UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORMN-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act File Number811-09025
New Covenant Funds
SEI Investments
One Freedom Valley Drive
Oaks, PA 19456
Timothy D. Barto, Esq.
SEI Investments Company
One Freedom Valley Drive
Oaks, PA 19456
Registrant’s telephone number, including area code:610-676-1000
Date of fiscal year end: June 30, 2019
Date of reporting period: December 31, 2018
Item 1. | Reports to Stockholders. |
December 31, 2018
SEMI-ANNUAL REPORT
New Covenant Funds
![]() | New Covenant Growth Fund |
![]() | New Covenant Income Fund |
![]() | New Covenant Balanced Growth Fund |
![]() | New Covenant Balanced Income Fund |
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Funds’ shareholder reports like this one will no longer be sent by mail, unless you specifically request paper copies of the reports from the Funds or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Funds electronically by contacting your financial intermediary.
You may elect to receive all future reports in paper free of charge. If you invest through a financial intermediary, you can follow the instructions included with this disclosure, if applicable, or you can contact your financial intermediary to inform it that you wish to continue receiving paper copies of your shareholder reports. If you invest directly with the Funds, you can inform the Funds that you wish to continue receiving paper copies of your shareholder reports by calling1-877-835-4531. Your election to receive reports in paper will apply to all funds held with the SEI Funds or your financial intermediary.
NewCovenantFunds.com
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Board of Trustees Considerations in Approving the Advisory andSub-Advisory Agreements | 43 |
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 FormN-Q within sixty days after the end of the period. The Trust’s FormsN-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 calling1-800-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 recent12-month period ended June 30, is available (i) without charge, upon request, by calling1-877-835-4531; and (ii) on the Commission’s website at http://www.sec.gov.
SCHEDULE OF INVESTMENTS (Unaudited)
December 31, 2018
New Covenant Growth Fund
Sector Weightings†:
†Percentages are based on total investments.
Description | Shares | Market Value ($ Thousands) | ||||||||||
COMMON STOCK — 94.8% |
| |||||||||||
Argentina — 0.3% |
| |||||||||||
MercadoLibre Inc * | 3,500 | $ | 1,025 | |||||||||
Canada — 1.0% | ||||||||||||
Canadian Natural Resources | 110,693 | 2,671 | ||||||||||
Magna International Inc | 31,633 | 1,438 | ||||||||||
4,109 | ||||||||||||
China — 0.4% | ||||||||||||
Tencent Holdings Ltd ADR | 43,204 | 1,705 | ||||||||||
Ireland — 0.9% | ||||||||||||
Accenture PLC, CIA | 11,297 | 1,593 | ||||||||||
Ingersoll-Rand PLC | 7,857 | 717 | ||||||||||
Jazz Pharmaceuticals PLC * | 1,851 | 229 | ||||||||||
Medtronic PLC | 12,549 | 1,142 | ||||||||||
3,681 | ||||||||||||
Netherlands — 0.6% | ||||||||||||
Royal Dutch Shell ADR, CI A | 43,244 | 2,520 | ||||||||||
Switzerland — 0.1% | ||||||||||||
Novartis ADR | 3,758 | 322 | ||||||||||
United Kingdom — 0.8% | ||||||||||||
Aon PLC | 2,642 | 384 | ||||||||||
BP PLC ADR | 70,765 | 2,683 | ||||||||||
3,067 | ||||||||||||
United States — 90.7% |
| |||||||||||
Communication Services — 7.3% |
| |||||||||||
Activision Blizzard Inc | 16,821 | 783 | ||||||||||
Alphabet, CI A * | 5,295 | 5,533 | ||||||||||
Alphabet Inc, CI C * | 2,147 | 2,223 | ||||||||||
AT&T Inc | 133,201 | 3,802 | ||||||||||
Charter Communications Inc, CI A * | 903 | 257 | ||||||||||
Cinemark Holdings Inc | 5,983 | 214 | ||||||||||
Comcast Corp, CI A | 54,335 | 1,850 | ||||||||||
Electronic Arts Inc * | 14,645 | 1,156 | ||||||||||
Facebook Inc, CI A * | 38,081 | 4,992 |
Description | Shares | Market Value ($ Thousands) | ||||||||||
COMMON STOCK (continued) |
| |||||||||||
Interpublic Group of Cos Inc | 8,487 | $ | 175 | |||||||||
John Wiley & Sons, CI A | 3,657 | 172 | ||||||||||
Liberty Media -Liberty Formula One, CI C * | 7,143 | 219 | ||||||||||
Omnicom Group | 32,269 | 2,363 | ||||||||||
Sprint Corp * | 31,627 | 184 | ||||||||||
T-Mobile US Inc * | 3,257 | 207 | ||||||||||
Twitter Inc * | 6,144 | 177 | ||||||||||
Verizon Communications Inc | 36,358 | 2,044 | ||||||||||
Viacom Inc, CI B | 7,351 | 189 | ||||||||||
Walt Disney | 16,123 | 1,768 | ||||||||||
Zayo Group Holdings Inc * | 6,376 | 146 | ||||||||||
Zillow Group Inc, CI C * | 5,633 | 178 | ||||||||||
28,632 | ||||||||||||
Consumer Discretionary — 11.8% |
| |||||||||||
Amazon.com Inc * | 6,645 | 9,981 | ||||||||||
Best Buy Inc | 3,307 | 175 | ||||||||||
Booking Holdings Inc * | 1,294 | 2,229 | ||||||||||
BorgWarner Inc | 4,528 | 157 | ||||||||||
Carnival Corp | 11,633 | 574 | ||||||||||
Chipotle Mexican Grill Inc, CI A * | 450 | 194 | ||||||||||
Delphi Automotive * | 3,490 | 215 | ||||||||||
Dollar General Corp | 27,284 | 2,949 | ||||||||||
Dollar Tree Inc * | 2,077 | 188 | ||||||||||
Domino’s Pizza Inc | 1,958 | 486 | ||||||||||
DR Horton Inc | 33,076 | 1,146 | ||||||||||
Dunkin’ Brands Group Inc | 4,863 | 312 | ||||||||||
eBay Inc * | 22,867 | 642 | ||||||||||
Floor & Decor Holdings Inc, CI A * | 4,282 | 111 | ||||||||||
Ford Motor Co | 17,445 | 133 | ||||||||||
Gap Inc | 8,437 | 217 | ||||||||||
Garrett Motion Inc * | 269 | 3 | ||||||||||
General Motors Co | 81,019 | 2,710 | ||||||||||
Goodyear Tire & Rubber Co | 10,034 | 205 | ||||||||||
Hanesbrands Inc | 15,992 | 200 | ||||||||||
Hasbro Inc | 2,632 | 214 | ||||||||||
Hilton Worldwide Holdings | 9,514 | 683 | ||||||||||
Home Depot Inc | 11,084 | 1,904 | ||||||||||
Hyatt Hotels Corp, CI A | 2,635 | 178 | ||||||||||
Kohl’s Corp | 3,278 | 217 | ||||||||||
L Brands Inc | 5,950 | 153 | ||||||||||
Lear Corp | 3,009 | 370 | ||||||||||
Lowe’s Inc | 36,087 | 3,333 | ||||||||||
Macy’s Inc | 6,143 | 183 | ||||||||||
Marriott International, CIA | 5,030 | 546 | ||||||||||
McDonald’s Corp | 4,567 | 811 | ||||||||||
Mohawk Industries Inc * | 8,137 | 952 | ||||||||||
Netflix Inc * | 8,949 | 2,395 | ||||||||||
Newell Brands Inc | 9,871 | 184 | ||||||||||
NIKE Inc, CI B | 20,358 | 1,509 | ||||||||||
Nordstrom Inc | 3,866 | 180 | ||||||||||
Norwegian Cruise Line Holdings * | 19,050 | 808 | ||||||||||
PulteGroup Inc | 26,308 | 684 |
Footnote New Covenant Funds / Semi-Annual Report / December 31, 2018 | 1 |
SCHEDULE OF INVESTMENTS (Unaudited)
December 31, 2018
New Covenant Growth Fund(Continued)
Description | Shares | Market Value ($ Thousands) | ||||||||||
COMMON STOCK (continued) |
| |||||||||||
PVH Corp | 1,776 | $ | 165 | |||||||||
Qurate Retail Inc * | 9,266 | 181 | ||||||||||
Ross Stores Inc | 24,883 | 2,070 | ||||||||||
Royal Caribbean Cruises Ltd | 4,804 | 470 | ||||||||||
Starbucks Corp | 18,251 | 1,175 | ||||||||||
Target Corp | 5,064 | 335 | ||||||||||
Tesla Inc * | 2,635 | 877 | ||||||||||
TJX Inc | 10,174 | 455 | ||||||||||
Tupperware Brands Corp | 24,087 | 760 | ||||||||||
Ulta Beauty Inc * | 2,470 | 605 | ||||||||||
VF Corp | 4,023 | 287 | ||||||||||
Visteon Corp * | 2,090 | 126 | ||||||||||
Wendy’s Co | 14,280 | 223 | ||||||||||
Williams-Sonoma Inc | 3,319 | 167 | ||||||||||
Wyndham Destinations Inc | 7,174 | 257 | ||||||||||
Wyndham Hotels & Resorts Inc | 3,409 | 155 | ||||||||||
| 46,439 | |||||||||||
Consumer Staples — 6.9% |
| |||||||||||
Bunge Ltd | 4,239 | 227 | ||||||||||
Campbell Soup Co | 15,327 | 506 | ||||||||||
Church & Dwight Co Inc | 3,000 | 197 | ||||||||||
Clorox Co | 6,301 | 971 | ||||||||||
Coca-Cola Co | 51,782 | 2,452 | ||||||||||
Colgate-Palmolive Co | 14,526 | 865 | ||||||||||
Conagra Brands Inc | 62,925 | 1,344 | ||||||||||
Costco Wholesale Corp | 1,787 | 364 | ||||||||||
Estee Lauder, CI A | 1,768 | 230 | ||||||||||
General Mills Inc | 15,944 | 621 | ||||||||||
Hershey Co | 2,295 | 246 | ||||||||||
Ingredion Inc | 5,421 | 495 | ||||||||||
JM Smucker Co | 27,867 | 2,605 | ||||||||||
Kellogg Co | 10,224 | 583 | ||||||||||
Keurig Dr Pepper Inc | 43,947 | 1,127 | ||||||||||
Kimberly-Clark Corp | 10,887 | 1,240 | ||||||||||
Kroger Co | 95,373 | 2,623 | ||||||||||
McCormick & Co | 6,613 | 921 | ||||||||||
Mondelez International Inc, CI A | 11,943 | 478 | ||||||||||
Monster Beverage Corp * | 20,288 | 999 | ||||||||||
PepsiCo Inc | 20,565 | 2,272 | ||||||||||
Procter & Gamble | 33,304 | 3,061 | ||||||||||
Sysco Corp | 8,925 | 559 | ||||||||||
Tyson Foods Inc, CI A | 12,758 | 681 | ||||||||||
Walgreens Boots Alliance Inc | 4,058 | 277 | ||||||||||
Walmart | 10,031 | 934 | ||||||||||
26,878 | ||||||||||||
Energy — 5.0% |
| |||||||||||
Anadarko Petroleum Corp | 6,433 | 282 | ||||||||||
Apache Corp | 4,822 | 127 | ||||||||||
Apergy Corp * | 5,586 | 151 | ||||||||||
Baker Hughes a GE Co, CI A | 7,765 | 167 | ||||||||||
Cheniere Energy Inc * | 3,759 | 223 |
Description | Shares | Market Value ($ Thousands) | ||||||||||
COMMON STOCK (continued) |
| |||||||||||
Chevron Corp | 29,529 | $ | 3,212 | |||||||||
ConocoPhillips | 29,849 | 1,861 | ||||||||||
Devon Energy Corp | 59,400 | 1,339 | ||||||||||
Diamondback Energy Inc | 1,805 | 167 | ||||||||||
EOG Resources Inc | 2,452 | 214 | ||||||||||
Equities Corp | 2,732 | 52 | ||||||||||
Equitrans Midstream Corp * | 2,185 | 44 | ||||||||||
Exxon Mobil Corp | 30,329 | 2,068 | ||||||||||
Halliburton Co | 27,115 | 721 | ||||||||||
Helmerich & Payne | 17,014 | 816 | ||||||||||
Hess Corp | 8,058 | 326 | ||||||||||
HollyFrontier Corp | 3,119 | 159 | ||||||||||
Kinder Morgan Inc | 49,863 | 767 | ||||||||||
Kosmos Energy Ltd * | 28,750 | 117 | ||||||||||
Marathon Oil Corp | 10,930 | 157 | ||||||||||
Marathon Petroleum Corp | 7,000 | 413 | ||||||||||
Newfield Exploration Co * | 12,145 | 178 | ||||||||||
Noble Energy Inc | 6,179 | 116 | ||||||||||
Occidental Petroleum Corp | 43,318 | 2,659 | ||||||||||
Oceaneering International Inc * | 30,903 | 374 | ||||||||||
ONEOK Inc | 3,505 | 189 | ||||||||||
Pioneer Natural Resources Co | 1,910 | 251 | ||||||||||
Schlumberger Ltd | 65,863 | 2,376 | ||||||||||
Weatherford International * | 53,775 | 30 | ||||||||||
19,556 | ||||||||||||
Financials — 13.1% |
| |||||||||||
Aflac Inc | 66,350 | 3,023 | ||||||||||
Allstate Corp | 3,458 | 286 | ||||||||||
American Express | 2,173 | 207 | ||||||||||
Arthur J Gallagher & Co | 4,912 | 362 | ||||||||||
AXA Equitable Holdings Inc | 28,380 | 472 | ||||||||||
Banco Santander ADR | 219,243 | 982 | ||||||||||
Bank of America Corp | 166,804 | 4,110 | ||||||||||
Bank of New York Mellon Corp | 12,656 | 596 | ||||||||||
Bank OZK | 5,311 | 121 | ||||||||||
Berkshire Hathaway Inc, CI B * | 26,205 | 5,351 | ||||||||||
Blackstone Group (A) | 57,555 | 1,716 | ||||||||||
BNP Paribas ADR | 34,487 | 777 | ||||||||||
Brighthouse Financial Inc * | 3,743 | 114 | ||||||||||
Citigroup Inc | 87,428 | 4,552 | ||||||||||
CME Group Inc, CI A | 3,954 | 744 | ||||||||||
CNA Financial Corp | 6,454 | 285 | ||||||||||
Cullen/Frost Bankers Inc | 5,588 | 491 | ||||||||||
E*TRADE Financial Corp | 12,819 | 563 | ||||||||||
First Republic Bank | 7,339 | 638 | ||||||||||
Goldman Sachs Group Inc | 6,010 | 1,004 | ||||||||||
Hartford Financial Services Group | 4,042 | 180 | ||||||||||
Invesco Ltd | 50,690 | 849 | ||||||||||
JPMorgan Chase & Co | 54,977 | 5,367 | ||||||||||
KeyCorp | 12,904 | 191 | ||||||||||
KKR & Co Inc | 122,672 | 2,408 | ||||||||||
Marsh & McLennan | 34,714 | 2,768 |
2 | Footnote New Covenant Funds / Semi-Annual Report / December 31, 2018 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) | ||||||||
MetLife Inc | 7,446 | $ | 306 | |||||
Moody’s Corp | 1,518 | 213 | ||||||
Morgan Stanley | 9,202 | 365 | ||||||
Morningstar Inc | 1,607 | 177 | ||||||
MSCI Inc, CI A | 1,897 | 280 | ||||||
Northern Trust Corp | 9,569 | 800 | ||||||
OneMain Holdings Inc, CI A * | 22,691 | 551 | ||||||
Pinnacle Financial Partners | 3,213 | 148 | ||||||
Principal Financial Group | 12,977 | 573 | ||||||
Prudential Financial Inc | 12,809 | 1,045 | ||||||
Regions Financial Corp | 21,266 | 285 | ||||||
S&P Global Inc | 11,567 | 1,966 | ||||||
Santander Consumer USA Holdings | 47,064 | 828 | ||||||
SLM Corp * | 65,264 | 542 | ||||||
State Street | 40,190 | 2,535 | ||||||
SVB Financial Group * | 836 | 159 | ||||||
Synchrony Financial | 8,168 | 192 | ||||||
T Rowe Price Group Inc | 2,711 | 250 | ||||||
US Bancorp | 4,373 | 200 | ||||||
Voya Financial Inc | 4,001 | 161 | ||||||
Wells Fargo | 30,925 | 1,425 | ||||||
Willis Towers Watson PLC | 1,386 | 210 | ||||||
51,368 | ||||||||
Health Care — 15.6% | ||||||||
Abbott Laboratories | 63,506 | 4,593 | ||||||
AbbVie Inc | 14,060 | 1,296 | ||||||
ABIOMED INC * | 481 | 156 | ||||||
Agilent Technologies Inc | 9,105 | 614 | ||||||
Align Technology Inc * | 2,118 | 444 | ||||||
Allergan PLC | 3,457 | 462 | ||||||
Alnylam Pharmaceuticals Inc * | 1,692 | 123 | ||||||
AmerisourceBergen Corp, CI A | 29,431 | 2,190 | ||||||
Amgen Inc | 23,384 | 4,552 | ||||||
Anthem Inc | 1,320 | 347 | ||||||
Baxter International Inc | 12,373 | 814 | ||||||
Becton Dickinson and Co | 10,408 | 2,345 | ||||||
Biogen Inc * | 2,651 | 798 | ||||||
BioMarin Pharmaceutical Biogen Inc * | 4,682 | 399 | ||||||
Boston Scientific Corp * | 60,424 | 2,135 | ||||||
Bristol-Myers Squibb Co | 17,401 | 905 | ||||||
Celgene Corp * | 14,406 | 923 | ||||||
Centene Corp * | 3,861 | 445 | ||||||
Cigna Corp | 3,880 | 737 | ||||||
CVS Health Corp | 72,917 | 4,778 | ||||||
DENTSPLY SIRONA Inc | 3,113 | 116 | ||||||
Edwards Lifesciences Corp * | 3,775 | 578 | ||||||
Eli Lilly & Co | 5,249 | 607 | ||||||
Exelixis Inc * | 10,371 | 204 | ||||||
Gilead Sciences Inc | 15,033 | 940 | ||||||
HCA Healthcare Inc | 3,868 | 481 | ||||||
Horizon Pharma PLC * | 32,645 | 638 | ||||||
Humana Inc | 1,424 | 408 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) | ||||||||
Illumina Inc * | 4,741 | $ | 1,422 | |||||
Intuitive Surgical Inc * | 1,001 | 479 | ||||||
IQVIA Holdings Inc * | 2,453 | 285 | ||||||
Johnson & Johnson | 39,209 | 5,060 | ||||||
McKesson Corp | 1,329 | 147 | ||||||
Merck & Co. Inc | 61,957 | 4,734 | ||||||
Mettler-Toledo International * | 562 | 318 | ||||||
Mylan * | 20,849 | 571 | ||||||
Neurocrine Biosciences Inc * | 2,042 | 146 | ||||||
Pfizer Inc | 56,844 | 2,481 | ||||||
Portola Pharmaceuticals Inc * | 16,739 | 327 | ||||||
Quest Diagnostics Inc | 1,980 | 165 | ||||||
Regeneron Pharmaceuticals * | 1,105 | 413 | ||||||
ResMed Inc | 2,930 | 334 | ||||||
Sarepta Therapeutics Inc * | 1,410 | 154 | ||||||
TESARO Inc * | 1,475 | 110 | ||||||
Thermo Fisher Scientific Inc | 2,235 | 500 | ||||||
UnitedHealth Group Inc | 32,913 | 8,199 | ||||||
Varian Medical Systems Inc * | 2,214 | 251 | ||||||
Vertex Pharmaceuticals Inc * | 4,167 | 691 | ||||||
Zimmer Biomet Holdings Inc | 4,581 | 475 | ||||||
Zoetis Inc, CI A | 7,745 | 663 | ||||||
60,953 | ||||||||
Industrials — 7.8% | ||||||||
3M | 13,677 | 2,606 | ||||||
AECOM * | 11,527 | 305 | ||||||
AerCap Holdings * | 17,598 | 697 | ||||||
American Airlines Group Inc | 50,960 | 1,636 | ||||||
Arconic Inc | 7,379 | 124 | ||||||
Arcosa Inc | 7,000 | 194 | ||||||
Clean Harbors Inc * | 3,191 | 157 | ||||||
CoStar Group Inc * | 2,186 | 737 | ||||||
CSX Corp | 4,792 | 298 | ||||||
Cummins Inc | 3,879 | 518 | ||||||
Deere & Co | 4,735 | 706 | ||||||
Delta Air Lines Inc | 35,736 | 1,783 | ||||||
Dun & Bradstreet Corp | 1,961 | 280 | ||||||
Eaton Corp PLC | 15,574 | 1,069 | ||||||
Equifax Inc | 2,994 | 279 | ||||||
FedEx Corp | 3,607 | 582 | ||||||
Fluor Corp | 4,373 | 141 | ||||||
General Electric Co | 86,732 | 657 | ||||||
HEICO Corp | 4,351 | 337 | ||||||
Hexcel Corp | 4,105 | 235 | ||||||
Honeywell International Inc | 2,692 | 356 | ||||||
Illinois Tool Works | 22,410 | 2,839 | ||||||
Johnson Controls International | 27,020 | 801 | ||||||
Landstar System Inc | 2,284 | 219 | ||||||
Macquarie Infrastructure Corp | 6,245 | 228 | ||||||
ManpowerGroup Inc | 6,267 | 406 | ||||||
Nielsen Holdings PLC | 13,602 | 317 | ||||||
Norfolk Southern Corp | 1,232 | 184 |
Footnote New Covenant Funds / Semi-Annual Report / December 31, 2018 | 3 |
SCHEDULE OF INVESTMENTS (Unaudited)
December 31, 2018
New Covenant Growth Fund(Concluded)
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
Oshkosh Corp | 2,762 | $ | 169 | |||||
Owens Corning | 4,958 | 218 | ||||||
Resideo Technologies Inc * | 448 | 9 | ||||||
Rockwell Automation Inc | 2,729 | 411 | ||||||
Roper Technologies Inc | 2,056 | 548 | ||||||
Southwest Airlines Co | 5,376 | 250 | ||||||
Spirit AeroSystems Holdings, CI A | 8,213 | 592 | ||||||
Stanley Black & Decker Inc | 1,349 | 162 | ||||||
Teledyne Technologies Inc * | 1,544 | 320 | ||||||
TransDigm Group Inc * | 1,732 | 589 | ||||||
TransUnion | 3,412 | 194 | ||||||
Trinity Industries Inc | 11,382 | 234 | ||||||
Union Pacific Corp | 14,289 | 1,975 | ||||||
United Continental Holdings * | 2,850 | 239 | ||||||
United Parcel Service, CI B | 6,206 | 605 | ||||||
United Rentals Inc * | 1,692 | 173 | ||||||
United Technologies Corp | 7,686 | 818 | ||||||
Univar Inc * | 10,632 | 189 | ||||||
Waste Management Inc | 6,467 | 576 | ||||||
WESCO International Inc * | 3,527 | 169 | ||||||
WW Grainger Inc | 9,268 | 2,617 | ||||||
Xylem Inc | 12,862 | 858 | ||||||
30,606 | ||||||||
Information Technology — 16.9% |
| |||||||
Adobe Inc * | 12,242 | 2,770 | ||||||
Advanced Micro Devices * | 9,113 | 168 | ||||||
Alliance Data Systems Corp | 986 | 148 | ||||||
Amdocs Ltd | 6,683 | 391 | ||||||
Analog Devices Inc | 7,415 | 636 | ||||||
Apple Inc | 41,271 | 6,510 | ||||||
ARRIS International PLC * | 8,086 | 247 | ||||||
ASML Holding, CI G | 8,449 | 1,315 | ||||||
Autodesk Inc * | 10,760 | 1,384 | ||||||
Automatic Data Processing | 21,843 | 2,864 | ||||||
Broadcom Inc | 3,838 | 976 | ||||||
Cisco Systems Inc | 80,256 | 3,477 | ||||||
Cognizant Technology Solutions, CI A | 8,315 | 528 | ||||||
CommScope Holding Co Inc * | 7,086 | 116 | ||||||
Dell Technologies, CI C * | 4,109 | 201 | ||||||
DXC Technology Co | 5,395 | 287 | ||||||
First Data Corp, CI A * | 68,256 | 1,154 | ||||||
IAC * | 1,818 | 333 | ||||||
Intel Corp | 39,676 | 1,862 | ||||||
International Business Machines Corp | 11,979 | 1,362 | ||||||
Intuit Inc | 8,335 | 1,641 | ||||||
IPG Photonics Corp * | 4,973 | 563 | ||||||
Keysight Technologies * | 11,496 | 714 | ||||||
Lam Research Corp | 3,010 | 410 | ||||||
Mastercard Inc, CIA | 15,578 | 2,939 | ||||||
Microchip Technology Inc | 25,098 | 1,805 | ||||||
Micron Technology Inc * | 69,896 | 2,218 | ||||||
Microsoft Corp | 109,016 | 11,073 |
Description | Shares | Market Value ($Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
National Instruments Corp | 6,033 | $ | 274 | |||||
NetApp Inc | 2,936 | 175 | ||||||
NVIDIA Corp | 10,999 | 1,468 | ||||||
NXP Semiconductors | 5,423 | 397 | ||||||
ON Semiconductor Corp * | 18,593 | 307 | ||||||
Oracle Corp | 27,586 | 1,246 | ||||||
PayPal Holdings Inc * | 18,658 | 1,569 | ||||||
QUALCOMM Inc | 11,619 | 661 | ||||||
salesforce.com * | 21,296 | 2,917 | ||||||
ServiceNow Inc * | 2,548 | 454 | ||||||
Square Inc, CI A * | 2,948 | 165 | ||||||
Symantec | 21,984 | 415 | ||||||
Teradata Corp * | 6,164 | 236 | ||||||
Texas Instruments Inc | 10,829 | 1,023 | ||||||
Visa Inc, CI A | 44,331 | 5,849 | ||||||
Western Digital Corp | 2,423 | 90 | ||||||
Workday Inc, CI A * | 3,942 | 629 | ||||||
Xerox Corp | 8,750 | 173 | ||||||
66,140 | ||||||||
Materials — 2.7% |
| |||||||
Air Products & Chemicals Inc | 4,688 | 750 | ||||||
Albemarle Corp | 1,720 | 133 | ||||||
Alcoa Corp * | 5,657 | 150 | ||||||
AptarGroup Inc | 1,944 | 183 | ||||||
Avery Dennison Corp | 2,597 | 233 | ||||||
Axalta Coating Systems Ltd * | 7,963 | 186 | ||||||
Ball Corp | 18,690 | 859 | ||||||
Cabot Corp | 5,731 | 246 | ||||||
Crown Holdings Inc * | 15,718 | 653 | ||||||
DowDuPont Inc | 25,355 | 1,356 | ||||||
Eastman Chemical Co | 11,106 | 812 | ||||||
Ecolab Inc | 3,922 | 578 | ||||||
FMC Corp | 2,400 | 178 | ||||||
Freeport-McMoRan Inc | 11,218 | 116 | ||||||
International Flavors & Fragrances | 2,307 | 310 | ||||||
Linde PLC | 8,725 | 1,361 | ||||||
Newmont Mining Corp | 9,037 | 313 | ||||||
PPG Industries Inc | 1,829 | 187 | ||||||
Sherwin-Williams | 2,680 | 1,054 | ||||||
Sonoco Products Co | 7,897 | 420 | ||||||
Vulcan Materials Co | 4,097 | 405 | ||||||
10,483 | ||||||||
Real Estate — 1.8% |
| |||||||
AvalonBay Communities Inc‡ | 3,261 | 568 | ||||||
Boston Properties Inc‡ | 1,468 | 165 | ||||||
Brandywine Realty Trust‡ | 14,492 | 187 | ||||||
CBRE Group , CI A * | 6,418 | 257 | ||||||
Corporate Office Properties Trust‡ | 30,789 | 647 | ||||||
Equinix Inc‡ | 963 | 340 | ||||||
Host Hotels & Resorts Inc‡ | 26,433 | 441 | ||||||
Iron Mountain Inc | 5,996 | 194 |
4 | Footnote New Covenant Funds / Semi-Annual Report / December 31, 2018 |
Description | Shares | Market Value ($ Thousands) | ||||||
COMMON STOCK (continued) |
| |||||||
Jones Lang LaSalle Inc | 1,910 | $ | 242 | |||||
Kilroy Realty Corp | 4,516 | 284 | ||||||
Prologis Inc‡ | 21,281 | 1,250 | ||||||
Regency Centers Corp‡ | 5,711 | 335 | ||||||
SBA Communications Corp, CI A*‡ | 4,223 | 684 | ||||||
VEREIT Inc‡ | 70,841 | 507 | ||||||
Welltower Inc‡ | 3,658 | 254 | ||||||
Weyerhaeuser Co‡ | 23,844 | 521 | ||||||
6,876 | ||||||||
Utilities — 1.8% |
| |||||||
American Electric Power | 2,418 | 181 | ||||||
American Water Works Co Inc | 10,647 | 966 | ||||||
CMS Energy Corp | 23,332 | 1,158 | ||||||
DTE Energy Co | 10,680 | 1,178 | ||||||
Eversource Energy | 13,968 | 908 | ||||||
Exelon Corp | 5,072 | 229 | ||||||
NiSource Inc | 13,892 | 352 | ||||||
PG&E Corp * | 11,593 | 275 | ||||||
Pinnacle West Capital | 2,640 | 225 | ||||||
Public Service Enterprise Group | 3,521 | 183 | ||||||
Sempra Energy | 1,630 | 176 | ||||||
Xcel Energy Inc | 22,986 | 1,133 | ||||||
6,964 | ||||||||
354,895 | ||||||||
Total Common Stock | 371,324 | |||||||
Description | Shares | Market Value ($ Thousands) | ||||||
CASH EQUIVALENT — 3.7% |
| |||||||
SEI Daily Income Trust, Government Fund, CI F | ||||||||
2.200%**† | 14,559,356 | $ | 14,559 | |||||
|
| |||||||
Total Cash Equivalent |
| 14,559 | ||||||
|
| |||||||
Total Investments in Securities — 98.5% |
| $ | 385,883 | |||||
|
|
Percentages are based on a Net Assets of $391,856 ($ Thousands).
‡ | Real Estate Investment Trust. |
* | Non-income producing security. |
** | Rate shown is the7-day effective yield as of December 31, 2018. |
† | Investment in Affiliated Security (see Note 3). |
(A) | Security is a Master Limited Partnership. At December 31, 2018, such securities amounted to $1,716 ($ Thousands), or 0.4% of the net assets of the Fund. |
ADR — American Depositary Receipt
Cl — Class
MSCI — Morgan Stanley Capital International
PLC — Public Limited Company
As of December 31, 2018, all of the Fund’s investments were considered level 1, in accordance with the authoritative guidance on fair value measurements and disclosure under U.S. GAAP.
For the period ended December 31, 2018, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended December 31, 2018, 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 Notes to Financial Statements.
The following is a summary of the transactions with affiliates for the period ended December 31, 2018 ($ Thousands):
Security Description | Value 6/30/2018 | Purchases at Cost | Proceeds from Sales | Value 12/31/2018 | Dividend Income | |||||||||||||||
SEI Daily Income Trust, Government Fund, CI F | $ | 6,521 | $ | 34,364 | $ (26,326) | $ | 14,559 | $ 122 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of the financial statements.
Footnote New Covenant Funds / Semi-Annual Report / December 31, 2018 | 5 |
SCHEDULE OF INVESTMENTS (Unaudited)
December 31, 2018
New Covenant Income Fund
Sector Weightings†:
†Percentages based on total investments.
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||||||
MORTGAGE-BACKED SECURITIES — 38.9% |
| |||||||||||
Agency Mortgage-Backed Obligations — 32.6% |
| |||||||||||
FHLMC | ||||||||||||
6.500%, 09/01/2039 | $ | 38 | $ | 43 | ||||||||
5.500%, 12/01/2036 to 12/01/2038 | 324 | 349 | ||||||||||
5.000%, 12/01/2020 to 01/01/2049 | 3,130 | 3,302 | ||||||||||
4.500%, 06/01/2038 to 04/01/2047 | 5,152 | 5,350 | ||||||||||
4.000%, 07/01/2037 to 09/01/2048 | 6,542 | 6,688 | ||||||||||
3.500%, 11/01/2042 to 03/01/2045 | 1,986 | 1,997 | ||||||||||
3.000%, 08/01/2046 to 09/01/2047 | 3,831 | 3,742 | ||||||||||
2.500%, 03/01/2033 to 04/01/2033 | 1,000 | 976 | ||||||||||
2.000%, 09/01/2023 | 560 | 558 | ||||||||||
FHLMC CMO, Ser 2011-3947, CI SG, IO | ||||||||||||
3.495%, VAR LIBOR USD 1 | 308 | 46 | ||||||||||
FHLMC CMO, Ser 2012-4057, CI UI, IO | ||||||||||||
3.000%, 05/15/2027 | 186 | 15 | ||||||||||
FHLMC CMO, Ser 2012-4085, CI IO, IO | ||||||||||||
3.000%, 06/15/2027 | 398 | 30 | ||||||||||
FHLMC CMO, Ser 2012-4099, CI ST, IO | ||||||||||||
3.545%, VAR LIBOR USD 1 | 141 | 25 | ||||||||||
FHLMC CMO, Ser 2013-4194, CI BI, IO | ||||||||||||
3.500%, 04/15/2043 | 361 | 57 | ||||||||||
FHLMC CMO, Ser 2013-4203, CI PS, IO | ||||||||||||
3.795%, VAR LIBOR USD 1 | 214 | 30 | ||||||||||
FHLMC CMO, Ser 2014-4310, CI SA, IO | ||||||||||||
3.495%, VAR LIBOR USD 1 | 58 | 9 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||
FHLMC CMO, Ser 2014-4335, CI SW, IO | ||||||||||||
3.545%, VAR LIBOR USD 1 | $ | 121 | $ | 19 | ||||||||
FHLMC CMO, Ser 2014-4415, CI IO, IO | ||||||||||||
1.653%, 04/15/2041 (A) | 69 | 3 | ||||||||||
FHLMC Multifamily Structured Pass Through Certificates, Ser K712, CI X1, IO | ||||||||||||
1.329%, 11/25/2019 (A) | 1,188 | 9 | ||||||||||
FHLMC Multifamily Structured Pass Through Certificates, Ser 0005, CI A2 | ||||||||||||
3.352%, 10/25/2033 | 80 | 79 | ||||||||||
FHLMC Structured Agency Credit Risk Debt Notes, | ||||||||||||
5.006%, VAR ICE LIBOR USD 1 | 7 | 7 | ||||||||||
FHLMC Structured Agency Credit Risk Debt Notes, | ||||||||||||
3.706%, VAR ICE LIBOR USD 1 | 283 | 284 | ||||||||||
FHLMC TBA | ||||||||||||
5.000%, 01/01/2038 | 100 | 105 | ||||||||||
4.000%, 01/15/2041 | 1,400 | 1,427 | ||||||||||
3.000%, 01/15/2043 | 200 | 195 | ||||||||||
FHLMC, Ser2016-353, CI S1, IO | ||||||||||||
3.545%, VAR LIBOR USD 1 Month+6.000%, 12/15/2046 | 166 | 29 | ||||||||||
FNMA | ||||||||||||
7.000%, 11/01/2037 to 11/01/2038 | 32 | 36 | ||||||||||
6.500%, 01/01/2038 to 05/01/2040 | 246 | 280 | ||||||||||
6.000%, 07/01/2037 to 11/01/2038 | 170 | 184 | ||||||||||
5.500%, 02/01/2035 | 147 | 159 | ||||||||||
5.000%, 01/01/2021 to 11/01/2048 | 5,357 | 5,661 | ||||||||||
4.500%, 02/01/2035 to 04/01/2056 | 2,327 | 2,429 | ||||||||||
4.000%, 06/01/2025 to 08/01/2047 | 12,044 | 12,346 | ||||||||||
3.830%, 01/01/2029 | 490 | 504 | ||||||||||
3.694%, 11/25/2017 | 80 | 12 | ||||||||||
3.689%, VAR ICE LIBOR USD 12 | 28 | 29 | ||||||||||
3.643%, VAR US Treas Yield Curve Rate T Note Const Mat 1 Yr+2.268%, 01/01/2036 | 46 | 48 | ||||||||||
3.603%, VAR ICE LIBOR USD 12 | 392 | 402 | ||||||||||
3.500%, 12/01/2032 to 03/01/2057 | 8,711 | 8,765 | ||||||||||
3.000%, 08/01/2046 to 01/01/2048 | 1,059 | 1,033 | ||||||||||
2.500%, 10/01/2042 | 602 | 571 | ||||||||||
2.240%, 09/01/2026 | 144 | 136 | ||||||||||
FNMA CMO, Ser2003-W2, CI 2A9 | ||||||||||||
5.900%, 07/25/2042 | 530 | 579 | ||||||||||
FNMA CMO, Ser2012-93, CI UI, IO | ||||||||||||
3.000%, 09/25/2027 | 524 | 43 | ||||||||||
FNMA CMO, Ser2014-47, CI AI, IO | ||||||||||||
1.692%, 08/25/2044 (A) | 173 | 9 |
6 | New Covenant Funds / Semi-Annual Report / December 31, 2018 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||
FNMA CMO, Ser2015-55, CI I0, I0 | ||||||||||||
1.342%, 08/25/2055 (A) | $ | 41 | $ | 2 | ||||||||
FNMA CMO, Ser2015-56, CI AS, IO | ||||||||||||
3.644%, VAR LIBOR USD 1 | 70 | 14 | ||||||||||
FNMA CMO, Ser M3, CI X2, IO | ||||||||||||
0.364%, 10/25/2024 (A) | 4,411 | 78 | ||||||||||
FNMA Connecticut Avenue Securities, Ser2014-C04, CI 1M2 | ||||||||||||
7.406%, VAR ICE LIBOR USD 1 | 306 | 341 | ||||||||||
FNMA Connecticut Avenue Securities, Ser2017-C01, CI 1M1 | ||||||||||||
3.806%, VAR ICE LIBOR USD 1 | 252 | 253 | ||||||||||
FNMA TBA | ||||||||||||
5.000%, 01/01/2038 | 800 | 838 | ||||||||||
4.500%, 01/01/2038 | 5,700 | 5,902 | ||||||||||
4.000%, 01/15/2045 | 3,100 | 3,160 | ||||||||||
3.500%, 01/15/2030 to 01/01/2041 | 3,800 | 3,839 | ||||||||||
3.000%, 01/15/2043 | 700 | 682 | ||||||||||
FNMA, Ser2005-29, CI ZA | ||||||||||||
5.500%, 04/25/2035 | 149 | 165 | ||||||||||
FNMA, Ser2012-101, CI Bl, IO | ||||||||||||
4.000%, 09/25/2027 | 20 | 2 | ||||||||||
FNMA, Ser2013-54, CI BS, IO | ||||||||||||
3.644%, VAR LIBOR USD 1 | 57 | 10 | ||||||||||
FNMA, Ser2017-76, CI SB, IO | ||||||||||||
3.594%, VAR LIBOR USD 1 Month+6.100%, 10/25/2057 | 325 | 56 | ||||||||||
FRESB Mortgage Trust, Ser SB48, CI A10F | ||||||||||||
3.370%, 02/25/2028 (A) | 762 | 758 | ||||||||||
GNMA | ||||||||||||
5.500%, 02/20/2037 to 01/15/2039 | 153 | 163 | ||||||||||
5.000%, 12/20/2038 to 11/20/2048 | 2,106 | 2,215 | ||||||||||
4.600%, 09/15/2034 | 2,371 | 2,471 | ||||||||||
4.500%, 07/20/2038 to 09/20/2048 | 2,358 | 2,455 | ||||||||||
4.000%, 01/15/2041 to 08/20/2047 | 1,220 | 1,254 | ||||||||||
3.500%, 06/20/2044 to 06/15/2048 | 1,358 | 1,370 | ||||||||||
3.000%, 09/20/2047 to 02/20/2048 | 3,035 | 2,990 | ||||||||||
2.500%, 02/20/2027 | 817 | 806 | ||||||||||
GNMA CMO, Ser 186,CI IO, IO | ||||||||||||
0.757%, 08/16/2054 (A) | 1,611 | 72 | ||||||||||
GNMA CMO, Ser2012-34, CI SA, IO | ||||||||||||
3.580%, VAR LIBOR USD 1 | 41 | 6 | ||||||||||
GNMA CMO, Ser2012-66, CI CI, IO | ||||||||||||
3.500%, 02/20/2038 | 87 | 6 | ||||||||||
GNMA CMO, Ser2012-H18, CI NA | ||||||||||||
2.834%, VAR ICE LIBOR USD 1 | 214 | 215 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||
GNMA CMO, Ser2012-H30, CI GA |
| |||||||||||
2.664%, VAR ICE LIBOR USD 1 Month+0.350%, 12/20/2062 | $ | 934 | $ | 933 | ||||||||
GNMA CMO, Ser2013-H01, CI TA | ||||||||||||
2.814%, VAR ICE LIBOR USD 1 Month+0.500%, 01/20/2063 | 25 | 25 | ||||||||||
GNMA CMO,Ser2013-H08, CI BF | ||||||||||||
2.714%, VAR ICE LIBOR USD 1 Month+0.400%, 03/20/2063 | 909 | 907 | ||||||||||
GNMA CMO, Ser2014-105,IO | ||||||||||||
1.100%, 06/16/2054 | 1,255 | 63 | ||||||||||
GNMA CMO, Ser2015-167, CI OI, IO | ||||||||||||
4.000%, 04/16/2045 | 125 | 24 | ||||||||||
GNMA CMO, Ser2015-H20, CI FA | ||||||||||||
2.784%, VAR ICE LIBOR USD 1 | 283 | 284 | ||||||||||
GNMA CMO, Ser 85, CI IA, IO | ||||||||||||
0.710%, 03/16/2047 (A) | 3,129 | 115 | ||||||||||
GNMA CMO, Ser 95, CI I0, lO | ||||||||||||
0.611%, 04/16/2047 (A) | 1,659 | 66 | ||||||||||
GNMA TBA | ||||||||||||
5.000%, 01/01/2040 to 02/01/2040 | 2,800 | 2,914 | ||||||||||
4.500%, 01/15/2040 | 3,760 | 3,891 | ||||||||||
4.000%, 01/01/2040 | 1,000 | 1,024 | ||||||||||
3.500%, 01/15/2041 | 200 | 201 | ||||||||||
GNMA, Ser2013-H21, CI FB | ||||||||||||
3.014%, VAR ICE LIBOR USD 1 | 540 | 544 | ||||||||||
99,714 | ||||||||||||
Non-Agency Mortgage-Backed Obligations — 6.3% |
| |||||||||||
280 Park Avenue Mortgage Trust, Ser 280P, CI A | ||||||||||||
3.335%, VAR LIBOR USD 1 | 130 | 129 | ||||||||||
Bear Stearns Trust, Ser2004-6, CI 1A | ||||||||||||
3.146%, VAR ICE LIBOR USD 1 | 112 | 110 | ||||||||||
BX Trust, Ser APPL, CI A | ||||||||||||
3.335%, VAR LIBOR USD 1 | 134 | 133 | ||||||||||
BX Trust, Ser IMC, CI A | ||||||||||||
3.505%, VAR LIBOR USD 1 | 670 | 663 | ||||||||||
Citigroup Commercial Mortgage Trust, | ||||||||||||
Ser 2014-GC25, CI AS | 100 | 102 | ||||||||||
Citigroup Commercial Mortgage Trust, | ||||||||||||
Ser2016-P6, CI AAB | 810 | 820 |
New Covenant Funds / Semi-Annual Report / December 31, 2018 | 7 |
SCHEDULE OF INVESTMENTS (Unaudited)
December 31, 2018
New Covenant Income Fund(Continued)
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||
COMM Mortgage Trust, Ser2014-PAT, CI A |
| |||||||||||
3.187%, VAR LIBOR USD 1 Month+0.800%, 08/13/2027 (B) | $ | 116 | $ | 116 | ||||||||
COMM Mortgage Trust, Ser CR5, CI AM | ||||||||||||
3.223%, 12/10/2045 (B) | 590 | 589 | ||||||||||
COMM Mortgage Trust, Ser CR5, CI A4 | ||||||||||||
2.771%, 12/10/2045 | 700 | 688 | ||||||||||
COMM Mortgage Trust, Ser CR8, CI A4 | ||||||||||||
3.334%, 06/10/2046 | 695 | 696 | ||||||||||
Commercial Mortgage Trust, Ser 2013-CR12, CI C | ||||||||||||
5.085%, 10/10/2046 (A) | 10 | 10 | ||||||||||
Commercial Mortgage Trust, Ser 2013-CR12, CI AM | ||||||||||||
4.300%, 10/10/2046 | 20 | 21 | ||||||||||
Commercial Mortgage Trust, Ser 2013-CR12, CI B | ||||||||||||
4.762%, 10/10/2046 (A) | 20 | 21 | ||||||||||
Commercial Mortgage Trust, Ser2014-TWC, CI A | ||||||||||||
3.237%, VAR LIBOR USD 1 Month+0.850%, 02/13/2032 (B) | 200 | 199 | ||||||||||
CSMC Trust, Ser2018-J1, CI A2 | ||||||||||||
3.500%, 02/25/2048 (A)(B) | 1,434 | 1,384 | ||||||||||
DBUBS Mortgage Trust, Ser LC2A, CI A4 | ||||||||||||
4.537%, 07/10/2044 (B) | 1,010 | 1,038 | ||||||||||
GS Mortgage Securities Trust, Ser 2013-GC16, CI B | ||||||||||||
5.161%, 11/10/2046 (A) | 80 | 85 | ||||||||||
Homestar Mortgage Acceptance, Ser 2004-6, CI M2 | ||||||||||||
3.176%, VAR ICE LIBOR USD 1 Month+0.670%, 01/25/2035 | 130 | 130 | ||||||||||
JPMBB Commercial Mortgage Securities Trust, Ser2013-C15, CI B | ||||||||||||
4.927%, 11/15/2045 (A) | 210 | 217 | ||||||||||
JPMBB Commercial Mortgage Securities Trust, Ser2013-C17, CI B | ||||||||||||
4.891%, 01/15/2047 (A) | 30 | 31 | ||||||||||
JPMBB Commercial Mortgage SecuritiesTrust, Ser2014-C22, CI C | ||||||||||||
4.558%, 09/15/2047 (A) | 80 | 78 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser C6, CI A3 | ||||||||||||
3.507%, 05/15/2045 | 1,318 | 1,324 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser FL7, CI D | ||||||||||||
6.205%, VAR LIBOR USD 1 Month+3.750%, 05/15/2028 (B) | 200 | 197 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Ser LC9, CI AS | ||||||||||||
3.353%, 12/15/2047 (B) | 380 | 376 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||
JPMorgan Mortgage Trust, Ser2015-5, CI A9 | ||||||||||||
3.161%, 05/25/2045 (A)(B) | $ | 145 | $ | 144 | ||||||||
JPMorgan Mortgage Trust, Ser2016-1, CI A5 | ||||||||||||
3.500%, 05/25/2046 (A)(B) | 528 | 523 | ||||||||||
JPMorgan Mortgage Trust, Ser2018-3, CI A1 | ||||||||||||
3.500%, 09/25/2048 (A)(B) | 756 | 744 | ||||||||||
JPMorgan Mortgage Trust, Ser2018-4, CI A1 | ||||||||||||
3.500%, 10/25/2048 (A)(B) | 293 | 287 | ||||||||||
JPMorgan Mortgage Trust, Ser2018-5, CI A1 | ||||||||||||
3.500%, 10/25/2048 (A)(B) | 994 | 975 | ||||||||||
JPMorgan Mortgage Trust, Ser2018-6, CI 1A4 | ||||||||||||
3.500%, 12/25/2048 (A)(B) | 927 | 919 | ||||||||||
MASTR Alternative Loans Trust, Ser2004-2,CI 4A1 | ||||||||||||
5.000%, 02/25/2019 | 3 | 3 | ||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Ser2013-C10, CI A4 | ||||||||||||
4.082%, 07/15/2046 (A) | 120 | 124 | ||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Ser C34, CI ASB | ||||||||||||
3.354%, 11/15/2052 | 615 | 617 | ||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Ser C5, CI A4 | ||||||||||||
3.176%, 08/15/2045 | 1,475 | 1,469 | ||||||||||
Morgan Stanley Capital I Trust, Ser2012-C4, CI A4 | ||||||||||||
3.244%, 03/15/2045 | 220 | 219 | ||||||||||
Morgan StanleyRe-Remic Trust, Ser2012-10, CI AXA | ||||||||||||
1.000%, 03/27/2051 (B) | 1 | 1 | ||||||||||
MSCG Trust, Ser2016-SNR, CI C | ||||||||||||
5.205%, 11/15/2034 (B) | 128 | 126 | ||||||||||
MSCG Trust, Ser ALDR, CI A2 | ||||||||||||
3.462%, 06/07/2035 (A)(B) | 410 | 397 | ||||||||||
Nomura Asset Acceptance Alternative LoanTrust, Ser2007-1, CI 1A3 | ||||||||||||
5.957%, 03/25/2047 | 81 | 82 | ||||||||||
Sequoia Mortgage Trust, Ser2017-1, CI A4 | ||||||||||||
3.500%, 02/25/2047 (A)(B) | 809 | 798 | ||||||||||
Towd Point Mortgage Trust, Ser2015-5, CI A1B | ||||||||||||
2.750%, 05/25/2055 (A)(B) | 291 | 287 | ||||||||||
UBS-BAMLL Trust, Ser2012-WRM, CI A | ||||||||||||
3.663%, 06/10/2030 (B) | 116 | 117 | ||||||||||
UBS-Barclays Commercial Mortgage Trust, Ser2012-C2, CI A4 | ||||||||||||
3.525%, 05/10/2063 | 73 | 74 | ||||||||||
UBS-Barclays Commercial Mortgage Trust, Ser2012-CN, CI XA, IO | ||||||||||||
1.327%, 05/10/2063 (A)(B) | 342 | 13 | ||||||||||
Wells Fargo Commercial Mortgage Trust, | ||||||||||||
3.371%, 09/15/2057 | 160 | 161 |
8 | New Covenant Funds / Semi-Annual Report / December 31, 2018 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||||||
WFRBS Commercial Mortgage Trust, Ser2012-C7, CI XA, IO | ||||||||||||
1.405%, 06/15/2045 (A)(B) | $ | 1,138 | $ | 41 | ||||||||
WFRBS Commercial Mortgage Trust, | ||||||||||||
1.202%, 05/15/2045 (A)(B) | 1,144 | 49 | ||||||||||
WFRBS Commercial Mortgage Trust, | ||||||||||||
0.623%, 10/15/2057 (A) | 1,172 | 31 | ||||||||||
WFRBS Commercial Mortgage Trust, | ||||||||||||
4.375%, 10/15/2057 (A) | 270 | 277 | ||||||||||
WFRBS Commercial Mortgage Trust, | ||||||||||||
3.311%, 03/15/2045 | 160 | 160 | ||||||||||
WFRBS Commercial Mortgage Trust, | ||||||||||||
4.902%, 06/15/2044 (A)(B) | 1,354 | 1,404 | ||||||||||
19,199 | ||||||||||||
Total Mortgage-Backed Securities | 118,913 | |||||||||||
CORPORATE OBLIGATIONS — 33.1% |
| |||||||||||
Communication Services — 3.1% |
| |||||||||||
21st Century Fox America | ||||||||||||
6.900%, 03/01/2019 | 900 | 905 | ||||||||||
3.000%, 09/15/2022 | 30 | 30 | ||||||||||
AT&T | ||||||||||||
4.250%, 03/01/2027 | 150 | 147 | ||||||||||
4.125%, 02/17/2026 | 408 | 399 | ||||||||||
3.875%, 08/15/2021 | 10 | 10 | ||||||||||
3.412%, 11/27/2022 (B)(C) | 2,000 | 1,733 | ||||||||||
3.400%, 05/15/2025 | 460 | 433 | ||||||||||
3.000%, 06/30/2022 | 10 | 10 | ||||||||||
Bharti Airtel | ||||||||||||
4.375%, 06/10/2025 (B) | 200 | 182 | ||||||||||
Charter Communications Operating | ||||||||||||
4.908%, 07/23/2025 | 40 | 40 | ||||||||||
3.750%, 02/15/2028 | 20 | 18 | ||||||||||
3.579%, 07/23/2020 | 30 | 30 | ||||||||||
Comcast | ||||||||||||
4.150%, 10/15/2028 | 180 | 183 | ||||||||||
3.950%, 10/15/2025 | 150 | 151 | ||||||||||
Comcast Cable Communications Holdings | ||||||||||||
9.455%, 11/15/2022 | 1,116 | 1,356 | ||||||||||
Cox Communications | ||||||||||||
3.250%, 12/15/2022 (B) | 859 | 839 | ||||||||||
NBCUniversal Media | ||||||||||||
4.375%, 04/01/2021 | 10 | 10 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||||||
Sprint Spectrum | ||||||||||||
3.360%, 09/20/2021 (B) | $ | 529 | $ | 523 | ||||||||
TCI Communications | ||||||||||||
7.875%, 02/15/2026 | 240 | 292 | ||||||||||
Telefonica Emisiones SAU | ||||||||||||
4.895%, 03/06/2048 | 340 | 300 | ||||||||||
Tencent Holdings MTN | ||||||||||||
3.595%, 01/19/2028 (B) | 250 | 235 | ||||||||||
Verizon Communications | ||||||||||||
4.329%, 09/21/2028 | 102 | 102 | ||||||||||
3.376%, 02/15/2025 | 532 | 516 | ||||||||||
2.625%, 08/15/2026 | 712 | 646 | ||||||||||
Viacom | ||||||||||||
3.875%, 04/01/2024 | 20 | 20 | ||||||||||
Vodafone Group PLC | ||||||||||||
3.750%, 01/16/2024 | 410 | 404 | ||||||||||
9,514 | ||||||||||||
Consumer Discretionary — 2.9% | ||||||||||||
Amazon.com | ||||||||||||
3.150%, 08/22/2027 | 470 | 454 | ||||||||||
2.400%, 02/22/2023 | 1,000 | 968 | ||||||||||
BMW US Capital | ||||||||||||
2.150%, 04/06/2020 (B) | 950 | 939 | ||||||||||
1.850%, 09/15/2021 (B) | 20 | 19 | ||||||||||
Danone | ||||||||||||
2.077%, 11/02/2021 (B) | 500 | 483 | ||||||||||
Ford Motor Credit | ||||||||||||
8.125%, 01/15/2020 | 340 | 353 | ||||||||||
2.597%, 11/04/2019 | 800 | 791 | ||||||||||
2.262%, 03/28/2019 | 759 | 757 | ||||||||||
General Motors Financial | ||||||||||||
4.150%, 06/19/2023 | 600 | 584 | ||||||||||
3.700%, 11/24/2020 | 80 | 80 | ||||||||||
3.700%, 05/09/2023 | 190 | 181 | ||||||||||
3.150%, 01/15/2020 | 330 | 328 | ||||||||||
2.450%, 11/06/2020 | 30 | 29 | ||||||||||
KazMunayGas National JSC | ||||||||||||
5.375%, 04/24/2030 (B) | 400 | 393 | ||||||||||
McDonald’s MTN | ||||||||||||
3.350%, 04/01/2023 | 280 | 278 | ||||||||||
Newell Brands | ||||||||||||
3.850%, 04/01/2023 | 80 | 79 | ||||||||||
Time Warner Cable | ||||||||||||
5.000%, 02/01/2020 | 990 | 1,004 | ||||||||||
Yale University MTN | ||||||||||||
2.086%, 04/15/2019 | 1,019 | 1,018 | ||||||||||
8,738 | ||||||||||||
Consumer Staples — 0.5% |
| |||||||||||
Kraft Heinz Foods | ||||||||||||
5.375%, 02/10/2020 | 86 | 88 |
New Covenant Funds / Semi-Annual Report / December 31, 2018 | 9 |
SCHEDULE OF INVESTMENTS (Unaudited)
December 31, 2018
New Covenant Income Fund(Continued)
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||||||
4.875%, 02/15/2025 (B) | $ | 80 | $ | 80 | ||||||||
3.950%, 07/15/2025 | 30 | 29 | ||||||||||
3.000%, 06/01/2026 | 10 | 9 | ||||||||||
Kroger | ||||||||||||
4.000%, 02/01/2024 | 140 | 141 | ||||||||||
PepsiCo | ||||||||||||
3.000%, 08/25/2021 | 290 | 291 | ||||||||||
2.750%, 03/05/2022 | 80 | 79 | ||||||||||
Smithfield Foods | ||||||||||||
2.700%, 01/31/2020 (B) | 330 | 326 | ||||||||||
Walgreens Boots Alliance | ||||||||||||
3.450%, 06/01/2026 | 150 | 141 | ||||||||||
WM Wrigley Jr | ||||||||||||
2.900%, 10/21/2019 (B) | 360 | 359 | ||||||||||
1,543 | ||||||||||||
Energy — 3.1% | ||||||||||||
Anadarko Petroleum | ||||||||||||
8.700%, 03/15/2019 | 590 | 596 | ||||||||||
5.550%, 03/15/2026 | 170 | 178 | ||||||||||
5.051%, 10/10/2036 (C) | 3,000 | 1,251 | ||||||||||
Apache | ||||||||||||
3.250%, 04/15/2022 | 616 | 603 | ||||||||||
Baker Hughes a GE | ||||||||||||
3.200%, 08/15/2021 | 26 | 26 | ||||||||||
BP Capital Markets America | ||||||||||||
3.790%, 02/06/2024 | 80 | 81 | ||||||||||
3.216%, 11/28/2023 | 140 | 138 | ||||||||||
3.119%, 05/04/2026 | 170 | 160 | ||||||||||
BP Capital Markets PLC | ||||||||||||
3.535%, 11/04/2024 | 20 | 20 | ||||||||||
Chevron | ||||||||||||
2.100%, 05/16/2021 | 130 | 127 | ||||||||||
1.991%, 03/03/2020 | 1,150 | 1,140 | ||||||||||
Cimarex Energy | ||||||||||||
4.375%, 06/01/2024 | 50 | 50 | ||||||||||
3.900%, 05/15/2027 | 40 | 37 | ||||||||||
Concho Resources | ||||||||||||
3.750%, 10/01/2027 | 20 | 19 | ||||||||||
Continental Resources | ||||||||||||
4.375%, 01/15/2028 | 20 | 19 | ||||||||||
3.800%, 06/01/2024 | 160 | 151 | ||||||||||
Devon Energy | ||||||||||||
5.850%, 12/15/2025 | 120 | 127 | ||||||||||
3.250%, 05/15/2022 | 630 | 614 | ||||||||||
Enterprise Products Operating | ||||||||||||
4.150%, 10/16/2028 | 50 | 50 | ||||||||||
3.900%, 02/15/2024 | 457 | 461 | ||||||||||
EOG Resources | ||||||||||||
4.150%, 01/15/2026 | 60 | 61 | ||||||||||
ExxonMobil | ||||||||||||
3.043%, 03/01/2026 | 150 | 146 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||||||
Halliburton | ||||||||||||
3.800%, 11/15/2025 | $ | 10 | $ | 9 | ||||||||
3.250%, 11/15/2021 | 180 | 180 | ||||||||||
Kinder Morgan Energy Partners | ||||||||||||
4.150%, 02/01/2024 | 770 | 763 | ||||||||||
3.500%, 03/01/2021 | 30 | 30 | ||||||||||
MPLX | ||||||||||||
4.800%, 02/15/2029 | 50 | 50 | ||||||||||
4.125%, 03/01/2027 | 110 | 105 | ||||||||||
4.000%, 03/15/2028 | 140 | 131 | ||||||||||
Noble Energy | ||||||||||||
4.150%, 12/15/2021 | 290 | 291 | ||||||||||
3.850%, 01/15/2028 | 140 | 127 | ||||||||||
Occidental Petroleum | ||||||||||||
4.100%, 02/01/2021 | 50 | 51 | ||||||||||
3.400%, 04/15/2026 | 80 | 78 | ||||||||||
3.125%, 02/15/2022 | 100 | 100 | ||||||||||
3.000%, 02/15/2027 | 130 | 123 | ||||||||||
Schlumberger Holdings | ||||||||||||
3.000%, 12/21/2020 (B) | 970 | 962 | ||||||||||
Sinopec Group Overseas Development | ||||||||||||
4.375%, 04/10/2024 (B) | 290 | 296 | ||||||||||
Williams | ||||||||||||
5.250%, 03/15/2020 | 40 | 41 | ||||||||||
9,392 | ||||||||||||
Financials — 13.2% | ||||||||||||
American Express | ||||||||||||
3.400%, 02/27/2023 | 972 | 963 | ||||||||||
2.650%, 12/02/2022 | 264 | 255 | ||||||||||
American Express Credit MTN | ||||||||||||
2.375%, 05/26/2020 | 80 | 79 | ||||||||||
2.200%, 03/03/2020 | 710 | 702 | ||||||||||
American International Group | ||||||||||||
4.875%, 06/01/2022 | 415 | 431 | ||||||||||
Anglo American Capital | ||||||||||||
3.625%, 09/11/2024 (B) | 200 | 189 | ||||||||||
Banco Santander | ||||||||||||
4.379%, 04/12/2028 | 200 | 187 | ||||||||||
3.545%, VAR ICE LIBOR USD 3 Month+1.120%, 04/12/2023 | 200 | 196 | ||||||||||
Bank of America | ||||||||||||
3.419%, VAR ICE LIBOR USD 3 Month+1.040%, 12/20/2028 | 234 | 218 | ||||||||||
3.004%, VAR ICE LIBOR USD 3 Month+0.790%, 12/20/2023 | 258 | 251 | ||||||||||
Bank of America MTN | ||||||||||||
4.450%, 03/03/2026 | 678 | 670 | ||||||||||
4.200%, 08/26/2024 | 210 | 208 | ||||||||||
4.125%, 01/22/2024 | 370 | 375 | ||||||||||
4.100%, 07/24/2023 | 280 | 284 | ||||||||||
4.000%, 04/01/2024 | 440 | 443 |
10 | New Covenant Funds / Semi-Annual Report / December 31, 2018 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||||||
4.000%, 01/22/2025 | $ | 80 | $ | 78 | ||||||||
3.593%, VAR ICE LIBOR USD 3 Month+1.370%, 07/21/2028 | 210 | 199 | ||||||||||
3.550%, VAR ICE LIBOR USD 3 Month+0.780%, 03/05/2024 | 80 | 79 | ||||||||||
3.500%, 04/19/2026 | 130 | 125 | ||||||||||
3.300%, 01/11/2023 | 60 | 59 | ||||||||||
2.600%, 01/15/2019 | 25 | 25 | ||||||||||
Bank of New York Mellon MTN | ||||||||||||
4.600%, 01/15/2020 | 836 | 850 | ||||||||||
3.300%, 08/23/2029 | 790 | 739 | ||||||||||
Barclays Bank PLC | ||||||||||||
2.650%, 01/11/2021 | 1,199 | 1,174 | ||||||||||
BB&T MTN | ||||||||||||
6.850%, 04/30/2019 | 240 | 243 | ||||||||||
BNP Paribas | ||||||||||||
4.400%, 08/14/2028 (B) | 200 | 195 | ||||||||||
BPCE MTN | ||||||||||||
3.000%, 05/22/2022 (B) | 640 | 618 | ||||||||||
Capital One | ||||||||||||
2.650%, 08/08/2022 | 830 | 797 | ||||||||||
Charles Schwab | ||||||||||||
3.850%, 05/21/2025 | 110 | 112 | ||||||||||
Chubb INA Holdings | ||||||||||||
2.300%, 11/03/2020 | 60 | 59 | ||||||||||
Citibank | ||||||||||||
2.000%, 03/20/2019 | 470 | 469 | ||||||||||
Citigroup | ||||||||||||
8.125%, 07/15/2039 | 12 | 17 | ||||||||||
5.500%, 09/13/2025 | 150 | 157 | ||||||||||
5.300%, 05/06/2044 | 31 | 31 | ||||||||||
4.650%, 07/30/2045 | 28 | 27 | ||||||||||
4.450%, 09/29/2027 | 150 | 145 | ||||||||||
4.400%, 06/10/2025 | 160 | 157 | ||||||||||
4.300%, 11/20/2026 | 40 | 38 | ||||||||||
4.125%, 07/25/2028 | 40 | 38 | ||||||||||
4.075%, VAR ICE LIBOR USD 3 Month+1.192%, 04/23/2029 | 240 | 234 | ||||||||||
4.050%, 07/30/2022 | 40 | 40 | ||||||||||
3.668%, VAR ICE LIBOR USD 3 Month+1.390%, 07/24/2028 | 340 | 321 | ||||||||||
3.500%, 05/15/2023 | 100 | 98 | ||||||||||
3.400%, 05/01/2026 | 673 | 633 | ||||||||||
2.700%, 03/30/2021 | 455 | 448 | ||||||||||
Cooperatieve Rabobank UA | ||||||||||||
3.950%, 11/09/2022 | 670 | 668 | ||||||||||
3.875%, 09/26/2023 (B) | 595 | 597 | ||||||||||
Credit Suisse Group | ||||||||||||
4.282%, 01/09/2028 (B) | 280 | 270 | ||||||||||
Daiwa Securities Group | ||||||||||||
3.129%, 04/19/2022 (B) | 50 | 49 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||||||
Ferguson Finance PLC | ||||||||||||
4.500%, 10/24/2028 (B) | $ | 780 | $ | 779 | ||||||||
General Electric Capital MTN | ||||||||||||
6.000%, 08/07/2019 | 414 | 418 | ||||||||||
4.650%, 10/17/2021 | 180 | 181 | ||||||||||
4.375%, 09/16/2020 | 10 | 10 | ||||||||||
Glencore Funding | ||||||||||||
2.875%, 04/16/2020 (B) | 20 | 20 | ||||||||||
Goldman Sachs Group | ||||||||||||
5.750%, 01/24/2022 | 662 | 693 | ||||||||||
5.150%, 05/22/2045 | 20 | 19 | ||||||||||
4.750%, 10/21/2045 | 40 | 38 | ||||||||||
4.250%, 10/21/2025 | 90 | 86 | ||||||||||
4.223%, VAR ICE LIBOR USD 3 Month+1.301%, 05/01/2029 | 550 | 529 | ||||||||||
3.691%, VAR ICE LIBOR USD 3 Month+1.510%, 06/05/2028 | 300 | 279 | ||||||||||
3.500%, 11/16/2026 | 90 | 83 | ||||||||||
2.300%, 12/13/2019 | 460 | 456 | ||||||||||
Goldman Sachs Group MTN | ||||||||||||
6.000%, 06/15/2020 | 480 | 497 | ||||||||||
5.375%, 03/15/2020 | 640 | 654 | ||||||||||
4.000%, 03/03/2024 | 420 | 415 | ||||||||||
HSBC Holdings PLC | ||||||||||||
4.583%, VAR ICE LIBOR USD 3 Month+1.535%, 06/19/2029 | 400 | 397 | ||||||||||
3.400%, 03/08/2021 | 360 | 359 | ||||||||||
2.950%, 05/25/2021 | 380 | 375 | ||||||||||
Intesa Sanpaolo | ||||||||||||
3.375%, 01/12/2023 (B) | 200 | 185 | ||||||||||
John Deere Capital | ||||||||||||
1.700%, 01/15/2020 | 40 | 39 | ||||||||||
John Deere Capital MTN | ||||||||||||
2.250%, 04/17/2019 | 60 | 60 | ||||||||||
JPMorgan Chase | ||||||||||||
4.500%, 01/24/2022 | 786 | 810 | ||||||||||
4.452%, VAR ICE LIBOR USD 3 Month+1.330%, 12/05/2029 | 200 | 203 | ||||||||||
4.203%, VAR ICE LIBOR USD 3 Month+1.260%, 07/23/2029 | 773 | 771 | ||||||||||
4.023%, VAR ICE LIBOR USD 3 Month+1.000%, 12/05/2024 | 230 | 232 | ||||||||||
4.005%, VAR ICE LIBOR USD 3 Month+1.120%, 04/23/2029 | 100 | 98 | ||||||||||
3.875%, 09/10/2024 | 290 | 285 | ||||||||||
2.550%, 03/01/2021 | 30 | 30 | ||||||||||
KKR Group Finance | ||||||||||||
6.375%, 09/29/2020 (B) | 915 | 957 | ||||||||||
Liberty Mutual Group | ||||||||||||
4.250%, 06/15/2023 (B) | 412 | 415 | ||||||||||
Lincoln National | ||||||||||||
6.250%, 02/15/2020 | 570 | 588 |
New Covenant Funds / Semi-Annual Report / December 31, 2018 | 11 |
SCHEDULE OF INVESTMENTS (Unaudited)
December 31, 2018
New Covenant Income Fund(Continued)
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||||||
Manufacturers & Traders Trust | ||||||||||||
2.625%, 01/25/2021 | $ | 1,163 | $ | 1,147 | ||||||||
Metropolitan Life Global Funding I | ||||||||||||
3.000%, 01/10/2023 (B) | 507 | 499 | ||||||||||
Morgan Stanley MTN | ||||||||||||
3.772%, VAR ICE LIBOR USD 3 Month+1.140%, 01/24/2029 | 320 | 306 | ||||||||||
3.750%, 02/25/2023 | 1,810 | 1,807 | ||||||||||
Peachtree Corners Funding Trust | ||||||||||||
3.976%, 02/15/2025 (B) | 779 | 756 | ||||||||||
Penske Truck Leasing Lp | ||||||||||||
3.900%, 02/01/2024 (B) | 965 | 958 | ||||||||||
Principal Life Global Funding II | ||||||||||||
2.625%, 11/19/2020 (B) | 570 | 564 | ||||||||||
Reliance Standard Life Global Funding II MTN | ||||||||||||
2.500%, 01/15/2020 (B) | 30 | 30 | ||||||||||
Royal Bank of Canada MTN | ||||||||||||
2.150%, 10/26/2020 | 70 | 69 | ||||||||||
2.125%, 03/02/2020 | 900 | 891 | ||||||||||
Royal Bank of Scotland Group PLC | ||||||||||||
4.519%, VAR ICE LIBOR USD 3 Month+1.550%, 06/25/2024 | 290 | 284 | ||||||||||
Santander UK Group Holdings PLC | ||||||||||||
3.571%, 01/10/2023 | 200 | 191 | ||||||||||
Santander UK PLC | ||||||||||||
2.375%, 03/16/2020 | 40 | 40 | ||||||||||
SMBC Aviation Capital Finance DAC | ||||||||||||
4.125%, 07/15/2023 (B) | 200 | 201 | ||||||||||
Sumitomo Mitsui Trust Bank | ||||||||||||
2.810%, 03/25/2019 | 1,240 | 1,240 | ||||||||||
2.050%, 03/06/2019 (B) | 599 | 598 | ||||||||||
Svenska Handelsbanken MTN | ||||||||||||
3.350%, 05/24/2021 | 250 | 250 | ||||||||||
Synchrony Financial | ||||||||||||
3.000%, 08/15/2019 | 120 | 119 | ||||||||||
Toronto-Dominion Bank MTN | ||||||||||||
1.950%, 01/22/2019 | 740 | 739 | ||||||||||
UBS Group Funding Jersey | ||||||||||||
4.125%, 04/15/2026 (B) | 634 | 630 | ||||||||||
UBS Group Funding Switzerland | ||||||||||||
4.253%, 03/23/2028 (B) | 250 | 247 | ||||||||||
3.491%, 05/23/2023 (B) | 390 | 380 | ||||||||||
WEA Finance | ||||||||||||
2.700%, 09/17/2019 (B) | 310 | 309 | ||||||||||
Wells Fargo | ||||||||||||
3.069%, 01/24/2023 | 808 | 787 | ||||||||||
3.000%, 10/23/2026 | 190 | 176 | ||||||||||
Wells Fargo MTN | ||||||||||||
4.900%, 11/17/2045 | 30 | 29 | ||||||||||
4.600%, 04/01/2021 | 480 | 492 | ||||||||||
4.300%, 07/22/2027 | 260 | 256 | ||||||||||
3.450%, 02/13/2023 | 120 | 117 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||||||
Westpac Banking | ||||||||||||
2.600%, 11/23/2020 | $ | 80 | $ | 79 | ||||||||
2.300%, 05/26/2020 | 10 | 10 | ||||||||||
40,402 | ||||||||||||
Health Care — 2.9% | ||||||||||||
Abbott Laboratories | ||||||||||||
3.400%, 11/30/2023 | 175 | 175 | ||||||||||
AbbVie | ||||||||||||
3.600%, 05/14/2025 | 10 | 10 | ||||||||||
2.500%, 05/14/2020 | 700 | 693 | ||||||||||
Aetna | ||||||||||||
2.800%, 06/15/2023 | 20 | 19 | ||||||||||
Amgen | ||||||||||||
2.125%, 05/01/2020 | 20 | 20 | ||||||||||
Anthem | ||||||||||||
3.125%, 05/15/2022 | 340 | 335 | ||||||||||
Baylor Scott & White Holdings | ||||||||||||
1.947%, 11/15/2021 | 1,226 | 1,180 | ||||||||||
Becton Dickinson | ||||||||||||
4.685%, 12/15/2044 | 50 | 47 | ||||||||||
3.734%, 12/15/2024 | 24 | 23 | ||||||||||
3.363%, 06/06/2024 | 210 | 202 | ||||||||||
Cardinal Health | ||||||||||||
2.616%, 06/15/2022 | 100 | 96 | ||||||||||
Celgene | ||||||||||||
3.875%, 08/15/2025 | 130 | 125 | ||||||||||
3.550%, 08/15/2022 | 60 | 59 | ||||||||||
2.250%, 08/15/2021 | 70 | 68 | ||||||||||
Cigna | ||||||||||||
4.375%, 10/15/2028 (B) | 120 | 121 | ||||||||||
4.125%, 11/15/2025 (B) | 50 | 50 | ||||||||||
3.750%, 07/15/2023 (B) | 170 | 169 | ||||||||||
3.400%, 09/17/2021 (B) | 60 | 60 | ||||||||||
CVS Health | ||||||||||||
4.300%, 03/25/2028 | 80 | 78 | ||||||||||
4.125%, 05/15/2021 | 300 | 303 | ||||||||||
3.875%, 07/20/2025 | 95 | 93 | ||||||||||
3.350%, 03/09/2021 | 60 | 60 | ||||||||||
2.800%, 07/20/2020 | 190 | 188 | ||||||||||
CVS Pass-Through Trust | ||||||||||||
7.507%, 01/10/2032 (B) | 1,232 | 1,424 | ||||||||||
Eli Lilly | ||||||||||||
2.350%, 05/15/2022 | 170 | 167 | ||||||||||
Gilead Sciences | ||||||||||||
2.550%, 09/01/2020 | 20 | 20 | ||||||||||
2.500%, 09/01/2023 | 50 | 48 | ||||||||||
2.050%, 04/01/2019 | 290 | 289 | ||||||||||
1.850%, 09/20/2019 | 130 | 129 | ||||||||||
Humana | ||||||||||||
3.150%, 12/01/2022 | 240 | 235 | ||||||||||
2.900%, 12/15/2022 | 290 | 282 |
12 | New Covenant Funds / Semi-Annual Report / December 31, 2018 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||||||
Medtronic | ||||||||||||
3.125%, 03/15/2022 | $ | 190 | $ | 189 | ||||||||
Medtronic Global Holdings SCA | ||||||||||||
1.700%, 03/28/2019 | 930 | 928 | ||||||||||
Merck | ||||||||||||
2.750%, 02/10/2025 | 20 | 19 | ||||||||||
SSM Health Care | ||||||||||||
3.688%, 06/01/2023 | 644 | 650 | ||||||||||
Teva Pharmaceutical Finance BV | ||||||||||||
2.950%, 12/18/2022 | 30 | 27 | ||||||||||
UnitedHealth Group | ||||||||||||
2.875%, 12/15/2021 | 50 | 50 | ||||||||||
2.700%, 07/15/2020 | 70 | 70 | ||||||||||
1.625%, 03/15/2019 | 200 | 199 | ||||||||||
|
| |||||||||||
8,900 | ||||||||||||
|
| |||||||||||
Industrials — 2.6% | ||||||||||||
AerCap Ireland Capital DAC | ||||||||||||
4.625%, 10/30/2020 | 730 | 735 | ||||||||||
4.500%, 05/15/2021 | 310 | 311 | ||||||||||
American Airlines, Ser2016-3, CI A | ||||||||||||
3.250%, 10/15/2028 | 1,149 | 1,094 | ||||||||||
American Airlines Pass-Through Trust, |
| |||||||||||
4.950%, 01/15/2023 | 383 | 389 | ||||||||||
Aviation Capital Group | ||||||||||||
6.750%, 04/06/2021 (B) | 80 | 85 | ||||||||||
4.125%, 08/01/2025 (B) | 160 | 155 | ||||||||||
Burlington Northern and Santa Fe Railway |
| |||||||||||
5.140%, 01/15/2021 | 161 | 161 | ||||||||||
Burlington Northern Santa Fe | ||||||||||||
4.550%, 09/01/2044 | 10 | 11 | ||||||||||
Cintas No. 2 | ||||||||||||
3.700%, 04/01/2027 | 120 | 117 | ||||||||||
2.900%, 04/01/2022 | 120 | 118 | ||||||||||
Continental Airlines Pass-Through Trust, |
| |||||||||||
6.545%, 02/02/2019 | 10 | 10 | ||||||||||
Continental Airlines Pass-Through Trust, |
| |||||||||||
4.000%, 10/29/2024 | 680 | 671 | ||||||||||
Delta Air Lines Pass-Through Trust, |
| |||||||||||
4.950%, 05/23/2019 | 88 | 88 | ||||||||||
Delta Air Lines Pass-Through Trust, |
| |||||||||||
3.625%, 07/30/2027 | 573 | 579 | ||||||||||
Eaton | ||||||||||||
2.750%, 11/02/2022 | 450 | 438 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||||||
GE Capital International Funding Unlimited Co |
| |||||||||||
2.342%, 11/15/2020 | $ | 1,205 | $ | 1,163 | ||||||||
General Electric | ||||||||||||
4.500%, 03/11/2044 | 90 | 73 | ||||||||||
General Electric MTN | ||||||||||||
6.875%, 01/10/2039 | 30 | 32 | ||||||||||
5.500%, 01/08/2020 | 10 | 10 | ||||||||||
General Electric Capital MTN | ||||||||||||
5.300%, 02/11/2021 | 160 | 160 | ||||||||||
International Lease Finance | ||||||||||||
5.875%, 08/15/2022 | 400 | 419 | ||||||||||
Republic Services | ||||||||||||
3.200%, 03/15/2025 | 180 | 175 | ||||||||||
Union Pacific | ||||||||||||
3.950%, 09/10/2028 | 20 | 20 | ||||||||||
3.750%, 07/15/2025 | 20 | 20 | ||||||||||
United Airlines Pass-Through Trust, |
| |||||||||||
4.000%, 04/11/2026 | 759 | 756 | ||||||||||
United Parcel Service | ||||||||||||
2.500%, 04/01/2023 | 60 | 58 | ||||||||||
United Technologies | ||||||||||||
4.125%, 11/16/2028 | 20 | 20 | ||||||||||
3.950%, 08/16/2025 | 40 | 40 | ||||||||||
Waste Management | ||||||||||||
3.500%, 05/15/2024 | 120 | 120 | ||||||||||
|
| |||||||||||
8,028 | ||||||||||||
|
| |||||||||||
Information Technology — 1.2% | ||||||||||||
Apple | ||||||||||||
3.350%, 02/09/2027 | 210 | 205 | ||||||||||
2.900%, 09/12/2027 | 110 | 103 | ||||||||||
2.450%, 08/04/2026 | 70 | 65 | ||||||||||
2.000%, 11/13/2020 | 80 | 79 | ||||||||||
1.550%, 08/04/2021 | 60 | 58 | ||||||||||
Broadcom | ||||||||||||
3.125%, 01/15/2025 | 80 | 72 | ||||||||||
Diamond 1 Finance | ||||||||||||
4.420%, 06/15/2021 (B) | 430 | 429 | ||||||||||
3.480%, 06/01/2019 (B) | 90 | 90 | ||||||||||
Intel | ||||||||||||
3.700%, 07/29/2025 | 30 | 30 | ||||||||||
Juniper Networks | ||||||||||||
4.600%, 03/15/2021 | 452 | 462 | ||||||||||
Mastercard | ||||||||||||
3.375%, 04/01/2024 | 190 | 191 | ||||||||||
Microsoft | ||||||||||||
3.300%, 02/06/2027 | 140 | 139 | ||||||||||
2.400%, 02/06/2022 | 150 | 148 | ||||||||||
2.400%, 08/08/2026 | 210 | 196 | ||||||||||
1.850% , 07/06/7070 | 360 | 357 |
New Covenant Funds / Semi-Annual Report / December 31, 2018 | 13 |
SCHEDULE OF INVESTMENTS (Unaudited)
December 31, 2018
New Covenant Income Fund(Continued)
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||||||
1.550%, 08/08/2021 | $ | 110 | $ | 107 | ||||||||
Oracle | ||||||||||||
2.500%, 10/15/2022 | 130 | 127 | ||||||||||
salesforce.com | ||||||||||||
3.700%, 04/11/2028 | 150 | 151 | ||||||||||
3.250%, 04/11/2023 | 70 | 70 | ||||||||||
Visa | ||||||||||||
4.300%, 12/14/2045 | 10 | 10 | ||||||||||
3.150%, 12/14/2025 | 110 | 108 | ||||||||||
2.200%, 12/14/2020 | 300 | 297 | ||||||||||
3,494 | ||||||||||||
Materials — 0.6% |
| |||||||||||
Equate Petrochemical BV MTN | ||||||||||||
4.250%, 11/03/2026 (B) | 200 | 194 | ||||||||||
Freeport-McMoRan | ||||||||||||
4.000%, 11/14/2021 | 170 | 165 | ||||||||||
Glencore Funding | ||||||||||||
4.125%, 05/30/2023 (B) | 900 | 884 | ||||||||||
4.000%, 03/27/2027 (B) | 190 | 173 | ||||||||||
Southern Copper | ||||||||||||
3.500%, 11/08/2022 | 130 | 127 | ||||||||||
Vale Overseas | ||||||||||||
6.250%, 08/10/2026 | 140 | 151 | ||||||||||
1,694 | ||||||||||||
Real Estate — 1.1% |
| |||||||||||
American Tower Trust, Ser2013-13, CI 2A | ||||||||||||
3.070%, 03/15/2048 (B) | 700 | 689 | ||||||||||
Simon Property Group | ||||||||||||
4.375%, 03/01/2021 | 430 | 439 | ||||||||||
2.350%, 01/30/2022 | 413 | 401 | ||||||||||
Ventas Realty | ||||||||||||
4.125%, 01/15/2026 | 566 | 562 | ||||||||||
3.500%, 02/01/2025 | 488 | 467 | ||||||||||
Welltower | ||||||||||||
4.500%, 01/15/2024 | 902 | 925 | ||||||||||
3,483 | ||||||||||||
Utilities — 1.9% |
| |||||||||||
Commonwealth Edison | ||||||||||||
3.700%, 08/15/2028 | 1,118 | 1,121 | ||||||||||
Dominion Energy | ||||||||||||
2.579%, 07/01/2020 | 260 | 256 | ||||||||||
Duke Energy | ||||||||||||
3.750%, 04/15/2024 | 900 | 901 | ||||||||||
3.550%, 09/15/2021 | 170 | 171 | ||||||||||
2.400%, 08/15/2022 | 150 | 144 | ||||||||||
FirstEnergy | ||||||||||||
4.250%, 03/15/2023 | 380 | 386 | ||||||||||
2.850%, 07/15/2022 | 330 | 322 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||||||
Northern States Power | ||||||||||||
7.125%, 07/01/2025 | $ | 1,190 | $ | 1,427 | ||||||||
Perusahaan Listrik Negara MTN | ||||||||||||
5.450%, 05/21/2028 (B) | 370 | 374 | ||||||||||
Sempra Energy | ||||||||||||
2.400%, 03/15/2020 | 840 | 828 | ||||||||||
5,930 | ||||||||||||
Total Corporate Obligations | 101,118 | |||||||||||
ASSET-BACKED SECURITIES — 10.8% |
| |||||||||||
Automotive — 2.6% |
| |||||||||||
Avis Budget Rental Car Funding AESOP, | ||||||||||||
2.970%, 03/20/2024 (B) | 310 | 304 | ||||||||||
Ford Credit Floorplan Master Owner Trust, | ||||||||||||
1.760%, 02/15/2021 | 2,800 | 2,795 | ||||||||||
Hertz Vehicle Financing II, Ser2018-1A, CI A | ||||||||||||
3.290%, 02/25/2024 (B) | 350 | 347 | ||||||||||
Honda Auto Receivables Owner Trust, | ||||||||||||
1.380%, 04/18/2022 | 1,307 | 1,299 | ||||||||||
Hyundai Auto Lease Securitization Trust, | ||||||||||||
1.880%, 08/17/2020 (B) | 1,572 | 1,568 | ||||||||||
NextGear Floorplan Master Owner Trust, | ||||||||||||
2.740%, 04/15/2021 (B) | 1,557 | 1,555 | ||||||||||
7,868 | ||||||||||||
Consumer Discretionary — 0.2% |
| |||||||||||
DB Master Finance, Ser2017-1A, CI A2I | ||||||||||||
3.629%, 11/20/2047 (B) | 534 | 515 | ||||||||||
Financials — 0.1% |
| |||||||||||
Citigroup Mortgage Loan Trust, Ser 2007-WFH3, CI A3 | ||||||||||||
2.756%, VAR ICE LIBOR USD 1 Month+0.250%, 06/25/2037 | 367 | 365 | ||||||||||
Home — 0.7% |
| |||||||||||
Ameriquest Mortgage Securities, Ser 2003-9, CI AV1 | ||||||||||||
3.266%, VAR ICE LIBOR USD 1 Month+0.760%, 09/25/2033 | 82 | 81 |
14 | New Covenant Funds / Semi-Annual Report / December 31, 2018 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||
Argent Securities, Ser2004-W5, CI AV2 | ||||||||||||
3.546%, VAR ICE LIBOR USD 1 Month+1.040%, 04/25/2034 | $ | 321 | $ | 321 | ||||||||
Citifinancial Mortgage Securities, Ser 2004-1, CI AF4 | ||||||||||||
5.070%, 04/25/2034 | 246 | 250 | ||||||||||
GS Mortgage-Backed Securities Trust, Ser 2018-RPL1, CIA1A | ||||||||||||
3.750%,10/25/2057 (B) | 396 | 397 | ||||||||||
Lake Country Mortgage Loan Trust, | ||||||||||||
4.506%, VAR ICE LIBOR USD 1 Month+2.000%, 07/25/2034 (B) | 390 | 398 | ||||||||||
Master Asset-Backed Securities Trust, Ser2007-NCW, CI A1 | ||||||||||||
2.806%, VAR ICE LIBOR USD 1 Month+0.300%, 05/25/2037 (B) | 248 | 231 | ||||||||||
New Century Home Equity Loan Trust, Ser2003-A, CI A | ||||||||||||
3.035%, VAR ICE LIBOR USD 1 Month+0.720%, 10/25/2033 (B) | 95 | 92 | ||||||||||
Store Master FundingI-VII, Ser2018-1A, CI A1 | ||||||||||||
3.960%, 10/20/2048 (B) | 365 | 372 | ||||||||||
2,142 | ||||||||||||
Industrials — 0.5% |
| |||||||||||
Ally Master Owner Trust, Ser2018-2, CI A | ||||||||||||
3.290%, 05/15/2023 | 1,572 | 1,581 | ||||||||||
Information Technology — 0.3% |
| |||||||||||
COMM Mortgage Trust, Ser C0R3, CI A3 | ||||||||||||
4.228%, 05/10/2051 | 710 | 732 | ||||||||||
Other Asset-Backed Securities — 6.4% |
| |||||||||||
Citigroup Commercial Mortgage Trust, | ||||||||||||
3.251%, 05/10/2035 (B) | 400 | 399 | ||||||||||
Countrywide Asset-Backed Certificates, | ||||||||||||
3.756%, VAR ICE LIBOR USD 1 Month+1.250%, 10/25/2047 | 173 | 174 | ||||||||||
Countrywide Home Equity Loan Trust, | ||||||||||||
2.595%, VAR ICE LIBOR USD 1 Month+0.140%, 07/15/2036 | 393 | 370 | ||||||||||
Domino’s Pizza Master Issuer, Ser2017-1A, CIA2I | ||||||||||||
3.740%, VAR ICE LIBOR USD 3 Month+1.250%, 07/25/2047 (B) | 702 | 701 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||
DRB Prime Student Loan Trust, Ser2015-B, CIA1 | ||||||||||||
4.406%, VAR ICE LIBOR USD 1 Month+1.900%, 10/27/2031 (B) | $ | 187 | $ | 190 | ||||||||
Flagstar Mortgage Trust, Ser2018-2, CI A4 | ||||||||||||
3.500%, 04/25/2048 (A)(B) | 590 | 578 | ||||||||||
GM Mortgage Securities Trust, Ser 2018-SRP5, CI B | ||||||||||||
4.481%, 06/09/2021 | 430 | 430 | ||||||||||
GS Mortgage Securities Trust, Ser 2018-SRP5, CI A | ||||||||||||
3.281%, 06/09/2021 | 620 | 621 | ||||||||||
Invitation Homes Trust, Ser 2018-SFR1, CI A |
| |||||||||||
3.155%, VAR LIBOR USD 1 Month+0.700%, 03/17/2037 (B) | 1,485 | 1,454 | ||||||||||
Lanark Master Issuer, Ser2018-1A, CI 1A | ||||||||||||
3.097%, VAR ICE LIBOR USD 3 Month+0.420%, 12/22/2069 (B) | 787 | 785 | ||||||||||
MAD Mortgage Trust, Ser 330M, CI A | ||||||||||||
3.188%, 08/15/2034 (A)(B) | 220 | 217 | ||||||||||
MMAF Equipment Finance, Ser2018-A, CI A3 | ||||||||||||
3.200%, 09/12/2022 (B) | 1,255 | 1,261 | ||||||||||
Morgan Stanley ABS Capital I Trust, | ||||||||||||
3.376%, VAR ICE LIBOR USD 1 Month+0.870%, 11/25/2034 | 514 | 510 | ||||||||||
Prosper Marketplace Issuance Trust, Ser2017-3A, CI A | ||||||||||||
2.360%, 11/15/2023 (B) | 93 | 93 | ||||||||||
Sequoia Mortgage Trust, Ser2017-5, CI A4 | ||||||||||||
3.500%, 08/25/2047(A)(B) | 898 | 887 | ||||||||||
Sequoia Mortgage Trust, Ser2017-6, CI A4 | ||||||||||||
3.500%, 09/25/2047 (A)(B) | 465 | 461 | ||||||||||
Shops at Crystals Trust, Ser CSTL, CI A | ||||||||||||
3.126%, 07/05/2036 (B) | 100 | 96 | ||||||||||
SLC Student Loan Trust, Ser2010-1, CI A | ||||||||||||
3.552%, VAR ICE LIBOR USD 3 Month+0.875%, 11/25/2042 | 338 | 341 | ||||||||||
SLM Private Credit Student Loan Trust, | ||||||||||||
3.078%, VAR ICE LIBOR USD 3 Month+0.290%, 06/15/2039 | 348 | 337 | ||||||||||
SLM Student Loan Trust, Ser2002-A, CI A2 | ||||||||||||
3.338%, VAR ICE LIBOR USD 3 Month+0.550%, 12/16/2030 | 245 | 245 | ||||||||||
SLM Student Loan Trust, Ser2003-7A, CI A5A | ||||||||||||
3.988%, VAR ICE LIBOR USD 3 Month+1.200%, 12/15/2033 (B) | 158 | 158 | ||||||||||
Small Business Administration, Ser 2015-20C, CI1 | ||||||||||||
2.720%, 03/01/2035 | 1,048 | 1,021 |
New Covenant Funds / Semi-Annual Report / December 31, 2018 | 15 |
SCHEDULE OF INVESTMENTS (Unaudited)
December 31, 2018
New Covenant Income Fund(Continued)
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||
United States Small Business Administration, Ser2010-20H, CI 1 | ||||||||
3.520%, 08/01/2030 | $ | 367 | $ | 377 | ||||
United States Small Business Administration, Ser2011-20B, CI 1 | ||||||||
4.220%, 02/01/2031 | 380 | 401 | ||||||
United States Small Business Administration, Ser2011-20J, CI 1 | ||||||||
2.760%, 10/01/2031 | 210 | 211 | ||||||
United States Small Business Administration, Ser2013-20K, CI 1 | ||||||||
3.380%, 11/01/2033 | 910 | 929 | ||||||
United States Small Business Administration, Ser2014-20F, CI 1 | ||||||||
2.990%, 06/01/2034 | 980 | 973 | ||||||
United States Small Business Administration, Ser2015-20E, CI 1 | ||||||||
2.770%, 05/01/2035 | 566 | 552 | ||||||
United States Small Business Administration, Ser2015-20K, CI 1 | ||||||||
2.700%, 11/01/2035 | 585 | 568 | ||||||
United States Small Business Administration, Ser2017-20J, CI 1 | ||||||||
2.850%,10/01/2037 | 746 | 730 | ||||||
United States Small Business Administration, Ser2018-20E, CI 1 | ||||||||
3.500%, 05/01/2038 | 1,377 | 1,398 | ||||||
United States Small Business Administration, Ser2018-20J, CI 1 | ||||||||
3.770%, 10/01/2038 | 670 | 687 | ||||||
Verizon Owner Trust, Ser2018-A, CI A1A | ||||||||
3.230%, 04/20/2023 | 1,465 | 1,474 | ||||||
19,629 | ||||||||
Total Asset-Backed Securities | 32,832 | |||||||
U.S. TREASURY OBLIGATIONS — 10.5% |
| |||||||
U.S. Treasury Bills | ||||||||
2.194%, 02/21/2019 (C) | 880 | 877 | ||||||
U.S. Treasury Bonds | ||||||||
4.500%, 02/15/2036 | 2,526 | 3,113 | ||||||
3.750%, 11/15/2043 | 250 | 282 | ||||||
3.375%, 11/15/2048 | 570 | 610 | ||||||
3.125%, 05/15/2048 | 40 | 41 | ||||||
3.000%, 05/15/2045 | 1,260 | 1,258 | ||||||
3.000%, 05/15/2047 | 120 | 119 | ||||||
3.000%, 02/15/2048 | 150 | 149 | ||||||
3.000%, 08/15/2048 | 1,580 | 1,573 | ||||||
2.875%, 08/15/2045 | 200 | 195 | ||||||
U.S. Treasury Inflation-Protected Securities | ||||||||
2.375%, 01/15/2025 | 174 | 189 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
U.S. TREASURY OBLIGATIONS (continued) |
| |||||||
1.375%, 02/15/2044 | $ | 174 | $ | 179 | ||||
0.750%, 02/15/2042 | 459 | 416 | ||||||
0.625%, 04/15/2023 | 1,904 | 1,872 | ||||||
0.375%, 07/15/2023 | 163 | 160 | ||||||
U.S. Treasury Notes | ||||||||
3.125%, 11/15/2028 | 20 | 21 | ||||||
3.000%, 10/31/2025 | 630 | 646 | ||||||
2.875%, 09/30/2023 | 4,149 | 4,216 | ||||||
2.750%, 09/30/2020 | 300 | 301 | ||||||
2.750%, 05/31/2023 | 4,304 | 4,351 | ||||||
2.750%, 02/15/2028 | 4 | 4 | ||||||
2.375%, 01/31/2023 | 1,573 | 1,566 | ||||||
2.250%, 02/15/2027 | 5,750 | 5,583 | ||||||
2.250%, 11/15/2027 | 3,794 | 3,665 | ||||||
2.000%, 02/15/2025 | 680 | 658 | ||||||
Total U.S. Treasury Obligations | 32,044 | |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 4.6% |
| |||||||
FHLB DN | ||||||||
2.266%, 01/08/2015 (C) | 1,160 | 1,159 | ||||||
FHLMC | ||||||||
6.500%, 12/01/2035 | 892 | 974 | ||||||
6.000%, 03/01/2035 | 1,309 | 1,444 | ||||||
5.000%, 10/01/2048 | 98 | 103 | ||||||
4.000%, 04/01/2048 | 95 | 97 | ||||||
4.000%, 05/01/2048 | 769 | 785 | ||||||
3.500%, 09/01/2048 | 692 | 692 | ||||||
3.500%, 10/01/2048 | 989 | 988 | ||||||
3.000%, 02/01/2038 | 95 | 93 | ||||||
3.000%, 04/01/2038 | 95 | 93 | ||||||
3.000%, 11/01/2043 | 727 | 713 | ||||||
2.375%, 01/13/2022 | 1,090 | 1,086 | ||||||
1.250%, 10/02/2019 | 70 | 69 | ||||||
FHLMC,Ser 2018-4813,CI CJ | ||||||||
3.000%, 08/15/2048 | 385 | 375 | ||||||
FNMA | ||||||||
4.500%, 09/01/2057 | 280 | 291 | ||||||
4.000%, 02/01/2056 | 80 | 82 | ||||||
4.000%, 06/01/2057 | 89 | 91 | ||||||
3.500%, 10/01/2047 | 1,389 | 1,389 | ||||||
3.000%, 12/01/2037 | 93 | 92 | ||||||
3.000%, 03/01/2046 | 1,403 | 1,378 | ||||||
3.000%, 05/01/2046 | 89 | 87 | ||||||
2.474%, 10/09/2019 (C) | 1,190 | 1,165 |
16 | New Covenant Funds / Semi-Annual Report / December 31, 2018 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
| |||||||
Tennessee Valley Authority | ||||||||
3.875%, 02/15/2021 | $ | 790 | $ | 811 | ||||
Total U.S. Government Agency Obligations | 14,057 | |||||||
SOVEREIGN DEBT — 2.8% |
| |||||||
Abu Dhabi Government International Bond | ||||||||
2.500%, 10/11/2022 (B) | 490 | 475 | ||||||
Colombia Government International Bond | ||||||||
5.625%, 02/26/2044 | 280 | 289 | ||||||
Indonesia Government International Bond MTN | ||||||||
5.125%, 01/15/2045 (B) | 200 | 197 | ||||||
3.850%, 07/18/2027 (B) | 200 | 190 | ||||||
3.750%, 04/25/2022 | 370 | 366 | ||||||
Kuwait International Government Bond | ||||||||
3.500%, 03/20/2027 (B) | 210 | 209 | ||||||
Mexico Government International Bond | ||||||||
4.000%, 10/02/2023 | 610 | 607 | ||||||
3.600%, 01/30/2025 | 380 | 362 | ||||||
Panama Government International Bond | ||||||||
6.700%, 01/26/2036 | 190 | 232 | ||||||
Peruvian Government International Bond | ||||||||
6.550%, 03/14/2037 | 540 | 682 | ||||||
Poland Government International Bond | ||||||||
5.125%, 04/21/2021 | 440 | 459 | ||||||
4.000%, 01/22/2024 | 450 | 460 | ||||||
Province of Ontario Canada | ||||||||
4.400%, 04/14/2020 | 840 | 858 | ||||||
Province of Quebec Canada | ||||||||
2.625%, 02/13/2023 | 500 | 496 | ||||||
Province of Quebec Canada, Ser A MTN | ||||||||
6.350%, 01/30/2026 | 1,010 | 1,196 | ||||||
Qatar Government International Bond | ||||||||
3.250%, 06/02/2026 | 370 | 357 | ||||||
Russian Foreign Bond | ||||||||
7.500%, 03/31/2030 | 185 | 202 | ||||||
Russian Foreign Bond - Eurobond | ||||||||
5.875%, 09/16/2043 | 400 | 421 | ||||||
5.625%, 04/04/2042 | 400 | 409 | ||||||
Total Sovereign Debt | 8,467 | |||||||
FOREIGN BONDS — 2.7% |
| |||||||
Allergan Funding SCS | ||||||||
3.800%, 03/15/2025 | 100 | 98 | ||||||
3.450%, 03/15/2022 | 120 | 118 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
FOREIGN BONDS (continued) |
| |||||||
Banco Santander | ||||||||
3.125%, 02/23/2023 | $ | 200 | $ | 189 | ||||
2.500%, 12/15/2020 (B) | 240 | 234 | ||||||
Barclays Bank | ||||||||
10.179%, 06/12/2021 (B) | 370 | 416 | ||||||
BHP Billiton Finance USA | ||||||||
2.875%, 02/24/2022 | 10 | 10 | ||||||
BP Capital Markets America | ||||||||
3.561%, 11/01/2021 | 230 | 232 | ||||||
British Telecommunications | ||||||||
2.350%, 02/14/2019 | 270 | 270 | ||||||
CNOOC Finance | ||||||||
3.500%, 05/05/2025 | 330 | 320 | ||||||
Commonwealth Bank of Australia | ||||||||
2.200%, 11/09/2020 (B) | 420 | 411 | ||||||
Cooperatieve Rabobank UA | ||||||||
4.375%, 08/04/2025 | 500 | 491 | ||||||
Credit Suisse NY MTN | ||||||||
2.300%, 05/28/2019 | 310 | 309 | ||||||
Ecopetrol | ||||||||
5.375%, 06/26/2026 | 140 | 141 | ||||||
HSBC Holdings PLC | ||||||||
4.250%, 08/18/2025 | 230 | 223 | ||||||
Intesa Sanpaolo | ||||||||
5.017%, 06/26/2024 (B) | 200 | 181 | ||||||
3.125%, 07/14/2022 (B) | 200 | 185 | ||||||
Landwirtschaftliche Rentenbank | ||||||||
1.375%, 10/23/2019 | 110 | 109 | ||||||
OCP | ||||||||
4.500%, 10/22/2025 (B) | 400 | 383 | ||||||
Petrobras Global Finance BV | ||||||||
6.850%, 06/05/2115 | 150 | 134 | ||||||
Petroleos del Peru | ||||||||
4.750%, 06/19/2032 (B) | 400 | 384 | ||||||
Petroleos Mexicanos | ||||||||
4.875%, 01/18/2024 | 190 | 177 | ||||||
Shell International Finance | ||||||||
4.375%, 03/25/2020 | 130 | 132 | ||||||
Shell International Finance BV | ||||||||
3.250%, 05/11/2025 | 150 | 148 | ||||||
2.875%, 05/10/2026 | 40 | 38 | ||||||
2.250%, 11/10/2020 | 360 | 356 | ||||||
1.750%, 09/12/2021 | 1,592 | 1,538 | ||||||
Telefonica Emisiones SAU | ||||||||
5.134%, 04/27/2020 | 80 | 82 | ||||||
Teva Pharmaceutical Finance Netherlands III BV | ||||||||
2.200%, 07/21/2021 | 1,056 | 971 | ||||||
Vale Overseas | ||||||||
6.875%, 11/21/2036 | 48 | 55 |
New Covenant Funds / Semi-Annual Report / December 31, 2018 | 17 |
SCHEDULE OF INVESTMENTS (Unaudited)
December 31, 2018
New Covenant Income Fund(Continued)
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||||||
FOREIGN BONDS (continued) |
| |||||||||||
4.375%, 01/11/2022 | $ | 8 | $ | 8 | ||||||||
|
| |||||||||||
Total Foreign Bonds | 8,343 | |||||||||||
|
| |||||||||||
COMMERCIAL PAPER — 2.5% |
| |||||||||||
Banco Santander | ||||||||||||
2.385%, 02/10/2019 (C) | 1,650 | 1,646 | ||||||||||
BPCE | ||||||||||||
2.820%, 03/07/2019 (B)(C) | 1,060 | 1,055 | ||||||||||
JP Morgan Securities | ||||||||||||
2.519%, 02/01/2019 (C) | 1,300 | 1,297 | ||||||||||
Mizuho Bank NY | ||||||||||||
2.503%, 01/29/2019 (B)(C) | 1,680 | 1,677 | ||||||||||
Sumitomo Mitsui Trust Bank | ||||||||||||
2.518%, 01/30/2019 (B)(C) | 1,910 | 1,906 | ||||||||||
|
| |||||||||||
Total Commercial Paper | 7,581 | |||||||||||
|
| |||||||||||
MUNICIPAL BONDS — 0.7% | ||||||||||||
Florida — 0.3% |
| |||||||||||
Florida State, Board of Administration Finance, Ser A, RB | ||||||||||||
2.638%, 07/01/2021 | 420 | 418 | ||||||||||
State Board of Administration Finance, | ||||||||||||
2.163%, 07/01/2019 | 535 | 534 | ||||||||||
|
| |||||||||||
952 | ||||||||||||
|
|
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||||||
MUNICIPAL BONDS (continued) |
| |||||||||||
Wisconsin — 0.4% |
| |||||||||||
Wisconsin State, Ser A, RB, AGM | ||||||||||||
5.700%, 05/01/2026 | $ | 970 | $ | 1,078 | ||||||||
|
| |||||||||||
Total Municipal Bonds | 2,030 | |||||||||||
|
| |||||||||||
Shares | ||||||||||||
CASH EQUIVALENT — 2.1% | ||||||||||||
SEI Daily Income Trust, Government Fund, CIF | ||||||||||||
2.200%**† | 6,569,769 | 6,570 | ||||||||||
|
| |||||||||||
Total Cash Equivalent | 6,570 | |||||||||||
|
| |||||||||||
Total Investments in Securities — 108.7% |
| $ | 331,955 | |||||||||
|
| |||||||||||
Contracts | ||||||||||||
PURCHASED OPTIONS* — 0.0% | ||||||||||||
Total Purchased Options(D) | 153 | $ | 1 | |||||||||
|
| |||||||||||
WRITTEN OPTIONS* — 0.0% | ||||||||||||
Total Written Options(D) | (177 | ) | $ | (99) | ||||||||
|
|
A list of open option contracts by the Fund at December 31, 2018 are as follows:
Description | Number of Contracts | Notional Amount (Thousands) | Exercise Price | Expiration Date | Value (Thousands) | |||||||||||||||
PURCHASED OPTIONS — 0.0% | ||||||||||||||||||||
Put Options | ||||||||||||||||||||
February 2019, EurodollarMid-Curve Option* | 56 | $ | 13,642 | $97.00 | 02/16/19 | $ | 1 | |||||||||||||
March 2019, U.S. 5 Year Future Option* | 97 | 11,125 | 106.50 | 02/16/19 | – | |||||||||||||||
|
|
|
| |||||||||||||||||
Total Purchased Options | $ | 24,767 | $ | 1 | ||||||||||||||||
|
|
|
| |||||||||||||||||
WRITTEN OPTIONS — 0.0% | ||||||||||||||||||||
Put Options | ||||||||||||||||||||
February 2019, EurodollarMid-Curve Option* | (56 | ) | $ | (13,642) | 96.88 | 02/16/19 | $ | – | ||||||||||||
February 2019, U.S. Bond Future Option* | (9 | ) | (1,314) | 141.00 | 01/19/19 | (1) | ||||||||||||||
February 2019, U.S. Bond Future Option* | (7 | ) | (1,022) | 143.00 | 01/19/19 | (2) | ||||||||||||||
|
|
|
| |||||||||||||||||
$ | (15,978) | $ | (3) | |||||||||||||||||
|
|
|
|
18 | New Covenant Funds / Semi-Annual Report / December 31, 2018 |
Description | Number of Contracts | Notional Amount (Thousands) | Exercise Price | Expiration Date | Value (Thousands) | |||||||||||||||
WRITTEN OPTIONS (continued) |
| |||||||||||||||||||
Call Options | ||||||||||||||||||||
February 2019, U.S. 10 Year Future Option* | (20) | $ | (2,440) | $120.00 | 01/19/19 | $ | (41) | |||||||||||||
February 2019, U.S. 10 Year Future Option* | (15) | (1,830) | 121.00 | 01/19/19 | (18) | |||||||||||||||
February 2019, U.S. 10 Year Future Option* | (10) | (1,220) | 121.25 | 01/19/19 | (10) | |||||||||||||||
February 2019, U.S. 10 Year Future Option* | (13) | (1,586) | 122.00 | 01/19/19 | – | |||||||||||||||
March 2019, U.S. 10 Year Future Option* | (8) | (978) | 122.00 | 02/16/19 | – | |||||||||||||||
February 2019, U.S. 5 Year Future Option* | (16) | (1,835) | 114.00 | 01/19/19 | (12) | |||||||||||||||
March 2019, U.S. 5 Year Future Option* | (14) | (1,606) | 114.00 | 02/16/19 | (13) | |||||||||||||||
February 2019, U.S. Bond Future Option* | (9) | (1,314) | 149.00 | 01/19/19 | (2) | |||||||||||||||
|
|
|
| |||||||||||||||||
(12,809) | (96) | |||||||||||||||||||
|
|
|
| |||||||||||||||||
Total Written Options | $ | (28,787) | $ | (99) | ||||||||||||||||
|
|
|
| |||||||||||||||||
A list of the open futures contracts held by the Fund at December 31, 2018 are as follows: |
|
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Notional Amount (Thousands) | Value (Thousands) | Unrealized Appreciation/ (Depreciation) (Thousands) | |||||||||||||||
90-Day Euro$ | 145 | Dec-2019 | $ | 35,253 | $ | 35,289 | $ | 36 | ||||||||||||
90-Day Euro$ | 142 | Jun-2020 | 34,525 | 34,614 | 89 | |||||||||||||||
U.S.2-Year Treasury Note | (51 | ) | Mar-2019 | (10,754) | (10,828) | (74) | ||||||||||||||
U.S.5-Year Treasury Note | 415 | Mar-2019 | 46,856 | 47,595 | 739 | |||||||||||||||
U.S.10-Year Treasury Note | (193 | ) | Mar-2019 | (22,973) | (23,549) | (576) | ||||||||||||||
U.S. Long Treasury Bond | (124 | ) | Mar-2019 | (17,322) | (18,104) | (782) | ||||||||||||||
U.S. Ultra Long Treasury Bond | 36 | Mar-2019 | 5,645 | 5,785 | 140 | |||||||||||||||
Ultra10-Year U.S. Treasury Note | 24 | Mar-2019 | 3,027 | 3,122 | 95 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
$ | 74,257 | $ | 73,924 | $ | (333) | |||||||||||||||
|
|
|
|
|
|
The futures contracts are considered to have interest rate risk associated with them.
Percentages are based on Net Assets of $305,284 ($ Thousands). |
* | Non-income producing security. |
** | Rate shown is the7-day effective yield as of December 31, 2018. |
† | Investment in Affiliated Security (see Note 3). |
(A) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. |
(B) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutions. On December 31, 2018, the value of these securities amounted to $54,323 ($ Thousands), representing 17.8% of the Net Assets of the Fund. |
(C) | Zero coupon security. The rate shown on the Schedule of Investments is the security’s effective yield at the time of purchase. |
(D) | Refer to table below for details on Options Contracts. |
ABS — Asset-Based Security
AGM — Assured Guaranty Municipal
CI — Class
CMO — Collateralized Mortgage Obligation
DN — Discount Note
FHLB — Federal Home Loan Bank
FHLMC — Federal Home Loan Mortgage Corporation
FNMA — Federal National Mortgage Association
GNMA — Government National Mortgage Association
ICE — Intercontinental Exchange
IO — Interest Only - face amount represents notional amount
LIBOR—London Interbank Offered Rate
MTN — Medium Term Note
PLC — Public Limited Company
RB — Revenue Bond
REMIC — Real Estate Mortgage Investment Conduit
TBA — To Be Announced
New Covenant Funds / Semi-Annual Report / December 31, 2018 | 19 |
SCHEDULE OF INVESTMENTS (Unaudited)
December 31, 2018
New Covenant Income Fund(Concluded)
The following is a list of the levels of inputs used as of December 31, 2018 in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
December 31, 2018
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Mortgage-Backed Securities | $ | – | $ | 118,913 | $ | – | $ | 118,913 | ||||||||
Corporate Obligations | – | 101,118 | – | 101,118 | ||||||||||||
Asset-Backed Securities | – | 32,832 | – | 32,832 | ||||||||||||
U.S. Treasury Obligations | – | 32,044 | – | 32,044 | ||||||||||||
U.S. Government Agency Obligations | – | 14,057 | – | 14,057 | ||||||||||||
Sovereign Debt | – | 8,467 | – | 8,467 | ||||||||||||
Foreign Bonds | – | 8,343 | – | 8,343 | ||||||||||||
Commercial Paper | – | 7,581 | – | 7,581 | ||||||||||||
Municipal Bonds | – | 2,030 | – | 2,030 | ||||||||||||
Cash Equivalent | 6,570 | – | – | 6,570 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 6,570 | $ | 325,385 | $ | – | $ | 331,955 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Purchase Options | $ | 1 | $ | – | $ | – | $ | 1 | ||||||||
Written Options | (99) | – | – | (99) | ||||||||||||
Futures Contracts * | ||||||||||||||||
Unrealized Appreciation | 1,099 | – | – | 1,099 | ||||||||||||
Unrealized Depreciation | (1,432) | – | – | (1,432) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (431) | $ | – | $ | – | $ | (431) | ||||||||
|
|
|
|
|
|
|
|
* | Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
For the period ended December 31, 2018, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the period ended December 31, 2018, there were no transfers between Level 2 and Level 3 assets and liabilities.
Amounts designated as “—” are either $0 or have been rounded to $0.
For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.
The following is a summary of the transactions with affiliates for the period ended December 31, 2018 ($ Thousands):
Security Description | Value 6/30/2018 | Purchases at Cost | Proceeds from Sales | Value 6/30/2018 | Dividend Income | |||||||||||||||
SEI Daily Income Trust, Government Fund, CI F | $ | 5,833 | $ | 86,261 | $ (85,524) | $ | 6,570 | $ 44 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of the financial statements.
20 | New Covenant Funds / Semi-Annual Report / December 31, 2018 |
SCHEDULE OF INVESTMENTS (Unaudited)
December 31, 2018
New Covenant Balanced Growth Fund
Sector Weightings†:
† Percentages are based on total investments.
Description | Shares | Market Value ($ Thousands) | ||||||
AFFILIATED INVESTMENT FUNDS — 98.6% |
| |||||||
Equity Fund — 60.0% |
| |||||||
New Covenant Growth Fund † | 4,461,379 | $ | 162,974 | |||||
Total Equity Fund | 162,974 | |||||||
Fixed Income Fund — 38.6% |
| |||||||
New Covenant Income Fund † | 4,633,063 | 104,986 | ||||||
Total Fixed Income Fund | 104,986 | |||||||
Description | Shares | Market Value ($ Thousands) | ||||||
CASH EQUIVALENT — 1.3% |
| |||||||
SEI Daily Income Trust, Government Fund, CIF | ||||||||
2.200%**† | 3,411,161 | $ | 3,411 | |||||
Total Cash Equivalent | 3,411 | |||||||
Total Investments in Securities — 99.9% | $ | 271,371 | ||||||
Percentages are based on a Net Assets of $271,617 ($ Thousands).
† | Investment in Affiliated Security (see Note 3). |
** | Rate shown is the7-day effective yield as of December 31, 2018. |
CI — Class
As of December 31, 2018, all of the Fund’s investments were considered Level 1, in accordance with the authoritative guidance on fair value measurements and disclosure under U.S. GAAP.
For the year ended December 31, 2018, there were no transfers between Level 1 and Level 2 asset s and liabilities.
For the year ended December 31, 2018, 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 Notes to Financial Statements.
The following is a summary of the transactions with affiliates for the period ended December 31, 2018 ($ Thousands):
Security Description | Value 6/30/2018 | Purchases at Cost | Proceeds from Sales | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value 12/31/2018 | Dividend Income | |||||||||||||||||||||
New Covenant Growth Fund | $ | 172,416 | $ | 27,462 | $ | (10,091) | $ | 1,282 | $ | (28,095) | $ | 162,974 | $ | 1,563 | ||||||||||||||
New Covenant Income Fund | 114,510 | 7,734 | (17,395) | (737) | 874 | 104,986 | 1,344 | |||||||||||||||||||||
SEI Daily Income Trust, Government Fund, CI F | 3,325 | 22,798 | (22,712) | - | - | 3,411 | 28 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Totals | $ | 290,251 | $ | 57,994 | $ | (50,198) | $ | 545 | $ | (27,221) | $ | 271,371 | $ | 2,935 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of the financial statements.
New Covenant Funds / Semi-Annual Report / December 31, 2018 | 21 |
SCHEDULE OF INVESTMENTS (Unaudited)
December 31, 2018
New Covenant Balanced Income Fund
Sector Weightings†:
†Percentages are based on total investments.
Description | Shares | Market Value ($ Thousands) | ||||||||||
AFFILIATED INVESTMENT FUNDS — 98.8% |
| |||||||||||
Fixed Income Fund — 63.7% |
| |||||||||||
New Covenant Income Fund† | 2,028,573 | $ | 45,967 | |||||||||
Total Fixed Income Fund | 45,967 | |||||||||||
Equity Fund — 35.1% |
| |||||||||||
New Covenant Growth Fund† | 694,594 | 25,374 | ||||||||||
Total Equity Fund | 25,374 | |||||||||||
Description | Shares | Market Value ($ Thousands) | ||||||||||
CASH EQUIVALENT — 1.1% |
| |||||||||||
SEI Daily Income Trust, Government Fund, CI F | 772,786 | $ | 773 | |||||||||
Total Cash Equivalent | 773 | |||||||||||
Total Investments in Securities — 99.9% | $ | 72,114 | ||||||||||
Percentages are based on a Net Assets of $72,192 ($ Thousands).
** | Rate shown is the7-day effective yield as of December 31, 2018. |
† | Investment in Affiliated Security (see Note 3). |
CI — Class
As of December 31, 2018, all of the Fund’s investments were considered Level 1, in accordance with the authoritative guidance on fair value measurements and disclosure under U.S. GAAP.
For the year ended December 31, 2018, there were no transfers between Level 1 and Level 2 assets and liabilities.
For the year ended December 31, 2018, 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 Notes to Financial Statements.
The following is a summary of the transactions with affiliates for the period ended December 31, 2018 ($ Thousands):
Security Description | Value 6/30/2018 | Purchases at Cost | Proceeds from Sales | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value 12/31/2018 | Dividend Income | |||||||||||||||||||||
New Covenant Growth Fund | $ 27,004 | $ 3,902 | $ (1,413) | $ 686 | $ (4,805) | $ 25,374 | $ 242 | |||||||||||||||||||||
New Covenant Income Fund | 49,339 | - | (3,436) | (283) | 347 | 45,967 | 575 | |||||||||||||||||||||
SEI Daily Income Trust, Government Fund, CI F | 888 | 5,752 | (5,867) | - | - | 773 | 6 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Totals | $ 77,231 | $ 9,654 | $ (10,716) | $ 403 | $ (4,458) | $ 72,114 | $ 823 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of the financial statements.
22 | New Covenant Funds / Semi-Annual Report / December 31, 2018 |
STATEMENTS OF ASSETS AND LIABILITIES ($ THOUSANDS)(Unaudited)
December 31, 2018
Growth Fund | Income Fund | Balanced Growth Fund | Balanced Income Fund | |||||||||||||
Assets: | ||||||||||||||||
Investments, at value† | $ | 371,324 | $ | 325,385 | $ | — | $ | — | ||||||||
Affiliated investments, at value†† | 14,559 | 6,570 | 271,371 | 72,114 | ||||||||||||
Options purchased, at value†††† | — | 1 | — | — | ||||||||||||
Cash and cash equivalents | 4,440 | — | — | — | ||||||||||||
Receivable for investment securities sold | 488 | 2,492 | — | — | ||||||||||||
Dividends and interest receivable | 456 | 1,881 | 229 | 98 | ||||||||||||
Receivable for fund shares sold | 219 | 7 | 145 | 5 | ||||||||||||
Receivable for variation margin | 120 | 153 | — | — | ||||||||||||
Foreign tax reclaim receivable | 78 | — | — | — | ||||||||||||
Cash pledged as collateral for futures contracts | 738 | 398 | — | — | ||||||||||||
Prepaid expenses | 20 | 15 | 14 | 4 | ||||||||||||
Total Assets | 392,442 | 336,902 | 271,759 | 72,221 | ||||||||||||
Liabilities: | ||||||||||||||||
Payable for investment securities purchased | — | 30,293 | — | — | ||||||||||||
Options written, at value†††† | — | 99 | — | — | ||||||||||||
Payable for fund shares redeemed | 234 | — | 75 | 9 | ||||||||||||
Investment advisory fees payable | 133 | 76 | — | — | ||||||||||||
Administration fees payable | 61 | 50 | 17 | 6 | ||||||||||||
Social witness and licensing fees payable | 41 | 38 | — | — | ||||||||||||
Shareholder servicing fees payable | 34 | 26 | — | — | ||||||||||||
Trustees’ fees payable | 2 | 2 | 1 | — | ||||||||||||
Income distribution payable | — | 579 | — | — | ||||||||||||
Transfer agent fees payable | — | 235 | — | — | ||||||||||||
Payable for variation margin | — | 147 | — | — | ||||||||||||
Accrued expense payable | 81 | 73 | 49 | 14 | ||||||||||||
Total Liabilities | 586 | 31,618 | 142 | 29 | ||||||||||||
Net Assets | $ | 391,856 | $ | 305,284 | $ | 271,617 | $ | 72,192 | ||||||||
† Cost of investments | $ | 313,084 | $ | 329,214 | $ | — | $ | — | ||||||||
†† Cost of repurchase agreements | — | — | — | — | ||||||||||||
††† Cost of affiliated investments | 14,559 | 6,570 | 232,085 | 64,460 | ||||||||||||
†††† Cost (premiums received) | — | 50 | — | — | ||||||||||||
Net Assets: | ||||||||||||||||
Paid-in Capital — (unlimited authorization — par value $0.001) | $ | 334,700 | $ | 312,749 | $ | 233,111 | $ | 65,354 | ||||||||
Total distributable earnings/(loss) | 57,156 | (7,465 | ) | 38,506 | 6,838 | |||||||||||
Net Assets | $ | 391,856 | $ | 305,284 | $ | 271,617 | $ | 72,192 | ||||||||
Net Asset Value, Offering and Redemption Price Per Share | $ | 36.53 | $ | 22.66 | $ | 92.37 | $ | 19.69 | ||||||||
| (391,856,429 10,725,866 shares | ÷ ) | | (305,283,563 13,472,908 shares | ÷ ) | | (271,617,118 2,940,424 shares | ÷ ) | | (72,192,181 3,666,308 shares | ÷ ) |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
New Covenant Funds / Semi-Annual Report / December 31, 2018 | 23 |
STATEMENTS OF OPERATIONS ($ THOUSANDS)(Unaudited)
For the period ended December 31, 2018
Growth Fund | Income Fund | Balanced Growth Fund | Balanced Income Fund | |||||||||||||
Investment Income: | ||||||||||||||||
Dividend income | $ | 4,355 | $ | — | $ | — | $ | — | ||||||||
Dividend income from affiliated registered investment company | 122 | 44 | 2,935 | 823 | ||||||||||||
Interest income | 36 | 4,744 | — | — | ||||||||||||
Total Investment Income | 4,513 | 4,788 | 2,935 | 823 | ||||||||||||
Expenses: | ||||||||||||||||
Investment advisory fees | 1,345 | 668 | — | — | ||||||||||||
Administration fees | 434 | 318 | 218 | 57 | ||||||||||||
Social witness and licensing fees | 325 | 239 | — | — | ||||||||||||
Shareholder servicing fees | 217 | 159 | — | — | ||||||||||||
Trustee fees | 4 | 3 | 3 | 1 | ||||||||||||
Chief compliance officer fees | 1 | 1 | 1 | — | ||||||||||||
Transfer agent fees | 48 | 35 | 32 | 9 | ||||||||||||
Professional fees | 22 | 16 | 15 | 4 | ||||||||||||
Registration fees | 20 | 15 | 13 | 4 | ||||||||||||
Printing fees | 14 | 10 | 9 | 2 | ||||||||||||
Custodian fees | 5 | 8 | 7 | 2 | ||||||||||||
Other expenses | 8 | 46 | 2 | — | ||||||||||||
Total Expenses | 2,443 | 1,518 | 300 | 79 | ||||||||||||
Less: | ||||||||||||||||
Waiver of investment advisory fees | (532 | ) | (239 | ) | — | — | ||||||||||
Waiver of administration fees | (19 | ) | (5 | ) | (108 | ) | (21 | ) | ||||||||
Net Expenses | 1,892 | 1,274 | 192 | 58 | ||||||||||||
Net Investment Income | 2,621 | 3,514 | 2,743 | 765 | ||||||||||||
Net Realized and Change in Unrealized Gain (Loss) on Investments: | ||||||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||||||
Investments | 6,631 | (133 | ) | — | — | |||||||||||
Affiliated investments | — | — | 545 | 403 | ||||||||||||
Written and purchased options | — | 67 | — | — | ||||||||||||
Capital gain distributions received from affiliated investment | — | — | 10,539 | 1,618 | ||||||||||||
Futures contracts | (525 | ) | (25 | ) | — | — | ||||||||||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||||||
Investments | (45,749 | ) | 1,015 | — | — | |||||||||||
Affiliated investments | — | — | (27,221 | ) | (4,458 | ) | ||||||||||
Written and purchased options | — | (47 | ) | — | — | |||||||||||
Futures contracts | 13 | (202 | ) | — | — | |||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | (37,009 | ) | $ | 4,189 | $ | (13,394 | ) | $ | (1,672 | ) |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
24 | New Covenant Funds / Semi-Annual Report / December 31, 2018 |
STATEMENTS OF CHANGES IN NET ASSETS ($ THOUSANDS)
For the period ended December 31, 2018 (Unaudited) and the year ended June 30, 2018
Growth Fund | Income Fund | |||||||||||||||
07/01/18 to 12/31/18 | 07/01/17 to 06/30/18 | 07/01/18 to 12/31/18 | 07/01/17 to 06/30/18 | |||||||||||||
Operations: | ||||||||||||||||
Net investment income | $ | 2,621 | $ | 4,664 | $ | 3,514 | $ | 6,130 | ||||||||
Net realized gain (loss) from investments, affiliated investments, written and purchased options and futures contracts | 6,106 | 24,587 | (91 | ) | (1,082 | ) | ||||||||||
Net change in unrealized appreciation (depreciation) on investments, affiliated investments, written and purchased options and futures contracts | (45,736 | ) | 30,412 | 766 | (6,815 | ) | ||||||||||
Net change in unrealized depreciation on foreign currency transactions and translation of other assets and liabilities denominated in foreign currency | — | (1 | ) | — | — | |||||||||||
Net increase (decrease) in net assets resulting from operations | (37,009 | ) | 59,662 | 4,189 | (1,767 | ) | ||||||||||
Distributions:1 | (29,801 | ) | (28,040 | ) | (3,766 | ) | (6,403 | ) | ||||||||
Total distributions | (29,801 | ) | (28,040 | ) | (3,766 | ) | (6,403 | ) | ||||||||
Capital Share Transactions: | ||||||||||||||||
Proceeds from shares issued | 25,146 | 26,353 | 12,986 | 46,144 | ||||||||||||
Reinvestment of dividends & distributions | 25,574 | 23,504 | 358 | 626 | ||||||||||||
Cost of shares redeemed | (20,728 | ) | (65,034 | ) | (27,438 | ) | (24,802 | ) | ||||||||
increase (decrease) in net assets derived from capital share transactions | 29,992 | (15,177 | ) | (14,094 | ) | 21,968 | ||||||||||
Net increase (decrease) in net assets | (36,818 | ) | 16,445 | (13,671 | ) | 13,798 | ||||||||||
Net Assets: | ||||||||||||||||
Beginning of Period | 428,674 | 412,229 | 318,955 | 305,157 | ||||||||||||
End of Period2 | $ | 391,856 | $ | 428,674 | $ | 305,284 | $ | 318,955 | ||||||||
Share Transactions: | ||||||||||||||||
Shares issued | 619 | 628 | 579 | 2,010 | ||||||||||||
Shares issued in lieu of dividends and distributions | 660 | 563 | 16 | 27 | ||||||||||||
Shares redeemed | (484 | ) | (1,527 | ) | (1,221 | ) | (1,084 | ) | ||||||||
Increase (Decrease) in net assets derived from share transactions | 795 | (336 | ) | (626 | ) | 953 |
Amounts designated as “—” are $0 or have been rounded to $0.
1 | Current year presentation of distributions conforms withS-X Disclosure Simplification. Prior year distributions have been consolidated to conform withS-X Disclosure Simplification (See Note 9). |
2 | Includes undistributed net investment income of $1,072 and $22 on June 30, 2018. The SEC eliminated the requirement to disclose undistributed net investment income on November 5, 2018. |
The accompanying notes are an integral part of the financial statements.
New Covenant Funds / Semi-Annual Report / December 31, 2018 | 25 |
STATEMENTS OF CHANGES IN NET ASSETS ($ THOUSANDS) (Concluded)
For the period ended December 31, 2018 (Unaudited) and the year ended June 30, 2018
Balanced Growth Fund | Balanced Income Fund | |||||||||||||||
07/01/18 to 12/31/18 | 07/01/17 to 06/30/18 | 07/01/18 to 12/31/18 | 07/01/17 to 06/30/18 | |||||||||||||
Operations: | ||||||||||||||||
Net investment income | $ | 2,743 | $ | 3,576 | $ | 765 | $ | 1,169 | ||||||||
Net realized gain from investments, affiliated investments, written and purchased options and futures contracts | 545 | 2,984 | 403 | 878 | ||||||||||||
Capital gain distributions received from affiliated investments | 10,539 | 9,743 | 1,618 | 1,540 | ||||||||||||
Net change in unrealized appreciation (depreciation) on investments, affiliated investments, written and purchased options and futures contracts | (27,221 | ) | 7,325 | (4,458 | ) | (25 | ) | |||||||||
Net increase (decrease) in net assets resulting from operations | (13,394 | ) | 23,628 | (1,672 | ) | 3,562 | ||||||||||
Distributions:1 | (16,452 | ) | (4,706 | ) | (3,784 | ) | (1,697 | ) | ||||||||
Total distributions | (16,452 | ) | (4,706 | ) | (3,784 | ) | (1,697 | ) | ||||||||
Capital Share Transactions: | ||||||||||||||||
Proceeds from shares issued | 9,869 | 17,404 | 798 | 6,327 | ||||||||||||
Reinvestment of dividends & distributions | 15,043 | 4,118 | 3,255 | 1,322 | ||||||||||||
Cost of shares redeemed | (13,893 | ) | (35,970 | ) | (3,734 | ) | (11,285 | ) | ||||||||
increase (decrease) in net assets derived from capital share transactions | 11,019 | (14,448 | ) | 319 | (3,636 | ) | ||||||||||
Net increase (decrease) in net assets | (18,827 | ) | 4,474 | (5,137 | ) | (1,771 | ) | |||||||||
Net Assets: | ||||||||||||||||
Beginning of Period | 290,444 | 285,970 | 77,329 | 79,100 | ||||||||||||
End of Period2 | $ | 271,617 | $ | 290,444 | $ | 72,192 | $ | 77,329 | ||||||||
Share Transactions: | ||||||||||||||||
Shares issued | 98 | 172 | 38 | 300 | ||||||||||||
Shares issued in lieu of dividends and distributions | 157 | 41 | 162 | 63 | ||||||||||||
Shares redeemed | (136 | ) | (356 | ) | (176 | ) | (534 | ) | ||||||||
Increase (Decrease) in net assets derived from share transactions | 119 | (143 | ) | 24 | (171 | ) |
1 | Current year presentation of distributions conforms withS-X Disclosure Simplification. Prior year distributions have been consolidated to conform withS-X Disclosure Simplification (See Note 9). |
2 | Includes undistributed net investment income of $1,799 and $339 on June 30, 2018. The SEC eliminated the requirement to disclose undistributed net investment income on November 5, 2018. |
The accompanying notes are an integral part of the financial statements.
26 | New Covenant Funds / Semi-Annual Report / December 31, 2018 |
For the period ended December 31, 2018 (Unaudited) and years ended June 30,
For a Share Outstanding Throughout the Period
Growth Fund | ||||||||||||||||||||||||
2018@ | 2018 | 2017 | 2016 | 2015 | 2014 | |||||||||||||||||||
Net Asset Value, Beginning of Period | $43.17 | $40.15 | $34.23 | $38.28 | $43.70 | $37.28 | ||||||||||||||||||
Investment Activities: | ||||||||||||||||||||||||
Net investment income(1) | 0.26 | 0.46 | 0.27 | 0.27 | 0.22 | 0.23 | ||||||||||||||||||
Net realized and unrealized gains(losses) on securities(1) | (3.93) | 5.34 | 5.91 | (1.67) | 2.29 | 8.55 | ||||||||||||||||||
Total from investment activities | (3.67) | 5.80 | 6.18 | (1.40) | 2.51 | 8.78 | ||||||||||||||||||
Dividends and Distributions from: | ||||||||||||||||||||||||
Net investment income | (0.38) | (0.39) | (0.26) | (0.21) | (0.22) | (0.24) | ||||||||||||||||||
Net realized gains | (2.59) | (2.39) | – | (2.44) | (7.71) | (2.12) | ||||||||||||||||||
Total dividends and distributions | (2.97) | (2.78) | (0.26) | (2.65) | (7.93) | (2.36) | ||||||||||||||||||
Net Asset Value, End of Period | $36.53 | $43.17 | $40.15 | $34.23 | $38.28 | $43.70 | ||||||||||||||||||
Total Return† | (8.89)% | 14.74% | 18.12% | (3.68)% | 6.41% | 24.18% | ||||||||||||||||||
Supplemental Data and Ratios: | ||||||||||||||||||||||||
Net assets, end of period ($ Thousands) | $391,856 | $428,674 | $412,229 | $394,943 | $416,158 | $424,852 | ||||||||||||||||||
Ratio of net expenses to average net assets | 0.87% | 0.87% | 0.95% | 1.02% | 1.02% | 1.02% | ||||||||||||||||||
Ratio of expenses to average net assets, excluding waivers | 1.13% | 1.12% | 1.13% | 1.14% | 1.12% | 1.15% | ||||||||||||||||||
Ratio of net investment income to average net assets | 1.21% | 1.08% | 0.73% | 0.76% | 0.54% | 0.55% | ||||||||||||||||||
Portfolio turnover rate | 9% | 24% | 50% | 103% | 107% | 86% |
† | Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
(1) | Per share net investment income and net realized and unrealized gains/(losses) calculated using average shares. |
@ | For the six month period ended December 31, 2018. All ratios for the period have been annualized. |
The accompanying notes are an integral part of the financial statements
New Covenant Funds / Semi-Annual Report / December 31, 2018 | 27 |
FINANCIAL HIGHLIGHTS
For the period ended December 31, 2018 (Unaudited) and years ended June 30,
For a Share Outstanding Throughout the Period
Income Fund | ||||||||||||||||||||||||
2018@ | 2018 | 2017 | 2016 | 2015 | 2014 | |||||||||||||||||||
Net Asset Value, Beginning of Period | $22.62 | $23.21 | $23.58 | $23.09 | $23.13 | $22.77 | ||||||||||||||||||
Investment Activities: | ||||||||||||||||||||||||
Net investment income(1) | 0.25 | 0.45 | 0.37 | 0.40 | 0.35 | 0.34 | ||||||||||||||||||
Net realized and unrealized gains(losses) on securities(1) | 0.06 | (0.57) | (0.31) | 0.51 | (0.01) | 0.41 | ||||||||||||||||||
Total from investment activities | 0.31 | (0.12) | 0.06 | 0.91 | 0.34 | 0.75 | ||||||||||||||||||
Dividends and Distributions from: | ||||||||||||||||||||||||
Net investment income | (0.27) | (0.47) | (0.43) | (0.42) | (0.38) | (0.39) | ||||||||||||||||||
Total dividends and distributions | (0.27) | (0.47) | (0.43) | (0.42) | (0.38) | (0.39) | ||||||||||||||||||
Net Asset Value, End of Period | $22.66 | $22.62 | $23.21 | $23.58 | $23.09 | $23.13 | ||||||||||||||||||
Total Return† | 1.38% | (0.54)% | 0.27% | 4.00% | 1.46% | 3.31% | ||||||||||||||||||
Supplemental Data and Ratios: | ||||||||||||||||||||||||
Net assets, end of period ($ Thousands) | $305,284 | $318,955 | $305,157 | $297,165 | $304,295 | $309,039 | ||||||||||||||||||
Ratio of net expenses to average net assets | 0.80% | 0.80% | 0.80% | 0.80% | 0.80% | 0.80% | ||||||||||||||||||
Ratio of expenses to average net assets, excluding waivers | 0.95% | 0.95% | 0.95% | 0.98% | 0.95% | 0.98% | ||||||||||||||||||
Ratio of net investment income to average net assets | 2.21% | 1.95% | 1.58% | 1.71% | 1.50% | 1.50% | ||||||||||||||||||
Portfolio turnover rate | 98% | 210% | 140% | 202% | 115% | 168% |
† | Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
(1) | Per share net investment income and net realized and unrealized gains/(losses) calculated using average shares. |
@ | For the six month period ended December 31, 2018. All ratios for the period have been annualized. |
The accompanying notes are an integral part of the financial statements.
28 | New Covenant Funds / Semi-Annual Report / December 31, 2018 |
FINANCIAL HIGHLIGHTS
For the period ended December 31, 2018 (Unaudited) and years ended June 30,
For a Share Outstanding Throughout the Period
Balanced Growth Fund | ||||||||||||||||||||||||
2018@ | 2018 | 2017 | 2016 | 2015 | 2014 | |||||||||||||||||||
Net Asset Value, Beginning of Period | $102.94 | $96.48 | $90.32 | $101.71 | $101.92 | $89.69 | ||||||||||||||||||
Investment Activities: | ||||||||||||||||||||||||
Net investment income(1) | 0.97 | 1.23 | 0.94 | 0.88 | 0.85 | 1.43 | ||||||||||||||||||
Net realized and unrealized gains(losses) on securities(1) | (5.67) | 6.86 | 8.44 | (1.63) | 3.71 | 12.23 | ||||||||||||||||||
Total from investment activities | (4.70) | 8.09 | 9.38 | (0.75) | 4.56 | 13.66 | ||||||||||||||||||
Dividends and Distributions from: | ||||||||||||||||||||||||
Net investment income | (1.42) | (0.90) | (0.94) | (1.72) | (2.86) | (1.43) | ||||||||||||||||||
Net realized gains | (4.45) | (0.73) | (2.28) | (8.92) | (1.91) | – | ||||||||||||||||||
Total dividends and distributions | (5.87) | (1.63) | (3.22) | (10.64) | (4.77) | (1.43) | ||||||||||||||||||
Net Asset Value, End of Period | $92.37 | $102.94 | $96.48 | $90.32 | $101.71 | $101.92 | ||||||||||||||||||
Total Return† | (4.74)% | 8.45% | 10.59% | (0.5)% | 4.54% | 15.30% | ||||||||||||||||||
Supplemental Data and Ratios: | ||||||||||||||||||||||||
Net assets, end of period ($ Thousands) | $271,617 | $290,444 | $285,970 | $284,430 | $297,560 | $305,924 | ||||||||||||||||||
Ratio of net expenses to average net assets | 0.13% | 0.13% | 0.14% | 0.14% | 0.14% | 0.14% | ||||||||||||||||||
Ratio of expenses to average net assets, excluding waivers | 0.21% | 0.21% | 0.23% | 0.27% | 0.26% | 0.27% | ||||||||||||||||||
Ratio of net investment income to average net assets | 1.88% | 1.22% | 1.01% | 0.94% | 0.83% | 1.48% | ||||||||||||||||||
Portfolio turnover rate | 10% | 11% | 4% | 14% | 13% | 6% |
† | Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
(1) | Per share net investment income and net realized and unrealized gains/(losses) calculated using average shares. |
@ | For the six month period ended December 31, 2018. All ratios for the period 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, 2018 | 29 |
FINANCIAL HIGHLIGHTS
For the period ended December 31, 2018 (Unaudited) and years ended June 30,
For a Share Outstanding Throughout the Period
Balanced Income Fund | ||||||||||||||||||||||||
2018@ | 2018 | 2017 | 2016 | 2015 | 2014 | |||||||||||||||||||
Net Asset Value, Beginning of Period | $21.23 | $20.74 | $20.06 | $21.20 | $21.55 | �� | $19.95 | |||||||||||||||||
Investment Activities: | ||||||||||||||||||||||||
Net investment income(1) | 0.21 | 0.31 | 0.25 | 0.24 | 0.22 | 0.30 | ||||||||||||||||||
Net realized and unrealized gains(losses) on securities(1) | (0.68) | 0.63 | 0.95 | 0.02 | 0.46 | 1.68 | ||||||||||||||||||
Total from investment activities | (0.47) | 0.94 | 1.20 | 0.26 | 0.68 | 1.98 | ||||||||||||||||||
Dividends and Distributions from: | ||||||||||||||||||||||||
Net investment income | (0.32) | (0.29) | (0.25) | (0.31) | (0.47) | (0.30) | ||||||||||||||||||
Net realized gains | (0.75) | (0.16) | (0.27) | (1.09) | (0.56) | (0.08) | ||||||||||||||||||
Total dividends and distributions | (1.07) | (0.45) | (0.52) | (1.40) | (1.03) | (0.38) | ||||||||||||||||||
Net Asset Value, End of Period | $19.69 | $21.23 | $20.74 | $20.06 | $21.20 | $21.55 | ||||||||||||||||||
Total Return† | (2.29)% | 4.57% | 6.11% | 1.41% | 3.22% | 10.01% | ||||||||||||||||||
Supplemental Data and Ratios: | ||||||||||||||||||||||||
Net assets, end of period ($ Thousands) | $72,192 | $77,329 | $79,100 | $77,945 | $80,203 | $85,622 | ||||||||||||||||||
Ratio of net expenses to average net assets | 0.15% | 0.15% | 0.19% | 0.20% | 0.20% | 0.20% | ||||||||||||||||||
Ratio of expenses to average net assets, excluding waivers | 0.21% | 0.21% | 0.23% | 0.27% | 0.25% | 0.26% | ||||||||||||||||||
Ratio of net investment income to average net assets | 2.01% | 1.48% | 1.25% | 1.19% | 1.04% | 1.44% | ||||||||||||||||||
Portfolio turnover rate | 5% | 10% | 5% | 17% | 15% | 9% |
† | Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
(1) | Per share net investment income and net realized and unrealized gains/(losses) calculated using average shares. |
@ | For the six month period ended December 31, 2018. All ratios for the period have been annualized. |
The accompanying notes are an integral part of the financial statements.
30 | New Covenant Funds / Semi-Annual Report / December 31, 2018 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)
December 31, 2018
1. ORGANIZATION
New Covenant Funds (the “Trust”), anopen-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. A modest amount of dividend income may be produced by the Fund’s equity securities. | |
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 beende-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
New Covenant Funds / Semi-Annual Report / December 31, 2018 | 31 |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
December 31, 2018
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 orsub-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 orsub-adviser may request that a Committee Meeting be called. In addition, the Trust’s administrator monitors price movements among certain selected indices, securities and/or baskets of securities 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 orsub-adviser for any Fund holding the relevant securities that such limits have been exceeded. In such event, the adviser orsub-adviser makes the determination whether a 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 eachnon-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 thenon-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.
Futures cleared through a central clearing house (“centrally cleared futures”) are valued at the settlement price established each day by the board of exchange on which they are traded. The daily settlement prices for financial futures is provided by an independent source. On days when there is excessive volume, market volatility or the future does not end trading by the time a Fund calculates its NAV, the settlement price may not be available at the time at which the Fund calculates its NAV. On such days, the best available price (which is typically the last sales price) may be used to value a Fund’s futures position.
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 the established NAV of each fund.
In accordance with U.S. GAAP, fair value is defined as the price that a Fund would receive upon selling an investment in an orderly 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)
32 | New Covenant Funds / Semi-Annual Report / December 31, 2018 |
The valuation techniques used by the Funds to measure fair value during the period ended December 31, 2018, maximized the use of observable inputs and minimized the use of unobservable inputs.
For the Period ended December 31, 2018, there have been no significant changes to the Trust’s fair valuation methodologies. For details of the investment classifications reference the Schedules 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 theex-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.
Cash and Cash Equivalents— Idle cash and currency balances may be swept into various overnight sweep accounts and are classified as cash equivalents on the Statement of Assets and Liabilities. These amounts, at times, may exceed United States federally insured limits. Amounts swept are available on the next business day.
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.
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.
Repurchase Agreements— To the extent consistent with its investment objective and strategies, a Fund may enter into repurchase agreements which are secured by obligations of the U.S. Government with a bank, broker-dealer or other financial institution. Each repurchase agreement is at least 102% collateralized andmarked-to-market. However, in the event of default or bankruptcy by the counterparty to the repurchase agreement, realization of the collateral may by subject to certain costs, losses or delays.
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 aremarked-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.
New Covenant Funds / Semi-Annual Report / December 31, 2018 | 33 |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
December 31, 2018
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, 2018, 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 affecting 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 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.
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. These transactions may increase the overall investment exposure for a Fund (and so may also create investment leverage) and involve a risk of loss if the value of the securities declines prior to the settlement date.
Master Limited Partnerships— To the extent consistent with its investment objective and strategies, a Fund may invest in entities commonly referred to as “MLPs” that 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,for- wards 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
34 | New Covenant Funds / Semi-Annual Report / December 31, 2018 |
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 delayed delivery purchases are outstanding, the Funds will set aside liquid assets in an amount sufficient to meet the purchase price. 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 theex-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. As of December 31, 2018, the Funds did not own any illiquid securities.
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 fiscalyear-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. 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, effective April 1, 2017, the voluntary expense limitations are 0.13% and 0.15% for the Balanced Growth Fund and the Balanced Income Fund, respectively. These voluntary waivers may be terminated by the adviser at any time.
The Administrator is entitled to a fee, which is calculated based on the aggregate daily net assets of the Trust and paid monthly by each Fund as follows:
First $2.5 Billion | Next $500 Million | Over $3 Billion | ||||||||
| ||||||||||
Growth Fund | 0.2000% | 0.1650% | 0.1200% | |||||||
First $1.5 Billion | Next $500 Million | Next $500 Million | Next $500 Million | Over $3 Billion | ||||||
| ||||||||||
Income Fund | 0.2000% | 0.1775% | 0.1550% | 0.1325% | 0.1100% | |||||
Balanced Growth Fund | 0.1500% | 0.1375% | 0.1250% | 0.1125% | 0.1000% | |||||
Balanced Income Fund | 0.1500% | 0.1375% | 0.1250% | 0.1125% | 0.1000% |
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 ofout-of-pocket expenses incurred in providing transfer agency services.
Investment Advisory Agreement— The Trust, on behalf of each Fund, entered into an Investment Advisory Agreement (“Agreement”) with 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,
New Covenant Funds / Semi-Annual Report / December 31, 2018 | 35 |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
December 31, 2018
will not exceed certain voluntary expense limitations adopted by the Adviser. Accordingly, effective April 1, 2017, the voluntary expense limitation is 0.87% and 0.80% for the Growth Fund and Income Fund, respectively.
The Adviser has entered intosub-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 thesub-advisers, under the direction of the Adviser, to makeday-to-day investment decisions for these Funds. The Adviser, not the Funds, pays eachsub-adviser a quarterly fee, in arrears, for their services. The Adviser payssub-advisory fees directly from its own advisory fee. Thesub-advisory fees are based on the assets of the Fund allocated to thesub-adviser for which thesub- adviser is responsible for making investment decisions.
The following are thesub-advisers for the Growth Fund: Brandywine Global Investment Management, LLC, Coho Partners, Ltd., Fred Alger Management, Inc. and Parametric Portfolio Associates LLC.
The following are thesub-advisers for the Income Fund: Income Research & Management, 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”). In consideration of the services and facilities to be provided by the Distributor or any service provider, each of the Growth Fund and the Income Fund (if such Fund has issued Shares) will pay to the Distributor a fee, as agreed from time to time, at an annual rate of up to 0.10% (ten basis points) of the average daily net asset value of the Growth Fund and the Income Fund, respectively, which fee will be computed daily and paid monthly.
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 anon-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.
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,
36 | New Covenant Funds / Semi-Annual Report / December 31, 2018 |
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 (SDIT) Government Fund, an affiliated money market fund. The Balanced Funds invest in the Growth Fund and Income Fund.
Interfund Lending— The SEC has granted an exemption that permits the Trust to participate in an interfund lending program (the ‘‘Program’’) with existing or future investment companies registered under the 1940 Act that are advised by SIMC (the ‘‘SEI Funds’’). The Program allows the SEI Funds to lend money to and borrow money from each other for temporary or emergency purposes. Participation in the Program is voluntary for both borrowing and lending funds. Interfund loans may be made only when the rate of interest to be charged is more favorable to the lending fund than an investment in overnight repurchase agreements (‘‘Repo Rate’’), and more favorable to the borrowing fund than the rate of interest that would be charged by a bank for short-term borrowings (‘‘Bank Loan Rate’’). The Bank Loan Rate will be determined using a formula reviewed annually by the SEI Funds’ Board of Trustees. The interest rate imposed on interfund loans is the average of the Repo Rate and the Bank Loan Rate. During the year ended December 31, 2018, the Trust did not participate in interfund lending.
4. DERIVATIVE TRANSACTIONS
The International Swaps and Derivatives Association, Inc. Master Agreements and Credit Support Annexes (“ISDA Master Agreements”) maintain provisions for general obligations, representations, agreements, collateral, and events of default or termination. The occurrence of a specified event of termination may give a counterparty the right to terminate all of its contracts and affect settlement of all outstanding transactions under the applicable ISDA Master Agreement.
To reduce counterparty risk with respect to Over The Counter (“OTC”) transactions, the Funds have entered into master netting arrangements, established within the Fund’s ISDA master agreements, which allow the Funds to make (or to have an entitlement to receive) a single net payment in the event of default(close-out netting) for outstanding payables and receivables with respect to certain OTC positions in swaps for each individual counterparty. In addition, the Funds may require that certain counterparties post cash and/or securities in collateral accounts to cover their net payment obligations for those derivative contracts subject to ISDA Master Agreements. If the counterparty fails to perform under these contracts and agreements, the cash and/or securities will be made available to the Funds.
For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities and therefore disclose these derivative assets and derivative liabilities on a gross basis. Bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events.
Collateral terms are contract specific for OTC derivatives. For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark to market amount of each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Funds or the counterparty. For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Funds, if any, is reported separately on the Statement of Assets and Liabilities as cash pledged as collateral.Non-cash collateral pledged by the Funds, if any, is noted in the Schedules of Investments. Generally, the amount of collateral due from or to a party must exceed a minimum transfer amount threshold before a transfer has to be made. To the extent amounts due to the Funds from its counterparties are not fully collateralized, contractually or otherwise, the Funds bear the risk of loss from counterparty nonperformance.
The following is a summary of the variation margin of exchange-traded financial derivative instruments of the Funds as of December 31, 2018 ($ Thousands):
Financial Derivative Asset | Financial Derivative Liability | |||||
Variation Margin Asset | Variation Margin Liability | |||||
Fund | Futures | Futures | ||||
Growth Fund | $120 | $— | ||||
Income Fund | 153 | 147 |
Cash with a total market value of $738 ($ Thousands) and $398 ($ Thousands) has been pledged as collateral for exchange-traded derivative instruments as of December 31, 2018.
New Covenant Funds / Semi-Annual Report / December 31, 2018 | 37 |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
December 31, 2018
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 year ended December 31, 2018, were as follows:
Fund | Purchases ($ Thousands) | Sales (excluding ($ Thousands) | Purchases of ($ Thousands) | Sales of U.S. Government ($ Thousands) | ||||||||||||
Growth Fund | $ 38,419 | $ 45,571 | $ — | $ — | ||||||||||||
Income Fund | 13,252 | 20,155 | 297,594 | 301,072 | ||||||||||||
Balanced Growth Fund | 35,196 | 27,485 | — | — | ||||||||||||
Balanced Income Fund | 3,902 | 4,849 | — | — |
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 topaid-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 were as follows:
Ordinary ($ Thousands) | Long Term Capital Gains ($ Thousands) | Total Taxable Deductions ($ Thousands) | Total Distributions Paid ($ Thousands) | |||||||||||||||||
Growth Fund | 2018 | $ 5,007 | $ 23,033 | $ 28,040 | $ 28,040 | |||||||||||||||
2017 | 2,811 | — | 2,811 | 2,811 | ||||||||||||||||
Income Fund | 2018 | 6,403 | — | 6,403 | 6,403 | |||||||||||||||
2017 | 5,601 | — | 5,601 | 5,601 | ||||||||||||||||
Balanced Growth Fund | 2018 | 2,619 | 2,087 | 4,706 | 4,706 | |||||||||||||||
2017 | 2,992 | 6,915 | 9,907 | 9,907 | ||||||||||||||||
Balanced Income Fund | 2018 | 1,114 | 583 | 1,697 | 1,697 | |||||||||||||||
2017 | 1,036 | 967 | 2,003 | 2,003 |
As of June 30, 2018, the components of distributable earnings (accumulated losses) were as follows:
Undistributed ($ Thousands) | Undistributed ($ Thousands) | Capital Loss | Post- October ($ Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | Other Temporary Differences ($ Thousands) | Total Distributable Earnings (Accumulated Losses) ($ Thousands) | ||||||||||||||||||||||
New Covenant Growth Fund | $ | 1,498 | $ | 20,398 | $ | — | $ | — | $ | 102,068 | $ | — | $ | 123,964 | ||||||||||||||
New Covenant Income Fund | 634 | — | (898 | ) | (2,070 | ) | (4,870 | ) | (685 | ) | (7,889 | ) | ||||||||||||||||
New Covenant Balanced Growth Fund | 2,249 | 10,962 | — | — | 55,141 | — | 68,352 | |||||||||||||||||||||
New Covenant Balanced Income Fund | 430 | 1,990 | — | — | 9,873 | — | 12,293 |
Post October losses represent losses realized on investment transactions from November 1, 2017 through June 30, 2018 that, in accordance with Federal income tax regulations, the Funds may defer and treat as having arisen in the following fiscal year. Deferred Late-Year Losses represent ordinary losses realized on investment transactions from January 1, 2018 through June 30, 2018 and specified losses realized on investment transactions from November 1,
38 | New Covenant Funds / Semi-Annual Report / December 31, 2018 |
2016 through June 30, 2018, that, in accordance with Federal income tax regulations, the Fund defers and treats as having arisen in the following fiscal year.
For Federal income tax purposes, capital loss carryforwards incurred in taxable years beginning before December 22, 2010 may be carried forwards for a maximum period of eight years and applied against future net realized gains. At June 30, 2018, the breakdown of capital loss carryforwards was as follow:
Expires 2018 ($ Thousands) | Total Capital Loss Carryforwards ($ Thousands) June 30, 2018 | |||
Income Fund | $ 51,027 | $ 0 |
Under the recently enacted Regulated Investment Company Modernization Act of 2010, the Funds are permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred inpre-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 ($ Thousands) | Long-Term Loss ($ Thousands) | Total* ($ Thousands) | ||||
Income Fund | $ 0 | $ 898 | $ 898 |
*This | table should be used in conjunction with the capital loss carryforwards table. |
For Federal income tax purposes, the cost of securities owned at June 30, 2018, and the net realized gains or losses on securities sold for the period were not materially different from amounts reported for financial reporting purposes. These differences are primarily due to wash sales, MLP basis adjustments and basis adjustments from investments in registered investment companies which cannot be used for Federal income tax purposes in the current year and have been deferred for use in future years.
The aggregate gross unrealized appreciation and depreciation on total investments held by the Funds at December 31, 2018 was as follows:
Federal Tax Cost ($ Thousands) | Appreciated Securities ($ Thousands) | Depreciated Securities ($ Thousands) | Net Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||||||
Growth Fund | $ | 327,643 | $ | 86,030 | $ | (27,790 | ) | $ 58,240 | ||||||||
Income Fund | 335,784 | 1,386 | (5,215 | ) | (3,829) | |||||||||||
Balanced Growth Fund | 232,085 | 40,452 | (1,166 | ) | 39,286 | |||||||||||
Balanced Income Fund | 64,460 | 8,533 | (879 | ) | 7,654 |
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, 2018, 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. CONCENTRATIONS/RISKS
In the normal course of business, the Trust enters into contracts that provide general indemnifications by the Trust to the counterparty to thecon- tract. 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
New Covenant Funds / Semi-Annual Report / December 31, 2018 | 39 |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Concluded)
December 31, 2018
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.
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 investmentrisk-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 offixed-income securities, that equities will outperform fixed income investments. For the Balanced Income Fund, it is possible that after rebalancing fromfixed-income securities into a greater percentage of equity securities, thatfixed-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. CONCENTRATION OF SHAREHOLDERS
On December 31, 2018, the number of shareholders below held the following percentage of the outstanding shares of the Funds. These shareholders are affiliated with the Funds.
# of Shareholders | % of Outstanding Shares | |||
Growth Fund | 1 | 41.59% | ||
Income Fund | 2 | 49.44% | ||
Balanced Growth Fund | 1 | 1.0% | ||
Balanced Income Fund | 1 | 0.9% |
40 | New Covenant Funds / Semi-Annual Report / December 31, 2018 |
8. REGULATORY MATTERS
On August 17, 2018, the SEC adopted amendments to RegulationS-X. These changes are effective for periods after November 5, 2018. The updates to Registered Investment Companies were mainly focused on simplifying the presentation of distributable earnings by eliminating the need to present the components of distributable earning on a book basis in the Statements of Assets and Liabilities. The update also impacted the presentation of undistributed net investment income and distributions to shareholders on the Statements of Changes in Net Assets.
Net Investment Income | Net Realized Gains | Total | ||||||||||
Growth Fund | 3,990 | 24,050 | 28,040 | |||||||||
Income Fund | 6,403 | - | 6,403 | |||||||||
Balanced Growth Fund | 2,619 | 2,087 | 4,706 | |||||||||
Balanced Income Fund | 1,097 | 600 | 1,697 |
9. ACCOUNTING PRONOUNCEMENT
In August 2018, The FASB issued Accounting Standards Update2018-13, Fair Value Measurement (Topic 820). The new guidance includes additions and modifications to disclosures requirements for fair value measurements. For public entities, the amendments are effective for financial statements issued for fiscal years beginning after December 15, 2019, and interim periods within those fiscal years. At this time, management is currently evaluating the impact of this new guidance on the financial statements and disclosures.
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 disclosures and/or adjustments were required to the financial statements as of December 31, 2018
New Covenant Funds / Semi-Annual Report / December 31, 2018 | 41 |
DISCLOSURE OF FUND EXPENSES (UNAUDITED)
December 31, 2018
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 (July 1, 2018 to December 31, 2018).
The table on this page 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 7/1/2018 | Ending Account Value 12/31/18 | Annualized Expense Ratios | Expenses Paid During Period* | |||||||||||||
Growth Fund | ||||||||||||||||
Actual Fund Return | $1,000.00 | $911.10 | 0.87 | % | $4.19 | |||||||||||
Hypothetical 5% Return | $1,000.00 | $1,020.80 | 0.87 | % | $4.43 | |||||||||||
Income Fund | ||||||||||||||||
Actual Fund Return | $1,000.00 | $1,013.80 | 0.80 | % | $4.06 | |||||||||||
Hypothetical 5% Return | $1,000.00 | $1,021.20 | 0.80 | % | $4.08 | |||||||||||
Balanced Growth Fund | ||||||||||||||||
Actual Fund Return | $1,000.00 | $952.60 | 0.13 | % | $0.64 | |||||||||||
Hypothetical 5% Return | $1,000.00 | $1,024.60 | 0.13 | % | $0.66 | |||||||||||
Balanced Income Fund | ||||||||||||||||
Actual Fund Return | $1,000.00 | $977.10 | 0.15 | % | $0.75 | |||||||||||
Hypothetical 5% Return | $1,000.00 | $1,024.40 | 0.15 | % | $0.77 |
* | 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 theone-half year period shown). |
† | Excludes expenses of the underlying affiliated investment companies. |
42 | New Covenant Funds / Semi-Annual Report / December 31, 2018 |
BOARD OF TRUSTEES CONSIDERATIONS IN APPROVING THE ADVISORY ANDSUB-ADVISORY AGREEMENTS (UNAUDITED)
New Covenant Funds (the “Trust”) and SEI Investments Management Corporation (“SIMC”) have entered into an investment advisory agreement (the “Advisory Agreement”). Pursuant to the Advisory Agreement, SIMC is responsible for the investment advisory services provided to the series of the Trust (the “Funds”). With the exception of any Fund for which SIMC directly manages the Fund’s assets, pursuant to separatesub-advisory agreements with SIMC (the“Sub-Advisory Agreements”), and under the supervision of SIMC and the Trust’s Board of Trustees (the “Board”), thesub-advisers (each, a“Sub-Adviser” and collectively, the“Sub-Advisers”) provide security selection and certain other advisory services with respect to all or a discrete portion of the assets of the Funds. TheSub-Advisers are also responsible for managing their employees who provide services to the Funds. TheSub-Advisers are selected based primarily upon the research and recommendations of SIMC, which evaluates quantitatively and qualitatively theSub-Advisers’ skills and investment results in managing assets for specific asset classes, investment styles and strategies.
The Investment Company Act of 1940, as amended (the “1940 Act”), requires that the initial approval of, as well as the continuation of, theSub-Advisory Agreements be specifically approved: (i) by the vote of the Board or by a vote of the shareholders of the Funds; and (ii) by the vote of a majority of the Trustees who are not parties to theSub-Advisory Agreements or “interested persons” of any party (the “Independent Trustees”), cast in person at a meeting called for the purpose of voting on such approval(s). In connection with their consideration of such approval(s), the Funds’ Trustees must request and evaluate, and SIMC and theSub-Advisers are required to furnish, such information as may be reasonably necessary to evaluate the terms of theSub-Advisory Agreements. In addition, the Securities and Exchange Commission takes the position that, as part of their fiduciary duties with respect to a mutual fund’s fees, mutual fund boards are required to evaluate the material factors applicable to a decision to approve asub- advisory agreement.
Consistent with these responsibilities, the Board calls and holds meetings each year to consider whether to approve new and/or renew existingSub-Advisory Agreements between SIMC and theSub-Advisers with respect to the Funds. In preparation for these meetings, the Board requests and reviews a wide variety of materials provided by SIMC and theSub-Advisers, including information about SIMC’s and theSub-Advisers’ affiliates, personnel and operations and the services provided pursuant to theSub-Advisory Agreements. The Board also receives data from third parties. This information is provided in addition to the detailed information about the Funds that the Board reviews during the course of each year, including information that relates to Fund operations and Fund performance. The Trustees also receive a memorandum from counsel regarding the responsibilities of Trustees in connection with their consideration of whether to approve theSub-Advisory Agreements. Finally, the Independent Trustees receive advice from independent counsel to the Independent Trustees, meet in executive sessions outside the presence of Fund management and participate in question and answer sessions with representatives of SIMC and theSub-Advisers.
Specifically, during the first half of the Trust’s fiscal year, the Board requested and received written materials from SIMC and certain of theSub-Advisers regarding: (i) the quality of theSub-Advisers’ investment management and other services; (ii) theSub-Advisers’ investment management personnel; (iii) theSub-Advisers’ operations and financial condition; (iv) theSub-Advisers’ brokerage practices (including any soft dollar arrangements) and investment strategies; (v) the level ofsub-advisory fees that SIMC pays theSub-Advisers, compared with fees each charge to comparable accounts; (vi) the level of theSub-Advisers’ profitability from their Fund-related operations; (vii) theSub-Advisers’ compliance programs, including a description of material compliance matters and material compliance violations; (viii) theSub-Advisers’ policies on and compliance procedures for personal securities transactions; (ix) theSub-Advisers’ expertise and resources in domestic and/or international financial markets; and (x) the Funds’ performance over various periods of time.
At the September 10–12, 2018 and December 4–5, 2018 meetings of the Board, the Trustees, including a majority of the Independent Trustees, initially approved certainSub-Advisory Agreements, or, if theSub-Advisory Agreement was already in effect (unless operating under an initialtwo-year term), renewed theSub-Advisory Agreement. In each case, the Board’s approval (or renewal) was based on its consideration and evaluation of the factors described above, as discussed at the meetings and at prior meetings. The following discusses some, but not all, of the factors that were considered by the Board in connection with its assessment of theSub-Advisory Agreements.
Nature, Extent and Quality of Services. The Board considered the nature, extent and quality of the services provided by theSub-Advisers to the Funds and the resources of theSub-Advisers and their affiliates dedicated to the Funds. In this regard, the Trustees evaluated, among other things, eachSub-Adviser’s personnel, experience,
New Covenant Funds / Semi-Annual Report / December 31, 2018 | 43 |
BOARD OF TRUSTEES CONSIDERATIONS IN APPROVING THE ADVISORY ANDSUB-ADVISORY AGREEMENTS (UNAUDITED) (Concluded)
track record and compliance program. Following evaluation, the Board concluded that, within the context of its full deliberations, the nature, extent and quality of services provided by theSub-Advisers to the Funds and the resources of theSub-Advisers and their affiliates dedicated to the Funds were sufficient to support the renewal of theSub-Advisory Agreements.
Performance. In determining whether to renew theSub-Advisory Agreements, the Trustees reviewed performance information for each Fund, noting that they receive performance reports that permit them to monitor each Fund’s performance at board meetings throughout the year. Based on the materials considered and discussed at the meetings, the Trustees found Fund performance satisfactory, or, where performance was materially below the benchmark, the Trustees were satisfied with the reasons provided to explain such performance. In connection with the approval or renewal ofSub-Advisory Agreements, the Board considered the performance of theSub-Adviser relative to appropriate indexes/benchmarks. Following evaluation, the Board concluded that, within the context of its full deliberations, the performance of eachSub-Adviser was sufficient to support approval or renewal of theSub-Advisory Agreement.
Fees.With respect to the Funds’ expenses under theSub-Advisory Agreements, the Trustees considered the rate of compensation called for by theSub-Advisory Agreements and the Funds’ net operating expense ratio, noting that they receive reports that permit them to evaluate each Fund’s fees at board meetings throughout the year. Based on the materials considered and discussion at the meetings, the Trustees further determined that there was a reasonable basis for the fee level. When considering fees paid toSub-Advisers, the Board took into account the fact that theSub-Advisers are compensated by SIMC and not by the Funds directly, and that such compensation with respect to any unaffiliatedSub-Adviser reflects an arms-length negotiation between theSub-Adviser and SIMC. Following evaluation, the Board concluded that, within the context of its full deliberations, the expenses of the Funds are reasonable and supported renewal of theSub-Advisory Agreements. The Board also considered whether theSub-Advisers and their affiliates may have realized other benefits from their relationship with the Funds, such as any research and brokerage services received under soft dollar arrangements.
Profitability. With regard to profitability, the Trustees considered compensation flowing to theSub-Advisers and their affiliates, directly or indirectly. The Trustees considered whether the levels of compensation and profitability were reasonable. As with the fee levels, when considering the profitability of theSub-Advisers, the Board took into account the fact that compensation with respect to any unaffiliatedSub-Adviser reflects an arms-length negotiation between theSub-Adviser and SIMC. In connection with the approval or renewal of eachSub-Advisory Agreement, the Board also took into consideration the impact that the fees paid to theSub-Adviser have on SIMC’s advisory fee margin and profitability. Based on this evaluation, the Board concluded that, within the context of its full deliberations, the profitability of each of theSub-Advisers is reasonable and supported renewal of theSub-Advisory Agreements.
Economies of Scale. The Trustees considered whether any economies of scale were being realized by theSub-Advisers and their affiliates and, if so, whether the benefits of such economies of scale were passed along to the Funds’ shareholders. The Trustees recognized that economies of scale are difficult to identify and quantify and are rarely identifiable on afund-by-fund basis. Based on this evaluation, the Board determined that the fees were reasonable in light of the information that was provided by SIMC and theSub-Advisers with respect to economies of scale.
Based on the Trustees’ deliberation and their evaluation of the information described above, the Board, including all of the Independent Trustees, with the assistance of Fund counsel and Independent Trustees’ counsel, unanimously approved the approval or renewal, as applicable, of theSub-Advisory Agreements and concluded that the compensation under theSub-Advisory Agreements is fair and reasonable in light of such services and expenses and such other matters as the Trustees considered to be relevant in the exercise of their reasonable judgment. In the course of its deliberations, the Board did not identify any particular factor (or conclusion with respect thereto) or single piece of information that wasall-important, controlling or determinative of its decision, but considered all of the factors together, and each Trustee may have attributed different weights to the various factors (and conclusions with respect thereto) and information.
44 | New Covenant Funds / Semi-Annual Report / December 31, 2018 |
New Covenant Funds / Semi-Annual Report / December 31, 2018
Robert A. Nesher,Chairman
Trustees
William M. Doran
George J. Sullivan, Jr.
Nina Lesavoy
James M. Williams
Mitchell A. Johnson
Hubert L. Harris, Jr.
Susan C. Cote
James B. Taylor
Officers
Robert A. Nesher
President and Chief Executive Officer
James J. Hoffmayer
Controller and Chief Financial Officer
Glenn R. Kurdziel
Assistant Controller
Russell Emery
Chief Compliance Officer
Timothy D. Barto
Vice President, Secretary
Aaron Buser
Vice President, Assistant Secretary
David F. McCann
Vice President, Assistant Secretary
Stephen G. MacRae
Vice President
Bridget E. Sudall
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
New Covenant Fund
877-835-4531
![]() |
NCF-F-004 (12/18)
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. | 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 forClosed-End Management Investment Companies. |
Not applicable.
Item 8. | Portfolio Managers ofClosed-End Management Investment Companies |
Not applicable.
Item 9. | Purchases of Equity Securities byClosed-End Management Company and Affiliated Purchasers. |
Not applicable.
Item 10. | Submission of Matters to a Vote of Security Holders. |
There have been no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees (the “Board”). 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 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 Rule30a-3(c) under the Act (17 CFR270.30a-3(c)) are effective, based on the evaluation of these controls and procedures required by Rule30a-3(b) under the Act and Rules13a-15(b) or15d-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 Rule30a-3(d) under the Act (17 CFR270.30a-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.
Item 12. | Disclosure of Securities Lending Activities forClosed-End Management Investment Companies. |
Not applicable.
Item 13. | Exhibits. |
(a)(1) Code of Ethics attached hereto.
(a)(2) A separate certification of each principal executive officer and principal financial officer of the Registrant as required by Rule30a-2(a) under the 1940 Act, as amended (17 CFR270.30a-2(a)), are filed herewith.
(b) Officer certifications as required by Rule30a-2(b) under the 1940 Act, as amended (17 CFR270.30a-2(b)) also accompany this filing as an exhibit.
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, 2019
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, 2019
By | /s/ James J. Hoffmayer | |||||
James J. Hoffmayer | ||||||
Controller & CFO |
Date: March 8, 2019