UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORMN-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-06318
MORGAN STANLEY PATHWAY FUNDS
(Exact name of registrant as specified in charter)
2000 Westchester Avenue
Purchase, NY 10577
(Address of principal executive offices)(Zip code)
CT Corp
155 Federal Street, Suite 700
Boston, MA 02110
(Name and address of agent for service)
Registrant’s telephone number, including area code: 1 (800) 869-3326
Date of fiscal year end:
August 31
Date of reporting period:
February 28, 2019
FormN-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule30e-1 under the Investment Company Act of 1940 (17 CFR270.30e-1). The Commission may use the information provided on FormN-CSR in its regulatory, disclosure review, inspection, and policymaking rules.
A registrant is required to disclose the information specified by FormN-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in FormN-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under clearance requirements of 44 U.S.C. § 3507.
ITEM 1. REPORTS TO STOCKHOLDERS.
Morgan Stanley Pathway Funds
(formerly Consulting Group Capital Markets Funds)
Semi-Annual Report
| • | | Small-Mid Cap Equity Fund |
| • | | International Equity Fund |
| • | | Emerging Markets Equity Fund |
| • | | International Fixed Income Fund |
| • | | Inflation-Linked Fixed Income Fund |
| • | | Ultra-Short Term Fixed Income Fund |
| • | | Alternative Strategies Fund |
INVESTMENT PRODUCTS: NOT FDIC INSURED • NO BANK GUARANTEE • MAY LOSE VALUE
Beginning on January 1, 2021, as permitted by regulations adopted by the U.S. Securities and Exchange Commission, paper copies of the Funds’ annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Funds’ website (www.morganstanley.com/wealth-investmentsolutions/cgcm), and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and do not need to take any action. You may elect to receive shareholder reports and other communications from the Funds electronically anytime by contacting your financial intermediary (such as a financial advisor) or, if you are a direct investor, by calling1-800-869-3326.
Beginning on January 1, 2019, you may elect to receive all future reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. If you invest directly with the Funds, you can call1-800-869-3326 to let the Funds know you wish to continue receiving paper copies of your shareholder reports.
Table of Contents
Morgan Stanley Pathway Funds
DEAR SHAREHOLDER,
The Large Cap Equity Fund declined 2.61% during the six month period ending February 28, 2019. This compares to the Russell 1000® Index i which declined 3.07% and the Lipper Large-Cap Core Funds Average xii which declined 3.24% during the same period. Both sector positioning and stock selection added value relative to the benchmark. Top contributors included Information Technology and Consumer Discretionary while the top detractors included Energy and Industrials.
The Small-Mid Cap Equity Fund declined 5.65% during the six month period ending February 28, 2019. This compares to the Russell 2500® Index ii which declined 6.25% and the Lipper Small-Cap Core Funds Average xiii which declined 8.33% during the same period. Both sector positioning and stock selection added value relative to the benchmark. Top contributors included Information Technology and Health Care while the top detractors included Industrials and an underweight to Utilities.
The International Equity Fund declined 4.56% during the six month period ending February 28, 2019. This compares to the MSCI EAFE® Index (Net) iii which declined 3.58% and the Lipper International Large-Cap Core Funds Average xivwhich declined 4.27% during the same period. Country selection added value while stock selection detracted value relative to the benchmark. Top contributors included an underweight position within Japan and an overweight to the United Kingdom while stock selection within Switzerland and France detracted value relative to the benchmark.
The Emerging Markets Equity Fund gained 1.38% during the six month period ending February 28, 2019. This compares to the MSCI Emerging Markets Index (Net) iv which gained 0.33% and the Lipper Emerging Markets Funds Average xvwhich declined 0.08% during the same period. Both country and stock selection added value relative to the benchmark. Top contributors included an underweight to Taiwan, India and Mexico along with stock selection within India, Brazil and the Philippines.
The Core Fixed Income Fund gained 2.20% during the six month period ending February 28, 2019. This compares to the Bloomberg Barclays U.S. Aggregate BondTM Index vi which gained 1.99% and the Lipper Core Bond Funds Average xvii which gained 1.73% during the same period.
The High Yield Fund gained 0.89% during the six month period ending February 28, 2019. This compares to the Bloomberg Barclays U.S. Corporate High Yield Bond Index viii which gained 2.01% and the Lipper High Yield Funds Average xix which gained 1.40% during the same period.
The International Fixed Income Fund gained 2.10% during the six month period ending February 28, 2019. This compares to the FTSENon-U.S. Dollar World Government Bond Index (USD)-Hedged x which gained 3.29% and the Lipper International Income Funds Average xxi which gained 2.83% during the same period.
The Municipal Bond Fund gained 2.68% during the six month period ending February 28, 2019. This compares to the Bloomberg Barclays U.S. Municipal Bond Index vii which gained 2.34% and the Lipper General & Insured Municipal Debt Funds Average xviii which gained 1.69% during the same period. As of February 25, 2019, BlackRock replaced McDonnell as thesub-advisor to the Fund.
The Inflation-Linked Fixed Income Fund declined 0.28% during the six month period ending February 28, 2019. This compares to the Bloomberg Barclays U.S. Treasuries Inflation Protected Securities (TIPS) Index ix which declined 0.16% and the Lipper Inflation Protected Bond Funds Average xx which declined 0.22% during the same period.
The Ultra-Short Fixed Income Fund gained 1.05% during the six month period ending February 28, 2019. This compares to the FTSE3-Month U.S. Treasury Bill Index v which gained 1.15% and the Lipper Ultra-Short Obligation Funds Average xvi which gained 1.12% during the same period.
I
The Alternative Strategies Fund declined 1.07% during the six month period ending February 28, 2019. This compares to the HFRX Global Hedge Fund Index xi which declined 3.61% during the same period.
We thank you for your continued confidence in Morgan Stanley Wealth Management and support as shareholders of the Morgan Stanley Pathway Funds.
Sincerely,
Paul Ricciardelli
Chief Executive Officer
II
Although the statements of fact and data contained herein have been obtained from, and are based upon, sources the firm believes reliable, we do not guarantee their accuracy, and any such information may be incomplete or condensed. All opinions included in this report constitute the firm’s judgment as of the date herein, and are subject to change without notice. This material is for informational purposes only, and is not intended as an offer or solicitation with respect to the purchase or sale of any security. This report may contain forward-looking statements, and there can be no guarantee that they will come to pass. The index returns shown are preliminary and subject to change. Past performance is not a guarantee of future results.
Index Definitions
| i. | The Russell 1000® Index measures the performance of the 1,000 largest U.S. companies based on the market capitalization. Please note that an investor cannot invest directly in an index. |
| ii. | The Russell 2500® Index measures the performance of the 2,500 smallest companies in the Russell 3000® Index. Please note that an investor cannot invest directly in an index. |
| iii. | The Morgan Stanley Capital International Europe, Australasia, Far East (MSCI EAFE®) Index (Net) is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the U.S. & Canada. The MSCI EAFE® Index (Net) consists of the following 21 developed market country indexes: Australia, Austria, Belgium, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, and the United Kingdom. Net total return indexes reinvest dividends after the deduction of withholding taxes, using (for international indexes) a tax rate applicable tonon-resident institutional investors who do not benefit from double taxation treaties. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index. |
| iv. | The MSCI Emerging Markets Index (net) is a free float-adjusted market capitalization index that is designed to measure equity market performance of emerging markets. The MSCI Emerging Markets Index (Net) consists of the following 21 emerging market country indexes: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, South Korea, Malaysia, Mexico, Peru, Philippines, Poland, Russia, South Africa, Taiwan, Thailand, and Turkey. Net total return indexes reinvest dividends after the deduction of withholding taxes, using (for international indexes) a tax rate applicable tonon-resident institutional investors who do not benefit from double taxation treaties. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index. |
| v. | The FTSE3-Month U.S. Treasury Bill Index — Equal dollar amounts of three-month Treasury bills are purchased at the beginning of each of three consecutive months. As each bill matures, all proceeds are rolled over or reinvested in a new three-month bill. The income used to calculate the monthly return is derived by subtracting the original amount invested from the maturity value. The yield curve average is the basis for calculating the return on the index. The index is rebalanced monthly by market capitalization. |
| vi. | The Bloomberg Barclays U.S. Aggregate BondTM Index is a broad-based index that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related, and corporate securities, MBS (agency fixed-rate and hybrid ARM pass-throughs), ABS, and CMBS. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index. |
| vii. | The Bloomberg Barclays U.S. Municipal Bond Index covers the U.S. dollar-denominated long-term tax exempt bond market. The index has four main sectors: state and local general obligation bonds, revenue bonds, insured bonds, andpre-refunded bonds. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index. |
| viii. | The Bloomberg Barclays U.S. Corporate High Yield Bond Index measures the market of U.S. dollar-denominated,non-investment grade, fixed rate, taxable corporate bonds. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index. |
| ix. | The Bloomberg Barclays Capital U.S. Treasury Inflation Protected Securities (TIPS) Index – The Barclays U.S. TIPS Index is an unmanaged market index comprised of all U.S. Treasury Inflation Protected Securities rated investment grade (Baa3 /BBB- or better), have at least one year to final maturity, and at least $250 million par amount outstanding. |
| x. | The FTSENon-U.S. Dollar World Government Bond Index (USD)-Hedged and Unhedged are eachsub-indices of the FTSE World Government Bond Index (WGBI), which is comprised of the global sovereign debt of over 20 countries representative in the Americas, EMEA, EMU, Asia Pacific, and Japan regions. TheNon-U.S. Dollar WGBI includes all WGBI markets except the United States and is stated in U.S. dollar hedged or unhedged base currency terms. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index. |
| xi. | HFRX Global Hedge Fund USD — is designed to be representative of the overall composition of the hedge fund universe. It is comprised of all eligible hedge fund strategies; including but not limited to convertible arbitrage, distressed securities, equity hedge, equity market neutral, even driven, macro, merger arbitrage, and relative value arbitrage. The strategies are asset weighted based on the distribution of assets in the hedge fund industry. |
| xii. | Lipper Large-Cap Core Funds Average — Funds that, by portfolio practice, invest at least 75% of their equity assets in companies with market capitalizations (on a three-year weighted basis) greater than 300% of the dollar-weighted median market capitalization of the middle 1,000 securities of the S&P SuperComposite 1500® Index.Large-cap core funds have more latitude in the companies in which they invest. These funds typically have an averageprice-to-earnings ratio,price-to-book ratio, and three-yearsales-per-share growth value, compared to the S&P 500® Index. |
| xiii. | LipperSmall-Cap Core Funds Average — Funds that, by portfolio practice, invest at least 75% of their equity assets in companies with market capitalizations (on a three-year weighted basis) less than 250% of the dollar-weighted median of the smallest 500 of the middle 1,000 securities of the S&P SuperComposite 1500® Index.Small-cap core funds have more latitude in the companies in which they invest. These funds typically have an averageprice-to-earnings ratio,price-to-book ratio, and three-yearsales-per-share growth value, compared to the S&P Small Cap 600® Index. |
| xiv. | The Lipper InternationalLarge-Cap Core Funds Average is an equally weighted average of all active funds available within the investment category. The classification includes funds that, by portfolio practice, invest at least 75% of their equity assets in companies outside of the U.S. with market capitalizations (on a three-year weighted basis) above Lipper’s internationallarge-cap floor. Internationallarge-cap core funds typically have average characteristics compared to theirlarge-cap-specific subset of the MSCI EAFE® Index (Net). The total return of the Lipper Funds Average does not include the effect of sales charges. Please note that an investor cannot invest directly in a mutual funds classification average or an index. |
| xv. | The Lipper Emerging Markets Funds Average is an equally weighted average of all active funds available within the investment category. The classification includes funds that seek long-term capital appreciation by investing at least 65% of total assets in emerging market equity securities, where “emerging market” is defined by a country’s GNP per capita or other economic measures. The total return of the Lipper Funds Average does not include the effect of sales charges. Please note that an investor cannot invest directly in a mutual funds classification average or an index. |
| xvi. | Lipper Ultra-Short Obligations Funds Average — These are equally weighted total returns using all the active funds available within the category. Lipper analytical averages are an average of all funds in the specified investment objective’s universe. Averages include all funds in the group in existence for the period. The number of component funds always changes. Ultra-short obligations funds invest primarily in investment-grade debt issues or better and maintain a portfolio dollar-weighted average maturity between 91 days and 365 days. |
| xvii. | The Lipper Core Bond Funds Average is an equally weighted average of all active funds available within the investment category. The classification includes funds that invest at least 85% of their assets in domestic investment-grade debt issues (rated in top four grades) with any remaining in investment innon-benchmark sectors such as high-yield, global, and emerging market debt. These funds maintain dollar-weighted average maturities of five to ten years. The total return of the Lipper Funds Average does not include the effect of sales charges. Please note that an investor cannot invest directly in a mutual funds classification average or an index. |
| xviii. | The Lipper General & Insured Municipal Debt Funds Average is an equally weighted average of all active funds available within the investment category. The classification includes funds that either invest primarily in municipal debt issues rated in the top four credit ratings or invest primarily in municipal debt issues insured as to timely payment. The total return of the Lipper Funds Average does not include the effect of sales charges. Please note that an investor cannot invest directly in a mutual funds classification average or an index. |
| xix. | The Lipper High Yield Funds Average is an equally weighted average of all active funds available within the investment category. The classification includes funds that aim at high (relative) current yield from fixed income securities, have no quality or maturity restrictions, and tend to invest in lower grade debt issues. The total return of the Lipper Funds Average does not include the effect of sales charges. Please note that an investor cannot invest directly in a mutual funds classification average or an index. |
III
| xx. | Lipper Inflation Protected Bond Funds Average — These are equally weighted total returns using all the active funds available within the category Lipper analytical averages are an average of all funds in the specified investment objective’s universe. Averages include all funds in the group in existence for the period. The number of component funds always changes. Inflation protected bond funds invest primarily in inflation-indexed fixed income securities issued in the United States. Inflation-indexed bonds are fixed income securities that are structured to provide protection against inflation. |
| xxi. | The Lipper International Income Funds Average is an equally weighted average of all active funds available within the investment category. The classification includes funds that state in their prospectus that they invest primarily in U.S. dollar andnon-U.S. dollar debt securities of issuers located in at least three countries, excluding the United States, except in periods of market weakness. The total return of the Lipper Funds Average does not include the effect of sales charges. Please note that an investor cannot invest directly in a mutual funds classification average or an index. |
IV
Risk Considerations
Equity securities may fluctuate in response to news on companies, industries, market conditions, and general economic environment.
Investing in foreign marketsentails risks not typically associated with domestic markets, such as currency fluctuations and controls, restrictions on foreign investments, less governmental supervision and regulation, and the potential for political instability. These risks may be magnified in countries withemerging markets and frontier markets, since these countries may have relatively unstable governments and less established markets and economies.
Investing in small- tomedium-sized companiesentails special risks, such as limited product lines, markets, and financial resources, and greater volatility than securities of larger, more established companies.
The value offixed income securities will fluctuate and, upon a sale, may be worth more or less than their original cost or maturity value. Bonds are subject to interest rate risk, call risk, reinvestment risk, liquidity risk, and credit risk of the issuer.
High yield bonds (bonds rated below investment grade) may have speculative characteristics and present significant risks beyond those of other securities, including greater credit risk, price volatility, and limited liquidity in the secondary market. High yield bonds should comprise only a limited portion of a balanced portfolio.
Yields are subject to change with economic conditions. Yield is only one factor that should be considered when making an investment decision.
Asset allocation and diversificationdo not assure a profit or protect against loss in declining financial markets.
Theindices are unmanaged. An investor cannot invest directly in an index. They are shown for illustrative purposes only and do not represent the performance of any specific investment.
Because of their narrow focus,sector investments tend to be more volatile than investments that diversify across many sectors and companies.
Growth investingdoes not guarantee a profit or eliminate risk. The stocks of these companies can have relatively high valuations. Because of these high valuations, an investment in a growth stock can be more risky than an investment in a company with more modest growth expectations.
Value investingdoes not guarantee a profit or eliminate risk. Not all companies whose stocks are considered to be value stocks are able to turn their business around or successfully employ corrective strategies which would result in stock prices that do not rise as initially expected.
V
| | | | |
Performance of the Morgan Stanley Pathway Funds For the Six Months Ended February 28, 2019†* (unaudited) | | | |
| |
| Large Cap Equity Fund | | | -2.61 | % |
Russell 1000®Index (1) | | | -3.07 | |
| |
| Small-Mid Cap Equity Fund | | | -5.65 | |
Russell 2500®Index (2) | | | -6.25 | |
| |
| International Equity Fund | | | -4.56 | |
MSCI EAFE® Index (Net) (3) | | | -3.58 | |
| |
| Emerging Markets Equity Fund | | | 1.38 | |
MSCI Emerging Markets Index (Net) (4) | | | 0.33 | |
| |
| Core Fixed Income Fund | | | 2.20 | |
Bloomberg Barclays U.S. Aggregate BondTM Index (5) | | | 1.99 | |
| |
| High Yield Fund | | | 0.89 | |
Bloomberg Barclays U.S. Corporate High Yield Bond Index (6) | | | 2.01 | |
| |
| International Fixed Income Fund | | | 2.10 | |
FTSENon-U.S. Dollar World Government Bond Index (USD)-Hedged (7) | | | 3.29 | |
| |
| Municipal Bond Fund | | | 2.68 | |
Bloomberg Barclays U.S. Municipal Bond Index (8) | | | 2.34 | |
| |
| Inflation-Linked Fixed Income Fund | | | -0.28 | |
Bloomberg Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index (9) | | | -0.16 | |
| |
| Ultra-Short Term Fixed Income Fund | | | 1.05 | |
FTSE3-Month U.S. Treasury Bill Index (10) | | | 1.15 | |
| |
| Alternative Strategies Fund | | | -1.07 | |
HFRX Global Hedge Fund Index (11) | | | -3.61 | |
See pages VII through VIII for all footnotes.
VI
FOOTNOTES
| † | | All figures represent past performance and are not a guarantee of future results. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemptions of fund shares. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. To obtain performance data current to the most recentmonth-end, please visit our website at https://www.morganstanley.com/wealth-investmentsolutions/cgcm. |
| * | | The Funds are available only to investors participating in Morgan Stanley approved advisory programs. These programs charge an annual fee, which may be up to 2.50%. Effective October 1, 2018, the new advisory program charge is 2.00%. |
| 1. | | The Russell 1000® Index measures the performance of the 1,000 largest U.S. companies based on the market capitalization. Please note that an investor cannot invest directly in an index. |
| 2. | | The Russell 2500® Index includes the smallest 2,500 U.S. companies out of the Russell 3000® Index universe. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index. |
| 3. | | The Morgan Stanley Capital International Europe, Australasia, Far East (MSCI EAFE®) Index (Net) is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the U.S. & Canada. The MSCI EAFE® Index (Net) consists of the following 21 developed market country indexes: Australia, Austria, Belgium, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, and the United Kingdom. Net total return indexes reinvest dividends after the deduction of withholding taxes, using (for international indexes) a tax rate applicable tonon-resident institutional investors who do not benefit from double taxation treaties. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index. |
| 4. | | The MSCI Emerging Markets Index (Net) is a free float-adjusted market capitalization index that is designed to measure equity market performance of emerging markets. The MSCI Emerging Markets Index (Net) consists of the following 21 emerging market country indexes: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, South Korea, Malaysia, Mexico, Peru, Philippines, Poland, Russia, South Africa, Taiwan, Thailand, and Turkey. Net total return indexes reinvest dividends after the deduction of withholding taxes, using (for international indexes) a tax rate applicable to nonresident institutional investors who do not benefit from double taxation treaties. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index. |
| 5. | | The Bloomberg Barclays U.S. Aggregate BondTM Index is a broad-based index that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related, and corporate securities, MBS (agency fixed-rate and hybrid ARM pass-throughs), ABS, and CMBS. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index. |
| 6. | | The Bloomberg Barclays U.S. Corporate High Yield Bond Index measures the market of U.S. dollar-denominated,non-investment grade, fixed rate, taxable corporate bonds. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index. |
| 7. | | The FTSENon-U.S. Dollar World Government Bond Index (USD)-Hedged and Unhedged are eachsub-indices of the FTSE World Government Bond Index (WGBI), which is comprised of the global sovereign debt of over 20 countries representative in the Americas, EMEA, EMU, Asia Pacific, and Japan regions. TheNon-U.S. Dollar WGBI includes all WGBI markets except the United States and is stated in U.S. dollar hedged or unhedged base currency terms. Because the |
VII
| | index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index. |
| 8. | | The Bloomberg Barclays U.S. Municipal Bond Index covers the U.S. dollar-denominated long-term tax exempt bond market. The index has four main sectors: state and local general obligation bonds, revenue bonds, insured bonds, and prerefunded bonds. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index. |
| 9. | | The Bloomberg Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index is an unmanaged market index comprised of all U.S. Treasury Inflation Protected Securities rated investment grade(Baa3/BBB- or better), have at lease one year to final maturity, and at least $250 million par amount outstanding. |
| 10. | | The FTSE3-Month U.S. Treasury Bill Index — Equal dollar amounts of three-month Treasury bills are purchased at the beginning of each of three consecutive months. As each bill matures, all proceeds are rolled over or reinvested in a new three-month bill. The income used to calculate the monthly return is derived by subtracting the original amount invested from the maturity value. The yield curve average is the basis for calculating the return on the index. The index is rebalanced monthly by market capitalization. |
| 11. | | The HFRX Global Hedge Fund Index is designed to be representative of the overall composition of the hedge fund universe. It is comprised of all eligible hedge fund strategies; including but not limited to convertible arbitrage, distressed securities, equity hedge, equity market neutral, event driven, macro, merger arbitrage, and relative value arbitrage. The strategies are asset weighted based on the distribution of assets in the hedge fund industry. Hedge Fund Research, Inc. (HFR) utilizes a UCITSIII compliant methodology to construct the HFRX Hedge Fund Indices. The methodology is based on defined and predetermined rules and objective criteria to select and rebalance components to maximize representation of the Hedge Fund Universe. HFRX Indices utilizestate-of-the-art quantitative techniques and analysis; multi-level screening, cluster analysis, Monte-Carlo simulations and optimization techniques ensure that each Index is a pure representation of its corresponding investment focus. |
VIII
Example
As a shareholder of a Fund, you may incur two types of costs: (1) annual advisory program fees, which may be up to 2.50%; effective October 1, 2018, the new advisory program charge is 2.00%; and (2) ongoing costs, including management fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds. This example is based on an investment of $1,000 invested on September 1, 2018 and held for the six months ended February 28, 2019.
Actual Expenses
The table below titled “Based on Actual Total Return” provides information about actual account values and actual expenses. You may use the information provided in this table, together with the amount you invested, to estimate the expenses that you paid over the period. To estimate the expenses you paid on your account during this period, divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number under the heading entitled “Expenses Paid During the Period.”
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Based on Actual Total Return(1) |
| | | | | |
| Fund | | Total Return
Without Annual
Advisory Program
Fees(2) | | Beginning
Account
Value | | Ending
Account
Value | | Annualized
Expense
Ratios | | Expense Paid
During the
Period(3) |
Large Cap Equity Fund | | | | -2.61 | % | | | $ | 1,000.00 | | | | $ | 973.90 | | | | | 0.48 | % | | | $ | 2.35 | |
Small-Mid Cap Equity Fund | | | | -5.65 | % | | | | 1,000.00 | | | | | 943.50 | | | | | 0.64 | % | | | | 3.08 | |
International Equity Fund | | | | -4.56 | % | | | | 1,000.00 | | | | | 954.40 | | | | | 0.67 | % | | | | 3.25 | |
Emerging Markets Equity Fund | | | | 1.38 | % | | | | 1,000.00 | | | | | 1,013.80 | | | | | 0.82 | % | | | | 4.09 | |
Core Fixed Income Fund | | | | 2.20 | % | | | | 1,000.00 | | | | | 1,022.00 | | | | | 0.55 | % | | | | 2.76 | |
High Yield Fund | | | | 0.89 | % | | | | 1,000.00 | | | | | 1,008.90 | | | | | 1.04 | % | | | | 5.18 | |
International Fixed Income Fund | | | | 2.10 | % | | | | 1,000.00 | | | | | 1,021.00 | | | | | 1.09 | % | | | | 5.46 | |
Municipal Bond Fund | | | | 2.68 | % | | | | 1,000.00 | | | | | 1,026.80 | | | | | 0.72 | % | | | | 3.62 | |
Inflation-Linked Fixed Income Fund | | | | -0.28 | % | | | | 1,000.00 | | | | | 997.20 | | | | | 1.26 | % | | | | 6.24 | |
Ultra-Short Term Fixed Income Fund | | | | 1.05 | % | | | | 1,000.00 | | | | | 1,010.50 | | | | | 0.88 | % | | | | 4.39 | |
Alternative Strategies Fund | | | | -1.07 | % | | | | 1,000.00 | | | | | 989.30 | | | | | 1.36 | % | | | | 6.71 | |
| (1) | For the six months ended February 28, 2019. |
| (2) | Assumes reinvestment of all distributions, including returns of capital, if any, at net asset value and does not reflect the deduction of the applicable advisory program charge, which may be up to 2.00% depending on the particular program through which you invest. Total return is not annualized as it may not be representative of the total return for the year. Performance figure may reflect fee waivers and/or expense reimbursements. Past performance is no guarantee of future results. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. |
| (3) | Expenses (net of fee waivers and/or expense reimbursements) are equal to each Fund’s respective annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days (181 days) in the most recent fiscal half-year, then divided by 365 days (to reflect the one-half year period). |
1
Hypothetical Example for Comparison Purposes
The table below titled “Based on Hypothetical Total Return” provides information about hypothetical account values and hypothetical expenses based on each Fund’s actual expense ratio and an assumed rate of return of 5.00% per year/period before expenses, which is not each Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balances or expenses you paid for the period. You may use the information provided in this table to compare the ongoing costs of investing in each Fund and other funds. To do so, compare the 5.00% hypothetical example relating to a Fund with the 5.00% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table below are meant to highlight your ongoing costs only and do not reflect any advisory program annual fees. Therefore, the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these advisory program annual fees were included, your costs would have been higher.
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Based on Hypothetical Total Return(1) |
| | | | | |
| Fund | | Hypothetical
Annualized
Total Return | | Beginning
Account
Value | | Ending
Account
Value | | Annualized
Expense
Ratios | | Expense
Paid During
the Period(2) |
Large Cap Equity Fund | | | | 5.00 | % | | | $ | 1,000.00 | | | | $ | 1,022.41 | | | | | 0.48 | % | | | $ | 2.41 | |
Small-Mid Cap Equity Fund | | | | 5.00 | % | | | | 1,000.00 | | | | | 1,021.62 | | | | | 0.64 | % | | | | 3.21 | |
International Equity Fund | | | | 5.00 | % | | | | 1,000.00 | | | | | 1,021.47 | | | | | 0.67 | % | | | | 3.36 | |
Emerging Markets Equity Fund | | | | 5.00 | % | | | | 1,000.00 | | | | | 1,020.73 | | | | | 0.82 | % | | | | 4.11 | |
Core Fixed Income Fund | | | | 5.00 | % | | | | 1,000.00 | | | | | 1,022.07 | | | | | 0.55 | % | | | | 2.76 | |
High Yield Fund | | | | 5.00 | % | | | | 1,000.00 | | | | | 1,019.64 | | | | | 1.04 | % | | | | 5.21 | |
International Fixed Income Fund | | | | 5.00 | % | | | | 1,000.00 | | | | | 1,019.39 | | | | | 1.09 | % | | | | 5.46 | |
Municipal Bond Fund | | | | 5.00 | % | | | | 1,000.00 | | | | | 1,021.22 | | | | | 0.72 | % | | | | 3.61 | |
Inflation-Linked Fixed Income Fund | | | | 5.00 | % | | | | 1,000.00 | | | | | 1,018.55 | | | | | 1.26 | % | | | | 6.31 | |
Ultra-Short Term Fixed Income Fund | | | | 5.00 | % | | | | 1,000.00 | | | | | 1,020.43 | | | | | 0.88 | % | | | | 4.41 | |
Alternative Strategies Fund | | | | 5.00 | % | | | | 1,000.00 | | | | | 1,018.05 | | | | | 1.36 | % | | | | 6.80 | |
| (1) | For the six months ended February 28, 2019. |
| (2) | Expenses (net of fee waivers and/or expense reimbursements) are equal to each Fund’s respective annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days (181 days) in the most recent fiscal half-year, then divided 365 (to reflect theone-half year period). |
2
| | |
| February 28, 2019 (unaudited) | | |
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | COMMON STOCKS — 92.1% | |
|
| | COMMUNICATION SERVICES — 7.9% | |
|
| | Diversified Telecommunication Services — 1.9% | |
| | 464,510 | | | AT&T Inc. | | $ | 14,455,551 | |
| | 29,019 | | | CenturyLink Inc. | | | 382,761 | |
| | 255,140 | | | Verizon Communications Inc. | | | 14,522,569 | |
| | 6,868 | | | Zayo Group Holdings Inc.* | | | 170,326 | |
| | | | | | | | |
| | | | Total Diversified Telecommunication Services | | | 29,531,207 | |
| | | | | | | | |
|
| | Entertainment — 1.5% | |
| | 76,318 | | | Activision Blizzard Inc. | | | 3,216,041 | |
| | 3,245 | | | Cinemark Holdings Inc. | | | 122,109 | |
| | 51,026 | | | Electronic Arts Inc.* | | | 4,887,270 | |
| | 896 | | | Liberty Media Corp-Liberty Formula One, Class A Shares* | | | 27,543 | |
| | 6,003 | | | Liberty Media Corp-Liberty Formula One, Class C Shares* | | | 186,813 | |
| | 1,492 | | | Lions Gate Entertainment Corp., Class A Shares | | | 23,051 | |
| | 3,040 | | | Lions Gate Entertainment Corp., Class B Shares | | | 44,658 | |
| | 4,275 | | | Live Nation Entertainment Inc.* | | | 241,794 | |
| | 549 | | | Madison Square Garden Co. (The), Class A Shares* | | | 158,189 | |
| | 12,473 | | | Netflix Inc.* | | | 4,466,581 | |
| | 3,425 | | | Take-Two Interactive Software Inc.* | | | 298,865 | |
| | 31,231 | | | Twenty-First Century Fox Inc., Class A Shares | | | 1,574,979 | |
| | 14,416 | | | Twenty-First Century Fox Inc., Class B Shares | | | 723,107 | |
| | 304 | | | Viacom Inc., Class A Shares | | | 10,382 | |
| | 10,550 | | | Viacom Inc., Class B Shares | | | 308,271 | |
| | 70,482 | | | Walt Disney Co. (The) | | | 7,953,189 | |
| | 23,176 | | | Zynga Inc., Class A Shares* | | | 120,979 | |
| | | | | | | | |
| | | | Total Entertainment | | | 24,363,821 | |
| | | | | | | | |
|
| | Interactive Media & Services — 3.6% | |
| | 19,302 | | | Alphabet Inc., Class A Shares* | | | 21,744,668 | |
| | 12,501 | | | Alphabet Inc., Class C Shares* | | | 14,000,120 | |
| | 128,875 | | | Facebook Inc., Class A Shares* | | | 20,806,869 | |
| | 2,260 | | | IAC/InterActiveCorp.* | | | 481,493 | |
| | 1,592 | | | Match Group Inc.(a) | | | 88,165 | |
| | 3,112 | | | TripAdvisor Inc.* | | | 165,465 | |
| | 21,007 | | | Twitter Inc.* | | | 646,595 | |
| | 1,686 | | | Zillow Group Inc., Class A Shares* | | | 69,851 | |
| | 3,679 | | | Zillow Group Inc., Class C Shares* | | | 153,782 | |
| | | | | | | | |
| | | | Total Interactive Media & Services | | | 58,157,008 | |
| | | | | | | | |
|
| | Media — 0.8% | |
| | 1,421 | | | AMC Networks Inc., Class A Shares* | | | 93,374 | |
| | 112 | | | Cable One Inc. | | | 106,287 | |
| | 9,776 | | | CBS Corp., Class B Shares | | | 490,853 | |
| | 5,222 | | | Charter Communications Inc., Class A Shares* | | | 1,801,120 | |
| | 201,030 | | | Comcast Corp., Class A Shares | | | 7,773,830 | |
| | 4,661 | | | Discovery Inc., Class A Shares* | | | 134,703 | |
| | 10,517 | | | Discovery Inc., Class C Shares* | | | 286,588 | |
| | 6,899 | | | DISH Network Corp., Class A Shares* | | | 224,286 | |
| | 3,055 | | | GCI Liberty Inc., Class A Shares* | | | 163,565 | |
| | 11,665 | | | Interpublic Group of Cos., Inc. (The) | | | 268,645 | |
| | 1,383 | | | John Wiley & Sons Inc., Class A Shares | | | 71,764 | |
| | 790 | | | Liberty Broadband Corp., Class A Shares* | | | 70,563 | |
| | 3,157 | | | Liberty Broadband Corp., Class C Shares* | | | 282,552 | |
| | 2,554 | | | Liberty Media Corp-Liberty SiriusXM, Class A Shares* | | | 104,459 | |
| | 5,012 | | | Liberty Media Corp-Liberty SiriusXM, Class C Shares* | | | 206,545 | |
See Notes to Financial Statements.
3
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | COMMUNICATION SERVICES — 7.9% — (continued) | |
|
| | Media — 0.8% — (continued) | |
| | 11,011 | | | News Corp., Class A Shares | | $ | 143,363 | |
| | 4,110 | | | News Corp., Class B Shares | | | 54,704 | |
| | 6,745 | | | Omnicom Group Inc. | | | 510,596 | |
| | 38,994 | | | Sirius XM Holdings Inc. | | | 231,234 | |
| | 2,508 | | | Tribune Media Co., Class A Shares | | | 115,945 | |
| | | | | | | | |
| | | | Total Media | | | 13,134,976 | |
| | | | | | | | |
|
| | Wireless Telecommunication Services — 0.1% | |
| | 19,856 | | | Sprint Corp.* | | | 126,086 | |
| | 2,906 | | | Telephone & Data Systems Inc. | | | 93,137 | |
| | 9,001 | | | T-Mobile US Inc.* | | | 649,962 | |
| | 511 | | | United States Cellular Corp.* | | | 23,859 | |
| | | | | | | | |
| | | | Total Wireless Telecommunication Services | | | 893,044 | |
| | | | | | | | |
| | | | TOTAL COMMUNICATION SERVICES | | | 126,080,056 | |
| | | | | | | | |
|
| | CONSUMER DISCRETIONARY — 9.8% | |
|
| | Auto Components — 0.5% | |
| | 33,535 | | | Adient PLC | | | 651,920 | |
| | 58,203 | | | Aptiv PLC | | | 4,837,251 | |
| | 6,432 | | | BorgWarner Inc. | | | 261,204 | |
| | 2,301 | | | Garrett Motion Inc.* | | | 38,519 | |
| | 8,170 | | | Gentex Corp. | | | 166,178 | |
| | 85,821 | | | Goodyear Tire & Rubber Co. (The) | | | 1,697,539 | |
| | 1,943 | | | Lear Corp. | | | 295,472 | |
| | 17,326 | | | Tenneco Inc., Class A Shares | | | 599,480 | |
| | 875 | | | Visteon Corp.* | | | 74,952 | |
| | | | | | | | |
| | | | Total Auto Components | | | 8,622,515 | |
| | | | | | | | |
|
| | Automobiles — 0.3% | |
| | 115,936 | | | Ford Motor Co. | | | 1,016,759 | |
| | 39,154 | | | General Motors Co. | | | 1,545,800 | |
| | 4,527 | | | Harley-Davidson Inc. | | | 168,042 | |
| | 4,094 | | | Tesla Inc.* | | | 1,309,589 | |
| | 1,451 | | | Thor Industries Inc. | | | 93,691 | |
| | | | | | | | |
| | | | Total Automobiles | | | 4,133,881 | |
| | | | | | | | |
|
| | Distributors — 0.1% | |
| | 4,335 | | | Genuine Parts Co. | | | 471,561 | |
| | 9,587 | | | LKQ Corp.* | | | 265,560 | |
| | 1,193 | | | Pool Corp. | | | 190,331 | |
| | | | | | | | |
| | | | Total Distributors | | | 927,452 | |
| | | | | | | | |
|
| | Diversified Consumer Services — 0.3% | |
| | 1,740 | | | Bright Horizons Family Solutions Inc.* | | | 215,760 | |
| | 2,038 | | | frontdoor Inc.* | | | 65,216 | |
| | 127 | | | Graham Holdings Co., Class B Shares | | | 86,831 | |
| | 1,431 | | | Grand Canyon Education Inc.* | | | 165,538 | |
| | 6,158 | | | H&R Block Inc. | | | 148,716 | |
| | 38,878 | | | New Oriental Education & Technology Group Inc., ADR* | | | 3,190,329 | |
| | 5,158 | | | Service Corp. International | | | 213,232 | |
| | 4,077 | | | ServiceMaster Global Holdings Inc.* | | | 184,117 | |
| | | | | | | | |
| | | | Total Diversified Consumer Services | | | 4,269,739 | |
| | | | | | | | |
|
| | Hotels, Restaurants & Leisure — 1.2% | |
| | 6,921 | | | Aramark | | | 209,706 | |
| | 16,533 | | | Caesars Entertainment Corp.* | | | 142,514 | |
See Notes to Financial Statements.
4
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | CONSUMER DISCRETIONARY — 9.8% — (continued) | |
|
| | Hotels, Restaurants & Leisure — 1.2% — (continued) | |
| | 11,811 | | | Carnival Corp. | | $ | 682,203 | |
| | 3,479 | | | Chipotle Mexican Grill Inc., Class A Shares* | | | 2,113,597 | |
| | 1,038 | | | Choice Hotels International Inc. | | | 82,874 | |
| | 3,760 | | | Darden Restaurants Inc. | | | 421,534 | |
| | 1,256 | | | Domino’s Pizza Inc. | | | 315,181 | |
| | 2,281 | | | Dunkin’ Brands Group Inc. | | | 162,977 | |
| | 5,326 | | | Extended Stay America Inc. | | | 97,146 | |
| | 3,173 | | | Hilton Grand Vacations Inc.* | | | 100,870 | |
| | 8,179 | | | Hilton Worldwide Holdings Inc. | | | 679,675 | |
| | 1,262 | | | Hyatt Hotels Corp., Class A Shares | | | 91,836 | |
| | 3,112 | | | International Game Technology PLC | | | 53,682 | |
| | 10,451 | | | Las Vegas Sands Corp. | | | 642,005 | |
| | 8,397 | | | Marriott International Inc., Class A Shares | | | 1,051,892 | |
| | 23,248 | | | McDonald’s Corp. | | | 4,273,912 | |
| | 14,794 | | | MGM Resorts International | | | 395,740 | |
| | 6,656 | | | Norwegian Cruise Line Holdings Ltd.* | | | 369,608 | |
| | 5,050 | | | Royal Caribbean Cruises Ltd. | | | 598,324 | |
| | 2,187 | | | Six Flags Entertainment Corp. | | | 121,838 | |
| | 36,153 | | | Starbucks Corp. | | | 2,540,110 | |
| | 1,216 | | | Vail Resorts Inc. | | | 253,402 | |
| | 5,249 | | | Wendy’s Co. (The) | | | 90,965 | |
| | 2,883 | | | Wyndham Destinations Inc. | | | 129,821 | |
| | 3,004 | | | Wyndham Hotels & Resorts Inc. | | | 157,920 | |
| | 2,983 | | | Wynn Resorts Ltd. | | | 377,469 | |
| | 57,285 | | | Yum China Holdings Inc. | | | 2,389,930 | |
| | 9,423 | | | Yum! Brands Inc. | | | 890,474 | |
| | | | | | | | |
| | | | Total Hotels, Restaurants & Leisure | | | 19,437,205 | |
| | | | | | | | |
|
| | Household Durables — 0.3% | |
| | 10,457 | | | DR Horton Inc. | | | 406,673 | |
| | 3,482 | | | Garmin Ltd. | | | 292,383 | |
| | 3,928 | | | Leggett & Platt Inc. | | | 178,410 | |
| | 8,703 | | | Lennar Corp., Class A Shares | | | 417,570 | |
| | 600 | | | Lennar Corp., Class B Shares | | | 23,082 | |
| | 1,776 | | | Mohawk Industries Inc.* | | | 241,749 | |
| | 12,956 | | | Newell Brands Inc. | | | 210,276 | |
| | 96 | | | NVR Inc.* | | | 251,520 | |
| | 7,657 | | | PulteGroup Inc. | | | 206,739 | |
| | 1,405 | | | Tempur Sealy International Inc.* | | | 81,785 | |
| | 4,274 | | | Toll Brothers Inc. | | | 152,154 | |
| | 22,374 | | | Whirlpool Corp. | | | 3,166,145 | |
| | | | | | | | |
| | | | Total Household Durables | | | 5,628,486 | |
| | | | | | | | |
|
| | Internet & Direct Marketing Retail — 3.4% | |
| | 31,751 | | | Alibaba Group Holding Ltd., ADR* | | | 5,811,386 | |
| | 18,990 | | | Amazon.com Inc.* | | | 31,140,372 | |
| | 2,875 | | | Booking Holdings Inc.* | | | 4,878,990 | |
| | 170,013 | | | eBay Inc. | | | 6,315,983 | |
| | 3,653 | | | Expedia Group Inc. | | | 450,451 | |
| | 12,198 | | | GrubHub Inc.* | | | 995,113 | |
| | 3,985 | | | MercadoLibre Inc.* | | | 1,828,278 | |
| | 156,050 | | | Qurate Retail Inc., Class A Shares* | | | 2,810,461 | |
| | 1,705 | | | Wayfair Inc., Class A Shares* | | | 282,484 | |
| | | | | | | | |
| | | | Total Internet & Direct Marketing Retail | | | 54,513,518 | |
| | | | | | | | |
See Notes to Financial Statements.
5
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | CONSUMER DISCRETIONARY — 9.8% — (continued) | |
|
| | Leisure Products — 0.0% | |
| | 2,630 | | | Brunswick Corp. | | $ | 138,706 | |
| | 3,539 | | | Hasbro Inc. | | | 300,461 | |
| | 9,893 | | | Mattel Inc.* | | | 142,657 | |
| | 1,767 | | | Polaris Industries Inc. | | | 150,602 | |
| | | | | | | | |
| | | | Total Leisure Products | | | 732,426 | |
| | | | | | | | |
|
| | Multiline Retail — 0.7% | |
| | 7,838 | | | Dollar General Corp. | | | 928,489 | |
| | 83,293 | | | Dollar Tree Inc.* | | | 8,023,615 | |
| | 5,070 | | | Kohl’s Corp. | | | 342,377 | |
| | 9,273 | | | Macy’s Inc. | | | 229,878 | |
| | 3,586 | | | Nordstrom Inc. | | | 169,546 | |
| | 15,747 | | | Target Corp. | | | 1,143,862 | |
| | | | | | | | |
| | | | Total Multiline Retail | | | 10,837,767 | |
| | | | | | | | |
|
| | Specialty Retail — 2.1% | |
| | 2,120 | | | Advance Auto Parts Inc. | | | 342,974 | |
| | 1,664 | | | AutoNation Inc.* | | | 58,673 | |
| | 749 | | | AutoZone Inc.* | | | 703,288 | |
| | 7,152 | | | Best Buy Co., Inc. | | | 492,344 | |
| | 2,022 | | | Burlington Stores Inc.* | | | 343,214 | |
| | 5,281 | | | CarMax Inc.* | | | 327,950 | |
| | 2,169 | | | Dick’s Sporting Goods Inc. | | | 84,721 | |
| | 1,295 | | | Floor & Decor Holdings Inc., Class A Shares* | | | 48,148 | |
| | 3,531 | | | Foot Locker Inc. | | | 210,165 | |
| | 6,549 | | | Gap Inc. (The) | | | 166,345 | |
| | 47,464 | | | Home Depot Inc. (The) | | | 8,787,485 | |
| | 6,940 | | | L Brands Inc. | | | 181,412 | |
| | 151,299 | | | Lowe’s Cos., Inc. | | | 15,900,012 | |
| | 3,104 | | | Michaels Cos., Inc. (The)* | | | 43,891 | |
| | 2,377 | | | O’Reilly Automotive Inc.* | | | 884,149 | |
| | 1,074 | | | Penske Automotive Group Inc. | | | 47,728 | |
| | 19,044 | | | Ross Stores Inc. | | | 1,805,942 | |
| | 3,687 | | | Tiffany & Co. | | | 350,412 | |
| | 37,048 | | | TJX Cos., Inc. (The) | | | 1,900,192 | |
| | 3,702 | | | Tractor Supply Co. | | | 352,986 | |
| | 1,692 | | | Ulta Beauty Inc.* | | | 528,733 | |
| | 2,081 | | | Urban Outfitters Inc.* | | | 64,199 | |
| | 2,290 | | | Williams-Sonoma Inc.(a) | | | 133,186 | |
| | | | | | | | |
| | | | Total Specialty Retail | | | 33,758,149 | |
| | | | | | | | |
|
| | Textiles, Apparel & Luxury Goods — 0.9% | |
| | 37,602 | | | Canada Goose Holdings Inc.*(a) | | | 2,139,930 | |
| | 4,254 | | | Capri Holdings Ltd.* | | | 193,982 | |
| | 1,369 | | | Carter’s Inc. | | | 133,395 | |
| | 970 | | | Columbia Sportswear Co. | | | 99,862 | |
| | 133,648 | | | Hanesbrands Inc. | | | 2,484,516 | |
| | 2,894 | | | lululemon athletica Inc.* | | | 435,315 | |
| | 73,221 | | | NIKE Inc., Class B Shares | | | 6,277,236 | |
| | 2,321 | | | PVH Corp. | | | 266,544 | |
| | 1,628 | | | Ralph Lauren Corp., Class A Shares | | | 203,777 | |
| | 3,866 | | | Skechers U.S.A. Inc., Class A Shares* | | | 130,014 | |
| | 8,744 | | | Tapestry Inc. | | | 305,515 | |
| | 5,514 | | | Under Armour Inc., Class A Shares* | | | 124,341 | |
See Notes to Financial Statements.
6
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | CONSUMER DISCRETIONARY — 9.8% — (continued) | |
|
| | Textiles, Apparel & Luxury Goods — 0.9% — (continued) | |
| | 6,058 | | | Under Armour Inc., Class C Shares* | | $ | 121,645 | |
| | 9,531 | | | V.F. Corp. | | | 832,628 | |
| | | | | | | | |
| | | | Total Textiles, Apparel & Luxury Goods | | | 13,748,700 | |
| | | | | | | | |
| | | | TOTAL CONSUMER DISCRETIONARY | | | 156,609,838 | |
| | | | | | | | |
|
| | CONSUMER STAPLES — 5.7% | |
|
| | Beverages — 2.0% | |
| | 29,380 | | | Anheuser-Busch InBev SA, ADR(a) | | | 2,296,341 | |
| | 1,557 | | | Brown-Forman Corp., Class A Shares | | | 76,760 | |
| | 8,568 | | | Brown-Forman Corp., Class B Shares | | | 424,030 | |
| | 412,508 | | | Coca-Cola Co. (The) | | | 18,703,113 | |
| | 4,617 | | | Constellation Brands Inc., Class A Shares | | | 781,011 | |
| | 5,206 | | | Keurig Dr Pepper Inc. | | | 130,931 | |
| | 49,921 | | | Molson Coors Brewing Co., Class B Shares | | | 3,078,129 | |
| | 11,712 | | | Monster Beverage Corp.* | | | 747,577 | |
| | 42,408 | | | PepsiCo Inc. | | | 4,904,061 | |
| | | | | | | | |
| | | | Total Beverages | | | 31,141,953 | |
| | | | | | | | |
|
| | Food & Staples Retailing — 0.9% | |
| | 1,052 | | | Casey’s General Stores Inc. | | | 141,746 | |
| | 30,954 | | | Costco Wholesale Corp. | | | 6,770,878 | |
| | 23,345 | | | Kroger Co. (The) | | | 684,709 | |
| | 3,218 | | | Sprouts Farmers Market Inc.* | | | 75,044 | |
| | 14,092 | | | Sysco Corp. | | | 951,915 | |
| | 6,529 | | | US Foods Holding Corp.* | | | 230,082 | |
| | 24,238 | | | Walgreens Boots Alliance Inc. | | | 1,725,503 | |
| | 42,710 | | | Walmart Inc. | | | 4,227,863 | |
| | | | | | | | |
| | | | Total Food & Staples Retailing | | | 14,807,740 | |
| | | | | | | | |
|
| | Food Products — 1.6% | |
| | 197,163 | | | Archer-Daniels-Midland Co. | | | 8,379,427 | |
| | 4,007 | | | Bunge Ltd. | | | 212,692 | |
| | 5,377 | �� | | Campbell Soup Co. | | | 193,679 | |
| | 14,624 | | | Conagra Brands Inc. | | | 341,763 | |
| | 5,576 | | | Flowers Foods Inc. | | | 114,141 | |
| | 17,478 | | | General Mills Inc. | | | 823,738 | |
| | 2,774 | | | Hain Celestial Group Inc. (The)* | | | 54,565 | |
| | 4,258 | | | Hershey Co. (The) | | | 471,275 | |
| | 8,234 | | | Hormel Foods Corp. | | | 357,026 | |
| | 2,144 | | | Ingredion Inc. | | | 198,213 | |
| | 3,336 | | | J.M. Smucker Co. (The) | | | 353,316 | |
| | 7,531 | | | Kellogg Co. | | | 423,694 | |
| | 18,205 | | | Kraft Heinz Co. (The) | | | 604,224 | |
| | 4,443 | | | Lamb Weston Holdings Inc. | | | 307,944 | |
| | 12,265 | | | McCormick & Co., Inc. | | | 1,667,795 | |
| | 199,925 | | | Mondelez International Inc., Class A Shares | | | 9,428,463 | |
| | 1,992 | | | Pilgrim’s Pride Corp.* | | | 39,183 | |
| | 1,977 | | | Post Holdings Inc.* | | | 201,417 | |
| | 9 | | | Seaboard Corp. | | | 35,093 | |
| | 1,514 | | | TreeHouse Foods Inc.* | | | 91,718 | |
| | 8,824 | | | Tyson Foods Inc., Class A Shares | | | 544,088 | |
| | | | | | | | |
| | | | Total Food Products | | | 24,843,454 | |
| | | | | | | | |
See Notes to Financial Statements.
7
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | CONSUMER STAPLES — 5.7% — (continued) | |
|
| | Household Products — 0.7% | |
| | 7,409 | | | Church & Dwight Co., Inc. | | $ | 487,512 | |
| | 3,764 | | | Clorox Co. (The) | | | 594,825 | |
| | 25,428 | | | Colgate-Palmolive Co. | | | 1,674,942 | |
| | 1,671 | | | Energizer Holdings Inc. | | | 76,666 | |
| | 10,365 | | | Kimberly-Clark Corp. | | | 1,210,943 | |
| | 74,568 | | | Procter & Gamble Co. (The) | | | 7,348,677 | |
| | 1,255 | | | Spectrum Brands Holdings Inc. | | | 67,983 | |
| | | | | | | | |
| | | | Total Household Products | | | 11,461,548 | |
| | | | | | | | |
|
| | Personal Products — 0.1% | |
| | 14,122 | | | Coty Inc., Class A Shares(a) | | | 155,342 | |
| | 6,333 | | | Estee Lauder Cos., Inc. (The), Class A Shares | | | 993,901 | |
| | 3,287 | | | Herbalife Nutrition Ltd.* | | | 184,401 | |
| | 1,667 | | | Nu Skin Enterprises Inc., Class A Shares | | | 100,203 | |
| | | | | | | | |
| | | | Total Personal Products | | | 1,433,847 | |
| | | | | | | | |
|
| | Tobacco — 0.4% | |
| | 56,679 | | | Altria Group Inc. | | | 2,970,546 | |
| | 46,501 | | | Philip Morris International Inc. | | | 4,042,797 | |
| | | | | | | | |
| | | | Total Tobacco | | | 7,013,343 | |
| | | | | | | | |
| | | | TOTAL CONSUMER STAPLES | | | 90,701,885 | |
| | | | | | | | |
|
| | ENERGY — 5.2% | |
|
| | Energy Equipment & Services — 0.9% | |
| | 2,351 | | | Apergy Corp.* | | | 98,695 | |
| | 15,345 | | | Baker Hughes a GE Co., Class A Shares | | | 404,801 | |
| | 254,150 | | | Halliburton Co. | | | 7,799,864 | |
| | 3,284 | | | Helmerich & Payne Inc. | | | 177,993 | |
| | 11,171 | | | Nabors Industries Ltd. | | | 36,194 | |
| | 125,130 | | | National Oilwell Varco Inc. | | | 3,521,158 | |
| | 6,492 | | | Patterson-UTI Energy Inc. | | | 86,084 | |
| | 1,750 | | | RPC Inc. | | | 18,813 | |
| | 70,055 | | | Schlumberger Ltd. | | | 3,086,623 | |
| | 15,646 | | | Transocean Ltd.* | | | 127,828 | |
| | 33,712 | | | Weatherford International PLC* | | | 21,764 | |
| | | | | | | | |
| | | | Total Energy Equipment & Services | | | 15,379,817 | |
| | | | | | | | |
|
| | Oil, Gas & Consumable Fuels — 4.3% | |
| | 14,839 | | | Anadarko Petroleum Corp. | | | 645,496 | |
| | 7,956 | | | Antero Resources Corp.* | | | 68,899 | |
| | 11,594 | | | Apache Corp. | | | 384,689 | |
| | 13,216 | | | Cabot Oil & Gas Corp. | | | 325,378 | |
| | 6,066 | | | Centennial Resource Development Inc., Class A Shares* | | | 55,019 | |
| | 7,000 | | | Cheniere Energy Inc.* | | | 451,150 | |
| | 28,989 | | | Chesapeake Energy Corp.* | | | 85,807 | |
| | 57,024 | | | Chevron Corp. | | | 6,818,930 | |
| | 2,897 | | | Cimarex Energy Co. | | | 208,323 | |
| | 5,685 | | | CNX Resources Corp.* | | | 60,261 | |
| | 5,850 | | | Concho Resources Inc. | | | 643,500 | |
| | 141,785 | | | ConocoPhillips | | | 9,620,112 | |
| | 2,618 | | | Continental Resources Inc.* | | | 116,789 | |
| | 14,177 | | | Devon Energy Corp. | | | 418,363 | |
| | 4,753 | | | Diamondback Energy Inc. | | | 489,226 | |
| | 62,401 | | | EOG Resources Inc. | | | 5,865,694 | |
| | 7,698 | | | EQT Corp. | | | 139,488 | |
See Notes to Financial Statements.
8
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | ENERGY — 5.2% — (continued) | |
|
| | Oil, Gas & Consumable Fuels — 4.3% — (continued) | |
| | 6,572 | | | Equitrans Midstream Corp. | | $ | 115,930 | |
| | 3,354 | | | Extraction Oil & Gas Inc.* | | | 14,087 | |
| | 126,831 | | | Exxon Mobil Corp. | | | 10,023,454 | |
| | 7,810 | | | Hess Corp. | | | 451,809 | |
| | 4,818 | | | HollyFrontier Corp. | | | 246,682 | |
| | 57,199 | | | Kinder Morgan Inc. | | | 1,095,933 | |
| | 7,953 | | | Kosmos Energy Ltd.* | | | 50,899 | |
| | 463,226 | | | Marathon Oil Corp. | | | 7,689,552 | |
| | 19,896 | | | Marathon Petroleum Corp. | | | 1,233,751 | |
| | 4,815 | | | Murphy Oil Corp. | | | 139,153 | |
| | 13,823 | | | Noble Energy Inc. | | | 306,179 | |
| | 134,391 | | | Occidental Petroleum Corp. | | | 8,889,965 | |
| | 12,352 | | | ONEOK Inc. | | | 793,740 | |
| | 7,871 | | | Parsley Energy Inc., Class A Shares* | | | 142,780 | |
| | 3,452 | | | PBF Energy Inc., Class A Shares | | | 107,254 | |
| | 12,452 | | | Phillips 66 | | | 1,199,875 | |
| | 20,787 | | | Pioneer Natural Resources Co. | | | 2,929,928 | |
| | 7,159 | | | QEP Resources Inc.* | | | 55,554 | |
| | 5,829 | | | Range Resources Corp. | | | 62,370 | |
| | 2,527 | | | SM Energy Co. | | | 41,291 | |
| | 109,903 | | | Suncor Energy Inc. | | | 3,787,257 | |
| | 6,885 | | | Targa Resources Corp. | | | 277,052 | |
| | 12,600 | | | Valero Energy Corp. | | | 1,027,656 | |
| | 2,895 | | | Whiting Petroleum Corp.* | | | 70,551 | |
| | 35,844 | | | Williams Cos., Inc. (The) | | | 956,676 | |
| | 12,309 | | | WPX Energy Inc.* | | | 151,893 | |
| | | | | | | | |
| | | | Total Oil, Gas & Consumable Fuels | | | 68,258,395 | |
| | | | | | | | |
| | | | TOTAL ENERGY | | | 83,638,212 | |
| | | | | | | | |
|
| | FINANCIALS — 11.6% | |
|
| | Banks — 3.2% | |
| | 4,919 | | | Associated Banc-Corp | | | 114,514 | |
| | 273,858 | | | Bank of America Corp. | | | 7,963,791 | |
| | 1,161 | | | Bank of Hawaii Corp. | | | 95,469 | |
| | 3,678 | | | Bank OZK | | | 120,638 | |
| | 3,062 | | | BankUnited Inc. | | | 111,732 | |
| | 169,361 | | | BB&T Corp. | | | 8,632,330 | |
| | 984 | | | BOK Financial Corp. | | | 88,993 | |
| | 3,208 | | | CIT Group Inc. | | | 163,512 | |
| | 73,135 | | | Citigroup Inc. | | | 4,679,177 | |
| | 14,124 | | | Citizens Financial Group Inc. | | | 521,741 | |
| | 4,886 | | | Comerica Inc. | | | 425,619 | |
| | 3,017 | | | Commerce Bancshares Inc. | | | 189,860 | |
| | 1,713 | | | Cullen/Frost Bankers Inc. | | | 177,604 | |
| | 4,053 | | | East West Bancorp Inc. | | | 221,334 | |
| | 19,878 | | | Fifth Third Bancorp | | | 548,235 | |
| | 252 | | | First Citizens BancShares Inc., Class A Shares | | | 110,018 | |
| | 3,308 | | | First Hawaiian Inc. | | | 89,184 | |
| | 10,040 | | | First Horizon National Corp. | | | 156,925 | |
| | 4,758 | | | First Republic Bank | | | 499,495 | |
| | 9,560 | | | FNB Corp. | | | 117,014 | |
| | 32,001 | | | Huntington Bancshares Inc. | | | 461,134 | |
| | 99,066 | | | JPMorgan Chase & Co. | | | 10,338,528 | |
| | 30,285 | | | KeyCorp | | | 534,833 | |
See Notes to Financial Statements.
9
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | FINANCIALS — 11.6% — (continued) | |
|
| | Banks — 3.2% — (continued) | |
| | 4,108 | | | M&T Bank Corp. | | $ | 710,930 | |
| | 3,800 | | | PacWest Bancorp | | | 155,876 | |
| | 11,220 | | | People’s United Financial Inc. | | | 199,267 | |
| | 2,272 | | | Pinnacle Financial Partners Inc. | | | 133,344 | |
| | 13,888 | | | PNC Financial Services Group Inc. (The) | | | 1,750,166 | |
| | 3,077 | | | Popular Inc. | | | 173,481 | |
| | 2,023 | | | Prosperity Bancshares Inc. | | | 150,612 | |
| | 31,354 | | | Regions Financial Corp. | | | 514,206 | |
| | 1,601 | | | Signature Bank | | | 217,352 | |
| | 6,760 | | | Sterling Bancorp | | | 137,431 | |
| | 13,210 | | | SunTrust Banks Inc. | | | 856,933 | |
| | 1,604 | | | SVB Financial Group* | | | 396,445 | |
| | 3,573 | | | Synovus Financial Corp. | | | 141,777 | |
| | 4,735 | | | TCF Financial Corp. | | | 108,432 | |
| | 1,518 | | | Texas Capital Bancshares Inc.* | | | 92,644 | |
| | 5,802 | | | Umpqua Holdings Corp. | | | 105,480 | |
| | 45,284 | | | US Bancorp | | | 2,340,730 | |
| | 2,778 | | | Webster Financial Corp. | | | 159,513 | |
| | 127,018 | | | Wells Fargo & Co. | | | 6,336,928 | |
| | 2,917 | | | Western Alliance Bancorp* | | | 134,970 | |
| | 1,485 | | | Wintrust Financial Corp. | | | 109,400 | |
| | 5,754 | | | Zions Bancorporation | | | 294,029 | |
| | | | | | | | |
| | | | Total Banks | | | 51,581,626 | |
| | | | | | | | |
|
| | Capital Markets — 3.5% | |
| | 18,238 | | | Affiliated Managers Group Inc. | | | 1,999,067 | |
| | 41,232 | | | Ameriprise Financial Inc. | | | 5,427,368 | |
| | 170,071 | | | Bank of New York Mellon Corp. (The) | | | 8,925,326 | |
| | 8,152 | | | BGC Partners Inc., Class A Shares | | | 49,972 | |
| | 8,559 | | | BlackRock Inc., Class A Shares | | | 3,793,520 | |
| | 3,389 | | | Cboe Global Markets Inc. | | | 325,039 | |
| | 148,657 | | | Charles Schwab Corp. (The) | | | 6,839,709 | |
| | 10,585 | | | CME Group Inc., Class A Shares | | | 1,925,517 | |
| | 7,719 | | | E*Trade Financial Corp. | | | 378,154 | |
| | 3,381 | | | Eaton Vance Corp. | | | 141,495 | |
| | 1,218 | | | Evercore Inc., Class A Shares | | | 112,178 | |
| | 1,149 | | | FactSet Research Systems Inc. | | | 270,210 | |
| | 8,914 | | | Franklin Resources Inc. | | | 290,686 | |
| | 10,432 | | | Goldman Sachs Group Inc. (The) | | | 2,051,974 | |
| | 2,238 | | | Interactive Brokers Group Inc., Class A Shares | | | 123,605 | |
| | 93,221 | | | Intercontinental Exchange Inc. | | | 7,192,000 | |
| | 11,438 | | | Invesco Ltd. | | | 221,325 | |
| | 3,594 | | | Lazard Ltd., Class A Shares | | | 134,523 | |
| | 2,044 | | | Legg Mason Inc. | | | 59,787 | |
| | 2,603 | | | LPL Financial Holdings Inc. | | | 196,292 | |
| | 1,110 | | | MarketAxess Holdings Inc. | | | 270,707 | |
| | 4,911 | | | Moody’s Corp. | | | 850,192 | |
| | 36,294 | | | Morgan Stanley(b) | | | 1,523,622 | |
| | 550 | | | Morningstar Inc. | | | 69,608 | |
| | 14,284 | | | MSCI Inc., Class A Shares | | | 2,638,540 | |
| | 3,503 | | | Nasdaq Inc. | | | 320,770 | |
| | 6,194 | | | Northern Trust Corp. | | | 577,281 | |
| | 3,980 | | | Raymond James Financial Inc. | | | 328,668 | |
| | 35,888 | | | S&P Global Inc. | | | 7,190,879 | |
| | 3,980 | | | SEI Investments Co. | | | 209,945 | |
See Notes to Financial Statements.
10
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | FINANCIALS — 11.6% — (continued) | |
|
| | Capital Markets — 3.5% — (continued) | |
| | 11,348 | | | State Street Corp. | | $ | 815,581 | |
| | 6,946 | | | T. Rowe Price Group Inc. | | | 697,587 | |
| | 8,543 | | | TD Ameritrade Holding Corp. | | | 481,227 | |
| | 1,319 | | | Virtu Financial Inc., Class A Shares | | | 33,160 | |
| | | | | | | | |
| | | | Total Capital Markets | | | 56,465,514 | |
| | | | | | | | |
|
| | Consumer Finance — 0.5% | |
| | 12,823 | | | Ally Financial Inc. | | | 347,375 | |
| | 40,276 | | | American Express Co. | | | 4,339,336 | |
| | 14,195 | | | Capital One Financial Corp. | | | 1,186,418 | |
| | 329 | | | Credit Acceptance Corp.* | | | 144,714 | |
| | 10,157 | | | Discover Financial Services | | | 727,343 | |
| | 6,423 | | | Navient Corp. | | | 78,489 | |
| | 2,099 | | | OneMain Holdings Inc., Class A Shares | | | 69,267 | |
| | 3,504 | | | Santander Consumer USA Holdings Inc. | | | 71,972 | |
| | 13,186 | | | SLM Corp.* | | | 145,705 | |
| | 22,511 | | | Synchrony Financial | | | 734,084 | |
| | | | | | | | |
| | | | Total Consumer Finance | | | 7,844,703 | |
| | | | | | | | |
|
| | Diversified Financial Services — 0.8% | |
| | 5,996 | | | AXA Equitable Holdings Inc. | | | 114,644 | |
| | 57,994 | | | Berkshire Hathaway Inc., Class B Shares* | | | 11,674,192 | |
| | 8,822 | | | Jefferies Financial Group Inc. | | | 178,822 | |
| | 4,713 | | | Voya Financial Inc. | | | 238,336 | |
| | | | | | | | |
| | | | Total Diversified Financial Services | | | 12,205,994 | |
| | | | | | | | |
|
| | Insurance — 3.5% | |
| | 137,151 | | | Aflac Inc. | | | 6,739,600 | |
| | 436 | | | Alleghany Corp. | | | 280,331 | |
| | 90,152 | | | Allstate Corp. (The) | | | 8,508,546 | |
| | 2,214 | | | American Financial Group Inc. | | | 220,647 | |
| | 202,285 | | | American International Group Inc. | | | 8,738,712 | |
| | 167 | | | American National Insurance Co. | | | 24,581 | |
| | 7,154 | | | Aon PLC | | | 1,227,126 | |
| | 11,185 | | | Arch Capital Group Ltd.* | | | 365,414 | |
| | 5,472 | | | Arthur J. Gallagher & Co. | | | 439,292 | |
| | 20,668 | | | Assurant Inc. | | | 2,128,597 | |
| | 3,199 | | | Assured Guaranty Ltd. | | | 133,590 | |
| | 4,755 | | | Athene Holding Ltd., Class A Shares* | | | 211,835 | |
| | 2,381 | | | Axis Capital Holdings Ltd. | | | 135,884 | |
| | 3,642 | | | Brighthouse Financial Inc.* | | | 141,018 | |
| | 6,932 | | | Brown & Brown Inc. | | | 205,326 | |
| | 13,722 | | | Chubb Ltd. | | | 1,837,376 | |
| | 4,659 | | | Cincinnati Financial Corp. | | | 404,494 | |
| | 1,018 | | | CNA Financial Corp. | | | 43,998 | |
| | 747 | | | Erie Indemnity Co., Class A Shares | | | 133,130 | |
| | 1,226 | | | Everest Re Group Ltd. | | | 277,211 | |
| | 8,010 | | | Fidelity National Financial Inc. | | | 281,071 | |
| | 3,257 | | | First American Financial Corp. | | | 165,423 | |
| | 1,263 | | | Hanover Insurance Group Inc. (The) | | | 149,931 | |
| | 10,540 | | | Hartford Financial Services Group Inc. (The) | | | 520,254 | |
| | 73,249 | | | Lincoln National Corp. | | | 4,579,527 | |
| | 8,438 | | | Loews Corp. | | | 401,818 | |
| | 412 | | | Markel Corp.* | | | 414,011 | |
| | 97,737 | | | Marsh & McLennan Cos., Inc. | | | 9,091,496 | |
See Notes to Financial Statements.
11
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | FINANCIALS — 11.6% — (continued) | |
|
| | Insurance — 3.5% — (continued) | |
| | 827 | | | Mercury General Corp. | | $ | 43,806 | |
| | 25,187 | | | MetLife Inc. | | | 1,138,200 | |
| | 8,583 | | | Old Republic International Corp. | | | 179,041 | |
| | 8,315 | | | Principal Financial Group Inc. | | | 437,702 | |
| | 17,241 | | | Progressive Corp. (The) | | | 1,256,869 | |
| | 12,355 | | | Prudential Financial Inc. | | | 1,184,227 | |
| | 1,871 | | | Reinsurance Group of America Inc., Class A Shares | | | 270,341 | |
| | 1,189 | | | RenaissanceRe Holdings Ltd. | | | 174,842 | |
| | 3,061 | | | Torchmark Corp. | | | 252,716 | |
| | 7,857 | | | Travelers Cos., Inc. (The) | | | 1,044,274 | |
| | 6,396 | | | Unum Group | | | 238,955 | |
| | 93 | | | White Mountains Insurance Group Ltd. | | | 87,363 | |
| | 3,920 | | | Willis Towers Watson PLC | | | 674,318 | |
| | 2,682 | | | WR Berkley Corp. | | | 224,376 | |
| | | | | | | | |
| | | | Total Insurance | | | 55,007,269 | |
| | | | | | | | |
|
| | Mortgage Real Estate Investment Trusts (REITs) — 0.1% | |
| | 15,690 | | | AGNC Investment Corp. | | | 276,928 | |
| | 39,699 | | | Annaly Capital Management Inc. | | | 402,151 | |
| | 4,886 | | | Chimera Investment Corp. | | | 90,342 | |
| | 13,603 | | | MFA Financial Inc. | | | 98,894 | |
| | 10,994 | | | New Residential Investment Corp. | | | 181,841 | |
| | 8,134 | | | Starwood Property Trust Inc. | | | 182,446 | |
| | 7,445 | | | Two Harbors Investment Corp. | | | 103,262 | |
| | | | | | | | |
| | | | Total Mortgage Real Estate Investment Trusts (REITs) | | | 1,335,864 | |
| | | | | | | | |
|
| | Thrifts & Mortgage Finance — 0.0% | |
| | 14,234 | | | New York Community Bancorp Inc. | | | 178,068 | |
| | 1,501 | | | TFS Financial Corp. | | | 25,712 | |
| | | | | | | | |
| | | | Total Thrifts & Mortgage Finance | | | 203,780 | |
| | | | | | | | |
| | | | TOTAL FINANCIALS | | | 184,644,750 | |
| | | | | | | | |
|
| | HEALTH CARE — 15.0% | |
|
| | Biotechnology — 2.1% | |
| | 45,363 | | | AbbVie Inc. | | | 3,594,564 | |
| | 1,532 | | | Agios Pharmaceuticals Inc.* | | | 99,381 | |
| | 44,479 | | | Alexion Pharmaceuticals Inc.* | | | 6,019,343 | |
| | 4,562 | | | Alkermes PLC* | | | 151,778 | |
| | 2,756 | | | Alnylam Pharmaceuticals Inc.* | | | 234,260 | |
| | 19,082 | | | Amgen Inc. | | | 3,627,107 | |
| | 13,672 | | | Biogen Inc.* | | | 4,484,553 | |
| | 20,089 | | | BioMarin Pharmaceutical Inc.* | | | 1,873,500 | |
| | 1,493 | | | Bluebird Bio Inc.* | | | 231,743 | |
| | 20,882 | | | Celgene Corp.* | | | 1,735,712 | |
| | 25,824 | | | Exact Sciences Corp.* | | | 2,349,984 | |
| | 8,895 | | | Exelixis Inc.* | | | 199,159 | |
| | 38,745 | | | Gilead Sciences Inc. | | | 2,519,200 | |
| | 5,322 | | | Incyte Corp.* | | | 458,916 | |
| | 3,706 | | | Ionis Pharmaceuticals Inc.* | | | 263,089 | |
| | 2,701 | | | Neurocrine Biosciences Inc.* | | | 208,652 | |
| | 4,554 | | | Regeneron Pharmaceuticals Inc.* | | | 1,961,590 | |
| | 1,376 | | | Sage Therapeutics Inc.* | | | 219,128 | |
| | 7,974 | | | Sarepta Therapeutics Inc.* | | | 1,150,170 | |
| | 3,187 | | | Seattle Genetics Inc.* | | | 236,730 | |
| | 1,250 | | | United Therapeutics Corp.* | | | 157,862 | |
See Notes to Financial Statements.
12
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | HEALTH CARE — 15.0% — (continued) | |
|
| | Biotechnology — 2.1% — (continued) | |
| | 7,621 | | | Vertex Pharmaceuticals Inc.* | | $ | 1,438,464 | |
| | | | | | | | |
| | | | Total Biotechnology | | | 33,214,885 | |
| | | | | | | | |
|
| | Health Care Equipment & Supplies — 4.0% | |
| | 157,017 | | | Abbott Laboratories | | | 12,187,660 | |
| | 1,251 | | | ABIOMED Inc.* | | | 418,459 | |
| | 9,554 | | | Align Technology Inc.* | | | 2,474,199 | |
| | 118,502 | | | Baxter International Inc. | | | 8,855,654 | |
| | 7,928 | | | Becton Dickinson and Co. | | | 1,972,407 | |
| | 41,227 | | | Boston Scientific Corp.* | | | 1,654,027 | |
| | 1,115 | | | Cantel Medical Corp. | | | 81,975 | |
| | 1,466 | | | Cooper Cos., Inc. (The) | | | 419,261 | |
| | 18,500 | | | Danaher Corp. | | | 2,349,870 | |
| | 6,630 | | | DENTSPLY SIRONA Inc. | | | 276,869 | |
| | 2,647 | | | DexCom Inc.* | | | 368,807 | |
| | 17,621 | | | Edwards Lifesciences Corp.* | | | 2,983,059 | |
| | 2,045 | | | Hill-Rom Holdings Inc. | | | 216,872 | |
| | 7,900 | | | Hologic Inc.* | | | 372,485 | |
| | 472 | | | ICU Medical Inc.* | | | 115,999 | |
| | 16,003 | | | IDEXX Laboratories Inc.* | | | 3,377,113 | |
| | 1,710 | | | Insulet Corp.* | | | 160,586 | |
| | 2,146 | | | Integra LifeSciences Holdings Corp.* | | | 118,223 | |
| | 3,362 | | | Intuitive Surgical Inc.* | | | 1,841,065 | |
| | 1,399 | | | Masimo Corp.* | | | 183,661 | |
| | 207,571 | | | Medtronic PLC | | | 18,785,175 | |
| | 929 | | | Penumbra Inc.* | | | 124,179 | |
| | 4,262 | | | ResMed Inc. | | | 436,557 | |
| | 2,400 | | | STERIS PLC | | | 290,304 | |
| | 10,222 | | | Stryker Corp. | | | 1,926,949 | |
| | 1,382 | | | Teleflex Inc. | | | 400,559 | |
| | 2,774 | | | Varian Medical Systems Inc.* | | | 372,715 | |
| | 2,061 | | | West Pharmaceutical Services Inc. | | | 215,890 | |
| | 5,980 | | | Zimmer Biomet Holdings Inc. | | | 742,238 | |
| | | | | | | | |
| | | | Total Health Care Equipment & Supplies | | | 63,722,817 | |
| | | | | | | | |
|
| | Health Care Providers & Services — 3.9% | |
| | 2,622 | | | Acadia Healthcare Co., Inc.* | | | 68,932 | |
| | 4,691 | | | AmerisourceBergen Corp., Class A Shares | | | 390,760 | |
| | 7,788 | | | Anthem Inc. | | | 2,342,085 | |
| | 143,337 | | | Cardinal Health Inc. | | | 7,788,933 | |
| | 12,248 | | | Centene Corp.* | | | 745,781 | |
| | 446 | | | Chemed Corp. | | | 146,957 | |
| | 48,552 | | | Cigna Corp. | | | 8,469,411 | |
| | 1,840 | | | Covetrus Inc.* | | | 65,835 | |
| | 154,641 | | | CVS Health Corp. | | | 8,942,889 | |
| | 3,928 | | | DaVita Inc.* | | | 223,503 | |
| | 2,976 | | | Encompass Health Corp. | | | 187,905 | |
| | 66,012 | | | HCA Healthcare Inc. | | | 9,178,308 | |
| | 4,602 | | | Henry Schein Inc.* | | | 272,899 | |
| | 4,103 | | | Humana Inc. | | | 1,169,519 | |
| | 3,053 | | | Laboratory Corp. of America Holdings* | | | 452,577 | |
| | 5,754 | | | McKesson Corp. | | | 731,679 | |
| | 2,516 | | | MEDNAX Inc.* | | | 82,801 | |
| | 1,884 | | | Molina Healthcare Inc.* | | | 253,643 | |
| | 1,582 | | | Premier Inc., Class A Shares* | | | 57,869 | |
See Notes to Financial Statements.
13
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | HEALTH CARE — 15.0% — (continued) | |
|
| | Health Care Providers & Services — 3.9% — (continued) | |
| | 88,952 | | | Quest Diagnostics Inc. | | $ | 7,698,796 | |
| | 52,009 | | | UnitedHealth Group Inc. | | | 12,597,620 | |
| | 2,536 | | | Universal Health Services Inc., Class B Shares | | | 352,073 | |
| | 1,522 | | | WellCare Health Plans Inc.* | | | 385,949 | |
| | | | | | | | |
| | | | Total Health Care Providers & Services | | | 62,606,724 | |
| | | | | | | | |
|
| | Health Care Technology — 0.0% | |
| | 9,612 | | | Cerner Corp.* | | | 537,792 | |
| | 3,512 | | | Veeva Systems Inc., Class A Shares* | | | 414,100 | |
| | | | | | | | |
| | | | Total Health Care Technology | | | 951,892 | |
| | | | | | | | |
|
| | Life Sciences Tools & Services — 0.9% | |
| | 9,365 | | | Agilent Technologies Inc. | | | 743,955 | |
| | 641 | | | Bio-Rad Laboratories Inc., Class A Shares* | | | 173,647 | |
| | 1,139 | | | Bio-Techne Corp. | | | 220,852 | |
| | 3,043 | | | Bruker Corp. | | | 116,273 | |
| | 1,433 | | | Charles River Laboratories International Inc.* | | | 203,730 | |
| | 14,171 | | | Illumina Inc.* | | | 4,432,264 | |
| | 4,762 | | | IQVIA Holdings Inc.* | | | 667,156 | |
| | 744 | | | Mettler-Toledo International Inc.* | | | 506,597 | |
| | 3,336 | | | PerkinElmer Inc. | | | 314,118 | |
| | 1,697 | | | PRA Health Sciences Inc.* | | | 181,545 | |
| | 6,725 | | | QIAGEN NV* | | | 258,442 | |
| | 22,792 | | | Thermo Fisher Scientific Inc. | | | 5,916,119 | |
| | 2,277 | | | Waters Corp.* | | | 551,535 | |
| | | | | | | | |
| | | | Total Life Sciences Tools & Services | | | 14,286,233 | |
| | | | | | | | |
|
| | Pharmaceuticals — 4.1% | |
| | 10,140 | | | Allergan PLC | | | 1,396,379 | |
| | 95,962 | | | Bristol-Myers Squibb Co. | | | 4,957,397 | |
| | 4,437 | | | Catalent Inc.* | | | 191,767 | |
| | 2,200 | | | Elanco Animal Health Inc.*(a) | | | 66,528 | |
| | 28,146 | | | Eli Lilly & Co. | | | 3,554,558 | |
| | 1,661 | | | Jazz Pharmaceuticals PLC* | | | 232,590 | |
| | 148,474 | | | Johnson & Johnson | | | 20,287,487 | |
| | 176,516 | | | Merck & Co., Inc. | | | 14,348,986 | |
| | 15,567 | | | Mylan NV* | | | 410,813 | |
| | 4,870 | | | Nektar Therapeutics, Class A Shares* | | | 197,430 | |
| | 3,871 | | | Perrigo Co. PLC | | | 188,518 | |
| | 346,493 | | | Pfizer Inc. | | | 15,020,472 | |
| | 43,740 | | | Zoetis Inc., Class A Shares | | | 4,121,620 | |
| | | | | | | | |
| | | | Total Pharmaceuticals | | | 64,974,545 | |
| | | | | | | | |
| | | | TOTAL HEALTH CARE | | | 239,757,096 | |
| | | | | | | | |
|
| | INDUSTRIALS — 8.7% | |
|
| | Aerospace & Defense — 2.2% | |
| | 12,318 | | | Arconic Inc. | | | 227,760 | |
| | 16,030 | | | Boeing Co. (The) | | | 7,052,559 | |
| | 2,964 | | | BWX Technologies Inc. | | | 155,165 | |
| | 1,333 | | | Curtiss-Wright Corp. | | | 164,346 | |
| | 7,740 | | | General Dynamics Corp. | | | 1,317,503 | |
| | 3,596 | | | Harris Corp. | | | 593,088 | |
| | 1,179 | | | HEICO Corp. | | | 110,508 | |
| | 2,298 | | | HEICO Corp., Class A Shares | | | 183,817 | |
| | 2,703 | | | Hexcel Corp. | | | 194,994 | |
See Notes to Financial Statements.
14
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | INDUSTRIALS — 8.7% — (continued) | |
|
| | Aerospace & Defense — 2.2% — (continued) | |
| | 1,289 | | | Huntington Ingalls Industries Inc. | | $ | 269,929 | |
| | 2,375 | | | L3 Technologies Inc. | | | 502,906 | |
| | 7,425 | | | Lockheed Martin Corp. | | | 2,297,369 | |
| | 31,106 | | | Northrop Grumman Corp. | | | 9,019,496 | |
| | 48,986 | | | Raytheon Co. | | | 9,135,889 | |
| | 2,994 | | | Spirit AeroSystems Holdings Inc., Class A Shares | | | 295,807 | |
| | 1,089 | | | Teledyne Technologies Inc.* | | | 257,048 | |
| | 7,262 | | | Textron Inc. | | | 394,327 | |
| | 1,450 | | | TransDigm Group Inc.* | | | 629,430 | |
| | 24,257 | | | United Technologies Corp. | | | 3,048,377 | |
| | | | | | | | |
| | | | Total Aerospace & Defense | | | 35,850,318 | |
| | | | | | | | |
|
| | Air Freight & Logistics — 0.4% | |
| | 4,142 | | | CH Robinson Worldwide Inc. | | | 374,354 | |
| | 5,215 | | | Expeditors International of Washington Inc. | | | 390,864 | |
| | 7,301 | | | FedEx Corp. | | | 1,321,481 | |
| | 37,642 | | | United Parcel Service Inc., Class B Shares | | | 4,148,148 | |
| | 3,722 | | | XPO Logistics Inc.* | | | 187,403 | |
| | | | | | | | |
| | | | Total Air Freight & Logistics | | | 6,422,250 | |
| | | | | | | | |
|
| | Airlines — 0.2% | |
| | 3,643 | | | Alaska Air Group Inc. | | | 224,773 | |
| | 12,535 | | | American Airlines Group Inc. | | | 446,622 | |
| | 947 | | | Copa Holdings SA, Class A Shares | | | 83,497 | |
| | 18,978 | | | Delta Air Lines Inc. | | | 940,929 | |
| | 9,234 | | | JetBlue Airways Corp.* | | | 154,208 | |
| | 15,242 | | | Southwest Airlines Co. | | | 854,162 | |
| | 7,336 | | | United Continental Holdings Inc.* | | | 644,174 | |
| | | | | | | | |
| | | | Total Airlines | | | 3,348,365 | |
| | | | | | | | |
|
| | Building Products — 0.9% | |
| | 2,705 | | | Allegion PLC | | | 243,342 | |
| | 3,995 | | | AO Smith Corp. | | | 207,460 | |
| | 106,855 | | | Armstrong World Industries Inc. | | | 7,819,649 | |
| | 4,411 | | | Fortune Brands Home & Security Inc. | | | 207,846 | |
| | 133,502 | | | Johnson Controls International PLC | | | 4,708,616 | |
| | 1,086 | | | Lennox International Inc. | | | 266,342 | |
| | 9,240 | | | Masco Corp. | | | 347,054 | |
| | 3,119 | | | Owens Corning | | | 155,732 | |
| | 3,836 | | | Resideo Technologies Inc.* | | | 98,585 | |
| | 2,345 | | | USG Corp. | | | 101,093 | |
| | | | | | | | |
| | | | Total Building Products | | | 14,155,719 | |
| | | | | | | | |
|
| | Commercial Services & Supplies — 0.7% | |
| | 3,641 | | | ADT Inc.(a) | | | 29,128 | |
| | 2,648 | | | Cintas Corp. | | | 547,077 | |
| | 1,632 | | | Clean Harbors Inc.* | | | 110,976 | |
| | 6,147 | | | Copart Inc.* | | | 360,644 | |
| | 3,800 | | | KAR Auction Services Inc. | | | 179,170 | |
| | 6,599 | | | Republic Services Inc., Class A Shares | | | 517,560 | |
| | 4,293 | | | Rollins Inc. | | | 170,260 | |
| | 2,433 | | | Stericycle Inc.* | | | 108,463 | |
| | 92,846 | | | Waste Management Inc. | | | 9,400,658 | |
| | | | | | | | |
| | | | Total Commercial Services & Supplies | | | 11,423,936 | |
| | | | | | | | |
See Notes to Financial Statements.
15
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | INDUSTRIALS — 8.7% — (continued) | |
|
| | Construction & Engineering — 0.3% | |
| | 50,381 | | | AECOM* | | $ | 1,559,796 | |
| | 1,495 | | | Arcosa Inc. | | | 50,067 | |
| | 4,297 | | | Fluor Corp. | | | 161,567 | |
| | 3,864 | | | Jacobs Engineering Group Inc. | | | 285,086 | |
| | 54,106 | | | Quanta Services Inc. | | | 1,928,338 | |
| | 712 | | | Valmont Industries Inc. | | | 97,252 | |
| | | | | | | | |
| | | | Total Construction & Engineering | | | 4,082,106 | |
| | | | | | | | |
|
| | Electrical Equipment — 0.3% | |
| | 1,231 | | | Acuity Brands Inc. | | | 160,178 | |
| | 6,927 | | | AMETEK Inc. | | | 551,251 | |
| | 12,991 | | | Eaton Corp. PLC | | | 1,036,292 | |
| | 18,710 | | | Emerson Electric Co. | | | 1,275,087 | |
| | 1,240 | | | GrafTech International Ltd. | | | 17,881 | |
| | 1,654 | | | Hubbell Inc., Class B Shares | | | 195,255 | |
| | 4,861 | | | nVent Electric PLC | | | 133,580 | |
| | 1,395 | | | Regal Beloit Corp. | | | 116,845 | |
| | 3,515 | | | Rockwell Automation Inc. | | | 627,638 | |
| | 4,910 | | | Sensata Technologies Holding PLC* | | | 249,084 | |
| | | | | | | | |
| | | | Total Electrical Equipment | | | 4,363,091 | |
| | | | | | | | |
|
| | Industrial Conglomerates — 0.9% | |
| | 17,061 | | | 3M Co. | | | 3,538,281 | |
| | 1,627 | | | Carlisle Cos., Inc. | | | 200,251 | |
| | 258,046 | | | General Electric Co. | | | 2,681,098 | |
| | 40,711 | | | Honeywell International Inc. | | | 6,272,344 | |
| | 2,995 | | | Roper Technologies Inc. | | | 969,331 | |
| | | | | | | | |
| | | | Total Industrial Conglomerates | | | 13,661,305 | |
| | | | | | | | |
|
| | Machinery — 1.2% | |
| | 1,882 | | | AGCO Corp. | | | 127,186 | |
| | 3,176 | | | Allison Transmission Holdings Inc. | | | 157,847 | |
| | 28,660 | | | Caterpillar Inc. | | | 3,936,164 | |
| | 2,563 | | | Colfax Corp.* | | | 67,817 | |
| | 1,502 | | | Crane Co. | | | 127,024 | |
| | 4,400 | | | Cummins Inc. | | | 677,996 | |
| | 9,685 | | | Deere & Co. | | | 1,588,727 | |
| | 3,969 | | | Donaldson Co., Inc. | | | 204,761 | |
| | 4,194 | | | Dover Corp. | | | 379,683 | |
| | 4,008 | | | Flowserve Corp. | | | 177,995 | |
| | 8,840 | | | Fortive Corp. | | | 721,079 | |
| | 3,533 | | | Gardner Denver Holdings Inc.* | | | 94,861 | |
| | 1,535 | | | Gates Industrial Corp. PLC* | | | 24,714 | |
| | 5,044 | | | Graco Inc. | | | 236,866 | |
| | 2,325 | | | IDEX Corp. | | | 335,033 | |
| | 9,868 | | | Illinois Tool Works Inc. | | | 1,421,781 | |
| | 7,207 | | | Ingersoll-Rand PLC | | | 760,771 | |
| | 2,637 | | | ITT Inc. | | | 152,313 | |
| | 86,065 | | | Kennametal Inc. | | | 3,243,790 | |
| | 1,909 | | | Lincoln Electric Holdings Inc. | | | 164,976 | |
| | 1,701 | | | Middleby Corp. (The)* | | | 208,526 | |
| | 1,778 | | | Nordson Corp. | | | 241,381 | |
| | 2,203 | | | Oshkosh Corp. | | | 171,415 | |
| | 10,068 | | | PACCAR Inc. | | | 682,610 | |
| | 3,981 | | | Parker-Hannifin Corp. | | | 701,293 | |
See Notes to Financial Statements.
16
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | INDUSTRIALS — 8.7% — (continued) | |
|
| | Machinery — 1.2% — (continued) | |
| | 4,761 | | | Pentair PLC | | $ | 202,533 | |
| | 1,701 | | | Snap-on Inc. | | | 272,160 | |
| | 4,450 | | | Stanley Black & Decker Inc. | | | 589,314 | |
| | 1,856 | | | Terex Corp. | | | 62,343 | |
| | 2,241 | | | Timken Co. (The) | | | 97,237 | |
| | 3,216 | | | Toro Co. (The) | | | 220,553 | |
| | 4,485 | | | Trinity Industries Inc. | | | 104,994 | |
| | 1,579 | | | WABCO Holdings Inc.* | | | 217,160 | |
| | 3,781 | | | Wabtec Corp. | | | 276,996 | |
| | 4,028 | | | Welbilt Inc.* | | | 64,327 | |
| | 5,432 | | | Xylem Inc. | | | 410,388 | |
| | | | | | | | |
| | | | Total Machinery | | | 19,124,614 | |
| | | | | | | | |
|
| | Marine — 0.0% | |
| | 1,791 | | | Kirby Corp.* | | | 132,928 | |
| | | | | | | | |
|
| | Professional Services — 0.3% | |
| | 1,085 | | | CoStar Group Inc.* | | | 496,420 | |
| | 3,625 | | | Equifax Inc. | | | 396,974 | |
| | 43,909 | | | IHS Markit Ltd.* | | | 2,334,641 | |
| | 1,664 | | | ManpowerGroup Inc. | | | 140,192 | |
| | 10,819 | | | Nielsen Holdings PLC | | | 283,458 | |
| | 3,340 | | | Robert Half International Inc. | | | 227,755 | |
| | 5,579 | | | TransUnion | | | 360,180 | |
| | 4,683 | | | Verisk Analytics Inc., Class A Shares* | | | 592,072 | |
| | | | | | | | |
| | | | Total Professional Services | | | 4,831,692 | |
| | | | | | | | |
|
| | Road & Rail — 0.6% | |
| | 212 | | | AMERCO | | | 81,533 | |
| | 29,176 | | | Avis Budget Group Inc.* | | | 1,045,084 | |
| | 24,043 | | | CSX Corp. | | | 1,747,205 | |
| | 1,810 | | | Genesee & Wyoming Inc., Class A Shares* | | | 148,420 | |
| | 31,253 | | | Hertz Global Holdings Inc.* | | | 596,932 | |
| | 2,643 | | | JB Hunt Transport Services Inc. | | | 284,572 | |
| | 2,961 | | | Kansas City Southern | | | 321,683 | |
| | 3,825 | | | Knight-Swift Transportation Holdings Inc., Class A Shares(a) | | | 128,635 | |
| | 1,220 | | | Landstar System Inc. | | | 132,590 | |
| | 8,131 | | | Norfolk Southern Corp. | | | 1,457,888 | |
| | 1,890 | | | Old Dominion Freight Line Inc. | | | 284,955 | |
| | 1,485 | | | Ryder System Inc. | | | 92,308 | |
| | 1,355 | | | Schneider National Inc., Class B Shares | | | 29,661 | |
| | 22,146 | | | Union Pacific Corp. | | | 3,713,884 | |
| | | | | | | | |
| | | | Total Road & Rail | | | 10,065,350 | |
| | | | | | | | |
|
| | Trading Companies & Distributors — 0.7% | |
| | 57,129 | | | AerCap Holdings NV* | | | 2,578,803 | |
| | 2,908 | | | Air Lease Corp., Class A Shares | | | 108,643 | |
| | 8,720 | | | Fastenal Co. | | | 548,837 | |
| | 5,558 | | | HD Supply Holdings Inc.* | | | 239,049 | |
| | 1,183 | | | MSC Industrial Direct Co., Inc., Class A Shares | | | 99,857 | |
| | 29,739 | | | United Rentals Inc.* | | | 4,002,572 | |
| | 3,689 | | | Univar Inc.* | | | 83,408 | |
| | 967 | | | Watsco Inc. | | | 139,142 | |
| | 1,424 | | | WESCO International Inc.* | | | 77,537 | |
| | 10,008 | | | WW Grainger Inc. | | | 3,050,138 | |
| | | | | | | | |
| | | | Total Trading Companies & Distributors | | | 10,927,986 | |
| | | | | | | | |
See Notes to Financial Statements.
17
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | INDUSTRIALS — 8.7% — (continued) | |
|
| | Transportation Infrastructure — 0.0% | |
| | 2,411 | | | Macquarie Infrastructure Corp. | | $ | 98,586 | |
| | | | | | | | |
| | | | TOTAL INDUSTRIALS | | | 138,488,246 | |
| | | | | | | | |
|
| | INFORMATION TECHNOLOGY — 20.7% | |
|
| | Communications Equipment — 2.5% | |
| | 1,675 | | | Arista Networks Inc.* | | | 477,794 | |
| | 4,950 | | | ARRIS International PLC* | | | 156,816 | |
| | 588,130 | | | Cisco Systems Inc. | | | 30,447,490 | |
| | 60,572 | | | CommScope Holding Co., Inc.* | | | 1,411,933 | |
| | 1,572 | | | EchoStar Corp., Class A Shares* | | | 60,616 | |
| | 1,853 | | | F5 Networks Inc.* | | | 311,563 | |
| | 10,343 | | | Juniper Networks Inc. | | | 280,088 | |
| | 40,071 | | | Motorola Solutions Inc. | | | 5,734,962 | |
| | 455 | | | Ubiquiti Networks Inc.(a) | | | 65,698 | |
| | | | | | | | |
| | | | Total Communications Equipment | | | 38,946,960 | |
| | | | | | | | |
|
| | Electronic Equipment, Instruments & Components — 0.8% | |
| | 8,702 | | | Amphenol Corp., Class A Shares | | | 817,727 | |
| | 30,328 | | | Arrow Electronics Inc.* | | | 2,417,142 | |
| | 3,349 | | | Avnet Inc. | | | 145,648 | |
| | 4,441 | | | CDW Corp. | | | 416,965 | |
| | 49,514 | | | Cognex Corp. | | | 2,644,048 | |
| | 732 | | | Coherent Inc.* | | | 97,415 | |
| | 23,319 | | | Corning Inc. | | | 811,734 | |
| | 1,889 | | | Dolby Laboratories Inc., Class A Shares | | | 122,407 | |
| | 157,859 | | | Flex Ltd.* | | | 1,663,834 | |
| | 4,031 | | | FLIR Systems Inc. | | | 207,395 | |
| | 1,045 | | | IPG Photonics Corp.* | | | 162,006 | |
| | 4,795 | | | Jabil Inc. | | | 136,178 | |
| | 5,676 | | | Keysight Technologies Inc.* | | | 479,111 | |
| | 730 | | | Littelfuse Inc. | | | 140,956 | |
| | 3,346 | | | National Instruments Corp. | | | 156,392 | |
| | 11,774 | | | Tech Data Corp.* | | | 1,203,538 | |
| | 7,149 | | | Trimble Inc.* | | | 286,032 | |
| | 1,599 | | | Zebra Technologies Corp., Class A Shares* | | | 320,615 | |
| | | | | | | | |
| | | | Total Electronic Equipment, Instruments & Components | | | 12,229,143 | |
| | | | | | | | |
|
| | IT Services — 4.1% | |
| | 19,247 | | | Accenture PLC, Class A Shares | | | 3,106,081 | |
| | 38,973 | | | Akamai Technologies Inc.* | | | 2,714,859 | |
| | 20,036 | | | Alliance Data Systems Corp. | | | 3,466,228 | |
| | 4,102 | | | Amdocs Ltd. | | | 227,948 | |
| | 13,184 | | | Automatic Data Processing Inc. | | | 2,017,548 | |
| | 4,273 | | | Black Knight Inc.* | | | 223,264 | |
| | 4,229 | | | Booz Allen Hamilton Holding Corp., Class A Shares | | | 223,545 | |
| | 3,510 | | | Broadridge Financial Solutions Inc. | | | 355,388 | |
| | 17,394 | | | Cognizant Technology Solutions Corp., Class A Shares | | | 1,234,626 | |
| | 5,600 | | | Conduent Inc.* | | | 81,872 | |
| | 2,331 | | | CoreLogic Inc.* | | | 85,478 | |
| | 8,521 | | | DXC Technology Co. | | | 561,193 | |
| | 1,514 | | | EPAM Systems Inc.* | | | 244,935 | |
| | 1,457 | | | Euronet Worldwide Inc.* | | | 195,704 | |
| | 9,700 | | | Fidelity National Information Services Inc. | | | 1,049,055 | |
| | 16,232 | | | First Data Corp., Class A Shares* | | | 408,073 | |
| | 67,521 | | | Fiserv Inc.* | | | 5,718,354 | |
See Notes to Financial Statements.
18
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | INFORMATION TECHNOLOGY — 20.7% — (continued) | |
|
| | IT Services — 4.1% — (continued) | |
| | 2,664 | | | FleetCor Technologies Inc.* | | $ | 621,458 | |
| | 2,684 | | | Gartner Inc.* | | | 381,933 | |
| | 4,402 | | | Genpact Ltd. | | | 146,234 | |
| | 4,816 | | | Global Payments Inc. | | | 627,910 | |
| | 4,857 | | | GoDaddy Inc., Class A Shares* | | | 362,575 | |
| | 27,502 | | | International Business Machines Corp. | | | 3,798,851 | |
| | 2,335 | | | Jack Henry & Associates Inc. | | | 309,691 | |
| | 4,277 | | | Leidos Holdings Inc. | | | 276,251 | |
| | 27,502 | | | MasterCard Inc., Class A Shares | | | 6,181,625 | |
| | 2,489 | | | Okta Inc., Class A Shares* | | | 211,266 | |
| | 9,434 | | | Paychex Inc. | | | 726,607 | |
| | 91,111 | | | PayPal Holdings Inc.* | | | 8,935,256 | |
| | 8,217 | | | Sabre Corp. | | | 184,307 | |
| | 41,203 | | | Square Inc., Class A Shares* | | | 3,347,332 | |
| | 1,129 | | | Switch Inc., Class A Shares | | | 9,743 | |
| | 5,370 | | | Total System Services Inc. | | | 506,928 | |
| | 2,238 | | | Twilio Inc., Class A Shares* | | | 272,342 | |
| | 3,193 | | | VeriSign Inc.* | | | 568,482 | |
| | 102,037 | | | Visa Inc., Class A Shares | | | 15,113,720 | |
| | 13,175 | | | Western Union Co. (The) | | | 235,437 | |
| | 1,228 | | | WEX Inc.* | | | 218,658 | |
| | 8,839 | | | Worldpay Inc., Class A Shares* | | | 846,776 | |
| | | | | | | | |
| | | | Total IT Services | | | 65,797,533 | |
| | | | | | | | |
|
| | Semiconductors & Semiconductor Equipment — 5.3% | |
| | 28,413 | | | Advanced Micro Devices Inc.* | | | 668,558 | |
| | 137,088 | | | Analog Devices Inc. | | | 14,662,932 | |
| | 71,979 | | | Applied Materials Inc. | | | 2,759,675 | |
| | 59,095 | | | Broadcom Inc. | | | 16,272,399 | |
| | 10,661 | | | Cypress Semiconductor Corp. | | | 164,499 | |
| | 2,484 | | | First Solar Inc.* | | | 130,534 | |
| | 283,885 | | | Intel Corp. | | | 15,034,550 | |
| | 4,649 | | | KLA-Tencor Corp. | | | 536,913 | |
| | 4,564 | | | Lam Research Corp. | | | 803,675 | |
| | 15,787 | | | Marvell Technology Group Ltd. | | | 314,951 | |
| | 8,441 | | | Maxim Integrated Products Inc. | | | 459,444 | |
| | 75,476 | | | Microchip Technology Inc. | | | 6,556,600 | |
| | 33,724 | | | Micron Technology Inc.* | | | 1,378,637 | |
| | 1,547 | | | MKS Instruments Inc. | | | 128,200 | |
| | 1,199 | | | Monolithic Power Systems Inc. | | | 160,798 | |
| | 42,369 | | | NVIDIA Corp. | | | 6,535,842 | |
| | 10,164 | | | NXP Semiconductors NV | | | 928,176 | |
| | 11,784 | | | ON Semiconductor Corp.* | | | 253,120 | |
| | 3,782 | | | Qorvo Inc.* | | | 265,269 | |
| | 71,505 | | | QUALCOMM Inc. | | | 3,817,652 | |
| | 76,663 | | | Skyworks Solutions Inc. | | | 6,260,301 | |
| | 5,428 | | | Teradyne Inc. | | | 221,625 | |
| | 47,984 | | | Texas Instruments Inc. | | | 5,075,748 | |
| | 1,290 | | | Universal Display Corp. | | | 192,520 | |
| | 3,279 | | | Versum Materials Inc. | | | 160,671 | |
| | 7,650 | | | Xilinx Inc. | | | 958,545 | |
| | | | | | | | |
| | | | Total Semiconductors & Semiconductor Equipment | | | 84,701,834 | |
| | | | | | | | |
See Notes to Financial Statements.
19
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | INFORMATION TECHNOLOGY — 20.7% — (continued) | |
|
| | Software — 5.9% | |
| | 1,658 | | | 2U Inc.* | | $ | 122,195 | |
| | 39,865 | | | Adobe Inc.* | | | 10,464,563 | |
| | 2,527 | | | ANSYS Inc.* | | | 447,936 | |
| | 2,158 | | | Aspen Technology Inc.* | | | 217,332 | |
| | 3,009 | | | Atlassian Corp. PLC, Class A Shares* | | | 323,407 | |
| | 6,499 | | | Autodesk Inc.* | | | 1,059,402 | |
| | 8,467 | | | Cadence Design Systems Inc.* | | | 484,736 | |
| | 4,018 | | | CDK Global Inc. | | | 233,084 | |
| | 1,063 | | | Ceridian HCM Holding Inc.*(a) | | | 52,108 | |
| | 4,105 | | | Citrix Systems Inc. | | | 433,078 | |
| | 2,227 | | | DocuSign Inc., Class A Shares* | | | 122,819 | |
| | 245 | | | Elastic NV* | | | 22,187 | |
| | 869 | | | Fair Isaac Corp.* | | | 215,356 | |
| | 6,180 | | | FireEye Inc.* | | | 103,577 | |
| | 4,071 | | | Fortinet Inc.* | | | 353,322 | |
| | 2,492 | | | Guidewire Software Inc.* | | | 228,616 | |
| | 7,272 | | | Intuit Inc. | | | 1,797,129 | |
| | 1,467 | | | LogMeIn Inc. | | | 116,538 | |
| | 2,089 | | | Manhattan Associates Inc.* | | | 114,373 | |
| | 275,138 | | | Microsoft Corp. | | | 30,823,710 | |
| | 8,656 | | | Nuance Communications Inc.* | | | 145,161 | |
| | 33,011 | | | Nutanix Inc., Class A Shares* | | | 1,653,521 | |
| | 275,257 | | | Oracle Corp. | | | 14,349,147 | |
| | 12,608 | | | Palo Alto Networks Inc.* | | | 3,104,972 | |
| | 1,513 | | | Paycom Software Inc.* | | | 274,957 | |
| | 1,247 | | | Pegasystems Inc. | | | 81,940 | |
| | 724 | | | Pluralsight Inc., Class A Shares* | | | 23,537 | |
| | 1,473 | | | Proofpoint Inc.* | | | 173,947 | |
| | 3,564 | | | PTC Inc.* | | | 330,810 | |
| | 2,167 | | | RealPage Inc.* | | | 132,642 | |
| | 15,918 | | | Red Hat Inc.* | | | 2,906,627 | |
| | 2,069 | | | RingCentral Inc., Class A Shares* | | | 217,845 | |
| | 46,176 | | | salesforce.com Inc.* | | | 7,556,702 | |
| | 18,191 | | | ServiceNow Inc.* | | | 4,355,653 | |
| | 760 | | | SolarWinds Corp.* | | | 14,448 | |
| | 44,202 | | | Splunk Inc.* | | | 6,006,168 | |
| | 6,254 | | | SS&C Technologies Holdings Inc. | | | 385,121 | |
| | 19,269 | | | Symantec Corp. | | | 433,360 | |
| | 4,490 | | | Synopsys Inc.* | | | 456,543 | |
| | 2,163 | | | Tableau Software Inc., Class A Shares* | | | 285,300 | |
| | 3,599 | | | Teradata Corp.* | | | 174,084 | |
| | 1,169 | | | Tyler Technologies Inc.* | | | 239,400 | |
| | 900 | | | Ultimate Software Group Inc. (The)* | | | 298,350 | |
| | 11,169 | | | VMware Inc., Class A Shares | | | 1,918,946 | |
| | 4,390 | | | Workday Inc., Class A Shares* | | | 868,913 | |
| | 3,093 | | | Zendesk Inc.* | | | 244,409 | |
| | | | | | | | |
| | | | Total Software | | | 94,367,971 | |
| | | | | | | | |
|
| | Technology Hardware, Storage & Peripherals — 2.1% | |
| | 160,235 | | | Apple Inc. | | | 27,744,690 | |
| | 3,880 | | | Dell Technologies Inc., Class C Shares* | | | 216,582 | |
| | 43,124 | | | Hewlett Packard Enterprise Co. | | | 706,371 | |
| | 47,030 | | | HP Inc. | | | 927,902 | |
| | 3,855 | | | NCR Corp.* | | | 108,017 | |
| | 7,943 | | | NetApp Inc. | | | 517,884 | |
See Notes to Financial Statements.
20
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | INFORMATION TECHNOLOGY — 20.7% — (continued) | |
|
| | Technology Hardware, Storage & Peripherals — 2.1% — (continued) | |
| | 4,988 | | | Pure Storage Inc., Class A Shares* | | $ | 102,154 | |
| | 65,018 | | | Western Digital Corp. | | | 3,270,405 | |
| | 6,330 | | | Xerox Corp. | | | 195,597 | |
| | | | | | | | |
| | | | Total Technology Hardware, Storage & Peripherals | | | 33,789,602 | |
| | | | | | | | |
| | | | TOTAL INFORMATION TECHNOLOGY | | | 329,833,043 | |
| | | | | | | | |
|
| | MATERIALS — 3.1% | |
|
| | Chemicals — 2.0% | |
| | 6,524 | | | Air Products & Chemicals Inc. | | | 1,182,018 | |
| | 3,155 | | | Albemarle Corp. | | | 288,020 | |
| | 1,889 | | | Ashland Global Holdings Inc. | | | 146,171 | |
| | 6,581 | | | Axalta Coating Systems Ltd.* | | | 175,910 | |
| | 1,796 | | | Cabot Corp. | | | 84,196 | |
| | 47,112 | | | Celanese Corp., Class A Shares | | | 4,819,086 | |
| | 6,994 | | | CF Industries Holdings Inc. | | | 295,147 | |
| | 5,188 | | | Chemours Co. (The) | | | 197,300 | |
| | 203,298 | | | DowDuPont Inc. | | | 10,821,553 | |
| | 4,275 | | | Eastman Chemical Co. | | | 353,500 | |
| | 22,365 | | | Ecolab Inc. | | | 3,777,672 | |
| | 6,679 | | | Element Solutions Inc.* | | | 75,206 | |
| | 4,066 | | | FMC Corp. | | | 363,907 | |
| | 6,701 | | | Huntsman Corp. | | | 166,118 | |
| | 2,930 | | | International Flavors & Fragrances Inc. | | | 373,575 | |
| | 28,219 | | | Linde PLC | | | 4,888,660 | |
| | 9,374 | | | LyondellBasell Industries NV, Class A Shares | | | 801,664 | |
| | 10,650 | | | Mosaic Co. (The) | | | 333,026 | |
| | 234 | | | NewMarket Corp. | | | 102,726 | |
| | 4,873 | | | Olin Corp. | | | 126,016 | |
| | 7,264 | | | PPG Industries Inc. | | | 813,350 | |
| | 3,982 | | | RPM International Inc. | | | 230,438 | |
| | 1,020 | | | ScottsMiracle-Gro Co. (The) | | | 83,538 | |
| | 2,470 | | | Sherwin-Williams Co. (The) | | | 1,070,004 | |
| | 5,782 | | | Valvoline Inc. | | | 108,644 | |
| | 1,104 | | | Westlake Chemical Corp. | | | 77,136 | |
| | 1,990 | | | WR Grace & Co. | | | 154,563 | |
| | | | | | | | |
| | | | Total Chemicals | | | 31,909,144 | |
| | | | | | | | |
|
| | Construction Materials — 0.5% | |
| | 1,405 | | | Eagle Materials Inc. | | | 107,398 | |
| | 1,905 | | | Martin Marietta Materials Inc. | | | 357,759 | |
| | 75,591 | | | Vulcan Materials Co. | | | 8,425,373 | |
| | | | | | | | |
| | | | Total Construction Materials | | | 8,890,530 | |
| | | | | | | | |
|
| | Containers & Packaging — 0.4% | |
| | 1,936 | | | AptarGroup Inc. | | | 196,949 | |
| | 2,661 | | | Avery Dennison Corp. | | | 287,494 | |
| | 9,769 | | | Ball Corp. | | | 535,146 | |
| | 2,799 | | | Bemis Co., Inc. | | | 148,067 | |
| | 3,850 | | | Berry Global Group Inc.* | | | 202,010 | |
| | 44,495 | | | Crown Holdings Inc.* | | | 2,415,634 | |
| | 9,380 | | | Graphic Packaging Holding Co. | | | 114,248 | |
| | 12,397 | | | International Paper Co. | | | 568,031 | |
| | 52,036 | | | Owens-Illinois Inc. | | | 1,036,557 | |
| | 2,656 | | | Packaging Corp. of America | | | 253,887 | |
| | 4,740 | | | Sealed Air Corp. | | | 206,759 | |
See Notes to Financial Statements.
21
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | MATERIALS — 3.1% — (continued) | |
|
| | Containers & Packaging — 0.4% — (continued) | |
| | 2,343 | | | Silgan Holdings Inc. | | $ | 66,330 | |
| | 2,921 | | | Sonoco Products Co. | | | 169,097 | |
| | 7,617 | | | WestRock Co. | | | 284,723 | |
| | | | | | | | |
| | | | Total Containers & Packaging | | | 6,484,932 | |
| | | | | | | | |
|
| | Metals & Mining — 0.2% | |
| | 5,826 | | | Alcoa Corp.* | | | 171,867 | |
| | 43,914 | | | Freeport-McMoRan Inc. | | | 566,491 | |
| | 15,595 | | | Newmont Mining Corp. | | | 532,101 | |
| | 9,527 | | | Nucor Corp. | | | 577,050 | |
| | 2,070 | | | Reliance Steel & Aluminum Co. | | | 184,748 | |
| | 1,976 | | | Royal Gold Inc. | | | 174,698 | |
| | 2,499 | | | Southern Copper Corp. | | | 88,989 | |
| | 6,671 | | | Steel Dynamics Inc. | | | 248,962 | |
| | 5,189 | | | United States Steel Corp. | | | 116,285 | |
| | | | | | | | |
| | | | Total Metals & Mining | | | 2,661,191 | |
| | | | | | | | |
|
| | Paper & Forest Products — 0.0% | |
| | 1,892 | | | Domtar Corp. | | | 96,322 | |
| | | | | | | | |
| | | | TOTAL MATERIALS | | | 50,042,119 | |
| | | | | | | | |
|
| | REAL ESTATE — 2.4% | |
|
| | Equity Real Estate Investment Trusts (REITs) — 2.4% | |
| | 3,239 | | | Alexandria Real Estate Equities Inc. | | | 440,148 | |
| | 4,129 | | | American Campus Communities Inc. | | | 186,053 | |
| | 7,835 | | | American Homes 4 Rent, Class A Shares | | | 171,116 | |
| | 13,126 | | | American Tower Corp. | | | 2,312,145 | |
| | 4,243 | | | Apartment Investment & Management Co., Class A Shares | | | 207,610 | |
| | 6,567 | | | Apple Hospitality REIT Inc. | | | 108,224 | |
| | 4,071 | | | AvalonBay Communities Inc. | | | 792,339 | |
| | 4,684 | | | Boston Properties Inc. | | | 621,520 | |
| | 5,324 | | | Brandywine Realty Trust | | | 83,693 | |
| | 8,712 | | | Brixmor Property Group Inc. | | | 152,111 | |
| | 3,806 | | | Brookfield Property REIT Inc., Class A Shares | | | 74,674 | |
| | 2,732 | | | Camden Property Trust | | | 267,982 | |
| | 15,766 | | | Colony Capital Inc. | | | 87,659 | |
| | 3,586 | | | Columbia Property Trust Inc. | | | 77,565 | |
| | 1,103 | | | CoreSite Realty Corp. | | | 112,782 | |
| | 2,886 | | | Corporate Office Properties Trust | | | 75,007 | |
| | 12,389 | | | Crown Castle International Corp. | | | 1,471,194 | |
| | 5,631 | | | CubeSmart | | | 172,534 | |
| | 3,175 | | | CyrusOne Inc. | | | 158,242 | |
| | 6,042 | | | Digital Realty Trust Inc. | | | 683,471 | |
| | 4,678 | | | Douglas Emmett Inc. | | | 180,571 | |
| | 10,304 | | | Duke Realty Corp. | | | 304,689 | |
| | 4,296 | | | Empire State Realty Trust Inc., Class A Shares | | | 65,385 | |
| | 2,164 | | | EPR Properties | | | 159,011 | |
| | 7,473 | | | Equinix Inc. | | | 3,164,815 | |
| | 3,561 | | | Equity Commonwealth | | | 116,267 | |
| | 2,596 | | | Equity LifeStyle Properties Inc. | | | 282,029 | |
| | 117,231 | | | Equity Residential | | | 8,638,752 | |
| | 1,994 | | | Essex Property Trust Inc. | | | 558,001 | |
| | 3,698 | | | Extra Space Storage Inc. | | | 354,786 | |
| | 2,077 | | | Federal Realty Investment Trust | | | 277,466 | |
| | 5,644 | | | Gaming and Leisure Properties Inc. | | | 205,329 | |
See Notes to Financial Statements.
22
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | REAL ESTATE — 2.4% — (continued) | |
|
| | Equity Real Estate Investment Trusts (REITs) — 2.4% — (continued) | |
| | 14,270 | | | HCP Inc. | | $ | 439,088 | |
| | 6,097 | | | Healthcare Trust of America Inc., Class A Shares | | | 173,703 | |
| | 3,080 | | | Highwoods Properties Inc. | | | 142,635 | |
| | 4,714 | | | Hospitality Properties Trust | | | 127,608 | |
| | 22,216 | | | Host Hotels & Resorts Inc. | | | 435,656 | |
| | 4,784 | | | Hudson Pacific Properties Inc. | | | 158,924 | |
| | 8,858 | | | Invitation Homes Inc. | | | 203,734 | |
| | 8,617 | | | Iron Mountain Inc. | | | 305,214 | |
| | 3,340 | | | JBG SMITH Properties | | | 134,569 | |
| | 2,901 | | | Kilroy Realty Corp. | | | 213,833 | |
| | 12,660 | | | Kimco Realty Corp. | | | 222,689 | |
| | 2,524 | | | Lamar Advertising Co., Class A Shares | | | 195,787 | |
| | 4,487 | | | Liberty Property Trust | | | 212,370 | |
| | 1,390 | | | Life Storage Inc. | | | 135,664 | |
| | 4,219 | | | Macerich Co. (The) | | | 183,948 | |
| | 11,192 | | | Medical Properties Trust Inc. | | | 204,030 | |
| | 3,289 | | | Mid-America Apartment Communities Inc. | | | 340,675 | |
| | 4,804 | | | National Retail Properties Inc. | | | 250,288 | |
| | 5,934 | | | Omega Healthcare Investors Inc. | | | 213,031 | |
| | 4,199 | | | Outfront Media Inc. | | | 94,226 | |
| | 6,198 | | | Paramount Group Inc. | | | 89,003 | |
| | 6,160 | | | Park Hotels & Resorts Inc. | | | 192,438 | |
| | 18,648 | | | Prologis Inc. | | | 1,306,479 | |
| | 4,401 | | | Public Storage | | | 930,767 | |
| | 3,908 | | | Rayonier Inc. | | | 115,169 | |
| | 8,668 | | | Realty Income Corp. | | | 599,479 | |
| | 4,353 | | | Regency Centers Corp. | | | 284,033 | |
| | 6,518 | | | Retail Properties of America Inc., Class A Shares | | | 81,214 | |
| | 552 | | | Retail Value Inc. | | | 17,184 | |
| | 3,275 | | | SBA Communications Corp., Class A Shares* | | | 591,334 | |
| | 7,126 | | | Senior Housing Properties Trust | | | 92,282 | |
| | 9,220 | | | Simon Property Group Inc. | | | 1,670,295 | |
| | 4,627 | | | SITE Centers Corp. | | | 61,770 | |
| | 2,498 | | | SL Green Realty Corp. | | | 226,619 | |
| | 2,596 | | | Spirit Realty Capital Inc. | | | 100,309 | |
| | 5,833 | | | STORE Capital Corp. | | | 189,397 | |
| | 2,551 | | | Sun Communities Inc. | | | 289,717 | |
| | 1,860 | | | Taubman Centers Inc. | | | 99,287 | |
| | 7,656 | | | UDR Inc. | | | 340,079 | |
| | 4,745 | | | Uniti Group Inc. | | | 45,742 | |
| | 10,464 | | | Ventas Inc. | | | 656,616 | |
| | 29,408 | | | VEREIT Inc. | | | 234,382 | |
| | 12,160 | | | VICI Properties Inc. | | | 259,130 | |
| | 5,005 | | | Vornado Realty Trust | | | 336,887 | |
| | 3,622 | | | Weingarten Realty Investors | | | 104,350 | |
| | 10,999 | | | Welltower Inc. | | | 817,336 | |
| | 22,639 | | | Weyerhaeuser Co. | | | 563,485 | |
| | 4,817 | | | WP Carey Inc. | | | 355,832 | |
| | | | | | | | |
| | | | Total Equity Real Estate Investment Trusts (REITs) | | | 37,601,457 | |
| | | | | | | | |
|
| | Real Estate Management & Development — 0.0% | |
| | 9,632 | | | CBRE Group Inc., Class A Shares* | | | 479,288 | |
| | 1,168 | | | Howard Hughes Corp. (The)* | | | 130,092 | |
| | 1,355 | | | Jones Lang LaSalle Inc. | | | 223,738 | |
See Notes to Financial Statements.
23
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | REAL ESTATE — 2.4% — (continued) | |
|
| | Real Estate Management & Development — 0.0% — (continued) | |
| | 3,371 | | | Realogy Holdings Corp. | | $ | 45,846 | |
| | | | | | | | |
| | | | Total Real Estate Management & Development | | | 878,964 | |
| | | | | | | | |
| | | | TOTAL REAL ESTATE | | | 38,480,421 | |
| | | | | | | | |
|
| | UTILITIES — 2.0% | |
|
| | Electric Utilities — 1.4% | |
| | 7,164 | | | Alliant Energy Corp. | | | 328,613 | |
| | 14,667 | | | American Electric Power Co., Inc. | | | 1,190,227 | |
| | 1,700 | | | Avangrid Inc. | | | 82,195 | |
| | 21,342 | | | Duke Energy Corp. | | | 1,913,524 | |
| | 130,088 | | | Edison International | | | 7,790,970 | |
| | 5,483 | | | Entergy Corp. | | | 511,728 | |
| | 7,674 | | | Evergy Inc. | | | 429,053 | |
| | 9,557 | | | Eversource Energy | | | 667,174 | |
| | 28,813 | | | Exelon Corp. | | | 1,400,024 | |
| | 14,304 | | | FirstEnergy Corp. | | | 582,888 | |
| | 3,142 | | | Hawaiian Electric Industries Inc. | | | 120,276 | |
| | 14,291 | | | NextEra Energy Inc. | | | 2,682,707 | |
| | 5,952 | | | OGE Energy Corp. | | | 253,079 | |
| | 15,677 | | | PG&E Corp.* | | | 266,979 | |
| | 3,384 | | | Pinnacle West Capital Corp. | | | 317,216 | |
| | 21,201 | | | PPL Corp. | | | 682,036 | |
| | 30,793 | | | Southern Co. (The) | | | 1,530,104 | |
| | 15,024 | | | Xcel Energy Inc. | | | 824,217 | |
| | | | | | | | |
| | | | Total Electric Utilities | | | 21,573,010 | |
| | | | | | | | |
|
| | Gas Utilities — 0.0% | |
| | 3,336 | | | Atmos Energy Corp. | | | 329,764 | |
| | 2,461 | | | National Fuel Gas Co. | | | 148,127 | |
| | 5,241 | | | UGI Corp. | | | 287,731 | |
| | | | | | | | |
| | | | Total Gas Utilities | | | 765,622 | |
| | | | | | | | |
|
| | Independent Power and Renewable Electricity Producers — 0.1% | |
| | 20,048 | | | AES Corp. | | | 345,427 | |
| | 8,784 | | | NRG Energy Inc. | | | 366,117 | |
| | 11,989 | | | Vistra Energy Corp.* | | | 312,194 | |
| | | | | | | | |
| | | | Total Independent Power and Renewable Electricity Producers | | | 1,023,738 | |
| | | | | | | | |
|
| | Multi-Utilities — 0.5% | |
| | 7,372 | | | Ameren Corp. | | | 525,181 | |
| | 15,214 | | | CenterPoint Energy Inc. | | | 458,550 | |
| | 8,543 | | | CMS Energy Corp. | | | 464,739 | |
| | 9,377 | | | Consolidated Edison Inc. | | | 773,134 | |
| | 22,334 | | | Dominion Energy Inc. | | | 1,654,726 | |
| | 5,306 | | | DTE Energy Co. | | | 655,609 | |
| | 5,807 | | | MDU Resources Group Inc. | | | 153,421 | |
| | 11,000 | | | NiSource Inc. | | | 296,780 | |
| | 15,192 | | | Public Service Enterprise Group Inc. | | | 893,441 | |
| | 8,113 | | | Sempra Energy | | | 977,130 | |
| | 9,278 | | | WEC Energy Group Inc. | | | 707,726 | |
| | | | | | | | |
| | | | Total Multi-Utilities | | | 7,560,437 | |
| | | | | | | | |
See Notes to Financial Statements.
24
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | UTILITIES — 2.0% — (continued) | |
|
| | Water Utilities — 0.0% | |
| | 5,321 | | | American Water Works Co., Inc. | | $ | 540,720 | |
| | 5,458 | | | Aqua America Inc. | | | 196,161 | |
| | | | | | | | |
| | | | Total Water Utilities | | | 736,881 | |
| | | | | | | | |
| | | | TOTAL UTILITIES | | | 31,659,688 | |
| | | | | | | | |
| | | | TOTAL COMMON STOCKS
(Cost — $992,618,826) | | | 1,469,935,354 | |
| | | | | | | | |
|
| | CLOSED END MUTUAL FUND SECURITY — 5.0% | |
|
| | FINANCIALS — 5.0% | |
|
| | Capital Markets — 5.0% | |
| | 1,440,000 | | | iShares Core S&P U.S. Value, Common Class(a)
(Cost — $81,849,456) | | | 78,739,200 | |
| | | | | | | | |
| | | | TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS
(Cost — $1,074,468,282) | | | 1,548,674,554 | |
| | | | | | | | |
| | |
Face
Amount† | | | | | | |
|
| | SHORT-TERM INVESTMENTS (c) — 2.4% | |
|
| | MONEY MARKET FUND — 0.3% | |
| $ | 5,166,691 | | | Invesco STIT — Government & Agency Portfolio, 2.308%, Institutional Class(d)
(Cost — $5,166,691) | | | 5,166,691 | |
| | | | | | | | |
|
| | TIME DEPOSITS — 2.1% | |
| | 12,069,027 | | | Banco Santander SA — Frankfurt, 1.750% due 3/1/19 | | | 12,069,027 | |
| | 3,079,277 | | | Barclays Bank PLC — London, 1.750% due 3/1/19 | | | 3,079,277 | |
| | 14,293 | CAD | | BBH — Grand Cayman, 0.820% due 3/1/19 | | | 10,863 | |
| | 5,339,618 | | | Citibank — New York, 1.750% due 3/1/19 | | | 5,339,618 | |
| | 9,881,474 | | | JPMorgan Chase & Co. — New York, 1.750% due 3/1/19 | | | 9,881,474 | |
| | 2,994,821 | | | Standard Chartered Bank — London, 1.750% due 3/1/19 | | | 2,994,821 | |
| | | | | | | | |
| | | | TOTAL TIME DEPOSITS
(Cost — $33,375,080) | | | 33,375,080 | |
| | | | | | | | |
| | | | TOTAL SHORT-TERM INVESTMENTS
(Cost — $38,541,771) | | | 38,541,771 | |
| | | | | | | | |
| | | | TOTAL INVESTMENTS — 99.5%
(Cost — $1,113,010,053) | | | 1,587,216,325 | |
| | | | | | | | |
| | | | Other Assets in Excess of Liabilities — 0.5% | | | 8,245,522 | |
| | | | | | | | |
| | | | TOTAL NET ASSETS — 100.0% | | $ | 1,595,461,847 | |
| | | | | | | | |
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
| * | Non-income producing security. |
| (a) | All or a portion of this security is on loan (See Note 1). |
| (b) | Affiliated security (See Note 2). As of February 28, 2019, total cost and total market value of affiliated securities amounted to $876,827 and $1,523,622, respectively. |
| (c) | Inclusive of all short-term holdings, including collateral received from securities lending activities. Excluding such collateral, the percentage of portfolio holdings would be 2.1%. |
| (d) | Represents investment of collateral received from securities lending transactions. |
See Notes to Financial Statements.
25
At February 28, 2019, for Large Cap Equity Fund the aggregate cost of investments, the aggregate gross unrealized appreciation and depreciation of all investments for federal income tax purposes were as follows:
| | | | | | | | | | | | | | | | |
| Fund | | Aggregate Cost for
Federal Income
Tax Purposes | | | Gross Unrealized
Appreciation | | | Gross Unrealized
Depreciation | | | Net Unrealized
Appreciation | |
Large Cap Equity Fund | | $ | 1,113,010,053 | | | $ | 516,493,510 | | | $ | (41,316,660) | | | $ | 475,176,850 | |
| | |
Abbreviations used in this schedule: |
| ADR | | —American Depositary Receipts |
| PLC | | —Public Limited Company |
| REIT | | —Real Estate Investment Trust |
| | | | |
| Summary of Investments by Security Sector^ | | | |
Information Technology | | | 20.8 | % |
Financials | | | 16.6 | |
Health Care | | | 15.1 | |
Consumer Discretionary | | | 9.9 | |
Industrials | | | 8.7 | |
Communication Services | | | 7.9 | |
Consumer Staples | | | 5.7 | |
Energy | | | 5.3 | |
Materials | | | 3.2 | |
Real Estate | | | 2.4 | |
Utilities | | | 2.0 | |
Short-Term Investments | | | 2.4 | |
| | | | |
| | | 100.0 | % |
| | | | |
| ^ | As a percentage of total investments. |
At February 28, 2019, Large Cap Equity Fund had open exchange-traded futures contracts as described below.
The unrealized appreciation on the open contracts reflected in the accompanying financial statements were as follows:
| | | | | | | | | | | | | | | | | | | | |
| Open Futures Contracts | | Number of
Contracts | | | Expiration
Date
(Month/Year) | | | Notional
Amount | | | Market Value | | | Unrealized
Appreciation | |
| Contracts to Buy: | | | | | | | | | | | | | | | | | | | | |
S&P 500E-mini Index March Futures | | | 93 | | | | 3/19 | | | $ | 12,067,335 | | | $ | 12,949,087 | | | $ | 881,752 | |
S&P MidCap 400E-mini Index March Futures | | | 5 | | | | 3/19 | | | | 866,574 | | | | 955,400 | | | | 88,826 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | 970,578 | |
| | | | | | | | | | | | | | | | | | | | |
At February 28, 2019, Large Cap Equity Fund had deposited cash of $592,984 with a broker or brokers as margin collateral on an open exchange-traded futures contracts.
| | |
Currency Abbreviation used in this schedule: |
| CAD | | —Canadian Dollar |
See Notes to Financial Statements.
26
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | | | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | COMMON STOCKS — 93.1% | |
|
| | COMMUNICATION SERVICES — 1.7% | |
|
| | Diversified Telecommunication Services — 0.1% | |
| | 380 | | | | | ATN International Inc. | | $ | 21,329 | |
| | 1,656 | | | | | Cincinnati Bell Inc.* | | | 16,063 | |
| | 1,462 | | | | | Cogent Communications Holdings Inc. | | | 71,214 | |
| | 2,344 | | | | | Consolidated Communications Holdings Inc. | | | 23,276 | |
| | 3,297 | | | | | Frontier Communications Corp.*(a) | | | 10,056 | |
| | 2,035 | | | | | Intelsat SA* | | | 49,003 | |
| | 3,362 | | | | | Iridium Communications Inc.* | | | 71,577 | |
| | 695 | | | | | Ooma Inc.* | | | 11,335 | |
| | 2,469 | | | | | ORBCOMM Inc.* | | | 17,407 | |
| | 314 | | | | | pdvWireless Inc.* | | | 12,334 | |
| | 7,727 | | | | | Vonage Holdings Corp.* | | | 79,434 | |
| | 1,458 | | | | | Windstream Holdings Inc.*(a) | | | 583 | |
| | 8,256 | | | | | Zayo Group Holdings Inc.* | | | 204,749 | |
| | | | | | | | | | |
| | | | | | Total Diversified Telecommunication Services | | | 588,360 | |
| | | | | | | | | | |
|
| | Entertainment — 0.6% | |
| | 1,941 | | | | | AMC Entertainment Holdings Inc., Class A Shares(a) | | | 27,232 | |
| | 3,917 | | | | | Cinemark Holdings Inc. | | | 147,397 | |
| | 3,521 | | | | | Electronic Arts Inc.* | | | 337,241 | |
| | 1,081 | | | | | Eros International PLC* | | | 10,388 | |
| | 3,833 | | | | | Glu Mobile Inc.* | | | 34,420 | |
| | 1,863 | | | | | IMAX Corp.* | | | 42,681 | |
| | 367 | | | | | Liberty Media Corp-Liberty Braves, Class A Shares* | | | 10,188 | |
| | 1,316 | | | | | Liberty Media Corp-Liberty Braves, Class C Shares* | | | 36,637 | |
| | 895 | | | | | Liberty Media Corp-Liberty Formula One, Class A Shares* | | | 27,512 | |
| | 7,205 | | | | | Liberty Media Corp-Liberty Formula One, Class C Shares* | | | 224,220 | |
| | 1,654 | | | | | Lions Gate Entertainment Corp., Class A Shares | | | 25,554 | |
| | 3,800 | | | | | Lions Gate Entertainment Corp., Class B Shares | | | 55,822 | |
| | 5,049 | | | | | Live Nation Entertainment Inc.* | | | 285,572 | |
| | 1,068 | | | | | LiveXLive Media Inc.*(a) | | | 6,355 | |
| | 3,911 | | | | | Madison Square Garden Co. (The), Class A Shares* | | | 1,126,916 | |
| | 708 | | | | | Marcus Corp. (The) | | | 30,012 | |
| | 609 | | | | | Reading International Inc., Class A Shares* | | | 9,811 | |
| | 699 | | | | | Rosetta Stone Inc.* | | | 11,261 | |
| | 1,510 | | | | | World Wrestling Entertainment Inc., Class A Shares | | | 126,387 | |
| | 28,026 | | | | | Zynga Inc., Class A Shares* | | | 146,296 | |
| | | | | | | | | | |
| | | | | | Total Entertainment | | | 2,721,902 | |
| | | | | | | | | | |
|
| | Interactive Media & Services — 0.2% | |
| | 735 | | | | | Care.com Inc.* | | | 18,515 | |
| | 1,752 | | | | | Cargurus Inc., Class A Shares* | | | 74,863 | |
| | 2,481 | | | | | Cars.com Inc.* | | | 58,403 | |
| | 2,534 | | | | | Liberty TripAdvisor Holdings Inc., Class A Shares* | | | 38,238 | |
| | 1,942 | | | | | Match Group Inc.(a) | | | 107,548 | |
| | 2,635 | | | | | Meet Group Inc. (The)* | | | 15,810 | |
| | 1,616 | | | | | QuinStreet Inc.* | | | 21,638 | |
| | 118 | | | | | Travelzoo* | | | 1,566 | |
| | 3,783 | | | | | TripAdvisor Inc.* | | | 201,142 | |
| | 3,426 | | | | | TrueCar Inc.* | | | 24,804 | |
| | 2,988 | | | | | Yelp Inc., Class A Shares* | | | 111,333 | |
| | 2,153 | | | | | Zillow Group Inc., Class A Shares* | | | 89,199 | |
| | 4,272 | | | | | Zillow Group Inc., Class C Shares* | | | 178,569 | |
| | | | | | | | | | |
| | | | | | Total Interactive Media & Services | | | 941,628 | |
| | | | | | | | | | |
See Notes to Financial Statements.
27
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | | | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | COMMUNICATION SERVICES — 1.7% — (continued) | |
|
| | Media — 0.7% | |
| | 1,543 | | | | | AMC Networks Inc., Class A Shares* | | $ | 101,391 | |
| | 444 | | | | | Beasley Broadcast Group Inc., Class A Shares | | | 1,825 | |
| | 110 | | | | | Boston Omaha Corp., Class A Shares* | | | 2,748 | |
| | 159 | | | | | Cable One Inc. | | | 150,889 | |
| | 175 | | | | | Cardlytics Inc.* | | | 3,084 | |
| | 3,403 | | | | | Central European Media Enterprises Ltd., Class A Shares* | | | 11,945 | |
| | 1,440 | | | | | Clear Channel Outdoor Holdings Inc., Class A Shares* | | | 7,891 | |
| | 16,500 | | | | | Criteo SA, ADR* | | | 447,810 | |
| | 40 | | | | | Daily Journal Corp.*(a) | | | 9,000 | |
| | 930 | | | | | Emerald Expositions Events Inc. | | | 11,699 | |
| | 4,290 | | | | | Entercom Communications Corp., Class A Shares | | | 26,426 | |
| | 2,760 | | | | | Entravision Communications Corp., Class A Shares | | | 10,902 | |
| | 1,633 | | | | | EW Scripps Co. (The), Class A Shares | | | 34,538 | |
| | 1,858 | | | | | Fluent Inc.*(a) | | | 9,494 | |
| | 3,911 | | | | | Gannett Co., Inc. | | | 45,915 | |
| | 3,660 | | | | | GCI Liberty Inc., Class A Shares* | | | 195,956 | |
| | 2,790 | | | | | Gray Television Inc.* | | | 61,129 | |
| | 634 | | | | | Hemisphere Media Group Inc., Class A Shares* | | | 8,813 | |
| | 13,953 | | | | | Interpublic Group of Cos., Inc. (The) | | | 321,338 | |
| | 1,555 | | | | | John Wiley & Sons Inc., Class A Shares | | | 80,689 | |
| | 1,808 | | | | | Liberty Latin America Ltd., Class A Shares* | | | 35,473 | |
| | 3,927 | | | | | Liberty Latin America Ltd., Class C Shares* | | | 76,145 | |
| | 409 | | | | | Loral Space & Communications Inc.* | | | 16,732 | |
| | 2,388 | | | | | MDC Partners Inc., Class A Shares* | | | 7,928 | |
| | 1,379 | | | | | Meredith Corp.(a) | | | 78,975 | |
| | 17,355 | | | | | MSG Networks Inc., Class A Shares* | | | 418,950 | |
| | 2,889 | | | | | National CineMedia Inc. | | | 22,361 | |
| | 2,003 | | | | | New Media Investment Group Inc. | | | 26,680 | |
| | 4,780 | | | | | New York Times Co. (The), Class A Shares | | | 157,023 | |
| | 6,308 | | | | | Nexstar Media Group Inc., Class A Shares | | | 616,481 | |
| | 152 | | | | | Saga Communications Inc., Class A Shares | | | 5,107 | |
| | 978 | | | | | Scholastic Corp. | | | 41,379 | |
| | 2,351 | | | | | Sinclair Broadcast Group Inc., Class A Shares | | | 84,871 | |
| | 802 | | | | | TechTarget Inc.* | | | 13,297 | |
| | 7,613 | | | | | TEGNA Inc. | | | 100,263 | |
| | 3,199 | | | | | Tribune Media Co., Class A Shares | | | 147,890 | |
| | 653 | | | | | Tribune Publishing Co.* | | | 7,875 | |
| | 1,084 | | | | | WideOpenWest Inc.* | | | 8,910 | |
| | | | | | | | | | |
| | | | | | Total Media | | | 3,409,822 | |
| | | | | | | | | | |
|
| | Wireless Telecommunication Services — 0.1% | |
| | 1,519 | | | | | Boingo Wireless Inc.* | | | 33,980 | |
| | 2,411 | | | | | Gogo Inc.*(a) | | | 11,067 | |
| | 3,326 | | | | | NII Holdings Inc.* | | | 12,938 | |
| | 1,635 | | | | | Shenandoah Telecommunications Co. | | | 72,659 | |
| | 703 | | | | | Spok Holdings Inc. | | | 9,708 | |
| | 3,624 | | | | | Telephone & Data Systems Inc. | | | 116,149 | |
| | 482 | | | | | United States Cellular Corp.* | | | 22,505 | |
| | | | | | | | | | |
| | | | | | Total Wireless Telecommunication Services | | | 279,006 | |
| | | | | | | | | | |
| | | | | | TOTAL COMMUNICATION SERVICES | | | 7,940,718 | |
| | | | | | | | | | |
|
| | CONSUMER DISCRETIONARY — 10.9% | |
|
| | Auto Components — 0.7% | |
| | 3,275 | | | | | Adient PLC | | | 63,666 | |
| | 3,890 | | | | | American Axle & Manufacturing Holdings Inc.* | | | 62,629 | |
See Notes to Financial Statements.
28
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | | | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | CONSUMER DISCRETIONARY — 10.9% — (continued) | |
|
| | Auto Components — 0.7% — (continued) | |
| | 48,732 | | | | | Cooper Tire & Rubber Co. | | $ | 1,557,475 | |
| | 615 | | | | | Cooper-Standard Holdings Inc.* | | | 36,968 | |
| | 5,101 | | | | | Dana Inc. | | | 100,745 | |
| | 953 | | | | | Dorman Products Inc.* | | | 77,098 | |
| | 1,243 | | | | | Fox Factory Holding Corp.* | | | 78,781 | |
| | 9,782 | | | | | Gentex Corp. | | | 198,966 | |
| | 1,346 | | | | | Gentherm Inc.* | | | 55,186 | |
| | 8,536 | | | | | Goodyear Tire & Rubber Co. (The) | | | 168,842 | |
| | 853 | | | | | LCI Industries | | | 69,502 | |
| | 1,855 | | | | | Modine Manufacturing Co.* | | | 27,880 | |
| | 34,660 | | | | | Motorcar Parts of America Inc.* | | | 717,115 | |
| | 448 | | | | | Shiloh Industries Inc.* | | | 2,791 | |
| | 746 | | | | | Standard Motor Products Inc. | | | 36,778 | |
| | 1,018 | | | | | Stoneridge Inc.* | | | 30,102 | |
| | 815 | | | | | Superior Industries International Inc. | | | 5,045 | |
| | 1,975 | | | | | Tenneco Inc., Class A Shares | | | 68,335 | |
| | 706 | | | | | Tower International Inc. | | | 18,109 | |
| | 1,086 | | | | | Visteon Corp.* | | | 93,027 | |
| | | | | | | | | | |
| | | | | | Total Auto Components | | | 3,469,040 | |
| | | | | | | | | | |
|
| | Automobiles — 0.1% | |
| | 5,938 | | | | | Harley-Davidson Inc. | | | 220,419 | |
| | 1,857 | | | | | Thor Industries Inc. | | | 119,906 | |
| | 1,036 | | | | | Winnebago Industries Inc. | | | 33,805 | |
| | | | | | | | | | |
| | | | | | Total Automobiles | | | 374,130 | |
| | | | | | | | | | |
|
| | Distributors — 0.2% | |
| | 1,594 | | | | | Core-Mark Holding Co., Inc. | | | 50,227 | |
| | 400 | | | | | Funko Inc., Class A Shares* | | | 7,956 | |
| | 19,803 | | | | | LKQ Corp.* | | | 548,543 | |
| | 1,437 | | | | | Pool Corp. | | | 229,259 | |
| | 241 | | | | | Weyco Group Inc. | | | 7,307 | |
| | | | | | | | | | |
| | | | | | Total Distributors | | | 843,292 | |
| | | | | | | | | | |
|
| | Diversified Consumer Services — 0.7% | |
| | 2,148 | | | | | Adtalem Global Education Inc.* | | | 103,534 | |
| | 599 | | | | | American Public Education Inc.* | | | 19,354 | |
| | 11,906 | | | | | Bright Horizons Family Solutions Inc.* | | | 1,476,344 | |
| | 2,299 | | | | | Career Education Corp.* | | | 38,209 | |
| | 581 | | | | | Carriage Services Inc., Class A Shares | | | 12,207 | |
| | 3,955 | | | | | Chegg Inc.* | | | 156,737 | |
| | 2,391 | | | | | frontdoor Inc.* | | | 76,512 | |
| | 155 | | | | | Graham Holdings Co., Class B Shares | | | 105,975 | |
| | 1,730 | | | | | Grand Canyon Education Inc.* | | | 200,126 | |
| | 7,479 | | | | | H&R Block Inc. | | | 180,618 | |
| | 3,761 | | | | | Houghton Mifflin Harcourt Co.* | | | 29,749 | |
| | 1,271 | | | | | K12 Inc.* | | | 40,723 | |
| | 3,248 | | | | | Laureate Education Inc., Class A Shares* | | | 49,662 | |
| | 1,282 | | | | | Regis Corp.* | | | 23,191 | |
| | 6,315 | | | | | Service Corp. International | | | 261,062 | |
| | 4,779 | | | | | ServiceMaster Global Holdings Inc.* | | | 215,820 | |
| | 1,224 | | | | | Sotheby’s* | | | 53,697 | |
| | 2,871 | | | | | Strategic Education Inc. | | | 375,469 | |
| | 1,348 | | | | | Weight Watchers International Inc.* | | | 27,270 | |
| | | | | | | | | | |
| | | | | | Total Diversified Consumer Services | | | 3,446,259 | |
| | | | | | | | | | |
See Notes to Financial Statements.
29
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | | | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | CONSUMER DISCRETIONARY — 10.9% — (continued) | |
|
| | Hotels, Restaurants & Leisure — 2.4% | |
| | 8,602 | | | | | Aramark | | $ | 260,641 | |
| | 2,447 | | | | | BBX Capital Corp., Class A Shares | | | 14,976 | |
| | 3,134 | | | | | Belmond Ltd., Class A Shares* | | | 77,880 | |
| | 4 | | | | | Biglari Holdings Inc., Class A Shares* | | | 2,796 | |
| | 43 | | | | | Biglari Holdings Inc., Class B Shares* | | | 5,762 | |
| | 709 | | | | | BJ’s Restaurants Inc. | | | 33,919 | |
| | 2,898 | | | | | Bloomin’ Brands Inc. | | | 59,931 | |
| | 324 | | | | | Bluegreen Vacations Corp. | | | 4,241 | |
| | 2,887 | | | | | Boyd Gaming Corp. | | | 85,917 | |
| | 1,340 | | | | | Brinker International Inc. | | | 61,332 | |
| | 20,942 | | | | | Caesars Entertainment Corp.* | | | 180,520 | |
| | 1,274 | | | | | Carrols Restaurant Group Inc.* | | | 13,619 | |
| | 1,025 | | | | | Century Casinos Inc.* | | | 8,641 | |
| | 1,601 | | | | | Cheesecake Factory Inc. (The)(a) | | | 75,727 | |
| | 1,196 | | | | | Choice Hotels International Inc. | | | 95,489 | |
| | 1,248 | | | | | Churchill Downs Inc. | | | 117,062 | |
| | 618 | | | | | Chuy’s Holdings Inc.* | | | 13,825 | |
| | 675 | | | | | Cracker Barrel Old Country Store Inc. | | | 109,343 | |
| | 18,743 | | | | | Dave & Buster’s Entertainment Inc. | | | 962,078 | |
| | 1,362 | | | | | Del Frisco’s Restaurant Group Inc.* | | | 11,536 | |
| | 1,108 | | | | | Del Taco Restaurants Inc.* | | | 11,457 | |
| | 2,122 | | | | | Denny’s Corp.* | | | 37,050 | |
| | 584 | | | | | Dine Brands Global Inc. | | | 57,933 | |
| | 3,093 | | | | | Domino’s Pizza Inc. | | | 776,157 | |
| | 2,117 | | | | | Drive Shack Inc.* | | | 9,336 | |
| | 3,058 | | | | | Dunkin’ Brands Group Inc. | | | 218,494 | |
| | 606 | | | | | El Pollo Loco Holdings Inc.* | | | 9,169 | |
| | 50,555 | | | | | Eldorado Resorts Inc.* | | | 2,437,257 | |
| | 24 | | | | | Empire Resorts Inc.* | | | 327 | |
| | 6,946 | | | | | Extended Stay America Inc. | | | 126,695 | |
| | 893 | | | | | Fiesta Restaurant Group Inc.* | | | 13,457 | |
| | 660 | | | | | Golden Entertainment Inc.* | | | 12,025 | |
| | 705 | | | | | Habit Restaurants Inc. (The), Class A Shares* | | | 7,945 | |
| | 3,650 | | | | | Hilton Grand Vacations Inc.* | | | 116,033 | |
| | 1,480 | | | | | Hyatt Hotels Corp., Class A Shares | | | 107,700 | |
| | 3,446 | | | | | International Game Technology PLC | | | 59,443 | |
| | 816 | | | | | International Speedway Corp., Class A Shares | | | 35,292 | |
| | 603 | | | | | J Alexander’s Holdings Inc.* | | | 5,505 | |
| | 970 | | | | | Jack in the Box Inc. | | | 78,124 | |
| | 110,035 | | | | | Lindblad Expeditions Holdings Inc.* | | | 1,495,376 | |
| | 1,415 | | | | | Marriott Vacations Worldwide Corp. | | | 137,736 | |
| | 374 | | | | | Monarch Casino & Resort Inc.* | | | 16,400 | |
| | 109 | | | | | Nathan’s Famous Inc. | | | 7,748 | |
| | 502 | | | | | Noodles & Co., Class A Shares* | | | 3,936 | |
| | 773 | | | | | Papa John’s International Inc.(a) | | | 33,788 | |
| | 4,046 | | | | | Penn National Gaming Inc.* | | | 100,543 | |
| | 3,204 | | | | | Planet Fitness Inc., Class A Shares* | | | 188,331 | |
| | 749 | | | | | PlayAGS Inc.* | | | 17,819 | |
| | 807 | | | | | Potbelly Corp.* | | | 6,795 | |
| | 336 | | | | | RCI Hospitality Holdings Inc. | | | 7,859 | |
| | 657 | | | | | Red Lion Hotels Corp.* | | | 5,243 | |
| | 462 | | | | | Red Robin Gourmet Burgers Inc.* | | | 14,049 | |
| | 2,439 | | | | | Red Rock Resorts Inc., Class A Shares | | | 68,585 | |
| | 970 | | | | | Ruth’s Hospitality Group Inc. | | | 24,657 | |
See Notes to Financial Statements.
30
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | | | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | CONSUMER DISCRETIONARY — 10.9% — (continued) | |
|
| | Hotels, Restaurants & Leisure — 2.4% — (continued) | |
| | 1,890 | | | | | Scientific Games Corp., Class A Shares* | | $ | 54,923 | |
| | 20,816 | | | | | SeaWorld Entertainment Inc.* | | | 568,069 | |
| | 857 | | | | | Shake Shack Inc., Class A Shares* | | | 47,255 | |
| | 2,538 | | | | | Six Flags Entertainment Corp. | | | 141,392 | |
| | 346 | | | | | Speedway Motorsports Inc. | | | 6,110 | |
| | 2,459 | | | | | Texas Roadhouse Inc., Class A Shares | | | 155,679 | |
| | 677 | | | | | Town Sports International Holdings Inc.* | | | 3,690 | |
| | 1,453 | | | | | Vail Resorts Inc. | | | 302,791 | |
| | 6,855 | | | | | Wendy’s Co. (The) | | | 118,797 | |
| | 1,026 | | | | | Wingstop Inc. | | | 68,342 | |
| | 3,478 | | | | | Wyndham Destinations Inc. | | | 156,614 | |
| | 3,586 | | | | | Wyndham Hotels & Resorts Inc. | | | 188,516 | |
| | 9,690 | | | | | Yum! Brands Inc. | | | 915,705 | |
| | | | | | | | | | |
| | | | | | Total Hotels, Restaurants & Leisure | | | 11,171,382 | |
| | | | | | | | | | |
|
| | Household Durables — 1.1% | |
| | 339 | | | | | Bassett Furniture Industries Inc. | | | 6,695 | |
| | 1,023 | | | | | Beazer Homes USA Inc.* | | | 12,399 | |
| | 298 | | | | | Cavco Industries Inc.* | | | 41,252 | |
| | 1,036 | | | | | Century Communities Inc.* | | | 23,652 | |
| | 861 | | | | | Ethan Allen Interiors Inc. | | | 17,289 | |
| | 295 | | | | | Flexsteel Industries Inc. | | | 7,343 | |
| | 4,000 | | | | | GoPro Inc., Class A Shares* | | | 23,320 | |
| | 917 | | | | | Green Brick Partners Inc.* | | | 8,170 | |
| | 230 | | | | | Hamilton Beach Brands Holding Co., Class A Shares | | | 5,582 | |
| | 930 | | | | | Helen of Troy Ltd.* | | | 104,262 | |
| | 439 | | | | | Hooker Furniture Corp. | | | 13,785 | |
| | 5,152 | | | | | Hovnanian Enterprises Inc., Class A Shares* | | | 3,488 | |
| | 821 | | | | | Installed Building Products Inc.* | | | 35,812 | |
| | 960 | | | | | iRobot Corp.*(a) | | | 120,058 | |
| | 2,993 | | | | | KB Home | | | 68,270 | |
| | 1,636 | | | | | La-Z-Boy Inc. | | | 56,295 | |
| | 4,756 | | | | | Leggett & Platt Inc. | | | 216,017 | |
| | 649 | | | | | LGI Homes Inc.*(a) | | | 38,356 | |
| | 440 | | | | | Lifetime Brands Inc. | | | 4,602 | |
| | 232 | | | | | Lovesac Co. (The)* | | | 7,023 | |
| | 941 | | | | | M/I Homes Inc.* | | | 24,504 | |
| | 1,850 | | | | | MDC Holdings Inc. | | | 53,354 | |
| | 1,326 | | | | | Meritage Homes Corp.* | | | 58,145 | |
| | 9,905 | | | | | Mohawk Industries Inc.* | | | 1,348,269 | |
| | 522 | | | | | New Home Co., Inc. (The)* | | | 2,861 | |
| | 114 | | | | | NVR Inc.* | | | 298,680 | |
| | 9,255 | | | | | PulteGroup Inc. | | | 249,885 | |
| | 1,516 | | | | | Roku Inc., Class A Shares*(a) | | | 100,496 | |
| | 1,065 | | | | | Skyline Champion Corp. | | | 21,151 | |
| | 708 | | | | | Sonos Inc.* | | | 7,314 | |
| | 4,161 | | | | | Taylor Morrison Home Corp., Class A Shares* | | | 69,780 | |
| | 11,062 | | | | | Tempur Sealy International Inc.* | | | 643,919 | |
| | 4,997 | | | | | Toll Brothers Inc. | | | 177,893 | |
| | 16,405 | | | | | TopBuild Corp.* | | | 976,097 | |
| | 5,149 | | | | | TRI Pointe Group Inc.* | | | 64,877 | |
| | 1,687 | | | | | Tupperware Brands Corp. | | | 50,796 | |
| | 230 | | | | | Turtle Beach Corp.*(a) | | | 3,540 | |
| | 483 | | | | | Universal Electronics Inc.* | | | 16,127 | |
| | 1,091 | | | | | Vuzix Corp.*(a) | | | 3,578 | |
See Notes to Financial Statements.
31
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | | | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | CONSUMER DISCRETIONARY — 10.9% — (continued) | |
|
| | Household Durables — 1.1% — (continued) | |
| | 1,194 | | | | | William Lyon Homes, Class A Shares* | | $ | 16,895 | |
| | 1,005 | | | | | ZAGG Inc.* | | | 11,658 | |
| | | | | | | | | | |
| | | | | | Total Household Durables | | | 5,013,489 | |
| | | | | | | | | | |
|
| | Internet & Direct Marketing Retail — 0.3% | |
| | 954 | | | | | 1-800-Flowers.com Inc., Class A Shares* | | | 17,019 | |
| | 317 | | | | | Duluth Holdings Inc., Class B Shares* | | | 8,052 | |
| | 4,319 | | | | | Etsy Inc.* | | | 307,815 | |
| | 379 | | | | | Gaia Inc., Class A Shares* | | | 4,214 | |
| | 15,476 | | | | | Groupon Inc., Class A Shares* | | | 50,607 | |
| | 3,275 | | | | | GrubHub Inc.* | | | 267,175 | |
| | 409 | | | | | Lands’ End Inc.* | | | 7,456 | |
| | 584 | | | | | Leaf Group Ltd.* | | | 4,748 | |
| | 1,931 | | | | | Liberty Expedia Holdings Inc., Class A Shares* | | | 85,543 | |
| | 1,072 | | | | | Liquidity Services Inc.* | | | 7,397 | |
| | 1,032 | | | | | Nutrisystem Inc. | | | 44,665 | |
| | 774 | | | | | Overstock.com Inc.*(a) | | | 15,333 | |
| | 641 | | | | | PetMed Express Inc.(a) | | | 14,775 | |
| | 2,727 | | | | | Quotient Technology Inc.* | | | 27,352 | |
| | 1,245 | | | | | Remark Holdings Inc.* | | | 2,577 | |
| | 1,161 | | | | | Shutterfly Inc.* | | | 52,024 | |
| | 703 | | | | | Shutterstock Inc. | | | 32,570 | |
| | 616 | | | | | Stamps.com Inc.* | | | 57,898 | |
| | 2,075 | | | | | Wayfair Inc., Class A Shares* | | | 343,786 | |
| | | | | | | | | | |
| | | | | | Total Internet & Direct Marketing Retail | | | 1,351,006 | |
| | | | | | | | | | |
|
| | Leisure Products — 0.2% | |
| | 1,452 | | | | | Acushnet Holdings Corp. | | | 36,169 | |
| | 1,858 | | | | | American Outdoor Brands Corp.* | | | 23,318 | |
| | 3,191 | | | | | Brunswick Corp. | | | 168,293 | |
| | 3,293 | | | | | Callaway Golf Co. | | | 56,673 | |
| | 457 | | | | | Clarus Corp. | | | 5,566 | |
| | 544 | | | | | Escalade Inc. | | | 6,637 | |
| | 187 | | | | | Johnson Outdoors Inc., Class A Shares | | | 12,275 | |
| | 686 | | | | | Malibu Boats Inc., Class A Shares* | | | 31,700 | |
| | 338 | | | | | Marine Products Corp. | | | 4,786 | |
| | 618 | | | | | MasterCraft Boat Holdings Inc.* | | | 15,246 | |
| | 12,540 | | | | | Mattel Inc.* | | | 180,827 | |
| | 1,140 | | | | | Nautilus Inc.* | | | 7,444 | |
| | 2,146 | | | | | Polaris Industries Inc. | | | 182,904 | |
| | 576 | | | | | Sturm Ruger & Co., Inc. | | | 32,803 | |
| | 2,132 | | | | | Vista Outdoor Inc.* | | | 18,996 | |
| | 619 | | | | | YETI Holdings Inc.*(a) | | | 14,850 | |
| | | | | | | | | | |
| | | | | | Total Leisure Products | | | 798,487 | |
| | | | | | | | | | |
|
| | Multiline Retail — 0.5% | |
| | 1,434 | | | | | Big Lots Inc. | | | 45,214 | |
| | 394 | | | | | Dillard’s Inc., Class A Shares | | | 30,945 | |
| | 13,032 | | | | | Dollar General Corp. | | | 1,543,771 | |
| | 11,493 | | | | | JC Penney Co., Inc.* | | | 17,469 | |
| | 6,086 | | | | | Kohl’s Corp. | | | 410,987 | |
| | 4,297 | | | | | Nordstrom Inc. | | | 203,162 | |
| | 1,812 | | | | | Ollie’s Bargain Outlet Holdings Inc.* | | | 159,855 | |
| | | | | | | | | | |
| | | | | | Total Multiline Retail | | | 2,411,403 | |
| | | | | | | | | | |
See Notes to Financial Statements.
32
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | | | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | CONSUMER DISCRETIONARY — 10.9% — (continued) | |
|
| | Specialty Retail — 3.1% | |
| | 2,531 | | | | | Aaron’s Inc. | | $ | 137,408 | |
| | 2,343 | | | | | Abercrombie & Fitch Co., Class A Shares | | | 51,429 | |
| | 3,036 | | | | | Advance Auto Parts Inc. | | | 491,164 | |
| | 41,856 | | | | | American Eagle Outfitters Inc. | | | 853,862 | |
| | 225 | | | | | America’sCar-Mart Inc.* | | | 18,360 | |
| | 747 | | | | | Asbury Automotive Group Inc.* | | | 53,627 | |
| | 6,121 | | | | | Ascena Retail Group Inc.* | | | 13,589 | |
| | 1,541 | | | | | At Home Group Inc.* | | | 37,724 | |
| | 1,924 | | | | | AutoNation Inc.* | | | 67,840 | |
| | 1,018 | | | | | Barnes & Noble Education Inc.* | | | 7,014 | |
| | 1,885 | | | | | Barnes & Noble Inc. | | | 11,875 | |
| | 4,703 | | | | | Bed Bath & Beyond Inc. | | | 78,681 | |
| | 625 | | | | | Big 5 Sporting Goods Corp.(a) | | | 2,519 | |
| | 1,060 | | | | | Boot Barn Holdings Inc.* | | | 30,210 | |
| | 1,051 | | | | | Buckle Inc. (The) | | | 20,169 | |
| | 5,700 | | | | | Burlington Stores Inc.* | | | 967,518 | |
| | 1,474 | | | | | Caleres Inc. | | | 45,841 | |
| | 1,173 | | | | | Camping World Holdings Inc., Class A Shares(a) | | | 15,132 | |
| | 9,756 | | | | | Carvana Co., Class A Shares*(a) | | | 437,654 | |
| | 835 | | | | | Cato Corp. (The), Class A Shares | | | 13,143 | |
| | 48,277 | | | | | Chico’s FAS Inc. | | | 281,938 | |
| | 2,458 | | | | | Children’s Place Inc. (The) | | | 234,886 | |
| | 480 | | | | | Citi Trends Inc. | | | 10,387 | |
| | 621 | | | | | Conn’s Inc.* | | | 14,649 | |
| | 303 | | | | | Container Store Group Inc. (The)* | | | 2,069 | |
| | 2,773 | | | | | Dick’s Sporting Goods Inc. | | | 108,313 | |
| | 2,399 | | | | | DSW Inc., Class A Shares | | | 71,034 | |
| | 37,757 | | | | | Express Inc.* | | | 196,336 | |
| | 7,208 | | | | | Five Below Inc.* | | | 867,483 | |
| | 14,076 | | | | | Floor & Decor Holdings Inc., Class A Shares* | | | 523,346 | |
| | 4,147 | | | | | Foot Locker Inc. | | | 246,829 | |
| | 1,321 | | | | | Francesca’s Holdings Corp.* | | | 1,106 | |
| | 3,493 | | | | | GameStop Corp., Class A Shares(a) | | | 40,868 | |
| | 723 | | | | | Genesco Inc.* | | | 34,899 | |
| | 3,513 | | | | | GNC Holdings Inc., Class A Shares* | | | 10,469 | |
| | 636 | | | | | Group 1 Automotive Inc. | | | 39,546 | |
| | 2,013 | | | | | Guess? Inc. | | | 45,071 | |
| | 621 | | | | | Haverty Furniture Cos., Inc. | | | 15,128 | |
| | 705 | | | | | Hibbett Sports Inc.* | | | 13,071 | |
| | 1,489 | | | | | Hudson Ltd., Class A Shares* | | | 22,186 | |
| | 421 | | | | | J. Jill Inc.* | | | 2,505 | |
| | 609 | | | | | Kirkland’s Inc.* | | | 7,113 | |
| | 796 | | | | | Lithia Motors Inc., Class A Shares | | | 71,855 | |
| | 1,030 | | | | | Lumber Liquidators Holdings Inc.* | | | 12,164 | |
| | 737 | | | | | MarineMax Inc.* | | | 14,467 | |
| | 3,620 | | | | | Michaels Cos., Inc. (The)* | | | 51,187 | |
| | 1,124 | | | | | Monro Inc. | | | 85,772 | |
| | 1,130 | | | | | Murphy USA Inc.* | | | 87,880 | |
| | 12,591 | | | | | National Vision Holdings Inc.* | | | 423,058 | |
| | 169,765 | | | | | Office Depot Inc. | | | 589,085 | |
| | 3,109 | | | | | O’Reilly Automotive Inc.* | | | 1,156,424 | |
| | 49,260 | | | | | Party City Holdco Inc.* | | | 512,797 | |
| | 1,356 | | | | | Penske Automotive Group Inc. | | | 60,261 | |
| | 2,593 | | | | | Pier 1 Imports Inc.* | | | 3,501 | |
See Notes to Financial Statements.
33
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | | | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | CONSUMER DISCRETIONARY — 10.9% — (continued) | |
|
| | Specialty Retail — 3.1% — (continued) | |
| | 1,547 | | | | | Rent-A-Center Inc.* | | $ | 28,790 | |
| | 690 | | | | | RH*(a) | | | 105,977 | |
| | 40,344 | | | | | Ross Stores Inc. | | | 3,825,821 | |
| | 22,397 | | | | | RTW RetailWinds Inc.* | | | 68,087 | |
| | 4,295 | | | | | Sally Beauty Holdings Inc.* | | | 77,611 | |
| | 395 | | | | | Shoe Carnival Inc. | | | 15,065 | |
| | 1,797 | | | | | Signet Jewelers Ltd. | | | 50,514 | |
| | 1,144 | | | | | Sleep Number Corp.* | | | 49,936 | |
| | 847 | | | | | Sonic Automotive Inc., Class A Shares | | | 12,730 | |
| | 1,261 | | | | | Sportsman’s Warehouse Holdings Inc.* | | | 7,932 | |
| | 1,653 | | | | | Tailored Brands Inc. | | | 21,423 | |
| | 1,600 | | | | | Tile Shop Holdings Inc. | | | 10,208 | |
| | 920 | | | | | Tilly’s Inc., Class A Shares | | | 11,160 | |
| | 3,049 | | | | | Ulta Beauty Inc.* | | | 952,782 | |
| | 2,611 | | | | | Urban Outfitters Inc.* | | | 80,549 | |
| | 2,941 | | | | | Williams-Sonoma Inc.(a) | | | 171,049 | |
| | 88 | | | | | Winmark Corp. | | | 15,158 | |
| | 622 | | | | | Zumiez Inc.* | | | 15,363 | |
| | | | | | | | | | |
| | | | | | Total Specialty Retail | | | 14,732,597 | |
| | | | | | | | | | |
|
| | Textiles, Apparel & Luxury Goods — 1.6% | |
| | 5,096 | | | | | Capri Holdings Ltd.* | | | 232,378 | |
| | 23,420 | | | | | Carter’s Inc. | | | 2,282,045 | |
| | 1,077 | | | | | Columbia Sportswear Co. | | | 110,877 | |
| | 2,501 | | | | | Crocs Inc.* | | | 64,226 | |
| | 446 | | | | | Culp Inc. | | | 8,273 | |
| | 1,065 | | | | | Deckers Outdoor Corp.* | | | 157,567 | |
| | 1,527 | | | | | Fossil Group Inc.* | | | 23,882 | |
| | 1,521 | | | | | G-III Apparel Group Ltd.* | | | 54,163 | |
| | 13,058 | | | | | Hanesbrands Inc. | | | 242,748 | |
| | 558 | | | | | Movado Group Inc. | | | 19,547 | |
| | 654 | | | | | Oxford Industries Inc. | | | 51,686 | |
| | 21,089 | | | | | PVH Corp. | | | 2,421,861 | |
| | 1,909 | | | | | Ralph Lauren Corp., Class A Shares | | | 238,949 | |
| | 212 | | | | | Rocky Brands Inc. | | | 6,349 | |
| | 4,811 | | | | | Skechers U.S.A. Inc., Class A Shares* | | | 161,794 | |
| | 3,060 | | | | | Steven Madden Ltd. | | | 100,949 | |
| | 332 | | | | | Superior Group of Cos., Inc. | | | 5,770 | |
| | 13,571 | | | | | Under Armour Inc., Class A Shares* | | | 306,026 | |
| | 507 | | | | | Unifi Inc.* | | | 11,215 | |
| | 769 | | | | | Vera Bradley Inc.* | | | 7,344 | |
| | 29,230 | | | | | Wolverine World Wide Inc. | | | 1,045,265 | |
| | | | | | | | | | |
| | | | | | Total Textiles, Apparel & Luxury Goods | | | 7,552,914 | |
| | | | | | | | | | |
| | | | | | TOTAL CONSUMER DISCRETIONARY | | | 51,163,999 | |
| | | | | | | | | | |
|
| | CONSUMER STAPLES — 1.5% | |
|
| | Beverages — 0.0% | |
| | 289 | | | | | Boston Beer Co., Inc. (The), Class A Shares* | | | 90,330 | |
| | 3,526 | | | | | Castle Brands Inc.* | | | 3,103 | |
| | 541 | | | | | Celsius Holdings Inc.*(a) | | | 1,926 | |
| | 169 | | | | | Coca-Cola Consolidated Inc. | | | 41,888 | |
| | 473 | | | | | Craft Brew Alliance Inc.* | | | 8,065 | |
| | 523 | | | | | MGP Ingredients Inc.(a) | | | 42,807 | |
| | 400 | | | | | National Beverage Corp. | | | 27,436 | |
| | 1,024 | | | | | Primo Water Corp.* | | | 15,022 | |
| | | | | | | | | | |
| | | | | | Total Beverages | | | 230,577 | |
| | | | | | | | | | |
See Notes to Financial Statements.
34
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | | | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | CONSUMER STAPLES — 1.5% — (continued) | |
|
| | Food & Staples Retailing — 0.6% | |
| | 45,210 | | | | | Andersons Inc. (The) | | $ | 1,670,962 | |
| | 2,534 | | | | | BJ’s Wholesale Club Holdings Inc.* | | | 64,161 | |
| | 1,323 | | | | | Casey’s General Stores Inc. | | | 178,261 | |
| | 772 | | | | | Chefs’ Warehouse Inc. (The)* | | | 24,712 | |
| | 459 | | | | | Ingles Markets Inc., Class A Shares | | | 14,284 | |
| | 321 | | | | | Natural Grocers by Vitamin Cottage Inc.* | | | 4,558 | |
| | 3,690 | | | | | Performance Food Group Co.* | | | 142,176 | |
| | 771 | | | | | PriceSmart Inc. | | | 49,853 | |
| | 34,880 | | | | | Rite Aid Corp.* | | | 25,811 | |
| | 986 | | | | | Smart & Final Stores Inc.* | | | 6,113 | |
| | 1,330 | | | | | SpartanNash Co. | | | 25,243 | |
| | 4,615 | | | | | Sprouts Farmers Market Inc.* | | | 107,622 | |
| | 1,879 | | | | | United Natural Foods Inc.* | | | 28,204 | |
| | 7,810 | | | | | US Foods Holding Corp.* | | | 275,224 | |
| | 361 | | | | | Village Super Market Inc., Class A Shares | | | 11,065 | |
| | 366 | | | | | Weis Markets Inc. | | | 18,413 | |
| | | | | | | | | | |
| | | | | | Total Food & Staples Retailing | | | 2,646,662 | |
| | | | | | | | | | |
|
| | Food Products — 0.7% | |
| | 87 | | | | | Alico Inc. | | | 2,633 | |
| | 2,338 | | | | | B&G Foods Inc.(a) | | | 57,562 | |
| | 608 | | | | | Calavo Growers Inc. | | | 51,759 | |
| | 1,085 | | | | | Cal-Maine Foods Inc. | | | 47,848 | |
| | 5,740 | | | | | Darling Ingredients Inc.* | | | 126,165 | |
| | 3,413 | | | | | Dean Foods Co. | | | 13,686 | |
| | 410 | | | | | Farmer Brothers Co.* | | | 9,779 | |
| | 6,599 | | | | | Flowers Foods Inc. | | | 135,082 | |
| | 1,045 | | | | | Fresh Del Monte Produce Inc. | | | 28,926 | |
| | 937 | | | | | Freshpet Inc.* | | | 38,623 | |
| | 26,477 | | | | | Hain Celestial Group Inc. (The)* | | | 520,803 | |
| | 3,430 | | | | | Hostess Brands Inc., Class A Shares* | | | 41,640 | |
| | 2,496 | | | | | Ingredion Inc. | | | 230,755 | |
| | 553 | | | | | J&J Snack Foods Corp. | | | 85,870 | |
| | 288 | | | | | John B Sanfilippo & Son Inc. | | | 20,010 | |
| | 5,304 | | | | | Lamb Weston Holdings Inc. | | | 367,620 | |
| | 667 | | | | | Lancaster Colony Corp. | | | 104,566 | |
| | 1,096 | | | | | Landec Corp.* | | | 14,073 | |
| | 443 | | | | | Limoneira Co. | | | 10,366 | |
| | 1,805 | | | | | Pilgrim’s Pride Corp.* | | | 35,504 | |
| | 2,365 | | | | | Post Holdings Inc.* | | | 240,946 | |
| | 722 | | | | | Sanderson Farms Inc. | | | 83,174 | |
| | 9 | | | | | Seaboard Corp. | | | 35,093 | |
| | 217 | | | | | Seneca Foods Corp., Class A Shares* | | | 6,406 | |
| | 2,114 | | | | | Simply Good Foods Co. (The)* | | | 43,252 | |
| | 593 | | | | | Tootsie Roll Industries Inc.(a) | | | 22,054 | |
| | 13,006 | | | | | TreeHouse Foods Inc.* | | | 787,903 | |
| | | | | | | | | | |
| | | | | | Total Food Products | | | 3,162,098 | |
| | | | | | | | | | |
|
| | Household Products — 0.1% | |
| | 409 | | | | | Central Garden & Pet Co., Class A Shares* | | | 12,794 | |
| | 1,351 | | | | | Central Garden & Pet Co., Class A Shares* | | | 37,625 | |
| | 2,189 | | | | | Energizer Holdings Inc. | | | 100,431 | |
| | 141 | | | | | Oil-Dri Corp. of America | | | 4,110 | |
| | 1,423 | | | | | Spectrum Brands Holdings Inc. | | | 77,084 | |
| | 514 | | | | | WD-40 Co. | | | 91,991 | |
| | | | | | | | | | |
| | | | | | Total Household Products | | | 324,035 | |
| | | | | | | | | | |
See Notes to Financial Statements.
35
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | | | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | CONSUMER STAPLES — 1.5% — (continued) | |
|
| | Personal Products — 0.1% | |
| | 2,020 | | | | | Edgewell Personal Care Co.* | | $ | 89,607 | |
| | 820 | | | | | elf Beauty Inc.* | | | 6,519 | |
| | 3,954 | | | | | Herbalife Nutrition Ltd.* | | | 221,820 | |
| | 611 | | | | | Inter Parfums Inc. | | | 45,074 | |
| | 410 | | | | | Medifast Inc. | | | 52,246 | |
| | 236 | | | | | Natural Health Trends Corp. | | | 3,002 | |
| | 462 | | | | | Nature’s Sunshine Products Inc.* | | | 3,835 | |
| | 2,030 | | | | | Nu Skin Enterprises Inc., Class A Shares | | | 122,023 | |
| | 325 | | | | | Revlon Inc., Class A Shares* | | | 8,674 | |
| | 446 | | | | | USANA Health Sciences Inc.* | | | 43,931 | |
| | | | | | | | | | |
| | | | | | Total Personal Products | | | 596,731 | |
| | | | | | | | | | |
|
| | Tobacco — 0.0% | |
| | 3,975 | | | | | 22nd Century Group Inc.*(a) | | | 9,580 | |
| | 198 | | | | | Pyxus International Inc.*(a) | | | 5,344 | |
| | 290 | | | | | Turning Point Brands Inc. | | | 11,858 | |
| | 875 | | | | | Universal Corp. | | | 51,923 | |
| | 3,502 | | | | | Vector Group Ltd. | | | 41,043 | |
| | | | | | | | | | |
| | | | | | Total Tobacco | | | 119,748 | |
| | | | | | | | | | |
| | | | | | TOTAL CONSUMER STAPLES | | | 7,079,851 | |
| | | | | | | | | | |
|
| | ENERGY — 2.4% | |
|
| | Energy Equipment & Services — 0.8% | |
| | 2,785 | | | | | Apergy Corp.* | | | 116,914 | |
| | 4,925 | | | | | Archrock Inc. | | | 48,068 | |
| | 733 | | | | | Basic Energy Services Inc.* | | | 3,540 | |
| | 1,221 | | | | | Bristow Group Inc.*(a) | | | 1,441 | |
| | 2,497 | | | | | C&J Energy Services Inc.* | | | 43,123 | |
| | 1,367 | | | | | Cactus Inc., Class A Shares* | | | 49,567 | |
| | 891 | | | | | CARBO Ceramics Inc.* | | | 3,635 | |
| | 1,456 | | | | | Covia Holdings Corp.* | | | 6,931 | |
| | 992 | | | | | Dawson Geophysical Co.* | | | 3,581 | |
| | 2,433 | | | | | Diamond Offshore Drilling Inc.* | | | 23,235 | |
| | 8,276 | | | | | Dril-Quip Inc.* | | | 352,640 | |
| | 852 | | | | | Era Group Inc.* | | | 9,815 | |
| | 1,217 | | | | | Exterran Corp.* | | | 20,774 | |
| | 48,841 | | | | | Forum Energy Technologies Inc.* | | | 284,743 | |
| | 2,779 | | | | | Frank’s International NV* | | | 17,397 | |
| | 1,003 | | | | | FTS International Inc.* | �� | | 10,321 | |
| | 4,766 | | | | | Helix Energy Solutions Group Inc.* | | | 35,268 | |
| | 3,729 | | | | | Helmerich & Payne Inc. | | | 202,112 | |
| | 1,645 | | | | | Independence Contract Drilling Inc.* | | | 5,100 | |
| | 10,738 | | | | | ION Geophysical Corp.* | | | 141,312 | |
| | 1,904 | | | | | Keane Group Inc.* | | | 20,982 | |
| | 208,570 | | | | | Key Energy Services Inc.* | | | 533,939 | |
| | 750 | | | | | KLX Energy Services Holdings Inc.* | | | 19,770 | |
| | 1,520 | | | | | Liberty Oilfield Services Inc., Class A Shares(a) | | | 24,898 | |
| | 575 | | | | | Mammoth Energy Services Inc. | | | 13,219 | |
| | 895 | | | | | Matrix Service Co.* | | | 18,697 | |
| | 39,267 | | | | | McDermott International Inc.* | | | 332,984 | |
| | 12,842 | | | | | Nabors Industries Ltd. | | | 41,608 | |
| | 415 | | | | | Natural Gas Services Group Inc.* | | | 7,669 | |
| | 258 | | | | | NCS Multistage Holdings Inc.* | | | 1,422 | |
| | 3,194 | | | | | Newpark Resources Inc.* | | | 28,235 | |
| | 484 | | | | | Nine Energy Service Inc.* | | | 12,690 | |
See Notes to Financial Statements.
36
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | | | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | ENERGY — 2.4% — (continued) | |
|
| | Energy Equipment & Services — 0.8% — (continued) | |
| | 9,245 | | | | | Noble Corp. PLC* | | $ | 27,827 | |
| | 3,769 | | | | | Oceaneering International Inc.* | | | 58,231 | |
| | 18,139 | | | | | Oil States International Inc.* | | | 310,902 | |
| | 28,561 | | | | | Patterson-UTI Energy Inc. | | | 378,719 | |
| | 474 | | | | | PHI Inc.*(a) | | | 1,474 | |
| | 2,797 | | | | | Pioneer Energy Services Corp.* | | | 4,951 | |
| | 1,399 | | | | | Profire Energy Inc.* | | | 2,616 | |
| | 2,743 | | | | | ProPetro Holding Corp.* | | | 54,476 | |
| | 429 | | | | | RigNet Inc.* | | | 6,641 | |
| | 4,431 | | | | | Rowan Cos. PLC, Class A Shares* | | | 50,115 | |
| | 2,146 | | | | | RPC Inc. | | | 23,069 | |
| | 566 | | | | | SEACOR Holdings Inc.* | | | 25,278 | |
| | 616 | | | | | SEACOR Marine Holdings Inc.* | | | 8,452 | |
| | 1,697 | | | | | Select Energy Services Inc., Class A Shares* | | | 17,106 | |
| | 1,101 | | | | | Smart Sand Inc.* | | | 3,292 | |
| | 887 | | | | | Solaris Oilfield Infrastructure Inc., Class A Shares | | | 15,079 | |
| | 36,044 | | | | | Superior Energy Services Inc.* | | | 168,686 | |
| | 59,051 | | | | | TETRA Technologies Inc.* | | | 141,132 | |
| | 997 | | | | | Tidewater Inc.* | | | 22,871 | |
| | 18,045 | | | | | Transocean Ltd.* | | | 147,428 | |
| | 1,752 | | | | | Unit Corp.* | | | 27,244 | |
| | 2,655 | | | | | US Silica Holdings Inc. | | | 39,559 | |
| | 37,390 | | | | | Weatherford International PLC* | | | 24,139 | |
| | | | | | | | | | |
| | | | | | Total Energy Equipment & Services | | | 3,994,917 | |
| | | | | | | | | | |
|
| | Oil, Gas & Consumable Fuels — 1.6% | |
| | 6,058 | | | | | Abraxas Petroleum Corp.* | �� | | 7,572 | |
| | 55 | | | | | Adams Resources & Energy Inc. | | | 2,186 | |
| | 3,586 | | | | | Alta Mesa Resources Inc., Class A Shares* | | | 925 | |
| | 8,424 | | | | | Antero Resources Corp.* | | | 72,952 | |
| | 1,790 | | | | | Approach Resources Inc.*(a) | | | 1,680 | |
| | 608 | | | | | Arch Coal Inc., Class A Shares | | | 56,641 | |
| | 1,070 | | | | | Ardmore Shipping Corp.* | | | 6,024 | |
| | 484 | | | | | Berry Petroleum Corp. | | | 6,161 | |
| | 704 | | | | | Bonanza Creek Energy Inc.* | | | 16,171 | |
| | 1,524 | | | | | California Resources Corp.* | | | 36,043 | |
| | 8,563 | | | | | Callon Petroleum Co.* | | | 65,507 | |
| | 3,025 | | | | | Carrizo Oil & Gas Inc.* | | | 33,214 | |
| | 32,021 | | | | | Centennial Resource Development Inc., Class A Shares* | | | 290,430 | |
| | 36,861 | | | | | Chesapeake Energy Corp.*(a) | | | 109,109 | |
| | 5,163 | | | | | Clean Energy Fuels Corp.* | | | 11,823 | |
| | 3,108 | | | | | Cloud Peak Energy Inc.* | | | 1,616 | |
| | 7,008 | | | | | CNX Resources Corp.* | | | 74,285 | |
| | 4,691 | | | | | Concho Resources Inc. | | | 516,010 | |
| | 957 | | | | | CONSOL Energy Inc.* | | | 36,318 | |
| | 697 | | | | | CVR Energy Inc. | | | 28,256 | |
| | 3,024 | | | | | Delek US Holdings Inc. | | | 106,989 | |
| | 16,689 | | | | | Denbury Resources Inc.* | | | 32,043 | |
| | 3,544 | | | | | DHT Holdings Inc. | | | 15,310 | |
| | 1,083 | | | | | Dorian LPG Ltd.* | | | 6,390 | |
| | 660 | | | | | Earthstone Energy Inc., Class A Shares* | | | 4,349 | |
| | 3,416 | | | | | Energy Fuels Inc.*(a) | | | 10,487 | |
| | 1,831 | | | | | EP Energy Corp., Class A Shares* | | | 980 | |
| | 969 | | | | | Evolution Petroleum Corp. | | | 6,851 | |
| | 4,151 | | | | | Extraction Oil & Gas Inc.* | | | 17,434 | |
See Notes to Financial Statements.
37
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | | | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | ENERGY — 2.4% — (continued) | |
|
| | Oil, Gas & Consumable Fuels — 1.6% — (continued) | |
| | 2,760 | | | | | Frontline Ltd.*(a) | | $ | 17,719 | |
| | 1,515 | | | | | GasLog Ltd. | | | 24,422 | |
| | 3,379 | | | | | Golar LNG Ltd. | | | 69,743 | |
| | 224 | | | | | Goodrich Petroleum Corp.* | | | 2,905 | |
| | 1,393 | | | | | Green Plains Inc. | | | 21,731 | |
| | 6,047 | | | | | Gulfport Energy Corp.* | | | 46,320 | |
| | 5,421 | | | | | Halcon Resources Corp.*(a) | | | 8,131 | |
| | 658 | | | | | Hallador Energy Co. | | | 3,533 | |
| | 4,080 | | | | | HighPoint Resources Corp.* | | | 10,567 | |
| | 5,766 | | | | | HollyFrontier Corp. | | | 295,219 | |
| | 782 | | | | | International Seaways Inc.* | | | 13,012 | |
| | 19 | | | | | Isramco Inc.* | | | 2,156 | |
| | 2,401 | | | | | Jagged Peak Energy Inc.* | | | 22,737 | |
| | 8,174 | | | | | Kosmos Energy Ltd.* | | | 52,314 | |
| | 5,807 | | | | | Laredo Petroleum Inc.* | | | 19,918 | |
| | 2,021 | | | | | Lilis Energy Inc.* | | | 3,638 | |
| | 3,689 | | | | | Matador Resources Co.* | | | 68,615 | |
| | 530 | | | | | Midstates Petroleum Co., Inc.* | | | 4,579 | |
| | 207 | | | | | Montage Resources Corp.* | | | 206 | |
| | 6,013 | | | | | Murphy Oil Corp. | | | 173,776 | |
| | 105 | | | | | NACCO Industries Inc., Class A Shares | | | 3,840 | |
| | 5,132 | | | | | Nordic American Tankers Ltd. | | | 11,650 | |
| | 6,281 | | | | | Northern Oil and Gas Inc.* | | | 14,886 | |
| | 9,289 | | | | | Oasis Petroleum Inc.* | | | 51,926 | |
| | 1,628 | | | | | Overseas Shipholding Group Inc., Class A Shares* | | | 3,207 | |
| | 616 | | | | | Panhandle Oil and Gas Inc., Class A Shares | | | 10,115 | |
| | 1,083 | | | | | Par Pacific Holdings Inc.* | | | 18,303 | |
| | 9,730 | | | | | Parsley Energy Inc., Class A Shares* | | | 176,502 | |
| | 26,252 | | | | | PBF Energy Inc., Class A Shares | | | 815,650 | |
| | 2,496 | | | | | PDC Energy Inc.* | | | 92,527 | |
| | 2,730 | | | | | Peabody Energy Corp. | | | 84,220 | |
| | 463 | | | | | Penn Virginia Corp.* | | | 24,845 | |
| | 10,742 | | | | | Pioneer Natural Resources Co. | | | 1,514,085 | |
| | 8,849 | | | | | QEP Resources Inc.* | | | 68,668 | |
| | 7,878 | | | | | Range Resources Corp. | | | 84,295 | |
| | 1,338 | | | | | Renewable Energy Group Inc.* | | | 35,551 | |
| | 795 | | | | | Resolute Energy Corp.* | | | 24,573 | |
| | 191 | | | | | REX American Resources Corp.* | | | 15,225 | |
| | 2,143 | | | | | Ring Energy Inc.* | | | 13,222 | |
| | 1,143 | | | | | SandRidge Energy Inc.* | | | 8,881 | |
| | 1,657 | | | | | Scorpio Tankers Inc. | | | 30,505 | |
| | 3,059 | | | | | SemGroup Corp., Class A Shares | | | 48,149 | |
| | 2,765 | | | | | Ship Finance International Ltd. | | | 34,258 | |
| | 220 | | | | | SilverBow Resources Inc.* | | | 4,950 | |
| | 4,199 | | | | | SM Energy Co. | | | 68,612 | |
| | 20,995 | | | | | Southwestern Energy Co.* | | | 88,809 | |
| | 8,312 | | | | | SRC Energy Inc.* | | | 38,235 | |
| | 715 | | | | | Talos Energy Inc.* | | | 16,052 | |
| | 8,216 | | | | | Targa Resources Corp. | | | 330,612 | |
| | 2,597 | | | | | Teekay Corp. | | | 10,648 | |
| | 7,025 | | | | | Teekay Tankers Ltd., Class A Shares | | | 7,517 | |
| | 3,016 | | | | | Tellurian Inc.*(a) | | | 30,944 | |
| | 5,946 | | | | | Ultra Petroleum Corp.* | | | 3,999 | |
| | 5,949 | | | | | Uranium Energy Corp.* | | | 7,496 | |
See Notes to Financial Statements.
38
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | | | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | ENERGY — 2.4% — (continued) | |
|
| | Oil, Gas & Consumable Fuels — 1.6% — (continued) | |
| | 3,477 | | | | | W&T Offshore Inc.* | | $ | 18,115 | |
| | 3,329 | | | | | Whiting Petroleum Corp.* | | | 81,128 | |
| | 2,345 | | | | | World Fuel Services Corp. | | | 64,933 | |
| | 87,588 | | | | | WPX Energy Inc.* | | | 1,080,836 | |
| | 2,293 | | | | | Zion Oil & Gas Inc.* | | | 1,131 | |
| | | | | | | | | | |
| | | | | | Total Oil, Gas & Consumable Fuels | | | 7,474,097 | |
| | | | | | | | | | |
| | | | | | TOTAL ENERGY | | | 11,469,014 | |
| | | | | | | | | | |
|
| | FINANCIALS — 11.2% | |
|
| | Banks — 5.0% | |
| | 350 | | | | | 1st Constitution Bancorp | | | 6,535 | |
| | 591 | | | | | 1st Source Corp. | | | 28,102 | |
| | 349 | | | | | ACNB Corp. | | | 13,751 | |
| | 409 | | | | | Allegiance Bancshares Inc.* | | | 15,648 | |
| | 405 | | | | | Amalgamated Bank, Class A Shares | | | 7,173 | |
| | 317 | | | | | American National Bankshares Inc. | | | 11,349 | |
| | 1,636 | | | | | Ameris Bancorp | | | 66,700 | |
| | 319 | | | | | Ames National Corp. | | | 8,878 | |
| | 444 | | | | | Arrow Financial Corp. | | | 15,726 | |
| | 5,735 | | | | | Associated Banc-Corp. | | | 133,511 | |
| | 987 | | | | | Atlantic Capital Bancshares Inc.* | | | 19,029 | |
| | 57 | | | | | Auburn National Bancorporation Inc. | | | 1,922 | |
| | 1,610 | | | | | Banc of California Inc. | | | 27,885 | |
| | 619 | | | | | BancFirst Corp. | | | 34,899 | |
| | 179,874 | | | | | Bancorp Inc. (The)* | | | 1,631,457 | |
| | 3,332 | | | | | BancorpSouth Bank | | | 108,590 | |
| | 558 | | | | | Bank of Commerce Holdings | | | 6,333 | |
| | 1,510 | | | | | Bank of Hawaii Corp. | | | 124,167 | |
| | 486 | | | | | Bank of Marin Bancorp | | | 21,627 | |
| | 19,761 | | | | | Bank of NT Butterfield & Son Ltd. (The) | | | 805,063 | |
| | 221 | | | | | Bank of Princeton (The) | | | 7,189 | |
| | 4,267 | | | | | Bank OZK | | | 139,958 | |
| | 18,009 | | | | | BankUnited Inc. | | | 657,148 | |
| | 177 | | | | | Bankwell Financial Group Inc. | | | 5,358 | |
| | 1,119 | | | | | Banner Corp. | | | 69,523 | |
| | 625 | | | | | Bar Harbor Bankshares | | | 16,138 | |
| | 434 | | | | | Baycom Corp.* | | | 10,012 | |
| | 374 | | | | | BCB Bancorp Inc. | | | 4,907 | |
| | 1,388 | | | | | Berkshire Hills Bancorp Inc. | | | 43,472 | |
| | 866 | | | | | Blue Hills Bancorp Inc. | | | 21,546 | |
| | 1,191 | | | | | BOK Financial Corp. | | | 107,714 | |
| | 3,124 | | | | | Boston Private Financial Holdings Inc. | | | 37,144 | |
| | 626 | | | | | Bridge Bancorp Inc. | | | 20,639 | |
| | 2,678 | | | | | Brookline Bancorp Inc. | | | 42,794 | |
| | 765 | | | | | Bryn Mawr Bank Corp. | | | 31,181 | |
| | 342 | | | | | Business First Bancshares Inc. | | | 8,454 | |
| | 613 | | | | | Byline Bancorp Inc.* | | | 12,530 | |
| | 102 | | | | | C&F Financial Corp. | | | 5,262 | |
| | 4,464 | | | | | Cadence BanCorp, Class A Shares | | | 89,235 | |
| | 125 | | | | | Cambridge Bancorp | | | 10,374 | |
| | 570 | | | | | Camden National Corp. | | | 25,564 | |
| | 375 | | | | | Capital City Bank Group Inc. | | | 9,255 | |
| | 374 | | | | | Capstar Financial Holdings Inc. | | | 6,268 | |
| | 739 | | | | | Carolina Financial Corp. | | | 27,062 | |
See Notes to Financial Statements.
39
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | | | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | FINANCIALS — 11.2% — (continued) | |
|
| | Banks — 5.0% — (continued) | |
| | 2,824 | | | | | Cathay General Bancorp | | $ | 109,684 | |
| | 231 | | | | | CB Financial Services Inc. | | | 5,976 | |
| | 702 | | | | | CBTX Inc. | | | 23,384 | |
| | 3,359 | | | | | CenterState Bank Corp. | | | 88,879 | |
| | 1,053 | | | | | Central Pacific Financial Corp. | | | 30,727 | |
| | 304 | | | | | Central Valley Community Bancorp | | | 5,919 | |
| | 86 | | | | | Century Bancorp Inc., Class A Shares | | | 6,652 | |
| | 2,581 | | | | | Chemical Financial Corp. | | | 118,287 | |
| | 124 | | | | | Chemung Financial Corp. | | | 5,776 | |
| | 27,540 | | | | | CIT Group Inc. | | | 1,403,714 | |
| | 468 | | | | | Citizens & Northern Corp. | | | 12,280 | |
| | 562 | | | | | City Holding Co. | | | 45,039 | |
| | 400 | | | | | Civista Bancshares Inc. | | | 8,532 | |
| | 561 | | | | | CNB Financial Corp. | | | 15,596 | |
| | 355 | | | | | Coastal Financial Corp.* | | | 5,804 | |
| | 331 | | | | | Codorus Valley Bancorp Inc. | | | 7,507 | |
| | 2,602 | | | | | Columbia Banking System Inc. | | | 98,564 | |
| | 5,600 | | | | | Comerica Inc. | | | 487,816 | |
| | 3,620 | | | | | Commerce Bancshares Inc. | | | 227,807 | |
| | 1,756 | | | | | Community Bank System Inc. | | | 113,771 | |
| | 856 | | | | | Community Bankers Trust Corp.* | | | 6,831 | |
| | 155 | | | | | Community Financial Corp. (The) | | | 4,659 | |
| | 582 | | | | | Community Trust Bancorp Inc. | | | 24,898 | |
| | 1,134 | | | | | ConnectOne Bancorp Inc. | | | 24,460 | |
| | 155 | | | | | County Bancorp Inc. | | | 2,959 | |
| | 2,069 | | | | | Cullen/Frost Bankers Inc. | | | 214,514 | |
| | 1,036 | | | | | Customers Bancorp Inc.* | | | 22,160 | |
| | 4,088 | | | | | CVB Financial Corp. | | | 93,166 | |
| | 1,112 | | | | | Eagle Bancorp Inc.* | | | 65,819 | |
| | 39,424 | | | | | East West Bancorp Inc. | | | 2,152,945 | |
| | 361 | | | | | Enterprise Bancorp Inc. | | | 11,451 | |
| | 775 | | | | | Enterprise Financial Services Corp. | | | 35,015 | |
| | 503 | | | | | Equity Bancshares Inc., Class A Shares* | | | 17,097 | |
| | 279 | | | | | Esquire Financial Holdings Inc.* | | | 6,364 | |
| | 187 | | | | | Evans Bancorp Inc. | | | 6,667 | |
| | 335 | | | | | Farmers & Merchants Bancorp Inc. | | | 10,254 | |
| | 1,013 | | | | | Farmers National Banc Corp. | | | 14,911 | |
| | 547 | | | | | FB Financial Corp. | | | 19,391 | |
| | 112 | | | | | Fidelity D&D Bancorp Inc. | | | 6,522 | |
| | 793 | | | | | Fidelity Southern Corp. | | | 25,836 | |
| | 611 | | | | | Financial Institutions Inc. | | | 18,416 | |
| | 7,492 | | | | | First Bancorp | | | 86,233 | |
| | 400 | | | | | First Bancorp Inc. | | | 10,540 | |
| | 996 | | | | | First Bancorp.M | | | 39,033 | |
| | 477 | | | | | First Bancshares Inc. (The) | | | 15,627 | |
| | 727 | | | | | First Bank | | | 8,411 | |
| | 1,631 | | | | | First Busey Corp. | | | 43,939 | |
| | 370 | | | | | First Business Financial Services Inc. | | | 8,162 | |
| | 246 | | | | | First Choice Bancorp | | | 5,732 | |
| | 292 | | | | | First Citizens BancShares Inc., Class A Shares | | | 127,481 | |
| | 3,394 | | | | | First Commonwealth Financial Corp. | | | 47,720 | |
| | 616 | | | | | First Community Bancshares Inc. | | | 22,084 | |
| | 338 | | | | | First Community Corp. | | | 6,777 | |
| | 3,325 | | | | | First Financial Bancorp | | | 92,202 | |
See Notes to Financial Statements.
40
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | | | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | FINANCIALS — 11.2% — (continued) | |
|
| | Banks — 5.0% — (continued) | |
| | 2,277 | | | | | First Financial Bankshares Inc. | | $ | 147,663 | |
| | 447 | | | | | First Financial Corp. | | | 19,838 | |
| | 226 | | | | | First Financial Northwest Inc. | | | 3,666 | |
| | 1,299 | | | | | First Foundation Inc. | | | 19,810 | |
| | 192 | | | | | First Guaranty Bancshares Inc. | | | 4,011 | |
| | 4,843 | | | | | First Hawaiian Inc. | | | 130,567 | |
| | 11,756 | | | | | First Horizon National Corp. | | | 183,746 | |
| | 341 | | | | | First Internet Bancorp | | | 7,366 | |
| | 1,251 | | | | | First Interstate BancSystem Inc., Class A Shares | | | 52,092 | |
| | 1,906 | | | | | First Merchants Corp. | | | 76,983 | |
| | 450 | | | | | FirstMid-Illinois Bancshares Inc. | | | 15,710 | |
| | 3,673 | | | | | First Midwest Bancorp Inc. | | | 85,030 | |
| | 347 | | | | | First Northwest Bancorp | | | 5,594 | |
| | 879 | | | | | First of Long Island Corp. (The) | | | 20,533 | |
| | 20,985 | | | | | First Republic Bank | | | 2,203,005 | |
| | 88 | | | | | First Savings Financial Group Inc. | | | 4,604 | |
| | 327 | | | | | First United Corp. | | | 5,657 | |
| | 1,034 | | | | | Flushing Financial Corp. | | | 23,999 | |
| | 11,245 | | | | | FNB Corp. | | | 137,639 | |
| | 495 | | | | | Franklin Financial Network Inc. | | | 16,236 | |
| | 5,952 | | | | | Fulton Financial Corp. | | | 102,255 | |
| | 798 | | | | | German American Bancorp Inc. | | | 24,714 | |
| | 2,978 | | | | | Glacier Bancorp Inc. | | | 130,496 | |
| | 404 | | | | | Great Southern Bancorp Inc. | | | 22,879 | |
| | 2,043 | | | | | Great Western Bancorp Inc. | | | 76,715 | |
| | 257 | | | | | Guaranty Bancshares Inc. | | | 7,905 | |
| | 3,087 | | | | | Hancock Whitney Corp. | | | 134,840 | |
| | 1,185 | | | | | Hanmi Financial Corp. | | | 27,350 | |
| | 472 | | | | | HarborOne Bancorp Inc.* | | | 7,613 | |
| | 1,101 | | | | | Heartland Financial USA Inc. | | | 53,498 | |
| | 1,597 | | | | | Heritage Commerce Corp. | | | 22,310 | |
| | 1,313 | | | | | Heritage Financial Corp. | | | 43,224 | |
| | 2,481 | | | | | Hilltop Holdings Inc. | | | 47,685 | |
| | 5,821 | | | | | Home BancShares Inc. | | | 113,393 | |
| | 586 | | | | | HomeTrust Bancshares Inc. | | | 15,957 | |
| | 4,473 | | | | | Hope Bancorp Inc. | | | 65,216 | |
| | 1,465 | | | | | Horizon Bancorp Inc. | | | 25,887 | |
| | 590 | | | | | Howard Bancorp Inc.* | | | 7,829 | |
| | 34,300 | | | | | Huntington Bancshares Inc. | | | 494,263 | |
| | 2,003 | | | | | IBERIABANK Corp. | | | 156,695 | |
| | 1,816 | | | | | Independent Bank Corp. | | | 100,822 | |
| | 1,203 | | | | | Independent Bank Group Inc. | | | 69,726 | |
| | 2,075 | | | | | International Bancshares Corp. | | | 84,701 | |
| | 334 | | | | | Investar Holding Corp. | | | 8,130 | |
| | 8,809 | | | | | Investors Bancorp Inc. | | | 110,729 | |
| | 1,723 | | | | | Lakeland Bancorp Inc. | | | 28,826 | |
| | 910 | | | | | Lakeland Financial Corp. | | | 43,971 | |
| | 324 | | | | | LCNB Corp. | | | 5,508 | |
| | 1,789 | | | | | LegacyTexas Financial Group Inc. | | | 74,655 | |
| | 960 | | | | | Live Oak Bancshares Inc. | | | 15,562 | |
| | 1,056 | | | | | Macatawa Bank Corp. | | | 11,521 | |
| | 238 | | | | | Malvern Bancorp Inc.* | | | 4,941 | |
| | 3,024 | | | | | MB Financial Inc. | | | 136,896 | |
| | 806 | | | | | MBT Financial Corp. | | | 8,922 | |
See Notes to Financial Statements.
41
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | | | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | FINANCIALS — 11.2% — (continued) | |
|
| | Banks — 5.0% — (continued) | |
| | 594 | | | | | Mercantile Bank Corp. | | $ | 20,570 | |
| | 239 | | | | | Metropolitan Bank Holding Corp.* | | | 9,209 | |
| | 210 | | | | | Mid Penn Bancorp Inc. | | | 5,143 | |
| | 99 | | | | | Middlefield Banc Corp. | | | 4,153 | |
| | 799 | | | | | Midland States Bancorp Inc. | | | 20,375 | |
| | 423 | | | | | MidSouth Bancorp Inc. | | | 4,818 | |
| | 467 | | | | | MidWestOne Financial Group Inc. | | | 14,519 | |
| | 179 | | | | | MutualFirst Financial Inc. | | | 5,628 | |
| | 362 | | | | | MVB Financial Corp. | | | 5,539 | |
| | 1,076 | | | | | National Bank Holdings Corp., Class A Shares | | | 38,876 | |
| | 251 | | | | | National Bankshares Inc. | | | 9,914 | |
| | 612 | | | | | National Commerce Corp.* | | | 26,738 | |
| | 1,457 | | | | | NBT Bancorp Inc. | | | 56,284 | |
| | 315 | | | | | Nicolet Bankshares Inc.* | | | 18,087 | |
| | 318 | | | | | Northeast Bancorp | | | 6,449 | |
| | 262 | | | | | Northrim BanCorp Inc. | | | 9,828 | |
| | 201 | | | | | Norwood Financial Corp. | | | 6,159 | |
| | 304 | | | | | Oak Valley Bancorp | | | 5,426 | |
| | 1,615 | | | | | OFG Bancorp | | | 33,414 | |
| | 134 | | | | | Ohio Valley Banc Corp. | | | 4,892 | |
| | 604 | | | | | Old Line Bancshares Inc. | | | 17,299 | |
| | 5,192 | | | | | Old National Bancorp | | | 92,314 | |
| | 1,221 | | | | | Old Second Bancorp Inc. | | | 17,436 | |
| | 708 | | | | | Opus Bank | | | 16,121 | |
| | 613 | | | | | Origin Bancorp Inc. | | | 22,105 | |
| | 279 | | | | | Orrstown Financial Services Inc. | | | 5,697 | |
| | 473 | | | | | Pacific City Financial Corp. | | | 8,041 | |
| | 487 | | | | | Pacific Mercantile Bancorp* | | | 4,018 | |
| | 1,755 | | | | | Pacific Premier Bancorp Inc. | | | 52,387 | |
| | 4,465 | | | | | PacWest Bancorp | | | 183,154 | |
| | 494 | | | | | Park National Corp. | | | 49,474 | |
| | 284 | | | | | Parke Bancorp Inc. | | | 6,302 | |
| | 636 | | | | | Peapack Gladstone Financial Corp. | | | 18,495 | |
| | 169 | | | | | Penns Woods Bancorp Inc. | | | 7,412 | |
| | 583 | | | | | Peoples Bancorp Inc. | | | 19,437 | |
| | 165 | | | | | Peoples Bancorp of North Carolina Inc. | | | 4,653 | |
| | 268 | | | | | Peoples Financial Services Corp. | | | 11,725 | |
| | 13,279 | | | | | People’s United Financial Inc. | | | 235,835 | |
| | 540 | | | | | People’s Utah Bancorp | | | 15,854 | |
| | 2,721 | | | | | Pinnacle Financial Partners Inc. | | | 159,695 | |
| | 3,589 | | | | | Popular Inc. | | | 202,348 | |
| | 419 | | | | | Preferred Bank | | | 21,461 | |
| | 390 | | | | | Premier Financial Bancorp Inc. | | | 6,462 | |
| | 2,400 | | | | | Prosperity Bancshares Inc. | | | 178,680 | |
| | 510 | | | | | QCR Holdings Inc. | | | 18,233 | |
| | 515 | | | | | RBB Bancorp | | | 11,150 | |
| | 417 | | | | | Reliant Bancorp Inc. | | | 9,149 | |
| | 1,882 | | | | | Renasant Corp. | | | 72,043 | |
| | 322 | | | | | Republic Bancorp Inc., Class A Shares | | | 14,567 | |
| | 1,597 | | | | | Republic First Bancorp Inc.* | | | 10,221 | |
| | 1,180 | | | | | S&T Bancorp Inc. | | | 48,828 | |
| | 1,196 | | | | | Sandy Spring Bancorp Inc. | | | 41,944 | |
| | 331 | | | | | SB One Bancorp | | | 7,828 | |
| | 1,603 | | | | | Seacoast Banking Corp. of Florida* | | | 46,519 | |
See Notes to Financial Statements.
42
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | | | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | FINANCIALS — 11.2% — (continued) | |
|
| | Banks — 5.0% — (continued) | |
| | 486 | | | | | Select Bancorp Inc.* | | $ | 5,623 | |
| | 1,837 | | | | | ServisFirst Bancshares Inc. | | | 64,240 | |
| | 449 | | | | | Shore Bancshares Inc. | | | 7,072 | |
| | 590 | | | | | Sierra Bancorp | | | 15,900 | |
| | 1,905 | | | | | Signature Bank | | | 258,623 | |
| | 3,143 | | | | | Simmons First National Corp., Class A Shares | | | 84,327 | |
| | 437 | | | | | SmartFinancial Inc.* | | | 8,574 | |
| | 1,299 | | | | | South State Corp. | | | 92,281 | |
| | 257 | | | | | Southern First Bancshares Inc.* | | | 9,792 | |
| | 756 | | | | | Southern National Bancorp of Virginia Inc. | | | 11,983 | |
| | 1,149 | | | | | Southside Bancshares Inc. | | | 39,893 | |
| | 333 | | | | | Spirit of Texas Bancshares Inc.* | | | 7,193 | |
| | 8,094 | | | | | Sterling Bancorp | | | 164,551 | |
| | 810 | | | | | Stock Yards Bancorp Inc. | | | 28,852 | |
| | 395 | | | | | Summit Financial Group Inc. | | | 9,642 | |
| | 5,796 | | | | | Synovus Financial Corp. | | | 229,985 | |
| | 44,930 | | | | | TCF Financial Corp. | | | 1,028,897 | |
| | 8,456 | | | | | Texas Capital Bancshares Inc.* | | | 516,070 | |
| | 504 | | | | | Tompkins Financial Corp. | | | 40,527 | |
| | 2,516 | | | | | Towne Bank | | | 69,366 | |
| | 949 | | | | | TriCo Bancshares | | | 38,169 | |
| | 828 | | | | | TriState Capital Holdings Inc.* | | | 18,721 | |
| | 898 | | | | | Triumph Bancorp Inc.* | | | 30,415 | |
| | 2,284 | | | | | Trustmark Corp. | | | 81,036 | |
| | 1,660 | | | | | UMB Financial Corp. | | | 114,225 | |
| | 7,980 | | | | | Umpqua Holdings Corp. | | | 145,076 | |
| | 2,933 | | | | | Union Bankshares Corp. | | | 104,327 | |
| | 117 | | | | | Union Bankshares Inc.(a) | | | 5,440 | |
| | 3,612 | | | | | United Bankshares Inc. | | | 138,665 | |
| | 2,652 | | | | | United Community Banks Inc. | | | 73,434 | |
| | 508 | | | | | United Security Bancshares | | | 5,486 | |
| | 281 | | | | | Unity Bancorp Inc. | | | 6,207 | |
| | 1,085 | | | | | Univest Financial Corp. | | | 28,763 | |
| | 11,287 | | | | | Valley National Bancorp | | | 119,191 | |
| | 1,595 | | | | | Veritex Holdings Inc. | | | 44,676 | |
| | 564 | | | | | Washington Trust Bancorp Inc. | | | 29,554 | |
| | 18,311 | | | | | Webster Financial Corp. | | | 1,051,418 | |
| | 1,965 | | | | | WesBanco Inc. | | | 83,375 | |
| | 580 | | | | | West Bancorporation Inc. | | | 13,410 | |
| | 885 | | | | | Westamerica Bancorporation | | | 56,888 | |
| | 3,581 | | | | | Western Alliance Bancorp* | | | 165,693 | |
| | 2,036 | | | | | Wintrust Financial Corp. | | | 149,992 | |
| | 6,803 | | | | | Zions Bancorp N.A. | | | 347,633 | |
| | | | | | | | | | |
| | | | | | Total Banks | | | 23,554,538 | |
| | | | | | | | | | |
|
| | Capital Markets — 2.3% | |
| | 1,671 | | | | | Artisan Partners Asset Management Inc., Class A Shares | | | 43,947 | |
| | 56 | | | | | Associated Capital Group Inc., Class A Shares(a) | | | 2,382 | |
| | 722 | | | | | B. Riley Financial Inc. | | | 12,303 | |
| | 9,831 | | | | | BGC Partners Inc., Class A Shares | | | 60,264 | |
| | 1,643 | | | | | Blucora Inc.* | | | 44,180 | |
| | 2,763 | | | | | BrightSphere Investment Group PLC | | | 39,096 | |
| | 759 | | | | | Cohen & Steers Inc. | | | 31,696 | |
| | 1,071 | | | | | Cowen Inc., Class A Shares* | | | 16,579 | |
| | 130 | | | | | Diamond Hill Investment Group Inc. | | | 18,455 | |
See Notes to Financial Statements.
43
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | | | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | FINANCIALS — 11.2% — (continued) | |
|
| | Capital Markets — 2.3% — (continued) | |
| | 1,232 | | | | | Donnelley Financial Solutions Inc.* | | $ | 17,507 | |
| | 3,998 | | | | | Eaton Vance Corp. | | | 167,316 | |
| | 9,270 | | | | | Evercore Inc., Class A Shares | | | 853,767 | |
| | 1,320 | | | | | FactSet Research Systems Inc. | | | 310,424 | |
| | 3,545 | | | | | Federated Investors Inc., Class B Shares | | | 105,464 | |
| | 726 | | | | | Focus Financial Partners Inc., Class A Shares* | | | 27,479 | |
| | 1,172 | | | | | GAIN Capital Holdings Inc. | | | 8,087 | |
| | 28,427 | | | | | Greenhill & Co., Inc.(a) | | | 669,172 | |
| | 11,525 | | | | | Hamilton Lane Inc., Class A Shares | | | 537,987 | |
| | 1,180 | | | | | Houlihan Lokey Inc., Class A Shares | | | 54,256 | |
| | 575 | | | | | INTL. FCStone Inc.* | | | 25,013 | |
| | 1,130 | | | | | Investment Technology Group Inc. | | | 34,160 | |
| | 3,952 | | | | | Ladenburg Thalmann Financial Services Inc. | | | 11,619 | |
| | 4,245 | | | | | Lazard Ltd., Class A Shares | | | 158,890 | |
| | 2,962 | | | | | Legg Mason Inc. | | | 86,639 | |
| | 27,786 | | | | | LPL Financial Holdings Inc. | | | 2,095,342 | |
| | 1,323 | | | | | MarketAxess Holdings Inc. | | | 322,653 | |
| | 1,669 | | | | | Moelis & Co., Class A Shares | | | 74,454 | |
| | 3,638 | | | | | Moody’s Corp. | | | 629,811 | |
| | 638 | | | | | Morningstar Inc. | | | 80,745 | |
| | 8,947 | | | | | Nasdaq Inc. | | | 819,277 | |
| | 365 | | | | | Oppenheimer Holdings Inc., Class A Shares | | | 10,300 | |
| | 487 | | | | | Piper Jaffray Cos. | | | 34,071 | |
| | 749 | | | | | PJT Partners Inc., Class A Shares | | | 34,626 | |
| | 552 | | | | | Pzena Investment Management Inc., Class A Shares | | | 5,498 | |
| | 9,800 | | | | | Raymond James Financial Inc. | | | 809,284 | |
| | 723 | | | | | Safeguard Scientifics Inc.* | | | 7,845 | |
| | 40,473 | | | | | SEI Investments Co. | | | 2,134,951 | |
| | 489 | | | | | Siebert Financial Corp.* | | | 6,161 | |
| | 236 | | | | | Silvercrest Asset Management Group Inc., Class A Shares | | | 3,538 | |
| | 2,531 | | | | | Stifel Financial Corp. | | | 137,762 | |
| | 1,466 | | | | | Virtu Financial Inc., Class A Shares | | | 36,855 | |
| | 262 | | | | | Virtus Investment Partners Inc. | | | 26,805 | |
| | 2,653 | | | | | Waddell & Reed Financial Inc., Class A Shares | | | 49,107 | |
| | 331 | | | | | Westwood Holdings Group Inc. | | | 12,793 | |
| | 4,377 | | | | | WisdomTree Investments Inc. | | | 34,053 | |
| | | | | | | | | | |
| | | | | | Total Capital Markets | | | 10,702,613 | |
| | | | | | | | | | |
|
| | Consumer Finance — 0.5% | |
| | 411 | | | | | Credit Acceptance Corp.* | | | 180,783 | |
| | 460 | | | | | Curo Group Holdings Corp.* | | | 5,069 | |
| | 578 | | | | | Elevate Credit Inc.* | | | 2,532 | |
| | 977 | | | | | Encore Capital Group Inc.* | | | 33,413 | |
| | 1,245 | | | | | Enova International Inc.* | | | 31,772 | |
| | 1,791 | | | | | EZCORP Inc., Class A Shares* | | | 17,498 | |
| | 1,585 | | | | | FirstCash Inc. | | | 138,941 | |
| | 1,768 | | | | | Green Dot Corp., Class A Shares* | | | 114,124 | |
| | 11,818 | | | | | LendingClub Corp.* | | | 35,100 | |
| | 9,361 | | | | | Navient Corp. | | | 114,391 | |
| | 642 | | | | | Nelnet Inc., Class A Shares | | | 35,194 | |
| | 2,724 | | | | | OneMain Holdings Inc., Class A Shares | | | 89,892 | |
| | 1,545 | | | | | PRA Group Inc.* | | | 49,734 | |
| | 359 | | | | | Regional Management Corp.* | | | 9,761 | |
| | 4,133 | | | | | Santander Consumer USA Holdings Inc. | | | 84,892 | |
See Notes to Financial Statements.
44
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | | | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | FINANCIALS — 11.2% — (continued) | |
|
| | Consumer Finance — 0.5% — (continued) | |
| | 133,733 | | | | | SLM Corp.* | | $ | 1,477,750 | |
| | 202 | | | | | World Acceptance Corp.* | | | 24,846 | |
| | | | | | | | | | |
| | | | | | Total Consumer Finance | | | 2,445,692 | |
| | | | | | | | | | |
|
| | Diversified Financial Services — 0.1% | |
| | 1,188 | | | | | Banco Latinoamericano de Comercio Exterior SA, Class E Shares | | | 24,853 | |
| | 2,623 | | | | | Cannae Holdings Inc.* | | | 60,119 | |
| | 5,328 | | | | | FGL Holdings* | | | 44,222 | |
| | 329 | | | | | Marlin Business Services Corp. | | | 7,745 | |
| | 2,018 | | | | | On Deck Capital Inc.* | | | 12,391 | |
| | 5,630 | | | | | Voya Financial Inc. | | | 284,709 | |
| | | | | | | | | | |
| | | | | | Total Diversified Financial Services | | | 434,039 | |
| | | | | | | | | | |
|
| | Insurance — 2.4% | |
| | 523 | | | | | Alleghany Corp. | | | 336,268 | |
| | 1,734 | | | | | Ambac Financial Group Inc.* | | | 34,281 | |
| | 3,191 | | | | | American Equity Investment Life Holding Co. | | | 100,995 | |
| | 2,544 | | | | | American Financial Group Inc. | | | 253,535 | |
| | 256 | | | | | American National Insurance Co. | | | 37,681 | |
| | 662 | | | | | AMERISAFE Inc. | | | 41,779 | |
| | 8,146 | | | | | Aon PLC | | | 1,397,283 | |
| | 1,131 | | | | | Argo Group International Holdings Ltd. | | | 78,616 | |
| | 1,888 | | | | | Assurant Inc. | | | 194,445 | |
| | 3,814 | | | | | Assured Guaranty Ltd. | | | 159,273 | |
| | 2,887 | | | | | Axis Capital Holdings Ltd. | | | 164,761 | |
| | 4,449 | | | | | Brighthouse Financial Inc.* | | | 172,265 | |
| | 8,453 | | | | | Brown & Brown Inc. | | | 250,378 | |
| | 1,750 | | | | | Citizens Inc., Class A Shares*(a) | | | 11,953 | |
| | 6,118 | | | | | CNO Financial Group Inc. | | | 104,190 | |
| | 107,927 | | | | | Crawford & Co., Class A Shares | | | 1,083,587 | |
| | 45,808 | | | | | Crawford & Co., Class B Shares | | | 470,906 | |
| | 276 | | | | | Donegal Group Inc., Class A Shares | | | 3,718 | |
| | 676 | | | | | eHealth Inc.* | | | 36,105 | |
| | 293 | | | | | EMC Insurance Group Inc. | | | 9,356 | |
| | 1,127 | | | | | Employers Holdings Inc. | | | 46,951 | |
| | 450 | | | | | Enstar Group Ltd.* | | | 80,280 | |
| | 898 | | | | | Erie Indemnity Co., Class A Shares | | | 160,042 | |
| | 1,467 | | | | | Everest Re Group Ltd. | | | 331,703 | |
| | 374 | | | | | FBL Financial Group Inc., Class A Shares | | | 26,131 | |
| | 416 | | | | | FedNat Holding Co. | | | 7,592 | |
| | 35,486 | | | | | Fidelity National Financial Inc. | | | 1,245,204 | |
| | 3,831 | | | | | First American Financial Corp. | | | 194,577 | |
| | 17,932 | | | | | Genworth Financial Inc., Class A Shares* | | | 69,397 | |
| | 296 | | | | | Global Indemnity Ltd. | | | 11,420 | |
| | 371 | | | | | Goosehead Insurance Inc., Class A Shares*(a) | | | 11,705 | |
| | 1,274 | | | | | Greenlight Capital Re Ltd., Class A Shares* | | | 14,256 | |
| | 546 | | | | | Hallmark Financial Services Inc.* | | | 5,706 | |
| | 1,497 | | | | | Hanover Insurance Group Inc. (The) | | | 177,709 | |
| | 245 | | | | | HCI Group Inc. | | | 11,309 | |
| | 425 | | | | | Health Insurance Innovations Inc., Class A Shares* | | | 15,814 | |
| | 749 | | | | | Heritage Insurance Holdings Inc. | | | 11,175 | |
| | 1,419 | | | | | Horace Mann Educators Corp. | | | 55,611 | |
| | 121 | | | | | Independence Holding Co. | | | 4,621 | |
| | 44 | | | | | Investors Title Co. | | | 7,498 | |
| | 892 | | | | | James River Group Holdings Ltd. | | | 36,652 | |
See Notes to Financial Statements.
45
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | | | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | FINANCIALS — 11.2% — (continued) | |
|
| | Insurance — 2.4% — (continued) | |
| | 15,619 | | | | | Kemper Corp. | | $ | 1,297,939 | |
| | 245 | | | | | Kingstone Cos., Inc. | | | 4,118 | |
| | 787 | | | | | Kinsale Capital Group Inc. | | | 52,540 | |
| | 2,473 | | | | | Maiden Holdings Ltd. | | | 3,042 | |
| | 2,994 | | | | | MBIA Inc.* | | | 29,730 | |
| | 963 | | | | | Mercury General Corp. | | | 51,010 | |
| | 2,305 | | | | | National General Holdings Corp. | | | 59,492 | |
| | 91 | | | | | National Western Life Group Inc., Class A Shares | | | 28,028 | |
| | 724 | | | | | Navigators Group Inc. (The) | | | 50,521 | |
| | 380 | | | | | NI Holdings Inc.* | | | 5,734 | |
| | 10,311 | | | | | Old Republic International Corp. | | | 215,087 | |
| | 1,514 | | | | | Primerica Inc. | | | 189,311 | |
| | 1,849 | | | | | ProAssurance Corp. | | | 75,069 | |
| | 420 | | | | | Protective Insurance Corp., Class B Shares | | | 8,866 | |
| | 2,268 | | | | | Reinsurance Group of America Inc., Class A Shares | | | 327,703 | |
| | 1,439 | | | | | RenaissanceRe Holdings Ltd. | | | 211,605 | |
| | 1,385 | | | | | RLI Corp. | | | 97,670 | |
| | 504 | | | | | Safety Insurance Group Inc. | | | 45,027 | |
| | 2,038 | | | | | Selective Insurance Group Inc. | | | 134,426 | |
| | 579 | | | | | State Auto Financial Corp. | | | 19,495 | |
| | 808 | | | | | Stewart Information Services Corp. | | | 34,687 | |
| | 2,565 | | | | | Third Point Reinsurance Ltd.* | | | 27,420 | |
| | 1,343 | | | | | Tiptree Inc. | | | 8,233 | |
| | 3,745 | | | | | Torchmark Corp. | | | 309,187 | |
| | 899 | | | | | Trupanion Inc.*(a) | | | 27,285 | |
| | 733 | | | | | United Fire Group Inc. | | | 35,726 | |
| | 904 | | | | | United Insurance Holdings Corp. | | | 14,808 | |
| | 1,115 | | | | | Universal Insurance Holdings Inc. | | | 43,530 | |
| | 116 | | | | | White Mountains Insurance Group Ltd. | | | 108,969 | |
| | 3,403 | | | | | WR Berkley Corp. | | | 284,695 | |
| | | | | | | | | | |
| | | | | | Total Insurance | | | 11,267,681 | |
| | | | | | | | | | |
|
| | Mortgage Real Estate Investment Trusts (REITs) — 0.4% | |
| | 1,163 | | | | | AG Mortgage Investment Trust Inc. | | | 20,678 | |
| | 18,688 | | | | | AGNC Investment Corp. | | | 329,843 | |
| | 4,060 | | | | | Anworth Mortgage Asset Corp. | | | 17,296 | |
| | 4,394 | | | | | Apollo Commercial Real Estate Finance Inc. | | | 79,795 | |
| | 2,568 | | | | | Arbor Realty Trust Inc.(a) | | | 33,230 | |
| | 1,117 | | | | | Ares Commercial Real Estate Corp. | | | 17,045 | |
| | 1,084 | | | | | Arlington Asset Investment Corp., Class A Shares(a) | | | 8,986 | |
| | 1,541 | | | | | ARMOUR Residential REIT Inc. | | | 30,897 | |
| | 3,985 | | | | | Blackstone Mortgage Trust Inc., Class A Shares | | | 137,403 | |
| | 3,473 | | | | | Capstead Mortgage Corp. | | | 28,826 | |
| | 405 | | | | | Cherry Hill Mortgage Investment Corp. | | | 7,509 | |
| | 6,756 | | | | | Chimera Investment Corp. | | | 124,918 | |
| | 2,931 | | | | | Colony Credit Real Estate Inc. | | | 51,087 | |
| | 2,047 | | | | | Dynex Capital Inc. | | | 12,487 | |
| | 1,104 | | | | | Exantas Capital Corp. | | | 11,978 | |
| | 1,556 | | | | | Granite Point Mortgage Trust Inc. | | | 29,595 | |
| | 536 | | | | | Great Ajax Corp. | | | 7,091 | |
| | 4,195 | | | | | Invesco Mortgage Capital Inc. | | | 66,784 | |
| | 602 | | | | | KKR Real Estate Finance Trust Inc. | | | 12,263 | |
| | 3,283 | | | | | Ladder Capital Corp., Class A Shares | | | 60,243 | |
| | 16,198 | | | | | MFA Financial Inc. | | | 117,760 | |
| | 13,224 | | | | | New Residential Investment Corp. | | | 218,725 | |
See Notes to Financial Statements.
46
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | | | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | FINANCIALS — 11.2% — (continued) | |
|
| | Mortgage Real Estate Investment Trusts (REITs) — 0.4% — (continued) | |
| | 5,844 | | | | | New York Mortgage Trust Inc. | | $ | 35,064 | |
| | 1,954 | | | | | Orchid Island Capital Inc., Class A Shares | | | 13,053 | |
| | 2,228 | | | | | PennyMac Mortgage Investment Trust | | | 45,407 | |
| | 582 | | | | | Ready Capital Corp. | | | 9,388 | |
| | 3,098 | | | | | Redwood Trust Inc. | | | 47,399 | |
| | 9,695 | | | | | Starwood Property Trust Inc. | | | 217,459 | |
| | 1,202 | | | | | TPG RE Finance Trust Inc. | | | 24,064 | |
| | 9,069 | | | | | Two Harbors Investment Corp. | | | 125,787 | |
| | 1,737 | | | | | Western Asset Mortgage Capital Corp. | | | 17,422 | |
| | | | | | | | | | |
| | | | | | Total Mortgage Real Estate Investment Trusts (REITs) | | | 1,959,482 | |
| | | | | | | | | | |
|
| | Thrifts & Mortgage Finance — 0.5% | |
| | 2,043 | | | | | Axos Financial Inc.* | | | 65,948 | |
| | 421 | | | | | BankFinancial Corp. | | | 6,584 | |
| | 2,291 | | | | | Beneficial Bancorp Inc. | | | 36,931 | |
| | 841 | | | | | Bridgewater Bancshares Inc.* | | | 9,386 | |
| | 322 | | | | | BSB Bancorp Inc.* | | | 11,367 | |
| | 4,446 | | | | | Capitol Federal Financial Inc. | | | 59,443 | |
| | 1,856 | | | | | Columbia Financial Inc.* | | | 29,752 | |
| | 1,178 | | | | | Dime Community Bancshares Inc. | | | 23,536 | |
| | 280 | | | | | Entegra Financial Corp.* | | | 6,728 | |
| | 294 | | | | | ESSA Bancorp Inc. | | | 4,701 | |
| | 13,124 | | | | | Essent Group Ltd.* | | | 566,169 | |
| | 335 | | | | | Federal Agricultural Mortgage Corp., Class C Shares | | | 27,426 | |
| | 739 | | | | | First Defiance Financial Corp. | | | 22,865 | |
| | 997 | | | | | Flagstar Bancorp Inc. | | | 32,562 | |
| | 92 | | | | | FS Bancorp Inc. | | | 4,770 | |
| | 75 | | | | | Greene County Bancorp Inc. | | | 2,363 | |
| | 52 | | | | | Hingham Institution for Savings | | | 10,182 | |
| | 296 | | | | | Home Bancorp Inc. | | | 10,470 | |
| | 941 | | | | | HomeStreet Inc.* | | | 26,254 | |
| | 439 | | | | | Impac Mortgage Holdings Inc.* | | | 1,756 | |
| | 3,126 | | | | | Kearny Financial Corp. | | | 42,482 | |
| | 294 | | | | | LendingTree Inc.* | | | 93,771 | |
| | 693 | | | | | Luther Burbank Corp. | | | 7,249 | |
| | 605 | | | | | Merchants Bancorp | | | 12,614 | |
| | 1,800 | | | | | Meridian Bancorp Inc. | | | 29,322 | |
| | 957 | | | | | Meta Financial Group Inc. | | | 22,346 | |
| | 12,670 | | | | | MGIC Investment Corp.* | | | 164,457 | |
| | 2,690 | | | | | Mr Cooper Group Inc.* | | | 36,719 | |
| | 17,173 | | | | | New York Community Bancorp Inc. | | | 214,834 | |
| | 2,168 | | | | | NMI Holdings Inc., Class A Shares* | | | 52,357 | |
| | 1,652 | | | | | Northfield Bancorp Inc. | | | 24,631 | |
| | 3,305 | | | | | Northwest Bancshares Inc. | | | 61,473 | |
| | 1,779 | | | | | OceanFirst Financial Corp. | | | 44,831 | |
| | 4,389 | | | | | Ocwen Financial Corp.* | | | 9,392 | |
| | 581 | | | | | OP Bancorp | | | 5,275 | |
| | 1,493 | | | | | Oritani Financial Corp. | | | 26,799 | |
| | 546 | | | | | PCSB Financial Corp. | | | 11,100 | |
| | 270 | | | | | PDL Community Bancorp* | | | 3,534 | |
| | 186 | | | | | Provident Bancorp Inc.* | | | 4,284 | |
| | 2,148 | | | | | Provident Financial Services Inc. | | | 58,963 | |
| | 276 | | | | | Prudential Bancorp Inc. | | | 5,015 | |
| | 7,827 | | | | | Radian Group Inc. | | | 159,358 | |
| | 886 | | | | | Riverview Bancorp Inc. | | | 6,858 | |
See Notes to Financial Statements.
47
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | | | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | FINANCIALS — 11.2% — (continued) | |
|
| | Thrifts & Mortgage Finance — 0.5% — (continued) | |
| | 314 | | | | | SI Financial Group Inc. | | $ | 4,631 | |
| | 265 | | | | | Southern Missouri Bancorp Inc. | | | 9,588 | |
| | 551 | | | | | Sterling Bancorp Inc. | | | 5,560 | |
| | 291 | | | | | Territorial Bancorp Inc. | | | 8,177 | |
| | 1,660 | | | | | TFS Financial Corp. | | | 28,436 | |
| | 287 | | | | | Timberland Bancorp Inc. | | | 8,782 | |
| | 3,578 | | | | | TrustCo Bank Corp. NY | | | 30,306 | |
| | 1,873 | | | | | United Community Financial Corp. | | | 18,767 | |
| | 1,912 | | | | | United Financial Bancorp Inc. | | | 29,693 | |
| �� | 961 | | | | | Walker & Dunlop Inc. | | | 53,624 | |
| | 2,999 | | | | | Washington Federal Inc. | | | 92,009 | |
| | 871 | | | | | Waterstone Financial Inc. | | | 14,668 | |
| | 950 | | | | | Western New England Bancorp Inc. | | | 9,329 | |
| | 1,042 | | | | | WSFS Financial Corp. | | | 45,098 | |
| | | | | | | | | | |
| | | | | | Total Thrifts & Mortgage Finance | | | 2,415,525 | |
| | | | | | | | | | |
| | | | | | TOTAL FINANCIALS | | | 52,779,570 | |
| | | | | | | | | | |
|
| | HEALTH CARE — 15.2% | |
|
| | Biotechnology — 3.3% | |
| | 1,193 | | | | | Abeona Therapeutics Inc.* | | | 8,375 | |
| | 3,439 | | | | | ACADIA Pharmaceuticals Inc.* | | | 91,133 | |
| | 19,203 | | | | | Acceleron Pharma Inc.* | | | 845,700 | |
| | 1,385 | | | | | Achaogen Inc.*(a) | | | 1,004 | |
| | 5,051 | | | | | Achillion Pharmaceuticals Inc.* | | | 12,678 | |
| | 1,621 | | | | | Acorda Therapeutics Inc.* | | | 23,894 | |
| | 828 | | | | | Adamas Pharmaceuticals Inc.* | | | 9,265 | |
| | 686 | | | | | ADMA Biologics Inc.* | | | 2,806 | |
| | 2,384 | | | | | Aduro Biotech Inc.* | | | 10,251 | |
| | 2,372 | | | | | Adverum Biotechnologies Inc.* | | | 9,607 | |
| | 700 | | | | | Aeglea BioTherapeutics Inc.* | | | 5,852 | |
| | 3,576 | | | | | Agenus Inc.* | | | 11,050 | |
| | 357 | | | | | AgeX Therapeutics Inc.*(a) | | | 1,517 | |
| | 1,822 | | | | | Agios Pharmaceuticals Inc.* | | | 118,193 | |
| | 1,611 | | | | | Aimmune Therapeutics Inc.* | | | 38,809 | |
| | 3,214 | | | | | Akebia Therapeutics Inc.* | | | 23,398 | |
| | 391 | | | | | Albireo Pharma Inc.* | | | 10,995 | |
| | 2,171 | | | | | Alder Biopharmaceuticals Inc.* | | | 27,832 | |
| | 751 | | | | | Aldeyra Therapeutics Inc.* | | | 6,068 | |
| | 5,629 | | | | | Alkermes PLC* | | | 187,277 | |
| | 321 | | | | | Allakos Inc.* | | | 12,827 | |
| | 391 | | | | | Allena Pharmaceuticals Inc.* | | | 2,823 | |
| | 773 | | | | | Allogene Therapeutics Inc.* | | | 24,496 | |
| | 3,241 | | | | | Alnylam Pharmaceuticals Inc.* | | | 275,485 | |
| | 1,286 | | | | | AMAG Pharmaceuticals Inc.* | | | 19,149 | |
| | 6,620 | | | | | Amicus Therapeutics Inc.* | | | 80,102 | |
| | 766 | | | | | AnaptysBio Inc.* | | | 52,754 | |
| | 514 | | | | | Anika Therapeutics Inc.* | | | 16,772 | |
| | 23,993 | | | | | Apellis Pharmaceuticals Inc.* | | | 363,494 | |
| | 511 | | | | | Aptinyx Inc.* | | | 2,708 | |
| | 1,232 | | | | | Arbutus Biopharma Corp.* | | | 5,408 | |
| | 1,138 | | | | | Arcus Biosciences Inc.* | | | 13,417 | |
| | 1,549 | | | | | Ardelyx Inc.* | | | 4,353 | |
| | 1,737 | | | | | Arena Pharmaceuticals Inc.* | | | 86,711 | |
| | 3,300 | | | | | ArQule Inc.* | | | 10,791 | |
See Notes to Financial Statements.
48
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | | | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | HEALTH CARE — 15.2% — (continued) | |
|
| | Biotechnology — 3.3% — (continued) | |
| | 7,349 | | | | | Array BioPharma Inc.* | | $ | 168,586 | |
| | 3,010 | | | | | Arrowhead Pharmaceuticals Inc.* | | | 58,755 | |
| | 345 | | | | | Arsanis Inc.* | | | 952 | |
| | 8,970 | | | | | Ascendis Pharma AS, ADR* | | | 653,195 | |
| | 679 | | | | | Assembly Biosciences Inc.* | | | 14,524 | |
| | 1,514 | | | | | Atara Biotherapeutics Inc.* | | | 54,216 | |
| | 1,563 | | | | | Athenex Inc.* | | | 20,585 | |
| | 4,761 | | | | | Athersys Inc.*(a) | | | 7,094 | |
| | 1,191 | | | | | Audentes Therapeutics Inc.* | | | 36,468 | |
| | 4,468 | | | | | AVEO Pharmaceuticals Inc.*(a) | | | 2,410 | |
| | 2,191 | | | | | Avid Bioservices Inc.* | | | 8,523 | |
| | 241 | | | | | Avrobio Inc.* | | | 4,015 | |
| | 1,777 | | | | | Bellicum Pharmaceuticals Inc.* | | | 5,704 | |
| | 4,127 | | | | | BioCryst Pharmaceuticals Inc.* | | | 34,089 | |
| | 1,017 | | | | | Biohaven Pharmaceutical Holding Co., Ltd.* | | | 44,728 | |
| | 7,849 | | | | | BioMarin Pharmaceutical Inc.* | | | 731,998 | |
| | 189 | | | | | BioSpecifics Technologies Corp.* | | | 13,126 | |
| | 3,583 | | | | | BioTime Inc.*(a) | | | 4,300 | |
| | 1,971 | | | | | Bluebird Bio Inc.* | | | 305,939 | |
| | 7,907 | | | | | Blueprint Medicines Corp.* | | | 649,876 | |
| | 935 | | | | | Calithera Biosciences Inc.* | | | 5,189 | |
| | 114 | | | | | Calyxt Inc.* | | | 1,827 | |
| | 1,009 | | | | | Cara Therapeutics Inc.* | | | 17,203 | |
| | 1,313 | | | | | CareDx Inc.* | | | 40,861 | |
| | 1,628 | | | | | CASI Pharmaceuticals Inc.*(a) | | | 5,340 | |
| | 618 | | | | | Catalyst Biosciences Inc.* | | | 5,265 | |
| | 3,568 | | | | | Catalyst Pharmaceuticals Inc.* | | | 10,383 | |
| | 171 | | | | | Celcuity Inc.* | | | 3,813 | |
| | 508 | | | | | Cellular Biomedicine Group Inc.*(a) | | | 9,713 | |
| | 765 | | | | | ChemoCentryx Inc.* | | | 8,224 | |
| | 1,495 | | | | | Chimerix Inc.* | | | 3,035 | |
| | 1,827 | | | | | Clovis Oncology Inc.* | | | 55,322 | |
| | 949 | | | | | Cohbar Inc.* | | | 3,018 | |
| | 1,744 | | | | | Coherus Biosciences Inc.* | | | 25,009 | |
| | 791 | | | | | Concert Pharmaceuticals Inc.* | | | 12,015 | |
| | 1,587 | | | | | Corbus Pharmaceuticals Holdings Inc.*(a) | | | 11,014 | |
| | 528 | | | | | Corvus Pharmaceuticals Inc.* | | | 2,556 | |
| | 272 | | | | | Crinetics Pharmaceuticals Inc.* | | | 6,501 | |
| | 2,213 | | | | | CTI BioPharma Corp.* | | | 2,257 | |
| | 519 | | | | | Cue Biopharma Inc.*(a) | | | 3,322 | |
| | 1,707 | | | | | Cytokinetics Inc.* | | | 12,325 | |
| | 1,436 | | | | | CytomX Therapeutics Inc.* | | | 16,112 | |
| | 236 | | | | | Deciphera Pharmaceuticals Inc.* | | | 6,702 | |
| | 1,582 | | | | | Denali Therapeutics Inc.* | | | 34,424 | |
| | 2,177 | | | | | Dicerna Pharmaceuticals Inc.* | | | 26,581 | |
| | 2,299 | | | | | Dynavax Technologies Corp.*(a) | | | 21,151 | |
| | 387 | | | | | Eagle Pharmaceuticals Inc.* | | | 19,377 | |
| | 1,698 | | | | | Editas Medicine Inc.* | | | 35,030 | |
| | 391 | | | | | Eidos Therapeutics Inc.*(a) | | | 7,222 | |
| | 1,617 | | | | | Emergent BioSolutions Inc.* | | | 94,352 | |
| | 585 | | | | | Enanta Pharmaceuticals Inc.* | | | 59,986 | |
| | 2,067 | | | | | Epizyme Inc.* | | | 26,788 | |
| | 788 | | | | | Esperion Therapeutics Inc.* | | | 36,327 | |
| | 594 | | | | | Evelo Biosciences Inc.* | | | 5,221 | |
See Notes to Financial Statements.
49
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | | | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | HEALTH CARE — 15.2% — (continued) | |
|
| | Biotechnology — 3.3% — (continued) | |
| | 11,212 | | | | | Exact Sciences Corp.* | | $ | 1,020,292 | |
| | 26,534 | | | | | Exelixis Inc.* | | | 594,096 | |
| | 29,130 | | | | | Fate Therapeutics Inc.* | | | 457,632 | |
| | 590 | | | | | Fennec Pharmaceuticals Inc.* | | | 3,924 | |
| | 2,683 | | | | | FibroGen Inc.* | | | 155,077 | |
| | 1,231 | | | | | Five Prime Therapeutics Inc.* | | | 14,255 | |
| | 1,238 | | | | | Flexion Therapeutics Inc.* | | | 17,109 | |
| | 630 | | | | | Fortress Biotech Inc.* | | | 1,317 | |
| | 373 | | | | | Forty Seven Inc.* | | | 6,229 | |
| | 760 | | | | | G1 Therapeutics Inc.* | | | 14,030 | |
| | 724 | | | | | Genomic Health Inc.* | | | 55,002 | |
| | 5,922 | | | | | Geron Corp.*(a) | | | 8,646 | |
| | 1,749 | | | | | Global Blood Therapeutics Inc.* | | | 91,822 | |
| | 1,202 | | | | | GlycoMimetics Inc.* | | | 14,773 | |
| | 251 | | | | | Gritstone Oncology Inc.*(a) | | | 3,228 | |
| | 138 | | | | | GTx Inc.* | | | 138 | |
| | 4,369 | | | | | Halozyme Therapeutics Inc.* | | | 75,365 | |
| | 2,457 | | | | | Heron Therapeutics Inc.* | | | 65,037 | |
| | 623 | | | | | Homology Medicines Inc.* | | | 18,366 | |
| | 752 | | | | | Idera Pharmaceuticals Inc.* | | | 2,098 | |
| | 1,142 | | | | | Immune Design Corp.* | | | 6,646 | |
| | 5,447 | | | | | ImmunoGen Inc.* | | | 25,710 | |
| | 5,140 | | | | | Immunomedics Inc.*(a) | | | 81,006 | |
| | 6,382 | | | | | Incyte Corp.* | | | 550,320 | |
| | 3,158 | | | | | Inovio Pharmaceuticals Inc.* | | | 11,558 | |
| | 2,852 | | | | | Insmed Inc.* | | | 84,562 | |
| | 1,137 | | | | | Insys Therapeutics Inc.*(a) | | | 7,152 | |
| | 1,237 | | | | | Intellia Therapeutics Inc.* | | | 18,840 | |
| | 767 | | | | | Intercept Pharmaceuticals Inc.* | | | 76,501 | |
| | 2,583 | | | | | Intrexon Corp.*(a) | | | 20,587 | |
| | 2,365 | | | | | Invitae Corp.* | | | 47,584 | |
| | 4,536 | | | | | Ionis Pharmaceuticals Inc.* | | | 322,011 | |
| | 3,840 | | | | | Iovance Biotherapeutics Inc.* | | | 39,437 | |
| | 63,029 | | | | | Ironwood Pharmaceuticals Inc., Class A Shares* | | | 897,533 | |
| | 747 | | | | | Jounce Therapeutics Inc.* | | | 3,324 | |
| | 3,071 | | | | | Kadmon Holdings Inc.* | | | 9,121 | |
| | 1,804 | | | | | Karyopharm Therapeutics Inc.* | | | 7,451 | |
| | 288 | | | | | Kezar Life Sciences Inc.* | | | 5,861 | |
| | 967 | | | | | Kindred Biosciences Inc.* | | | 10,463 | |
| | 262 | | | | | Kiniksa Pharmaceuticals Ltd., Class A Shares* | | | 4,703 | |
| | 927 | | | | | Kura Oncology Inc.* | | | 14,127 | |
| | 798 | | | | | La Jolla Pharmaceutical Co.* | | | 4,549 | |
| | 1,501 | | | | | Lexicon Pharmaceuticals Inc.* | | | 7,985 | |
| | 731 | | | | | Ligand Pharmaceuticals Inc.* | | | 90,702 | |
| | 1,457 | | | | | MacroGenics Inc.* | | | 29,140 | |
| | 235 | | | | | Madrigal Pharmaceuticals Inc.* | | | 30,851 | |
| | 6,214 | | | | | MannKind Corp.*(a) | | | 11,123 | |
| | 1,587 | | | | | MediciNova Inc.*(a) | | | 14,521 | |
| | 363 | | | | | Mersana Therapeutics Inc.* | | | 2,000 | |
| | 1,140 | | | | | Minerva Neurosciences Inc.* | | | 9,040 | |
| | 837 | | | | | Miragen Therapeutics Inc.* | | | 2,344 | |
| | 752 | | | | | Mirati Therapeutics Inc.* | | | 54,746 | |
| | 1,171 | | | | | Molecular Templates Inc.* | | | 5,808 | |
| | 37,260 | | | | | Momenta Pharmaceuticals Inc.* | | | 524,993 | |
See Notes to Financial Statements.
50
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | | | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | HEALTH CARE — 15.2% — (continued) | |
|
| | Biotechnology — 3.3% — (continued) | |
| | 393 | | | | | Mustang Bio Inc.* | | $ | 1,623 | |
| | 2,578 | | | | | Myriad Genetics Inc.* | | | 79,995 | |
| | 1,428 | | | | | NantKwest Inc.*(a) | | | 1,614 | |
| | 1,054 | | | | | Natera Inc.* | | | 16,695 | |
| | 5,225 | | | | | Neurocrine Biosciences Inc.* | | | 403,631 | |
| | 1,206 | | | | | NewLink Genetics Corp.* | | | 2,038 | |
| | 14,174 | | | | | Novavax Inc.* | | | 9,994 | |
| | 1,230 | | | | | Nymox Pharmaceutical Corp.*(a) | | | 2,669 | |
| | 11,088 | | | | | OPKO Health Inc.* | | | 28,274 | |
| | 16,240 | | | | | Orchard Therapeutics PLC, ADR* | | | 278,516 | |
| | 3,528 | | | | | Organovo Holdings Inc.*(a) | | | 3,740 | |
| | 364 | | | | | Ovid therapeutics Inc.* | | | 750 | |
| | 8,666 | | | | | Palatin Technologies Inc.* | | | 8,562 | |
| | 5,689 | | | | | PDL BioPharma Inc.* | | | 20,651 | |
| | 479 | | | | | Pfenex Inc.* | | | 2,151 | |
| | 1,923 | | | | | Pieris Pharmaceuticals Inc.* | | | 5,769 | |
| | 389 | | | | | PolarityTE Inc.*(a) | | | 4,711 | |
| | 2,251 | | | | | Portola Pharmaceuticals Inc.*(a) | | | 69,128 | |
| | 207 | | | | | Principia Biopharma Inc.* | | | 7,332 | |
| | 2,980 | | | | | Progenics Pharmaceuticals Inc.* | | | 13,172 | |
| | 683 | | | | | Proteostasis Therapeutics Inc.* | | | 2,814 | |
| | 1,345 | | | | | Prothena Corp. PLC* | | | 18,023 | |
| | 1,591 | | | | | PTC Therapeutics Inc.* | | | 54,953 | |
| | 1,084 | | | | | Puma Biotechnology Inc.* | | | 30,146 | |
| | 491 | | | | | Ra Pharmaceuticals Inc.* | | | 9,462 | |
| | 1,502 | | | | | Radius Health Inc.* | | | 28,478 | |
| | 719 | | | | | Recro Pharma Inc.* | | | 6,176 | |
| | 1,125 | | | | | REGENXBIO Inc.* | | | 58,196 | |
| | 1,373 | | | | | Repligen Corp.* | | | 81,721 | |
| | 296 | | | | | Replimune Group Inc.* | | | 4,061 | |
| | 1,487 | | | | | Retrophin Inc.* | | | 33,547 | |
| | 454 | | | | | Rhythm Pharmaceuticals Inc.* | | | 13,021 | |
| | 6,137 | | | | | Rigel Pharmaceuticals Inc.* | | | 13,440 | |
| | 759 | | | | | Rocket Pharmaceuticals Inc.* | | | 13,214 | |
| | 484 | | | | | Rubius Therapeutics Inc.* | | | 7,686 | |
| | 3,732 | | | | | Sage Therapeutics Inc.* | | | 594,321 | |
| | 3,511 | | | | | Sangamo Therapeutics Inc.* | | | 31,634 | |
| | 2,405 | | | | | Sarepta Therapeutics Inc.* | | | 346,897 | |
| | 1,075 | | | | | Savara Inc.* | | | 7,396 | |
| | 247 | | | | | Scholar Rock Holding Corp.* | | | 4,599 | |
| | 13,824 | | | | | Seattle Genetics Inc.* | | | 1,026,847 | |
| | 737 | | | | | Selecta Biosciences Inc.* | | | 1,467 | |
| | 629 | | | | | Seres Therapeutics Inc.* | | | 3,856 | |
| | 374 | | | | | Solid Biosciences Inc.* | | | 3,998 | |
| | 3,107 | | | | | Sorrento Therapeutics Inc.*(a) | | | 6,307 | |
| | 1,100 | | | | | Spark Therapeutics Inc.* | | | 124,630 | |
| | 3,689 | | | | | Spectrum Pharmaceuticals Inc.* | | | 39,878 | |
| | 135 | | | | | Spero Therapeutics Inc.* | | | 1,593 | |
| | 465 | | | | | Spring Bank Pharmaceuticals Inc.* | | | 4,836 | |
| | 965 | | | | | Stemline Therapeutics Inc.* | | | 10,586 | |
| | 408 | | | | | Surface Oncology Inc.* | | | 1,726 | |
| | 683 | | | | | Syndax Pharmaceuticals Inc.* | | | 4,214 | |
| | 10,024 | | | | | Synergy Pharmaceuticals Inc.* | | | 804 | |
| | 671 | | | | | Synlogic Inc.* | | | 5,831 | |
See Notes to Financial Statements.
51
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | | | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | HEALTH CARE — 15.2% — (continued) | |
|
| | Biotechnology — 3.3% — (continued) | |
| | 832 | | | | | Syros Pharmaceuticals Inc.* | | $ | 5,649 | |
| | 1,148 | | | | | T2 Biosystems Inc.* | | | 4,982 | |
| | 2,202 | | | | | TG Therapeutics Inc.* | | | 14,974 | |
| | 505 | | | | | Tocagen Inc.* | | | 5,515 | |
| | 249 | | | | | Twist Bioscience Corp.* | | | 5,421 | |
| | 3,771 | | | | | Tyme Technologies Inc.*(a) | | | 9,164 | |
| | 1,670 | | | | | Ultragenyx Pharmaceutical Inc.* | | | 107,114 | |
| | 1,571 | | | | | United Therapeutics Corp.* | | | 198,402 | |
| | 903 | | | | | UNITY Biotechnology Inc.*(a) | | | 9,030 | |
| | 1,286 | | | | | Unum Therapeutics Inc.* | | | 5,465 | |
| | 1,799 | | | | | Vanda Pharmaceuticals Inc.* | | | 36,412 | |
| | 905 | | | | | Veracyte Inc.* | | | 18,290 | |
| | 2,630 | | | | | Verastem Inc.*(a) | | | 7,916 | |
| | 1,596 | | | | | Vericel Corp.* | | | 29,861 | |
| | 2,284 | | | | | Viking Therapeutics Inc.*(a) | | | 19,208 | |
| | 1,343 | | | | | Vital Therapies Inc.* | | | 318 | |
| | 798 | | | | | Voyager Therapeutics Inc.* | | | 11,970 | |
| | 1,638 | | | | | Xencor Inc.* | | | 49,697 | |
| | 170 | | | | | XOMA Corp.*(a) | | | 2,390 | |
| | 253 | | | | | Y-mAbs Therapeutics Inc.* | | | 5,477 | |
| | 965 | | | | | Zafgen Inc.* | | | 4,314 | |
| | 4,302 | | | | | ZIOPHARM Oncology Inc.*(a) | | | 12,691 | |
| | | | | | | | | | |
| | | | | | Total Biotechnology | | | 15,641,910 | |
| | | | | | | | | | |
|
| | Health Care Equipment & Supplies — 4.9% | |
| | 1,748 | | | | | ABIOMED Inc.* | | | 584,706 | |
| | 103,861 | | | | | Accuray Inc.* | | | 500,610 | |
| | 1,909 | | | | | Align Technology Inc.* | | | 494,374 | |
| | 1,366 | | | | | AngioDynamics Inc.* | | | 30,612 | |
| | 5,210 | | | | | Antares Pharma Inc.* | | | 18,704 | |
| | 18,757 | | | | | AtriCure Inc.* | | | 599,099 | |
| | 49 | | | | | Atrion Corp. | | | 38,532 | |
| | 1,659 | | | | | Avanos Medical Inc.* | | | 78,106 | |
| | 1,248 | | | | | AxoGen Inc.* | | | 23,038 | |
| | 251 | | | | | Axonics Modulation Technologies Inc.* | | | 5,336 | |
| | 12,619 | | | | | Becton Dickinson and Co. | | | 3,139,481 | |
| | 2,820 | | | | | Cantel Medical Corp. | | | 207,326 | |
| | 1,215 | | | | | Cardiovascular Systems Inc.* | | | 42,975 | |
| | 4,849 | | | | | Cerus Corp.* | | | 31,567 | |
| | 969 | | | | | CONMED Corp. | | | 74,516 | |
| | 5,729 | | | | | Cooper Cos., Inc. (The) | | | 1,638,437 | |
| | 1,338 | | | | | CryoLife Inc.* | | | 39,578 | |
| | 829 | | | | | CryoPort Inc.*(a) | | | 9,533 | |
| | 530 | | | | | Cutera Inc.* | | | 9,074 | |
| | 965 | | | | | CytoSorbents Corp.* | | | 7,797 | |
| | 3,163 | | | | | DexCom Inc.* | | | 440,701 | |
| | 4,839 | | | | | Edwards Lifesciences Corp.* | | | 819,194 | |
| | 3,122 | | | | | Endologix Inc.* | | | 1,627 | |
| | 232 | | | | | FONAR Corp.* | | | 5,023 | |
| | 1,947 | | | | | GenMark Diagnostics Inc.* | | | 14,972 | |
| | 1,262 | | | | | Glaukos Corp.* | | | 93,603 | |
| | 2,546 | | | | | Globus Medical Inc., Class A Shares* | | | 123,965 | |
| | 9,172 | | | | | Haemonetics Corp.* | | | 796,772 | |
| | 724 | | | | | Helius Medical Technologies Inc., Class A Shares*(a) | | | 5,133 | |
| | 238 | | | | | Heska Corp.* | | | 19,466 | |
See Notes to Financial Statements.
52
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | | | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | HEALTH CARE — 15.2% — (continued) | |
|
| | Health Care Equipment & Supplies — 4.9% — (continued) | |
| | 2,329 | | | | | Hill-Rom Holdings Inc. | | $ | 246,990 | |
| | 571 | | | | | ICU Medical Inc.* | | | 140,329 | |
| | 1,807 | | | | | IDEXX Laboratories Inc.* | | | 381,331 | |
| | 629 | | | | | Inogen Inc.* | | | 67,592 | |
| | 8,439 | | | | | Insulet Corp.* | | | 792,506 | |
| | 1,148 | | | | | Integer Holdings Corp.* | | | 104,422 | |
| | 23,813 | | | | | Integra LifeSciences Holdings Corp.* | | | 1,311,858 | |
| | 271 | | | | | IntriCon Corp.* | | | 7,295 | |
| | 1,278 | | | | | Invacare Corp. | | | 12,435 | |
| | 193 | | | | | iRadimed Corp.* | | | 4,825 | |
| | 844 | | | | | iRhythm Technologies Inc.* | | | 80,847 | |
| | 1,390 | | | | | Lantheus Holdings Inc.* | | | 31,761 | |
| | 591 | | | | | LeMaitre Vascular Inc. | | | 17,683 | |
| | 1,764 | | | | | LivaNova PLC* | | | 164,405 | |
| | 7,809 | | | | | Masimo Corp.* | | | 1,025,165 | |
| | 1,541 | | | | | Meridian Bioscience Inc. | | | 26,305 | |
| | 9,201 | | | | | Merit Medical Systems Inc.* | | | 512,772 | |
| | 58,367 | | | | | Natus Medical Inc.* | | | 1,612,680 | |
| | 1,845 | | | | | Neogen Corp.* | | | 114,316 | |
| | 259 | | | | | Neuronetics Inc.* | | | 4,520 | |
| | 1,009 | | | | | Nevro Corp.* | | | 46,485 | |
| | 14,338 | | | | | Novocure Ltd.* | | | 770,094 | |
| | 1,797 | | | | | NuVasive Inc.* | | | 105,843 | |
| | 598 | | | | | Nuvectra Corp.* | | | 7,517 | |
| | 2,247 | | | | | OraSure Technologies Inc.* | | | 24,155 | |
| | 599 | | | | | Orthofix Medical Inc.* | | | 36,599 | |
| | 263 | | | | | OrthoPediatrics Corp.* | | | 10,812 | |
| | 826 | | | | | Oxford Immunotec Global PLC* | | | 13,786 | |
| | 1,079 | | | | | Penumbra Inc.* | | | 144,230 | |
| | 392 | | | | | Pulse Biosciences Inc.*(a) | | | 6,989 | |
| | 1,225 | | | | | Quidel Corp.* | | | 80,311 | |
| | 1,804 | | | | | Rockwell Medical Inc.*(a) | | | 8,389 | |
| | 2,021 | | | | | RTI Surgical Inc.* | | | 10,065 | |
| | 312 | | | | | SeaSpine Holdings Corp.* | | | 4,786 | |
| | 2,836 | | | | | Senseonics Holdings Inc.*(a) | | | 8,480 | |
| | 303 | | | | | SI-BONE Inc.* | | | 6,278 | |
| | 870 | | | | | Sientra Inc.* | | | 9,631 | |
| | 1,593 | | | | | STAAR Surgical Co.* | | | 58,622 | |
| | 11,155 | | | | | STERIS PLC | | | 1,349,309 | |
| | 436 | | | | | Surmodics Inc.* | | | 25,441 | |
| | 649 | | | | | Tactile Systems Technology Inc.* | | | 49,330 | |
| | 1,816 | | | | | Tandem Diabetes Care Inc.* | | | 119,075 | |
| | 2,757 | | | | | Teleflex Inc. | | | 799,089 | |
| | 5,829 | | | | | TransEnterix Inc.*(a) | | | 14,514 | |
| | 119 | | | | | Utah Medical Products Inc. | | | 10,101 | |
| | 323 | | | | | Vapotherm Inc.* | | | 6,279 | |
| | 49,283 | | | | | Varex Imaging Corp.* | | | 1,549,458 | |
| | 2,599 | | | | | ViewRay Inc.* | | | 22,039 | |
| | 2,659 | | | | | West Pharmaceutical Services Inc. | | | 278,530 | |
| | 20,434 | | | | | Wright Medical Group NV* | | | 639,789 | |
| | | | | | | | | | |
| | | | | | Total Health Care Equipment & Supplies | | | 22,769,920 | |
| | | | | | | | | | |
|
| | Health Care Providers & Services — 2.0% | |
| | 454 | | | | | AAC Holdings Inc.* | | | 1,158 | |
| | 29,637 | | | | | Acadia Healthcare Co., Inc.* | | | 779,157 | |
See Notes to Financial Statements.
53
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | | | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | HEALTH CARE — 15.2% — (continued) | |
|
| | Health Care Providers & Services — 2.0% — (continued) | |
| | 367 | | | | | Addus HomeCare Corp.* | | $ | 24,666 | |
| | 941 | | | | | Amedisys Inc.* | | | 116,966 | |
| | 385 | | | | | American Renal Associates Holdings Inc.* | | | 4,809 | |
| | 1,708 | | | | | AMN Healthcare Services Inc.* | | | 85,417 | |
| | 155 | | | | | Apollo Medical Holdings Inc.*(a) | | | 3,029 | |
| | 4,442 | | | | | BioScrip Inc.* | | | 14,436 | |
| | 1,159 | | | | | BioTelemetry Inc.* | | | 86,600 | |
| | 222,143 | | | | | Brookdale Senior Living Inc.* | | | 1,501,687 | |
| | 879 | | | | | Capital Senior Living Corp.* | | | 4,395 | |
| | 551 | | | | | Chemed Corp. | | | 181,554 | |
| | 596 | | | | | Civitas Solutions Inc.* | | | 10,585 | |
| | 2,871 | | | | | Community Health Systems Inc.* | | | 14,211 | |
| | 326 | | | | | CorVel Corp.* | | | 21,940 | |
| | 1,325 | | | | | Cross Country Healthcare Inc.* | | | 11,580 | |
| | 1,911 | | | | | Diplomat Pharmacy Inc.* | | | 12,326 | |
| | 3,593 | | | | | Encompass Health Corp. | | | 226,862 | |
| | 1,755 | | | | | Ensign Group Inc. (The) | | | 86,785 | |
| | 2,272 | | | | | Genesis Healthcare Inc., Class A Shares* | | | 3,113 | |
| | 525 | | | | | Guardant Health Inc.* | | | 34,986 | |
| | 1,896 | | | | | HealthEquity Inc.* | | | 152,590 | |
| | 16,010 | | | | | Laboratory Corp. of America Holdings* | | | 2,373,322 | |
| | 1,088 | | | | | LHC Group Inc.* | | | 119,343 | |
| | 856 | | | | | Magellan Health Inc.* | | | 58,302 | |
| | 3,082 | | | | | MEDNAX Inc.* | | | 101,429 | |
| | 7,147 | | | | | Molina Healthcare Inc.* | | | 962,201 | |
| | 500 | | | | | National HealthCare Corp. | | | 40,705 | |
| | 417 | | | | | National Research Corp. | | | 16,234 | |
| | 2,277 | | | | | Owens & Minor Inc. | | | 14,208 | |
| | 28,394 | | | | | Patterson Cos., Inc. | | | 640,285 | |
| | 571 | | | | | PetIQ Inc., Class A Shares* | | | 17,193 | |
| | 1,841 | | | | | Premier Inc., Class A Shares* | | | 67,344 | |
| | 377 | | | | | Providence Service Corp. (The)* | | | 26,888 | |
| | 1,325 | | | | | Quorum Health Corp.* | | | 3,697 | |
| | 3,861 | | | | | R1 RCM Inc.* | | | 38,185 | |
| | 1,490 | | | | | RadNet Inc.* | | | 20,323 | |
| | 3,799 | | | | | Select Medical Holdings Corp.* | | | 56,301 | |
| | 730 | | | | | Surgery Partners Inc.* | | | 9,140 | |
| | 2,925 | | | | | Tenet Healthcare Corp.* | | | 83,596 | |
| | 1,380 | | | | | Tivity Health Inc.* | | | 29,532 | |
| | 825 | | | | | Triple-S Management Corp., Class B Shares* | | | 20,988 | |
| | 440 | | | | | US Physical Therapy Inc. | | | 48,505 | |
| | 4,739 | | | | | WellCare Health Plans Inc.* | | | 1,201,716 | |
| | | | | | | | | | |
| | | | | | Total Health Care Providers & Services | | | 9,328,289 | |
| | | | | | | | | | |
|
| | Health Care Technology — 0.5% | |
| | 77,508 | | | | | Allscripts Healthcare Solutions Inc.* | | | 830,886 | |
| | 2,904 | | | | | Castlight Health Inc., Class B Shares* | | | 9,264 | |
| | 431 | | | | | Computer Programs & Systems Inc. | | | 14,197 | |
| | 23,933 | | | | | Evolent Health Inc., Class A Shares* | | | 315,676 | |
| | 1,059 | | | | | HealthStream Inc. | | | 29,440 | |
| | 3,060 | | | | | HMS Holdings Corp.* | | | 105,448 | |
| | 2,390 | | | | | Inovalon Holdings Inc., Class A Shares* | | | 31,405 | |
| | 431 | | | | | Inspire Medical Systems Inc.* | | | 26,722 | |
| | 2,098 | | | | | Medidata Solutions Inc.* | | | 157,392 | |
| | 1,079 | | | | | NantHealth Inc.* | | | 739 | |
See Notes to Financial Statements.
54
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | | | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | HEALTH CARE — 15.2% — (continued) | |
|
| | Health Care Technology — 0.5% — (continued) | |
| | 1,992 | | | | | NextGen Healthcare Inc.* | | $ | 34,860 | |
| | 1,345 | | | | | Omnicell Inc.* | | | 114,258 | |
| | 445 | | | | | Simulations Plus Inc. | | | 9,127 | |
| | 647 | | | | | Tabula Rasa HealthCare Inc.* | | | 35,656 | |
| | 2,439 | | | | | Teladoc Health Inc.* | | | 156,974 | |
| | 4,410 | | | | | Veeva Systems Inc., Class A Shares* | | | 519,983 | |
| | 1,101 | | | | | Vocera Communications Inc.* | | | 36,487 | |
| | | | | | | | | | |
| | | | | | Total Health Care Technology | | | 2,428,514 | |
| | | | | | | | | | |
|
| | Life Sciences Tools & Services — 3.1% | |
| | 917 | | | | | Accelerate Diagnostics Inc.*(a) | | | 19,605 | |
| | 34,758 | | | | | Agilent Technologies Inc. | | | 2,761,175 | |
| | 5,351 | | | | | Bio-Rad Laboratories Inc., Class A Shares* | | | 1,449,586 | |
| | 1,348 | | | | | Bio-Techne Corp. | | | 261,377 | |
| | 3,681 | | | | | Bruker Corp. | | | 140,651 | |
| | 1,156 | | | | | Cambrex Corp.* | | | 47,789 | |
| | 13,525 | | | | | Charles River Laboratories International Inc.* | | | 1,922,849 | |
| | 1,815 | | | | | ChromaDex Corp.*(a) | | | 6,334 | |
| | 1,898 | | | | | Codexis Inc.* | | | 41,035 | |
| | 1,486 | | | | | Enzo Biochem Inc.* | | | 5,023 | |
| | 124,724 | | | | | Fluidigm Corp.* | | | 1,379,447 | |
| | 1,600 | | | | | Harvard Bioscience Inc.* | | | 6,432 | |
| | 9,940 | | | | | ICON PLC* | | | 1,391,401 | |
| | 1,002 | | | | | Illumina Inc.* | | | 313,396 | |
| | 22,132 | | | | | Luminex Corp. | | | 563,923 | |
| | 765 | | | | | Medpace Holdings Inc.* | | | 42,037 | |
| | 28,914 | | | | | NanoString Technologies Inc.* | | | 736,440 | |
| | 2,228 | | | | | NeoGenomics Inc.* | | | 43,669 | |
| | 4,963 | | | | | Pacific Biosciences of California Inc.* | | | 36,280 | |
| | 3,993 | | | | | PerkinElmer Inc. | | | 375,981 | |
| | 10,603 | | | | | PRA Health Sciences Inc.* | | | 1,134,309 | |
| | 26,597 | | | | | QIAGEN NV* | | | 1,022,123 | |
| | 391 | | | | | Quanterix Corp.* | | | 9,662 | |
| | 2,278 | | | | | Syneos Health Inc., Class A Shares* | | | 95,152 | |
| | 3,084 | | | | | Waters Corp.* | | | 747,006 | |
| | | | | | | | | | |
| | | | | | Total Life Sciences Tools & Services | | | 14,552,682 | |
| | | | | | | | | | |
|
| | Pharmaceuticals — 1.4% | |
| | 988 | | | | | Aclaris Therapeutics Inc.* | | | 6,402 | |
| | 1,240 | | | | | Aerie Pharmaceuticals Inc.* | | | 57,871 | |
| | 459 | | | | | Akcea Therapeutics Inc.*(a) | | | 15,620 | |
| | 3,486 | | | | | Akorn Inc.* | | | 14,118 | |
| | 43,135 | | | | | Amneal Pharmaceuticals Inc.* | | | 583,617 | |
| | 1,323 | | | | | Amphastar Pharmaceuticals Inc.* | | | 32,877 | |
| | 2,443 | | | | | Ampio Pharmaceuticals Inc.* | | | 1,533 | |
| | 338 | | | | | ANI Pharmaceuticals Inc.* | | | 22,237 | |
| | 1,861 | | | | | Aratana Therapeutics Inc.* | | | 7,481 | |
| | 282 | | | | | Arvinas Inc.* | | | 5,460 | |
| | 2,423 | | | | | Assertio Therapeutics Inc.* | | | 10,031 | |
| | 16,045 | | | | | Catalent Inc.* | | | 693,465 | |
| | 988 | | | | | Clearside Biomedical Inc.* | | | 1,433 | |
| | 1,099 | | | | | Collegium Pharmaceutical Inc.* | | | 19,331 | |
| | 3,907 | | | | | Corcept Therapeutics Inc.*(a) | | | 48,720 | |
| | 860 | | | | | Corium International Inc.*#(b) | | | 155 | |
| | 135,230 | | | | | Correvio Pharma Corp.*(a) | | | 442,202 | |
See Notes to Financial Statements.
55
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | | | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | HEALTH CARE — 15.2% — (continued) | |
|
| | Pharmaceuticals — 1.4% — (continued) | |
| | 33,914 | | | | | Cymabay Therapeutics Inc.* | | $ | 400,524 | |
| | 1,234 | | | | | Dermira Inc.* | | | 10,304 | |
| | 509 | | | | | Dova Pharmaceuticals Inc.* | | | 3,909 | |
| | 6,490 | | | | | Durect Corp.* | | | 5,126 | |
| | 785 | | | | | Eloxx Pharmaceuticals Inc.* | | | 10,087 | |
| | 8,014 | | | | | Endo International PLC* | | | 88,074 | |
| | 405 | | | | | Evolus Inc.*(a) | | | 10,708 | |
| | 5,983 | | | | | Horizon Pharma PLC* | | | 173,567 | |
| | 804 | | | | | Innovate Biopharmaceuticals Inc.*(a) | | | 1,672 | |
| | 2,409 | | | | | Innoviva Inc.* | | | 37,821 | |
| | 28,326 | | | | | Intersect ENT Inc.* | | | 962,801 | |
| | 1,669 | | | | | Intra-Cellular Therapies Inc.* | | | 22,732 | |
| | 2,149 | | | | | Jazz Pharmaceuticals PLC* | | | 300,924 | |
| | 426 | | | | | Kala Pharmaceuticals Inc.* | | | 3,574 | |
| | 1,196 | | | | | Lannett Co., Inc.*(a) | | | 11,254 | |
| | 345 | | | | | Liquidia Technologies Inc.* | | | 6,907 | |
| | 14,214 | | | | | Mallinckrodt PLC* | | | 354,781 | |
| | 1,359 | | | | | Marinus Pharmaceuticals Inc.* | | | 4,661 | |
| | 34,165 | | | | | Medicines Co. (The)*(a) | | | 842,851 | |
| | 110 | | | | | Melinta Therapeutics Inc.* | | | 586 | |
| | 265 | | | | | Menlo Therapeutics Inc.* | | | 2,255 | |
| | 1,214 | | | | | MyoKardia Inc.* | | | 54,448 | |
| | 3,842 | | | | | Nektar Therapeutics, Class A Shares* | | | 155,755 | |
| | 1,067 | | | | | Neos Therapeutics Inc.* | | | 2,443 | |
| | 1,095 | | | | | Ocular Therapeutix Inc.* | | | 4,873 | |
| | 285 | | | | �� | Odonate Therapeutics Inc.* | | | 4,697 | |
| | 1,707 | | | | | Omeros Corp.*(a) | | | 24,615 | |
| | 534 | | | | | Optinose Inc.*(a) | | | 3,962 | |
| | 682 | | | | | Osmotica Pharmaceuticals PLC* | | | 4,904 | |
| | 1,394 | | | | | Pacira Pharmaceuticals Inc.* | | | 57,405 | |
| | 1,169 | | | | | Paratek Pharmaceuticals Inc.*(a) | | | 7,575 | |
| | 756 | | | | | Phibro Animal Health Corp., Class A Shares | | | 22,151 | |
| | 1,820 | | | | | Prestige Consumer Healthcare Inc.* | | | 53,253 | |
| | 652 | | | | | Reata Pharmaceuticals Inc., Class A Shares* | | | 61,510 | |
| | 1,220 | | | | | Revance Therapeutics Inc.* | | | 20,667 | |
| | 333 | | | | | scPharmaceuticals Inc.* | | | 1,086 | |
| | 627 | | | | | Sienna Biopharmaceuticals Inc.* | | | 1,599 | |
| | 1,773 | | | | | SIGA Technologies Inc.* | | | 12,021 | |
| | 1,719 | | | | | Supernus Pharmaceuticals Inc.* | | | 70,204 | |
| | 1,542 | | | | | Teligent Inc.*(a) | | | 2,436 | |
| | 2,531 | | | | | Tetraphase Pharmaceuticals Inc.* | | | 2,987 | |
| | 6,253 | | | | | TherapeuticsMD Inc.*(a) | | | 35,767 | |
| | 1,603 | | | | | Theravance Biopharma Inc.* | | | 38,905 | |
| | 447 | | | | | Tricida Inc.* | | | 10,339 | |
| | 397 | | | | | Verrica Pharmaceuticals Inc.* | | | 4,494 | |
| | 657 | | | | | WaVe Life Sciences Ltd.* | | | 27,548 | |
| | 259 | | | | | Xeris Pharmaceuticals Inc.* | | | 2,593 | |
| | 15,195 | | | | | Zogenix Inc.* | | | 801,232 | |
| | | | | | | | | | |
| | | | | | Total Pharmaceuticals | | | 6,707,140 | |
| | | | | | | | | | |
| | | | | | TOTAL HEALTH CARE | | | 71,428,455 | |
| | | | | | | | | | |
See Notes to Financial Statements.
56
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | | | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | INDUSTRIALS — 17.8% | |
|
| | Aerospace & Defense — 3.1% | |
| | 1,282 | | | | | AAR Corp. | | $ | 46,831 | |
| | 2,637 | | | | | Aerojet Rocketdyne Holdings Inc.* | | | 98,228 | |
| | 742 | | | | | Aerovironment Inc.* | | | 59,115 | |
| | 796 | | | | | Astronics Corp.* | | | 28,632 | |
| | 2,012 | | | | | Axon Enterprise Inc.* | | | 108,306 | |
| | 11,904 | | | | | BWX Technologies Inc. | | | 623,174 | |
| | 27,544 | | | | | Cubic Corp. | | | 1,699,465 | |
| | 1,603 | | | | | Curtiss-Wright Corp. | | | 197,634 | |
| | 354 | | | | | Ducommun Inc.* | | | 15,020 | |
| | 960 | | | | | Esterline Technologies Corp.* | | | 116,880 | |
| | 1,381 | | | | | HEICO Corp. | | | 129,441 | |
| | 18,426 | | | | | HEICO Corp., Class A Shares | | | 1,473,896 | |
| | 44,199 | | | | | Hexcel Corp. | | | 3,188,516 | |
| | 1,543 | | | | | Huntington Ingalls Industries Inc. | | | 323,120 | |
| | 68,620 | | | | | KEYW Holding Corp. (The)* | | | 507,788 | |
| | 3,069 | | | | | Kratos Defense & Security Solutions Inc.* | | | 52,756 | |
| | 2,113 | | | | | MAXAR TECHNOLOGIES INC | | | 15,404 | |
| | 12,076 | | | | | Mercury Systems Inc.* | | | 767,068 | |
| | 1,141 | | | | | Moog Inc., Class A Shares | | | 107,208 | |
| | 165 | | | | | National Presto Industries Inc.(a) | | | 18,503 | |
| | 249 | | | | | Sparton Corp.* | | | 4,602 | |
| | 15,237 | | | | | Spirit AeroSystems Holdings Inc., Class A Shares | | | 1,505,416 | |
| | 8,452 | | | | | Teledyne Technologies Inc.* | | | 1,995,010 | |
| | 1,822 | | | | | Triumph Group Inc. | | | 42,198 | |
| | 416 | | | | | Vectrus Inc.* | | | 11,215 | |
| | 189,176 | | | | | Wesco Aircraft Holdings Inc.* | | | 1,606,104 | |
| | | | | | | | | | |
| | | | | | Total Aerospace & Defense | | | 14,741,530 | |
| | | | | | | | | | |
|
| | Air Freight & Logistics — 0.1% | |
| | 2,034 | | | | | Air Transport Services Group Inc.* | | | 47,331 | |
| | 812 | | | | | Atlas Air Worldwide Holdings Inc.* | | | 43,637 | |
| | 1,050 | | | | | Echo Global Logistics Inc.* | | | 25,221 | |
| | 1,128 | | | | | Forward Air Corp. | | | 72,925 | |
| | 1,170 | | | | | Hub Group Inc., Class A Shares* | | | 50,287 | |
| | 1,739 | | | | | Radiant Logistics Inc.* | | | 11,112 | |
| | | | | | | | | | |
| | | | | | Total Air Freight & Logistics | | | 250,513 | |
| | | | | | | | | | |
|
| | Airlines — 0.3% | |
| | 4,239 | | | | | Alaska Air Group Inc. | | | 261,546 | |
| | 488 | | | | | Allegiant Travel Co., Class A Shares | | | 64,465 | |
| | 1,102 | | | | | Copa Holdings SA, Class A Shares | | | 97,163 | |
| | 1,707 | | | | | Hawaiian Holdings Inc. | | | 50,783 | |
| | 40,880 | | | | | JetBlue Airways Corp.* | | | 682,696 | |
| | 614 | | | | | Mesa Air Group Inc.* | | | 6,183 | |
| | 1,804 | | | | | SkyWest Inc. | | | 97,488 | |
| | 2,491 | | | | | Spirit Airlines Inc.* | | | 140,119 | |
| | | | | | | | | | |
| | | | | | Total Airlines | | | 1,400,443 | |
| | | | | | | | | | |
|
| | Building Products — 0.9% | |
| | 1,442 | | | | | AAON Inc. | | | 57,478 | |
| | 1,259 | | | | | Advanced Drainage Systems Inc. | | | 32,004 | |
| | 3,436 | | | | | Allegion PLC | | | 309,103 | |
| | 478 | | | | | American Woodmark Corp.* | | | 40,726 | |
| | 12,039 | | | | | AO Smith Corp. | | | 625,185 | |
| | 941 | | | | | Apogee Enterprises Inc. | | | 33,584 | |
See Notes to Financial Statements.
57
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | | | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | INDUSTRIALS — 17.8% — (continued) | |
|
| | Building Products — 0.9% — (continued) | |
| | 764 | | | | | Armstrong Flooring Inc.* | | $ | 10,956 | |
| | 1,587 | | | | | Armstrong World Industries Inc. | | | 116,137 | |
| | 4,336 | | | | | Builders FirstSource Inc.* | | | 60,400 | |
| | 748 | | | | | Caesarstone Ltd. | | | 12,566 | |
| | 1,287 | | | | | Continental Building Products Inc.* | | | 37,104 | |
| | 597 | | | | | CSW Industrials Inc.* | | | 33,898 | |
| | 5,226 | | | | | Fortune Brands Home & Security Inc. | | | 246,249 | |
| | 1,112 | | | | | Gibraltar Industries Inc.* | | | 45,036 | |
| | 1,354 | | | | | Griffon Corp. | | | 24,155 | |
| | 677 | | | | | Insteel Industries Inc. | | | 15,402 | |
| | 19,808 | | | | | JELD-WEN Holding Inc.* | | | 400,320 | |
| | 1,293 | | | | | Lennox International Inc. | | | 317,108 | |
| | 903 | | | | | Masonite International Corp.* | | | 50,071 | |
| | 1,547 | | | | | NCI Building Systems Inc.* | | | 10,860 | |
| | 3,946 | | | | | Owens Corning | | | 197,024 | |
| | 795 | | | | | Patrick Industries Inc.* | | | 35,942 | |
| | 2,055 | | | | | PGT Innovations Inc.* | | | 30,989 | |
| | 1,226 | | | | | Quanex Building Products Corp. | | | 21,075 | |
| | 1,473 | | | | | Simpson Manufacturing Co., Inc. | | | 88,277 | |
| | 14,922 | | | | | Trex Co., Inc.* | | | 1,118,404 | |
| | 2,276 | | | | | Universal Forest Products Inc. | | | 70,488 | |
| | 2,995 | | | | | USG Corp. | | | 129,114 | |
| | | | | | | | | | |
| | | | | | Total Building Products | | | 4,169,655 | |
| | | | | | | | | | |
|
| | Commercial Services & Supplies — 2.0% | |
| | 2,468 | | | | | ABM Industries Inc. | | | 88,009 | |
| | 4,153 | | | | | ACCO Brands Corp. | | | 38,623 | |
| | 3,976 | | | | | ADT Inc.(a) | | | 31,808 | |
| | 2,746 | | | | | Advanced Disposal Services Inc.* | | | 72,824 | |
| | 1,790 | | | | | Brady Corp., Class A Shares | | | 84,685 | |
| | 987 | | | | | BrightView Holdings Inc.* | | | 13,325 | |
| | 1,761 | | | | | Brink’s Co. (The) | | | 138,978 | |
| | 1,390 | | | | | Casella Waste Systems Inc., Class A Shares* | | | 49,039 | |
| | 973 | | | | | CECO Environmental Corp.* | | | 7,414 | |
| | 761 | | | | | Cimpress NV* | | | 62,783 | |
| | 6,024 | | | | | Cintas Corp. | | | 1,244,558 | |
| | 14,301 | | | | | Clean Harbors Inc.* | | | 972,468 | |
| | 38,870 | | | | | Covanta Holding Corp. | | | 660,013 | |
| | 1,609 | | | | | Deluxe Corp. | | | 74,867 | |
| | 941 | | | | | Ennis Inc. | | | 19,949 | |
| | 2,732 | | | | | Healthcare Services Group Inc. | | | 104,308 | |
| | 554 | | | | | Heritage-Crystal Clean Inc.* | | | 13,385 | |
| | 2,244 | | | | | Herman Miller Inc. | | | 82,310 | |
| | 1,650 | | | | | HNI Corp. | | | 63,740 | |
| | 2,024 | | | | | Interface Inc., Class A Shares | | | 35,926 | |
| | 4,761 | | | | | KAR Auction Services Inc. | | | 224,481 | |
| | 1,321 | | | | | Kimball International Inc., Class B Shares | | | 20,726 | |
| | 1,655 | | | | | Knoll Inc. | | | 35,020 | |
| | 1,267 | | | | | LSC Communications Inc. | | | 10,719 | |
| | 36,981 | | | | | Matthews International Corp., Class A Shares | | | 1,470,734 | |
| | 844 | | | | | McGrath RentCorp | | | 50,505 | |
| | 1,543 | | | | | Mobile Mini Inc. | | | 55,563 | |
| | 10,536 | | | | | MSA Safety Inc. | | | 1,089,317 | |
| | 531 | | | | | Multi-Color Corp. | | | 26,470 | |
| | 157 | | | | | NL Industries Inc.* | | | 680 | |
See Notes to Financial Statements.
58
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | | | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | INDUSTRIALS — 17.8% — (continued) | |
|
| | Commercial Services & Supplies — 2.0% — (continued) | |
| | 787 | | | | | PICO Holdings Inc.* | | $ | 8,090 | |
| | 6,544 | | | | | Pitney Bowes Inc. | | | 47,051 | |
| | 1,140 | | | | | Quad/Graphics Inc. | | | 16,633 | |
| | 5,276 | | | | | Rollins Inc. | | | 209,246 | |
| | 2,213 | | | | | RR Donnelley & Sons Co. | | | 11,906 | |
| | 853 | | | | | SP Plus Corp.* | | | 29,343 | |
| | 2,971 | | | | | Steelcase Inc., Class A Shares | | | 52,022 | |
| | 14,944 | | | | | Stericycle Inc.* | | | 666,204 | |
| | 1,065 | | | | | Team Inc.* | | | 16,635 | |
| | 2,025 | | | | | Tetra Tech Inc. | | | 121,541 | |
| | 532 | | | | | UniFirst Corp. | | | 76,512 | |
| | 865 | | | | | US Ecology Inc. | | | 49,634 | |
| | 707 | | | | | Viad Corp. | | | 40,935 | |
| | 286 | | | | | VSE Corp. | | | 10,110 | |
| | 16,783 | | | | | Waste Connections Inc. | | | 1,399,702 | |
| | | | | | | | | | |
| | | | | | Total Commercial Services & Supplies | | | 9,598,791 | |
| | | | | | | | | | |
|
| | Construction & Engineering — 2.5% | |
| | 5,717 | | | | | AECOM* | | | 176,998 | |
| | 1,206 | | | | | Aegion Corp., Class A Shares* | | | 20,936 | |
| | 595 | | | | | Ameresco Inc., Class A Shares* | | | 9,740 | |
| | 54,400 | | | | | Arcosa Inc. | | | 1,821,856 | |
| | 546 | | | | | Argan Inc. | | | 25,389 | |
| | 1,283 | | | | | Comfort Systems USA Inc. | | | 68,795 | |
| | 1,052 | | | | | Dycom Industries Inc.* | | | 47,424 | |
| | 26,497 | | | | | EMCOR Group Inc. | | | 1,911,229 | |
| | 5,104 | | | | | Fluor Corp. | | | 191,910 | |
| | 37,174 | | | | | Granite Construction Inc. | | | 1,730,821 | |
| | 2,140 | | | | | Great Lakes Dredge & Dock Corp.* | | | 19,046 | |
| | 1,890 | | | | | HC2 Holdings Inc.* | | | 5,954 | |
| | 295 | | | | | IES Holdings Inc.* | | | 5,422 | |
| | 781 | | | | | Infrastructure & Energy Alternatives Inc.* | | | 4,866 | |
| | 43,558 | | | | | Jacobs Engineering Group Inc. | | | 3,213,709 | |
| | 90,029 | | | | | KBR Inc. | | | 1,778,973 | |
| | 2,220 | | | | | MasTec Inc.* | | | 95,860 | |
| | 570 | | | | | MYR Group Inc.* | | | 19,118 | |
| | 371 | | | | | Northwest Pipe Co.* | | | 9,153 | |
| | 319 | | | | | NV5 Global Inc.* | | | 25,284 | |
| | 1,240 | | | | | Orion Group Holdings Inc.* | | | 5,270 | |
| | 1,417 | | | | | Primoris Services Corp. | | | 33,115 | |
| | 5,312 | | | | | Quanta Services Inc. | | | 189,320 | |
| | 1,080 | | | | | Sterling Construction Co., Inc.* | | | 15,779 | |
| | 1,359 | | | | | Tutor Perini Corp.* | | | 25,576 | |
| | 3,261 | | | | | Valmont Industries Inc. | | | 445,420 | |
| | 1,228 | | | | | Willscot Corp., Class A Shares* | | | 12,513 | |
| | | | | | | | | | |
| | | | | | Total Construction & Engineering | | | 11,909,476 | |
| | | | | | | | | | |
|
| | Electrical Equipment — 1.2% | |
| | 1,449 | | | | | Acuity Brands Inc. | | | 188,544 | |
| | 249 | | | | | Allied Motion Technologies Inc. | | | 10,371 | |
| | 1,341 | | | | | Atkore International Group Inc.* | | | 30,977 | |
| | 37,186 | | | | | AZZ Inc. | | | 1,711,300 | |
| | 168,547 | | | | | Babcock & Wilcox Enterprises Inc.* | | | 108,039 | |
| | 703 | | | | | Encore Wire Corp. | | | 41,646 | |
| | 872 | | | | | Energous Corp.*(a) | | | 5,023 | |
See Notes to Financial Statements.
59
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | | | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | INDUSTRIALS — 17.8% — (continued) | |
|
| | Electrical Equipment — 1.2% — (continued) | |
| | 1,546 | | | | | EnerSys | | $ | 114,126 | |
| | 3,177 | | | | | Enphase Energy Inc.*(a) | | | 28,815 | |
| | 3,943 | | | | | FuelCell Energy Inc.*(a) | | | 1,869 | |
| | 2,125 | | | | | Generac Holdings Inc.* | | | 109,565 | |
| | 1,977 | | | | | GrafTech International Ltd. | | | 28,508 | |
| | 1,981 | | | | | Hubbell Inc., Class B Shares | | | 233,857 | |
| | 5,893 | | | | | nVent Electric PLC | | | 161,940 | |
| | 7,711 | | | | | Plug Power Inc.*(a) | | | 13,803 | |
| | 305 | | | | | Powell Industries Inc. | | | 9,787 | |
| | 102 | | | | | Preformed Line Products Co. | | | 6,089 | |
| | 1,584 | | | | | Regal Beloit Corp. | | | 132,676 | |
| | 2,728 | | | | | Rockwell Automation Inc. | | | 487,112 | |
| | 5,882 | | | | | Sensata Technologies Holding PLC* | | | 298,394 | |
| | 3,301 | | | | | Sunrun Inc.* | | | 51,198 | |
| | 68,042 | | | | | Thermon Group Holdings Inc.* | | | 1,692,885 | |
| | 577 | | | | | TPI Composites Inc.* | | | 17,431 | |
| | 644 | | | | | Vicor Corp.* | | | 20,466 | |
| | 1,359 | | | | | Vivint Solar Inc.*(a) | | | 7,108 | |
| | | | | | | | | | |
| | | | | | Total Electrical Equipment | | | 5,511,529 | |
| | | | | | | | | | |
|
| | Industrial Conglomerates — 0.7% | |
| | 7,437 | | | | | Carlisle Cos., Inc. | | | 915,346 | |
| | 1,250 | | | | | Raven Industries Inc. | | | 49,900 | |
| | 6,576 | | | | | Roper Technologies Inc. | | | 2,128,322 | |
| | | | | | | | | | |
| | | | | | Total Industrial Conglomerates | | | 3,093,568 | |
| | | | | | | | | | |
|
| | Machinery — 3.7% | |
| | 24,307 | | | | | Actuant Corp., Class A Shares | | | 594,306 | |
| | 2,395 | | | | | AGCO Corp. | | | 161,854 | |
| | 332 | | | | | Alamo Group Inc. | | | 31,885 | |
| | 1,004 | | | | | Albany International Corp., Class A Shares | | | 77,860 | |
| | 4,158 | | | | | Allison Transmission Holdings Inc. | | | 206,653 | |
| | 2,297 | | | | | Altra Industrial Motion Corp. | | | 73,068 | |
| | 762 | | | | | Astec Industries Inc. | | | 29,078 | |
| | 1,670 | | | | | Barnes Group Inc. | | | 96,977 | |
| | 514 | | | | | Blue Bird Corp.* | | | 9,560 | |
| | 1,329 | | | | | Briggs & Stratton Corp. | | | 17,423 | |
| | 1,078 | | | | | Chart Industries Inc.* | | | 95,166 | |
| | 600 | | | | | CIRCOR International Inc.* | | | 18,918 | |
| | 2,979 | | | | | Colfax Corp.* | | | 78,824 | |
| | 829 | | | | | Columbus McKinnon Corp. | | | 31,046 | |
| | 1,068 | | | | | Commercial Vehicle Group Inc.* | | | 8,544 | |
| | 1,764 | | | | | Crane Co. | | | 149,181 | |
| | 536 | | | | | DMC Global Inc. | | | 25,181 | |
| | 4,650 | | | | | Donaldson Co., Inc. | | | 239,893 | |
| | 754 | | | | | Douglas Dynamics Inc. | | | 31,804 | |
| | 203 | | | | | Eastern Co. (The) | | | 5,907 | |
| | 1,250 | | | | | Energy Recovery Inc.*(a) | | | 10,025 | |
| | 808 | | | | | EnPro Industries Inc. | | | 55,421 | |
| | 964 | | | | | ESCO Technologies Inc. | | | 66,699 | |
| | 2,537 | | | | | Evoqua Water Technologies Corp.* | | | 34,452 | |
| | 2,314 | | | | | Federal Signal Corp. | | | 56,878 | |
| | 23,919 | | | | | Flowserve Corp. | | | 1,062,243 | |
| | 1,607 | | | | | Franklin Electric Co., Inc. | | | 85,508 | |
| | 365 | | | | | FreightCar America Inc.* | | | 2,829 | |
See Notes to Financial Statements.
60
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | | | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | INDUSTRIALS — 17.8% — (continued) | |
|
| | Machinery — 3.7% — (continued) | |
| | 4,652 | | | | | Gardner Denver Holdings Inc.* | | $ | 124,906 | |
| | 1,671 | | | | | Gates Industrial Corp. PLC* | | | 26,903 | |
| | 303 | | | | | Gencor Industries Inc.* | | | 4,033 | |
| | 808 | | | | | Global Brass & Copper Holdings Inc. | | | 27,270 | |
| | 669 | | | | | Gorman-Rupp Co. (The) | | | 22,619 | |
| | 5,992 | | | | | Graco Inc. | | | 281,384 | |
| | 303 | | | | | Graham Corp. | | | 6,863 | |
| | 1,105 | | | | | Greenbrier Cos., Inc. (The) | | | 45,581 | |
| | 17,933 | | | | | Harsco Corp.* | | | 401,340 | |
| | 2,214 | | | | | Hillenbrand Inc. | | | 98,058 | |
| | 226 | | | | | Hurco Cos., Inc. | | | 9,691 | |
| | 376 | | | | | Hyster-Yale Materials Handling Inc. | | | 25,440 | |
| | 8,001 | | | | | IDEX Corp. | | | 1,152,944 | |
| | 12,781 | | | | | ITT Inc. | | | 738,231 | |
| | 1,113 | | | | | John Bean Technologies Corp. | | | 104,288 | |
| | 376 | | | | | Kadant Inc. | | | 32,881 | |
| | 2,896 | | | | | Kennametal Inc. | | | 109,150 | |
| | 341 | | | | | LB Foster Co., Class A Shares* | | | 5,903 | |
| | 12,768 | | | | | Lincoln Electric Holdings Inc. | | | 1,103,411 | |
| | 351 | | | | | Lindsay Corp. | | | 32,457 | |
| | 12,018 | | | | | Lydall Inc.* | | | 338,307 | |
| | 223 | | | | | Manitex International Inc.* | | | 1,704 | |
| | 95,809 | | | | | Manitowoc Co., Inc. (The)* | | | 1,723,604 | |
| | 2,878 | | | | | Meritor Inc.* | | | 64,122 | |
| | 1,991 | | | | | Middleby Corp. (The)* | | | 244,077 | |
| | 2,693 | | | | | Milacron Holdings Corp.* | | | 37,675 | |
| | 418 | | | | | Miller Industries Inc. | | | 14,174 | |
| | 1,971 | | | | | Mueller Industries Inc. | | | 65,141 | |
| | 5,898 | | | | | Mueller Water Products Inc., Class A Shares | | | 61,575 | |
| | 1,883 | | | | | Navistar International Corp.* | | | 72,251 | |
| | 1,578 | | | | | NN Inc. | | | 15,638 | |
| | 2,042 | | | | | Nordson Corp. | | | 277,222 | |
| | 102 | | | | | Omega Flex Inc. | | | 7,538 | |
| | 2,649 | | | | | Oshkosh Corp. | | | 206,119 | |
| | 282 | | | | | Park-Ohio Holdings Corp. | | | 8,965 | |
| | 5,522 | | | | | Pentair PLC | | | 234,906 | |
| | 945 | | | | | Proto Labs Inc.* | | | 106,776 | |
| | 837 | | | | | RBC Bearings Inc.* | | | 117,306 | |
| | 1,127 | | | | | REV Group Inc. | | | 9,963 | |
| | 3,695 | | | | | Rexnord Corp.* | | | 98,546 | |
| | 2,034 | | | | | Snap-on Inc. | | | 325,440 | |
| | 1,194 | | | | | Spartan Motors Inc. | | | 10,913 | |
| | 1,465 | | | | | SPX Corp.* | | | 53,267 | |
| | 44,690 | | | | | SPX FLOW Inc.* | | | 1,542,699 | |
| | 436 | | | | | Standex International Corp. | | | 35,756 | |
| | 986 | | | | | Sun Hydraulics Corp. | | | 46,914 | |
| | 702 | | | | | Tennant Co. | | | 44,366 | |
| | 2,525 | | | | | Terex Corp. | | | 84,815 | |
| | 2,395 | | | | | Timken Co. (The) | | | 103,919 | |
| | 1,809 | | | | | Titan International Inc. | | | 11,324 | |
| | 3,732 | | | | | Toro Co. (The) | | | 255,941 | |
| | 1,570 | | | | | TriMas Corp.* | | | 50,758 | |
| | 5,343 | | | | | Trinity Industries Inc. | | | 125,080 | |
| | 10,919 | | | | | Twin Disc Inc.* | | | 193,157 | |
See Notes to Financial Statements.
61
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | | | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | INDUSTRIALS — 17.8% — (continued) | |
|
| | Machinery — 3.7% — (continued) | |
| | 1,921 | | | | | Wabash National Corp. | | $ | 28,508 | |
| | 1,902 | | | | | WABCO Holdings Inc.* | | | 261,582 | |
| | 22,856 | | | | | Wabtec Corp.(a) | | | 1,674,431 | |
| | 1,058 | | | | | Watts Water Technologies Inc., Class A Shares | | | 85,211 | |
| | 40,039 | | | | | Welbilt Inc.* | | | 639,423 | |
| | 1,943 | | | | | Woodward Inc. | | | 187,189 | |
| | | | | | | | | | |
| | | | | | Total Machinery | | | 17,176,838 | |
| | | | | | | | | | |
|
| | Marine — 0.1% | |
| | 1,817 | | | | | Costamare Inc. | | | 9,448 | |
| | 34,600 | | | | | Danaos Corp.* | | | 38,060 | |
| | 1,848 | | | | | Eagle Bulk Shipping Inc.* | | | 9,037 | |
| | 77 | | | | | Genco Shipping & Trading Ltd.* | | | 627 | |
| | 2,148 | | | | | Kirby Corp.* | | | 159,425 | |
| | 9,229 | | | | | Matson Inc. | | | 333,259 | |
| | 2,124 | | | | | Safe Bulkers Inc.* | | | 3,186 | |
| | 1,967 | | | | | Scorpio Bulkers Inc. | | | 8,340 | |
| | | | | | | | | | |
| | | | | | Total Marine | | | 561,382 | |
| | | | | | | | | | |
|
| | Professional Services — 0.6% | |
| | 721 | | | | | Acacia Research Corp.* | | | 2,199 | |
| | 1,859 | | | | | ASGN Inc.* | | | 119,738 | |
| | 230 | | | | | Barrett Business Services Inc. | | | 18,064 | |
| | 266 | | | | | BG Staffing Inc. | | | 6,637 | |
| | 1,795 | | | | | CBIZ Inc.* | | | 37,031 | |
| | 296 | | | | | CRA International Inc. | | | 14,788 | |
| | 1,910 | | | | | Exponent Inc. | | | 108,163 | |
| | 391 | | | | | Forrester Research Inc. | | | 19,628 | |
| | 275 | | | | | Franklin Covey Co.* | | | 7,155 | |
| | 1,412 | | | | | FTI Consulting Inc.* | | | 104,714 | |
| | 467 | | | | | GP Strategies Corp.* | | | 7,818 | |
| | 684 | | | | | Heidrick & Struggles International Inc. | | | 29,487 | |
| | 765 | | | | | Huron Consulting Group Inc.* | | | 35,052 | |
| | 709 | | | | | ICF International Inc. | | | 53,544 | |
| | 1,497 | | | | | InnerWorkings Inc.* | | | 7,260 | |
| | 1,401 | | | | | Insperity Inc. | | | 176,904 | |
| | 1,169 | | | | | Kelly Services Inc., Class A Shares | | | 28,208 | |
| | 776 | | | | | Kforce Inc. | | | 28,720 | |
| | 2,011 | | | | | KornFerry | | | 98,117 | |
| | 2,170 | | | | | ManpowerGroup Inc. | | | 182,822 | |
| | 87,692 | | | | | Mistras Group Inc.* | | | 1,383,780 | |
| | 1,479 | | | | | Navigant Consulting Inc. | | | 30,453 | |
| | 1,126 | | | | | Resources Connection Inc. | | | 19,559 | |
| | 4,177 | | | | | Robert Half International Inc. | | | 284,830 | |
| | 1,532 | | | | | TriNet Group Inc.* | | | 93,896 | |
| | 1,390 | | | | | TrueBlue Inc.* | | | 31,998 | |
| | 457 | | | | | Upwork Inc.* | | | 10,826 | |
| | 1,430 | | | | | WageWorks Inc.* | | | 47,047 | |
| | 345 | | | | | Willdan Group Inc.* | | | 13,069 | |
| | | | | | | | | | |
| | | | | | Total Professional Services | | | 3,001,507 | |
| | | | | | | | | | |
|
| | Road & Rail — 0.9% | |
| | 256 | | | | | AMERCO | | | 98,455 | |
| | 891 | | | | | ArcBest Corp. | | | 31,034 | |
| | 21,842 | | | | | Avis Budget Group Inc.* | | | 782,381 | |
See Notes to Financial Statements.
62
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | | | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | INDUSTRIALS — 17.8% — (continued) | |
|
| | Road & Rail — 0.9% — (continued) | |
| | 438 | | | | | Covenant Transportation Group Inc., Class A Shares* | | $ | 9,991 | |
| | 1,485 | | | | | Daseke Inc.* | | | 7,054 | |
| | 2,159 | | | | | Genesee & Wyoming Inc., Class A Shares* | | | 177,038 | |
| | 1,588 | | | | | Heartland Express Inc. | | | 31,903 | |
| | 31,452 | | | | | Hertz Global Holdings Inc.* | | | 600,733 | |
| | 24,278 | | | | | Knight-Swift Transportation Holdings Inc., Class A Shares(a) | | | 816,469 | |
| | 1,487 | | | | | Landstar System Inc. | | | 161,607 | |
| | 1,454 | | | | | Marten Transport Ltd. | | | 27,117 | |
| | 82 | | | | | PAM Transportation Services Inc.* | | | 4,154 | |
| | 24,013 | | | | | Ryder System Inc. | | | 1,492,648 | |
| | 890 | | | | | Saia Inc.* | | | 58,882 | |
| | 1,619 | | | | | Schneider National Inc., Class B Shares | | | 35,440 | |
| | 346 | | | | | Universal Logistics Holdings Inc. | | | 7,664 | |
| | 859 | | | | | US Xpress Enterprises Inc., Class A Shares* | | | 7,516 | |
| | 367 | | | | | USA Truck Inc.* | | | 6,312 | |
| | 1,636 | | | | | Werner Enterprises Inc. | | | 56,491 | |
| | 1,308 | | | | | YRC Worldwide Inc.* | | | 10,032 | |
| | | | | | | | | | |
| | | | | | Total Road & Rail | | | 4,422,921 | |
| | | | | | | | | | |
|
| | Trading Companies & Distributors — 1.7% | |
| | 74,415 | | | | | Air Lease Corp., Class A Shares | | | 2,780,144 | |
| | 1,859 | | | | | Aircastle Ltd. | | | 36,920 | |
| | 1,342 | | | | | Applied Industrial Technologies Inc. | | | 78,024 | |
| | 14,931 | | | | | Beacon Roofing Supply Inc.* | | | 541,547 | |
| | 285 | | | | | BlueLinx Holdings Inc.* | | | 9,131 | |
| | 2,266 | | | | | BMC Stock Holdings Inc.* | | | 43,349 | |
| | 658 | | | | | CAI International Inc.* | | | 15,502 | |
| | 575 | | | | | DXP Enterprises Inc.* | | | 20,338 | |
| | 170 | | | | | EVI Industries Inc.(a) | | | 6,885 | |
| | 425 | | | | | Foundation Building Materials Inc.* | | | 4,726 | |
| | 1,315 | | | | | GATX Corp. | | | 104,542 | |
| | 295 | | | | | General Finance Corp.* | | | 3,186 | |
| | 1,213 | | | | | GMS Inc.* | | | 23,714 | |
| | 1,260 | | | | | H&E Equipment Services Inc. | | | 36,275 | |
| | 20,285 | | | | | HD Supply Holdings Inc.* | | | 872,458 | |
| | 898 | | | | | Herc Holdings Inc.* | | | 39,512 | |
| | 986 | | | | | Kaman Corp. | | | 60,718 | |
| | 239 | | | | | Lawson Products Inc.* | | | 7,545 | |
| | 3,257 | | | | | MRC Global Inc.* | | | 54,913 | |
| | 1,643 | | | | | MSC Industrial Direct Co., Inc., Class A Shares | | | 138,686 | |
| | 3,746 | | | | | NOW Inc.* | | | 54,055 | |
| | 25,542 | | | | | Rush Enterprises Inc., Class A Shares | | | 1,070,721 | |
| | 192 | | | | | Rush Enterprises Inc., Class B Shares | | | 7,930 | |
| | 1,421 | | | | | SiteOne Landscape Supply Inc.* | | | 76,322 | |
| | 460 | | | | | Systemax Inc. | | | 9,320 | |
| | 121,735 | | | | | Textainer Group Holdings Ltd.* | | | 1,328,129 | |
| | 563 | | | | | Titan Machinery Inc.* | | | 10,815 | |
| | 1,808 | | | | | Triton International Ltd. | | | 59,501 | |
| | 4,378 | | | | | Univar Inc.* | | | 98,987 | |
| | 446 | | | | | Veritiv Corp.* | | | 12,885 | |
| | 1,162 | | | | | Watsco Inc. | | | 167,200 | |
| | 1,845 | | | | | WESCO International Inc.* | | | 100,460 | |
| | 42 | | | | | Willis Lease Finance Corp.* | | | 1,767 | |
| | | | | | | | | | |
| | | | | | Total Trading Companies & Distributors | | | 7,876,207 | |
| | | | | | | | | | |
See Notes to Financial Statements.
63
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | | | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | INDUSTRIALS — 17.8% — (continued) | |
|
| | Transportation Infrastructure — 0.0% | |
| | 2,914 | | | | | Macquarie Infrastructure Corp. | | $ | 119,153 | |
| | | | | | | | | | |
| | | | | | TOTAL INDUSTRIALS | | | 83,833,513 | |
| | | | | | | | | | |
|
| | INFORMATION TECHNOLOGY — 20.2% | |
|
| | Communications Equipment — 1.6% | |
| | 15,987 | | | | | Acacia Communications Inc.* | | | 852,906 | |
| | 1,799 | | | | | ADTRAN Inc. | | | 27,021 | |
| | 1,137 | | | | | Aerohive Networks Inc.* | | | 5,742 | |
| | 693 | | | | | Applied Optoelectronics Inc.*(a) | | | 9,356 | |
| | 1,341 | | | | | Arista Networks Inc.* | | | 382,520 | |
| | 5,915 | | | | | ARRIS International PLC* | | | 187,387 | |
| | 1,299 | | | | | CalAmp Corp.* | | | 18,056 | |
| | 1,568 | | | | | Calix Inc.* | | | 12,858 | |
| | 839 | | | | | Casa Systems Inc.* | | | 8,549 | |
| | 57,585 | | | | | Ciena Corp.* | | | 2,456,576 | |
| | 411 | | | | | Clearfield Inc.* | | | 5,968 | |
| | 6,922 | | | | | CommScope Holding Co., Inc.* | | | 161,352 | |
| | 860 | | | | | Comtech Telecommunications Corp. | | | 22,790 | |
| | 390 | | | | | DASAN Zhone Solutions Inc.* | | | 5,394 | |
| | 937 | | | | | Digi International Inc.* | | | 12,368 | |
| | 1,642 | | | | | EchoStar Corp., Class A Shares* | | | 63,316 | |
| | 4,296 | | | | | Extreme Networks Inc.* | | | 35,313 | |
| | 4,340 | | | | | Finisar Corp.* | | | 106,287 | |
| | 2,722 | | | | | Harmonic Inc.* | | | 15,025 | |
| | 92,865 | | | | | Infinera Corp.* | | | 474,540 | |
| | 1,223 | | | | | InterDigital Inc. | | | 85,280 | |
| | 659 | | | | | KVH Industries Inc.* | | | 7,486 | |
| | 2,715 | | | | | Lumentum Holdings Inc.* | | | 135,071 | |
| | 1,086 | | | | | NETGEAR Inc.* | | | 38,933 | |
| | 2,608 | | | | | NetScout Systems Inc.* | | | 71,381 | |
| | 1,200 | | | | | Plantronics Inc. | | | 60,288 | |
| | 1,254 | | | | | Quantenna Communications Inc.* | | | 22,760 | |
| | 51,114 | | | | | Ribbon Communications Inc.* | | | 263,237 | |
| | 518 | | | | | Ubiquiti Networks Inc.(a) | | | 74,794 | |
| | 2,010 | | | | | ViaSat Inc.*(a) | | | 151,856 | |
| | 123,349 | | | | | Viavi Solutions Inc.* | | | 1,619,572 | |
| | | | | | | | | | |
| | | | | | Total Communications Equipment | | | 7,393,982 | |
| | | | | | | | | | |
|
| | Electronic Equipment, Instruments & Components — 2.6% | |
| | 6,725 | | | | | Amphenol Corp., Class A Shares | | | 631,948 | |
| | 1,038 | | | | | Anixter International Inc.* | | | 60,910 | |
| | 2,652 | | | | | Arlo Technologies Inc.* | | | 11,483 | |
| | 3,171 | | | | | Arrow Electronics Inc.* | | | 252,729 | |
| | 19,822 | | | | | Avnet Inc. | | | 862,059 | |
| | 1,881 | | | | | AVX Corp. | | | 34,234 | |
| | 994 | | | | | Badger Meter Inc. | | | 58,487 | |
| | 335 | | | | | Bel Fuse Inc., Class B Shares | | | 8,191 | |
| | 1,501 | | | | | Belden Inc. | | | 92,747 | |
| | 1,527 | | | | | Benchmark Electronics Inc. | | | 41,840 | |
| | 5,303 | | | | | CDW Corp. | | | 497,899 | |
| | 6,013 | | | | | Cognex Corp. | | | 321,094 | |
| | 845 | | | | | Coherent Inc.* | | | 112,453 | |
| | 1,000 | | | | | Control4 Corp.* | | | 18,010 | |
| | 1,119 | | | | | CTS Corp. | | | 35,942 | |
| | 1,375 | | | | | Daktronics Inc. | | | 11,165 | |
See Notes to Financial Statements.
64
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | | | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | INFORMATION TECHNOLOGY — 20.2% — (continued) | |
|
| | Electronic Equipment, Instruments & Components — 2.6% — (continued) | |
| | 2,295 | | | | | Dolby Laboratories Inc., Class A Shares | | $ | 148,716 | |
| | 460 | | | | | ePlus Inc.* | | | 41,142 | |
| | 1,265 | | | | | Fabrinet* | | | 74,002 | |
| | 629 | | | | | FARO Technologies Inc.* | | | 28,814 | |
| | 7,720 | | | | | Fitbit Inc., Class A Shares* | | | 45,702 | |
| | 4,874 | | | | | FLIR Systems Inc. | | | 250,767 | |
| | 9,795 | | | | | II-VI Inc.* | | | 416,092 | |
| | 1,226 | | | | | Insight Enterprises Inc.* | | | 68,435 | |
| | 974 | | | | | Iteris Inc.* | | | 4,208 | |
| | 16,788 | | | | | Itron Inc.* | | | 889,932 | |
| | 5,777 | | | | | Jabil Inc. | | | 164,067 | |
| | 1,919 | | | | | KEMET Corp. | | | 36,365 | |
| | 46,009 | | | | | Keysight Technologies Inc.* | | | 3,883,620 | |
| | 988 | | | | | Kimball Electronics Inc.* | | | 15,314 | |
| | 3,037 | | | | | Knowles Corp.* | | | 49,442 | |
| | 881 | | | | | Littelfuse Inc. | | | 170,112 | |
| | 62,101 | | | | | Maxwell Technologies Inc.*(a) | | | 293,117 | |
| | 114 | | | | | Mesa Laboratories Inc. | | | 26,230 | |
| | 1,227 | | | | | Methode Electronics Inc. | | | 34,430 | |
| | 672 | | | | | MTS Systems Corp. | | | 35,818 | |
| | 505 | | | | | Napco Security Technologies Inc.* | | | 10,852 | |
| | 4,016 | | | | | National Instruments Corp. | | | 187,708 | |
| | 824 | | | | | nLight Inc.* | | | 17,625 | |
| | 1,165 | | | | | Novanta Inc.* | | | 95,215 | |
| | 7,486 | | | | | OSI Systems Inc.* | | | 650,159 | |
| | 377 | | | | | PAR Technology Corp.* | | | 10,168 | |
| | 608 | | | | | Park Electrochemical Corp. | | | 10,573 | |
| | 440 | | | | | PC Connection Inc. | | | 17,706 | |
| | 1,192 | | | | | Plexus Corp.* | | | 73,618 | |
| | 646 | | | | | Rogers Corp.* | | | 100,291 | |
| | 2,359 | | | | | Sanmina Corp.* | | | 75,346 | |
| | 1,009 | | | | | ScanSource Inc.* | | | 37,888 | |
| | 1,455 | | | | | SYNNEX Corp. | | | 142,765 | |
| | 1,394 | | | | | Tech Data Corp.* | | | 142,495 | |
| | 9,066 | | | | | Trimble Inc.* | | | 362,731 | |
| | 3,214 | | | | | TTM Technologies Inc.* | | | 38,954 | |
| | 4,840 | | | | | Vishay Intertechnology Inc. | | | 106,093 | |
| | 308 | | | | | Vishay Precision Group Inc.* | | | 10,737 | |
| | 1,914 | | | | | Zebra Technologies Corp., Class A Shares* | | | 383,776 | |
| | | | | | | | | | |
| | | | | | Total Electronic Equipment, Instruments & Components | | | 12,202,216 | |
| | | | | | | | | | |
|
| | IT Services — 4.9% | |
| | 16,021 | | | | | Black Knight Inc.* | | | 837,097 | |
| | 5,033 | | | | | Booz Allen Hamilton Holding Corp., Class A Shares | | | 266,044 | |
| | 1,218 | | | | | Brightcove Inc.* | | | 10,804 | |
| | 890 | | | | | CACI International Inc., Class A Shares* | | | 162,211 | |
| | 1,103 | | | | | Carbonite Inc.* | | | 25,667 | |
| | 1,373 | | | | | Cardtronics PLC, Class A Shares* | | | 40,517 | |
| | 540 | | | | | Cass Information Systems Inc. | | | 28,204 | |
| | 53,996 | | | | | Conduent Inc.* | | | 789,422 | |
| | 24,707 | | | | | CoreLogic Inc.* | | | 906,006 | |
| | 1,147 | | | | | CSG Systems International Inc. | | | 47,658 | |
| | 12,213 | | | | | DXC Technology Co. | | | 804,348 | |
| | 2,660 | | | | | Endurance International Group Holdings Inc.* | | | 18,620 | |
| | 1,864 | | | | | EPAM Systems Inc.* | | | 301,558 | |
See Notes to Financial Statements.
65
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | | | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | INFORMATION TECHNOLOGY — 20.2% — (continued) | |
|
| | IT Services — 4.9% — (continued) | |
| | 29,721 | | | | | Euronet Worldwide Inc.* | | $ | 3,992,125 | |
| | 2,518 | | | | | Everi Holdings Inc.* | | | 19,363 | |
| | 2,135 | | | | | EVERTEC Inc. | | | 61,104 | |
| | 869 | | | | | Evo Payments Inc., Class A Shares* | | | 23,220 | |
| | 1,441 | | | | | Exela Technologies Inc.* | | | 5,735 | |
| | 1,169 | | | | | ExlService Holdings Inc.* | | | 71,777 | |
| | 81,989 | | | | | Genpact Ltd. | | | 2,723,675 | |
| | 15,716 | | | | | Global Payments Inc. | | | 2,049,052 | |
| | 6,095 | | | | | GoDaddy Inc., Class A Shares* | | | 454,992 | |
| | 1,481 | | | | | GTT Communications Inc.*(a) | | | 46,296 | |
| | 920 | | | | | Hackett Group Inc. (The) | | | 14,959 | |
| | 335 | | | | | I3 Verticals Inc., Class A Shares* | | | 7,048 | |
| | 1,089 | | | | | Information Services Group Inc.* | | | 4,694 | |
| | 1,044 | | | | | Internap Corp.* | | | 5,648 | |
| | 27,789 | | | | | InterXion Holding NV* | | | 1,820,180 | |
| | 2,786 | | | | | Jack Henry & Associates Inc. | | | 369,507 | |
| | 5,110 | | | | | Leidos Holdings Inc. | | | 330,055 | |
| | 3,663 | | | | | Limelight Networks Inc.* | | | 10,696 | |
| | 2,865 | | | | | LiveRamp Holdings Inc.* | | | 153,994 | |
| | 922 | | | | | ManTech International Corp., Class A Shares | | | 50,111 | |
| | 2,240 | | | | | MAXIMUS Inc. | | | 158,323 | |
| | 1,105 | | | | | MoneyGram International Inc.* | | | 2,685 | |
| | 2,405 | | | | | NIC Inc. | | | 41,101 | |
| | 3,121 | | | | | Okta Inc., Class A Shares* | | | 264,910 | |
| | 1,098 | | | | | Perficient Inc.* | | | 31,414 | |
| | 5,257 | | | | | Perspecta Inc. | | | 110,923 | |
| | 464 | | | | | PFSweb Inc.* | | | 2,905 | |
| | 1,442 | | | | | Presidio Inc. | | | 23,980 | |
| | 695 | | | | | PRGX Global Inc.* | | | 6,519 | |
| | 9,986 | | | | | Sabre Corp. | | | 223,986 | |
| | 1,842 | | | | | Science Applications International Corp. | | | 137,597 | |
| | 2,674 | | | | | ServiceSource International Inc.* | | | 2,488 | |
| | 1,263 | | | | | Switch Inc., Class A Shares | | | 10,900 | |
| | 1,348 | | | | | Sykes Enterprises Inc.* | | | 39,887 | |
| | 4,431 | | | | | Travelport Worldwide Ltd. | | | 69,655 | |
| | 530 | | | | | TTEC Holdings Inc. | | | 18,158 | |
| | 323 | | | | | Tucows Inc., Class A Shares* | | | 25,042 | |
| | 3,192 | | | | | Twilio Inc., Class A Shares* | | | 388,434 | |
| | 30,479 | | | | | Unisys Corp.*(a) | | | 411,771 | |
| | 985 | | | | | Virtusa Corp.* | | | 49,713 | |
| | 12,843 | | | | | WEX Inc.* | | | 2,286,825 | |
| | 13,160 | | | | | WNS Holdings Ltd., ADR* | | | 694,848 | |
| | 16,441 | | | | | Worldpay Inc., Class A Shares* | | | 1,575,048 | |
| | | | | | | | | | |
| | | | | | Total IT Services | | | 23,029,499 | |
| | | | | | | | | | |
|
| | Semiconductors & Semiconductor Equipment — 3.6% | |
| | 237 | | | | | ACM Research Inc., Class A Shares*(a) | | | 2,690 | |
| | 839 | | | | | Adesto Technologies Corp.* | | | 4,933 | |
| | 1,481 | | | | | Advanced Energy Industries Inc.* | | | 74,598 | |
| | 55,693 | | | | | Advanced Micro Devices Inc.* | | | 1,310,456 | |
| | 854 | | | | | Alpha & Omega Semiconductor Ltd.* | | | 9,189 | |
| | 1,078 | | | | | Ambarella Inc.* | | | 43,519 | |
| | 3,847 | | | | | Amkor Technology Inc.* | | | 33,777 | |
| | 675 | | | | | Aquantia Corp.* | | | 5,299 | |
| | 1,097 | | | | | Axcelis Technologies Inc.* | | | 23,059 | |
See Notes to Financial Statements.
66
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | | | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | INFORMATION TECHNOLOGY — 20.2% — (continued) | |
|
| | Semiconductors & Semiconductor Equipment — 3.6% — (continued) | |
| | 1,335 | | | | | AXT Inc.* | | $ | 5,954 | |
| | 2,435 | | | | | Brooks Automation Inc. | | | 78,188 | |
| | 2,671 | | | | | Cabot Microelectronics Corp. | | | 302,090 | |
| | 11,240 | | | | | CEVA Inc.* | | | 312,697 | |
| | 2,106 | | | | | Cirrus Logic Inc.* | | | 84,514 | |
| | 1,423 | | | | | Cohu Inc. | | | 25,457 | |
| | 3,649 | | | | | Cree Inc.* | | | 198,542 | |
| | 67,831 | | | | | Cypress Semiconductor Corp. | | | 1,046,632 | |
| | 1,557 | | | | | Diodes Inc.* | | | 62,794 | |
| | 14,383 | | | | | Entegris Inc. | | | 508,151 | |
| | 2,886 | | | | | First Solar Inc.* | | | 151,659 | |
| | 2,530 | | | | | FormFactor Inc.* | | | 40,101 | |
| | 769 | | | | | Ichor Holdings Ltd.* | | | 16,126 | |
| | 11,106 | | | | | Impinj Inc.*(a) | | | 185,803 | |
| | 13,786 | | | | | Inphi Corp.* | | | 595,831 | |
| | 4,687 | | | | | Integrated Device Technology Inc.* | | | 226,523 | |
| | 1,891 | | | | | Kopin Corp.* | | | 2,893 | |
| | 3,656 | | | | | Lam Research Corp. | | | 643,785 | |
| | 4,021 | | | | | Lattice Semiconductor Corp.* | | | 47,448 | |
| | 37,742 | | | | | MACOM Technology Solutions Holdings Inc.* | | | 720,495 | |
| | 70,611 | | | | | Marvell Technology Group Ltd. | | | 1,408,689 | |
| | 2,426 | | | | | MaxLinear Inc., Class A Shares* | | | 60,990 | |
| | 16,200 | | | | | Mellanox Technologies Ltd.* | | | 1,740,528 | |
| | 9,030 | | | | | Microchip Technology Inc. | | | 784,436 | |
| | 1,966 | | | | | MKS Instruments Inc. | | | 162,922 | |
| | 4,325 | | | | | Monolithic Power Systems Inc. | | | 580,026 | |
| | 843 | | | | | Nanometrics Inc.* | | | 23,992 | |
| | 1,070 | | | | | NeoPhotonics Corp.* | | | 8,560 | |
| | 168 | | | | | NVE Corp. | | | 17,274 | |
| | 14,709 | | | | | ON Semiconductor Corp.* | | | 315,949 | |
| | 1,169 | | | | | PDF Solutions Inc.* | | | 13,923 | |
| | 2,261 | | | | | Photronics Inc.* | | | 22,180 | |
| | 1,007 | | | | | Power Integrations Inc. | | | 73,571 | |
| | 67,293 | | | | | Rambus Inc.* | | | 691,099 | |
| | 1,165 | | | | | Rudolph Technologies Inc.* | | | 26,306 | |
| | 13,419 | | | | | Semtech Corp.* | | | 738,582 | |
| | 1,504 | | | | | Silicon Laboratories Inc.* | | | 121,854 | |
| | 373 | | | | | SMART Global Holdings Inc.* | | | 10,933 | |
| | 2,393 | | | | | SunPower Corp., Class A Shares*(a) | | | 15,435 | |
| | 1,207 | | | | | Synaptics Inc.* | | | 50,537 | |
| | 6,525 | | | | | Teradyne Inc. | | | 266,416 | |
| | 26,570 | | | | | Ultra Clean Holdings Inc.* | | | 282,971 | |
| | 4,931 | | | | | Universal Display Corp. | | | 735,902 | |
| | 48,930 | | | | | Veeco Instruments Inc.* | | | 558,781 | |
| | 3,833 | | | | | Versum Materials Inc. | | | 187,817 | |
| | 9,614 | | | | | Xilinx Inc. | | | 1,204,634 | |
| | 1,675 | | | | | Xperi Corp. | | | 40,200 | |
| | | | | | | | | | |
| | | | | | Total Semiconductors & Semiconductor Equipment | | | 16,907,710 | |
| | | | | | | | | | |
|
| | Software — 7.3% | |
| | 14,747 | | | | | 2U Inc.* | | | 1,086,854 | |
| | 42,882 | | | | | 8x8 Inc.* | | | 843,489 | |
| | 2,126 | | | | | A10 Networks Inc.* | | | 14,839 | |
| | 4,010 | | | | | ACI Worldwide Inc.* | | | 127,799 | |
| | 597 | | | | | Agilysys Inc.* | | | 12,477 | |
See Notes to Financial Statements.
67
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | | | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | INFORMATION TECHNOLOGY — 20.2% — (continued) | |
|
| | Software — 7.3% — (continued) | |
| | 7,667 | | | | | Alarm.com Holdings Inc.* | | $ | 503,185 | |
| | 906 | | | | | Altair Engineering Inc., Class A Shares* | | | 32,127 | |
| | 1,016 | | | | | Alteryx Inc., Class A Shares* | | | 77,531 | |
| | 934 | | | | | Amber Road Inc.* | | | 9,191 | |
| | 948 | | | | | American Software Inc., Class A Shares | | | 10,987 | |
| | 650 | | | | | Anaplan Inc.* | | | 24,382 | |
| | 553 | | | | | Appfolio Inc., Class A Shares* | | | 39,971 | |
| | 2,592 | | | | | Aspen Technology Inc.* | | | 261,040 | |
| | 461 | | | | | Asure Software Inc.* | | | 2,978 | |
| | 5,676 | | | | | Autodesk Inc.* | | | 925,245 | |
| | 352 | | | | | Avalara Inc.* | | | 18,378 | |
| | 3,761 | | | | | Avaya Holdings Corp.* | | | 58,258 | |
| | 744 | | | | | Benefitfocus Inc.* | | | 36,545 | |
| | 1,762 | | | | | Blackbaud Inc. | | | 136,097 | |
| | 1,287 | | | | | Blackline Inc.* | | | 67,362 | |
| | 1,505 | | | | | Bottomline Technologies de Inc.* | | | 75,069 | |
| | 4,267 | | | | | Box Inc., Class A Shares* | | | 86,364 | |
| | 10,100 | | | | | Cadence Design Systems Inc.* | | | 578,225 | |
| | 1,390 | | | | | Carbon Black Inc.* | | | 18,195 | |
| | 1,201 | | | | | Ceridian HCM Holding Inc.*(a) | | | 58,873 | |
| | 950 | | | | | ChannelAdvisor Corp.* | | | 12,284 | |
| | 2,430 | | | | | Cision Ltd.* | | | 31,639 | |
| | 70,108 | | | | | Cloudera Inc.* | | | 1,021,474 | |
| | 1,396 | | | | | CommVault Systems Inc.* | | | 94,076 | |
| | 2,043 | | | | | Cornerstone OnDemand Inc.* | | | 115,430 | |
| | 1,992 | | | | | Coupa Software Inc.* | | | 187,626 | |
| | 435 | | | | | Digimarc Corp.*(a) | | | 13,124 | |
| | 2,591 | | | | | DocuSign Inc., Class A Shares* | | | 142,894 | |
| | 289 | | | | | Domo Inc., Class B Shares* | | | 10,025 | |
| | 835 | | | | | Ebix Inc. | | | 48,655 | |
| | 547 | | | | | eGain Corp.* | | | 6,203 | |
| | 294 | | | | | Elastic NV* | | | 26,625 | |
| | 1,274 | | | | | Ellie Mae Inc.* | | | 126,750 | |
| | 1,562 | | | | | Envestnet Inc.* | | | 95,298 | |
| | 1,037 | | | | | Everbridge Inc.* | | | 73,326 | |
| | 5,213 | | | | | Fair Isaac Corp.* | | | 1,291,886 | |
| | 65,631 | | | | | FireEye Inc.* | | | 1,099,976 | |
| | 2,013 | | | | | Five9 Inc.* | | | 106,770 | |
| | 1,080 | | | | | ForeScout Technologies Inc.* | | | 44,863 | |
| | 5,126 | | | | | Fortinet Inc.* | | | 444,886 | |
| | 776 | | | | | Fusion Connect Inc.* | | | 1,428 | |
| | 7,060 | | | | | Guidewire Software Inc.* | | | 647,684 | |
| | 1,354 | | | | | HubSpot Inc.* | | | 227,987 | |
| | 1,097 | | | | | Instructure Inc.* | | | 51,263 | |
| | 1,643 | | | | | j2 Global Inc. | | | 139,671 | |
| | 2,111 | | | | | LivePerson Inc.* | | | 59,024 | |
| | 1,836 | | | | | LogMeIn Inc. | | | 145,852 | |
| | 2,403 | | | | | Manhattan Associates Inc.* | | | 131,564 | |
| | 330 | | | | | MicroStrategy Inc., Class A Shares* | | | 46,695 | |
| | 1,166 | | | | | Mitek Systems Inc.* | | | 12,604 | |
| | 2,542 | | | | | MobileIron Inc.* | | | 12,863 | |
| | 950 | | | | | Model N Inc.* | | | 16,435 | |
| | 1,362 | | | | | Monotype Imaging Holdings Inc. | | | 26,695 | |
| | 1,642 | | | | | New Relic Inc.* | | | 173,642 | |
See Notes to Financial Statements.
68
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | | | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | INFORMATION TECHNOLOGY — 20.2% — (continued) | |
|
| | Software — 7.3% — (continued) | |
| | 6,570 | | | | | Nice Ltd., ADR* | | $ | 773,223 | |
| | 131,150 | | | | | Nuance Communications Inc.* | | | 2,199,385 | |
| | 25,171 | | | | | Nutanix Inc., Class A Shares* | | | 1,260,815 | |
| | 23,938 | | | | | OneSpan Inc.* | | | 509,879 | |
| | 1,956 | | | | | Palo Alto Networks Inc.* | | | 481,704 | |
| | 673 | | | | | Park City Group Inc.*(a) | | | 5,357 | |
| | 1,799 | | | | | Paycom Software Inc.* | | | 326,932 | |
| | 4,310 | | | | | Paylocity Holding Corp.* | | | 377,427 | |
| | 1,328 | | | | | Pegasystems Inc. | | | 87,263 | |
| | 811 | | | | | Pluralsight Inc., Class A Shares* | | | 26,366 | |
| | 1,558 | | | | | Progress Software Corp. | | | 57,303 | |
| | 10,245 | | | | | Proofpoint Inc.* | | | 1,209,832 | |
| | 1,102 | | | | | PROS Holdings Inc.* | | | 46,945 | |
| | 4,243 | | | | | PTC Inc.* | | | 393,835 | |
| | 1,310 | | | | | Q2 Holdings Inc.* | | | 90,154 | |
| | 358 | | | | | QAD Inc., Class A Shares | | | 16,203 | |
| | 1,240 | | | | | Qualys Inc.* | | | 103,701 | |
| | 1,254 | | | | | Rapid7 Inc.* | | | 57,722 | |
| | 2,531 | | | | | RealPage Inc.* | | | 154,923 | |
| | 2,511 | | | | | RingCentral Inc., Class A Shares* | | | 264,383 | |
| | 2,405 | | | | | SailPoint Technologies Holding Inc.* | | | 74,170 | |
| | 44,600 | | | | | Seachange International Inc.* | | | 64,670 | |
| | 333 | | | | | SecureWorks Corp., Class A Shares* | | | 7,389 | |
| | 4,876 | | | | | ServiceNow Inc.* | | | 1,167,509 | |
| | 231 | | | | | ShotSpotter Inc.* | | | 11,536 | |
| | 13,600 | | | | | Smartsheet Inc., Class A Shares* | | | 520,064 | |
| | 912 | | | | | SolarWinds Corp.* | | | 17,337 | |
| | 7,730 | | | | | Splunk Inc.* | | | 1,050,352 | |
| | 600 | | | | | SPS Commerce Inc.* | | | 64,068 | |
| | 41,323 | | | | | SS&C Technologies Holdings Inc. | | | 2,544,670 | |
| | 641 | | | | | SVMK Inc.*(a) | | | 9,724 | |
| | 15,629 | | | | | Tableau Software Inc., Class A Shares* | | | 2,061,465 | |
| | 2,052 | | | | | Telaria Inc.* | | | 11,450 | |
| | 816 | | | | | Telenav Inc.* | | | 4,880 | |
| | 498 | | | | | Tenable Holdings Inc.* | | | 15,528 | |
| | 4,306 | | | | | Teradata Corp.* | | | 208,281 | |
| | 54,867 | | | | | TiVo Corp. | | | 550,316 | |
| | 1,201 | | | | | Trade Desk Inc. (The), Class A Shares* | | | 237,246 | |
| | 1,385 | | | | | Tyler Technologies Inc.* | | | 283,634 | |
| | 4,114 | | | | | Ultimate Software Group Inc. (The)* | | | 1,363,791 | |
| | 587 | | | | | Upland Software Inc.* | | | 20,604 | |
| | 2,787 | | | | | Varonis Systems Inc.* | | | 158,748 | |
| | 41,261 | | | | | Verint Systems Inc.* | | | 2,197,148 | |
| | 172 | | | | | Veritone Inc.* | | | 1,061 | |
| | 1,758 | | | | | VirnetX Holding Corp.*(a) | | | 10,706 | |
| | 5,802 | | | | | Workday Inc., Class A Shares* | | | 1,148,390 | |
| | 998 | | | | | Workiva Inc., Class A Shares* | | | 49,351 | |
| | 3,031 | | | | | Yext Inc.* | | | 56,316 | |
| | 3,850 | | | | | Zendesk Inc.* | | | 304,227 | |
| | 1,934 | | | | | Zix Corp.* | | | 17,464 | |
| | 2,240 | | | | | Zscaler Inc.* | | | 111,283 | |
| | | | | | | | | | |
| | | | | | Total Software | | | 34,579,408 | |
| | | | | | | | | | |
See Notes to Financial Statements.
69
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | | | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | INFORMATION TECHNOLOGY — 20.2% — (continued) | |
|
| | Technology Hardware, Storage & Peripherals — 0.2% | |
| | 3,800 | | | | | 3D Systems Corp.* | | $ | 53,656 | |
| | 908 | | | | | Avid Technology Inc.* | | | 4,313 | |
| | 1,378 | | | | | Cray Inc.* | | | 33,802 | |
| | 53,639 | | | | | Diebold Nixdorf Inc.* | | | 492,942 | |
| | 787 | | | | | Eastman Kodak Co.*(a) | | | 2,393 | |
| | 1,512 | | | | | Electronics for Imaging Inc.* | | | 40,885 | |
| | 816 | | | | | Immersion Corp.* | | | 7,328 | |
| | 4,199 | | | | | NCR Corp.* | | | 117,656 | |
| | 6,113 | | | | | Pure Storage Inc., Class A Shares* | | | 125,194 | |
| | 13,350 | | | | | Quantum Corp.* | | | 31,907 | |
| | 1,735 | | | | | Stratasys Ltd.* | | | 49,378 | |
| | 1,815 | | | | | USA Technologies Inc.* | | | 7,187 | |
| | 7,592 | | | | | Xerox Corp. | | | 234,593 | |
| | | | | | | | | | |
| | | | | | Total Technology Hardware, Storage & Peripherals | | | 1,201,234 | |
| | | | | | | | | | |
| | | | | | TOTAL INFORMATION TECHNOLOGY | | | 95,314,049 | |
| | | | | | | | | | |
|
| | MATERIALS — 4.7% | |
|
| | Chemicals — 1.9% | |
| | 1,140 | | | | | A. Schulman Inc.*#(b) | | | 494 | |
| | 664 | | | | | Advanced Emissions Solutions Inc. | | | 7,849 | |
| | 1,036 | | | | | AdvanSix Inc.* | | | 33,929 | |
| | 1,201 | | | | | AgroFresh Solutions Inc.* | | | 5,176 | |
| | 14,595 | | | | | Albemarle Corp. | | | 1,332,378 | |
| | 1,039 | | | | | American Vanguard Corp. | | | 19,512 | |
| | 1,175 | | | | | Amyris Inc.*(a) | | | 5,570 | |
| | 2,268 | | | | | Ashland Global Holdings Inc. | | | 175,498 | |
| | 7,689 | | | | | Axalta Coating Systems Ltd.* | | | 205,527 | |
| | 1,139 | | | | | Balchem Corp. | | | 101,063 | |
| | 2,087 | | | | | Cabot Corp. | | | 97,839 | |
| | 8,378 | | | | | CF Industries Holdings Inc. | | | 353,552 | |
| | 209 | | | | | Chase Corp. | | | 20,179 | |
| | 6,249 | | | | | Chemours Co. (The) | | | 237,649 | |
| | 7,797 | | | | | Element Solutions Inc.* | | | 87,794 | |
| | 2,912 | | | | | Ferro Corp.* | | | 56,464 | |
| | 2,004 | | | | | Flotek Industries Inc.* | | | 6,413 | |
| | 15,124 | | | | | FMC Corp. | | | 1,353,598 | |
| | 1,023 | | | | | FutureFuel Corp. | | | 18,864 | |
| | 2,491 | | | | | GCP Applied Technologies Inc.* | | | 74,655 | |
| | 330 | | | | | Hawkins Inc. | | | 13,603 | |
| | 1,868 | | | | | HB Fuller Co. | | | 94,297 | |
| | 8,030 | | | | | Huntsman Corp. | | | 199,064 | |
| | 11,969 | | | | | Ingevity Corp.* | | | 1,379,068 | |
| | 731 | | | | | Innophos Holdings Inc. | | | 24,269 | |
| | 912 | | | | | Innospec Inc. | | | 74,656 | |
| | 3,591 | | | | | Intrepid Potash Inc.* | | | 13,646 | |
| | 699 | | | | | Koppers Holdings Inc.* | | | 17,188 | |
| | 1,160 | | | | | Kraton Corp.* | | | 41,273 | |
| | 578 | | | | | Kronos Worldwide Inc. | | | 8,815 | |
| | 839 | | | | | Livent Corp.*(a) | | | 10,739 | |
| | 973 | | | | | LSB Industries Inc.* | | | 6,860 | |
| | 1,702 | | | | | Marrone Bio Innovations Inc.*(a) | | | 2,774 | |
| | 1,370 | | | | | Minerals Technologies Inc. | | | 81,104 | |
| | 286 | | | | | NewMarket Corp. | | | 125,554 | |
| | 5,877 | | | | | Olin Corp. | | | 151,979 | |
See Notes to Financial Statements.
70
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | | | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | MATERIALS — 4.7% — (continued) | |
|
| | Chemicals — 1.9% — (continued) | |
| | 1,668 | | | | | OMNOVA Solutions Inc.* | | $ | 13,594 | |
| | 2,985 | | | | | PolyOne Corp. | | | 97,371 | |
| | 1,372 | | | | | PQ Group Holdings Inc.* | | | 22,473 | |
| | 465 | | | | | Quaker Chemical Corp. | | | 97,180 | |
| | 1,687 | | | | | Rayonier Advanced Materials Inc. | | | 23,770 | |
| | 4,747 | | | | | RPM International Inc. | | | 274,709 | |
| | 1,477 | | | | | ScottsMiracle-Gro Co. (The) | | | 120,966 | |
| | 1,492 | | | | | Sensient Technologies Corp. | | | 96,532 | |
| | 2,324 | | | | | Sherwin-Williams Co. (The) | | | 1,006,757 | |
| | 713 | | | | | Stepan Co. | | | 67,093 | |
| | 792 | | | | | Trecora Resources* | | | 7,603 | |
| | 977 | | | | | Tredegar Corp. | | | 17,019 | |
| | 1,511 | | | | | Trinseo SA | | | 75,837 | |
| | 3,138 | | | | | Tronox Ltd., Class A Shares | | | 37,123 | |
| | 599 | | | | | Valhi Inc. | | | 2,426 | |
| | 7,070 | | | | | Valvoline Inc. | | | 132,845 | |
| | 2,420 | | | | | WR Grace & Co. | | | 187,961 | |
| | | | | | | | | | |
| | | | | | Total Chemicals | | | 8,720,151 | |
| | | | | | | | | | |
|
| | Construction Materials — 0.3% | |
| | 1,657 | | | | | Eagle Materials Inc. | | | 126,661 | |
| | 749 | | | | | Forterra Inc.*(a) | | | 3,932 | |
| | 38,387 | | | | | Summit Materials Inc., Class A Shares* | | | 652,579 | |
| | 79 | | | | | United States Lime & Minerals Inc. | | | 5,688 | |
| | 590 | | | | | US Concrete Inc.* | | | 23,665 | |
| | 5,912 | | | | | Vulcan Materials Co. | | | 658,952 | |
| | | | | | | | | | |
| | | | | | Total Construction Materials | | | 1,471,477 | |
| | | | | | | | | | |
|
| | Containers & Packaging — 1.7% | |
| | 2,247 | | | | | AptarGroup Inc. | | | 228,587 | |
| | 745 | | | | | Ardagh Group SA, Class A Shares | | | 9,700 | |
| | 14,821 | | | | | Avery Dennison Corp. | | | 1,601,261 | |
| | 29,456 | | | | | Ball Corp. | | | 1,613,600 | |
| | 3,294 | | | | | Bemis Co., Inc. | | | 174,253 | |
| | 25,919 | | | | | Berry Global Group Inc.* | | | 1,359,970 | |
| | 32,391 | | | | | Crown Holdings Inc.* | | | 1,758,507 | |
| | 10,862 | | | | | Graphic Packaging Holding Co. | | | 132,299 | |
| | 897 | | | | | Greif Inc., Class A Shares | | | 36,059 | |
| | 177 | | | | | Greif Inc., Class B Shares | | | 8,046 | |
| | 1,145 | | | | | Myers Industries Inc. | | | 21,847 | |
| | 5,859 | | | | | Owens-Illinois Inc. | | | 116,711 | |
| | 3,396 | | | | | Packaging Corp. of America | | | 324,624 | |
| | 5,669 | | | | | Sealed Air Corp. | | | 247,282 | |
| | 2,854 | | | | | Silgan Holdings Inc. | | | 80,797 | |
| | 3,556 | | | | | Sonoco Products Co. | | | 205,857 | |
| | 211 | | | | | UFP Technologies Inc.* | | | 7,068 | |
| | | | | | | | | | |
| | | | | | Total Containers & Packaging | | | 7,926,468 | |
| | | | | | | | | | |
|
| | Metals & Mining — 0.7% | |
| | 10,550 | | | | | AK Steel Holding Corp.* | | | 31,861 | |
| | 6,883 | | | | | Alcoa Corp.* | | | 203,049 | |
| | 34,062 | | | | | Allegheny Technologies Inc.* | | | 975,195 | |
| | 1,619 | | | | | Carpenter Technology Corp. | | | 75,996 | |
| | 1,813 | | | | | Century Aluminum Co.* | | | 15,646 | |
| | 69,887 | | | | | Cleveland-Cliffs Inc. | | | 775,047 | |
See Notes to Financial Statements.
71
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | | | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | MATERIALS — 4.7% — (continued) | |
|
| | Metals & Mining — 0.7% — (continued) | |
| | 6,363 | | | | | Coeur Mining Inc.* | | $ | 30,415 | |
| | 4,408 | | | | | Commercial Metals Co. | | | 72,952 | |
| | 1,197 | | | | | Compass Minerals International Inc. | | | 62,699 | |
| | 3,346 | | | | | Ferroglobe Representation & Warranty Insurance Trust*#(b) | | | – | |
| | 1,912 | | | | | Gold Resource Corp. | | | 8,967 | |
| | 468 | | | | | Haynes International Inc. | | | 16,464 | |
| | 15,429 | | | | | Hecla Mining Co. | | | 37,030 | |
| | 565 | | | | | Kaiser Aluminum Corp. | | | 61,856 | |
| | 694 | | | | | Materion Corp. | | | 40,099 | |
| | 372 | | | | | Olympic Steel Inc. | | | 7,224 | |
| | 2,459 | | | | | Reliance Steel & Aluminum Co. | | | 219,466 | |
| | 2,380 | | | | | Royal Gold Inc. | | | 210,416 | |
| | 539 | | | | | Ryerson Holding Corp.* | | | 4,565 | |
| | 981 | | | | | Schnitzer Steel Industries Inc., Class A Shares | | | 23,838 | |
| | 7,985 | | | | | Steel Dynamics Inc. | | | 298,000 | |
| | 2,403 | | | | | SunCoke Energy Inc.* | | | 23,838 | |
| | 272 | | | | | Synalloy Corp. | | | 4,154 | |
| | 1,440 | | | | | TimkenSteel Corp.* | | | 17,942 | |
| | 6,479 | | | | | United States Steel Corp. | | | 145,194 | |
| | 239 | | | | | Universal Stainless & Alloy Products Inc.* | | | 4,393 | |
| | 1,511 | | | | | Warrior Met Coal Inc. | | | 44,242 | |
| | 1,611 | | | | | Worthington Industries Inc. | | | 63,329 | |
| | | | | | | | | | |
| | | | | | Total Metals & Mining | | | 3,473,877 | |
| | | | | | | | | | |
|
| | Paper & Forest Products — 0.1% | |
| | 1,532 | | | | | Boise Cascade Co. | | | 42,727 | |
| | 538 | | | | | Clearwater Paper Corp.* | | | 15,387 | |
| | 2,172 | | | | | Domtar Corp. | | | 110,577 | |
| | 4,992 | | | | | Louisiana-Pacific Corp. | | | 126,148 | |
| | 575 | | | | | Neenah Inc. | | | 38,858 | |
| | 1,627 | | | | | PH Glatfelter Co. | | | 21,883 | |
| | 1,146 | | | | | Schweitzer-Mauduit International Inc. | | | 44,190 | |
| | 1,212 | | | | | Verso Corp., Class A Shares* | | | 23,816 | |
| | | | | | | | | | |
| | | | | | Total Paper & Forest Products | | | 423,586 | |
| | | | | | | | | | |
| | | | | | TOTAL MATERIALS | | | 22,015,559 | |
| | | | | | | | | | |
|
| | REAL ESTATE — 5.9% | |
|
| | Equity Real Estate Investment Trusts (REITs) — 5.1% | |
| | 3,003 | | | | | Acadia Realty Trust | | | 85,555 | |
| | 1,216 | | | | | Agree Realty Corp. | | | 79,928 | |
| | 2,354 | | | | | Alexander & Baldwin Inc.* | | | 53,977 | |
| | 79 | | | | | Alexander’s Inc. | | | 30,155 | |
| | 15,631 | | | | | Alexandria Real Estate Equities Inc. | | | 2,124,097 | |
| | 1,518 | | | | | American Assets Trust Inc. | | | 65,942 | |
| | 4,926 | | | | | American Campus Communities Inc. | | | 221,966 | |
| | 9,306 | | | | | American Homes 4 Rent, Class A Shares | | | 203,243 | |
| | 3,099 | | | | | Americold Realty Trust | | | 89,096 | |
| | 5,290 | | | | | Apartment Investment & Management Co., Class A Shares | | | 258,840 | |
| | 7,953 | | | | | Apple Hospitality REIT Inc. | | | 131,065 | |
| | 1,688 | | | | | Armada Hoffler Properties Inc. | | | 25,826 | |
| | 3,221 | | | | | Ashford Hospitality Trust Inc. | | | 17,265 | |
| | 830 | | | | | Bluerock Residential Growth REIT Inc., Class A Shares | | | 8,798 | |
| | 1,135 | | | | | Braemar Hotels & Resorts Inc. | | | 14,778 | |
| | 6,392 | | | | | Brandywine Realty Trust | | | 100,482 | |
See Notes to Financial Statements.
72
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | | | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | REAL ESTATE — 5.9% — (continued) | |
|
| | Equity Real Estate Investment Trusts (REITs) — 5.1% — (continued) | |
| | 10,641 | | | | | Brixmor Property Group Inc. | | $ | 185,792 | |
| | 213 | | | | | BRT Apartments Corp. | | | 2,833 | |
| | 3,203 | | | | | Camden Property Trust | | | 314,182 | |
| | 2,839 | | | | | CareTrust REIT Inc. | | | 63,423 | |
| | 1,883 | | | | | CatchMark Timber Trust Inc., Class A Shares | | | 17,983 | |
| | 6,331 | | | | | CBL & Associates Properties Inc.(a) | | | 13,548 | |
| | 3,374 | | | | | Cedar Realty Trust Inc. | | | 11,742 | |
| | 1,718 | | | | | Chatham Lodging Trust | | | 34,326 | |
| | 2,306 | | | | | Chesapeake Lodging Trust | | | 69,457 | |
| | 1,433 | | | | | City Office REIT Inc. | | | 15,763 | |
| | 586 | | | | | Clipper Realty Inc. | | | 7,712 | |
| | 17,703 | | | | | Colony Capital Inc. | | | 98,429 | |
| | 4,105 | | | | | Columbia Property Trust Inc. | | | 88,791 | |
| | 717 | | | | | Community Healthcare Trust Inc. | | | 25,590 | |
| | 4,249 | | | | | CoreCivic Inc. | | | 89,994 | |
| | 485 | | | | | CorEnergy Infrastructure Trust Inc. | | | 17,683 | |
| | 1,524 | | | | | CorePoint Lodging Inc. | | | 21,290 | |
| | 1,336 | | | | | CoreSite Realty Corp. | | | 136,606 | |
| | 3,605 | | | | | Corporate Office Properties Trust | | | 93,694 | |
| | 14,682 | | | | | Cousins Properties Inc. | | | 139,773 | |
| | 6,555 | | | | | CubeSmart | | | 200,845 | |
| | 3,792 | | | | | CyrusOne Inc. | | | 188,993 | |
| | 7,767 | | | | | DiamondRock Hospitality Co. | | | 83,029 | |
| | 5,788 | | | | | Douglas Emmett Inc. | | | 223,417 | |
| | 12,779 | | | | | Duke Realty Corp. | | | 377,875 | |
| | 2,379 | | | | | Easterly Government Properties Inc. | | | 42,774 | |
| | 1,241 | | | | | EastGroup Properties Inc. | | | 131,124 | |
| | 5,337 | | | | | Empire State Realty Trust Inc., Class A Shares | | | 81,229 | |
| | 2,684 | | | | | EPR Properties | | | 197,220 | |
| | 5,326 | | | | | Equinix Inc. | | | 2,255,561 | |
| | 4,294 | | | | | Equity Commonwealth | | | 140,199 | |
| | 3,047 | | | | | Equity LifeStyle Properties Inc. | | | 331,026 | |
| | 1,193 | | | | | Essential Properties Realty Trust Inc. | | | 20,245 | |
| | 1,079 | | | | | Farmland Partners Inc.(a) | | | 5,546 | |
| | 4,395 | | | | | First Industrial Realty Trust Inc. | | | 147,320 | |
| | 2,433 | | | | | Four Corners Property Trust Inc. | | | 66,640 | |
| | 3,941 | | | | | Franklin Street Properties Corp. | | | 28,533 | |
| | 1,754 | | | | | Front Yard Residential Corp. | | | 19,522 | |
| | 7,290 | | | | | Gaming and Leisure Properties Inc. | | | 265,210 | |
| | 4,192 | | | | | GEO Group Inc. (The) | | | 95,242 | |
| | 1,166 | | | | | Getty Realty Corp. | | | 38,420 | |
| | 1,000 | | | | | Gladstone Commercial Corp. | | | 20,640 | |
| | 441 | | | | | Gladstone Land Corp. | | | 5,389 | |
| | 726 | | | | | Global Medical REIT Inc. | | | 7,478 | |
| | 2,754 | | | | | Global Net Lease Inc. | | | 49,131 | |
| | 1,913 | | | | | Hannon Armstrong Sustainable Infrastructure Capital Inc. | | | 47,098 | |
| | 4,313 | | | | | Healthcare Realty Trust Inc. | | | 136,506 | |
| | 7,465 | | | | | Healthcare Trust of America Inc., Class A Shares | | | 212,678 | |
| | 1,352 | | | | | Hersha Hospitality Trust, Class A Shares | | | 25,485 | |
| | 3,684 | | | | | Highwoods Properties Inc. | | | 170,606 | |
| | 5,929 | | | | | Hospitality Properties Trust | | | 160,498 | |
| | 5,587 | | | | | Hudson Pacific Properties Inc. | | | 185,600 | |
| | 3,347 | | | | | Independence Realty Trust Inc. | | | 34,675 | |
| | 2,379 | | | | | Industrial Logistics Properties Trust | | | 49,626 | |
See Notes to Financial Statements.
73
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | | | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | REAL ESTATE — 5.9% — (continued) | |
|
| | Equity Real Estate Investment Trusts (REITs) — 5.1% — (continued) | |
| | 1,622 | | | | | InfraREIT Inc. | | $ | 34,630 | |
| | 343 | | | | | Innovative Industrial Properties Inc., Class A Shares(a) | | | 27,094 | |
| | 449 | | | | | Investors Real Estate Trust | | | 27,111 | |
| | 10,242 | | | | | Iron Mountain Inc. | | | 362,772 | |
| | 2,451 | | | | | iStar Inc. | | | 21,446 | |
| | 3,659 | | | | | JBG SMITH Properties | | | 147,421 | |
| | 790 | | | | | Jernigan Capital Inc. | | | 16,946 | |
| | 3,563 | | | | | Kilroy Realty Corp. | | | 262,629 | |
| | 14,665 | | | | | Kimco Realty Corp. | | | 257,957 | |
| | 2,790 | | | | | Kite Realty Group Trust | | | 43,915 | |
| | 2,986 | | | | | Lamar Advertising Co., Class A Shares | | | 231,624 | |
| | 7,788 | | | | | Lexington Realty Trust | | | 72,351 | |
| | 5,321 | | | | | Liberty Property Trust | | | 251,843 | |
| | 1,677 | | | | | Life Storage Inc. | | | 163,675 | |
| | 1,379 | | | | | LTC Properties Inc. | | | 61,255 | |
| | 4,970 | | | | | Macerich Co. (The) | | | 216,692 | |
| | 3,433 | | | | | Mack-Cali Realty Corp. | | | 72,127 | |
| | 1,155 | | | | | MedEquities Realty Trust Inc. | | | 12,301 | |
| | 13,253 | | | | | Medical Properties Trust Inc. | | | 241,602 | |
| | 25,008 | | | | | Mid-America Apartment Communities Inc. | | | 2,590,329 | |
| | 3,166 | | | | | Monmouth Real Estate Investment Corp. | | | 41,981 | |
| | 1,441 | | | | | National Health Investors Inc. | | | 112,441 | |
| | 5,707 | | | | | National Retail Properties Inc. | | | 297,335 | |
| | 2,061 | | | | | National Storage Affiliates Trust | | | 58,368 | |
| | 2,818 | | | | | New Senior Investment Group Inc. | | | 14,541 | |
| | 621 | | | | | NexPoint Residential Trust Inc. | | | 22,319 | |
| | 1,494 | | | | | NorthStar Realty Europe Corp. | | | 26,802 | |
| | 1,719 | | | | | Office Properties Income Trust | | | 52,447 | |
| | 7,172 | | | | | Omega Healthcare Investors Inc. | | | 257,475 | |
| | 612 | | | | | One Liberty Properties Inc. | | | 17,638 | |
| | 4,842 | | | | | Outfront Media Inc. | | | 108,654 | |
| | 7,270 | | | | | Paramount Group Inc. | | | 104,397 | |
| | 7,096 | | | | | Park Hotels & Resorts Inc. | | | 221,679 | |
| | 4,944 | | | | | Pebblebrook Hotel Trust | | | 158,257 | |
| | 2,539 | | | | | Pennsylvania Real Estate Investment Trust | | | 15,615 | |
| | 6,403 | | | | | Physicians Realty Trust | | | 115,702 | |
| | 4,636 | | | | | Piedmont Office Realty Trust Inc., Class A Shares | | | 94,899 | |
| | 2,321 | | | | | PotlatchDeltic Corp. | | | 83,533 | |
| | 1,335 | | | | | Preferred Apartment Communities Inc., Class A Shares | | | 20,345 | |
| | 728 | | | | | PS Business Parks Inc. | | | 107,140 | |
| | 1,793 | | | | | QTS Realty Trust Inc., Class A Shares | | | 74,822 | |
| | 4,731 | | | | | Rayonier Inc. | | | 139,423 | |
| | 5,454 | | | | | Regency Centers Corp. | | | 355,873 | |
| | 3,890 | | | | | Retail Opportunity Investments Corp. | | | 66,791 | |
| | 7,982 | | | | | Retail Properties of America Inc., Class A Shares | | | 99,456 | |
| | 600 | | | | | Retail Value Inc. | | | 18,678 | |
| | 3,308 | | | | | Rexford Industrial Realty Inc. | | | 113,398 | |
| | 6,074 | | | | | RLJ Lodging Trust | | | 112,794 | |
| | 2,981 | | | | | RPT Realty | | | 37,799 | |
| | 1,573 | | | | | Ryman Hospitality Properties Inc. | | | 127,397 | |
| | 6,250 | | | | | Sabra Health Care REIT Inc. | | | 113,250 | |
| | 329 | | | | | Safehold Inc. | | | 6,300 | |
| | 412 | | | | | Saul Centers Inc. | | | 23,348 | |
| | 4,224 | | | | | SBA Communications Corp., Class A Shares* | | | 762,685 | |
See Notes to Financial Statements.
74
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | | | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | REAL ESTATE — 5.9% — (continued) | |
|
| | Equity Real Estate Investment Trusts (REITs) — 5.1% — (continued) | |
| | 8,635 | | | | | Senior Housing Properties Trust | | $ | 111,823 | |
| | 1,122 | | | | | Seritage Growth Properties, Class A Shares(a) | | | 49,536 | |
| | 5,307 | | | | | SITE Centers Corp. | | | 70,848 | |
| | 1,563 | | | | | Spirit MTA REIT | | | 11,488 | |
| | 3,124 | | | | | Spirit Realty Capital Inc. | | | 120,711 | |
| | 22,946 | | | | | STAG Industrial Inc. | | | 635,145 | |
| | 6,974 | | | | | STORE Capital Corp. | | | 226,446 | |
| | 3,568 | | | | | Summit Hotel Properties Inc. | | | 40,640 | |
| | 3,036 | | | | | Sun Communities Inc. | | | 344,799 | |
| | 8,340 | | | | | Sunstone Hotel Investors Inc. | | | 125,517 | |
| | 3,208 | | | | | Tanger Factory Outlet Centers Inc. | | | 69,261 | |
| | 2,190 | | | | | Taubman Centers Inc. | | | 116,902 | |
| | 2,157 | | | | | Terreno Realty Corp. | | | 88,221 | |
| | 2,130 | | | | | Tier REIT Inc. | | | 51,653 | |
| | 1,243 | | | | | UMH Properties Inc. | | | 17,004 | |
| | 30,064 | | | | | Uniti Group Inc. | | | 289,817 | |
| | 481 | | | | | Universal Health Realty Income Trust | | | 35,820 | |
| | 4,103 | | | | | Urban Edge Properties | | | 79,680 | |
| | 1,108 | | | | | Urstadt Biddle Properties Inc., Class A Shares | | | 23,179 | |
| | 34,734 | | | | | VEREIT Inc. | | | 276,830 | |
| | 14,471 | | | | | VICI Properties Inc. | | | 308,377 | |
| | 6,420 | | | | | Washington Prime Group Inc. | | | 37,108 | |
| | 3,124 | | | | | Washington Real Estate Investment Trust | | | 82,755 | |
| | 4,390 | | | | | Weingarten Realty Investors | | | 126,476 | |
| | 1,284 | | | | | Whitestone REIT, Class B Shares | | | 16,705 | |
| | 5,702 | | | | | WP Carey Inc. | | | 421,207 | |
| | 4,235 | | | | | Xenia Hotels & Resorts Inc. | | | 82,710 | |
| | | | | | | | | | |
| | | | | | Total Equity Real Estate Investment Trusts (REITs) | | | 23,964,964 | |
| | | | | | | | | | |
|
| | Real Estate Management & Development — 0.8% | |
| | 399 | | | | | Altisource Portfolio Solutions SA* | | | 10,003 | |
| | 59,336 | | | | | CBRE Group Inc., Class A Shares* | | | 2,952,559 | |
| | 156 | | | | | Consolidated-Tomoka Land Co. | | | 9,220 | |
| | 1,549 | | | | | Cushman & Wakefield PLC* | | | 28,393 | |
| | 355 | | | | | Forestar Group Inc.* | | | 6,024 | |
| | 258 | | | | | FRP Holdings Inc.* | | | 13,223 | |
| | 3,575 | | | | | HFF Inc., Class A Shares | | | 161,590 | |
| | 1,425 | | | | | Howard Hughes Corp. (The)* | | | 158,717 | |
| | 1,646 | | | | | Jones Lang LaSalle Inc. | | | 271,788 | |
| | 4,495 | | | | | Kennedy-Wilson Holdings Inc. | | | 93,406 | |
| | 735 | | | | | Marcus & Millichap Inc.* | | | 28,386 | |
| | 322 | | | | | Maui Land & Pineapple Co., Inc.* | | | 3,674 | |
| | 5,427 | | | | | Newmark Group Inc., Class A Shares | | | 50,254 | |
| | 667 | | | | | RE/MAX Holdings Inc., Class A Shares | | | 26,166 | |
| | 4,117 | | | | | Realogy Holdings Corp. | | | 55,991 | |
| | 2,762 | | | | | Redfin Corp.*(a) | | | 55,157 | |
| | 269 | | | | | RMR Group Inc. (The), Class A Shares | | | 19,247 | |
| | 1,513 | | | | | St Joe Co. (The)* | | | 23,512 | |
| | 159 | | | | | Stratus Properties Inc.* | | | 3,864 | |
| | 798 | | | | | Tejon Ranch Co.* | | | 14,755 | |
| | 24 | | | | | Transcontinental Realty Investors Inc. | | | 794 | |
| | 497 | | | | | Trinity Place Holdings Inc.* | | | 2,023 | |
| | | | | | | | | | |
| | | | | | Total Real Estate Management & Development | | | 3,988,746 | |
| | | | | | | | | | |
| | | | | | TOTAL REAL ESTATE | | | 27,953,710 | |
| | | | | | | | | | |
See Notes to Financial Statements.
75
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | | | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | UTILITIES — 1.6% | |
|
| | Electric Utilities — 0.4% | |
| | 1,881 | | | | | ALLETE Inc. | | $ | 152,455 | |
| | 8,504 | | | | | Alliant Energy Corp. | | | 390,078 | |
| | 1,532 | | | | | El Paso Electric Co. | | | 82,422 | |
| | 3,800 | | | | | Hawaiian Electric Industries Inc. | | | 145,464 | |
| | 1,759 | | | | | IDACORP Inc. | | | 173,103 | |
| | 1,206 | | | | | MGE Energy Inc. | | | 77,088 | |
| | 7,266 | | | | | OGE Energy Corp. | | | 308,950 | |
| | 1,369 | | | | | Otter Tail Corp. | | | 68,833 | |
| | 4,047 | | | | | Pinnacle West Capital Corp. | | | 379,366 | |
| | 2,759 | | | | | PNM Resources Inc. | | | 120,513 | |
| | 3,126 | | | | | Portland General Electric Co. | | | 156,738 | |
| | 502 | | | | | Spark Energy Inc., Class A Shares | | | 5,015 | |
| | | | | | | | | | |
| | | | | | Total Electric Utilities | | | 2,060,025 | |
| | | | | | | | | | |
|
| | Gas Utilities — 0.4% | |
| | 3,960 | | | | | Atmos Energy Corp. | | | 391,446 | |
| | 614 | | | | | Chesapeake Utilities Corp. | | | 55,266 | |
| | 2,848 | | | | | National Fuel Gas Co. | | | 171,421 | |
| | 3,061 | | | | | New Jersey Resources Corp. | | | 148,153 | |
| | 977 | | | | | Northwest Natural Holding Co. | | | 62,743 | |
| | 1,913 | | | | | ONE Gas Inc. | | | 165,379 | |
| | 278 | | | | | RGC Resources Inc. | | | 7,662 | |
| | 3,054 | | | | | South Jersey Industries Inc. | | | 88,413 | |
| | 1,716 | | | | | Southwest Gas Holdings Inc. | | | 140,609 | |
| | 1,785 | | | | | Spire Inc. | | | 141,586 | |
| | 6,108 | | | | | UGI Corp. | | | 335,329 | |
| | | | | | | | | | |
| | | | | | Total Gas Utilities | | | 1,708,007 | |
| | | | | | | | | | |
|
| | Independent Power and Renewable Electricity Producers — 0.6% | |
| | 165,580 | | | | | Atlantic Power Corp.*(a) | | | 445,410 | |
| | 1,443 | | | | | Clearway Energy Inc., Class A Shares | | | 21,299 | |
| | 2,276 | | | | | Clearway Energy Inc., Class C Shares | | | 34,117 | |
| | 10,545 | | | | | NRG Energy Inc. | | | 439,516 | |
| | 12,589 | | | | | Ormat Technologies Inc. | | | 702,844 | |
| | 3,082 | | | | | Pattern Energy Group Inc., Class A Shares | | | 64,290 | |
| | 2,488 | | | | | TerraForm Power Inc., Class A Shares | | | 31,125 | |
| | 41,669 | | | | | Vistra Energy Corp.* | | | 1,085,061 | |
| | | | | | | | | | |
| | | | | | Total Independent Power and Renewable Electricity Producers | | | 2,823,662 | |
| | | | | | | | | | |
|
| | Multi-Utilities — 0.1% | |
| | 2,288 | | | | | Avista Corp. | | | 92,458 | |
| | 1,967 | | | | | Black Hills Corp. | | | 139,618 | |
| | 7,118 | | | | | MDU Resources Group Inc. | | | 188,058 | |
| | 1,869 | | | | | NorthWestern Corp. | | | 128,101 | |
| | 508 | | | | | Unitil Corp. | | | 27,894 | |
| | | | | | | | | | |
| | | | | | Total Multi-Utilities | | | 576,129 | |
| | | | | | | | | | |
|
| | Water Utilities — 0.1% | |
| | 1,279 | | | | | American States Water Co. | | | 90,975 | |
| | 6,443 | | | | | Aqua America Inc. | | | 231,561 | |
| | 400 | | | | | AquaVenture Holdings Ltd.* | | | 8,848 | |
| | 311 | | | | | Artesian Resources Corp., Class A Shares | | | 12,203 | |
| | 958 | | | | | Cadiz Inc.*(a) | | | 9,417 | |
| | 1,799 | | | | | California Water Service Group | | | 93,584 | |
| | 446 | | | | | Connecticut Water Service Inc. | | | 29,918 | |
See Notes to Financial Statements.
76
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | | | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | UTILITIES — 1.6% — (continued) | |
|
| | Water Utilities — 0.1% — (continued) | |
| | 557 | | | | | Consolidated Water Co., Ltd. | | $ | 7,358 | |
| | 370 | | | | | Global Water Resources Inc. | | | 3,519 | |
| | 597 | | | | | Middlesex Water Co. | | | 35,145 | |
| | 592 | | | | | Pure Cycle Corp.* | | | 6,003 | |
| | 593 | | | | | SJW Group | | | 36,274 | |
| | 533 | | | | | York Water Co. (The) | | | 19,428 | |
| | | | | | | | | | |
| | | | | | Total Water Utilities | | | 584,233 | |
| | | | | | | | | | |
| | | | | | TOTAL UTILITIES | | | 7,752,056 | |
| | | | | | | | | | |
| | | | | | TOTAL COMMON STOCKS
(Cost — $337,858,032) | | | 438,730,494 | |
| | | | | | | | | | |
|
| | CLOSED END MUTUAL FUND SECURITY — 3.7% | |
|
| | FINANCIALS — 3.7% | |
|
| | Capital Markets — 3.7% | |
| | 139,400 | | | | | iShares Russell 2000 Value, Common Class(a)
(Cost — $16,349,018) | | | 17,274,448 | |
| | | | | | | | | | |
|
| | CONVERTIBLE PREFERRED STOCK — 0.1% | |
|
| | UTILITIES — 0.1% | |
|
| | Independent Power and Renewable Electricity Producers — 0.1% | |
| | 4,500 | | | | | Vistra Energy Corp., 7.000%
(Cost — $429,353) | | | 449,415 | |
| | | | | | | | | | |
| | | |
Face
Amount† | | | Rating†† | | | | | |
|
| | CORPORATE BOND & NOTE — 0.1% | |
|
| | Electronic Equipment, Instruments & Components — 0.1% | |
| $ | 353,000 | | | NR | | Maxwell Technologies Inc., Senior Unsecured Notes, 5.500% due 9/15/22(c)(d)
(Cost — $353,000) | | | 382,877 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS
(Cost — $354,989,403) | | | 456,837,234 | |
| | | | | | | | | | |
|
| | SHORT-TERM INVESTMENTS (e) — 5.3% | |
|
| | MONEY MARKET FUND — 2.7% | |
| | 12,849,116 | | | | | Invesco STIT — Government & Agency Portfolio, 2.308%, Institutional Class(f)
(Cost — $12,849,116) | | | 12,849,116 | |
| | | | | | | | | | |
|
| | TIME DEPOSITS — 2.6% | |
| | 8,461 | CAD | | | | BBH — Grand Cayman, 0.820% due 3/1/19 | | | 6,431 | |
| | 3,562,413 | | | | | Citibank — New York, 1.750% due 3/1/19 | | | 3,562,413 | |
| | 6,382,965 | | | | | JPMorgan Chase & Co. — New York, 1.750% due 3/1/19 | | | 6,382,965 | |
| | 2,281,430 | | | | | Standard Chartered Bank — London, 1.750% due 3/1/19 | | | 2,281,430 | |
| | | | | | | | | | |
| | | | | | TOTAL TIME DEPOSITS
(Cost — $12,233,239) | | | 12,233,239 | |
| | | | | | | | | | |
| | | | | | TOTAL SHORT-TERM INVESTMENTS
(Cost — $25,082,355) | | | 25,082,355 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS — 102.3%
(Cost — $380,071,758) | | | 481,919,589 | |
| | | | | | | | | | |
| | | | | | Liabilities in Excess of Other Assets — (2.3)% | | | (10,833,413 | ) |
| | | | | | | | | | |
| | | | | | TOTAL NET ASSETS — 100.0% | | $ | 471,086,176 | |
| | | | | | | | | | |
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
| †† | All ratings are by Standard & Poor’s Rating Service, unless otherwise noted. |
See Notes to Financial Statements.
77
| | | | | | |
| Small-Mid Cap Equity Fund |
| * | Non-income producing security. |
| (a) | All or a portion of this security is on loan (See Note 1). |
| (b) | Security is valued in good faith at fair value by or under the direction of the Board of Trustees. |
| (c) | Restricted security that may be sold to “qualified institutional buyers” pursuant to the conditions of Rule 144A under the Securities Act of 1933, as amended. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees, unless otherwise noted. The aggregate value of restricted 144A holdings at February 28, 2019 amounts to approximately $382,877 and represents 0.1% of net assets. |
| (e) | Inclusive of all short-term holdings, including collateral received from securities lending activities. Excluding such collateral, the percentage of portfolio holdings would be 2.6%. |
| (f) | Represents investment of collateral received from securities lending transactions. |
| # | Security that used significant unobservable inputs to determine fair value. |
At February 28, 2019, forSmall-Mid Cap Equity Fund the aggregate cost of investments, the aggregate gross unrealized appreciation and depreciation of all investments for federal income tax purposes were as follows:
| | | | | | | | | | | | | | | | |
| Fund | | Aggregate Cost for
Federal Income
Tax Purposes | | | Gross Unrealized
Appreciation | | | Gross Unrealized
Depreciation | | | Net Unrealized
Appreciation | |
Small-Mid Cap Equity Fund | | $ | 380,071,758 | | | $ | 123,627,659 | | | $ | (21,554,571 | ) | | $ | 102,073,088 | |
| | |
Abbreviations used in this schedule: |
| ADR | | — American Depositary Receipts |
| PLC | | — Public Limited Company |
| REIT | | — Real Estate Investment Trust |
| | | | |
| Summary of Investments by Security Sector^ | | | |
Information Technology | | | 19.9 | % |
Industrials | | | 17.4 | |
Health Care | | | 14.8 | |
Financials | | | 14.5 | |
Consumer Discretionary | | | 10.6 | |
Real Estate | | | 5.8 | |
Materials | | | 4.6 | |
Energy | | | 2.4 | |
Utilities | | | 1.7 | |
Communication Services | | | 1.6 | |
Consumer Staples | | | 1.5 | |
Short-Term Investments | | | 5.2 | |
| | | | |
| | | 100.0 | % |
| | | | |
| ^ | As a percentage of total investments. |
At February 28, 2019,Small-Mid Cap Equity Fund had open exchange-traded futures contracts as described below.
The unrealized appreciation on the open contracts reflected in the accompanying financial statements were as follows:
| | | | | | | | | | | | | | | | | | | | |
| Open Futures Contracts | | Number of
Contracts | | | Expiration
Date
(Month/Year) | | | Notional
Amount | | | Market Value | | | Unrealized
Appreciation | |
| Contracts to Buy: | | | | | | | | | | | | | | | | | | | | |
Russell 2000E-mini Index March Futures | | | 23 | | | | 3/19 | | | $ | 1,689,234 | | | $ | 1,811,825 | | | $ | 122,591 | |
NASDAQ 100E-mini Index March Futures | | | 1 | | | | 3/19 | | | | 129,763 | | | | 142,050 | | | | 12,287 | |
S&P MidCap 400E-mini Index March Futures | | | 7 | | | | 3/19 | | | | 1,247,181 | | | | 1,337,560 | | | | 90,379 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 225,257 | |
| | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
78
| | | | | | |
| Small-Mid Cap Equity Fund |
At February 28, 2019,Small-Mid Cap Equity Fund had deposited cash of $383,644 with a broker or brokers as margin collateral on an open exchange-traded futures contracts.
| | | | | | |
Currency Abbreviation used in this schedule: | | | | |
| CAD | | — Canadian Dollar | | | | |
See pages 260-261 for definitions of ratings.
See Notes to Financial Statements.
79
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | COMMON STOCKS — 96.3% | |
|
| | Argentina — 0.1% | |
| | 9,684 | | | Globant SA* | | $ | 667,131 | |
| | 94,672 | | | YPF SA, ADR | | | 1,338,662 | |
| | | | | | | | |
| | | | Total Argentina | | | 2,005,793 | |
| | | | | | | | |
|
| | Australia — 3.2% | |
| | 18,835 | | | AGL Energy Ltd. | | | 283,370 | |
| | 71,679 | | | Alumina Ltd. | | | 128,871 | |
| | 32,718 | | | Amcor Ltd. | | | 349,105 | |
| | 82,205 | | | AMP Ltd. | | | 137,460 | |
| | 35,223 | | | APA Group | | | 250,144 | |
| | 28,050 | | | Appen Ltd. | | | 464,665 | |
| | 16,410 | | | Aristocrat Leisure Ltd. | | | 286,508 | |
| | 5,741 | | | ASX Ltd. | | | 284,178 | |
| | 6,100 | | | Atlassian Corp. PLC, Class A Shares* | | | 655,628 | |
| | 58,337 | | | Aurizon Holdings Ltd. | | | 186,918 | |
| | 46,512 | | | AusNet Services | | | 57,252 | |
| | 82,551 | | | Australia & New Zealand Banking Group Ltd. | | | 1,638,030 | |
| | 12,033 | | | Bank of Queensland Ltd. | | | 76,868 | |
| | 1,264,018 | | | Beach Energy Ltd. | | | 1,847,974 | |
| | 14,099 | | | Bendigo & Adelaide Bank Ltd. | | | 98,541 | |
| | 84,623 | | | BHP Group Ltd. | | | 2,238,484 | |
| | 228,338 | | | BHP Group PLC | | | 5,295,260 | |
| | 16,005 | | | BlueScope Steel Ltd. | | | 152,555 | |
| | 33,967 | | | Boral Ltd. | | | 119,870 | |
| | 351,724 | | | Brambles Ltd. | | | 2,932,210 | |
| | 7,733 | | | Caltex Australia Ltd. | | | 156,901 | |
| | 16,295 | | | Challenger Ltd. | | | 93,071 | |
| | 259,944 | | | Charter Hall Group, REIT | | | 1,622,637 | |
| | 2,903 | | | CIMIC Group Ltd. | | | 103,171 | |
| | 14,690 | | | Coca-Cola Amatil Ltd. | | | 83,011 | |
| | 1,621 | | | Cochlear Ltd. | | | 195,646 | |
| | 33,078 | | | Coles Group Ltd.* | | | 265,823 | |
| | 51,144 | | | Commonwealth Bank of Australia | | | 2,680,499 | |
| | 13,377 | | | Computershare Ltd. | | | 163,513 | |
| | 11,695 | | | Crown Resorts Ltd. | | | 95,035 | |
| | 55,344 | | | CSL Ltd. | | | 7,598,591 | |
| | 262,422 | | | CSR Ltd. | | | 625,634 | |
| | 29,128 | | | Dexus, REIT | | | 248,347 | |
| | 1,959 | | | Domino’s Pizza Enterprises Ltd. | | | 57,317 | |
| | 127,359 | | | Downer EDI Ltd. | | | 672,016 | |
| | 1,756 | | | Flight Centre Travel Group Ltd. | | | 57,021 | |
| | 45,879 | | | Fortescue Metals Group Ltd. | | | 196,100 | |
| | 46,976 | | | Goodman Group, REIT | | | 426,782 | |
| | 51,222 | | | GPT Group (The), REIT | | | 212,548 | |
| | 19,889 | | | Harvey Norman Holdings Ltd. | | | 50,785 | |
| | 44,850 | | | Incitec Pivot Ltd. | | | 107,236 | |
| | 66,976 | | | Insurance Australia Group Ltd. | | | 349,258 | |
| | 15,778 | | | LendLease Group | | | 144,132 | |
| | 9,352 | | | Macquarie Group Ltd. | | | 852,628 | |
| | 19,076 | | | Magellan Financial Group Ltd. | | | 471,582 | |
| | 79,155 | | | Medibank Pvt Ltd. | | | 159,487 | |
| | 347,767 | | | Metcash Ltd.(a) | | | 643,838 | |
| | 106,219 | | | Mirvac Group, REIT | | | 193,854 | |
| | 79,182 | | | National Australia Bank Ltd. | | | 1,411,766 | |
| | 21,835 | | | Newcrest Mining Ltd. | | | 376,712 | |
See Notes to Financial Statements.
80
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | Australia — 3.2% — (continued) | |
| | 149,633 | | | Northern Star Resources Ltd. | | $ | 980,478 | |
| | 38,403 | | | Oil Search Ltd. | | | 226,697 | |
| | 11,271 | | | Orica Ltd. | | | 141,094 | |
| | 51,682 | | | Origin Energy Ltd.* | | | 269,762 | |
| | 220,375 | | | Orora Ltd. | | | 491,330 | |
| | 96,911 | | | OZ Minerals Ltd. | | | 708,205 | |
| | 38,296 | | | QBE Insurance Group Ltd. | | | 335,211 | |
| | 3,984 | | | Ramsay Health Care Ltd. | | | 183,101 | |
| | 1,573 | | | REA Group Ltd. | | | 90,954 | |
| | 50,055 | | | Santos Ltd. | | | 245,766 | |
| | 154,326 | | | Scentre Group, REIT | | | 423,520 | |
| | 9,418 | | | SEEK Ltd. | | | 123,084 | |
| | 52,356 | | | Seven Group Holdings Ltd. | | | 717,497 | |
| | 12,649 | | | Sonic Healthcare Ltd. | | | 216,445 | |
| | 145,927 | | | South32 Ltd. | | | 404,837 | |
| | 147,362 | | | Star Entertainment Grp Ltd. (The. | | | 462,773 | |
| | 68,571 | | | Stockland, REIT | | | 170,161 | |
| | 36,513 | | | Suncorp Group Ltd. | | | 350,665 | |
| | 32,466 | | | Sydney Airport | | | 165,756 | |
| | 55,287 | | | Tabcorp Holdings Ltd. | | | 185,090 | |
| | 120,399 | | | Telstra Corp., Ltd. | | | 267,354 | |
| | 12,003 | | | TPG Telecom Ltd. | | | 56,670 | |
| | 76,417 | | | Transurban Group | | | 675,673 | |
| | 21,409 | | | Treasury Wine Estates Ltd. | | | 227,404 | |
| | 94,984 | | | Vicinity Centres, REIT | | | 165,847 | |
| | 3,114 | | | Washington H Soul Pattinson & Co., Ltd. | | | 64,996 | |
| | 32,758 | | | Wesfarmers Ltd. | | | 770,939 | |
| | 99,263 | | | Westpac Banking Corp. | | | 1,896,907 | |
| | 27,130 | | | Woodside Petroleum Ltd. | | | 694,222 | |
| | 37,779 | | | Woolworths Group Ltd. | | | 768,051 | |
| | 9,283 | | | WorleyParsons Ltd. | | | 97,500 | |
| | | | | | | | |
| | | | Total Australia | | | 50,376,821 | |
| | | | | | | | |
|
| | Austria — 0.3% | |
| | 51,002 | | | ams AG(a) | | | 1,582,030 | |
| | 2,051 | | | ANDRITZ AG | | | 102,367 | |
| | 83,792 | | | Erste Group Bank AG | | | 3,167,444 | |
| | 4,254 | | | OMV AG | | | 223,972 | |
| | 4,487 | | | Raiffeisen Bank International AG | | | 114,341 | |
| | 1,969 | | | Verbund AG | | | 94,563 | |
| | 3,219 | | | Voestalpine AG | | | 99,533 | |
| | | | | | | | |
| | | | Total Austria | | | 5,384,250 | |
| | | | | | | | |
|
| | Belgium — 0.6% | |
| | 63,232 | | | Ageas | | | 3,115,075 | |
| | 21,889 | | | Anheuser-Busch InBev SA/NV | | | 1,706,017 | |
| | 1,893 | | | Colruyt SA | | | 134,984 | |
| | 2,360 | | | Groupe Bruxelles Lambert SA | | | 226,888 | |
| | 7,234 | | | KBC Group NV | | | 535,541 | |
| | 4,353 | | | Proximus SADP | | | 114,959 | |
| | 2,148 | | | Solvay SA | | | 240,200 | |
| | 1,499 | | | Telenet Group Holding NV | | | 67,632 | |
| | 3,681 | | | UCB SA | | | 308,403 | |
| | 40,771 | | | Umicore SA | | | 1,760,104 | |
| | 7,455 | | | Warehouses de Pauw CVA, REIT | | | 1,098,802 | |
| | | | | | | | |
| | | | Total Belgium | | | 9,308,605 | |
| | | | | | | | |
See Notes to Financial Statements.
81
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | Brazil — 0.1% | |
| | 143,288 | | | B3 SA — Brasil Bolsa Balcao | | $ | 1,250,959 | |
| | | | | | | | |
|
| | Canada — 3.3% | |
| | 30,463 | | | Air Canada, Class B Shares* | | | 766,611 | |
| | 73,078 | | | Alimentation Couche-Tard Inc., Class B Shares | | | 4,119,628 | |
| | 87,497 | | | ARC Resources Ltd.(a) | | | 661,032 | |
| | 17,201 | | | Badger Daylighting Ltd.(a) | | | 499,806 | |
| | 179,452 | | | Barrick Gold Corp. | | | 2,264,120 | |
| | 20,930 | | | BRP Inc. | | | 626,771 | |
| | 61,729 | | | Cameco Corp. | | | 715,439 | |
| | 25,963 | | | Canada Goose Holdings Inc.*(a) | | | 1,477,554 | |
| | 21,553 | | | Canadian Apartment Properties, REIT(a) | | | 823,165 | |
| | 23,291 | | | Canadian Imperial Bank of Commerce(a) | | | 1,976,115 | |
| | 21,296 | | | Canadian Western Bank | | | 496,103 | |
| | 32,254 | | | Capital Power Corp. | | | 740,589 | |
| | 80,353 | | | CCL Industries Inc., Class B Shares | | | 3,283,254 | |
| | 47,319 | | | Detour Gold Corp.* | | | 479,052 | |
| | 78,776 | | | Dollarama Inc. | | | 2,132,706 | |
| | 767,252 | | | Encana Corp. | | | 5,633,240 | |
| | 42,306 | | | Enerflex Ltd. | | | 643,095 | |
| | 165,641 | | | Entertainment One Ltd. | | | 924,643 | |
| | 138,257 | | | Gildan Activewear Inc., Class A Shares | | | 4,945,181 | |
| | 241,806 | | | Gran Tierra Energy Inc.* | | | 545,842 | |
| | 335,050 | | | Kinross Gold Corp.* | | | 1,115,716 | |
| | 40,784 | | | Kirkland Lake Gold Ltd. | | | 1,491,621 | |
| | 379,547 | | | Manulife Financial Corp. | | | 6,415,691 | |
| | 41,070 | | | Nutrien Ltd. | | | 2,235,954 | |
| | 72,823 | | | Parex Resources Inc.* | | | 1,127,464 | |
| | 93,592 | | | Saputo Inc. | | | 3,050,970 | |
| | 3,365 | | | Sierra Wireless Inc.*(a) | | | 42,332 | |
| | 297,637 | | | Tamarack Valley Energy Ltd.* | | | 626,628 | |
| | 26,143 | | | TFI International Inc. | | | 805,730 | |
| | 37,289 | | | Tourmaline Oil Corp. | | | 565,981 | |
| | 79,513 | | | Tricon Capital Group Inc. | | | 666,587 | |
| | | | | | | | |
| | | | Total Canada | | | 51,898,620 | |
| | | | | | | | |
|
| | Chile — 0.1% | |
| | 176,434 | | | Antofagasta PLC | | | 2,188,344 | |
| | | | | | | | |
|
| | China — 1.7% | |
| | 29,482 | | | Alibaba Group Holding Ltd., ADR* | | | 5,396,090 | |
| | 51,835 | | | Baidu Inc., ADR* | | | 8,425,261 | |
| | 943 | | | BeiGene Ltd., ADR* | | | 129,238 | |
| | 292,600 | | | China Pacific Insurance Group Co., Ltd., Class H Shares(b) | | | 1,099,625 | |
| | 5,994,969 | | | China Telecom Corp., Ltd., Class H Shares(b) | | | 3,252,596 | |
| | 2,899,220 | | | Dongfeng Motor Group Co., Ltd., Class H Shares(b) | | | 3,080,363 | |
| | 67,635 | | | iQIYI Inc., ADR*(a) | | | 1,836,967 | |
| | 132,682 | | | Meituan Dianping, Class B Shares*(a) | | | 1,026,732 | |
| | 22,000 | | | Minth Group Ltd. | | | 87,720 | |
| | 51,000 | | | Tencent Holdings Ltd. | | | 2,176,219 | |
| | 70,700 | | | Yangzijiang Shipbuilding Holdings Ltd. | | | 75,074 | |
| | | | | | | | |
| | | | Total China | | | 26,585,885 | |
| | | | | | | | |
|
| | Denmark — 1.4% | |
| | 108 | | | AP Moller — Maersk AS, Class A Shares | | | 138,873 | |
| | 2,370 | | | AP Moller — Maersk AS, Class B Shares | | | 3,193,817 | |
| | 3,146 | | | Carlsberg AS, Class B Shares | | | 381,080 | |
See Notes to Financial Statements.
82
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | Denmark — 1.4% — (continued) | |
| | 2,791 | | | Chr Hansen Holding AS | | $ | 284,297 | |
| | 3,353 | | | Coloplast AS, Class B Shares | | | 334,186 | |
| | 20,294 | | | Danske Bank AS | | | 403,113 | |
| | 14,579 | | | Dfds AS | | | 666,310 | |
| | 5,449 | | | DSV AS | | | 453,211 | |
| | 1,789 | | | Genmab AS* | | | 309,130 | |
| | 16,870 | | | GN Store Nord AS | | | 812,922 | |
| | 1,947 | | | H. Lundbeck AS | | | 89,042 | |
| | 4,931 | | | ISS AS | | | 153,873 | |
| | 157,849 | | | Novo Nordisk AS, Class B Shares | | | 7,744,703 | |
| | 49,258 | | | Novozymes AS, Class B Shares | | | 2,235,687 | |
| | 5,320 | | | Orsted AS(c) | | | 386,036 | |
| | 3,331 | | | Pandora AS | | | 174,781 | |
| | 16,089 | | | Royal Unibrew AS | | | 1,189,543 | |
| | 3,618 | | | Tryg AS | | | 98,535 | |
| | 43,538 | | | Vestas Wind Systems AS | | | 3,623,929 | |
| | 3,331 | | | William Demant Holding AS* | | | 99,864 | |
| | | | | | | | |
| | | | Total Denmark | | | 22,772,932 | |
| | | | | | | | |
|
| | Finland — 1.0% | |
| | 36,656 | | | Cramo OYJ | | | 717,376 | |
| | 23,488 | | | DNA OYJ | | | 473,757 | |
| | 4,123 | | | Elisa OYJ | | | 172,944 | |
| | 12,901 | | | Fortum OYJ | | | 286,364 | |
| | 9,919 | | | Kone OYJ, Class B Shares | | | 484,540 | |
| | 66,930 | | | Metsa Board OYJ | | | 462,848 | |
| | 3,123 | | | Metso OYJ | | | 105,818 | |
| | 3,767 | | | Neste OYJ | | | 362,181 | |
| | 1,244,674 | | | Nokia OYJ | | | 7,537,808 | |
| | 3,106 | | | Nokian Renkaat OYJ | | | 109,841 | |
| | 87,537 | | | Nordea Bank Abp | | | 793,588 | |
| | 2,965 | | | Orion OYJ, Class B Shares | | | 105,905 | |
| | 12,850 | | | Sampo OYJ, Class A Shares | | | 618,321 | |
| | 15,744 | | | Stora Enso OYJ, Class R Shares | | | 210,825 | |
| | 17,267 | | | Tieto OYJ | | | 510,497 | |
| | 15,563 | | | UPM-Kymmene OYJ | | | 469,075 | |
| | 39,050 | | | Valmet OYJ | | | 972,412 | |
| | 119,557 | | | Wartsila OYJ Abp | | | 1,941,148 | |
| | | | | | | | |
| | | | Total Finland | | | 16,335,248 | |
| | | | | | | | |
|
| | France — 9.2% | |
| | 5,451 | | | Accor SA | | | 230,081 | |
| | 879 | | | Aeroports de Paris | | | 170,518 | |
| | 49,532 | | | AirFrance-KLM* | | | 612,599 | |
| | 12,398 | | | Air Liquide SA | | | 1,545,586 | |
| | 51,082 | | | Airbus SE | | | 6,616,261 | |
| | 66,680 | | | Alstom SA | | | 2,902,565 | |
| | 10,785 | | | Alten SA | | | 1,111,318 | |
| | 26,435 | | | Amundi SA(c) | | | 1,771,081 | |
| | 16,205 | | | Arkema SA | | | 1,638,255 | |
| | 33,232 | | | Atos SE | | | 3,200,773 | |
| | 56,239 | | | AXA SA | | | 1,428,015 | |
| | 1,175 | | | BioMerieux | | | 97,109 | |
| | 226,500 | | | BNP Paribas SA | | | 11,632,550 | |
| | 26,564 | | | Bollore SA | | | 118,033 | |
| | 6,496 | | | Bouygues SA | | | 245,559 | |
See Notes to Financial Statements.
83
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | France — 9.2% — (continued) | |
| | 7,464 | | | Bureau Veritas SA | | $ | 178,336 | |
| | 4,649 | | | Capgemini SE | | | 557,853 | |
| | 17,183 | | | Carrefour SA | | | 351,640 | |
| | 1,569 | | | Casino Guichard Perrachon SA | | | 83,072 | |
| | 134,081 | | | Cie de Saint-Gobain | | | 4,825,767 | |
| | 4,949 | | | Cie Générale des Établissements Michelin SCA | | | 595,124 | |
| | 4,591 | | | CNP Assurances | | | 106,252 | |
| | 1,311 | | | Covivio, REIT | | | 132,793 | |
| | 33,271 | | | Credit Agricole SA | | | 426,066 | |
| | 31,873 | | | Danone SA | | | 2,406,590 | |
| | 74 | | | Dassault Aviation SA | | | 124,541 | |
| | 21,421 | | | Dassault Systemes SE | | | 3,132,808 | |
| | 102,765 | | | Edenred | | | 4,569,360 | |
| | 16,582 | | | Eiffage SA | | | 1,617,349 | |
| | 17,307 | | | Electricite de France SA | | | 251,614 | |
| | 274,379 | | | Engie SA | | | 4,141,179 | |
| | 46,750 | | | EssilorLuxottica SA | | | 5,659,198 | |
| | 1,337 | | | Eurazeo SE | | | 100,644 | |
| | 4,823 | | | Eutelsat Communications SA | | | 95,136 | |
| | 14,891 | | | Faurecia SA | | | 709,626 | |
| �� | 1,293 | | | Gecina SA, REIT | | | 191,980 | |
| | 13,406 | | | Getlink SE | | | 198,053 | |
| | 8,789 | | | Hermes International | | | 5,574,333 | |
| | 1,032 | | | ICADE, REIT | | | 87,837 | |
| | 830 | | | Iliad SA | | | 86,520 | |
| | 1,052 | | | Imerys SA | | | 59,943 | |
| | 4,841 | | | Ingenico Group SA | | | 325,736 | |
| | 1,111 | | | Ipsen SA | | | 153,615 | |
| | 2,086 | | | JCDecaux SA | | | 64,435 | |
| | 2,171 | | | Kering SA | | | 1,188,768 | |
| | 5,987 | | | Klepierre SA, REIT | | | 209,267 | |
| | 16,132 | | | Korian SA | | | 604,361 | |
| | 49,517 | | | Legrand SA | | | 3,271,611 | |
| | 7,287 | | | L’Oréal SA | | | 1,841,850 | |
| | 17,556 | | | LVMH Moët Hennessy Louis Vuitton SE | | | 6,045,193 | |
| | 26,511 | | | Natixis SA | | | 145,513 | |
| | 17,770 | | | Nexity SA | | | 867,725 | |
| | 57,560 | | | Orange SA | | | 880,576 | |
| | 23,959 | | | Pernod Ricard SA | | | 4,130,574 | |
| | 16,825 | | | Peugeot SA | | | 428,853 | |
| | 5,993 | | | Publicis Groupe SA | | | 332,038 | |
| | 647 | | | Remy Cointreau SA | | | 84,253 | |
| | 32,037 | | | Renault SA | | | 2,199,222 | |
| | 210,653 | | | Rexel SA | | | 2,624,678 | |
| | 9,671 | | | Safran SA | | | 1,318,291 | |
| | 32,554 | | | Sanofi | | | 2,724,410 | |
| | 799 | | | Sartorius Stedim Biotech | | | 94,028 | |
| | 64,894 | | | Schneider Electric SE | | | 5,047,191 | |
| | 17,633 | | | SCOR SE | | | 793,763 | |
| | 16,725 | | | Seb Prime de Fidelite*(d)(e) | | | 2,880,084 | |
| | 6,659 | | | SEB SA | | | 1,146,272 | |
| | 3,750 | | | SEB SA*(d) | | | 645,759 | |
| | 795 | | | Societe BIC SA | | | 75,178 | |
| | 124,308 | | | Societe Generale SA | | | 3,825,521 | |
| | 2,646 | | | Sodexo SA | | | 290,612 | |
| | 7,369 | | | SOITEC* | | | 589,527 | |
See Notes to Financial Statements.
84
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | France — 9.2% — (continued) | |
| | 11,077 | | | Suez | | $ | 141,530 | |
| | 13,807 | | | Teleperformance | | | 2,464,584 | |
| | 76,457 | | | Television Francaise 1 | | | 721,463 | |
| | 3,144 | | | Thales SA | | | 386,963 | |
| | 308,775 | | | TOTAL SA | | | 17,566,055 | |
| | 15,028 | | | Ubisoft Entertainment SA* | | | 1,084,310 | |
| | 2,959 | | | Unibail-Rodamco-Westfield | | | 477,753 | |
| | 1,013 | | | Unibail-Rodamco-Westfield* | | | 163,610 | |
| | 93,130 | | | Valeo SA | | | 2,936,800 | |
| | 15,380 | | | Veolia Environnement SA | | | 337,515 | |
| | 14,652 | | | Vinci SA | | | 1,398,082 | |
| | 120,311 | | | Vivendi SA | | | 3,521,854 | |
| | 833 | | | Wendel SA | | | 105,040 | |
| | 9,549 | | | Worldline SA*(c) | | | 535,503 | |
| | | | | | | | |
| | | | Total France | | | 146,253,883 | |
| | | | | | | | |
|
| | Germany — 7.4% | |
| | 1,485 | | | 1&1 Drillisch AG | | | 58,799 | |
| | 11,904 | | | Aareal Bank AG | | | 389,943 | |
| | 18,865 | | | adidas AG | | | 4,583,794 | |
| | 12,349 | | | Allianz SE, Class Registered Shares | | | 2,747,300 | |
| | 46,266 | | | alstria officeREIT-AG | | | 700,442 | |
| | 1,353 | | | Axel Springer SE | | | 77,207 | |
| | 132,613 | | | BASF SE | | | 10,106,766 | |
| | 61,036 | | | Bayer AG, Class Registered Shares | | | 4,880,027 | |
| | 73,362 | | | Bayerische Motoren Werke AG | | | 6,201,779 | |
| | 7,547 | | | Bechtle AG | | | 647,073 | |
| | 23,193 | | | Beiersdorf AG | | | 2,151,624 | |
| | 4,352 | | | Brenntag AG | | | 215,869 | |
| | 14,585 | | | Carl Zeiss Meditec AG | | | 1,244,208 | |
| | 137,921 | | | CECONOMY AG* | | | 776,477 | |
| | 29,614 | | | Commerzbank AG* | | | 244,371 | |
| | 34,348 | | | Continental AG | | | 5,626,608 | |
| | 5,652 | | | Covestro AG(c) | | | 322,167 | |
| | 26,341 | | | Daimler AG, Class Registered Shares | | | 1,578,049 | |
| | 2,890 | | | Delivery Hero SE*(c) | | | 111,980 | |
| | 56,911 | | | Deutsche Bank AG, Class Registered Shares | | | 528,298 | |
| | 5,594 | | | Deutsche Boerse AG | | | 706,906 | |
| | 7,266 | | | Deutsche Lufthansa AG, Class Registered Shares | | | 185,544 | |
| | 172,935 | | | Deutsche Post AG, Class Registered Shares | | | 5,373,624 | |
| | 95,542 | | | Deutsche Telekom AG, Class Registered Shares | | | 1,573,726 | |
| | 47,706 | | | Deutsche Wohnen SE | | | 2,224,902 | |
| | 10,713 | | | Duerr AG | | | 437,965 | |
| | 254,886 | | | E.ON SE | | | 2,807,295 | |
| | 4,800 | | | Evonik Industries AG | | | 135,148 | |
| | 6,975 | | | Fraport AG Frankfurt Airport Services Worldwide | | | 560,160 | |
| | 47,119 | | | Fresenius Medical Care AG & Co. KGaA | | | 3,693,371 | |
| | 11,944 | | | Fresenius SE & Co. KGaA | | | 672,443 | |
| | 66,376 | | | GEA Group AG | | | 1,590,624 | |
| | 6,899 | | | Gerresheimer AG | | | 529,768 | |
| | 1,698 | | | Hannover Rueck SE | | | 253,030 | |
| | 4,192 | | | HeidelbergCement AG | | | 308,274 | |
| | 2,944 | | | Henkel AG & Co. KGaA | | | 276,622 | |
| | 550 | | | Hochtief AG | | | 87,211 | |
| | 9,886 | | | HUGO BOSS AG | | | 731,513 | |
| | 476,359 | | | Infineon Technologies AG | | | 10,460,943 | |
See Notes to Financial Statements.
85
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | Germany — 7.4% — (continued) | |
| | 3,754 | | | Innogy SE* | | $ | 159,300 | |
| | 431 | | | Innogy SE(c) | | | 19,923 | |
| | 2,082 | | | KION Group AG | | | 118,656 | |
| | 19,759 | | | Knorr-Bremse AG* | | | 1,985,103 | |
| | 8,245 | | | Koenig & Bauer AG | | | 381,292 | |
| | 2,565 | | | Lanxess AG | | | 139,004 | |
| | 3,805 | | | Merck KGaA | | | 392,841 | |
| | 138,948 | | | METRO AG | | | 2,333,418 | |
| | 1,528 | | | MTU Aero Engines AG | | | 327,569 | |
| | 4,334 | | | Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen, Class Registered Shares | | | 1,020,614 | |
| | 2,822 | | | OSRAM Licht AG | | | 122,333 | |
| | 6,573 | | | ProSiebenSat.1 Media SE | | | 120,055 | |
| | 224 | | | Puma SE | | | 126,204 | |
| | 6,635 | | | Rheinmetall AG | | | 709,858 | |
| | 101,823 | | | RWE AG | | | 2,485,472 | |
| | 38,117 | | | SAF-Holland SA | | | 465,279 | |
| | 17,677 | | | Salzgitter AG | | | 540,216 | |
| | 155,754 | | | SAP SE | | | 16,676,582 | |
| | 43,657 | | | Scout24 AG(c) | | | 2,299,798 | |
| | 21,976 | | | Siemens AG, Class Registered Shares | | | 2,402,952 | |
| | 83,445 | | | Siemens Healthineers AG(c) | | | 3,380,544 | |
| | 4,307 | | | Siltronic AG | | | 421,086 | |
| | 3,567 | | | Symrise AG, Class A Shares | | | 314,401 | |
| | 58,516 | | | TAG Immobilien AG | | | 1,364,206 | |
| | 21,161 | | | Telefonica Deutschland Holding AG | | | 69,478 | |
| | 12,436 | | | ThyssenKrupp AG | | | 185,955 | |
| | 12,737 | | | TUI AG | | | 135,371 | |
| | 5,956 | | | Uniper SE | | | 173,451 | |
| | 33,709 | | | United Internet AG, Class Registered Shares | | | 1,226,206 | |
| | 951 | | | Volkswagen AG | | | 168,117 | |
| | 14,245 | | | Vonovia SE | | | 691,613 | |
| | 3,434 | | | Wirecard AG | | | 470,574 | |
| | 3,221 | | | Zalando SE*(c) | | | 118,716 | |
| | | | | | | | |
| | | | Total Germany | | | 117,348,037 | |
| | | | | | | | |
|
| | Hong Kong — 3.0% | |
| | 972,600 | | | AIA Group Ltd. | | | 9,733,581 | |
| | 9,700 | | | ASM Pacific Technology Ltd. | | | 103,115 | |
| | 37,200 | | | Bank of East Asia Ltd. (The) | | | 130,017 | |
| | 702,000 | | | BOC Hong Kong Holdings Ltd. | | | 2,928,679 | |
| | 403,000 | | | China Mengniu Dairy Co., Ltd. | | | 1,251,589 | |
| | 671,581 | | | China Merchants Port Holdings Co., Ltd. | | | 1,409,523 | |
| | 1,068,442 | | | China Mobile Ltd. | | | 11,234,202 | |
| | 3,196,307 | | | China Unicom Hong Kong Ltd. | | | 3,784,811 | |
| | 75,000 | | | CK Asset Holdings Ltd. | | | 621,380 | |
| | 77,500 | | | CK Hutchison Holdings Ltd. | | | 823,753 | |
| | 19,500 | | | CK Infrastructure Holdings Ltd. | | | 162,824 | |
| | 47,500 | | | CLP Holdings Ltd. | | | 562,444 | |
| | 9,100 | | | Dairy Farm International Holdings Ltd. | | | 81,426 | |
| | 68,000 | | | Galaxy Entertainment Group Ltd. | | | 481,465 | |
| | 27,000 | | | Hang Lung Group Ltd. | | | 84,817 | |
| | 57,000 | | | Hang Lung Properties Ltd. | | | 134,445 | |
| | 22,100 | | | Hang Seng Bank Ltd. | | | 546,865 | |
| | 38,540 | | | Henderson Land Development Co., Ltd. | | | 217,709 | |
| | 84,500 | | | HK Electric Investments & HK Electric Investments Ltd. | | | 88,059 | |
| | 103,000 | | | HKT Trust & HKT Ltd. | | | 160,874 | |
See Notes to Financial Statements.
86
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | Hong Kong — 3.0% — (continued) | |
| | 267,710 | | | Hong Kong & China Gas Co., Ltd. | | $ | 619,693 | |
| | 34,299 | | | Hong Kong Exchanges & Clearing Ltd. | | | 1,188,110 | |
| | 33,100 | | | Hongkong Land Holdings Ltd. | | | 237,302 | |
| | 17,000 | | | Hysan Development Co., Ltd. | | | 89,671 | |
| | 6,500 | | | Jardine Matheson Holdings Ltd. | | | 445,586 | |
| | 76,080 | | | Jardine Strategic Holdings Ltd. | | | 3,003,345 | |
| | 18,500 | | | Kerry Properties Ltd. | | | 77,231 | |
| | 60,500 | | | Link REIT | | | 683,433 | |
| | 6,941 | | | Melco Resorts & Entertainment Ltd., ADR | | | 159,921 | |
| | 45,500 | | | MTR Corp., Ltd. | | | 261,829 | |
| | 174,679 | | | New World Development Co., Ltd. | | | 278,609 | |
| | 45,750 | | | NWS Holdings Ltd. | | | 111,002 | |
| | 125,000 | | | PCCW Ltd. | | | 75,139 | |
| | 39,000 | | | Power Assets Holdings Ltd. | | | 270,587 | |
| | 38,000 | | | Shangri-La Asia Ltd. | | | 53,956 | |
| | 94,646 | | | Sino Land Co., Ltd. | | | 175,998 | |
| | 58,000 | | | SJM Holdings Ltd. | | | 65,718 | |
| | 46,000 | | | Sun Hung Kai Properties Ltd. | | | 760,703 | |
| | 14,000 | | | Swire Pacific Ltd., Class A Shares | | | 166,255 | |
| | 32,800 | | | Swire Properties Ltd. | | | 131,844 | |
| | 40,000 | | | Techtronic Industries Co., Ltd. | | | 267,560 | |
| | 705,000 | | | Towngas China Co., Ltd.* | | | 563,503 | |
| | 4,231,500 | | | WH Group Ltd.(c) | | | 3,760,332 | |
| | 36,000 | | | Wharf Holdings Ltd. (The) | | | 112,998 | |
| | 35,000 | | | Wharf Real Estate Investment Co., Ltd. | | | 245,495 | |
| | 24,000 | | | Wheelock & Co., Ltd. | | | 163,246 | |
| | 22,500 | | | Yue Yuen Industrial Holdings Ltd. | | | 75,620 | |
| | | | | | | | |
| | | | Total Hong Kong | | | 48,586,264 | |
| | | | | | | | |
|
| | India — 0.9% | |
| | 251,734 | | | Canara Bank* | | | 824,885 | |
| | 66,583 | | | HDFC Bank Ltd. | | | 1,953,615 | |
| | 77,560 | | | Hero MotoCorp Ltd. | | | 2,882,325 | |
| | 530,073 | | | ICICI Bank Ltd., ADR | | | 5,226,520 | |
| | 711,320 | | | NTPC Ltd. | | | 1,424,518 | |
| | 308,707 | | | Zee Entertainment Enterprises Ltd. | | | 2,045,338 | |
| | | | | | | | |
| | | | Total India | | | 14,357,201 | |
| | | | | | | | |
|
| | Indonesia — 0.1% | |
| | 695,300 | | | Bank Central Asia Tbk PT | | | 1,365,330 | |
| | | | | | | | |
|
| | Ireland — 0.6% | |
| | 3,664 | | | AerCap Holdings NV* | | | 165,393 | |
| | 25,598 | | | AIB Group PLC | | | 120,378 | |
| | 419,201 | | | Bank of Ireland Group PLC | | | 2,734,652 | |
| | 24,105 | | | CRH PLC | | | 764,685 | |
| | 93,108 | | | Dalata Hotel Group PLC | | | 642,576 | |
| | 2,879 | | | DCC PLC | | | 249,021 | |
| | 63,053 | | | Grafton Group PLC | | | 667,955 | |
| | 132,649 | | | James Hardie Industries PLC, CDI | | | 1,660,158 | |
| | 4,752 | | | Kerry Group PLC, Class A Shares | | | 489,043 | |
| | 4,428 | | | Kingspan Group PLC | | | 208,703 | |
| | 5,740 | | | Medtronic PLC | | | 519,470 | |
| | 2,463 | | | Paddy Power Betfair PLC | | | 199,154 | |
| | 6,581 | | | Smurfit Kappa Group PLC | | | 186,601 | |
| | 91,350 | | | UDG Healthcare PLC | | | 700,622 | |
| | | | | | | | |
| | | | Total Ireland | | | 9,308,411 | |
| | | | | | | | |
See Notes to Financial Statements.
87
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | Isle of Man — 0.0% | |
| | 15,405 | | | GVC Holdings PLC | | $ | 134,024 | |
| | | | | | | | |
|
| | Israel — 0.3% | |
| | 1,230 | | | Azrieli Group Ltd. | | | 68,838 | |
| | 30,205 | | | Bank Hapoalim BM | | | 207,839 | |
| | 44,156 | | | Bank LeumiLe-Israel BM | | | 291,939 | |
| | 59,347 | | | Bezeq The Israeli Telecommunication Corp., Ltd. | | | 52,045 | |
| | 17,027 | | | Check Point Software Technologies Ltd.* | | | 2,082,402 | |
| | 671 | | | Elbit Systems Ltd. | | | 88,316 | |
| | 19,165 | | | Israel Chemicals Ltd. | | | 107,290 | |
| | 130,409 | | | Israel Discount Bank Ltd., Class A Shares | | | 461,004 | |
| | 4,212 | | | Mizrahi Tefahot Bank Ltd. | | | 80,612 | |
| | 1,757 | | | Nice Ltd.* | | | 207,161 | |
| | 28,205 | | | Teva Pharmaceutical Industries Ltd., ADR* | | | 474,690 | |
| | 1,258 | | | Wix.com Ltd.* | | | 137,437 | |
| | | | | | | | |
| | | | Total Israel | | | 4,259,573 | |
| | | | | | | | |
|
| | Italy — 2.7% | |
| | 506,623 | | | A2A SpA | | | 897,486 | |
| | 76,428 | | | Amplifon SpA | | | 1,421,747 | |
| | 243,025 | | | Assicurazioni Generali SpA | | | 4,334,420 | |
| | 14,125 | | | Atlantia SpA | | | 343,207 | |
| | 392,865 | | | BPER Banca | | | 1,657,312 | |
| | 38,420 | | | Brembo SpA | | | 464,444 | |
| | 17,279 | | | Davide Campari-Milano SpA | | | 164,666 | |
| | 5,776 | | | DiaSorin SpA | | | 566,101 | |
| | 233,647 | | | Enel SpA | | | 1,413,282 | |
| | 392,043 | | | Eni SpA | | | 6,755,457 | |
| | 3,543 | | | Ferrari NV | | | 455,336 | |
| | 131,065 | | | Infrastrutture Wireless Italiane SpA(c) | | | 1,154,321 | |
| | 13,558 | | | Interpump Group SpA | | | 439,291 | |
| | 427,478 | | | Intesa Sanpaolo SpA | | | 1,053,858 | |
| | 8,628 | | | Leonardo SpA | | | 86,861 | |
| | 18,466 | | | Mediobanca Banca di Credito Finanziario SpA | | | 185,176 | |
| | 5,284 | | | Moncler SpA | | | 202,476 | |
| | 10,807 | | | Pirelli & C SpA*(c) | | | 72,522 | |
| | 16,642 | | | Poste Italiane SpA(c) | | | 149,933 | |
| | 89,910 | | | Prysmian SpA | | | 1,834,540 | |
| | 3,153 | | | Recordati SpA | | | 118,524 | |
| | 504,341 | | | Saipem SpA* | | | 2,612,355 | |
| | 66,633 | | | Snam SpA | | | 329,031 | |
| | 44,443 | | | Technogym SpA(c) | | | 568,909 | |
| | 173,451 | | | Telecom Italia SpA | | | 94,387 | |
| | 324,593 | | | Telecom Italia SpA* | | | 197,726 | |
| | 41,196 | | | Terna Rete Elettrica Nazionale SpA | | | 256,043 | |
| | 1,066,584 | | | UniCredit SpA | | | 14,504,935 | |
| | | | | | | | |
| | | | Total Italy | | | 42,334,346 | |
| | | | | | | | |
|
| | Japan — 19.1% | |
| | 1,100 | | | ABC-Mart Inc. | | | 63,015 | |
| | 8,800 | | | Acom Co., Ltd. | | | 30,069 | |
| | 21,100 | | | Advantest Corp. | | | 499,264 | |
| | 17,900 | | | Aeon Co., Ltd. | | | 376,640 | |
| | 3,300 | | | AEON Financial Service Co., Ltd. | | | 64,841 | |
| | 2,500 | | | Aeon Mall Co., Ltd. | | | 40,720 | |
| | 5,400 | | | AGC Inc. | | | 187,274 | |
| | 165,200 | | | Aiful Corp.*(a) | | | 445,065 | |
See Notes to Financial Statements.
88
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | Japan — 19.1% — (continued) | |
| | 4,200 | | | Air Water Inc. | | $ | 67,046 | |
| | 4,600 | | | Aisin Seiki Co., Ltd. | | | 179,654 | |
| | 13,300 | | | Ajinomoto Co., Inc. | | | 201,142 | |
| | 5,200 | | | Alfresa Holdings Corp. | | | 150,438 | |
| | 6,500 | | | Alps Electric Co., Ltd. | | | 128,200 | |
| | 9,000 | | | Amada Holdings Co., Ltd. | | | 94,755 | |
| | 3,600 | | | ANA Holdings Inc. | | | 133,725 | |
| | 3,300 | | | Aozora Bank Ltd. | | | 95,159 | |
| | 10,500 | | | Asahi Group Holdings Ltd. | | | 453,945 | |
| | 18,700 | | | Asahi Intecc Co., Ltd. | | | 897,180 | |
| | 35,700 | | | Asahi Kasei Corp. | | | 389,717 | |
| | 4,700 | | | Asics Corp. | | | 62,462 | |
| | 54,500 | | | Astellas Pharma Inc. | | | 842,756 | |
| | 5,600 | | | Bandai Namco Holdings Inc. | | | 238,473 | |
| | 1,400 | | | Bank of Kyoto Ltd. (The) | | | 62,865 | |
| | 22,193 | | | Benesse Holdings Inc. | | | 603,173 | |
| | 51,100 | | | Bic Camera Inc. | | | 579,258 | |
| | 105,100 | | | Bridgestone Corp. | | | 4,147,365 | |
| | 6,200 | | | Brother Industries Ltd. | | | 113,750 | |
| | 2,300 | | | Calbee Inc. | | | 63,823 | |
| | 102,449 | | | Canon Inc. | | | 2,941,912 | |
| | 5,000 | | | Casio Computer Co., Ltd. | | | 68,053 | |
| | 4,200 | | | Central Japan Railway Co. | | | 941,436 | |
| | 18,000 | | | Chiba Bank Ltd. (The) | | | 109,331 | |
| | 89,296 | | | Chiyoda Corp.(a) | | | 247,985 | |
| | 17,600 | | | Chubu Electric Power Co., Inc. | | | 277,164 | |
| | 6,400 | | | Chugai Pharmaceutical Co., Ltd. | | | 435,235 | |
| | 8,000 | | | Chugoku Electric Power Co., Inc. (The) | | | 103,927 | |
| | 213,566 | | | Citizen Watch Co., Ltd. | | | 1,216,855 | |
| | 3,900 | | | Coca-Cola Bottlers Japan Holdings Inc. | | | 100,632 | |
| | 31,700 | | | Concordia Financial Group Ltd. | | | 128,461 | |
| | 4,600 | | | Credit Saison Co., Ltd. | | | 66,666 | |
| | 2,700 | | | CyberAgent Inc. | | | 83,890 | |
| | 7,000 | | | Dai Nippon Printing Co., Ltd. | | | 162,131 | |
| | 8,000 | | | Daicel Corp. | | | 84,233 | |
| | 15,300 | | | Daifuku Co., Ltd. | | | 751,685 | |
| | 187,233 | | | Dai-ichi Life Holdings Inc. | | | 2,837,204 | |
| | 16,400 | | | Daiichi Sankyo Co., Ltd. | | | 614,881 | |
| | 7,200 | | | Daikin Industries Ltd. | | | 784,603 | |
| | 40,300 | | | Daikyonishikawa Corp. | | | 447,778 | |
| | 2,100 | | | Daito Trust Construction Co., Ltd. | | | 291,293 | |
| | 16,100 | | | Daiwa House Industry Co., Ltd. | | | 498,997 | |
| | 49 | | | Daiwa House REIT Investment Corp., Class A Shares | | | 109,260 | |
| | 47,000 | | | Daiwa Securities Group Inc. | | | 238,374 | |
| | 84,598 | | | DeNA Co., Ltd. | | | 1,305,808 | |
| | 18,300 | | | Denka Co., Ltd. | | | 553,616 | |
| | 12,700 | | | Denso Corp. | | | 546,877 | |
| | 6,100 | | | Dentsu Inc. | | | 254,933 | |
| | 800 | | | Disco Corp. | | | 110,815 | |
| | 41,400 | | | DMG Mori Co., Ltd. | | | 537,120 | |
| | 65,300 | | | East Japan Railway Co. | | | 6,247,927 | |
| | 32,208 | | | Eisai Co., Ltd. | | | 2,656,087 | |
| | 4,100 | | | Electric Power Development Co., Ltd. | | | 102,665 | |
| | 16,400 | | | en-japan Inc. | | | 529,501 | |
| | 7,200 | | | FamilyMart UNY Holdings Co., Ltd. | | | 205,040 | |
| | 32,300 | | | FANUC Corp. | | | 5,355,325 | |
See Notes to Financial Statements.
89
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | Japan — 19.1% — (continued) | |
| | 1,700 | | | Fast Retailing Co., Ltd. | | $ | 798,196 | |
| | 3,200 | | | Fuji Electric Co., Ltd. | | | 100,770 | |
| | 44,156 | | | Fuji Media Holdings Inc. | | | 647,277 | |
| | 21,200 | | | Fuji Oil Holdings Inc. | | | 711,116 | |
| | 11,300 | | | FUJIFILM Holdings Corp. | | | 507,396 | |
| | 40,939 | | | Fujitsu Ltd. | | | 2,758,770 | |
| | 4,400 | | | Fukuoka Financial Group Inc. | | | 95,506 | |
| | 194,667 | | | Gree Inc. | | | 820,441 | |
| | 6,600 | | | Hakuhodo DY Holdings Inc. | | | 101,318 | |
| | 3,800 | | | Hamamatsu Photonics KK | | | 133,987 | |
| | 6,600 | | | Hankyu Hanshin Holdings Inc. | | | 239,802 | |
| | 600 | | | Hikari Tsushin Inc. | | | 107,354 | |
| | 7,200 | | | Hino Motors Ltd. | | | 66,200 | |
| | 945 | | | Hirose Electric Co., Ltd. | | | 97,264 | |
| | 1,800 | | | Hisamitsu Pharmaceutical Co., Inc. | | | 89,254 | |
| | 3,400 | | | Hitachi Chemical Co., Ltd. | | | 61,947 | |
| | 3,000 | | | Hitachi Construction Machinery Co., Ltd. | | | 75,226 | |
| | 2,000 | | | Hitachi High-Technologies Corp. | | | 76,129 | |
| | 159,200 | | | Hitachi Ltd. | | | 4,778,702 | |
| | 147,205 | | | Hitachi Metals Ltd. | | | 1,500,475 | |
| | 229,510 | | | Honda Motor Co., Ltd. | | | 6,478,001 | |
| | 11,000 | | | Horiba Ltd. | | | 556,695 | |
| | 1,700 | | | Hoshizaki Corp. | | | 114,953 | |
| | 66,200 | | | Hoya Corp. | | | 4,057,959 | |
| | 8,600 | | | Hulic Co., Ltd. | | | 79,024 | |
| | 70,655 | | | Ibiden Co., Ltd. | | | 1,005,590 | |
| | 3,700 | | | Idemitsu Kosan Co., Ltd. | | | 130,318 | |
| | 4,000 | | | IHI Corp. | | | 105,893 | |
| | 4,500 | | | Iida Group Holdings Co., Ltd. | | | 82,204 | |
| | 291,220 | | | Inpex Corp. | | | 2,824,246 | |
| | 9,300 | | | Isetan Mitsukoshi Holdings Ltd. | | | 92,505 | |
| | 15,900 | | | Isuzu Motors Ltd. | | | 228,096 | |
| | 41,000 | | | ITOCHU Corp. | | | 735,281 | |
| | 6,600 | | | J Front Retailing Co., Ltd. | | | 73,119 | |
| | 114,900 | | | Japan Airlines Co., Ltd. | | | 4,196,778 | |
| | 1,500 | | | Japan Airport Terminal Co., Ltd. | | | 59,723 | |
| | 15,100 | | | Japan Exchange Group Inc. | | | 266,270 | |
| | 961 | | | Japan Hotel REIT Investment Corp., Class A Shares | | | 741,138 | |
| | 11,500 | | | Japan Post Bank Co., Ltd. | | | 128,368 | |
| | 45,700 | | | Japan Post Holdings Co., Ltd. | | | 555,960 | |
| | 25 | | | Japan Prime Realty Investment Corp., REIT | | | 98,133 | |
| | 37 | | | Japan Real Estate Investment Corp., REIT | | | 214,234 | |
| | 71 | | | Japan Retail Fund Investment Corp., REIT | | | 143,075 | |
| | 31,800 | | | Japan Tobacco Inc. | | | 809,226 | |
| | 9,300 | | | JCR Pharmaceuticals Co., Ltd. | | | 518,564 | |
| | 14,000 | | | JFE Holdings Inc. | | | 244,887 | |
| | 139,289 | | | JGC Corp. | | | 2,027,945 | |
| | 168,664 | | | JSR Corp. | | | 2,804,907 | |
| | 6,300 | | | JTEKT Corp. | | | 78,373 | |
| | 94,350 | | | JXTG Holdings Inc. | | | 439,715 | |
| | 13,000 | | | Kajima Corp. | | | 192,863 | |
| | 4,100 | | | Kakaku.com Inc. | | | 79,108 | |
| | 3,400 | | | Kamigumi Co., Ltd. | | | 78,842 | |
| | 19,800 | | | Kanamoto Co., Ltd. | | | 522,863 | |
| | 1,200 | | | Kaneka Corp. | | | 46,764 | |
| | 20,700 | | | Kansai Electric Power Co., Inc. (The) | | | 309,734 | |
See Notes to Financial Statements.
90
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | Japan — 19.1% — (continued) | |
| | 4,600 | | | Kansai Paint Co., Ltd. | | $ | 84,768 | |
| | 14,200 | | | Kao Corp. | | | 1,075,137 | |
| | 3,800 | | | Kawasaki Heavy Industries Ltd. | | | 97,893 | |
| | 386,200 | | | KDDI Corp. | | | 9,339,956 | |
| | 2,900 | | | Keihan Holdings Co., Ltd. | | | 120,230 | |
| | 36,900 | | | Keihin Corp. | | | 649,252 | |
| | 6,400 | | | Keikyu Corp. | | | 106,312 | |
| | 2,800 | | | Keio Corp. | | | 164,612 | |
| | 3,800 | | | Keisei Electric Railway Co., Ltd. | | | 129,720 | |
| | 111 | | | Kenedix Realty Investment Corp., REIT, Class A Shares | | | 740,545 | |
| | 16,200 | | | Keyence Corp. | | | 9,482,874 | |
| | 4,200 | | | Kikkoman Corp. | | | 209,353 | |
| | 4,700 | | | Kintetsu Group Holdings Co., Ltd. | | | 212,286 | |
| | 24,100 | | | Kirin Holdings Co., Ltd. | | | 539,069 | |
| | 1,300 | | | Kobayashi Pharmaceutical Co., Ltd. | | | 104,783 | |
| | 8,900 | | | Kobe Steel Ltd. | | | 70,627 | |
| | 72,100 | | | Koito Manufacturing Co., Ltd. | | | 4,177,283 | |
| | 26,700 | | | Komatsu Ltd. | | | 657,498 | |
| | 2,500 | | | Konami Holdings Corp. | | | 103,185 | |
| | 12,300 | | | Konica Minolta Inc. | | | 119,368 | |
| | 900 | | | Kose Corp. | | | 145,857 | |
| | 357,500 | | | Kubota Corp. | | | 4,829,663 | |
| | 15,900 | | | Kumagai Gumi Co., Ltd. | | | 506,489 | |
| | 9,100 | | | Kuraray Co., Ltd. | | | 122,139 | |
| | 3,000 | | | Kurita Water Industries Ltd. | | | 75,618 | |
| | 9,300 | | | Kyocera Corp. | | | 513,399 | |
| | 7,100 | | | Kyowa Hakko Kirin Co., Ltd. | | | 135,592 | |
| | 11,700 | | | Kyushu Electric Power Co., Inc. | | | 139,057 | |
| | 4,700 | | | Kyushu Railway Co. | | | 161,002 | |
| | 16,800 | | | Lasertec Corp. | | | 592,081 | |
| | 1,400 | | | Lawson Inc. | | | 84,843 | |
| | 2,000 | | | LINE Corp.* | | | 73,328 | |
| | 6,300 | | | Lion Corp. | | | 129,375 | |
| | 7,700 | | | LIXIL Group Corp. | | | 104,541 | |
| | 12,200 | | | M3 Inc. | | | 201,930 | |
| | 57,300 | | | Maeda Corp. | | | 606,483 | |
| | 11,400 | | | Makino Milling Machine Co., Ltd. | | | 459,101 | |
| | 51,400 | | | Makita Corp. | | | 1,826,018 | |
| | 45,000 | | | Marubeni Corp. | | | 322,288 | |
| | 5,600 | | | Marui Group Co., Ltd. | | | 98,538 | |
| | 1,800 | | | Maruichi Steel Tube Ltd. | | | 54,049 | |
| | 21,600 | | | Matsumotokiyoshi Holdings Co., Ltd. | | | 739,928 | |
| | 16,000 | | | Mazda Motor Corp. | | | 188,485 | |
| | 2,000 | | | McDonald’s Holdings Co. Japan Ltd. | | | 89,714 | |
| | 21,610 | | | Mebuki Financial Group Inc. | | | 58,444 | |
| | 4,700 | | | Medipal Holdings Corp. | | | 109,407 | |
| | 3,400 | | | MEIJI Holdings Co., Ltd. | | | 269,551 | |
| | 11,100 | | | MINEBEA MITSUMI Inc. | | | 178,393 | |
| | 7,800 | | | MISUMI Group Inc. | | | 189,531 | |
| | 36,900 | | | Mitsubishi Chemical Holdings Corp. | | | 273,132 | |
| | 38,800 | | | Mitsubishi Corp. | | | 1,093,519 | |
| | 52,900 | | | Mitsubishi Electric Corp. | | | 663,043 | |
| | 144,200 | | | Mitsubishi Estate Co., Ltd. | | | 2,477,870 | |
| | 4,900 | | | Mitsubishi Gas Chemical Co., Inc. | | | 74,966 | |
| | 87,786 | | | Mitsubishi Heavy Industries Ltd. | | | 3,579,640 | |
| | 3,100 | | | Mitsubishi Materials Corp. | | | 85,227 | |
See Notes to Financial Statements.
91
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | Japan — 19.1% — (continued) | |
| | 18,200 | | | Mitsubishi Motors Corp. | | $ | 102,248 | |
| | 7,400 | | | Mitsubishi Tanabe Pharma Corp. | | | 106,895 | |
| | 337,600 | | | Mitsubishi UFJ Financial Group Inc. | | | 1,747,246 | |
| | 10,300 | | | Mitsubishi UFJ Lease & Finance Co., Ltd. | | | 52,577 | |
| | 48,000 | | | Mitsui & Co., Ltd. | | | 754,870 | |
| | 5,700 | | | Mitsui Chemicals Inc. | | | 139,345 | |
| | 25,900 | | | Mitsui Fudosan Co., Ltd. | | | 613,623 | |
| | 3,200 | | | Mitsui OSK Lines Ltd. | | | 75,106 | |
| | 2,903,087 | | | Mizuho Financial Group Inc. | | | 4,576,826 | |
| | 3,600 | | | MonotaRO Co., Ltd. | | | 85,300 | |
| | 13,700 | | | MS&AD Insurance Group Holdings Inc. | | | 411,325 | |
| | 18,500 | | | Murata Manufacturing Co., Ltd. | | | 2,883,402 | |
| | 73,900 | | | Nabtesco Corp. | | | 1,954,674 | |
| | 5,100 | | | Nagoya Railroad Co., Ltd. | | | 140,579 | |
| | 7,400 | | | NEC Corp. | | | 246,783 | |
| | 65,000 | | | NET One Systems Co., Ltd. | | | 1,517,524 | |
| | 135,400 | | | Nexon Co., Ltd.* | | | 2,157,651 | |
| | 7,000 | | | NGK Insulators Ltd. | | | 107,092 | |
| | 4,700 | | | NGK Spark Plug Co., Ltd. | | | 100,011 | |
| | 2,500 | | | NH Foods Ltd. | | | 91,158 | |
| | 34,100 | | | Nidec Corp. | | | 4,147,911 | |
| | 88,510 | | | Nikon Corp. | | | 1,344,379 | |
| | 14,200 | | | Nintendo Co., Ltd. | | | 3,886,765 | |
| | 154 | | | Nippon Accommodations Fund Inc., REIT, Class A Shares | | | 765,837 | |
| | 40 | | | Nippon Building Fund Inc., REIT | | | 260,323 | |
| | 2,600 | | | Nippon Electric Glass Co., Ltd. | | | 70,349 | |
| | 2,200 | | | Nippon Express Co., Ltd. | | | 130,071 | |
| | 4,300 | | | Nippon Paint Holdings Co., Ltd. | | | 165,441 | |
| | 52 | | | Nippon Prologis REIT Inc. | | | 110,499 | |
| | 23,600 | | | Nippon Steel & Sumitomo Metal Corp. | | | 425,963 | |
| | 111,000 | | | Nippon Suisan Kaisha Ltd. | | | 726,657 | |
| | 84,900 | | | Nippon Telegraph & Telephone Corp. | | | 3,665,438 | |
| | 85,399 | | | Nippon Television Holdings Inc. | | | 1,341,756 | |
| | 4,500 | | | Nippon Yusen KK | | | 70,961 | |
| | 3,800 | | | Nissan Chemical Corp. | | | 191,929 | |
| | 66,000 | | | Nissan Motor Co., Ltd. | | | 570,621 | |
| | 5,600 | | | Nisshin Seifun Group Inc. | | | 120,256 | |
| | 1,700 | | | Nissin Foods Holdings Co., Ltd. | | | 118,148 | |
| | 24,600 | | | Nitori Holdings Co., Ltd. | | | 3,068,626 | |
| | 4,700 | | | Nitto Denko Corp. | | | 251,119 | |
| | 702,700 | | | Nomura Holdings Inc. | | | 2,741,521 | |
| | 3,600 | | | Nomura Real Estate Holdings Inc. | | | 68,189 | |
| | 113 | | | Nomura Real Estate Master Fund Inc., REIT | | | 154,854 | |
| | 3,460 | | | Nomura Research Institute Ltd. | | | 140,896 | |
| | 193,200 | | | North Pacific Bank Ltd. | | | 532,756 | |
| | 9,400 | | | NSK Ltd. | | | 86,429 | |
| | 17,800 | | | NTT Data Corp. | | | 195,040 | |
| | 38,400 | | | NTT DOCOMO Inc. | | | 895,328 | |
| | 18,300 | | | Obayashi Corp. | | | 178,441 | |
| | 1,900 | | | Obic Co., Ltd. | | | 181,620 | |
| | 8,700 | | | Odakyu Electric Railway Co., Ltd. | | | 203,228 | |
| | 26,000 | | | Oji Holdings Corp. | | | 155,048 | |
| | 10,200 | | | OKUMA Corp. | | | 562,927 | |
| | 8,400 | | | Olympus Corp. | | | 371,026 | |
| | 5,600 | | | Omron Corp. | | | 241,992 | |
| | 11,000 | | | Ono Pharmaceutical Co., Ltd. | | | 226,349 | |
See Notes to Financial Statements.
92
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | Japan — 19.1% — (continued) | |
| | 11,900 | | | Open House Co., Ltd. | | $ | 422,001 | |
| | 1,100 | | | Oracle Corp. Japan | | | 82,135 | |
| | 5,700 | | | Oriental Land Co., Ltd. | | | 625,198 | |
| | 167,500 | | | ORIX Corp. | | | 2,426,074 | |
| | 10,800 | | | Osaka Gas Co., Ltd. | | | 221,341 | |
| | 3,000 | | | Otsuka Corp. | | | 107,986 | |
| | 11,300 | | | Otsuka Holdings Co., Ltd. | | | 471,935 | |
| | 22,300 | | | PALTAC Corp. | | | 1,154,103 | |
| | 3,400 | | | Pan Pacific International Holdings Corp. | | | 202,789 | |
| | 63,400 | | | Panasonic Corp. | | | 585,615 | |
| | 3,200 | | | Park24 Co., Ltd. | | | 76,742 | |
| | 107,800 | | | Penta-Ocean Construction Co., Ltd. | | | 543,814 | |
| | 5,000 | | | Persol Holdings Co., Ltd. | | | 85,858 | |
| | 3,300 | | | Pigeon Corp. | | | 134,337 | |
| | 2,700 | | | Pola Orbis Holdings Inc. | | | 75,809 | |
| | 25,600 | | | Rakuten Inc. | | | 202,170 | |
| | 139,900 | | | Recruit Holdings Co., Ltd. | | | 3,919,872 | |
| | 23,500 | | | Renesas Electronics Corp.* | | | 137,536 | |
| | 67,700 | | | Rengo Co., Ltd. | | | 588,547 | |
| | 60,200 | | | Resona Holdings Inc. | | | 272,860 | |
| | 18,600 | | | Ricoh Co., Ltd. | | | 189,126 | |
| | 1,100 | | | Rinnai Corp. | | | 73,897 | |
| | 2,700 | | | Rohm Co., Ltd. | | | 171,460 | |
| | 3,700 | | | Rohto Pharmaceutical Co., Ltd. | | | 97,394 | |
| | 53,300 | | | Round One Corp. | | | 694,806 | |
| | 21,000 | | | Ryobi Ltd. | | | 513,389 | |
| | 700 | | | Ryohin Keikaku Co., Ltd. | | | 166,287 | |
| | 1,300 | | | Sankyo Co., Ltd. | | | 47,886 | |
| | 12,600 | | | Sankyu Inc. | | | 617,053 | |
| | 155,600 | | | Santen Pharmaceutical Co., Ltd. | | | 2,429,934 | |
| | 62,700 | | | Sanwa Holdings Corp. | | | 727,590 | |
| | 10,900 | | | Sawai Pharmaceutical Co., Ltd. | | | 624,844 | |
| | 6,900 | | | SBI Holdings Inc. | | | 145,483 | |
| | 6,200 | | | Secom Co., Ltd. | | | 535,777 | |
| | 5,200 | | | Sega Sammy Holdings Inc. | | | 60,676 | |
| | 6,400 | | | Seibu Holdings Inc. | | | 113,710 | |
| | 8,100 | | | Seiko Epson Corp. | | | 119,755 | |
| | 51,100 | | | Seino Holdings Co., Ltd. | | | 721,088 | |
| | 168,700 | | | Sekisui Chemical Co., Ltd. | | | 2,653,930 | |
| | 18,000 | | | Sekisui House Ltd. | | | 270,586 | |
| | 21,600 | | | Seven & i Holdings Co., Ltd. | | | 949,677 | |
| | 17,500 | | | Seven Bank Ltd. | | | 51,175 | |
| | 2,600 | | | SG Holdings Co., Ltd. | | | 76,071 | |
| | 6,300 | | | Sharp Corp. | | | 73,813 | |
| | 29,400 | | | Shiga Bank Ltd. (The) | | | 688,888 | |
| | 6,800 | | | Shimadzu Corp. | | | 167,917 | |
| | 23,466 | | | Shimamura Co., Ltd.(a) | | | 1,980,588 | |
| | 2,200 | | | Shimano Inc. | | | 334,223 | |
| | 16,900 | | | Shimizu Corp. | | | 148,713 | |
| | 10,500 | | | Shin-Etsu Chemical Co., Ltd. | | | 877,660 | |
| | 3,800 | | | Shinsei Bank Ltd. | | | 52,341 | |
| | 8,000 | | | Shionogi & Co., Ltd. | | | 512,456 | |
| | 17,800 | | | Ship Healthcare Holdings Inc. | | | 674,264 | |
| | 11,000 | | | Shiseido Co., Ltd. | | | 726,562 | |
| | 11,900 | | | Shizuoka Bank Ltd. (The) | | | 93,981 | |
| | 3,900 | | | Showa Denko KK | | | 145,530 | |
See Notes to Financial Statements.
93
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | Japan — 19.1% — (continued) | |
| | 5,700 | | | Showa Shell Sekiyu KK | | $ | 85,201 | |
| | 10,100 | | | SMC Corp. | | | 3,521,301 | |
| | 48,200 | | | Softbank Corp.* | | | 601,068 | |
| | 23,900 | | | SoftBank Group Corp. | | | 2,219,337 | |
| | 2,000 | | | Sohgo Security Services Co., Ltd. | | | 86,417 | |
| | 118,600 | | | Sompo Holdings Inc. | | | 4,430,123 | |
| | 36,700 | | | Sony Corp. | | | 1,763,744 | |
| | 5,000 | | | Sony Financial Holdings Inc. | | | 94,586 | |
| | 3,900 | | | Stanley Electric Co., Ltd. | | | 112,193 | |
| | 23,400 | | | Starts Corp., Inc. | | | 510,768 | |
| | 90,300 | | | Subaru Corp. | | | 2,293,554 | |
| | 7,000 | | | SUMCO Corp. | | | 89,069 | |
| | 12,000 | | | Sumitomo Bakelite Co., Ltd. | | | 454,093 | |
| | 43,000 | | | Sumitomo Chemical Co., Ltd. | | | 213,883 | |
| | 31,900 | | | Sumitomo Corp. | | | 458,879 | |
| | 4,700 | | | Sumitomo Dainippon Pharma Co., Ltd. | | | 115,789 | |
| | 21,500 | | | Sumitomo Electric Industries Ltd. | | | 299,344 | |
| | 50,700 | | | Sumitomo Forestry Co., Ltd. | | | 661,134 | |
| | 3,000 | | | Sumitomo Heavy Industries Ltd. | | | 102,810 | |
| | 6,800 | | | Sumitomo Metal Mining Co., Ltd. | | | 198,678 | |
| | 245,935 | | | Sumitomo Mitsui Financial Group Inc. | | | 8,719,724 | |
| | 88,511 | | | Sumitomo Mitsui Trust Holdings Inc. | | | 3,354,415 | |
| | 10,500 | | | Sumitomo Realty & Development Co., Ltd. | | | 392,641 | |
| | 5,000 | | | Sumitomo Rubber Industries Ltd. | | | 64,174 | |
| | 2,400 | | | Sundrug Co., Ltd. | | | 73,614 | |
| | 4,100 | | | Suntory Beverage & Food Ltd. | | | 180,897 | |
| | 9,300 | | | Sushiro Global Holdings Ltd. | | | 586,527 | |
| | 2,200 | | | Suzuken Co., Ltd. | | | 120,370 | |
| | 46,000 | | | Suzuki Motor Corp. | | | 2,356,311 | |
| | 4,700 | | | Sysmex Corp. | | | 282,412 | |
| | 270,195 | | | T&D Holdings Inc. | | | 3,253,527 | |
| | 3,300 | | | Taiheiyo Cement Corp. | | | 112,795 | |
| | 6,000 | | | Taisei Corp. | | | 283,593 | |
| | 1,000 | | | Taisho Pharmaceutical Holdings Co., Ltd. | | | 101,323 | |
| | 3,800 | | | Taiyo Nippon Sanso Corp. | | | 53,834 | |
| | 40,500 | | | Taiyo Yuden Co., Ltd. | | | 796,399 | |
| | 36,300 | | | Takasago Thermal Engineering Co., Ltd. | | | 593,066 | |
| | 3,500 | | | Takashimaya Co., Ltd. | | | 46,061 | |
| | 496,494 | | | Takeda Pharmaceutical Co., Ltd. | | | 19,976,691 | |
| | 3,700 | | | TDK Corp. | | | 288,886 | |
| | 5,200 | | | Teijin Ltd. | | | 87,213 | |
| | 45,000 | | | Terumo Corp. | | | 2,758,364 | |
| | 39,300 | | | THK Co., Ltd. | | | 971,557 | |
| | 27,800 | | | TIS Inc. | | | 1,291,960 | |
| | 5,700 | | | Tobu Railway Co., Ltd. | | | 159,235 | |
| | 78,000 | | | Toda Corp. | | | 495,680 | |
| | 3,200 | | | Toho Co., Ltd. | | | 114,350 | |
| | 2,300 | | | Toho Gas Co., Ltd. | | | 104,621 | |
| | 12,100 | | | Tohoku Electric Power Co., Inc. | | | 158,640 | |
| | 57,000 | | | Tokai Carbon Co., Ltd.(a) | | | 795,864 | |
| | 19,300 | | | Tokio Marine Holdings Inc. | | | 942,182 | |
| | 1,200 | | | Tokyo Century Corp. | | | 53,565 | |
| | 40,900 | | | Tokyo Electric Power Co. Holdings Inc.* | | | 254,617 | |
| | 4,500 | | | Tokyo Electron Ltd. | | | 613,195 | |
| | 11,300 | | | Tokyo Gas Co., Ltd. | | | 310,970 | |
| | 86,200 | | | Tokyo Steel Manufacturing Co., Ltd. | | | 714,491 | |
See Notes to Financial Statements.
94
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | Japan — 19.1% — (continued) | |
| | 14,400 | | | Tokyu Corp. | | $ | 244,093 | |
| | 18,000 | | | Tokyu Fudosan Holdings Corp. | | | 99,442 | |
| | 7,000 | | | Toppan Printing Co., Ltd. | | | 111,435 | |
| | 40,100 | | | Toray Industries Inc. | | | 279,437 | |
| | 18,600 | | | Toshiba Corp. | | | 582,224 | |
| | 7,700 | | | Tosoh Corp. | | | 113,699 | |
| | 4,000 | | | TOTO Ltd. | | | 151,870 | |
| | 4,600 | | | Toyo Seikan Group Holdings Ltd. | | | 96,850 | |
| | 2,500 | | | Toyo Suisan Kaisha Ltd. | | | 92,785 | |
| | 1,400 | | | Toyoda Gosei Co., Ltd. | | | 31,792 | |
| | 4,100 | | | Toyota Industries Corp. | | | 210,345 | |
| | 124,700 | | | Toyota Motor Corp. | | | 7,533,328 | |
| | 6,200 | | | Toyota Tsusho Corp. | | | 197,375 | |
| | 3,500 | | | Trend Micro Inc. | | | 173,055 | |
| | 1,000 | | | Tsuruha Holdings Inc. | | | 88,434 | |
| | 11,500 | | | Unicharm Corp. | | | 367,030 | |
| | 84 | | | United Urban Investment Corp., REIT | | | 130,198 | |
| | 5,900 | | | USS Co., Ltd. | | | 107,546 | |
| | 21,800 | | | UT Group Co., Ltd.* | | | 495,681 | |
| | 18,900 | | | Valor Holdings Co., Ltd. | | | 480,212 | |
| | 1,400 | | | Welcia Holdings Co., Ltd. | | | 49,758 | |
| | 4,600 | | | West Japan Railway Co. | | | 346,471 | |
| | 1,260,413 | | | Yahoo Japan Corp. | | | 3,368,475 | |
| | 3,500 | | | Yakult Honsha Co., Ltd. | | | 235,274 | |
| | 17,300 | | | Yamada Denki Co., Ltd. | | | 83,629 | |
| | 6,000 | | | Yamaguchi Financial Group Inc. | | | 55,952 | |
| | 3,800 | | | Yamaha Corp. | | | 187,226 | |
| | 7,900 | | | Yamaha Motor Co., Ltd. | | | 160,325 | |
| | 41,700 | | | YA-MAN Ltd.(a) | | | 509,231 | |
| | 9,000 | | | Yamato Holdings Co., Ltd. | | | 234,880 | |
| | 21,700 | | | Yamato Kogyo Co., Ltd. | | | 602,446 | |
| | 3,100 | | | Yamazaki Baking Co., Ltd. | | | 53,161 | |
| | 7,200 | | | Yaskawa Electric Corp. | | | 205,105 | |
| | 6,300 | | | Yokogawa Electric Corp. | | | 121,448 | |
| | 3,500 | | | Yokohama Rubber Co., Ltd. (The) | | | 71,440 | |
| | 23,000 | | | Zenkoku Hosho Co., Ltd. | | | 844,717 | |
| | 5,800 | | | ZOZO Inc. | | | 109,441 | |
| | | | | | | | |
| | | | Total Japan | | | 303,184,675 | |
| | | | | | | | |
|
| | Jordan — 0.0% | |
| | 25,509 | | | Hikma Pharmaceuticals PLC | | | 565,089 | |
| | | | | | | | |
|
| | Luxembourg — 0.5% | |
| | 18,721 | | | ArcelorMittal | | | 429,580 | |
| | 22,353 | | | Aroundtown SA | | | 188,180 | |
| | 326 | | | Eurofins Scientific SE(a) | | | 137,624 | |
| | 1,805 | | | Millicom International Cellular SA, ADR | | | 108,510 | |
| | 1,161 | | | RTL Group SA | | | 65,462 | |
| | 198,066 | | | SES SA, FDR, Class A Shares | | | 3,978,096 | |
| | 9,088 | | | Stabilus SA | | | 524,980 | |
| | 182,033 | | | Tenaris SA | | | 2,422,002 | |
| | | | | | | | |
| | | | Total Luxembourg | | | 7,854,434 | |
| | | | | | | | |
|
| | Macau — 0.0% | |
| | 28,800 | | | MGM China Holdings Ltd. | | | 60,735 | |
| | 70,400 | | | Sands China Ltd. | | | 350,532 | |
| | 40,800 | | | Wynn Macau Ltd. | | | 101,480 | |
| | | | | | | | |
| | | | Total Macau | | | 512,747 | |
| | | | | | | | |
See Notes to Financial Statements.
95
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | Mexico — 0.0% | |
| | 6,000 | | | Fresnillo PLC | | $ | 68,381 | |
| | | | | | | | |
|
| | Netherlands — 4.3% | |
| | 60,812 | | | Aalberts Industries NV | | | 2,244,602 | |
| | 12,204 | | | ABN AMRO Group NV, Dutch Certificate, GDR(c) | | | 295,810 | |
| | 213 | | | Adyen NV*(c) | | | 159,896 | |
| | 49,933 | | | Aegon NV | | | 268,186 | |
| | 110,091 | | | Akzo Nobel NV | | | 9,975,794 | |
| | 15,788 | | | AMG Advanced Metallurgical Group NV | | | 610,604 | |
| | 8,159 | | | ASM International NV | | | 444,029 | |
| | 55,440 | | | ASML Holding NV | | | 10,145,288 | |
| | 25,244 | | | ASR Nederland NV | | | 1,111,508 | |
| | 107,566 | | | Boskalis Westminster(a) | | | 3,024,904 | |
| | 16,513 | | | Euronext NV(c) | | | 1,008,899 | |
| | 3,143 | | | EXOR NV | | | 193,300 | |
| | 3,264 | | | Heineken Holding NV | | | 315,580 | |
| | 38,891 | | | Heineken NV | | | 3,916,577 | |
| | 7,864 | | | IMCD NV | | | 616,926 | |
| | 607,533 | | | ING Groep NV | | | 8,026,287 | |
| | 36,139 | | | Koninklijke Ahold Delhaize NV | | | 931,824 | |
| | 5,259 | | | Koninklijke DSM NV | | | 563,998 | |
| | 98,915 | | | Koninklijke KPN NV | | | 304,936 | |
| | 27,463 | | | Koninklijke Philips NV | | | 1,092,162 | |
| | 2,203 | | | Koninklijke Vopak NV | | | 107,647 | |
| | 8,638 | | | NN Group NV | | | 375,999 | |
| | 9,887 | | | NXP Semiconductors NV | | | 902,881 | |
| | 406,772 | | | PostNL NV | | | 1,093,677 | |
| | 6,669 | | | QIAGEN NV* | | | 255,062 | |
| | 3,585 | | | Randstad NV | | | 191,199 | |
| | 132,641 | | | Royal Dutch Shell PLC, Class A Shares | | | 4,135,715 | |
| | 505,274 | | | Royal Dutch Shell PLC, Class B Shares | | | 15,856,206 | |
| | 9,296 | | | TKH Group NV, Dutch Certificate | | | 455,496 | |
| | 8,492 | | | Wolters Kluwer NV | | | 559,865 | |
| | | | | | | | |
| | | | Total Netherlands | | | 69,184,857 | |
| | | | | | | | |
|
| | New Zealand — 0.4% | |
| | 22,275 | | | a2 Milk Co., Ltd.* | | | 216,911 | |
| | 26,123 | | | Auckland International Airport Ltd. | | | 138,198 | |
| | 16,561 | | | Fisher & Paykel Healthcare Corp., Ltd. | | | 165,724 | |
| | 23,180 | | | Fletcher Building Ltd.* | | | 77,194 | |
| | 38,537 | | | Meridian Energy Ltd. | | | 96,766 | |
| | 12,703 | | | Ryman Healthcare Ltd. | | | 95,146 | |
| | 48,388 | | | Spark New Zealand Ltd. | | | 122,836 | |
| | 168,625 | | | Summerset Group Holdings Ltd. | | | 745,861 | |
| | 134,964 | | | Xero Ltd.* | | | 4,539,578 | |
| | | | | | | | |
| | | | Total New Zealand | | | 6,198,214 | |
| | | | | | | | |
|
| | Norway — 0.6% | |
| | 2,919 | | | Aker BP ASA | | | 98,937 | |
| | 196,797 | | | DNB ASA | | | 3,772,450 | |
| | 33,581 | | | Equinor ASA | | | 754,918 | |
| | 5,541 | | | Gjensidige Forsikring ASA | | | 99,344 | |
| | 12,360 | | | Mowi ASA(a) | | | 285,235 | |
| | 898,178 | | | Norsk Hydro ASA | | | 3,720,860 | |
| | 22,770 | | | Orkla ASA | | | 179,418 | |
| | 3,010 | | | Schibsted ASA, Class B Shares | | | 111,520 | |
| | 21,135 | | | Telenor ASA | | | 412,157 | |
See Notes to Financial Statements.
96
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | Norway — 0.6% — (continued) | |
| | 5,124 | | | Yara International ASA | | $ | 215,205 | |
| | | | | | | | |
| | | | Total Norway | | | 9,650,044 | |
| | | | | | | | |
|
| | Portugal — 0.0% | |
| | 75,532 | | | EDP — Energias de Portugal SA | | | 276,993 | |
| | 14,646 | | | Galp Energia SGPS SA | | | 240,176 | |
| | 6,813 | | | Jeronimo Martins SGPS SA | | | 102,662 | |
| | | | | | | | |
| | | | Total Portugal | | | 619,831 | |
| | | | | | | | |
|
| | Russia — 0.4% | |
| | 663,525 | | | Gazprom PJSC, ADR | | | 3,147,023 | |
| | 22,993 | | | LUKOIL PJSC, ADR | | | 1,921,065 | |
| | 97,477 | | | Sberbank of Russia PJSC, ADR | | | 1,242,832 | |
| | | | | | | | |
| | | | Total Russia | | | 6,310,920 | |
| | | | | | | | |
|
| | Singapore — 0.6% | |
| | 77,800 | | | Ascendas Real Estate Investment Trust | | | 161,085 | |
| | 71,619 | | | CapitaLand Commercial Trust, REIT | | | 102,740 | |
| | 73,400 | | | CapitaLand Ltd. | | | 186,116 | |
| | 72,400 | | | CapitaLand Mall Trust, REIT | | | 128,645 | |
| | 12,100 | | | City Developments Ltd. | | | 80,092 | |
| | 65,700 | | | ComfortDelGro Corp., Ltd. | | | 116,120 | |
| | 52,300 | | | DBS Group Holdings Ltd. | | | 959,966 | |
| | 944,900 | | | Frasers Logistics & Industrial Trust, REIT | | | 768,793 | |
| | 181,100 | | | Genting Singapore Ltd. | | | 137,037 | |
| | 158,600 | | | Golden Agri-Resources Ltd. | | | 32,238 | |
| | 3,000 | | | Jardine Cycle & Carriage Ltd. | | | 73,938 | |
| | 42,700 | | | Keppel Corp., Ltd. | | | 194,623 | |
| | 545,700 | | | Mapletree Industrial Trust, REIT | | | 807,197 | |
| | 422,100 | | | Oversea-Chinese Banking Corp., Ltd. | | | 3,453,513 | |
| | 20,900 | | | SATS Ltd. | | | 79,498 | |
| | 30,600 | | | Sembcorp Industries Ltd. | | | 59,329 | |
| | 16,200 | | | Singapore Airlines Ltd. | | | 119,874 | |
| | 23,300 | | | Singapore Exchange Ltd. | | | 135,036 | |
| | 29,400 | | | Singapore Press Holdings Ltd. | | | 53,462 | |
| | 45,100 | | | Singapore Technologies Engineering Ltd. | | | 124,686 | |
| | 236,200 | | | Singapore Telecommunications Ltd. | | | 527,546 | |
| | 57,500 | | | Suntec Real Estate Investment Trust | | | 82,058 | |
| | 38,903 | | | United Overseas Bank Ltd. | | | 722,527 | |
| | 15,371 | | | UOL Group Ltd. | | | 75,303 | |
| | 7,400 | | | Venture Corp., Ltd. | | | 97,261 | |
| | 55,700 | | | Wilmar International Ltd. | | | 131,812 | |
| | | | | | | | |
| | | | Total Singapore | | | 9,410,495 | |
| | | | | | | | |
|
| | South Africa — 0.3% | |
| | 15,252 | | | Anglo American Platinum Ltd. | | | 829,303 | |
| | 610,189 | | | Gold Fields Ltd., ADR | | | 2,520,081 | |
| | 212,179 | | | Impala Platinum Holdings Ltd.* | | | 903,307 | |
| | 19,695 | | | Investec PLC | | | 128,632 | |
| | | | | | | | |
| | | | Total South Africa | | | 4,381,323 | |
| | | | | | | | |
|
| | South Korea — 2.1% | |
| | 13,495 | | | AfreecaTV Co., Ltd. | | | 551,808 | |
| | 6,495 | | | Chong Kun Dang Pharmaceutical Corp. | | | 604,472 | |
| | 12,199 | | | Douzone Bizon Co., Ltd. | | | 460,681 | |
| | 3,314 | | | GS Home Shopping Inc. | | | 541,771 | |
| | 9,392 | | | Hyundai Construction Equipment Co., Ltd. | | | 449,805 | |
See Notes to Financial Statements.
97
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | South Korea — 2.1% — (continued) | |
| | 57,975 | | | KB Financial Group Inc. | | $ | 2,284,116 | |
| | 69,824 | | | Kia Motors Corp. | | | 2,270,288 | |
| | 8,545 | | | KIWOOM Securities Co., Ltd.* | | | 610,425 | |
| | 18,759 | | | Korea United Pharm Inc.(a) | | | 428,375 | |
| | 226,138 | | | KT Corp., ADR | | | 3,023,465 | |
| | 8,675 | | | Maeil Dairies Co., Ltd.* | | | 609,311 | |
| | 15,497 | | | Poongsan Corp. | | | 436,916 | |
| | 155,257 | | | Samsung Electronics Co., Ltd. | | | 6,192,539 | |
| | 8,222 | | | Samsung SDI Co., Ltd. | | | 1,737,069 | |
| | 25,387 | | | Seoul Semiconductor Co., Ltd.* | | | 535,762 | |
| | 19,471 | | | SFA Engineering Corp. | | | 721,395 | |
| | 63,058 | | | Shinhan Financial Group Co., Ltd. | | | 2,447,523 | |
| | 6,995 | | | SK Innovation Co., Ltd. | | | 1,166,866 | |
| | 26,174 | | | SK Telecom Co., Ltd. | | | 6,056,888 | |
| | 17,809 | | | SKC Co., Ltd. | | | 610,537 | |
| | 27,500 | | | SL Corp.* | | | 516,678 | |
| | 11,285 | | | Soulbrain Co., Ltd. | | | 512,977 | |
| | | | | | | | |
| | | | Total South Korea | | | 32,769,667 | |
| | | | | | | | |
|
| | Spain — 2.3% | |
| | 7,568 | | | ACS Actividades de Construccion y Servicios SA | | | 335,390 | |
| | 1,957 | | | Aena SME SA(c) | | | 349,124 | |
| | 49,166 | | | Amadeus IT Group SA | | | 3,700,639 | |
| | 745,776 | | | Banco Bilbao Vizcaya Argentaria SA | | | 4,630,333 | |
| | 164,492 | | | Banco de Sabadell SA | | | 186,773 | |
| | 469,829 | | | Banco Santander SA | | | 2,288,223 | |
| | 36,779 | | | Bankia SA | | | 112,003 | |
| | 77,495 | | | Bankinter SA | | | 634,937 | |
| | 1,448,149 | | | CaixaBank SA | | | 5,150,733 | |
| | 17,321 | | | Cia de Distribucion Integral Logista Holdings SA | | | 436,109 | |
| | 4,210 | | | Enagas SA | | | 119,925 | |
| | 9,546 | | | Endesa SA | | | 240,444 | |
| | 13,796 | | | Ferrovial SA | | | 317,822 | |
| | 167,440 | | | Grifols SA | | | 4,351,851 | |
| | 179,495 | | | Iberdrola SA(a) | | | 1,498,930 | |
| | 110,167 | | | Industria de Diseno Textil SA | | | 3,323,748 | |
| | 30,418 | | | Mapfre SA | | | 85,919 | |
| | 32,720 | | | Masmovil Ibercom SA* | | | 681,562 | |
| | 41,599 | | | Melia Hotels International SA | | | 397,072 | |
| | 39,942 | | | Merlin Properties Socimi SA, REIT | | | 517,660 | |
| | 10,313 | | | Naturgy Energy Group SA | | | 279,598 | |
| | 669,328 | | | Prosegur Cash SA(c) | | | 1,569,202 | |
| | 450,482 | | | Prosegur Cia de Seguridad SA | | | 2,518,373 | |
| | 12,192 | | | Red Electrica Corp. SA | | | 263,366 | |
| | 40,552 | | | Repsol SA | | | 697,343 | |
| | 6,910 | | | Siemens Gamesa Renewable Energy SA* | | | 105,445 | |
| | 135,446 | | | Telefonica SA | | | 1,166,444 | |
| | 116,870 | | | Unicaja Banco SA(c) | | | 136,826 | |
| | | | | | | | |
| | | | Total Spain | | | 36,095,794 | |
| | | | | | | | |
|
| | Sweden — 1.9% | |
| | 8,571 | | | Alfa Laval AB | | | 187,362 | |
| | 158,477 | | | Assa Abloy AB, Class B Shares | | | 3,273,784 | |
| | 132,883 | | | Atlas Copco AB, Class A Shares | | | 3,598,338 | |
| | 11,377 | | | Atlas Copco AB, Class B Shares | | | 285,387 | |
| | 7,704 | | | Boliden AB | | | 210,595 | |
See Notes to Financial Statements.
98
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | Sweden — 1.9% — (continued) | |
| | 84,966 | | | Dometic Group AB(c) | | $ | 708,235 | |
| | 6,848 | | | Electrolux AB, Series B | | | 179,120 | |
| | 218,984 | | | Epiroc AB, Class A Shares* | | | 2,197,616 | |
| | 10,843 | | | Epiroc AB, Class B Shares* | | | 101,835 | |
| | 17,521 | | | Essity AB, Class B Shares | | | 488,582 | |
| | 7,106 | | | Evolution Gaming Group AB(c) | | | 530,189 | |
| | 24,974 | | | Hennes & Mauritz AB, Class B Shares | | | 377,853 | |
| | 7,451 | | | Hexagon AB, Class B Shares | | | 391,680 | |
| | 11,408 | | | Husqvarna AB, Class B Shares | | | 93,471 | |
| | 2,407 | | | ICA Gruppen AB | | | 92,506 | |
| | 4,576 | | | Industrivarden AB, Class C Shares | | | 95,265 | |
| | 13,304 | | | Investor AB, Class B Shares | | | 593,943 | |
| | 6,619 | | | Kinnevik AB, Class B Shares | | | 167,629 | |
| | 2,254 | | | L E Lundbergforetagen AB, Class B Shares | | | 69,479 | |
| | 20,921 | | | Loomis AB, Class B Shares | | | 759,967 | |
| | 5,636 | | | Lundin Petroleum AB | | | 184,433 | |
| | 59,758 | | | Peab AB | | | 521,298 | |
| | 78,022 | | | Resurs Holding AB(c) | | | 505,985 | |
| | 32,725 | | | Sandvik AB | | | 537,408 | |
| | 9,076 | | | Securitas AB, Class B Shares | | | 142,304 | |
| | 237,546 | | | Skandinaviska Enskilda Banken AB, Class A Shares | | | 2,417,269 | |
| | 9,717 | | | Skanska AB, Class B Shares | | | 175,189 | |
| | 116,945 | | | SKF AB, Class B Shares | | | 1,967,307 | |
| | 206,848 | | | SSAB AB, Class B Shares | | | 679,742 | |
| | 44,265 | | | Svenska Handelsbanken AB, Class A Shares | | | 504,736 | |
| | 26,249 | | | Swedbank AB, Class A Shares | | | 482,179 | |
| | 55,119 | | | Swedish Match AB | | | 2,583,197 | |
| | 19,162 | | | Swedish Orphan Biovitrum AB* | | | 416,282 | |
| | 14,699 | | | Tele2 AB, Class B Shares | | | 193,315 | |
| | 311,205 | | | Telefonaktiebolaget LM Ericsson, Class B Shares | | | 2,844,002 | |
| | 80,383 | | | Telia Co. AB | | | 348,834 | |
| | 45,000 | | | Volvo AB, Class B Shares | | | 662,269 | |
| | 85,464 | | | Wihlborgs Fastigheter AB | | | 1,134,715 | |
| | | | | | | | |
| | | | Total Sweden | | | 30,703,300 | |
| | | | | | | | |
|
| | Switzerland — 9.4% | |
| | 455,465 | | | ABB Ltd., Class Registered Shares | | | 9,013,728 | |
| | 74,382 | | | Adecco Group AG, Class Registered Shares | | | 3,862,138 | |
| | 913,682 | | | Aryzta AG* | | | 1,043,203 | |
| | 1,395 | | | Baloise Holding AG, Class Registered Shares | | | 227,705 | |
| | 1,593 | | | Barry Callebaut AG, Class Registered Shares | | | 2,742,608 | |
| | 4,917 | | | Cembra Money Bank AG | | | 470,965 | |
| | 31 | | | Chocoladefabriken Lindt & Spruengli AG | | | 201,486 | |
| | 3 | | | Chocoladefabriken Lindt & Spruengli AG, Class Registered Shares | | | 221,762 | |
| | 142,680 | | | Cie Financiere Richemont SA, Class Registered Shares | | | 10,918,554 | |
| | 6,047 | | | Clariant AG, Class Registered Shares* | | | 129,773 | |
| | 43,446 | | | Coca-Cola HBC AG* | | | 1,462,585 | |
| | 73,044 | | | Credit Suisse Group AG, Class Registered Shares* | | | 901,955 | |
| | 927 | | | Dufry AG, Class Registered Shares* | | | 93,868 | |
| | 241 | | | EMS-Chemie Holding AG, Class Registered Shares | | | 139,139 | |
| | 30,230 | | | Ferguson PLC | | | 2,092,014 | |
| | 379 | | | Forbo Holding AG, Class Registered Shares | | | 541,716 | |
| | 1,087 | | | Geberit AG, Class Registered Shares | | | 433,513 | |
| | 811 | | | Georg Fischer AG, Class Registered Shares | | | 718,619 | |
| | 1,079 | | | Givaudan SA, Class Registered Shares | | | 2,696,579 | |
| | 330,972 | | | Glencore PLC* | | | 1,336,816 | |
See Notes to Financial Statements.
99
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | Switzerland — 9.4% — (continued) | |
| | 744 | | | Helvetia Holding AG, Class Registered Shares | | $ | 446,319 | |
| | 79,251 | | | Julius Baer Group Ltd.* | | | 3,454,714 | |
| | 1,521 | | | Kuehne + Nagel International AG, Class Registered Shares | | | 198,413 | |
| | 81,164 | | | LafargeHolcim Ltd., Class Registered Shares* | | | 4,010,666 | |
| | 40,091 | | | Logitech International SA, Class Registered Shares | | | 1,506,130 | |
| | 24,603 | | | Lonza Group AG, Class Registered Shares* | | | 6,836,115 | |
| | 179,062 | | | Nestlé SA, Class Registered Shares | | | 16,203,416 | |
| | 196,064 | | | Novartis AG, Class Registered Shares | | | 17,876,758 | |
| | 1,101 | | | Pargesa Holding SA | | | 90,409 | |
| | 503 | | | Partners Group Holding AG | | | 363,403 | |
| | 74,640 | | | Roche Holding AG | | | 20,729,832 | |
| | 12,396 | | | Schindler Holding AG | | | 2,800,146 | |
| | 597 | | | Schindler Holding AG, Class Registered Shares | | | 132,352 | |
| | 999 | | | SGS SA, Class Registered Shares | | | 2,544,651 | |
| | 1,079 | | | Siegfried Holding AG, Class Registered Shares* | | | 390,150 | |
| | 29,128 | | | Sika AG, Class Registered Shares | | | 3,935,975 | |
| | 1,619 | | | Sonova Holding AG, Class Registered Shares | | | 302,370 | |
| | 257,965 | | | STMicroelectronics NV | | | 4,212,106 | |
| | 1,344 | | | Straumann Holding AG, Class Registered Shares | | | 1,048,440 | |
| | 862 | | | Swatch Group AG (The) | | | 254,847 | |
| | 1,531 | | | Swatch Group AG (The), Class Registered Shares | | | 87,534 | |
| | 4,984 | | | Swiss Life Holding AG, Class Registered Shares* | | | 2,171,050 | |
| | 2,295 | | | Swiss Prime Site AG, Class Registered Shares* | | | 193,669 | |
| | 8,843 | | | Swiss Re AG | | | 875,149 | |
| | 737 | | | Swisscom AG, Class Registered Shares | | | 341,092 | |
| | 35,015 | | | Temenos AG, Class Registered Shares* | | | 5,072,274 | |
| | 639,934 | | | UBS Group AG, Class Registered Shares* | | | 8,129,995 | |
| | 29,397 | | | VAT Group AG*(c) | | | 3,054,912 | |
| | 1,343 | | | Vifor Pharma AG | | | 168,031 | |
| | 13,793 | | | Vontobel Holding AG, Class Registered Shares | | | 773,545 | |
| | 16,483 | | | Wizz Air Holdings PLC*(c) | | | 664,521 | |
| | 4,384 | | | Zurich Insurance Group AG | | | 1,448,882 | |
| | | | | | | | |
| | | | Total Switzerland | | | 149,566,592 | |
| | | | | | | | |
|
| | Taiwan — 0.3% | |
| | 143,042 | | | MediaTek Inc. | | | 1,267,545 | |
| | 3,822,881 | | | Shin Kong Financial Holding Co., Ltd. | | | 1,132,073 | |
| | 232,000 | | | Taiwan Semiconductor Manufacturing Co., Ltd. | | | 1,780,376 | |
| | | | | | | | |
| | | | Total Taiwan | | | 4,179,994 | |
| | | | | | | | |
|
| | Thailand — 0.2% | |
| | 1,197,800 | | | CP ALL PCL | | | 2,948,052 | |
| | | | | | | | |
|
| | Turkey — 0.1% | |
| | 806,277 | | | Akbank T.A.S. | | | 1,037,561 | |
| | 647,085 | | | Türkiye Garanti Bankasi AS | | | 1,081,182 | |
| | | | | | | | |
| | | | Total Turkey | | | 2,118,743 | |
| | | | | | | | |
|
| | United Arab Emirates — 0.0% | |
| | 3,087 | | | NMC Health PLC | | | 110,551 | |
| | | | | | | | |
|
| | United Kingdom — 16.7% | |
| | 28,584 | | | 3i Group PLC | | | 358,375 | |
| | 5,918 | | | Admiral Group PLC | | | 171,414 | |
| | 160,384 | | | Anglo American PLC | | | 4,268,937 | |
| | 125,795 | | | Ashmore Group PLC | | | 704,603 | |
| | 13,933 | | | Ashtead Group PLC | | | 369,801 | |
| | 9,983 | | | Associated British Foods PLC | | | 297,086 | |
See Notes to Financial Statements.
100
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | United Kingdom — 16.7% — (continued) | |
| | 139,078 | | | AstraZeneca PLC | | $ | 11,320,436 | |
| | 132,996 | | | Auto Trader Group PLC(c) | | | 839,909 | |
| | 15,589 | | | AVEVA Group PLC | | | 621,944 | |
| | 1,382,785 | | | Aviva PLC | | | 7,771,214 | |
| | 128,919 | | | B&M European Value Retail SA | | | 604,055 | |
| | 7,352 | | | Babcock International Group PLC | | | 52,710 | |
| | 92,309 | | | BAE Systems PLC | | | 571,089 | |
| | 664,580 | | | Balfour Beatty PLC | | | 2,541,256 | |
| | 3,833,500 | | | Barclays PLC | | | 8,357,979 | |
| | 28,520 | | | Barratt Developments PLC | | | 226,449 | |
| | 105,524 | | | Beazley PLC | | | 765,837 | |
| | 16,024 | | | Bellway PLC | | | 643,581 | |
| | 3,612 | | | Berkeley Group Holdings PLC | | | 189,116 | |
| | 2,149,593 | | | BP PLC | | | 15,221,221 | |
| | 265,091 | | | British American Tobacco PLC | | | 9,750,137 | |
| | 205,471 | | | British Land Co. PLC (The), REIT | | | 1,645,947 | |
| | 1,160,075 | | | BT Group PLC | | | 3,302,487 | |
| | 252,495 | | | Bunzl PLC | | | 7,943,827 | |
| | 78,758 | | | Burberry Group PLC | | | 1,972,249 | |
| | 213,144 | | | Cairn Energy PLC* | | | 574,133 | |
| | 1,606,373 | | | Centrica PLC | | | 2,650,918 | |
| | 238,574 | | | Cineworld Group PLC | | | 882,503 | |
| | 57,516 | | | Clinigen Group PLC | | | 728,770 | |
| | 28,666 | | | CNH Industrial NV | | | 310,020 | |
| | 408,331 | | | Coats Group PLC | | | 479,806 | |
| | 2,665,603 | | | Cobham PLC* | | | 4,162,846 | |
| | 6,194 | | | Coca-Cola European Partners PLC | | | 291,985 | |
| | 45,619 | | | Compass Group PLC | | | 1,007,193 | |
| | 43,519 | | | Computacenter PLC | | | 640,489 | |
| | 38,622 | | | ConvaTec Group PLC(c) | | | 67,913 | |
| | 83,580 | | | Costain Group PLC | | | 412,308 | |
| | 3,714 | | | Croda International PLC | | | 237,302 | |
| | 203,194 | | | Diageo PLC | | | 7,849,086 | |
| | 38,730 | | | Direct Line Insurance Group PLC | | | 183,363 | |
| | 442,656 | | | Domino’s Pizza Group PLC | | | 1,370,944 | |
| | 4,518 | | | easyJet PLC | | | 73,618 | |
| | 98,262 | | | Electrocomponents PLC | | | 721,292 | |
| | 26,614 | | | Experian PLC | | | 692,713 | |
| | 31,248 | | | Fiat Chrysler Automobiles NV* | | | 460,360 | |
| | 311,008 | | | FLEX LNG Ltd.* | | | 381,744 | |
| | 45,352 | | | G4S PLC | | | 126,366 | |
| | 311,450 | | | GlaxoSmithKline PLC | | | 6,197,220 | |
| | 24,884 | | | Hammerson PLC, REIT | | | 125,934 | |
| | 8,472 | | | Hargreaves Lansdown PLC | | | 195,631 | |
| | 303,274 | | | Hays PLC | | | 611,032 | |
| | 1,221,059 | | | HSBC Holdings PLC | | | 9,919,733 | |
| | 60,510 | | | Hunting PLC | | | 440,267 | |
| | 60,176 | | | IG Group Holdings PLC | | | 450,927 | |
| | 27,364 | | | Imperial Brands PLC | | | 911,938 | |
| | 37,310 | | | Informa PLC | | | 348,846 | |
| | 4,916 | | | InterContinental Hotels Group PLC | | | 294,387 | |
| | 62,427 | | | Intermediate Capital Group PLC | | | 868,972 | |
| | 244 | | | International Consolidated Airlines Group SA | | | 1,929 | |
| | 36,060 | | | Intertek Group PLC | | | 2,430,494 | |
| | 109,886 | | | ITV PLC | | | 190,974 | |
| | 757,459 | | | J Sainsbury PLC | | | 2,299,919 | |
See Notes to Financial Statements.
101
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | United Kingdom — 16.7% — (continued) | |
| | 219,549 | | | JD Sports Fashion PLC | | $ | 1,355,469 | |
| | 20,182 | | | John Wood Group PLC | | | 139,352 | |
| | 110,565 | | | Johnson Matthey PLC | | | 4,532,196 | |
| | 47,010 | | | Keller Group PLC | | | 330,800 | |
| | 734,766 | | | Kingfisher PLC | | | 2,357,789 | |
| | 141,384 | | | Land Securities Group PLC, REIT | | | 1,687,639 | |
| | 1,013,200 | | | Legal & General Group PLC | | | 3,768,653 | |
| | 53,938 | | | Linde PLC | | | 9,370,483 | |
| | 9,119,648 | | | Lloyds Banking Group PLC | | | 7,693,128 | |
| | 9,154 | | | London Stock Exchange Group PLC | | | 546,918 | |
| | 235,584 | | | LondonMetric Property PLC, REIT | | | 601,294 | |
| | 592,208 | | | Marks & Spencer Group PLC | | | 2,143,087 | |
| | 100,525 | | | Meggitt PLC | | | 718,548 | |
| | 975,551 | | | Melrose Industries PLC | | | 2,248,373 | |
| | 19,860 | | | Merlin Entertainments PLC(c) | | | 95,331 | |
| | 178,461 | | | Micro Focus International PLC | | | 4,435,721 | |
| | 10,643 | | | Mondi PLC | | | 244,389 | |
| | 151,129 | | | Moneysupermarket.com Group PLC | | | 690,572 | |
| | 147,797 | | | National Express Group PLC | | | 832,417 | |
| | 97,205 | | | National Grid PLC | | | 1,094,981 | |
| | 3,928 | | | Next PLC | | | 264,862 | |
| | 28,736 | | | Nomad Foods Ltd.* | | | 577,594 | |
| | 81,225 | | | Northgate PLC | | | 393,629 | |
| | 128,955 | | | Ocado Group PLC* | | | 1,768,411 | |
| | 105,286 | | | OneSavings Bank PLC | | | 547,697 | |
| | 23,324 | | | Pearson PLC | | | 261,604 | |
| | 8,761 | | | Persimmon PLC | | | 283,036 | |
| | 866,860 | | | Prudential PLC | | | 18,268,590 | |
| | 96,420 | | | Reckitt Benckiser Group PLC | | | 7,371,870 | |
| | 76,640 | | | Redrow PLC | | | 632,383 | |
| | 90,146 | | | RELX PLC | | | 2,068,739 | |
| | 10,759 | | | Rio Tinto Ltd. | | | 730,212 | |
| | 33,712 | | | Rio Tinto PLC | | | 1,941,349 | |
| | 508,228 | | | Rolls-Royce Holdings PLC* | | | 6,448,319 | |
| | 139,446 | | | Royal Bank of Scotland Group PLC | | | 491,106 | |
| | 27,343 | | | Royal Mail PLC | | | 102,513 | |
| | 28,856 | | | RSA Insurance Group PLC | | | 195,781 | |
| | 123,998 | | | Safestore Holdings PLC, REIT | | | 1,007,337 | |
| | 31,507 | | | Sage Group PLC (The) | | | 276,050 | |
| | 3,435 | | | Schroders PLC | | | 124,527 | |
| | 31,332 | | | Segro PLC, REIT | | | 274,594 | |
| | 6,857 | | | Severn Trent PLC | | | 183,698 | |
| | 184,827 | | | Smith & Nephew PLC | | | 3,523,851 | |
| | 11,147 | | | Smiths Group PLC | | | 211,747 | |
| | 18,078 | | | Spectris PLC | | | 633,251 | |
| | 419,743 | | | SSE PLC | | | 6,622,136 | |
| | 15,337 | | | St. James’s Place PLC | | | 198,068 | |
| | 470,032 | | | Standard Chartered PLC | | | 3,756,256 | |
| | 69,575 | | | Standard Life Aberdeen PLC | | | 227,561 | |
| | 160,211 | | | Stock Spirits Group PLC | | | 487,626 | |
| | 94,419 | | | Synthomer PLC | | | 476,120 | |
| | 110,138 | | | Tate & Lyle PLC | | | 1,014,796 | |
| | 96,694 | | | Taylor Wimpey PLC | | | 232,891 | |
| | 118,686 | | | TechnipFMC PLC | | | 2,616,194 | |
| | 279,250 | | | Tesco PLC | | | 836,607 | |
| | 44,333 | | | Unilever NV, Dutch Certificate | | | 2,397,856 | |
See Notes to Financial Statements.
102
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | United Kingdom — 16.7% — (continued) | |
| | 105,169 | | | Unilever PLC | | $ | 5,592,664 | |
| | 70,865 | | | UNITE Group PLC (The), REIT | | | 860,582 | |
| | 19,308 | | | United Utilities Group PLC | | | 215,303 | |
| | 95,024 | | | Vesuvius PLC | | | 765,382 | |
| | 3,201,603 | | | Vodafone Group PLC | | | 5,706,393 | |
| | 100,273 | | | Weir Group PLC (The) | | | 2,178,292 | |
| | 103,144 | | | Whitbread PLC | | | 6,636,528 | |
| | 63,039 | | | WM Morrison Supermarkets PLC | | | 192,480 | |
| | 36,611 | | | WPP PLC | | | 400,731 | |
| | | | | | | | |
| | | | Total United Kingdom | | | 264,989,890 | |
| | | | | | | | |
|
| | United States — 1.1% | |
| | 1,399 | | | Booking Holdings Inc.* | | | 2,374,159 | |
| | 67,950 | | | Carnival Corp. | | | 3,924,792 | |
| | 60,073 | | | Carnival PLC | | | 3,368,357 | |
| | 17,870 | | | EPAM Systems Inc.* | | | 2,891,009 | |
| | 1 | | | International Flavors & Fragrances Inc. | | | 92 | |
| | 405,000 | | | Nexteer Automotive Group Ltd. | | | 577,328 | |
| | 29,615 | | | Philip Morris International Inc. | | | 2,574,728 | |
| | 7,280 | | | ResMed Inc. | | | 745,690 | |
| | 581,100 | | | Samsonite International SA(c) | | | 1,744,894 | |
| | | | | | | | |
| | | | Total United States | | | 18,201,049 | |
| | | | | | | | |
| | | | TOTAL COMMON STOCKS
(Cost — $1,468,881,227) | | | 1,531,679,168 | |
| | | | | | | | |
|
| | PREFERRED STOCKS — 0.9% | |
|
| | Brazil — 0.1% | |
| | 66,102 | | | Telefonica Brasil SA, Class Preferred Shares | | | 823,492 | |
| | | | | | | | |
|
| | Germany — 0.8% | |
| | 1,701 | | | Bayerische Motoren Werke AG, Class Preferred Shares | | | 125,591 | |
| | 1,952 | | | FUCHS PETROLUB SE, Class Preferred Shares | | | 87,274 | |
| | 5,164 | | | Henkel AG & Co. KGaA, Class Preferred Shares | | | 515,972 | |
| | 4,293 | | | Porsche Automobil Holding SE, Class Preferred Shares | | | 286,173 | |
| | 957 | | | Sartorius AG, Class Preferred Shares | | | 151,718 | |
| | 70,990 | | | Volkswagen AG, Class Preferred Shares | | | 12,185,942 | |
| | | | | | | | |
| | | | Total Germany | | | 13,352,670 | |
| | | | | | | | |
| | | | TOTAL PREFERRED STOCKS
(Cost — $11,383,427) | | | 14,176,162 | |
| | | | | | | | |
|
| | CLOSED END MUTUAL FUND SECURITIES — 0.1% | |
|
| | United States — 0.1% | |
| | 4,000 | | | iShares Core MSCI EAFE ETF, Common Class | | | 241,160 | |
| | 45,088 | | | Vanguard FTSE Developed Markets ETF, Common Class | | | 1,839,590 | |
| | | | | | | | |
| | | | Total United States | | | 2,080,750 | |
| | | | | | | | |
| | | | TOTAL CLOSED END MUTUAL FUND SECURITIES
(Cost — $2,044,717) | | | 2,080,750 | |
| | | | | | | | |
| | | | TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS
(Cost — $1,482,309,371) | | | 1,547,936,080 | |
| | | | | | | | |
See Notes to Financial Statements.
103
| | | | | | | | |
| International Equity Fund | |
| | |
Face
Amount† | | | Security | | Value | |
|
| | SHORT-TERM INVESTMENTS (f) — 3.3% | |
|
| | MONEY MARKET FUND — 1.0% | |
| $ | 16,414,233 | | | Invesco STIT — Government & Agency Portfolio, 2.308%, Institutional Class(g)
(Cost — $16,414,233) | | $ | 16,414,233 | |
| | | | | | | | |
|
| | TIME DEPOSITS — 2.3% | |
| | 20,247,718 | | | Barclays Bank PLC — London, 1.750% due 3/1/19 | | | 20,247,718 | |
| | | | BBH — Grand Cayman: | | | | |
| | 182,078 | CHF | | (1.440)% due 3/1/19 | | | 182,406 | |
| | 84,917 | DKK | | (0.850)% due 3/1/19 | | | 12,945 | |
| | 4 | EUR | | (0.570)% due 3/1/19 | | | 5 | |
| | 313,385 | SEK | | (0.550)% due 3/1/19 | | | 33,929 | |
| | 80 | JPY | | (0.270)% due 3/1/19 | | | 1 | |
| | 105,067 | NOK | | 0.350% due 3/1/19 | | | 12,278 | |
| | 7,884 | GBP | | 0.360% due 3/1/19 | | | 10,455 | |
| | 311 | HKD | | 0.360% due 3/1/19 | | | 40 | |
| | 34,130 | NZD | | 0.650% due 3/1/19 | | | 23,244 | |
| | 280,739 | AUD | | 0.760% due 3/1/19 | | | 199,156 | |
| | 16 | SGD | | 0.800% due 3/1/19 | | | 11 | |
| | 2,278 | CAD | | 0.820% due 3/1/19 | | | 1,731 | |
| | 57 | ZAR | | 5.140% due 3/1/19 | | | 4 | |
| | | | Citibank — London: | | | | |
| | 508,007 | EUR | | (0.570)% due 3/1/19 | | | 577,807 | |
| | 173,877 | GBP | | 0.360% due 3/1/19 | | | 230,587 | |
| | 372,000 | HKD | | HSBC Bank — Hong Kong, 0.360% due 3/1/19 | | | 47,390 | |
| | 38,474 | SGD | | HSBC Bank — Singapore, 0.800% due 3/1/19 | | | 28,457 | |
| | 82,464 | | | JPMorgan Chase & Co. — New York, 1.750% due 3/1/19 | | | 82,464 | |
| | 14,327,264 | | | Sumitomo — Tokyo, 1.750% due 3/1/19 | | | 14,327,264 | |
| | 34,816,361 | JPY | | Sumitomo Mitsui Banking Corp. — Tokyo, (0.270)% due 3/1/19 | | | 312,352 | |
| | | | | | | | |
| | | | TOTAL TIME DEPOSITS
(Cost — $36,330,244) | | | 36,330,244 | |
| | | | | | | | |
| | | | TOTAL SHORT-TERM INVESTMENTS
(Cost — $52,744,477) | | | 52,744,477 | |
| | | | | | | | |
| | | | TOTAL INVESTMENTS — 100.6%
(Cost — $1,535,053,848) | | | 1,600,680,557 | |
| | | | | | | | |
| | | | Liabilities in Excess of Other Assets — (0.6)% | | | (10,135,117 | ) |
| | | | | | | | |
| | | | TOTAL NET ASSETS — 100.0% | | $ | 1,590,545,440 | |
| | | | | | | | |
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
| * | Non-income producing security. |
| (a) | All or a portion of this security is on loan (See Note 1). |
| (b) | Security trades on the Hong Kong exchange. |
| (c) | Restricted security that may be sold to “qualified institutional buyers” pursuant to the conditions of Rule 144A under the Securities Act of 1933, as amended. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees, unless otherwise noted. The aggregate value of restricted 144A holdings at February 28, 2019 amounts to approximately $26,383,411 and represents 1.7% of net assets. |
| (d) | Security is valued in good faith at fair value by or under the direction of the Board of Trustees. |
| (f) | Inclusive of all short-term holdings, including collateral received from securities lending activities. Excluding such collateral, the percentage of portfolio holdings would be 2.3%. |
| (g) | Represents investment of collateral received from securities lending transactions. |
See Notes to Financial Statements.
104
| | | | |
| International Equity Fund |
At February 28, 2019, for International Equity Fund the aggregate cost of investments, the aggregate gross unrealized appreciation and depreciation of all investments for federal income tax purposes were as follows:
| | | | | | | | | | | | | | | | |
| Fund | | Aggregate Cost for
Federal Income
Tax Purposes | | | Gross Unrealized
Appreciation | | | Gross Unrealized
Depreciation | | | Net Unrealized
Appreciation | |
International Equity Fund | | $ | 1,535,053,848 | | | $ | 208,950,522 | | | $ | (143,218,972 | ) | | $ | 65,731,550 | |
| | |
Abbreviations used in this schedule: |
| ADR | | — American Depositary Receipts |
| CDI | | — Clearing House Electronics System (CHESS) Depositary Interest |
| GDR | | — Global Depositary Receipt |
| PCL | | — Public Company Limited |
| PLC | | — Public Limited Company |
| REIT | | — Real Estate Investment Trust |
| | | | |
| Summary of Investments by Security Sector^ | | | |
Financials | | | 17.7 | % |
Industrials | | | 15.1 | |
Consumer Discretionary | | | 12.3 | |
Health Care | | | 9.9 | |
Information Technology | | | 9.1 | |
Consumer Staples | | | 7.6 | |
Materials | | | 7.5 | |
Communication Services | | | 6.9 | |
Energy | | | 6.1 | |
Real Estate | | | 2.3 | |
Utilities | | | 2.2 | |
Short-Term Investments | | | 3.3 | |
| | | | |
| | | 100.0 | % |
| | | | |
| ^ | As a percentage of total investments. |
At February 28, 2019, International Equity Fund had open exchange-traded futures contracts as described below.
The unrealized appreciation on the open contracts reflected in the accompanying financial statements were as follows:
| | | | | | | | | | | | | | | | | | | | |
| Open Futures Contracts | | Number of
Contracts | | | Expiration
Date
(Month/Year) | | | Notional
Amount | | | Market Value | | | Unrealized
Appreciation | |
| Contracts to Buy: | | | | | | | | | | | | | | | | | | | | |
Euro STOXX 50 March Futures | | | 21 | | | | 3/19 | | | $ | 740,093 | | | $ | 787,741 | | | $ | 47,648 | |
FTSE 100 Index March Futures | | | 5 | | | | 3/19 | | | | 457,021 | | | | 469,159 | | | | 12,138 | |
SPI 200 Index March Futures | | | 2 | | | | 3/19 | | | | 204,696 | | | | 218,105 | | | | 13,409 | |
TOPIX Index March Futures | | | 3 | | | | 3/19 | | | | 400,597 | | | | 432,243 | | | | 31,646 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | 104,841 | |
| | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
105
| | | | | | |
| International Equity Fund |
At February 28, 2019, International Equity Fund had deposited cash of $122,693 with a broker or brokers as margin collateral on an open exchange-traded futures contracts.
| | |
Currency Abbreviations used in this schedule: |
| AUD | | — Australian Dollar |
| CAD | | — Canadian Dollar |
| CHF | | — Swiss Franc |
| DKK | | — Danish Krone |
| EUR | | — Euro |
| GBP | | — British Pound |
| HKD | | — Hong Kong Dollar |
| JPY | | — Japanese Yen |
| NOK | | — Norwegian Krone |
| NZD | | — New Zealand Dollar |
| SEK | | — Swedish Krona |
| SGD | | — Singapore Dollar |
| ZAR | | — South African Rand |
See Notes to Financial Statements.
106
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | COMMON STOCKS — 94.9% | |
|
| | Argentina — 0.6% | |
| | 87,830 | | | Grupo Supervielle SA, ADR(a) | | $ | 783,443 | |
| | 173,933 | | | YPF SA, ADR | | | 2,459,413 | |
| | | | | | | | |
| | | | Total Argentina | | | 3,242,856 | |
| | | | | | | | |
|
| | Australia — 0.0% | |
| | 100,000 | | | MMG Ltd.* | | | 47,429 | |
| | | | | | | | |
|
| | Brazil — 6.2% | |
| | 144,760 | | | Ambev SA | | | 664,088 | |
| | 407,471 | | | Ambev SA, ADR | | | 1,845,844 | |
| | 11,300 | | | Atacadao Distribuicao Comercio e Industria Ltd. | | | 58,729 | |
| | 5,445 | | | B2W Cia Digital* | | | 70,095 | |
| | 63,852 | | | B3 SA — Brasil Bolsa Balcao | | | 557,452 | |
| | 30,793 | | | Banco Bradesco SA | | | 315,895 | |
| | 477,604 | | | Banco do Brasil SA | | | 6,434,432 | |
| | 12,695 | | | Banco Santander Brasil SA | | | 151,900 | |
| | 354,470 | | | BB Seguridade Participações SA | | | 2,576,522 | |
| | 24,103 | | | BR Malls Participações SA | | | 85,930 | |
| | 15,060 | | | BRF SA* | | | 82,480 | |
| | 672,689 | | | CCR SA | | | 2,548,655 | |
| | 8,618 | | | Centrais Eletricas Brasileiras SA* | | | 84,853 | |
| | 11,443 | | | Cia de Saneamento Basico do Estado de Sao Paulo | | | 119,888 | |
| | 21,460 | | | Cia Siderurgica Nacional SA* | | | 74,736 | |
| | 717,206 | | | Cielo SA | | | 2,075,703 | |
| | 4,551 | | | Cosan SA | | | 52,952 | |
| | 20,394 | | | Embraer SA | | | 103,603 | |
| | 7,836 | | | Engie Brasil Energia SA | | | 85,877 | |
| | 5,810 | | | Equatorial Energia SA | | | 127,049 | |
| | 390,750 | | | Fleury SA | | | 2,080,754 | |
| | 10,696 | | | Hypera SA | | | 76,606 | |
| | 626,300 | | | International Meal Co. Alimentacao SA | | | 1,030,535 | |
| | 3,584 | | | IRB Brasil Resseguros SA | | | 84,928 | |
| | 27,887 | | | JBS SA | | | 99,717 | |
| | 21,853 | | | Klabin SA | | | 104,964 | |
| | 43,404 | | | Kroton Educacional SA | | | 126,773 | |
| | 17,560 | | | Localiza Rent a Car SA | | | 161,534 | |
| | 22,124 | | | Lojas Renner SA | | | 254,943 | |
| | 3,542 | | | M Dias Branco SA | | | 44,305 | |
| | 2,363 | | | Magazine Luiza SA | | | 109,133 | |
| | 1,026,300 | | | Movida Participacoes SA | | | 3,169,743 | |
| | 9,984 | | | Multiplan Empreendimentos Imobiliarios SA | | | 66,908 | |
| | 6,511 | | | Natura Cosméticos SA | | | 83,870 | |
| | 10,040 | | | Petrobras Distribuidora SA | | | 65,359 | |
| | 91,891 | | | Petroleo Brasileiro SA | | | 730,558 | |
| | 2,900 | | | Porto Seguro SA | | | 43,270 | |
| | 6,804 | | | Raia Drogasil SA | | | 118,495 | |
| | 273,578 | | | Rumo SA* | | | 1,417,476 | |
| | 80,450 | | | Smiles Fidelidade SA | | | 1,028,156 | |
| | 6,278 | | | Sul America SA | | | 50,814 | |
| | 16,700 | | | Suzano Papel e Celulose SA | | | 211,915 | |
| | 26,912 | | | TIM Participações SA | | | 84,694 | |
| | 11,499 | | | Ultrapar Participações SA | | | 163,521 | |
| | 97,312 | | | Vale SA | | | 1,220,335 | |
| | 26,520 | | | WEG SA | | | 130,063 | |
| | | | | | | | |
| | | | Total Brazil | | | 30,876,052 | |
| | | | | | | | |
See Notes to Financial Statements.
107
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | Chile — 0.3% | |
| | 65,824 | | | Aguas Andinas SA, Class A Shares | | $ | 38,541 | |
| | 894,926 | | | Banco de Chile | | | 142,067 | |
| | 1,711 | | | Banco de Credito e Inversiones SA | | | 116,987 | |
| | 2,157,547 | | | Banco Santander Chile | | | 172,058 | |
| | 40,976 | | | Cencosud SA | | | 76,288 | |
| | 5,277 | | | Cia Cervecerias Unidas SA | | | 74,630 | |
| | 199,393 | | | Colbun SA | | | 46,061 | |
| | 3,852 | | | Empresa Nacional de Telecomunicaciones SA | | | 40,527 | |
| | 38,669 | | | Empresas CMPC SA | | | 145,048 | |
| | 12,701 | | | Empresas COPEC SA | | | 172,361 | |
| | 817,590 | | | Enel Americas SA | | | 142,119 | |
| | 896,436 | | | Enel Chile SA | | | 94,055 | |
| | 3,934,534 | | | Itau CorpBanca | | | 37,256 | |
| | 10,517 | | | Latam Airlines Group SA | | | 122,197 | |
| | 22,147 | | | SACI Falabella | | | 172,259 | |
| | | | | | | | |
| | | | Total Chile | | | 1,592,454 | |
| | | | | | | | |
|
| | China — 24.9% | |
| | 44,000 | | | 3SBio Inc.(b) | | | 72,562 | |
| | 838 | | | 51job Inc., ADR* | | | 60,554 | |
| | 3,025 | | | 58.com Inc., ADR* | | | 220,553 | |
| | 229,263 | | | AAC Technologies Holdings Inc. | | | 1,358,456 | |
| | 44,000 | | | Agile Group Holdings Ltd. | | | 55,369 | |
| | 36,200 | | | Agricultural Bank of China Ltd., Class A Shares | | | 20,558 | |
| | 883,000 | | | Agricultural Bank of China Ltd., Class H Shares(c) | | | 422,440 | |
| | 60,000 | | | Air China Ltd., Class H Shares(c) | | | 65,220 | |
| | 104,611 | | | Alibaba Group Holding Ltd., ADR* | | | 19,146,951 | |
| | 1,708,000 | | | A-Living Services Co., Ltd., (Restricted, cost — $2,566,564, acquired 4/16/18), Class H Shares*(b)(c)(d) | | | 2,692,564 | |
| | 120,000 | | | Aluminum Corp. of China Ltd., Class H Shares*(c) | | | 49,141 | |
| | 32,000 | | | Angang Steel Co., Ltd., Class H Shares(c) | | | 23,759 | |
| | 3,000 | | | Anhui Conch Cement Co., Ltd., Class A Shares | | | 15,927 | |
| | 405,337 | | | Anhui Conch Cement Co., Ltd., Class H Shares(c) | | | 2,337,300 | |
| | 291,000 | | | ANTA Sports Products Ltd. | | | 1,702,335 | |
| | 1,812 | | | Autohome Inc., ADR*(a) | | | 170,419 | |
| | 67,000 | | | AviChina Industry & Technology Co., Ltd., Class H Shares(c) | | | 47,622 | |
| | 50,500 | | | BAIC Motor Corp., Ltd., Class H Shares(b)(c) | | | 32,062 | |
| | 19,874 | | | Baidu Inc., ADR* | | | 3,230,320 | |
| | 19,200 | | | Bank of Beijing Co., Ltd., Class A Shares | | | 18,370 | |
| | 31,230 | | | Bank of China Ltd., Class A Shares | | | 17,918 | |
| | 2,419,000 | | | Bank of China Ltd., Class H Shares(c) | | | 1,126,689 | |
| | 39,800 | | | Bank of Communications Co., Ltd., Class A Shares | | | 37,955 | |
| | 241,000 | | | Bank of Communications Co., Ltd., Class H Shares(c) | | | 202,191 | |
| | 6,800 | | | Bank of Ningbo Co., Ltd., Class A Shares | | | 19,617 | |
| | 9,800 | | | Bank of Shanghai Co., Ltd., Class A Shares | | | 17,958 | |
| | 13,484 | | | Baoshan Iron & Steel Co., Ltd., Class A Shares | | | 15,125 | |
| | 86,927 | | | Baozun Inc., ADR*(a) | | | 3,255,416 | |
| | 67,000 | | | BBMG Corp., Class H Shares(c) | | | 24,598 | |
| | 54,000 | | | Beijing Capital International Airport Co., Ltd., Class H Shares(c) | | | 53,996 | |
| | 30,800 | | | BOE Technology Group Co., Ltd., Class A Shares | | | 18,755 | |
| | 2,500 | | | BYD Co., Ltd., Class A Shares | | | 20,382 | |
| | 18,500 | | | BYD Co., Ltd., Class H Shares(c) | | | 118,138 | |
| | 19,500 | | | BYD Electronic International Co., Ltd. | | | 24,869 | |
| | 22,000 | | | CAR Inc.* | | | 19,326 | |
| | 311,000 | | | CGN Power Co., Ltd., Class H Shares(b)(c) | | | 81,951 | |
| | 255,000 | | | China Cinda Asset Management Co., Ltd., Class H Shares(c) | | | 74,316 | |
| | 276,000 | | | China CITIC Bank Corp., Ltd., Class H Shares(c) | | | 179,168 | |
See Notes to Financial Statements.
108
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | China — 24.9% — (continued) | |
| | 59,000 | | | China Coal Energy Co., Ltd., Class H Shares(c) | | $ | 25,614 | |
| | 137,000 | | | China Communications Construction Co., Ltd., Class H Shares(c) | | | 147,454 | |
| | 82,000 | | | China Communications Services Corp., Ltd., Class H Shares(c) | | | 82,485 | |
| | 51,500 | | | China Conch Venture Holdings Ltd. | | | 172,479 | |
| | 11,132,380 | | | China Construction Bank Corp., Class H Shares(c) | | | 9,885,578 | |
| | 40,000 | | | China Eastern Airlines Corp., Ltd., Class H Shares(c) | | | 25,692 | |
| | 30,812 | | | China Everbright Bank Co., Ltd., Class A Shares | | | 19,415 | |
| | 79,000 | | | China Everbright Bank Co., Ltd., Class H Shares(c) | | | 37,917 | |
| | 82,000 | | | China Evergrande Group | | | 252,832 | |
| | 91,000 | | | China Galaxy Securities Co., Ltd., Class H Shares(c) | | | 62,307 | |
| | 68,500 | | | China Hongqiao Group Ltd. | | | 45,952 | |
| | 286,000 | | | China Huarong Asset Management Co., Ltd., Class H Shares(b)(c) | | | 65,481 | |
| | 102,000 | | | China Huishan Dairy Holdings Co., Ltd.*#(e) | | | 260 | |
| | 32,000 | | | China International Capital Corp., Ltd., Class H Shares(b)(c) | | | 74,208 | |
| | 1,836 | | | China International Travel Service Corp., Ltd., Class A Shares | | | 17,522 | |
| | 230,000 | | | China Life Insurance Co., Ltd., Class H Shares(c) | | | 634,921 | |
| | 7,600 | | | China Literature Ltd.*(a)(b) | | | 36,285 | |
| | 98,000 | | | China Longyuan Power Group Corp., Ltd., Class H Shares(c) | | | 73,128 | |
| | 2,490,000 | | | China Maple Leaf Educational Systems Ltd. | | | 1,125,353 | |
| | 41,000 | | | China Medical System Holdings Ltd. | | | 43,178 | |
| | 9,300 | | | China Merchants Bank Co., Ltd., Class A Shares | | | 43,901 | |
| | 266,000 | | | China Merchants Bank Co., Ltd., Class H Shares(c) | | | 1,217,480 | |
| | 6,420 | | | China Merchants Shekou Industrial Zone Holdings Co., Ltd., Class A Shares | | | 20,373 | |
| | 37,320 | | | China Minsheng Banking Corp., Ltd., Class A Shares | | | 36,436 | |
| | 184,200 | | | China Minsheng Banking Corp., Ltd., Class H Shares(c) | | | 142,637 | |
| | 26,600 | | | China Molybdenum Co., Ltd., Class A Shares | | | 18,951 | |
| | 108,000 | | | China Molybdenum Co., Ltd., Class H Shares(c) | | | 51,523 | |
| | 114,000 | | | China National Building Material Co., Ltd., Class H Shares(c) | | | 90,859 | |
| | 18,900 | | | China National Nuclear Power Co., Ltd., Class A Shares | | | 16,916 | |
| | 50,000 | | | China Oilfield Services Ltd., Class H Shares(c) | | | 49,622 | |
| | 34,000 | | | China Oriental Group Co., Ltd. | | | 22,898 | |
| | 3,300 | | | China Pacific Insurance Group Co., Ltd., Class A Shares | | | 16,689 | |
| | 81,000 | | | China Pacific Insurance Group Co., Ltd., Class H Shares(c) | | | 304,408 | |
| | 16,700 | | | China Petroleum & Chemical Corp., Class A Shares | | | 14,962 | |
| | 782,000 | | | China Petroleum & Chemical Corp., Class H Shares(c) | | | 674,836 | |
| | 10,299 | | | China Railway Construction Corp., Ltd., Class A Shares | | | 17,570 | |
| | 60,500 | | | China Railway Construction Corp., Ltd., Class H Shares(c) | | | 87,134 | |
| | 118,000 | | | China Railway Group Ltd., Class H Shares(c) | | | 116,812 | |
| | 42,000 | | | China Railway Signal & Communication Corp., Ltd., Class H Shares(b)(c) | | | 34,829 | |
| | 193,000 | | | China Reinsurance Group Corp., Class H Shares(c) | | | 44,559 | |
| | 54,000 | | | China Resources Pharmaceutical Group Ltd.(b) | | | 72,297 | |
| | 6,299 | | | China Shenhua Energy Co., Ltd., Class A Shares | | | 19,260 | |
| | 693,500 | | | China Shenhua Energy Co., Ltd., Class H Shares(c) | | | 1,720,847 | |
| | 68,000 | | | China Southern Airlines Co., Ltd., Class H Shares(c) | | | 55,220 | |
| | 16,940 | | | China State Construction Engineering Corp., Ltd., Class A Shares | | | 15,588 | |
| | 424,000 | | | China Telecom Corp., Ltd., Class H Shares(c) | | | 230,043 | |
| | 1,214,000 | | | China Tower Corp. Ltd., Class H Shares*(b)(c) | | | 288,507 | |
| | 19,200 | | | China United Network Communications Ltd., Class A Shares | | | 18,464 | |
| | 3,900 | | | China Vanke Co., Ltd., Class A Shares | | | 16,344 | |
| | 39,500 | | | China Vanke Co., Ltd., Class H Shares(c) | | | 149,631 | |
| | 14,500 | | | China Yangtze Power Co., Ltd., Class A Shares | | | 35,219 | |
| | 1,401,600 | | | China ZhengTong Auto Services Holdings Ltd. | | | 856,029 | |
| | 44,800 | | | China Zhongwang Holdings Ltd. | | | 23,800 | |
| | 83,000 | | | Chongqing Rural Commercial Bank Co., Ltd., Class H Shares(c) | | | 51,856 | |
| | 98,000 | | | CIFI Holdings Group Co., Ltd. | | | 64,272 | |
| | 7,200 | | | CITIC Securities Co., Ltd., Class A Shares | | | 25,264 | |
See Notes to Financial Statements.
109
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | China — 24.9% — (continued) | |
| | 70,500 | | | CITIC Securities Co., Ltd., Class H Shares(c) | | $ | 170,984 | |
| | 1,589,442 | | | CNOOC Ltd. | | | 2,732,754 | |
| | 36,000 | | | COSCO SHIPPING Energy Transportation Co., Ltd., Class H Shares(c) | | | 21,198 | |
| | 69,000 | | | COSCO SHIPPING Holdings Co., Ltd., Class H Shares*(c) | | | 30,080 | |
| | 231,000 | | | Country Garden Holdings Co., Ltd. | | | 303,492 | |
| | 40,000 | | | Country Garden Services Holdings Co., Ltd.* | | | 65,718 | |
| | 13,399 | | | CRRC Corp., Ltd., Class A Shares | | | 18,884 | |
| | 129,000 | | | CRRC Corp., Ltd., Class H Shares(c) | | | 135,779 | |
| | 140,000 | | | CSPC Pharmaceutical Group Ltd. | | | 238,350 | |
| | 12,921 | | | Ctrip.com International Ltd., ADR* | | | 440,994 | |
| | 59,000 | | | Dali Foods Group Co., Ltd.(b) | | | 40,191 | |
| | 12,199 | | | Daqin Railway Co., Ltd., Class A Shares | | | 16,276 | |
| | 88,000 | | | Datang International Power Generation Co., Ltd., Class H Shares(c) | | | 24,453 | |
| | 86,000 | | | Dongfeng Motor Group Co., Ltd., Class H Shares(c) | | | 91,373 | |
| | 182,400 | | | ENN Energy Holdings Ltd. | | | 1,880,332 | |
| | 11,900 | | | Focus Media Information Technology Co., Ltd., Class A Shares | | | 11,903 | |
| | 1,600 | | | Foshan Haitian Flavouring & Food Co., Ltd., Class A Shares | | | 18,382 | |
| | 84,500 | | | Fosun International Ltd. | | | 139,831 | |
| | 3,252,300 | | | Fu Shou Yuan International Group Ltd. | | | 2,849,652 | |
| | 56,000 | | | Future Land Development Holdings Ltd. | | | 48,519 | |
| | 17,600 | | | Fuyao Glass Industry Group Co., Ltd., Class H Shares(b)(c) | | | 63,269 | |
| | 1,684 | | | GDS Holdings Ltd., ADR* | | | 56,027 | |
| | 156,000 | | | Geely Automobile Holdings Ltd. | | | 294,498 | |
| | 26,000 | | | Genscript Biotech Corp.* | | | 48,471 | |
| | 8,200 | | | GF Securities Co., Ltd., Class A Shares | | | 20,181 | |
| | 45,200 | | | GF Securities Co., Ltd., Class H Shares(c) | | | 76,076 | |
| | 313,000 | | | GOME Retail Holdings Ltd.* | | | 28,321 | |
| | 93,000 | | | Great Wall Motor Co., Ltd., Class H Shares(c) | | | 68,461 | |
| | 2,799 | | | Gree Electric Appliances Inc of Zhuhai, Class A Shares | | | 18,659 | |
| | 21,500 | | | Greentown China Holdings Ltd. | | | 18,342 | |
| | 32,000 | | | Greentown Service Group Co., Ltd. | | | 29,279 | |
| | 84,000 | | | Guangzhou Automobile Group Co., Ltd., Class H Shares(c) | | | 103,076 | |
| | 34,000 | | | Guangzhou R&F Properties Co., Ltd., Class H Shares(c) | | | 63,452 | |
| | 7,400 | | | Guotai Junan Securities Co., Ltd., Class A Shares | | | 21,605 | |
| | 17,200 | | | Guotai Junan Securities Co., Ltd., Class H Shares(b)(c) | | | 38,314 | |
| | 24,000 | | | Haitian International Holdings Ltd. | | | 52,396 | |
| | 103,200 | | | Haitong Securities Co., Ltd., Class H Shares(c) | | | 136,705 | |
| | 6,100 | | | Hangzhou Hikvision Digital Technology Co., Ltd., Class A Shares | | | 31,232 | |
| | 246,000 | | | Hengan International Group Co., Ltd. | | | 1,987,241 | |
| | 564,000 | | | HengTen Networks Group Ltd.* | | | 20,106 | |
| | 14,000 | | | Hua Hong Semiconductor Ltd.(b) | | | 33,008 | |
| | 46,000 | | | Huadian Power International Corp., Ltd., Class H Shares(c) | | | 20,167 | |
| | 136,000 | | | Huaneng Power International Inc., Class H Shares(c) | | | 83,894 | |
| | 140,000 | | | Huaneng Renewables Corp., Ltd., Class H Shares(c) | | | 42,788 | |
| | 7,200 | | | Huatai Securities Co., Ltd., Class A Shares | | | 24,798 | |
| | 48,200 | | | Huatai Securities Co., Ltd., Class H Shares(b)(c) | | | 97,745 | |
| | 14,900 | | | Huaxia Bank Co., Ltd., Class A Shares | | | 18,528 | |
| | 57,218 | | | Huazhu Group Ltd., ADR | | | 2,006,635 | |
| | 45,000 | | | Industrial & Commercial Bank of China Ltd., Class A Shares | | | 38,680 | |
| | 2,114,000 | | | Industrial & Commercial Bank of China Ltd., Class H Shares(c) | | | 1,624,398 | |
| | 15,200 | | | Industrial Bank Co., Ltd., Class A Shares | | | 40,425 | |
| | 4,200 | | | Inner Mongolia Yili Industrial Group Co., Ltd., Class A Shares | | | 17,001 | |
| | 40,100 | | | Inner Mongolia Yitai Coal Co., Ltd., Class B Shares | | | 49,573 | |
| | 3,819 | | | iQIYI Inc., ADR* | | | 103,724 | |
| | 22,485 | | | JD.com Inc., ADR* | | | 623,059 | |
| | 30,000 | | | Jiangsu Expressway Co., Ltd., Class H Shares(c) | | | 41,412 | |
See Notes to Financial Statements.
110
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | China — 24.9% — (continued) | |
| | 1,700 | | | Jiangsu Hengrui Medicine Co., Ltd., Class A Shares | | $ | 18,256 | |
| | 800 | | | Jiangsu Yanghe Brewery Joint-Stock Co., Ltd., Class A Shares | | | 13,301 | |
| | 48,000 | | | Jiangxi Copper Co., Ltd., Class H Shares(c) | | | 65,501 | |
| | 92,000 | | | Kaisa Group Holdings Ltd. | | | 33,018 | |
| | 5,400 | | | Kangmei Pharmaceutical Co., Ltd., Class A Shares | | | 8,579 | |
| | 81,000 | | | Kingdee International Software Group Co., Ltd. | | | 87,463 | |
| | 27,000 | | | Kingsoft Corp., Ltd. | | | 52,360 | |
| | 31,164 | | | Kweichow Moutai Co., Ltd., Class A Shares | | | 3,520,719 | |
| | 39,000 | | | KWG Group Holdings Ltd. | | | 36,596 | |
| | 15,300 | | | Legend Holdings Corp., Class H Shares(b)(c) | | | 42,546 | |
| | 224,000 | | | Lenovo Group Ltd. | | | 202,617 | |
| | 42,000 | | | Logan Property Holdings Co., Ltd. | | | 60,077 | |
| | 44,000 | | | Longfor Group Holdings Ltd. | | | 130,684 | |
| | 46,500 | | | Luye Pharma Group Ltd.(b) | | | 34,638 | |
| | 52,000 | | | Maanshan Iron & Steel Co., Ltd., Class H Shares(c) | | | 24,905 | |
| | 51,500 | | | Meitu Inc.*(b) | | | 21,018 | |
| | 10,400 | | | Meituan Dianping, Class B Shares* | | | 80,478 | |
| | 82,000 | | | Metallurgical Corp. of China Ltd., Class H Shares(c) | | | 24,061 | |
| | 4,700 | | | Midea Group Co., Ltd., Class A Shares | | | 33,371 | |
| | 4,463 | | | Momo Inc., ADR* | | | 148,038 | |
| | 21,458 | | | NetEase Inc., ADR | | | 4,789,855 | |
| | 2,400 | | | New China Life Insurance Co., Ltd., Class A Shares | | | 18,008 | |
| | 25,700 | | | New China Life Insurance Co., Ltd., Class H Shares(c) | | | 125,099 | |
| | 4,321 | | | New Oriental Education & Technology Group Inc., ADR* | | | 354,581 | |
| | 897 | | | Noah Holdings Ltd., ADR* | | | 51,802 | |
| | 231,000 | | | People’s Insurance Co. Group of China Ltd., Class H Shares(c) | | | 104,594 | |
| | 656,000 | | | PetroChina Co., Ltd., Class H Shares(c) | | | 433,174 | |
| | 218,000 | | | PICC Property & Casualty Co., Ltd., Class H Shares(c) | | | 260,712 | |
| | 5,820 | | | Pinduoduo Inc., ADR* | | | 174,251 | |
| | 11,700 | | | Ping An Bank Co., Ltd., Class A Shares | | | 21,636 | |
| | 5,700 | | | Ping An Insurance Group Co. of China Ltd., Class A Shares | | | 59,357 | |
| | 1,043,500 | | | Ping An Insurance Group Co. of China Ltd., Class H Shares(c) | | | 10,971,568 | |
| | 9,700 | | | Poly Developments & Holdings Group Co., Ltd., Class A Shares | | | 19,183 | |
| | 230,000 | | | Postal Savings Bank of China Co., Ltd., Class H Shares(b)(c) | | | 138,380 | |
| | 7,300 | | | Qingdao Haier Co., Ltd., Class A Shares | | | 17,877 | |
| | 7,100 | | | SAIC Motor Corp., Ltd., Class A Shares | | | 29,941 | |
| | 90,200 | | | Semiconductor Manufacturing International Corp.* | | | 91,156 | |
| | 68,000 | | | Shandong Weigao Group Medical Polymer Co., Ltd., Class H Shares(c) | | | 59,004 | |
| | 72,000 | | | Shanghai Electric Group Co., Ltd., Class H Shares(c) | | | 26,741 | |
| | 17,000 | | | Shanghai Fosun Pharmaceutical Group Co., Ltd., Class H Shares(c) | | | 60,149 | |
| | 23,100 | | | Shanghai Lujiazui Finance & Trade Zone Development Co., Ltd., Class B Shares | | | 32,672 | |
| | 29,000 | | | Shanghai Pharmaceuticals Holding Co., Ltd., Class H Shares(c) | | | 65,077 | |
| | 22,400 | | | Shanghai Pudong Development Bank Co., Ltd., Class A Shares | | | 39,172 | |
| | 24,800 | | | Shenwan Hongyuan Group Co., Ltd., Class A Shares | | | 20,392 | |
| | 120,600 | | | Shenzhou International Group Holdings Ltd. | | | 1,502,547 | |
| | 104,000 | | | Shui On Land Ltd. | | | 25,977 | |
| | 96,000 | | | Sihuan Pharmaceutical Holdings Group Ltd. | | | 20,067 | |
| | 27,000 | | | Silergy Corp. | | | 483,998 | |
| | 1,871 | | | SINA Corp.* | | | 126,049 | |
| | 106,000 | | | Sino-Ocean Group Holding Ltd. | | | 49,482 | |
| | 37,500 | | | Sinopec Engineering Group Co., Ltd., Class H Shares(c) | | | 34,110 | |
| | 88,000 | | | Sinopec Shanghai Petrochemical Co., Ltd., Class H Shares(c) | | | 44,573 | |
| | 37,200 | | | Sinopharm Group Co., Ltd., Class H Shares(c) | | | 166,171 | |
| | 58,000 | | | Sinotrans Ltd., Class H Shares(c) | | | 27,220 | |
| | 20,000 | | | Sinotruk Hong Kong Ltd. | | | 36,492 | |
| | 52,500 | | | SOHO China Ltd.* | | | 22,421 | |
See Notes to Financial Statements.
111
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | China — 24.9% — (continued) | |
| | 74,000 | | | Sunac China Holdings Ltd. | | $ | 308,997 | |
| | 9,100 | | | Suning.com Co., Ltd., Class A Shares | | | 16,624 | |
| | 22,200 | | | Sunny Optical Technology Group Co., Ltd. | | | 262,141 | |
| | 10,910 | | | TAL Education Group, ADR* | | | 388,396 | |
| | 409,631 | | | Tencent Holdings Ltd. | | | 17,479,347 | |
| | 2,671 | | | Tencent Music Entertainment Group, ADR* | | | 48,131 | |
| | 60,000 | | | Tingyi Cayman Islands Holding Corp. | | | 83,192 | |
| | 16,000 | | | Tong Ren Tang Technologies Co., Ltd., Class H Shares(c) | | | 20,962 | |
| | 30,000 | | | TravelSky Technology Ltd., Class H Shares(c) | | | 86,995 | |
| | 14,000 | | | Tsingtao Brewery Co., Ltd., Class H Shares(c) | | | 59,562 | |
| | 37,000 | | | Uni-President China Holdings Ltd. | | | 32,913 | |
| | 12,308 | | | Vipshop Holdings Ltd., ADR* | | | 88,371 | |
| | 149,000 | | | Want Want China Holdings Ltd. | | | 119,970 | |
| | 1,770 | | | Weibo Corp., ADR* | | | 127,883 | |
| | 1,983,200 | | | Weichai Power Co., Ltd., Class H Shares(c) | | | 2,766,772 | |
| | 1,400 | | | Wuliangye Yibin Co., Ltd., Class A Shares | | | 14,981 | |
| | 15,000 | | | Wuxi Biologics Cayman Inc.*(b) | | | 141,915 | |
| | 106,200 | | �� | Xiaomi Corp., Class B Shares*(b) | | | 161,807 | |
| | 17,800 | | | Xinjiang Goldwind Science & Technology Co., Ltd., Class H Shares(c) | | | 20,420 | |
| | 86,000 | | | Xinyi Solar Holdings Ltd. | | | 42,402 | |
| | 58,000 | | | Yanzhou Coal Mining Co., Ltd., Class H Shares(c) | | | 57,771 | |
| | 581,000 | | | Yihai International Holding Ltd. | | | 1,832,501 | |
| | 11,347 | | | Yum China Holdings Inc. | | | 473,397 | |
| | 1,400 | | | Yunnan Baiyao Group Co., Ltd., Class A Shares(e) | | | 17,775 | |
| | 48,000 | | | Yuzhou Properties Co., Ltd. | | | 23,515 | |
| | 1,609 | | | YY Inc., ADR* | | | 113,435 | |
| | 30,000 | | | Zhaojin Mining Industry Co., Ltd., Class H Shares(c) | | | 31,948 | |
| | 54,000 | | | Zhejiang Expressway Co., Ltd., Class H Shares(c) | | | 56,367 | |
| | 8,100 | | | ZhongAn Online P&C Insurance Co., Ltd., Class H Shares*(b)(c) | | | 30,381 | |
| | 16,500 | | | Zhongsheng Group Holdings Ltd. | | | 38,373 | |
| | 17,900 | | | Zhuzhou CRRC Times Electric Co., Ltd., Class H Shares(c) | | | 100,503 | |
| | 200,000 | | | Zijin Mining Group Co., Ltd., Class H Shares(c) | | | 85,533 | |
| | 19,000 | | | ZTE Corp., Class H Shares(c) | | | 56,570 | |
| | 9,810 | | | ZTO Express Cayman Inc., ADR | | | 195,023 | |
| | | | | | | | |
| | | | Total China | | | 124,392,225 | |
| | | | | | | | |
|
| | Colombia — 0.1% | |
| | 7,110 | | | Bancolombia SA | | | 83,017 | |
| | 11,531 | | | Cementos Argos SA | | | 30,423 | |
| | 150,786 | | | Ecopetrol SA | | | 152,670 | |
| | 7,386 | | | Grupo Argos SA | | | 42,952 | |
| | 7,004 | | | Grupo de Inversiones Suramericana SA | | | 79,552 | |
| | 14,928 | | | Interconexion Electrica SA ESP | | | 67,725 | |
| | | | | | | | |
| | | | Total Colombia | | | 456,339 | |
| | | | | | | | |
|
| | Czech Republic — 0.1% | |
| | 5,543 | | | CEZ AS | | | 134,282 | |
| | 2,391 | | | Komercní Banka AS | | | 100,353 | |
| | 16,196 | | | Moneta Money Bank AS(b) | | | 57,353 | |
| | | | | | | | |
| | | | Total Czech Republic | | | 291,988 | |
| | | | | | | | |
|
| | Egypt — 1.1% | |
| | 1,010,432 | | | Commercial International Bank Egypt SAE, Class Registered Shares, GDR | | | 4,026,314 | |
| | 38,937 | | | Commercial International Bank Egypt SAE | | | 155,103 | |
| | 22,745 | | | Eastern Tobacco | | | 21,160 | |
| | 21,328 | | | ElSewedy Electric Co. | | | 20,908 | |
See Notes to Financial Statements.
112
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | Egypt — 1.1% — (continued) | |
| | 1,244,156 | | | Juhayna Food Industries | | $ | 979,835 | |
| | 254,333 | | | Sarwa Capital for Financial Investment SAE* | | | 91,942 | |
| | | | | | | | |
| | | | Total Egypt | | | 5,295,262 | |
| | | | | | | | |
|
| | Georgia — 0.5% | |
| | 79,700 | | | Bank of Georgia Group PLC | | | 1,771,594 | |
| | 61,700 | | | Georgia Capital PLC* | | | 901,798 | |
| | | | | | | | |
| | | | Total Georgia | | | 2,673,392 | |
| | | | | | | | |
|
| | Germany — 0.3% | |
| | 43,200 | | | Delivery Hero SE, (Restricted, cost — $1,816,262, acquired 5/2/18)*(b)(d) | | | 1,673,894 | |
| | | | | | | | |
|
| | Greece — 0.1% | |
| | 42,552 | | | Alpha Bank AE* | | | 60,014 | |
| | 1,594 | | | FF Group*(e) | | | 18 | |
| | 7,783 | | | Hellenic Telecommunications Organization SA | | | 98,677 | |
| | 3,706 | | | JUMBO SA | | | 60,271 | |
| | 1,770 | | | Motor Oil Hellas Corinth Refineries SA | | | 43,070 | |
| | 7,278 | | | OPAP SA | | | 74,502 | |
| | 1,168 | | | Titan Cement Co. SA | | | 25,589 | |
| | | | | | | | |
| | | | Total Greece | | | 362,141 | |
| | | | | | | | |
|
| | Hong Kong — 4.1% | |
| | 106,000 | | | Alibaba Health Information Technology Ltd.* | | | 108,477 | |
| | 440,000 | | | Alibaba Pictures Group Ltd.* | | | 81,526 | |
| | 167,300 | | | ASM Pacific Technology Ltd. | | | 1,778,468 | |
| | 16,500 | | | Beijing Enterprises Holdings Ltd. | | | 96,722 | |
| | 4,885,500 | | | Beijing Enterprises Water Group Ltd. | | | 2,937,984 | |
| | 96,000 | | | Brilliance China Automotive Holdings Ltd. | | | 93,887 | |
| | 60,000 | | | China Agri-Industries Holdings Ltd. | | | 21,375 | |
| | 24,000 | | | China Ding Yi Feng Holdings Ltd.* | | | 77,410 | |
| | 106,888 | | | China Everbright International Ltd. | | | 104,413 | |
| | 24,000 | | | China Everbright Ltd. | | | 48,420 | |
| | 84,000 | | | China First Capital Group Ltd.* | | | 37,327 | |
| | 55,600 | | | China Gas Holdings Ltd. | | | 182,416 | |
| | 152,000 | | | China Jinmao Holdings Group Ltd. | | | 73,830 | |
| | 84,000 | | | China Mengniu Dairy Co., Ltd. | | | 260,877 | |
| | 41,538 | | | China Merchants Port Holdings Co., Ltd. | | | 87,181 | |
| | 190,000 | | | China Mobile Ltd. | | | 1,997,767 | |
| | 86,837 | | | China Mobile Ltd., ADR | | | 4,575,442 | |
| | 122,000 | | | China Overseas Land & Investment Ltd. | | | 451,404 | |
| | 127,000 | | | China Power International Development Ltd. | | | 32,083 | |
| | 46,000 | | | China Resources Beer Holdings Co., Ltd. | | | 171,534 | |
| | 76,000 | | | China Resources Cement Holdings Ltd. | | | 81,480 | |
| | 28,000 | | | China Resources Gas Group Ltd. | | | 121,523 | |
| | 88,000 | | | China Resources Land Ltd. | | | 331,123 | |
| | 60,000 | | | China Resources Power Holdings Co., Ltd. | | | 113,642 | |
| | 60,000 | | | China State Construction International Holdings Ltd. | | | 63,308 | |
| | 48,800 | | | China Taiping Insurance Holdings Co., Ltd. | | | 151,958 | |
| | 78,000 | | | China Traditional Chinese Medicine Holdings Co., Ltd. | | | 51,503 | |
| | 58,000 | | | China Travel International Investment Hong Kong Ltd. | | | 17,196 | |
| | 190,000 | | | China Unicom Hong Kong Ltd. | | | 224,983 | |
| | 180,000 | | | CITIC Ltd. | | | 275,085 | |
| | 66,000 | | | COSCO SHIPPING Ports Ltd. | | | 70,335 | |
| | 70,000 | | | Far East Horizon Ltd. | | | 78,033 | |
| | 167,500 | | | Fullshare Holdings Ltd.*(a) | | | 33,632 | |
| | 597,400 | | | Galaxy Entertainment Group Ltd. | | | 4,229,815 | |
See Notes to Financial Statements.
113
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | Hong Kong — 4.1% — (continued) | |
| | 86,000 | | | Guangdong Investment Ltd. | | $ | 165,035 | |
| | 38,000 | | | Haier Electronics Group Co., Ltd. | | | 113,021 | |
| | 1,651 | | | Hutchison China MediTech Ltd., ADR* | | | 43,075 | |
| | 32,000 | | | Jiayuan International Group Ltd. | | | 15,563 | |
| | 24,500 | | | Kingboard Holdings Ltd. | | | 85,654 | |
| | 31,000 | | | Kingboard Laminates Holdings Ltd. | | | 38,057 | |
| | 106,000 | | | Kunlun Energy Co., Ltd. | | | 116,330 | |
| | 45,000 | | | Lee & Man Paper Manufacturing Ltd. | | | 41,477 | |
| | 54,000 | | | Nine Dragons Paper Holdings Ltd. | | | 55,879 | |
| | 13,000 | | | Shanghai Industrial Holdings Ltd. | | | 29,114 | |
| | 26,500 | | | Shenzhen International Holdings Ltd. | | | 54,890 | |
| | 92,000 | | | Shenzhen Investment Ltd. | | | 34,354 | |
| | 38,500 | | | Shimao Property Holdings Ltd. | | | 91,092 | |
| | 213,500 | | | Sino Biopharmaceutical Ltd. | | | 184,691 | |
| | 50,000 | | | SSY Group Ltd. | | | 44,277 | |
| | 76,500 | | | Sun Art Retail Group Ltd. | | | 78,015 | |
| | 30,000 | | | Towngas China Co., Ltd.* | | | 23,979 | |
| | 196,000 | | | Yuexiu Property Co., Ltd. | | | 45,306 | |
| | | | | | | | |
| | | | Total Hong Kong | | | 20,321,968 | |
| | | | | | | | |
|
| | Hungary — 0.8% | |
| | 11,409 | | | MOL Hungarian Oil & Gas PLC | | | 133,189 | |
| | 95,261 | | | OTP Bank Nyrt | | | 4,024,922 | |
| | 4,028 | | | Richter Gedeon Nyrt | | | 78,005 | |
| | | | | | | | |
| | | | Total Hungary | | | 4,236,116 | |
| | | | | | | | |
|
| | India — 8.5% | |
| | 15,996 | | | Adani Ports & Special Economic Zone Ltd. | | | 73,730 | |
| | 18,748 | | | Ambuja Cements Ltd. | | | 56,214 | |
| | 38,179 | | | Ashok Leyland Ltd. | | | 46,957 | |
| | 9,090 | | | Asian Paints Ltd. | | | 180,671 | |
| | 7,984 | | | Aurobindo Pharma Ltd. | | | 80,133 | |
| | 3,592 | | | Avenue Supermarts Ltd.*(b) | | | 73,826 | |
| | 394,309 | | | Axis Bank Ltd.* | | | 3,960,806 | |
| | 37,960 | | | Bajaj Auto Ltd. | | | 1,557,681 | |
| | 5,433 | | | Bajaj Finance Ltd. | | | 203,098 | |
| | 1,172 | | | Bajaj Finserv Ltd. | | | 106,834 | |
| | 6,684 | | | Bharat Forge Ltd. | | | 48,425 | |
| | 173,087 | | | Bharat Petroleum Corp., Ltd. | | | 827,293 | |
| | 44,185 | | | Bharti Airtel Ltd. | | | 199,574 | |
| | 10,392 | | | Bharti Infratel Ltd. | | | 43,075 | |
| | 224 | | | Bosch Ltd. | | | 59,976 | |
| | 1,646 | | | Britannia Industries Ltd. | | | 71,110 | |
| | 5,174 | | | Cadila Healthcare Ltd. | | | 23,246 | |
| | 113,680 | | | Cholamandalam Investment and Finance Co., Ltd. | | | 1,973,775 | |
| | 10,212 | | | Cipla Ltd. | | | 80,028 | |
| | 22,484 | | | Coal India Ltd. | | | 72,668 | |
| | 6,095 | | | Container Corp. Of India Ltd. | | | 40,635 | |
| | 17,075 | | | Dabur India Ltd. | | | 105,959 | |
| | 2,337 | | | Divi’s Laboratories Ltd. | | | 54,828 | |
| | 3,476 | | | Dr Reddy’s Laboratories Ltd. | | | 129,292 | |
| | 418 | | | Eicher Motors Ltd. | | | 117,267 | |
| | 22,772 | | | GAIL India Ltd. | | | 110,289 | |
| | 3,495 | | | Glenmark Pharmaceuticals Ltd. | | | 29,424 | |
| | 11,010 | | | Godrej Consumer Products Ltd. | | | 104,861 | |
| | 10,126 | | | Grasim Industries Ltd. | | | 111,296 | |
| | 7,253 | | | Havells India Ltd. | | | 73,549 | |
See Notes to Financial Statements.
114
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | India — 8.5% — (continued) | |
| | 113,265 | | | HCL Technologies Ltd. | | $ | 1,680,942 | |
| | 113,500 | | | HDFC Bank Ltd. | | | 3,330,209 | |
| | 43,020 | | | HDFC Bank Ltd., ADR | | | 4,350,182 | |
| | 54,832 | | | Hero MotoCorp Ltd. | | | 2,037,695 | |
| | 36,997 | | | Hindalco Industries Ltd. | | | 102,799 | |
| | 21,200 | | | Hindustan Petroleum Corp., Ltd. | | | 67,155 | |
| | 19,972 | | | Hindustan Unilever Ltd. | | | 488,785 | |
| | 49,695 | | | Housing Development Finance Corp., Ltd. | | | 1,291,917 | |
| | 72,879 | | | ICICI Bank Ltd. | | | 361,663 | |
| | 8,567 | | | Indiabulls Housing Finance Ltd., ADR | | | 79,624 | |
| | 43,545 | | | Indian Oil Corp., Ltd. | | | 88,493 | |
| | 106,982 | | | Infosys Ltd. | | | 1,111,606 | |
| | 135,400 | | | Infosys Ltd., ADR | | | 1,451,488 | |
| | 2,780 | | | InterGlobe Aviation Ltd.(b) | | | 44,146 | |
| | 106,692 | | | ITC Ltd. | | | 417,084 | |
| | 25,934 | | | JSW Steel Ltd. | | | 103,199 | |
| | 14,771 | | | Larsen & Toubro Ltd. | | | 271,228 | |
| | 10,062 | | | LIC Housing Finance Ltd. | | | 67,747 | |
| | 6,723 | | | Lupin Ltd. | | | 72,731 | |
| | 10,185 | | | Mahindra & Mahindra Financial Services Ltd. | | | 57,014 | |
| | 23,642 | | | Mahindra & Mahindra Ltd. | | | 215,673 | |
| | 11,385 | | | Marico Ltd. | | | 54,673 | |
| | 3,248 | | | Maruti Suzuki India Ltd. | | | 313,697 | |
| | 28,021 | | | Motherson Sumi Systems Ltd. | | | 64,282 | |
| | 734 | | | Nestle India Ltd. | | | 110,103 | |
| | 64,070 | | | NTPC Ltd. | | | 128,309 | |
| | 101,874 | | | Oil & Natural Gas Corp., Ltd. | | | 216,418 | |
| | 169 | | | Page Industries Ltd. | | | 53,139 | |
| | 17,509 | | | Petronet LNG Ltd. | | | 55,278 | |
| | 172,000 | | | Phoenix Mills Ltd. | | | 1,510,617 | |
| | 3,761 | | | Pidilite Industries Ltd. | | | 61,267 | |
| | 2,512 | | | Piramal Enterprises Ltd. | | | 82,137 | |
| | 59,191 | | | Power Grid Corp. of India Ltd. | | | 152,441 | |
| | 83,900 | | | Quess Corp., Ltd., (Restricted, cost — $1,312,293, acquired 2/1/18)*(b)(d) | | | 842,883 | |
| | 24,982 | | | REC Ltd. | | | 48,254 | |
| | 161,168 | | | Reliance Industries Ltd. | | | 2,806,692 | |
| | 299 | | | Shree Cement Ltd. | | | 69,814 | |
| | 4,900 | | | Shriram Transport Finance Co., Ltd. | | | 79,253 | |
| | 55,042 | | | State Bank of India* | | | 209,359 | |
| | 25,878 | | | Sun Pharmaceutical Industries Ltd. | | | 163,201 | |
| | 130,912 | | | Tata Consultancy Services Ltd. | | | 3,671,382 | |
| | 48,552 | | | Tata Motors Ltd.* | | | 121,422 | |
| | 28,154 | | | Tata Power Co., Ltd. | | | 26,090 | |
| | 10,143 | | | Tata Steel Ltd. | | | 71,675 | |
| | 14,194 | | | Tech Mahindra Ltd. | | | 166,072 | |
| | 127,566 | | | Titan Co., Ltd. | | | 1,861,491 | |
| | 3,162 | | | UltraTech Cement Ltd. | | | 170,191 | |
| | 8,989 | | | United Spirits Ltd.* | | | 69,813 | |
| | 20,415 | | | UPL Ltd. | | | 253,218 | |
| | 42,900 | | | Vedanta Ltd. | | | 103,588 | |
| | 59,355 | | | Vodafone Idea Ltd.* | | | 24,913 | |
| | 34,194 | | | Wipro Ltd. | | | 177,751 | |
| | 51,506 | | | Yes Bank Ltd. | | | 169,296 | |
| | 14,516 | | | Zee Entertainment Enterprises Ltd. | | | 96,176 | |
| | | | | | | | |
| | | | Total India | | | 42,312,795 | |
| | | | | | | | |
See Notes to Financial Statements.
115
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | Indonesia — 3.4% | |
| | 482,500 | | | Adaro Energy Tbk PT | | $ | 45,053 | |
| | 3,793,600 | | | Astra International Tbk PT | | | 1,930,347 | |
| | 306,800 | | | Bank Central Asia Tbk PT | | | 602,450 | |
| | 84,900 | | | Bank Danamon Indonesia Tbk PT | | | 51,479 | |
| | 6,751,824 | | | Bank Mandiri Persero Tbk PT | | | 3,421,831 | |
| | 241,100 | | | Bank Negara Indonesia Persero Tbk PT | | | 151,235 | |
| | 12,558,600 | | | Bank Rakyat Indonesia Persero Tbk PT | | | 3,436,981 | |
| | 112,200 | | | Bank Tabungan Negara Persero Tbk PT | | | 19,393 | |
| | 9,420,000 | | | Bank Tabungan Pensiunan Nasional Syariah Tbk PT* | | | 1,372,958 | |
| | 76,200 | | | Bukit Asam Tbk PT | | | 21,592 | |
| | 192,800 | | | Bumi Serpong Damai Tbk PT* | | | 18,570 | |
| | 231,100 | | | Charoen Pokphand Indonesia Tbk PT | | | 119,973 | |
| | 14,300 | | | Gudang Garam Tbk PT | | | 86,942 | |
| | 313,800 | | | Hanjaya Mandala Sampoerna Tbk PT | | | 84,945 | |
| | 77,100 | | | Indah Kiat Pulp & Paper Corp. Tbk PT | | | 60,575 | |
| | 57,500 | | | Indocement Tunggal Prakarsa Tbk PT | | | 78,720 | |
| | 58,600 | | | Indofood CBP Sukses Makmur Tbk PT | | | 42,597 | |
| | 146,800 | | | Indofood Sukses Makmur Tbk PT | | | 73,947 | |
| | 54,967 | | | Jasa Marga Persero Tbk PT | | | 20,449 | |
| | 715,400 | | | Kalbe Farma Tbk PT | | | 76,103 | |
| | 42,400 | | | Pabrik Kertas Tjiwi Kimia Tbk PT | | | 33,684 | |
| | 615,200 | | | Pakuwon Jati Tbk PT | | | 27,145 | |
| | 365,400 | | | Perusahaan Gas Negara Persero Tbk | | | 66,172 | |
| | 1,751,800 | | | Semen Indonesia Persero Tbk PT | | | 1,578,983 | |
| | 254,800 | | | Surya Citra Media Tbk PT | | | 31,751 | |
| | 1,512,887 | | | Telekomunikasi Indonesia Persero Tbk PT | | | 415,912 | |
| | 96,950 | | | Telekomunikasi Indonesia Persero Tbk PT, ADR | | | 2,673,881 | |
| | 60,800 | | | Tower Bersama Infrastructure Tbk PT | | | 17,214 | |
| | 46,700 | | | Unilever Indonesia Tbk PT | | | 161,595 | |
| | 51,300 | | | United Tractors Tbk PT | | | 96,541 | |
| | | | | | | | |
| | | | Total Indonesia | | | 16,819,018 | |
| | | | | | | | |
|
| | Kenya — 0.3% | |
| | 5,224,000 | | | Safaricom PLC | | | 1,359,097 | |
| | | | | | | | |
|
| | Kuwait — 0.2% | |
| | 100,000 | | | Humansoft Holding Co. KSC | | | 988,650 | |
| | | | | | | | |
|
| | Luxembourg — 0.3% | |
| | 4,473 | | | Reinet Investments SCA | | | 70,430 | |
| | 41,600 | | | Ternium SA, ADR | | | 1,200,160 | |
| | | | | | | | |
| | | | Total Luxembourg | | | 1,270,590 | |
| | | | | | | | |
|
| | Malaysia — 1.5% | |
| | 46,100 | | | AirAsia Group Bhd | | | 31,479 | |
| | 25,600 | | | Alliance Bank Malaysia Bhd | | | 24,704 | |
| | 46,100 | | | AMMB Holdings Bhd | | | 50,708 | |
| | 94,700 | | | Axiata Group Bhd | | | 96,921 | |
| | 138,553 | | | British American Tobacco Malaysia Bhd | | | 1,136,777 | |
| | 144,107 | | | CIMB Group Holdings Bhd | | | 207,356 | |
| | 118,300 | | | Dialog Group Bhd | | | 93,773 | |
| | 88,600 | | | DiGi.Com Bhd | | | 99,156 | |
| | 3,400 | | | Fraser & Neave Holdings Bhd | | | 29,542 | |
| | 52,500 | | | Gamuda Bhd | | | 38,025 | |
| | 70,400 | | | Genting Bhd | | | 127,680 | |
| | 101,600 | | | Genting Malaysia Bhd | | | 87,496 | |
| | 5,900 | | | Genting Plantations Bhd | | | 15,117 | |
See Notes to Financial Statements.
116
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | Malaysia — 1.5% — (continued) | |
| | 20,100 | | | HAP Seng Consolidated Bhd | | $ | 48,535 | |
| | 37,200 | | | Hartalega Holdings Bhd | | | 45,471 | |
| | 21,000 | | | Hong Leong Bank Bhd | | | 109,961 | |
| | 7,300 | | | Hong Leong Financial Group Bhd | | | 35,362 | |
| | 77,100 | | | IHH Healthcare Bhd | | | 107,406 | |
| | 86,800 | | | IJM Corp. Bhd | | | 38,417 | |
| | 56,900 | | | IOI Corp. Bhd | | | 62,191 | |
| | 48,750 | | | IOI Properties Group Bhd | | | 19,300 | |
| | 13,100 | | | Kuala Lumpur Kepong Bhd | | | 79,350 | |
| | 116,909 | | | Malayan Banking Bhd | | | 273,941 | |
| | 1,256,400 | | | Malaysia Airports Holdings Bhd | | | 2,530,143 | |
| | 66,200 | | | Maxis Bhd | | | 87,411 | |
| | 36,500 | | | MISC Bhd | | | 61,384 | |
| | 1,700 | | | Nestle Malaysia Bhd | | | 61,641 | |
| | 78,600 | | | Petronas Chemicals Group Bhd | | | 177,225 | |
| | 6,200 | | | Petronas Dagangan Bhd | | | 40,483 | |
| | 20,700 | | | Petronas Gas Bhd | | | 92,111 | |
| | 20,400 | | | PPB Group Bhd | | | 91,710 | |
| | 37,500 | | | Press Metal Aluminium Holdings Bhd | | | 39,002 | |
| | 90,900 | | | Public Bank Bhd | | | 555,974 | |
| | 17,500 | | | QL Resources Bhd | | | 29,691 | |
| | 36,700 | | | RHB Bank Bhd | | | 50,859 | |
| | 77,200 | | | Sime Darby Bhd | | | 41,251 | |
| | 77,200 | | | Sime Darby Plantation Bhd | | | 96,958 | |
| | 86,300 | | | Sime Darby Property Bhd | | | 22,295 | |
| | 59,600 | | | SP Setia Bhd Group | | | 33,560 | |
| | 28,900 | | | Telekom Malaysia Bhd | | | 21,673 | |
| | 94,700 | | | Tenaga Nasional Bhd | | | 312,478 | |
| | 41,500 | | | Top Glove Corp. Bhd | | | 46,391 | |
| | 25,800 | | | Westports Holdings Bhd | | | 23,410 | |
| | 170,850 | | | YTL Corp. Bhd | | | 44,565 | |
| | | | | | | | |
| | | | Total Malaysia | | | 7,318,883 | |
| | | | | | | | |
|
| | Mexico — 2.9% | |
| | 100,741 | | | Alfa SAB de CV, Class A Shares | | | 114,532 | |
| | 13,753 | | | Alsea SAB de CV | | | 34,924 | |
| | 203,009 | | | América Móvil SAB de CV, Class L Shares, ADR | | | 2,919,269 | |
| | 1,026,232 | | | América Móvil SAB de CV, Series L | | | 736,654 | |
| | 13,112 | | | Arca Continental SAB de CV | | | 74,134 | |
| | 60,579 | | | Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand | | | 83,200 | |
| | 1,623 | | | Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand, ADR | | | 11,053 | |
| | 448,462 | | | Cemex SAB de CV, Class Preferred Shares* | | | 218,875 | |
| | 16,454 | | | Coca-Cola Femsa SAB de CV, Series L | | | 99,652 | |
| | 4,997 | | | El Puerto de Liverpool SAB de CV, Class C1 Shares | | | 31,355 | |
| | 94,483 | | | Fibra Uno Administracion SA de CV, REIT | | | 131,283 | |
| | 60,098 | | | Fomento Economico Mexicano SAB de CV | | | 545,014 | |
| | 6,096 | | | Gruma SAB de CV, Class B Shares | | | 66,036 | |
| | 12,035 | | | Grupo Aeroportuario del Pacifico SAB de CV, Class B Shares | | | 112,301 | |
| | 6,547 | | | Grupo Aeroportuario del Sureste SAB de CV, Class B Shares | | | 110,950 | |
| | 52,666 | | | Grupo Bimbo SAB de CV, Series A | | | 104,619 | |
| | 14,300 | | | Grupo Carso SAB de CV, Series A1 | | | 53,179 | |
| | 81,051 | | | Grupo Financiero Banorte SAB de CV, Class O Shares | | | 441,313 | |
| | 69,598 | | | Grupo Financiero Inbursa SAB de CV, Class O Shares | | | 103,961 | |
| | 549,545 | | | Grupo México SAB de CV, Series B | | | 1,381,237 | |
| | 76,127 | | | Grupo Televisa SAB | | | 178,507 | |
| | 4,075 | | | Industrias Peñoles SAB de CV | | | 53,977 | |
See Notes to Financial Statements.
117
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | Mexico — 2.9% — (continued) | |
| | 17,432 | | | Infraestructura Energetica Nova SAB de CV | | $ | 67,005 | |
| | 805,248 | | | Kimberly-Clark de México SAB de CV, Class A Shares* | | | 1,298,888 | |
| | 7,978 | | | Megacable Holdings SAB de CV | | | 36,496 | |
| | 34,823 | | | Mexichem SAB de CV | | | 84,689 | |
| | 6,730 | | | Promotora y Operadora de Infraestructura SAB de CV | | | 66,230 | |
| | 571,000 | | | Qualitas Controladora SAB de CV | | | 1,449,674 | |
| | 356,100 | | | Regional SAB de CV | | | 1,861,535 | |
| | 679,080 | | | Unifin Financiera SAB de CV SOFOM ENR | | | 1,549,727 | |
| | 163,011 | | | Wal-Mart de Mexico SAB de CV | | | 421,890 | |
| | | | | | | | |
| | | | Total Mexico | | | 14,442,159 | |
| | | | | | | | |
|
| | Pakistan — 0.3% | |
| | 432,635 | | | Habib Bank Ltd. | | | 406,609 | |
| | 22,300 | | | MCB Bank Ltd. | | | 32,705 | |
| | 148,362 | | | Oil & Gas Development Co., Ltd. | | | 158,588 | |
| | 882,758 | | | Pakistan Petroleum Ltd. | | | 1,167,348 | |
| | | | | | | | |
| | | | Total Pakistan | | | 1,765,250 | |
| | | | | | | | |
|
| | Peru — 0.3% | |
| | 5,924 | | | Cia de Minas Buenaventura SAA, ADR | | | 98,576 | |
| | 4,925 | | | Credicorp Ltd. | | | 1,197,218 | |
| | 2,502 | | | Southern Copper Corp. | | | 89,096 | |
| | | | | | | | |
| | | | Total Peru | | | 1,384,890 | |
| | | | | | | | |
|
| | Philippines — 2.3% | |
| | 66,680 | | | Aboitiz Equity Ventures Inc. | | | 78,417 | |
| | 37,300 | | | Aboitiz Power Corp. | | | 25,085 | |
| | 110,700 | | | Alliance Global Group Inc. | | | 29,236 | |
| | 8,160 | | | Ayala Corp. | | | 145,586 | |
| | 4,435,050 | | | Ayala Land Inc. | | | 3,763,668 | |
| | 32,088 | | | Bank of the Philippine Islands | | | 51,921 | |
| | 63,014 | | | BDO Unibank Inc. | | | 155,009 | |
| | 12,921,900 | | | Bloomberry Resorts Corp. | | | 2,839,607 | |
| | 101,900 | | | DMCI Holdings Inc. | | | 22,381 | |
| | 845 | | | Globe Telecom Inc. | | | 30,938 | |
| | 2,593 | | | GT Capital Holdings Inc. | | | 47,738 | |
| | 1,061,480 | | | International Container Terminal Services Inc. | | | 2,377,799 | |
| | 80,180 | | | JG Summit Holdings Inc. | | | 102,425 | |
| | 14,790 | | | Jollibee Foods Corp. | | | 87,781 | |
| | 5,930 | | | Manila Electric Co. | | | 42,022 | |
| | 284,600 | | | Megaworld Corp. | | | 28,379 | |
| | 419,500 | | | Metro Pacific Investments Corp. | | | 38,021 | |
| | 48,811 | | | Metropolitan Bank & Trust Co. | | | 71,550 | |
| | 2,465 | | | PLDT Inc. | | | 48,943 | |
| | 50,076 | | | PLDT Inc., ADR | | | 1,002,021 | |
| | 52,523 | | | Robinsons Land Corp. | | | 23,692 | |
| | 6,820 | | | Security Bank Corp. | | | 21,811 | |
| | 6,870 | | | SM Investments Corp. | | | 124,647 | |
| | 305,400 | | | SM Prime Holdings Inc. | | | 225,986 | |
| | 29,910 | | | Universal Robina Corp.* | | | 78,490 | |
| | | | | | | | |
| | | | Total Philippines | | | 11,463,153 | |
| | | | | | | | |
|
| | Poland — 0.6% | |
| | 3,146 | | | Alior Bank SA* | | | 48,627 | |
| | 839 | | | Bank Handlowy w Warszawie SA | | | 14,611 | |
| | 19,087 | | | Bank Millennium SA* | | | 43,629 | |
| | 5,435 | | | Bank Polska Kasa Opieki SA | | | 162,662 | |
See Notes to Financial Statements.
118
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | Poland — 0.6% — (continued) | |
| | 853 | | | CCC SA | | $ | 41,365 | |
| | 2,295 | | | CD Projekt SA* | | | 115,288 | |
| | 9,046 | | | Cyfrowy Polsat SA* | | | 60,886 | |
| | 1,402 | | | Dino Polska SA*(b) | | | 39,642 | |
| | 3,061 | | | Grupa Lotos SA | | | 76,989 | |
| | 1,516 | | | Jastrzebska Spolka Weglowa SA* | | | 23,075 | |
| | 4,727 | | | KGHM Polska Miedz SA* | | | 126,535 | |
| | 22,314 | | | KRUK SA(a) | | | 972,930 | |
| | 37 | | | LPP SA | | | 79,725 | |
| | 371 | | | mBank SA | | | 41,891 | |
| | 16,889 | | | Orange Polska SA* | | | 24,186 | |
| | 27,259 | | | PGE Polska Grupa Energetyczna SA* | | | 83,558 | |
| | 8,984 | | | Polski Koncern Naftowy ORLEN SA | | | 242,090 | |
| | 56,283 | | | Polskie Gornictwo Naftowe i Gazownictwo SA | | | 102,979 | |
| | 26,972 | | | Powszechna Kasa Oszczednosci Bank Polski SA | | | 271,040 | |
| | 18,114 | | | Powszechny Zaklad Ubezpieczen SA | | | 195,297 | |
| | 1,001 | | | Santander Bank Polska SA | | | 99,564 | |
| | | | | | | | |
| | | | Total Poland | | | 2,866,569 | |
| | | | | | | | |
|
| | Qatar — 0.3% | |
| | 4,942 | | | Barwa Real Estate Co.* | | | 53,758 | |
| | 6,934 | | | Commercial Bank QSC | | | 76,378 | |
| | 24,295 | | | Ezdan Holding Group QSC* | | | 86,799 | |
| | 5,423 | | | Industries Qatar QSC | | | 198,253 | |
| | 11,103 | | | Masraf Al Rayan QSC | | | 112,490 | |
| | 2,589 | | | Ooredoo QPSC | | | 47,632 | |
| | 1,485 | | | Qatar Electricity & Water Co. QSC* | | | 71,970 | |
| | 5,483 | | | Qatar Insurance Co. SAQ | | | 50,482 | |
| | 3,648 | | | Qatar Islamic Bank SAQ | | | 145,609 | |
| | 13,945 | | | Qatar National Bank QPSC | | | 721,215 | |
| | | | | | | | |
| | | | Total Qatar | | | 1,564,586 | |
| | | | | | | | |
|
| | Romania — 0.0% | |
| | 11,452 | | | NEPI Rockcastle PLC | | | 96,181 | |
| | | | | | | | |
|
| | Russia — 5.3% | |
| | 1,113,749 | | | Alrosa PJSC | | | 1,606,447 | |
| | 331,497 | | | Gazprom PJSC | | | 799,370 | |
| | 403,036 | | | Gazprom PJSC, ADR | | | 1,911,551 | |
| | 940,688 | | | Inter RAO UES PJSC | | | 55,857 | |
| | 15,034 | | | Lukoil PJSC | | | 1,254,338 | |
| | 42,517 | | | Lukoil PJSC, ADR | | | 3,552,295 | |
| | 93,906 | | | Magnit PJSC, Class Registered Shares, GDR | | | 1,348,084 | |
| | 2,871 | | | Magnit PJSC, GDR* | | | 41,228 | |
| | 68,415 | | | Magnitogorsk Iron & Steel Works PJSC | | | 46,175 | |
| | 2,054 | | | MMC Norilsk Nickel PJSC | | | 439,693 | |
| | 268,556 | | | Mobile TeleSystems PJSC, ADR | | | 2,075,938 | |
| | 51,000 | | | Moscow ExchangeMICEX-RTS PJSC | | | 70,560 | |
| | 2,857 | | | Novatek PJSC, Class Registered Shares, GDR | | | 494,562 | |
| | 40,504 | | | Novolipetsk Steel PJSC | | | 97,333 | |
| | 3,394 | | | PhosAgro PJSC, Class Registered Shares, GDR | | | 46,346 | |
| | 763 | | | Polyus PJSC | | | 63,301 | |
| | 27,023 | | | Rosneft Oil Co. PJSC | | | 163,451 | |
| | 2,049,588 | | | Sberbank of Russia PJSC | | | 6,459,674 | |
| | 229,477 | | | Sberbank of Russia PJSC, ADR | | | 2,925,942 | |
| | 7,032 | | | Severstal PJSC | | | 109,726 | |
| | 245,966 | | | Surgutneftegas PJSC | | | 95,841 | |
See Notes to Financial Statements.
119
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | Russia — 5.3% — (continued) | |
| | 46,958 | | | Tatneft PJSC | | $ | 552,746 | |
| | 119,395,647 | | | VTB Bank PJSC | | | 64,951 | |
| | 4,044 | | | X5 Retail Group NV, Class Registered Shares, GDR | | | 102,858 | |
| | 66,420 | | | Yandex NV, Class A Shares* | | | 2,284,848 | |
| | | | | | | | |
| | | | Total Russia | | | 26,663,115 | |
| | | | | | | | |
|
| | Singapore — 0.0% | |
| | 6,000 | | | BOC Aviation Ltd.(b) | | | 51,835 | |
| | | | | | | | |
|
| | South Africa — 6.9% | |
| | 21,850 | | | Absa Group Ltd. | | | 280,008 | |
| | 695,700 | | | Advtech Ltd. | | | 656,784 | |
| | 1,742 | | | Anglo American Platinum Ltd. | | | 94,719 | |
| | 13,124 | | | AngloGold Ashanti Ltd. | | | 187,261 | |
| | 12,321 | | | Aspen Pharmacare Holdings Ltd. | | | 121,909 | |
| | 10,547 | | | Bid Corp., Ltd. | | | 220,529 | |
| | 111,509 | | | Bidvest Group Ltd. | | | 1,646,344 | |
| | 1,307 | | | Capitec Bank Holdings Ltd. | | | 121,141 | |
| | 7,661 | | | Clicks Group Ltd. | | | 98,219 | |
| | 10,689 | | | Discovery Ltd. | | | 116,865 | |
| | 7,496 | | | Exxaro Resources Ltd. | | | 80,619 | |
| | 102,682 | | | FirstRand Ltd. | | | 468,497 | |
| | 39,637 | | | Fortress REIT Ltd., Class A Shares | | | 53,182 | |
| | 27,279 | | | Fortress REIT Ltd., Class B Shares | | | 26,887 | |
| | 6,660 | | | Foschini Group Ltd. | | | 81,189 | |
| | 27,102 | | | Gold Fields Ltd. | | | 110,605 | |
| | 93,869 | | | Growthpoint Properties Ltd., REIT | | | 162,507 | |
| | 7,453 | | | Hyprop Investments Ltd., REIT | | | 40,972 | |
| | 115,394 | | | Imperial Logistics Ltd. | | | 527,201 | |
| | 7,975 | | | Investec Ltd. | | | 51,849 | |
| | 1,673 | | | Kumba Iron Ore Ltd. | | | 44,287 | |
| | 4,363 | | | Liberty Holdings Ltd. | | | 31,896 | |
| | 658,213 | | | Life Healthcare Group Holdings Ltd. | | | 1,261,640 | |
| | 26,001 | | | MMI Holdings Ltd.* | | | 28,750 | |
| | 115,394 | | | Motus Holdings Ltd.* | | | 740,563 | |
| | 8,026 | | | Mr Price Group Ltd. | | | 122,978 | |
| | 52,120 | | | MTN Group Ltd. | | | 308,602 | |
| | 51,417 | | | MultiChoice Group Ltd.* | | | 383,269 | |
| | 51,327 | | | Naspers Ltd., Class N Shares | | | 11,059,770 | |
| | 91,774 | | | Nedbank Group Ltd. | | | 1,852,040 | |
| | 40,486 | | | Netcare Ltd. | | | 72,972 | |
| | 154,212 | | | Old Mutual Ltd. | | | 254,415 | |
| | 13,023 | | | Pick n Pay Stores Ltd. | | | 64,072 | |
| | 980,873 | | | PPC Ltd.* | | | 361,924 | |
| | 4,079 | | | PSG Group Ltd. | | | 75,175 | |
| | 20,832 | | | Rand Merchant Investment Holdings Ltd. | | | 49,180 | |
| | 170,225 | | | Redefine Properties Ltd., REIT | | | 117,185 | |
| | 16,875 | | | Remgro Ltd. | | | 240,920 | |
| | 8,617 | | | Resilient REIT Ltd. | | | 37,622 | |
| | 20,754 | | | RMB Holdings Ltd. | | | 117,990 | |
| | 328,134 | | | Sanlam Ltd. | | | 1,830,853 | |
| | 15,522 | | | Sappi Ltd. | | | 79,442 | |
| | 17,348 | | | Sasol Ltd. | | | 528,781 | |
| | 185,685 | | | Shoprite Holdings Ltd. | | | 2,262,290 | |
| | 5,711 | | | SPAR Group Ltd. | | | 80,997 | |
| | 158,609 | | | Standard Bank Group Ltd. | | | 2,178,734 | |
| | 6,698 | | | Telkom SA SOC Ltd. | | | 33,237 | |
See Notes to Financial Statements.
120
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | South Africa — 6.9% — (continued) | |
| | 5,328 | | | Tiger Brands Ltd. | | $ | 100,756 | |
| | 1,734,173 | | | Transaction Capital Ltd. | | | 2,089,447 | |
| | 13,988 | | | Truworths International Ltd. | | | 72,548 | |
| | 209,991 | | | Vodacom Group Ltd. | | | 1,728,487 | |
| | 325,550 | | | Woolworths Holdings Ltd. | | | 1,057,179 | |
| | | | | | | | |
| | | | Total South Africa | | | 34,415,288 | |
| | | | | | | | |
|
| | South Korea — 10.0% | |
| | 976 | | | Amorepacific Corp. | | | 174,243 | |
| | 981 | | | AMOREPACIFIC Group | | | 64,116 | |
| | 217 | | | BGF retail Co., Ltd. | | | 41,020 | |
| | 7,996 | | | BNK Financial Group Inc. | | | 50,293 | |
| | 1,538 | | | Celltrion Healthcare Co., Ltd.* | | | 95,010 | |
| | 2,525 | | | Celltrion Inc.* | | | 458,853 | |
| | 477 | | | Celltrion Pharm Inc.* | | | 25,686 | |
| | 2,195 | | | Cheil Worldwide Inc. | | | 48,861 | |
| | 238 | | | CJ CheilJedang Corp. | | | 68,021 | |
| | 488 | | | CJ Corp. | | | 54,292 | |
| | 353 | | | CJ ENM Co., Ltd. | | | 74,743 | |
| | 248 | | | CJ Logistics Corp.* | | | 41,828 | |
| | 27,342 | | | Coway Co., Ltd. | | | 2,298,793 | |
| | 950 | | | Daelim Industrial Co., Ltd. | | | 79,173 | |
| | 6,935 | | | Daewoo Engineering & Construction Co., Ltd.* | | | 31,225 | |
| | 1,129 | | | Daewoo Shipbuilding & Marine Engineering Co., Ltd.* | | | 31,702 | |
| | 1,584 | | | DB Insurance Co., Ltd. | | | 102,060 | |
| | 4,444 | | | DGB Financial Group Inc. | | | 33,463 | |
| | 1,233 | | | Doosan Bobcat Inc. | | | 35,033 | |
| | 674 | | | E-MART Inc. | | | 108,048 | |
| | 1,475 | | | Fila Korea Ltd. | | | 72,871 | |
| | 1,746 | | | GS Engineering & Construction Corp. | | | 66,673 | |
| | 1,673 | | | GS Holdings Corp. | | | 79,775 | |
| | 684 | | | GS Retail Co., Ltd. | | | 23,529 | |
| | 9,106 | | | Hana Financial Group Inc. | | | 313,697 | |
| | 2,119 | | | Hankook Tire Co., Ltd. | | | 80,585 | |
| | 182 | | | Hanmi Pharm Co., Ltd. | | | 79,748 | |
| | 325 | | | Hanmi Science Co., Ltd. | | | 23,541 | |
| | 5,435 | | | Hanon Systems | | | 59,901 | |
| | 3,358 | | | Hanwha Chemical Corp. | | | 69,520 | |
| | 1,147 | | | Hanwha Corp. | | | 32,866 | |
| | 184,096 | | | Hanwha Life Insurance Co., Ltd. | | | 683,287 | |
| | 755 | | | HDC Hyundai DevelopmentCo-Engineering & Construction, Class E Shares* | | | 32,159 | |
| | 1,098 | | | HLB Inc.* | | | 87,824 | |
| | 1,026 | | | Hotel Shilla Co., Ltd. | | | 74,954 | |
| | 403 | | | Hyundai Department Store Co., Ltd. | | | 34,732 | |
| | 2,491 | | | Hyundai Engineering & Construction Co., Ltd. | | | 126,066 | |
| | 569 | | | Hyundai Glovis Co., Ltd. | | | 70,734 | |
| | 1,137 | | | Hyundai Heavy Industries Co., Ltd.* | | | 133,474 | |
| | 330 | | | Hyundai Heavy Industries Holdings Co., Ltd. | | | 106,034 | |
| | 2,170 | | | Hyundai Marine & Fire Insurance Co., Ltd. | | | 72,651 | |
| | 13,972 | | | Hyundai Mobis Co., Ltd. | | | 2,745,878 | |
| | 4,207 | | | Hyundai Motor Co. | | | 473,410 | |
| | 2,277 | | | Hyundai Steel Co. | | | 101,168 | |
| | 7,803 | | | Industrial Bank of Korea | | | 96,657 | |
| | 1,492 | | | Kakao Corp. | | | 137,751 | |
| | 3,383 | | | Kangwon Land Inc.* | | | 92,742 | |
| | 50,116 | | | KB Financial Group Inc. | | | 1,974,485 | |
See Notes to Financial Statements.
121
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | South Korea — 10.0% — (continued) | |
| | 184 | | | KCC Corp. | | $ | 52,321 | |
| | 8,291 | | | Kia Motors Corp. | | | 269,577 | |
| | 10,800 | | | Koh Young Technology Inc. | | | 774,842 | |
| | 2,521 | | | Korea Aerospace Industries Ltd.* | | | 82,235 | |
| | 7,576 | | | Korea Electric Power Corp. | | | 234,224 | |
| | 714 | | | Korea Gas Corp. | | | 31,854 | |
| | 1,278 | | | Korea Investment Holdings Co., Ltd.* | | | 73,533 | |
| | 269 | | | Korea Zinc Co., Ltd.* | | | 108,971 | |
| | 1,791 | | | Korean Air Lines Co., Ltd.* | | | 58,386 | |
| | 18,975 | | | KT&G Corp. | | | 1,778,606 | |
| | 672 | | | Kumho Petrochemical Co., Ltd. | | | 57,296 | |
| | 1,381 | | | LG Chem Ltd. | | | 480,916 | |
| | 2,934 | | | LG Corp. | | | 195,764 | |
| | 7,331 | | | LG Display Co., Ltd. | | | 138,948 | |
| | 3,219 | | | LG Electronics Inc. | | | 200,781 | |
| | 281 | | | LG Household & Health Care Ltd. | | | 311,392 | |
| | 518 | | | LG Innotek Co., Ltd. | | | 49,987 | |
| | 3,523 | | | LG Uplus Corp. | | | 46,987 | |
| | 521 | | | Lotte Chemical Corp. | | | 146,958 | |
| | 786 | | | Lotte Corp. | | | 37,163 | |
| | 312 | | | Lotte Shopping Co., Ltd. | | | 52,863 | |
| | 148 | | | Medy-Tox Inc. | | | 71,579 | |
| | 12,449 | | | Mirae Asset Daewoo Co., Ltd. | | | 83,233 | |
| | 4,279 | | | NAVER Corp. | | | 507,545 | |
| | 568 | | | NCSoft Corp. | | | 232,767 | |
| | 740 | | | Netmarble Corp.*(a)(b) | | | 77,215 | |
| | 5,235 | | | NH Investment & Securities Co., Ltd.* | | | 60,397 | |
| | 582 | | | OCI Co., Ltd.* | | | 56,134 | |
| | 996 | | | Orange Life Insurance Ltd.(b) | | | 31,570 | |
| | 609 | | | Orion Corp. | | | 60,230 | |
| | 31 | | | Ottogi Corp. | | | 21,052 | |
| | 6,901 | | | Pan Ocean Co., Ltd.* | | | 26,613 | |
| | 177 | | | Pearl Abyss Corp.* | | | 28,324 | |
| | 2,420 | | | POSCO | | | 565,595 | |
| | 706 | | | POSCO Chemtech Co., Ltd. | | | 43,223 | |
| | 1,385 | | | Posco Daewoo Corp. | | | 23,411 | |
| | 482 | | | S-1 Corp. | | | 43,673 | |
| | 2,126 | | | Samsung Biologics Co., Ltd., (Restricted, cost — $380,699, acquired 5/11/17)*(b)(d) | | | 710,294 | |
| | 2,364 | | | Samsung C&T Corp. | | | 243,290 | |
| | 884 | | | Samsung Card Co., Ltd. | | | 26,758 | |
| | 1,776 | | | Samsung Electro-Mechanics Co., Ltd.(a) | | | 167,406 | |
| | 374,413 | | | Samsung Electronics Co., Ltd. | | | 14,933,736 | |
| | 4,498 | | | Samsung Engineering Co., Ltd.* | | | 63,062 | |
| | 930 | | | Samsung Fire & Marine Insurance Co., Ltd. | | | 249,193 | |
| | 13,465 | | | Samsung Heavy Industries Co., Ltd.* | | | 109,596 | |
| | 2,175 | | | Samsung Life Insurance Co., Ltd. | | | 171,596 | |
| | 16,134 | | | Samsung SDI Co., Ltd. | | | 3,408,643 | |
| | 1,058 | | | Samsung SDS Co., Ltd. | | | 217,560 | |
| | 2,009 | | | Samsung Securities Co., Ltd. | | | 61,627 | |
| | 89,676 | | | Shinhan Financial Group Co., Ltd. | | | 3,480,670 | |
| | 241 | | | Shinsegae Inc. | | | 61,238 | |
| | 1,818 | | | SillaJen Inc.*(a) | | | 119,883 | |
| | 945 | | | SK Holdings Co., Ltd. | | | 229,252 | |
| | 93,891 | | | SK Hynix Inc. | | | 5,803,017 | |
| | 1,972 | | | SK Innovation Co., Ltd. | | | 328,958 | |
| | 674 | | | SK Telecom Co., Ltd. | | | 155,969 | |
See Notes to Financial Statements.
122
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | South Korea — 10.0% — (continued) | |
| | 1,377 | | | S-Oil Corp. | | $ | 122,096 | |
| | 389 | | | ViroMed Co., Ltd.* | | | 95,656 | |
| | 15,205 | | | Woori Financial Group Inc.* | | | 199,936 | |
| | 330 | | | Yuhan Corp. | | | 76,591 | |
| | | | | | | | |
| | | | Total South Korea | | | 50,015,367 | |
| | | | | | | | |
|
| | Spain — 0.8% | |
| | 133,271 | | | CIE Automotive SA | | | 3,786,753 | |
| | | | | | | | |
|
| | Switzerland — 0.2% | |
| | 29,300 | | | Wizz Air Holdings PLC, (Restricted, cost — $627,075, acquired 7/21/16)*(b)(d) | | | 1,181,245 | |
| | | | | | | | |
|
| | Taiwan — 6.4% | |
| | 100,000 | | | Acer Inc.* | | | 65,793 | |
| | 8,799 | | | Advantech Co., Ltd. | | | 66,437 | |
| | 4,000 | | | Airtac International Group | | | 47,770 | |
| | 108,498 | | | ASE Technology Holding Co., Ltd.* | | | 216,895 | |
| | 60,000 | | | Asia Cement Corp. | | | 75,442 | |
| | 20,000 | | | Asustek Computer Inc. | | | 142,210 | |
| | 267,000 | | | AU Optronics Corp. | | | 97,433 | |
| | 146,100 | | | Basso Industry Corp. | | | 237,845 | |
| | 245,000 | | | Catcher Technology Co., Ltd. | | | 1,798,617 | |
| | 248,000 | | | Cathay Financial Holding Co., Ltd. | | | 361,071 | |
| | 37,740 | | | Chailease Holding Co., Ltd. | | | 146,040 | |
| | 136,587 | | | Chang Hwa Commercial Bank Ltd. | | | 81,862 | |
| | 67,000 | | | Cheng Shin Rubber Industry Co., Ltd. | | | 94,004 | |
| | 13,130 | | | Chicony Electronics Co., Ltd. | | | 28,804 | |
| | 67,000 | | | China Airlines Ltd. | | | 22,030 | |
| | 404,000 | | | China Development Financial Holding Corp. | | | 130,556 | |
| | 82,033 | | | China Life Insurance Co., Ltd. | | | 76,065 | |
| | 397,000 | | | China Steel Corp. | | | 328,048 | |
| | 410,900 | | | Chroma ATE Inc. | | | 1,698,617 | |
| | 121,000 | | | Chunghwa Telecom Co., Ltd. | | | 420,993 | |
| | 139,000 | | | Compal Electronics Inc. | | | 86,003 | |
| | 545,880 | | | CTBC Financial Holding Co., Ltd. | | | 368,693 | |
| | 62,000 | | | Delta Electronics Inc. | | | 304,172 | |
| | 297,259 | | | E.Sun Financial Holding Co., Ltd. | | | 211,306 | |
| | 5,100 | | | Eclat Textile Co., Ltd. | | | 57,984 | |
| | 58,689 | | | Eva Airways Corp. | | | 29,421 | |
| | 103,223 | | | Evergreen Marine Corp. Taiwan Ltd. | | | 41,613 | |
| | 102,000 | | | Far Eastern New Century Corp. | | | 100,673 | |
| | 47,000 | | | Far EasTone Telecommunications Co., Ltd. | | | 109,177 | |
| | 11,000 | | | Feng TAY Enterprise Co., Ltd. | | | 68,837 | |
| | 250,837 | | | First Financial Holding Co., Ltd. | | | 168,518 | |
| | 107,000 | | | Formosa Chemicals & Fibre Corp. | | | 365,315 | |
| | 36,000 | | | Formosa Petrochemical Corp. | | | 135,670 | |
| | 134,000 | | | Formosa Plastics Corp. | | | 444,488 | |
| | 39,000 | | | Formosa Taffeta Co., Ltd. | | | 44,928 | |
| | 31,230 | | | Foxconn Technology Co., Ltd. | | | 63,824 | |
| | 204,000 | | | Fubon Financial Holding Co., Ltd. | | | 298,564 | |
| | 11,000 | | | Giant Manufacturing Co., Ltd. | | | 60,363 | |
| | 7,000 | | | Globalwafers Co., Ltd. | | | 75,570 | |
| | 46,920 | | | Gourmet Master Co., Ltd. | | | 351,530 | |
| | 21,000 | | | Highwealth Construction Corp. | | | 32,510 | |
| | 7,707 | | | Hiwin Technologies Corp. | | | 67,010 | |
| | 1,080,660 | | | Hon Hai Precision Industry Co., Ltd. | | | 2,541,755 | |
| | 8,000 | | | Hotai Motor Co., Ltd. | | | 86,594 | |
See Notes to Financial Statements.
123
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | Taiwan — 6.4% — (continued) | |
| | 205,088 | | | Hua Nan Financial Holdings Co., Ltd. | | $ | 125,020 | |
| | 268,000 | | | Innolux Corp. | | | 88,902 | |
| | 79,000 | | | Inventec Corp. | | | 60,154 | |
| | 3,541 | | | Largan Precision Co., Ltd. | | | 498,746 | |
| | 61,264 | | | Lite-On Technology Corp., ADR | | | 88,436 | |
| | 47,000 | | | MediaTek Inc. | | | 416,483 | |
| | 332,000 | | | Mega Financial Holding Co., Ltd. | | | 291,321 | |
| | 22,000 | | | Micro-Star International Co., Ltd. | | | 56,962 | |
| | 155,000 | | | Nan Ya Plastics Corp. | | | 386,045 | |
| | 30,000 | | | Nanya Technology Corp. | | | 59,095 | |
| | 5,000 | | | Nien Made Enterprise Co., Ltd. | | | 43,267 | |
| | 20,000 | | | Novatek Microelectronics Corp. | | | 110,620 | |
| | 63,000 | | | Pegatron Corp. | | | 105,792 | |
| | 4,000 | | | Phison Electronics Corp. | | | 35,743 | |
| | 56,000 | | | Pou Chen Corp. | | | 70,361 | |
| | 24,000 | | | Powertech Technology Inc. | | | 54,629 | |
| | 181,660 | | | Poya International Co., Ltd. | | | 1,855,205 | |
| | 16,539 | | | President Chain Store Corp. | | | 170,633 | |
| | 86,000 | | | Quanta Computer Inc. | | | 159,393 | |
| | 16,000 | | | Realtek Semiconductor Corp. | | | 90,287 | |
| | 15,120 | | | Ruentex Development Co., Ltd. | | | 23,753 | |
| | 14,400 | | | Ruentex Industries Ltd. | | | 37,975 | |
| | 82,000 | | | Shanghai Commercial & Savings Bank Ltd/The | | | 127,313 | |
| | 311,787 | | | Shin Kong Financial Holding Co., Ltd. | | | 92,330 | |
| | 331,846 | | | SinoPac Financial Holdings Co., Ltd. | | | 115,546 | |
| | 16,629 | | | Standard Foods Corp. | | | 28,392 | |
| | 49,700 | | | Synnex Technology International Corp. | | | 60,337 | |
| | 212,000 | | | TaiMed Biologics Inc.* | | | 1,242,975 | |
| | 271,963 | | | Taishin Financial Holding Co., Ltd. | | | 122,932 | |
| | 109,101 | | | Taiwan Business Bank | | | 39,850 | |
| | 140,600 | | | Taiwan Cement Corp. | | | 173,048 | |
| | 271,337 | | | Taiwan Cooperative Financial Holding Co., Ltd. | | | 167,352 | |
| | 73,000 | | | Taiwan High Speed Rail Corp. | | | 78,069 | |
| | 49,000 | | | Taiwan Mobile Co., Ltd. | | | 174,802 | |
| | 1,491,132 | | | Taiwan Semiconductor Manufacturing Co., Ltd. | | | 11,443,002 | |
| | 57,000 | | | Tatung Co., Ltd.* | | | 49,408 | |
| | 148,000 | | | Uni-President Enterprises Corp. | | | 359,827 | |
| | 383,000 | | | United Microelectronics Corp. | | | 140,289 | |
| | 23,000 | | | Vanguard International Semiconductor Corp. | | | 51,492 | |
| | 11,000 | | | Walsin Technology Corp. | | | 64,124 | |
| | 10,000 | | | Win Semiconductors Corp. | | | 54,433 | |
| | 84,000 | | | Winbond Electronics Corp. | | | 40,611 | |
| | 80,361 | | | Wistron Corp. | | | 55,531 | |
| | 48,760 | | | WPG Holdings Ltd. | | | 62,886 | |
| | 8,188 | | | Yageo Corp. | | | 87,973 | |
| | 326,000 | | | Yuanta Financial Holding Co., Ltd. | | | 184,220 | |
| | 14,000 | | | Zhen Ding Technology Holding Ltd. | | | 40,531 | |
| | | | | | | | |
| | | | Total Taiwan | | | 32,137,145 | |
| | | | | | | | |
|
| | Thailand — 2.2% | |
| | 32,300 | | | Advanced Info Service PCL, NVDR(a) | | | 186,330 | |
| | 133,200 | | | Airports of Thailand PCL, NVDR | | | 284,666 | |
| | 8,100 | | | Bangkok Bank PCL, Class Registered Shares | | | 54,881 | |
| | 123,700 | | | Bangkok Dusit Medical Services PCL, NVDR | | | 92,407 | |
| | 259,800 | | | Bangkok Expressway & Metro PCL, NVDR | | | 87,163 | |
| | 62,000 | | | Banpu PCL, NVDR | | | 32,055 | |
See Notes to Financial Statements.
124
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | Thailand — 2.2% — (continued) | |
| | 34,400 | | | Berli Jucker PCL, NVDR | | $ | 53,919 | |
| | 220,400 | | | BTS Group Holdings PCL, NVDR | | | 72,550 | |
| | 12,500 | | | Bumrungrad Hospital PCL, NVDR | | | 73,884 | |
| | 39,800 | | | Central Pattana PCL, NVDR | | | 95,275 | |
| | 94,800 | | | Charoen Pokphand Foods PCL, NVDR | | | 78,846 | |
| | 1,144,000 | | | CP ALL PCL, NVDR | | | 2,816,426 | |
| | 12,600 | | | Delta Electronics Thailand PCL, NVDR | | | 28,914 | |
| | 6,100 | | | Electricity Generating PCL, NVDR | | | 51,552 | |
| | 42,300 | | | Energy Absolute PCL, NVDR | | | 63,792 | |
| | 17,400 | | | Glow Energy PCL, NVDR | | | 50,162 | |
| | 10,000 | | | Gulf Energy Development PCL, NVDR | | | 28,676 | |
| | 143,100 | | | Home Product Center PCL, NVDR | | | 67,965 | |
| | 47,300 | | | Indorama Ventures PCL, NVDR | | | 77,270 | |
| | 254,400 | | | IRPC PCL, NVDR | | | 47,443 | |
| | 257,700 | | | Kasikornbank PCL | | | 1,614,786 | |
| | 16,600 | | | Kasikornbank PCL, NVDR | | | 103,755 | |
| | 101,600 | | | Krung Thai Bank PCL, NVDR | | | 62,126 | |
| | 71,400 | | | Minor International PCL, NVDR | | | 87,848 | |
| | 19,800 | | | Muangthai Capital PCL, NVDR | | | 29,461 | |
| | 40,800 | | | PTT Exploration & Production PCL, NVDR | | | 160,210 | |
| | 66,200 | | | PTT Global Chemical PCL, NVDR | | | 151,221 | |
| | 329,400 | | | PTT PCL, NVDR | | | 506,884 | |
| | 20,200 | | | Robinson PCL, NVDR | | | 41,291 | |
| | 91,900 | | | Siam Cement PCL, Class Registered Shares | | | 1,373,118 | |
| | 11,200 | | | Siam Cement PCL, NVDR | | | 168,214 | |
| | 57,600 | | | Siam Commercial Bank PCL, NVDR | | | 244,371 | |
| | 150,000 | | | Srisawad Corp PCL | | | 238,604 | |
| | 1,192,613 | | | Srisawad Corp. PCL, NVDR(a) | | | 1,902,228 | |
| | 34,900 | | | Thai Oil PCL, NVDR | | | 79,609 | |
| | 48,400 | | | Thai Union Group PCL, NVDR | | | 28,387 | |
| | 383,200 | | | TMB Bank PCL, NVDR | | | 27,654 | |
| | 336,600 | | | True Corp. PCL, NVDR(a) | | | 57,642 | |
| | | | | | | | |
| | | | Total Thailand | | | 11,221,585 | |
| | | | | | | | |
|
| | Turkey — 2.2% | |
| | 93,661 | | | Akbank T.A.S | | | 120,528 | |
| | 5,229 | | | Anadolu Efes Biracilik Ve Malt Sanayii AS | | | 19,652 | |
| | 5,951 | | | Arcelik AS | | | 23,208 | |
| | 7,996 | | | Aselsan Elektronik Sanayi Ve Ticaret AS | | | 36,725 | |
| | 221,491 | | | AvivaSA Emeklilik ve Hayat AS | | | 350,579 | |
| | 6,058 | | | BIM Birlesik Magazalar AS | | | 97,249 | |
| | 41,908 | | | Eregli Demir ve Celik Fabrikalari TAS | | | 73,069 | |
| | 1,793 | | | Ford Otomotiv Sanayi AS | | | 18,623 | |
| | 27,526 | | | Haci Ömer Sabanci Holding AS | | | 47,075 | |
| | 562,027 | | | KOC Holding AS | | | 1,961,581 | |
| | 721,240 | | | MLP Saglik Hizmetleri AS, (Restricted, cost — $2,136,166, acquired 2/7/18), Class B Shares*(b)(d) | | | 1,877,877 | |
| | 26,692 | | | Petkim Petrokimya Holding AS | | | 27,549 | |
| | 804,254 | | | Sok Marketler Ticaret AS* | | | 1,605,917 | |
| | 4,165 | | | TAV Havalimanlari Holding AS | | | 21,704 | |
| | 428,100 | | | Tofas Turk Otomobil Fabrikasi AS | | | 1,698,415 | |
| | 95,791 | | | Tüpras Türkiye Petrol Rafinerileri AS | | | 2,574,834 | |
| | 14,117 | | | Turk Hava Yollari AO* | | | 37,391 | |
| | 28,601 | | | Turkcell Iletisim Hizmetleri AS | | | 76,611 | |
| | 64,600 | | | Türkiye Garanti Bankasi AS | | | 107,937 | |
| | 19,428 | | | Türkiye Halk Bankasi AS | | | 27,840 | |
| | 46,584 | | | Turkiye Is Bankasi AS, Class C Shares | | | 50,669 | |
See Notes to Financial Statements.
125
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | Turkey — 2.2% — (continued) | |
| | 19,993 | | | Türkiye Sise ve Cam Fabrikalari AS | | $ | 25,241 | |
| | | | | | | | |
| | | | Total Turkey | | | 10,880,274 | |
| | | | | | | | |
|
| | United Arab Emirates — 0.6% | |
| | 63,463 | | | Abu Dhabi Commercial Bank PJSC | | | 164,693 | |
| | 139,638 | | | Aldar Properties PJSC | | | 67,659 | |
| | 64,729 | | | DAMAC Properties Dubai Co. PJSC | | | 24,312 | |
| | 5,041 | | | DP World Ltd. | | | 80,709 | |
| | 52,710 | | | Dubai Islamic Bank PJSC | | | 74,940 | |
| | 12,385 | | | Emaar Development PJSC | | | 13,149 | |
| | 67,240 | | | Emaar Malls PJSC | | | 32,079 | |
| | 113,203 | | | Emaar Properties PJSC | | | 150,985 | |
| | 58,862 | | | Emirates Telecommunications Group Co. PJSC | | | 270,495 | |
| | 77,875 | | | First Abu Dhabi Bank PJSC | | | 322,246 | |
| | 50,200 | | | NMC Health PLC | | | 1,797,754 | |
| | | | | | | | |
| | | | Total United Arab Emirates | | | 2,999,021 | |
| | | | | | | | |
|
| | United Kingdom — 0.0% | |
| | 3,779 | | | Mondi Ltd. | | | 88,766 | |
| | | | | | | | |
|
| | United States — 0.2% | |
| | 67,300 | | | Laureate Education Inc., Class A Shares* | | | 1,029,017 | |
| | 25,000 | | | Nexteer Automotive Group Ltd. | | | 35,638 | |
| | | | | | | | |
| | | | Total United States | | | 1,064,655 | |
| | | | | | | | |
|
| | Uruguay — 0.1% | |
| | 246,860 | | | Biotoscana Investments SA, BDR* | | | 573,795 | |
| | | | | | | | |
| | | | TOTAL COMMON STOCKS | | | | |
| | | | (Cost — $398,374,631) | | | 474,192,781 | |
| | | | | | | | |
|
| | PREFERRED STOCKS — 2.5% | |
|
| | Brazil — 1.5% | |
| | 103,120 | | | Banco Bradesco SA, Class Preferred Shares | | | 1,188,014 | |
| | 5,145 | | | Braskem SA, Class Preferred A Shares | | | 74,521 | |
| | 5,700 | | | Centrais Eletricas Brasileiras SA, Class Preferred B Shares* | | | 59,142 | |
| | 4,868 | | | Cia Brasileira de Distribuicao, Class Preferred Shares | | | 120,681 | |
| | 28,731 | | | Cia Energetica de Minas Gerais, Class Preferred Shares | | | 110,155 | |
| | 31,065 | | | Gerdau SA, Class Preferred Shares | | | 125,225 | |
| | 459,525 | | | Itaú Unibanco Holding SA, Class Preferred Shares | | | 4,310,360 | |
| | 134,114 | | | Itausa — Investimentos Itau SA, Class Preferred Shares | | | 441,708 | |
| | 21,975 | | | Lojas Americanas SA, Class Preferred Shares | | | 116,491 | |
| | 119,776 | | | Petroleo Brasileiro SA, Class Preferred Shares | | | 862,957 | |
| | 13,892 | | | Telefonica Brasil SA, Class Preferred Shares | | | 173,065 | |
| | | | | | | | |
| | | | Total Brazil | | | 7,582,319 | |
| | | | | | | | |
|
| | Chile — 0.1% | |
| | 10,966 | | | Embotelladora Andina SA, Class Preferred B Shares | | | 41,050 | |
| | 3,692 | | | Sociedad Quimica y Minera de Chile SA, Class Preferred B Shares | | | 153,405 | |
| | | | | | | | |
| | | | Total Chile | | | 194,455 | |
| | | | | | | | |
|
| | Colombia — 0.1% | |
| | 14,434 | | | Bancolombia SA, Class Preferred Shares | | | 173,873 | |
| | 140,207 | | | Grupo Aval Acciones y Valores SA, Class Preferred Shares | | | 53,462 | |
| | 3,430 | | | Grupo de Inversiones Suramericana SA, Class Preferred Shares | | | 36,777 | |
| | | | | | | | |
| | | | Total Colombia | | | 264,112 | |
| | | | | | | | |
See Notes to Financial Statements.
126
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | Russia — 0.0% | |
| | 242,358 | | | Surgutneftegas PJSC, Class Preferred Shares | | $ | 147,677 | |
| | 13 | | | Transneft PJSC, Class Preferred Shares | | | 33,637 | |
| | | | | | | | |
| | | | Total Russia | | | 181,314 | |
| | | | | | | | |
|
| | South Korea — 0.8% | |
| | 393 | | | Amorepacific Corp., Class Preferred Shares | | | 38,935 | |
| | 73 | | | CJ Corp., Class Preferred Shares*(e) | | | 1,751 | |
| | 1,220 | | | Hyundai Motor Co., Class Preferred 2nd Shares | | | 87,274 | |
| | 835 | | | Hyundai Motor Co., Class Preferred Shares | | | 54,567 | |
| | 312 | | | LG Chem Ltd., Class Preferred Shares | | | 60,848 | |
| | 83 | | | LG Household & Health Care Ltd., Class Preferred Shares | | | 55,335 | |
| | 120,815 | | | Samsung Electronics Co., Ltd., Class Preferred Shares | | | 3,879,187 | |
| | | | | | | | |
| | | | Total South Korea | | | 4,177,897 | |
| | | | | | | | |
| | | | TOTAL PREFERRED STOCKS
(Cost — $9,156,226) | | | 12,400,097 | |
| | | | | | | | |
| | | | TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS
(Cost — $407,530,857) | | | 486,592,878 | |
| | | | | | | | |
| | |
Face
Amount† | | | | | | |
|
| | SHORT-TERM INVESTMENTS (f) — 3.6% | |
|
| | MONEY MARKET FUND — 1.1% | |
| $ | 5,620,493 | | | Invesco STIT — Government & Agency Portfolio, 2.308%, Institutional Class(g)
(Cost — $5,620,493) | | | 5,620,493 | |
| | | | | | | | |
|
| | TIME DEPOSITS — 2.5% | |
| | 2,697,291 | | | ANZ National Bank — London, 1.750% due 3/1/19 | | | 2,697,291 | |
| | 980,494 | | | Banco Santander SA — Frankfurt, 1.750% due 3/1/19 | | | 980,494 | |
| | | | BBH — Grand Cayman: | | | | |
| | 70,379 | HKD | | 0.360% due 3/1/19 | | | 8,965 | |
| | 1 | SGD | | 0.800% due 3/1/19 | | | 1 | |
| | 46,751 | ZAR | | 5.140% due 3/1/19 | | | 3,317 | |
| | | | BNP Paribas — Paris: | | | | |
| | 193,714 | HKD | | 0.360% due 3/1/19 | | | 24,678 | |
| | 460,620 | ZAR | | 5.140% due 3/1/19 | | | 32,685 | |
| | 39,254 | EUR | | Citibank — London, (0.570)% due 3/1/19 | | | 44,647 | |
| | 40,392 | GBP | | HSBC Bank — London, 0.360% due 3/1/19 | | | 53,566 | |
| | 8,469,178 | | | JPMorgan Chase & Co. — New York, 1.750% due 3/1/19 | | | 8,469,178 | |
| | | | | | | | |
| | | | TOTAL TIME DEPOSITS
(Cost — $12,314,822) | | | 12,314,822 | |
| | | | | | | | |
| | | | TOTAL SHORT-TERM INVESTMENTS
(Cost — $17,935,315) | | | 17,935,315 | |
| | | | | | | | |
| | | | TOTAL INVESTMENTS — 101.0%
(Cost — $425,466,172) | | | 504,528,193 | |
| | | | | | | | |
| | | | Liabilities in Excess of Other Assets — (1.0)% | | | (5,076,105 | ) |
| | | | | | | | |
| | | | TOTAL NET ASSETS — 100.0% | | $ | 499,452,088 | |
| | | | | | | | |
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
| * | Non-income producing security. |
| (a) | All or a portion of this security is on loan (See Note 1). |
| (b) | Restricted security that may be sold to “qualified institutional buyers” pursuant to the conditions of Rule 144A under the Securities Act of 1933, as amended. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees, unless otherwise noted. The aggregate value of restricted 144A holdings at February 28, 2019 amounts to approximately $10,955,738 and represents 2.2% of net assets. |
See Notes to Financial Statements.
127
| | | | |
| Emerging Markets Equity Fund |
| (c) | Security trades on the Hong Kong exchange. |
| (d) | The aggregate value of restricted securities (excluding 144A holdings) at February 28, 2019 amounts to approximately $8,978,757 and represents 1.8% of net assets. |
| (e) | Security is valued in good faith at fair value by or under the direction of the Board of Trustees. |
| (f) | Inclusive of all short-term holdings, including collateral received from securities lending activities. Excluding such collateral, the percentage of portfolio holdings would be 2.5%. |
| (g) | Represents investment of collateral received from securities lending transactions. |
| # | Security that used significant unobservable inputs to determine fair value. |
At February 28, 2019, for Emerging Markets Equity Fund the aggregate cost of investments, the aggregate gross unrealized appreciation and depreciation of all investments for federal income tax purposes were as follows:
| | | | | | | | | | | | | | | | |
| Fund | | Aggregate Cost For
Federal Income
Tax Purposes | | | Gross Unrealized
Appreciation | | | Gross Unrealized
Depreciation | | | Net Unrealized
Appreciation | |
Emerging Markets Equity Fund | | $ | 425,466,172 | | | $ | 118,768,782 | | | $ | (39,615,359 | ) | | $ | 79,153,423 | |
| | |
Abbreviations used in this schedule: |
| ADR | | — American Depositary Receipts |
| BDR | | — Brazilian Depositary Receipts |
| GDR | | — Global Depositary Receipt |
| NVDR | | — Non Voting Depository Receipt |
| PCL | | — Public Company Limited |
| PLC | | — Public Limited Company |
| REIT | | — Real Estate Investment Trust |
| | | | |
| Summary of Investments by Security Sector^ | | | |
Financials: | | | | |
Banks | | | 18.6 | % |
Insurance | | | 4.4 | |
Consumer Finance | | | 1.8 | |
Other Financials | | | 1.2 | |
Consumer Discretionary | | | 17.3 | |
Information Technology | | | 13.1 | |
Communication Services | | | 10.9 | |
Industrials | | | 6.3 | |
Consumer Staples | | | 6.2 | |
Energy | | | 6.0 | |
Materials | | | 4.2 | |
Health Care | | | 2.7 | |
Real Estate | | | 2.0 | |
Utilities | | | 1.7 | |
Short-Term Investments | | | 3.6 | |
| | | | |
| | | 100.0 | % |
| | | | |
| ^ | As a percentage of total investments. |
See Notes to Financial Statements.
128
| | | | | | |
| Emerging Markets Equity Fund |
At February 28, 2019, Emerging Markets Equity Fund had open exchange-traded futures contracts as described below.
The unrealized appreciation on the open contracts reflected in the accompanying financial statements were as follows:
| | | | | | | | | | | | | | | | | | | | |
| Open Futures Contracts | | Number of
Contracts | | | Expiration
Date
(Month/Year) | | | Notional
Amount | | | Market
Value | | | Unrealized
Appreciation | |
| Contracts to Buy: | | | | | | | | | | | | | | | | | | | | |
MSCI Emerging MarketsE-mini Index March Futures | | | 29 | | | | 3/19 | | | $ | 1,426,313 | | | $ | 1,517,715 | | | $ | 91,402 | |
| | | | | | | | | | | | | | | | | | | | |
At February 28, 2019, Emerging Markets Equity Fund had deposited cash of $99,994 with a broker or brokers as margin collateral on an open exchange-traded futures contracts.
| | |
Currency Abbreviations used in this schedule: |
| EUR | | — Euro |
| GBP | | — British Pound |
| HKD | | — Hong Kong Dollar |
| SGD | | — Singapore Dollar |
| ZAR | | — South African Rand |
See Notes to Financial Statements.
129
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | CORPORATE BONDS & NOTES — 33.8% | |
|
| | Advertising — 0.0% | |
| $ | 54,000 | | | B- | | Clear Channel International BV, Company Guaranteed Notes, 8.750% due 12/15/20(a) | | $ | 55,552 | |
| | | | | | Interpublic Group of Cos., Inc. (The), Senior Unsecured Notes: | | | | |
| | 40,000 | | | BBB | | 3.500% due 10/1/20 | | | 40,222 | |
| | 25,000 | | | BBB | | 3.750% due 10/1/21 | | | 25,268 | |
| | | | | | | | | | |
| | | | | | Total Advertising | | | 121,042 | |
| | | | | | | | | | |
|
| | Aerospace/Defense — 0.9% | |
| | | | | | BAE Systems Holdings Inc., Company Guaranteed Notes: | | | | |
| | 105,000 | | | BBB | | 2.850% due 12/15/20(a) | | | 104,163 | |
| | 145,000 | | | BBB | | 3.800% due 10/7/24(a) | | | 146,133 | |
| | 35,000 | | | BBB | | 3.850% due 12/15/25(a) | | | 34,935 | |
| | 25,000 | | | A | | Boeing Co. (The), Senior Unsecured Notes, 3.825% due 3/1/59 | | | 23,765 | |
| | 430,000 | | | A+ | | General Dynamics Corp., Company Guaranteed Notes, 3.750% due 5/15/28 | | | 441,379 | |
| | | | | | Harris Corp., Senior Unsecured Notes: | | | | |
| | 865,000 | | | BBB- | | 4.400% due 6/15/28 | | | 891,234 | |
| | 128,000 | | | BBB- | | 5.054% due 4/27/45 | | | 136,281 | |
| | | | | | L3 Technologies Inc., Company Guaranteed Notes: | | | | |
| | 350,000 | | | BBB- | | 3.850% due 6/15/23 | | | 355,430 | |
| | 35,000 | | | BBB- | | 3.950% due 5/28/24 | | | 35,325 | |
| | 235,000 | | | BBB- | | 3.850% due 12/15/26 | | | 234,322 | |
| | 415,000 | | | BBB- | | 4.400% due 6/15/28 | | | 426,698 | |
| | | | | | Lockheed Martin Corp., Senior Unsecured Notes: | | | | |
| | 30,000 | | | BBB+ | | 3.100% due 1/15/23 | | | 30,044 | |
| | 400,000 | | | BBB+ | | 2.900% due 3/1/25 | | | 392,427 | |
| | 170,000 | | | BBB+ | | 3.550% due 1/15/26 | | | 173,058 | |
| | 40,000 | | | BBB+ | | 4.500% due 5/15/36 | | | 42,070 | |
| | 190,000 | | | BBB+ | | 4.070% due 12/15/42 | | | 186,089 | |
| | 85,000 | | | BBB+ | | 3.800% due 3/1/45 | | | 79,684 | |
| | 1,000 | | | BBB+ | | 4.090% due 9/15/52 | | | 968 | |
| | | | | | Northrop Grumman Corp., Senior Unsecured Notes: | | | | |
| | 80,000 | | | BBB | | 2.080% due 10/15/20 | | | 78,941 | |
| | 781,000 | | | BBB | | 2.930% due 1/15/25 | | | 757,982 | |
| | 892,000 | | | BBB | | 3.250% due 1/15/28 | | | 853,938 | |
| | 50,000 | | | BBB | | 3.850% due 4/15/45 | | | 45,979 | |
| | 150,000 | | | BBB | | 4.030% due 10/15/47 | | | 140,598 | |
| | 40,000 | | | A+ | | Raytheon Co., Senior Unsecured Notes, 7.200% due 8/15/27 | | | 50,779 | |
| | | | | | Rockwell Collins Inc., Senior Unsecured Notes: | | | | |
| | 40,000 | | | BBB+ | | 3.100% due 11/15/21 | | | 39,672 | |
| | 215,000 | | | BBB+ | | 2.800% due 3/15/22 | | | 212,112 | |
| | 395,000 | | | BBB- | | Spirit AeroSystems Inc., Company Guaranteed Notes, 3.950% due 6/15/23 | | | 398,061 | |
| | | | | | United Technologies Corp., Senior Unsecured Notes: | | | | |
| | 855,000 | | | BBB+ | | 3.350% due 8/16/21 | | | 862,784 | |
| | 150,000 | | | BBB+ | | 1.950% due 11/1/21 | | | 146,297 | |
| | 120,000 | | | BBB+ | | 3.950% due 8/16/25 | | | 122,516 | |
| | 210,000 | | | BBB+ | | 4.125% due 11/16/28 | | | 213,402 | |
| | 110,000 | | | BBB+ | | 4.500% due 6/1/42 | | | 108,936 | |
| | 35,000 | | | BBB+ | | 3.750% due 11/1/46 | | | 30,792 | |
| | | | | | | | | | |
| | | | | | Total Aerospace/Defense | | | 7,796,794 | |
| | | | | | | | | | |
|
| | Agriculture — 0.6% | |
| | | | | | Altria Group Inc., Company Guaranteed Notes: | | | | |
| | 260,000 | | | BBB | | 9.250% due 8/6/19 | | | 266,609 | |
| | 130,000 | | | BBB | | 4.750% due 5/5/21 | | | 134,218 | |
| | 115,000 | | | BBB | | 3.490% due 2/14/22 | | | 115,887 | |
See Notes to Financial Statements.
130
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Agriculture — 0.6% — (continued) | |
| $ | 250,000 | | | BBB | | 2.850% due 8/9/22 | | $ | 245,919 | |
| | 120,000 | | | BBB | | 2.950% due 5/2/23 | | | 117,703 | |
| | 100,000 | | | BBB | | 3.800% due 2/14/24 | | | 100,408 | |
| | 270,000 | | | BBB | | 4.400% due 2/14/26 | | | 272,768 | |
| | 370,000 | | | BBB | | 4.800% due 2/14/29 | | | 370,122 | |
| | 90,000 | | | BBB | | 5.800% due 2/14/39 | | | 89,867 | |
| | 192,000 | | | BBB | | 5.375% due 1/31/44 | | | 179,037 | |
| | 50,000 | | | BBB | | 5.950% due 2/14/49 | | | 50,119 | |
| | 145,000 | | | BBB | | 6.200% due 2/14/59 | | | 145,751 | |
| | | | | | BAT Capital Corp., Company Guaranteed Notes: | | | | |
| | 590,000 | | | BBB+ | | 3.557% due 8/15/27 | | | 541,296 | |
| | 555,000 | | | BBB+ | | 4.540% due 8/15/47 | | | 448,868 | |
| | 205,000 | | | BBB+ | | BAT International Finance PLC, Company Guaranteed Notes, 3.950% due 6/15/25(a) | | | 201,448 | |
| | | | | | Philip Morris International Inc., Senior Unsecured Notes: | | | | |
| | 240,000 | | | A | | 1.875% due 11/1/19 | | | 238,638 | |
| | 190,000 | | | A | | 2.900% due 11/15/21 | | | 190,035 | |
| | 110,000 | | | A | | 2.500% due 11/2/22 | | | 107,724 | |
| | 40,000 | | | A | | 2.750% due 2/25/26 | | | 37,687 | |
| | 60,000 | | | A | | 4.500% due 3/20/42 | | | 56,685 | |
| | | | | | Reynolds American Inc., Company Guaranteed Notes: | | | | |
| | 10,000 | | | BBB+ | | 8.125% due 6/23/19 | | | 10,154 | |
| | 61,000 | | | BBB+ | | 3.250% due 6/12/20 | | | 60,977 | |
| | 50,000 | | | BBB+ | | 4.000% due 6/12/22 | | | 50,663 | |
| | 120,000 | | | BBB+ | | 4.850% due 9/15/23 | | | 124,877 | |
| | 140,000 | | | BBB+ | | 4.450% due 6/12/25 | | | 141,395 | |
| | 175,000 | | | BBB+ | | 5.850% due 8/15/45 | | | 166,993 | |
| | 105,000 | | | BBB+ | | RJ Reynolds Tobacco Co., Company Guaranteed Notes, 6.875% due 5/1/20 | | | 109,294 | |
| | 10,000 | | | BB+ | | Teck Resources Ltd., Company Guaranteed Notes, 6.000% due 8/15/40 | | | 10,273 | |
| | | | | | | | | | |
| | | | | | Total Agriculture | | | 4,585,415 | |
| | | | | | | | | | |
|
| | Airlines — 0.2% | |
| | 30,667 | | | BBB+ | | Air Canada Class B Pass-Through Trust, Series2015-2, Pass-Thru Certificates, 5.000% due 12/15/23(a) | | | 31,205 | |
| | 204,244 | | | A- | | American Airlines Class A Pass-Through Trust, Series2013-2, Pass-Thru Certificates, 4.950% due 1/15/23 | | | 210,239 | |
| | 35,264 | | | AA | | American Airlines Class AA Pass-Through Trust, Series2015-2, Pass-Thru Certificates, 3.600% due 9/22/27 | | | 34,732 | |
| | 13,833 | | | AA+ | | American Airlines Class AA Pass-Through Trust, Series2016-3, Pass-Thru Certificates, 3.000% due 10/15/28 | | | 13,129 | |
| | 36,972 | | | Aa3(b) | | American Airlines Class AA Pass-Through Trust, Series2017-2, Pass-Thru Certificates, 3.350% due 10/15/29 | | | 35,602 | |
| | 207,382 | | | BBB- | | American Airlines Class B Pass-Through Trust, Series2013-1, Pass-Thru Certificates, 5.625% due 1/15/21(a) | | | 210,928 | |
| | 1,316 | | | BBB | | American Airlines Class B Pass-Through Trust, Series2014-1, Pass-Thru Certificates, 4.375% due 10/1/22 | | | 1,316 | |
| | 17,018 | | | BBB | | American Airlines Class B Pass-Through Trust, Series2015-1, Pass-Thru Certificates, 3.700% due 5/1/23 | | | 16,698 | |
| | 147,677 | | | BBB- | | American Airlines Class B Pass-Through Trust, Series2015-2, Pass-Thru Certificates, 4.400% due 9/22/23 | | | 147,677 | |
| | 1,497 | | | BBB- | | American Airlines Class B Pass-Through Trust, Series2016-1, Pass-Thru Certificates, 5.250% due 1/15/24 | | | 1,537 | |
| | 81,998 | | | BBB | | American Airlines Class B Pass-Through Trust, Series2016-2, Pass-Thru Certificates, 4.375% due 6/15/24(a) | | | 81,814 | |
| | 912 | | | BBB | | American Airlines Class B Pass-Through Trust, Series2016-3, Pass-Thru Certificates, 3.750% due 10/15/25 | | | 885 | |
See Notes to Financial Statements.
131
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Airlines — 0.2% — (continued) | |
| $ | 14,148 | | | Baa3(b) | | American Airlines Class B Pass-Through Trust, Series2017-1, Pass-Thru Certificates, 4.950% due 2/15/25 | | $ | 14,403 | |
| | 9,494 | | | Baa3(b) | | American Airlines Class B Pass-Through Trust, Series2017-2, Pass-Thru Certificates, 3.700% due 10/15/25 | | | 9,230 | |
| | 90,445 | | | A+ | | Continental Airlines Inc.Class A-1 Pass-Through Trust, Series1999-2, Pass-Thru Certificates, 7.256% due 3/15/20 | | | 91,576 | |
| | 443 | | | BBB | | Continental Airlines Inc. Class B Pass-Through Trust, Series2012-1, Pass-Thru Certificates, 6.250% due 4/11/20 | | | 451 | |
| | 339,890 | | | A+ | | Delta Air Lines Class A Pass-Through Trust, Series2009-1, Pass-Thru Certificates, 7.750% due 12/17/19 | | | 350,072 | |
| | 54,000 | | | BB+ | | Delta Air Lines Inc., Senior Unsecured Notes, 3.625% due 3/15/22 | | | 53,870 | |
| | 261,539 | | | BBB- | | Northwest Airlines Inc.Class A-1 Pass-Through Trust, Series2001-1, Pass-Thru Certificates, 7.041% due 4/1/22 | | | 280,840 | |
| | 45,000 | | | BBB+ | | Southwest Airlines Co., Senior Unsecured Notes, 2.750% due 11/16/22 | | | 44,050 | |
| | | | | | United Airlines Class AA Pass-Through Trust, Pass-Thru Certificates: | | | | |
| | 36,044 | | | AA | | 3.450% due 12/1/27 | | | 35,301 | |
| | 28,414 | | | Aa3(b) | | 2.875% due 10/7/28 | | | 26,785 | |
| | 65,000 | | | Aa3(b) | | 4.150% due 8/25/31 | | | 65,945 | |
| | | | | | United Airlines Class B Pass-Through Trust, Pass-Thru Certificates: | | | | |
| | 3,398 | | | BBB | | 4.750% due 4/11/22 | | | 3,433 | |
| | 4,572 | | | Baa2(b) | | 3.650% due 10/7/25 | | | 4,417 | |
| | 8,229 | | | Baa2(b) | | 3.650% due 1/7/26 | | | 8,029 | |
| | 3,613 | | | BBB- | | US Airways Class B Pass-Through Trust, Series2012-2, Pass-Thru Certificates, 6.750% due 6/3/21 | | | 3,782 | |
| | 12,296 | | | BBB- | | US Airways Class B Pass-Through Trust, Series2013-1, Pass-Thru Certificates, 5.375% due 11/15/21 | | | 12,623 | |
| | 180,266 | | | A+ | | US Airways Class G Pass-Through Trust, Series2001-1, Pass-Thru Certificates, 7.076% due 3/20/21 | | | 189,279 | |
| | | | | | | | | | |
| | | | | | Total Airlines | | | 1,979,848 | |
| | | | | | | | | | |
|
| | Apparel — 0.0% | |
| | | | | | Hanesbrands Inc., Company Guaranteed Notes: | | | | |
| | 10,000 | | | BB- | | 4.625% due 5/15/24(a) | | | 10,039 | |
| | 70,000 | | | BB- | | 4.875% due 5/15/26(a) | | | 69,300 | |
| | | | | | | | | | |
| | | | | | Total Apparel | | | 79,339 | |
| | | | | | | | | | |
|
| | Auto Manufacturers — 1.0% | |
| | 20,000 | | | Ba3(b) | | Allison Transmission Inc., Senior Unsecured Notes, 5.000% due 10/1/24(a) | | | 20,200 | |
| | 65,000 | | | A | | American Honda Finance Corp., Senior Unsecured Notes, 2.900% due 2/16/24 | | | 64,148 | |
| | | | | | BMW US Capital LLC, Company Guaranteed Notes: | | | | |
| | 30,000 | | | A+ | | 1.850% due 9/15/21(a) | | | 29,145 | |
| | 20,000 | | | A+ | | 2.800% due 4/11/26(a) | | | 18,832 | |
| | | | | | Daimler Finance North America LLC, Company Guaranteed Notes: | | | | |
| | 500,000 | | | A | | 1.500% due 7/5/19(a) | | | 497,788 | |
| | 150,000 | | | A | | 2.700% due 8/3/20(a) | | | 148,817 | |
| | | | | | Ford Motor Co., Senior Unsecured Notes: | | | | |
| | 60,000 | | | BBB | | 7.450% due 7/16/31 | | | 63,364 | |
| | 40,000 | | | BBB | | 4.750% due 1/15/43 | | | 30,699 | |
| | 100,000 | | | BBB | | 5.291% due 12/8/46 | | | 80,851 | |
| | | | | | Ford Motor Credit Co. LLC, Senior Unsecured Notes: | | | | |
| | 250,000 | | | BBB | | 2.597% due 11/4/19 | | | 249,369 | |
| | 320,000 | | | BBB | | 8.125% due 1/15/20 | | | 332,441 | |
| | 290,000 | | | BBB | | 2.425% due 6/12/20 | | | 285,656 | |
| | 420,000 | | | BBB | | 2.343% due 11/2/20 | | | 409,786 | |
| | 430,000 | | | BBB | | 5.085% due 1/7/21 | | | 437,962 | |
See Notes to Financial Statements.
132
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Auto Manufacturers — 1.0% — (continued) | |
| $ | 400,000 | | | BBB | | 3.200% due 1/15/21 | | $ | 394,678 | |
| | 440,000 | | | BBB | | 3.677%(3-MonthUSD-LIBOR + 0.880%) due 10/12/21(c) | | | 424,481 | |
| | 295,000 | | | BBB | | 3.339% due 3/28/22 | | | 283,286 | |
| | 400,000 | | | BBB | | 3.096% due 5/4/23 | | | 368,265 | |
| | 200,000 | | | BBB | | 4.389% due 1/8/26 | | | 182,839 | |
| | | | | | General Motors Co., Senior Unsecured Notes: | | | | |
| | 115,000 | | | BBB | | 5.000% due 4/1/35 | | | 103,043 | |
| | 340,000 | | | BBB | | 6.250% due 10/2/43 | | | 336,604 | |
| | 455,000 | | | BBB | | 5.200% due 4/1/45 | | | 397,118 | |
| | 75,000 | | | BBB | | 5.400% due 4/1/48 | | | 67,229 | |
| | | | | | General Motors Financial Co., Inc.: | | | | |
| | | | | | Company Guaranteed Notes: | | | | |
| | 435,000 | | | BBB | | 2.400% due 5/9/19 | | | 434,695 | |
| | 295,000 | | | BBB | | 3.200% due 7/13/20 | | | 295,228 | |
| | 230,000 | | | BBB | | 2.450% due 11/6/20 | | | 226,247 | |
| | 25,000 | | | BBB | | 3.550% due 4/9/21 | | | 25,021 | |
| | 100,000 | | | BBB | | 4.375% due 9/25/21 | | | 101,713 | |
| | 15,000 | | | BBB | | 3.450% due 4/10/22 | | | 14,907 | |
| | 250,000 | | | BBB | | 3.950% due 4/13/24 | | | 243,417 | |
| | 70,000 | | | BBB | | 4.350% due 4/9/25 | | | 68,538 | |
| | 60,000 | | | BBB | | Senior Unsecured Notes, 4.200% due 11/6/21 | | | 60,770 | |
| | | | | | Hyundai Capital America, Senior Unsecured Notes: | | | | |
| | 90,000 | | | BBB+ | | 1.750% due 9/27/19(a) | | | 89,247 | |
| | 20,000 | | | BBB+ | | 2.550% due 4/3/20(a) | | | 19,796 | |
| | 218,000 | | | BBB+ | | 3.000% due 10/30/20(a) | | | 215,907 | |
| | 10,000 | | | BBB+ | | 3.750% due 7/8/21(a) | | | 9,997 | |
| | 250,000 | | | BBB+ | | 3.950% due 2/1/22(a) | | | 251,597 | |
| | | | | | Hyundai Capital Services Inc., Senior Unsecured Notes: | | | | |
| | 200,000 | | | BBB+ | | 3.000% due 8/29/22(a) | | | 194,969 | |
| | 200,000 | | | BBB+ | | 3.750% due 3/5/23(a) | | | 198,898 | |
| | 20,000 | | | A- | | Nissan Motor Acceptance Corp., Senior Unsecured Notes, 3.650% due 9/21/21(a) | | | 19,920 | |
| | | | | | Toyota Motor Credit Corp., Senior Unsecured Notes: | | | | |
| | 75,000 | | | AA- | | 3.050% due 1/8/21 | | | 75,333 | |
| | 30,000 | | | AA- | | 3.450% due 9/20/23 | | | 30,446 | |
| | | | | | Volkswagen Group of America Finance LLC, Company Guaranteed Notes: | | | | |
| | 220,000 | | | BBB+ | | 2.400% due 5/22/20(a) | | | 217,863 | |
| | 370,000 | | | BBB+ | | 3.875% due 11/13/20(a) | | | 374,171 | |
| | 200,000 | | | BBB+ | | 4.000% due 11/12/21(a) | | | 202,714 | |
| | 130,000 | | | BBB+ | | Volkswagen International Finance NV, Company Guaranteed Notes, 4.000% due 8/12/20(a) | | | 131,403 | |
| | | | | | | | | | |
| | | | | | Total Auto Manufacturers | | | 8,729,398 | |
| | | | | | | | | | |
|
| | Auto Parts & Equipment — 0.1% | |
| | 21,000 | | | BBB | | Aptiv Corp., Company Guaranteed Notes, 4.150% due 3/15/24 | | | 21,109 | |
| | 6,000 | | | BBB | | Aptiv PLC, Company Guaranteed Notes, 4.400% due 10/1/46 | | | 5,185 | |
| | 23,000 | | | BBB- | | Lear Corp., Senior Unsecured Notes, 5.250% due 1/15/25 | | | 23,632 | |
| | | | | | ZF North America Capital Inc., Company Guaranteed Notes: | | | | |
| | 160,000 | | | BBB- | | 4.500% due 4/29/22(a) | | | 161,410 | |
| | 280,000 | | | BBB- | | 4.750% due 4/29/25(a) | | | 273,405 | |
| | | | | | | | | | |
| | | | | | Total Auto Parts & Equipment | | | 484,741 | |
| | | | | | | | | | |
|
| | Banks — 9.5% | |
| | 756,000 | | | A | | ABN AMRO Bank NV, Senior Unsecured Notes, 2.650% due 1/19/21(a) | | | 750,978 | |
| | 250,000 | | | AA- | | Australia & New Zealand Banking Group Ltd., Senior Unsecured Notes, 2.250% due 11/9/20 | | | 247,182 | |
| | | | | | Banco Santander SA, Senior Unsecured Notes: | | | | |
| | 200,000 | | | A- | | 3.848% due 4/12/23 | | | 198,889 | |
| | 600,000 | | | A- | | 4.379% due 4/12/28 | | | 591,230 | |
See Notes to Financial Statements.
133
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Banks — 9.5% — (continued) | |
| | | | | | Bank of America Corp.: | | | | |
| | | | | | Senior Unsecured Notes: | | | | |
| $ | 950,000 | | | A- | | 2.369%(3-MonthUSD-LIBOR + 0.660%) due 7/21/21(c) | | $ | 940,524 | |
| | 1,310,000 | | | A- | | 2.738%(3-MonthUSD-LIBOR + 0.370%) due 1/23/22(c) | | | 1,300,309 | |
| | 750,000 | | | A- | | 3.499%(3-MonthUSD-LIBOR + 0.630%) due 5/17/22(c) | | | 755,538 | |
| | 1,111,000 | | | A- | | 3.004%(3-MonthUSD-LIBOR + 0.790%) due 12/20/23(c) | | | 1,097,206 | |
| | 490,000 | | | A- | | 4.125% due 1/22/24 | | | 507,098 | |
| | 955,000 | | | A- | | 3.550%(3-MonthUSD-LIBOR + 0.780%) due 3/5/24(c) | | | 959,378 | |
| | 705,000 | | | A- | | 4.000% due 4/1/24 | | | 726,005 | |
| | 244,000 | | | A- | | 3.875% due 8/1/25 | | | 248,782 | |
| | 465,000 | | | A- | | 3.093%(3-MonthUSD-LIBOR + 1.090%) due 10/1/25(c) | | | 454,232 | |
| | 210,000 | | | A- | | 3.500% due 4/19/26 | | | 208,789 | |
| | 620,000 | | | A- | | 3.824%(3-MonthUSD-LIBOR + 1.575%) due 1/20/28(c) | | | 617,646 | |
| | 120,000 | | | A- | | 3.705%(3-MonthUSD-LIBOR + 1.512%) due 4/24/28(c) | | | 118,524 | |
| | 50,000 | | | A- | | 3.593%(3-MonthUSD-LIBOR + 1.370%) due 7/21/28(c) | | | 48,985 | |
| | 604,000 | | | A- | | 3.419%(3-MonthUSD-LIBOR + 1.040%) due 12/20/28(c) | | | 583,325 | |
| | 350,000 | | | A- | | 3.970%(3-MonthUSD-LIBOR + 1.070%) due 3/5/29(c) | | | 351,309 | |
| | 530,000 | | | A- | | 4.271%(3-MonthUSD-LIBOR + 1.310%) due 7/23/29(c) | | | 544,849 | |
| | 240,000 | | | A- | | 5.000% due 1/21/44 | | | 262,626 | |
| | 40,000 | | | A- | | 3.946%(3-MonthUSD-LIBOR + 1.190%) due 1/23/49(c) | | | 37,666 | |
| | | | | | Subordinated Notes: | | | | |
| | 1,019,000 | | | BBB+ | | 4.200% due 8/26/24 | | | 1,039,917 | |
| | 1,040,000 | | | BBB+ | | 4.000% due 1/22/25 | | | 1,043,282 | |
| | 211,000 | | | BBB+ | | 4.450% due 3/3/26 | | | 215,146 | |
| | 50,000 | | | BBB+ | | Bank of Montreal, Subordinated Notes, 3.803%(5-Year USD Swap Rate + 1.432%) due 12/15/32(c) | | | 47,823 | |
| | | | | | Bank of New York Mellon Corp. (The): | | | | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 500,000 | | | A | | 2.661%(3-MonthUSD-LIBOR + 0.634%) due 5/16/23(c) | | | 492,715 | |
| | 195,000 | | | A | | 3.400% due 5/15/24 | | | 196,627 | |
| | 72,000 | | | A | | 3.442%(3-MonthUSD-LIBOR + 1.069%) due 2/7/28(c) | | | 71,918 | |
| | 20,000 | | | A- | | Subordinated Notes, 3.300% due 8/23/29 | | | 19,480 | |
| | 270,000 | | | A+ | | Bank of Nova Scotia (The), Senior Unsecured Notes, 3.125% due 4/20/21 | | | 271,400 | |
| | 400,000 | | | A | | Banque Federative du Credit Mutuel SA, Senior Unsecured Notes, 2.750% due 10/15/20(a) | | | 397,388 | |
| | 100,000 | | | BBB- | | Barclays Bank PLC, Subordinated Notes, 5.140% due 10/14/20 | | | 102,172 | |
| | | | | | Barclays PLC, Senior Unsecured Notes: | | | | |
| | 400,000 | | | BBB | | 3.250% due 1/12/21 | | | 398,360 | |
| | 380,000 | | | BBB | | 3.684% due 1/10/23 | | | 376,780 | |
| | 505,000 | | | BBB | | 4.338%(3-MonthUSD-LIBOR + 1.356%) due 5/16/24(c) | | | 504,993 | |
| | 260,000 | | | BBB | | 4.375% due 1/12/26 | | | 258,500 | |
| | 620,000 | | | BBB | | 4.972%(3-MonthUSD-LIBOR + 1.902%) due 5/16/29(c) | | | 629,036 | |
| | | | | | BNP Paribas SA: | | | | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 270,000 | | | A- | | 3.375% due 1/9/25(a) | | | 261,642 | |
| | 780,000 | | | A- | | 4.705%(3-MonthUSD-LIBOR + 2.235%) due 1/10/25(a)(c) | | | 804,204 | |
| | 750,000 | | | A- | | 4.400% due 8/14/28(a) | | | 755,192 | |
| | 400,000 | | | A- | | 5.198%(3-MonthUSD-LIBOR + 2.567%) due 1/10/30(a)(c) | | | 423,119 | |
| | 200,000 | | | BBB+ | | Subordinated Notes, 4.375%(5-Year USD Swap Rate + 1.483%) due 3/1/33(a)(c) | | | 191,669 | |
| | | | | | Capital One NA, Senior Unsecured Notes: | | | | |
| | 280,000 | | | BBB+ | | 2.350% due 1/31/20 | | | 278,381 | |
| | 280,000 | | | BBB+ | | 2.250% due 9/13/21 | | | 272,775 | |
| | | | | | CIT Group Inc., Senior Unsecured Notes: | | | | |
| | 140,000 | | | BB+ | | 4.750% due 2/16/24 | | | 142,800 | |
| | 40,000 | | | BB+ | | 5.250% due 3/7/25 | | | 42,000 | |
See Notes to Financial Statements.
134
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Banks — 9.5% — (continued) | |
| | | | | | Citigroup Inc.: | | | | |
| $ | 530,000 | | | BB+ | | Junior Subordinated Notes, 5.950%(3-MonthUSD-LIBOR + 3.905%)(c)(d) | | $ | 534,757 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 114,000 | | | BBB+ | | 8.125% due 7/15/39 | | | 165,678 | |
| | 196,000 | | | BBB+ | | 4.650% due 7/30/45 | | | 203,999 | |
| | | | | | Subordinated Notes: | | | | |
| | 690,000 | | | BBB | | 4.400% due 6/10/25 | | | 702,421 | |
| | 250,000 | | | BBB | | 5.500% due 9/13/25 | | | 270,433 | |
| | 890,000 | | | BBB | | 4.300% due 11/20/26 | | | 892,483 | |
| | 390,000 | | | BBB | | 4.450% due 9/29/27 | | | 391,951 | |
| | 30,000 | | | BBB | | 6.625% due 6/15/32 | | | 35,610 | |
| | 100,000 | | | BBB | | 6.675% due 9/13/43 | | | 123,539 | |
| | 286,000 | | | BBB | | 5.300% due 5/6/44 | | | 303,430 | |
| | 30,000 | | | BBB | | 4.750% due 5/18/46 | | | 29,483 | |
| | 15,000 | | | BBB+ | | Citizens Financial Group Inc., Senior Unsecured Notes, 2.375% due 7/28/21 | | | 14,703 | |
| | 340,000 | | | BBB- | | Commerzbank AG, Subordinated Notes, 8.125% due 9/19/23(a) | | | 376,398 | |
| | | | | | Commonwealth Bank of Australia, Senior Unsecured Notes: | | | | |
| | 55,000 | | | AA- | | 3.450% due 3/16/23(a) | | | 55,354 | |
| | 98,000 | | | AA- | | 3.900% due 7/12/47(a) | | | 93,296 | |
| | | | | | Cooperatieve Rabobank UA: | | | | |
| | | | | | Company Guaranteed Notes: | | | | |
| | 310,000 | | | BBB+ | | 4.625% due 12/1/23 | | | 319,809 | |
| | 990,000 | | | BBB+ | | 4.375% due 8/4/25 | | | 1,006,629 | |
| | 320,000 | | | BBB- | | Junior Subordinated Notes, 11.000%(3-MonthUSD-LIBOR + 10.868%)(a)(c)(d) | | | 328,400 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 100,000 | | | A+ | | 4.750% due 1/15/20(a) | | | 101,641 | |
| | 510,000 | | | A+ | | 2.500% due 1/19/21 | | | 505,662 | |
| | 800,000 | | | A+ | | 3.125% due 4/26/21 | | | 802,486 | |
| | | | | | Credit Suisse Group AG, Senior Unsecured Notes: | | | | |
| | 400,000 | | | BBB+ | | 4.282% due 1/9/28(a) | | | 398,957 | |
| | 250,000 | | | BBB+ | | 3.869%(3-MonthUSD-LIBOR + 1.410%) due 1/12/29(a)(c) | | | 239,982 | |
| | | | | | Credit Suisse Group Funding Guernsey Ltd., Company Guaranteed Notes: | | | | |
| | 250,000 | | | BBB+ | | 2.750% due 3/26/20 | | | 249,247 | |
| | 250,000 | | | BBB+ | | 3.125% due 12/10/20 | | | 249,704 | |
| | 250,000 | | | BBB+ | | 3.450% due 4/16/21 | | | 250,634 | |
| | 250,000 | | | BBB+ | | 3.800% due 9/15/22 | | | 250,993 | |
| | 320,000 | | | BBB+ | | 4.550% due 4/17/26 | | | 328,131 | |
| | | | | | Danske Bank AS, Senior Unsecured Notes: | | | | |
| | 440,000 | | | BBB+ | | 5.000% due 1/12/22(a) | | | 449,394 | |
| | 200,000 | | | BBB+ | | 5.375% due 1/12/24(a) | | | 206,319 | |
| | | | | | Deutsche Bank AG, Senior Unsecured Notes: | | | | |
| | 300,000 | | | BBB- | | 4.250% due 2/4/21 | | | 298,937 | |
| | 140,000 | | | BBB- | | 3.375% due 5/12/21 | | | 137,318 | |
| | 190,000 | | | BBB- | | 4.250% due 10/14/21 | | | 188,962 | |
| | 133,000 | | | BBB- | | 4.100% due 1/13/26 | | | 123,237 | |
| | 250,000 | | | BBB | | Discover Bank, Senior Unsecured Notes, 3.100% due 6/4/20 | | | 250,014 | |
| | 21,000 | | | BB | | Goldman Sachs Capital II, Limited Guaranteed Notes, 4.000%(3-MonthUSD-LIBOR + 0.768%)(c)(d) | | | 15,991 | |
| | | | | | Goldman Sachs Group Inc. (The): | | | | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 140,000 | | | BBB+ | | 2.300% due 12/13/19 | | | 139,377 | |
| | 810,000 | | | BBB+ | | 6.000% due 6/15/20 | | | 839,897 | |
| | 190,000 | | | BBB+ | | 2.750% due 9/15/20 | | | 189,249 | |
| | 120,000 | | | BBB+ | | 2.875% due 2/25/21 | | | 119,557 | |
| | 155,000 | | | BBB+ | | 5.250% due 7/27/21 | | | 162,175 | |
See Notes to Financial Statements.
135
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Banks — 9.5% — (continued) | |
| $ | 40,000 | | | BBB+ | | 3.524%(3-MonthUSD-LIBOR + 0.780%) due 10/31/22(c) | | $ | 39,900 | |
| | 130,000 | | | BBB+ | | 3.200% due 2/23/23 | | | 129,156 | |
| | 275,000 | | | BBB+ | | 4.000% due 3/3/24 | | | 279,349 | |
| | 350,000 | | | BBB+ | | 3.272%(3-MonthUSD-LIBOR + 1.201%) due 9/29/25(c) | | | 339,316 | |
| | 150,000 | | | BBB+ | | 3.854%(3-MonthUSD-LIBOR + 1.170%) due 5/15/26(c) | | | 146,578 | |
| | 150,000 | | | BBB+ | | 3.500% due 11/16/26 | | | 144,550 | |
| | 210,000 | | | BBB+ | | 3.850% due 1/26/27 | | | 206,356 | |
| | 135,000 | | | BBB+ | | 3.691%(3-MonthUSD-LIBOR + 1.510%) due 6/5/28(c) | | | 130,916 | |
| | 1,275,000 | | | BBB+ | | 3.814%(3-MonthUSD-LIBOR + 1.158%) due 4/23/29(c) | | | 1,240,555 | |
| | 915,000 | | | BBB+ | | 4.223%(3-MonthUSD-LIBOR + 1.301%) due 5/1/29(c) | | | 918,717 | |
| | 210,000 | | | BBB+ | | 6.250% due 2/1/41 | | | 253,302 | |
| | 210,000 | | | BBB+ | | 4.750% due 10/21/45 | | | 212,920 | |
| | | | | | Subordinated Notes: | | | | |
| | 610,000 | | | BBB- | | 4.250% due 10/21/25 | | | 613,449 | |
| | 460,000 | | | BBB- | | 6.750% due 10/1/37 | | | 547,550 | |
| | 290,000 | | | BBB- | | 5.150% due 5/22/45 | | | 292,361 | |
| | | | | | HSBC Holdings PLC: | | | | |
| | | | | | Junior Subordinated Notes: | | | | |
| | 210,000 | | | Baa3(b) | | 6.375%(5-Year USD 1100 Run ICE Swap Rate + 3.705%)(c)(d) | | | 210,963 | |
| | 240,000 | | | Baa3(b) | | 6.250%(5-Year USD 1100 Run ICE Swap Rate + 3.453%)(c)(d) | | | 239,600 | |
| | 240,000 | | | Baa3(b) | | 6.500%(5-Year USD 1100 Run ICE Swap Rate + 3.606%)(c)(d) | | | 236,484 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 200,000 | | | A | | 3.400% due 3/8/21 | | | 201,027 | |
| | 200,000 | | | A | | 2.650% due 1/5/22 | | | 197,080 | |
| | 200,000 | | | A | | 3.950%(3-MonthUSD-LIBOR + 0.987%) due 5/18/24(c) | | | 202,081 | |
| | 1,210,000 | | | A | | 4.583%(3-MonthUSD-LIBOR + 1.535%) due 6/19/29(c) | | | 1,241,734 | |
| | | | | | Subordinated Notes: | | | | |
| | 240,000 | | | BBB+ | | 4.250% due 8/18/25 | | | 242,089 | |
| | 390,000 | | | BBB+ | | 6.500% due 9/15/37 | | | 466,421 | |
| | | | | | HSBC USA Inc.: | | | | |
| | 220,000 | | | A | | Senior Unsecured Notes, 2.350% due 3/5/20 | | | 218,833 | |
| | 100,000 | | | A- | | Subordinated Notes, 5.000% due 9/27/20 | | | 102,409 | |
| | | | | | ING Bank NV: | | | | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 610,000 | | | A+ | | 2.450% due 3/16/20(a) | | | 607,523 | |
| | 200,000 | | | A+ | | 2.750% due 3/22/21(a) | | | 198,635 | |
| | 200,000 | | | BBB+ | | Subordinated Notes, 5.800% due 9/25/23(a) | | | 213,252 | |
| | | | | | Intesa Sanpaolo SpA: | | | | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 200,000 | | | BBB | | 3.125% due 7/14/22(a) | | | 190,209 | |
| | 200,000 | | | BBB | | 3.375% due 1/12/23(a) | | | 190,972 | |
| | 810,000 | | | BB+ | | Subordinated Notes, 5.017% due 6/26/24(a) | | | 751,188 | |
| | | | | | JPMorgan Chase & Co.: | | | | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 200,000 | | | A- | | 2.250% due 1/23/20 | | | 198,964 | |
| | 555,000 | | | A- | | 2.750% due 6/23/20 | | | 553,885 | |
| | 90,000 | | | A- | | 4.400% due 7/22/20 | | | 91,791 | |
| | 200,000 | | | A- | | 2.550% due 3/1/21 | | | 198,285 | |
| | 10,000 | | | A- | | 3.514%(3-MonthUSD-LIBOR + 0.610%) due 6/18/22(c) | | | 10,110 | |
| | 99,000 | | | A- | | 2.972% due 1/15/23 | | | 98,523 | |
| | 55,000 | | | A- | | 4.009%(3-MonthUSD-LIBOR + 1.230%) due 10/24/23(c) | | | 55,889 | |
| | 175,000 | | | A- | | 3.559%(3-MonthUSD-LIBOR + 0.730%) due 4/23/24(c) | | | 176,066 | |
| | 285,000 | | | A- | | 3.797%(3-MonthUSD-LIBOR + 0.890%) due 7/23/24(c) | | | 289,575 | |
| | 1,130,000 | | | A- | | 4.023%(3-MonthUSD-LIBOR + 1.000%) due 12/5/24(c) | | | 1,159,156 | |
| | 180,000 | | | A- | | 3.300% due 4/1/26 | | | 176,445 | |
See Notes to Financial Statements.
136
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Banks — 9.5% — (continued) | |
| $ | 580,000 | | | A- | | 3.782%(3-MonthUSD-LIBOR + 1.337%) due 2/1/28(c) | | $ | 579,895 | |
| | 100,000 | | | A- | | 3.540%(3-MonthUSD-LIBOR + 1.380%) due 5/1/28(c) | | | 98,367 | |
| | 1,375,000 | | | A- | | 3.509%(3-MonthUSD-LIBOR + 0.945%) due 1/23/29(c) | | | 1,339,656 | |
| | 1,250,000 | | | A- | | 4.203%(3-MonthUSD-LIBOR + 1.260%) due 7/23/29(c) | | | 1,282,752 | |
| | 320,000 | | | A- | | 4.452%(3-MonthUSD-LIBOR + 1.330%) due 12/5/29(c) | | | 335,508 | |
| | | | | | Subordinated Notes: | | | | |
| | 55,000 | | | BBB+ | | 3.375% due 5/1/23 | | | 55,070 | |
| | 270,000 | | | BBB+ | | 3.875% due 9/10/24 | | | 273,485 | |
| | 210,000 | | | BBB+ | | 4.250% due 10/1/27 | | | 213,447 | |
| | 290,000 | | | BBB+ | | 4.950% due 6/1/45 | | | 307,993 | |
| | | | | | KeyCorp, Senior Unsecured Notes: | | | | |
| | 150,000 | | | BBB+ | | 2.900% due 9/15/20 | | | 150,128 | |
| | 45,000 | | | BBB+ | | 4.150% due 10/29/25 | | | 46,534 | |
| | | | | | Lloyds Bank PLC, Company Guaranteed Notes: | | | | |
| | 425,000 | | | A+ | | 2.700% due 8/17/20 | | | 422,908 | |
| | 725,000 | | | BBB | | 6.500% due 9/14/20(a) | | | 753,386 | |
| | | | | | Lloyds Banking Group PLC: | | | | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 200,000 | | | BBB+ | | 3.000% due 1/11/22 | | | 197,136 | |
| | 235,000 | | | BBB+ | | 2.907%(3-MonthUSD-LIBOR + 0.810%) due 11/7/23(c) | | | 227,733 | |
| | 220,000 | | | BBB+ | | 4.450% due 5/8/25 | | | 225,240 | |
| | 200,000 | | | BBB+ | | 4.375% due 3/22/28 | | | 199,869 | |
| | 200,000 | | | BBB+ | | 3.574%(3-MonthUSD-LIBOR + 1.205%) due 11/7/28(c) | | | 187,664 | |
| | 245,000 | | | BBB- | | Subordinated Notes, 4.582% due 12/10/25 | | | 242,231 | |
| | 220,000 | | | BBB | | Macquarie Group Ltd., Senior Unsecured Notes, 4.654%(3-MonthUSD-LIBOR + 1.727%) due 3/27/29(a)(c) | | | 218,449 | |
| | 340,000 | | | A- | | Mizuho Financial Group Inc., Senior Unsecured Notes, 2.953% due 2/28/22 | | | 336,803 | |
| | 250,000 | | | AA- | | National Australia Bank Ltd., Senior Unsecured Notes, 2.125% due 5/22/20 | | | 247,726 | |
| | | | | | Nordea Bank Abp: | | | | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 335,000 | | | AA- | | 4.875% due 1/27/20(a) | | | 341,051 | |
| | 200,000 | | | A | | 3.750% due 8/30/23(a) | | | 200,140 | |
| | 300,000 | | | A- | | Subordinated Notes, 4.875% due 5/13/21(a) | | | 307,092 | |
| | | | | | PNC Bank NA, Senior Unsecured Notes: | | | | |
| | 1,000,000 | | | A | | 2.250% due 7/2/19 | | | 998,618 | |
| | 750,000 | | | A | | 2.400% due 10/18/19 | | | 748,341 | |
| | | | | | Royal Bank of Canada, Senior Unsecured Notes: | | | | |
| | 100,000 | | | AA- | | 2.125% due 3/2/20 | | | 99,346 | |
| | 120,000 | | | AA- | | 2.150% due 10/26/20 | | | 118,653 | |
| | 270,000 | | | AA- | | 3.200% due 4/30/21 | | | 272,008 | |
| | | | | | Royal Bank of Scotland Group PLC: | | | | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 200,000 | | | BBB- | | 3.498%(3-MonthUSD-LIBOR + 1.480%) due 5/15/23(c) | | | 197,393 | |
| | 200,000 | | | BBB- | | 4.519%(3-MonthUSD-LIBOR + 1.550%) due 6/25/24(c) | | | 201,163 | |
| | | | | | Subordinated Notes: | | | | |
| | 30,000 | | | BB | | 6.125% due 12/15/22 | | | 31,686 | |
| | 320,000 | | | BB | | 6.100% due 6/10/23 | | | 336,058 | |
| | 80,000 | | | BB | | 6.000% due 12/19/23 | | | 84,083 | |
| | 110,000 | | | BB | | 5.125% due 5/28/24 | | | 111,642 | |
| | 30,000 | | | BBB+ | | Santander Holdings USA Inc., Senior Unsecured Notes, 4.500% due 7/17/25 | | | 30,500 | |
| | | | | | Santander UK Group Holdings PLC, Senior Unsecured Notes: | | | | |
| | 180,000 | | | BBB | | 2.875% due 10/16/20 | | | 179,799 | |
| | 600,000 | | | BBB | | 2.875% due 8/5/21 | | | 590,993 | |
| | 1,050,000 | | | BBB | | 3.373%(3-MonthUSD-LIBOR + 1.080%) due 1/5/24(c) | | | 1,019,893 | |
See Notes to Financial Statements.
137
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Banks — 9.5% — (continued) | |
| | | | | | Santander UK PLC: | | | | |
| | | | | | Senior Unsecured Notes: | | | | |
| $ | 70,000 | | | A | | 2.375% due 3/16/20 | | $ | 69,623 | |
| | 380,000 | | | A | | 3.400% due 6/1/21 | | | 381,076 | |
| | 170,000 | | | BBB- | | Subordinated Notes, 7.950% due 10/26/29 | | | 200,014 | |
| | | | | | Societe Generale SA, Senior Unsecured Notes: | | | | |
| | 205,000 | | | A | | 2.625% due 9/16/20(a) | | | 203,382 | |
| | 260,000 | | | A | | 2.500% due 4/8/21(a) | | | 256,263 | |
| | | | | | Standard Chartered PLC: | | | | |
| | 420,000 | | | BBB+ | | Senior Unsecured Notes, 2.250% due 4/17/20(a) | | | 415,672 | |
| | 400,000 | | | BBB- | | Subordinated Notes, 5.700% due 3/26/44(a) | | | 428,748 | |
| | | | | | State Street Corp., Senior Unsecured Notes: | | | | |
| | 25,000 | | | A | | 1.950% due 5/19/21 | | | 24,491 | |
| | 60,000 | | | A | | 2.650% due 5/19/26 | | | 57,155 | |
| | 250,000 | | | A | | Sumitomo Mitsui Banking Corp., Company Guaranteed Notes, 3.090%(3-MonthUSD-LIBOR + 0.310%) due 10/18/19(c) | | | 250,405 | |
| | | | | | Sumitomo Mitsui Financial Group Inc., Senior Unsecured Notes: | | | | |
| | 575,000 | | | A- | | 2.934% due 3/9/21 | | | 572,848 | |
| | 140,000 | | | A- | | 2.058% due 7/14/21 | | | 136,658 | |
| | 90,000 | | | A- | | 2.778% due 10/18/22 | | | 88,404 | |
| | 205,000 | | | A | | Sumitomo Mitsui Trust Bank Ltd., Senior Unsecured Notes, 1.950% due 9/19/19(a) | | | 204,033 | |
| | 200,000 | | | A- | | SunTrust Bank, Senior Unsecured Notes, 3.525%(3-MonthUSD-LIBOR + 0.500%) due 10/26/21(c) | | | 201,514 | |
| | 35,000 | | | BBB+ | | SunTrust Banks Inc., Senior Unsecured Notes, 4.000% due 5/1/25 | | | 36,126 | |
| | 250,000 | | | AA- | | Svenska Handelsbanken AB, Senior Unsecured Notes, 3.350% due 5/24/21 | | | 252,121 | |
| | 250,000 | | | BBB | | Synchrony Bank, Senior Unsecured Notes, 3.650% due 5/24/21 | | | 251,267 | |
| | 50,000 | | | BBB- | | Synovus Financial Corp., Senior Unsecured Notes, 3.125% due 11/1/22 | | | 48,375 | |
| | 170,000 | | | AA- | | Toronto-Dominion Bank (The), Senior Unsecured Notes, 3.250% due 6/11/21 | | | 171,160 | |
| | | | | | UBS AG, Senior Unsecured Notes: | | | | |
| | 760,000 | | | A+ | | 2.350% due 3/26/20 | | | 756,156 | |
| | 230,000 | | | A+ | | 2.200% due 6/8/20(a) | | | 227,905 | |
| | 200,000 | | | A+ | | 2.450% due 12/1/20(a) | | | 197,921 | |
| | | | | | UBS Group Funding Switzerland AG, Company Guaranteed Notes: | | | | |
| | 470,000 | | | BB | | 7.000%(5-Year USD Swap Rate + 4.344%)(a)(c)(d) | | | 474,465 | |
| | 260,000 | | | A- | | 2.650% due 2/1/22(a) | | | 255,020 | |
| | 650,000 | | | A- | | 3.491% due 5/23/23(a) | | | 648,814 | |
| | 795,000 | | | A- | | 2.859%(3-MonthUSD-LIBOR + 0.954%) due 8/15/23(a)(c) | | | 778,102 | |
| | 200,000 | | | A- | | 4.125% due 9/24/25(a) | | | 203,691 | |
| | 310,000 | | | A- | | 4.253% due 3/23/28(a) | | | 314,960 | |
| | 1,265,000 | | | BBB- | | UniCredit SpA, Senior Unsecured Notes, 6.572% due 1/14/22(a) | | | 1,296,043 | |
| | | | | | US Bank NA, Senior Unsecured Notes: | | | | |
| | 250,000 | | | AA- | | 2.050% due 10/23/20 | | | 246,900 | |
| | 250,000 | | | AA- | | 3.150% due 4/26/21 | | | 251,351 | |
| | 470,000 | | | BBB- | | Wachovia Capital Trust III, Limited Guaranteed Notes, 5.570%(3-MonthUSD-LIBOR + 0.930%)(c)(d) | | | 456,593 | |
| | 105,000 | | | BBB+ | | Wachovia Corp., Subordinated Notes, 5.500% due 8/1/35 | | | 116,142 | |
| | | | | | Wells Fargo & Co.: | | | | |
| | 60,000 | | | BBB- | | Junior Subordinated Notes, 5.875%(3-MonthUSD-LIBOR + 3.990%)(c)(d) | | | 63,512 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 249,000 | | | A- | | 2.600% due 7/22/20 | | | 247,901 | |
| | 185,000 | | | A- | | 2.625% due 7/22/22 | | | 181,748 | |
| | 420,000 | | | A- | | 3.750% due 1/24/24 | | | 428,293 | |
| | 41,000 | | | A- | | 3.550% due 9/29/25 | | | 41,032 | |
| | 504,000 | | | A- | | 3.000% due 4/22/26 | | | 483,502 | |
| | 910,000 | | | A- | | 3.000% due 10/23/26 | | | 869,353 | |
See Notes to Financial Statements.
138
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Banks — 9.5% — (continued) | |
| $ | 195,000 | | | A- | | 3.584%(3-MonthUSD-LIBOR + 1.310%) due 5/22/28(c) | | $ | 192,882 | |
| | 290,000 | | | A- | | 4.150% due 1/24/29 | | | 296,973 | |
| | | | | | Subordinated Notes: | | | | |
| | 330,000 | | | BBB+ | | 3.450% due 2/13/23 | | | 330,630 | |
| | 169,000 | | | BBB+ | | 4.480% due 1/16/24 | | | 175,618 | |
| | 950,000 | | | BBB+ | | 4.300% due 7/22/27 | | | 968,627 | |
| | 230,000 | | | BBB+ | | 5.375% due 11/2/43 | | | 250,723 | |
| | 110,000 | | | BBB+ | | 5.606% due 1/15/44 | | | 124,068 | |
| | 280,000 | | | BBB+ | | 4.650% due 11/4/44 | | | 279,109 | |
| | 450,000 | | | BBB+ | | 4.900% due 11/17/45 | | | 462,334 | |
| | 40,000 | | | BBB+ | | 4.400% due 6/14/46 | | | 38,516 | |
| | 160,000 | | | BBB+ | | 4.750% due 12/7/46 | | | 161,709 | |
| | | | | | Wells Fargo Bank NA, Senior Unsecured Notes: | | | | |
| | 1,040,000 | | | A+ | | 2.600% due 1/15/21 | | | 1,032,713 | |
| | 615,000 | | | A+ | | 3.325%(3-MonthUSD-LIBOR + 0.490%) due 7/23/21(c) | | | 616,861 | |
| | 835,000 | | | A+ | | 3.625% due 10/22/21 | | | 845,421 | |
| | 100,000 | | | BBB- | | Wells Fargo Capital X, Limited Guaranteed Notes, 5.950% due 12/15/36 | | | 107,894 | |
| | | | | | Westpac Banking Corp., Senior Unsecured Notes: | | | | |
| | 380,000 | | | AA- | | 4.875% due 11/19/19 | | | 385,630 | |
| | 70,000 | | | AA- | | 2.150% due 3/6/20 | | | 69,577 | |
| | 20,000 | | | AA- | | 2.300% due 5/26/20 | | | 19,859 | |
| | 275,000 | | | AA- | | 2.600% due 11/23/20 | | | 273,538 | |
| | 195,000 | | | AA- | | 3.650% due 5/15/23 | | | 198,179 | |
| | | | | | | | | | |
| | | | | | Total Banks | | | 80,778,829 | |
| | | | | | | | | | |
|
| | Beverages — 0.7% | |
| | | | | | Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide Inc., Company Guaranteed Notes: | | | | |
| | 340,000 | | | A- | | 3.650% due 2/1/26(a) | | | 336,428 | |
| | 432,000 | | | A- | | 4.700% due 2/1/36(a) | | | 417,661 | |
| | 819,000 | | | A- | | 4.900% due 2/1/46(a) | | | 787,068 | |
| | | | | | Anheuser-Busch InBev Finance Inc., Company Guaranteed Notes: | | | | |
| | 98,000 | | | A- | | 2.650% due 2/1/21 | | | 97,578 | |
| | 90,000 | | | A- | | 3.300% due 2/1/23 | | | 90,599 | |
| | | | | | Anheuser-Busch InBev Worldwide Inc., Company Guaranteed Notes: | | | | |
| | 200,000 | | | A- | | 2.500% due 7/15/22 | | | 197,066 | |
| | 220,000 | | | A- | | 3.500% due 1/12/24 | | | 222,467 | |
| | 180,000 | | | A- | | 4.150% due 1/23/25 | | | 185,837 | |
| | 425,000 | | | A- | | 4.000% due 4/13/28 | | | 422,626 | |
| | 680,000 | | | A- | | 4.750% due 1/23/29 | | | 711,277 | |
| | 55,000 | | | A- | | 4.750% due 4/15/58 | | | 50,128 | |
| | 100,000 | | | A- | | 5.800% due 1/23/59 | | | 107,096 | |
| | | | | | Bacardi Ltd., Company Guaranteed Notes: | | | | |
| | 155,000 | | | BBB- | | 4.700% due 5/15/28(a) | | | 150,491 | |
| | 140,000 | | | BBB- | | 5.300% due 5/15/48(a) | | | 126,758 | |
| | 545,000 | | | A- | | Coca-Cola Femsa SAB de CV, Company Guaranteed Notes, 4.625% due 2/15/20 | | | 553,126 | |
| | | | | | Constellation Brands Inc., Company Guaranteed Notes: | | | | |
| | 45,000 | | | BBB | | 3.384%(3-MonthUSD-LIBOR + 0.700%) due 11/15/21(c) | | | 44,825 | |
| | 95,000 | | | BBB | | 3.600% due 2/15/28 | | | 90,252 | |
| | 173,000 | | | A- | | Diageo Capital PLC, Company Guaranteed Notes, 4.828% due 7/15/20 | | | 177,520 | |
| | 160,000 | | | A- | | Diageo Investment Corp., Company Guaranteed Notes, 2.875% due 5/11/22 | | | 159,946 | |
| | | | | | Molson Coors Brewing Co., Company Guaranteed Notes: | | | | |
| | 580,000 | | | BBB- | | 2.250% due 3/15/20 | | | 575,154 | |
| | 50,000 | | | BBB- | | 3.500% due 5/1/22 | | | 49,909 | |
| | | | | | PepsiCo Inc., Senior Unsecured Notes: | | | | |
| | 65,000 | | | A+ | | 2.850% due 2/24/26 | | | 63,086 | |
See Notes to Financial Statements.
139
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Beverages — 0.7% — (continued) | |
| $ | 150,000 | | | A+ | | 2.375% due 10/6/26 | | $ | 140,598 | |
| | 60,000 | | | A+ | | 3.450% due 10/6/46 | | | 54,966 | |
| | 190,000 | | | BBB | | Pernod Ricard SA, Senior Unsecured Notes, 4.450% due 1/15/22(a) | | | 195,534 | |
| | | | | | | | | | |
| | | | | | Total Beverages | | | 6,007,996 | |
| | | | | | | | | | |
|
| | Biotechnology — 0.4% | |
| | | | | | Amgen Inc., Senior Unsecured Notes: | | | | |
| | 60,000 | | | A | | 2.200% due 5/11/20 | | | 59,467 | |
| | 70,000 | | | A | | 3.625% due 5/22/24 | | | 71,095 | |
| | 45,000 | | | A | | 2.600% due 8/19/26 | | | 41,697 | |
| | 300,000 | | | A | | 4.400% due 5/1/45 | | | 282,080 | |
| | 54,000 | | | A | | 4.563% due 6/15/48 | | | 51,150 | |
| | 112,000 | | | A | | 4.663% due 6/15/51 | | | 107,428 | |
| | 130,000 | | | BBB+ | | Baxalta Inc., Company Guaranteed Notes, 2.875% due 6/23/20 | | | 129,324 | |
| | | | | | Celgene Corp., Senior Unsecured Notes: | | | | |
| | 10,000 | | | BBB+ | | 3.950% due 10/15/20 | | | 10,124 | |
| | 50,000 | | | BBB+ | | 3.250% due 8/15/22 | | | 49,806 | |
| | 110,000 | | | BBB+ | | 3.550% due 8/15/22 | | | 110,603 | |
| | 35,000 | | | BBB+ | | 3.250% due 2/20/23 | | | 34,734 | |
| | 323,000 | | | BBB+ | | 3.875% due 8/15/25 | | | 324,117 | |
| | 325,000 | | | BBB+ | | 3.900% due 2/20/28 | | | 319,157 | |
| | 410,000 | | | BBB+ | | 5.000% due 8/15/45 | | | 405,158 | |
| | | | | | Gilead Sciences Inc., Senior Unsecured Notes: | | | | |
| | 40,000 | | | A | | 2.550% due 9/1/20 | | | 39,897 | |
| | 410,000 | | | A | | 3.700% due 4/1/24 | | | 418,078 | |
| | 60,000 | | | A | | 3.650% due 3/1/26 | | | 59,936 | |
| | 50,000 | | | A | | 2.950% due 3/1/27 | | | 47,267 | |
| | 160,000 | | | A | | 4.800% due 4/1/44 | | | 160,735 | |
| | 315,000 | | | A | | 4.750% due 3/1/46 | | | 316,501 | |
| | | | | | | | | | |
| | | | | | Total Biotechnology | | | 3,038,354 | |
| | | | | | | | | | |
|
| | Building Materials — 0.0% | |
| | 5,000 | | | BBB+ | | Johnson Controls International PLC, Senior Unsecured Notes, 3.900% due 2/14/26 | | | 4,927 | |
| | 30,000 | | | BBB | | Owens Corning, Senior Unsecured Notes, 4.400% due 1/30/48 | | | 23,727 | |
| | 10,000 | | | BBB- | | Standard Industries Inc., Senior Unsecured Notes, 4.750% due 1/15/28(a) | | | 9,375 | |
| | | | | | | | | | |
| | | | | | Total Building Materials | | | 38,029 | |
| | | | | | | | | | |
|
| | Chemicals — 0.3% | |
| | 200,000 | | | A- | | Air Liquide Finance SA, Company Guaranteed Notes, 1.750% due 9/27/21(a) | | | 193,526 | |
| | | | | | Dow Chemical Co. (The), Senior Unsecured Notes: | | | | |
| | 75,000 | | | BBB | | 4.550% due 11/30/25(a) | | | 77,512 | |
| | 16,000 | | | BBB | | 4.375% due 11/15/42 | | | 14,431 | |
| | 675,000 | | | A- | | DowDuPont Inc., Senior Unsecured Notes, 4.493% due 11/15/25 | | | 705,750 | |
| | 61,000 | | | BBB | | Eastman Chemical Co., Senior Unsecured Notes, 3.800% due 3/15/25 | | | 60,644 | |
| | 275,000 | | | BBB | | International Flavors & Fragrances Inc., Senior Unsecured Notes, 5.000% due 9/26/48 | | | 273,223 | |
| | 200,000 | | | BBB+ | | LyondellBasell Industries NV, Senior Unsecured Notes, 6.000% due 11/15/21 | | | 211,798 | |
| | | | | | Monsanto Co., Senior Unsecured Notes: | | | | |
| | 60,000 | | | BBB | | 3.375% due 7/15/24 | | | 56,507 | |
| | 30,000 | | | BBB | | 4.400% due 7/15/44 | | | 23,688 | |
| | 60,000 | | | BBB | | Nutrien Ltd., Senior Unsecured Notes, 4.875% due 3/30/20 | | | 60,914 | |
| | 200,000 | | | BBB- | | OCP SA, Senior Unsecured Notes, 4.500% due 10/22/25(a) | | | 198,873 | |
| | 200,000 | | | BBB- | | Syngenta Finance NV, Company Guaranteed Notes, 3.933% due 4/23/21(a) | | | 199,534 | |
| | 115,000 | | | BB+ | | Valvoline Inc., Company Guaranteed Notes, 5.500% due 7/15/24 | | | 115,719 | |
| | | | | | | | | | |
| | | | | | Total Chemicals | | | 2,192,119 | |
| | | | | | | | | | |
See Notes to Financial Statements.
140
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Commercial Services — 0.3% | |
| $ | 10,000 | | | BBB+ | | Equifax Inc., Senior Unsecured Notes, 2.300% due 6/1/21 | | $ | 9,723 | |
| | | | | | IHS Markit Ltd.: | | | | |
| | | | | | Company Guaranteed Notes: | | | | |
| | 84,000 | | | BBB- | | 5.000% due 11/1/22(a) | | | 87,058 | |
| | 28,000 | | | BBB- | | 4.000% due 3/1/26(a) | | | 27,253 | |
| | 450,000 | | | BBB- | | Senior Unsecured Notes, 4.750% due 8/1/28 | | | 453,578 | |
| | 100,000 | | | B+ | | Matthews International Corp., Company Guaranteed Notes, 5.250% due 12/1/25(a) | | | 97,000 | |
| | 460,000 | | | AAA | | Northwestern University, Unsecured Notes, 3.688% due 12/1/38 | | | 448,057 | |
| | | | | | RELX Capital Inc., Company Guaranteed Notes: | | | | |
| | 10,000 | | | BBB+ | | 3.125% due 10/15/22 | | | 9,852 | |
| | 275,000 | | | BBB+ | | 3.500% due 3/16/23 | | | 273,920 | |
| | 45,000 | | | A3(b) | | S&P Global Inc., Company Guaranteed Notes, 4.000% due 6/15/25 | | | 46,468 | |
| | | | | | Total System Services Inc., Senior Unsecured Notes: | | | | |
| | 40,000 | | | BBB- | | 3.800% due 4/1/21 | | | 40,163 | |
| | 30,000 | | | BBB- | | 3.750% due 6/1/23 | | | 29,925 | |
| | 330,000 | | | BBB- | | 4.000% due 6/1/23 | | | 333,018 | |
| | | | | | United Rentals North America Inc., Company Guaranteed Notes: | | | | |
| | 210,000 | | | BB- | | 5.750% due 11/15/24 | | | 217,088 | |
| | 40,000 | | | BB- | | 6.500% due 12/15/26 | | | 41,850 | |
| | | | | | | | | | |
| | | | | | Total Commercial Services | | | 2,114,953 | |
| | | | | | | | | | |
|
| | Computers — 0.4% | |
| | | | | | Apple Inc., Senior Unsecured Notes: | | | | |
| | 110,000 | | | AA+ | | 1.550% due 8/4/21 | | | 107,106 | |
| | 300,000 | | | AA+ | | 2.400% due 5/3/23 | | | 294,621 | |
| | 280,000 | | | AA+ | | 2.450% due 8/4/26 | | | 266,040 | |
| | 550,000 | | | AA+ | | 3.350% due 2/9/27 | | | 550,032 | |
| | 360,000 | | | AA+ | | 2.900% due 9/12/27 | | | 348,035 | |
| | 235,000 | | | AA+ | | 3.850% due 5/4/43 | | | 227,818 | |
| | 250,000 | | | AA+ | | 3.450% due 2/9/45 | | | 225,953 | |
| | | | | | Dell International LLC/EMC Corp., Senior Secured Notes: | | | | |
| | 980,000 | | | BBB- | | 3.480% due 6/1/19(a) | | | 979,666 | |
| | 180,000 | | | BBB- | | 4.420% due 6/15/21(a) | | | 183,371 | |
| | 100,000 | | | BBB- | | 8.350% due 7/15/46(a) | | | 117,166 | |
| | 105,000 | | | A | | IBM Credit LLC, Senior Unsecured Notes, 3.450% due 11/30/20 | | | 106,008 | |
| | 150,000 | | | A | | International Business Machines Corp., Senior Unsecured Notes, 2.875% due 11/9/22 | | | 149,088 | |
| | 45,000 | | | BB+ | | Seagate HDD Cayman, Company Guaranteed Notes, 4.750% due 1/1/25 | | | 43,342 | |
| | | | | | | | | | |
| | | | | | Total Computers | | | 3,598,246 | |
| | | | | | | | | | |
|
| | Cosmetics/Personal Care — 0.0% | |
| | 58,000 | | | BB- | | First Quality Finance Co., Inc., Company Guaranteed Notes, 5.000% due 7/1/25(a) | | | 56,840 | |
| | | | | | | | | | |
|
| | Diversified Financial Services — 0.9% | |
| | | | | | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Company Guaranteed Notes: | | | | |
| | 210,000 | | | BBB- | | 4.500% due 5/15/21 | | | 212,891 | |
| | 150,000 | | | BBB- | | 5.000% due 10/1/21 | | | 154,216 | |
| | | | | | Air Lease Corp., Senior Unsecured Notes: | | | | |
| | 515,000 | | | BBB | | 4.750% due 3/1/20 | | | 522,415 | |
| | 460,000 | | | BBB | | 3.500% due 1/15/22 | | | 458,209 | |
| | 45,000 | | | BBB | | 3.875% due 7/3/23 | | | 44,839 | |
| | | | | | American Express Co., Senior Unsecured Notes: | | | | |
| | 72,000 | | | BBB+ | | 2.650% due 12/2/22 | | | 71,006 | |
| | 225,000 | | | BBB+ | | 3.700% due 8/3/23 | | | 229,438 | |
| | | | | | American Express Credit Corp., Senior Unsecured Notes: | | | | |
| | 325,000 | | | A- | | 2.375% due 5/26/20 | | | 322,938 | |
| | 30,000 | | | A- | | 2.600% due 9/14/20 | | | 29,860 | |
See Notes to Financial Statements.
141
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Diversified Financial Services — 0.9% — (continued) | |
| | | | | | Capital One Financial Corp.: | | | | |
| $ | 60,000 | | | BBB | | Senior Unsecured Notes, 3.500% due 6/15/23 | | $ | 59,453 | |
| | 40,000 | | | BBB- | | Subordinated Notes, 3.750% due 7/28/26 | | | 38,083 | |
| | 695,000 | | | AAA | | CDP Financial Inc., Company Guaranteed Notes, 4.400% due 11/25/19(a) | | | 702,900 | |
| | 295,000 | | | AA- | | CME Group Inc., Senior Unsecured Notes, 3.750% due 6/15/28 | | | 302,040 | |
| | 50,000 | | | BBB- | | Discover Financial Services, Senior Unsecured Notes, 3.750% due 3/4/25 | | | 48,835 | |
| | | | | | GE Capital International Funding Co. Unlimited Co., Company Guaranteed Notes: | | | | |
| | 1,702,000 | | | BBB+ | | 2.342% due 11/15/20 | | | 1,674,293 | |
| | 694,000 | | | BBB+ | | 4.418% due 11/15/35 | | | 627,741 | |
| | | | | | Intercontinental Exchange Inc.: | | | | |
| | | | | | Company Guaranteed Notes: | | | | |
| | 80,000 | | | A | | 2.750% due 12/1/20 | | | 79,746 | |
| | 185,000 | | | A | | 2.350% due 9/15/22 | | | 180,769 | |
| | 60,000 | | | A | | 4.000% due 10/15/23 | | | 62,251 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 80,000 | | | A | | 3.750% due 9/21/28 | | | 81,367 | |
| | 70,000 | | | A | | 4.250% due 9/21/48 | | | 71,183 | |
| | 30,000 | | | A | | KKR Group Finance Co. II LLC, Company Guaranteed Notes, 5.500% due 2/1/43(a) | | | 30,760 | |
| | 650,000 | | | NR | | Lehman Brothers Holdings Inc., Subordinated Notes, 6.750% due 12/28/17#(e) | | | — | |
| | 125,000 | | | A+ | | Mastercard Inc., Senior Unsecured Notes, 3.375% due 4/1/24 | | | 127,723 | |
| | 80,000 | | | B+ | | Navient Corp., Senior Unsecured Notes, 8.000% due 3/25/20 | | | 83,746 | |
| | 30,000 | | | A- | | Nomura Holdings Inc., Senior Unsecured Notes, 2.750% due 3/19/19 | | | 30,003 | |
| | 630,000 | | | A- | | ORIX Corp., Senior Unsecured Notes, 2.900% due 7/18/22 | | | 622,044 | |
| | 220,000 | | | BBB+ | | Raymond James Financial Inc., Senior Unsecured Notes, 4.950% due 7/15/46 | | | 220,765 | |
| | | | | | Visa Inc., Senior Unsecured Notes: | | | | |
| | 295,000 | | | AA- | | 3.150% due 12/14/25 | | | 296,004 | |
| | 210,000 | | | AA- | | 4.300% due 12/14/45 | | | 220,689 | |
| | | | | | | | | | |
| | | | | | Total Diversified Financial Services | | | 7,606,207 | |
| | | | | | | | | | |
|
| | Electric — 1.6% | |
| | | | | | AEP Texas Inc., Senior Unsecured Notes: | | | | |
| | 50,000 | | | A- | | 2.400% due 10/1/22 | | | 48,404 | |
| | 50,000 | | | A- | | 3.850% due 10/1/25(a) | | | 50,390 | |
| | | | | | Alabama Power Co., Senior Unsecured Notes: | | | | |
| | 17,000 | | | A- | | 5.200% due 6/1/41 | | | 18,658 | |
| | 70,000 | | | A- | | 3.850% due 12/1/42 | | | 65,704 | |
| | 90,000 | | | A- | | 4.150% due 8/15/44 | | | 88,675 | |
| | 65,000 | | | A- | | 4.300% due 7/15/48 | | | 65,269 | |
| | 100,000 | | | BBB+ | | Alliant Energy Finance LLC, Company Guaranteed Notes, 3.750% due 6/15/23(a) | | | 100,693 | |
| | | | | | Baltimore Gas & Electric Co., Senior Unsecured Notes: | | | | |
| | 150,000 | | | A- | | 3.750% due 8/15/47 | | | 139,742 | |
| | 30,000 | | | A- | | 4.250% due 9/15/48 | | | 30,131 | |
| | 170,000 | | | A- | | Berkshire Hathaway Energy Co., Senior Unsecured Notes, 3.250% due 4/15/28 | | | 165,121 | |
| | 20,000 | | | BBB+ | | Black Hills Corp., Senior Unsecured Notes, 3.150% due 1/15/27 | | | 18,720 | |
| | | | | | CenterPoint Energy Houston Electric LLC, General Refinance Mortgage: | | | | |
| | 50,000 | | | A | | 3.550% due 8/1/42 | | | 46,226 | |
| | 30,000 | | | A | | 3.950% due 3/1/48 | | | 29,484 | |
| | 30,000 | | | BBB | | CMS Energy Corp., Senior Unsecured Notes, 3.000% due 5/15/26 | | | 28,693 | |
| | 35,000 | | | BBB | | Dominion Energy Inc., Junior Subordinated Notes, 2.579% due 7/1/20 | | | 34,655 | |
| | | | | | DTE Electric Co., General Refinance Mortgage: | | | | |
| | 65,000 | | | A | | 3.650% due 3/15/24 | | | 66,359 | |
| | 100,000 | | | A | | 3.700% due 3/15/45 | | | 94,358 | |
| | | | | | Duke Energy Carolinas LLC: | | | | |
| | | | | | 1st Mortgage Notes: | | | | |
| | 40,000 | | | A | | 3.950% due 11/15/28 | | | 41,530 | |
See Notes to Financial Statements.
142
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Electric — 1.6% — (continued) | |
| $ | 500,000 | | | A | | 4.250% due 12/15/41 | | $ | 509,937 | |
| | 60,000 | | | A | | 3.700% due 12/1/47 | | | 55,972 | |
| | 30,000 | | | A | | 3.950% due 3/15/48 | | | 29,309 | |
| | | | | | 1st Refinanced Mortgage Notes: | | | | |
| | 145,000 | | | A | | 2.950% due 12/1/26 | | | 140,617 | |
| | 30,000 | | | A | | 3.875% due 3/15/46 | | | 28,855 | |
| | | | | | Duke Energy Corp., Senior Unsecured Notes: | | | | |
| | 410,000 | | | BBB+ | | 3.550% due 9/15/21 | | | 414,164 | |
| | 180,000 | | | BBB+ | | 2.650% due 9/1/26 | | | 167,864 | |
| | | | | | Duke Energy Florida LLC: | | | | |
| | | | | | 1st Mortgage Notes: | | | | |
| | 45,000 | | | A | | 3.800% due 7/15/28 | | | 46,008 | |
| | 195,000 | | | A | | 5.900% due 3/1/33 | | | 235,530 | |
| | 15,000 | | | A- | | Senior Unsecured Notes, 2.100% due 12/15/19 | | | 14,958 | |
| | 335,000 | | | A | | Duke Energy Ohio Inc., 1st Mortgage Notes, 3.650% due 2/1/29 | | | 340,159 | |
| | | | | | Duke Energy Progress LLC, 1st Mortgage Notes: | | | | |
| | 35,000 | | | A | | 3.000% due 9/15/21 | | | 35,191 | |
| | 30,000 | | | A | | 3.700% due 9/1/28 | | | 30,505 | |
| | 35,000 | | | A | | 4.200% due 8/15/45 | | | 35,281 | |
| | 128,000 | | | A | | 3.700% due 10/15/46 | | | 120,169 | |
| | 750,000 | | | BBB- | | Duquesne Light Holdings Inc., Senior Unsecured Notes, 6.400% due 9/15/20(a) | | | 781,464 | |
| | 15,000 | | | BBB | | Emera US Finance LP, Company Guaranteed Notes, 2.150% due 6/15/19 | | | 14,951 | |
| | 35,000 | | | BBB | | Entergy Corp., Senior Unsecured Notes, 2.950% due 9/1/26 | | | 32,843 | |
| | 25,000 | | | A | | Entergy Louisiana LLC, 1st Mortgage Notes, 5.400% due 11/1/24 | | | 27,673 | |
| | 60,000 | | | A | | Entergy Texas Inc., 1st Mortgage Notes, 3.450% due 12/1/27 | | | 57,100 | |
| | | | | | Exelon Corp., Senior Unsecured Notes: | | | | |
| | 175,000 | | | BBB- | | 2.850% due 6/15/20 | | | 174,441 | |
| | 5,000 | | | BBB- | | 2.450% due 4/15/21 | | | 4,904 | |
| | 80,000 | | | BBB- | | 4.950% due 6/15/35 | | | 82,289 | |
| | 143,000 | | | BBB- | | 5.625% due 6/15/35 | | | 158,470 | |
| | | | | | FirstEnergy Corp., Senior Unsecured Notes: | | | | |
| | 310,000 | | | BBB- | | 3.900% due 7/15/27 | | | 307,387 | |
| | 1,250,000 | | | BBB- | | 7.375% due 11/15/31 | | | 1,613,109 | |
| | | | | | Florida Power & Light Co., 1st Mortgage Notes: | | | | |
| | 50,000 | | | A | | 3.125% due 12/1/25 | | | 50,096 | |
| | 40,000 | | | A | | 5.690% due 3/1/40 | | | 49,191 | |
| | 52,000 | | | A | | 4.050% due 6/1/42 | | | 52,346 | |
| | 20,000 | | | A | | 3.800% due 12/15/42 | | | 19,340 | |
| | 50,000 | | | A | | 3.700% due 12/1/47 | | | 47,679 | |
| | 15,000 | | | A | | 4.125% due 6/1/48 | | | 15,341 | |
| | 100,000 | | | A | | 3.990% due 3/1/49 | | | 99,660 | |
| | | | | | Georgia Power Co., Senior Unsecured Notes: | | | | |
| | 70,000 | | | A- | | 2.000% due 3/30/20 | | | 69,274 | |
| | 80,000 | | | A- | | 3.250% due 3/30/27 | | | 75,009 | |
| | 15,000 | | | A- | | Indiana Michigan Power Co., Senior Unsecured Notes, 4.250% due 8/15/48 | | | 14,899 | |
| | 85,627 | | | A- | | Indiantown Cogeneration LP, 1st Mortgage Notes, 9.770% due 12/15/20(f) | | | 88,995 | |
| | 400,000 | | | A- | | ITC Holdings Corp., Senior Unsecured Notes, 4.050% due 7/1/23 | | | 405,655 | |
| | 700,000 | | | BBB | | Jersey Central Power & Light Co., Senior Unsecured Notes, 4.700% due 4/1/24(a) | | | 733,891 | |
| | 775,000 | | | A- | | KCP&L Greater Missouri Operations Co., Senior Unsecured Notes, 8.270% due 11/15/21 | | | 864,529 | |
| | 400,000 | | | A+ | | MidAmerican Energy Co., 1st Mortgage Notes, 4.250% due 5/1/46 | | | 408,313 | |
| | 105,000 | | | BBB | | Mid-Atlantic Interstate Transmission LLC, Senior Unsecured Notes, 4.100% due 5/15/28(a) | | | 104,913 | |
| | | | | | NextEra Energy Capital Holdings Inc., Company Guaranteed Notes: | | | | |
| | 800,000 | | | BBB+ | | 3.218%(3-MonthUSD-LIBOR + 0.480%) due 5/4/21(c) | | | 800,365 | |
| | 50,000 | | | BBB+ | | 3.550% due 5/1/27 | | | 48,766 | |
See Notes to Financial Statements.
143
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Electric — 1.6% — (continued) | |
| | | | | | Northern States Power Co., 1st Mortgage Notes: | | | | |
| $ | 70,000 | | | A | | 3.600% due 5/15/46 | | $ | 65,473 | |
| | 80,000 | | | A | | 3.600% due 9/15/47 | | | 74,725 | |
| | 20,000 | | | A | | 4.200% due 9/1/48 | | | 19,942 | |
| | | | | | Ohio Power Co., Senior Unsecured Notes: | | | | |
| | 40,000 | | | A- | | 6.600% due 2/15/33 | | | 50,454 | |
| | 30,000 | | | A- | | 4.150% due 4/1/48 | | | 29,957 | |
| | | | | | Oncor Electric Delivery Co. LLC, Senior Secured Notes: | | | | |
| | 90,000 | | | A+ | | 3.700% due 11/15/28 | | | 91,270 | |
| | 20,000 | | | A+ | | 3.800% due 9/30/47 | | | 19,274 | |
| | 70,000 | | | D | | Pacific Gas & Electric Co., Senior Unsecured Notes, 6.050% due 3/1/34(f)(g) | | | 64,575 | |
| | | | | | PacifiCorp, 1st Mortgage Notes: | | | | |
| | 120,000 | | | A+ | | 5.750% due 4/1/37 | | | 142,490 | |
| | 30,000 | | | A+ | | 6.350% due 7/15/38 | | | 37,719 | |
| | 55,000 | | | A+ | | 4.150% due 2/15/50 | | | 54,521 | |
| | 95,000 | | | A- | | PECO Energy Co., 1st Mortgage Notes, 3.900% due 3/1/48 | | | 91,953 | |
| | 500,000 | | | BBB+ | | Public Service Co. of New Mexico, Senior Unsecured Notes, 3.850% due 8/1/25 | | | 495,014 | |
| | 500,000 | | | A | | Public Service Electric & Gas Co., 1st Mortgage Notes, 4.000% due 6/1/44 | | | 480,704 | |
| | 90,000 | | | BBB+ | | Sempra Energy, Senior Unsecured Notes, 3.287%(3-MonthUSD-LIBOR + 0.500%) due 1/15/21(c) | | | 89,029 | |
| | 130,000 | | | BBB+ | | Southern Power Co., Senior Unsecured Notes, 2.375% due 6/1/20 | | | 129,108 | |
| | 70,000 | | | A- | | Southwestern Electric Power Co., Senior Unsecured Notes, 4.100% due 9/15/28 | | | 71,031 | |
| | 70,000 | | | BBB+ | | Tampa Electric Co., Senior Unsecured Notes, 4.450% due 6/15/49 | | | 69,716 | |
| | | | | | Virginia Electric & Power Co., Senior Unsecured Notes: | | | | |
| | 205,000 | | | BBB+ | | 2.750% due 3/15/23 | | | 202,060 | |
| | 90,000 | | | BBB+ | | 3.800% due 4/1/28 | | | 91,078 | |
| | 195,000 | | | BBB+ | | 6.000% due 5/15/37 | | | 234,015 | |
| | 25,000 | | | BBB+ | | 6.350% due 11/30/37 | | | 30,963 | |
| | 70,000 | | | BBB+ | | 4.000% due 1/15/43 | | | 66,593 | |
| | 595,000 | | | BBB+ | | 4.000% due 11/15/46 | | | 569,849 | |
| | 25,000 | | | BBB+ | | 4.600% due 12/1/48 | | | 26,193 | |
| | 45,000 | | | BBB+ | | WEC Energy Group Inc., Senior Unsecured Notes, 3.375% due 6/15/21 | | | 45,269 | |
| | | | | | | | | | |
| | | | | | Total Electric | | | 13,883,199 | |
| | | | | | | | | | |
|
| | Electronics — 0.1% | |
| | | | | | Agilent Technologies Inc., Senior Unsecured Notes: | | | | |
| | 120,000 | | | BBB+ | | 3.200% due 10/1/22 | | | 119,474 | |
| | 10,000 | | | BBB+ | | 3.050% due 9/22/26 | | | 9,419 | |
| | 10,000 | | | BBB- | | Avnet Inc., Senior Unsecured Notes, 4.625% due 4/15/26 | | | 9,957 | |
| | | | | | Corning Inc., Senior Unsecured Notes: | | | | |
| | 15,000 | | | BBB+ | | 3.700% due 11/15/23 | | | 15,172 | |
| | 205,000 | | | BBB+ | | 4.375% due 11/15/57 | | | 179,692 | |
| | 65,000 | | | BB- | | Itron Inc., Company Guaranteed Notes, 5.000% due 1/15/26(a) | | | 63,375 | |
| | 58,000 | | | BBB- | | Trimble Inc., Senior Unsecured Notes, 4.150% due 6/15/23 | | | 58,167 | |
| | 20,000 | | | A- | | Tyco Electronics Group SA, Company Guaranteed Notes, 3.450% due 8/1/24 | | | 19,854 | |
| | | | | | | | | | |
| | | | | | Total Electronics | | | 475,110 | |
| | | | | | | | | | |
|
| | Entertainment — 0.0% | |
| | 85,000 | | | B+ | | Churchill Downs Inc., Company Guaranteed Notes, 4.750% due 1/15/28(a) | | | 81,617 | |
| | | | | | | | | | |
|
| | Environmental Control — 0.1% | |
| | 72,000 | | | BB+ | | Clean Harbors Inc., Company Guaranteed Notes, 5.125% due 6/1/21 | | | 72,180 | |
| | | | | | Republic Services Inc., Senior Unsecured Notes: | | | | |
| | 270,000 | | | BBB+ | | 5.500% due 9/15/19 | | | 273,616 | |
| | 150,000 | | | BBB+ | | 3.200% due 3/15/25 | | | 147,740 | |
| | 20,000 | | | BBB+ | | 2.900% due 7/1/26 | | | 19,112 | |
| | 140,000 | | | BBB+ | | 3.375% due 11/15/27 | �� | | 137,544 | |
See Notes to Financial Statements.
144
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Environmental Control — 0.1% — (continued) | |
| | | | | | Waste Management Inc., Company Guaranteed Notes: | | | | |
| $ | 40,000 | | | A- | | 4.600% due 3/1/21 | | $ | 40,970 | |
| | 100,000 | | | A- | | 3.500% due 5/15/24 | | | 100,859 | |
| | 50,000 | | | A- | | 3.125% due 3/1/25 | | | 49,428 | |
| | 70,000 | | | A- | | 7.375% due 5/15/29 | | | 87,841 | |
| | | | | | | | | | |
| | | | | | Total Environmental Control | | | 929,290 | |
| | | | | | | | | | |
|
| | Food — 0.7% | |
| | 395,000 | | | BBB- | | Campbell Soup Co., Senior Unsecured Notes, 3.300% due 3/15/21 | | | 394,627 | |
| | 95,000 | | | CCC+ | | Chobani LLC/Chobani Finance Corp., Inc., Company Guaranteed Notes, 7.500% due 4/15/25(a) | | | 85,975 | |
| | 275,000 | | | BBB- | | Conagra Brands Inc., Senior Unsecured Notes, 4.850% due 11/1/28 | | | 276,098 | |
| | | | | | Danone SA, Senior Unsecured Notes: | | | | |
| | 750,000 | | | BBB+ | | 1.691% due 10/30/19(a) | | | 742,744 | |
| | 1,130,000 | | | BBB+ | | 2.077% due 11/2/21(a) | | | 1,097,223 | |
| | 670,000 | | | BBB | | General Mills Inc., Senior Unsecured Notes, 3.700% due 10/17/23 | | | 676,962 | |
| | | | | | Kraft Heinz Foods Co.: | | | | |
| | | | | | Company Guaranteed Notes: | | | | |
| | 310,000 | | | BBB | | 5.375% due 2/10/20 | | | 316,237 | |
| | 80,000 | | | BBB | | 3.950% due 7/15/25 | | | 79,306 | |
| | 10,000 | | | BBB | | 3.000% due 6/1/26 | | | 9,244 | |
| | 50,000 | | | BBB | | 5.000% due 7/15/35 | | | 47,446 | |
| | 110,000 | | | BBB | | 5.200% due 7/15/45 | | | 102,510 | |
| | 525,000 | | | BBB | | 4.375% due 6/1/46 | | | 436,177 | |
| | 56,000 | | | BBB | | Secured Notes, 4.875% due 2/15/25(a) | | | 56,953 | |
| | 280,000 | | | BBB | | Kroger Co. (The), Senior Unsecured Notes, 5.400% due 1/15/49 | | | 276,961 | |
| | 500,000 | | | BBB | | Mondelez International Holdings Netherlands BV, Company Guaranteed Notes, 2.000% due 10/28/21(a) | | | 484,365 | |
| | 102,000 | | | BB- | | Pilgrim’s Pride Corp., Company Guaranteed Notes, 5.875% due 9/30/27(a) | | | 100,470 | |
| | | | | | Post Holdings Inc., Company Guaranteed Notes: | | | | |
| | 45,000 | | | B+ | | 5.000% due 8/15/26(a) | | | 43,481 | |
| | 37,000 | | | B+ | | 5.750% due 3/1/27(a) | | | 36,584 | |
| | 100,000 | | | B+ | | 5.625% due 1/15/28(a) | | | 97,000 | |
| | 200,000 | | | AA- | | Seven & i Holdings Co., Ltd., Senior Unsecured Notes, 3.350% due 9/17/21(a) | | | 201,349 | |
| | 85,000 | | | BBB+ | | Sysco Corp., Company Guaranteed Notes, 3.550% due 3/15/25 | | | 84,810 | |
| | | | | | Tyson Foods Inc., Senior Unsecured Notes: | | | | |
| | 305,000 | | | BBB | | 3.900% due 9/28/23 | | | 309,852 | |
| | 25,000 | | | BBB | | 5.100% due 9/28/48 | | | 24,266 | |
| | 140,000 | | | A | | WM Wrigley Jr Co., Senior Unsecured Notes, 2.900% due 10/21/19(a) | | | 140,104 | |
| | | | | | | | | | |
| | | | | | Total Food | | | 6,120,744 | |
| | | | | | | | | | |
|
| | Forest Products & Paper — 0.1% | |
| | | | | | Georgia-Pacific LLC: | | | | |
| | 19,000 | | | A+ | | Company Guaranteed Notes, 5.400% due 11/1/20(a) | | | 19,699 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 55,000 | | | A+ | | 3.734% due 7/15/23(a) | | | 55,634 | |
| | 40,000 | | | A+ | | 3.600% due 3/1/25(a) | | | 40,303 | |
| | 85,000 | | | BBB | | International Paper Co., Senior Unsecured Notes, 4.350% due 8/15/48 | | | 75,510 | |
| | 160,000 | | | B+ | | Resolute Forest Products Inc., Company Guaranteed Notes, 5.875% due 5/15/23 | | | 159,000 | |
| | | | | | | | | | |
| | | | | | Total Forest Products & Paper | | | 350,146 | |
| | | | | | | | | | |
|
| | Gas — 0.1% | |
| | 30,000 | | | A | | Atmos Energy Corp., Senior Unsecured Notes, 4.125% due 3/15/49 | | | 29,652 | |
| | 195,000 | | | BBB+ | | CenterPoint Energy Resources Corp., Senior Unsecured Notes, 4.100% due 9/1/47 | | | 183,500 | |
| | | | | | NiSource Inc., Senior Unsecured Notes: | | | | |
| | 400,000 | | | BBB+ | | 2.650% due 11/17/22 | | | 388,494 | |
See Notes to Financial Statements.
145
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Gas — 0.1% — (continued) | |
| $ | 140,000 | | | BBB+ | | 3.490% due 5/15/27 | | $ | 135,831 | |
| | 250,000 | | | A- | | Southern Co. Gas Capital Corp., Company Guaranteed Notes, 4.400% due 5/30/47 | | | 241,573 | |
| | | | | | | | | | |
| | | | | | Total Gas | | | 979,050 | |
| | | | | | | | | | |
|
| | Healthcare — Products — 0.5% | |
| | | | | | Abbott Laboratories, Senior Unsecured Notes: | | | | |
| | 151,000 | | | BBB | | 3.400% due 11/30/23 | | | 152,508 | |
| | 190,000 | | | BBB | | 2.950% due 3/15/25 | | | 186,656 | |
| | 146,000 | | | BBB | | 3.750% due 11/30/26 | | | 148,195 | |
| | 70,000 | | | BBB | | 4.750% due 11/30/36 | | | 75,413 | |
| | 150,000 | | | BBB | | 4.900% due 11/30/46 | | | 164,201 | |
| | | | | | Becton Dickinson & Co., Senior Unsecured Notes: | | | | |
| | 265,000 | | | BBB | | 2.404% due 6/5/20 | | | 262,401 | |
| | 500,000 | | | BBB | | 2.894% due 6/6/22 | | | 495,028 | |
| | 595,000 | | | BBB | | 3.363% due 6/6/24 | | | 586,232 | |
| | 61,000 | | | BBB | | 3.734% due 12/15/24 | | | 61,114 | |
| | 60,000 | | | BBB | | 4.685% due 12/15/44 | | | 58,838 | |
| | 100,000 | | | BB- | | Hologic Inc., Company Guaranteed Notes, 4.625% due 2/1/28(a) | | | 97,000 | |
| | 120,000 | | | A | | Medtronic Global Holdings SCA, Company Guaranteed Notes, 3.350% due 4/1/27 | | | 119,433 | |
| | | | | | Medtronic Inc., Company Guaranteed Notes: | | | | |
| | 505,000 | | | A | | 3.500% due 3/15/25 | | | 513,459 | |
| | 140,000 | | | A | | 4.375% due 3/15/35 | | | 147,764 | |
| | 80,000 | | | A | | 5.550% due 3/15/40 | | | 96,668 | |
| | 13,000 | | | WR(b) | | St Jude Medical LLC, Senior Unsecured Notes, 4.750% due 4/15/43 | | | 11,342 | |
| | | | | | Thermo Fisher Scientific Inc., Senior Unsecured Notes: | | | | |
| | 45,000 | | | BBB+ | | 3.150% due 1/15/23 | | | 44,814 | |
| | 205,000 | | | BBB+ | | 3.000% due 4/15/23 | | | 202,255 | |
| | 60,000 | | | BBB+ | | 4.150% due 2/1/24 | | | 62,021 | |
| | 20,000 | | | BBB+ | | 2.950% due 9/19/26 | | | 18,884 | |
| | 80,000 | | | BBB+ | | 3.200% due 8/15/27 | | | 76,034 | |
| | 500,000 | | | BBB | | Zimmer Biomet Holdings Inc., Senior Unsecured Notes, 2.700% due 4/1/20 | | | 497,812 | |
| | | | | | | | | | |
| | | | | | Total Healthcare — Products | | | 4,078,072 | |
| | | | | | | | | | |
|
| | Healthcare — Services — 1.0% | |
| | | | | | Aetna Inc., Senior Unsecured Notes: | | | | |
| | 500,000 | | | BBB | | 4.125% due 6/1/21 | | | 508,417 | |
| | 40,000 | | | BBB | | 2.800% due 6/15/23 | | | 38,975 | |
| | 55,000 | | | BBB | | 4.125% due 11/15/42 | | | 47,997 | |
| | 10,000 | | | BBB | | 3.875% due 8/15/47 | | | 8,274 | |
| | | | | | Anthem Inc., Senior Unsecured Notes: | | | | |
| | 450,000 | | | A | | 3.125% due 5/15/22 | | | 449,502 | |
| | 135,000 | | | A | | 2.950% due 12/1/22 | | | 133,959 | |
| | 525,000 | | | A | | 3.650% due 12/1/27 | | | 516,877 | |
| | 40,000 | | | A | | 4.375% due 12/1/47 | | | 38,224 | |
| | 160,000 | | | B+ | | Catalent Pharma Solutions Inc., Company Guaranteed Notes, 4.875% due 1/15/26(a) | | | 159,200 | |
| | | | | | Centene Corp., Senior Unsecured Notes: | | | | |
| | 329,000 | | | BB+ | | 5.625% due 2/15/21 | | | 333,935 | |
| | 140,000 | | | BB+ | | 4.750% due 5/15/22 | | | 143,150 | |
| | 90,000 | | | BB+ | | 6.125% due 2/15/24 | | | 94,331 | |
| | 60,000 | | | BB+ | | 5.375% due 6/1/26(a) | | | 62,400 | |
| | 26,000 | | | B- | | CHS/Community Health Systems Inc., Senior Secured Notes, 8.625% due 1/15/24(a) | | | 26,845 | |
| | | | | | Cigna Holding Co., Company Guaranteed Notes: | | | | |
| | 125,000 | | | A- | | 3.250% due 4/15/25 | | | 121,725 | |
| | 50,000 | | | A- | | 3.050% due 10/15/27 | | | 46,189 | |
| | 30,000 | | | BBB+ | | CommonSpirit Health, Secured Notes, 4.350% due 11/1/42 | | | 27,193 | |
See Notes to Financial Statements.
146
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Healthcare — Services — 1.0% — (continued) | |
| $ | 780,000 | | | BBB- | | Fresenius Medical Care US Finance II Inc., Company Guaranteed Notes, 5.625% due 7/31/19(a) | | $ | 786,525 | |
| | 20,000 | | | BBB- | | Fresenius Medical Care US Finance Inc., Company Guaranteed Notes, 5.750% due 2/15/21(a) | | | 20,713 | |
| | | | | | HCA Inc.: | | | | |
| | | | | | Company Guaranteed Notes: | | | | |
| | 100,000 | | | BB- | | 7.500% due 2/15/22 | | | 109,875 | |
| | 59,000 | | | BB- | | 5.375% due 2/1/25 | | | 61,342 | |
| | 40,000 | | | BB- | | 5.375% due 9/1/26 | | | 41,100 | |
| | 20,000 | | | BB- | | 5.625% due 9/1/28 | | | 20,725 | |
| | 64,000 | | | BB- | | 5.875% due 2/1/29 | | | 67,200 | |
| | | | | | Senior Secured Notes: | | | | |
| | 491,000 | | | BBB- | | 6.500% due 2/15/20 | | | 505,807 | |
| | 10,000 | | | BBB- | | 5.875% due 3/15/22 | | | 10,646 | |
| | 93,000 | | | BBB- | | 5.000% due 3/15/24 | | | 97,263 | |
| | 129,000 | | | BBB- | | 5.250% due 4/15/25 | | | 136,719 | |
| | 20,000 | | | BBB- | | 5.250% due 6/15/26 | | | 21,124 | |
| | 160,000 | | | BBB- | | 5.500% due 6/15/47 | | | 166,461 | |
| | | | | | Humana Inc., Senior Unsecured Notes: | | | | |
| | 360,000 | | | BBB+ | | 2.500% due 12/15/20 | | | 355,963 | |
| | 280,000 | | | BBB+ | | 3.150% due 12/1/22 | | | 279,154 | |
| | 30,000 | | | BBB+ | | 3.950% due 3/15/27 | | | 29,642 | |
| | 70,000 | | | BBB+ | | 4.625% due 12/1/42 | | | 69,599 | |
| | 40,000 | | | BBB+ | | 4.950% due 10/1/44 | | | 41,166 | |
| | 500,000 | | | AA- | | Kaiser Foundation Hospitals, Company Guaranteed Notes, 3.150% due 5/1/27 | | | 490,282 | |
| | 255,000 | | | BB- | | Molina Healthcare Inc., Company Guaranteed Notes, 5.375% due 11/15/22 | | | 263,845 | |
| | | | | | Tenet Healthcare Corp., Senior Secured Notes: | | | | |
| | 70,000 | | | BB- | | 4.500% due 4/1/21 | | | 71,225 | |
| | 256,000 | | | BB- | | 4.375% due 10/1/21 | | | 260,480 | |
| | 24,000 | | | BB- | | 4.625% due 7/15/24 | | | 24,030 | |
| | | | | | UnitedHealth Group Inc., Senior Unsecured Notes: | | | | |
| | 120,000 | | | A+ | | 2.700% due 7/15/20 | | | 120,108 | |
| | 460,000 | | | A+ | | 3.375% due 11/15/21 | | | 465,621 | |
| | 80,000 | | | A+ | | 2.875% due 12/15/21 | | | 80,091 | |
| | 500,000 | | | A+ | | 3.850% due 6/15/28 | | | 513,478 | |
| | 50,000 | | | A+ | | 3.875% due 12/15/28 | | | 51,438 | |
| | 22,000 | | | A+ | | 4.250% due 3/15/43 | | | 22,428 | |
| | 190,000 | | | A+ | | 4.750% due 7/15/45 | | | 206,891 | |
| | 70,000 | | | A+ | | 3.750% due 10/15/47 | | | 65,861 | |
| | 104,000 | | | BB | | WellCare Health Plans Inc., Senior Unsecured Notes, 5.375% due 8/15/26(a) | | | 107,250 | |
| | | | | | | | | | |
| | | | | | Total Healthcare — Services | | | 8,321,245 | |
| | | | | | | | | | |
|
| | Home Builders — 0.0% | |
| | | | | | Lennar Corp., Company Guaranteed Notes: | | | | |
| | 10,000 | | | BB+ | | 5.000% due 6/15/27 | | | 9,837 | |
| | 150,000 | | | BB+ | | 4.750% due 11/29/27 | | | 146,250 | |
| | 50,000 | | | BB+ | | Toll Brothers Finance Corp., Company Guaranteed Notes, 4.375% due 4/15/23 | | | 50,225 | |
| | | | | | | | | | |
| | | | | | Total Home Builders | | | 206,312 | |
| | | | | | | | | | |
|
| | Household Products/Wares — 0.0% | |
| | | | | | Central Garden & Pet Co., Company Guaranteed Notes: | | | | |
| | 48,000 | | | BB | | 6.125% due 11/15/23 | | | 50,040 | |
| | 128,000 | | | BB | | 5.125% due 2/1/28 | | | 119,040 | |
| | 45,000 | | | A- | | Clorox Co. (The), Senior Unsecured Notes, 3.900% due 5/15/28 | | | 46,052 | |
| | 90,000 | | | B+ | | Spectrum Brands Inc., Company Guaranteed Notes, 5.750% due 7/15/25 | | | 88,537 | |
| | | | | | | | | | |
| | | | | | Total Household Products/Wares | | | 303,669 | |
| | | | | | | | | | |
See Notes to Financial Statements.
147
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Housewares — 0.0% | |
| | | | | | Newell Brands Inc., Senior Unsecured Notes: | | | | |
| $ | 90,000 | | | BBB- | | 3.850% due 4/1/23 | | $ | 89,118 | |
| | 80,000 | | | BBB- | | 4.200% due 4/1/26 | | | 75,335 | |
| | | | | | | | | | |
| | | | | | Total Housewares | | | 164,453 | |
| | | | | | | | | | |
| | |
| | Insurance — 0.6% | | | | | | |
| | 10,000 | | | BBB+ | | American International Group Inc., Senior Unsecured Notes, 4.875% due 6/1/22 | | | 10,484 | |
| | 55,000 | | | A- | | Aon Corp., Company Guaranteed Notes, 4.500% due 12/15/28 | | | 56,700 | |
| | | | | | Aon PLC, Company Guaranteed Notes: | | | | |
| | 80,000 | | | A- | | 3.875% due 12/15/25 | | | 81,442 | |
| | 46,000 | | | A- | | 4.450% due 5/24/43 | | | 43,624 | |
| | 54,000 | | | A- | | 4.600% due 6/14/44 | | | 53,504 | |
| | 80,000 | | | A- | | 4.750% due 5/15/45 | | | 81,256 | |
| | 255,000 | | | BBB+ | | AXA Equitable Holdings Inc., Senior Unsecured Notes, 3.900% due 4/20/23 | | | 256,095 | |
| | | | | | Berkshire Hathaway Finance Corp., Company Guaranteed Notes: | | | | |
| | 400,000 | | | AA | | 4.400% due 5/15/42 | | | 415,531 | |
| | 250,000 | | | AA | | 4.250% due 1/15/49 | | | 253,861 | |
| | | | | | Berkshire Hathaway Inc., Senior Unsecured Notes: | | | | |
| | 45,000 | | | AA | | 2.750% due 3/15/23 | | | 44,929 | |
| | 30,000 | | | AA | | 3.125% due 3/15/26 | | | 29,717 | |
| | 30,000 | | | BBB+ | | Brighthouse Financial Inc., Senior Unsecured Notes, 4.700% due 6/22/47 | | | 23,786 | |
| | | | | | Chubb INA Holdings Inc., Company Guaranteed Notes: | | | | |
| | 60,000 | | | A | | 2.300% due 11/3/20 | | | 59,450 | |
| | 70,000 | | | A | | 3.350% due 5/3/26 | | | 69,758 | |
| | 100,000 | | | BBB+ | | Farmers Exchange Capital, Subordinated Notes, 7.200% due 7/15/48(a) | | | 115,453 | |
| | 900,000 | | | BBB+ | | Farmers Exchange Capital II, Subordinated Notes, 6.151%(3-MonthUSD-LIBOR + 3.744%) due 11/1/53(a)(c) | | | 906,636 | |
| | 44,000 | | | BBB+ | | Hartford Financial Services Group Inc. (The), Senior Unsecured Notes, 4.300% due 4/15/43 | | | 42,345 | |
| | | | | | Marsh & McLennan Cos., Inc., Senior Unsecured Notes: | | | | |
| | 190,000 | | | A- | | 2.750% due 1/30/22 | | | 188,154 | |
| | 381,000 | | | A- | | 3.500% due 6/3/24 | | | 382,988 | |
| | 40,000 | | | A- | | 3.500% due 3/10/25 | | | 39,690 | |
| | 105,000 | | | A- | | 4.350% due 1/30/47 | | | 102,964 | |
| | | | | | MetLife Inc.: | | | | |
| | 620,000 | | | BBB | | Junior Subordinated Notes, 6.400% due 12/15/36 | | | 658,096 | |
| | 95,000 | | | A- | | Senior Unsecured Notes, 3.000% due 3/1/25 | | | 93,304 | |
| | 850,000 | | | A- | | Nationwide Mutual Insurance Co., Subordinated Notes, 5.078%(3-MonthUSD-LIBOR + 2.290%) due 12/15/24(a)(c) | | | 849,611 | |
| | | | | | Teachers Insurance & Annuity Association of America, Subordinated Notes: | | | | |
| | 24,000 | | | AA- | | 6.850% due 12/16/39(a) | | | 31,674 | |
| | 320,000 | | | AA- | | 4.900% due 9/15/44(a) | | | 341,894 | |
| | 55,000 | | | BBB | | Trinity Acquisition PLC, Company Guaranteed Notes, 4.400% due 3/15/26 | | | 55,806 | |
| | | | | | | | | | |
| | | | | | Total Insurance | | | 5,288,752 | |
| | | | | | | | | | |
|
| | Internet — 0.2% | |
| | 200,000 | | | A+ | | Alibaba Group Holding Ltd., Senior Unsecured Notes, 4.400% due 12/6/57 | | | 191,092 | |
| | | | | | Amazon.com Inc., Senior Unsecured Notes: | | | | |
| | 130,000 | | | AA- | | 3.150% due 8/22/27 | | | 128,342 | |
| | 169,000 | | | AA- | | 3.875% due 8/22/37 | | | 168,680 | |
| | 160,000 | | | AA- | | 4.950% due 12/5/44 | | | 182,016 | |
| | 137,000 | | | AA- | | 4.050% due 8/22/47 | | | 137,443 | |
| | 5,000 | | | AA- | | 4.250% due 8/22/57 | | | 5,075 | |
| | 35,000 | | | BBB+ | | eBay Inc., Senior Unsecured Notes, 4.000% due 7/15/42 | | | 28,116 | |
| | 407,000 | | | A+ | | Tencent Holdings Ltd., Senior Unsecured Notes, 2.985% due 1/19/23(a) | | | 399,769 | |
| | | | | | | | | | |
| | | | | | Total Internet | | | 1,240,533 | |
| | | | | | | | | | |
See Notes to Financial Statements.
148
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Investment Companies — 0.0% | |
| $ | 245,000 | | | BBB- | | Ares Capital Corp., Senior Unsecured Notes, 4.250% due 3/1/25 | | $ | 232,662 | |
| | | | | | | | | | |
|
| | Iron/Steel — 0.0% | |
| | 30,000 | | | BBB- | | ArcelorMittal, Senior Unsecured Notes, 7.000% due 10/15/39 | | | 32,978 | |
| | 125,000 | | | BBB- | | Vale Overseas Ltd., Company Guaranteed Notes, 6.875% due 11/21/36 | | | 137,213 | |
| | | | | | | | | | |
| | | | | | Total Iron/Steel | | | 170,191 | |
| | | | | | | | | | |
|
| | Leisure Time — 0.0% | |
| | 110,000 | | | BB- | | VOC Escrow Ltd., Senior Secured Notes, 5.000% due 2/15/28(a) | | | 107,525 | |
| | | | | | | | | | |
|
| | Lodging — 0.0% | |
| | 10,000 | | | BB+ | | Hilton Domestic Operating Co., Inc., Company Guaranteed Notes, 5.125% due 5/1/26(a) | | | 10,075 | |
| | | | | | Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., Company Guaranteed Notes: | | | | |
| | 10,000 | | | BB+ | | 4.625% due 4/1/25 | | | 9,975 | |
| | 60,000 | | | BB+ | | 4.875% due 4/1/27 | | | 59,925 | |
| | 250,000 | | | BBB- | | Sands China Ltd., Senior Unsecured Notes, 5.125% due 8/8/25 | | | 255,945 | |
| | | | | | | | | | |
| | | | | | Total Lodging | | | 335,920 | |
| | | | | | | | | | |
|
| | Machinery — Construction & Mining — 0.0% | |
| | 20,000 | | | A | | ABB Finance USA Inc., Company Guaranteed Notes, 4.375% due 5/8/42 | | | 20,677 | |
| | | | | | | | | | |
|
| | Machinery — Diversified — 0.1% | |
| | | | | | John Deere Capital Corp., Senior Unsecured Notes: | | | | |
| | 90,000 | | | A | | 2.250% due 4/17/19 | | | 89,954 | |
| | 70,000 | | | A | | 1.700% due 1/15/20 | | | 69,379 | |
| | 5,000 | | | A | | 2.650% due 1/6/22 | | | 4,966 | |
| | 320,000 | | | BBB- | | Nvent Finance Sarl, Company Guaranteed Notes, 3.950% due 4/15/23 | | | 316,525 | |
| | | | | | | | | | |
| | | | | | Total Machinery — Diversified | | | 480,824 | |
| | | | | | | | | | |
|
| | Media — 1.4% | |
| | | | | | 21st Century Fox America Inc., Company Guaranteed Notes: | | | | |
| | 30,000 | | | BBB+ | | 4.500% due 2/15/21 | | | 30,811 | |
| | 25,000 | | | BBB+ | | 6.200% due 12/15/34 | | | 30,982 | |
| | 30,000 | | | BBB+ | | 6.650% due 11/15/37 | | | 39,217 | |
| | 10,000 | | | BBB+ | | 6.900% due 8/15/39 | | | 13,417 | |
| | | | | | CBS Corp., Company Guaranteed Notes: | | | | |
| | 30,000 | | | BBB | | 3.375% due 3/1/22 | | | 29,928 | |
| | 40,000 | | | BBB | | 2.500% due 2/15/23 | | | 38,279 | |
| | 350,000 | | | BBB | | 3.700% due 6/1/28 | | | 332,329 | |
| | | | | | CCO Holdings LLC/CCO Holdings Capital Corp., Senior Unsecured Notes: | | | | |
| | 10,000 | | | BB | | 5.250% due 9/30/22 | | | 10,213 | |
| | 300,000 | | | BB | | 5.125% due 5/1/27(a) | | | 296,001 | |
| | | | | | Charter Communications Operating LLC/Charter Communications Operating Capital, Senior Secured Notes: | | | | |
| | 50,000 | | | BBB- | | 3.579% due 7/23/20 | | | 50,245 | |
| | 415,000 | | | BBB- | | 4.464% due 7/23/22 | | | 425,965 | |
| | 285,000 | | | BBB- | | 4.908% due 7/23/25 | | | 295,684 | |
| | 210,000 | | | BBB- | | 3.750% due 2/15/28 | | | 196,616 | |
| | 260,000 | | | BBB- | | 4.200% due 3/15/28 | | | 251,527 | |
| | 285,000 | | | BBB- | | 5.050% due 3/30/29 | | | 291,660 | |
| | 215,000 | | | BBB- | | 6.384% due 10/23/35 | | | 230,497 | |
| | 50,000 | | | BBB- | | 5.375% due 4/1/38 | | | 48,307 | |
| | 325,000 | | | BBB- | | 6.484% due 10/23/45 | | | 350,028 | |
| | 10,000 | | | BBB- | | 5.750% due 4/1/48 | | | 10,013 | |
| | 160,000 | | | A- | | Comcast Cable Communications Holdings Inc., Company Guaranteed Notes, 9.455% due 11/15/22 | | | 195,291 | |
See Notes to Financial Statements.
149
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Media — 1.4% — (continued) | |
| | | | | | Comcast Corp., Company Guaranteed Notes: | | | | |
| $ | 320,000 | | | A- | | 3.300% due 10/1/20 | | $ | 322,223 | |
| | 60,000 | | | A- | | 3.450% due 10/1/21 | | | 60,769 | |
| | 300,000 | | | A- | | 3.950% due 10/15/25 | | | 309,358 | |
| | 347,000 | | | A- | | 2.350% due 1/15/27 | | | 318,256 | |
| | 55,000 | | | A- | | 3.300% due 2/1/27 | | | 53,767 | |
| | 915,000 | | | A- | | 4.150% due 10/15/28 | | | 945,893 | |
| | 290,000 | | | A- | | 4.250% due 10/15/30 | | | 300,490 | |
| | 30,000 | | | A- | | 6.500% due 11/15/35 | | | 36,793 | |
| | 100,000 | | | A- | | 3.200% due 7/15/36 | | | 87,629 | |
| | 50,000 | | | A- | | 3.900% due 3/1/38 | | | 47,100 | |
| | 307,000 | | | A- | | 3.400% due 7/15/46 | | | 258,858 | |
| | 113,000 | | | A- | | 3.969% due 11/1/47 | | | 104,850 | |
| | 740,000 | | | A- | | 4.700% due 10/15/48 | | | 771,018 | |
| | 23,000 | | | A- | | 3.999% due 11/1/49 | | | 21,421 | |
| | 39,000 | | | A- | | 4.049% due 11/1/52 | | | 36,132 | |
| | 100,000 | | | A- | | 4.950% due 10/15/58 | | | 105,441 | |
| | | | | | Cox Communications Inc., Senior Unsecured Notes: | | | | |
| | 40,000 | | | BBB | | 3.250% due 12/15/22(a) | | | 39,630 | |
| | 292,000 | | | BBB | | 3.150% due 8/15/24(a) | | | 284,827 | |
| | 18,000 | | | BBB | | 3.350% due 9/15/26(a) | | | 17,025 | |
| | 200,000 | | | BB | | CSC Holdings LLC, Senior Secured Notes, 5.500% due 5/15/26(a) | | | 202,750 | |
| | | | | | Discovery Communications LLC, Company Guaranteed Notes: | | | | |
| | 35,000 | | | BBB- | | 2.200% due 9/20/19 | | | 34,834 | |
| | 275,000 | | | BBB- | | 2.750% due 11/15/19(a) | | | 274,227 | |
| | 160,000 | | | BBB- | | 2.950% due 3/20/23 | | | 155,129 | |
| | 51,000 | | | BBB- | | 4.875% due 4/1/43 | | | 46,044 | |
| | | | | | DISH DBS Corp., Company Guaranteed Notes: | | | | |
| | 20,000 | | | B- | | 5.125% due 5/1/20 | | | 20,200 | |
| | 90,000 | | | B- | | 5.875% due 7/15/22 | | | 86,288 | |
| | 10,000 | | | B- | | 5.875% due 11/15/24 | | | 8,460 | |
| | 50,000 | | | B- | | 7.750% due 7/1/26 | | | 43,375 | |
| | | | | | Fox Corp., Company Guaranteed Notes: | | | | |
| | 100,000 | | | BBB | | 4.030% due 1/25/24(a) | | | 102,178 | |
| | 130,000 | | | BBB | | 4.709% due 1/25/29(a) | | | 135,147 | |
| | 40,000 | | | BBB | | 5.476% due 1/25/39(a) | | | 42,209 | |
| | 30,000 | | | BBB | | Historic TW Inc., Company Guaranteed Notes, 6.625% due 5/15/29 | | | 35,565 | |
| | 370,000 | | | BBB- | | Myriad International Holdings BV, Company Guaranteed Notes, 4.850% due 7/6/27(a) | | | 372,992 | |
| | | | | | NBCUniversal Media LLC, Company Guaranteed Notes: | | | | |
| | 40,000 | | | A- | | 5.150% due 4/30/20 | | | 41,047 | |
| | 180,000 | | | A- | | 5.950% due 4/1/41 | | | 212,158 | |
| | 115,000 | | | BB | | Sirius XM Radio Inc., Company Guaranteed Notes, 3.875% due 8/1/22(a) | | | 115,144 | |
| | | | | | Time Warner Cable LLC, Senior Secured Notes: | | | | |
| | 440,000 | | | BBB- | | 8.250% due 4/1/19 | | | 441,783 | |
| | 385,000 | | | BBB- | | 4.000% due 9/1/21 | | | 388,658 | |
| | 230,000 | | | BBB- | | 7.300% due 7/1/38 | | | 257,863 | |
| | 20,000 | | | BBB- | | 5.875% due 11/15/40 | | | 19,785 | |
| | 490,000 | | | BBB- | | 5.500% due 9/1/41 | | | 464,575 | |
| | | | | | Time Warner Entertainment Co. LP, Senior Secured Notes: | | | | |
| | 70,000 | | | BBB- | | 8.375% due 3/15/23 | | | 80,791 | |
| | 40,000 | | | BBB- | | 8.375% due 7/15/33 | | | 50,724 | |
| | 200,000 | | | BB | | UPCB Finance IV Ltd., Senior Secured Notes, 5.375% due 1/15/25(a) | | | 205,000 | |
| | | | | | Viacom Inc., Senior Unsecured Notes: | | | | |
| | 40,000 | | | BBB- | | 4.250% due 9/1/23 | | | 40,995 | |
| | 10,000 | | | BBB- | | 3.875% due 4/1/24 | | | 10,011 | |
See Notes to Financial Statements.
150
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Media — 1.4% — (continued) | |
| $ | 80,000 | | | BBB- | | 4.375% due 3/15/43 | | $ | 68,793 | |
| | 200,000 | | | BB- | | Virgin Media Secured Finance PLC, Senior Secured Notes, 5.250% due 1/15/26(a) | | | 200,958 | |
| | | | | | Warner Media LLC, Company Guaranteed Notes: | | | | |
| | 60,000 | | | BBB | | 4.700% due 1/15/21 | | | 61,804 | |
| | 110,000 | | | BBB | | 4.750% due 3/29/21 | | | 113,924 | |
| | 234,000 | | | BBB | | 3.875% due 1/15/26 | | | 230,012 | |
| | 230,000 | | | BBB | | 3.800% due 2/15/27 | | | 224,010 | |
| | 10,000 | | | BBB | | 7.625% due 4/15/31 | | | 12,891 | |
| | 30,000 | | | BBB | | 6.250% due 3/29/41 | | | 33,161 | |
| | 50,000 | | | BBB | | 5.350% due 12/15/43 | | | 49,863 | |
| | | | | | | | | | |
| | | | | | Total Media | | | 12,171,838 | |
| | | | | | | | | | |
|
| | Mining — 0.4% | |
| | | | | | Anglo American Capital PLC, Company Guaranteed Notes: | | | | |
| | 560,000 | | | BBB- | | 3.625% due 9/11/24(a) | | | 544,929 | |
| | 270,000 | | | BBB- | | 4.750% due 4/10/27(a) | | | 268,439 | |
| | 40,000 | | | BBB | | Barrick Gold Corp., Senior Unsecured Notes, 5.250% due 4/1/42 | | | 41,894 | |
| | | | | | Barrick North America Finance LLC, Company Guaranteed Notes: | | | | |
| | 70,000 | | | BBB | | 5.700% due 5/30/41 | | | 76,819 | |
| | 90,000 | | | BBB | | 5.750% due 5/1/43 | | | 99,849 | |
| | | | | | BHP Billsiton Finance USA Ltd., Company Guaranteed Notes: | | | | |
| | 150,000 | | | A | | 5.000% due 9/30/43 | | | 171,541 | |
| | 310,000 | | | BBB+ | | 6.750%(5-Year USD Swap Rate + 5.093%) due 10/19/75(a)(c) | | | 340,512 | |
| | | | | | Freeport-McMoRan Inc., Company Guaranteed Notes: | | | | |
| | 40,000 | | | BB | | 4.000% due 11/14/21 | | | 40,150 | |
| | 10,000 | | | BB | | 3.875% due 3/15/23 | | | 9,880 | |
| | 10,000 | | | BB | | 4.550% due 11/14/24 | | | 9,925 | |
| | 10,000 | | | BB | | 5.450% due 3/15/43 | | | 8,825 | |
| | | | | | Glencore Funding LLC, Company Guaranteed Notes: | | | | |
| | 40,000 | | | BBB+ | | 2.875% due 4/16/20(a) | | | 39,631 | |
| | 20,000 | | | BBB+ | | 4.125% due 5/30/23(a) | | | 20,084 | |
| | 210,000 | | | BBB+ | | 4.625% due 4/29/24(a) | | | 214,242 | |
| | 280,000 | | | BBB+ | | 4.000% due 3/27/27(a) | | | 266,871 | |
| | 200,000 | | | Baa2(b) | | Indonesia Asahan Aluminium Persero PT, Senior Unsecured Notes, 6.530% due 11/15/28(a) | | | 219,707 | |
| | 50,000 | | | BBB | | Newmont Mining Corp., Company Guaranteed Notes, 4.875% due 3/15/42 | | | 50,003 | |
| | 760,000 | | | BBB+ | | Southern Copper Corp., Senior Unsecured Notes, 5.250% due 11/8/42 | | | 755,213 | |
| | 90,000 | | | BB+ | | Yamana Gold Inc., Company Guaranteed Notes, 4.625% due 12/15/27 | | | 84,947 | |
| | | | | | | | | | |
| | | | | | Total Mining | | | 3,263,461 | |
| | | | | | | | | | |
|
| | Miscellaneous Manufacturers — 0.4% | |
| | 20,000 | | | BBB | | Crane Co., Senior Unsecured Notes, 4.200% due 3/15/48 | | | 18,128 | |
| | | | | | Eaton Corp., Company Guaranteed Notes: | | | | |
| | 386,000 | | | A- | | 2.750% due 11/2/22 | | | 381,422 | |
| | 185,000 | | | A- | | 4.150% due 11/2/42 | | | 179,527 | |
| | | | | | General Electric Co.: | | | | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 20,000 | | | BBB+ | | 5.500% due 1/8/20 | | | 20,397 | |
| | 250,000 | | | BBB+ | | 4.625% due 1/7/21 | | | 256,008 | |
| | 442,000 | | | BBB+ | | 4.650% due 10/17/21 | | | 455,650 | |
| | 420,000 | | | BBB+ | | 5.550% due 1/5/26 | | | 442,824 | |
| | 60,000 | | | BBB+ | | 6.750% due 3/15/32 | | | 68,775 | |
| | 1,025,000 | | | BBB+ | | 3.164%(3-MonthUSD-LIBOR + 0.480%) due 8/15/36(c) | | | 780,699 | |
| | 122,000 | | | BBB+ | | 6.150% due 8/7/37 | | | 131,147 | |
| | 230,000 | | | BBB+ | | 5.875% due 1/14/38 | | | 241,850 | |
| | 258,000 | | | BBB+ | | 6.875% due 1/10/39 | | | 299,261 | |
See Notes to Financial Statements.
151
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Miscellaneous Manufacturers — 0.4% — (continued) | |
| $ | 70,000 | | | BBB+ | | 4.500% due 3/11/44 | | $ | 62,581 | |
| | 141,000 | | | BBB | | Subordinated Notes, 5.300% due 2/11/21 | | | 145,117 | |
| | | | | | | | | | |
| | | | | | Total Miscellaneous Manufacturers | | | 3,483,386 | |
| | | | | | | | | | |
|
| | Office/Business Equipment — 0.0% | |
| | 125,000 | | | BB+ | | Pitney Bowes Inc., Senior Unsecured Notes, 3.875% due 9/15/20 | | | 124,219 | |
| | | | | | | | | | |
|
| | Oil & Gas — 2.1% | |
| | 140,000 | | | BBB | | Anadarko Finance Co., Company Guaranteed Notes, 7.500% due 5/1/31 | | | 170,457 | |
| | | | | | Anadarko Petroleum Corp., Senior Unsecured Notes: | | | | |
| | 56,000 | | | BBB | | 4.850% due 3/15/21 | | | 57,568 | |
| | 760,000 | | | BBB | | 5.550% due 3/15/26 | | | 813,735 | |
| | 40,000 | | | BBB | | 6.450% due 9/15/36 | | | 45,071 | |
| | 150,000 | | | BBB | | 4.500% due 7/15/44 | | | 135,925 | |
| | 40,000 | | | BBB | | 6.600% due 3/15/46 | | | 47,524 | |
| | 130,000 | | | BBB | | 7.730% due 9/15/96 | | | 157,009 | |
| | 30,000 | | | BB+ | | Antero Resources Corp., Company Guaranteed Notes, 5.375% due 11/1/21 | | | 30,225 | |
| | | | | | Apache Corp., Senior Unsecured Notes: | | | | |
| | 181,000 | | | BBB | | 3.250% due 4/15/22 | | | 179,510 | |
| | 190,000 | | | BBB | | 4.375% due 10/15/28 | | | 186,970 | |
| | 280,000 | | | BBB | | 5.100% due 9/1/40 | | | 267,783 | |
| | 4,000 | | | BBB | | 4.750% due 4/15/43 | | | 3,643 | |
| | 60,000 | | | BBB | | 4.250% due 1/15/44 | | | 51,436 | |
| | | | | | BP Capital Markets America Inc., Company Guaranteed Notes: | | | | |
| | 110,000 | | | A- | | 3.245% due 5/6/22 | | | 110,879 | |
| | 230,000 | | | A- | | 3.216% due 11/28/23 | | | 230,592 | |
| | 40,000 | | | A- | | 3.119% due 5/4/26 | | | 39,071 | |
| | | | | | BP Capital Markets PLC, Company Guaranteed Notes: | | | | |
| | 270,000 | | | A- | | 3.814% due 2/10/24 | | | 277,653 | |
| | 30,000 | | | A- | | 3.535% due 11/4/24 | | | 30,496 | |
| | 270,000 | | | A- | | 3.506% due 3/17/25 | | | 272,606 | |
| | 94,000 | | | BBB+ | | Canadian Natural Resources Ltd., Senior Unsecured Notes, 3.850% due 6/1/27 | | | 92,108 | |
| | 28,000 | | | BB- | | Centennial Resource Production LLC, Company Guaranteed Notes, 5.375% due 1/15/26(a) | | | 26,880 | |
| | 30,000 | | | B+ | | Chesapeake Energy Corp., Company Guaranteed Notes, 6.125% due 2/15/21 | | | 30,825 | |
| | 270,000 | | | AA | | Chevron Corp., Senior Unsecured Notes, 2.954% due 5/16/26 | | | 265,821 | |
| | | | | | Cimarex Energy Co., Senior Unsecured Notes: | | | | |
| | 462,000 | | | BBB- | | 4.375% due 6/1/24 | | | 470,236 | |
| | 286,000 | | | BBB- | | 3.900% due 5/15/27 | | | 275,895 | |
| | 530,000 | | | A+ | | CNOOC Finance 2015 USA LLC, Company Guaranteed Notes, 3.500% due 5/5/25 | | | 525,404 | |
| | | | | | Concho Resources Inc., Company Guaranteed Notes: | | | | |
| | 20,000 | | | BBB- | | 4.375% due 1/15/25 | | | 20,252 | |
| | 100,000 | | | BBB- | | 3.750% due 10/1/27 | | | 97,109 | |
| | 150,000 | | | BBB- | | 4.300% due 8/15/28 | | | 151,150 | |
| | | | | | Continental Resources Inc., Company Guaranteed Notes: | | | | |
| | 240,000 | | | BBB- | | 5.000% due 9/15/22 | | | 242,754 | |
| | 470,000 | | | BBB- | | 4.500% due 4/15/23 | | | 479,440 | |
| | 1,050,000 | | | BBB- | | 3.800% due 6/1/24 | | | 1,038,257 | |
| | 30,000 | | | BBB- | | 4.375% due 1/15/28 | | | 29,932 | |
| | | | | | Devon Energy Corp., Senior Unsecured Notes: | | | | |
| | 630,000 | | | BBB | | 3.250% due 5/15/22 | | | 628,292 | |
| | 280,000 | | | BBB | | 5.850% due 12/15/25 | | | 309,527 | |
| | 190,000 | | | BBB | | 5.600% due 7/15/41 | | | 206,033 | |
| | 10,000 | | | BBB | | 4.750% due 5/15/42 | | | 9,771 | |
| | 50,000 | | | BB+ | | Diamondback Energy Inc., Company Guaranteed Notes, 5.375% due 5/31/25 | | | 51,875 | |
See Notes to Financial Statements.
152
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Oil & Gas — 2.1% — (continued) | |
| | | | | | Ecopetrol SA, Senior Unsecured Notes: | | | | |
| $ | 95,000 | | | BBB- | | 4.125% due 1/16/25 | | $ | 94,943 | |
| | 750,000 | | | BBB- | | 5.875% due 5/28/45 | | | 759,038 | |
| | 29,000 | | | BB- | | Endeavor Energy Resources LP/EER Finance Inc., Senior Unsecured Notes, 5.750% due 1/30/28(a) | | | 31,030 | |
| | 150,000 | | | A- | | EOG Resources Inc., Senior Unsecured Notes, 3.900% due 4/1/35 | | | 146,699 | |
| | | | | | Exxon Mobil Corp., Senior Unsecured Notes: | | | | |
| | 150,000 | | | AA+ | | 2.726% due 3/1/23 | | | 149,407 | |
| | 380,000 | | | AA+ | | 3.043% due 3/1/26 | | | 377,405 | |
| | 70,000 | | | AA+ | | 4.114% due 3/1/46 | | | 72,981 | |
| | | | | | Kerr-McGee Corp., Company Guaranteed Notes: | | | | |
| | 200,000 | | | BBB | | 6.950% due 7/1/24 | | | 225,610 | |
| | 75,000 | | | BBB | | 7.875% due 9/15/31 | | | 92,847 | |
| | 210,000 | | | BBB- | | Marathon Oil Corp., Senior Unsecured Notes, 2.700% due 6/1/20 | | | 208,041 | |
| | | | | | Marathon Petroleum Corp., Senior Unsecured Notes: | | | | |
| | 110,000 | | | BBB | | 4.750% due 12/15/23(a) | | | 114,421 | |
| | 40,000 | | | BBB | | 6.500% due 3/1/41 | | | 46,276 | |
| | 90,000 | | | BB- | | Matador Resources Co., Company Guaranteed Notes, 5.875% due 9/15/26 | | | 90,000 | |
| | | | | | Noble Energy Inc., Senior Unsecured Notes: | | | | |
| | 60,000 | | | BBB | | 4.150% due 12/15/21 | | | 61,080 | |
| | 120,000 | | | BBB | | 3.850% due 1/15/28 | | | 113,860 | |
| | 110,000 | | | BBB | | 5.250% due 11/15/43 | | | 103,548 | |
| | 60,000 | | | BBB | | 4.950% due 8/15/47 | | | 56,231 | |
| | 29,000 | | | BB- | | Oasis Petroleum Inc., Company Guaranteed Notes, 6.875% due 1/15/23 | | | 28,891 | |
| | | | | | Occidental Petroleum Corp., Senior Unsecured Notes: | | | | |
| | 100,000 | | | A | | 3.125% due 2/15/22 | | | 100,757 | |
| | 100,000 | | | A | | 2.700% due 2/15/23 | | | 98,716 | |
| | 90,000 | | | A | | 3.400% due 4/15/26 | | | 90,222 | |
| | 90,000 | | | A | | 4.625% due 6/15/45 | | | 94,726 | |
| | 30,000 | | | A | | 4.100% due 2/15/47 | | | 29,407 | |
| | 260,000 | | | A | | 4.200% due 3/15/48 | | | 260,924 | |
| | 75,000 | | | BB- | | Parsley Energy LLC/Parsley Finance Corp., Company Guaranteed Notes, 5.375% due 1/15/25(a) | | | 75,563 | |
| | | | | | Petrobras Global Finance BV, Company Guaranteed Notes: | | | | |
| | 1,358,000 | | | BB- | | 5.299% due 1/27/25 | | | 1,374,296 | |
| | 360,000 | | | BB- | | 5.750% due 2/1/29 | | | 359,766 | |
| | 68,000 | | | A- | | Petro-Canada, Senior Unsecured Notes, 6.800% due 5/15/38 | | | 83,893 | |
| | | | | | Petroleos Mexicanos, Company Guaranteed Notes: | | | | |
| | 255,000 | | | BBB+ | | 6.000% due 3/5/20 | | | 259,748 | |
| | 610,000 | | | BBB+ | | 3.500% due 1/30/23 | | | 569,679 | |
| | 865,000 | | | BBB+ | | 6.500% due 3/13/27 | | | 837,320 | |
| | 140,000 | | | BBB+ | | 5.350% due 2/12/28 | | | 125,300 | |
| | 575,000 | | | BBB+ | | 6.500% due 1/23/29 | | | 548,061 | |
| | 19,000 | | | BBB+ | | 6.625% due 6/15/35 | | | 17,290 | |
| | 35,000 | | | BBB+ | | 6.500% due 6/2/41 | | | 30,537 | |
| | 49,000 | | | BBB | | Pioneer Natural Resources Co., Senior Unsecured Notes, 3.950% due 7/15/22 | | | 49,736 | |
| | 100,000 | | | BB- | | QEP Resources Inc., Senior Unsecured Notes, 6.875% due 3/1/21 | | | 103,875 | |
| | | | | | Range Resources Corp., Company Guaranteed Notes: | | | | |
| | 20,000 | | | BB+ | | 5.875% due 7/1/22 | | | 20,300 | |
| | 110,000 | | | BB+ | | 5.000% due 3/15/23 | | | 106,700 | |
| | 30,000 | | | BB+ | | 4.875% due 5/15/25 | | | 27,628 | |
| | | | | | Shell International Finance BV, Company Guaranteed Notes: | | | | |
| | 180,000 | | | AA- | | 4.375% due 3/25/20 | | | 183,148 | |
| | 75,000 | | | AA- | | 3.500% due 11/13/23 | | | 76,702 | |
| | 75,000 | | | AA- | | 3.250% due 5/11/25 | | | 75,326 | |
See Notes to Financial Statements.
153
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Oil & Gas — 2.1% — (continued) | |
| $ | 260,000 | | | AA- | | 2.875% due 5/10/26 | | $ | 252,878 | |
| | 50,000 | | | AA- | | 3.875% due 11/13/28 | | | 51,891 | |
| | 114,000 | | | AA- | | 4.550% due 8/12/43 | | | 122,185 | |
| | 220,000 | | | AA- | | 4.375% due 5/11/45 | | | 231,719 | |
| | 40,000 | | | AA- | | 4.000% due 5/10/46 | | | 40,015 | |
| | 400,000 | | | A+ | | Sinopec Group Overseas Development 2014 Ltd., Company Guaranteed Notes, 4.375% due 4/10/24(a) | | | 414,057 | |
| | 5,000 | | | A- | | Suncor Energy Inc., Senior Unsecured Notes, 4.000% due 11/15/47 | | | 4,655 | |
| | 55,755 | | | B+ | | Transocean Guardian Ltd., Senior Secured Notes, 5.875% due 1/15/24(a) | | | 56,940 | |
| | 192,780 | | | B+ | | Transocean Pontus Ltd., Senior Secured Notes, 6.125% due 8/1/25(a) | | | 195,672 | |
| | 40,000 | | | B+ | | Transocean Poseidon Ltd., Senior Secured Notes, 6.875% due 2/1/27(a) | | | 41,200 | |
| | | | | | Whiting Petroleum Corp., Company Guaranteed Notes: | | | | |
| | 60,000 | | | BB | | 5.750% due 3/15/21 | | | 61,050 | |
| | 30,000 | | | BB | | 6.250% due 4/1/23 | | | 30,300 | |
| | 30,000 | | | BB | | 6.625% due 1/15/26 | | | 29,550 | |
| | | | | | | | | | |
| | | | | | Total Oil & Gas | | | 17,963,754 | |
| | | | | | | | | | |
|
| | Oil & Gas Services — 0.1% | |
| | | | | | Halliburton Co., Senior Unsecured Notes: | | | | |
| | 220,000 | | | A- | | 3.800% due 11/15/25 | | | 221,263 | |
| | 20,000 | | | A- | | 4.850% due 11/15/35 | | | 20,288 | |
| | 50,000 | | | A- | | 5.000% due 11/15/45 | | | 51,483 | |
| | 105,000 | | | BBB | | Patterson-UTI Energy Inc., Company Guaranteed Notes, 3.950% due 2/1/28 | | | 97,187 | |
| | | | | | Schlumberger Holdings Corp., Senior Unsecured Notes: | | | | |
| | 170,000 | | | AA- | | 3.000% due 12/21/20(a) | | | 169,510 | |
| | 120,000 | | | AA- | | 4.000% due 12/21/25(a) | | | 121,052 | |
| | 20,000 | | | AA- | | Schlumberger Norge AS, Company Guaranteed Notes, 4.200% due 1/15/21(a) | | | 20,342 | |
| | 100,000 | | | B+ | | Transocean Proteus Ltd., Senior Secured Notes, 6.250% due 12/1/24(a) | | | 102,500 | |
| | | | | | | | | | |
| | | | | | Total Oil & Gas Services | | | 803,625 | |
| | | | | | | | | | |
|
| | Packaging & Containers — 0.3% | |
| | 500,000 | | | BBB | | Amcor Finance USA Inc., Company Guaranteed Notes, 4.500% due 5/15/28(a) | | | 507,493 | |
| | 130,000 | | | BB+ | | Ball Corp., Company Guaranteed Notes, 4.000% due 11/15/23 | | | 130,650 | |
| | | | | | Berry Global Inc., Secured Notes: | | | | |
| | 80,000 | | | BB+ | | 5.125% due 7/15/23 | | | 80,400 | |
| | 40,000 | | | BB+ | | 4.500% due 2/15/26(a) | | | 37,950 | |
| | 24,000 | | | BB | | OI European Group BV, Company Guaranteed Notes, 4.000% due 3/15/23(a) | | | 23,520 | |
| | 218,049 | | | B+ | | Reynolds Group Issuer Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu, Senior Secured Notes, 5.750% due 10/15/20 | | | 218,758 | |
| | 235,000 | | | BB+ | | Sealed Air Corp., Company Guaranteed Notes, 5.500% due 9/15/25(a) | | | 245,575 | |
| | 175,000 | | | BB- | | Silgan Holdings Inc., Senior Unsecured Notes, 4.750% due 3/15/25 | | | 172,375 | |
| | | | | | WestRock RKT LLC, Company Guaranteed Notes: | | | | |
| | 600,000 | | | BBB | | 3.500% due 3/1/20 | | | 601,498 | |
| | 39,000 | | | BBB | | 4.900% due 3/1/22 | | | 40,080 | |
| | 20,000 | | | BBB | | 4.000% due 3/1/23 | | | 20,222 | |
| | 280,000 | | | BBB | | WRKCo Inc., Company Guaranteed Notes, 4.900% due 3/15/29 | | | 294,675 | |
| | | | | | | | | | |
| | | | | | Total Packaging & Containers | | | 2,373,196 | |
| | | | | | | | | | |
|
| | Pharmaceuticals — 1.9% | |
| | | | | | AbbVie Inc., Senior Unsecured Notes: | | | | |
| | 90,000 | | | A- | | 3.375% due 11/14/21 | | | 90,482 | |
| | 445,000 | | | A- | | 3.600% due 5/14/25 | | | 437,884 | |
| | 20,000 | | | A- | | 4.500% due 5/14/35 | | | 18,730 | |
| | 15,000 | | | A- | | 4.300% due 5/14/36 | | | 13,703 | |
| | 389,000 | | | A- | | 4.400% due 11/6/42 | | | 346,206 | |
| | 35,000 | | | A- | | 4.700% due 5/14/45 | | | 32,113 | |
| | 250,000 | | | BBB | | Allergan Finance LLC, Company Guaranteed Notes, 3.250% due 10/1/22 | | | 246,918 | |
See Notes to Financial Statements.
154
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Pharmaceuticals — 1.9% — (continued) | |
| | | | | | Allergan Funding SCS, Company Guaranteed Notes: | | | | |
| $ | 495,000 | | | BBB | | 3.450% due 3/15/22 | | $ | 493,212 | |
| | 40,000 | | | BBB | | 3.850% due 6/15/24 | | | 39,904 | |
| | 567,000 | | | BBB | | 3.800% due 3/15/25 | | | 560,658 | |
| | 130,000 | | | BBB | | 4.550% due 3/15/35 | | | 121,434 | |
| | 150,000 | | | BBB | | 4.750% due 3/15/45 | | | 138,657 | |
| | | | | | AstraZeneca PLC, Senior Unsecured Notes: | | | | |
| | 40,000 | | | BBB+ | | 2.375% due 6/12/22 | | | 39,042 | |
| | 200,000 | | | BBB+ | | 3.375% due 11/16/25 | | | 196,859 | |
| | | | | | Bausch Health Cos., Inc.: | | | | |
| | | | | | Company Guaranteed Notes: | | | | |
| | 81,000 | | | B- | | 5.500% due 3/1/23(a) | | | 80,899 | |
| | 260,000 | | | B- | | 6.125% due 4/15/25(a) | | | 250,900 | |
| | 209,000 | | | BB- | | Senior Secured Notes, 5.500% due 11/1/25(a) | | | 211,613 | |
| | 560,000 | | | BBB | | Bayer US Finance II LLC, Company Guaranteed Notes, 4.375% due 12/15/28(a) | | | 545,888 | |
| | | | | | Bayer US Finance LLC, Company Guaranteed Notes: | | | | |
| | 350,000 | | | BBB | | 2.375% due 10/8/19(a) | | | 348,487 | |
| | 665,000 | | | BBB | | 3.000% due 10/8/21(a) | | | 656,026 | |
| | 515,000 | | | BBB | | 3.375% due 10/8/24(a) | | | 495,267 | |
| | | | | | Cardinal Health Inc., Senior Unsecured Notes: | | | | |
| | 20,000 | | | BBB+ | | 4.625% due 12/15/20 | | | 20,503 | |
| | 70,000 | | | BBB+ | | 2.616% due 6/15/22 | | | 68,051 | |
| | 350,000 | | | BBB+ | | 3.079% due 6/15/24 | | | 336,879 | |
| | | | | | Cigna Corp., Company Guaranteed Notes: | | | | |
| | 580,000 | | | A- | | 3.200% due 9/17/20(a) | | | 580,939 | |
| | 110,000 | | | A- | | 3.400% due 9/17/21(a) | | | 110,717 | |
| | 410,000 | | | A- | | 3.750% due 7/15/23(a) | | | 415,382 | |
| | 90,000 | | | A- | | 4.125% due 11/15/25(a) | | | 91,515 | |
| | 720,000 | | | A- | | 4.375% due 10/15/28(a) | | | 730,788 | |
| | 500,000 | | | A- | | 4.900% due 12/15/48(a) | | | 495,359 | |
| | | | | | CVS Health Corp., Senior Unsecured Notes: | | | | |
| | 5,000 | | | BBB | | 2.800% due 7/20/20 | | | 4,977 | |
| | 185,000 | | | BBB | | 3.350% due 3/9/21 | | | 185,628 | |
| | 340,000 | | | BBB | | 2.750% due 12/1/22 | | | 332,217 | |
| | 830,000 | | | BBB | | 3.700% due 3/9/23 | | | 834,835 | |
| | 150,000 | | | BBB | | 4.100% due 3/25/25 | | | 152,147 | |
| | 116,000 | | | BBB | | 3.875% due 7/20/25 | | | 115,998 | |
| | 1,560,000 | | | BBB | | 4.300% due 3/25/28 | | | 1,562,351 | |
| | 140,000 | | | BBB | | 4.780% due 3/25/38 | | | 136,145 | |
| | 105,000 | | | BBB | | 5.125% due 7/20/45 | | | 103,889 | |
| | 735,000 | | | BBB | | 5.050% due 3/25/48 | | | 727,871 | |
| | 169,398 | | | BBB | | CVS Pass-Through Trust, Pass-Thru Certificates, 6.036% due 12/10/28 | | | 182,658 | |
| | | | | | Eli Lilly & Co., Senior Unsecured Notes: | | | | |
| | 40,000 | | | A+ | | 3.100% due 5/15/27 | | | 39,216 | |
| | 35,000 | | | A+ | | 4.150% due 3/15/59 | | | 34,232 | |
| | 180,000 | | | A+ | | GlaxoSmithKline Capital PLC, Company Guaranteed Notes, 2.850% due 5/8/22 | | | 179,656 | |
| | | | | | Johnson & Johnson, Senior Unsecured Notes: | | | | |
| | 400,000 | | | AAA | | 2.450% due 3/1/26 | | | 382,716 | |
| | 80,000 | | | AAA | | 2.950% due 3/3/27 | | | 78,225 | |
| | 150,000 | | | AAA | | 2.900% due 1/15/28 | | | 145,759 | |
| | 110,000 | | | AAA | | 3.625% due 3/3/37 | | | 107,460 | |
| | 90,000 | | | AA | | Merck & Co., Inc., Senior Unsecured Notes, 2.750% due 2/10/25 | | | 88,267 | |
| | | | | | Novartis Capital Corp., Company Guaranteed Notes: | | | | |
| | 6,000 | | | AA- | | 3.000% due 11/20/25 | | | 5,973 | |
| | 15,000 | | | AA- | | 3.100% due 5/17/27 | | | 14,814 | |
See Notes to Financial Statements.
155
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Pharmaceuticals — 1.9% — (continued) | |
| $ | 55,000 | | | AA | | Pfizer Inc., Senior Unsecured Notes, 4.125% due 12/15/46 | | $ | 56,038 | |
| | | | | | Shire Acquisitions Investments Ireland DAC, Company Guaranteed Notes: | | | | |
| | 300,000 | | | BBB+ | | 1.900% due 9/23/19 | | | 297,926 | |
| | 555,000 | | | BBB+ | | 2.400% due 9/23/21 | | | 542,820 | |
| | 179,000 | | | BBB+ | | 2.875% due 9/23/23 | | | 172,914 | |
| | 205,000 | | | BBB+ | | 3.200% due 9/23/26 | | | 193,001 | |
| | 400,000 | | | BBB+ | | Takeda Pharmaceutical Co., Ltd., Senior Unsecured Notes, 5.000% due 11/26/28(a) | | | 419,583 | |
| | 80,000 | | | BB | | Teva Pharmaceutical Finance Co. BV, Company Guaranteed Notes, 3.650% due 11/10/21 | | | 78,056 | |
| | 90,000 | | | BB | | Teva Pharmaceutical Finance IV BV, Company Guaranteed Notes, 3.650% due 11/10/21 | | | 87,813 | |
| | | | | | Teva Pharmaceutical Finance Netherlands III BV, Company Guaranteed Notes: | | | | |
| | 170,000 | | | BB | | 1.700% due 7/19/19 | | | 169,396 | |
| | 470,000 | | | BB | | 2.200% due 7/21/21 | | | 446,874 | |
| | 40,000 | | | BB | | 2.800% due 7/21/23 | | | 36,241 | |
| | 130,000 | | | AA | | Wyeth LLC, Company Guaranteed Notes, 5.950% due 4/1/37 | | | 160,653 | |
| | | | | | | | | | |
| | | | | | Total Pharmaceuticals | | | 16,291,364 | |
| | | | | | | | | | |
|
| | Pipelines — 1.9% | |
| | | | | | Andeavor Logistics LP/Tesoro Logistics Finance Corp., Company Guaranteed Notes: | | | | |
| | 73,000 | | | BBB- | | 6.250% due 10/15/22 | | | 75,007 | |
| | 150,000 | | | BBB- | | 6.375% due 5/1/24 | | | 157,688 | |
| | 1,045,000 | | | BBB- | | 5.250% due 1/15/25 | | | 1,064,065 | |
| | 70,000 | | | B | | Blue Racer Midstream LLC/Blue Racer Finance Corp., Company Guaranteed Notes, 6.125% due 11/15/22(a) | | | 71,312 | |
| | | | | | Buckeye Partners LP, Senior Unsecured Notes: | | | | |
| | 55,000 | | | BBB- | | 4.875% due 2/1/21 | | | 55,995 | |
| | 240,000 | | | BBB- | | 3.950% due 12/1/26 | | | 224,803 | |
| | 153,000 | | | BBB- | | 5.850% due 11/15/43 | | | 144,228 | |
| | 112,000 | | | BBB- | | 5.600% due 10/15/44 | | | 103,514 | |
| | 50,000 | | | BB | | Cheniere Corpus Christi Holdings LLC, Senior Secured Notes, 5.125% due 6/30/27 | | | 51,125 | |
| | 285,000 | | | BBB | | El Paso Natural Gas Co. LLC, Company Guaranteed Notes, 8.625% due 1/15/22 | | | 323,667 | |
| | 169,000 | | | BB+ | | Energy Transfer LP, Senior Secured Notes, 5.500% due 6/1/27 | | | 177,872 | |
| | | | | | Energy Transfer Operating LP, Company Guaranteed Notes: | | | | |
| | 55,000 | | | BBB- | | 4.650% due 6/1/21 | | | 56,452 | |
| | 50,000 | | | BBB- | | 5.200% due 2/1/22 | | | 52,151 | |
| | 270,000 | | | BBB- | | 4.500% due 4/15/24 | | | 277,858 | |
| | 178,000 | | | BBB- | | 4.750% due 1/15/26 | | | 181,629 | |
| | 30,000 | | | BBB- | | 4.950% due 6/15/28 | | | 30,613 | |
| | 90,000 | | | BBB- | | 5.250% due 4/15/29 | | | 94,056 | |
| | 300,000 | | | BBB- | | 8.250% due 11/15/29 | | | 362,318 | |
| | 105,000 | | | BBB- | | 4.900% due 3/15/35 | | | 98,058 | |
| | 75,000 | | | BBB- | | 5.150% due 3/15/45 | | | 69,749 | |
| | 200,000 | | | BBB- | | 6.000% due 6/15/48 | | | 207,263 | |
| | 10,000 | | | BBB- | | 6.250% due 4/15/49 | | | 10,769 | |
| | 50,000 | | | BBB- | | Energy Transfer Partners LP/Regency Energy Finance Corp., Company Guaranteed Notes, 4.500% due 11/1/23 | | | 51,362 | |
| | 40,000 | | | BB+ | | EnLink Midstream Partners LP, Senior Unsecured Notes, 2.700% due 4/1/19 | | | 40,025 | |
| | | | | | Enterprise Products Operating LLC, Company Guaranteed Notes: | | | | |
| | 340,000 | | | BBB+ | | 4.150% due 10/16/28 | | | 349,347 | |
| | 165,000 | | | BBB+ | | 4.450% due 2/15/43 | | | 159,578 | |
| | 190,000 | | | BBB- | | 5.250%(3-MonthUSD-LIBOR + 3.033%) due 8/16/77(c) | | | 174,509 | |
| | 420,000 | | | BBB- | | EQM Midstream Partners LP, Senior Unsecured Notes, 5.500% due 7/15/28 | | | 419,295 | |
| | | | | | Kinder Morgan Energy Partners LP, Company Guaranteed Notes: | | | | |
| | 120,000 | | | BBB | | 6.850% due 2/15/20 | | | 124,152 | |
| | 50,000 | | | BBB | | 3.500% due 3/1/21 | | | 50,334 | |
| | 75,000 | | | BBB | | 3.500% due 9/1/23 | | | 75,058 | |
| | 200,000 | | | BBB | | 4.250% due 9/1/24 | | | 205,713 | |
See Notes to Financial Statements.
156
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Pipelines — 1.9% — (continued) | |
| $ | 150,000 | | | BBB | | 6.375% due 3/1/41 | | $ | 170,056 | |
| | 140,000 | | | BBB | | 5.400% due 9/1/44 | | | 143,144 | |
| | | | | | Kinder Morgan Inc., Company Guaranteed Notes: | | | | |
| | 200,000 | | | BBB | | 3.050% due 12/1/19 | | | 200,035 | |
| | 490,000 | | | BBB | | 4.300% due 3/1/28 | | | 495,882 | |
| | 10,000 | | | BBB | | 5.550% due 6/1/45 | | | 10,508 | |
| | 35,000 | | | BBB+ | | Magellan Midstream Partners LP, Senior Unsecured Notes, 4.200% due 10/3/47 | | | 32,006 | |
| | | | | | MPLX LP, Senior Unsecured Notes: | | | | |
| | 110,000 | | | BBB | | 4.500% due 7/15/23 | | | 113,828 | |
| | 130,000 | | | BBB | | 4.875% due 12/1/24 | | | 135,796 | |
| | 80,000 | | | BBB | | 4.000% due 2/15/25 | | | 79,655 | |
| | 330,000 | | | BBB | | 4.875% due 6/1/25 | | | 343,552 | |
| | 155,000 | | | BBB | | 4.125% due 3/1/27 | | | 152,133 | |
| | 260,000 | | | BBB | | 4.800% due 2/15/29 | | | 266,552 | |
| | 150,000 | | | BBB | | 4.500% due 4/15/38 | | | 138,529 | |
| | 40,000 | | | BBB | | 5.200% due 3/1/47 | | | 39,067 | |
| | 260,000 | | | BBB | | 4.700% due 4/15/48 | | | 238,789 | |
| | 150,000 | | | BBB | | 5.500% due 2/15/49 | | | 153,563 | |
| | 59,000 | | | BBB- | | NGPL PipeCo LLC, Senior Unsecured Notes, 4.375% due 8/15/22(a) | | | 59,885 | |
| | 190,000 | | | A | | Northern Natural Gas Co., Senior Unsecured Notes, 4.300% due 1/15/49(a) | | | 183,379 | |
| | 210,000 | | | BBB | | Northwest Pipeline LLC, Senior Unsecured Notes, 4.000% due 4/1/27 | | | 207,314 | |
| | 1,000,000 | | | BBB- | | Panhandle Eastern Pipe Line Co. LP, Senior Unsecured Notes, 8.125% due 6/1/19 | | | 1,011,926 | |
| | 282,030 | | | BBB | | Pipeline Funding Co. LLC, Senior Secured Notes, 7.500% due 1/15/30(a) | | | 331,779 | |
| | | | | | Plains All American Pipeline LP/PAA Finance Corp., Senior Unsecured Notes: | | | | |
| | 15,000 | | | BBB- | | 3.650% due 6/1/22 | | | 14,928 | |
| | 300,000 | | | BBB- | | 4.650% due 10/15/25 | | | 306,709 | |
| | 177,000 | | | BBB- | | Rockies Express Pipeline LLC, Senior Unsecured Notes, 5.625% due 4/15/20(a) | | | 181,425 | |
| | 420,455 | | | BBB- | | Ruby Pipeline LLC, Senior Unsecured Notes, 6.000% due 4/1/22(a) | | | 405,797 | |
| | | | | | Sabine Pass Liquefaction LLC, Senior Secured Notes: | | | | |
| | 105,000 | | | BBB- | | 5.625% due 4/15/23 | | | 111,896 | |
| | 644,000 | | | BBB- | | 5.750% due 5/15/24 | | | 697,486 | |
| | 322,000 | | | BBB- | | 5.625% due 3/1/25 | | | 348,976 | |
| | 110,000 | | | BBB- | | 5.875% due 6/30/26 | | | 120,050 | |
| | 58,000 | | | BBB+ | | Southern Natural Gas Co. LLC, Senior Unsecured Notes, 8.000% due 3/1/32 | | | 74,750 | |
| | 95,000 | | | BBB+ | | Spectra Energy Partners LP, Company Guaranteed Notes, 3.500% due 3/15/25 | | | 93,784 | |
| | | | | | Sunoco Logistics Partners Operations LP, Company Guaranteed Notes: | | | | |
| | 20,000 | | | BBB- | | 4.650% due 2/15/22 | | | 20,602 | |
| | 90,000 | | | BBB- | | 3.900% due 7/15/26 | | | 87,458 | |
| | 35,000 | | | BBB- | | 5.350% due 5/15/45 | | | 33,003 | |
| | | | | | Targa Resources Partners LP/Targa Resources Partners Finance Corp., Company Guaranteed Notes: | | | | |
| | 50,000 | | | BB | | 4.250% due 11/15/23 | | | 49,500 | |
| | 40,000 | | | BB | | 5.875% due 4/15/26(a) | | | 41,800 | |
| | 50,000 | | | BB | | 6.500% due 7/15/27(a) | | | 53,000 | |
| | 60,000 | | | BB | | 6.875% due 1/15/29(a) | | | 64,013 | |
| | | | | | Texas Eastern Transmission LP, Senior Unsecured Notes: | | | | |
| | 30,000 | | | BBB+ | | 2.800% due 10/15/22(a) | | | 29,134 | |
| | 106,000 | | | BBB+ | | 3.500% due 1/15/28(a) | | | 101,155 | |
| | 330,000 | | | BBB+ | | 4.150% due 1/15/48(a) | | | 299,981 | |
| | | | | | TransCanada PipeLines Ltd., Senior Unsecured Notes: | | | | |
| | 50,000 | | | BBB+ | | 2.500% due 8/1/22 | | | 49,037 | |
| | 170,000 | | | BBB+ | | 4.875% due 1/15/26 | | | 179,898 | |
| | 23,000 | | | BBB+ | | 5.850% due 3/15/36 | | | 25,384 | |
| | 82,000 | | | BBB+ | | 6.100% due 6/1/40 | | | 95,144 | |
See Notes to Financial Statements.
157
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Pipelines — 1.9% — (continued) | |
| | | | | | Transcontinental Gas Pipe Line Co. LLC, Senior Unsecured Notes: | | | | |
| $ | 546,000 | | | BBB | | 7.850% due 2/1/26 | | $ | 669,655 | |
| | 205,000 | | | BBB | | 4.000% due 3/15/28 | | | 202,541 | |
| | 340,000 | | | BBB | | 4.600% due 3/15/48 | | | 324,541 | |
| | 140,000 | | | BBB- | | Western Gas Partner LP, Senior Unsecured Notes, 4.000% due 7/1/22 | | | 140,737 | |
| | | | | | Williams Cos., Inc. (The), Senior Unsecured Notes: | | | | |
| | 70,000 | | | BBB | | 5.250% due 3/15/20 | | | 71,482 | |
| | 30,000 | | | BBB | | 4.125% due 11/15/20 | | | 30,367 | |
| | 336,000 | | | BBB | | 7.875% due 9/1/21 | | | 369,503 | |
| | 100,000 | | | BBB | | 7.500% due 1/15/31 | | | 120,675 | |
| | 260,000 | | | BBB | | 7.750% due 6/15/31 | | | 312,720 | |
| | 116,000 | | | BBB | | 8.750% due 3/15/32 | | | 156,225 | |
| | | | | | | | | | |
| | | | | | Total Pipelines | | | 15,930,299 | |
| | | | | | | | | | |
|
| | Real Estate Investment Trusts (REITs) — 0.9% | |
| | 600,000 | | | BBB | | American Campus Communities Operating Partnership LP, Company Guaranteed Notes, 3.350% due 10/1/20 | | | 600,066 | |
| | | | | | Boston Properties LP, Senior Unsecured Notes: | | | | |
| | 235,000 | | | A- | | 3.200% due 1/15/25 | | | 228,931 | |
| | 400,000 | | | A- | | 2.750% due 10/1/26 | | | 370,688 | |
| | 464,000 | | | BBB- | | CC Holdings GS V LLC/Crown Castle GS III Corp., Senior Secured Notes, 3.849% due 4/15/23 | | | 467,587 | |
| | | | | | Crown Castle International Corp., Senior Unsecured Notes: | | | | |
| | 10,000 | | | BBB- | | 3.400% due 2/15/21 | | | 10,031 | |
| | 35,000 | | | BBB- | | 5.250% due 1/15/23 | | | 37,000 | |
| | 15,000 | | | BBB- | | 3.700% due 6/15/26 | | | 14,645 | |
| | 25,000 | | | BBB- | | 4.750% due 5/15/47 | | | 23,655 | |
| | 80,000 | | | A- | | ERP Operating LP, Senior Unsecured Notes, 4.500% due 7/1/44 | | | 82,737 | |
| | | | | | GLP Capital LP/GLP Financing II Inc., Company Guaranteed Notes: | | | | |
| | 650,000 | | | BBB- | | 4.875% due 11/1/20 | | | 661,375 | |
| | 290,000 | | | BBB- | | 5.250% due 6/1/25 | | | 301,017 | |
| | 520,000 | | | BBB- | | 5.375% due 4/15/26 | | | 537,087 | |
| | 220,000 | | | BBB- | | 5.300% due 1/15/29 | | | 223,898 | |
| | 555,000 | | | BBB+ | | HCP Inc., Senior Unsecured Notes, 4.250% due 11/15/23 | | | 567,778 | |
| | 400,000 | | | BBB | | Highwoods Realty LP, Senior Unsecured Notes, 3.200% due 6/15/21 | | | 396,197 | |
| | 350,000 | | | BBB | | Life Storage LP, Company Guaranteed Notes, 3.875% due 12/15/27 | | | 336,654 | |
| | 190,000 | | | BB- | | MGM Growth Properties Operating Partnership LP/MGP Finance Co.-Issuer Inc., Company Guaranteed Notes, 4.500% due 1/15/28 | | | 178,600 | |
| | 160,000 | | | A- | | Realty Income Corp., Senior Unsecured Notes, 3.000% due 1/15/27 | | | 151,081 | |
| | 400,000 | | | BBB- | | Reckson Operating Partnership LP, Company Guaranteed Notes, 7.750% due 3/15/20 | | | 417,117 | |
| | 69,000 | | | BB- | | SBA Communications Corp., Senior Unsecured Notes, 4.875% due 9/1/24 | | | 69,173 | |
| | 1,240,000 | | | BBB+ | | Ventas Realty LP/Ventas Capital Corp., Company Guaranteed Notes, 2.700% due 4/1/20 | | | 1,236,417 | |
| | 695,000 | | | BBB+ | | Welltower Inc., Senior Unsecured Notes, 4.950% due 1/15/21 | | | 713,454 | |
| | | | | | | | | | |
| | | | | | Total Real Estate Investment Trusts (REITs) | | | 7,625,188 | |
| | | | | | | | | | |
|
| | Retail — 0.4% | |
| | 250,000 | | | BBB | | Alimentation Couche-Tard Inc., Company Guaranteed Notes, 3.550% due 7/26/27(a) | | | 238,597 | |
| | 40,000 | | | B+ | | Beacon Roofing Supply Inc., Company Guaranteed Notes, 4.875% due 11/1/25(a) | | | 37,388 | |
| | | | | | Home Depot Inc. (The), Senior Unsecured Notes: | | | | |
| | 60,000 | | | A | | 3.000% due 4/1/26 | | | 59,155 | |
| | 10,000 | | | A | | 2.125% due 9/15/26 | | | 9,269 | |
| | 210,000 | | | A | | 3.900% due 12/6/28 | | | 218,009 | |
| | 85,000 | | | BB | | KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC, Company Guaranteed Notes, 5.250% due 6/1/26(a) | | | 86,700 | |
See Notes to Financial Statements.
158
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Retail — 0.4% — (continued) | |
| | | | | | Lowe’s Cos., Inc., Senior Unsecured Notes: | | | | |
| $ | 45,000 | | | BBB+ | | 2.500% due 4/15/26 | | $ | 41,182 | |
| | 85,000 | | | BBB+ | | 3.700% due 4/15/46 | | | 72,097 | |
| | | | | | McDonald’s Corp., Senior Unsecured Notes: | | | | |
| | 380,000 | | | BBB+ | | 3.700% due 1/30/26 | | | 382,784 | |
| | 40,000 | | | BBB+ | | 3.800% due 4/1/28 | | | 39,992 | |
| | 10,000 | | | BBB+ | | 3.700% due 2/15/42 | | | 8,903 | |
| | 180,000 | | | BBB+ | | 4.600% due 5/26/45 | | | 178,234 | |
| | 40,000 | | | BBB+ | | 4.875% due 12/9/45 | | | 41,305 | |
| | 30,000 | | | BBB+ | | 4.450% due 3/1/47 | | | 29,244 | |
| | 233,000 | | | CCC+ | | Rite Aid Corp., Company Guaranteed Notes, 6.125% due 4/1/23(a) | | | 199,506 | |
| | | | | | Starbucks Corp., Senior Unsecured Notes: | | | | |
| | 45,000 | | | BBB+ | | 3.800% due 8/15/25 | | | 45,711 | |
| | 30,000 | | | BBB+ | | 3.750% due 12/1/47 | | | 25,744 | |
| | 15,000 | | | BBB+ | | 4.500% due 11/15/48 | | | 14,486 | |
| | 30,000 | | | BBB- | | Tapestry Inc., Senior Unsecured Notes, 4.125% due 7/15/27 | | | 27,940 | |
| | 30,000 | | | BBB | | Walgreen Co., Company Guaranteed Notes, 4.400% due 9/15/42 | | | 27,028 | |
| | | | | | Walgreens Boots Alliance Inc., Senior Unsecured Notes: | | | | |
| | 855,000 | | | BBB | | 3.450% due 6/1/26 | | | 819,914 | |
| | 130,000 | | | BBB | | 4.800% due 11/18/44 | | | 121,602 | |
| | | | | | Walmart Inc., Senior Unsecured Notes: | | | | |
| | 290,000 | | | AA | | 3.700% due 6/26/28 | | | 297,539 | |
| | 15,000 | | | AA | | 4.000% due 4/11/43 | | | 14,954 | |
| | 73,000 | | | AA | | 4.300% due 4/22/44 | | | 76,404 | |
| | | | | | | | | | |
| | | | | | Total Retail | | | 3,113,687 | |
| | | | | | | | | | |
|
| | Semiconductors — 0.5% | |
| | | | | | Analog Devices Inc., Senior Unsecured Notes: | | | | |
| | 120,000 | | | BBB | | 2.850% due 3/12/20 | | | 120,195 | |
| | 60,000 | | | BBB | | 3.500% due 12/5/26 | | | 57,731 | |
| | 10,000 | | | BBB | | 5.300% due 12/15/45 | | | 10,480 | |
| | | | | | Applied Materials Inc., Senior Unsecured Notes: | | | | |
| | 100,000 | | | A- | | 3.900% due 10/1/25 | | | 103,209 | |
| | 35,000 | | | A- | | 3.300% due 4/1/27 | | | 34,619 | |
| | 75,000 | | | A- | | 4.350% due 4/1/47 | | | 75,285 | |
| | | | | | Broadcom Corp./Broadcom Cayman Finance Ltd., Company Guaranteed Notes: | | | | |
| | 675,000 | | | BBB- | | 2.375% due 1/15/20 | | | 670,462 | |
| | 160,000 | | | BBB- | | 3.000% due 1/15/22 | | | 157,228 | |
| | 25,000 | | | BBB- | | 2.650% due 1/15/23 | | | 23,842 | |
| | 110,000 | | | BBB- | | 3.625% due 1/15/24 | | | 106,918 | |
| | 160,000 | | | BBB- | | 3.125% due 1/15/25 | | | 148,532 | |
| | 95,000 | | | BBB- | | 3.875% due 1/15/27 | | | 88,017 | |
| | | | | | Intel Corp., Senior Unsecured Notes: | | | | |
| | 70,000 | | | A+ | | 3.700% due 7/29/25 | | | 72,123 | |
| | 30,000 | | | A+ | | 4.100% due 5/19/46 | | | 30,043 | |
| | 54,000 | | | A+ | | 3.734% due 12/8/47 | | | 51,464 | |
| | 6,000 | | | BBB | | KLA-Tencor Corp., Senior Unsecured Notes, 4.650% due 11/1/24 | | | 6,301 | |
| | | | | | Lam Research Corp., Senior Unsecured Notes: | | | | |
| | 54,000 | | | BBB+ | | 2.800% due 6/15/21 | | | 53,676 | |
| | 30,000 | | | BBB+ | | 3.800% due 3/15/25 | | | 30,347 | |
| | 100,000 | | | BBB+ | | 3.750% due 3/15/26 | | | 100,223 | |
| | 125,000 | | | BBB+ | | 4.875% due 3/15/49 | | | 125,933 | |
| | 225,000 | | | BBB+ | | NVIDIA Corp., Senior Unsecured Notes, 3.200% due 9/16/26 | | | 219,549 | |
See Notes to Financial Statements.
159
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Semiconductors — 0.5% — (continued) | |
| | | | | | NXP BV/NXP Funding LLC, Company Guaranteed Notes: | | | | |
| $ | 1,271,000 | | | BBB- | | 4.125% due 6/1/21(a) | | $ | 1,283,265 | |
| | 210,000 | | | BBB- | | 3.875% due 9/1/22(a) | | | 209,981 | |
| | | | | | QUALCOMM Inc., Senior Unsecured Notes: | | | | |
| | 100,000 | | | A- | | 3.450% due 5/20/25 | | | 98,421 | |
| | 129,000 | | | A- | | 4.800% due 5/20/45 | | | 124,380 | |
| | 55,000 | | | A- | | 4.300% due 5/20/47 | | | 49,419 | |
| | 35,000 | | | A+ | | Texas Instruments Inc., Senior Unsecured Notes, 4.150% due 5/15/48 | | | 35,739 | |
| | | | | | | | | | |
| | | | | | Total Semiconductors | | | 4,087,382 | |
| | | | | | | | | | |
|
| | Shipbuilding — 0.1% | |
| | | | | | Huntington Ingalls Industries Inc., Company Guaranteed Notes: | | | | |
| | 239,000 | | | BBB | | 5.000% due 11/15/25(a) | | | 244,378 | |
| | 310,000 | | | BBB | | 3.483% due 12/1/27 | | | 294,283 | |
| | | | | | | | | | |
| | | | | | Total Shipbuilding | | | 538,661 | |
| | | | | | | | | | |
|
| | Software — 0.7% | |
| | | | | | Activision Blizzard Inc., Senior Unsecured Notes: | | | | |
| | 65,000 | | | BBB+ | | 2.300% due 9/15/21 | | | 63,587 | |
| | 375,000 | | | BBB+ | | 3.400% due 9/15/26 | | | 358,254 | |
| | 165,000 | | | BBB+ | | 3.400% due 6/15/27 | | | 156,842 | |
| | 20,000 | | | BBB | | Autodesk Inc., Senior Unsecured Notes, 3.500% due 6/15/27 | | | 18,873 | |
| | 88,000 | | | B- | | Change Healthcare Holdings LLC/Change Healthcare Finance Inc., Senior Unsecured Notes, 5.750% due 3/1/25(a) | | | 86,214 | |
| | 125,000 | | | BBB+ | | Electronic Arts Inc., Senior Unsecured Notes, 4.800% due 3/1/26 | | | 131,269 | |
| | | | | | Fidelity National Information Services Inc.: | | | | |
| | 19,000 | | | BBB | | Company Guaranteed Notes, 3.500% due 4/15/23 | | | 18,898 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 9,000 | | | BBB | | 3.000% due 8/15/26 | | | 8,402 | |
| | 105,000 | | | BBB | | 4.750% due 5/15/48 | | | 97,785 | |
| | 136,000 | | | BB | | First Data Corp., Senior Secured Notes, 5.375% due 8/15/23(a) | | | 139,486 | |
| | | | | | Fiserv Inc., Senior Unsecured Notes: | | | | |
| | 35,000 | | | BBB | | 3.850% due 6/1/25 | | | 35,166 | |
| | 115,000 | | | BBB | | 4.200% due 10/1/28 | | | 113,760 | |
| | 200,000 | | | BB | | IQVIA Inc., Company Guaranteed Notes, 5.000% due 10/15/26(a) | | | 204,250 | |
| | | | | | Microsoft Corp., Senior Unsecured Notes: | | | | |
| | 180,000 | | | AAA | | 1.550% due 8/8/21 | | | 175,408 | |
| | 270,000 | | | AAA | | 2.400% due 2/6/22 | | | 268,086 | |
| | 270,000 | | | AAA | | 2.875% due 2/6/24 | | | 270,165 | |
| | 70,000 | | | AAA | | 2.700% due 2/12/25 | | | 68,993 | |
| | 1,030,000 | | | AAA | | 2.400% due 8/8/26 | | | 978,879 | |
| | 775,000 | | | AAA | | 3.300% due 2/6/27 | | | 779,598 | |
| | 10,000 | | | AAA | | 3.450% due 8/8/36 | | | 9,721 | |
| | 20,000 | | | AAA | | 4.100% due 2/6/37 | | | 20,947 | |
| | 175,000 | | | AAA | | 3.700% due 8/8/46 | | | 171,050 | |
| | 120,000 | | | AAA | | 4.000% due 2/12/55 | | | 119,153 | |
| | 125,000 | | | AAA | | 3.950% due 8/8/56 | | | 122,879 | |
| | | | | | Oracle Corp., Senior Unsecured Notes: | | | | |
| | 630,000 | | | AA- | | 2.500% due 10/15/22 | | | 621,558 | |
| | 50,000 | | | AA- | | 2.650% due 7/15/26 | | | 47,552 | |
| | 235,000 | | | AA- | | 3.250% due 11/15/27 | | | 231,725 | |
| | 100,000 | | | AA- | | 4.500% due 7/8/44 | | | 103,628 | |
| | 170,000 | | | AA- | | 4.000% due 7/15/46 | | | 162,840 | |
| | 30,000 | | | AA- | | 4.000% due 11/15/47 | | | 28,614 | |
| | | | | | salesforce.com Inc., Senior Unsecured Notes: | | | | |
| | 130,000 | | | A- | | 3.250% due 4/11/23 | | | 131,680 | |
| | 250,000 | | | A- | | 3.700% due 4/11/28 | | | 256,472 | |
| | | | | | | | | | |
| | | | | | Total Software | | | 6,001,734 | |
| | | | | | | | | | |
See Notes to Financial Statements.
160
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Telecommunications — 1.9% | |
| $ | 330,000 | | | A- | | América Móvil SAB de CV, Company Guaranteed Notes, 5.000% due 3/30/20 | | $ | 336,286 | |
| | | | | | AT&T Inc., Senior Unsecured Notes: | | | | |
| | 98,000 | | | BBB | | 4.600% due 2/15/21 | | | 100,451 | |
| | 540,000 | | | BBB | | 3.200% due 3/1/22 | | | 540,161 | |
| | 290,000 | | | BBB | | 3.400% due 5/15/25 | | | 283,088 | |
| | 20,000 | | | BBB | | 4.250% due 3/1/27 | | | 20,030 | |
| | 60,000 | | | BBB | | 4.350% due 3/1/29 | | | 59,879 | |
| | 1,055,000 | | | BBB | | 4.300% due 2/15/30 | | | 1,036,715 | |
| | 50,000 | | | BBB | | 4.500% due 5/15/35 | | | 47,172 | |
| | 225,000 | | | BBB | | 4.800% due 6/15/44 | | | 211,549 | |
| | 570,000 | | | BBB | | 4.350% due 6/15/45 | | | 497,355 | |
| | 690,000 | | | BBB | | 4.750% due 5/15/46 | | | 641,631 | |
| | 340,000 | | | BBB | | 5.150% due 11/15/46 | | | 332,339 | |
| | 178,000 | | | BBB | | 4.500% due 3/9/48 | | | 158,480 | |
| | 300,000 | | | BBB- | | Bharti Airtel Ltd., Senior Unsecured Notes, 4.375% due 6/10/25(a)(h) | | | 280,652 | |
| | 190,000 | | | BBB+ | | Deutsche Telekom International Finance BV, Company Guaranteed Notes, 1.950% due 9/19/21(a) | | | 183,840 | |
| | | | | | Intelsat Jackson Holdings SA, Company Guaranteed Notes: | | | | |
| | 101,000 | | | CCC+ | | 5.500% due 8/1/23 | | | 92,668 | |
| | 102,000 | | | CCC+ | | 8.500% due 10/15/24(a) | | | 103,499 | |
| | 124,000 | | | CCC+ | | 9.750% due 7/15/25(a) | | | 129,270 | |
| | 160,000 | | | BB | | Level 3 Financing Inc., Company Guaranteed Notes, 5.375% due 5/1/25 | | | 160,000 | |
| | 50,000 | | | BBB- | | Motorola Solutions Inc., Senior Unsecured Notes, 3.500% due 9/1/21 | | | 50,112 | |
| | | | | | Qwest Corp., Senior Unsecured Notes: | | | | |
| | 150,000 | | | BBB- | | 7.250% due 9/15/25 | | | 160,342 | |
| | 85,000 | | | BBB- | | 6.875% due 9/15/33 | | | 83,544 | |
| | | | | | Sprint Capital Corp., Company Guaranteed Notes: | | | | |
| | 19,000 | | | B | | 6.875% due 11/15/28 | | | 18,798 | |
| | 116,000 | | | B | | 8.750% due 3/15/32 | | | 126,077 | |
| | | | | | Sprint Corp., Company Guaranteed Notes: | | | | |
| | 130,000 | | | B | | 7.250% due 9/15/21 | | | 137,638 | |
| | 30,000 | | | B | | 7.875% due 9/15/23 | | | 32,183 | |
| | 7,000 | | | B | | 7.125% due 6/15/24 | | | 7,228 | |
| | 85,000 | | | B | | 7.625% due 2/15/25 | | | 89,250 | |
| | 76,000 | | | B | | 7.625% due 3/1/26 | | | 79,040 | |
| | | | | | Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, Senior Secured Notes: | | | | |
| | 1,912,625 | | | Baa2(b) | | 3.360% due 9/20/21(a) | | | 1,905,453 | |
| | 930,000 | | | Baa2(b) | | 4.738% due 3/20/25(a) | | | 933,488 | |
| | 490,000 | | | BB+ | | Telecom Italia SpA, Senior Unsecured Notes, 5.303% due 5/30/24(a) | | | 480,813 | |
| | | | | | Telefónica Emisiones SA, Company Guaranteed Notes: | | | | |
| | 70,000 | | | BBB | | 5.877% due 7/15/19 | | | 70,778 | |
| | 680,000 | | | BBB | | 5.134% due 4/27/20 | | | 694,928 | |
| | 330,000 | | | BBB | | 4.103% due 3/8/27 | | | 325,018 | |
| | 150,000 | | | BBB | | 4.895% due 3/6/48 | | | 138,315 | |
| | | | | | T-Mobile USA Inc., Company Guaranteed Notes: | | | | |
| | 63,000 | | | BB+ | | 4.500% due 2/1/26 | | | 62,291 | |
| | 192,000 | | | BB+ | | 4.750% due 2/1/28 | | | 187,181 | |
| | | | | | Verizon Communications Inc., Senior Unsecured Notes: | | | | |
| | 80,000 | | | BBB+ | | 3.500% due 11/1/24 | | | 80,907 | |
| | 220,000 | | | BBB+ | | 2.625% due 8/15/26 | | | 205,472 | |
| | 125,000 | | | BBB+ | | 4.125% due 3/16/27 | | | 128,159 | |
| | 621,000 | | | BBB+ | | 4.329% due 9/21/28 | | | 643,612 | |
| | 700,000 | | | BBB+ | | 4.016% due 12/3/29(a) | | | 700,461 | |
| | 350,000 | | | BBB+ | | 4.500% due 8/10/33 | | | 357,060 | |
See Notes to Financial Statements.
161
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Telecommunications — 1.9% — (continued) | |
| $ | 161,000 | | | BBB+ | | 4.400% due 11/1/34 | | $ | 161,528 | |
| | 765,000 | | | BBB+ | | 4.272% due 1/15/36 | | | 747,784 | |
| | 150,000 | | | BBB+ | | 5.250% due 3/16/37 | | | 163,512 | |
| | 105,000 | | | BBB+ | | 4.862% due 8/21/46 | | | 108,123 | |
| | 20,000 | | | BBB+ | | 5.500% due 3/16/47 | | | 22,261 | |
| | 150,000 | | | BBB+ | | 4.522% due 9/15/48 | | | 146,900 | |
| | | | | | Vodafone Group PLC, Senior Unsecured Notes: | | | | |
| | 615,000 | | | BBB+ | | 3.750% due 1/16/24 | | | 613,463 | |
| | 115,000 | | | BBB+ | | 4.125% due 5/30/25 | | | 115,236 | |
| | 855,000 | | | BBB+ | | 4.375% due 5/30/28 | | | 847,361 | |
| | 405,000 | | | BBB+ | | 5.250% due 5/30/48 | | | 386,562 | |
| | | | | | | | | | |
| | | | | | Total Telecommunications | | | 16,225,943 | |
| | | | | | | | | | |
|
| | Textiles — 0.0% | |
| | | | | | Cintas Corp. No 2, Company Guaranteed Notes: | | | | |
| | 100,000 | | | A- | | 2.900% due 4/1/22 | | | 99,695 | |
| | 110,000 | | | A- | | 3.700% due 4/1/27 | | | 110,095 | |
| | | | | | | | | | |
| | | | | | Total Textiles | | | 209,790 | |
| | | | | | | | | | |
|
| | Transportation — 0.4% | |
| | | | | | Burlington Northern Santa Fe LLC, Senior Unsecured Notes: | | | | |
| | 100,000 | | | A+ | | 3.000% due 4/1/25 | | | 98,683 | |
| | 79,000 | | | A+ | | 4.550% due 9/1/44 | | | 83,082 | |
| | 10,000 | | | A+ | | 3.900% due 8/1/46 | | | 9,656 | |
| | 15,000 | | | A+ | | 4.125% due 6/15/47 | | | 14,919 | |
| | 40,000 | | | A+ | | 4.150% due 12/15/48 | | | 40,357 | |
| | | | | | CSX Corp., Senior Unsecured Notes: | | | | |
| | 240,000 | | | BBB+ | | 2.600% due 11/1/26 | | | 222,544 | |
| | 80,000 | | | BBB+ | | 3.250% due 6/1/27 | | | 76,985 | |
| | 55,000 | | | BBB+ | | 3.800% due 3/1/28 | | | 54,868 | |
| | 30,000 | | | BBB+ | | 4.250% due 3/15/29 | | | 30,927 | |
| | 65,000 | | | BBB+ | | 4.300% due 3/1/48 | | | 63,030 | |
| | 40,000 | | | BBB+ | | 4.750% due 11/15/48 | | | 41,295 | |
| | 50,000 | | | BBB+ | | 3.950% due 5/1/50 | | | 45,135 | |
| | | | | | FedEx Corp., Company Guaranteed Notes: | | | | |
| | 210,000 | | | BBB | | 3.875% due 8/1/42 | | | 179,779 | |
| | 49,000 | | | BBB | | 4.100% due 2/1/45 | | | 42,790 | |
| | 65,000 | | | BBB | | 4.750% due 11/15/45 | | | 62,780 | |
| | | | | | Norfolk Southern Corp., Senior Unsecured Notes: | | | | |
| | 30,000 | | | BBB+ | | 3.650% due 8/1/25 | | | 30,404 | |
| | 50,000 | | | BBB+ | | 2.900% due 6/15/26 | | | 48,161 | |
| | 95,000 | | | BBB+ | | 4.150% due 2/28/48 | | | 92,234 | |
| | 140,000 | | | BBB+ | | Ryder System Inc., Senior Unsecured Notes, 2.650% due 3/2/20 | | | 139,484 | |
| | | | | | Union Pacific Corp., Senior Unsecured Notes: | | | | |
| | 64,000 | | | A- | | 4.163% due 7/15/22 | | | 66,372 | |
| | 50,000 | | | A- | | 3.750% due 7/15/25 | | | 51,089 | |
| | 90,000 | | | A- | | 2.750% due 3/1/26 | | | 85,865 | |
| | 645,000 | | | A- | | 3.950% due 9/10/28 | | | 660,002 | |
| | 300,000 | | | A- | | 4.500% due 9/10/48 | | | 301,666 | |
| | 20,000 | | | A- | | 3.799% due 10/1/51 | | | 17,739 | |
| | 64,000 | | | A- | | 3.875% due 2/1/55 | | | 55,233 | |
| | 115,000 | | | A- | | 4.800% due 9/10/58 | | | 118,625 | |
| | 190,000 | | | A- | | 4.100% due 9/15/67 | | | 164,232 | |
| | | | | | United Parcel Service Inc., Senior Unsecured Notes: | | | | |
| | 60,000 | | | A+ | | 2.500% due 4/1/23 | | | 59,023 | |
| | 40,000 | | | A+ | | 3.050% due 11/15/27 | | | 39,075 | |
| | | | | | | | | | |
| | | | | | Total Transportation | | | 2,996,034 | |
| | | | | | | | | | |
See Notes to Financial Statements.
162
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Trucking & Leasing — 0.0% | |
| | | | | | Park Aerospace Holdings Ltd., Company Guaranteed Notes: | | | | |
| $ | 110,000 | | | BB+ | | 5.250% due 8/15/22(a) | | $ | 112,883 | |
| | 60,000 | | | BB+ | | 5.500% due 2/15/24(a) | | | 62,175 | |
| | 120,000 | | | BBB | | Penske Truck Leasing Co. LP/PTL Finance Corp., Senior Unsecured Notes, 3.400% due 11/15/26(a) | | | 111,234 | |
| | | | | | | | | | |
| | | | | | Total Trucking & Leasing | | | 286,292 | |
| | | | | | | | | | |
| | | | | | TOTAL CORPORATE BONDS & NOTES
(Cost—$284,062,661) | | | 286,467,994 | |
| | | | | | | | | | |
|
| | MORTGAGE-BACKED SECURITIES — 28.3% | |
|
| | FHLMC — 8.6% | |
| | | | | | Federal Home Loan Mortgage Corp. (FHLMC), Gold: | | | | |
| | 3,068,584 | | | | | 5.000% due 6/1/21 — 1/1/49 | | | 3,238,130 | |
| | 11,620,929 | | | | | 4.000% due 10/1/25 — 1/1/49 | | | 11,955,610 | |
| | 3,556,810 | | | | | 4.500% due 4/1/29 — 10/1/48 | | | 3,689,258 | |
| | 570,501 | | | | | 5.500% due 1/1/30 — 2/1/40 | | | 614,654 | |
| | 13,642,836 | | | | | 3.000% due 3/1/31 — 1/1/48 | | | 13,383,138 | |
| | 26,792,188 | | | | | 3.500% due 12/1/33 — 3/1/48 | | | 26,955,101 | |
| | 163,083 | | | | | 6.500% due 8/1/37 — 9/1/39 | | | 184,029 | |
| | 53,617 | | | | | 6.000% due 5/1/38 — 6/1/39 | | | 58,748 | |
| | 15,310 | | | | | 7.000% due 3/1/39 | | | 17,376 | |
| | 900,000 | | | | | 3.000% due 3/1/49(i) | | | 880,250 | |
| | 6,100,000 | | | | | 3.500% due 3/1/49(i) | | | 6,107,197 | |
| | 3,650,000 | | | | | 4.000% due 3/1/49(i) | | | 3,723,047 | |
| | 1,425,000 | | | | | 4.500% due 3/1/49(i) | | | 1,476,507 | |
| | 300,000 | | | | | 5.000% due 3/1/49(i) | | | 315,020 | |
| | | | | | | | | | |
| | | | | | TOTAL FHLMC | | | 72,598,065 | |
| | | | | | | | | | |
|
| | FNMA — 12.9% | |
| | | | | | Federal National Mortgage Association (FNMA): | | | | |
| | 20,050,944 | | | | | 4.000% due 10/1/19 — 6/1/57 | | | 20,579,851 | |
| | 1,412,153 | | | | | 5.500% due 1/1/20 — 9/1/56 | | | 1,524,870 | |
| | 114,161 | | | | | 4.400% due 2/1/20 | | | 115,477 | |
| | 170,558 | | | | | 6.000% due 9/1/21 — 10/1/35 | | | 183,579 | |
| | 2,384,820 | | | | | 5.000% due 6/1/22 — 11/1/48 | | | 2,529,665 | |
| | 12,482,464 | | | | | 4.500% due 3/1/24 — 9/1/57 | | | 13,014,862 | |
| | 19,094,657 | | | | | 3.500% due 11/1/25 — 3/1/57 | | | 19,201,346 | |
| | 1,200,567 | | | | | 2.964% due 5/1/27 | | | 1,194,410 | |
| | 3,204,917 | | | | | 2.500% due 11/1/27 — 10/1/42 | | | 3,130,389 | |
| | 20,520,892 | | | | | 3.000% due 12/1/27 — 11/1/48 | | | 20,192,467 | |
| | 525,000 | | | | | 3.010% due 4/1/28 | | | 515,175 | |
| | 545,000 | | | | | 3.050% due 4/1/28 | | | 538,094 | |
| | 815,000 | | | | | 3.480% due 8/1/28 | | | 829,898 | |
| | 490,000 | | | | | 3.820% due 1/1/29 | | | 511,547 | |
| | 520,000 | | | | | 3.830% due 1/1/29 | | | 544,236 | |
| | 1,390,000 | | | | | 3.870% due 2/01/29 | | | 1,457,380 | |
| | 784,417 | | | | | 4.240% due 12/1/29 | | | 839,737 | |
| | 1,441,649 | | | | | 3.390% due 5/1/30 | | | 1,446,514 | |
| | 1,379,725 | | | | | 3.990% due 11/1/33 | | | 1,439,731 | |
| | 1,100,000 | | | | | 2.500% due 1/1/34(i) | | | 1,078,859 | |
| | 11,820,000 | | | | | 3.500% due 3/1/34 — 3/1/49(i) | | | 11,890,126 | |
| | 150,570 | | | | | 3.804%(1-YearUSD-LIBOR + 1.554%) due 3/1/34(c) | | | 157,678 | |
| | 356,156 | | | | | 3.360% due 7/1/35 | | | 361,365 | |
| | 39,139 | | | | | 4.095%(1-Year Treasury Average Rate + 1.824%) due 10/1/35(c) | | | 40,019 | |
| | 33,823 | | | | | 4.166%(1-Year Treasury Average Rate + 1.896%) due 11/1/35(c) | | | 34,676 | |
See Notes to Financial Statements.
163
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | FNMA — 12.9% — (continued) | |
| $ | 13,330 | | | | | 4.203%(1-Year Treasury Average Rate + 1.949%) due 11/1/35(c) | | $ | 13,691 | |
| | 86,699 | | | | | 4.373%(1-YearUSD-LIBOR + 1.623%) due 9/1/36(c) | | | 90,638 | |
| | 27,176 | | | | | 7.000% due 4/1/37 | | | 29,740 | |
| | 46,168 | | | | | 3.640%(1-YearUSD-LIBOR + 1.265%) due 5/1/37(c) | | | 48,548 | |
| | 252,907 | | | | | 6.500% due 9/1/37 — 5/1/40 | | | 285,649 | |
| | 1,525,000 | | | | | 3.000% due 3/1/34 — 3/1/49(i) | | | 1,493,019 | |
| | 1,100,000 | | | | | 4.000% due 3/1/49(i) | | | 1,121,549 | |
| | 600,000 | | | | | 4.500% due 3/1/49(i) | | | 621,023 | |
| | 2,650,000 | | | | | 5.000% due 3/1/49(i) | | | 2,779,304 | |
| | | | | | | | | | |
| | | | | | TOTAL FNMA | | | 109,835,112 | |
| | | | | | | | | | |
|
| | GNMA — 6.8% | |
| | | | | | Government National Mortgage Association (GNMA): | | | | |
| | 42,123 | | | | | 6.000% due 12/15/33 — 6/15/37 | | | 45,722 | |
| | 551,897 | | | | | 5.000% due 10/15/34 — 9/15/40 | | | 582,190 | |
| | 43,848 | | | | | 5.500% due 5/15/37 — 6/15/38 | | | 48,035 | |
| | 69,131 | | | | | 6.500% due 1/15/38 — 10/15/38 | | | 79,697 | |
| | 131,280 | | | | | 4.500% due 3/15/41 | | | 137,475 | |
| | 684,529 | | | | | 4.000% due 6/15/41 — 11/15/45 | | | 707,205 | |
| | 187,642 | | | | | 3.500% due 6/15/48 | | | 190,291 | |
| | | | | | Government National Mortgage Association II (GNMA): | | | | |
| | 588 | | | | | 9.000% due 11/20/21 | | | 606 | |
| | 105,848 | | | | | 6.000% due 7/20/37 — 11/20/40 | | | 116,155 | |
| | 6,522,796 | | | | | 4.500% due 1/20/40 — 1/20/49 | | | 6,774,164 | |
| | 4,564,665 | | | | | 5.000% due 7/20/40 — 1/20/49 | | | 4,777,652 | |
| | 6,418,228 | | | | | 4.000% due 11/20/40 — 10/20/48 | | | 6,613,792 | |
| | 11,656,167 | | | | | 3.000% due 1/20/43 — 10/20/48 | | | 11,525,503 | |
| | 15,841,044 | | | | | 3.500% due 6/20/43 — 8/20/48 | | | 16,008,935 | |
| | 600,000 | | | | | 3.000% due 3/20/49(i) | | | 592,453 | |
| | 2,800,000 | | | | | 3.500% due 3/20/49(i) | | | 2,825,320 | |
| | 3,500,000 | | | | | 4.000% due 3/20/49(i) | | | 3,592,764 | |
| | 2,920,000 | | | | | 4.500% due 3/20/49(i) | | | 3,022,200 | |
| | 165,000 | | | | | 5.000% due 3/20/49(i) | | | 171,910 | |
| | | | | | | | | | |
| | | | | | TOTAL GNMA | | | 57,812,069 | |
| | | | | | | | | | |
| | | | | | TOTAL MORTGAGE-BACKED SECURITIES
(Cost — $242,175,296) | | | 240,245,246 | |
| | | | | | | | | | |
|
| | U.S. GOVERNMENT AGENCIES & OBLIGATIONS — 21.4% | |
|
| | U.S. GOVERNMENT AGENCIES — 0.4% | |
| | 345,000 | | | | | Federal Home Loan Bank (FHLB), 4.000% due 9/1/28 | | | 371,377 | |
| | | | | | Federal National Mortgage Association (FNMA): | | | | |
| | 650,000 | | | | | zero coupon, due 10/9/19 | | | 639,960 | |
| | 405,000 | | | | | 7.125% due 1/15/30 | | | 553,215 | |
| | | | | | Federal National Mortgage Association (FNMA), Principal Strip: | | | | |
| | 575,000 | | | | | zero coupon, due 1/15/30(j) | | | 402,498 | |
| | 595,000 | | | | | zero coupon, due 5/15/30(j) | | | 411,824 | |
| | | | | | Residual Funding Corp., Principal Strip: | | | | |
| | 240,000 | | | | | zero coupon, due 7/15/20(j) | | | 231,613 | |
| | 325,000 | | | | | zero coupon, due 1/15/21(j) | | | 309,432 | |
| | | | | | | | | | |
| | | | | | TOTAL U.S. GOVERNMENT AGENCIES | | | 2,919,919 | |
| | | | | | | | | | |
|
| | U.S. GOVERNMENT OBLIGATIONS — 21.0% | |
| | | | | | U.S. Treasury Bonds: | | | | |
| | 1,660,000 | | | | | 4.500% due 2/15/36 | | | 2,032,462 | |
| | 795,000 | | | | | 5.000% due 5/15/37 | | | 1,037,522 | |
See Notes to Financial Statements.
164
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | U.S. GOVERNMENT OBLIGATIONS — 21.0% — (continued) | |
| $ | 615,000 | | | | | 4.625% due 2/15/40 | | $ | 773,603 | |
| | 690,000 | | | | | 3.750% due 8/15/41 | | | 770,846 | |
| | 4,195,000 | | | | | 3.125% due 11/15/41 | | | 4,253,910 | |
| | 910,000 | | | | | 2.750% due 8/15/42 | | | 862,403 | |
| | 100,000 | | | | | 3.125% due 2/15/43 | | | 100,955 | |
| | 1,005,000 | | | | | 3.625% due 8/15/43 | | | 1,100,436 | |
| | 18,400,000 | | | | | 3.750% due 11/15/43 | | | 20,554,094 | |
| | 415,000 | | | | | 3.125% due 8/15/44 | | | 418,177 | |
| | 310,000 | | | | | 2.500% due 2/15/45 | | | 277,523 | |
| | 5,950,000 | | | | | 3.000% due 5/15/45 | | | 5,866,328 | |
| | 895,000 | | | | | 2.875% due 8/15/45 | | | 861,507 | |
| | 358,000 | | | | | 3.000% due 2/15/47 | | | 352,868 | |
| | 70,000 | | | | | 3.000% due 5/15/47 | | | 68,914 | |
| | 2,040,000 | | | | | 2.750% due 8/15/47 | | | 1,908,994 | |
| | 815,000 | | | | | 3.000% due 2/15/48 | | | 800,960 | |
| | 4,815,000 | | | | | 3.125% due 5/15/48 | | | 4,848,573 | |
| | 335,000 | | | | | 3.000% due 8/15/48 | | | 329,255 | |
| | 2,335,000 | | | | | 3.375% due 11/15/48 | | | 2,468,670 | |
| | 18,530,000 | | | | | 3.000% due 2/15/49 | | | 18,221,649 | |
| | | | | | U.S. Treasury Inflation Indexed Bonds: | | | | |
| | 287,813 | | | | | 1.750% due 1/15/28 | | | 312,191 | |
| | 304,541 | | | | | 2.125% due 2/15/40 | | | 366,490 | |
| | 689,341 | | | | | 0.750% due 2/15/42 | | | 642,047 | |
| | 862,384 | | | | | 1.375% due 2/15/44 | | | 912,673 | |
| | 2,918,862 | | | | | 1.000% due 2/15/48 | | | 2,838,042 | |
| | 1,098,240 | | | | | 1.000% due 2/15/49 | | | 1,070,963 | |
| | | | | | U.S. Treasury Inflation Indexed Notes: | | | | |
| | 74,064 | | | | | 0.125% due 7/15/24 | | | 72,429 | |
| | 635,646 | | | | | 0.375% due 7/15/25 | | | 626,223 | |
| | 985,847 | | | | | 0.750% due 7/15/28 | | | 988,081 | |
| | | | | | U.S. Treasury Notes: | | | | |
| | 2,645,000 | | | | | 2.500% due 12/31/20 | | | 2,643,244 | |
| | 18,440,000 | | | | | 2.500% due 1/31/21 | | | 18,432,797 | |
| | 2,424,000 | | | | | 1.375% due 5/31/21 | | | 2,364,347 | |
| | 4,110,000 | | | | | 2.625% due 6/15/21 | | | 4,121,559 | |
| | 850,000 | | | | | 2.625% due 7/15/21 | | | 852,391 | |
| | 10,105,000 | | | | | 2.750% due 9/15/21 | | | 10,168,354 | |
| | 1,000,000 | | | | | 2.875% due 10/15/21 | | | 1,009,512 | |
| | 1,910,000 | | | | | 2.875% due 11/15/21 | | | 1,928,764 | |
| | 1,820,000 | | | | | 2.500% due 1/15/22 | | | 1,820,391 | |
| | 10,000 | | | | | 2.500% due 2/15/22 | | | 10,005 | |
| | 20,000 | | | | | 1.875% due 8/31/22 | | | 19,583 | |
| | 110,000 | | | | | 2.000% due 10/31/22 | | | 108,071 | |
| | 12,835,000 | | | | | 2.625% due 12/31/23 | | | 12,895,415 | |
| | 14,221,000 | | | | | 2.500% due 1/31/24 | | | 14,214,056 | |
| | 7,740,000 | | | | | 2.375% due 2/29/24 | | | 7,692,078 | |
| | 2,600,000 | | | | | 2.000% due 6/30/24 | | | 2,529,414 | |
| | 5,885,000 | | | | | 2.625% due 12/31/25 | | | 5,892,586 | |
| | 1,660,000 | | | | | 2.625% due 1/31/26 | | | 1,662,075 | |
| | 2,965,000 | | | | | 2.500% due 2/28/26 | | | 2,943,805 | |
| | 700,000 | | | | | 2.250% due 11/15/27 | | | 676,430 | |
| | 1,250,000 | | | | | 2.875% due 8/15/28 | | | 1,267,163 | |
| | 7,692,000 | | | | | 3.125% due 11/15/28 | | | 7,960,769 | |
| | 1,210,000 | | | | | 2.625% due 2/15/29 | | | 1,200,949 | |
| | | | | | | | | | |
| | | | | | TOTAL U.S. GOVERNMENT OBLIGATIONS | | | 178,152,546 | |
| | | | | | | | | | |
| | | | | | TOTAL U.S. GOVERNMENT AGENCIES & OBLIGATIONS
(Cost — $182,406,593) | | | 181,072,465 | |
| | | | | | | | | | |
See Notes to Financial Statements.
165
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | COLLATERALIZED MORTGAGE OBLIGATIONS — 10.2% | |
| $ | 270,000 | | | AAA | | 225 Liberty Street Trust, Series 2016-225L, Class A, 3.597% due 2/10/36(a) | | $ | 272,825 | |
| | 2,800,000 | | | BB+ | | Accredited Mortgage Loan Trust, Series2007-1, Class A4, 2.710%(1-MonthUSD-LIBOR + 0.220%) due 2/25/37(c) | | | 2,746,915 | |
| | 92,716 | | | CC | | AFC Home Equity Loan Trust, Series1999-2, Class 2A, 3.140%(1-MonthUSD-LIBOR + 0.650%) due 6/25/29(c) | | | 77,453 | |
| | 1,301,607 | | | CCC | | Alternative Loan Trust, Series2005-56, Class 4A1, 3.327%(1-MonthUSD-LIBOR + 0.310%) due 11/25/35(c) | | | 1,270,646 | |
| | | | | | Ascentium Equipment Receivables Trust: | | | | |
| | 671,083 | | | Aaa(b) | | Series2017-2A, Class A2, 2.000% due 5/11/20(a) | | | 669,161 | |
| | 550,000 | | | Aaa(b) | | Series2017-2A, Class A3, 2.310% due 12/10/21(a) | | | 544,856 | |
| | 975,231 | | | CCC | | Asset-Backed Securities Corp. Home Equity Loan Trust, Series2007-HE1, Class A1B, 2.640%(1-MonthUSD-LIBOR + 0.150%) due 12/25/36(c) | | | 950,232 | |
| | | | | | BAMLL Commercial Mortgage Securities Trust: | | | | |
| | 480,000 | | | AA- | | Series 2015-200P, Class B, 3.490% due 4/14/33(a) | | | 480,408 | |
| | 420,000 | | | AAA(k) | | Series 2018-PARK, Class A, 4.091% due 8/10/38(a)(c) | | | 439,074 | |
| | 52,911 | | | AA+ | | Banc of America Mortgage Trust, Series2004-F, Class 1A1, 4.487% due 7/25/34(c) | | | 54,195 | |
| | 515,000 | | | AAA | | Barings CLO Ltd., Series2013-IA, Class AR, 3.561%(3-MonthUSD-LIBOR + 0.800%) due 1/20/28(a)(c) | | | 510,422 | |
| | 285,000 | | | AAA | | BB-UBS Trust, Series 2012-SHOW, Class A, 3.430% due 11/5/36(a) | | | 285,625 | |
| | 1,160,176 | | | NR | | BCAP LLC Trust, Series2015-RR5, Class 1A3, 2.389% due 8/26/36(a)(c) | | | 1,137,577 | |
| | 247,073 | | | WD(k) | | Bear Stearns Adjustable Rate Mortgage Trust, Series2007-3, Class 1A1, 4.140% due 5/25/47(c) | | | 229,875 | |
| | 109,361 | | | B | | Bear StearnsALT-A Trust, Series2005-4, Class 23A2, 4.399% due 5/25/35(c) | | | 110,780 | |
| | 436,161 | | | CCC | | Bear Stearns Asset-Backed Securities I Trust, Series2005-AC6, Class 1A3, 5.500% due 9/25/35(c) | | | 435,696 | |
| | 80,367 | | | BBB | | Bear Stearns Structured Products Trust, Series 2007-EMX1, Class A1, 3.490%(1-MonthUSD-LIBOR + 1.000%) due 3/25/37(a)(c) | | | 80,578 | |
| | | | | | BENCHMARK Mortgage Trust: | | | | |
| | 285,000 | | | AAA | | Series2018-B1, Class A2, 3.571% due 1/15/51 | | | 290,387 | |
| | 254,634 | | | AAA | | Series2018-B7, Class A4, 4.510% due 5/15/53 | | | 274,987 | |
| | 321,325 | | | AAA | | BX Trust, Series 2017-SLCT, Class A, 3.409%(1-MonthUSD-LIBOR + 0.920%) due 7/15/34(a)(c) | | | 320,822 | |
| | 614,420 | | | AA+ | | Centex Home Equity Loan Trust, Series2006-A, Class AV4, 2.740%(1-MonthUSD-LIBOR + 0.250%) due 6/25/36(c) | | | 613,285 | |
| | 235,000 | | | AA+ | | CGBAM Commercial Mortgage Trust, Series 2015-SMRT, Class A, 2.808% due 4/10/28(a) | | | 234,508 | |
| | 545,000 | | | AAA | | CGRBS Commercial Mortgage Trust, Series 2013-VN05, Class A, 3.369% due 3/13/35(a) | | | 552,628 | |
| | 116,855 | | | BB | | Chase Mortgage Finance Trust, Series2007-A1, Class 5A1, 4.169% due 2/25/37(c) | | | 118,502 | |
| | | | | | Chevy Chase Funding LLC Mortgage-Backed Certificates: | | | | |
| | 756,540 | | | A+ | | Series2004-2A, Class A1, 2.760%(1-MonthUSD-LIBOR + 0.270%) due 5/25/35(a)(c) | | | 740,462 | |
| | 1,602,475 | | | CCC | | Series2004-2A, Class B1, 2.969% due 5/25/35(a)(c) | | | 1,247,700 | |
| | | | | | CIM Trust: | | | | |
| | 1,197,390 | | | NR | | Series2018-R5, Class A1, 3.750% due 7/25/58(a)(c) | | | 1,201,679 | |
| | 1,118,039 | | | NR | | Series2018-R6, Class A1, 3.585%(1-MonthUSD-LIBOR + 1.076%) due 9/25/58(a)(c) | | | 1,121,040 | |
| | | | | | Citigroup Commercial Mortgage Trust: | | | | |
| | 620,000 | | | Aaa(b) | | Series 2013-375P, Class A, 3.251% due 5/10/35(a) | | | 622,658 | |
| | 440,000 | | | Aaa(b) | | Series 2015-GC27, Class A5, 3.137% due 2/10/48 | | | 438,068 | |
| | 575,000 | | | Aaa(b) | | Series2015-P1, Class A5, 3.717% due 9/15/48 | | | 588,301 | |
| | 355,000 | | | Aaa(b) | | Series2017-P7, Class AAB, 3.509% due 4/14/50 | | | 360,152 | |
| | 1,440,000 | | | NR | | Series 2019-SST2, Class F, 5.000% due 12/15/36(a)(c) | | | 1,440,000 | |
| | 1,651,640 | | | CC | | Citigroup Mortgage Loan Trust, Series2006-AR6, Class 2A4, 2.710%(1-MonthUSD-LIBOR + 0.220%) due 9/25/36(c) | | | 626,852 | |
| | 2,051,416 | | | AA+ | | Citigroup/Deutsche Bank Commercial Mortgage Trust, Series2017-CD4, Class XA, 1.318% due 5/10/50(c)(l) | | | 156,107 | |
| | 415,000 | | | AAA | | CityLine Commercial Mortgage Trust, Series 2016-CLNE, Class A, 2.778% due 11/10/31(a)(c) | | | 408,467 | |
| | 490,000 | | | AAA | | Cold Storage Trust, Series 2017-ICE3, Class A, 3.489%(1-MonthUSD-LIBOR + 1.000%) due 4/15/36(a)(c) | | | 489,408 | |
See Notes to Financial Statements.
166
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | COLLATERALIZED MORTGAGE OBLIGATIONS — 10.2% — (continued) | |
| | | | | | Commercial Mortgage Trust: | | | | |
| $ | 265,000 | | | AAA(k) | | Series 2013-300P, Class A1, 4.353% due 8/10/30(a) | | $ | 279,340 | |
| | 190,000 | | | AA-(k) | | Series 2013-300P, Class B, 4.394% due 8/10/30(a)(c) | | | 198,489 | |
| | 260,000 | | | BB | | Series2013-CR9, Class E, 4.256% due 7/10/45(a)(c) | | | 157,695 | |
| | 534,864 | | | Aaa(b) | | Series 2013-CR11, Class A3, 3.983% due 8/10/50 | | | 554,632 | |
| | 40,000 | | | Aa3(b) | | Series 2013-CR12, Class B, 4.762% due 10/10/46(c) | | | 41,682 | |
| | 20,000 | | | A3(b) | | Series 2013-CR12, Class C, 5.085% due 10/10/46(c) | | | 20,594 | |
| | 265,000 | | | AAA(k) | | Series 2014-277P, Class A, 3.611% due 8/10/49(a)(c) | | | 271,476 | |
| | 140,000 | | | AAA | | Series 2014-CR18, Class A5, 3.828% due 7/15/47 | | | 144,280 | |
| | 685,000 | | | AAA | | Series 2014-CR18, Class ASB, 3.452% due 7/15/47 | | | 692,251 | |
| | 210,000 | | | A-(k) | | Series 2014-CR21, Class C, 4.417% due 12/10/47(c) | | | 213,514 | |
| | 345,000 | | | Aaa(b) | | Series 2014-LC17, Class A5, 3.917% due 10/10/47 | | | 357,005 | |
| | 5,212,662 | | | Aa1(b) | | Series 2015-CR25, Class XA, 0.914% due 8/10/48(c)(l) | | | 225,978 | |
| | 270,000 | | | AAA | | Series 2016-787S, Class A, 3.545% due 2/10/36(a) | | | 271,302 | |
| | | | | | Core Industrial Trust: | | | | |
| | 351,008 | | | AAA | | Series 2015-CALW, Class A, 3.040% due 2/10/34(a) | | | 351,677 | |
| | 466,473 | | | AAA | | Series 2015-TEXW, Class A, 3.077% due 2/10/34(a) | | | 467,325 | |
| | | | | | Countrywide Asset-Backed Certificates: | | | | |
| | 152,371 | | | CCC | | Series2006-SD3, Class A1, 2.820%(1-MonthUSD-LIBOR + 0.330%) due 7/25/36(a)(c) | | | 143,568 | |
| | 311,562 | | | AA | | Series2007-13, Class 2A2, 3.290%(1-MonthUSD-LIBOR + 0.800%) due 10/25/47(c) | | | 302,193 | |
| | | | | | Countrywide Home Loan Mortgage Pass-Through Trust: | | | | |
| | 105,512 | | | Ca(b) | | Series2005-11, Class 3A3, 2.856% due 4/25/35(c) | | | 85,537 | |
| | 65,645 | | | WR(b) | | Series2005-11, Class 6A1, 3.090%(1-MonthUSD-LIBOR + 0.600%) due 3/25/35(c) | | | 60,998 | |
| | | | | | Credit Suisse Commercial Mortgage Capital Trust: | | | | |
| | 290,000 | | | B- | | Series2014-USA, Class F, 4.373% due 9/15/37(a) | | | 249,836 | |
| | 736,874 | | | NR | | Series2015-5R, Class 1A1, 3.172% due 9/27/46(a)(c) | | | 733,598 | |
| | 240,000 | | | Aaa(b) | | Series 2017-LSTK, Class A, 2.761% due 4/5/33(a) | | | 238,320 | |
| | | | | | Credit Suisse Commercial Mortgage Trust: | | | | |
| | 13,975 | | | Caa3(b) | | Series2006-C3, Class AJ, 6.646% due 6/15/38(c) | | | 7,939 | |
| | 14,773 | | | Caa1(b) | | Series2006-C5, Class AJ, 5.373% due 12/15/39 | | | 9,993 | |
| | 68,194 | | | B+ | | Credit Suisse First Boston Mortgage Securities Corp., Series2005-6, Class 8A1, 4.500% due 7/25/20 | | | 69,054 | |
| | 295,000 | | | Aaa(b) | | Credit Suisse USA CSAIL Commercial Mortgage Trust, Series2015-C1, Class A4, 3.505% due 4/15/50 | | | 298,474 | |
| | 2,556,339 | | | AAA(k) | | CSMC Trust, Series2018-J1, Class A2, 3.500% due 2/25/48(a)(c) | | | 2,485,208 | |
| | 1,176,135 | | | CC | | CWABS Revolving Home Equity Loan Trust, Series2004-B, Class 2A, 2.709%(1-MonthUSD-LIBOR + 0.220%) due 2/15/29(c) | | | 1,082,007 | |
| | 67,121 | | | CCC | | Downey Savings & Loan Association Mortgage Loan Trust, Series2004-AR2, Class A2B, 3.280%(1-MonthUSD-LIBOR + 0.800%) due 11/19/44(c) | | | 63,383 | |
| | 700,000 | | | AAA | | Dryden XXVIII Senior Loan Fund, Series2013-28A, Class A1LR, 3.884%(3-MonthUSD-LIBOR + 1.200%) due 8/15/30(a)(c) | | | 698,213 | |
| | 382,207 | | | B- | | Equifirst Mortgage Loan Trust, Series2003-2, Class M2, 5.040%(1-MonthUSD-LIBOR + 2.550%) due 9/25/33(c) | | | 387,199 | |
| | | | | | Federal Home Loan Mortgage Corp. (FHLMC), Interest Strips: | | | | |
| | 118,330 | | | NR | | Series 334, Class S7, 3.611% (6.100% —1-MonthUSD-LIBOR) due 8/15/44(c)(l) | | | 21,707 | |
| | 162,734 | | | NR | | Series 353, Class S1, 3.511% (6.000% —1-MonthUSD-LIBOR) due 12/15/46(c)(l) | | | 28,415 | |
| | | | | | Federal Home Loan Mortgage Corp. (FHLMC), REMICS: | | | | |
| | 8,053 | | | NR | | Series 1865, Class DA, 26.587% (31.310% — 11th District Cost of Funds Index) due 2/15/24(c)(l) | | | 2,873 | |
| | 49,887 | | | NR | | Series 3451, Class SB, 3.541% (6.030% —1-MonthUSD-LIBOR) due 5/15/38(c)(l) | | | 4,176 | |
| | 92,896 | | | NR | | Series 3621, Class SB, 3.741% (6.230% —1-MonthUSD-LIBOR) due 1/15/40(c)(l) | | | 12,571 | |
| | 555,000 | | | NR | | Series 3743, Class PB, 4.500% due 10/15/40 | | | 600,464 | |
| | 1,174,125 | | | NR | | Series 3866, Class SA, 3.461% (5.950% —1-MonthUSD-LIBOR) due 5/15/41(c)(l) | | | 138,973 | |
| | 450,850 | | | NR | | Series 3947, Class SG, 3.461% (5.950% —1-MonthUSD-LIBOR) due 10/15/41(c)(l) | | | 67,017 | |
| | 31,213 | | | NR | | Series 3973, Class SA, 4.001% (6.490% —1-MonthUSD-LIBOR) due 12/15/41(c)(l) | | | 5,583 | |
See Notes to Financial Statements.
167
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | COLLATERALIZED MORTGAGE OBLIGATIONS — 10.2% — (continued) | |
| $ | 378,162 | | | NR | | Series 4203, Class PS, 3.761% (6.250% —1-MonthUSD-LIBOR) due 9/15/42(c)(l) | | $ | 52,932 | |
| | 349,016 | | | NR | | Series 4210, Class Z, 3.000% due 5/15/43 | | | 325,928 | |
| | 178,203 | | | NR | | Series 4239, Class IO, 3.500% due 6/15/27(l) | | | 15,887 | |
| | 299,309 | | | NR | | Series 4316, Class XZ, 4.500% due 3/15/44 | | | 324,322 | |
| | 117,953 | | | NR | | Series 4335, Class SW, 3.511% (6.000% —1-MonthUSD-LIBOR) due 5/15/44(c)(l) | | | 18,523 | |
| | 799,846 | | | NR | | Series 4639, Class HZ, step bond to yield, 2.750% due 4/15/53 | | | 749,857 | |
| | 96,406 | | | NR | | Series R007, Class ZA, 6.000% due 5/15/36 | | | 107,295 | |
| | | | | | Federal National Mortgage Association (FNMA), ACES: | | | | |
| | 14,349,912 | | | NR | | Series2013-M7, Class X2, 0.162% due 12/27/22(c)(l) | | | 83,318 | |
| | 60,525 | | | NR | | Series2014-M12, Class FA, 2.803%(1-MonthUSD-LIBOR + 0.300%) due 10/25/21(c) | | | 60,497 | |
| | 30,657 | | | NR | | Series2015-M7, Class AB2, 2.502% due 12/25/24 | | | 30,283 | |
| | 5,863,106 | | | NR | | Series2015-M7, Class X2, 0.505% due 12/25/24(c)(l) | | | 143,500 | |
| | 19,822,154 | | | NR | | Series2015-M8, Class X2, 0.149% due 1/25/25(c)(l) | | | 144,323 | |
| | 604,000 | | | NR | | Series2018-M14, Class A2, 3.578% due 8/25/28(c) | | | 621,488 | |
| | 650,000 | | | NR | | Series2019-M1, Class A2, 3.550% due 9/25/28(c) | | | 666,109 | |
| | 166,416 | | | A1(b) | | Federal National Mortgage Association (FNMA), Connecticut Avenue Securities, Series2016-C04, Class 1M1, 3.940%(1-MonthUSD-LIBOR + 1.450%) due 1/25/29(a)(c) | | | 167,150 | |
| | 76,399 | | | NR | | Federal National Mortgage Association (FNMA), Grantor Trust, Series2000-T6, Class A3, 4.238% due 11/25/40(c) | | | 75,740 | |
| | | | | | Federal National Mortgage Association (FNMA), Interest Strip: | | | | |
| | 169,886 | | | NR | | Series 409, Class C13, 3.500% due 11/25/41(l) | | | 32,733 | |
| | 309,338 | | | NR | | Series 409, Class C18, 4.000% due 4/25/42(l) | | | 59,988 | |
| | 44,055 | | | NR | | Series 409, Class C22, 4.500% due 11/25/39(l) | | | 9,371 | |
| | | | | | Federal National Mortgage Association (FNMA), REMICS: | | | | |
| | 32,288 | | | NR | | Series2004-38, Class FK, 2.840%(1-MonthUSD-LIBOR + 0.350%) due 5/25/34(c) | | | 32,237 | |
| | 149,274 | | | NR | | Series2005-117, Class LC, 5.500% due 11/25/35 | | | 154,572 | |
| | 655,383 | | | NR | | Series2006-51, Class SP, 4.160% (6.650% —1-MonthUSD-LIBOR) due 3/25/36(c)(l) | | | 81,067 | |
| | 277,263 | | | NR | | Series2007-68, Class SC, 4.210% (6.700% —1-MonthUSD-LIBOR) due 7/25/37(c)(l) | | | 46,896 | |
| | 633,843 | | | NR | | Series2008-18, Class SM, 4.510% (7.000% —1-MonthUSD-LIBOR) due 3/25/38(c)(l) | | | 75,076 | |
| | 1,185,798 | | | NR | | Series2011-8, Class ZA, 4.000% due 2/25/41 | | | 1,221,235 | |
| | 395,073 | | | NR | | Series2011-87, Class SG, 4.060% (6.550% —1-MonthUSD-LIBOR) due 4/25/40(c)(l) | | | 47,990 | |
| | 117,594 | | | NR | | Series2011-90, Class QI, 5.000% due 5/25/34(l) | | | 4,830 | |
| | 770,000 | | | NR | | Series2011-131, Class PB, 4.500% due 12/25/41 | | | 833,408 | |
| | 100,416 | | | NR | | Series2012-35, Class SC, 4.010% (6.500% —1-MonthUSD-LIBOR) due 4/25/42(c)(l) | | | 17,225 | |
| | 128,732 | | | NR | | Series2012-46, Class BA, 6.000% due 5/25/42 | | | 139,028 | |
| | 185,362 | | | NR | | Series2012-51, Class B, 7.000% due 5/25/42 | | | 215,377 | |
| | 24,800 | | | NR | | Series2012-70, Class YS, 4.160% (6.650% —1-MonthUSD-LIBOR) due 2/25/41(c)(l) | | | 2,711 | |
| | 158,961 | | | NR | | Series2012-74, Class SA, 4.160% (6.650% —1-MonthUSD-LIBOR) due 3/25/42(c)(l) | | | 20,550 | |
| | 26,494 | | | NR | | Series2012-75, Class AO, zero coupon, due 3/25/42(j) | | | 23,456 | |
| | 129,044 | | | NR | | Series2012-101, Class BI, 4.000% due 9/25/27(l) | | | 10,813 | |
| | 235,072 | | | NR | | Series2012-118, Class CI, 3.500% due 12/25/39(l) | | | 23,653 | |
| | 130,632 | | | NR | | Series2012-133, Class CS, 3.660% (6.150% —1-MonthUSD-LIBOR) due 12/25/42(c)(l) | | | 21,950 | |
| | 445,804 | | | NR | | Series2013-9, Class BC, 6.500% due 7/25/42 | | | 505,512 | |
| | 377,612 | | | NR | | Series2013-9, Class CB, 5.500% due 4/25/42 | | | 411,086 | |
| | 109,984 | | | NR | | Series2013-54, Class BS, 3.660% (6.150% —1-MonthUSD-LIBOR) due 6/25/43(c)(l) | | | 20,228 | |
| | 315,892 | | | NR | | Series2016-60, Class QS, 3.610% (6.100% —1-MonthUSD-LIBOR) due 9/25/46(c)(l) | | | 44,182 | |
| | 1,004,492 | | | NR | | Series2018-55, Class PA, 3.500% due 1/25/47 | | | 1,018,429 | |
| | 908,642 | | | NR | | Series2018-57, Class QA, 3.500% due 5/25/46 | | | 920,884 | |
| | 813,393 | | | NR | | Series2018-94, Class KD, 3.500% due 12/25/48 | | | 821,607 | |
| | | | | | FHLMC Multifamily Structured Pass-Through Certificates: | | | | |
| | 235,962 | | | AAA(k) | | Series K016, Class X1, 1.478% due 10/25/21(c)(l) | | | 7,972 | |
| | 500,000 | | | AAA(k) | | Series K072, Class A2, 3.444% due 12/25/27 | | | 509,449 | |
| | 185,000 | | | AAA(k) | | Series K082, Class A2, 3.920% due 9/25/28(c) | | | 195,257 | |
| | 281,000 | | | Aaa(b) | | Series K085, Class A2, 4.060% due 10/25/28(c) | | | 299,681 | |
| | 555,000 | | | NR | | Series K158, Class A3, 3.900% due 10/25/33(c) | | | 570,871 | |
See Notes to Financial Statements.
168
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | COLLATERALIZED MORTGAGE OBLIGATIONS — 10.2% — (continued) | |
| $ | 100,000 | | | NR | | Series KF57, Class A, 3.054%(1-MonthUSD-LIBOR + 0.540%) due 12/25/28(c) | | $ | 100,360 | |
| | 340,238 | | | NR | | Series KIR2, Class A1, 2.748% due 3/25/27 | | | 338,291 | |
| | 1,048,145 | | | NR | | Series Q006, Class APT2, 2.483% due 9/25/26(c) | | | 1,103,510 | |
| | | | | | FHLMC Structured Agency Credit Risk Debt Notes: | | | | |
| | 469,000 | | | Baa1(b) | | Series 2016-DNA1, Class M3, 8.040%(1-MonthUSD-LIBOR + 5.550%) due 7/25/28(c) | | | 557,310 | |
| | 655,000 | | | BB(k) | | Series 2017-DNA2, Class M2, 5.940%(1-MonthUSD-LIBOR + 3.450%) due 10/25/29(c) | | | 711,454 | |
| | 410,000 | | | B(k) | | Series 2017-HRP1, Class M2, 4.940%(1-MonthUSD-LIBOR + 2.450%) due 12/25/42(c) | | | 417,408 | |
| | 1,651,609 | | | CC | | First Franklin Mortgage Loan Trust, Series 2006-FF13, Class A2D, 2.730%(1-MonthUSD-LIBOR + 0.240%) due 10/25/36(c) | | | 1,269,205 | |
| | 680,000 | | | AAA | | Flagship CLO VIII Ltd., Series2014-8A, Class ARR, 3.629%(3-MonthUSD-LIBOR + 0.850%) due 1/16/26(a)(c) | | | 676,342 | |
| | 943,853 | | | AAA | | Four Times Square Trust Commercial Mortgage Pass-Through Certificates, Series2006-4TS, Class A, 5.401% due 12/13/28(a) | | | 978,549 | |
| | 505,000 | | | BBB- | | GAHR Commercial Mortgage Trust, Series2015-NRF, Class DFX, 3.382% due 12/15/34(a)(c) | | | 500,478 | |
| | 95,618 | | | BB+ | | GE Business Loan Trust, Series2006-1A, Class C, 2.909%(1-MonthUSD-LIBOR + 0.420%) due 5/15/34(a)(c) | | | 89,622 | |
| | | | | | Government National Mortgage Association (GNMA): | | | | |
| | 555,490 | | | NR | | Series2007-51, Class SG, 4.095% (6.580% —1-MonthUSD-LIBOR) due 8/20/37(c)(l) | | | 88,292 | |
| | 1,626,415 | | | NR | | Series2008-51, Class GS, 3.749% (6.230% —1-MonthUSD-LIBOR) due 6/16/38(c)(l) | | | 263,468 | |
| | 14,049 | | | NR | | Series2010-31, Class GS, 4.015% (6.500% —1-MonthUSD-LIBOR) due 3/20/39(c)(l) | | | 395 | |
| | 69,610 | | | NR | | Series2010-85, Class HS, 4.165% (6.650% —1-MonthUSD-LIBOR) due 1/20/40(c)(l) | | | 5,889 | |
| | 370,728 | | | NR | | Series2012-H27, Class AI, 1.733% due 10/20/62(c)(l) | | | 20,216 | |
| | 280,866 | | | NR | | Series2013-53, Class OI, 3.500% due 4/20/43(l) | | | 40,809 | |
| | 2,971,494 | | | NR | | Series2013-85, Class IA, 0.704% due 3/16/47(c)(l) | | | 107,615 | |
| | 1,737,763 | | | NR | | Series2014-105, Class IO, 0.956% due 6/16/54(c)(l) | | | 86,307 | |
| | 1,871,780 | | | NR | | Series2014-H20, Class FA, 2.937%(1-MonthUSD-LIBOR + 0.430%) due 10/20/64(c) | | | 1,870,242 | |
| | 120,639 | | | NR | | Series2015-167, Class OI, 4.000% due 4/16/45(l) | | | 23,989 | |
| | 123,914 | | | NR | | Series2016-84, Class IG, 4.500% due 11/16/45(l) | | | 26,800 | |
| | 82,311 | | | NR | | Series2016-135, Class SB, 3.619% (6.100% —1-MonthUSD-LIBOR) due 10/16/46(c)(l) | | | 15,423 | |
| | 823,449 | | | NR | | Series2017-H22, Class IC, 2.130% due 11/20/67(c)(l) | | | 98,155 | |
| | 39,668 | | | NR | | Series2018-99, Class A, 3.200% due 1/16/52 | | | 39,423 | |
| | 129,391 | | | NR | | Series2018-108, Class A, 3.250% due 5/16/59(c) | | | 128,700 | |
| | 49,737 | | | NR | | Series2018-123, Class AH, 3.250% due 9/16/52 | | | 49,351 | |
| | 278,145 | | | NR | | Series2018-124, Class NW, 3.500% due 9/20/48 | | | 281,835 | |
| | 99,692 | | | NR | | Series2018-130, Class A, 3.250% due 5/16/59 | | | 98,902 | |
| | 710,000 | | | AAA | | GS Mortgage Securities Corp. II, Series 2018-SRP5, Class A, 3.789%(1-MonthUSD-LIBOR + 1.300%) due 9/15/31(a)(c) | | | 711,331 | |
| | | | | | Harborview Mortgage Loan Trust: | | | | |
| | 162,596 | | | AA+ | | Series2004-5, Class 2A6, 3.855% due 6/19/34(c) | | | 163,023 | |
| | 64,656 | | | WD(k) | | Series2006-2, Class 1A, 4.946% due 2/25/36(c) | | | 42,336 | |
| | 1,100,008 | | | CC | | Series2006-10, Class 1A1A, 2.680%(1-MonthUSD-LIBOR + 0.200%) due 11/19/36(c) | | | 988,254 | |
| | 100,000 | | | AAA | | Hyundai Floorplan Master Owner Trust, Series2016-1A, Class A2, 1.810% due 3/15/21(a) | | | 99,975 | |
| | 110,448 | | | AA | | Impac CMB Trust, Series2007-A, Class A, 2.990%(1-MonthUSD-LIBOR + 0.500%) due 5/25/37(a)(c) | | | 109,846 | |
| | 48,745 | | | Caa2(b) | | Indymac Index Mortgage Loan Trust, Series 2005-AR15, Class A2, 4.014% due 9/25/35(c) | | | 45,172 | |
| | 1,054,952 | | | CC | | IXIS Real Estate Capital Trust, Series2006-HE2, Class A3, 2.650%(1-MonthUSD-LIBOR + 0.160%) due 8/25/36(c) | | | 415,247 | |
| | | | | | JP Morgan Chase Commercial Mortgage Securities Trust: | | | | |
| | 221,599 | | | AAA | | Series 2012-HSBC, Class A, 3.093% due 7/5/32(a) | | | 222,286 | |
| | 350,000 | | | Aaa(b) | | Series 2016-NINE, Class A, 2.854% due 10/6/38(a)(c) | | | 337,500 | |
| | 265,000 | | | AAA | | Series 2018-BCON, Class A, 3.735% due 1/5/31(a) | | | 271,075 | |
| | 1,350,000 | | | CCC | | JP Morgan Mortgage Acquisition Corp., Series 2006-FRE1, Class M1, 2.880%(1-MonthUSD-LIBOR + 0.390%) due 5/25/35(c) | | | 1,338,506 | |
See Notes to Financial Statements.
169
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | COLLATERALIZED MORTGAGE OBLIGATIONS — 10.2% — (continued) | |
| | | | | | JP Morgan Mortgage Trust: | | | | |
| $ | 431,900 | | | Aaa(b) | | Series2017-1, Class A4, 3.500% due 1/25/47(a)(c) | | $ | 430,579 | |
| | 333,628 | | | Aaa(b) | | Series2017-2, Class A6, 3.000% due 5/25/47(a)(c) | | | 326,687 | |
| | 1,284,317 | | | AA+ | | Series2018-3, Class A1, 3.500% due 9/25/48(a)(c) | | | 1,258,495 | |
| | 493,080 | | | AA+ | | Series2018-4, Class A1, 3.500% due 10/25/48(a)(c) | | | 485,912 | |
| | 1,245,132 | | | AA+ | | Series2018-5, Class A1, 3.500% due 10/25/48(a)(c) | | | 1,227,684 | |
| | | | | | JPMBB Commercial Mortgage Securities Trust: | | | | |
| | 40,000 | | | Aa3(b) | | Series2013-C17, Class B, 4.891% due 1/15/47(c) | | | 42,274 | |
| | 350,000 | | | BB(k) | | Series2014-C23, Class E, 3.364% due 9/15/47(a)(c) | | | 279,093 | |
| | 190,000 | | | Aaa(b) | | JPMDB Commercial Mortgage Securities Trust, Series2017-C7, Class A5, 3.409% due 10/15/50 | | | 189,155 | |
| | | | | | JPMorgan Chase Commercial Mortgage Securities Trust: | | | | |
| | 820,000 | | | D | | Series 2007-CB18, Class AJ, 5.502% due 6/12/47(c) | | | 628,239 | |
| | 175,000 | | | Aaa(b) | | Series2011-C5, Class AS, 5.374% due 8/15/46(a)(c) | | | 183,381 | |
| | 370,000 | | | Aa1(b) | | Series2011-C5, Class B, 5.374% due 8/15/46(a)(c) | | | 385,946 | |
| | 460,000 | | | AA | | Series 2012-HSBC, Class C, 4.021% due 7/5/32(a) | | | 467,929 | |
| | 158,784 | | | AAA | | Series2014-FL6, Class B, 4.769%(1-MonthUSD-LIBOR + 2.280%) due 11/15/31(a)(c) | | | 159,489 | |
| | 291,543 | | | Aaa(b) | | JPMorgan Trust, Series2015-5, Class A9, 3.240% due 5/25/45(a)(c) | | | 290,809 | |
| | 8,814 | | | AAA | | LB-UBS Commercial Mortgage Trust, Series2007-C6, Class AM, 6.114% due 7/15/40(c) | | | 8,795 | |
| | 54,461 | | | Ca(b) | | Lehman XS Trust, Series2005-7N, Class 1A1B, 3.090%(1-MonthUSD-LIBOR + 0.600%) due 12/25/35(c) | | | 41,711 | |
| | 130,000 | | | Aaa(b) | | Madison Avenue Trust, Series 2013-650M, Class A, 3.843% due 10/12/32(a) | | | 131,321 | |
| | 225,056 | | | Aaa(b) | | Magnetite IX Ltd., Series2014-9A, Class A1R, 3.771%(3-MonthUSD-LIBOR + 1.000%) due 7/25/26(a)(c) | | | 225,075 | |
| | 700,000 | | | Aaa(b) | | Magnetite XVIII Ltd., Series2016-18A, Class AR, 3.764%(3-MonthUSD-LIBOR + 1.080%) due 11/15/28(a)(c) | | | 699,444 | |
| | 286,343 | | | AA+ | | MASTR Seasoned Securitization Trust, Series2005-1, Class 4A1, 4.521% due 10/25/32(c) | | | 290,689 | |
| | 303,520 | | | CC | | Merrill Lynch First Franklin Mortgage Loan Trust, Series2007-4, Class 2A4, 2.740%(1-MonthUSD-LIBOR + 0.250%) due 7/25/37(c) | | | 212,387 | |
| | 16,819 | | | A+ | | Merrill Lynch Mortgage Investors Trust, Series2004-A3, Class 4A3, 4.311% due 5/25/34(c) | | | 16,686 | |
| | 574,940 | | | AA+ | | Mid-State Capital Corp. Trust, Series2004-1, Class A, 6.005% due 8/15/37 | | | 619,726 | |
| | | | | | ML-CFC Commercial Mortgage Trust: | | | | |
| | 87,255 | | | Caa2(b) | | Series2007-5, Class AJ, 5.450% due 8/12/48(c) | | | 64,004 | |
| | 119,612 | | | C(k) | | Series2007-9, Class AJ, 6.154% due 9/12/49(c) | | | 77,150 | |
| | | | | | Morgan Stanley Bank of America Merrill Lynch Trust: | | | | |
| | 30,000 | | | Aaa(b) | | Series2013-C10, Class A4, 4.082% due 7/15/46(c)(m) | | | 31,203 | |
| | 500,000 | | | Aaa(b) | | Series2013-C13, Class A4, 4.039% due 11/15/46(m) | | | 520,565 | |
| | 540,000 | | | Aaa(b) | | Series2015-C27, Class A4, 3.753% due 12/15/47(m) | | | 552,243 | |
| | 260,000 | | | A-(k) | | Series2016-C30, Class C, 4.127% due 9/15/49(c)(m) | | | 254,306 | |
| | 400,000 | | | AAA | | Neuberger Berman CLOXVI-S Ltd., Series 2017-16SA, Class A, 3.637%(3-MonthUSD-LIBOR + 0.850%) due 1/15/28(a)(c) | | | 397,226 | |
| | 358,218 | | | AAA | | New Residential Mortgage Loan Trust, Series2016-4A, Class A1, 3.750% due 11/25/56(a)(c) | | | 360,484 | |
| | 240,000 | | | AAA | | Octagon Investment Partners 25 Ltd., Series2015-1A, Class AR, 3.561%(3-MonthUSD-LIBOR + 0.800%) due 10/20/26(a)(c) | | | 237,744 | |
| | 110,000 | | | AAA | | PFS Financing Corp., Series2016-BA, Class A, 1.870% due 10/15/21(a) | | | 109,341 | |
| | 807,134 | | | AA+ | | Popular ABS Mortgage Pass-Through Trust, Series2006-C, Class A4, 2.740%(1-MonthUSD-LIBOR + 0.250%) due 7/25/36(c) | | | 802,407 | |
| | | | | | Prime Mortgage Trust: | | | | |
| | 32,650 | | | D | | Series2006-DR1, Class 1A1, 5.500% due 5/25/35(a) | | | 30,214 | |
| | 949,452 | | | D | | Series2006-DR1, Class 2A1, 5.500% due 5/25/35(a) | | | 771,652 | |
| | 915,000 | | | AAA | | RBS Commercial Funding Inc. Trust, Series2013-GSP, Class A, 3.834% due 1/15/32(a)(c) | | | 940,606 | |
| | 222,627 | | | Caa2(b) | | Residential Asset Securitization Trust, Series2005-A15, Class 1A4, 5.750% due 2/25/36 | | | 220,384 | |
| | 770,000 | | | NR | | SBA Small Business Investment Cos., Series2018-10B, Class 1, 3.548% due 9/11/28 | | | 782,645 | |
| | 219,666 | | | NR | | Seasoned Credit Risk Transfer Trust, Series2018-2, Class MA, 3.500% due 11/25/57 | | | 220,408 | |
See Notes to Financial Statements.
170
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | COLLATERALIZED MORTGAGE OBLIGATIONS — 10.2% — (continued) | |
| $ | 1,467,572 | | | AA- | | Sequoia Mortgage Trust, Series2003-1, Class 1A, 3.245%(1-MonthUSD-LIBOR + 0.760%) due 4/20/33(c) | | $ | 1,443,556 | |
| | 897,822 | | | AA | | Structured Asset Investment Loan Trust, Series2004-6, Class A3, 3.310%(1-MonthUSD-LIBOR + 0.800%) due 7/25/34(c) | | | 891,273 | |
| | 119,265 | | | AA+ | | Structured Asset Mortgage Investments II Trust, Series2005-AR5, Class A3, 2.730%(1-MonthUSD-LIBOR + 0.250%) due 7/19/35(c) | | | 117,852 | |
| | 120,266 | | | CCC | | Structured Asset Securities Corp., Series2005-RF3, Class 1A, 2.840%(1-MonthUSD-LIBOR + 0.350%) due 6/25/35(a)(c) | | | 109,015 | |
| | 84,223 | | | AAA | | Tharaldson Hotel Portfolio Trust, Series2018-THL, Class A, 3.262%(1-MonthUSD-LIBOR + 0.750%) due 11/11/34(a)(c) | | | 83,977 | |
| | 297,404 | | | Aaa(b) | | Towd Point Mortgage Trust, Series2016-3, Class A1, 2.250% due 4/25/56(a)(c) | | | 292,314 | |
| | 530,000 | | | AAA | | VNDO Mortgage Trust, Series 2012-6AVE, Class A, 2.996% due 11/15/30(a) | | | 529,408 | |
| | 100,000 | | | AAA | | Waldorf Astoria Boca Raton Trust, Series 2016-BOCA, Class A, 3.839%(1-MonthUSD-LIBOR + 1.350%) due 6/15/29(a)(c) | | | 100,145 | |
| | | | | | WaMu Mortgage Pass-Through Certificates Trust: | | | | |
| | 11,080 | | | BBB+ | | Series 2004-AR11, Class A, 4.173% due 10/25/34(c) | | | 11,128 | |
| | 56,509 | | | A+ | | Series 2004-AR12, Class A2A, 3.270%(1-MonthUSD-LIBOR + 0.780%) due 10/25/44(c) | | | 56,824 | |
| | 337,124 | | | BB- | | Series2005-AR4, Class A5, 3.780% due 4/25/35(c) | | | 343,228 | |
| | 1,125,103 | | | CCC | | Series2006-AR3, Class A1A, 3.332%(1-Year Treasury Average Rate + 1.000%) due 2/25/46(c) | | | 1,122,071 | |
| | 1,955,293 | | | WR(b) | | Series2007-OA2, Class 1A, 3.032%(1-Year Treasury Average Rate + 0.700%) due 3/25/47(c) | | | 1,822,294 | |
| | 520,507 | | | Ca(b) | | Washington Mutual Mortgage Pass-Through Certificates WMALT, Series2007-OA2, Class 2A, 3.032%(1-Year Treasury Average Rate + 0.700%) due 1/25/47(c) | | | 428,470 | |
| | | | | | Wells Fargo Commercial Mortgage Trust: | | | | |
| | 120,000 | | | Aa3(b) | | Series 2013-LC12, Class B, 4.286% due 7/15/46(c) | | | 122,693 | |
| | 1,000,000 | | | Aa2(b) | | Series2015-C28, Class AS, 3.872% due 5/15/48(c) | | | 1,017,928 | |
| | 150,000 | | | Aaa(b) | | Series 2015-LC20, Class A5, 3.184% due 4/15/50 | | | 149,267 | |
| | 500,000 | | | AAA | | Series 2016-BNK1, Class ASB, 2.514% due 8/15/49 | | | 486,984 | |
| | 11,960,539 | | | Aaa(b) | | Series2018-C43, Class XA, 0.712% due 3/15/51(c)(l) | | | 602,066 | |
| | 260,000 | | | Aaa(b) | | Series2018-C46, Class A4, 4.152% due 8/15/51 | | | 271,622 | |
| | | | | | Wells Fargo Mortgage-Backed Securities Trust: | | | | |
| | 209,292 | | | Caa1(b) | | Series2006-12, Class A3, 6.000% due 10/25/36 | | | 208,856 | |
| | 100,891 | | | CCC | | Series2006-AR2, Class 2A1, 4.938% due 3/25/36(c) | | | 103,067 | |
| | 29,391 | | | Caa2(b) | | Series2006-AR7, Class 2A4, 4.339% due 5/25/36(c) | | | 30,188 | |
| | | | | | WF-RBS Commercial Mortgage Trust: | | | | |
| | 196,197 | | | Aaa(b) | | Series2011-C2, Class A4, 4.869% due 2/15/44(a)(c) | | | 201,773 | |
| | 38,793 | | | Aaa(b) | | Series2011-C4, Class A3, 4.394% due 6/15/44(a) | | | 38,807 | |
| | 1,700,520 | | | Aaa(b) | | Series2012-C7, Class XA, 1.399% due 6/15/45(a)(c)(l) | | | 59,265 | |
| | 145,000 | | | Aaa(b) | | Series2013-C14, Class A4, 3.073% due 6/15/46 | | | 145,171 | |
| | 2,159,997 | | | Aaa(b) | | Series2014-C20, Class XA, 1.006% due 5/15/47(c)(l) | | | 85,873 | |
| | | | | | | | | | |
| | | | | | TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost — $90,198,463) | | | 86,755,440 | |
| | | | | | | | | | |
|
| | SOVEREIGN BONDS — 2.7% | |
|
| | Argentina — 0.1% | |
| | 1,020,000 | | | B | | Argentine Republic Government International Bonds, 5.625% due 1/26/22 | | | 918,765 | |
| | | | | | | | | | |
|
| | Brazil — 0.6% | |
| | 656,000 | BRL | | BB- | | Brazil Notas do Tesouro Nacional Serie B, 6.000% due 8/15/50 | | | 694,484 | |
| | | | | | Brazil Notas do Tesouro Nacional Serie F: | | | | |
| | 296,000 | BRL | | BB- | | 10.000% due 1/1/21 | | | 83,784 | |
| | 5,296,000 | BRL | | BB- | | 10.000% due 1/1/23 | | | 1,513,096 | |
| | 910,000 | BRL | | BB- | | 10.000% due 1/1/27 | | | 260,726 | |
See Notes to Financial Statements.
171
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Brazil — 0.6% — (continued) | |
| | | | | | Brazilian Government International Bonds: | | | | |
| $ | 280,000 | | | BB- | | 4.875% due 1/22/21 | | $ | 288,960 | |
| | 1,300,000 | | | BB- | | 4.625% due 1/13/28 | | | 1,293,838 | |
| | 1,280,000 | | | BB- | | 5.000% due 1/27/45 | | | 1,168,800 | |
| | | | | | | | | | |
| | | | | | Total Brazil | | | 5,303,688 | |
| | | | | | | | | | |
|
| | Canada — 0.0% | |
| | 152,000 | | | A+ | | Province of Manitoba Canada, 3.050% due 5/14/24 | | | 152,896 | |
| | | | | | | | | | |
|
| | Chile — 0.0% | |
| | 100,000 | | | A+ | | Chile Government International Bonds, 3.240% due 2/6/28 | | | 98,651 | |
| | | | | | | | | | |
|
| | Colombia — 0.1% | |
| | | | | | Colombia Government International Bonds: | | | | |
| | 220,000 | | | BBB- | | 8.125% due 5/21/24 | | | 262,625 | |
| | 280,000 | | | BBB- | | 3.875% due 4/25/27 | | | 276,293 | |
| | 240,000 | | | BBB- | | 4.500% due 3/15/29 | | | 245,640 | |
| | 370,000 | | | BBB- | | 5.625% due 2/26/44 | | | 398,675 | |
| | | | | | | | | | |
| | | | | | Total Colombia | | | 1,183,233 | |
| | | | | | | | | | |
|
| | Indonesia — 0.2% | |
| | | | | | Indonesia Government International Bonds: | | | | |
| | 290,000 | | | Baa2(b) | | 3.500% due 1/11/28 | | | 276,932 | |
| | 80,000 | | | BBB- | | 4.100% due 4/24/28 | | | 79,682 | |
| | 330,000 | | | Baa2(b) | | 4.350% due 1/11/48 | | | 313,772 | |
| | 700,000 | | | BBB- | | Indonesia Government International Bonds, (Restricted, cost — $718,045, acquired 4/27/15), 3.750% due 4/25/22(n) | | | 704,044 | |
| | | | | | | | | | |
| | | | | | Total Indonesia | | | 1,374,430 | |
| | | | | | | | | | |
|
| | Mexico — 1.1% | |
| | | | | | Mexican Bonos: | | | | |
| | 30,492,700 | MXN | | A- | | 6.500% due 6/9/22 | | | 1,513,904 | |
| | 15,120,000 | MXN | | A- | | 10.000% due 12/5/24 | | | 855,685 | |
| | 60,165,700 | MXN | | A- | | 7.750% due 11/13/42 | | | 2,824,500 | |
| | 48,220,000 | MXN | | A3(b) | | 8.000% due 11/7/47 | | | 2,313,762 | |
| | | | | | Mexico Government International Bonds: | | | | |
| | 61,000 | | | BBB+ | | 3.500% due 1/21/21 | | | 61,332 | |
| | 174,000 | | | BBB+ | | 3.625% due 3/15/22 | | | 175,220 | |
| | 44,000 | | | BBB+ | | 4.000% due 10/2/23 | | | 44,513 | |
| | 665,000 | | | BBB+ | | 4.150% due 3/28/27 | | | 659,348 | |
| | 323,000 | | | BBB+ | | 3.750% due 1/11/28 | | | 309,838 | |
| | 210,000 | | | BBB+ | | 4.750% due 3/8/44 | | | 199,607 | |
| | | | | | | | | | |
| | | | | | Total Mexico | | | 8,957,709 | |
| | | | | | | | | | |
|
| | Oman — 0.0% | |
| | 200,000 | | | Baa3(b) | | Oman Government International Bonds, 5.625% due 1/17/28(a) | | | 189,366 | |
| | | | | | | | | | |
|
| | Panama — 0.0% | |
| | 200,000 | | | BBB | | Panama Government International Bonds, 4.000% due 9/22/24 | | | 206,302 | |
| | | | | | | | | | |
|
| | Peru — 0.1% | |
| | | | | | Peruvian Government International Bonds: | | | | |
| | 210,000 | | | BBB+ | | 4.125% due 8/25/27 | | | 223,232 | |
| | 70,000 | | | BBB+ | | 6.550% due 3/14/37 | | | 91,420 | |
| | 160,000 | | | BBB+ | | 5.625% due 11/18/50 | | | 196,400 | |
| | | | | | | | | | |
| | | | | | Total Peru | | | 511,052 | |
| | | | | | | | | | |
See Notes to Financial Statements.
172
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Philippines — 0.1% | |
| $ | 400,000 | | | BBB | | Philippine Government International Bonds, 3.000% due 2/1/28 | | $ | 387,635 | |
| | | | | | | | | | |
|
| | Poland — 0.1% | |
| | 710,000 | | | A- | | Poland Government International Bonds, 4.000% due 1/22/24 | | | 738,134 | |
| | | | | | | | | | |
|
| | Russia — 0.3% | |
| | | | | | Russian Federal Bonds — OFZ: | | | | |
| | 22,990,000 | RUB | | BBB | | 7.000% due 8/16/23 | | | 336,143 | |
| | 6,950,000 | RUB | | NR | | 7.750% due 9/16/26 | | | 103,778 | |
| | 31,310,000 | RUB | | BBB | | 8.150% due 2/3/27 | | | 476,791 | |
| | 116,093,000 | RUB | | BBB | | 7.050% due 1/19/28 | | | 1,643,703 | |
| | 200,000 | | | BBB-(k) | | Russian Foreign Bonds — Eurobond, 4.750% due 5/27/26 | | | 203,331 | |
| | | | | | | | | | |
| | | | | | Total Russia | | | 2,763,746 | |
| | | | | | | | | | |
|
| | Saudi Arabia — 0.0% | |
| | 200,000 | | | A1(b) | | Saudi Government International Bonds, 3.625% due 3/4/28 | | | 195,336 | |
| | | | | | | | | | |
|
| | Uruguay — 0.0% | |
| | | | | | Uruguay Government International Bonds: | | | | |
| | 70,000 | | | BBB | | 4.500% due 8/14/24 | | | 72,730 | |
| | 125,000 | | | BBB | | 4.375% due 10/27/27 | | | 129,078 | |
| | | | | | | | | | |
| | | | | | Total Uruguay | | | 201,808 | |
| | | | | | | | | | |
| | | | | | TOTAL SOVEREIGN BONDS
(Cost — $26,233,298) | | | 23,182,751 | |
| | | | | | | | | | |
|
| | ASSET-BACKED SECURITIES — 1.4% | |
|
| | Automobiles — 0.4% | |
| | 51,461 | | | AAA | | AmeriCredit Automobile Receivables Trust, Series2017-1, Class A3, 1.870% due 8/18/21 | | | 51,279 | |
| | 630,000 | | | AAA | | Credit Acceptance Auto Loan Trust, Series2018-3A, Class A, 3.550% due 8/15/27(a) | | | 635,847 | |
| | | | | | Hertz Vehicle Financing II LP: | | | | |
| | 1,500,000 | | | Aaa(b) | | Series2016-4A, Class A, 2.650% due 7/25/22(a) | | | 1,472,326 | |
| | 440,000 | | | Aaa(b) | | Series2018-1A, Class A, 3.290% due 2/25/24(a) | | | 434,949 | |
| | 970,000 | | | AAA | | Nissan Auto Receivables Owner Trust, Series2018-C, Class A3, 3.220% due 6/15/23 | | | 978,119 | |
| | | | | | | | | | |
| | | | | | Total Automobiles | | | 3,572,520 | |
| | | | | | | | | | |
|
| | Credit Cards — 0.2% | |
| | | | | | Capital One Multi-Asset Execution Trust: | | | | |
| | 740,000 | | | AAA | | Series2016-A4, Class A4, 1.330% due 6/15/22 | | | 735,734 | |
| | 830,000 | | | (P)AAA | | Series2019-A1, Class A1, 2.840% due 12/16/24 | | | 829,965 | |
| | 315,000 | | | AAA | | Citibank Credit Card Issuance Trust, Series2017-A6, Class A6, 3.264%(1-MonthUSD-LIBOR + 0.770%) due 5/14/29(c) | | | 312,243 | |
| | | | | | | | | | |
| | | | | | Total Credit Cards | | | 1,877,942 | |
| | | | | | | | | | |
|
| | Student Loans — 0.8% | |
| | 396,373 | | | AA+ | | CIT Education Loan Trust, Series2007-1, Class A, 2.912%(3-MonthUSD-LIBOR + 0.090%) due 3/25/42(a)(c) | | | 382,643 | |
| | | | | | Navient Private Education Loan Trust: | | | | |
| | 337,535 | | | AAA | | Series2014-AA, Class A2B, 3.739%(1-MonthUSD-LIBOR + 1.250%) due 2/15/29(a)(c) | | | 341,630 | |
| | 59,150 | | | AAA | | Series2014-CTA, Class A, 3.189%(1-MonthUSD-LIBOR + 0.700%) due 9/16/24(a)(c) | | | 59,255 | |
| | 500,000 | | | AAA | | Navient Student Loan Trust, Series2017-4A, Class A2, 2.990%(1-MonthUSD-LIBOR + 0.500%) due 9/27/66(a)(c) | | | 499,911 | |
| | | | | | SLM Student Loan Trust: | | | | |
| | 209,499 | | | AA+ | | Series2003-4, Class A5E, 3.538%(3-MonthUSD-LIBOR + 0.750%) due 3/15/33(a)(c) | | | 206,392 | |
| | 812,867 | | | AAA | | Series2005-5, Class A4, 2.911%(3-MonthUSD-LIBOR + 0.140%) due 10/25/28(c) | | | 809,223 | |
| | 880,000 | | | AA+ | | Series2005-5, Class A5, 3.521%(3-MonthUSD-LIBOR + 0.750%) due 10/25/40(c) | | | 875,135 | |
See Notes to Financial Statements.
173
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Student Loans — 0.8% — (continued) | |
| | | | | | SMB Private Education Loan Trust: | | | | |
| $ | 65,060 | | | AAA | | Series2015-B, Class A2A, 2.980% due 7/15/27(a) | | $ | 65,002 | |
| | 545,000 | | | AAA | | Series2015-C, Class A3, 4.439%(1-MonthUSD-LIBOR + 1.950%) due 8/16/32(a)(c) | | | 564,838 | |
| | 74,093 | | | Aaa(b) | | Series2016-A, Class A2A, 2.700% due 5/15/31(a) | | | 73,417 | |
| | 220,000 | | | AAA | | Series2017-B, Class A2A, 2.820% due 10/15/35(a) | | | 216,084 | |
| | 130,000 | | | AAA | | Series2017-B, Class A2B, 3.239%(1-MonthUSD-LIBOR + 0.750%) due 10/15/35(a)(c) | | | 130,039 | |
| | 400,000 | | | AAA | | Series2018-A, Class A2B, 3.289%(1-MonthUSD-LIBOR + 0.800%) due 2/15/36(a)(c) | | | 399,285 | |
| | 510,000 | | | Aaa(b) | | Series2018-B, Class A2A, 3.600% due 1/15/37(a) | | | 514,396 | |
| | 595,000 | | | AAA | | Series2018-C, Class A2B, 3.239%(1-MonthUSD-LIBOR + 0.750%) due 11/15/35(a)(c) | | | 592,830 | |
| | 550,000 | | | AAA | | Sofi Professional Loan Program LLC, Series2018-A, Class A2B, 2.950% due 2/25/42(a) | | | 541,934 | |
| | | | | | | | | | |
| | | | | | Total Student Loans | | | 6,272,014 | |
| | | | | | | | | | |
| | | | | | TOTAL ASSET-BACKED SECURITIES
(Cost — $11,643,335) | | | 11,722,476 | |
| | | | | | | | | | |
|
| | SENIOR LOANS — 0.7% | |
| | 135,000 | | | NR | | American Airlines Inc., (Restricted, cost — $135,506, acquired 10/5/17), 4.229%(1-MonthUSD-LIBOR + 1.750%) due 6/27/25(n) | | | 132,536 | |
| | 166,134 | | | NR | | American Builders & Contractors Supply Co., Inc., (Restricted, cost — $166,526, acquired 4/4/18), 4.493%(1-MonthUSD-LIBOR + 2.000%) due 10/31/23(n) | | | 165,339 | |
| | 50,000 | | | NR | | Asurion LLC, (Restricted, cost — $49,470, acquired 2/14/19) due 11/3/24(n)(o) | | | 50,073 | |
| | 150,000 | | | NR | | athenahealth Inc., 7.197%(3-MonthUSD-LIBOR + 4.500%) due 2/11/26 | | | 149,531 | |
| | 50,000 | | | NR | | Atlantic Aviation FBO Inc., (Restricted, cost — $49,516, acquired 11/30/18), 6.270% due 12/6/25(n) | | | 50,436 | |
| | 258,743 | | | NR | | Beacon Roofing Supply Inc., (Restricted, cost — $261,007, acquired 10/16/17), 4.767%(1-MonthUSD-LIBOR + 2.250%) due 1/2/25(n) | | | 256,965 | |
| | 24,936 | | | NR | | Berry Global Inc., (Restricted, cost — $25,010, acquired 2/12/18), 4.610%(1-MonthUSD-LIBOR + 2.000%) due 10/1/22(n) | | | 24,900 | |
| | 48,791 | | | NR | | Caesars Resort Collection LLC, (Restricted, cost — $48,913, acquired 10/4/17), 5.243%(1-MonthUSD-LIBOR + 2.750%) due 12/23/24(n) | | | 48,715 | |
| | 25,013 | | | NR | | Change Healthcare Holdings Inc., (Restricted, cost — $25,167, acquired 10/12/17), 5.243%(1-MonthUSD-LIBOR + 2.750%) due 3/1/24(n) | | | 24,863 | |
| | 53,894 | | | NR | | Charter Communications Operating LLC, (Restricted, cost — $53,837, acquired 12/14/17), 4.500%(1-MonthUSD-LIBOR + 2.000%) due 4/30/25(n) | | | 53,826 | |
| | 21,105 | | | NR | | CityCenter Holdings LLC, (Restricted, cost — $21,211, acquired 10/12/17), 4.743%(1-MonthUSD-LIBOR + 2.250%) due 4/18/24(n) | | | 20,989 | |
| | 253,837 | | | NR | | Dell International LLC, (Restricted, cost — $253,889, acquired 10/18/17), 4.500%(1-MonthUSD-LIBOR + 2.000%) due 9/7/23(n) | | | 253,334 | |
| | 1,190,000 | | | NR | | Delos Finance Sarl, (Restricted, cost — $1,200,413, acquired 8/9/17), 4.553%(3-MonthUSD-LIBOR + 1.750%) due 10/6/23(n) | | | 1,191,249 | |
| | 110,000 | | | NR | | Envision Healthcare Corp., (Restricted, cost — $109,740, acquired 9/28/18), 6.243%(1-MonthUSD-LIBOR + 3.750%) due 10/10/25(n) | | | 105,992 | |
| | 10,000 | | | NR | | First Data Corp., (Restricted, cost — $16,546, acquired 2/5/19) due 7/8/22(n)(o) | | | 9,998 | |
| | 40,000 | | | NR | | First Data Corp., (Restricted, cost — $38,938, acquired 12/13/18), 4.490%(1-MonthUSD-LIBOR + 2.000%) due 4/26/24(n) | | | 39,994 | |
| | 1,610,000 | | | NR | | Flying Fortress Holdings LLC, (Restricted, cost — $1,615,893, acquired 2/27/18), 4.553%(3-MonthUSD-LIBOR + 1.750%) due 10/30/22(n) | | | 1,611,014 | |
| | 27,496 | | | NR | | HCA Inc., (Restricted, cost — $27,702, acquired 10/19/17), 4.493%(1-MonthUSD-LIBOR + 2.000%) due 3/13/25(n) | | | 27,533 | |
| | 171,964 | | | NR | | Hilton Worldwide Finance LLC, (Restricted, cost — $171,842, acquired 8/18/16), 4.240%(1-MonthUSD-LIBOR + 1.750%) due 10/25/23(n) | | | 172,170 | |
| | 140,000 | | | NR | | Level 3 Financing Inc., (Restricted, cost — $140,438, acquired 10/6/17), 4.731%(1-MonthUSD-LIBOR + 2.250%) due 2/22/24(n) | | | 139,713 | |
| | 80,000 | | | NR | | McAfee LLC, (Restricted, cost — $80,100, acquired 2/14/19) due 9/30/24(n)(o) | | | 80,282 | |
| | 78,590 | | | NR | | MGM Growth Properties Operating Partnership LP, (Restricted, cost — $78,983, acquired 10/16/17), 4.493%(1-MonthUSD-LIBOR + 2.000%) due 3/21/25(n) | | | 78,317 | |
See Notes to Financial Statements.
174
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | SENIOR LOANS — 0.7% — (continued) | |
| $ | 98,068 | | | NR | | Michaels Stores Inc., (Restricted, cost — $98,804, acquired 9/28/16), 4.990%(1-MonthUSD-LIBOR + 2.500%) due 1/30/23(n) | | $ | 97,354 | |
| | 181,398 | | | NR | | MPH Acquisition Holdings LLC, (Restricted, cost — $183,200, acquired 10/13/17), 5.553%(3-MonthUSD-LIBOR + 2.750%) due 6/7/23(n) | | | 179,924 | |
| | 153,303 | | | NR | | Numericable U.S. LLC, (Restricted, cost — $153,027, acquired 10/6/17), 6.176%(3-MonthUSD-LIBOR + 3.000%) due 1/31/26(n) | | | 148,848 | |
| | 10,116 | | | NR | | ON Semiconductor Corp., (Restricted, cost — $10,180, acquired 10/11/17), 4.243%(1-MonthUSD-LIBOR + 1.750%) due 3/31/23(n) | | | 10,104 | |
| | 135,214 | | | NR | | Party City Holdings Inc., (Restricted, cost — $135,665, acquired 2/16/18), 5.000%(1-MonthUSD-LIBOR + 2.750%) due 8/19/22(n) | | | 135,074 | |
| | 156,372 | | | NR | | Prime Security Services Borrower LLC, (Restricted, cost — $157,936, acquired 10/4/17), 5.243%(1-MonthUSD-LIBOR + 2.750%) due 5/2/22(n) | | | 156,187 | |
| | 130,000 | | | NR | | Regionalcare Hospital Partners Holdings Inc., (Restricted, cost — $128,750, acquired 11/14/18), 6.981% due 11/16/25(n) | | | 130,054 | |
| | 145,516 | | | NR | | RPI Finance Trust, (Restricted, cost — $147,153, acquired 4/17/17), 4.493%(3-MonthUSD-LIBOR + 2.000%) due 3/27/23(n) | | | 145,470 | |
| | 262,851 | | | NR | | Scientific Games International Inc., (Restricted, cost — $265,358, acquired 2/2/18), 5.312%(1-MonthUSD-LIBOR +2.750%/2-MonthUSD-LIBOR + 2.750%) due 8/14/24(n) | | | 260,974 | |
| | 43,222 | | | NR | | Sprint Communications Inc., (Restricted, cost — $43,438, acquired 10/16/17), (2.500% —1-MonthUSD-LIBOR) due 2/2/24(n) | | | 42,772 | |
| | 56,737 | | | NR | | Trans Union LLC, (Restricted, cost — $56,808, acquired 10/18/17), 4.493%(1-MonthUSD-LIBOR + 2.000%) due 4/10/23(n) | | | 56,560 | |
| | 24,000 | | | NR | | Unitymedia Hessen GmbH & Co. KG, (Restricted, cost — $24,030, acquired 10/26/17), 4.739%(1-MonthUSD-LIBOR + 2.250%) due 9/30/25(n) | | | 23,925 | |
| | 183,485 | | | NR | | Western Digital Corp., (Restricted, cost — $185,320, acquired 10/27/17), 4.231%(1-MonthUSD-LIBOR + 1.750%) due 4/29/23(n) | | | 180,595 | |
| | | | | | | | | | |
| | | | | | TOTAL SENIOR LOANS
(Cost — $6,300,755) | | | 6,255,610 | |
| | | | | | | | | | |
|
| | MUNICIPAL BONDS — 0.4% | |
|
| | California — 0.1% | |
| | 350,000 | | | AA | | San Jose Redevelopment Successor Agency, Tax Allocation, Series A, 3.176% due 8/1/26 | | | 346,997 | |
| | | | | | University of California, Revenue Bonds: | | | | |
| | 25,000 | | | AA | | Series AD, 4.858% due 5/15/12 | | | 25,937 | |
| | 400,000 | | | AA | | Series AJ, 4.601% due 5/15/31 | | | 431,448 | |
| | 266,000 | | | AA | | Series AQ, 4.767% due 5/15/15 | | | 269,740 | |
| | | | | | | | | | |
| | | | | | Total California | | | 1,074,122 | |
| | | | | | | | | | |
|
| | Massachusetts — 0.0% | |
| | 100,000 | | | AA+ | | Massachusetts School Building Authority, Revenue Bonds, Series B, 5.000% due 10/15/41 | | | 106,785 | |
| | | | | | | | | | |
|
| | New Jersey — 0.1% | |
| | 650,000 | | | Aa3(b) | | Jersey City Municipal Utilities Authority, Revenue Bonds, Series B, 5.470% due 5/15/27 | | | 715,377 | |
| | | | | | New Jersey Transportation Trust Fund Authority, Revenue Bonds: | | | | |
| | 110,000 | | | BBB+ | | Series AA, 5.000% due 6/15/36 | | | 115,197 | |
| | 85,000 | | | BBB+ | | Series B, 6.561% due 12/15/40 | | | 104,836 | |
| | | | | | | | | | |
| | | | | | Total New Jersey | | | 935,410 | |
| | | | | | | | | | |
|
| | New York — 0.2% | |
| | 500,000 | | | AA | | City of New York, GO,Series G-1, 5.968% due 3/1/36 | | | 608,885 | |
| | 80,000 | | | AAA | | New York City Transitional Finance Authority Future Tax Secured Revenue, Revenue Bonds, 5.000% due 11/1/42 | | | 88,922 | |
| | 350,000 | | | AA+ | | New York State Dormitory Authority, Revenue Bonds, 5.289% due 3/15/33 | | | 399,553 | |
| | | | | | | | | | |
| | | | | | Total New York | | | 1,097,360 | |
| | | | | | | | | | |
See Notes to Financial Statements.
175
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Texas — 0.0% | |
| $ | 235,000 | | | A+ | | Dallas/Fort Worth International Airport, Revenue Bonds, AMT, Series A, 5.000% due 11/1/45(p) | | $ | 243,277 | |
| | | | | | | | | | |
|
| | Virginia — 0.0% | |
| | 219,093 | | | AAA | | Virginia Housing Development Authority, Revenue Bonds, Series C, 6.000% due 6/25/34 | | | 229,732 | |
| | | | | | | | | | |
| | | | | | TOTAL MUNICIPAL BONDS
(Cost — $3,703,717) | | | 3,686,686 | |
| | | | | | | | | | |
| | | |
| Shares/Units | | | | | | | | |
|
| | PREFERRED STOCK — 0.0% | |
|
| | FINANCIALS — 0.0% | |
|
| | Banks — 0.0% | |
| | 3,800 | | | | | GMAC Capital Trust I, 8.469%(3-MonthUSD-LIBOR + 5.785%) due 2/15/40(c)
(Cost — $94,240) | | | 98,762 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS
(Cost — $846,818,358) | | | 839,487,430 | |
| | | | | | | | | | |
| | | |
Face
Amount† | | | | | | | | |
|
| | SHORT-TERM INVESTMENTS (q) — 6.2% | |
|
| | CERTIFICATE OF DEPOSIT — 0.3% | |
$
|
2,250,000 |
| | | | Sumitomo Mitsui Banking Corp., 2.849% due 3/25/19(r)
(Cost — $2,250,000) | | | 2,250,000 | |
| | | | | | | | | | |
|
| | COMMERCIAL PAPERS — 0.7% | |
| | 1,920,000 | | | | | BPCE SA, (Restricted, cost — $1,919,104, acquired 12/6/18), 2.820% due 3/7/19(n)(r) | | | 1,919,104 | |
| | 560,000 | | | | | Ford Motor Credit Co. LLC, (Restricted, cost — $558,366, acquired 10/4/18), 3.138% due 4/4/19(n)(r) | | | 558,366 | |
| | 2,930,000 | | | | | Mizuho Bank Ltd., (Restricted, cost — $2,908,373, acquired 2/27/19), 2.574% due 6/13/19(n)(r) | | | 2,908,373 | |
| | | | | | | | | | |
| | | | | | TOTAL COMMERCIAL PAPERS
(Cost — $5,385,843) | | | 5,385,843 | |
| | | | | | | | | | |
|
| | MONEY MARKET FUND — 0.0% | |
| | 286,605 | | | | | Invesco STIT — Government & Agency Portfolio, 2.308%, Institutional Class(s)
(Cost — $286,605) | | | 286,605 | |
| | | | | | | | | | |
|
| | REPURCHASE AGREEMENT — 2.1% | |
| | 18,000,000 | | | | | Merrill Lynch & Co., Inc. repurchase agreement dated 2/28/19, 2.550% due 3/1/19, Proceeds at maturity — $18,001,275; (Fully collateralized by U.S. Treasury Bonds, 3.375% due 11/15/48; Market Valued — $18,548,174)(r)
(Cost — $18,000,000) | | | 18,000,000 | |
| | | | | | | | | | |
|
| | TIME DEPOSITS — 1.8% | |
| | 81,036 | EUR | | | | Citibank — London, (0.570)% due 3/1/19 | | | 92,170 | |
| | 3,970,881 | | | | | Citibank — New York, 1.750% due 3/1/19 | | | 3,970,881 | |
| | 11,417,458 | | | | | Sumitomo — Tokyo, 1.750% due 3/1/19 | | | 11,417,458 | |
| | | | | | | | | | |
| | | | | | TOTAL TIME DEPOSITS
(Cost — $15,480,509) | | | 15,480,509 | |
| | | | | | | | | | |
|
| | U.S. GOVERNMENT AGENCIES — 0.2% | |
| | | | | | Federal Home Loan Bank (FHLB): | | | | |
| | 1,050,000 | | | | | 2.386% due 3/21/19(r) | | | 1,048,620 | |
| | 610,000 | | | | | 2.413% due 4/12/19(r) | | | 608,289 | |
| | 320,000 | | | | | 2.477% due 4/15/19(r) | | | 319,018 | |
| | | | | | | | | | |
| | | | | | TOTAL U.S. GOVERNMENT AGENCIES
(Cost — $1,975,927) | | | 1,975,927 | |
| | | | | | | | | | |
See Notes to Financial Statements.
176
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | | | Security | | Value | |
|
| | U.S. GOVERNMENT OBLIGATIONS — 1.1% | |
| | | | | | U.S. Treasury Bills: | | | | |
| $ | 287,000 | | | | | 2.379% due 3/28/19(r)(t) | | $ | 286,492 | |
| | 976,000 | | | | | 2.389% due 4/9/19(r) | | | 973,483 | |
| | 7,699,000 | | | | | 2.435% due 7/25/19(r) | | | 7,623,798 | |
| | | | | | | | | | |
| | | | | | TOTAL U.S. GOVERNMENT OBLIGATIONS
(Cost — $8,883,773) | | | 8,883,773 | |
| | | | | | | | | | |
| | | | | | TOTAL SHORT-TERM INVESTMENTS
(Cost — $52,262,657) | | | 52,262,657 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS IN SECURITIES
(Cost — $899,081,015) | | | 891,750,087 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS IN PURCHASED OPTIONS
(Cost — $384,048) | | | 291,673 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS — 105.1%
(Cost — $899,465,063) | | | 892,041,760 | |
| | | | | | | | | | |
| | | | | | Liabilities in Excess of Other Assets — (5.1)% | | | (43,062,486 | ) |
| | | | | | | | | | |
| | | | | | TOTAL NET ASSETS — 100.0% | | $ | 848,979,274 | |
| | | | | | | | | | |
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
| †† | All ratings are by Standard & Poor’s Rating Service, unless otherwise noted. All ratings are unaudited. |
| (a) | Restricted security that may be sold to “qualified institutional buyers” pursuant to the conditions of Rule 144A under the Securities Act of 1933, as amended. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees, unless otherwise noted. The aggregate value of restricted 144A holdings at February 28, 2019 amounts to approximately $96,867,838 and represents 11.4% of net assets. |
| (b) | Rating by Moody’s Investors Service. All ratings are unaudited. |
| (c) | Variable rate security. Interest rate disclosed is that which was in effect at February 28, 2019. |
| (d) | Security is perpetual in nature and has no stated maturity date. |
| (e) | Security is valued in good faith at fair value by or under the direction of the Board of Trustees. |
| (g) | Security is currently in default. |
| (h) | All or a portion of this security is on loan (See Note 1). |
| (i) | This security is traded on a TBA basis (See Note 1). |
| (j) | Principal only security. |
| (k) | Rating by Fitch Ratings Service. All ratings are unaudited. |
| (l) | Interest only security. |
| (m) | Affiliated security (See Note 2). As of February 28, 2019, total cost and total market value of affiliated securities amounted to $1,349,786 and $1,358,317, respectively. |
| (n) | The aggregate value of restricted securities (excluding 144A holdings) at February 28, 2019 amounts to approximately $12,195,966 and represents 1.4% of net assets. |
| (o) | This position represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate. |
| (p) | Income from this issue is considered a preference item for purposes of calculating the alternative minimum tax (AMT). |
| (q) | Inclusive of all short-term holdings, including collateral received from securities lending activities. Excluding such collateral, the percentage of portfolio holdings would be 6.2%. |
| (r) | Rate shown representsyield-to-maturity. |
| (s) | Represents investment of collateral received from securities lending transactions. |
| (t) | All or a portion of this security is held at the broker as collateral for open future contracts. |
| # | Security that used significant unobservable inputs to determine fair value. |
See Notes to Financial Statements.
177
At February 28, 2019, for Core Fixed Income Fund the aggregate cost of investments, the aggregate gross unrealized appreciation and depreciation of all investments for federal income tax purposes were as follows:
| | | | | | | | | | | | | | | | |
| Fund | | Aggregate Cost for
Federal Income
Tax Purposes | | | Gross Unrealized
Appreciation | | | Gross Unrealized
Depreciation | | | Net Unrealized
Depreciation | |
Core Fixed Income Fund | | $ | 899,465,063 | | | $ | 14,210,938 | | | $ | (22,294,673) | | | $ | (8,083,735 | ) |
| | |
Abbreviations used in this schedule: |
| ABS | | — Asset-Based Security |
| ACES | | — Alternative Credit Enhancement Securities |
| CLO | | — Collateralized Loan Obligation |
| GO | | — General Obligation |
| ICE | | — Intercontinental Exchange |
| LIBOR | | — London Interbank Offered Rate |
| MASTR | | — Mortgage Asset Securitization Transactions Incorporation |
| PLC | | — Public Limited Company |
| REMICS | | — Real Estate Mortgage Investment Conduits |
| | | | |
| Summary of Investments by Security Type^ | | | |
Corporate Bonds & Notes | | | 32.1 | % |
Mortgage-Backed Securities | | | 26.9 | |
U.S. Government Agencies & Obligations | | | 20.3 | |
Collateralized Mortgage Obligations | | | 9.7 | |
Sovereign Bonds | | | 2.7 | |
Asset-Backed Securities | | | 1.3 | |
Senior Loans | | | 0.7 | |
Municipal Bonds | | | 0.4 | |
Preferred Stock | | | 0.0 | * |
Short-Term Investments | | | 5.9 | |
| | | | |
| | | 100.0 | % |
| | | | |
| ^ | As a percentage of total investments. |
| * | Position represents less than 0.05% |
See Notes to Financial Statements.
178
At February 28, 2019, Core Fixed Income Fund held the following Options Contracts Purchased:
Currency Options
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Number of
Contracts | | | Notional
Amount† | | | Security Name | | Counterparty | | | Expiration
Date | | | Strike Price | | | Value | |
| | 2,860,000 | | | | 4,028,625 | AUD | | OTC U.S. Dollar versus Australian Dollar, Put | | | CITI | | | | 4/2/19 | | | | AUD | | | | 0.74 | | | $ | 1,873 | |
| | 7,115,340 | | | | $7,115,340 | | | OTC U.S. Dollar versus Euro, Call | | | CITI | | | | 11/4/19 | | | | EUR | | | | 1.14 | | | | 100,184 | |
| | 3,560,000 | | | | 68,638,580 | MXN | | OTC U.S. Dollar versus Mexican Peso, Put | | | CITI | | | | 4/11/19 | | | | MXN | | | | 19.00 | | | | 17,772 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | Total Currency Options | | | | | | | | | | | | | | | | | | $ | 119,829 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Options on Futures
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Number of
Contracts | | | Notional
Amount† | | | Security Name | | Counterparty | | | Expiration
Date | | | Strike Price | | | Value | |
| | 118 | �� | | | $13,532,203 | | | U.S. Treasury5-Year Note May Futures, Put | | | GSC | | | | 4/26/19 | | | $ | 112.00 | | | $ | 2,766 | |
| | 147 | | | | 16,857,914 | | | U.S. Treasury5-Year Note May Futures, Put | | | GSC | | | | 4/26/19 | | | $ | 112.25 | | | | 4,594 | |
| | 51 | | | | 6,233,156 | | | U.S. Treasury10-Year Note April Futures, Call | | | GSC | | | | 3/22/19 | | | $ | 123.00 | | | | 4,781 | |
| | 96 | | | | 11,733,000 | | | U.S. Treasury10-Year Note April Futures, Call | | | GSC | | | | 3/22/19 | | | $ | 123.25 | | | | 6,000 | |
| | 96 | | | | 11,733,000 | | | U.S. Treasury10-Year Note April Futures, Put | | | GSC | | | | 3/22/19 | | | $ | 121.00 | | | | 9,000 | |
| | 96 | | | | 11,733,000 | | | U.S. Treasury10-Year Note April Futures, Put | | | GSC | | | | 3/22/19 | | | $ | 121.25 | | | | 13,500 | |
| | 129 | | | | 15,766,219 | | | U.S. Treasury10-Year Note April Futures, Put | | | GSC | | | | 3/22/19 | | | $ | 121.50 | | | | 26,203 | |
| | 96 | | | | 13,911,000 | | | U.S. Treasury Bond April Futures, Call | | | GSC | | | | 3/22/19 | | | $ | 147.00 | | | | 15,000 | |
| | 96 | | | | 13,911,000 | | | U.S. Treasury Bond April Futures, Call | | | GSC | | | | 3/22/19 | | | $ | 147.50 | | | | 10,500 | |
| | 96 | | | | 13,911,000 | | | U.S. Treasury Bond April Futures, Put | | | GSC | | | | 3/22/19 | | | $ | 143.00 | | | | 33,000 | |
| | 96 | | | | 13,911,000 | | | U.S. Treasury Bond April Futures, Put | | | GSC | | | | 3/22/19 | | | $ | 143.50 | | | | 46,500 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | Total Options on Futures | | | | | | | | | | | | | | $ | 171,844 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | TOTAL OPTIONS CONTRACTS PURCHASED
(Cost — $384,048) | | | | | | | | | | | | | | $ | 291,673 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
At February 28, 2019, Core Fixed Income Fund held the following Options Contracts Written:
Currency Option
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Number of
Contracts | | | Notional
Amount† | | | Security Name | | Counterparty | | | Expiration
Date | | | Strike Price | | | Value | |
| | 3,560,000 | | | | 68,638,580 | MXN | | OTC U.S. Dollar versus Mexican Peso, Call | | | CITI | | | | 4/11/19 | | | | MXN | | | | 20.00 | | | $ | 16,877 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Options on Futures
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Number of
Contracts | | | Notional
Amount† | | | Security Name | | Counterparty | | | Expiration
Date | | | Strike Price | | | Value | |
| | 32 | | | $ | 3,911,000 | | | U.S. Treasury10-Year Note April Futures, Call | | | GSC | | | | 3/22/19 | | | $ | 122.00 | | | $ | 12,500 | |
| | 32 | | | | 3,911,000 | | | U.S. Treasury10-Year Note April Futures, Call | | | GSC | | | | 3/22/19 | | | $ | 122.25 | | | | 9,000 | |
| | 163 | | | | 19,921,656 | | | U.S. Treasury10-Year Note April Futures, Call | | | GSC | | | | 3/22/19 | | | $ | 124.00 | | | | 5,094 | |
| | 32 | | | | 3,911,000 | | | U.S. Treasury10-Year Note April Futures, Put | | | GSC | | | | 3/22/19 | | | $ | 122.00 | | | | 12,500 | |
| | 32 | | | | 3,911,000 | | | U.S. Treasury10-Year Note April Futures, Put | | | GSC | | | | 3/22/19 | | | $ | 122.25 | | | | 17,000 | |
| | 32 | | | | 4,637,000 | | | U.S. Treasury Bond April Futures, Call | | | GSC | | | | 3/22/19 | | | $ | 145.00 | | | | 20,000 | |
| | 32 | | | | 4,637,000 | | | U.S. Treasury Bond April Futures, Call | | | GSC | | | | 3/22/19 | | | $ | 145.50 | | | | 14,500 | |
| | 32 | | | | 4,637,000 | | | U.S. Treasury Bond April Futures, Put | | | GSC | | | | 3/22/19 | | | $ | 145.00 | | | | 37,000 | |
| | 32 | | | | 4,637,000 | | | U.S. Treasury Bond April Futures, Put | | | GSC | | | | 3/22/19 | | | $ | 145.50 | | | | 47,500 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | Total Options on Futures | | | | | | | | | | | | | | $ | 175,094 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | TOTAL OPTIONS CONTRACTS WRITTEN
(Premiums received — $248,438) | | | | | | | | | | | | | | $ | 191,971 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
179
At February 28, 2019, Core Fixed Income Fund had open exchange-traded futures contracts as described below.
The unrealized appreciation (depreciation) on the open contracts reflected in the accompanying financial statements were as follows:
| | | | | | | | | | | | | | | | | | | | |
| Open Futures Contracts | | Number of
Contracts | | | Expiration
Date
(Month/Year) | | | Notional
Amount | | | Market Value | | | Unrealized
Appreciation/
(Depreciation) | |
| Contracts to Buy: | | | | | | | | | | | | | | | | | | | | |
90-Day Eurodollar December Futures | | | 470 | | | | 12/19 | | | $ | 114,130,148 | | | $ | 114,398,000 | | | $ | 267,852 | |
90-Day Eurodollar June Futures | | | 25 | | | | 6/20 | | | | 6,086,725 | | | | 6,092,500 | | | | 5,775 | |
90-Day Eurodollar March Futures | | | 19 | | | | 3/21 | | | | 4,628,163 | | | | 4,633,625 | | | | 5,462 | |
Euro-BTP March Futures | | | 24 | | | | 3/19 | | | | 3,359,243 | | | | 3,500,644 | | | | 141,401 | |
U.S. Treasury2-Year Note June Futures | | | 542 | | | | 6/19 | | | | 115,069,620 | | | | 115,009,859 | | | | (59,761 | ) |
U.S. Treasury5-Year Note June Futures | | | 574 | | | | 6/19 | | | | 65,867,193 | | | | 65,758,875 | | | | (108,318 | ) |
U.S. Treasury Ultra Long Bond June Futures | | | 172 | | | | 6/19 | | | | 27,816,364 | | | | 27,450,125 | | | | (366,239 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | (113,828 | ) |
| | | | | | | | | | | | | | | | | | | | |
| Contracts to Sell: | | | | | | | | | | | | | | | | | | | | |
90-Day Eurodollar March Futures | | | 62 | | | | 3/19 | | | | 15,151,250 | | | | 15,097,000 | | | | 54,250 | |
Euro FX Currency March Futures | | | 6 | | | | 3/19 | | | | 858,038 | | | | 854,513 | | | | 3,525 | |
Euro-Bund March Futures | | | 199 | | | | 3/19 | | | | 36,810,096 | | | | 37,416,694 | | | | (606,598 | ) |
Japan Government10-Year Bond March Futures | | | 5 | | | | 3/19 | | | | 6,810,209 | | | | 6,851,478 | | | | (41,269 | ) |
U.S. Treasury10-Year Note June Futures | | | 223 | | | | 6/19 | | | | 27,299,315 | | | | 27,206,000 | | | | 93,315 | |
U.S. Treasury Long Bond June Futures | | | 119 | | | | 6/19 | | | | 17,314,064 | | | | 17,191,781 | | | | 122,283 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | (374,494 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Unrealized Depreciation on Open Exchange-Traded Futures Contracts | | | | | | | | | | | | | | | | | | $ | (488,322 | ) |
| | | | | | | | | | | | | | | | | | | | |
At February 28, 2019, Core Fixed Income Fund had deposited cash of $2,250,464 with a broker or brokers as margin collateral an open exchange-traded futures contracts.
At February 28, 2019, Core Fixed Income Fund had open forward foreign currency contracts as described below.
The unrealized appreciation (depreciation) on the open contracts reflected in the accompanying financial statements were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Foreign Currency | | Local Currency | | | In Exchange
For | | | Counterparty | | | Market Value | | | Settlement
Date | | | Unrealized
Appreciation/
(Depreciation) | |
| Contracts to Buy: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Argentine Peso | | | 3,640,000 | | | | USD | | | | 82,186 | | | | CITI | | | $ | 91,061 | | | | 3/26/19 | | | $ | 8,875 | |
Argentine Peso | | | 4,360,000 | | | | USD | | | | 94,491 | | | | CITI | | | | 109,073 | | | | 3/26/19 | | | | 14,582 | |
Argentine Peso | | | 4,300,000 | | | | USD | | | | 90,166 | | | | CITI | | | | 107,263 | | | | 3/29/19 | | | | 17,097 | |
Australian Dollar | | | 2,352,090 | | | | USD | | | | 1,688,423 | | | | CITI | | | | 1,669,795 | | | | 4/17/19 | | | | (18,628 | ) |
Brazilian Real | | | 1,830,000 | | | | USD | | | | 488,717 | | | | CITI | | | | 485,737 | | | | 4/17/19 | | | | (2,980 | ) |
Brazilian Real | | | 2,510,000 | | | | USD | | | | 669,614 | | | | CITI | | | | 666,229 | | | | 4/17/19 | | | | (3,385 | ) |
Brazilian Real | | | 8,360,000 | | | | USD | | | | 2,230,267 | | | | CITI | | | | 2,218,994 | | | | 4/17/19 | | | | (11,273 | ) |
Brazilian Real | | | 9,029,000 | | | | USD | | | | 2,431,464 | | | | CITI | | | | 2,396,566 | | | | 4/17/19 | | | | (34,898 | ) |
British Pound | | | 545,347 | | | | USD | | | | 699,942 | | | | CITI | | | | 724,926 | | | | 4/17/19 | | | | 24,984 | |
Canadian Dollar | | | 8,409,607 | | | | USD | | | | 6,363,240 | | | | CITI | | | | 6,398,632 | | | | 4/17/19 | | | | 35,392 | |
Canadian Dollar | | | 3,908,040 | | | | USD | | | | 2,925,313 | | | | CITI | | | | 2,973,517 | | | | 4/17/19 | | | | 48,204 | |
Canadian Dollar | | | 1,030,000 | | | | USD | | | | 780,780 | | | | CITI | | | | 783,698 | | | | 4/17/19 | | | | 2,918 | |
Euro | | | 1,692,604 | | | | USD | | | | 1,964,734 | | | | CITI | | | | 1,932,600 | | | | 4/17/19 | | | | (32,134 | ) |
Indian Rupee | | | 127,800,000 | | | | USD | | | | 1,813,692 | | | | CITI | | | | 1,793,640 | | | | 4/16/19 | | | | (20,052 | ) |
See Notes to Financial Statements.
180
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Foreign Currency | | Local Currency | | | In Exchange
For | | | Counterparty | | | Market Value | | | Settlement
Date | | | Unrealized
Appreciation/
(Depreciation) | |
Indonesian Rupiah | | | 22,677,220,000 | | | | USD | | | | 1,613,807 | | | | CITI | | | $ | 1,604,936 | | | | 4/17/19 | | | $ | (8,871 | ) |
Indonesian Rupiah | | | 24,023,470,000 | | | | USD | | | | 1,649,907 | | | | CITI | | | | 1,700,215 | | | | 4/17/19 | | | | 50,308 | |
Japanese Yen | | | 391,128,873 | | | | USD | | | | 3,640,982 | | | | CITI | | | | 3,521,963 | | | | 4/17/19 | | | | (119,019 | ) |
Korean Won | | | 2,421,467,263 | | | | USD | | | | 2,159,518 | | | | CITI | | | | 2,154,388 | | | | 4/17/19 | | | | (5,130 | ) |
Mexican Peso | | | 65,329,736 | | | | USD | | | | 3,367,113 | | | | CITI | | | | 3,364,403 | | | | 4/17/19 | | | | (2,710 | ) |
Russian Ruble | | | 42,582,148 | | | | USD | | | | 627,639 | | | | CITI | | | | 641,690 | | | | 4/17/19 | | | | 14,051 | |
South African Rand | | | 8,680,000 | | | | USD | | | | 618,458 | | | | CITI | | | | 612,585 | | | | 4/17/19 | | | | (5,873 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | (48,542 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Contracts to Sell: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Australian Dollar | | | 1,841,071 | | | | USD | | | | 1,317,268 | | | | CITI | | | | 1,307,013 | | | | 4/17/19 | | | | 10,255 | |
Chinese Onshore Renminbi | | | 3,196,254 | | | | USD | | | | 466,389 | | | | CITI | | | | 477,456 | | | | 4/17/19 | | | | (11,067 | ) |
Chinese Onshore Renminbi | | | 26,818,047 | | | | USD | | | | 3,908,197 | | | | CITI | | | | 4,006,077 | | | | 4/17/19 | | | | (97,880 | ) |
Euro | | | 300,000 | | | | USD | | | | 340,564 | | | | CITI | | | | 342,538 | | | | 4/17/19 | | | | (1,974 | ) |
Japanese Yen | | | 395,758,511 | | | | USD | | | | 3,683,747 | | | | CITI | | | | 3,563,651 | | | | 4/17/19 | | | | 120,096 | |
Korean Won | | | 2,421,467,263 | | | | USD | | | | 2,173,298 | | | | CITI | | | | 2,154,387 | | | | 4/17/19 | | | | 18,911 | |
Mexican Peso | | | 3,569,503 | | | | USD | | | | 184,183 | | | | CITI | | | | 183,885 | | | | 4/15/19 | | | | 298 | |
Mexican Peso | | | 45,089,000 | | | | USD | | | | 2,324,810 | | | | CITI | | | | 2,322,776 | | | | 4/15/19 | | | | 2,034 | |
Mexican Peso | | | 26,247,000 | | | | USD | | | | 1,354,859 | | | | CITI | | | | 1,351,689 | | | | 4/17/19 | | | | 3,170 | |
Philippine Peso | | | 120,583,000 | | | | USD | | | | 2,283,336 | | | | CITI | | | | 2,316,082 | | | | 4/17/19 | | | | (32,746 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | 11,097 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Unrealized Depreciation on Open Forward Foreign Currency Contracts. | | | | | | | | | | | | | | | | | | | | | | | | | | $ | (37,445 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
At February 28, 2019, Core Fixed Income Fund held the following OTC Interest Rate Swap Contracts:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Pay/Receive
Floating Rate | | Floating Rate Index | | Fixed
Rate | | | Maturity
Date | | | Counterparty | | | Notional
Amount | | | Market
Value | | | Upfront
Payment
Paid | | | Unrealized
Appreciation | |
| Pay | | 3-MonthBRL-CDI-Compounded | | | 0.084% | | | | 1/2/20 | | | | CITI | | | | BRL 41,620,000 | | | $ | 285,355 | | | $ | 13,267 | | | $ | 272,088 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
At February 28, 2019, Core Fixed Income Fund held the following Centrally Cleared Interest Rate Swap Contracts:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Pay/Receive
Floating Rate | | Floating Rate Index | | Fixed
Rate | | | Maturity
Date | | | Payment
Frequency | | | Notional
Amount | | | Market
Value | | | Upfront
Payment
Paid/
(Received) | | | Unrealized
Appreciation/
(Depreciation) | |
| Pay | | 28-Day MXN TIIE Banxico | | | 7.351% | | | | 4/5/21 | | | | 28-Day | | | | MXN | | | | 15,700,000 | | | $ | (13,079 | ) | | $ | — | | | $ | (13,079 | ) |
| Pay | | 3-MonthUSD-LIBOR | | | 2.250% | | | | 5/31/22 | | | | 6-Month | | | | USD | | | | 6,201,000 | | | | (25,724 | ) | | | 11,515 | | | | (37,239 | ) |
| Receive | | 3-MonthUSD-LIBOR | | | 2.875% | | | | 5/15/44 | | | | 6-Month | | | | USD | | | | 3,256,000 | | | | 810 | | | | 10,912 | | | | (10,102 | ) |
| Pay | | 3-MonthUSD-LIBOR | | | 3.071% | | | | 11/21/21 | | | | 6-Month | | | | USD | | | | 15,125,000 | | | | 152,410 | | | | — | | | | 152,410 | |
| Receive | | 3-MonthUSD-LIBOR | | | 3.082% | | | | 11/21/24 | | | | 6-Month | | | | USD | | | | 6,220,000 | | | | (147,398 | ) | | | — | | | | (147,398 | ) |
| Receive | | 3-MonthUSD-LIBOR | | | 3.330% | | | | 2/15/44 | | | | 6-Month | | | | USD | | | | 3,948,000 | | | | (313,213 | ) | | | (2,074 | ) | | | (311,139 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | $ | (346,194 | ) | | $ | 20,353 | | | $ | (366,547 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Fund Pay
Floating Rate Index | | Fund Receive Floating Rate Index | | Maturity
Date | | | Payment
Frequency | | | Notional
Amount | | | Market
Value | | | Upfront Payment (Received) | | | Unrealized
Appreciation | |
| 3-MonthUSD-LIBOR | | U.S. Federal Funds Effective Rate Index + 0.310% | | | 3/20/24 | | | | 3-Month | | | USD | 11,871,000 | | | $ | 36,000 | | | $ | (112 | ) | | $ | 36,112 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
181
At February 28, 2019, Core Fixed Income Fund held the following Centrally Cleared Credit Default Swap Contract:
Centrally Cleared — Credit Default Swaps on Indexes — Sell Protection (1)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Obligation | | Fixed Deal
Receive Rate | | | Maturity
Date | | | Payment
Frequency | | | Implied Credit
Spread at
2/28/19 (2) | | | Notional
Amount (3) | | | Market
Value | | | Upfront
Payment
Paid | | | Unrealized
Appreciation | |
Markit CDX North America High Yield Series 315-Year Index | | | 5.000 | % | | | 12/20/23 | | | | 3-Month | | | | 3.466 | % | | | USD 2,087,400 | | | $ | 151,047 | | | $ | 51,059 | | | $ | 99,988 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (1) | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| (2) | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as ‘‘Defaulted’’ indicates a credit event has occurred for the referenced entity or obligation. |
| (3) | The maximum potential amount the Fund could be required to make as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
At February 28, 2019, Core Fixed Income Fund deposited cash collateral with brokers in the amount of $370,574 for open centrally cleared swap contracts.
| | | | | | |
Currency Abbreviations used in this schedule: | | Counterparty Abbreviations used in this schedule: |
| AUD | | — Australian Dollar | | CITI | | — Citigroup Global Markets Inc. |
| BRL | | — Brazilian Real | | GSC | | — Goldman Sachs & Co. |
| EUR | | — Euro | | | | |
| MXN | | — Mexican Peso | | | | |
| RUB | | — Russian Ruble | | | | |
See pages 260-261 for definitions of ratings.
See Notes to Financial Statements.
182
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | CORPORATE BONDS & NOTES — 87.6% | |
|
| | Advertising — 0.2% | |
| $ | 101,000 | | | B | | MDC Partners Inc., Company Guaranteed Notes, 6.500% due 5/1/24(a) | | $ | 87,996 | |
| | | | | | | | | | |
|
| | Aerospace/Defense — 0.8% | |
| | 90,000 | | | BB | | BBA US Holdings Inc., Senior Unsecured Notes, 5.375% due 5/1/26(a) | | | 91,913 | |
| | | | | | Bombardier Inc., Senior Unsecured Notes: | | | | |
| | 80,000 | | | B- | | 6.000% due 10/15/22(a)(b) | | | 80,800 | |
| | 15,000 | | | B- | | 6.125% due 1/15/23(a) | | | 15,150 | |
| | 46,000 | | | B- | | 7.875% due 4/15/27(a) | | | 45,653 | |
| | | | | | TransDigm Inc., Company Guaranteed Notes: | | | | |
| | 200,000 | | | B- | | 6.500% due 5/15/25 | | | 200,000 | |
| | 25,000 | | | B- | | 6.375% due 6/15/26 | | | 24,375 | |
| | | | | | | | | | |
| | | | | | Total Aerospace/Defense | | | 457,891 | |
| | | | | | | | | | |
|
| | Agriculture — 0.2% | |
| | 50,000 | | | BBB | | Altria Group Inc., Company Guaranteed Notes, 5.950% due 2/14/49 | | | 50,119 | |
| | 80,000 | | | B- | | Pyxus International Inc., Senior Secured Notes, 8.500% due 4/15/21(a) | | | 81,200 | |
| | | | | | | | | | |
| | | | | | Total Agriculture | | | 131,319 | |
| | | | | | | | | | |
|
| | Apparel — 0.6% | |
| | 130,000 | | | BB- | | Hanesbrands Inc., Company Guaranteed Notes, 4.875% due 5/15/26(a) | | | 128,700 | |
| | 120,000 | | | BB+ | | Levi Strauss & Co., Senior Unsecured Notes, 5.000% due 5/1/25 | | | 123,000 | |
| | 67,000 | | | BB+ | | William Carter Co (The), Company Guaranteed Notes, 5.625% due 3/15/27(a) | | | 67,000 | |
| | | | | | | | | | |
| | | | | | Total Apparel | | | 318,700 | |
| | | | | | | | | | |
|
| | Auto Manufacturers — 0.6% | |
| | 70,000 | | | Ba3(c) | | Allison Transmission Inc., Senior Unsecured Notes, 4.750% due 10/1/27(a) | | | 67,375 | |
| | 80,000 | | | BB- | | JB Poindexter & Co., Inc., Senior Unsecured Notes, 7.125% due 4/15/26(a) | | | 79,000 | |
| | 180,000 | | | B- | | Navistar International Corp., Company Guaranteed Notes, 6.625% due 11/1/25(a) | | | 186,485 | |
| | | | | | | | | | |
| | | | | | Total Auto Manufacturers | | | 332,860 | |
| | | | | | | | | | |
|
| | Auto Parts & Equipment — 0.4% | |
| | | | | | American Axle & Manufacturing Inc., Company Guaranteed Notes: | | | | |
| | 30,000 | | | B | | 6.625% due 10/15/22 | | | 30,787 | |
| | 120,000 | | | B | | 6.500% due 4/1/27 | | | 118,950 | |
| | 50,000 | | | BB | | Delphi Technologies PLC, Company Guaranteed Notes, 5.000% due 10/1/25(a) | | | 44,616 | |
| | | | | | | | | | |
| | | | | | Total Auto Parts & Equipment | | | 194,353 | |
| | | | | | | | | | |
|
| | Banks — 2.8% | |
| | | | | | CIT Group Inc.: | | | | |
| | 20,000 | | | BB+ | | Senior Unsecured Notes, 5.250% due 3/7/25 | | | 21,000 | |
| | 130,000 | | | BB | | Subordinated Notes, 6.125% due 3/9/28 | | | 141,375 | |
| | 80,000 | | | BB+ | | Citigroup Inc., Junior Subordinated Notes, 5.950%(3-MonthUSD-LIBOR + 3.905%)(d)(e) | | | 80,718 | |
| | 200,000 | | | BBB- | | Credit Agricole SA, Junior Subordinated Notes, 8.125%(5-Year USD Swap Rate + 6.185%)(a)(d)(e) | | | 223,506 | |
| | 200,000 | | | BB- | | Credit Suisse Group AG, Junior Subordinated Notes, 7.500%(5-Year USD Swap Rate + 4.600%)(a)(d)(e) | | | 205,417 | |
| | 200,000 | | | BBB+ | | Danske Bank A/S, Senior Unsecured Notes, 5.375% due 1/12/24(a) | | | 206,319 | |
| | 240,000 | | | Baa3(c) | | HSBC Holdings PLC, Junior Subordinated Notes, 6.500%(5-Year USD 1100 Run ICE Swap Rate + 3.606%)(d)(e) | | | 236,484 | |
| | 200,000 | | | B | | Royal Bank of Scotland Group PLC, Junior Subordinated Notes, 8.625%(5-Year USD Swap Rate + 7.598%)(d)(e) | | | 214,960 | |
| | 200,000 | | | BB | | UBS Group Funding Switzerland AG, Company Guaranteed Notes, 7.000%(5-Year USD Swap Rate + 4.344%)(a)(d)(e) | | | 201,900 | |
| | | | | | | | | | |
| | | | | | Total Banks | | | 1,531,679 | |
| | | | | | | | | | |
See Notes to Financial Statements.
183
| | | | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | | Security | | Value | |
|
| | Beverages — 0.1% | |
| $ | 80,000 | | | | B | | | Cott Holdings Inc., Company Guaranteed Notes, 5.500% due 4/1/25(a) | | $ | 79,300 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
|
| | Building Materials — 1.0% | |
| | 61,000 | | | | BB- | | | Builders FirstSource Inc., Senior Secured Notes, 5.625% due 9/1/24(a) | | | 59,780 | |
| | | | | | | | Standard Industries Inc., Senior Unsecured Notes: | | | | |
| | 225,000 | | | | BBB- | | | 6.000% due 10/15/25(a) | | | 235,969 | |
| | 40,000 | | | | BBB- | | | 5.000% due 2/15/27(a) | | | 38,200 | |
| | 40,000 | | | | BBB- | | | 4.750% due 1/15/28(a) | | | 37,500 | |
| | | | | | | | Summit Materials LLC/Summit Materials Finance Corp., Company Guaranteed Notes: | | | | |
| | 50,000 | | | | BB | | | 5.125% due 6/1/25(a) | | | 47,875 | |
| | 70,000 | | | | B3 | | | 6.500% due 3/15/27(a) | | | 70,000 | |
| | 40,000 | | | | BB- | | | US Concrete Inc., Company Guaranteed Notes, 6.375% due 6/1/24 | | | 39,600 | |
| | | | | | | | | | | | |
| | | | | | | | Total Building Materials | | | 528,924 | |
| | | | | | | | | | | | |
|
| | Chemicals — 1.1% | |
| | 15,000 | | | | BB- | | | Chemours Co. (The), Company Guaranteed Notes, 7.000% due 5/15/25 | | | 15,675 | |
| | 50,000 | | | | BB- | | | Nufarm Australia Ltd./Nufarm Americas Inc., Company Guaranteed Notes, 5.750% due 4/30/26(a) | | | 46,500 | |
| | 160,000 | | | | BB+ | | | Olin Corp., Senior Unsecured Notes, 5.000% due 2/1/30 | | | 156,000 | |
| | 26,000 | | | | B- | | | Tronox Inc., Company Guaranteed Notes, 6.500% due 4/15/26(a) | | | 24,700 | |
| | 340,000 | | | | BB+ | | | Valvoline Inc., Company Guaranteed Notes, 5.500% due 7/15/24 | | | 342,125 | |
| | | | | | | | | | | | |
| | | | | | | | Total Chemicals | | | 585,000 | |
| | | | | | | | | | | | |
|
| | Coal — 0.2% | |
| | 50,441 | | | | CCC | | | Murray Energy Corp., Secured Notes, 12.000% (9.000% cash or 3.000% PIK) due 4/15/24(a)(f) | | | 22,446 | |
| | 100,000 | | | | BB- | | | SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp., Company Guaranteed Notes, 7.500% due 6/15/25(a) | | | 102,000 | |
| | | | | | | | | | | | |
| | | | | | | | Total Coal | | | 124,446 | |
| | | | | | | | | | | | |
|
| | Commercial Services — 4.1% | |
| | 100,000 | | | | BB- | | | ADT Security Corp. (The), Senior Secured Notes, 4.125% due 6/15/23 | | | 98,375 | |
| | 100,000 | | | | BB | | | Brink’s Co. (The), Company Guaranteed Notes, 4.625% due 10/15/27(a) | | | 95,500 | |
| | 125,000 | | | | B | | | Carriage Services Inc., Company Guaranteed Notes, 6.625% due 6/1/26(a) | | | 128,125 | |
| | 80,000 | | | | B- | | | Flexi-Van Leasing Inc., Secured Notes, 10.000% due 2/15/23(a) | | | 68,000 | |
| | 40,000 | | | | Ba2(c) | | | FTI Consulting Inc., Senior Unsecured Notes, 2.000% due 8/15/23(a) | | | 40,250 | |
| | 175,000 | | | | B- | | | Jaguar Holding Co. II/Pharmaceutical Product Development LLC, Company Guaranteed Notes, 6.375% due 8/1/23(a) | | | 176,750 | |
| | 153,000 | | | | B- | | | Laureate Education Inc., Company Guaranteed Notes, 8.250% due 5/1/25(a) | | | 166,005 | |
| | 223,000 | | | | B- | | | Prime Security Services Borrower LLC/Prime Finance Inc., Secured Notes, 9.250% due 5/15/23(a) | | | 235,711 | |
| | | | | | | | Service Corp. International, Senior Unsecured Notes: | | | | |
| | 70,000 | | | | BB | | | 7.500% due 4/1/27 | | | 77,700 | |
| | 130,000 | | | | BB | | | 4.625% due 12/15/27 | | | 128,863 | |
| | | | | | | | ServiceMaster Co. LLC (The): | | | | |
| | 80,000 | | | | BB- | | | Company Guaranteed Notes, 5.125% due 11/15/24(a) | | | 80,600 | |
| | 320,000 | | | | B | | | Senior Unsecured Notes, 7.450% due 8/15/27 | | | 332,800 | |
| | 106,000 | | | | CCC+ | | | Team Health Holdings Inc., Company Guaranteed Notes, 6.375% due 2/1/25(a)(b) | | | 85,065 | |
| | 145,000 | | | | B | | | TMS International Corp., Senior Unsecured Notes, 7.250% due 8/15/25(a) | | | 138,837 | |
| | | | | | | | UR Financing Escrow Corp., Company Guaranteed Notes: | | | | |
| | 210,000 | | | | BB- | | | 5.875% due 9/15/26 | | | 215,512 | |
| | 30,000 | | | | BB- | | | 6.500% due 12/15/26 | | | 31,388 | |
| | 20,000 | | | | BB- | | | 5.500% due 5/15/27 | | | 20,050 | |
| | 110,000 | | | | B | | | Weight Watchers International Inc., Company Guaranteed Notes, 8.625% due 12/1/25(a) | | | 102,437 | |
| | | | | | | | | | | | |
| | | | | | | | Total Commercial Services | | | 2,221,968 | |
| | | | | | | | | | | | |
See Notes to Financial Statements.
184
| | | | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | | Security | | Value | |
|
| | Computers — 0.9% | |
| | | | | | | | Dell International LLC/EMC Corp.: | | | | |
| $ | 105,000 | | | | BB | | | Company Guaranteed Notes, 7.125% due 6/15/24(a) | | $ | 111,428 | |
| | 90,000 | | | | BBB- | | | Senior Secured Notes, 6.020% due 6/15/26(a) | | | 95,573 | |
| | 30,000 | | | | BB+ | | | Seagate HDD Cayman, Company Guaranteed Notes, 4.750% due 1/1/25 | | | 28,895 | |
| | 116,000 | | | | CCC+ | | | West Corp., Company Guaranteed Notes, 8.500% due 10/15/25(a) | | | 96,570 | |
| | | | | | | | Western Digital Corp., Company Guaranteed Notes: | | | | |
| | 20,000 | | | | Baa3(c) | | | 1.500% due 2/1/24(a) | | | 17,678 | |
| | 125,000 | | | | BB+ | | | 4.750% due 2/15/26 | | | 118,437 | |
| | | | | | | | | | | | |
| | | | | | | | Total Computers | | | 468,581 | |
| | | | | | | | | | | | |
|
| | Distribution/Wholesale — 0.2% | |
| | 89,000 | | | | B | | | KAR Auction Services Inc., Company Guaranteed Notes, 5.125% due 6/1/25(a) | | | 86,998 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
|
| | Diversified Financial Services — 1.6% | |
| | 90,000 | | | | BB- | | | Ally Financial Inc., Subordinated Notes, 5.750% due 11/20/25 | | | 95,738 | |
| | 150,000 | | | | CCC | | | ASP AMC Merger Sub Inc., Senior Unsecured Notes, 8.000% due 5/15/25(a) | | | 70,500 | |
| | 70,000 | | | | B- | | | Lions Gate Capital Holdings LLC, Company Guaranteed Notes, 5.875% due 11/1/24(a) | | | 71,225 | |
| | | | | | | | Navient Corp., Senior Unsecured Notes: | | | | |
| | 50,000 | | | | B+ | | | 8.000% due 3/25/20 | | | 52,341 | |
| | 50,000 | | | | B+ | | | 5.000% due 10/26/20 | | | 50,764 | |
| | 50,000 | | | | B+ | | | 5.875% due 3/25/21 | | | 51,125 | |
| | 50,000 | | | | B+ | | | 6.625% due 7/26/21 | | | 51,813 | |
| | 50,000 | | | | B+ | | | 5.875% due 10/25/24 | | | 48,187 | |
| | 78,000 | | | | B+ | | | 6.750% due 6/15/26 | | | 75,075 | |
| | 200,000 | | | | BB | | | Quicken Loans Inc., Company Guaranteed Notes, 5.250% due 1/15/28(a) | | | 183,000 | |
| | 100,000 | | | | B+ | | | Travelport Corporate Finance PLC, Senior Secured Notes, 6.000% due 3/15/26(a) | | | 106,250 | |
| | | | | | | | | | | | |
| | | | | | | | Total Diversified Financial Services | | | 856,018 | |
| | | | | | | | | | | | |
|
| | Electric — 1.5% | |
| | | | | | | | AES Corp., Senior Unsecured Notes: | | | | |
| | 19,000 | | | | BB+ | | | 5.500% due 4/15/25 | | | 19,641 | |
| | 195,000 | | | | BB+ | | | 6.000% due 5/15/26 | | | 206,213 | |
| | | | | | | | Calpine Corp.: | | | | |
| | 70,000 | | | | BB | | | Senior Secured Notes, 5.875% due 1/15/24(a) | | | 71,575 | |
| | 10,000 | | | | B | | | Senior Unsecured Notes, 5.500% due 2/1/24 | | | 9,662 | |
| | 152,000 | | | | BB | | | NextEra Energy Operating Partners LP, Company Guaranteed Notes, 4.500% due 9/15/27(a) | | | 145,350 | |
| | 155,000 | | | | BB | | | NRG Energy Inc., Company Guaranteed Notes, 5.750% due 1/15/28 | | | 159,650 | |
| | | | | | | | Vistra Energy Corp., Company Guaranteed Notes: | | | | |
| | 95,000 | | | | BB | | | 7.625% due 11/1/24 | | | 101,175 | |
| | 85,000 | | | | BB | | | 8.125% due 1/30/26(a) | | | 92,225 | |
| | | | | | | | | | | | |
| | | | | | | | Total Electric | | | 805,491 | |
| | | | | | | | | | | | |
|
| | Electrical Components & Equipment — 0.3% | |
| | | | | | | | Energizer Holdings Inc., Company Guaranteed Notes: | | | | |
| | 130,000 | | | | B+ | | | 6.375% due 7/15/26(a) | | | 131,625 | |
| | 34,000 | | | | B+ | | | 7.750% due 1/15/27(a) | | | 36,295 | |
| | | | | | | | | | | | |
| | | | | | | | Total Electrical Components & Equipment | | | 167,920 | |
| | | | | | | | | | | | |
|
| | Electronics — 0.0% | |
| | 25,000 | | | | BB+ | | | Resideo Funding Inc., Company Guaranteed Notes, 6.125% due 11/1/26(a) | | | 25,688 | |
| | | | | | | | | | | | |
|
| | Energy — Alternate Sources — 0.3% | |
| | | | | | | | TerraForm Power Operating LLC, Company Guaranteed Notes: | | | | |
| | 65,000 | | | | BB- | | | step bond to yield, 6.625% due 6/15/25(a) | | | 68,494 | |
| | 75,000 | | | | BB- | | | 5.000% due 1/31/28(a) | | | 71,531 | |
| | | | | | | | | | | | |
| | | | | | | | Total Energy — Alternate Sources | | | 140,025 | |
| | | | | | | | | | | | |
See Notes to Financial Statements.
185
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Engineering & Construction — 0.3% | |
| $ | 60,000 | | | B- | | frontdoor Inc., Senior Unsecured Notes, 6.750% due 8/15/26(a) | | $ | 61,125 | |
| | 110,000 | | | BB- | | TopBuild Corp., Company Guaranteed Notes, 5.625% due 5/1/26(a) | | | 106,150 | |
| | | | | | | | | | |
| | | | | | Total Engineering & Construction | | | 167,275 | |
| | | | | | | | | | |
|
| | Entertainment — 2.6% | |
| | | | | | AMC Entertainment Holdings Inc., Company Guaranteed Notes: | | | | |
| | 202,000 | | | B- | | 5.750% due 6/15/25(b) | | | 187,102 | |
| | 100,000 | | | B- | | 6.125% due 5/15/27 | | | 90,125 | |
| | 40,000 | | | B | | Boyne USA Inc., Secured Notes, 7.250% due 5/1/25(a) | | | 43,000 | |
| | 118,000 | | | B- | | Caesars Resort Collection LLC/CRC Finco Inc., Company Guaranteed Notes, 5.250% due 10/15/25(a) | | | 112,247 | |
| | 80,000 | | | BB- | | Carmike Cinemas Inc., Secured Notes, 6.000% due 6/15/23(a) | | | 82,000 | |
| | 115,000 | | | BB | | Cinemark USA Inc., Company Guaranteed Notes, 4.875% due 6/1/23 | | | 115,144 | |
| | | | | | Eldorado Resorts Inc., Company Guaranteed Notes: | | | | |
| | 160,000 | | | B | | 6.000% due 4/1/25 | | | 163,616 | |
| | 5,000 | | | B | | 6.000% due 9/15/26(a) | | | 5,113 | |
| | 200,000 | | | BB | | Merlin Entertainments PLC, Senior Unsecured Notes, 5.750% due 6/15/26(a) | | | 207,250 | |
| | | | | | Scientific Games International Inc.: | | | | |
| | 130,000 | | | B- | | Company Guaranteed Notes, 10.000% due 12/1/22 | | | 137,150 | |
| | 80,000 | | | B+ | | Senior Secured Notes, 5.000% due 10/15/25(a) | | | 77,700 | |
| | 90,000 | | | BB+ | | Speedway Motorsports Inc., Company Guaranteed Notes, 5.125% due 2/1/23 | | | 90,450 | |
| | 90,000 | | | B- | | Stars Group Holdings BV/Stars Group USCo-Borrower LLC, Company Guaranteed Notes, 7.000% due 7/15/26(a) | | | 92,250 | |
| | | | | | | | | | |
| | | | | | Total Entertainment | | | 1,403,147 | |
| | | | | | | | | | |
|
| | Environmental Control — 1.6% | |
| | 150,000 | | | B | | Advanced Disposal Services Inc., Company Guaranteed Notes, 5.625% due 11/15/24(a) | | | 152,250 | |
| | | | | | Covanta Holding Corp., Senior Unsecured Notes: | | | | |
| | 175,000 | | | B | | 5.875% due 3/1/24 | | | 179,156 | |
| | 70,000 | | | B | | 5.875% due 7/1/25 | | | 70,087 | |
| | 100,000 | | | CCC+ | | GFL Environmental Inc., Senior Unsecured Notes, 5.375% due 3/1/23(a) | | | 94,688 | |
| | 30,000 | | | CCC+ | | Hulk Finance Corp., Senior Unsecured Notes, 7.000% due 6/1/26(a) | | | 28,575 | |
| | 180,000 | | | B+ | | Tervita Escrow Corp., Secured Notes, 7.625% due 12/1/21(a) | | | 180,450 | |
| | 175,000 | | | B+ | | Waste Pro USA Inc., Senior Unsecured Notes, 5.500% due 2/15/26(a) | | | 170,625 | |
| | | | | | | | | | |
| | | | | | Total Environmental Control | | | 875,831 | |
| | | | | | | | | | |
|
| | Food — 1.4% | |
| | 150,000 | | | B- | | Dole Food Co., Inc., Senior Secured Notes, 7.250% due 6/15/25(a) | | | 134,250 | |
| | 160,000 | | | BB | | Lamb Weston Holdings Inc., Company Guaranteed Notes, 4.875% due 11/1/26(a) | | | 161,000 | |
| | 100,000 | | | BB- | | Pilgrim’s Pride Corp., Company Guaranteed Notes, 5.875% due 9/30/27(a) | | | 98,500 | |
| | 180,000 | | | B+ | | Post Holdings Inc., Company Guaranteed Notes, 5.500% due 3/1/25(a) | | | 181,125 | |
| | 205,000 | | | BB | | US Foods Inc., Company Guaranteed Notes, 5.875% due 6/15/24(a) | | | 208,844 | |
| | | | | | | | | | |
| | | | | | Total Food | | | 783,719 | |
| | | | | | | | | | |
|
| | Forest Products & Paper — 0.5% | |
| | | | | | Mercer International Inc., Senior Unsecured Notes: | | | | |
| | 175,000 | | | BB- | | 6.500% due 2/1/24 | | | 179,375 | |
| | 110,000 | | | BB- | | 5.500% due 1/15/26 | | | 105,600 | |
| | | | | | | | | | |
| | | | | | Total Forest Products & Paper | | | 284,975 | |
| | | | | | | | | | |
|
| | Gas — 0.5% | |
| | | | | | AmeriGas Partners LP/AmeriGas Finance Corp., Senior Unsecured Notes: | | | | |
| | 70,000 | | | Ba3(c) | | 5.625% due 5/20/24 | | | 71,050 | |
| | 80,000 | | | Ba3(c) | | 5.500% due 5/20/25 | | | 79,600 | |
| | 140,000 | | | B+ | | NGL Energy Partners LP/NGL Energy Finance Corp., Company Guaranteed Notes, 7.500% due 11/1/23 | | | 145,075 | |
| | | | | | | | | | |
| | | | | | Total Gas | | | 295,725 | |
| | | | | | | | | | |
See Notes to Financial Statements.
186
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Hand/Machine Tools — 0.1% | |
| | | | | | Colfax Corp., Company Guaranteed Notes: | | | | |
| $ | 39,000 | | | BB+ | | 6.000% due 2/15/24(a) | | $ | 40,316 | |
| | 32,000 | | | BB+ | | 6.375% due 2/15/26(a) | | | 33,400 | |
| | | | | | | | | | |
| | | | | | Total Hand/Machine Tools | | | 73,716 | |
| | | | | | | | | | |
|
| | Healthcare — Products — 0.7% | |
| | 30,000 | | | CCC- | | Immucor Inc., Company Guaranteed Notes, 11.125% due 2/15/22(a) | | | 30,525 | |
| | 215,000 | | | B- | | Kinetic Concepts Inc./KCI USA Inc., Secured Notes, 12.500% due 11/1/21(a) | | | 233,275 | |
| | 115,000 | | | BB | | Teleflex Inc., Company Guaranteed Notes, 4.625% due 11/15/27 | | | 114,577 | |
| | | | | | | | | | |
| | | | | | Total Healthcare — Products | | | 378,377 | |
| | | | | | | | | | |
|
| | Healthcare — Services — 6.6% | |
| | 130,000 | | | B+ | | Catalent Pharma Solutions Inc., Company Guaranteed Notes, 4.875% due 1/15/26(a) | | | 129,350 | |
| | | | | | Centene Corp., Senior Unsecured Notes: | | | | |
| | 110,000 | | | BB+ | | 4.750% due 5/15/22 | | | 112,475 | |
| | 300,000 | | | BB+ | | 6.125% due 2/15/24 | | | 314,438 | |
| | 115,000 | | | BB+ | | 5.375% due 6/1/26(a) | | | 119,600 | |
| | 90,000 | | | BB+ | | Charles River Laboratories International Inc., Company Guaranteed Notes, 5.500% due 4/1/26(a) | | | 93,825 | |
| | 100,000 | | | Caa1 | | CHS/Community Health Systems Inc., Senior Secured Notes, 8.000% due 3/15/26(a) | | | 98,683 | |
| | 100,000 | | | B+ | | DaVita Inc., Company Guaranteed Notes, 5.000% due 5/1/25 | | | 96,875 | |
| | 106,000 | | | CCC+ | | Eagle Holding Co. II LLC, Senior Unsecured Notes, 7.625% (7.625% cash or 8.375% PIK) due 5/15/22(a)(f) | | | 106,530 | |
| | 51,000 | | | B- | | Envision Healthcare Corp., Company Guaranteed Notes, 8.750% due 10/15/26(a) | | | 46,155 | |
| | 940,000 | | | NR | | Escrow Magellan Health, (Restricted, cost — $0, acquired 4/14/15), 9.750% due 5/15/20#(g)(h) | | | — | |
| | | | | | HCA Inc.: | | | | |
| | | | | | Company Guaranteed Notes: | | | | |
| | 350,000 | | | BB- | | 5.375% due 2/1/25 | | | 363,891 | |
| | 65,000 | | | BB- | | 5.375% due 9/1/26 | | | 66,788 | |
| | 265,000 | | | BB- | | 5.625% due 9/1/28 | | | 274,606 | |
| | 45,000 | | | BB- | | 5.875% due 2/1/29 | | | 47,250 | |
| | 80,000 | | | BB- | | 7.500% due 11/6/33 | | | 91,600 | |
| | 140,000 | | | BB- | | 7.500% due 11/15/95 | | | 141,400 | |
| | | | | | Senior Secured Notes: | | | | |
| | 25,000 | | | BBB- | | 5.000% due 3/15/24 | | | 26,146 | |
| | 130,000 | | | BBB- | | 5.500% due 6/15/47 | | | 135,249 | |
| | 250,000 | | | B- | | MPH Acquisition Holdings LLC, Company Guaranteed Notes, 7.125% due 6/1/24(a) | | | 251,718 | |
| | 100,000 | | | B- | | Polaris Intermediate Corp., Senior Unsecured Notes, 8.500% (8.500% cash or 9.250% PIK) due 12/1/22(a)(f) | | | 99,096 | |
| | 80,000 | | | B+ | | RegionalCare Hospital Partners Holdings Inc., Senior Secured Notes, 8.250% due 5/1/23(a) | | | 85,700 | |
| | 236,000 | | | B+ | | Syneos Health Inc./in Ventiv Health Inc./in Ventiv Health Clinical Inc., Company Guaranteed Notes, 7.500% due 10/1/24(a) | | | 247,800 | |
| | | | | | Tenet Healthcare Corp.: | | | | |
| | 60,000 | | | BB- | | Senior Secured Notes, 6.000% due 10/1/20 | | | 62,250 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 110,000 | | | CCC+ | | 8.125% due 4/1/22 | | | 117,837 | |
| | 230,000 | | | CCC+ | | 6.750% due 6/15/23 | | | 236,612 | |
| | | | | | WellCare Health Plans Inc., Senior Unsecured Notes: | | | | |
| | 170,000 | | | BB | | 5.250% due 4/1/25 | | | 174,199 | |
| | 50,000 | | | BB | | 5.375% due 8/15/26(a) | | | 51,563 | |
| | | | | | | | | | |
| | | | | | Total Healthcare — Services | | | 3,591,636 | |
| | | | | | | | | | |
See Notes to Financial Statements.
187
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Home Builders — 0.9% | |
| $ | 160,000 | | | B+ | | Century Communities Inc., Company Guaranteed Notes, 5.875% due 7/15/25 | | $ | 149,200 | |
| | | | | | Lennar Corp., Company Guaranteed Notes: | | | | |
| | 80,000 | | | BB+ | | 4.500% due 4/30/24 | | | 79,600 | |
| | 30,000 | | | BB+ | | 5.875% due 11/15/24 | | | 31,612 | |
| | 80,000 | | | BB+ | | 4.750% due 11/29/27 | | | 78,000 | |
| | | | | | William Lyon Homes Inc., Company Guaranteed Notes: | | | | |
| | 60,000 | | | B+ | | 7.000% due 8/15/22 | | | 60,300 | |
| | 70,000 | | | B+ | | 6.000% due 9/1/23 | | | 65,450 | |
| | 10,000 | | | B+ | | 5.875% due 1/31/25 | | | 9,050 | |
| | | | | | | | | | |
| | | | | | Total Home Builders | | | 473,212 | |
| | | | | | | | | | |
|
| | Household Products/Wares — 0.9% | |
| | | | | | Central Garden & Pet Co., Company Guaranteed Notes: | | | | |
| | 165,000 | | | BB | | 6.125% due 11/15/23 | | | 172,012 | |
| | 100,000 | | | BB | | 5.125% due 2/1/28 | | | 93,000 | |
| | 225,000 | | | B+ | | Spectrum Brands Inc., Company Guaranteed Notes, 5.750% due 7/15/25 | | | 221,344 | |
| | | | | | | | | | |
| | | | | | Total Household Products/Wares | | | 486,356 | |
| | | | | | | | | | |
|
| | Insurance — 0.4% | |
| | 50,000 | | | BB+ | | Fidelity & Guaranty Life Holdings Inc., Senior Unsecured Notes, 5.500% due 5/1/25(a) | | | 49,437 | |
| | 105,000 | | | CCC+ | | HUB International Ltd., Senior Unsecured Notes, 7.000% due 5/1/26(a) | | | 103,163 | |
| | 50,000 | | | BB+ | | Radian Group Inc., Senior Unsecured Notes, 4.500% due 10/1/24 | | | 48,875 | |
| | | | | | | | | | |
| | | | | | Total Insurance | | | 201,475 | |
| | | | | | | | | | |
|
| | Internet — 1.1% | |
| | 65,000 | | | CCC+ | | EIG Investors Corp., Company Guaranteed Notes, 10.875% due 2/1/24 | | | 69,712 | |
| | 80,000 | | | BB | | Match Group Inc., Senior Unsecured Notes, 6.375% due 6/1/24 | | | 84,700 | |
| | | | | | Netflix Inc., Senior Unsecured Notes: | | | | |
| | 60,000 | | | BB- | | 5.875% due 2/15/25 | | | 63,750 | |
| | 150,000 | | | BB- | | 5.875% due 11/15/28(a) | | | 156,608 | |
| | 60,000 | | | BB- | | 6.375% due 5/15/29(a) | | | 63,881 | |
| | | | | | Twitter Inc., Senior Unsecured Notes: | | | | |
| | 36,000 | | | BB-u | | 1.000% due 9/15/21 | | | 33,505 | |
| | 34,000 | | | NR | | 0.250% due 6/15/24(a) | | | 30,916 | |
| | 79,000 | | | B | | Zayo Group LLC/Zayo Capital Inc., Company Guaranteed Notes, 6.375% due 5/15/25 | | | 78,704 | |
| | | | | | | | | | |
| | | | | | Total Internet | | | 581,776 | |
| | | | | | | | | | |
|
| | Iron/Steel — 0.3% | |
| | 35,000 | | | B+ | | Allegheny Ludlum LLC, Company Guaranteed Notes, 6.950% due 12/15/25 | | | 35,962 | |
| | 120,000 | | | B | | Allegheny Technologies Inc., Senior Unsecured Notes, 7.875% due 8/15/23 | | | 131,886 | |
| | | | | | | | | | |
| | | | | | Total Iron/Steel | | | 167,848 | |
| | | | | | | | | | |
|
| | Leisure Time — 1.5% | |
| | 106,000 | | | BB+ | | NCL Corp., Ltd., Senior Unsecured Notes, 4.750% due 12/15/21(a) | | | 108,085 | |
| | 185,000 | | | BBB- | | Silversea Cruise Finance Ltd., Senior Secured Notes, 7.250% due 2/1/25(a) | | | 201,326 | |
| | 395,000 | | | B | | Viking Cruises Ltd., Company Guaranteed Notes, 5.875% due 9/15/27(a) | | | 381,669 | |
| | 130,000 | | | BB- | | VOC Escrow Ltd., Senior Secured Notes, 5.000% due 2/15/28(a) | | | 127,075 | |
| | | | | | | | | | |
| | | | | | Total Leisure Time | | | 818,155 | |
| | | | | | | | | | |
|
| | Lodging — 0.9% | |
| | 160,000 | | | BB+ | | Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., Company Guaranteed Notes, 4.875% due 4/1/27 | | | 159,800 | |
| | 20,000 | | | CCC | | Jack Ohio Finance LLC/Jack Ohio Finance 1 Corp., Secured Notes, 10.250% due 11/15/22(a) | | | 21,600 | |
| | | | | | MGM Resorts International, Company Guaranteed Notes: | | | | |
| | 175,000 | | | BB- | | 7.750% due 3/15/22 | | | 192,500 | |
| | 60,000 | | | BB- | | 5.750% due 6/15/25 | | | 61,350 | |
See Notes to Financial Statements.
188
| | | | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | | Security | | Value | |
|
| | Lodging — 0.9% — (continued) | |
| $ | 40,000 | | | | B- | | | Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP Gaming Finance Corp., Senior Secured Notes, 5.875% due 5/15/25(a) | | $ | 39,600 | |
| | 42,000 | | | | BB- | | | Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., Company Guaranteed Notes, 5.250% due 5/15/27(a) | | | 40,228 | |
| | | | | | | | | | | | |
| | | | | | | | Total Lodging | | | 515,078 | |
| | | | | | | | | | | | |
|
| | Machinery — Construction & Mining — 0.1% | |
| | 30,000 | | | | BB+ | | | BWX Technologies Inc., Company Guaranteed Notes, 5.375% due 7/15/26(a) | | | 30,750 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
|
| | Machinery — Diversified — 0.3% | |
| | 70,000 | | | | B | | | Cleaver-Brooks Inc., Senior Secured Notes, 7.875% due 3/1/23(a) | | | 68,600 | |
| | 53,000 | | | | B | | | Cloud Crane LLC, Secured Notes, 10.125% due 8/1/24(a) | | | 56,578 | |
| | 30,000 | | | | B | | | MAI Holdings Inc., (Restricted, cost — $30,000, acquired 6/14/18), Senior Secured Notes, 9.500% due 6/1/23(g) | | | 28,350 | |
| | | | | | | | | | | | |
| | | | | | | | Total Machinery — Diversified | | | 153,528 | |
| | | | | | | | | | | | |
|
| | Media — 7.9% | |
| | 710,000 | | | | B | | | Altice France SA, Senior Secured Notes, 7.375% due 5/1/26(a) | | | 698,463 | |
| | 200,000 | | | | B- | | | Altice Luxembourg SA, Company Guaranteed Notes, 7.750% due 5/15/22(a) | | | 199,500 | |
| | 110,000 | | | | NR | | | American Media LLC, Secured Notes, 10.500% due 12/31/26(a) | | | 109,725 | |
| | 325,000 | | | | B | | | Cablevision Systems Corp., Senior Unsecured Notes, 5.875% due 9/15/22 | | | 336,070 | |
| | | | | | | | CCO Holdings LLC/CCO Holdings Capital Corp., Senior Unsecured Notes: | | | | |
| | 150,000 | | | | BB | | | 5.125% due 5/1/23(a) | | | 153,015 | |
| | 205,000 | | | | BB | | | 5.875% due 4/1/24(a) | | | 213,969 | |
| | 40,000 | | | | BB | | | 5.750% due 2/15/26(a) | | | 41,288 | |
| | 110,000 | | | | BB | | | 5.125% due 5/1/27(a) | | | 108,534 | |
| | | | | | | | Charter Communications Operating LLC/Charter Communications Operating Capital, Senior Secured Notes: | | | | |
| | 60,000 | | | | BBB- | | | 4.908% due 7/23/25 | | | 62,249 | |
| | 90,000 | | | | BBB- | | | 6.484% due 10/23/45 | | | 96,931 | |
| | | | | | | | Clear Channel Worldwide Holdings Inc., Company Guaranteed Notes: | | | | |
| | 100,000 | | | | CCC+ | | | 7.625% due 3/15/20 | | | 100,425 | |
| | 75,000 | | | | B- | | | 6.500% due 11/15/22 | | | 77,062 | |
| | 11,000 | | | | CCC+ | | | 9.250% due 2/15/24(a) | | | 11,564 | |
| | | | | | | | CSC Holdings LLC: | | | | |
| | 200,000 | | | | BB | | | Company Guaranteed Notes, 6.500% due 2/1/29(a) | | | 209,627 | |
| | | | | | | | Senior Unsecured Notes: | | | | |
| | 100,000 | | | | B | | | 6.750% due 11/15/21 | | | 106,750 | |
| | 169,000 | | | | B | | | 10.875% due 10/15/25(a) | | | 196,462 | |
| | | | | | | | DISH DBS Corp., Company Guaranteed Notes: | | | | |
| | 20,000 | | | | B- | | | 6.750% due 6/1/21 | | | 20,500 | |
| | 80,000 | | | | B- | | | 5.875% due 11/15/24 | | | 67,676 | |
| | 410,000 | | | | B- | | | 7.750% due 7/1/26 | | | 355,675 | |
| | | | | | | | DISH Network Corp., Senior Unsecured Notes: | | | | |
| | 50,000 | | | | CCC+ | | | 2.375% due 3/15/24 | | | 41,623 | |
| | 15,000 | | | | CCC+ | | | 3.375% due 8/15/26 | | | 12,921 | |
| | 40,000 | | | | BB- | | | EW Scripps Co. (The), Company Guaranteed Notes, 5.125% due 5/15/25(a) | | | 38,600 | |
| | 112,000 | | | | B+ | | | Gray Television Inc., Senior Unsecured Notes, 7.000% due 5/15/27(a) | | | 118,720 | |
| | 1,124 | | | | WR(c) | | | LBI Media Inc., Secured Notes, 13.500% due 4/15/20(a)(i) | | | 67 | |
| | 10,000 | | | | BB- | | | Liberty Interactive LLC, Senior Unsecured Notes, 1.750% due 9/30/46(a) | | | 11,525 | |
| | 40,000 | | | | NR | | | Liberty Media Corp., Senior Unsecured Notes, 2.250% due 12/1/48(a) | | | 42,448 | |
| | 2,000 | | | | CCC+ | | | McGraw-Hill Global Education Holdings LLC/McGraw-Hill Global Education Finance, Senior Unsecured Notes, 7.875% due 5/15/24(a) | | | 1,618 | |
| | 80,000 | | | | B+ | | | Meredith Corp., Company Guaranteed Notes, 6.875% due 2/1/26(a) | | | 83,024 | |
See Notes to Financial Statements.
189
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Media — 7.9% — (continued) | |
| | | | | | Sirius XM Radio Inc., Company Guaranteed Notes: | | | | |
| $ | 225,000 | | | BB | | 6.000% due 7/15/24(a) | | $ | 234,000 | |
| | 8,000 | | | BB | | 5.000% due 8/1/27(a) | | | 7,850 | |
| | 70,000 | | | BBB- | | Time Warner Cable LLC, Senior Secured Notes, 7.300% due 7/1/38 | | | 78,480 | |
| | 80,000 | | | B | | Univision Communications Inc., Senior Secured Notes, 5.125% due 2/15/25(a) | | | 70,200 | |
| | 200,000 | | | BB | | UPCB Finance IV Ltd., Senior Secured Notes, 5.375% due 1/15/25(a) | | | 205,000 | |
| | 200,000 | | | BB- | | Virgin Media Secured Finance PLC, Senior Secured Notes, 5.250% due 1/15/26(a) | | | 200,958 | |
| | | | | | | | | | |
| | | | | | Total Media | | | 4,312,519 | |
| | | | | | | | | | |
|
| | Metal Fabricate/Hardware — 0.5% | |
| | 5,000 | | | CCC | | Hillman Group Inc.(The), Company Guaranteed Notes, 6.375% due 7/15/22(a) | | | 4,325 | |
| | 150,000 | | | B+ | | Novelis Corp., Company Guaranteed Notes, 5.875% due 9/30/26(a) | | | 146,625 | |
| | 109,000 | | | B | | Park-Ohio Industries Inc., Company Guaranteed Notes, 6.625% due 4/15/27 | | | 107,637 | |
| | | | | | | | | | |
| | | | | | Total Metal Fabricate/Hardware | | | 258,587 | |
| | | | | | | | | | |
|
| | Mining — 3.2% | |
| | 200,000 | | | BB+ | | Alcoa Nederland Holding BV, Company Guaranteed Notes, 6.125% due 5/15/28(a) | | | 205,250 | |
| | 100,000 | | | B | | Eldorado Gold Corp., Company Guaranteed Notes, 6.125% due 12/15/20(a) | | | 97,750 | |
| | | | | | First Quantum Minerals Ltd., Company Guaranteed Notes: | | | | |
| | 200,000 | | | B | | 7.250% due 4/1/23(a) | | | 197,250 | |
| | 200,000 | | | B | | 7.500% due 4/1/25(a) | | | 194,250 | |
| | 457,000 | | | BB | | Freeport-McMoRan Inc., Company Guaranteed Notes, 5.450% due 3/15/43 | | | 403,303 | |
| | 320,000 | | | B+ | | Hudbay Minerals Inc., Company Guaranteed Notes, 7.625% due 1/15/25(a) | | | 333,600 | |
| | 177,135 | | | WR(c) | | Midwest Vanadium Pty Ltd., Senior Secured Notes, 11.500% due 2/15/18(a)(i)(j) | | | 664 | |
| | 110,000 | | | B | | New Gold Inc., Company Guaranteed Notes, 6.375% due 5/15/25(a) | | | 89,650 | |
| | 60,000 | | | BB- | | Northwest Acquisitions ULC/Dominion Finco Inc., Secured Notes, 7.125% due 11/1/22(a) | | | 55,500 | |
| | 140,000 | | | BB+ | | Teck Resources Ltd., Company Guaranteed Notes, 6.250% due 7/15/41 | | | 146,790 | |
| | | | | | | | | | |
| | | | | | Total Mining | | | 1,724,007 | |
| | | | | | | | | | |
|
| | Miscellaneous Manufacturers — 0.1% | |
| | 80,000 | | | B | | FXI Holdings Inc., Senior Secured Notes, 7.875% due 11/1/24(a) | | | 76,800 | |
| | | | | | | | | | |
|
| | Oil & Gas — 10.5% | |
| | | | | | Antero Resources Corp., Company Guaranteed Notes: | | | | |
| | 135,000 | | | BB+ | | 5.125% due 12/1/22 | | | 135,722 | |
| | 5,000 | | | BB+ | | 5.625% due 6/1/23 | | | 5,031 | |
| | | | | | Ascent Resources Utica Holdings LLC/ARU Finance Corp., Senior Unsecured Notes: | | | | |
| | 30,000 | | | BB- | | 10.000% due 4/1/22(a) | | | 32,475 | |
| | 82,000 | | | BB- | | 7.000% due 11/1/26(a) | | | 79,540 | |
| | | | | | Berry Petroleum Co. LLC: | | | | |
| | 60,000 | | | B+ | | Company Guaranteed Notes, 7.000% due 2/15/26(a) | | | 60,150 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 310,000 | | | NR | | 6.750% due 11/1/20#(h) | | | — | |
| | 790,000 | | | NR | | 6.375% due 9/15/22#(h) | | | — | |
| | 125,000 | | | B+ | | Brazos Valley Longhorn LLC/Brazos Valley Longhorn Finance Corp., Company Guaranteed Notes, 6.875% due 2/1/25 | | | 127,344 | |
| | 70,000 | | | B+ | | Carrizo Oil & Gas Inc., Company Guaranteed Notes, 8.250% due 7/15/25 | | | 73,500 | |
| | 70,000 | | | BB- | | Centennial Resource Production LLC, Company Guaranteed Notes, 5.375% due 1/15/26(a) | | | 67,200 | |
| | | | | | Chesapeake Energy Corp., Company Guaranteed Notes: | | | | |
| | 21,000 | | | B+ | | 7.000% due 10/1/24 | | | 20,843 | |
| | 190,000 | | | B+ | | 5.500% due 9/15/26 | | | 174,501 | |
| | 60,000 | | | B+ | | 8.000% due 6/15/27 | | | 59,700 | |
| | 100,000 | | | B | | Covey Park Energy LLC/Covey Park Finance Corp., Company Guaranteed Notes, 7.500% due 5/15/25(a) | | | 93,500 | |
| | 245,000 | | | BB- | | CrownRock LP/CrownRock Finance Inc., Senior Unsecured Notes, 5.625% due 10/15/25(a) | | | 238,263 | |
| | 81,000 | | | BB- | | CVR Refining LLC/Coffeyville Finance Inc., Company Guaranteed Notes, 6.500% due 11/1/22 | | | 83,025 | |
See Notes to Financial Statements.
190
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Oil & Gas — 10.5% — (continued) | |
| | | | | | Diamondback Energy Inc., Company Guaranteed Notes: | | | | |
| $ | 50,000 | | | BB+ | | 4.750% due 11/1/24 | | $ | 50,813 | |
| | 10,000 | | | BB+ | | 4.750% due 11/1/24(a) | | | 10,162 | |
| | 280,000 | | | BB+ | | 5.375% due 5/31/25 | | | 290,500 | |
| | | | | | Endeavor Energy Resources LP/EER Finance Inc., Senior Unsecured Notes: | | | | |
| | 57,000 | | | BB- | | 5.500% due 1/30/26(a) | | | 59,921 | |
| | 278,000 | | | BB- | | 5.750% due 1/30/28(a) | | | 297,460 | |
| | 30,000 | | | B | | EP Energy LLC/Everest Acquisition Finance Inc., Senior Secured Notes, 7.750% due 5/15/26(a) | | | 26,700 | |
| | | | | | Extraction Oil & Gas Inc., Company Guaranteed Notes: | | | | |
| | 140,000 | | | B | | 7.375% due 5/15/24(a) | | | 126,000 | |
| | 245,000 | | | B | | 5.625% due 2/1/26(a) | | | 204,575 | |
| | 120,000 | | | B | | Great Western Petroleum LLC/Great Western Finance Corp., Senior Unsecured Notes, 9.000% due 9/30/21(a) | | | 103,800 | |
| | 125,000 | | | BB- | | Gulfport Energy Corp., Company Guaranteed Notes, 6.625% due 5/1/23 | | | 123,125 | |
| | 50,000 | | | BB+ | | Hilcorp Energy I LP/Hilcorp Finance Co., Senior Unsecured Notes, 6.250% due 11/1/28(a) | | | 49,250 | |
| | 12,000 | | | B | | Jagged Peak Energy LLC, Company Guaranteed Notes, 5.875% due 5/1/26(a) | | | 12,184 | |
| | 90,000 | | | BB- | | Matador Resources Co., Company Guaranteed Notes, 5.875% due 9/15/26 | | | 90,000 | |
| | | | | | MEG Energy Corp.: | | | | |
| | 120,000 | | | BB- | | Company Guaranteed Notes, 7.000% due 3/31/24(a) | | | 110,400 | |
| | 30,000 | | | BB | | Secured Notes, 6.500% due 1/15/25(a) | | | 29,587 | |
| | 170,000 | | | BB+ | | Murphy Oil USA Inc., Company Guaranteed Notes, 5.625% due 5/1/27 | | | 172,125 | |
| | 31,000 | | | BB | | Nabors Industries Inc., Company Guaranteed Notes, 5.750% due 2/1/25 | | | 27,590 | |
| | 150,375 | | | B+ | | Northern Oil & Gas Inc., Secured Notes, 9.500% (8.500% cash or 1.000% PIK) due 5/15/23(f) | | | 154,886 | |
| | | | | | Oasis Petroleum Inc., Company Guaranteed Notes: | | | | |
| | 77,000 | | | BB- | | 6.875% due 1/15/23 | | | 76,711 | |
| | 110,000 | | | BB- | | 6.250% due 5/1/26(a)(b) | | | 105,050 | |
| | | | | | Parsley Energy LLC/Parsley Finance Corp., Company Guaranteed Notes: | | | | |
| | 105,000 | | | BB- | | 5.250% due 8/15/25(a) | | | 104,443 | |
| | 65,000 | | | BB- | | 5.625% due 10/15/27(a) | | | 64,675 | |
| | | | | | PBF Holding Co. LLC/PBF Finance Corp., Company Guaranteed Notes: | | | | |
| | 135,000 | | | BB | | 7.000% due 11/15/23 | | | 138,712 | |
| | 173,000 | | | BB | | 7.250% due 6/15/25 | | | 178,277 | |
| | | | | | Petrobras Global Finance BV, Company Guaranteed Notes: | | | | |
| | 100,000 | | | BB- | | 7.375% due 1/17/27 | | | 110,100 | |
| | 20,000 | | | BB- | | 5.750% due 2/1/29 | | | 19,987 | |
| | 55,000 | | | BB | | Precision Drilling Corp., Company Guaranteed Notes, 7.125% due 1/15/26(a) | | | 54,313 | |
| | 30,000 | | | B | | Pride International LLC, Company Guaranteed Notes, 7.875% due 8/15/40 | | | 24,450 | |
| | 33,000 | | | BB- | | QEP Resources Inc., Senior Unsecured Notes, 5.625% due 3/1/26 | | | 31,103 | |
| | 60,000 | | | BB+ | | Range Resources Corp., Company Guaranteed Notes, 5.000% due 3/15/23 | | | 58,200 | |
| | 185,000 | | | BB | | Seven Generations Energy Ltd., Company Guaranteed Notes, 5.375% due 9/30/25(a) | | | 178,756 | |
| | 240,000 | | | B- | | Shelf Drilling Holdings Ltd., Company Guaranteed Notes, 8.250% due 2/15/25(a) | | | 230,100 | |
| | | | | | SM Energy Co., Senior Unsecured Notes: | | | | |
| | 130,000 | | | BB- | | 6.750% due 9/15/26(b) | | | 125,125 | |
| | 35,000 | | | BB- | | 6.625% due 1/15/27 | | | 33,513 | |
| | | | | | Sunoco LP/Sunoco Finance Corp., Company Guaranteed Notes: | | | | |
| | 110,000 | | | BB- | | 4.875% due 1/15/23 | | | 111,650 | |
| | 48,000 | | | BB- | | 5.500% due 2/15/26 | | | 47,798 | |
| | 80,000 | | | B+ | | Teine Energy Ltd., Senior Unsecured Notes, 6.875% due 9/30/22(a) | | | 80,800 | |
| | 89,775 | | | B+ | | Transocean Guardian Ltd., Senior Secured Notes, 5.875% due 1/15/24(a) | | | 91,683 | |
| | | | | | Transocean Inc., Company Guaranteed Notes: | | | | |
| | 2,000 | | | B | | 9.000% due 7/15/23(a) | | | 2,117 | |
| | 84,000 | | | B | | 7.250% due 11/1/25(a) | | | 80,640 | |
| | 64,000 | | | B | | 7.500% due 1/15/26(a) | | | 62,080 | |
| | 80,000 | | | B- | | 6.800% due 3/15/38 | | | 60,800 | |
| | 94,500 | | | B+ | | Transocean Pontus Ltd., Senior Secured Notes, 6.125% due 8/1/25(a) | | | 95,918 | |
See Notes to Financial Statements.
191
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Oil & Gas — 10.5% — (continued) | |
| | | | | | Whiting Petroleum Corp., Company Guaranteed Notes: | | | | |
| $ | 30,000 | | | BB | | 5.750% due 3/15/21 | | $ | 30,525 | |
| | 170,000 | | | BB | | 6.625% due 1/15/26 | | | 167,450 | |
| | | | | | WPX Energy Inc., Senior Unsecured Notes: | | | | |
| | 130,000 | | | BB- | | 8.250% due 8/1/23 | | | 146,412 | |
| | 30,000 | | | BB- | | 5.750% due 6/1/26 | | | 30,300 | |
| | | | | | | | | | |
| | | | | | Total Oil & Gas | | | 5,731,560 | |
| | | | | | | | | | |
|
| | Oil & Gas Services — 0.2% | |
| | 25,000 | | | B | | Nine Energy Service Inc., Senior Unsecured Notes, 8.750% due 11/1/23(a) | | | 25,125 | |
| | | | | | Weatherford International Ltd., Company Guaranteed Notes: | | | | |
| | 55,000 | | | CCC- | | 8.250% due 6/15/23 | | | 39,463 | |
| | 55,000 | | | CCC- | | 9.875% due 2/15/24(b) | | | 39,875 | |
| | | | | | | | | | |
| | | | | | Total Oil & Gas Services | | | 104,463 | |
| | | | | | | | | | |
|
| | Packaging & Containers — 2.6% | |
| | | | | | Ardagh Packaging Finance PLC/Ardagh Holdings USA Inc., Company Guaranteed Notes: | | | | |
| | 200,000 | | | B | | 7.250% due 5/15/24(a) | | | 208,440 | |
| | 200,000 | | | B | | 6.000% due 2/15/25(a) | | | 198,000 | |
| | | | | | Berry Global Inc., Secured Notes: | | | | |
| | 75,000 | | | BB+ | | 5.125% due 7/15/23 | | | 75,375 | |
| | 123,000 | | | BB+ | | 4.500% due 2/15/26(a) | | | 116,696 | |
| | 47,000 | | | CCC+ | | BWAY Holding Co., Senior Unsecured Notes, 7.250% due 4/15/25(a) | | | 44,768 | |
| | 160,000 | | | BB- | | Crown Americas LLC / Crown Americas Capital Corp. VI, Company Guaranteed Notes, 4.750% due 2/1/26 | | | 160,900 | |
| | 25,000 | | | BB- | | Crown Americas LLC/Crown Americas Capital Corp. V, Company Guaranteed Notes, 4.250% due 9/30/26 | | | 24,156 | |
| | 80,000 | | | CCC+ | | Flex Acquisition Co., Inc., Senior Unsecured Notes, 7.875% due 7/15/26(a) | | | 76,800 | |
| | 90,000 | | | BB- | | Greif Inc., Company Guaranteed Notes, 6.500% due 3/1/27(a) | | | 91,924 | |
| | | | | | Pactiv LLC, Senior Unsecured Notes: | | | | |
| | 40,000 | | | B- | | 7.950% due 12/15/25 | | | 39,150 | |
| | 90,000 | | | B- | | 8.375% due 4/15/27 | | | 89,775 | |
| | 255,000 | | | B- | | Reynolds Group Issuer Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu, Company Guaranteed Notes, 7.000% due 7/15/24(a) | | | 261,216 | |
| | | | | | | | | | |
| | | | | | Total Packaging & Containers | | | 1,387,200 | |
| | | | | | | | | | |
|
| | Pharmaceuticals — 4.4% | |
| | | | | | Bausch Health Americas Inc., Company Guaranteed Notes: | | | | |
| | 40,000 | | | B- | | 9.250% due 4/1/26(a) | | | 43,200 | |
| | 190,000 | | | B- | | 8.500% due 1/31/27(a) | | | 197,838 | |
| | | | | | Bausch Health Cos., Inc.: | | | | |
| | | | | | Company Guaranteed Notes: | | | | |
| | 19,000 | | | B- | | 5.625% due 12/1/21(a) | | | 19,040 | |
| | 27,000 | | | B- | | 5.500% due 3/1/23(a) | | | 26,966 | |
| | 125,000 | | | B- | | 6.125% due 4/15/25(a) | | | 120,625 | |
| | 100,000 | | | B- | | 9.000% due 12/15/25(a) | | | 107,500 | |
| | | | | | Senior Secured Notes: | | | | |
| | 323,000 | | | BB- | | 7.000% due 3/15/24(a) | | | 341,169 | |
| | 227,000 | | | BB- | | 5.500% due 11/1/25(a) | | | 229,838 | |
| | 17,000 | | | BB- | | 5.750% due 8/15/27(a) | | | 17,191 | |
| | 649,000 | | | B- | | BioScrip Inc. First Lien Notes, (Restricted, cost — $644,889, acquired 6/26/17), Senior Secured Notes, 8.875% due 8/15/20(d)(g)(h)(j) | | | 678,205 | |
| | | | | | Endo Finance LLC/Endo Finco Inc., Company Guaranteed Notes: | | | | |
| | 50,000 | | | CCC+ | | 7.250% due 1/15/22(a) | | | 48,234 | |
| | 40,000 | | | CCC+ | | 5.375% due 1/15/23(a) | | | 33,175 | |
See Notes to Financial Statements.
192
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Pharmaceuticals — 4.4% — (continued) | |
| $ | 60,000 | | | BB- | | HLF Financing Sarl LLC/Herbalife International Inc., Company Guaranteed Notes, 7.250% due 8/15/26(a) | | $ | 61,278 | |
| | 140,000 | | | CCC+ | | NVA Holdings Inc., Company Guaranteed Notes, 6.875% due 4/1/26(a) | | | 135,800 | |
| | | | | | Teva Pharmaceutical Finance Netherlands III BV, Company Guaranteed Notes: | | | | |
| | 80,000 | | | BB | | 2.200% due 7/21/21 | | | 76,064 | |
| | 20,000 | | | BB | | 2.800% due 7/21/23 | | | 18,120 | |
| | 195,000 | | | B- | | Vizient Inc., Senior Unsecured Notes, 10.375% due 3/1/24(a) | | | 211,331 | |
| | | | | | | | | | |
| | | | | | Total Pharmaceuticals | | | 2,365,574 | |
| | | | | | | | | | |
|
| | Pipelines — 3.5% | |
| | | | | | Antero Midstream Partners LP/Antero Midstream Finance Corp.: | | | | |
| | 90,000 | | | BB+ | | Company Guaranteed Notes, 5.375% due 9/15/24 | | | 90,450 | |
| | 57,000 | | | BB+ | | Senior Unsecured Notes, 5.750% due 3/1/27(a) | | | 57,570 | |
| | | | | | Blue Racer Midstream LLC/Blue Racer Finance Corp.: | | | | |
| | 100,000 | | | B | | Company Guaranteed Notes, 6.125% due 11/15/22(a) | | | 101,875 | |
| | 80,000 | | | B | | Senior Unsecured Notes, 6.625% due 7/15/26(a) | | | 82,000 | |
| | | | | | Cheniere Corpus Christi Holdings LLC, Senior Secured Notes: | | | | |
| | 200,000 | | | BB | | 7.000% due 6/30/24 | | | 222,000 | |
| | 100,000 | | | BB | | 5.125% due 6/30/27 | | | 102,250 | |
| | 20,000 | | | NR | | Cheniere Energy Inc., Senior Unsecured Notes, 4.250% due 3/15/45 | | | 15,312 | |
| | 80,000 | | | BB | | Cheniere Energy Partners LP, Senior Secured Notes, 5.250% due 10/1/25 | | | 81,300 | |
| | 80,000 | | | BB | | DCP Midstream Operating LP, Company Guaranteed Notes, 6.750% due 9/15/37(a) | | | 82,000 | |
| | | | | | Energy Transfer Operating LP, Company Guaranteed Notes: | | | | |
| | 20,000 | | | BBB- | | 4.500% due 4/15/24 | | | 20,582 | |
| | 20,000 | | | BBB- | | 5.250% due 4/15/29 | | | 20,901 | |
| | 110,000 | | | B+ | | Genesis Energy LP/Genesis Energy Finance Corp., Company Guaranteed Notes, 6.000% due 5/15/23 | | | 110,549 | |
| | 80,000 | | | BBB- | | NGPL PipeCo LLC, Senior Unsecured Notes, 7.768% due 12/15/37(a) | | | 95,900 | |
| | 100,000 | | | BB | | Plains All American Pipeline LP, Junior Subordinated Notes, 6.125%(3-MonthUSD-LIBOR + 4.110%)(d)(e) | | | 92,603 | |
| | | | | | Rockies Express Pipeline LLC, Senior Unsecured Notes: | | | | |
| | 90,000 | | | BBB- | | 7.500% due 7/15/38(a) | | | 102,150 | |
| | 130,000 | | | BBB- | | 6.875% due 4/15/40(a) | | | 140,075 | |
| | | | | | Targa Resources Partners LP/Targa Resources Partners Finance Corp., Company Guaranteed Notes: | | | | |
| | 60,000 | | | BB | | 4.250% due 11/15/23 | | | 59,400 | |
| | 80,000 | | | BB | | 5.875% due 4/15/26(a) | | | 83,600 | |
| | 43,000 | | | BB | | 6.500% due 7/15/27(a) | | | 45,580 | |
| | 68,000 | | | BB | | 6.875% due 1/15/29(a) | | | 72,548 | |
| | 150,000 | | | BBB | | Williams Cos., Inc. (The), Senior Unsecured Notes, 8.750% due 3/15/32 | | | 202,015 | |
| | | | | | | | | | |
| | | | | | Total Pipelines | | | 1,880,660 | |
| | | | | | | | | | |
|
| | Private Equity — 0.2% | |
| | 125,000 | | | BB+ | | Icahn Enterprises LP/Icahn Enterprises Finance Corp., Company Guaranteed Notes, 6.250% due 2/1/22 | | | 129,038 | |
| | | | | | | | | | |
|
| | Real Estate — 1.0% | |
| | 194,000 | | | B | | Five Point Operating Co. LP/Five Point Capital Corp., Company Guaranteed Notes, 7.875% due 11/15/25(a) | | | 188,423 | |
| | 205,000 | | | BB- | | Greystar Real Estate Partners LLC, Senior Secured Notes, 5.750% due 12/1/25(a) | | | 206,492 | |
| | 80,000 | | | BB- | | Hunt Cos., Inc., Senior Secured Notes, 6.250% due 2/15/26(a) | | | 74,600 | |
| | 80,000 | | | B+ | | WeWork Cos., Inc., Company Guaranteed Notes, 7.875% due 5/1/25(a) | | | 74,668 | |
| | | | | | | | | | |
| | | | | | Total Real Estate | | | 544,183 | |
| | | | | | | | | | |
See Notes to Financial Statements.
193
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Real Estate Investment Trusts (REITs) — 1.7% | |
| | | | | | CoreCivic Inc., Company Guaranteed Notes: | | | | |
| $ | 50,000 | | | BB | | 5.000% due 10/15/22 | | $ | 49,750 | |
| | 90,000 | | | BB | | 4.750% due 10/15/27 | | | 78,638 | |
| | 60,000 | | | BB | | CTR Partnership LP/CareTrust Capital Corp., Company Guaranteed Notes, 5.250% due 6/1/25 | | | 60,450 | |
| | 80,000 | | | BB- | | ESH Hospitality Inc., Company Guaranteed Notes, 5.250% due 5/1/25(a) | | | 79,800 | |
| | | | | | GEO Group Inc. (The), Company Guaranteed Notes: | | | | |
| | 110,000 | | | B+ | | 5.125% due 4/1/23 | | | 104,912 | |
| | 20,000 | | | B+ | | 6.000% due 4/15/26 | | | 18,625 | |
| | 120,000 | | | BBB- | | GLP Capital LP/GLP Financing II Inc., Company Guaranteed Notes, 5.750% due 6/1/28 | | | 124,979 | |
| | | | | | MGM Growth Properties Operating Partnership LP/MGP Finance Co.-Issuer Inc., Company Guaranteed Notes; | | | | |
| | 80,000 | | | BB- | | 4.500% due 9/1/26 | | | 77,066 | |
| | 23,000 | | | BB- | | 5.750% due 2/1/27(a) | | | 23,575 | |
| | 50,000 | | | BBB- | | MPT Operating Partnership LP/MPT Finance Corp., Company Guaranteed Notes, 5.000% due 10/15/27 | | | 49,750 | |
| | 16,000 | | | BB- | | RHP Hotel Properties LP/RHP Finance Corp., Company Guaranteed Notes, 5.000% due 4/15/23 | | | 16,160 | |
| | 201,754 | | | BB | | VICI Properties 1 LLC/VICI FC Inc., Secured Notes, 8.000% due 10/15/23 | | | 221,425 | |
| | | | | | | | | | |
| | | | | | Total Real Estate Investment Trusts (REITs) | | | 905,130 | |
| | | | | | | | | | |
|
| | Retail — 2.8% | |
| | | | | | 1011778 BC ULC/New Red Finance Inc.: | | | | |
| | 232,000 | | | B- | | Secured Notes, 5.000% due 10/15/25(a) | | | 225,185 | |
| | 50,000 | | | B+ | | Senior Secured Notes, 4.250% due 5/15/24(a) | | | 48,813 | |
| | 100,000 | | | B+ | | Beacon Roofing Supply Inc., Company Guaranteed Notes, 4.875% due 11/1/25(a) | | | 93,469 | |
| | 60,000 | | | BB+ | | Brinker International Inc., Company Guaranteed Notes, 5.000% due 10/1/24(a) | | | 58,050 | |
| | 100,000 | | | B- | | Carrols Restaurant Group Inc., Secured Notes, 8.000% due 5/1/22 | | | 102,750 | |
| | 80,000 | | | BB | | FirstCash Inc., Company Guaranteed Notes, 5.375% due 6/1/24(a) | | | 81,424 | |
| | | | | | Golden Nugget Inc.: | | | | |
| | 225,000 | | | CCC+ | | Company Guaranteed Notes, 8.750% due 10/1/25(a) | | | 232,313 | |
| | 100,000 | | | CCC+ | | Senior Unsecured Notes, 6.750% due 10/15/24(a) | | | 100,750 | |
| | 160,000 | | | BB | | L Brands Inc., Company Guaranteed Notes, 5.250% due 2/1/28 | | | 138,600 | |
| | | | | | Party City Holdings Inc., Company Guaranteed Notes: | | | | |
| | 25,000 | | | B- | | 6.125% due 8/15/23(a) | | | 25,406 | |
| | 105,000 | | | B- | | 6.625% due 8/1/26(a)(b) | | | 103,425 | |
| | 150,000 | | | BB+ | | Reliance Intermediate Holdings LP, Senior Secured Notes, 6.500% due 4/1/23(a) | | | 155,250 | |
| | 70,000 | | | BB- | | Sally Holdings LLC/Sally Capital Inc., Company Guaranteed Notes, 5.625% due 12/1/25 | | | 68,862 | |
| | 70,000 | | | BB- | | Suburban Propane Partners LP/Suburban Energy Finance Corp., Senior Unsecured Notes, 5.875% due 3/1/27 | | | 66,325 | |
| | | | | | | | | | |
| | | | | | Total Retail | | | 1,500,622 | |
| | | | | | | | | | |
|
| | Semiconductors — 0.5% | |
| | 10,000 | | | NR | | Cree Inc., Senior Unsecured Notes, 0.875% due 9/1/23(a) | | | 11,144 | |
| | 75,000 | | | BB | | Entegris Inc., Company Guaranteed Notes, 4.625% due 2/10/26(a) | | | 74,062 | |
| | 70,000 | | | BB+ | | Qorvo Inc, Company Guaranteed Notes, 5.500% due 7/15/26(a) | | | 71,400 | |
| | 100,000 | | | BB+ | | Sensata Technologies UK Financing Co. PLC, Company Guaranteed Notes, 6.250% due 2/15/26(a) | | | 105,875 | |
| | | | | | | | | | |
| | | | | | Total Semiconductors | | | 262,481 | |
| | | | | | | | | | |
|
| | Software — 1.9% | |
| | 97,000 | | | CCC+ | | Camelot Finance SA, Senior Unsecured Notes, 7.875% due 10/15/24(a) | | | 101,754 | |
| | | | | | CDK Global Inc., Senior Unsecured Notes: | | | | |
| | 80,000 | | | BB+ | | 5.875% due 6/15/26 | | | 82,600 | |
| | 70,000 | | | BB+ | | 4.875% due 6/1/27 | | | 69,140 | |
| | 80,000 | | | B | | Donnelley Financial Solutions Inc., Company Guaranteed Notes, 8.250% due 10/15/24 | | | 79,900 | |
| | 350,000 | | | B+ | | First Data Corp., Secured Notes, 5.750% due 1/15/24(a) | | | 361,620 | |
See Notes to Financial Statements.
194
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Software — 1.9% — (continued) | |
| $ | 215,000 | | | BB | | j2 Cloud Services LLC/j2 GlobalCo-Obligor Inc., Company Guaranteed Notes, 6.000% due 7/15/25(a) | | $ | 221,553 | |
| | 175,000 | | | CCC+ | | Riverbed Technology Inc., Company Guaranteed Notes, 8.875% due 3/1/23(a) | | | 122,062 | |
| | | | | | | | | | |
| | | | | | Total Software | | | 1,038,629 | |
| | | | | | | | | | |
|
| | Telecommunications — 6.0% | |
| | | | | | CenturyLink Inc., Senior Unsecured Notes: | | | | |
| | 50,000 | | | B+ | | 6.450% due 6/15/21 | | | 52,060 | |
| | 99,000 | | | B+ | | 6.750% due 12/1/23(b) | | | 103,053 | |
| | 22,000 | | | B+ | | CommScope Finance LLC, Senior Unsecured Notes, 8.250% due 3/1/27(a) | | | 22,880 | |
| | | | | | CommScope Technologies LLC, Company Guaranteed Notes: | | | | |
| | 224,000 | | | BB- | | 6.000% due 6/15/25(a) | | | 212,240 | |
| | 60,000 | | | BB- | | 5.000% due 3/15/27(a) | | | 53,868 | |
| | 30,000 | | | NR | | GCI Liberty Inc., Senior Unsecured Notes, 1.750% due 9/30/46(a) | | | 32,924 | |
| | 120,000 | | | BB- | | Hughes Satellite Systems Corp., Company Guaranteed Notes, 6.625% due 8/1/26 | | | 118,350 | |
| | | | | | Intelsat Jackson Holdings SA: | | | | |
| | | | | | Company Guaranteed Notes: | | | | |
| | 120,000 | | | CCC+ | | 5.500% due 8/1/23 | | | 110,100 | |
| | 51,000 | | | CCC+ | | 8.500% due 10/15/24(a) | | | 51,750 | |
| | 150,000 | | | B | | Senior Secured Notes, 8.000% due 2/15/24(a) | | | 156,938 | |
| | | | | | Level 3 Financing Inc., Company Guaranteed Notes: | | | | |
| | 100,000 | | | BB | | 5.125% due 5/1/23 | | | 101,009 | |
| | 40,000 | | | BB | | 5.375% due 1/15/24 | | | 40,300 | |
| | 90,000 | | | BB | | 5.250% due 3/15/26 | | | 88,425 | |
| | 10,000 | | | B+ | | Level 3 Parent LLC, Senior Unsecured Notes, 5.750% due 12/1/22 | | | 10,138 | |
| | | | | | Sprint Capital Corp., Company Guaranteed Notes: | | | | |
| | 150,000 | | | B | | 6.875% due 11/15/28 | | | 148,406 | |
| | 105,000 | | | B | | 8.750% due 3/15/32 | | | 114,122 | |
| | | | | | Sprint Communications Inc., Senior Unsecured Notes: | | | | |
| | 230,000 | | | B | | 11.500% due 11/15/21 | | | 269,054 | |
| | 15,000 | | | B | | 6.000% due 11/15/22 | | | 15,255 | |
| | | | | | Sprint Corp., Company Guaranteed Notes: | | | | |
| | 150,000 | | | B | | 7.250% due 9/15/21 | | | 158,812 | |
| | 180,000 | | | B | | 7.875% due 9/15/23 | | | 193,097 | |
| | 280,000 | | | B | | 7.625% due 3/1/26 | | | 291,200 | |
| | 240,000 | | | BB+ | | Telecom Italia SpA, Senior Unsecured Notes, 5.303% due 5/30/24(a) | | | 235,500 | |
| | | | | | T-Mobile USA Inc., Company Guaranteed Notes: | | | | |
| | 460,000 | | | BB+ | | 6.500% due 1/15/26 | | | 492,775 | |
| | 45,000 | | | BB+ | | 4.500% due 2/1/26 | | | 44,493 | |
| | 60,000 | | | BB+ | | 4.750% due 2/1/28 | | | 58,494 | |
| | 140,000 | | | D | | Windstream Services LLC/Windstream Finance Corp., Secured Notes, 10.500% due 6/30/24(a)(i)(j) | | | 91,700 | |
| | | | | | | | | | |
| | | | | | Total Telecommunications | | | 3,266,943 | |
| | | | | | | | | | |
|
| | Toys/Games/Hobbies — 0.1% | |
| | 44,000 | | | BB- | | Mattel Inc., Company Guaranteed Notes, 6.750% due 12/31/25(a) | | | 43,395 | |
| | | | | | | | | | |
|
| | Transportation — 1.5% | |
| | | | | | Con-Way Inc., Company Guaranteed Notes: | | | | |
| | 38,000 | | | BB | | 6.500% due 6/15/22(a) | | | 38,808 | |
| | 260,000 | | | BB | | 6.125% due 9/1/23(a) | | | 260,325 | |
| | 140,000 | | | B- | | Navios Maritime Acquisition Corp./Navios Acquisition Finance US Inc., Senior Secured Notes, 8.125% due 11/15/21(a) | | | 102,200 | |
| | 199,885 | | | CCC | | Neovia Logistics services LLC/SPL Logistics Finance Corp., Senior Secured Notes, 8.875% due 8/1/20(a) | | | 187,392 | |
See Notes to Financial Statements.
195
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Transportation — 1.5% — (continued) | |
| $ | 160,000 | | | B- | | Watco Cos. LLC/Watco Finance Corp., Company Guaranteed Notes, 6.375% due 4/1/23(a) | | $ | 161,200 | |
| | 100,000 | | | B+ | | XPO CNW Inc, Senior Unsecured Notes, 6.700% due 5/1/34 | | | 88,500 | |
| | | | | | | | | | |
| | | | | | Total Transportation | | | 838,425 | |
| | | | | | | | | | |
|
| | Trucking & Leasing — 1.4% | |
| | 80,000 | | | BB+ | | Avolon Holdings Funding Ltd., Company Guaranteed Notes, 5.125% due 10/1/23(a) | | | 81,000 | |
| | 340,000 | | | BB+ | | DAE Funding LLC, Company Guaranteed Notes, 5.000% due 8/1/24(a) | | | 337,875 | |
| | | | | | Park Aerospace Holdings Ltd., Company Guaranteed Notes: | | | | |
| | 80,000 | | | BB+ | | 5.250% due 8/15/22(a) | | | 82,097 | |
| | 50,000 | | | BB+ | | 4.500% due 3/15/23(a) | | | 49,750 | |
| | 210,000 | | | BB+ | | 5.500% due 2/15/24(a) | | | 217,612 | |
| | | | | | | | | | |
| | | | | | Total Trucking & Leasing | | | 768,334 | |
| | | | | | | | | | |
| | | | | | TOTAL CORPORATE BONDS & NOTES
(Cost — $47,749,059) | | | 47,566,286 | |
| | | | | | | | | | |
|
| | SENIOR LOANS — 6.0% | |
| | 14,962 | | | NR | | Acadia Healthcare Co., Inc., 4.993%(1-MonthUSD-LIBOR + 2.500%) due 2/16/23 | | | 14,943 | |
| | 149,619 | | | NR | | AlixPartners LLP, 5.243%(1-MonthUSD-LIBOR + 2.750%) due 4/4/24 | | | 149,646 | |
| | 166,995 | | | NR | | Ancestry.com Operations Inc., (Restricted, cost — $167,204, acquired 11/21/17), 5.750%(1-MonthUSD-LIBOR + 3.250%) due 10/19/23(g) | | | 166,647 | |
| | 40,547 | | | NR | | Applied Systems Inc., 5.493%(1-MonthUSD-LIBOR + 3.000%) due 9/19/24 | | | 40,272 | |
| | 315,000 | | | NR | | Asurion LLC, 8.993%(1-MonthUSD-LIBOR + 6.500%) due 8/4/25 | | | 321,037 | |
| | 30,000 | | | NR | | athenahealth Inc., (Restricted, cost — $29,402, acquired 2/7/19), 7.197%(3-MonthUSD-LIBOR + 4.500%) due 2/11/26(g) | | | 29,906 | |
| | 128,375 | | | NR | | Big River Steel LLC, 7.803%(3-MonthUSD-LIBOR + 5.000%) due 8/23/23 | | | 129,338 | |
| | 38,120 | | | NR | | BWay Holding Co., 6.033%(3-MonthUSD-LIBOR + 3.250%) due 4/3/24 | | | 37,447 | |
| | 36,000 | | | NR | | CSC Holdings, LLC, due 4/15/27(k) | | | 36,045 | |
| | 110,000 | | | NR | | Deck Chassis Acquisition Inc., 8.693%(3-MonthUSD-LIBOR + 6.000%) due 6/15/23 | | | 109,037 | |
| | 248,266 | | | NR | | EIG Investors Corp., 6.388%(3-MonthUSD-LIBOR +3.750%/1-MonthUSD-LIBOR + 3.750%) due 2/9/23 | | | 247,893 | |
| | 202,278 | | | NR | | Graftech International Ltd., 5.993%(1-MonthUSD-LIBOR + 3.500%) due 2/12/25 | | | 202,025 | |
| | 69,825 | | | NR | | Herbalife Nutrition Ltd., 5.743%(1-MonthUSD-LIBOR + 3.250%) due 8/18/25 | | | 70,058 | |
| | 61,000 | | | NR | | Infor (US) Inc., 5.243%(1-MonthUSD-LIBOR + 2.750%) due 2/1/22 | | | 61,084 | |
| | 100,000 | | | NR | | Intelsat Jackson Holdings SA, 6.625% due 1/2/24 | | | 101,459 | |
| | 6,000 | | | NR | | Kinetic Concepts Inc., 6.053%(3-MonthUSD-LIBOR + 3.250%) due 2/2/24 | | | 5,997 | |
| | 108,248 | | | NR | | Lantheus Medical Imaging Inc., (Restricted, cost — $108,857, acquired 11/29/17), 6.243%(1-MonthUSD-LIBOR + 3.750%) due 6/30/22(g) | | | 108,428 | |
| | 49,367 | | | NR | | Laureate Education Inc., (Restricted, cost — $49,002, acquired 4/21/17), 5.993%(1-MonthUSD-LIBOR +3.500%/3-MonthUSD-PRIME + 2.500%) due 4/26/24(g) | | | 49,516 | |
| | 96,055 | | | NR | | Murray Energy Corp., (Restricted, cost — $91,643, acquired 6/29/18), 9.879%(3-MonthUSD-LIBOR + 7.250%) due 10/17/22(g) | | | 79,426 | |
| | 56,000 | | | NR | | National Mentor Holdings Inc., due 2/5/26(k) | | | 56,292 | |
| | 99,949 | | | NR | | Navistar Inc., 6.020%(1-MonthUSD-LIBOR + 3.500%) due 11/6/24 | | | 99,867 | |
| | 117,311 | | | NR | | Panda Temple Power LLC, (Restricted, cost — $115,571, acquired 2/7/18), 10.481%(1-MonthUSD-LIBOR + 8.000%) due 2/7/23(g) | | | 117,116 | |
| | 206,979 | | | NR | | PetSmart Inc., (Restricted, cost — $176,573, acquired 12/13/17), 5.520%(1-MonthUSD-LIBOR + 3.000%) due 3/11/22(g) | | | 177,320 | |
| | 89,550 | | | NR | | Pisces Midco Inc., (Restricted, cost — $89,261, acquired 3/29/18), 6.547%(3-MonthUSD-LIBOR + 3.750%) due 4/12/25(g) | | | 87,311 | |
| | | | | | Press Ganey Holdings Inc.: | | | | |
| | 88,962 | | | NR | | 5.243%(1-MonthUSD-LIBOR + 2.750%) due 10/23/23 | | | 88,591 | |
| | 280,900 | | | NR | | 8.993%(1-MonthUSD-LIBOR + 6.500%) due 10/21/24 | | | 281,486 | |
| | 110,957 | | | NR | | Radnet Management Inc., (Restricted, cost — $110,751, acquired 8/16/17), 6.553%(3-MonthUSD-LIBOR +3.750%/3-MonthUSD-PRIME + 2.750%) due 6/30/23(g) | | | 110,922 | |
See Notes to Financial Statements.
196
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | SENIOR LOANS — 6.0% — (continued) | |
| $ | 40,000 | | | NR | | Regionalcare Hospital Partners Holdings Inc., (Restricted, cost — $39,615, acquired 11/14/18), 6.981%(1-MonthUSD-LIBOR + 4.500%) due 11/16/25(g) | | $ | 40,017 | |
| | 70,000 | | | NR | | Sedgwick Claims Management Services Inc., 5.743%(1-MonthUSD-LIBOR + 3.250%) due 12/31/25 | | | 69,776 | |
| | 81,000 | | | NR | | SS&C Technologies Holdings Inc., 4.743%(1-MonthUSD-LIBOR + 2.250%) due 4/16/25 | | | 80,752 | |
| | 14,542 | | | NR | | Stars Group Holdings B.V., 6.303%(3-MonthUSD-LIBOR + 3.500%) due 7/10/25 | | | 14,568 | |
| | 20,947 | | | NR | | Transdigm Inc., 4.993%(1-MonthUSD-LIBOR + 2.500%) due 5/30/25 | | | 20,685 | |
| | 74,813 | | | NR | | VeriFone Systems Inc., 6.683%(3-MonthUSD-LIBOR + 4.000%) due 8/20/25 | | | 74,666 | |
| | | | | | | | | | |
| | | | | | TOTAL SENIOR LOANS
(Cost — $3,285,261) | | | 3,279,573 | |
| | | | | | | | | | |
| | | |
| Shares/Units | | | | | | | | |
|
| | COMMON STOCKS — 1.3% | |
|
| | CONSUMER CYCLICAL — 0.0% | |
|
| | Lodging — 0.0% | |
| | 9,953 | | | | | Bossier Casino Venture Holdco Inc.(h) | | | 2,998 | |
| | | | | | | | | | |
|
| | ENERGY — 1.3% | |
|
| | Energy — Alternate Sources — 0.3% | |
| | 7,886 | | | | | T1 Power Holdings LLC, (Restricted, cost — $134,062, acquired 2/7/18)*(g) | | | 169,549 | |
| | | | | | | | | | |
|
| | Energy Equipment & Services — 0.1% | |
| | 17,453 | | | | | Hercules Offshore Inc.*#(h) | | | 13,785 | |
| | | | | | | | | | |
|
| | Oil & Gas — 0.9% | |
| | 29,417 | | | | | Berry Petroleum Corp. | | | 374,478 | |
| | 24,541 | | | | | Blue Ridge Mountain Resources Inc.*(j) | | | 116,570 | |
| | 11,773 | | | | | PetroQuest Energy Inc.*#(h) | | | — | |
| | | | | | | | | | |
| | | | | | Total Oil & Gas | | | 491,048 | |
| | | | | | | | | | |
| | | | | | TOTAL ENERGY | | | 674,382 | |
| | | | | | | | | | |
|
| | FINANCIALS — 0.0% | |
|
| | Diversified Financial Services — 0.0% | |
| | 68 | | | | | MWO Holdings, ADR, (Restricted, cost — $208,716, acquired 6/30/11), due 7/31/22*#(g)(h) | | | 5,182 | |
| | | | | | | | | | |
| | | | | | TOTAL COMMON STOCKS
(Cost — $2,384,168) | | | 682,562 | |
| | | | | | | | | | |
|
| | PREFERRED STOCKS — 0.2% | |
|
| | FINANCIALS — 0.2% | |
|
| | Banks — 0.2% | |
| | 3,884 | | | | | GMAC Capital Trust I, 8.469%(3-MonthUSD-LIBOR + 5.785%) due 2/15/40(d) | | | 100,945 | |
| | | | | | | | | | |
|
| | Investment Companies — 0.0% | |
| | 1,175 | | | | | B. Riley Financial Inc., 6.875% due 9/30/23 | | | 29,822 | |
| | | | | | | | | | |
| | | | | | TOTAL FINANCIALS | | | 130,767 | |
| | | | | | | | | | |
| | | | | | TOTAL PREFERRED STOCKS
(Cost — $97,539) | | | 130,767 | |
| | | | | | | | | | |
See Notes to Financial Statements.
197
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | SOVEREIGN BOND — 0.2% | |
|
| | Argentina — 0.2% | |
| $ | 150,000 | | | B | | Argentine Republic Government International Bonds, 7.500% due 4/22/26
(Cost — $159,450) | | $ | 131,045 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS
(Cost — $53,675,477) | | | 51,790,233 | |
| | | | | | | | | | |
|
| | SHORT-TERM INVESTMENTS (l) — 5.5% | |
|
| | MONEY MARKET FUND — 1.5% | |
| | 786,688 | | | | | Invesco STIT — Government & Agency Portfolio, 2.308%, Institutional Class(m)
(Cost — $786,688) | | | 786,688 | |
| | | | | | | | | | |
|
| | TIME DEPOSITS — 4.0% | |
| | 955,099 | | | | | Citibank — New York, 1.750% due 3/1/19 | | | 955,099 | |
| | 532,794 | | | | | JPMorgan Chase & Co. — New York, 1.750% due 3/1/19 | | | 532,794 | |
| | 704,738 | | | | | Standard Chartered Bank — London, 1.750% due 3/1/19 | | | 704,738 | |
| | | | | | | | | | |
| | | | | | TOTAL TIME DEPOSITS
(Cost — $2,192,631) | | | 2,192,631 | |
| | | | | | | | | | |
| | | | | | TOTAL SHORT-TERM INVESTMENTS
(Cost — $2,979,319) | | | 2,979,319 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS — 100.8%
(Cost — $56,654,796) | | | 54,769,552 | |
| | | | | | | | | | |
| | | | | | Liabilities in Excess of Other Assets — (0.8)% | | | (438,012 | ) |
| | | | | | | | | | |
| | | | | | TOTAL NET ASSETS — 100.0% | | $ | 54,331,540 | |
| | | | | | | | | | |
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
| †† | All ratings are by Standard & Poor’s Rating Service, unless otherwise noted. All ratings are unaudited. |
| * | Non-income producing security. |
| (a) | Restricted security that may be sold to “qualified institutional buyers” pursuant to the conditions of Rule 144A under the Securities Act of 1933, as amended. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees, unless otherwise noted. The aggregate value of restricted 144A holdings at February 28, 2019 amounts to approximately $26,570,361 and represents 48.9% of net assets. |
| (b) | All or a portion of this security is on loan (See Note 1). |
| (c) | Rating by Moody’s Investors Service. All ratings are unaudited. |
| (d) | Variable rate security. Interest rate disclosed is that which was in effect at February 28, 2019. |
| (e) | Security is perpetual in nature and has no stated maturity date. |
| (f) | Paymentin-kind security for which part of the income earned may be paid as additional principal. |
| (g) | The aggregate value of restricted securities (excluding 144A holdings) at February 28, 2019 amounts to approximately $1,847,895 and represents 3.4% of net assets. |
| (h) | Security is valued in good faith at fair value by or under the direction of the Board of Trustees. |
| (i) | Security is currently in default. |
| (k) | This position represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate. |
| (l) | Inclusive of all short-term holdings, including collateral received from securities lending activities. Excluding such collateral, the percentage of portfolio holdings would be 4.0%. |
| (m) | Represents investment of collateral received from securities lending transactions. |
| # | Security that used significant unobservable inputs to determine fair value. |
See Notes to Financial Statements.
198
At February 28, 2019, for High Yield Fund the aggregate cost of investments, the aggregate gross unrealized appreciation and depreciation of all investments for federal income tax purposes were as follows:
| | | | | | | | | | | | | | | | |
| Fund | | Aggregate Cost for
Federal Income
Tax Purposes | | | Gross Unrealized
Appreciation | | | Gross Unrealized
Depreciation | | | Net Unrealized
Depreciation | |
High Yield Fund | | $ | 56,654,796 | | | $ | 1,456,222 | | | $ | (3,341,466) | | | $ | (1,885,244 | ) |
| | |
Abbreviations used in this schedule: |
| ICE | | — Intercontinental Exchange |
| LIBOR | | — London Interbank Offered Rate |
| PLC | | — Public Limited Company |
| PRIME | | — Prime Lending Rate |
See pages 260-261 for definitions of ratings.
| | | | |
| Summary of Investments by Security Type^ | | | |
Corporate Bonds & Notes | | | 86.9 | % |
Senior Loans | | | 6.0 | |
Common Stocks | | | 1.3 | |
Preferred Stocks | | | 0.2 | |
Sovereign Bond | | | 0.2 | |
Short-Term Investments | | | 5.4 | |
| | | | |
| | | 100.0 | % |
| | | | |
| ^ | As a percentage of total investments. |
See Notes to Financial Statements.
199
| | | | | | | | | | | | |
| International Fixed Income Fund | |
| | | |
Face Amount/Units† | | | | | | Security | | Value | |
|
| | SOVEREIGN BONDS — 38.3% | |
|
| | Argentina — 0.4% | |
| | 3,930,000 | ARS | | | | | | Argentina Bonar Bonds, 43.075% (Argentina Deposit Rates Badlar Private Banks ARS 30 to 35 Days Index + 2.000%) due 4/3/22(a)(b) | | $ | 109,474 | |
| | 5,840,000 | ARS | | | | | | Argentina POM Politica Monetaria, 53.639% due 6/21/20(a) | | | 179,841 | |
| | 200,000 | EUR | | | | | | Argentine Republic Government International Bonds, 3.375% due 1/15/23 | | | 192,531 | |
| | | | | | | | | | | | |
| | | | | | | | Total Argentina | | | 481,846 | |
| | | | | | | | | | | | |
|
| | Brazil — 1.0% | |
| | 5,600,000 | BRL | | | | | | Brazil Letras do Tesouro Nacional, zero coupon, due 7/1/19 | | | 1,461,435 | |
| | | | | | | | | | | | |
|
| | Canada — 3.3% | |
| | | | | | | | Province of Alberta Canada: | | | | |
| | 900,000 | CAD | | | | | | 1.250% due 6/1/20 | | | 678,492 | |
| | 900,000 | CAD | | | | | | 2.350% due 6/1/25 | | | 680,271 | |
| | 3,100,000 | CAD | | | | | | Province of Ontario Canada, 3.150% due 6/2/22 | | | 2,432,170 | |
| | 1,100,000 | CAD | | | | | | Province of Quebec Canada, 3.750% due 9/1/24 | | | 897,532 | |
| | | | | | | | | | | | |
| | | | | | | | Total Canada | | | 4,688,465 | |
| | | | | | | | | | | | |
|
| | France — 5.0% | |
| | | | | | | | French Republic Government Bonds OAT: | | | | |
| | 900,000 | EUR | | | | | | 3.250% due 5/25/45 | | | 1,425,381 | |
| | 4,500,000 | EUR | | | | | | 2.000% due 5/25/48(c) | | | 5,657,308 | |
| | | | | | | | | | | | |
| | | | | | | | Total France | | | 7,082,689 | |
| | | | | | | | | | | | |
|
| | Ireland — 1.1% | |
| | 1,000,000 | EUR | | | | | | Ireland Government Bonds, 5.400% due 3/13/25 | | | 1,490,577 | |
| | | | | | | | | | | | |
|
| | Israel — 0.1% | |
| $ | 200,000.00 | | | | | | | Israel Government International Bonds, 3.250% due 1/17/28 | | | 198,873 | |
| | | | | | | | | | | | |
|
| | Italy — 1.5% | |
| | | | | | | | Italy Buoni Poliennali Del Tesoro: | | | | |
| | 700,000 | EUR | | | | | | 2.500% due 11/15/25 | | | 809,462 | |
| | 600,000 | EUR | | | | | | 3.450% due 3/1/48(c) | | | 656,518 | |
| | 400,000 | GBP | | | | | | Republic of Italy Government International Bonds, 6.000% due 8/4/28 | | | 605,249 | |
| | | | | | | | | | | | |
| | | | | | | | Total Italy | | | 2,071,229 | |
| | | | | | | | | | | | |
|
| | Japan — 12.3% | |
| | 200,000 | | | | | | | Development Bank of Japan Inc., 2.000% due 10/19/21 | | | 195,450 | |
| | | | | | | | Japan Bank for International Cooperation: | | | | |
| | 200,000 | | | | | | | 2.375% due 7/21/22 | | | 197,106 | |
| | 200,000 | | | | | | | 3.250% due 7/20/23 | | | 203,045 | |
| | 200,000 | | | | | | | 3.375% due 10/31/23 | | | 204,212 | |
| | | | | | | | Japan Finance Organization for Municipalities: | | | | |
| | 500,000 | | | | | | | 2.125% due 4/13/21(c) | | | 492,230 | |
| | 200,000 | | | | | | | 2.625% due 4/20/22(c) | | | 197,850 | |
| | 6,000,000 | JPY | | | | | | Japan Government Forty Year Bonds, 0.800% due 3/20/58 | | | 55,894 | |
| | | | | | | | Japan Government Thirty Year Bonds: | | | | |
| | 210,000,000 | JPY | | | | | | 1.700% due 9/20/44 | | | 2,406,220 | |
| | 330,000,000 | JPY | | | | | | 1.400% due 9/20/45 | | | 3,577,995 | |
| | 202,000,000 | JPY | | | | | | 0.500% due 9/20/46 | | | 1,779,952 | |
| | 176,000,000 | JPY | | | | | | 0.700% due 12/20/48 | | | 1,617,272 | |
| | | | | | | | Japan Government Twenty Year Bonds: | | | | |
| | 40,000,000 | JPY | | | | | | 2.200% due 9/20/28 | | | 436,080 | |
| | 400,000,000 | JPY | | | | | | 1.000% due 12/20/35 | | | 4,001,069 | |
| | 60,000,000 | JPY | | | | | | 0.400% due 3/20/36 | | | 546,137 | |
| | 110,764,500 | JPY | | | | | | Japanese Government CPI Linked Bonds, 0.100% due 3/10/28 | | | 1,030,185 | |
See Notes to Financial Statements.
200
| | | | | | | | | | | | |
| International Fixed Income Fund | |
| | | |
Face Amount/Units† | | | | | | Security | | Value | |
|
| | Japan — 12.3% — (continued) | |
| $ | 400,000.00 | | | | | | | Tokyo Metropolitan Government, 2.000% due 5/17/21(c) | | $ | 391,919 | |
| | | | | | | | | | | | |
| | | | | | | | Total Japan | | | 17,332,616 | |
| | | | | | | | | | | | |
|
| | Kuwait — 0.7% | |
| | 900,000 | | | | | | | Kuwait International Government Bonds, 3.500% due 3/20/27(c) | | | 906,300 | |
| | | | | | | | | | | | |
|
| | Lithuania — 0.2% | |
| | 300,000 | | | | | | | Lithuania Government International Bonds, 6.125% due 3/9/21 | | | 317,290 | |
| | | | | | | | | | | | |
|
| | Peru — 0.3% | |
| | | | | | | | Peruvian Government International Bonds: | | | | |
| | 1,100,000 | PEN | | | | | | 6.350% due 8/12/28(c) | | | 353,373 | |
| | 300,000 | PEN | | | | | | 5.940% due 2/12/29(b) | | | 94,056 | |
| | | | | | | | | | | | |
| | | | | | | | Total Peru | | | 447,429 | |
| | | | | | | | | | | | |
|
| | Poland — 0.5% | |
| | 2,700,000 | PLN | | | | | | Republic of Poland Government Bonds, 3.250% due 7/25/25 | | | 742,487 | |
| | | | | | | | | | | | |
|
| | Qatar — 1.3% | |
| | | | | | | | Qatar Government International Bonds: | | | | |
| | 200,000 | | | | | | | 4.500% due 1/20/22 | | | 207,320 | |
| | 1,000,000 | | | | | | | 3.875% due 4/23/23(c) | | | 1,025,514 | |
| | 500,000 | | | | | | | 4.500% due 4/23/28(c) | | | 529,114 | |
| | | | | | | | | | | | |
| | | | | | | | Total Qatar | | | 1,761,948 | |
| | | | | | | | | | | | |
|
| | Saudi Arabia — 0.8% | |
| | 1,200,000 | | | | | | | Saudi Government International Bonds, 2.375% due 10/26/21 | | | 1,172,772 | |
| | | | | | | | | | | | |
|
| | Slovenia — 0.2% | |
| | 250,000 | | | | | | | Slovenia Government International Bonds, 5.250% due 2/18/24 | | | 274,818 | |
| | | | | | | | | | | | |
|
| | Spain — 5.0% | |
| | | | | | | | Autonomous Community of Catalonia: | | | | |
| | 500,000 | EUR | | | | | | 4.950% due 2/11/20 | | | 589,392 | |
| | 200,000 | EUR | | | | | | 4.900% due 9/15/21 | | | 245,349 | |
| | 100,000 | EUR | | | | | | 4.220% due 4/26/35 | | | 121,232 | |
| | | | | | | | Spain Government Bonds: | | | | |
| | 3,000,000 | EUR | | | | | | 1.450% due 10/31/27(c) | | | 3,529,873 | |
| | 1,200,000 | EUR | | | | | | 1.400% due 7/30/28(c) | | | 1,392,382 | |
| | 900,000 | EUR | | | | | | 2.900% due 10/31/46(c) | | | 1,138,375 | |
| | | | | | | | | | | | |
| | | | | | | | Total Spain | | | 7,016,603 | |
| | | | | | | | | | | | |
|
| | United Arab Emirates — 0.4% | |
| | | | | | | | Abu Dhabi Government International Bonds: | | | | |
| | 300,000 | | | | | | | 2.500% due 10/11/22(c) | | | 295,320 | |
| | 200,000 | | | | | | | 3.125% due 10/11/27(c) | | | 195,227 | |
| | | | | | | | | | | | |
| | | | | | | | Total United Arab Emirates | | | 490,547 | |
| | | | | | | | | | | | |
|
| | United Kingdom — 4.2% | |
| | | | | | | | United Kingdom Gilt: | | | | |
| | 1,400,000 | GBP | | | | | | 3.250% due 1/22/44(h) | | | 2,380,330 | |
| | 2,000,000 | GBP | | | | | | 3.500% due 1/22/45(h) | | | 3,558,883 | |
| | | | | | | | | | | | |
| | | | | | | | Total United Kingdom | | | 5,939,213 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | TOTAL SOVEREIGN BONDS
(Cost — $51,600,777) | | | 53,877,137 | |
| | | | | | | | | | | | |
See Notes to Financial Statements.
201
| | | | | | | | | | | | |
| International Fixed Income Fund | |
| | | |
Face Amount/Units† | | | | | | Security | | Value | |
|
| | CORPORATE BONDS & NOTES — 35.4% | |
|
| | Canada — 0.4% | |
| $ | 100,000.00 | | | | | | | Enbridge Inc., Company Guaranteed Notes, 3.488%(3-MonthUSD-LIBOR + 0.700%) due 6/15/20(a) | | $ | 99,927 | |
| | 100,000 | EUR | | | | | | Fairfax Financial Holdings Ltd., Senior Unsecured Notes, 2.750% due 3/29/28(c) | | | 116,624 | |
| | 300,000 | | | | | | | HSBC Bank Canada, Covered Notes, 3.300% due 11/28/21(c) | | | 303,009 | |
| | | | | | | | | | | | |
| | | | | | | | Total Canada | | | 519,560 | |
| | | | | | | | | | | | |
|
| | Cayman Islands — 1.1% | |
| | | | | | | | KSA Sukuk Ltd., Senior Unsecured Notes: | | | | |
| | 200,000 | | | | | | | 2.894% due 4/20/22(c) | | | 197,493 | |
| | 500,000 | | | | | | | 4.303% due 1/19/29(c) | | | 510,398 | |
| | 200,000 | | | | | | | Sands China Ltd., Senior Unsecured Notes, 5.400% due 8/8/28 | | | 203,599 | |
| | 739,917 | | | | | | | US Capital Funding II Ltd./US Capital Funding II Corp., Asset Backed, 3.486%(3-MonthUSD-LIBOR + 0.750%) due 8/1/34(a)(c) | | | 702,034 | |
| | | | | | | | | | | | |
| | | | | | | | Total Cayman Islands | | | 1,613,524 | |
| | | | | | | | | | | | |
|
| | Denmark — 2.9% | |
| | | | | | | | Jyske Realkredit AS, Covered Notes: | | | | |
| | 2,531,694 | DKK | | | | | | 1.500% due 10/1/37 | | | 394,817 | |
| | 6,616,740 | DKK | | | | | | 2.000% due 10/1/47 | | | 1,035,713 | |
| | 4,056 | DKK | | | | | | 3.000% due 10/1/47 | | | 666 | |
| | | | | | | | Nordea Kredit Realkreditaktieselskab, Covered Notes: | | | | |
| | 1,066,164 | DKK | | | | | | 1.500% due 10/1/37 | | | 166,390 | |
| | 268,329 | DKK | | | | | | 2.500% due 10/1/37 | | | 43,827 | |
| | 2,410,819 | DKK | | | | | | 2.000% due 10/1/47 | | | 376,334 | |
| | 26,564 | DKK | | | | | | 2.500% due 10/1/47 | | | 4,263 | |
| | 976,632 | DKK | | | | | | 2.000% due 10/1/50 | | | 151,636 | |
| | | | | | | | Nykredit Realkredit AS, Covered Notes: | | | | |
| | 111,305 | DKK | | | | | | 2.500% due 10/1/36 | | | 18,155 | |
| | 1 | DKK | | | | | | 2.000% due 7/1/37 | | | — | |
| | 581,029 | DKK | | | | | | 1.500% due 10/1/37 | | | 90,634 | |
| | 3,409,773 | DKK | | | | | | 2.000% due 10/1/47 | | | 532,663 | |
| | 16,174 | DKK | | | | | | 2.500% due 10/1/47 | | | 2,596 | |
| | | | | | | | Realkredit Danmark AS, Covered Notes: | | | | |
| | 101,834 | DKK | | | | | | 2.500% due 7/1/36 | | | 16,634 | |
| | 1 | DKK | | | | | | 2.000% due 10/1/37 | | | — | |
| | 74,092 | DKK | | | | | | 2.500% due 7/1/47 | | | 11,891 | |
| | 7,470,259 | DKK | | | | | | 2.000% due 10/1/47 | | | 1,168,289 | |
| | | | | | | | | | | | |
| | | | | | | | Total Denmark | | | 4,014,508 | |
| | | | | | | | | | | | |
|
| | France — 1.7% | |
| | 250,000 | | | | | | | Credit Agricole SA, Senior Unsecured Notes, 3.750% due 4/24/23(c) | | | 249,412 | |
| | 700,000 | | | | | | | Danone SA, Senior Unsecured Notes, 2.077% due 11/2/21(c) | | | 679,695 | |
| | | | | | | | Dexia Credit Local SA, Government Liquid Guaranteed Notes: | | | | |
| | 300,000 | | | | | | | 2.250% due 2/18/20(c) | | | 298,416 | |
| | 1,000,000 | | | | | | | 1.875% due 9/15/21(c) | | | 977,490 | |
| | 250,000 | | | | | | | 2.375% due 9/20/22(c) | | | 245,910 | |
| | | | | | | | | | | | |
| | | | | | | | Total France | | | 2,450,923 | |
| | | | | | | | | | | | |
|
| | Germany — 2.4% | |
| | | | | | | | Deutsche Bank AG, Senior Unsecured Notes: | | | | |
| | 100,000 | | | | | | | 3.150% due 1/22/21 | | | 97,746 | |
| | 400,000 | | | | | | | 3.576%(3-MonthUSD-LIBOR + 0.815%) due 1/22/21(a) | | | 389,553 | |
| | 800,000 | | | | | | | 4.250% due 10/14/21 | | | 795,628 | |
| | 2,400,000 | NZD | | | | | | Landwirtschaftliche Rentenbank, Government Guaranteed Notes, 4.750% due 3/12/19 | | | 1,636,047 | |
See Notes to Financial Statements.
202
| | | | | | | | | | | | |
| International Fixed Income Fund | |
| | | |
Face Amount/Units† | | | | | | Security | | Value | |
|
| | Germany — 2.4% — (continued) | |
| | 400,000 | EUR | | | | | | Volkswagen Leasing GmbH, Company Guaranteed Notes, 0.141%(3-Month EURIBOR + 0.450%) due 7/6/21(a) | | $ | 451,398 | |
| | | | | | | | | | | | |
| | | | | | | | Total Germany | | | 3,370,372 | |
| | | | | | | | | | | | |
|
| | Ireland — 1.0% | |
| $ | 800,000.00 | | | | | | | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Company Guaranteed Notes, 4.625% due 10/30/20 | | | 813,419 | |
| | 200,000 | EUR | | | | | | Bank of Ireland, Junior Subordinated Notes, 7.375%(5-Year EUR Swap Rate + 6.956%)(a)(d) | | | 242,607 | |
| | 200,000 | | | | | | | Shire Acquisitions Investments Ireland DAC, Company Guaranteed Notes, 2.400% due 9/23/21 | | | 195,611 | |
| | 200,000 | | | | | | | SMBC Aviation Capital Finance DAC, Company Guaranteed Notes, 3.000% due 7/15/22(c) | | | 195,511 | |
| | | | | | | | | | | | |
| | | | | | | | Total Ireland | | | 1,447,148 | |
| | | | | | | | | | | | |
|
| | Italy — 0.2% | |
| | 200,000 | EUR | | | | | | Intesa Sanpaolo SpA, Junior Subordinated Notes, 7.750%(5-Year EUR Swap Rate + 7.192%)(a)(d) | | | 243,913 | |
| | | | | | | | | | | | |
|
| | Japan — 1.7% | |
| | | | | | | | Central Nippon Expressway Co., Ltd., Senior Unsecured Notes: | | | | |
| | 800,000 | | | | | | | 3.278%(3-MonthUSD-LIBOR + 0.540%) due 8/4/20(a) | | | 801,016 | |
| | 200,000 | | | | | | | 2.091% due 9/14/21 | | | 195,260 | |
| | 400,000 | | | | | | | Chugoku Electric Power Co., Inc. (The), Senior Secured Notes, 2.701% due 3/16/20 | | | 396,997 | |
| | 200,000 | | | | | | | Mizuho Bank Ltd., Company Guaranteed Notes, 2.400% due 3/26/20(c) | | | 199,080 | |
| | 400,000 | | | | | | | NTT Finance Corp., Senior Unsecured Notes, 1.900% due 7/21/21 | | | 388,781 | |
| | 400,000 | | | | | | | Sumitomo Mitsui Banking Corp., Bank Guaranteed Notes, 3.123%(3-MonthUSD-LIBOR + 0.350%) due 1/17/20(a) | | | 400,838 | |
| | | | | | | | | | | | |
| | | | | | | | Total Japan | | | 2,381,972 | |
| | | | | | | | | | | | |
|
| | Jersey Channel Islands — 0.3% | |
| | 300,000 | GBP | | | | | | Kennedy Wilson Europe Real Estate Ltd., Senior Unsecured Notes, 3.950% due 6/30/22 | | | 400,245 | |
| | | | | | | | | | | | |
|
| | Luxembourg — 0.2% | |
| | 100,000 | | | | | | | Allergan Funding SCS, Company Guaranteed Notes, 3.450% due 3/15/22 | | | 99,639 | |
| | 200,000 | | | | | | | NORD/LB Luxembourg SA Covered Bonds Bank, Covered Notes, 2.875% due 2/16/21 | | | 199,556 | |
| | | | | | | | | | | | |
| | | | | | | | Total Luxembourg | | | 299,195 | |
| | | | | | | | | | | | |
|
| | Netherlands — 1.5% | |
| | 700,000 | CAD | | | | | | BNG Bank NV, Senior Unsecured Notes, 2.125% due 10/1/19(c) | | | 532,999 | |
| | 300,000 | EUR | | | | | | Cooperatieve Rabobank UA, Senior Unsecured Notes, 6.875% due 3/19/20 | | | 365,740 | |
| | 600,000 | | | | | | | ING Bank NV, Covered Notes, 2.625% due 12/5/22(c) | | | 594,094 | |
| | 170,000 | | | | | | | Petrobras Global Finance BV, Company Guaranteed Notes, 6.125% due 1/17/22 | | | 179,348 | |
| | 50,000 | EUR | | | | | | Stichting AK Rabobank Certificaten, Junior Subordinated Notes, 6.500%(d) | | | 66,794 | |
| | 400,000 | | | | | | | Syngenta Finance NV, Company Guaranteed Notes, 3.698% due 4/24/20(c) | | | 401,075 | |
| | | | | | | | | | | | |
| | | | | | | | Total Netherlands | | | 2,140,050 | |
| | | | | | | | | | | | |
|
| | Norway — 0.3% | |
| | 400,000 | | | | | | | DNB Boligkreditt AS, Covered Notes, 2.500% due 3/28/22(c) | | | 395,540 | |
| | | | | | | | | | | | |
|
| | Portugal — 0.1% | |
| | | | | | | | Banco Espirito Santo SA, Senior Unsecured Notes: | | | | |
| | 200,000 | EUR | | | | | | 4.750% due 1/15/18(b)(e) | | | 67,675 | |
| | 200,000 | EUR | | | | | | 4.000% due 1/21/19(b)(e) | | | 65,969 | |
| | | | | | | | | | | | |
| | | | | | | | Total Portugal | | | 133,644 | |
| | | | | | | | | | | | |
|
| | Singapore — 0.2% | |
| | 200,000 | | | | | | | BOC Aviation Ltd., Senior Unsecured Notes, 2.750% due 9/18/22(c) | | | 193,785 | |
| | 100,000 | | | | | | | DBS Bank Ltd., Covered Notes, 3.300% due 11/27/21(b)(c) | | | 100,862 | |
| | | | | | | | | | | | |
| | | | | | | | Total Singapore | | | 294,647 | |
| | | | | | | | | | | | |
See Notes to Financial Statements.
203
| | | | | | | | | | | | |
| International Fixed Income Fund | |
| | | |
Face Amount/Units† | | | | | | Security | | Value | |
|
| | Supranational — 1.3% | |
| | 1,400,000 | NZD | | | | | | Asian Development Bank, Senior Unsecured Notes, 4.625% due 3/6/19 | | $ | 953,908 | |
| | | | | | | | European Investment Bank, Senior Unsecured Notes: | | | | |
| | 500,000 | AUD | | | | | | 0.500% due 6/21/23 | | | 327,432 | |
| | 800,000 | AUD | | | | | | 0.500% due 8/10/23 | | | 520,963 | |
| | | | | | | | | | | | |
| | | | | | | | Total Supranational | | | 1,802,303 | |
| | | | | | | | | | | | |
|
| | Sweden — 4.8% | |
| | | | | | | | Lansforsakringar Hypotek AB, Covered Notes: | | | | |
| | 10,100,000 | SEK | | | | | | 2.250% due 9/21/22 | | | 1,161,071 | |
| | 12,000,000 | SEK | | | | | | 1.250% due 9/20/23 | | | 1,336,860 | |
| | 10,700,000 | SEK | | | | | | Nordea Hypotek AB, Covered Notes, 1.000% due 4/8/22 | | | 1,184,456 | |
| | 2,500,000 | SEK | | | | | | Skandinaviska Enskilda Banken AB, Covered Notes, 1.500% due 12/15/21 | | | 279,876 | |
| | | | | | | | Stadshypotek AB, Covered Notes: | | | | |
| | 2,000,000 | SEK | | | | | | 1.500% due 12/15/21 | | | 224,250 | |
| | 8,000,000 | SEK | | | | | | 4.500% due 9/21/22 | | | 992,156 | |
| | | | | | | | Sveriges Sakerstallda Obligationer AB, Covered Notes: | | | | |
| | 7,000,000 | SEK | | | | | | 1.250% due 6/15/22 | | | 779,559 | |
| | 2,000,000 | SEK | | | | | | 2.000% due 6/17/26 | | | 229,257 | |
| | 5,100,000 | SEK | | | | | | Swedbank Hypotek AB, Covered Notes, 1.000% due 6/15/22 | | | 564,450 | |
| | | | | | | | | | | | |
| | | | | | | | Total Sweden | | | 6,751,935 | |
| | | | | | | | | | | | |
|
| | Switzerland — 1.5% | |
| $ | 300,000.00 | | | | | | | Credit Suisse Group AG, Senior Unsecured Notes, 2.997%(3-MonthUSD-LIBOR + 1.200%) due 12/14/23(a)(c) | | | 290,587 | |
| | | | | | | | UBS AG: | | | | |
| | | | | | | | Senior Unsecured Notes: | | | | |
| | 300,000 | | | | | | | 2.200% due 6/8/20(c) | | | 297,267 | |
| | 500,000 | | | | | | | 3.347%(3-MonthUSD-LIBOR + 0.580%) due 6/8/20(a)(c) | | | 501,988 | |
| | | | | | | | Subordinated Notes: | | | | |
| | 250,000 | | | | | | | 7.625% due 8/17/22 | | | 275,549 | |
| | 400,000 | | | | | | | 5.125% due 5/15/24 | | | 408,400 | |
| | 400,000 | | | | | | | UBS Group Funding Switzerland AG, Company Guaranteed Notes, 3.634%(3-MonthUSD-LIBOR + 0.950%) due 8/15/23(a)(c) | | | 397,093 | |
| | | | | | | | | | | | |
| | | | | | | | Total Switzerland | | | 2,170,884 | |
| | | | | | | | | | | | |
|
| | United Kingdom — 5.8% | |
| | 400,000 | | | | | | | Barclays Bank PLC, Subordinated Notes, 7.625% due 11/21/22 | | | 431,834 | |
| | | | | | | | Barclays PLC: | | | | |
| | | | | | | | Junior Subordinated Notes: | | | | |
| | 700,000 | EUR | | | | | | 6.500%(5-Year EUR Swap Rate + 5.875%)(a)(d) | | | 809,921 | |
| | 400,000 | GBP | | | | | | 7.000%(5-Year GBP Swap Rate + 5.084%)(a)(d) | | | 530,398 | |
| | | | | | | | Senior Unsecured Notes: | | | | |
| | 600,000 | | | | | | | 4.807%(3-MonthUSD-LIBOR + 2.110%) due 8/10/21(a) | | | 612,704 | |
| | 200,000 | | | | | | | 4.610%(3-MonthUSD-LIBOR + 1.400%) due 2/15/23(a) | | | 201,905 | |
| | 100,000 | | | | | | | British Telecommunications PLC, Senior Unsecured Notes, 9.625% due 12/15/30 | | | 139,797 | |
| | 200,000 | GBP | | | | | | Co-operative Group Holdings 2011 Ltd., Company Guaranteed Notes, step bond to yield, 6.875% due 7/8/20 | | | 276,834 | |
| | | | | | | | HSBC Holdings PLC, Senior Unsecured Notes: | | | | |
| | 400,000 | | | | | | | 3.283%(3-MonthUSD-LIBOR + 0.600%) due 5/18/21(a) | | | 399,721 | |
| | 300,000 | | | | | | | 3.683%(3-MonthUSD-LIBOR + 1.000%) due 5/18/24(a) | | | 297,401 | |
| | 600,000 | | | | | | | Imperial Brands Finance PLC, Company Guaranteed Notes, 2.950% due 7/21/20(c) | | | 595,410 | |
| | 300,000 | GBP | | | | | | Lloyds Banking Group PLC, Junior Subordinated Notes, 7.000%(5-Year GBP Swap Rate + 5.060%)(a)(d) | | | 401,290 | |
| | 200,000 | GBP | | | | | | Marks & Spencer PLC, Senior Unsecured Notes, 3.000% due 12/8/23 | | | 265,196 | |
See Notes to Financial Statements.
204
| | | | | | | | | | | | |
| International Fixed Income Fund | |
| | | |
Face Amount/Units† | | | | | | Security | | Value | |
|
| | United Kingdom — 5.8% — (continued) | |
| | | | | | | | Nationwide Building Society: | | | | |
| | 300,000 | GBP | | | | | | Junior Subordinated Notes, 6.875%(5-Year GBP Swap Rate + 4.880%)(a)(d) | | $ | 402,036 | |
| $ | 200,000 | | | | | | | Senior Unsecured Notes, 3.766%(3-MonthUSD-LIBOR + 1.064%) due 3/8/24(a)(c) | | | 196,633 | |
| | 100,000 | GBP | | | | | | RAC Bonds Co. PLC, Senior Secured Notes, 4.870% due 5/6/26 | | | 127,152 | |
| | | | | | | | Royal Bank of Scotland Group PLC: | | | | |
| | 200,000 | | | | | | | Junior Subordinated Notes, 8.625%(5-Year USD Swap Rate + 7.598%)(a)(d) | | | 214,960 | |
| | 1,000,000 | | | | | | | Senior Unsecured Notes, 4.372%(3-MonthUSD-LIBOR + 1.550%) due 6/25/24(a) | | | 979,614 | |
| | 300,000 | | | | | | | Santander UK Group Holdings PLC, Senior Unsecured Notes, 3.823%(3-MonthUSD-LIBOR + 1.400%) due 11/3/28(a) | | | 283,104 | |
| | 97,725 | GBP | | | | | | Tesco Property Finance 4 PLC, Senior Secured Notes, 5.801% due 10/13/40 | | | 153,309 | |
| | 300,000 | GBP | | | | | | Virgin Media Secured Finance PLC, Senior Secured Notes, 4.875% due 1/15/27 | | | 391,525 | |
| | 300,000 | GBP | | | | | | Virgin Money PLC, Senior Unsecured Notes, 2.250% due 4/21/20 | | | 398,688 | |
| | | | | | | | | | | | |
| | | | | | | | Total United Kingdom | | | 8,109,432 | |
| | | | | | | | | | | | |
|
| | United States — 8.0% | |
| | 100,000.00 | | | | | | | American Honda Finance Corp., Senior Unsecured Notes, 3.083%(3-MonthUSD-LIBOR + 0.350%) due 11/5/21(a) | | | 99,802 | |
| | 400,000 | | | | | | | Anheuser-Busch InBev Worldwide Inc., Company Guaranteed Notes, 4.000% due 4/13/28 | | | 397,766 | |
| | | | | | | | AT&T Inc., Senior Unsecured Notes: | | | | |
| | 300,000 | | | | | | | 3.376%(3-MonthUSD-LIBOR + 0.750%) due 6/1/21(a) | | | 301,053 | |
| | 300,000 | | | | | | | 3.737%(3-MonthUSD-LIBOR + 0.950%) due 7/15/21(a) | | | 302,444 | |
| | 300,000 | EUR | | | | | | 1.800% due 9/5/26 | | | 351,120 | |
| | 400,000 | | | | | | | Aviation Capital Group LLC, Senior Unsecured Notes, 3.576%(3-MonthUSD-LIBOR + 0.950%) due 6/1/21(a)(c) | | | 399,708 | |
| | 200,000 | | | | | | | Bank of America Corp., Junior Subordinated Notes, 5.875%(3-MonthUSD-LIBOR + 2.931%)(a)(d) | | | 197,455 | |
| | | | | | | | BAT Capital Corp., Company Guaranteed Notes: | | | | |
| | 100,000 | | | | | | | 3.283%(3-MonthUSD-LIBOR + 0.590%) due 8/14/20(a) | | | 99,738 | |
| | 100,000 | | | | | | | 3.222% due 8/15/24 | | | 96,221 | |
| | 100,000 | | | | | | | 3.557% due 8/15/27 | | | 91,745 | |
| | 100,000 | | | | | | | 4.390% due 8/15/37 | | | 83,019 | |
| | 400,000 | | | | | | | Boston Scientific Corp., Senior Unsecured Notes, 6.000% due 1/15/20 | | | 410,312 | |
| | 200,000 | | | | | | | Campbell Soup Co., Senior Unsecured Notes, 3.650% due 3/15/23 | | | 198,961 | |
| | | | | | | | Charter Communications Operating LLC/Charter Communications Operating Capital, Senior Secured Notes: | | | | |
| | 250,000 | | | | | | | 3.579% due 7/23/20 | | | 251,224 | |
| | 700,000 | | | | | | | 4.464% due 7/23/22 | | | 718,496 | |
| | 400,000 | | | | | | | Comcast Corp., Company Guaranteed Notes, 3.237%(3-MonthUSD-LIBOR + 0.440%) due 10/1/21(a) | | | 400,235 | |
| | | | | | | | Dell International LLC/EMC Corp., Senior Secured Notes: | | | | |
| | 400,000 | | | | | | | 3.480% due 6/1/19(c) | | | 399,864 | |
| | 250,000 | | | | | | | 4.420% due 6/15/21(c) | | | 254,681 | |
| | 400,000 | | | | | | | Delta Air Lines Inc., Senior Unsecured Notes, 3.625% due 3/15/22 | | | 399,036 | |
| | 200,000 | | | | | | | Dominion Energy Gas Holdings LLC, Senior Unsecured Notes, 3.388%(3-MonthUSD-LIBOR + 0.600%) due 6/15/21(a) | | | 198,851 | |
| | 200,000 | | | | | | | Emera US Finance LP, Company Guaranteed Notes, 2.700% due 6/15/21 | | | 196,465 | |
| | 200,000 | | | | | | | EPR Properties, Company Guaranteed Notes, 4.500% due 6/1/27 | | | 197,914 | |
| | 100,000 | | | | | | | Equifax Inc., Senior Unsecured Notes, 3.600% due 8/15/21 | | | 100,005 | |
| | 100,000 | EUR | | | | | | Equinix Inc., Senior Unsecured Notes, 2.875% due 3/15/24 | | | 117,372 | |
| | | | | | | | Fidelity National Information Services Inc., Senior Unsecured Notes: | | | | |
| | 100,000 | EUR | | | | | | 0.400% due 1/15/21 | | | 114,068 | |
| | 100,000 | GBP | | | | | | 1.700% due 6/30/22 | | | 130,695 | |
| | | | | | | | Ford Motor Credit Co. LLC, Senior Unsecured Notes: | | | | |
| | 200,000 | | | | | | | 2.597% due 11/4/19 | | | 199,496 | |
| | 200,000 | | | | | | | 2.681% due 1/9/20 | | | 198,479 | |
See Notes to Financial Statements.
205
| | | | | | | | | | | | |
| International Fixed Income Fund | |
| | | |
Face Amount/Units† | | | | | | Security | | Value | |
|
| | United States — 8.0% — (continued) | |
| $ | 300,000 | | | | | | | Fresenius Medical Care US Finance II Inc., Company Guaranteed Notes, 5.625% due 7/31/19(c) | | $ | 302,510 | |
| | 200,000 | | | | | | | General Motors Financial Co., Inc., Company Guaranteed Notes, 3.647%(3-MonthUSD-LIBOR + 0.850%) due 4/9/21(a) | | | 198,136 | |
| | 100,000 | | | | | | | Keurig Dr Pepper Inc., Company Guaranteed Notes, 3.551% due 5/25/21(c) | | | 100,511 | |
| | 400,000 | | | | | | | KLA-Tencor Corp., Senior Unsecured Notes, 3.375% due 11/1/19 | | | 400,921 | |
| | 1,300,000 | | | | | | | Lehman Brothers Holdings Inc., Senior Unsecured Notes(b) | | | 26,162 | |
| | 100,000 | | | | | | | McDonald’s Corp., Senior Unsecured Notes, 3.195%(3-MonthUSD-LIBOR + 0.430%) due 10/28/21(a) | | | 99,830 | |
| | | | | | | | Navient Corp., Senior Unsecured Notes: | | | | |
| | 242,000 | | | | | | | 4.875% due 6/17/19 | | | 242,151 | |
| | 400,000 | | | | | | | 8.000% due 3/25/20 | | | 418,732 | |
| | 300,000.00 | | | | | | | Progress Energy Inc., Senior Unsecured Notes, 4.400% due 1/15/21 | | | 306,657 | |
| | 100,000 | | | | | | | Santander Holdings USA Inc., Senior Unsecured Notes, 3.400% due 1/18/23 | | | 98,274 | |
| | 100,000 | | | | | | | Spectra Energy Partners LP, Company Guaranteed Notes, 3.451%(3-MonthUSD-LIBOR + 0.700%) due 6/5/20(a) | | | 99,487 | |
| | 100,000 | | | | | | | Springleaf Finance Corp., Company Guaranteed Notes, 6.000% due 6/1/20 | | | 102,750 | |
| | 300,000 | | | | | | | Time Warner Cable LLC, Senior Secured Notes, 8.250% due 4/1/19 | | | 301,216 | |
| | | | | | | | Volkswagen Group of America Finance LLC, Company Guaranteed Notes: | | | | |
| | 300,000 | | | | | | | 3.458%(3-MonthUSD-LIBOR + 0.770%) due 11/13/20(a)(c) | | | 300,590 | |
| | 200,000 | | | | | | | 3.875% due 11/13/20(c) | | | 202,254 | |
| | 300,000 | | | | | | | 3.638%(3-MonthUSD-LIBOR + 0.940%) due 11/12/21(a)(c) | | | 300,372 | |
| | 200,000 | | | | | | | 4.000% due 11/12/21(c) | | | 202,714 | |
| | 300,000 | | | | | | | WEA Finance LLC/Westfield UK & Europe Finance PLC, Company Guaranteed Notes, 3.750% due 9/17/24(c) | | | 300,774 | |
| | 300,000 | | | | | | | Zimmer Biomet Holdings Inc., Senior Unsecured Notes, 3.150% due 4/1/22 | | | 298,178 | |
| | | | | | | | | | | | |
| | | | | | | | Total United States | | | 11,208,444 | |
| | | | | | | | | | | | |
| | | | | | | | TOTAL CORPORATE BONDS & NOTES
(Cost — $50,942,505) | | | 49,748,239 | |
| | | | | | | | | | | | |
|
| | COLLATERALIZED MORTGAGE OBLIGATIONS — 15.5% | |
| | 250,000 | EUR | | | | | | Adagio IV CLO Ltd., SeriesIV-A, Class A2R, 1.100% due 10/15/29(c) | | | 284,470 | |
| | 387,644 | GBP | | | | | | Aggregator of Loans Backed by Assets PLC, Series2015-1, Class A, 1.979%(1-MonthGBP-LIBOR + 1.250%) due 4/24/49(a) | | | 515,839 | |
| | 408,636 | GBP | | | | | | ALBA PLC, Series2007-1, Class A3, 1.076%(3-MonthGBP-LIBOR + 0.170%) due 3/17/39(a) | | | 509,998 | |
| | 400,000 | | | | | | | Apex Credit CLO 2016 Ltd., Series2016-1A, Class ASR, 3.611%(3-MonthUSD-LIBOR + 1.050%) due 10/27/28(a)(c) | | | 400,377 | |
| | 676,972 | | | | | | | Argent Mortgage Loan Trust, Series2005-W1, Class A1, 2.970%(1-MonthUSD-LIBOR + 0.480%) due 5/25/35(a) | | | 642,908 | |
| | 21,119 | | | | | | | Banc of America Funding Trust, Series2006-A, Class 1A1, 4.675% due 2/20/36(a) | | | 20,928 | |
| | 278,438 | | | | | | | Bayview Financial Asset Trust, Series 2007-SR1A, Class A, 2.940%(1-MonthUSD-LIBOR + 0.450%) due 3/25/37(a)(c) | | | 272,893 | |
| | 230,939 | | | | | | | Bayview Opportunity Master Fund IVa Trust, Series 2018-SBR3, Class A1, step bond to yield, 4.090% due 5/28/33(c) | | | 231,269 | |
| | | | | | | | Bear Stearns Adjustable Rate Mortgage Trust: | | | | |
| | 5,611 | | | | | | | Series2003-5, Class 1A2, 4.160% due 8/25/33(a) | | | 5,546 | |
| | 8,587 | | | | | | | Series2003-7, Class 6A, 4.508% due 10/25/33(a) | | | 8,682 | |
| | 22,173 | | | | | | | Series2004-2, Class 22A, 4.272% due 5/25/34(a) | | | 21,742 | |
| | 5,766 | | | | | | | Series2004-2, Class 23A, 3.123% due 5/25/34(a) | | | 5,306 | |
| | 87,106 | | | | | | | Bear Stearns Structured Products Inc. Trust, Series2007-R6, Class 1A1, 4.259% due 1/26/36(a) | | | 79,088 | |
| | 250,000 | EUR | | | | | | Black Diamond CLO Designated Activity Co., Series2015-1A, Class A1R, 0.650%(3-Month EURIBOR + 0.650%) due 10/3/29(a)(c) | | | 283,443 | |
| | 125,457 | | | | | | | CHL Mortgage Pass-Through Trust, Series2007-19, Class 2A1, 6.500% due 11/25/47 | | | 103,668 | |
See Notes to Financial Statements.
206
| | | | | | | | | | | | |
| International Fixed Income Fund | |
| | | |
Face Amount/Units† | | | | | | Security | | Value | |
|
| | COLLATERALIZED MORTGAGE OBLIGATIONS — 15.5% — (continued) | |
| | | | | | | | Countrywide Alternative Loan Trust: | | | | |
| $ | 7,532 | | | | | | | Series 2005-21CB, Class A3, 5.250% due 6/25/35 | | $ | 6,983 | |
| | 25,677 | | | | | | | Series 2007-16CB, Class 5A1, 6.250% due 8/25/37 | | | 21,183 | |
| | 51,304 | | | | | | | Series 2007-11T1, Class A12, 2.840%(1-MonthUSD-LIBOR + 0.350%) due 5/25/37(a) | | | 27,264 | |
| | 34,081 | | | | | | | Series2007-7T2, Class A9, 6.000% due 4/25/37 | | | 23,220 | |
| | | | | | | | Countrywide Asset-Backed Certificates: | | | | |
| | 231,061 | | | | | | | Series2006-18, Class 2A2, 2.650%(1-MonthUSD-LIBOR + 0.160%) due 3/25/37(a) | | | 228,863 | |
| | 804,142 | | | | | | | Series2007-13, Class 1A, 3.330%(1-MonthUSD-LIBOR + 0.840%) due 10/25/47(a) | | | 792,784 | |
| | 405,884 | | | | | | | Series 2007-SEA2, Class 1A1, 3.490%(1-MonthUSD-LIBOR + 1.000%) due 8/25/47(a)(c) | | | 401,421 | |
| | | | | | | | Countrywide Home Loan Mortgage Pass-Through Trust: | | | | |
| | 4,065 | | | | | | | Series2004-12, Class 11A1, 3.884% due 8/25/34(a) | | | 3,858 | |
| | 89,107 | | | | | | | Series2005-2, Class 1A1, 3.130%(1-MonthUSD-LIBOR + 0.640%) due 3/25/35(a) | | | 80,707 | |
| | 8,572 | | | | | | | Series2005-3, Class 2A1, 3.070%(1-MonthUSD-LIBOR + 0.580%) due 4/25/35(a) | | | 7,940 | |
| | 86,534 | | | | | | | Series2005-9, Class 1A3, 2.950%(1-MonthUSD-LIBOR + 0.460%) due 5/25/35(a) | | | 79,234 | |
| | 25,329 | | | | | | | Series2005-11, Class 3A1, 2.856% due 4/25/35(a) | | | 23,254 | |
| | 28,327 | | | | | | | Series 2005-HYB9, Class 3A2A, 4.592%(1-YearUSD-LIBOR + 1.750%) due 2/20/36(a) | | | 24,778 | |
| | 819,204 | | | | | | | Series2007-4, Class 1A47, 6.000% due 5/25/37 | | | 631,049 | |
| | 614,188.00 | | | | | | | Credit Suisse Mortgage Capital Certificates, Series2007-NC1, Class 2A1, 3.090%(1-MonthUSD-LIBOR + 0.600%) due 9/25/37(a) | | | 601,459 | |
| | 37,833 | | | | | | | Credit Suisse Mortgage Capital Trust, Series2007-5R, Class A5, 6.500% due 7/26/36 | | | 18,821 | |
| | 400,000 | | | | | | | Crown Point CLO 6 Ltd., Series2018-6A, Class A1, 3.975%(3-MonthUSD-LIBOR + 1.170%) due 10/20/28(a)(c) | | | 399,122 | |
| | 168,120 | | | | | | | CSAB Mortgage-Backed Trust, Series2006-4, Class A6A, step bond to yield, 5.684% due 12/25/36 | | | 70,775 | |
| | 669,232 | | | | | | | DeutscheAlternative-A Securities Mortgage Loan Trust, Series2007-3, Class 2A1, 3.240%(1-MonthUSD-LIBOR + 0.750%) due 10/25/47(a) | | | 592,771 | |
| | 724,891 | | | | | | | Ellington Loan Acquisition Trust, Series2007-2, Class A1, 3.540%(1-MonthUSD-LIBOR + 1.050%) due 5/25/37(a)(c) | | | 718,483 | |
| | 212,917 | GBP | | | | | | Eurohome UK Mortgages PLC, Series2007-1, Class A, 1.056%(3-MonthGBP-LIBOR + 0.150%) due 6/15/44(a) | | | 271,636 | |
| | | | | | | | Eurosail-UK PLC: | | | | |
| | 421,295 | GBP | | | | | | Series2007-4X, Class A3, 1.850%(3-MonthGBP-LIBOR + 0.950%) due 6/13/45(a) | | | 553,531 | |
| | 29,456 | GBP | | | | | | Series 2007-6NCX, Class A2A, 1.600%(3-MonthGBP-LIBOR + 0.700%) due 9/13/45(a) | | | 39,081 | |
| | 100,000 | | | | | | | Evans Grove CLO Ltd., Series2018-1A, Class A1, 3.549%(3-MonthUSD-LIBOR + 0.920%) due 5/28/28(a)(c) | | | 99,150 | |
| | | | | | | | Federal Home Loan Mortgage Corp. (FHLMC): | | | | |
| | 57,738 | | | | | | | Series 2614, Class SJ, 12.818% (19.663% —1-MonthUSD-LIBOR) due 5/15/33(a) | | | 75,975 | |
| | 29,232 | | | | | | | SeriesT-35, Class A, 2.790%(1-MonthUSD-LIBOR + 0.140%) due 9/25/31(a) | | | 28,954 | |
| | 42,055 | | | | | | | SeriesT-62, Class 1A1, 3.532%(1-Year Treasury Average Rate + 1.200%) due 10/25/44(a) | | | 42,563 | |
| | | | | | | | Federal Home Loan Mortgage Corp. (FHLMC), REMICS: | | | | |
| | 35,724 | | | | | | | Series 2391, Class FJ, 2.989%(1-MonthUSD-LIBOR + 0.500%) due 4/15/28(a) | | | 35,927 | |
| | 240,648 | | | | | | | Series 4579, Class FD, 2.870%(1-MonthUSD-LIBOR + 0.350%) due 1/15/38(a) | | | 239,548 | |
| | 240,648 | | | | | | | Series 4579, Class SD, 1.471% due 1/15/38(a)(f) | | | 13,068 | |
| | 7,399 | | | | | | | Federal National Mortgage Association (FNMA), Grantor Trust, Series2004-T3, Class 1A1, 6.000% due 2/25/44 | | | 8,187 | |
| | | | | | | | Federal National Mortgage Association (FNMA), REMICS: | | | | |
| | 6,845 | | | | | | | Series2003-34, Class A1, 6.000% due 4/25/43 | | | 7,592 | |
| | 15,099 | | | | | | | Series2006-48, Class TF, 2.890%(1-MonthUSD-LIBOR + 0.400%) due 6/25/36(a) | | | 15,127 | |
| | 111,969 | | | | | | | Series2009-104, Class FA, 3.290%(1-MonthUSD-LIBOR + 0.800%) due 12/25/39(a) | | | 113,331 | |
| | 510,909 | | | | | | | Series2010-46, Class WF, 3.240%(1-MonthUSD-LIBOR + 0.750%) due 5/25/40(a) | | | 520,067 | |
| | 53,631 | | | | | | | Federal National Mortgage Association (FNMA), REMICS Trust, Series2004-W12, Class 1A1, 6.000% due 7/25/44 | | | 59,788 | |
| | 400,000 | | | | | | | Figueroa CLO Ltd., Series2014-1A, Class AR, 3.687%(3-MonthUSD-LIBOR + 0.900%) due 1/15/27(a)(c) | | | 398,762 | |
See Notes to Financial Statements.
207
| | | | | | | | | | | | |
| International Fixed Income Fund | |
| | | |
Face Amount/Units† | | | | | | Security | | Value | |
|
| | COLLATERALIZED MORTGAGE OBLIGATIONS — 15.5% — (continued) | |
| $ | 259,218 | | | | | | | First Franklin Mortgage Loan Trust, Series2005-FF9, Class A4, 2.850%(1-MonthUSD-LIBOR + 0.360%) due 10/25/35(a) | | $ | 258,932 | |
| | 229,458 | | | | | | | Flagship VII Ltd., Series2013-7A, Class A1R, 3.881%(3-MonthUSD-LIBOR + 1.120%) due 1/20/26(a)(c) | | | 229,574 | |
| | 44,858 | | | | | | | GMACM Mortgage Loan Trust, Series2005-AR6, Class 3A1, 4.193% due 11/19/35(a) | | | 42,669 | |
| | 438,979 | | | | | | | Government National Mortgage Association, Series2016-H15, Class FA, 3.307%(1-MonthUSD-LIBOR + 0.800%) due 7/20/66(a) | | | 442,628 | |
| | | | | | | | GSR Mortgage Loan Trust: | | | | |
| | 11,031 | | | | | | | Series2003-1, Class A2, 3.830%(1-Year CMT Index + 1.750%) due 3/25/33(a) | | | 10,982 | |
| | 267,392 | | | | | | | Series2005-AR7, Class 2A1, 4.314% due 11/25/35(a) | | | 266,884 | |
| | | | | | | | Harborview Mortgage Loan Trust: | | | | |
| | 23,630 | | | | | | | Series2005-2, Class 2A1A, 2.920%(1-MonthUSD-LIBOR + 0.440%) due 5/19/35(a) | | | 22,948 | |
| | 55,446 | | | | | | | Series2005-3, Class 2A1A, 2.960%(1-MonthUSD-LIBOR + 0.480%) due 6/19/35(a) | | | 55,027 | |
| | 102,022 | | | | | | | Series2006-SB1, Class A1A, 3.182%(1-Year Treasury Average Rate + 0.850%) due 12/19/36(a) | | | 98,827 | |
| | 121,937 | | | | | | | Series2007-1, Class 2A1A, 2.610%(1-MonthUSD-LIBOR + 0.130%) due 3/19/37(a) | | | 116,723 | |
| | | | | | | | JPMorgan Mortgage Trust: | | | | |
| | 5,197 | | | | | | | Series2003-A2, Class 3A1, 4.151% due 11/25/33(a) | | | 5,266 | |
| | 2,242 | | | | | | | Series2005-A1, Class 6T1, 4.557% due 2/25/35(a) | | | 2,239 | |
| | 63,422 | | | | | | | JPMorgan Resecuritization Trust, Series2009-7, Class 17A1, 5.419% due 7/27/37(a)(c) | | | 63,570 | |
| | 566,767 | GBP | | | | | | Ludgate Funding PLC, Series2007-1, Class A2A, 1.070%(3-MonthGBP-LIBOR + 0.160%) due 1/1/61(a) | | | 700,432 | |
| | 8,280 | | | | | | | Merrill Lynch Mortgage Investors Trust, Series2003-A2, Class 1A1, 4.362% due 2/25/33(a) | | | 8,149 | |
| | 400,000 | | | | | | | Monarch Grove CLO, Series2018-1A, Class A1, 3.651%(3-MonthUSD-LIBOR + 0.880%) due 1/25/28(a)(c) | | | 396,338 | |
| | 700,000 | GBP | | | | | | Newgate Funding PLC, Series2007-1X, Class A3, 1.056%(3-MonthGBP-LIBOR + 0.160%) due 12/1/50(a) | | | 870,693 | |
| | 99,927 | | | | | | | Option One Mortgage Loan Trust, Series2007-CP1, Class 1A1, 2.630%(1-MonthUSD-LIBOR + 0.140%) due 3/25/37(a) | | | 89,327 | |
| | 133,320 | AUD | | | | | | Puma Finance Pty Ltd., Series2014-2, Class A, 2.715%(1-Month Australian Bank Bill + 0.790%) due 10/18/45(a) | | | 94,509 | |
| | 215,181.00 | | | | | | | RAAC Trust, Series2007-SP3, Class A1, 3.690%(1-MonthUSD-LIBOR + 1.200%) due 9/25/47(a) | | | 216,586 | |
| | 62,519 | | | | | | | RALI Trust, Series2007-QO2, Class A1, 2.640%(1-MonthUSD-LIBOR + 0.150%) due 2/25/47(a) | | | 35,960 | |
| | 93,725 | CAD | | | | | | Real Estate Asset Liquidity Trust, Series2018-1A, Class A1, 3.072% due 8/12/53(c) | | | 71,478 | |
| | | | | | | | Residential Asset Securitization Trust: | | | | |
| | 18,762 | | | | | | | Series2005-A15, Class 5A1, 5.750% due 2/25/36 | | | 13,145 | |
| | 47,659 | | | | | | | Series2006-R1, Class A2, 2.890%(1-MonthUSD-LIBOR + 0.400%) due 1/25/46(a) | | | 23,119 | |
| | 262,560 | GBP | | | | | | Residential Mortgage Securities 28 PLC, Series 28, Class A, 2.056%(3-MonthGBP-LIBOR + 1.150%) due 6/15/46(a) | | | 349,495 | |
| | 274,831 | GBP | | | | | | ResLoC UK PLC, Series2007-1X, Class A3B, 1.066%(3-MonthGBP-LIBOR + 0.160%) due 12/15/43(a) | | | 345,349 | |
| | | | | | | | RMAC Securities No 1 PLC: | | | | |
| | 263,219 | GBP | | | | | | Series 2006-NS1X, Class A2A, 1.053%(3-MonthGBP-LIBOR + 0.150%) due 6/12/44(a) | | | 327,812 | |
| | 498,208 | GBP | | | | | | Series 2006-NS3X, Class A2A, 1.053%(3-MonthGBP-LIBOR + 0.150%) due 6/12/44(a) | | | 619,618 | |
| | | | | | | | Soundview Home Loan Trust: | | | | |
| | 309,827 | | | | | | | Series2006-3, Class A3, 2.650%(1-MonthUSD-LIBOR + 0.160%) due 11/25/36(a) | | | 302,646 | |
| | 1,300,000 | | | | | | | Series2006-3, Class A4, 2.740%(1-MonthUSD-LIBOR + 0.250%) due 11/25/36(a) | | | 1,198,018 | |
| | | | | | | | Structured Adjustable Rate Mortgage Loan Trust: | | | | |
| | 7,378 | | | | | | | Series2004-1, Class 4A1, 4.378% due 2/25/34(a) | | | 7,334 | |
| | 25,026 | | | | | | | Series2004-4, Class 3A2, 4.480% due 4/25/34(a) | | | 25,746 | |
| | 43,060 | | | | | | | Series2004-19, Class 2A1, 3.732%(1-Year Treasury Average Rate + 1.400%) due 1/25/35(a) | | | 41,123 | |
See Notes to Financial Statements.
208
| | | | | | | | | | | | |
| International Fixed Income Fund | |
| | | |
Face Amount/Units† | | | | | | Security | | Value | |
|
| | COLLATERALIZED MORTGAGE OBLIGATIONS — 15.5% — (continued) | |
| | | | | | | | Structured Asset Mortgage Investments II Trust: | | | | |
| $ | 52,877 | | | | | | | Series2005-AR2, Class 2A1, 2.950%(1-MonthUSD-LIBOR + 0.460%) due 5/25/45(a) | | $ | 51,770 | |
| | 65,912 | | | | | | | Series2005-AR8, Class A1A, 2.770%(1-MonthUSD-LIBOR + 0.280%) due 2/25/36(a) | | | 62,486 | |
| | 46,392 | | | | | | | Series2006-AR5, Class 1A1, 2.700%(1-MonthUSD-LIBOR + 0.210%) due 5/25/36(a) | | | 42,783 | |
| | 236,918 | | | | | | | Series2007-AR4, Class A3, 2.710%(1-MonthUSD-LIBOR + 0.220%) due 9/25/47(a) | | | 225,754 | |
| | 101,753 | | | | | | | Series2007-AR6, Class A1, 3.832%(1-Year Treasury Average Rate + 1.500%) due 8/25/47(a) | | | 96,085 | |
| | 70,842 | | | | | | | Structured Asset Securities Corp., Series2006-RF1, Class 1A, 2.770%(1-MonthUSD-LIBOR + 0.280%) due 1/25/36(a)(c) | | | 66,307 | |
| | 19,161 | | | | | | | Structured Asset Securities Corp. Trust, Series2005-10, Class 4A1, 5.500% due 12/25/34 | | | 19,146 | |
| | 789,545 | | | | | | | Symphony CLO XII Ltd., Series2013-12A, Class AR, 3.817%(3-MonthUSD-LIBOR + 1.030%) due 10/15/25(a)(c) | | | 790,329 | |
| | 400,000 | EUR | | | | | | Toro European CLO 2 DAC, Series 2A, Class AR, 0.900%(3-MonthEUR-LIBOR + 0.900%) due 10/15/30(a)(c) | | | 454,193 | |
| | 400,000 | | | | | | | Tralee CLO V Ltd., Series2018-5A, Class A1, 3.869%(3-MonthUSD-LIBOR + 1.110%) due 10/20/28(a)(c) | | | 397,200 | |
| | 400,000 | | | | | | | Venture XVI CLO Ltd., Series2014-16A, Class ARR, 3.637%(3-MonthUSD-LIBOR + 0.850%) due 1/15/28(a)(c) | | | 396,660 | |
| | 100,000 | | | | | | | Venture XVII CLO Ltd., Series2014-17A, Class ARR, 3.667%(3-MonthUSD-LIBOR + 0.880%) due 4/15/27(a)(c) | | | 99,193 | |
| | | | | | | | WaMu Mortgage Pass-Through Certificates Trust: | | | | |
| | 12,169 | | | | | | | Series2002-AR9, Class 1A, 3.732%(1-Year Treasury Average Rate + 1.400%) due 8/25/42(a) | | | 11,919 | |
| | 3,427 | | | | | | | Series2003-AR5, Class A7, 4.128% due 6/25/33(a) | | | 3,471 | |
| | 223,164 | | | | | | | Series2003-AR9, Class 2A, 4.376% due 9/25/33(a) | | | 227,454 | |
| | 317,524 | | | | | | | Series2004-AR1, Class A, 4.591% due 3/25/34(a) | | | 324,922 | |
| | 43,844 | | | | | | | Series 2005-AR13, Class A1A1, 2.780%(1-MonthUSD-LIBOR + 0.290%) due 10/25/45(a) | | | 43,466 | |
| | 48,436 | | | | | | | Series 2006-AR10, Class 2A1, 3.967% due 9/25/36(a) | | | 48,210 | |
| | 79,261 | | | | | | | Series 2006-AR13, Class 2A, 2.556% (11th District Cost of Funds Index + 1.500%) due 10/25/46(a) | | | 76,039 | |
| | 23,679 | | | | | | | Washington Mutual Mortgage Pass-Through Certificates WMALT, Series2006-AR5, Class 3A, 3.272%(1-Year Treasury Average Rate + 0.940%) due 7/25/46(a) | | | 17,277 | |
| | 111,313 | | | | | | | Washington Mutual MSC Mortgage Pass-Through Certificates Trust, Series2002-AR3, Class 1A7, 4.217% due 12/25/32(a) | | | 111,814 | |
| | 128,055 | | | | | | | Wells Fargo Mortgage-Backed Securities Trust, Series2006-AR2, Class 2A1, 4.938% due 3/25/36(a) | | | 130,815 | |
| | | | | | | | | | | | |
| | | | | | | | TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost — $22,183,685) | | | 21,712,852 | |
| | | | | | | | | | | | |
|
| | MORTGAGE-BACKED SECURITIES — 13.2% | |
|
| | CMHC — 0.4% | |
| | | | | | | | Canadian Mortgage and Housing Corp. (CMHC): | | | | |
| | 157,389 | CAD | | | | | | 2.228% due 6/1/20(b) | | | 119,633 | |
| | 504,203 | CAD | | | | | | 2.428% due 7/1/20 — 8/1/20(b) | | | 384,178 | |
| | | | | | | | | | | | |
| | | | | | | | Total CMHC | | | 503,811 | |
|
| | FNMA — 12.8% | |
| | | | | | | | Federal National Mortgage Association (FNMA): | | | | |
| | 86,366.00 | | | | | | | 3.000% due 1/1/22 | | | 86,894 | |
| | 42,278 | | | | | | | 4.719%(1-Year CMT Index + 2.360%) due 11/1/34(a) | | | 44,678 | |
| | 90,019 | | | | | | | 6.500% due 8/1/37 | | | 99,312 | |
| | 5,900,000 | | | | | | | 4.000% due 4/1/49(g) | | | 6,011,379 | |
| | 11,800,000 | | | | | | | 3.500% due 5/1/49(g) | | | 11,788,937 | |
| | | | | | | | | | | | |
| | | | | | | | Total FNMA | | | 18,031,200 | |
| | | | | | | | | | | | |
See Notes to Financial Statements.
209
| | | | | | | | | | | | |
| International Fixed Income Fund | |
| | | |
Face Amount/Units† | | | | | | Security | | Value | |
|
| | GNMA — 0.0% | |
| $ | 3,033 | | | | | | | Government National Mortgage Association II (GNMA), 6.000% due 9/20/38 | | $ | 3,122 | |
| | | | | | | | | | | | |
| | | | | | | | TOTAL MORTGAGE-BACKED SECURITIES
(Cost — $18,574,085) | | | 18,538,133 | |
| | | | | | | | | | | | |
|
| | U.S. GOVERNMENT OBLIGATIONS — 8.1% | |
| | | | | | | | U.S. Treasury Inflation Indexed Bonds: | | | | |
| | 1,692,681 | | | | | | | 2.375% due 1/15/25 | | | 1,860,607 | |
| | 234,032 | | | | | | | 2.500% due 1/15/29 | | | 272,277 | |
| | 152,824 | | | | | | | 3.875% due 4/15/29 | | | 198,452 | |
| | 215,596 | | | | | | | 1.375% due 2/15/44 | | | 228,168 | |
| | 407,520 | | | | | | | 1.000% due 2/15/48 | | | 396,236 | |
| | | | | | | | U.S. Treasury Inflation Indexed Notes: | | | | |
| | 206,610 | | | | | | | 0.125% due 4/15/22 | | | 203,058 | |
| | 303,432 | | | | | | | 0.625% due 4/15/23 | | | 303,173 | |
| | 3,288,201 | | | | | | | 0.250% due 1/15/25(h) | | | 3,212,899 | |
| | 1,833,336 | | | | | | | 0.500% due 1/15/28 | | | 1,793,125 | |
| | 2,800,000 | | | | | | | U.S. Treasury Notes, 2.875% due 4/30/25(h) | | | 2,845,992 | |
| | | | | | | | | | | | |
| | | | | | | | TOTAL U.S. GOVERNMENT OBLIGATIONS
(Cost — $11,376,712) | | | 11,313,987 | |
| | | | | | | | | | | | |
|
| | SENIOR LOAN — 0.1% | |
| | 198,000 | | | | | | | CenturyLink Inc., 5.243%(1-MonthUSD-LIBOR + 2.750%) due 1/31/25 | | | | |
| | | | | | | | (Cost — $197,223) | | | 195,261 | |
| | | | | | | | | | | | |
|
| | ASSET-BACKED SECURITY — 0.1% | |
|
| | Student Loans — 0.1% | |
| | 91,059 | | | | | | | Massachusetts Educational Financing Authority, Series2008-1, Class A1, 3.721%(3-MonthUSD-LIBOR + 0.950%) due 4/25/38(a)
(Cost — $91,059) | | | 91,209 | |
| | | | | | | | | | | | |
|
| | MUNICIPAL BOND — 0.0% | |
|
| | United States — 0.0% | |
| | 700,000 | | | | | | | Tobacco Settlement Finance Authority, Revenue Bonds, Series B, zero coupon, due 6/1/47
(Cost — $45,982) | | | 40,936 | |
| | | | | | | | | | | | |
| | | | | | | | TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS
(Cost — $155,012,028) | | | 155,517,754 | |
| | | | | | | | | | | | |
|
| | SHORT-TERM INVESTMENTS — 6.9% | |
|
| | SOVEREIGN BONDS — 5.3% | |
|
| | Japan — 5.3% | |
| | | | | | | | Japan Treasury Discount Bills: | | | | |
| | 800,000,000 | JPY | | | | | | (0.156)% due 3/11/19(i) | | | 7,182,739 | |
| | 30,000,000 | JPY | | | | | | (0.215)% due 5/20/19(i) | | | 269,297 | |
| | | | | | | | | | | | |
| | | | | | | | (Cost — $7,494,428) | | | 7,452,036 | |
| | | | | | | | | | | | |
|
| | TIME DEPOSITS — 1.6% | |
| | | | | | | | BBH — Grand Cayman: | | | | |
| | 1,271 | DKK | | | | | | (0.850)% due 3/1/19 | | | 194 | |
| | 4,615 | SEK | | | | | | (0.550)% due 3/1/19 | | | 500 | |
| | 2,511 | NOK | | | | | | 0.350% due 3/1/19 | | | 293 | |
| | 110 | NZD | | | | | | 0.650% due 3/1/19 | | | 75 | |
| | 74,695 | AUD | | | | | | 0.760% due 3/1/19 | | | 52,989 | |
| | 405 | SGD | | | | | | 0.800% due 3/1/19 | | | 300 | |
| | 57,368 | CAD | | | | | | 0.820% due 3/1/19 | | | 43,602 | |
| | 551,043 | ZAR | | | | | | 5.140% due 3/1/19 | | | 39,101 | |
See Notes to Financial Statements.
210
| | | | | | | | | | | | |
| International Fixed Income Fund | |
| | | |
Face Amount/Units† | | | | | | Security | | Value | |
|
| | TIME DEPOSITS — 1.6% — (continued) | |
| | | | | | | | Citibank — London: | | | | |
| | 64,868 | EUR | | | | | | (0.570)% due 3/1/19 | | $ | 73,781 | |
| | 31,651 | GBP | | | | | | 0.360% due 3/1/19 | | | 41,974 | |
| $ | 1,873,383.00 | | | | | | | Citibank — New York, 1.750% due 3/1/19 | | | 1,873,383 | |
| | 10,850,066 | JPY | | | | | | Sumitomo — Tokyo, (0.270)% due 3/1/19 | | | 97,340 | |
| | | | | | | | | | | | |
| | | | | | | | TOTAL TIME DEPOSITS
(Cost — $2,223,532) | | | 2,223,532 | |
| | | | | | | | | | | | |
| | | | | | | | TOTAL SHORT-TERM INVESTMENTS
(Cost — $9,717,960) | | | 9,675,568 | |
| | | | | | | | | | | | |
| | | | | | | | TOTAL INVESTMENTS IN SECURITIES
(Cost — $164,729,988) | | | 165,193,322 | |
| | | | | | | | | | | | |
| | | | | | | | TOTAL INVESTMENTS IN PURCHASED OPTIONS
(Cost — $28,302) | | | 21,219 | |
| | | | | | | | | | | | |
| | | | | | | | TOTAL INVESTMENTS — 117.6%
(Cost — $164,758,290) | | | 165,214,541 | |
| | | | | | | | | | | | |
| | | | | | | | Liabilities in Excess of Other Assets — (17.6)% | | | (24,702,386 | ) |
| | | | | | | | | | | | |
| | | | | | | | TOTAL NET ASSETS — 100.0% | | $ | 140,512,155 | |
| | | | | | | | | | | | |
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
| (a) | Variable rate security. Interest rate disclosed is that which was in effect at February 28, 2019. |
| (c) | Restricted security that may be sold to “qualified institutional buyers” pursuant to the conditions of Rule 144A under the Securities Act of 1933, as amended. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees, unless otherwise noted. The aggregate value of restricted 144A holdings at February 28, 2019 amounts to approximately $35,151,918 and represents 25.0% of net assets. |
| (d) | Security is perpetual in nature and has no stated maturity date. |
| (e) | Security is currently in default. |
| (f) | Interest only security. |
| (g) | This security is traded on a TBA basis (see Note 1). |
| (h) | Position, or portion thereof, has been segregated to collateralize reverse repurchase agreements. |
| (i) | Rate shown representsyield-to-maturity. |
At February 28, 2019, for International Fixed Income Fund the aggregate cost of investments, the aggregate gross unrealized appreciation and depreciation of all investments for federal income tax purposes were as follows:
| | | | | | | | | | | | | | | | |
| Fund | | Aggregate Cost For
Federal Income
Tax Purposes | | | Gross Unrealized
Appreciation | | | Gross Unrealized
Depreciation | | | Net Unrealized
Appreciation | |
International Fixed Income Fund | | $ | 164,758,290 | | | $ | 12,180,396 | | | $ | (9,188,621 | ) | | $ | 2,991,775 | |
| | |
Abbreviations used in this schedule: |
| CLO | | —Collateralized Loan Obligation |
| CMT | | —Constant Maturity Treasury Rate |
| CPI | | —Consumer Price Index |
| EURIBOR | | —Euro Interbank Offered Rate |
| LIBOR | | —London Interbank Offered Rate |
| PLC | | —Public Limited Company |
| REMICS | | —Real Estate Mortgage Investment Conduit |
See Notes to Financial Statements.
211
| | | | | | |
| International Fixed Income Fund |
| | | | |
| |
| Summary of Investments by Security Type^ | | | |
Sovereign Bonds | | | 32.6 | % |
Corporate Bonds & Notes | | | 30.1 | |
Collateralized Mortgage Obligations | | | 13.1 | |
Mortgage-Backed Securities | | | 11.2 | |
U.S. Government Obligations | | | 6.9 | |
Senior Loan | | | 0.1 | |
Asset-Backed Security | | | 0.1 | |
Municipal Bond | | | 0.0 | * |
Purchased Options | | | 0.0 | * |
Short-Term Investments | | | 5.9 | |
| | | | |
| | | 100.0 | % |
| | | | |
| ^ | As a percentage of total investments. |
| * | Position represents less than 0.05% |
At February 28, 2019, International Fixed Income Fund held the following Options Contracts Purchased:
Currency Options
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Number of
Contracts | | | Notional
Amount† | | | Security Name | | Counterparty | | | Expiration
Date | | | Strike Price | | | Value | |
| | 100,000 | | | | 100,000 | EUR | | OTC Euro versus U.S. Dollar, Call(a) | | | BCLY | | | | 9/22/21 | | | $ | 1.31 | | | $ | 2,721 | |
| | 100,000 | | | $ | 113,740 | | | OTC Euro versus U.S. Dollar, Put(a) | | | BCLY | | | | 9/22/21 | | | $ | 1.31 | | | | 10,413 | |
| | 2,100,000 | | | | 2,100,000 | | | OTC U.S. Dollar versus Indian Rupee, Call(a) | | | HSBC | | | | 10/16/19 | | | INR | 82.00 | | | | 8,085 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | Total Currency Options | | | | | | | | | | | | | | $ | 21,219 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | TOTAL OPTIONS CONTRACTS PURCHASED
(Cost — $28,302) | | | | | | | | | | | | | | $ | 21,219 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
At February 28, 2019, International Fixed Income Fund held the following Options Contracts Written:
Credit Default Swaptions
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Number of
Contracts | | | Notional
Amount† | | | Security Name | | Counterparty | | | Expiration
Date | | | Exercise Rate | | | Value | |
| | 400,000 | | | $ | 238,900 | | | OTC Markit CDX North America Investment Grade Series 315-Year Index, Put | | | BOA | | | | 3/20/19 | | | | 1.000% | | | $ | 2 | |
| | 600,000 | | | | 358,350 | | | OTC Markit CDX North America Investment Grade Series 315-Year Index, Put | | | BCLY | | | | 3/20/19 | | | | 1.100% | | | | 1 | |
| | 400,000 | | | | 238,900 | | | OTC Markit CDX North America Investment Grade Series 315-Year Index, Put | | | BOA | | | | 3/20/19 | | | | 1.200% | | | | — | |
| | 100,000 | | | | 59,725 | | | OTC Markit CDX North America Investment Grade Series 315-Year Index, Put | | | JPM | | | | 3/20/19 | | | | 1.200% | | | | — | |
| | 1,000,000 | | | | 597,250 | | | OTC Markit CDX North America Investment Grade Series 315-Year Index, Put | | | BNP | | | | 4/17/19 | | | | 1.000% | | | | 72 | |
| | 200,000 | | | | 119,450 | | | OTC Markit CDX North America Investment Grade Series 315-Year Index, Put | | | BOA | | | | 5/15/19 | | | | 1.200% | | | | 19 | |
| | 300,000 | | | | 179,175 | | | OTC Markit CDX North America Investment Grade Series 315-Year Index, Put | | | GSC | | | | 9/18/19 | | | | 2.400% | | | | 24 | |
| | 400,000 | | | | 246,112 | EUR | | OTC Markit iTraxx Europe Series 305-Year Index, Put | | | GSC | | | | 9/18/19 | | | | 2.400% | | | | 52 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | Total Credit Default Swaptions | | | | | | | | | | | | | | $ | 170 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
212
| | | | | | |
| International Fixed Income Fund |
Currency Options
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Number of
Contracts | | | Notional
Amount† | | | Security Name | | Counterparty | | | Expiration
Date | | | Strike Price | | | Value | |
| | 600,000 | | | | 600,000 | AUD | | OTC Australian Dollar versus U.S. Dollar, Put(a) | | | HSBC | | | | 3/8/19 | | | $ | 0.70 | | | $ | 402 | |
| | 454,000 | | | | 454,000 | GBP | | OTC British Pound versus U.S. Dollar, Put(a) | | | BNP | | | | 6/14/19 | | | $ | 1.32 | | | | 8,725 | |
| | 701,000 | | | | 4,697,791 | CNH | | OTC U.S. Dollar versus Chinese Offshore Renminbi, Call(a) | | | SCB | | | | 3/21/19 | | | CNH | 6.78 | | | | 848 | |
| | 700,000 | | | $ | 700,000 | | | OTC U.S. Dollar versus Chinese Offshore Renminbi, Put(a) | | | SCB | | | | 3/14/19 | | | CNH | 6.68 | | | | 1,960 | |
| | 701,000 | | | | 701,000 | | | OTC U.S. Dollar versus Chinese Offshore Renminbi, Put(a) | | | SCB | | | | 3/21/19 | | | CNH | 6.68 | | | | 2,417 | |
| | 700,000 | | | | 700,000 | | | OTC U.S. Dollar versus Indian Rupee, Put(a) | | | HSBC | | | | 10/16/19 | | | INR | 72.00 | | | | 12,676 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | Total Currency Options | | | | | | | | | | | | | | $ | 27,028 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Interest Rate Swaptions
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Number of
Contracts | | | Notional
Amount† | | | Security Name | | Counterparty | | | Expiration
Date | | | Exercise Rate | | | Value | |
| | 1,400,000 | | | $ | 36,766 | | | OTC5-Year Swaption,3-MonthUSD-LIBOR, Call | | | BOA | | | | 4/5/19 | | | | 2.460% | | | $ | 1,702 | |
| | 1,400,000 | | | | 36,766 | | | OTC5-Year Swaption,3-MonthUSD-LIBOR, Put | | | BOA | | | | 4/5/19 | | | | 2.760% | | | | 607 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | Total Interest Rate Swaptions | | | | | | | | | | | | | | $ | 2,309 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Options on Futures
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Number of
Contracts | | | Notional
Amount† | | | Security Name | | Counterparty | | | Expiration
Date | | | Strike Price | | | Value | |
| | 5 | | | | 815,450 | EUR | | Euro-Bund June Futures, Call | | | GSC | | | | 5/24/19 | | | EUR | 165.00 | | | $ | 2,332 | |
| | 5 | | | | 815,450 | EUR | | Euro-Bund June Futures, Put | | | GSC | | | | 5/24/19 | | | EUR | 161.50 | | | | 4,152 | |
| | 4 | | | | 652,360 | EUR | | Euro-Bund May Futures, Call | | | GSC | | | | 4/26/19 | | | EUR | 164.00 | | | | 2,184 | |
| | 4 | | | | 652,360 | EUR | | Euro-Bund May Futures, Put | | | GSC | | | | 4/26/19 | | | EUR | 160.50 | | | | 1,365 | |
| | 16 | | | $ | 1,834,875 | | | U.S. Treasury5-Year Note April Futures, Call | | | CSFB | | | | 3/22/19 | | | $ | 114.75 | | | | 2,625 | |
| | 16 | | | | 1,834,875 | | | U.S. Treasury5-Year Note April Futures, Put | | | CSFB | | | | 3/22/19 | | | $ | 113.75 | | | | 625 | |
| | 10 | | | | 1,222,188 | | | U.S. Treasury10-Year Note April Futures, Call | | | UBS | | | | 3/22/19 | | | $ | 123.00 | | | | 937 | |
| | 10 | | | | 1,222,188 | | | U.S. Treasury10-Year Note April Futures, Put | | | UBS | | | | 3/22/19 | | | $ | 121.00 | | | | 937 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | Total Options on Futures | | | | | | | | | | | | | | $ | 15,157 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | TOTAL OPTIONS CONTRACTS WRITTEN
(Premiums received — $63,126) | | | | | | | | | | | | | | $ | 44,664 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
See Notes to Financial Statements.
213
| | | | | | |
| International Fixed Income Fund |
At February 28, 2019, International Fixed Income Fund held the following Reverse Repurchase Agreements:
| | | | | | | | |
| | |
Face
Amounts† | | | Security | | Value | |
| | | | CIBC Wood Gundy Securities Corp.: | | | | |
| $ | 821,000 | | | 2.570% due 3/13/19 | | $ | 821,000 | |
| | | | Crédit Agricole Corporate and Investment Bank S.A.: | | | | |
| | 4,363,812 | GBP | | 0.860% due 4/10/19 | | | 5,787,069 | |
| | | | Crédit Agricole Securities (USA) Inc.: | | | | |
| | 2,052,500 | | | 2.640% due 3/1/19 | | | 2,052,500 | |
| | | | Merrill Lynch & Pierce, Fenner & Smith Inc.: | | | | |
| | 414,000 | | | 2.650% due 4/22/19 | | | 414,000 | |
| | | | | | | | |
| | | | TOTAL REVERSE REPURCHASE AGREEMENTS
(Proceeds — $8,889,544) | | $ | 9,074,569 | |
| | | | | | | | |
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
For the period ended February 28, 2019, the average borrowing and interest rate under the reverse repurchase agreements were $12,961,200 and 1.602%, respectively.
At February 28, 2019, International Fixed Income Fund had open exchange-traded futures contracts as described below.
The unrealized appreciation (depreciation) on the open contracts reflected in the accompanying financial statements were as follows:
| | | | | | | | | | | | | | | | | | | | |
| Open Futures Contracts | | Number of
Contracts | | | Expiration
Date
(Month/Year) | | | Notional
Amount | | | Market
Value | | | Unrealized
Appreciation/
(Depreciation) | |
| Contracts to Buy: | | | | | | | | | | | | | | | | | | | | |
90-Day Eurodollar March Futures | | | 183 | | | | 3/19 | | | $ | 44,447,085 | | | $ | 44,560,500 | | | $ | 113,415 | |
90-Day Sterling September Futures | | | 251 | | | | 9/19 | | | | 41,131,636 | | | | 41,210,600 | | | | 78,964 | |
Australian Government3-Year Bond March Futures | | | 67 | | | | 3/19 | | | | 5,317,163 | | | | 5,357,955 | | | | 40,792 | |
Australian Government10-Year Bond March Futures | | | 28 | | | | 3/19 | | | | 2,619,638 | | | | 2,681,777 | | | | 62,139 | |
Canada Government10-Year Bond June Futures | | | 3 | | | | 6/19 | | | | 310,284 | | | | 309,440 | | | | (844 | ) |
Euro-Bobl March Futures | | | 29 | | | | 3/19 | | | | 4,362,634 | | | | 4,377,716 | | | | 15,082 | |
Euro-BTP March Futures | | | 43 | | | | 3/19 | | | | 6,151,776 | | | | 6,271,988 | | | | 120,212 | |
Euro-Buxl30-Year Bond March Futures | | | 11 | | | | 3/19 | | | | 2,208,762 | | | | 2,302,597 | | | | 93,835 | |
Euro-Schatz Note March Futures | | | 80 | | | | 3/19 | | | | 10,182,238 | | | | 10,174,270 | | | | (7,968 | ) |
Japan Government10-Year Bond March Futures | | | 5 | | | | 3/19 | | | | 6,790,360 | | | | 6,851,478 | | | | 61,118 | |
U.S. Treasury5-Year Note June Futures | | | 92 | | | | 6/19 | | | | 10,541,263 | | | | 10,539,750 | | | | (1,513 | ) |
U.S. Treasury10-Year Note June Futures | | | 39 | | | | 6/19 | | | | 4,777,799 | | | | 4,758,000 | | | | (19,799 | ) |
U.S. Treasury Ultra Long Bond June Futures | | | 10 | | | | 6/19 | | | | 1,624,191 | | | | 1,595,937 | | | | (28,254 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 527,179 | |
| | | | | | | | | | | | | | | | | | | | |
| Contracts to Sell: | | | | | | | | | | | | | | | | | | | | |
90-Day Eurodollar December Futures | | | 47 | | | | 12/19 | | | | 11,439,293 | | | | 11,439,800 | | | | (507 | ) |
90-Day Eurodollar March Futures | | | 136 | | | | 3/20 | | | | 33,113,594 | | | | 33,126,200 | | | | (12,606 | ) |
90-Day Sterling September Futures | | | 251 | | | | 9/20 | | | | 41,026,075 | | | | 41,125,304 | | | | (99,229 | ) |
Euro-OAT June Futures | | | 47 | | | | 6/19 | | | | 8,492,431 | | | | 8,455,420 | | | | 37,011 | |
U.S. Treasury2-Year Note June Futures | | | 12 | | | | 6/19 | | | | 2,548,031 | | | | 2,546,344 | | | | 1,687 | |
United Kingdom Treasury10-Year Gilt June Futures | | | 36 | | | | 6/19 | | | | 6,074,377 | | | | 6,005,391 | | | | 68,986 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | (4,658 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Unrealized Appreciation on Open Exchange-Traded Futures Contracts | | | | | | | | | | | | | | | | | | $ | 522,521 | |
| | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
214
| | | | | | |
| International Fixed Income Fund |
At February 28, 2019, International Fixed Income Fund had deposited cash of $436,000 with a broker or brokers as margin collateral on an open exchange-traded futures contracts.
At February 28, 2019, International Fixed Income Fund had open forward foreign currency contracts as described below.
The unrealized appreciation (depreciation) on the open contracts reflected in the accompanying financial statements were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Foreign Currency | | Local Currency | | | In Exchange
For | | | Counterparty | | | Market Value | | | Settlement
Date | | | Unrealized
Appreciation/
(Depreciation) | |
| Contracts to Buy: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Argentine Peso | | | 2,385,246 | | | | USD | | | | 62,523 | | | | BNP | | | $ | 60,778 | | | | 3/7/19 | | | $ | (1,745 | ) |
Argentine Peso | | | 1,496,296 | | | | USD | | | | 36,406 | | | | BOA | | | | 36,376 | | | | 4/23/19 | | | | (30 | ) |
Australian Dollar | | | 524,000 | | | | USD | | | | 375,033 | | | | BOA | | | | 371,725 | | | | 3/4/19 | | | | (3,308 | ) |
Australian Dollar | | | 1,560,000 | | | | USD | | | | 1,114,650 | | | | GSC | | | | 1,106,664 | | | | 3/4/19 | | | | (7,986 | ) |
Australian Dollar | | | 429,000 | | | | USD | | | | 304,540 | | | | JPM | | | | 304,332 | | | | 3/4/19 | | | | (208 | ) |
Australian Dollar | | | 270,000 | | | | USD | | | | 192,596 | | | | JPM | | | | 191,538 | | | | 3/4/19 | | | | (1,058 | ) |
Australian Dollar | | | 973,000 | | | | USD | | | | 706,925 | | | | BNP | | | | 690,261 | | | | 3/5/19 | | | | (16,664 | ) |
Australian Dollar | | | 806,000 | | | | USD | | | | 569,365 | | | | JPM | | | | 571,789 | | | | 3/5/19 | | | | 2,424 | |
Brazilian Real | | | 754,082 | | | | USD | | | | 201,707 | | | | JPM | | | | 200,745 | | | | 3/6/19 | | | | (962 | ) |
Brazilian Real | | | 754,082 | | | | USD | | | | 199,974 | | | | SCB | | | | 200,746 | | | | 3/6/19 | | | | 772 | |
Brazilian Real | | | 754,082 | | | | USD | | | | 200,202 | | | | JPM | | | | 200,339 | | | | 4/2/19 | | | | 137 | |
British Pound | | | 5,675,189 | | | | USD | | | | 7,536,526 | | | | GSC | | | | 7,526,147 | | | | 3/4/19 | | | | (10,379 | ) |
British Pound | | | 111,000 | | | | USD | | | | 143,552 | | | | BOA | | | | 147,211 | | | | 3/5/19 | | | | 3,659 | |
British Pound | | | 648,000 | | | | USD | | | | 834,198 | | | | JPM | | | | 859,389 | | | | 3/5/19 | | | | 25,191 | |
Canadian Dollar | | | 823,000 | | | | USD | | | | 627,835 | | | | BOA | | | | 625,522 | | | | 3/4/19 | | | | (2,313 | ) |
Canadian Dollar | | | 6,833,000 | | | | USD | | | | 5,174,555 | | | | HSBC | | | | 5,193,433 | | | | 3/4/19 | | | | 18,878 | |
Canadian Dollar | | | 927,000 | | | | USD | | | | 700,754 | | | | HSBC | | | | 704,584 | | | | 3/5/19 | | | | 3,830 | |
Canadian Dollar | | | 738,000 | | | | USD | | | | 564,007 | | | | HSBC | | | | 560,930 | | | | 3/5/19 | | | | (3,077 | ) |
Chilean Peso | | | 2,602,519 | | | | USD | | | | 3,976 | | | | BCLY | | | | 3,968 | | | | 4/10/19 | | | | (8 | ) |
Chinese Offshore Renminbi | | | 3,595,268 | | | | USD | | | | 521,219 | | | | BNP | | | | 536,555 | | | | 4/15/19 | | | | 15,336 | |
Chinese Offshore Renminbi | | | 5,401,036 | | | | USD | | | | 787,635 | | | | BNP | | | | 806,046 | | | | 4/15/19 | | | | 18,411 | |
Chinese Offshore Renminbi | | | 3,776,793 | | | | USD | | | | 547,730 | | | | SCB | | | | 563,645 | | | | 4/15/19 | | | | 15,915 | |
Chinese Offshore Renminbi | | | 14,663,831 | | | | USD | | | | 2,137,980 | | | | BOA | | | | 2,188,123 | | | | 7/12/19 | | | | 50,143 | |
Colombian Peso | | | 2,256,059,500 | | | | USD | | | | 720,613 | | | | BNP | | | | 728,995 | | | | 6/11/19 | | | | 8,382 | |
Danish Krone | | | 800,000 | | | | USD | | | | 123,454 | | | | SOG | | | | 122,274 | | | | 4/1/19 | | | | (1,180 | ) |
Euro | | | 515,000 | | | | USD | | | | 592,843 | | | | GSC | | | | 585,761 | | | | 3/4/19 | | | | (7,082 | ) |
Euro | | | 3,000 | | | | USD | | | | 3,406 | | | | BNP | | | | 3,412 | | | | 3/5/19 | | | | 6 | |
Euro | | | 234,000 | | | | USD | | | | 264,369 | | | | GSC | | | | 266,174 | | | | 3/5/19 | | | | 1,805 | |
Euro | | | 290,000 | | | | USD | | | | 350,117 | | | | HSBC | | | | 332,261 | | | | 5/28/19 | | | | (17,856 | ) |
Euro | | | 2,219,000 | | | | USD | | | | 2,598,236 | | | | GSC | | | | 2,547,085 | | | | 6/19/19 | | | | (51,151 | ) |
Indian Rupee | | | 52,759,759 | | | | USD | | | | 739,720 | | | | BNP | | | | 743,205 | | | | 3/20/19 | | | | 3,485 | |
Indian Rupee | | | 31,565,820 | | | | USD | | | | 429,000 | | | | HSBC | | | | 434,010 | | | | 10/18/19 | | | | 5,010 | |
Indian Rupee | | | 5,152,000 | | | | USD | | | | 70,000 | | | | HSBC | | | | 70,837 | | | | 10/18/19 | | | | 837 | |
Indonesian Rupiah | | | 2,451,225,000 | | | | USD | | | | 175,000 | | | | BNP | | | | 173,999 | | | | 3/20/19 | | | | (1,001 | ) |
Indonesian Rupiah | | | 2,508,090,000 | | | | USD | | | | 177,000 | | | | GSC | | | | 178,036 | | | | 3/20/19 | | | | 1,036 | |
Indonesian Rupiah | | | 4,959,315,000 | | | | USD | | | | 347,461 | | | | SCB | | | | 348,396 | | | | 6/19/19 | | | | 935 | |
Japanese Yen | | | 1,615,608,000 | | | | USD | | | | 14,579,043 | | | | BCLY | | | | 14,494,308 | | | | 3/4/19 | | | | (84,735 | ) |
Japanese Yen | | | 30,548,000 | | | | USD | | | | 276,519 | | | | GSC | | | | 274,080 | | | | 3/5/19 | | | | (2,439 | ) |
Japanese Yen | | | 15,279,000 | | | | USD | | | | 138,673 | | | | JPM | | | | 137,084 | | | | 3/5/19 | | | | (1,589 | ) |
Japanese Yen | | | 46,586,000 | | | | USD | | | | 419,493 | | | | JPM | | | | 417,974 | | | | 3/5/19 | | | | (1,519 | ) |
Korean Won | | | 79,527,100 | | | | USD | | | | 71,000 | | | | BNP | | | | 70,691 | | | | 3/20/19 | | | | (309 | ) |
Korean Won | | | 1,961,472,360 | | | | USD | | | | 1,744,772 | | | | GSC | | | | 1,743,533 | | | | 3/20/19 | | | | (1,239 | ) |
Korean Won | | | 323,506,600 | | | | USD | | | | 289,000 | | | | HSBC | | | | 287,562 | | | | 3/20/19 | | | | (1,438 | ) |
See Notes to Financial Statements.
215
| | | | | | |
| International Fixed Income Fund |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Foreign Currency | | Local Currency | | | In Exchange
For | | | Counterparty | | | Market Value | | | Settlement
Date | | | Unrealized
Appreciation/
(Depreciation) | |
Korean Won | | | 92,642,110 | | | | USD | | | | 83,000 | | | | SCB | | | $ | 82,349 | | | | 3/20/19 | | | $ | (651 | ) |
Korean Won | | | 235,349,400 | | | | USD | | | | 211,000 | | | | BCLY | | | | 209,243 | | | | 3/27/19 | | | | (1,757 | ) |
Korean Won | | | 1,036,390,400 | | | | USD | | | | 928,000 | | | | BCLY | | | | 921,429 | | | | 3/27/19 | | | | (6,571 | ) |
Korean Won | | | 41,369,345 | | | | USD | | | | 37,000 | | | | GSC | | | | 36,783 | | | | 3/29/19 | | | | (217 | ) |
Korean Won | | | 89,184,000 | | | | USD | | | | 80,000 | | | | HSBC | | | | 79,296 | | | | 3/29/19 | | | | (704 | ) |
Korean Won | | | 321,798,750 | | | | USD | | | | 287,000 | | | | HSBC | | | | 286,183 | | | | 4/5/19 | | | | (817 | ) |
Korean Won | | | 228,131,400 | | | | USD | | | | 203,000 | | | | SCB | | | | 202,883 | | | | 4/5/19 | | | | (117 | ) |
Mexican Peso | | | 16,877,000 | | | | USD | | | | 865,620 | | | | BCLY | | | | 874,356 | | | | 3/11/19 | | | | 8,736 | |
Mexican Peso | | | 7,234,000 | | | | USD | | | | 370,361 | | | | DUB | | | | 374,776 | | | | 3/11/19 | | | | 4,415 | |
Mexican Peso | | | 21,450,000 | | | | USD | | | | 1,097,695 | | | | HSBC | | | | 1,111,272 | | | | 3/11/19 | | | | 13,577 | |
Mexican Peso | | | 2,874,769 | | | | USD | | | | 134,000 | | | | DUB | | | | 148,862 | | | | 3/14/19 | | | | 14,862 | |
Mexican Peso | | | 1,181,700 | | | | USD | | | | 60,000 | | | | HSBC | | | | 61,191 | | | | 3/14/19 | | | | 1,191 | |
Mexican Peso | | | 26,294,000 | | | | USD | | | | 1,339,685 | | | | HSBC | | | | 1,329,890 | | | | 8/14/19 | | | | (9,795 | ) |
Mexican Peso | | | 24,466,479 | | | | USD | | | | 1,242,679 | | | | JPM | | | | 1,237,458 | | | | 8/14/19 | | | | (5,221 | ) |
New Taiwan Dollar | | | 10,825,416 | | | | USD | | | | 353,000 | | | | GSC | | | | 351,871 | | | | 3/29/19 | | | | (1,129 | ) |
New Zealand Dollar | | | 4,728,000 | | | | USD | | | | 3,249,403 | | | | SCB | | | | 3,220,004 | | | | 3/4/19 | | | | (29,399 | ) |
New Zealand Dollar | | | 197,000 | | | | USD | | | | 135,667 | | | | GSC | | | | 134,170 | | | | 3/5/19 | | | | (1,497 | ) |
New Zealand Dollar | | | 227,000 | | | | USD | | | | 152,869 | | | | JPM | | | | 154,602 | | | | 3/5/19 | | | | 1,733 | |
New Zealand Dollar | | | 811,000 | | | | USD | | | | 558,378 | | | | UBS | | | | 552,344 | | | | 3/5/19 | | | | (6,034 | ) |
Norwegian Krone | | | 1,635,000 | | | | USD | | | | 188,586 | | | | BOA | | | | 191,068 | | | | 3/4/19 | | | | 2,482 | |
Norwegian Krone | | | 1,410,000 | | | | USD | | | | 166,798 | | | | BOA | | | | 164,775 | | | | 3/4/19 | | | | (2,023 | ) |
Norwegian Krone | | | 7,262,000 | | | | USD | | | | 844,257 | | | | BOA | | | | 848,687 | | | | 3/5/19 | | | | 4,430 | |
Norwegian Krone | | | 5,942,000 | | | | USD | | | | 702,436 | | | | RBS | | | | 694,422 | | | | 3/5/19 | | | | (8,014 | ) |
Russian Ruble | | | 111,555,523 | | | | USD | | | | 1,646,263 | | | | BOA | | | | 1,688,717 | | | | 3/15/19 | | | | 42,454 | |
Russian Ruble | | | 28,020,085 | | | | USD | | | | 423,736 | | | | BOA | | | | 422,381 | | | | 4/15/19 | | | | (1,355 | ) |
Russian Ruble | | | 111,555,523 | | | | USD | | | | 1,679,743 | | | | SOG | | | | 1,674,634 | | | | 5/15/19 | | | | (5,109 | ) |
Swedish Krona | | | 62,725,000 | | | | USD | | | | 6,733,642 | | | | SCB | | | | 6,790,992 | | | | 3/4/19 | | | | 57,350 | |
Swedish Krona | | | 6,553,000 | | | | USD | | | | 704,198 | | | | HSBC | | | | 709,524 | | | | 3/5/19 | | | | 5,326 | |
Swedish Krona | | | 8,849,000 | | | | USD | | | | 979,567 | | | | JPM | | | | 958,122 | | | | 3/5/19 | | | | (21,445 | ) |
Swiss Franc | | | 144,000 | | | | USD | | | | 143,937 | | | | BOA | | | | 144,273 | | | | 3/5/19 | | | | 336 | |
Swiss Franc | | | 835,000 | | | | USD | | | | 839,147 | | | | JPM | | | | 836,583 | | | | 3/5/19 | | | | (2,564 | ) |
Swiss Franc | | | 136,000 | | | | USD | | | | 135,570 | | | | JPM | | | | 136,258 | | | | 3/5/19 | | | | 688 | |
Turkish Lira | | | 756,000 | | | | USD | | | | 139,751 | | | | HSBC | | | | 140,701 | | | | 3/15/19 | | | | 950 | |
Turkish Lira | | | 1,131,871 | | | | USD | | | | 207,715 | | | | SOG | | | | 206,868 | | | | 4/15/19 | | | | (847 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | 10,180 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Contracts to Sell: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Argentine Peso | | | 1,496,296 | | | | USD | | | | 38,220 | | | | BOA | | | | 38,127 | | | | 3/7/19 | | | | 93 | |
Argentine Peso | | | 888,950 | | | | USD | | | | 23,000 | | | | HSBC | | | | 22,651 | | | | 3/7/19 | | | | 349 | |
Argentine Peso | | | 5,179,350 | | | | USD | | | | 129,000 | | | | BNP | | | | 128,584 | | | | 4/3/19 | | | | 416 | |
Australian Dollar | | | 1,046,000 | | | | USD | | | | 758,542 | | | | HSBC | | | | 742,033 | | | | 3/4/19 | | | | 16,509 | |
Australian Dollar | | | 1,737,000 | | | | USD | | | | 1,263,535 | | | | SCB | | | | 1,232,227 | | | | 3/4/19 | | | | 31,308 | |
Australian Dollar | | | 788,000 | | | | USD | | | | 561,683 | | | | BOA | | | | 559,019 | | | | 3/5/19 | | | | 2,664 | |
Australian Dollar | | | 201,000 | | | | USD | | | | 144,135 | | | | BOA | | | | 142,593 | | | | 3/5/19 | | | | 1,542 | |
Australian Dollar | | | 395,000 | | | | USD | | | | 285,272 | | | | GSC | | | | 280,219 | | | | 3/5/19 | | | | 5,053 | |
Australian Dollar | | | 1,560,000 | | | | USD | | | | 1,115,149 | | | | GSC | | | | 1,107,228 | | | | 4/2/19 | | | | 7,921 | |
Brazilian Real | | | 754,082 | | | | USD | | | | 200,607 | | | | JPM | | | | 200,745 | | | | 3/6/19 | | | | (138 | ) |
Brazilian Real | | | 754,082 | | | | USD | | | | 201,707 | | | | SCB | | | | 200,745 | | | | 3/6/19 | | | | 962 | |
Brazilian Real | | | 604,619 | | | | USD | | | | 158,000 | | | | DUB | | | | 160,861 | | | | 3/14/19 | | | | (2,861 | ) |
Brazilian Real | | | 202,500 | | | | USD | | | | 60,000 | | | | HSBC | | | | 53,876 | | | | 3/14/19 | | | | 6,124 | |
Brazilian Real | | | 5,600,000 | | | | USD | | | | 1,469,932 | | | | JPM | | | | 1,476,975 | | | | 7/2/19 | | | | (7,043 | ) |
British Pound | | | 126,000 | | | | USD | | | | 163,474 | | | | GSC | | | | 167,094 | | | | 3/4/19 | | | | (3,620 | ) |
British Pound | | | 5,351,189 | | | | USD | | | | 7,030,293 | | | | GSC | | | | 7,096,475 | | | | 3/4/19 | | | | (66,182 | ) |
See Notes to Financial Statements.
216
| | | | | | |
| International Fixed Income Fund |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Foreign Currency | | Local Currency | | | In Exchange
For | | | Counterparty | | | Market Value | | | Settlement
Date | | | Unrealized
Appreciation/
(Depreciation) | |
British Pound | | | 198,000 | | | | USD | | | | 258,860 | | | | JPM | | | $ | 262,577 | | | | 3/4/19 | | | $ | (3,717 | ) |
British Pound | | | 437,000 | | | | USD | | | | 570,564 | | | | BOA | | | | 579,557 | | | | 3/5/19 | | | | (8,993 | ) |
British Pound | | | 214,000 | | | | USD | | | | 280,338 | | | | SCB | | | | 283,810 | | | | 3/5/19 | | | | (3,472 | ) |
British Pound | | | 5,675,189 | | | | USD | | | | 7,547,971 | | | | GSC | | | | 7,537,842 | | | | 4/2/19 | | | | 10,129 | |
British Pound | | | 151,000 | | | | USD | | | | 202,370 | | | | BNP | | | | 201,327 | | | | 6/18/19 | | | | 1,043 | |
Canadian Dollar | | | 7,656,000 | | | | USD | | | | 5,777,716 | | | | BOA | | | | 5,818,955 | | | | 3/4/19 | | | | (41,239 | ) |
Canadian Dollar | | | 371,000 | | | | USD | | | | 282,760 | | | | BOA | | | | 281,986 | | | | 3/5/19 | | | | 774 | |
Canadian Dollar | | | 553,000 | | | | USD | | | | 415,566 | | | | JPM | | | | 420,318 | | | | 3/5/19 | | | | (4,752 | ) |
Canadian Dollar | | | 6,833,000 | | | | USD | | | | 5,178,379 | | | | HSBC | | | | 5,197,265 | | | | 4/2/19 | | | | (18,886 | ) |
Chinese Offshore Renminbi | | | 2,722,356 | | | | USD | | | | 392,865 | | | | BNP | | | | 406,283 | | | | 4/15/19 | | | | (13,418 | ) |
Chinese Offshore Renminbi | | | 1,373,000 | | | | USD | | | | 203,438 | | | | BOA | | | | 204,906 | | | | 4/15/19 | | | | (1,468 | ) |
Chinese Offshore Renminbi | | | 1,800,166 | | | | USD | | | | 265,554 | | | | HSBC | | | | 268,655 | | | | 4/15/19 | | | | (3,101 | ) |
Chinese Offshore Renminbi | | | 1,849,689 | | | | USD | | | | 272,989 | | | | HSBC | | | | 276,047 | | | | 4/15/19 | | | | (3,058 | ) |
Chinese Offshore Renminbi | | | 2,223,204 | | | | USD | | | | 328,051 | | | | JPM | | | | 331,789 | | | | 4/15/19 | | | | (3,738 | ) |
Chinese Offshore Renminbi | | | 2,804,680 | | | | USD | | | | 403,696 | | | | SCB | | | | 418,568 | | | | 4/15/19 | | | | (14,872 | ) |
Chinese Offshore Renminbi | | | 1,369,505 | | | | USD | | | | 200,358 | | | | BOA | | | | 204,356 | | | | 7/12/19 | | | | (3,998 | ) |
Chinese Offshore Renminbi | | | 1,677,501 | | | | USD | | | | 248,812 | | | | HSBC | | | | 250,315 | | | | 7/12/19 | | | | (1,503 | ) |
Chinese Offshore Renminbi | | | 7,725,305 | | | | USD | | | | 1,126,483 | | | | HSBC | | | | 1,152,763 | | | | 7/12/19 | | | | (26,280 | ) |
Chinese Offshore Renminbi | | | 3,367,520 | | | | USD | | | | 499,032 | | | | HSBC | | | | 502,498 | | | | 7/12/19 | | | | (3,466 | ) |
Chinese Offshore Renminbi | | | 524,000 | | | | USD | | | | 77,005 | | | | JPM | | | | 78,191 | | | | 7/12/19 | | | | (1,186 | ) |
Danish Krone | | | 355,000 | | | | USD | | | | 54,097 | | | | RBS | | | | 54,260 | | | | 4/1/19 | | | | (163 | ) |
Danish Krone | | | 26,762,842 | | | | USD | | | | 4,117,649 | | | | UBS | | | | 4,090,511 | | | | 4/1/19 | | | | 27,138 | |
Euro | | | 40,434,130 | | | | USD | | | | 46,588,609 | | | | BOA | | | | 45,989,789 | | | | 3/4/19 | | | | 598,820 | |
Euro | | | 470,000 | | | | USD | | | | 532,540 | | | | BOA | | | | 534,578 | | | | 3/4/19 | | | | (2,038 | ) |
Euro | | | 10,844,413 | | | | USD | | | | 12,508,033 | | | | HSBC | | | | 12,334,438 | | | | 3/4/19 | | | | 173,595 | |
Euro | | | 253,000 | | | | USD | | | | 286,446 | | | | GSC | | | | 287,786 | | | | 3/5/19 | | | | (1,340 | ) |
Euro | | | 608,000 | | | | USD | | | | 696,315 | | | | GSC | | | | 691,596 | | | | 3/5/19 | | | | 4,719 | |
Euro | | | 490,609 | | | | USD | | | | 564,301 | | | | HSBC | | | | 558,064 | | | | 3/5/19 | | | | 6,237 | |
Euro | | | 311,000 | | | | USD | | | | 354,975 | | | | BNP | | | | 354,625 | | | | 4/2/19 | | | | 350 | |
Euro | | | 10,472,647 | | | | USD | | | | 11,953,270 | | | | BOA | | | | 11,941,676 | | | | 4/2/19 | | | | 11,594 | |
Euro | | | 40,760,897 | | | | USD | | | | 46,527,377 | | | | JPM | | | | 46,478,548 | | | | 4/2/19 | | | | 48,829 | |
Euro | | | 114,000 | | | | SEK | | | | 1,169,287 | | | | JPM | | | | 130,234 | | | | 4/23/19 | | | | (3,120 | ) |
Euro | | | 350,000 | | | | USD | | | | 408,503 | | | | HSBC | | | | 401,005 | | | | 5/28/19 | | | | 7,498 | |
Indian Rupee | | | 37,183,730 | | | | USD | | | | 519,551 | | | | GSC | | | | 523,792 | | | | 3/20/19 | | | | (4,241 | ) |
Indian Rupee | | | 11,983,440 | | | | USD | | | | 168,000 | | | | GSC | | | | 168,806 | | | | 3/20/19 | | | | (806 | ) |
Indian Rupee | | | 3,592,589 | | | | USD | | | | 50,281 | | | | SOG | | | | 50,607 | | | | 3/20/19 | | | | (326 | ) |
Indian Rupee | | | 52,759,759 | | | | USD | | | | 730,947 | | | | BNP | | | | 734,874 | | | | 6/19/19 | | | | (3,927 | ) |
Indian Rupee | | | 20,507,895 | | | | USD | | | | 279,000 | | | | HSBC | | | | 281,970 | | | | 10/18/19 | | | | (2,970 | ) |
Indian Rupee | | | 11,024,400 | | | | USD | | | | 150,000 | | | | HSBC | | | | 151,578 | | | | 10/18/19 | | | | (1,578 | ) |
Indonesian Rupiah | | | 4,959,315,000 | | | | USD | | | | 351,575 | | | | SCB | | | | 352,035 | | | | 3/20/19 | | | | (460 | ) |
Japanese Yen | | | 16,600,000 | | | | USD | | | | 151,345 | | | | BCLY | | | | 148,925 | | | | 3/4/19 | | | | 2,420 | |
Japanese Yen | | | 1,393,408,000 | | | | USD | | | | 12,777,558 | | | | BCLY | | | | 12,500,857 | | | | 3/4/19 | | | | 276,701 | |
Japanese Yen | | | 51,700,000 | | | | USD | | | | 471,125 | | | | BNP | | | | 463,822 | | | | 3/4/19 | | | | 7,303 | |
Japanese Yen | | | 12,800,000 | | | | USD | | | | 117,196 | | | | HSBC | | | | 114,835 | | | | 3/4/19 | | | | 2,361 | |
Japanese Yen | | | 120,600,000 | | | | USD | | | | 1,092,065 | | | | HSBC | | | | 1,081,954 | | | | 3/4/19 | | | | 10,111 | |
Japanese Yen | | | 20,500,000 | | | | USD | | | | 186,899 | | | | JPM | | | | 183,914 | | | | 3/4/19 | | | | 2,985 | |
Japanese Yen | | | 61,329,000 | | | | USD | | | | 558,417 | | | | JPM | | | | 550,250 | | | | 3/5/19 | | | | 8,167 | |
Japanese Yen | | | 800,000,000 | | | | USD | | | | 7,122,076 | | | | BOA | | | | 7,180,897 | | | | 3/11/19 | | | | (58,821 | ) |
Japanese Yen | | | 1,615,608,000 | | | | USD | | | | 14,614,492 | | | | BCLY | | | | 14,529,062 | | | | 4/2/19 | | | | 85,430 | |
Japanese Yen | | | 10,000,000 | | | | USD | | | | 91,879 | | | | BCLY | | | | 90,281 | | | | 5/20/19 | | | | 1,598 | |
Japanese Yen | | | 13,000,000 | | | | USD | | | | 119,422 | | | | BNP | | | | 117,367 | | | | 5/20/19 | | | | 2,055 | |
Japanese Yen | | | 7,000,000 | | | | USD | | | | 64,272 | | | | GSC | | | | 63,197 | | | | 5/20/19 | | | | 1,075 | |
See Notes to Financial Statements.
217
| | | | | | |
| International Fixed Income Fund |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Foreign Currency | | Local Currency | | | In Exchange
For | | | Counterparty | | | Market Value | | | Settlement
Date | | | Unrealized
Appreciation/
(Depreciation) | |
Korean Won | | | 342,498,900 | | | | USD | | | | 304,752 | | | | BNP | | | $ | 304,444 | | | | 3/20/19 | | | $ | 308 | |
Korean Won | | | 2,005,602,563 | | | | USD | | | | 1,784,741 | | | | GSC | | | | 1,782,760 | | | | 3/20/19 | | | | 1,981 | |
Korean Won | | | 109,046,707 | | | | USD | | | | 97,000 | | | | GSC | | | | 96,931 | | | | 3/20/19 | | | | 69 | |
Korean Won | | | 1,961,472,360 | | | | USD | | | | 1,749,752 | | | | GSC | | | | 1,748,826 | | | | 6/19/19 | | | | 926 | |
Mexican Peso | | | 5,894,000 | | | | USD | | | | 307,106 | | | | HSBC | | | | 305,354 | | | | 3/11/19 | | | | 1,752 | |
Mexican Peso | | | 26,294,000 | | | | USD | | | | 1,372,338 | | | | HSBC | | | | 1,362,228 | | | | 3/11/19 | | | | 10,110 | |
Mexican Peso | | | 10,983,000 | | | | USD | | | | 573,324 | | | | HSBC | | | | 569,002 | | | | 3/11/19 | | | | 4,322 | |
Mexican Peso | | | 2,390,000 | | | | USD | | | | 123,142 | | | | HSBC | | | | 123,820 | | | | 3/11/19 | | | | (678 | ) |
Mexican Peso | | | 4,056,469 | | | | USD | | | | 212,062 | | | | HSBC | | | | 210,054 | | | | 3/14/19 | | | | 2,008 | |
Mexican Peso | | | 16,877,000 | | | | USD | | | | 864,370 | | | | BCLY | | | | 873,082 | | | | 3/20/19 | | | | (8,712 | ) |
Mexican Peso | | | 1,841,000 | | | | USD | | | | 94,778 | | | | JPM | | | | 94,840 | | | | 4/15/19 | | | | (62 | ) |
Mexican Peso | | | 9,826,000 | | | | USD | | | | 501,293 | | | | BCLY | | | | 496,976 | | | | 8/14/19 | | | | 4,317 | |
Mexican Peso | | | 8,209,531 | | | | USD | | | | 418,911 | | | | GSC | | | | 415,219 | | | | 8/14/19 | | | | 3,692 | |
New Taiwan Dollar | | | 11,186,381 | | | | USD | | | | 365,712 | | | | BNP | | | | 363,342 | | | | 3/20/19 | | | | 2,370 | |
New Zealand Dollar | | | 261,000 | | | | USD | | | | 178,660 | | | | BCLY | | | | 177,754 | | | | 3/4/19 | | | | 906 | |
New Zealand Dollar | | | 578,000 | | | | USD | | | | 397,517 | | | | BOA | | | | 393,647 | | | | 3/4/19 | | | | 3,870 | |
New Zealand Dollar | | | 3,889,000 | | | | USD | | | | 2,662,350 | | | | HSBC | | | | 2,648,603 | | | | 3/4/19 | | | | 13,747 | |
New Zealand Dollar | | | 1,237,000 | | | | USD | | | | 846,385 | | | | JPM | | | | 842,477 | | | | 3/5/19 | | | | 3,908 | |
New Zealand Dollar | | | 4,728,000 | | | | USD | | | | 3,251,141 | | | | SCB | | | | 3,222,035 | | | | 4/2/19 | | | | 29,106 | |
Norwegian Krone | | | 7,227,000 | | | | USD | | | | 829,085 | | | | BCLY | | | | 844,596 | | | | 3/5/19 | | | | (15,511 | ) |
Norwegian Krone | | | 1,174,000 | | | | USD | | | | 136,677 | | | | GSC | | | | 137,202 | | | | 3/5/19 | | | | (525 | ) |
Norwegian Krone | | | 2,378,000 | | | | USD | | | | 282,399 | | | | JPM | | | | 277,909 | | | | 3/5/19 | | | | 4,490 | |
Polish Zloty | | | 2,892,133 | | | | USD | | | | 774,152 | | | | HSBC | | | | 765,294 | | | | 4/15/19 | | | | 8,858 | |
Romanian New Leu | | | 1,852,000 | | | | USD | | | | 439,683 | | | | BNP | | | | 441,755 | | | | 7/26/19 | | | | (2,072 | ) |
Romanian New Leu | | | 1,117,467 | | | | EUR | | | | 229,799 | | | | BOA | | | | 266,548 | | | | 7/26/19 | | | | (1,936 | ) |
Russian Ruble | | | 111,555,523 | | | | USD | | | | 1,693,295 | | | | SOG | | | | 1,688,717 | | | | 3/15/19 | | | | 4,578 | |
Swedish Krona | | | 390,000 | | | | USD | | | | 42,393 | | | | BNP | | | | 42,223 | | | | 3/4/19 | | | | 170 | |
Swedish Krona | | | 62,335,000 | | | | USD | | | | 6,876,088 | | | | SCB | | | | 6,748,769 | | | | 3/4/19 | | | | 127,319 | |
Swedish Krona | | | 1,289,000 | | | | USD | | | | 139,492 | | | | JPM | | | | 139,566 | | | | 3/5/19 | | | | (74 | ) |
Swedish Krona | | | 4,950,000 | | | | USD | | | | 533,224 | | | | JPM | | | | 535,960 | | | | 3/5/19 | | | | (2,736 | ) |
Swedish Krona | | | 62,725,000 | | | | USD | | | | 6,749,624 | | | | SCB | | | | 6,807,218 | | | | 4/2/19 | | | | (57,594 | ) |
Swedish Krona | | | 607,632 | | | | EUR | | | | 59,000 | | | | DUB | | | | 66,055 | | | | 4/23/19 | | | | 1,346 | |
Swedish Krona | | | 820,850 | | | | EUR | | | | 79,000 | | | | RBS | | | | 89,235 | | | | 4/23/19 | | | | 1,015 | |
Swiss Franc | | | 693,000 | | | | USD | | | | 699,161 | | | | JPM | | | | 694,313 | | | | 3/5/19 | | | | 4,848 | |
Swiss Franc | | | 843,000 | | | | USD | | | | 840,936 | | | | SCB | | | | 844,598 | | | | 3/5/19 | | | | (3,662 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | 1,189,546 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Unrealized Appreciation on Open Forward Foreign Currency Contracts | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 1,199,726 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
At February 28, 2019, International Fixed Income Fund held the following Centrally Cleared Interest Rate Swap Contracts:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Pay/Receive
Floating Rate | | Floating Rate Index | | Fixed
Rate | | | Maturity
Date | | | Payment
Frequency | | | Notional
Amount | | | Market
Value | | | Upfront
Payment
Paid/
(Received) | | | Unrealized
Appreciation/
(Depreciation) | |
| Pay | | BRL-CDI-Compounded | | | 0.000% | | | | 1/4/21 | | | | PAM | * | | BRL | 200,000 | | | $ | 2,243 | | | $ | (1,516 | ) | | $ | 3,759 | |
| Receive | | U.S. Federal Funds Effective Rate Index | | | 2.673% | | | | 4/30/25 | | | | 12-Month | | | USD | 200,000 | | | | (5,078 | ) | | | 20 | | | | (5,098 | ) |
| Receive | | U.S. Federal Funds Effective Rate Index | | | 2.683% | | | | 4/30/25 | | | | 12-Month | | | USD | 1,000,000 | | | | (25,975 | ) | | | 372 | | | | (26,347 | ) |
| Receive | | U.S. Federal Funds Effective Rate Index | | | 2.684% | | | | 4/30/25 | | | | 12-Month | | | USD | 1,000,000 | | | | (25,906 | ) | | | (32 | ) | | | (25,874 | ) |
| Receive | | U.S. Federal Funds Effective Rate Index | | | 2.696% | | | | 4/30/25 | | | | 12-Month | | | USD | 300,000 | | | | (8,048 | ) | | | — | | | | (8,048 | ) |
| Receive | | U.S. Federal Funds Effective Rate Index | | | 2.710% | | | | 4/30/25 | | | | 12-Month | | | USD | 300,000 | | | | (8,324 | ) | | | — | | | | (8,324 | ) |
See Notes to Financial Statements.
218
| | | | | | |
| International Fixed Income Fund |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Pay/Receive
Floating Rate | | Floating Rate Index | | Fixed
Rate | | | Maturity
Date | | | Payment
Frequency | | | Notional
Amount | | | Market
Value | | | Upfront
Payment
Paid/
(Received) | | | Unrealized
Appreciation/
(Depreciation) | |
| Pay | | 28-Day MXN TIIE Banxico | | | 5.825% | | | | 1/12/23 | | | | 28-Day | | | MXN | 6,800,000 | | | $ | (26,983 | ) | | $ | 2,273 | | | $ | (29,256 | ) |
| Pay | | 28-Day MXN TIIE Banxico | | | 7.317% | | | | 3/23/22 | | | | 28-Day | | | MXN | 2,100,000 | | | | (2,370 | ) | | | — | | | | (2,370 | ) |
| Pay | | 28-Day MXN TIIE Banxico | | | 7.740% | | | | 2/22/27 | | | | 28-Day | | | MXN | 15,800,000 | | | | (25,290 | ) | | | (2,879 | ) | | | (22,411 | ) |
| Pay | | 3-Month Canadian Bank Bill | | | 2.300% | | | | 7/16/20 | | | | 6-Month | | | CAD | 8,800,000 | | | | 12,376 | | | | (13,489 | ) | | | 25,865 | |
| Pay | | 3-Month Canadian Bank Bill | | | 2.500% | | | | 6/19/29 | | | | 6-Month | | | CAD | 900,000 | | | | 3,074 | | | | 757 | | | | 2,317 | |
| Pay | | 3-MonthGBP-LIBOR | | | 1.500% | | | | 12/18/20 | | | | PAM | * | | GBP | 10,700,000 | | | | 56,797 | | | | 30,300 | | | | 26,497 | |
| Receive | | 3-MonthGBP-LIBOR | | | 1.500% | | | | 12/16/21 | | | | PAM | * | | GBP | 10,700,000 | | | | (34,342 | ) | | | (4,671 | ) | | | (29,671 | ) |
| Receive | | 3-MonthUSD-LIBOR | | | 1.750% | | | | 6/20/20 | | | | 6-Month | | | USD | 27,400,000 | | | | 374,568 | | | | 513,968 | | | | (139,400 | ) |
| Receive | | 3-MonthUSD-LIBOR | | | 1.750% | | | | 12/21/26 | | | | 6-Month | | | USD | 2,500,000 | | | | 163,728 | | | | (72,019 | ) | | | 235,747 | |
| Receive | | 3-MonthUSD-LIBOR | | | 2.000% | | | | 12/20/19 | | | | 6-Month | | | USD | 8,200,000 | | | | 55,579 | | | | (573 | ) | | | 56,152 | |
| Pay | | 3-MonthUSD-LIBOR | | | 2.000% | | | | 6/20/23 | | | | 6-Month | | | USD | 100,000 | | | | (2,406 | ) | | | (4,704 | ) | | | 2,298 | |
| Receive | | 3-MonthUSD-LIBOR | | | 2.250% | | | | 12/16/22 | | | | 6-Month | | | USD | 2,200,000 | | | | 26,381 | | | | (12,375 | ) | | | 38,756 | |
| Receive | | 3-MonthUSD-LIBOR | | | 2.250% | | | | 6/20/28 | | | | 6-Month | | | USD | 5,500,000 | | | | 209,252 | | | | 323,047 | | | | (113,795 | ) |
| Receive | | 3-MonthUSD-LIBOR | | | 2.500% | | | | 6/20/48 | | | | 6-Month | | | USD | 1,000,000 | | | | 84,538 | | | | 111,190 | | | | (26,652 | ) |
| Pay | | 3-MonthUSD-LIBOR | | | 2.750% | | | | 12/19/20 | | | | 6-Month | | | USD | 3,700,000 | | | | 7,730 | | | | (11,348 | ) | | | 19,078 | |
| Receive | | 3-MonthUSD-LIBOR | | | 2.750% | | | | 12/20/47 | | | | 6-Month | | | USD | 3,100,000 | | | | 101,012 | | | | (113,222 | ) | | | 214,234 | |
| Receive | | 3-MonthUSD-LIBOR | | | 2.953% | | | | 11/12/49 | | | | 6-Month | | | USD | 600,000 | | | | (4,070 | ) | | | — | | | | (4,070 | ) |
| Receive | | 3-MonthUSD-LIBOR | | | 2.955% | | | | 11/12/49 | | | | 6-Month | | | USD | 600,000 | | | | (4,376 | ) | | | — | | | | (4,376 | ) |
| Pay | | 3-MonthUSD-LIBOR | | | 3.000% | | | | 6/19/24 | | | | 6-Month | | | USD | 400,000 | | | | 7,970 | | | | 7,392 | | | | 578 | |
| Receive | | 3-MonthUSD-LIBOR | | | 3.000% | | | | 12/19/28 | | | | 6-Month | | | USD | 1,000,000 | | | | (25,423 | ) | | | 6,389 | | | | (31,812 | ) |
| Pay | | 3-MonthUSD-LIBOR | | | 3.000% | | | | 6/19/29 | | | | 3-Month | | | USD | 600,000 | | | | 12,925 | | | | 15,637 | | | | (2,712 | ) |
| Receive | | 3-MonthUSD-LIBOR | | | 3.000% | | | | 6/19/29 | | | | 6-Month | | | USD | 3,500,000 | | | | (82,776 | ) | | | (43,979 | ) | | | (38,797 | ) |
| Receive | | 3-MonthUSD-LIBOR | | | 3.000% | | | | 12/19/48 | | | | 6-Month | | | USD | 1,400,000 | | | | (26,260 | ) | | | 38,283 | | | | (64,543 | ) |
| Pay | | 3-MonthZAR-SAJIBOR | | | 7.250% | | | | 6/20/23 | | | | 3-Month | | | ZAR | 14,000,000 | | | | (4,887 | ) | | | (14,709 | ) | | | 9,822 | |
| Pay | | 3-MonthZAR-SAJIBOR | | | 8.500% | | | | 3/15/27 | | | | 3-Month | | | ZAR | 5,200,000 | | | | 15,223 | | | | (349 | ) | | | 15,572 | |
| Pay | | 3-MonthZAR-SAJIBOR | | | 8.750% | | | | 3/16/21 | | | | 3-Month | | | ZAR | 15,700,000 | | | | 37,290 | | | | 1,570 | | | | 35,720 | |
| Pay | | 6-Month EURIBOR | | | 0.000% | | | | 3/20/21 | | | | 12-Month | | | EUR | 6,400,000 | | | | 19,318 | | | | 3,673 | | | | 15,645 | |
| Pay | | 6-Month EURIBOR | | | 0.500% | | | | 3/20/24 | | | | 12-Month | | | EUR | 15,600,000 | | | | 284,429 | | | | 42,877 | | | | 241,552 | |
| Pay | | 6-Month EURIBOR | | | 0.500% | | | | 6/19/24 | | | | 12-Month | | | EUR | 4,800,000 | | | | 73,909 | | | | 25,332 | | | | 48,577 | |
| Pay | | 6-Month EURIBOR | | | 1.000% | | | | 3/20/29 | | | | 12-Month | | | EUR | 2,600,000 | | | | 82,944 | | | | 8,794 | | | | 74,150 | |
| Pay | | 6-Month EURIBOR | | | 1.000% | | | | 6/19/29 | | | | 12-Month | | | EUR | 7,600,000 | | | | 201,389 | | | | 19,673 | | | | 181,716 | |
| Receive | | 6-Month EURIBOR | | | 1.500% | | | | 3/20/49 | | | | 12-Month | | | EUR | 2,250,000 | | | | (130,130 | ) | | | 45,279 | | | | (175,409 | ) |
| Pay | | 6-MonthGBP-LIBOR | | | 1.000% | | | | 3/20/21 | | | | 6-Month | | | GBP | 1,400,000 | | | | (4,589 | ) | | | (9,361 | ) | | | 4,772 | |
| Receive | | 6-MonthGBP-LIBOR | | | 1.500% | | | | 3/20/24 | | | | 6-Month | | | GBP | 200,000 | | | | (2,305 | ) | | | (178 | ) | | | (2,127 | ) |
| Pay | | 6-MonthGBP-LIBOR | | | 1.500% | | | | 6/19/29 | | | | 6-Month | | | GBP | 100,000 | | | | (458 | ) | | | 768 | | | | (1,226 | ) |
| Pay | | 6-MonthGBP-LIBOR | | | 1.750% | | | | 3/20/49 | | | | 6-Month | | | GBP | 400,000 | | | | 12,106 | | | | 17,224 | | | | (5,118 | ) |
| Pay | | 6-MonthGBP-LIBOR | | | 1.750% | | | | 6/19/49 | | | | 6-Month | | | GBP | 200,000 | | | | 5,623 | | | | 13,931 | | | | (8,308 | ) |
| Pay | | 6-MonthJPY-LIBOR | | | 0.100% | | | | 3/20/24 | | | | 6-Month | | | JPY | 1,120,000,000 | | | | 58,306 | | | | (33,210 | ) | | | 91,516 | |
| Receive | | 6-MonthJPY-LIBOR | | | 0.380% | | | | 6/18/28 | | | | 6-Month | | | JPY | 200,000,000 | | | | (43,880 | ) | | | (42,912 | ) | | | (968 | ) |
| Receive | | 6-MonthJPY-LIBOR | | | 0.450% | | | | 3/20/29 | | | | 6-Month | | | JPY | 430,000,000 | | | | (112,687 | ) | | | (79,136 | ) | | | (33,551 | ) |
| Pay | | 6-MonthJPY-LIBOR | | | 0.724% | | | | 1/24/49 | | | | 6-Month | | | JPY | 7,000,000 | | | | 1,317 | | | | — | | | | 1,317 | |
| Receive | | 6-MonthJPY-LIBOR | | | 0.750% | | | | 12/20/38 | | | | 6-Month | | | JPY | 84,205,000 | | | | (38,139 | ) | | | 4,801 | | | | (42,940 | ) |
| Pay | | 6-MonthJPY-LIBOR | | | 1.000% | | | | 3/21/48 | | | | 6-Month | | | JPY | 37,000,000 | | | | 34,039 | | | | 27,504 | | | | 6,535 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | $ | 1,299,364 | | | $ | 800,392 | | | $ | 498,972 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
* PAM — paid at maturity.
See Notes to Financial Statements.
219
| | | | | | |
| International Fixed Income Fund |
| | | | | | | | | | | | | | | | | | | | | | |
| Fund Pay Floating Rate Index | | Fund Receive Floating
Rate Index | | Maturity
Date | | | Notional
Amount | | | Market
Value | | | Upfront Payment
(Received) | | | Unrealized
Appreciation | |
| 1-MonthUSD-LIBOR + 0.070% | | 3-Month USD-LIBOR | | | 6/12/22 | | | | USD 1,400,000 | | | $ | 2,055 | | | $ | — | | | $ | 2,055 | |
| 1-MonthUSD-LIBOR + 0.084% | | 3-MonthUSD-LIBOR | | | 6/12/22 | | | | USD 1,900,000 | | | | 1,892 | | | | — | | | | 1,892 | |
| 1-MonthUSD-LIBOR + 0.073% | | 3-MonthUSD-LIBOR | | | 4/27/23 | | | | USD 4,600,000 | | | | 503 | | | | — | | | | 503 | |
| 1-MonthUSD-LIBOR + 0.084% | | 3-MonthUSD-LIBOR | | | 4/26/22 | | | | USD 6,700,000 | | | | 462 | | | | — | | | | 462 | |
| 1-MonthUSD-LIBOR + 0.085% | | 3-MonthUSD-LIBOR | | | 6/19/22 | | | | USD 7,400,000 | | | | 7,356 | | | | (555 | ) | | | 7,911 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | $ | 12,268 | | | $ | (555 | ) | | $ | 12,823 | |
| | | | | | | | | | | | | | | | | | | | | | |
At February 28, 2019, International Fixed Income Fund held the following OTC and Centrally Cleared Credit Default Swap Contracts:
OTC Credit Default Swaps on Corporate and Sovereign Issues and Indexes — Buy Protection (1)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Obligation | | Fixed Deal
(Pay) Rate | | | Maturity
Date | | | Payment
Frequency | | | Counterparty | | | Implied Credit
Spread at
2/28/19 (2) | | | Notional
Amount (3) | | | Market
Value | | | Upfront
Payment
Paid/
(Received) | | | Unrealized
Appreciation/
(Depreciation) | |
China Government International Bond, A+ | | | (1.000 | )% | | | 6/20/23 | | | | 3-Month | | | | BCLY | | | | 0.448 | % | | USD | 200,000 | | | $ | (4,898 | ) | | $ | (3,815 | ) | | $ | (1,083 | ) |
China Government International Bond, A+ | | | (1.000 | )% | | | 6/20/23 | | | | 3-Month | | | | GSC | | | | 0.448 | % | | USD | 500,000 | | | | (12,245 | ) | | | (9,654 | ) | | | (2,591 | ) |
Japan Government International Bond, A+ | | | (1.000 | )% | | | 6/20/22 | | | | 3-Month | | | | BCLY | | | | 0.132 | % | | USD | 400,000 | | | | (11,898 | ) | | | (14,121 | ) | | | 2,223 | |
Japan Government International Bond, A+ | | | (1.000 | )% | | | 6/20/22 | | | | 3-Month | | | | BNP | | | | 0.132 | % | | USD | 700,000 | | | | (20,822 | ) | | | (25,057 | ) | | | 4,235 | |
Japan Government International Bond, A+ | | | (1.000 | )% | | | 6/20/22 | | | | 3-Month | | | | BOA | | | | 0.132 | % | | USD | 200,000 | | | | (5,948 | ) | | | (6,913 | ) | | | 965 | |
Japan Government International Bond, A+ | | | (1.000 | )% | | | 6/20/22 | | | | 3-Month | | | | GSC | | | | 0.132 | % | | USD | 500,000 | | | | (14,872 | ) | | | (17,653 | ) | | | 2,781 | |
Japan Government International Bond, A+ | | | (1.000 | )% | | | 6/20/22 | | | | 3-Month | | | | HSBC | | | | 0.132 | % | | USD | 300,000 | | | | (8,923 | ) | | | (10,159 | ) | | | 1,236 | |
Markit iTraxx Europe Sub Financials Series 275-Year Index | | | (1.000 | )% | | | 6/20/22 | | | | 3-Month | | | | BNP | | | | 1.027 | % | | EUR | 700,000 | | | | (850 | ) | | | 36,666 | | | | (37,516 | ) |
South Korea International Bond, AA | | | (1.000 | )% | | | 6/20/23 | | | | 3-Month | | | | BCLY | | | | 0.271 | % | | USD | 600,000 | | | | (19,097 | ) | | | (15,056 | ) | | | (4,041 | ) |
South Korea International Bond, AA | | | (1.000 | )% | | | 6/20/23 | | | | 3-Month | | | | BNP | | | | 0.271 | % | | USD | 400,000 | | | | (12,731 | ) | | | (9,884 | ) | | | (2,847 | ) |
South Korea International Bond, AA | | | (1.000 | )% | | | 6/20/23 | | | | 3-Month | | | | HSBC | | | | 0.271 | % | | USD | 200,000 | | | | (6,365 | ) | | | (4,989 | ) | | | (1,376 | ) |
South Korea International Bond, AA | | | (1.000 | )% | | | 6/20/23 | | | | 3-Month | | | | JPM | | | | 0.271 | % | | USD | 400,000 | | | | (12,731 | ) | | | (9,580 | ) | | | (3,151 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | $ | (131,380 | ) | | $ | (90,215 | ) | | $ | (41,165 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
OTC Credit Default Swaps on Corporate and Sovereign Issues — Sell Protection (4)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Obligation | | Fixed Deal
Receive Rate | | | Maturity
Date | | | Payment
Frequency | | | Counterparty | | | Implied Credit
Spread at
2/28/19 (2) | | | Notional
Amount (3) | | | Market
Value | | | Upfront
Premiums
(Received) | | | Unrealized
Appreciation | |
South Africa Government, BB | | | 1.000 | % | | | 6/20/23 | | | | 3-Month | | | | JPM | | | | 1.623 | % | | USD | 100,000 | | | $ | (2,288 | ) | | $ | (4,998 | ) | | $ | 2,710 | |
South Africa Government, BB | | | 1.000 | % | | | 12/20/23 | | | | 3-Month | | | | JPM | | | | 1.745 | % | | USD | 200,000 | | | | (6,154 | ) | | | (10,920 | ) | | | 4,766 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | $ | (8,442 | ) | | $ | (15,918 | ) | | $ | 7,476 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
220
| | | | | | |
| International Fixed Income Fund |
Centrally Cleared — Credit Default Swaps on Corporate and Sovereign Issues and Indexes — Buy Protection (1)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Obligation | | Fixed Deal
(Pay) Rate | | | Maturity
Date | | | Payment
Frequency | | | Implied Credit
Spread at
2/28/19 (2) | | | Notional
Amount (3) | | | Market
Value | | | Upfront
Payment
Paid/
(Received) | | | Unrealized
Appreciation/
(Depreciation) | |
Basf Se, A | | | (1.000 | )% | | | 12/20/20 | | | | 3-Month | | | | 0.069 | % | | | EUR | | | | 100,000 | | | $ | (2,169 | ) | | $ | (2,908 | ) | | $ | 739 | |
Markit CDX North America High Yield Series 315-Year Index | | | (5.000 | )% | | | 12/20/23 | | | | 3-Month | | | | 3.466 | % | | | USD | | | | 392,000 | | | | (28,423 | ) | | | (28,557 | ) | | | 134 | |
Markit CDX North America Investment Grade Series 295-Year Index | | | (1.000 | )% | | | 12/20/22 | | | | 3-Month | | | | 0.459 | % | | | USD | | | | 3,500,000 | | | | (75,363 | ) | | | (77,752 | ) | | | 2,389 | |
Markit iTraxx Europe Senior Financials Series 285-Year Index | | | (1.000 | )% | | | 12/20/22 | | | | 3-Month | | | | 0.422 | % | | | EUR | | | | 300,000 | | | | (6,993 | ) | | | (8,323 | ) | | | 1,330 | |
Markit iTraxx Europe Senior Financials Series 305-Year Index | | | (1.000 | )% | | | 12/20/23 | | | | 3-Month | | | | 0.740 | % | | | EUR | | | | 2,100,000 | | | | (34,714 | ) | | | 5,166 | | | | (39,880 | ) |
Markit iTraxx Europe Series 265-Year Index | | | (1.000 | )% | | | 12/20/21 | | | | 3-Month | | | | 0.273 | % | | | EUR | | | | 32,200,000 | | | | (830,733 | ) | | | (1,123,991 | ) | | | 293,258 | |
Markit iTraxx Europe Series 285-Year Index | | | (1.000 | )% | | | 12/20/22 | | | | 3-Month | | | | 0.520 | % | | | EUR | | | | 16,500,000 | | | | (453,296 | ) | | | (643,847 | ) | | | 190,551 | |
Markit iTraxx Europe Series 305-Year Index | | | (1.000 | )% | | | 12/20/23 | | | | 3-Month | | | | 0.615 | % | | | EUR | | | | 2,600,000 | | | | (60,250 | ) | | | (30,971 | ) | | | (29,279 | ) |
Reynolds American Inc., BBB+ | | | (1.000 | )% | | | 12/20/20 | | | | 3-Month | | | | 0.204 | % | | | USD | | | | 500,000 | | | | (8,057 | ) | | | (14,731 | ) | | | 6,674 | |
United Utilities PLC, BBB | | | (1.000 | )% | | | 12/20/20 | | | | 3-Month | | | | 0.167 | % | | | EUR | | | | 200,000 | | | | (3,894 | ) | | | (3,440 | ) | | | (454 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | $ | (1,503,892 | ) | | $ | (1,929,354 | ) | | $ | 425,462 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Centrally Cleared — Credit Default Swaps on Corporate and Sovereign Issues — Sell Protection (4)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Obligation | | Fixed Deal
Receive Rate | | | Maturity
Date | | | Payment
Frequency | | | Implied Credit
Spread at
2/28/19 (2) | | | Notional
Amount (3) | | | Market
Value | | | Upfront
Payment
Paid/
(Received) | | | Unrealized
Appreciation/
(Depreciation) | |
Daimler AG, A | | | 1.000 | % | | | 12/20/20 | | | | 3-Month | | | | 0.311 | % | | | EUR | | | | 100,000 | | | $ | 1,658 | | | $ | 1,651 | | | $ | 7 | |
Deutsche Bank AG, BBB- | | | 1.000 | % | | | 12/20/19 | | | | 3-Month | | | | 0.588 | % | | | EUR | | | | 100,000 | | | | 610 | | | | (794 | ) | | | 1,404 | |
Marks & Spencer PLC, BBB- | | | 1.000 | % | | | 6/20/23 | | | | 3-Month | | | | 1.426 | % | | | EUR | | | | 200,000 | | | | (3,673 | ) | | | (6,000 | ) | | | 2,327 | |
Ryder System Inc., BBB+ | | | 1.000 | % | | | 6/20/22 | | | | 3-Month | | | | 0.617 | % | | | USD | | | | 100,000 | | | | 1,398 | | | | 1,866 | | | | (468 | ) |
Shell International Finance BV, AA- | | | 1.000 | % | | | 12/20/26 | | | | 3-Month | | | | 0.571 | % | | | EUR | | | | 200,000 | | | | 7,887 | | | | (5,907 | ) | | | 13,794 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | $ | 7,880 | | | $ | (9,184 | ) | | $ | 17,064 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
At February 28, 2019, International Fixed Income Fund held the following OTC Cross-Currency Swap Contracts:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty Pay | | Counterparty Receive | | Maturity
Date (5) | | | Counterparty | | | Notional
Amount of
Currency
Received (6) | | | Notional
Amount of
Currency
Delivered (6) | | | Market
Value | | | Upfront
Payment
Paid/
(Received) | | | Unrealized
Depreciation | |
| | | | | | | | | | |
Floating rate equal to3-MonthUSD-LIBOR based on the notional amount of currency received | | Floating rate equal to3-MonthEUR-LIBOR less 0.299% based on the notional amount of currency delivered | | | 6/19/19 | | |
| GSC | | | | USD | | | | 24,377,775 | | | | EUR | | | | 21,500,000 | | | $ | (104,021 | ) | | $ | — | | | $ | (104,021 | ) |
| | | | | | | | | | |
Floating rate equal to3-MonthUSD-LIBOR based on the notional amount of currency received | | Floating rate equal to3-MonthEUR-LIBOR less 0.283% based on the notional amount of currency delivered | | | 6/19/19 | | |
| GSC | | | | USD | | | | 3,514,935 | | | | EUR | | | | 3,100,000 | | | | (14,713 | ) | | | — | | | | (14,713 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | (118,734 | ) | | $ | — | | | $ | (118,734 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (1) | If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the reference obligation or underlying securities comprising the |
See Notes to Financial Statements.
221
| | | | | | |
| International Fixed Income Fund |
| | referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising the referenced index. |
| (2) | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as ‘‘Defaulted’’ indicates a credit event has occurred for the referenced entity or obligation. |
| (3) | The maximum potential amount the Fund could be required to make as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
| (4) | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| (5) | At the maturity date, the notional amount of the currency received will be exchanged back for the notional amount of the currency delivered. |
| (6) | The notional amount to be received or delivered may be determined and exchanged at a future date, based on the effective date of the cross-currency swap. |
At February 28, 2019, International Fixed Income Fund deposited cash collateral with brokers in the amount of $1,347,000 for open centrally cleared swap contracts.
At February 28, 2019, International Fixed Income Fund had cash collateral from brokers in the amount of $830,000 for open OTC swap contracts.
| | | | | | |
Currency Abbreviations used in this schedule: | | Counterparty Abbreviations used in this schedule: |
| ARS | | — Argentine Peso | | BCLY | | — Barclays Bank PLC |
| AUD | | — Australian Dollar | | BNP | | — BNP Paribas SA |
| BRL | | — Brazilian Real | | BOA | | — Bank of America |
| CAD | | — Canadian Dollar | | CSFB | | — Credit Suisse Securities (USA) LLC |
| DKK | | — Danish Krone | | DUB | | — Deutsche Bank AG |
| EUR | | — Euro | | GSC | | — Goldman Sachs & Co. |
| GBP | | — British Pound | | HSBC | | — HSBC Bank USA |
| JPY | | — Japanese Yen | | JPM | | — JPMorgan Chase & Co. |
| MXN | | — Mexican Peso | | RBS | | — Royal Bank of Scotland PLC |
| NOK | | — Norwegian Krone | | SCB | | — Standard Chartered Bank |
| NZD | | — New Zealand Dollar | | SOG | | — Societe Generale SA |
| PEN | | — Peruvian Sol | | UBS | | — UBS Securities LLC |
| PLN | | — Polish Zloty | | | | |
| SEK | | — Swedish Krona | | | | |
| SGD | | — Singapore Dollar | | | | |
| ZAR | | — South African Rand | | | | |
See Notes to Financial Statements.
222
| | | | | | | | | | |
| Municipal Bond Fund | |
| | | |
Face
Amount | | | Rating†† | | Security | | Value | |
|
| | MUNICIPAL BONDS — 94.2% | |
|
| | California — 10.5% | |
| $ | 735,000.00 | | | AAA | | California Educational Facilities Authority, Revenue Bonds, Stanford University,Series U-7, 5.000% due 6/1/46 | | $ | 962,990 | |
| | 1,000,000 | | | AA+ | | California Infrastructure & Economic Development Bank, Revenue Bonds, Bay Area Toll Bridges, Series A, Prerefunded 1/1/28 @ 100, AMBAC-Insured, 5.000% due 7/1/36(a) | | | 1,255,370 | |
| | 500,000 | | | Baa1(b) | | California Municipal Finance Authority, Revenue Bonds, California Lutheran University, 5.000% due 10/1/36 | | | 570,135 | |
| | 1,000,000 | | | AA- | | Garden Grove Unified School District, GO, 2010 Election, Series C, 5.000% due 8/1/35 | | | 1,123,870 | |
| | 1,000,000 | | | A3(b) | | Kaweah Delta Health Care District, Revenue Bonds, Series B, 4.000% due 6/1/45 | | | 999,000 | |
| | 1,500,000 | | | A+ | | San Diego County, CA, Regional Airport Authority, Revenue Bonds, Series A, 5.000% due 7/1/43 | | | 1,651,365 | |
| | | | | | | | | | |
| | | | | | Total California | | | 6,562,730 | |
| | | | | | | | | | |
|
| | Colorado — 11.6% | |
| | 750,000 | | | A+ | | City & County of Denver, CO, Airport System Revenue, Revenue Bonds, AMT, Series A, 5.000% due 11/15/30(c) | | | 877,598 | |
| | 1,435,000 | | | AA | | City of Colorado Springs, CO, Utilities System Revenue, Revenue Bonds, System Improvement,Series B-2, 5.000% due 11/15/38 | | | 1,601,517 | |
| | 1,500,000 | | | AA- | | Colorado Health Facilities Authority, Revenue Bonds, Sisters of Charity of Leavenworth Inc., Series A, 5.000% due 1/1/44 | | | 1,621,665 | |
| | 1,000,000 | | | AAA | | Colorado Water Resources & Power Development Authority, Revenue Bonds, Revolving Fund, Series A, 5.500% due 9/1/22 | | | 1,131,840 | |
| | 2,000,000 | | | AA- | | University of Colorado Hospital Authority, Revenue Bonds, Series A, 4.000% due 11/15/36 | | | 2,051,160 | |
| | | | | | | | | | |
| | | | | | Total Colorado | | | 7,283,780 | |
| | | | | | | | | | |
|
| | District of Colombia — 3.8% | |
| | 1,500,000 | | | AAA | | District of Columbia, Income Tax Revenue, Revenue Bonds, Series A, 5.000% due 12/1/28 | | | 1,624,845 | |
| | 700,000 | | | AA- | | Metropolitan Washington Airports Authority, Revenue Bonds, AMT, Series A, 4.000% due 10/1/36(c) | | | 723,534 | |
| | | | | | | | | | |
| | | | | | Total District of Colombia | | | 2,348,379 | |
| | | | | | | | | | |
|
| | Florida — 7.3% | |
| | 1,400,000 | | | A+ | | City of Cape Coral, FL, Water & Sewer Revenue, Revenue Bonds, 5.000% due 10/1/39 | | | 1,591,072 | |
| | 1,500,000 | | | AA- | | City of Gainesville, FL, Utilities System Revenue, Revenue Bonds, Series A, 5.000% due 10/1/29 | | | 1,823,715 | |
| | 1,000,000 | | | AA | | Orlando Utilities Commission, Utility System Revenue Bonds, 2018 Project, Series A, 5.000% due 10/1/33 | | | 1,185,510 | |
| | | | | | | | | | |
| | | | | | Total Florida | | | 4,600,297 | |
| | | | | | | | | | |
|
| | Illinois — 6.9% | |
| | | | | | Illinois Finance Authority, Revenue Bonds: | | | | |
| | 1,235,000 | | | AA | | Advocate Health Care, 4.000% due 6/1/47 | | | 1,251,154 | |
| | 600,000 | | | A | | DePaul University, 5.000% due 10/1/36 | | | 676,824 | |
| | 1,095,000 | | | A2(b) | | DePaul University, Series A, 5.375% due 10/1/19 | | | 1,117,918 | |
| | 1,000,000 | | | AAA | | Northwestern University, 5.000% due 12/1/28 | | | 1,247,090 | |
| | | | | | | | | | |
| | | | | | Total Illinois | | | 4,292,986 | |
| | | | | | | | | | |
|
| | Indiana — 2.7% | |
| | | | | | Indiana Municipal Power Agency, Power Supply, Revenue Bonds: | | | | |
| | 500,000 | | | A+ | | Series A, 5.000% due 1/1/42 | | | 567,680 | |
| | 1,000,000 | | | A+ | | Series C, 5.000% due 1/1/37 | | | 1,133,650 | |
| | | | | | | | | | |
| | | | | | Total Indiana | | | 1,701,330 | |
| | | | | | | | | | |
See Notes to Financial Statements.
223
| | | | | | | | | | | | |
| Municipal Bond Fund | |
| | | |
Face
Amount | | | Rating†† | | | Security | | Value | |
|
| | Louisiana — 0.9% | |
| | | | | | | | New Orleans Aviation Board, AMT, General Airport North Terminal, Revenue Bonds, Series B: | | | | |
| $ | 250,000 | | | | A- | | | 5.000% due 1/1/37(c) | | $ | 276,605 | |
| | 250,000 | | | | A- | | | 5.000% due 1/1/38(c) | | | 275,845 | |
| | | | | | | | | | | | |
| | | | | | | | Total Louisiana | | | 552,450 | |
| | | | | | | | | | | | |
|
| | Massachusetts — 2.1% | |
| | 1,000,000 | | | | AA | | | Massachusetts Bay Transportation Authority, Revenue Bonds, Series A, 5.250% due 7/1/34 | | | 1,302,300 | |
| | | | | | | | | | | | |
|
| | Michigan — 2.7% | |
| | 1,500,000 | | | | AA- | | | Northville Public Schools, GO, School Building and Site, Series II, 5.000% due 5/1/43(d) | | | 1,702,410 | |
| | | | | | | | | | | | |
|
| | Nevada — 2.1% | |
| | 1,130,000 | | | | AA+ | | | State of Nevada Highway Improvement Revenue, Revenue Bonds, 5.000% due 12/1/31 | | | 1,338,067 | |
| | | | | | | | | | | | |
|
| | New Jersey — 2.4% | |
| | 1,340,000 | | | | A3(b) | | | Manalapan-Englishtown Regional Board of Education, GO, FGIC & NPFG-Insured, 5.750% due 12/1/22 | | | 1,521,436 | |
| | | | | | | | | | | | |
|
| | New York — 5.2% | |
| | 1,170,000 | | | | AA | | | New York City Trust for Cultural Resources, Revenue Bonds, Juilliard School, Series A, 5.000% due 1/1/33 | | | 1,418,941 | |
| | 1,635,000 | | | | AA+ | | | New York State Dormitory Authority, Bidding Group, Revenue Bonds, Series B, 5.000% due 2/15/43 | | | 1,851,670 | |
| | | | | | | | | | | | |
| | | | | | | | Total New York | | | 3,270,611 | |
| | | | | | | | | | | | |
|
| | Oregon — 2.4% | |
| | 1,330,000 | | | | Aa2(b) | | | Washington & Clackamas Counties School District No. 23J Tigard-Tualatin, GO, NPFG-Insured, 5.000% due 6/15/22 | | | 1,472,656 | |
| | | | | | | | | | | | |
|
| | Puerto Rico — 0.8% | |
| | 550,000 | | | | NR | | | Puerto Rico Sales Tax Financing Corp., Sales Tax Revenue, Revenue Bonds, Series A1, 4.750% due 7/1/53 | | | 506,424 | |
| | | | | | | | | | | | |
|
| | South Carolina — 6.6% | |
| | 1,535,000 | | | | Aa3(b) | | | Clemson University, Revenue Bonds, 5.000% due 5/1/29 | | | 1,782,396 | |
| | 2,000,000 | | | | A | | | South Carolina Jobs-Economic Development Authority, Revenue Bonds, Prisma Health Obligation Group, Series A, 5.000% due 5/1/28 | | | 2,369,400 | |
| | | | | | | | | | | | |
| | | | | | | | Total South Carolina | | | 4,151,796 | |
| | | | | | | | | | | | |
|
| | Tennessee — 1.7% | |
| | 1,050,000 | | | | Aa2(b) | | | Tennessee Housing Development Agency, Revenue Bonds, Series A, 3.850% due 1/1/35 | | | 1,064,017 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
|
| | Texas — 10.7% | |
| | 1,000,000 | | | | A1(b) | | | City of Houston, TX, Airport System Revenue, Revenue Bonds, AMT, Series C, 5.000% due 7/1/26(c) | | | 1,182,850 | |
| | | | | | | | North East, TX, Independent School District, GO,PSF-GTD-Insured: | | | | |
| | 1,000,000 | | | | AAA | | | 5.250% due 2/1/28 | | | 1,250,630 | |
| | 1,000,000 | | | | AAA | | | 5.250% due 2/1/30 | | | 1,272,320 | |
| | 1,000,000 | | | | AA | | | Texas State Technical College, Revenue Bonds,AGM-Insured, 4.000% due 10/15/33 | | | 1,057,300 | |
| | 1,575,000 | | | | AAA | | | Texas Transportation Commission State Highway Fund, Revenue Bonds, 5.250% due 4/1/26 | | | 1,919,704 | |
| | | | | | | | | | | | |
| | | | | | | | Total Texas | | | 6,682,804 | |
| | | | | | | | | | | | |
|
| | Utah — 4.6% | |
| | 500,000 | | | | A | | | Utah Associated Municipal Power Systems, Revenue Bonds, Horse Butte Wind, Series A, 5.000% due 9/1/32 | | | 582,190 | |
| | 2,000,000 | | | | AA | | | Utah State University, Revenue Bonds, Student Building Fee, Series B, Prerefunded 6/1/23 @ 100, 5.000% due 12/1/44(a) | | | 2,271,580 | |
| | | | | | | | | | | | |
| | | | | | | | Total Utah | | | 2,853,770 | |
| | | | | | | | | | | | |
See Notes to Financial Statements.
224
| | | | | | | | | | |
| Municipal Bond Fund | |
| | | |
Face
Amount | | | Rating†† | | Security | | Value | |
|
| | Washington — 3.7% | |
| $ | 1,000,000 | | | AA+ | | City of Seattle, WA, Drainage & Wastewater Revenue, Revenue Bonds, 4.000% due 7/1/28 | | $ | 1,129,170 | |
| | 1,000,000 | | | AA+ | | King County School District No. 401 Highline, GO, SCH BDGTY-Insured, 5.000% due 12/1/35 | | | 1,187,440 | |
| | | | | | | | | | |
| | | | | | Total Washington | | | 2,316,610 | |
| | | | | | | | | | |
|
| | Wisconsin — 5.5% | |
| | 1,500,000 | | | AA+ | | Wisconsin Department of Transportation, Revenue Bonds, Series I, FGIC & NPFG-Insured, 5.000% due 7/1/20 | | | 1,566,765 | |
| | 1,300,000 | | | AA- | | Wisconsin Health & Educational Facilities Authority, Revenue Bonds, Aspirus Inc. Obligation Group, 4.000% due 8/15/40 | | | 1,312,844 | |
| | 500,000 | | | AA | | Wisconsin Health & Educational Facilities Authority, Revenue Bonds, Milwaukee Regional Medical Center Thermal Service Obligated Group, 5.000% due 4/1/37 | | | 575,425 | |
| | | | | | | | | | |
| | | | | | Total Wisconsin | | | 3,455,034 | |
| | | | | | | | | | |
| | | | | | TOTAL MUNICIPAL BONDS
(Cost — $56,415,621) | | | 58,979,887 | |
| | | | | | | | | | |
|
| | SHORT-TERM INVESTMENTS — 0.2% | |
|
| | TIME DEPOSITS — 0.2% | |
| | 69,156 | | | | | Citibank — New York, 1.750% due 3/1/19 | | | 69,156 | |
| | 61,882 | | | | | Sumitomo — Tokyo, 1.750% due 3/1/19 | | | 61,882 | |
| | | | | | | | | | |
| | | | | | TOTAL SHORT-TERM INVESTMENTS
(Cost — $131,038) | | | 131,038 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS — 94.4%
(Cost — $56,546,659) | | | 59,110,925 | |
| | | | | | | | | | |
| | | | | | Other Assets in Excess of Liabilities — 5.6% | | | 3,512,208 | |
| | | | | | | | | | |
| | | | | | TOTAL NET ASSETS — 100.0% | | $ | 62,623,133 | |
| | | | | | | | | | |
| †† | All ratings are by Standard & Poor’s Rating Service, unless otherwise noted. All ratings are unaudited. |
| (a) | Pre-refunded bonds are escrowed with government obligations and/or government agency securities and are considered by the Manager to betriple-A rated even if the issuer has not applied for new ratings. |
| (b) | Rating by Moody’s Investors Service. All ratings are unaudited. |
| (c) | Income from this issue is considered a preference item for purposes of calculating the alternative minimum tax (AMT). |
At February 28, 2019, for Municipal Bond Fund the aggregate cost of investments, the aggregate gross unrealized appreciation and depreciation of all investments for federal income tax purposes were as follows:
| | | | | | | | | | | | | | | | |
| Fund | | Aggregate Cost for
Federal Income
Tax Purposes | | | Gross Unrealized
Appreciation | | | Gross Unrealized
Depreciation | | | Net Unrealized
Appreciation | |
Municipal Bond Fund | | $ | 56,546,659 | | | $ | 2,653,770 | | | $ | (75,754 | ) | | $ | 2,578,016 | |
| | |
Abbreviations used in this schedule: |
| AGM | | — Assured Guaranty Municipal Corporation |
| AMBAC | | — American Bond Assurance Corporation |
| FGIC | | — Financial Guarantee Insurance Company |
| GO | | — General Obligation |
| NPFG | | — National Public Finance Guarantee Corporation |
| PSF-GTD | | — Permanent School Fund Guaranteed |
| SCH BD GTY | | — Oregon School Bond Guaranty |
See pages 260-261 for definitions of ratings.
See Notes to Financial Statements.
225
| | | | |
| |
| Summary of Investments by Industry^ | | | |
Higher Education | | | 18.8 | % |
Health Care Providers & Services | | | 16.3 | |
School District | | | 16.1 | |
Transportation | | | 10.3 | |
General Obligation | | | 9.0 | |
Airport | | | 8.4 | |
Utilities | | | 6.6 | |
Water & Sewer | | | 6.5 | |
Power | | | 6.0 | |
Single Family Housing | | | 1.8 | |
Short-Term Investments | | | 0.2 | |
| | | | |
| | | 100.0 | % |
| | | | |
| ^ | As a percentage of total investments. |
At February 28, 2019, Municipal Bond Fund had open exchange-traded futures contracts as described below.
The unrealized appreciation on the open contracts reflected in the accompanying financial statements were as follows:
| | | | | | | | | | | | | | | | | | | | |
| Open Futures Contracts | | Number of
Contracts | | | Expiration
Date
(Month/Year) | | | Notional
Amount | | | Market
Value | | | Unrealized
Appreciation | |
| Contracts to Sell: | | | | | | | | | | | | | | | | | | | | |
U.S. Treasury10-Year Note June Futures | | | 20 | | | | 6/19 | | | $ | 2,453,750 | | | $ | 2,440,000 | | | $ | 13,750 | |
| | | | | | | | | | | | | | | | | | | | |
At February 28, 2019, Municipal Bond Fund had deposited cash of $24,000 with a broker or brokers as margin collateral an open exchange-traded futures contracts.
See Notes to Financial Statements.
226
| | | | | | | | | | |
| Inflation-Linked Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | U.S. GOVERNMENT OBLIGATIONS — 103.1% | |
| | | | | | U.S. Treasury Inflation Indexed Bonds: | | | | |
| $ | 16,673,578 | | | | | 2.375% due 1/15/25(a) | | $ | 18,327,709 | |
| | 8,763,133 | | | | | 2.000% due 1/15/26 | | | 9,535,641 | |
| | 1,915,154 | | | | | 1.750% due 1/15/28 | | | 2,077,369 | |
| | 8,404,960 | | | | | 3.625% due 4/15/28 | | | 10,502,863 | |
| | 10,522,079 | | | | | 2.500% due 1/15/29(a) | | | 12,241,575 | |
| | 7,048,243 | | | | | 3.875% due 4/15/29 | | | 9,152,621 | |
| | 741,670 | | | | | 3.375% due 4/15/32 | | | 977,526 | |
| | 4,428,630 | | | | | 2.125% due 2/15/40 | | | 5,329,493 | |
| | 1,720,845 | | | | | 2.125% due 2/15/41 | | | 2,079,903 | |
| | 222,368 | | | | | 0.750% due 2/15/42 | | | 207,112 | |
| | 218,548 | | | | | 0.625% due 2/15/43(b) | | | 196,586 | |
| | 5,799,532 | | | | | 1.375% due 2/15/44 | | | 6,137,725 | |
| | 640,134 | | | | | 0.750% due 2/15/45 | | | 587,565 | |
| | 5,396,927 | | | | | 1.000% due 2/15/46 | | | 5,250,374 | |
| | 4,267,157 | | | | | 0.875% due 2/15/47 | | | 4,020,462 | |
| | 8,598,672 | | | | | 1.000% due 2/15/48 | | | 8,360,585 | |
| | | | | | U.S. Treasury Inflation Indexed Notes: | | | | |
| | 265,901 | | | | | 0.125% due 4/15/19 | | | 266,077 | |
| | 15,565,545 | | | | | 0.125% due 4/15/20(a) | | | 15,449,209 | |
| | 2,159,981 | | | | | 1.250% due 7/15/20 | | | 2,188,954 | |
| | 14,610,256 | | | | | 0.125% due 4/15/21(a) | | | 14,423,347 | |
| | 412,435 | | | | | 0.625% due 7/15/21 | | | 414,173 | |
| | 8,991,081 | | | | | 0.125% due 1/15/22 | | | 8,862,113 | |
| | 14,196,173 | | | | | 0.125% due 4/15/22 | | | 13,952,084 | |
| | 10,948,517 | | | | | 0.125% due 1/15/23 | | | 10,740,418 | |
| | 1,233,957 | | | | | 0.625% due 4/15/23 | | | 1,232,904 | |
| | 1,785,218 | | | | | 0.625% due 1/15/24 | | | 1,787,103 | |
| | 16,894,044 | | | | | 0.125% due 7/15/24(a) | | | 16,521,182 | |
| | 4,251,326 | | | | | 0.250% due 1/15/25 | | | 4,153,968 | |
| | 4,284,254 | | | | | 0.375% due 7/15/25 | | | 4,220,743 | |
| | 23,853,365 | | | | | 0.625% due 1/15/26(a) | | | 23,765,002 | |
| | 2,253,437 | | | | | 0.125% due 7/15/26 | | | 2,167,642 | |
| | 5,533,066 | | | | | 0.375% due 1/15/27 | | | 5,384,509 | |
| | 780,550 | | | | | 0.375% due 7/15/27 | | | 760,295 | |
| | 11,120,201 | | | | | 0.500% due 1/15/28 | | | 10,876,295 | |
| | 600,516 | | | | | 0.750% due 7/15/28 | | | 601,877 | |
| | 1,790,946 | | | | | 0.875% due 1/15/29 | | | 1,810,383 | |
| | | | | | U.S. Treasury Notes: | | | | |
| | 1,600,000 | | | | | 2.125% due 3/31/24(a) | | | 1,568,938 | |
| | 640,000 | | | | | 1.875% due 8/31/24 | | | 618,125 | |
| | 900,000 | | | | | 2.250% due 11/15/24 | | | 884,848 | |
| | 561,000 | | | | | 2.750% due 2/15/28 | | | 563,509 | |
| | | | | | | | | | |
| | | | | | TOTAL U.S. GOVERNMENT OBLIGATIONS
(Cost — $239,186,280) | | | 238,198,807 | |
| | | | | | | | | | |
| |
| | COLLATERALIZED MORTGAGE OBLIGATIONS — 7.0% | | | | |
| | 414,406 | | | Caa2(c) | | Alternative Loan Trust, Series 2006-HY11, Class A1, 2.610%(1-MonthUSD-LIBOR + 0.120%) due 6/25/36(d) | | | 386,488 | |
| | 822,157 | | | Caa3(c) | | Alternative Loan Trust Resecuritization, Series2008-2R, Class 1A1, 6.000% due 8/25/37(d) | | | 778,179 | |
| | 3,617 | | | AA | | American Home Mortgage Investment Trust, Series2005-2, Class 4A1, 4.312%(6-MonthUSD-LIBOR + 1.500%) due 9/25/45(d) | | | 3,621 | |
| | 354,966 | | | AAA | | B&M CLO Ltd., Series2014-1A, Class A1R, 3.509%(3-MonthUSD-LIBOR + 0.730%) due 4/16/26(d)(e) | | | 353,724 | |
See Notes to Financial Statements.
227
| | | | | | | | | | |
| Inflation-Linked Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| |
| | COLLATERALIZED MORTGAGE OBLIGATIONS — 7.0% — (continued) | | | | |
| $ | 29,317 | | | AA+ | | Banc of America Funding Trust, Series2005-B, Class 3A1B, 3.105%(1-MonthUSD-LIBOR + 0.620%) due 4/20/35(d) | | $ | 29,278 | |
| | 35,893 | | | BBB+ | | Bear Stearns Adjustable Rate Mortgage Trust, Series2003-3, Class 3A2, 4.441% due 5/25/33(d) | | | 36,512 | |
| | 374,259 | | | CCC | | Bear Stearns Asset-Backed Securities Trust, Series2004-1, Class M1, 3.465%(1-MonthUSD-LIBOR + 0.975%) due 6/25/34(d) | | | 376,720 | |
| | 89,763 | | | AA+ | | Chevy Chase Funding LLC Mortgage-Backed Certificates, Series2004-A, Class A1, 2.850%(1-MonthUSD-LIBOR + 0.360%) due 3/25/35(d)(e) | | | 90,019 | |
| | 169,165 | | | Caa2(c) | | CHL Mortgage Pass-Through Trust, Series2006-6, Class A4, 6.000% due 4/25/36 | | | 137,768 | |
| | 355,198 | | | Caa2(c) | | Citigroup Mortgage Loan Trust, Series2007-AR4, Class 1A1A, 4.631% due 3/25/37(d) | | | 348,314 | |
| | 10,670 | | | B- | | Citigroup Mortgage Loan Trust Inc., Series 2004-HYB2, Class 2A, 5.038% due 3/25/34(d) | | | 10,753 | |
| | | | | | Countrywide Asset-Backed Certificates: | | | | |
| | 490,866 | | | CC | | Series2007-1, Class 1A, 2.630%(1-MonthUSD-LIBOR + 0.140%) due 7/25/37(d) | | | 442,187 | |
| | 103,909 | | | CC | | Series2007-6, Class 1A, 2.690%(1-MonthUSD-LIBOR + 0.200%) due 9/25/37(d) | | | 87,395 | |
| | 615,044 | | | CCC | | Series2007-8, Class 1A1, 2.680%(1-MonthUSD-LIBOR + 0.190%) due 11/25/37(d) | | | 584,774 | |
| | 903,000 | | | NR | | Credit Suisse Commercial Mortgage, Series2015-3R, Class 5A2, 2.640%(1-MonthUSD-LIBOR + 0.150%) due 9/29/36(d)(e) | | | 848,459 | |
| | 83,934 | | | NR | | Credit Suisse Commercial Mortgage Capital Trust, Series2017-1, Class A, 4.500% due 3/25/21(e) | | | 84,340 | |
| | | | | | Credit-Based Asset Servicing & Securitization LLC: | | | | |
| | 153,000 | | | BB | | Series2005-CB3, Class M4, 3.540%(1-MonthUSD-LIBOR + 1.050%) due 5/25/35(d) | | | 153,059 | |
| | 1,149,356 | | | CC | | Series2007-CB6, Class A3, 2.710%(1-MonthUSD-LIBOR + 0.220%) due 7/25/37(d)(e) | | | 746,753 | |
| | 600,000 | | | AAA | | Crown Point CLO 5 Ltd., Series2018-5A, Class A, 3.713%(3-MonthUSD-LIBOR + 0.940%) due 7/17/28(d)(e) | | | 593,751 | |
| | 149,011 | | | D | | CWABS Asset-Backed Certificates Trust, Series2004-7, Class MV5, 4.215%(1-MonthUSD-LIBOR + 1.725%) due 11/25/34(d) | | | 145,865 | |
| | 100,000 | | | Aaa(c) | | Evans Grove CLO Ltd., Series2018-1A, Class A1, 3.549%(3-MonthUSD-LIBOR + 0.920%) due 5/28/28(d)(e) | | | 99,150 | |
| | 400,000 | | | AAA | | Figueroa CLO Ltd., Series2013-2A, Class A1RR, 3.642%(3-MonthUSD-LIBOR + 0.850%) due 6/20/27(d)(e) | | | 397,538 | |
| | 1,200,000 | | | NR | | Government National Mortgage Association, Series2019-20 , Class FE, 2.898%(1-MonthUSD-LIBOR + 0.400%) due 2/20/49(f) | | | 1,196,250 | |
| | 6,516 | | | AA+ | | HarborView Mortgage Loan Trust, Series2005-9, Class 2A1A, 2.825%(1-MonthUSD-LIBOR + 0.340%) due 6/20/35(d) | | | 6,448 | |
| | 80,343 | | | B- | | IndyMac INDX Mortgage Loan Trust, Series 2005-16IP, Class A1, 3.130%(1-MonthUSD-LIBOR + 0.640%) due 7/25/45(d) | | | 77,924 | |
| | 250,000 | | | Aaa(c) | | JMP Credit Advisors CLO IIIR Ltd., Series2014-1RA, Class A, 3.623%(3-MonthUSD-LIBOR + 0.850%) due 1/17/28(d)(e) | | | 249,540 | |
| | 544,170 | | | CCC | | JP Morgan Alternative Loan Trust, Series2006-A1, Class 1A1, 2.950%(1-MonthUSD-LIBOR + 0.460%) due 3/25/36(d) | | | 523,619 | |
| | 260,000 | EUR | | NR | | Jubilee CLO BV, Series2015-16A, Class A1R, 0.489% (0.800% —3-Month EURIBOR) due 12/15/29(e) | | | 294,266 | |
| | 340,337 | | | Aaa(c) | | LMREC Inc., Series 2015-CRE1, Class AR, 3.470%(1-MonthUSD-LIBOR + 0.980%) due 2/22/32(d)(e) | | | 339,252 | |
| | 203,620 | | | CC | | Long Beach Mortgage Loan Trust, Series2006-7, Class 2A2, 2.610%(1-MonthUSD-LIBOR + 0.120%) due 8/25/36(d) | | | 106,502 | |
| | 320,000 | | | Aaa(c) | | Monarch Grove CLO18-1, Series2018-1A, Class A1, 3.651%(3-MonthUSD-LIBOR + 0.880%) due 1/25/28(d)(e) | | | 317,070 | |
| | 660,000 | | | AAA | | Mountain View CLO X Ltd., Series2015-10A, Class AR, 3.617%(3-MonthUSD-LIBOR + 0.820%) due 10/13/27(d)(e) | | | 655,668 | |
| | 20,020 | | | AA+ | | MRFC Mortgage Pass-Through Trust, Series 2000-TBC2, Class A1, 2.969%(1-MonthUSD-LIBOR + 0.480%) due 6/15/30(d) | | | 19,827 | |
| | 11,584 | | | NR | | NYMT Residential, Series 2016-RP1A, Class A, step bond to yield, 4.000% due 3/25/21(e) | | | 11,613 | |
| | | | | | Option One Mortgage Loan Trust: | | | | |
| | 133,002 | | | CC | | Series2007-1, Class 1A1, 2.630%(1-MonthUSD-LIBOR + 0.140%) due 1/25/37(d) | | | 99,982 | |
| | 134,036 | | | CC | | Series2007-2, Class 1A1, 2.630%(1-MonthUSD-LIBOR + 0.140%) due 3/25/37(d) | | | 99,341 | |
See Notes to Financial Statements.
228
| | | | | | | | | | |
| Inflation-Linked Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| |
| | COLLATERALIZED MORTGAGE OBLIGATIONS — 7.0% — (continued) | | | | |
| $ | 600,000 | | | B- | | RASC Trust, Series2006-KS3, Class M1, 2.820%(1-MonthUSD-LIBOR + 0.330%) due 4/25/36(d) | | $ | 594,643 | |
| | 646,306 | | | WD(g) | | Residential Asset Securitization Trust, Series2006-A10, Class A5, 6.500% due 9/25/36 | | | 427,652 | |
| | 500,772 | | | NR | | RMAT LP, Series 2018-NPL1, Class A1, step bond to yield, 4.090% due 5/25/48(e) | | | 501,496 | |
| | | | | | Securitized Asset-Backed Receivables LLC Trust: | | | | |
| | 623,571 | | | CC | | Series2006-FR3, Class A3, 2.740%(1-MonthUSD-LIBOR + 0.250%) due 5/25/36(d) | | | 393,794 | |
| | 122,247 | | | CC | | Series2006-HE2, Class A2C, 2.640%(1-MonthUSD-LIBOR + 0.150%) due 7/25/36(d) | | | 66,899 | |
| | 501,752 | | | B | | Sequoia Mortgage Trust, Series 6, Class A, 3.120%(1-MonthUSD-LIBOR + 0.640%) due 4/19/27(d) | | | 490,053 | |
| | 311,022 | | | CC | | Soundview Home Loan Trust, Series 2007-OPT1, Class 1A1, 2.690%(1-MonthUSD-LIBOR + 0.200%) due 6/25/37(d) | | | 230,026 | |
| | 260,000 | | | Aaa(c) | | Symphony CLO XVII Ltd., Series2016-17A, Class AR, 3.667%(3-MonthUSD-LIBOR + 0.880%) due 4/15/28(d)(e) | | | 258,180 | |
| | 360,000 | | | Aaa(c) | | TICP CLOIII-2 Ltd., Series2018-3R, Class A, 3.601%(3-MonthUSD-LIBOR + 0.840%) due 4/20/28(d)(e) | | | 356,850 | |
| | 500,000 | | | Aaa(c) | | Venture 35 CLO Ltd., Series2018-35A, Class AS, 3.650%(3-MonthUSD-LIBOR + 1.150%) due 10/22/31(d)(e) | | | 501,946 | |
| | 540,000 | | | AAA | | Venture XII CLO Ltd., Series2012-12A, Class ARR, 3.429%(3-MonthUSD-LIBOR + 0.800%) due 2/28/26(d)(e) | | | 537,315 | |
| | 800,000 | | | Aaa(c) | | Venture XVI CLO Ltd., Series2014-16A, Class ARR, 3.637%(3-MonthUSD-LIBOR + 0.850%) due 1/15/28(d)(e) | | | 793,320 | |
| | 330,000 | | | Aaa(c) | | Venture XVII CLO Ltd., Series2014-17A, Class ARR, 3.667%(3-MonthUSD-LIBOR + 0.880%) due 4/15/27(d)(e) | | | 327,336 | |
| | | | | | WaMu Mortgage Pass-Through Certificates Trust: | | | | |
| | 16,894 | | | Baa1(c) | | Series2002-AR2, Class A, 2.306% (11th District Cost of Funds Index + 1.250%) due 2/27/34(d) | | | 16,658 | |
| | 7,995 | | | BBB | | Series 2002-AR17, Class 1A, 3.532%(1-Year Treasury Average Rate + 1.200%) due 11/25/42(d) | | | 7,704 | |
| | 3,996 | | | A+ | | Wells Fargo Mortgage-Backed Securities Trust, Series2004-E, Class A2, 4.383% due 5/25/34(d) | | | 4,111 | |
| | | | | | | | | | |
| | | | | | TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost — $16,274,206) | | | 16,239,932 | |
| | | | | | | | | | |
| |
| | SOVEREIGN BONDS — 5.7% | | | | |
|
| | Argentina — 0.3% | |
| | 617,000 | ARS | | NR | | Argentina Bonar Bonds, 43.075% (Argentina Deposit Rates Badlar Private Banks ARS 30 to 35 Days Index + 2.000%) due 4/3/22(d)(h) | | | 17,187 | |
| | 16,534,000 | ARS | | NR | | Argentina POM Politica Monetaria, 53.639% due 6/21/20(d) | | | 509,161 | |
| | 200,000 | | | B | | Argentine Republic Government International Bonds, 5.875% due 1/11/28 | | | 156,750 | |
| | | | | | | | | | |
| | | | | | Total Argentina | | | 683,098 | |
| | | | | | | | | | |
|
| | Australia — 0.8% | |
| | | | | | Australia Government Bonds: | | | | |
| | 1,040,000 | AUD | | Aaa(c) | | 1.250% due 2/21/22 | | | 863,541 | |
| | 890,000 | AUD | | Aaa(c) | | 3.000% due 9/20/25 | | | 902,342 | |
| | | | | | | | | | |
| | | | | | Total Australia | | | 1,765,883 | |
| | | | | | | | | | |
|
| | Brazil — 0.6% | |
| | 5,768,000 | BRL | | BB- | | Brazil Letras do Tesouro Nacional, zero coupon, due 1/1/20 | | | 1,457,126 | |
| | | | | | | | | | |
|
| | Canada — 0.2% | |
| | | | | | Canadian Government Real Return Bonds: | | | | |
| | 455,676 | CAD | | AAA | | 4.250% due 12/1/26 | | | 449,795 | |
| | 51,321 | CAD | | AAA | | 0.500% due 12/1/50(h) | | | 36,794 | |
| | | | | | | | | | |
| | | | | | Total Canada | | | 486,589 | |
| | | | | | | | | | |
See Notes to Financial Statements.
229
| | | | | | | | | | |
| Inflation-Linked Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | France — 0.8% | |
| | | | | | French Republic Government Bonds OAT: | | | | |
| $ | 221,645 | EUR | | Aa2u(c) | | 0.250% due 7/25/24 | | $ | 270,454 | |
| | 733,366 | EUR | | Aa2u(c) | | 0.100% due 3/1/25 | | | 875,358 | |
| | 566,452 | EUR | | Aa2u(c) | | 1.850% due 7/25/27 | | | 789,175 | |
| | | | | | | | | | |
| | | | | | Total France | | | 1,934,987 | |
| | | | | | | | | | |
|
| | Italy — 0.5% | |
| | | | | | Italy Buoni Poliennali Del Tesoro: | | | | |
| | 100,806 | EUR | | Baa3u(c) | | 1.650% due 4/23/20(e) | | | 117,256 | |
| | 628,686 | EUR | | Baa3u(c) | | 2.600% due 9/15/23(e) | | | 766,248 | |
| | 146,180 | EUR | | Baa3u(c) | | 2.350% due 9/15/24(e) | | | 175,569 | |
| | | | | | | | | | |
| | | | | | Total Italy | | | 1,059,073 | |
| | | | | | | | | | |
|
| | Japan — 0.5% | |
| | 120,834,000 | JPY | | A1(c) | | Japanese Government CPI Linked Bonds, 0.100% due 3/10/28 | | | 1,123,838 | |
| | | | | | | | | | |
|
| | New Zealand — 0.3% | |
| | 970,000 | NZD | | AA+ | | New Zealand Government Bonds Inflation Linked Bonds, 2.500% due 9/20/35 | | | 812,504 | |
| | | | | | | | | | |
|
| | Peru — 0.2% | |
| | 1,400,000 | PEN �� | | A3(c) | | Peru Government Bonds Inflation Linked Bonds, 6.150% due 8/12/32(e) | | | 437,879 | |
| | | | | | | | | | |
|
| | Qatar — 0.2% | |
| | | | | | Qatar Government International Bonds: | | | | |
| | 200,000 | | | AA- | | 3.875% due 4/23/23(e) | | | 205,103 | |
| | 200,000 | | | AA- | | 5.103% due 4/23/48(e) | | | 216,254 | |
| | | | | | | | | | |
| | | | | | Total Qatar | | | 421,357 | |
| | | | | | | | | | |
|
| | United Kingdom — 1.3% | |
| | | | | | United Kingdom Gilt Inflation Linked Bonds: | | | | |
| | 1,442,148 | GBP | | NR | | 0.125% due 8/10/28 | | | 2,307,456 | |
| | 142,917 | GBP | | Aa2u(c) | | 0.125% due 3/22/46 | | | 293,702 | |
| | 72,753 | GBP | | Aa2u(c) | | 0.125% due 8/10/48 | | | 155,227 | |
| | 7,547 | GBP | | Aa2u(c) | | 0.125% due 11/22/56 | | | 18,195 | |
| | 72,378 | GBP | | Aa2u(c) | | 0.125% due 11/22/65 | | | 200,589 | |
| | | | | | | | | | |
| | | | | | Total United Kingdom | | | 2,975,169 | |
| | | | | | | | | | |
| | | | | | TOTAL SOVEREIGN BONDS
(Cost — $13,994,280) | | | 13,157,503 | |
| | | | | | | | | | |
| |
| | CORPORATE BONDS & NOTES — 3.2% | | | | |
|
| | Agriculture — 0.1% | |
| | 100,000 | | | BBB+ | | BAT Capital Corp., Company Guaranteed Notes, 3.283%(3-MonthUSD-LIBOR + 0.590%) due 8/14/20(d) | | | 99,738 | |
| | | | | | | | | | |
|
| | Auto Manufacturers — 0.1% | |
| | 200,000 | | | BBB+ | | Hyundai Capital America, Senior Unsecured Notes, 1.750% due 9/27/19(e) | | | 198,326 | |
| | | | | | | | | | |
|
| | Banks — 1.4% | |
| | 100,000 | EUR | | Ba1(c) | | Banco Santander SA, Junior Subordinated Notes, 6.250%(5-Year EUR Swap Rate + 5.640%)(d)(i) | | | 117,283 | |
| | 200,000 | EUR | | B+ | | Barclays PLC, Junior Subordinated Notes, 6.500%(5-Year EUR Swap Rate + 5.875%)(d)(i) | | | 231,406 | |
| | 200,000 | EUR | | Baa3(c) | | Cooperatieve Rabobank UA, Junior Subordinated Notes, 6.625% (6.697% —5-Year EUR Swap Rate)(d)(i) | | | 252,162 | |
| | 700,000 | | | BBB- | | Deutsche Bank AG, Senior Unsecured Notes, 4.250% due 10/14/21 | | | 696,175 | |
| | 100,000 | GBP | | BBB+ | | HSBC Holdings PLC, Subordinated Notes, 6.000% due 3/29/40 | | | 169,136 | |
| | 200,000 | | | BBB+ | | Lloyds Banking Group PLC, Senior Unsecured Notes, 3.590%(3-MonthUSD-LIBOR + 0.800%) due 6/21/21(d) | | | 199,728 | |
| | | | | | Royal Bank of Scotland Group PLC: | | | | |
See Notes to Financial Statements.
230
| | | | | | | | | | |
| Inflation-Linked Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Banks — 1.4% — (continued) | |
| $ | 240,000 | | | B | | Junior Subordinated Notes, 8.625%(5-Year USD Swap Rate + 7.598%)(d)(i) | | $ | 257,952 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 200,000 | | | BBB- | | 4.372%(3-MonthUSD-LIBOR + 1.550%) due 6/25/24(d) | | | 195,923 | |
| | 200,000 | | | BBB- | | 4.519%(3-MonthUSD-LIBOR + 1.550%) due 6/25/24(d) | | | 201,163 | |
| | 400,000 | | | Aaa(c) | | Toronto-Dominion Bank (The), Covered Notes, 2.250% due 3/15/21(e) | | | 395,590 | |
| | 400,000 | | | A+ | | UBS AG, Senior Unsecured Notes, 3.347%(3-MonthUSD-LIBOR + 0.580%) due 6/8/20(d)(e) | | | 401,590 | |
| | | | | | | | | | |
| | | | | | Total Banks | | | 3,118,108 | |
| | | | | | | | | | |
|
| | Diversified Financial Services — 0.9% | |
| | | | | | Ally Financial Inc.: | | | | |
| | 400,000 | | | BB+ | | Company Guaranteed Notes, 8.000% due 11/1/31 | | | 496,000 | |
| | 100,000 | | | BB+ | | Senior Unsecured Notes, 8.000% due 11/1/31 | | | 122,500 | |
| | 600,000 | | | BBB- | | International Lease Finance Corp., Senior Unsecured Notes, 6.250% due 5/15/19 | | | 603,788 | |
| | 100,000 | | | A | | National Rural Utilities Cooperative Finance Corp., Senior Unsecured Notes, 3.178%(3-MonthUSD-LIBOR + 0.375%) due 6/30/21(d) | | | 99,922 | |
| | 700,000 | | | BB- | | Springleaf Finance Corp., Company Guaranteed Notes, 5.250% due 12/15/19 | | | 710,937 | |
| | | | | | | | | | |
| | | | | | Total Diversified Financial Services | | | 2,033,147 | |
| | | | | | | | | | |
|
| | Electric — 0.0% | |
| | 100,000 | | | BBB+ | | Sempra Energy, Senior Unsecured Notes, 3.238%(3-MonthUSD-LIBOR + 0.450%) due 3/15/21(d) | | | 98,774 | |
| | | | | | | | | | |
|
| | Gas — 0.1% | |
| | 200,000 | | | BBB+ | | Dominion Energy Gas Holdings LLC, Senior Unsecured Notes, 3.388%(3-MonthUSD-LIBOR + 0.600%) due 6/15/21(d) | | | 198,851 | |
| | | | | | | | | | |
|
| | Oil & Gas — 0.3% | |
| | 757,000 | | | BB- | | Petrobras Global Finance BV, Company Guaranteed Notes, 5.999% due 1/27/28 | | | 769,869 | |
| | | | | | | | | | |
|
| | Pipelines — 0.1% | |
| | 200,000 | | | BBB+ | | Enbridge Inc., Company Guaranteed Notes, 3.183%(3-MonthUSD-LIBOR + 0.400%) due 1/10/20(d) | | | 199,696 | |
| | | | | | | | | | |
|
| | Savings & Loans — 0.1% | |
| | 200,000 | GBP | | BB+ | | Nationwide Building Society, Junior Subordinated Notes, 6.875%(5-Year GBP Swap Rate + 4.880%)(d)(i) | | | 268,024 | |
| | | | | | | | | | |
|
| | Telecommunications — 0.1% | |
| | 300,000 | | | BBB | | AT&T Inc., Senior Unsecured Notes, 3.376%(3-MonthUSD-LIBOR + 0.750%) due 6/1/21(d) | | | 301,053 | |
| | | | | | | | | | |
| | | | | | TOTAL CORPORATE BONDS & NOTES
(Cost — $7,252,618) | | | 7,285,586 | |
| | | | | | | | | | |
| |
| | MORTGAGE-BACKED SECURITIES — 2.2% | | | | |
|
| | FNMA — 2.2% | |
| | | | | | Federal National Mortgage Association (FNMA): | | | | |
| | 2,070,000 | | | | | 3.500% due 4/1/49(j) | | | 2,069,838 | |
| | 3,000,000 | | | | | 4.000% due 4/1/49(j) | | | 3,056,634 | |
| | | | | | | | | | |
| | | | | | TOTAL MORTGAGE-BACKED SECURITIES
(Cost — $5,132,587) | | | 5,126,472 | |
| | | | | | | | | | |
| |
| | ASSET-BACKED SECURITY — 0.1% | | | | |
|
| | Student Loans — 0.1% | |
| | 220,379 | | | Aaa(c) | | Navient Student Loan Trust, Series2016-7A, Class A, 3.640%(1-MonthUSD-LIBOR + 1.150%) due 3/25/66(d)(e)
(Cost — $220,379) | | | 223,278 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS
(Cost — $282,060,350) | | | 280,231,578 | |
| | | | | | | | | | |
See Notes to Financial Statements.
231
| | | | | | | | | | |
| Inflation-Linked Fixed Income Fund | |
| | | |
Face
Amount† | | | Rating†† | | Security | | Value | |
| |
| | SHORT-TERM INVESTMENTS — 1.7% | | | | |
| |
| | REPURCHASE AGREEMENT — 1.2% | | | | |
| $ | 2,700,000 | | | | | Credit Suisse Securities (USA) LLC repurchase agreement dated 2/28/19, 2.700% due 3/1/19, Proceeds at maturity — $2,700,203; (Fully collateralized by U.S. Treasury Notes, 2.125%, due 11/30/24; Market Value — $2,760,916)(k)
(Cost — $2,700,000) | | $ | 2,700,000 | |
| | | | | | | | | | |
|
| | TIME DEPOSITS — 0.5% | |
| | | | | | BBH — Grand Cayman: | | | | |
| | 2,090 | DKK | | | | (0.850)% due 3/1/19 | | | 319 | |
| | 6,632 | NZD | | | | 0.650% due 3/1/19 | | | 4,517 | |
| | 12,639 | AUD | | | | 0.760% due 3/1/19 | | | 8,966 | |
| | 700 | CAD | | | | 0.820% due 3/1/19 | | | 532 | |
| | 570 | ZAR | | | | 5.140% due 3/1/19 | | | 40 | |
| | 718,683 | | | | | Citibank — New York, 1.750% due 3/1/19 | | | 718,683 | |
| | 76,492 | EUR | | | | HSBC Bank PLC — London, (0.570)% due 3/1/19 | | | 87,001 | |
| | | | | | Sumitomo — Tokyo: | | | | |
| | 4,367,805 | JPY | | | | (0.270)% due 3/1/19 | | | 39,185 | |
| | 135,984 | GBP | | | | 0.360% due 3/1/19 | | | 180,335 | |
| | | | | | | | | | |
| | | | | | TOTAL TIME DEPOSITS
(Cost — $1,039,578) | | | 1,039,578 | |
| | | | | | | | | | |
| | | | | | TOTAL SHORT-TERM INVESTMENTS
(Cost — $3,739,578) | | | 3,739,578 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS IN SECURITIES
(Cost — $285,799,928) | | | 283,971,156 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS IN PURCHASED OPTIONS
(Cost — $138,874) | | | 128,512 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS — 123.0%
(Cost — $285,938,802) | | | 284,099,668 | |
| | | | | | | | | | |
| | | | | | Liabilities in Excess of Other Assets — (23.0)% | | | (53,125,269 | ) |
| | | | | | | | | | |
| | | | | | TOTAL NET ASSETS — 100.0% | | $ | 230,974,399 | |
| | | | | | | | | | |
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
| †† | All ratings are by Standard & Poor’s Rating Service, unless otherwise noted. All ratings are unaudited. |
| (a) | Position, or portion thereof, has been segregated to collateralize reverse repurchase agreements. |
| (b) | All or a portion of this security is held at the broker as collateral for open OTC derivative instruments. |
| (c) | Rating by Moody’s Investors Service. All ratings are unaudited. |
| (d) | Variable rate security. Interest rate disclosed is that which was in effect at February 28, 2019. |
| (e) | Restricted security that may be sold to “qualified institutional buyers” pursuant to the conditions of Rule 144A under the Securities Act of 1933, as amended. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees, unless otherwise noted. The aggregate value of restricted 144A holdings at February 28, 2019 amounts to approximately $11,494,679 and represents 5.0% of net assets. |
| (f) | Security is valued in good faith at fair value by or under the direction of the Board of trustees. |
| (g) | Rating by Fitch Ratings Service. All ratings are unaudited. |
| (i) | Security is perpetual in nature and has no stated maturity date. |
| (j) | This security is traded on a TBA basis (see Note 1). |
| (k) | Rate shown representsyield-to-maturity. |
See Notes to Financial Statements.
232
| | | | | | |
| Inflation-Linked Fixed Income Fund |
At February 28, 2019, for Inflation-Linked Fixed Income Fund the aggregate cost of investments, the aggregate gross unrealized appreciation and depreciation of all investments for federal income tax purposes were as follows:
| | | | | | | | | | | | | | | | |
| Fund | | Aggregate Cost For
Federal Income
Tax Purposes | | | Gross Unrealized
Appreciation | | | Gross Unrealized
Depreciation | | | Net Unrealized
Depreciation | |
Inflation-Linked Fixed Income Fund | | $ | 285,938,802 | | | $ | 5,669,746 | | | $ | (6,906,560) | | | $ | (1,236,814) | |
| | |
Abbreviations used in this schedule: |
| CLO | | —Collateralized Loan Obligation |
| CPI | | —Consumer Price Index |
| EURIBOR | | —Euro Interbank Offered Rate |
| LIBOR | | —London Interbank Offered Rate |
| PLC | | —Public Limited Company |
| | | | |
| Summary of Investments by Security Type^ | | | |
U.S. Government Agencies & Obligations | | | 83.9 | % |
Collateralized Mortgage Obligations | | | 5.7 | |
Sovereign Bonds | | | 4.6 | |
Corporate Bonds & Notes | | | 2.6 | |
Mortgage-Backed Securities | | | 1.8 | |
Asset-Backed Security | | | 0.1 | |
Short-Term Investments | | | 1.3 | |
| | | | |
| | | 100.0 | % |
| | | | |
| ^ | As a percentage of total investments. |
See Notes to Financial Statements.
233
| | | | | | |
| Inflation-Linked Fixed Income Fund |
At February 28, 2019, Inflation-Linked Fixed Income Fund held the following Options Contracts Purchased:
Interest Rate Swaption
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Number of
Contracts | | | Notional
Amount† | | | Security Name | | Counterparty | | | Expiration
Date | | | Exercise Rate | | | Value | |
| | 30,400,000 | | | | $798,344 | | | OTC2-Year Swaption,3-MonthUSD-LIBOR, Call(a) | | | BCLY | | | | 2/24/20 | | | | 2.500% | | | $ | 126,805 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Options on Futures
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Number of
Contracts | | | Notional
Amount† | | | Security Name | | Counterparty | | | Expiration
Date | | | Strike Price | | | Value | |
| | 18 | | | | 2,378,700 | EUR | | Euro-Bobl June Futures, Put | | | SOG | | | | 5/24/19 | | | | EUR | | | | 127.75 | | | $ | 102 | |
| | 194 | | | | 25,637,100 | EUR | | Euro-Bobl June Futures, Put | | | SOG | | | | 5/24/19 | | | | EUR | | | | 128.00 | | | | 1,103 | |
| | 18 | | | | 2,935,620 | EUR | | Euro-Bund June Futures, Put | | | SOG | | | | 5/24/19 | | | | EUR | | | | 148.00 | | | | 205 | |
| | 103 | | | | $11,812,008 | | | U.S. Treasury5-Year Note June Futures, Call | | | CITI | | | | 5/24/19 | | | $ | | | | | 124.25 | | | | 103 | |
| | 72 | | | | 8,799,750 | | | U.S. Treasury10-Year Note June Futures, Put | | | CITI | | | | 5/24/19 | | | $ | | | | | 111.00 | | | | 72 | |
| | 122 | | | | 14,910,688 | | | U.S. Treasury10-Year Note June Futures, Put | | | CITI | | | | 5/24/19 | | | $ | | | | | 111.50 | | | | 122 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | Total Options on Futures | | | | | | | | | | | | | | | | | | $ | 1,707 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | TOTAL OPTIONS CONTRACTS PURCHASED
(Cost — $138,874) | | | | | | | | | | | | | | | | | | $ | 128,512 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
At February 28, 2019, Inflation-Linked Fixed Income Fund held the following Options Contracts Written:
Credit Default Swaptions
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Number of
Contracts | | | Notional
Amount† | | | Security Name | | Counterparty | | | Expiration
Date | | | Exercise Rate | | | Value | |
| | 300,000 | | | | $179,175 | | | OTC Markit CDX North America Investment Grade Series 315-Year Index, Put | | | BCLY | | | | 3/20/19 | | | | 1.100% | | | $ | 1 | |
| | 400,000 | | | | 238,900 | | | OTC Markit CDX North America Investment Grade Series 315-Year Index, Put | | | JPM | | | | 3/20/19 | | | | 1.200% | | | | — | |
| | 500,000 | | | | 298,625 | | | OTC Markit CDX North America Investment Grade Series 315-Year Index, Put | | | BNP | | | | 4/17/19 | | | | 1.000% | | | | 36 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | Total Credit Default Swaptions | | | | | | | | | | | | | | $ | 37 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Interest Rate Swaption
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Number of
Contracts | | | Notional
Amount† | | | Security Name | | Counterparty | | | Expiration
Date | | | Exercise
Rate | | | Value | |
| | 13,000,000 | | | | $341,397 | | | OTC5-Year Swaption,3-MonthUSD-LIBOR, Call | | | BCLY | | | | 2/24/20 | | | | 2.520% | | | $ | 124,502 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Options on Futures
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Number of
Contracts | | | Notional
Amount† | | | Security Name | | Counterparty | | | Expiration
Date | | | Strike Price | | | Value | |
| | 35 | | | | 4,625,250 | EUR | | Euro-Bobl April Futures, Call | | | SOG | | | | 3/22/19 | | | | EUR | | | | 132.75 | | | $ | 1,195 | |
| | 35 | | | | 4,625,250 | EUR | | Euro-Bobl April Futures, Put | | | SOG | | | | 3/22/19 | | | | EUR | | | | 131.50 | | | | 2,190 | |
| | 4 | | | | 652,360 | EUR | | Euro-Bond April Futures, Call | | | CSFB | | | | 3/22/19 | | | | EUR | | | | 164.50 | | | | 454 | |
See Notes to Financial Statements.
234
| | | | | | |
| Inflation-Linked Fixed Income Fund |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Number of
Contracts | | | Notional
Amount† | | | Security Name | | Counterparty | | | Expiration
Date | | | Strike Price | | | Value | |
| | 9 | | | | 1,467,810 | EUR | | Euro-Bond April Futures, Call | | | SOG | | | | 3/22/19 | | | | EUR | | | | 164.50 | | | $ | 1,024 | |
| | 32 | | | | $3,911,000 | | | U.S. Treasury10-Year Note April Futures, Put | | | CSFB | | | | 3/22/19 | | | $ | | | | | 121.50 | | | | 6,500 | |
| | 32 | | | | 3,911,000 | | | U.S. Treasury10-Year Note April Futures, Call | | | CSFB | | | | 3/22/19 | | | $ | | | | | 123.50 | | | | 1,500 | |
| | 4 | | | | 579,625 | | | U.S. Treasury Bond April Futures, Put | | | MLP | | | | 3/22/19 | | | $ | | | | | 143.00 | | | | 1,375 | |
| | 4 | | | | 579,625 | | | U.S. Treasury Bond April Futures, Put | | | MLP | | | | 3/22/19 | | | $ | | | | | 144.00 | | | | 2,625 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | Total Options on Futures | | | | | | | | | | | | | | | | | | $ | 16,863 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | TOTAL OPTIONS CONTRACTS WRITTEN
(Premiums received — $163,652) | | | | | | | | | | | | | | | | | | $ | 141,402 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
At February 28, 2019, Inflation-Linked Fixed Income Fund held the following Reverse Repurchase Agreements:
| | | | | | | | |
| | |
Face
Amounts† | | | Security | | Value | |
| | | | NatWest Markets Securities Inc.: | | | | |
| $ | 1,320,750 | | | 2.530% due 3/5/19 | | $ | 1,320,750 | |
| | 837,000 | | | 2.700% due 4/3/19 | | | 837,000 | |
| | 4,326,000 | | | 2.670% due 4/12/19 | | | 4,326,000 | |
| | | | Royal Bank of Canada: | | | | |
| | 13,593,375 | | | 2.700% due 4/4/19 | | | 13,593,375 | |
| | | | Standard Chartered Bank: | | | | |
| | 22,185,176 | | | 2.670% due 4/8/19 | | | 22,185,176 | |
| | 2,804,875 | | | 2.660% due 4/11/19 | | | 2,804,875 | |
| | 1,574,000 | | | 2.640% due 4/24/19 | | | 1,574,000 | |
| | | | | | | | |
| | | | TOTAL REVERSE REPURCHASE AGREEMENTS
(Proceeds — $46,641,176) | | $ | 46,641,176 | |
| | | | | | | | |
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
For the period ended February 28, 2019, the average borrowing and interest rate under the reverse repurchase agreements were $51,670,755 and 2.443%, respectively.
At February 28, 2019, Inflation-Linked Fixed Income Fund had open exchange-traded futures contracts as described below.
The unrealized appreciation (depreciation) on the open contracts reflected in the accompanying financial statements were as follows:
| | | | | | | | | | | | | | | | | | | | |
| Open Futures Contracts | | Number of
Contracts | | | Expiration
Date
(Month/Year) | | | Notional
Amount | | | Market Value | | | Unrealized
Appreciation/
(Depreciation) | |
| Contracts to Buy: | | | | | | | | | | | | | | | | | | | | |
Euro-Bobl March Futures | | | 105 | | | | 3/19 | | | $ | 15,907,039 | | | $ | 15,850,351 | | | $ | (56,688 | ) |
Euro-Bund June Futures | | | 143 | | | | 6/19 | | | | 26,642,571 | | | | 26,474,247 | | | | (168,324 | ) |
Euro-Bund March Futures | | | 2 | | | | 3/19 | | | | 378,276 | | | | 376,047 | | | | (2,229 | ) |
U.S. Treasury10-Year Note June Futures | | | 197 | | | | 6/19 | | | | 24,138,623 | | | | 24,034,000 | | | | (104,623 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | (331,864 | ) |
| | | | | | | | | | | | | | | | | | | | |
| Contracts to Sell: | | | | | | | | | | | | | | | | | | | | |
Australian Government3-Year Bond March Futures | | | 14 | | | | 3/19 | | | | 1,108,892 | | | | 1,119,573 | | | | (10,681 | ) |
Australian Government10-Year Bond March Futures | | | 4 | | | | 3/19 | | | | 372,698 | | | | 383,111 | | | | (10,413 | ) |
Euro-BTP March Futures | | | 53 | | | | 3/19 | | | | 7,663,926 | | | | 7,730,589 | | | | (66,663 | ) |
See Notes to Financial Statements.
235
| | | | | | |
| Inflation-Linked Fixed Income Fund |
| | | | | | | | | | | | | | | | | | | | |
| Open Futures Contracts | | Number of
Contracts | | | Expiration
Date
(Month/Year) | | | Notional
Amount | | | Market Value | | | Unrealized
Appreciation/
(Depreciation) | |
Euro-Buxl30-Year Bond March Futures | | | 31 | | | | 3/19 | | | $ | 6,564,390 | | | $ | 6,489,139 | | | $ | 75,251 | |
Euro-OAT June Futures | | | 37 | | | | 6/19 | | | | 6,685,557 | | | | 6,656,394 | | | | 29,163 | |
Euro-Schatz Note March Futures | | | 280 | | | | 3/19 | | | | 35,632,654 | | | | 35,609,946 | | | | 22,708 | |
Japan Government10-Year Bond March Futures | | | 1 | | | | 3/19 | | | | 1,361,571 | | | | 1,370,295 | | | | (8,724 | ) |
U.S. Treasury2-Year Note June Futures | | | 40 | | | | 6/19 | | | | 8,493,438 | | | | 8,487,813 | | | | 5,625 | |
U.S. Treasury5-Year Note June Futures | | | 121 | | | | 6/19 | | | | 13,864,147 | | | | 13,862,063 | | | | 2,084 | |
U.S. Treasury Long Bond June Futures | | | 67 | | | | 6/19 | | | | 9,796,682 | | | | 9,679,406 | | | | 117,276 | |
U.S. Treasury Ultra Long Bond June Futures | | | 1 | | | | 6/19 | | | | 161,133 | | | | 159,594 | | | | 1,539 | |
U.S. Ultra Long Bond June Futures | | | 42 | | | | 6/19 | | | | 5,470,828 | | | | 5,437,031 | | | | 33,797 | |
United Kingdom Treasury10-Year Gilt June Futures | | | 32 | | | | 6/19 | | | | 5,399,446 | | | | 5,338,125 | | | | 61,321 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 252,283 | |
| | | | | | | | | | | | | | | | | | | | |
Net Unrealized Depreciation on Open Exchange-Traded Futures Contracts | | | | | | | | | | | | | | | | | | $ | (79,581 | ) |
| | | | | | | | | | | | | | | | | |
At February 28, 2019, Inflation-Linked Fixed Income Fund had deposited cash of $503,000 with a broker or brokers as margin collateral on an open exchange-traded futures contracts.
At February 28, 2019, Inflation-Linked Fixed Income Fund had open forward foreign currency contracts as described below.
The unrealized appreciation (depreciation) on the open contracts reflected in the accompanying financial statements were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Foreign Currency | | Local Currency | | | In Exchange
For | | | Counterparty | | | Market Value | | | Settlement
Date | | | Unrealized
Appreciation/
(Depreciation) | |
| Contracts to Buy: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Argentine Peso | | | 316,663 | | | | USD | | | | 8,300 | | | | BNP | | | $ | 8,068 | | | | 3/7/19 | | | $ | (232 | ) |
Argentine Peso | | | 316,663 | | | | USD | | | | 7,705 | | | | MLP | | | | 7,699 | | | | 4/23/19 | | | | (6 | ) |
Australian Dollar | | | 2,531,000 | | | | USD | | | | 1,815,471 | | | | HSBC | | | | 1,795,491 | | | | 3/4/19 | | | | (19,980 | ) |
Australian Dollar | | | 1,701,000 | | | | USD | | | | 1,209,361 | | | | HSBC | | | | 1,206,689 | | | | 3/4/19 | | | | (2,672 | ) |
Brazilian Real | | | 5,500,000 | | | | USD | | | | 1,462,299 | | | | JPM | | | | 1,461,205 | | | | 4/2/19 | | | | (1,094 | ) |
British Pound | | | 179,000 | | | | USD | | | | 234,508 | | | | JPM | | | | 237,381 | | | | 3/4/19 | | | | 2,873 | |
British Pound | | | 1,378,000 | | | | USD | | | | 1,779,044 | | | | SCB | | | | 1,827,434 | | | | 3/4/19 | | | | 48,390 | |
Canadian Dollar | | | 1,598,000 | | | | USD | | | | 1,210,148 | | | | HSBC | | | | 1,214,563 | | | | 3/4/19 | | | | 4,415 | |
Chinese Onshore Renminbi | | | 3,519,765 | | | | USD | | | | 510,000 | | | | JPM | | | | 525,781 | | | | 4/15/19 | | | | 15,781 | |
Colombian Peso | | | 3,540,078,800 | | | | USD | | | | 1,130,745 | | | | BNP | | | | 1,143,898 | | | | 6/11/19 | | | | 13,153 | |
Indian Rupee | | | 22,533,559 | | | | USD | | | | 313,838 | | | | HSBC | | | | 317,421 | | | | 3/20/19 | | | | 3,583 | |
Indian Rupee | | | 22,533,559 | | | | USD | | | | 312,186 | | | | BNP | | | | 313,863 | | | | 6/19/19 | | | | 1,677 | |
Indonesian Rupiah | | | 5,630,010,000 | | | | USD | | | | 402,000 | | | | BCLY | | | | 399,644 | | | | 3/20/19 | | | | (2,356 | ) |
Indonesian Rupiah | | | 1,733,153,000 | | | | USD | | | | 123,400 | | | | BNP | | | | 123,027 | | | | 3/20/19 | | | | (373 | ) |
Indonesian Rupiah | | | 3,082,200,000 | | | | USD | | | | 220,000 | | | | BNP | | | | 218,789 | | | | 3/20/19 | | | | (1,211 | ) |
Indonesian Rupiah | | | 3,652,622,400 | | | | USD | | | | 248,461 | | | | DUB | | | | 259,280 | | | | 3/20/19 | | | | 10,819 | |
Indonesian Rupiah | | | 2,204,751,000 | | | | USD | | | | 157,000 | | | | JPM | | | | 156,503 | | | | 3/20/19 | | | | (497 | ) |
Indonesian Rupiah | | | 16,302,736,400 | | | | USD | | | | 1,142,208 | | | | SCB | | | | 1,145,282 | | | | 6/19/19 | | | | 3,074 | |
Japanese Yen | | | 91,200,000 | | | | USD | | | | 822,977 | | | | BCLY | | | | 818,194 | | | | 3/4/19 | | | | (4,783 | ) |
Korean Won | | | 783,626,400 | | | | USD | | | | 696,000 | | | | JPM | | | | 696,558 | | | | 3/20/19 | | | | 558 | |
Mexican Peso | | | 2,532,000 | | | | USD | | | | 128,603 | | | | JPM | | | | 128,063 | | | | 8/14/19 | | | | (540 | ) |
Russian Ruble | | | 39,327,120 | | | | USD | | | | 595,000 | | | | JPM | | | | 596,108 | | | | 3/7/19 | | | | 1,108 | |
Russian Ruble | | | 24,949,376 | | | | USD | | | | 378,000 | | | | JPM | | | | 378,174 | | | | 3/7/19 | | | | 174 | |
Russian Ruble | | | 19,553,163 | | | | USD | | | | 295,700 | | | | JPM | | | | 296,380 | | | | 3/7/19 | | | | 680 | |
Russian Ruble | | | 30,145,113 | | | | USD | | | | 457,307 | | | | JPM | | | | 456,334 | | | | 3/15/19 | | | | (973 | ) |
Russian Ruble | | | 30,145,113 | | | | USD | | | | 455,872 | | | | MLP | | | | 454,414 | | | | 4/15/19 | | | | (1,458 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | 70,110 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
236
| | | | | | |
| Inflation-Linked Fixed Income Fund |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Foreign Currency | | Local Currency | | | In Exchange
For | | | Counterparty | | | Market Value | | | Settlement
Date | | | Unrealized
Appreciation/
(Depreciation) | |
| Contracts to Sell: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Argentine Peso | | | 316,663 | | | | USD | | | | 8,088 | | | | MLP | | | $ | 8,068 | | | | 3/7/19 | | | $ | 20 | |
Australian Dollar | | | 4,232,000 | | | | USD | | | | 3,042,804 | | | | BNP | | | | 3,002,181 | | | | 3/4/19 | | | | 40,623 | |
Australian Dollar | | | 2,531,000 | | | | USD | | | | 1,816,268 | | | | HSBC | | | �� | 1,796,406 | | | | 4/2/19 | | | | 19,862 | |
Brazilian Real | | | 5,500,000 | | | | USD | | | | 1,395,302 | | | | JPM | | | | 1,461,205 | | | | 4/2/19 | | | | (65,903 | ) |
Brazilian Real | | | 5,768,000 | | | | USD | | | | 1,499,389 | | | | JPM | | | | 1,497,667 | | | | 1/3/20 | | | | 1,722 | |
British Pound | | | 2,574,000 | | | | USD | | | | 3,373,459 | | | | SCB | | | | 3,413,508 | | | | 3/4/19 | | | | (40,049 | ) |
British Pound | | | 1,017,000 | | | | USD | | | | 1,354,859 | | | | HSBC | | | | 1,350,790 | | | | 4/2/19 | | | | 4,069 | |
British Pound | | | 1,655,000 | | | | USD | | | | 2,200,279 | | | | SCB | | | | 2,198,188 | | | | 4/2/19 | | | | 2,091 | |
Canadian Dollar | | | 1,598,000 | | | | USD | | | | 1,216,342 | | | | DUB | | | | 1,214,562 | | | | 3/4/19 | | | | 1,780 | |
Canadian Dollar | | | 1,598,000 | | | | USD | | | | 1,211,042 | | | | HSBC | | | | 1,215,459 | | | | 4/2/19 | | | | (4,417 | ) |
Chinese Offshore Renminbi | | | 3,586,695 | | | | USD | | | | 511,185 | | | | BCLY | | | | 535,276 | | | | 4/15/19 | | | | (24,091 | ) |
Euro | | | 216,000 | | | | USD | | | | 244,260 | | | | BCLY | | | | 245,678 | | | | 3/4/19 | | | | (1,418 | ) |
Euro | | | 548,000 | | | | USD | | | | 621,964 | | | | HSBC | | | | 623,296 | | | | 3/4/19 | | | | (1,332 | ) |
Euro | | | 3,503,000 | | | | USD | | | | 4,036,192 | | | | MLP | | | | 3,984,313 | | | | 3/4/19 | | | | 51,879 | |
Euro | | | 243,000 | | | | USD | | | | 275,978 | | | | MLP | | | | 276,389 | | | | 3/4/19 | | | | (411 | ) |
Euro | | | 4,510,000 | | | | USD | | | | 5,148,034 | | | | JPM | | | | 5,142,631 | | | | 4/2/19 | | | | 5,403 | |
Indian Rupee | | | 22,533,559 | | | | USD | | | | 315,932 | | | | BNP | | | | 317,420 | | | | 3/20/19 | | | | (1,488 | ) |
Indonesian Rupiah | | | 16,302,736,400 | | | | USD | | | | 1,155,731 | | | | SCB | | | | 1,157,243 | | | | 3/20/19 | | | | (1,512 | ) |
Japanese Yen | | | 23,700,000 | | | | USD | | | | 217,054 | | | | BCLY | | | | 212,622 | | | | 3/4/19 | | | | 4,432 | |
Japanese Yen | | | 60,900,000 | | | | USD | | | | 551,466 | | | | HSBC | | | | 546,360 | | | | 3/4/19 | | | | 5,106 | |
Japanese Yen | | | 6,600,000 | | | | USD | | | | 60,192 | | | | MLP | | | | 59,212 | | | | 3/4/19 | | | | 980 | |
Japanese Yen | | | 91,200,000 | | | | USD | | | | 824,978 | | | | BCLY | | | | 820,156 | | | | 4/2/19 | | | | 4,822 | |
Korean Won | | | 468,092,900 | | | | USD | | | | 416,842 | | | | BCLY | | | | 416,083 | | | | 3/20/19 | | | | 759 | |
Korean Won | | | 566,720,000 | | | | USD | | | | 506,000 | | | | BCLY | | | | 503,752 | | | | 3/20/19 | | | | 2,248 | |
Korean Won | | | 370,468,440 | | | | USD | | | | 331,000 | | | | JPM | | | | 329,306 | | | | 3/20/19 | | | | 1,694 | |
Korean Won | | | 226,794,270 | | | | USD | | | | 201,900 | | | | JPM | | | | 201,595 | | | | 3/20/19 | | | | 305 | |
Korean Won | | | 316,855,200 | | | | USD | | | | 282,000 | | | | SCB | | | | 281,649 | | | | 3/20/19 | | | | 351 | |
Mexican Peso | | | 3,293,000 | | | | USD | | | | 167,208 | | | | BCLY | | | | 167,814 | | | | 6/26/19 | | | | (606 | ) |
New Taiwan Dollar | | | 10,483,690 | | | | USD | | | | 340,800 | | | | BCLY | | | | 340,518 | | | | 3/20/19 | | | | 282 | |
New Taiwan Dollar | | | 7,206,890 | | | | USD | | | | 235,612 | | | | BNP | | | | 234,085 | | | | 3/20/19 | | | | 1,527 | |
New Taiwan Dollar | | | 7,135,160 | | | | USD | | | | 232,000 | | | | HSBC | | | | 231,755 | | | | 3/20/19 | | | | 245 | |
New Taiwan Dollar | | | 10,576,280 | | | | USD | | | | 344,000 | | | | JPM | | | | 343,525 | | | | 3/20/19 | | | | 475 | |
New Zealand Dollar | | | 1,067,000 | | | | USD | | | | 737,216 | | | | MLP | | | | 726,681 | | | | 3/4/19 | | | | 10,535 | |
Peruvian Sol | | | 1,581,510 | | | | USD | | | | 474,259 | | | | BNP | | | | 477,903 | | | | 4/10/19 | | | | (3,644 | ) |
Russian Ruble | | | 46,235,345 | | | | USD | | | | 689,000 | | | | MLP | | | | 699,906 | | | | 3/15/19 | | | | (10,906 | ) |
Russian Ruble | | | 30,145,113 | | | | USD | | | | 455,482 | | | | JPM | | | | 454,414 | | | | 4/15/19 | | | | 1,068 | |
Singapore Dollar | | | 324,084 | | | | USD | | | | 237,278 | | | | MLP | | | | 239,772 | | | | 3/20/19 | | | | (2,494 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | 4,007 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Unrealized Appreciation on Open Forward Foreign Currency Contracts | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 74,117 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
At February 28, 2019, Inflation-Linked Fixed Income Fund held the following Centrally Cleared Interest Rate Swap Contracts:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Pay/Receive
Floating Rate | | Floating Rate Index | | Fixed
Rate | | | Maturity
Date | | | Payment
Frequency | | | Notional
Amount | | | Market
Value | | | Upfront
Payment
Paid/
(Received) | | | Unrealized
Appreciation/
(Depreciation) | |
| Pay | | 28-DAY MXN TIIE Banxico | | | 9.182% | | | | 11/28/28 | | | | 28-Day | | | MXN | 21,000,000 | | | $ | 62,105 | | | $ | — | | | $ | 62,105 | |
| Receive | | U.S. Federal Funds Effective Rate Index | | | 2.428% | | | | 12/20/47 | | | | 12-Month | | | USD | 100,000 | | | | 3,387 | | | | 241 | | | | 3,146 | |
| Receive | | U.S. Federal Funds Effective Rate Index | | | 2.478% | | | | 12/20/47 | | | | 12-Month | | | USD | 378,000 | | | | 8,858 | | | | 758 | | | | 8,100 | |
| Receive | | U.S. Federal Funds Effective Rate Index | | | 2.499% | | | | 12/20/47 | | | | 12-Month | | | USD | 950,000 | | | | 18,090 | | | | 2,364 | | | | 15,726 | |
See Notes to Financial Statements.
237
| | | | | | |
| Inflation-Linked Fixed Income Fund |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Pay/Receive
Floating Rate | | Floating Rate Index | | Fixed
Rate | | | Maturity
Date | | | Payment
Frequency | | | Notional
Amount | | | Market
Value | | | Upfront
Payment
Paid/
(Received) | | | Unrealized
Appreciation/
(Depreciation) | |
| Receive | | 3-Month FRA New Zealand Bank Bill | | | 3.250% | | | | 3/21/28 | | | | 6-Month | | | NZD | 700,000 | | | $ | (39,211 | ) | | $ | 2,137 | | | $ | (41,348 | ) |
| Receive | | 3-MonthUSD-LIBOR | | | 1.750% | | | | 12/21/26 | | | | 6-Month | | | USD | 620,000 | | | | 40,604 | | | | (15,863 | ) | | | 56,467 | |
| Pay | | 3-MonthUSD-LIBOR | | | 2.000% | | | | 6/20/23 | | | | 6-Month | | | USD | 2,300,000 | | | | (55,987 | ) | | | (88,855 | ) | | | 32,868 | |
| Receive | | 3-MonthUSD-LIBOR | | | 2.000% | | | | 7/27/26 | | | | 6-Month | | | USD | 3,100,000 | | | | 92,631 | | | | 90,254 | | | | 2,377 | |
| Pay | | 3-MonthUSD-LIBOR | | | 2.250% | | | | 12/20/22 | | | | 6-Month | | | USD | 9,600,000 | | | | (117,493 | ) | | | 12,038 | | | | (129,531 | ) |
| Receive | | 3-MonthUSD-LIBOR | | | 2.250% | | | | 6/20/28 | | | | 6-Month | | | USD | 1,490,000 | | | | 56,688 | | | | 80,316 | | | | (23,628 | ) |
| Receive | | 3-MonthUSD-LIBOR | | | 2.400% | | | | 12/7/26 | | | | 6-Month | | | USD | 2,900,000 | | | | 39,289 | | | | 17,679 | | | | 21,610 | |
| Receive | | 3-MonthUSD-LIBOR | | | 2.500% | | | | 2/22/26 | | | | 6-Month | | | USD | 9,530,000 | | | | 58,675 | | | | (281,476 | ) | | | 340,151 | |
| Receive | | 3-MonthUSD-LIBOR | | | 2.500% | | | | 6/20/48 | | | | 6-Month | | | USD | 1,010,000 | | | | 85,384 | | | | 120,680 | | | | (35,296 | ) |
| Pay | | 3-MonthUSD-LIBOR | | | 2.750% | | | | 12/19/23 | | | | 6-Month | | | USD | 10,700,000 | | | | 92,844 | | | | (65,884 | ) | | | 158,728 | |
| Receive | | 3-MonthUSD-LIBOR | | | 2.765% | | | | 7/18/28 | | | | 6-Month | | | USD | 1,550,000 | | | | (6,021 | ) | | | — | | | | (6,021 | ) |
| Receive | | 3-MonthUSD-LIBOR | | | 3.000% | | | | 12/19/48 | | | | 6-Month | | | USD | 1,100,000 | | | | (20,633 | ) | | | 65,675 | | | | (86,308 | ) |
| Receive | | 3-MonthUSD-LIBOR | | | 3.100% | | | | 4/17/28 | | | | 6-Month | | | USD | 4,140,000 | | | | (44,426 | ) | | | (24,343 | ) | | | (20,083 | ) |
| Receive | | 6-MonthGBP-LIBOR | | | 1.750% | | | | 3/20/49 | | | | 6-Month | | | GBP | 960,000 | | | | (29,053 | ) | | | (52,759 | ) | | | 23,706 | |
| Receive | | 6-MonthJPY-LIBOR | | | 0.300% | | | | 9/20/27 | | | | 6-Month | | | JPY | 210,000,000 | | | | (35,131 | ) | | | (3,794 | ) | | | (31,337 | ) |
| Receive | | 6-MonthJPY-LIBOR | | | 0.450% | | | | 3/20/29 | | | | 6-Month | | | JPY | 80,000,000 | | | | (20,966 | ) | | | (4,651 | ) | | | (16,315 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | $ | 189,634 | | | $ | (145,483 | ) | | $ | 335,117 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
At February 28, 2019, Inflation-Linked Fixed Income Fund held the following Centrally Cleared Inflation Rate Swap Contracts:
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Pay/ Receive
Floating Rate | | Floating Rate Index | | Fixed
Rate | | | Maturity
Date | | | Notional
Amount | | | Market
Value | | | Upfront
Premiums
Paid/
(Received) | | | Unrealized
Appreciation/
(Depreciation) | |
| Receive | | 5-Year EUR Inflation Linked | | | 1.085% | | | | 1/15/24 | | | EUR | 2,680,000 | | | $ | (3,387 | ) | | $ | 1,431 | | | $ | (4,818 | ) |
| Pay | | 5-Year EUR Inflation Linked | | | 1.350% | | | | 1/15/23 | | | EUR | 480,000 | | | | 8,317 | | | | 196 | | | | 8,121 | |
| Receive | | 5-Year EUR Inflation Linked | | | 1.507% | | | | 5/15/23 | | | EUR | 441,000 | | | | (7,852 | ) | | | 420 | | | | (8,272 | ) |
| Pay | | 10-Year EUR Inflation Linked | | | 1.360% | | | | 6/15/27 | | | EUR | 800,000 | | | | 8,131 | | | | (11,973 | ) | | | 20,104 | |
| Pay | | 10-Year EUR Inflation Linked | | | 1.385% | | | | 12/15/26 | | | EUR | 70,000 | | | | 775 | | | | (6,018 | ) | | | 6,793 | |
| Pay | | 10-Year EUR Inflation Linked | | | 1.520% | | | | 11/15/27 | | | EUR | 2,770,000 | | | | 72,356 | | | | (18,586 | ) | | | 90,942 | |
| Pay | | 10-Year EUR Inflation Linked | | | 1.535% | | | | 3/15/28 | | | EUR | 700,000 | | | | 20,924 | | | | 91 | | | | 20,833 | |
| Pay | | 10-Year EUR Inflation Linked | | | 1.606% | | | | 2/15/28 | | | EUR | 160,000 | | | | 8,343 | | | | — | | | | 8,343 | |
| Pay | | 10-Year EUR Inflation Linked | | | 1.620% | | | | 5/15/28 | | | EUR | 910,000 | | | | 34,797 | | | | 57 | | | | 34,740 | |
| Receive | | 15-Year EUR Inflation Linked | | | 1.710% | | | | 3/15/33 | | | EUR | 100,000 | | | | (5,067 | ) | | | — | | | | (5,067 | ) |
| Pay | | 20-Year EUR Inflation Linked | | | 1.796% | | | | 11/15/38 | | | EUR | 520,000 | | | | 29,320 | | | | 39 | | | | 29,281 | |
| Pay | | 20-Year EUR Inflation Linked | | | 1.808% | | | | 11/15/38 | | | EUR | 300,000 | | | | 17,779 | | | | — | | | | 17,779 | |
| Pay | | 20-Year EUR Inflation Linked | | | 1.910% | | | | 1/15/38 | | | EUR | 160,000 | | | | 15,851 | | | | 485 | | | | 15,366 | |
| Pay | | 30-Year EUR Inflation Linked | | | 1.946% | | | | 3/15/48 | | | EUR | 100,000 | | | | 8,324 | | | | — | | | | 8,324 | |
| Pay | | 10-Year GBP Inflation Linked | | | 3.718% | | | | 12/15/28 | | | GBP | 920,000 | | | | 40,820 | | | | — | | | | 40,820 | |
| Pay | | 15-Year GBP Inflation Linked | | | 3.100% | | | | 6/15/31 | | | GBP | 2,430,000 | | | | (241,863 | ) | | | (251,380 | ) | | | 9,517 | |
| Pay | | 15-Year GBP Inflation Linked | | | 3.500% | | | | 9/15/33 | | | GBP | 250,000 | | | | 273 | | | | 195 | | | | 78 | |
| Pay | | 15-Year GBP Inflation Linked | | | 3.530% | | | | 10/15/31 | | | GBP | 1,190,000 | | | | 17,649 | | | | (7,845 | ) | | | 25,494 | |
| Receive | | 30-Year GBP Inflation Linked | | | 3.428% | | | | 3/15/47 | | | GBP | 370,000 | | | | 13,749 | | | | 21,675 | | | | (7,926 | ) |
| Receive | | 1-Year USD Inflation Linked | | | 2.070% | | | | 3/23/19 | | | USD | 2,340,000 | | | | (9,667 | ) | | | 135 | | | | (9,802 | ) |
| Receive | | 3-Year USD Inflation Linked | | | 2.168% | | | | 7/15/20 | | | USD | 1,100,000 | | | | (5,923 | ) | | | — | | | | (5,923 | ) |
| Receive | | 4-Year USD Inflation Linked | | | 2.027% | | | | 11/23/20 | | | USD | 700,000 | | | | (1,361 | ) | | | — | | | | (1,361 | ) |
| Receive | | 5-Year USD Inflation Linked | | | 1.550% | | | | 7/26/21 | | | USD | 400,000 | | | | 8,841 | | | | 13,539 | | | | (4,698 | ) |
| Receive | | 5-Year USD Inflation Linked | | | 1.603% | | | | 9/12/21 | | | USD | 310,000 | | | | 5,618 | | | | 9,337 | | | | (3,719 | ) |
| Receive | | 5-Year USD Inflation Linked | | | 2.210% | | | | 2/5/23 | | | USD | 2,090,000 | | | | (28,649 | ) | | | — | | | | (28,649 | ) |
| Receive | | 5-Year USD Inflation Linked | | | 2.220% | | | | 4/13/23 | | | USD | 7,730,000 | | | | (127,081 | ) | | | — | | | | (127,081 | ) |
| Receive | | 5-Year USD Inflation Linked | | | 2.263% | | | | 4/27/23 | | | USD | 610,000 | | | | (11,511 | ) | | | (136 | ) | | | (11,375 | ) |
| Receive | | 5-Year USD Inflation Linked | | | 2.263% | | | | 5/9/23 | | | USD | 360,000 | | | | (6,600 | ) | | | — | | | | (6,600 | ) |
| Receive | | 5-Year USD Inflation Linked | | | 2.281% | | | | 5/10/23 | | | USD | 550,000 | | | | (11,450 | ) | | | — | | | | (11,450 | ) |
See Notes to Financial Statements.
238
| | | | | | |
| Inflation-Linked Fixed Income Fund |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Pay/ Receive
Floating Rate | | Floating Rate Index | | Fixed
Rate | | | Maturity
Date | | | Notional Amount | | | Market
Value | | | Upfront
Premiums
Paid/
(Received) | | | Unrealized
Appreciation/
(Depreciation) | |
| Pay | | 10-Year USD Inflation Linked | | | 1.730% | | | | 7/26/26 | | | USD | 400,000 | | | $ | (13,743 | ) | | $ | (21,441 | ) | | $ | 7,698 | |
| Pay | | 10-Year USD Inflation Linked | | | 1.762% | | | | 8/30/26 | | | USD | 1,500,000 | | | | (43,876 | ) | | | (73,591 | ) | | | 29,715 | |
| Pay | | 10-Year USD Inflation Linked | | | 1.801% | | | | 9/12/26 | | | USD | 310,000 | | | | (8,139 | ) | | | (14,319 | ) | | | 6,180 | |
| Pay | | 10-Year USD Inflation Linked | | | 2.150% | | | | 9/25/27 | | | USD | 300,000 | | | | 377 | | | | — | | | | 377 | |
| Pay | | 10-Year USD Inflation Linked | | | 2.156% | | | | 10/17/27 | | | USD | 700,000 | | | | 1,553 | | | | — | | | | 1,553 | |
| Pay | | 10-Year USD Inflation Linked | | | 2.180% | | | | 9/20/27 | | | USD | 320,000 | | | | 1,432 | | | | — | | | | 1,432 | |
| Pay | | 10-Year USD Inflation Linked | | | 2.335% | | | | 2/5/28 | | | USD | 1,060,000 | | | | 25,829 | | | | 2,300 | | | | 23,529 | |
| Pay | | 10-Year USD Inflation Linked | | | 2.352% | | | | 5/9/28 | | | USD | 360,000 | | | | 9,783 | | | | — | | | | 9,783 | |
| Pay | | 10-Year USD Inflation Linked | | | 2.360% | | | | 5/9/28 | | | USD | 540,000 | | | | 15,074 | | | | — | | | | 15,074 | |
| Pay | | 10-Year USD Inflation Linked | | | 2.364% | | | | 5/10/28 | | | USD | 550,000 | | | | 15,527 | | | | — | | | | 15,527 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | $ | (144,727 | ) | | $ | (355,389 | ) | | $ | 210,662 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
At February 28, 2019, Inflation-Linked Fixed Income Fund held the following Centrally Cleared Credit Default Swap Contracts:
Centrally Cleared — Credit Default Swaps on Corporate and Sovereign Issues — Buy Protection (1)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Obligation | | Fixed Deal
(Pay) Rate | | | Maturity
Date | | | Payment
Frequency | | | Implied Credit
Spread at
2/28/19 (2) | | | Notional
Amount (3) | | | Market
Value | | | Upfront
Payment
(Received) | | | Unrealized
Appreciation | |
Markit iTraxx Europe Series 285-Year Index | | | (1.000 | %) | | | 12/20/22 | | | | 3-Month | | | | 0.422 | % | | EUR | 1,700,000 | | | $ | (46,703 | ) | | $ | (91,330 | ) | | $ | 44,627 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Centrally Cleared — Credit Default Swaps on Corporate and Sovereign Issues — Sell Protection (4)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Obligation | | Fixed Deal
Receive Rate | | | Maturity
Date | | | Payment
Frequency | | | Implied Credit
Spread at
2/28/19 (2) | | | Notional
Amount (3) | | | Market
Value | | | Upfront
Payment
Paid/
(Received) | | | Unrealized
Appreciation | |
Daimler AG, A | | | 1.000 | % | | | 12/20/20 | | | | 3-Month | | | | 0.311 | % | | EUR | 100,000 | | | $ | 1,659 | | | $ | 1,651 | | | $ | 8 | |
General Electric Co., BBB+ | | | 1.000 | % | | | 12/20/23 | | | | 3-Month | | | | 0.926 | % | | USD | 100,000 | | | | 608 | | | | (4,874 | ) | | | 5,482 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | $ | 2,267 | | | $ | (3,223 | ) | | $ | 5,490 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (1) | If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the reference obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising the referenced index. |
| (2) | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as ‘‘Defaulted’’ indicates a credit event has occurred for the referenced entity or obligation. |
| (3) | The maximum potential amount the Fund could be required to make as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
| (4) | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
At February 28, 2019, Inflation-Linked Fixed Income Fund deposited cash collateral with brokers in the amount of $707,000 for open centrally cleared swap contracts.
See Notes to Financial Statements.
239
| | | | | | |
| Inflation-Linked Fixed Income Fund |
At February 28, 2019, Inflation-Linked Fixed Income Fund had cash collateral from brokers in the amount of $30,000 for open OTC swap contracts.
| | | | | | |
Currency Abbreviations used in this schedule: | | Counterparty Abbreviations used in this schedule: |
| ARS | | — Argentine Peso | | BCLY | | — Barclays Bank PLC |
| AUD | | — Australian Dollar | | BNP | | — BNP Paribas SA |
| BRL | | — Brazilian Real | | CITI | | — Citigroup Global Markets Inc. |
| CAD | | — Canadian Dollar | | CSFB | | — Credit Suisse Securities (USA) LLC |
| DKK | | — Danish Krone | | DUB | | — Deutsche Bank AG |
| EUR | | — Euro | | HSBC | | — HSBC Bank USA |
| GBP | | — British Pound | | JPM | | — JPMorgan Chase & Co. |
| JPY | | — Japanese Yen | | MLP | | — Merrill Lynch, Pierce, Fenner & Smith Inc. |
| MXN | | — Mexican Peso | | SCB | | — Standard Chartered Bank |
| NZD | | — New Zealand Dollar | | SOG | | — Societe Generale SA |
| PEN | | — Peruvian Sol | | | | |
| ZAR | | — South African Rand | | | | |
See pages 260-261 for definitions of ratings.
See Notes to Financial Statements.
240
| | | | | | | | | | |
| Ultra-Short Term Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | CORPORATE BONDS & NOTES — 72.1% | |
|
| | Aerospace/Defense — 0.4% | |
| $ | 2,000,000 | | | BBB+ | | United Technologies Corp., Senior Unsecured Notes, 3.333%(3-MonthUSD-LIBOR + 0.650%) due 8/16/21(a) | | $ | 2,000,545 | |
| | | | | | | | | | |
|
| | Agriculture — 1.5% | |
| | | | | | BAT Capital Corp., Company Guaranteed Notes: | | | | |
| | 300,000 | | | BBB+ | | 2.297% due 8/14/20 | | | 295,756 | |
| | 2,330,000 | | | BBB+ | | 3.283%(3-MonthUSD-LIBOR + 0.590%) due 8/14/20(a) | | | 2,323,889 | |
| | 1,400,000 | | | BBB+ | | 3.564%(3-MonthUSD-LIBOR + 0.880%) due 8/15/22(a) | | | 1,378,760 | |
| | 1,500,000 | | | BBB+ | | BAT International Finance PLC, Company Guaranteed Notes, 1.625% due 9/9/19 | | | 1,488,327 | |
| | 1,100,000 | | | BBB | | Imperial Brands Finance PLC, Company Guaranteed Notes, 2.950% due 7/21/20(b) | | | 1,091,585 | |
| | 1,000,000 | | | BBB+ | | Reynolds American Inc., Company Guaranteed Notes, 6.875% due 5/1/20 | | | 1,040,891 | |
| | | | | | | | | | |
| | | | | | Total Agriculture | | | 7,619,208 | |
| | | | | | | | | | |
|
| | Airlines — 0.6% | |
| | | | | | Delta Air Lines Inc., Senior Unsecured Notes: | | | | |
| | 1,500,000 | | | BB+ | | 2.875% due 3/13/20 | | | 1,498,908 | |
| | 250,000 | | | BB+ | | 3.625% due 3/15/22 | | | 249,397 | |
| | 426,964 | | | A+ | | Northwest Airlines Inc. Class A Pass-Through Trust, Series2007-1, Pass-Thru Certificates, 7.027% due 11/1/19 | | | 436,634 | |
| | 203,653 | | | A | | Northwest Airlines Inc.Class G-2 Pass-Through Trust, Series2002-1, Pass-Thru Certificates, 6.264% due 11/20/21 | | | 208,541 | |
| | 500,000 | | | BBB+ | | Southwest Airlines Co., Senior Unsecured Notes, 2.750% due 11/6/19 | | | 499,616 | |
| | | | | | | | | | |
| | | | | | Total Airlines | | | 2,893,096 | |
| | | | | | | | | | |
|
| | Auto Manufacturers — 10.7% | |
| | | | | | BMW US Capital LLC, Company Guaranteed Notes: | | | | |
| | 2,000,000 | | | A+ | | 3.175%(3-MonthUSD-LIBOR + 0.380%) due 4/6/20(a)(b)(c) | | | 2,001,696 | |
| | 1,000,000 | | | A+ | | 3.063%(3-MonthUSD-LIBOR + 0.370%) due 8/14/20(a)(b) | | | 998,913 | |
| | 500,000 | | | A+ | | 3.188%(3-MonthUSD-LIBOR + 0.500%) due 8/13/21(a)(b) | | | 499,226 | |
| | | | | | Daimler Finance North America LLC, Company Guaranteed Notes: | | | | |
| | 4,500,000 | | | A | | 3.100% due 5/4/20(b) | | | 4,493,516 | |
| | 500,000 | | | A | | 3.128%(3-MonthUSD-LIBOR + 0.430%) due 2/12/21(a)(b) | | | 496,882 | |
| | 5,600,000 | | | A | | 3.543%(3-MonthUSD-LIBOR + 0.880%) due 2/22/22(a)(b)(c) | | | 5,611,884 | |
| | | | | | Ford Motor Credit Co. LLC, Senior Unsecured Notes: | | | | |
| | 500,000 | | | BBB | | 2.021% due 5/3/19 | | | 499,250 | |
| | 3,400,000 | | | BBB | | 3.797%(3-MonthUSD-LIBOR + 1.000%) due 1/9/20(a) | | | 3,394,812 | |
| | 1,000,000 | | | BBB | | 8.125% due 1/15/20 | | | 1,038,877 | |
| | 1,000,000 | | | BBB | | 2.343% due 11/2/20 | | | 975,681 | |
| | 1,037,000 | | | BBB | | 3.605%(3-MonthUSD-LIBOR + 0.810%) due 4/5/21(a) | | | 1,010,225 | |
| | 1,100,000 | | | BBB | | 3.677%(3-MonthUSD-LIBOR + 0.880%) due 10/12/21(a) | | | 1,061,203 | |
| | | | | | General Motors Co., Senior Unsecured Notes: | | | | |
| | 400,000 | | | BBB | | 3.539%(3-MonthUSD-LIBOR + 0.800%) due 8/7/20(a) | | | 397,993 | |
| | 200,000 | | | BBB | | 3.667%(3-MonthUSD-LIBOR + 0.900%) due 9/10/21(a) | | | 197,238 | |
| | | | | | General Motors Financial Co., Inc. Company Guaranteed Notes: | | | | |
| | 1,000,000 | | | BBB | | 4.147%(3-MonthUSD-LIBOR + 1.450%) due 5/9/19(a) | | | 1,001,433 | |
| | 700,000 | | | BBB | | 2.350% due 10/4/19 | | | 697,354 | |
| | 773,000 | | | BBB | | 4.064%(3-MonthUSD-LIBOR + 1.270%) due 10/4/19(a) | | | 774,946 | |
| | 500,000 | | | BBB | | 3.727%(3-MonthUSD-LIBOR + 0.930%) due 4/13/20(a) | | | 500,021 | |
| | 300,000 | | | BBB | | 3.647%(3-MonthUSD-LIBOR + 0.850%) due 4/9/21(a) | | | 297,204 | |
| | 2,400,000 | | | BBB | | Senior Unsecured Notes, 3.838%(3-MonthUSD-LIBOR + 1.100%) due 11/6/21(a) | | | 2,368,541 | |
| | | | | | Harley-Davidson Financial Services Inc., Company Guaranteed Notes: | | | | |
| | 1,300,000 | | | BBB+ | | 2.400% due 9/15/19(b) | | | 1,293,332 | |
| | 500,000 | | | BBB+ | | 2.150% due 2/26/20(b) | | | 495,371 | |
| | 500,000 | | | BBB+ | | 2.400% due 6/15/20(b) | | | 491,248 | |
See Notes to Financial Statements.
241
| | | | | | | | | | |
| Ultra-Short Term Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Auto Manufacturers — 10.7% — (continued) | |
| | | | | | Hyundai Capital America, Senior Unsecured Notes: | | | | |
| $ | 1,000,000 | | | BBB+ | | 2.500% due 3/18/19(b) | | $ | 999,950 | |
| | 400,000 | | | BBB+ | | 1.750% due 9/27/19(b) | | | 396,652 | |
| | 600,000 | | | BBB+ | | 3.601%(3-MonthUSD-LIBOR + 0.800%) due 9/18/20(a)(b)(c) | | | 598,412 | |
| | 800,000 | | | BBB+ | | 3.596%(3-MonthUSD-LIBOR + 0.820%) due 3/12/21(a) | | | 798,493 | |
| | | | | | Hyundai Capital Services Inc., Senior Unsecured Notes: | | | | |
| | 1,600,000 | | | BBB+ | | 1.625% due 8/30/19 | | | 1,588,541 | |
| | 300,000 | | | BBB+ | | 1.625% due 8/30/19(b) | | | 297,851 | |
| | | | | | Nissan Motor Acceptance Corp., Senior Unsecured Notes: | | | | |
| | 1,000,000 | | | A- | | 3.777%(3-MonthUSD-LIBOR + 1.010%) due 3/8/19(a) | | | 1,000,113 | |
| | 8,000,000 | | | A- | | 3.187%(3-MonthUSD-LIBOR + 0.390%) due 7/13/20(a)(b) | | | 7,975,160 | |
| | 1,500,000 | | | A- | | 3.203%(3-MonthUSD-LIBOR + 0.390%) due 9/28/20(a)(b) | | | 1,490,588 | |
| | 1,000,000 | | | A- | | 3.308%(3-MonthUSD-LIBOR + 0.520%) due 3/15/21(a)(b) | | | 990,213 | |
| | 1,700,000 | | | A- | | 3.447%(3-MonthUSD-LIBOR + 0.650%) due 7/13/22(a)(b) | | | 1,664,708 | |
| | 1,000,000 | | | A- | | 3.503%(3-MonthUSD-LIBOR + 0.690%) due 9/28/22(a)(b) | | | 977,668 | |
| | 1,700,000 | | | AA- | | Toyota Motor Credit Corp., Senior Unsecured Notes, 3.083%(3-MonthUSD-LIBOR + 0.400%) due 5/17/22(a) | | | 1,693,736 | |
| | | | | | Volkswagen Group of America Finance LLC, Company Guaranteed Notes: | | | | |
| | 1,000,000 | | | BBB+ | | 2.450% due 11/20/19(b) | | | 995,183 | |
| | 500,000 | | | BBB+ | | 2.400% due 5/22/20(b) | | | 495,143 | |
| | 1,500,000 | | | BBB+ | | 3.458%(3-MonthUSD-LIBOR + 0.770%) due 11/13/20(a)(b) | | | 1,502,951 | |
| | | | | | | | | | |
| | | | | | Total Auto Manufacturers | | | 54,062,208 | |
| | | | | | | | | | |
|
| | Banks — 17.1% | |
| | 2,500,000 | | | A | | ADCB Finance Cayman Ltd., Company Guaranteed Notes, 3.000% due 3/4/19 | | | 2,501,390 | |
| | 1,400,000 | | | A- | | Aozora Bank Ltd., Senior Unsecured Notes, 2.750% due 3/9/20 | | | 1,392,135 | |
| | 300,000 | | | BBB- | | Axis Bank Ltd., Senior Unsecured Notes, 3.250% due 5/21/20 | | | 298,131 | |
| | 800,000 | | | A | | Banco Santander Chile, Senior Unsecured Notes, 3.839%(3-MonthUSD-LIBOR + 1.200%) due 11/28/21(a) | | | 805,722 | |
| | 1,600,000 | | | A- | | Bank of America Corp., Senior Unsecured Notes, 3.447%(3-MonthUSD-LIBOR + 0.650%) due 10/1/21(a) | | | 1,605,490 | |
| | | | | | Barclays PLC, Senior Unsecured Notes: | | | | |
| | 2,900,000 | | | BBB | | 2.750% due 11/8/19 | | | 2,893,637 | |
| | 1,800,000 | | | BBB | | 4.807%(3-MonthUSD-LIBOR + 2.110%) due 8/10/21(a) | | | 1,838,111 | |
| | 2,000,000 | | | A | | Chiba Bank Ltd. (The), Senior Unsecured Notes, 2.750% due 7/29/20 | | | 1,982,310 | |
| | | | | | Citigroup Inc., Senior Unsecured Notes: | | | | |
| | 100,000 | | | BBB+ | | 3.573%(3-MonthUSD-LIBOR + 0.790%) due 1/10/20(a) | | | 100,456 | |
| | 2,000,000 | | | BBB+ | | 4.075%(3-MonthUSD-LIBOR + 1.310%) due 10/26/20(a) | | | 2,030,500 | |
| | 1,200,000 | | | A+ | | Cooperatieve Rabobank UA, Senior Unsecured Notes, 3.613%(3-MonthUSD-LIBOR + 0.830%) due 1/10/22(a) | | | 1,209,703 | |
| | 2,000,000 | | | BBB+ | | Credit Suisse Group Funding Guernsey Ltd., Company Guaranteed Notes, 5.070%(3-MonthUSD-LIBOR + 2.290%) due 4/16/21(a) | | | 2,063,331 | |
| | 900,000 | | | A | | Danske Bank AS, Senior Unsecured Notes, 1.650% due 9/6/19(b) | | | 892,861 | |
| | | | | | DBS Group Holdings Ltd., Senior Unsecured Notes: | | | | |
| | 1,000,000 | | | Aa2(d) | | 3.391%(3-MonthUSD-LIBOR + 0.620%) due 7/25/22(a) | | | 1,004,065 | |
| | 3,000,000 | | | Aa2(d) | | 3.391%(3-MonthUSD-LIBOR + 0.620%) due 7/25/22(a)(b) | | | 3,012,194 | |
| | 300,000 | | | BBB- | | Discover Bank, Subordinated Notes, 8.700% due 11/18/19 | | | 311,014 | |
| | 1,000,000 | | | AA- | | DNB Bank ASA, Senior Unsecured Notes, 3.685%(3-MonthUSD-LIBOR + 1.070%) due 6/2/21(a)(c) | | | 1,011,091 | |
| | 600,000 | | | NR | | Eksportfinans ASA, Senior Unsecured Notes, 3.497%(3-MonthUSD-LIBOR + 0.800%) due 11/10/20(a)(c) | | | 600,969 | |
| | 300,000 | | | A3(d) | | Emirates NBD PJSC, Senior Unsecured Notes, 4.315%(3-MonthUSD-LIBOR + 1.550%) due 1/26/20(a) | | | 302,690 | |
| | | | | | Goldman Sachs Group Inc. (The), Senior Unsecured Notes: | | | | |
| | 1,000,000 | | | BBB+ | | 3.552%(3-MonthUSD-LIBOR + 0.730%) due 12/27/20(a) | | | 1,002,159 | |
| | 1,000,000 | | | BBB+ | | 3.875%(3-MonthUSD-LIBOR + 1.110%) due 4/26/22(a) | | | 1,006,109 | |
See Notes to Financial Statements.
242
| | | | | | | | | | |
| Ultra-Short Term Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Banks — 17.1% — (continued) | |
| $ | 2,000,000 | | | AA- | | HSBC Bank PLC, Senior Unsecured Notes, 4.125% due 8/12/20(b) | | $ | 2,029,258 | |
| | | | | | HSBC Holdings PLC, Senior Unsecured Notes: | | | | |
| | 1,500,000 | | | A | | 5.007%(3-MonthUSD-LIBOR + 2.240%) due 3/8/21(a) | | | 1,546,165 | |
| | 1,860,000 | | | A | | 4.311%(3-MonthUSD-LIBOR + 1.660%) due 5/25/21(a) | | | 1,898,912 | |
| | 200,000 | | | A | | 3.683%(3-MonthUSD-LIBOR + 1.000%) due 5/18/24(a) | | | 198,267 | |
| | | | | | ICICI Bank Ltd., Senior Unsecured Notes: | | | | |
| | 1,700,000 | | | BBB- | | 4.800% due 5/22/19 | | | 1,706,341 | |
| | 200,000 | | | BBB- | | 3.125% due 8/12/20 | | | 198,531 | |
| | 990,000 | | | A+ | | ING Bank NV, Senior Unsecured Notes, 1.650% due 8/15/19(b) | | | 985,392 | |
| | 3,900,000 | | | A- | | JPMorgan Chase & Co., Senior Unsecured Notes, 3.411%(3-MonthUSD-LIBOR + 0.610%) due 6/18/22(a) | | | 3,895,082 | |
| | 300,000 | | | BBB+ | | Kasikornbank PCL, Senior Unsecured Notes, 3.500% due 10/25/19 | | | 300,569 | |
| | | | | | Lloyds Banking Group PLC: | | | | |
| | 1,100,000 | GBP | | BB- | | Junior Subordinated Notes, 7.000%(5-Year GBP Swap Rate + 5.060%)(a)(e) | | | 1,471,398 | |
| | 400,000 | | | BBB+ | | Senior Unsecured Notes, 3.590%(3-MonthUSD-LIBOR + 0.800%) due 6/21/21(a) | | | 399,456 | |
| | 5,200,000 | | | A | | Macquarie Bank Ltd., Senior Unsecured Notes, 2.600% due 6/24/19(b) | | | 5,198,612 | |
| | 600,000 | | | BBB | | Macquarie Group Ltd., Senior Unsecured Notes, 4.172%(3-MonthUSD-LIBOR + 1.350%) due 3/27/24(a)(b) | | | 597,285 | |
| | 1,000,000 | | | A | | Mizuho Bank Ltd., Company Guaranteed Notes, 2.650% due 9/25/19(b) | | | 999,091 | |
| | | | | | Mizuho Financial Group Inc., Senior Unsecured Notes: | | | | |
| | 3,500,000 | | | A- | | 3.919%(3-MonthUSD-LIBOR + 1.140%) due 9/13/21(a) | | | 3,540,419 | |
| | 500,000 | | | A- | | 3.569%(3-MonthUSD-LIBOR + 0.940%) due 2/28/22(a) | | | 503,041 | |
| | 1,500,000 | | | A- | | 3.651%(3-MonthUSD-LIBOR + 0.880%) due 9/11/22(a) | | | 1,504,496 | |
| | 1,000,000 | | | AA- | | Nordea Bank Abp, Senior Unsecured Notes, 3.629%(3-MonthUSD-LIBOR + 0.990%) due 5/27/21(a)(c) | | | 1,010,339 | |
| | | | | | QNB Finance Ltd., Company Guaranteed Notes: | | | | |
| | 1,500,000 | | | Aa3(d) | | 4.089%(3-MonthUSD-LIBOR + 1.350%) due 2/7/20(a) | | | 1,503,777 | |
| | 1,600,000 | | | NR | | 4.147%(3-MonthUSD-LIBOR + 1.450%) due 8/11/21(a)(c) | | | 1,602,592 | |
| | | | | | Royal Bank of Scotland Group PLC, Senior Unsecured Notes: | | | | |
| | 1,395,000 | | | BBB- | | 6.400% due 10/21/19 | | | 1,421,776 | |
| | 3,700,000 | | | BBB- | | 4.154%(3-MonthUSD-LIBOR + 1.470%) due 5/15/23(a) | | | 3,638,711 | |
| | 800,000 | | | BBB | | Santander UK Group Holdings PLC, Senior Unsecured Notes, 2.875% due 10/16/20 | | | 799,106 | |
| | | | | | Santander UK PLC, Senior Unsecured Notes: | | | | |
| | 700,000 | | | A | | 2.500% due 3/14/19 | | | 699,983 | |
| | 1,000,000 | | | A | | 2.350% due 9/10/19 | | | 997,709 | |
| | 2,000,000 | | | A | | 2.375% due 3/16/20 | | | 1,989,221 | |
| | | | | | Standard Chartered PLC, Senior Unsecured Notes: | | | | |
| | 1,000,000 | | | BBB+ | | 2.400% due 9/8/19 | | | 996,767 | |
| | 2,800,000 | | | BBB+ | | 2.400% due 9/8/19(b) | | | 2,790,948 | |
| | 2,550,000 | | | BBB- | | State Bank of India, Senior Unsecured Notes, 3.745%(3-MonthUSD-LIBOR + 0.950%) due 4/6/20(a) | | | 2,553,527 | |
| | 300,000 | | | A | | Sumitomo Mitsui Banking Corp., Company Guaranteed Notes, 3.149%(3-MonthUSD-LIBOR + 0.370%) due 10/16/20(a) | | | 300,112 | |
| | | | | | Sumitomo Mitsui Financial Group Inc., Senior Unsecured Notes: | | | | |
| | 3,100,000 | | | A- | | 3.567%(3-MonthUSD-LIBOR + 0.780%) due 7/12/22(a) | | | 3,102,359 | |
| | 500,000 | | | A- | | 3.520%(3-MonthUSD-LIBOR + 0.740%) due 10/18/22(a) | | | 498,775 | |
| | | | | | Sumitomo Mitsui Trust Bank Ltd., Senior Unsecured Notes: | | | | |
| | 500,000 | | | A | | 2.050% due 3/6/19(b) | | | 499,991 | |
| | 2,310,000 | | | A | | 3.249%(3-MonthUSD-LIBOR + 0.510%) due 3/6/19(a) | | | 2,310,094 | |
| | 1,400,000 | | | A | | 3.244%(3-MonthUSD-LIBOR + 0.440%) due 9/19/19(a)(b) | | | 1,401,815 | |
| | 1,039,000 | | | A+ | | Suncorp-Metway Ltd., Senior Unsecured Notes, 2.100% due 5/3/19 | | | 1,038,040 | |
| | 1,600,000 | | | A- | | UBS Group Funding Switzerland AG, Company Guaranteed Notes, 4.577%(3-MonthUSD-LIBOR + 1.780%) due 4/14/21(a)(b) | | | 1,637,924 | |
| | 1,000,000 | | | A+ | | Wells Fargo Bank NA, Senior Unsecured Notes, 2.850% (SOFR + 0.480%) due 3/25/20(a) | | | 999,837 | |
| | | | | | | | | | |
| | | | | | Total Banks | | | 86,629,786 | |
| | | | | | | | | | |
See Notes to Financial Statements.
243
| | | | | | | | | | |
| Ultra-Short Term Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Beverages — 0.2% | |
| $ | 1,000,000 | | | BBB | | Constellation Brands Inc., Company Guaranteed Notes, 3.384%(3-MonthUSD-LIBOR + 0.700%) due 11/15/21(a) | | $ | 996,119 | |
| | | | | | | | | | |
|
| | Building Materials — 0.3% | |
| | 1,000,000 | | | BBB | | Holcim US Finance Sarl & Cie SCS, Company Guaranteed Notes, 6.000% due 12/30/19 | | | 1,021,326 | |
| | 400,000 | | | BBB | | Vulcan Materials Co., Senior Unsecured Notes, 3.388%(3-MonthUSD-LIBOR + 0.600%) due 6/15/20(a) | | | 398,960 | |
| | | | | | | | | | |
| | | | | | Total Building Materials | | | 1,420,286 | |
| | | | | | | | | | |
|
| | Chemicals — 0.5% | |
| | | | | | Incitec Pivot Finance LLC, Company Guaranteed Notes: | | | | |
| | 1,000,000 | | | BBB | | 6.000% due 12/10/19 | | | 1,019,140 | |
| | 250,000 | | | BBB | | 6.000% due 12/10/19(b) | | | 254,785 | |
| | 1,200,000 | | | BBB- | | Syngenta Finance NV, Company Guaranteed Notes, 3.698% due 4/24/20(b) | | | 1,203,224 | |
| | | | | | | | | | |
| | | | | | Total Chemicals | | | 2,477,149 | |
| | | | | | | | | | |
|
| | Commercial Services — 2.4% | |
| | | | | | Central Nippon Expressway Co., Ltd., Senior Unsecured Notes: | | | | |
| | 4,500,000 | | | A1(d) | | 2.170% due 8/5/19 | | | 4,490,955 | |
| | 3,300,000 | | | A1(d) | | 2.079% due 11/5/19 | | | 3,281,322 | |
| | 3,000,000 | | | A1(d) | | 3.425%(3-MonthUSD-LIBOR + 0.810%) due 3/3/22(a) | | | 3,008,115 | |
| | 1,150,000 | | | BBB+ | | Equifax Inc., Senior Unsecured Notes, 3.554%(3-MonthUSD-LIBOR + 0.870%) due 8/15/21(a) | | | 1,142,517 | |
| | | | | | | | | | |
| | | | | | Total Commercial Services | | | 11,922,909 | |
| | | | | | | | | | |
|
| | Computers — 1.8% | |
| | | | | | Dell International LLC/EMC Corp., Senior Secured Notes: | | | | |
| | 550,000 | | | BBB- | | 3.480% due 6/1/19 | | | 549,812 | |
| | 4,885,000 | | | BBB- | | 3.480% due 6/1/19(b) | | | 4,883,335 | |
| | 3,500,000 | | | BBB | | Hewlett Packard Enterprise Co., Senior Unsecured Notes, 2.100% due 10/4/19(b) | | | 3,480,341 | |
| | | | | | | | | | |
| | | | | | Total Computers | | | 8,913,488 | |
| | | | | | | | | | |
|
| | Diversified Financial Services — 6.1% | |
| | | | | | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Company Guaranteed Notes: | | | | |
| | 2,300,000 | | | BBB- | | 3.750% due 5/15/19 | | | 2,305,887 | |
| | 600,000 | | | BBB- | | 4.625% due 10/30/20 | | | 610,065 | |
| | 300,000 | | | BBB- | | 5.000% due 10/1/21 | | | 308,433 | |
| | 400,000 | | | BBB- | | 4.625% due 7/1/22 | | | 405,822 | |
| | | | | | Air Lease Corp., Senior Unsecured Notes: | | | | |
| | 300,000 | | | BBB | | 2.125% due 1/15/20 | | | 297,537 | |
| | 1,400,000 | | | BBB | | 3.500% due 1/15/22 | | | 1,394,548 | |
| | | | | | Aircastle Ltd., Senior Unsecured Notes: | | | | |
| | 400,000 | | | BBB- | | 6.250% due 12/1/19 | | | 408,034 | |
| | 457,000 | | | BBB- | | 7.625% due 4/15/20 | | | 476,509 | |
| | 500,000 | | | BB+ | | Ally Financial Inc., Senior Unsecured Notes, 3.750% due 11/18/19 | | | 502,750 | |
| | | | | | BOC Aviation Ltd., Senior Unsecured Notes: | | | | |
| | 700,000 | | | A- | | 3.000% due 3/30/20 | | | 697,318 | |
| | 1,000,000 | | | A- | | 3.788%(3-MonthUSD-LIBOR + 1.050%) due 5/2/21(a) | | | 1,007,300 | |
| | 1,000,000 | | | A- | | 3.788%(3-MonthUSD-LIBOR + 1.050%) due 5/2/21(a)(b) | | | 1,007,300 | |
| | 1,000,000 | | | A- | | 3.000% due 5/23/22 | | | 979,094 | |
| | 500,000 | | | A- | | 2.750% due 9/18/22 | | | 484,462 | |
| | 200,000 | | | A- | | 2.750% due 9/18/22(b) | | | 193,785 | |
| | 500,000 | | | BBB- | | Cantor Fitzgerald LP, Unsecured Notes, 7.875% due 10/15/19(b) | | | 513,361 | |
| | | | | | International Lease Finance Corp., Senior Unsecured Notes: | | | | |
| | 1,000,000 | | | BBB- | | 5.875% due 4/1/19 | | | 1,001,581 | |
| | 600,000 | | | BBB- | | 6.250% due 5/15/19 | | | 603,788 | |
| | 700,000 | | | BBB- | | 8.250% due 12/15/20 | | | 755,875 | |
See Notes to Financial Statements.
244
| | | | | | | | | | |
| Ultra-Short Term Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Diversified Financial Services — 6.1% — (continued) | |
| | | | | | Mitsubishi UFJ Lease & Finance Co., Ltd., Senior Unsecured Notes: | | | | |
| $ | 2,200,000 | | | A- | | 2.500% due 3/9/20 | | $ | 2,185,458 | |
| | 500,000 | | | A- | | 2.652% due 9/19/22(b) | | | 487,396 | |
| | 2,500,000 | | | BBB | | Nasdaq Inc., Senior Unsecured Notes, 3.214%(3-MonthUSD-LIBOR + 0.390%) due 3/22/19(a) | | | 2,500,624 | |
| | | | | | Navient Corp., Senior Unsecured Notes: | | | | |
| | 828,000 | | | B+ | | 4.875% due 6/17/19 | | | 828,518 | |
| | 600,000 | | | B+ | | 8.000% due 3/25/20 | | | 628,098 | |
| | 2,400,000 | | | A- | | Nomura Holdings Inc., Senior Unsecured Notes, 2.750% due 3/19/19 | | | 2,400,244 | |
| | | | | | ORIX Corp., Senior Unsecured Notes: | | | | |
| | 3,300,000 | | | A- | | 2.650% due 4/13/21 | | | 3,249,203 | |
| | 200,000 | | | A- | | 3.200% due 1/19/22 | | | 199,203 | |
| | 400,000 | | | A- | | 2.900% due 7/18/22 | | | 394,949 | |
| | 4,300,000 | | | BBB- | | Synchrony Financial, Senior Unsecured Notes, 3.000% due 8/15/19 | | | 4,298,133 | |
| | | | | | | | | | |
| | | | | | Total Diversified Financial Services | | | 31,125,275 | |
| | | | | | | | | | |
|
| | Electric — 3.5% | |
| | 700,000 | | | A3(d) | | Chugoku Electric Power Co., Inc. (The), Senior Secured Notes, 2.701% due 3/16/20 | | | 694,744 | |
| | 1,000,000 | | | A+ | | CLP Power Hong Kong Financing Ltd., Company Guaranteed Notes, 4.750% due 3/19/20 | | | 1,016,365 | |
| | 1,600,000 | | | BBB+ | | Duke Energy Corp., Senior Unsecured Notes, 3.193%(3-MonthUSD-LIBOR + 0.500%) due 5/14/21(a)(b)(c) | | | 1,601,229 | |
| | 1,500,000 | | | A- | | Duke Energy Kentucky Inc., Senior Unsecured Notes, 4.650% due 10/1/19(b) | | | 1,513,266 | |
| | 1,000,000 | | | BBB | | Emera US Finance LP, Company Guaranteed Notes, 2.150% due 6/15/19 | | | 996,738 | |
| | | | | | Exelon Generation Co. LLC, Senior Unsecured Notes: | | | | |
| | 700,000 | | | BBB | | 2.950% due 1/15/20 | | | 699,294 | |
| | 300,000 | | | BBB | | 4.000% due 10/1/20 | | | 302,723 | |
| | 2,700,000 | | | A- | | Mississippi Power Co., Senior Unsecured Notes, 3.472%(3-MonthUSD-LIBOR + 0.650%) due 3/27/20(a) | | | 2,699,453 | |
| | | | | | NextEra Energy Capital Holdings Inc., Company Guaranteed Notes: | | | | |
| | 1,800,000 | | | BBB+ | | 3.029%(3-MonthUSD-LIBOR + 0.400%) due 8/21/20(a) | | | 1,795,457 | |
| | 1,300,000 | | | BBB+ | | 3.352%(3-MonthUSD-LIBOR + 0.720%) due 2/25/22(a) | | | 1,300,550 | |
| | 1,700,000 | | | BBB+ | | Sempra Energy, Senior Unsecured Notes, 3.238%(3-MonthUSD-LIBOR + 0.450%) due 3/15/21(a) | | | 1,679,164 | |
| | 1,500,000 | | | BBB+ | | Southern Power Co., Senior Unsecured Notes, 3.342%(3-MonthUSD-LIBOR + 0.550%) due 12/20/20(a)(b) | | | 1,492,149 | |
| | 2,000,000 | | | A+ | | State Grid Overseas Investment 2014 Ltd., Company Guaranteed Notes, 2.750% due 5/7/19 | | | 1,999,812 | |
| | | | | | | | | | |
| | | | | | Total Electric | | | 17,790,944 | |
| | | | | | | | | | |
|
| | Electronics — 0.1% | |
| | 300,000 | | | BBB- | | Arrow Electronics Inc., Senior Unsecured Notes, 3.500% due 4/1/22 | | | 296,311 | |
| | | | | | | | | | |
|
| | Food — 1.2% | |
| | 400,000 | | | BBB- | | Campbell Soup Co., Senior Unsecured Notes, 3.418%(3-MonthUSD-LIBOR + 0.630%) due 3/15/21(a) | | | 396,285 | |
| | 652,000 | | | BBB | | General Mills Inc., Senior Unsecured Notes, 3.319%(3-MonthUSD-LIBOR + 0.540%) due 4/16/21(a) | | | 648,512 | |
| | 1,500,000 | | | BBB | | Kraft Heinz Foods Co., Company Guaranteed Notes, 3.267%(3-MonthUSD-LIBOR + 0.570%) due 2/10/21(a) | | | 1,488,194 | |
| | 1,000,000 | | | BBB | | Mondelez International Holdings Netherlands BV, Company Guaranteed Notes, 3.375%(3-MonthUSD-LIBOR + 0.610%) due 10/28/19(a)(b) | | | 1,002,414 | |
| | 2,800,000 | | | BBB | | Tyson Foods Inc., Senior Unsecured Notes, 3.079%(3-MonthUSD-LIBOR + 0.450%) due 5/30/19(a) | | | 2,800,050 | |
| | | | | | | | | | |
| | | | | | Total Food | | | 6,335,455 | |
| | | | | | | | | | |
See Notes to Financial Statements.
245
| | | | | | | | | | | | |
| Ultra-Short Term Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | | Security | | Value | |
|
| | Gas — 0.3% | |
| $ | 1,000,000 | | | | BBB+ | | | Dominion Energy Gas Holdings LLC, Senior Unsecured Notes, 2.500% due 12/15/19 | | $ | 997,183 | |
| | 500,000 | | | | BB+ | | | WGL Holdings Inc., Senior Unsecured Notes, 3.326%(3-MonthUSD-LIBOR + 0.550%) due 3/12/20(a) | | | 497,304 | |
| | | | | | | | | | | | |
| | | | | | | | Total Gas | | | 1,494,487 | |
| | | | | | | | | | | | |
|
| | Healthcare — Products — 0.4% | |
| | 1,400,000 | | | | BBB | | | Becton Dickinson & Co., Senior Unsecured Notes, 2.675% due 12/15/19 | | | 1,394,862 | |
| | 900,000 | | | | BBB | | | Zimmer Biomet Holdings Inc., Senior Unsecured Notes, 3.554%(3-MonthUSD-LIBOR + 0.750%) due 3/19/21(a) | | | 896,483 | |
| | | | | | | | | | | | |
| | | | | | | | Total Healthcare — Products | | | 2,291,345 | |
| | | | | | | | | | | | |
|
| | Healthcare — Services — 1.2% | |
| | 1,200,000 | | | | A- | | | Cigna Holding Co., Company Guaranteed Notes, 5.125% due 6/15/20 | | | 1,229,931 | |
| | 1,455,000 | | | | BBB- | | | Fresenius Medical Care US Finance II Inc., Company Guaranteed Notes, 5.625% due 7/31/19(b) | | | 1,467,171 | |
| | 3,330,000 | | | | BBB- | | | HCA Inc., Senior Secured Notes, 6.500% due 2/15/20 | | | 3,430,421 | |
| | | | | | | | | | | | |
| | | | | | | | Total Healthcare — Services | | | 6,127,523 | |
| | | | | | | | | | | | |
|
| | Holding Companies — Diversified — 0.6% | |
| | | | | | | | Hutchison Whampoa International 09 Ltd., Company Guaranteed Notes: | | | | |
| | 850,000 | | | | A | | | 7.625% due 4/9/19 | | | 854,501 | |
| | 300,000 | | | | A | | | 7.625% due 4/9/19(b) | | | 301,588 | |
| | 1,322,000 | | | | A | | | Hutchison Whampoa International 09/19 Ltd., Company Guaranteed Notes, 5.750% due 9/11/19 | | | 1,341,308 | |
| | 500,000 | | | | A | | | Hutchison Whampoa International 11 Ltd., Company Guaranteed Notes, 4.625% due 1/13/22 | | | 517,409 | |
| | | | | | | | | | | | |
| | | | | | | | Total Holding Companies — Diversified | | | 3,014,806 | |
| | | | | | | | | | | | |
|
| | Home Builders — 0.3% | |
| | 1,500,000 | | | | BBB | | | DR Horton Inc., Company Guaranteed Notes, 3.750% due 3/1/19 | | | 1,500,000 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
|
| | Household Products/Wares — 0.3% | |
| | 1,500,000 | | | | A- | | | Reckitt Benckiser Treasury Services PLC, Company Guaranteed Notes, 3.384%(3-MonthUSD-LIBOR + 0.560%) due 6/24/22(a)(b) | | | 1,485,801 | |
| | | | | | | | | | | | |
|
| | Insurance — 1.3% | |
| | 500,000 | | | | BBB+ | | | American International Group Inc., Senior Unsecured Notes, 3.300% due 3/1/21 | | | 500,912 | |
| | 1,100,000 | | | | BBB | | | Assurant Inc., Senior Unsecured Notes, 4.072%(3-MonthUSD-LIBOR + 1.250%) due 3/26/21(a) | | | 1,099,492 | |
| | | | | | | | Athene Global Funding, Secured Notes: | | | | |
| | 1,500,000 | | | | A | | | 2.750% due 4/20/20(b) | | | 1,491,993 | |
| | 1,000,000 | | | | A | | | 3.000% due 7/1/22(b) | | | 986,351 | |
| | 2,500,000 | | | | A | | | 4.038%(3-MonthUSD-LIBOR + 1.230%) due 7/1/22(a)(b) | | | 2,516,490 | |
| | | | | | | | | | | | |
| | | | | | | | Total Insurance | | | 6,595,238 | |
| | | | | | | | | | | | |
|
| | Lodging — 0.0% | |
| | 250,000 | | | | BB- | | | MGM Resorts International, Company Guaranteed Notes, 6.750% due 10/1/20 | | | 261,250 | |
| | | | | | | | | | | | |
|
| | Machinery — Diversified — 0.7% | |
| | | | | | | | CNH Industrial Capital LLC, Company Guaranteed Notes: | | | | |
| | 2,200,000 | | | | BBB | | | 3.375% due 7/15/19 | | | 2,202,352 | |
| | 400,000 | | | | BBB | | | 3.875% due 10/15/21 | | | 401,800 | |
| | 1,200,000 | | | | BBB | | | Wabtec Corp., Company Guaranteed Notes, 3.838%(3-MonthUSD-LIBOR + 1.050%) due 9/15/21(a) | | | 1,196,463 | |
| | | | | | | | | | | | |
| | | | | | | | Total Machinery — Diversified | | | 3,800,615 | |
| | | | | | | | | | | | |
See Notes to Financial Statements.
246
| | | | | | | | | | |
| Ultra-Short Term Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Media — 1.9% | |
| $ | 1,200,000 | | | BBB+ | | 21st Century Fox America Inc., Company Guaranteed Notes, 6.900% due 3/1/19 | | $ | 1,200,000 | |
| | | | | | Charter Communications Operating LLC/Charter Communications Operating Capital, Senior Secured Notes: | | | | |
| | 1,400,000 | | | BBB- | | 3.579% due 7/23/20 | | | 1,406,854 | |
| | 1,000,000 | | | BBB- | | 4.464% due 7/23/22 | | | 1,026,422 | |
| | 500,000 | | | A- | | Comcast Corp., Company Guaranteed Notes, 3.237%(3-MonthUSD-LIBOR + 0.440%) due 10/1/21(a) | | | 500,294 | |
| | 2,000,000 | | | BBB- | | Discovery Communications LLC, Company Guaranteed Notes, 2.750% due 11/15/19(b) | | | 1,994,379 | |
| | 1,000,000 | | | A- | | NBCUniversal Enterprise Inc., Company Guaranteed Notes, 3.197%(3-MonthUSD-LIBOR + 0.400%) due 4/1/21(a)(b) | | | 1,000,733 | |
| | | | | | Time Warner Cable LLC, Senior Secured Notes: | | | | |
| | 2,100,000 | | | BBB- | | 8.250% due 4/1/19 | | | 2,108,512 | |
| | 500,000 | | | BBB- | | 5.000% due 2/1/20 | | | 507,707 | |
| | | | | | | | | | |
| | | | | | Total Media | | | 9,744,901 | |
| | | | | | | | | | |
|
| | Mining — 0.3% | |
| | 1,200,000 | | | A | | Minera y Metalurgica del Boleo SAPI de CV, Company Guaranteed Notes, 2.875% due 5/7/19 | | | 1,199,205 | |
| | 300,000 | | | Baa1(d) | | Minmetals Bounteous Finance BVI Ltd., Company Guaranteed Notes, 3.500% due 7/30/20 | | | 299,650 | |
| | | | | | | | | | |
| | | | | | Total Mining | | | 1,498,855 | |
| | | | | | | | | | |
|
| | Miscellaneous Manufacturers — 1.1% | |
| | | | | | General Electric Co., Senior Unsecured Notes: | | | | |
| | 3,800,000 | | | BBB+ | | 6.000% due 8/7/19 | | | 3,844,859 | |
| | 1,200,000 | | | BBB+ | | 3.223%(3-MonthUSD-LIBOR + 0.410%) due 3/28/20(a) | | | 1,200,267 | |
| | 700,000 | | | BBB | | Textron Inc., Senior Unsecured Notes, 3.247%(3-MonthUSD-LIBOR + 0.550%) due 11/10/20(a) | | | 697,055 | |
| | | | | | | | | | |
| | | | | | Total Miscellaneous Manufacturers | | | 5,742,181 | |
| | | | | | | | | | |
|
| | Office/Business Equipment — 0.1% | |
| | 500,000 | | | BB+ | | Xerox Corp., Senior Unsecured Notes, 2.750% due 3/15/19 | | | 499,775 | |
| | | | | | | | | | |
|
| | Oil & Gas — 4.6% | |
| | 1,300,000 | | | A- | | BP Capital Markets America Inc., Company Guaranteed Notes, 3.454%(3-MonthUSD-LIBOR + 0.650%) due 9/19/22(a) | | | 1,295,046 | |
| | 2,800,000 | | | A+ | | CNOOC Finance 2015 Australia Pty Ltd., Company Guaranteed Notes, 2.625% due 5/5/20 | | | 2,782,217 | |
| | 1,100,000 | | | A | | CNPC General Capital Ltd., Company Guaranteed Notes, 2.750% due 5/14/19 | �� | | 1,100,055 | |
| | 600,000 | | | BBB- | | Encana Corp., Senior Unsecured Notes, 6.500% due 5/15/19 | | | 603,933 | |
| | | | | | EQT Corp., Senior Unsecured Notes: | | | | |
| | 2,200,000 | | | BBB- | | 8.125% due 6/1/19 | | | 2,228,100 | |
| | 1,500,000 | | | BBB- | | 3.567%(3-MonthUSD-LIBOR + 0.770%) due 10/1/20(a) | | | 1,486,415 | |
| | 1,300,000 | | | BBB+ | | Petroleos Mexicanos, Company Guaranteed Notes, 8.000% due 5/3/19 | | | 1,313,000 | |
| | | | | | Petronas Capital Ltd., Company Guaranteed Notes: | | | | |
| | 3,000,000 | | | A- | | 5.250% due 8/12/19 | | | 3,033,342 | |
| | 750,000 | | | A- | | 5.250% due 8/12/19(b) | | | 758,336 | |
| | 2,000,000 | | | BBB+ | | Phillips 66, Company Guaranteed Notes, 3.537%(3-MonthUSD-LIBOR + 0.750%) due 4/15/20(a)(b) | | | 2,001,019 | |
| | 1,000,000 | | | A | | Ras Laffan Liquefied Natural Gas Co., Ltd. III, Senior Secured Notes, 6.750% due 9/30/19 | | | 1,020,575 | |
| | | | | | Sinopec Group Overseas Development 2014 Ltd., Company Guaranteed Notes: | | | | |
| | 500,000 | | | A+ | | 2.750% due 4/10/19(b) | | | 499,785 | |
| | 1,200,000 | | | A+ | | 3.703%(3-MonthUSD-LIBOR + 0.920%) due 4/10/19(a) | | | 1,200,583 | |
| | 2,250,000 | | | A+ | | Sinopec Group Overseas Development 2015 Ltd., Company Guaranteed Notes, 2.500% due 4/28/20 | | | 2,233,287 | |
| | 1,500,000 | | | A+ | | Sinopec Group Overseas Development 2016 Ltd., Company Guaranteed Notes, 2.125% due 5/3/19 | | | 1,497,675 | |
| | | | | | | | | | |
| | | | | | Total Oil & Gas | | | 23,053,368 | |
| | | | | | | | | | |
See Notes to Financial Statements.
247
| | | | | | | | | | |
| Ultra-Short Term Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Pharmaceuticals — 3.3% | |
| | | | | | Allergan Funding SCS, Company Guaranteed Notes: | | | | |
| $ | 500,000 | | | BBB | | 3.000% due 3/12/20 | | $ | 499,862 | |
| | 1,500,000 | | | BBB | | 4.031%(3-MonthUSD-LIBOR + 1.255%) due 3/12/20(a) | | | 1,511,307 | |
| | 600,000 | | | BBB | | Bayer US Finance II LLC, Company Guaranteed Notes, 3.452%(3-MonthUSD-LIBOR + 0.630%) due 6/25/21(a)(b) | | | 595,833 | |
| | 3,000,000 | | | BBB | | Bayer US Finance LLC, Company Guaranteed Notes, 2.375% due 10/8/19(b) | | | 2,987,031 | |
| | 1,000,000 | | | BBB+ | | Cardinal Health Inc., Senior Unsecured Notes, 3.558%(3-MonthUSD-LIBOR + 0.770%) due 6/15/22(a) | | | 988,168 | |
| | 400,000 | | | A- | | Cigna Corp., Company Guaranteed Notes, 3.438%(3-MonthUSD-LIBOR + 0.650%) due 9/17/21(a)(b) | | | 398,270 | |
| | 1,400,000 | | | BBB | | CVS Health Corp., Senior Unsecured Notes, 3.487%(3-MonthUSD-LIBOR + 0.720%) due 3/9/21(a) | | | 1,402,697 | |
| | | | | | Mylan NV, Company Guaranteed Notes: | | | | |
| | 1,500,000 | | | BBB- | | 2.500% due 6/7/19 | | | 1,498,036 | |
| | 200,000 | | | BBB- | | 3.750% due 12/15/20 | | | 201,046 | |
| | 200,000 | | | BBB- | | 3.150% due 6/15/21 | | | 197,879 | |
| | 5,900,000 | | | BBB+ | | Shire Acquisitions Investments Ireland DAC, Company Guaranteed Notes, 1.900% due 9/23/19 | | | 5,859,210 | |
| | 500,000 | | | BB | | Teva Pharmaceutical Finance Netherlands III BV, Company Guaranteed Notes, 1.700% due 7/19/19 | | | 498,224 | |
| | | | | | | | | | |
| | | | | | Total Pharmaceuticals | | | 16,637,563 | |
| | | | | | | | | | |
|
| | Pipelines — 1.6% | |
| | 1,000,000 | | | BBB- | | Andeavor Logistics LP/Tesoro Logistics Finance Corp., Company Guaranteed Notes, 5.500% due 10/15/19 | | | 1,011,763 | |
| | 1,600,000 | | | BBB+ | | Enbridge Inc., Senior Unsecured Notes, 3.183%(3-MonthUSD-LIBOR + 0.400%) due 1/10/20(a) | | | 1,597,570 | |
| | | | | | Energy Transfer Operating LP, Company Guaranteed Notes: | | | | |
| | 1,000,000 | | | BBB- | | 9.700% due 3/15/19 | | | 1,001,977 | |
| | 500,000 | | | BBB- | | 9.000% due 4/15/19 | | | 503,285 | |
| | 1,100,000 | | | BBB+ | | Florida Gas Transmission Co. LLC, Senior Unsecured Notes, 7.900% due 5/15/19(b) | | | 1,110,442 | |
| | | | | | Plains All American Pipeline LP/PAA Finance Corp., Senior Unsecured Notes: | | | | |
| | 700,000 | | | BBB- | | 2.600% due 12/15/19 | | | 696,995 | |
| | 500,000 | | | BBB- | | 5.750% due 1/15/20 | | | 510,435 | |
| | 900,000 | | | BBB- | | Rockies Express Pipeline LLC, Senior Unsecured Notes, 5.625% due 4/15/20(b) | | | 922,500 | |
| | 300,000 | | | BBB- | | Sabine Pass Liquefaction LLC, Senior Secured Notes, 5.625% due 2/1/21 | | | 310,412 | |
| | 200,000 | | | BBB+ | | Spectra Energy Partners LP, Company Guaranteed Notes, 3.451%(3-MonthUSD-LIBOR + 0.700%) due 6/5/20(a) | | | 198,974 | |
| | | | | | | | | | |
| | | | | | Total Pipelines | | | 7,864,353 | |
| | | | | | | | | | |
|
| | Real Estate — 0.4% | |
| | 1,200,000 | | | AA- | | Qatari Diar Finance Co., Government Guaranteed Notes, 5.000% due 7/21/20 | | | 1,230,107 | |
| | 1,000,000 | | | A- | | Sinochem Overseas Capital Co., Ltd., Company Guaranteed Notes, 4.500% due 11/12/20 | | | 1,015,900 | |
| | | | | | | | | | |
| | | | | | Total Real Estate | | | 2,246,007 | |
| | | | | | | | | | |
|
| | Retail — 1.4% | |
| | 3,000,000 | | | BBB | | Alimentation Couche-Tard Inc., Company Guaranteed Notes, 3.279%(3-MonthUSD-LIBOR + 0.500%) due 12/13/19(a)(b) | | | 2,999,771 | |
| | 300,000 | | | BBB- | | AutoNation Inc., Company Guaranteed Notes, 5.500% due 2/1/20 | | | 306,654 | |
| | 500,000 | | | BBB+ | | McDonald’s Corp., Senior Unsecured Notes, 3.195%(3-MonthUSD-LIBOR + 0.430%) due 10/28/21(a) | | | 499,149 | |
| | 3,100,000 | | | BBB- | | QVC Inc., Senior Secured Notes, 3.125% due 4/1/19 | | | 3,098,223 | |
| | | | | | | | | | |
| | | | | | Total Retail | | | 6,903,797 | |
| | | | | | | | | | |
See Notes to Financial Statements.
248
| | | | | | | | | | |
| Ultra-Short Term Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Semiconductors — 1.6% | |
| | | | | | Broadcom Corp./Broadcom Cayman Finance Ltd., Company Guaranteed Notes: | | | | |
| $ | 4,600,000 | | | BBB- | | 2.375% due 1/15/20 | | $ | 4,569,076 | |
| | 500,000 | | | BBB- | | 3.000% due 1/15/22 | | | 491,337 | |
| | | | | | NXP BV/NXP Funding LLC, Company Guaranteed Notes | | | | |
| | 820,000 | | | BBB- | | 4.125% due 6/15/20(b) | | | 828,036 | |
| | 600,000 | | | BBB- | | 4.625% due 6/15/22(b) | | | 613,500 | |
| | 1,550,000 | | | A- | | QUALCOMM Inc., Senior Unsecured Notes, 3.481%(3-MonthUSD-LIBOR + 0.730%) due 1/30/23(a) | | | 1,535,973 | |
| | | | | | | | | | |
| | | | | | Total Semiconductors | | | 8,037,922 | |
| | | | | | | | | | |
|
| | Telecommunications — 2.8% | |
| | | | | | AT&T Inc., Senior Unsecured Notes: | | | | |
| | 100,000 | | | BBB | | 3.733%(3-MonthUSD-LIBOR + 0.930%) due 6/30/20(a) | | | 100,832 | |
| | 500,000 | | | BBB | | 3.376%(3-MonthUSD-LIBOR + 0.750%) due 6/1/21(a) | | | 501,756 | |
| | 1,200,000 | | | BBB | | 3.737%(3-MonthUSD-LIBOR + 0.950%) due 7/15/21(a) | | | 1,209,778 | |
| | | | | | Deutsche Telekom International Finance BV, Company Guaranteed Notes: | | | | |
| | 700,000 | | | BBB+ | | 6.000% due 7/8/19 | | | 707,693 | |
| | 2,600,000 | | | BBB+ | | 3.254%(3-MonthUSD-LIBOR + 0.450%) due 9/19/19(a)(b) | | | 2,605,165 | |
| | 500,000 | | | A- | | KT Corp., Senior Unsecured Notes, 2.625% due 4/22/19(b) | | | 499,876 | |
| | 200,000 | | | A- | | Ooredoo International Finance Ltd., Company Guaranteed Notes, 7.875% due 6/10/19 | | | 202,783 | |
| | 1,035,000 | | | BBB+ | | Orange SA, Senior Unsecured Notes, 5.375% due 7/8/19 | | | 1,043,841 | |
| | 800,000 | | | BBB- | | SES GLOBAL Americas Holdings GP, Company Guaranteed Notes, 2.500% due 3/25/19(b) | | | 799,849 | |
| | 500,000 | | | B | | Sprint Capital Corp., Company Guaranteed Notes, 6.900% due 5/1/19 | | | 503,125 | |
| | 1,500,000 | | | BBB | | Telefonica Emisiones SA, Company Guaranteed Notes, 5.877% due 7/15/19 | | | 1,516,679 | |
| | | | | | Verizon Communications Inc., Senior Unsecured Notes: | | | | |
| | 700,000 | | | BBB+ | | 3.788%(3-MonthUSD-LIBOR + 1.000%) due 3/16/22(a) | | | 708,462 | |
| | 1,800,000 | | | BBB+ | | 3.784%(3-MonthUSD-LIBOR + 1.100%) due 5/15/25(a) | | | 1,795,683 | |
| | 1,900,000 | | | BBB+ | | Vodafone Group PLC, Senior Unsecured Notes, 3.769%(3-MonthUSD-LIBOR + 0.990%) due 1/16/24(a) | | | 1,881,637 | |
| | | | | | | | | | |
| | | | | | Total Telecommunications | | | 14,077,159 | |
| | | | | | | | | | |
|
| | Transportation — 0.1% | |
| | 400,000 | | | BBB- | | Pacific National Finance Pty Ltd., Company Guaranteed Notes, 4.625% due 9/23/20(b)(c) | | | 404,998 | |
| | | | | | | | | | |
|
| | Trucking & Leasing — 1.4% | |
| | 1,800,000 | | | A- | | Aviation Capital Group LLC, Senior Unsecured Notes, 3.421%(3-MonthUSD-LIBOR + 0.670%) due 7/30/21(a)(b) | | | 1,787,983 | |
| | 100,000 | | | BB+ | | DAE Funding LLC, Company Guaranteed Notes, 4.000% due 8/1/20(b) | | | 99,375 | |
| | 800,000 | | | BBB | | GATX Corp., Senior Unsecured Notes, 3.453%(3-MonthUSD-LIBOR + 0.720%) due 11/5/21(a) | | | 795,842 | |
| | 2,400,000 | | | AA- | | NTT Finance Corp., Senior Unsecured Notes, 3.343%(3-MonthUSD-LIBOR + 0.530%) due 6/29/20(a) | | | 2,405,544 | |
| | | | | | Penske Truck Leasing Co. LP/PTL Finance Corp., Senior Unsecured Notes: | | | | |
| | 1,770,000 | | | BBB | | 2.500% due 6/15/19(b) | | | 1,767,043 | |
| | 200,000 | | | BBB | | 3.200% due 7/15/20(b) | | | 199,904 | |
| | | | | | | | | | |
| | | | | | Total Trucking & Leasing | | | 7,055,691 | |
| | | | | | | | | | |
| | | | | | TOTAL CORPORATE BONDS & NOTES
(Cost — $364,950,370) | | | 364,820,414 | |
| | | | | | | | | | |
|
| | COLLATERALIZED MORTGAGE OBLIGATIONS — 13.8% | |
| | 657,885 | | | BB- | | ACE Securities Corp. Home Equity Loan Trust, Series2004-OP1, Class M1, 3.270%(1-MonthUSD-LIBOR + 0.780%) due 4/25/34(a) | | | 647,166 | |
| | 242,672 | | | AAA | | Apidos CLO XVI, Series2013-16A, Class A1R, 3.741%(3-MonthUSD-LIBOR + 0.980%) due 1/19/25(a)(b) | | | 242,733 | |
| | 700,000 | | | AAA | | Atrium Hotel Portfolio Trust, Series 2018-ATRM, Class A, 3.439%(1-MonthUSD-LIBOR + 0.950%) due 6/15/35(a)(b) | | | 697,285 | |
See Notes to Financial Statements.
249
| | | | | | | | | | |
| Ultra-Short Term Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | COLLATERALIZED MORTGAGE OBLIGATIONS — 13.8% — (continued) | |
| $ | 825,503 | | | AAA | | B&M CLO Ltd., Series2014-1A, Class A1R, 3.509%(3-MonthUSD-LIBOR + 0.730%) due 4/16/26(a)(b) | | $ | 822,614 | |
| | 948,115 | | | Aaa(d) | | Bancorp Commercial Mortgage Trust, Series 2018-CRE4, Class A, 3.389%(1-MonthUSD-LIBOR + 0.900%) due 9/15/35(a)(b) | | | 948,008 | |
| | 31,571 | | | NR | | Bayview Opportunity Master Fund IIIa Trust, Series2017-RN8, Class A1, step bond to yield, 3.352% due 11/28/32(b) | | | 31,585 | |
| | 288,673 | | | NR | | Bayview Opportunity Master Fund IVa Trust, Series 2018-SBR3, Class A1, step bond to yield, 4.090% due 5/28/33(b) | | | 289,086 | |
| | 552,623 | | | AA+ | | Bear StearnsALT-A Trust, Series2004-10, Class 2A1, 3.150%(1-MonthUSD-LIBOR + 0.660%) due 9/25/34(a) | | | 543,248 | |
| | 929,508 | | | BBB- | | Bear Stearns Asset Backed Securities I Trust, Series2005-CL1, Class A2, 2.350%(1-MonthUSD-LIBOR + 0.500%) due 9/25/34(a) | | | 906,727 | |
| | 746,825 | | | AAA | | Cent CLO 19 Ltd., Series2013-19A, Class A1A, 4.082%(3-MonthUSD-LIBOR + 1.330%) due 10/29/25(a)(b) | | | 747,330 | |
| | 1,000,000 | | | AAA | | Citigroup Commercial Mortgage Trust, Series 2017-1500, Class A, 3.339%(1-MonthUSD-LIBOR + 0.850%) due 7/15/32(a)(b) | | | 1,001,109 | |
| | 169,256 | | | NR | | Civic Mortgage LLC, Series2018-1, Class A1, step bond to yield, 3.892% due 6/25/22(b) | | | 168,994 | |
| | 400,000 | | | AAA | | Cold Storage Trust, Series 2017-ICE3, Class A, 3.489%(1-MonthUSD-LIBOR + 1.000%) due 4/15/36(a)(b) | | | 399,516 | |
| | 386,371 | | | Aaa(d) | | COMM Mortgage Trust, Series2013-CR6, Class A3FL, 3.134%(1-MonthUSD-LIBOR + 0.630%) due 3/10/46(a)(b) | | | 385,734 | |
| | 167,868 | | | NR | | Credit Suisse Commercial Mortgage Capital Trust, Series2017-1, Class A, 4.500% due 3/25/21(b) | | | 168,679 | |
| | 740,515 | | | B+ | | CWABS Inc. Asset-Backed Certificates Trust, Series2004-5, Class M1, 3.345%(1-MonthUSD-LIBOR + 0.855%) due 8/25/34(a) | | | 724,194 | |
| | 500,000 | | | AAA | | Dorchester Park CLO DAC, Series2015-1A, Class AR, 3.661%(3-MonthUSD-LIBOR + 0.900%) due 4/20/28(a)(b) | | | 497,110 | |
| | | | | | Federal Home Loan Mortgage Corp. (FHLMC), REMICS: | | | | |
| | 1,914,558 | | | NR | | Series 4344, Class FA, 2.970%(1-MonthUSD-LIBOR + 0.450%) due 12/15/37(a) | | | 1,916,405 | |
| | 2,522,697 | | | NR | | Series 4351, Class FA, 2.970%(1-MonthUSD-LIBOR + 0.450%) due 5/15/38(a) | | | 2,502,312 | |
| | | | | | Federal National Mortgage Association (FNMA), REMICS: | | | | |
| | 1,200,768 | | | NR | | Series2011-86, Class KF, 3.040%(1-MonthUSD-LIBOR + 0.550%) due 9/25/41(a) | | | 1,207,674 | |
| | 2,414,939 | | | NR | | Series2017-108, Class AF, 2.790%(1-MonthUSD-LIBOR + 0.300%) due 1/25/48(a) | | | 2,403,242 | |
| | 500,000 | | | AAA | | Figueroa CLO Ltd., Series2013-2A, Class A1RR, 3.642%(3-MonthUSD-LIBOR + 0.850%) due 6/20/27(a)(b) | | | 496,922 | |
| | 131,914 | | | AAA | | FNBA Mortgage Loan Trust, Series2004-AR1, Class A2, 2.880%(1-MonthUSD-LIBOR + 0.400%) due 8/19/34(a) | | | 131,181 | |
| | 1,200,000 | | | AAA | | Ford Credit Floorplan Master Owner Trust A, Series2018-3, Class A2, 2.889%(1-MonthUSD-LIBOR + 0.400%) due 10/15/23(a) | | | 1,200,403 | |
| | 500,000 | | | B | | Fremont Home Loan Trust, Series2005-A, Class M3, 3.225%(1-MonthUSD-LIBOR + 0.735%) due 1/25/35(a) | | | 493,202 | |
| | | | | | GMF Floorplan Owner Revolving Trust: | | | | |
| | 500,000 | | | AAA | | Series2018-3, Class A, 2.809%(1-MonthUSD-LIBOR + 0.320%) due 9/15/22(a)(b) | | | 500,256 | |
| | 2,400,000 | | | AAA | | Series2018-4, Class A1, 3.500% due 9/15/23(b) | | | 2,430,377 | |
| | 938,499 | | | Aaa(d) | | Gosforth Funding PLC, Series2017-1A, Class A1A, 3.274%(3-MonthUSD-LIBOR + 0.470%) due 12/19/59(a)(b) | | | 937,539 | |
| | | | | | Government National Mortgage Association (GNMA): | | | | |
| | 2,378,671 | | | NR | | Series2016-H06, Class FD, 3.427%(1-MonthUSD-LIBOR + 0.920%) due 7/20/65(a) | | | 2,408,227 | |
| | 174,320 | | | NR | | Series2016-H11, Class F, 3.307%(1-MonthUSD-LIBOR + 0.800%) due 5/20/66(a) | | | 175,811 | |
| | 1,973,373 | | | NR | | Series2017-H15, Class FE, 3.524%(1-YearUSD-LIBOR + 0.800%) due 7/20/67(a) | | | 2,024,739 | |
| | 1,000,000 | | | AAA | | Great Wolf Trust, Series 2017-WOLF, Class A, 3.489%(1-MonthUSD-LIBOR + 0.850%) due 9/15/34(a)(b) | | | 998,312 | |
| | 492,479 | | | Aaa(d) | | GS Mortgage Securities Trust, Series 2014-GC18, Class AAB, 3.648% due 1/10/47 | | | 499,234 | |
| | 1,000,000 | | | AAA | | Holmes Master Issuer PLC, Series2018-1A, Class A2, 3.147%(3-MonthUSD-LIBOR + 0.360%) due 10/15/54(a)(b) | | | 998,113 | |
See Notes to Financial Statements.
250
| | | | | | | | | | |
| Ultra-Short Term Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | COLLATERALIZED MORTGAGE OBLIGATIONS — 13.8% — (continued) | |
| $ | 183,595 | | | B | | Impac CMB Trust, Series2004-10, Class 1A1, 3.130%(1-MonthUSD-LIBOR + 0.640%) due 3/25/35(a) | | $ | 178,905 | |
| | 2,700,000 | | | AAA | | JP Morgan Chase Commercial Mortgage Securities Corp., Series 2017-MAUI, Class A, 3.347%(1-MonthUSD-LIBOR + 0.830%) due 7/15/34(a)(b) | | | 2,688,505 | |
| | 500,000 | | | AAA(f) | | JP Morgan Chase Commercial Mortgage Securities Trust, Series2018-LAQ, Class A, 3.489%(1-MonthUSD-LIBOR + 1.000%) due 6/15/32(a)(b) | | | 498,842 | |
| | 2,000,000 | EUR | | AAA | | Jubilee CLO BV, Series2015-16A, Class A1R, 0.489% (0.800% —3-Month EURIBOR) due 12/15/29(a)(b) | | | 2,263,585 | |
| | 626,665 | | | Aaa(d) | | Ladder Capital Commercial Mortgage Trust, Series2017-FL1, Class A, 3.369%(1-MonthUSD-LIBOR + 0.880%) due 9/15/34(a)(b) | | | 627,105 | |
| | 1,000,000 | | | AAA | | Lanark Master Issuer PLC, Series2019-1A, Class 1A1, 3.467%(3-MonthUSD-LIBOR + 0.770%) due 12/22/69(a)(b)(c) | | | 1,001,081 | |
| | 800,000 | | | AAA | | Madison Park Funding XVI Ltd., Series2015-16A, Class A1R, 4.091%(3-MonthUSD-LIBOR + 1.330%) due 4/20/26(a)(b) | | | 801,070 | |
| | 1,000,000 | | | AAA | | Marathon CLO V Ltd., Series2013-5A, Class A1R, 3.511%(3-MonthUSD-LIBOR + 0.870%) due 11/21/27(a)(b) | | | 991,750 | |
| | 269,210 | | | AA- | | Mastr Asset Backed Securities Trust, Series 2004-OPT2, Class A1, 3.190%(1-MonthUSD-LIBOR + 0.700%) due 9/25/34(a) | | | 267,656 | |
| | 828,511 | | | Aaa(d) | | MMAF Equipment Finance LLC, Series2018-A, Class A2, 2.920% due 7/12/21(b) | | | 828,802 | |
| | 300,000 | | | Aaa(d) | | Monarch Grove CLO18-1, Series2018-1A, Class A1, 3.651%(3-MonthUSD-LIBOR + 0.880%) due 1/25/28(a)(b) | | | 297,253 | |
| | 701,525 | | | B- | | Morgan Stanley ABS Capital I Inc. Trust, Series2004-HE4, Class M1, 3.390%(1-MonthUSD-LIBOR + 0.900%) due 5/25/34(a)(h) | | | 699,538 | |
| | 1,388,140 | | | AAA | | Motel 6 Trust, Series 2017-MTL6, Class A, 3.409%(1-MonthUSD-LIBOR + 0.920%) due 8/15/34(a)(b) | | | 1,383,591 | |
| | 2,000,000 | | | AAA | | Mountain View CLO X Ltd., Series2015-10A, Class AR, 3.617%(3-MonthUSD-LIBOR + 0.820%) due 10/13/27(a)(b) | | | 1,986,872 | |
| | 400,000 | | | BBB- | | NovaStar Mortgage Funding Trust, Series2005-4, Class M1, 3.150%(1-MonthUSD-LIBOR + 0.660%) due 1/25/36(a) | | | 396,726 | |
| | | | | | OCP CLO Ltd.: | | | | |
| | 1,500,000 | | | AAA | | Series2015-9A, Class A1R, 3.587%(3-MonthUSD-LIBOR + 0.800%) due 7/15/27(a)(b) | | | 1,487,200 | |
| | 1,000,000 | | | AAA | | Series2015-10A, Class A1R, 3.585%(3-MonthUSD-LIBOR + 0.820%) due 10/26/27(a)(b) | | | 994,310 | |
| | 890,508 | | | AAA(f) | | Palmer Square CLO Ltd., Series2018-3A, Class A1, 3.534%(3-MonthUSD-LIBOR + 0.850%) due 8/15/26(a)(b) | | | 884,750 | |
| | 3,400,000 | | | NR | | Permanent Master Issuer PLC, Series2018-1A, Class 1A1, 3.167%(3-MonthUSD-LIBOR + 0.380%) due 7/15/58(a) | | | 3,390,776 | |
| | 204,685 | | | AAA(f) | | PFP Ltd., Series2017-4, Class A, 3.369%(1-MonthUSD-LIBOR + 0.880%) due 7/14/35(a)(b) | | | 205,001 | |
| | 186,520 | | | AAA | | RBSSP Resecuritization Trust, Series2009-12, Class 16A1, 4.271% due 10/25/35(a)(b) | | | 187,963 | |
| | | | | | Sofi Consumer Loan Program LLC: | | | | |
| | 82,505 | | | AA | | Series2017-3, Class A, 2.770% due 5/25/26(b) | | | 82,226 | |
| | 176,096 | | | (P)AA | | Series2017-4, Class A, 2.500% due 5/26/26(b) | | | 174,582 | |
| | 473,928 | | | AA | | Sofi Consumer Loan Program Trust, Series2018-2, Class A1, 2.930% due 4/26/27(b) | | | 473,318 | |
| | 2,000,000 | | | Aaa(d) | | Sound Point CLO X Ltd., Series2015-3A, Class AR, 3.651%(3-MonthUSD-LIBOR + 0.890%) due 1/20/28(a)(b) | | | 1,989,500 | |
| | 1,567,691 | | | BBB+ | | Soundview Home Loan Trust, Series 2005-OPT1, Class M2, 3.165%(1-MonthUSD-LIBOR + 0.675%) due 6/25/35(a) | | | 1,558,399 | |
| | 586,316 | | | AAA | | Stonemont Portfolio Trust, Series 2017-MONT, Class A, 3.335%(1-MonthUSD-LIBOR + 0.850%) due 8/20/30(a)(b) | | | 584,584 | |
| | 1,263,341 | | | AAA | | Tharaldson Hotel Portfolio Trust, Series2018-THL, Class A, 3.262%(1-MonthUSD-LIBOR + 0.750%) due 11/11/34(a)(b) | | | 1,259,660 | |
| | 1,296,527 | | | Aaa(d) | | Towd Point Mortgage Trust, Series2017-5, Class A1, 3.090%(1-MonthUSD-LIBOR + 0.600%) due 2/25/57(a)(b) | | | 1,292,530 | |
| | 400,000 | | | NR | | Upstart Securitization Trust, Series2019-1, Class A, 3.450% due 4/20/26(b)(c) | | | 400,117 | |
| | 1,800,000 | | | Aaa(d) | | Venture XVI CLO Ltd., Series2014-16A, Class ARR, 3.637%(3-MonthUSD-LIBOR + 0.850%) due 1/15/28(a)(b) | | | 1,784,970 | |
See Notes to Financial Statements.
251
| | | | | | | | | | |
| Ultra-Short Term Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | COLLATERALIZED MORTGAGE OBLIGATIONS — 13.8% — (continued) | |
| $ | 800,000 | | | Aaa(d) | | Venture XVII CLO Ltd., Series2014-17A, Class ARR, 3.667%(3-MonthUSD-LIBOR + 0.880%) due 4/15/27(a)(b) | | $ | 793,543 | |
| | 772,666 | | | NR | | VOLT LXII LLC, Series 2017-NPL9, Class A1, step bond to yield, 3.125% due 9/25/47(b) | | | 770,767 | |
| | 223,947 | | | Aaa(d) | | Voya CLO Ltd., Series2014-3A, Class A1R, 3.491%(3-MonthUSD-LIBOR + 0.720%) due 7/25/26(a)(b) | | | 223,711 | |
| | 1,025,941 | | | AA | | WaMu Mortgage Pass-Through Certificates Trust, Series 2005-AR13, Class A1A1, 2.780%(1-MonthUSD-LIBOR + 0.290%) due 10/25/45(a) | | | 1,017,113 | |
| | | | | | Wells Fargo Commercial Mortgage Trust: | | | | |
| | 500,000 | | | AAA | | Series 2017-HSDB, Class A, 3.348%(1-MonthUSD-LIBOR + 0.850%) due 12/13/31(a)(b) | | | 499,215 | |
| | 1,500,000 | | | AAA(f) | | Series2018-BXI, Class A, 3.220%(1-MonthUSD-LIBOR + 0.731%) due 12/15/36(a)(b) | | | 1,489,173 | |
| | | | | | WFRBS Commercial Mortgage Trust: | | | | |
| | 1,500,000 | | | Aaa(d) | | Series2012-C7, Class AFL, 3.689%(1-MonthUSD-LIBOR + 1.200%) due 6/15/45(a)(b) | | | 1,505,553 | |
| | 1,232,692 | | | Aaa(d) | | Series2012-C10, Class AFL, 3.279%(1-MonthUSD-LIBOR + 0.790%) due 12/15/45(a)(b) | | | 1,241,210 | |
| | | | | | | | | | |
| | | | | | TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost — $69,922,913) | | | 69,746,519 | |
| | | | | | | | | | |
|
| | MORTGAGE-BACKED SECURITIES — 7.2% | |
|
| | FNMA — 7.2% | |
| | | | | | Federal National Mortgage Association (FNMA): | | | | |
| | 13,675,869 | | | | | 3.500% due 10/1/47(g) | | | 13,695,855 | |
| | 11,193,580 | | | | | 4.000% due 11/1/48(g) | | | 11,423,504 | |
| | 11,100,000 | | | | | 4.000% due 4/1/49(j) | | | 11,309,544 | |
| | | | | | | | | | |
| | | | | | TOTAL FNMA | | | 36,428,903 | |
| | | | | | | | | | |
| | | | | | TOTAL MORTGAGE-BACKED SECURITIES
(Cost — $36,012,318) | | | 36,428,903 | |
| | | | | | | | | | |
|
| | ASSET-BACKED SECURITIES — 6.1% | |
|
| | Automobiles — 0.6% | |
| | 1,000,000 | | | Aaa(d) | | Hertz Fleet Lease Funding LP, Series2018-1, Class A2, 3.230% due 5/10/32(b) | | | 1,001,300 | |
| | 444,305 | | | Aaa(d) | | OSCAR US Funding Trust IX LLC, Series2018-2A, Class A2A, 3.150% due 8/10/21(b) | | | 444,685 | |
| | 394,746 | | | Aaa(d) | | OSCAR US Funding Trust VIII LLC, Series2018-1A, Class A2A, 2.910% due 4/12/21(b) | | | 394,600 | |
| | 1,200,000 | | | AAA | | Securitized Term Auto Receivables Trust, Series2018-2A, Class A2A, 3.060% due 2/25/21(b) | | | 1,199,567 | |
| | | | | | | | | | |
| | | | | | Total Automobiles | | | 3,040,152 | |
| | | | | | | | | | |
|
| | Credit Cards — 2.5% | |
| | | | | | CARDS II Trust: | | | | |
| | 1,000,000 | | | Aaa(d) | | Series2017-2A, Class A, 2.749%(1-MonthUSD-LIBOR + 0.260%) due 10/17/22(a)(b) | | | 1,000,222 | |
| | 1,300,000 | | | Aaa(d) | | Series2018-1A, Class A, 2.839%(1-MonthUSD-LIBOR + 0.350%) due 4/17/23(a)(b) | | | 1,300,846 | |
| | 3,000,000 | | | (P)AAA | | Evergreen Credit Card Trust, Series2019-1, Class A, 3.056%(1-MonthUSD-LIBOR + 0.480%) due 1/15/23(a)(b) | | | 3,006,922 | |
| | 1,132,350 | | | NR | | LP Credit Card ABS Master Trust, Series2018-1, Class A, 4.053%(1-MonthUSD-LIBOR + 1.550%) due 8/20/24(a)(b) | | | 1,130,541 | |
| | 3,000,000 | | | Aaa(d) | | Master Credit Card Trust II, Series2018-1A, Class A, 2.972%(1-MonthUSD-LIBOR + 0.490%) due 7/21/24(a)(b) | | | 2,998,494 | |
| | | | | | Trillium Credit Card Trust II: | | | | |
| | 1,700,000 | | | AAA | | Series2018-1A, Class A, 2.734%(1-MonthUSD-LIBOR + 0.250%) due 2/27/23(a)(b) | | | 1,699,874 | |
| | 800,000 | | | AAA | | Series2019-1A, Class A, 2.964%(1-MonthUSD-LIBOR + 0.480%) due 1/26/24(a)(b)(c) | | | 800,382 | |
| | 800,000 | | | (P)AAA | | Series2019-2A, Class A, 3.038% due 1/26/24(b)(c) | | | 800,254 | |
| | | | | | | | | | |
| | | | | | Total Credit Cards | | | 12,737,535 | |
| | | | | | | | | | |
|
| | Student Loans — 3.0% | |
| | | | | | ECMC Group Student Loan Trust: | | | | |
| | 748,771 | | | Aaa(d) | | Series2017-2A, Class A, 3.540%(1-MonthUSD-LIBOR + 1.050%) due 5/25/67(a)(b) | | | 750,029 | |
| | 678,875 | | | Aaa(d) | | Series2018-1A, Class A, 3.240%(1-MonthUSD-LIBOR + 0.750%) due 2/27/68(a)(b) | | | 673,249 | |
| | 269,146 | | | AAA | | EFS Volunteer LLC, Series2010-1, Class A2, 3.621%(3-MonthUSD-LIBOR + 0.850%) due 10/25/35(a)(b) | | | 269,699 | |
See Notes to Financial Statements.
252
| | | | | | | | | | |
| Ultra-Short Term Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Student Loans — 3.0% — (continued) | |
| $ | 128,413 | | | Aaa(d) | | Navient Private Education Loan Trust, Series2015-AA, Class A2A, 2.650% due 12/15/28(b) | | $ | 126,901 | |
| | 1,000,000 | | | AAA | | Navient Private Education Refi Loan Trust2019-A, Series2019-A, Class A1, 3.030% due 1/15/43(b)(c) | | | 1,001,163 | |
| | 1,500,000 | | | AAA | | Navient Student Loan Trust, Series2018-1A, Class A2, 2.840%(1-MonthUSD-LIBOR + 0.350%) due 3/25/67(a)(b) | | | 1,496,471 | |
| | 1,335,065 | | | AA+ | | Nelnet Student Loan Trust, Series2017-3A, Class A, 3.340%(1-MonthUSD-LIBOR + 0.850%) due 2/25/66(a)(b) | | | 1,335,727 | |
| | 648,288 | | | AA+ | | Pennsylvania Higher Education Assistance Agency, Series2006-2,Class A-3, 2.901%(3-MonthUSD-LIBOR + 0.130%) due 10/25/36(a) | | | 640,276 | |
| | | | | | SLC Student Loan Trust: | | | | |
| | 1,240,973 | | | AAA | | Series2006-1, Class A5, 2.898%(3-MonthUSD-LIBOR + 0.110%) due 3/15/27(a) | | | 1,236,669 | |
| | 748,151 | | | AAA | | Series2007-1, Class A4, 2.744%(3-MonthUSD-LIBOR + 0.060%) due 5/15/29(a) | | | 737,342 | |
| | | | | | SLM Student Loan Trust: | | | | |
| | 319,167 | | | AAA | | Series2003-10A, Class A3, 3.258%(3-MonthUSD-LIBOR + 0.470%) due 12/15/27(a)(b) | | | 319,548 | |
| | 1,283,474 | | | AAA | | Series2005-5, Class A4, 2.911%(3-MonthUSD-LIBOR + 0.140%) due 10/25/28(a) | | | 1,277,721 | |
| | 638,248 | | | A | | Series2008-5, Class A4, 4.471%(3-MonthUSD-LIBOR + 1.700%) due 7/25/23(a) | | | 648,903 | |
| | 872,344 | | | A | | Series2008-7, Class A4, 3.671%(3-MonthUSD-LIBOR + 0.900%) due 7/25/23(a) | | | 874,054 | |
| | 144,222 | | | A | | Series2008-8, Class A4, 4.271%(3-MonthUSD-LIBOR + 1.500%) due 4/25/23(a) | | | 145,932 | |
| | 1,239,234 | | | AAA | | SMB Private Education Loan Trust, Series2015-B, Class A2B, 3.689%(1-MonthUSD-LIBOR + 1.200%) due 7/15/27(a)(b) | | | 1,252,389 | |
| | 1,259,876 | | | AAA | | Sofi Professional Loan Program LLC, Series2018-A, Class A2A, 2.390% due 2/25/42(b) | | | 1,251,006 | |
| | 996,759 | | | AA+ | | Utah State Board of Regents, Series2017-1, Class A, 3.240%(1-MonthUSD-LIBOR + 0.750%) due 1/25/57(a) | | | 998,932 | |
| | | | | | | | | | |
| | | | | | Total Student Loans | | | 15,036,011 | |
| | | | | | | | | | |
| | | | | | TOTAL ASSET-BACKED SECURITIES
(Cost — $30,817,393) | | | 30,813,698 | |
| | | | | | | | | | |
|
| | U.S. GOVERNMENT OBLIGATIONS — 5.6% | |
| | | | | | U.S. Treasury Inflation Indexed Notes: | | | | |
| | 6,818,130 | | | | | 0.125% due 4/15/22(g) | | | 6,700,899 | |
| | 495,606 | | | | | 0.625% due 4/15/23(i) | | | 495,183 | |
| | 5,713,524 | | | | | 0.125% due 7/15/24(g) | | | 5,587,423 | |
| | 3,500,343 | | | | | 0.250% due 1/15/25 | | | 3,420,183 | |
| | 11,309,718 | | | | | 0.750% due 7/15/28(g) | | | 11,335,341 | |
| | 1,000,000 | | | | | U.S. Treasury Notes, 2.375% due 5/15/27 | | | 979,219 | |
| | | | | | | | | | |
| | | | | | TOTAL U.S. GOVERNMENT OBLIGATIONS
(Cost — $28,041,601) | | | 28,518,248 | |
| | | | | | | | | | |
|
| | SOVEREIGN BONDS — 2.6% | |
|
| | Canada — 0.6% | |
| | 3,000,000 | | | AAA | | Export Development Canada, 2.293%(3-MonthUSD-LIBOR -0.040%) due 10/18/19(a)(b) | | | 3,000,693 | |
| | | | | | | | | | |
|
| | India — 0.9% | |
| | | | | | Export-Import Bank of India: | | | | |
| | 200,000 | | | BBB- | | 3.875% due 10/2/19 | | | 200,471 | |
| | 2,500,000 | | | BBB- | | 2.750% due 4/1/20 | | | 2,479,312 | |
| | 1,900,000 | | | Baa2(d) | | 3.641%(3-MonthUSD-LIBOR + 1.000%) due 8/21/22(a) | | | 1,890,063 | |
| | | | | | | | | | |
| | | | | | Total India | | | 4,569,846 | |
| | | | | | | | | | |
|
| | Japan — 1.1% | |
| | | | | | Japan Bank for International Corp.: | | | | |
| | 800,000 | | | A+ | | 3.221%(3-MonthUSD-LIBOR + 0.570%) due 2/24/20(a) | | | 803,614 | |
| | 4,400,000 | | | A+ | | 3.151%(3-MonthUSD-LIBOR + 0.390%) due 7/21/20(a) | | | 4,418,160 | |
| | 500,000 | | | A+ | | Tokyo Metropolitan Government, 2.500% due 6/8/22(b) | | | 492,794 | |
| | | | | | | | | | |
| | | | | | Total Japan | | | 5,714,568 | |
| | | | | | | | | | |
| | | | | | TOTAL SOVEREIGN BONDS
(Cost — $13,319,996) | | | 13,285,107 | |
| | | | | | | | | | |
See Notes to Financial Statements.
253
| | | | | | | | | | |
| Ultra-Short Term Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | MUNICIPAL BOND — 0.3% | |
|
| | Washington — 0.3% | |
| $ | 1,600,000 | | | A+ | | Washington Health Care Facilities Authority, 2.790% (SIFMA Municipal Swap Index Yield + 1.050%) due 1/1/42(a)
(Cost — $1,600,000) | | $ | 1,626,000 | |
| | | | | | | | | | |
|
| | SENIOR LOAN — 0.1% | |
| | 586,522 | | | NR | | Las Vegas Sands LLC, 4.243%(1-MonthUSD-LIBOR + 1.750%) due 3/27/25
(Cost — $587,548) | | | 583,334 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS
(Cost — $545,252,139) | | | 545,822,223 | |
| | | | | | | | | | |
|
| | SHORT-TERM INVESTMENTS — 28.3% | |
|
| | COMMERCIAL PAPERS — 1.3% | |
| | 3,200,000 | | | | | AT&T Inc., 3.091% due 5/28/19(k) | | | 3,176,533 | |
| | 500,000 | | | | | CNH Industrial Capital LLC, 3.563% due 5/9/19(b)(k) | | | 496,646 | |
| | 3,100,000 | | | | | VW Credit Inc., 3.121% due 7/1/19(k) | | | 3,067,958 | |
| | | | | | | | | | |
| | | | | | TOTAL COMMERCIAL PAPERS
(Cost — $6,741,137) | | | 6,741,137 | |
| | | | | | | | | | |
|
| | TIME DEPOSITS — 0.5% | |
| | | | | | BBH — Grand Cayman: | | | | |
| | 2,630 | DKK | | | | (0.850)% due 3/1/19 | | | 401 | |
| | 24,938 | JPY | | | | (0.270)% due 3/1/19 | | | 224 | |
| | 6,039 | NZD | | | | 0.650% due 3/1/19 | | | 4,113 | |
| | 74,695 | AUD | | | | 0.760% due 3/1/19 | | | 52,989 | |
| | 325,778 | CAD | | | | 0.820% due 3/1/19 | | | 247,608 | |
| | 1,325,583 | | | | | BNP Paribas — Paris, 1.750% due 3/1/19 | | | 1,325,583 | |
| | | | | | Citibank — London: | | | | |
| | 180,426 | EUR | | | | (0.570)% due 3/1/19 | | | 205,217 | |
| | 325,408 | GBP | | | | 0.360% due 3/1/19 | | | 431,540 | |
| | | | | | | | | | |
| | | | | | TOTAL TIME DEPOSITS
(Cost — $2,262,231) | | | 2,267,675 | |
| | | | | | | | | | |
|
| | U.S. GOVERNMENT OBLIGATION — 26.5% | |
| | 134,200,000 | | | | | U.S. Treasury Bills, 2.158% due 4/2/19(k)
(Cost — $133,948,645) | | | 133,948,645 | |
| | | | | | | | | | |
| | | | | | TOTAL SHORT-TERM INVESTMENTS
(Cost — $142,952,013) | | | 142,957,457 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS — 136.1%
(Cost — $688,204,152) | | | 688,779,680 | |
| | | | | | | | | | |
| | | | | | Liabilities in Excess of Other Assets — (36.1)% | | | (182,815,273 | ) |
| | | | | | | | | | |
| | | | | | TOTAL NET ASSETS — 100.0% | | $ | 505,964,407 | |
| | | | | | | | | | |
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
| †† | All ratings are by Standard & Poor’s Rating Service, unless otherwise noted. All ratings are unaudited. |
| (a) | Variable rate security. Interest rate disclosed is that which was in effect at February 28, 2019. |
| (b) | Restricted security that may be sold to “qualified institutional buyers” pursuant to the conditions of Rule 144A under the Securities Act of 1933, as amended. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees, unless otherwise noted. The aggregate value of restricted 144A holdings at February 28, 2019 amounts to approximately $179,356,953 and represents 35.4% of net assets. |
| (d) | Rating by Moody’s Investors Service. All ratings are unaudited. |
| (e) | Security is perpetual in nature and has no stated maturity date. |
| (f) | Rating by Fitch Ratings Service. All ratings are unaudited. |
See Notes to Financial Statements.
254
| | | | | | |
| Ultra-Short Term Fixed Income Fund |
| (g) | Position, or portion thereof, has been segregated to collateralize reverse repurchase agreement. |
| (h) | Affiliated security (See Note 2). As of February 28, 2019, total cost and total market value of affiliated securities amounted to $697,377 and $699,538, respectively. |
| (i) | All or a portion of this security is held at the broker as collateral for open OTC derivative instruments. |
| (j) | This security is traded on a TBA basis (see Note 1). |
| (k) | Rate shown representsyield-to-maturity. |
At February 28, 2019, for Ultra-Short Fixed Income Fund the aggregate cost of investments, the aggregate gross unrealized appreciation and depreciation of all investments for federal income tax purposes were as follows:
| | | | | | | | | | | | | | | | |
| Fund | | Aggregate Cost For
Federal Income
Tax Purposes | | | Gross Unrealized
Appreciation | | | Gross Unrealized
Depreciation | | | Net Unrealized
Appreciation | |
Ultra-Short Term Fixed Income Fund | | $ | 688,204,152 | | | $ | 4,717,215 | | | $ | (3,538,396 | ) | | $ | 1,178,819 | |
| | |
Abbreviations used in this schedule: |
| ABS | | — Asset-Based Security |
| CLO | | — Collateralized Loan Obligation |
| EURIBOR | | — Euro Interbank Offered Rate |
| LIBOR | | — London Interbank Offered Rate |
| PCL | | — Public Company Limited |
| PLC | | — Public Limited Company |
| REMICS | | — Real Estate Mortgage Investment Conduit |
| SIFMA | | — Securities Industry and Financial Markets Association |
| SOFR | | — Secured Overnight Financing Rate |
| | | | |
| Summary of Investments by Security Type^ | |
Corporate Bonds & Notes | | | 53.0 | % |
Collateralized Mortgage Obligations | | | 10.1 | |
Mortgage-Backed Securities | | | 5.3 | |
Asset-Backed Securities | | | 4.5 | |
U.S. Government Obligations | | | 4.1 | |
Sovereign Bonds | | | 1.9 | |
Municipal Bond | | | 0.2 | |
Senior Loan | | | 0.1 | |
Short-Term Investments | | | 20.8 | |
| | | | |
| | | 100.0 | % |
| | | | |
| ^ | As a percentage of total investments. |
See Notes to Financial Statements.
255
| | | | | | |
| Ultra-Short Term Fixed Income Fund |
At February 28, 2019, Ultra-Short Term Fixed Income Fund held the following Reverse Repurchase Agreements:
| | | | | | | | |
| | |
Face
Amount | | | Security | | Value | |
| | | | Barclays Capital Inc.: | | | | |
| $ | 5,372,000 | | | 2.650% due 3/15/19 | | $ | 5,372,000 | |
| | | | Credit Suisse Securities (USA) LLC: | | | | |
| | 3,251,000 | | | 2.650% due 3/7/19 | | | 3,251,000 | |
| | 7,630,000 | | | 2.650% due 3/13/19 | | | 7,630,000 | |
| | | | NatWest Markets Securities Inc.: | | | | |
| | 6,090,000 | | | 2.530% due 3/5/19 | | | 6,090,000 | |
| | 5,582,250 | | | 2.560% due 3/4/19 | | | 5,582,250 | |
| | 11,704,125 | | | 2.570% due 3/6/19 | | | 11,704,125 | |
| | | | | | | | |
| | | | TOTAL REVERSE REPURCHASE AGREEMENTS
(Proceeds — $39,629,375) | | $ | 39,629,375 | |
| | | | | | | | |
For the period ended February 28, 2019, the average borrowing and interest rate under the reverse repurchase agreements were $18,614,691 and 2.551%, respectively.
At February 28, 2019, Ultra-Short Term Fixed Income Fund had open exchange-traded futures contracts as described below.
The unrealized appreciation (depreciation) on the open contracts reflected in the accompanying financial statements were as follows:
| | | | | | | | | | | | | | | | | | | | |
| Open Futures Contracts | | Number of
Contracts | | | Expiration
Date
(Month/Year) | | | Notional
Amount | | | Market
Value | | | Unrealized
Appreciation/
(Depreciation) | |
| Contracts to Buy: | | | | | | | | | | | | | | | | | | | | |
3-Month Euro-EURIBOR December Futures | | | 441 | | | | 12/20 | | | $ | 125,457,335 | | | $ | 125,486,125 | | | $ | 28,790 | |
90-Day Eurodollar December Futures | | | 408 | | | | 12/19 | | | | 99,313,509 | | | | 99,307,200 | | | | (6,309 | ) |
90-Day Eurodollar March Futures | | | 345 | | | | 3/19 | | | | 83,814,707 | | | | 84,007,500 | | | | 192,793 | |
90-Day Sterling March Futures | | | 198 | | | | 3/19 | | | | 32,515,325 | | | | 32,539,942 | | | | 24,617 | |
Bank Accept December Futures | | | 243 | | | | 12/19 | | | | 44,920,898 | | | | 45,166,566 | | | | 245,668 | |
Bank Accept June Futures | | | 182 | | | | 6/20 | | | | 33,646,034 | | | | 33,830,185 | | | | 184,151 | |
Bank Accept March Futures | | | 50 | | | | 3/20 | | | | 9,233,678 | | | | 9,294,007 | | | | 60,329 | |
Bank Accept September Futures | | | 179 | | | | 9/20 | | | | 33,218,847 | | | | 33,272,545 | | | | 53,698 | |
U.S. Treasury10-Year Note June Futures | | | 28 | | | | 6/19 | | | | 3,427,375 | | | | 3,416,000 | | | | (11,375 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 772,362 | |
| | | | | | | | | | | | | | | | | | | | |
| Contracts to Sell: | | | | | | | | | | | | | | | | | | | | |
90-Day Eurodollar June Futures | | | 1,006 | | | | 6/22 | | | | 245,256,891 | | | | 245,199,925 | | | | 56,966 | |
90-Day Eurodollar September Futures | | | 89 | | | | 9/22 | | | | 21,689,509 | | | | 21,687,075 | | | | 2,434 | |
90-Day Sterling March Futures | | | 198 | | | | 3/22 | | | | 32,377,471 | | | | 32,372,548 | | | | 4,923 | |
U.S. Treasury Ultra Long Bond June Futures | | | 62 | | | | 6/19 | | | | 10,035,766 | | | | 9,894,813 | | | | 140,953 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 205,276 | |
| | | | | | | | | | | | | | | | | | | | |
Net Unrealized Appreciation on Open Exchange-Traded Futures Contracts | | | | | | | | | | | | | | | | | | $ | 977,638 | |
| | | | | | | | | | | | | | | | | |
At February 28, 2019, Ultra-Short Term Fixed Income Fund had deposited cash of $1,059,000 with a broker or brokers as margin collateral an open exchange-traded futures contracts.
See Notes to Financial Statements.
256
| | | | | | |
| Ultra-Short Term Fixed Income Fund |
At February 28, 2019, Ultra-Short Term Fixed Income Fund had open forward foreign currency contracts as described below.
The unrealized appreciation (depreciation) on the open contracts reflected in the accompanying financial statements were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Foreign Currency | | Local Currency | | | In Exchange For | | | Counterparty | | | Market Value | | | Settlement
Date | | | Unrealized
Appreciation/
(Depreciation) | |
| Contracts to Buy: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Japanese Yen | | | 1,102,900,000 | | | | USD | | | | 9,991,158 | | | | HSBC | | | $ | 9,894,585 | | | | 3/4/19 | | | $ | (96,573 | ) |
Japanese Yen | | | 1,102,900,000 | | | | USD | | | | 9,976,630 | | | | BCLY | | | | 9,918,311 | | | | 4/2/19 | | | | (58,319 | ) |
Mexican Peso | | | 779,000 | | | | USD | | | | 39,566 | | | | JPM | | | | 39,400 | | | | 8/14/19 | | | | (166 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | (155,058 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Contracts to Sell: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
British Pound | | | 83,000 | | | | USD | | | | 107,625 | | | | BCLY | | | | 110,071 | | | | 3/4/19 | | | | (2,446 | ) |
British Pound | | | 1,435,000 | | | | USD | | | | 1,879,994 | | | | JPM | | | | 1,903,024 | | | | 3/4/19 | | | | (23,030 | ) |
Euro | | | 19,761,000 | | | | USD | | | | 22,768,822 | | | | MLP | | | | 22,476,166 | | | | 3/4/19 | | | | 292,656 | |
Euro | | | 19,761,000 | | | | USD | | | | 22,556,606 | | | | JPM | | | | 22,532,933 | | | | 4/2/19 | | | | 23,673 | |
Japanese Yen | | | 1,102,900,000 | | | | USD | | | | 9,952,431 | | | | BCLY | | | | 9,894,586 | | | | 3/4/19 | | | | 57,845 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | 348,698 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Unrealized Appreciation on Open Forward Foreign Currency Contracts | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 193,640 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
At February 28, 2019, Ultra-Short Term Fixed Income Fund held the following Centrally Cleared Interest Rate Swap Contracts:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Pay/Receive
Floating Rate | | Floating Rate Index | | Fixed
Rate | | | Maturity
Date | | | Payment
Frequency | | | Notional
Amount | | | Market
Value | | | Upfront
Payment
Paid | | | Unrealized
Appreciation/
(Depreciation) | |
| Receive | | U.S. Federal Funds Effective Rate Index | | | 2.300% | | | | 3/1/22 | | | | 12-Month | | | USD | 263,200,000 | | | $ | 25,609 | | | $ | 390,809 | | | $ | (365,200 | ) |
| Pay | | U.S. Federal Funds Effective Rate Index | | | 2.500% | | | | 3/1/20 | | | | PAM | * | | USD | 314,400,000 | | | | 245,232 | | | | 136,090 | | | | 109,142 | |
| Receive | | 3-MonthUSD-LIBOR | | | 3.000% | | | | 12/19/28 | | | | 6-Month | | | USD | 6,000,000 | | | | (140,979 | ) | | | 100,301 | | | | (241,280 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | $ | 129,862 | | | $ | 627,200 | | | $ | (497,338 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| Fund Pay Floating Rate Index | | Fund Receive Floating Rate Index | | Maturity
Date | | | Notional
Amount | | | Market
Value | | | Upfront
Payment
Paid/
(Received) | | | Unrealized
Appreciation | |
| 1-Month USD-LIBOR + 0.095% | | 3-MonthUSD-LIBOR | | | 5/21/22 | | | USD | 147,600,000 | | | $ | 30,747 | | | $ | — | | | $ | 30,747 | |
| | | | | | | | | | | | | | | | | | | | | | |
At February 28, 2019, Ultra-Short Term Fixed Income Fund held the following Centrally Cleared Credit Default Swap Contracts:
Centrally Cleared — Credit Default Swaps on Indexes — Buy Protection (1)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Obligation | | Fixed Deal
(Pay) Rate | | | Maturity
Date | | | Payment
Frequency | | | Implied Credit
Spread at
2/28/19 (2) | | | Notional
Amount (3) | | | Market
Value | | | Upfront
Payment
(Received) | | | Unrealized
(Depreciation) | |
Markit CDX North America High Yield Series 315-Year Index | | | (5.000 | )% | | | 12/20/23 | | | | 3-Month | | | | 3.466 | % | | USD | 3,724,000 | | | $ | (270,020 | ) | | $ | (174,068 | ) | | $ | (95,952 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (1) | If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the reference obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising the referenced index. |
See Notes to Financial Statements.
257
| | | | | | |
| Ultra-Short Term Fixed Income Fund |
| (2) | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as ‘‘Defaulted’’ indicates a credit event has occurred for the referenced entity or obligation. |
| (3) | The maximum potential amount the Fund could be required to make as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
At February 28, 2019, Ultra-Short Term Fixed Income Fund deposited cash collateral with brokers in the amount of $2,578,000 for open centrally cleared swap contracts.
At February 28, 2019, Ultra-Short Term Fixed Income Fund had cash collateral from brokers in the amount of $290,000 for open centrally cleared swap contracts.
| | | | | | |
Currency Abbreviations used in this schedule: | | Counterparty Abbreviations used in this schedule: |
| AUD | | — Australian Dollar | | BCLY | | — Barclays Bank PLC |
| CAD | | — Canadian Dollar | | HSBC | | — HSBC Bank USA |
| DKK | | — Danish Krone | | JPM | | — JPMorgan Chase & Co. |
| EUR | | — Euro | | MLP | | — Merrill Lynch, Pierce, Fenner & Smith Inc. |
| GBP | | — British Pound | | | | |
| JPY | | — Japanese Yen | | | | |
| NZD | | — New Zealand Dollar | | | | |
See pages 260-261 for definitions of ratings.
See Notes to Financial Statements.
258
| | | | | | | | |
| Alternative Strategies Fund | |
| | |
| Units | | | Security | | Value | |
|
| | OPEN END MUTUAL FUND SECURITIES — 96.7% | |
|
| | United States — 96.7% | |
| | 115,631 | | | American Beacon AHL Managed Futures Strategy Fund, Class Y | | $ | 1,169,034 | |
| | 65,809 | | | BlackRock Event Driven Equity Fund, Institutional Class | | | 624,532 | |
| | 79,987 | | | BlackRock Global Long/Short Credit Fund, Institutional Class | | | 783,075 | |
| | 40,848 | | | Diamond Hill Long/Short Fund, Class I | | | 1,038,759 | |
| | 81,929 | | | Driehaus Event Driven Fund, Common Class | | | 912,688 | |
| | 93,606 | | | Eaton Vance Global Macro Absolute Return Advantage Fund, Class I | | | 913,593 | |
| | 123,792 | | | Goldman Sachs Absolute Return Tracker Fund, Institutional Class | | | 1,171,074 | |
| | 117,679 | | | John Hancock Seaport Long/Short Fund, Class I | | | 1,302,702 | |
| | 84,226 | | | LoCorr Market Trend Fund, Class I* | | | 779,094 | |
| | 72,537 | | | PIMCO Mortgage Opportunities and Bond Fund,Class I-2 | | | 784,120 | |
| | 92,514 | | | Prudential QMA Long/Short Equity Fund, Class Z | | | 1,161,978 | |
| | 70,747 | | | Tortoise MLP & Pipeline Fund, Institutional Class | | | 902,726 | |
| | 130,393 | | | Western Asset Macro Opportunities Fund, Class I | | | 1,431,712 | |
| | | | TOTAL INVESTMENTS — 96.7%
(Cost — $12,908,320) | | | 12,975,087 | |
| | | | | | | | |
| | | | Other Assets in Excess of Liabilities — 3.3% | | | 435,944 | |
| | | | | | | | |
| | | | TOTAL NET ASSETS — 100.0% | | $ | 13,411,031 | |
| | | | | | | | |
| * | Non-income producing security. |
At February 28, 2019, for Alternative Strategies Fund the aggregate cost of investments, the aggregate gross unrealized appreciation and depreciation of all investments for federal income tax purposes were as follows:
| | | | | | | | | | | | | | | | |
| Fund | | Aggregate Cost for
Federal Income
Tax Purposes | | | Gross Unrealized
Appreciation | | | Gross Unrealized
Depreciation | | | Net Unrealized
Appreciation | |
Alternative Strategies Fund | | $ | 12,908,320 | | | $ | 171,595 | | | $ | (104,828) | | | $ | 66,767 | |
| | | | |
| Summary of Investments by Security Type^ | | | |
Open End Mutual Fund Securities | | | 100.0 | % |
| | | | |
| ^ | As a percentage of total investments. |
See Notes to Financial Statements.
259
The definitions of the applicable rating symbols are set forth below:
Standard & Poor’s Ratings Service (“Standard & Poor’s”)— Ratings from “AA” to “CCC” may be modified by the addition of a plus (+) or minus (-) sign to show relative standings within the major rating categories.
| | |
| |
| AAA | | — Bonds rated “AAA” have the highest rating assigned by Standard & Poor’s. Capacity to pay interest and repay principal is extremely strong. |
| |
| AA | | — Bonds rated “AA” have a very strong capacity to pay interest and repay principal and differ from the highest rated issues only in a small degree. |
| |
| A | | — Bonds rated “A” have a strong capacity to pay interest and repay principal although they are somewhat more susceptible to the adverse effects of changes in circumstances and economic conditions than debt in higher rated categories. |
| |
| BBB | | — Bonds rated “BBB” are regarded as having an adequate capacity to pay interest and repay principal. Whereas they normally exhibit adequate protection parameters, adverse economic conditions or changing circumstances are more likely to lead to a weakened capacity to pay interest and repay principal for bonds in this category than in higher rated categories. |
| |
| BB, B, CCC, CC and C | | — Bonds rated “BB”, “B”, “CCC”, “CC” and “C” are regarded, on balance, as predominantly speculative with respect to capacity to pay interest and repay principal in accordance with the terms of the obligation. “BB” represents the lowest degree of speculation and “C” the highest degree of speculation. While such bonds will likely have some quality and protective characteristics, these are outweighed by large uncertainties or major risk exposures to adverse conditions. |
| |
| D | | — Bonds rated “D” are in default and payment of interest and/or repayment of principal is in arrears. |
| |
| P | | — Preliminary rating. |
| |
| u | | — The upgrade state defines bonds that have recently been upgraded into higher rating categories. |
Moody’s Investors Service (“Moody’s”)— Numerical modifiers 1, 2 and 3 may be applied to each generic rating from “Aa” to “Caa,” where 1 is the highest and 3 the lowest ranking within its generic category.
| | |
| |
| Aaa | | — Bonds rated “Aaa” are judged to be of the best quality. They carry the smallest degree of investment risk and are generally referred to as “gilt edge.” Interest payments are protected by a large or by an exceptionally stable margin and principal is secure. While the various protective elements are likely to change, such changes as can be visualized are most unlikely to impair the fundamentally strong position of such issues. |
| |
| Aa | | — Bonds rated “Aa” are judged to be of high quality by all standards. Together with the “Aaa” group they comprise what are generally known as high grade bonds. They are rated lower than the best bonds because margins of protection may not be as large as in “Aaa” securities or fluctuation of protective elements may be of greater amplitude or there may be other elements present which make the long-term risks appear somewhat larger than in “Aaa” securities. |
| |
| A | | — Bonds rated “A” possess many favorable investment attributes and are to be considered as upper medium grade obligations. Factors giving security to principal and interest are considered adequate but elements may be present which suggest a susceptibility to impairment some time in the future. |
| |
| Baa | | — Bonds rated “Baa” are considered as medium grade obligations, i.e., they are neither highly protected nor poorly secured. Interest payments and principal security appear adequate for the present but certain protective elements may be lacking or may be characteristically unreliable over any great length of time. Such bonds lack outstanding investment characteristics and in fact have speculative characteristics as well. |
| |
| Ba | | — Bonds rated “Ba” are judged to have speculative elements; their future cannot be considered as well assured. Often the protection of interest and principal payments may be very moderate and therefore not well safeguarded during both good and bad times over the future. Uncertainty of position characterizes bonds in this class. |
| |
| B | | — Bonds rated “B” generally lack characteristics of desirable investments. Assurance of interest and principal payments or of maintenance of other terms of the contract over any long period of time may be small. |
| |
| Caa | | — Bonds rated “Caa” are of poor standing. These may be in default, or present elements of danger may exist with respect to principal or interest. |
| |
| Ca | | — Bonds rated “Ca” represent obligations which are speculative in a high degree. Such issues are often in default or have other marked short-comings. |
| |
| C | | — Bonds rated “C” are the lowest class of bonds and issues so rated can be regarded as having extremely poor prospects of ever attaining any real investment standing. |
| |
| e | | — Expected. |
| |
| u | | — Upgraded. |
260
Fitch Ratings Service (“Fitch”)— Ratings from “AA” to “CCC” may be modified by the addition of a plus (+) or minus (-) sign to show relative standings within the major rating categories.
| | |
| |
| AAA | | — Bonds rated “AAA” have the highest rating assigned by Fitch. Capacity to pay interest and repay principal is extremely strong. |
| |
| AAApre | | — Stable Outlook rating is based on the pledge of securities in the escrow deposit fund securing the bonds and reflects the lien of the refunded bondholders on the escrow trust funds and that all amounts have been invested in directnon-callable obligations of the United States. |
| |
| AA | | — Bonds rated “AA” have a very strong capacity to pay interest and repay principal and differ from the highest rated issues only in a small degree. |
| |
| A | | — Bonds rated “A” have a strong capacity to pay interest and repay principal although they are somewhat more susceptible to the adverse effects of changes in circumstances and economic conditions than debt in higher rated categories. |
| |
| BBB | | — Bonds rated “BBB” are regarded as having an adequate capacity to pay interest and repay principal. Whereas they normally exhibit adequate protection parameters, adverse economic conditions or changing circumstances are more likely to lead to a weakened capacity to pay interest and repay principal for bonds in this category than in higher rated categories. |
| |
| BB, B, CCC, CC and C | | — Bonds rated “BB”, “B”, “CCC”, “CC” and “C” are regarded, on balance, as predominantly speculative with respect to capacity to pay interest and repay principal in accordance with the terms of the obligation. “BB” represents a lower degree of speculation than “B”, and “CC” the highest degree of speculation. While such bonds will likely have some quality and protective characteristics, these are outweighed by large uncertainties or major risk exposures to adverse conditions. |
| |
| D | | — Bonds rated “D” are in default and payment of interest and/or repayment of principal is in arrears. |
| |
| NR | | — Indicates that the bond is not rated by Standard & Poor’s, Moody’s, or Fitch. |
| |
| WD, WR | | — Indicates that the bonds rating has been withdrawn and the issuer is no longer rated by Standard & Poor’s, Moody’s or Fitch. |
Short-Term Security Ratings
| | |
| |
| SP-1 | | — Standard & Poor’s highest rating indicating very strong or strong capacity to pay principal and interest; those issues determined to possess overwhelming safety characteristics are denoted with a plus (+) sign. |
| |
| A-1 | | — Standard & Poor’s highest commercial paper and variable-rate demand obligation (VRDO) rating indicating that the degree of safety regarding timely payment is either overwhelming or very strong; those issues determined to possess overwhelming safety characteristics are denoted with a plus (+) sign. |
| |
| VMIG 1 | | — Moody’s highest rating for issues having a demand feature — VRDO. |
| |
| MIG1 | | — Moody’s highest rating for short-term municipal obligations. |
| |
| P-1 | | — Moody’s highest rating for commercial paper and for VRDO prior to the advent of the VMIG 1 rating. |
| |
| F-1 | | — Fitch’s highest rating indicating the strongest capacity for timely payment of financial commitments; those issues determined to possess overwhelming strong credit feature are denoted with a plus (+) sign. |
| |
| F-2 | | — Fitch’s rating indicating a good capacity for timely payment of financial commitments. |
261
| | |
| | | |
| Statements of Assets and Liabilities | | |
| | |
| February 28, 2019 (unaudited) | | |
| | | | | | | | | | | | | | | | |
| | | Large Cap
Equity Fund | | | Small-Mid
Cap Equity
Fund | | | International
Equity
Fund | | | | |
| ASSETS: | | | | | | | | | | | | | | | | |
Unaffiliated investments, at value1,3 | | $ | 1,585,692,703 | | | $ | 481,919,589 | | | $ | 1,600,680,557 | | | | | |
Affiliated investments, at value2 | | | 1,523,622 | | | | — | | | | — | | | | | |
Foreign currency, at value4 | | | 7 | | | | 11,911 | | | | 89,503 | | | | | |
Cash | | | 10,406,376 | | | | 1,409,598 | | | | 348,216 | | | | | |
Receivable for securities sold | | | 1,005,861 | | | | 1,809,451 | | | | 3,073,042 | | | | | |
Receivable for TBA securities sold | | | — | | | | — | | | | — | | | | | |
Dividends and interest receivable from unaffiliated investments | | | 2,575,965 | | | | 294,075 | | | | 6,786,092 | | | | | |
Dividends and interest receivable from affiliated investments | | | — | | | | — | | | | — | | | | | |
Receivable for manager waiver | | | — | | | | — | | | | — | | | | | |
Receivable for Fund shares sold | | | 1,910,909 | | | | 547,424 | | | | 2,660,752 | | | | | |
Unrealized appreciation on open forward foreign currency contracts (Note 1) | | | — | | | | — | | | | — | | | | | |
Variation margin on open future contracts (Note 1) | | | — | | | | — | | | | 1,751 | | | | | |
Variation margin on open centrally cleared swap contracts (Note 1) | | | — | | | | — | | | | — | | | | | |
Unrealized appreciation on open OTC swap contracts | | | — | | | | — | | | | — | | | | | |
Upfront payment paid on open OTC swap contracts | | | — | | | | — | | | | — | | | | | |
Deposits for collateral with counterparty | | | 592,984 | | | | 383,644 | | | | 122,693 | | | | | |
Foreign capital gain tax receivable | | | — | | | | — | | | | — | | | | | |
Prepaid expenses | | | 109,225 | | | | 38,686 | | | | 84,922 | | | | | |
| | | | | | | | | | | | | | | | |
Total Assets | | | 1,603,817,652 | | | | 486,414,378 | | | | 1,613,847,528 | | | | | |
| | | | | | | | | | | | | | | | |
| LIABILITIES: | | | | | | | | | | | | | | | | |
Payable for reverse repurchase agreements | | | — | | | | — | | | | — | | | | | |
Payable for collateral received from securities on loan | | | 5,166,691 | | | | 12,849,116 | | | | 16,414,233 | | | | | |
Payable for Fund shares repurchased | | | 2,052,565 | | | | 639,199 | | | | 1,788,370 | | | | | |
Payable for securities purchased | | | 473,402 | | | | 1,325,350 | | | | 4,133,050 | | | | | |
Payable for TBA securities purchased | | | — | | | | — | | | | — | | | | | |
Investment management fee payable | | | 470,300 | | | | 173,385 | | | | 638,109 | | | | | |
Transfer agent fees payable | | | 17,280 | | | | 8,472 | | | | 18,221 | | | | | |
Interest expense payable | | | — | | | | — | | | | — | | | | | |
Custody fee payable | | | 52,074 | | | | 16,126 | | | | 200,065 | | | | | |
Variation margin on open centrally cleared swap contracts (Note 1) | | | — | | | | — | | | | — | | | | | |
Variation margin on open future contracts (Note 1) | | | 51,194 | | | | 252,040 | | | | — | | | | | |
Options contracts written, at value5 (Note 1) | | | — | | | | — | | | | — | | | | | |
Unrealized depreciation on open OTC swap contracts | | | — | | | | — | | | | — | | | | | |
Upfront payment received on open OTC swap contracts | | | — | | | | — | | | | — | | | | | |
Unrealized depreciation on open forward foreign currency contracts (Note 1) | | | — | | | | — | | | | — | | | | | |
Deposits for collateral from counterparty | | | — | | | | — | | | | — | | | | | |
Distributions payable | | | — | | | | — | | | | — | | | | | |
Audit fees payable | | | — | | | | — | | | | — | | | | | |
Accrued expenses | | | 72,299 | | | | 64,514 | | | | 110,040 | | | | | |
| | | | | | | | | | | | | | | | |
Total Liabilities | | | 8,355,805 | | | | 15,328,202 | | | | 23,302,088 | | | | | |
| | | | | | | | | | | | | | | | |
| Total Net Assets | | $ | 1,595,461,847 | | | $ | 471,086,176 | | | $ | 1,590,545,440 | | | | | |
| | | | | | | | | | | | | | | | |
| NET ASSETS: | | | | | | | | | | | | | | | | |
Par value (Note 4) | | $ | 86,881 | | | $ | 25,159 | | | $ | 134,728 | | | | | |
Paid-in-capital in excess of par value | | | 1,098,329,545 | | | | 361,027,785 | | | | 1,552,603,990 | | | | | |
Accumulated deficit | | | — | | | | — | | | | — | | | | | |
Total distributable earnings | | | 497,045,421 | | | | 110,033,232 | | | | 37,806,722 | | | | | |
| | | | | | | | | | | | | | | | |
| Total Net Assets | | $ | 1,595,461,847 | | | $ | 471,086,176 | | | $ | 1,590,545,440 | | | | | |
| | | | | | | | | | | | | | | | |
| Shares Outstanding | | | 86,881,259 | | | | 25,159,102 | | | | 134,727,536 | | | | | |
| | | | | | | | | | | | | | | | |
| Net Asset Value | | $ | 18.36 | | | $ | 18.72 | | | $ | 11.81 | | | | | |
| | | | | | | | | | | | | | | | |
| 1 Unaffiliated investments, at cost | | $ | 1,112,133,226 | | | $ | 380,071,758 | | | $ | 1,535,053,848 | | | | | |
| | | | | | | | | | | | | | | | |
| 2 Affiliated investments, at cost | | $ | 876,827 | | | $ | — | | | $ | — | | | | | |
| | | | | | | | | | | | | | | | |
| 3 Includes securities on loan | | $ | 5,141,935 | | | $ | 12,447,394 | | | $ | 15,705,690 | | | | | |
| | | | | | | | | | | | | | | | |
| 4 Foreign currency, at cost | | $ | 3 | | | $ | 12,863 | | | $ | 90,952 | | | | | |
| | | | | | | | | | | | | | | | |
| 5Premiums received | | $ | — | | | $ | — | | | $ | — | | | | | |
| | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
262
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | Emerging
Markets
Equity Fund | | | Core Fixed
Income
Fund | | | High Yield
Fund | | | International
Fixed Income
Fund | | | Municipal
Bond
Fund | | | Inflation-Linked
Fixed Income
Fund | | | Ultra-Short
Term Fixed
Income Fund | | | Alternative
Strategies
Fund | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | 504,528,193 | | | $ | 890,683,443 | | | $ | 54,769,552 | | | $ | 165,214,541 | | | $ | 59,110,925 | | | $ | 284,099,668 | | | $ | 688,080,142 | | | $ | 12,975,087 | |
| | | | | — | | | | 1,358,317 | | | | — | | | | — | | | | — | | | | — | | | | 699,538 | | | | — | |
| | | | | 541,168 | | | | 748,202 | | | | — | | | | 93,228 | | | | — | | | | 123,523 | | | | 513 | | | | — | |
| | | | | 39,935 | | | | 27,145 | | | | 3,860 | | | | 2,162 | | | | 1,503,307 | | | | 200,296 | | | | 1,252,581 | | | | 364,718 | |
| | | | | 589,716 | | | | 45,677,087 | | | | 295,648 | | | | 614,973 | | | | 3,494,329 | | | | 192,476 | | | | 5,888,012 | | | | — | |
| | | | | — | | | | 15,977,167 | | | | — | | | | 35,987,279 | | | | — | | | | 9,643,780 | | | | 11,329,805 | | | | — | |
| | | | | 1,396,187 | | | | 4,997,483 | | | | 790,643 | | | | 1,043,391 | | | | 608,365 | | | | 615,996 | | | | 3,183,907 | | | | — | |
| | | | | — | | | | 4,368 | | | | — | | | | — | | | | — | | | | — | | | | 264 | | | | — | |
| | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 7,293 | |
| | | | | 765,894 | | | | 1,616,045 | | | | 178,160 | | | | 227,679 | | | | 205,307 | | | | 318,410 | | | | 1,063,608 | | | | 369,986 | |
| | | | | — | | | | 371,175 | | | | — | | | | 1,934,611 | | | | — | | | | 268,563 | | | | 374,174 | | | | — | |
| | | | | — | | | | — | | | | — | | | | 21,348 | | | | 13,723 | | | | 6,839 | | | | 54,462 | | | | — | |
| | | | | — | | | | — | | | | — | | | | 95,462 | | | | — | | | | 298,054 | | | | 719,530 | | | | — | |
| | | | | — | | | | 272,088 | | | | — | | | | 18,916 | | | | — | | | | — | | | | — | | | | — | |
| | | | | — | | | | 13,267 | | | | — | | | | 36,666 | | | | — | | | | — | | | | — | | | | — | |
| | | | | 99,994 | | | | 2,621,038 | | | | — | | | | 1,783,000 | | | | 24,000 | | | | 1,210,000 | | | | 3,637,000 | | | | — | |
| | | | | 70,435 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | 39,857 | | | | 119,940 | | | | 14,310 | | | | 20,185 | | | | 18,756 | | | | 31,152 | | | | 50,723 | | | | 18,823 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 508,071,379 | | | | 964,486,765 | | | | 56,052,173 | | | | 207,093,441 | | | | 64,978,712 | | | | 297,008,757 | | | | 716,334,259 | | | | 13,735,907 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | — | | | | — | | | | — | | | | 9,074,569 | | | | — | | | | 46,641,176 | | | | 39,629,375 | | | | — | |
| | | | | 5,620,493 | | | | 286,605 | | | | 786,688 | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | 660,781 | | | | 1,700,721 | | | | 162,027 | | | | 199,232 | | | | 78,718 | | | | 260,245 | | | | 739,358 | | | | 20,463 | |
| | | | | 1,887,698 | | | | 54,245,581 | | | | 613,931 | | | | 1,487,110 | | | | 2,210,580 | | | | 3,783,474 | | | | 146,627,647 | | | | 282,081 | |
| | | | | — | | | | 57,695,487 | | | | — | | | | 53,716,391 | | | | — | | | | 14,733,998 | | | | 22,611,313 | | | | — | |
| | | | | 226,616 | | | | 249,552 | | | | 20,498 | | | | 48,456 | | | | 18,991 | | | | 79,669 | | | | 174,011 | | | | 1,969 | |
| | | | | 4,516 | | | | 7,277 | | | | 1,880 | | | | 1,565 | | | | 729 | | | | 2,967 | | | | 4,065 | | | | 248 | |
| | | | | — | | | | 1,180 | | | | — | | | | 8,538 | | | | — | | | | 43,463 | | | | 12,560 | | | | — | |
| | | | | 96,933 | | | | 111,868 | | | | 27,996 | | | | 39,038 | | | | 13,710 | | | | 37,901 | | | | 34,783 | | | | 1,972 | |
| | | | | — | | | | 35,515 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | 26,817 | | | | 477,794 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | — | | | | 191,971 | | | | — | | | | 44,664 | | | | — | | | | 141,402 | | | | — | | | | — | |
| | | | | — | | | | — | | | | — | | | | 171,339 | | | | — | | | | — | | | | — | | | | — | |
| | | | | — | | | | — | | | | — | | | | 142,799 | | | | — | | | | — | | | | — | | | | — | |
| | | | | — | | | | 408,620 | | | | — | | | | 734,885 | | | | — | | | | 194,446 | | | | 180,534 | | | | — | |
| | | | | — | | | | — | | | | — | | | | 830,000 | | | | — | | | | 30,000 | | | | 290,000 | | | | — | |
| | | | | — | | | | 1,381 | | | | 98 | | | | — | | | | 280 | | | | — | | | | — | | | | — | |
| | | | | — | | | | — | | | | 48,771 | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | 95,437 | | | | 93,939 | | | | 58,744 | | | | 82,700 | | | | 32,571 | | | | 85,617 | | | | 66,206 | | | | 18,143 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 8,619,291 | | | | 115,507,491 | | | | 1,720,633 | | | | 66,581,286 | | | | 2,355,579 | | | | 66,034,358 | | | | 210,369,852 | | | | 324,876 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | 499,452,088 | | | $ | 848,979,274 | | | $ | 54,331,540 | | | $ | 140,512,155 | | | $ | 62,623,133 | | | $ | 230,974,399 | | | $ | 505,964,407 | | | $ | 13,411,031 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | 35,050 | | | $ | 107,319 | | | $ | 14,667 | | | $ | 18,141 | | | $ | 6,800 | | | $ | 23,912 | | | $ | 50,901 | | | $ | 1,383 | |
| | | | | 471,641,227 | | | | 874,846,977 | | | | 81,531,187 | | | | 141,128,138 | | | | 59,519,946 | | | | 238,954,670 | | | | 508,842,523 | | | | 13,386,901 | |
| | | | | — | | | | (25,975,022 | ) | | | (27,214,314 | ) | | | (634,124 | ) | | | — | | | | (8,004,183 | ) | | | (2,929,017 | ) | | | — | |
| | | | | 27,775,811 | | | | — | | | | — | | | | — | | | | 3,096,387 | | | | — | | | | — | | | | 22,747 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | 499,452,088 | | | $ | 848,979,274 | | | $ | 54,331,540 | | | $ | 140,512,155 | | | $ | 62,623,133 | | | $ | 230,974,399 | | | $ | 505,964,407 | | | $ | 13,411,031 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 35,049,632 | | | | 107,319,000 | | | | 14,666,729 | | | | 18,140,964 | | | | 6,799,684 | | | | 23,912,219 | | | | 50,900,536 | | | | 1,383,007 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | 14.25 | | | $ | 7.91 | | | $ | 3.70 | | | $ | 7.75 | | | $ | 9.21 | | | $ | 9.66 | | | $ | 9.94 | | | $ | 9.70 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | 425,466,172 | | | $ | 898,115,277 | | | $ | 56,654,796 | | | $ | 164,758,290 | | | $ | 56,546,659 | | | $ | 285,938,802 | | | $ | 687,506,775 | | | $ | 12,908,320 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | — | | | $ | 1,349,786 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 697,377 | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | 5,390,746 | | | $ | 277,846 | | | $ | 761,103 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | 542,394 | | | $ | 761,140 | | | $ | — | | | $ | 94,183 | | | $ | — | | | $ | 120,962 | | | $ | 509 | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | — | | | $ | 248,348 | | | $ | — | | | $ | 63,126 | | | $ | — | | | $ | 163,652 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
263
| | |
| For the Six Months Ended February 28, 2019 (unaudited) | | |
| | | | | | | | | | | | | | | | |
| | | Large Cap
Equity Fund | | | Small-Mid
Cap Equity
Fund | | | International
Equity
Fund | | | | |
| INVESTMENT INCOME: | | | | | | | | | | | | | | | | |
| | | | |
Dividends from unaffiliated investments | | $ | 15,270,779 | | | $ | 2,588,174 | | | $ | 15,629,565 | | | | | |
Dividends from affiliated investments | | | 22,310 | | | | — | | | | — | | | | | |
Interest from unaffiliated investments | | | 229,297 | | | | 87,434 | | | | 309,813 | | | | | |
Interest from affiliated investments | | | — | | | | — | | | | — | | | | | |
Income from securities lending | | | 33,353 | | | | 60,272 | | | | 220,618 | | | | | |
Less: Foreign taxes withheld (see Note 1q) | | | (2,267 | ) | | | (1,903 | ) | | | (1,152,817 | ) | | | | |
| | | | | | | | | | | | | | | | |
Total Investment Income | | | 15,553,472 | | | | 2,733,977 | | | | 15,007,179 | | | | | |
| | | | | | | | | | | | | | | | |
| | | | |
| EXPENSES: | | | | | | | | | | | | | | | | |
| | | | |
Investment management fee (Note 2) | | | 4,723,254 | | | | 1,820,685 | | | | 5,402,078 | | | | | |
Transfer agent fees | | | 96,224 | | | | 32,631 | | | | 95,582 | | | | | |
Custody fees | | | 241,826 | | | | 104,031 | | | | 584,507 | | | | | |
Trustees’ fees | | | 149,459 | | | | 46,216 | | | | 155,210 | | | | | |
Shareholder reports | | | 88,661 | | | | 85,989 | | | | 98,908 | | | | | |
Insurance | | | 33,403 | | | | 11,159 | | | | 31,066 | | | | | |
Audit and tax | | | 28,620 | | | | 30,458 | | | | 45,443 | | | | | |
Legal fees | | | 34,281 | | | | 11,055 | | | | 45,082 | | | | | |
Registration fees | | | 16,894 | | | | 14,295 | | | | 19,141 | | | | | |
Offering costs | | | — | | | | — | | | | — | | | | | |
Other expense | | | 23,043 | | | | 7,958 | | | | 26,902 | | | | | |
Interest expense | | | — | | | | — | | | | — | | | | | |
| | | | | | | | | | | | | | | | |
Total Expenses | | | 5,435,665 | | | | 2,164,477 | | | | 6,503,919 | | | | | |
Less: Fee waivers and/or expense reimbursement (Note 2) | | | (1,669,632 | ) | | | (707,929 | ) | | | (1,297,096 | ) | | | | |
| | | | | | | | | | | | | | | | |
Net Expenses | | | 3,766,033 | | | | 1,456,548 | | | | 5,206,823 | | | | | |
| | | | | | | | | | | | | | | | |
Net Investment Income | | $ | 11,787,439 | | | $ | 1,277,429 | | | $ | 9,800,356 | | | | | |
| | | | | | | | | | | | | | | | |
| | | | |
| REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS, OPTIONS CONTRACTS WRITTEN, FORWARD SALE COMMITMENTS, SWAP CONTRACTS, FORWARD FOREIGN CURRENCY CONTRACTS AND FOREIGN CURRENCY TRANSLATIONS (NOTES 1 AND 3): | | | | | | | | | | | | | | | | |
| | | | |
Net Realized Gain (Loss) from: | | | | | | | | | | | | | | | | |
| | | | |
Unaffiliated investments | | $ | 40,064,376 | | | $ | 14,065,972 | | | $ | (14,902,452 | )(a) | | | | |
Affiliated investments | | | 51,099 | | | | — | | | | — | | | | | |
Futures contracts | | | (1,177,979 | ) | | | (411,315 | ) | | | (203,085 | ) | | | | |
Options contracts written | | | — | | | | — | | | | — | | | | | |
Forward sale commitments | | | — | | | | — | | | | — | | | | | |
Swap contracts | | | — | | | | — | | | | — | | | | | |
Forward foreign currency contracts | | | — | | | | — | | | | (457 | ) | | | | |
Foreign currency translations | | | 47,516 | | | | 34,169 | | | | 27,695 | | | | | |
| | | | | | | | | | | | | | | | |
Net Realized Gain (Loss) | | | 38,985,012 | | | | 13,688,826 | | | | (15,078,299 | ) | | | | |
| | | | | | | | | | | | | | | | |
Change in Net Unrealized Appreciation (Depreciation) from: | | | | | | | | | | | | | | | | |
| | | | |
Unaffiliated investments | | | (100,735,759 | ) | | | (46,207,178 | ) | | | (73,754,462 | ) | | | | |
Affiliated investments | | | (312,389 | ) | | | — | | | | — | | | | | |
Futures contracts | | | 528,939 | | | | 174,899 | | | | 114,585 | | | | | |
Options contracts written | | | — | | | | — | | | | — | | | | | |
Swap contracts | | | — | | | | — | | | | — | | | | | |
Forward foreign currency contracts | | | — | | | | — | | | | — | | | | | |
Foreign currency translations | | | 4 | | | | 737 | | | | (109,526 | ) | | | | |
| | | | | | | | | | | | | | | | |
Change in Net Unrealized Appreciation (Depreciation): | | | (100,519,205 | ) | | | (46,031,542 | ) | | | (73,749,403 | ) | | | | |
| | | | | | | | | | | | | | | | |
Net Gain (Loss) on Investments, Futures Contracts, Options Contracts Written, Forward Sale Commitments, Swap Contracts, Forward Foreign Currency Contracts and Foreign Currency Translations | | | (61,534,193 | ) | | | (32,342,716 | ) | | | (88,827,702 | ) | | | | |
| | | | | | | | | | | | | | | | |
Total Increase (Decrease) in Net Assets from Operations | | $ | (49,746,754 | ) | | $ | (31,065,287 | ) | | $ | (79,027,346 | ) | | | | |
| | | | | | | | | | | | | | | | |
| (a) | Includes foreign capital gains tax of $66 and $2,687 for International Equity Fund and Emerging Markets Equity Fund, respectively. |
| (b) | Net increase in accrued foreign capital gains taxes of $109,187 for Emerging Markets Equity Fund. |
See Notes to Financial Statements.
264
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | Emerging
Markets
Equity Fund | | | Core Fixed
Income
Fund | | | High Yield
Fund | | | International
Fixed Income
Fund | | | Municipal
Bond
Fund | | | Inflation-Linked
Fixed Income
Fund | | | Ultra-Short Term
Fixed Income
Fund | | | Alternative
Strategies
Fund | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | | $ | 4,750,835 | | | $ | 4,006 | | | $ | 18,893 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 252,921 | |
| | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | 142,370 | | | | 14,817,067 | | | | 1,681,772 | | | | 1,899,223 | | | | 1,021,021 | | | | 1,521,244 | | | | 8,049,343 | | | | — | |
| | | | | — | | | | 26,277 | | | | — | | | | — | | | | — | | | | — | | | | 216 | | | | — | |
| | | | | 58,658 | | | | 1,523 | | | | 4,029 | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | (486,886 | ) | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 4,464,977 | | | | 14,848,873 | | | | 1,704,694 | | | | 1,899,223 | | | | 1,021,021 | | | | 1,521,244 | | | | 8,049,559 | | | | 252,921 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | | | 2,129,819 | | | | 1,691,182 | | | | 191,527 | | | | 351,927 | | | | 124,411 | | | | 578,540 | | | | 1,259,564 | | | | 59,832 | |
| | | | | 30,473 | | | | 52,495 | | | | 3,259 | | | | 9,820 | | | | 4,126 | | | | 15,491 | | | | 31,760 | | | | 1,238 | |
| | | | | 286,912 | | | | 397,051 | | | | 99,019 | | | | 180,577 | | | | 50,534 | | | | 98,625 | | | | 138,431 | | | | 37,639 | |
| | | | | 42,019 | | | | 70,058 | | | | 3,379 | | | | 12,592 | | | | 5,005 | | | | 19,609 | | | | 40,799 | | | | 525 | |
| | | | | 75,509 | | | | 79,264 | | | | 2,642 | | | | 57,445 | | | | 2,433 | | | | 95,195 | | | | 113,237 | | | | 2,439 | |
| | | | | 10,227 | | | | 16,632 | | | | 2,918 | | | | 2,663 | | | | 1,331 | | | | 4,540 | | | | 8,586 | | | | 85 | |
| | | | | 61,909 | | | | 53,409 | | | | 26,323 | | | | 54,294 | | | | 25,068 | | | | 41,786 | | | | 25,384 | | | | 9,731 | |
| | | | | 15,836 | | | | 27,667 | | | | 683 | | | | 2,899 | | | | 1,203 | | | | 5,125 | | | | 15,543 | | | | 1,164 | |
| | | | | 16,666 | | | | 16,537 | | | | 10,023 | | | | 10,179 | | | | 8,880 | | | | 14,976 | | | | 18,712 | | | | 1,591 | |
| | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 18,142 | |
| | | | | 4,012 | | | | 10,183 | | | | 732 | | | | 12,986 | | | | 783 | | | | 3,662 | | | | 7,825 | | | | 449 | |
| | | | | — | | | | 1,180 | | | | — | | | | 106,249 | | | | — | | | | 643,047 | | | | 681,573 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 2,673,382 | | | | 2,415,658 | | | | 340,505 | | | | 801,631 | | | | 223,774 | | | | 1,520,596 | | | | 2,341,414 | | | | 132,835 | |
| | | | | (737,281 | ) | | | (72,811 | ) | | | (55,172 | ) | | | (35,652 | ) | | | — | | | | (58,822 | ) | | | (128,969 | ) | | | (64,948 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 1,936,101 | | | | 2,342,847 | | | | 285,333 | | | | 765,979 | | | | 223,774 | | | | 1,461,774 | | | | 2,212,445 | | | | 67,887 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | 2,528,876 | | | $ | 12,506,026 | | | $ | 1,419,361 | | | $ | 1,133,244 | | | $ | 797,247 | | | $ | 59,470 | | | $ | 5,837,114 | | | $ | 185,034 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | | $ | (7,381,676 | )(a) | | $ | (1,025,000 | ) | | $ | (419,632 | ) | | $ | (289,721 | ) | | $ | 95,549 | | | $ | (1,623,948 | ) | | $ | 608,334 | | | $ | (130,569 | ) |
| | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | (186,205 | ) | | | 124,534 | | | | — | | | | (562,480 | ) | | | (27 | ) | | | (211,572 | ) | | | (2,507,292 | ) | | | — | |
| | | | | — | | | | 1,762,421 | | | | — | | | | 150,175 | | | | — | | | | 129,070 | | | | — | | | | — | |
| | | | | — | | | | — | | | | — | | | | 10,230 | | | | — | | | | (2,078 | ) | | | (22,004 | ) | | | — | |
| | | | | — | | | | 144,554 | | | | — | | | | 494,623 | | | | — | | | | (52,748 | ) | | | (486,986 | ) | | | — | |
| | | | | — | | | | (2,400 | ) | | | — | | | | 2,010,777 | | | | — | | | | 837,156 | | | | 895,850 | | | | — | |
| | | | | (49,261 | ) | | | 15,994 | | | | — | | | | (518,451 | ) | | | — | | | | (68,047 | ) | | | 39,842 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | (7,617,142 | ) | | | 1,020,103 | | | | (419,632 | ) | | | 1,295,153 | | | | 95,522 | | | | (992,167 | ) | | | (1,472,256 | ) | | | (130,569 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | | | 11,302,858 | (b) | | | 4,369,872 | | | | (527,808 | ) | | | 699,756 | | | | 746,640 | | | | 1,078,226 | | | | 494,665 | | | | 41,580 | |
| | | | | — | | | | 11,254 | | | | — | | | | — | | | | — | | | | — | | | | 2,161 | | | | — | |
| | | | | 150,292 | | | | (289,117 | ) | | | — | | | | 621,758 | | | | 13,750 | | | | (179,388 | ) | | | 794,793 | | | | — | |
| | | | | — | | | | (20,467 | ) | | | — | | | | 2,571 | | | | — | | | | 12,375 | | | | — | | | | — | |
| | | | | — | | | | 87,788 | | | | — | | | | (1,149,643 | ) | | | — | | | | 134,869 | | | | (535,560 | ) | | | — | |
| | | | | — | | | | 512,901 | | | | — | | | | 692,898 | | | | — | | | | (939,872 | ) | | | 168,760 | | | | — | |
| | | | | 21,758 | | | | 7,129 | | | | — | | | | (408,967 | ) | | | — | | | | 23,130 | | | | (90,193 | ) | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 11,474,908 | | | | 4,679,360 | | | | (527,808 | ) | | | 458,373 | | | | 760,390 | | | | 129,340 | | | | 834,626 | | | | 41,580 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | | | 3,857,766 | | | | 5,699,463 | | | | (947,440 | ) | | | 1,753,526 | | | | 855,912 | | | | (862,827 | ) | | | (637,630 | ) | | | (88,989 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | 6,386,642 | | | $ | 18,205,489 | | | $ | 471,921 | | | $ | 2,886,770 | | | $ | 1,653,159 | | | $ | (803,357 | ) | | $ | 5,199,484 | | | $ | 96,045 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
265
| | |
| | | |
| Statements of Changes in Net Assets | | |
| | |
| For the Six Months Ended February 28, 2019 (unaudited) and Year Ended August 31, 2018 |
| | | | | | | | | | | | | | | | | | | | |
| | | Large Cap Equity Fund | | | Small-Mid Cap Equity Fund | | | | |
| | | 2019 | | | 2018 | | | 2019 | | | 2018 | | | | |
| OPERATIONS: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income | | $ | 11,787,439 | | | $ | 22,321,653 | | | $ | 1,277,429 | | | $ | 2,980,795 | | | | | |
Net realized gain (loss) | | | 38,985,012 | | | | 172,845,327 | | | | 13,688,826 | | | | 80,126,956 | | | | | |
Change in unrealized appreciation (depreciation) | | | (100,519,205 | ) | | | 107,631,587 | | | | (46,031,542 | ) | | | 49,982,388 | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Increase (Decrease) in Net Assets from Operations | | | (49,746,754 | ) | | | 302,798,567 | | | | (31,065,287 | ) | | | 133,090,139 | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| DISTRIBUTIONS TO SHAREHOLDERS (NOTE 1): | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Distributable earnings | | | (178,205,387 | ) | | | (79,134,937 | )* | | | (61,098,943 | ) | | | (24,675,020 | )* | | | | |
Tax return of capital | | | — | | | | — | | | | — | | | | — | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Decrease in Net Assets from Distributions to Shareholders | | | (178,205,387 | ) | | | (79,134,937 | ) | | | (61,098,943 | ) | | | (24,675,020 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | |
| FUND SHARE TRANSACTIONS (NOTE 4): | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net proceeds from sale of shares | | | 100,482,905 | | | | 220,015,930 | | | | 40,350,062 | | | | 104,187,172 | | | | | |
Reinvestment of distributions | | | 178,200,572 | | | | 79,132,993 | | | | 61,098,668 | | | | 24,674,928 | | | | | |
Cost of shares repurchased | | | (191,802,627 | ) | | | (473,065,474 | ) | | | (58,597,142 | ) | | | (390,950,259 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | |
Increase (Decrease) in Net Assets from Fund Share Transactions | | | 86,880,850 | | | | (173,916,551 | ) | | | 42,851,588 | | | | (262,088,159 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | |
Increase (Decrease) in Net Assets | | | (141,071,291 | ) | | | 49,747,079 | | | | (49,312,642 | ) | | | (153,673,040 | ) | | | | |
| NET ASSETS: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Beginning of year/period | | | 1,736,533,138 | | | | 1,686,786,059 | | | | 520,398,818 | | | | 674,071,858 | | | | | |
| | | | | | | | | | | | | | | | | | | | |
End of year | | $ | 1,595,461,847 | | | $ | 1,736,533,138 | † | | $ | 471,086,176 | | | $ | 520,398,818 | † | | | | |
| | | | | | | | | | | | | | | | | | | | |
The following information was previously reported in the August 31, 2018 financial statements. The distribution information for the year ended August 31, 2018 presented on the Statements of Changes in Net Assets is presented for comparative purposes to the financial statements for the six months ended February 28, 2019, which conform to the Securities Exchange Commission’s Final Rule on Disclosure Update and Simplification which was effective November 5, 2018. * Distributions to Shareholders for the year ended August 31, 2018 were as follows: | |
| | | | | | Large Cap
Equity Fund | | | | | | Small-Mid Cap
Equity Fund | | | | |
| | | | | | 2018 | | | | | | 2018 | | | | |
Net investment income | | | | | | $ | (21,359,060 | ) | | | | | | $ | (1,094,809 | ) | | | | |
Net realized gains | | | | | | $ | (57,775,877 | ) | | | | | | $ | (23,580,211 | ) | | | | |
† Undistributed net investment income for the year ended August 31, 2018 were as follows: | | | | | | $ | 12,112,827 | | | | | | | $ | 2,906,926 | | | | | |
See Notes to Financial Statements.
266
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | International Equity Fund | | | Emerging Markets Equity Fund | | | Core Fixed Income Fund | | | High Yield Fund | |
| | | | 2019 | | | 2018 | | | 2019 | | | 2018 | | | 2019 | | | 2018 | | | 2019 | | | 2018 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | | $ | 9,800,356 | | | $ | 31,279,024 | | | $ | 2,528,876 | | | $ | 7,229,954 | | | $ | 12,506,026 | | | $ | 19,611,648 | | | $ | 1,419,361 | | | $ | 5,527,550 | |
| | | | | (15,078,299 | ) | | | 65,579,169 | | | | (7,617,142 | ) | | | 18,505,790 | | | | 1,020,103 | | | | (8,277,996 | ) | | | (419,632 | ) | | | 2,800,897 | |
| | | | | (73,749,403 | ) | | | (62,778,263 | ) | | | 11,474,908 | | | | (53,729,979 | ) | | | 4,679,360 | | | | (21,354,412 | ) | | | (527,808 | ) | | | (4,428,567 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | (79,027,346 | ) | | | 34,079,930 | | | | 6,386,642 | | | | (27,994,235 | ) | | | 18,205,489 | | | | (10,020,760 | ) | | | 471,921 | | | | 3,899,880 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | | | (31,325,356 | ) | | | (21,730,393 | )* | | | (7,592,456 | ) | | | (6,507,933 | )* | | | (13,136,209 | ) | | | (21,361,519 | )* | | | (1,485,619 | ) | | | (5,677,244 | )* |
| | | | | — | | | | — | | | | — | | | | — | | | | — | | | | (619,911 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | (31,325,356 | ) | | | (21,730,393 | ) | | | (7,592,456 | ) | | | (6,507,933 | ) | | | (13,136,209 | ) | | | (21,981,430 | ) | | | (1,485,619 | ) | | | (5,677,244 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | | | 135,743,806 | | | | 590,554,489 | | | | 38,494,460 | | | | 131,641,530 | | | | 64,696,022 | | | | 302,094,146 | | | | 6,603,639 | | | | 25,831,513 | |
| | | | | 31,325,332 | | | | 21,730,372 | | | | 7,592,437 | | | | 6,507,915 | | | | 13,136,282 | | | | 21,984,592 | | | | 1,485,785 | | | | 5,678,670 | |
| | | | | (142,706,498 | ) | | | (192,189,924 | ) | | | (43,195,388 | ) | | | (93,562,827 | ) | | | (100,840,121 | ) | | | (135,236,482 | ) | | | (11,207,532 | ) | | | (143,948,790 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 24,362,640 | | | | 420,094,937 | | | | 2,891,509 | | | | 44,586,618 | | | | (23,007,817 | ) | | | 188,842,256 | | | | (3,118,108 | ) | | | (112,438,607 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | (85,990,062 | ) | | | 432,444,474 | | | | 1,685,695 | | | | 10,084,450 | | | | (17,938,537 | ) | | �� | 156,840,066 | | | | (4,131,806 | ) | | | (114,215,971 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | | | 1,676,535,502 | | | | 1,244,091,028 | | | | 497,766,393 | | | | 487,681,943 | | | | 866,917,811 | | | | 710,077,745 | | | | 58,463,346 | | | | 172,679,317 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | 1,590,545,440 | | | $ | 1,676,535,502 | † | | $ | 499,452,088 | | | $ | 497,766,393 | † | | $ | 848,979,274 | | | $ | 866,917,811 | † | | $ | 54,331,540 | | | $ | 58,463,346 | † |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | | | | | International
Equity Fund | | | | | | Emerging
Markets
Equity Fund | | | | | | Core Fixed
Income Fund | | | | | | High Yield
Fund | |
| | | | | | | 2018 | | | | | | 2018 | | | | | | 2018 | | | | | | 2018 | |
| | | | | | | | $ | (21,730,393 | ) | | | | | | $ | (6,507,933 | ) | | | | | | $ | (21,361,519 | ) | | | | | | $ | (5,677,244 | ) |
| | | | | | | | $ | — | | | | | | | $ | — | | | | | | | $ | — | | | | | | | $ | — | |
| | | | | | | | |
| | | | | | | | $ | 31,326,592 | | | | | | | $ | 6,153,503 | | | | | | | $ | 264,111 | | | | | | | $ | 1,166,148 | |
See Notes to Financial Statements.
267
| | |
| | | |
| Statements of Changes in Net Assets | | |
| | |
| For the Six Months Ended February 28, 2019 (unaudited) and Year Ended August 31, 2018 |
| | | | | | | | | | | | | | | | | | | | |
| | | International Fixed Income Fund | | | Municipal Bond Fund | | | | |
| | | 2019 | | | 2018 | | | 2019 | | | 2018 | | | | |
| OPERATIONS: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income (loss) | | $ | 1,133,244 | | | $ | 2,591,102 | | | $ | 797,247 | | | $ | 1,582,831 | | | | | |
Net realized gain (loss) | | | 1,295,153 | | | | 1,288,073 | | | | 95,522 | | | | 320,471 | | | | | |
Change in unrealized appreciation (depreciation) | | | 458,373 | | | | (574,567 | ) | | | 760,390 | | | | (2,058,138 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | |
Increase (Decrease) in Net Assets from Operations | | | 2,886,770 | | | | 3,304,608 | | | | 1,653,159 | | | | (154,836 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | |
| DISTRIBUTIONS TO SHAREHOLDERS (NOTE 1): | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Distributable earnings | | | (4,871,339 | ) | | | (1,759,541 | )* | | | (974,282 | ) | | | (1,581,149 | )* | | | | |
| | | | | | | | | | | | | | | | | | | | |
Decrease in Net Assets from Distributions to Shareholders | | | (4,871,339 | ) | | | (1,759,541 | ) | | | (974,282 | ) | | | (1,581,149 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | |
| FUND SHARE TRANSACTIONS (NOTE 4): | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net proceeds from sale of shares | | | 9,377,984 | | | | 26,110,756 | | | | 10,433,483 | | | | 14,408,545 | | | | | |
Reinvestment of distributions | | | 4,871,339 | | | | 1,759,541 | | | | 974,263 | | | | 1,580,926 | | | | | |
Cost of shares repurchased | | | (16,349,268 | ) | | | (32,621,820 | ) | | | (13,087,520 | ) | | | (8,566,766 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | |
Increase (Decrease) in Net Assets from Fund Share Transactions | | | (2,099,945 | ) | | | (4,751,523 | ) | | | (1,679,774 | ) | | | 7,422,705 | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Increase (Decrease) in Net Assets | | | (4,084,514 | ) | | | (3,206,456 | ) | | | (1,000,897 | ) | | | 5,686,720 | | | | | |
| NET ASSETS: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Beginning of year/period | | | 144,596,669 | | | | 147,803,125 | | | | 63,624,030 | | | | 57,937,310 | | | | | |
| | | | | | | | | | | | | | | | | | | | |
End of year/period | | $ | 140,512,155 | | | $ | 144,596,669 | † | | $ | 62,623,133 | | | $ | 63,624,030 | † | | | | |
| | | | | | | | | | | | | | | | | | | | |
The following information was previously reported in the August 31, 2018 financial statements. The distribution information for the year ended August 31, 2018 presented on the Statements of Changes in Net Assets is presented for comparative purposes to the financial statements for the six months ended February 28, 2019, which conform to the Securities Exchange Commission’s Final Rule on Disclosure Update and Simplification which was effective November 5, 2018. * Distributions to Shareholders for the year/period ended August 31, 2018 were as follows: | |
| | | | | | International
Fixed Income
Fund | | | | | | Municipal
Bond Fund | | | | |
| | | | | | 2018 | | | | | | 2018 | | | | |
Net investment income | | | | | | $ | (1,759,541 | ) | | | | | | $ | (1,581,149 | ) | | | | |
† Undistributed net investment income for the year/period ended August 31, 2018 were as follows: | | | | | | $ | 3,325,292 | | | | | | | $ | 420,955 | | | | | |
(a) The period from Fund inception (February 15, 2018) through the period ended August 31, 2018. | |
See Notes to Financial Statements.
268
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | Inflation-Linked Fixed Income Fund | | | Ultra-Short Term Fixed Income Fund | | | Alternative Strategies Fund | |
| | | | 2019 | | | 2018 | | | 2019 | | | 2018 | | | 2019 | | | 2018(a) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | | | $ | 59,470 | | | $ | 6,695,369 | | | $ | 5,837,114 | | | $ | 6,991,652 | | | $ | 185,034 | | | $ | (16,932 | ) |
| | | | | (992,167 | ) | | | (489,734 | ) | | | (1,472,256 | ) | | | 1,532,766 | | | | (130,569 | ) | | | (2,981 | ) |
| | | | | 129,340 | | | | (4,729,345 | ) | | | 834,626 | | | | (810,625 | ) | | | 41,580 | | | | 25,187 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | (803,357 | ) | | | 1,476,290 | | | | 5,199,484 | | | | 7,713,793 | | | | 96,045 | | | | 5,274 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | | | | (2,440,193 | ) | | | (7,721,464 | )* | | | (6,810,070 | ) | | | (8,446,300 | )* | | | (95,504 | ) | | | — | * |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | (2,440,193 | ) | | | (7,721,464 | ) | | | (6,810,070 | ) | | | (8,446,300 | ) | | | (95,504 | ) | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | | | | 16,416,299 | | | | 91,224,733 | | | | 50,339,707 | | | | 274,391,020 | | | | 11,380,977 | | | | 5,854,954 | |
| | | | | 2,440,394 | | | | 7,722,192 | | | | 6,811,517 | | | | 8,446,487 | | | | 95,504 | | | | — | |
| | | | | (24,557,194 | ) | | | (43,271,943 | ) | | | (56,711,661 | ) | | | (50,699,785 | ) | | | (3,795,052 | ) | | | (131,167 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | (5,700,501 | ) | | | 55,674,982 | | | | 439,563 | | | | 232,137,722 | | | | 7,681,429 | | | | 5,723,787 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | (8,944,051 | ) | | | 49,429,808 | | | | (1,171,023 | ) | | | 231,405,215 | | | | 7,681,970 | | | | 5,729,061 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | | | | 239,918,450 | | | | 190,488,642 | | | | 507,135,430 | | | | 275,730,215 | | | | 5,729,061 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | 230,974,399 | | | $ | 239,918,450 | † | | $ | 505,964,407 | | | $ | 507,135,430 | † | | $ | 13,411,031 | | | $ | 5,729,061 | † |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | | | | | | Inflation-Linked
Fixed Income
Fund | | | | | | Ultra-Short
Term Fixed
Income Fund | | | | | | Alternative
Strategies
Fund | |
| | | | | | | 2018 | | | | | | 2018 | | | | | | 2018(a) | |
| | | | | | | | $ | (7,721,464 | ) | | | | | | $ | (8,446,300 | ) | | | | | | $ | — | |
| | | | | | | | $ | 395,911 | | | | | | | $ | 793,633 | | | | | | | $ | — | |
| |
| | | | | | |
See Notes to Financial Statements.
269
| | |
| For the Six Months Ended February 28, 2019 (unaudited) | | |
| | | | | | | | |
| | | International Fixed
Income Fund | | | Inflation-Linked Fixed
Income Fund | |
Cash Flows Provided by/Used in Operating Activities: | | | | | | | | |
Net increase/decrease in net assets from operations | | $ | 2,886,770 | | | $ | (803,357 | ) |
Adjustments to reconcile net increase/decrease in net assets from operations to net cash and foreign currency provided by/used in operating activities: | | | | | | | | |
Purchases of long-term investments | | | (210,448,235 | ) | | | (109,787,980 | ) |
Proceeds from the sale and maturity of long-term investments | | | 212,735,702 | | | | 111,827,782 | |
Proceeds from short-term investments, net | | | 8,611,495 | | | | 1,497,150 | |
Increase to the principal amount of inflation-indexed bonds | | | 25,764 | | | | 699,054 | |
Change in net unrealized appreciation/depreciation from unaffiliated investments | | | (699,756 | ) | | | (1,078,226 | ) |
Change in net unrealized appreciation/depreciation from option contracts written | | | (2,571 | ) | | | (12,375 | ) |
Change in net unrealized appreciation/depreciation from OTC swap contracts | | | 160,860 | | | | 33,797 | |
Increase/Decrease in variation margin on centrally cleared swap contracts | | | 122,963 | | | | (152,535 | ) |
Net amortization (accretion) of premiums (discounts) of investments | | | 52,768 | | | | (309,961 | ) |
Net realized loss from unaffiliated investments | | | 289,721 | | | | 1,623,948 | |
Increase/Decrease in premium received on written options | | | (5,901 | ) | | | 114,867 | |
Increase in variation margin on futures contracts | | | (56,208 | ) | | | (62,847 | ) |
Increase/Decrease in receivable for securities sold | | | (96,949 | ) | | | 778,113 | |
Increase in receivable for TBA securities sold | | | (7,160,789 | ) | | | (56,397 | ) |
Decrease in dividends and interest receivable from unaffiliated investments | | | 7,483 | | | | 74,101 | |
Increase/Decrease in deposits for collateral with counterparty | | | 268,000 | | | | (182,000 | ) |
Increase/Decrease in net upfront payments received/paid on OTC swap contracts | | | 29,888 | | | | (64,109 | ) |
Increase in prepaid expenses | | | (4,349 | ) | | | (17,566 | ) |
Decrease in unrealized appreciation on open forward foreign currency contracts | | | 130,405 | | | | 1,029,755 | |
Increase/Decrease in payable for securities purchased | | | (1,530,891 | ) | | | 2,700,151 | |
Increase/Decrease in payable for TBA securities purchased | | | 7,490,567 | | | | (4,383,169 | ) |
Decrease in payable for forward sale commitments | | | — | | | | (5,775 | ) |
Increase/Decrease in deposits for collateral from counterparty | | | 250,000 | | | | (940,000 | ) |
Decrease in investment management fee payable | | | (6,755 | ) | | | (11,789 | ) |
Decrease in interest expense payable | | | (13,230 | ) | | | (46,766 | ) |
Decrease in custody fee payable | | | (66,043 | ) | | | (29,131 | ) |
Increase/Decrease in transfer agent fees payable | | | (487 | ) | | | 141 | |
Decrease in unrealized depreciation on open forward foreign currency contracts | | | (823,303 | ) | | | (89,883 | ) |
Increase in accrued expenses | | | 3,443 | | | | 8,405 | |
| | | | | | | | |
Net cash and foreign currency provided by operating activities | | | 12,150,362 | | | | 2,353,398 | |
| | | | | | | | |
| | |
Cash Flows Provided by/Used in Financing Activities | | | | | | | | |
Payments on/Proceeds from reverse repurchase agreements | | | (5,284,810 | ) | | | 4,683,597 | |
Proceeds from sale of shares | | | 9,468,668 | | | | 16,490,268 | |
Cost of shares repurchased | | | (16,355,420 | ) | | | (24,715,464 | ) |
| | | | | | | | |
Net cash and foreign currency used in financing activities | | | (12,171,562 | ) | | | (3,541,599 | ) |
| | | | | | | | |
Net decrease in cash and foreign currency (a) | | | (21,200 | ) | | | (1,188,201 | ) |
| | | | | | | | |
| | |
Cash and Foreign Currency: | | | | | | | | |
Cash and foreign currency at beginning of the period | | | 116,590 | | | | 1,512,020 | |
| | | | | | | | |
Cash and foreign currency at end of the period | | $ | 95,390 | | | $ | 323,819 | |
| | | | | | | | |
| | |
Non-Cash Financing Activities: | | | | | | | | |
Reinvestment of distributions | | $ | 4,871,339 | | | $ | 2,440,394 | |
| | | | | | | | |
| (a) | Includes net change in unrealized appreciation (depreciation) on foreign currency of $8,874 and $27,173 for International Fixed Income Fund andInflation-Linked Fixed Income Fund, respectively. |
See Notes to Financial Statements.
270
For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| Large Cap Equity Fund | | | | | | | | | | | | | | | | | | |
| | | 2019(1) | | | 2018 | | | 2017 | | | 2016 | | | 2015 | | | 2014 | |
Net Asset Value, Beginning of Period | | $ | 21.31 | | | $ | 18.76 | | | $ | 17.06 | | | $ | 20.63 | | | $ | 22.19 | | | $ | 19.29 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | 0.14 | | | | 0.26 | | | | 0.25 | | | | 0.19 | | | | 0.08 | | | | 0.07 | |
Net realized and unrealized gain (loss) | | | (0.85 | ) | | | 3.18 | | | | 2.05 | | | | 1.15 | | | | 0.87 | | | | 4.47 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Income (Loss) from Operations | | | (0.71 | ) | | | 3.44 | | | | 2.30 | | | | 1.34 | | | | 0.95 | | | | 4.54 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Less Distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.34 | ) | | | (0.24 | ) | | | (0.27 | ) | | | (0.11 | ) | | | (0.07 | ) | | | (0.11 | ) |
Net realized gain | | | (1.90 | ) | | | (0.65 | ) | | | (0.33 | ) | | | (4.80 | ) | | | (2.44 | ) | | | (1.53 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (2.24 | ) | | | (0.89 | ) | | | (0.60 | ) | | | (4.91 | ) | | | (2.51 | ) | | | (1.64 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | $ | 18.36 | | | $ | 21.31 | | | $ | 18.76 | | | $ | 17.06 | | | $ | 20.63 | | | $ | 22.19 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Return†(3) | | | (2.61 | )%(7) | | | 18.89 | % | | | 13.86 | % | | | 7.08 | % | | | 4.39 | %(4) | | | 24.35 | % |
Net Assets, End of Period (millions) | | $ | 1,595 | | | $ | 1,737 | | | $ | 1,687 | | | $ | 1,709 | | | $ | 1,353 | | | $ | 1,780 | |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | 0.69 | %(5) | | | 0.69 | % | | | 0.69 | % | | | 0.69 | % | | | 0.68 | % | | | 0.67 | % |
Net expenses(6) | | | 0.48 | (5) | | | 0.48 | | | | 0.48 | | | | 0.56 | | | | 0.68 | | | | 0.67 | |
Net investment income | | | 1.50 | (5) | | | 1.29 | | | | 1.40 | | | | 1.10 | | | | 0.36 | | | | 0.33 | |
Portfolio Turnover Rate | | | 7 | %(7) | | | 29 | % | | | 18 | % | | | 105 | % | | | 66 | % | | | 56 | % |
| (1) | For the six months ended February 28, 2019 (unaudited). |
| (2) | Per share amounts have been calculated using the average shares method. |
| (3) | Performance figures may reflect fee waivers and/or expense reimbursements and assume reinvestment of dividend distribution. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. Applicable advisory program charges, which may be up to 2.50%, are not reflected in the performance data and would reduce the total returns. Past performance is no guarantee of future results. Effective October 1, 2018, the new advisory program charge is 2.00%. |
| (4) | The Manager contributed anon-recourse voluntary reimbursement to Large Cap Equity Fund. The effect of the reimbursement is reflected in the Fund’s total return above. Without this reimbursement, the impact was less than 0.005% to the total return for Large Cap Equity Fund. |
| (6) | Reflects fee waivers and/or expense reimbursements. |
| † | The net asset value and total return include adjustments in accordance with accounting principles generally accepted in the United States of America for financial reporting purposes. As such, the net asset value and total return for shareholder transactions may differ from financial statements. |
See Notes to Financial Statements.
271
For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| Small-Mid Cap Equity Fund | | | | | | | | | | | | | | | | | | |
| | | 2019(1) | | | 2018 | | | 2017 | | | 2016 | | | 2015 | | | 2014 | |
Net Asset Value, Beginning of Period | | $ | 23.06 | | | $ | 19.53 | | | $ | 17.40 | | | $ | 24.39 | | | $ | 28.53 | | | $ | 25.22 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss)(2) | | | 0.05 | | | | 0.10 | | | | 0.10 | | | | 0.05 | | | | (0.12 | ) | | | (0.12 | ) |
Net realized and unrealized gain (loss) | | | (1.64 | ) | | | 4.14 | | | | 2.39 | | | | (1.22 | ) | | | 1.93 | | | | 4.36 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Income (Loss) from Operations | | | (1.59 | ) | | | 4.24 | | | | 2.49 | | | | (1.17 | ) | | | 1.81 | | | | 4.24 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Less Distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.10 | ) | | | (0.03 | ) | | | (0.06 | ) | | | — | | | | — | | | | — | |
Net realized gain | | | (2.65 | ) | | | (0.68 | ) | | | (0.30 | ) | | | (5.82 | ) | | | (5.95 | ) | | | (0.93 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (2.75 | ) | | | (0.71 | ) | | | (0.36 | ) | | | (5.82 | ) | | | (5.95 | ) | | | (0.93 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | $ | 18.72 | | | $ | 23.06 | | | $ | 19.53 | | | $ | 17.40 | | | $ | 24.39 | | | $ | 28.53 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Return†(3) | | | (5.65 | )%(7) | | | 22.17 | % | | | 14.49 | % | | | (5.51 | )% | | | 7.36 | %(4) | | | 16.91 | % |
Net Assets, End of Period (millions) | | $ | 471 | | | $ | 520 | | | $ | 674 | | | $ | 475 | | | $ | 229 | | | $ | 296 | |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | 0.95 | %(5) | | | 0.92 | % | | | 0.94 | % | | | 0.99 | % | | | 0.93 | % | | | 0.92 | % |
Net expenses(6) | | | 0.64 | (5) | | | 0.61 | | | | 0.63 | | | | 0.79 | | | | 0.93 | | | | 0.92 | |
Net investment income (loss) | | | 0.56 | (5) | | | 0.47 | | | | 0.52 | | | | 0.28 | | | | (0.45 | ) | | | (0.42 | ) |
Portfolio Turnover Rate | | | 16 | %(7) | | | 34 | % | | | 34 | % | | | 151 | % | | | 89 | % | | | 80 | % |
| (1) | For the six months ended February 28, 2019 (unaudited). |
| (2) | Per share amounts have been calculated using the average shares method. |
| (3) | Performance figures may reflect fee waivers and/or expense reimbursements and assume reinvestment of dividend distribution. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. Applicable advisory program charges, which may be up to 2.50%, are not reflected in the performance data and would reduce the total returns. Past performance is no guarantee of future results. Effective October 1, 2018, the new advisory program charge is 2.00%. |
| (4) | The Manager contributed anon-recourse voluntary reimbursement toSmall-Mid Cap Equity Fund. The effect of the reimbursement is reflected in the Fund’s total return above. Without this reimbursement, the total return forSmall-Mid Cap Equity Fund was 7.27%. |
| (6) | Reflects fee waivers and/or expense reimbursements. |
| † | The net asset value and total return include adjustments in accordance with accounting principles generally accepted in the United States of America for financial reporting purposes. As such, the net asset value and total return for shareholder transactions may differ from financial statements. |
See Notes to Financial Statements.
272
For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| International Equity Fund | | | | | | | | | | | | | | | | | | |
| | | 2019(1) | | | 2018 | | | 2017 | | | 2016 | | | 2015 | | | 2014 | |
Net Asset Value, Beginning of Period | | $ | 12.64 | | | $ | 12.34 | | | $ | 10.83 | | | $ | 10.91 | | | $ | 12.03 | | | $ | 10.92 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | 0.07 | | | | 0.27 | | | | 0.24 | | | | 0.21 | | | | 0.21 | | | | 0.22 | |
Net realized and unrealized gain (loss) | | | (0.66 | ) | | | 0.24 | | | | 1.56 | | | | (0.10 | ) | | | (1.13 | ) | | | 1.03 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Income (Loss) from Operations | | | (0.59 | ) | | | 0.51 | | | | 1.80 | | | | 0.11 | | | | (0.92 | ) | | | 1.25 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Less Distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.24 | ) | | | (0.21 | ) | | | (0.29 | ) | | | (0.19 | ) | | | (0.20 | ) | | | (0.14 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | $ | 11.81 | | | $ | 12.64 | | | $ | 12.34 | | | $ | 10.83 | | | $ | 10.91 | | | $ | 12.03 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Return†(3) | | | (4.56 | )%(7) | | | 4.15 | % | | | 17.14 | % | | | 0.96 | % | | | (7.68 | )%(4) | | | 11.45 | % |
Net Assets, End of Period (millions) | | $ | 1,591 | | | $ | 1,677 | | | $ | 1,244 | | | $ | 1,122 | | | $ | 1,202 | | | $ | 1,149 | |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | 0.84 | %(5) | | | 0.83 | % | | | 0.83 | % | | | 0.82 | % | | | 0.81 | % | | | 0.81 | % |
Net expenses(6) | | | 0.67 | (5) | | | 0.66 | | | | 0.65 | | | | 0.76 | | | | 0.79 | | | | 0.77 | |
Net investment income | | | 1.27 | (5) | | | 2.07 | | | | 2.15 | | | | 2.02 | | | | 1.80 | | | | 1.83 | |
Portfolio Turnover Rate | | | 14 | %(7) | | | 41 | % | | | 27 | % | | | 64 | % | | | 80 | % | | | 95 | % |
| (1) | For the six months ended February 28, 2019 (unaudited). |
| (2) | Per share amounts have been calculated using the average shares method. |
| (3) | Performance figures may reflect fee waivers and/or expense reimbursements and assume reinvestment of dividend distribution. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. Applicable advisory program charges, which may be up to 2.50%, are not reflected in the performance data and would reduce the total returns. Past performance is no guarantee of future results. Effective October 1, 2018, the new advisory program charge is 2.00%. |
| (4) | The Manager contributed anon-recourse voluntary reimbursement to International Equity Fund. The effect of the reimbursement is reflected in the Fund’s total return above. Without this reimbursement, the total return for International Equity Fund was (7.94)%. |
| (6) | Reflects fee waivers and/or expense reimbursements. |
| † | The net asset value and total return include adjustments in accordance with accounting principles generally accepted in the United States of America for financial reporting purposes. As such, the net asset value and total return for shareholder transactions may differ from financial statements. |
See Notes to Financial Statements.
273
For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:
| | | | | | | | | | | | | | | | | | | | | | | | |
| |
| Emerging Markets Equity Fund | | | | |
| | | 2019(1) | | | 2018 | | | 2017 | | | 2016 | | | 2015 | | | 2014 | |
Net Asset Value, Beginning of Period | | $ | 14.29 | | | $ | 15.33 | | | $ | 12.36 | | | $ | 10.87 | | | $ | 14.54 | | | $ | 13.67 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | 0.07 | | | | 0.22 | | | | 0.20 | | | | 0.13 | | | | 0.17 | | | | 0.20 | |
Net realized and unrealized gain (loss) | | | 0.11 | | | | (1.06 | ) | | | 2.90 | | | | 1.51 | | | | (3.64 | ) | | | 2.36 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Income (Loss) from Operations | | | 0.18 | | | | (0.84 | ) | | | 3.10 | | | | 1.64 | | | | (3.47 | ) | | | 2.56 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Less Distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.22 | ) | | | (0.20 | ) | | | (0.13 | ) | | | (0.15 | ) | | | (0.20 | ) | | | (0.29 | ) |
Net realized gain | | | — | | | | — | | | | — | | | | — | | | | — | | | | (1.40 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.22 | ) | | | (0.20 | ) | | | (0.13 | ) | | | (0.15 | ) | | | (0.20 | ) | | | (1.69 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | $ | 14.25 | | | $ | 14.29 | | | $ | 15.33 | | | $ | 12.36 | | | $ | 10.87 | | | $ | 14.54 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Return†(3) | | | 1.38 | %(6) | | | (5.55 | )% | | | 25.48 | % | | | 15.31 | % | | | (24.08 | )% | | | 19.97 | % |
Net Assets, End of Period (millions) | | $ | 499 | | | $ | 498 | | | $ | 488 | | | $ | 428 | | | $ | 464 | | | $ | 385 | |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | 1.13 | %(4) | | | 1.11 | % | | | 1.14 | % | | | 1.13 | % | | | 1.08 | % | | | 1.09 | % |
Net expenses(5) | | | 0.82 | (4) | | | 0.80 | | | | 0.86 | | | | 0.96 | | | | 0.96 | | | | 0.99 | |
Net investment income | | | 1.07 | (4) | | | 1.42 | | | | 1.51 | | | | 1.15 | | | | 1.34 | | | | 1.49 | |
Portfolio Turnover Rate | | | 8 | %(6) | | | 24 | % | | | 27 | % | | | 99 | % | | | 41 | % | | | 29 | % |
| (1) | For the six months ended February 28, 2019 (unaudited). |
| (2) | Per share amounts have been calculated using the average shares method. |
| (3) | Performance figures may reflect fee waivers and/or expense reimbursements and assume reinvestment of dividend distribution. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. Applicable advisory program charges, which may be up to 2.50%, are not reflected in the performance data and would reduce the total returns. Past performance is no guarantee of future results. Effective October 1, 2018, the new advisory program charge is 2.00%. |
| (5) | Reflects fee waivers and/or expense reimbursements. |
| † | The net asset value and total return include adjustments in accordance with accounting principles generally accepted in the United States of America for financial reporting purposes. As such, the net asset value and total return for shareholder transactions may differ from financial statements. |
See Notes to Financial Statements.
274
For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:
| | | | | | | | | | | | | | | | | | | | | | | | |
| |
| Core Fixed Income Fund | | | | |
| | | 2019(1) | | | 2018 | | | 2017 | | | 2016 | | | 2015 | | | 2014 | |
Net Asset Value, Beginning of Period | | $ | 7.86 | | | $ | 8.19 | | | $ | 8.41 | | | $ | 8.23 | | | $ | 8.44 | | | $ | 8.17 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | 0.11 | | | | 0.20 | | | | 0.19 | | | | 0.20 | | | | 0.17 | | | | 0.18 | |
Net realized and unrealized gain (loss) | | | 0.06 | | | | (0.31 | ) | | | (0.11 | ) | | | 0.27 | | | | (0.06 | ) | | | 0.31 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Income (Loss) from Operations | | | 0.17 | | | | (0.11 | ) | | | 0.08 | | | | 0.47 | | | | 0.11 | | | | 0.49 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Less Distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.12 | ) | | | (0.21 | ) | | | (0.22 | ) | | | (0.23 | ) | | | (0.20 | ) | | | (0.22 | ) |
Tax return of capital | | | — | | | | (0.01 | ) | | | — | | | | — | | | | — | | | | — | |
Net realized gain | | | — | | | | — | | | | (0.08 | ) | | | (0.06 | ) | | | (0.12 | ) | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.12 | ) | | | (0.22 | ) | | | (0.30 | ) | | | (0.29 | ) | | | (0.32 | ) | | | (0.22 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | $ | 7.91 | | | $ | 7.86 | | | $ | 8.19 | | | $ | 8.41 | | | $ | 8.23 | | | $ | 8.44 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Return†(3) | | | 2.20 | %(7) | | | (1.35 | )% | | | 1.07 | % | | | 5.84 | % | | | 1.35 | % | | | 6.10 | % |
Net Assets, End of Period (millions) | | $ | 849 | | | $ | 867 | | | $ | 710 | | | $ | 722 | | | $ | 859 | | | $ | 799 | |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | 0.57 | %(4)(5) | | | 0.57 | % | | | 0.58 | %(4) | | | 0.55 | %(4) | | | 0.54 | %(4) | | | 0.53 | %(4) |
Net expenses(6) | | | 0.55 | (4)(5) | | | 0.56 | | | | 0.56 | (4) | | | 0.54 | (4) | | | 0.55 | (4) | | | 0.53 | (4) |
Net investment income | | | 2.96 | (5) | | | 2.49 | | | | 2.32 | | | | 2.42 | | | | 2.06 | | | | 2.19 | |
Portfolio Turnover Rate | | | 103 | %(7) | | | 253 | % | | | 236 | % | | | 245 | % | | | 326 | % | | | 446 | % |
| (1) | For the six months ended February 28, 2019 (unaudited). |
| (2) | Per share amounts have been calculated using the average shares method. |
| (3) | Performance figures may reflect fee waivers and/or expense reimbursements and assume reinvestment of dividend distribution. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. Applicable advisory program charges, which may be up to 2.50%, are not reflected in the performance data and would reduce the total returns. Past performance is no guarantee of future results. Effective October 1, 2018, the new advisory program charge is 2.00%. |
| (4) | Ratio includes interest expense on forward sale commitments and reverse repurchase agreements which represents less than 0.005%. |
| (6) | Reflects fee waivers and/or expense reimbursements. |
| † | The net asset value and total return include adjustments in accordance with accounting principles generally accepted in the United States of America for financial reporting purposes. As such, the net asset value and total return for shareholder transactions may differ from financial statements. |
See Notes to Financial Statements.
275
For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| High Yield Fund | | | | | | | | | | | | | | | | | | |
| | | 2019(1) | | | 2018 | | | 2017 | | | 2016 | | | 2015 | | | 2014 | |
Net Asset Value, Beginning of Period | | $ | 3.77 | | | $ | 3.86 | | | $ | 3.78 | | | $ | 3.88 | | | $ | 4.41 | | | $ | 4.27 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | 0.09 | | | | 0.20 | | | | 0.22 | | | | 0.23 | | | | 0.24 | | | | 0.24 | |
Net realized and unrealized gain (loss) | | | (0.06 | ) | | | (0.08 | ) | | | 0.10 | | | | (0.09 | ) | | | (0.50 | ) | | | 0.17 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Income (Loss) from Operations | | | 0.03 | | | | 0.12 | | | | 0.32 | | | | 0.14 | | | | (0.26 | ) | | | 0.41 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Less Distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.10 | ) | | | (0.21 | ) | | | (0.24 | ) | | | (0.24 | ) | | | (0.27 | ) | | | (0.27 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | $ | 3.70 | | | $ | 3.77 | | | $ | 3.86 | | | $ | 3.78 | | | $ | 3.88 | | | $ | 4.41 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Return†(3) | | | 0.89 | %(6) | | | 3.20 | % | | | 8.38 | % | | | 4.02 | % | | | (6.14 | )% | | | 9.75 | % |
Net Assets, End of Period (millions) | | $ | 54 | | | $ | 58 | | | $ | 173 | | | $ | 325 | | | $ | 254 | | | $ | 258 | |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | 1.24 | %(4) | | | 1.17 | % | | | 0.95 | % | | | 0.88 | % | | | 0.90 | % | | | 0.92 | % |
Net expenses(5) | | | 1.04 | (4) | | | 0.97 | | | | 0.75 | | | | 0.70 | | | | 0.74 | | | | 0.76 | |
Net investment income | | | 5.19 | (4) | | | 5.27 | | | | 5.65 | | | | 6.21 | | | | 5.74 | | | | 5.53 | |
Portfolio Turnover Rate | | | 20 | %(6) | | | 57 | % | | | 72 | % | | | 64 | % | | | 42 | % | | | 57 | % |
| (1) | For the six months ended February 28, 2019 (unaudited). |
| (2) | Per share amounts have been calculated using the average shares method. |
| (3) | Performance figures may reflect fee waivers and/or expense reimbursements and assume reinvestment of dividend distribution. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. Applicable advisory program charges, which may be up to 2.50%, are not reflected in the performance data and would reduce the total returns. Past performance is no guarantee of future results. Effective October 1, 2018, the new advisory program charge is 2.00%. |
| (5) | Reflects fee waivers and/or expense reimbursements. |
| † | The net asset value and total return include adjustments in accordance with accounting principles generally accepted in the United States of America for financial reporting purposes. As such, the net asset value and total return for shareholder transactions may differ from financial statements. |
See Notes to Financial Statements.
276
For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| International Fixed Income Fund | | | | | | | | | | | | | | | | | | |
| | | 2019(1) | | | 2018 | | | 2017 | | | 2016 | | | 2015 | | | 2014 | |
Net Asset Value, Beginning of Period | | $ | 7.86 | | | $ | 7.78 | | | $ | 7.79 | | | $ | 7.61 | | | $ | 8.04 | | | $ | 8.02 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Income from Operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | 0.06 | | | | 0.14 | | | | 0.14 | | | | 0.13 | | | | 0.13 | | | | 0.16 | |
Net realized and unrealized gain (loss) | | | 0.10 | | | | 0.03 | | | | (0.07 | ) | | | 0.56 | | | | (0.09 | ) | | | 0.40 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Income from Operations | | | 0.16 | | | | 0.17 | | | | 0.07 | | | | 0.69 | | | | 0.04 | | | | 0.56 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Less Distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.27 | ) | | | (0.09 | ) | | | (0.08 | ) | | | (0.51 | ) | | | (0.47 | ) | | | (0.54 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | $ | 7.75 | | | $ | 7.86 | | | $ | 7.78 | | | $ | 7.79 | | | $ | 7.61 | | | $ | 8.04 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Return†(3) | | | 2.10 | %(7) | | | 2.25 | % | | | 0.98 | % | | | 9.56 | % | | | 0.44 | % | | | 7.36 | % |
Net Assets, End of Period (millions) | | $ | 141 | | | $ | 145 | | | $ | 148 | | | $ | 192 | | | $ | 223 | | | $ | 267 | |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | |
Gross expenses(4) | | | 1.14 | %(5) | | | 1.01 | % | | | 1.06 | % | | | 0.87 | % | | | 0.87 | % | | | 0.76 | % |
Net expenses(4) | | | 1.09 | (5)(6) | | | 0.95 | (6) | | | 1.01 | (6) | | | 0.83 | (6) | | | 0.87 | | | | 0.76 | |
Net investment income | | | 1.61 | (5) | | | 1.76 | | | | 1.82 | | | | 1.71 | | | | 1.61 | | | | 2.00 | |
Portfolio Turnover Rate | | | 135 | %(7) | | | 203 | % | | | 268 | % | | | 199 | % | | | 416 | % | | | 397 | % |
| (1) | For the six months ended February 28, 2019 (unaudited). |
| (2) | Per share amounts have been calculated using the average shares method. |
| (3) | Performance figures may reflect fee waivers and/or expense reimbursements and assume reinvestment of dividend distribution. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. Applicable advisory program charges, which may be up to 2.50%, are not reflected in the performance data and would reduce the total returns. Past performance is no guarantee of future results. Effective October 1, 2018, the new advisory program charge is 2.00%. |
| (4) | Ratio includes interest expense on forward sale commitments and reverse repurchase agreements which represents 0.15% (annualized), 0.04%, 0.11%, 0.04%, 0.10% and 0.04%, respectively. |
| (6) | Reflects fee waivers and/or expense reimbursements. |
| † | The net asset value and total return include adjustments in accordance with accounting principles generally accepted in the United States of America for financial reporting purposes. As such, the net asset value and total return for shareholder transactions may differ from financial statements. |
See Notes to Financial Statements.
277
For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:
| | | | | | | | | | | | | | | | | | | | | | | | |
| |
| Municipal Bond Fund | | | | |
| | | 2019(1) | | | 2018 | | | 2017 | | | 2016 | | | 2015 | | | 2014 | |
Net Asset Value, Beginning of Period | | $ | 9.11 | | | $ | 9.37 | | | $ | 9.93 | | | $ | 9.65 | | | $ | 9.76 | | | $ | 9.21 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | 0.12 | | | | 0.24 | | | | 0.27 | | | | 0.28 | | | | 0.28 | | | | 0.29 | |
Net realized and unrealized gain (loss) | | | 0.13 | | | | (0.26 | ) | | | (0.31 | ) | | | 0.30 | | | | (0.06 | ) | | | 0.55 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Income (Loss) from Operations | | | 0.25 | | | | (0.02 | ) | | | (0.04 | ) | | | 0.58 | | | | 0.22 | | | | 0.84 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Less Distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.12 | ) | | | (0.24 | ) | | | (0.27 | ) | | | (0.28 | ) | | | (0.28 | ) | | | (0.29 | ) |
Net realized gain | | | (0.03 | ) | | | — | | | | (0.25 | ) | | | (0.02 | ) | | | (0.05 | ) | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.15 | ) | | | (0.24 | ) | | | (0.52 | ) | | | (0.30 | ) | | | (0.33 | ) | | | (0.29 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | $ | 9.21 | | | $ | 9.11 | | | $ | 9.37 | | | $ | 9.93 | | | $ | 9.65 | | | $ | 9.76 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Return†(3) | | | 2.68 | %(5) | | | (0.21 | )% | | | (0.22 | )% | | | 6.14 | % | | | 2.32 | % | | | 9.24 | % |
Net Assets, End of Period (millions) | | $ | 63 | | | $ | 64 | | | $ | 58 | | | $ | 69 | | | $ | 85 | | | $ | 78 | |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | 0.72 | %(4) | | | 0.72 | % | | | 0.75 | % | | | 0.68 | % | | | 0.66 | % | | | 0.59 | % |
Net expenses | | | 0.72 | (4) | | | 0.72 | | | | 0.75 | | | | 0.68 | | | | 0.66 | | | | 0.59 | |
Net investment income | | | 2.56 | (4) | | | 2.61 | | | | 2.85 | | | | 2.87 | | | | 2.91 | | | | 3.03 | |
Portfolio Turnover Rate | | | 20 | %(5) | | | 18 | % | | | 13 | % | | | 16 | % | | | 8 | % | | | 19 | % |
| (1) | For the six months ended February 28, 2019 (unaudited). |
| (2) | Per share amounts have been calculated using the average shares method. |
| (3) | Performance figures may reflect fee waivers and/or expense reimbursements and assume reinvestment of dividend distribution. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. Applicable advisory program charges, which may be up to 2.50%, are not reflected in the performance data and would reduce the total returns. Past performance is no guarantee of future results. Effective October 1, 2018, the new advisory program charge is 2.00%. |
| † | The net asset value and total return include adjustments in accordance with accounting principles generally accepted in the United States of America for financial reporting purposes. As such, the net asset value and total return for shareholder transactions may differ from financial statements. |
See Notes to Financial Statements.
278
For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:
| | | | | | | | | | | | | | | | |
|
| Inflation-Linked Fixed Income Fund | |
| | | 2019(1) | | | 2018 | | | 2017 | | | 2016(2) | |
Net Asset Value, Beginning of Period | | $ | 9.79 | | | $ | 10.08 | | | $ | 10.23 | | | $ | 10.00 | |
| | | | | | | | | | | | | | | | |
| Income (Loss) from Operations: | | | | | | | | | | | | | | | | |
Net investment income(3) | | | — | | | | 0.30 | | | | 0.23 | | | | 0.14 | |
Net realized and unrealized gain (loss) | | | (0.03 | ) | | | (0.25 | ) | | | (0.13 | ) | | | 0.32 | |
| | | | | | | | | | | | | | | | |
Total Income (Loss) from Operations | | | (0.03 | ) | | | 0.05 | | | | 0.10 | | | | 0.46 | |
| | | | | | | | | | | | | | | | |
| Less Distributions from: | | | | | | | | | | | | | | | | |
Net investment income | | | (0.10 | ) | | | (0.34 | ) | | | (0.24 | ) | | | (0.23 | ) |
Net realized gain | | | — | | | | — | | | | (0.01 | ) | | | — | |
| | | | | | | | | | | | | | | | |
Total Distributions | | | (0.10 | ) | | | (0.34 | ) | | | (0.25 | ) | | | (0.23 | ) |
| | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | $ | 9.66 | | | $ | 9.79 | | | $ | 10.08 | | | $ | 10.23 | |
| | | | | | | | | | | | | | | | |
Total Return†(4) | | | (0.28 | )%(8) | | | 0.55 | % | | | 1.05 | % | | | 4.59 | %(8) |
Net Assets, End of Period (millions) | | $ | 231 | | | $ | 240 | | | $ | 190 | | | $ | 159 | |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | |
Gross expenses(5) | | | 1.31 | %(6) | | | 1.27 | % | | | 1.15 | % | | | 1.03 | %(6) |
Net expenses(5)(7) | | | 1.26 | (6) | | | 1.22 | | | | 1.10 | | | | 0.99 | (6) |
Net investment income | | | 0.05 | (6) | | | 3.07 | | | | 2.25 | | | | 2.91 | (6) |
Portfolio Turnover Rate | | | 41 | %(8) | | | 72 | % | | | 120 | % | | | 35 | %(8) |
| (1) | For the six months ended February 28, 2019 (unaudited). |
| (2) | For the period from Fund inception (March 8, 2016) through the period ended August 31, 2016. |
| (3) | Per share amounts have been calculated using the average shares method. |
| (4) | Performance figures may reflect fee waivers and/or expense reimbursements and assume reinvestment of dividend distribution. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. Applicable advisory program charges, which may be up to 2.50%, are not reflected in the performance data and would reduce the total returns. Past performance is no guarantee of future results. Effective October 1, 2018, the new advisory program charge is 2.00%. |
| (5) | Ratio includes interest expense on forward sale commitments and reverse repurchase agreements which represents 0.56% (annualized), 0.49%, 0.29% and 0.19%, respectively. |
| (7) | Reflects fee waivers and/or expense reimbursements. |
| † | The net asset value and total return include adjustments in accordance with accounting principles generally accepted in the United States of America for financial reporting purposes. As such, the net asset value and total return for shareholder transactions may differ from financial statements. |
See Notes to Financial Statements.
279
For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:
| | | | | | | | | | | | | | | | |
| | | |
| Ultra-Short Term Fixed Income Fund | | | | | | | | | | |
| | | 2019(1) | | | 2018 | | | 2017 | | | 2016(2) | |
Net Asset Value, Beginning of Period | | $ | 9.97 | | | $ | 9.99 | | | $ | 10.00 | | | $ | 10.00 | |
| | | | | | | | | | | | | | | | |
| Income from Operations: | | | | | | | | | | | | | | | | |
Net investment income(3) | | | 0.11 | | | | 0.19 | | | | 0.13 | | | | 0.07 | |
Net realized and unrealized gain (loss) | | | (0.01 | ) | | | 0.02 | | | | 0.08 | | | | 0.02 | |
| | | | | | | | | | | | | | | | |
Total Income from Operations | | | 0.10 | | | | 0.21 | | | | 0.21 | | | | 0.09 | |
| | | | | | | | | | | | | | | | |
| Less Distributions from: | | | | | | | | | | | | | | | | |
Net investment income | | | (0.13 | ) | | | (0.23 | ) | | | (0.22 | ) | | | (0.09 | ) |
| | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | $ | 9.94 | | | $ | 9.97 | | | $ | 9.99 | | | $ | 10.00 | |
| | | | | | | | | | | | | | | | |
Total Return†(4) | | | 1.05 | %(8) | | | 2.09 | % | | | 2.14 | % | | | 0.89 | %(8) |
Net Assets, End of Period (millions) | | $ | 506 | | | $ | 507 | | | $ | 276 | | | $ | 162 | |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | |
Gross expenses(5) | | | 0.93 | %(6) | | | 0.71 | % | | | 0.84 | % | | | 0.81 | %(6) |
Net expenses(5)(7) | | | 0.88 | (6) | | | 0.66 | | | | 0.79 | | | | 0.77 | (6) |
Net investment income | | | 2.32 | (6) | | | 1.90 | | | | 1.29 | | | | 1.47 | (6) |
Portfolio Turnover Rate | | | 46 | %(8) | | | 128 | % | | | 103 | % | | | 100 | %(8) |
| (1) | For the six months ended February 28, 2019 (unaudited). |
| (2) | For the period from Fund inception (March 8, 2016) through the period ended August 31, 2016. |
| (3) | Per share amounts have been calculated using the average shares method. |
| (4) | Performance figures may reflect fee waivers and/or expense reimbursements and assume reinvestment of dividend distribution. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. Applicable advisory program charges, which may be up to 2.50%, are not reflected in the performance data and would reduce the total returns. Past performance is no guarantee of future results. Effective October 1, 2018, the new advisory program charge is 2.00%. |
| (5) | Ratio includes interest expense on forward sale commitments and reverse repurchase agreements which represents 0.27% (annualized), 0.04%, 0.05% and 0.02%, respectively. |
| (7) | Reflects fee waivers and/or expense reimbursements. |
| † | The net asset value and total return include adjustments in accordance with accounting principles generally accepted in the United States of America for financial reporting purposes. As such, the net asset value and total return for shareholder transactions may differ from financial statements. |
See Notes to Financial Statements.
280
For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:
| | | | | | | | |
| | |
| Alternative Strategies Fund | | | | | | |
| | | 2019(1) | | | 2018(2) | |
Net Asset Value, Beginning of Period | | $ | 9.88 | | | $ | 10.00 | |
| | | | | | | | |
| (Loss) from Operations: | | | | | | | | |
Net investment income (loss)(3) | | | 0.18 | | | | (0.09 | ) |
Net realized and unrealized (loss) | | | (0.29 | ) | | | (0.03 | ) |
| | | | | | | | |
Total (Loss) from Operations | | | (0.11 | ) | | | (0.12 | ) |
| | | | | | | | |
| Less Distributions from: | | | | | | | | |
Net investment income | | | (0.07 | ) | | | — | |
| | | | | | | | |
Net Asset Value, End of Period | | $ | 9.70 | | | $ | 9.88 | |
| | | | | | | | |
Total Return†(4) | | | (1.07 | )%(7) | | | (1.20 | )%(7) |
Net Assets, End of Period (millions) | | $ | 13 | | | $ | 6 | |
| Ratios to Average Net Assets: | | | | | | | | |
Gross expenses | | | 2.66 | %(5) | | | 11.00 | %(5) |
Net expenses(6) | | | 1.36 | (5) | | | 1.95 | (5) |
Net investment income (loss) | | | 3.71 | (5) | | | (1.72 | )(5) |
Portfolio Turnover Rate | | | 24 | %(7) | | | 14 | %(7) |
| (1) | For the six months ended February 28, 2019 (unaudited). |
| (2) | For the period from Fund inception (February 15, 2018) through the period ended August 31, 2018. |
| (3) | Per share amounts have been calculated using the average shares method. |
| (4) | Performance figures may reflect fee waivers and/or expense reimbursements and assume reinvestment of dividend distribution. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. Applicable advisory program charges, which may be up to 2.50%, are not reflected in the performance data and would reduce the total returns. Past performance is no guarantee of future results. Effective October 1, 2018, the new advisory program charge is 2.00%. |
| (6) | Reflects fee waivers and/or expense reimbursements. |
| † | The net asset value and total return include adjustments in accordance with accounting principles generally accepted in the United States of America for financial reporting purposes. As such, the net asset value and total return for shareholder transactions may differ from financial statements. |
See Notes to Financial Statements.
281
| | |
| | | |
| Notes to Financial Statements | | |
1. Organization and Significant Accounting Policies
The Morgan Stanley Pathway Funds (formerly known as Consulting Group Capital Markets Funds) (“Trust”) is organized as a Massachusetts business trust and registered under the Investment Company Act of 1940, as amended (“1940 Act”), as anopen-end management investment company. The Trust currently consists of Large Cap Equity Fund,Small-Mid Cap Equity Fund, International Equity Fund, Emerging Markets Equity Fund, Core Fixed Income Fund, High Yield Fund, International Fixed Income Fund, Municipal Bond Fund, Inflation-Linked Fixed Income Fund, Ultra-Short Term Fixed Income Fund and Alternative Strategies Fund (individually, a “Fund” and collectively, the “Funds”). Each Fund is a diversified series of the Trust, except for International Fixed Income Fund, which isnon-diversified.
The following is a summary of significant accounting policies consistently followed by the Funds which are in conformity with accounting principles generally accepted in the United States of America (“GAAP”). Estimates and assumptions are required to be made by management regarding assets, liabilities and changes in net assets resulting from operations when financial statements are prepared. Changes in the economic environment, financial markets and any other parameters used in determining these estimates could cause actual results to differ. The Funds are investment companies and follow the accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 – Investment Companies.
(a) Investment Valuation. Equity securities for each Fund for which market quotations are readily available and are traded on an exchange are valued at the closing sale price or official closing price on the exchange on which such security is principally traded. In the event there are no sales that day, such securities are valued at the mean between the bid and ask prices. For securities that are primarily traded on foreign exchanges, these values are converted to U.S. dollars using the current exchange rates as of the close of the New York Stock Exchange (“NYSE”).
Exchange-traded purchased and written options and futures contracts are valued at the last sale price (closing price) in the market where such contracts are principally traded or, if no sales are reported, the bid price. Swaps for which quotations are available on an automated basis from approved third-party pricing services are valued using those automated third-party pricing service quotations. Forward foreign currency contracts are valued using the official closing price for such contracts on the NYSE.
Portfolio securities traded in theover-the-counter market for which market quotations are readily available are valued at the last sales price that day. In the event there are no sales that day, such securities are valued at the mean between the bid and ask prices. Investments in registeredopen-end management investment companies are valued at reported net asset value per share.
Debt obligations that will mature in 60 days or less are valued at amortized cost, which approximates market value. Debt obligations that will mature in more than 60 days are valued using valuations furnished by an approved third-party pricing service; such valuations are determined by the third-party pricing service based upon its analysis of a variety of factors, including transactions in debt obligations, quotations from bond dealers, market transactions in comparable securities and its analysis of various relationships between securities, prices or yields of securities with similar characteristics, benchmark curves or information pertaining to the issuer, and as well as industry and economic events.
Overnight repurchase agreements and repurchase agreements maturing in seven days or less are valued at cost. Term repurchase agreements maturing in more than seven days are valued at the average of the bid quotations obtained daily from at least two recognized purchasers of such term repurchase agreements selected by Consulting Group Advisory Services, LLC (“CGAS”) (the “Manager”).
The Board of Trustees (the “Board”) has ultimate responsibility for ensuring the Funds’ investments are valued appropriately. The Board has delegated primary responsibility for determining or causing to be determined the value of the Funds’ investments (including any fair valuation) to the Manager pursuant to valuation policies and procedures approved by the Board. When market quotations are not readily available or are determined to be unreliable, investments are valued at fair value as determined in good faith by the valuation committee established by the Manager in accordance with such procedures under the oversight of the Board. Circumstances that may indicate that market quotations are not readily available or are unreliable include, but are not limited to, such instances when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, and before the applicable Fund calculates its Net Asset Value (“NAV”).
Each business day, Emerging Markets Equity Fund and International Equity Fund use a Board-approved third-party pricing service to assist with the valuation of foreign equity securities. Events occurring after the close of trading on foreign exchanges may result
282
| | |
| | | |
| Notes to Financial Statements | | |
in adjustments to the valuation of foreign securities to reflect market trading that occurs after the close of the applicable foreign markets of comparable securities or other instruments that have a strong correlation to the fair-valued securities to more accurately reflect their fair value as of the close of regular trading on the NYSE.
The Funds disclose the fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure the fair value. The hierarchy prioritizes inputs to valuation methods and requires disclosure of the fair value hierarchy, separately for each major category of assets and liabilities that segregates fair value measurements into levels (Level 1, 2 and 3). The three levels of the fair value hierarchy are as follows:
Level 1 – unadjusted quoted prices in active markets for identical securities.
Level 2 – significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3 – significant unobservable inputs (including assumptions made by the Board or persons acting at their direction that are used in determining the fair value of investments).
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following are certain inputs and techniques that the Funds generally use to evaluate how to classify each major category of assets and liabilities in accordance with GAAP.
Fixed income securities including corporate, convertible and municipal bonds and notes, U.S. government agencies, U.S. treasury obligations, sovereign bonds, bank loans, convertible preferred securities andnon-U.S. bonds are normally valued by third-party pricing service providers that use broker quotations, reported trades or valuation estimates from their internal pricing models. The service providers’ internal models use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar assets. Securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy. To the extent that these inputs are significant and unobservable, the values are categorized as Level 3 of the fair value hierarchy.
Mortgage-related and asset-backed securities are usually issued as separate tranches, or classes, of securities within each deal. These securities are also normally valued by third-party pricing service providers that use broker-dealer quotations or valuation estimates from their internal pricing models. The pricing models for these securities usually consider tranche-level attributes, current market data, estimated cash flows and market-based yield spreads for each tranche, and incorporate deal collateral performance, as available. Mortgage-related and asset-backed securities and the related forward sales commitments that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy. To the extent that these inputs are significant and unobservable, the values are categorized as Level 3 of the fair value hierarchy.
Common stocks, preferred stocks, rights, warrants, exchange-traded funds and financial derivative instruments, such as futures contracts or options contracts that are traded on a national securities exchange, are categorized as Level 1 of the fair value hierarchy, to the extent these securities are actively traded and valuation adjustments are not applied.
Valuation adjustments may be applied to certain securities that are solely traded on a foreign exchange to account for the market movement between the close of the foreign market and the NYSE close. Securities using these valuation adjustments are categorized as Level 2 of the fair value hierarchy. Preferred securities and other equities traded on inactive markets or valued by reference to similar instruments are also categorized as Level 2 of the fair value hierarchy.
Investments in registeredopen-end investment management companies are valued based upon the NAVs of such investments and are categorized as Level 1 of the fair value hierarchy.
Short-term investments having a maturity of 60 days or less are generally valued at amortized cost which approximates fair market value. These investments are categorized as Level 2 of the fair value hierarchy.
Over-the-counter financial derivative instruments, such as foreign currency contracts, forward foreign currency contracts, options contracts, or swap contracts, derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. These contracts are normally valued on the basis of broker dealer quotations or by third-party pricing service providers. Depending on the product and the terms of the transaction, the value of financial derivatives can be estimated
283
| | |
| | | |
| Notes to Financial Statements | | |
by a third-party pricing service provider using a series of techniques, including simulation pricing models. The pricing models use inputs that are observed from actively quoted markets such as issuer details, indices, spreads, interest rates, yield curves, dividends and exchange rates. Financial derivatives that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy. To the extent that these inputs are significant and unobservable, the values are categorized as Level 3 of the fair value hierarchy.
Centrally cleared swaps listed or traded on a multilateral or trade facility platform, such as a registered exchange, are valued at the daily settlement price determined by the respective exchange. For centrally cleared credit default swaps the clearing facility requires its members to provide actionable levels across complete term structures. These levels along with external third party prices are used to produce daily settlement prices. Centrally cleared interest rate swaps are valued using a pricing model that references the underlying rates including the overnight index swap rate and London Interbank Offered Rate (“LIBOR”) forward rate to produce the daily settlement price. These securities are categorized as Level 2 of the fair value hierarchy.
The Funds’ policy is to recognize transfers between levels at the end of the reporting period. In some instances, the inputs used to measure fair value might fall in different levels of the fair value hierarchy. The level in the fair value hierarchy within which the fair value measurement in its entirety falls is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Because of the inherent uncertainties of valuation, the values reflected in the financial statements may materially differ from the value received upon actual sale of those investments.
The following table summarizes the valuation of each Fund’s assets and liabilities using the fair value hierarchy:
| | | | | | | | | | | | | | | | |
| | | Total Fair Value at
February 28, 2019 | | | Unadjusted Quoted Prices
in Active Markets
for Identical Investments
(Level 1) | | | Significant Observable
Inputs (Level 2) | | | Significant
Unobservable
Inputs (Level 3) | |
| | | | | | | | | | | | | | | | |
| Large Cap Equity Fund | |
| Investments, at Value | | | | | | | | | | | | | | | | |
Common Stocks: | | | | | | | | | | | | | | | | |
Communication Services | | $ | 126,080,056 | | | $ | 126,080,056 | | | $ | — | | | $ | — | |
Consumer Discretionary | | | 156,609,838 | | | | 156,609,838 | | | | — | | | | — | |
Consumer Staples | | | 90,701,885 | | | | 90,701,885 | | | | — | | | | — | |
Energy | | | 83,638,212 | | | | 83,638,212 | | | | — | | | | — | |
Financials | | | 184,644,750 | | | | 184,644,750 | | | | — | | | | — | |
Health Care | | | 239,757,096 | | | | 239,757,096 | | | | — | | | | — | |
Industrials | | | 138,488,246 | | | | 138,488,246 | | | | — | | | | — | |
Information Technology | | | 329,833,043 | | | | 329,833,043 | | | | — | | | | — | |
Materials | | | 50,042,119 | | | | 50,042,119 | | | | — | | | | — | |
Real Estate | | | 38,480,421 | | | | 38,480,421 | | | | — | | | | — | |
Utilities | | | 31,659,688 | | | | 31,659,688 | | | | — | | | | — | |
Closed End Mutual Fund Security: | | | | | | | | | | | | | | | | |
Financials | | | 78,739,200 | | | | 78,739,200 | | | | — | | | | — | |
Short-Term Investments: | | | | | | | | | |
Money Market Fund | | | 5,166,691 | | | | 5,166,691 | | | | — | | | | — | |
Time Deposits | | | 33,375,080 | | | | — | | | | 33,375,080 | | | | — | |
| | | | | | | | | | | | | | | | |
| Total Investments, at Value | | $ | 1,587,216,325 | | | $ | 1,553,841,245 | | | $ | 33,375,080 | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Other Financial Instruments — Assets | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | 970,578 | | | $ | 970,578 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Total Other Financial Instruments — Assets | | $ | 970,578 | | | $ | 970,578 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
284
| | |
| | | |
| Notes to Financial Statements | | |
| | | | | | | | | | | | | | | | |
| | | Total Fair Value at
February 28, 2019 | | | Unadjusted Quoted Prices
in Active Markets
for Identical Investments
(Level 1) | | | Significant Observable
Inputs (Level 2) | | | Significant
Unobservable
Inputs (Level 3) | |
| | | | | | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| Investments, at Value | | | | | | | | | | | | | | | | |
Common Stocks: | | | | | | | | | | | | | | | | |
Communication Services | | $ | 7,940,718 | | | $ | 7,940,718 | | | $ | — | | | $ | — | |
Consumer Discretionary | | | 51,163,999 | | | | 51,163,999 | | | | — | | | | — | |
Consumer Staples | | | 7,079,851 | | | | 7,079,851 | | | | — | | | | — | |
Energy | | | 11,469,014 | | | | 11,469,014 | | | | — | | | | — | |
Financials | | | 52,779,570 | | | | 52,779,570 | | | | — | | | | — | |
Health Care | | | 71,428,455 | | | | 71,428,300 | | | | — | | | | 155 | |
Industrials | | | 83,833,513 | | | | 83,833,513 | | | | — | | | | — | |
Information Technology | | | 95,314,049 | | | | 95,314,049 | | | | — | | | | — | |
Materials | | | 22,015,559 | * | | | 22,015,065 | | | | — | | | | 494 | * |
Real Estate | | | 27,953,710 | | | | 27,953,710 | | | | — | | | | — | |
Utilities | | | 7,752,056 | | | | 7,752,056 | | | | — | | | | — | |
Closed End Mutual Fund Security: | | | | | | | | | | | | | | | | |
Financials | | | 17,274,448 | | | | 17,274,448 | | | | — | | | | — | |
Convertible Preferred Stock: | | | | | | | | | | | | | | | | |
Utilities | | | 449,415 | | | | 449,415 | | | | — | | | | — | |
Corporate Bond & Note | | | 382,877 | | | | — | | | | 382,877 | | | | — | |
Short-Term Investments: | | | | | | | | | |
Money Market Fund | | | 12,849,116 | | | | 12,849,116 | | | | — | | | | — | |
Time Deposits | | | 12,233,239 | | | | — | | | | 12,233,239 | | | | — | |
| | | | | | | | | | | | | | | | |
| Total Investments, at Value | | $ | 481,919,589 | * | | $ | 469,302,824 | | | $ | 12,616,116 | | | $ | 649 | * |
| | | | | | | | | | | | | | | | |
| Other Financial Instruments — Assets | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | 225,257 | | | $ | 225,257 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Total Other Financial Instruments — Assets | | $ | 225,257 | | | $ | 225,257 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| International Equity Fund | |
| Investments, at Value | | | | | | | | | | | | | | | | |
Common Stocks: | | | | | | | | | | | | | | | | |
France | | $ | 146,253,883 | | | $ | 3,689,453 | | | $ | 142,564,430 | | | $ | — | |
Germany | | | 117,348,037 | | | | — | | | | 117,348,037 | | | | — | |
Japan | | | 303,184,675 | | | | — | | | | 303,184,675 | | | | — | |
Switzerland | | | 149,566,592 | | | | — | | | | 149,566,592 | | | | — | |
United Kingdom | | | 264,989,890 | | | | 869,579 | | | | 264,120,311 | | | | — | |
Other Countries** | | | 550,336,091 | | | | 101,792,866 | | | | 448,543,225 | | | | — | |
Preferred Stocks: | | | | | | | | | | | | | | | | |
Brazil | | | 823,492 | | | | 823,492 | | | | — | | | | — | |
Germany | | | 13,352,670 | | | | — | | | | 13,352,670 | | | | — | |
Closed End Mutual Fund Securities: | | | | | | | | | | | | | | | | |
United States | | | 2,080,750 | | | | 2,080,750 | | | | — | | | | — | |
Short-Term Investments: | | | | | | | | | |
Money Market Fund | | | 16,414,233 | | | | 16,414,233 | | | | — | | | | — | |
Time Deposits | | | 36,330,244 | | | | — | | | | 36,330,244 | | | | — | |
| | | | | | | | | | | | | | | | |
| Total Investments, at Value | | $ | 1,600,680,557 | | | $ | 125,670,373 | | | $ | 1,475,010,184 | | | $ | — | |
| | | | | | | | | | | | | | | | |
285
| | |
| | | |
| Notes to Financial Statements | | |
| | | | | | | | | | | | | | | | |
| | | Total Fair Value at
February 28, 2019 | | | Unadjusted Quoted Prices
in Active Markets
for Identical Investments
(Level 1) | | | Significant Observable
Inputs (Level 2) | | | Significant
Unobservable
Inputs (Level 3) | |
| | | | | | | | | | | | | | | | |
| Other Financial Instruments — Assets | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | 104,841 | | | $ | 104,841 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Total Other Financial Instruments — Assets | | $ | 104,841 | | | $ | 104,841 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Emerging Markets Equity Fund | |
| Investments, at Value | | | | | | | | | | | | | | | | |
Common Stocks: | | | | | | | | | | | | | | | | |
Brazil | | $ | 30,876,052 | | | $ | 30,876,052 | | | $ | — | | | $ | — | |
China | | | 124,392,225 | | | | 36,555,671 | | | | 87,836,294 | | | | 260 | |
India | | | 42,312,795 | | | | 5,801,670 | | | | 36,511,125 | | | | — | |
Russia | | | 26,663,115 | | | | 22,517,203 | | | | 4,145,912 | | | | — | |
South Africa | | | 34,415,288 | | | | — | | | | 34,415,288 | | | | — | |
South Korea | | | 50,015,367 | | | | — | | | | 50,015,367 | | | | — | |
Taiwan | | | 32,137,145 | | | | — | | | | 32,137,145 | | | | — | |
Other Countries** | | | 133,380,794 | | | | 32,216,089 | | | | 101,164,705 | | | | — | |
Preferred Stocks: | | | | | | | | | | | | | | | | |
Brazil | | | 7,582,319 | | | | 7,582,319 | | | | — | | | | — | |
Chile | | | 194,455 | | | | 194,455 | | | | — | | | | — | |
Colombia | | | 264,112 | | | | 264,112 | | | | — | | | | — | |
Russia | | | 181,314 | | | | 181,314 | | | | — | | | | — | |
South Korea | | | 4,177,897 | | | | — | | | | 4,177,897 | | | | — | |
Short-Term Investments: | | | | | | | | | |
Money Market Fund | | | 5,620,493 | | | | 5,620,493 | | | | — | | | | — | |
Time Deposits | | | 12,314,822 | | | | — | | | | 12,314,822 | | | | — | |
| | | | | | | | | | | | | | | | |
| Total Investments, at Value | | $ | 504,528,193 | | | $ | 141,809,378 | | | $ | 362,718,555 | | | $ | 260 | |
| | | | | | | | | | | | | | | | |
| Other Financial Instruments — Assets | | | | | | | | | | | | | | | | |
Futures Contract | | $ | 91,402 | | | $ | 91,402 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Total Other Financial Instruments — Assets | | $ | 91,402 | | | $ | 91,402 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Core Fixed Income Fund | |
| Investments, at Value | | | | | | | | | | | | | | | | |
Corporate Bonds & Notes | | $ | 286,467,994 | * | | $ | — | | | $ | 286,467,994 | | | $ | — | * |
Mortgage-Backed Securities | | | 240,245,246 | | | | — | | | | 240,245,246 | | | | — | |
U.S. Government Agencies & Obligations | | | 181,072,465 | | | | — | | | | 181,072,465 | | | | — | |
Collateralized Mortgage Obligations | | | 86,755,440 | | | | — | | | | 86,755,440 | | | | — | |
Sovereign Bonds | | | 23,182,751 | | | | — | | | | 23,182,751 | | | | — | |
Asset-Backed Securities | | | 11,722,476 | | | | — | | | | 11,722,476 | | | | — | |
Senior Loans | | | 6,255,610 | | | | — | | | | 6,255,610 | | | | — | |
Municipal Bonds | | | 3,686,686 | | | | — | | | | 3,686,686 | | | | — | |
Preferred Stock: | | | | | | | | | | | | | | | | |
Financials | | | 98,762 | | | | 98,762 | | | | — | | | | — | |
Purchased Options | | | 291,673 | | | | 171,844 | | | | 119,829 | | | | — | |
Short-Term Investments: | | | | | | | | | |
Certificate of Deposit | | | 2,250,000 | | | | — | | | | 2,250,000 | | | | — | |
286
| | |
| | | |
| Notes to Financial Statements | | |
| | | | | | | | | | | | | | | | |
| | | Total Fair Value at
February 28, 2019 | | | Unadjusted Quoted Prices
in Active Markets
for Identical Investments
(Level 1) | | | Significant Observable
Inputs (Level 2) | | | Significant
Unobservable
Inputs (Level 3) | |
| | | | | | | | | | | | | | | | |
Commercial Papers | | $ | 5,385,843 | | | $ | — | | | $ | 5,385,843 | | | $ | — | |
Money Market Fund | | | 286,605 | | | | 286,605 | | | | — | | | | — | |
Repurchase Agreement | | | 18,000,000 | | | | — | | | | 18,000,000 | | | | — | |
Time Deposits | | | 15,480,509 | | | | — | | | | 15,480,509 | | | | — | |
U.S. Government Agencies | | | 1,975,927 | | | | — | | | | 1,975,927 | | | | — | |
U.S. Government Obligations | | | 8,883,773 | | | | — | | | | 8,883,773 | | | | — | |
| | | | | | | | | | | | | | | | |
| Total Investments, at Value | | $ | 892,041,760 | * | | $ | 557,211 | | | $ | 891,484,549 | | | $ | — | * |
| | | | | | | | | | | | | | | | |
| Other Financial Instruments — Assets | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | 693,863 | | | $ | 693,863 | | | $ | — | | | $ | — | |
Forward Foreign Currency Contracts | | | 371,175 | | | | — | | | | 371,175 | | | | — | |
OTC Interest Rate Swap | | | 272,088 | | | | — | | | | 272,088 | | | | — | |
Centrally Cleared Interest Rate Swaps | | | 188,522 | | | | — | | | | 188,522 | | | | — | |
Centrally Cleared Credit Default Swap | | | 99,988 | | | | — | | | | 99,988 | | | | — | |
| | | | | | | | | | | | | | | | |
| Total Other Financial Instruments — Assets | | $ | 1,625,636 | | | $ | 693,863 | | | $ | 931,773 | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Other Financial Instruments — Liabilities | | | | | | | | | | | | | | | | |
Options Contracts Written | | $ | (191,971 | ) | | $ | (175,094 | ) | | $ | (16,877 | ) | | $ | — | |
Futures Contracts | | | (1,182,185 | ) | | | (1,182,185 | ) | | | — | | | | — | |
Forward Foreign Currency Contracts | | | (408,620 | ) | | | — | | | | (408,620 | ) | | | — | |
Centrally Cleared Interest Rate Swaps | | | (518,957 | ) | | | — | | | | (518,957 | ) | | | — | |
| | | | | | | | | | | | | | | | |
| Total Other Financial Instruments — Liabilities | | $ | (2,301,733 | ) | | $ | (1,357,279 | ) | | $ | (944,454 | ) | | $ | — | |
| | | | | | | | | | | | | | | | |
| High Yield Fund | |
| Investments, at Value | | | | | | | | | | | | | | | | |
Corporate Bonds & Notes | | $ | 47,566,286 | * | | $ | — | | | $ | 47,566,286 | | | $ | — | * |
Senior Loans | | | 3,279,573 | | | | — | | | | 3,279,573 | | | | — | |
Common Stocks: | | | | | | | | | | | | | | | | |
Consumer Cyclical | | | 2,998 | | | | — | | | | 2,998 | | | | — | |
Energy | | | 674,382 | * | | | 491,048 | | | | 169,549 | | | | 13,785 | * |
Financials | | | 5,182 | | | | — | | | | — | | | | 5,182 | |
Preferred Stocks: | | | | | | | | | | | | | | | | |
Financials | | | 130,767 | | | | 130,767 | | | | — | | | | — | |
Sovereign Bond | | | 131,045 | | | | — | | | | 131,045 | | | | — | |
Short-Term Investments: | | | | | | | | | |
Money Market Fund | | | 786,688 | | | | 786,688 | | | | — | | | | — | |
Time Deposits | | | 2,192,631 | | | | — | | | | 2,192,631 | | | | — | |
| | | | | | | | | | | | | | | | |
| Total Investments, at Value | | $ | 54,769,552 | * | | $ | 1,408,503 | | | $ | 53,342,082 | | | $ | 18,967 | * |
| | | | | | | | | | | | | | | | |
| International Fixed Income Fund | |
Investments, at value | | | | | | | | | | | | | | | | |
Sovereign Bonds: | | | | | | | | | | | | | | | | |
France | | $ | 7,082,689 | | | $ | — | | | $ | 7,082,689 | | | $ | — | |
Japan | | | 17,332,616 | | | | — | | | | 17,332,616 | | | | — | |
Other Countries** | | | 29,461,832 | | | | — | | | | 29,461,832 | | | | — | |
Corporate Bonds & Notes: | | | | | | | | | | | | | | | | |
United Kingdom | | | 8,109,432 | | | | — | | | | 8,109,432 | | | | — | |
287
| | |
| | | |
| Notes to Financial Statements | | |
| | | | | | | | | | | | | | | | |
| | | Total Fair Value at
February 28, 2019 | | | Unadjusted Quoted Prices
in Active Markets
for Identical Investments
(Level 1) | | | Significant Observable
Inputs (Level 2) | | | Significant
Unobservable
Inputs (Level 3) | |
| | | | | | | | | | | | | | | | |
United States | | $ | 11,208,444 | | | $ | — | | | $ | 11,208,444 | | | $ | — | |
Other Countries** | | | 30,430,363 | | | | — | | | | 30,430,363 | | | | — | |
Collateralized Mortgage Obligations | | | 21,712,852 | | | | — | | | | 21,712,852 | | | | — | |
Mortgage-Backed Securities | | | 18,538,133 | | | | — | | | | 18,538,133 | | | | — | |
U.S. Government Obligations | | | 11,313,987 | | | | — | | | | 11,313,987 | | | | — | |
Senior Loan | | | 195,261 | | | | — | | | | 195,261 | | | | — | |
Asset-Backed Security | | | 91,209 | | | | — | | | | 91,209 | | | | — | |
Municipal Bond | | | 40,936 | | | | — | | | | 40,936 | | | | — | |
Purchased Options | | | 21,219 | | | | — | | | | 21,219 | | | | — | |
Short-Term Investments: | | | | | | | | | |
Sovereign Bonds: | | | | | | | | | | | | | | | | |
Japan | | | 7,452,036 | | | | — | | | | 7,452,036 | | | | — | |
Time Deposits | | | 2,223,532 | | | | — | | | | 2,223,532 | | | | — | |
| | | | | | | | | | | | | | | | |
| Total Investments, at Value | | $ | 165,214,541 | | | $ | — | | | $ | 165,214,541 | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Other Financial Instruments — Assets | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | 693,241 | | | $ | 693,241 | | | $ | — | | | $ | — | |
Forward Foreign Currency Contracts | | | 1,934,611 | | | | — | | | | 1,934,611 | | | | — | |
Centrally Cleared Interest Rate Swaps | | | 1,364,998 | | | | — | | | | 1,364,998 | | | | — | |
OTC Credit Default Swaps | | | 18,916 | | | | — | | | | 18,916 | | | | — | |
Centrally Cleared Credit Default Swaps | | | 512,607 | | | | — | | | | 512,607 | | | | — | |
| | | | | | | | | | | | | | | | |
| Total Other Financial Instruments — Assets | | $ | 4,524,373 | | | $ | 693,241 | | | $ | 3,831,132 | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Other Financial Instruments — Liabilities | | | | | | | | | | | | | | | | |
Options Contracts Written | | $ | (44,664 | ) | | $ | (15,157 | ) | | $ | (29,507 | ) | | $ | — | |
Reverse Repurchase Agreements | | | (9,074,569 | ) | | | — | | | | (9,074,569 | ) | | | — | |
Futures Contracts | | | (170,720 | ) | | | (170,720 | ) | | | — | | | | — | |
Forward Foreign Currency Contracts | | | (734,885 | ) | | | — | | | | (734,885 | ) | | | — | |
Centrally Cleared Interest Rate Swaps | | | (853,203 | ) | | | — | | | | (853,203 | ) | | | — | |
OTC Credit Default Swaps | | | (52,605 | ) | | | — | | | | (52,605 | ) | | | — | |
Centrally Cleared Credit Default Swaps | | | (70,081 | ) | | | — | | | | (70,081 | ) | | | — | |
OTC Cross-Currency Swaps | | | (118,734 | ) | | | — | | | | (118,734 | ) | | | — | |
| | | | | | | | | | | | | | | | |
| Total Other Financial Instruments — Liabilities | | $ | (11,119,461 | ) | | $ | (185,877 | ) | | $ | (10,933,584 | ) | | $ | — | |
| | | | | | | | | | | | | | | | |
| Municipal Bond Fund | |
| Investments, at Value | | | | | | | | | | | | | | | | |
Municipal Bonds | | $ | 58,979,887 | | | $ | — | | | $ | 58,979,887 | | | $ | — | |
Short-Term Investments: | | | | | | | | | |
Time Deposits | | | 131,038 | | | | — | | | | 131,038 | | | | — | |
| | | | | | | | | | | | | | | | |
| Total Investments, at Value | | $ | 59,110,925 | | | $ | — | | | $ | 59,110,925 | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Other Financial Instruments — Assets | | | | | | | | | | | | | | | | |
Futures Contract | | $ | 13,750 | | | $ | 13,750 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Total Other Financial Instruments — Assets | | $ | 13,750 | | | $ | 13,750 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
288
| | |
| | | |
| Notes to Financial Statements | | |
| | | | | | | | | | | | | | | | |
| | | Total Fair Value at
February 28, 2019 | | | Unadjusted Quoted Prices
in Active Markets
for Identical Investments
(Level 1) | | | Significant Observable
Inputs (Level 2) | | | Significant
Unobservable
Inputs (Level 3) | |
| | | | | | | | | | | | | | | | |
| Inflation-Linked Fixed Income Fund | |
| Investments, at Value | | | | | | | | | | | | | | | | |
U.S. Government Obligations | | $ | 238,198,807 | | | $ | — | | | $ | 238,198,807 | | | $ | — | |
Collateralized Mortgage Obligations | | | 16,239,932 | | | | — | | | | 16,239,932 | | | | — | |
Sovereign Bonds | | | 13,157,503 | | | | — | | | | 13,157,503 | | | | — | |
Corporate Bonds & Notes | | | 7,285,586 | | | | — | | | | 7,285,586 | | | | — | |
Mortgage-Backed Securities | | | 5,126,472 | | | | — | | | | 5,126,472 | | | | — | |
Asset-Backed Security | | | 223,278 | | | | — | | | | 223,278 | | | | — | |
Purchased Options | | | 128,512 | | | | 1,707 | | | | 126,805 | | | | — | |
Short-Term Investments: | | | | | | | | | |
Repurchase Agreement | | | 2,700,000 | | | | — | | | | 2,700,000 | | | | — | |
Time Deposits | | | 1,039,578 | | | | — | | | | 1,039,578 | | | | — | |
| | | | | | | | | | | | | | | | |
| Total Investments, at Value | | $ | 284,099,668 | | | $ | 1,707 | | | $ | 284,097,961 | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Other Financial Instruments — Assets | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | 348,764 | | | $ | 348,764 | | | $ | — | | | $ | — | |
Forward Foreign Currency Contracts | | | 268,563 | | | | — | | | | 268,563 | | | | — | |
Centrally Cleared Interest Rate Swaps | | | 724,984 | | | | — | | | | 724,984 | | | | — | |
Centrally Cleared Inflation Rate Swaps | | | 447,403 | | | | — | | | | 447,403 | | | | — | |
Centrally Cleared Credit Default Swaps | | | 50,117 | | | | — | | | | 50,117 | | | | — | |
| | | | | | | | | | | | | | | | |
| Total Other Financial Instruments — Assets | | $ | 1,839,831 | | | $ | 348,764 | | | $ | 1,491,067 | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Other Financial Instruments — Liabilities | | | | | | | | | | | | | | | | |
Options Contracts Written | | $ | (141,402 | ) | | $ | (16,863 | ) | | $ | (124,539 | ) | | $ | — | |
Reverse Repurchase Agreements | | | (46,641,176 | ) | | | — | | | | (46,641,176 | ) | | | — | |
Futures Contracts | | | (428,345 | ) | | | (428,345 | ) | | | — | | | | — | |
Forward Foreign Currency Contracts | | | (194,446 | ) | | | — | | | | (194,446 | ) | | | — | |
Centrally Cleared Interest Rate Swaps | | | (389,867 | ) | | | — | | | | (389,867 | ) | | | — | |
Centrally Cleared Inflation Rate Swaps | | | (236,741 | ) | | | — | | | | (236,741 | ) | | | — | |
| | | | | | | | | | | | | | | | |
| Total Other Financial Instruments — Liabilities | | $ | (48,031,977 | ) | | $ | (445,208 | ) | | $ | (47,586,769 | ) | | $ | — | |
| | | | | | | | | | | | | | | | |
| Ultra-Short Term Fixed Income Fund | |
| Investments, at Value | | | | | | | | | | | | | | | | |
Corporate Bonds & Notes | | $ | 364,820,414 | | | $ | — | | | $ | 364,820,414 | | | $ | — | |
Collateralized Mortgage Obligations | | | 69,746,519 | | | | — | | | | 69,746,519 | | | | — | |
Mortgage-Backed Securities | | | 36,428,903 | | | | — | | | | 36,428,903 | | | | — | |
Asset-Backed Securities | | | 30,813,698 | | | | — | | | | 30,813,698 | | | | — | |
U.S. Government Obligations | | | 28,518,248 | | | | — | | | | 28,518,248 | | | | — | |
Sovereign Bonds | | | 13,285,107 | | | | — | | | | 13,285,107 | | | | — | |
Municipal Bond | | | 1,626,000 | | | | — | | | | 1,626,000 | | | | — | |
Senior Loan | | | 583,334 | | | | — | | | | 583,334 | | | | — | |
Short-Term Investments: | | | | | | | | | |
Commercial Papers | | | 6,741,137 | | | | — | | | | 6,741,137 | | | | — | |
Time Deposits | | | 2,267,675 | | | | — | | | | 2,267,675 | | | | — | |
U.S. Government Obligation | | | 133,948,645 | | | | — | | | | 133,948,645 | | | | — | |
| | | | | | | | | | | | | | | | |
| Total Investments, at Value | | $ | 688,779,680 | | | $ | — | | | $ | 688,779,680 | | | $ | — | |
| | | | | | | | | | | | | | | | |
289
| | |
| | | |
| Notes to Financial Statements | | |
| | | | | | | | | | | | | | | | |
| | | Total Fair Value at
February 28, 2019 | | | Unadjusted Quoted Prices
in Active Markets
for Identical Investments
(Level 1) | | | Significant Observable
Inputs (Level 2) | | | Significant
Unobservable
Inputs (Level 3) | |
| | | | | | | | | | | | | | | | |
| Other Financial Instruments — Assets | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | 995,322 | | | $ | 995,322 | | | $ | — | | | $ | — | |
Forward Foreign Currency Contracts | | | 374,174 | | | | — | | | | 374,174 | | | | — | |
Centrally Cleared Interest Rate Swaps | | | 139,889 | | | | — | | | | 139,889 | | | | — | |
| | | | | | | | | | | | | | | | |
| Total Other Financial Instruments — Assets | | $ | 1,509,385 | | | $ | 995,322 | | | $ | 514,063 | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Other Financial Instruments — Liabilities | | | | | | | | | | | | | | | | |
Reverse Repurchase Agreements | | $ | (39,629,375 | ) | | $ | — | | | $ | (39,629,375 | ) | | $ | — | |
Futures Contracts | | | (17,684 | ) | | | (17,684 | ) | | | — | | | | — | |
Forward Foreign Currency Contracts | | | (180,534 | ) | | | — | | | | (180,534 | ) | | | — | |
Centrally Cleared Interest Rate Swaps | | | (606,480 | ) | | | — | | | | (606,480 | ) | | | — | |
Centrally Cleared Credit Default Swap | | | (95,952 | ) | | | — | | | | (95,952 | ) | | | — | |
| | | | | | | | | | | | | | | | |
| Total Other Financial Instruments — Liabilities | | $ | (40,530,025 | ) | | $ | (17,684 | ) | | $ | (40,512,341 | ) | | $ | — | |
| | | | | | | | | | | | | | | | |
| Alternative Strategies Fund | |
Investments, at value | | | | | | | | | | | | | | | | |
Open End Mutual Fund Securities: | | | | | | | | | | | | | | | | |
United States | | $ | 12,975,087 | | | $ | 12,975,087 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Total Investments, at Value | | $ | 12,975,087 | | | $ | 12,975,087 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| * | Includes securities that are valued in good faith at fair value by or under the direction of the Board of Trustees at $0. |
| ** | Other countries represents countries that are individually less than 5% of Net Assets. |
The level classification by major category of investments is the same as the category presentation in the Schedules of Investments.
During the period ended February 28, 2019, International Equity Fund had a transfer from Level 2 to Level 1 of $2,880,084. Emerging Markets Equity Fund had a transfer from Level 1 to Level 2 of $799,259.
The following is a reconciliation of assets for which significant unobservable inputs (Level 3) were used in determining fair value during the period September 1, 2018 through February 28, 2019:
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Total | | | Common
Stocks | | | Corporate
Bonds &
Notes | | | Convertible
Preferred
Stocks | | | Rights | | | Warrant | |
| Small-Mid Cap Equity Fund | | | | | | | | | | | | | | | | | | | | | | | | |
Balance as of August 31, 2018 | | $ | 2,177 | * | | $ | 2,177 | * | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
Total realized gain (loss) | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Change in unrealized appreciation (depreciation) | | | (1,785 | ) | | | (1,785 | ) | | | — | | | | — | | | | — | | | | — | |
Purchases | | | 257 | | | | 257 | | | | — | | | | — | | | | — | | | | — | |
(Sales) | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Transfers In | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
(Transfers Out) | | | — | | | | | | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Balance as of February 28, 2019 | | $ | 649 | * | | $ | 649 | * | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Change in unrealized appreciation (depreciation) from Investments held as of February 28, 2019 | | $ | (1,785 | ) | | $ | (1,785 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
290
| | |
| | | |
| Notes to Financial Statements | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Total | | | Common
Stocks | | | Corporate
Bonds &
Notes | | | Convertible
Preferred
Stocks | | | Rights | | | Warrant | |
| Emerging Market Equity Fund | | | | | | | | | | | | | | | | | | | | | | | | |
Balance as of August 31, 2018 | | $ | 4,194 | * | | $ | 1,949 | | | $ | — | | | $ | — | | | $ | 2,245 | * | | $ | — | * |
Total realized gain (loss) | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Change in unrealized appreciation (depreciation) | | | (3,934 | ) | | | (1,689 | ) | | | — | | | | — | | | | (2,245 | ) | | | — | |
Purchases | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
(Sales) | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Transfers In | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
(Transfers Out) | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Balance as of February 28, 2019 | | $ | 260 | | | $ | 260 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Change in unrealized appreciation (depreciation) from Investments held as of February 28, 2019 | | $ | (1,689 | ) | | $ | (1,689 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| Core Fixed Income Fund | | | | | | | | | | | | | | | | | | | | | | | | |
Balance as of August 31, 2018 | | $ | — | * | | $ | — | | | $ | — | * | | $ | — | | | $ | — | | | $ | — | |
Total realized gain (loss) | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Change in unrealized appreciation (depreciation) | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Purchases | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
(Sales) | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Transfers In | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
(Transfers Out) | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Balance as of February 28, 2019 | | $ | — | * | | $ | — | | | $ | — | * | | $ | — | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Change in unrealized appreciation (depreciation) from Investments held as of February 28, 2019 | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| High Yield Fund | | | | | | | | | | | | | | | | | | | | | | | | |
Balance as of August 31, 2018 | | $ | 479,128 | * | | $ | 273,891 | * | | $ | 162,832 | * | | $ | 42,405 | | | $ | — | | | $ | — | |
Total realized gain (loss) | | | (201,725 | ) | | | 36,307 | | | | (8,492 | ) | | | (229,540 | ) | | | — | | | | — | |
Accrued discounts (premiums) | | | 1,877 | | | | — | | | | 1,877 | | | | — | | | | — | | | | — | |
Change in unrealized appreciation (depreciation) | | | 25,904 | | | | (165,890 | ) | | | 6,615 | | | | 185,179 | | | | — | | | | — | |
Purchases | | | 9,214 | | | | — | | | | 5,825 | | | | 3,389 | | | | — | | | | — | |
(Sales) | | | (295,431 | ) | | | (125,341 | ) | | | (168,657 | ) | | | (1,433 | ) | | | — | | | | — | |
Transfers In | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
(Transfers Out) | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Balance as of February 28, 2019 | | $ | 18,967 | * | | $ | 18,967 | * | | $ | — | * | | $ | — | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Change in unrealized appreciation (depreciation) from Investments held as of February 28, 2019 | | $ | 14,046 | * | | $ | 14,046 | * | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| * | Includes securities that are valued at $0. |
(b) Accounting for Derivative Instruments. Derivative instruments require enhanced disclosures regarding a Fund’s credit derivatives holdings, including credit default swaps, credit spread options and hybrid financial instruments containing embedded credit derivatives.
All open derivative positions at the period end for each Fund are disclosed in the Fund’s Schedule of Investments.
291
| | |
| | | |
| Notes to Financial Statements | | |
Certain Funds may use derivative instruments including futures, options, forward foreign currency contracts, swaptions and swap contracts as part of their investment strategies. Following is a description of these derivative instruments, including the primary underlying risk exposures related to each instrument type:
(i) Futures Contracts.Certain Funds may enter into futures contracts, to the extent permitted by their investment policies and objectives, for bonafide hedging and other permissible risk management purposes including protecting against anticipated changes in the value of securities a Fund intends to purchase. Upon entering into a futures contract, a Fund is required to deposit cash or securities as initial margin. Additional securities are also segregated as collateral up to the current market value of the futures contracts. Subsequent payments, known as variation margin, are made or received by the Fund, depending on the fluctuation in the value of the underlying financial instruments and are reported on the Statements of Assets and Liabilities. The Fund recognizes an unrealized gain or loss equal to the variation margin. When futures contracts are closed, a realized gain or loss is recognized which is equal to the difference between the proceeds from (or cost of) the closing transactions and the Fund’s basis in the contracts.
The risks associated with entering into futures contracts include the possibility that a change in the value of the contract may not correlate with the changes in the value of the underlying instruments. In addition, investing in futures contracts involves the risk that the Fund could lose more than the original margin deposit due to subsequent payments that may be required for a futures transaction.
(ii) Options Written.Certain Funds may write options to manage exposure to certain changes in the market. When a Fund writes an option, an amount equal to the premium received by the Fund is recorded as a liability, the value of which ismarked-to-market daily to reflect the current market value of the option written. If the option expires, the Fund realizes a gain from investments equal to the amount of the premium received. When a written call option is exercised, the premium received is added to the proceeds from the sale of the underlying security in determining whether the Fund has a realized gain or loss. When a written put option is exercised, the amount of the premium received reduces the cost of the security purchased by the Fund.
When writing a covered call option, a Fund may forego the opportunity of profit if the market price of the underlying security increases more than the premium received and the option is exercised. When writing a put option, a Fund may incur a loss if the market price of the underlying security decreases more than the premium received and the option is exercised. In addition, there is the risk that the Fund may not be able to enter into a closing transaction because of an illiquid secondary market.
(iii) Purchased Options.Certain Funds may purchase options to manage exposure to certain changes in the market. A Fund will normally purchase call options in anticipation of an increase in the market value of securities of the type in which they may invest, an amount equal to the value is recorded as an asset. The purchase of a call option will entitle a Fund, in return for the premium paid, to purchase specified securities at a specified price during the option period. A Fund will ordinarily realize a gain if, during the option period, the value of such securities exceeded the sum of the exercise price, the premium paid and transaction costs; otherwise, the Fund will realize a loss equal to the amount of the premium paid on the purchase of the call option.
A Fund will normally purchase put options in anticipation of a decline in the market value of securities in its portfolio (“protective puts”) or in securities in which it may invest. The purchase of a put option will entitle the Fund, in exchange for the premium paid, to sell specified securities at a specified price during the option period. The purchase of protective puts is designed to offset or hedge against a decline in the market value of the Fund’s securities. Put options may also be purchased by a Fund for the purpose of affirmatively benefiting from a decline in the price of securities which it does not own. The Fund will ordinarily realize a gain if, during the option period, the value of the underlying securities decreased below the exercise price sufficiently to more than cover the premium and transaction costs; otherwise the Fund will realize a loss equal to the amount of the premium paid on the purchase of the put option. Gains and losses on the purchase of protective put options would tend to be offset by countervailing changes in the value of the underlying portfolio securities.
(iv) Inflation-Capped Options. Certain Funds may write or purchase inflation-capped options to enhance returns or for hedging opportunities. When a Fund writes an inflation-capped option, an amount equal to the premium received is recorded as a liability on the Statements of Assets and Liabilities and subsequently marked to market to reflect the change value of the
292
| | |
| | | |
| Notes to Financial Statements | | |
option written. When a Fund purchases an inflation-capped option, the Fund pays a premium which is recorded as an asset on the Statements of Assets and Liabilities and subsequently marked to market to reflect the current value of the option. The purpose of purchasing inflation-capped options is to protect a Fund from inflation erosion above a certain rate on a given notional exposure. A floor can be used to give downside protection to investments in inflation-linked products.
(v) Forward Foreign Currency Contracts.Certain Funds may enter into forward foreign currency contracts to hedge against foreign currency exchange rate risk on theirnon-U.S. dollar denominated securities or to facilitate settlement of foreign currency denominated portfolio transactions. A forward foreign currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date. The contract ismarked-to-market daily and the change in value is recorded by a Fund as an unrealized gain or loss. When a forward foreign currency contract is extinguished, through either delivery or offset by entering into another forward foreign currency contract, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it was extinguished.
Forward foreign currency contracts involve elements of market risk in excess of the amounts reflected in the Statements of Assets and Liabilities. The Fund bears the risk of an unfavorable change in the foreign exchange rate underlying the forward foreign currency contract. Risks may also arise upon entering into these contracts from the potential inability of the counterparties to meet the terms of their contracts.
(vi)Swaptions. Swaptions contracts entered into by the Funds typically represent an option that gives the purchaser the right, but not the obligation, to enter into a swap contract on a future date. Certain Funds may purchase swaptions to manage exposure to fluctuations in interest rates and to enhance portfolio yield. Changes in the value of purchased swaptions are reported as net change in unrealized appreciation or depreciation on the Statements of Operations and Changes in Net Assets. Gain or loss is recognized when the swaptions contract expires or is closed as net realized gain or loss on the Statements of Operations and Changes in Net Assets. Details of purchased swaptions contracts held at period end are included on the Fund’s Schedule of Investments under the caption “Purchased Options.”
Certain Funds may write swaption contracts to manage exposure to fluctuations in interest rates and to enhance portfolio yield. Swaption contracts written by a Fund represent an option that obligates the writer upon exercise by the purchaser, to enter into a previously agreed upon swap contract on a future date. If a written call swaption is exercised, the writer will enter into a swap and is obligated to pay the fixed rate and receive a floating rate in exchange. If a written put swaption is exercised, the writer will enter a swap and is obligated to pay the floating rate and receive a fixed rate in exchange.
When a Fund writes a swaption, the premium received is recorded as a liability in the Statements of Assets and Liabilities and is subsequently adjusted to the current market value of the swaption. Changes in the value of the swaption are reported as unrealized gains or losses in the Statements of Operations. A gain or loss is recognized when the swaption contract expires or is closed. Premiums received from writing swaptions that expire or are exercised are treated by the Fund as realized gains from investments. The difference between the premium and the amount paid on effecting a closing purchase transaction is also treated as a realized gain or, if the premium received is less than the amount paid for the closing purchase, as a realized loss.
Entering into a swaption contract involves, to varying degrees, the elements of credit, market and interest rate risk, associated with both option contracts and swap contracts. To reduce credit risk from potential counterparty default, a Fund only enters into swaption contracts with counterparties that meet certain standards of creditworthiness. A Fund bears the market risk arising from any change in index values or interest rates.
(vii) Swap Contracts.Swaps involve the exchange by a Fund with another party of the respective amounts payable with respect to a notional principal amount related to one or more indices. Certain Funds may enter into these transactions to preserve a return or spread on a particular investment or portion of its assets, as a duration management technique or to protect against any increase in the price of securities the Fund anticipates purchasing at a later date. Certain Funds may also use these transactions for speculative purposes, such as to obtain the price performance of a security without actually purchasing the security in circumstances where, for example, the subject security is illiquid, is unavailable for direct investment or available only on less attractive terms.
Swaps aremarked-to-market daily based upon quotations from market makers and the change, if any, is recorded as change in unrealized appreciation or depreciation in the Statements of Operations. Net receipts or payments of interest are recorded as
293
| | |
| | | |
| Notes to Financial Statements | | |
realized gains or losses, respectively. Gains and losses are realized upon termination of a swap contract. An upfront payment received by the Fund, is recorded as a liability on the Fund’s books. An upfront payment made by the Fund is recorded as an asset on the Fund’s books. Any upfront payments paid or received upon entering a swap contract to compensate for differences between stated terms of the agreement and prevailing market conditions (e.g. credit spreads, interest rates or other factors) are recorded as a realized gain or loss at the termination of the swap.
Swaps have risks associated with them, including possible default by the counterparty to the transaction, illiquidity and, where swaps are used as hedges, the risk that the use of a swap could result in losses greater than if the swap had not been employed. This risk is mitigated by the posting of collateral by the counterparty to the Fund to cover the Fund’s exposure to the counterparty. Such amounts are reported on the Statements of Assets and Liabilities as deposits with counterparties.
(viii)Credit Default Swaps.Certain Funds may enter into credit default swap contracts for investment purposes, to manage their credit risk or to add leverage. As a seller in a credit default swap contract, a Fund is required to pay the notional or other agreed-upon value to the counterparty in the event of a default by a third party, such as a U.S. or foreign corporate issuer, on the referenced debt obligation. In return, the Fund receives from the counterparty a periodic stream of payments over the term of the contract provided that no event of default has occurred. If no default occurs, the Fund keeps the stream of payments and has no payment obligations. Such periodic payments are accrued daily and accounted for as realized gains.
Certain Funds may also purchase credit default swap contracts in order to hedge against the risk of default by debt securities held in their portfolios. In these cases a Fund functions as the counterparty referenced in the preceding paragraph. As a purchaser of a credit default swap contract, the Fund receives the notional or other agreed upon value from the counterparty in the event of a default by a third party, such as a U.S. or foreign corporate issuer, on the referenced debt obligation. In return, the Fund makes periodic payments to the counterparty over the term of the contract provided no event of default has occurred. Such periodic payments are accrued daily and accounted for as realized losses.
For a credit default swap sold by a Fund, payment of the agreed upon amount made by the Fund in the event of default of the referenced debt obligation is recorded as the cost of the referenced debt obligation received. For a credit default swap purchased by a Fund, the agreed upon amount received by the Fund in the event of default of the referenced debt obligation is recorded as proceeds from sale/delivery of the referenced debt obligation and the resulting gain or loss realized on the referenced debt obligation is recorded as such by the Fund.
Entering into credit default swaps involves, to varying degrees, elements of credit and market risk in excess of the related amounts recognized on the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there will be unfavorable changes in net interest rates. As privately negotiated transactions, swaps may involve risk, which is the risk that the swap contracts fail to contemplate a particular outcome or that the parties disagree about the proper interpretation of a transaction term.
(ix)Interest Rate Swaps.Certain Funds may enter into interest rate swaps for investment purposes to manage exposure to fluctuations in interest rates or to add leverage. Interest rate swaps represent an agreement between two counterparties to exchange cash flows based on the difference in the fixed interest rate and the floating interest rate, applied to the notional principal amount for a specified period. The payment flows are usually netted against each other, with the difference being paid by one party to the other. Once the payments are settled in cash, the net amount is recorded as realized gain or loss from swap contracts on the Statements of Operations. The Funds settle accrued net receivable or payable under the swap contracts on a periodic basis.
The primary risk associated with interest rate swaps is that unfavorable changes in interest rates could adversely impact a Fund.
(x)Centrally Cleared Swaps.Certain clearinghouses currently offer clearing for limited types of derivatives transactions, principally credit and interest derivatives. In a centrally cleared derivative transaction, a Fund typically enters into the transaction with financial institution counterparty, and performance of the transaction is effectively guaranteed by a central clearinghouse, thereby reducing or eliminating the Fund’s exposure to the credit risk of the original counterparty. The Fund typically will be required to post specified levels of margin with the clearinghouse or at the instruction of the clearinghouse. The margin required by a clearinghouse may be greater than the margin the Fund would be required to post in an uncleared
294
| | |
| | | |
| Notes to Financial Statements | | |
derivative transaction. Daily changes in valuation of centrally cleared swaps, if any, are recorded as variation margin receivable or payable on swap contracts for the change in value as appropriate on the Statements of Assets and Liabilities. Only a limited number of derivative transactions are currently eligible for clearing by clearinghouses.
(xi)Cross-Currency Swaps.Certain Funds may enter into cross-currency swaps to gain or mitigate exposure to currency risk. Cross-currency swaps involve two parties exchanging two different currencies with an agreement to reverse the exchange at a later date at specific exchange rates. The exchange of currencies at the inception date of the contract takes place at the current spot rate. There-exchange at maturity may take place at the same exchange rate, a specified rate, or the then current spot rate. Interest payments, if applicable, are made between the parties based on interest rates available in the two currencies at the inception of the contract. The terms of cross-currency swap contracts may extend for many years. Cross-currency swaps are usually negotiated with commercial and investment banks. Some cross-currency swaps may not provide for exchanging principal cash flows, but only for exchanging interest cash flows.
(xii)Volatility Swap Contracts.A volatility swap is an agreement between counterparties to exchange periodic payments based on the measured volatility of a reference security, index, currency or other reference investment over a specified time frame. One cash flow is typically based on the realized volatility of the reference investment as measured by changes in its price or level over the specified time period while the other cash flow is based on a specified rate representing expected volatility for the reference investment at the time the swap is executed, or the measured volatility of a different reference investment over the specified time period. The appreciation or depreciation on a volatility swap will typically depend on the magnitude of the reference investment’s volatility, or size of the movements in its price, over the specified time period, rather than general directional increases or decreases in its price.
Volatility swaps are less standard in structure than other types of swaps and provide pure, or isolated, exposure to volatility risk of the specific underlying reference investment. Volatility swaps are typically used to speculate on future volatility levels, to trade the spread between realized and expected volatility, or to decrease the volatility exposure of investments held by the Fund.
Variance swaps are a type of volatility swap where counterparties agree to exchange periodic payments based on the measured variance (or the volatility squared) of a reference security, index, or other reference investment over a specified time period. At payment date, a net cash flow will be exchanged based on the difference between the realized variance of the reference investment over the specified time period and the specified rate representing expected variance for the reference investment at the time the swap is executed multiplied by the notional amount of the contract.
(xiii)Inflation Rate Swap Contracts.The Fund may enter into inflation rate swap contracts to attempt to hedge against inflation. Pursuant to the inflation rate swap agreement, the Fund negotiates with a counterparty to exchange a periodic stream of payments, based on a benchmark inflation index. One cash flow stream will typically be a floating rate payment linked to the specified inflation index while the other is typically a fixed interest rate.
Inflation rate swaps are normally issued on a zero coupon basis where all payments compound during the life of the contract and are netted upon the termination or maturity of the contract. Final payments received or paid by the Fund are recorded as realized gains or losses in the Statements of Operations. Inflation rate swap contracts are subject to movements in interest rates.
The following is a summary of the fair valuations of the Funds’ derivative instruments categorized by risk exposure at February 28, 2019:
Large Cap Equity Fund
| | | | | | | | | | | | | | | | | | | | |
Fair Values of Derivative Instruments on the Statements of Assets and Liabilities as of February 28, 2019 | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Asset derivatives | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on open futures contracts (b) | | $ | — | | | $ | — | | | $ | — | | | $ | 970,578 | | | $ | 970,578 | |
| | | | | | | | | | | | | | | | | | | | |
295
| | |
| | | |
| Notes to Financial Statements | | |
| | | | | | | | | | | | | | | | | | | | |
Effect of Derivative Instruments on the Statements of Operations for the Period Ended February 28, 2019 | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Realized gain/(loss) on derivatives (d) | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | (1,177,979 | ) | | $ | (1,177,979 | ) |
| | | | | | | | | | | | | | | | | | | | |
| Change in unrealized appreciation (depreciation) on derivatives (e) | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | 528,939 | | | $ | 528,939 | |
| | | | | | | | | | | | | | | | | | | | |
Small-Mid Cap Equity Fund
| | | | | | | | | | | | | | | | | | | | |
Fair Values of Derivative Instruments on the Statements of Assets and Liabilities as of February 28, 2019 | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Asset derivatives | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on open futures contracts (b) | | $ | — | | | $ | — | | | $ | — | | | $ | 225,257 | | | $ | 225,257 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Effect of Derivative Instruments on the Statements of Operations for the Period Ended February 28, 2019 | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Realized gain/(loss) on derivatives (d) | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | (411,315 | ) | | $ | (411,315 | ) |
| | | | | | | | | | | | | | | | | | | | |
| Change in unrealized appreciation (depreciation) on derivatives (e) | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | 174,899 | | | $ | 174,899 | |
| | | | | | | | | | | | | | | | | | | | |
International Equity Fund
| | | | | | | | | | | | | | | | | | | | |
Fair Values of Derivative Instruments on the Statements of Assets and Liabilities as of February 28, 2019 | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Asset derivatives | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on open futures contracts (b) | | $ | — | | | $ | — | | | $ | — | | | $ | 104,841 | | | $ | 104,841 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Effect of Derivative Instruments on the Statements of Operations for the Period Ended February 28, 2019 | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Realized gain/(loss) on derivatives (d) | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | (203,085 | ) | | $ | (203,085 | ) |
Forward foreign currency contracts | | $ | — | | | $ | (457 | ) | | $ | — | | | $ | — | | | $ | (457 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | $ | — | | | $ | (457 | ) | | $ | — | | | $ | (203,085 | ) | | $ | (203,542 | ) |
| | | | | | | | | | | | | | | | | | | | |
| Change in unrealized appreciation (depreciation) on derivatives (e) | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | 114,585 | | | $ | 114,585 | |
| | | | | | | | | | | | | | | | | | | | |
296
| | |
| | | |
| Notes to Financial Statements | | |
Emerging Markets Equity Fund
| | | | | | | | | | | | | | | | | | | | |
Fair Values of Derivative Instruments on the Statements of Assets and Liabilities as of February 28, 2019 | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Asset derivatives | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on open futures contracts (b) | | $ | — | | | $ | — | | | $ | — | | | $ | 91,402 | | | $ | 91,402 | |
| | | | | | | | | | | | | | | | | | | | |
|
Effect of Derivative Instruments on the Statements of Operations for the Period Ended February 28, 2019 | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Realized gain/(loss) on derivatives (d) | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | | | | $ | — | | | $ | — | | | $ | (186,205 | ) | | $ | (186,205 | ) |
| | | | | | | | | | | | | | | | | | | | |
| Change in unrealized appreciation (depreciation) on derivatives (e) | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | 150,292 | | | $ | 150,292 | |
| | | | | | | | | | | | | | | | | | | | |
Core Fixed Income Fund
Fair Values of Derivative Instruments on the Statements of Assets and Liabilities as of February 28, 2019
| | | | | | | | | | | | | | | | | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Asset derivatives | | | | | | | | | | | | | | | | | | | | |
Purchased options (c) | | $ | 171,844 | | | $ | 119,829 | | | $ | — | | | $ | — | | | $ | 291,673 | |
Unrealized appreciation on open futures contracts (b) | | | 690,338 | | | | 3,525 | | | | — | | | | — | | | | 693,863 | |
Unrealized appreciation on forward foreign currency contracts (c) | | | — | | | | 371,175 | | | | — | | | | — | | | | 371,175 | |
Unrealized appreciation on centrally cleared swaps (f) | | | 188,522 | | | | — | | | | 99,988 | | | | — | | | | 288,510 | |
Unrealized appreciation on OTC swaps (c) | | | 272,088 | | | | — | | | | — | | | | — | | | | 272,088 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 1,322,792 | | | $ | 494,529 | | | $ | 99,988 | | | $ | — | | | $ | 1,917,309 | |
| | | | | | | | | | | | | | | | | | | | |
| Liability derivatives | | | | | | | | | | | | | | | | | | | | |
Options contracts written outstanding (a) | | $ | 175,094 | | | $ | 16,877 | | | $ | — | | | $ | — | | | $ | 191,971 | |
Unrealized depreciation on open futures contracts (b) | | | 1,182,185 | | | | — | | | | — | | | | — | | | | 1,182,185 | |
Unrealized depreciation on forward foreign currency contracts (a) | | | — | | | | 408,620 | | | | — | | | | — | | | | 408,620 | |
Unrealized depreciation on centrally cleared swaps (f) | | | 518,957 | | | | — | | | | — | | | | — | | | | 518,957 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 1,876,236 | | | $ | 425,497 | | | $ | — | | | $ | — | | | $ | 2,301,733 | |
| | | | | | | | | | | | | | | | | | | | |
297
| | |
| | | |
| Notes to Financial Statements | | |
Effect of Derivative Instruments on the Statements of Operations for the Period Ended February 28, 2019
| | | | | | | | | | | | | | | | | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Realized gain/(loss) on derivatives (d) | | | | | | | | | | | | | | | | | | | | |
Purchased options | | $ | (897,343 | ) | | $ | (86,205 | ) | | $ | — | | | $ | — | | | $ | (983,548 | ) |
Futures contracts. | | | 124,534 | | | | — | | | | — | | | | — | | | | 124,534 | |
Options contracts written | | | 1,683,891 | | | | 78,530 | | | | — | | | | — | | | | 1,762,421 | |
Swap contracts | | | 97,233 | | | | — | | | | 47,321 | | | | — | | | | 144,554 | |
Forward foreign currency contracts | | | — | | | | (2,400 | ) | | | — | | | | — | | | | (2,400 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 1,008,315 | | | $ | (10,075 | ) | | $ | 47,321 | | | $ | — | | | $ | 1,045,561 | |
| | | | | | | | | | | | | | | | | | | | |
| Change in unrealized appreciation (depreciation) on derivatives (e) | | | | | | | | | | | | | | | | | | | | |
Purchased options | | $ | 82,769 | | | $ | (53,605 | ) | | $ | — | | | $ | — | | | $ | 29,164 | |
Futures contracts. | | | (274,040 | ) | | | (15,077 | ) | | | — | | | | — | | | | (289,117 | ) |
Options contracts written | | | (5,711 | ) | | | (14,756 | ) | | | — | | | | — | | | | (20,467 | ) |
Swap contracts | | | (36,284 | ) | | | — | | | | 124,072 | | | | — | | | | 87,788 | |
Forward foreign currency contracts | | | — | | | | 512,901 | | | | — | | | | — | | | | 512,901 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | (233,266 | ) | | $ | 429,463 | | | $ | 124,072 | | | $ | — | | | $ | 320,269 | |
| | | | | | | | | | | | | | | | | | | | |
International Fixed Income Fund
Fair Values of Derivative Instruments on the Statements of Assets and Liabilities as of February 28, 2019
| | | | | | | | | | | | | | | | | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Asset derivatives | | | | | | | | | | | | | | | | | | | | |
Purchased options (c) | | $ | — | | | $ | 21,219 | | | $ | — | | | $ | — | | | $ | 21,219 | |
Unrealized appreciation on open futures contracts (b) | | | 693,241 | | | | — | | | | — | | | | — | | | | 693,241 | |
Unrealized appreciation on forward foreign currency contracts (c) | | | — | | | | 1,934,611 | | | | — | | | | — | | | | 1,934,611 | |
Unrealized appreciation on centrally cleared swaps (f) | | | 1,364,998 | | | | — | | | | 512,607 | | | | — | | | | 1,877,605 | |
Unrealized appreciation on OTC swaps (c) | | | — | | | | — | | | | 18,916 | | | | — | | | | 18,916 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 2,058,239 | | | $ | 1,955,830 | | | $ | 531,523 | | | $ | — | | | $ | 4,545,592 | |
| | | | | | | | | | | | | | | | | | | | |
| Liability derivatives | | | | | | | | | | | | | | | | | | | | |
Options contracts written outstanding (a) | | $ | 17,466 | | | $ | 27,028 | | | $ | 170 | | | $ | — | | | $ | 44,664 | |
Unrealized depreciation on open futures contracts (b) | | | 170,720 | | | | — | | | | — | | | | — | | | | 170,720 | |
Unrealized depreciation on forward foreign currency contracts (a) | | | — | | | | 734,885 | | | | — | | | | — | | | | 734,885 | |
Unrealized depreciation on centrally cleared swaps (f) | | | 853,203 | | | | — | | | | 70,081 | | | | — | | | | 923,284 | |
Unrealized depreciation on OTC swaps (a) | | | — | | | | 118,734 | | | | 52,605 | | | | — | | | | 171,339 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 1,041,389 | | | $ | 880,647 | | | $ | 122,856 | | | $ | — | | | $ | 2,044,892 | |
| | | | | | | | | | | | | | | | | | | | |
298
| | |
| | | |
| Notes to Financial Statements | | |
Effect of Derivative Instruments on the Statements of Operations for the Period Ended February 28, 2019
| | | | | | | | | | | | | | | | | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Realized gain/(loss) on derivatives (d) | | | | | | | | | | | | | | | | | | | | |
Purchased options | | $ | (2,711 | ) | | $ | (24,839 | ) | | $ | — | | | $ | — | | | $ | (27,550 | ) |
Futures contracts. | | | (562,480 | ) | | | — | | | | — | | | | — | | | | (562,480 | ) |
Options contracts written | | | 67,404 | | | | 65,579 | | | | 17,192 | | | | — | | | | 150,175 | |
Swap contracts | | | 958,254 | | | | 38,780 | | | | (502,411 | ) | | | — | | | | 494,623 | |
Forward foreign currency contracts | | | — | | | | 2,010,777 | | | | — | | | | — | | | | 2,010,777 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 460,467 | | | $ | 2,090,297 | | | $ | (485,219 | ) | | $ | — | | | $ | 2,065,545 | |
| | | | | | | | | | | | | | | | | | | | |
| Change in unrealized appreciation (depreciation) on derivatives (e) | | | | | | | | | | | | | | | | | | | | |
Purchased options | | $ | 102 | | | $ | 20,582 | | | $ | — | | | $ | — | | | $ | 20,684 | |
Futures contracts. | | | 621,758 | | | | — | | | | — | | | | — | | | | 621,758 | |
Options contracts written | | | (866 | ) | | | 5,259 | | | | (1,822 | ) | | | — | | | | 2,571 | |
Swap contracts | | | (955,771 | ) | | | (149,135 | ) | | | (44,737 | ) | | | — | | | | (1,149,643 | ) |
Forward foreign currency contracts | | | — | | | | 692,898 | | | | — | | | | — | | | | 692,898 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | (334,777 | ) | | $ | 569,604 | | | $ | (46,559 | ) | | $ | — | | | $ | 188,268 | |
| | | | | | | | | | | | | | | | | | | | |
Municipal Bond Fund
| | | | | | | | | | | | | | | | | | | | |
Fair Values of Derivative Instruments on the Statements of Assets and Liabilities as of February 28, 2019 | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Asset derivatives | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on open futures contracts (b) | | $ | 13,750 | | | $ | — | | | $ | — | | | $ | — | | | $ | 13,750 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Effect of Derivative Instruments on the Statements of Operations for the Period Ended February 28, 2019 | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Realized gain/(loss) on derivatives (d) | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | (27 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | (27 | ) |
| | | | | | | | | | | | | | | | | | | | |
| Change in unrealized appreciation (depreciation) on derivatives (e) | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | 13,750 | | | $ | — | | | $ | — | | | $ | — | | | $ | 13,750 | |
| | | | | | | | | | | | | | | | | | | | |
299
| | |
| | | |
| Notes to Financial Statements | | |
Inflation-Linked Fixed Income Fund
Fair Values of Derivative Instruments on the Statements of Assets and Liabilities as of February 28, 2019
| | | | | | | | | | | | | | | | | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Asset derivatives | | | | | | | | | | | | | | | | | | | | |
Purchased options (c) | | $ | 128,512 | | | $ | — | | | $ | — | | | $ | — | | | $ | 128,512 | |
Unrealized appreciation on open futures contracts (b) | | | 348,764 | | | | — | | | | — | | | | — | | | | 348,764 | |
Unrealized appreciation on forward foreign currency contracts (c) | | | — | | | | 268,563 | | | | — | | | | — | | | | 268,563 | |
Unrealized appreciation on centrally cleared swaps (f) | | | 1,172,387 | | | | — | | | | 50,117 | | | | — | | | | 1,222,504 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 1,649,663 | | | $ | 268,563 | | | $ | 50,117 | | | $ | — | | | $ | 1,968,343 | |
| | | | | | | | | | | | | | | | | | | | |
| Liability derivatives | | | | | | | | | | | | | | | | | | | | |
Options contracts written outstanding (a) | | $ | 141,365 | | | $ | — | | | $ | 37 | | | $ | — | | | $ | 141,402 | |
Unrealized depreciation on open futures contracts (b) | | | 428,345 | | | | — | | | | — | | | | — | | | | 428,345 | |
Unrealized depreciation on forward foreign currency contracts (a) | | | — | | | | 194,446 | | | | — | | | | — | | | | 194,446 | |
Unrealized depreciation on centrally cleared swaps (f) | | | 626,608 | | | | — | | | | — | | | | — | | | | 626,608 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 1,196,318 | | | $ | 194,446 | | | $ | 37 | | | $ | — | | | $ | 1,390,801 | |
| | | | | | | | | | | | | | | | | | | | |
Effect of Derivative Instruments on the Statements of Operations for the Period Ended February 28, 2019
| | | | | | | | | | | | | | | | | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Realized gain/(loss) on derivatives (d) | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | (211,572 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | (211,572 | ) |
Options contracts written | | | 109,224 | | | | 11,178 | | | | 8,668 | | | | — | | | | 129,070 | |
Swap contracts | | | (86,412 | ) | | | — | | | | 33,664 | | | | — | | | | (52,748 | ) |
Forward foreign currency contracts | | | — | | | | 837,156 | | | | — | | | | — | | | | 837,156 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | (188,760 | ) | | $ | 848,334 | | | $ | 42,332 | | | $ | — | | | $ | 701,906 | |
| | | | | | | | | | | | | | | | | | | | |
| Change in unrealized appreciation (depreciation) on derivatives (e) | | | | | | | | | | | | | | | | | | | | |
Purchased options | | $ | (10,362 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | (10,362 | ) |
Futures contracts. | | | (179,388 | ) | | | — | | | | — | | | | — | | | | (179,388 | ) |
Options contracts written | | | 3,079 | | | | 10,195 | | | | (899 | ) | | | — | | | | 12,375 | |
Swap contracts | | | 166,230 | | | | — | | | | (31,361 | ) | | | — | | | | 134,869 | |
Forward foreign currency contracts | | | — | | | | (939,872 | ) | | | — | | | | — | | | | (939,872 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | $ | (20,441 | ) | | $ | (929,677 | ) | | $ | (32,260 | ) | | $ | — | | | $ | (982,378 | ) |
| | | | | | | | | | | | | | | | | | | | |
Ultra-Short Term Fixed Income Fund
Fair Values of Derivative Instruments on the Statements of Assets and Liabilities as of February 28, 2019
| | | | | | | | | | | | | | | | | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Asset derivatives | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on open futures contracts (b) | | $ | 995,322 | | | $ | — | | | $ | — | | | $ | — | | | $ | 995,322 | |
Unrealized appreciation on forward foreign currency contracts (c) | | | — | | | | 374,174 | | | | — | | | | — | | | | 374,174 | |
Unrealized appreciation on centrally cleared swaps (f) | | | 139,889 | | | | — | | | | — | | | | — | | | | 139,889 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 1,135,211 | | | $ | 374,174 | | | $ | — | | | $ | — | | | $ | 1,509,385 | |
| | | | | | | | | | | | | | | | | | | | |
| Liability derivatives | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on open futures contracts (b) | | $ | 17,684 | | | $ | — | | | $ | — | | | $ | — | | | $ | 17,684 | |
Unrealized depreciation on forward foreign currency contracts (a) | | | — | | | | 180,534 | | | | — | | | | — | | | | 180,534 | |
Unrealized depreciation on centrally cleared swaps (f) | | | 606,480 | | | | — | | | | 95,952 | | | | — | | | | 702,432 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 624,164 | | | $ | 180,534 | | | $ | 95,952 | | | $ | — | | | $ | 900,650 | |
| | | | | | | | | | | | | | | | | | | | |
300
| | |
| | | |
| Notes to Financial Statements | | |
Effect of Derivative Instruments on the Statements of Operations for the Period Ended February 28, 2019
| | | | | | | | | | | | | | | | | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Realized gain/(loss) on derivatives (d) | | | | | | | | | | | | | | | | | | | | |
Purchased options | | $ | (18,762 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | (18,762 | ) |
Futures contracts | | | (2,507,292 | ) | | | — | | | | — | | | | — | | | $ | (2,507,292 | ) |
Swap contracts | | | (508,238 | ) | | | — | | | | 21,252 | | | | — | | | | (486,986 | ) |
Forward foreign currency contracts | | | — | | | | 895,850 | | | | — | | | | — | | | | 895,850 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | (3,034,292 | ) | | $ | 895,850 | | | $ | 21,252 | | | $ | — | | | $ | (2,117,190 | ) |
| | | | | | | | | | | | | | | | | | | | |
| Change in unrealized appreciation (depreciation) on derivatives (e) | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | 794,793 | | | $ | — | | | $ | — | | | $ | — | | | $ | 794,793 | |
Swap contracts | | | (472,574 | ) | | | — | | | | (62,986 | ) | | | — | | | | (535,560 | ) |
Forward foreign currency contracts | | | — | | | | 168,760 | | | | — | | | | — | | | | 168,760 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 322,219 | | | $ | 168,760 | | | $ | (62,986 | ) | | $ | — | | | $ | 427,993 | |
| | | | | | | | | | | | | | | | | | | | |
| (a) | Statements of Assets and Liabilities location: Unrealized depreciation on open forward foreign currency contracts, unrealized depreciation on OTC swap contracts or options contracts written, at value. |
| (b) | Only variation margin, if any, is reported within the Statements of Assets and Liabilities. Cumulative appreciation (depreciation) on futures contracts is reported in the open exchanged-traded futures contracts table in the Fund’s Schedule of Investments. |
| (c) | Statements of Assets and Liabilities location: Investments, at value or unrealized appreciation on open forward foreign currency contracts or unrealized appreciation on OTC swap contracts. |
| (d) | Statements of Operations location: Net realized gain (loss) from investments, forward foreign currency contracts, futures contracts, options contracts written or swap contracts. |
| (e) | Statements of Operations location: Change in net unrealized appreciation (depreciation) from investments, forward foreign currency contracts, futures contracts, options contracts written or swap contracts. |
| (f) | Only variation margin, if any, is reported within the Statements or Assets and Liabilities. Cumulative appreciation (depreciation) on centrally cleared swaps is reported in the open swap contracts tables in the Fund’s Schedule or Investments. |
The average notional amounts of futures contracts, swaps contracts and forward foreign currency contracts, and the average market value of options contracts written and purchased options outstanding during the period ended February 28, 2019 were as follows:
Large Cap Equity Fund
| | | | | | | | | | | | | | | | |
| | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | 11,629,081 | |
Small-Mid Cap Equity Fund
| | | | | | | | | | | | | | | | |
| | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | 2,661,207 | |
International Equity Fund
| | | | | | | | | | | | | | | | |
| | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | 2,288,710 | |
Forward foreign currency contracts | | | — | | | | 56,927 | | | | — | | | | — | |
301
| | |
| | | |
| Notes to Financial Statements | | |
Emerging Markets Equity Fund
| | | | | | | | | | | | | | | | |
| | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | 2,051,377 | |
Core Fixed Income Fund
| | | | | | | | | | | | | | | | |
| | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | |
Purchased options | | $ | 225,181 | | | $ | 86,196 | | | $ | — | | | $ | — | |
Futures contracts | | | 446,999,925 | | | | 870,601 | | | | — | | | | — | |
Option contracts written | | | 317,125 | | | | 19,898 | | | | — | | | | — | |
Swap contracts | | | 109,563,857 | | | | — | | | | 2,196,400 | | | | — | |
Forward foreign currency contracts | | | — | | | | 51,200,021 | | | | — | | | | — | |
International Fixed Income Fund
| | | | | | | | | | | | | | | | |
| | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | |
Purchased options | | $ | 18,447 | | | $ | 19,471 | | | $ | — | | | $ | — | |
Futures contracts | | | 313,596,831 | | | | — | | | | — | | | | — | |
Option contracts written | | | 32,480 | | | | 39,394 | | | | 4,036 | | | | — | |
Swap contracts | | | 386,082,074 | | | | 16,781,285 | | | | 73,048,804 | | | | — | |
Forward foreign currency contracts | | | — | | | | 237,917,329 | | | | — | | | | — | |
Municipal Bond Fund
| | | | | | | | | | | | | | | | |
| | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | |
Futures contracts | | $ | 350,536 | | | $ | — | | | $ | — | | | $ | — | |
Inflation-Linked Fixed Income Fund
| | | | | | | | | | | | | | | | |
| | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | |
Purchased options | | $ | 18,359 | | | $ | — | | | $ | — | | | $ | — | |
Futures contracts | | | 121,182,527 | | | | — | | | | — | | | | — | |
Option contracts written | | | 36,375 | | | | 5,100 | | | | 1,663 | | | | — | |
Swap contracts | | | 139,098,015 | | | | — | | | | 2,470,781 | | | | — | |
Forward foreign currency contracts | | | — | | | | 50,488,285 | | | | — | | | | — | |
Ultra-Short Term Fixed Income Fund
| | | | | | | | | | | | | | | | |
| | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | |
Purchased options | | $ | 3,103 | | | $ | — | | | $ | — | | | $ | — | |
Futures contracts | | | 948,555,772 | | | | — | | | | — | | | | — | |
Swap contracts | | | 324,185,714 | | | | — | | | | 2,186,286 | | | | — | |
Forward foreign currency contracts | | | — | | | | 74,804,058 | | | | — | | | | — | |
302
| | |
| | | |
| Notes to Financial Statements | | |
(c)Repurchase Agreements.When entering into repurchase agreements, it is the Funds’ policy that their custodian or a third party custodian takes possession of the underlying collateral securities, the market value of which at least equals the principal amount of the repurchase transaction, including accrued interest. To the extent that any repurchase transaction exceeds one business day, the value of the collateral ismarked-to-market daily to ensure the adequacy of the collateral. If the seller defaults and the market value of the collateral declines or if bankruptcy proceedings are commenced with respect to the seller of the security, realization of the collateral by the Funds may be delayed or limited.
(d)Stripped Securities. Certain Funds may invest in “Stripped Securities”, a term used collectively for stripped fixed income securities. Stripped Securities can be principal-only securities (“PO”), which are debt obligations that have been stripped of interest coupons, or interest-only securities (“IO”), which are interest coupons that have been stripped from debt obligations. As is the case with all securities, the market value of Stripped Securities will fluctuate in response to changes in economic conditions, interest rates and the market’s perception of the securities. However, fluctuations in response to interest rates may be greater in Stripped Securities than for debt obligations of comparable maturities that pay interest currently. The amount of fluctuation increases with a longer period of maturity. Theyield-to-maturity on an IO is sensitive to the rate of principal repayments (including prepayments) on the related underlying debt obligation and principal payments may have a material effect on yield to maturity. If the underlying debt obligation experiences greater than anticipated prepayments of principal, the Fund may not fully recoup its initial investment in the IO.
(e)Time Deposits.Certain Funds may purchase overnight time deposits issued by offshore branches of U.S. banks that meet credit and risk standards established by the custodian and approved by the Board.
(f)Lending of Portfolio Securities.The Trust has an agreement with its custodian, whereby the custodian, as agent, may lend securities owned by the Funds to brokers, dealers and other financial organizations that have been approved as borrowers by the Funds. The custodian enters into agreements with the borrowers. Loans of securities by a Fund are collateralized by cash, U.S. government securities or irrevocable performance letters of credit issued by banks approved by the Funds. Allnon-cash collateral is received, held and administered by the custodian in an applicable custody account or other account established for the purpose of holding collateral for each Fund. Cash collateral received by the Funds as a result of securities lending activities is invested in an unaffiliated registered money market fund, and is recorded as Payable for collateral received from securities on loan within the Statements of Assets and Liabilities. Securities lending income represents the income earned on investing cash collateral plus any premium payments that may be received on the loan of certain types of securities, less fees and expenses associated with the loan. Each Fund maintains the risk of any market loss on its securities on loan as well as the potential loss on investments purchased with cash collateral received from its securities lending. The custodian has the right under its agreement with the borrowers to recover any loaned securities from the borrower on demand. Additionally, the Funds are exposed to risks that a borrower may not provide additional collateral when required or return loaned securities when due. If the borrower fails to return the securities, the custodian will use the collateral to purchase replacement securities. The custodian is responsible for any shortfall in collateral value under certain circumstances. See Note 1(x).
The following table presents securities on loan that are subject to enforceable netting arrangements as of February 28, 2019:
| | | | | | | | | | | | | | | | |
Gross Amounts Not Offset in the Statements of Assets and Liabilities | |
| Fund | | Gross Asset Amount
Presented in the Statements
of Assets and Liabilities (a) | | | Financial
Instrument | | | Collateral
Received (b)(c) | | | Net Amount
(Not Less than $0) | |
Large Cap Equity Fund | | $ | 5,141,935 | | | $ | — | | | $ | (5,141,935 | ) | | $ | — | |
Small-Mid Cap Equity Fund | | | 12,447,394 | | | | — | | | | (12,447,394 | ) | | | — | |
International Equity Fund | | | 15,705,690 | | | | — | | | | (15,705,690 | ) | | | — | |
Emerging Markets Equity Fund | | | 5,390,746 | | | | — | | | | (5,390,746 | ) | | | — | |
Core Fixed Income Fund | | | 277,846 | | | | — | | | | (277,846 | ) | | | — | |
High Yield Fund | | | 761,103 | | | | — | | | | (761,103 | ) | | | — | |
| (a) Represents | market value of securities on loan at period end. |
| (b) The | Funds received cash collateral of $5,166,691, $12,849,116, $16,414,233, $5,620,493, $286,605 and $786,688, respectively, which was subsequently invested in Invesco STIT — Government & Agency Portfolio as reported in the Schedules of Investments. |
| (c) The | actual collateral received could be greater than the amount shown here due to overcollateralization. |
303
| | |
| | | |
| Notes to Financial Statements | | |
The Funds have adopted the disclosure provisions of FASB Accounting Standards UpdateNo. 2014-11 (“ASUNo. 2014-11”), “Transfers & Servicing (Topic 860):Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures.” ASUNo. 2014-11 is intended to provide increased transparency about the types of collateral pledged in securities lending transactions and other similar transactions that are accounted for as secured borrowing.
The following table displays a breakdown of transactions accounted for as secured borrowings, the gross obligations by class of collateral pledged, and the remaining contractual maturity of those transactions as of February 28, 2019:
| | | | | | | | | | | | | | | | | | | | |
| | | Remaining Contractual Maturity of the Agreements
As of February 28, 2019 | |
| | | Overnight and
Continuous | | | < 30 days | | | Between 30 & 90 days | | | > 90 days | | | Total | |
| Large Cap Equity Fund | | | | | | | | | | | | | | | | | | | | |
| Securities Lending Transactions | | | | | | | | | | | | | | | | | | | | |
Common Stocks | | $ | 5,166,691 | | | $ | — | | | $ | — | | | $ | — | | | $ | 5,166,691 | |
| | | | | | | | | | | | | | | | | | | | |
Total Borrowings | | $ | 5,166,691 | | | $ | — | | | $ | — | | | $ | — | | | $ | 5,166,691 | |
| | | | | | | | | | | | | | | | | | | | |
Gross amount of recognized liabilities for securities lending transactions | | | | | | | | | | | $ | 5,166,691 | |
| | | | | | | | | | | | | |
| | | | | |
| Small-Mid Cap Equity Fund | | | | | | | | | | | | | | | | | | | | |
| Securities Lending Transactions | | | | | | | | | | | | | | | | | | | | |
Common Stocks | | $ | 12,849,116 | | | $ | — | | | $ | — | | | $ | — | | | $ | 12,849,116 | |
| | | | | | | | | | | | | | | | | | | | |
Total Borrowings | | $ | 12,849,116 | | | $ | — | | | $ | — | | | $ | — | | | $ | 12,849,116 | |
| | | | | | | | | | | | | | | | | | | | |
Gross amount of recognized liabilities for securities lending transactions | | | | | | | | | | | $ | 12,849,116 | |
| | | | | | | | | | | | | |
| | | | | |
| International Equity Fund | | | | | | | | | | | | | | | | | | | | |
| Securities Lending Transactions | | | | | | | | | | | | | | | | | | | | |
Common Stocks | | $ | 16,414,233 | | | $ | — | | | $ | — | | | $ | — | | | $ | 16,414,233 | |
| | | | | | | | | | | | | | | | | | | | |
Total Borrowings | | $ | 16,414,233 | | | $ | — | | | $ | — | | | $ | — | | | $ | 16,414,233 | |
| | | | | | | | | | | | | | | | | | | | |
Gross amount of recognized liabilities for securities lending transactions | | | | | | | | | | | $ | 16,414,233 | |
| | | | | | | | | | | | | |
| | | | | |
| Emerging Markets Equity Fund | | | | | | | | | | | | | | | | | | | | |
| Securities Lending Transactions | | | | | | | | | | | | | | | | | | | | |
Common Stocks | | $ | 5,620,493 | | | $ | — | | | $ | — | | | $ | — | | | $ | 5,620,493 | |
| | | | | | | | | | | | | | | | | | | | |
Total Borrowings | | $ | 5,620,493 | | | $ | — | | | $ | — | | | $ | — | | | $ | 5,620,493 | |
| | | | | | | | | | | | | | | | | | | | |
Gross amount of recognized liabilities for securities lending transactions | | | | | | | | | | | $ | 5,620,493 | |
| | | | | | | | | | | | | |
| | | | | |
| Core Fixed Income Fund | | | | | | | | | | | | | | | | | | | | |
| Securities Lending Transactions | | | | | | | | | | | | | | | | | | | | |
Corporate Security | | $ | — | | | $ | — | | | $ | — | | | $ | 286,605 | | | $ | 286,605 | |
| | | | | | | | | | | | | | | | | | | | |
Total Borrowings | | $ | — | | | $ | — | | | $ | — | | | $ | 286,605 | | | $ | 286,605 | |
| | | | | | | | | | | | | | | | | | | | |
Gross amount of recognized liabilities for securities lending transactions | | | | | | | | | | | $ | 286,605 | |
| | | | | | | | | | | | | |
| | | | | |
| High Yield Fund | | | | | | | | | | | | | | | | | | | | |
| Securities Lending Transactions | | | | | | | | | | | | | | | | | | | | |
Corporate Securities | | $ | — | | | $ | — | | | $ | — | | | $ | 786,688 | | | $ | 786,688 | |
| | | | | | | | | | | | | | | | | | | | |
Total Borrowings | | $ | — | | | $ | — | | | $ | — | | | $ | 786,688 | | | $ | 786,688 | |
| | | | | | | | | | | | | | | | | | | | |
Gross amount of recognized liabilities for securities lending transactions | | | | | | | | | | | $ | 786,688 | |
| | | | | | | | | | | | | |
304
| | |
| | | |
| Notes to Financial Statements | | |
| | | | | | | | | | | | | | | | | | | | |
| | | Remaining Contractual Maturity of the Agreements
As of February 28, 2019 | |
| | | Overnight and
Continuous | | | < 30 days | | | Between 30 & 90 days | | | > 90 days | | | Total | |
| International Fixed Income Fund | | | | | | | | | | | | | | | | | | | | |
| Reverse Repurchase Agreements Transactions | | | | | | | | | | | | | | | | | | | | |
Sovereign Bonds | | $ | — | | | $ | — | | | $ | 5,787,069 | | | $ | — | | | $ | 5,787,069 | |
U.S. Government Obligations | | | — | | | | 2,873,500 | | | | 414,000 | | | | — | | | | 3,287,500 | |
| | | | | | | | | | | | | | | | | | | | |
Total Borrowings | | $ | — | | | $ | 2,873,500 | | | $ | 6,201,069 | | | $ | — | | | $ | 9,074,569 | |
| | | | | | | | | | | | | | | | | | | | |
Gross amount of recognized liabilities for reverse repurchase agreements transactions | | | $ | 9,074,569 | |
| | | | | | | | | | | | | |
| | | | | |
| Inflation-Linked Fixed Income Fund | | | | | | | | | | | | | | | | | | | | |
| Reverse Repurchase Agreements Transactions | | | | | | | | | | | | | | | | | | | | |
U.S. Government Obligations | | $ | — | | | $ | 1,320,750 | | | $ | 45,320,426 | | | $ | — | | | $ | 46,641,176 | |
| | | | | | | | | | | | | | | | | | | | |
Total Borrowings | | $ | — | | | $ | 1,320,750 | | | $ | 45,320,426 | | | $ | — | | | $ | 46,641,176 | |
| | | | | | | | | | | | | | | | | | | | |
Gross amount of recognized liabilities for reverse repurchase agreements transactions | | | $ | 46,641,176 | |
| | | | | | | | | | | | | |
| | | | | |
| Ultra-Short Term Fixed Income Fund | | | | | | | | | | | | | | | | | | | | |
| Reverse Repurchase Agreements Transactions | | | | | | | | | | | | | | | | | | | | |
U.S. Government Obligations | | $ | — | | | $ | 39,629,375 | | | $ | — | | | $ | — | | | $ | 39,629,375 | |
| | | | | | | | | | | | | | | | | | | | |
Total Borrowings | | $ | — | | | $ | 39,629,375 | | | $ | — | | | $ | — | | | $ | 39,629,375 | |
| | | | | | | | | | | | | | | | | | | | |
Gross amount of recognized liabilities for reverse repurchase agreements transactions | | | $ | 39,629,375 | |
| | | | | | | | | | | | | |
(g)To-Be-Announced Purchase and Sale Commitments.Certain Funds may trade securities on ato-be-announced (“TBA”) basis. In a TBA transaction, a Fund commits to purchasing or selling securities which have not yet been issued by the issuer and for which specific information is not known, such as the face amount and maturity date and the underlying pool of investments in U.S. government agency mortgage pass-through transactions. Securities purchased on a TBA basis are not settled until they are delivered to the Fund, normally 15 to 45 days later. Beginning on the date the Fund enters into a TBA transaction, cash, U.S. government securities or other liquid high-grade debt obligations are segregated in an amount equal in value to the purchase price of the TBA security. These transactions aremarked-to-market on a daily basis and are subject to market fluctuations. Realized gains or losses on TBA purchase commitments are included in Net realized gain (loss) on investments on the Statements of Operations. Any fluctuation in the value of the purchased TBA commitments is included in Net change in unrealized appreciation (depreciation) on investments on the Statements of Operations.
Additionally, when a Fund sells TBA securities without already owning or having the right to obtain the deliverable securities (an uncovered forward commitment to sell), it incurs a risk of loss because it could have to purchase the securities at a price that is higher than the price at which it sold them. A Fund may be unable to purchase the deliverable securities if the corresponding market is illiquid.
TBA securities subject to a forward commitment to sell at period end are included at the end of the Fund’s Schedule of Investments under the caption “Schedule of Forward Sale Commitments.” The proceeds and value of these commitments are recorded as Forward Sale Commitments at value in the Statements of Assets and Liabilities.
(h)Short Sales of Securities.A short sale is a transaction in which a Fund sells securities it does not own in anticipation of a decline in the market price of the securities. To complete a short sale, the Fund may arrange through a broker to borrow the securities to be delivered to the buyer. The proceeds received by the Fund for the short sale are retained by the broker until the Fund replaces the borrowed securities. In borrowing the securities to be delivered to the buyer, the Fund becomes obligated to replace the securities borrowed at their market price at the time of replacement, whatever that price may be.
The risk of engaging in short sale transactions is that selling short magnifies the potential for loss to a Fund. The larger the Fund’s short position, the greater the potential loss. If a security sold short increases in price, the Fund may have to cover its short position
305
| | |
| | | |
| Notes to Financial Statements | | |
at a higher price than the short sale price, resulting in a loss. To borrow the security, the Fund also may be required to pay a premium, which could decrease the proceeds of the security sold short. The amount of any gain will be decreased, and the amount of any loss increased, by the amount of the premium, dividends, interest or expenses the Fund may be required to pay in connection with the short sale. In addition, because the Fund’s loss on a short sale arises from increases in the value of the security sold short, such loss is unlimited.
(i)Mortgage Dollar Rolls. Certain Funds may sell mortgage-backed securities for delivery in the current month and simultaneously contract to repurchase substantially similar (same type, coupon and maturity) securities to settle on a specific future date at an agreed upon price. Pools of mortgage securities are used to collateralize mortgage dollar roll transactions and may have different prepayment histories than those sold. During the period between the sale and the repurchase, a Fund forgoes principal and interest paid on the securities sold. Proceeds of the sale will be invested in short-term instruments and the income from these investments, together with any additional fee income received on a sale, is intended to generate income for a Fund. A Fund accounts for mortgage dollar roll transactions as purchases and sales and realizes the gain or loss at the time the transaction is entered into on these transactions. If certain criteria are met, these dollar roll transactions may be considered financing transactions, whereby the difference in the sale price and the future purchase price is recorded as an adjustment to interest income.
Mortgage dollar roll transactions involve the risk that the market value of the securities a Fund is obligated to repurchase under the agreement may decline below the repurchase price of those securities. If investment performance of securities purchased with proceeds from these transactions does not exceed the income, capital appreciation and gain or loss that would have been realized on the securities sold as part of the dollar roll, the use of this technique will adversely impact the investment performance of a Fund. In the event the buyer of securities under a mortgage dollar roll files for bankruptcy or becomes insolvent, the Fund’s use of proceeds of the dollar roll may be restricted pending a determination by the other party, or its trustee or receiver, whether to enforce the Fund’s obligation to repurchase the securities.
(j)Credit and Market Risk.Certain Funds invest in high yield instruments that are subject to certain credit and market risks. The yields of high yield obligations reflect, among other things, perceived credit and market risks. Each Fund’s investment in securities rated below investment grade typically involve risks not associated with higher rated securities, including, among others, greater risk related to timely and ultimate payment of interest and principal, greater market price volatility and less liquid secondary market trading.
(k)Foreign Investment and Currency Risks.Certain Funds’ investments in foreign securities may involve risks not present in domestic investments. Because securities may be denominated in foreign currencies and may require settlement in foreign currencies and pay interest or dividends in foreign currencies, changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of a Fund. Foreign investments may also subject the Fund to foreign government exchange restrictions, expropriation, taxation or other political, social or economic developments, all of which affect the market and/or credit risk of the investments.
(l)Emerging Markets Risk.In addition to foreign investment and currency risks, which tend to be amplified in emerging markets, emerging markets may experience rising interest rates, or, more significantly, rapid inflation or hyperinflation. The economies of emerging market countries may grow at slower rates than expected or suffer a downturn or recession. Emerging market securities may present market, credit, liquidity, legal, political and other risks different from, or greater than, the risks of investing in developed foreign countries.
(m)Volatility Risk.Volatility risk refers to the magnitude of the movement, but not the direction of the movement, in a financial instrument’s price over a defined time period. Large increases or decreases in a financial instrument’s price over a relative time period typically indicate greater volatility risk, while small increases or decreases in its price typically indicate lower volatility risk.
(n)Security Transactions and Investment Income.Security transactions are accounted for on a trade date basis. Interest income, adjusted for amortization of premium and accretion of discount, is recorded on an accrual basis. Dividend income is recorded on theex-dividend date. Foreign dividend income is recorded on theex-dividend date or as soon as practical after a Fund determines the existence of a dividend declaration after exercising reasonable due diligence. Interest and dividend income payable by delivery of additional shares is reclassified as PIK(payment-in-kind) income upon receipt, if any, and is included in interest and dividend income, respectively. The cost of investments sold is determined by use of the specific identification method. To the extent any issuer defaults on an expected interest payment, the Trust’s policy is to generally halt any additional “interest income accruals and accretion” and consider the Fund’s ability to realize interest accrued up to the date of default.
306
| | |
| | | |
| Notes to Financial Statements | | |
(o)Foreign Currency Translation.Investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts based upon prevailing exchange rates on the date of valuation. Purchases and sales of investment securities and income and expense items denominated in foreign currencies are translated into U.S. dollar amounts based upon prevailing exchange rates on the respective dates of such transactions.
The Funds do not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments in the Statements of Operations.
Net realized foreign exchange gains or losses arise from sales of foreign currencies, including gains and losses on forward foreign currency contracts, currency gains or losses realized between the trade and settlement dates on securities transactions and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Funds’ books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the fair values of assets and liabilities, other than investments in securities, at the date of valuation, resulting from changes in exchange rates.
Foreign security and currency transactions may involve certain considerations and risks not typically associated with those of U.S. dollar denominated transactions as a result of, among other factors, the possibility of lower levels of governmental supervision and regulation of foreign securities markets and the possibility of political or economic instability.
(p)Distributions to Shareholders. Distributions from net investment income for Large Cap Equity Fund,Small-Mid Cap Equity Fund, International Equity Fund, Emerging Markets Equity Fund, International Fixed Income Fund and Alternative Strategies Fund, if any, are declared and paid on an annual basis. Distributions from net investment income for Core Fixed Income Fund, High Yield Fund, Municipal Bond Fund, Inflation-Linked Fixed Income Fund and Ultra-Short Term Fixed Income Fund, if any, are declared and paid on a monthly basis.
The Funds intend to satisfy conditions that will enable interest from municipal securities, which are exempt from regular federal income tax and from designated state income taxes, to retain suchtax-exempt status when distributed to the shareholders of the Funds. Distributions of net realized gains to shareholders of the Funds, if any, are taxable and are declared at least annually. Distributions to shareholders of the Funds are recorded on theex-dividend date and are determined in accordance with income tax regulations, which may differ from GAAP.
(q)Federal and Other Taxes.It is the Trust’s policy to comply with the federal income and excise tax requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies. Accordingly, each Fund intends to distribute substantially all of its income and net realized gains on investments, if any, to shareholders each year. Therefore, no federal income tax provision is required in the Funds’ financial statements. Under the applicable foreign tax laws, a withholding tax may be imposed on interest, dividends and capital gains at various rates.
Management has reviewed the tax positions and has concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions taken on returns filed for open tax years or expected to be taken in 2018 tax returns. Each Fund’s federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
(r)Reclassification.GAAP requires that certain components of net assets be adjusted to reflect permanent differences between financial and tax reporting. These reclassifications have no effect on net assets or net asset values per share.
(s)Restricted Securities.All Funds may invest innon-publicly traded securities, commonly called restricted securities. Restricted securities may be less liquid than publicly-traded securities. Although certain restricted securities may be resold in privately negotiated transactions, the values realized from these sales could be less than originally paid by a Fund. Certain restricted securities may be deemed liquid by the Manager and/orSub-adviser pursuant to the procedures approved by the Board. The value of restricted securities is determined as described in Note 1(a).
(t)Reverse Repurchase Agreements.Certain Funds may each enter into reverse repurchase agreements with the financial institutions with which it may enter into repurchase agreements. Under a reverse repurchase agreement, a Fund sells securities to a financial institution and agrees to repurchase them at a mutually agreed upon date, price and rate of interest. During the period between the sale and repurchase, the Fund would not be entitled to principal and interest paid on the securities sold by the Fund. The Fund, however, would seek to achieve gains derived from the difference between the current sale price and the forward price for the
307
| | |
| | | |
| Notes to Financial Statements | | |
future purchase as well as the interest earned on the proceeds on the initial sale. Reverse repurchase agreements will be viewed as borrowings by a Fund for the purpose of calculating the Fund’s indebtedness and will have the effect of leveraging the Fund’s assets.
(u)Indemnification.In the normal course of business, the Funds may enter into contracts that provide certain indemnifications. The Funds’ maximum exposure under these arrangements is dependent on future claims that may be made against the Funds and, therefore, cannot be estimated; however, based on experience, risk of loss from such claims is considered remote.
(v)Offering costs. Offering costs are incurred in connection with launching of new funds. These offering costs are accounted for as deferred charges and are being amortized to expense over 12 months on a straight line basis.
(w)Senior Floating-Rate Loans.Interests in senior floating-rate loans (“Senior Loans”) for which reliable market quotations are readily available are valued generally at the average mean of bid and ask quotations obtained from a third party pricing service. Other Senior Loans are valued at fair value by the investment adviser under procedures approved by the Trustees. In fair valuing a Senior Loan, the investment adviser utilizes one or more of the valuation techniques described in (i) through (iii) below to assess the likelihood that the borrower will make a full repayment of the loan underlying such Senior Loan relative to yields on other Senior Loans issued by companies of comparable credit quality. If the investment adviser believes that there is a reasonable likelihood of full repayment, the investment adviser will determine fair value using a matrix pricing approach that considers the yield on the Senior Loan. If the investment adviser believes there is not a reasonable likelihood of full repayment, the investment adviser will determine fair value using analyses that include, but are not limited to: (i) a comparison of the value of the borrower’s outstanding equity and debt to that of comparable public companies; (ii) a discounted cash flow analysis; or (iii) when the investment adviser believes it is likely that a borrower will be liquidated or sold, an analysis of the terms of such liquidation or sale. In certain cases, the investment adviser will use a combination of analytical methods to determine fair value, such as when only a portion of a borrower’s assets are likely to be sold. In conducting its assessment and analyses for purposes of determining fair value of a Senior Loan, the investment adviser will use its discretion and judgment in considering and appraising relevant factors. Fair value determinations are made by the portfolio managers of the Fund based on information available to such managers. The portfolio managers of other funds managed by the investment adviser that invest in Senior Loans may not possess the same information about a Senior Loan borrower as the portfolio managers of the Fund. At times, the fair value of a Senior Loan determined by the portfolio managers of other funds managed by the investment adviser that invest in Senior Loans may vary from the fair value of the same Senior Loan determined by the portfolio managers of the Fund. The fair value of each Senior Loan is periodically reviewed and approved by the investment adviser’s Valuation Committee and by the Trustees based upon procedures approved by the Trustees. Junior Loans (i.e., subordinated loans and second lien loans) are valued in the same manner as Senior Loans.
In connection with bank loan interests, the Fund may enter into unfunded bank loan interests (“commitments”). Unfunded loan commitments may be partially or wholly unfunded. The Fund is obligated to fund those commitments at borrower’s discretion. In connection with these commitments, the Fund earns a commitment fee, which is included in interest income in the Statement of Operations and recognized respectively over the commitment period. As of February 28, 2019, the Fund had no unfunded loan commitments.
(x)Disclosure about Offsetting Assets and Liabilities.In order to better define contractual rights under derivative contracts and to secure rights that will help the Funds mitigate their counterparty risk, asub-adviser may, on behalf of the Funds, enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between the Funds and a counterparty that governs OTC derivatives and foreign exchange contracts and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. The ISDA Master Agreement gives a Fund the right, upon an event of default by the applicable counterparty or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net amount payable by one party to the other. Absent an event of default by the counterparty or a termination of the agreement, the ISDA Master Agreement does not result in an offset of reported amounts of assets and liabilities in the Statements of Assets and Liabilities across the transactions between the Funds and the applicable counterparty. The right to offset and net payments across all transactions traded under the ISDA Master Agreement could result in a reduction of the Funds’ credit risk to such counterparty equal to any amounts payable by the Funds under the applicable transactions, if any. The enforceability of the right to offset may vary by jurisdiction.
308
| | |
| | | |
| Notes to Financial Statements | | |
Cash collateral that has been received or pledged to cover obligations under derivative contracts, if any, will be reported separately in the Statements of Assets and Liabilities. Generally the amount of collateral due from or to a counterparty is subject to a minimum transfer threshold amount before a transfer is required, which may vary by counterparty. Collateral pledged for the benefit of the Fund and/or counterparty is held in segregated accounts by the Fund’s custodian and cannot be sold,re-pledged, assigned or otherwise used while pledged. The portion of such collateral representing cash, if any, is reflected as deposits with counterparties and, in the case of cash pledged by counterparty for the benefit of the Fund, a corresponding liability in the Statements of Assets and Liabilities. Securities pledged by the Fund as collateral, if any, are identified as such in the Schedule of Investments. The carrying amount of such deposits due to brokers at February 28, 2019 approximated their fair value. If measured at fair value, such deposits would have been considered as Level 2 in the fair value hierarchy (see Note 1(a)).
Repurchase agreements and reverse repurchase agreements may be entered into by the Funds under Master Repurchase Agreements (“MRA”) which permit a Fund, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from a Fund. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of the MRA counterparty’s bankruptcy or insolvency. The Fund’s repurchase agreements as of February 28, 2019 are shown on a gross basis and the required offsetting disclosures are shown in the Schedules of Investments. The value of the related collateral exceeded the value of the repurchase agreements as of February 28, 2019.
For financial reporting purposes, the Funds do not offset financial assets and financial liabilities that are subject to master netting arrangements or similar agreements on the Statements of Assets and Liabilities.
The following table presents the Funds’ gross and net amounts of assets and liabilities, by derivative type, available for offset under a master netting agreement, or similar agreement as of February 28, 2019:
| | | | | | | | |
| | | Assets | | | Liabilities | |
| Derivative Instruments (a) | | Gross Amounts of
Recognized Assets
Presented in the
Statements of
Assets and Liabilities | | | Gross Amounts of
Recognized Liabilities
Presented in the
Statements of
Assets and Liabilities | |
| Core Fixed Income Fund: | | | | | | | | |
Forward foreign currency contracts | | $ | 371,175 | | | $ | 408,620 | |
Options contracts | | | 119,829 | (b) | | | 16,877 | |
Swap contracts | | | 272,088 | | | | — | |
| | | | | | | | |
Total Derivative Instruments, subject to master netting arrangement or similar arrangement | | $ | 763,092 | | | $ | 425,497 | |
| | | | | | | | |
| International Fixed Income Fund: | | | | | | | | |
Forward foreign currency contracts | | $ | 1,934,611 | | | $ | 734,885 | |
Options contracts | | | 21,219 | (b) | | | 29,507 | |
Swap contracts | | | 18,916 | | | | 171,339 | |
| | | | | | | | |
Total Derivative Instruments, subject to master netting arrangement or similar arrangement | | $ | 1,974,746 | | | $ | 935,731 | |
| | | | | | | | |
| Inflation-Linked Fixed Income Fund: | | | | | | | | |
Forward foreign currency contracts | | $ | 268,563 | | | $ | 194,446 | |
Options contracts | | | 126,805 | (b) | | | 124,539 | |
| | | | | | | | |
Total Derivative Instruments, subject to master netting arrangement or similar arrangement | | $ | 395,368 | | | $ | 318,985 | |
| | | | | | | | |
| Ultra-Short Term Fixed Income Fund: | | | | | | | | |
Forward foreign currency contracts | | $ | 374,174 | | | $ | 180,534 | |
| | | | | | | | |
Total Derivative Instruments, subject to master netting arrangement or similar arrangement | | $ | 374,174 | | | $ | 180,534 | |
| | | | | | | | |
| (a) | Excludes exchange-traded derivatives. |
| (b) | Amounts are included in Unaffiliated Investments in the Statements of Assets and Liabilities. |
309
| | |
| | | |
| Notes to Financial Statements | | |
The following table presents the Funds’ derivative assets and liabilities by counterparty net of amounts available for offset under master netting or similar agreements, and net related collateral received or pledged as of February 28, 2019:
| | | | | | | | | | | | | | | | |
| Counterparty | | Gross Amounts
of Recognized
Assets
Presented in the
Statements of
Assets and
Liabilities | | | Financial
Instruments
Available for
Offset (a) | | | Collateral
Received | | | Net Amount (b) | |
| Core Fixed Income Fund | | | | | | | | | | | | | | | | |
| Over-the-counter | | | | | | | | | | | | | | | | |
Citigroup Global Markets Inc. | | $ | 763,092 | | | $ | (425,497 | ) | | $ | — | | | $ | 337,595 | |
| | | | | | | | | | | | | | | | |
TotalOver-the-counter derivative instruments | | $ | 763,092 | | | $ | (425,497 | ) | | $ | — | | | $ | 337,595 | |
| | | | | | | | | | | | | | | | |
| | | | |
| Counterparty | | Gross Amounts
of Recognized
Liabilities
Presented in the
Statements of
Assets and
Liabilities | | | Financial
Instruments
Available for
Offset (c) | | | Collateral
Pledged | | | Net Amount (d) | |
| Core Fixed Income Fund | | | | | | | | | | | | | | | | |
| Over-the-counter | | | | | | | | | | | | | | | | |
Citigroup Global Markets Inc. | | $ | 425,497 | | | $ | (425,497 | ) | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
TotalOver-the-counter derivative instruments | | $ | 425,497 | | | $ | (425,497 | ) | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| | | | |
| Counterparty | | Gross Amounts
of Recognized
Assets
Presented in the
Statements of
Assets and
Liabilities | | | Financial
Instruments
Available for
Offset (a) | | | Collateral
Received (e) | | | Net Amount (b) | |
| International Fixed Income Fund | | | | | | | | | | | | | | | | |
| Over-the-counter | | | | | | | | | | | | | | | | |
Bank of America | | $ | 723,826 | | | $ | (129,852 | ) | | $ | (420,000 | ) | | $ | 173,974 | |
Barclays Bank PLC | | | 395,465 | | | | (122,419 | ) | | | (130,000 | ) | | | 143,046 | |
BNP Paribas SA | | | 63,870 | | | | (63,870 | ) | | | — | | | | — | |
Deutsche Bank AG | | | 20,623 | | | | (2,861 | ) | | | (17,762 | ) | | | — | |
Goldman Sachs & Co. | | | 41,187 | | | | (41,187 | ) | | | — | | | | — | |
HSBC Bank USA | | | 322,501 | | | | (109,661 | ) | | | (180,000 | ) | | | 32,840 | |
JPMorgan Chase & Co. | | | 110,876 | | | | (64,283 | ) | | | — | | | | 46,593 | |
Royal Bank of Scotland PLC | | | 1,015 | | | | (1,015 | ) | | | — | | | | — | |
Societe Generale SA | | | 4,578 | | | | (4,578 | ) | | | — | | | | — | |
Standard Chartered Bank | | | 263,667 | | | | (115,452 | ) | | | — | | | | 148,215 | |
UBS Securities LLC | | | 27,138 | | | | (6,034 | ) | | | — | | | | 21,104 | |
| | | | | | | | | | | | | | | | |
TotalOver-the-counter derivative instruments | | $ | 1,974,746 | | | $ | (661,212 | ) | | $ | (747,762 | ) | | $ | 565,772 | |
| | | | | | | | | | | | | | | | |
310
| | |
| | | |
| Notes to Financial Statements | | |
| | | | | | | | | | | | | | | | |
| Counterparty | | Gross Amounts
of Recognized
Liabilities
Presented in the
Statements of
Assets and
Liabilities | | | Financial
Instruments
Available for
Offset (c) | | | Collateral
Pledged | | | Net Amount (d) | |
| International Fixed Income Fund | | | | | | | | | | | | | | | | |
| Over-the-counter | | | | | | | | | | | | | | | | |
Bank of America | | $ | 129,852 | | | $ | (129,852 | ) | | $ | — | | | $ | — | |
Barclays Bank PLC | | | 122,419 | | | | (122,419 | ) | | | — | | | | — | |
BNP Paribas SA | | | 88,296 | | | | (63,870 | ) | | | — | | | | 24,426 | |
Deutsche Bank AG | | | 2,861 | | | | (2,861 | ) | | | — | | | | — | |
Goldman Sachs & Co. | | | 281,234 | | | | (41,187 | ) | | | — | | | | 240,047 | |
HSBC Bank USA | | | 109,661 | | | | (109,661 | ) | | | — | | | | — | |
JPMorgan Chase & Co. | | | 64,283 | | | | (64,283 | ) | | | — | | | | — | |
Royal Bank of Scotland PLC | | | 8,177 | | | | (1,015 | ) | | | — | | | | 7,162 | |
Societe Generale SA | | | 7,462 | | | | (4,578 | ) | | | — | | | | 2,884 | |
Standard Chartered Bank | | | 115,452 | | | | (115,452 | ) | | | — | | | | — | |
UBS Securities LLC | | | 6,034 | | | | (6,034 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
TotalOver-the-counter derivative instruments | | $ | 935,731 | | | $ | (661,212 | ) | | $ | — | | | $ | 274,519 | |
| | | | | | | | | | | | | | | | |
| | | | |
| Counterparty | | Gross Amounts
of Recognized
Assets
Presented in the
Statements of
Assets and
Liabilities | | | Financial
Instruments
Available for
Offset (a) | | | Collateral
Received (e) | | | Net Amount (b) | |
| Inflation-Linked Fixed Income Fund | | | | | | | | | | | | | | | | |
| Over-the-counter | | | | | | | | | | | | | | | | |
Barclays Bank PLC | | $ | 139,348 | | | $ | (139,348 | ) | | $ | — | | | $ | — | |
BNP Paribas SA | | | 56,980 | | | | (6,984 | ) | | | — | | | | 49,996 | |
Deutsche Bank AG | | | 12,599 | | | | — | | | | (12,599 | ) | | | — | |
HSBC Bank USA | | | 37,280 | | | | (28,401 | ) | | | — | | | | 8,879 | |
JPMorgan Chase & Co. | | | 31,841 | | | | (31,841 | ) | | | — | | | | — | |
Merrill Lynch, Pierce, Fenner & Smith Inc. | | | 63,414 | | | | (15,275 | ) | | | — | | | | 48,139 | |
Standard Chartered Bank | | | 53,906 | | | | (41,561 | ) | | | — | | | | 12,345 | |
| | | | | | | | | | | | | | | | |
TotalOver-the-counter derivative instruments | | $ | 395,368 | | | $ | (263,410 | ) | | $ | (12,599 | ) | | $ | 119,359 | |
| | | | | | | | | | | | | | | | |
311
| | |
| | | |
| Notes to Financial Statements | | |
| | | | | | | | | | | | | | | | |
| Counterparty | | Gross Amounts
of Recognized
Liabilities
Presented in the
Statements of
Assets and
Liabilities | | | Financial
Instruments
Available for
Offset (c) | | | Collateral
Pledged | | | Net Amount (d) | |
| Inflation-Linked Fixed Income Fund | | | | | | | | | | | | | | | | |
| Over-the-counter | | | | | | | | | | | | | | | | |
Barclays Bank PLC | | $ | 157,757 | | | $ | (139,348 | ) | | $ | — | | | $ | 18,409 | |
BNP Paribas SA | | | 6,984 | | | | (6,984 | ) | | | — | | | | — | |
HSBC Bank USA | | | 28,401 | | | | (28,401 | ) | | | — | | | | — | |
JPMorgan Chase & Co. | | | 69,007 | | | | (31,841 | ) | | | — | | | | 37,166 | |
Merrill Lynch, Pierce, Fenner & Smith Inc. | | | 15,275 | | | | (15,275 | ) | | | — | | | | — | |
Standard Chartered Bank | | | 41,561 | | | | (41,561 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
TotalOver-the-counter derivative instruments | | $ | 318,985 | | | $ | (263,410 | ) | | $ | — | | | $ | 55,575 | |
| | | | | | | | | | | | | | | | |
| | | | |
| Counterparty | | Gross Amounts
of Recognized
Assets
Presented in the
Statements of
Assets and
Liabilities | | | Financial
Instruments
Available for
Offset (a) | | | Collateral
Received | | | Net Amount (b) | |
| Ultra-Short Term Fixed Income Fund | | | | | | | | | | | | | | | | |
| Over-the-counter | | | | | | | | | | | | | | | | |
Barclays Bank PLC | | $ | 57,845 | | | $ | (57,845 | ) | | $ | — | | | $ | — | |
JPMorgan Chase & Co. | | | 23,673 | | | | (23,196 | ) | | | — | | | | 477 | |
Merrill Lynch, Pierce, Fenner & Smith Inc. | | | 292,656 | | | | — | | | | — | | | | 292,656 | |
| | | | | | | | | | | | | | | | |
TotalOver-the-counter derivative instruments | | $ | 374,174 | | | $ | (81,041 | ) | | $ | — | | | $ | 293,133 | |
| | | | | | | | | | | | | | | | |
| | | | |
| Counterparty | | Gross Amounts
of Recognized
Liabilities
Presented in the
Statements of
Assets and
Liabilities | | | Financial
Instruments
Available for
Offset (c) | | | Collateral
Pledged | | | Net Amount (d) | |
| Ultra-Short Term Fixed Income Fund | | | | | | | | | | | | | | | | |
| Over-the-counter | | | | | | | | | | | | | | | | |
Barclays Bank PLC | | $ | 60,765 | | | $ | (57,845 | ) | | $ | — | | | $ | 2,920 | |
HSBC Bank USA | | | 96,573 | | | | — | | | | — | | | | 96,573 | |
JPMorgan Chase & Co. | | | 23,196 | | | | (23,196 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
TotalOver-the-counter derivative instruments | | $ | 180,534 | | | $ | (81,041 | ) | | $ | — | | | $ | 99,493 | |
| | | | | | | | | | | | | | | | |
| (a) | Represents the amount of assets that could be offset by liabilities with the same counterparty under master netting or similar agreements that are not offset on the Statements of Assets and Liabilities. |
| (b) | Net amount represents the new amount receivable from the counterparty in the event of default. |
| (c) | Represents the amount of liabilities that could be offset by assets with the same counterparty under master netting or similar agreements that are not offset on the Statements of Assets and Liabilities. |
| (d) | Net amount represents the net amount payable to the counterparty in the event of default. |
| (e) | In some instances, the actual collateral received and/or pledged may be more than the amount shown here due to overcollateralization. |
312
| | |
| | | |
| Notes to Financial Statements | | |
2. Investment Management Agreement and Other Transactions with Affiliates
CGAS, a business of Morgan Stanley Smith Barney Holdings LLC (“MSSBH”), serves as the investment manager to the Funds. The Manager selects and oversees professional money managers who are responsible for investing the assets of the Funds (each a“Sub-adviser,” and collectively the“Sub-advisers”). Each Fund pays the Manager an investment management fee calculated daily at an annual rate based on each Fund’s average daily net assets and paid monthly in arrears. The Manager pays eachSub-adviser asub-advisory fee from its investment management fees.
Effective January 1, 2019, CGAS has contractually agreed to waive fees and reimburse expenses for a period of one year in order to keep the Funds’ management fees from exceeding the total amount ofsub-advisory fees paid by CGAS plus 0.20% based on average net assets. This contractual waiver will only apply if the Funds’ total management fees exceed the total amount ofsub-advisory fees paid by CGAS plus 0.20%, and will not affect the Funds’ total management fees if they are less than such amount. This fee waiver and reimbursement agreement shall remain in effect until January 1, 2020. The agreement may be amended or terminated only with the consent of the Board of Trustees.
In addition, for Alternative Strategies Fund, CGAS and its affiliates have also separately agreed to waive fees and reimburse expenses in order to keep the Fund’s total annual operating expenses (exclusive of interest from borrowing, brokerage commissions, taxes, acquired fund fees and expenses, and other extraordinary expenses not incurred in the ordinary course of the Fund’s business) from exceeding 1.95%. Effective January 1, 2019, CGAS and its affiliates have agreed to waive fees and reimburse expenses in order to keep the Fund’s total operating expenses from exceeding 0.70%. The contractual waiver arrangement shall remain in effect until January 1, 2020 and may be amended or terminated only with consent of the Board of Trustees.
The maximum allowable investment management fees represents the total amount that could be charged to each Fund. The aggregate fees paid by the Manager to each Fund’sSub-advisers and the fees retained by the Manager for the period ended February 28, 2019 are indicated below:
| | | | | | | | | | | | |
| Fund | | Sub-advisory
Fee | | | Consulting Group
Advisory Services LLC
Fee | | | Maximum
Allowable Annual
Management Fees | |
Large Cap Equity Fund | | | 0.19 | % | | | 0.20 | % | | | 0.60 | % |
Small-Mid Cap Equity Fund | | | 0.29 | % | | | 0.20 | % | | | 0.80 | % |
International Equity Fund | | | 0.33 | % | | | 0.20 | % | | | 0.70 | % |
Emerging Markets Equity Fund | | | 0.39 | % | | | 0.20 | % | | | 0.90 | % |
Core Fixed Income Fund | | | 0.18 | % | | | 0.20 | % | | | 0.40 | % |
High Yield Fund | | | 0.30 | % | | | 0.20 | % | | | 0.70 | % |
International Fixed Income Fund | | | 0.25 | % | | | 0.20 | % | | | 0.50 | % |
Municipal Bond Fund | | | 0.20 | % | | | 0.20 | % | | | 0.40 | % |
Inflation-Linked Fixed Income Fund | | | 0.25 | % | | | 0.20 | % | | | 0.50 | % |
Ultra-Short Term Fixed Income Fund | | | 0.25 | % | | | 0.20 | % | | | 0.50 | % |
Alternative Strategies Fund | | | N/A | | | | 0.20 | % | | | 1.20 | % |
The Manager has agreed to waive and/or reimburse a portion of its fee. For the period ended February 28, 2019, the amounts waived and/or reimbursed by the Manager were as follows:
| | | | |
| Fund | | Amounts Waived
and/or Reimbursed | |
Large Cap Equity Fund | | $ | 1,669,632 | |
Small-Mid Cap Equity Fund | | | 707,929 | |
International Equity Fund | | | 1,297,096 | |
Emerging Markets Equity Fund | | | 737,281 | |
Core Fixed Income Fund | | | 72,811 | |
High Yield Fund | | | 55,172 | |
International Fixed Income Fund | | | 35,652 | |
Municipal Bond Fund | | | — | |
313
| | |
| | | |
| Notes to Financial Statements | | |
| | | | |
| Fund | | Amounts Waived
and/or Reimbursed | |
Inflation-Linked Fixed Income Fund | | $ | 58,822 | |
Ultra-Short Term Fixed Income Fund | | | 128,969 | |
Alternative Strategies Fund | | | 64,948 | |
Brown Brothers Harriman & Co. (“BBH”) serves as the Trust’s administrator. For its administrative services, BBH receives an annual asset based fee of 0.0250% of the Trust’s assets up to $5 billion, 0.02% on assets between $5 billion and $8 billion and 0.0175% on assets in excess of $8 billion, plusout-of-pocket expenses. The fee is calculated and allocated daily based on the relative assets of each Fund.
For the period ended February 28, 2019, Morgan Stanley & Co. Incorporated (“MS&Co.”), and its affiliates, including MSSBH, Morgan Stanley Smith Barney LLC, the Trust’s distributor, received brokerage commissions of:
| | | | |
| Fund | | Commission
Dollars to MS&Co. | |
Large Cap Equity Fund | | $ | 1,192 | |
Small-Mid Cap Equity Fund | | | 60 | |
International Equity Fund | | | 1,268 | |
Emerging Markets Equity Fund | | | 518 | |
Core Fixed Income Fund | | | — | |
High Yield Fund | | | — | |
International Fixed Income Fund | | | — | |
Municipal Bond Fund | | | — | |
Inflation-Linked Fixed Income Fund | | | — | |
Ultra-Short Term Fixed Income Fund | | | — | |
Alternative Strategies Fund | | | — | |
Officers of the Trust do not receive compensation directly from the Trust. The Funds may bear a portion of the annual compensation of the Fund’s Chief Compliance Officer.
For the period ended February 28, 2019, the Funds assume the following to be affiliated issuers:
Large Cap Equity Fund
| | | | | | | | | | | | | | | | |
| Underlying Security | | Beginning Value as of
August 31, 2018 | | | Purchases as
Cost | | | Proceeds from
Sales | | | Net Realized
Gain on Sales | |
Morgan Stanley | | $ | 1,898,462 | | | $ | — | | | $ | (113,550 | ) | | $ | 51,099 | |
| | | | | | | | | | | | |
| Underlying Security (continue) | | Change in Unrealized
(Depreciation) | | | Dividend/Interest
Income | | | Ending Value as of
February 28, 2019 | |
Morgan Stanley | | $ | (312,389 | ) | | $ | 22,310 | | | $ | 1,523,622 | |
Core Fixed Income Fund
| | | | | | | | | | | | | | | | |
| Underlying Security | | Beginning Value as of
August 31, 2018 | | | Purchases as
Cost | | | Proceeds from
Sales | | | Net Realized
Gain/(Loss) on Sales | |
Morgan Stanley Bank of America Merrill Lynch Trust: | | | | | | | | | | | | | | | | |
Series2013-C10, Class A4, 4.082% due 7/15/46 | | $ | 31,020 | | | $ | — | | | $ | — | | | $ | — | |
Series2013-C13, Class A4, 4.039% due 11/15/46 | | | 515,213 | | | | — | | | | — | | | | — | |
Series2015-C27, Class A4, 3.753% due 12/15/47 | | | 546,831 | | | | — | | | | — | | | | — | |
Series2016-C30, Class C, 4.127% due 9/15/49 | | | 253,948 | | | | — | | | | — | | | | — | |
314
| | |
| | | |
| Notes to Financial Statements | | |
| | | | | | | | | | | | | | | | |
| Underlying Security (continue) | | Change in Unrealized
Appreciation | | | Accretion of
discount | | | Dividend/Interest
Income | | | Ending Value as of
February 28, 2019 | |
Morgan Stanley Bank of America Merrill Lynch Trust: | | | | | | | | | | | | | | | | |
Series2013-C10, Class A4, 4.082% due 7/15/46 | | $ | 183 | | | $ | — | | | $ | 619 | | | $ | 31,203 | |
Series2013-C13, Class A4, 4.039% due 11/15/46 | | | 5,352 | | | | — | | | | 10,098 | | | | 520,565 | |
Series2015-C27, Class A4, 3.753% due 12/15/47 | | | 5,412 | | | | — | | | | 10,133 | | | | 552,243 | |
Series2016-C30, Class C, 4.127% due 9/15/49 | | | 307 | | | | 51 | | | | 5,427 | | | | 254,306 | |
Ultra-Short Term Fixed Income Fund
| | | | | | | | | | | | | | | | |
| Underlying Security | | Beginning Value as of
August 31, 2018 | | | Purchases at
Cost | | | Proceeds from
Sales | | | Net Realized
Gain/(Loss) on Sales | |
Morgan Stanley ABS Capital I Inc. Trust,Series 2004-HE4, Class M1, 3.390% due 5/25/34 | | $ | — | | | $ | 697,377 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | |
| Underlying Security (continue) | | Change in Unrealized
Appreciation | | | Dividend/Interest
Income | | | Ending Value as of
February 28, 2019 | |
Morgan Stanley ABS Capital I Inc. Trust,
Series2004-HE4, Class M1, 3.390% due 5/25/34 | | $ | 2,161 | | | $ | 216 | | | $ | 699,538 | |
3. Investments
During the period ended February 28, 2019, the aggregate cost of purchases and proceeds from sales of investments (excluding short-term investments) for each Fund were as follows:
| | | | | | | | | | | | | | | | |
| | | Other Investments | | | U.S. Government
Securities | |
| Fund | | Purchases | | | Sales | | | Purchases | | | Sales | |
Large Cap Equity Fund | | $ | 116,738,542 | | | $ | 197,251,223 | | | $ | — | | | $ | — | |
Small-Mid Cap Equity Fund | | | 70,844,275 | | | | 89,345,531 | | | | — | | | | — | |
International Equity Fund | | | 215,817,450 | | | | 209,725,753 | | | | — | | | | — | |
Emerging Markets Fund | | | 42,110,050 | | | | 36,457,112 | | | | — | | | | — | |
Core Fixed Income Fund | | | 84,156,874 | | | | 102,148,033 | | | | 774,765,725 | | | | 775,914,583 | |
High Yield Fund | | | 10,366,070 | | | | 13,732,001 | | | | — | | | | — | |
International Fixed Income Fund | | | 21,449,578 | | | | 25,191,098 | | | | 187,324,034 | | | | 187,007,925 | |
Municipal Bond Fund | | | 12,244,031 | | | | 15,509,796 | | | | — | | | | — | |
Inflation-Linked Fixed Income Fund | | | 11,926,717 | | | | 7,394,855 | | | | 95,908,031 | | | | 95,291,274 | |
Ultra-Short Term Fixed Income Fund | | | 114,790,159 | | | | 53,425,002 | | | | 141,529,006 | | | | 175,025,065 | |
Alternative Strategies Fund | | | 10,325,179 | | | | 2,370,119 | | | | — | | | | — | |
The cost of investments for federal income tax purposes, gross unrealized appreciation and unrealized depreciation at February 28, 2019 have been disclosed under respective schedules of investments.
4. Shares of Beneficial Interest
At February 28, 2019, the Trust had an unlimited number of units of beneficial interest (shares) authorized with a par value of $0.001 per share. At February 28, 2019, Trustees and executive officers of the Trust as a group owned of record less than 1% of the outstanding shares of the Trust.
315
| | |
| | | |
| Notes to Financial Statements | | |
Transactions in shares of each Fund were as follows:
| | | | | | | | |
| | | Period Ended
February 28,
2019 | | | Year Ended
August 31,
2018 | |
| Large Cap Equity Fund | | | | | | | | |
Shares sold | | | 5,451,693 | | | | 11,076,982 | |
Shares issued on reinvestment | | | 10,384,649 | | | | 4,143,088 | |
Shares repurchased | | | (10,460,275 | ) | | | (23,631,636 | ) |
| | | | | | | | |
Net Increase (Decrease) | | | 5,376,067 | | | | (8,411,566 | ) |
| | | | | | | | |
| | |
| Small-Mid Cap Equity Fund | | | | | | | | |
Shares sold | | | 2,203,125 | | | | 4,940,362 | |
Shares issued on reinvestment | | | 3,606,769 | | | | 1,203,655 | |
Shares repurchased | | | (3,214,890 | ) | | | (18,092,183 | ) |
| | | | | | | | |
Net Increase (Decrease) | | | 2,595,004 | | | | (11,948,166 | ) |
| | | | | | | | |
| | |
| International Equity Fund | | | | | | | | |
Shares sold | | | 11,785,144 | | | | 44,922,283 | |
Shares issued on reinvestment | | | 2,852,945 | | | | 1,716,459 | |
Shares repurchased | | | (12,501,639 | ) | | | (14,884,624 | ) |
| | | | | | | | |
Net Increase | | | 2,136,450 | | | | 31,754,118 | |
| | | | | | | | |
| | |
| Emerging Markets Equity Fund | | | | | | | | |
Shares sold | | | 2,840,926 | | | | 8,424,930 | |
Shares issued on reinvestment | | | 580,462 | | | | 423,141 | |
Shares repurchased | | | (3,200,160 | ) | | | (5,837,311 | ) |
| | | | | | | | |
Net Increase | | | 221,228 | | | | 3,010,760 | |
| | | | | | | | |
| | |
| Core Fixed Income Fund | | | | | | | | |
Shares sold | | | 8,279,239 | | | | 37,804,916 | |
Shares issued on reinvestment | | | 1,680,971 | | | | 2,763,385 | |
Shares repurchased | | | (12,913,360 | ) | | | (16,979,802 | ) |
| | | | | | | | |
Net Increase (Decrease) | | | (2,953,150 | ) | | | 23,588,499 | |
| | | | | | | | |
| | |
| High Yield Fund | | | | | | | | |
Shares sold | | | 1,800,603 | | | | 6,782,714 | |
Shares issued on reinvestment | | | 411,423 | | | | 1,489,503 | |
Shares repurchased | | | (3,065,823 | ) | | | (37,539,894 | ) |
| | | | | | | | |
Net Decrease | | | (853,797 | ) | | | (29,267,677 | ) |
| | | | | | | | |
| | |
| International Fixed Income Fund | | | | | | | | |
Shares sold | | | 1,209,304 | | | | 3,348,481 | |
Shares issued on reinvestment | | | 641,810 | | | | 226,162 | |
Shares repurchased | | | (2,113,813 | ) | | | (4,172,975 | ) |
| | | | | | | | |
Net Decrease | | | (262,699 | ) | | | (598,332 | ) |
| | | | | | | | |
316
| | |
| | | |
| Notes to Financial Statements | | |
| | | | | | | | |
| | | Period Ended
February 28,
2019 | | | Year Ended
August 31,
2018 | |
| | |
| Municipal Bond Fund | | | | | | | | |
Shares sold | | | 1,145,646 | | | | 1,560,276 | |
Shares issued on reinvestment | | | 107,311 | | | | 172,186 | |
Shares repurchased | | | (1,437,062 | ) | | | (929,360 | ) |
| | | | | | | | |
Net Increase (Decrease) | | | (184,105 | ) | | | 803,102 | |
| | | | | | | | |
| | |
| Inflation-Linked Fixed Income Fund | | | | | | | | |
Shares sold | | | 1,709,959 | | | | 9,202,089 | |
Shares issued on reinvestment | | | 256,272 | | | | 781,432 | |
Shares repurchased | | | (2,563,117 | ) | | | (4,379,797 | ) |
| | | | | | | | |
Net Increase (Decrease) | | | (596,886 | ) | | | 5,603,724 | |
| | | | | | | | |
| | |
| Ultra-Short Term Fixed Income Fund | | | | | | | | |
Shares sold | | | 5,059,627 | | | | 27,474,090 | |
Shares issued on reinvestment | | | 686,681 | | | | 846,293 | |
Shares repurchased | | | (5,702,915 | ) | | | (5,073,901 | ) |
| | | | | | | | |
Net Increase | | | 43,393 | | | | 23,246,482 | |
| | | | | | | | |
| | |
| Alternative Strategies Fund | | | | | | | | |
Shares sold | | | 1,188,072 | | | | 593,287 | * |
Shares issued on reinvestment | | | 10,258 | | | | — | |
Shares repurchased | | | (395,297 | ) | | | (13,313 | )* |
| | | | | | | | |
Net Increase | | | 803,033 | | | | 579,974 | |
| | | | | | | | |
| * | The values shown represent the period from Fund Inception (February 15, 2018) through the period ended August 31, 2018. |
5. Capital Loss Carry Forward
Under the Regulated Investment Company Modernization Act of 2010 (the “Act”), the Funds are permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010, for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred inpre-enactment taxable years. As a result of this,pre-enactment capital loss carryforwards may be more likely to expire unused.
As of August 31, 2018, the Funds had the following net capital loss carryforwards remaining:
| | | | | | | | | | | | | | | | | | | | |
| | | Large Cap
Equity Fund | | | Small-Mid Cap
Equity Fund | | | International
Equity Fund | | | Emerging Market
Equity Fund | | | Core Fixed
Income Fund | |
Short-Term | | $ | — | | | $ | — | | | $ | 1,208,681 | | | $ | 32,288,920 | | | $ | 12,043,654 | |
Long-Term | | | — | | | | — | | | | — | | | | 928,683 | | | | 2,519,013 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | — | | | $ | — | | | $ | 1,208,681 | | | $ | 33,217,603 | | | $ | 14,562,667 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| | | High Yield
Fund | | | International
Fixed Income
Fund | | | Municipal
Bond Fund | | | Inflation-Linked
Fixed Income
Fund | | | Ultra-Short
Term Fixed
Income Fund | |
Short-Term | | $ | 4,378,860 | | | $ | 1,217,057 | | | $ | — | | | $ | 66,712 | | | $ | 597,224 | |
Long-Term | | | 21,084,242 | | | | 165,114 | | | | — | | | | 784,217 | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 25,463,102 | | | $ | 1,382,171 | | | $ | — | | | $ | 850,929 | | | $ | 597,224 | |
| | | | | | | | | | | | | | | | | | | | |
317
| | |
| | | |
| Notes to Financial Statements | | |
| | | | |
| | | Alternative
Strategies Fund | |
Short-Term | | $ | 2,981 | |
Long-Term | | | — | |
| | | | |
| | $ | 2,981 | |
| | | | |
6. Recent Accounting Pronouncements
In March 2017, the FASB issued ASU2017-08, Receivables — Nonrefundable Fees and Other Costs (Subtopic310-20), Premium Amortization on Purchased Callable Debt Securities (“ASU2017-08”) which amends the amortization period for certain purchased callable debt securities held at a premium, shortening such period to the earliest call date. ASU2017-08 does not require any accounting change for debt securities held at a discount; the discount continues to be amortized to maturity. ASU2017-08 is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2018.
On August 28, 2018, the FASB issued an Accounting Standards Update, ASU2018-13, Fair Value Measurement (Topic 820): Disclosure Framework-Changes to the Disclosure Requirements for Fair Value Measurement (“ASU2018-13”). ASU2018-13 modifies the disclosure objective paragraphs of ASC 820 to eliminate (1) “at a minimum” from the phrase “an entity shall disclose at a minimum” and (2) other similar “open ended” disclosure requirements to promote the appropriate exercise of discretion by entities. ASU2018-13 also eliminates and modifies other requirements under ASU2018-13. ASU2018-13 is effective for all entities for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2019. Early application is permitted.
Management is currently evaluating the application of ASU2017-08 and ASU2018-13 and their impact, if any, on the financial statements.
7. Subsequent Events
Management has evaluated subsequent events after the balance sheet date through the date that the financial statements were issued and has not identified any additional events or transactions that would require recognition or disclosure in the financial statements other than the distribution information below.
Subsequent to February 28, 2019, the Funds made the following distributions:
| | | | | | | | | | | | | | | | |
| Record Date Payable Date | | Core Fixed Income
Fund | | | High Yield
Fund | | | Municipal Bond
Fund | | | Ultra-Short Term
Fixed Income
Fund | |
3/1/19-3/31/19 | | $ | 0.021779 | | | $ | 0.017081 | | | $ | 0.020042 | | | $ | 0.023631 | |
318
| | |
| | | |
| Board Approval of Management Agreement and Investment Advisory Agreements | | |
Approval of Advisory Agreements
The Morgan Stanley Pathway Funds (the “Trust,” and each series thereof a “Fund,” and collectively, the “Funds”) and Consulting Group Advisory Services LLC (“Manager”), a business of Morgan Stanley LLC, have entered into an investment management agreement (“Management Agreement”). Pursuant to the Management Agreement, other than with respect to the Alternative Strategies Fund, the Manager serves as “manager of managers” for the Trust and selects and oversees professional money managers (each, a“Sub-adviser” and collectively, the“Sub-advisers”) who are responsible for investing the portion of assets of the Funds allocated to them pursuant to investment advisory agreements (the “Subadvisory Agreements” and, together with the Management Agreement, the “Agreements”) between the Manager and each of theSub-advisers.
The Investment Company Act of 1940, as amended (the “1940 Act”), requires that the Agreements be approved initially for a two year term, as well as annually thereafter, by the Trust’s Board of Trustees (“Board”) and by a majority of the Trustees who are not “interested persons” (as defined in the 1940 Act) of any party to the Agreements (“Independent Trustees”), by vote cast in person at a meeting called for the purpose of voting on such approval. In connection with their consideration of the approval of the Agreements, the Independent Trustees must request and evaluate such information as may reasonably be necessary to make a reasonable business judgment with respect to the approval of the Agreements, and the Manager andSub-advisers are required to provide such information.
****
Municipal Bond Fund
At anin-person meeting of the Board held on December 17, 2018 (“December Meeting”), the Board, including a majority of the Independent Trustees, approved a newSub-advisory Agreement between the Manager, with respect to Municipal Bond Fund, and BlackRock Financial Management, Inc. (“BlackRock”), pursuant to which BlackRock providesday-to-day management of 100% of the Fund’s portfolio. The Independent Trustees requested and received information from the Manager and BlackRock they deemed reasonably necessary for their review of theSub-advisory Agreement and the services to be provided by BlackRock as aSub-adviser to the Fund. Included were due diligence materials prepared by the Manager and other information about BlackRock. Representatives from BlackRock made a presentation and responded to questions from the Board at the December Meeting. The Independent Trustees were assisted in their review by Fund counsel and independent legal counsel (“Independent Counsel”) and met with Independent Counsel in executive sessions separate from representatives of the Manager and BlackRock. In voting to approve theSub-advisory Agreement, the Independent Trustees considered whether the approval of theSub-advisory Agreement would be in the best interests of the Fund and its shareholders, an evaluation based on several factors including those discussed below.
Nature, Extent and Quality of the Services to be Provided Under theSub-advisory Agreement
The Board received and considered information regarding the nature, extent and quality of services to be provided to the Fund by BlackRock under theSub-advisory Agreement. The Independent Trustees considered information regarding the process by which the Manager selected and recommended BlackRock for Board approval and the Manager’s supervisory activities over BlackRock, including monitoring BlackRock’s compliance with the investment objective, policies, and restrictions of the Fund. The Independent Trustees considered BlackRock’s specific responsibilities in all aspects ofday-to-day management of the portion of the Fund’s assets allocated to it, as well as the qualifications, experience and responsibilities of the persons who would serve as the portfolio managers for the Fund’s assets to be managed by BlackRock, and other key personnel at BlackRock. The Independent Trustees specifically took into account BlackRock’s investment process and capabilities. The Independent Trustees also discussed the acceptability of the terms of theSub-advisory Agreement with respect to the Fund. The Independent Trustees also considered the Manager’s favorable assessment of the nature and quality of thesub-advisory services expected to be provided to the Fund by BlackRock. The Board reviewed information received from the Manager and the Trust’s Chief Compliance Officer regarding the Trust’s compliance policies and procedures established pursuant to Rule38a-1 under the 1940 Act and those of BlackRock.
The Independent Trustees then discussed with representatives of Management and BlackRock the portfolio management strategy of BlackRock. The Board also considered information regarding BlackRock’s financial condition as well as BlackRock’s brokerage policies and trading practices.
319
| | |
| | | |
| Board Approval of Management Agreement and Investment Advisory Agreements | | |
The Board concluded that, overall, it was satisfied with the nature, extent and quality of services expected to be provided by BlackRock under theSub-advisory Agreement.
Fund Performance
Because BlackRock was a newly appointedSub-adviser for the Fund, the Independent Trustees could not consider its investment performance in managing the Fund’s portfolio as a factor in evaluating theSub-Advisory Agreement during the December Meeting. The Board, however, received information from Management regarding BlackRock’s historical performance returns managing investment mandates similar to the Fund’s investment mandate, with such performance compared to a relevant index and Morningstar and Lipper fund categories. The Independent Trustees discussed with representatives of the Manager the investment strategy to be employed by BlackRock in the management of the Fund’s assets. The Independent Trustees noted BlackRock’s reputation and experience, as well as the portfolio managers’ experience, and the Manager’s experience and reputation in selecting, evaluating and overseeing investment managers. The Board determined that these factors also supported a decision to approve theSub-advisory Agreement with BlackRock.
Fees and Expense Ratio
The Board reviewed and considered the proposedsub-advisory fees payable under theSub-advisory Agreement, noting that the fees would be paid by the Manager and, thus would not impact the fees paid by the Fund. The Board also considered and discussed information about BlackRock’s fees for othersub-advised funds and accounts managed by BlackRock with investment mandates similar to the Fund’s investment mandate. The Independent Trustees concluded that the proposedsub-advisory fee payable to BlackRock by the Manager with respect to the assets to be allocated to BlackRock was reasonable in light of the comparative expense information and the nature, extent and quality of the services expected to be provided by BlackRock to the Fund.
Profitability
The Board recognized that, because BlackRock’s fee would be paid by the Manager, and not the Fund, an analysis of profitability was more appropriate in the context of the Board’s consideration of the Management Agreement between the Trust and the Manager and, therefore, the Board received and considered a profitability analysis of the Manager with respect to the proposed engagement of BlackRock as asub-adviser of the Fund. In addition, the Board received information with respect to the Manager’s allocation methodologies used in preparing this profitability data. The Board noted the profitability percentage ranges determined by appropriate court cases to be reasonable given the services rendered to investment companies. The Board determined that the Manager’s profitability was not excessive in light of the nature, extent and quality of the services provided by the Manager and those expected to be provided by BlackRock to the Fund.
Economies of Scale
The Independent Trustees recognized that because the proposed fees payable to BlackRock would be paid by the Manager, and not the Fund, and, thus, would not impact the fees paid by the Fund, an analysis of economies of scale was more appropriate in the context of the Board’s consideration of the Management Agreement between the Trust and the Manager. Accordingly, considerations of economies of scale were not relevant to the Independent Trustees’ determination to approve the BlackRockSub-advisory Agreement during the December Meeting.
Other Benefits to theSub-Adviser
The Board considered other benefits expected to be received by BlackRock and its affiliates as a result of the relationship with the Fund. The Board concluded that the benefits that BlackRock may receive by virtue of its relationship with the Fund appeared to be reasonable.
Based on their discussions and considerations, including those described above, the Board approved theSub-advisory Agreement between BlackRock and the Manager with respect to the Fund.
No single factor reviewed by the Board was identified by the Board as the principal factor in determining whether to approve theSub-advisory Agreement. TheSub-advisory Agreement between the Manager and BlackRock, with respect to the Fund, became effective as of February 25, 2019.
320
Trustees and Officers of the Trust
The Trust’s Board of Trustees (“Board” or “Trustees”) is responsible for overseeing the Trust’s management and operations. The Board approves all significant agreements between the Trust and the companies that furnish services to the Funds, including agreements with the Trust’s distributor,Sub-advisers, custodian, transfer agent and administrator. The Board elects officers who are responsible for theday-to-day operations of the Trust and the Funds and who execute policies authorized by the Board.
Consulting Group Advisory Services LLC (“CGAS” or “Manager”), a business of Morgan Stanley, serves as the investment adviser for each Fund. The Funds employ a “multi-manager” strategy. The Manager selects and oversees professional money managers (each a“Sub-adviser”) who are responsible for investing the assets of the Funds allocated to them. In addition to investment management services, the Manager monitors and supervises the services provided to the Trust by its administrator. The Manager also is responsible for conducting all operations of the Trust, except those operations contracted to theSub-advisers, the custodian, the transfer agent and the administrator.
The names of the Trustees and officers of the Trust, their addresses and years of birth, together with information as to their principal business occupations and, for the Trustees, other board memberships they have held during the past five years, are set forth below. The executive officers of the Trust are employees of organizations that provide services to the Funds.
| | | | | | | | | | | | |
Name, Address and
Date of Birth | | Position(s)
Held with
Trust | | Term of Office
and
Length
of Time
Served* | | Principal Occupation(s)
During Past Five Years | | Number of
Funds
in Fund
Complex
Overseen by
Trustee | | | Other Board
Memberships
Held During Past
Five Years by
Trustee |
| | | |
INDEPENDENT TRUSTEES | | | | | | | | |
| | | | | |
Mark J. Reed 2000 Westchester Avenue Purchase, NY 10577 Birth Year: 1964 | | Chairman and Trustee | | Since 2007 (Chairman since 2018) | | Principal and Portfolio Manager, North American Management Corp. (2013-present); and formerly, Managing Director and Chief Compliance Officer, Bush O’Donnell Investment Advisors, Inc. (1988-2013) | | | 11 | | | None |
| | | | | |
Adela Cepeda 2000 Westchester Avenue Purchase, NY 10577 Birth Year: 1958 | | Vice Chairman and Trustee | | Since 2008 (Vice Chairman since 2018) | | Managing Director, PFM Financial Advisors, LLC (September 2016-present); and formerly, President, A.C. Advisory, Inc. (1995-September 2016) | | | 11 | | | Director, BMO Financial Corp. (2012-present); Trustee, Mercer Funds (2005-present); Trustee, UBS Funds (2004-present); and formerly Director, Fort Dearborn Income Securities (2000-August 2016) |
321
| | | | | | | | | | |
Name, Address and
Date of Birth | | Position(s)
Held with
Trust | | Term of Office
and
Length
of Time
Served* | | Principal Occupation(s)
During Past Five Years | | Number of
Funds
in Fund
Complex
Overseen by
Trustee | | Other Board
Memberships
Held During Past
Five Years by
Trustee |
| | | | | |
W. Thomas Matthews 2000 Westchester Avenue Purchase, NY 10577 Birth Year: 1949 | | Trustee | | Since 2009 (Interested Trustee from 2006-2009) | | Retired; Advisor, Smith Barney (2005-2007) | | 11 | | Chairman Emeritus, Congressional Medal of Honor Foundation (2009-present); formerly Treasurer (2009-2016); and Chairman Emeritus, America’s Warrior Partnership (2017-present), formerly, Chairman (2013-2016) and Director (2013-2017) |
| | | | | |
Eric T. McKissack, CFA® 2000 Westchester Avenue Purchase, NY 10577 Birth Year: 1953 | | Trustee | | Since 2013 | | Founder and Chief Executive Officer Emeritus, Channing Capital Management, LLC (Investment Management); and formerly, Chief Executive Officer, Channing Capital Management, LLC (2004-2019) | | 11 | | Trustee and Chairman, FlexShares Funds (2011-present); Trustee, The Art Institute of Chicago (2001-present); Director, Shirley Ryan AbilityLab (2000-present); and Director, Urban Gateways (1995-present) |
|
INTERESTED TRUSTEE |
| | | | | |
Paul Ricciardelli** Morgan Stanley 522 Fifth Avenue, 14th Floor, New York, NY 10036 Birth Year: 1969 | | Trustee and Chief Executive Officer and President | | Since April 2017 | | Head of IAR/GIMA, Morgan Stanley (2011-present); Head of Wealth Advisory Solutions, Morgan Stanley (March 2017-present); formerly, Head of Manager Solutions, Morgan Stanley (2015-March 2017) | | 11 | | None |
322
| | | | | | |
Name, Address and
Date of Birth | | Position(s)
Held with
Trust | | Term of Office***
and Length of
Time Served | | Principal Occupation(s) During Past Five Years |
| | | |
OFFICERS | | | | | | |
| | | |
Francis Smith Morgan Stanley 522 Fifth Avenue, 4th Floor New York, NY 10036 Birth Year: 1965 | | Chief Financial Officer and Treasurer | | Since 2014 | | Managing Director, Morgan Stanley (2017-present); formerly Executive Director, Morgan Stanley (2001-2016); and Treasurer and Principal Financial Officer of various Morgan Stanley Funds (2003-present) |
| | | |
Eric Metallo Morgan Stanley 1633 Broadway, 26th Floor New York, NY 10019 Birth Year: 1976 | | Chief Legal Officer and Secretary | | Since August 2015 | | Executive Director, Morgan Stanley Wealth Management (2014-present); and formerly Senior Vice President and Associate General Counsel, PineBridge Investments (2011-2014) |
| | | |
Joseph Signora Morgan Stanley 2000 Westchester Avenue Purchase, NY 10577 Birth Year: 1977 | | Chief Compliance Officer | | Since December 2017 | | Executive Director, Morgan Stanley (2017-present); formerly, Senior Director, AXA Equitable (2015-2017); Vice President, EQ Advisors Trust (2015-2017); Vice President, AXA Premier VIP Trust (2015-2017); Vice President, 1290 Funds (2015-2017); Vice President, FMG LLC (2015-2017); Deputy Chief Compliance Officer, Emerging Global Advisors (2014-2015); Chief Compliance Officer, EGA Emerging Global Shares Trust (2014-2015); Chief Compliance Officer, EGA Frontier Diversified Core Fund (2014-2015); and Director of Compliance, Van Eck Associates Corp. (2011-2014) |
| | | |
Sara Cetron Morgan Stanley 2000 Westchester Avenue Purchase, NY 10577 Birth Year: 1980 | | Chief Administrative Officer | | Since March 2017 | | Vice President, Morgan Stanley (2015-present); and formerly Platform Management, Managed Solutions, Barclays Capital Inc. (2008-2015) |
| | | |
Robert Garcia Morgan Stanley 522 Fifth Avenue, 14th Floor New York, NY 10036 Birth Year: 1983 | | Chief Operating Officer Investment Officer Co-Chief Operating Officer | | Since May 2016 Since July 2015 August2015-May 2016 | | Head of Operations and Strategy, Morgan Stanley (2017-present); formerly Head of Portfolio Operations-WMIR, Morgan Stanley (2016-2017); Head of Packaged Digital Solutions, Morgan Stanley (2015-present); and formerly Head of Strategy and Development-Global Investment Solutions, Morgan Stanley (2013-2015) |
| | | |
Franceen Jansen Morgan Stanley 522 Fifth Avenue, 12th Floor New York, NY 10036 Birth Year: 1959 | | Investment Officer | | Since August 2015 | | Executive Director, Morgan Stanley (2010-present) |
323
| | | | | | |
Name, Address and
Date of Birth | | Position(s)
Held with
Trust | | Term of Office***
and Length of
Time Served | | Principal Occupation(s) During Past Five Years |
| | | |
Brian Mulley Morgan Stanley 1585 Broadway, 29th Floor New York, NY 10036 Birth Year: 1977 | | Investment Officer | | Since August 2015 | | Investment Analyst, Executive Director, Morgan Stanley (2005-present) |
| | | |
Matthew Rizzo Morgan Stanley Delaware Corporate Center II 2 Righter Parkway, 3rd Floor Wilmington, DE 19803 Birth Year: 1970 | | Investment Officer | | Since August 2015 | | Executive Director, Manager Solutions, Morgan Stanley (2015- present); and formerly Head of Investment Strategy and Content, Morgan Stanley (2012-2015) |
| | | |
Sukru Saman Morgan Stanley 522 5th Avenue, 12th Floor New York, NY 10036 Birth Year: 1972 | | Investment Officer | | Since August 2015 | | Investment Officer, Morgan Stanley Wealth Management (2013-present) |
| | | |
Lisa Shalett Morgan Stanley 522 Fifth Avenue, 12th Floor New York, NY 10036 Birth Year: 1963 | | Investment Officer | | Since August 2015 | | Head of Investment and Portfolio Strategies, Morgan Stanley (2013-present) |
| | | |
James Totino Morgan Stanley 522 Fifth Avenue, 14th Floor New York, NY 10036 Birth Year: 1970 | | Investment Officer | | Since May 2018 | | Portfolio Specialist, Investment Officer, Morgan Stanley (April 2018-present); and Investment Officer, Morgan Stanley (2011-March 2018) |
| | | |
Bahadir Sarana Morgan Stanley 1633 Broadway, New York, NY 10019 Birth Year: 1977 | | Anti-Money Laundering (“AML”) Compliance Officer | | Since September 2018 | | Executive Director, Morgan Stanley (1999-present) |
| | | |
James J. Tracy Morgan Stanley 2000 Westchester Avenue Purchase, NY 10577 Birth Year: 1957 | | Product Management Officer Trustee Chief Executive Officer and President | | Since May 2016 2013-2015 2013-2015 | | Managing Director, Director of Consulting Group and Practice Management (2016-present); Managing Director, Vice Chairman of Wealth Management (2015); and formerly Managing Director, Director of Consulting Group Wealth Advisory Solutions (2012-2015) |
| | | |
Steven Ross Morgan Stanley 522 Fifth Avenue, 4th Floor New York, NY 10036 Birth Year: 1971 | | Assistant Treasurer | | Since 2014 | | Executive Director, Morgan Stanley (2013-present) |
324
| | | | | | |
Name, Address and
Date of Birth | | Position(s)
Held with
Trust | | Term of Office***
and Length of
Time Served | | Principal Occupation(s) During Past Five Years |
| | | |
Robert Creaney Morgan Stanley One Financial Place 440 South LaSalle Street 39th Floor Chicago, IL 60605 Birth Year: 1974 | | Assistant Treasurer | | Since 2014 | | Executive Director, Morgan Stanley (1997-present) |
| | | |
Michael Conklin Morgan Stanley One Financial Place 440 South LaSalle Street 39th Floor Chicago, IL 60605 Birth Year: 1977 | | Assistant Treasurer | | Since 2014 | | Executive Director, Morgan Stanley (2013-present) |
| | | |
Suzan M. Barron Brown Brothers Harriman & Co. (“BBH&Co.”) 50 Post Office Square Boston, MA 02110 Birth Year: 1964 | | Assistant Secretary | | Since 2011 | | Senior Vice President and Senior Investor Services Counsel, Corporate Secretary and Regulatory Support Practice of Fund Administration, BBH&Co. (2005-present) |
| * | Each Trustee remains in office until he or she resigns, retires or is removed. |
| ** | Mr. Ricciardelli is an “interested person” of the Trust as defined in the 1940 Act because of his position with Morgan Stanley. |
| *** | The President, Treasurer and Secretary hold office until their respective successors are chosen and qualified or until he or she sooner dies, resigns, is removed or becomes disqualified. Each of the other officers serves at the pleasure of the Board. |
325
| | |
| | | |
| Important Tax Information | | |
The following information is provided with respect to the distributions paid during the taxable year ended August 31, 2018:
| | | | | | | | | | | | | | | | | | | | |
| | | Large Cap
Equity Fund | | | Small-Mid Cap
Equity Fund | | | International
Equity Fund | | | Emerging Markets
Equity Fund | | | High Yield
Fund | |
Record Date | | | 12/6/2017 | | | | 12/6/2017 | | | | 12/6/2017 | | | | 12/6/2017 | | | | Monthly | |
Payable Date | | | 12/7/2017 | | | | 12/7/2017 | | | | 12/7/2017 | | | | 12/7/2017 | | | | Monthly | |
Ordinary Income: | | | | | | | | | | | | | | | | | | | | |
Qualified Dividend Income for Individuals | | | 100 | % | | | 35.90 | % | | | 100 | % | | | 94.33 | % | | | — | |
Dividends Qualifying for the Dividends Received Deduction for Corporations | | | 100 | % | | | 35.00 | % | | | | | | | — | | | | — | |
Foreign Source Income | | | — | | | | — | | | | 99.93 | %* | | | 99.99 | %* | | | — | |
Foreign Tax Paid Per Share | | | — | | | | — | | | | 0.01988 | | | | 0.03656 | | | | — | |
Long-Term Capital Gain Dividend | | | 0.65044 | | | | 0.37398 | | | | — | | | | — | | | | — | |
| | | | | |
| | | Core Fixed
Income Fund | | | International
Fixed
Income Fund | | | Municipal
Bond Fund | | | Inflation-Linked
Fixed
Income Fund | | | Ultra-Short
Term Fixed
Income Fund | |
Record Date | | | Monthly | | | | 12/6/2017 | | | | Monthly | | | | Monthly | | | | Monthly | |
Payable Date | | | Monthly | | | | 12/7/2017 | | | | Monthly | | | | Monthly | | | | Monthly | |
Ordinary Income: | | | | | | | | | | | | | | | | | | | | |
Qualified Dividend Income for Individuals | | | — | | | | — | | | | — | | | | — | | | | — | |
Dividends Qualifying for the Dividends Received Deduction for Corporations | | | — | | | | — | | | | — | | | | — | | | | — | |
Interest fromTax-Exempt Obligations | | | — | | | | — | | | | 100 | % | | | — | | | | — | |
Interest from Federal Obligations | | | 39.18 | % | | | 19.20 | % | | | — | | | | 87.79 | % | | | 9.69 | % |
Long-Term Capital Gain Dividend | | | — | | | | — | | | | — | | | | — | | | | — | |
| * | Expressed as a percentage of the cash distributiongrossed-up for foreign taxes. |
The law varies in each state as to whether and what percentage of dividend income attributable to Federal obligations is exempt from state income tax. We recommend that you consult with your tax adviser to determine if any portion of the dividends you received is exempt from state income taxes.
The foreign taxes paid represent taxes incurred by the Fund on income received by the Fund from foreign sources. Foreign taxes paid may be included in taxable income with an offsetting deduction from gross income or may be taken as a credit for taxes paid to foreign governments. You should consult your tax adviser regarding the appropriate treatment of foreign taxes paid.
Please retain this information for your records.
326
MORGAN STANLEY SMITH BARNEY LLC
Distributor
CONSULTING GROUP ADVISORY SERVICES LLC
Investment Adviser
This report is submitted for the general information of the shareholders of Morgan Stanley Pathway Funds. It is not authorized for distribution to prospective investors unless accompanied or preceded by a current Prospectus for the Trust which contains information concerning the Trust’s Investment policies, charges and expenses as well as other pertinent information.
The Funds file their complete schedule of portfolio holdings with the Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at www.sec.gov. The Funds’ Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington D.C., and information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. To obtain information on Form N-Q from the Funds, shareholders can call 1-888-454-3965 (“ask for Consulting Group”).
Information on how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 and a description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities is available (1) without charge, upon request, by calling 1-888-454-3965 (ask for “Consulting Group”), (2) on the Funds’ website at www.morganstanley.com/wealth-investmentsolutions/cgcm and (3) on the SEC’s website at www.sec.gov.
© 2019 Morgan Stanley Smith Barney LLC (“Morgan Stanley”). Consulting Group Advisory Services LLC (“CGAS”) is a business of Morgan Stanley. Securities are offered through Morgan Stanley.
MS Pathway Funds
2000 Westchester Avenue
Purchase, NY 10577
ITEM 2. CODE OF ETHICS.
Not Applicable. This item is only required in an annual report on FormN-CSR.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not Applicable. This item is only required in an annual report on FormN-CSR.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not Applicable. This item is only required in an annual report on FormN-CSR.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not Applicable. This item is only required in an annual report on FormN-CSR.
ITEM 6. INVESTMENTS.
| (a) | A Schedule of Investments in securities of unaffiliated issuers as of the close of the Reporting Period is included as part of the report to shareholders filed under Item 1 of this FormN-CSR. |
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FORCLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not Applicable.
ITEM 8. PORTFOLIO MANAGERS OFCLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not Applicable.
ITEM 9. PURCHASES OF EQUITY SECURITIES BYCLOSED-END MANAGEMENT INVESTMENT COMPANIES AND AFFILIATED PURCHASERS.
Not Applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the Registrant’s board of directors, where those changes were implemented after the Registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of RegulationS-K (as required by Item 22(b)(15) of Schedule 14A (17 CFR240.14a-101)), or this Item.
ITEM 11. CONTROLS AND PROCEDURES.
(a) The Registrant’s principal executive officer and principal financial officer, or persons performing similar functions, have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule30a-3(c) under the Investment Company Act of 1940, as amended (17 CFR270.30a-3(c)) were
effective, as of a date within 90 days of the filing date of this report, based on his evaluation of these disclosure controls and procedures as required by Rule30a-3(b) under the Investment Company Act of 1940, as amended (17 CFR270.30a-3(b)), and Rules13a-15(b) or15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR240.13a-15(b) or240.15d-15(b)).
(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule30a-3(d) under the Investment Company Act of 1940, as amended (17 CFR270.30a-3(d)), that occurred during the Registrant’s last fiscal half-year that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
ITEM 12. DISCLOSURE OF SECURITIES LENDING ACTIVITIES FORCLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not Applicable.
ITEM 13. EXHIBITS.
(a)(1) Not Applicable.
(a)(2) Certifications pursuant to Rule30a-2(a) under the Investment Company Act of 1940, as amended (17 CFR270.30a-2(a)) are attached hereto.
(a)(3) Not Applicable.
(a)(4) Not Applicable.
(b) Certifications pursuant to 18 U.S.C. Section 1350 as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this Report to be signed on its behalf by the undersigned, thereunto duly authorized.
| | |
| Morgan Stanley Pathway Funds |
| |
| By: | | /s/ Paul Ricciardelli |
| | Paul Ricciardelli |
| | Chief Executive Officer |
| | Morgan Stanley Pathway Funds |
| |
| Date: | | May 3, 2019 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
| | |
| By: | | /s/ Paul Ricciardelli |
| | Paul Ricciardelli |
| | Chief Executive Officer |
| | Morgan Stanley Pathway Funds |
| |
| Date: | | May 3, 2019 |
| | |
| Morgan Stanley Pathway Funds |
| |
| By: | | /s/ Francis Smith |
| | Francis Smith |
| | Chief Financial Officer |
| | Morgan Stanley Pathway Funds |
| |
| Date: | | May 3, 2019 |
