Table of Contents
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 811-09025
New Covenant Funds
SEI Investments
One Freedom Valley Drive
Oaks, PA 19456
The Corporation Trust Company
Corporation Trust Center
1209 Orange Street
Wilmington, Delaware 19801
Registrant’s telephone number, including area code: 1-877-835-4531
Date of fiscal year end: June 30, 2013
Date of reporting period: December 31, 2012
Table of Contents
Item 1. Reports to Stockholders.
Table of Contents
December 31, 2012
SEMI-ANNUAL REPORT
New Covenant Funds
New Covenant Growth Fund
New Covenant Income Fund
New Covenant Balanced Growth Fund
New Covenant Balanced Income Fund
Table of Contents
1 | ||||
22 | ||||
23 | ||||
24 | ||||
26 | ||||
30 | ||||
39 |
The Trust files its complete schedule of portfolio holdings with the Securities and Exchange Commission (the “Commission”) for the first and third quarters of each fiscal year on Form N-Q within sixty days after the end of the period. The Trust’s Forms N-Q are available on the Commission’s website at http://www.sec.gov, and may be reviewed and copied at the Commission’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to portfolio securities, as well as information relating to how a Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, is available (i) without charge, upon request, by calling 1-800-DIAL-SEI; and (ii) on the Commission’s website at http://www.sec.gov.
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
December 31, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK — 97.3% | ||||||||
Argentina — 0.3% | ||||||||
MercadoLibre | 11,500 | $ | 904 | |||||
|
| |||||||
Australia — 0.7% | ||||||||
Brambles | 101,481 | 804 | ||||||
Cochlear | 10,089 | 836 | ||||||
Shopping Centres Australasia Property Group‡* | 1 | — | ||||||
Woolworths | 25,259 | 775 | ||||||
|
| |||||||
2,415 | ||||||||
|
| |||||||
Belgium — 0.2% | ||||||||
Groupe Bruxelles Lambert | 7,239 | 577 | ||||||
|
| |||||||
Brazil — 0.3% | ||||||||
Itau Unibanco Holding ADR | 33,343 | 549 | ||||||
Petroleo Brasileiro ADR | 30,640 | 596 | ||||||
|
| |||||||
1,145 | ||||||||
|
| |||||||
Canada — 0.9% | ||||||||
Catamaran | 1,804 | 85 | ||||||
Cenovus Energy | 14,102 | 471 | ||||||
Eldorado Gold | 47,784 | 614 | ||||||
Fairfax Financial Holdings | 3,138 | 1,130 | ||||||
Ritchie Bros Auctioneers | 23,399 | 488 | ||||||
Thomson Reuters | 4,839 | 141 | ||||||
Westport Innovations* | 11,830 | 313 | ||||||
|
| |||||||
3,242 | ||||||||
|
| |||||||
China — 0.8% | ||||||||
Baidu ADR* | 9,368 | 940 | ||||||
China Shenhua Energy, Cl H | 231,000 | 1,035 | ||||||
Want Want China Holdings | 681,000 | 954 | ||||||
|
| |||||||
2,929 | ||||||||
|
|
Description | Shares | Market Value | ||||||
Denmark — 1.0% | ||||||||
DSV | 34,847 | $ | 900 | |||||
Novo Nordisk ADR | 11,175 | 1,824 | ||||||
Novozymes, B Shares | 28,061 | 796 | ||||||
|
| |||||||
3,520 | ||||||||
|
| |||||||
Finland — 0.6% | ||||||||
Kone, Cl B | 19,310 | 1,426 | ||||||
Sampo, Cl A | 25,922 | 839 | ||||||
|
| |||||||
2,265 | ||||||||
|
| |||||||
France — 1.2% | ||||||||
Cie Generale d’Optique Essilor International | 11,365 | 1,145 | ||||||
Danone ADR | 115,183 | 1,542 | ||||||
Edenred | 25,451 | 786 | ||||||
Lafarge | 12,467 | 804 | ||||||
|
| |||||||
4,277 | ||||||||
|
| |||||||
Germany — 1.2% | ||||||||
Aixtron | 20,945 | 250 | ||||||
Continental | 6,066 | 706 | ||||||
Deutsche Boerse | 13,408 | 821 | ||||||
SAP ADR | 29,863 | 2,400 | ||||||
|
| |||||||
4,177 | ||||||||
|
| |||||||
Hong Kong — 1.2% | ||||||||
Cheung Kong Holdings | 47,000 | 731 | ||||||
Hang Seng Bank | 54,900 | 848 | ||||||
Hong Kong Exchanges and Clearing | 72,400 | 1,253 | ||||||
Kunlun Energy | 580,000 | 1,226 | ||||||
|
| |||||||
4,058 | ||||||||
|
| |||||||
Ireland — 1.7% | ||||||||
Accenture, Cl A | 781 | 52 | ||||||
Covidien | 18,113 | 1,046 | ||||||
CRH | 33,302 | 689 | ||||||
Eaton | 2,956 | 160 | ||||||
Experian | 64,403 | 1,039 | ||||||
Ingersoll-Rand | 41,769 | 2,003 | ||||||
Ryanair Holdings ADR | 24,248 | 831 | ||||||
|
| |||||||
5,820 | ||||||||
|
| |||||||
Japan — 1.9% | ||||||||
Canon | 14,600 | 567 | ||||||
Fast Retailing | 3,800 | 972 | ||||||
Inpex | 109 | 584 | ||||||
Mitsui | 40,100 | 602 | ||||||
Olympus | 30,200 | 587 | ||||||
Rakuten | 97,200 | 759 | ||||||
Shimano | 8,500 | 545 | ||||||
SMC | 4,800 | 874 |
New Covenant Funds / Semi-Annual Report / December 31, 2012 | 1 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
New Covenant Growth Fund (Continued)
December 31, 2012
Description | Shares | Market Value | ||||||
Tokyo Electron | 10,400 | $ | 481 | |||||
Trend Micro | 18,000 | 545 | ||||||
|
| |||||||
6,516 | ||||||||
|
| |||||||
Netherlands — 0.8% | ||||||||
Chicago Bridge & Iron | 509 | 24 | ||||||
CNH Global | 2,857 | 115 | ||||||
James Hardie Industries | 72,273 | 699 | ||||||
QIAGEN | 1,417 | 26 | ||||||
Unilever | 28,714 | 1,098 | ||||||
Unilever ADR | 25,362 | 971 | ||||||
|
| |||||||
2,933 | ||||||||
|
| |||||||
Norway — 0.4% | ||||||||
Aker Solutions | 41,372 | 855 | ||||||
Seadrill | 13,177 | 485 | ||||||
|
| |||||||
1,340 | ||||||||
|
| |||||||
Portugal — 0.1% | ||||||||
Galp Energia, Cl B | 24,181 | 376 | ||||||
|
| |||||||
Russia — 0.4% | ||||||||
Magnit GDR | 24,194 | 984 | ||||||
Sberbank of Russia ADR | 35,804 | 449 | ||||||
|
| |||||||
1,433 | ||||||||
|
| |||||||
Singapore — 0.6% | ||||||||
Avago Technologies, Cl A | 4,239 | 134 | ||||||
DBS Group Holdings | 57,176 | 702 | ||||||
United Overseas Bank | 75,552 | 1,240 | ||||||
|
| |||||||
2,076 | ||||||||
|
| |||||||
South Africa — 0.7% | ||||||||
Massmart Holdings | 29,394 | 666 | ||||||
Naspers, Cl N | 26,735 | 1,725 | ||||||
|
| |||||||
2,391 | ||||||||
|
| |||||||
South Korea — 0.9% | ||||||||
Hyundai Mobis* | 2,276 | 617 | ||||||
NHN* | 2,005 | 426 | ||||||
Samsung Electronics GDR | 3,200 | 2,297 | ||||||
|
| |||||||
3,340 | ||||||||
|
| |||||||
Spain — 0.3% | ||||||||
Inditex | 8,508 | 1,194 | ||||||
|
| |||||||
Sweden — 1.2% | ||||||||
Allied World Assurance Holdings | 839 | 66 | ||||||
Atlas Copco, Cl B | 88,319 | 2,167 | ||||||
Svenska Handelsbanken, Cl A | 37,873 | 1,361 | ||||||
Volvo, Cl B | 40,179 | 554 | ||||||
|
| |||||||
4,148 | ||||||||
|
|
Description | Shares | Market Value | ||||||
Switzerland — 1.2% | ||||||||
Garmin | 3,446 | $ | 141 | |||||
Nestle | 31,433 | 2,049 | ||||||
Pentair | 43,229 | 2,125 | ||||||
Tyco International | 391 | 11 | ||||||
|
| |||||||
4,326 | ||||||||
|
| |||||||
Taiwan — 0.8% | ||||||||
Hon Hai Precision Industry GDR | 114,676 | 698 | ||||||
Taiwan Semiconductor Manufacturing ADR | 117,993 | 2,025 | ||||||
|
| |||||||
2,723 | ||||||||
|
| |||||||
Turkey — 0.3% | ||||||||
BIM Birlesik Magazalar | 14,601 | 716 | ||||||
Turkiye Garanti Bankasi ADR | 83,369 | 433 | ||||||
|
| |||||||
1,149 | ||||||||
|
| |||||||
United Kingdom — 3.2% | ||||||||
Amlin | 121,563 | 756 | ||||||
Antofagasta | 39,786 | 872 | ||||||
Aon | 440 | 25 | ||||||
ARM Holdings | 102,000 | 1,289 | ||||||
BG Group | 40,125 | 670 | ||||||
BHP Billiton | 24,018 | 848 | ||||||
Burberry Group | 16,285 | 328 | ||||||
Capita | 67,879 | 839 | ||||||
Hargreaves Lansdown | 37,885 | 424 | ||||||
Petrofac | 19,000 | 508 | ||||||
Premier Farnell | 124,129 | 396 | ||||||
Prudential | 64,394 | 919 | ||||||
Rio Tinto | 23,521 | 1,373 | ||||||
Tullow Oil | 52,154 | 1,088 | ||||||
Wolseley | 21,036 | 1,006 | ||||||
|
| |||||||
11,341 | ||||||||
|
| |||||||
United States — 74.4% | ||||||||
Consumer Discretionary — 14.1% | ||||||||
Amazon.com | 10,417 | 2,616 | ||||||
Bed Bath & Beyond | 42,325 | 2,366 | ||||||
Cablevision Systems, Cl A | 92,919 | 1,388 | ||||||
Carnival | 555 | 20 | ||||||
CBS, Cl B | 73,706 | 2,805 | ||||||
Charter Communications, Cl A | 13,874 | 1,058 | ||||||
Choice Hotels International | 4,207 | 141 | ||||||
Coach | 47,769 | 2,652 | ||||||
Comcast, Cl A | 6,589 | 246 | ||||||
Delphi Automotive | 15,031 | 575 | ||||||
DIRECTV* | 1,202 | 60 | ||||||
Discovery Communications, Cl A | 21,439 | 1,361 | ||||||
Expedia | 662 | 41 | ||||||
Ford Motor | 4,820 | 62 | ||||||
Gannett | 313 | 6 |
2 | New Covenant Funds / Semi-Annual Report / December 31, 2012 |
Table of Contents
Description | Shares | Market Value | ||||||
General Motors | 318 | $ | 9 | |||||
Gentex | 44,553 | 839 | ||||||
Genuine Parts | 2,348 | 149 | ||||||
Harley-Davidson | 51,059 | 2,494 | ||||||
Home Depot | 26,870 | 1,662 | ||||||
Jarden | 2,250 | 116 | ||||||
JC Penney | 7,776 | 153 | ||||||
Johnson Controls | 857 | 26 | ||||||
Lennar, Cl A | 1,057 | 41 | ||||||
Liberty Interactive, Cl A* | 1,140 | 22 | ||||||
Liberty Media - Liberty Capital, Cl A | 249 | 29 | ||||||
Liberty Ventures* | 57 | 4 | ||||||
Lowe’s | 104,521 | 3,713 | ||||||
Limited Brands | 445 | 21 | ||||||
Macy’s | 532 | 21 | ||||||
Marriott International, Cl A | 3,886 | 145 | ||||||
Mattel | 153 | 6 | ||||||
McDonald’s | 1,274 | 112 | ||||||
McGraw-Hill | 16,341 | 893 | ||||||
Michael Kors Holdings | 492 | 25 | ||||||
Mohawk Industries | 490 | 44 | ||||||
Morningstar | 2,128 | 134 | ||||||
Newell Rubbermaid | 6,476 | 144 | ||||||
News, Cl A | 3,693 | 94 | ||||||
News, Cl B | 51,467 | 1,350 | ||||||
NIKE, Cl B | 59,320 | 3,061 | ||||||
Nordstrom | 49,131 | 2,629 | ||||||
O’Reilly Automotive | 167 | 15 | ||||||
Polaris Industries | 6,518 | 548 | ||||||
priceline.com* | 60 | 37 | ||||||
PulteGroup | 443 | 8 | ||||||
Ralph Lauren, Cl A | 7,712 | 1,156 | ||||||
Ross Stores | 363 | 20 | ||||||
Sally Beauty Holdings | 123 | 3 | ||||||
Signet Jewelers | 454 | 24 | ||||||
Staples | 78,079 | 890 | ||||||
Starbucks | 27,785 | 1,490 | ||||||
Starwood Hotels & Resorts Worldwide | 21,542 | 1,236 | ||||||
Target | 43,981 | 2,602 | ||||||
Tempur-Pedic International | 83 | 3 | ||||||
Time Warner | 1,069 | 51 | ||||||
Time Warner Cable | 23,177 | 2,253 | ||||||
TJX | 2,126 | 90 | ||||||
Tractor Supply | 93 | 8 | ||||||
Tupperware Brands | 2,114 | 136 | ||||||
Under Armour, Cl A | 18,381 | 892 | ||||||
Virgin Media | 363 | 13 | ||||||
Walt Disney | 55,351 | 2,756 | ||||||
Wyndham Worldwide | 461 | 25 | ||||||
Yum! Brands | 31,314 | 2,079 | ||||||
|
| |||||||
49,668 | ||||||||
|
|
Description | Shares | Market Value | ||||||
Consumer Staples — 9.6% | ||||||||
Archer-Daniels-Midland | 4,966 | $ | 136 | |||||
Avon Products | 10,034 | 144 | ||||||
Bunge | 1,900 | 138 | ||||||
Campbell Soup | 48,594 | 1,695 | ||||||
Church & Dwight | 2,695 | 144 | ||||||
Clorox | 1,706 | 125 | ||||||
Coca-Cola | 119,046 | 4,315 | ||||||
Coca-Cola Enterprises | 3,933 | 125 | ||||||
Colgate-Palmolive | 43,351 | 4,532 | ||||||
ConAgra Foods | 5,032 | 148 | ||||||
Costco Wholesale | 38,998 | 3,852 | ||||||
CVS Caremark | 4,215 | 204 | ||||||
Dean Foods* | 7,011 | 116 | ||||||
Dr. Pepper Snapple Group | 2,621 | 116 | ||||||
Energizer Holdings | 1,576 | 126 | ||||||
Estee Lauder, Cl A | 68,850 | 4,122 | ||||||
Flowers Foods | 4,001 | 93 | ||||||
Fresh Market* | 2,766 | 133 | ||||||
General Mills | 3,844 | 155 | ||||||
Green Mountain Coffee Roasters* | 884 | 37 | ||||||
Hershey | 1,759 | 127 | ||||||
Hillshire Brands | 4,965 | 140 | ||||||
HJ Heinz | 2,436 | 141 | ||||||
Hormel Foods | 3,897 | 122 | ||||||
Ingredion | 2,185 | 141 | ||||||
JM Smucker | 1,615 | 139 | ||||||
Kellogg | 2,710 | 151 | ||||||
Kimberly-Clark | 1,854 | 157 | ||||||
Kraft Foods Group | 3,705 | 169 | ||||||
Kroger | 5,698 | 148 | ||||||
McCormick | 2,001 | 127 | ||||||
Mead Johnson Nutrition, Cl A | 29,050 | 1,914 | ||||||
Mondelez International, Cl A | 48,107 | 1,225 | ||||||
Monster Beverage | 1,659 | 88 | ||||||
Nu Skin Enterprises, Cl A | 3,028 | 112 | ||||||
PepsiCo | 16,591 | 1,135 | ||||||
Pricesmart | 5,528 | 426 | ||||||
Procter & Gamble | 5,167 | 351 | ||||||
Ralcorp Holdings | 1,631 | 146 | ||||||
Safeway | 6,622 | 120 | ||||||
Smithfield Foods | 5,369 | 116 | ||||||
Sysco | 4,724 | 149 | ||||||
Tyson Foods, Cl A | 6,166 | 120 | ||||||
Walgreen | 894 | 33 | ||||||
Wal-Mart Stores | 32,099 | 2,190 | ||||||
Whole Foods Market | 39,254 | 3,585 | ||||||
|
| |||||||
33,728 | ||||||||
|
| |||||||
Energy — 5.5% | ||||||||
Anadarko Petroleum | 2,042 | 152 | ||||||
Apache | 19,487 | 1,530 | ||||||
Baker Hughes | 30,662 | 1,252 | ||||||
Cameron International | 235 | 14 |
New Covenant Funds / Semi-Annual Report / December 31, 2012 | 3 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
New Covenant Growth Fund (Continued)
December 31, 2012
Description | Shares | Market Value | ||||||
Chesapeake Energy | 68,906 | $ | 1,145 | |||||
Chevron | 2,427 | 262 | ||||||
Concho Resources | 135 | 11 | ||||||
ConocoPhillips | 14,862 | 862 | ||||||
Devon Energy | 551 | 29 | ||||||
Exxon Mobil | 26,560 | 2,299 | ||||||
Kinder Morgan | 853 | 30 | ||||||
Kosmos Energy | 1,732 | 21 | ||||||
Marathon Oil | 3,982 | 122 | ||||||
Murphy Oil | 24,376 | 1,452 | ||||||
National Oilwell Varco | 42,255 | 2,888 | ||||||
Noble Energy | 14,337 | 1,459 | ||||||
Occidental Petroleum | 2,107 | 161 | ||||||
Oceaneering International | 2,215 | 119 | ||||||
Oil States International* | 67 | 5 | ||||||
Phillips 66 | 19,044 | 1,011 | ||||||
Schlumberger | 63,952 | 4,431 | ||||||
Spectra Energy | 845 | 23 | ||||||
Ultra Petroleum | 198 | 4 | ||||||
Williams | 764 | 25 | ||||||
|
| |||||||
19,307 | ||||||||
|
| |||||||
Financials — 7.8% | ||||||||
Aflac | 29,712 | 1,578 | ||||||
American Express | 54,205 | 3,116 | ||||||
American International Group* | 21,819 | 770 | ||||||
Ameriprise Financial | 295 | 18 | ||||||
Apartment Investment & Management, Cl A‡ | 315 | 9 | ||||||
Arch Capital Group | 558 | 24 | ||||||
Ares Capital | 1,320 | 23 | ||||||
Axis Capital Holdings | 3,078 | 107 | ||||||
Bank of America | 13,953 | 162 | ||||||
Bank of New York Mellon | 1,615 | 42 | ||||||
BB&T | 906 | 26 | ||||||
Berkshire Hathaway, Cl B | 2,551 | 229 | ||||||
Boston Properties‡ | 97 | 10 | ||||||
Capital One Financial | 61,534 | 3,564 | ||||||
CBRE Group, Cl A | 89,441 | 1,780 | ||||||
Citigroup | 3,778 | 149 | ||||||
Credicorp | 7,547 | 1,106 | ||||||
Discover Financial Services | 435 | 17 | ||||||
Equity Residential‡ | 2,092 | 119 | ||||||
Everest Re Group | 226 | 25 | ||||||
Fidelity National Financial, Cl A | 72,782 | 1,714 | ||||||
Fifth Third Bancorp | 1,194 | 18 | ||||||
Forest City Enterprises, Cl A* | 179 | 3 | ||||||
General Growth Properties‡ | 1,279 | 25 | ||||||
Genworth Financial, Cl A* | 638 | 5 | ||||||
Goldman Sachs Group | 673 | 86 | ||||||
HCP‡ | 2,081 | 94 | ||||||
JPMorgan Chase | 65,883 | 2,897 | ||||||
Lazard, Cl A | 50,575 | 1,509 | ||||||
Leucadia National | 3,054 | 73 |
Description | Shares | Market Value | ||||||
Loews | 544 | $ | 22 | |||||
Marsh & McLennan | 713 | 25 | ||||||
MetLife | 5,094 | 168 | ||||||
Morgan Stanley | 2,008 | 38 | ||||||
MSCI, Cl A* | 39,450 | 1,222 | ||||||
Northern Trust | 15,503 | 778 | ||||||
PartnerRe | 316 | 25 | ||||||
Plum Creek Timber‡ | 149 | 7 | ||||||
PNC Financial Services Group | 684 | 40 | ||||||
ProLogis‡ | 596 | 22 | ||||||
Prudential Financial | 632 | 34 | ||||||
Simon Property Group‡ | 1,047 | 165 | ||||||
SLM | 686 | 12 | ||||||
State Street | 41,264 | 1,940 | ||||||
SunTrust Banks | 34,074 | 966 | ||||||
US Bancorp | 6,594 | 211 | ||||||
Vornado Realty Trust‡ | 1,113 | 89 | ||||||
Wells Fargo | 9,326 | 319 | ||||||
Weyerhaeuser‡ | 82,170 | 2,286 | ||||||
White Mountains Insurance Group | 41 | 21 | ||||||
Zions Bancorporation | 146 | 3 | ||||||
|
| |||||||
27,691 | ||||||||
|
| |||||||
Health Care — 7.9% | ||||||||
Abbott Laboratories | 1,908 | 125 | ||||||
Alexion Pharmaceuticals* | 8,435 | 791 | ||||||
Allergan | 10,243 | 940 | ||||||
Amgen | 34,650 | 2,991 | ||||||
Baxter International | 881 | 59 | ||||||
Biogen Idec | 315 | 46 | ||||||
Bristol-Myers Squibb | 4,135 | 135 | ||||||
Celgene* | 38,189 | 3,006 | ||||||
Cerner | 26,272 | 2,040 | ||||||
Dentsply International | 183 | 7 | ||||||
Eli Lilly | 1,831 | 90 | ||||||
Express Scripts Holding | 1,793 | 97 | ||||||
Forest Laboratories | 50,734 | 1,792 | ||||||
Gilead Sciences | 1,028 | 76 | ||||||
HCA Holdings | 1,295 | 39 | ||||||
Hologic | 39,427 | 790 | ||||||
Intuitive Surgical | 2,864 | 1,404 | ||||||
Johnson & Johnson | 24,864 | 1,743 | ||||||
Life Technologies | 232 | 11 | ||||||
Medtronic | 561 | 23 | ||||||
Merck | 6,735 | 276 | ||||||
Mettler-Toledo International | 42 | 8 | ||||||
Mylan* | 64,250 | 1,766 | ||||||
Myriad Genetics* | 102 | 3 | ||||||
Perrigo | 16,577 | 1,724 | ||||||
Pfizer | 173,655 | 4,355 | ||||||
Regeneron Pharmaceuticals | 219 | 37 | ||||||
St. Jude Medical | 45,982 | 1,662 | ||||||
Teleflex | 22,813 | 1,627 | ||||||
Thermo Fisher Scientific | 1,016 | 65 |
4 | New Covenant Funds / Semi-Annual Report / December 31, 2012 |
Table of Contents
Description | Shares | Market Value | ||||||
UnitedHealth Group | 2,881 | $ | 156 | |||||
WellPoint | 452 | 28 | ||||||
|
| |||||||
27,912 | ||||||||
|
| |||||||
Industrials — 6.2% | ||||||||
3M | 1,695 | 158 | ||||||
ADT | 195 | 9 | ||||||
AMETEK | 314 | 12 | ||||||
Armstrong World Industries | 462 | 23 | ||||||
BE Aerospace | 2,805 | 139 | ||||||
Caterpillar | 1,716 | 154 | ||||||
CH Robinson Worldwide | 215 | 13 | ||||||
Cintas | 551 | 23 | ||||||
Copa Holdings, Cl A | 869 | 86 | ||||||
Crane | 2,794 | 129 | ||||||
CSX | 1,434 | 28 | ||||||
Cummins | 7,249 | 785 | ||||||
Danaher | 2,292 | 128 | ||||||
Deere | 2,067 | 179 | ||||||
Delta Air Lines | 3,732 | 44 | ||||||
Dover | 243 | 16 | ||||||
Emerson Electric | 25,317 | 1,341 | ||||||
Engility Holdings | 7,012 | 135 | ||||||
Exelis | 42,583 | 480 | ||||||
Fastenal | 21,445 | 1,001 | ||||||
FedEx | 412 | 38 | ||||||
General Electric | 114,152 | 2,396 | ||||||
GrafTech International | 163,502 | 1,535 | ||||||
Honeywell International | 3,184 | 202 | ||||||
Huntington Ingalls Industries | 3,053 | 132 | ||||||
IHS, Cl A | 64 | 6 | ||||||
Illinois Tool Works | 24,934 | 1,516 | ||||||
JB Hunt Transport Services | 119 | 7 | ||||||
Joy Global | 14,182 | 905 | ||||||
Kansas City Southern | 15,713 | 1,312 | ||||||
Manpower | 107 | 5 | ||||||
Masco | 6,104 | 102 | ||||||
Nielsen Holdings | 3,499 | 107 | ||||||
Norfolk Southern | 429 | 27 | ||||||
PACCAR | 497 | 22 | ||||||
Pall | 37,142 | 2,238 | ||||||
Parker Hannifin | 1,607 | 137 | ||||||
Precision Castparts | 11,624 | 2,202 | ||||||
Republic Services, Cl A | 692 | 20 | ||||||
Rollins | 2,765 | 61 | ||||||
RR Donnelley & Sons | 244 | 2 | ||||||
Spirit Aerosystems Holdings, Cl A* | 8,583 | 146 | ||||||
Textron | 4,669 | 116 | ||||||
Timken | 2,717 | 130 | ||||||
Toro | 2,479 | 107 | ||||||
Towers Watson, Cl A | 74 | 4 | ||||||
TransDigm Group | 918 | 125 | ||||||
Triumph Group | 2,165 | 141 | ||||||
Union Pacific | 21,027 | 2,643 |
Description | Shares | Market Value | ||||||
United Continental Holdings | 1,868 | $ | 44 | |||||
United Parcel Service, Cl B | 1,804 | 133 | ||||||
United Technologies | 2,639 | 216 | ||||||
URS | 102 | 4 | ||||||
Waste Management | 3,917 | 132 | ||||||
Xylem | 232 | 6 | ||||||
|
| |||||||
21,802 | ||||||||
|
| |||||||
Information Technology — 16.7% | ||||||||
Activision Blizzard | 1,707 | 18 | ||||||
Adobe Systems | 107,634 | 4,056 | ||||||
Alliance Data Systems* | 67 | 10 | ||||||
Altera | 46,945 | 1,617 | ||||||
Amdocs | 3,848 | 131 | ||||||
Amphenol, Cl A | 366 | 24 | ||||||
ANSYS | 120 | 8 | ||||||
Apple | 11,904 | 6,345 | ||||||
Applied Materials | 1,714 | 19 | ||||||
Autodesk | 91,011 | 3,217 | ||||||
Automatic Data Processing | 68,057 | 3,880 | ||||||
BMC Software | 214 | 9 | ||||||
Broadcom, Cl A | 697 | 23 | ||||||
CA | 799 | 18 | ||||||
Cisco Systems | 56,758 | 1,115 | ||||||
Citrix Systems | 245 | 16 | ||||||
Cognizant Technology Solutions, Cl A* | 248 | 18 | ||||||
Corning | 2,041 | 26 | ||||||
Cree | 139 | 5 | ||||||
Dell | 3,957 | 40 | ||||||
eBay* | 57,854 | 2,952 | ||||||
EMC* | 104,557 | 2,645 | ||||||
F5 Networks* | 173 | 17 | ||||||
Facebook, Cl A* | 31,380 | 836 | ||||||
FLIR Systems | 208 | 4 | ||||||
Freescale Semiconductor* | 1,525 | 17 | ||||||
Gartner | 127 | 6 | ||||||
Genpact | 1,342 | 21 | ||||||
Google, Cl A* | 5,777 | 4,098 | ||||||
IAC | 438 | 21 | ||||||
Informatica | 138 | 4 | ||||||
Intel | 113,753 | 2,347 | ||||||
International Business Machines | 15,450 | 2,959 | ||||||
Intuit | 20,355 | 1,211 | ||||||
Juniper Networks | 693 | 14 | ||||||
LSI | 160,351 | 1,135 | ||||||
Marvell Technology Group | 1,401 | 10 | ||||||
Mastercard, Cl A | 4,123 | 2,026 | ||||||
Maxim Integrated Products | 2,676 | 79 | ||||||
Microchip Technology | 234 | 8 | ||||||
MICROS Systems | 105 | 4 | ||||||
Microsoft | 82,044 | 2,193 | ||||||
Molex | 5,187 | 142 | ||||||
Motorola Solutions | 2,038 | 113 | ||||||
NetApp* | 456 | 15 |
New Covenant Funds / Semi-Annual Report / December 31, 2012 | 5 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
New Covenant Growth Fund (Concluded)
December 31, 2012
Description | Shares | Market Value | ||||||
NeuStar, Cl A | 87 | $ | 4 | |||||
Oracle | 92,258 | 3,074 | ||||||
Paychex | 615 | 19 | ||||||
QUALCOMM | 74,751 | 4,636 | ||||||
Red Hat | 46,778 | 2,477 | ||||||
Riverbed Technology | 61,031 | 1,204 | ||||||
Salesforce.com* | 174 | 29 | ||||||
SanDisk | 310 | 14 | ||||||
Skyworks Solutions | 246 | 5 | ||||||
Solera Holdings | 92 | 5 | ||||||
Symantec | 982 | 19 | ||||||
Texas Instruments | 25,894 | 801 | ||||||
Total System Services | 36,235 | 776 | ||||||
Trimble Navigation | 159 | 9 | ||||||
VeriFone Systems | 132 | 4 | ||||||
VeriSign | 857 | 33 | ||||||
Visa, Cl A | 15,144 | 2,295 | ||||||
Xerox | 6,018 | 41 | ||||||
Yahoo! | 1,578 | 31 | ||||||
|
| |||||||
58,948 | ||||||||
|
| |||||||
Materials — 5.2% | ||||||||
Air Products & Chemicals | 274 | 23 | ||||||
Airgas | 102 | 9 | ||||||
Ball | 3,167 | 142 | ||||||
Cabot | 86 | 3 | ||||||
Dow Chemical | 59,565 | 1,925 | ||||||
Ecolab | 38,848 | 2,793 | ||||||
EI du Pont de Nemours | 31,724 | 1,427 | ||||||
International Paper | 2,699 | 108 | ||||||
LyondellBasell Industries, Cl A | 7,268 | 415 | ||||||
MeadWestvaco | 694 | 22 | ||||||
Monsanto | 50,601 | 4,789 | ||||||
Newmont Mining | 2,126 | 99 | ||||||
Owens-Illinois | 61,692 | 1,312 | ||||||
Packaging Corp of America | 2,946 | 113 | ||||||
PPG Industries | 223 | 30 | ||||||
Praxair | 13,874 | 1,519 | ||||||
Sealed Air | 72,856 | 1,276 | ||||||
Sherwin-Williams | 6,395 | 984 | ||||||
Sonoco Products | 320 | 10 | ||||||
Southern Copper | 699 | 26 | ||||||
Vulcan Materials | 947 | 49 | ||||||
WR Grace* | 17,535 | 1,179 | ||||||
|
| |||||||
18,253 | ||||||||
|
| |||||||
Telecommunication Services — 1.2% | ||||||||
AT&T | 7,000 | 236 | ||||||
CenturyLink | 554 | 22 | ||||||
Crown Castle International | 44,326 | 3,198 | ||||||
SBA Communications, Cl A | 7,965 | 566 | ||||||
Verizon Communications | 6,046 | 262 | ||||||
Windstream | 1,862 | 15 | ||||||
|
| |||||||
4,299 | ||||||||
|
|
Description | Shares/ Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
Utilities — 0.2% | ||||||||
AES | 854 | $ | 9 | |||||
Dominion Resources | 2,840 | 147 | ||||||
Duke Energy | 2,553 | 163 | ||||||
Entergy | 232 | 15 | ||||||
Exelon | 3,536 | 105 | ||||||
FirstEnergy | 225 | 9 | ||||||
NextEra Energy | 541 | 37 | ||||||
Northeast Utilities | 406 | 16 | ||||||
PG&E | 1,643 | 66 | ||||||
Southern | 3,498 | 150 | ||||||
Xcel Energy | 4,583 | 123 | ||||||
|
| |||||||
840 | ||||||||
|
| |||||||
262,448 | ||||||||
|
| |||||||
Total Common Stock | 343,063 | |||||||
|
| |||||||
EXCHANGE-TRADED FUND — 0.6% |
| |||||||
SPDR Gold Trust | 13 | 2,124 | ||||||
|
| |||||||
Total Exchange-Traded Fund | 2,124 | |||||||
|
| |||||||
PREFERRED STOCK — 0.2% | ||||||||
Brazil — 0.2% | ||||||||
Vale, Cl B ADR | 42,139 | 855 | ||||||
|
| |||||||
Total Preferred Stock | 855 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATION — 0.1% |
| |||||||
U.S. Treasury Bills | $ | 546 | 546 | |||||
|
| |||||||
Total U.S. Treasury Obligation | 546 | |||||||
|
| |||||||
CASH EQUIVALENT — 1.1% | ||||||||
SEI Daily Income Trust, Prime Obligation Fund, | 3,957,927 | 3,958 | ||||||
|
| |||||||
Total Cash Equivalent | 3,958 | |||||||
|
|
6 | New Covenant Funds / Semi-Annual Report / December 31, 2012 |
Table of Contents
Description | Face Amount ($ Thousands)(1) | Market Value | ||||||||||
TIME DEPOSITS — 0.7% | ||||||||||||
Brown Brothers Harriman | ||||||||||||
3.554%, 01/02/2013 | ZAR | $ | 3 | $ | — | |||||||
0.050%, 01/02/2013 | GBP | 27 | 44 | |||||||||
0.064%, 01/02/2013 | EUR | 213 | 281 | |||||||||
0.030%, 01/02/2013 | 1,975 | 1,975 | ||||||||||
0.172%, 01/02/2013 | CAD | 3 | 3 | |||||||||
2.059%, 01/02/2013 | AUD | 8 | 8 | |||||||||
|
| |||||||||||
Total Time Deposits | 2,311 | |||||||||||
|
| |||||||||||
Total Investments — 100.0% | $ | 352,857 | ||||||||||
|
|
A list of the open futures contracts held by the Fund at December 31, 2012, are as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
DJ Euro Stoxx 50 Index | 9 | Mar-2013 | $ | (1 | ) | |||||||
FTSE 100 Index | 2 | Mar-2013 | (1 | ) | ||||||||
S&P 500 Index EMINI | 51 | Mar-2013 | (3 | ) | ||||||||
S&P TSE 60 Index | 1 | Mar-2013 | 1 | |||||||||
SPI 200 Index | 1 | Mar-2013 | 1 | |||||||||
Topix Index | 2 | Mar-2013 | 17 | |||||||||
|
| |||||||||||
$ | 14 | |||||||||||
|
|
For the period ended December 31, 2012, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for the derivative type during the period.
Percentages are based on a Net Assets of $352,725 ($ Thousands).
* | Non-income producing security. |
** | The rate reported is the 7-day effective yield as of December 31, 2012. |
† | Investment in Affiliated Security (see Note 3). |
‡ | Real Estate Investment Trust |
(1) | In U.S. Dollars unless otherwise indicated. |
(A) | The rate reported is the effective yield at time of purchase. |
(B) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
ADR — American Depositary Receipt
AUD — Australian Dollar
CAD — Canadian Dollar
Cl — Class
DJ — Dow Jones
EUR — Euro
FTSE — Financial Times and London Stock Exchange
GBP — British Pound
GDR — Global Depositary Receipt
S&P — Standard & Poor’s
SPDR — Standard & Poor’s Depositary Receipt
SPI— Share Price Index
TSE — Tokyo Stock Exchange
Topix — Tokyo Stock Price Index
ZAR — South African Rand
The following is a summary of the inputs used as of December 31, 2012, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Common Stock | $ | 284,633 | $ | 58,430 | $ | — | $ | 343,063 | ||||||||
Exchange-Traded Fund | 2,124 | — | — | 2,124 | ||||||||||||
Preferred Stock | 855 | — | — | 855 | ||||||||||||
U.S. Treasury Obligation | — | 546 | — | 546 | ||||||||||||
Cash Equivalent | 3,958 | — | — | 3,958 | ||||||||||||
Time Deposits | 2,311 | — | — | 2,311 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 293,881 | $ | 58,976 | $ | — | $ | 352,857 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Futures Contracts* | $ | 14 | $ | — | $ | — | $ | 14 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
For the period ended December 31, 2012, there were transfers between Level 1 and Level 2 assets and liabilities. The primary reason for changes in the classifications between Levels 1 and 2 occurs when the foreign equity securities are fair valued using other observable market-based inputs in place of the closing exchange price due to events occurring after the close of the exchange or market on which the investment is principally traded.
For the period ended December 31, 2012, there were no transfers between Level 2 and Level 3 assets and liabilities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Note to Financial Statements.
The accompanying notes are an integral part of the financial statements.
New Covenant Funds / Semi-Annual Report / December 31, 2012 | 7 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
New Covenant Income Fund
December 31, 2012
Description | Face Amount ($ Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES — 45.5% |
| |||||||
Agency Mortgage-Backed Obligations — 41.3% |
| |||||||
FHLMC | ||||||||
5.500%, 12/01/2036 | $ | 434 | $ | 469 | ||||
5.500%, 08/01/2038 | 333 | 360 | ||||||
5.500%, 11/01/2038 | 229 | 247 | ||||||
5.500%, 12/01/2038 | 1,343 | 1,459 | ||||||
5.000%, 12/01/2020 | 630 | 679 | ||||||
5.000%, 05/01/2022 | 304 | 327 | ||||||
5.000%, 04/01/2024 | 276 | 296 | ||||||
5.000%, 08/01/2038 | 93 | 100 | ||||||
5.000%, 03/01/2039 | 191 | 205 | ||||||
5.000%, 02/01/2040 | 886 | 984 | ||||||
4.500%, 11/01/2039 | 975 | 1,046 | ||||||
4.500%, 08/01/2040 | 3,272 | 3,524 | ||||||
4.500%, 08/01/2040 | 2,753 | 2,964 | ||||||
4.000%, 09/01/2040 | 221 | 236 | ||||||
3.500%, 10/01/2042 | 100 | 109 | ||||||
3.500%, 11/01/2042 | 100 | 109 | ||||||
FHLMC Multifamily Structured | ||||||||
1.515%, 06/25/2022 (A) | 560 | 63 | ||||||
FHLMC REMIC, Ser 2003-2677, Cl ME | ||||||||
5.000%, 03/15/2032 | 136 | 138 | ||||||
FHLMC REMIC, Ser 2012-4073, Cl MF | ||||||||
0.659%, 08/15/2039 (A) | 493 | 497 | ||||||
FHLMC REMIC, Ser 2007-3349, Cl AS, IO | ||||||||
6.291%, 07/15/2037 (A) | 1,887 | 354 | ||||||
FHLMC REMIC, Ser 2012-4013, Cl AI, IO | ||||||||
4.000%, 02/15/2039 | 682 | 126 | ||||||
FHLMC REMIC, Ser 2012-4057, Cl SA, IO | ||||||||
5.841%, 04/15/2039 (A) | 1,007 | 218 | ||||||
FHLMC REMIC, Ser 2012-4057, Cl UI, IO | ||||||||
3.000%, 05/15/2027 | 619 | 60 | ||||||
FHLMC REMIC, Ser 2012-4085, Cl IO, IO | ||||||||
3.000%, 06/15/2027 | 1,237 | 162 | ||||||
FHLMC REMIC, Ser 2012-4092, Cl AI, IO | ||||||||
3.000%, 09/15/2031 | 1,611 | 189 |
Description | Face Amount ($ Thousands) | Market Value | ||||||
FHLMC REMIC, Ser 2012-4120, Cl SV, IO | ||||||||
5.941%, 10/15/2042 (A) | $ | 498 | $ | 141 | ||||
FHLMC TBA | ||||||||
3.000%, 01/15/2043 | 1,400 | 1,464 | ||||||
2.500%, 01/15/2028 | 1,000 | 1,044 | ||||||
FNMA | ||||||||
7.000%, 11/01/2037 | 17 | 20 | ||||||
7.000%, 11/01/2037 | 11 | 13 | ||||||
7.000%, 12/01/2037 | 14 | 16 | ||||||
7.000%, 02/01/2038 | 16 | 19 | ||||||
7.000%, 09/01/2038 | 9 | 10 | ||||||
7.000%, 11/01/2038 | 16 | 19 | ||||||
7.000%, 11/01/2038 | 139 | 165 | ||||||
7.000%, 11/01/2038 | 28 | 34 | ||||||
7.000%, 11/01/2038 | 17 | 20 | ||||||
6.500%, 08/01/2017 | 194 | 210 | ||||||
6.000%, 12/01/2035 | 157 | 166 | ||||||
6.000%, 07/01/2037 | 350 | 383 | ||||||
6.000%, 09/01/2037 | 453 | 496 | ||||||
6.000%, 11/01/2038 | 391 | 428 | ||||||
5.500%, 09/01/2034 | 1,361 | 1,489 | ||||||
5.500%, 02/01/2035 | 826 | 903 | ||||||
5.441%, 03/01/2036 (A) | 184 | 196 | ||||||
5.000%, 01/01/2021 | 529 | 575 | ||||||
5.000%, 11/01/2025 | 388 | 425 | ||||||
5.000%, 06/01/2035 | 419 | 457 | ||||||
5.000%, 07/01/2035 | 2,112 | 2,298 | ||||||
5.000%, 02/01/2036 | 753 | 819 | ||||||
5.000%, 03/01/2036 | 1,076 | 1,171 | ||||||
5.000%, 03/01/2040 | 448 | 485 | ||||||
5.000%, 06/01/2040 | 86 | 93 | ||||||
5.000%, 06/01/2040 | 724 | 787 | ||||||
5.000%, 06/01/2040 | 955 | 1,063 | ||||||
4.601%, 04/01/2020 | 1,377 | 1,610 | ||||||
4.530%, 12/01/2019 | 1,004 | 1,185 | ||||||
4.501%, 01/01/2020 | 763 | 890 | ||||||
4.377%, 11/01/2019 | 524 | 608 | ||||||
4.000%, 06/01/2025 | 719 | 770 | ||||||
4.000%, 02/01/2041 | 2,332 | 2,502 | ||||||
4.000%, 09/01/2041 | 1,022 | 1,097 | ||||||
4.000%, 04/01/2042 | 5,855 | 6,383 | ||||||
3.686%, 01/01/2021 | 1,476 | 1,654 | ||||||
3.500%, 03/01/2041 | 1,125 | 1,200 | ||||||
3.500%, 10/01/2042 | 99 | 108 | ||||||
3.500%, 12/01/2042 | 200 | 217 | ||||||
3.500%, 12/01/2042 | 200 | 217 | ||||||
3.500%, 12/01/2042 | 100 | 108 | ||||||
3.030%, 12/01/2021 | 738 | 792 | ||||||
2.500%, 10/01/2042 | 1,094 | 1,117 | ||||||
2.400%, 12/01/2022 | 250 | 255 | ||||||
1.940%, 07/01/2019 | 400 | 408 | ||||||
0.569%, 01/01/2023 | 500 | 500 | ||||||
0.549%, 01/01/2023 | 500 | 500 | ||||||
0.549%, 01/01/2023 | 400 | 400 |
8 | New Covenant Funds / Semi-Annual Report / December 31, 2012 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value | ||||||
0.450%, 01/01/2023 | $ | 500 | $ | 500 | ||||
0.210%, 01/01/2023 | 500 | 500 | ||||||
0.210%, 01/01/2023 | 500 | 500 | ||||||
FNMA, Ser 2003-W2, Cl 2A9 | ||||||||
5.900%, 07/25/2042 | 1,075 | 1,260 | ||||||
FNMA, Ser 2012-111, Cl JS | ||||||||
5.890%, 07/25/2040 (A) | 695 | 176 | ||||||
FNMA, Ser 2012-M11, Cl FA | ||||||||
0.712%, 08/25/2019 (A) | 482 | 487 | ||||||
FNMA REMIC, Ser 2004-90, Cl LH | ||||||||
5.000%, 04/25/2034 | 2,115 | 2,234 | ||||||
FNMA REMIC, Ser 2005-22, Cl DA | ||||||||
5.500%, 12/25/2034 | 1,048 | 1,162 | ||||||
FNMA REMIC, Ser 2009-86, Cl CA | ||||||||
4.500%, 09/25/2024 | 174 | 176 | ||||||
FNMA REMIC, Ser 2010-100, Cl CS, IO | ||||||||
6.440%, 09/25/2040 (A) | 1,854 | 329 | ||||||
FNMA REMIC, Ser 2012-74, Cl AI, IO | ||||||||
3.000%, 07/25/2027 | 2,095 | 241 | ||||||
FNMA REMIC, Ser 2012-84, Cl KS, IO | ||||||||
5.790%, 08/25/2042 (A) | 2,623 | 358 | ||||||
FNMA REMIC, Ser 2012-93, Cl SG, IO | ||||||||
5.890%, 09/25/2042 (A) | 395 | 107 | ||||||
FNMA REMIC, Ser 2012-93, Cl UI, IO | ||||||||
3.000%, 09/25/2027 | 1,608 | 208 | ||||||
FNMA TBA | ||||||||
5.479%, 06/01/2017 | 2,140 | 2,492 | ||||||
3.500%, 01/01/2041 | 3,700 | 3,945 | ||||||
3.000%, 01/15/2043 | 7,700 | 8,068 | ||||||
2.500%, 01/01/2026 | 2,200 | 2,300 | ||||||
2.500%, 01/01/2043 | 1,400 | 1,427 | ||||||
GNMA | ||||||||
5.500%, 02/20/2037 | 395 | 434 | ||||||
5.500%, 07/20/2038 | 235 | 258 | ||||||
5.500%, 01/15/2039 | 543 | 596 | ||||||
5.000%, 12/20/2038 | 198 | 209 | ||||||
5.000%, 03/15/2039 | 508 | 556 | ||||||
5.000%, 03/20/2039 | 395 | 415 | ||||||
5.000%, 07/20/2040 | 3,693 | 4,092 | ||||||
4.863%, 06/20/2061 | 1,658 | 1,891 | ||||||
4.826%, 06/20/2061 | 1,492 | 1,736 | ||||||
4.697%, 09/20/2061 | 1,416 | 1,618 | ||||||
4.650%, 12/20/2060 | 1,382 | 1,560 | ||||||
4.626%, 07/20/2061 | 1,534 | 1,727 | ||||||
4.500%, 07/20/2038 | 484 | 530 | ||||||
4.500%, 05/20/2040 | 2,059 | 2,270 | ||||||
4.500%, 07/20/2040 | 3,618 | 4,001 | ||||||
4.500%, 01/20/2041 | 1,101 | 1,215 | ||||||
4.295%, 07/20/2061 | 1,355 | 1,531 | ||||||
2.500%, 02/20/2027 | 2,757 | 2,914 | ||||||
GNMA, Ser 2004-10, Cl C | ||||||||
4.666%, 07/16/2031 | 793 | 818 | ||||||
GNMA, Ser 2004-108, Cl AB | ||||||||
4.397%, 12/16/2032 (A) | 253 | 261 |
Description | Face Amount ($ Thousands) | Market Value | ||||||
GNMA, Ser 2009-108, Cl WG | ||||||||
4.000%, 09/20/2038 | $ | 1,038 | $ | 1,119 | ||||
GNMA, Ser 2009-31, Cl MA | ||||||||
4.500%, 08/20/2033 | 231 | 239 | ||||||
GNMA, Ser 2009-51, Cl A | ||||||||
3.853%, 02/16/2040 | 449 | 463 | ||||||
GNMA, Ser 2009-86, Cl A | ||||||||
3.536%, 09/16/2035 | 1,105 | 1,155 | ||||||
GNMA, Ser 2010-48, Cl AC | ||||||||
4.229%, 02/16/2040 | 806 | 849 | ||||||
GNMA, Ser 2010-71, Cl AD | ||||||||
3.489%, 03/16/2039 | 1,271 | 1,331 | ||||||
GNMA, Ser 2011-147, Cl A | ||||||||
2.174%, 07/16/2038 | 1,450 | 1,495 | ||||||
GNMA, Ser 2012-22, Cl AB | ||||||||
1.661%, 03/16/2033 | 1,480 | 1,507 | ||||||
GNMA, Ser 2012-H18, Cl NA | ||||||||
0.730%, 08/20/2062 (A) | 398 | 401 | ||||||
GNMA, Ser 2012-H30, Cl GA | ||||||||
0.560%, 12/20/2062 (A) | 1,500 | 1,497 | ||||||
GNMA, Ser 2013-H01, Cl TA | ||||||||
0.711%, 01/20/2063 | 500 | 500 | ||||||
GNMA, Ser 2010-26, Cl QS, IO | ||||||||
6.039%, 02/20/2040 (A) | 331 | 60 | ||||||
GNMA, Ser 2011-141, Cl HS, IO | ||||||||
5.889%, 10/20/2041 (A) | 613 | 145 | ||||||
GNMA, Ser 2011-146, Cl NS, IO | ||||||||
6.491%, 04/16/2040 (A) | 531 | 117 | ||||||
GNMA, Ser 2012-66, Cl CI, IO | ||||||||
3.500%, 02/20/2038 | 290 | 44 | ||||||
GNMA, Ser 2012-77, Cl KI, IO | ||||||||
7.500%, 04/20/2031 | 316 | 81 | ||||||
GNMA TBA | ||||||||
3.500%, 01/15/2041 | 800 | 869 | ||||||
3.500%, 01/15/2041 | 400 | 435 | ||||||
3.000%, 01/15/2043 | 1,500 | 1,595 | ||||||
|
| |||||||
121,855 | ||||||||
|
| |||||||
Non-Agency Mortgage-Backed Obligations — 4.2% |
| |||||||
American Home Mortgage Investment Trust, Ser 2005-1, Cl 7A1 | ||||||||
2.510%, 06/25/2045 (A) | 418 | 415 | ||||||
Banc of America Commercial Mortgage Trust, Ser 2006-2, Cl AM | ||||||||
5.762%, 05/10/2045 (A) | 100 | 112 | ||||||
Banc of America Funding, | ||||||||
Ser 2012-R6, Cl 1A1 | ||||||||
3.000%, 10/26/2039 (B) | 199 | 199 | ||||||
Banc of America Merrill Lynch Commercial Mortgage, Ser 2004-3, Cl A5 | ||||||||
5.556%, 06/10/2039 (A) | 393 | 417 | ||||||
Banc of America Mortgage Trust, | ||||||||
5.500%, 04/25/2034 | 200 | 204 |
New Covenant Funds / Semi-Annual Report / December 31, 2012 | 9 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
New Covenant Income Fund (Continued)
December 31, 2012
Description | Face Amount ($ Thousands) | Market Value | ||||||
Banc of America Mortgage Trust, | ||||||||
6.500%, 09/25/2032 | $ | 200 | $ | 210 | ||||
BCAP Trust, Ser 2012-RR10, Cl 3A1 | ||||||||
0.398%, 05/26/2036 (A)(B) | 479 | 443 | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2005-PWR9, Cl A4A | ||||||||
4.871%, 09/11/2042 | 328 | 360 | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2007-PW16, Cl A4 | ||||||||
5.715%, 06/11/2040 (A) | 550 | 652 | ||||||
Citigroup Mortgage Loan Trust, Ser 2012-A, Cl A | ||||||||
2.500%, 06/25/2051 (B) | 122 | 121 | ||||||
Commercial Mortgage Pass-Through Certificates, Ser 2005-C6, Cl A5A | ||||||||
5.116%, 06/10/2044 (A) | 360 | 397 | ||||||
Commercial Mortgage Pass-Through Certificates, Ser 2012-MVP, Cl A | ||||||||
2.150%, 11/17/2026 (A)(B) | 100 | 101 | ||||||
Countrywide Alternative Loan Trust, | ||||||||
5.500%, 10/25/2033 | 618 | 653 | ||||||
CSMC, Ser 2012-11R, Cl A6 | ||||||||
1.212%, 06/28/2047 (A)(B) | 494 | 471 | ||||||
GE Capital Commercial Mortgage, | ||||||||
4.596%, 11/10/2038 | 462 | 474 | ||||||
GMAC Commercial Mortgage Securities, Ser 2004-C2, Cl A4 | ||||||||
5.301%, 08/10/2038 (A) | 416 | 441 | ||||||
Impac CMB Trust Series, Ser 2004-6, | ||||||||
0.990%, 10/25/2034 (A) | 142 | 124 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-LDP7, Cl A4 | ||||||||
5.871%, 04/15/2045 (A) | 240 | 276 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-LDP8, Cl AM | ||||||||
5.440%, 05/15/2045 | 30 | 34 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2006-LDP9, Cl A3 | ||||||||
5.336%, 05/15/2047 | 590 | 675 | ||||||
JPMorgan Mortgage Trust, Ser 2005-A1, Cl 5A2 | ||||||||
4.418%, 02/25/2035 (A) | 279 | 286 | ||||||
LB-UBS Commercial Mortgage Trust, | ||||||||
5.372%, 09/15/2039 | 170 | 195 | ||||||
Master Seasoned Securities Trust, | ||||||||
6.500%, 08/25/2032 | 219 | 249 |
Description | Face Amount ($ Thousands) | Market Value | ||||||
MASTR Alternative Loans Trust, | ||||||||
5.000%, 02/25/2019 | $ | 196 | $ | 203 | ||||
MASTR Asset Securitization Trust 2003-7, Ser 2003-7, Cl 1A1 | ||||||||
5.500%, 09/25/2033 | 179 | 189 | ||||||
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser 2007-8, Cl A3 | ||||||||
5.949%, 08/12/2049 (A) | 200 | 232 | ||||||
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser 2007-5, Cl A4 | ||||||||
5.378%, 08/12/2048 | 200 | 229 | ||||||
Morgan Stanley Capital I, Ser 2007-IQ14, Cl A4 | ||||||||
5.692%, 04/15/2049 (A) | 35 | 41 | ||||||
Morgan Stanley Reremic Trust, | ||||||||
2.000%, 07/27/2049 (B) | 333 | 337 | ||||||
MSSR, Ser 12-IO, Cl AXA | ||||||||
1.000%, 03/27/2051 | 126 | 124 | ||||||
NorthStar Mortgage Trust, Ser 2012-1, Cl A | ||||||||
1.410%, 08/25/2029 (A)(B) | 125 | 125 | ||||||
RALI Trust, Ser 2003-QS13, Cl A5 | ||||||||
0.860%, 07/25/2033 (A) | 131 | 123 | ||||||
RALI Trust, Ser 2004-QS5, Cl A1 | ||||||||
4.600%, 04/25/2034 | 262 | 262 | ||||||
Residential Asset Securitization Trust, | ||||||||
5.500%, 07/25/2033 | 246 | 249 | ||||||
Residential Asset Securitization Trust, | ||||||||
2.823%, 12/25/2034 (A) | 157 | 157 | ||||||
Sequoia Mortgage Trust, Ser 2004-5, | ||||||||
0.731%, 06/20/2034 (A) | 206 | 191 | ||||||
Springleaf Mortgage Loan Trust, | ||||||||
2.220%, 10/25/2057 (A)(B) | 448 | 461 | ||||||
Springleaf Mortgage Loan Trust, | ||||||||
4.610%, 10/25/2057 (A)(B) | 200 | 207 | ||||||
Springleaf Mortgage Loan Trust, | ||||||||
1.570%, 12/25/2059 (A)(B) | 165 | 166 | ||||||
Structured Adjustable Rate Mortgage Loan Trust, Ser 2004-3AC, Cl A2 | ||||||||
2.745%, 03/25/2034 (A) | 516 | 509 | ||||||
UBS-BAMLL Trust, Ser 2012-WRM, Cl A | ||||||||
3.663%, 06/10/2030 (B) | 116 | 124 | ||||||
UBS-Barclays Commercial Mortgage Trust, Ser 2012-C2, Cl A4 | ||||||||
3.525%, 05/10/2063 | 73 | 79 |
10 | New Covenant Funds / Semi-Annual Report / December 31, 2012 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value | ||||||
UBS-Barclays Commercial Mortgage Trust, Ser 2012-C4, Cl AS | ||||||||
3.317%, 12/10/2045 (B) | $ | 120 | $ | 121 | ||||
UBS-Barclays Commercial Mortgage Trust, Ser 2012-C2, Cl XA, IO | ||||||||
1.827%, 05/10/2063 (A)(B) | 497 | 52 | ||||||
Vericrest Opportunity Loan Transferee, | ||||||||
2.734%, 11/25/2060 (A)(B) | 274 | 274 | ||||||
Wachovia Bank Commercial Mortgage Trust, Ser 2004-C12, Cl A4 | ||||||||
5.308%, 07/15/2041 (A) | 316 | 333 | ||||||
Wachovia Bank Commercial Mortgage Trust, Ser 2006-C29, Cl A4 | ||||||||
5.308%, 11/15/2048 | 25 | 29 | ||||||
WFRBS Commercial Mortgage Trust, | ||||||||
1.608%, 06/15/2045 (A)(B) | 1,342 | 146 | ||||||
|
| |||||||
12,472 | ||||||||
|
| |||||||
Total Mortgage-Backed Securities | 134,327 | |||||||
|
| |||||||
CORPORATE OBLIGATIONS — 22.2% |
| |||||||
Consumer Discretionary — 1.8% |
| |||||||
American Honda Finance | ||||||||
1.000%, 08/11/2015 (B) | 490 | 493 | ||||||
CBS | ||||||||
7.875%, 09/01/2023 | 80 | 106 | ||||||
Daimler Finance North America | ||||||||
6.500%, 11/15/2013 | 420 | 441 | ||||||
2.250%, 07/31/2019 (B) | 200 | 202 | ||||||
Ford Motor Credit | ||||||||
8.125%, 01/15/2020 | 120 | 154 | ||||||
5.875%, 08/02/2021 | 230 | 268 | ||||||
4.250%, 09/20/2022 | 260 | 275 | ||||||
3.000%, 06/12/2017 | 200 | 205 | ||||||
Hyundai Capital America | ||||||||
1.625%, 10/02/2015 (B) | 180 | 181 | ||||||
Macy’s Retail Holdings | ||||||||
5.750%, 07/15/2014 | 510 | 547 | ||||||
2.875%, 02/15/2023 | 33 | 32 | ||||||
NBC Universal Media | ||||||||
2.875%, 01/15/2023 | 100 | 100 | ||||||
News America | ||||||||
5.300%, 12/15/2014 | 510 | 554 | ||||||
TCI Communications | ||||||||
8.750%, 08/01/2015 | 536 | 640 | ||||||
Time Warner Cable | ||||||||
8.250%, 02/14/2014 | 370 | 401 | ||||||
5.000%, 02/01/2020 | 490 | 570 | ||||||
Walt Disney | ||||||||
0.450%, 12/01/2015 | 13 | 13 | ||||||
|
| |||||||
5,182 | ||||||||
|
|
Description | Face Amount ($ Thousands) | Market Value | ||||||
Consumer Staples — 1.1% |
| |||||||
ConAgra Foods | ||||||||
2.100%, 03/15/2018 | $ | 14 | $ | 14 | ||||
Costco Wholesale | ||||||||
0.650%, 12/07/2015 | 28 | 28 | ||||||
CVS Caremark | ||||||||
4.125%, 05/15/2021 | 300 | 338 | ||||||
Kimberly-Clark | ||||||||
6.125%, 08/01/2017 | 140 | 172 | ||||||
Kraft Foods Group | ||||||||
5.375%, 02/10/2020 (B) | 206 | 247 | ||||||
3.500%, 06/06/2022 (B) | 320 | 342 | ||||||
Kroger | ||||||||
3.900%, 10/01/2015 | 660 | 712 | ||||||
Mondelez International | ||||||||
5.375%, 02/10/2020 | 184 | 222 | ||||||
PepsiCo | ||||||||
3.000%, 08/25/2021 | 290 | 307 | ||||||
2.750%, 03/05/2022 | 80 | 82 | ||||||
2.500%, 05/10/2016 | 280 | 295 | ||||||
1.250%, 08/13/2017 | 52 | 52 | ||||||
0.700%, 08/13/2015 | 250 | 251 | ||||||
Safeway | ||||||||
3.950%, 08/15/2020 | 20 | 20 | ||||||
Wal-Mart Stores | ||||||||
4.250%, 04/15/2021 | 210 | 244 | ||||||
|
| |||||||
3,326 | ||||||||
|
| |||||||
Energy — 1.9% |
| |||||||
Anadarko Holding | ||||||||
7.150%, 05/15/2028 | 80 | 97 | ||||||
Anadarko Petroleum | ||||||||
6.375%, 09/15/2017 | 550 | 657 | ||||||
5.950%, 09/15/2016 | 40 | 46 | ||||||
Apache | ||||||||
3.250%, 04/15/2022 | 360 | 381 | ||||||
2.625%, 01/15/2023 | 19 | 19 | ||||||
Baker Hughes | ||||||||
3.200%, 08/15/2021 | 90 | 96 | ||||||
Cameron International | ||||||||
1.600%, 04/30/2015 | 22 | 22 | ||||||
Canadian Natural Resources | ||||||||
3.450%, 11/15/2021 | 60 | 64 | ||||||
ConocoPhillips | ||||||||
6.000%, 01/15/2020 | 230 | 292 | ||||||
4.750%, 02/01/2014 | 43 | 45 | ||||||
Devon Energy | ||||||||
6.300%, 01/15/2019 | 320 | 398 | ||||||
3.250%, 05/15/2022 | 38 | 40 | ||||||
1.875%, 05/15/2017 | 80 | 82 | ||||||
EOG Resources | ||||||||
2.625%, 03/15/2023 | 26 | 26 |
New Covenant Funds / Semi-Annual Report / December 31, 2012 | 11 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
New Covenant Income Fund (Continued)
December 31, 2012
Description | Face Amount ($ Thousands) | Market Value | ||||||
Hess | ||||||||
8.125%, 02/15/2019 | $ | 200 | $ | 263 | ||||
7.875%, 10/01/2029 | 70 | 97 | ||||||
Kinder Morgan Energy Partners LP | ||||||||
6.000%, 02/01/2017 | 230 | 269 | ||||||
Marathon Oil | ||||||||
6.000%, 10/01/2017 | 56 | 67 | ||||||
0.900%, 11/01/2015 | 66 | 66 | ||||||
Nabors Industries | ||||||||
9.250%, 01/15/2019 | 60 | 79 | ||||||
National Oilwell Varco | ||||||||
1.350%, 12/01/2017 | 18 | 18 | ||||||
NextEra Energy Capital Holdings | ||||||||
1.200%, 06/01/2015 | 29 | 29 | ||||||
Noble Energy | ||||||||
4.150%, 12/15/2021 | 290 | 320 | ||||||
Occidental Petroleum | ||||||||
3.125%, 02/15/2022 | 230 | 245 | ||||||
2.700%, 02/15/2023 | 237 | 242 | ||||||
Petrodrill Five | ||||||||
4.390%, 04/15/2016 (D) | 393 | 413 | ||||||
Petrodrill Four | ||||||||
4.240%, 01/15/2016 | 566 | 585 | ||||||
Spectra Energy Capital | ||||||||
5.650%, 03/01/2020 | 53 | 63 | ||||||
Statoil | ||||||||
1.200%, 01/17/2018 | 56 | 56 | ||||||
Texas Eastern Transmission | ||||||||
2.800%, 10/15/2022 (B) | 92 | 92 | ||||||
TransCanada PipeLines | ||||||||
2.500%, 08/01/2022 | 90 | 90 | ||||||
Weatherford International | ||||||||
9.875%, 03/01/2039 | 40 | 56 | ||||||
Williams Partners LP | ||||||||
7.250%, 02/01/2017 | 135 | 164 | ||||||
|
| |||||||
5,479 | ||||||||
|
| |||||||
Financials — 9.0% | ||||||||
American Express | ||||||||
2.650%, 12/02/2022 (B) | 615 | 613 | ||||||
Arden Realty LP‡ | ||||||||
5.250%, 03/01/2015 | 664 | 715 | ||||||
ASIF Global Financing XIX | ||||||||
4.900%, 01/17/2013 (B) | 660 | 661 | ||||||
Bank of America | ||||||||
7.625%, 06/01/2019 | 365 | 467 | ||||||
5.625%, 07/01/2020 | 250 | 296 | ||||||
5.000%, 05/13/2021 | 360 | 411 | ||||||
Bank of Montreal | ||||||||
2.550%, 11/06/2022 | 145 | 144 | ||||||
1.400%, 09/11/2017 | 86 | 86 | ||||||
Bank of New York Mellon | ||||||||
4.600%, 01/15/2020 | 136 | 155 |
Description | Face Amount ($ Thousands) | Market Value | ||||||
Bank of Nova Scotia | ||||||||
1.375%, 12/18/2017 | $ | 200 | $ | 200 | ||||
BB&T | ||||||||
6.850%, 04/30/2019 | 240 | 306 | ||||||
1.600%, 08/15/2017 | 56 | 57 | ||||||
Bear Stearns | ||||||||
7.250%, 02/01/2018 | 140 | 175 | ||||||
Berkshire Hathaway Finance | ||||||||
3.000%, 05/15/2022 | 154 | 160 | ||||||
BlackRock | ||||||||
3.375%, 06/01/2022 | 58 | 62 | ||||||
Blackstone Holdings Finance | ||||||||
4.750%, 02/15/2023 (B) | 66 | 70 | ||||||
BNP Paribas | ||||||||
2.375%, 09/14/2017 | 160 | 162 | ||||||
Canadian Imperial Bank of Commerce | ||||||||
0.900%, 10/01/2015 | 35 | 35 | ||||||
Capital One Bank USA | ||||||||
8.800%, 07/15/2019 | 250 | 339 | ||||||
Caterpillar Financial Services | ||||||||
6.200%, 09/30/2013 | 400 | 417 | ||||||
2.850%, 06/01/2022 | 53 | 54 | ||||||
1.250%, 11/06/2017 | 43 | 43 | ||||||
Citigroup | ||||||||
6.125%, 11/21/2017 | 815 | 970 | ||||||
6.010%, 01/15/2015 | 160 | 175 | ||||||
6.000%, 12/13/2013 | 325 | 340 | ||||||
5.375%, 08/09/2020 | 373 | 440 | ||||||
2.250%, 08/07/2015 | 400 | 410 | ||||||
CME Group | ||||||||
3.000%, 09/15/2022 | 80 | 81 | ||||||
CNA Financial | ||||||||
5.875%, 08/15/2020 | 332 | 392 | ||||||
Commonwealth Bank of Australia NY | ||||||||
1.250%, 09/18/2015 | 320 | 324 | ||||||
ERAC USA Finance | ||||||||
1.400%, 04/15/2016 (B) | 22 | 22 | ||||||
ERP Operating LP‡ | ||||||||
5.375%, 08/01/2016 | 104 | 118 | ||||||
4.625%, 12/15/2021 | 104 | 117 | ||||||
General Electric Capital | ||||||||
6.000%, 08/07/2019 | 1,629 | 1,982 | ||||||
2.100%, 12/11/2019 | 40 | 40 | ||||||
1.625%, 07/02/2015 | 184 | 187 | ||||||
1.000%, 12/11/2015 | 25 | 25 | ||||||
Goldman Sachs Group | ||||||||
6.150%, 04/01/2018 | 320 | 376 | ||||||
6.000%, 06/15/2020 | 480 | 570 | ||||||
5.950%, 01/18/2018 | 660 | 768 | ||||||
5.375%, 03/15/2020 | 320 | 367 | ||||||
5.350%, 01/15/2016 | 427 | 472 | ||||||
HCP‡ | ||||||||
2.625%, 02/01/2020 | 110 | 109 |
12 | New Covenant Funds / Semi-Annual Report / December 31, 2012 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value | ||||||
HSBC Finance | ||||||||
6.676%, 01/15/2021 (B) | $ | 260 | $ | 308 | ||||
5.000%, 06/30/2015 | 264 | 286 | ||||||
HSBC USA | ||||||||
1.625%, 01/16/2018 | 250 | 250 | ||||||
ING Bank | ||||||||
2.000%, 09/25/2015 (B) | 200 | 202 | ||||||
Jefferies Group | ||||||||
8.500%, 07/15/2019 | 136 | 163 | ||||||
John Deere Capital | ||||||||
2.250%, 04/17/2019 | 100 | 103 | ||||||
1.700%, 01/15/2020 | 9 | 9 | ||||||
1.200%, 10/10/2017 | 22 | 22 | ||||||
0.950%, 06/29/2015 | 46 | 46 | ||||||
JPMorgan Chase | ||||||||
1.100%, 10/15/2015 | 360 | 360 | ||||||
KeyCorp | ||||||||
5.100%, 03/24/2021 | 72 | 84 | ||||||
Macquarie Bank | ||||||||
5.000%, 02/22/2017 (B) | 280 | 306 | ||||||
3.450%, 07/27/2015 (B) | 40 | 42 | ||||||
Marsh & McLennan | ||||||||
4.850%, 02/15/2013 | 200 | 201 | ||||||
MassMutual Global Funding II | ||||||||
2.500%, 10/17/2022 (B) | 106 | 104 | ||||||
Merrill Lynch | ||||||||
6.875%, 04/25/2018 | 390 | 471 | ||||||
MetLife | ||||||||
6.750%, 06/01/2016 | 290 | 343 | ||||||
Metropolitan Life Global Funding I | ||||||||
1.700%, 06/29/2015 (B) | 213 | 217 | ||||||
Morgan Stanley | ||||||||
6.000%, 05/13/2014 | 660 | 699 | ||||||
5.625%, 09/23/2019 | 200 | 226 | ||||||
5.500%, 07/28/2021 | 280 | 318 | ||||||
Nationsbank | ||||||||
10.200%, 07/15/2015 | 264 | 312 | ||||||
New York Life Global Funding | ||||||||
0.750%, 07/24/2015 (B) | 160 | 160 | ||||||
PNC Bank | ||||||||
6.875%, 04/01/2018 | 250 | 313 | ||||||
2.700%, 11/01/2022 | 260 | 260 | ||||||
Principal Life Global Funding II | ||||||||
1.000%, 12/11/2015 (B) | 37 | 37 | ||||||
0.976%, 07/09/2014 (A)(B) | 48 | 48 | ||||||
Private Export Funding | ||||||||
4.550%, 05/15/2015 | 624 | 686 | ||||||
Prudential Financial | ||||||||
5.100%, 09/20/2014 | 490 | 525 | ||||||
Prudential Holdings | ||||||||
8.695%, 12/18/2023 (B) | 564 | 739 | ||||||
Prudential Insurance of America | ||||||||
8.300%, 07/01/2025 (B) | 150 | 209 |
Description | Face Amount ($ Thousands) | Market Value | ||||||
Royal Bank of Canada | ||||||||
1.200%, 09/19/2017 | $ | 129 | $ | 129 | ||||
Royal Bank of Scotland Group | ||||||||
2.550%, 09/18/2015 | 80 | 82 | ||||||
SLM | ||||||||
3.875%, 09/10/2015 | 110 | 113 | ||||||
0.615%, 01/27/2014 (A) | 550 | 545 | ||||||
Temasek Financial I | ||||||||
2.375%, 01/23/2023 (B) | 250 | 246 | ||||||
Toyota Motor Credit | ||||||||
1.250%, 10/05/2017 | 374 | 377 | ||||||
US Bancorp | ||||||||
4.200%, 05/15/2014 | 290 | 305 | ||||||
2.950%, 07/15/2022 | 120 | 121 | ||||||
Virgin Media Secured Finance | ||||||||
6.500%, 01/15/2018 | 240 | 258 | ||||||
Wachovia | ||||||||
5.750%, 02/01/2018 | 320 | 383 | ||||||
Wachovia Bank | ||||||||
6.000%, 11/15/2017 | 250 | 300 | ||||||
WEA Finance | ||||||||
3.375%, 10/03/2022 (B) | 79 | 81 | ||||||
Wells Fargo | ||||||||
5.625%, 12/11/2017 | 585 | 698 | ||||||
4.600%, 04/01/2021 | 480 | 552 | ||||||
2.100%, 05/08/2017 | 130 | 134 | ||||||
1.500%, 01/16/2018 | 140 | 140 | ||||||
Westpac Banking | ||||||||
4.200%, 02/27/2015 | 205 | 220 | ||||||
|
| |||||||
26,646 | ||||||||
|
| |||||||
Health Care — 1.4% |
| |||||||
AbbVie | ||||||||
2.900%, 11/06/2022 (B) | 180 | 183 | ||||||
1.750%, 11/06/2017 (B) | 399 | 404 | ||||||
Agilent Technologies | ||||||||
6.500%, 11/01/2017 | 300 | 363 | ||||||
Baxter International | ||||||||
5.900%, 09/01/2016 | 300 | 353 | ||||||
Celgene | ||||||||
1.900%, 08/15/2017 | 50 | 51 | ||||||
Express Scripts Holding | ||||||||
3.500%, 11/15/2016 (B) | 480 | 513 | ||||||
Humana | ||||||||
3.150%, 12/01/2022 | 60 | 60 | ||||||
Johnson & Johnson | ||||||||
1.200%, 05/15/2014 | 510 | 516 | ||||||
Medtronic | ||||||||
3.125%, 03/15/2022 | 190 | 202 | ||||||
Novartis Capital | ||||||||
2.400%, 09/21/2022 | 50 | 50 | ||||||
UnitedHealth Group | ||||||||
4.700%, 02/15/2021 | 68 | 79 | ||||||
2.750%, 02/15/2023 | 17 | 17 | ||||||
1.875%, 11/15/2016 | 320 | 330 |
New Covenant Funds / Semi-Annual Report / December 31, 2012 | 13 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
New Covenant Income Fund (Continued)
December 31, 2012
Description | Face Amount ($ Thousands) | Market Value | ||||||
Watson Pharmaceuticals | ||||||||
1.875%, 10/01/2017 | $ | 70 | $ | 71 | ||||
WellPoint | ||||||||
3.300%, 01/15/2023 | 36 | 37 | ||||||
3.125%, 05/15/2022 | 400 | 404 | ||||||
1.250%, 09/10/2015 | 50 | 50 | ||||||
Wyeth | ||||||||
5.450%, 04/01/2017 | 230 | 272 | ||||||
|
| |||||||
3,955 | ||||||||
|
| |||||||
Industrials — 2.7% |
| |||||||
3M | ||||||||
1.000%, 06/26/2017 | 60 | 60 | ||||||
ADT | ||||||||
3.500%, 07/15/2022 (B) | 30 | 29 | ||||||
American Airlines 2011-1, Pass-Through Trust | ||||||||
5.250%, 01/31/2021 | 125 | 130 | ||||||
Burlington Northern and Santa Fe Railway 2002-2 Pass-Through Trust | ||||||||
5.140%, 01/15/2021 | 1,029 | 1,122 | ||||||
Canal Barge | ||||||||
4.500%, 11/12/2034 (D) | 987 | 1,166 | ||||||
Caterpillar | ||||||||
1.500%, 06/26/2017 | 46 | 46 | ||||||
Continental Airlines 1999-1, Pass-Through Trust | ||||||||
6.545%, 02/02/2019 | 41 | 44 | ||||||
Continental Airlines 2012-2, Pass-Through Trust | ||||||||
4.000%, 10/29/2024 | 53 | 56 | ||||||
CSX | ||||||||
3.700%, 10/30/2020 | 56 | 61 | ||||||
CSX Transportation | ||||||||
6.251%, 01/15/2023 | 784 | 948 | ||||||
Deere | ||||||||
2.600%, 06/08/2022 | 48 | 49 | ||||||
Delta Air Lines 2012-1, Pass-Through Trust | ||||||||
4.750%, 05/07/2020 | 46 | 49 | ||||||
Eaton | ||||||||
2.750%, 11/02/2022 (B) | 280 | 279 | ||||||
1.500%, 11/02/2017 (B) | 133 | 133 | ||||||
Enterprise Products Operating | ||||||||
5.250%, 01/31/2020 | 670 | 796 | ||||||
General Electric | ||||||||
2.700%, 10/09/2022 | 42 | 43 | ||||||
0.850%, 10/09/2015 | 100 | 100 | ||||||
Matson Navigation | ||||||||
5.337%, 09/04/2028 (D) | 748 | 854 | ||||||
News America | ||||||||
9.500%, 07/15/2024 | 80 | 114 | ||||||
Penske Truck Leasing LP | ||||||||
4.875%, 07/11/2022 (B) | 72 | 74 |
Description | Face Amount ($ Thousands) | Market Value | ||||||
Republic Services | ||||||||
3.550%, 06/01/2022 | $ | 40 | $ | 42 | ||||
Union Pacific | ||||||||
5.404%, 07/02/2025 | 1,167 | 1,291 | ||||||
United Parcel Service | ||||||||
2.450%, 10/01/2022 | 23 | 23 | ||||||
United Technologies | ||||||||
3.100%, 06/01/2022 | 432 | 457 | ||||||
|
| |||||||
7,966 | ||||||||
|
| |||||||
Information Technology — 0.6% |
| |||||||
eBay | ||||||||
2.600%, 07/15/2022 | 19 | 19 | ||||||
1.350%, 07/15/2017 | 44 | 45 | ||||||
Hewlett-Packard | ||||||||
4.650%, 12/09/2021 | 88 | 88 | ||||||
3.750%, 12/01/2020 | 160 | 155 | ||||||
International Business Machines | ||||||||
1.875%, 05/15/2019 | 110 | 111 | ||||||
Microsoft | ||||||||
0.875%, 11/15/2017 | 15 | 15 | ||||||
Oracle | ||||||||
2.500%, 10/15/2022 | 121 | 122 | ||||||
1.200%, 10/15/2017 | 280 | 281 | ||||||
Texas Instruments | ||||||||
1.650%, 08/03/2019 | 26 | 26 | ||||||
0.450%, 08/03/2015 | 34 | 34 | ||||||
Xerox | ||||||||
1.710%, 09/13/2013 (A) | 797 | 802 | ||||||
|
| |||||||
1,698 | ||||||||
|
| |||||||
Materials — 1.0% |
| |||||||
Dow Chemical | ||||||||
3.000%, 11/15/2022 | 71 | 71 | ||||||
Ecolab | ||||||||
4.350%, 12/08/2021 | 80 | 89 | ||||||
1.450%, 12/08/2017 | 56 | 56 | ||||||
1.000%, 08/09/2015 | 38 | 38 | ||||||
Freeport-McMoRan Copper & Gold | ||||||||
3.550%, 03/01/2022 | 320 | 318 | ||||||
2.150%, 03/01/2017 | 65 | 65 | ||||||
Mosaic | ||||||||
3.750%, 11/15/2021 | 70 | 74 | ||||||
Plum Creek Timberlands LP | ||||||||
5.875%, 11/15/2015 | 332 | 368 | ||||||
Potash Corp of Saskatchewan | ||||||||
4.875%, 03/30/2020 | 64 | 74 | ||||||
Rio Tinto Finance USA | ||||||||
4.125%, 05/20/2021 | 550 | 608 | ||||||
1.625%, 08/21/2017 | 33 | 33 | ||||||
Southern Copper | ||||||||
3.500%, 11/08/2022 | 130 | 133 | ||||||
Vale Overseas | ||||||||
4.375%, 01/11/2022 | 915 | 977 | ||||||
|
| |||||||
2,904 | ||||||||
|
|
14 | New Covenant Funds / Semi-Annual Report / December 31, 2012 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value | ||||||
Telecommunication Services — 0.8% |
| |||||||
America Movil | ||||||||
5.500%, 03/01/2014 | $ | 300 | $ | 316 | ||||
3.125%, 07/16/2022 | 200 | 204 | ||||||
AT&T | ||||||||
5.600%, 05/15/2018 | 240 | 290 | ||||||
5.500%, 02/01/2018 | 330 | 393 | ||||||
1.400%, 12/01/2017 | 150 | 150 | ||||||
0.800%, 12/01/2015 | 55 | 55 | ||||||
BellSouth Telecommunications | ||||||||
6.375%, 06/01/2028 | 128 | 153 | ||||||
Discovery Communications | ||||||||
3.300%, 05/15/2022 | 96 | 99 | ||||||
GTE | ||||||||
6.940%, 04/15/2028 | 120 | 160 | ||||||
Nippon Telegraph & Telephone | ||||||||
1.400%, 07/18/2017 | 35 | 35 | ||||||
TCI Communications | ||||||||
7.875%, 02/15/2026 | 240 | 337 | ||||||
Verizon Communications | ||||||||
2.450%, 11/01/2022 | 280 | 280 | ||||||
|
| |||||||
2,472 | ||||||||
|
| |||||||
Utilities — 1.9% |
| |||||||
American Electric Power | ||||||||
1.650%, 12/15/2017 | 10 | 10 | ||||||
American Water Capital | ||||||||
6.085%, 10/15/2017 | 765 | 914 | ||||||
Baltimore Gas & Electric | ||||||||
2.800%, 08/15/2022 | 38 | 38 | ||||||
Carolina Power & Light | ||||||||
2.800%, 05/15/2022 | 58 | 60 | ||||||
Consumers Energy | ||||||||
5.650%, 04/15/2020 | 60 | 74 | ||||||
Detroit Edison | ||||||||
2.650%, 06/15/2022 | 21 | 21 | ||||||
Duke Energy | ||||||||
3.550%, 09/15/2021 | 170 | 179 | ||||||
Duke Energy Indiana | ||||||||
3.750%, 07/15/2020 | 88 | 97 | ||||||
Entergy Louisiana | ||||||||
6.500%, 09/01/2018 | 1,172 | 1,427 | ||||||
Exelon | ||||||||
4.900%, 06/15/2015 | 400 | 435 | ||||||
Hydro-Quebec | ||||||||
8.400%, 01/15/2022 | 80 | 115 | ||||||
Kansas City Power & Light | ||||||||
6.375%, 03/01/2018 | 64 | 77 | ||||||
Nevada Power | ||||||||
6.500%, 08/01/2018 | 92 | 116 | ||||||
New Valley Generation I | ||||||||
7.299%, 03/15/2019 | 1,069 | 1,279 |
Description | Face Amount ($ Thousands) | Market Value | ||||||
Nisource Finance | ||||||||
3.850%, 02/15/2023 | $ | 100 | $ | 103 | ||||
Pacific Gas & Electric | ||||||||
2.450%, 08/15/2022 | 26 | 26 | ||||||
PG&E | ||||||||
5.750%, 04/01/2014 | 290 | 308 | ||||||
PPL Capital Funding | ||||||||
4.200%, 06/15/2022 | 40 | 43 | ||||||
PSEG Power | ||||||||
5.125%, 04/15/2020 | 110 | 127 | ||||||
San Diego Gas & Electric | ||||||||
6.000%, 06/01/2026 | 56 | 76 | ||||||
Sempra Energy | ||||||||
6.150%, 06/15/2018 | 120 | 147 | ||||||
|
| |||||||
5,672 | ||||||||
|
| |||||||
Total Corporate Obligations | 65,300 | |||||||
|
| |||||||
ASSET-BACKED SECURITIES — 5.6% |
| |||||||
Automotive — 1.7% |
| |||||||
American Credit Acceptance Receivables Trust, Ser 2012-2, Cl A | ||||||||
1.890%, 07/15/2016 (B) | 101 | 102 | ||||||
American Credit Acceptance Receivables Trust, Ser 2012-3, Cl A | ||||||||
1.640%, 11/15/2016 (B) | 85 | 85 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2012-3, Cl A2 | ||||||||
0.710%, 12/08/2015 | 120 | 120 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2012-3, Cl A3 | ||||||||
0.960%, 01/09/2017 | 80 | 80 | ||||||
ARI Fleet Lease Trust, Ser 2012-B, Cl A | ||||||||
0.509%, 01/15/2021 (A)(B) | 540 | 541 | ||||||
Avis Budget Rental Car Funding AESOP, Ser 2012-3A, Cl A | ||||||||
2.100%, 03/20/2019 (B) | 400 | 408 | ||||||
BMW Floorplan Master Owner Trust, | ||||||||
0.609%, 09/15/2017 (A)(B) | 680 | 679 | ||||||
California Republic Auto Receivables Trust, Ser 2012-1, Cl A | ||||||||
1.180%, 08/15/2017 (B) | 93 | 93 | ||||||
DT Auto Owner Trust, Ser 2012-2A, Cl A | ||||||||
0.910%, 11/16/2015 (B) | 146 | 147 | ||||||
Ford Credit Auto Owner Trust, | ||||||||
0.400%, 09/15/2015 | 100 | 100 | ||||||
Honda Auto Receivables Owner Trust, | ||||||||
1.130%, 10/15/2014 | 103 | 103 | ||||||
Honda Auto Receivables Owner Trust, | ||||||||
0.520%, 08/18/2016 | 650 | 650 |
New Covenant Funds / Semi-Annual Report / December 31, 2012 | 15 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
New Covenant Income Fund (Continued)
December 31, 2012
Description | Face Amount ($ Thousands) | Market Value | ||||||
Hyundai Auto Receivables Trust, | ||||||||
0.540%, 01/15/2015 | $ | 232 | $ | 232 | ||||
Hyundai Auto Receivables Trust, | ||||||||
0.620%, 09/15/2016 | 109 | 109 | ||||||
Mercedes-Benz Auto Receivables Trust, Ser 2012-1, Cl A2 | ||||||||
0.370%, 03/16/2015 | 140 | 140 | ||||||
Mercedes-Benz Auto Receivables Trust, Ser 2012-1, Cl A3 | ||||||||
0.470%, 10/17/2016 | 260 | 260 | ||||||
Nissan Auto Lease Trust, | ||||||||
0.450%, 06/15/2015 | 47 | 47 | ||||||
Nissan Auto Receivables Owner Trust, | ||||||||
0.730%, 05/16/2016 | 240 | 241 | ||||||
Nissan Auto Receivables Owner Trust, | ||||||||
0.390%, 04/15/2015 | 170 | 170 | ||||||
USAA Auto Owner Trust, | ||||||||
0.380%, 06/15/2015 | 130 | 130 | ||||||
Volkswagen Auto Lease Trust, | ||||||||
0.870%, 07/20/2015 | 110 | 111 | ||||||
Volkswagen Auto Loan Enhanced Trust, Ser 2012-1, Cl A3 | ||||||||
0.850%, 08/22/2016 | 120 | 121 | ||||||
World Omni Auto Receivables Trust, | ||||||||
0.520%, 06/15/2015 | 176 | 176 | ||||||
World Omni Auto Receivables Trust, | ||||||||
0.640%, 02/15/2017 | 94 | 94 | ||||||
World Omni Auto Receivables Trust, | ||||||||
0.430%, 11/16/2015 | 61 | 61 | ||||||
|
| |||||||
5,000 | ||||||||
|
| |||||||
Credit Card— 0.9% |
| |||||||
American Express Credit Account Master Trust, Ser 2012-3, Cl A | ||||||||
0.359%, 03/15/2018 (A) | 670 | 667 | ||||||
American Express Credit Account Master Trust, Ser 2012-5, Cl A | ||||||||
0.590%, 05/15/2018 | 400 | 400 | ||||||
Discover Card Master Trust, | ||||||||
0.859%, 09/15/2015 (A) | 1,501 | 1,503 | ||||||
|
| |||||||
2,570 | ||||||||
|
|
Description | Face Amount ($ Thousands) | Market Value | ||||||
Home — 0.5% | ||||||||
Argent Securities, Ser 2004-W5, Cl AV2 | ||||||||
0.730%, 04/25/2034 (A) | $ | 321 | $ | 309 | ||||
Bayview Financial Acquisition Trust, | ||||||||
6.205%, 05/28/2037 | 367 | 371 | ||||||
Centex Home Equity, Ser 2005-C, Cl AF5 | ||||||||
5.048%, 06/25/2035 | 617 | 629 | ||||||
Novastar Home Equity Loan, | ||||||||
1.270%, 12/25/2033 (A) | 310 | 271 | ||||||
|
| |||||||
1,580 | ||||||||
|
| |||||||
Other Asset-Backed Securities — 2.5% |
| |||||||
Academic Loan Funding Trust, | ||||||||
1.010%, 12/27/2022 (A)(B) | 165 | 166 | ||||||
Bear Stearns Asset-Backed Securities Trust, Ser 2004-HE10, Cl M1 | ||||||||
1.185%, 12/25/2034 (A) | 708 | 613 | ||||||
CenterPoint Energy Transition Bond, | ||||||||
5.090%, 08/01/2015 | 1,139 | 1,170 | ||||||
Consumers Funding, Ser 2001-1, Cl A6 | ||||||||
5.760%, 10/20/2016 | 1,486 | 1,631 | ||||||
Countrywide Asset-Backed Certificates, Ser 2005-1, Cl AF6 | ||||||||
5.030%, 07/25/2035 (A) | 300 | 301 | ||||||
Countrywide Home Equity Loan Trust, | ||||||||
0.349%, 07/15/2036 (A) | 131 | 108 | ||||||
HLSS Servicer Advance Receivables Backed Notes, Ser 2012-T2, Cl A1 | ||||||||
1.340%, 10/15/2043 (B) | 116 | 116 | ||||||
HLSS Servicer Advance Receivables Backed Notes, Ser 2012-T2, Cl A2 | ||||||||
1.990%, 10/15/2045 (B) | 100 | 101 | ||||||
Nelnet Student Loan Trust, | ||||||||
0.475%, 01/25/2037 (A) | 95 | 91 | ||||||
NYMT Residential, Ser 2012-RP1A | ||||||||
4.250%, 12/25/2017 (A) | 150 | 150 | ||||||
Real Estate Asset Trust, | ||||||||
2.734%, 11/25/2042 (A)(B) | 190 | 190 | ||||||
SLM Student Loan Trust, | ||||||||
0.435%, 01/25/2027 (A) | 160 | 156 | ||||||
SLM Student Loan Trust, | ||||||||
0.465%, 10/25/2029 (A) | 480 | 445 | ||||||
SLM Student Loan Trust, | ||||||||
0.960%, 05/26/2026 (A) | 550 | 556 |
16 | New Covenant Funds / Semi-Annual Report / December 31, 2012 |
Table of Contents
Description | Face Amount ($ Thousands) | Market Value | ||||||
SLM Student Loan Trust, | ||||||||
0.369%, 02/27/2017 (A) | $ | 927 | $ | 927 | ||||
Structured Asset Securities, | ||||||||
0.510%, 05/25/2035 (A) | 255 | 251 | ||||||
VOLT, Ser 2012-RLF1, Cl A | ||||||||
3.475%, 12/25/2017 (B) | 200 | 200 | ||||||
VOLT, Ser 2012-RP2A, Cl A1 | ||||||||
4.704%, 06/26/2017 (B)(D) | 109 | 111 | ||||||
VOLT, Ser 2012-RP3A, Cl A | ||||||||
3.475%, 11/27/2017 (B) | 107 | 107 | ||||||
|
| |||||||
7,390 | ||||||||
|
| |||||||
Total Asset-Backed Securities | 16,540 | |||||||
|
| |||||||
FOREIGN BONDS — 2.7% |
| |||||||
Bank Nederlandse Gemeenten | ||||||||
1.000%, 11/17/2014 | 700 | 706 | ||||||
BBVA US Senior SAU | ||||||||
4.664%, 10/09/2015 | 600 | 615 | ||||||
BHP Billiton Finance USA | ||||||||
6.500%, 04/01/2019 | 210 | 268 | ||||||
3.250%, 11/21/2021 | 140 | 151 | ||||||
BP Capital Markets | ||||||||
3.245%, 05/06/2022 | 550 | 579 | ||||||
1.375%, 11/06/2017 | 58 | 58 | ||||||
Celulosa Arauco y Constitucion | ||||||||
4.750%, 01/11/2022 | 270 | 283 | ||||||
Cooperatieve Centrale Raiffeisen- Boerenleenbank | ||||||||
3.375%, 01/19/2017 | 310 | 333 | ||||||
Deutsche Telekom International Finance | ||||||||
5.750%, 03/23/2016 | 290 | 330 | ||||||
FMS Wertmanagement AoeR | ||||||||
1.000%, 11/21/2017 | 200 | 200 | ||||||
HSBC Holdings | ||||||||
4.000%, 03/30/2022 | 80 | 88 | ||||||
Hutchison Whampoa International | ||||||||
3.250%, 11/08/2022 | 200 | 201 | ||||||
Landwirtschaftliche Rentenbank | ||||||||
1.375%, 10/23/2019 | 180 | 180 | ||||||
Petrobras International Finance - Pifco | ||||||||
5.375%, 01/27/2021 | 1,160 | 1,306 | ||||||
Petroleos Mexicanos | ||||||||
4.875%, 01/24/2022 | 570 | 643 | ||||||
Santander US Debt | ||||||||
2.991%, 10/07/2013 | 995 | 997 | ||||||
Schlumberger Norge | ||||||||
4.200%, 01/15/2021 | 20 | 23 | ||||||
Shell International Finance | ||||||||
4.375%, 03/25/2020 | 200 | 232 | ||||||
1.125%, 08/21/2017 | 47 | 47 |
Description | Face Amount ($ Thousands) | Market Value | ||||||
Teva Pharmaceutical Finance IV | ||||||||
3.650%, 11/10/2021 | $ | 220 | $ | 235 | ||||
Total Capital | ||||||||
4.250%, 12/15/2021 | 56 | 64 | ||||||
Total Capital International | ||||||||
1.550%, 06/28/2017 | 33 | 33 | ||||||
0.750%, 01/25/2016 | 11 | 11 | ||||||
Xstrata Finance Canada | ||||||||
2.450%, 10/25/2017 | 170 | 172 | ||||||
1.800%, 10/23/2015 | 180 | 181 | ||||||
|
| |||||||
Total Foreign Bonds | 7,936 | |||||||
|
| |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 1.6% |
| |||||||
FHLMC | ||||||||
2.375%, 01/13/2022 | 790 | 825 | ||||||
FICO STRIPS, PO | ||||||||
0.000%, 05/11/2018 (C) | 340 | 319 | ||||||
FNMA | ||||||||
2.474%, 10/09/2019 (C) | 1,190 | 1,042 | ||||||
1.250%, 08/20/2013 | 838 | 844 | ||||||
Resolution Funding STRIPS | ||||||||
1.723%, 07/15/2020 (C) | 100 | 88 | ||||||
1.365%, 10/15/2019 (C) | 760 | 689 | ||||||
Tennessee Valley Authority | ||||||||
3.875%, 02/15/2021 | 790 | 917 | ||||||
|
| |||||||
Total U.S. Government Agency Obligations (Cost $4,699) ($ Thousands) | 4,724 | |||||||
|
| |||||||
SOVEREIGN DEBT — 0.6% |
| |||||||
African Development Bank | ||||||||
8.800%, 09/01/2019 | 80 | 107 | ||||||
Province of Ontario Canada | ||||||||
4.400%, 04/14/2020 | 840 | 989 | ||||||
1.100%, 10/25/2017 | 500 | 500 | ||||||
0.950%, 05/26/2015 | 160 | 162 | ||||||
|
| |||||||
Total Sovereign Debt | 1,758 | |||||||
|
| |||||||
MUNICIPAL BOND — 0.0% |
| |||||||
Los Angeles, Department of Airports, RB | ||||||||
6.582%, 05/15/2039 | 25 | 33 | ||||||
|
| |||||||
Total Municipal Bond | 33 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 22.5% |
| |||||||
U.S. Treasury Bills |
| |||||||
0.133%, 05/16/2013 (C) | 12,900 | 12,896 | ||||||
U.S. Treasury Bonds | ||||||||
8.750%, 05/15/2020 | 1,201 | 1,844 | ||||||
4.750%, 02/15/2037 | 100 | 137 |
New Covenant Funds / Semi-Annual Report / December 31, 2012 | 17 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
New Covenant Income Fund (Concluded)
December 31, 2012
Description | Face Amount /Shares | Market Value ($ Thousands) | ||||||
U.S. Treasury Inflation-Protected Security |
| |||||||
1.250%, 04/15/2014 | $ | 2,253 | $ | 2,322 | ||||
0.625%, 04/15/2013 | 219 | 219 | ||||||
0.500%, 04/15/2015 | 940 | 981 | ||||||
U.S. Treasury Notes | ||||||||
4.500%, 02/15/2016 | 2,001 | 2,255 | ||||||
3.500%, 02/15/2018 | 150 | 171 | ||||||
3.500%, 05/15/2020 | 400 | 464 | ||||||
2.625%, 08/15/2020 | 200 | 220 | ||||||
2.625%, 11/15/2020 | 100 | 110 | ||||||
1.875%, 04/30/2014 | 160 | 164 | ||||||
1.625%, 08/15/2022 | 10 | 10 | ||||||
1.625%, 11/15/2022 | 520 | 514 | ||||||
1.500%, 08/31/2018 | 600 | 621 | ||||||
1.375%, 01/15/2013 | 3,360 | 3,361 | ||||||
1.375%, 05/15/2013 | 1,601 | 1,608 | ||||||
1.250%, 02/15/2014 | 2,000 | 2,023 | ||||||
1.125%, 12/31/2019 | 18,760 | 18,707 | ||||||
1.000%, 09/30/2016 | 1,150 | 1,172 | ||||||
1.000%, 09/30/2019 | 6,790 | 6,743 | ||||||
0.625%, 08/31/2017 | 3,530 | 3,527 | ||||||
0.250%, 10/15/2015 | 70 | 70 | ||||||
U.S. Treasury STRIPS | ||||||||
1.882%, 05/15/2021(C) | 480 | 422 | ||||||
1.517%, 02/15/2020 (C) | 1,601 | 1,465 | ||||||
1.402%, 02/15/2021 (C) | 1,000 | 886 | ||||||
1.368%, 05/15/2020 (C) | 480 | 436 | ||||||
1.358%, 08/15/2020 (C) | 801 | 722 | ||||||
1.315%, 11/15/2019 | 801 | 738 | ||||||
0.865%, 05/15/2018 | 400 | 382 | ||||||
0.628%, 05/15/2016 (C) | 1,201 | 1,183 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 66,373 | |||||||
|
| |||||||
CASH EQUIVALENT — 4.4% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.060% †** | 13,040,490 | 13,040 | ||||||
|
| |||||||
Total Cash Equivalent | 13,040 | |||||||
|
| |||||||
REPURCHASE AGREEMENT — 2.8% |
| |||||||
Barclays Capital 0.160%, 12/31/2012, to be repurchased on 01/02/2013, repurchase price $8,200,073 (collateralized by U.S. Treasury Obligations, par value $8,375,000, 0.250%, 09/15/2015; total market value $8,364,000) | 8,200 | 8,200 | ||||||
|
| |||||||
Total Repurchase Agreement | 8,200 | |||||||
|
| |||||||
Total Investments — 107.9% | $ | 318,231 | ||||||
|
|
Description | Contracts | Market Value ($ Thousands) | ||||||
PURCHASED OPTIONS †† — 0.0% | ||||||||
U.S. 10 Year Treasury Note Expires 1/19/2013, Strike Price $31 | 42 | $ | 6 | |||||
U.S. 10 Year Treasury Note Expires 1/19/2013, Strike Price $33.50 | 56 | 17 | ||||||
|
| |||||||
Total Purchased Options | 23 | |||||||
|
| |||||||
WRITTEN OPTION †† — 0.0% | ||||||||
U.S. 10 Year Treasury Note Expires 1/19/2013, Strike Price $34.50 | (14 | ) | (1 | ) | ||||
|
| |||||||
Total Written Option | $ | (1 | ) | |||||
|
|
A list of the open futures contracts held by the Fund at December 31, 2012, are as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
90-Day Euro$ | 54 | Jun-2014 | $ | 3 | ||||||||
90-Day Euro$ | (54 | ) | Jun-2015 | — | ||||||||
U.S. 10-Year Treasury Note | (197 | ) | Mar-2013 | 91 | ||||||||
U.S. 2-Year Treasury Note | 46 | Mar-2013 | 2 | |||||||||
U.S. 5-Year Treasury Note | (46 | ) | Mar-2013 | (3 | ) | |||||||
U.S. Long Treasury Bond | (8 | ) | Mar-2013 | 11 | ||||||||
|
| |||||||||||
$ | 104 | |||||||||||
|
|
For the period ended December 31, 2012, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for the derivative type during the period.
The options contracts and futures contracts are both considered to have interest rate risk associated with them.
Percentages are based on a Net Assets of $295,003 ($ Thousands).
‡ | Real Estate Investment Trust |
** | The rate reported is the 7-day effective yield as of December 31, 2012. |
† | Investment in Affiliated Security (see Note 3). |
†† | For the period ended December 31, 2012, the total amount of all open purchased options and written options, as presented in the Schedule of Investments, are representative of the volume of activity for these derivative types during the year. |
(A) | Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of December 31, 2012. The date reported is the final maturity date. |
(B) | Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “accredited investors.” These securities have been determined to be liquid under guidelines established by the Board of Trustees. |
(C) | The rate reported is the effective yield at time of purchase. |
(D) | Security considered illiquid. The total value of such securities as of December 31, 2012 was $2,544 ($ Thousands) and represented 8.6% of Net Assets. |
Cl — Class
FICO — Financing Corporation
18 | New Covenant Funds / Semi-Annual Report / December 31, 2012 |
Table of Contents
FHLMC — Federal Home Loan Mortgage Corporation
FNMA — Federal National Mortgage Association
GNMA — Government National Mortgage Association
IO — Interest Only—face amount represents notional amount
LP — Limited Partnership
NY — New York
PO — Principal Only
RB — Revenue Bond
REMIC — Real Estate Mortgage Investment Conduit
Ser — Series
STRIPS — Separately Traded Registered Interest and Principal Security
TBA — To Be Announced
The following is a summary of the inputs used as of December 31, 2012, in valuing the Fund’s investments carried at value ($ Thousands):
Investments in Securities | Level 1
| Level 2 | Level 3 | Total | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Mortgage-Backed Securities | $ | — | $ | 134,327 | $ | — | $ | 134,327 | ||||||||
Corporate Obligations | — | 65,300 | — | 65,300 | ||||||||||||
Asset-Backed Securities | — | 16,540 | — | 16,540 | ||||||||||||
Foreign Bonds | — | 7,936 | — | 7,936 | ||||||||||||
U.S. Government Agency | ||||||||||||||||
Obligations | — | 4,724 | — | 4,724 | ||||||||||||
Sovereign Debt | — | 1,758 | — | 1,758 | ||||||||||||
Municipal Bond | — | 33 | — | 33 | ||||||||||||
U.S. Treasury Obligations | — | 66,373 | — | 66,373 | ||||||||||||
Cash Equivalent | 13,040 | — | — | 13,040 | ||||||||||||
Repurchase Agreement | — | 8,200 | — | 8,200 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 13,040 | $ | 305,191 | $ | — | $ | 318,231 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Futures Contracts * | $ | 104 | $ | — | $ | — | $ | 104 | ||||||||
Purchased Options | 23 | — | — | 23 | ||||||||||||
Written Options | (1 | ) | — | — | (1 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 126 | $ | — | $ | — | $ | 126 | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
For the period ended December 31, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended December 31, 2012, there were no transfers between Level 2 and Level 3 assets and liabilities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Note to Financial Statements.
Amounts designated as “—” are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
New Covenant Funds / Semi-Annual Report / December 31, 2012 | 19 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
New Covenant Balanced Growth Fund
December 31, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
INVESTMENT COMPANIES — 98.9% |
| |||||||
New Covenant Growth Fund† | 4,632,910 | $ | 159,604 | |||||
New Covenant Income Fund† | 4,428,899 | 103,813 | ||||||
|
| |||||||
Total Investment Companies | 263,417 | |||||||
|
| |||||||
CASH EQUIVALENT — 1.1% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, | 2,807,063 | 2,807 | ||||||
|
| |||||||
Total Cash Equivalent | 2,807 | |||||||
|
| |||||||
Total Investments — 100.0% | $ | 266,224 | ||||||
|
|
Percentages are based on a Net Assets of $266,318 ($ Thousands).
* | The rate reported is the 7-day effective yield as of December 31, 2012. |
† | Investment in Affiliated Security (see Note 3). |
Cl — Class
As of December 31, 2012, all of the Fund’s investments were considered level 1.
For the period ended December 31, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended December 31, 2012, there were no transfers between Level 2 and Level 3 assets and liabilities.
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Note to Financial Statements.
The accompanying notes are an integral part of the financial statements.
20 | New Covenant Funds / Semi-Annual Report / December 31, 2012 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
New Covenant Balanced Income Fund
December 31, 2012
Description | Shares | Market Value ($ Thousands) | ||||||
INVESTMENT COMPANIES — 99.4% |
| |||||||
New Covenant Growth Fund† | 823,860 | $ | 28,382 | |||||
New Covenant Income Fund† | 2,241,952 | 52,551 | ||||||
|
| |||||||
Total Investment Companies | 80,933 | |||||||
|
| |||||||
CASH EQUIVALENT — 0.6% |
| |||||||
SEI Daily Income Trust, Prime Obligation Fund, Cl A 0.060%†* | 478,509 | 479 | ||||||
|
| |||||||
Total Cash Equivalent | 479 | |||||||
|
| |||||||
Total Investments — 100.0% | $ | 81,412 | ||||||
|
|
Percentages are based on a Net Assets of $81,449 ($ Thousands).
* | The rate reported is the 7-day effective yield as of December 31, 2012. |
† | Investment in Affiliated Security (see Note 3). |
Cl — Class
As of December 31, 2012, all of the Fund’s investments were considered level 1.
For the period ended December 31, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended December 31, 2012, there were no transfers between Level 2 and Level 3 assets and liabilities
For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Note to Financial Statements.
The accompanying notes are an integral part of the financial statements.
New Covenant Funds / Semi-Annual Report / December 31, 2012 | 21 |
Table of Contents
Statements of Assets and Liabilities ($ Thousands) (Unaudited)
December 31, 2012
Growth Fund | Income Fund | Balanced Growth Fund | Balanced Income Fund | |||||||||||||
ASSETS: | ||||||||||||||||
Investments, at value† | $ | 348,899 | $ | 305,191 | $ | — | $ | — | ||||||||
Affiliated investments, at value†† | 3,958 | 13,040 | 266,224 | 81,412 | ||||||||||||
Options purchased, at value†††† | — | 23 | — | — | ||||||||||||
Cash | — | 17 | — | — | ||||||||||||
Foreign currency, at value††† | 1 | — | — | — | ||||||||||||
Dividends and interest receivable | 255 | 1,474 | 126 | 64 | ||||||||||||
Foreign tax reclaim receivable | 182 | — | — | — | ||||||||||||
Receivable for variation margin | 93 | 41 | — | — | ||||||||||||
Receivable for fund shares sold | 88 | 98 | 136 | 18 | ||||||||||||
Receivable for investment securities sold | — | 5,757 | — | — | ||||||||||||
Initial margin for futures contracts | — | 309 | — | — | ||||||||||||
Prepaid expenses | 21 | 12 | 8 | 3 | ||||||||||||
Total Assets | 353,497 | 325,962 | 266,494 | 81,497 | ||||||||||||
LIABILITIES: | ||||||||||||||||
Payable for investment securities purchased | 269 | 30,318 | — | — | ||||||||||||
Investment advisory fees payable | 139 | 62 | — | — | ||||||||||||
Administration fees payable | 84 | 66 | 19 | 11 | ||||||||||||
Social witness and licensing fees payable | 43 | 36 | — | — | ||||||||||||
Trustees’ fees payable | 30 | 18 | 13 | 4 | ||||||||||||
Shareholder servicing fees payable | 30 | 25 | — | — | ||||||||||||
Payable for fund shares redeemed | 7 | 17 | 75 | 5 | ||||||||||||
Payable for variation margin | 2 | 1 | — | — | ||||||||||||
Payable to custodian | 1 | — | — | — | ||||||||||||
CCO fees payable | 1 | — | — | — | ||||||||||||
Income distribution payable | — | 311 | — | — | ||||||||||||
Options written, at value†††† | — | 1 | — | — | ||||||||||||
Accrued expense payable | 166 | 104 | 69 | 28 | ||||||||||||
Total Liabilities | 772 | 30,959 | 176 | 48 | ||||||||||||
Net Assets | $ | 352,725 | $ | 295,003 | $ | 266,318 | $ | 81,449 | ||||||||
† Cost of investments | $ | 314,677 | $ | 296,534 | $ | — | $ | — | ||||||||
†† Cost of affiliated investments | 3,958 | 13,040 | 225,500 | 72,892 | ||||||||||||
††† Cost of foreign currency | 1 | — | — | — | ||||||||||||
†††† Option premiums paid/(received) | — | 23 | — | — | ||||||||||||
NET ASSETS: | ||||||||||||||||
Paid-in Capital — (unlimited authorization — par value $0.001) | $ | 272,519 | $ | 340,922 | $ | 249,425 | $ | 75,339 | ||||||||
Distributions in excess of net investment income | (338 | ) | (248 | ) | — | — | ||||||||||
Accumulated net realized gain (loss) on investments, affiliated investments, written and purchased options, futures contracts, and foreign currency transactions | 46,298 | (54,431 | ) | (23,831 | ) | (2,410 | ) | |||||||||
Net unrealized appreciation on investments, affiliated investments and written and purchased options | 34,222 | 8,656 | 40,724 | 8,520 | ||||||||||||
Net unrealized appreciation on futures contracts | 14 | 104 | — | — | ||||||||||||
Net unrealized appreciation on foreign currencies and translation of other assets and liabilities denominated in foreign currencies | 10 | — | — | — | ||||||||||||
Net Assets | $ | 352,725 | $ | 295,003 | $ | 266,318 | $ | 81,449 | ||||||||
Net Asset Value, Offering and Redemption Price Per Share | $ | 34.45 | $ | 23.44 | $ | 86.44 | $ | 19.75 | ||||||||
| ($352,725,470 ÷ 10,240,221 shares | ) | | ($295,002,696 ÷ 12,583,064 shares | ) | | ($266,318,267 ÷ 3,081,077 shares | ) | | ($81,449,021 ÷ 4,124,202 shares | ) |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
22 | New Covenant Funds / Semi-Annual Report / December 31, 2012 |
Table of Contents
Statements of Operations ($ Thousands) (Unaudited)
For the six month period ended December 31, 2012
Growth Fund | Income Fund | Balanced Growth Fund | Balanced Income Fund | |||||||||||||
Investment Income: | ||||||||||||||||
Dividend Income | $ | 4,772 | $ | 4 | $ | — | $ | — | ||||||||
Dividend Income from Affiliated Registered Investment Company | 1 | — | 2,544 | 761 | ||||||||||||
Interest Income | 1 | 3,388 | — | — | ||||||||||||
Less: Foreign Taxes Withheld | (118 | ) | — | — | — | |||||||||||
4,656 | 3,392 | 2,544 | 761 | |||||||||||||
Expenses: | ||||||||||||||||
Investment Advisory Fees | 1,547 | 700 | — | — | ||||||||||||
Administration Fees | 499 | 333 | 264 | 83 | ||||||||||||
Social Witness and Licensing Fees | 374 | 250 | — | — | ||||||||||||
Shareholder Servicing Fees | 250 | 167 | — | — | ||||||||||||
Trustee Fees | 16 | 9 | 7 | 2 | ||||||||||||
Chief Compliance Officer Fees | 2 | 1 | 1 | — | ||||||||||||
Professional Fees | 87 | 51 | 40 | 12 | ||||||||||||
Transfer Agent Fees | 62 | 37 | 29 | 11 | ||||||||||||
Custodian Fees | 31 | 6 | 4 | 1 | ||||||||||||
Printing Fees | 26 | 15 | 12 | 4 | ||||||||||||
Registration Fees | 17 | 10 | 8 | 5 | ||||||||||||
Other Expenses | 30 | 27 | 11 | 3 | ||||||||||||
Total Expenses | 2,941 | 1,606 | 376 | 121 | ||||||||||||
Less: | ||||||||||||||||
Waiver of Investment Advisory Fees | (541 | ) | (358 | ) | — | — | ||||||||||
Waiver of Administration Fees | — | — | (184 | ) | (37 | ) | ||||||||||
Net Expenses | 2,400 | 1,248 | 192 | 84 | ||||||||||||
Net Investment Income | 2,256 | 2,144 | 2,352 | 677 | ||||||||||||
Net Realized and Change in Unrealized Gain (Loss) on Investments: | ||||||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||||||
Investments | 69,513 | (1) | 4,520 | (1) | — | — | ||||||||||
Affiliated Investments | — | — | 4,911 | 2,043 | ||||||||||||
Written and Purchased Options | — | (19 | ) | — | — | |||||||||||
Futures Contracts | 178 | (400 | ) | — | — | |||||||||||
Foreign Currency Transactions | 13 | — | — | — | ||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||||||
Investments | (22,832 | ) | (858 | ) | — | — | ||||||||||
Affiliated Investments | — | — | 6,591 | 325 | ||||||||||||
Written and Purchased Options | — | (1 | ) | — | — | |||||||||||
Futures Contracts | 14 | 263 | — | — | ||||||||||||
Net Increase in Net Assets Resulting from Operations | $ | 49,142 | $ | 5,649 | $ | 13,854 | $ | 3,045 |
(1) | Includes realized gains from an in-kind transfer of securities (see Note 7). |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
New Covenant Funds / Semi-Annual Report / December 31, 2012 | 23 |
Table of Contents
Statements of Changes in Net Assets ($ Thousands)
For the six month period ended December 31, 2012 (Unaudited) and the year ended June 30, 2012
Growth Fund | Income Fund | |||||||||||||||
07/01/12 to 12/31/12 | 07/01/11 to 06/30/12 | 07/01/12 to 12/31/12 | 07/01/11 to 06/30/12 | |||||||||||||
Operations: | ||||||||||||||||
Net Investment Income | $ | 2,256 | $ | 6,828 | $ | 2,144 | $ | 11,354 | ||||||||
Net Realized Gain from Investments, Affiliated Investments, Written and Purchased Options and Futures Contracts | 69,691 | (2) | 74,483 | 4,101 | (2) | 14,481 | ||||||||||
Net Realized Gain (Loss) on Foreign Currency Transactions | 13 | (97 | ) | — | — | |||||||||||
Net Change in Unrealized Depreciation on Investments, Affiliated Investments, Written and Purchased Options and Futures Contracts | (22,818 | ) | (79,477 | ) | (596 | ) | (2,345 | ) | ||||||||
Net Change in Unrealized Depreciation on Foreign Currency Transactions and Translation of Other Assets and Liabilities Denominated in Foreign Currency | — | (44 | ) | — | — | |||||||||||
Net Increase in Net Assets Resulting from Operations | 49,142 | 1,693 | 5,649 | 23,490 | ||||||||||||
Dividends and Distributions From: | ||||||||||||||||
Net Investment Income | (4,647 | ) | (5,067 | ) | (2,921 | ) | (15,213 | ) | ||||||||
Total Dividends and Distributions | (4,647 | ) | (5,067 | ) | (2,921 | ) | (15,213 | ) | ||||||||
Capital Share Transactions: | ||||||||||||||||
Proceeds from Shares Issued | 10,702 | 44,541 | 19,600 | 43,115 | ||||||||||||
Reinvestment of Dividends & Distributions | 590 | 413 | 348 | 1,156 | ||||||||||||
Cost of Shares Redeemed | (355,373 | )(1) | (110,902 | ) | (102,543 | )(1) | (132,814 | )(1) | ||||||||
Decrease in Net Assets Derived from Capital Share Transactions | (344,081 | ) | (65,948 | ) | (82,595 | ) | (88,543 | ) | ||||||||
Net Decrease in Net Assets | (299,586 | ) | (69,322 | ) | (79,867 | ) | (80,266 | ) | ||||||||
Net Assets: | ||||||||||||||||
Beginning of Period | 652,311 | 721,633 | 374,870 | 455,136 | ||||||||||||
End of Period | $ | 352,725 | $ | 652,311 | $ | 295,003 | $ | 374,870 | ||||||||
Undistributed (Distributions in Excess of) Net Investment Income Included in Net Assets at Period End | $ | (338 | ) | $ | 2,053 | $ | (248 | ) | $ | 529 | ||||||
Share Transactions: | ||||||||||||||||
Shares Issued | 325 | 1,482 | 838 | 1,865 | ||||||||||||
Shares Issued in Lieu of Dividends and Distributions | 18 | 14 | 15 | 50 | ||||||||||||
Shares Redeemed | (10,340 | ) | (3,442 | ) | (4,370 | ) | (5,735 | ) | ||||||||
Decrease in Net Assets Derived from Share Transactions | (9,997 | ) | (1,946 | ) | (3,517 | ) | (3,820 | ) |
(1) | Includes redemptions as a result of an in-kind transfer of securities (see Note 7). |
(2) | Includes realized gains from an in-kind transfer of securities (see Note 7). |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
24 | New Covenant Funds / Semi-Annual Report / December 31, 2012 |
Table of Contents
Statements of Changes in Net Assets ($ Thousands)
For the six month period ended December 31, 2012 (Unaudited) and the year ended June 30, 2012
Balanced Growth Fund | Balanced Income Fund | |||||||||||||||
07/01/12 to 12/31/12 | 07/01/11 to 06/30/12 | 07/01/12 to 12/31/12 | 07/01/11 to 06/30/12 | |||||||||||||
Operations: | ||||||||||||||||
Net Investment Income | $ | 2,352 | $ | 4,021 | $ | 677 | $ | 1,891 | ||||||||
Net Realized Gain from Affiliated Investments | 4,911 | 311 | 2,043 | 260 | ||||||||||||
Net Change in Unrealized Appreciation on Affiliated Investments | 6,591 | 915 | 325 | 563 | ||||||||||||
Net Increase in Net Assets Resulting from Operations | 13,854 | 5,247 | 3,045 | 2,714 | ||||||||||||
Dividends and Distributions From: | ||||||||||||||||
Net Investment Income | (2,791 | ) | (3,583 | ) | (942 | ) | (1,626 | ) | ||||||||
Total Dividends and Distributions | (2,791 | ) | (3,583 | ) | (942 | ) | (1,626 | ) | ||||||||
Capital Share Transactions: | ||||||||||||||||
Proceeds from Shares Issued | 5,729 | 14,122 | 2,800 | 4,504 | ||||||||||||
Reinvestment of Dividends & Distributions | 2,201 | 2,837 | 587 | 1,050 | ||||||||||||
Cost of Shares Redeemed | (11,174 | ) | (31,438 | ) | (9,643 | ) | (13,171 | ) | ||||||||
Decrease in Net Assets Derived from Capital Share Transactions | (3,244 | ) | (14,479 | ) | (6,256 | ) | (7,617 | ) | ||||||||
Net Increase (Decrease) in Net Assets | 7,819 | (12,815 | ) | (4,153 | ) | (6,529 | ) | |||||||||
Net Assets: | ||||||||||||||||
Beginning of Period | 258,499 | 271,314 | 85,602 | 92,131 | ||||||||||||
End of Period | $ | 266,318 | $ | 258,499 | $ | 81,449 | $ | 85,602 | ||||||||
Undistributed Net Investment Income Included in Net Assets at Period End | $ | — | $ | 439 | $ | — | $ | 265 | ||||||||
Share Transactions: | ||||||||||||||||
Shares Issued | 67 | 177 | 143 | 238 | ||||||||||||
Shares Issued in Lieu of Dividends and Distributions | 26 | 36 | 30 | 57 | ||||||||||||
Shares Redeemed | (131 | ) | (389 | ) | (495 | ) | (706 | ) | ||||||||
Decrease in Net Assets Derived from Share Transactions | (38 | ) | (176 | ) | (322 | ) | (411 | ) |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
New Covenant Funds / Semi-Annual Report / December 31, 2012 | 25 |
Table of Contents
For the period December 31, 2012 (Unaudited) and the years ended June 30,
For a share outstanding throughout the period
Growth Fund | ||||||||||||||||||||||||
2012(2) | 2012 | 2011 | 2010 | 2009 | 2008 | |||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 32.23 | $ | 32.53 | $ | 25.11 | $ | 22.68 | $ | 31.95 | $ | 38.90 | ||||||||||||
INVESTMENT ACTIVITIES: | ||||||||||||||||||||||||
Net investment income | 0.15 | (1) | 0.31 | (1) | 0.24 | 0.21 | 0.29 | 0.26 | ||||||||||||||||
Net realized and unrealized gains (losses) on securities and foreign currency transactions | 2.42 | (1) | (0.38 | )(1) | 7.41 | 2.43 | (9.29 | ) | (4.98 | ) | ||||||||||||||
Total from investment activities | 2.57 | (0.07 | ) | 7.65 | 2.64 | (9.00 | ) | (4.72 | ) | |||||||||||||||
DIVIDENDS AND DISTRIBUTIONS FROM: | ||||||||||||||||||||||||
Net investment income | (0.35 | ) | (0.23 | ) | (0.23 | ) | (0.18 | ) | (0.25 | ) | (0.24 | ) | ||||||||||||
Net realized gains | — | — | — | — | — | (1.97 | ) | |||||||||||||||||
Tax return of capital | — | — | — | (0.03 | ) | (0.02 | ) | (0.02 | ) | |||||||||||||||
Total dividends and distributions | (0.35 | ) | (0.23 | ) | (0.23 | ) | (0.21 | ) | (0.27 | ) | (2.23 | ) | ||||||||||||
Net Asset Value, End of Period | $ | 34.45 | $ | 32.23 | $ | 32.53 | $ | 25.11 | $ | 22.68 | $ | 31.95 | ||||||||||||
Total Return† | 8.01 | % | (0.15 | )% | 30.54 | % | 11.54 | % | (28.16 | )% | (12.61 | )% | ||||||||||||
SUPPLEMENTAL DATA AND RATIOS: | ||||||||||||||||||||||||
Net assets, end of period ($ thousands) | $ | 352,725 | $ | 652,311 | $ | 721,633 | $ | 624,923 | $ | 598,209 | $ | 836,086 | ||||||||||||
Ratio of net expenses to average net assets | 0.96 | % | 0.97 | % | 1.08 | % | 1.19 | % | 1.12 | % | 1.10 | % | ||||||||||||
Ratio of expenses to average net assets, excluding waivers | 1.18 | % | 1.03 | % | 1.12 | % | 1.29 | % | 1.30 | % | 1.29 | % | ||||||||||||
Ratio of net investment income to average net assets | 0.90 | % | 1.01 | % | 0.78 | % | 0.68 | % | 1.15 | % | 0.73 | % | ||||||||||||
Portfolio turnover rate | 15 | % | 83 | % | 44 | % | 81 | % | 94 | % | 65 | % |
† | Returns shown do not reflect the deduction of taxes the shareholder would pay on fund distributions or redemption of fund shares. |
(1) | Per share net investment income and net realized and unrealized gains (losses) calculated using average shares. |
(2) | For the six month period ended December 31, 2012. All ratios have been annualized. |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
26 | New Covenant Funds / Semi-Annual Report / December 31, 2012 |
Table of Contents
Financial Highlights
For the period December 31, 2012 (Unaudited) and the years ended June 30,
For a share outstanding throughout the period
Income Fund | ||||||||||||||||||||||||
2012(2) | 2012 | 2011 | 2010 | 2009 | 2008 | |||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 23.28 | $ | 22.85 | $ | 22.57 | $ | 20.93 | $ | 23.73 | $ | 24.52 | ||||||||||||
INVESTMENT ACTIVITIES: | ||||||||||||||||||||||||
Net investment income | 0.15 | (1) | 0.60 | (1) | 0.62 | 0.81 | 1.11 | 1.16 | ||||||||||||||||
Net realized and unrealized gains (losses) on securities | 0.21 | (1) | 0.62 | (1) | 0.27 | 1.62 | (2.79 | ) | (0.81 | ) | ||||||||||||||
Total from investment activities | 0.36 | 1.22 | 0.89 | 2.43 | (1.68 | ) | 0.35 | |||||||||||||||||
DIVIDENDS AND DISTRIBUTIONS FROM: | ||||||||||||||||||||||||
Net investment income | (0.20 | ) | (0.79 | ) | (0.61 | ) | (0.79 | ) | (1.12 | ) | (1.14 | ) | ||||||||||||
Total dividends and distributions | (0.20 | ) | (0.79 | ) | (0.61 | ) | (0.79 | ) | (1.12 | ) | (1.14 | ) | ||||||||||||
Net Asset Value, End of Period | $ | 23.44 | $ | 23.28 | $ | 22.85 | $ | 22.57 | $ | 20.93 | $ | 23.73 | ||||||||||||
Total Return† | 1.56 | % | 5.45 | % | 4.00 | % | 11.72 | % | (6.90 | )% | 1.36 | % | ||||||||||||
SUPPLEMENTAL DATA AND RATIOS: | ||||||||||||||||||||||||
Net assets, end of period ($ thousands) | $ | 295,003 | $ | 374,870 | $ | 455,136 | $ | 401,736 | $ | 373,446 | $ | 496,325 | ||||||||||||
Ratio of net expenses to average net assets | 0.75 | % | 0.75 | % | 0.83 | % | 0.87 | % | 0.86 | % | 0.85 | % | ||||||||||||
Ratio of expenses to average net assets, excluding waivers | 0.96 | % | 0.81 | % | 0.89 | % | 1.03 | % | 1.02 | % | 1.01 | % | ||||||||||||
Ratio of net investment income to average net assets | 1.28 | % | 2.60 | % | 2.76 | % | 3.68 | % | 5.15 | % | 4.70 | % | ||||||||||||
Portfolio turnover rate | 170 | % | 95 | % | 38 | % | 76 | % | 230 | % | 170 | % |
† | Returns shown do not reflect the deduction of taxes the shareholder would pay on fund distributions or redemption of fund shares. |
(1) | Per share net investment income and net realized and unrealized gains (losses) calculated using average shares. |
(2) | For the six month period ended December 31, 2012. All ratios have been annualized. |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
New Covenant Funds / Semi-Annual Report / December 31, 2012 | 27 |
Table of Contents
Financial Highlights
For the period December 31, 2012 (Unaudited) and the years ended June 30,
For a share outstanding throughout the period
Balanced Growth Fund | ||||||||||||||||||||||||
2012(2) | 2012 | 2011 | 2010 | 2009 | 2008 | |||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 82.87 | $ | 82.33 | $ | 69.47 | $ | 63.31 | $ | 82.49 | $ | 90.86 | ||||||||||||
INVESTMENT ACTIVITIES: | ||||||||||||||||||||||||
Net investment income | 0.76 | (1) | 1.25 | (1) | 0.99 | 1.11 | 1.70 | 1.83 | ||||||||||||||||
Net realized and unrealized gains (losses) on securities | 3.71 | (1) | 0.41 | (1) | 12.86 | 6.16 | (18.25 | ) | (8.37 | ) | ||||||||||||||
Total from investment activities | 4.47 | 1.66 | 13.85 | 7.27 | (16.55 | ) | (6.54 | ) | ||||||||||||||||
DIVIDENDS AND DISTRIBUTIONS FROM: | ||||||||||||||||||||||||
Net investment income | (0.90 | ) | (1.12 | ) | (0.99 | ) | (1.06 | ) | (1.69 | ) | (1.83 | ) | ||||||||||||
Net realized gains | — | — | — | — | (0.93 | ) | — | |||||||||||||||||
Tax return of capital | — | — | — | (3) | (0.05 | ) | (0.01 | ) | — | |||||||||||||||
Total dividends and distributions | (0.90 | ) | (1.12 | ) | (0.99 | ) | (1.11 | ) | (2.63 | ) | (1.83 | ) | ||||||||||||
Net Asset Value, End of Period | $ | 86.44 | $ | 82.87 | $ | 82.33 | $ | 69.47 | $ | 63.31 | $ | 82.49 | ||||||||||||
Total Return† | 5.43 | % | 2.07 | % | 19.99 | % | 11.43 | % | (19.96 | )% | (7.26 | )% | ||||||||||||
SUPPLEMENTAL DATA AND RATIOS: | ||||||||||||||||||||||||
Net assets, end of period ($ thousands) | $ | 266,318 | $ | 258,499 | $ | 271,314 | $ | 237,504 | $ | 221,070 | $ | 305,294 | ||||||||||||
Ratio of net expenses to average net assets | 0.15 | % | 0.14 | % | 0.18 | % | 0.23 | % | 0.13 | % | 0.15 | % | ||||||||||||
Ratio of expenses to average net assets, excluding waivers | 0.28 | % | 0.17 | % | 0.26 | % | 0.40 | % | 0.37 | % | 0.39 | % | ||||||||||||
Ratio of net investment income to average net assets | 1.78 | % | 1.55 | % | 1.25 | % | 1.56 | % | 2.56 | % | 2.07 | % | ||||||||||||
Portfolio turnover rate | 4 | % | 9 | % | 8 | % | 7 | % | 7 | % | 17 | % |
† | Returns shown do not reflect the deduction of taxes the shareholder would pay on fund distributions or redemption of fund shares. |
(1) | Per share net investment income and net realized and unrealized gains (losses) calculated using average shares. |
(2) | For the six month period ended December 31, 2012. All ratios have been annualized. |
(3) | Less than $0.005. |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
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Financial Highlights
For the period December 31, 2012 (Unaudited) and the years ended June 30,
For a share outstanding throughout the period
Balanced Income Fund | ||||||||||||||||||||||||
2012(2) | 2012 | 2011 | 2010 | 2009 | 2008 | |||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 19.25 | $ | 18.97 | $ | 17.06 | $ | 15.66 | $ | 19.01 | $ | 20.40 | ||||||||||||
INVESTMENT ACTIVITIES: | ||||||||||||||||||||||||
Net investment income | 0.16 | (1) | 0.41 | (1) | 0.31 | 0.38 | 0.56 | 0.60 | ||||||||||||||||
Net realized and unrealized gains (losses) on securities | 0.57 | (1) | 0.22 | (1) | 1.91 | 1.39 | (3.35 | ) | (1.39 | ) | ||||||||||||||
Total from investment activities | 0.73 | 0.63 | 2.22 | 1.77 | (2.79 | ) | (0.79 | ) | ||||||||||||||||
DIVIDENDS AND DISTRIBUTIONS FROM: | ||||||||||||||||||||||||
Net investment income | (0.23 | ) | (0.35 | ) | (0.31 | ) | (0.36 | ) | (0.55 | ) | (0.60 | ) | ||||||||||||
Tax return of capital | — | — | — | (3) | (0.01 | ) | (0.01 | ) | — | |||||||||||||||
Total dividends and distributions | (0.23 | ) | (0.35 | ) | (0.31 | ) | (0.37 | ) | (0.56 | ) | (0.60 | ) | ||||||||||||
Net Asset Value, End of Period | $ | 19.75 | $ | 19.25 | $ | 18.97 | $ | 17.06 | $ | 15.66 | $ | 19.01 | ||||||||||||
Total Return† | 3.79 | % | 3.42 | % | 13.07 | % | 11.31 | % | (14.60 | )% | (3.95 | )% | ||||||||||||
SUPPLEMENTAL DATA AND RATIOS: | ||||||||||||||||||||||||
Net assets, end of period ($ thousands) | $ | 81,449 | $ | 85,602 | $ | 92,131 | $ | 85,037 | $ | 78,665 | $ | 102,657 | ||||||||||||
Ratio of net expenses to average net assets | 0.20 | % | 0.18 | % | 0.22 | % | 0.24 | % | 0.16 | % | 0.20 | % | ||||||||||||
Ratio of expenses to average net assets, excluding waivers | 0.29 | % | 0.20 | % | 0.30 | % | 0.40 | % | 0.40 | % | 0.44 | % | ||||||||||||
Ratio of net investment income to average net assets | 1.63 | % | 2.18 | % | 1.65 | % | 2.17 | % | 3.47 | % | 2.97 | % | ||||||||||||
Portfolio turnover rate | 4 | % | 9 | % | 8 | % | 7 | % | 10 | % | 10 | % |
† | Returns shown do not reflect the deduction of taxes the shareholder would pay on fund distributions or redemption of fund shares. |
(1) | Per share net investment income and net realized and unrealized gains (losses) calculated using average shares. |
(2) | For the six month period ended December 31, 2012. All ratios have been annualized. |
(3) | Less than $0.005. |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
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Notes to Financial Statements (Unaudited)
December 31, 2012
1. ORGANIZATION
New Covenant Funds (the “Trust”), an open-end, diversified management investment company, was organized as a Delaware business trust on September 30, 1998. It currently consists of four investment funds: New Covenant Growth Fund (“Growth Fund”), New Covenant Income Fund (“Income Fund”), New Covenant Balanced Growth Fund (“Balanced Growth Fund”), and New Covenant Balanced Income Fund (“Balanced Income Fund”), (individually, a “Fund,” and collectively, the “Funds”). The Funds commenced operations on July 1, 1999. The Trust’s authorized capital consists of an unlimited number of shares of beneficial interest of $0.001 par value. Effective February 20, 2012, the Funds’ investment adviser is SEI Investments Management Corporation (the “Adviser”). Prior to February 20, 2012, the Funds’ investment adviser was One Compass Advisors, a wholly owned subsidiary of the Presbyterian Church (U.S.A.) Foundation.
The objectives of the Funds are as follows:
Growth Fund | Long-term capital appreciation. | |
Income Fund | High level of current income with preservation of capital. | |
Balanced Growth Fund | Capital appreciation with less risk than would be present in a portfolio of only common stocks. | |
Balanced Income Fund | Current income and long-term growth of capital. |
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of the significant accounting policies followed by the Funds.
Use of Estimates — The preparation of financial statements, in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”), requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities as of the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation — Securities listed on a securities exchange, market or automated quotation system for which quotations are readily available (except for securities traded on NASDAQ) are valued at the last quoted sale price on the primary exchange or market (foreign or domestic) on which they are traded, or, if there is no such reported sale, at the most recent quoted bid price. For securities traded on NASDAQ, the NASDAQ Official Closing Price will be used. Debt securities are priced based upon valuations provided by independent, third-party pricing agents, if available. Such values generally reflect the last reported sales price if the security is actively traded. The third-party pricing agents may also value debt securities at an evaluated bid price by employing methodologies that utilize actual market transactions, broker-supplied valuations, or other methodologies designed to identify the market value for such securities. Debt obligations acquired with remaining maturities of sixty days or less may be valued at their amortized cost, which approximates market value. The prices for foreign securities are reported in local currency and converted to U.S. dollars using currency exchange rates. Prices for most securities held in the Funds are provided daily by recognized independent pricing agents. If a security price cannot be obtained from an independent, third-party pricing agent, the Funds seek to obtain a bid price from at least one independent broker.
Securities for which market prices are not “readily available” are valued in accordance with Fair Value Procedures established by the Trust’s Board of Trustees. The Trust’s Fair Value Procedures are implemented through a Fair Value Committee (the “Committee”) designated by the Trust’s Board of Trustees. Some of the more common reasons that may necessitate that a security be valued using Fair Value Procedures include: the security’s trading has been halted or suspended; the security has been de-listed from a national exchange; the security’s primary trading market is temporarily closed at a time when under normal conditions it would be open; or the security’s primary pricing source is not able or willing to provide a price. When a security is valued in accordance with the Fair Value Procedures, the Committee will determine the value after taking into consideration relevant information reasonably available to the Committee.
For securities that principally trade on a foreign market or exchange, a significant gap in time can exist between the time of a particular security’s last trade and the time at which a Fund calculates its net asset value. The closing prices of such securities may no longer reflect their market value at the time a Fund calculates net asset value if an event that could materially affect the value of those securities (a “Significant Event”) has occurred between the time of the security’s last close and the time that a Fund calculates net asset value. A Significant Event may relate to a single issuer or to an entire market sector. If the adviser or sub-adviser of a Fund becomes aware of a Significant Event that has occurred with respect to a security or group of securities after the closing of the exchange or market on which the security or securities principally trade, but before the time at which a Fund calculates net asset value, the adviser or sub-adviser may request that a Fair Value Committee Meeting be called. In addition, the Trust’s administrator monitors price movements among certain selected indices, securities and/or baskets of securities
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that may be an indicator that the closing prices received earlier from foreign exchanges or markets may not reflect market value at the time a Fund calculates net asset value. If price movements in a monitored index or security exceed levels established by the administrator, the administrator notifies the adviser or sub-adviser for any Fund holding the relevant securities that such limits have been exceeded. In such event, the adviser or sub-adviser makes the determination whether a Fair Value Committee Meeting should be called based on the information provided.
The Growth Fund holds international securities that also use a third-party fair valuation vendor. The vendor provides a fair value for foreign securities held by this fund based on certain factors and methodologies (involving, generally, tracking valuation correlations between the U.S. market and each non-U.S. security). Values from the fair value vendor are applied in the event that there is a movement in the U.S. market that exceeds a specific threshold that has been established by the Committee. The Committee has also established a “confidence interval” which is used to determine the level of historical correlation between the value of a specific foreign security and movements in the U.S. market before a particular security will be fair valued when the threshold is exceeded. In the event that the threshold established by the Committee is exceeded on a specific day, the Growth Fund will value the non-U.S. securities that exceed the applicable “confidence interval” based upon the adjusted prices provided by the fair valuation vendor.
Options for which the primary market is a national securities exchange are valued at the last sale price on the exchange on which they are traded, or, in the absence of any sale, at the closing bid price. Options not traded on a national securities exchange are valued at the last quoted bid price.
The assets of the Balanced Growth Fund and the Balanced Income Fund (the “Balanced Funds”) consist primarily of investments in underlying affiliated investment companies, which are valued at their respective daily net asset values in accordance with Board-approved pricing procedures.
In accordance with U.S. GAAP, fair value is defined as the price that a Fund would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. A three tier hierarchy has been established to maximize the use of observable and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing an asset. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability based on the best information available in the circumstances.
The three-tier hierarchy of inputs is summarized in the three broad Levels listed below:
Level 1 — | quoted prices in active markets for identical investments | |
Level 2 — | other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risks, etc.) | |
Level 3 — | significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments). |
The valuation techniques used by the Funds to measure fair value during the six-months ended December 31, 2012 maximized the use of observable inputs and minimized the use of unobservable inputs.
For the six-months ended December 31, 2012, there have been no significant changes to the Trust’s fair valuation methodologies. For details of the investment classification reference the Schedule of Investments.
Securities Transactions and Investment Income — Security transactions are recorded on the trade date. Cost used in determining net realized capital gains and losses on the sale of securities is determined on the basis of specific identification. Dividend income and expense is recognized on the ex-dividend date, and interest income or expense is recognized using the accrual basis of accounting.
Distributions received on securities that represent a return of capital or capital gains are recorded as a reduction of cost of investments and/or as a realized gain. The Trust estimates the components of distributions received that may be considered nontaxable distributions or capital gain distributions.
Amortization and accretion is calculated using the scientific interest method, which approximates the effective interest method over the holding period of the security. Amortization of premiums and discounts is included in interest income.
Expenses — Expenses that are directly related to a Fund are charged directly to that Fund. Other operating expenses of the Funds are prorated to the Funds on the basis of relative net assets.
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Notes to Financial Statements (Unaudited) (Continued)
December 31, 2012
Foreign Currency Translation — The books and records of the Funds investing in international securities are maintained in U.S. dollars on the following basis:
(I) market value of investment securities, assets and liabilities at the current rate of exchange; and
(II) purchases and sales of investment securities, income and expenses at the relevant rates of exchange prevailing on the respective dates of such transactions.
The Funds do not isolate that portion of gains and losses on investments in equity securities that is due to changes in the foreign exchange rates from that which is due to changes in market prices of equity securities.
The Funds report certain foreign-currency-related transactions as components of realized gains for financial reporting purposes, whereas such components are treated as ordinary income for Federal income tax purposes.
Futures Contracts — To the extent consistent with its investment objective and strategies, a Fund may use futures contracts for tactical hedging purposes as well as to enhance the Fund’s returns. These Funds’ investments in futures contracts are designed to enable the Funds to more closely approximate the performance of their benchmark indices. Initial margin deposits of cash or securities are made upon entering into futures contracts. The contracts are marked-to-market daily and the resulting changes in value are accounted for as unrealized gains and losses. Variation margin payments are paid or received, depending upon whether unrealized gains or losses are incurred. When contracts are closed, the Funds record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the amount invested in the contract.
Risks of entering into futures contracts include the possibility that there will be an imperfect price correlation between the futures and the underlying securities. Second, it is possible that a lack of liquidity for futures contracts could exist in the secondary market, resulting in an inability to close a position prior to its maturity date. Third, futures contracts involve the risk that a Fund could lose more than the original margin deposit required to initiate a futures transaction.
Finally, the risk exists that losses could exceed amounts disclosed on the Statements of Assets and Liabilities. Refer to each Fund’s Schedule of Investments for details regarding open futures contracts as of December 31, 2012, if applicable.
Options Writing/Purchasing — To the extent consistent with its investment objective and strategies, a Fund may invest in financial options contracts for the purpose of hedging its existing portfolio securities, or securities that a Fund intends to purchase, against fluctuations in fair market value caused by changes in prevailing market interest rates. A Fund may also invest in financial option contracts to enhance its returns. When the Fund writes or purchases an option, an amount equal to the premium received or paid by the Fund is recorded as a liability or an asset and is subsequently adjusted to the current market value of the option written or purchased. Premiums received or paid from writing or purchasing options which expire unexercised are treated by the Fund on the expiration date as realized gains or losses. The difference between the premium and the amount paid or received on effecting a closing purchase or sale transaction, including brokerage commissions, is also treated as a realized gain or loss. If an option is exercised, the premium paid or received is added to the cost of the purchase or proceeds from the sale in determining whether the Fund has realized a gain or a loss. The Income Fund had option contracts as of December 31, 2012, as disclosed in the Fund’s Schedule of Investments.
The risk in writing a call option is a Fund may give up the opportunity for profit if the market price of the security increases. The risk in writing a put option is a Fund may incur a loss if the market price of the security decreases and the option is exercised. The risk in purchasing an option is a Fund may pay a premium whether or not the option is exercised. The Funds also have the additional risk of being unable to enter into a closing transaction at an acceptable price if a liquid secondary market does not exist. Option contracts also involve the risk that they may not work as intended due to unanticipated developments in market conditions or other causes.
Refer to each Fund’s Schedule of Investments for details regarding open option contracts as of December 31, 2012, if applicable.
Forward Treasury Commitments — To the extent consistent with its investment objective and strategies, the Growth Fund and Income Fund may invest in commitments to purchase U.S. Treasury securities on an extended settlement basis. Such transactions involve the commitment to purchase a security with payment and delivery taking place in the future, sometimes a month or more after the transaction date. The Funds account for such transactions as purchases and sales and record an unrealized gain or loss each day equal to the difference between the cost of the purchase commitment and the current market value. Realized gains or losses are recorded upon closure or settlement of such commitments. No interest is earned prior to settlement of the transaction. These instruments are subject to market fluctuation due to changes in interest rates and the market value at the time of settlement could be higher or lower than the purchase price. A Fund may incur losses due to changes in the value of the underlying treasury securities from interest rate fluctuations or as a result of counterparty nonperformance.
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Master Limited Partnerships — Entities commonly referred to as “MLPs” are generally organized under state law as limited partnerships or limited liability companies. The Funds intend to primarily invest in MLPs receiving partnership taxation treatment under the Internal Revenue Code of 1986 (the “Code”), and whose interests or “units” are traded on securities exchanges like shares of corporate stock. To be treated as a partnership for U.S. federal income tax purposes, an MLP whose units are traded on a securities exchange must receive at least 90% of its income from qualifying sources such as interest, dividends, real estate rents, gain from the sale or disposition of real property, income and gain from mineral or natural resources activities, income and gain from the transportation or storage of certain fuels, and, in certain circumstances, income and gain from commodities or futures, forwards and options with respect to commodities. Mineral or natural resources activities include exploration, development, production, processing, mining, refining, marketing and transportation (including pipelines) of oil and gas, minerals, geothermal energy, fertilizer, timber or industrial source carbon dioxide. An MLP consists of a general partner and limited partners (or in the case of MLPs organized as limited liability companies, a managing member and members). The general partner or managing member typically controls the operations and management of the MLP and has an ownership stake in the partnership. The limited partners or members, through their ownership of limited partner or member interests, provide capital to the entity, are intended to have no role in the operation and management of the entity and receive cash distributions. The MLPs themselves generally do not pay U.S. federal income taxes. Thus, unlike investors in corporate securities, direct MLP investors are generally not subject to double taxation (i.e., corporate level tax and tax on corporate dividends). Currently, most MLPs operate in the energy and/or natural resources sector.
Delayed Delivery Transactions — To the extent consistent with its investment objective and strategies, the Growth Fund and Income Fund may purchase or sell securities on a when-issued or delayed delivery basis. These transactions involve a commitment by those Funds to purchase or sell securities for a predetermined price or yield, with payment and delivery taking place beyond the customary settlement period. When purchasing a security on a delayed delivery basis, that Fund assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations, and takes such fluctuations into account when determining its net asset value. Those Funds may dispose of or renegotiate a delayed delivery transaction after it is entered into, and may sell when-issued securities before they are delivered, which may result in a capital gain or loss. When those Funds have sold a security on a delayed delivery basis, that Fund does not participate in future gains and losses with respect to the security.
Dividends and Distributions to Shareholders — Dividends from net investment income are declared and paid to shareholders quarterly for the Growth Fund, Balanced Growth Fund and Balanced Income Fund; declared and paid monthly for the Income Fund. Dividends and distributions are recorded on the ex-dividend date. Any net realized capital gains will be distributed at least annually by the Funds.
Illiquid Securities — A security is considered illiquid if it cannot be sold or disposed of in the ordinary course of business within seven days or less for its approximate carrying value on the books of a Fund. Valuations of illiquid securities may differ significantly from the values that would have been used had an active market value for these securities existed.
Investments in Real Estate Investment Trusts (“REITs”) — Dividend income is recorded based on the income included in distributions received from the REIT investments using published REIT reclassifications including some management estimates when actual amounts are not available. Distributions received in excess of this estimated amount are recorded as a reduction of the cost of investments or reclassified to capital gains. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.
3. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES
Administration Agreement — The Trust entered into an Administration Agreement with SEI Investments Global Funds Services (the “Administrator”). Under the Administration Agreement, the Administrator provides administrative and accounting services to the Funds. Under the terms of the Administration Agreement, the Administrator is entitled to a fee of 0.20% of each Fund’s average daily net assets. The Administrator has voluntarily agreed to waive a portion of its fee so that the total annual expenses of the Balanced Growth Fund and the Balanced Income Fund, exclusive of acquired fund fees and expenses, will not exceed certain voluntary expense limitations adopted by the Adviser. Accordingly, the voluntary expense limitations are 0.14% and 0.20% for the Balanced Growth Fund and the Balanced Income Fund, respectively. These voluntary waivers may be terminated at any time.
Transfer Agent Servicing Agreement — In 2008, the Trust entered into a transfer agent servicing agreement (“Agreement”) with U.S. Bancorp Fund Services, LLC (“USBFS”), an indirect, wholly-owned subsidiary of U.S. Bancorp. Under the terms of the Agreement, USBFS is entitled to account based fees and annual fund level fees, as well as reimbursement of out-of-pocket expenses incurred in providing transfer agency services.
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Notes to Financial Statements (Unaudited) (Continued)
December 31, 2012
Investment Advisory Agreement — The Trust, on behalf of each Fund, entered into an Investment Advisory Agreement (“Agreement”) with the SEI Investments Management Corporation (the “Adviser”). Under the Agreement, the Adviser is responsible for the investment management of the Funds and receives an annual advisory fee of 0.62% for the Growth Fund and 0.42% for the Income Fund. The Adviser does not receive an advisory fee for the Balanced Growth Fund and Balanced Income Fund. The Adviser has voluntarily agreed to waive a portion of its fee so that the total annual expenses of the Growth and Income Funds, exclusive of acquired fund fees and expenses, will not exceed certain voluntary expense limitations adopted by the Adviser. Effective October 1, 2012 the voluntary expense limitations are 1.02% and 0.80% for the Growth Fund and Income Fund, respectively. Prior to October 1,2012 the voluntary expense limitations were 0.92% and 0.70% for the Growth Fund and Income Fund, respectively. These voluntary waivers may be terminated by the Adviser at any time.
The Adviser has entered into sub-advisory agreements to assist in the selection and management of investment securities in the Growth Fund and the Income Fund. It is the responsibility of the sub-advisers, under the direction of the Adviser, to make day-to-day investment decisions for these Funds. The Adviser, not the Funds, pays each sub-adviser a quarterly fee, in arrears, for their services. The Adviser pays sub-advisory fees directly from its own advisory fee. The sub-advisory fees are based on the assets of the Fund allocated to the sub-adviser for which the sub-adviser is responsible for making investment decisions.
The following are the sub-advisers for the Growth Fund: Baillie Gifford Overseas Limited., Parametric Portfolio Associates, Sustainable Growth Advisers, LP., Tocqueville Asset Management L.P., Waddell & Reed Investment Management Company, and WestEnd Advisors LLC.
The following are the sub-advisers for the Income Fund: J.P. Morgan Investment Management Inc., Western Asset Management Company and Western Asset Management Company Limited.
Shareholder Service Plan and Agreement — The Trust entered into a Shareholder Service Plan and Agreement (the “Agreement”) with the Distributor. Per the Agreement, a Fund is authorized to make payments to certain entities which may include investment advisors, banks, trust companies and other types of organizations (“Authorized Service Providers”) for providing administrative services with respect to shares of the Funds attributable to or held in the name of the Authorized Service Providers for its clients or other parties with whom they have a servicing relationship. Under the terms of the Agreement, the Growth Fund and the Income Funds are authorized to pay an Authorized Service Provider a shareholder servicing fee at an annual rate of up to 0.10% of the average daily net asset value of the Growth Fund and Income Fund, respectively, which fee will be computed daily and paid monthly, for providing certain administrative services to Fund shareholders with whom the Authorized Service Provider has a servicing relationship.
Distribution Agreement — The Trust issues shares of the Funds pursuant to a Distribution Agreement with SEI Investments Distribution Co. (the “Distributor”), a wholly owned subsidiary of SEI Investments Company (“SEI”). The Funds do not compensate the Distributor in its capacity as principal distributor.
Social Witness Services and License Agreement — The Trust retained New Covenant Trust Company (“NCTC”) to ensure that each Fund continues to invest consistent with social witness principles adopted by the General Assembly of the Presbyterian Church (U.S.A.). No less than annually, NCTC will provide the Trust with an updated list of issuers in which the Funds will be prohibited from investing.
NCTC will distribute to the Trust proxy voting guidelines and shareholder advocacy services for the Funds that NCTC deems to be consistent with social witness principles adopted by the General Assembly of the Presbyterian Church (U.S.A.). The Trust also engages NCTC to vote Fund proxies consistent with such proxy voting guidelines. NCTC shall monitor and review and, as necessary, amend the Proxy Voting Guidelines periodically to ensure that they remain consistent with the social witness principles.
NCTC also grants to the Trust a non-exclusive right and license to use and refer to the trade name, trademark and/or service mark rights to the name “New Covenant Funds” and the phrase “Funds with a Mission”, in the name of the Trust and each Fund, and in connection with the offering, marketing, promotion, management and operation of the Trust and the Funds.
In consideration of the services provided by NCTC, the Growth Fund and the Income Fund will each pay to NCTC a fee at an annual rate of 0.15% of the average daily net asset value of the shares of such Fund, which fee will be computed daily and paid monthly.
Payment to Affiliates — Certain officers and/or interested trustees of the Trust are also officers of the Distributor, the Adviser, the Administrator or NCTC. The Trust pays each unaffiliated Trustee an annual fee for attendance at quarterly and interim board meetings. Compensation of officers and affiliated Trustees of the Trust is paid by the Adviser, the Administrator or NCTC.
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A portion of the services provided by the Chief Compliance Officer (“CCO”) and his staff, whom are employees of the Administrator, are paid for by the Trust as incurred. The services include regulatory oversight of the Trust’s Adviser, sub-advisers and service providers as required by SEC regulations. The CCO’s services have been approved by and are reviewed annually by the Board.
Investment in Affiliated Security — The Funds may invest excess cash in the SEI Daily Income Trust Prime Obligation Fund, an affiliated money market fund. The Balanced Funds invest in the Growth Fund and Income Fund.
4. INVESTMENT TRANSACTIONS
The cost of security purchases and the proceeds from the sale and maturities of securities, excluding U.S. government and other short-term investments, for the six-months ended December 31, 2012, were as follows:
Fund | Purchases (excluding Short-Term Investments & U.S. Government Securities) ($ Thousands) | Sales (excluding Short-Term Investments & U.S. Government Securities) ($ Thousands) | Purchases of U.S. Government Securities ($ Thousands) | Sales of U.S. Government Securities ($ Thousands) | ||||||||||||
Growth Fund | $ | 71,086 | $ | 418,131 | $ | — | $ | — | ||||||||
Income Fund | 35,902 | 34,834 | 471,640 | 530,493 | ||||||||||||
Balanced Growth Fund | 9,832 | 13,822 | — | — | ||||||||||||
Balanced Income Fund | 3,644 | 9,792 | — | — |
5. FEDERAL TAX INFORMATION
It is each Fund’s intention to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code and distribute all of its taxable income (including net capital gains). Accordingly, no provision for federal income tax is required.
Dividends from net investment income and distributions from net realized capital gains are determined in accordance with U.S. Federal income tax regulations, which may differ from those amounts determined under U.S. GAAP. These book/tax differences are either temporary or permanent in nature. To the extent these differences are permanent, they are charged or credited to paid-in capital, undistributed net investment income or accumulated net realized gain, as appropriate, in the period that the differences arise.
The tax character of dividends and distributions paid during the last two years ended June 30, 2012 were as follows:
Ordinary Income ($ Thousands) | Long Term Capital Gain ($ Thousands) | Total Taxable Deductions ($ Thousands) | Return of Capital ($ Thousands) | Total ($ Thousands) | ||||||||||||||||||||
Growth Fund | 2012 | $ | 5,067 | $ | — | $ | 5,067 | $ | — | $ | 5,067 | |||||||||||||
2011 | 5,337 | — | 5,337 | — | 5,337 | |||||||||||||||||||
Income Fund | 2012 | 15,213 | — | 15,213 | — | 15,213 | ||||||||||||||||||
2011 | 11,860 | — | 11,860 | — | 11,860 | |||||||||||||||||||
Balanced Growth Fund | 2012 | 3,583 | — | 3,583 | — | 3,583 | ||||||||||||||||||
2011 | 3,264 | — | 3,264 | 2 | 3,266 | |||||||||||||||||||
Balanced Income Fund | 2012 | 1,626 | — | 1,626 | — | 1,626 | ||||||||||||||||||
2011 | 1,498 | — | 1,498 | 11 | 1,509 |
As of June 30, 2012, the components of distributable earnings (accumulated losses) were as follows:
Undistributed Ordinary Income ($ Thousands) | Post-October Losses ($ Thousands) | Capital Loss Carryforwards ($ Thousands) | Unrealized Appreciation/ ($ Thousands) | Other Temporary Differences ($ Thousands) | Earnings/ (Accumulated Losses) ($ Thousands) | |||||||||||||||||||
Growth Fund | $ | 2,053 | $ | — | $ | (19,929 | ) | $ | 53,587 | $ | — | $ | 35,711 | |||||||||||
Income Fund | 1,066 | — | (58,250 | ) | 9,515 | (978 | ) | (48,647 | ) | |||||||||||||||
Balanced Growth Fund | 439 | (363 | ) | (18,100 | ) | 23,854 | — | 5,830 | ||||||||||||||||
Balanced Income Fund | 265 | — | (3,089 | ) | 6,831 | — | 4,007 |
New Covenant Funds / Semi-Annual Report / December 31, 2012 | 35 |
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Notes to Financial Statements (Unaudited) (Continued)
December 31, 2012
Post-October losses represent losses realized on investment transactions from November 1, 2011 through June 30, 2012 that, in accordance with Federal income tax regulations, the Funds may elect to defer and treat as having arisen in the following fiscal year. For Federal income tax purposes, capital loss carryforwards may be carried forward and applied against future capital gains as follows:
Expires 2013 ($ Thousands) | Expires 2017 ($ Thousands) | Expires 2018 ($ Thousands) | Expires 2019 ($ Thousands) | Total Capital Loss Carryforwards June 30, 2012 | ||||||||||||||||
Growth Fund | $ | — | $ | — | $ | (19,929 | ) | $ | — | $ | (19,929 | ) | ||||||||
Income Fund | — | (1,579 | ) | (56,671 | ) | — | (58,250 | ) | ||||||||||||
Balanced Growth Fund | — | (764 | ) | (8,630 | ) | (3,098 | ) | (12,492 | ) | |||||||||||
Balanced Income Fund | (792 | ) | (335 | ) | (1,962 | ) | — | (3,089 | ) |
Under the recently enacted Regulated Investment Company Modernization Act of 2010, the Funds will be 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 ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law. Losses carried forward under these new provisions are as follows:
Short-Term Loss | Long-Term Loss | Total* | ||||||||||
Balanced Growth Fund | $ | — | $ | (5,608 | ) | $ | (5,608 | ) |
* This table should be used in conjunction with the capital loss carryforwards table.
During the fiscal year ended June 30, 2012, the following Funds utilized capital loss carryforwards to offset capital gains:
Amount Utilized ($ Thousands) | ||||
Growth Fund | $ | 69,001 | ||
Income Fund | 9,791 | |||
Balanced Income Fund | 272 |
For Federal income tax purposes, the cost of securities owned at December 31, 2012, and the net realized gains or losses on securities sold for the period were not materially different from amounts reported for financial reporting purposes. The aggregate gross unrealized appreciation and depreciation on total investments, held by the Funds at December 31, 2012, was as follows:
Federal Tax Cost ($ Thousands) | Appreciated Securities ($ Thousands) | Depreciated Securities ($ Thousands) | Net Unrealized Appreciation ($ Thousands) | |||||||||||||
Growth Fund | $ | 318,635 | $ | 46,110 | $ | (11,888 | ) | $ | 34,222 | |||||||
Income Fund | 309,574 | 8,936 | (279 | ) | 8,657 | |||||||||||
Balanced Growth Fund | 225,500 | 43,314 | (2,590 | ) | 40,724 | |||||||||||
Balanced Income Fund | 72,892 | 10,328 | (1,808 | ) | 8,520 |
Management has analyzed the Funds’ tax positions taken on Federal income tax returns for all open tax years and has concluded that as of December 31, 2012, no provision for income tax would be required in the Funds’ financial statements. The Funds’ Federal and state income and Federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.
6. CONCENTRATION/RISKS
In the normal course of business, the Trust enters into contracts that provide general indemnifications by the Trust to the counterparty to the contract. The Trust’s maximum exposure under these arrangements is dependent on future claims that may be made against the Trust and, therefore, cannot be estimated; however, management believes that, based on experience, the risk of loss from such claims is considered remote.
The market values of the Income Fund’s investments may change in response to interest rate changes and other factors. During periods of falling interest rates, the values of fixed income securities generally rise. Conversely, during periods of rising interest rates, the values of such securities generally decline. Changes by recognized rating agencies in the ratings of any fixed income security and in the ability of an issuer to make payments of interest and principal may also affect the value of these investments.
36 | New Covenant Funds / Semi-Annual Report / December 31, 2012 |
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The Growth Fund concentrates its investments in securities of foreign issuers in various countries. These investments may involve certain considerations and risks not typically associated with investments in the United States, as a result of, among other factors, the possibility of future political and economic developments and the level of governmental supervision and regulation of securities markets in the respective countries.
The Funds will not invest more than 15% of the value of their net assets in securities that are illiquid because of restrictions on transferability or other reasons. Repurchase agreements with deemed maturities in excess of seven days are subject to this 15% limit. The Funds may purchase securities which are not registered under the Securities Act of 1933 (the “Securities Act”) but which can be sold to “qualified institutional buyers” in accordance with Rule 144A under the Securities Act. In some cases, such securities are classified as “illiquid securities;” however, any such security will not be considered illiquid so long as it is determined by the Adviser, under guidelines approved by the Board of Trustees, that an adequate trading market exists for that security. This investment practice could have the effect of increasing the level of illiquidity in a Fund during any period that qualified institutional buyers become uninterested in purchasing these restricted securities.
The Income Fund may invest a limited amount of assets in debt securities which are rated below investment grade (hereinafter referred to as “lower-rated securities”) or which are unrated but deemed equivalent to those rated below investment grade by the portfolio managers. The lower the ratings of such debt securities, the greater their risks. These debt instruments generally offer a higher current yield than that available from higher-grade issues, and typically involve greater risks. The yields on lower-rated securities will fluctuate over time. In general, prices of all bonds rise when interest rates fall and fall when interest rates rise. Lower-rated securities are subject to adverse changes in general economic conditions and to changes in the financial condition of their issuers. During periods of economic downturn or rising interest rates, issuers of these instruments may experience financial stress that could adversely affect their ability to make payments of principal and interest, and increase the possibility of default.
The Balanced Growth Fund and Balanced Income Fund invest their assets primarily in the Growth Fund and the Income Fund. By investing primarily in shares of these Funds, shareholders of the Balanced Funds indirectly pay a portion of the operating expenses, management fees and brokerage costs of the underlying Funds as well as their own operating expenses. Thus, shareholders of the Balanced Funds may indirectly pay slightly higher total operating expenses and other costs than they would pay by directly owning shares of the Growth Fund and Income Fund. A change in the asset allocation of either Balanced Fund could increase or reduce the fees and expenses actually borne by investors in that Fund. The Balanced Funds are also subject to rebalancing risk. Rebalancing activities, while undertaken to maintain a Fund’s investment risk-to-reward ratio, may cause the Fund to under-perform other funds with similar investment objectives. For the Balanced Growth Fund, it is possible after rebalancing from equities into a greater percentage of fixed-income securities, that equities will outperform fixed income investments. For the Balanced Income Fund, it is possible that after rebalancing from fixed-income securities into a greater percentage of equity securities, that fixed-income securities will outperform equity investments. The performance of the Balanced Growth Fund and the Balanced Income Fund depends on the performance of the underlying Funds in which they invest.
7. IN-KIND TRANSFER OF SECURITIES
During the six-months ended December 31, 2012, the Growth Fund redeemed shares of beneficial interest in the form of securities and cash totaling $326,398 ($ Thousands). These securities were transferred at their current value on the date of such transactions.
Date of Transfer | Shares Redeemed (Thousands) | Value of Investment Securities ($ Thousands) | Gains ($ Thousands) | Cash ($ Thousands) | ||||||||||||
09/25/12 | 9,472 | $ | 309,299 | $ | 57,120 | $ | 17,099 |
During the six-months ended December 31, 2012, the Income Fund redeemed shares of beneficial interest in the form of securities and cash totaling $78,475 ($ Thousands). These securities were transferred at their current value on the date of such transactions.
Date of Transfer | Shares Redeemed (Thousands) | Value of Investment Securities ($ Thousands) | Gains ($ Thousands) | Cash ($ Thousands) | ||||||||||||
09/25/12 | 3,342 | $ | 69,860 | $ | 2,278 | $ | 8,615 |
During the year ended June 30, 2012, the Income Fund redeemed shares of beneficial interest in the form of securities and cash totaling $80,000 ($Thousands). These securities were transferred at their current value on the date of such transactions.
Date of Transfer | Shares Redeemed (Thousands) | Value of Investment Securities ($ Thousands) | Gains ($ Thousands) | Cash ($ Thousands) | ||||||||||||
04/18/12 | 3,450 | $ | 75,544 | $ | 2,602 | $ | 4,456 |
New Covenant Funds / Semi-Annual Report / December 31, 2012 | 37 |
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Notes to Financial Statements (Unaudited) (Continued)
December 31, 2012
8. SECURITIES LENDING
The Growth Fund and the Income Fund may lend their securities pursuant to a securities lending agreement (“Lending Agreement”) with JPMorgan Chase Bank, N.A. (“JPMorgan”). Security loans made pursuant to the Lending Agreement are required at all times to be secured by collateral valued at least equal to 102% of the market value of the securities loaned. Cash collateral received is invested by JPMorgan pursuant to the terms of the Lending Agreement. All such investments are made at the risk of the Funds and, as such, the Funds are liable for investment losses. To the extent a loan is secured by non-cash collateral, the borrower is required to pay a loan premium. Non-cash collateral received cannot be sold or repledged. Net income earned on the investment of cash collateral and loan premiums received on non-cash collateral are allocated between JPMorgan and the Funds in accordance with the Lending Agreement. As of December 31, 2012, the Growth Fund and Income Fund did not participate in securities lending.
9. RECENT ACCOUNTING PRONOUNCEMENT
In December 2011, the Financial Accounting Standard Board issued a further update to the guidance “Balance Sheet — Disclosures about Offsetting Assets and Liabilities”. The amendments to this standard require an entity to disclose information about offsetting and related arrangements to enable users of its financial statements to understand the effect of those arrangements on its financial position. The amended guidance is effective for interim and annual reporting periods beginning after January 1, 2013. At this time, management is evaluating the implications of this update and its impact on the financial statements has not been determined.
10. SUBSEQUENT EVENTS
Management has evaluated the need for disclosures and/or adjustments resulting from subsequent events through the date the financial statements were issued. Based on this evaluation, no adjustments were required to the financial statements as of December 31, 2012.
38 | New Covenant Funds / Semi-Annual Report / December 31, 2012 |
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December 31, 2012 (Unaudited)
All mutual funds have operating expenses. As a shareholder of a mutual fund, your investment is affected by these ongoing costs, which include (among others) costs for portfolio management, administrative services, and shareholder reports like this one. It is important for you to understand the impact of these costs on your investment returns.
Operating expenses such as these are deducted from the mutual fund’s gross income and directly reduce its final investment return. These expenses are expressed as a percentage of the mutual fund’s average net assets; this percentage is known as the mutual fund’s expense ratio.
The following examples use the expense ratio and are intended to help you understand the ongoing costs (in dollars) of investing in your Fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The table below illustrates your Fund’s costs in two ways:
Actual Fund Return. This section helps you to estimate the actual expenses after fee waivers that your Fund incurred over the period. The “Expenses Paid During Period” column shows the actual dollar expense cost incurred by a $1,000 investment in the Fund, and the “Ending Account Value” number is derived from deducting that expense cost from the Fund’s gross investment return.
You can use this information, together with the actual amount you invested in your Fund, to estimate the expenses you paid over that period. Simply divide your actual starting account value by $1,000 to arrive at a ratio (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply that ratio by the number shown for your Fund under “Expenses Paid During Period.”
Hypothetical 5% Return. This section helps you compare your Fund’s costs with those of other mutual funds. It assumes that your Fund had an annual 5% return before expenses during the year, but that the expense ratio (Column 3) is unchanged. This example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to make this 5% calculation. You can assess your Fund’s comparative cost by comparing the hypothetical result for your Fund in the “Expenses Paid During Period” column with those that appear in the same charts in the shareholder reports for other mutual funds.
NOTE: Because the return is set at 5% for comparison purposes — NOT your Fund’s actual return — the account values shown do not apply to your specific investment.
Beginning Account Value 7/1/2012 | Ending Account Value 12/31/2012 | Annualized Expense Ratios | Expenses Paid During Period* | |||||||||||||
Growth Fund | ||||||||||||||||
Actual Fund Return | $ | 1,000.00 | $ | 1,080.10 | 0.96 | % | $ | 5.03 | ||||||||
Hypothetical 5% Return | $ | 1,000.00 | $ | 1,020.37 | 0.96 | % | $ | 4.89 | ||||||||
Income Fund | ||||||||||||||||
Actual Fund Return | $ | 1,000.00 | $ | 1,015.60 | 0.75 | % | $ | 3.81 | ||||||||
Hypothetical 5% Return | $ | 1,000.00 | $ | 1,021.42 | 0.75 | % | $ | 3.82 | ||||||||
Balanced Growth Fund | ||||||||||||||||
Actual Fund Return | $ | 1,000.00 | $ | 1,054.30 | 0.15 | % | $ | 0.78 | ||||||||
Hypothetical 5% Return | $ | 1,000.00 | $ | 1,024.45 | 0.15 | % | $ | 0.77 | ||||||||
Balanced Income Fund | ||||||||||||||||
Actual Fund Return | $ | 1,000.00 | $ | 1,037.90 | 0.20 | % | $ | 1.03 | ||||||||
Hypothetical 5% Return | $ | 1,000.00 | $ | 1,024.20 | 0.20 | % | $ | 1.02 |
* Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period shown).
New Covenant Funds / Semi-Annual Report / December 31, 2012 | 39 |
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NEW COVENANT FUNDS SEMI-ANNUAL REPORT DECEMBER 31, 2012
Robert A. Nesher, Chairman
Trustees
William M. Doran
George J. Sullivan, Jr.
Rosemarie B. Greco
Nina Lesavoy
James M. Williams
Mitchell A. Johnson
Hubert L. Harris, Jr.
Timothy P. Clark
Officers
Robert A. Nesher
President and Chief Executive Officer
Peter A. Rodriguez
Controller and Chief Financial Officer
Russell Emery
Chief Compliance Officer
Timothy D. Barto
Vice President, Secretary
David McCann
Vice President, Assistant Secretary
Aaron Buser
Vice President, Assistant Secretary
Stephen G. MacRae
Vice President
Keri E. Rohn
Anti-Money Laundering Compliance Officer Privacy Officer
Investment Adviser
SEI Investments Management Corporation
Administrator
SEI Investments Global Funds Services
Distributor
SEI Investments Distribution Co.
Legal Counsel
Morgan, Lewis & Bockius LLP
Independent Registered Public Accounting Firm
KPMG LLP
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Trust and must be preceded or accompanied by a current prospectus. Shares of the Funds are not deposits or obligations of, or guaranteed or endorsed by, any bank. The shares are not federally insured by the Federal Deposit Insurance Corporation (FDIC), the Federal Reserve Board, or any other government agency. Investment in the shares involves risk, including the possible loss of principal.
For more information call
1-877-835-4531
Table of Contents
One Freedom Valley Drive
Oaks, Pennsylvania 19456
NCF-F-004
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Item 2. Code of Ethics.
Not applicable for semi-annual report.
Item 3. Audit Committee Financial Expert.
Not applicable for semi-annual report.
Item 4. Principal Accountant Fees and Services.
Not applicable for semi-annual report.
Item 5. Audit Committee of Listed Registrants.
Not applicable for semi-annual report.
Item 6. Schedule of Investments
(a) | The Schedules of Investments are included as part of the report to shareholders filed under Item 1 of this form. |
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 Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
The Registrant has a standing Governance Committee (the “Committee”) currently consisting of the Independent Trustees. The Committee is responsible for evaluating and recommending nominees for election to the Registrant’s Board of Trustees (the “Board”). Pursuant to the Committee’s Charter, adopted on February 22, 2012, the Committee will review all shareholder recommendations for nominations to fill vacancies on the Board if such recommendations are submitted in writing and addressed to the Committee at the Registrant’s office.
Item 11. Controls and Procedures.
(a) The Registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR 270.30a-3(c)) are effective, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d-15(b) under the Exchange Act as of a date within 90 days of the filing date of this report.
(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
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Items 12. Exhibits.
(a)(1) Not applicable for semi-annual report.
(a)(2) A separate certification of each principal executive officer and principal financial officer of the Registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2(a)), are filed herewith.
(b) Officer certifications as required by Rule 30a-2(b) under the Act (17 CFR 270.30a-2(b)) also accompany this filing as an exhibit.
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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.
New Covenant Funds | ||
By | /s/ Robert. A Nesher | |
Robert A. Nesher | ||
President & CEO |
Date: March 8, 2013
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/ Robert. A Nesher | |
Robert A. Nesher | ||
President & CEO |
Date: March 8, 2013
By | /s/ Peter A. Rodriquez | |
Peter A. Rodriguez | ||
Controller & CFO |
Date: March 8, 2013