Eaton Vance
Core Bond Fund
September 30, 2023 (Unaudited)
Eaton Vance Core Bond Fund (the Fund), a diversified series of Eaton Vance Special Investment Trust, invests its assets in Core Bond Portfolio (the Portfolio) and owns a pro rata interest in the Portfolio’s net assets. At September 30, 2023, the value of the Fund’s investment in the Portfolio was $248,128,856 and the Fund owned 42.8% of the Portfolio’s outstanding interests. The Portfolio’s Portfolio of Investments is set forth below.
1
Core Bond Portfolio
September 30, 2023
Portfolio of Investments (Unaudited)
Asset-Backed Securities — 10.4% |
Security | Principal Amount (000's omitted) | Value | |
ACHV ABS Trust: | |||
Series 2023-1PL, Class A, 6.42%, 3/18/30(1) | $ | 129 | $ 129,418 |
Series 2023-3PL, Class A, 6.60%, 8/19/30(1) | 1,100 | 1,100,910 | |
Coinstar Funding, LLC, Series 2017-1A, Class A2, 5.216%, 4/25/47(1) | 1,204 | 1,006,699 | |
Conn's Receivables Funding, LLC, Series 2022-A, Class C, 0.00%, 12/15/26(1) | 2,100 | 1,793,478 | |
DataBank Issuer, Series 2021-2A, Class A2, 2.40%, 10/25/51(1) | 1,186 | 1,022,985 | |
DB Master Finance, LLC, Series 2017-1A, Class A2II, 4.03%, 11/20/47(1) | 321 | 292,810 | |
Diamond Infrastructure Funding, LLC: | |||
Series 2021-1A, Class A, 1.76%, 4/15/49(1) | 3,760 | 3,218,667 | |
Series 2021-1A, Class C, 3.475%, 4/15/49(1) | 313 | 272,405 | |
Driven Brands Funding, LLC, Series 2018-1A, Class A2, 4.739%, 4/20/48(1) | 1,099 | 1,061,652 | |
Enterprise Fleet Financing, LLC, Series 2023-1, Class A2, 5.51%, 1/22/29(1) | 2,975 | 2,951,739 | |
Falcon Aerospace, Ltd., Series 2019-1, Class A, 3.597%, 9/15/39(1) | 982 | 894,038 | |
FMC GMSR Issuer Trust, Series 2021-GT2, Class A, 3.85%, 10/25/26(1)(2) | 1,225 | 1,008,255 | |
FOCUS Brands Funding, LLC, Series 2017-1A, Class A2II, 5.093%, 4/30/47(1) | 938 | 869,145 | |
Horizon Aircraft Finance III, Ltd., Series 2019-2, Class A, 3.425%, 11/15/39(1) | 1,422 | 1,125,294 | |
Jersey Mike's Funding, Series 2019-1A, Class A2, 4.433%, 2/15/50(1) | 1,031 | 949,955 | |
JPMorgan Chase Bank, NA: | |||
Series 2021-2, Class B, 0.889%, 12/26/28(1) | 411 | 399,544 | |
Series 2021-3, Class B, 0.76%, 2/26/29(1) | 458 | 438,368 | |
LAD Auto Receivables Trust, Series 2023-1A, Class A2, 5.68%, 10/15/26(1) | 617 | 615,526 | |
Lunar Aircraft, Ltd., Series 2020-1A, Class B, 4.335%, 2/15/45(1) | 274 | 195,733 | |
Lunar Structured Aircraft Portfolio Notes, Series 2021-1, Class A, 2.636%, 10/15/46(1) | 3,318 | 2,850,254 | |
Marlette Funding Trust, Series 2023-1A, Class A, 6.07%, 4/15/33(1) | 1,986 | 1,983,084 | |
Neighborly Issuer, LLC, Series 2021-1A, Class A2, 3.584%, 4/30/51(1) | 1,339 | 1,121,848 | |
NRZ Excess Spread-Collateralized Notes, Series 2021-GNT1, Class A, 3.474%, 11/25/26(1) | 1,569 | 1,415,059 | |
Oportun Funding XIV, LLC, Series 2021-A, Class B, 1.76%, 3/8/28(1) | 271 | 259,903 | |
Oportun Issuance Trust: | |||
Series 2021-B, Class A, 1.47%, 5/8/31(1) | 1,547 | 1,413,542 | |
Series 2021-C, Class A, 2.18%, 10/8/31(1) | 4,685 | 4,263,787 |
Security | Principal Amount (000's omitted) | Value | |
Oportun Issuance Trust: (continued) | |||
Series 2022-3, Class B, 8.533%, 1/8/30(1) | $ | 1,725 | $ 1,742,440 |
Pagaya AI Debt Selection Trust: | |||
Series 2021-2, 3.00%, 1/25/29(1) | 479 | 462,607 | |
Series 2021-3, Class A, 1.15%, 5/15/29(1) | 168 | 166,900 | |
Series 2021-HG1, Class A, 1.22%, 1/16/29(1) | 316 | 304,569 | |
Planet Fitness Master Issuer, LLC, Series 2019-1A, Class A2, 3.858%, 12/5/49(1) | 1,001 | 837,244 | |
Retained Vantage Data Centers Issuer, LLC, Series 2023-1A, Class A2A, 5.00%, 9/15/48(1) | 2,960 | 2,674,245 | |
ServiceMaster Funding, LLC: | |||
Series 2020-1, Class A2I, 2.841%, 1/30/51(1) | 532 | 451,476 | |
Series 2020-1, Class A2II, 3.337%, 1/30/51(1) | 621 | 489,252 | |
SERVPRO Master Issuer, LLC, Series 2019-1A, Class A2, 3.882%, 10/25/49(1) | 3,607 | 3,307,451 | |
SoFi Consumer Loan Program Trust, Series 2023-1S, Class A, 5.81%, 5/15/31(1) | 459 | 457,702 | |
Sonic Capital, LLC, Series 2020-1A, Class A2I, 3.845%, 1/20/50(1) | 1,774 | 1,612,521 | |
SpringCastle America Funding, LLC, Series 2020-AA, Class A, 1.97%, 9/25/37(1) | 838 | 761,603 | |
Stack Infrastructure Issuer, LLC: | |||
Series 2019-1A, Class A2, 4.54%, 2/25/44(1) | 3,302 | 3,270,523 | |
Series 2019-2A, Class A2, 3.08%, 10/25/44(1) | 750 | 719,317 | |
Sunnova Helios V Issuer, LLC, Series 2021-A, Class A, 1.80%, 2/20/48(1) | 230 | 194,097 | |
Sunnova Helios X Issuer, LLC, Series 2022-C, Class B, 5.60%, 11/22/49(1) | 1,328 | 1,242,325 | |
Sunnova Helios XII Issuer, LLC, Series 2023-B, Class A, 5.30%, 8/22/50(1) | 2,000 | 1,907,553 | |
Sunnova Sol II Issuer, LLC, Series 2020-2A, Class A, 2.73%, 11/1/55(1) | 2,340 | 1,842,534 | |
Theorem Funding Trust, Series 2022-3A, Class A, 7.60%, 4/15/29(1) | 468 | 470,482 | |
Towd Point Asset Trust, Series 2018-SL1, Class A, 6.034%, (1 mo. SOFR + 0.714%), 1/25/46(1)(3) | 485 | 483,524 | |
Vantage Data Centers Issuer, LLC: | |||
Series 2019-1A, Class A2, 3.188%, 7/15/44(1) | 1,119 | 1,087,426 | |
Series 2020-2A, Class A2, 1.992%, 9/15/45(1) | 2,220 | 1,859,645 | |
Series 2021-1A, Class A2, 2.165%, 10/15/46(1) | 869 | 761,618 | |
Willis Engine Structured Trust V: | |||
Series 2020-A, Class B, 4.212%, 3/15/45(1) | 855 | 690,549 | |
Series 2020-A, Class C, 6.657%, 3/15/45(1) | 197 | 142,171 | |
Total Asset-Backed Securities (identified cost $65,371,537) | $ 60,593,872 |
2
Core Bond Portfolio
September 30, 2023
Portfolio of Investments (Unaudited) — continued
Collateralized Mortgage Obligations — 2.0% |
Security | Principal Amount (000's omitted) | Value | |
Bellemeade Re, Ltd.: | |||
Series 2021-1A, Class M1A, 7.065%, (30-day average SOFR + 1.75%), 3/25/31(1)(3) | $ | 14 | $ 14,348 |
Series 2021-1A, Class M1B, 7.515%, (30-day average SOFR + 2.20%), 3/25/31(1)(3) | 390 | 392,694 | |
Series 2021-2A, Class M1A, 6.515%, (30-day average SOFR + 1.20%), 6/25/31(1)(3) | 645 | 645,602 | |
Series 2021-3A, Class A2, 6.315%, (30-day average SOFR + 1.00%), 9/25/31(1)(3) | 830 | 823,286 | |
Cascade MH Asset Trust, Series 2022-MH1, Class A, 4.25% to 7/25/27, 8/25/54(1)(4) | 1,578 | 1,387,736 | |
CHNGE Mortgage Trust, Series 2023-4, Class A1, 7.573% to 8/25/26, 9/25/58(1)(4) | 1,575 | 1,583,155 | |
Federal Home Loan Mortgage Corp., Series 5324, Class MZ, 6.00%, 7/25/53 | 142 | 131,789 | |
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes: | |||
Series 2019-DNA4, Class M2, 7.379%, (30-day average SOFR + 2.064%), 10/25/49(1)(3) | 28 | 27,895 | |
Series 2021-DNA3, Class M1, 6.065%, (30-day average SOFR + 0.75%), 10/25/33(1)(3) | 223 | 222,424 | |
Series 2022-DNA2, Class M1A, 6.615%, (30-day average SOFR + 1.30%), 2/25/42(1)(3) | 869 | 869,254 | |
Federal National Mortgage Association: | |||
Series 2005-58, Class MA, 5.50%, 7/25/35 | 55 | 54,982 | |
Series 2013-6, Class HD, 1.50%, 12/25/42 | 52 | 44,350 | |
Series 2014-70, Class KP, 3.50%, 3/25/44 | 288 | 269,454 | |
Federal National Mortgage Association Connecticut Avenue Securities: | |||
Series 2013-C01, Class M2, 10.679%, (30-day average SOFR + 5.364%), 10/25/23(3) | 412 | 414,122 | |
Series 2014-C02, Class 2M2, 8.029%, (30-day average SOFR + 2.714%), 5/25/24(3) | 148 | 149,257 | |
Series 2014-C03, Class 2M2, 8.329%, (30-day average SOFR + 3.014%), 7/25/24(3) | 224 | 226,831 | |
Series 2018-R07, Class 1M2, 7.829%, (30-day average SOFR + 2.514%), 4/25/31(1)(3) | 26 | 26,188 | |
Series 2019-R06, Class 2B1, 9.179%, (30-day average SOFR + 3.864%), 9/25/39(1)(3) | 2,786 | 2,861,645 | |
Government National Mortgage Association: | |||
Series 2023-84, Class DL, 6.00%, 6/20/53 | 635 | 620,772 | |
Series 2023-84, Class MW, 6.00%, 6/20/53 | 653 | 638,123 | |
Total Collateralized Mortgage Obligations (identified cost $11,491,426) | $ 11,403,907 |
Commercial Mortgage-Backed Securities — 8.6% |
Security | Principal Amount (000's omitted) | Value | |
BAMLL Commercial Mortgage Securities Trust: | |||
Series 2019-BPR, Class DNM, 3.843%, 11/5/32(1)(2) | $ | 3,325 | $ 2,080,882 |
Series 2019-BPR, Class FNM, 3.843%, 11/5/32(1)(2) | 1,635 | 361,941 | |
BX Commercial Mortgage Trust: | |||
Series 2019-XL, Class A, 6.367%, (1 mo. SOFR + 1.034%), 10/15/36(1)(3) | 2,061 | 2,056,157 | |
Series 2019-XL, Class B, 6.527%, (1 mo. SOFR + 1.194%), 10/15/36(1)(3) | 1,122 | 1,115,400 | |
Series 2021-VOLT, Class B, 6.397%, (1 mo. SOFR + 1.064%), 9/15/36(1)(3) | 3,103 | 3,003,688 | |
Series 2021-VOLT, Class C, 6.547%, (1 mo. SOFR + 1.214%), 9/15/36(1)(3) | 1,461 | 1,406,610 | |
Series 2021-VOLT, Class D, 7.097%, (1 mo. SOFR + 1.764%), 9/15/36(1)(3) | 1,074 | 1,026,547 | |
BPR Trust, Series 2022-SSP, Class A, 8.332%, (1 mo. SOFR + 3.00%), 5/15/39(1)(3) | 1,280 | 1,279,198 | |
CFCRE Commercial Mortgage Trust, Series 2016-C7, Class D, 4.514%, 12/10/54(1)(2) | 2,000 | 1,381,851 | |
COMM Mortgage Trust, Series 2014-CR21, Class C, 4.564%, 12/10/47(2) | 2,500 | 2,310,289 | |
Extended Stay America Trust: | |||
Series 2021-ESH, Class A, 6.527%, (1 mo. SOFR + 1.194%), 7/15/38(1)(3) | 473 | 469,783 | |
Series 2021-ESH, Class C, 7.147%, (1 mo. SOFR + 1.814%), 7/15/38(1)(3) | 2,602 | 2,567,331 | |
Federal National Mortgage Association: | |||
Series 2018-M4, Class A2, 3.166%, 3/25/28(2) | 490 | 451,907 | |
Series 2019-M1, Class A2, 3.665%, 9/25/28(2) | 2,419 | 2,263,105 | |
Series 2020-M1, Class A2, 2.444%, 10/25/29 | 4,434 | 3,812,678 | |
Federal National Mortgage Association Multifamily Connecticut Avenue Securities Trust, Series 2020-01, Class M10, 9.179%, (30-day average SOFR + 3.864%), 3/25/50(1)(3) | 1,257 | 1,229,523 | |
Hawaii Hotel Trust, Series 2019-MAUI, Class A, 6.529%, (1 mo. SOFR + 1.197%), 5/15/38(1)(3) | 4,033 | 4,005,929 | |
JPMBB Commercial Mortgage Securities Trust: | |||
Series 2014-C22, Class D, 4.70%, 9/15/47(1)(2) | 990 | 669,327 | |
Series 2014-C23, Class D, 4.129%, 9/15/47(1)(2) | 2,000 | 1,662,543 | |
Series 2014-C25, Class D, 4.081%, 11/15/47(1)(2) | 1,960 | 830,267 | |
JPMorgan Chase Commercial Mortgage Securities Trust: | |||
Series 2013-C13, Class D, 4.116%, 1/15/46(1)(2) | 405 | 373,147 | |
Series 2021-MHC, Class C, 6.747%, (1 mo. SOFR + 1.414%), 4/15/38(1)(3) | 2,425 | 2,386,232 | |
Med Trust, Series 2021-MDLN, Class D, 7.447%, (1 mo. SOFR + 2.114%), 11/15/38(1)(3) | 1,448 | 1,391,371 | |
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C29, Class C, 4.878%, 5/15/49(2)(5) | 993 | 859,463 | |
Morgan Stanley Capital I Trust, Series 2019-BPR, Class A, 7.322%, (1 mo. SOFR + 1.992%), 5/15/36(1)(3)(5) | 1,982 | 1,909,793 |
3
Core Bond Portfolio
September 30, 2023
Portfolio of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
Natixis Commercial Mortgage Securities Trust, Series 2018-FL1, Class C, 7.647%, (1 mo. SOFR + 2.314%), 6/15/35(1)(3) | $ | 5,000 | $ 2,297,564 |
SLG Office Trust, Series 2021-OVA, Class A, 2.585%, 7/15/41(1) | 2,427 | 1,897,772 | |
VMC Finance, LLC: | |||
Series 2021-HT1, Class A, 7.095%, (1 mo. SOFR + 1.764%), 1/18/37(1)(3) | 1,484 | 1,451,508 | |
Series 2021-HT1, Class B, 9.945%, (1 mo. SOFR + 4.614%), 1/18/37(1)(3) | 2,000 | 1,897,054 | |
Wells Fargo Commercial Mortgage Trust, Series 2016-C35, Class D, 3.142%, 7/15/48(1) | 500 | 355,685 | |
WF-RBS Commercial Mortgage Trust, Series 2013-UBS1, Class E, 5.206%, 3/15/46(1)(2) | 924 | 890,156 | |
Total Commercial Mortgage-Backed Securities (identified cost $58,796,108) | $ 49,694,701 |
Corporate Bonds — 34.1% |
Security | Principal Amount (000's omitted) | Value | |
Aerospace & Defense — 0.4% | |||
Delta Air Lines, Inc./SkyMiles IP, Ltd., 4.75%, 10/20/28(1) | $ | 2,286 | $ 2,173,328 |
$ 2,173,328 | |||
Agriculture — 0.3% | |||
BAT Capital Corp., 6.421%, 8/2/33 | $ | 1,758 | $ 1,710,132 |
$ 1,710,132 | |||
Auto Manufacturers — 0.3% | |||
General Motors Financial Co., Inc.: | |||
4.30%, 4/6/29 | $ | 929 | $ 833,902 |
5.85%, 4/6/30 | 945 | 905,792 | |
$ 1,739,694 | |||
Automotive & Auto Parts — 0.1% | |||
Aptiv PLC/Aptiv Corp., 3.25%, 3/1/32 | $ | 526 | $ 431,431 |
$ 431,431 | |||
Banks — 13.8% | |||
ABN AMRO Bank NV, 6.339% to 9/18/26, 9/18/27(1)(6) | $ | 1,300 | $ 1,297,306 |
AIB Group PLC, 6.608% to 9/13/28, 9/13/29(1)(6) | 1,032 | 1,028,379 | |
Australia & New Zealand Banking Group, Ltd., 2.95% to 7/22/25, 7/22/30(1)(6) | 903 | 838,702 |
Security | Principal Amount (000's omitted) | Value | |
Banks (continued) | |||
Banco Santander S.A.: | |||
1.722% to 9/14/26, 9/14/27(6) | $ | 1,200 | $ 1,049,858 |
4.175% to 3/24/27, 3/24/28(6) | 200 | 184,762 | |
5.294%, 8/18/27 | 1,400 | 1,354,390 | |
6.921%, 8/8/33 | 1,600 | 1,530,987 | |
Bank of America Corp.: | |||
1.734% to 7/22/26, 7/22/27(6) | 5,276 | 4,676,795 | |
1.898% to 7/23/30, 7/23/31(6) | 1,020 | 775,480 | |
1.922% to 10/24/30, 10/24/31(6) | 831 | 627,253 | |
2.087% to 6/14/28, 6/14/29(6) | 1,881 | 1,575,323 | |
2.299% to 7/21/31, 7/21/32(6) | 2,050 | 1,554,343 | |
2.456% to 10/22/24, 10/22/25(6) | 482 | 463,046 | |
2.551% to 2/4/27, 2/4/28(6) | 1,250 | 1,115,136 | |
3.824% to 1/20/27, 1/20/28(6) | 1,639 | 1,522,809 | |
3.846% to 3/8/32, 3/8/37(6) | 1,160 | 944,369 | |
5.819% to 9/15/28, 9/15/29(6) | 2,235 | 2,208,497 | |
5.872% to 9/15/33, 9/15/34(6) | 1,671 | 1,627,058 | |
6.204% to 11/10/27, 11/10/28(6) | 695 | 698,397 | |
Barclays PLC: | |||
4.836%, 5/9/28 | 2,125 | 1,941,074 | |
6.496% to 9/13/26, 9/13/27(6) | 1,329 | 1,326,008 | |
BBVA Bancomer S.A./Texas: | |||
1.875%, 9/18/25(1) | 1,165 | 1,069,515 | |
5.125% to 1/18/28, 1/18/33(1)(6) | 1,000 | 861,810 | |
BNP Paribas S.A.: | |||
7.75% to 8/16/29(1)(6)(7) | 787 | 749,039 | |
9.25% to 11/17/27(1)(6)(7) | 634 | 650,218 | |
BPCE S.A., 3.648% to 1/14/32, 1/14/37(1)(6) | 1,452 | 1,118,804 | |
CaixaBank S.A., 6.208% to 1/18/28, 1/18/29(1)(6) | 1,376 | 1,347,208 | |
Capital One Financial Corp., 3.273% to 3/1/29, 3/1/30(6) | 909 | 760,910 | |
Citigroup, Inc.: | |||
2.572% to 6/3/30, 6/3/31(6) | 2,328 | 1,857,292 | |
3.70%, 1/12/26 | 1,524 | 1,450,481 | |
3.785% to 3/17/32, 3/17/33(6) | 1,685 | 1,406,303 | |
Series W, 4.00% to 12/10/25(6)(7) | 1,090 | 956,204 | |
Discover Bank, 5.974%, 8/9/28 | 293 | 268,377 | |
Federation des Caisses Desjardins du Quebec, 4.40%, 8/23/25(1) | 2,222 | 2,151,379 | |
Fifth Third Bancorp, 6.339% to 7/27/28, 7/27/29(6) | 1,221 | 1,206,836 | |
HSBC Holdings PLC: | |||
2.357% to 8/18/30, 8/18/31(6) | 982 | 754,887 | |
6.161% to 3/9/28, 3/9/29(6) | 1,137 | 1,126,176 | |
7.39% to 11/3/27, 11/3/28(6) | 1,845 | 1,909,431 | |
Intesa Sanpaolo SpA: | |||
7.00%, 11/21/25(1) | 469 | 474,902 |
4
Core Bond Portfolio
September 30, 2023
Portfolio of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
Banks (continued) | |||
Intesa Sanpaolo SpA: (continued) | |||
8.248% to 11/21/32, 11/21/33(1)(6) | $ | 1,355 | $ 1,366,778 |
JPMorgan Chase & Co.: | |||
1.47% to 9/22/26, 9/22/27(6) | 1,591 | 1,394,364 | |
2.545% to 11/8/31, 11/8/32(6) | 1,316 | 1,018,960 | |
4.005% to 4/23/28, 4/23/29(6) | 2,833 | 2,612,325 | |
KeyBank N.A., 5.85%, 11/15/27 | 257 | 244,556 | |
KeyCorp, 4.789% to 6/1/32, 6/1/33(6) | 250 | 208,536 | |
Macquarie Bank, Ltd., 6.798%, 1/18/33(1) | 1,295 | 1,272,012 | |
PPTT, 2006-A GS, Series D, Class A, 3.378%(1)(7)(8) | 259 | 228,231 | |
Santander Holdings USA, Inc., 4.50%, 7/17/25 | 712 | 690,596 | |
Societe Generale S.A.: | |||
6.221% to 6/15/32, 6/15/33(1)(6) | 975 | 884,171 | |
9.375% to 11/22/27(1)(6)(7) | 756 | 742,669 | |
Standard Chartered PLC, 1.822% to 11/23/24, 11/23/25(1)(6) | 929 | 878,172 | |
Swedbank AB, 6.136%, 9/12/26(1) | 1,918 | 1,911,237 | |
Synchrony Bank, 5.40%, 8/22/25 | 800 | 771,364 | |
Synovus Bank/Columbus, GA: | |||
4.00% to 10/29/25, 10/29/30(6) | 940 | 759,392 | |
5.625%, 2/15/28 | 1,000 | 906,689 | |
Texas Capital Bancshares, Inc., 4.00% to 5/6/26, 5/6/31(6) | 655 | 543,957 | |
Toronto-Dominion Bank (The), 8.125% to 10/31/27, 10/31/82(6) | 1,975 | 1,969,774 | |
Truist Financial Corp.: | |||
5.867% to 6/8/33, 6/8/34(6) | 3,420 | 3,221,395 | |
6.047% to 6/8/26, 6/8/27(6) | 702 | 694,608 | |
Series Q, 5.10% to 3/1/30(6)(7) | 1,427 | 1,227,166 | |
U.S. Bancorp: | |||
5.775% to 6/12/28, 6/12/29(6) | 4,099 | 3,992,159 | |
5.836% to 6/10/33, 6/12/34(6) | 1,529 | 1,443,264 | |
UBS Group AG, 2.095% to 2/11/31, 2/11/32(1)(6) | 1,652 | 1,223,249 | |
UniCredit SpA, 2.569% to 9/22/25, 9/22/26(1)(6) | 785 | 719,483 | |
Westpac Banking Corp., 3.02% to 11/18/31, 11/18/36(6) | 867 | 642,355 | |
$ 80,027,206 | |||
Beverages — 0.1% | |||
Coca-Cola Europacific Partners PLC, 1.50%, 1/15/27(1) | $ | 541 | $ 473,426 |
$ 473,426 | |||
Building Materials — 0.2% | |||
Cemex SAB de CV, 9.125% to 3/14/28(1)(6)(7) | $ | 1,035 | $ 1,078,734 |
$ 1,078,734 |
Security | Principal Amount (000's omitted) | Value | |
Chemicals — 0.4% | |||
Celanese US Holdings, LLC: | |||
6.35%, 11/15/28 | $ | 915 | $ 903,970 |
6.55%, 11/15/30 | 1,090 | 1,067,256 | |
6.70%, 11/15/33 | 625 | 608,843 | |
$ 2,580,069 | |||
Commercial Services — 0.6% | |||
Ashtead Capital, Inc., 4.25%, 11/1/29(1) | $ | 2,352 | $ 2,084,406 |
Ford Foundation (The), 2.415%, 6/1/50 | 650 | 379,185 | |
Western Union Co. (The), 6.20%, 11/17/36 | 1,275 | 1,244,496 | |
$ 3,708,087 | |||
Computers — 0.6% | |||
Kyndryl Holdings, Inc.: | |||
2.70%, 10/15/28 | $ | 1,547 | $ 1,272,725 |
3.15%, 10/15/31 | 385 | 291,892 | |
Seagate HDD Cayman: | |||
5.75%, 12/1/34 | 1,473 | 1,245,622 | |
9.625%, 12/1/32(1) | 666 | 717,794 | |
$ 3,528,033 | |||
Consumer Products — 0.0%(9) | |||
Natura & Co. Luxembourg Holdings S.a.r.l., 6.00%, 4/19/29(1) | $ | 200 | $ 183,798 |
$ 183,798 | |||
Diversified Financial Services — 3.0% | |||
Affiliated Managers Group, Inc., 3.30%, 6/15/30 | $ | 1,136 | $ 944,873 |
Ally Financial, Inc., 8.00%, 11/1/31 | 1,955 | 1,975,527 | |
Aviation Capital Group, LLC: | |||
6.25%, 4/15/28(1) | 1,229 | 1,202,998 | |
6.375%, 7/15/30(1) | 1,295 | 1,255,154 | |
Charles Schwab Corp. (The), 6.136% to 8/24/33, 8/24/34(6) | 1,425 | 1,386,961 | |
CI Financial Corp.: | |||
3.20%, 12/17/30 | 1,403 | 1,065,265 | |
4.10%, 6/15/51 | 1,468 | 851,004 | |
Jefferies Financial Group, Inc., 5.875%, 7/21/28 | 1,764 | 1,727,377 | |
KKR Group Finance Co. VII, LLC, 3.625%, 2/25/50(1) | 1,350 | 860,720 | |
KKR Group Finance Co. X, LLC, 3.25%, 12/15/51(1) | 420 | 246,353 | |
OneMain Finance Corp., 3.50%, 1/15/27 | 1,146 | 982,414 | |
Rocket Mortgage, LLC/Rocket Mortgage Co.-Issuer, Inc., 3.875%, 3/1/31(1) | 1,733 | 1,384,121 | |
Stifel Financial Corp., 4.00%, 5/15/30 | 1,408 | 1,191,324 |
5
Core Bond Portfolio
September 30, 2023
Portfolio of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
Diversified Financial Services (continued) | |||
Synchrony Financial, 4.50%, 7/23/25 | $ | 2,000 | $ 1,905,103 |
UniCredit SpA, 5.459% to 6/30/30, 6/30/35(1)(6) | 611 | 512,625 | |
$ 17,491,819 | |||
Electric Utilities — 0.7% | |||
AEP Transmission Co., LLC, 5.40%, 3/15/53 | $ | 900 | $ 838,473 |
AES Corp. (The), 2.45%, 1/15/31 | 1,287 | 990,872 | |
Alabama Power Co., 3.125%, 7/15/51 | 1,350 | 830,191 | |
Enel Finance International N.V., 1.375%, 7/12/26(1) | 873 | 771,399 | |
MidAmerican Energy Co., 5.35%, 1/15/34 | 861 | 850,132 | |
NextEra Energy Operating Partners, L.P., 4.25%, 9/15/24(1) | 38 | 36,522 | |
$ 4,317,589 | |||
Electrical and Electronic Equipment — 0.1% | |||
Jabil, Inc., 3.00%, 1/15/31 | $ | 532 | $ 431,504 |
$ 431,504 | |||
Entertainment — 0.2% | |||
WarnerMedia Holdings, Inc.: | |||
5.05%, 3/15/42 | $ | 1,000 | $ 773,943 |
5.391%, 3/15/62 | 652 | 481,994 | |
$ 1,255,937 | |||
Foods — 0.2% | |||
Smithfield Foods, Inc.: | |||
2.625%, 9/13/31(1) | $ | 1,120 | $ 804,020 |
3.00%, 10/15/30(1) | 210 | 160,693 | |
$ 964,713 | |||
Health Care — 1.0% | |||
Centene Corp.: | |||
3.375%, 2/15/30 | $ | 2,684 | $ 2,241,696 |
4.25%, 12/15/27 | 798 | 736,366 | |
HCA, Inc., 3.50%, 7/15/51 | 4,700 | 2,939,059 | |
$ 5,917,121 | |||
Insurance — 2.1% | |||
Athene Global Funding, 1.20%, 10/13/23(1) | $ | 3,200 | $ 3,195,278 |
F&G Annuities & Life, Inc., 7.40%, 1/13/28 | 2,813 | 2,810,347 | |
GA Global Funding Trust, 2.25%, 1/6/27(1) | 2,595 | 2,275,953 | |
Global Atlantic Fin Co., 3.125%, 6/15/31(1) | 2,188 | 1,561,705 |
Security | Principal Amount (000's omitted) | Value | |
Insurance (continued) | |||
Liberty Mutual Group, Inc., 4.125% to 9/15/26, 12/15/51(1)(6) | $ | 1,466 | $ 1,207,639 |
Stewart Information Services Corp., 3.60%, 11/15/31 | 1,286 | 947,433 | |
$ 11,998,355 | |||
Media — 0.6% | |||
Charter Communications Operating, LLC/Charter Communications Operating Capital, 4.80%, 3/1/50 | $ | 3,805 | $ 2,663,448 |
Comcast Corp., 1.95%, 1/15/31 | 800 | 625,795 | |
$ 3,289,243 | |||
Oil and Gas — 0.1% | |||
South32 Treasury, Ltd., 4.35%, 4/14/32(1) | $ | 1,003 | $ 846,807 |
$ 846,807 | |||
Other Revenue — 0.4% | |||
BlueHub Loan Fund, Inc., 3.099%, 1/1/30 | $ | 3,160 | $ 2,538,346 |
$ 2,538,346 | |||
Packaging & Containers — 0.1% | |||
Berry Global, Inc., 5.50%, 4/15/28(1) | $ | 745 | $ 720,167 |
$ 720,167 | |||
Pharmaceuticals — 0.4% | |||
CVS Health Corp.: | |||
5.25%, 1/30/31 | $ | 1,850 | $ 1,778,494 |
5.875%, 6/1/53 | 763 | 706,188 | |
$ 2,484,682 | |||
Pipelines — 0.6% | |||
ONEOK, Inc., 6.05%, 9/1/33 | $ | 2,120 | $ 2,084,000 |
Williams Cos., Inc. (The), 5.30%, 8/15/28 | 1,364 | 1,335,047 | |
$ 3,419,047 | |||
Real Estate Investment Trusts (REITs) — 3.6% | |||
American Assets Trust, L.P., 3.375%, 2/1/31 | $ | 1,170 | $ 877,353 |
CBRE Services, Inc., 5.95%, 8/15/34 | 1,540 | 1,454,400 | |
Corporate Office Properties, L.P., 2.90%, 12/1/33 | 1,522 | 1,069,159 | |
Digital Realty Trust, L.P., 3.70%, 8/15/27 | 1,272 | 1,175,575 | |
EPR Properties: | |||
3.75%, 8/15/29 | 1,474 | 1,185,473 | |
4.50%, 6/1/27 | 1,381 | 1,237,205 | |
4.95%, 4/15/28 | 332 | 294,484 |
6
Core Bond Portfolio
September 30, 2023
Portfolio of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
Real Estate Investment Trusts (REITs) (continued) | |||
Extra Space Storage, L.P.: | |||
2.40%, 10/15/31 | $ | 1,473 | $ 1,128,683 |
2.55%, 6/1/31 | 1,011 | 788,033 | |
5.50%, 7/1/30 | 1,532 | 1,482,651 | |
HAT Holdings I, LLC/HAT Holdings II, LLC: | |||
3.375%, 6/15/26(1) | 1,436 | 1,277,908 | |
3.75%, 9/15/30(1) | 597 | 457,603 | |
Iron Mountain, Inc., 4.50%, 2/15/31(1) | 387 | 318,733 | |
Newmark Group, Inc., 6.125%, 11/15/23 | 3,504 | 3,500,864 | |
SITE Centers Corp., 3.625%, 2/1/25 | 874 | 832,484 | |
Sun Communities Operating, L.P., 4.20%, 4/15/32 | 1,250 | 1,067,408 | |
VICI Properties, L.P./VICI Note Co., Inc., 5.75%, 2/1/27(1) | 2,722 | 2,637,775 | |
$ 20,785,791 | |||
Retail — 0.4% | |||
Bath & Body Works, Inc., 7.60%, 7/15/37 | $ | 524 | $ 460,484 |
Dick's Sporting Goods, Inc., 4.10%, 1/15/52 | 2,609 | 1,586,515 | |
$ 2,046,999 | |||
Semiconductors — 0.8% | |||
Foundry JV Holdco, LLC, 5.875%, 1/25/34(1) | $ | 1,795 | $ 1,716,627 |
Intel Corp., 5.70%, 2/10/53 | 1,924 | 1,805,620 | |
Marvell Technology, Inc., 5.75%, 2/15/29 | 703 | 696,845 | |
Micron Technology, Inc., 2.703%, 4/15/32 | 380 | 290,379 | |
$ 4,509,471 | |||
Software — 0.8% | |||
Concentrix Corp.: | |||
6.60%, 8/2/28 | $ | 3,256 | $ 3,143,952 |
6.65%, 8/2/26 | 1,680 | 1,670,505 | |
$ 4,814,457 | |||
Technology — 0.1% | |||
CDW, LLC/CDW Finance Corp., 3.276%, 12/1/28 | $ | 731 | $ 631,348 |
$ 631,348 | |||
Telecommunications — 1.2% | |||
AT&T, Inc.: | |||
3.55%, 9/15/55 | $ | 1,346 | $ 824,811 |
3.65%, 6/1/51 | 3,804 | 2,454,576 | |
Nokia Oyj, 4.375%, 6/12/27 | 291 | 269,720 | |
Rogers Communications, Inc., 4.55%, 3/15/52 | 3,345 | 2,442,479 |
Security | Principal Amount (000's omitted) | Value | |
Telecommunications (continued) | |||
SES Global Americas Holdings GP, 5.30%, 3/25/44(1) | $ | 661 | $ 445,744 |
SES S.A., 5.30%, 4/4/43(1) | 393 | 265,007 | |
$ 6,702,337 | |||
Transportation — 0.4% | |||
Penske Truck Leasing Co., L.P./PTL Finance Corp., 6.20%, 6/15/30(1) | $ | 1,150 | $ 1,134,218 |
SMBC Aviation Capital Finance DAC, 3.55%, 4/15/24(1) | 1,200 | 1,183,326 | |
$ 2,317,544 | |||
Utilities — 0.5% | |||
Southern Co. (The), Series B, 4.00% to 10/15/25, 1/15/51(6) | $ | 1,704 | $ 1,580,430 |
Southern Co. Gas Capital Corp., 2.45%, 10/1/23 | 1,060 | 1,060,000 | |
$ 2,640,430 | |||
Total Corporate Bonds (identified cost $217,818,314) | $197,757,645 |
Preferred Stocks — 0.4% |
Security | Shares | Value | |
Real Estate Management & Development — 0.2% | |||
Brookfield Property Partners, L.P., Series A, 5.75% | 83,921 | $ 1,069,154 | |
$ 1,069,154 | |||
Wireless Telecommunication Services — 0.2% | |||
United States Cellular Corp., 5.50% | 83,925 | $ 1,381,405 | |
$ 1,381,405 | |||
Total Preferred Stocks (identified cost $4,196,150) | $ 2,450,559 |
7
Core Bond Portfolio
September 30, 2023
Portfolio of Investments (Unaudited) — continued
Senior Floating-Rate Loans — 0.1%(10) |
Borrower/Description | Principal Amount (000's omitted) | Value | |
Diversified Telecommunication Services — 0.1% | |||
CenturyLink, Inc., Term Loan, 7.681%, (SOFR + 2.25%), 3/15/27 | $ | 480 | $ 343,121 |
$ 343,121 | |||
Total Senior Floating-Rate Loans (identified cost $479,807) | $ 343,121 |
Taxable Municipal Obligations — 0.6% |
Security | Principal Amount (000's omitted) | Value | |
Special Tax Revenue — 0.2% | |||
California Health Facilities Financing Authority, (No Place Like Home Program), Social Bonds, 3.034%, 6/1/34 | $ | 1,430 | $ 1,149,305 |
$ 1,149,305 | |||
Water and Sewer — 0.4% | |||
Narragansett Bay Commission, RI, Wastewater System Revenue: | |||
Green Bonds, 2.094%, 9/1/30 | $ | 820 | $ 668,603 |
Green Bonds, 2.184%, 9/1/31 | 650 | 517,361 | |
Green Bonds, 2.264%, 9/1/32 | 585 | 455,341 | |
Green Bonds, 2.344%, 9/1/33 | 635 | 484,391 | |
$ 2,125,696 | |||
Total Taxable Municipal Obligations (identified cost $4,120,000) | $ 3,275,001 |
U.S. Government Agency Mortgage-Backed Securities — 20.5% |
Security | Principal Amount (000's omitted) | Value | |
Federal Home Loan Mortgage Corp.: | |||
2.50%, 2/1/43 | $ | 632 | $ 530,346 |
3.00%, with maturity at 2046 | 369 | 2,383,770 | |
3.50%, with maturity at 2048 | 374 | 2,334,276 | |
4.00%, with maturity at 2047 | 1,021 | 1,872,542 | |
4.50%, with maturity at 2044 | 228 | 664,530 | |
5.50%, 6/1/41 | 977 | 982,428 | |
6.00%, 6/1/53 | 324 | 320,315 | |
Federal National Mortgage Association: | |||
2.50%, 3/1/47 | 751 | 610,789 |
Security | Principal Amount (000's omitted) | Value | |
Federal National Mortgage Association: (continued) | |||
3.00%, 7/1/49 | $ | 766 | $ 641,994 |
3.50%, with maturity at 2047 | 871 | 3,677,653 | |
4.00%, 30-Year, TBA(11) | 28,527 | 25,415,763 | |
4.00%, with maturity at 2046 | 352 | 1,256,530 | |
4.50%, 30-Year, TBA(11) | 28,375 | 26,066,194 | |
4.50%, 2/1/44 | 235 | 221,768 | |
5.00%, 30-Year, TBA(11) | 35,575 | 33,580,875 | |
5.00%, 7/1/41 | 209 | 205,620 | |
5.50%, 30-Year, TBA(11) | 8,550 | 8,266,786 | |
6.00%, 30-Year, TBA(11) | 3,300 | 3,258,362 | |
Government National Mortgage Association: | |||
2.50%, with maturity at 2051 | 1,208 | 2,498,666 | |
3.50%, 12/20/45 | 901 | 802,151 | |
5.50%, 6/20/53 | 2,128 | 2,073,856 | |
6.00%, with maturity at 2053 | 188 | 510,031 | |
7.00%, 6/20/53 | 858 | 880,999 | |
Total U.S. Government Agency Mortgage-Backed Securities (identified cost $124,804,028) | $119,056,244 |
U.S. Treasury Obligations — 38.2% |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Bond: | |||
1.375%, 8/15/50 | $ | 2,806 | $ 1,370,117 |
1.625%, 11/15/50 | 8,674 | 4,545,444 | |
1.875%, 11/15/51 | 1,318 | 735,042 | |
2.00%, 11/15/41 | 8,644 | 5,612,691 | |
2.00%, 8/15/51 | 347 | 200,311 | |
2.25%, 2/15/52 | 3,332 | 2,045,861 | |
2.375%, 2/15/42 | 19,594 | 13,550,093 | |
2.875%, 5/15/43 | 10,227 | 7,580,564 | |
2.875%, 5/15/52 | 1,099 | 779,474 | |
3.00%, 8/15/52 | 4,144 | 3,020,749 | |
3.625%, 2/15/53 | 2,599 | 2,150,394 | |
3.875%, 2/15/43 | 2,631 | 2,290,203 | |
4.00%, 11/15/42 | 7,600 | 6,746,781 | |
4.00%, 11/15/52 | 6,137 | 5,440,834 | |
U.S. Treasury Note: | |||
0.25%, 6/15/24 | 6,000 | 5,784,807 | |
0.375%, 11/30/25 | 1,414 | 1,281,382 | |
0.375%, 12/31/25 | 10,941 | 9,892,630 | |
0.375%, 1/31/26 | 8,006 | 7,208,215 | |
0.50%, 2/28/26 | 3,144 | 2,831,074 | |
0.75%, 4/30/26 | 4,821 | 4,343,608 |
8
Core Bond Portfolio
September 30, 2023
Portfolio of Investments (Unaudited) — continued
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Note: (continued) | |||
1.125%, 2/29/28 | $ | 10,680 | $ 9,190,641 |
1.25%, 3/31/28 | 2,415 | 2,084,730 | |
1.25%, 4/30/28 | 8,955 | 7,711,095 | |
1.25%, 6/30/28 | 2,155 | 1,845,724 | |
1.375%, 10/31/28 | 2,510 | 2,141,834 | |
1.875%, 2/28/27 | 22,061 | 20,082,495 | |
2.00%, 5/31/24 | 6,000 | 5,865,423 | |
2.125%, 3/31/24 | 5,939 | 5,841,936 | |
2.75%, 4/30/27 | 18,000 | 16,834,922 | |
2.875%, 4/30/29 | 3,760 | 3,434,561 | |
3.125%, 8/31/27 | 3,713 | 3,504,869 | |
3.25%, 8/31/24 | 37,892 | 37,140,239 | |
3.50%, 1/31/28 | 2,593 | 2,474,998 | |
3.50%, 2/15/33 | 4,972 | 4,562,587 | |
3.75%, 5/31/30 | 1,408 | 1,336,940 | |
3.875%, 12/31/27 | 2,000 | 1,938,594 | |
3.875%, 9/30/29 | 2,306 | 2,212,409 | |
3.875%, 8/15/33 | 1,857 | 1,754,865 | |
4.125%, 9/30/27 | 1,600 | 1,566,938 | |
4.125%, 11/15/32 | 1,134 | 1,093,867 | |
4.375%, 8/15/26 | 1,300 | 1,283,953 | |
Total U.S. Treasury Obligations (identified cost $246,918,680) | $221,313,894 |
Short-Term Investments — 0.0%(9) |
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 5.27%(12) | 42,808 | $ 42,808 | |
Total Short-Term Investments (identified cost $42,808) | $ 42,808 | ||
Total Purchased Call Options — 0.0%(9) (identified cost $61,595) | $ 63,422 | ||
Total Investments — 114.9% (identified cost $734,100,453) | $665,995,174 | ||
Other Assets, Less Liabilities — (14.9)% | $(86,594,432) | ||
Net Assets — 100.0% | $579,400,742 |
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 September 30, 2023, the aggregate value of these securities is $163,449,203 or 28.2% of the Portfolio's net assets. |
(2) | Weighted average fixed-rate coupon that changes/updates monthly. Rate shown is the rate at September 30, 2023. |
(3) | Variable rate security. The stated interest rate represents the rate in effect at September 30, 2023. |
(4) | Step coupon security. Interest rate represents the rate in effect at September 30, 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 September 30, 2023. |
(9) | Amount is less than 0.05%. |
(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 Secured Overnight Financing Rate (“SOFR”) (or the London Interbank Offered Rate (“LIBOR”) for those loans whose rates reset prior to the discontinuance of LIBOR on June 30, 2023) 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) | 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. |
(12) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of September 30, 2023. |
9
Core Bond Portfolio
September 30, 2023
Portfolio of Investments (Unaudited) — continued
Purchased Call Options (Exchange-Traded) — 0.0%(1) | |||||
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value |
U.S. 10-Year Treasury Note Futures 12/2023 | 123 | $13,291,688 | $110.00 | 11/24/23 | $63,422 |
Total | $63,422 |
(1) | Amount is less than 0.05%. |
Futures Contracts | |||||
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/Unrealized Appreciation (Depreciation) |
Interest Rate Futures | |||||
U.S. 2-Year Treasury Note | 301 | Long | 12/29/23 | $61,015,992 | $(276,004) |
U.S. 5-Year Treasury Note | 28 | Long | 12/29/23 | 2,950,063 | 4,340 |
U.S. 10-Year Treasury Note | 95 | Long | 12/19/23 | 10,265,938 | (116,087) |
U.S. Long Treasury Bond | 45 | Long | 12/19/23 | 5,120,156 | (244,881) |
U.S. Ultra-Long Treasury Bond | 45 | Long | 12/19/23 | 5,340,938 | (301,140) |
U.S. Ultra 10-Year Treasury Note | 10 | Long | 12/19/23 | 1,115,625 | 462 |
$(933,310) |
Abbreviations: | |
PPTT | – Preferred Pass-Through Trust |
SOFR | – Secured Overnight Financing Rate |
TBA | – To Be Announced |
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 and options on futures contracts to hedge against fluctuations in interest rates.
At September 30, 2023, the Portfolio had sufficient cash and/or securities to cover commitments under open derivative contracts.
10
Core Bond Portfolio
September 30, 2023
Portfolio of Investments (Unaudited) — continued
Affiliated Investments
At September 30, 2023, the value of the Portfolio's investment in issuers and funds that may be deemed to be affiliated was $2,812,064, which represents 0.5% of the Portfolio's net assets. Transactions in such investments by the Portfolio for the fiscal year to date ended September 30, 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, 4.878%, 5/15/49 | $875,452 | $ — | $ — | $ — | $(15,989) | $859,463 | $35,820 | $993,200 |
Morgan Stanley Capital I Trust: | ||||||||
Series 2016-UBS12, Class D, 3.312%, 12/15/49 | 927,474 | — | (846,325) | (511,019) | 425,087 | — | 24,048 | — |
Series 2019-BPR, Class A, 7.322%, (1 mo. SOFR + 1.992%), 5/15/36 | 2,115,737 | — | (228,400) | — | 22,456 | 1,909,793 | 105,450 | 1,981,982 |
Short-Term Investments | ||||||||
Liquidity Fund, Institutional Class(1) | 33,127,696 | 185,240,852 | (218,325,740) | — | — | 42,808 | 445,921 | 42,808 |
Total | $(511,019) | $431,554 | $2,812,064 | $611,239 |
(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 September 30, 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 | $ — | $ 60,593,872 | $ — | $ 60,593,872 |
Collateralized Mortgage Obligations | — | 11,403,907 | — | 11,403,907 |
Commercial Mortgage-Backed Securities | — | 49,694,701 | — | 49,694,701 |
Corporate Bonds | — | 197,757,645 | — | 197,757,645 |
Preferred Stocks | 2,450,559 | — | — | 2,450,559 |
Senior Floating-Rate Loans | — | 343,121 | — | 343,121 |
Taxable Municipal Obligations | — | 3,275,001 | — | ��� 3,275,001 |
U.S. Government Agency Mortgage-Backed Securities | — | 119,056,244 | — | 119,056,244 |
U.S. Treasury Obligations | — | 221,313,894 | — | 221,313,894 |
Short-Term Investments | 42,808 | — | — | 42,808 |
11
Core Bond Portfolio
September 30, 2023
Portfolio of Investments (Unaudited) — continued
Asset Description (continued) | Level 1 | Level 2 | Level 3 | Total |
Purchased Call Options | $ 63,422 | $ — | $ — | $ 63,422 |
Total Investments | $2,556,789 | $663,438,385 | $ — | $665,995,174 |
Futures Contracts | $ 4,802 | $ — | $ — | $ 4,802 |
Total | $2,561,591 | $663,438,385 | $ — | $665,999,976 |
Liability Description | ||||
Futures Contracts | $ (938,112) | $ — | $ — | $ (938,112) |
Total | $ (938,112) | $ — | $ — | $ (938,112) |
Investment Valuations - Derivatives. U.S. exchange-traded options are valued at the mean between the bid and ask prices at valuation time as reported by the Options Price Reporting Authority.
Purchased Options—Upon the purchase of a call or put option, the premium paid by the Portfolio is included in the Statement of Assets and Liabilities as an investment. The amount of the investment is subsequently marked-to-market to reflect the current market value of the option purchased, in accordance with the Portfolio’s policies on investment valuations discussed above. Premiums paid for purchasing options that expire are treated as realized losses. Premiums paid for purchasing options that are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying investment transaction to determine the realized gain or loss. An option on a futures contract gives the holder the right to enter into a specified futures contract. As the purchaser of an index option, the Portfolio has the right to receive a cash payment equal to any depreciation in the value of the index below the exercise price of the option (in the case of a put) or equal to any appreciation in the value of the index over the exercise price of the option (in the case of a call) as of the valuation date of the option. The risk associated with purchasing options is limited to the premium originally paid. Purchased options traded over-the-counter involve risk that the issuer or counterparty will fail to perform its contractual obligations.
For additional 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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