/or expense reimbursements. |
| † | Calculated based on the net asset value as of the last business day of the period. |
See Notes to Financial Statements.
315
For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:
| | | | | | | | | | | | | | | | | | | | |
|
| Small-Mid Cap Equity Fund | |
| | | 2022 | | | 2021 | | | 2020 | | | 2019 | | | 2018 | |
Net Asset Value, Beginning of Year | | | $24.35 | | | $ | 18.01 | | | $ | 18.60 | | | $ | 23.06 | | | $ | 19.53 | |
| | | | | | | | | | | | | | | | | | | | |
| Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income(1) | | | 0.12 | | | | 0.13 | | | | 0.13 | | | | 0.12 | | | | 0.10 | |
Net realized and unrealized gain (loss) | | | (3.25 | ) | | | 7.10 | | | | 1.48 | | | | (1.83 | ) | | | 4.14 | |
| | | | | | | | | | | | | | | | | | | | |
Total Income (Loss) from Operations | | | (3.13 | ) | | | 7.23 | | | | 1.61 | | | | (1.71 | ) | | | 4.24 | |
| | | | | | | | | | | | | | | | | | | | |
| Less Distributions from: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.08 | ) | | | (0.14 | ) | | | (0.10 | ) | | | (0.10 | ) | | | (0.03 | ) |
Net realized gain | | | (4.58 | ) | | | (0.75 | ) | | | (2.10 | ) | | | (2.65 | ) | | | (0.68 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (4.66 | ) | | | (0.89 | ) | | | (2.20 | ) | | | (2.75 | ) | | | (0.71 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Year | | | $16.56 | | | $ | 24.35 | | | $ | 18.01 | | | $ | 18.60 | | | $ | 23.06 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return†(2) | | | (15.89 | )% | | | 41.14 | % | | | 8.78 | % | | | (6.25 | )% | | | 22.17 | % |
Net Assets, End of Year (millions) | | $ | 542 | | | $ | 677 | | | $ | 620 | | | $ | 423 | | | $ | 520 | |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | 0.93 | % | | | 0.92 | % | | | 0.96 | % | | | 0.98 | % | | | 0.92 | % |
Net expenses(3) | | | 0.59 | | | | 0.58 | | | | 0.62 | | | | 0.66 | | | | 0.61 | |
Net investment income | | | 0.63 | | | | 0.61 | | | | 0.77 | | | | 0.63 | | | | 0.47 | |
Portfolio Turnover Rate | | | 41 | % | | | 29 | % | | | 45 | % | | | 65 | % | | | 34 | % |
| (1) | Per share amounts have been calculated using the average shares method. |
| (2) | 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. |
| (3) | Reflects fee waivers and/or expense reimbursements. |
| † | Calculated based on the net asset value as of the last business day of the period. |
See Notes to Financial Statements.
316
For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:
| | | | | | | | | | | | | | | | | | | | |
|
| International Equity Fund | |
| | | 2022 | | | 2021 | | | 2020 | | | 2019 | | | 2018 | |
Net Asset Value, Beginning of Year | | | $15.54 | | | $ | 12.27 | | | $ | 11.59 | | | $ | 12.64 | | | $ | 12.34 | |
| | | | | | | | | | | | | | | | | | | | |
| Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income(1) | | | 0.27 | | | | 0.21 | | | | 0.17 | | | | 0.28 | | | | 0.27 | |
Net realized and unrealized gain (loss) | | | (3.34 | ) | | | 3.30 | | | | 0.84 | | | | (1.09 | ) | | | 0.24 | |
| | | | | | | | | | | | | | | | | | | | |
Total Income (Loss) from Operations | | | (3.07 | ) | | | 3.51 | | | | 1.01 | | | | (0.81 | ) | | | 0.51 | |
| | | | | | | | | | | | | | | | | | | | |
| Less Distributions from: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.33 | ) | | | (0.24 | ) | | | (0.33 | ) | | | (0.24 | ) | | | (0.21 | ) |
Net realized gain | | | (0.95 | ) | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (1.28 | ) | | | (0.24 | ) | | | (0.33 | ) | | | (0.24 | ) | | | (0.21 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Year | | | $11.19 | | | $ | 15.54 | | | $ | 12.27 | | | $ | 11.59 | | | $ | 12.64 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return†(2) | | | (21.37 | )% | | | 28.93 | % | | | 8.64 | % | | | (6.34 | )% | | | 4.15 | % |
Net Assets, End of Year (millions) | | | $1,148 | | | $ | 1,458 | | | $ | 1,254 | | | $ | 1,311 | | | $ | 1,677 | |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | 0.85 | % | | | 0.84 | % | | | 0.87 | % | | | 0.84 | % | | | 0.83 | % |
Net expenses(3) | | | 0.67 | | | | 0.67 | | | | 0.71 | | | | 0.68 | | | | 0.66 | |
Net investment income | | | 2.01 | | | | 1.50 | | | | 1.44 | | | | 2.40 | | | | 2.07 | |
Portfolio Turnover Rate | | | 38 | % | | | 52 | % | | | 39 | % | | | 28 | % | | | 41 | % |
| (1) | Per share amounts have been calculated using the average shares method. |
| (2) | 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. |
| (3) | Reflects fee waivers and/or expense reimbursements. |
| † | Calculated based on the net asset value as of the last business day of the period. |
See Notes to Financial Statements.
317
For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:
| | | | | | | | | | | | | | | | | | | | |
|
| Emerging Markets Equity Fund | |
| | | 2022 | | | 2021 | | | 2020 | | | 2019 | | | 2018 | |
Net Asset Value, Beginning of Year | | | $17.44 | | | $ | 14.67 | | | $ | 14.00 | | | $ | 14.29 | | | $ | 15.33 | |
| | | | | | | | | | | | | | | | | | | | |
| Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income(1) | | | 0.30 | | | | 0.20 | | | | 0.20 | | | | 0.27 | | | | 0.22 | |
Net realized and unrealized gain (loss) | | | (4.65 | ) | | | 2.90 | | | | 0.75 | | | | (0.34 | ) | | | (1.06 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Income (Loss) from Operations | | | (4.35 | ) | | | 3.10 | | | | 0.95 | | | | (0.07 | ) | | | (0.84 | ) |
| | | | | | | | | | | | | | | | | | | | |
| Less Distributions from: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.29 | ) | | | (0.33 | ) | | | (0.28 | ) | | | (0.22 | ) | | | (0.20 | ) |
Net realized gain | | | (0.41 | ) | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.70 | ) | | | (0.33 | ) | | | (0.28 | ) | | | (0.22 | ) | | | (0.20 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Year | | | $12.39 | | | $ | 17.44 | | | $ | 14.67 | | | $ | 14.00 | | | $ | 14.29 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return†(2) | | | (25.82 | )% | | | 21.28 | % | | | 6.79 | % | | | (0.40 | )% | | | (5.55 | )% |
Net Assets, End of Year (millions) | | $ | 481 | | | $ | 563 | | | $ | 548 | | | $ | 493 | | | $ | 498 | |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | 1.15 | % | | | 1.12 | % | | | 1.15 | % | | | 1.13 | % | | | 1.11 | % |
Net expenses(3) | | | 0.81 | | | | 0.80 | | | | 0.84 | | | | 0.82 | | | | 0.80 | |
Net investment income | | | 2.10 | | | | 1.18 | | | | 1.44 | | | | 1.95 | | | | 1.42 | |
Portfolio Turnover Rate | | | 14 | % | | | 53 | % | | | 23 | % | | | 22 | % | | | 24 | % |
| (1) | Per share amounts have been calculated using the average shares method. |
| (2) | 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. |
| (3) | Reflects fee waivers and/or expense reimbursements. |
| † | Calculated based on the net asset value as of the last business day of the period. |
See Notes to Financial Statements.
318
For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:
| | | | | | | | | | | | | | | | | | | | |
|
| Core Fixed Income Fund | |
| | | 2022 | | | 2021 | | | 2020 | | | 2019 | | | 2018 | |
Net Asset Value, Beginning of Year | | $ | 8.39 | | | $ | 8.79 | | | $ | 8.42 | | | $ | 7.86 | | | $ | 8.19 | |
| | | | | | | | | | | | | | | | | | | | |
| Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income(1) | | | 0.14 | | | | 0.13 | | | | 0.19 | | | | 0.23 | | | | 0.20 | |
Net realized and unrealized gain (loss) | | | (1.20 | ) | | | (0.08 | ) | | | 0.42 | | | | 0.57 | | | | (0.31 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Income (Loss) from Operations | | | (1.06 | ) | | | 0.05 | | | | 0.61 | | | | 0.80 | | | | (0.11 | ) |
| | | | | | | | | | | | | | | | | | | | |
| Less Distributions from: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (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 | | | (0.21 | ) | | | (0.45 | ) | | | (0.24 | ) | | | (0.24 | ) | | | (0.22 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Year | | $ | 7.12 | | | $ | 8.39 | | | $ | 8.79 | | | $ | 8.42 | | | $ | 7.86 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return†(2) | | | (12.86 | )% | | | 0.58 | % | | | 7.46 | % | | | 10.39 | % | | | (1.35 | )% |
Net Assets, End of Year (millions) | | $ | 1,352 | | | $ | 1,311 | | | $ | 981 | | | $ | 1,204 | | | $ | 867 | |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | 0.56 | % | | | 0.56 | % | | | 0.58 | % | | | 0.57 | % | | | 0.57 | % |
Net expenses(3) | | | 0.53 | | | | 0.54 | | | | 0.56 | | | | 0.56 | | | | 0.56 | |
Net investment income | | | 1.85 | | | | 1.57 | | | | 2.27 | | | | 2.85 | | | | 2.49 | |
Portfolio Turnover Rate | | | 238 | % | | | 227 | % | | | 216 | % | | | 210 | % | | | 253 | % |
| (1) | Per share amounts have been calculated using the average shares method. |
| (2) | 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. |
| (3) | Reflects fee waivers and/or expense reimbursements. |
| † | Calculated based on the net asset value as of the last business day of the period. |
See Notes to Financial Statements.
319
For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:
| | | | | | | | | | | | | | | | | | | | |
|
| High Yield Fund | |
| | | 2022 | | | 2021 | | | 2020 | | | 2019 | | | 2018 | |
Net Asset Value, Beginning of Year | | $ | 3.72 | | | $ | 3.61 | | | $ | 3.76 | | | $ | 3.77 | | | $ | 3.86 | |
| | | | | | | | | | | | | | | | | | | | |
| Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income(1) | | | 0.17 | | | | 0.18 | | | | 0.17 | | | | 0.19 | | | | 0.20 | |
Net realized and unrealized gain (loss) | | | (0.56 | ) | | | 0.11 | | | | (0.15 | ) | | | — | | | | (0.08 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Income (Loss) from Operations | | | (0.39 | ) | | | 0.29 | | | | 0.02 | | | | 0.19 | | | | 0.12 | |
| | | | | | | | | | | | | | | | | | | | |
| Less Distributions from: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.19 | ) | | | (0.18 | ) | | | (0.17 | ) | | | (0.20 | ) | | | (0.21 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Year | | $ | 3.14 | | | $ | 3.72 | | | $ | 3.61 | | | $ | 3.76 | | | $ | 3.77 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return†(2) | | | (10.88 | )% | | | 8.61 | % | | | 0.14 | % | | | 5.58 | % | | | 3.20 | % |
Net Assets, End of Year (millions) | | $ | 113 | | | $ | 213 | | | $ | 282 | | | $ | 49 | | | $ | 58 | |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | 1.07 | % | | | 0.96 | % | | | 1.07 | % | | | 1.32 | % | | | 1.17 | % |
Net expenses(3) | | | 0.87 | | | | 0.76 | | | | 0.86 | | | | 1.12 | | | | 0.97 | |
Net investment income | | | 4.88 | | | | 4.79 | | | | 4.85 | | | | 5.09 | | | | 5.27 | |
Portfolio Turnover Rate | | | 46 | % | | | 117 | % | | | 84 | % | | | 43 | % | | | 57 | % |
| (1) | Per share amounts have been calculated using the average shares method. |
| (2) | 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. |
| (3) | Reflects fee waivers and/or expense reimbursements. |
| † | Calculated based on the net asset value as of the last business day of the period. |
See Notes to Financial Statements.
320
For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:
| | | | | | | | | | | | | | | | | | | | |
|
| International Fixed Income Fund | |
| | | 2022 | | | 2021 | | | 2020 | | | 2019 | | | 2018 | |
Net Asset Value, Beginning of Year | | $ | 8.12 | | | $ | 8.03 | | | $ | 8.35 | | | $ | 7.86 | | | $ | 7.78 | |
| | | | | | | | | | | | | | | | | | | | |
| Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income(1) | | | 0.07 | | | | 0.07 | | | | 0.20 | | | | 0.06 | | | | 0.14 | |
Net realized and unrealized gain (loss) | | | (0.98 | ) | | | 0.08 | | | | (0.15 | ) | | | 0.70 | | | | 0.03 | |
| | | | | | | | | | | | | | | | | | | | |
Total Income (Loss) from Operations | | | (0.91 | ) | | | 0.15 | | | | 0.05 | | | | 0.76 | | | | 0.17 | |
| | | | | | | | | | | | | | | | | | | | |
| Less Distributions from: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.12 | ) | | | — | | | | (0.35 | ) | | | (0.27 | ) | | | (0.09 | ) |
Net realized gain | | | (0.09 | ) | | | (0.06 | ) | | | (0.02 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.21 | ) | | | (0.06 | ) | | | (0.37 | ) | | | (0.27 | ) | | | (0.09 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Year | | $ | 7.00 | | | $ | 8.12 | | | $ | 8.03 | | | $ | 8.35 | | | $ | 7.86 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return†(2) | | | (11.54 | )% | | | 1.86 | % | | | 0.75 | % | | | 10.01 | % | | | 2.25 | % |
Net Assets, End of Year (millions) | | $ | 171 | | | $ | 156 | | | $ | 135 | | | $ | 147 | | | $ | 145 | |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
Gross expenses(3) | | | 0.93 | % | | | 0.97 | % | | | 1.16 | % | | | 1.24 | % | | | 1.01 | % |
Net expenses(3)(4) | | | 0.88 | | | | 0.92 | | | | 1.11 | | | | 1.19 | | | | 0.95 | |
Net investment income | | | 0.95 | | | | 0.92 | | | | 2.49 | | | | 0.77 | | | | 1.76 | |
Portfolio Turnover Rate | | | 312 | % | | | 402 | % | | | 437 | % | | | 265 | % | | | 203 | % |
| (1) | Per share amounts have been calculated using the average shares method. |
| (2) | 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. |
| (3) | Ratio includes interest expense on reverse repurchase agreements and/or sale-buyback transactions which represents 0.00%, less than 0.005%, 0.09%, 0.15% and 0.04%, respectively. |
| (4) | Reflects fee waivers and/or expense reimbursements. |
| † | Calculated based on the net asset value as of the last business day of the period. |
See Notes to Financial Statements.
321
For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:
| | | | | | | | | | | | | | | | | | | | |
|
| Municipal Bond Fund | |
| | | 2022 | | | 2021 | | | 2020 | | | 2019 | | | 2018 | |
Net Asset Value, Beginning of Year | | $ | 9.60 | | | $ | 9.53 | | | $ | 9.61 | | | $ | 9.11 | | | $ | 9.37 | |
| | | | | | | | | | | | | | | | | | | | |
| Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income(1) | | | 0.18 | | | | 0.17 | | | | 0.20 | | | | 0.23 | | | | 0.24 | |
Net realized and unrealized gain (loss) | | | (1.03 | ) | | | 0.12 | | | | (0.01 | ) | | | 0.52 | | | | (0.26 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Income (Loss) from Operations | | | (0.85 | ) | | | 0.29 | | | | 0.19 | | | | 0.75 | | | | (0.02 | ) |
| | | | | | | | | | | | | | | | | | | | |
| Less Distributions from: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.18 | ) | | | (0.17 | ) | | | (0.21 | ) | | | (0.22 | ) | | | (0.24 | ) |
Net realized gain | | | (0.02 | ) | | | (0.05 | ) | | | (0.06 | ) | | | (0.03 | ) | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.20 | ) | | | (0.22 | ) | | | (0.27 | ) | | | (0.25 | ) | | | (0.24 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Year | | $ | 8.55 | | | $ | 9.60 | | | $ | 9.53 | | | $ | 9.61 | | | $ | 9.11 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return†(2) | | | (8.91 | )% | | | 3.07 | % | | | 1.99 | % | | | 8.38 | % | | | (0.21 | )% |
Net Assets, End of Year (millions) | | $ | 87 | | | $ | 92 | | | $ | 69 | | | $ | 86 | | | $ | 64 | |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | 0.71 | % | | | 0.73 | % | | | 0.73 | % | | | 0.74 | % | | | 0.72 | % |
Net expenses | | | 0.71 | | | | 0.73 | | | | 0.73 | | | | 0.74 | | | | 0.72 | |
Net investment income | | | 1.99 | | | | 1.79 | | | | 2.16 | | | | 2.44 | | | | 2.61 | |
Portfolio Turnover Rate | | | 48 | % | | | 7 | % | | | 10 | % | | | 42 | % | | | 18 | % |
| (1) | Per share amounts have been calculated using the average shares method. |
| (2) | 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. |
| † | Calculated based on the net asset value as of the last business day of the period. |
See Notes to Financial Statements.
322
For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:
| | | | | | | | | | | | | | | | | | | | |
|
| Inflation-Linked Fixed Income Fund | |
| | | 2022 | | | 2021 | | | 2020 | | | 2019 | | | 2018 | |
Net Asset Value, Beginning of Year | | $ | 11.16 | | | $ | 11.13 | | | $ | 10.19 | | | $ | 9.79 | | | $ | 10.08 | |
| | | | | | | | | | | | | | | | | | | | |
| Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income(1) | | | 0.87 | | | | 0.56 | | | | 0.18 | | | | 0.24 | | | | 0.30 | |
Net realized and unrealized gain (loss) | | | (1.54 | ) | | | 0.07 | | | | 0.88 | | | | 0.38 | | | | (0.25 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Income (Loss) from Operations | | | (0.67 | ) | | | 0.63 | | | | 1.06 | | | | 0.62 | | | | 0.05 | |
| | | | | | | | | | | | | | | | | | | | |
| Less Distributions from: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.93 | ) | | | (0.60 | ) | | | (0.12 | ) | | | (0.22 | ) | | | (0.34 | ) |
Net realized gain | | | (0.39 | ) | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (1.32 | ) | | | (0.60 | ) | | | (0.12 | ) | | | (0.22 | ) | | | (0.34 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Year | | $ | 9.17 | | | $ | 11.16 | | | $ | 11.13 | | | $ | 10.19 | | | $ | 9.79 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return†(2) | | | (6.55 | )% | | | 5.87 | % | | | 10.38 | % | | | 6.42 | % | | | 0.55 | % |
Net Assets, End of Year (millions) | | $ | 102 | | | $ | 148 | | | $ | 156 | | | $ | 217 | | | $ | 240 | |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
Gross expenses(3) | | | 1.08 | % | | | 0.93 | % | | | 1.27 | % | | | 1.35 | % | | | 1.27 | % |
Net expenses(3)(4) | | | 1.03 | | | | 0.88 | | | | 1.22 | | | | 1.30 | | | | 1.22 | |
Net investment income | | | 8.43 | | | | 5.08 | | | | 1.76 | | | | 2.47 | | | | 3.07 | |
Portfolio Turnover Rate | | | 57 | % | | | 104 | % | | | 193 | % | | | 143 | % | | | 72 | % |
| (1) | Per share amounts have been calculated using the average shares method. |
| (2) | 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. |
| (3) | Ratio includes interest expense on reverse repurchase agreements and/or sale-buyback transactions which represents 0.17%, 0.03%, 0.35%, 0.55% and 0.49%, respectively. |
| (4) | Reflects fee waivers and/or expense reimbursements. |
| † | Calculated based on the net asset value as of the last business day of the period. |
See Notes to Financial Statements.
323
For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:
| | | | | | | | | | | | | | | | | | | | |
|
| Ultra-Short Term Fixed Income Fund | |
| | | 2022 | | | 2021 | | | 2020 | | | 2019 | | | 2018 | |
Net Asset Value, Beginning of Year | | $ | 9.89 | | | $ | 9.99 | | | $ | 9.90 | | | $ | 9.97 | | | $ | 9.99 | |
| | | | | | | | | | | | | | | | | | | | |
| Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income(1) | | | 0.08 | | | | 0.05 | | | | 0.18 | | | | 0.25 | | | | 0.19 | |
Net realized and unrealized gain (loss) | | | (0.17 | ) | | | 0.01 | | | | 0.06 | | | | (0.06 | ) | | | 0.02 | |
| | | | | | | | | | | | | | | | | | | | |
Total Income (Loss) from Operations | | | (0.09 | ) | | | 0.06 | | | | 0.24 | | | | 0.19 | | | | 0.21 | |
| | | | | | | | | | | | | | | | | | | | |
| Less Distributions from: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.11 | ) | | | (0.16 | ) | | | (0.15 | ) | | | (0.26 | ) | | | (0.23 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Year | | $ | 9.69 | | | $ | 9.89 | | | $ | 9.99 | | | $ | 9.90 | | | $ | 9.97 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return†(2) | | | (0.92 | )% | | | 0.61 | % | | | 2.36 | % | | | 2.07 | % | | | 2.09 | % |
Net Assets, End of Year (millions) | | $ | 506 | | | $ | 442 | | | $ | 398 | | | $ | 497 | | | $ | 507 | |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
Gross expenses(3) | | | 0.67 | % | | | 0.67 | % | | | 0.69 | % | | | 0.82 | % | | | 0.71 | % |
Net expenses(3)(4) | | | 0.62 | | | | 0.62 | | | | 0.64 | | | | 0.77 | | | | 0.66 | |
Net investment income | | | 0.79 | | | | 0.50 | | | | 1.78 | | | | 2.51 | | | | 1.90 | |
Portfolio Turnover Rate | | | 86 | % | | | 55 | % | | | 96 | % | | | 97 | % | | | 128 | % |
| (1) | Per share amounts have been calculated using the average shares method. |
| (2) | 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. |
| (3) | Ratio includes interest expense on reverse repurchase agreements and/or sale-buyback transactions which represents 0.02%, less than 0.005%, 0.02%, 0.07% and 0.04%, respectively. |
| (4) | Reflects fee waivers and/or expense reimbursements. |
| † | Calculated based on the net asset value as of the last business day of the period. |
See Notes to Financial Statements.
324
For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:
| | | | | | | | | | | | | | | | | | | | |
|
| Alternative Strategies Fund | |
| | | 2022 | | | 2021 | | | 2020 | | | 2019 | | | 2018(1) | |
Net Asset Value, Beginning of Year | | $ | 10.99 | | | $ | 10.04 | | | $ | 10.10 | | | $ | 9.88 | | | $ | 10.00 | |
| | | | | | | | | | | | | | | | | | | | |
| Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss)(2) | | | 0.20 | | | | 0.13 | | | | 0.15 | | | | 0.10 | | | | (0.09 | ) |
Net realized and unrealized gain (loss) | | | (0.42 | ) | | | 0.91 | | | | 0.10 | | | | 0.19 | | | | (0.03 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Income (Loss) from Operations | | | (0.22 | ) | | | 1.04 | | | | 0.25 | | | | 0.29 | | | | (0.12 | ) |
| | | | | | | | | | | | | | | | | | | | |
| Less Distributions from: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.07 | ) | | | (0.09 | ) | | | (0.28 | ) | | | (0.07 | ) | | | — | |
Net realized gain | | | (0.01 | ) | | | — | | | | (0.03 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.08 | ) | | | (0.09 | ) | | | (0.31 | ) | | | (0.07 | ) | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Year/Period | | $ | 10.69 | | | $ | 10.99 | | | $ | 10.04 | | | $ | 10.10 | | | $ | 9.88 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return†(3) | | | (2.06 | )% | | | 10.39 | % | | | 2.61 | % | | | 2.90 | % | | | (1.20 | )%(4) |
Net Assets, End of Year/Period (millions) | | $ | 147 | | | $ | 119 | | | $ | 39 | | | $ | 27 | | | $ | 6 | |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | 1.59 | % | | | 1.56 | % | | | 1.85 | % | | | 2.34 | % | | | 11.00 | %(5) |
Net expenses(6)(7) | | | 0.59 | | | | 0.56 | | | | 0.70 | | | | 0.88 | | | | 1.95 | (5) |
Net investment income (loss) | | | 1.83 | | | | 1.24 | | | | 1.52 | | | | 1.01 | | | | (1.72 | )(5) |
Portfolio Turnover Rate | | | 18 | % | | | 18 | % | | | 34 | % | | | 16 | % | | | 14 | %(4) |
| (1) | For the period from Fund inception (February 15, 2018) through the period ended August 31, 2018. |
| (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. |
| (6) | Reflects fee waivers and/or expense reimbursements. |
| (7) | 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 period. |
See Notes to Financial Statements.
325
| | |
| | | |
| Notes to Financial Statements | | |
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
326
| | |
| | | |
| Notes to Financial Statements | | |
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
327
| | |
| | | |
| Notes to Financial Statements | | |
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
August 31, 2022 | | | 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 | | $ | 121,233,352 | | | $ | 121,233,352 | | | $ | — | | | $ | — | |
Consumer Discretionary | | | 207,046,909 | | | | 207,046,909 | | | | — | | | | — | |
Consumer Staples | | | 91,275,179 | | | | 91,275,179 | | | | — | | | | — | |
Energy | | | 52,167,753 | | | | 52,167,753 | | | | — | | | | — | |
Financials | | | 157,343,432 | | | | 157,343,432 | | | | — | | | | — | |
Health Care | | | 241,850,778 | | | | 241,850,778 | | | | — | | | | — | |
Industrials | | | 177,907,628 | | | | 177,907,628 | | | | — | | | | — | |
Information Technology | | | 450,144,888 | | | | 450,144,888 | | | | — | | | | — | |
Materials | | | 44,358,748 | | | | 44,352,441 | | | | 6,307 | | | | — | |
Real Estate | | | 49,978,759 | | | | 49,978,759 | | | | — | | | | — | |
Utilities | | | 35,801,669 | | | | 35,801,669 | | | | — | | | | — | |
Closed End Mutual Fund Security: | | | | | | | | | | | | | | | | |
Financials | | | 19,217,124 | | | | 19,217,124 | | | | — | | | | — | |
Short-Term Investments: | | | | | | | | | |
Money Market Fund | | | 10,568,557 | | | | 10,568,557 | | | | — | | | | — | |
Time Deposits | | | 33,922,412 | | | | — | | | | 33,922,412 | | | | — | |
| | | | | | | | | | | | | | | | |
| Total Investments, at Value | | $ | 1,692,817,188 | | | $ | 1,658,888,469 | | | $ | 33,928,719 | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Security Lending Transactions — Liabilities | | $ | (10,568,557 | ) | | $ | — | | | $ | (10,568,557 | ) | | $ | — | |
| | | | | | | | | | | | | | | | |
| Other Financial Instruments — Assets | | | | | | | | | | | | | | | | |
Futures Contract | | $ | 32,213 | | | $ | 32,213 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Total Other Financial Instruments — Assets | | $ | 32,213 | | | $ | 32,213 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
328
| | |
| | | |
| Notes to Financial Statements | | |
| | | | | | | | | | | | | | | | |
| | | Total Fair Value at
August 31, 2022 | | | 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 | | $ | (3,779 | ) | | $ | (3,779 | ) | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Total Other Financial Instruments—Liabilities | | $ | (3,779 | ) | | $ | (3,779 | ) | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| Investments, at Value | | | | | | | | | | | | | | | | |
Common Stocks: | | | | | | | | | | | | | | | | |
Communication Services | | $ | 12,119,457 | | | $ | 12,119,457 | | | $ | — | | | $ | — | |
Consumer Discretionary | | | 42,026,969 | | | | 42,026,969 | | | | — | | | | — | |
Consumer Staples | | | 24,295,439 | | | | 24,295,439 | | | | — | | | | — | |
Energy | | | 22,124,063 | | | | 22,124,063 | | | | — | | | | — | |
Financials | | | 71,482,655 | | | | 71,482,655 | | | | — | | | | — | |
Health Care | | | 86,415,879 | * | | | 86,409,774 | | | | 6,105 | | | | — | * |
Industrials | | | 101,454,326 | | | | 101,454,326 | | | | — | | | | — | |
Information Technology | | | 84,995,115 | | | | 84,353,739 | | |
| 641,376
|
| | | — | |
Materials | | | 29,284,459 | * | | | 29,275,390 | | | | 9,069 | | | | — | * |
Real Estate | | | 33,558,628 | | | | 33,558,628 | | | | — | | | | — | |
Utilities | | | 17,085,206 | | | | 17,085,206 | | | | — | | | | — | |
Preferred Stocks: | | | | | | | | | | | | | | | | |
Financials | | | 3,114,350 | | | | 3,114,350 | | | | — | | | | — | |
Closed End Mutual Fund Securities: | | | | | | | | | | | | | | | | |
Financials | | | 977,565 | | | | 977,565 | | | | — | | | | — | |
Corporate Bonds & Notes | | | 699,461 | | | | — | | | | 699,461 | | | | — | |
Short-Term Investments: | | | | | | | | | |
Money Market Fund | | | 21,278,164 | | | | 21,278,164 | | | | — | | | | — | |
Time Deposits | | | 12,268,025 | | | | — | | | | 12,268,025 | | | | — | |
| | | | | | | | | | | | | | | | |
| Total Investments, at Value | | $ | 563,179,761 | * | | $ | 549,555,725 | | | $ | 13,624,036 | | | $ | — | * |
| | | | | | | | | | | | | | | | |
| Security Lending Transactions — Liabilities | | $ | (21,278,164 | ) | | $ | — | | | $ | (21,278,164 | ) | | $ | — | |
| | | | | | | | | | | | | | | | |
| Other Financial Instruments — Liabilities | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | (66,184 | ) | | $ | (66,184 | ) | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Total Other Financial Instruments —Liabilities | | $ | (66,184 | ) | | $ | (66,184 | ) | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| International Equity Fund | |
| Investments, at Value | | | | | | | | | | | | | | | | |
Common Stocks: | | | | | | | | | | | | | | | | |
France | | $ | 129,801,516 | | | $ | 387,521 | | | $ | 129,413,995 | | | $ | — | |
Germany | | | 78,424,539 | | | | — | | | | 78,424,539 | | | | — | |
Japan | | | 187,156,708 | | | | — | | | | 187,156,708 | | | | — | |
Switzerland | | | 104,681,934 | | | | 147,416 | | | | 104,534,518 | | | | — | |
United Kingdom | | | 201,280,185 | | | | 1,089,372 | | | | 200,190,813 | | | | — | |
Other Countries** | | | 401,180,392 | | | | 60,539,016 | | | | 340,641,376 | | | | — | |
Closed End Mutual Fund Security: | | | | | | | | | | | | | | | | |
United States | | | 1,640,896 | | | | 1,640,896 | | | | — | | | | — | |
329
| | |
| | | |
| Notes to Financial Statements | | |
| | | | | | | | | | | | | | | | |
| | | Total Fair Value at
August 31, 2022 | | | Unadjusted Quoted Prices
in Active Markets
for Identical Investments
(Level 1) | | | Significant Observable
Inputs (Level 2) | | | Significant
Unobservable
Inputs (Level 3) | |
Preferred Stocks: | | | | | | | | | | | | | | | | |
Germany | | $ | 1,279,263 | | | $ | — | | | $ | 1,279,263 | | | $ | — | |
Short-Term Investments: | | | | | | | | | |
Money Market Fund | | | 9,862,623 | | | | 9,862,623 | | | | — | | | | — | |
Time Deposits | | | 35,401,125 | | | | — | | | | 35,401,125 | | | | — | |
| | | | | | | | | | | | | | | | |
| Total — Investments, at Value | | $ | 1,150,709,181 | | | $ | 73,666,844 | | | $ | 1,077,042,337 | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Security Lending Transactions — Liabilities | | $ | (9,862,623 | ) | | $ | — | | | $ | (9,862,623 | ) | | $ | — | |
| | | | | | | | | | | | | | | | |
| Other Financial Instruments — Assets | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | 7,625 | | | $ | 7,625 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Total Other Financial Instruments — Assets | | $ | 7,625 | | | $ | 7,625 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Other Financial Instruments — Liabilities | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | (15,783 | ) | | $ | (15,783 | ) | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Total Other Financial Instruments — Liabilities | | $ | (15,783 | ) | | $ | (15,783 | ) | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Emerging Markets Equity Fund | |
| Investments, at Value | | | | | | | | | | | | | | | | |
Common Stocks: | | | | | | | | | | | | | | | | |
Brazil | | $ | 32,738,539 | | | $ | 32,738,539 | | | $ | — | | | $ | — | |
China | | | 128,744,142 | | | | 12,320,804 | | | | 116,423,338 | | | | — | |
India | | | 68,217,608 | | | | 11,458,817 | | | | 56,758,791 | | | | — | |
South Korea | | | 55,667,735 | | | | — | | | | 55,667,735 | | | | — | |
Taiwan | | | 57,433,108 | | | | 11,852,953 | | | | 45,580,155 | | | | — | |
Other Countries** | | | 113,987,898 | | | | 27,381,401 | | | | 86,565,571 | | | | 40,926 | |
Preferred Stocks: | | | | | | | | | | | | | | | | |
Brazil | | | 3,207,275 | | | | 3,207,275 | | | | — | | | | — | |
Chile | | | 361,587 | | | | 361,587 | | | | — | | | | — | |
Colombia | | | 85,938 | | | | 85,938 | | | | — | | | | — | |
Mexico | | | 149,024 | | | | 149,024 | | | | — | | | | — | |
Russia | | | 856 | | | | — | | | | 20 | | | | 836 | |
South Korea | | | 3,091,652 | | | | — | | | | 3,091,652 | | | | — | |
Rights: | | | | | | | | | | | | | | | | |
Brazil | | | 3,981 | | | | 3,981 | | | | — | | | | — | |
China | | | 2 | | | | — | | | | 2 | | | | — | |
Thailand | | | — | * | | | — | | | | — | | | | — | * |
Short-Term Investments: | | | | | | | | | |
Money Market Fund | | | 187,012 | | | | 187,012 | | | | — | | | | — | |
Time Deposits | | | 16,268,888 | | | | — | | | | 16,268,888 | | | | — | |
| | | | | | | | | | | | | | | | |
| Total — Investments, at Value | | $ | 480,145,245 | * | | $ | 99,747,331 | | | $ | 380,356,152 | | | $ | 41,762 | * |
| | | | | | | | | | | | | | | | |
330
| | |
| | | |
| Notes to Financial Statements | | |
| | | | | | | | | | | | | | | | |
| | | Total Fair Value at
August 31, 2022 | | | Unadjusted Quoted Prices
in Active Markets
for Identical Investments
(Level 1) | | | Significant Observable
Inputs (Level 2) | | | Significant
Unobservable
Inputs (Level 3) | |
| Security Lending Transactions — Liabilities | | $ | (187,012 | ) | | $ | — | | | $ | (187,012 | ) | | $ | — | |
| | | | | | | | | | | | | | | | |
| Other Financial Instruments — Liabilities | | | | | | | | | | | | | | | | |
Futures Contract | | $ | (11,342 | ) | | $ | (11,342 | ) | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Total Other Financial Instruments — Liabilities | | $ | (11,342 | ) | | $ | (11,342 | ) | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Core Fixed Income Fund | |
| Investments, at Value | | | | | | | | | | | | | | | | |
Corporate Bonds & Notes | | $ | 425,709,705 | * | | $ | — | | | $ | 425,709,705 | | | $ | — | * |
Mortgage-Backed Securities | | | 384,260,861 | | | | — | | | | 384,260,861 | | | | — | |
U.S. Government Agencies & Obligations | | | 352,842,225 | | | | — | | | | 352,842,225 | | | | — | |
Collateralized Mortgage Obligations | | | 148,485,395 | | | | — | | | | 148,485,395 | | | | — | |
Sovereign Bonds | | | 59,736,088 | | | | — | | | | 59,736,088 | | | | — | |
Asset-Backed Securities | | | 28,197,385 | | | | — | | | | 28,197,385 | | | | — | |
Senior Loans | | | 22,938,615 | | | | — | | | | 22,938,615 | | | | — | |
Municipal Bonds | | | 5,489,237 | | | | — | | | | 5,489,237 | | | | — | |
Common Stock: | | | | | | | | | | | | | | | | |
Wireless Telecommunication Services | | | 324,809 | | | | — | | | | — | | | | 324,809 | |
Right: | | | | | | | | | | | | | | | | |
Luxembourg | | | — | * | | | — | | | | — | | | | — | * |
Purchased Options | | | 222,419 | | | | 211,834 | | | | 10,585 | | | | — | |
Short-Term Investments: | | | | | | | | | |
Time Deposits | | | 32,869,668 | | | | — | | | | 32,869,668 | | | | — | |
U.S. Government Obligations | | | 19,925,995 | | | | — | | | | 19,925,995 | | | | — | |
| | | | | | | | | | | | | | | | |
| Total Investments, at Value | | $ | 1,481,002,402 | * | | $ | 211,834 | | | $ | 1,480,465,759 | | | $ | 324,809 | * |
| | | | | | | | | | | | | | | | |
| Other Financial Instruments — Assets | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | 1,278,352 | | | $ | 1,278,352 | | | $ | — | | | $ | — | |
Forward Foreign Currency Contracts | | | 220,737 | | | | — | | | | 220,737 | | | | — | |
Centrally Cleared Interest Rate Swaps | | | 4,977,066 | | | | — | | | | 4,977,066 | | | | — | |
Centrally Cleared Inflation Rate Swap | | | 248,183 | | | | — | | | | 248,183 | | | | — | |
Centrally Cleared Credit Default Swap | | | 95,439 | | | | — | | | | 95,439 | | | | — | |
| | | | | | | | | | | | | | | | |
| Total Other Financial Instruments — Assets | | $ | 6,819,777 | | | $ | 1,278,352 | | | $ | 5,541,425 | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Other Financial Instruments — Liabilities | | | | | | | | | | | | | | | | |
Options Contracts Written | | $ | (2,460,792 | ) | | $ | (1,546,189 | ) | | $ | (914,603 | ) | | $ | — | |
Futures Contracts | | | (2,977,835 | ) | | | (2,977,835 | ) | | | — | | | | — | |
Forward Foreign Currency Contracts | | | (448,893 | ) | | | — | | | | (448,893 | ) | | | — | |
Centrally Cleared Inflation Rate Swap | | | (249,622 | ) | | | — | | | | (249,622 | ) | | | — | |
Centrally Cleared Credit Default Swap | | | (31,476 | ) | | | — | | | | (31,476 | ) | | | — | |
| | | | | | | | | | | | | | | | |
| Total Other Financial Instruments — Liabilities | | $ | (6,168,618 | ) | | $ | (4,524,024 | ) | | $ | (1,644,594 | ) | | $ | — | |
| | | | | | | | | | | | | | | | |
331
| | |
| | | |
| Notes to Financial Statements | | |
| | | | | | | | | | | | | | | | |
| | | Total Fair Value at
August 31, 2022 | | | 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 | | $ | 98,769,177 | | | $ | — | | | $ | 98,769,177 | | | $ | — | |
Collateralized Mortgage Obligations | | | 4,245,080 | | | | — | | | | 4,245,080 | | | | — | |
Senior Loans | | | 3,548,878 | | | | — | | | | 3,548,878 | | | | — | |
Preferred Stocks: | | | | | | | | | | | | | | | | |
Financials | | | 519,977 | | | | 519,977 | | | | — | | | | — | |
Convertible Preferred Stock: | | | | | | | | | | | | | | | | |
Energy | | | 455,588 | | | | — | | | | 455,588 | | | | — | |
Common Stocks: | | | | | | | | | | | | | | | | |
Energy | | | 336,512 | | | | 336,512 | | | | — | | | | — | |
Sovereign Bonds | | | 35,885 | | | | — | | | | 35,885 | | | | — | |
Short-Term Investments: | | | | | | | | | |
Time Deposits | | | 3,027,803 | | | | — | | | | 3,027,803 | | | | — | |
| | | | | | | | | | | | | | | | |
| Total Investments, at Value | | $ | 110,938,900 | | | $ | 856,489 | | | $ | 110,082,411 | | | $ | — | |
| | | | | | | | | | | | | | | | |
| International Fixed Income Fund | |
| Investments, at Value | | | | | | | | | | | | | | | | |
Sovereign Bonds | | | | | | | | | | | | | | | | |
Japan | | $ | 24,050,471 | | | $ | — | | | $ | 24,050,471 | | | $ | — | |
Other Countries** | | | 23,107,379 | | | | — | | | | 23,107,379 | | | | — | |
Collateralized Mortgage Obligations | | | 39,077,916 | | | | — | | | | 39,077,916 | | | | — | |
Mortgage-Backed Securities | | | 26,895,331 | | | | — | | | | 26,895,331 | | | | — | |
Corporate Bonds & Notes | | | 19,324,701 | | | | — | | | | 19,324,701 | | | | — | |
U.S. Government Obligations | | | 4,617,270 | | | | | | | | 4,617,270 | | | | | |
Asset-Backed Securities | | | 814,941 | | | | — | | | | 814,941 | | | | — | |
Municipal Bond | | | 87,873 | | | | — | | | | 87,873 | | | | — | |
Purchased Options | | | 106,779 | | | | — | | | | 106,779 | | | | — | |
Short-Term Investments: | | | | | | | | | | | | | | | | |
Banker’s Acceptance | | | 832,343 | | | | — | | | | 832,343 | | | | — | |
Repurchase Agreement | | | 3,600,000 | | | | — | | | | 3,600,000 | | | | — | |
Sovereign Bonds | | | | | | | | | | | | | | | | |
Japan | | | 41,719,379 | | | | — | | | | 41,719,379 | | | | — | |
Other Countries** | | | 4,671,444 | | | | — | | | | 4,671,444 | | | | — | |
Time Deposits | | | 3,725,891 | | | | — | | | | 3,725,891 | | | | — | |
U.S. Government Obligations | | | 540,798 | | | | — | | | | 540,798 | | | | — | |
| | | | | | | | | | | | | | | | |
| Total — Investments, at Value | | $ | 193,172,516 | | | $ | — | | | $ | 193,172,516 | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Other Financial Instruments — Assets | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | 359,231 | | | $ | 359,231 | | | $ | — | | | $ | — | |
Forward Foreign Currency Contracts | | | 3,570,630 | | | | — | | | | 3,570,630 | | | | — | |
OTC Total Return Swaps | | | 680,614 | | | | — | | | | 680,614 | | | | — | |
OTC Interest Rate Swaps | | | 161,257 | | | | — | | | | 161,257 | | | | — | |
Centrally Cleared Interest Rate Swaps | | | 4,076,294 | | | | — | | | | 4,076,294 | | | | — | |
332
| | |
| | | |
| Notes to Financial Statements | | |
| | | | | | | | | | | | | | | | |
| | | Total Fair Value at
August 31, 2022 | | | Unadjusted Quoted Prices
in Active Markets
for Identical Investments
(Level 1) | | | Significant Observable
Inputs (Level 2) | | | Significant
Unobservable
Inputs (Level 3) | |
OTC Credit Default Swaps | | $ | 41,268 | | | $ | — | | | $ | 41,268 | | | $ | — | |
Centrally Cleared Credit Default Swaps | | | 455,123 | | | | — | | | | 455,123 | | | | — | |
| | | | | | | | | | | | | | | | |
| Total Other Financial Instruments — Assets | | $ | 9,344,417 | | | $ | 359,231 | | | $ | 8,985,186 | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Other Financial Instruments — Liabilities | | | | | | | | | | | | | | | | |
Options Contracts Written | | $ | (691,509 | ) | | $ | (5,831 | ) | | $ | (685,678 | ) | | $ | — | |
Forward Sale Commitments | | | (28,377,952 | ) | | | — | | | | (28,377,952 | ) | | | — | |
Futures Contracts | | | (1,046,509 | ) | | | (1,046,509 | ) | | | — | | | | — | |
Forward Foreign Currency Contracts | | | (314,320 | ) | | | — | | | | (314,320 | ) | | | — | |
OTC Interest Rate Swap | | | (4,804 | ) | | | — | | | | (4,804 | ) | | | — | |
Centrally Cleared Interest Rate Swaps | | | (5,079,854 | ) | | | — | | | | (5,079,854 | ) | | | — | |
Centrally Cleared Inflation Rate Swaps | | | (165,618 | ) | | | — | | | | (165,618 | ) | | | — | |
Centrally Cleared Credit Default Swaps | | | (105,375 | ) | | | — | | | | (105,375 | ) | | | — | |
OTC Cross-Currency Swap | | | (5,813 | ) | | | — | | | | (5,813 | ) | | | — | |
| | | | | | | | | | | | | | | | |
| Total Other Financial Instruments — Liabilities | | $ | (35,791,754 | ) | | $ | (1,052,340 | ) | | $ | (34,739,414 | ) | | $ | — | |
| | | | | | | | | | | | | | | | |
| Municipal Bond Fund | |
| Investments, at Value | | | | | | | | | | | | | | | | |
Municipal Bonds | | $ | 82,081,575 | | | $ | — | | | $ | 82,081,575 | | | $ | — | |
Short-Term Investments: | | | | | | | | | |
Time Deposits | | | 4,423,026 | | | | — | | | | 4,423,026 | | | | — | |
| | | | | | | | | | | | | | | | |
| Total Investments, at Value | | $ | 86,504,601 | | | $ | — | | | $ | 86,504,601 | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Other Financial Instruments — Assets | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | 8,722 | | | $ | 8,722 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Total Other Financial Instruments — Assets | | $ | 8,722 | | | $ | 8,722 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Inflation-Linked Fixed Income Fund | |
| Investments, at Value | | | | | | | | | | | | | | | | |
U.S. Government Agencies & Obligations | | $ | 108,208,329 | | | $ | — | | | $ | 108,208,329 | | | $ | — | |
Sovereign Bonds | | | 12,092,600 | | | | — | | | | 12,092,600 | | | | — | |
Collateralized Mortgage Obligations | | | 10,228,864 | | | | — | | | | 10,228,864 | | | | — | |
Corporate Bonds & Notes | | | 4,184,832 | | | | — | | | | 4,184,832 | | | | — | |
Mortgage-Backed Securities | | | 3,694,345 | | | | — | | | | 3,694,345 | | | | — | |
Purchased Options | | | 756,455 | | | | — | | | | 756,455 | | | | — | |
Short-Term Investments: | | | | | | | | | |
Time Deposits | | | 1,847,087 | | | | — | | | | 1,847,087 | | | | — | |
| | | | | | | | | | | | | | | | |
| Total Investments, at Value | | $ | 141,012,512 | | | $ | — | | | $ | 141,012,512 | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Other Financial Instruments — Assets | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | 247,195 | | | $ | 247,195 | | | $ | — | | | $ | — | |
Forward Foreign Currency Contracts | | | 521,776 | | | | — | | | | 521,776 | | | | — | |
Centrally Cleared Interest Rate Swaps | | | 355,219 | | | | — | | | | 355,219 | | | | — | |
Centrally Cleared Inflation Rate Swaps | | | 2,086,851 | | | | — | | | | 2,086,851 | | | | — | |
| | | | | | | | | | | | | | | | |
| Total Other Financial Instruments — Assets | | $ | 3,211,041 | | | $ | 247,195 | | | $ | 2,963,846 | | | $ | — | |
| | | | | | | | | | | | | | | | |
333
| | |
| | | |
| Notes to Financial Statements | | |
| | | | | | | | | | | | | | | | |
| | | Total Fair Value at
August 31, 2022 | | | 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 | | $ | (1,035,876 | ) | | $ | — | | | $ | (1,035,876 | ) | | $ | — | |
Reverse Repurchase Agreements | | | (32,587,040 | ) | | | — | | | | (32,587,040 | ) | | | — | |
Futures Contracts | | | (333,715 | ) | | | (333,715 | ) | | | — | | | | — | |
Forward Foreign Currency Contracts | | | (71,516 | ) | | | — | | | | (71,516 | ) | | | — | |
Centrally Cleared Interest Rate Swaps | | | (213,089 | ) | | | — | | | | (213,089 | ) | | | — | |
Centrally Cleared Inflation Rate Swaps | | | (2,838,015 | ) | | | — | | | | (2,838,015 | ) | | | — | |
Centrally Cleared Credit Default Swap | | | (326 | ) | | | — | | | | (326 | ) | | | — | |
| | | | | | | | | | | | | | | | |
| Total Other Financial Instruments — Liabilities | | $ | (37,079,577 | ) | | $ | (333,715 | ) | | $ | (36,745,862 | ) | | $ | — | |
| | | | | | | | | | | | | | | | |
| Ultra-Short Term Fixed Income Fund | |
| Investments, at Value | | | | | | | | | | | | | | | | |
Corporate Bonds & Notes | | $ | 254,534,193 | | | $ | — | | | $ | 254,534,193 | | | $ | — | |
Collateralized Mortgage Obligations | | | 137,915,820 | | | | — | | | | 137,915,820 | | | | — | |
Asset-Backed Securities | | | 32,998,914 | | | | — | | | | 32,998,914 | | | | — | |
U.S. Government Agencies & Obligation | | | 15,533,367 | | | | — | | | | 15,533,367 | | | | — | |
Sovereign Bonds | | | 7,854,421 | | | | — | | | | 7,854,421 | | | | — | |
Mortgage-Backed Securities | | | 933,402 | | | | — | | | | 933,402 | | | | — | |
Certificate of Deposit | | | 958,135 | | | | — | | | | 958,135 | | | | — | |
Short-Term Investments: | | | | | | | | | |
Commercial Papers | | | 5,272,792 | | | | — | | | | 5,272,792 | | | | — | |
Time Deposits | | | 5,209,403 | | | | — | | | | 5,209,403 | | | | — | |
U.S. Government Obligations | | | 232,091,312 | | | | — | | | | 232,091,312 | | | | — | |
| | | | | | | | | | | | | | | | |
| Total Investments, at Value | | $ | 693,301,759 | | | $ | — | | | $ | 693,301,759 | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Other Financial Instruments — Assets | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | 400,211 | | | $ | 400,211 | | | $ | — | | | $ | — | |
Forward Foreign Currency Contracts | | | 2,958,493 | | | | — | | | | 2,958,493 | | | | — | |
Centrally Cleared Credit Default Swaps | | | 797,842 | | | | — | | | | 797,842 | | | | — | |
| | | | | | | | | | | | | | | | |
| Total Other Financial Instruments — Assets | | $ | 4,156,546 | | | $ | 400,211 | | | $ | 3,756,335 | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Other Financial Instruments — Liabilities | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | $ | (312,412 | ) | | $ | — | | | $ | (312,412 | ) | | $ | — | |
| | | | | | | | | | | | | | | | |
| Total Other Financial Instruments — Liabilities | | $ | (312,412 | ) | | $ | — | | | $ | (312,412 | ) | | $ | — | |
| | | | | | | | | | | | | | | | |
| Alternative Strategies Fund | |
| Investments, at Value | | | | | | | | | | | | | | | | |
Open End Mutual Fund Securities: | | | | | | | | | | | | | | | | |
United States | | $ | 142,933,119 | | | $ | 142,933,119 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Total Investments, at Value | | $ | 142,933,119 | | | $ | 142,933,119 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| * | 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. |
334
| | |
| | | |
| Notes to Financial Statements | | |
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 year September 1, 2021 through August 31, 2022:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Total | | | Asset-Backed
Securities | | | Collateralized
Mortgage
Obligations | | | Common
Stocks | | | Corporate
Bonds &
Notes | | | Preferred
Stocks | | | Rights | | | Senior
Loans | |
| Small-Mid Cap Equity Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Balance as of August 31, 2021 | | $ | — | * | | $ | — | | | $ | — | | | $ | — | * | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
Total realized gain (loss) | | | 11 | | | | — | | | | — | | | | 11 | | | | — | | | | — | | | | — | | | | — | |
Change in unrealized appreciation (depreciation) | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Purchases | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
(Sales) | | | (11 | ) | | | — | | | | — | | | | (11 | ) | | | — | | | | — | | | | — | | | | — | |
Transfers in | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
(Transfers out) | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Balance as of August 31, 2022 | | $ | — | * | | $ | — | | | $ | — | | | $ | — | * | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Change in unrealized appreciation (depreciation) from Investments held as of August 31, 2022 | | | — | | | $ | — | | | $ | — | | | | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Emerging Markets Equity Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Balance as of August 31, 2021 | | $ | 19 | * | | $ | — | | | $ | — | | | $ | 19 | * | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
Total realized gain (loss) | | | (39,963 | ) | | | — | | | | — | | | | (39,963 | ) | | | — | | | | — | | | | — | | | | — | |
Change in unrealized appreciation (depreciation) | | | (342,724 | ) | | | — | | | | — | | | | (342,724 | ) | | | — | | | | — | | | | — | | | | — | |
Purchases | | | 417,560 | | | | — | | | | — | | | | 417,560 | | | | — | | | | — | | | | — | | | | — | |
(Sales) | | | (34,403 | ) | | | — | | | | — | | | | (34,403 | ) | | | — | | | | — | | | | — | | | | — | |
Transfers in | | | 41,290 | | | | — | | | | — | | | | 40,454 | | | | — | | | | 836 | | | | — | | | | — | |
(Transfers out) | | | (16 | ) | | | — | | | | — | | | | (16 | ) | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Balance as of August 31, 2022 | | | 41,763 | * | | $ | — | | | $ | — | | | $ | 40,927 | * | | $ | — | | | $ | 836 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Change in unrealized appreciation (depreciation) from Investments held as of August 31, 2022 | | $ | (1,335,941 | ) | | $ | — | | | $ | — | | | $ | (1,290,821 | ) | | $ | — | | | $ | (45,120 | ) | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Core Fixed Income Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Balance as of August 31, 2021 | | $ | — | * | | $ | — | | | $ | — | | | $ | — | | | $ | — | * | | $ | — | | | $ | — | | | $ | — | |
Total realized gain (loss) | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Change in unrealized appreciation (depreciation) | | | (523,719 | ) | | | — | | | | — | | | | (523,719 | ) | | | — | | | | — | | | | — | | | | — | |
Purchases | | | 848,528 | * | | | — | | | | — | | | | 848,528 | | | | — | | | | — | | | | — | * | | | — | |
(Sales) | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Transfers in | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
(Transfers out) | | | — | | | | — | | | | — | | | | | | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Balance as of August 31, 2022 | | $ | 324,809 | * | | $ | — | | | $ | — | | | $ | 324,809 | | | $ | — | * | | $ | — | | | $ | — | * | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Change in unrealized appreciation (depreciation) from Investments held as of August 31, 2022 | | $ | (523,719 | ) | | $ | — | | | $ | — | | | $ | (523,719 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
335
| | |
| | | |
| Notes to Financial Statements | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Total | | | Asset-Backed
Securities | | | Collateralized
Mortgage
Obligations | | | Common
Stocks | | | Corporate
Bonds &
Notes | | | Preferred
Stocks | | | Rights | | | Senior
Loans | |
| High Yield Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Balance as of August 31, 2021 | | $ | 322,753 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 322,753 | |
Total realized gain (loss) | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Change in unrealized appreciation (depreciation) | | | (50,294 | ) | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | (50,294 | ) |
Purchases | | | 43,323 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 43,323 | |
(Sales) | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Transfers in | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
(Transfers out) | | | (315,782 | ) | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | (315,782 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Balance as of August 31, 2022 | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Change in unrealized appreciation (depreciation) from Investments held as of August 31, 2022 | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| International Fixed Income Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Balance as of August 31, 2021 | | $ | 1,342,080 | | | $ | — | | | $ | 1,342,080 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
Total realized gain (loss) | | | (12,610 | ) | | | — | | | | (12,610 | ) | | | — | | | | — | | | | — | | | | — | | | | — | |
Change in unrealized appreciation (depreciation) | | | (15,959 | ) | | | — | | | | (15,959 | ) | | | — | | | | — | | | | — | | | | — | | | | — | |
Purchases | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
(Sales) | | | (1,238,628 | ) | | | — | | | | (1,238,628 | ) | | | — | | | | — | | | | — | | | | — | | | | — | |
Transfers in | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
(Transfers out) | | | (74,883 | ) | | | — | | | | (74,883 | ) | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Balance as of August 31, 2022 | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Change in unrealized appreciation (depreciation) from Investments held as of August 31, 2022 | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Ultra-Short Term Fixed Income Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Balance as of August 31, 2021 | | $ | 1,499,654 | | | $ | 299,716 | | | $ | 1,199,938 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
Total realized gain (loss) | | | (424,978 | ) | | | (235,686 | ) | | | (189,292 | ) | | | — | | | | — | | | | — | | | | — | | | | — | |
Change in unrealized appreciation (depreciation) | | | (79,694 | ) | | | (9,647 | ) | | | (70,047 | ) | | | — | | | | — | | | | — | | | | — | | | | — | |
Purchases | | | 745,278 | | | | 745,278 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
(Sales) | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Transfers in | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
(Transfers out) | | | (1,740,260 | ) | | | (799,661 | ) | | | (940,599 | ) | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Balance as of August 31, 2022 | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Change in unrealized appreciation (depreciation) from Investments held as of August 31, 2022 | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| * | Includes securities that are valued at $0. |
(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 year-end for each Fund are disclosed in the Fund’s Schedule of Investments.
336
| | |
| | | |
| Notes to Financial Statements | | |
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.
(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
337
| | |
| | | |
| Notes to Financial Statements | | |
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 year-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.
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
338
| | |
| | | |
| Notes to Financial Statements | | |
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 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
339
| | |
| | | |
| Notes to Financial Statements | | |
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.
340
| | |
| | | |
| Notes to Financial Statements | | |
The following is a summary of the fair valuations of the Funds’ derivative instruments categorized by risk exposure at August 31, 2022:
Large Cap Equity Fund
| | | | | | | | | | | | | | | | | | | | |
Fair Values of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2022: | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Asset derivatives | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on open futures contracts (b) | | $ | — | | | $ | — | | | $ | — | | | $ | 32,213 | | | $ | 32,213 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| Liability derivatives | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on open futures contracts (b) | | $ | — | | | $ | — | | | $ | — | | | $ | 3,779 | | | $ | 3,779 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Effect of Derivative Instruments on the Statements of Operations for the Year Ended August 31, 2022: | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Realized gain/(loss) on derivatives (d) | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | (800,611 | ) | | $ | (800,611 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| Change in unrealized appreciation (depreciation) on derivatives (e) | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | (991,276 | ) | | $ | (991,276 | ) |
| | | | | | | | | | | | | | | | | | | | |
Small-Mid Cap Equity Fund
| | | | | | | | | | | | | | | | | | | | |
Fair Values of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2022: | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Liability derivatives | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on open futures contracts (b) | | $ | — | | | $ | — | | | $ | — | | | $ | 66,184 | | | $ | 66,184 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Effect of Derivative Instruments on the Statements of Operations for the Year Ended August 31, 2022: | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Realized gain/(loss) on derivatives (d) | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | (299,586 | ) | | $ | (299,586 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| Change in unrealized appreciation (depreciation) on derivatives (e) | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | (103,412 | ) | | $ | (103,412 | ) |
| | | | | | | | | | | | | | | | | | | | |
International Equity Fund
| | | | | | | | | | | | | | | | | | | | |
Fair Values of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2022: | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Asset derivatives | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on open futures contracts (b) | | $ | — | | | $ | — | | | $ | — | | | $ | 7,625 | | | $ | 7,625 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| Liability derivatives | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on open futures contracts (b) | | $ | — | | | $ | — | | | $ | — | | | $ | 15,783 | | | $ | 15,783 | |
| | | | | | | | | | | | | | | | | | | | |
341
| | |
| | | |
| Notes to Financial Statements | | |
| | | | | | | | | | | | | | | | | | | | |
Effect of Derivative Instruments on the Statements of Operations for the Year Ended August 31, 2022: | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Realized gain/(loss) on derivatives (d) | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | 38,764 | | | $ | 38,764 | |
Forward foreign currency contracts | | | — | | | | 604 | | | | — | | | | — | | | | 604 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | — | | | $ | 604 | | | $ | — | | | $ | 38,764 | | | $ | 39,368 | |
| | | | | | | | | | | | | | | | | | | | |
| Change in unrealized appreciation (depreciation) on derivatives (e) | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | (23,010 | ) | | $ | (23,010 | ) |
| | | | | | | | | | | | | | | | | | | | |
Emerging Markets Equity Fund
| | | | | | | | | | | | | | | | | | | | |
Fair Values of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2022: | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Liability derivatives | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on open futures contracts (b) | | $ | — | | | $ | — | | | $ | — | | | $ | 11,342 | | | $ | 11,342 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Effect of Derivative Instruments on the Statements of Operations for the Year Ended August 31, 2022: | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Realized gain/(loss) on derivatives (d) | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | (364,621 | ) | | $ | (364,621 | ) |
Forward foreign currency contracts | | | — | | | | 843 | | | | — | | | | — | | | | 843 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | — | | | $ | 843 | | | $ | — | | | $ | (364,621 | ) | | $ | (363,778 | ) |
| | | | | | | | | | | | | | | | | | | | |
| Change in unrealized appreciation (depreciation) on derivatives (e) | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | (21,972 | ) | | $ | (21,972 | ) |
| | | | | | | | | | | | | | | | | | | | |
Core Fixed Income Fund
| | | | | | | | | | | | | | | | | | | | |
Fair Values of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2022: | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Asset derivatives | | | | | | | | | | | | | | | | | | | | |
Purchased options (c) | | $ | 211,834 | | | | 10,585 | | | $ | — | | | $ | — | | | $ | 222,419 | |
Unrealized appreciation on open futures contracts (b) | | | 1,278,352 | | | | — | | | | — | | | | — | | | | 1,278,352 | |
Unrealized appreciation on forward foreign currency contracts (c) . | | | — | | | | 220,737 | | | | — | | | | — | | | | 220,737 | |
Unrealized appreciation on centrally cleared swaps (f) | | | 5,225,249 | | | | — | | | | 95,439 | | | | — | | | | 5,320,688 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 6,715,435 | | | $ | 231,322 | | | $ | 95,439 | | | $ | — | | | $ | 7,042,196 | |
| | | | | | | | | | | | | | | | | | | | |
| Liability derivatives | | | | | | | | | | | | | | | | | | | | |
Options contracts written outstanding (a) | | $ | 1,546,189 | | | $ | 914,603 | | | $ | — | | | $ | — | | | $ | 2,460,792 | |
Unrealized depreciation on open futures contracts (b) | | | 2,977,835 | | | | — | | | | — | | | | — | | | | 2,977,835 | |
Unrealized depreciation on forward foreign currency contracts (a) | | | — | | | | 448,893 | | | | — | | | | — | | | | 448,893 | |
Unrealized depreciation on centrally cleared swaps (f) | | | 249,622 | | | | — | | | | 31,476 | | | | — | | | | 281,098 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 4,773,646 | | | $ | 1,363,496 | | | $ | 31,476 | | | $ | — | | | $ | 6,168,618 | |
| | | | | | | | | | | | | | | | | | | | |
342
| | |
| | | |
| Notes to Financial Statements | | |
| | | | | | | | | | | | | | | | | | | | |
Effect of Derivative Instruments on the Statements of Operations for the Year Ended August 31, 2022: | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Realized gain/(loss) on derivatives (d) | | | | | | | | | | | | | | | | | | | | |
Purchased options | | $ | (2,065,075 | ) | | $ | (18,378 | ) | | $ | — | | | $ | — | | | $ | (2,083,453 | ) |
Futures contracts. | | | (14,547,466 | ) | | | — | | | | — | | | | — | | | | (14,547,466 | ) |
Options contracts written | | | 1,613,630 | | | | — | | | | — | | | | — | | | | 1,613,630 | |
Swap contracts | | | 4,660,049 | | | | — | | | | 61,877 | | | | — | | | | 4,721,926 | |
Forward foreign currency contracts | | | — | | | | (2,078,229 | ) | | | — | | | | — | | | | (2,078,229 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | $ | (10,338,862 | ) | | $ | (2,096,607 | ) | | $ | 61,877 | | | $ | — | | | $ | (12,373,592 | ) |
| | | | | | | | | | | | | | | | | | | | |
| Change in unrealized appreciation (depreciation) on derivatives (e) | | | | | | | | | | | | | | | | | | | | |
Purchased options | | $ | (171,606 | ) | | $ | (86,113 | ) | | $ | — | | | $ | — | | | $ | (257,719 | ) |
Futures contracts. | | | (1,469,136 | ) | | | — | | | | — | | | | — | | | | (1,469,136 | ) |
Options contracts written | | | (511,592 | ) | | | (892,175 | ) | | | — | | | | — | | | | (1,403,767 | ) |
Swap contracts | | | 3,463,770 | | | | — | | | | 63,963 | | | | — | | | | 3,527,733 | |
Forward foreign currency contracts | | | — | | | | (245,819 | ) | | | — | | | | — | | | | (245,819 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 1,311,436 | | | $ | (1,224,107 | ) | | $ | 63,963 | | | $ | — | | | $ | 151,292 | |
| | | | | | | | | | | | | | | | | | | | |
International Fixed Income Fund
| | | | | | | | | | | | | | | | | | | | |
Fair Values of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2022: | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Asset derivatives | | | | | | | | | | | | | | | | | | | | |
Purchased options (c) | | $ | 106,779 | | | $ | — | | | $ | — | | | $ | — | | | $ | 106,779 | |
Unrealized appreciation on open futures contracts (b) | | | 359,231 | | | | — | | | | — | | | | — | | | | 359,231 | |
Unrealized appreciation on forward foreign currency contracts (c) . | | | — | | | | 3,570,630 | | | | — | | | | — | | | | 3,570,630 | |
Unrealized appreciation on centrally cleared swaps (f) | | | 4,076,294 | | | | — | | | | 455,123 | | | | — | | | | 4,531,417 | |
Unrealized appreciation on OTC swaps (c) | | | 841,871 | | | | — | | | | 41,268 | | | | — | | | | 883,139 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 5,384,175 | | | $ | 3,570,630 | | | $ | 496,391 | | | $ | — | | | $ | 9,451,196 | |
| | | | | | | | | | | | | | | | | | | | |
| Liability derivatives | | | | | | | | | | | | | | | | | | | | |
Options contracts written outstanding (a) | | $ | 683,296 | | | $ | — | | | $ | 8,213 | | | $ | — | | | $ | 691,509 | |
Unrealized depreciation on open futures contracts (b) | | | 1,046,509 | | | | — | | | | — | | | | — | | | | 1,046,509 | |
Unrealized depreciation on forward foreign currency contracts (a) | | | — | | | | 314,320 | | | | — | | | | — | | | | 314,320 | |
Unrealized depreciation on centrally cleared swaps (f) | | | 5,245,472 | | | | — | | | | 105,375 | | | | — | | | | 5,350,847 | |
Unrealized depreciation on OTC swaps (a) | | | 4,804 | | | | 5,813 | | | | — | | | | — | | | | 10,617 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 6,980,081 | | | $ | 320,133 | | | $ | 113,588 | | | $ | — | | | $ | 7,413,802 | |
| | | | | | | | | | | | | | | | | | | | |
343
| | |
| | | |
| Notes to Financial Statements | | |
| | | | | | | | | | | | | | | | | | | | |
Effect of Derivative Instruments on the Statements of Operations for the Year Ended August 31, 2022: | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Realized gain/(loss) on derivatives (d) | | | | | | | | | | | | | | | | | | | | |
Purchased options | | $ | (35,697 | ) | | $ | (3,542 | ) | | $ | — | | | $ | — | | | $ | (39,239 | ) |
Futures contracts | | | (2,610,093 | ) | | | — | | | | — | | | | — | | | | (2,610,093 | ) |
Options contracts written | | | 352,089 | | | | 14,832 | | | | 85,420 | | | | — | | | | 452,341 | |
Swap contracts | | | (3,497,032 | ) | | | — | | | | (145,841 | ) | | | 311,179 | | | | (3,331,694 | ) |
Forward foreign currency contracts | | | — | | | | 15,615,971 | | | | — | | | | — | | | | 15,615,971 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | (5,790,733 | ) | | $ | 15,627,261 | | | $ | (60,421 | ) | | $ | 311,179 | | | $ | 10,087,286 | |
| | | | | | | | | | | | | | | | | | | | |
| Change in unrealized appreciation (depreciation) on derivatives (e) | | | | | | | | | | | | | | | | | | | | |
Purchased options | | $ | 100,174 | | | $ | — | | | $ | — | | | $ | — | | | $ | 100,174 | |
Futures contracts | | | (703,917 | ) | | | — | | | | — | | | | — | | | | (703,917 | ) |
Options contracts written | | | (542,527 | ) | | | 5,851 | | | | (17,702 | ) | | | — | | | | (554,378 | ) |
Swap contracts | | | 194,764 | | | | (104,407 | ) | | | 338,708 | | | | — | | | | 429,065 | |
Forward foreign currency contracts | | | — | | | | 2,774,811 | | | | — | | | | — | | | | 2,774,811 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | (951,506 | ) | | $ | 2,676,255 | | | $ | 321,006 | | | $ | — | | | $ | 2,045,755 | |
| | | | | | | | | | | | | | | | | | | | |
Municipal Bond Fund
| | | | | | | | | | | | | | | | | | | | |
Fair Values of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2022: | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Asset derivatives | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on open futures contracts (b) | | $ | 8,722 | | | $ | — | | | $ | — | | | $ | — | | | $ | 8,722 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Effect of Derivative Instruments on the Statements of Operations for the Year Ended August 31, 2022: | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Realized gain/(loss) on derivatives (d) | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | 143,623 | | | $ | — | | | $ | — | | | $ | — | | | $ | 143,623 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| Change in unrealized appreciation (depreciation) on derivatives (e) | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | 8,870 | | | $ | — | | | $ | — | | | $ | — | | | $ | 8,870 | |
| | | | | | | | | | | | | | | | | | | | |
344
| | |
| | | |
| Notes to Financial Statements | | |
Inflation-Linked Fixed Income Fund
| | | | | | | | | | | | | | | | | | | | |
Fair Values of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2022: | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Asset derivatives | | | | | | | | | | | | | | | | | | | | |
Purchased options (c) | | $ | 756,455 | | | $ | — | | | $ | — | | | $ | — | | | $ | 756,455 | |
Unrealized appreciation on open futures contracts (b) | | | 247,195 | | | | — | | | | — | | | | — | | | | 247,195 | |
Unrealized appreciation on forward foreign currency contracts (c) | | | — | | | | 521,776 | | | | — | | | | — | | | | 521,776 | |
Unrealized appreciation on centrally cleared swaps (f) | | | 2,442,070 | | | | — | | | | — | | | | — | | | | 2,442,070 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 3,445,720 | | | $ | 521,776 | | | $ | — | | | $ | — | | | $ | 3,967,496 | |
| | | | | | | | | | | | | | | | | | | | |
| Liability derivatives | | | | | | | | | | | | | | | | | | | | |
Options contracts written outstanding (a) | | $ | 1,034,778 | | | $ | — | | | $ | 1,098 | | | $ | — | | | $ | 1,035,876 | |
Unrealized depreciation on open futures contracts (b) | | | 333,715 | | | | — | | | | — | | | | — | | | | 333,715 | |
Unrealized depreciation on forward foreign currency contracts (a) | | | — | | | | 71,516 | | | | — | | | | — | | | | 71,516 | |
Unrealized depreciation on centrally cleared swaps (f) | | | 3,051,104 | | | | — | | | | 326 | | | | — | | | | 3,051,430 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 4,419,597 | | | $ | 71,516 | | | $ | 1,424 | | | $ | — | | | $ | 4,492,537 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Effect of Derivative Instruments on the Statements of Operations for the Year Ended August 31, 2022: | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Realized gain/(loss) on derivatives (d) | | | | | | | | | | | | | | | | | | | | |
Purchased options | | $ | 71,369 | | | $ | — | | | $ | — | | | $ | — | | | $ | 71,369 | |
Futures contracts | | | 2,849,110 | | | | — | | | | — | | | | — | | | | 2,849,110 | |
Options contracts written | | | (174,543 | ) | | | — | | | | 25,170 | | | | — | | | | (149,373 | ) |
Swap contracts | | | (153,413 | ) | | | — | | | | 3,800 | | | | — | | | | (149,613 | ) |
Forward foreign currency contracts | | | — | | | | 3,565,568 | | | | — | | | | — | | | | 3,565,568 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 2,592,523 | | | $ | 3,565,568 | | | $ | 28,970 | | | $ | — | | | $ | 6,187,061 | |
| | | | | | | | | | | | | | | | | | | | |
| Change in unrealized appreciation (depreciation) on derivatives (e) | | | | | | | | | | | | | | | | | | | | |
Purchased options | | $ | 475,117 | | | $ | — | | | $ | — | | | $ | — | | | $ | 475,117 | |
Futures contracts | | | 37,927 | | | | — | | | | — | | | | — | | | | 37,927 | |
Options contracts written | | | (801,132 | ) | | | — | | | | (4,726 | ) | | | — | | | | (805,858 | ) |
Swap contracts | | | (331,702 | ) | | | — | | | | (2,121 | ) | | | — | | | | (333,823 | ) |
Forward foreign currency contracts | | | — | | | | 280,965 | | | | — | | | | — | | | | 280,965 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | (619,790 | ) | | $ | 280,965 | | | $ | (6,847 | ) | | $ | — | | | $ | (345,672 | ) |
| | | | | | | | | | | | | | | | | | | | |
345
| | |
| | | |
| Notes to Financial Statements | | |
Ultra–Short Term Fixed Income Fund
| | | | | | | | | | | | | | | | | | | | |
Fair Values of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2022: | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Asset derivatives | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on open futures contracts (b) | | $ | 400,211 | | | $ | — | | | $ | — | | | $ | — | | | $ | 400,211 | |
Unrealized appreciation on forward foreign currency contracts (c) | | | — | | | | 2,958,493 | | | | — | | | | — | | | $ | 2,958,493 | |
Unrealized appreciation on centrally cleared swaps (f) | | | — | | | | — | | | | 797,842 | | | | — | | | $ | 797,842 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 400,211 | | | $ | 2,958,493 | | | $ | 797,842 | | | $ | — | | | $ | 4,156,546 | |
| | | | | | | | | | | | | | | | | | | | |
| Liability derivatives | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on forward foreign currency contracts (a) | | $ | — | | | $ | 312,412 | | | $ | — | | | $ | — | | | $ | 312,412 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Effect of Derivative Instruments on the Statements of Operations for the Year Ended August 31, 2022: | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Realized gain/(loss) on derivatives (d) | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | 9,261,384 | | | $ | — | | | $ | — | | | $ | — | | | $ | 9,261,384 | |
Swap contracts | | | (1,009,078 | ) | | | — | | | | (299,927 | ) | | | — | | | | (1,309,005 | ) |
Forward foreign currency contracts | | | — | | | | 9,965,706 | | | | — | | | | — | | | | 9,965,706 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 8,252,306 | | | $ | 9,965,706 | | | $ | (299,927 | ) | | $ | — | | | $ | 17,918,085 | |
| | | | | | | | | | | | | | | | | | | | |
| Change in unrealized appreciation (depreciation) on derivatives (e) | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | 605,589 | | | $ | — | | | $ | — | | | $ | — | | | $ | 605,589 | |
Swap contracts | | | — | | | | — | | | | 826,381 | | | | — | | | | 826,381 | |
Forward foreign currency contracts | | | — | | | | 1,680,519 | | | | — | | | | — | | | | 1,680,519 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 605,589 | | | $ | 1,680,519 | | | $ | 826,381 | | | $ | — | | | $ | 3,112,489 | |
| | | | | | | | | | | | | | | | | | | | |
| (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. |
346
| | |
| | | |
| Notes to Financial Statements | | |
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 year ended August 31, 2022 were as follows:
Large Cap Equity Fund
| | | | | | | | | | | | | | | | |
| | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | 13,383,413 | |
Small-Mid Cap Equity Fund | | | | | | | | | | | | | | | | |
| | | | |
| | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | 2,108,503 | |
International Equity Fund | | | | | | | | | | | | | | | | |
| | | | |
| | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | 1,776,541 | |
Forward foreign currency contracts | | | — | | | | 12,567 | | | | — | | | | — | |
Emerging Markets Equity Fund | | | | | | | | | | | | | | | | |
| | | | |
| | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | 1,589,705 | |
Forward foreign currency contracts | | | — | | | | 96,536 | | | | — | | | | — | |
Core Fixed Income Fund | | | | | | | | | | | | | | | | |
| | | | |
| | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | |
Purchased options | | $ | 313,406 | | | $ | 13,378 | | | $ | — | | | $ | — | |
Futures contracts | | | 597,541,504 | | | | — | | | | — | | | | — | |
Option contracts written | | | 1,064,420 | | | | 70,354 | | | | — | | | | — | |
Swap contracts | | | 73,901,950 | | | | — | | | | 10,970,631 | | | | — | |
Forward foreign currency contracts | | | — | | | | 40,436,357 | | | | — | | | | — | |
International Fixed Income Fund | | | | | | | | | | | | | | | | |
| | | | |
| | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | |
Purchased options | | $ | 66,979 | | | $ | 1,260 | | | $ | — | | | $ | — | |
Futures contracts | | | 88,214,245 | | | | — | | | | — | | | | — | |
Option contracts written | | | 376,595 | | | | 6,251 | | | | 14,367 | | | | — | |
Swap contracts | | | 315,475,894 | | | | 1,506,394 | | | | 24,653,702 | | | | — | |
Forward foreign currency contracts | | | — | | | | 217,792,274 | | | | — | | | | — | |
347
| | |
| | | |
| Notes to Financial Statements | | |
| | | | | | | | | | | | | | | | |
Municipal Bond Fund | | | | | | | | | | | | | | | | |
| | | | |
| | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | |
Futures contracts | | $ | 2,305,654 | | | $ | — | | | $ | — | | | $ | — | |
Inflation-Linked Fixed Income Fund | | | | | | | | | | | | | | | | |
| | | | |
| | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | |
Purchased options | | $ | 469,181 | | | $ | — | | | $ | — | | | $ | — | |
Futures contracts | | | 75,347,602 | | | | — | | | | — | | | | — | |
Option contracts written | | | 619,724 | | | | — | | | | 4,300 | | | | — | |
Swap contracts | | | 56,709,565 | | | | — | | | | 100,000 | | | | — | |
Forward foreign currency contracts | | | — | | | | 45,274,476 | | | | — | | | | — | |
Ultra-Short Term Fixed Income Fund | | | | | | | | | | | | | | | | |
| | | | |
| | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | |
Futures contracts | | $ | 297,790,986 | | | $ | — | | | $ | — | | | $ | — | |
Swap contracts | | | 26,623,077 | | | | — | | | | 49,646,154 | | | | — | |
Forward foreign currency contracts | | | — | | | | 201,858,803 | | | | — | | | | — | |
(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.
(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
348
| | |
| | | |
| Notes to Financial Statements | | |
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 August 31, 2022:
| | | | | | | | | | | | | | | | |
| 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 | | $ | 10,157,649 | | | $ | — | | | $ | (10,157,649 | ) | | $ | 0 | |
Small-Mid Cap Equity Fund | | | 20,725,665 | | | | — | | | | (20,725,665 | ) | | | 0 | |
International Equity Fund | | | 12,170,359 | | | | — | | | | (12,170,359 | ) | | | 0 | |
Emerging Markets Equity Fund | | | 402,903 | | | | — | | | | (402,903 | ) | | | 0 | |
| (a) | Represents market value of securities on loan at period end. |
| (b) | The Funds received cash collateral of $10,568,557, $21,278,164, $9,862,623 and $187,012, 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, $2,817,597 and $239,119, 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.
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 August 31, 2022:
| | | | | | | | | | | | | | | | | | | | |
| | | Remaining Contractual Maturity of the Agreements
As of August 31, 2022 | |
| | | Overnight and
Continuous | | | < 30 days | | | Between 30 & 90 days | | | > 90 days | | | Total | |
| Large Cap Equity Fund | | | | | | | | | | | | | | | | | | | | |
| Securities Lending Transactions | | | | | | | | | | | | | | | | | | | | |
Common Stocks | | $ | 10,568,557 | | | $ | — | | | $ | — | | | $ | — | | | $ | 10,568,557 | |
| | | | | | | | | | | | | | | | | | | | |
Total Borrowings | | $ | 10,568,557 | | | $ | — | | | $ | — | | | $ | — | | | $ | 10,568,557 | |
| | | | | | | | | | | | | | | | | | | | |
Gross amount of recognized liabilities for securities lending transactions | | | | | | | | | | | $ | 10,568,557 | |
| | | | | | | | | | | | | |
| | | | | |
| Small-Mid Cap Equity Fund | | | | | | | | | | | | | | | | | | | | |
| Securities Lending Transactions | | | | | | | | | | | | | | | | | | | | |
Common Stocks | | $ | 21,278,164 | | | $ | — | | | $ | — | | | $ | — | | | $ | 21,278,164 | |
| | | | | | | | | | | | | | | | | | | | |
Total Borrowings | | $ | 21,278,164 | | | $ | — | | | $ | — | | | $ | — | | | $ | 21,278,164 | |
| | | | | | | | | | | | | | | | | | | | |
Gross amount of recognized liabilities for securities lending transactions | | | | | | | | | | | $ | 21,278,164 | |
| | | | | | | | | | | | | |
349
| | |
| | | |
| Notes to Financial Statements | | |
| | | | | | | | | | | | | | | | | | | | |
| | | Remaining Contractual Maturity of the Agreements
As of August 31, 2022 | |
| | | Overnight and
Continuous | | | < 30 days | | | Between 30 & 90 days | | | > 90 days | | | Total | |
| International Equity Fund | | | | | | | | | | | | | | | | | | | | |
| Securities Lending Transactions | | | | | | | | | | | | | | | | | | | | |
Common Stocks | | $ | 9,862,623 | | | $ | — | | | $ | — | | | $ | — | | | $ | 9,862,623 | |
| | | | | | | | | | | | | | | | | | | | |
Total Borrowings | | $ | 9,862,623 | | | $ | — | | | $ | — | | | $ | — | | | $ | 9,862,623 | |
| | | | | | | | | | | | | | | | | | | | |
Gross amount of recognized liabilities for securities lending transactions | | | | | | | | | | | $ | 9,862,623 | |
| | | | | | | | | | | | | |
| | | | | |
| Emerging Markets Equity Fund | | | | | | | | | | | | | | | | | | | | |
| Securities Lending Transactions | | | | | | | | | | | | | | | | | | | | |
Common Stocks | | $ | 187,012 | | | $ | — | | | $ | — | | | $ | — | | | $ | 187,012 | |
| | | | | | | | | | | | | | | | | | | | |
Total Borrowings | | $ | 187,012 | | | $ | — | | | $ | — | | | $ | — | | | $ | 187,012 | |
| | | | | | | | | | | | | | | | | | | | |
Gross amount of recognized liabilities for securities lending transactions | | | | | | | | | | | $ | 187,012 | |
| | | | | | | | | | | | | |
| | | | | |
| Inflation-Linked Fixed Income Fund | | | | | | | | | | | | | | | | | | | | |
| Reverse Repurchase Agreements Transactions | | | | | | | | | | | | | | | | | | | | |
U.S. Government Obligations | | $ | — | | | $ | 32,587,040 | | | $ | — | | | $ | — | | | $ | 32,587,040 | |
| | | | | | | | | | | | | | | | | | | | |
| Sale-Buyback Transaction | | | | | | | | | | | | | | | | | | | | |
U.S. Government Obligations | | $ | — | | | $ | 4,030,523 | | | $ | — | | | $ | — | | | $ | 4,030,523 | |
| | | | | | | | | | | | | | | | | | | | |
Total Borrowings | | $ | — | | | $ | 36,617,563 | | | $ | — | | | $ | — | | | $ | 36,617,563 | |
| | | | | | | | | | | | | | | | | | | | |
Gross amount of recognized liabilities for reverse repurchase agreements transactions | | | | | | | $ | 32,587,040 | |
| | | | | | | | | | | | | |
Gross amount of recognized liabilities for sale-buyback transaction | | | | | | | $ | 4,030,523 | |
| | | | | | | | | | | | | |
(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. 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.
350
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| Notes to Financial Statements | | |
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.
(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 US dollar LIBOR settings, may continue to be provided on a representative basis until mid-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
351
| | |
| | | |
| Notes to Financial Statements | | |
investments comprising some or all of the Fund’s portfolio. 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 new 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. Not all existing LIBOR-based instruments may have alternative rate-setting provisions and there remains uncertainty regarding the willingness and ability of issuers to add alternative rate-setting provisions in certain existing instruments. Although state and federal statutes have been enacted to address difficult LIBOR transition issues, the application and effect of these statutes are uncertain. 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 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 net asset value.
(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. The outbreak of the coronavirus (“COVID-19”) and the recovery responses could adversely impact the operations of the Fund and its service providers and financial performance of the Fund and the Fund’s investments. The extent of such impact depends on future developments, including (i) the duration and spread of the outbreak, (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 duration and extent of COVID-19 and associated economic and market conditions and uncertainty over the long term cannot be reasonably estimated at this time. The ultimate impact of COVID-19 and the extent to which the associated conditions impact the Fund will also depend on 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) in may be adversely affected because of these and similar types of factors and developments.
On February 24, 2022, Russia launched a large-scale invasion of Ukraine significantly amplifying already existing geopolitical tensions. In response to the invasion, many countries, including the U.S., have imposed economic sanctions on Russian governmental institutions, Russian entities, and Russian individuals, which have had a negative impact on the Russian economy, on the Russian currency, and on investments having exposure to Russia, Ukraine, ant other combatants, including Belarus. Russia in turn has imposed its own restrictions against investors and countries outside Russia and has proposed additional measures aimed at non-Russian-owned businesses. 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 war on the global economy. The escalation or continuation of the war 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. The current events have had, and 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
352
| | |
| | | |
| Notes to Financial Statements | | |
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.
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 2021 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.
| | | | | | | | |
| Fund | | Distributable earnings/
Accumulated deficit | | | Paid-in-capital | |
Large Cap Equity Fund | | $ | (141,581 | ) | | $ | 141,581 | |
Small-Mid Cap Equity Fund | | | — | | | | — | |
International Equity Fund | | | (14,641 | ) | | | 14,641 | |
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| | |
| | | |
| Notes to Financial Statements | | |
| | | | | | | | |
| Fund | | Distributable earnings/
Accumulated deficit | | | Paid-in-capital | |
Emerging Markets 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 | | | 3 | | | | (3 | ) |
Alternative Strategies Fund | | | 166,498 | | | | (166,498 | ) |
(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 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
354
| | |
| | | |
| Notes to Financial Statements | | |
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 August 31, 2022:
| | | | | | | | | | | | | | | | |
| Security | | Principal | | | Unfunded Bank
Loan Interest
(Cost) | | | Value of Underlying
Bank Loan Interest
(Value) | | | Unrealized
Depreciation | |
athenahealth Group Inc | | $ | 93,993 | | | $ | 93,042 | | | $ | 90,200 | | | $ | (2,842 | ) |
| | | | | | | | | | | | | | | | |
(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 year ended August 31, 2022, 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 August 31, 2022, an average amount of borrowings, incurred interest expense and a weighted average interest rate related to sale-buyback transactions outstanding during the year ended August 31, 2022, were as following:
| | | | | | | | |
| | | Inflation-Linked
Fixed Income Fund | | | Ultra-Short Term
Fixed Income Fund | |
Payable for investments purchased | | $ | 4,030,523 | | | $ | — | |
Average amount borrowed | | | 4,833,778 | | | | 11,831,595 | |
Interest expense | | | 28,074 | | | | 15,063 | |
Weighted average interest rate | | | 0.48 | % | | | 0.13 | % |
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 year ended August 31, 2022, 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 transactions 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
355
| | |
| | | |
| Notes to Financial Statements | | |
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 August 31, 2022 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 August 31, 2022 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 August 31, 2022.
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 August 31, 2022:
| | | | | | | | |
| | | Assets | | | Liabilities | |
| Derivative Instruments (a) | | Gross Amounts of
Recognized Assets
Presented in the
Statements of
Assets and Liabilities | | | Gross Amounts of
Recognized Liabiliites
Presented in the
Statements of
Assets and Liabilities | |
| Core Fixed Income Fund: | | | | | | | | |
Forward foreign currency contracts | | $ | 220,737 | | | $ | 448,893 | |
Option contracts | | | 10,585 | (b) | | | 914,603 | |
| | | | | | | | |
Total Derivative Instruments, subject to master netting arrangement or similar arrangement | | $ | 231,322 | | | $ | 1,363,496 | |
| | | | | | | | |
| International Fixed Income Fund: | | | | | | | | |
Forward foreign currency contracts | | $ | 3,570,630 | | | $ | 314,320 | |
Option contracts | | | 106,779 | (b) | | | 685,678 | |
Swap contracts | | | 883,139 | | | | 10,617 | |
| | | | | | | | |
Total Derivative Instruments, subject to master netting arrangement or similar arrangement | | $ | 4,560,548 | | | $ | 1,010,615 | |
| | | | | | | | |
| Inflation-Linked Fixed Income Fund: | | | | | | | | |
Forward foreign currency contracts | | $ | 521,776 | | | $ | 71,516 | |
Option contracts | | | 756,455 | (b) | | | 1,035,876 | |
| | | | | | | | |
Total Derivative Instruments, subject to master netting arrangement or similar arrangement | | $ | 1,278,231 | | | $ | 1,107,392 | |
| | | | | | | | |
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| | |
| | | |
| Notes to Financial Statements | | |
| | | | | | | | |
| | | Assets | | | Liabilities | |
| Derivative Instruments (a) | | Gross Amounts of
Recognized Assets
Presented in the
Statements of
Assets and Liabilities | | | Gross Amounts of
Recognized Liabiliites
Presented in the
Statements of
Assets and Liabilities | |
| Ultra-Short Term Fixed Income Fund: | | | | | | | | |
Forward foreign currency contracts | | $ | 2,958,493 | | | $ | 312,412 | |
| | | | | | | | |
Total Derivative Instruments, subject to master netting arrangement or similar arrangement | | $ | 2,958,493 | | | $ | 312,412 | |
| | | | | | | | |
| (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 August 31, 2022:
| | | | | | | | | | | | | | | | |
| 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 | | | | | | | | | | | | | | | | |
Citigroup Global Markets Inc. | | $ | 229,983 | | | $ | (229,983 | ) | | $ | — | | | $ | 0 | |
Goldman Sachs & Co. | | | 1,339 | | | | — | | | | — | | | | 1,339 | |
| | | | | | | | | | | | | | | | |
Total Over-the-counter derivative instruments | | $ | 231,322 | | | $ | (229,983 | ) | | $ | — | | | $ | 1,339 | |
| | | | | | | | | | | | | | | | |
| | | | |
| 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. | | $ | 1,363,496 | | | $ | (229,983 | ) | | $ | — | | | $ | 1,133,513 | |
| | | | | | | | | | | | | | | | |
Total Over-the-counter derivative instruments | | $ | 1,363,496 | | | $ | (229,983 | ) | | $ | — | | | $ | 1,133,513 | |
| | | | | | | | | | | | | | | | |
| | | | |
| 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 | | $ | 717,206 | | | $ | (89,360 | ) | | $ | (627,846 | ) | | $ | 0 | |
Barclays Bank PLC | | | 481,386 | | | | (3,603 | ) | | | (380,000 | ) | | | 97,783 | |
BNP Paribas SA | | | 1,075,236 | | | | (94,253 | ) | | | (800,000 | ) | | | 180,983 | |
Deutsche Bank AG | | | 220,411 | | | | (65,964 | ) | | | — | | | | 154,447 | |
Goldman Sachs & Co. | | | 155,695 | | | | (155,695 | ) | | | — | | | | 0 | |
HSBC Bank USA | | | 1,407,339 | | | | (4,483 | ) | | | (1,402,856 | ) | | | 0 | |
357
| | |
| | | |
| Notes to Financial Statements | | |
| | | | | | | | | | | | | | | | |
| 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) | |
JPMorgan Chase & Co. | | $ | 89,501 | | | $ | (59,163 | ) | | $ | — | | | $ | 30,338 | |
Royal Bank of Scotland PLC | | | 178,647 | | | | — | | | | — | | | | 178,647 | |
Societe Generale SA | | | 70,552 | | | | (14,899 | ) | | | — | | | | 55,653 | |
Standard Chartered Bank | | | 131,306 | | | | (30,734 | ) | | | — | | | | 100,572 | |
UBS Securities LLC | | | 33,269 | | | | (33,269 | ) | | | — | | | | 0 | |
| | | | | | | | | | | | | | | | |
Total Over-the-counter derivative instruments | | $ | 4,560,548 | | | $ | (551,423 | ) | | $ | (3,210,702 | ) | | $ | 798,423 | |
| | | | | | | | | | | | | | | | |
| | | | |
| 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 | | $ | 89,360 | | | $ | (89,360 | ) | | $ | — | | | $ | 0 | |
Barclays Bank PLC | | | 3,603 | | | | (3,603 | ) | | | — | | | | 0 | |
BNP Paribas SA | | | 94,253 | | | | (94,253 | ) | | | — | | | | 0 | |
Deutsche Bank AG | | | 65,964 | | | | (65,964 | ) | | | — | | | | 0 | |
Goldman Sachs & Co. | | | 590,802 | | | | (155,695 | ) | | | — | | | | 435,107 | |
HSBC Bank USA | | | 4,483 | | | | (4,483 | ) | | | — | | | | 0 | |
JPMorgan Chase & Co. | | | 59,163 | | | | (59,163 | ) | | | — | | | | 0 | |
Societe Generale SA | | | 14,899 | | | | (14,899 | ) | | | — | | | | 0 | |
Standard Chartered Bank | | | 30,734 | | | | (30,734 | ) | | | — | | | | 0 | |
UBS Securities LLC | | | 57,354 | | | | (33,269 | ) | | | — | | | | 24,085 | |
| | | | | | | | | | | | | | | | |
Total Over-the-counter derivative instruments | | $ | 1,010,615 | | | $ | (551,423 | ) | | $ | — | | | $ | 459,192 | |
| | | | | | | | | | | | | | | | |
| | | | |
| 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 | | | | | | | | | | | | | | | | |
Barclays Bank PLC | | $ | 126,717 | | | $ | (126,717 | ) | | $ | — | | | $ | 0 | |
BNP Paribas SA | | | 504,752 | | | | (504,752 | ) | | | — | | | | 0 | |
Deutsche Bank AG | | | 187,366 | | | | (187,366 | ) | | | — | | | | 0 | |
HSBC Bank USA | | | 393,737 | | | | (50,843 | ) | | | (280,000 | ) | | | 62,894 | |
JPMorgan Chase & Co. | | | 5,874 | | | | (5,874 | ) | | | — | | | | 0 | |
Merrill Lynch, Pierce, Fenner & Smith Inc. | | | 55,038 | | | | (6,248 | ) | | | — | | | | 48,790 | |
Standard Chartered Bank | | | 4,747 | | | | (3,145 | ) | | | — | | | | 1,602 | |
| | | | | | | | | | | | | | | | |
Total Over-the-counter derivative instruments | | $ | 1,278,231 | | | $ | (884,945 | ) | | $ | (280,000 | ) | | $ | 113,286 | |
| | | | | | | | | | | | | | | | |
358
| | |
| | | |
| Notes to Financial Statements | | |
| | | | | | | | | | | | | | | | |
| 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 | | $ | 192,326 | | | $ | (126,717 | ) | | $ | — | | | $ | 65,609 | |
BNP Paribas SA | | | 588,948 | | | | (504,752 | ) | | | — | | | | 84,196 | |
Deutsche Bank AG | | | 258,184 | | | | (187,366 | ) | | | — | | | | 70,818 | |
HSBC Bank USA | | | 50,843 | | | | (50,843 | ) | | | — | | | | 0 | |
JPMorgan Chase & Co. | | | 7,698 | | | | (5,874 | ) | | | — | | | | 1,824 | |
Merrill Lynch, Pierce, Fenner & Smith Inc. | | | 6,248 | | | | (6,248 | ) | | | — | | | | 0 | |
Standard Chartered Bank | | | 3,145 | | | | (3,145 | ) | | | — | | | | 0 | |
| | | | | | | | | | | | | | | | |
Total Over-the-counter derivative instruments | | $ | 1,107,392 | | | $ | (884,945 | ) | | $ | — | | | $ | 222,447 | |
| | | | | | | | | | | | | | | | |
| | | | |
| 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 | | | | | | | | | | | | | | | | |
Barclays Bank PLC | | $ | 597,786 | | | $ | — | | | $ | (360,000 | ) | | $ | 237,786 | |
BNP Paribas SA | | | 18,188 | | | | (18,188 | ) | | | — | | | | 0 | |
HSBC Bank USA | | | 1,364,285 | | | | (135,431 | ) | | | (1,228,854 | ) | | | 0 | |
JPMorgan Chase & Co. | | | 68,946 | | | | (68,946 | ) | | | — | | | | 0 | |
Merrill Lynch, Pierce, Fenner & Smith Inc. | | | 558,597 | | | | (73,626 | ) | | | (320,000 | ) | | | 164,971 | |
Standard Chartered Bank | | | 350,691 | | | | — | | | | (300,000 | ) | | | 50,691 | |
| | | | | | | | | | | | | | | | |
Total Over-the-counter derivative instruments | | $ | 2,958,493 | | | $ | (296,191 | ) | | $ | (2,208,854 | ) | | $ | 453,448 | |
| | | | | | | | | | | | | | | | |
| | | | |
| 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 | | $ | 34,387 | | | $ | (18,188 | ) | | $ | — | | | $ | 16,199 | |
HSBC Bank USA | | | 135,431 | | | | (135,431 | ) | | | — | | | | 0 | |
JPMorgan Chase & Co. | | | 68,968 | | | | (68,946 | ) | | | — | | | | 22 | |
Merrill Lynch, Pierce, Fenner & Smith Inc. | | | 73,626 | | | | (73,626 | ) | | | — | | | | 0 | |
| | | | | | | | | | | | | | | | |
Total Over-the-counter derivative instruments | | $ | 312,412 | | | $ | (296,191 | ) | | $ | — | | | $ | 16,221 | |
| | | | | | | | | | | | | | | | |
| (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. |
359
| | |
| | | |
| Notes to Financial Statements | | |
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.
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 year ended August 31, 2022 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 | | | 0.32 | % | | | 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 year ended August 31, 2022, the amounts waived and/or reimbursed by the Manager were as follows:
| | | | |
| Fund | | Amounts Waived
and/or Reimbursed | |
Large Cap Equity Fund | | $ | 3,960,953 | |
Small-Mid Cap Equity Fund | | | 2,004,758 | |
International Equity Fund | | | 2,385,277 | |
Emerging Markets Equity Fund | | | 1,745,773 | |
Core Fixed Income Fund | | | 339,462 | |
High Yield Fund | | | 321,281 | |
International Fixed Income Fund | | | 92,668 | |
360
| | |
| | | |
| Notes to Financial Statements | | |
| | | | |
| Fund | | Amounts Waived
and/or Reimbursed | |
Municipal Bond Fund | | $ | — | |
Inflation-Linked Fixed Income Fund | | | 63,578 | |
Ultra-Short Term Fixed Income Fund | | | 283,145 | |
Alternative Strategies Fund | | | 1,386,152 | |
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.
For the year ended August 31, 2022, 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 | | $ | 7,513 | |
Small-Mid Cap Equity Fund | | | 3,787 | |
International Equity Fund | | | — | |
Emerging Markets Equity Fund | | | 5,526 | |
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 year ended August 31, 2022, the Funds assume the following to be affiliated issuers:
Large Cap Equity Fund
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Underlying Security | | Beginning Value as of August 31, 2021 | | | Purchases at Cost | | | Proceeds from Sales | | | Net Realized Gain on Sales | | | Change in Unrealized Depreciation | | | Dividend/
Interest Income | | | Ending Value as of August 31, 2022 | |
Morgan Stanley | | $ | 3,824,540 | | | $ | 279,356 | | | $ | (822,350) | | | $ | 427,218 | | | $ | (1,080,324 | ) | | $ | 93,772 | | | $ | 2,628,440 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Core Fixed Income Fund
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Underlying Security | | Beginning Value as of August 31, 2021 | | | Purchases at Cost | | | Proceeds from Sales | | | Net Realized (Loss) on Sales | | | Change in Unrealized Depreciation | | | Dividend/
Interest
Income | | | Ending
Value as of
August 31, 2022 | |
Morgan Stanley Bank of America Merrill Lynch Trust: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Series 2013-C13, Class A4, 4.039% due 11/15/46 | | $ | 533,514 | | | $ | — | | | $ | — | | | $ | — | | | $ | (38,737 | ) | | $ | 20,195 | | | $ | 494,777 | |
Series 2016-C28, Class A3, 3.272% due 1/15/49 | | | 632,966 | | | | — | | | | (83,792 | ) | | | (5,041 | ) | | | (54,917 | ) | | | 17,972 | | | | 489,216 | |
Morgan Stanley Resecuritization Trust, Series 2014-R3, Class 2A, 3.000% due 7/26/48 | | | 204,031 | | | | — | | | | (202,238 | ) | | | (126 | ) | | | (1,667 | ) | | | 699 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | 1,370,511 | | | $ | — | | | $ | (286,030 | ) | | $ | (5,167 | ) | | $ | (95,321 | ) | | $ | 38,866 | | | $ | 983,993 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
361
| | |
| | | |
| Notes to Financial Statements | | |
Ultra-Short Term Fixed Income Fund
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Underlying Security | | Beginning Value as of August 31, 2021 | | | Purchases at Cost | | | Proceeds from Sales | | | Net Realized Gain on Sales | | | Change in Unrealized Depreciation | | | Accretion
of discount | | | Dividend/
Interest Income | | | Ending Value as of August 31, 2022 | |
Morgan Stanley ABS Capital I Inc. Trust, Series 2004-HE4, Class M1, 3.344% (1-Month USD-LIBOR + 0.900%) due 5/25/34 | | $ | 508,348 | | | $ — | | | | $ | (72,114 | ) | | $ | 298 | | | $ | (15,849 | ) | | $ | 269 | | | $ | 7,119 | | | $ | 420,952 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
3. Investments
During the year ended August 31, 2022, 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 | | $ | 377,626,002 | | | $ | 530,812,518 | | | $ | — | | | $ | — | |
Small-Mid Cap Equity Fund | | | 234,034,007 | | | | 241,762,203 | | | | — | | | | — | |
International Equity Fund | | | 516,523,008 | | | | 492,234,356 | | | | — | | | | — | |
Emerging Markets Fund | | | 152,474,824 | | | | 71,174,504 | | | | — | | | | — | |
Core Fixed Income Fund | | | 375,074,420 | | | | 190,589,739 | | | | 3,292,143,887 | | | | 3,145,922,295 | |
High Yield Fund | | | 69,035,127 | | | | 136,076,580 | | | | — | | | | — | |
International Fixed Income Fund | | | 91,388,264 | | | | 71,007,821 | | | | 480,703,721 | | | | 469,760,978 | |
Municipal Bond Fund | | | 49,494,355 | | | | 42,013,603 | | | | — | | | | — | |
Inflation-Linked Fixed Income Fund | | | 7,649,978 | | | | 14,872,156 | | | | 89,999,036 | | | | 124,347,016 | |
Ultra-Short Term Fixed Income Fund | | | 250,361,100 | | | | 145,235,360 | | | | 300,724,800 | | | | 381,982,409 | |
Alternative Strategies Fund | | | 58,877,817 | | | | 24,512,625 | | | | — | | | | — | |
The cost of investments for federal income tax purposes, gross unrealized appreciation and unrealized depreciation at August 31, 2022 have been disclosed under respective schedules of investments.
4. Shares of Beneficial Interest
At August 31, 2022, the Trust had an unlimited number of units of beneficial interest (shares) authorized with a par value of $0.001 per share. At August 31, 2022, 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:
| | | | | | | | |
| | | Year Ended August 31, 2022 | | | Year Ended August 31, 2021 | |
| Large Cap Equity Fund | | | | | | | | |
Shares sold | | | 19,904,526 | | | | 16,388,468 | |
Shares issued on reinvestment | | | 8,645,037 | | | | 2,732,361 | |
Shares repurchased | | | (26,812,574 | ) | | | (26,014,243 | ) |
| | | | | | | | |
Net Increase (Decrease) | | | 1,736,989 | | | | (6,893,414 | ) |
| | | | | | | | |
| | |
| Small-Mid Cap Equity Fund | | | | | | | | |
Shares sold | | | 11,973,855 | | | | 6,299,496 | |
Shares issued on reinvestment | | | 6,195,989 | | | | 1,453,513 | |
Shares repurchased | | | (13,284,349 | ) | | | (14,375,989 | ) |
| | | | | | | | |
Net Increase (Decrease) | | | 4,885,495 | | | | (6,622,980 | ) |
| | | | | | | | |
362
| | |
| | | |
| Notes to Financial Statements | | |
| | | | | | | | |
| | | Year Ended August 31, 2022 | | | Year Ended August 31, 2021 | |
| International Equity Fund | | | | | | | | |
Shares sold | | | 30,494,035 | | | | 20,885,682 | |
Shares issued on reinvestment | | | 8,542,341 | | | | 1,776,742 | |
Shares repurchased | | | (30,232,493 | ) | | | (31,102,796 | ) |
| | | | | | | | |
Net Increase (Decrease) | | | 8,803,883 | | | | (8,440,372 | ) |
| | | | | | | | |
| Emerging Markets Equity Fund | | | | | | | | |
Shares sold | | | 13,449,565 | | | | 7,814,946 | |
Shares issued on reinvestment | | | 1,444,042 | | | | 727,361 | |
Shares repurchased | | | (8,347,559 | ) | | | (13,644,516 | ) |
| | | | | | | | |
Net Increase (Decrease) | | | 6,546,048 | | | | (5,102,209 | ) |
| | | | | | | | |
| | |
| Core Fixed Income Fund | | | | | | | | |
Shares sold | | | 66,749,282 | | | | 75,404,820 | |
Shares issued on reinvestment | | | 4,652,186 | | | | 6,196,598 | |
Shares repurchased | | | (37,663,106 | ) | | | (37,036,082 | ) |
| | | | | | | | |
Net Increase | | | 33,738,362 | | | | 44,565,336 | |
| | | | | | | | |
| | |
| High Yield Fund | | | | | | | | |
Shares sold | | | 10,050,417 | | | | 26,167,624 | |
Shares issued on reinvestment | | | 2,370,721 | | | | 3,691,543 | |
Shares repurchased | | | (33,859,888 | ) | | | (50,925,415 | ) |
| | | | | | | | |
Net Decrease | | | (21,438,750 | ) | | | (21,066,248 | ) |
| | | | | | | | |
| | |
| International Fixed Income Fund | | | | | | | | |
Shares sold | | | 10,232,338 | | | | 7,584,914 | |
Shares issued on reinvestment | | | 551,579 | | | | 121,411 | |
Shares repurchased | | | (5,468,504 | ) | | | (5,355,761 | ) |
| | | | | | | | |
Net Increase | | | 5,315,413 | | | | 2,350,564 | |
| | | | | | | | |
| | |
| Municipal Bond Fund | | | | | | | | |
Shares sold | | | 3,373,446 | | | | 4,448,064 | |
Shares issued on reinvestment | | | 230,070 | | | | 177,244 | |
Shares repurchased | | | (3,002,986 | ) | | | (2,316,494 | ) |
| | | | | | | | |
Net Increase | | | 600,530 | | | | 2,308,814 | |
| | | | | | | | |
| | |
| Inflation-Linked Fixed Income Fund | | | | | | | | |
Shares sold | | | 2,662,178 | | | | 6,226,990 | |
Shares issued on reinvestment | | | 1,585,959 | | | | 734,246 | |
Shares repurchased | | | (6,385,150 | ) | | | (7,669,850 | ) |
| | | | | | | | |
Net Decrease | | | (2,137,013 | ) | | | (708,614 | ) |
| | | | | | | | |
| Ultra-Short Term Fixed Income Fund | | | | | | | | |
Shares sold | | | 26,855,941 | | | | 19,830,490 | |
Shares issued on reinvestment | | | 616,856 | | | | 667,516 | |
Shares repurchased | | | (19,947,043 | ) | | | (15,665,398 | ) |
| | | | | | | | |
Net Increase | | | 7,525,754 | | | | 4,832,608 | |
| | | | | | | | |
363
| | |
| | | |
| Notes to Financial Statements | | |
| | | | | | | | |
| | | Year Ended August 31, 2022 | | | Year Ended August 31, 2021 | |
| Alternative Strategies Fund | | | | | | | | |
Shares sold | | | 6,417,531 | | | | 8,057,159 | |
Shares issued on reinvestment | | | 85,188 | | | | 46,431 | |
Shares repurchased | | | (3,594,275 | ) | | | (1,206,672 | ) |
| | | | | | | | |
Net Increase | | | 2,908,444 | | | | 6,896,918 | |
| | | | | | | | |
5. Dividend and Tax Components of Capital
The tax character of distributors paid during the fiscal year ended August 31, 2022, were as follows:
| | | | | | | | | | | | | | | | |
| | | Large
Cap Equity
Fund | | | Small-Mid
Cap Equity
Fund | | | International
Equity
Fund | | | Emerging
Markets Equity
Fund | |
Distributions paid from: | | | | | | | | | | | | | | | | |
Tax Exempt | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
Tax Return of Capital | | | — | | | | — | | | | — | | | | — | |
Ordinary Income | | | 55,371,813 | | | | 39,828,090 | | | | 60,603,181 | | | | 10,261,243 | |
Net Long-term Capital Gains | | | 163,004,873 | | | | 82,172,502 | | | | 58,735,890 | | | | 12,656,111 | |
| | | | | | | | | | | | | | | | |
Total Distributions Paid | | $ | 218,376,686 | | | $ | 122,000,592 | | | $ | 119,339,071 | | | $ | 22,917,354 | |
| | | | | | | | | | | | | | | | |
| | | | |
| | | Core Fixed
Income
Fund | | | High Yield
Fund | | | International
Fixed Income
Fund | | | Municipal
Bond
Fund | |
Distributions paid from: | | | | | | | | | | | | | | | | |
Tax Exempt | | $ | — | | | $ | — | | | $ | — | | | $ | 1,711,299 | |
Tax Return of Capital | | | — | | | | — | | | | — | | | | — | |
Ordinary Income | | | 30,347,304 | | | | 8,225,582 | | | | 3,684,321 | | | | 197,327 | |
Net Long-term Capital Gains | | | 5,659,109 | | | | — | | | | 656,640 | | | | 172,870 | |
| | | | | | | | | | | | | | | | |
Total Distributions Paid | | $ | 36,006,413 | | | $ | 8,225,582 | | | $ | 4,340,961 | | | $ | 2,081,496 | |
| | | | | | | | | | | | | | | | |
| | | | |
| | | | | | Inflation-Linked
Fixed Income
Fund | | | Ultra-Short Term
Fixed Income
Fund | | | Alternative
Strategies
Fund | |
Distributions paid from: | | | | | | | | | | | | | | | | |
Tax Exempt | | | $ | — | | | $ | — | | | $ | — | |
Tax Return of Capital | | | | — | | | | — | | | | — | |
Ordinary Income | | | | 11,712,060 | | | | 6,020,068 | | | | 728,353 | |
Net Long-term Capital Gains | | | | 4,468,405 | | | | — | | | | 198,491 | |
| | | | | | | | | | | | | |
Total Distributions Paid | | | $ | 16,180,465 | | | $ | 6,020,068 | | | $ | 926,844 | |
| | | | | | | | | | | | | | | | |
364
| | |
| | | |
| Notes to Financial Statements | | |
As of August 31, 2022, the components of accumulated earnings on a tax basis were as follows:
| | | | | | | | | | | | | | | | |
| | | Large
Cap Equity
Fund | | | Small-Mid
Cap Equity
Fund | | | International
Equity
Fund | | | Emerging
Markets Equity
Fund | |
Undistributed ordinary income - net | | $ | 10,171,115 | | | $ | 2,094,786 | | | $ | 18,835,593 | | | $ | 8,664,475 | |
Undistributed long-term capital gains - net | | | 127,205,942 | | | | 49,719,989 | | | | 36,124,099 | | | | — | |
Undistributed tax-exempt income - net | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Total Undistributed earnings | | | 137,377,057 | | | | 51,814,775 | | | | 54,959,692 | | | | 8,664,475 | |
Capital loss carryforward | | | — | | | | — | | | | — | | | | — | |
Other book/tax temporary differences | | | — | | | | 13 | (a) | | | (242 | )(a) | | | (10,264,652 | ) |
Unrealized appreciation/(depreciation) | | | 617,336,872 | | | | 75,261,888 | | | | (66,110,670 | ) | | | (23,250,629 | ) |
| | | | | | | | | | | | | | | | |
Total accumulated earnings/(losses) - net | | $ | 754,713,929 | | | $ | 127,076,676 | | | $ | (11,151,220 | ) | | $ | (24,850,806 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
| | | Core Fixed
Income
Fund | | | High Yield
Fund | | | International
Fixed Income
Fund | | | Municipal
Bond
Fund | |
Undistributed ordinary income - net | | $ | — | | | $ | 1,505,594 | | | $ | 10,764,691 | | | $ | — | |
Undistributed long-term capital gains - net | | | — | | | | — | | | | — | | | | — | |
Undistributed tax-exempt income - net | | | — | | | | — | | | | — | | | | 378,708 | |
| | | | | | | | | | | | | | | | |
Total Undistributed earnings | | | — | | | | 1,505,594 | | | | 10,764,691 | | | | 378,708 | |
Capital loss carryforward | | | (57,419,977 | ) | | | (15,376,833 | ) | | | (2,681,290 | ) | | | (1,920,798 | ) |
Other book/tax temporary differences | | | (2,582,862 | )(a) | | | 1 | (a) | | | (2 | )(a) | | | — | |
Unrealized appreciation/(depreciation) | | | (133,582,839 | ) | | | (13,739,844 | ) | | | (27,907,341 | ) | | | (3,951,835 | ) |
| | | | | | | | | | | | | | | | |
Total accumulated earnings/(losses) - net | | $ | (193,585,678 | ) | | $ | (27,611,082 | ) | | $ | (19,823,942 | ) | | $ | (5,493,925 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
| | | | | | Inflation-Linked
Fixed Income
Fund | | | Ultra-Short Term
Fixed Income
Fund | | | Alternative
Strategies
Fund | |
Undistributed ordinary income - net | | | $ | 3,993,536 | | | $ | 14,328,104 | | | $ | 3,855,708 | |
Undistributed long-term capital gains - net | | | | 1,870,229 | | | | — | | | | 347,871 | |
Undistributed tax-exempt income - net | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | |
Total Undistributed earnings | | | | 5,863,765 | | | | 14,328,104 | | | | 4,203,579 | |
Capital loss carryforward | | | | — | | | | (10,175,626 | ) | | | — | |
Other book/tax temporary differences | | | | 1 | (a) | | | — | | | | — | |
Unrealized appreciation/(depreciation) | | | | (12,347,634 | ) | | | (24,086,034 | ) | | | (1,171,358 | ) |
| | | | | | | | | | | | | |
Total accumulated earnings/(losses) - net | | | $ | (6,483,868 | ) | | $ | (19,933,556 | ) | | $ | 3,032,221 | |
| | | | | | | | | | | | | | | | |
| (a) | The differences between book-basis and tax-basis unrealized appreciation (depreciation) is attributable to the tax deferral of losses on wash sales, tax cost adjustments related to partnerships, forwards, futures, options, swaps, ROC dividends received, real estate investments, interest accrual on defaulted bonds, the difference between book and tax amortization methods for premiums on fixed income securities, and/or the realization for tax purposes of unrealized gains on investments in passive foreign investment companies. |
6. 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.
365
| | |
| | | |
| Notes to Financial Statements | | |
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-Linked
Fixed Income
Fund | | | Ultra-Short Term
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 | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
During the year ended August 31, 2022 the following funds utilized capital loss carryforwards:
| | | | |
| | | Ultra-Short Term
Fixed Income
Fund | |
Short Term | | $ | 322,171 | |
Long Term | | | — | |
| | | | |
| | $
| 322,171
|
|
| | | | |
Qualified late year losses are capital losses and specified ordinary losses, including currency losses, incurred after October 31 but within the taxable year that, if elected, are deemed to arise on the first day of the Fund’s next taxable year. For the year ended August 31, 2022, the Fund intends to defer to September 1, 2022 for U.S. federal income tax purposes the following losses:
| | | | | | | | |
| | | Emerging
Markets
Equity Fund | | | Core Fixed
Income
Fund | |
Ordinary Late Year Losses | | $ | — | | | $ | — | |
Short-Term Post-October Loss | | | 5,779,572 | | | | — | |
Long-Term Post-October Loss | | | 4,485,080 | | | | — | |
Specified Late Year Loss | | | — | | | | 2,582,860 | |
| | | | | | | | |
Total | | $ | 10,264,652 | | | $ | 2,582,860 | |
| | | | | | | | |
7. 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 August 31, 2022, the Funds made the following distributions:
| | | | | | | | | | | | | | | | | | | | |
| Record Date Payable Date | | Core Fixed
Income
Fund | | | High Yield
Fund | | | Municipal
Bond
Fund | | | Inflation-Linked
Fixed Income
Fund | | | Ultra-Short Term
Fixed Income
Fund | |
9/1/22-9/30/22 | | $ | 0.018241 | | | $ | 0.015732 | | | $ | 0.017903 | | | $ | 0.016995 | | | $ | 0.019110 | |
366
| | |
| | | |
Report of Independent Registered Public
Accounting Firm | | |
To the shareholders and the Board of Trustees of
Morgan Stanley Pathway Funds:
Opinion on the Financial Statements and Financial Highlights
We have audited the accompanying statements of assets and liabilities of the Morgan Stanley Pathway Funds comprising the 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 (the “Funds”), including the schedules of investments, as of August 31, 2022, the related statements of operations, changes in net assets, and the financial highlights for the periods indicated in the table below, and the related notes. We have also audited the statements of cash flows of International Fixed Income Fund and Inflation-Linked Fixed Income Fund for the year ended August 31, 2022. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of each of the funds listed above constituting the Morgan Stanley Pathway Funds as of August 31, 2022, and the results of their operations for the year then ended, the cash flows of International Fixed Income Fund and Inflation-Linked Fixed Income Fund for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for the period listed in the table below, in conformity with accounting principles generally accepted in the United States of America.
| | | | | | |
Individual Fund Comprising the Morgan
Stanley Pathway Funds | | Statements of Operations
and Cash Flows* | | Statements of
Changes in Net Assets | | Financial Highlights |
| Large Cap Equity Fund | | For the year-ended August 31, 2022 | | For the years ended August 31, 2022 and 2021 | | For the years ended August 31, 2022, 2021, 2020, 2019, and 2018 |
| 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 | | For the year-ended August 31, 2022 | | For the years ended August 31, 2022 and 2021 | | For the years ended August 31, 2022, 2021, 2020, 2019 and the period from February 15, 2018 (fund inception) through August 31, 2018. |
| * | Statements of Cash Flows presented for the International Fixed Income Fund and Inflation-Linked Fixed Income Fund. |
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion.
367
| | |
| | | |
Report of Independent Registered Public
Accounting Firm | | |
Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of August 31, 2022, by correspondence with the custodian, brokers, and agent banks; when replies were not received from brokers and agent banks, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/ Deloitte & Touche LLP
Boston, Massachusetts
October 28, 2022
We have served as the auditor of one or more Morgan Stanley Pathway Funds investment companies since 2009.
368
| | |
| | | |
| Board Approval of Management Agreement and Investment Advisory Agreements | | |
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.
****
At an in-person meeting held on May 24-25, 2022 (the “May Meeting”), the Board, including a majority of the Independent Trustees, approved the continuance of the Agreements for an annual period. In connection with the May Meeting and at other meetings during the course of the year, the Independent Trustees requested and received information from the Manager and the Sub-advisers that they deemed reasonably necessary for their review of the Agreements and the performance of the Manager and Sub-advisers under the Agreements. The information received and considered by the Independent Trustees both in conjunction with the May Meeting and throughout the year was both written and oral. The Independent Trustees were assisted in their reviews by Fund counsel and independent legal counsel (“Independent Counsel”) and met with Independent Counsel in executive sessions separate from representatives of the Manager and the Sub-advisers. The Independent Trustees also were assisted in their reviews by an independent analysis of investment company contract review processes. In addition to the Management Agreement and the investment advisory agreement between the Trust, on behalf of the Alternative Strategies Fund, and the Manager (the “IM Agreement”), pursuant to which the Manager serves as the investment adviser for the Alternative Strategies Fund, the Board approved at the May Meeting the Subadvisory Agreements with the following Sub-advisers on behalf of the indicated Fund to continue for another year:
| | |
Sub-adviser Name | | Fund(s) Serviced |
| |
| The Consulting Group, Consulting Group Advisory Services LLC | |
¨ Alternative Strategies Fund |
| |
Aristotle Capital Boston, LLC | | ¨ Small-Mid Cap Equity Fund |
| |
| BlackRock Financial Management, Inc. | | ¨ Core Fixed Income Fund ¨ Large Cap Equity Fund ¨ Small-Mid Cap Equity Fund ¨ International Equity Fund ¨ Emerging Markets Equity Fund ¨ Municipal Bond Fund |
| |
| Causeway Capital Management LLC | | ¨ International Equity Fund |
| |
| ClearBridge Investments, LLC | | ¨ Large Cap Equity Fund |
| |
| Columbia Management Investment Advisers, LLC | | ¨ Large Cap Equity Fund |
| |
| D.F. Dent and Company, Inc. | | ¨ Small-Mid Cap Equity Fund |
| |
| Lazard Asset Management, LLC | | ¨ Large Cap Equity Fund ¨ Emerging Markets Equity Fund |
369
| | |
| | | |
| Board Approval of Management Agreement and Investment Advisory Agreements | | |
| | |
Sub-adviser Name | | Fund(s) Serviced |
| |
| Lyrical Asset Management LLC | | ¨ Large Cap Equity Fund |
| |
| Martin Currie Inc. | | ¨ Emerging Markets Equity Fund |
| |
Delaware Investments Fund Advisers (Macquarie Investment Management) | |
¨ Large Cap Equity Fund |
| |
| Metropolitan West Asset Management LLC | | ¨ Core Fixed Income Fund |
| |
| Neuberger Berman Investment Advisers LLC | | ¨ Small-Mid Cap Equity Fund |
| |
| Nuance Investments, LLC | | ¨ Small-Mid Cap Equity Fund |
| |
| Pacific Investment Management Company LLC | | ¨ International Fixed Income Fund ¨ Inflation-Linked Fixed Income Fund ¨ Ultra-Short Term Fixed Income Fund |
| |
| PineBridge Investments LLC | | ¨ High Yield Fund |
| |
| Schroders Investment Management North America Inc. | |
¨ International Equity Fund |
| |
Schroders Investment Management North America Ltd. (delegation agreement) | |
¨ International Equity Fund |
| |
| Van Eck Associates Corporation | | ¨ Emerging Markets Equity Fund |
| |
| Victory Capital Management, Inc. | | ¨ International Equity Fund |
| |
| Walter Scott & Partners Limited | | ¨ International Equity Fund |
| |
| Western Asset Management Company | | ¨ Core Fixed Income Fund ¨ High Yield Fund |
| |
Westfield Capital Management Co., L.P. | | ¨ Small-Mid Cap Equity Fund |
In voting to approve the Agreements at the May Meeting, the Independent Trustees considered whether the approval of the Agreements would be in the best interests of the respective Fund and its shareholders, an evaluation based on several factors including those discussed below.
Nature, Extent and Quality of the Services Provided Under the Agreements
The Board received and considered information regarding the nature, extent and quality of services provided to the Funds by the Manager and the Sub-advisers under the respective Agreements during the May Meeting and during the past year. The Independent Trustees considered information regarding the process by which the Manager selected and recommended the Sub-advisers for Board approval and the Manager’s supervisory activities over the Sub-advisers. The Independent Trustees noted that the Manager monitors and evaluates the performance of each Fund’s Sub-advisers, including the Sub-advisers’ compliance with the investment objective, policies, and restrictions of the relevant Fund. The Board also received a description of the administrative and other services rendered to the Trust and its shareholders during the past year. The Board noted information received at regular meetings throughout the year related to the services rendered by the Manager about the management of the Trust’s affairs and its role in coordinating the activities of the Sub-advisers and the Trust’s other service providers. The Board considered each Sub-adviser’s specific responsibilities in all aspects of the day-to-day management of the portion of the respective Fund’s assets allocated to it, as well as the qualifications, experience and responsibilities of the persons serving as the portfolio managers for the segment of the Fund’s assets managed by the respective Sub-adviser, and other key personnel at the Sub-adviser. The Board specifically considered each Sub-adviser’s investment process and capabilities, evaluating, if applicable, how the Sub-adviser complemented each of the other Sub-advisers, if any, to the respective Fund. With respect to the Alternative Strategies Fund, the Independent Trustees considered the Manager’s investment process and capabilities managing assets and the Manager’s specific responsibilities in all aspects of day-to-day management of the Fund’s assets, as well as the qualification, experience and responsibilities of the person who serves as the portfolio manager for the Alternative Strategies Fund.
370
| | |
| | | |
| Board Approval of Management Agreement and Investment Advisory Agreements | | |
The Independent Trustees also discussed the acceptability of the terms of the Management Agreement, IM Agreement and Sub-Advisory Agreements. The Independent Trustees considered the Manager’s favorable assessment of the nature and quality of the sub-advisory services provided to the Funds by the Sub-advisers. The Board also reviewed information received from the Manager and the Trust’s Chief Compliance Officer regarding the Trust’s compliance policies and procedures established pursuant to Rule 38a-1 under the 1940 Act, including those specific to the Manager providing day-to-day management of the Alternative Strategies Fund’s assets, and those of each Sub-adviser.
During the course of the year and at the May Meeting, the Board reviewed the qualifications, backgrounds and responsibilities of the Trust’s senior personnel and the portfolio management team primarily responsible for the management of the Funds and the selection and evaluation of Sub-Advisers. The Board also considered the Manager’s and the Sub-advisers’ brokerage policies and practices, transaction execution standards, policies and practices regarding soft dollars, and quality controls applicable to brokerage allocation procedures. The Board also considered the risks associated with the Trust borne by the Manager and its affiliates (such as entrepreneurial, operational and regulatory risk), as well as the Manager’s risk management processes.
The Board concluded that, overall, the nature, extent and quality of services provided (and expected to be provided) under the Management Agreement, IM Agreement and Subadvisory Agreements were adequate and appropriate.
Fund Performance
As to each Fund, the Board received and considered performance information for the Fund and for all retail and institutional funds, regardless of asset size or primary channel of distribution, in the Fund’s Lipper category (the “Performance Universe”) selected by Broadridge Financial Solutions Inc. (“Broadridge”), an independent provider of investment company data based on classifications provided by Thomson Reuters Lipper. As to each Fund, the Board was provided with a description of the methodology Broadridge used to determine the similarity of the Fund with the funds included in the Fund’s Performance Universe. It was noted that, while the Board has found the Broadridge data generally useful, the Trustees recognized the limitations of such data, including that the data may vary depending on the end date selected and that the results of the performance comparisons may vary depending on the selection of the peer group and its composition over time. The Board also noted that it had received and discussed with advisory personnel of the Trust at periodic intervals throughout the year information on the investment performance of each Fund in comparison to similar mutual funds and benchmark performance indices. As to each Sub-adviser, the Board received and considered performance information provided by the Manager for the Sub-adviser managing the portion of the respective Fund’s assets allocated to it. In addition, the Board considered the Funds’ performance in light of overall financial market conditions. The information comparing each Fund’s performance to that of its Performance Universe (except as noted below) was for the one-, three-, five- and ten-year periods ended March 31, 2022.
The Board noted that the Large Cap Equity Fund performed below the median performance of the funds in the Performance Universe for the one- and three-year periods and above the median performance of the funds in the Performance Universe for the five- and ten-year period and was in the third quintile for each period. The Board noted that Small-Mid Cap Equity Fund performed better than the median performance of the funds in the Performance Universe for each period (and was ranked in the first quintile for the five-year period), except for the one-year period when its performance was below the median performance of the funds in the Performance Universe. The Board further noted that the International Equity Fund performed above the median performance of the funds in the Performance Universe for each period, except for the one- and ten-year periods when its performance was below the median performance of the funds in the Performance Universe. With respect to the Emerging Markets Equity Fund,the Board noted that the Fund performed below the median performance of the funds in its Performance Universe for each period. The Trustees then discussed with representatives of management the portfolio management strategy of the Funds’ Sub-advisers and the reasons for certain Funds’ underperformance versus the Performance Universe during certain of the periods under review. Based on its review and discussions with management, as to the Large Cap Equity Fund, Small-Mid Cap Equity Fund and International Equity Fund, the Board was satisfied with the overall performance of the Funds and the performance of the Funds’ Sub-advisers, and with the Adviser’s evaluation of the Emerging Markets Equity Fund’s underperforming its Performance Universe during the periods under review, noting the recent addition of a new additional Sub-adviser for the Emerging Markets Equity Fund.
371
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| Board Approval of Management Agreement and Investment Advisory Agreements | | |
The Board noted that the Core Fixed Income Fund performed above or at the median performance of the funds in the Performance Universe for each period, except for the one-year period when its performance was below the median performance of the funds in the Performance Universe. The Board further noted that the International Fixed Income Fund performed above the median performance of the funds in its Performance Universe for each period (and was ranked in the first quintile for the five- and ten-year periods), except for the one-year period when its performance was below the median performance of the funds in the Performance Universe. With respect to each of the High Yield Fund and Municipal Bond Fund, the Board noted that the Funds performed below the median performance of the funds in their respective Performance Universe for each period. With respect to the Inflation-Linked Fixed Income Fund, the Board noted that the Fund performed better than the median performance of the funds in its Performance Universe for the one-, three- and five-year periods, the only periods of performance information provided by Broadridge as the Fund commenced operations on March 8, 2016 (and was ranked in the first quintile for each period). With respect to the Ultra-Short Term Fixed Income Fund, the Board noted that the Fund performed below the median performance of the funds in its Performance Universe for the one-year period and its performance was approximately equivalent to the median performance of the funds in its Performance Universe for the three- and five-year periods, the only periods of performance information provided by Broadridge as the Fund commenced operations on March 8, 2016. The Trustees then discussed with representatives of management the portfolio management strategy of the Funds’ Sub-advisers and the reasons for certain Funds’ underperformance versus the respective Performance Universe during certain of the periods under review. Based on its review and discussions with management, as to the Core Fixed Income Fund, International Fixed Income Fund, Inflation-Linked Fixed Income Fund and Ultra-Short Term Fixed Income Fund, the Board was satisfied with the overall performance of the Funds and the performance of the Funds’ Sub-advisers. With respect to each of the High Yield Fund and Municipal Bond Fund, the Board was satisfied with the Adviser’s evaluation of the Fund’s underperforming its Performance Universe, noting the recent addition of a new additional Sub-adviser for the High Yield Fund.
In addition, the Board noted that the Alternative Strategies Fund performed better than the median performance of the funds in the Performance Universe for the one- and three-year periods, the only periods of performance information provided by Broadridge as the Fund commenced operations on February 15, 2018. As to the Alternative Strategies Fund, based on its review and discussions with management, and noting the limited period of performance data available from Broadridge, the Board was satisfied with the overall performance of the Fund.
The Trustees determined to continue to evaluate the Funds’ performance and that of their respective Sub-advisers, as applicable, and to continue to periodically review Fund performance with the Manager.
Management Fees and Expense Ratios
As to each Fund, the Board reviewed and considered the contractual management fee rate (“Contractual Management Fee”) payable by the Fund to the Manager in light of the nature, extent and quality of the management and sub-advisory services provided by the Manager and the Sub-advisers, respectively. The Board also reviewed and considered the actual management fee rate (“Actual Management Fee”) paid by each Fund over the Fund’s last fiscal year which included reductions for fee waiver and/or expense reimbursement arrangements that were in effect for the Fund, which reduced the management fee paid to the Manager. The Board noted that the Manager has contractually agreed to waive fees and reimburse expenses in order to keep each Fund’s management fees from exceeding the total amount of sub-advisory fees, if any, paid by the Manager plus 0.20% based on average net assets of the Fund. The Board also noted that the compensation paid to the Sub-advisers is paid by the Manager, not the applicable Funds, and, accordingly, that the retention of the Sub-advisers does not increase the fees or expenses otherwise incurred by such Funds and their shareholders. The Board also reviewed with management the scope of services provided to the Funds by the Manager, noting that the Funds are provided with regulatory compliance services, office facilities and Trust officers (including the Trust’s chief financial, chief legal and chief compliance officers), and that the Manager coordinates and oversees the provision of services to each Fund by other fund service providers, including the Sub-advisers. The Board considered the amount of the management fee retained by the Manager after payment of sub-advisory fees to the Sub-advisers, in each case in light of the services rendered for those amounts. The Board also considered and discussed information about the Sub-advisers’ fees and comparable information for other sub-advised funds and accounts managed by the Sub-advisers.
Additionally, the Board received and considered information comparing each Fund’s Contractual Management Fee and Actual Management Fee and the Fund’s actual total expenses with those of a group of funds selected by Broadridge as comparable to the particular Fund (the “Expense Group”) and a broader group of retail no-load funds selected by Broadridge (the “Expense Universe”). It was noted that while the Board found the Broadridge data generally useful they recognized its limitations, including that the data may vary depending on the selection of the peer group and the fiscal year ends of the peer group funds.
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| Board Approval of Management Agreement and Investment Advisory Agreements | | |
The information reviewed showed that the Contractual and Actual Management Fees of the Large Cap Equity Fund, Small-Mid Cap Equity Fund, Emerging Markets Equity Fund and International Equity Fund were lower than the median Contractual and Actual Management Fees for the funds in the applicable Expense Group, except for the Large Cap Equity Fund where the Contractual Management Fee was approximately equivalent to the median Contractual Management Fee for the funds in its Expense Group, and that the Actual Management Fees were lower than the average Actual Management Fees for the funds in the applicable Expense Universe for each of these Funds.
The information reviewed showed that the Contractual and Actual Management Fees of the Core Fixed Income Fund, High Yield Fund, International Fixed Income Fund and Municipal Bond Fund were approximately equivalent to the median Contractual and Actual Management Fees for the funds in the applicable Expense Group, except for the High Yield Fund where the Contractual Management Fee was higher than the median Contractual Management Fee for the funds in its Expense Group, and that the Actual Management Fees were approximately equivalent to the average Actual Management Fees for the funds in the applicable Expense Universe for each of these Funds. The information reviewed showed that the Contractual and Actual Management Fees of the Inflation-Linked Fixed Income Fund and Ultra-Short Term Fixed Income Fund were higher than the median Contractual and Actual Management Fees for the funds in the applicable Expense Group, and that the Actual Management Fees were higher than the average Actual Management Fees for the funds in the applicable Expense Universe for each of these Funds. The information reviewed showed that the Contractual and Actual Management Fees of the Alternative Strategies Fund were lower than the median Contractual and Actual Management Fees for the funds in the Expense Group, and that the Actual Management Fee was lower than the average Actual Management Fee for the funds in the Expense Universe.
The Independent Trustees also noted that the Broadridge expense information showed that the actual total expense ratio for each of the Large Cap Equity Fund, Small-Mid Cap Equity Fund, International Equity Fund, Emerging Markets Equity Fund, Core Fixed Income Fund, High Yield Fund, and Alternative Strategies Fund was lower than the median expense ratios of the funds in the respective Fund’s Expense Group. The Broadridge expense information also showed that the actual total expense ratio for each of the Inflation-Linked Fixed Income Fund, International Fixed Income Fund, Municipal Bond Fund and Ultra-Short Term Fixed Income Fund was higher than the median expense ratios of the funds in the respective Fund’s Expense Group. The information reviewed also showed that the actual total expense ratio for each Fund, except for the Inflation-Linked Fixed Income Fund, International Fixed Income Fund, Municipal Bond Fund and Ultra-Short Term Fixed Income Fund, was lower than the average expense ratios of the funds in its respective Expense Group and Expense Universe.
The Board determined that, as to each Fund, the management fee paid by the Fund to the Manager and the sub-advisory fees paid by the Manager to the Sub-advisers, as applicable, were reasonable in light of comparative performance and expense information and the nature, extent and quality of the services provided to the Fund under the Agreements.
Manager Profitability
The Board received and considered a profitability analysis of the Manager and its affiliates in providing services to the Funds. In addition, the Board received information with respect to the Manager’s allocation methodologies used in preparing this profitability data. To the extent available, the Board also reviewed information provided by the Sub-advisers with respect to the relevant Sub-adviser’s profitability in providing sub-advisory services to the Funds. The Board also noted the profitability percentage ranges determined by appropriate court cases to be reasonable given the services rendered to investment companies. As to each Fund, the Board determined that the Manager’s profitability was not excessive in light of the nature, extent and quality of the services provided to the Fund.
Economies of Scale
As to each Fund, the Board considered information regarding whether there have been economies of scale with respect to the management of the Fund, whether the Fund has appropriately benefited from any economies of scale and whether there is potential for realization of any further economies of scale. The Board considered the various ways economies of scale could be realized and shared with Fund investors, and whether economies of scale in the provision of services to the Fund were being passed along to the shareholders. As to each Fund, the Board also noted that to the extent the Fund’s assets increase over time, the Fund and its shareholders should realize economies of scale as certain expenses, such as fixed fund fees, become a smaller percentage of overall assets. The Board noted that it appeared that the benefits of any economies of scale also would be appropriately shared with shareholders through increased investment in fund management resources.
373
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| Board Approval of Management Agreement and Investment Advisory Agreements | | |
Other Benefits to the Manager and the Sub-advisers
As to each Fund, the Board considered other benefits received by the Manager, the Sub-advisers and their affiliates as a result of their relationship with the Funds, including soft dollar arrangements, receipt of brokerage and the opportunity to offer additional products and services to Fund shareholders.
In light of the Manager’s costs of providing investment management and other services to the Funds and the Manager’s ongoing commitment to the Funds and each Sub-adviser’s day-to-day management of the portion of the respective Fund’s assets allocated to it, the profits and ancillary benefits that the Manager, the Sub-advisers and their affiliates received were considered reasonable.
Based on their discussions and considerations, including those described above, the Board approved the Management Agreement, the IM Agreement and the Subadvisory Agreements to continue for another year. No single factor reviewed by the Board was identified by the Board as the principal factor in determining whether to approve the Agreements.
*******
Trustees and Officers of the Trust
The Trust’s Board of Trustees (“Board” or “Trustees”) 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 distributor, Sub-advisers, 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 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.
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Trustees and Officers of the Trust
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
and
Length
of Time
Served* | | Principal Occupation(s)
During Past Five Years | | Number of
Funds
in Fund
Complex
Overseen by
Trustee | | | Other Board
Memberships
Held During Past
Five Years by
Trustee |
| | | | |
INDEPENDENT TRUSTEES | | | | | | | | | | |
| | | | | |
Mark J. Reed 2000 Westchester Avenue Purchase, NY 10577 Birth Year: 1964 | | Trustee | | Since 2007 | | Principal and Portfolio Manager, North American Management Corp. (Investment Advisory) (2013-present); and formerly, Managing Director and Chief Compliance Officer, Bush O’Donnell Investment Advisors, Inc. (Registered Investment Advisor) (1988-2013) | | | 11 | | | None |
| | | | | |
Adela Cepeda 2000 Westchester Avenue Purchase, NY 10577 Birth Year: 1958 | | Chair 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, Fort Dearborn Income Securities (2000-August 2016) |
| | | | | |
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) |
375
| | | | | | | | | | |
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 | | Number of
Funds
in Fund
Complex
Overseen by
Trustee | | Other Board
Memberships
Held During Past
Five Years by
Trustee |
| | | | | |
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 (2001-present); and Director, Urban Gateways (1995-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 (2011-2018); and formerly, Head of Manager Solutions, Morgan Stanley (2015-March 2017) | | 11 | | None |
376
| | | | | | |
Name, Address and
Year 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, 9th 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) |
| | | |
Michael Loewengart Morgan Stanley 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 Investment 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) |
377
| | | | | | |
Name, Address and
Year 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 27th Floor 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) |
| | | |
James J. Tracy Morgan Stanley 2000 Westchester Avenue 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) |
| | | |
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) |
378
| | | | | | |
Name, Address and
Year of Birth | | Position(s)
Held with
Trust | | Term of Office***
and Length of
Time Served | | Principal Occupation(s) During Past Five Years |
| | | |
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. |
Board Composition and Leadership Structure
Currently, five of the six Trustees on the Board (83.33%) are not “interested persons” (as defined in the 1940 Act) of the Trust and as such are not affiliated with the Manager or any Sub-adviser (“Independent Trustees”). The Board has appointed Ms. Cepeda, an Independent Trustee, to serve as Chairperson of the Board. There are two primary committees of the Board: the Audit Committee and the Corporate Governance and Nominating Committee. Each Committee is chaired by an Independent Trustee and comprised solely of Independent Trustees. The Board has determined that this leadership structure is appropriate given the specific characteristics and circumstances of the Trust and in light of the services that the Manager and its affiliates and the Sub-advisers provide to the Trust and potential conflicts of interest that could arise from these relationships. The Board believes that the existing Board structure is appropriate because, among other things, it allows the Independent Trustees to exercise independent business judgment in evaluating the Trust’s management and service providers.
Board Oversight of Risk Management
The Board considers risk management issues as part of its general oversight responsibilities. As is the case with virtually all investment companies (as distinguished from operating companies), service providers to the Trust, primarily the Manager and its affiliates and the Sub-advisers, have responsibility for the day-to-day management of the Funds, which includes responsibility for risk management (including management of investment performance and investment risk, valuation risk, issuer and counterparty credit risk, compliance risk and operational risk). As part of its oversight, the Board, acting at its scheduled meetings, or the Chairman of the Board or the appropriate Committee, acting between Board meetings, regularly interacts with and receives reports from senior personnel of service providers, including the Manager’s investment officers, the Trust’s and the Manager’s Chief Compliance Officer (“CCO”) and the Sub-advisers’ portfolio management personnel. The Board’s Audit Committee meets during its scheduled meetings, and between meetings the Audit Committee chair maintains contact, with the Trust’s independent registered public accounting firm and the Trust’s Chief Financial Officer. The Board receives periodic presentations from senior personnel of the Manager or its affiliates regarding investment performance of the Funds and the applicable investment risk management process. The Board also receives periodic presentations from senior personnel of the Manager or its affiliates and the Sub-advisers regarding risk management generally, as well as periodic presentations regarding specific operational, compliance or investment areas, such as business continuity, anti-money laundering, cybersecurity, personal trading, valuation, credit, investment research, portfolio trading and transactions, and securities lending. The Board has adopted policies and procedures designed to address certain risks to the Funds. In addition, the Manager and other service providers to the Trust have adopted a variety of policies, procedures and controls designed to address particular risks to the Funds. Different processes, procedures and controls are employed with respect to different types of risks. However, it is not possible to eliminate all of the risks applicable to the Funds. The Board also receives reports from counsel to the Trust or counsel to the Manager and the Independent Trustees’ own independent legal counsel regarding regulatory compliance and governance matters. The Board’s oversight role does not make the Board a guarantor of the Funds’ investments or activities.
379
Individual Trustee Qualifications
The Board believes that each Trustee’s experience, qualifications, attributes or skills on an individual basis and in combination with those of the other Trustees lead to the conclusion that the Board possesses the requisite attributes and skills to effectively oversee the management of the Trust and the interests of Fund shareholders. The Board believes that the significance of each Trustee’s experience, qualifications, attributes or skills is an individual matter (meaning that experience that is important for one Trustee may not have the same value for another) and that these factors are best evaluated at the Board level, with no single Trustee, or particular factor, being indicative of Board effectiveness. However, the Board believes that Trustees must have the ability to critically review, evaluate, question and discuss information provided to them, and to interact effectively with Trust management, service providers and counsel, in order to exercise effective business judgment in the performance of their duties. The Board believes that the Trustees satisfy this standard. Experience relevant to having this ability may be achieved through a Trustee’s educational background; business, professional training or practice (e.g., accounting or law), public service or academic positions; experience from service as a board member (including the Board of the Trust) or as an executive of investment funds, public companies or significant private or not-for-profit entities or other organizations; and/or other life experiences. The charter for the Board’s Corporate Governance and Nominating Committee contains certain other factors considered by the Committee in identifying and evaluating potential nominees to the Board. The Board noted that most of the Trustees had experience serving as directors on the boards of operating companies and/or other investment companies. The Board considered that Mses. Cepeda and Westbrook and Messrs. Matthews, McKissack and Reed have or had careers in the financial services or investment management industries, including holding executive positions in companies engaged in these industries, which allows these Trustees to bring valuable, relevant experience as members of the Board. Mr. Ricciardelli has substantial experience as an executive and financial officer in leadership roles with Morgan Stanley and affiliated entities.
Board Committees
The Trust has an Audit Committee and a Corporate Governance and Nominating Committee. The members of the Audit Committee and the Corporate Governance and Nominating Committee consist of all the Independent Trustees of the Trust, namely Mses. Cepeda and Westbrook, and Messrs. Matthews, McKissack and Reed. The Board also at times may constitute other committees of the Board to assist in the evaluation of specific matters.
The Audit Committee oversees each Fund’s audit, accounting and financial reporting policies and practices and its internal controls. The Audit Committee approves, and recommends to the Board for its ratification, the selection, appointment, retention or termination of the Trust’s independent registered public accounting firm and approves the compensation of the independent registered public accounting firm. The Audit Committee also approves all audit and permissible non-audit services provided to each Fund by the independent registered public accounting firm and all permissible non-audit services provided by the Trust’s independent registered public accounting firm to the Manager and any affiliated service providers if the engagement relates directly to Fund operations and financial reporting. The Audit Committee met two times during the Trust’s most recent fiscal year.
The Corporate Governance and Nominating Committee is charged with overseeing the Board governance matters and related Trustee practices, including selecting and nominating persons for election or appointment by the Board as Independent Trustees of the Trust. The Corporate Governance and Nominating Committee will consider nominees recommended by the Funds’ shareholders if a vacancy occurs. Shareholders who wish to recommend a nominee should send nominations to the Trust’s Secretary. The Corporate Governance and Nominating Committee also considers and recommends to the Board the appropriate compensation for serving as a Trustee on the Board. The Corporate Governance and Nominating Committee did not meet during the Trust’s most recent fiscal year.
Review of Liquidity Risk Management Program
Pursuant to Rule 22e-4 under the 1940 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 a meeting of the Board held on May 22, 2022, 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
380
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.
381
| | |
| | | |
| Important Tax Information | | |
The following information is provided with respect to the distributions paid during the taxable year ended August 31, 2022:
| | | | | | | | | | | | | | | | | | | | |
| | | Large
Cap Equity
Fund | | | Small-Mid
Cap Equity
Fund | | | International
Equity
Fund | | | Emerging
Markets Equity
Fund | | | Core Fixed
Income
Fund | |
Record Date | | | 12/6/2021 | | | | 12/6/2021 | | | | 12/6/2021 | | | | 12/6/2021 | | | | Monthly | |
Payable Date | | | 12/7/2021 | | | | 12/7/2021 | | | | 12/7/2021 | | | | 12/7/2021 | | | | Monthly | |
Ordinary Income: | | | | | | | | | | | | | | | | | | | | |
Qualified Dividend Income for Individuals | | | 37.83 | % | | | 6.23 | % | | | 23.77 | % | | | 52.46 | % | | | 0.00 | % |
Dividends Qualifying for the Dividends Received: | | | | | | | | | | | | | | | | | | | — | |
Deduction for Corporations | | | 36.27 | % | | | 5.72 | % | | | 8.00 | % | | | 0.16 | % | | | 0.00 | % |
Foreign Source Income | | | — | | | | — | | | | 99.83 | %* | | | 99.19 | %* | | | — | |
Foreign Tax Paid par Share | | | — | | | | — | | | | 0.076407 | | | | 0.028455 | | | | — | |
Long-term Capital Gain Dividend | | | 2.175012 | | | | 3.139070 | | | | 0.632563 | | | | 0.387309 | | | | 0.045293 | |
| | | | | |
| | | High Yield
Fund | | | International
Fixed Income
Fund | | | Municipal
Bond
Fund | | | Inflation-Linked
Fixed Income
Fund | | | Ultra-Short Term
Fixed Income
Fund | |
Record Date | | | Monthly | | | | 12/6/2021 | | | | Monthly | | | | Monthly | | | | Monthly | |
Payable Date | | | Monthly | | | | 12/7/2021 | | | | Monthly | | | | Monthly | | | | Monthly | |
Ordinary Income: | | | | | | | | | | | | | | | | | | | | |
Qualified Dividend Income for Individuals | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % |
Dividends Qualifying for the Dividends Received: | | | | | | | | | | | | | | | | | | | | |
Deduction for Corporations | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % |
Foreign Source Income | | | — | | | | — | | | | — | | | | — | | | | — | |
Foreign Tax Paid par Share | | | — | | | | — | | | | — | | | | — | | | | — | |
Long-term Capital Gain Dividend | | | — | | | | 0.03113 | | | | 0.019203 | | | | 0.340185 | | | | — | |
| | | | | |
| | | Alternative
Strategies
Fund | | | | | | | | | | | | | |
Record Date | | | 12/30/2021 | | | | | | | | | | | | | | | | | |
Payable Date | | | 12/30/2021 | | | | | | | | | | | | | | | | | |
Ordinary Income: | | | | | | | | | | | | | | | | | | | | |
Qualified Dividend Income for Individuals | | | 11.67 | % | | | | | | | | | | | | | | | | |
Dividends Qualifying for the Dividends Received: | | | | | | | | | | | | | | | | | | | | |
Deduction for Corporations | | | 4.15 | % | | | | | | | | | | | | | | | | |
Foreign Source Income | | | — | | | | | | | | | | | | | | | | | |
Foreign Tax Paid par Share | | | — | | | | | | | | | | | | | | | | | |
Long-term Capital Gain Dividend | | | 0.005227 | | | | | | | | | | | | | | | | | |
| * | Expressed as a percentage of the cash distribution grossed-up for foreign taxes. |
The law varies in each state as to whether and what percentage of dividend income attributable to Federal obligations is exempt from state income tax. We recommend that you consult with your tax adviser to determine if any portion of the dividends you received is exempt from state income taxes.
The foreign taxes paid represent taxes incurred by the Fund on income received by the Fund from foreign sources. Foreign taxes paid may be included in taxable income with an offsetting deduction from gross income or may be taken as a credit for taxes paid to foreign governments. You should consult your tax adviser regarding the appropriate treatment of foreign taxes paid.
Please retain this information for your records.
382
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.
© 2022 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
ITEM 2. CODE OF ETHICS.
As of the period ended August 31, 2022 (“Reporting Period”), the Registrant has adopted a code of ethics (“Code”) that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the Registrant or a third party. The Registrant has not amended any provision in its Code that relates to an element of the Code’s definitions enumerated in paragraph (b) of Item 2 of this Form N-CSR. A copy of this Code is filed as an Exhibit to this Form N-CSR pursuant to Item 13(a)(1).
The Registrant has not granted any waiver, including any implicit waiver, from a provision of its Code to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the Registrant or a third party.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
The Board of Trustees of the Registrant has determined that Teresa S. Westbrook possesses the attributes identified in Instruction (b) of Item 3 to Form N-CSR to qualify as an “audit committee financial expert,” and has designated Ms. Westbrook as the Registrant’s audit committee financial expert. Ms. Westbrook is an “independent” Trustee pursuant to paragraph (a)(2) of Item 3 to Form N-CSR.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
AUDIT FEES –
(a) Audit Fees. The aggregate fees billed for each of the last two fiscal years ended August 31, 2022 and August 31, 2021 for professional services rendered by the Registrant’s principal accountant (“Auditor”) for the audit of the Registrant’s annual financial statements, or services that are normally provided by the Auditor in connection with the statutory and regulatory filings or engagements for each of the last two fiscal years, were $663,650 in 2022 and $626,080 in 2021.
(b) Audit-Related Fees. The aggregate fees billed for each of the last two fiscal years ended August 31, 2022, and August 31, 2021, for assurance and related services by the Auditor that were reasonably related to the performance of the audit of the Registrant’s financial statements and were not reported under paragraph (a) of this Item 4, were $0 in 2022 and $0 in 2021
(c) Tax Fees. The aggregate fees billed for each of the last two fiscal years ended August 31, 2022 and August 31, 2021 for professional services rendered by the Auditor for tax compliance, tax advice and tax planning (“Tax Services”) were $0 in 2022 and $0 in 2021. These services consisted of (i) review or preparation of U.S. federal, state, local and excise tax returns; (ii) U.S. federal, state and local tax planning, advice and assistance regarding statutory, regulatory or administrative developments, and (iii) tax advice regarding tax qualification matters and/or treatment of various financial instruments held or proposed to be acquired or held.
(d) All Other Fees. The aggregate fees billed for each of the last two fiscal years ended August 31, 2022, and August 31, 2021, for products and services provided by the Auditor to the Registrant, other than the services reported in paragraphs (a) through (c) of this Item 4, were $0 for 2022 and $0 for 2021.
(e)(1) The Charter for the Audit Committee (“Committee”) of the Morgan Stanley Pathway Funds provides that the Committee may delegate its responsibility to approve any such audit and permissible non-audit services to a sub-committee consisting of the Chairperson of the Committee (“Chairperson”) and at least one other member of the Committee as the Chairperson, from time to time, may determine and appoint, and such sub-committee shall report to the Committee, at its next meeting after the sub-committee’s meeting, its decision(s). From year to year, and at such other times as the Committee deems appropriate, the Committee shall report to the Board whether this system of approval has been effective and efficient or whether this Charter should be amended to allow for pre-approval pursuant to such policies and procedures as the Committee shall approve, including the delegation of some or all of the Committee’s pre-approval responsibilities to other persons (other than the Adviser or the Trust’s officers).
(e)(2) The percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(c) of Rule 2-01 of Regulation S-X, with respect to: Audit-Related Fees were 0% for 2022 and 0% for 2021; Tax Fees were 0% for 2022 and 0% for 2021; and Other Fees were 0% for 2022 and 0% for 2021.
(f) Not Applicable.
(g) Aggregate non-audit fees billed by the Auditor for services rendered to the Registrant and the Registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management as is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the Registrant of each of the last two fiscal years of the Registrant (“Service Affiliates”) were $0 for 2022 and $0 in 2021.
(h) The Registrant’s Audit Committee has considered whether the provision of non-audit services that were rendered to Service Affiliates that were not pre-approved pursuant to paragraph (c)(7)ii of Rule 2-01 of Regulation S-X is compatible with maintaining the Auditor’s independence.
(i) Not Applicable.
(j) Not Applicable.
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) Code of ethics, or any amendment thereto, that is the subject of disclosure required by Item 2 is attached hereto.
(a)(2) Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(a)) are attached hereto.
(b) Certifications pursuant to 18 U.S.C. Section 1350 as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto.
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: | | November 1, 2022 |
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.
| | |
| By: | | /s/ Paul Ricciardelli |
| | Paul Ricciardelli |
| | Chief Executive Officer |
| | Morgan Stanley Pathway Funds |
| | |
| Date: | | November 1, 2022 |
| | |
| Morgan Stanley Pathway Funds |
| |
| By: | | /s/ Francis Smith |
| | Francis Smith |
| | Chief Financial Officer |
| | Morgan Stanley Pathway Funds |
| |
| Date: | | November 3, 2022 |
