ABBREVIATIONS AND FOOTNOTES
ABBREVIATIONS AND FOOTNOTES
2
MYDESTINATION 2015 FUND
For the Fund’s Valuation Hierarchy
(a summary of the inputs used in valuing the Fund’s investments carried at fair value) at June 30, 2023, see Schedule of Investments in the Fund’s Semi-Annual Report.
MYDESTINATION 2025 FUND
For the Fund’s Valuation Hierarchy
(a summary of the inputs used in valuing the Fund’s investments carried at fair value) at June 30, 2023, see Schedule of Investments in the Fund’s Semi-Annual Report.
4
MYDESTINATION 2035 FUND
For the Fund’s Valuation Hierarchy
(a summary of the inputs used in valuing the Fund’s investments carried at fair value) at June 30, 2023, see Schedule of Investments in the Fund’s Semi-Annual Report.
MYDESTINATION 2045 FUND
For the Fund’s Valuation Hierarchy
(a summary of the inputs used in valuing the Fund’s investments carried at fair value) at June 30, 2023, see Schedule of Investments in the Fund’s Semi-Annual Report.
6
MYDESTINATION 2055 FUND
Futures Contracts outstanding at September
30, 2023:
Future Type | Expiration Date | Open
Long (Short) Contracts |
Notional
Market Value of Contracts |
Value
and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index | 12/2023 | 2 | $ 204,150 | $ (60) | ||||
MSCI Emerging Markets | 12/2023 | 1 | 47,775 | — | ||||
S&P 500® E-Mini | 12/2023 | 4 | 865,100 | 237 | ||||
10-Year U.S. Treasury Note | 12/2023 | 1 | 108,063 | 16 | ||||
Total Futures Contracts outstanding at September 30, 2023 | $1,225,088 | $193 |
For the
Fund’s Valuation Hierarchy (a summary of the inputs used in valuing the Fund’s investments carried at fair value) at June 30, 2023, see Schedule of Investments in the Fund’s Semi-Annual Report.
CONSERVATIVE ALLOCATION FUND
For the Fund’s Valuation Hierarchy
(a summary of the inputs used in valuing the Fund’s investments carried at fair value) at June 30, 2023, see Schedule of Investments in the Fund’s Semi-Annual Report.
8
BALANCED ALLOCATION FUND
Futures Contracts outstanding at September
30, 2023:
Future Type | Expiration Date | Open
Long (Short) Contracts |
Notional
Market Value of Contracts |
Value
and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index | 12/2023 | 21 | $ 2,143,575 | $ (28,605) | ||||
MSCI Emerging Markets | 12/2023 | 18 | 859,950 | (13,135) | ||||
S&P 500® E-Mini | 12/2023 | 21 | 4,541,775 | (86,447) | ||||
10-Year U.S. Treasury Note | 12/2023 | 8 | 864,500 | (8,290) | ||||
U.S. Treasury Long Bond | 12/2023 | 7 | 796,469 | (17,938) | ||||
Ultra 10-Year U.S. Treasury Note | 12/2023 | 7 | 780,938 | (2,766) | ||||
Ultra Long U.S. Treasury Bond | 12/2023 | 5 | 593,438 | (17,406) | ||||
2-Year U.S. Treasury Note | 12/2023 | 9 | 1,824,398 | (2,693) | ||||
5-Year U.S. Treasury Note | 12/2023 | 17 | 1,791,109 | (5,281) | ||||
Total Futures Contracts outstanding at September 30, 2023 | $14,196,152 | $(182,561) |
For the
Fund’s Valuation Hierarchy (a summary of the inputs used in valuing the Fund’s investments carried at fair value) at June 30, 2023, see Schedule of Investments in the Fund’s Semi-Annual Report.
GROWTH ALLOCATION FUND
Futures Contracts outstanding at September
30, 2023:
Future Type | Expiration Date | Open
Long (Short) Contracts |
Notional
Market Value of Contracts |
Value
and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index | 12/2023 | 24 | $ 2,449,800 | $ (27,827) | ||||
MSCI Emerging Markets | 12/2023 | 21 | 1,003,275 | (9,713) | ||||
S&P 500® E-Mini | 12/2023 | 23 | 4,974,325 | (75,080) | ||||
10-Year U.S. Treasury Note | 12/2023 | 3 | 324,188 | (172) | ||||
U.S. Treasury Long Bond | 12/2023 | 2 | 227,563 | (1,438) | ||||
Ultra 10-Year U.S. Treasury Note | 12/2023 | 2 | 223,125 | (3,059) | ||||
Ultra Long U.S. Treasury Bond | 12/2023 | 2 | 237,375 | (7,411) | ||||
2-Year U.S. Treasury Note | 12/2023 | 3 | 608,133 | 125 | ||||
5-Year U.S. Treasury Note | 12/2023 | 6 | 632,156 | (951) | ||||
Total Futures Contracts outstanding at September 30, 2023 | $10,679,940 | $(125,526) |
For the
Fund’s Valuation Hierarchy (a summary of the inputs used in valuing the Fund’s investments carried at fair value) at June 30, 2023, see Schedule of Investments in the Fund’s Semi-Annual Report.
10
AGGRESSIVE ALLOCATION FUND
Futures Contracts outstanding at September
30, 2023:
Future Type | Expiration Date | Open
Long (Short) Contracts |
Notional
Market Value of Contracts |
Value
and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index | 12/2023 | 18 | $1,837,350 | $ (41,205) | ||||
MSCI Emerging Markets | 12/2023 | 17 | 812,175 | (16,409) | ||||
S&P 500® E-Mini | 12/2023 | 20 | 4,325,500 | (95,853) | ||||
Total Futures Contracts outstanding at September 30, 2023 | $6,975,025 | $(153,467) |
For the
Fund’s Valuation Hierarchy (a summary of the inputs used in valuing the Fund’s investments carried at fair value) at June 30, 2023, see Schedule of Investments in the Fund’s Semi-Annual Report.
LOW-DURATION BOND FUND
12
LOW-DURATION BOND FUND
SCHEDULE OF
INVESTMENTS (Continued)
14
LOW-DURATION BOND FUND
SCHEDULE OF
INVESTMENTS (Continued)
16
LOW-DURATION BOND FUND
SCHEDULE OF
INVESTMENTS (Continued)
18
LOW-DURATION BOND FUND
SCHEDULE OF
INVESTMENTS (Continued)
20
LOW-DURATION BOND FUND
SCHEDULE OF
INVESTMENTS (Continued)
22
LOW-DURATION BOND FUND
SCHEDULE OF
INVESTMENTS (Continued)
24
LOW-DURATION BOND FUND
SCHEDULE OF
INVESTMENTS (Continued)
26
LOW-DURATION BOND FUND
SCHEDULE OF
INVESTMENTS (Continued)
28
LOW-DURATION BOND FUND
SCHEDULE OF
INVESTMENTS (Continued)
30
LOW-DURATION BOND FUND
SCHEDULE OF
INVESTMENTS (Continued)
32
LOW-DURATION BOND FUND
SCHEDULE OF
INVESTMENTS (Continued)
34
LOW-DURATION BOND FUND
SCHEDULE OF
INVESTMENTS (Continued)
36
LOW-DURATION BOND FUND
SCHEDULE OF
INVESTMENTS (Continued)
Futures Contracts outstanding at September
30, 2023:
Future Type | Expiration Date | Open
Long (Short) Contracts |
Notional
Market Value of Contracts |
Value
and Unrealized Appreciation (Depreciation) | ||||
Euro-Bobl | 12/2023 | (25) | $ (3,059,417) | $ 31,509 | ||||
Euro-Bund | 12/2023 | (2) | (272,009) | 7,746 | ||||
Euro-Schatz | 12/2023 | (25) | (2,775,017) | 7,539 | ||||
10-Year Japanese Treasury Bond | 12/2023 | (3) | (2,910,064) | 26,235 | ||||
10-Year U.S. Treasury Note | 12/2023 | 9 | 972,562 | 3,493 | ||||
U.S. Treasury Long Bond | 12/2023 | (21) | (2,389,406) | 136,826 | ||||
Ultra 10-Year U.S. Treasury Note | 12/2023 | (284) | (31,683,751) | 783,576 | ||||
Ultra Long U.S. Treasury Bond | 12/2023 | (17) | (2,017,688) | 141,910 | ||||
2-Year U.S. Treasury Note | 12/2023 | 1,732 | 351,095,344 | (1,060,874) | ||||
5-Year U.S. Treasury Note | 12/2023 | (676) | (71,222,937) | 559,463 | ||||
3-Month CME SOFR | 03/2025 | (110) | (26,237,750) | 82,746 | ||||
Total Futures Contracts outstanding at September 30, 2023 | $209,499,867 | $ 720,169 |
Forward Foreign Currency Contracts
outstanding at September 30, 2023:
Expiration Date | Currency
Purchased |
Amount
of Currency Purchased |
Currency
Sold |
Amount
of Currency Sold |
Counter-
party |
Net
Unrealized Appreciation (Depreciation) | ||||||
10/03/23 | U.S. Dollars | 7,024,707 | British Pounds | 5,584,000 | HSBC | $211,538 | ||||||
11/06/23 | U.S. Dollars | 2,843,706 | Japanese Yen | 400,000,000 | BAR | 149,665 | ||||||
12/20/23 | U.S. Dollars | 5,573,281 | Euro | 5,202,329 | UBS | 51,150 |
38
Expiration Date | Currency
Purchased |
Amount
of Currency Purchased |
Currency
Sold |
Amount
of Currency Sold |
Counter-
party |
Net
Unrealized Appreciation (Depreciation) | ||||||
12/20/23 | U.S. Dollars | 3,181,510 | Euro | 2,968,671 | TD | $ 30,347 | ||||||
12/20/23 | U.S. Dollars | 647,740 | Euro | 600,000 | WB | 10,856 | ||||||
10/27/23 | U.S. Dollars | 1,111,566 | Canadian Dollars | 1,500,000 | HSBC | 6,777 | ||||||
11/02/23 | U.S. Dollars | 1,278,569 | Canadian Dollars | 1,728,171 | HSBC | 5,618 | ||||||
11/15/23 | U.S. Dollars | 137,448 | Australian Dollars | 209,000 | UBS | 2,853 | ||||||
10/03/23 | U.S. Dollars | 1,654,225 | Canadian Dollars | 2,242,881 | UBS | 2,852 | ||||||
12/20/23 | U.S. Dollars | 328,083 | Canadian Dollars | 442,000 | TD | 2,223 | ||||||
Subtotal Appreciation | $ 473,879 | |||||||||||
11/02/23 | Japanese Yen | 185,421,225 | U.S. Dollars | 1,249,517 | MSCS | $ (1,432) | ||||||
11/15/23 | Australian Dollars | 1,681,000 | U.S. Dollars | 1,084,721 | BAR | (2,167) | ||||||
10/03/23 | Canadian Dollars | 514,000 | U.S. Dollars | 380,699 | JPM | (2,255) | ||||||
11/02/23 | Japanese Yen | 293,123,479 | U.S. Dollars | 1,980,900 | DEUT | (7,863) | ||||||
10/03/23 | British Pounds | 1,086,000 | U.S. Dollars | 1,335,066 | BAR | (10,012) | ||||||
11/02/23 | U.S. Dollars | 5,471,749 | British Pounds | 4,498,000 | BNP | (17,390) | ||||||
10/03/23 | Japanese Yen | 200,888,732 | U.S. Dollars | 1,383,303 | UBS | (38,294) | ||||||
10/03/23 | Japanese Yen | 279,447,178 | U.S. Dollars | 1,918,421 | HSBC | (47,441) | ||||||
Subtotal Depreciation | $(126,854) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at September 30, 2023 | $ 347,025 |
Swap Agreements outstanding at September 30,
2023:
Reference Obligation | Fixed
Deal (Pay) Rate |
Maturity
Date |
Currency | Notional
Amount |
Market Value | Upfront
Premiums Paid/ (Received) |
Unrealized
Appreciation (Depreciation) | |||||||
Centrally Cleared Credit Default Swaps on Credit Indexes—Buy Protection | ||||||||||||||
Markit CDX.NA.IG.41 Index (Pay Quarterly) | (1.00)% | 12/20/2028 | USD | 28,290,000 | $(353,632) | $(378,769) | $25,137 | |||||||
Subtotal Appreciation | $(353,632) | $(378,769) | $25,137 | |||||||||||
Markit CDX.NA.IG.40 Index (Pay Quarterly) | (1.00)% | 6/20/2028 | USD | 900,000 | $ (12,374) | $ (4,983) | $ (7,391) | |||||||
Subtotal Depreciation | $ (12,374) | $ (4,983) | $ (7,391) | |||||||||||
Net Centrally Cleared Credit Default Swaps on Credit Indexes—Buy Protection outstanding at September 30, 2023 | $(366,006) | $(383,752) | $17,746 |
Pay Rate Index/Pay Rate | Receive
Rate Index/Receive Rate |
Maturity
Date |
Currency | Notional
Amount |
Market Value | Upfront
Premiums Paid/ (Received) |
Unrealized
Appreciation (Depreciation) | |||||||
Centrally Cleared Interest Rate Swaps | ||||||||||||||
6-Month ASX BBSW (Semiannually) | 4.50% (Semiannually) | 9/20/2033 | AUD | 4,300,000 | $(55,281) | $(25,829) | $(29,452) | |||||||
$(55,281) | $(25,829) | $(29,452) |
For the Fund’s
Valuation Hierarchy (a summary of the inputs used in valuing the Fund’s investments carried at fair value) at June 30, 2023, see Schedule of Investments in the Fund’s Semi-Annual Report.
MEDIUM-DURATION BOND FUND
40
MEDIUM-DURATION BOND FUND
SCHEDULE OF
INVESTMENTS (Continued)
42
MEDIUM-DURATION BOND FUND
SCHEDULE OF
INVESTMENTS (Continued)
44
MEDIUM-DURATION BOND FUND
SCHEDULE OF
INVESTMENTS (Continued)
46
MEDIUM-DURATION BOND FUND
SCHEDULE OF
INVESTMENTS (Continued)
48
MEDIUM-DURATION BOND FUND
SCHEDULE OF
INVESTMENTS (Continued)
50
MEDIUM-DURATION BOND FUND
SCHEDULE OF
INVESTMENTS (Continued)
52
MEDIUM-DURATION BOND FUND
SCHEDULE OF
INVESTMENTS (Continued)
54
MEDIUM-DURATION BOND FUND
SCHEDULE OF
INVESTMENTS (Continued)
56
MEDIUM-DURATION BOND FUND
SCHEDULE OF
INVESTMENTS (Continued)
58
MEDIUM-DURATION BOND FUND
SCHEDULE OF
INVESTMENTS (Continued)
60
MEDIUM-DURATION BOND FUND
SCHEDULE OF
INVESTMENTS (Continued)
62
MEDIUM-DURATION BOND FUND
SCHEDULE OF
INVESTMENTS (Continued)
64
MEDIUM-DURATION BOND FUND
SCHEDULE OF
INVESTMENTS (Continued)
66
MEDIUM-DURATION BOND FUND
SCHEDULE OF
INVESTMENTS (Continued)
68
MEDIUM-DURATION BOND FUND
SCHEDULE OF
INVESTMENTS (Continued)
70
MEDIUM-DURATION BOND FUND
SCHEDULE OF
INVESTMENTS (Continued)
72
MEDIUM-DURATION BOND FUND
SCHEDULE OF
INVESTMENTS (Continued)
74
MEDIUM-DURATION BOND FUND
SCHEDULE OF
INVESTMENTS (Continued)
76
MEDIUM-DURATION BOND FUND
SCHEDULE OF
INVESTMENTS (Continued)
78
MEDIUM-DURATION BOND FUND
SCHEDULE OF
INVESTMENTS (Continued)
80
MEDIUM-DURATION BOND FUND
SCHEDULE OF
INVESTMENTS (Continued)
82
MEDIUM-DURATION BOND FUND
SCHEDULE OF
INVESTMENTS (Continued)
84
MEDIUM-DURATION BOND FUND
SCHEDULE OF
INVESTMENTS (Continued)
86
MEDIUM-DURATION BOND FUND
SCHEDULE OF
INVESTMENTS (Continued)
88
MEDIUM-DURATION BOND FUND
SCHEDULE OF
INVESTMENTS (Continued)
90
MEDIUM-DURATION BOND FUND
SCHEDULE OF
INVESTMENTS (Continued)
92
MEDIUM-DURATION BOND FUND
SCHEDULE OF
INVESTMENTS (Continued)
94
MEDIUM-DURATION BOND FUND
SCHEDULE OF
INVESTMENTS (Continued)
Futures Contracts outstanding at September 30,
2023:
Future Type | Expiration Date | Open
Long (Short) Contracts |
Notional
Market Value of Contracts |
Value
and Unrealized Appreciation (Depreciation) | ||||
30-Year Euro Buxl | 12/2023 | (11) | $ (1,423,016) | $ 108,326 | ||||
Euro-Bobl | 12/2023 | (72) | (8,811,122) | 20,743 | ||||
Euro-Bund | 12/2023 | (195) | (26,520,907) | 623,085 | ||||
Euro-OAT | 12/2023 | 26 | 3,386,584 | (85,275) | ||||
10-Year Japanese Treasury Bond | 12/2023 | (23) | (22,310,492) | 169,499 | ||||
10-Year U.S. Treasury Note | 12/2023 | (473) | (51,113,563) | 940,402 | ||||
U.S. Treasury Long Bond | 12/2023 | (416) | (47,333,000) | 2,628,750 | ||||
Ultra 10-Year U.S. Treasury Note | 12/2023 | 73 | 8,144,062 | (620,031) | ||||
Ultra Long U.S. Treasury Bond | 12/2023 | 740 | 87,828,751 | (3,856,968) | ||||
Long GILT | 12/2023 | 25 | 2,872,115 | 12,427 | ||||
2-Year U.S. Treasury Note | 12/2023 | 449 | 91,017,211 | (202,347) | ||||
5-Year U.S. Treasury Note | 12/2023 | 617 | 65,006,734 | (455,441) | ||||
3-Month CME SOFR | 03/2024 | (221) | (52,238,875) | 351,005 | ||||
3-Month SONIA Index | 12/2024 | 53 | 15,345,885 | 180,086 | ||||
3-Month CME SOFR | 03/2025 | 159 | 37,925,475 | (164,271) | ||||
3-Month CME SOFR | 03/2026 | 397 | 95,324,662 | (46,118) | ||||
Total Futures Contracts outstanding at September 30, 2023 | $197,100,504 | $ (396,128) |
Forward Foreign Currency Contracts outstanding at
September 30, 2023:
Expiration Date | Currency
Purchased |
Amount
of Currency Purchased |
Currency
Sold |
Amount
of Currency Sold |
Counter-
party |
Net
Unrealized Appreciation (Depreciation) | ||||||
10/30/23 | U.S. Dollars | 32,634,927 | Japanese Yen | 4,510,000,000 | HSBC | $2,291,385 | ||||||
10/03/23 | U.S. Dollars | 19,638,736 | British Pounds | 15,611,000 | HSBC | 591,390 | ||||||
10/03/23 | U.S. Dollars | 14,068,444 | Euro | 13,012,000 | HSBC | 309,752 | ||||||
10/20/23 | U.S. Dollars | 4,210,593 | British Pounds | 3,256,669 | GSC | 236,625 | ||||||
10/20/23 | U.S. Dollars | 4,801,377 | Chinese Offshore Yuan | 34,310,131 | GSC | 96,244 | ||||||
12/20/23 | U.S. Dollars | 5,999,017 | Euro | 5,572,175 | BNP | 84,304 | ||||||
12/20/23 | U.S. Dollars | 3,256,797 | British Pounds | 2,614,393 | CITI | 65,036 | ||||||
01/03/24 | U.S. Dollars | 14,803,498 | Brazilian Reals | 75,000,000 | GSC | 56,085 | ||||||
11/27/23 | U.S. Dollars | 1,936,927 | Japanese Yen | 279,000,000 | BAR | 51,935 | ||||||
12/20/23 | U.S. Dollars | 2,407,044 | Taiwan Dollars | 76,048,927 | JPM | 35,486 | ||||||
12/20/23 | U.S. Dollars | 2,219,233 | Japanese Yen | 321,884,136 | MSCS | 35,219 | ||||||
12/20/23 | U.S. Dollars | 1,628,608 | British Pounds | 1,306,753 | BNP | 33,269 | ||||||
10/17/23 | U.S. Dollars | 827,328 | South African Rand | 15,066,222 | DEUT | 32,810 | ||||||
10/20/23 | Norwegian Kroner | 26,657,844 | Euro | 2,329,132 | GSC | 29,028 | ||||||
11/02/23 | U.S. Dollars | 13,356,916 | Euro | 12,589,000 | BNP | 28,434 | ||||||
11/02/23 | U.S. Dollars | 6,463,979 | Canadian Dollars | 8,737,004 | HSBC | 28,402 | ||||||
10/20/23 | U.S. Dollars | 4,446,206 | Mexican Pesos | 77,271,504 | GSC | 27,761 | ||||||
12/20/23 | U.S. Dollars | 1,786,700 | Euro | 1,662,132 | MSCS | 22,392 | ||||||
10/20/23 | U.S. Dollars | 1,981,660 | Indonesian Rupiahs | 30,380,036,210 | CITI | 18,502 | ||||||
12/20/23 | U.S. Dollars | 1,249,064 | South Korean Won | 1,657,492,802 | MSCS | 18,213 | ||||||
10/03/23 | U.S. Dollars | 559,334 | Brazilian Reals | 2,721,721 | GSC | 18,101 | ||||||
12/20/23 | Euro | 1,282,000 | Swiss Francs | 1,217,714 | SS | 17,933 | ||||||
10/16/23 | U.S. Dollars | 1,057,106 | Euro | 983,000 | BAR | 17,123 | ||||||
10/03/23 | U.S. Dollars | 465,794 | Danish Kroner | 3,186,657 | BNP | 13,998 | ||||||
11/20/23 | U.S. Dollars | 1,081,005 | Taiwan Dollars | 34,260,291 | BAR | 13,882 | ||||||
12/20/23 | U.S. Dollars | 1,383,000 | Swiss Francs | 1,241,628 | SS | 13,752 | ||||||
12/20/23 | Norwegian Kroner | 7,251,389 | British Pounds | 546,000 | UBS | 12,909 | ||||||
12/20/23 | Euro | 1,256,000 | Swiss Francs | 1,197,625 | DEUT | 12,489 |
96
Expiration Date | Currency
Purchased |
Amount
of Currency Purchased |
Currency
Sold |
Amount
of Currency Sold |
Counter-
party |
Net
Unrealized Appreciation (Depreciation) | ||||||
12/20/23 | U.S. Dollars | 1,380,393 | Euro | 1,289,000 | DEUT | $ 12,154 | ||||||
10/03/23 | U.S. Dollars | 6,446,577 | Canadian Dollars | 8,740,592 | UBS | 11,115 | ||||||
12/20/23 | U.S. Dollars | 499,923 | Peruvian Nuevo Soles | 1,860,813 | BNP | 10,790 | ||||||
12/20/23 | Canadian Dollars | 1,853,000 | Swiss Francs | 1,230,851 | SS | 8,741 | ||||||
03/26/24 | U.S. Dollars | 3,065,826 | Chinese Offshore Yuan | 22,091,732 | DEUT | 7,527 | ||||||
12/20/23 | U.S. Dollars | 520,781 | Taiwan Dollars | 16,463,971 | BAR | 7,358 | ||||||
12/20/23 | U.S. Dollars | 468,205 | South Korean Won | 620,990,724 | BNP | 7,059 | ||||||
12/20/23 | Australian Dollars | 3,824,000 | Swiss Francs | 2,229,606 | CITI | 7,027 | ||||||
12/06/23 | U.S. Dollars | 515,406 | Euro | 481,185 | CITI | 5,107 | ||||||
10/17/23 | U.S. Dollars | 259,564 | South African Rand | 4,837,289 | GSC | 4,469 | ||||||
10/20/23 | U.S. Dollars | 110,125 | Euro | 100,000 | GSC | 4,310 | ||||||
12/20/23 | U.S. Dollars | 278,454 | South Korean Won | 369,274,329 | DEUT | 4,232 | ||||||
12/20/23 | Swedish Kronor | 2,167,281 | U.S. Dollars | 195,418 | SS | 3,807 | ||||||
12/20/23 | Canadian Dollars | 933,500 | Swiss Francs | 620,678 | CITI | 3,740 | ||||||
11/02/23 | Australian Dollars | 547,293 | U.S. Dollars | 349,157 | BAR | 3,155 | ||||||
12/20/23 | U.S. Dollars | 186,717 | South Korean Won | 247,358,947 | UBS | 3,029 | ||||||
03/26/24 | U.S. Dollars | 804,536 | Chinese Offshore Yuan | 5,790,254 | BNP | 2,954 | ||||||
11/02/23 | Australian Dollars | 1,553,626 | U.S. Dollars | 997,541 | MSCS | 2,582 | ||||||
12/20/23 | U.S. Dollars | 1,076,765 | Euro | 1,012,000 | CITI | 2,554 | ||||||
10/20/23 | U.S. Dollars | 363,786 | Canadian Dollars | 490,925 | CITI | 2,243 | ||||||
11/02/23 | U.S. Dollars | 200,866 | Canadian Dollars | 269,701 | BAR | 2,208 | ||||||
12/20/23 | U.S. Dollars | 164,003 | Taiwan Dollars | 5,189,721 | MSCS | 2,164 | ||||||
10/03/23 | Australian Dollars | 1,379,748 | U.S. Dollars | 885,083 | UBS | 2,126 | ||||||
03/26/24 | U.S. Dollars | 948,756 | Chinese Offshore Yuan | 6,842,062 | MSCS | 1,566 | ||||||
10/17/23 | South African Rand | 2,916,149 | U.S. Dollars | 152,218 | GSC | 1,565 | ||||||
12/20/23 | Indian Rupees | 53,387,181 | U.S. Dollars | 638,851 | JPM | 969 | ||||||
03/26/24 | U.S. Dollars | 820,714 | Chinese Offshore Yuan | 5,921,616 | GSC | 947 | ||||||
12/20/23 | New Zealand Dollars | 1,125,653 | Australian Dollars | 1,045,000 | UBS | 844 | ||||||
10/16/23 | U.S. Dollars | 100,000 | Taiwan Dollars | 3,201,164 | BNP | 511 | ||||||
12/20/23 | U.S. Dollars | 516,818 | British Pounds | 423,067 | BOA | 320 | ||||||
12/20/23 | Australian Dollars | 43,183 | U.S. Dollars | 27,746 | MSCS | 99 | ||||||
11/06/23 | U.S. Dollars | 102,639 | South Korean Won | 138,471,194 | BNP | 54 | ||||||
12/20/23 | U.S. Dollars | 1,194 | Taiwan Dollars | 37,740 | BNP | 17 | ||||||
10/20/23 | British Pounds | 498,801 | U.S. Dollars | 608,652 | CITI | 13 | ||||||
Subtotal Appreciation | $4,339,815 | |||||||||||
12/20/23 | South Korean Won | 234,918 | U.S. Dollars | 177 | UBS | $ (3) | ||||||
11/06/23 | U.S. Dollars | 97,361 | South Korean Won | 131,449,515 | BNP | (22) | ||||||
10/31/23 | Indonesian Rupiahs | 1,548,092,200 | U.S. Dollars | 100,000 | BNP | (29) | ||||||
10/16/23 | U.S. Dollars | 28,393 | Mexican Pesos | 496,839 | GSC | (37) | ||||||
11/21/23 | U.S. Dollars | 117,357 | South African Rand | 2,233,593 | MSCS | (58) | ||||||
12/20/23 | U.S. Dollars | 27,731 | Australian Dollars | 43,183 | SS | (114) | ||||||
10/20/23 | Chinese Offshore Yuan | 6,639,109 | U.S. Dollars | 910,581 | CITI | (125) | ||||||
10/20/23 | U.S. Dollars | 2,126,516 | Japanese Yen | 316,667,959 | CITI | (202) | ||||||
03/20/24 | Indonesian Rupiahs | 1,542,319,310 | U.S. Dollars | 99,801 | BAR | (390) | ||||||
03/20/24 | Indonesian Rupiahs | 1,458,066,897 | U.S. Dollars | 94,563 | GSC | (582) | ||||||
10/03/23 | Australian Dollars | 351,278 | U.S. Dollars | 226,672 | MSCS | (792) | ||||||
10/20/23 | Euro | 459,327 | Norwegian Kroner | 5,206,753 | CITI | (1,007) | ||||||
11/02/23 | U.S. Dollars | 450,411 | Danish Kroner | 3,180,755 | JPM | (1,273) | ||||||
10/03/23 | Australian Dollars | 369,893 | U.S. Dollars | 239,184 | UBS | (1,334) | ||||||
12/20/23 | U.S. Dollars | 1,227,053 | Norwegian Kroner | 13,111,339 | DEUT | (1,539) | ||||||
03/20/24 | Indonesian Rupiahs | 3,078,058,794 | U.S. Dollars | 199,982 | DEUT | (1,582) | ||||||
12/20/23 | Euro | 1,296,000 | Japanese Yen | 202,992,078 | DEUT | (1,651) | ||||||
12/20/23 | U.S. Dollars | 590,270 | Euro | 558,284 | JPM | (2,333) | ||||||
10/03/23 | U.S. Dollars | 996,496 | Australian Dollars | 1,553,626 | MSCS | (2,521) | ||||||
12/20/23 | U.S. Dollars | 416,927 | New Zealand Dollars | 700,106 | CITI | (2,696) |
MEDIUM-DURATION BOND FUND
SCHEDULE OF
INVESTMENTS (Continued)
Expiration Date | Currency
Purchased |
Amount
of Currency Purchased |
Currency
Sold |
Amount
of Currency Sold |
Counter-
party |
Net
Unrealized Appreciation (Depreciation) | ||||||
12/20/23 | Japanese Yen | 200,495,274 | U.S. Dollars | 1,364,000 | BNP | $ (3,621) | ||||||
10/20/23 | Australian Dollars | 150,776 | U.S. Dollars | 100,640 | GSC | (3,625) | ||||||
11/03/23 | Brazilian Reals | 2,985,407 | U.S. Dollars | 594,691 | MSCS | (3,629) | ||||||
12/20/23 | Indian Rupees | 182,482,873 | U.S. Dollars | 2,190,758 | JPM | (3,788) | ||||||
12/20/23 | Canadian Dollars | 712,100 | U.S. Dollars | 528,911 | SS | (3,923) | ||||||
11/01/23 | Mexican Pesos | 5,048,000 | U.S. Dollars | 292,295 | GSC | (4,249) | ||||||
10/03/23 | Euro | 423,000 | U.S. Dollars | 451,599 | BNP | (4,326) | ||||||
03/20/24 | Indonesian Rupiahs | 6,126,385,905 | U.S. Dollars | 399,764 | BNP | (4,882) | ||||||
12/20/23 | U.S. Dollars | 1,379,090 | Euro | 1,304,000 | UBS | (5,071) | ||||||
12/20/23 | Canadian Dollars | 942,627 | U.S. Dollars | 701,000 | UBS | (6,058) | ||||||
12/20/23 | U.S. Dollars | 1,317,609 | New Zealand Dollars | 2,210,000 | SS | (7,000) | ||||||
12/20/23 | Norwegian Kroner | 13,778,595 | U.S. Dollars | 1,298,123 | UBS | (7,006) | ||||||
12/20/23 | Japanese Yen | 201,469,757 | U.S. Dollars | 1,374,000 | CITI | (7,009) | ||||||
12/20/23 | Canadian Dollars | 1,521,321 | British Pounds | 925,000 | CITI | (7,701) | ||||||
12/20/23 | U.S. Dollars | 677,783 | New Zealand Dollars | 1,146,000 | UBS | (9,095) | ||||||
12/20/23 | U.S. Dollars | 1,245,210 | Australian Dollars | 1,945,629 | DEUT | (9,374) | ||||||
11/09/23 | Mexican Pesos | 14,375,712 | U.S. Dollars | 828,814 | UBS | (9,637) | ||||||
12/20/23 | U.S. Dollars | 1,800,771 | Canadian Dollars | 2,455,971 | MSCS | (9,867) | ||||||
12/20/23 | Australian Dollars | 3,252,000 | U.S. Dollars | 2,109,231 | UBS | (12,270) | ||||||
03/20/24 | Indonesian Rupiahs | 25,129,912,037 | U.S. Dollars | 1,632,682 | MSCS | (12,908) | ||||||
12/20/23 | British Pounds | 544,000 | U.S. Dollars | 678,490 | UBS | (14,352) | ||||||
12/20/23 | Japanese Yen | 199,521,712 | U.S. Dollars | 1,375,000 | UBS | (21,227) | ||||||
12/20/23 | Euro | 1,280,000 | U.S. Dollars | 1,381,244 | JPM | (22,559) | ||||||
12/20/23 | Japanese Yen | 97,903,811 | New Zealand Dollars | 1,146,000 | UBS | (22,592) | ||||||
12/20/23 | U.S. Dollars | 1,318,766 | Swedish Kronor | 14,632,466 | MSCS | (26,305) | ||||||
10/03/23 | Brazilian Reals | 2,718,141 | U.S. Dollars | 569,340 | DEUT | (28,818) | ||||||
10/17/23 | South African Rand | 9,647,537 | U.S. Dollars | 540,908 | BNP | (32,145) | ||||||
10/20/23 | Indonesian Rupiahs | 29,921,033,357 | U.S. Dollars | 1,967,415 | CITI | (33,918) | ||||||
11/03/23 | Brazilian Reals | 20,718,950 | U.S. Dollars | 4,145,872 | GSC | (43,856) | ||||||
10/20/23 | Canadian Dollars | 2,434,002 | U.S. Dollars | 1,838,703 | GSC | (46,178) | ||||||
12/20/23 | Japanese Yen | 454,029,307 | U.S. Dollars | 3,133,486 | MSCS | (52,855) | ||||||
12/20/23 | U.S. Dollars | 3,217,256 | New Zealand Dollars | 5,468,187 | RBC | (60,214) | ||||||
11/02/23 | U.S. Dollars | 18,990,547 | British Pounds | 15,611,000 | BNP | (60,356) | ||||||
10/20/23 | Mexican Pesos | 57,494,852 | U.S. Dollars | 3,348,858 | GSC | (61,257) | ||||||
12/14/23 | Mexican Pesos | 63,260,202 | U.S. Dollars | 3,646,523 | GSC | (63,230) | ||||||
12/20/23 | Swiss Francs | 3,482,146 | U.S. Dollars | 3,943,191 | UBS | (103,138) | ||||||
12/20/23 | Swiss Francs | 3,529,967 | U.S. Dollars | 3,997,173 | MSCS | (104,382) | ||||||
10/20/23 | Euro | 2,426,394 | U.S. Dollars | 2,680,353 | GSC | (112,867) | ||||||
11/15/23 | Japanese Yen | 1,224,901,981 | U.S. Dollars | 8,642,473 | UBS | (381,534) | ||||||
10/20/23 | Japanese Yen | 1,575,752,510 | U.S. Dollars | 11,359,599 | GSC | (776,968) | ||||||
Subtotal Depreciation | $(2,222,080) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at September 30, 2023 | $ 2,117,735 |
Swap Agreements outstanding at September 30,
2023:
Reference Obligation | Implied
Credit Spread |
Fixed
Deal Receive Rate |
Maturity
Date |
Currency | Notional
Amount |
Market Value | Upfront
Premiums Paid/ (Received) |
Unrealized
Appreciation (Depreciation) | ||||||||
Centrally Cleared Credit Default Swaps on Corporate and Sovereign Issuers—Sell Protection | ||||||||||||||||
Devon Energy Corporation 7.95% due 4/15/32 (Receive Quarterly) | 0.64% | 1.00% | 6/20/2026 | USD | 2,800,000 | $ 26,698 | $ (26,054) | $ 52,752 | ||||||||
General Electric Co., 2.70% due 10/9/22 (Receive Quarterly) | 0.41% | 1.00% | 6/20/2026 | USD | 2,100,000 | 31,982 | 11,126 | 20,856 |
98
Reference Obligation | Implied
Credit Spread |
Fixed
Deal Receive Rate |
Maturity
Date |
Currency | Notional
Amount |
Market Value | Upfront
Premiums Paid/ (Received) |
Unrealized
Appreciation (Depreciation) | ||||||||
The Boeing Company, 2.6% due 10/30/25 (Receive Quarterly) | 0.60% | 1.00% | 6/20/2026 | USD | 2,400,000 | $ 25,274 | $ (17,161) | $ 42,435 | ||||||||
General Electric Co, 2.7% due 10/9/22 (Receive Quarterly) | 0.46% | 1.00% | 12/20/2026 | USD | 2,600,000 | 42,912 | 29,130 | 13,782 | ||||||||
British Telecommunications 5.75% due 12/7/28 (Receive Quarterly) | 0.92% | 1.00% | 6/20/2028 | EUR | 2,000,000 | 7,898 | (11,393) | 19,291 | ||||||||
General Motors Co., 4.2% due 10/1/27 (Receive Quarterly) | 1.73% | 5.00% | 6/20/2028 | USD | 995,000 | 134,144 | 119,736 | 14,408 | ||||||||
Verizon Communications, 4.125% due 3/16/27 (Receive Quarterly) | 1.02% | 1.00% | 6/20/2028 | USD | 1,400,000 | (695) | (4,067) | 3,372 | ||||||||
British Telecommunications 5.75% due 12/7/28 (Receive Quarterly) | 1.02% | 1.00% | 12/20/2028 | EUR | 2,000,000 | (1,494) | (23,988) | 22,494 | ||||||||
Subtotal Appreciation | $266,719 | $ 77,329 | $189,390 | |||||||||||||
The Boeing Company, 8.75% due 8/15/21 (Receive Quarterly) | 0.36% | 1.00% | 6/20/2024 | USD | 475,000 | $ 2,314 | $ 11,966 | $ (9,652) | ||||||||
General Electric Co, 2.7% due 10/9/22 (Receive Quarterly) | 0.41% | 1.00% | 6/20/2026 | USD | 1,100,000 | 16,752 | 17,601 | (849) | ||||||||
General Motors Co., 4.88% due 10/2/23 (Receive Quarterly) | 1.20% | 5.00% | 12/20/2026 | USD | 870,000 | 98,359 | 175,392 | (77,033) | ||||||||
Republic of Chile, 3.24% 2/6/2028 (Receive Quarterly) | 0.73% | 1.00% | 12/20/2028 | USD | 1,470,000 | 18,813 | 24,766 | (5,953) | ||||||||
Republic of Indonesia, 4.125% 1/15/2025 (Receive Quarterly) | 0.93% | 1.00% | 12/20/2028 | USD | 1,470,000 | 5,270 | 10,180 | (4,910) | ||||||||
Republic of Peru, 8.75% due 11/21/2033 (Receive Quarterly) | 0.85% | 1.00% | 12/20/2028 | USD | 290,000 | 2,048 | 2,352 | (304) | ||||||||
Verizon Communications, 4.125% due 3/16/27 (Receive Quarterly) | 1.07% | 1.00% | 12/20/2028 | USD | 300,000 | (906) | (746) | (160) | ||||||||
Subtotal Depreciation | $142,650 | $241,511 | $ (98,861) | |||||||||||||
Net
Centrally Cleared Credit Default Swaps on Corporate and Sovereign Issuers—Sell Protection outstanding at September 30, 2023 |
$409,369 | $318,840 | $ 90,529 |
Reference Obligation | Fixed
Deal (Pay) Rate |
Maturity
Date |
Currency | Notional
Amount |
Market Value | Upfront
Premiums Paid/ (Received) |
Unrealized
Appreciation (Depreciation) | |||||||
Centrally Cleared Credit Default Swaps on Credit Indexes—Buy Protection | ||||||||||||||
Markit CDX.NA.IG.41 Index (Pay Quarterly) | (1.00)% | 12/20/2028 | USD | 11,200,000 | $(140,003) | $(142,791) | $ 2,788 | |||||||
Subtotal Appreciation | $(140,003) | $(142,791) | $ 2,788 | |||||||||||
Markit CDX.NA.IG.38 Index (Pay Quarterly) | (5.00)% | 6/20/2027 | USD | 14,700,000 | $(457,435) | $ 127,251 | $(584,686) | |||||||
iTraxx Europe & Crossover Series 38 (Pay Quarterly) | (1.00)% | 12/20/2027 | EUR | 2,900,000 | (41,357) | (26,751) | (14,606) | |||||||
Markit CDX.NA.HY.40 Index (Pay Quarterly) | (5.00)% | 6/20/2028 | USD | 2,400,000 | (44,198) | 10,990 | (55,188) | |||||||
Markit CDX.NA.IG.40 Index (Pay Quarterly) | (1.00)% | 6/20/2028 | USD | 2,600,000 | (35,746) | (14,395) | (21,351) | |||||||
Markit CDX.NA.HY.41 Index (Pay Quarterly) | (5.00)% | 12/20/2028 | USD | 830,000 | (9,005) | (6,093) | (2,912) | |||||||
Subtotal Depreciation | $(587,741) | $ 91,002 | $(678,743) | |||||||||||
Net Centrally Cleared Credit Default Swaps on Credit Indexes—Buy Protection outstanding at September 30, 2023 | $(727,744) | $ (51,789) | $(675,955) |
MEDIUM-DURATION BOND FUND
SCHEDULE OF
INVESTMENTS (Continued)
Reference Obligation | Implied
Credit Spread |
Fixed
Deal Receive Rate |
Maturity
Date |
Currency | Notional
Amount |
Market Value | Upfront
Premiums Paid/ (Received) |
Unrealized
Appreciation (Depreciation) | ||||||||
Centrally Cleared Credit Default Swaps on Credit Indexes—Sell Protection | ||||||||||||||||
Markit CDX.NA.IG.34 Index (Receive Quarterly) | 0.39% | 1.00% | 6/20/2025 | USD | 22,475,000 | $233,553 | $232,086 | $ 1,467 | ||||||||
Subtotal Appreciation | $233,553 | $232,086 | $ 1,467 | |||||||||||||
Markit CDX.NA.IG.36 Index (Receive Quarterly) | 0.48% | 1.00% | 6/20/2026 | USD | 1,800,000 | $ 24,378 | $ 41,673 | $(17,295) | ||||||||
Markit CDX.NA.IG.40 Index (Receive Quarterly) | 0.68% | 1.00% | 6/20/2028 | USD | 24,854,158 | 341,709 | 386,157 | (44,448) | ||||||||
Markit CDX.NA.IG.41 Index (Receive Quarterly) | 0.73% | 1.00% | 12/20/2028 | USD | 17,046,700 | 213,088 | 220,496 | (7,408) | ||||||||
Subtotal Depreciation | $579,175 | $648,326 | $(69,151) | |||||||||||||
Net Centrally Cleared Credit Default Swaps on Credit Indexes—Sell Protection outstanding at September 30, 2023 | $812,728 | $880,412 | $(67,684) |
Pay Rate Index/Pay Rate | Receive
Rate Index/Receive Rate |
Maturity
Date |
Currency | Notional Amount | Market Value | Upfront
Premiums Paid/ (Received) |
Unrealized
Appreciation (Depreciation) | |||||||
Centrally Cleared Interest Rate Swaps | ||||||||||||||
1-Day SOFR (Quarterly) | 1.27% (Semiannually) | 11/4/2023 | USD | 19,300,000 | $ (157,571) | $ (396,268) | $ 238,697 | |||||||
12.80% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/2/2024 | BRL | 6,874,848 | 8,528 | — | 8,528 | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 13.95% (Upon termination) | 1/2/2024 | BRL | 2,795,216 | 4,174 | (457) | 4,631 | |||||||
5.41% (Upon termination) | 1-Day US Federal Fund Effective Rate (Upon termination) | 1/31/2024 | USD | 118,167,000 | 4,336 | — | 4,336 | |||||||
4.27% (Annually) | 1-Day SOFR (Annually) | 9/13/2024 | USD | 1,500,000 | 17,172 | — | 17,172 | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 12.23% (Upon termination) | 1/2/2025 | BRL | 72,980,941 | 9,471 | — | 9,471 | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 12.06% (Upon termination) | 1/2/2025 | BRL | 10,122,091 | 4,689 | (10,009) | 14,698 | |||||||
9.75% (Lunar) | 28-Day Mexico Interbank TIIE (Lunar) | 12/17/2025 | MXN | 71,480,000 | 42,184 | 15,470 | 26,714 | |||||||
1-Day ESTR (Annually) | 3.50% (Annually) | 12/20/2025 | EUR | 40,390,000 | (58,634) | (112,117) | 53,483 | |||||||
1-Day SONIA (Annually) | 5.25% (Annually) | 12/20/2025 | GBP | 19,690,000 | 80,369 | 48,087 | 32,282 | |||||||
3-Month ASX BBSW (Quarterly) | 4.00% (Quarterly) | 12/20/2025 | AUD | 58,920,000 | 213,101 | 165,537 | 47,564 | |||||||
3-Month JIBAR (Quarterly) | 7.75% (Quarterly) | 12/20/2025 | ZAR | 41,430,000 | 28,820 | 12,160 | 16,660 | |||||||
3-Month KWCDC (Quarterly) | 3.75% (Quarterly) | 12/20/2025 | KRW | 214,930,000 | (360) | (405) | 45 | |||||||
3-Month STIBOR (Quarterly) | 4.00% (Annually) | 12/20/2025 | SEK | 442,815,000 | 56,742 | 40,975 | 15,767 | |||||||
10.29% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/4/2027 | BRL | 3,926,736 | 12,755 | — | 12,755 | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 11.98% (Upon termination) | 1/4/2027 | BRL | 44,823,382 | 191,802 | — | 191,802 | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 13.03% (Upon termination) | 1/4/2027 | BRL | 1,495,928 | 21,693 | 2,345 | 19,348 | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 8.50% (Upon termination) | 1/4/2027 | BRL | 773,155 | (22,254) | (28,984) | 6,730 |
100
Pay Rate Index/Pay Rate | Receive
Rate Index/Receive Rate |
Maturity
Date |
Currency | Notional Amount | Market Value | Upfront
Premiums Paid/ (Received) |
Unrealized
Appreciation (Depreciation) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 11.23% (Upon termination) | 1/4/2027 | BRL | 471,954 | $ (743) | $ (6,627) | $ 5,884 | |||||||
2.85% (Annually) | 3-Month EURIBOR (Quarterly) | 4/22/2028 | EUR | 24,510,000 | 155,023 | (66,238) | 221,261 | |||||||
0.50% (Annually) | Bank of Japan Unsecured Overnight Call Rate (Annually) | 8/3/2028 | JPY | 7,488,080,000 | 323,970 | 115,601 | 208,369 | |||||||
1-Day SOFR (Annually) | 4.38% (Annually) | 10/3/2028 | USD | 16,000,000 | 760 | — | 760 | |||||||
0.50% (Annually) | Bank of Japan Unsecured Overnight Call Rate (Annually) | 12/20/2028 | JPY | 6,696,000,000 | 201,663 | 169,731 | 31,932 | |||||||
4.00% (Annually) | 1-Day SOFR (Annually) | 12/20/2028 | USD | 1,810,000 | 24,787 | 7,074 | 17,713 | |||||||
2.85% (Annually) | 1-Day SOFR (Annually) | 2/15/2029 | USD | 5,338,000 | 457,391 | 1,198 | 456,193 | |||||||
3.85% (Annually) | 1-Day SOFR (Annually) | 6/30/2029 | USD | 3,169,000 | 90,367 | 106 | 90,261 | |||||||
3.25% (Annually) | 1-Day SOFR (Annually) | 9/30/2029 | USD | 5,234,000 | 295,581 | 3,532 | 292,049 | |||||||
2.68% (Annually) | 1-Day SOFR (Annually) | 7/28/2032 | USD | 12,630,000 | 671,801 | 198,419 | 473,382 | |||||||
2.00% (Annually) | 1-Day SOFR (Annually) | 12/21/2032 | USD | 10,100,000 | 1,968,199 | 1,040,439 | 927,760 | |||||||
3.00% (Annually) | 1-Day SOFR (Annually) | 6/21/2033 | USD | 8,300,000 | 884,093 | 367,635 | 516,458 | |||||||
1.25% (Annually) | Bank of Japan Unsecured Overnight Call Rate (Annually) | 8/3/2033 | JPY | 1,014,000,000 | 32,541 | (8,212) | 40,753 | |||||||
1.00% (Annually) | Bank of Japan Unsecured Overnight Call Rate (Annually) | 12/20/2033 | JPY | 2,852,000,000 | (29,905) | (89,145) | 59,240 | |||||||
3.25% (Annually) | 3-Month STIBOR (Quarterly) | 12/20/2033 | SEK | 44,410,000 | 62,394 | 9,458 | 52,936 | |||||||
3.25% (Semiannually) | Bank Of Canada Overnight Repo Rate (Semiannually) | 12/20/2033 | CAD | 560,000 | 29,038 | 21,295 | 7,743 | |||||||
4.25% (Annually) | 1-Day SONIA (Annually) | 12/20/2033 | GBP | 540,000 | 3,816 | (2,676) | 6,492 | |||||||
6-Month NIBOR (Semiannually) | 4.00% (Annually) | 12/20/2033 | NOK | 23,340,000 | 32,338 | 17,428 | 14,910 | |||||||
Swiss Average Overnight Rate (Annually) | 1.75% (Annually) | 12/20/2033 | CHF | 3,120,000 | (15,370) | (15,395) | 25 | |||||||
3.24% (Annually) | 1-Day SOFR (Annually) | 10/6/2035 | USD | 16,680,000 | 1,058,283 | 66,310 | 991,973 | |||||||
3.78% (Annually) | 1-Day SOFR (Annually) | 9/22/2036 | USD | 2,450,000 | 60,802 | 2,788 | 58,014 | |||||||
0.75% (Semiannually) | Bank of Japan Unsecured Overnight Call Rate (Semiannually) | 3/20/2038 | JPY | 489,200,000 | 232,459 | 39,965 | 192,494 | |||||||
0.50% (Annually) | Bank of Japan Unsecured Overnight Call Rate (Annually) | 3/15/2042 | JPY | 1,080,000,000 | 1,058,302 | 300,339 | 757,963 | |||||||
1.45% (Annually) | 6-Month EURIBOR (Semiannually) | 8/10/2042 | EUR | 46,790,000 | 2,398,036 | 1,439,137 | 958,899 | |||||||
1.52% (Annually) | 1-Day SOFR (Annually) | 2/15/2047 | USD | 2,594,000 | 1,067,820 | (23,965) | 1,091,785 | |||||||
2.08% (Annually) | 1-Day SOFR (Annually) | 7/28/2047 | USD | 33,700,000 | 1,021,567 | 533,006 | 488,561 | |||||||
2.60% (Annually) | 1-Day SOFR (Annually) | 2/15/2048 | USD | 4,813,000 | 1,194,203 | 330,836 | 863,367 | |||||||
3.05% (Annually) | 1-Day SOFR (Annually) | 2/15/2048 | USD | 6,287,000 | 1,114,121 | 307,047 | 807,074 | |||||||
3.15% (Annually) | 1-Day SOFR (Annually) | 5/15/2048 | USD | 5,654,000 | 889,372 | (618,678) | 1,508,050 | |||||||
1-Day SOFR (Annually) | 2.50% (Annually) | 4/21/2052 | USD | 2,061,000 | 553,787 | 1,921 | 551,866 | |||||||
0.80% (Annually) | Bank of Japan Unsecured Overnight Call Rate (Annually) | 6/15/2052 | JPY | 250,000,000 | 289,309 | 11,645 | 277,664 | |||||||
1-Day SOFR (Annually) | 2.56% (Annually) | 5/11/2053 | USD | 29,690,000 | 791,209 | 170,399 | 620,810 | |||||||
2.00% (Annually) | 6-Month EURIBOR (Semiannually) | 5/17/2053 | EUR | 8,620,000 | 399,457 | 107,510 | 291,947 | |||||||
2.50% (Annually) | 6-Month EURIBOR (Semiannually) | 12/20/2053 | EUR | 1,530,000 | 175,557 | 124,567 | 50,990 | |||||||
Subtotal Appreciation | $ 17,949,045 | $ 4,292,784 | $ 13,656,261 | |||||||||||
1-Day SOFR (Annually) | 3.30% (Annually) | 12/21/2023 | USD | 18,400,000 | $ (332,960) | $ (3,373) | $ (329,587) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 9.20% (Upon termination) | 1/2/2024 | BRL | 6,468,748 | (90,464) | (28,018) | (62,446) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 12.30% (Upon termination) | 1/2/2024 | BRL | 1,293,456 | (1,003) | 1,647 | (2,650) | |||||||
Bank of Japan Unsecured Overnight Call Rate (Annually) | 0.00% (Annually) | 3/17/2024 | JPY | 750,000,000 | 1,766 | 11,605 | (9,839) |
MEDIUM-DURATION BOND FUND
SCHEDULE OF
INVESTMENTS (Continued)
Pay Rate Index/Pay Rate | Receive
Rate Index/Receive Rate |
Maturity
Date |
Currency | Notional Amount | Market Value | Upfront
Premiums Paid/ (Received) |
Unrealized
Appreciation (Depreciation) | |||||||
1-Day SOFR (Annually) | 2.20% (Annually) | 6/15/2024 | USD | 14,700,000 | $ (471,715) | $ — | $ (471,715) | |||||||
1-Day SOFR (Annually) | 4.72% (Annually) | 9/13/2024 | USD | 6,900,000 | (49,346) | — | (49,346) | |||||||
1-Day SOFR (Annually) | 3.50% (Annually) | 9/30/2024 | USD | 5,189,000 | (97,276) | (36,591) | (60,685) | |||||||
13.30% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/2/2025 | BRL | 3,355,039 | (19,492) | (36) | (19,456) | |||||||
3.72% (Annually) | 3-Month EURIBOR (Quarterly) | 3/18/2025 | EUR | 9,080,000 | 6,348 | 11,335 | (4,987) | |||||||
1-Day SOFR (Annually) | 3.50% (Annually) | 4/19/2025 | USD | 230,000 | (3,253) | 723 | (3,976) | |||||||
6-Month WIBOR (Semiannually) | 4.50% (Annually) | 12/20/2025 | PLN | 4,960,000 | 4,110 | 7,109 | (2,999) | |||||||
7-Day CFETS Repo Rate (Quarterly) | 2.00% (Quarterly) | 12/20/2025 | CNY | 32,930,000 | (11,623) | (10,148) | (1,475) | |||||||
Bank Of Canada Overnight Repo Rate (Semiannually) | 3.75% (Semiannually) | 12/20/2025 | CAD | 27,750,000 | (442,449) | (388,142) | (54,307) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 10.85% (Upon termination) | 1/2/2026 | BRL | 2,445,345 | (1,289) | 112 | (1,401) | |||||||
Bank of Japan Unsecured Overnight Call Rate (Annually) | 0.50% (Annually) | 8/2/2026 | JPY | 3,594,000,000 | 28,634 | 104,288 | (75,654) | |||||||
6-Month EURIBOR (Semiannually) | 1.00% (Annually) | 5/18/2027 | EUR | 3,600,000 | (355,855) | (163,593) | (192,262) | |||||||
1-Day SOFR (Annually) | 2.15% (Annually) | 6/15/2027 | USD | 14,700,000 | (1,305,664) | — | (1,305,664) | |||||||
2.87% (Annually) | 1-Day SOFR (Annually) | 7/22/2027 | USD | 1,700,000 | (103,200) | — | (103,200) | |||||||
1-Day SOFR (Annually) | 2.85% (Annually) | 8/29/2027 | USD | 3,200,000 | (191,892) | — | (191,892) | |||||||
1-Day SOFR (Annually) | 3.35% (Annually) | 10/6/2027 | USD | 69,720,000 | (683,520) | 227,172 | (910,692) | |||||||
1-Day SOFR (Annually) | 4.18% (Annually) | 2/29/2028 | USD | 38,232,000 | (272,269) | 29,387 | (301,656) | |||||||
4.00% (Annually) | 1-Day SOFR (Annually) | 2/29/2028 | USD | 25,311,000 | (353,291) | (4,661) | (348,630) | |||||||
1-Day SOFR (Annually) | 3.40% (Annually) | 4/4/2028 | USD | 6,000,000 | (298,782) | — | (298,782) | |||||||
1-Day ESTR (Annually) | 2.67% (Annually) | 4/22/2028 | EUR | 24,510,000 | (155,827) | 77,922 | (233,749) | |||||||
1-Day SOFR (Annually) | 3.56% (Annually) | 5/25/2028 | USD | 4,200,000 | (172,989) | — | (172,989) | |||||||
1-Day SOFR (Annually) | 3.70% (Annually) | 6/9/2028 | USD | 5,700,000 | (196,252) | — | (196,252) | |||||||
1-Day SOFR (Annually) | 3.70% (Annually) | 9/22/2028 | USD | 10,550,000 | (43,739) | (4,728) | (39,011) | |||||||
3.00% (Annually) | 1-Day ESTR (Annually) | 10/19/2028 | EUR | 10,250,000 | (60,510) | 31,874 | (92,384) | |||||||
1-Day SONIA (Annually) | 4.75% (Annually) | 12/20/2028 | GBP | 6,740,000 | 74,439 | 82,356 | (7,917) | |||||||
3-Month KWCDC (Quarterly) | 3.50% (Quarterly) | 12/20/2028 | KRW | 2,753,380,000 | (28,301) | (15,423) | (12,878) | |||||||
6-Month WIBOR (Semiannually) | 4.25% (Annually) | 12/20/2028 | PLN | 4,420,000 | (9,449) | 2,290 | (11,739) | |||||||
7-Day CFETS Repo Rate (Quarterly) | 2.25% (Quarterly) | 12/20/2028 | CNY | 29,030,000 | (35,593) | (11,441) | (24,152) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 10.24% (Upon termination) | 1/2/2029 | BRL | 29,522,574 | (286,526) | — | (286,526) | |||||||
28-Day Mexico Interbank TIIE (Lunar) | 7.45% (Lunar) | 7/18/2029 | MXN | 165,770,000 | (888,752) | 68,837 | (957,589) | |||||||
1-Day SOFR (Annually) | 3.08% (Annually) | 3/28/2030 | USD | 4,500,000 | (361,593) | — | (361,593) | |||||||
1-Day SOFR (Annually) | 3.98% (Annually) | 7/31/2030 | USD | 19,000,000 | (307,083) | 19,705 | (326,788) | |||||||
1-Day SOFR (Annually) | 3.52% (Annually) | 6/9/2033 | USD | 14,000,000 | (902,503) | — | (902,503) | |||||||
Bank of Japan Unsecured Overnight Call Rate (Annually) | 1.25% (Annually) | 8/2/2033 | JPY | 1,542,270,000 | (49,325) | 33,170 | (82,495) | |||||||
1-Day SOFR (Annually) | 3.50% (Annually) | 12/20/2033 | USD | 13,630,000 | (800,722) | (614,846) | (185,876) | |||||||
3-Month JIBAR (Quarterly) | 9.25% (Quarterly) | 12/20/2033 | ZAR | 5,440,000 | (13,102) | (5,489) | (7,613) | |||||||
3-Month KWCDC (Quarterly) | 3.50% (Quarterly) | 12/20/2033 | KRW | 843,140,000 | (16,992) | (7,091) | (9,901) | |||||||
3-Month New Zealand BBR FRA (Quarterly) | 4.75% (Semiannually) | 12/20/2033 | NZD | 4,480,000 | (86,581) | (3,194) | (83,387) | |||||||
4.50% (Semiannually) | 6-Month ASX BBSW (Semiannually) | 12/20/2033 | AUD | 2,270,000 | (31,873) | 6,623 | (38,496) | |||||||
6-Month ASX BBSW (Semiannually) | 4.75% (Semiannually) | 12/20/2033 | AUD | 15,900,000 | (139,707) | (44,582) | (95,125) | |||||||
6-Month EURIBOR (Semiannually) | 3.25% (Annually) | 12/20/2033 | EUR | 2,420,000 | (26,400) | (10,753) | (15,647) | |||||||
6-Month WIBOR (Semiannually) | 4.75% (Annually) | 12/20/2033 | PLN | 2,340,000 | (9,004) | 4,861 | (13,865) |
102
Pay Rate Index/Pay Rate | Receive
Rate Index/Receive Rate |
Maturity
Date |
Currency | Notional Amount | Market Value | Upfront
Premiums Paid/ (Received) |
Unrealized
Appreciation (Depreciation) | |||||||
1-Day SONIA (Annually) | 4.50% (Annually) | 3/20/2034 | GBP | 7,000,000 | $ 141,387 | $ 187,085 | $ (45,698) | |||||||
6-Month EURIBOR (Semiannually) | 3.00% (Annually) | 3/20/2034 | EUR | 21,650,000 | (667,141) | (253,662) | (413,479) | |||||||
6-Month EURIBOR (Semiannually) | 3.00% (Annually) | 5/15/2035 | EUR | 15,100,000 | (279,987) | (7,379) | (272,608) | |||||||
1-Day SOFR (Annually) | 2.91% (Annually) | 7/28/2037 | USD | 33,960,000 | (1,426,585) | (465,725) | (960,860) | |||||||
6-Month EURIBOR (Semiannually) | 2.15% (Annually) | 8/9/2037 | EUR | 18,290,000 | (912,788) | (604,387) | (308,401) | |||||||
1-Day SOFR (Annually) | 3.39% (Annually) | 5/10/2038 | USD | 31,380,000 | (839,483) | (202,197) | (637,286) | |||||||
Bank of Japan Unsecured Overnight Call Rate (Annually) | 1.50% (Annually) | 8/3/2038 | JPY | 1,099,000,000 | (109,979) | (51,233) | (58,746) | |||||||
6-Month EURIBOR (Semiannually) | 1.05% (Annually) | 8/11/2047 | EUR | 27,390,000 | (1,063,893) | (641,932) | (421,961) | |||||||
Subtotal Depreciation | $(14,751,338) | $(2,670,523) | $(12,080,815) | |||||||||||
Net Centrally Cleared Interest Rate Swaps outstanding at September 30, 2023 | $ 3,197,707 | $ 1,622,261 | $ 1,575,446 |
For the Fund’s Valuation Hierarchy (a summary
of the inputs used in valuing the Fund’s investments carried at fair value) at June 30, 2023, see Schedule of Investments in the Fund’s Semi-Annual Report.
GLOBAL BOND FUND
104
GLOBAL BOND FUND
SCHEDULE OF
INVESTMENTS (Continued)
106
GLOBAL BOND FUND
SCHEDULE OF
INVESTMENTS (Continued)
108
GLOBAL BOND FUND
SCHEDULE OF
INVESTMENTS (Continued)
110
GLOBAL BOND FUND
SCHEDULE OF
INVESTMENTS (Continued)
112
GLOBAL BOND FUND
SCHEDULE OF
INVESTMENTS (Continued)
114
GLOBAL BOND FUND
SCHEDULE OF
INVESTMENTS (Continued)
116
GLOBAL BOND FUND
SCHEDULE OF
INVESTMENTS (Continued)
118
GLOBAL BOND FUND
SCHEDULE OF
INVESTMENTS (Continued)
120
GLOBAL BOND FUND
SCHEDULE OF
INVESTMENTS (Continued)
122
GLOBAL BOND FUND
SCHEDULE OF
INVESTMENTS (Continued)
124
GLOBAL BOND FUND
SCHEDULE OF
INVESTMENTS (Continued)
Futures Contracts outstanding at September
30, 2023:
Future Type | Expiration Date | Open
Long (Short) Contracts |
Notional
Market Value of Contracts |
Value
and Unrealized Appreciation (Depreciation) | ||||
30-Year Euro Buxl | 12/2023 | 16 | $ 2,069,842 | $ (192,873) | ||||
Euro-Bobl | 12/2023 | (6) | (734,260) | 9,406 | ||||
Euro-Bund | 12/2023 | 76 | 10,336,353 | (216,053) | ||||
Euro-Schatz | 12/2023 | 71 | 7,881,049 | (32,292) | ||||
FTSE KLCI | 12/2023 | (5) | (580,060) | 19,757 | ||||
10-Year Japanese E-Mini | 12/2023 | 82 | 7,956,370 | (53,980) | ||||
10-Year Commonwealth Treasury Bond | 12/2023 | (7) | (503,950) | 12,970 | ||||
10-Year Bond | 12/2023 | 4 | 339,054 | (10,283) | ||||
10-Year U.S. Treasury Note | 12/2023 | 83 | 8,969,187 | (186,256) | ||||
U.S. Treasury Long Bond | 12/2023 | 112 | 12,743,500 | (647,151) | ||||
Ultra 10-Year U.S. Treasury Note | 12/2023 | (153) | (17,069,063) | 446,488 | ||||
Ultra Long U.S. Treasury Bond | 12/2023 | 10 | 1,186,875 | (84,870) | ||||
Long GILT | 12/2023 | 84 | 9,650,309 | 18,986 | ||||
2-Year U.S. Treasury Note | 12/2023 | 146 | 29,595,797 | (98,024) | ||||
5-Year U.S. Treasury Note | 12/2023 | 646 | 68,062,156 | (597,799) | ||||
Total Futures Contracts outstanding at September 30, 2023 | $139,903,159 | $(1,611,974) |
126
Forward Foreign Currency Contracts outstanding at
September 30, 2023:
Expiration Date | Currency
Purchased |
Amount
of Currency Purchased |
Currency
Sold |
Amount
of Currency Sold |
Counter-
party |
Net
Unrealized Appreciation (Depreciation) | ||||||
10/19/23 | U.S. Dollars | 244,340,968 | Euro | 217,880,901 | SS | $13,800,358 | ||||||
10/19/23 | U.S. Dollars | 20,536,469 | Euro | 18,313,148 | UBS | 1,159,258 | ||||||
10/19/23 | U.S. Dollars | 17,257,931 | British Pounds | 13,212,046 | SS | 1,135,963 | ||||||
10/19/23 | U.S. Dollars | 11,189,071 | Japanese Yen | 1,528,565,243 | SS | 925,202 | ||||||
10/20/23 | U.S. Dollars | 17,687,113 | Euro | 15,971,422 | GSC | 786,973 | ||||||
10/19/23 | U.S. Dollars | 12,394,046 | Australian Dollars | 18,047,391 | SC | 782,188 | ||||||
10/19/23 | U.S. Dollars | 11,537,431 | Swiss Francs | 9,891,041 | SC | 709,143 | ||||||
10/19/23 | U.S. Dollars | 12,524,525 | Euro | 11,168,651 | CITI | 706,933 | ||||||
10/19/23 | U.S. Dollars | 11,486,959 | New Zealand Dollars | 18,090,554 | SC | 644,339 | ||||||
10/19/23 | U.S. Dollars | 10,265,512 | Australian Dollars | 15,224,475 | GSC | 469,945 | ||||||
10/19/23 | U.S. Dollars | 6,483,501 | British Pounds | 4,964,588 | CITI | 425,474 | ||||||
10/19/23 | U.S. Dollars | 7,305,752 | Euro | 6,521,352 | RBC | 405,485 | ||||||
10/19/23 | U.S. Dollars | 11,629,157 | Canadian Dollars | 15,295,221 | SS | 365,124 | ||||||
10/19/23 | U.S. Dollars | 5,835,977 | British Pounds | 4,496,207 | BNP | 349,491 | ||||||
10/19/23 | U.S. Dollars | 5,014,898 | Swiss Francs | 4,287,938 | RBC | 320,647 | ||||||
10/19/23 | U.S. Dollars | 7,276,442 | Euro | 6,577,732 | GSC | 316,519 | ||||||
10/19/23 | U.S. Dollars | 5,233,823 | British Pounds | 4,032,262 | SC | 313,465 | ||||||
10/19/23 | U.S. Dollars | 3,736,929 | Czech Republic Koruna | 79,959,523 | BNP | 274,204 | ||||||
10/19/23 | U.S. Dollars | 3,006,051 | Japanese Yen | 410,531,341 | CITI | 249,453 | ||||||
10/19/23 | U.S. Dollars | 2,976,002 | Japanese Yen | 406,514,454 | UBS | 246,376 | ||||||
10/19/23 | U.S. Dollars | 5,048,868 | Norwegian Kroner | 51,379,006 | GSC | 242,973 | ||||||
10/19/23 | U.S. Dollars | 2,769,977 | Polish Zloty | 11,053,417 | UBS | 241,214 | ||||||
10/19/23 | U.S. Dollars | 4,243,758 | Euro | 3,784,596 | SC | 239,263 | ||||||
10/19/23 | U.S. Dollars | 3,967,908 | Norwegian Kroner | 39,887,594 | SS | 236,898 | ||||||
10/20/23 | U.S. Dollars | 3,673,066 | British Pounds | 2,849,273 | GSC | 196,225 | ||||||
10/19/23 | U.S. Dollars | 3,472,977 | New Zealand Dollars | 5,467,809 | UBS | 195,832 | ||||||
10/19/23 | U.S. Dollars | 3,349,131 | New Zealand Dollars | 5,271,316 | CITI | 189,754 | ||||||
10/19/23 | U.S. Dollars | 3,830,951 | Swiss Francs | 3,333,563 | CITI | 181,509 | ||||||
10/19/23 | U.S. Dollars | 2,816,655 | Australian Dollars | 4,100,113 | RBC | 178,604 | ||||||
10/19/23 | U.S. Dollars | 3,070,116 | Swedish Kronor | 31,596,113 | BNP | 175,878 | ||||||
10/19/23 | U.S. Dollars | 2,839,002 | Norwegian Kroner | 28,487,411 | UBS | 174,344 | ||||||
10/19/23 | U.S. Dollars | 3,277,511 | Japanese Yen | 463,828,246 | BNP | 163,039 | ||||||
10/20/23 | U.S. Dollars | 2,224,243 | Polish Zloty | 9,049,000 | GSC | 154,105 | ||||||
10/19/23 | U.S. Dollars | 2,404,269 | Swiss Francs | 2,061,265 | UBS | 147,684 | ||||||
10/19/23 | U.S. Dollars | 1,722,545 | Polish Zloty | 6,905,397 | SS | 142,752 | ||||||
10/19/23 | U.S. Dollars | 6,280,313 | Euro | 5,814,517 | BNP | 127,950 | ||||||
10/20/23 | U.S. Dollars | 3,541,280 | Taiwan Dollars | 110,204,629 | GSC | 113,443 | ||||||
10/19/23 | U.S. Dollars | 2,685,100 | Japanese Yen | 383,403,966 | GSC | 110,654 | ||||||
10/19/23 | U.S. Dollars | 5,310,149 | British Pounds | 4,266,785 | GSC | 103,615 | ||||||
10/19/23 | U.S. Dollars | 1,599,692 | Swedish Kronor | 16,346,315 | UBS | 102,352 | ||||||
10/19/23 | U.S. Dollars | 1,108,517 | Polish Zloty | 4,419,526 | CITI | 97,433 | ||||||
10/19/23 | U.S. Dollars | 1,633,301 | Swedish Kronor | 16,810,829 | SS | 93,410 | ||||||
10/19/23 | U.S. Dollars | 1,237,802 | Hungarian Forint | 425,145,930 | UBS | 87,742 | ||||||
10/19/23 | U.S. Dollars | 1,113,531 | Czech Republic Koruna | 23,821,681 | GSC | 81,910 | ||||||
10/19/23 | U.S. Dollars | 2,452,611 | Canadian Dollars | 3,226,875 | SC | 76,206 | ||||||
10/19/23 | U.S. Dollars | 2,711,764 | Canadian Dollars | 3,579,230 | UBS | 75,871 | ||||||
10/19/23 | U.S. Dollars | 4,444,753 | Mexican Pesos | 76,496,349 | GSC | 69,868 | ||||||
10/19/23 | U.S. Dollars | 764,001 | Polish Zloty | 3,050,254 | SC | 66,174 | ||||||
10/19/23 | Swedish Kronor | 48,812,469 | U.S. Dollars | 4,407,723 | BNP | 63,552 | ||||||
10/19/23 | U.S. Dollars | 770,169 | Chilean Pesos | 631,307,359 | BNP | 60,757 | ||||||
10/19/23 | U.S. Dollars | 836,335 | Hungarian Forint | 287,570,038 | BNP | 58,431 | ||||||
10/19/23 | U.S. Dollars | 765,729 | Czech Republic Koruna | 16,350,581 | UBS | 57,651 | ||||||
10/19/23 | U.S. Dollars | 959,099 | Swedish Kronor | 9,871,049 | SC | 54,900 | ||||||
10/19/23 | U.S. Dollars | 1,717,595 | Canadian Dollars | 2,258,199 | RBC | 54,564 | ||||||
10/19/23 | U.S. Dollars | 3,537,141 | Mexican Pesos | 60,900,243 | UBS | 54,209 |
GLOBAL BOND FUND
SCHEDULE OF
INVESTMENTS (Continued)
Expiration Date | Currency
Purchased |
Amount
of Currency Purchased |
Currency
Sold |
Amount
of Currency Sold |
Counter-
party |
Net
Unrealized Appreciation (Depreciation) | ||||||
10/19/23 | U.S. Dollars | 1,877,040 | Swiss Francs | 1,675,055 | GSC | $ 43,262 | ||||||
10/19/23 | U.S. Dollars | 1,339,636 | Canadian Dollars | 1,760,804 | CITI | 42,907 | ||||||
10/19/23 | U.S. Dollars | 582,430 | Hungarian Forint | 200,275,000 | SS | 40,667 | ||||||
10/19/23 | U.S. Dollars | 764,018 | South Korean Won | 983,054,684 | BNP | 35,824 | ||||||
10/19/23 | Swedish Kronor | 16,492,692 | U.S. Dollars | 1,475,559 | GSC | 35,190 | ||||||
10/19/23 | U.S. Dollars | 549,490 | Australian Dollars | 799,671 | UBS | 34,974 | ||||||
10/19/23 | U.S. Dollars | 395,955 | Polish Zloty | 1,580,714 | GSC | 34,325 | ||||||
10/19/23 | New Zealand Dollars | 4,126,502 | U.S. Dollars | 2,439,028 | GSC | 34,201 | ||||||
10/19/23 | U.S. Dollars | 403,914 | Japanese Yen | 55,162,515 | SC | 33,514 | ||||||
10/19/23 | U.S. Dollars | 506,284 | British Pounds | 387,548 | RBC | 33,379 | ||||||
10/19/23 | U.S. Dollars | 585,563 | New Zealand Dollars | 922,001 | RBC | 32,959 | ||||||
10/19/23 | U.S. Dollars | 491,380 | New Zealand Dollars | 773,108 | GSC | 28,016 | ||||||
10/20/23 | U.S. Dollars | 4,279,746 | Mexican Pesos | 74,378,570 | GSC | 26,722 | ||||||
10/19/23 | U.S. Dollars | 768,926 | Norwegian Kroner | 7,943,345 | BNP | 25,921 | ||||||
10/19/23 | U.S. Dollars | 524,406 | South Korean Won | 674,735,853 | SS | 24,597 | ||||||
10/19/23 | Norwegian Kroner | 43,303,073 | U.S. Dollars | 4,026,151 | GSC | 24,335 | ||||||
10/20/23 | Euro | 803,581 | Polish Zloty | 3,620,000 | GSC | 22,161 | ||||||
10/20/23 | Mexican Pesos | 74,378,570 | U.S. Dollars | 4,231,845 | GSC | 21,180 | ||||||
10/19/23 | U.S. Dollars | 1,920,464 | Chinese Yuans | 13,750,329 | GSC | 20,587 | ||||||
10/19/23 | U.S. Dollars | 399,595 | Thai Baht | 13,800,000 | GSC | 19,976 | ||||||
10/19/23 | U.S. Dollars | 1,138,365 | Indonesian Rupiahs | 17,313,489,139 | SS | 19,498 | ||||||
10/19/23 | U.S. Dollars | 717,384 | Brazilian Reals | 3,518,267 | BNP | 19,375 | ||||||
10/19/23 | U.S. Dollars | 755,926 | Swedish Kronor | 8,052,450 | GSC | 18,312 | ||||||
10/19/23 | U.S. Dollars | 245,560 | Czech Republic Koruna | 5,250,000 | RBC | 18,203 | ||||||
10/19/23 | U.S. Dollars | 296,012 | Norwegian Kroner | 2,972,277 | SC | 17,991 | ||||||
10/19/23 | U.S. Dollars | 770,820 | British Pounds | 617,350 | UBS | 17,500 | ||||||
10/19/23 | Norwegian Kroner | 15,968,767 | U.S. Dollars | 1,477,700 | BNP | 15,988 | ||||||
10/19/23 | Australian Dollars | 3,472,485 | U.S. Dollars | 2,219,095 | GSC | 15,134 | ||||||
10/19/23 | U.S. Dollars | 384,268 | South African Rand | 7,011,349 | GSC | 14,591 | ||||||
10/19/23 | U.S. Dollars | 320,898 | Australian Dollars | 480,000 | SS | 12,062 | ||||||
10/19/23 | U.S. Dollars | 236,127 | South African Rand | 4,308,235 | SS | 8,974 | ||||||
10/19/23 | U.S. Dollars | 754,865 | Swiss Francs | 681,549 | BNP | 8,735 | ||||||
10/19/23 | Euro | 3,122,138 | U.S. Dollars | 3,295,111 | UBS | 8,435 | ||||||
10/19/23 | U.S. Dollars | 92,707 | Polish Zloty | 370,000 | RBC | 8,060 | ||||||
10/19/23 | U.S. Dollars | 146,421 | Czech Republic Koruna | 3,200,000 | SS | 7,841 | ||||||
10/19/23 | U.S. Dollars | 456,052 | Mexican Pesos | 7,847,629 | SC | 7,240 | ||||||
10/19/23 | U.S. Dollars | 237,617 | Brazilian Reals | 1,163,831 | RBC | 6,718 | ||||||
10/19/23 | U.S. Dollars | 75,724 | Czech Republic Koruna | 1,620,000 | SC | 5,568 | ||||||
10/19/23 | U.S. Dollars | 83,435 | Australian Dollars | 121,403 | CITI | 5,323 | ||||||
10/19/23 | British Pounds | 519,140 | U.S. Dollars | 629,007 | GSC | 4,472 | ||||||
10/19/23 | U.S. Dollars | 2,262,896 | New Zealand Dollars | 3,768,981 | BNP | 3,948 | ||||||
10/19/23 | U.S. Dollars | 206,366 | Mexican Pesos | 3,550,007 | SS | 3,339 | ||||||
10/19/23 | U.S. Dollars | 755,976 | Canadian Dollars | 1,023,937 | GSC | 1,906 | ||||||
12/20/23 | U.S. Dollars | 90,562 | Euro | 84,000 | BOA | 1,398 | ||||||
10/19/23 | Japanese Yen | 114,393,300 | U.S. Dollars | 766,828 | GSC | 1,289 | ||||||
10/19/23 | U.S. Dollars | 112,776 | Chinese Yuans | 809,212 | SC | 967 | ||||||
10/19/23 | U.S. Dollars | 48,845 | Mexican Pesos | 840,000 | RBC | 805 | ||||||
10/19/23 | U.S. Dollars | 25,230 | Brazilian Reals | 124,743 | GSC | 481 | ||||||
10/19/23 | New Zealand Dollars | 190,864 | U.S. Dollars | 114,008 | SC | 387 | ||||||
10/19/23 | U.S. Dollars | 7,553 | South African Rand | 137,759 | BNP | 290 | ||||||
10/19/23 | U.S. Dollars | 87 | Chinese Yuans | 624 | UBS | 1 | ||||||
Subtotal Appreciation | $29,726,834 | |||||||||||
10/19/23 | South African Rand | 1,403 | U.S. Dollars | 77 | RBC | $ (3) | ||||||
10/19/23 | Indonesian Rupiahs | 11,428,019 | U.S. Dollars | 751 | BNP | (13) | ||||||
10/19/23 | U.S. Dollars | 743,607 | Japanese Yen | 110,768,158 | GSC | (169) |
128
Expiration Date | Currency
Purchased |
Amount
of Currency Purchased |
Currency
Sold |
Amount
of Currency Sold |
Counter-
party |
Net
Unrealized Appreciation (Depreciation) | ||||||
10/19/23 | U.S. Dollars | 1,452,501 | Norwegian Kroner | 15,530,717 | BNP | $ (213) | ||||||
10/19/23 | Canadian Dollars | 14,676 | U.S. Dollars | 11,163 | RBC | (355) | ||||||
10/19/23 | U.S. Dollars | 109,071 | Chinese Yuans | 792,701 | UBS | (456) | ||||||
10/19/23 | Chinese Yuans | 597,498 | U.S. Dollars | 83,085 | SC | (529) | ||||||
10/19/23 | U.S. Dollars | 93,820 | New Zealand Dollars | 157,562 | RBC | (615) | ||||||
10/19/23 | South Korean Won | 120,955,532 | U.S. Dollars | 90,400 | RBC | (803) | ||||||
10/19/23 | British Pounds | 83,505 | Euro | 97,254 | RBC | (1,008) | ||||||
10/19/23 | British Pounds | 141,905 | Euro | 164,917 | CITI | (1,340) | ||||||
10/19/23 | Norwegian Kroner | 7,746,399 | U.S. Dollars | 726,018 | GSC | (1,435) | ||||||
10/19/23 | U.S. Dollars | 733,914 | Canadian Dollars | 998,527 | SC | (1,442) | ||||||
10/19/23 | U.S. Dollars | 1,452,814 | Japanese Yen | 216,610,254 | BNP | (1,660) | ||||||
10/19/23 | U.S. Dollars | 714,619 | Australian Dollars | 1,113,728 | GSC | (1,964) | ||||||
10/19/23 | Mexican Pesos | 2,140,706 | U.S. Dollars | 124,421 | CITI | (1,992) | ||||||
10/20/23 | Indian Rupees | 41,071,535 | U.S. Dollars | 496,597 | GSC | (2,859) | ||||||
10/19/23 | Hungarian Forint | 15,128,338 | U.S. Dollars | 44,000 | SC | (3,076) | ||||||
10/19/23 | Canadian Dollars | 173,599 | U.S. Dollars | 132,025 | UBS | (4,180) | ||||||
10/19/23 | Australian Dollars | 1,801,872 | U.S. Dollars | 1,164,177 | GSC | (4,836) | ||||||
10/19/23 | Chilean Pesos | 56,271,974 | U.S. Dollars | 68,069 | SS | (4,836) | ||||||
10/19/23 | U.S. Dollars | 766,908 | New Zealand Dollars | 1,291,041 | GSC | (6,880) | ||||||
10/19/23 | Hungarian Forint | 36,669,187 | U.S. Dollars | 106,754 | RBC | (7,561) | ||||||
10/20/23 | Euro | 3,027,884 | Polish Zloty | 14,050,000 | GSC | (10,265) | ||||||
10/19/23 | U.S. Dollars | 2,167,457 | Chinese Yuans | 15,765,000 | GSC | (10,785) | ||||||
10/19/23 | South Korean Won | 983,331,620 | U.S. Dollars | 739,458 | SC | (11,058) | ||||||
10/19/23 | Mexican Pesos | 27,506,937 | U.S. Dollars | 1,584,451 | GSC | (11,308) | ||||||
10/19/23 | U.S. Dollars | 1,014,034 | Swedish Kronor | 11,232,052 | SS | (14,834) | ||||||
10/19/23 | U.S. Dollars | 3,150,547 | Norwegian Kroner | 33,846,281 | GSC | (15,370) | ||||||
10/19/23 | Czech Republic Koruna | 4,935,188 | U.S. Dollars | 230,647 | SS | (16,923) | ||||||
10/19/23 | Czech Republic Koruna | 4,872,994 | U.S. Dollars | 228,212 | UBS | (17,182) | ||||||
10/19/23 | Swedish Kronor | 16,379,491 | U.S. Dollars | 1,518,060 | GSC | (17,681) | ||||||
10/19/23 | British Pounds | 275,689 | U.S. Dollars | 360,212 | SS | (23,803) | ||||||
10/19/23 | Swedish Kronor | 7,881,046 | U.S. Dollars | 745,756 | SC | (23,844) | ||||||
10/19/23 | Mexican Pesos | 25,002,643 | U.S. Dollars | 1,453,873 | RBC | (23,953) | ||||||
10/19/23 | South African Rand | 11,560,940 | U.S. Dollars | 633,902 | SC | (24,345) | ||||||
10/19/23 | Mexican Pesos | 26,804,053 | U.S. Dollars | 1,557,343 | BNP | (24,399) | ||||||
10/19/23 | Euro | 581,050 | U.S. Dollars | 639,538 | RBC | (24,727) | ||||||
10/19/23 | Brazilian Reals | 4,494,124 | U.S. Dollars | 917,662 | SS | (26,047) | ||||||
10/19/23 | Mexican Pesos | 29,958,733 | U.S. Dollars | 1,739,419 | SC | (26,056) | ||||||
10/19/23 | Norwegian Kroner | 9,439,455 | U.S. Dollars | 910,771 | BNP | (27,822) | ||||||
10/19/23 | Brazilian Reals | 5,963,707 | U.S. Dollars | 1,212,720 | BNP | (29,546) | ||||||
10/19/23 | Swedish Kronor | 15,378,825 | U.S. Dollars | 1,441,094 | BNP | (32,377) | ||||||
10/19/23 | Japanese Yen | 210,619,364 | U.S. Dollars | 1,446,780 | BNP | (32,532) | ||||||
10/19/23 | U.S. Dollars | 3,304,842 | Swedish Kronor | 36,457,777 | UBS | (34,730) | ||||||
10/19/23 | Euro | 2,964,715 | U.S. Dollars | 3,175,165 | GSC | (38,189) | ||||||
10/19/23 | Norwegian Kroner | 8,483,031 | U.S. Dollars | 837,706 | SC | (44,219) | ||||||
10/20/23 | Euro | 930,000 | U.S. Dollars | 1,029,166 | GSC | (45,088) | ||||||
10/19/23 | Norwegian Kroner | 7,642,839 | U.S. Dollars | 762,545 | UBS | (47,649) | ||||||
10/19/23 | Swedish Kronor | 9,778,323 | U.S. Dollars | 949,781 | RBC | (54,076) | ||||||
10/19/23 | British Pounds | 686,087 | U.S. Dollars | 896,152 | UBS | (58,956) | ||||||
10/19/23 | British Pounds | 696,217 | U.S. Dollars | 909,522 | RBC | (59,965) | ||||||
10/19/23 | New Zealand Dollars | 1,742,763 | U.S. Dollars | 1,106,794 | BNP | (62,264) | ||||||
10/19/23 | Czech Republic Koruna | 18,171,017 | U.S. Dollars | 849,918 | RBC | (63,004) | ||||||
10/19/23 | Hungarian Forint | 420,743,242 | U.S. Dollars | 1,201,301 | GSC | (63,151) | ||||||
10/19/23 | U.S. Dollars | 4,803,296 | Swedish Kronor | 53,142,090 | GSC | (64,578) | ||||||
10/19/23 | Canadian Dollars | 2,936,002 | U.S. Dollars | 2,232,747 | BNP | (70,553) | ||||||
10/19/23 | Canadian Dollars | 6,004,048 | U.S. Dollars | 4,496,268 | GSC | (74,639) | ||||||
10/19/23 | Hungarian Forint | 373,386,382 | U.S. Dollars | 1,085,865 | SS | (75,819) |
GLOBAL BOND FUND
SCHEDULE OF
INVESTMENTS (Continued)
Expiration Date | Currency
Purchased |
Amount
of Currency Purchased |
Currency
Sold |
Amount
of Currency Sold |
Counter-
party |
Net
Unrealized Appreciation (Depreciation) | ||||||
10/19/23 | Polish Zloty | 3,706,189 | U.S. Dollars | 928,201 | SS | $ (80,312) | ||||||
10/19/23 | British Pounds | 2,437,636 | U.S. Dollars | 3,055,160 | GSC | (80,640) | ||||||
10/19/23 | Polish Zloty | 3,706,086 | U.S. Dollars | 928,596 | RBC | (80,731) | ||||||
10/19/23 | Swiss Francs | 1,102,547 | U.S. Dollars | 1,289,830 | CITI | (82,809) | ||||||
10/19/23 | Norwegian Kroner | 14,349,173 | U.S. Dollars | 1,428,589 | CITI | (86,394) | ||||||
10/19/23 | Czech Republic Koruna | 25,099,939 | U.S. Dollars | 1,173,950 | CITI | (86,973) | ||||||
10/19/23 | Australian Dollars | 1,993,446 | U.S. Dollars | 1,373,079 | UBS | (90,478) | ||||||
10/19/23 | New Zealand Dollars | 4,484,814 | U.S. Dollars | 2,792,666 | GSC | (104,682) | ||||||
10/19/23 | Swedish Kronor | 15,930,095 | U.S. Dollars | 1,564,339 | SS | (105,125) | ||||||
10/19/23 | Polish Zloty | 5,125,623 | U.S. Dollars | 1,283,821 | SC | (111,198) | ||||||
10/19/23 | New Zealand Dollars | 5,012,336 | U.S. Dollars | 3,118,135 | UBS | (113,979) | ||||||
10/19/23 | Swiss Francs | 1,530,059 | U.S. Dollars | 1,789,878 | SS | (114,835) | ||||||
10/19/23 | New Zealand Dollars | 3,270,000 | U.S. Dollars | 2,076,777 | RBC | (116,894) | ||||||
10/20/23 | South Korean Won | 3,422,044,000 | U.S. Dollars | 2,657,300 | GSC | (122,489) | ||||||
10/19/23 | Swiss Francs | 1,641,958 | U.S. Dollars | 1,920,304 | UBS | (122,759) | ||||||
10/19/23 | Czech Republic Koruna | 37,556,090 | U.S. Dollars | 1,755,491 | SC | (129,087) | ||||||
10/19/23 | Polish Zloty | 6,076,046 | U.S. Dollars | 1,521,521 | BNP | (131,464) | ||||||
10/20/23 | Canadian Dollars | 9,608,965 | U.S. Dollars | 7,258,842 | GSC | (182,302) | ||||||
10/19/23 | Norwegian Kroner | 35,734,063 | U.S. Dollars | 3,554,583 | RBC | (212,086) | ||||||
10/20/23 | Australian Dollars | 10,188,572 | U.S. Dollars | 6,800,648 | GSC | (244,981) | ||||||
10/19/23 | Euro | 4,832,619 | U.S. Dollars | 5,364,045 | BNP | (250,633) | ||||||
10/19/23 | Swedish Kronor | 50,016,453 | U.S. Dollars | 4,858,976 | CITI | (277,415) | ||||||
10/19/23 | Canadian Dollars | 12,477,402 | U.S. Dollars | 9,488,417 | SC | (299,541) | ||||||
10/19/23 | New Zealand Dollars | 8,381,916 | U.S. Dollars | 5,324,193 | SS | (300,470) | ||||||
10/19/23 | Swiss Francs | 6,117,121 | U.S. Dollars | 7,071,829 | BNP | (375,066) | ||||||
10/19/23 | Japanese Yen | 624,748,242 | U.S. Dollars | 4,571,630 | RBC | (376,628) | ||||||
10/19/23 | Australian Dollars | 10,598,426 | U.S. Dollars | 7,204,028 | BNP | (384,903) | ||||||
10/19/23 | Australian Dollars | 8,980,463 | U.S. Dollars | 6,171,895 | CITI | (393,783) | ||||||
10/19/23 | Swiss Francs | 6,901,393 | U.S. Dollars | 7,963,424 | GSC | (408,074) | ||||||
10/19/23 | Japanese Yen | 788,331,611 | U.S. Dollars | 5,771,349 | GSC | (477,932) | ||||||
10/19/23 | Japanese Yen | 1,065,605,760 | U.S. Dollars | 7,668,894 | SC | (513,662) | ||||||
10/19/23 | Australian Dollars | 16,425,638 | U.S. Dollars | 11,202,049 | SS | (633,643) | ||||||
10/19/23 | Japanese Yen | 1,289,852,281 | U.S. Dollars | 9,445,735 | UBS | (784,754) | ||||||
10/19/23 | British Pounds | 16,095,806 | U.S. Dollars | 20,981,277 | SC | (1,340,408) | ||||||
10/19/23 | Euro | 29,318,463 | U.S. Dollars | 32,824,270 | SS | (1,802,292) | ||||||
10/20/23 | Japanese Yen | 5,717,458,465 | U.S. Dollars | 41,217,156 | GSC | (2,819,151) | ||||||
10/19/23 | Euro | 49,075,542 | U.S. Dollars | 54,977,103 | UBS | (3,050,085) | ||||||
10/19/23 | Euro | 144,458,876 | U.S. Dollars | 162,004,856 | SC | (9,152,370) | ||||||
Subtotal Depreciation | $(27,390,990) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at September 30, 2023 | $ 2,335,844 |
Swap Agreements outstanding at September 30,
2023:
Reference Obligation | Fixed
Deal (Pay) Rate |
Maturity
Date |
Currency | Notional
Amount |
Market Value | Upfront
Premiums Paid/ (Received) |
Unrealized
Appreciation (Depreciation) | |||||||
Centrally Cleared Credit Default Swaps on Credit Indexes—Buy Protection | ||||||||||||||
iTraxx Europe & Crossover Series 40 (Pay Quarterly) | (5.00)% | 12/20/2028 | EUR | 10,944,000 | $(365,231) | $(378,282) | $13,051 | |||||||
Markit CDX.EM.IG.40 Index (Pay Quarterly) | (1.00)% | 12/20/2028 | USD | 14,024,000 | 760,863 | 719,431 | 41,432 | |||||||
$ 395,632 | $ 341,149 | $54,483 |
130
Pay Rate Index/Pay Rate | Receive
Rate Index/Receive Rate |
Maturity
Date |
Currency | Notional
Amount |
Market Value | Upfront
Premiums Paid/ (Received) |
Unrealized
Appreciation (Depreciation) | |||||||
Centrally Cleared Interest Rate Swaps | ||||||||||||||
7-Day CFETS Repo Rate (Quarterly) | 2.05% (Quarterly) | 8/17/2026 | CNY | 33,632,000 | $ (17,618) | $ — | $ (17,618) | |||||||
3-Month KWCDC (Quarterly) | 2.36% (Quarterly) | 2/11/2032 | KRW | 604,702,000 | (48,139) | — | (48,139) | |||||||
3-Month KWCDC (Quarterly) | 2.37% (Quarterly) | 2/18/2032 | KRW | 1,195,630,000 | (94,740) | — | (94,740) | |||||||
3-Month KWCDC (Quarterly) | 2.88% (Quarterly) | 8/11/2032 | KRW | 2,048,372,000 | (110,193) | — | (110,193) | |||||||
$(270,690) | $ — | $(270,690) |
For the Fund’s
Valuation Hierarchy (a summary of the inputs used in valuing the Fund’s investments carried at fair value) at June 30, 2023, see Schedule of Investments in the Fund’s Semi-Annual Report.
IMPACT BOND FUND
132
IMPACT BOND FUND
SCHEDULE OF
INVESTMENTS (Continued)
134
Par | Value | |||
0.63%, 08/15/30 | $3,200,000 | $ 2,456,625 | ||
7,440,112 | ||||
Total
U.S. Treasury Obligations (Cost $14,903,297) |
14,075,892 |
Shares | |||
MONEY MARKET FUNDS — 3.4% | |||
GuideStone
Money Market Fund, 5.25% (Institutional Class)Ø ∞ |
2,458,226 | 2,458,226 | |
Northern Institutional U.S. Treasury Portfolio (Premier), 5.20%Ø | 254,858 | 254,858 | |
Total
Money Market Funds (Cost $2,713,084) |
2,713,084 | ||
TOTAL
INVESTMENTS —100.6% (Cost $83,449,036) |
79,366,469 | ||
Liabilities
in Excess of Other Assets — (0.6)% |
(495,225) | ||
NET ASSETS — 100.0% | $78,871,244 |
For the Fund’s Valuation Hierarchy (a summary
of the inputs used in valuing the Fund’s investments carried at fair value) at June 30, 2023, see Schedule of Investments in the Fund’s Semi-Annual Report.
DEFENSIVE MARKET STRATEGIES® FUND
136
DEFENSIVE MARKET STRATEGIES® FUND
SCHEDULE OF INVESTMENTS (Continued)
138
DEFENSIVE MARKET STRATEGIES® FUND
SCHEDULE OF INVESTMENTS (Continued)
140
DEFENSIVE MARKET STRATEGIES® FUND
SCHEDULE OF INVESTMENTS (Continued)
142
Futures Contracts outstanding at September 30,
2023:
Future Type | Expiration Date | Open
Long (Short) Contracts |
Notional
Market Value of Contracts |
Value
and Unrealized Appreciation (Depreciation) | ||||
S&P 500® E-Mini | 12/2023 | 67 | $14,490,425 | $ (621,712) | ||||
10-Year U.S. Treasury Note | 12/2023 | 110 | 11,886,875 | (222,874) | ||||
U.S. Treasury Long Bond | 12/2023 | 51 | 5,802,844 | (325,173) | ||||
2-Year U.S. Treasury Note | 12/2023 | 52 | 10,540,969 | (31,464) | ||||
5-Year U.S. Treasury Note | 12/2023 | 369 | 38,877,609 | (330,724) | ||||
Total Futures Contracts outstanding at September 30, 2023 | $81,598,722 | $(1,531,947) |
Forward Foreign Currency
Contracts outstanding at September 30, 2023:
Expiration Date | Currency
Purchased |
Amount
of Currency Purchased |
Currency
Sold |
Amount
of Currency Sold |
Counter-
party |
Net
Unrealized Appreciation (Depreciation) | ||||||
12/22/23 | U.S. Dollars | 5,277,467 | Swiss Francs | 4,766,160 | MSCS | $20,036 | ||||||
12/22/23 | U.S. Dollars | 2,953,416 | Euro | 2,777,469 | MSCS | 4,824 | ||||||
12/22/23 | U.S. Dollars | 2,952,824 | Euro | 2,777,468 | JPM | 4,232 | ||||||
12/22/23 | U.S. Dollars | 651,062 | Canadian Dollars | 877,859 | GSC | 3,839 | ||||||
12/22/23 | U.S. Dollars | 2,952,291 | Euro | 2,777,469 | BOA | 3,699 | ||||||
12/22/23 | U.S. Dollars | 1,436,209 | British Pounds | 1,175,473 | GSC | 1,106 | ||||||
Subtotal Appreciation | $37,736 | |||||||||||
12/22/23 | Canadian Dollars | 27,117 | U.S. Dollars | 20,109 | GSC | $ (117) | ||||||
12/22/23 | U.S. Dollars | 507,679 | Swedish Kronor | 5,589,355 | UBS | (6,200) | ||||||
Subtotal Depreciation | $ (6,317) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at September 30, 2023 | $31,419 |
For the Fund’s
Valuation Hierarchy (a summary of the inputs used in valuing the Fund’s investments carried at fair value) at June 30, 2023, see Schedule of Investments in the Fund’s Semi-Annual Report.
IMPACT EQUITY FUND
144
IMPACT EQUITY FUND
SCHEDULE OF
INVESTMENTS (Continued)
146
Futures Contracts outstanding at September
30, 2023:
Future Type | Expiration Date | Open
Long (Short) Contracts |
Notional
Market Value of Contracts |
Value
and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index | 12/2023 | 5 | $ 510,375 | $(15,976) | ||||
MSCI Emerging Markets | 12/2023 | 6 | 286,650 | (9,604) | ||||
S&P 500® E-Mini | 12/2023 | 6 | 1,297,650 | (60,795) | ||||
Total Futures Contracts outstanding at September 30, 2023 | $2,094,675 | $(86,375) |
For the
Fund’s Valuation Hierarchy (a summary of the inputs used in valuing the Fund’s investments carried at fair value) at June 30, 2023, see Schedule of Investments in the Fund’s Semi-Annual Report.
EQUITY INDEX FUND
148
EQUITY INDEX FUND
SCHEDULE OF
INVESTMENTS (Continued)
150
EQUITY INDEX FUND
SCHEDULE OF
INVESTMENTS (Continued)
152
Shares | Value | |||
Northern Institutional Liquid Assets Portfolio (Shares), 5.50%ا | 382,413 | $ 382,413 | ||
Northern Institutional U.S. Treasury Portfolio (Premier), 5.20%Ø | 8,846,994 | 8,846,994 | ||
Total
Money Market Funds (Cost $63,755,550) |
63,755,550 | |||
TOTAL
INVESTMENTS — 99.9% (Cost $2,089,912,677) |
3,247,455,016 | |||
Other
Assets in Excess of Liabilities — 0.1% |
4,560,337 | |||
NET ASSETS — 100.0% | $3,252,015,353 |
Futures Contracts outstanding at September 30,
2023:
Future Type | Expiration Date | Open
Long (Short) Contracts |
Notional
Market Value of Contracts |
Value
and Unrealized Appreciation (Depreciation) | ||||
S&P 500® E-Mini | 12/2023 | 300 | $64,882,500 | $(2,478,887) |
For the Fund’s
Valuation Hierarchy (a summary of the inputs used in valuing the Fund’s investments carried at fair value) at June 30, 2023, see Schedule of Investments in the Fund’s Semi-Annual Report.
VALUE EQUITY INDEX FUND
154
VALUE EQUITY INDEX FUND
SCHEDULE OF
INVESTMENTS (Continued)
156
VALUE EQUITY INDEX FUND
SCHEDULE OF
INVESTMENTS (Continued)
158
VALUE EQUITY INDEX FUND
SCHEDULE OF
INVESTMENTS (Continued)
160
VALUE EQUITY INDEX FUND
SCHEDULE OF
INVESTMENTS (Continued)
Futures Contracts outstanding at September 30,
2023:
Future Type | Expiration Date | Open
Long (Short) Contracts |
Notional
Market Value of Contracts |
Value
and Unrealized Appreciation (Depreciation) | ||||
S&P 500® E-Mini | 12/2023 | 21 | $4,541,775 | $(153,917) | ||||
S&P 500® Micro E-Mini | 12/2023 | 19 | 410,923 | (17,634) | ||||
Total Futures Contracts outstanding at September 30, 2023 | $4,952,698 | $(171,551) |
For the Fund’s
Valuation Hierarchy (a summary of the inputs used in valuing the Fund’s investments carried at fair value) at June 30, 2023, see Schedule of Investments in the Fund’s Semi-Annual Report.
162
VALUE EQUITY FUND
VALUE EQUITY FUND
SCHEDULE OF
INVESTMENTS (Continued)
Futures Contracts outstanding at September
30, 2023:
Future Type | Expiration Date | Open
Long (Short) Contracts |
Notional
Market Value of Contracts |
Value
and Unrealized Appreciation (Depreciation) | ||||
S&P 500® E-Mini | 12/2023 | 76 | $16,436,900 | $(551,023) |
164
Forward Foreign Currency Contracts outstanding at
September 30, 2023:
Expiration Date | Currency
Purchased |
Amount
of Currency Purchased |
Currency
Sold |
Amount
of Currency Sold |
Counter-
party |
Net
Unrealized Appreciation (Depreciation) | ||||||
12/22/23 | U.S. Dollars | 11,881,572 | Swiss Francs | 10,730,425 | MSCS | $45,108 | ||||||
12/22/23 | U.S. Dollars | 10,994,156 | British Pounds | 8,998,327 | GSC | 8,342 | ||||||
12/22/23 | U.S. Dollars | 5,003,929 | Euro | 4,705,825 | MSCS | 8,173 | ||||||
12/22/23 | U.S. Dollars | 5,002,927 | Euro | 4,705,824 | JPM | 7,171 | ||||||
12/22/23 | U.S. Dollars | 5,002,023 | Euro | 4,705,825 | MLIB | 6,268 | ||||||
Subtotal Appreciation | $75,062 | |||||||||||
12/22/23 | British Pounds | 182,889 | U.S. Dollars | 223,569 | GSC | $ (284) | ||||||
Subtotal Depreciation | $ (284) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at September 30, 2023 | $74,778 |
For the Fund’s
Valuation Hierarchy (a summary of the inputs used in valuing the Fund’s investments carried at fair value) at June 30, 2023, see Schedule of Investments in the Fund’s Semi-Annual Report.
GROWTH EQUITY INDEX FUND
166
GROWTH EQUITY INDEX FUND
SCHEDULE OF
INVESTMENTS (Continued)
168
GROWTH EQUITY INDEX FUND
SCHEDULE OF
INVESTMENTS (Continued)
Shares | Value | |||
Northern Institutional U.S. Treasury Portfolio (Premier), 5.20%Ø | 73,276 | $ 73,276 | ||
Total
Money Market Funds (Cost $5,024,548) |
5,024,548 | |||
TOTAL
INVESTMENTS — 99.8% (Cost $151,457,390) |
171,642,770 | |||
Other
Assets in Excess of Liabilities — 0.2% |
269,937 | |||
NET ASSETS — 100.0% | $171,912,707 |
Futures Contracts outstanding at September 30,
2023:
Future Type | Expiration Date | Open
Long (Short) Contracts |
Notional
Market Value of Contracts |
Value
and Unrealized Appreciation (Depreciation) | ||||
S&P 500® E-Mini | 12/2023 | 21 | $4,541,775 | $(162,036) | ||||
S&P 500® Micro E-Mini | 12/2023 | 17 | 367,668 | (15,778) | ||||
Total Futures Contracts outstanding at September 30, 2023 | $4,909,443 | $(177,814) |
For the Fund’s
Valuation Hierarchy (a summary of the inputs used in valuing the Fund’s investments carried at fair value) at June 30, 2023, see Schedule of Investments in the Fund’s Semi-Annual Report.
170
GROWTH EQUITY FUND
GROWTH EQUITY FUND
SCHEDULE OF
INVESTMENTS (Continued)
Futures Contracts outstanding at September
30, 2023:
Future Type | Expiration Date | Open
Long (Short) Contracts |
Notional
Market Value of Contracts |
Value
and Unrealized Appreciation (Depreciation) | ||||
S&P 500® E-Mini | 12/2023 | 116 | $25,087,900 | $(591,649) |
For the
Fund’s Valuation Hierarchy (a summary of the inputs used in valuing the Fund’s investments carried at fair value) at June 30, 2023, see Schedule of Investments in the Fund’s Semi-Annual Report.
172
SMALL CAP EQUITY FUND
SMALL CAP EQUITY FUND
SCHEDULE OF
INVESTMENTS (Continued)
174
SMALL CAP EQUITY FUND
SCHEDULE OF
INVESTMENTS (Continued)
176
SMALL CAP EQUITY FUND
SCHEDULE OF
INVESTMENTS (Continued)
178
Shares | Value | |||
Sweden — 0.1% | ||||
Loomis ABΔ | 35,634 | $ 959,012 | ||
United Kingdom — 0.4% | ||||
Gates Industrial Corporation PLC* | 192,855 | 2,239,046 | ||
Luxfer Holdings PLC | 23,172 | 302,395 | ||
2,541,441 | ||||
Total
Foreign Common Stocks (Cost $33,788,372) |
33,058,142 |
RIGHTS — 0.0% | |||
Aduro Biotech, Inc.†††* | 2,713 | — | |
Omniab, Inc.†††* | 7,376 | 1 | |
Omniab, Inc. (NASDAQ Exchange)†††* | 7,376 | 1 | |
Total
Rights (Cost $—) |
2 | ||
MONEY MARKET FUNDS — 5.6% | |||
GuideStone
Money Market Fund, 5.25% (Institutional Class)Ø∞ |
29,401,761 | 29,401,761 | |
Northern Institutional Liquid Assets Portfolio (Shares), 5.50%ا | 9,097,603 | 9,097,603 | |
Northern Institutional U.S. Government Portfolio (Shares), 5.14%Ø | 67,014 | 67,014 | |
Northern Institutional U.S. Treasury Portfolio (Premier), 5.20%Ø | 730,340 | 730,340 | |
Total
Money Market Funds (Cost $39,296,718) |
39,296,718 | ||
TOTAL
INVESTMENTS — 100.9% (Cost $713,196,302) |
708,157,458 | ||
Liabilities
in Excess of Other Assets — (0.9)% |
(6,622,679) | ||
NET ASSETS — 100.0% | $701,534,779 |
SMALL CAP EQUITY FUND
SCHEDULE OF
INVESTMENTS (Continued)
Futures Contracts outstanding at September 30,
2023:
Future Type | Expiration Date | Open
Long (Short) Contracts |
Notional
Market Value of Contracts |
Value
and Unrealized Appreciation (Depreciation) | ||||
E-Mini Russell 2000 Index | 12/2023 | 162 | $14,568,660 | $(585,572) |
Forward Foreign Currency
Contracts outstanding at September 30, 2023:
Expiration Date | Currency
Purchased |
Amount
of Currency Purchased |
Currency
Sold |
Amount
of Currency Sold |
Counter-
party |
Net
Unrealized Appreciation (Depreciation) | ||||||
12/22/23 | U.S. Dollars | 889,741 | Swedish Kronor | 9,795,715 | UBS | $(10,867) | ||||||
Total Forward Foreign Currency Contracts outstanding at September 30, 2023 | $(10,867) |
For the Fund’s
Valuation Hierarchy (a summary of the inputs used in valuing the Fund’s investments carried at fair value) at June 30, 2023, see Schedule of Investments in the Fund’s Semi-Annual Report.
180
INTERNATIONAL EQUITY INDEX FUND
INTERNATIONAL EQUITY INDEX FUND
SCHEDULE OF
INVESTMENTS (Continued)
182
INTERNATIONAL EQUITY INDEX FUND
SCHEDULE OF
INVESTMENTS (Continued)
184
INTERNATIONAL EQUITY INDEX FUND
SCHEDULE OF
INVESTMENTS (Continued)
186
Futures Contracts outstanding at September
30, 2023:
Future Type | Expiration Date | Open
Long (Short) Contracts |
Notional
Market Value of Contracts |
Value
and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index | 12/2023 | 286 | $29,193,450 | $(831,715) |
For the
Fund’s Valuation Hierarchy (a summary of the inputs used in valuing the Fund’s investments carried at fair value) at June 30, 2023, see Schedule of Investments in the Fund’s Semi-Annual Report.
INTERNATIONAL EQUITY FUND
188
INTERNATIONAL EQUITY FUND
SCHEDULE OF
INVESTMENTS (Continued)
190
INTERNATIONAL EQUITY FUND
SCHEDULE OF
INVESTMENTS (Continued)
Futures Contracts outstanding at September
30, 2023:
Future Type | Expiration Date | Open
Long (Short) Contracts |
Notional
Market Value of Contracts |
Value
and Unrealized Appreciation (Depreciation) | ||||
CAC40 10 Euro | 10/2023 | (105) | $ (7,938,970) | $ 70,314 | ||||
IBEX 35 Index | 10/2023 | (22) | (2,195,697) | (161) | ||||
OMXS30 Index | 10/2023 | (371) | (7,334,734) | 20,419 | ||||
Hang Seng Index | 10/2023 | 76 | 8,680,709 | 79,737 | ||||
MSCI Singapore Index | 10/2023 | (1) | (20,896) | (364) | ||||
Topix Index® | 12/2023 | 270 | 41,979,724 | (632,066) | ||||
S&P/TSX 60 Index | 12/2023 | (108) | (18,706,482) | 664,729 | ||||
DAX Index | 12/2023 | (37) | (15,183,750) | 169,065 | ||||
FTSE 100 Index | 12/2023 | 162 | 15,162,208 | 88,985 | ||||
FTSE/MIB Index | 12/2023 | 199 | 29,752,693 | (293,190) | ||||
MSCI EAFE Index | 12/2023 | 315 | 32,153,625 | (957,559) | ||||
ASX SPI 200 Index | 12/2023 | 87 | 9,909,178 | (4,599) | ||||
Total Futures Contracts outstanding at September 30, 2023 | $ 86,257,608 | $(794,690) |
192
Forward Foreign Currency Contracts outstanding at
September 30, 2023:
Expiration Date | Currency
Purchased |
Amount
of Currency Purchased |
Currency
Sold |
Amount
of Currency Sold |
Counter-
party |
Net
Unrealized Appreciation (Depreciation) | ||||||
12/20/23 | U.S. Dollars | 31,171,371 | Swiss Francs | 27,309,000 | CITI | $ 1,055,449 | ||||||
12/20/23 | U.S. Dollars | 42,518,920 | Japanese Yen | 6,126,701,000 | CITI | 948,684 | ||||||
12/20/23 | U.S. Dollars | 19,470,661 | Euro | 18,097,000 | CITI | 261,186 | ||||||
12/20/23 | Australian Dollars | 15,907,500 | U.S. Dollars | 10,199,289 | CITI | 58,219 | ||||||
12/20/23 | Norwegian Kroner | 155,736,839 | U.S. Dollars | 14,556,172 | CITI | 37,078 | ||||||
12/20/23 | Swedish Kronor | 18,000,000 | U.S. Dollars | 1,628,287 | CITI | 26,341 | ||||||
12/20/23 | U.S. Dollars | 704,646 | Danish Kroner | 4,860,000 | CITI | 12,347 | ||||||
12/20/23 | U.S. Dollars | 1,007,996 | Singapore Dollars | 1,359,000 | CITI | 10,085 | ||||||
12/20/23 | U.S. Dollars | 1,324,368 | British Pounds | 1,081,000 | CITI | 4,638 | ||||||
12/20/23 | Japanese Yen | 390,000,000 | U.S. Dollars | 2,642,423 | CITI | 3,763 | ||||||
12/20/23 | U.S. Dollars | 2,576,323 | Swedish Kronor | 28,000,000 | CITI | 2,457 | ||||||
12/20/23 | U.S. Dollars | 429,259 | Hong Kong Dollars | 3,353,000 | CITI | 347 | ||||||
12/20/23 | Israeli Shekels | 220,000 | U.S. Dollars | 57,636 | CITI | 288 | ||||||
12/20/23 | Danish Kroner | 565,000 | U.S. Dollars | 80,458 | CITI | 25 | ||||||
12/20/23 | Singapore Dollars | 8,000 | U.S. Dollars | 5,863 | CITI | 11 | ||||||
12/20/23 | U.S. Dollars | 2,376 | Israeli Shekels | 9,000 | CITI | 7 | ||||||
Subtotal Appreciation | $ 2,420,925 | |||||||||||
12/20/23 | U.S. Dollars | 4,404 | Singapore Dollars | 6,000 | CITI | $ (2) | ||||||
12/20/23 | U.S. Dollars | 37,324 | Israeli Shekels | 143,000 | CITI | (326) | ||||||
12/20/23 | U.S. Dollars | 98,420 | Danish Kroner | 695,000 | CITI | (582) | ||||||
12/20/23 | U.S. Dollars | 415,130 | Australian Dollars | 645,000 | CITI | (780) | ||||||
12/20/23 | Singapore Dollars | 583,000 | U.S. Dollars | 429,447 | CITI | (1,351) | ||||||
12/20/23 | Hong Kong Dollars | 40,889,987 | U.S. Dollars | 5,233,000 | CITI | (2,390) | ||||||
12/20/23 | Israeli Shekels | 5,370,000 | U.S. Dollars | 1,419,558 | CITI | (5,700) | ||||||
12/20/23 | Japanese Yen | 340,000,000 | U.S. Dollars | 2,314,562 | CITI | (7,630) | ||||||
12/20/23 | U.S. Dollars | 5,424,266 | British Pounds | 4,459,000 | CITI | (19,467) | ||||||
12/20/23 | Australian Dollars | 12,405,500 | U.S. Dollars | 8,031,544 | CITI | (32,203) | ||||||
12/20/23 | U.S. Dollars | 4,994,792 | Swedish Kronor | 55,000,000 | CITI | (61,016) | ||||||
12/20/23 | Swiss Francs | 2,027,000 | U.S. Dollars | 2,297,968 | CITI | (62,626) | ||||||
12/20/23 | Norwegian Kroner | 137,884,161 | U.S. Dollars | 12,987,022 | CITI | (66,650) | ||||||
12/20/23 | Danish Kroner | 20,438,000 | U.S. Dollars | 2,981,131 | CITI | (69,770) | ||||||
12/20/23 | U.S. Dollars | 29,671,675 | New Zealand Dollars | 49,956,000 | CITI | (270,474) | ||||||
12/20/23 | Euro | 67,561,739 | U.S. Dollars | 73,330,734 | CITI | (1,615,781) | ||||||
12/20/23 | British Pounds | 60,290,000 | U.S. Dollars | 75,577,673 | CITI | (1,973,126) | ||||||
Subtotal Depreciation | $(4,189,874) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at September 30, 2023 | $(1,768,949) |
Swap Agreements
outstanding at September 30, 2023:
Pay Rate Index/Pay Rate | Receive
Rate Index/Receive Rate |
Maturity
Date |
Counterparty | Currency | Notional
Amount |
Market Value | Upfront
Premiums Paid/ (Received) |
Unrealized
Appreciation (Depreciation) | ||||||||
Total Return Swaps | ||||||||||||||||
Increase in total return of AEX Index (At Termination) | Decrease in total return of AEX Index (At Termination) | 10/20/2023 | GSC | EUR | 16,795,750 | $210,050 | $ — | $210,050 | ||||||||
Increase in total return of Swiss Market Index (At Termination) | Decrease in total return of Swiss Market Index (At Termination) | 12/15/2023 | GSC | CHF | 9,241,680 | 13,331 | — | 13,331 | ||||||||
Financing Index: 1-Month TELBOR - 0.2% | Tel Aviv Interbank Offered Rate (Monthly) | 12/20/2023 | GSC | ILS | 168,078,972 | 6,668 | — | 6,668 | ||||||||
MSCI Canada Net Return CAD Index (Monthly) | Financing Index: Canadian Overnight Repo Rate Average - 0.4% | 12/20/2023 | GSC | CAD | 206,586 | 189,408 | — | 189,408 |
INTERNATIONAL EQUITY FUND
SCHEDULE OF
INVESTMENTS (Continued)
Pay Rate Index/Pay Rate | Receive
Rate Index/Receive Rate |
Maturity
Date |
Counterparty | Currency | Notional
Amount |
Market Value | Upfront
Premiums Paid/ (Received) |
Unrealized
Appreciation (Depreciation) | ||||||||
MSCI Netherlands Net Return EUR Index (Monthly) | Financing Index: Euro Short Term Rate - 0.11% | 12/20/2023 | GSC | EUR | 2,839,434 | $ 20,258 | $ — | $ 20,258 | ||||||||
MSCI Switzerland Net Return CHF Index (Monthly) | Financing Index: Swiss Average Rate Overnight - 0.27% | 12/20/2023 | GSC | CHF | 135,759 | 478 | — | 478 | ||||||||
Subtotal Appreciation | $440,193 | $ — | $440,193 | |||||||||||||
Financing Index: 1-Day SONIA + 0.41% | MSCI United Kingdom Net Return GBP Index (Monthly) | 12/20/2023 | GSC | GBP | 48,660 | $ (9,909) | $ — | $ (9,909) | ||||||||
Financing Index: Bank of Japan Unsecured Overnight Call Rate - 0.37% | MSCI Japan Net Return JPY Index (Monthly) | 12/20/2023 | GSC | JPY | 132,498,528 | (38,710) | — | (38,710) | ||||||||
Financing Index: Euro Short Term Rate + 0.2% | MSCI Italy Net Return EUR Index (Monthly) | 12/20/2023 | GSC | EUR | 18,123,999 | (12,423) | — | (12,423) | ||||||||
MSCI Spain Net Return EUR Index (Monthly) | Financing Index: Euro Short Term Rate - 0.34% | 12/20/2023 | GSC | EUR | 4,852,131 | (5,636) | — | (5,636) | ||||||||
MSCI Sweden Net Return SEK Index (Monthly) | Financing Index: 1-Month STIBOR - 0.63% | 12/20/2023 | GSC | SEK | 103,766 | (9,656) | — | (9,656) | ||||||||
Subtotal Depreciation | $ (76,334) | $ — | $ (76,334) | |||||||||||||
Net Total Return Swaps outstanding at September 30, 2023 | $363,859 | $ — | $363,859 |
Total Return Basket Swap
Agreements outstanding at September 30, 2023:
Description | Maturity
Date |
Counterparty | Notional
Amount |
Market Value | Upfront
Premiums Paid/ (Received) |
Unrealized
Appreciation (Depreciation) | ||||||
The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the SONIA plus or minus a specified spread (-0.25% to 0.25%), which is denominated in GBP based on the local currencies of the positions within the swap (Monthly).* | 23-60 months maturity ranging from 08/08/2025 - 09/15/2028 | GSC | $ 29,082,960 | $1,182,243 | $— | $1,182,243 | ||||||
The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the EONIA plus or minus a specified spread (-0.35% to 0.25%), which is denominated in EUR based on the local currencies of the positions within the swap (Monthly).** | 23-59 months maturity ranging from 08/08/2025 - 08/31/2028 | GSC | 48,553,413 | 483,196 | — | 483,196 | ||||||
The Fund receives the total return on a portfolio of short equity positions and receives the RBA minus a specified spread (-0.40%), which is denominated in AUD based on the local currencies of the positions within the swap (Monthly).*** | 40-60 months maturity ranging from 01/06/2027 - 09/15/2028 | GSC | 13,331,238 | 317,197 | — | 317,197 | ||||||
The Fund receives the total return on a portfolio of short equity positions and receives the MUTSCALM minus a specified spread (-0.30%), which is denominated in JPY based on the local currencies of the positions within the swap (Monthly).**** | 23-60 months maturity ranging from 08/08/2025 - 09/15/2028 | GSC | 1,915,999,887 | 306,940 | — | 306,940 |
194
Description | Maturity
Date |
Counterparty | Notional
Amount |
Market Value | Upfront
Premiums Paid/ (Received) |
Unrealized
Appreciation (Depreciation) | ||||||
The Fund receives the total return on a portfolio of short equity positions and receives the SSARON minus a specified spread (-1.75 to -0.35%), which is denominated in CHF based on the local currencies of the positions within the swap (Monthly). | 40-59 months maturity ranging from 01/06/2027 - 08/31/2028 | GSC | $ 3,421,325 | $ 271,704 | $ — | $ 271,704 | ||||||
The Fund receives the total return on a portfolio of long equity positions and pays HIBOR plus a specified spread (0.33%), which is denominated in HKD based on the local currencies of the positions within the swap (Monthly). | 26-59 months maturity ranging from 08/08/2025 - 05/25/2028 | GSC | 40,985,166 | 66,107 | — | 66,107 | ||||||
The Fund receives the total return on a portfolio of short equity positions and receives the STIBOR minus a specified spread ( -0.35%), which is denominated in SEK based on the local currencies of the positions within the swap (Monthly). | 54-59 months maturity ranging from 03/03/2028 - 08/07/2028 | GSC | 19,988,279 | 21,556 | — | 21,556 | ||||||
The Fund receives the total return on a portfolio of short equity positions and pays 1-Month SORA minus a specified spread (0.40%), which is denominated in SGD based on the local currencies of the positions within the swap (Monthly). | 54-60 months maturity ranging from 03/23/2028 - 09/15/2028 | GSC | 575,285 | 7,831 | — | 7,831 | ||||||
The Fund receives the total return on a portfolio of short equity positions and receives the NOWA minus a specified spread (-0.35%), which is denominated in NOK based on the local currencies of the positions within the swap (Monthly). | 50-55 months maturity ranging from 11/03/2027 - 04/21/2028 | GSC | 15,551,759 | 5,063 | — | 5,063 | ||||||
The Fund receives the total return on a portfolio of short equity positions and receives the DETNT/N minus a specified spread (-0.35%), which is denominated in DKK based on the local currencies of the positions within the swap (Monthly). | 23-56 months maturity ranging from 08/08/2025 - 05/26/2028 | GSC | 3,381,694 | 13,606 | — | 13,606 | ||||||
Subtotal Appreciation | $2,675,443 | $ — | $2,675,443 |
* The following table represents disclosures associated with the underlying components of the total return basket swap as of year end. |
Common Stocks | Shares | Notional | Unrealized
Appreciation (Depreciation) |
Percentage
of Swap Value | ||||
HSBC Holdings PLC | 623,491 | $ 3,998,901 | $ 441,273 | 37.33% | ||||
Shell PLC | 151,096 | 3,924,982 | 201,174 | 17.02 | ||||
BP PLC | 491,859 | 2,598,550 | 93,088 | 7.87 | ||||
Centrica PLC | 1,629,943 | 2,512,728 | (172,160) | (14.56) | ||||
Antofagasta PLC | (120,999) | 1,721,592 | 118,970 | 10.06 | ||||
Vodafone Group PLC | 2,226,409 | 1,710,546 | 41,312 | 3.49 | ||||
Marks & Spencer Group PLC | 717,220 | 1,690,749 | 128,733 | 10.89 | ||||
Rolls-Royce Holdings PLC | 657,321 | 1,443,501 | (33,739) | (2.85) | ||||
InterContinental Hotels Group PLC | 20,705 | 1,254,999 | (9,415) | (0.80) | ||||
Barratt Developments PLC | 262,815 | 1,154,919 | 64,298 | 5.44 |
INTERNATIONAL EQUITY FUND
SCHEDULE OF
INVESTMENTS (Continued)
Common Stocks | Shares | Notional | Unrealized
Appreciation (Depreciation) |
Percentage
of Swap Value | ||||
Associated British Foods PLC | 43,201 | $ 889,579 | $ 28,144 | 2.38% | ||||
Whitbread PLC | 21,049 | 726,181 | (36,361) | (3.08) | ||||
Barclays PLC | 416,974 | 658,706 | 64,799 | 5.48 | ||||
Carnival PLC | (54,769) | 543,554 | 60,566 | 5.12 | ||||
Compass Group PLC | 26,310 | 524,897 | (10,841) | (0.92) | ||||
Ocado Group PLC | (86,491) | 515,422 | 225,861 | 19.10 | ||||
Pearson PLC | 57,610 | 498,180 | (8,544) | (0.72) | ||||
Man Group PLC | 189,474 | 422,092 | 29,464 | 2.49 | ||||
3i Group PLC | 16,377 | 337,857 | 7,630 | 0.65 | ||||
London Stock Exchange Group PLC | 3,917 | 321,765 | (3,322) | (0.28) | ||||
TUI AG | 58,370 | 262,229 | (20,518) | (1.73) | ||||
Haleon PLC | 77,158 | 262,132 | 15,025 | 1.27 | ||||
Rentokil Initial PLC | (36,222) | 220,420 | (10,192) | (0.86) | ||||
Direct Line Insurance Group | 100,936 | 173,069 | (6,103) | (0.52) | ||||
Hiscox, Ltd. | 16,474 | 165,086 | (5,868) | (0.50) | ||||
Anglo American PLC | (6,397) | 143,971 | (13,629) | (1.15) | ||||
Croda International PLC | (2,218) | 108,585 | 5,696 | 0.48 | ||||
Melrose Industries PLC | (22,239) | 103,902 | 4,996 | 0.42 | ||||
Burberry Group PLC | 4,642 | 88,171 | (13,176) | (1.11) | ||||
Coca-Cola HBC AG CDI | 2,823 | 63,267 | (1,216) | (0.10) | ||||
EasyJet PLC | 9,987 | 42,428 | (3,702) | (0.31) | ||||
$29,082,960 | $1,182,243 | 100.00% |
** The following table represents disclosures associated with the underlying components of the total return basket swap as of year end. |
Common Stocks | Shares | Notional | Unrealized
Appreciation (Depreciation) |
Percentage
of Swap Value | ||||
Repsol SA | 212,059 | $ 3,299,278 | $ 101,103 | 20.92% | ||||
Sanofi | 29,467 | 2,992,695 | (13,750) | (2.84) | ||||
Sodexo SA | 29,111 | 2,834,624 | (113,955) | (23.58) | ||||
TotalEnergies SE | 39,211 | 2,438,494 | 82,304 | 17.03 | ||||
Cellnex Telecom SA | (65,773) | 2,163,837 | 149,893 | 31.02 | ||||
Rexel SA | 101,227 | 2,145,273 | (102,325) | (21.18) | ||||
Eiffage SA | 22,265 | 1,998,904 | (40,093) | (8.30) | ||||
Engie SA | 113,119 | 1,640,872 | (47,529) | (9.84) | ||||
Banco de Sabadell SA | 1,356,687 | 1,484,525 | 57,242 | 11.85 | ||||
Dassault Aviation SA | 8,119 | 1,446,406 | (34,118) | (7.06) | ||||
Unibail-Rodamco-Westfield REIT | (28,391) | 1,320,540 | 71,840 | 14.87 | ||||
Banco Santander SA | 353,873 | 1,274,602 | 60,503 | 12.52 | ||||
Orange SA | 112,772 | 1,223,481 | (10,300) | (2.13) | ||||
Ferrari NV | (3,903) | 1,088,246 | 7,537 | 1.56 | ||||
adidas AG | (6,456) | 1,071,117 | 83,303 | 17.24 | ||||
Mapfre SA | 532,790 | 1,025,456 | (28,638) | (5.93) | ||||
Compagnie De Saint Gobain | 17,735 | 1,003,970 | (16,185) | (3.35) | ||||
STMicroelectronics NV | 24,448 | 997,184 | (8,187) | (1.69) | ||||
Bankinter SA | 142,550 | 857,793 | 38,043 | 7.87 | ||||
Sartorius Stedim Biotech | (3,605) | 811,201 | 124,636 | 25.79 | ||||
Adyen NV | (1,071) | 751,077 | 8,706 | 1.80 | ||||
Faurecia SE (Euronext Paris Exchange) | (38,513) | 749,441 | (5,277) | (1.09) | ||||
BNP Paribas SA | 12,414 | 746,616 | 7,018 | 1.45 | ||||
Telefonica | 188,738 | 729,307 | (7,353) | (1.52) | ||||
Rubis | 33,184 | 702,962 | (55,272) | (11.44) | ||||
Ipsen SA | 5,289 | 655,450 | 6,754 | 1.40 |
196
Common Stocks | Shares | Notional | Unrealized
Appreciation (Depreciation) |
Percentage
of Swap Value | ||||
SCOR SE | 20,095 | $ 590,103 | $ (24,066) | (4.98)% | ||||
Kering SA | 1,330 | 571,580 | (55,161) | (11.41) | ||||
Covestro AG | (11,199) | 569,615 | 32,201 | 6.67 | ||||
Axa SA | 19,718 | 553,332 | 1,194 | 0.25 | ||||
Bouygues SA | 16,408 | 542,633 | 17,590 | 3.64 | ||||
ASM International NV | (1,350) | 533,223 | 45,629 | 9.44 | ||||
Industria de Diseno Textil SA | 14,785 | 520,388 | (10,427) | (2.16) | ||||
Banco Bilbao Vizcaya Argentaria SA | (60,464) | 462,834 | (36,679) | (7.59) | ||||
CTS Eventim AG & Co. KGaA | (8,455) | 453,948 | 21,560 | 4.46 | ||||
Delivery Hero SE | (15,867) | 428,525 | 56,839 | 11.76 | ||||
Corp ACCIONA Energias Renovables | (17,177) | 418,482 | 40,441 | 8.37 | ||||
Eurofins Scientific | (7,494) | 399,471 | 7,593 | 1.57 | ||||
Safran SA | 2,685 | 397,980 | (6,033) | (1.25) | ||||
Renault SA | 9,359 | 362,201 | 20,784 | 4.30 | ||||
Siemens Healthineers AG | (7,291) | 348,822 | (19,371) | (4.01) | ||||
Brembo SpA | (26,838) | 314,699 | 14,832 | 3.07 | ||||
Valeo | (18,752) | 304,359 | 26,643 | 5.51 | ||||
Societe Generale SA | 13,133 | 300,579 | (39,805) | (8.24) | ||||
Wacker Chemie AG | (2,203) | 297,551 | 2,702 | 0.56 | ||||
Nexi SpA | (49,972) | 287,996 | 28,692 | 5.94 | ||||
DiaSorin SpA | (3,340) | 287,679 | 24,188 | 5.01 | ||||
Reply SPA | (2,899) | 257,289 | (2,341) | (0.48) | ||||
Stora Enso OYJ, R Shares | (20,383) | 241,634 | (2,884) | (0.60) | ||||
Credit Agricole SA | 19,529 | 227,104 | 6,376 | 1.32 | ||||
Other | (30,081) | 1,428,033 | 16,799 | 3.48 | ||||
$48,553,411 | $ 483,196 | 100.00% |
*** The following table represents disclosures associated with the underlying components of the total return basket swap as of year end. |
Common Stocks | Shares | Notional | Unrealized
Appreciation (Depreciation) |
Percentage
of Swap Value | ||||
Mineral Resources, Ltd. | (63,106) | $ 4,214,764 | $ 51,517 | 16.24% | ||||
Lynas Rare Earths, Ltd. | (341,535) | 2,294,080 | 130,637 | 41.18 | ||||
Commonwealth Bank of Australia | (22,309) | 2,216,364 | 20,039 | 6.32 | ||||
Cleanaway Waste Management, Ltd. | (452,831) | 1,096,922 | 31,222 | 9.84 | ||||
Domino’s Pizza Enterprises, Ltd. | (20,703) | 1,093,382 | (3,236) | (1.02) | ||||
Alumina, Ltd. | (955,175) | 903,638 | 52,578 | 16.57 | ||||
Reece, Ltd. | (38,794) | 718,218 | 16,896 | 5.33 | ||||
Igo, Ltd. | (38,874) | 485,209 | 21,620 | 6.82 | ||||
New Hope Corporation, Ltd. | (29,273) | 184,731 | (6,163) | (1.94) | ||||
Woodside Energy Group, Ltd. | (3,427) | 123,931 | 2,087 | 0.66 | ||||
$13,331,239 | $317,197 | 100.00% |
**** The following table represents disclosures associated with the underlying components of the total return basket swap as of year end. |
Common Stocks | Shares | Notional | Unrealized
Appreciation (Depreciation) |
Percentage
of Swap Value | ||||
NTT Data Corporation | (101,300) | $ 202,570,587 | $ (9,809) | (3.20)% | ||||
Baycurrent Consulting, Inc. | (30,030) | 149,542,307 | 1,270 | 0.41 | ||||
Eisai Co., Ltd. | (16,900) | 139,974,771 | 70,922 | 23.11 | ||||
Nippon Telegraph & Telephone Corporation | (657,700) | 116,335,613 | (25,181) | (8.20) |
INTERNATIONAL EQUITY FUND
SCHEDULE OF
INVESTMENTS (Continued)
Common Stocks | Shares | Notional | Unrealized
Appreciation (Depreciation) |
Percentage
of Swap Value | ||||
Denso Corporation | (42,800) | $ 102,629,959 | $ 27,360 | 8.91% | ||||
Tokio Marine Holdings, Inc. | (28,500) | 98,612,538 | (19,458) | (6.34) | ||||
Yaskawa Electric Corporation | (17,700) | 95,252,408 | 34,770 | 11.33 | ||||
Kansai Electric Power Co., Inc. (The) | (43,200) | 89,377,709 | 39,385 | 12.83 | ||||
Asahi Intecc Co., Ltd. | (31,100) | 83,323,647 | 65,109 | 21.21 | ||||
Daikin Industries, Ltd. | (3,400) | 79,655,075 | 29,527 | 9.62 | ||||
Japan Airport Terminal Co., Ltd. | (10,462) | 66,234,234 | 10,859 | 3.54 | ||||
Rakuten, Inc. | (88,300) | 54,217,805 | (22,042) | (7.18) | ||||
KDDI Corporation | (10,600) | 48,488,958 | (5,305) | (1.73) | ||||
Unicharm Corporation | (8,400) | 44,384,431 | 21,599 | 7.04 | ||||
Nissan Chemical Corporation | (6,900) | 43,833,047 | (4,314) | (1.41) | ||||
Advantest Corporation | (10,400) | 43,351,431 | 2,944 | 0.96 | ||||
Sysmex Corporation | (6,000) | 42,605,803 | 19,234 | 6.27 | ||||
SMC Corporation | (600) | 40,192,995 | 4,226 | 1.38 | ||||
Nitori Holdings Co., Ltd. | (2,400) | 39,988,525 | 10,052 | 3.27 | ||||
Kobe Bussan Co., Ltd. | (10,600) | 37,085,255 | 2,168 | 0.71 | ||||
Asics Corporation | (7,100) | 36,946,541 | 7,148 | 2.33 | ||||
Sharp Corporation | (36,700) | 34,144,234 | (1,792) | (0.58) | ||||
Kurita Water Industries, Ltd. | (6,100) | 31,722,060 | 10,729 | 3.50 | ||||
Capcom Co., Ltd. | (5,508) | 29,625,340 | 24,344 | 7.93 | ||||
Kubota Corporation | (12,600) | 27,699,652 | 12,290 | 4.00 | ||||
Showa Denko K. K. | (8,300) | 20,749,830 | 286 | 0.09 | ||||
Sumitomo Metal Mining Co., Ltd. | (4,600) | 20,186,983 | 1,261 | 0.41 | ||||
Konami Holdings Corporation | (2,200) | 17,334,116 | 6,076 | 1.98 | ||||
Osaka Gas Co., Ltd. | (5,800) | 14,262,313 | (2,070) | (0.67) | ||||
Lasertec Corporation | (600) | 13,943,873 | (7,756) | (2.53) | ||||
Fast Retailing Co., Ltd. | (400) | 13,020,122 | 2,257 | 0.74 | ||||
Keyence Corporation | (200) | 11,053,357 | 2,313 | 0.75 | ||||
GMO Payment Gateway, Inc. | (1,200) | 9,784,783 | 4,705 | 1.53 | ||||
Daifuku Co., Ltd. | (3,400) | 9,591,140 | (4,124) | (1.34) | ||||
MINEBEA MITSUMI, Inc. | (3,400) | 8,278,445 | (2,043) | (0.67) | ||||
$1,915,999,887 | $306,940 | 100.00% |
For the Fund’s
Valuation Hierarchy (a summary of the inputs used in valuing the Fund’s investments carried at fair value) at June 30, 2023, see Schedule of Investments in the Fund’s Semi-Annual Report.
198
EMERGING MARKETS EQUITY FUND
EMERGING MARKETS EQUITY FUND
SCHEDULE OF
INVESTMENTS (Continued)
200
EMERGING MARKETS EQUITY FUND
SCHEDULE OF
INVESTMENTS (Continued)
202
EMERGING MARKETS EQUITY FUND
SCHEDULE OF
INVESTMENTS (Continued)
204
Futures Contracts outstanding at September
30, 2023:
Future Type | Expiration Date | Open
Long (Short) Contracts |
Notional
Market Value of Contracts |
Value
and Unrealized Appreciation (Depreciation) | ||||
IFSC NIFTY 50 Index | 10/2023 | (29) | $ (1,143,209) | $ 371 | ||||
FTSE Taiwan Index | 10/2023 | 268 | 15,276,000 | 127,399 | ||||
MSCI Singapore Index | 10/2023 | (399) | (8,337,553) | (126,312) | ||||
FTSE Bursa Malaysia KLCI | 10/2023 | (15) | (227,943) | 2,671 |
EMERGING MARKETS EQUITY FUND
SCHEDULE OF
INVESTMENTS (Continued)
Future Type | Expiration Date | Open
Long (Short) Contracts |
Notional
Market Value of Contracts |
Value
and Unrealized Appreciation (Depreciation) | ||||
KOSPI2 Index | 12/2023 | 192 | $11,702,979 | $ (429,061) | ||||
Mexican Bolsa Index | 12/2023 | 15 | 443,101 | (9,373) | ||||
MSCI Emerging Markets | 12/2023 | 618 | 29,524,950 | (895,882) | ||||
FTSE/JSE Top 40 Index | 12/2023 | (118) | (4,203,657) | 108,533 | ||||
Thai SET50 Index | 12/2023 | (576) | (2,852,436) | 55,848 | ||||
Total Futures Contracts outstanding at September 30, 2023 | $40,182,232 | $(1,165,806) |
Forward Foreign Currency
Contracts outstanding at September 30, 2023:
Expiration Date | Currency
Purchased |
Amount
of Currency Purchased |
Currency
Sold |
Amount
of Currency Sold |
Counter-
party |
Net
Unrealized Appreciation (Depreciation) | ||||||
12/20/23 | U.S. Dollars | 7,715,951 | Polish Zloty | 31,935,000 | CITI | $ 430,527 | ||||||
12/20/23 | U.S. Dollars | 28,398,890 | Singapore Dollars | 38,338,000 | CITI | 247,363 | ||||||
12/20/23 | U.S. Dollars | 11,225,034 | South Korean Won | 14,820,054,000 | CITI | 219,691 | ||||||
12/20/23 | U.S. Dollars | 10,058,490 | Mexican Pesos | 175,000,000 | CITI | 155,964 | ||||||
12/20/23 | South African Rand | 145,231,000 | U.S. Dollars | 7,482,636 | CITI | 131,697 | ||||||
12/20/23 | U.S. Dollars | 7,208,928 | Brazilian Reals | 36,032,000 | CITI | 113,213 | ||||||
12/20/23 | U.S. Dollars | 18,175,252 | Israeli Shekels | 68,731,443 | CITI | 79,063 | ||||||
12/20/23 | Mexican Pesos | 131,826,741 | U.S. Dollars | 7,382,878 | CITI | 76,652 | ||||||
12/20/23 | U.S. Dollars | 2,917,972 | Chilean Pesos | 2,544,307,277 | CITI | 72,943 | ||||||
12/20/23 | U.S. Dollars | 1,812,204 | Hungarian Forint | 660,000,000 | CITI | 43,719 | ||||||
12/20/23 | U.S. Dollars | 7,637,845 | Chinese Offshore Yuan | 55,224,482 | CITI | 42,505 | ||||||
12/20/23 | Colombian Pesos | 15,241,666,666 | U.S. Dollars | 3,621,443 | CITI | 38,508 | ||||||
12/20/23 | Chinese Offshore Yuan | 67,668,511 | U.S. Dollars | 9,280,120 | CITI | 26,717 | ||||||
12/20/23 | U.S. Dollars | 5,280,678 | Indonesian Rupiahs | 81,421,124,212 | CITI | 26,492 | ||||||
12/20/23 | Israeli Shekels | 37,925,238 | U.S. Dollars | 9,964,908 | CITI | 20,366 | ||||||
12/20/23 | U.S. Dollars | 4,315,259 | South African Rand | 82,000,000 | CITI | 16,072 | ||||||
12/20/23 | Philippine Pesos | 190,000,000 | U.S. Dollars | 3,343,822 | CITI | 11,320 | ||||||
10/10/23 | U.S. Dollars | 1,196,266 | Chinese Offshore Yuan | 8,649,000 | SC | 10,599 | ||||||
12/20/23 | U.S. Dollars | 479,577 | Thai Baht | 17,000,000 | CITI | 9,189 | ||||||
12/20/23 | U.S. Dollars | 8,074,309 | Hong Kong Dollars | 63,072,269 | CITI | 6,161 | ||||||
10/10/23 | Chinese Offshore Yuan | 16,398,356 | U.S. Dollars | 2,243,044 | CITI | 4,960 | ||||||
12/20/23 | Hungarian Forint | 240,000,000 | U.S. Dollars | 640,150 | CITI | 2,935 | ||||||
12/20/23 | Saudi Riyals | 16,512,204 | U.S. Dollars | 4,397,575 | CITI | 1,450 | ||||||
12/20/23 | U.S. Dollars | 90,158 | Euro | 84,000 | CITI | 994 | ||||||
12/20/23 | U.S. Dollars | 29,338 | Peruvian Nuevo Soles | 110,000 | CITI | 424 | ||||||
12/20/23 | Peruvian Nuevo Soles | 5,000 | U.S. Dollars | 1,312 | CITI | 3 | ||||||
12/20/23 | U.S. Dollars | 87,385 | Saudi Riyals | 328,000 | CITI | 2 | ||||||
Subtotal Appreciation | $1,789,529 | |||||||||||
12/20/23 | U.S. Dollars | 5,302 | Euro | 5,000 | CITI | $ (6) | ||||||
12/20/23 | U.S. Dollars | 54,936 | Thai Baht | 2,000,000 | CITI | (404) | ||||||
12/20/23 | U.S. Dollars | 4,485,951 | Singapore Dollars | 6,110,000 | CITI | (611) | ||||||
12/20/23 | U.S. Dollars | 4,166,318 | Saudi Riyals | 15,644,336 | CITI | (1,499) | ||||||
12/20/23 | U.S. Dollars | 655,854 | Philippine Pesos | 37,287,000 | CITI | (2,584) | ||||||
12/20/23 | U.S. Dollars | 2,873,634 | Indian Rupees | 240,000,000 | CITI | (2,652) | ||||||
12/20/23 | Israeli Shekels | 8,142,762 | U.S. Dollars | 2,147,139 | CITI | (3,245) | ||||||
12/20/23 | U.S. Dollars | 1,093,764 | Indonesian Rupiahs | 17,000,000,000 | CITI | (3,263) | ||||||
12/20/23 | Peruvian Nuevo Soles | 1,033,874 | U.S. Dollars | 277,310 | CITI | (5,546) | ||||||
12/20/23 | Hong Kong Dollars | 107,685,593 | U.S. Dollars | 13,781,661 | CITI | (6,617) | ||||||
10/10/23 | U.S. Dollars | 2,240,864 | Chinese Offshore Yuan | 16,398,356 | CITI | (7,140) | ||||||
12/20/23 | Polish Zloty | 3,213,000 | U.S. Dollars | 746,245 | CITI | (13,254) |
206
Expiration Date | Currency
Purchased |
Amount
of Currency Purchased |
Currency
Sold |
Amount
of Currency Sold |
Counter-
party |
Net
Unrealized Appreciation (Depreciation) | ||||||
12/20/23 | Colombian Pesos | 8,058,333,334 | U.S. Dollars | 1,956,115 | CITI | $ (21,084) | ||||||
12/20/23 | U.S. Dollars | 8,788,623 | Chinese Offshore Yuan | 64,078,116 | CITI | (24,407) | ||||||
12/20/23 | Euro | 1,120,000 | U.S. Dollars | 1,213,358 | CITI | (24,508) | ||||||
12/20/23 | U.S. Dollars | 8,248,410 | Israeli Shekels | 31,458,557 | CITI | (34,262) | ||||||
12/20/23 | Chinese Offshore Yuan | 61,827,265 | U.S. Dollars | 8,538,391 | CITI | (34,933) | ||||||
12/20/23 | U.S. Dollars | 6,301,861 | Chilean Pesos | 5,700,000,000 | CITI | (71,844) | ||||||
12/20/23 | Indian Rupees | 1,792,532,000 | U.S. Dollars | 21,568,719 | CITI | (86,079) | ||||||
12/20/23 | Hungarian Forint | 1,129,656,000 | U.S. Dollars | 3,118,118 | CITI | (91,180) | ||||||
12/20/23 | Brazilian Reals | 22,253,000 | U.S. Dollars | 4,487,374 | CITI | (105,132) | ||||||
12/20/23 | South African Rand | 230,231,000 | U.S. Dollars | 12,182,755 | CITI | (111,946) | ||||||
12/20/23 | Chilean Pesos | 4,200,000,000 | U.S. Dollars | 4,855,507 | CITI | (159,092) | ||||||
12/20/23 | Czech Republic Koruna | 140,100,000 | U.S. Dollars | 6,245,482 | CITI | (185,693) | ||||||
12/20/23 | Mexican Pesos | 171,826,738 | U.S. Dollars | 9,950,026 | CITI | (227,062) | ||||||
12/20/23 | Thai Baht | 307,269,624 | U.S. Dollars | 8,766,176 | CITI | (264,043) | ||||||
12/20/23 | South Korean Won | 22,000,000,000 | U.S. Dollars | 16,607,914 | CITI | (270,758) | ||||||
07/16/25 | U.S. Dollars | 3,253,457 | Chinese Offshore Yuan | 24,819,000 | MSCS | (285,722) | ||||||
12/20/23 | Taiwan Dollars | 694,477,890 | U.S. Dollars | 21,972,945 | CITI | (315,903) | ||||||
Subtotal Depreciation | $(2,360,469) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at September 30, 2023 | $ (570,940) |
Swap Agreements outstanding at September 30,
2023:
Pay Rate Index/Pay Rate | Receive
Rate Index/Receive Rate |
Maturity
Date |
Counterparty | Currency | Notional
Amount |
Market Value | Upfront
Premiums Paid/ (Received) |
Unrealized
Appreciation (Depreciation) | ||||||||
Total Return Swaps | ||||||||||||||||
Decrease in total return of HSCEI Index (At Termination) | Increase in total return of HSCEI Index (At Termination) | 10/30/2023 | CITI | HKD | 45,430,350 | $ 75,931 | $ — | $ 75,931 | ||||||||
Increase in total return of WIG20 Index (At Termination) | Decrease in total return of WIG20 Index (At Termination) | 12/15/2023 | CITI | PLN | 1,827,360 | 9,225 | — | 9,225 | ||||||||
Financing Index: Overnight Bank Funding Rate + 0.4% | MSCI Saudi Arabia Index Futures (Monthly) | 12/20/2023 | GSC | USD | 331,252 | 382 | — | 382 | ||||||||
MSCI Emerging Markets Thailand Net Total Return USD Index (Monthly) | Financing Index: Overnight Bank Funding Rate - 0.2% | 12/20/2023 | CITI | USD | 7,644,766 | 325,371 | — | 325,371 | ||||||||
MSCI Poland Net Return PLN Index (Monthly) | Financing Index: 1-Month WIBOR - 0.1% | 12/20/2023 | CITI | PLN | 8,160,453 | 10,799 | — | 10,799 | ||||||||
MSCI Singapore Net Return SGD Index (Monthly) | Financing Index: Singapore Overnight Rate - 0.25% | 12/20/2023 | CITI | SGD | 999,660 | 2,476 | — | 2,476 | ||||||||
MSCI South Africa Net Return ZAR Index (Monthly) | Financing Index: 1-Month SAFE South Africa JIBAR - 0.55% | 12/20/2023 | CITI | ZAR | 33,006,406 | 22,021 | — | 22,021 | ||||||||
Tel Aviv Interbank Offered Rate (Monthly) | Financing Index: 1-Month TELBOR - 0.6% | 12/20/2023 | GSC | ILS | 1,945,186 | 61 | — | 61 | ||||||||
Increase in total return of FTSE/JSE Shareholder Weighted Top 40 Index (At Termination) | Decrease in total return of FTSE/JSE Shareholder Weighted Top 40 Index (At Termination) | 12/21/2023 | CITI | ZAR | 866,670 | 1,239 | — | 1,239 | ||||||||
Subtotal Appreciation | $ 447,505 | $ — | $ 447,505 | |||||||||||||
Decrease in total return of Bovespa Index (At Termination) | Increase in total return of Bovespa Index (At Termination) | 10/18/2023 | CITI | BRL | 14,309,990 | $ (35,254) | $ — | $ (35,254) |
EMERGING MARKETS EQUITY FUND
SCHEDULE OF
INVESTMENTS (Continued)
Pay Rate Index/Pay Rate | Receive
Rate Index/Receive Rate |
Maturity
Date |
Counterparty | Currency | Notional
Amount |
Market Value | Upfront
Premiums Paid/ (Received) |
Unrealized
Appreciation (Depreciation) | ||||||||
Decrease in total return of TAIEX (At Termination) | Increase in total return of TAIEX (At Termination) | 10/18/2023 | CITI | TWD | 189,857,200 | $(131,663) | $ — | $(131,663) | ||||||||
Decrease in total return of KOSPI 200 Index (At Termination) | Increase in total return of KOSPI 200 Index (At Termination) | 12/14/2023 | CITI | KRW | 15,298,500,000 | (333,280) | — | (333,280) | ||||||||
Financing Index: 28-Day Mexico Interbank TIIE + 0.2% | MSCI Mexico Net MXN Index (Monthly) | 12/20/2023 | CITI | MXN | 158,430,461 | (22,688) | — | (22,688) | ||||||||
Financing Index: Overnight Bank Funding Rate + 0.4% | MSCI Saudi Arabia Index Futures (Monthly) | 12/20/2023 | GSC | USD | 22,014,401 | (39,774) | — | (39,774) | ||||||||
MSCI Singapore Net Return SGD Index (Monthly) | Financing Index: Singapore Overnight Rate - 0.25% | 12/20/2023 | CITI | SGD | 8,475,986 | (72,719) | — | (72,719) | ||||||||
Tel Aviv Interbank Offered Rate (Monthly) | Financing Index: 1-Month TELBOR - 0.6% | 12/20/2023 | GSC | ILS | 12,150,565 | (9,478) | — | (9,478) | ||||||||
Subtotal Depreciation | $(644,856) | $ — | $(644,856) | |||||||||||||
Net Total Return Swaps outstanding at September 30, 2023 | $(197,351) | $ — | $(197,351) |
For the Fund’s
Valuation Hierarchy (a summary of the inputs used in valuing the Fund’s investments carried at fair value) at June 30, 2023, see Schedule of Investments in the Fund’s Semi-Annual Report.
208
GLOBAL REAL ESTATE SECURITIES FUND
GLOBAL REAL ESTATE SECURITIES FUND
SCHEDULE OF
INVESTMENTS (Continued)
210
Shares | Value | |||
Northern Institutional Liquid Assets Portfolio (Shares), 5.50%ا | 6,627,975 | $ 6,627,975 | ||
Northern Institutional U.S. Treasury Portfolio (Premier), 5.20%Ø | 15,528 | 15,528 | ||
Total
Money Market Funds (Cost $13,126,550) |
13,126,550 | |||
TOTAL
INVESTMENTS — 102.0% (Cost $273,438,649) |
247,349,207 | |||
Liabilities
in Excess of Other Assets — (2.0)% |
(4,834,592) | |||
NET ASSETS — 100.0% | $242,514,615 |
Futures Contracts outstanding at September 30,
2023:
Future Type | Expiration Date | Open
Long (Short) Contracts |
Notional
Market Value of Contracts |
Value
and Unrealized Appreciation (Depreciation) | ||||
E-Mini S&P MidCap 400 | 12/2023 | 18 | $4,536,720 | $(128,006) |
For the Fund’s
Valuation Hierarchy (a summary of the inputs used in valuing the Fund’s investments carried at fair value) at June 30, 2023, see Schedule of Investments in the Fund’s Semi-Annual Report.
STRATEGIC ALTERNATIVES FUND
212
STRATEGIC ALTERNATIVES FUND
SCHEDULE OF
INVESTMENTS (Continued)
214
STRATEGIC ALTERNATIVES FUND
SCHEDULE OF
INVESTMENTS (Continued)
216
STRATEGIC ALTERNATIVES FUND
SCHEDULE OF
INVESTMENTS (Continued)
Futures Contracts outstanding at September
30, 2023:
Future Type | Expiration Date | Open
Long (Short) Contracts |
Notional
Market Value of Contracts |
Value
and Unrealized Appreciation (Depreciation) | ||||
Brazilian Reals/U.S. Dollars | 10/2023 | 1 | $ 19,820 | $ (235) | ||||
30-Year Euro Buxl | 12/2023 | (1) | (129,365) | 1,139 | ||||
Euro-Bobl | 12/2023 | (74) | (9,055,876) | 28,072 | ||||
Euro-Bund | 12/2023 | (3) | (408,014) | (962) | ||||
Euro-OAT | 12/2023 | (1) | (130,253) | 568 | ||||
Euro-OAT | 12/2023 | 1 | 130,253 | (4,357) | ||||
FTSE KLCI | 12/2023 | (1) | (116,012) | 5,848 | ||||
10-Year Bond | 12/2023 | (6) | (508,581) | 14,076 | ||||
Australian Dollars/U.S. Dollars | 12/2023 | (153) | (9,876,150) | (36,842) | ||||
British Pounds/U.S. Dollars | 12/2023 | (39) | (2,976,188) | 63,180 | ||||
Mexican Pesos/U.S. Dollars | 12/2023 | 2 | 56,720 | (910) | ||||
New Zealand Dollars/U.S. Dollars | 12/2023 | (4) | (240,060) | (3,764) | ||||
South African Rand/U.S. Dollars | 12/2023 | 2 | 52,575 | 126 | ||||
Swiss Francs/U.S. Dollars | 12/2023 | (9) | (1,239,300) | 29,857 | ||||
U.S. Dollars/Norwegian Kroner | 12/2023 | 1 | 99,539 | (224) | ||||
U.S. Dollars/Swedish Kronor | 12/2023 | 1 | 99,455 | (1,881) | ||||
10-Year U.S. Treasury Note | 12/2023 | (63) | (6,807,938) | 29,959 | ||||
U.S. Treasury Long Bond | 12/2023 | (14) | (1,592,938) | 1,586 | ||||
Ultra 10-Year U.S. Treasury Note | 12/2023 | (143) | (15,953,438) | 283,431 | ||||
Ultra Long U.S. Treasury Bond | 12/2023 | (45) | (5,340,938) | 104,707 | ||||
Canadian Dollars/U.S. Dollars | 12/2023 | (4) | (295,340) | 35 | ||||
Euro/U.S. Dollars | 12/2023 | (93) | (12,337,031) | 190,881 | ||||
Japanese Yen/U.S. Dollars | 12/2023 | (17) | (1,440,219) | 24,040 | ||||
Long GILT | 12/2023 | (2) | (229,769) | 956 | ||||
Long GILT | 12/2023 | 2 | 229,769 | (1,522) | ||||
2-Year U.S. Treasury Note | 12/2023 | (9) | (1,824,398) | (1,662) | ||||
5-Year U.S. Treasury Note | 12/2023 | (42) | (4,425,094) | 672 |
218
Future Type | Expiration Date | Open
Long (Short) Contracts |
Notional
Market Value of Contracts |
Value
and Unrealized Appreciation (Depreciation) | ||||
3-Month SONIA Index | 12/2024 | 32 | $ 9,265,440 | $ 19,417 | ||||
Total Futures Contracts outstanding at September 30, 2023 | $(64,973,331) | $746,191 |
Forward Foreign Currency
Contracts outstanding at September 30, 2023:
Expiration Date | Currency
Purchased |
Amount
of Currency Purchased |
Currency
Sold |
Amount
of Currency Sold |
Counter-
party |
Net
Unrealized Appreciation (Depreciation) | ||||||
12/20/23 | U.S. Dollars | 3,090,642 | British Pounds | 2,483,279 | MSCS | $ 58,951 | ||||||
10/30/23 | U.S. Dollars | 1,803,589 | British Pounds | 1,429,968 | MSCS | 58,552 | ||||||
12/20/23 | U.S. Dollars | 2,310,863 | Swiss Francs | 2,067,103 | MSCS | 31,296 | ||||||
12/20/23 | U.S. Dollars | 2,891,831 | Euro | 2,695,409 | MSCS | 30,728 | ||||||
12/20/23 | U.S. Dollars | 2,596,472 | Canadian Dollars | 3,495,993 | MSCS | 19,088 | ||||||
12/20/23 | Swedish Kronor | 10,610,945 | U.S. Dollars | 957,350 | MSCS | 18,048 | ||||||
12/20/23 | U.S. Dollars | 855,256 | Japanese Yen | 123,966,962 | MSCS | 14,129 | ||||||
10/02/23 | U.S. Dollars | 310,174 | Chilean Pesos | 263,087,403 | MSCS | 14,121 | ||||||
12/20/23 | New Zealand Dollars | 2,233,942 | U.S. Dollars | 1,325,152 | MSCS | 13,807 | ||||||
11/22/23 | U.S. Dollars | 394,371 | Japanese Yen | 57,202,245 | MSCS | 8,187 | ||||||
12/20/23 | Canadian Dollars | 1,342,413 | U.S. Dollars | 984,249 | MSCS | 5,431 | ||||||
12/06/23 | U.S. Dollars | 618,614 | Euro | 578,408 | MSCS | 5,210 | ||||||
12/20/23 | Norwegian Kroner | 8,281,897 | U.S. Dollars | 771,754 | MSCS | 4,297 | ||||||
11/20/23 | U.S. Dollars | 798,042 | Canadian Dollars | 1,078,792 | MSCS | 3,213 | ||||||
10/31/23 | U.S. Dollars | 270,000 | South Korean Won | 360,544,500 | MSCS | 2,981 | ||||||
12/20/23 | U.S. Dollars | 213,618 | Czech Republic Koruna | 4,876,679 | MSCS | 2,685 | ||||||
12/20/23 | Euro | 242,592 | Swiss Francs | 231,297 | MSCS | 2,434 | ||||||
12/04/23 | U.S. Dollars | 87,339 | Swiss Francs | 77,211 | MSCS | 2,371 | ||||||
11/08/23 | U.S. Dollars | 159,347 | Swedish Kronor | 1,718,972 | MSCS | 1,752 | ||||||
12/20/23 | U.S. Dollars | 690,375 | Norwegian Kroner | 7,350,446 | MSCS | 1,605 | ||||||
12/20/23 | Israeli Shekels | 1,032,610 | Euro | 255,000 | MSCS | 1,199 | ||||||
11/21/23 | U.S. Dollars | 556,538 | Australian Dollars | 862,370 | MSCS | 1,073 | ||||||
12/20/23 | Canadian Dollars | 365,591 | Euro | 253,000 | MSCS | 976 | ||||||
11/09/23 | U.S. Dollars | 80,771 | Mexican Pesos | 1,400,634 | MSCS | 958 | ||||||
12/20/23 | Chinese Offshore Yuan | 1,969,514 | U.S. Dollars | 270,000 | MSCS | 878 | ||||||
12/20/23 | Euro | 263,076 | Mexican Pesos | 4,920,050 | MSCS | 843 | ||||||
10/30/23 | British Pounds | 412,013 | U.S. Dollars | 502,066 | MSCS | 727 | ||||||
11/21/23 | Australian Dollars | 980,013 | U.S. Dollars | 630,698 | MSCS | 542 | ||||||
12/20/23 | U.S. Dollars | 143,587 | South Korean Won | 192,697,509 | MSCS | 490 | ||||||
11/08/23 | U.S. Dollars | 74,007 | South African Rand | 1,398,439 | MSCS | 408 | ||||||
12/20/23 | Australian Dollars | 454,448 | U.S. Dollars | 292,634 | MSCS | 404 | ||||||
12/20/23 | Singapore Dollars | 184,324 | U.S. Dollars | 135,000 | MSCS | 349 | ||||||
12/20/23 | Mexican Pesos | 2,470,597 | Euro | 131,432 | MSCS | 289 | ||||||
12/20/23 | New Zealand Dollars | 226,259 | Australian Dollars | 210,000 | MSCS | 200 | ||||||
12/20/23 | Japanese Yen | 19,766,902 | U.S. Dollars | 134,000 | MSCS | 120 | ||||||
Subtotal Appreciation | $308,342 | |||||||||||
12/20/23 | Euro | 279,215 | Japanese Yen | 43,681,218 | MSCS | $ (2) | ||||||
12/20/23 | U.S. Dollars | 46,790 | Chilean Pesos | 41,886,641 | MSCS | (47) | ||||||
12/20/23 | U.S. Dollars | 44,503 | Norwegian Kroner | 475,426 | MSCS | (47) | ||||||
11/21/23 | Australian Dollars | 175,910 | U.S. Dollars | 113,397 | MSCS | (90) | ||||||
11/06/23 | U.S. Dollars | 139,390 | South Korean Won | 188,288,269 | MSCS | (102) | ||||||
12/20/23 | U.S. Dollars | 142,735 | Singapore Dollars | 194,573 | MSCS | (140) | ||||||
10/02/23 | U.S. Dollars | 46,673 | Chilean Pesos | 41,776,591 | MSCS | (339) | ||||||
12/20/23 | Chinese Offshore Yuan | 1,931,240 | U.S. Dollars | 266,000 | MSCS | (386) |
STRATEGIC ALTERNATIVES FUND
SCHEDULE OF
INVESTMENTS (Continued)
Expiration Date | Currency
Purchased |
Amount
of Currency Purchased |
Currency
Sold |
Amount
of Currency Sold |
Counter-
party |
Net
Unrealized Appreciation (Depreciation) | ||||||
12/20/23 | South Korean Won | 191,595,871 | U.S. Dollars | 142,735 | MSCS | $ (456) | ||||||
12/20/23 | U.S. Dollars | 134,000 | British Pounds | 110,197 | MSCS | (533) | ||||||
12/20/23 | Hungarian Forint | 10,047,222 | U.S. Dollars | 27,472 | MSCS | (550) | ||||||
11/09/23 | Mexican Pesos | 879,728 | U.S. Dollars | 50,732 | MSCS | (602) | ||||||
11/08/23 | South African Rand | 3,154,106 | U.S. Dollars | 166,759 | MSCS | (758) | ||||||
12/12/23 | U.S. Dollars | 58,377 | New Zealand Dollars | 98,876 | MSCS | (886) | ||||||
12/13/23 | South Korean Won | 46,590,617 | U.S. Dollars | 35,490 | MSCS | (905) | ||||||
12/20/23 | Singapore Dollars | 622,773 | U.S. Dollars | 458,416 | MSCS | (1,115) | ||||||
12/20/23 | U.S. Dollars | 145,911 | South African Rand | 2,805,497 | MSCS | (1,179) | ||||||
12/20/23 | Czech Republic Koruna | 6,211,620 | U.S. Dollars | 270,000 | MSCS | (1,327) | ||||||
12/20/23 | Norwegian Kroner | 1,782,267 | U.S. Dollars | 168,364 | MSCS | (1,357) | ||||||
12/20/23 | U.S. Dollars | 269,037 | Euro | 254,841 | MSCS | (1,470) | ||||||
11/14/23 | Norwegian Kroner | 1,190,897 | U.S. Dollars | 113,035 | MSCS | (1,559) | ||||||
12/20/23 | U.S. Dollars | 250,601 | Chinese Offshore Yuan | 1,835,453 | MSCS | (1,839) | ||||||
10/16/23 | Singapore Dollars | 84,947 | U.S. Dollars | 64,531 | MSCS | (2,345) | ||||||
12/20/23 | Canadian Dollars | 977,014 | Euro | 680,928 | MSCS | (2,494) | ||||||
12/20/23 | U.S. Dollars | 255,239 | Mexican Pesos | 4,557,180 | MSCS | (2,633) | ||||||
12/07/23 | U.S. Dollars | 199,157 | Chilean Pesos | 180,296,666 | MSCS | (2,655) | ||||||
10/02/23 | Chilean Pesos | 124,567,328 | U.S. Dollars | 144,495 | MSCS | (4,320) | ||||||
12/20/23 | Euro | 252,000 | New Zealand Dollars | 453,729 | MSCS | (4,461) | ||||||
12/20/23 | Euro | 124,000 | Swedish Kronor | 1,481,502 | MSCS | (4,563) | ||||||
12/20/23 | U.S. Dollars | 892,235 | Australian Dollars | 1,391,569 | MSCS | (5,080) | ||||||
12/20/23 | Australian Dollars | 1,559,370 | U.S. Dollars | 1,010,769 | MSCS | (5,253) | ||||||
12/06/23 | Euro | 682,643 | U.S. Dollars | 730,261 | MSCS | (6,314) | ||||||
11/20/23 | Canadian Dollars | 1,841,677 | U.S. Dollars | 1,364,839 | MSCS | (7,934) | ||||||
12/20/23 | Canadian Dollars | 1,539,232 | U.S. Dollars | 1,143,318 | MSCS | (8,536) | ||||||
12/20/23 | Japanese Yen | 188,068,245 | U.S. Dollars | 1,291,608 | MSCS | (15,547) | ||||||
12/20/23 | Euro | 1,439,659 | U.S. Dollars | 1,546,454 | MSCS | (18,295) | ||||||
12/20/23 | U.S. Dollars | 1,076,132 | Swedish Kronor | 11,959,816 | MSCS | (23,260) | ||||||
12/20/23 | British Pounds | 2,378,357 | U.S. Dollars | 2,927,328 | MSCS | (23,731) | ||||||
12/20/23 | U.S. Dollars | 1,665,208 | New Zealand Dollars | 2,822,380 | MSCS | (26,443) | ||||||
10/30/23 | British Pounds | 623,606 | U.S. Dollars | 796,696 | MSCS | (35,689) | ||||||
12/20/23 | Swiss Francs | 2,014,282 | U.S. Dollars | 2,277,661 | MSCS | (56,343) | ||||||
Subtotal Depreciation | $(271,585) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at September 30, 2023 | $ 36,757 |
Swap Agreements outstanding at September 30,
2023:
Pay Rate Index/Pay Rate | Receive
Rate Index/Receive Rate |
Maturity
Date |
Currency | Notional Amount | Market Value | Upfront
Premiums Paid/ (Received) |
Unrealized
Appreciation (Depreciation) | |||||||
Centrally Cleared Interest Rate Swaps | ||||||||||||||
12.80% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/2/2024 | BRL | 60,306 | $ 75 | $ — | $ 75 | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 13.95% (Upon termination) | 1/2/2024 | BRL | 12,231,240 | 18,266 | (1,614) | 19,880 | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 12.06% (Upon termination) | 1/2/2025 | BRL | 22,114,689 | 14,714 | (17,245) | 31,959 | |||||||
0.27% (Annually) | 1-Day SONIA (Annually) | 6/17/2025 | GBP | 10,000 | 1,142 | (174) | 1,316 | |||||||
9.75% (Lunar) | 28-Day Mexico Interbank TIIE (Lunar) | 12/17/2025 | MXN | 90,090,000 | 53,167 | 26,254 | 26,913 | |||||||
1-Day ESTR (Annually) | 3.50% (Annually) | 12/20/2025 | EUR | 32,600,000 | (47,325) | (71,979) | 24,654 | |||||||
1-Day SONIA (Annually) | 5.25% (Annually) | 12/20/2025 | GBP | 15,650,000 | 63,879 | 37,670 | 26,209 | |||||||
2.50% (Quarterly) | Thai Overnight Repurchase Rate (Quarterly) | 12/20/2025 | THB | 229,300,000 | 7,232 | (132) | 7,364 | |||||||
3-Month KWCDC (Quarterly) | 3.75% (Quarterly) | 12/20/2025 | KRW | 1,884,750,000 | (3,161) | (3,743) | 582 | |||||||
3-Month STIBOR (Quarterly) | 4.00% (Annually) | 12/20/2025 | SEK | 353,630,000 | 45,313 | 37,416 | 7,897 |
220
Pay Rate Index/Pay Rate | Receive
Rate Index/Receive Rate |
Maturity
Date |
Currency | Notional Amount | Market Value | Upfront
Premiums Paid/ (Received) |
Unrealized
Appreciation (Depreciation) | |||||||
3-Month TELBOR (Quarterly) | 4.00% (Annually) | 12/20/2025 | ILS | 34,250,000 | $ (80,693) | $ (96,616) | $ 15,923 | |||||||
4.00% (Quarterly) | 3-Month ASX BBSW (Quarterly) | 12/20/2025 | AUD | 46,580,000 | 168,470 | 121,056 | 47,414 | |||||||
7.75% (Quarterly) | 3-Month JIBAR (Quarterly) | 12/20/2025 | ZAR | 90,940,000 | 63,262 | 26,693 | 36,569 | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 12.92% (Upon termination) | 1/2/2026 | BRL | 5,983,532 | 58,904 | 51,575 | 7,329 | |||||||
10.29% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/4/2027 | BRL | 6,662,458 | 21,642 | — | 21,642 | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 8.50% (Upon termination) | 1/4/2027 | BRL | 1,954,887 | 56,267 | (6,797) | 63,064 | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 13.03% (Upon termination) | 1/4/2027 | BRL | 1,502,187 | 21,783 | — | 21,783 | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 12.53% (Upon termination) | 1/4/2027 | BRL | 1,483,606 | 15,675 | — | 15,675 | |||||||
2.85% (Annually) | 3-Month EURIBOR (Quarterly) | 4/22/2028 | EUR | 23,400,000 | 148,003 | (100,699) | 248,702 | |||||||
0.50% (Annually) | Bank of Japan Unsecured Overnight Call Rate (Annually) | 8/3/2028 | JPY | 6,095,650,000 | 263,727 | 94,151 | 169,576 | |||||||
0.50% (Annually) | Bank of Japan Unsecured Overnight Call Rate (Annually) | 12/20/2028 | JPY | 5,419,000,000 | 163,204 | 123,279 | 39,925 | |||||||
2.50% (Quarterly) | Thai Overnight Repurchase Rate (Quarterly) | 12/20/2028 | THB | 84,790,000 | 37,959 | 21,558 | 16,401 | |||||||
4.00% (Annually) | 1-Day SOFR (Annually) | 12/20/2028 | USD | 4,880,000 | 66,828 | 19,063 | 47,765 | |||||||
6.50% (Semiannually) | 1-Day MIBOR (Semiannually) | 12/20/2028 | INR | 1,567,790,000 | 237,840 | 172,587 | 65,253 | |||||||
2.68% (Annually) | 1-Day SOFR (Annually) | 7/28/2032 | USD | 9,810,000 | 521,803 | 132,399 | 389,404 | |||||||
1.25% (Annually) | Bank of Japan Unsecured Overnight Call Rate (Annually) | 8/3/2033 | JPY | 838,000,000 | 26,892 | (7,077) | 33,969 | |||||||
8.75% (Lunar) | 28-Day Mexico Interbank TIIE (Lunar) | 12/7/2033 | MXN | 22,600,000 | 53,462 | 15,668 | 37,794 | |||||||
1.00% (Annually) | Bank of Japan Unsecured Overnight Call Rate (Annually) | 12/20/2033 | JPY | 2,359,000,000 | (24,736) | (82,240) | 57,504 | |||||||
3.25% (Annually) | 3-Month STIBOR (Quarterly) | 12/20/2033 | SEK | 42,540,000 | 59,767 | 9,849 | 49,918 | |||||||
3.25% (Semiannually) | Bank Of Canada Overnight Repo Rate (Semiannually) | 12/20/2033 | CAD | 770,000 | 39,927 | 29,280 | 10,647 | |||||||
3.75% (Annually) | 3-Month TELBOR (Quarterly) | 12/20/2033 | ILS | 4,500,000 | 56,012 | 17,647 | 38,365 | |||||||
4.25% (Annually) | 1-Day SONIA (Annually) | 12/20/2033 | GBP | 360,000 | 2,544 | (1,784) | 4,328 | |||||||
5.25% (Semiannually) | 1-Day CLP-TNA (Semiannually) | 12/20/2033 | CLP | 3,200,221,228 | 95,654 | 40,365 | 55,289 | |||||||
6-Month NIBOR (Semiannually) | 4.00% (Annually) | 12/20/2033 | NOK | 26,350,000 | 36,508 | 13,712 | 22,796 | |||||||
1.45% (Annually) | 6-Month EURIBOR (Semiannually) | 8/10/2042 | EUR | 36,110,000 | 1,850,675 | 841,662 | 1,009,013 | |||||||
2.08% (Annually) | 1-Day SOFR (Annually) | 7/28/2047 | USD | 26,190,000 | 793,913 | 459,213 | 334,700 | |||||||
2.56% (Annually) | 1-Day SOFR (Annually) | 5/11/2053 | USD | 24,180,000 | 644,373 | 137,250 | 507,123 | |||||||
2.00% (Annually) | 6-Month EURIBOR (Semiannually) | 5/17/2053 | EUR | 7,380,000 | 341,995 | 100,953 | 241,042 | |||||||
2.50% (Annually) | 6-Month EURIBOR (Semiannually) | 12/20/2053 | EUR | 1,210,000 | 138,839 | 90,226 | 48,613 | |||||||
Subtotal Appreciation | $ 6,033,801 | $ 2,229,426 | $ 3,804,375 | |||||||||||
12.30% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/2/2024 | BRL | 1,496,046 | $ (1,160) | $ 1,905 | $ (3,065) | |||||||
12.71% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/2/2025 | BRL | 1,437,365 | (5,027) | (261) | (4,766) | |||||||
13.30% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/2/2025 | BRL | 8,356,958 | (48,552) | (89) | (48,463) | |||||||
3.72% (Annually) | 3-Month EURIBOR (Quarterly) | 3/18/2025 | EUR | 7,680,000 | 5,370 | 9,588 | (4,218) | |||||||
1-Day MIBOR (Semiannually) | 6.50% (Semiannually) | 12/20/2025 | INR | 2,246,320,000 | (166,161) | (123,403) | (42,758) | |||||||
4.25% (Annually) | 1-Day SOFR (Annually) | 12/20/2025 | USD | 9,870,000 | 103,347 | 111,996 | (8,649) | |||||||
6-Month PRIBOR (Semiannually) | 4.75% (Annually) | 12/20/2025 | CZK | 156,500,000 | (33,648) | 8,437 | (42,085) | |||||||
6-Month WIBOR (Semiannually) | 4.50% (Annually) | 12/20/2025 | PLN | 8,910,000 | 7,382 | 12,770 | (5,388) | |||||||
7-Day CFETS Repo Rate (Quarterly) | 2.00% (Quarterly) | 12/20/2025 | CNY | 76,250,000 | (26,913) | (23,828) | (3,085) | |||||||
Bank Of Canada Overnight Repo Rate (Semiannually) | 3.75% (Semiannually) | 12/20/2025 | CAD | 19,850,000 | (316,491) | (270,728) | (45,763) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 10.85% (Upon termination) | 1/2/2026 | BRL | 5,876,469 | (3,098) | 308 | (3,406) | |||||||
Bank of Japan Unsecured Overnight Call Rate (Annually) | 0.50% (Annually) | 8/2/2026 | JPY | 2,926,000,000 | 23,312 | 84,880 | (61,568) | |||||||
1-Day ESTR (Annually) | 2.67% (Annually) | 4/22/2028 | EUR | 23,400,000 | (148,769) | 115,926 | (264,695) | |||||||
1-Day ESTR (Annually) | 3.00% (Annually) | 10/19/2028 | EUR | 8,550,000 | (50,475) | 26,587 | (77,062) | |||||||
1-Day CLP-TNA (Semiannually) | 5.00% (Semiannually) | 12/20/2028 | CLP | 4,013,910,000 | (114,284) | (54,350) | (59,934) |
STRATEGIC ALTERNATIVES FUND
SCHEDULE OF
INVESTMENTS (Continued)
Pay Rate Index/Pay Rate | Receive
Rate Index/Receive Rate |
Maturity
Date |
Currency | Notional Amount | Market Value | Upfront
Premiums Paid/ (Received) |
Unrealized
Appreciation (Depreciation) | |||||||
1-Day SONIA (Annually) | 4.75% (Annually) | 12/20/2028 | GBP | 5,180,000 | $ 57,210 | $ 74,491 | $ (17,281) | |||||||
3-Month KWCDC (Quarterly) | 3.50% (Quarterly) | 12/20/2028 | KRW | 9,531,880,000 | (97,978) | (56,360) | (41,618) | |||||||
6-Month PRIBOR (Semiannually) | 4.00% (Annually) | 12/20/2028 | CZK | 66,920,000 | (66,827) | (15,415) | (51,412) | |||||||
6-Month WIBOR (Semiannually) | 4.25% (Annually) | 12/20/2028 | PLN | 11,970,000 | (25,589) | 6,202 | (31,791) | |||||||
7-Day CFETS Repo Rate (Quarterly) | 2.25% (Quarterly) | 12/20/2028 | CNY | 83,110,000 | (101,899) | (38,412) | (63,487) | |||||||
1-Day SONIA (Annually) | 0.31% (Annually) | 6/17/2030 | GBP | 10,000 | (3,032) | 307 | (3,339) | |||||||
1-Day SOFR (Annually) | 3.98% (Annually) | 7/31/2030 | USD | 15,800,000 | (255,364) | 17,726 | (273,090) | |||||||
Bank of Japan Unsecured Overnight Call Rate (Annually) | 1.25% (Annually) | 8/2/2033 | JPY | 1,256,010,000 | (40,170) | 26,997 | (67,167) | |||||||
1-Day SOFR (Annually) | 3.50% (Annually) | 12/20/2033 | USD | 11,500,000 | (675,590) | (509,297) | (166,293) | |||||||
3-Month JIBAR (Quarterly) | 9.25% (Quarterly) | 12/20/2033 | ZAR | 32,380,000 | (77,981) | (32,669) | (45,312) | |||||||
3-Month KWCDC (Quarterly) | 3.50% (Quarterly) | 12/20/2033 | KRW | 2,638,830,000 | (53,181) | (23,565) | (29,616) | |||||||
3-Month New Zealand BBR FRA (Quarterly) | 4.75% (Semiannually) | 12/20/2033 | NZD | 4,120,000 | (79,624) | (4,437) | (75,187) | |||||||
6-Month ASX BBSW (Semiannually) | 4.50% (Semiannually) | 12/20/2033 | AUD | 2,640,000 | (37,068) | 4,189 | (41,257) | |||||||
6-Month BUBOR (Semiannually) | 6.50% (Annually) | 12/20/2033 | HUF | 619,350,000 | (76,430) | (17,354) | (59,076) | |||||||
6-Month EURIBOR (Semiannually) | 3.25% (Annually) | 12/20/2033 | EUR | 1,310,000 | (14,291) | 919 | (15,210) | |||||||
6-Month PRIBOR (Semiannually) | 4.00% (Annually) | 12/20/2033 | CZK | 27,170,000 | (46,440) | (8,684) | (37,756) | |||||||
6-Month WIBOR (Semiannually) | 4.75% (Annually) | 12/20/2033 | PLN | 4,460,000 | (17,161) | 9,265 | (26,426) | |||||||
8.00% (Quarterly) | 1-Day COP-IBR-OIS (Quarterly) | 12/20/2033 | COP | 1,297,146,927 | 18,876 | 25,831 | (6,955) | |||||||
Swiss Average Overnight Rate (Annually) | 1.75% (Annually) | 12/20/2033 | CHF | 3,080,000 | (15,174) | (10,420) | (4,754) | |||||||
6-Month EURIBOR (Semiannually) | 3.00% (Annually) | 5/15/2035 | EUR | 12,930,000 | (239,750) | (12,629) | (227,121) | |||||||
1-Day SOFR (Annually) | 2.91% (Annually) | 7/28/2037 | USD | 26,390,000 | (1,108,599) | (379,150) | (729,449) | |||||||
6-Month EURIBOR (Semiannually) | 2.15% (Annually) | 8/9/2037 | EUR | 14,120,000 | (704,679) | (389,172) | (315,507) | |||||||
1-Day SOFR (Annually) | 3.39% (Annually) | 5/10/2038 | USD | 25,550,000 | (683,518) | (164,293) | (519,225) | |||||||
Bank of Japan Unsecured Overnight Call Rate (Annually) | 1.50% (Annually) | 8/3/2038 | JPY | 906,000,000 | (90,666) | (41,799) | (48,867) | |||||||
1-Day SONIA (Annually) | 0.40% (Annually) | 6/17/2040 | GBP | 10,000 | (5,765) | 512 | (6,277) | |||||||
6-Month EURIBOR (Semiannually) | 1.05% (Annually) | 8/11/2047 | EUR | 21,130,000 | (820,740) | (365,523) | (455,217) | |||||||
Subtotal Depreciation | $(6,036,597) | $(2,003,002) | $(4,033,595) | |||||||||||
Net Centrally Cleared Interest Rate Swaps outstanding at September 30, 2023 | $ (2,796) | $ 226,424 | $ (229,220) |
Total Return Basket Swap Agreements outstanding at
September 30, 2023:
Description | Maturity
Date |
Counterparty | Notional
Amount |
Market Value | Upfront
Premiums Paid/ (Received) |
Unrealized
Appreciation (Depreciation) | ||||||
The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the USFFE or 1-Month LIBOR plus or minus a specified spread (-6.30% to 0.15%), which is denominated in USD based on the local currencies of the positions within the swap (Monthly).* | 32-60 months maturity ranging from 05/26/2026 - 09/25/2028 | GSC | $127,735,985 | $991,901 | $— | $991,901 |
* The following table represents disclosures associated with the underlying components of the total return basket swap as of period end. |
Common Stocks | Shares | Notional | Unrealized
Appreciation (Depreciation) |
Percentage
of Swap Value | ||||
Automatic Data Processing, Inc. | 3,273 | $ 787,418 | $ (16,569) | (1.67)% | ||||
Marriott International, Inc. Class A | 3,669 | 721,179 | (27,688) | (2.79) | ||||
Applied Materials, Inc. | 4,562 | 631,609 | (31,608) | (3.19) | ||||
KB Home | 12,237 | 566,328 | (55,967) | (5.64) | ||||
JPMorgan Chase & Co. | (3,581) | 519,317 | (837) | (0.08) | ||||
Welltower, Inc. REIT | (6,230) | 510,362 | 12,516 | 1.26 |
222
Common Stocks | Shares | Notional | Unrealized
Appreciation (Depreciation) |
Percentage
of Swap Value | ||||
Marathon Petroleum Corporation | 3,354 | $ 507,594 | $ (10,415) | (1.05)% | ||||
NNN REIT, Inc. | 14,079 | 497,552 | (38,753) | (3.91) | ||||
Crane Holdings Co. | (5,582) | 495,905 | (18,025) | (1.82) | ||||
Nexstar Media Group, Inc. Class A | 3,384 | 485,164 | 141 | 0.01 | ||||
Hilton Worldwide Holdings, Inc. | (3,219) | 483,429 | 15,268 | 1.54 | ||||
Micron Technology, Inc. | (7,091) | 482,401 | 15,303 | 1.54 | ||||
Intel Corporation | (13,138) | 467,056 | 41,084 | 4.14 | ||||
Ingersoll-Rand, Inc. | (6,906) | 440,050 | 34,967 | 3.53 | ||||
Landstar System, Inc. | 2,485 | 439,696 | (21,398) | (2.16) | ||||
Monolithic Power Systems, Inc. | 942 | 435,204 | (17,397) | (1.75) | ||||
Booking Holdings, Inc. | 140 | 431,753 | (11,287) | (1.14) | ||||
Progressive Corporation (The) | (3,056) | 425,701 | (5,287) | (0.53) | ||||
Wendy's Co. (The) | 20,841 | 425,365 | 15,907 | 1.60 | ||||
New York Times Co. (The) Class A | 10,073 | 415,008 | (31,909) | (3.22) | ||||
Vornado Realty Trust REIT | (18,223) | 413,298 | 45,132 | 4.55 | ||||
Rollins, Inc. | 10,980 | 409,883 | 12,320 | 1.24 | ||||
AGCO Corporation | 3,435 | 406,292 | (16,625) | (1.68) | ||||
Choice Hotels International, Inc. | 3,274 | 401,098 | (18,677) | (1.88) | ||||
Union Pacific Corporation | (1,943) | 395,653 | 13,908 | 1.40 | ||||
General Dynamics Corporation | 1,715 | 378,964 | 7,214 | 0.73 | ||||
Crown Castle, Inc. REIT | 4,117 | 378,888 | (21,305) | (2.15) | ||||
Dropbox, Inc. Class A | 13,795 | 375,638 | (11,010) | (1.11) | ||||
Americold Realty Trust REIT | (12,352) | 375,624 | 28,833 | 2.91 | ||||
Cintas Corporation | 779 | 374,707 | (12,841) | (1.29) | ||||
Xcel Energy, Inc. | 6,542 | 374,333 | 1,113 | 0.11 | ||||
Cigna Group (The) | 1,305 | 373,321 | 2,331 | 0.23 | ||||
Veeva Systems, Inc. Class A | 1,834 | 373,127 | (40,011) | (4.03) | ||||
Fortune Brands Innovations, Inc. | (5,994) | 372,587 | 17,587 | 1.77 | ||||
Chemed Corporation | 715 | 371,585 | 11,444 | 1.15 | ||||
Paramount Global Class B | (28,489) | 367,508 | 19,057 | 1.92 | ||||
UFP Industries, Inc. | 3,586 | 367,206 | (2,859) | (0.29) | ||||
Cardinal Health, Inc. | 4,195 | 364,210 | (11,847) | (1.19) | ||||
Old Dominion Freight Line, Inc. | 886 | 362,498 | (15,499) | (1.56) | ||||
Entegris, Inc. | (3,805) | 357,328 | 6,909 | 0.70 | ||||
Chart Industries, Inc. | (2,109) | 356,674 | 13,636 | 1.37 | ||||
Owens Corning | 2,588 | 353,029 | (19,617) | (1.98) | ||||
W.W. Grainger, Inc. | 509 | 352,147 | (934) | (0.09) | ||||
Emerson Electric Co. | (3,622) | 349,777 | 13,429 | 1.35 | ||||
Vertex Pharmaceuticals, Inc. | 1,002 | 348,435 | (326) | (0.03) | ||||
First Citizens BancShares, Inc. Class A | 249 | 343,645 | 12,422 | 1.25 | ||||
Edwards Lifesciences Corporation | 4,941 | 342,312 | (28,521) | (2.88) | ||||
Coterra Energy, Inc. | 12,637 | 341,831 | (9,700) | (0.98) | ||||
NRG Energy, Inc. | (8,726) | 336,126 | 2,950 | 0.30 | ||||
Fastenal Co. | 6,105 | 333,577 | (568) | (0.06) | ||||
Other | (849,139) | 106,516,593 | 1,145,910 | 115.55 | ||||
$127,735,985 | $ 991,901 | 100.00% |
For the Fund’s
Valuation Hierarchy (a summary of the inputs used in valuing the Fund’s investments carried at fair value) at June 30, 2023, see Schedule of Investments in the Fund’s Semi-Annual Report.
See the Notes to Financial Statements in the June
30, 2023 GuideStone Funds' Semi-Annual Report to shareholders for more information. The Notes also contain Derivative Holdings Categorized by Risk Exposure by Fund as of June 30, 2023, the average balance of derivative holdings by Fund during the
period ended June 30, 2023, and the market values of loaned securities and collateral received for each of the Select Funds.
224