Eaton Vance
Core Bond Fund
March 31, 2023 (Unaudited)
Eaton Vance Core Bond Fund (the Fund), a diversified series of Eaton Vance Special Investment Trust, invests substantially all of its assets in Core Bond Portfolio (the Portfolio) and owns a pro-rata interest in the Portfolio’s net assets. At March 31, 2023, the value of the Fund’s investment in the Portfolio was $263,802,128 and the Fund owned 42.3% of the Portfolio’s outstanding interests. The Portfolio’s Portfolio of Investments is set forth below.
1
Core Bond Portfolio
March 31, 2023
Portfolio of Investments (Unaudited)
Asset-Backed Securities — 9.8% |
Security | Principal Amount (000's omitted) | Value | |
ACHV ABS Trust, Series 2023-1PL, Class A, 6.42%, 3/18/30(1) | $ | �� 997 | $ 996,524 |
Adams Outdoor Advertising, L.P., Series 2018-1, Class A, 4.81%, 11/15/48(1) | 642 | 613,370 | |
Coinstar Funding, LLC, Series 2017-1A, Class A2, 5.216%, 4/25/47(1) | 1,210 | 932,222 | |
Conn's Receivables Funding, LLC: | |||
Series 2021-A, Class B, 2.87%, 5/15/26(1) | 728 | 721,136 | |
Series 2022-A, Class C, 0.00%, 12/15/26(1) | 2,100 | 1,781,094 | |
DataBank Issuer, Series 2021-2A, Class A2, 2.40%, 10/25/51(1) | 1,186 | 1,033,554 | |
DB Master Finance, LLC, Series 2017-1A, Class A2II, 4.03%, 11/20/47(1) | 323 | 301,898 | |
Diamond Infrastructure Funding, LLC: | |||
Series 2021-1A, Class A, 1.76%, 4/15/49(1) | 3,760 | 3,224,687 | |
Series 2021-1A, Class C, 3.475%, 4/15/49(1) | 313 | 250,888 | |
Driven Brands Funding, LLC, Series 2018-1A, Class A2, 4.739%, 4/20/48(1) | 1,105 | 1,062,237 | |
Enterprise Fleet Financing, LLC, Series 2023-1, Class A2, 5.51%, 1/22/29(1) | 2,975 | 2,982,991 | |
FMC GMSR Issuer Trust, Series 2021-GT2, Class A, 3.85%, 10/25/26(1)(2) | 1,225 | 1,053,314 | |
FOCUS Brands Funding, LLC, Series 2017-1A, Class A2II, 5.093%, 4/30/47(1) | 943 | 864,389 | |
Horizon Aircraft Finance III, Ltd., Series 2019-2, Class A, 3.425%, 11/15/39(1) | 1,433 | 1,167,535 | |
Jersey Mike's Funding, Series 2019-1A, Class A2, 4.433%, 2/15/50(1) | 1,031 | 961,193 | |
JPMorgan Chase Bank, NA: | |||
Series 2021-2, Class B, 0.889%, 12/26/28(1) | 686 | 661,595 | |
Series 2021-3, Class B, 0.76%, 2/26/29(1) | 657 | 623,852 | |
LAD Auto Receivables Trust, Series 2023-1A, Class A2, 5.68%, 10/15/26(1) | 780 | 779,035 | |
Lendingpoint Asset Securitization Trust: | |||
Series 2022-A, Class A, 1.68%, 6/15/29(1) | 235 | 234,031 | |
Series 2022-C, Class A, 6.56%, 2/15/30(1) | 1,989 | 1,982,807 | |
Lunar Aircraft, Ltd., Series 2020-1A, Class B, 4.335%, 2/15/45(1) | 295 | 199,275 | |
Marlette Funding Trust, Series 2023-1A, Class A, 6.07%, 4/15/33(1) | 3,275 | 3,274,262 | |
Neighborly Issuer, LLC, Series 2021-1A, Class A2, 3.584%, 4/30/51(1) | 1,346 | 1,148,830 | |
NRZ Excess Spread-Collateralized Notes, Series 2021-GNT1, Class A, 3.474%, 11/25/26(1) | 1,746 | 1,595,107 | |
Oportun Funding XIV, LLC, Series 2021-A, Class B, 1.76%, 3/8/28(1) | 419 | 394,212 | |
Oportun Issuance Trust: | |||
Series 2021-B, Class A, 1.47%, 5/8/31(1) | 1,547 | 1,397,759 |
Security | Principal Amount (000's omitted) | Value | |
Oportun Issuance Trust: (continued) | |||
Series 2021-C, Class A, 2.18%, 10/8/31(1) | $ | 4,685 | $ 4,222,557 |
Pagaya AI Debt Selection Trust: | |||
Series 2021-2, 3.00%, 1/25/29(1) | 735 | 701,894 | |
Series 2021-3, Class A, 1.15%, 5/15/29(1) | 842 | 827,084 | |
Series 2021-HG1, Class A, 1.22%, 1/16/29(1) | 474 | 449,684 | |
Planet Fitness Master Issuer, LLC, Series 2019-1A, Class A2, 3.858%, 12/5/49(1) | 1,006 | 874,678 | |
ServiceMaster Funding, LLC: | |||
Series 2020-1, Class A2I, 2.841%, 1/30/51(1) | 549 | 462,699 | |
Series 2020-1, Class A2II, 3.337%, 1/30/51(1) | 640 | 507,740 | |
SERVPRO Master Issuer, LLC, Series 2019-1A, Class A2, 3.882%, 10/25/49(1) | 3,626 | 3,326,249 | |
SoFi Consumer Loan Program Trust, Series 2023-1S, Class A, 5.81%, 5/15/31(1) | 845 | 845,927 | |
Sonic Capital, LLC, Series 2020-1A, Class A2I, 3.845%, 1/20/50(1) | 1,783 | 1,649,819 | |
SpringCastle America Funding, LLC, Series 2020-AA, Class A, 1.97%, 9/25/37(1) | 978 | 890,991 | |
Stack Infrastructure Issuer, LLC: | |||
Series 2019-1A, Class A2, 4.54%, 2/25/44(1) | 6,283 | 6,173,433 | |
Series 2019-2A, Class A2, 3.08%, 10/25/44(1) | 750 | 717,026 | |
Sunnova Helios V Issuer, LLC, Series 2021-A, Class A, 1.80%, 2/20/48(1) | 239 | 199,162 | |
Sunnova Helios X Issuer, LLC, Series 2022-C, Class B, 5.60%, 11/22/49(1) | 1,365 | 1,286,258 | |
Sunnova Sol II Issuer, LLC, Series 2020-2A, Class A, 2.73%, 11/1/55(1) | 2,378 | 1,868,567 | |
Theorem Funding Trust, Series 2022-3A, Class A, 7.60%, 4/15/29(1) | 659 | 664,525 | |
Towd Point Asset Trust, Series 2018-SL1, Class A, 5.445%, (1 mo. USD LIBOR + 0.60%), 1/25/46(1)(3) | 998 | 991,030 | |
Vantage Data Centers Issuer, LLC: | |||
Series 2019-1A, Class A2, 3.188%, 7/15/44(1) | 1,125 | 1,086,434 | |
Series 2020-2A, Class A2, 1.992%, 9/15/45(1) | 2,220 | 1,883,258 | |
Series 2021-1A, Class A2, 2.165%, 10/15/46(1) | 869 | 775,341 | |
Willis Engine Structured Trust V: | |||
Series 2020-A, Class B, 4.212%, 3/15/45(1) | 878 | 638,608 | |
Series 2020-A, Class C, 6.657%, 3/15/45(1) | 219 | 141,068 | |
Total Asset-Backed Securities (identified cost $66,443,028) | $ 61,421,829 |
2
Core Bond Portfolio
March 31, 2023
Portfolio of Investments (Unaudited) — continued
Collateralized Mortgage Obligations — 1.7% |
Security | Principal Amount (000's omitted) | Value | |
Bellemeade Re, Ltd.: | |||
Series 2021-1A, Class M1A, 6.31%, (30-day average SOFR + 1.75%), 3/25/31(1)(3) | $ | 166 | $ 165,975 |
Series 2021-1A, Class M1B, 6.76%, (30-day average SOFR + 2.20%), 3/25/31(1)(3) | 390 | 386,799 | |
Series 2021-2A, Class M1A, 5.76%, (30-day average SOFR + 1.20%), 6/25/31(1)(3) | 1,261 | 1,246,075 | |
Series 2021-3A, Class A2, 5.56%, (30-day average SOFR + 1.00%), 9/25/31(1)(3) | 830 | 798,152 | |
Cascade MH Asset Trust, Series 2022-MH1, Class A, 4.25% to 7/25/27, 8/25/54(1)(4) | 1,621 | 1,442,580 | |
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes: | |||
Series 2018-DNA1, Class M2AT, 5.895%, (1 mo. USD LIBOR + 1.05%), 7/25/30(3) | 62 | 62,538 | |
Series 2019-DNA4, Class M2, 6.795%, (1 mo. USD LIBOR + 1.95%), 10/25/49(1)(3) | 75 | 75,223 | |
Series 2021-DNA3, Class M1, 5.31%, (30-day average SOFR + 0.75%), 10/25/33(1)(3) | 377 | 376,470 | |
Series 2022-DNA2, Class M1A, 5.86%, (30-day average SOFR + 1.30%), 2/25/42(1)(3) | 1,034 | 1,027,051 | |
Federal National Mortgage Association: | |||
Series 2005-58, Class MA, 5.50%, 7/25/35 | 65 | 67,047 | |
Series 2011-135, Class PK, 4.50%, 5/25/40 | 24 | 24,353 | |
Series 2013-6, Class HD, 1.50%, 12/25/42 | 54 | 49,893 | |
Series 2014-70, Class KP, 3.50%, 3/25/44 | 314 | 304,713 | |
Federal National Mortgage Association Connecticut Avenue Securities: | |||
Series 2013-C01, Class M2, 10.095%, (1 mo. USD LIBOR + 5.25%), 10/25/23(3) | 448 | 458,411 | |
Series 2014-C02, Class 2M2, 7.445%, (1 mo. USD LIBOR + 2.60%), 5/25/24(3) | 171 | 170,982 | |
Series 2014-C03, Class 2M2, 7.745%, (1 mo. USD LIBOR + 2.90%), 7/25/24(3) | 268 | 272,148 | |
Series 2018-R07, Class 1M2, 7.245%, (1 mo. USD LIBOR + 2.40%), 4/25/31(1)(3) | 60 | 60,681 | |
Series 2019-R06, Class 2B1, 8.595%, (1 mo. USD LIBOR + 3.75%), 9/25/39(1)(3) | 2,977 | 2,912,913 | |
Home Re, Ltd., Series 2021-1, Class M1B, 6.395%, (1 mo. USD LIBOR + 1.55%), 7/25/33(1)(3) | 499 | 498,515 | |
Total Collateralized Mortgage Obligations (identified cost $10,577,867) | $ 10,400,519 |
Commercial Mortgage-Backed Securities — 9.4% |
Security | Principal Amount (000's omitted) | Value | |
BAMLL Commercial Mortgage Securities Trust: | |||
Series 2019-BPR, Class DNM, 3.719%, 11/5/32(1)(2) | $ | 3,325 | $ 2,539,259 |
Security | Principal Amount (000's omitted) | Value | |
BAMLL Commercial Mortgage Securities Trust: (continued) | |||
Series 2019-BPR, Class FNM, 3.719%, 11/5/32(1)(2) | $ | 1,635 | $ 1,087,702 |
BX Commercial Mortgage Trust: | |||
Series 2019-XL, Class A, 5.862%, (1 mo. SOFR + 1.03%), 10/15/36(1)(3) | 2,499 | 2,472,090 | |
Series 2019-XL, Class B, 6.022%, (1 mo. SOFR + 1.19%), 10/15/36(1)(3) | 1,122 | 1,102,103 | |
Series 2021-VOLT, Class B, 5.634%, (1 mo. USD LIBOR + 0.95%), 9/15/36(1)(3) | 3,103 | 2,949,665 | |
Series 2021-VOLT, Class C, 5.784%, (1 mo. USD LIBOR + 1.10%), 9/15/36(1)(3) | 1,461 | 1,380,210 | |
Series 2021-VOLT, Class D, 6.334%, (1 mo. USD LIBOR + 1.65%), 9/15/36(1)(3) | 1,074 | 1,011,889 | |
CFCRE Commercial Mortgage Trust: | |||
Series 2016-C7, Class C, 4.385%, 12/10/54(2) | 1,250 | 1,065,544 | |
Series 2016-C7, Class D, 4.385%, 12/10/54(1)(2) | 2,000 | 1,403,261 | |
Citigroup Commercial Mortgage Trust, Series 2013-GC11, Class C, 4.134%, 4/10/46(2) | 97 | 96,756 | |
COMM Mortgage Trust: | |||
Series 2013-CR11, Class B, 5.111%, 8/10/50(2) | 2,855 | 2,746,599 | |
Series 2014-CR21, Class C, 4.41%, 12/10/47(2) | 2,500 | 2,288,888 | |
CSMC Trust, Series 2016-NXSR, Class C, 4.431%, 12/15/49(2) | 1,775 | 1,330,364 | |
Extended Stay America Trust: | |||
Series 2021-ESH, Class A, 5.765%, (1 mo. USD LIBOR + 1.08%), 7/15/38(1)(3) | 486 | 471,941 | |
Series 2021-ESH, Class C, 6.385%, (1 mo. USD LIBOR + 1.70%), 7/15/38(1)(3) | 2,673 | 2,593,634 | |
Federal National Mortgage Association: | |||
Series 2018-M4, Class A2, 3.086%, 3/25/28(2) | 513 | 487,482 | |
Series 2019-M1, Class A2, 3.547%, 9/25/28(2) | 2,486 | 2,407,706 | |
Series 2020-M1, Class A2, 2.444%, 10/25/29 | 4,434 | 3,997,590 | |
Federal National Mortgage Association Multifamily Connecticut Avenue Securities Trust, Series 2020-01, Class M10, 8.595%, (1 mo. USD LIBOR + 3.75%), 3/25/50(1)(3) | 1,260 | 1,172,105 | |
Hawaii Hotel Trust, Series 2019-MAUI, Class A, 5.834%, (1 mo. USD LIBOR + 1.15%), 5/15/38(1)(3) | 4,033 | 3,937,768 | |
JPMBB Commercial Mortgage Securities Trust: | |||
Series 2014-C22, Class D, 4.547%, 9/15/47(1)(2) | 990 | 716,216 | |
Series 2014-C23, Class D, 3.979%, 9/15/47(1)(2) | 2,000 | 1,691,190 | |
Series 2014-C25, Class D, 3.936%, 11/15/47(1)(2) | 1,960 | 844,073 | |
JPMorgan Chase Commercial Mortgage Securities Trust: | |||
Series 2013-C13, Class D, 4.157%, 1/15/46(1)(2) | 2,000 | 1,934,308 | |
Series 2021-MHC, Class C, 5.984%, (1 mo. USD LIBOR + 1.30%), 4/15/38(1)(3) | 2,425 | 2,308,307 | |
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C29, Class C, 4.722%, 5/15/49(2)(5) | 993 | 868,693 | |
Morgan Stanley Capital I Trust: | |||
Series 2016-UBS12, Class D, 3.312%, 12/15/49(1)(5) | 1,745 | 854,570 |
3
Core Bond Portfolio
March 31, 2023
Portfolio of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
Morgan Stanley Capital I Trust: (continued) | |||
Series 2019-BPR, Class A, 6.334%, (1 mo. USD LIBOR + 1.65%), 5/15/36(1)(3)(5) | $ | 2,210 | $ 2,146,925 |
Natixis Commercial Mortgage Securities Trust, Series 2018-FL1, Class C, 6.884%, (1 mo. USD LIBOR + 2.20%), 6/15/35(1)(3) | 5,000 | 4,345,737 | |
SLG Office Trust, Series 2021-OVA, Class A, 2.585%, 7/15/41(1) | 2,427 | 1,940,127 | |
VMC Finance, LLC: | |||
Series 2021-HT1, Class A, 6.411%, (1 mo. USD LIBOR + 1.65%), 1/18/37(1)(3) | 1,484 | 1,443,871 | |
Series 2021-HT1, Class B, 9.261%, (1 mo. USD LIBOR + 4.50%), 1/18/37(1)(3) | 2,000 | 1,888,743 | |
Wells Fargo Commercial Mortgage Trust, Series 2016-C35, Class D, 3.142%, 7/15/48(1) | 500 | 362,675 | |
WF-RBS Commercial Mortgage Trust, Series 2013-UBS1, Class E, 5.025%, 3/15/46(1)(2) | 924 | 883,039 | |
Total Commercial Mortgage-Backed Securities (identified cost $65,708,757) | $ 58,771,030 |
Corporate Bonds — 34.8% |
Security | Principal Amount (000's omitted) | Value | |
Aerospace & Defense — 0.3% | |||
Delta Air Lines, Inc./SkyMiles IP, Ltd., 4.75%, 10/20/28(1) | $ | 2,286 | $ 2,207,929 |
$ 2,207,929 | |||
Auto Manufacturers — 0.5% | |||
General Motors Co., 5.60%, 10/15/32 | $ | 1,503 | $ 1,473,105 |
General Motors Financial Co., Inc., 4.30%, 4/6/29 | 1,702 | 1,583,538 | |
$ 3,056,643 | |||
Automotive & Auto Parts — 0.1% | |||
Aptiv PLC/Aptiv Corp., 3.25%, 3/1/32 | $ | 526 | $ 458,599 |
$ 458,599 | |||
Banks — 12.7% | |||
Australia & New Zealand Banking Group, Ltd., 2.95% to 7/22/25, 7/22/30(1)(6) | $ | 903 | $ 835,020 |
Banco Santander S.A.: | |||
1.722% to 9/14/26, 9/14/27(6) | 1,200 | 1,048,714 | |
4.175% to 3/24/27, 3/24/28(6) | 200 | 187,941 | |
5.294%, 8/18/27 | 1,400 | 1,379,062 |
Security | Principal Amount (000's omitted) | Value | |
Banks (continued) | |||
Bank of America Corp.: | |||
1.734% to 7/22/26, 7/22/27(6) | $ | 5,276 | $ 4,735,371 |
1.898% to 7/23/30, 7/23/31(6) | 1,020 | 818,610 | |
1.922% to 10/24/30, 10/24/31(6) | 831 | 663,322 | |
2.087% to 6/14/28, 6/14/29(6) | 1,881 | 1,621,298 | |
2.299% to 7/21/31, 7/21/32(6) | 2,050 | 1,653,642 | |
2.456% to 10/22/24, 10/22/25(6) | 482 | 459,168 | |
2.551% to 2/4/27, 2/4/28(6) | 1,250 | 1,138,186 | |
3.824% to 1/20/27, 1/20/28(6) | 1,639 | 1,567,508 | |
3.846% to 3/8/32, 3/8/37(6) | 3,289 | 2,807,150 | |
6.204% to 11/10/27, 11/10/28(6) | 2,872 | 3,004,911 | |
Barclays PLC: | |||
2.852% to 5/7/25, 5/7/26(6) | 1,281 | 1,197,332 | |
4.836%, 5/9/28 | 2,125 | 2,004,811 | |
BBVA Bancomer S.A./Texas: | |||
1.875%, 9/18/25(1) | 1,165 | 1,064,233 | |
5.125% to 1/18/28, 1/18/33(1)(6) | 1,000 | 856,280 | |
BNP Paribas S.A.: | |||
7.75% to 8/16/29(1)(6)(7) | 787 | 755,284 | |
9.25% to 11/17/27(1)(6)(7) | 634 | 645,414 | |
BPCE S.A., 3.648% to 1/14/32, 1/14/37(1)(6) | 1,452 | 1,142,380 | |
CaixaBank S.A., 6.208% to 1/18/28, 1/18/29(1)(6) | 1,376 | 1,385,679 | |
Capital One Financial Corp., 3.273% to 3/1/29, 3/1/30(6) | 909 | 775,197 | |
Citigroup, Inc.: | |||
2.572%, (SOFR + 2.107%), 6/3/31(3) | 2,328 | 1,965,511 | |
3.106% to 4/8/25, 4/8/26(6) | 1,447 | 1,384,366 | |
3.668% to 7/24/27, 7/24/28(6) | 2,345 | 2,223,347 | |
3.70%, 1/12/26 | 1,524 | 1,475,957 | |
3.785% to 3/17/32, 3/17/33(6) | 1,685 | 1,512,049 | |
4.00% to 12/10/25(6)(7) | 1,090 | 966,012 | |
Discover Bank, 4.682% to 8/9/23, 8/9/28(6) | 293 | 268,218 | |
Federation des Caisses Desjardins du Quebec, 4.40%, 8/23/25(1) | 2,222 | 2,168,850 | |
Goldman Sachs Group, Inc. (The): | |||
1.948% to 10/21/26, 10/21/27(6) | 2,688 | 2,404,034 | |
3.75%, 2/25/26 | 970 | 943,644 | |
4.223%, 5/1/29(6) | 2,700 | 2,589,198 | |
HSBC Holdings PLC: | |||
2.357% to 8/18/30, 8/18/31(6) | 982 | 792,293 | |
6.161% to 3/9/28, 3/9/29(6) | 2,251 | 2,316,334 | |
7.39% to 11/3/27, 11/3/28(6) | 696 | 741,373 | |
Intesa Sanpaolo SpA: | |||
7.00%, 11/21/25(1) | 469 | 477,523 | |
8.248% to 11/21/32, 11/21/33(1)(6) | 1,355 | 1,437,859 |
4
Core Bond Portfolio
March 31, 2023
Portfolio of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
Banks (continued) | |||
JPMorgan Chase & Co.: | |||
1.47% to 9/22/26, 9/22/27(6) | $ | 1,591 | $ 1,404,535 |
2.739% to 10/15/29, 10/15/30(6) | 3,095 | 2,703,952 | |
4.586% to 4/26/32, 4/26/33(6) | 1,198 | 1,161,041 | |
4.851% to 7/25/27, 7/25/28(6) | 2,833 | 2,830,300 | |
Macquarie Bank, Ltd., 6.798%, 1/18/33(1) | 1,295 | 1,317,973 | |
National Bank of Canada, 0.55% to 11/15/23, 11/15/24(6) | 1,294 | 1,255,652 | |
PPTT, 2006-A GS, Class A, 2.921%(1)(7)(8) | 259 | 215,384 | |
Santander Holdings USA, Inc., 4.50%, 7/17/25 | 712 | 680,747 | |
Societe Generale S.A.: | |||
6.221% to 6/15/32, 6/15/33(1)(6) | 975 | 907,380 | |
9.375% to 11/22/27(1)(6)(7) | 756 | 717,255 | |
Standard Chartered PLC: | |||
1.456% to 1/14/26, 1/14/27(1)(6) | 808 | 710,511 | |
1.822% to 11/23/24, 11/23/25(1)(6) | 929 | 864,963 | |
Synchrony Bank, 5.625%, 8/23/27 | 507 | 465,966 | |
Synovus Bank/Columbus, GA: | |||
4.00% to 10/29/25, 10/29/30(6) | 940 | 811,324 | |
5.625%, 2/15/28 | 1,000 | 898,367 | |
Texas Capital Bancshares, Inc., 4.00% to 5/6/26, 5/6/31(6) | 655 | 542,308 | |
Toronto-Dominion Bank (The), 8.125% to 10/31/27, 10/31/82(6) | 1,975 | 2,009,562 | |
Truist Financial Corp., 5.10% to 3/1/30(6)(7) | 1,427 | 1,256,551 | |
UBS AG, 1.25%, 6/1/26(1) | 1,442 | 1,268,094 | |
UBS Group AG, 2.095% to 2/11/31, 2/11/32(1)(6) | 1,652 | 1,283,632 | |
Westpac Banking Corp., 3.02% to 11/18/31, 11/18/36(6) | 867 | 679,991 | |
$ 79,398,569 | |||
Beverages — 0.1% | |||
Coca-Cola Europacific Partners PLC, 1.50%, 1/15/27(1) | $ | 541 | $ ��482,866 |
$ 482,866 | |||
Building and Development — 0.1% | |||
Jacobs Engineering Group, Inc., 5.90%, 3/1/33 | $ | 891 | $ 892,952 |
$ 892,952 | |||
Building Materials — 0.2% | |||
Cemex SAB de CV, 9.125% to 3/14/28(1)(6)(7) | $ | 1,366 | $ 1,369,693 |
$ 1,369,693 | |||
Chemicals — 0.3% | |||
Celanese US Holdings, LLC: | |||
6.165%, 7/15/27 | $ | 894 | $ 900,369 |
Security | Principal Amount (000's omitted) | Value | |
Chemicals (continued) | |||
Celanese US Holdings, LLC: (continued) | |||
6.33%, 7/15/29 | $ | 1,090 | $ 1,103,132 |
$ 2,003,501 | |||
Commercial Services — 0.8% | |||
Ashtead Capital, Inc., 4.25%, 11/1/29(1) | $ | 2,352 | $ 2,159,842 |
Block Financial, LLC, 3.875%, 8/15/30 | 1,362 | 1,172,247 | |
Ford Foundation (The), 2.415%, 6/1/50 | 650 | 431,481 | |
Western Union Co. (The), 6.20%, 11/17/36 | 1,275 | 1,275,892 | |
$ 5,039,462 | |||
Computers — 0.6% | |||
Kyndryl Holdings, Inc., 2.70%, 10/15/28 | $ | 1,547 | $ 1,297,032 |
Seagate HDD Cayman: | |||
4.091%, 6/1/29 | 332 | 293,620 | |
5.75%, 12/1/34 | 1,473 | 1,345,954 | |
9.625%, 12/1/32(1) | 666 | 746,545 | |
$ 3,683,151 | |||
Consumer Products — 0.2% | |||
Natura & Co. Luxembourg Holdings S.a.r.l., 6.00%, 4/19/29(1) | $ | 1,029 | $ 893,627 |
Natura Cosmeticos S.A., 4.125%, 5/3/28(1) | 678 | 552,769 | |
$ 1,446,396 | |||
Diversified Financial Services — 3.6% | |||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust: | |||
1.65%, 10/29/24 | $ | 221 | $ 206,879 |
4.50%, 9/15/23 | 1,246 | 1,234,376 | |
6.50%, 7/15/25 | 742 | 747,970 | |
Affiliated Managers Group, Inc., 3.30%, 6/15/30 | 1,136 | 982,398 | |
Ally Financial, Inc., 8.00%, 11/1/31 | 1,955 | 2,054,433 | |
Ameriprise Financial, Inc., 5.15%, 5/15/33 | 2,714 | 2,708,629 | |
Aviation Capital Group, LLC, 6.25%, 4/15/28(1)(9) | 1,229 | 1,229,960 | |
Bread Financial Holdings, Inc., 4.75%, 12/15/24(1) | 1,140 | 1,020,519 | |
CI Financial Corp.: | |||
3.20%, 12/17/30 | 1,403 | 1,082,403 | |
4.10%, 6/15/51 | 1,468 | 890,860 | |
Ford Motor Credit Co., LLC, 7.35%, 11/4/27 | 1,451 | 1,498,172 | |
Hyundai Capital America, 5.80%, 4/1/30(1) | 3,520 | 3,552,072 | |
KKR Group Finance Co. VII, LLC, 3.625%, 2/25/50(1) | 1,350 | 933,270 | |
KKR Group Finance Co. X, LLC, 3.25%, 12/15/51(1) | 420 | 265,694 | |
OneMain Finance Corp., 3.50%, 1/15/27 | 1,146 | 963,100 |
5
Core Bond Portfolio
March 31, 2023
Portfolio of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
Diversified Financial Services (continued) | |||
Rocket Mortgage, LLC/Rocket Mortgage Co.-Issuer, Inc.: | |||
2.875%, 10/15/26(1) | $ | 81 | $ 72,581 |
3.875%, 3/1/31(1) | 1,733 | 1,438,624 | |
Stifel Financial Corp., 4.00%, 5/15/30 | 1,408 | 1,238,015 | |
UniCredit SpA, 5.459% to 6/30/30, 6/30/35(1)(6) | 611 | 504,019 | |
$ 22,623,974 | |||
Electric Utilities — 1.2% | |||
AEP Transmission Co., LLC, 5.40%, 3/15/53 | $ | 900 | $ 938,901 |
AES Corp. (The), 2.45%, 1/15/31 | 2,342 | 1,908,925 | |
Alabama Power Co., 3.125%, 7/15/51 | 1,350 | 959,805 | |
Enel Finance International N.V., 1.375%, 7/12/26(1) | 873 | 778,045 | |
ITC Holdings Corp., 4.05%, 7/1/23 | 680 | 677,707 | |
NextEra Energy Capital Holdings, Inc.: | |||
1.90%, 6/15/28 | 1,240 | 1,089,613 | |
3.00%, 1/15/52 | 1,500 | 1,012,771 | |
NextEra Energy Operating Partners, L.P., 4.25%, 9/15/24(1) | 38 | 36,594 | |
$ 7,402,361 | |||
Electrical and Electronic Equipment — 0.1% | |||
Jabil, Inc., 3.00%, 1/15/31 | $ | 532 | $ 447,616 |
$ 447,616 | |||
Energy — 0.4% | |||
Enbridge, Inc., 5.70%, 3/8/33 | $ | 2,414 | $ 2,512,353 |
$ 2,512,353 | |||
Entertainment — 0.7% | |||
Magallanes, Inc., 5.141%, 3/15/52(1) | $ | 2,485 | $ 2,016,195 |
WarnerMedia Holdings, Inc.: | |||
5.05%, 3/15/42(1) | 1,000 | 837,338 | |
5.391%, 3/15/62(1) | 1,653 | 1,338,089 | |
$ 4,191,622 | |||
Foods — 0.2% | |||
Smithfield Foods, Inc.: | |||
2.625%, 9/13/31(1) | $ | 1,120 | $ 847,355 |
3.00%, 10/15/30(1) | 210 | 167,709 | |
$ 1,015,064 | |||
Health Care — 1.0% | |||
Centene Corp.: | |||
3.375%, 2/15/30 | $ | 2,684 | $ 2,344,055 |
Security | Principal Amount (000's omitted) | Value | |
Health Care (continued) | |||
Centene Corp.: (continued) | |||
4.25%, 12/15/27 | $ | 798 | $ 769,639 |
HCA, Inc., 4.625%, 3/15/52(1) | 3,834 | 3,189,348 | |
$ 6,303,042 | |||
Insurance — 1.9% | |||
American International Group, Inc., 5.125%, 3/27/33 | $ | 1,620 | $ 1,611,274 |
F&G Annuities & Life, Inc., 7.40%, 1/13/28(1) | 2,813 | 2,832,557 | |
GA Global Funding Trust, 2.25%, 1/6/27(1) | 2,595 | 2,266,447 | |
Global Atlantic Fin Co., 3.125%, 6/15/31(1) | 2,188 | 1,725,853 | |
Liberty Mutual Group, Inc., 4.125% to 9/15/26, 12/15/51(1)(6) | 1,466 | 1,179,060 | |
Metropolitan Life Global Funding I, 5.15%, 3/28/33(1) | 967 | 975,757 | |
Stewart Information Services Corp., 3.60%, 11/15/31 | 1,286 | 1,012,630 | |
$ 11,603,578 | |||
Lodging and Gaming — 0.1% | |||
Hyatt Hotels Corp.: | |||
1.30%, 10/1/23 | $ | 577 | $ 564,957 |
1.80%, 10/1/24 | 237 | 224,515 | |
$ 789,472 | |||
Media — 1.3% | |||
Charter Communications Operating, LLC/Charter Communications Operating Capital: | |||
2.80%, 4/1/31 | $ | 2,110 | $ 1,699,517 |
4.80%, 3/1/50 | 3,805 | 2,903,929 | |
Comcast Corp.: | |||
2.887%, 11/1/51 | 3,230 | 2,207,907 | |
2.937%, 11/1/56 | 832 | 554,790 | |
4.25%, 1/15/33 | 800 | 779,620 | |
$ 8,145,763 | |||
Oil and Gas — 0.9% | |||
BHP Billiton Finance USA, Ltd., 4.75%, 2/28/28 | $ | 2,915 | $ 2,953,521 |
Patterson-UTI Energy, Inc., 5.15%, 11/15/29 | 1,765 | 1,627,456 | |
South32 Treasury, Ltd., 4.35%, 4/14/32(1) | 1,003 | 895,257 | |
$ 5,476,234 | |||
Other Revenue — 0.4% | |||
BlueHub Loan Fund, Inc., 3.099%, 1/1/30 | $ | 3,160 | $ 2,644,610 |
$ 2,644,610 |
6
Core Bond Portfolio
March 31, 2023
Portfolio of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
Packaging & Containers — 0.2% | |||
Berry Global, Inc., 5.50%, 4/15/28(1) | $ | 1,268 | $ 1,264,490 |
$ 1,264,490 | |||
Pharmaceuticals — 0.2% | |||
Perrigo Finance Unlimited Co., 4.40%, 6/15/30 | $ | 1,214 | $ 1,091,425 |
$ 1,091,425 | |||
Real Estate Investment Trusts (REITs) — 3.2% | |||
American Assets Trust, L.P., 3.375%, 2/1/31 | $ | 1,170 | $ 940,974 |
Corporate Office Properties, L.P., 2.90%, 12/1/33 | 872 | 609,136 | |
Digital Realty Trust, L.P., 3.70%, 8/15/27 | 1,272 | 1,175,290 | |
EPR Properties: | |||
3.75%, 8/15/29 | 1,474 | 1,131,340 | |
4.50%, 6/1/27 | 1,381 | 1,146,017 | |
4.95%, 4/15/28 | 332 | 277,562 | |
Extra Space Storage, L.P., 2.55%, 6/1/31 | 1,011 | 821,390 | |
HAT Holdings I, LLC/HAT Holdings II, LLC: | |||
3.375%, 6/15/26(1) | 1,436 | 1,247,425 | |
3.75%, 9/15/30(1) | 597 | 451,589 | |
Iron Mountain, Inc.: | |||
4.50%, 2/15/31(1) | 977 | 840,513 | |
5.00%, 7/15/28(1) | 339 | 315,818 | |
Life Storage, L.P., 2.40%, 10/15/31 | 1,473 | 1,189,035 | |
Newmark Group, Inc., 6.125%, 11/15/23 | 3,504 | 3,476,832 | |
Sabra Health Care, L.P., 3.20%, 12/1/31 | 1,435 | 1,054,075 | |
SITE Centers Corp., 3.625%, 2/1/25 | 874 | 827,659 | |
Sun Communities Operating, L.P., 5.70%, 1/15/33 | 2,189 | 2,193,201 | |
VICI Properties, L.P./VICI Note Co., Inc., 5.75%, 2/1/27(1) | 2,047 | 2,011,427 | |
$ 19,709,283 | |||
Retail — 0.5% | |||
Bath & Body Works, Inc.: | |||
6.625%, 10/1/30(1) | $ | 659 | $ 643,039 |
7.60%, 7/15/37 | 524 | 453,019 | |
Dick's Sporting Goods, Inc., 4.10%, 1/15/52 | 2,609 | 1,858,575 | |
$ 2,954,633 | |||
Semiconductors — 0.6% | |||
Intel Corp.: | |||
5.625%, 2/10/43 | $ | 1,025 | $ 1,051,330 |
5.70%, 2/10/53 | 899 | 918,541 | |
Micron Technology, Inc., 2.703%, 4/15/32 | 1,965 | 1,574,586 | |
$ 3,544,457 |
Security | Principal Amount (000's omitted) | Value | |
Technology — 0.1% | |||
CDW, LLC/CDW Finance Corp., 3.276%, 12/1/28 | $ | 731 | $ 645,309 |
$ 645,309 | |||
Telecommunications — 1.7% | |||
AT&T, Inc.: | |||
3.55%, 9/15/55 | $ | 2,837 | $ 2,040,014 |
3.65%, 6/1/51 | 3,339 | 2,532,897 | |
Nokia Oyj: | |||
4.375%, 6/12/27 | 981 | 938,802 | |
6.625%, 5/15/39 | 1,492 | 1,490,553 | |
Rogers Communications, Inc., 4.55%, 3/15/52(1) | 2,500 | 2,058,537 | |
SES Global Americas Holdings GP, 5.30%, 3/25/44(1) | 661 | 520,615 | |
SES S.A., 5.30%, 4/4/43(1) | 393 | 294,355 | |
T-Mobile USA, Inc.: | |||
2.25%, 11/15/31 | 278 | 227,783 | |
2.55%, 2/15/31 | 646 | 547,819 | |
$ 10,651,375 | |||
Transportation — 0.2% | |||
SMBC Aviation Capital Finance DAC, 3.55%, 4/15/24(1) | $ | 1,200 | $ 1,171,376 |
$ 1,171,376 | |||
Utilities — 0.4% | |||
Southern Co. (The), Series B, 4.00% to 10/15/25, 1/15/51(6) | $ | 1,704 | $ 1,567,573 |
Southern Co. Gas Capital Corp., 2.45%, 10/1/23 | 1,060 | 1,043,059 | |
$ 2,610,632 | |||
Total Corporate Bonds (identified cost $235,324,264) | $216,838,430 |
Preferred Stocks — 0.5% |
Security | Shares | Value | |
Oil, Gas & Consumable Fuels — 0.1% | |||
NuStar Energy, L.P., Series B, 10.836%, (3 mo. USD LIBOR + 5.643%)(3) | 19,968 | $ 476,237 | |
$ 476,237 | |||
Real Estate Management & Development — 0.2% | |||
Brookfield Property Partners, L.P., Series A, 5.75% | 83,921 | $ 1,044,816 | |
$ 1,044,816 |
7
Core Bond Portfolio
March 31, 2023
Portfolio of Investments (Unaudited) — continued
Security | Shares | Value | |
Telecommunications — 0.2% | |||
United States Cellular Corp., 5.50% | 83,925 | $ 1,409,940 | |
$ 1,409,940 | |||
Total Preferred Stocks (identified cost $4,615,208) | $ 2,930,993 |
Senior Floating-Rate Loans — 0.2%(10) |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Diversified Telecommunication Services — 0.0%(11) | |||
CenturyLink, Inc., Term Loan, 7.172%, (SOFR + 2.25%), 3/15/27 | $ | 483 | $ 321,714 |
$ 321,714 | |||
IT Services — 0.0%(11) | |||
Asurion, LLC, Term Loan, 8.09%, (1 mo. USD LIBOR + 3.25%), 12/23/26 | $ | 244 | $ 227,879 |
$ 227,879 | |||
Software — 0.1% | |||
Hyland Software, Inc., Term Loan, 8.34%, (1 mo. USD LIBOR + 3.50%), 7/1/24 | $ | 592 | $ 584,999 |
$ 584,999 | |||
Specialty Retail — 0.1% | |||
PetSmart, Inc., Term Loan, 8.657%, (SOFR + 3.75%), 2/11/28 | $ | 437 | $ 434,113 |
$ 434,113 | |||
Total Senior Floating-Rate Loans (identified cost $1,754,255) | $ 1,568,705 |
Taxable Municipal Obligations — 1.5% |
Security | Principal Amount (000's omitted) | Value | |
Special Tax Revenue — 0.2% | |||
California Health Facilities Financing Authority, (No Place Like Home Program), 3.034%, 6/1/34 | $ | 1,430 | $ 1,209,637 |
$ 1,209,637 |
Security | Principal Amount (000's omitted) | Value | |
Water and Sewer — 1.3% | |||
Narragansett Bay Commission, RI, Wastewater System Revenue: | |||
Green Bonds, 2.094%, 9/1/30 | $ | 820 | $ 696,557 |
Green Bonds, 2.184%, 9/1/31 | 650 | 543,667 | |
Green Bonds, 2.264%, 9/1/32 | 585 | 482,022 | |
Green Bonds, 2.344%, 9/1/33 | 635 | 516,046 | |
San Francisco City and County Public Utilities Commission, CA, Water Revenue, Green Bonds, 3.303%, 11/1/39 | 6,750 | 5,691,600 | |
$ 7,929,892 | |||
Total Taxable Municipal Obligations (identified cost $10,870,000) | $ 9,139,529 |
U.S. Government Agency Mortgage-Backed Securities — 19.3% |
Security | Principal Amount (000's omitted) | Value | |
Federal Home Loan Mortgage Corp.: | |||
Pool #A93547, 4.50%, 8/1/40 | $ | 322 | $ 325,134 |
Pool #C03490, 4.50%, 8/1/40 | 171 | 172,470 | |
Pool #C09031, 2.50%, 2/1/43 | 660 | 590,766 | |
Pool #G07589, 5.50%, 6/1/41 | 1,045 | 1,097,676 | |
Pool #G08596, 4.50%, 7/1/44 | 251 | 252,654 | |
Pool #G08670, 3.00%, 10/1/45 | 388 | 356,040 | |
Pool #G08701, 3.00%, 4/1/46 | 514 | 471,708 | |
Pool #G60608, 4.00%, 5/1/46 | 1,093 | 1,067,564 | |
Pool #G60761, 3.00%, 10/1/43 | 695 | 647,659 | |
Pool #Q17453, 3.50%, 4/1/43 | 668 | 635,641 | |
Pool #Q34310, 3.50%, 6/1/45 | 403 | 381,481 | |
Pool #Q40264, 3.50%, 5/1/46 | 378 | 357,209 | |
Pool #Q45051, 3.00%, 12/1/46 | 1,379 | 1,268,435 | |
Pool #Q46889, 3.50%, 3/1/47 | 914 | 874,171 | |
Pool #Q47999, 4.00%, 5/1/47 | 1,039 | 1,014,567 | |
Pool #ZT0383, 3.50%, 3/1/48 | 401 | 377,339 | |
Federal National Mortgage Association: | |||
4.00%, 30-Year, TBA(12) | 28,527 | 27,290,089 | |
4.50%, 30-Year, TBA(12) | 28,375 | 27,803,054 | |
5.00%, 30-Year, TBA(12) | 35,575 | 35,484,657 | |
5.50%, 30-Year, TBA(12) | 8,550 | 8,639,506 | |
Pool #AB3678, 3.50%, 10/1/41 | 1,741 | 1,668,510 | |
Pool #AL7524, 5.00%, 7/1/41 | 224 | 230,407 | |
Pool #AS3892, 4.00%, 11/1/44 | 378 | 369,748 | |
Pool #AS5332, 4.00%, 7/1/45 | 353 | 344,421 | |
Pool #AS6014, 4.00%, 10/1/45 | 224 | 218,743 |
8
Core Bond Portfolio
March 31, 2023
Portfolio of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
Federal National Mortgage Association: (continued) | |||
Pool #BA0891, 3.50%, 1/1/46 | $ | 901 | $ 851,736 |
Pool #BA3938, 3.50%, 1/1/46 | 551 | 520,801 | |
Pool #BD1183, 3.50%, 12/1/46 | 316 | 298,071 | |
Pool #BE2316, 3.50%, 1/1/47 | 890 | 840,145 | |
Pool #BM1144, 2.50%, 3/1/47 | 793 | 697,322 | |
Pool #FM7023, 3.00%, 7/1/49 | 780 | 708,234 | |
Pool #MA1789, 4.50%, 2/1/44 | 252 | 252,532 | |
Pool #MA2653, 4.00%, 6/1/46 | 513 | 500,663 | |
Government National Mortgage Association: | |||
Pool #AQ1784, 3.50%, 12/20/45 | 916 | 874,579 | |
Pool #CB2653, 2.50%, 3/20/51 | 1,296 | 1,125,948 | |
Pool #CB8629, 2.50%, 4/20/51 | 1,988 | 1,727,671 | |
Total U.S. Government Agency Mortgage-Backed Securities (identified cost $121,359,861) | $120,337,351 |
U.S. Treasury Obligations — 34.9% |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Bonds: | |||
1.375%, 8/15/50 | $ | 2,806 | $ 1,686,779 |
1.625%, 11/15/50 | 8,674 | 5,567,495 | |
1.875%, 11/15/51 | 1,318 | 898,068 | |
2.00%, 11/15/41 | 8,644 | 6,530,778 | |
2.00%, 8/15/51 | 347 | 244,235 | |
2.25%, 2/15/52 | 3,332 | 2,486,375 | |
2.375%, 2/15/42 | 19,594 | 15,767,430 | |
2.875%, 5/15/52 | 1,099 | 940,611 | |
3.00%, 8/15/52 | 3,759 | 3,303,221 | |
3.875%, 2/15/43 | 1,300 | 1,311,883 | |
4.00%, 11/15/42 | 4,300 | 4,418,250 | |
4.00%, 11/15/52 | 6,137 | 6,514,809 | |
U.S. Treasury Notes: | |||
0.125%, 6/30/23 | 3,000 | 2,967,321 | |
0.25%, 5/31/25 | 3,310 | 3,055,156 | |
0.375%, 11/30/25 | 1,414 | 1,290,247 | |
0.375%, 12/31/25 | 10,941 | 9,975,756 | |
0.375%, 1/31/26 | 8,006 | 7,269,823 | |
0.50%, 2/28/26 | 3,144 | 2,858,400 | |
0.75%, 11/15/24 | 3,700 | 3,498,813 | |
0.75%, 4/30/26 | 4,821 | 4,396,526 | |
1.00%, 7/31/28 | 2,455 | 2,146,543 | |
1.125%, 2/29/28 | 10,680 | 9,487,887 | |
1.125%, 8/31/28 | 1,045 | 917,865 | |
1.25%, 3/31/28 | 2,415 | 2,154,774 |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Notes: (continued) | |||
1.25%, 4/30/28 | $ | 8,955 | $ 7,976,072 |
1.25%, 6/30/28 | 1,455 | 1,291,852 | |
1.375%, 10/31/28 | 2,510 | 2,227,576 | |
1.50%, 2/29/24 | 13,624 | 13,243,007 | |
1.875%, 2/28/27 | 22,061 | 20,590,504 | |
2.125%, 3/31/24 | 14,939 | 14,580,233 | |
2.625%, 4/15/25 | 992 | 964,294 | |
2.75%, 4/30/27 | 18,000 | 17,352,774 | |
2.75%, 8/15/32 | 11,877 | 11,180,342 | |
2.875%, 4/30/29 | 3,760 | 3,611,187 | |
3.125%, 8/31/27 | 3,713 | 3,632,648 | |
3.125%, 8/31/29 | 1,659 | 1,615,257 | |
3.25%, 8/31/24 | 7,720 | 7,604,502 | |
3.50%, 1/31/28 | 2,593 | 2,579,832 | |
3.50%, 2/15/33 | 2,150 | 2,153,527 | |
3.875%, 12/31/27 | 2,000 | 2,021,445 | |
3.875%, 9/30/29 | 2,306 | 2,344,463 | |
4.125%, 9/30/27 | 1,600 | 1,630,500 | |
4.125%, 11/15/32 | 1,384 | 1,454,498 | |
Total U.S. Treasury Obligations (identified cost $231,652,283) | $217,743,558 |
Short-Term Investments — 2.8% |
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 4.73%(13) | 17,519,193 | $ 17,519,193 | |
Total Short-Term Investments (identified cost $17,519,193) | $ 17,519,193 | ||
Total Investments — 114.9% (identified cost $765,824,716) | $716,671,137 | ||
Other Assets, Less Liabilities — (14.9)% | $(92,806,053) | ||
Net Assets — 100.0% | $623,865,084 |
The percentage shown for each investment category in the Portfolio of Investments is based on net assets. | |
(1) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be sold in certain transactions in reliance on an exemption from registration (normally to qualified institutional buyers). At March 31, 2023, the aggregate value of these securities is $179,282,183 or 28.7% of the Portfolio's net assets. |
(2) | Weighted average fixed-rate coupon that changes/updates monthly. Rate shown is the rate at March 31, 2023. |
9
Core Bond Portfolio
March 31, 2023
Portfolio of Investments (Unaudited) — continued
(3) | Variable rate security. The stated interest rate represents the rate in effect at March 31, 2023. |
(4) | Step coupon security. Interest rate represents the rate in effect at March 31, 2023. |
(5) | Represents an investment in an issuer that may be deemed to be an affiliate. |
(6) | Security converts to variable rate after the indicated fixed-rate coupon period. |
(7) | Perpetual security with no stated maturity date but may be subject to calls by the issuer. |
(8) | Variable rate security. The stated interest rate, which resets quarterly, is determined at auction and represents the rate in effect at March 31, 2023. |
(9) | When-issued security. |
(10) | Senior floating-rate loans (Senior Loans) often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. However, Senior Loans will typically have an expected average life of approximately two to four years. Senior Loans typically have rates of interest which are redetermined periodically by reference to a base lending rate, plus a spread. These base lending rates are primarily the London Interbank Offered Rate (“LIBOR”) or the Secured Overnight Financing Rate (“SOFR”) and secondarily, the prime rate offered by one or more major United States banks (the “Prime Rate”). Base lending rates may be subject to a floor, or minimum rate. Rates for SOFR are generally 1 or 3-month tenors and may also be subject to a credit spread adjustment. Senior Loans are generally subject to contractual restrictions that must be satisfied before they can be bought or sold. |
(11) | Amount is less than 0.05%. |
(12) | TBA (To Be Announced) securities are purchased on a forward commitment basis with an approximate principal amount and maturity date. The actual principal amount and maturity date are determined upon settlement. |
(13) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of March 31, 2023. |
Futures Contracts | |||||
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/Unrealized Appreciation (Depreciation) |
Interest Rate Futures | |||||
U.S. Long Treasury Bond | 29 | Long | 6/21/23 | $ 3,803,531 | $ 156,729 |
U.S. Ultra-Long Treasury Bond | 123 | Long | 6/21/23 | 17,358,375 | 839,470 |
U.S. 2-Year Treasury Note | (48) | Short | 6/30/23 | (9,909,750) | 29,530 |
U.S. 5-Year Treasury Note | (164) | Short | 6/30/23 | (17,959,281) | (223,867) |
U.S. 10-Year Treasury Note | (8) | Short | 6/21/23 | (919,375) | (2,765) |
U.S. 10-Year Ultra Treasury Note | (70) | Short | 6/21/23 | (8,479,844) | (104,151) |
$694,946 |
Abbreviations: | |
LIBOR | – London Interbank Offered Rate |
PPTT | – Preferred Pass-Through Trust |
REITs | – Real Estate Investment Trusts |
SOFR | – Secured Overnight Financing Rate |
TBA | – To Be Announced |
Currency Abbreviations: | |
USD | – United States Dollar |
10
Core Bond Portfolio
March 31, 2023
Portfolio of Investments (Unaudited) — continued
The Portfolio is subject to interest rate risk in the normal course of pursuing its investment objectives. Because the Portfolio holds fixed-rate bonds, the value of these bonds may decrease if interest rates rise. The Portfolio enters into U.S. Treasury futures contracts to hedge against fluctuations in interest rates.
At March 31, 2023, the Portfolio had sufficient cash and/or securities to cover commitments under open derivative contracts.
Affiliated Investments
At March 31, 2023, the value of the Portfolio's investment in issuers and funds that may be deemed to be affiliated was $21,389,381, which represents 3.4% of the Portfolio's net assets. Transactions in such investments by the Portfolio for the fiscal year to date ended March 31, 2023 were as follows:
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Interest/ Dividend income | Principal amount/ Shares, end of period |
Commercial Mortgage-Backed Securities | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C29, Class C, 4.722%, 5/15/49 | $875,452 | $ — | $ — | $ — | $(6,759) | $868,693 | $11,725 | $993,200 |
Morgan Stanley Capital I Trust: | ||||||||
Series 2016-UBS12, Class D, 3.312%, 12/15/49 | 927,474 | — | — | — | (76,492) | 854,570 | 18,036 | 1,745,000 |
Series 2019-BPR, Class A, 6.334%, (1 mo. USD LIBOR + 1.65%), 5/15/36 | 2,115,737 | — | — | — | 31,188 | 2,146,925 | 33,509 | 2,210,379 |
Short-Term Investments | ||||||||
Liquidity Fund, Institutional Class(1) | 33,127,696 | 75,525,499 | (91,134,002) | — | — | 17,519,193 | 155,264 | 17,519,193 |
Total | $ — | $(52,063) | $21,389,381 | $218,534 |
(1) | Represents investment in Morgan Stanley Institutional Liquidity Funds - Government Portfolio. |
Fair Value Measurements
Under generally accepted accounting principles for fair value measurements, a three-tier hierarchy to prioritize the assumptions, referred to as inputs, is used in valuation techniques to measure fair value. The three-tier hierarchy of inputs is summarized in the three broad levels listed below.
• | Level 1 – quoted prices in active markets for identical investments |
• | Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
• | Level 3 – significant unobservable inputs (including a fund's own assumptions in determining the fair value of investments) |
In cases where the inputs used to measure fair value fall in different levels of the fair value hierarchy, the level disclosed is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
At March 31, 2023, the hierarchy of inputs used in valuing the Portfolio’s investments and open derivative instruments, which are carried at value, were as follows:
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Asset-Backed Securities | $ — | $ 61,421,829 | $ — | $ 61,421,829 |
Collateralized Mortgage Obligations | — | 10,400,519 | — | 10,400,519 |
Commercial Mortgage-Backed Securities | — | 58,771,030 | — | 58,771,030 |
Corporate Bonds | — | 216,838,430 | — | 216,838,430 |
Preferred Stocks | 2,930,993 | — | — | 2,930,993 |
Senior Floating-Rate Loans | — | 1,568,705 | — | 1,568,705 |
Taxable Municipal Obligations | — | 9,139,529 | — | 9,139,529 |
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Core Bond Portfolio
March 31, 2023
Portfolio of Investments (Unaudited) — continued
Asset Description (continued) | Level 1 | Level 2 | Level 3 | Total |
U.S. Government Agency Mortgage-Backed Securities | $ — | $120,337,351 | $ — | $120,337,351 |
U.S. Treasury Obligations | — | 217,743,558 | — | 217,743,558 |
Short-Term Investments | 17,519,193 | — | — | 17,519,193 |
Total Investments | $20,450,186 | $696,220,951 | $ — | $716,671,137 |
Futures Contracts | $ 1,025,729 | $ — | $ — | $ 1,025,729 |
Total | $21,475,915 | $696,220,951 | $ — | $717,696,866 |
Liability Description | ||||
Futures Contracts | $ (330,783) | $ — | $ — | $ (330,783) |
Total | $ (330,783) | $ — | $ — | $ (330,783) |
For information on the Portfolio's policy regarding the valuation of investments and other significant accounting policies, please refer to the Portfolio's most recent financial statements included in its semiannual or annual report to shareholders.
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