Investment Portfolio - September 30, 2023
(unaudited)
CREDIT SERIES | PRINCIPAL AMOUNT1/ SHARES | VALUE | ||||||
CORPORATE BONDS - 31.2% | ||||||||
Non-Convertible Corporate Bonds- 31.2% | ||||||||
Communication Services - 5.0% | ||||||||
Entertainment - 1.3% | ||||||||
Warnermedia Holdings, Inc., 4.054%, 3/15/2029 | 3,730,000 | $ | 3,328,656 | |||||
Interactive Media & Services - 3.7% | ||||||||
Tencent Holdings Ltd. (China), 3.975%, 4/11/20292 | 10,890,000 | 9,886,786 | ||||||
Total Communication Services | 13,215,442 | |||||||
Consumer Discretionary - 4.1% | ||||||||
Broadline Retail - 4.1% | ||||||||
Alibaba Group Holding Ltd., | ||||||||
(China), 2.125%, 2/9/2031 | 1,700,000 | 1,327,486 | ||||||
(China), 4.00%, 12/6/2037 | 6,090,000 | 4,708,136 | ||||||
Amazon.com, Inc., 3.30%, 4/13/2027 | 5,230,000 | 4,921,873 | ||||||
Total Consumer Discretionary | 10,957,495 | |||||||
Consumer Staples - 1.7% | ||||||||
Beverages - 1.7% | ||||||||
PepsiCo, Inc., 3.90%, 7/18/2032 | 5,010,000 | 4,559,717 | ||||||
Energy - 2.6% | ||||||||
Oil, Gas & Consumable Fuels - 2.6% | ||||||||
Cenovus Energy, Inc. (Canada), 6.75%, 11/15/2039 | 945,000 | 942,589 | ||||||
Energy Transfer LP, 6.50%, 2/1/2042 | 6,320,000 | 6,028,552 | ||||||
Total Energy | 6,971,141 | |||||||
Financials - 5.1% | ||||||||
Banks - 5.1% | ||||||||
Bank of America Corp., (U.S. Secured Overnight Financing Rate + 1.320%), 2.687%, 4/22/20323 | 4,530,000 | 3,551,819 | ||||||
Citigroup, Inc., (U.S. Secured Overnight Financing Rate + 0.770%), 1.462%, 6/9/20273 | 4,360,000 | 3,853,221 | ||||||
JPMorgan Chase & Co., (3 mo. U.S. Secured Overnight Financing Rate + 3.790%), 4.493%, 3/24/20313 | 6,500,000 | 5,945,577 | ||||||
Total Financials | 13,350,617 | |||||||
Industrials - 2.9% | ||||||||
Ground Transportation - 0.9% | ||||||||
BNSF Funding Trust I, (3 mo. LIBOR US + 2.350%), 6.613%, 12/15/20553 | 2,540,000 | 2,465,515 | ||||||
Trading Companies & Distributors - 2.0% | ||||||||
AerCap Ireland Capital DAC - AerCap Global Aviation Trust (Ireland), 3.00%, 10/29/2028 | 3,000,000 | 2,571,942 |
PRINCIPAL AMOUNT1/ SHARES | VALUE | |||||||
CORPORATE BONDS (continued) | ||||||||
Non-Convertible Corporate Bonds (continued) | ||||||||
Industrials (continued) | ||||||||
Trading Companies & Distributors (continued) | ||||||||
Ashtead Capital, Inc. (United Kingdom), 4.00%, 5/1/20282 | 2,890,000 | $ | 2,628,951 | |||||
5,200,893 | ||||||||
Total Industrials | 7,666,408 | |||||||
Information Technology - 1.7% | ||||||||
Semiconductors & Semiconductor Equipment - 1.7% | ||||||||
QUALCOMM, Inc., | ||||||||
4.25%, 5/20/2032 | 3,495,000 | 3,235,611 | ||||||
5.40%, 5/20/2033 | 1,305,000 | 1,306,706 | ||||||
Total Information Technology | 4,542,317 | |||||||
Materials - 1.0% | ||||||||
Metals & Mining - 1.0% | ||||||||
Newcastle Coal Infrastructure Group Pty Ltd. (Australia), 4.40%, 9/29/20272 | 2,870,000 | 2,579,997 | ||||||
Real Estate - 4.2% | ||||||||
Retail REITs - 2.7% | ||||||||
Simon Property Group LP, 2.65%, 2/1/2032 | 9,100,000 | 7,097,913 | ||||||
Specialized REITs - 1.5% | ||||||||
SBA Tower Trust, 6.599%, 1/15/20282 | 3,940,000 | 3,951,083 | ||||||
Total Real Estate | 11,048,996 | |||||||
Utilities - 2.9% | ||||||||
Electric Utilities - 0.9% | ||||||||
Alexander Funding Trust II, 7.467%, 7/31/20282 | 2,290,000 | 2,289,856 | ||||||
Independent Power and Renewable Electricity Producers - 2.0% | ||||||||
Palomino Funding Trust I, 7.233%, 5/17/20282 | 5,230,000 | 5,242,272 | ||||||
Total Utilities | 7,532,128 | |||||||
TOTAL CORPORATE BONDS | 82,424,258 | |||||||
(Identified Cost $91,598,582) | ||||||||
ASSET-BACKED SECURITIES - 16.1% | ||||||||
ALLO Issuer LLC, Series 2023-1A, Class A2, 6.20%, 6/20/20532 | 1,600,000 | 1,498,854 | ||||||
Business Jet Securities LLC, Series 2021-1A, Class A, 2.162%, 4/15/20362 | 775,518 | 705,282 | ||||||
CarMax Auto Owner Trust, Series 2020 - 4, Class A3, 0.50%, 8/15/2025 | 1,091,076 | 1,072,124 | ||||||
CF Hippolyta Issuer LLC, Series 2020-1, Class B1, 2.28%, 7/15/20602 | 2,113,712 | 1,856,030 | ||||||
Series 2021-1A, Class B1, 1.98%, 3/15/20612 | 895,325 | 766,472 |
1
Investment Portfolio - September 30, 2023
(unaudited)
CREDIT SERIES | PRINCIPAL AMOUNT1/ SHARES | VALUE | ||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
Commonbond Student Loan Trust, | ||||||||
Series 2020-AGS, Class A, 1.98%, 8/25/20502 | 617,412 | $ | 519,695 | |||||
Credit Acceptance Auto Loan Trust, | ||||||||
Series 2020-3A, Class A, 1.24%, 10/15/20292 | 155,970 | 155,715 | ||||||
Series 2021-2A, Class C, 1.64%, 6/17/20302 | 1,000,000 | 951,979 | ||||||
Series 2021-3A, Class B, 1.38%, 7/15/20302 | 1,300,000 | 1,236,398 | ||||||
DataBank Issuer, | ||||||||
Series 2021-2A, Class A2, 2.40%, 10/25/20512 | 900,000 | 777,459 | ||||||
Series 2023-1A, Class A2, 5.116%, 2/25/20532 | 1,350,000 | 1,234,737 | ||||||
Flexential Issuer, Series 2021-1A, Class | ||||||||
A2, 3.25%, 11/27/20512 | 1,525,000 | 1,335,537 | ||||||
Goodgreen Trust, Series 2020-1A, Class | ||||||||
A, 2.63%, 4/15/20552 | 779,329 | 647,987 | ||||||
Hotwire Funding LLC, | ||||||||
Series 2021-1, Class A2, 2.311%, 11/20/20512 | 1,470,000 | 1,291,185 | ||||||
Series 2023-1A, Class A2, 5.687%, 5/20/20532 | 2,400,000 | 2,308,185 | ||||||
KREF Ltd., Series 2021-FL2, Class | ||||||||
AS, (1 mo. U.S. Secured Overnight Financing Rate + 1.414%), 6.747%, 2/15/20392,4 | 1,500,000 | 1,435,442 | ||||||
Libra Solutions LLC, | ||||||||
Series 2022-2A, Class A, 6.85%, 10/15/20342 | 697,378 | 695,843 | ||||||
Series 2023-1A, Class A, 7.00%, 2/15/20352 | 987,625 | 982,695 | ||||||
Navient Private Education Refi Loan Trust, | ||||||||
Series 2017-2A, Class A, (U.S. Secured Overnight Financing Rate 30 Day Average + 1.164%), 6.479%,12/27/20662,4 | 1,688,935 | 1,682,411 | ||||||
Series 2020-DA, Class A, 1.69%, 5/15/20692 | 546,681 | 492,145 | ||||||
Series 2021-A, Class A, 0.84%, 5/15/20692 | 375,859 | 323,552 | ||||||
Nelnet Student Loan Trust, Series 2012-3A, Class A, (U.S. Secured Overnight | ||||||||
Financing Rate 30 Day Average + 0.814%), 6.129%, 3/26/20402,4 | 670,321 | 662,644 | ||||||
Oak Street Investment Grade Net Lease | ||||||||
Fund, Series 2020-1A, Class A1, 1.85%, 11/20/20502 | 1,901,179 | 1,685,411 | ||||||
Oxford Finance Funding LLC, | ||||||||
Series 2019-1A, Class A2, 4.459%, 2/15/20272 | 286,175 | 285,821 | ||||||
Series 2022-1A, Class A2, 3.602%, 2/15/20302 | 2,850,000 | 2,662,941 | ||||||
Series 2023-1A, Class A2, 6.716%, 2/15/20312 | 2,120,000 | 2,081,208 |
PRINCIPAL AMOUNT1/ SHARES | VALUE | |||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
PEAR LLC, | ||||||||
Series 2021-1, Class A, 2.60%, 1/15/20342 | 1,074,525 | $ | 1,022,684 | |||||
Series 2022-1, Class A1, 6.50%, 10/15/20342 | 98,552 | 98,519 | ||||||
Series 2023-1, Class A, 7.42%, 7/15/20352 | 1,485,616 | 1,476,472 | ||||||
PHEAA Student Loan Trust, Series | ||||||||
2016-1A, Class A, (U.S. Secured Overnight Financing Rate 30 Day Average + 1.264%), 6.579%, 9/25/20652,4 | 463,636 | 463,637 | ||||||
Slam Ltd., Series 2021-1A, Class A, | ||||||||
(Cayman Islands), 2.434%, 6/15/20462 | 1,632,860 | 1,388,943 | ||||||
SLM Student Loan Trust, | ||||||||
Series 2011-2, Class A2, (U.S. Secured Overnight Financing Rate 30 Day Average + 1.314%), 6.629%, 10/25/20344 | 544,969 | 546,754 | ||||||
Series 2013-6, Class A3, (U.S. Secured Overnight Financing Rate 30 Day Average + 0.764%), 6.079%, 6/26/20284 | 1,251,692 | 1,221,743 | ||||||
SMB Private Education Loan Trust, | ||||||||
Series 2017-B, Class A2A, 2.82%, 10/15/20352 | 146,829 | 140,222 | ||||||
Series 2017-B, Class A2B, (1 mo. U.S. Secured Overnight Financing Rate + 0.864%), 6.197%, 10/15/20352,4 | 664,986 | 659,646 | ||||||
SoFi Professional Loan Program Trust, | ||||||||
Series 2018-B, Class A2FX, 3.34%, 8/25/20472 | 95,863 | 92,754 | ||||||
Stack Infrastructure Issuer LLC, | ||||||||
Series 2021-1A, Class A2, 1.877%, 3/26/20462 | 1,050,000 | 930,510 | ||||||
Store Master Funding I-VII, Series 2018-1A, Class A1, 3.96%, 10/20/20482 | 1,394,266 | 1,351,921 | ||||||
Tricon American Homes, | ||||||||
Series 2017-SFR2, Class A, 2.928%, 1/17/20362 | 948,169 | 938,054 | ||||||
Series 2020-SFR1, Class A, 1.499%, 7/17/20382 | 1,394,843 | 1,237,366 | ||||||
Vantage Data Centers Issuer LLC, | ||||||||
Series 2020-1A, Class A2, 1.645%, 9/15/20452 | 1,750,000 | 1,580,459 | ||||||
TOTAL ASSET-BACKED SECURITIES | 42,497,436 | |||||||
(Identified Cost $45,037,249) | ||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES - 15.9% | ||||||||
Agate Bay Mortgage Trust, Series 2016- 2, Class A3, 3.50%, 3/25/20462,5 | 928,177 | 800,227 | ||||||
Brean Asset Backed Securities Trust, | ||||||||
Series 2021-RM2, Class A, 1.75%, 10/25/20612,5 | 862,529 | 738,878 |
2
Investment Portfolio - September 30, 2023
(unaudited)
CREDIT SERIES | PRINCIPAL AMOUNT1/ SHARES | VALUE | ||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||
Credit Suisse Mortgage Capital Trust, | ||||||||
Series 2013-7, Class A6, 3.50%, 8/25/20432,5 | 247,300 | $ | 215,468 | |||||
Series 2018-J1, Class A2, 3.50%, 2/25/20482,5 | 4,018,899 | 3,408,392 | ||||||
Fannie Mae REMICS, | ||||||||
Series 2020-48, Class DC, 2.50%, 7/25/2050 | 4,158,228 | 3,392,737 | ||||||
Series 2021-69, Class WJ, 1.50%, 10/25/2050 | 637,254 | 515,191 | ||||||
Flagstar Mortgage Trust, Series 2021- 8INV, Class A3, 2.50%, 9/25/20512,5 | 831,912 | 630,478 | ||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, | ||||||||
Series K072, Class A2, 3.444%, 12/25/2027 | 1,000,000 | 934,696 | ||||||
Series K106, Class X1 (IO), 1.477%, 1/25/20305 | 15,904,252 | 1,075,999 | ||||||
Freddie Mac REMICS, Series 5189, Class CP, 2.50%, 6/25/2049 | 4,324,067 | 3,567,196 | ||||||
GS Mortgage-Backed Securities Corp. Trust, | ||||||||
Series 2020-PJ3, Class A14, 3.00%, 10/25/20502,5 | 246,798 | 198,623 | ||||||
Series 2021-INV1, Class A6, 2.50%, 12/25/20512,5 | 828,041 | 678,214 | ||||||
Series 2021-PJ6, Class A8, 2.50%, 11/25/20512,5 | 556,698 | 462,542 | ||||||
Series 2021-PJ9, Class A8, 2.50%, 2/26/20522,5 | 646,801 | 537,018 | ||||||
Series 2022-PJ3, Class A6, 3.00%, 8/25/20522,5 | 1,800,985 | 1,423,934 | ||||||
Imperial Fund Mortgage Trust, | ||||||||
Series 2021-NQM3, Class A1, 1.595%, 11/25/20562,5 | 770,043 | 609,255 | ||||||
Series 2022-NQM2, Class A1, 3.638%, 3/25/20672,6 | 1,332,711 | 1,186,136 | ||||||
J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2019-ICON, Class A, 3.884%, 1/5/20342 | 2,000,000 | 1,961,408 | ||||||
J.P. Morgan Mortgage Trust, | ||||||||
Series 2016-3, Class 2A2, 2.50%, 10/25/20462,5 | 737,326 | 662,701 | ||||||
Series 2019-INV3, Class A3A, 3.00%, 5/25/20502,5 | 499,299 | 393,503 | ||||||
Series 2022-INV3, Class A3B, 3.00%, 9/25/20522,5 | 1,764,364 | 1,387,883 | ||||||
Morgan Stanley Capital I Trust, Series 2020-CNP, Class A, 2.509%, 4/5/20422,5 | 1,000,000 | 764,340 | ||||||
NewRez Warehouse Securitization Trust, Series 2021-1, Class A, (1 mo. U.S. Secured Overnight Financing Rate + 0.864%), 6.184%, 5/25/20552,4 | 1,733,333 | 1,725,796 | ||||||
Oceanview Mortgage Loan Trust, Series 2020-1, Class A1A, 1.733%, 5/28/20502,5 | 588,484 | 507,454 |
PRINCIPAL AMOUNT1/ SHARES | VALUE | |||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||
PCG LLC, Series 2023-1, (1 mo. U.S. Secured Overnight Financing Rate + 6.000%), 11.320%, 7/25/2029 (Acquired 7/24/2023, cost $4,498,054)4,7 | 4,498,054 | $ | 4,497,406 | |||||
Provident Funding Mortgage Trust, | ||||||||
Series 2021-2, Class A2A, 2.00%, 4/25/20512,5 | 687,112 | 560,803 | ||||||
Series 2021-INV1, Class A1, 2.50%, 8/25/20512,5 | 1,381,237 | 1,051,614 | ||||||
RCKT Mortgage Trust, | ||||||||
Series 2021-6, Class A1, 2.50%, 12/25/20512,5 | 836,702 | 630,874 | ||||||
Series 2021-6, Class A5, 2.50%, 12/25/20512,5 | 946,108 | 782,006 | ||||||
RUN Trust, Series 2022-NQM1, Class A1, 4.00%, 3/25/20672 | 882,541 | 802,569 | ||||||
Sequoia Mortgage Trust, | ||||||||
Series 2013-5, Class A1, 2.50%, 5/25/20432,5 | 483,370 | 400,196 | ||||||
Series 2013-9, Class A1, 3.50%, 7/25/20432,5 | 3,641,050 | 3,209,029 | ||||||
Series 2017-3, Class A19, 3.50%, 4/25/20472,5 | 1,472,015 | 1,254,486 | ||||||
WinWater Mortgage Loan Trust, Series 2015-3, Class A1, 3.50%, 3/20/20452,5 | 1,202,365 | 1,048,442 | ||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES | ||||||||
(Identified Cost $47,245,537) | 42,015,494 | |||||||
MUNICIPAL BONDS - 1.4% | ||||||||
Hawaii, Series GC, G.O. Bond, 2.632%, 10/1/2037 | 2,240,000 | 1,595,741 | ||||||
South Carolina Public Service Authority, Series B, Revenue Bond, 2.329%, 12/1/2028 | 1,355,000 | 1,142,148 | ||||||
Tampa-Hillsborough County Expressway Authority, Series B, Revenue Bond, BAM, 1.892%, 7/1/2029 | 1,000,000 | 822,542 | ||||||
TOTAL MUNICIPAL BONDS | ||||||||
(Identified Cost $4,676,213) | 3,560,431 | |||||||
U.S. GOVERNMENT AGENCIES - 32.2% | ||||||||
Mortgage-Backed Securities - 32.2% | ||||||||
Fannie Mae | ||||||||
Pool #MA5043, UMBS, 5.00%, 6/1/2038 | 1,838,806 | 1,791,564 | ||||||
Pool #MA4687, UMBS, 4.00%, 6/1/2042 | 4,442,960 | 4,031,794 | ||||||
Pool #FS3146, UMBS, 4.50%, 10/1/2042 | 3,264,047 | 3,038,202 | ||||||
Pool #MA4851, UMBS, 5.00%, 11/1/2042 | 4,085,596 | 3,899,018 |
3
Investment Portfolio - September 30, 2023
(unaudited)
CREDIT SERIES | PRINCIPAL AMOUNT1/ SHARES | VALUE | ||||||
U.S. GOVERNMENT AGENCIES (continued) | ||||||||
Mortgage-Backed Securities (continued) | ||||||||
Fannie Mae (continued) | ||||||||
Pool #BK0433, UMBS, 3.50%, 12/1/2049 | 5,391,126 | $ | 4,650,563 | |||||
Pool #FM6890, UMBS, 3.00%, 6/1/2050 | 1,996,016 | 1,670,659 | ||||||
Pool #CA6316, UMBS, 3.00%, 7/1/2050 | 4,844,500 | 4,017,972 | ||||||
Pool #FS1807, UMBS, 3.50%, 7/1/2051 | 4,238,027 | 3,695,706 | ||||||
Pool #FS1838, UMBS, 3.00%, 12/1/2051 | 4,392,996 | 3,675,655 | ||||||
Pool #MA4514, UMBS, 3.50%, 1/1/2052 | 1,582,482 | 1,364,279 | ||||||
Pool #BV5383, UMBS, 3.00%, 4/1/2052 | 2,704,409 | 2,259,060 | ||||||
Pool #MA4626, UMBS, 4.00%, 6/1/2052 | 6,460,378 | 5,763,273 | ||||||
Pool #MA4737, UMBS, 5.00%, 8/1/2052 | 3,926,383 | 3,707,163 | ||||||
Pool #MA4807, UMBS, 5.50%, 11/1/2052 | 2,439,006 | 2,360,262 | ||||||
Pool #CB6326, UMBS, 5.50%, 5/1/2053 | 3,946,554 | 3,818,078 | ||||||
Freddie Mac | ||||||||
Pool #RB5169, UMBS, 3.50%, 6/1/2042 | 4,560,399 | 4,010,157 |
PRINCIPAL AMOUNT1/ SHARES | VALUE | |||||||
U.S. GOVERNMENT AGENCIES (continued) | ||||||||
Mortgage-Backed Securities (continued) | ||||||||
Freddie Mac (continued) | ||||||||
Pool #RB5178, UMBS, 4.50%, 8/1/2042 | 2,175,652 | $ | 2,022,168 | |||||
Pool #SC0393, UMBS, 5.00%, 6/1/2043 | 3,586,535 | 3,421,373 | ||||||
Pool #SD3152, UMBS, 3.00%, 2/1/2052 | 4,164,065 | 3,459,848 | ||||||
Pool #QE0356, UMBS, 3.50%, 4/1/2052 | 1,691,896 | 1,464,245 | ||||||
Pool #SD8230, UMBS, 4.50%, 6/1/2052 | 4,869,521 | 4,473,294 | ||||||
Pool #SD1360, UMBS, 5.50%, 7/1/2052 | 3,646,931 | 3,531,223 | ||||||
Pool #QE9161, UMBS, 4.50%, 9/1/2052 | 3,725,550 | 3,422,406 | ||||||
Pool #SD8276, UMBS, 5.00%, 12/1/2052 | 6,498,691 | 6,135,852 | ||||||
Pool #QG6308, UMBS, 6.00%, 7/1/2053 | 3,503,948 | 3,467,441 | ||||||
TOTAL U.S. GOVERNMENT AGENCIES | ||||||||
(Identified Cost $92,348,573) | 85,151,255 | |||||||
SHORT-TERM INVESTMENT - 2.6% | ||||||||
Dreyfus Government Cash Management, Institutional Shares, 5.22%8 | ||||||||
(Identified Cost $6,982,776) | 6,982,776 | 6,982,776 | ||||||
TOTAL INVESTMENTS - 99.4% | ||||||||
(Identified Cost $287,888,930) | 262,631,650 | |||||||
OTHER ASSETS, LESS LIABILITIES - 0.6% | 1,711,816 | |||||||
NET ASSETS - 100% | $ | 264,343,466 |
G.O. Bond - General Obligation Bond
IO - Interest only
LIBOR - London Interbank Offered Rate
REIT - Real Estate Investment Trust
REMICS - Real Estate Mortgage Investment Conduits
UMBS - Uniform Mortgage-Backed Securities
Scheduled principal and interest payments are guaranteed by:
BAM (Build America Mutual Assurance Co.)
The insurance does not guarantee the market value of the municipal bonds.
1Amount is stated in USD unless otherwise noted.
2Security purchased or received in a transaction exempt from registration under the Securities Act of 1933, as amended (the “1933 Act”) and determined to be liquid under the Fund’s Liquidity Risk Management Program. The security may be resold pursuant to an exemption from registration under the 1933 Act, typically to qualified institutional buyers. The aggregate value of these securities at September 30, 2023 was $94,268,029, which represented 35.7% of the Series’ Net Assets.
3Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of September 30, 2023.
4Floating rate security. Rate shown is the rate in effect as of September 30, 2023.
5Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of September 30, 2023.
4
Investment Portfolio - September 30, 2023
(unaudited)
6Represents a step-up bond that pays initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate shown reflects the current coupon as of September 30, 2023.
7Security purchased or received in a transaction exempt from registration under the Securities Act of 1933, as amended (the “1933 Act”) and determined to be illiquid under the Fund’s Liquidity Risk Management Program. The security may be resold pursuant to an exemption from registration under the 1933 Act, typically to qualified institutional buyers. The aggregate value of such securities at September 30, 2023 was $4,497,406, or 1.7% of the Series’ Net Assets.
8Rate shown is the current yield as of September 30, 2023.
The Global Industry Classification Standard (GICS) was developed by and is the exclusive property and a service mark of MSCI Inc. (MSCI) and Standard & Poor’s, a division of S&P Global Inc. (S&P), and is licensed for use by Manning & Napier when referencing GICS sectors. Neither MSCI, S&P, nor any third party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification, nor shall any such party have any liability therefrom.
Fair Value Information:
Various inputs are used in determining the value of the Series’ assets or liabilities carried at fair value. These inputs are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical assets and liabilities. Level 2 includes other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). Level 3 includes significant unobservable inputs (including the Series’ own assumptions in determining the fair value of investments). A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input both individually and in aggregate that is significant to the fair value measurement. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the valuation levels used for major security types as of September 30, 2023 in valuing the Series’ assets or liabilities carried at fair value:
DESCRIPTION | TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | ||||||||||||
Assets: | ||||||||||||||||
Debt securities: | ||||||||||||||||
U.S. Treasury and other U.S. Government agencies | $ | 85,151,255 | $ | — | $ | 85,151,255 | $ | — | ||||||||
States and political subdivisions (municipals) | 3,560,431 | — | 3,560,431 | — | ||||||||||||
Corporate debt: | ||||||||||||||||
Communication Services | 13,215,442 | — | 13,215,442 | — | ||||||||||||
Consumer Discretionary | 10,957,495 | — | 10,957,495 | — | ||||||||||||
Consumer Staples | 4,559,717 | — | 4,559,717 | — | ||||||||||||
Energy | 6,971,141 | — | 6,971,141 | — | ||||||||||||
Financials | 13,350,617 | — | 13,350,617 | — | ||||||||||||
Industrials | 7,666,408 | — | 7,666,408 | — | ||||||||||||
Information Technology | 4,542,317 | — | 4,542,317 | — | ||||||||||||
Materials | 2,579,997 | — | 2,579,997 | — | ||||||||||||
Real Estate | 11,048,996 | — | 11,048,996 | — | ||||||||||||
Utilities | 7,532,128 | — | 7,532,128 | — | ||||||||||||
Asset-backed securities | 42,497,436 | — | 42,497,436 | — | ||||||||||||
Commercial mortgage-backed securities | 42,015,494 | — | 42,015,494 | — | ||||||||||||
Short-Term Investment | 6,982,776 | 6,982,776 | — | — | ||||||||||||
Total assets | $ | 262,631,650 | $ | 6,982,776 | $ | 255,648,874 | $ | — |
There were no Level 3 securities held by the Series as of December 31, 2022 or September 30, 2023.
The Investment Portfolio should be read in conjunction with the financial statements and notes to financial statements, which are included in the Series’ audited annual report or unaudited semi-annual report. These reports include additional information about the Series’ security valuation policies and about certain security types invested in by the Series.
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