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: (888)454-3965
Date of fiscal year end: August 31
Date of reporting period: August 31, 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)
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,
Global equity markets returns were mixed over the twelve-month period ending August 31, 2019. U.S. markets as measured by the S&P 500® Index igained 2.92%, while developed international markets represented by the MSCI EAFE® Index (Net)ixlost 3.26% and the MSCI Emerging Markets Index (Net)xii lost 4.36%. Compared to the previous fiscal year, performance this year has been more subdued given macroeconomic and geopolitical factors including slower earnings growth, trade and Brexit.
During the trailing 12 months ending August 31, 2019, growth stocks continued to outperform value, both domestically and abroad. The U.S.large-cap Russell 1000® Growth Indexiii gained 4.27% compared to the Russell 1000® Index iiwhich gained 0.62%. The U.S.small-cap Russell 2000® Growth Indexviidecreased 11.02% compared to a loss of 14.89% for the Russell 2000® Value Indexviii. The differential between growth and value was more pronounced in developed international markets with the MSCI EAFE® Growth Indexx gaining 0.81% compared to a loss of 7.42% for the MSCI EAFE® Value Indexxi. However, the gap narrowed within emerging markets with the MSCI Emerging Markets Index (Net)xii decreasing 3.21% compared to a loss of 5.63% for the MSCI Emerging Markets Value Index (Net)xiv.
Within the United States, seven out of eleven S&P 500® Indexi sectors posted positive results, but dispersion between the best and worst sector was wide. The returns were as follows: Utilities (+21.18%), Real Estate (+20.30%), Consumer Staples (+16.10%), Communication Services (+9.72%), Information Technology (+6.62%), Consumer Discretionary (+2.55%), Industrials (+0.56), Health Care(-0.57%), Materials(-2.52%), Financials(-2.90%) and Energy(-20.13%).
Fixed income markets performed extremely well given the drop in yields across the yield curve during the sametwelve-month period. The yield on the U.S. 2-year Treasury-Note dropped from 2.62% to 1.50% while the yield on the U.S.10-year Treasury-Note dropped from 2.85% to 1.50%. Broad investment grade indices such as the Bloomberg Barclays U.S. Aggregate BondTM Indexxvi returned 10.17% and the Bloomberg Barclays Global Aggregate Bond Index xvii returned 7.77%. U.S. high yield also performed well with the Bloomberg Barclays U.S. Corporate High Yield Bond Indexxviii gaining 6.56%.
Morgan Stanley & Co. economists expect U.S. real GDP growth to be 2.3% in 2019 and 1.7% in 2020. The forecast for global real GDP growth is 3.0% for 2019 and 3.2% for 2020.
Morgan Stanley Pathway Funds
(Returns are for the fiscal one year period ending August 31, 2019)
The Large Cap Equity Fund returned 1.32% compared to 2.49% for the Russell 1000® Indexii. The return of the LipperLarge-Cap Core Funds Average xxiii investment category was 2.37%. The Fund’s allocation effect had a positive impact on relative performance, but stock selection within energy and information technology had the largest negative impact. Top contributors included Coca-Cola Company, Merck & Co., Abbot Laboratories, Microsoft and Visa, while the top detractors included Amazon, Haliburton, Occidental Petroleum, Marathon Oil and Apple.
The Small-Mid Cap Equity Fund returned-6.25% compared to-7.14% for the Russell 2500® Indexv. The return of the LipperSmall-Cap Core Funds Averagexxiv investment category was-12.00%. The Fund’s allocation and stock selection had a positive impact on relative performance with information technology and consumer discretionary having the largest effect. Top contributors included HEICO, Euronet Worldwide, Ciena, Keysight Technologies and TESARO, while the top detractors included Key Energy Services, Amneal Pharmaceuticals, Cornerstone Building Brands, Conduent and the iShares® Russell 2000 Value ETF.
The International Equity Fund returned-6.34% compared to-3.26% for the MSCI EAFE® Index (Net)ix. The return of the Lipper InternationalLarge-Cap Core Funds Averagexxvwas-5.03%. The Fund’s allocation and stock selection had a negative impact on relative performance with industrials and consumer discretionary sectors detracting the most. Top
I
contributors included Nestle, Novartis, AstraZeneca, Roche Holdings, Gold Fields Limited, while top detractors included Baidu, Encana, Total SA, Prudential PLC and Infineon Technologies.
The Emerging Markets Equity Fund returned-0.40% compared to-4.36% for the MSCI Emerging Markets Index (Net) xii. The return of the Lipper Emerging Markets Funds Averagexxvi was-2.10%. The Fund’s allocation and stock selection had a positive impact on relative performance with financials and industrials contributing the most. Top contributors included Kweichow Moutai, Yihai International Holding, Banco do Brasil, Ping An Insurance and Movida Participacoes, while the top detractors included Baidu, China Construction Bank, Samsung Electronics, AAC Technologies Holdings and Samsung Electronics.
The Core Fixed Income Fund returned 10.39% compared to 10.17% for the Bloomberg Barclays U.S. Aggregate BondTM Indexxvi. The return of the Lipper Core Bond Funds Averagexxvii was 9.43%.
The High Yield Fund returned 5.58% compared to 6.56% for the Bloomberg Barclays U.S. Corporate High Yield Bond Indexxviii. The return of the Lipper High Yield Funds Averagexxviii was 5.57%.
The International Fixed Income Fund returned 10.01% compared to 12.86% for the FTSENon-USD World Government Bond Index (USD) Hedgedxxi. The return of the Lipper International Income Funds Averagexxix was 6.27%.
The Municipal Bond Fund returned 8.38% compared to 8.72% for the Bloomberg Barclays U.S. Municipal Bond Index xx. The return of the Lipper General & Insured Municipal Debt Funds Averageivwas 8.35%.
The Inflation-Linked Fixed Income Fund returned 6.42% compared to 7.46% for the Bloomberg Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index xix. The return of the Lipper Inflation Protected Bond Funds Average vi was 5.50%.
The Ultra-Short Term Fixed Income Fund returned 2.07% compared to 2.36% for the FTSE3-Month U.S. Treasury Bill Indexxv. The return of the Lipper Ultra-Short Obligations Funds Averagexiii was 2.73%.
The Alternative Strategies Fund returned 2.90% compared to-1.12% for the HFRX Global Hedge Fund Index xxii.
Additional information regarding the investment managers of the Morgan Stanley Pathway Funds and commentary specific to each individual sub-adviser is available in the Annual Report following this Shareholder Letter.
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.
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.
III
| | | | |
Performance of the Morgan Stanley Pathway Funds For the Year Ended August 31, 2019†* | |
| |
| Large Cap Equity Fund | | | 1.32 | % |
Russell 1000® Index(ii) | | | 2.49 | % |
| |
| Small-Mid Cap Equity Fund | | | -6.25 | % |
Russell 2500® Index(v) | | | -7.14 | % |
| |
| International Equity Fund | | | -6.34 | % |
MSCI EAFE® Index (Net)(ix) | | | -3.26 | % |
| |
| Emerging Markets Equity Fund | | | -0.40 | % |
MSCI Emerging Markets Index (Net)(xii) | | | -4.36 | % |
| |
| Core Fixed Income Fund | | | 10.39 | % |
Bloomberg Barclays U.S. Aggregate BondTM Index(xvi) | | | 10.17 | % |
| |
| High Yield Fund | | | 5.58 | % |
Bloomberg Barclays U.S. Corporate High Yield Bond Index(xviii) | | | 6.56 | % |
| |
| International Fixed Income Fund | | | 10.01 | % |
FTSENon-USD World Government Bond Index (USD) — Hedged(xxi) | | | 12.86 | % |
| |
| Municipal Bond Fund | | | 8.38 | % |
Bloomberg Barclays U.S. Municipal Bond Index(xx) | | | 8.72 | % |
| |
| Inflation-Linked Fixed Income Fund | | | 6.42 | % |
Bloomberg Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index(xix) | | | 7.46 | % |
| |
| Ultra-Short Term Fixed Income Fund | | | 2.07 | % |
FTSE3-Month U.S. Treasury Bill Index(xv) | | | 2.36 | % |
| |
| Alternative Strategies Fund | | | 2.90 | % |
HFRX Global Hedge Fund Index(xxii) | | | -1.12 | % |
See pages 25 through 28 for all footnotes.
IV
Large Cap Equity Fund
|
| ABOUTTHE SUB-ADVISERS |
|
• ClearBridge Investments, LLC (“ClearBridge”) |
| ClearBridge is a wholly-owned subsidiary of Legg Mason, Inc., a financial services holding company. The Portfolio Managers for the ClearBridge Large Cap Growth strategy utilize a fundamental, bottom-up research approach that emphasizes company analysis, management and stock selection. ClearBridge invests in large capitalization companies that it believes are dominant in their industries due to product, distribution or service strength. ClearBridge emphasizes individual security selection while diversifying the Fund’s investments across industries, which may help to reduce risk. ClearBridge attempts to identify established large capitalization companies with the highest growth potential, then analyze each company in detail, ranking its management, strategy and competitive market position. The Portfolio Managers pursue a collaborative approach in which both they and the research analysts propose companies with attractive business models and good long-term growth prospects for further review. The team is particularly valuation conscious, gravitating toward “controversy”, or companies that are temporarily inefficiently priced. |
|
• Columbia Management Investment Advisers, LLC (“Columbia”) |
| Columbia uses a combination of fundamental and quantitative analysis with risk management, including cross-correlation analysis, in identifying investment opportunities and constructing it’s portion of the Fund’s portfolio. In selecting investments, Columbia considers, among other factors: |
|
| · overall economic and market conditions; and |
|
| · the financial condition and management of a company, including its competitive position, the quality of its balance sheet and earnings, its future prospects, and the potential for growth and stock price appreciation. |
| Columbia may sell a security when the security’s price reaches a target set by Columbia; if Columbia believes that there is deterioration in the issuer’s financial circumstances or fundamental prospects; if other investments are more attractive; or for other reasons. |
|
• BlackRock Financial Management, Inc. (“BlackRock”) |
| BlackRock employs a “passive” management approach, attempting to invest in a portfolio |
As of August 31, 2019, the Sub-advisers for Morgan Stanley Pathway Large Cap Equity Fund (“Fund”) were BlackRock Financial Management, Inc. (“BlackRock”), Columbia Management Investment Advisers, LLC (“Columbia”), Lazard Asset Management, LLC (“Lazard”), Delaware Investments Fund Advisers, a member of Macquarie Investment Management Business Trust (“MIM”), Lyrical Asset Management LP (“Lyrical”) and ClearBridge Investments, LLC (“ClearBridge”).
For the fiscal year ending August 31, 2019, the Fund returned 1.32% compared to the Russell 1000® Indexii return of 2.49%. Positioning within financials and industrials contributed the most to relative performance while energy and information technology were the top detractors. Top contributors includedCoca-Cola Company, Merck & Co., Abbot Laboratories, Microsoft and Visa, while the top detractors included Amazon, Haliburton, Occidental Petroleum, Marathon Oil and Apple.
The Fund’s yield was 1.81%, slightly less than the benchmark’s 1.88% yield. The Fund’s one year forward price to earnings ratio (P/E) was 17.3, slightly less than the benchmark which was 18.0. The estimated earnings per share growth over the next3-5 years is 11.8%, slightly less than the benchmark’s 12.1% growth rate. The top 10 positions accounted for 17% of the Funds’ holdings and included the iShares® Corp S&P U.S. Value ETF, Microsoft, Amazon, Apple, Facebook, Cisco, Medtronic, Alphabet, Johnson & Johnson and Coca-Cola Company.
During the fiscal one year period, BlackRock performedin-line with the Russell 1000® Indexii, which matched its passive mandate to track the index.
The portion of the Fund managed by Lazard outperformed the benchmark during the fiscal one year period due to their sector allocation positioning and individual stock selection. Out of the eight broad sectors they were positioned in, all added to relative performance except for communication services. Stock selection was strongest within health care and weakest within communication services. The top five contributors were Coco-Cola Company, S&P Global, Baxter International, Armstrong World Industries and Vulcan Materials, while the top five detractors were Elanco Animal Health, Westinghouse Air Brake Technologies, DXC Technology, Skyworks Solutions and Steel Dynamics. As of August 31, 2019, Lazard’s top ten positions represented 66% of their portfolio.
The portion of the Fund managed by MIM trailed the benchmark during the fiscal one year period due to their value style, sector positioning and individual stock selection. The top contributing sector was industrials while energy was the largest detractor. The top five contributors were Dollar Tree, Mondelez International, Merck & Co., Abbott Laboratories and Waste Management, while the top five detractors were Haliburton, Marathon Oil, Occidental Petroleum, ConocoPhillips and DuPont de Nemours. As of August 31, 2019, MIM’s top ten positions represented 34% of their portfolio.
The portion of the Fund managed by Lyrical trailed the benchmark during the fiscal one year period due to their value style, sector positioning and individual stock selection. The top contributing sector was materials while energy was the largest detractor. The top five contributors were Willis Towers Watson Public Limited,
1
|
| of assets whose performance is expected to match approximately the performance of the Russell 1000® Index. The Fund will be substantially invested in securities in the Russell 1000® Index, and will invest, under normal circumstances, at least 80% of its assets in securities or other financial instruments that are components of or have economic characteristics similar to the securities included in the Russell 1000® Index. |
|
• Lazard Asset Management, LLC (“Lazard”) |
| Lazard, an indirect, wholly-owned subsidiary of Lazard Ltd., is known for its global perspective on investing and years of experience with global, regional and domestic portfolios. With more than 300 investment personnel worldwide, Lazard offers investors of all types an array of equity, fixed income, and alternative investment solutions from its network of local offices in ten different countries. Its team-based approach to portfolio management helps Lazard to deliver robust and consistent performance over time, and strong client relationships allow them to understand how to employ their capabilities to its clients’ advantage. Lazard manages an all cap, concentrated strategy designed to leverage the best collection of ideas from the U.S. Equity team. It is benchmark-agnostic, seeking to outperform any broad-based market index (i.e., S&P 500® Index, Russell 1000® Index, Russell 3000® Index) by investing in companies that compound earnings and capital and by taking advantage of valuation anomalies. |
|
• Delaware Investments Fund Advisers, a member of Macquarie Investment Management Business Trust (“MIM”) |
| MIM will invest under normal circumstances, at least 80% of its net assets, plus the amount of any borrowings for investment purposes, in securities of large-capitalization companies. MIM invests primarily in securities of largecapitalization companies that the Manager believes have long-term capital appreciation potential. MIM currently defines large-capitalization stocks as those with market capitalizations of $5 billion or greater at the time of purchase. Typically, the Manager seeks to select securities that it believes are undervalued in relation to their intrinsic value, as indicated by multiple factors, including the earnings and cash flow potential or the asset value of the respective issuers. The Manager also considers a company’s plans for future operations on a selective basis. The Manager may sell a security if it no longer believes the security will contribute to meeting the investment objective of the Fund. |
|
• Lyrical Asset Management LP (“Lyrical”) |
| Lyrical employs a deep value style with a high quality focus. Lyrical employs a value investing philosophy and believes that a portfolio of companies with low valuations relative to their longterm normalized earnings power will outperform the overall market over time and unlike some traditional value investors who |
Assurant, Broadcom, Microchip Technology and Crown Holdings, while the top five detractors were Qurate Retail Group, National Oilwell Varco, EOG Resources, Suncor Energy and CommScope Holding. As of August 31, 2019, Lyrical’s top ten positions represented 54% of their portfolio.
The portion of the Fund managed by ClearBridge outperformed the benchmark during the fiscal one year period due to their growth style and stock selection. Sector positioning had a neutral impact on performance. Positioning was strongest within materials and weakest within energy. The top five contributors were Chipotle Mexican Grill, Zoetis, Microsoft, Visa and Red Hat, while the top five detractors were Amazon, Schlumberger, Charles Schwab, Biogen and Apple. As of August 31, 2019, ClearBridge’s top ten positions represented 37% of their portfolio.
The portion of the Fund managed by Columbia underperformed the benchmark during the fiscal one year period due to a combination of sector allocation and stock selection. Positioning was strongest within consumer discretionary and weakest within information technology. The top five contributors were New Oriental Education & Technology, MercadoLibre, Exact Sciences, Edwards Lifesciences and ServiceNow, while the top five detractors were Activision Blizzard, Canada Goose Holdings, Charles Schwab, Illumina and NVIDIA. As of August 31, 2019, Columbia’s top ten positons represented 41% of their portfolio.
2
|
| are willing to own any business at the right price, Lyrical’s philosophy is to invest only in businesses that it believes are of good quality. Lyrical invests only in the common stock of companies within its investable universe, which is the top 1,000 U.S. listed stocks by market capitalization. |
The following graph depicts the performance of Russell 1000® Indexii vs. the LipperLarge-Cap Core Funds Averagexxiii
|
HISTORICAL PERFORMANCE FOR THE TEN-YEAR PERIOD ENDED AUGUST 31, 2019 LARGE CAP EQUITY FUND Comparison of $10,000 Investment in the Fund with the Russell 1000® Index
and the Lipper Large-Cap Core Funds Average |
The performance shown above and below represents past performance. Past performance is no guarantee of future results and current performance may be higher or lower than the performance shown above and below. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would have been lower. Principal value and investment returns will fluctuate and investors’ shares, when redeemed, may be worth more or less than their original cost. To obtain performance data current to the most recent month-end, please visit our website at www.morganstanley.com/wealth-investmentsolutions/cgcm.
The graph above and returns shown below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
| | | | | | | | | | | | | | | | | | | | | | |
| | | LARGE CAP EQUITY FUND Average Annual Total Returns for the Period Ended August 31, 2019† |
| | | | | Without
Annual
Advisory
Program
Fee | | With
Annual
Advisory
Program
Fee* | | Russell
1000®
Index** | | Lipper
Large-Cap
Core Funds
Average** |
| | Since inception 11/18/1991 | | | | 8.39 | % | | | | 6.24 | % | | | | 9.83 | % | | | | 9.29 | % |
| | 10 years | | | | 12.85 | | | | | 10.64 | | | | | 13.49 | | | | | 12.15 | |
| | 5 years | | | | 8.92 | | | | | 6.79 | | | | | 9.85 | | | | | 8.76 | |
| | 3 years | | | | 11.11 | | | | | 8.94 | | | | | 12.57 | | | | | 11.56 | |
| | | 1 year | | | | 1.32 | | | | | (0.67 | ) | | | | 2.49 | | | | | 2.37 | |
See pages 25 through 28 for all footnotes.
3
Small-Mid Cap Equity Fund
|
| ABOUTTHE SUB-ADVISERS |
|
• Neuberger Berman Investment Advisers LLC (“Neuberger”) |
| Neuberger employs in-depth research to identify out-of-favor small cap companies selling at a significant discount to intrinsic value, where there is a dynamic plan or event that is expected to both enhance value and narrow the price/value gap. Neuberger’s analysts seek to invest when there is a true disconnect between reality and market perception — something that occurs regularly in particular types of companies. For example, we believe the market tends to demonstrate inefficiency in pricing companies with complex corporate structures since many investors will not take the time to understand them. Neuberger’s valuation approach resembles the due diligence effort that Neuberger’s a private equity firm might employ to evaluate the purchase of an entire company. Neuberger’s analysts also focus on investing in businesses where management has a significant ownership stake as, in our view, such companies tend to be more aligned with shareholders’ interests. |
|
• Westfield Capital Management Company, L.P. (“Westfield”) |
| Westfield favors investing in earnings growth stocks given a conviction that stock prices follow earnings progress and that they offer the best opportunity for superior real rates of return. Reasonably priced stocks of companies with high foreseen earnings potential are best identified through in-depth, fundamental research. It is Westfield’s belief that the small capitalization portion of the market is under-researched, and therefore less efficient, than the large capitalization sector. |
|
• BlackRock Financial Management, Inc. (“BlackRock”) |
| BlackRock Financial Management, Inc. employs a “passive” management approach, attempting to invest in a portfolio of assets whose performance is expected to match approximately the performance of the Russell 2500® Index. The Fund will be substantially invested in securities in the Russell 2500® Index, and will invest, under normal circumstances, at least 80% of its assets in securities or other financial instruments that are components of or have economic characteristics similar to the securities included in the Russell 2500® Index. |
As of August 31, 2019, the Sub-advisers for the Morgan Stanley Pathway Small-Mid Cap Equity (“Fund”) were BlackRock Financial Management, Inc. (“BlackRock”), Aristotle Capital Boston, LLC (“Aristotle”), D.F. Dent & Company, Inc. (“DF Dent”), Neuberger Berman Investment Advisers LLC (“Neuberger”), Nuance Investments, LLC (“Nuance”) and Westfield Capital Management Company, L.P. (“Westfield”). Aristotle, DF Dent and Nuance were hired on May 20, 2019 to replace Frontier Capital Management Co., LLC (“Frontier”), Hahn Capital Management LLC (“Hahn”) and Rutabaga Capital Management LLC (“Rutabaga”).
For the fiscal year ending August 31, 2019, the Fund returned -6.25% compared to the Russell 2500® Indexv return of -7.14%. Positioning within information technology and materials contributed the most to relative performance while utilities and financials were the largest detractors. Top contributors included HEICO, Euronet Worldwide, Ciena, Keysight Technologies and TESARO, while the top detractors included Key Energy Services, Amneal Pharmaceuticals, Cornerstone Building Brands, Conduent and the iShares® Russell 2000 Value ETF.
The Fund’s yield was 1.29%, less than the benchmark’s 1.69% yield. The Fund’s forward P/E was 17.3, higher than the benchmark which was 16.7. The estimated earnings per share growth over the next 3-5 years is 12.1, slightly less than the benchmark’s 12.5% growth rate. The top 10 positions accounted for 6% of the fund’s holdings and included WABCO Holdings, Reinsurance Group of America, Equity Commonwealth, Tyler Technologies, Verisk Analytics, Sanderson Farms, Charles River Laboratories International, Ecolab, Markel Corp. and Ciena Corp.
During the fiscal one year period, BlackRock performedin-line with the Russell 2500® indexv, which matched its passive mandate to track the index.
The portion of the Fund managed by Neuberger outperformed the benchmark during the fiscal one year period. Sector positioning had a neutral impact, while stock selection contributed to relative performance. The top contributing sector was information technology while real estate was the largest detractor. The top five contributors were Ciena, Mellano Technologies, Cypress Semiconductor, Crown Holdings and ARRIS International, while the top five detractors were Party City Holdco, Amneal Pharmaceuticals, Conduent, Cloudera and Unisys Corp. As of August 31, 2019, Neuberger’s top ten positions represented 29% of their portfolio.
The portion of the Fund managed by Westfield outperformed the benchmark during the fiscal one year period. Sector positioning had a negative impact, while stock selection contributed to relative performance. The top contributing sector was health care while energy was the largest detractor. The top five contributors were TopBuild, HEICO, Fair Isaac, Acacia Communications and Tableau Software, while the top five detractors were Frontdoor, PBF Energy, WPX Energy, Centennial Resource Development and Ironwood Pharmaceuticals. As of August 31, 2019, Westfield’s top ten positions represented 25% of their portfolio.
Aristotle began managing their portion of the Fund on May 20, 2019. Since their inception, sector allocation had a positive impact on relative performance, but stock selection detracted. The top contributing sector was industrials while consumer staples were the largest detractor. The top five contributors were Chemed, HEICO, FTI Consulting, Genesee & Wyoming and Itron, while the top five detractors were Herbalife Nutrition, QEP Resources, Range Resources, Merit Medical Systems and Harsco. As of August 31, 2019, Aristotle’s top ten positions represented 21% of their portfolio.
4
|
• D.F. Dent & Company, Inc (“DF Dent”) |
| DF Dent employs a bottom-up, fundamental process that seeks companies that are consistent growers, have strong management and are unrecognized and under-researched. The strategy looks for companies with above-average EPS growth expectations, high returns on investment, sustainable free cash flow growth, a competitive advantage and attractive relative valuations. |
|
• Nuance Investments, LLC (“Nuance”) |
| Nuance seeks to invest in companies with leading and sustainable market share positions and above-average financial strength that are trading at discounts to Nuance’s calculation of intrinsic value. Through analysis of companies’ financial statements, management strategy, and competitive positioning, Nuance attempts to provide excess returns over time. |
|
• Aristotle Capital Boston, LLC (“Aristotle”) |
| Aristotle seeks to deliver a diversified, high quality portfolio that can deliver attractive risk-adjusted results primarily driven by stock selection. They focus on companies they believe have low expectations, can create shareholder value, and have high potential for improved growth and profitability. |
DF Dent began managing their portion of the Fund on May 20, 2019. Since their inception, sector allocation and stock selection added to relative performance. The top contributing sector was real estate, while energy was the largest detractor. The top five contributors were TransDigm Group, Verisk Analytics, PROS Holdings, Tyler Technologies and SBA Communications, while the top five detractors were Core Laboratories, Illumina, Healthcare Services Group, Envestnet and Brooks Automation. As of August 31, 2019, DF Dent’s top ten positions represented 45% of their portfolio.
Nuance began managing their portion of the Fund on May 20, 2019. Since their inception, sector allocation had a positive impact on relative performance, while stock selection slightly detracted. The top contributing sector was energy, mainly due to their underweight, while financials was the largest detractor. The top five contributors were Globus Medical, Smith & Nephew PLC, Lindsay, Equity Commonwealth and Aqua America Inc., while the top five detractors were Unum Group, Charles Schwab, TD Ameritrade, ICU Medical and the iShares® Russell 2000 Value ETF. As of August 31, 2019, Nuance’s top ten positions represented 44% of their portfolio.
5
The following graph depicts performance of Russell 2500® Indexv vs. LipperSmall-Cap Core Funds Averagexxiv
|
HISTORICAL PERFORMANCE FOR THETEN-YEAR PERIOD ENDED AUGUST 31, 2019 SMALL-MID CAP EQUITY FUND Comparison of $10,000 Investment in the Fund with the Russell 2500® Index
and the LipperSmall-Cap Core Funds Average |
The performance shown above and below represents past performance. Past performance is no guarantee of future results and current performance may be higher or lower than the performance shown above and below. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would have been lower. Principal value and investment returns will fluctuate and investors’ shares, when redeemed, may be worth more or less than their original cost. To obtain performance data current to the most recent month-end, please visit our website at www.morganstanley.com/wealth-investmentsolutions/cgcm.
The graph above and returns shown below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
| | | | | | | | | | | | | | | | | | | | | | |
| | | SMALL-MID CAP EQUITY FUND Average Annual Total Returns for the Period Ended August 31, 2019† |
| | | | | Without
Annual
Advisory
Program
Fee | | With
Annual
Advisory
Program
Fee* | | Russell
2500®
Index** | | Lipper
Small-Cap
Core Funds
Average** |
| | Since inception 11/18/1991 | | | | 8.91 | % | | | | 6.73 | % | | | | 10.58 | % | | | | 10.24 | % |
| | 10 years | | | | 11.68 | | | | | 9.48 | | | | | 12.65 | | | | | 10.91 | |
| | 5 years | | | | 5.87 | | | | | 3.78 | | | | | 7.06 | | | | | 5.18 | |
| | 3 years | | | | 9.45 | | | | | 7.30 | | | | | 9.04 | | | | | 6.26 | |
| | | 1 year | | | | (6.25 | ) | | | | (8.10 | ) | | | | (7.14 | ) | | | | (12.00 | ) |
See pages 25 through 28 for all footnotes.
6
International Equity Fund
|
| ABOUTTHE SUB-ADVISERS |
|
• Victory Capital Management, Inc. (“Victory Capital”) |
| Victory Capital’s investment franchise, Trivalent Investments, employs a bottom-up investment approach that emphasizes individual stock selection. The investment process uses a combination of quantitative and traditional qualitative, fundamental analysis to identify stocks with low relative price multiples and positive trends in earnings forecasts. The stock selection process is designed to produce a diversified portfolio that, relative to the S&P Developed ex-U.S. Small Cap Index, tends to have a belowaverage price-to-earnings ratio and an aboveaverage earnings growth trend. |
|
• Wellington Management Company LLP (“Wellington”) |
| Tracing our history to 1928, Wellington is one of the world’s largest independent investment management firms. With over US$1 trillion in assets under management as of 30 June 2018, we serve as a trusted investment adviser to more than 2,200 institutional clients and mutual fund sponsors in over 60 countries. Our comprehensive investment capabilities are built on the strength of rigorous, proprietary research and span nearly all segments of the global capital markets, including equity, fixed income, multi-asset, and alternative strategies. As a private partnership whose sole business is investment management, our long-term views and interests are aligned with those of our clients. Our commitment to investment excellence is evidenced by our significant presence and long-term track records in nearly all sectors of the global securities markets. |
|
• Causeway Capital Management LLC (“Causeway”) |
| Causeway’s international developed market investment philosophy is based on a long-term value strategy and the investment team applies an active, bottom-up, research-intensive approach towards stock selection. Causeway’s investment approach seeks to identify under-priced stocks of high quality companies believed to be exhibiting superior financial strength as compared to peers. In addition to fundamental analysis, quantitative research is considered an integral part of the process and is used for screenings of investment candidates as well as risk management. Portfolio managers work as a team to make investment decisions and are supported by the firm’s dedicated fundamental and quantitative research analysts. Analysts and portfolio managers are assigned global industryspecific research responsibilities. Fundamental research is further organized |
As of August 31, 2019, the Sub-advisers for the Morgan Stanley Pathway International Equity Fund (“Fund”) were BlackRock Financial Management, Inc. (“BlackRock”), Causeway Capital Management, LLC (“Causeway”), OppenheimerFunds, Inc. (“OFI”), Schroder Investment Management North America, Inc. (“Schroders”), Victory Capital Management, Inc. (“Victory Capital”) and Wellington Management Company LLP (“Wellington”).
For the fiscal year ending August 31, 2019, the Fund returned-6.34% compared to the MSCI EAFE® Index (Net)ix return of-3.26%. The Fund’s relative country selection detracted slightly from performance while individual stock selection within those countries was the main detractor. Overall positioning was strongest in Brazil and weakest in Switzerland. The top five positions contributing to performance included Nestle, Novartis, AstraZeneca, Roche Holdings and Gold Fields Limited, while the top five detractors were Baidu, Encana, Total SA, Prudential PLC and Infineon Technologies.
The Fund’s holdings offered a dividend yield of 3.2% compared to the benchmark of 3.4%. On a valuation basis, the Fund’s forward P/E was 13.2, less than the benchmark which was 13.8. The estimated earnings per share growth over the next3-5 years is 9.9%, compared to the benchmark of 8.1%. The top ten individual positions by weight accounted for 11% of the Fund and included Total SA, Roche Holdings, Nestle, SAP SE, Takeda Pharmaceutical, Novartis, Royal Dutch Shell, Prudential, BP and UniCredit.
During the fiscal one year period, BlackRock performedin-line with the MSCI EAFE® Index (Net)ix, which matched its passive mandate to track the index.
The portion of the Fund managed by Causeway underperformed the Fund’s benchmark during the fiscal one year period. Detractors included country and individual security positioning along with their value bias. Overall positioning was strongest in Germany and weakest in the United Kingdom. The top five positions contributing to performance included Novartis, AstraZeneca, Cobham, Linde PLC and Linde AG TEMP, while the top five detractors included Baidu, British American Tobacco, Encana, Prudential and BASF. As of August 31, 2019, Causeway’s top ten positions represented 33% of their portfolio.
The portion of the Fund managed by OFI underperformed the Fund’s benchmark during the fiscal one year period. Country allocation contributed to relative performance while security selection within those countries detracted. Overall positioning was strongest in Japan and weakest in Switzerland. The top five positions contributing to performance included Alimentation Couche-Tard, ICICI Bank Limited, HOYA Corp., Edenred and EPAM Systems, while the top five detractors included Baidu, Valeo, Carnival, Infineon Technologies and AMS AG. As of August 31, 2019, OFI’s top ten positions represented 22% of their portfolio.
The portion of the Fund managed by Schroders outperformed the Fund’s benchmark during the fiscal one year period. Country allocation contributed to relative performance along with their growth bias, while individual security selection detracted somewhat. Overall positioning was strongest in Japan and weakest in Norway. The top five positions contributing to performance were Nestle, Diageo, B3 SA, Novartis and Smith & Nephew, while the top five detractors included
7
|
| into six research clusters: financials/materials, consumer, industrial/ manufacturing, energy, technology and health care. Causeway’s unconstrained, international established market value equity approach invests in a variety of market capitalization ranges, but primarily in large- and midcapitalization non-U.S. developed market companies. Causeway can also invest in smallcap issues and less developed emerging markets. Value-driven security characteristics may include low price/earnings ratio, low price/ book ratio, low price/cash flow ratio and high dividend yield, but may also include outof- favor companies that may have high rates of growth of earnings. Sector and regional weights are byproducts of the investment process. |
|
• BlackRock Financial Management, Inc. (“BlackRock”) |
| BlackRock Financial Management, Inc. employs a “passive” management approach, attempting to invest in a portfolio of assets whose performance is expected to match approximately the performance of the MSCI EAFE® Index (Net). The Fund will be substantially invested in securities in the MSCI EAFE® Index (Net), and will invest, under normal circumstances, at least 80% of its assets in securities or other financial instruments that are components of or have economic characteristics similar to the securities included in the MSCI EAFE® Index (Net). |
|
• OppenheimerFunds, Inc. (“OFI”) |
| OFI’s Global Equity team seeks to generate alpha through high conviction decisions driven by fundamental bottom-up analysis. Several secular growth themes are used as a way to focus attention on segments of the global marketplace that may grow faster than world GDP. The team’s investment process is driven by a number of very powerful, longterm economic, demographic and technological forces summarized as MANTRA® — Mass Affluence, New Technologies, Restructuring and Aging. The portfolio managers utilize a bottom-up, fundamental investment approach, and seek to invest initially in high-quality companies that are temporarily out of favor; trading at attractive valuations; and which demonstrate sustainable, above-average growth potential over a three- to five-year time horizon. The process is indexagnostic, searching for companies with high growth rates and high quality balance sheets with minimal focus with respect to region or country, sector or security. |
|
• Schroder Investment Management North America, Inc. (“Schroders”) |
| Schroders uses a bottom-up growth oriented approach towards stock selection and employs a fundamental, research driven process to identify quality growth companies with attractive medium-term growth and valuation, quality management and financial position, and a sustainable competitive advantage. Schroders “best ideas” portfolio blends both core and opportunistic holdings. |
Samsonite International, Total SA, Tenaris, Prudential and Norsk Hydro ASA. As of August 31, 2019, Schroders top ten positions represented 23% of their portfolio.
The portion of the Fund managed by Wellington underperformed the Fund’s benchmark during the fiscal one year period. Country allocation contributed to relative performance while their value bias and individual security selection detracted. Overall positioning was strongest in South Africa and weakest in Japan. The top five positions contributing to performance included Gazprom, Gold Fields Limited, Barrick Gold, Impala Platinum Holdings and Anglo American Platinum, while the top five detractors included J Sainsbury, CaixaBank, T&D Holdings, UBS Group and Centrica. As of August 31, 2019, Wellington’s top ten positions represented 21% of their portfolio.
The portion of the Fund managed by Victory Capital underperformed the Fund’s benchmark during the fiscal one year period. Their small cap bias along with weak country allocation and stock selection were the key detractors to relative performance. Overall positioning was strongest in Canada and weakest in Switzerland. The top five positions contributing to performance included Swiss Life Holding, Carl Zeiss Meditec, Kirkland Lake Gold, Northern Star Resources and Charter Hall Group, while the top five detractors included Canada Goose Holdings, Tamarack Valley Energy, Gran Tierra Energy, Georg Fischer and UT Group Co. As of August 31, 2019, Victory Capital’s top ten positions represented 12% of their portfolio.
8
The following graph depicts the performance of MSCI EAFE® Index (Net)ix vs. the Lipper International Large-Cap Core Funds Averagexxv
|
HISTORICAL PERFORMANCE FOR THE TEN-YEAR PERIOD ENDED AUGUST 31, 2019 INTERNATIONAL EQUITY FUND Comparison of $10,000 Investment in the Fund with the Morgan Stanley Capital International Europe, Australasia, Far
East (MSCI EAFE®) Index (Net) and the Lipper International Large-Cap Core Funds Average |
The performance shown above and below represents past performance. Past performance is no guarantee of future results and current performance may be higher or lower than the performance shown above and below. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would have been lower. Principal value and investment returns will fluctuate and investors’ shares, when redeemed, may be worth more or less than their original cost. To obtain performance data current to the most recent month-end, please visit our website at www.morganstanley.com/wealth-investmentsolutions/cgcm.
The graph above and returns shown below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
| | | | | | | | | | | | | | | | | | | | | | |
| | | INTERNATIONAL EQUITY FUND Average Annual Total Returns for the Period Ended August 31, 2019† |
| | | | | Without
Annual
Advisory
Program
Fee | | With
Annual
Advisory
Program
Fee* | | MSCI
EAFE®
Index
(Net)** | | Lipper
International
Large-Cap
Core Funds
Average** |
| | Since inception 11/18/1991 | | | | 5.04 | % | | | | 2.89 | % | | | | 4.97 | % | | | | 6.34 | % |
| | 10 years | | | | 4.50 | | | | | 2.46 | | | | | 5.00 | | | | | 4.03 | |
| | 5 years | | | | 1.27 | | | | | (0.72 | ) | | | | 1.89 | | | | | 0.14 | |
| | 3 years | | | | 4.55 | | | | | 2.50 | | | | | 5.91 | | | | | 4.58 | |
| | | 1 year | | | | (6.34 | ) | | | | (8.20 | ) | | | | (3.26 | ) | | | | (5.03 | ) |
See pages 25 through 28 for all footnotes.
9
Emerging Markets Equity Fund
|
| ABOUTTHE SUB-ADVISERS |
|
• Van Eck Associates Corporation (“VanEck”) |
| VanEck is privately held global asset management firm founded in 1955. VanEck’s mission is to develop and offer investors forward-looking, intelligently designed investment strategies that strengthen a longterm portfolio. VanEck’s Emerging Markets Equity Strategy (“Strategy”) seeks long-term competitive risk-adjusted returns through investments that demonstrate structural growth at a reasonable price. The Strategy seeks to uncover structural growth opportunities wherever they exist within emerging markets, and employs a fundamentally driven stock selection and research process with the flexibility to invest across the market capitalization spectrum. |
|
• BlackRock Financial Management, Inc. (“BlackRock”) |
| BlackRock Financial Management, Inc. employs a “passive” management approach, attempting to invest in a portfolio of assets whose performance is expected to match approximately the performance of the MSCI Emerging Market Index (Net). The Fund will be substantially invested in securities in the MSCI Emerging Market Index (Net), and will invest, under normal circumstances, at least 80% of its assets in securities or other financial instruments that are components of or have economic characteristics similar to the securities included in the MSCI Emerging Market Index (Net). |
|
• Lazard Asset Management LLC (“Lazard”) |
| Lazard, an indirect, wholly-owned subsidiary of Lazard Ltd., is known for its global perspective on investing and years of experience with global, regional and domestic portfolios. With more than 300 investment personnel worldwide, Lazard offers investors of all types an array of equity, fixed income, and alternative investment solutions from its network of local offices in ten different countries. Its team-based approach to portfolio management helps Lazard to deliver robust and consistent performance over time, and strong client relationships allow them to understand how to employ their capabilities to its clients’ advantage. |
| Lazard manages a relative value strategy (“Value Strategy”) and invests primarily in equity securities, principally common stocks, of non-U.S. companies whose principal activities are located in emerging or developing market countries. In the Value |
As of August 31, 2019, theSub-advisers for the Morgan Stanley Pathway Emerging Markets Equity Fund (“Fund”) were BlackRock Financial Management, Inc. (“BlackRock”), Van Eck Associates Corporation (“VanEck”) and Lazard Asset Management LLC (“Lazard”).
For the fiscal year ending August 31, 2019, the Fund returned-0.40% compared to the MSCI Emerging Markets Index (Net)xii return of-4.36%. The outperformance can be contributed to a combination of strong country allocation and stock selection. Overall positioning was strongest in China and weakest in Russia. The top five positions contributing to performance included Kweichow Moutai Co., Yihai International Holding, Banco do Brasil, Ping An Insurance (Group) Company and Movida Participacoes, while the top five detractors included Baidu, China Construction Bank, Samsung Electronics Co LTD, AAC Technologies Holdings and Samsung Electronics Co, Ltd Preferred.
The Fund’s holdings offered a dividend yield of 2.6%, less than the MSCI Emerging Market’s Index (Net)xii yield of 2.9%. On a valuation basis, the Fund’s forward P/E was 13.0 compared to the benchmark which was 12.6. The estimated earnings per share growth over the next3-5 years is 11.7%, compared to the benchmark of 11.1%. The top ten individual positions by weight accounted for 22% of the Fund and included Alibaba Group Holding, Tencent Holdings, Samsung Electronics Co LTD, Ping An Insurance (Group) Company, Naspers Limited, Taiwan Semiconductor Manufacturing, China Construction Bank, SK hynix, NetEase and Banco do Brasil.
For the fiscal year ending August 31, 2019 BlackRock performedin-line with the MSCI Emerging Markets Index (Net)xii, which matched its passive mandate to track the index.
The portion of the Fund managed by VanEck outperformed the Fund’s benchmark during the fiscal one year period. The strategy’s growth bias along with strong country allocation and stock selection contributed to the positive relative performance. Overall positioning was strongest in China and weakest in Brazil. The top five positions contributing to performance included Kweichow Moutai Co, Yihai International Holding, Ping An Insurance (Group) Company, PT Bank Rakyat Indonesia and Movida Participacoes, while the top five detractors included Focus Media Information Technology, CIE Automotive, NMC Health, TaiMed Biologics and Samsung Electronics Co, Ltd Preferred. As of August 31, 2019, VanEck’s top ten positions represented 36% of their portfolio.
The portion of the Fund managed by Lazard outperformed the Fund’s benchmark during the fiscal one year period. Strong country allocation contributed to relative outperformance while stock selection slightly detracted. Overall positioning was strongest in Brazil and weakest in South Africa. The top five positions contributing to performance included NetEase, Gazprom, Banco do Brasil, CCR S.A., and Weichai Power Co., while the top five detractors included Baidu, Shoprite Holdings, YPF SA, AAC Technologies Holdings and Samsung Electronics Co, Ltd. As of August 31, 2019, Lazard’s top ten positions represented 31% of their portfolio.
10
|
| Strategy, assets are invested in companies that are believed to be undervalued based on their earnings, cash flow or asset values. Lazard’s approach consists of an analytical framework, accounting validation, fundamental analysis and portfolio construction parameters and its selection process focuses on growth and considers the sustainability of growth and the tradeoff between valuation and growth. |
The following graph depicts the performance of MSCI Emerging Markets Index (Net)Xii vs. the Lipper Emerging Markets Funds Averagexxvi
|
HISTORICAL PERFORMANCE FOR THE TEN-YEAR PERIOD ENDED AUGUST 31, 2019 EMERGING MARKETS EQUITY FUND Comparison of $10,000 Investment in the Fund with the MSCI Emerging Markets Index (Net)
and the Lipper Emerging Markets Funds Average |
The performance shown above and below represents past performance. Past performance is no guarantee of future results and current performance may be higher or lower than the performance shown above and below. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would have been lower. Principal value and investment returns will fluctuate and investors’ shares, when redeemed, may be worth more or less than their original cost. To obtain performance data current to the most recent month-end, please visit our website at www.morganstanley.com/wealth-investmentsolutions/cgcm.
The graph above and returns shown below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
| | | | | | | | | | | | | | | | | | | | | | |
| | | EMERGING MARKETS EQUITY FUND Average Annual Total Returns for the Period Ended August 31, 2019† |
| | | | | Without
Annual
Advisory
Program
Fee | | With
Annual
Advisory
Program
Fee* | | MSCI
Emerging
Markets
Index
(Net)** | | Lipper
Emerging
Markets
Funds
Average** |
| | Since inception 4/20/1994 | | | | 4.49 | % | | | | 2.44 | % | | | | N/A | | | | | 5.63 | % |
| | 10 years | | | | 3.55 | | | | | 1.52 | | | | | 4.07 | | | | | 4.35 | |
| | 5 years | | | | 0.65 | | | | | (1.31 | ) | | | | 0.38 | | | | | 0.28 | |
| | 3 years | | | | 5.66 | | | | | 3.61 | | | | | 5.76 | | | | | 5.29 | |
| | | 1 year | | | | (0.40 | ) | | | | (2.37 | ) | | | | (4.36 | ) | | | | (2.10 | ) |
See pages 25 through 28 for all footnotes.
11
Core Fixed Income Fund
|
| ABOUTTHE SUB-ADVISERS |
|
• Metropolitan West Asset Management LLC (“MetWest”) |
| MetWest seeks to achieve consistent outperformance through the measured and diversified application of five fixed income management strategies, including: (i) duration management; (ii) yield curve positioning; (iii) sector allocation; (iv) security selection; and (v) opportunistic execution. Predicated on a long-term economic outlook, MetWest employs a value-oriented approach to managing fixed income that recognizes the periodic inefficient nature of over-the-counter markets and the mean-reverting characteristics of the investable universe. |
|
• Western Asset Management Company (“Western”) |
| Western combines traditional analysis with innovative technology applied to all sectors of the market. Western believes inefficiencies exist in the fixed-income market and attempts to add incremental value by exploiting these inefficiencies across all eligible market sectors. The key areas of focus are: (i) sector and subsector allocation; (ii) issue selection; (iii) duration; and (iv) term structure. |
|
• BlackRock Financial Management, Inc. (“BlackRock”) |
| BlackRock’s Customized Core strategy employs a fundamental, diversified, relativevalue approach that seeks alpha by strategically allocating among three alpha sources — macro strategies, sector allocation and security selection — based on best and highest information ratio ideas, and aims to provide superior long-term performance relative to the benchmark index by creating a diversified portfolio of investment grade securities. A disciplined and risk-budgeted risk management framework which consists of determining interest rate risk, yield curve risk, cash flow risk, credit risk and liquidity risk of all securities. |
As of August 31, 2019, theSub-advisers for the Morgan Stanley Pathway Core Fixed Income Fund (“Fund”) were Metropolitan West Asset Management LLC (“MetWest”), Western Asset Management Company (“Western”) and BlackRock Financial Management, Inc. (“BlackRock”).
For the fiscal year ending August 31, 2019, the Fund returned 10.39% compared its benchmark, the Bloomberg Barclays U.S. Aggregate Bond IndexTM Indexxvi which returned 10.17%.
The portion of the Fund managed by MetWest outperformed the Fund’s benchmark during the fiscal one year period. Benefiting portfolio returns was a longer duration profile, which, amid softer rates, has been reduced to slightly short the Index near the end of the period. The underweight to corporates further contributed as yield premiums increased given the aforementioned macro volatility, particularly in lower quality and those industries with more market risk such as energy and basic industry, while issue selection favoring communications and real estate investment trusts (REITS) was also beneficial. However, a modest drag came from the underweight tonon-U.S. sovereigns as yield spreads compressed amid accommodative language from global central bankers. With regards to the allocation to securitized products, agency mortgage-backed securities (MBS) was a drag, though boosting performance was legacynon-agency MBS, which continued to benefit from favorable demand and shrinking supply. Commercial mortgage-backed securities (CMBS) and asset-backed securities (ABS) added marginally as these outpaced the Index on a duration-adjusted basis. Finally, a small position in Japanese government issuedT-bills, with the yen exposure fully hedged out using adollar-yen cross currency swap, contributed modestly to performance.
The portion of the Fund managed BlackRock underperformed the Fund’s benchmark during the fiscal one year period. Over the past 12 months, the portfolio’s positioning and security selection within investment grade credit and overweight positioning in ABS and CMBS were the primary contributors to performance. This was offset by the portfolio’s duration and yield curve positioning as well as an allocation to TIPS. Overweight positioning in credit notably contributed to performance in the first quarter of 2019, as a more dovish Federal Reserve supported risk assets. In terms of duration positioning, the portfolio moved to an underweight position in March of 2019 and rates have continued to move lower on a more dovish Fed, weaker global data and geopolitical tensions, detracting from performance. The portfolio’s allocation to TIPS also detracted from performance, as geopolitical tensions and weaker energy prices weighed on inflation expectations. As of the end of the period, the portfolio holds an allocation to TIPS as well as overweight positions in securitized products and agency mortgages.
The portion of the Fund managed Western outperformed the Fund’s benchmark during the fiscal one year period. Duration and yield curve positioning, in aggregate, was the largest positive contributor to performance. The strategy’s duration posture and yield curve positioning shifted throughout the period in response to the changing macro environment and benefited as rates ultimately fell from the period beginning to end.Corporate bond exposures, including investment-grade and high-yield credit, benefitted performance. While spreads initially widened in late 2018, a meaningful spread tightening during the YTD period was beneficial for the strategy’s
12
The following graph depicts the performance of Bloomberg Barclays U.S. Aggregate BondTM Indexxvi vs. the Lipper Core Bond Funds Averagexxvii
overall performance. Emerging market debt detracted, driven largely by local currency positions, given the persistent strength of the U.S. dollar. Structured product positions,in aggregate, were positive for performance as fundamentals in the structured product markets were generally sound.
|
HISTORICAL PERFORMANCE FOR THE TEN-YEAR PERIOD ENDED AUGUST 31, 2019 CORE FIXED INCOME FUND Comparison of $10,000 Investment in the Fund with the Bloomberg Barclays Capital U.S. Aggregate BondTM Index
and the Lipper Core Bond Funds Average |
The performance shown above and below represents past performance. Past performance is no guarantee of future results and current performance may be higher or lower than the performance shown above and below. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would have been lower. Principal value and investment returns will fluctuate and investors’ shares, when redeemed, may be worth more or less than their original cost. To obtain performance data current to the most recent month-end, please visit our website at www.morganstanley.com/wealth-investmentsolutions/cgcm.
The graph above and returns shown below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
| | | | | | | | | | | | | | | | | | | | | | |
| | | CORE FIXED INCOME FUND Average Annual Total Returns for the Period Ended August 31, 2019† |
| | | | | Without
Annual
Advisory
Program
Fee | | With
Annual
Advisory
Program
Fee* | | Bloomberg
Barclays
Capital U.S.
Aggregate
BondTM
Index** | | Lipper
Core
Bond
Funds
Average** |
| | Since inception 11/18/1991 | | | | 5.40 | % | | | | 3.31 | % | | | | 5.65 | % | | | | 5.50 | % |
| | 10 years | | | | 4.55 | | | | | 2.49 | | | | | 3.91 | | | | | 4.11 | |
| | 5 years | | | | 3.38 | | | | | 1.33 | | | | | 3.35 | | | | | 3.02 | |
| | 3 years | | | | 3.25 | | | | | 1.20 | | | | | 3.09 | | | | | 2.97 | |
| | | 1 year | | | | 10.39 | | | | | 8.20 | | | | | 10.17 | | | | | 9.43 | |
See pages 25 through 28 for all footnotes.
13
High Yield Fund
|
| ABOUTTHE SUB-ADVISERS |
|
• Eaton Vance Management (“Eaton Vance”) |
| Eaton Vance monitors the credit quality of securities held by the Fund and other securities available to the Fund. Although Eaton Vance considers security ratings when making investment decisions, it performs its own credit and investment analysis utilizing various methodologies including “bottom up/ top down” analysis and consideration of macroeconomic and technical factors, and does not rely primarily on the ratings assigned by the rating services. Eaton Vance attempts to improve yield and preserve and enhance principal value through timely trading. Eaton Vance also considers the relative value of securities in the marketplace in making investment decisions. |
|
• Western Asset Management Company (“Western”) |
| Western combines traditional analysis with innovative technology applied to all sectors of the market. Western believes inefficiencies exist in the fixed-income market and attempts to add incremental value by exploiting these inefficiencies across all eligible market sectors. The key areas of focus are: (i) sector and subsector allocation; (ii) issue selection; (iii) duration; and (iv) term structure. |
As of August 31, 2019, the Sub-advisers for the Morgan Stanley Pathway High Yield Fund (“Fund”) were Western Asset Management Company (“Western”) and Eaton Vance Management (“Eaton Vance”).
For the fiscal year ending August 31, 2019, the Fund returned 5.58% compared to its benchmark, the Bloomberg Barclays U.S. Corporate High Yield Bond Indexxviiiwhich returned 6.56%.
The portion of the Fund managed by Eaton Vance outperformed the Fund’s benchmark during the fiscal one year period. While security selection was positive over this period, sector selection was modestly negative. Credit selection in the energy sector led performance relative to the Index; however, this was partially offset by adverse credit selection in the technology sector. Meanwhile an overweight in the outperforming environmental sector aided relative performance, but underweights in cable/satellite TV and banks & thrifts were detrimental to relative performance. At the end of the period, Eaton Vance was overweight the energy, utility and environmental sectors and underweight the homebuilders & real estate and telecommunications sectors.
The portion of the Fund managed by Western underperformed the Fund’s benchmark during the fiscal one year period. Asset class allocation detracted from relative performance given opportunistic exposure to bank loans, which generally underperformed high-yield. Rating positioning aided relative performance given the strategy’s underweight to CCCs, which underperformed higher-rated high-yield over the period. Industry allocation detracted from relative performance due in part to an overweight to underperforming energy. Allocation to underperforming sovereign emerging market (EM) positions (e.g., Argentina) also detracted from returns, while an overweight to outperforming financials was additive. Issue selection was overall modestly negative for relative performance. Exposure to underperforming re-organized equity positions in the energy space was the primary driver of underperformance as energy prices declined over the period. Elsewhere, exposure in basic industry underperformed the index while issuer tilts in communications and consumer cyclical outperformed. Duration positioning aided relative performance given an overweight stance as rates fell over the period.
14
The following graph depicts the performance of Bloomberg Barclays U.S. Corporate High Yield Bond Indexxviii vs. the Lipper High Yield Funds Averagexxviii
|
HISTORICAL PERFORMANCE FOR THETEN-YEAR PERIOD ENDED AUGUST 31, 2019 HIGH YIELD FUND Comparison of $10,000 Investment in the Fund with the Bloomberg Barclays U.S. Corporate High Yield Bond Index
and the Lipper High Yield Funds Average |
The performance shown above and below represents past performance. Past performance is no guarantee of future results and current performance may be higher or lower than the performance shown above and below. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would have been lower. Principal value and investment returns will fluctuate and investors’ shares, when redeemed, may be worth more or less than their original cost. To obtain performance data current to the most recent month-end, please visit our website at www.morganstanley.com/wealth-investmentsolutions/cgcm.
The graph above and returns shown below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
| | | | | | | | | | | | | | | | | | | | | | |
| | | HIGH YIELD FUND Average Annual Total Returns for the Period Ended August 31, 2019† |
| | | | | Without
Annual
Advisory
Program
Fee | | With
Annual
Advisory
Program
Fee* | | Bloomberg
Barclays U.S.
Corporate
High Yield
Bond
Index** | | Lipper
High
Yield Funds
Average** |
| | Since inception 7/13/1998 | | | | 4.54 | % | | | | 2.49 | % | | | | 6.58 | % | | | | 5.53 | % |
| | 10 years | | | | 7.22 | | | | | 5.12 | | | | | 8.50 | | | | | 7.38 | |
| | 5 years | | | | 2.94 | | | | | 0.92 | | | | | 4.85 | | | | | 3.84 | |
| | 3 years | | | | 5.79 | | | | | 3.71 | | | | | 6.17 | | | | | 5.36 | |
| | | 1 year | | | | 5.58 | | | | | 3.51 | | | | | 6.56 | | | | | 5.57 | |
See pages 25 through 28 for all footnotes.
15
International Fixed Income Fund
|
| ABOUTTHE SUB-ADVISER |
|
• Pacific Investment Management Company LLC (“PIMCO”) |
| PIMCO is a leading global investment management firm, with offices in 11 countries throughout North America, Europe and Asia. Founded in 1971, PIMCO offers a wide range of innovative solutions to help millions of investors worldwide meet their needs. Our goal is to provide attractive returns while maintaining a strong culture of risk management and long-term discipline. PIMCO’s investment philosophy revolves around the principle of diversification. PIMCO believes that no single risk should dominate returns. PIMCO seeks to add value through the use of “top-down” strategies such as our exposure to interest rates, or duration, changing volatility, yield curve positioning and sector rotation. PIMCO also employs “bottom-up” strategies involving analysis and selection of specific securities. |
As of August 31, 2019, the Sub-adviser for the Morgan Stanley Pathway International Fixed Income Fund (“Fund”) was Pacific Investment Management Company LLC (“PIMCO”).
For the fiscal year ending August 31, 2019, the Fund returned 10.01% compared to its benchmark, the FTSE Non-USD World Government Bond Index (USD) — Hedgedxxi which returned 12.86%.
PIMCO’s out-of-benchmark exposure to U.S. duration contributed to performance as U.S. rates fell across the curve. However, this was more than offset by yield curve positioning, including a yield curve steepening bias which detracted from performance as the yield curve continued to flatten over the period. Overall, non-U.S. developed market interest rate positioning detracted from performance, including an underweight to Japanese and Italian interest rates as yields in these countries fell. Spread strategies overall detracted from performance during the period. Select exposure to investment grade credit and Agency mortgage-backed securities detracted from performance. A modest allocation to U.S. TIPS also detracted from returns as inflation expectations dipped lower during the period. Lastly, overall currency strategies contributed to performance, including short exposure to the euro which depreciated relative the U.S. dollar and long exposure to the Russian ruble which appreciated relative the U.S. dollar.
16
The following graph depicts the performance of the FTSE Non-USD World Government Bond Index (USD) - Hedgedxxi vs. the FTSE Non-USD World Government Bond Index (USD) - Unhedgedxxi and the Lipper International Income Funds Averagexxix
|
HISTORICAL PERFORMANCE FOR THE TEN-YEAR PERIOD ENDED AUGUST 31, 2019 INTERNATIONAL FIXED INCOME FUND Comparison of $10,000 Investment in the Fund with the FTSE Non-USD World Government Bond Index (USD) — Hedged,
FTSE Non-USD World Government Bond Index (USD) — Unhedged and the Lipper International Income Funds Average |
The performance shown above and below represents past performance. Past performance is no guarantee of future results and current performance may be higher or lower than the performance shown above and below. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would have been lower. Principal value and investment returns will fluctuate and investors’ shares, when redeemed, may be worth more or less than their original cost. To obtain performance data current to the most recent month-end, please visit our website at www.morganstanley.com/wealth-investmentsolutions/cgcm.
The graph above and returns shown below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | INTERNATIONAL FIXED INCOME FUND Average Annual Total Returns for the Period Ended August 31, 2019† |
| | | | | Without
Annual
Advisory
Program
Fee | | With
Annual
Advisory
Program
Fee* | | FTSE
Non-
USD
WGBI
(USD) -
Hedged** | | FTSE
Non-USD
WGBI
(USD) -
Unhedged** | | Lipper
International
Income
Funds
Average** |
| | Since inception 11/18/1991 | | | | 5.93 | % | | | | 3.78 | % | | | | 6.18 | % | | | | 5.19 | % | | | | 5.35 | % |
| | 10 years | | | | 5.11 | | | | | 3.03 | | | | | 4.62 | | | | | 1.58 | | | | | 2.89 | |
| | 5 years | | | | 4.56 | | | | | 2.50 | | | | | 5.12 | | | | | 0.70 | | | | | 0.75 | |
| | 3 years | | | | 4.34 | | | | | 2.27 | | | | | 4.51 | | | | | 1.48 | | | | | 2.01 | |
| | | 1 year | | | | 10.01 | | | | | 7.84 | | | | | 12.86 | | | | | 7.33 | | | | | 6.27 | |
See pages 25 through 28 for all footnotes.
17
Municipal Bond Fund
|
| ABOUTTHE SUB-ADVISER |
|
• BlackRock Financial Management, Inc. (“BlackRock”) |
| BlackRock seeks to build a high quality municipal bond portfolio that offers an attractive level of tax free income and capital preservation while providing stability and consistency throughout full market cycles. By way of comprehensive sector analysis, a rigorous credit review and sophisticated risk management technology, BlackRock’s seasoned portfolio managers strive to capture market inefficiencies. |
As of August 31, 2019, the Sub-adviser for the Morgan Stanley Pathway Municipal Bond Fund (“Fund”) was BlackRock Financial Management, Inc. (“BlackRock”). As of February 25, 2019, BlackRock replaced McDonnell Investment Management, LLC as the sole Sub-adviser of the Fund.
For the fiscal year ending August 31, 2019, the Fund returned 8.38% compared to its benchmark, the Bloomberg Barclays U.S. Municipal Bond Indexxx which returned 8.72%.
BlackRock’s positioning since their inception included the following: Curve positioning, particularly overweight exposure to 8-12 and 15-18 year maturities was additive to performance. Overweight exposure to A credits and to Education and Utilities sectors was also additive to performance. Duration management via hedges and underweight exposure to tax backed credits detracted performance. The portfolio’s higher quality investment grade exposure has detracted from performance as BBB credits have outperformed their higher quality peers to date.
18
The following graph depicts the performance of the Bloomberg Barclays U.S. Municipal Bond Indexxx vs. the Lipper General & Insured Municipal Debt Funds Averageiv
|
HISTORICAL PERFORMANCE FOR THETEN-YEAR PERIOD ENDED AUGUST 31, 2019 MUNICIPAL BOND FUND Comparison of $10,000 Investment in the Fund with the Bloomberg Barclays U.S. Municipal Bond Index
and the Lipper General & Insured Municipal Debt Funds Average |
The performance shown above and below represents past performance. Past performance is no guarantee of future results and current performance may be higher or lower than the performance shown above and below. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would have been lower. Principal value and investment returns will fluctuate and investors’ shares, when redeemed, may be worth more or less than their original cost. To obtain performance data current to the most recent month-end, please visit our website at www.morganstanley.com/wealth-investmentsolutions/cgcm.
The graph above and returns shown below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
| | | | | | | | | | | | | | | | | | | | | | |
| | | MUNICIPAL BOND FUND Average Annual Total Returns for the Period Ended August 31, 2019† |
| | | | | Without
Annual
Advisory
Program
Fee | | With
Annual
Advisory
Program
Fee* | | Bloomberg
Barclays
U.S.
Municipal
Bond
Index** | | Lipper
General &
Insured
Municipal
Debt
Funds
Average** |
| | Since inception 11/18/1991 | | | | 4.76 | % | | | | 2.65 | % | | | | 5.50 | % | | | | 5.07 | % |
| | 10 years | | | | 3.92 | | | | | 1.86 | | | | | 4.62 | | | | | 4.76 | |
| | 5 years | | | | 3.22 | | | | | 1.18 | | | | | 3.85 | | | | | 3.70 | |
| | 3 years | | | | 2.57 | | | | | 0.53 | | | | | 3.30 | | | | | 3.10 | |
| | | 1 year | | | | 8.38 | | | | | 6.23 | | | | | 8.72 | | | | | 8.35 | |
See pages 25 through 28 for all footnotes.
19
Inflation-Linked Fixed Income Fund
|
| ABOUTTHE SUB-ADVISER |
|
• Pacific Investment Management Company LLC (“PIMCO”) |
| PIMCO is a leading global investment management firm, with offices in 11 countries throughout North America, Europe and Asia. Founded in 1971, PIMCO offers a wide range of innovative solutions to help millions of investors worldwide meet their needs. Our goal is to provide attractive returns while maintaining a strong culture of risk management and long-term discipline. PIMCO’s investment philosophy revolves around the principle of diversification. PIMCO believes that no single risk should dominate returns. PIMCO seeks to add value through the use of “top-down” strategies such as our exposure to interest rates, or duration, changing volatility, yield curve positioning and sector rotation. PIMCO also employs “bottom-up” strategies involving analysis and selection of specific securities. |
As of August 31, 2019, the Sub-adviser for the Morgan Stanley Pathway Inflation-Linked Fixed Income Fund (“Fund”) was Pacific Investment Management Company LLC (“PIMCO”).
For the fiscal year ending August 31, 2019, the Fund returned 6.42% compared to its benchmark, the Bloomberg Barclays U.S. Treasury Inflation Protected Securities (TIPS) Indexxix which returned 7.46%.
An overweight to U.S. duration contributed to performance as U.S. Treasury yields fell over the period. Non-U.S. interest rate strategies detracted from performance, including an underweight to core European and UK rates as yields in these regions fell. An overweight to U.S. breakeven inflation detracted from performance as U.S. breakeven levels dipped lower as market risk sentiment soured. Short exposure to European breakeven inflation contributed to performance as European breakevens underperformed on slowing growth momentum and weak inflationary pressures. Within spread sectors, holdings of select Agency mortgage-backed securities detracted from performance as the sector underperformed like-duration Treasuries. Lastly, tactical exposure to higher carry emerging market currencies contributed to performance.
20
The following graph depicts the performance of the Bloomberg Barclays U.S. Treasury Inflation Protected Securities (TIPS) Indexxix vs. the Lipper Inflation Protected Bond Funds Averagevi
|
HISTORICAL PERFORMANCE FOR THETEN-YEAR PERIOD ENDED AUGUST 31, 2019
INFLATION-LINKED FIXED INCOME FUND Comparison of $10,000 Investment in the Fund with the Bloomberg Barclays U.S. Treasury Inflation Protected Securities
(TIPS) Index vs. the Lipper Inflation Protected Bond Funds Average |
The performance shown above and below represents past performance. Past performance is no guarantee of future results and current performance may be higher or lower than the performance shown above and below. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would have been lower. Principal value and investment returns will fluctuate and investors’ shares, when redeemed, may be worth more or less than their original cost. To obtain performance data current to the most recent month-end, please visit our website at www.morganstanley.com/wealth-investmentsolutions/cgcm.
The graph above and returns shown below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
| | | | | | | | | | | | | | | | | | | | | | |
| | | INFLATION-LINKED FIXED INCOME FUND Average Annual Total Returns for the Period Ended August 31, 2019† |
| | | | | Without
Annual
Advisory
Program
Fee | | With
Annual
Advisory
Program
Fee* | | Bloomberg
Barclays U.S.
Treasury
Inflation
Protected
Securities
(TIPS)
Index** | | Lipper
Inflation
Protected
Bond
Funds
Average** |
| | Since inception 3/9/2016 | | | | 2.92 | % | | | | 1.53 | % | | | | 3.60 | % | | | | 2.90 | % |
| | 10 years | | | | N/A | | | | | N/A | | | | | 3.82 | | | | | 3.05 | |
| | 5 years | | | | N/A | | | | | N/A | | | | | 2.21 | | | | | 1.45 | |
| | 3 years | | | | 2.64 | | | | | 0.60 | | | | | 2.87 | | | | | 2.42 | |
| | | 1 year | | | | 6.42 | | | | | 4.31 | | | | | 7.46 | | | | | 5.50 | |
See pages 25 through 28 for all footnotes.
21
Ultra-Short Term Fixed Income Fund
|
| ABOUTTHE SUB-ADVISER |
|
• ��Pacific Investment Management Company LLC (“PIMCO”) |
| PIMCO is a leading global investment management firm, with offices in 11 countries throughout North America, Europe and Asia. Founded in 1971, PIMCO offers a wide range of innovative solutions to help millions of investors worldwide meet their needs. Our goal is to provide attractive returns while maintaining a strong culture of risk management and long-term discipline. PIMCO’s investment philosophy revolves around the principle of diversification. PIMCO believes that no single risk should dominate returns. PIMCO seeks to add value through the use of “top-down” strategies such as our exposure to interest rates, or duration, changing volatility, yield curve positioning and sector rotation. PIMCO also employs “bottom-up” strategies involving analysis and selection of specific securities. |
As of August 31, 2019, theSub-adviser for the Morgan Stanley Pathway Ultra-Short Term Fixed Income Fund (“Fund”) was Pacific Investment Management Company LLC (“PIMCO”).
For the fiscal year ending August 31, 2019, the Fund returned 2.07% compared to its benchmark, the FTSE3-Month U.S. Treasury Bill Indexxvwhich returned 2.36%.
Overall interest rate strategies were negative for performance including an underweight to U.S. duration as U.S. Treasury yields fell during the period. Additionally, a focus on short rates detracted from performance as short rates underperformed intermediate andlong-end rates during theperiod. Non-U.S. interest rate strategies contributed to performance, including exposure to core European and Canadian rates as yields in these countries fell over the period. Overall spread sector strategies were positive for performance. An allocation to short-duration investment grade corporate credit added to performance as the sector outperformed like-duration Treasuries. Select holdings of securitized credit, primarilynon-Agency mortgage-backed securities, were positive for performance. Overall currency strategies contributed to performance including short exposure to the euro as the euro depreciated relative the U.S. dollar.
22
The following graph depicts the performance of the FTSE3-Month U.S. Treasury Bill Indexxv vs. the Lipper Ultra-Short Obligations Funds Averagexiii
|
HISTORICAL PERFORMANCE FOR THETEN-YEAR PERIOD ENDED AUGUST 31, 2019
ULTRA-SHORT TERM FIXED INCOME FUND Comparison of $10,000 Investment in the Fund with the FTSE3-Month U.S. Treasury Bill Index vs. the Lipper
Ultra-Short Obligations Funds Average |
The performance shown above and below represents past performance. Past performance is no guarantee of future results and current performance may be higher or lower than the performance shown above and below. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would have been lower. Principal value and investment returns will fluctuate and investors’ shares, when redeemed, may be worth more or less than their original cost. To obtain performance data current to the most recent month-end, please visit our website atwww.morganstanley.com/wealth-investmentsolutions/cgcm.
The graph above and returns shown below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
| | | | | | | | | | | | | | | | | | | | | | |
| | | ULTRA-SHORT TERM FIXED INCOME FUND Average Annual Total Returns for the Period Ended August 31, 2019† |
| | | | | Without
Annual
Advisory
Program
Fee | | With
Annual
Advisory
Program
Fee* | | FTSE
3-Month
U.S.
Treasury
Bill
Index** | | Lipper
Ultra-
Short
Obligations
Funds
Average** |
| | Since inception 3/9/2016 | | | | 2.14 | % | | | | 0.03 | % | | | | 1.30 | % | | | | 1.88 | % |
| | 10 years | | | | N/A | | | | | N/A | | | | | 0.50 | | | | | 1.11 | |
| | 5 years | | | | N/A | | | | | N/A | | | | | 0.92 | | | | | 1.29 | |
| | 3 years | | | | 2.10 | | | | | 0.08 | | | | | 1.47 | | | | | 1.84 | |
| | | 1 year | | | | 2.07 | | | | | 0.05 | | | | | 2.36 | | | | | 2.73 | |
See pages 25 through 28 for all footnotes.
23
Alternative Strategies Fund
|
| ABOUTTHE MANAGER |
|
• Consulting Group Advisory Services, LLC |
| Consulting Group Advisory Services, LLC is a business of Morgan Stanley Wealth Management (“MSWM”). MSWM is one of the largest financial services firms in the U.S. with branch offices in all 50 states and the District of Columbia. MSWM’s advisory services are provided by its Consulting Group and Wealth Management Investment Resources business units. |
During the fiscal one year period ending August 31, 2019, the Morgan Stanley Pathway Alternative Strategies Fund (“Fund”) returned 2.90% compared to its benchmark, the HFRX Global Hedge Fund Indexxxii which returned-1.12%.
Contributing to performance were exposures to strategies including multi-alternatives,non-traditional bond, long-short credit, market neutral and managed futures. Exposure to energy and master limited partnerships were a key detractor.
|
HISTORICAL PERFORMANCE FOR THETEN-YEAR PERIOD ENDED AUGUST 31, 2019
ALTERNATIVE STRATEGIES FUND Comparison of $10,000 Investment in the Fund with the HFRX Global Hedge Fund Index |
The performance shown above and below represents past performance. Past performance is no guarantee of future results and current performance may be higher or lower than the performance shown above and below. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would have been lower. Principal value and investment returns will fluctuate and investors’ shares, when redeemed, may be worth more or less than their original cost. To obtain performance data current to the most recent month-end, please visit our website atwww.morganstanley.com/wealth-investmentsolutions/cgcm.
The graph above and returns shown below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
| | | | | | | | | | | | | | | | | |
| | | ALTERNATIVE STRATEGIES FUND Average Annual Total Returns for the Period Ended August 31, 2019† |
| | | | | Without
Annual
Advisory
Program
Fee | | With
Annual
Advisory
Program
Fee* | | HFRX
Global Hedge
Fund Index |
| | Since inception 2/15/2018 | | | | 1.24 | % | | | | (0.76 | )% | | | | (2.55 | )% |
| | 10 years | | | | N/A | | | | | N/A | | | | | 1.25 | |
| | 5 years | | | | N/A | | | | | N/A | | | | | 0.08 | |
| | 3 years | | | | N/A | | | | | N/A | | | | | 1.97 | |
| | | 1 year | | | | 2.90 | | | | | 0.87 | | | | | (1.12 | ) |
See pages 25 through 28 for all footnotes.
24
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 2.00%. |
| ** | | Inception returns of the market indices and Lipper investment category averages are calculated from the end of the inception month. |
| i. | | The S&P 500® Index tracks the performance of 500 widely held, large- capitalization U.S. stocks. Please note that an investor cannot invest directly in an index. |
| ii. | | 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. |
| iii. | | The U.S.large-cap Russell 1000® Growth Index measures the performance of those Russell 1000® Index companies with higherprice-to-book ratios and higher forecasted growth values. 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 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. |
| v. | | 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. |
| vi. | | The 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. |
| vii. | | The U.S.small-cap Russell 2000® Growth Index measures the performance of those Russell 2000® Index companies with higherprice-to-book ratios and higher forecasted growth values. 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 Russell 2000® Value Index measures the performance of those Russell 2000® Index companies with lowerprice-to-book ratios and lower forecasted growth values. 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 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 |
25
| | 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. |
| x. | | The MSCI EAFE® Growth Index captures large andmid-cap securities exhibiting overall growth style characteristics across Developed Markets countries* around the world, excluding the U.S. and Canada. The growth investment style characteristics for index construction are defined using five variables: long-term forward EPS growth rate, short-term forward EPS growth rate, current internal growth rate and long-term historical EPS growth trend and long-term historical sales per share growth trend. Please note that an investor cannot invest directly in an index. |
| xi. | | The MSCI EAFE® Value Index captures large andmid-cap securities exhibiting overall value style characteristics across Developed Markets countries* around the world, excluding the U.S. and Canada. The value investment style characteristics for index construction are defined using three variables: book value to price,12-month forward earnings to price and dividend yield. Please note that an investor cannot invest directly in an index. |
| xii. | | 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 26 emerging market country indexes: Argentina, Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, South Korea, Malaysia, Mexico, Pakistan, Peru, Philippines, Poland, Qatar, Russia, Saudi Arabia, South Africa, Taiwan, Thailand, Turkey and United Emirates. 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. |
| xiii. | | The 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. |
| xiv. | | The MSCI Emerging Markets Value 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 26 emerging market country indexes: Argentina, Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, South Korea, Malaysia, Mexico, Pakistan, Peru, Philippines, Poland, Qatar, Russia, Saudi Arabia, South Africa, Taiwan, Thailand, Turkey and United Emirates. The value investment style characteristics for index construction are defined using three variables: book value to price,12-month forward earnings to price and dividend yield. 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. |
| xv. | | 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. Please note that an investor cannot invest directly in an index. |
26
| xvi. | | 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. |
| xvii. | | The Bloomberg Barclays Global Aggregate Bond Index is a flagship measure of global investment grade debt from twenty-four local currency markets. This multi-currency benchmark includes treasury, government-related, corporate and securitized fixed-rate bonds from both developed and emerging markets issuers. Please note that an investor cannot invest directly in an index. |
| xviii. | | 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. |
| xix. | | 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 least one year to final maturity, and at least $250 million par amount outstanding. Please note that an investor cannot invest directly in an index. |
| xx. | | 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. |
| xxi. | | The FTSENon-USD 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. |
| xxii. | | 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. |
| xxiii. | | The LipperLarge-Cap Core Funds Average are equally weighted total returns using all the active funds available within the category of 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. 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. |
xxiv. The LipperSmall-Cap Core Funds Average are equally weighted total returns using all the active funds available within the category of funds that, by portfolio
27
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 SmallCap 600® Index. 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.
xxv. 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.
| xxvi. | | 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. |
| xxvii. | | 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. |
xxviii. 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.
| xxix. | | 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. |
28
Example
As a shareholder of a Fund, you may incur two types of costs: (1) annual advisory program fees, which may be up to 2.00%; 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 March 1, 2019 and held for the six months ended August 31, 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 “Expense 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(3) | | Expense
Paid During
the Period(4) |
Large Cap Equity Fund | | | | 4.03 | % | | | $ | 1,000.00 | | | | $ | 1,040.30 | | | | | 0.48 | % | | | $ | 2.47 | |
Small-Mid Cap Equity Fund | | | | -0.64 | % | | | | 1,000.00 | | | | | 993.60 | | | | | 0.68 | % | | | | 3.42 | |
International Equity Fund | | | | -1.86 | % | | | | 1,000.00 | | | | | 981.40 | | | | | 0.68 | % | | | | 3.40 | |
Emerging Markets Equity Fund | | | | -1.75 | % | | | | 1,000.00 | | | | | 982.50 | | | | | 0.82 | % | | | | 4.10 | |
Core Fixed Income Fund | | | | 8.01 | % | | | | 1,000.00 | | | | | 1,080.10 | | | | | 0.56 | % | | | | 2.94 | |
High Yield Fund | | | | 4.65 | % | | | | 1,000.00 | | | | | 1,046.50 | | | | | 1.21 | % | | | | 6.24 | |
International Fixed Income Fund | | | | 7.74 | % | | | | 1,000.00 | | | | | 1,077.40 | | | | | 1.30 | % | | | | 6.81 | |
Municipal Bond Fund | | | | 5.55 | % | | | | 1,000.00 | | | | | 1,055.50 | | | | | 0.75 | % | | | | 3.89 | |
Inflation-Linked Fixed Income Fund | | | | 6.72 | % | | | | 1,000.00 | | | | | 1,067.20 | | | | | 1.33 | % | | | | 6.93 | |
Ultra-Short Term Fixed Income Fund | | | | 1.01 | % | | | | 1,000.00 | | | | | 1,010.10 | | | | | 0.67 | % | | | | 3.39 | |
Alternative Strategies Fund | | | | 4.02 | % | | | | 1,000.00 | | | | | 1,040.20 | | | | | 0.70 | % | | | | 3.60 | |
| (1) | For the six months ended August 31, 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) | Annualized Expense Ratios are based on the most recent 6 months expense ratios, which may differ from expense ratios in the Financial Highlights. |
| (4) | 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 (184 days) in the most recent fiscal half-year, then divided by 365 (to reflect the one-half year period). |
29
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 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(2) | | Expense
Paid During
the Period(3) |
Large Cap Equity Fund | | | | 5.00 | % | | | $ | 1,000.00 | | | | $ | 1,022.79 | | | | | 0.48 | % | | | $ | 2.45 | |
Small-Mid Cap Equity Fund | | | | 5.00 | % | | | | 1,000.00 | | | | | 1,021.78 | | | | | 0.68 | % | | | | 3.47 | |
International Equity Fund | | | | 5.00 | % | | | | 1,000.00 | | | | | 1,021.78 | | | | | 0.68 | % | | | | 3.47 | |
Emerging Markets Equity Fund | | | | 5.00 | % | | | | 1,000.00 | | | | | 1,021.07 | | | | | 0.82 | % | | | | 4.18 | |
Core Fixed Income Fund | | | | 5.00 | % | | | | 1,000.00 | | | | | 1,022.38 | | | | | 0.56 | % | | | | 2.85 | |
High Yield Fund | | | | 5.00 | % | | | | 1,000.00 | | | | | 1,019.11 | | | | | 1.21 | % | | | | 6.16 | |
International Fixed Income Fund | | | | 5.00 | % | | | | 1,000.00 | | | | | 1,018.65 | | | | | 1.30 | % | | | | 6.61 | |
Municipal Bond Fund | | | | 5.00 | % | | | | 1,000.00 | | | | | 1,021.42 | | | | | 0.75 | % | | | | 3.82 | |
Inflation-Linked Fixed Income Fund | | | | 5.00 | % | | | | 1,000.00 | | | | | 1,018.50 | | | | | 1.33 | % | | | | 6.77 | |
Ultra-Short Term Fixed Income Fund | | | | 5.00 | % | | | | 1,000.00 | | | | | 1,021.83 | | | | | 0.67 | % | | | | 3.41 | |
Alternative Strategies Fund | | | | 5.00 | % | | | | 1,000.00 | | | | | 1,021.68 | | | | | 0.70 | % | | | | 3.57 | |
| (1) | For the six months ended August 31, 2019. |
| (2) | Annualized Expense Ratios are based on the most recent 6 months expense ratios, which may differ from net expense ratios in the Financial Highlights. |
| (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 (184 days) in the most recent fiscal half-year, then divided 365 (to reflect the one-half year period). |
30
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | COMMON STOCKS — 95.2% | |
|
| | COMMUNICATION SERVICES — 8.8% | |
|
| | Diversified Telecommunication Services — 2.0% | |
| | 461,364 | | | AT&T Inc. | | $ | 16,267,695 | |
| | 31,941 | | | CenturyLink Inc. | | | 363,488 | |
| | 2,907 | | | GCI Liberty Inc., Class A Shares* | | | 180,932 | |
| | 252,874 | | | Verizon Communications Inc. | | | 14,707,152 | |
| | 6,622 | | | Zayo Group Holdings Inc.* | | | 222,896 | |
| | | | | | | | |
| | | | Total Diversified Telecommunication Services | | | 31,742,163 | |
| | | | | | | | |
|
| | Entertainment — 1.7% | |
| | 89,567 | | | Activision Blizzard Inc. | | | 4,532,090 | |
| | 3,132 | | | Cinemark Holdings Inc. | | | 119,517 | |
| | 44,506 | | | Electronic Arts Inc.* | | | 4,169,322 | |
| | 736 | | | Liberty Media Corp-Liberty Formula One, Class A Shares* | | | 29,138 | |
| | 5,789 | | | Liberty Media Corp-Liberty Formula One, Class C Shares* | | | 241,633 | |
| | 1,492 | | | Lions Gate Entertainment Corp., Class A Shares | | | 13,473 | |
| | 3,040 | | | Lions Gate Entertainment Corp., Class B Shares | | | 25,354 | |
| | 3,783 | | | Live Nation Entertainment Inc.* | | | 262,956 | |
| | 549 | | | Madison Square Garden Co. (The), Class A Shares* | | | 138,529 | |
| | 12,372 | | | Netflix Inc.* | | | 3,634,275 | |
| | 3,461 | | | Spotify Technology SA* | | | 467,062 | |
| | 3,292 | | | Take-Two Interactive Software Inc.* | | | 434,445 | |
| | 304 | | | Viacom Inc., Class A Shares | | | 8,290 | |
| | 10,379 | | | Viacom Inc., Class B Shares | | | 259,268 | |
| | 92,259 | | | Walt Disney Co. (The) | | | 12,663,471 | |
| | 1,268 | | | World Wrestling Entertainment Inc., Class A Shares | | | 90,573 | |
| | 25,107 | | | Zynga Inc., Class A Shares* | | | 143,361 | |
| | | | | | | | |
| | | | Total Entertainment | | | 27,232,757 | |
| | | | | | | | |
|
| | Interactive Media & Services — 4.0% | |
| | 17,769 | | | Alphabet Inc., Class A Shares* | | | 21,154,527 | |
| | 12,314 | | | Alphabet Inc., Class C Shares* | | | 14,630,263 | |
| | 128,636 | | | Facebook Inc., Class A Shares* | | | 23,883,846 | |
| | 2,180 | | | IAC/InterActiveCorp.* | | | 555,115 | |
| | 1,592 | | | Match Group Inc.(a) | | | 135,002 | |
| | 3,112 | | | TripAdvisor Inc.* | | | 118,225 | |
| | 22,092 | | | Twitter Inc.* | | | 942,224 | |
| | 1,686 | | | Zillow Group Inc., Class A Shares* | | | 57,611 | |
| | 3,679 | | | Zillow Group Inc., Class C Shares*(a) | | | 126,668 | |
| | | | | | | | |
| | | | Total Interactive Media & Services | | | 61,603,481 | |
| | | | | | | | |
|
| | Media — 1.0% | |
| | 9,722 | | | Altice USA Inc., Class A Shares* | | | 280,771 | |
| | 1,285 | | | AMC Networks Inc., Class A Shares* | | | 62,323 | |
| | 126 | | | Cable One Inc. | | | 163,500 | |
| | 9,702 | | | CBS Corp., Class B Shares | | | 408,066 | |
| | 4,687 | | | Charter Communications Inc., Class A Shares* | | | 1,919,748 | |
| | 195,933 | | | Comcast Corp., Class A Shares | | | 8,671,995 | |
| | 4,573 | | | Discovery Inc., Class A Shares* | | | 126,215 | |
| | 10,238 | | | Discovery Inc., Class C Shares* | | | 266,495 | |
| | 6,610 | | | DISH Network Corp., Class A Shares* | | | 221,832 | |
| | 10,291 | | | Fox Corp., Class A Shares | | | 341,352 | |
| | 4,804 | | | Fox Corp., Class B Shares | | | 157,571 | |
| | 11,304 | | | Interpublic Group of Cos., Inc. (The) | | | 224,724 | |
| | 1,295 | | | John Wiley & Sons Inc., Class A Shares | | | 57,628 | |
| | 727 | | | Liberty Broadband Corp., Class A Shares* | | | 76,153 | |
See Notes to Financial Statements.
31
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | COMMUNICATION SERVICES — 8.8% — (continued) | |
|
| | Media — 1.0% (continued) | |
| | 3,093 | | | Liberty Broadband Corp., Class C Shares* | | $ | 326,126 | |
| | 2,474 | | | Liberty Media Corp-Liberty SiriusXM, Class A Shares* | | | 100,172 | |
| | 4,618 | | | Liberty Media Corp-Liberty SiriusXM, Class C Shares* | | | 188,461 | |
| | 4,670 | | | New York Times Co. (The), Class A Shares | | | 136,364 | |
| | 11,011 | | | News Corp., Class A Shares | | | 151,401 | |
| | 3,589 | | | News Corp., Class B Shares | | | 50,820 | |
| | 1,279 | | | Nexstar Media Group Inc., Class A Shares | | | 126,480 | |
| | 6,401 | | | Omnicom Group Inc. | | | 486,860 | |
| | 1,765 | | | Sinclair Broadcast Group Inc., Class A Shares | | | 78,666 | |
| | 41,549 | | | Sirius XM Holdings Inc.(a) | | | 256,357 | |
| | 2,508 | | | Tribune Media Co., Class A Shares | | | 116,823 | |
| | | | | | | | |
| | | | Total Media | | | 14,996,903 | |
| | | | | | | | |
|
| | Wireless Telecommunication Services — 0.1% | |
| | 16,611 | | | Sprint Corp.* | | | 112,789 | |
| | 2,906 | | | Telephone & Data Systems Inc. | | | 73,231 | |
| | 9,183 | | | T-Mobile US Inc.* | | | 716,733 | |
| | 446 | | | United States Cellular Corp.* | | | 16,052 | |
| | | | | | | | |
| | | | Total Wireless Telecommunication Services | | | 918,805 | |
| | | | | | | | |
| | | | TOTAL COMMUNICATION SERVICES | | | 136,494,109 | |
| | | | | | | | |
|
| | CONSUMER DISCRETIONARY — 10.3% | |
|
| | Auto Components — 0.4% | |
| | 33,210 | | | Adient PLC | | | 669,846 | |
| | 50,127 | | | Aptiv PLC | | | 4,169,063 | |
| | 6,111 | | | BorgWarner Inc. | | | 199,402 | |
| | 7,490 | | | Gentex Corp. | | | 199,234 | |
| | 92,970 | | | Goodyear Tire & Rubber Co. (The) | | | 1,066,366 | |
| | 1,824 | | | Lear Corp. | | | 204,762 | |
| | 19,699 | | | Tenneco Inc., Class A Shares | | | 171,775 | |
| | | | | | | | |
| | | | Total Auto Components | | | 6,680,448 | |
| | | | | | | | |
|
| | Automobiles — 0.2% | |
| | 114,804 | | | Ford Motor Co. | | | 1,052,753 | |
| | 36,434 | | | General Motors Co. | | | 1,351,337 | |
| | 4,527 | | | Harley-Davidson Inc. | | | 144,411 | |
| | 4,126 | | | Tesla Inc.*(a) | | | 930,867 | |
| | 1,451 | | | Thor Industries Inc. | | | 66,615 | |
| | | | | | | | |
| | | | Total Automobiles | | | 3,545,983 | |
| | | | | | | | |
|
| | Distributors — 0.1% | |
| | 4,124 | | | Genuine Parts Co. | | | 372,356 | |
| | 9,268 | | | LKQ Corp.* | | | 243,471 | |
| | 1,140 | | | Pool Corp. | | | 223,873 | |
| | | | | | | | |
| | | | Total Distributors | | | 839,700 | |
| | | | | | | | |
|
| | Diversified Consumer Services — 0.3% | |
| | 1,684 | | | Bright Horizons Family Solutions Inc.* | | | 277,944 | |
| | 2,539 | | | frontdoor Inc.* | | | 130,352 | |
| | 127 | | | Graham Holdings Co., Class B Shares | | | 89,416 | |
| | 1,391 | | | Grand Canyon Education Inc.* | | | 174,710 | |
| | 5,971 | | | H&R Block Inc. | | | 144,618 | |
| | 30,268 | | | New Oriental Education & Technology Group Inc., ADR* | | | 3,432,391 | |
| | 5,158 | | | Service Corp. International | | | 238,815 | |
| | 3,996 | | | ServiceMaster Global Holdings Inc.* | | | 227,932 | |
| | | | | | | | |
| | | | Total Diversified Consumer Services | | | 4,716,178 | |
| | | | | | | | |
See Notes to Financial Statements.
32
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | CONSUMER DISCRETIONARY — 10.3% — (continued) | |
|
| | Hotels, Restaurants & Leisure — 1.4% | |
| | 6,921 | | | Aramark | | $ | 282,792 | |
| | 16,533 | | | Caesars Entertainment Corp.* | | | 190,295 | |
| | 11,680 | | | Carnival Corp. | | | 514,854 | |
| | 3,490 | | | Chipotle Mexican Grill Inc., Class A Shares* | | | 2,926,086 | |
| | 983 | | | Choice Hotels International Inc. | | | 89,433 | |
| | 3,610 | | | Darden Restaurants Inc. | | | 436,738 | |
| | 1,214 | | | Domino’s Pizza Inc. | | | 275,384 | |
| | 2,281 | | | Dunkin’ Brands Group Inc. | | | 188,046 | |
| | 5,326 | | | Extended Stay America Inc. | | | 74,830 | |
| | 2,633 | | | Hilton Grand Vacations Inc.* | | | 88,916 | |
| | 8,351 | | | Hilton Worldwide Holdings Inc. | | | 771,382 | |
| | 1,118 | | | Hyatt Hotels Corp., Class A Shares | | | 80,664 | |
| | 3,112 | | | International Game Technology PLC | | | 37,282 | |
| | 9,993 | | | Las Vegas Sands Corp. | | | 554,312 | |
| | 8,143 | | | Marriott International Inc., Class A Shares | | | 1,026,506 | |
| | 22,540 | | | McDonald’s Corp. | | | 4,913,044 | |
| | 15,249 | | | MGM Resorts International | | | 427,887 | |
| | 6,358 | | | Norwegian Cruise Line Holdings Ltd.* | | | 322,668 | |
| | 24,774 | | | Planet Fitness Inc., Class A Shares* | | | 1,749,292 | |
| | 5,050 | | | Royal Caribbean Cruises Ltd. | | | 526,614 | |
| | 2,187 | | | Six Flags Entertainment Corp. | | | 129,405 | |
| | 35,568 | | | Starbucks Corp. | | | 3,434,446 | |
| | 1,178 | | | Vail Resorts Inc. | | | 278,338 | |
| | 5,249 | | | Wendy’s Co. (The) | | | 115,478 | |
| | 2,708 | | | Wyndham Destinations Inc. | | | 120,073 | |
| | 2,835 | | | Wyndham Hotels & Resorts Inc. | | | 145,662 | |
| | 2,898 | | | Wynn Resorts Ltd. | | | 319,215 | |
| | 10,621 | | | Yum China Holdings Inc. | | | 482,512 | |
| | 8,985 | | | Yum! Brands Inc. | | | 1,049,268 | |
| | | | | | | | |
| | | | Total Hotels, Restaurants & Leisure | | | 21,551,422 | |
| | | | | | | | |
|
| | Household Durables — 0.4% | |
| | 9,976 | | | DR Horton Inc. | | | 493,513 | |
| | 4,185 | | | Garmin Ltd. | | | 341,370 | |
| | 3,928 | | | Leggett & Platt Inc. | | | 146,082 | |
| | 8,240 | | | Lennar Corp., Class A Shares | | | 420,240 | |
| | 460 | | | Lennar Corp., Class B Shares | | | 18,635 | |
| | 1,776 | | | Mohawk Industries Inc.* | | | 211,149 | |
| | 11,127 | | | Newell Brands Inc. | | | 184,708 | |
| | 93 | | | NVR Inc.* | | | 334,707 | |
| | 7,657 | | | PulteGroup Inc. | | | 258,807 | |
| | 2,401 | | | Roku Inc., Class A Shares* | | | 363,415 | |
| | 1,345 | | | Tempur Sealy International Inc.* | | | 103,726 | |
| | 3,986 | | | Toll Brothers Inc. | | | 144,253 | |
| | 24,361 | | | Whirlpool Corp. | | | 3,388,372 | |
| | | | | | | | |
| | | | Total Household Durables | | | 6,408,977 | |
| | | | | | | | |
|
| | Internet & Direct Marketing Retail — 3.5% | |
| | 34,877 | | | Alibaba Group Holding Ltd., ADR* | | | 6,104,521 | |
| | 19,006 | | | Amazon.com Inc.* | | | 33,760,168 | |
| | 4,017 | | | Booking Holdings Inc.* | | | 7,899,069 | |
| | 58,944 | | | eBay Inc. | | | 2,374,854 | |
| | 3,562 | | | Etsy Inc.* | | | 188,038 | |
| | 4,059 | | | Expedia Group Inc. | | | 528,076 | |
| | 21,213 | | | GrubHub Inc.*(a) | | | 1,258,780 | |
See Notes to Financial Statements.
33
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | CONSUMER DISCRETIONARY — 10.3% — (continued) | |
|
| | Internet & Direct Marketing Retail — 3.5% — (continued) | |
| | 169,744 | | | Qurate Retail Inc., Class A Shares* | | $ | 1,817,958 | |
| | 1,803 | | | Wayfair Inc., Class A Shares* | | | 203,270 | |
| | | | | | | | |
| | | | Total Internet & Direct Marketing Retail | | | 54,134,734 | |
| | | | | | | | |
|
| | Leisure Products — 0.2% | |
| | 32,833 | | | Brunswick Corp. | | | 1,530,018 | |
| | 3,403 | | | Hasbro Inc. | | | 375,929 | |
| | 9,893 | | | Mattel Inc.*(a) | | | 96,951 | |
| | 1,685 | | | Polaris Inc. | | | 138,204 | |
| | | | | | | | |
| | | | Total Leisure Products | | | 2,141,102 | |
| | | | | | | | |
|
| | Multiline Retail — 0.7% | |
| | 7,613 | | | Dollar General Corp. | | | 1,188,313 | |
| | 80,016 | | | Dollar Tree Inc.* | | | 8,124,024 | |
| | 4,713 | | | Kohl’s Corp. | | | 222,736 | |
| | 9,273 | | | Macy’s Inc. | | | 136,870 | |
| | 3,084 | | | Nordstrom Inc.(a) | | | 89,344 | |
| | 1,517 | | | Ollie’s Bargain Outlet Holdings Inc.* | | | 84,118 | |
| | 14,636 | | | Target Corp. | | | 1,566,637 | |
| | | | | | | | |
| | | | Total Multiline Retail | | | 11,412,042 | |
| | | | | | | | |
|
| | Specialty Retail — 2.3% | |
| | 16,423 | | | Advance Auto Parts Inc. | | | 2,265,553 | |
| | 1,577 | | | AutoNation Inc.* | | | 74,844 | |
| | 727 | | | AutoZone Inc.* | | | 800,929 | |
| | 6,719 | | | Best Buy Co., Inc. | | | 427,664 | |
| | 1,928 | | | Burlington Stores Inc.* | | | 390,401 | |
| | 4,869 | | | CarMax Inc.* | | | 405,490 | |
| | 1,191 | | | Carvana Co., Class A Shares* | | | 96,662 | |
| | 1,998 | | | Dick’s Sporting Goods Inc. | | | 68,012 | |
| | 1,604 | | | Five Below Inc.* | | | 197,083 | |
| | 1,928 | | | Floor & Decor Holdings Inc., Class A Shares* | | | 94,896 | |
| | 3,306 | | | Foot Locker Inc. | | | 119,644 | |
| | 6,549 | | | Gap Inc. (The) | | | 103,409 | |
| | 45,336 | | | Home Depot Inc. (The) | | | 10,332,528 | |
| | 6,681 | | | L Brands Inc. | | | 110,303 | |
| | 131,656 | | | Lowe’s Cos., Inc. | | | 14,771,803 | |
| | 2,262 | | | O’Reilly Automotive Inc.* | | | 868,065 | |
| | 1,074 | | | Penske Automotive Group Inc. | | | 45,946 | |
| | 10,557 | | | Ross Stores Inc. | | | 1,119,148 | |
| | 3,577 | | | Tiffany & Co. | | | 303,580 | |
| | 35,657 | | | TJX Cos., Inc. (The) | | | 1,960,065 | |
| | 3,571 | | | Tractor Supply Co. | | | 363,814 | |
| | 1,654 | | | Ulta Beauty Inc.* | | | 393,205 | |
| | 2,081 | | | Urban Outfitters Inc.* | | | 48,716 | |
| | 2,290 | | | Williams-Sonoma Inc. | | | 150,682 | |
| | | | | | | | |
| | | | Total Specialty Retail | | | 35,512,442 | |
| | | | | | | | |
|
| | Textiles, Apparel & Luxury Goods — 0.8% | |
| | 53,014 | | | Canada Goose Holdings Inc.*(a) | | | 1,977,422 | |
| | 4,254 | | | Capri Holdings Ltd.* | | | 112,220 | |
| | 1,304 | | | Carter’s Inc. | | | 119,290 | |
| | 885 | | | Columbia Sportswear Co. | | | 83,004 | |
| | 144,789 | | | Hanesbrands Inc. | | | 1,977,818 | |
| | 3,462 | | | lululemon athletica Inc.* | | | 639,327 | |
| | 71,894 | | | NIKE Inc., Class B Shares | | | 6,075,043 | |
See Notes to Financial Statements.
34
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | CONSUMER DISCRETIONARY — 10.3% — (continued) | |
|
| | Textiles, Apparel & Luxury Goods — 0.8% — (continued) | |
| | 2,206 | | | PVH Corp. | | $ | 167,215 | |
| | 1,543 | | | Ralph Lauren Corp., Class A Shares | | | 136,309 | |
| | 3,866 | | | Skechers U.S.A. Inc., Class A Shares* | | | 122,398 | |
| | 8,520 | | | Tapestry Inc. | | | 175,938 | |
| | 5,514 | | | Under Armour Inc., Class A Shares* | | | 102,615 | |
| | 5,736 | | | Under Armour Inc., Class C Shares* | | | 97,053 | |
| | 9,027 | | | V.F. Corp. | | | 739,763 | |
| | | | | | | | |
| | | | Total Textiles, Apparel & Luxury Goods | | | 12,525,415 | |
| | | | | | | | |
| | | | TOTAL CONSUMER DISCRETIONARY | | | 159,468,443 | |
| | | | | | | | |
|
| | CONSUMER STAPLES — 6.3% | |
|
| | Beverages — 1.9% | |
| | 29,380 | | | Anheuser-Busch InBev SA, ADR(a) | | | 2,776,410 | |
| | 1,557 | | | Brown-Forman Corp., Class A Shares | | | 89,636 | |
| | 5,041 | | | Brown-Forman Corp., Class B Shares | | | 297,369 | |
| | 337,793 | | | Coca-Cola Co. (The) | | | 18,592,127 | |
| | 4,652 | | | Constellation Brands Inc., Class A Shares | | | 950,636 | |
| | 6,045 | | | Keurig Dr Pepper Inc. | | | 164,908 | |
| | 5,104 | | | Molson Coors Brewing Co., Class B Shares | | | 262,141 | |
| | 11,337 | | | Monster Beverage Corp.* | | | 665,142 | |
| | 41,146 | | | PepsiCo Inc. | | | 5,625,892 | |
| | | | | | | | |
| | | | Total Beverages | | | 29,424,261 | |
| | | | | | | | |
|
| | Food & Staples Retailing — 0.9% | |
| | 1,052 | | | Casey’s General Stores Inc. | | | 176,578 | |
| | 21,271 | | | Costco Wholesale Corp. | | | 6,269,840 | |
| | 23,345 | | | Kroger Co. (The) | | | 552,809 | |
| | 3,218 | | | Sprouts Farmers Market Inc.* | | | 57,763 | |
| | 13,996 | | | Sysco Corp. | | | 1,040,323 | |
| | 6,397 | | | US Foods Holding Corp.* | | | 258,759 | |
| | 22,663 | | | Walgreens Boots Alliance Inc. | | | 1,160,119 | |
| | 41,250 | | | Walmart Inc. | | | 4,713,225 | |
| | | | | | | | |
| | | | Total Food & Staples Retailing | | | 14,229,416 | |
| | | | | | | | |
|
| | Food Products — 2.1% | |
| | 197,163 | | | Archer-Daniels-Midland Co. | | | 7,502,052 | |
| | 261 | | | Beyond Meat Inc.*(a) | | | 43,751 | |
| | 4,007 | | | Bunge Ltd. | | | 214,014 | |
| | 4,972 | | | Campbell Soup Co. | | | 223,740 | |
| | 267,692 | | | Conagra Brands Inc. | | | 7,591,745 | |
| | 5,576 | | | Flowers Foods Inc. | | | 127,133 | |
| | 17,588 | | | General Mills Inc. | | | 946,234 | |
| | 2,774 | | | Hain Celestial Group Inc. (The)* | | | 52,845 | |
| | 4,258 | | | Hershey Co. (The) | | | 674,808 | |
| | 8,234 | | | Hormel Foods Corp.(a) | | | 350,851 | |
| | 1,943 | | | Ingredion Inc. | | | 150,136 | |
| | 3,254 | | | J.M. Smucker Co. (The) | | | 342,191 | |
| | 7,222 | | | Kellogg Co. | | | 453,541 | |
| | 18,314 | | | Kraft Heinz Co. (The) | | | 467,373 | |
| | 4,330 | | | Lamb Weston Holdings Inc. | | | 304,789 | |
| | 12,178 | | | McCormick & Co., Inc. | | | 1,983,431 | |
| | 194,944 | | | Mondelez International Inc., Class A Shares | | | 10,764,808 | |
| | 1,576 | | | Pilgrim’s Pride Corp.* | | | 49,108 | |
| | 1,922 | | | Post Holdings Inc.* | | | 191,604 | |
| | 8 | | | Seaboard Corp. | | | 33,041 | |
See Notes to Financial Statements.
35
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | CONSUMER STAPLES — 6.3% — (continued) | |
|
| | Food Products — 2.1% — (continued) | |
| | 1,514 | | | TreeHouse Foods Inc.* | | $ | 76,684 | |
| | 8,442 | | | Tyson Foods Inc., Class A Shares | | | 785,444 | |
| | | | | | | | |
| | | | Total Food Products | | | 33,329,323 | |
| | | | | | | | |
|
| | Household Products — 0.9% | |
| | 7,218 | | | Church & Dwight Co., Inc. | | | 575,852 | |
| | 3,764 | | | Clorox Co. (The) | | | 595,314 | |
| | 24,686 | | | Colgate-Palmolive Co. | | | 1,830,467 | |
| | 1,671 | | | Energizer Holdings Inc.(a) | | | 64,333 | |
| | 10,024 | | | Kimberly-Clark Corp. | | | 1,414,487 | |
| | 72,611 | | | Procter & Gamble Co. (The) | | | 8,730,021 | |
| | 952 | | | Spectrum Brands Holdings Inc. | | | 53,188 | |
| | | | | | | | |
| | | | Total Household Products | | | 13,263,662 | |
| | | | | | | | |
|
| | Personal Products — 0.1% | |
| | 8,462 | | | Coty Inc., Class A Shares | | | 80,812 | |
| | 6,305 | | | Estee Lauder Cos., Inc. (The), Class A Shares | | | 1,248,327 | |
| | 3,027 | | | Herbalife Nutrition Ltd.* | | | 104,220 | |
| | 1,667 | | | Nu Skin Enterprises Inc., Class A Shares | | | 67,713 | |
| | | | | | | | |
| | | | Total Personal Products | | | 1,501,072 | |
| | | | | | | | |
|
| | Tobacco — 0.4% | |
| | 54,955 | | | Altria Group Inc. | | | 2,403,732 | |
| | 45,653 | | | Philip Morris International Inc. | | | 3,291,125 | |
| | | | | | | | |
| | | | Total Tobacco | | | 5,694,857 | |
| | | | | | | | |
| | | | TOTAL CONSUMER STAPLES | | | 97,442,591 | |
| | | | | | | | |
|
| | ENERGY — 4.7% | |
|
| | Energy Equipment & Services — 0.8% | |
| | 2,264 | | | Apergy Corp.* | | | 58,819 | |
| | 15,131 | | | Baker Hughes a GE Co., Class A Shares | | | 328,192 | |
| | 369,254 | | | Halliburton Co. | | | 6,956,745 | |
| | 3,157 | | | Helmerich & Payne Inc. | | | 118,672 | |
| | 137,563 | | | National Oilwell Varco Inc. | | | 2,810,412 | |
| | 6,008 | | | Patterson-UTI Energy Inc. | | | 51,969 | |
| | 40,670 | | | Schlumberger Ltd. | | | 1,318,928 | |
| | 15,646 | | | Transocean Ltd.* | | | 71,189 | |
| | | | | | | | |
| | | | Total Energy Equipment & Services | | | 11,714,926 | |
| | | | | | | | |
|
| | Oil, Gas & Consumable Fuels — 3.9% | |
| | 6,739 | | | Antero Midstream Corp.(a) | | | 47,914 | |
| | 7,956 | | | Antero Resources Corp.* | | | 25,220 | |
| | 11,134 | | | Apache Corp. | | | 240,160 | |
| | 12,223 | | | Cabot Oil & Gas Corp. | | | 209,258 | |
| | 5,357 | | | Centennial Resource Development Inc., Class A Shares* | | | 25,821 | |
| | 6,829 | | | Cheniere Energy Inc.* | | | 407,760 | |
| | 37,981 | | | Chesapeake Energy Corp.*(a) | | | 54,693 | |
| | 56,002 | | | Chevron Corp. | | | 6,592,555 | |
| | 2,897 | | | Cimarex Energy Co. | | | 123,934 | |
| | 5,850 | | | Concho Resources Inc. | | | 427,927 | |
| | 160,524 | | | ConocoPhillips | | | 8,376,142 | |
| | 2,618 | | | Continental Resources Inc.* | | | 76,446 | |
| | 12,141 | | | Devon Energy Corp. | | | 266,981 | |
| | 4,820 | | | Diamondback Energy Inc. | | | 472,746 | |
| | 66,178 | | | EOG Resources Inc. | | | 4,909,746 | |
See Notes to Financial Statements.
36
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | ENERGY — 4.7% — (continued) | |
|
| | Oil, Gas & Consumable Fuels — 3.9% — (continued) | |
| | 7,453 | | | EQT Corp. | | $ | 75,797 | |
| | 6,036 | | | Equitrans Midstream Corp. | | | 81,426 | |
| | 124,351 | | | Exxon Mobil Corp. | | | 8,515,556 | |
| | 7,882 | | | Hess Corp. | | | 496,172 | |
| | 4,681 | | | HollyFrontier Corp. | | | 207,649 | |
| | 57,280 | | | Kinder Morgan Inc. | | | 1,161,066 | |
| | 10,701 | | | Kosmos Energy Ltd. | | | 67,630 | |
| | 586,832 | | | Marathon Oil Corp. | | | 6,948,091 | |
| | 19,277 | | | Marathon Petroleum Corp. | | | 948,621 | |
| | 4,815 | | | Murphy Oil Corp. | | | 87,777 | |
| | 13,823 | | | Noble Energy Inc. | | | 312,123 | |
| | 179,487 | | | Occidental Petroleum Corp. | | | 7,804,095 | |
| | 12,064 | | | ONEOK Inc. | | | 859,922 | |
| | 7,871 | | | Parsley Energy Inc., Class A Shares* | | | 140,970 | |
| | 3,452 | | | PBF Energy Inc., Class A Shares | | | 81,812 | |
| | 13,319 | | | Phillips 66 | | | 1,313,653 | |
| | 28,507 | | | Pioneer Natural Resources Co. | | | 3,518,334 | |
| | 5,829 | | | Range Resources Corp. | | | 20,751 | |
| | 122,122 | | | Suncor Energy Inc. | | | 3,569,626 | |
| | 6,708 | | | Targa Resources Corp. | | | 242,293 | |
| | 12,229 | | | Valero Energy Corp. | | | 920,599 | |
| | 35,607 | | | Williams Cos., Inc. (The) | | | 840,325 | |
| | 12,309 | | | WPX Energy Inc.* | | | 132,445 | |
| | | | | | | | |
| | | | Total Oil, Gas & Consumable Fuels | | | 60,604,036 | |
| | | | | | | | |
| | | | TOTAL ENERGY | | | 72,318,962 | |
| | | | | | | | |
|
| | FINANCIALS — 11.4% | |
|
| | Banks — 3.0% | |
| | 4,919 | | | Associated Banc-Corp. | | | 94,642 | |
| | 252,681 | | | Bank of America Corp. | | | 6,951,254 | |
| | 1,161 | | | Bank of Hawaii Corp. | | | 95,992 | |
| | 3,678 | | | Bank OZK | | | 94,892 | |
| | 2,845 | | | BankUnited Inc. | | | 90,357 | |
| | 168,851 | | | BB&T Corp. | | | 8,045,750 | |
| | 984 | | | BOK Financial Corp. | | | 74,922 | |
| | 2,863 | | | CIT Group Inc. | | | 121,935 | |
| | 67,897 | | | Citigroup Inc. | | | 4,369,172 | |
| | 13,573 | | | Citizens Financial Group Inc. | | | 457,953 | |
| | 4,559 | | | Comerica Inc. | | | 281,062 | |
| | 3,017 | | | Commerce Bancshares Inc. | | | 172,180 | |
| | 1,713 | | | Cullen/Frost Bankers Inc. | | | 142,196 | |
| | 4,053 | | | East West Bancorp Inc. | | | 166,700 | |
| | 21,515 | | | Fifth Third Bancorp | | | 569,072 | |
| | 221 | | | First Citizens BancShares Inc., Class A Shares | | | 98,257 | |
| | 3,308 | | | First Hawaiian Inc. | | | 85,016 | |
| | 9,235 | | | First Horizon National Corp. | | | 146,190 | |
| | 4,758 | | | First Republic Bank | | | 426,888 | |
| | 9,560 | | | FNB Corp. | | | 102,770 | |
| | 30,859 | | | Huntington Bancshares Inc. | | | 408,882 | |
| | 94,748 | | | JPMorgan Chase & Co. | | | 10,409,015 | |
| | 29,734 | | | KeyCorp | | | 493,584 | |
| | 3,997 | | | M&T Bank Corp. | | | 584,401 | |
| | 3,488 | | | PacWest Bancorp | | | 118,871 | |
| | 11,220 | | | People’s United Financial Inc. | | | 161,231 | |
See Notes to Financial Statements.
37
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | FINANCIALS — 11.4% — (continued) | |
|
| | Banks — 3.0% — (continued) | |
| | 2,272 | | | Pinnacle Financial Partners Inc. | | $ | 119,666 | |
| | 13,242 | | | PNC Financial Services Group Inc. (The) | | | 1,707,291 | |
| | 2,820 | | | Popular Inc. | | | 148,247 | |
| | 2,023 | | | Prosperity Bancshares Inc. | | | 131,333 | |
| | 30,022 | | | Regions Financial Corp. | | | 438,922 | |
| | 1,601 | | | Signature Bank | | | 186,757 | |
| | 6,125 | | | Sterling Bancorp | | | 116,804 | |
| | 13,012 | | | SunTrust Banks Inc. | | | 800,368 | |
| | 1,539 | | | SVB Financial Group* | | | 299,520 | |
| | 4,455 | | | Synovus Financial Corp. | | | 158,331 | |
| | 4,316 | | | TCF Financial Corp. | | | 166,425 | |
| | 1,518 | | | Texas Capital Bancshares Inc.* | | | 81,790 | |
| | 5,802 | | | Umpqua Holdings Corp. | | | 91,149 | |
| | 42,455 | | | US Bancorp | | | 2,236,954 | |
| | 2,778 | | | Webster Financial Corp. | | | 124,343 | |
| | 118,960 | | | Wells Fargo & Co. | | | 5,539,967 | |
| | 2,917 | | | Western Alliance Bancorp | | | 126,656 | |
| | 1,485 | | | Wintrust Financial Corp. | | | 93,303 | |
| | 5,331 | | | Zions Bancorp N.A. | | | 219,051 | |
| | | | | | | | |
| | | | Total Banks | | | 47,550,061 | |
| | | | | | | | |
|
| | Capital Markets — 3.6% | |
| | 19,763 | | | Affiliated Managers Group Inc. | | | 1,514,439 | |
| | 43,940 | | | Ameriprise Financial Inc. | | | 5,667,381 | |
| | 172,407 | | | Bank of New York Mellon Corp. (The) | | | 7,251,438 | |
| | 8,152 | | | BGC Partners Inc., Class A Shares | | | 41,575 | |
| | 7,908 | | | BlackRock Inc., Class A Shares | | | 3,341,604 | |
| | 3,281 | | | Cboe Global Markets Inc. | | | 390,964 | |
| | 155,640 | | | Charles Schwab Corp. (The) | | | 5,956,343 | |
| | 10,397 | | | CME Group Inc., Class A Shares | | | 2,259,164 | |
| | 7,182 | | | E*Trade Financial Corp. | | | 299,777 | |
| | 3,381 | | | Eaton Vance Corp. | | | 145,789 | |
| | 1,218 | | | Evercore Inc., Class A Shares | | | 97,148 | |
| | 1,110 | | | FactSet Research Systems Inc. | | | 302,020 | |
| | 8,381 | | | Franklin Resources Inc. | | | 220,253 | |
| | 9,666 | | | Goldman Sachs Group Inc. (The) | | | 1,970,994 | |
| | 2,238 | | | Interactive Brokers Group Inc., Class A Shares | | | 105,634 | |
| | 85,368 | | | Intercontinental Exchange Inc. | | | 7,980,201 | |
| | 11,438 | | | Invesco Ltd. | | | 179,577 | |
| | 2,928 | | | Janus Henderson Group PLC | | | 55,954 | |
| | 3,122 | | | Lazard Ltd., Class A Shares | | | 107,209 | |
| | 2,044 | | | Legg Mason Inc. | | | 75,199 | |
| | 2,460 | | | LPL Financial Holdings Inc. | | | 184,377 | |
| | 1,080 | | | MarketAxess Holdings Inc. | | | 429,429 | |
| | 4,823 | | | Moody’s Corp. | | | 1,039,742 | |
| | 35,520 | | | Morgan Stanley(b) | | | 1,473,725 | |
| | 550 | | | Morningstar Inc. | | | 88,869 | |
| | 14,122 | | | MSCI Inc., Class A Shares | | | 3,313,445 | |
| | 3,398 | | | Nasdaq Inc. | | | 339,256 | |
| | 5,870 | | | Northern Trust Corp. | | | 516,149 | |
| | 3,776 | | | Raymond James Financial Inc. | | | 296,454 | |
| | 31,369 | | | S&P Global Inc. | | | 8,161,900 | |
| | 3,785 | | | SEI Investments Co. | | | 217,675 | |
| | 10,929 | | | State Street Corp. | | | 560,767 | |
| | 6,766 | | | T. Rowe Price Group Inc. | | | 748,455 | |
See Notes to Financial Statements.
38
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | FINANCIALS — 11.4% — (continued) | |
|
| | Capital Markets — 3.6% — (continued) | |
| | 8,005 | | | TD Ameritrade Holding Corp. | | $ | 355,502 | |
| | 1,319 | | | Virtu Financial Inc., Class A Shares | | | 24,797 | |
| | | | | | | | |
| | | | Total Capital Markets | | | 55,713,205 | |
| | | | | | | | |
|
| | Consumer Finance — 0.5% | |
| | 11,779 | | | Ally Financial Inc. | | | 369,272 | |
| | 39,152 | | | American Express Co. | | | 4,712,726 | |
| | 13,721 | | | Capital One Financial Corp. | | | 1,188,513 | |
| | 307 | | | Credit Acceptance Corp.* | | | 138,964 | |
| | 9,482 | | | Discover Financial Services | | | 758,276 | |
| | 6,423 | | | Navient Corp. | | | 81,829 | |
| | 1,910 | | | OneMain Holdings Inc., Class A Shares | | | 68,473 | |
| | 3,109 | | | Santander Consumer USA Holdings Inc. | | | 81,176 | |
| | 13,186 | | | SLM Corp. | | | 111,290 | |
| | 20,205 | | | Synchrony Financial | | | 647,570 | |
| | | | | | | | |
| | | | Total Consumer Finance | | | 8,158,089 | |
| | | | | | | | |
|
| | Diversified Financial Services — 0.8% | |
| | 7,967 | | | AXA Equitable Holdings Inc. | | | 165,475 | |
| | 57,464 | | | Berkshire Hathaway Inc., Class B Shares* | | | 11,688,752 | |
| | 7,536 | | | Jefferies Financial Group Inc. | | | 140,471 | |
| | 4,303 | | | Voya Financial Inc. | | | 212,224 | |
| | | | | | | | |
| | | | Total Diversified Financial Services | | | 12,206,922 | |
| | | | | | | | |
|
| | Insurance — 3.4% | |
| | 21,653 | | | Aflac Inc. | | | 1,086,548 | |
| | 414 | | | Alleghany Corp.* | | | 310,214 | |
| | 89,660 | | | Allstate Corp. (The) | | | 9,180,287 | |
| | 2,214 | | | American Financial Group Inc. | | | 223,548 | |
| | 177,853 | | | American International Group Inc. | | | 9,255,470 | |
| | 167 | | | American National Insurance Co. | | | 19,050 | |
| | 7,007 | | | Aon PLC | | | 1,365,314 | |
| | 11,185 | | | Arch Capital Group Ltd.* | | | 441,808 | |
| | 5,392 | | | Arthur J. Gallagher & Co. | | | 489,108 | |
| | 22,825 | | | Assurant Inc. | | | 2,807,475 | |
| | 2,938 | | | Assured Guaranty Ltd. | | | 125,012 | |
| | 4,538 | | | Athene Holding Ltd., Class A Shares* | | | 176,347 | |
| | 2,381 | | | Axis Capital Holdings Ltd. | | | 146,170 | |
| | 3,398 | | | Brighthouse Financial Inc.* | | | 119,813 | |
| | 6,932 | | | Brown & Brown Inc. | | | 255,721 | |
| | 13,370 | | | Chubb Ltd. | | | 2,089,464 | |
| | 4,509 | | | Cincinnati Financial Corp. | | | 507,217 | |
| | 826 | | | CNA Financial Corp. | | | 38,929 | |
| | 747 | | | Erie Indemnity Co., Class A Shares | | | 163,825 | |
| | 1,178 | | | Everest Re Group Ltd. | | | 277,867 | |
| | 7,745 | | | Fidelity National Financial Inc. | | | 340,315 | |
| | 3,257 | | | First American Financial Corp. | | | 190,372 | |
| | 3,061 | | | Globe Life Inc. | | | 273,225 | |
| | 1,190 | | | Hanover Insurance Group Inc. (The) | | | 158,449 | |
| | 10,540 | | | Hartford Financial Services Group Inc. (The) | | | 614,271 | |
| | 1,835 | | | Kemper Corp. | | | 128,413 | |
| | 78,942 | | | Lincoln National Corp. | | | 4,174,453 | |
| | 7,776 | | | Loews Corp. | | | 373,792 | |
| | 402 | | | Markel Corp.* | | | 459,518 | |
| | 97,486 | | | Marsh & McLennan Cos., Inc. | | | 9,737,877 | |
See Notes to Financial Statements.
39
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | FINANCIALS — 11.4% — (continued) | |
|
| | Insurance — 3.4% — (continued) | |
| | 827 | | | Mercury General Corp. | | $ | 44,245 | |
| | 23,597 | | | MetLife Inc. | | | 1,045,347 | |
| | 8,263 | | | Old Republic International Corp. | | | 193,024 | |
| | 1,224 | | | Primerica Inc. | | | 145,864 | |
| | 8,102 | | | Principal Financial Group Inc. | | | 431,188 | |
| | 17,113 | | | Progressive Corp. (The) | | | 1,297,165 | |
| | 11,908 | | | Prudential Financial Inc. | | | 953,712 | |
| | 1,871 | | | Reinsurance Group of America Inc., Class A Shares | | | 288,078 | |
| | 1,279 | | | RenaissanceRe Holdings Ltd. | | | 230,923 | |
| | 7,681 | | | Travelers Cos., Inc. (The) | | | 1,128,800 | |
| | 6,396 | | | Unum Group | | | 162,522 | |
| | 93 | | | White Mountains Insurance Group Ltd. | | | 98,645 | |
| | 3,784 | | | Willis Towers Watson PLC | | | 749,118 | |
| | 4,023 | | | WR Berkley Corp. | | | 286,639 | |
| | | | | | | | |
| | | | Total Insurance | | | 52,585,142 | |
| | | | | | | | |
|
| | Mortgage Real Estate Investment Trusts (REITs) — 0.1% | |
| | 16,051 | | | AGNC Investment Corp. | | | 238,678 | |
| | 42,333 | | | Annaly Capital Management Inc. | | | 351,364 | |
| | 4,886 | | | Chimera Investment Corp. | | | 93,176 | |
| | 13,603 | | | MFA Financial Inc. | | | 97,534 | |
| | 12,464 | | | New Residential Investment Corp. | | | 175,368 | |
| | 8,134 | | | Starwood Property Trust Inc. | | | 190,580 | |
| | 7,445 | | | Two Harbors Investment Corp. | | | 94,030 | |
| | | | | | | | |
| | | | Total Mortgage Real Estate Investment Trusts (REITs) | | | 1,240,730 | |
| | | | | | | | |
|
| | Thrifts & Mortgage Finance — 0.0% | |
| | 227 | | | LendingTree Inc.* | | | 70,390 | |
| | 9,463 | | | MGIC Investment Corp. | | | 119,707 | |
| | 13,285 | | | New York Community Bancorp Inc. | | | 153,309 | |
| | 1,501 | | | TFS Financial Corp. | | | 26,283 | |
| | | | | | | | |
| | | | Total Thrifts & Mortgage Finance | | | 369,689 | |
| | | | | | | | |
| | | | TOTAL FINANCIALS | | | 177,823,838 | |
| | | | | | | | |
|
| | HEALTH CARE — 15.3% | |
|
| | Biotechnology — 1.8% | |
| | 43,438 | | | AbbVie Inc. | | | 2,855,614 | |
| | 1,532 | | | Agios Pharmaceuticals Inc.*(a) | | | 58,139 | |
| | 47,015 | | | Alexion Pharmaceuticals Inc.* | | | 4,737,231 | |
| | 4,562 | | | Alkermes PLC* | | | 95,711 | |
| | 3,106 | | | Alnylam Pharmaceuticals Inc.* | | | 250,623 | |
| | 17,913 | | | Amgen Inc. | | | 3,737,010 | |
| | 5,680 | | | Biogen Inc.* | | | 1,248,180 | |
| | 22,892 | | | BioMarin Pharmaceutical Inc.* | | | 1,718,274 | |
| | 1,614 | | | Bluebird Bio Inc.* | | | 166,742 | |
| | 20,641 | | | Celgene Corp.* | | | 1,998,049 | |
| | 25,869 | | | Exact Sciences Corp.* | | | 3,084,102 | |
| | 8,751 | | | Exelixis Inc.* | | | 173,707 | |
| | 37,465 | | | Gilead Sciences Inc. | | | 2,380,526 | |
| | 5,212 | | | Incyte Corp.* | | | 426,446 | |
| | 3,791 | | | Ionis Pharmaceuticals Inc.* | | | 239,629 | |
| | 790 | | | Moderna Inc.*(a) | | | 12,427 | |
| | 2,650 | | | Neurocrine Biosciences Inc.* | | | 263,463 | |
| | 2,400 | | | Regeneron Pharmaceuticals Inc.* | | | 696,120 | |
| | 1,478 | | | Sage Therapeutics Inc.* | | | 253,728 | |
See Notes to Financial Statements.
40
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | HEALTH CARE — 15.3% — (continued) | |
|
| | Biotechnology — 1.8% — (continued) | |
| | 13,146 | | | Sarepta Therapeutics Inc.* | | $ | 1,185,112 | |
| | 3,187 | | | Seattle Genetics Inc.* | | | 231,504 | |
| | 1,250 | | | United Therapeutics Corp.* | | | 103,200 | |
| | 7,528 | | | Vertex Pharmaceuticals Inc.* | | | 1,355,191 | |
| | | | | | | | |
| | | | Total Biotechnology | | | 27,270,728 | |
| | | | | | | | |
|
| | Health Care Equipment & Supplies — 4.6% | |
| | 145,185 | | | Abbott Laboratories | | | 12,387,184 | |
| | 1,301 | | | ABIOMED Inc.* | | | 251,184 | |
| | 11,095 | | | Align Technology Inc.* | | | 2,031,605 | |
| | 139,488 | | | Baxter International Inc. | | | 12,267,970 | |
| | 7,863 | | | Becton Dickinson and Co. | | | 1,996,573 | |
| | 40,772 | | | Boston Scientific Corp.* | | | 1,742,188 | |
| | 1,084 | | | Cantel Medical Corp. | | | 99,652 | |
| | 1,427 | | | Cooper Cos., Inc. (The) | | | 442,013 | |
| | 18,696 | | | Danaher Corp. | | | 2,656,515 | |
| | 6,539 | | | DENTSPLY SIRONA Inc. | | | 341,009 | |
| | 2,656 | | | DexCom Inc.* | | | 455,796 | |
| | 16,391 | | | Edwards Lifesciences Corp.* | | | 3,636,179 | |
| | 1,979 | | | Hill-Rom Holdings Inc. | | | 213,099 | |
| | 7,812 | | | Hologic Inc.* | | | 385,678 | |
| | 551 | | | ICU Medical Inc.* | | | 89,124 | |
| | 14,605 | | | IDEXX Laboratories Inc.* | | | 4,231,653 | |
| | 1,710 | | | Insulet Corp.* | | | 263,631 | |
| | 2,077 | | | Integra LifeSciences Holdings Corp.* | | | 124,661 | |
| | 3,364 | | | Intuitive Surgical Inc.* | | | 1,720,148 | |
| | 1,381 | | | Masimo Corp.* | | | 211,638 | |
| | 197,501 | | | Medtronic PLC | | | 21,308,383 | |
| | 929 | | | Penumbra Inc.* | | | 135,216 | |
| | 4,164 | | | ResMed Inc. | | | 580,045 | |
| | 2,400 | | | STERIS PLC | | | 370,560 | |
| | 10,073 | | | Stryker Corp. | | | 2,222,708 | |
| | 1,354 | | | Teleflex Inc. | | | 492,748 | |
| | 2,667 | | | Varian Medical Systems Inc.* | | | 282,515 | |
| | 2,145 | | | West Pharmaceutical Services Inc. | | | 312,012 | |
| | 6,018 | | | Zimmer Biomet Holdings Inc. | | | 837,706 | |
| | | | | | | | |
| | | | Total Health Care Equipment & Supplies | | | 72,089,393 | |
| | | | | | | | |
|
| | Health Care Providers & Services — 3.5% | |
| | 2,622 | | | Acadia Healthcare Co., Inc.* | | | 69,378 | |
| | 4,452 | | | AmerisourceBergen Corp., Class A Shares | | | 366,266 | |
| | 7,557 | | | Anthem Inc. | | | 1,976,307 | |
| | 153,746 | | | Cardinal Health Inc. | | | 6,631,065 | |
| | 12,000 | | | Centene Corp.* | | | 559,440 | |
| | 446 | | | Chemed Corp. | | | 191,526 | |
| | 52,339 | | | Cigna Corp. | | | 8,058,636 | |
| | 2,733 | | | Covetrus Inc.*(a) | | | 36,322 | |
| | 164,227 | | | CVS Health Corp. | | | 10,004,709 | |
| | 3,766 | | | DaVita Inc.* | | | 212,289 | |
| | 2,899 | | | Encompass Health Corp. | | | 176,230 | |
| | 1,028 | | | Guardant Health Inc.* | | | 89,981 | |
| | 68,938 | | | HCA Healthcare Inc. | | | 8,286,348 | |
| | 4,360 | | | Henry Schein Inc.* | | | 268,663 | |
| | 3,961 | | | Humana Inc. | | | 1,121,795 | |
| | 2,878 | | | Laboratory Corp. of America Holdings* | | | 482,238 | |
See Notes to Financial Statements.
41
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | HEALTH CARE — 15.3% — (continued) | |
|
| | Health Care Providers & Services — 3.5% — (continued) | |
| | 5,627 | | | McKesson Corp. | | $ | 778,045 | |
| | 2,516 | | | MEDNAX Inc.* | | | 53,037 | |
| | 1,846 | | | Molina Healthcare Inc.* | | | 240,497 | |
| | 1,582 | | | Premier Inc., Class A Shares* | | | 55,781 | |
| | 3,952 | | | Quest Diagnostics Inc. | | | 404,566 | |
| | 57,314 | | | UnitedHealth Group Inc. | | | 13,411,476 | |
| | 2,368 | | | Universal Health Services Inc., Class B Shares | | | 342,365 | |
| | 1,469 | | | WellCare Health Plans Inc.* | | | 397,717 | |
| | | | | | | | |
| | | | Total Health Care Providers & Services | | | 54,214,677 | |
| | | | | | | | |
|
| | Health Care Technology — 0.1% | |
| | 9,497 | | | Cerner Corp. | | | 654,438 | |
| | 1,746 | | | Medidata Solutions Inc.* | | | 159,899 | |
| | 3,734 | | | Veeva Systems Inc., Class A Shares* | | | 598,859 | |
| | | | | | | | |
| | | | Total Health Care Technology | | | 1,413,196 | |
| | | | | | | | |
|
| | Life Sciences Tools & Services — 0.9% | |
| | 9,318 | | | Agilent Technologies Inc. | | | 662,603 | |
| | 623 | | | Bio-Rad Laboratories Inc., Class A Shares* | | | 210,393 | |
| | 1,110 | | | Bio-Techne Corp. | | | 212,643 | |
| | 3,043 | | | Bruker Corp. | | | 131,366 | |
| | 1,412 | | | Charles River Laboratories International Inc.* | | | 185,254 | |
| | 14,095 | | | Illumina Inc.* | | | 3,965,487 | |
| | 5,268 | | | IQVIA Holdings Inc.* | | | 817,330 | |
| | 717 | | | Mettler-Toledo International Inc.* | | | 470,919 | |
| | 3,266 | | | PerkinElmer Inc. | | | 270,098 | |
| | 1,697 | | | PRA Health Sciences Inc.* | | | 167,732 | |
| | 6,553 | | | QIAGEN NV* | | | 227,324 | |
| | 23,522 | | | Thermo Fisher Scientific Inc. | | | 6,752,225 | |
| | 2,020 | | | Waters Corp.* | | | 428,018 | |
| | | | | | | | |
| | | | Total Life Sciences Tools & Services | | | 14,501,392 | |
| | | | | | | | |
|
| | Pharmaceuticals — 4.4% | |
| | 9,632 | | | Allergan PLC | | | 1,538,423 | |
| | 107,400 | | | Bristol-Myers Squibb Co. | | | 5,162,718 | |
| | 4,294 | | | Catalent Inc.* | | | 226,466 | |
| | 208,659 | | | Elanco Animal Health Inc.* | | | 5,429,307 | |
| | 25,263 | | | Eli Lilly & Co. | | | 2,853,961 | |
| | 5,413 | | | Horizon Therapeutics PLC* | | | 149,561 | |
| | 1,623 | | | Jazz Pharmaceuticals PLC* | | | 207,988 | |
| | 151,836 | | | Johnson & Johnson | | | 19,489,669 | |
| | 174,265 | | | Merck & Co., Inc. | | | 15,068,695 | |
| | 15,086 | | | Mylan NV* | | | 293,724 | |
| | 4,870 | | | Nektar Therapeutics, Class A Shares* | | | 85,566 | |
| | 3,736 | | | Perrigo Co. PLC | | | 174,770 | |
| | 336,229 | | | Pfizer Inc. | | | 11,952,941 | |
| | 43,343 | | | Zoetis Inc., Class A Shares | | | 5,479,422 | |
| | | | | | | | |
| | | | Total Pharmaceuticals | | | 68,113,211 | |
| | | | | | | | |
| | | | TOTAL HEALTH CARE | | | 237,602,597 | |
| | | | | | | | |
|
| | INDUSTRIALS — 8.8% | |
|
| | Aerospace & Defense — 2.3% | |
| | 11,643 | | | Arconic Inc. | | | 300,855 | |
| | 15,547 | | | Boeing Co. (The) | | | 5,660,507 | |
| | 2,786 | | | BWX Technologies Inc. | | | 164,931 | |
See Notes to Financial Statements.
42
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | INDUSTRIALS — 8.8% — (continued) | |
|
| | Aerospace & Defense — 2.3% — (continued) | |
| | 1,260 | | | Curtiss-Wright Corp. | | $ | 154,526 | |
| | 7,484 | | | General Dynamics Corp. | | | 1,431,465 | |
| | 1,179 | | | HEICO Corp. | | | 170,566 | |
| | 2,298 | | | HEICO Corp., Class A Shares | | | 253,607 | |
| | 2,510 | | | Hexcel Corp. | | | 211,217 | |
| | 1,215 | | | Huntington Ingalls Industries Inc. | | | 253,935 | |
| | 6,482 | | | L3Harris Technologies Inc. | | | 1,370,360 | |
| | 7,263 | | | Lockheed Martin Corp. | | | 2,789,791 | |
| | 26,748 | | | Northrop Grumman Corp. | | | 9,839,787 | |
| | 48,614 | | | Raytheon Co. | | | 9,009,146 | |
| | 2,994 | | | Spirit AeroSystems Holdings Inc., Class A Shares | | | 241,316 | |
| | 1,049 | | | Teledyne Technologies Inc.* | | | 323,711 | |
| | 6,945 | | | Textron Inc. | | | 312,525 | |
| | 1,450 | | | TransDigm Group Inc. | | | 780,564 | |
| | 23,823 | | | United Technologies Corp. | | | 3,102,708 | |
| | | | | | | | |
| | | | Total Aerospace & Defense | | | 36,371,517 | |
| | | | | | | | |
|
| | Air Freight & Logistics — 0.7% | |
| | 17,069 | | | CH Robinson Worldwide Inc. | | | 1,442,160 | |
| | 5,080 | | | Expeditors International of Washington Inc. | | | 361,188 | |
| | 7,079 | | | FedEx Corp. | | | 1,122,800 | |
| | 45,830 | | | United Parcel Service Inc., Class B Shares | | | 5,438,188 | |
| | 45,958 | | | XPO Logistics Inc.* | | | 3,256,584 | |
| | | | | | | | |
| | | | Total Air Freight & Logistics | | | 11,620,920 | |
| | | | | | | | |
|
| | Airlines — 0.2% | |
| | 3,643 | | | Alaska Air Group Inc. | | | 217,560 | |
| | 11,921 | | | American Airlines Group Inc. | | | 313,642 | |
| | 947 | | | Copa Holdings SA, Class A Shares(a) | | | 97,712 | |
| | 17,105 | | | Delta Air Lines Inc. | | | 989,695 | |
| | 8,804 | | | JetBlue Airways Corp.* | | | 152,485 | |
| | 14,322 | | | Southwest Airlines Co. | | | 749,327 | |
| | 7,064 | | | United Airlines Holdings Inc.* | | | 595,566 | |
| | | | | | | | |
| | | | Total Airlines | | | 3,115,987 | |
| | | | | | | | |
|
| | Building Products — 0.6% | |
| | 2,705 | | | Allegion PLC | | | 260,410 | |
| | 3,995 | | | AO Smith Corp. | | | 185,847 | |
| | 65,855 | | | Armstrong World Industries Inc. | | | 6,287,177 | |
| | 4,130 | | | Fortune Brands Home & Security Inc. | | | 210,878 | |
| | 26,371 | | | Johnson Controls International PLC | | | 1,125,778 | |
| | 1,052 | | | Lennox International Inc. | | | 266,977 | |
| | 8,580 | | | Masco Corp. | | | 349,463 | |
| | 3,119 | | | Owens Corning | | | 178,906 | |
| | 3,836 | | | Resideo Technologies Inc.* | | | 52,860 | |
| | | | | | | | |
| | | | Total Building Products | | | 8,918,296 | |
| | | | | | | | |
|
| | Commercial Services & Supplies — 0.8% | |
| | 3,641 | | | ADT Inc.(a) | | | 17,331 | |
| | 2,505 | | | Cintas Corp. | | | 660,819 | |
| | 1,510 | | | Clean Harbors Inc.* | | | 111,060 | |
| | 5,794 | | | Copart Inc.* | | | 436,810 | |
| | 3,800 | | | IAA Inc.* | | | 185,630 | |
| | 3,800 | | | KAR Auction Services Inc. | | | 100,928 | |
| | 6,315 | | | Republic Services Inc., Class A Shares | | | 563,614 | |
See Notes to Financial Statements.
43
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | INDUSTRIALS — 8.8% — (continued) | |
|
| | Commercial Services & Supplies — 0.8% — (continued) | |
| | 4,293 | | | Rollins Inc. | | $ | 140,853 | |
| | 2,433 | | | Stericycle Inc.* | | | 109,217 | |
| | 84,673 | | | Waste Management Inc. | | | 10,105,723 | |
| | | | | | | | |
| | | | Total Commercial Services & Supplies | | | 12,431,985 | |
| | | | | | | | |
|
| | Construction & Engineering — 0.3% | |
| | 54,907 | | | AECOM* | | | 1,948,100 | |
| | 4,297 | | | Fluor Corp. | | | 75,928 | |
| | 3,864 | | | Jacobs Engineering Group Inc. | | | 343,355 | |
| | 58,516 | | | Quanta Services Inc. | | | 1,983,692 | |
| | 635 | | | Valmont Industries Inc. | | | 86,043 | |
| | | | | | | | |
| | | | Total Construction & Engineering | | | 4,437,118 | |
| | | | | | | | |
|
| | Electrical Equipment — 0.3% | |
| | 1,160 | | | Acuity Brands Inc. | | | 145,475 | |
| | 6,735 | | | AMETEK Inc. | | | 578,738 | |
| | 12,401 | | | Eaton Corp. PLC | | | 1,001,009 | |
| | 17,980 | | | Emerson Electric Co. | | | 1,071,428 | |
| | 1,240 | | | GrafTech International Ltd. | | | 15,116 | |
| | 1,590 | | | Hubbell Inc., Class B Shares | | | 208,513 | |
| | 4,861 | | | nVent Electric PLC | | | 98,484 | |
| | 1,261 | | | Regal Beloit Corp. | | | 89,405 | |
| | 3,458 | | | Rockwell Automation Inc. | | | 528,348 | |
| | 4,709 | | | Sensata Technologies Holding PLC* | | | 214,636 | |
| | | | | | | | |
| | | | Total Electrical Equipment | | | 3,951,152 | |
| | | | | | | | |
|
| | Industrial Conglomerates — 0.8% | |
| | 16,433 | | | 3M Co. | | | 2,657,545 | |
| | 1,627 | | | Carlisle Cos., Inc. | | | 235,850 | |
| | 254,158 | | | General Electric Co. | | | 2,096,803 | |
| | 38,214 | | | Honeywell International Inc. | | | 6,290,789 | |
| | 2,995 | | | Roper Technologies Inc. | | | 1,098,446 | |
| | | | | | | | |
| | | | Total Industrial Conglomerates | | | 12,379,433 | |
| | | | | | | | |
|
| | Machinery — 0.9% | |
| | 1,882 | | | AGCO Corp. | | | 130,084 | |
| | 3,176 | | | Allison Transmission Holdings Inc. | | | 141,110 | |
| | 24,909 | | | Caterpillar Inc. | | | 2,964,171 | |
| | 2,563 | | | Colfax Corp.*(a) | | | 69,714 | |
| | 1,502 | | | Crane Co. | | | 114,512 | |
| | 4,400 | | | Cummins Inc. | | | 656,788 | |
| | 9,343 | | | Deere & Co. | | | 1,447,324 | |
| | 3,743 | | | Donaldson Co., Inc. | | | 181,011 | |
| | 4,194 | | | Dover Corp. | | | 393,145 | |
| | 3,843 | | | Flowserve Corp. | | | 164,019 | |
| | 8,664 | | | Fortive Corp. | | | 614,278 | |
| | 4,019 | | | Gardner Denver Holdings Inc.* | | | 115,265 | |
| | 1,535 | | | Gates Industrial Corp. PLC* | | | 13,354 | |
| | 4,836 | | | Graco Inc. | | | 220,376 | |
| | 2,239 | | | IDEX Corp. | | | 368,786 | |
| | 9,527 | | | Illinois Tool Works Inc. | | | 1,427,716 | |
| | 7,065 | | | Ingersoll-Rand PLC | | | 855,501 | |
| | 2,637 | | | ITT Inc. | | | 150,098 | |
| | 1,784 | | | Lincoln Electric Holdings Inc. | | | 147,287 | |
| | 1,624 | | | Middleby Corp. (The)* | | | 178,088 | |
| | 1,696 | | | Nordson Corp. | | | 230,588 | |
See Notes to Financial Statements.
44
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | INDUSTRIALS — 8.8% — (continued) | |
|
| | Machinery — 0.9% — (continued) | |
| | 2,057 | | | Oshkosh Corp. | | $ | 144,545 | |
| | 9,951 | | | PACCAR Inc. | | | 652,388 | |
| | 3,793 | | | Parker-Hannifin Corp. | | | 628,766 | |
| | 4,761 | | | Pentair PLC | | | 171,015 | |
| | 1,626 | | | Snap-on Inc. | | | 241,754 | |
| | 4,450 | | | Stanley Black & Decker Inc. | | | 591,227 | |
| | 1,987 | | | Timken Co. (The) | | | 79,838 | |
| | 3,100 | | | Toro Co. (The) | | | 223,231 | |
| | 3,244 | | | Trinity Industries Inc. | | | 56,673 | |
| | 1,498 | | | WABCO Holdings Inc.* | | | 199,998 | |
| | 4,679 | | | Wabtec Corp. | | | 323,834 | |
| | 1,572 | | | Woodward Inc. | | | 169,540 | |
| | 5,306 | | | Xylem Inc. | | | 406,493 | |
| | | | | | | | |
| | | | Total Machinery | | | 14,472,517 | |
| | | | | | | | |
|
| | Marine — 0.0% | |
| | 1,791 | | | Kirby Corp.* | | | 131,800 | |
| | | | | | | | |
|
| | Professional Services — 0.4% | |
| | 1,066 | | | CoStar Group Inc.* | | | 655,451 | |
| | 3,529 | | | Equifax Inc. | | | 516,575 | |
| | 46,514 | | | IHS Markit Ltd.* | | | 3,051,784 | |
| | 1,664 | | | ManpowerGroup Inc. | | | 136,015 | |
| | 10,423 | | | Nielsen Holdings PLC | | | 216,381 | |
| | 3,340 | | | Robert Half International Inc. | | | 178,590 | |
| | 5,487 | | | TransUnion | | | 458,988 | |
| | 4,683 | | | Verisk Analytics Inc., Class A Shares | | | 756,492 | |
| | | | | | | | |
| | | | Total Professional Services | | | 5,970,276 | |
| | | | | | | | |
|
| | Road & Rail — 0.7% | |
| | 212 | | | AMERCO | | | 74,543 | |
| | 31,481 | | | Avis Budget Group Inc.* | | | 779,784 | |
| | 22,650 | | | CSX Corp. | | | 1,518,003 | |
| | 1,641 | | | Genesee & Wyoming Inc., Class A Shares* | | | 181,954 | |
| | 38,620 | | | Hertz Global Holdings Inc.* | | | 467,688 | |
| | 2,543 | | | JB Hunt Transport Services Inc. | | | 274,746 | |
| | 2,961 | | | Kansas City Southern | | | 372,494 | |
| | 3,825 | | | Knight-Swift Transportation Holdings Inc., Class A Shares | | | 130,586 | |
| | 1,220 | | | Landstar System Inc. | | | 136,054 | |
| | 947 | | | Lyft Inc., Class A Shares* | | | 46,375 | |
| | 7,810 | | | Norfolk Southern Corp. | | | 1,359,331 | |
| | 1,890 | | | Old Dominion Freight Line Inc. | | | 309,506 | |
| | 1,485 | | | Ryder System Inc. | | | 71,532 | |
| | 1,355 | | | Schneider National Inc., Class B Shares | | | 26,341 | |
| | 51,222 | | | Uber Technologies Inc.*(a) | | | 1,668,301 | |
| | 20,799 | | | Union Pacific Corp. | | | 3,368,606 | |
| | | | | | | | |
| | | | Total Road & Rail | | | 10,785,844 | |
| | | | | | | | |
|
| | Trading Companies & Distributors — 0.8% | |
| | 61,770 | | | AerCap Holdings NV* | | | 3,312,107 | |
| | 47,064 | | | Air Lease Corp., Class A Shares | | | 1,955,039 | |
| | 16,943 | | | Fastenal Co. | | | 518,795 | |
| | 5,070 | | | HD Supply Holdings Inc.* | | | 197,274 | |
| | 1,183 | | | MSC Industrial Direct Co., Inc., Class A Shares | | | 79,994 | |
| | 32,022 | | | United Rentals Inc.* | | | 3,604,396 | |
| | 4,471 | | | Univar Inc.* | | | 86,514 | |
See Notes to Financial Statements.
45
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | INDUSTRIALS — 8.8% — (continued) | |
|
| | Trading Companies & Distributors — 0.8% — (continued) | |
| | 967 | | | Watsco Inc. | | $ | 158,153 | |
| | 1,424 | | | WESCO International Inc.* | | | 64,194 | |
| | 9,947 | | | WW Grainger Inc. | | | 2,721,996 | |
| | | | | | | | |
| | | | Total Trading Companies & Distributors | | | 12,698,462 | |
| | | | | | | | |
|
| | Transportation Infrastructure — 0.0% | |
| | 2,173 | | | Macquarie Infrastructure Corp. | | | 82,183 | |
| | | | | | | | |
| | | | TOTAL INDUSTRIALS | | | 137,367,490 | |
| | | | | | | | |
|
| | INFORMATION TECHNOLOGY — 21.4% | |
|
| | Communications Equipment — 2.1% | |
| | 1,739 | | | Arista Networks Inc.* | | | 394,092 | |
| | 4,561 | | | Ciena Corp.* | | | 186,682 | |
| | 503,541 | | | Cisco Systems Inc. | | | 23,570,754 | |
| | 66,015 | | | CommScope Holding Co., Inc.* | | | 709,001 | |
| | 1,404 | | | EchoStar Corp., Class A Shares* | | | 59,319 | |
| | 1,770 | | | F5 Networks Inc.* | | | 227,852 | |
| | 10,017 | | | Juniper Networks Inc. | | | 231,994 | |
| | 35,040 | | | Motorola Solutions Inc. | | | 6,339,087 | |
| | 455 | | | Ubiquiti Inc. | | | 50,282 | |
| | 1,592 | | | ViaSat Inc.* | | | 126,293 | |
| | | | | | | | |
| | | | Total Communications Equipment | | | 31,895,356 | |
| | | | | | | | |
|
| | Electronic Equipment, Instruments & Components — 0.6% | |
| | 8,556 | | | Amphenol Corp., Class A Shares | | | 748,992 | |
| | 32,931 | | | Arrow Electronics Inc.* | | | 2,278,825 | |
| | 3,120 | | | Avnet Inc. | | | 130,697 | |
| | 4,249 | | | CDW Corp. | | | 490,760 | |
| | 4,632 | | | Cognex Corp. | | | 208,811 | |
| | 732 | | | Coherent Inc.* | | | 106,111 | |
| | 22,658 | | | Corning Inc. | | | 631,025 | |
| | 1,889 | | | Dolby Laboratories Inc., Class A Shares | | | 116,287 | |
| | 173,342 | | | Flex Ltd.* | | | 1,669,283 | |
| | 4,031 | | | FLIR Systems Inc. | | | 198,607 | |
| | 1,045 | | | IPG Photonics Corp.* | | | 129,298 | |
| | 4,410 | | | Jabil Inc. | | | 127,052 | |
| | 5,501 | | | Keysight Technologies Inc.* | | | 532,827 | |
| | 730 | | | Littelfuse Inc. | | | 113,931 | |
| | 3,754 | | | National Instruments Corp. | | | 157,668 | |
| | 1,163 | | | SYNNEX Corp. | | | 97,471 | |
| | 12,933 | | | Tech Data Corp.* | | | 1,199,277 | |
| | 7,149 | | | Trimble Inc.* | | | 268,231 | |
| | 1,568 | | | Zebra Technologies Corp., Class A Shares* | | | 321,487 | |
| | | | | | | | |
| | | | Total Electronic Equipment, Instruments & Components | | | 9,526,640 | |
| | | | | | | | |
|
| | IT Services — 4.8% | |
| | 18,722 | | | Accenture PLC, Class A Shares | | | 3,710,139 | |
| | 37,294 | | | Akamai Technologies Inc.* | | | 3,324,014 | |
| | 21,604 | | | Alliance Data Systems Corp. | | | 2,656,212 | |
| | 4,026 | | | Amdocs Ltd. | | | 260,643 | |
| | 12,779 | | | Automatic Data Processing Inc. | | | 2,170,385 | |
| | 4,273 | | | Black Knight Inc.* | | | 265,994 | |
| | 4,039 | | | Booz Allen Hamilton Holding Corp., Class A Shares | | | 304,985 | |
| | 3,424 | | | Broadridge Financial Solutions Inc. | | | 443,203 | |
| | 668 | | | CACI International Inc., Class A Shares* | | | 148,490 | |
See Notes to Financial Statements.
46
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | INFORMATION TECHNOLOGY — 21.4% — (continued) | |
|
| | IT Services — 4.8% — (continued) | |
| | 16,651 | | | Cognizant Technology Solutions Corp., Class A Shares | | $ | 1,022,205 | |
| | 2,331 | | | CoreLogic Inc.* | | | 112,820 | |
| | 7,862 | | | DXC Technology Co. | | | 261,176 | |
| | 1,514 | | | EPAM Systems Inc.* | | | 289,674 | |
| | 1,457 | | | Euronet Worldwide Inc.* | | | 223,125 | |
| | 28,992 | | | Fidelity National Information Services Inc. | | | 3,949,290 | |
| | 56,846 | | | Fiserv Inc.* | | | 6,079,111 | |
| | 2,501 | | | FleetCor Technologies Inc.* | | | 746,298 | |
| | 2,588 | | | Gartner Inc.* | | | 345,938 | |
| | 4,402 | | | Genpact Ltd. | | | 180,306 | |
| | 4,594 | | | Global Payments Inc. | | | 762,512 | |
| | 5,128 | | | GoDaddy Inc., Class A Shares* | | | 324,807 | |
| | 26,053 | | | International Business Machines Corp. | | | 3,530,963 | |
| | 2,275 | | | Jack Henry & Associates Inc. | | | 329,784 | |
| | 3,992 | | | Leidos Holdings Inc. | | | 348,741 | |
| | 26,368 | | | MasterCard Inc., Class A Shares | | | 7,419,164 | |
| | 719 | | | MongoDB Inc., Class A Shares*(a) | | | 109,511 | |
| | 2,994 | | | Okta Inc., Class A Shares* | | | 378,741 | |
| | 9,434 | | | Paychex Inc. | | | 770,758 | |
| | 63,371 | | | PayPal Holdings Inc.* | | | 6,910,608 | |
| | 156,117 | | | Sabre Corp. | | | 3,690,606 | |
| | 49,834 | | | Square Inc., Class A Shares* | | | 3,081,735 | |
| | 1,129 | | | Switch Inc., Class A Shares | | | 18,516 | |
| | 5,129 | | | Total System Services Inc. | | | 688,414 | |
| | 3,384 | | | Twilio Inc., Class A Shares* | | | 441,510 | |
| | 3,083 | | | VeriSign Inc.* | | | 628,470 | |
| | 102,221 | | | Visa Inc., Class A Shares | | | 18,483,601 | |
| | 12,750 | | | Western Union Co. (The) | | | 282,030 | |
| | 1,228 | | | WEX Inc.* | | | 251,187 | |
| | | | | | | | |
| | | | Total IT Services | | | 74,945,666 | |
| | | | | | | | |
|
| | Semiconductors & Semiconductor Equipment — 5.2% | |
| | 29,401 | | | Advanced Micro Devices Inc.* | | | 924,661 | |
| | 73,139 | | | Analog Devices Inc. | | | 8,032,856 | |
| | 88,757 | | | Applied Materials Inc. | | | 4,262,111 | |
| | 56,450 | | | Broadcom Inc. | | | 15,955,028 | |
| | 3,104 | | | Cree Inc.* | | | 133,255 | |
| | 10,661 | | | Cypress Semiconductor Corp. | | | 245,310 | |
| | 3,809 | | | Entegris Inc. | | | 163,139 | |
| | 2,484 | | | First Solar Inc.* | | | 154,182 | |
| | 267,218 | | | Intel Corp. | | | 12,668,805 | |
| | 4,745 | | | KLA Corp. | | | 701,786 | |
| | 4,394 | | | Lam Research Corp. | | | 924,981 | |
| | 19,228 | | | Marvell Technology Group Ltd. | | | 460,895 | |
| | 8,041 | | | Maxim Integrated Products Inc. | | | 438,556 | |
| | 79,680 | | | Microchip Technology Inc. | | | 6,878,774 | |
| | 32,478 | | | Micron Technology Inc.* | | | 1,470,279 | |
| | 1,547 | | | MKS Instruments Inc. | | | 121,115 | |
| | 1,199 | | | Monolithic Power Systems Inc. | | | 180,521 | |
| | 47,826 | | | NVIDIA Corp. | | | 8,011,333 | |
| | 11,784 | | | ON Semiconductor Corp.* | | | 209,755 | |
| | 3,632 | | | Qorvo Inc.* | | | 259,434 | |
| | 73,379 | | | QUALCOMM Inc. | | | 5,706,685 | |
| | 82,990 | | | Skyworks Solutions Inc. | | | 6,246,657 | |
| | 5,073 | | | Teradyne Inc. | | | 268,717 | |
See Notes to Financial Statements.
47
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | INFORMATION TECHNOLOGY — 21.4% — (continued) | |
|
| | Semiconductors & Semiconductor Equipment — 5.2% — (continued) | |
| | 46,749 | | | Texas Instruments Inc. | | $ | 5,785,189 | |
| | 1,250 | | | Universal Display Corp. | | | 256,838 | |
| | 3,279 | | | Versum Materials Inc. | | | 170,508 | |
| | 7,458 | | | Xilinx Inc. | | | 776,080 | |
| | | | | | | | |
| | | | Total Semiconductors & Semiconductor Equipment | | | 81,407,450 | |
| | | | | | | | |
|
| | Software — 6.3% | |
| | 1,658 | | | 2U Inc.* | | | 29,645 | |
| | 39,453 | | | Adobe Inc.* | | | 11,224,773 | |
| | 1,361 | | | Alteryx Inc., Class A Shares* | | | 193,874 | |
| | 2,440 | | | Anaplan Inc.* | | | 132,565 | |
| | 2,452 | | | ANSYS Inc.* | | | 506,485 | |
| | 2,042 | | | Aspen Technology Inc.* | | | 271,994 | |
| | 3,087 | | | Atlassian Corp. PLC, Class A Shares* | | | 415,232 | |
| | 6,466 | | | Autodesk Inc.* | | | 923,474 | |
| | 1,278 | | | Avalara Inc.* | | | 107,787 | |
| | 8,159 | | | Cadence Design Systems Inc.* | | | 558,728 | |
| | 3,566 | | | CDK Global Inc. | | | 153,909 | |
| | 1,780 | | | Ceridian HCM Holding Inc.* | | | 102,831 | |
| | 3,680 | | | Citrix Systems Inc. | | | 342,166 | |
| | 1,793 | | | Coupa Software Inc.* | | | 249,101 | |
| | 4,560 | | | DocuSign Inc., Class A Shares* | | | 212,906 | |
| | 6,191 | | | Dropbox Inc., Class A Shares* | | | 110,819 | |
| | 1,103 | | | Elastic NV* | | | 96,943 | |
| | 840 | | | Fair Isaac Corp.* | | | 296,285 | |
| | 5,842 | | | FireEye Inc.* | | | 78,458 | |
| | 4,199 | | | Fortinet Inc.* | | | 332,477 | |
| | 2,416 | | | Guidewire Software Inc.* | | | 232,371 | |
| | 1,187 | | | HubSpot Inc.* | | | 237,020 | |
| | 7,310 | | | Intuit Inc. | | | 2,107,912 | |
| | 1,467 | | | LogMeIn Inc. | | | 98,054 | |
| | 1,906 | | | Manhattan Associates Inc.* | | | 157,493 | |
| | 270,431 | | | Microsoft Corp. | | | 37,281,618 | |
| | 1,382 | | | New Relic Inc.* | | | 79,244 | |
| | 8,656 | | | Nuance Communications Inc.* | | | 145,507 | |
| | 41,921 | | | Nutanix Inc., Class A Shares* | | | 1,015,746 | |
| | 266,473 | | | Oracle Corp. | | | 13,872,584 | |
| | 333 | | | Pagerduty Inc.*(a) | | | 13,077 | |
| | 12,553 | | | Palo Alto Networks Inc.* | | | 2,556,042 | |
| | 1,458 | | | Paycom Software Inc.* | | | 364,675 | |
| | 931 | | | Paylocity Holding Corp.* | | | 101,684 | |
| | 1,128 | | | Pegasystems Inc. | | | 79,129 | |
| | 1,621 | | | Pluralsight Inc., Class A Shares* | | | 26,098 | |
| | 1,620 | | | Proofpoint Inc.* | | | 184,048 | |
| | 3,047 | | | PTC Inc.* | | | 199,487 | |
| | 2,167 | | | RealPage Inc.* | | | 137,973 | |
| | 2,069 | | | RingCentral Inc., Class A Shares* | | | 291,998 | |
| | 46,080 | | | salesforce.com Inc.* | | | 7,191,706 | |
| | 17,887 | | | ServiceNow Inc.* | | | 4,683,532 | |
| | 2,552 | | | Smartsheet Inc., Class A Shares* | | | 124,027 | |
| | 760 | | | SolarWinds Corp.* | | | 12,935 | |
| | 41,607 | | | Splunk Inc.* | | | 4,652,495 | |
| | 6,447 | | | SS&C Technologies Holdings Inc. | | | 300,495 | |
| | 17,563 | | | Symantec Corp. | | | 408,340 | |
| | 4,371 | | | Synopsys Inc.* | | | 619,852 | |
See Notes to Financial Statements.
48
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | INFORMATION TECHNOLOGY — 21.4% — (continued) | |
|
| | Software — 6.3% — (continued) | |
| | 3,416 | | | Teradata Corp.* | | $ | 105,452 | |
| | 1,111 | | | Trade Desk Inc. (The), Class A Shares* | | | 273,050 | |
| | 1,117 | | | Tyler Technologies Inc.* | | | 286,555 | |
| | 12,018 | | | VMware Inc., Class A Shares | | | 1,699,826 | |
| | 4,681 | | | Workday Inc., Class A Shares* | | | 829,848 | |
| | 3,165 | | | Zendesk Inc.* | | | 253,833 | |
| | 1,844 | | | Zscaler Inc.* | | | 126,757 | |
| | | | | | | | |
| | | | Total Software | | | 97,090,915 | |
| | | | | | | | |
|
| | Technology Hardware, Storage & Peripherals — 2.4% | |
| | 149,342 | | | Apple Inc. | | | 31,173,649 | |
| | 4,488 | | | Dell Technologies Inc., Class C Shares* | | | 231,267 | |
| | 40,251 | | | Hewlett Packard Enterprise Co. | | | 556,269 | |
| | 45,201 | | | HP Inc. | | | 826,726 | |
| | 3,550 | | | NCR Corp.* | | | 111,860 | |
| | 7,326 | | | NetApp Inc. | | | 352,088 | |
| | 6,763 | | | Pure Storage Inc., Class A Shares* | | | 110,102 | |
| | 72,775 | | | Western Digital Corp. | | | 4,167,824 | |
| | 5,458 | | | Xerox Holdings Corp. | | | 158,227 | |
| | | | | | | | |
| | | | Total Technology Hardware, Storage & Peripherals | | | 37,688,012 | |
| | | | | | | | |
| | | | TOTAL INFORMATION TECHNOLOGY | | | 332,554,039 | |
| | | | | | | | |
|
| | MATERIALS — 3.3% | |
|
| | Chemicals — 2.1% | |
| | 6,461 | | | Air Products & Chemicals Inc. | | | 1,459,669 | |
| | 3,084 | | | Albemarle Corp.(a) | | | 190,375 | |
| | 1,827 | | | Ashland Global Holdings Inc. | | | 133,810 | |
| | 6,037 | | | Axalta Coating Systems Ltd.* | | | 174,349 | |
| | 1,691 | | | Cabot Corp. | | | 67,640 | |
| | 50,552 | | | Celanese Corp., Class A Shares | | | 5,731,080 | |
| | 6,474 | | | CF Industries Holdings Inc. | | | 311,982 | |
| | 4,838 | | | Chemours Co. (The) | | | 68,554 | |
| | 22,014 | | | Corteva Inc. | | | 645,450 | |
| | 21,989 | | | Dow Inc. | | | 937,391 | |
| | 121,593 | | | DuPont de Nemours Inc. | | | 8,259,813 | |
| | 4,059 | | | Eastman Chemical Co. | | | 265,337 | |
| | 20,733 | | | Ecolab Inc. | | | 4,277,425 | |
| | 6,679 | | | Element Solutions Inc.* | | | 62,315 | |
| | 3,892 | | | FMC Corp. | | | 335,996 | |
| | 6,701 | | | Huntsman Corp. | | | 133,484 | |
| | 3,152 | | | International Flavors & Fragrances Inc. | | | 345,932 | |
| | 27,660 | | | Linde PLC | | | 5,225,251 | |
| | 8,621 | | | LyondellBasell Industries NV, Class A Shares | | | 667,093 | |
| | 10,423 | | | Mosaic Co. (The) | | | 191,679 | |
| | 203 | | | NewMarket Corp. | | | 96,374 | |
| | 4,873 | | | Olin Corp. | | | 82,744 | |
| | 6,923 | | | PPG Industries Inc. | | | 766,999 | |
| | 3,822 | | | RPM International Inc. | | | 258,635 | |
| | 1,020 | | | ScottsMiracle-Gro Co. (The) | | | 108,446 | |
| | 2,434 | | | Sherwin-Williams Co. (The) | | | 1,282,110 | |
| | 5,523 | | | Valvoline Inc. | | | 124,820 | |
| | 1,035 | | | Westlake Chemical Corp. | | | 60,641 | |
| | 1,692 | | | WR Grace & Co. | | | 114,565 | |
| | | | | | | | |
| | | | Total Chemicals | | | 32,379,959 | |
| | | | | | | | |
See Notes to Financial Statements.
49
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | MATERIALS — 3.3% — (continued) | |
|
| | Construction Materials — 0.6% | |
| | 1,336 | | | Eagle Materials Inc. | | $ | 112,478 | |
| | 1,831 | | | Martin Marietta Materials Inc. | | | 464,653 | |
| | 59,603 | | | Vulcan Materials Co. | | | 8,418,923 | |
| | | | | | | | |
| | | | Total Construction Materials | | | 8,996,054 | |
| | | | | | | | |
|
| | Containers & Packaging — 0.4% | |
| | 1,870 | | | AptarGroup Inc. | | | 228,551 | |
| | 2,470 | | | Avery Dennison Corp. | | | 285,458 | |
| | 9,693 | | | Ball Corp. | | | 779,414 | |
| | 3,850 | | | Berry Global Group Inc.* | | | 150,689 | |
| | 48,734 | | | Crown Holdings Inc.* | | | 3,208,647 | |
| | 8,709 | | | Graphic Packaging Holding Co. | | | 120,271 | |
| | 11,653 | | | International Paper Co. | | | 455,632 | |
| | 56,938 | | | Owens-Illinois Inc. | | | 579,059 | |
| | 2,656 | | | Packaging Corp. of America | | | 267,141 | |
| | 4,602 | | | Sealed Air Corp. | | | 183,252 | |
| | 2,343 | | | Silgan Holdings Inc. | | | 69,728 | |
| | 2,921 | | | Sonoco Products Co. | | | 167,081 | |
| | 7,462 | | | WestRock Co. | | | 255,051 | |
| | | | | | | | |
| | | | Total Containers & Packaging | | | 6,749,974 | |
| | | | | | | | |
|
| | Metals & Mining — 0.2% | |
| | 5,502 | | | Alcoa Corp.* | | | 98,651 | |
| | 42,498 | | | Freeport-McMoRan Inc. | | | 390,557 | |
| | 23,992 | | | Newmont Goldcorp Corp. | | | 957,041 | |
| | 8,940 | | | Nucor Corp. | | | 437,881 | |
| | 1,887 | | | Reliance Steel & Aluminum Co. | | | 183,473 | |
| | 1,914 | | | Royal Gold Inc. | | | 255,289 | |
| | 2,499 | | | Southern Copper Corp. | | | 78,969 | |
| | 6,108 | | | Steel Dynamics Inc. | | | 164,916 | |
| | 5,189 | | | United States Steel Corp.(a) | | | 57,442 | |
| | | | | | | | |
| | | | Total Metals & Mining | | | 2,624,219 | |
| | | | | | | | |
|
| | Paper & Forest Products — 0.0% | |
| | 1,892 | | | Domtar Corp. | | | 62,341 | |
| | | | | | | | |
| | | | TOTAL MATERIALS | | | 50,812,547 | |
| | | | | | | | |
|
| | REAL ESTATE — 2.7% | |
|
| | Equity Real Estate Investment Trusts (REITs) — 2.7% | |
| | 3,273 | | | Alexandria Real Estate Equities Inc. | | | 490,426 | |
| | 4,006 | | | American Campus Communities Inc. | | | 186,199 | |
| | 7,534 | | | American Homes 4 Rent, Class A Shares | | | 192,720 | |
| | 12,901 | | | American Tower Corp. | | | 2,969,681 | |
| | 5,700 | | | Americold Realty Trust | | | 207,594 | |
| | 4,377 | | | Apartment Investment & Management Co., Class A Shares | | | 223,227 | |
| | 6,154 | | | Apple Hospitality REIT Inc. | | | 98,033 | |
| | 4,071 | | | AvalonBay Communities Inc. | | | 865,332 | |
| | 4,535 | | | Boston Properties Inc. | | | 582,385 | |
| | 5,324 | | | Brandywine Realty Trust | | | 76,399 | |
| | 8,712 | | | Brixmor Property Group Inc. | | | 160,562 | |
| | 2,789 | | | Brookfield Property REIT Inc., Class A Shares | | | 52,489 | |
| | 2,732 | | | Camden Property Trust | | | 295,739 | |
| | 14,147 | | | Colony Capital Inc. | | | 63,661 | |
| | 3,586 | | | Columbia Property Trust Inc. | | | 76,704 | |
| | 1,103 | | | CoreSite Realty Corp. | | | 128,146 | |
See Notes to Financial Statements.
50
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | REAL ESTATE — 2.7% — (continued) | |
|
| | Equity Real Estate Investment Trusts (REITs) — 2.7% — (continued) | |
| | 2,886 | | | Corporate Office Properties Trust | | $ | 83,376 | |
| | 4,186 | | | Cousins Properties Inc. | | | 145,254 | |
| | 12,175 | | | Crown Castle International Corp. | | | 1,767,445 | |
| | 5,631 | | | CubeSmart | | | 202,097 | |
| | 3,313 | | | CyrusOne Inc. | | | 243,373 | |
| | 6,095 | | | Digital Realty Trust Inc. | | | 753,525 | |
| | 4,678 | | | Douglas Emmett Inc. | | | 197,412 | |
| | 10,304 | | | Duke Realty Corp. | | | 342,814 | |
| | 4,296 | | | Empire State Realty Trust Inc., Class A Shares | | | 60,402 | |
| | 2,164 | | | EPR Properties | | | 169,333 | |
| | 6,840 | | | Equinix Inc. | | | 3,804,955 | |
| | 3,561 | | | Equity Commonwealth | | | 119,863 | |
| | 2,540 | | | Equity LifeStyle Properties Inc. | | | 342,189 | |
| | 105,431 | | | Equity Residential | | | 8,936,331 | |
| | 1,919 | | | Essex Property Trust Inc. | | | 616,498 | |
| | 3,624 | | | Extra Space Storage Inc. | | | 441,838 | |
| | 2,201 | | | Federal Realty Investment Trust | | | 284,391 | |
| | 5,930 | | | Gaming and Leisure Properties Inc. | | | 231,982 | |
| | 14,037 | | | HCP Inc. | | | 487,224 | |
| | 6,097 | | | Healthcare Trust of America Inc., Class A Shares | | | 172,911 | |
| | 3,080 | | | Highwoods Properties Inc. | | | 133,087 | |
| | 4,714 | | | Hospitality Properties Trust | | | 113,796 | |
| | 21,756 | | | Host Hotels & Resorts Inc. | | | 348,966 | |
| | 4,496 | | | Hudson Pacific Properties Inc. | | | 152,864 | |
| | 12,512 | | | Invitation Homes Inc. | | | 359,845 | |
| | 8,354 | | | Iron Mountain Inc. | | | 266,075 | |
| | 3,581 | | | JBG SMITH Properties | | | 137,009 | |
| | 2,901 | | | Kilroy Realty Corp. | | | 225,872 | |
| | 11,953 | | | Kimco Realty Corp. | | | 219,696 | |
| | 2,524 | | | Lamar Advertising Co., Class A Shares | | | 193,465 | |
| | 4,330 | | | Liberty Property Trust | | | 225,680 | |
| | 1,390 | | | Life Storage Inc. | | | 147,284 | |
| | 4,219 | | | Macerich Co. (The) | | | 120,368 | |
| | 11,192 | | | Medical Properties Trust Inc. | | | 208,059 | |
| | 3,364 | | | Mid-America Apartment Communities Inc. | | | 426,151 | |
| | 4,804 | | | National Retail Properties Inc. | | | 269,745 | |
| | 6,370 | | | Omega Healthcare Investors Inc. | | | 259,132 | |
| | 4,199 | | | Outfront Media Inc. | | | 115,388 | |
| | 6,198 | | | Paramount Group Inc. | | | 81,690 | |
| | 5,896 | | | Park Hotels & Resorts Inc. | | | 138,851 | |
| | 18,430 | | | Prologis Inc. | | | 1,541,117 | |
| | 4,344 | | | Public Storage | | | 1,150,031 | |
| | 3,908 | | | Rayonier Inc. | | | 104,734 | |
| | 9,237 | | | Realty Income Corp. | | | 681,783 | |
| | 4,925 | | | Regency Centers Corp. | | | 317,712 | |
| | 6,518 | | | Retail Properties of America Inc., Class A Shares | | | 74,044 | |
| | 3,290 | | | SBA Communications Corp., Class A Shares | | | 863,395 | |
| | 9,021 | | | Simon Property Group Inc. | | | 1,343,588 | |
| | 4,094 | | | SITE Centers Corp. | | | 56,743 | |
| | 2,498 | | | SL Green Realty Corp. | | | 200,389 | |
| | 2,596 | | | Spirit Realty Capital Inc. | | | 124,452 | |
| | 6,134 | | | STORE Capital Corp. | | | 231,620 | |
| | 2,502 | | | Sun Communities Inc. | | | 369,796 | |
| | 1,712 | | | Taubman Centers Inc. | | | 66,854 | |
See Notes to Financial Statements.
51
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | REAL ESTATE — 2.7% — (continued) | |
|
| | Equity Real Estate Investment Trusts (REITs) — 2.7% — (continued) | |
| | 8,188 | | | UDR Inc. | | $ | 394,498 | |
| | 10,507 | | | Ventas Inc. | | | 771,109 | |
| | 28,555 | | | VEREIT Inc. | | | 278,411 | |
| | 12,160 | | | VICI Properties Inc. | | | 269,466 | |
| | 5,005 | | | Vornado Realty Trust | | | 302,652 | |
| | 3,622 | | | Weingarten Realty Investors | | | 95,947 | |
| | 11,890 | | | Welltower Inc. | | | 1,064,868 | |
| | 21,848 | | | Weyerhaeuser Co. | | | 574,821 | |
| | 4,956 | | | WP Carey Inc. | | | 445,049 | |
| | | | | | | | |
| | | | Total Equity Real Estate Investment Trusts (REITs) | | | 41,538,612 | |
| | | | | | | | |
|
| | Real Estate Management & Development — 0.0% | |
| | 9,816 | | | CBRE Group Inc., Class A Shares* | | | 513,082 | |
| | 1,168 | | | Howard Hughes Corp. (The)* | | | 147,484 | |
| | 1,355 | | | Jones Lang LaSalle Inc. | | | 181,638 | |
| | | | | | | | |
| | | | Total Real Estate Management & Development | | | 842,204 | |
| | | | | | | | |
| | | | TOTAL REAL ESTATE | | | 42,380,816 | |
| | | | | | | | |
|
| | UTILITIES — 2.2% | |
|
| | Electric Utilities — 1.5% | |
| | 6,961 | | | Alliant Energy Corp. | | | 365,104 | |
| | 14,506 | | | American Electric Power Co., Inc. | | | 1,322,222 | |
| | 1,700 | | | Avangrid Inc. | | | 85,918 | |
| | 21,391 | | | Duke Energy Corp. | | | 1,983,801 | |
| | 121,650 | | | Edison International | | | 8,791,646 | |
| | 5,570 | | | Entergy Corp. | | | 628,519 | |
| | 7,150 | | | Evergy Inc. | | | 464,750 | |
| | 9,324 | | | Eversource Energy | | | 747,132 | |
| | 28,475 | | | Exelon Corp. | | | 1,345,728 | |
| | 15,586 | | | FirstEnergy Corp. | | | 716,956 | |
| | 3,142 | | | Hawaiian Electric Industries Inc. | | | 139,505 | |
| | 1,411 | | | IDACORP Inc. | | | 154,942 | |
| | 14,054 | | | NextEra Energy Inc. | | | 3,078,950 | |
| | 5,857 | | | OGE Energy Corp. | | | 251,090 | |
| | 15,677 | | | PG&E Corp.* | | | 163,825 | |
| | 3,288 | | | Pinnacle West Capital Corp. | | | 313,379 | |
| | 21,201 | | | PPL Corp. | | | 626,490 | |
| | 30,555 | | | Southern Co. (The) | | | 1,780,134 | |
| | 15,100 | | | Xcel Energy Inc. | | | 969,722 | |
| | | | | | | | |
| | | | Total Electric Utilities | | | 23,929,813 | |
| | | | | | | | |
|
| | Gas Utilities — 0.0% | |
| | 3,392 | | | Atmos Energy Corp. | | | 373,900 | |
| | 2,397 | | | National Fuel Gas Co. | | | 112,036 | |
| | 5,094 | | | UGI Corp. | | | 247,925 | |
| | | | | | | | |
| | | | Total Gas Utilities | | | 733,861 | |
| | | | | | | | |
|
| | Independent Power & Renewable Electricity Producers — 0.1% | |
| | 19,455 | | | AES Corp. | | | 298,245 | |
| | 7,892 | | | NRG Energy Inc. | | | 287,269 | |
| | 12,194 | | | Vistra Energy Corp. | | | 304,240 | |
| | | | | | | | |
| | | | Total Independent Power & Renewable Electricity Producers | | | 889,754 | |
| | | | | | | | |
|
| | Multi-Utilities — 0.5% | |
| | 7,184 | | | Ameren Corp. | | | 554,246 | |
See Notes to Financial Statements.
52
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | UTILITIES — 2.2% — (continued) | |
|
| | Multi-Utilities — 0.5% — (continued) | |
| | 14,731 | | | CenterPoint Energy Inc. | | $ | 407,901 | |
| | 8,300 | | | CMS Energy Corp. | | | 523,315 | |
| | 9,617 | | | Consolidated Edison Inc. | | | 854,951 | |
| | 23,531 | | | Dominion Energy Inc. | | | 1,826,712 | |
| | 5,358 | | | DTE Energy Co. | | | 694,718 | |
| | 5,807 | | | MDU Resources Group Inc. | | | 156,150 | |
| | 11,000 | | | NiSource Inc. | | | 325,050 | |
| | 14,810 | | | Public Service Enterprise Group Inc. | | | 895,561 | |
| | 8,058 | | | Sempra Energy | | | 1,141,255 | |
| | 9,256 | | | WEC Energy Group Inc. | | | 886,447 | |
| | | | | | | | |
| | | | Total Multi-Utilities | | | 8,266,306 | |
| | | | | | | | |
|
| | Water Utilities — 0.1% | |
| | 5,298 | | | American Water Works Co., Inc. | | | 674,541 | |
| | 6,328 | | | Aqua America Inc. | | | 280,267 | |
| | | | | | | | |
| | | | Total Water Utilities | | | 954,808 | |
| | | | | | | | |
| | | | TOTAL UTILITIES | | | 34,774,542 | |
| | | | | | | | |
| | | | TOTAL COMMON STOCKS
(Cost — $981,106,946) | | | 1,479,039,974 | |
| | | | | | | | |
|
| | CLOSED END MUTUAL FUND SECURITY — 2.4% | |
|
| | FINANCIALS — 2.4% | |
|
| | Capital Markets — 2.4% | |
| | 675,204 | | | iShares® Core S&P U.S. Value, Common Class Shares(a)
(Cost — $38,378,528) | | | 37,804,672 | |
| | | | | | | | |
| | | | TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS
(Cost — $1,019,485,474) | | | 1,516,844,646 | |
| | | | | | | | |
| | |
Face
Amount† | | | | | | |
|
| | SHORT-TERM INVESTMENTS (c) — 2.3% | |
|
| | MONEY MARKET FUND — 0.6% | |
| $ | 10,273,681 | | | Invesco STIT — Government & Agency Portfolio, 1.998%, Institutional Class(d)
(Cost — $10,273,681) | | | 10,273,681 | |
| | | | | | | | |
|
| | TIME DEPOSITS — 1.7% | |
| | 2,290,580 | | | ANZ National Bank — London, 1.490% due 9/3/19 | | | 2,290,580 | |
| | 5,802,561 | | | Banco Santander SA — Frankfurt, 1.490% due 9/3/19 | | | 5,802,561 | |
| | 14,290,506 | | | Barclays Bank PLC — London, 1.490% due 9/3/19 | | | 14,290,506 | |
| | 17,069 | CAD | | BBH — Grand Cayman, 0.870% due 9/3/19 | | | 12,822 | |
| | 3,629,640 | | | JPMorgan Chase & Co. — New York, 1.490% due 9/3/19 | | | 3,629,640 | |
| | | | | | | | |
| | | | TOTAL TIME DEPOSITS
(Cost — $26,026,109) | | | 26,026,109 | |
| | | | | | | | |
| | | | TOTAL SHORT-TERM INVESTMENTS
(Cost — $36,299,790) | | | 36,299,790 | |
| | | | | | | | |
| | | | TOTAL INVESTMENTS — 99.9%
(Cost — $1,055,785,264) | | | 1,553,144,436 | |
| | | | | | | | |
| | | | Other Assets in Excess of Liabilities — 0.1% | | | 778,718 | |
| | | | | | | | |
| | | | TOTAL NET ASSETS — 100.0% | | $ | 1,553,923,154 | |
| | | | | | | | |
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
| * | Non-income producing security. |
See Notes to Financial Statements.
53
| (a) | All or a portion of this security is on loan (See Note 1). |
| (b) | Affiliated security (See Note 2). As of August 31, 2019, total cost and total market value of affiliated securities amounted to $858,128 and $1,473,725, respectively. |
| (c) | Inclusive of all short-term holdings, including investment of collateral received from securities lending transactions. Excluding such collateral, the percentage of portfolio holdings would be 1.7%. |
| (d) | Represents investments of collateral received from securities lending transactions. |
At August 31, 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 | | $ | 1,066,480,832 | | | $ | 563,928,998 | | | $ | (77,264,711 | ) | | $ | 486,664,287 | |
| | |
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 | | | 21.6 | % |
Health Care | | | 15.4 | |
Financials | | | 14.0 | |
Consumer Discretionary | | | 10.3 | |
Industrials | | | 8.9 | |
Communication Services | | | 8.8 | |
Consumer Staples | | | 6.3 | |
Energy | | | 4.7 | |
Materials | | | 3.3 | |
Real Estate | | | 2.7 | |
Utilities | | | 2.3 | |
Short-Term Investments | | | 1.7 | |
| | | | |
| | | 100.0 | %+ |
| | | | |
| ^ | As a percentage of total investments. |
| + | Does not reflect investments of collateral received from securities lending transactions. |
At August 31, 2019, Large Cap Equity 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: | | | | | | | | | | | | | | | | | | | | |
S&P 500E-mini Index September Futures | | | 63 | | | | 9/19 | | | $ | 9,198,813 | | | $ | 9,212,963 | | | $ | 14,150 | |
S&P MidCap 400E-mini Index September Futures | | | 4 | | | | 9/19 | | | | 766,027 | | | | 752,560 | | | | (13,467 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | 683 | |
| | | | | | | | | | | | | | | | | | | | |
At August 31, 2019, Large Cap Equity Fund had deposited cash of $430,984 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.
54
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | COMMON STOCKS — 95.7% | |
|
| | COMMUNICATION SERVICES — 1.9% | |
|
| | Diversified Telecommunication Services — 0.3% | |
| | 400 | | | | | Anterix Inc.* | | $ | 15,500 | |
| | 463 | | | | | ATN International Inc. | | | 26,308 | |
| | 664 | | | | | Bandwidth Inc., Class A Shares* | | | 57,894 | |
| | 1,779 | | | | | Cincinnati Bell Inc.* | | | 9,660 | |
| | 1,743 | | | | | Cogent Communications Holdings Inc. | | | 106,131 | |
| | 2,863 | | | | | Consolidated Communications Holdings Inc. | | | 11,538 | |
| | 3,297 | | | | | Frontier Communications Corp.* | | | 2,639 | |
| | 4,024 | | | | | GCI Liberty Inc., Class A Shares* | | | 250,454 | |
| | 693 | | | | | IDT Corp., Class B Shares* | | | 6,112 | |
| | 2,769 | | | | | Intelsat SA* | | | 57,263 | |
| | 4,097 | | | | | Iridium Communications Inc.* | | | 99,065 | |
| | 695 | | | | | Ooma Inc.* | | | 8,688 | |
| | 3,059 | | | | | ORBCOMM Inc.* | | | 14,102 | |
| | 4,484 | | | | | Pareteum Corp.* | | | 9,596 | |
| | 9,241 | | | | | Vonage Holdings Corp.* | | | 122,166 | |
| | 9,276 | | | | | Zayo Group Holdings Inc.* | | | 312,230 | |
| | | | | | | | | | |
| | | | | | Total Diversified Telecommunication Services | | | 1,109,346 | |
| | | | | | | | | | |
|
| | Entertainment — 0.7% | |
| | 2,111 | | | | | AMC Entertainment Holdings Inc., Class A Shares(a) | | | 23,453 | |
| | 4,395 | | | | | Cinemark Holdings Inc. | | | 167,713 | |
| | 1,517 | | | | | Eros International PLC* | | | 2,564 | |
| | 379 | | | | | Gaia Inc., Class A Shares*(a) | | | 2,528 | |
| | 4,971 | | | | | Glu Mobile Inc.* | | | 22,071 | |
| | 2,094 | | | | | IMAX Corp.* | | | 43,807 | |
| | 367 | | | | | Liberty Media Corp-Liberty Braves, Class A Shares* | | | 10,082 | |
| | 1,479 | | | | | Liberty Media Corp-Liberty Braves, Class C Shares* | | | 40,613 | |
| | 1,049 | | | | | Liberty Media Corp-Liberty Formula One, Class A Shares* | | | 41,530 | |
| | 8,103 | | | | | Liberty Media Corp-Liberty Formula One, Class C Shares* | | | 338,219 | |
| | 1,936 | | | | | Lions Gate Entertainment Corp., Class A Shares | | | 17,482 | |
| | 4,396 | | | | | Lions Gate Entertainment Corp., Class B Shares | | | 36,663 | |
| | 1,068 | | | | | LiveXLive Media Inc.*(a) | | | 2,371 | |
| | 3,222 | | | | | Madison Square Garden Co. (The), Class A Shares* | | | 813,007 | |
| | 931 | | | | | Marcus Corp. (The) | | | 31,244 | |
| | 609 | | | | | Reading International Inc., Class A Shares* | | | 7,552 | |
| | 869 | | | | | Rosetta Stone Inc.* | | | 15,859 | |
| | 9,063 | | | | | World Wrestling Entertainment Inc., Class A Shares | | | 647,370 | |
| | 110,052 | | | | | Zynga Inc., Class A Shares* | | | 628,397 | |
| | | | | | | | | | |
| | | | | | Total Entertainment | | | 2,892,525 | |
| | | | | | | | | | |
|
| | Interactive Media & Services — 0.2% | |
| | 735 | | | | | Care.com Inc.* | | | 7,269 | |
| | 3,064 | | | | | Cargurus Inc., Class A Shares* | | | 99,948 | |
| | 2,700 | | | | | Cars.com Inc.* | | | 24,057 | |
| | 2,121 | | | | | DHI Group Inc.* | | | 7,699 | |
| | 1,512 | | | | | Eventbrite Inc., Class A Shares* | | | 26,430 | |
| | 350 | | | | | EverQuote Inc., Class A Shares* | | | 7,836 | |
| | 3,004 | | | | | Liberty TripAdvisor Holdings Inc., Class A Shares* | | | 26,255 | |
| | 2,635 | | | | | Meet Group Inc. (The)* | | | 9,091 | |
| | 1,869 | | | | | QuinStreet Inc.* | | | 21,400 | |
| | 118 | | | | | Travelzoo* | | | 1,401 | |
| | 4,329 | | | | | TripAdvisor Inc.* | | | 164,459 | |
| | 4,328 | | | | | TrueCar Inc.* | | | 17,139 | |
| | 3,075 | | | | | Yelp Inc., Class A Shares* | | | 103,043 | |
See Notes to Financial Statements.
55
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | COMMUNICATION SERVICES — 1.9% — (continued) | |
|
| | Interactive Media & Services — 0.2% — (continued) | |
| | 2,364 | | | | | Zillow Group Inc., Class A Shares* | | $ | 80,778 | |
| | 5,022 | | | | | Zillow Group Inc., Class C Shares*(a) | | | 172,907 | |
| | | | | | | | | | |
| | | | | | Total Interactive Media & Services | | | 769,712 | |
| | | | | | | | | | |
|
| | Media — 0.7% | |
| | 1,804 | | | | | AMC Networks Inc., Class A Shares* | | | 87,494 | |
| | 421 | | | | | Boston Omaha Corp., Class A Shares* | | | 8,622 | |
| | 179 | | | | | Cable One Inc. | | | 232,274 | |
| | 562 | | | | | Cardlytics Inc.* | | | 21,114 | |
| | 299 | | | | | cbdMD Inc.* | | | 1,226 | |
| | 3,403 | | | | | Central European Media Enterprises Ltd., Class A Shares* | | | 15,790 | |
| | 1,440 | | | | | Clear Channel Outdoor Holdings Inc., Class A Shares* | | | 3,744 | |
| | 2,045 | | | | | comScore Inc.* | | | 3,804 | |
| | 17,800 | | | | | Criteo SA, ADR* | | | 345,676 | |
| | 587 | | | | | Cumulus Media Inc., Class A Shares* | | | 7,983 | |
| | 40 | | | | | Daily Journal Corp.*(a) | | | 8,019 | |
| | 930 | | | | | Emerald Expositions Events Inc. | | | 8,891 | |
| | 5,132 | | | | | Entercom Communications Corp., Class A Shares | | | 18,270 | |
| | 2,331 | | | | | Entravision Communications Corp., Class A Shares | | | 7,133 | |
| | 2,268 | | | | | EW Scripps Co. (The), Class A Shares | | | 28,033 | |
| | 2,051 | | | | | Fluent Inc.* | | | 6,112 | |
| | 4,399 | | | | | Gannett Co., Inc. | | | 46,277 | |
| | 3,769 | | | | | Gray Television Inc.* | | | 57,666 | |
| | 634 | | | | | Hemisphere Media Group Inc., Class A Shares* | | | 7,526 | |
| | 15,876 | | | | | Interpublic Group of Cos., Inc. (The) | | | 315,615 | |
| | 6,526 | | | | | John Wiley & Sons Inc., Class A Shares | | | 290,407 | |
| | 2,251 | | | | | Lee Enterprises Inc.* | | | 4,007 | |
| | 1,808 | | | | | Liberty Latin America Ltd., Class A Shares* | | | 29,687 | |
| | 4,694 | | | | | Liberty Latin America Ltd., Class C Shares* | | | 77,404 | |
| | 526 | | | | | Loral Space & Communications Inc.* | | | 19,457 | |
| | 1,455 | | | | | Marchex Inc., Class B Shares* | | | 4,947 | |
| | 2,388 | | | | | MDC Partners Inc., Class A Shares* | | | 5,612 | |
| | 1,642 | | | | | Meredith Corp. | | | 71,887 | |
| | 14,836 | | | | | MSG Networks Inc., Class A Shares* | | | 243,310 | |
| | 2,565 | | | | | National CineMedia Inc. | | | 21,033 | |
| | 2,428 | | | | | New Media Investment Group Inc.(a) | | | 21,318 | |
| | 6,652 | | | | | New York Times Co. (The), Class A Shares | | | 194,238 | |
| | 15,756 | | | | | News Corp., Class A Shares | | | 216,645 | |
| | 4,959 | | | | | News Corp., Class B Shares | | | 70,219 | |
| | 1,837 | | | | | Nexstar Media Group Inc., Class A Shares | | | 181,661 | |
| | 152 | | | | | Saga Communications Inc., Class A Shares | | | 4,338 | |
| | 1,131 | | | | | Scholastic Corp. | | | 39,664 | |
| | 2,457 | | | | | Sinclair Broadcast Group Inc., Class A Shares | | | 109,509 | |
| | 912 | | | | | TechTarget Inc.* | | | 21,651 | |
| | 8,851 | | | | | TEGNA Inc. | | | 126,658 | |
| | 3,604 | | | | | Tribune Media Co., Class A Shares | | | 167,874 | |
| | 653 | | | | | Tribune Publishing Co. | | | 4,995 | |
| | 1,084 | | | | | WideOpenWest Inc.* | | | 6,092 | |
| | | | | | | | | | |
| | | | | | Total Media | | | 3,163,882 | |
| | | | | | | | | | |
|
| | Wireless Telecommunication Services — 0.0% | |
| | 1,804 | | | | | Boingo Wireless Inc.* | | | 23,217 | |
| | 2,063 | | | | | Gogo Inc.*(a) | | | 8,293 | |
| | 1,991 | | | | | Shenandoah Telecommunications Co. | | | 62,796 | |
| | 703 | | | | | Spok Holdings Inc. | | | 8,260 | |
See Notes to Financial Statements.
56
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | COMMUNICATION SERVICES — 1.9% — (continued) | |
|
| | Wireless Telecommunication Services — 0.0% — (continued) | |
| | 4,100 | | | | | Telephone & Data Systems Inc. | | $ | 103,320 | |
| | 637 | | | | | United States Cellular Corp.* | | | 22,926 | |
| | | | | | | | | | |
| | | | | | Total Wireless Telecommunication Services | | | 228,812 | |
| | | | | | | | | | |
| | | | | | TOTAL COMMUNICATION SERVICES | | | 8,164,277 | |
| | | | | | | | | | |
|
| | CONSUMER DISCRETIONARY — 7.7% | |
|
| | Auto Components — 0.3% | |
| | 3,552 | | | | | Adient PLC | | | 71,644 | |
| | 4,620 | | | | | American Axle & Manufacturing Holdings Inc.* | | | 29,291 | |
| | 8,470 | | | | | BorgWarner Inc. | | | 276,376 | |
| | 2,080 | | | | | Cooper Tire & Rubber Co. | | | 48,859 | |
| | 696 | | | | | Cooper-Standard Holdings Inc.* | | | 26,058 | |
| | 5,971 | | | | | Dana Inc. | | | 76,011 | |
| | 1,112 | | | | | Dorman Products Inc.* | | | 79,041 | |
| | 1,527 | | | | | Fox Factory Holding Corp.* | | | 110,005 | |
| | 10,531 | | | | | Gentex Corp. | | | 280,125 | |
| | 1,346 | | | | | Gentherm Inc.* | | | 49,398 | |
| | 9,686 | | | | | Goodyear Tire & Rubber Co. (The) | | | 111,098 | |
| | 1,012 | | | | | LCI Industries | | | 85,767 | |
| | 2,131 | | | | | Modine Manufacturing Co.* | | | 21,757 | |
| | 780 | | | | | Motorcar Parts of America Inc.* | | | 11,333 | |
| | 841 | | | | | Standard Motor Products Inc. | | | 37,265 | |
| | 1,142 | | | | | Stoneridge Inc.* | | | 35,071 | |
| | 2,065 | | | | | Tenneco Inc., Class A Shares | | | 18,007 | |
| | 816 | | | | | Tower International Inc. | | | 25,239 | |
| | 1,133 | | | | | Visteon Corp.* | | | 78,143 | |
| | | | | | | | | | |
| | | | | | Total Auto Components | | | 1,470,488 | |
| | | | | | | | | | |
|
| | Automobiles — 0.1% | |
| | 6,494 | | | | | Harley-Davidson Inc. | | | 207,159 | |
| | 1 | | | | | Tesla Inc.* | | | 226 | |
| | 2,208 | | | | | Thor Industries Inc. | | | 101,369 | |
| | 1,315 | | | | | Winnebago Industries Inc. | | | 42,106 | |
| | | | | | | | | | |
| | | | | | Total Automobiles | | | 350,860 | |
| | | | | | | | | | |
|
| | Distributors — 0.1% | |
| | 1,874 | | | | | Core-Mark Holding Co., Inc. | | | 60,699 | |
| | 701 | | | | | Funko Inc., Class A Shares*(a) | | | 16,817 | |
| | 421 | | | | | Greenlane Holdings Inc., Class A Shares*(a) | | | 2,610 | |
| | 1,583 | | | | | Pool Corp. | | | 310,869 | |
| | 241 | | | | | Weyco Group Inc. | | | 5,912 | |
| | | | | | | | | | |
| | | | | | Total Distributors | | | 396,907 | |
| | | | | | | | | | |
|
| | Diversified Consumer Services — 0.9% | |
| | 2,339 | | | | | Adtalem Global Education Inc.* | | | 99,922 | |
| | 654 | | | | | American Public Education Inc.* | | | 15,846 | |
| | 5,841 | | | | | Bright Horizons Family Solutions Inc.* | | | 964,057 | |
| | 2,852 | | | | | Career Education Corp.* | | | 58,495 | |
| | 686 | | | | | Carriage Services Inc., Class A Shares | | | 14,591 | |
| | 4,733 | | | | | Chegg Inc.* | | | 187,616 | |
| | 334 | | | | | Collectors Universe Inc. | | | 8,657 | |
| | 3,485 | | | | | frontdoor Inc.* | | | 178,920 | |
| | 172 | | | | | Graham Holdings Co., Class B Shares | | | 121,098 | |
| | 1,949 | | | | | Grand Canyon Education Inc.* | | | 244,794 | |
| | 8,364 | | | | | H&R Block Inc. | | | 202,576 | |
See Notes to Financial Statements.
57
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | CONSUMER DISCRETIONARY — 7.7% — (continued) | |
|
| | Diversified Consumer Services — 0.9% — (continued) | |
| | 4,488 | | | | | Houghton Mifflin Harcourt Co.* | | $ | 26,704 | |
| | 1,596 | | | | | K12 Inc.* | | | 42,055 | |
| | 3,948 | | | | | Laureate Education Inc., Class A Shares* | | | 72,248 | |
| | 1,866 | | | | | OneSpaWorld Holdings Ltd.* | | | 29,296 | |
| | 1,186 | | | | | Regis Corp.* | | | 19,178 | |
| | 886 | | | | | Select Interior Concepts Inc., Class A Shares* | | | 10,995 | |
| | 7,275 | | | | | Service Corp. International | | | 336,833 | |
| | 5,598 | | | | | ServiceMaster Global Holdings Inc.* | | | 319,310 | |
| | 1,286 | | | | | Sotheby’s* | | | 74,267 | |
| | 4,669 | | | | | Strategic Education Inc. | | | 790,135 | |
| | 1,932 | | | | | Weight Watchers International Inc.* | | | 57,941 | |
| | | | | | | | | | |
| | | | | | Total Diversified Consumer Services | | | 3,875,534 | |
| | | | | | | | | | |
|
| | Hotels, Restaurants & Leisure — 1.6% | |
| | 10,071 | | | | | Aramark | | | 411,501 | |
| | 2,447 | | | | | BBX Capital Corp., Class A Shares | | | 10,155 | |
| | 43 | | | | | Biglari Holdings Inc., Class B Shares* | | | 3,772 | |
| | 817 | | | | | BJ’s Restaurants Inc. | | | 29,771 | |
| | 3,821 | | | | | Bloomin’ Brands Inc. | | | 68,931 | |
| | 271 | | | | | Bluegreen Vacations Corp. | | | 2,564 | |
| | 3,342 | | | | | Boyd Gaming Corp. | | | 80,342 | |
| | 1,559 | | | | | Brinker International Inc. | | | 59,242 | |
| | 23,350 | | | | | Caesars Entertainment Corp.* | | | 268,759 | |
| | 1,274 | | | | | Carrols Restaurant Group Inc.* | | | 9,300 | |
| | 1,025 | | | | | Century Casinos Inc.* | | | 7,872 | |
| | 1,776 | | | | | Cheesecake Factory Inc. (The) | | | 67,470 | |
| | 1,375 | | | | | Choice Hotels International Inc. | | | 125,097 | |
| | 1,431 | | | | | Churchill Downs Inc. | | | 176,385 | |
| | 618 | | | | | Chuy’s Holdings Inc.* | | | 15,679 | |
| | 790 | | | | | Cracker Barrel Old Country Store Inc. | | | 130,666 | |
| | 1,499 | | | | | Dave & Buster’s Entertainment Inc. | | | 64,532 | |
| | 1,362 | | | | | Del Frisco’s Restaurant Group Inc.* | | | 10,855 | |
| | 1,108 | | | | | Del Taco Restaurants Inc.* | | | 12,387 | |
| | 2,380 | | | | | Denny’s Corp.* | | | 56,144 | |
| | 690 | | | | | Dine Brands Global Inc. | | | 48,680 | |
| | 1,683 | | | | | Domino’s Pizza Inc. | | | 381,772 | |
| | 2,117 | | | | | Drive Shack Inc.* | | | 9,971 | |
| | 3,401 | | | | | Dunkin’ Brands Group Inc. | | | 280,378 | |
| | 740 | | | | | El Pollo Loco Holdings Inc.* | | | 7,555 | |
| | 17,894 | | | | | Eldorado Resorts Inc.* | | | 689,098 | |
| | 163 | | | | | Empire Resorts Inc.*(a) | | | 1,578 | |
| | 2,852 | | | | | Everi Holdings Inc.* | | | 25,497 | |
| | 7,862 | | | | | Extended Stay America Inc. | | | 110,461 | |
| | 893 | | | | | Fiesta Restaurant Group Inc.* | | | 7,716 | |
| | 660 | | | | | Golden Entertainment Inc.* | | | 9,359 | |
| | 705 | | | | | Habit Restaurants Inc. (The), Class A Shares* | | | 6,176 | |
| | 3,755 | | | | | Hilton Grand Vacations Inc.* | | | 126,806 | |
| | 1,552 | | | | | Hyatt Hotels Corp., Class A Shares | | | 111,977 | |
| | 463 | | | | | Inspired Entertainment Inc.*(a) | | | 3,236 | |
| | 20,093 | | | | | International Game Technology PLC | | | 240,714 | |
| | 944 | | | | | International Speedway Corp., Class A Shares | | | 42,499 | |
| | 603 | | | | | J Alexander’s Holdings Inc.* | | | 7,115 | |
| | 1,039 | | | | | Jack in the Box Inc. | | | 88,647 | |
| | 892 | | | | | Lindblad Expeditions Holdings Inc.* | | | 16,645 | |
| | 1,801 | | | | | Marriott Vacations Worldwide Corp. | | | 177,561 | |
See Notes to Financial Statements.
58
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | CONSUMER DISCRETIONARY — 7.7% — (continued) | |
|
| | Hotels, Restaurants & Leisure — 1.6% — (continued) | |
| | 453 | | | | | Monarch Casino & Resort Inc.* | | $ | 20,104 | |
| | 109 | | | | | Nathan’s Famous Inc. | | | 7,259 | |
| | 1,212 | | | | | Noodles & Co., Class A Shares* | | | 6,993 | |
| | 892 | | | | | Papa John’s International Inc. | | | 44,386 | |
| | 4,603 | | | | | Penn National Gaming Inc.* | | | 88,240 | |
| | 3,473 | | | | | Planet Fitness Inc., Class A Shares* | | | 245,229 | |
| | 1,121 | | | | | PlayAGS Inc.* | | | 10,919 | |
| | 807 | | | | | Potbelly Corp.* | | | 3,736 | |
| | 336 | | | | | RCI Hospitality Holdings Inc. | | | 5,981 | |
| | 1,230 | | | | | Red Lion Hotels Corp.* | | | 6,445 | |
| | 529 | | | | | Red Robin Gourmet Burgers Inc.* | | | 17,716 | |
| | 2,915 | | | | | Red Rock Resorts Inc., Class A Shares | | | 60,778 | |
| | 1,138 | | | | | Ruth’s Hospitality Group Inc. | | | 22,134 | |
| | 2,261 | | | | | Scientific Games Corp., Class A Shares* | | | 41,783 | |
| | 18,652 | | | | | SeaWorld Entertainment Inc.* | | | 541,095 | |
| | 1,148 | | | | | Shake Shack Inc., Class A Shares* | | | 113,836 | |
| | 3,269 | | | | | Six Flags Entertainment Corp. | | | 193,427 | |
| | 459 | | | | | Speedway Motorsports Inc. | | | 9,065 | |
| | 1,394 | | | | | Target Hospitality Corp.* | | | 8,503 | |
| | 2,796 | | | | | Texas Roadhouse Inc., Class A Shares | | | 143,882 | |
| | 873 | | | | | Twin River Worldwide Holdings Inc.(a) | | | 19,773 | |
| | 1,651 | | | | | Vail Resorts Inc. | | | 390,098 | |
| | 7,689 | | | | | Wendy’s Co. (The) | | | 169,158 | |
| | 1,210 | | | | | Wingstop Inc. | | | 121,206 | |
| | 3,792 | | | | | Wyndham Destinations Inc. | | | 168,137 | |
| | 3,924 | | | | | Wyndham Hotels & Resorts Inc. | | | 201,615 | |
| | | | | | | | | | |
| | | | | | Total Hotels, Restaurants & Leisure | | | 6,666,363 | |
| | | | | | | | | | |
|
| | Household Durables — 1.4% | |
| | 339 | | | | | Bassett Furniture Industries Inc. | | | 4,129 | |
| | 1,023 | | | | | Beazer Homes USA Inc.* | | | 12,818 | |
| | 350 | | | | | Cavco Industries Inc.* | | | 64,215 | |
| | 1,036 | | | | | Century Communities Inc.* | | | 29,195 | |
| | 1,049 | | | | | Ethan Allen Interiors Inc. | | | 18,043 | |
| | 295 | | | | | Flexsteel Industries Inc. | | | 4,466 | |
| | 5,174 | | | | | GoPro Inc., Class A Shares* | | | 20,023 | |
| | 917 | | | | | Green Brick Partners Inc.* | | | 8,427 | |
| | 230 | | | | | Hamilton Beach Brands Holding Co., Class A Shares | | | 3,259 | |
| | 1,025 | | | | | Helen of Troy Ltd.* | | | 157,348 | |
| | 439 | | | | | Hooker Furniture Corp. | | | 7,841 | |
| | 937 | | | | | Installed Building Products Inc.* | | | 53,325 | |
| | 1,134 | | | | | iRobot Corp.* | | | 70,093 | |
| | 3,526 | | | | | KB Home | | | 99,045 | |
| | 1,797 | | | | | La-Z-Boy Inc. | | | 57,270 | |
| | 284 | | | | | Legacy Housing Corp.* | | | 4,195 | |
| | 5,406 | | | | | Leggett & Platt Inc. | | | 201,049 | |
| | 828 | | | | | LGI Homes Inc.* | | | 67,490 | |
| | 440 | | | | | Lifetime Brands Inc. | | | 3,397 | |
| | 232 | | | | | Lovesac Co. (The)* | | | 3,990 | |
| | 1,066 | | | | | M/I Homes Inc.* | | | 38,525 | |
| | 1,999 | | | | | MDC Holdings Inc. | | | 77,301 | |
| | 1,495 | | | | | Meritage Homes Corp.* | | | 97,683 | |
| | 37,604 | | | | | Newell Brands Inc. | | | 624,227 | |
| | 130 | | | | | NVR Inc.* | | | 467,870 | |
| | 10,594 | | | | | PulteGroup Inc. | | | 358,077 | |
See Notes to Financial Statements.
59
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | CONSUMER DISCRETIONARY — 7.7% — (continued) | |
|
| | Household Durables — 1.4% — (continued) | |
| | 3,365 | | | | | Roku Inc., Class A Shares* | | $ | 509,327 | |
| | 2,079 | | | | | Skyline Champion Corp.* | | | 58,212 | |
| | 2,877 | | | | | Sonos Inc.* | | | 41,774 | |
| | 4,342 | | | | | Taylor Morrison Home Corp., Class A Shares* | | | 103,600 | |
| | 10,102 | | | | | Tempur Sealy International Inc.* | | | 779,066 | |
| | 5,536 | | | | | Toll Brothers Inc. | | | 200,348 | |
| | 14,236 | | | | | TopBuild Corp.* | | | 1,318,538 | |
| | 5,935 | | | | | TRI Pointe Group Inc.* | | | 83,090 | |
| | 1,972 | | | | | Tupperware Brands Corp. | | | 25,656 | |
| | 542 | | | | | Universal Electronics Inc.* | | | 24,471 | |
| | 1,267 | | | | | William Lyon Homes, Class A Shares* | | | 22,388 | |
| | 1,005 | | | | | ZAGG Inc.* | | | 6,442 | |
| | | | | | | | | | |
| | | | | | Total Household Durables | | | 5,726,213 | |
| | | | | | | | | | |
|
| | Internet & Direct Marketing Retail — 0.2% | |
| | 954 | | | | | 1-800-Flowers.com Inc., Class A Shares* | | | 14,043 | |
| | 317 | | | | | Duluth Holdings Inc., Class B Shares* | | | 2,913 | |
| | 4,901 | | | | | Etsy Inc.* | | | 258,724 | |
| | 18,720 | | | | | Groupon Inc., Class A Shares* | | | 46,426 | |
| | 3,744 | | | | | GrubHub Inc.*(a) | | | 222,169 | |
| | 409 | | | | | Lands’ End Inc.* | | | 3,170 | |
| | 584 | | | | | Leaf Group Ltd.* | | | 2,441 | |
| | 1,072 | | | | | Liquidity Services Inc.* | | | 8,115 | |
| | 1,108 | | | | | Overstock.com Inc.*(a) | | | 17,429 | |
| | 823 | | | | | PetMed Express Inc.(a) | | | 13,003 | |
| | 3,192 | | | | | Quotient Technology Inc.* | | | 23,429 | |
| | 16,227 | | | | | Qurate Retail Inc., Class A Shares* | | | 173,791 | |
| | 1,975 | | | | | Rubicon Project Inc. (The)* | | | 20,204 | |
| | 1,420 | | | | | Shutterfly Inc.* | | | 72,250 | |
| | 804 | | | | | Shutterstock Inc.* | | | 28,228 | |
| | 682 | | | | | Stamps.com Inc.* | | | 43,893 | |
| | 1,729 | | | | | Stitch Fix Inc., Class A Shares*(a) | | | 32,955 | |
| | 2,179 | | | | | Waitr Holdings Inc.*(a) | | | 3,770 | |
| | | | | | | | | | |
| | | | | | Total Internet & Direct Marketing Retail | | | 986,953 | |
| | | | | | | | | | |
|
| | Leisure Products — 0.2% | |
| | 1,484 | | | | | Acushnet Holdings Corp. | | | 38,539 | |
| | 2,245 | | | | | American Outdoor Brands Corp.* | | | 13,492 | |
| | 3,561 | | | | | Brunswick Corp. | | | 165,943 | |
| | 3,871 | | | | | Callaway Golf Co. | | | 68,749 | |
| | 771 | | | | | Clarus Corp. | | | 8,489 | |
| | 544 | | | | | Escalade Inc. | | | 5,619 | |
| | 187 | | | | | Johnson Outdoors Inc., Class A Shares | | | 10,472 | |
| | 819 | | | | | Malibu Boats Inc., Class A Shares* | | | 22,785 | |
| | 338 | | | | | Marine Products Corp. | | | 5,114 | |
| | 766 | | | | | MasterCraft Boat Holdings Inc.* | | | 11,605 | |
| | 14,105 | | | | | Mattel Inc.*(a) | | | 138,229 | |
| | 2,367 | | | | | Polaris Inc. | | | 194,141 | |
| | 656 | | | | | Sturm Ruger & Co., Inc. | | | 26,903 | |
| | 2,586 | | | | | Vista Outdoor Inc.* | | | 14,456 | |
| | 1,275 | | | | | YETI Holdings Inc.*(a) | | | 36,019 | |
| | | | | | | | | | |
| | | | | | Total Leisure Products | | | 760,555 | |
| | | | | | | | | | |
|
| | Multiline Retail — 0.2% | |
| | 1,687 | | | | | Big Lots Inc. | | | 38,379 | |
See Notes to Financial Statements.
60
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | CONSUMER DISCRETIONARY — 7.7% — (continued) | |
|
| | Multiline Retail — 0.2% — (continued) | |
| | 455 | | | | | Dillard’s Inc., Class A Shares(a) | | $ | 26,627 | |
| | 11,493 | | | | | JC Penney Co., Inc.*(a) | | | 8,552 | |
| | 6,695 | | | | | Kohl’s Corp. | | | 316,406 | |
| | 12,727 | | | | | Macy’s Inc. | | | 187,850 | |
| | 4,442 | | | | | Nordstrom Inc.(a) | | | 128,685 | |
| | 2,162 | | | | | Ollie’s Bargain Outlet Holdings Inc.* | | | 119,883 | |
| | | | | | | | | | |
| | | | | | Total Multiline Retail | | | 826,382 | |
| | | | | | | | | | |
|
| | Specialty Retail — 2.0% | |
| | 2,768 | | | | | Aaron’s Inc. | | | 177,457 | |
| | 2,783 | | | | | Abercrombie & Fitch Co., Class A Shares | | | 40,687 | |
| | 26,584 | | | | | American Eagle Outfitters Inc. | | | 447,143 | |
| | 268 | | | | | America’sCar-Mart Inc.* | | | 22,989 | |
| | 804 | | | | | Asbury Automotive Group Inc.* | | | 75,817 | |
| | 6,121 | | | | | Ascena Retail Group Inc.* | | | 1,524 | |
| | 1,759 | | | | | At Home Group Inc.* | | | 11,856 | |
| | 2,212 | | | | | AutoNation Inc.* | | | 104,982 | |
| | 1,375 | | | | | Barnes & Noble Education Inc.* | | | 5,363 | |
| | 5,077 | | | | | Bed Bath & Beyond Inc.(a) | | | 49,095 | |
| | 1,173 | | | | | Boot Barn Holdings Inc.* | | | 40,175 | |
| | 1,174 | | | | | Buckle Inc. (The) | | | 23,010 | |
| | 2,685 | | | | | Burlington Stores Inc.* | | | 543,686 | |
| | 1,638 | | | | | Caleres Inc. | | | 33,006 | |
| | 1,498 | | | | | Camping World Holdings Inc., Class A Shares(a) | | | 11,385 | |
| | 13,709 | | | | | CarMax Inc.* | | | 1,141,686 | |
| | 1,620 | | | | | Carvana Co., Class A Shares* | | | 131,479 | |
| | 835 | | | | | Cato Corp. (The), Class A Shares | | | 14,304 | |
| | 41,407 | | | | | Chico’s FAS Inc. | | | 129,190 | |
| | 5,121 | | | | | Children’s Place Inc. (The)(a) | | | 446,807 | |
| | 480 | | | | | Citi Trends Inc. | | | 8,069 | |
| | 814 | | | | | Conn’s Inc.* | | | 16,410 | |
| | 550 | | | | | Container Store Group Inc. (The)* | | | 2,464 | |
| | 22,265 | | | | | Designer Brands Inc., Class A Shares | | | 367,150 | |
| | 2,805 | | | | | Dick’s Sporting Goods Inc. | | | 95,482 | |
| | 31,186 | | | | | Express Inc.* | | | 66,114 | |
| | 7,906 | | | | | Five Below Inc.* | | | 971,410 | |
| | 2,724 | | | | | Floor & Decor Holdings Inc., Class A Shares* | | | 134,075 | |
| | 4,591 | | | | | Foot Locker Inc. | | | 166,148 | |
| | 3,928 | | | | | GameStop Corp., Class A Shares(a) | | | 15,594 | |
| | 723 | | | | | Genesco Inc.* | | | 25,797 | |
| | 2,827 | | | | | GNC Holdings Inc., Class A Shares*(a) | | | 5,541 | |
| | 719 | | | | | Group 1 Automotive Inc. | | | 53,724 | |
| | 2,336 | | | | | Guess? Inc. | | | 42,212 | |
| | 849 | | | | | Haverty Furniture Cos., Inc. | | | 16,258 | |
| | 705 | | | | | Hibbett Sports Inc.* | | | 11,661 | |
| | 1,765 | | | | | Hudson Ltd., Class A Shares* | | | 19,150 | |
| | 421 | | | | | J. Jill Inc. | | | 787 | |
| | 9,367 | | | | | L Brands Inc. | | | 154,649 | |
| | 902 | | | | | Lithia Motors Inc., Class A Shares | | | 118,225 | |
| | 1,030 | | | | | Lumber Liquidators Holdings Inc.*(a) | | | 9,692 | |
| | 970 | | | | | MarineMax Inc.* | | | 14,026 | |
| | 3,489 | | | | | Michaels Cos., Inc. (The)* | | | 19,783 | |
| | 12,695 | | | | | Monro Inc. | | | 986,655 | |
| | 1,245 | | | | | Murphy USA Inc.* | | | 111,303 | |
| | 2,843 | | | | | National Vision Holdings Inc.* | | | 80,627 | |
See Notes to Financial Statements.
61
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | CONSUMER DISCRETIONARY — 7.7% — (continued) | |
|
| | Specialty Retail — 2.0% — (continued) | |
| | 145,788 | | | | | Office Depot Inc. | | $ | 189,524 | |
| | 69,060 | | | | | Party City Holdco Inc.*(a) | | | 324,582 | |
| | 1,473 | | | | | Penske Automotive Group Inc. | | | 63,015 | |
| | 2,016 | | | | | Rent-A-Center Inc.* | | | 51,468 | |
| | 744 | | | | | RH* | | | 106,578 | |
| | 18,497 | | | | | RTW RetailWinds Inc.* | | | 18,682 | |
| | 5,015 | | | | | Sally Beauty Holdings Inc.* | | | 61,333 | |
| | 395 | | | | | Shoe Carnival Inc. | | | 12,142 | |
| | 2,105 | | | | | Signet Jewelers Ltd. | | | 25,765 | |
| | 1,209 | | | | | Sleep Number Corp.* | | | 50,585 | |
| | 1,015 | | | | | Sonic Automotive Inc., Class A Shares | | | 27,314 | |
| | 1,261 | | | | | Sportsman’s Warehouse Holdings Inc.* | | | 5,321 | |
| | 1,797 | | | | | Tailored Brands Inc.(a) | | | 9,740 | |
| | 1,600 | | | | | Tile Shop Holdings Inc. | | | 4,304 | |
| | 777 | | | | | Tilly’s Inc., Class A Shares | | | 8,322 | |
| | 3,075 | | | | | Urban Outfitters Inc.* | | | 71,986 | |
| | 3,219 | | | | | Williams-Sonoma Inc. | | | 211,810 | |
| | 88 | | | | | Winmark Corp. | | | 14,300 | |
| | 780 | | | | | Zumiez Inc.* | | | 20,264 | |
| | | | | | | | | | |
| | | | | | Total Specialty Retail | | | 8,241,682 | |
| | | | | | | | | | |
|
| | Textiles, Apparel & Luxury Goods — 0.7% | |
| | 5,858 | | | | | Capri Holdings Ltd.* | | | 154,534 | |
| | 10,587 | | | | | Carter’s Inc. | | | 968,499 | |
| | 931 | | | | | Centric Brands Inc.* | | | 2,579 | |
| | 1,226 | | | | | Columbia Sportswear Co. | | | 114,986 | |
| | 2,579 | | | | | Crocs Inc.* | | | 57,512 | |
| | 481 | | | | | Culp Inc. | | | 6,753 | |
| | 1,194 | | | | | Deckers Outdoor Corp.* | | | 176,055 | |
| | 266 | | | | | Delta Apparel Inc.* | | | 5,969 | |
| | 1,985 | | | | | Fossil Group Inc.* | | | 25,408 | |
| | 1,876 | | | | | G-III Apparel Group Ltd.* | | | 38,477 | |
| | 14,785 | | | | | Hanesbrands Inc. | | | 201,963 | |
| | 1,843 | | | | | Kontoor Brands Inc.* | | | 63,104 | |
| | 703 | | | | | Movado Group Inc. | | | 15,128 | |
| | 706 | | | | | Oxford Industries Inc. | | | 49,265 | |
| | 2,141 | | | | | Ralph Lauren Corp., Class A Shares | | | 189,136 | |
| | 212 | | | | | Rocky Brands Inc. | | | 6,178 | |
| | 5,405 | | | | | Skechers U.S.A. Inc., Class A Shares* | | | 171,122 | |
| | 3,517 | | | | | Steven Madden Ltd. | | | 116,835 | |
| | 332 | | | | | Superior Group of Cos., Inc. | | | 4,708 | |
| | 507 | | | | | Unifi Inc.* | | | 9,755 | |
| | 769 | | | | | Vera Bradley Inc.* | | | 8,144 | |
| | 28,282 | | | | | Wolverine World Wide Inc. | | | 733,918 | |
| | | | | | | | | | |
| | | | | | Total Textiles, Apparel & Luxury Goods | | | 3,120,028 | |
| | | | | | | | | | |
| | | | | | TOTAL CONSUMER DISCRETIONARY | | | 32,421,965 | |
| | | | | | | | | | |
|
| | CONSUMER STAPLES — 3.0% | |
|
| | Beverages — 0.2% | |
| | 340 | | | | | Boston Beer Co., Inc. (The), Class A Shares* | | | 149,063 | |
| | 4,617 | | | | | Brown-Forman Corp., Class B Shares | | | 272,357 | |
| | 1,034 | | | | | Celsius Holdings Inc.* | | | 4,239 | |
| | 194 | | | | | Coca-Cola Consolidated Inc. | | | 65,302 | |
| | 473 | | | | | Craft Brew Alliance Inc.* | | | 4,754 | |
| | 522 | | | | | MGP Ingredients Inc. | | | 25,145 | |
See Notes to Financial Statements.
62
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | CONSUMER STAPLES — 3.0% — (continued) | |
|
| | Beverages — 0.2% — (continued) | |
| | 467 | | | | | National Beverage Corp.(a) | | $ | 19,100 | |
| | 3,000 | | | | | New Age Beverages Corp.*(a) | | | 9,120 | |
| | 7,479 | | | | | Pernod Ricard SA, ADR(a) | | | 285,698 | |
| | 1,485 | | | | | Primo Water Corp.* | | | 18,161 | |
| | | | | | | | | | |
| | | | | | Total Beverages | | | 852,939 | |
| | | | | | | | | | |
|
| | Food & Staples Retailing — 0.4% | |
| | 1,305 | | | | | Andersons Inc. (The) | | | 29,911 | |
| | 4,614 | | | | | BJ’s Wholesale Club Holdings Inc.* | | | 121,164 | |
| | 1,503 | | | | | Casey’s General Stores Inc. | | | 252,279 | |
| | 1,005 | | | | | Chefs’ Warehouse Inc. (The)* | | | 38,773 | |
| | 1,840 | | | | | Grocery Outlet Holding Corp.* | | | 74,428 | |
| | 309 | | | | | HF Foods Group Inc.* | | | 5,988 | |
| | 574 | | | | | Ingles Markets Inc., Class A Shares | | | 22,317 | |
| | 321 | | | | | Natural Grocers by Vitamin Cottage Inc.* | | | 3,030 | |
| | 4,209 | | | | | Performance Food Group Co.* | | | 196,939 | |
| | 913 | | | | | PriceSmart Inc. | | | 55,173 | |
| | 2,402 | | | | | Rite Aid Corp.*(a) | | | 15,517 | |
| | 1,330 | | | | | SpartanNash Co. | | | 14,324 | |
| | 4,922 | | | | | Sprouts Farmers Market Inc.* | | | 88,350 | |
| | 3,623 | | | | | Sysco Corp. | | | 269,298 | |
| | 1,879 | | | | | United Natural Foods Inc.* | | | 15,107 | |
| | 8,972 | | | | | US Foods Holding Corp.* | | | 362,917 | |
| | 361 | | | | | Village Super Market Inc., Class A Shares | | | 9,014 | |
| | 366 | | | | | Weis Markets Inc. | | | 13,992 | |
| | | | | | | | | | |
| | | | | | Total Food & Staples Retailing | | | 1,588,521 | |
| | | | | | | | | | |
|
| | Food Products — 1.8% | |
| | 215 | | | | | Alico Inc. | | | 6,418 | |
| | 2,624 | | | | | B&G Foods Inc.(a) | | | 44,424 | |
| | 517 | | | | | Beyond Meat Inc.*(a) | | | 86,665 | |
| | 71 | | | | | Bridgford Foods Corp.* | | | 2,378 | |
| | 5,659 | | | | | Bunge Ltd. | | | 302,247 | |
| | 668 | | | | | Calavo Growers Inc. | | | 59,218 | |
| | 40,280 | | | | | Cal-Maine Foods Inc. | | | 1,632,951 | |
| | 6,759 | | | | | Darling Ingredients Inc.* | | | 125,718 | |
| | 3,413 | | | | | Dean Foods Co. | | | 3,447 | |
| | 410 | | | | | Farmer Brothers Co.* | | | 4,977 | |
| | 7,983 | | | | | Flowers Foods Inc. | | | 182,012 | |
| | 1,258 | | | | | Fresh Del Monte Produce Inc. | | | 32,758 | |
| | 1,281 | | | | | Freshpet Inc.* | | | 62,872 | |
| | 24,181 | | | | | Hain Celestial Group Inc. (The)* | | | 460,648 | |
| | 4,119 | | | | | Hostess Brands Inc., Class A Shares* | | | 57,748 | |
| | 2,746 | | | | | Ingredion Inc. | | | 212,184 | |
| | 620 | | | | | J&J Snack Foods Corp. | | | 119,697 | |
| | 339 | | | | | John B Sanfilippo & Son Inc. | | | 31,391 | |
| | 6,005 | | | | | Lamb Weston Holdings Inc. | | | 422,692 | |
| | 765 | | | | | Lancaster Colony Corp. | | | 111,614 | |
| | 1,096 | | | | | Landec Corp.* | | | 12,045 | |
| | 624 | | | | | Limoneira Co. | | | 11,332 | |
| | 2,216 | | | | | Pilgrim’s Pride Corp.* | | | 69,051 | |
| | 2,662 | | | | | Post Holdings Inc.* | | | 265,375 | |
| | 16,308 | | | | | Sanderson Farms Inc. | | | 2,440,003 | |
| | 11 | | | | | Seaboard Corp. | | | 45,432 | |
| | 217 | | | | | Seneca Foods Corp., Class A Shares* | | | 5,963 | |
See Notes to Financial Statements.
63
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | CONSUMER STAPLES — 3.0% — (continued) | |
|
| | Food Products — 1.8% — (continued) | |
| | 2,906 | | | | | Simply Good Foods Co. (The)* | | $ | 86,105 | |
| | 628 | | | | | Tootsie Roll Industries Inc. | | | 23,035 | |
| | 16,382 | | | | | TreeHouse Foods Inc.* | | | 829,748 | |
| | | | | | | | | | |
| | | | | | Total Food Products | | | 7,750,148 | |
| | | | | | | | | | |
|
| | Household Products — 0.3% | |
| | 2,192 | | | | | Central Garden & Pet Co., Class A Shares* | | | 53,705 | |
| | 2,643 | | | | | Energizer Holdings Inc.(a) | | | 101,756 | |
| | 34,073 | | | | | Henkel AG & Co. KGaA, ADR | | | 785,553 | |
| | 209 | | | | | Oil-Dri Corp. of America | | | 6,429 | |
| | 1,467 | | | | | Spectrum Brands Holdings Inc. | | | 81,961 | |
| | 564 | | | | | WD-40 Co. | | | 102,817 | |
| | | | | | | | | | |
| | | | | | Total Household Products | | | 1,132,221 | |
| | | | | | | | | | |
|
| | Personal Products — 0.3% | |
| | 2,244 | | | | | Edgewell Personal Care Co.* | | | 62,473 | |
| | 1,096 | | | | | elf Beauty Inc.* | | | 17,887 | |
| | 18,146 | | | | | Herbalife Nutrition Ltd.* | | | 624,767 | |
| | 731 | | | | | Inter Parfums Inc. | | | 46,996 | |
| | 585 | | | | | Lifevantage Corp.* | | | 7,114 | |
| | 459 | | | | | Medifast Inc. | | | 45,882 | |
| | 462 | | | | | Nature’s Sunshine Products Inc.* | | | 4,347 | |
| | 9,694 | | | | | Nu Skin Enterprises Inc., Class A Shares | | | 393,770 | |
| | 325 | | | | | Revlon Inc., Class A Shares*(a) | | | 5,372 | |
| | 558 | | | | | USANA Health Sciences Inc.* | | | 37,927 | |
| | 305 | | | | | Youngevity International Inc.*(a) | | | 1,305 | |
| | | | | | | | | | |
| | | | | | Total Personal Products | | | 1,247,840 | |
| | | | | | | | | | |
|
| | Tobacco — 0.0% | |
| | 3,975 | | | | | 22nd Century Group Inc.*(a) | | | 7,791 | |
| | 288 | | | | | Pyxus International Inc.* | | | 3,850 | |
| | 322 | | | | | Turning Point Brands Inc. | | | 11,544 | |
| | 1,019 | | | | | Universal Corp. | | | 51,011 | |
| | 4,288 | | | | | Vector Group Ltd. | | | 50,084 | |
| | | | | | | | | | |
| | | | | | Total Tobacco | | | 124,280 | |
| | | | | | | | | | |
| | | | | | TOTAL CONSUMER STAPLES | | | 12,695,949 | |
| | | | | | | | | | |
|
| | ENERGY — 1.9% | |
|
| | Energy Equipment & Services — 0.7% | |
| | 3,209 | | | | | Apergy Corp.* | | | 83,370 | |
| | 5,309 | | | | | Archrock Inc. | | | 51,550 | |
| | 2,727 | | | | | C&J Energy Services Inc.* | | | 26,070 | |
| | 1,938 | | | | | Cactus Inc., Class A Shares* | | | 49,361 | |
| | 1,150 | | | | | Covia Holdings Corp.*(a) | | | 1,725 | |
| | 2,878 | | | | | Diamond Offshore Drilling Inc.* | | | 18,678 | |
| | 598 | | | | | DMC Global Inc. | | | 25,971 | |
| | 7,493 | | | | | Dril-Quip Inc.* | | | 343,554 | |
| | 852 | | | | | Era Group Inc.* | | | 8,077 | |
| | 1,217 | | | | | Exterran Corp.* | | | 12,839 | |
| | 40,641 | | | | | Forum Energy Technologies Inc.* | | | 57,304 | |
| | 4,424 | | | | | Frank’s International NV* | | | 19,244 | |
| | 1,479 | | | | | FTS International Inc.* | | | 3,712 | |
| | 547 | | | | | Geospace Technologies Corp.* | | | 6,695 | |
| | 5,899 | | | | | Helix Energy Solutions Group Inc.* | | | 42,709 | |
| | 4,354 | | | | | Helmerich & Payne Inc. | | | 163,667 | |
See Notes to Financial Statements.
64
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | ENERGY — 1.9% — (continued) | |
|
| | Energy Equipment & Services — 0.7% — (continued) | |
| | 1,645 | | | | | Independence Contract Drilling Inc.* | | $ | 1,727 | |
| | 8,500 | | | | | ION Geophysical Corp.* | | | 65,620 | |
| | 39,698 | | | | | Keane Group Inc.* | | | 210,399 | |
| | 797 | | | | | KLX Energy Services Holdings Inc.* | | | 7,994 | |
| | 1,737 | | | | | Liberty Oilfield Services Inc., Class A Shares | | | 18,708 | |
| | 496 | | | | | Mammoth Energy Services Inc. | | | 1,805 | |
| | 1,065 | | | | | Matrix Service Co.* | | | 21,162 | |
| | 39,587 | | | | | McDermott International Inc.*(a) | | | 186,851 | |
| | 14,544 | | | | | Nabors Industries Ltd. | | | 24,434 | |
| | 984 | | | | | National Energy Services Reunited Corp.* | | | 7,537 | |
| | 415 | | | | | Natural Gas Services Group Inc.* | | | 4,474 | |
| | 258 | | | | | NCS Multistage Holdings Inc.* | | | 557 | |
| | 3,726 | | | | | Newpark Resources Inc.* | | | 24,629 | |
| | 648 | | | | | Nine Energy Service Inc.* | | | 3,551 | |
| | 9,245 | | | | | Noble Corp. PLC* | | | 14,792 | |
| | 20,023 | | | | | Oceaneering International Inc.* | | | 259,498 | |
| | 16,643 | | | | | Oil States International Inc.* | | | 229,507 | |
| | 1,234 | | | | | Pacific Drilling SA* | | | 7,503 | |
| | 383 | | | | | Parker Drilling Co.* | | | 6,549 | |
| | 25,548 | | | | | Patterson-UTI Energy Inc. | | | 220,990 | |
| | 3,297 | | | | | ProPetro Holding Corp.* | | | 35,113 | |
| | 429 | | | | | RigNet Inc.* | | | 3,363 | |
| | 36,896 | | | | | RPC Inc.(a) | | | 195,918 | |
| | 690 | | | | | SEACOR Holdings Inc.* | | | 32,409 | |
| | 894 | | | | | SEACOR Marine Holdings Inc.* | | | 11,649 | |
| | 2,430 | | | | | Seadrill Ltd.*(a) | | | 5,711 | |
| | 2,438 | | | | | Select Energy Services Inc., Class A Shares* | | | 19,894 | |
| | 1,101 | | | | | Smart Sand Inc.* | | | 2,609 | |
| | 1,342 | | | | | Solaris Oilfield Infrastructure Inc., Class A Shares | | | 18,453 | |
| | 51,244 | | | | | Superior Energy Services Inc.* | | | 17,157 | |
| | 52,751 | | | | | TETRA Technologies Inc.* | | | 87,567 | |
| | 1,554 | | | | | Tidewater Inc.* | | | 24,491 | |
| | 24,031 | | | | | Transocean Ltd.* | | | 109,341 | |
| | 3,056 | | | | | US Silica Holdings Inc.(a) | | | 31,080 | |
| | 818 | | | | | US Well Services Inc.* | | | 2,454 | |
| | | | | | | | | | |
| | | | | | Total Energy Equipment & Services | | | 2,830,022 | |
| | | | | | | | | | |
|
| | Oil, Gas & Consumable Fuels — 1.2% | |
| | 6,058 | | | | | Abraxas Petroleum Corp.* | | | 3,162 | |
| | 2,107 | | | | | Altus Midstream Co., Class A Shares* | | | 4,867 | |
| | 530 | | | | | Amplify Energy Corp.* | | | 3,159 | |
| | 9,385 | | | | | Antero Midstream Corp.(a) | | | 66,727 | |
| | 11,002 | | | | | Antero Resources Corp.* | | | 34,876 | |
| | 674 | | | | | Arch Coal Inc., Class A Shares | | | 51,601 | |
| | 1,299 | | | | | Ardmore Shipping Corp.* | | | 8,106 | |
| | 2,630 | | | | | Berry Petroleum Corp. | | | 21,014 | |
| | 704 | | | | | Bonanza Creek Energy Inc.* | | | 15,882 | |
| | 668 | | | | | Brigham Minerals Inc., Class A Shares | | | 13,353 | |
| | 1,997 | | | | | California Resources Corp.*(a) | | | 19,551 | |
| | 9,507 | | | | | Callon Petroleum Co.* | | | 39,074 | |
| | 3,781 | | | | | Carrizo Oil & Gas Inc.* | | | 31,344 | |
| | 7,634 | | | | | Centennial Resource Development Inc., Class A Shares* | | | 36,796 | |
| | 1,290 | | | | | Chaparral Energy Inc., Class A Shares* | | | 1,716 | |
| | 54,167 | | | | | Chesapeake Energy Corp.*(a) | | | 78,000 | |
| | 4,070 | | | | | Cimarex Energy Co. | | | 174,115 | |
See Notes to Financial Statements.
65
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | ENERGY — 1.9% — (continued) | |
|
| | Oil, Gas & Consumable Fuels — 1.2% — (continued) | |
| | 5,163 | | | | | Clean Energy Fuels Corp.* | | $ | 10,274 | |
| | 8,096 | | | | | CNX Resources Corp.* | | | 64,525 | |
| | 715 | | | | | Comstock Resources Inc.*(a) | | | 4,090 | |
| | 1,079 | | | | | CONSOL Energy Inc.* | | | 18,084 | |
| | 787 | | | | | Contura Energy Inc.* | | | 22,666 | |
| | 1,220 | | | | | CVR Energy Inc. | | | 48,532 | |
| | 3,145 | | | | | Delek US Holdings Inc. | | | 102,999 | |
| | 19,695 | | | | | Denbury Resources Inc.* | | | 21,271 | |
| | 3,544 | | | | | DHT Holdings Inc. | | | 19,917 | |
| | 921 | | | | | Diamond S Shipping Inc.* | | | 10,039 | |
| | 1,083 | | | | | Dorian LPG Ltd.* | | | 11,252 | |
| | 660 | | | | | Earthstone Energy Inc., Class A Shares* | | | 2,270 | |
| | 3,416 | | | | | Energy Fuels Inc.*(a) | | | 6,251 | |
| | 10,386 | | | | | EQT Corp. | | | 105,626 | |
| | 8,459 | | | | | Equitrans Midstream Corp. | | | 114,112 | |
| | 969 | | | | | Evolution Petroleum Corp. | | | 5,736 | |
| | 4,151 | | | | | Extraction Oil & Gas Inc.*(a) | | | 16,729 | |
| | 1,579 | | | | | Falcon Minerals Corp. | | | 9,253 | |
| | 1,789 | | | | | GasLog Ltd. | | | 22,005 | |
| | 3,926 | | | | | Golar LNG Ltd. | | | 45,973 | |
| | 224 | | | | | Goodrich Petroleum Corp.* | | | 2,372 | |
| | 1,752 | | | | | Green Plains Inc. | | | 14,384 | |
| | 6,752 | | | | | Gulfport Energy Corp.* | | | 16,205 | |
| | 658 | | | | | Hallador Energy Co. | | | 2,612 | |
| | 4,080 | | | | | HighPoint Resources Corp.* | | | 4,774 | |
| | 6,485 | | | | | HollyFrontier Corp. | | | 287,675 | |
| | 1,043 | | | | | International Seaways Inc.* | | | 17,960 | |
| | 19 | | | | | Isramco Inc.* | | | 2,286 | |
| | 2,866 | | | | | Jagged Peak Energy Inc.* | | | 19,775 | |
| | 15,026 | | | | | Kosmos Energy Ltd. | | | 94,964 | |
| | 7,540 | | | | | Laredo Petroleum Inc.* | | | 18,699 | |
| | 4,160 | | | | | Magnolia Oil & Gas Corp., Class A Shares*(a) | | | 42,474 | |
| | 4,589 | | | | | Matador Resources Co.* | | | 71,818 | |
| | 917 | | | | | Montage Resources Corp.* | | | 2,733 | |
| | 6,711 | | | | | Murphy Oil Corp. | | | 122,342 | |
| | 175 | | | | | NACCO Industries Inc., Class A Shares | | | 8,711 | |
| | 636 | | | | | NextDecade Corp.* | | | 3,568 | |
| | 16,929 | | | | | Noble Energy Inc. | | | 382,257 | |
| | 5,132 | | | | | Nordic American Tankers Ltd.(a) | | | 9,135 | |
| | 11,553 | | | | | Northern Oil and Gas Inc.* | | | 21,257 | |
| | 13,172 | | | | | Oasis Petroleum Inc.* | | | 41,097 | |
| | 1,628 | | | | | Overseas Shipholding Group Inc., Class A Shares* | | | 2,654 | |
| | 616 | | | | | Panhandle Oil and Gas Inc., Class A Shares | | | 7,041 | |
| | 1,457 | | | | | Par Pacific Holdings Inc.* | | | 31,675 | |
| | 10,999 | | | | | Parsley Energy Inc., Class A Shares* | | | 196,992 | |
| | 21,602 | | | | | PBF Energy Inc., Class A Shares | | | 511,967 | |
| | 2,745 | | | | | PDC Energy Inc.* | | | 87,428 | |
| | 2,838 | | | | | Peabody Energy Corp. | | | 52,304 | |
| | 589 | | | | | Penn Virginia Corp.* | | | 16,786 | |
| | 28 | | | | | PrimeEnergy Resources Corp.* | | | 3,150 | |
| | 60,453 | | | | | QEP Resources Inc. | | | 215,213 | |
| | 38,969 | | | | | Range Resources Corp.(a) | | | 138,730 | |
| | 1,577 | | | | | Renewable Energy Group Inc.* | | | 19,192 | |
| | 246 | | | | | REX American Resources Corp.* | | | 16,895 | |
See Notes to Financial Statements.
66
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | ENERGY — 1.9% — (continued) | |
|
| | Oil, Gas & Consumable Fuels — 1.2% — (continued) | |
| | 2,143 | | | | | Ring Energy Inc.* | | $ | 3,129 | |
| | 2,342 | | | | | Roan Resources Inc.*(a) | | | 2,646 | |
| | 1,143 | | | | | SandRidge Energy Inc.* | | | 5,349 | |
| | 1,786 | | | | | Scorpio Tankers Inc. | | | 46,954 | |
| | 3,391 | | | | | SemGroup Corp., Class A Shares | | | 29,976 | |
| | 3,354 | | | | | Ship Finance International Ltd. | | | 47,191 | |
| | 220 | | | | | SilverBow Resources Inc.* | | | 1,910 | |
| | 4,645 | | | | | SM Energy Co. | | | 44,035 | |
| | 22,660 | | | | | Southwestern Energy Co.* | | | 35,803 | |
| | 10,161 | | | | | SRC Energy Inc.* | | | 51,008 | |
| | 885 | | | | | Talos Energy Inc.* | | | 16,850 | |
| | 9,363 | | | | | Targa Resources Corp. | | | 338,192 | |
| | 2,597 | | | | | Teekay Corp.(a) | | | 9,531 | |
| | 7,025 | | | | | Teekay Tankers Ltd., Class A Shares* | | | 7,798 | |
| | 3,910 | | | | | Tellurian Inc.*(a) | | | 25,532 | |
| | 2,096 | | | | | Unit Corp.* | | | 6,351 | |
| | 5,949 | | | | | Uranium Energy Corp.* | | | 5,574 | |
| | 3,477 | | | | | W&T Offshore Inc.* | | | 15,229 | |
| | 3,776 | | | | | Whiting Petroleum Corp.* | | | 25,035 | |
| | 2,687 | | | | | World Fuel Services Corp. | | | 103,181 | |
| | 72,352 | | | | | WPX Energy Inc.* | | | 778,508 | |
| | | | | | | | | | |
| | | | | | Total Oil, Gas & Consumable Fuels | | | 5,351,854 | |
| | | | | | | | | | |
| | | | | | TOTAL ENERGY | | | 8,181,876 | |
| | | | | | | | | | |
|
| | FINANCIALS — 15.1% | |
|
| | Banks — 5.6% | |
| | 350 | | | | | 1st Constitution Bancorp | | | 6,093 | |
| | 591 | | | | | 1st Source Corp. | | | 26,223 | |
| | 284 | | | | | ACNB Corp. | | | 9,565 | |
| | 848 | | | | | Allegiance Bancshares Inc.* | | | 27,484 | |
| | 634 | | | | | Amalgamated Bank, Class A Shares | | | 10,176 | |
| | 800 | | | | | Amerant Bancorp Inc., Class A Shares* | | | 13,248 | |
| | 449 | | | | | American National Bankshares Inc. | | | 15,356 | |
| | 2,717 | | | | | Ameris Bancorp | | | 95,611 | |
| | 319 | | | | | Ames National Corp. | | | 8,444 | |
| | 560 | | | | | Arrow Financial Corp. | | | 18,010 | |
| | 6,712 | | | | | Associated Banc-Corp. | | | 129,139 | |
| | 987 | | | | | Atlantic Capital Bancshares Inc.* | | | 16,088 | |
| | 3,333 | | | | | Atlantic Union Bankshares Corp. | | | 120,355 | |
| | 1,928 | | | | | Banc of California Inc. | | | 28,091 | |
| | 801 | | | | | BancFirst Corp. | | | 43,070 | |
| | 2,088 | | | | | Bancorp Inc. (The)* | | | 19,063 | |
| | 3,895 | | | | | BancorpSouth Bank | | | 107,463 | |
| | 239 | | | | | Bank First Corp. | | | 13,009 | |
| | 558 | | | | | Bank of Commerce Holdings | | | 5,580 | |
| | 1,671 | | | | | Bank of Hawaii Corp. | | | 138,158 | |
| | 578 | | | | | Bank of Marin Bancorp | | | 23,473 | |
| | 2,259 | | | | | Bank of NT Butterfield & Son Ltd. (The) | | | 62,258 | |
| | 221 | | | | | Bank of Princeton (The) | | | 5,901 | |
| | 4,994 | | | | | Bank OZK | | | 128,845 | |
| | 201 | | | | | Bank7 Corp.* | | | 3,616 | |
| | 701 | | | | | BankFinancial Corp. | | | 8,174 | |
| | 39,931 | | | | | BankUnited Inc. | | | 1,268,209 | |
| | 317 | | | | | Bankwell Financial Group Inc. | | | 8,340 | |
See Notes to Financial Statements.
67
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | FINANCIALS — 15.1% — (continued) | |
|
| | Banks — 5.6% — (continued) | |
| | 5,531 | | | | | Banner Corp. | | $ | 298,176 | |
| | 625 | | | | | Bar Harbor Bankshares | | | 13,794 | |
| | 434 | | | | | Baycom Corp.* | | | 9,591 | |
| | 686 | | | | | BCB Bancorp Inc. | | | 8,479 | |
| | 17,209 | | | | | Berkshire Hills Bancorp Inc. | | | 504,740 | |
| | 1,341 | | | | | BOK Financial Corp. | | | 102,104 | |
| | 3,124 | | | | | Boston Private Financial Holdings Inc. | | | 33,177 | |
| | 761 | | | | | Bridge Bancorp Inc. | | | 20,478 | |
| | 3,033 | | | | | Brookline Bancorp Inc. | | | 42,583 | |
| | 882 | | | | | Bryn Mawr Bank Corp. | | | 30,076 | |
| | 517 | | | | | Business First Bancshares Inc. | | | 12,212 | |
| | 1,020 | | | | | Byline Bancorp Inc.* | | | 17,544 | |
| | 102 | | | | | C&F Financial Corp. | | | 4,835 | |
| | 5,225 | | | | | Cadence BanCorp, Class A Shares | | | 80,308 | |
| | 183 | | | | | Cambridge Bancorp | | | 13,531 | |
| | 668 | | | | | Camden National Corp. | | | 27,695 | |
| | 297 | | | | | Capital Bancorp Inc.* | | | 3,594 | |
| | 575 | | | | | Capital City Bank Group Inc. | | | 14,018 | |
| | 637 | | | | | Capstar Financial Holdings Inc. | | | 9,848 | |
| | 866 | | | | | Carolina Financial Corp. | | | 29,574 | |
| | 946 | | | | | Carter Bank & Trust* | | | 17,870 | |
| | 3,114 | | | | | Cathay General Bancorp | | | 103,354 | |
| | 702 | | | | | CBTX Inc. | | | 18,905 | |
| | 5,274 | | | | | CenterState Bank Corp. | | | 119,298 | |
| | 1,053 | | | | | Central Pacific Financial Corp. | | | 29,294 | |
| | 478 | | | | | Central Valley Community Bancorp | | | 9,359 | |
| | 124 | | | | | Century Bancorp Inc., Class A Shares | | | 10,044 | |
| | 124 | | | | | Chemung Financial Corp. | | | 4,984 | |
| | 3,950 | | | | | CIT Group Inc. | | | 168,230 | |
| | 468 | | | | | Citizens & Northern Corp. | | | 11,101 | |
| | 664 | | | | | City Holding Co. | | | 49,368 | |
| | 560 | | | | | Civista Bancshares Inc. | | | 11,441 | |
| | 561 | | | | | CNB Financial Corp. | | | 14,833 | |
| | 355 | | | | | Coastal Financial Corp.* | | | 5,243 | |
| | 331 | | | | | Codorus Valley Bancorp Inc. | | | 7,401 | |
| | 315 | | | | | Colony Bankcorp Inc. | | | 5,027 | |
| | 2,807 | | | | | Columbia Banking System Inc. | | | 96,870 | |
| | 4,900 | | | | | Comerica Inc. | | | 302,085 | |
| | 4,097 | | | | | Commerce Bancshares Inc. | | | 233,816 | |
| | 1,928 | | | | | Community Bank System Inc. | | | 117,589 | |
| | 856 | | | | | Community Bankers Trust Corp. | | | 6,643 | |
| | 155 | | | | | Community Financial Corp. (The) | | | 4,872 | |
| | 675 | | | | | Community Trust Bancorp Inc. | | | 26,257 | |
| | 1,410 | | | | | ConnectOne Bancorp Inc. | | | 28,877 | |
| | 5,079 | | | | | Cullen/Frost Bankers Inc. | | | 421,608 | |
| | 1,036 | | | | | Customers Bancorp Inc.* | | | 19,570 | |
| | 5,486 | | | | | CVB Financial Corp. | | | 112,847 | |
| | 146 | | | | | DNB Financial Corp. | | | 6,009 | |
| | 1,390 | | | | | Eagle Bancorp Inc. | | | 56,629 | |
| | 5,983 | | | | | East West Bancorp Inc. | | | 246,081 | |
| | 361 | | | | | Enterprise Bancorp Inc. | | | 10,444 | |
| | 1,047 | | | | | Enterprise Financial Services Corp. | | | 41,273 | |
| | 648 | | | | | Equity Bancshares Inc., Class A Shares* | | | 16,394 | |
| | 279 | | | | | Esquire Financial Holdings Inc.* | | | 6,556 | |
See Notes to Financial Statements.
68
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | FINANCIALS — 15.1% — (continued) | |
|
| | Banks — 5.6% — (continued) | |
| | 187 | | | | | Evans Bancorp Inc. | | $ | 6,379 | |
| | 473 | | | | | Farmers & Merchants Bancorp Inc. | | | 12,099 | |
| | 1,013 | | | | | Farmers National Banc Corp. | | | 13,675 | |
| | 669 | | | | | FB Financial Corp. | | | 23,997 | |
| | 112 | | | | | Fidelity D&D Bancorp Inc. | | | 6,161 | |
| | 611 | | | | | Financial Institutions Inc. | | | 17,756 | |
| | 10,059 | | | | | First Bancorp | | | 126,953 | |
| | 400 | | | | | First Bancorp Inc. | | | 10,160 | |
| | 714 | | | | | First Bancshares Inc. (The) | | | 22,520 | |
| | 727 | | | | | First Bank | | | 7,677 | |
| | 2,229 | | | | | First Busey Corp. | | | 54,610 | |
| | 370 | | | | | First Business Financial Services Inc. | | | 8,343 | |
| | 136 | | | | | First Capital Inc. | | | 7,698 | |
| | 408 | | | | | First Choice Bancorp | | | 8,544 | |
| | 307 | | | | | First Citizens BancShares Inc., Class A Shares | | | 136,492 | |
| | 3,394 | | | | | First Commonwealth Financial Corp. | | | 41,984 | |
| | 616 | | | | | First Community Bancshares Inc. | | | 19,595 | |
| | 28,079 | | | | | First Financial Bancorp | | | 657,610 | |
| | 5,334 | | | | | First Financial Bankshares Inc. | | | 163,327 | |
| | 551 | | | | | First Financial Corp. | | | 22,371 | |
| | 226 | | | | | First Financial Northwest Inc. | | | 3,101 | |
| | 1,548 | | | | | First Foundation Inc. | | | 21,610 | |
| | 192 | | | | | First Guaranty Bancshares Inc. | | | 3,644 | |
| | 22,355 | | | | | First Hawaiian Inc. | | | 574,523 | |
| | 12,955 | | | | | First Horizon National Corp. | | | 205,078 | |
| | 341 | | | | | First Internet Bancorp | | | 6,895 | |
| | 1,483 | | | | | First Interstate BancSystem Inc., Class A Shares | | | 57,837 | |
| | 2,083 | | | | | First Merchants Corp. | | | 74,405 | |
| | 622 | | | | | First Mid Bancshares Inc. | | | 19,960 | |
| | 4,059 | | | | | First Midwest Bancorp Inc. | | | 77,933 | |
| | 347 | | | | | First Northwest Bancorp | | | 5,545 | |
| | 1,067 | | | | | First of Long Island Corp. (The) | | | 23,218 | |
| | 1,211 | | | | | Flushing Financial Corp. | | | 23,360 | |
| | 13,686 | | | | | FNB Corp. | | | 147,124 | |
| | 712 | | | | | FNCB Bancorp Inc. | | | 5,240 | |
| | 495 | | | | | Franklin Financial Network Inc. | | | 14,320 | |
| | 188 | | | | | Franklin Financial Services Corp. | | | 5,937 | |
| | 31,176 | | | | | Fulton Financial Corp. | | | 497,257 | |
| | 502 | | | | | FVCBankcorp Inc.* | | | 8,308 | |
| | 941 | | | | | German American Bancorp Inc. | | | 28,729 | |
| | 3,260 | | | | | Glacier Bancorp Inc. | | | 129,389 | |
| | 478 | | | | | Great Southern Bancorp Inc. | | | 26,931 | |
| | 2,033 | | | | | Great Western Bancorp Inc. | | | 60,644 | |
| | 383 | | | | | Guaranty Bancshares Inc. | | | 11,544 | |
| | 3,507 | | | | | Hancock Whitney Corp. | | | 123,131 | |
| | 1,156 | | | | | Hanmi Financial Corp. | | | 20,704 | |
| | 1,224 | | | | | HarborOne Bancorp Inc.* | | | 12,191 | |
| | 235 | | | | | Hawthorn Bancshares Inc. | | | 5,193 | |
| | 1,290 | | | | | Heartland Financial USA Inc. | | | 56,412 | |
| | 1,915 | | | | | Heritage Commerce Corp. | | | 22,195 | |
| | 1,513 | | | | | Heritage Financial Corp. | | | 39,610 | |
| | 3,030 | | | | | Hilltop Holdings Inc. | | | 71,962 | |
| | 6,533 | | | | | Home BancShares Inc. | | | 115,765 | |
| | 742 | | | | | HomeTrust Bancshares Inc. | | | 18,713 | |
See Notes to Financial Statements.
69
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | FINANCIALS — 15.1% — (continued) | |
|
| | Banks — 5.6% — (continued) | |
| | 4,982 | | | | | Hope Bancorp Inc. | | $ | 66,809 | |
| | 1,705 | | | | | Horizon Bancorp Inc. | | | 27,723 | |
| | 590 | | | | | Howard Bancorp Inc.* | | | 8,726 | |
| | 30,000 | | | | | Huntington Bancshares Inc. | | | 397,500 | |
| | 2,218 | | | | | IBERIABANK Corp. | | | 153,020 | |
| | 2,241 | | | | | Independent Bank Corp. | | | 109,646 | |
| | 1,521 | | | | | Independent Bank Group Inc. | | | 74,392 | |
| | 2,191 | | | | | International Bancshares Corp. | | | 77,978 | |
| | 334 | | | | | Investar Holding Corp. | | | 7,755 | |
| | 9,599 | | | | | Investors Bancorp Inc. | | | 106,549 | |
| | 2,138 | | | | | Lakeland Bancorp Inc. | | | 31,813 | |
| | 1,025 | | | | | Lakeland Financial Corp. | | | 43,388 | |
| | 530 | | | | | LCNB Corp. | | | 8,888 | |
| | 1,988 | | | | | LegacyTexas Financial Group Inc. | | | 80,315 | |
| | 228 | | | | | Level One Bancorp Inc. | | | 5,356 | |
| | 960 | | | | | Live Oak Bancshares Inc. | | | 17,222 | |
| | 1,056 | | | | | Macatawa Bank Corp. | | | 10,444 | |
| | 392 | | | | | Mackinac Financial Corp. | | | 5,543 | |
| | 314 | | | | | MainStreet Bancshares Inc.* | | | 6,691 | |
| | 238 | | | | | Malvern Bancorp Inc.* | | | 5,034 | |
| | 806 | | | | | MBT Financial Corp. | | | 7,931 | |
| | 714 | | | | | Mercantile Bank Corp. | | | 21,970 | |
| | 327 | | | | | Metropolitan Bank Holding Corp.* | | | 11,837 | |
| | 367 | | | | | Mid Penn Bancorp Inc. | | | 8,900 | |
| | 947 | | | | | Midland States Bancorp Inc. | | | 24,404 | |
| | 763 | | | | | MidSouth Bancorp Inc. | | | 7,897 | |
| | 467 | | | | | MidWestOne Financial Group Inc. | | | 13,529 | |
| | 301 | | | | | MutualFirst Financial Inc. | | | 9,081 | |
| | 362 | | | | | MVB Financial Corp. | | | 6,820 | |
| | 27,148 | | | | | National Bank Holdings Corp., Class A Shares | | | 886,111 | |
| | 251 | | | | | National Bankshares Inc. | | | 8,408 | |
| | 1,763 | | | | | NBT Bancorp Inc. | | | 61,652 | |
| | 315 | | | | | Nicolet Bankshares Inc.* | | | 19,965 | |
| | 318 | | | | | Northeast Bank | | | 6,675 | |
| | 262 | | | | | Northrim BanCorp Inc. | | | 9,484 | |
| | 201 | | | | | Norwood Financial Corp. | | | 6,175 | |
| | 304 | | | | | Oak Valley Bancorp | | | 4,910 | |
| | 2,094 | | | | | OFG Bancorp | | | 42,969 | |
| | 134 | | | | | Ohio Valley Banc Corp. | | | 4,316 | |
| | 604 | | | | | Old Line Bancshares Inc. | | | 15,958 | |
| | 7,128 | | | | | Old National Bancorp | | | 119,750 | |
| | 1,221 | | | | | Old Second Bancorp Inc. | | | 14,396 | |
| | 32,663 | | | | | Opus Bank | | | 678,084 | |
| | 815 | | | | | Origin Bancorp Inc. | | | 26,113 | |
| | 454 | | | | | Orrstown Financial Services Inc. | | | 9,688 | |
| | 950 | | | | | Pacific Mercantile Bancorp* | | | 7,220 | |
| | 2,555 | | | | | Pacific Premier Bancorp Inc. | | | 75,270 | |
| | 18,744 | | | | | PacWest Bancorp | | | 638,796 | |
| | 555 | | | | | Park National Corp. | | | 49,994 | |
| | 447 | | | | | Parke Bancorp Inc. | | | 10,178 | |
| | 473 | | | | | PCB Bancorp | | | 7,790 | |
| | 774 | | | | | Peapack Gladstone Financial Corp. | | | 21,773 | |
| | 169 | | | | | Penns Woods Bancorp Inc. | | | 6,978 | |
| | 749 | | | | | Peoples Bancorp Inc. | | | 23,002 | |
See Notes to Financial Statements.
70
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | FINANCIALS — 15.1% — (continued) | |
|
| | Banks — 5.6% — (continued) | |
| | 165 | | | | | Peoples Bancorp of North Carolina Inc. | | $ | 4,599 | |
| | 268 | | | | | Peoples Financial Services Corp. | | | 11,998 | |
| | 16,433 | | | | | People’s United Financial Inc. | | | 236,142 | |
| | 672 | | | | | People’s Utah Bancorp | | | 17,808 | |
| | 3,091 | | | | | Pinnacle Financial Partners Inc. | | | 162,803 | |
| | 3,931 | | | | | Popular Inc. | | | 206,653 | |
| | 564 | | | | | Preferred Bank | | | 28,177 | |
| | 650 | | | | | Premier Financial Bancorp Inc. | | | 10,075 | |
| | 2,764 | | | | | Prosperity Bancshares Inc. | | | 179,439 | |
| | 642 | | | | | QCR Holdings Inc. | | | 22,669 | |
| | 711 | | | | | RBB Bancorp | | | 13,104 | |
| | 417 | | | | | Reliant Bancorp Inc. | | | 9,553 | |
| | 2,415 | | | | | Renasant Corp. | | | 79,188 | |
| | 394 | | | | | Republic Bancorp Inc., Class A Shares | | | 16,725 | |
| | 1,597 | | | | | Republic First Bancorp Inc.* | | | 6,460 | |
| | 1,180 | | | | | S&T Bancorp Inc. | | | 40,380 | |
| | 1,372 | | | | | Sandy Spring Bancorp Inc. | | | 45,935 | |
| | 331 | | | | | SB One Bancorp | | | 7,388 | |
| | 2,085 | | | | | Seacoast Banking Corp. of Florida* | | | 48,664 | |
| | 823 | | | | | Select Bancorp Inc.* | | | 8,971 | |
| | 2,002 | | | | | ServisFirst Bancshares Inc. | | | 60,861 | |
| | 449 | | | | | Shore Bancshares Inc. | | | 6,897 | |
| | 590 | | | | | Sierra Bancorp | | | 14,538 | |
| | 5,026 | | | | | Signature Bank | | | 586,283 | |
| | 3,749 | | | | | Simmons First National Corp., Class A Shares | | | 89,976 | |
| | 620 | | | | | SmartFinancial Inc.* | | | 12,016 | |
| | 228 | | | | | South Plains Financial Inc. | | | 3,730 | |
| | 1,421 | | | | | South State Corp. | | | 104,557 | |
| | 257 | | | | | Southern First Bancshares Inc.* | | | 9,810 | |
| | 756 | | | | | Southern National Bancorp of Virginia Inc. | | | 11,053 | |
| | 1,324 | | | | | Southside Bancshares Inc. | | | 43,599 | |
| | 505 | | | | | Spirit of Texas Bancshares Inc.* | | | 10,403 | |
| | 8,536 | | | | | Sterling Bancorp | | | 162,782 | |
| | 810 | | | | | Stock Yards Bancorp Inc. | | | 29,403 | |
| | 395 | | | | | Summit Financial Group Inc. | | | 9,729 | |
| | 6,200 | | | | | Synovus Financial Corp. | | | 220,348 | |
| | 37,843 | | | | | TCF Financial Corp. | | | 1,459,226 | |
| | 14,053 | | | | | Texas Capital Bancshares Inc.* | | | 757,176 | |
| | 569 | | | | | Tompkins Financial Corp. | | | 45,008 | |
| | 12,205 | | | | | Towne Bank | | | 320,625 | |
| | 1,143 | | | | | TriCo Bancshares | | | 40,416 | |
| | 1,024 | | | | | TriState Capital Holdings Inc.* | | | 20,224 | |
| | 1,044 | | | | | Triumph Bancorp Inc.* | | | 31,310 | |
| | 2,657 | | | | | Trustmark Corp. | | | 86,831 | |
| | 17,635 | | | | | UMB Financial Corp. | | | 1,099,013 | |
| | 36,927 | | | | | Umpqua Holdings Corp. | | | 580,123 | |
| | 117 | | | | | Union Bankshares Inc. | | | 3,210 | |
| | 4,046 | | | | | United Bankshares Inc. | | | 149,216 | |
| | 2,652 | | | | | United Community Banks Inc. | | | 70,039 | |
| | 508 | | | | | United Security Bancshares | | | 5,273 | |
| | 281 | | | | | Unity Bancorp Inc. | | | 5,516 | |
| | 1,237 | | | | | Univest Financial Corp. | | | 31,308 | |
| | 135,742 | | | | | Valley National Bancorp | | | 1,426,648 | |
| | 2,183 | | | | | Veritex Holdings Inc. | | | 51,519 | |
See Notes to Financial Statements.
71
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | FINANCIALS — 15.1% — (continued) | |
|
| | Banks — 5.6% — (continued) | |
| | 639 | | | | | Washington Trust Bancorp Inc. | | $ | 29,650 | |
| | 3,771 | | | | | Webster Financial Corp. | | | 168,790 | |
| | 2,211 | | | | | WesBanco Inc. | | | 75,660 | |
| | 764 | | | | | West Bancorporation Inc. | | | 15,922 | |
| | 1,077 | | | | | Westamerica Bancorporation | | | 66,354 | |
| | 3,987 | | | | | Western Alliance Bancorp | | | 173,116 | |
| | 2,310 | | | | | Wintrust Financial Corp. | | | 145,137 | |
| | 7,402 | | | | | Zions Bancorp NA | | | 304,148 | |
| | | | | | | | | | |
| | | | | | Total Banks | | | 23,668,920 | |
| | | | | | | | | | |
|
| | Capital Markets — 3.1% | |
| | 2,094 | | | | | Affiliated Managers Group Inc. | | | 160,463 | |
| | 2,688 | | | | | Ares Management Corp., Class A Shares | | | 78,221 | |
| | 2,109 | | | | | Artisan Partners Asset Management Inc., Class A Shares | | | 56,184 | |
| | 56 | | | | | Associated Capital Group Inc., Class A Shares | | | 1,946 | |
| | 821 | | | | | B. Riley Financial Inc. | | | 17,372 | |
| | 12,166 | | | | | BGC Partners Inc., Class A Shares | | | 62,047 | |
| | 2,004 | | | | | Blucora Inc.* | | | 45,250 | |
| | 2,861 | | | | | Brightsphere Investment Group Inc. | | | 26,006 | |
| | 41,955 | | | | | Charles Schwab Corp. (The) | | | 1,605,618 | |
| | 15,437 | | | | | Cohen & Steers Inc. | | | 832,517 | |
| | 1,301 | | | | | Cowen Inc., Class A Shares* | | | 20,309 | |
| | 130 | | | | | Diamond Hill Investment Group Inc. | | | 17,537 | |
| | 1,232 | | | | | Donnelley Financial Solutions Inc.* | | | 13,096 | |
| | 4,635 | | | | | Eaton Vance Corp. | | | 199,861 | |
| | 1,679 | | | | | Evercore Inc., Class A Shares | | | 133,917 | |
| | 1,543 | | | | | FactSet Research Systems Inc. | | | 419,835 | |
| | 3,951 | | | | | Federated Investors Inc., Class B Shares | | | 126,590 | |
| | 1,266 | | | | | Focus Financial Partners Inc., Class A Shares* | | | 25,978 | |
| | 1,172 | | | | | GAIN Capital Holdings Inc.(a) | | | 5,333 | |
| | 205 | | | | | GAMCO Investors Inc., Class A Shares | | | 3,622 | |
| | 659 | | | | | Greenhill & Co., Inc. | | | 9,252 | |
| | 8,248 | | | | | Hamilton Lane Inc., Class A Shares | | | 512,531 | |
| | 1,410 | | | | | Houlihan Lokey Inc., Class A Shares | | | 62,294 | |
| | 686 | | | | | INTL. FCStone Inc.* | | | 26,898 | |
| | 3,556 | | | | | Janus Henderson Group PLC | | | 67,955 | |
| | 5,049 | | | | | Ladenburg Thalmann Financial Services Inc. | | | 9,896 | |
| | 4,444 | | | | | Lazard Ltd., Class A Shares | | | 152,607 | |
| | 3,497 | | | | | Legg Mason Inc. | | | 128,655 | |
| | 12,088 | | | | | LPL Financial Holdings Inc. | | | 905,996 | |
| | 1,515 | | | | | MarketAxess Holdings Inc. | | | 602,394 | |
| | 1,985 | | | | | Moelis & Co., Class A Shares | | | 66,557 | |
| | 8,183 | | | | | Moody’s Corp. | | | 1,764,091 | |
| | 809 | | | | | Morningstar Inc. | | | 130,718 | |
| | 11,693 | | | | | Nasdaq Inc. | | | 1,167,429 | |
| | 17,432 | | | | | Northern Trust Corp. | | | 1,532,796 | |
| | 704 | | | | | Och-Ziff Capital Management Group Inc., Class A Shares | | | 15,840 | |
| | 410 | | | | | Oppenheimer Holdings Inc., Class A Shares | | | 11,382 | |
| | 597 | | | | | Piper Jaffray Cos. | | | 43,438 | |
| | 985 | | | | | PJT Partners Inc., Class A Shares | | | 40,986 | |
| | 552 | | | | | Pzena Investment Management Inc., Class A Shares | | | 4,488 | |
| | 3,388 | | | | | Raymond James Financial Inc. | | | 265,992 | |
| | 723 | | | | | Safeguard Scientifics Inc.* | | | 8,647 | |
| | 9,764 | | | | | SEI Investments Co. | | | 561,528 | |
| | 309 | | | | | Siebert Financial Corp.*(a) | | | 3,390 | |
See Notes to Financial Statements.
72
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | FINANCIALS — 15.1% — (continued) | |
|
| | Capital Markets — 3.1% — (continued) | |
| | 518 | | | | | Silvercrest Asset Management Group Inc., Class A Shares | | $ | 6,770 | |
| | 30,384 | | | | | Solar Capital Ltd. | | | 621,657 | |
| | 2,545 | | | | | Stifel Financial Corp. | | | 135,954 | |
| | 10,222 | | | | | TD Ameritrade Holding Corp. | | | 453,959 | |
| | 1,969 | | | | | Virtu Financial Inc., Class A Shares | | | 37,017 | |
| | 299 | | | | | Virtus Investment Partners Inc. | | | 31,900 | |
| | 3,213 | | | | | Waddell & Reed Financial Inc., Class A Shares | | | 51,954 | |
| | 331 | | | | | Westwood Holdings Group Inc. | | | 9,086 | |
| | 5,614 | | | | | WisdomTree Investments Inc. | | | 27,003 | |
| | | | | | | | | | |
| | | | | | Total Capital Markets | | | 13,322,762 | |
| | | | | | | | | | |
|
| | Consumer Finance — 0.4% | |
| | 431 | | | | | Credit Acceptance Corp.* | | | 195,092 | |
| | 695 | | | | | Curo Group Holdings Corp.* | | | 9,466 | |
| | 578 | | | | | Elevate Credit Inc.* | | | 2,491 | |
| | 1,284 | | | | | Encore Capital Group Inc.* | | | 47,380 | |
| | 1,345 | | | | | Enova International Inc.* | | | 32,146 | |
| | 2,198 | | | | | EZCORP Inc., Class A Shares* | | | 17,298 | |
| | 8,012 | | | | | FirstCash Inc. | | | 791,025 | |
| | 2,059 | | | | | Green Dot Corp., Class A Shares* | | | 62,964 | |
| | 2,763 | | | | | LendingClub Corp.* | | | 36,168 | |
| | 860 | | | | | Medallion Financial Corp.* | | | 4,085 | |
| | 8,739 | | | | | Navient Corp. | | | 111,335 | |
| | 735 | | | | | Nelnet Inc., Class A Shares | | | 49,282 | |
| | 2,700 | | | | | OneMain Holdings Inc., Class A Shares | | | 96,795 | |
| | 1,832 | | | | | PRA Group Inc.* | | | 62,544 | |
| | 359 | | | | | Regional Management Corp.* | | | 9,244 | |
| | 4,382 | | | | | Santander Consumer USA Holdings Inc. | | | 114,414 | |
| | 18,136 | | | | | SLM Corp. | | | 153,068 | |
| | 278 | | | | | World Acceptance Corp.* | | | 36,946 | |
| | | | | | | | | | |
| | | | | | Total Consumer Finance | | | 1,831,743 | |
| | | | | | | | | | |
|
| | Diversified Financial Services — 0.2% | |
| | 1,375 | | | | | Banco Latinoamericano de Comercio Exterior SA, Class E Shares | | | 24,929 | |
| | 2,806 | | | | | Cannae Holdings Inc.* | | | 78,063 | |
| | 6,321 | | | | | FGL Holdings | | | 50,442 | |
| | 10,589 | | | | | Jefferies Financial Group Inc. | | | 197,379 | |
| | 329 | | | | | Marlin Business Services Corp. | | | 7,116 | |
| | 2,989 | | | | | On Deck Capital Inc.* | | | 9,714 | |
| | 5,933 | | | | | Voya Financial Inc. | | | 292,615 | |
| | | | | | | | | | |
| | | | | | Total Diversified Financial Services | | | 660,258 | |
| | | | | | | | | | |
|
| | Insurance — 4.5% | |
| | 577 | | | | | Alleghany Corp.* | | | 432,352 | |
| | 1,845 | | | | | Ambac Financial Group Inc.* | | | 33,284 | |
| | 16,905 | | | | | American Equity Investment Life Holding Co. | | | 364,303 | |
| | 3,057 | | | | | American Financial Group Inc. | | | 308,665 | |
| | 307 | | | | | American National Insurance Co. | | | 35,019 | |
| | 662 | | | | | AMERISAFE Inc. | | | 45,479 | |
| | 1,321 | | | | | Argo Group International Holdings Ltd. | | | 86,816 | |
| | 2,531 | | | | | Assurant Inc. | | | 311,313 | |
| | 4,117 | | | | | Assured Guaranty Ltd. | | | 175,178 | |
| | 3,412 | | | | | Axis Capital Holdings Ltd. | | | 209,463 | |
| | 4,782 | | | | | Brighthouse Financial Inc.* | | | 168,613 | |
| | 9,777 | | | | | Brown & Brown Inc. | | | 360,674 | |
See Notes to Financial Statements.
73
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | FINANCIALS — 15.1% — (continued) | |
|
| | Insurance — 4.5% — (continued) | |
| | 1,734 | | | | | Chubb Ltd. | | $ | 270,990 | |
| | 2,289 | | | | | Citizens Inc., Class A Shares*(a) | | | 14,375 | |
| | 6,762 | | | | | CNO Financial Group Inc. | | | 97,914 | |
| | 698 | | | | | Crawford & Co., Class A Shares | | | 6,736 | |
| | 558 | | | | | Donegal Group Inc., Class A Shares | | | 8,052 | |
| | 907 | | | | | eHealth Inc.* | | | 75,562 | |
| | 387 | | | | | EMC Insurance Group Inc. | | | 13,909 | |
| | 1,127 | | | | | Employers Holdings Inc. | | | 48,608 | |
| | 489 | | | | | Enstar Group Ltd.* | | | 87,345 | |
| | 1,010 | | | | | Erie Indemnity Co., Class A Shares | | | 221,503 | |
| | 3,202 | | | | | Everest Re Group Ltd. | | | 755,288 | |
| | 427 | | | | | FBL Financial Group Inc., Class A Shares | | | 23,156 | |
| | 416 | | | | | FedNat Holding Co. | | | 5,088 | |
| | 4,517 | | | | | First American Financial Corp. | | | 264,019 | |
| | 20,972 | | | | | Genworth Financial Inc., Class A Shares* | | | 92,906 | |
| | 296 | | | | | Global Indemnity Ltd. | | | 7,622 | |
| | 4,484 | | | | | Globe Life Inc. | | | 400,242 | |
| | 462 | | | | | Goosehead Insurance Inc., Class A Shares | | | 21,363 | |
| | 1,274 | | | | | Greenlight Capital Re Ltd., Class A Shares* | | | 11,708 | |
| | 546 | | | | | Hallmark Financial Services Inc.* | | | 9,599 | |
| | 1,692 | | | | | Hanover Insurance Group Inc. (The) | | | 225,290 | |
| | 269 | | | | | HCI Group Inc. | | | 10,483 | |
| | 379 | | | | | Health Insurance Innovations Inc., Class A Shares*(a) | | | 6,951 | |
| | 1,153 | | | | | Heritage Insurance Holdings Inc. | | | 15,116 | |
| | 1,419 | | | | | Horace Mann Educators Corp. | | | 62,252 | |
| | 214 | | | | | Independence Holding Co. | | | 7,922 | |
| | 67 | | | | | Investors Title Co. | | | 9,862 | |
| | 991 | | | | | James River Group Holdings Ltd. | | | 48,836 | |
| | 13,415 | | | | | Kemper Corp. | | | 938,782 | |
| | 823 | | | | | Kinsale Capital Group Inc. | | | 80,843 | |
| | 1,946 | | | | | Markel Corp.* | | | 2,224,434 | |
| | 3,591 | | | | | MBIA Inc.* | | | 32,319 | |
| | 1,145 | | | | | Mercury General Corp. | | | 61,257 | |
| | 15,408 | | | | | MetLife Inc. | | | 682,574 | |
| | 2,768 | | | | | National General Holdings Corp. | | | 65,269 | |
| | 94 | | | | | National Western Life Group Inc., Class A Shares | | | 24,235 | |
| | 380 | | | | | NI Holdings Inc.* | | | 6,384 | |
| | 11,774 | | | | | Old Republic International Corp. | | | 275,041 | |
| | 6,436 | | | | | Palomar Holdings Inc.* | | | 219,017 | |
| | 1,735 | | | | | Primerica Inc. | | | 206,760 | |
| | 1,849 | | | | | ProAssurance Corp. | | | 72,240 | |
| | 420 | | | | | Protective Insurance Corp., Class B Shares | | | 6,804 | |
| | 20,750 | | | | | Reinsurance Group of America Inc., Class A Shares | | | 3,194,878 | |
| | 1,798 | | | | | RenaissanceRe Holdings Ltd. | | | 324,629 | |
| | 1,653 | | | | | RLI Corp. | | | 151,365 | |
| | 610 | | | | | Safety Insurance Group Inc. | | | 58,828 | |
| | 2,217 | | | | | Selective Insurance Group Inc. | | | 176,540 | |
| | 718 | | | | | State Auto Financial Corp. | | | 22,954 | |
| | 888 | | | | | Stewart Information Services Corp. | | | 31,808 | |
| | 3,194 | | | | | Third Point Reinsurance Ltd.* | | | 30,087 | |
| | 1,343 | | | | | Tiptree Inc. | | | 9,320 | |
| | 13,684 | | | | | Travelers Cos., Inc. (The) | | | 2,011,001 | |
| | 1,181 | | | | | Trupanion Inc.*(a) | | | 28,450 | |
| | 858 | | | | | United Fire Group Inc. | | | 38,747 | |
See Notes to Financial Statements.
74
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | FINANCIALS — 15.1% — (continued) | |
|
| | Insurance — 4.5% — (continued) | |
| | 904 | | | | | United Insurance Holdings Corp. | | $ | 10,595 | |
| | 1,245 | | | | | Universal Insurance Holdings Inc. | | | 31,125 | |
| | 76,992 | | | | | Unum Group | | | 1,956,367 | |
| | 864 | | | | | Watford Holdings Ltd.* | | | 20,045 | |
| | 130 | | | | | White Mountains Insurance Group Ltd. | | | 137,891 | |
| | 5,997 | | | | | WR Berkley Corp. | | | 427,286 | |
| | | | | | | | | | |
| | | | | | Total Insurance | | | 18,911,731 | |
| | | | | | | | | | |
|
| | Mortgage Real Estate Investment Trusts (REITs) — 0.5% | |
| | 1,163 | | | | | AG Mortgage Investment Trust Inc. | | | 17,433 | |
| | 22,074 | | | | | AGNC Investment Corp. | | | 328,240 | |
| | 4,060 | | | | | Anworth Mortgage Asset Corp. | | | 12,586 | |
| | 6,332 | | | | | Apollo Commercial Real Estate Finance Inc. | | | 117,459 | |
| | 1,117 | | | | | Ares Commercial Real Estate Corp. | | | 16,744 | |
| | 1,767 | | | | | Arlington Asset Investment Corp., Class A Shares | | | 8,729 | |
| | 2,492 | | | | | ARMOUR Residential REIT Inc. | | | 40,919 | |
| | 5,082 | | | | | Blackstone Mortgage Trust Inc., Class A Shares | | | 176,854 | |
| | 3,473 | | | | | Capstead Mortgage Corp. | | | 25,249 | |
| | 768 | | | | | Cherry Hill Mortgage Investment Corp. | | | 9,239 | |
| | 7,644 | | | | | Chimera Investment Corp. | | | 145,771 | |
| | 3,287 | | | | | Colony Credit Real Estate Inc. | | | 41,186 | |
| | 1,065 | | | | | Dynex Capital Inc. | | | 15,038 | |
| | 1,130 | | | | | Ellington Financial Inc. | | | 19,741 | |
| | 1,104 | | | | | Exantas Capital Corp. | | | 12,376 | |
| | 2,221 | | | | | Granite Point Mortgage Trust Inc. | | | 40,622 | |
| | 536 | | | | | Great Ajax Corp. | | | 7,815 | |
| | 5,278 | | | | | Invesco Mortgage Capital Inc. | | | 79,328 | |
| | 940 | | | | | KKR Real Estate Finance Trust Inc. | | | 17,775 | |
| | 4,253 | | | | | Ladder Capital Corp., Class A Shares | | | 71,365 | |
| | 19,048 | | | | | MFA Financial Inc. | | | 136,574 | |
| | 17,021 | | | | | New Residential Investment Corp. | | | 239,485 | |
| | 8,531 | | | | | New York Mortgage Trust Inc. | | | 52,466 | |
| | 1,954 | | | | | Orchid Island Capital Inc., Class A Shares | | | 10,610 | |
| | 3,113 | | | | | PennyMac Mortgage Investment Trust | | | 67,739 | |
| | 1,407 | | | | | Ready Capital Corp. | | | 20,655 | |
| | 3,991 | | | | | Redwood Trust Inc. | | | 66,251 | |
| | 11,185 | | | | | Starwood Property Trust Inc. | | | 262,064 | |
| | 2,093 | | | | | TPG RE Finance Trust Inc. | | | 40,625 | |
| | 11,179 | | | | | Two Harbors Investment Corp. | | | 141,191 | |
| | 1,737 | | | | | Western Asset Mortgage Capital Corp. | | | 16,328 | |
| | | | | | | | | | |
| | | | | | Total Mortgage Real Estate Investment Trusts (REITs) | | | 2,258,457 | |
| | | | | | | | | | |
|
| | Thrifts & Mortgage Finance — 0.8% | |
| | 2,420 | | | | | Axos Financial Inc.* | | | 62,702 | |
| | 841 | | | | | Bridgewater Bancshares Inc.* | | | 9,360 | |
| | 5,507 | | | | | Capitol Federal Financial Inc. | | | 74,179 | |
| | 2,211 | | | | | Columbia Financial Inc.* | | | 33,519 | |
| | 1,387 | | | | | Dime Community Bancshares Inc. | | | 27,504 | |
| | 280 | | | | | Entegra Financial Corp.* | | | 8,411 | |
| | 294 | | | | | ESSA Bancorp Inc. | | | 4,498 | |
| | 17,959 | | | | | Essent Group Ltd.* | | | 871,012 | |
| | 390 | | | | | Federal Agricultural Mortgage Corp., Class C Shares | | | 32,116 | |
| | 879 | | | | | First Defiance Financial Corp. | | | 22,986 | |
| | 1,131 | | | | | Flagstar Bancorp Inc. | | | 41,112 | |
| | 171 | | | | | FS Bancorp Inc. | | | 8,276 | |
See Notes to Financial Statements.
75
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | FINANCIALS — 15.1% — (continued) | |
|
| | Thrifts & Mortgage Finance — 0.8% — (continued) | |
| | 75 | | | | | Greene County Bancorp Inc. | | $ | 2,018 | |
| | 52 | | | | | Hingham Institution for Savings | | | 9,365 | |
| | 296 | | | | | Home Bancorp Inc. | | | 11,035 | |
| | 863 | | | | | HomeStreet Inc.* | | | 22,757 | |
| | 3,475 | | | | | Kearny Financial Corp. | | | 43,716 | |
| | 315 | | | | | LendingTree Inc.* | | | 97,678 | |
| | 1,062 | | | | | Luther Burbank Corp. | | | 11,109 | |
| | 370 | | | | | Merchants Bancorp | | | 5,868 | |
| | 2,050 | | | | | Meridian Bancorp Inc. | | | 35,834 | |
| | 1,526 | | | | | Meta Financial Group Inc. | | | 47,169 | |
| | 14,598 | | | | | MGIC Investment Corp. | | | 184,665 | |
| | 202 | | | | | MMA Capital Holdings Inc.* | | | 5,979 | |
| | 3,187 | | | | | Mr Cooper Group Inc.* | | | 28,077 | |
| | 18,705 | | | | | New York Community Bancorp Inc. | | | 215,856 | |
| | 2,709 | | | | | NMI Holdings Inc., Class A Shares* | | | 76,773 | |
| | 1,652 | | | | | Northfield Bancorp Inc. | | | 25,639 | |
| | 3,818 | | | | | Northwest Bancshares Inc. | | | 60,363 | |
| | 2,136 | | | | | OceanFirst Financial Corp. | | | 44,899 | |
| | 5,152 | | | | | Ocwen Financial Corp.* | | | 9,222 | |
| | 581 | | | | | OP Bancorp | | | 5,520 | |
| | 1,724 | | | | | Oritani Financial Corp. | | | 29,532 | |
| | 738 | | | | | PCSB Financial Corp. | | | 14,546 | |
| | 270 | | | | | PDL Community Bancorp* | | | 3,777 | |
| | 186 | | | | | Provident Bancorp Inc.* | | | 4,710 | |
| | 253 | | | | | Provident Financial Holdings Inc. | | | 5,108 | |
| | 2,550 | | | | | Provident Financial Services Inc. | | | 60,715 | |
| | 276 | | | | | Prudential Bancorp Inc. | | | 4,466 | |
| | 8,571 | | | | | Radian Group Inc. | | | 193,276 | |
| | 886 | | | | | Riverview Bancorp Inc. | | | 6,246 | |
| | 381 | | | | | Southern Missouri Bancorp Inc. | | | 12,725 | |
| | 903 | | | | | Sterling Bancorp Inc. | | | 8,425 | |
| | 291 | | | | | Territorial Bancorp Inc. | | | 7,959 | |
| | 2,043 | | | | | TFS Financial Corp. | | | 35,773 | |
| | 287 | | | | | Timberland Bancorp Inc. | | | 7,339 | |
| | 3,578 | | | | | TrustCo Bank Corp. NY | | | 27,443 | |
| | 1,873 | | | | | United Community Financial Corp. | | | 18,074 | |
| | 2,189 | | | | | United Financial Bancorp Inc. | | | 27,363 | |
| | 1,151 | | | | | Walker & Dunlop Inc. | | | 64,295 | |
| | 3,310 | | | | | Washington Federal Inc. | | | 117,836 | |
| | 1,097 | | | | | Waterstone Financial Inc. | | | 18,199 | |
| | 950 | | | | | Western New England Bancorp Inc. | | | 8,446 | |
| | 10,264 | | | | | WSFS Financial Corp. | | | 423,082 | |
| | | | | | | | | | |
| | | | | | Total Thrifts & Mortgage Finance | | | 3,238,552 | |
| | | | | | | | | | |
| | | | | | TOTAL FINANCIALS | | | 63,892,423 | |
| | | | | | | | | | |
|
| | HEALTH CARE — 14.3% | |
|
| | Biotechnology — 3.4% | |
| | 1,193 | | | | | Abeona Therapeutics Inc.* | | | 1,837 | |
| | 4,302 | | | | | ACADIA Pharmaceuticals Inc.* | | | 118,993 | |
| | 14,141 | | | | | Acceleron Pharma Inc.* | | | 635,072 | |
| | 5,051 | | | | | Achillion Pharmaceuticals Inc.* | | | 21,972 | |
| | 1,621 | | | | | Acorda Therapeutics Inc.* | | | 5,236 | |
| | 828 | | | | | Adamas Pharmaceuticals Inc.* | | | 5,225 | |
| | 686 | | | | | ADMA Biologics Inc.*(a) | | | 3,073 | |
See Notes to Financial Statements.
76
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | HEALTH CARE — 14.3% — (continued) | |
|
| | Biotechnology — 3.4% — (continued) | |
| | 2,384 | | | | | Aduro Biotech Inc.* | | $ | 2,932 | |
| | 2,023 | | | | | Adverum Biotechnologies Inc.* | | | 20,898 | |
| | 1,061 | | | | | Aeglea BioTherapeutics Inc.* | | | 8,281 | |
| | 2,541 | | | | | Affimed NV* | | | 7,064 | |
| | 4,177 | | | | | Agenus Inc.* | | | 12,030 | |
| | 357 | | | | | AgeX Therapeutics Inc.* | | | 971 | |
| | 2,155 | | | | | Agios Pharmaceuticals Inc.*(a) | | | 81,782 | |
| | 1,851 | | | | | Aimmune Therapeutics Inc.* | | | 37,742 | |
| | 459 | | | | | Akcea Therapeutics Inc.*(a) | | | 9,667 | |
| | 4,929 | | | | | Akebia Therapeutics Inc.* | | | 20,357 | |
| | 391 | | | | | Albireo Pharma Inc.* | | | 9,560 | |
| | 3,030 | | | | | Alder Biopharmaceuticals Inc.* | | | 27,118 | |
| | 751 | | | | | Aldeyra Therapeutics Inc.* | | | 3,312 | |
| | 419 | | | | | Alector Inc.* | | | 6,897 | |
| | 6,396 | | | | | Alkermes PLC* | | | 134,188 | |
| | 720 | | | | | Allakos Inc.*(a) | | | 63,691 | |
| | 1,611 | | | | | Allogene Therapeutics Inc.*(a) | | | 43,868 | |
| | 4,353 | | | | | Alnylam Pharmaceuticals Inc.* | | | 351,244 | |
| | 1,286 | | | | | AMAG Pharmaceuticals Inc.* | | | 14,043 | |
| | 9,597 | | | | | Amicus Therapeutics Inc.* | | | 94,914 | |
| | 1,020 | | | | | AnaptysBio Inc.* | | | 41,463 | |
| | 1,813 | | | | | Anavex Life Sciences Corp.*(a) | | | 4,786 | |
| | 563 | | | | | Anika Therapeutics Inc.* | | | 31,956 | |
| | 8,847 | | | | | Apellis Pharmaceuticals Inc.* | | | 257,448 | |
| | 1,138 | | | | | Arcus Biosciences Inc.* | | | 8,888 | |
| | 1,549 | | | | | Ardelyx Inc.* | | | 5,267 | |
| | 2,032 | | | | | Arena Pharmaceuticals Inc.* | | | 107,472 | |
| | 4,135 | | | | | ArQule Inc.* | | | 37,050 | |
| | 3,794 | | | | | Arrowhead Pharmaceuticals Inc.* | | | 129,641 | |
| | 7,570 | | | | | Ascendis Pharma AS, ADR* | | | 848,067 | |
| | 901 | | | | | Assembly Biosciences Inc.* | | | 10,190 | |
| | 1,863 | | | | | Atara Biotherapeutics Inc.* | | | 25,150 | |
| | 2,450 | | | | | Athenex Inc.* | | | 36,089 | |
| | 4,761 | | | | | Athersys Inc.* | | | 6,332 | |
| | 1,816 | | | | | Audentes Therapeutics Inc.* | | | 56,478 | |
| | 2,191 | | | | | Avid Bioservices Inc.* | | | 15,118 | |
| | 689 | | | | | Avrobio Inc.* | | | 13,422 | |
| | 443 | | | | | Beyondspring Inc.* | | | 7,996 | |
| | 4,127 | | | | | BioCryst Pharmaceuticals Inc.* | | | 12,340 | |
| | 1,378 | | | | | Biohaven Pharmaceutical Holding Co., Ltd.* | | | 54,004 | |
| | 244 | | | | | BioSpecifics Technologies Corp.* | | | 13,440 | |
| | 364 | | | | | Bioxcel Therapeutics Inc.* | | | 3,571 | |
| | 2,259 | | | | | Bluebird Bio Inc.* | | | 233,377 | |
| | 11,811 | | | | | Blueprint Medicines Corp.* | | | 905,549 | |
| | 1,198 | | | | | Calithera Biosciences Inc.* | | | 4,756 | |
| | 526 | | | | | Calyxt Inc.* | | | 3,256 | |
| | 1,699 | | | | | CareDx Inc.* | | | 38,771 | |
| | 1,628 | | | | | CASI Pharmaceuticals Inc.*(a) | | | 5,307 | |
| | 3,568 | | | | | Catalyst Pharmaceuticals Inc.* | | | 21,979 | |
| | 171 | | | | | Celcuity Inc.* | | | 3,076 | |
| | 414 | | | | | Cellular Biomedicine Group Inc.* | | | 5,109 | |
| | 1,087 | | | | | CEL-SCI Corp.*(a) | | | 7,794 | |
| | 1,139 | | | | | Checkpoint Therapeutics Inc.* | | | 3,565 | |
| | 1,698 | | | | | ChemoCentryx Inc.* | | | 11,309 | |
See Notes to Financial Statements.
77
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | HEALTH CARE — 14.3% — (continued) | |
|
| | Biotechnology — 3.4% — (continued) | |
| | 1,495 | | | | | Chimerix Inc.* | | $ | 3,020 | |
| | 2,027 | | | | | Clovis Oncology Inc.* | | | 11,371 | |
| | 2,559 | | | | | Coherus Biosciences Inc.* | | | 56,784 | |
| | 791 | | | | | Concert Pharmaceuticals Inc.* | | | 7,965 | |
| | 511 | | | | | Constellation Pharmaceuticals Inc.* | | | 3,705 | |
| | 2,488 | | | | | Corbus Pharmaceuticals Holdings Inc.*(a) | | | 12,888 | |
| | 122 | | | | | Cortexyme Inc.*(a) | | | 2,422 | |
| | 461 | | | | | Crinetics Pharmaceuticals Inc.*(a) | | | 7,311 | |
| | 519 | | | | | Cue Biopharma Inc.* | | | 4,251 | |
| | 993 | | | | | Cyclerion Therapeutics Inc.* | | | 9,443 | |
| | 2,271 | | | | | Cytokinetics Inc.* | | | 31,908 | |
| | 1,779 | | | | | CytomX Therapeutics Inc.* | | | 15,620 | |
| | 618 | | | | | Deciphera Pharmaceuticals Inc.* | | | 22,421 | |
| | 2,014 | | | | | Denali Therapeutics Inc.* | | | 36,252 | |
| | 2,083 | | | | | Dicerna Pharmaceuticals Inc.* | | | 28,954 | |
| | 2,299 | | | | | Dynavax Technologies Corp., Class A Shares*(a) | | | 9,518 | |
| | 387 | | | | | Eagle Pharmaceuticals Inc.* | | | 21,823 | |
| | 2,061 | | | | | Editas Medicine Inc.* | | | 51,175 | |
| | 416 | | | | | Eidos Therapeutics Inc.*(a) | | | 17,393 | |
| | 979 | | | | | Eiger BioPharmaceuticals Inc.* | | | 10,671 | |
| | 1,890 | | | | | Emergent BioSolutions Inc.* | | | 82,782 | |
| | 713 | | | | | Enanta Pharmaceuticals Inc.* | | | 50,302 | |
| | 3,219 | | | | | Epizyme Inc.* | | | 41,750 | |
| | 1,033 | | | | | Esperion Therapeutics Inc.* | | | 37,849 | |
| | 594 | | | | | Evelo Biosciences Inc.*(a) | | | 3,261 | |
| | 5,249 | | | | | Exact Sciences Corp.* | | | 625,786 | |
| | 12,263 | | | | | Exelixis Inc.* | | | 243,421 | |
| | 22,718 | | | | | Fate Therapeutics Inc.* | | | 370,758 | |
| | 10,828 | | | | | FibroGen Inc.* | | | 483,578 | |
| | 1,231 | | | | | Five Prime Therapeutics Inc.* | | | 6,684 | |
| | 1,238 | | | | | Flexion Therapeutics Inc.* | | | 16,304 | |
| | 606 | | | | | Forty Seven Inc.* | | | 4,593 | |
| | 1,399 | | | | | G1 Therapeutics Inc.* | | | 50,784 | |
| | 1,363 | | | | | Galectin Therapeutics Inc.*(a) | | | 4,539 | |
| | 1,091 | | | | | Genomic Health Inc.* | | | 83,636 | |
| | 5,922 | | | | | Geron Corp.*(a) | | | 8,291 | |
| | 2,212 | | | | | Global Blood Therapeutics Inc.* | | | 101,708 | |
| | 1,545 | | | | | GlycoMimetics Inc.* | | | 5,145 | |
| | 835 | | | | | Gossamer Bio Inc.* | | | 17,502 | |
| | 1,040 | | | | | Gritstone Oncology Inc.* | | | 10,525 | |
| | 5,977 | | | | | Halozyme Therapeutics Inc.* | | | 98,740 | |
| | 305 | | | | | Harpoon Therapeutics Inc.*(a) | | | 4,416 | |
| | 3,060 | | | | | Heron Therapeutics Inc.* | | | 56,671 | |
| | 1,012 | | | | | Homology Medicines Inc.* | | | 19,137 | |
| | 5,447 | | | | | ImmunoGen Inc.* | | | 14,816 | |
| | 7,123 | | | | | Immunomedics Inc.* | | | 91,174 | |
| | 3,158 | | | | | Inovio Pharmaceuticals Inc.*(a) | | | 6,821 | |
| | 3,207 | | | | | Insmed Inc.* | | | 52,723 | |
| | 1,527 | | | | | Intellia Therapeutics Inc.* | | | 21,668 | |
| | 1,025 | | | | | Intercept Pharmaceuticals Inc.* | | | 65,784 | |
| | 3,085 | | | | | Intrexon Corp.*(a) | | | 18,016 | |
| | 3,578 | | | | | Invitae Corp.* | | | 86,802 | |
| | 5,255 | | | | | Ionis Pharmaceuticals Inc.* | | | 332,169 | |
| | 4,736 | | | | | Iovance Biotherapeutics Inc.* | | | 99,503 | |
See Notes to Financial Statements.
78
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | HEALTH CARE — 14.3% — (continued) | |
|
| | Biotechnology — 3.4% — (continued) | |
| | 65,059 | | | | | Ironwood Pharmaceuticals Inc., Class A Shares* | | $ | 605,699 | |
| | 747 | | | | | Jounce Therapeutics Inc.* | | | 2,816 | |
| | 5,724 | | | | | Kadmon Holdings Inc.* | | | 12,249 | |
| | 489 | | | | | KalVista Pharmaceuticals Inc.* | | | 7,638 | |
| | 2,434 | | | | | Karyopharm Therapeutics Inc.* | | | 21,030 | |
| | 434 | | | | | Kezar Life Sciences Inc.* | | | 1,467 | |
| | 1,656 | | | | | Kindred Biosciences Inc.* | | | 12,354 | |
| | 526 | | | | | Kiniksa Pharmaceuticals Ltd., Class A Shares* | | | 4,645 | |
| | 977 | | | | | Kodiak Sciences Inc.* | | | 10,747 | |
| | 361 | | | | | Krystal Biotech Inc.* | | | 16,245 | |
| | 1,232 | | | | | Kura Oncology Inc.* | | | 18,702 | |
| | 798 | | | | | La Jolla Pharmaceutical Co.* | | | 7,637 | |
| | 1,501 | | | | | Lexicon Pharmaceuticals Inc.* | | | 1,981 | |
| | 777 | | | | | Ligand Pharmaceuticals Inc.* | | | 70,637 | |
| | 3,583 | | | | | Lineage Cell Therapeutics Inc.* | | | 3,348 | |
| | 198 | | | | | LogicBio Therapeutics Inc.* | | | 1,980 | |
| | 1,978 | | | | | MacroGenics Inc.* | | | 28,365 | |
| | 325 | | | | | Madrigal Pharmaceuticals Inc.* | | | 30,127 | |
| | 815 | | | | | Magenta Therapeutics Inc.* | | | 8,419 | |
| | 6,214 | | | | | MannKind Corp.*(a) | | | 6,835 | |
| | 1,128 | | | | | Marker Therapeutics Inc.*(a) | | | 5,832 | |
| | 28,302 | | | | | Medicines Co. (The)*(a) | | | 1,187,552 | |
| | 1,587 | | | | | MediciNova Inc.*(a) | | | 13,743 | |
| | 2,911 | | | | | MEI Pharma Inc.* | | | 4,978 | |
| | 648 | | | | | MeiraGTx Holdings PLC* | | | 13,122 | |
| | 1,530 | | | | | Mersana Therapeutics Inc.* | | | 3,764 | |
| | 407 | | | | | Millendo Therapeutics Inc.* | | | 2,466 | |
| | 1,140 | | | | | Minerva Neurosciences Inc.* | | | 8,140 | |
| | 1,032 | | | | | Mirati Therapeutics Inc.* | | | 84,593 | |
| | 1,049 | | | | | Moderna Inc.*(a) | | | 16,501 | |
| | 514 | | | | | Molecular Templates Inc.* | | | 2,585 | |
| | 26,724 | | | | | Momenta Pharmaceuticals Inc.* | | | 337,524 | |
| | 1,465 | | | | | Mustang Bio Inc.* | | | 5,772 | |
| | 2,861 | | | | | Myriad Genetics Inc.* | | | 67,319 | |
| | 2,308 | | | | | Natera Inc.* | | | 76,049 | |
| | 427 | | | | | Neon Therapeutics Inc.* | | | 1,149 | |
| | 3,712 | | | | | Neurocrine Biosciences Inc.* | | | 369,047 | |
| | 708 | | | | | Novavax Inc.*(a) | | | 4,227 | |
| | 686 | | | | | Oncocyte Corp.* | | | 1,358 | |
| | 19 | | | | | Oncternal Therapeutics Inc.*#(b) | | | 39 | |
| | 14,125 | | | | | OPKO Health Inc.*(a) | | | 25,990 | |
| | 18,450 | | | | | Orchard Therapeutics PLC, ADR*(a) | | | 273,060 | |
| | 519 | | | | | Organogenesis Holdings Inc.*(a) | | | 2,138 | |
| | 8,666 | | | | | Palatin Technologies Inc.*(a) | | | 7,809 | |
| | 4,395 | | | | | PDL BioPharma Inc.* | | | 10,284 | |
| | 926 | | | | | Pfenex Inc.* | | | 6,806 | |
| | 567 | | | | | PhaseBio Pharmaceuticals Inc.* | | | 4,899 | |
| | 1,923 | | | | | Pieris Pharmaceuticals Inc.* | | | 8,942 | |
| | 389 | | | | | PolarityTE Inc.* | | | 1,443 | |
| | 2,765 | | | | | Portola Pharmaceuticals Inc.*(a) | | | 80,351 | |
| | 395 | | | | | Precision BioSciences Inc.* | | | 3,365 | |
| | 557 | | | | | Principia Biopharma Inc.* | | | 22,113 | |
| | 3,674 | | | | | Progenics Pharmaceuticals Inc.* | | | 16,166 | |
| | 629 | | | | | Protagonist Therapeutics Inc.* | | | 8,196 | |
See Notes to Financial Statements.
79
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | HEALTH CARE — 14.3% — (continued) | |
|
| | Biotechnology — 3.4% — (continued) | |
| | 1,738 | | | | | Prothena Corp. PLC* | | $ | 14,617 | |
| | 2,368 | | | | | PTC Therapeutics Inc.* | | | 105,542 | |
| | 1,354 | | | | | Puma Biotechnology Inc.* | | | 14,555 | |
| | 1,293 | | | | | Ra Pharmaceuticals Inc.* | | | 35,170 | |
| | 1,871 | | | | | Radius Health Inc.* | | | 52,949 | |
| | 719 | | | | | Recro Pharma Inc.* | | | 8,455 | |
| | 1,381 | | | | | REGENXBIO Inc.* | | | 47,631 | |
| | 1,935 | | | | | Repligen Corp.* | | | 179,587 | |
| | 447 | | | | | Replimune Group Inc.* | | | 4,640 | |
| | 1,733 | | | | | Retrophin Inc.* | | | 21,818 | |
| | 965 | | | | | Rhythm Pharmaceuticals Inc.* | | | 21,732 | |
| | 6,137 | | | | | Rigel Pharmaceuticals Inc.* | | | 10,372 | |
| | 1,251 | | | | | Rocket Pharmaceuticals Inc.* | | | 13,573 | |
| | 1,414 | | | | | Rubius Therapeutics Inc.*(a) | | | 13,122 | |
| | 2,070 | | | | | Sage Therapeutics Inc.* | | | 355,357 | |
| | 4,761 | | | | | Sangamo Therapeutics Inc.* | | | 51,895 | |
| | 2,897 | | | | | Sarepta Therapeutics Inc.* | | | 261,165 | |
| | 1,075 | | | | | Savara Inc.* | | | 2,430 | |
| | 516 | | | | | Scholar Rock Holding Corp.* | | | 5,464 | |
| | 4,483 | | | | | Seattle Genetics Inc.* | | | 325,645 | |
| | 629 | | | | | Seres Therapeutics Inc.* | | | 2,535 | |
| | 374 | | | | | Solid Biosciences Inc.*(a) | | | 3,022 | |
| | 4,857 | | | | | Sorrento Therapeutics Inc.* | | | 10,248 | |
| | 1,402 | | | | | Spark Therapeutics Inc.* | | | 136,569 | |
| | 4,640 | | | | | Spectrum Pharmaceuticals Inc.* | | | 34,058 | |
| | 372 | | | | | Spero Therapeutics Inc.* | | | 3,701 | |
| | 1,574 | | | | | Stemline Therapeutics Inc.* | | | 18,746 | |
| | 516 | | | | | Sutro Biopharma Inc.* | | | 4,164 | |
| | 683 | | | | | Syndax Pharmaceuticals Inc.* | | | 5,744 | |
| | 671 | | | | | Synlogic Inc.* | | | 1,872 | |
| | 237 | | | | | Synthorx Inc.*(a) | | | 4,245 | |
| | 1,444 | | | | | Syros Pharmaceuticals Inc.* | | | 15,841 | |
| | 3,268 | | | | | TG Therapeutics Inc.* | | | 20,294 | |
| | 697 | | | | | Tocagen Inc.* | | | 2,265 | |
| | 1,297 | | | | | Translate Bio Inc.* | | | 11,777 | |
| | 280 | | | | | Turning Point Therapeutics Inc.* | | | 15,268 | |
| | 880 | | | | | Twist Bioscience Corp.* | | | 25,546 | |
| | 3,771 | | | | | Tyme Technologies Inc.*(a) | | | 4,412 | |
| | 2,228 | | | | | Ultragenyx Pharmaceutical Inc.* | | | 121,359 | |
| | 1,774 | | | | | United Therapeutics Corp.* | | | 146,461 | |
| | 903 | | | | | UNITY Biotechnology Inc.*(a) | | | 5,508 | |
| | 785 | | | | | UroGen Pharma Ltd.* | | | 26,651 | |
| | 2,034 | | | | | Vanda Pharmaceuticals Inc.* | | | 28,659 | |
| | 3,629 | | | | | VBI Vaccines Inc.* | | | 2,205 | |
| | 1,927 | | | | | Veracyte Inc.* | | | 51,065 | |
| | 1,818 | | | | | Vericel Corp.* | | | 30,070 | |
| | 2,766 | | | | | Viking Therapeutics Inc.*(a) | | | 19,224 | |
| | 1,001 | | | | �� | Voyager Therapeutics Inc.* | | | 17,888 | |
| | 297 | | | | | X4 Pharmaceuticals Inc.* | | | 3,787 | |
| | 706 | | | | | XBiotech Inc.* | | | 5,895 | |
| | 1,956 | | | | | Xencor Inc.* | | | 72,920 | |
| | 847 | | | | | Y-mAbs Therapeutics Inc.* | | | 22,505 | |
| | 6,641 | | | | | ZIOPHARM Oncology Inc.*(a) | | | 33,139 | |
| | | | | | | | | | |
| | | | | | Total Biotechnology | | | 14,298,121 | |
| | | | | | | | | | |
See Notes to Financial Statements.
80
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | HEALTH CARE — 14.3% — (continued) | |
|
| | Health Care Equipment & Supplies — 4.4% | |
| | 109,961 | | | | | Accuray Inc.* | | $ | 294,695 | |
| | 1,222 | | | | | Alphatec Holdings Inc.* | | | 6,391 | |
| | 1,564 | | | | | AngioDynamics Inc.* | | | 28,731 | |
| | 6,699 | | | | | Antares Pharma Inc.* | | | 21,705 | |
| | 1,371 | | | | | Apyx Medical Corp.* | | | 9,748 | |
| | 16,675 | | | | | AtriCure Inc.* | | | 456,728 | |
| | 57 | | | | | Atrion Corp. | | | 44,298 | |
| | 1,959 | | | | | Avanos Medical Inc.* | | | 65,000 | |
| | 208 | | | | | Avedro Inc.* | | | 4,871 | |
| | 1,443 | | | | | AxoGen Inc.* | | | 22,872 | |
| | 636 | | | | | Axonics Modulation Technologies Inc.* | | | 21,160 | |
| | 3,125 | | | | | Baxter International Inc. | | | 274,844 | |
| | 282 | | | | | BioLife Solutions Inc.*(a) | | | 5,835 | |
| | 636 | | | | | BioSig Technologies Inc.*(a) | | | 4,497 | |
| | 1,516 | | | | | Cantel Medical Corp. | | | 139,366 | |
| | 1,413 | | | | | Cardiovascular Systems Inc.* | | | 68,432 | |
| | 5,678 | | | | | Cerus Corp.* | | | 30,491 | |
| | 2,628 | | | | | ConforMIS Inc.* | | | 5,624 | |
| | 1,118 | | | | | CONMED Corp. | | | 112,661 | |
| | 3,784 | | | | | Corindus Vascular Robotics Inc.* | | | 16,082 | |
| | 1,512 | | | | | CryoLife Inc.* | | | 40,522 | |
| | 1,094 | | | | | CryoPort Inc.* | | | 23,805 | |
| | 530 | | | | | Cutera Inc.* | | | 15,301 | |
| | 1,538 | | | | | CytoSorbents Corp.* | | | 6,859 | |
| | 39,315 | | | | | DENTSPLY SIRONA Inc. | | | 2,050,277 | |
| | 3,721 | | | | | DexCom Inc.* | | | 638,561 | |
| | 369 | | | | | ElectroCore Inc.*(a) | | | 705 | |
| | 1,947 | | | | | GenMark Diagnostics Inc.* | | | 11,663 | |
| | 1,472 | | | | | Glaukos Corp.* | | | 94,664 | |
| | 18,925 | | | | | Globus Medical Inc., Class A Shares* | | | 966,500 | |
| | 8,133 | | | | | Haemonetics Corp.* | | | 1,085,999 | |
| | 288 | | | | | Heska Corp.* | | | 20,215 | |
| | 2,743 | | | | | Hill-Rom Holdings Inc. | | | 295,366 | |
| | 8,574 | | | | | ICU Medical Inc.* | | | 1,386,844 | |
| | 756 | | | | | Inogen Inc.* | | | 35,056 | |
| | 2,439 | | | | | Insulet Corp.* | | | 376,021 | |
| | 1,339 | | | | | Integer Holdings Corp.* | | | 96,944 | |
| | 11,920 | | | | | Integra LifeSciences Holdings Corp.* | | | 715,438 | |
| | 271 | | | | | IntriCon Corp.* | | | 4,715 | |
| | 1,578 | | | | | Intuitive Surgical Inc.* | | | 806,895 | |
| | 1,278 | | | | | Invacare Corp. | | | 6,185 | |
| | 193 | | | | | iRadimed Corp.* | | | 3,702 | |
| | 1,021 | | | | | iRhythm Technologies Inc.* | | | 77,719 | |
| | 1,572 | | | | | Lantheus Holdings Inc.* | | | 34,207 | |
| | 657 | | | | | LeMaitre Vascular Inc. | | | 20,801 | |
| | 1,983 | | | | | LivaNova PLC* | | | 153,940 | |
| | 7,364 | | | | | Masimo Corp.* | | | 1,128,533 | |
| | 1,702 | | | | | Meridian Bioscience Inc. | | | 15,709 | |
| | 20,127 | | | | | Merit Medical Systems Inc.* | | | 700,017 | |
| | 137 | | | | | Mesa Laboratories Inc. | | | 30,308 | |
| | 301 | | | | | Misonix Inc.* | | | 5,894 | |
| | 1,374 | | | | | Natus Medical Inc.* | | | 38,032 | |
| | 2,093 | | | | | Neogen Corp.* | | | 147,598 | |
| | 434 | | | | | Neuronetics Inc.* | | | 4,631 | |
See Notes to Financial Statements.
81
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | HEALTH CARE — 14.3% — (continued) | |
|
| | Health Care Equipment & Supplies — 4.4% — (continued) | |
| | 1,221 | | | | | Nevro Corp.* | | $ | 102,234 | |
| | 3,462 | | | | | Novocure Ltd.* | | | 314,557 | |
| | 2,118 | | | | | NuVasive Inc.* | | | 134,535 | |
| | 12,300 | | | | | Nuvectra Corp.* | | | 23,985 | |
| | 21,992 | | | | | OraSure Technologies Inc.* | | | 145,147 | |
| | 726 | | | | | Orthofix Medical Inc.* | | | 36,910 | |
| | 367 | | | | | OrthoPediatrics Corp.* | | | 11,814 | |
| | 1,290 | | | | | Penumbra Inc.* | | | 187,759 | |
| | 392 | | | | | Pulse Biosciences Inc.* | | | 4,700 | |
| | 1,463 | | | | | Quidel Corp.* | | | 92,242 | |
| | 1,804 | | | | | Rockwell Medical Inc.* | | | 4,618 | |
| | 2,021 | | | | | RTI Surgical Holdings Inc.* | | | 6,427 | |
| | 783 | | | | | SeaSpine Holdings Corp.* | | | 8,605 | |
| | 4,888 | | | | | Senseonics Holdings Inc.*(a) | | | 4,986 | |
| | 277 | | | | | Shockwave Medical Inc.*(a) | | | 11,592 | |
| | 662 | | | | | SI-BONE Inc.* | | | 12,869 | |
| | 870 | | | | | Sientra Inc.* | | | 5,942 | |
| | 288 | | | | | Silk Road Medical Inc.* | | | 12,410 | |
| | 29,566 | | | | | Smith & Nephew PLC, ADR | | | 1,417,985 | |
| | 1,808 | | | | | STAAR Surgical Co.* | | | 54,439 | |
| | 3,441 | | | | | STERIS PLC | | | 531,290 | |
| | 565 | | | | | Surmodics Inc.* | | | 26,589 | |
| | 750 | | | | | Tactile Systems Technology Inc.* | | | 37,830 | |
| | 2,262 | | | | | Tandem Diabetes Care Inc.* | | | 163,837 | |
| | 2,728 | | | | | Teleflex Inc. | | | 992,774 | |
| | 7,074 | | | | | TransEnterix Inc.* | | | 6,478 | |
| | 276 | | | | | TransMedics Group Inc.* | | | 6,610 | |
| | 142 | | | | | Utah Medical Products Inc. | | | 13,961 | |
| | 219 | | | | | Vapotherm Inc.* | | | 2,540 | |
| | 1,497 | | | | | Varex Imaging Corp.* | | | 39,446 | |
| | 7,081 | | | | | Varian Medical Systems Inc.* | | | 750,090 | |
| | 2,868 | | | | | ViewRay Inc.* | | | 11,300 | |
| | 3,008 | | | | | West Pharmaceutical Services Inc. | | | 437,544 | |
| | 5,123 | | | | | Wright Medical Group NV* | | | 106,815 | |
| | 633 | | | | | Zynex Inc.(a) | | | 5,659 | |
| | | | | | | | | | |
| | | | | | Total Health Care Equipment & Supplies | | | 18,400,176 | |
| | | | | | | | | | |
|
| | Health Care Providers & Services — 1.7% | |
| | 44,535 | | | | | Acadia Healthcare Co., Inc.* | | | 1,178,396 | |
| | 434 | | | | | Addus HomeCare Corp.* | | | 38,183 | |
| | 1,279 | | | | | Amedisys Inc.* | | | 164,620 | |
| | 683 | | | | | American Renal Associates Holdings Inc.* | | | 4,235 | |
| | 1,902 | | | | | AMN Healthcare Services Inc.* | | | 111,077 | |
| | 155 | | | | | Apollo Medical Holdings Inc.* | | | 3,035 | |
| | 741 | | | | | Avalon GloboCare Corp.*(a) | | | 1,452 | |
| | 1,372 | | | | | BioTelemetry Inc.* | | | 54,400 | |
| | 7,509 | | | | | Brookdale Senior Living Inc.* | | | 61,424 | |
| | 290 | | | | | Catasys Inc.*(a) | | | 4,072 | |
| | 2,881 | | | | | Chemed Corp. | | | 1,237,188 | |
| | 2,871 | | | | | Community Health Systems Inc.* | | | 7,149 | |
| | 372 | | | | | CorVel Corp.* | | | 31,334 | |
| | 4,036 | | | | | Covetrus Inc.*(a) | | | 53,639 | |
| | 1,325 | | | | | Cross Country Healthcare Inc.* | | | 13,581 | |
| | 2,236 | | | | | Diplomat Pharmacy Inc.* | | | 12,991 | |
| | 4,032 | | | | | Encompass Health Corp. | | | 245,105 | |
See Notes to Financial Statements.
82
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | HEALTH CARE — 14.3% — (continued) | |
|
| | Health Care Providers & Services — 1.7% — (continued) | |
| | 2,052 | | | | | Ensign Group Inc. (The) | | $ | 102,395 | |
| | 1,486 | | | | | Enzo Biochem Inc.* | | | 4,830 | |
| | 2,272 | | | | | Genesis Healthcare Inc., Class A Shares* | | | 2,454 | |
| | 1,405 | | | | | Guardant Health Inc.* | | | 122,980 | |
| | 1,497 | | | | | Hanger Inc.* | | | 28,263 | |
| | 2,781 | | | | | HealthEquity Inc.* | | | 165,080 | |
| | 537 | | | | | Joint Corp. (The)* | | | 9,011 | |
| | 1,224 | | | | | LHC Group Inc.* | | | 145,044 | |
| | 819 | | | | | Magellan Health Inc.* | | | 51,605 | |
| | 34,728 | | | | | MEDNAX Inc.* | | | 732,066 | |
| | 6,869 | | | | | Molina Healthcare Inc.* | | | 894,893 | |
| | 513 | | | | | National HealthCare Corp. | | | 41,450 | |
| | 496 | | | | | National Research Corp. | | | 31,759 | |
| | 4,442 | | | | | Option Care Health Inc.* | | | 15,547 | |
| | 2,277 | | | | | Owens & Minor Inc. | | | 11,567 | |
| | 28,449 | | | | | Patterson Cos., Inc. | �� | | 475,667 | |
| | 782 | | | | | PetIQ Inc., Class A Shares* | | | 24,758 | |
| | 2,147 | | | | | Premier Inc., Class A Shares* | | | 75,703 | |
| | 471 | | | | | Providence Service Corp. (The)* | | | 26,475 | |
| | 4,218 | | | | | R1 RCM Inc.* | | | 49,182 | |
| | 1,777 | | | | | RadNet Inc.* | | | 24,718 | |
| | 4,546 | | | | | Select Medical Holdings Corp.* | | | 73,736 | |
| | 1,205 | | | | | Surgery Partners Inc.* | | | 7,760 | |
| | 4,252 | | | | | Tenet Healthcare Corp.* | | | 92,056 | |
| | 1,884 | | | | | Tivity Health Inc.* | | | 34,402 | |
| | 945 | | | | | Triple-S Management Corp., Class B Shares* | | | 19,391 | |
| | 3,466 | | | | | Universal Health Services Inc., Class B Shares | | | 501,114 | |
| | 518 | | | | | US Physical Therapy Inc. | | | 69,163 | |
| | | | | | | | | | |
| | | | | | Total Health Care Providers & Services | | | 7,054,950 | |
| | | | | | | | | | |
|
| | Health Care Technology — 0.6% | |
| | 6,739 | | | | | Allscripts Healthcare Solutions Inc.* | | | 61,190 | |
| | 4,212 | | | | | Castlight Health Inc., Class B Shares* | | | 5,939 | |
| | 3,555 | | | | | Cerner Corp. | | | 244,975 | |
| | 573 | | | | | Computer Programs & Systems Inc. | | | 12,119 | |
| | 2,893 | | | | | Evolent Health Inc., Class A Shares* | | | 19,875 | |
| | 1,059 | | | | | HealthStream Inc.* | | | 26,761 | |
| | 32,991 | | | | | HMS Holdings Corp.* | | | 1,205,161 | |
| | 2,938 | | | | | Inovalon Holdings Inc., Class A Shares*(a) | | | 49,711 | |
| | 530 | | | | | Inspire Medical Systems Inc.* | | | 36,840 | |
| | 2,473 | | | | | Medidata Solutions Inc.* | | | 226,477 | |
| | 2,243 | | | | | NextGen Healthcare Inc.* | | | 31,873 | |
| | 1,667 | | | | | Omnicell Inc.* | | | 119,691 | |
| | 500 | | | | | OptimizeRx Corp.* | | | 8,205 | |
| | 445 | | | | | Simulations Plus Inc. | | | 16,069 | |
| | 805 | | | | | Tabula Rasa HealthCare Inc.* | | | 45,724 | |
| | 9,475 | | | | | Teladoc Health Inc.*(a) | | | 548,413 | |
| | 1,238 | | | | | Vocera Communications Inc.* | | | 28,412 | |
| | | | | | | | | | |
| | | | | | Total Health Care Technology | | | 2,687,435 | |
| | | | | | | | | | |
|
| | Life Sciences Tools & Services — 2.8% | |
| | 1,130 | | | | | Accelerate Diagnostics Inc.*(a) | | | 21,233 | |
| | 4,353 | | | | | Bio-Rad Laboratories Inc., Class A Shares* | | | 1,470,052 | |
| | 9,695 | | | | | Bio-Techne Corp. | | | 1,857,271 | |
| | 4,242 | | | | | Bruker Corp. | | | 183,127 | |
See Notes to Financial Statements.
83
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | HEALTH CARE — 14.3% — (continued) | |
|
| | Life Sciences Tools & Services — 2.8% — (continued) | |
| | 1,367 | | | | | Cambrex Corp.* | | $ | 81,924 | |
| | 17,912 | | | | | Charles River Laboratories International Inc.* | | | 2,350,054 | |
| | 1,386 | | | | | ChromaDex Corp.* | | | 5,419 | |
| | 2,197 | | | | | Codexis Inc.* | | | 30,824 | |
| | 111,559 | | | | | Fluidigm Corp.* | | | 622,499 | |
| | 7,580 | | | | | ICON PLC* | | | 1,168,760 | |
| | 5,334 | | | | | Illumina Inc.* | | | 1,500,668 | |
| | 22,204 | | | | | Luminex Corp. | | | 455,182 | |
| | 1,141 | | | | | Medpace Holdings Inc.* | | | 92,318 | |
| | 26,064 | | | | | NanoString Technologies Inc.* | | | 664,111 | |
| | 3,614 | | | | | NeoGenomics Inc.* | | | 90,278 | |
| | 5,759 | | | | | Pacific Biosciences of California Inc.* | | | 31,963 | |
| | 4,522 | | | | | PerkinElmer Inc. | | | 373,969 | |
| | 2,400 | | | | | PRA Health Sciences Inc.* | | | 237,216 | |
| | 9,067 | | | | | QIAGEN NV* | | | 314,534 | |
| | 391 | | | | | Quanterix Corp.* | | | 10,295 | |
| | 2,536 | | | | | Syneos Health Inc., Class A Shares* | | | 133,216 | |
| | 1,196 | | | | | Waters Corp.* | | | 253,421 | |
| | | | | | | | | | |
| | | | | | Total Life Sciences Tools & Services | | | 11,948,334 | |
| | | | | | | | | | |
|
| | Pharmaceuticals — 1.4% | |
| | 3,301 | | | | | AcelRx Pharmaceuticals Inc.*(a) | | | 7,691 | |
| | 1,271 | | | | | Aclaris Therapeutics Inc.* | | | 1,284 | |
| | 1,757 | | | | | Aerie Pharmaceuticals Inc.* | | | 38,057 | |
| | 3,486 | | | | | Akorn Inc.* | | | 10,075 | |
| | 76,015 | | | | | Amneal Pharmaceuticals Inc.* | | | 193,838 | |
| | 1,513 | | | | | Amphastar Pharmaceuticals Inc.* | | | 33,982 | |
| | 387 | | | | | ANI Pharmaceuticals Inc.* | | | 25,349 | |
| | 730 | | | | | Arvinas Inc.* | | | 18,987 | |
| | 2,423 | | | | | Assertio Therapeutics Inc.* | | | 3,489 | |
| | 1,008 | | | | | Axsome Therapeutics Inc.* | | | 25,654 | |
| | 3,393 | | | | | BioDelivery Sciences International Inc.* | | | 14,556 | |
| | 1,337 | | | | | Cara Therapeutics Inc.* | | | 31,339 | |
| | 30,500 | | | | | Catalent Inc.* | | | 1,608,570 | |
| | 902 | | | | | Cerecor Inc.* | | | 2,923 | |
| | 1,078 | | | | | Chiasma Inc.* | | | 5,584 | |
| | 1,384 | | | | | Collegium Pharmaceutical Inc.* | | | 16,027 | |
| | 3,892 | | | | | Corcept Therapeutics Inc.* | | | 49,078 | |
| | 860 | | | | | Corium International Inc.*#(b)(c) | | | 155 | |
| | 974 | | | | | CorMedix Inc.* | | | 7,480 | |
| | 108,800 | | | | | Correvio Pharma Corp.*(a) | | | 223,040 | |
| | 2,868 | | | | | Cymabay Therapeutics Inc.* | | | 16,979 | |
| | 1,935 | | | | | Dermira Inc.* | | | 15,499 | |
| | 323 | | | | | Dova Pharmaceuticals Inc.*(a) | | | 4,842 | |
| | 785 | | | | | Eloxx Pharmaceuticals Inc.* | | | 4,867 | |
| | 9,644 | | | | | Endo International PLC* | | | 22,856 | |
| | 640 | | | | | Evofem Biosciences Inc.* | | | 3,366 | |
| | 339 | | | | | Evolus Inc.*(a) | | | 5,844 | |
| | 2,632 | | | | | EyePoint Pharmaceuticals Inc.* | | | 3,948 | |
| | 7,544 | | | | | Horizon Therapeutics PLC* | | | 208,441 | |
| | 2,673 | | | | | Innoviva Inc.* | | | 30,980 | |
| | 32,149 | | | | | Intersect ENT Inc.* | | | 526,601 | |
| | 1,971 | | | | | Intra-Cellular Therapies Inc.* | | | 16,872 | |
| | 2,274 | | | | | Jazz Pharmaceuticals PLC* | | | 291,413 | |
| | 1,102 | | | | | Kala Pharmaceuticals Inc.* | | | 4,529 | |
See Notes to Financial Statements.
84
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | HEALTH CARE — 14.3% — (continued) | |
|
| | Pharmaceuticals — 1.4% — (continued) | |
| | 331 | | | | | Kaleido Biosciences Inc.* | | $ | 3,098 | |
| | 1,196 | | | | | Lannett Co., Inc.*(a) | | | 12,319 | |
| | 345 | | | | | Liquidia Technologies Inc.* | | | 1,401 | |
| | 12,936 | | | | | Mallinckrodt PLC*(a) | | | 33,504 | |
| | 1,814 | | | | | Marinus Pharmaceuticals Inc.* | | | 2,086 | |
| | 936 | | | | | Menlo Therapeutics Inc.* | | | 4,605 | |
| | 1,807 | | | | | MyoKardia Inc.* | | | 97,162 | |
| | 6,876 | | | | | Nektar Therapeutics, Class A Shares* | | | 120,811 | |
| | 290 | | | | | NGM Biopharmaceuticals Inc.* | | | 5,142 | |
| | 1,503 | | | | | Ocular Therapeutix Inc.*(a) | | | 6,448 | |
| | 285 | | | | | Odonate Therapeutics Inc.* | | | 8,781 | |
| | 1,961 | | | | | Omeros Corp.*(a) | | | 36,259 | |
| | 987 | | | | | Optinose Inc.*(a) | | | 7,560 | |
| | 430 | | | | | Osmotica Pharmaceuticals PLC* | | | 1,316 | |
| | 14,260 | | | | | Pacira BioSciences Inc.* | | | 531,042 | |
| | 1,169 | | | | | Paratek Pharmaceuticals Inc.*(a) | | | 4,372 | |
| | 5,182 | | | | | Perrigo Co. PLC | | | 242,414 | |
| | 878 | | | | | Phibro Animal Health Corp., Class A Shares | | | 18,131 | |
| | 17,344 | | | | | Prestige Consumer Healthcare Inc.* | | | 552,927 | |
| | 831 | | | | | Reata Pharmaceuticals Inc., Class A Shares* | | | 64,070 | |
| | 623 | | | | | resTORbio Inc.* | | | 5,993 | |
| | 1,845 | | | | | Revance Therapeutics Inc.* | | | 19,557 | |
| | 2,481 | | | | | SIGA Technologies Inc.* | | | 12,455 | |
| | 1,532 | | | | | Strongbridge Biopharma PLC* | | | 3,968 | |
| | 12,472 | | | | | Supernus Pharmaceuticals Inc.* | | | 337,118 | |
| | 8,261 | | | | | TherapeuticsMD Inc.*(a) | | | 23,874 | |
| | 1,848 | | | | | Theravance Biopharma Inc.* | | | 40,712 | |
| | 904 | | | | | Tricida Inc.* | | | 31,541 | |
| | 397 | | | | | Verrica Pharmaceuticals Inc.* | | | 3,934 | |
| | 934 | | | | | WaVe Life Sciences Ltd.* | | | 21,482 | |
| | 1,114 | | | | | Xeris Pharmaceuticals Inc.* | | | 12,911 | |
| | 1,767 | | | | | Zogenix Inc.* | | | 75,433 | |
| | 870 | | | | | Zynerba Pharmaceuticals Inc.*(a) | | | 9,300 | |
| | | | | | | | | | |
| | | | | | Total Pharmaceuticals | | | 5,825,921 | |
| | | | | | | | | | |
| | | | | | TOTAL HEALTH CARE | | | 60,214,937 | |
| | | | | | | | | | |
|
| | INDUSTRIALS — 17.4% | |
|
| | Aerospace & Defense — 2.3% | |
| | 1,390 | | | | | AAR Corp. | | | 59,714 | |
| | 2,976 | | | | | Aerojet Rocketdyne Holdings Inc.* | | | 155,436 | |
| | 889 | | | | | Aerovironment Inc.* | | | 45,810 | |
| | 1,006 | | | | | Astronics Corp.* | | | 27,675 | |
| | 2,379 | | | | | Axon Enterprise Inc.* | | | 142,669 | |
| | 3,909 | | | | | BWX Technologies Inc. | | | 231,413 | |
| | 1,295 | | | | | Cubic Corp. | | | 89,705 | |
| | 1,753 | | | | | Curtiss-Wright Corp. | | | 214,988 | |
| | 423 | | | | | Ducommun Inc.* | | | 17,419 | |
| | 18,056 | | | | | HEICO Corp., Class A Shares | | | 1,992,660 | |
| | 3,490 | | | | | Hexcel Corp. | | | 293,684 | |
| | 1,670 | | | | | Huntington Ingalls Industries Inc. | | | 349,030 | |
| | 3,724 | | | | | Kratos Defense & Security Solutions Inc.* | | | 74,368 | |
| | 2,162 | | | | | Maxar Technologies Inc. | | | 15,307 | |
| | 7,784 | | | | | Mercury Systems Inc.* | | | 666,544 | |
| | 1,307 | | | | | Moog Inc., Class A Shares | | | 106,194 | |
See Notes to Financial Statements.
85
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | INDUSTRIALS — 17.4% — (continued) | |
|
| | Aerospace & Defense — 2.3% — (continued) | |
| | 200 | | | | | National Presto Industries Inc. | | $ | 17,142 | |
| | 809 | | | | | Park Aerospace Corp. | | | 13,672 | |
| | 764 | | | | | Parsons Corp.* | | | 25,991 | |
| | 14,238 | | | | | Spirit AeroSystems Holdings Inc., Class A Shares | | | 1,147,583 | |
| | 6,739 | | | | | Teledyne Technologies Inc.* | | | 2,079,588 | |
| | 3,138 | | | | | TransDigm Group Inc. | | | 1,689,248 | |
| | 2,054 | | | | | Triumph Group Inc. | | | 42,682 | |
| | 458 | | | | | Vectrus Inc.* | | | 18,531 | |
| | 2,024 | | | | | Wesco Aircraft Holdings Inc.* | | | 22,264 | |
| | | | | | | | | | |
| | | | | | Total Aerospace & Defense | | | 9,539,317 | |
| | | | | | | | | | |
|
| | Air Freight & Logistics — 0.1% | |
| | 2,415 | | | | | Air Transport Services Group Inc.* | | | 48,783 | |
| | 929 | | | | | Atlas Air Worldwide Holdings Inc.* | | | 24,015 | |
| | 1,050 | | | | | Echo Global Logistics Inc.* | | | 21,042 | |
| | 1,194 | | | | | Forward Air Corp. | | | 74,386 | |
| | 1,383 | | | | | Hub Group Inc., Class A Shares* | | | 59,552 | |
| | 1,467 | | | | | Radiant Logistics Inc.* | | | 7,159 | |
| | 3,767 | | | | | XPO Logistics Inc.* | | | 266,929 | |
| | | | | | | | | | |
| | | | | | Total Air Freight & Logistics | | | 501,866 | |
| | | | | | | | | | |
|
| | Airlines — 0.2% | |
| | 4,967 | | | | | Alaska Air Group Inc. | | | 296,629 | |
| | 536 | | | | | Allegiant Travel Co., Class A Shares | | | 76,107 | |
| | 1,296 | | | | | Copa Holdings SA, Class A Shares(a) | | | 133,721 | |
| | 1,928 | | | | | Hawaiian Holdings Inc. | | | 47,063 | |
| | 12,373 | | | | | JetBlue Airways Corp.* | | | 214,300 | |
| | 861 | | | | | Mesa Air Group Inc.* | | | 5,562 | |
| | 2,036 | | | | | SkyWest Inc. | | | 116,582 | |
| | 2,784 | | | | | Spirit Airlines Inc.* | | | 104,511 | |
| | | | | | | | | | |
| | | | | | Total Airlines | | | 994,475 | |
| | | | | | | | | | |
|
| | Building Products — 1.1% | |
| | 1,695 | | | | | AAON Inc. | | | 81,309 | |
| | 1,446 | | | | | Advanced Drainage Systems Inc. | | | 45,390 | |
| | 3,841 | | | | | Allegion PLC | | | 369,773 | |
| | 630 | | | | | American Woodmark Corp.* | | | 51,893 | |
| | 5,691 | | | | | AO Smith Corp. | | | 264,745 | |
| | 1,058 | | | | | Apogee Enterprises Inc. | | | 39,072 | |
| | 764 | | | | | Armstrong Flooring Inc.* | | | 5,172 | |
| | 1,998 | | | | | Armstrong World Industries Inc. | | | 190,749 | |
| | 4,622 | | | | | Builders FirstSource Inc.* | | | 89,898 | |
| | 990 | | | | | Caesarstone Ltd. | | | 14,840 | |
| | 1,462 | | | | | Continental Building Products Inc.* | | | 36,755 | |
| | 1,547 | | | | | Cornerstone Building Brands Inc.* | | | 7,256 | |
| | 597 | | | | | CSW Industrials Inc. | | | 40,722 | |
| | 5,718 | | | | | Fortune Brands Home & Security Inc. | | | 291,961 | |
| | 1,338 | | | | | Gibraltar Industries Inc.* | | | 53,881 | |
| | 1,489 | | | | | Griffon Corp. | | | 25,983 | |
| | 677 | | | | | Insteel Industries Inc. | | | 12,660 | |
| | 2,826 | | | | | JELD-WEN Holding Inc.* | | | 48,777 | |
| | 1,454 | | | | | Lennox International Inc. | | | 368,996 | |
| | 1,030 | | | | | Masonite International Corp.* | | | 54,992 | |
| | 4,413 | | | | | Owens Corning | | | 253,130 | |
| | 895 | | | | | Patrick Industries Inc.* | | | 32,345 | |
See Notes to Financial Statements.
86
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | INDUSTRIALS — 17.4% — (continued) | |
|
| | Building Products — 1.1% — (continued) | |
| | 2,348 | | | | | PGT Innovations Inc.* | | $ | 37,568 | |
| | 1,437 | | | | | Quanex Building Products Corp. | | | 24,745 | |
| | 27,909 | | | | | Resideo Technologies Inc.* | | | 384,586 | |
| | 5,696 | | | | | Simpson Manufacturing Co., Inc. | | | 365,683 | |
| | 13,711 | | | | | Trex Co., Inc.* | | | 1,172,702 | |
| | 2,413 | | | | | Universal Forest Products Inc. | | | 94,348 | |
| | | | | | | | | | |
| | | | | | Total Building Products | | | 4,459,931 | |
| | | | | | | | | | |
|
| | Commercial Services & Supplies — 2.1% | |
| | 2,701 | | | | | ABM Industries Inc. | | | 100,639 | |
| | 4,135 | | | | | ACCO Brands Corp. | | | 38,331 | |
| | 4,700 | | | | | ADT Inc.(a) | | | 22,372 | |
| | 2,998 | | | | | Advanced Disposal Services Inc.* | | | 97,195 | |
| | 1,976 | | | | | Brady Corp., Class A Shares | | | 93,287 | |
| | 1,199 | | | | | BrightView Holdings Inc.* | | | 21,978 | |
| | 2,035 | | | | | Brink’s Co. (The) | | | 153,134 | |
| | 1,839 | | | | | Casella Waste Systems Inc., Class A Shares* | | | 83,675 | |
| | 1,390 | | | | | CECO Environmental Corp.* | | | 9,661 | |
| | 235 | | | | | Charah Solutions Inc.* | | | 667 | |
| | 889 | | | | | Cimpress NV* | | | 101,959 | |
| | 10,812 | | | | | Clean Harbors Inc.* | | | 795,223 | |
| | 35,281 | | | | | Covanta Holding Corp. | | | 606,833 | |
| | 1,808 | | | | | Deluxe Corp. | | | 83,313 | |
| | 1,127 | | | | | Ennis Inc. | | | 22,664 | |
| | 29,944 | | | | | Healthcare Services Group Inc. | | | 675,237 | |
| | 554 | | | | | Heritage-Crystal Clean Inc.* | | | 13,573 | |
| | 2,397 | | | | | Herman Miller Inc. | | | 101,345 | |
| | 1,808 | | | | | HNI Corp. | | | 56,392 | |
| | 5,476 | | | | | IAA Inc.* | | | 267,503 | |
| | 2,344 | | | | | Interface Inc., Class A Shares | | | 25,901 | |
| | 5,490 | | | | | KAR Auction Services Inc. | | | 145,814 | |
| | 1,556 | | | | | Kimball International Inc., Class B Shares | | | 27,308 | |
| | 1,958 | | | | | Knoll Inc. | | | 45,151 | |
| | 1,267 | | | | | LSC Communications Inc. | | | 1,647 | |
| | 15,372 | | | | | Matthews International Corp., Class A Shares | | | 450,553 | |
| | 1,001 | | | | | McGrath RentCorp | | | 64,094 | |
| | 1,872 | | | | | Mobile Mini Inc. | | | 58,519 | |
| | 6,221 | | | | | MSA Safety Inc. | | | 657,124 | |
| | 157 | | | | | NL Industries Inc.* | | | 579 | |
| | 407 | | | | | NRC Group Holdings Corp.* | | | 4,778 | |
| | 787 | | | | | PICO Holdings Inc.* | | | 7,579 | |
| | 6,102 | | | | | Pitney Bowes Inc. | | | 21,723 | |
| | 1,140 | | | | | Quad/Graphics Inc. | | | 10,249 | |
| | 5,812 | | | | | Rollins Inc. | | | 190,692 | |
| | 2,548 | | | | | RR Donnelley & Sons Co. | | | 6,166 | |
| | 973 | | | | | SP Plus Corp.* | | | 33,578 | |
| | 3,601 | | | | | Steelcase Inc., Class A Shares | | | 55,924 | |
| | 21,065 | | | | | Stericycle Inc.* | | | 945,608 | |
| | 35,548 | | | | | Team Inc.* | | | 585,831 | |
| | 2,227 | | | | | Tetra Tech Inc. | | | 180,654 | |
| | 615 | | | | | UniFirst Corp. | | | 120,485 | |
| | 886 | | | | | US Ecology Inc. | | | 53,665 | |
| | 802 | | | | | Viad Corp. | | | 51,833 | |
| | 363 | | | | | VSE Corp. | | | 11,558 | |
| | 19,174 | | | | | Waste Connections Inc. | | | 1,762,091 | |
| | | | | | | | | | |
| | | | | | Total Commercial Services & Supplies | | | 8,864,085 | |
| | | | | | | | | | |
See Notes to Financial Statements.
87
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | INDUSTRIALS — 17.4% — (continued) | |
|
| | Construction & Engineering — 0.7% | |
| | 6,389 | | | | | AECOM* | | $ | 226,682 | |
| | 1,206 | | | | | Aegion Corp., Class A Shares* | | | 23,807 | |
| | 965 | | | | | Ameresco Inc., Class A Shares* | | | 13,896 | |
| | 2,012 | | | | | Arcosa Inc. | | | 65,370 | |
| | 593 | | | | | Argan Inc. | | | 24,497 | |
| | 1,508 | | | | | Comfort Systems USA Inc. | | | 58,299 | |
| | 279 | | | | | Concrete Pumping Holdings Inc.* | | | 1,233 | |
| | 496 | | | | | Construction Partners Inc., Class A Shares* | | | 8,179 | |
| | 12,698 | | | | | Dycom Industries Inc.* | | | 565,061 | |
| | 2,275 | | | | | EMCOR Group Inc. | | | 198,926 | |
| | 5,704 | | | | | Fluor Corp. | | | 100,790 | |
| | 1,937 | | | | | Granite Construction Inc. | | | 55,088 | |
| | 2,510 | | | | | Great Lakes Dredge & Dock Corp.* | | | 27,208 | |
| | 295 | | | | | IES Holdings Inc.* | | | 5,567 | |
| | 5,415 | | | | | Jacobs Engineering Group Inc. | | | 481,177 | |
| | 2,455 | | | | | MasTec Inc.* | | | 154,346 | |
| | 677 | | | | | MYR Group Inc.* | | | 19,410 | |
| | 371 | | | | | Northwest Pipe Co.* | | | 8,533 | |
| | 421 | | | | | NV5 Global Inc.* | | | 25,988 | |
| | 1,845 | | | | | Primoris Services Corp. | | | 36,051 | |
| | 5,796 | | | | | Quanta Services Inc. | | | 196,484 | |
| | 1,080 | | | | | Sterling Construction Co., Inc.* | | | 12,085 | |
| | 1,678 | | | | | Tutor Perini Corp.* | | | 16,763 | |
| | 3,176 | | | | | Valmont Industries Inc. | | | 430,348 | |
| | 2,149 | | | | | Willscot Corp., Class A Shares* | | | 29,979 | |
| | | | | | | | | | |
| | | | | | Total Construction & Engineering | | | 2,785,767 | |
| | | | | | | | | | |
|
| | Electrical Equipment — 0.8% | |
| | 38,358 | | | | | ABB Ltd., ADR(a) | | | 729,569 | |
| | 1,626 | | | | | Acuity Brands Inc. | | | 203,917 | |
| | 249 | | | | | Allied Motion Technologies Inc. | | | 8,020 | |
| | 877 | | | | | American Superconductor Corp.* | | | 6,727 | |
| | 1,904 | | | | | Atkore International Group Inc.* | | | 55,235 | |
| | 7,245 | | | | | AZZ Inc. | | | 299,001 | |
| | 27,196 | | | | | Babcock & Wilcox Enterprises Inc.*(a) | | | 100,081 | |
| | 2,271 | | | | | Bloom Energy Corp., Class A Shares*(a) | | | 10,174 | |
| | 854 | | | | | Encore Wire Corp. | | | 46,107 | |
| | 872 | | | | | Energous Corp.* | | | 3,174 | |
| | 1,787 | | | | | EnerSys | | | 100,072 | |
| | 2,496 | | | | | Generac Holdings Inc.* | | | 194,663 | |
| | 2,559 | | | | | GrafTech International Ltd. | | | 31,194 | |
| | 2,226 | | | | | Hubbell Inc., Class B Shares | | | 291,918 | |
| | 6,408 | | | | | nVent Electric PLC | | | 129,826 | |
| | 9,516 | | | | | Plug Power Inc.* | | | 20,650 | |
| | 358 | | | | | Powell Industries Inc. | | | 13,003 | |
| | 102 | | | | | Preformed Line Products Co. | | | 5,227 | |
| | 1,740 | | | | | Regal Beloit Corp. | | | 123,366 | |
| | 42,773 | | | | | Schneider Electric SE, ADR(a) | | | 716,448 | |
| | 6,520 | | | | | Sensata Technologies Holding PLC* | | | 297,182 | |
| | 4,554 | | | | | Sunrun Inc.* | | | 69,813 | |
| | 1,356 | | | | | Thermon Group Holdings Inc.* | | | 29,493 | |
| | 1,193 | | | | | TPI Composites Inc.* | | | 21,045 | |
| | 715 | | | | | Vicor Corp.* | | | 21,800 | |
| | 1,903 | | | | | Vivint Solar Inc.* | | | 15,338 | |
| | | | | | | | | | |
| | | | | | Total Electrical Equipment | | | 3,543,043 | |
| | | | | | | | | | |
See Notes to Financial Statements.
88
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | INDUSTRIALS — 17.4% — (continued) | |
|
| | Industrial Conglomerates — 0.5% | |
| | 2,307 | | | | | Carlisle Cos., Inc. | | $ | 334,423 | |
| | 1,515 | | | | | Raven Industries Inc. | | | 44,192 | |
| | 4,475 | | | | | Roper Technologies Inc. | | | 1,641,251 | |
| | | | | | | | | | |
| | | | | | Total Industrial Conglomerates | | | 2,019,866 | |
| | | | | | | | | | |
|
| | Machinery — 5.0% | |
| | 21,607 | | | | | Actuant Corp., Class A Shares | | | 479,891 | |
| | 2,604 | | | | | AGCO Corp. | | | 179,989 | |
| | 392 | | | | | Alamo Group Inc. | | | 44,759 | |
| | 11,704 | | | | | Albany International Corp., Class A Shares | | | 962,303 | |
| | 4,711 | | | | | Allison Transmission Holdings Inc. | | | 209,310 | |
| | 20,857 | | | | | Altra Industrial Motion Corp. | | | 542,073 | |
| | 893 | | | | | Astec Industries Inc. | | | 24,647 | |
| | 8,344 | | | | | Atlas Copco AB, ADR(a) | | | 250,570 | |
| | 11,760 | | | | | Barnes Group Inc. | | | 527,436 | |
| | 599 | | | | | Blue Bird Corp.* | | | 10,926 | |
| | 1,670 | | | | | Briggs & Stratton Corp. | | | 7,214 | |
| | 1,464 | | | | | Chart Industries Inc.* | | | 91,998 | |
| | 806 | | | | | CIRCOR International Inc.* | | | 27,702 | |
| | 3,856 | | | | | Colfax Corp.*(a) | | | 104,883 | |
| | 937 | | | | | Columbus McKinnon Corp. | | | 30,331 | |
| | 1,068 | | | | | Commercial Vehicle Group Inc.* | | | 6,782 | |
| | 2,054 | | | | | Crane Co. | | | 156,597 | |
| | 5,238 | | | | | Donaldson Co., Inc. | | | 253,310 | |
| | 909 | | | | | Douglas Dynamics Inc. | | | 37,960 | |
| | 203 | | | | | Eastern Co. (The) | | | 4,478 | |
| | 1,632 | | | | | Energy Recovery Inc.* | | | 15,781 | |
| | 855 | | | | | EnPro Industries Inc. | | | 53,249 | |
| | 46,541 | | | | | Epiroc AB, ADR | | | 481,699 | |
| | 1,047 | | | | | ESCO Technologies Inc. | | | 79,708 | |
| | 2,970 | | | | | Evoqua Water Technologies Corp.* | | | 45,916 | |
| | 2,471 | | | | | Federal Signal Corp. | | | 73,413 | |
| | 27,023 | | | | | Flowserve Corp. | | | 1,153,342 | |
| | 1,922 | | | | | Franklin Electric Co., Inc. | | | 88,124 | |
| | 5,345 | | | | | Gardner Denver Holdings Inc.* | | | 153,295 | |
| | 2,020 | | | | | Gates Industrial Corp. PLC* | | | 17,574 | |
| | 303 | | | | | Gencor Industries Inc.* | | | 3,466 | |
| | 669 | | | | | Gorman-Rupp Co. (The) | | | 19,983 | |
| | 11,874 | | | | | Graco Inc. | | | 541,098 | |
| | 303 | | | | | Graham Corp. | | | 5,578 | |
| | 1,374 | | | | | Greenbrier Cos., Inc. (The) | | | 32,000 | |
| | 61,953 | | | | | Harsco Corp.* | | | 1,108,959 | |
| | 1,211 | | | | | Helios Technologies Inc. | | | 51,819 | |
| | 2,576 | | | | | Hillenbrand Inc. | | | 70,685 | |
| | 226 | | | | | Hurco Cos., Inc. | | | 7,212 | |
| | 408 | | | | | Hyster-Yale Materials Handling Inc. | | | 22,256 | |
| | 7,915 | | | | | IDEX Corp. | | | 1,303,680 | |
| | 3,589 | | | | | ITT Inc. | | | 204,286 | |
| | 1,269 | | | | | John Bean Technologies Corp. | | | 129,844 | |
| | 468 | | | | | Kadant Inc. | | | 38,512 | |
| | 3,401 | | | | | Kennametal Inc. | | | 101,656 | |
| | 341 | | | | | LB Foster Co., Class A Shares* | | | 6,789 | |
| | 11,428 | | | | | Lincoln Electric Holdings Inc. | | | 943,496 | |
| | 19,297 | | | | | Lindsay Corp. | | | 1,703,153 | |
| | 1,123 | | | | | Luxfer Holdings PLC | | | 17,642 | |
See Notes to Financial Statements.
89
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | INDUSTRIALS — 17.4% — (continued) | |
|
| | Machinery — 5.0% — (continued) | |
| | 17,218 | | | | | Lydall Inc.* | | $ | 346,254 | |
| | 1,542 | | | | | Manitowoc Co., Inc. (The)* | | | 19,275 | |
| | 3,312 | | | | | Meritor Inc.* | | | 55,708 | |
| | 2,275 | | | | | Middleby Corp. (The)* | | | 249,477 | |
| | 2,693 | | | | | Milacron Holdings Corp.* | | | 42,684 | |
| | 418 | | | | | Miller Industries Inc. | | | 13,079 | |
| | 2,231 | | | | | Mueller Industries Inc. | | | 58,809 | |
| | 6,521 | | | | | Mueller Water Products Inc., Class A Shares | | | 68,210 | |
| | 2,051 | | | | | Navistar International Corp.* | | | 47,173 | |
| | 1,578 | | | | | NN Inc. | | | 10,131 | |
| | 2,349 | | | | | Nordson Corp. | | | 319,370 | |
| | 102 | | | | | Omega Flex Inc. | | | 8,588 | |
| | 2,848 | | | | | Oshkosh Corp. | | | 200,129 | |
| | 384 | | | | | Park-Ohio Holdings Corp. | | | 10,441 | |
| | 7,030 | | | | | Pentair PLC | | | 252,518 | |
| | 1,116 | | | | | Proto Labs Inc.* | | | 105,730 | |
| | 989 | | | | | RBC Bearings Inc.* | | | 157,775 | |
| | 1,127 | | | | | REV Group Inc. | | | 14,527 | |
| | 4,349 | | | | | Rexnord Corp.* | | | 113,857 | |
| | 2,254 | | | | | Snap-on Inc. | | | 335,125 | |
| | 1,405 | | | | | Spartan Motors Inc. | | | 17,717 | |
| | 1,814 | | | | | SPX Corp.* | | | 68,841 | |
| | 1,676 | | | | | SPX FLOW Inc.* | | | 56,498 | |
| | 495 | | | | | Standex International Corp. | | | 34,031 | |
| | 723 | | | | | Tennant Co. | | | 49,446 | |
| | 2,620 | | | | | Terex Corp. | | | 65,055 | |
| | 15,572 | | | | | Timken Co. (The) | | | 625,683 | |
| | 1,809 | | | | | Titan International Inc. | | | 4,703 | |
| | 4,344 | | | | | Toro Co. (The) | | | 312,811 | |
| | 1,928 | | | | | TriMas Corp.* | | | 56,645 | |
| | 4,446 | | | | | Trinity Industries Inc. | | | 77,672 | |
| | 9,719 | | | | | Twin Disc Inc.* | | | 98,259 | |
| | 2,161 | | | | | Wabash National Corp. | | | 29,476 | |
| | 25,466 | | | | | WABCO Holdings Inc.* | | | 3,399,966 | |
| | 1,134 | | | | | Watts Water Technologies Inc., Class A Shares | | | 103,908 | |
| | 36,359 | | | | | Welbilt Inc.* | | | 572,291 | |
| | 8,114 | | | | | Woodward Inc. | | | 875,095 | |
| | | | | | | | | | |
| | | | | | Total Machinery | | | 21,304,331 | |
| | | | | | | | | | |
|
| | Marine — 0.1% | |
| | 1,817 | | | | | Costamare Inc. | | | 10,520 | |
| | 2,235 | | | | | Danaos Corp.* | | | 16,092 | |
| | 1,848 | | | | | Eagle Bulk Shipping Inc.* | | | 8,501 | |
| | 761 | | | | | Genco Shipping & Trading Ltd.* | | | 7,275 | |
| | 2,441 | | | | | Kirby Corp.* | | | 179,633 | |
| | 7,661 | | | | | Matson Inc. | | | 272,195 | |
| | 2,124 | | | | | Safe Bulkers Inc.* | | | 4,376 | |
| | 1,967 | | | | | Scorpio Bulkers Inc. | | | 12,451 | |
| | | | | | | | | | |
| | | | | | Total Marine | | | 511,043 | |
| | | | | | | | | | |
|
| | Professional Services — 2.0% | |
| | 721 | | | | | Acacia Research Corp.* | | | 1,882 | |
| | 14,056 | | | | | ASGN Inc.* | | | 878,078 | |
| | 299 | | | | | Barrett Business Services Inc. | | | 26,052 | |
| | 477 | | | | | BG Staffing Inc. | | | 8,939 | |
See Notes to Financial Statements.
90
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | INDUSTRIALS — 17.4% — (continued) | |
|
| | Professional Services — 2.0% — (continued) | |
| | 2,038 | | | | | CBIZ Inc.* | | $ | 45,529 | |
| | 2,139 | | | | | CoStar Group Inc.* | | | 1,315,207 | |
| | 296 | | | | | CRA International Inc. | | | 11,512 | |
| | 2,108 | | | | | Exponent Inc. | | | 149,436 | |
| | 474 | | | | | Forrester Research Inc. | | | 16,528 | |
| | 390 | | | | | Franklin Covey Co.* | | | 14,348 | |
| | 10,933 | | | | | FTI Consulting Inc.* | | | 1,182,295 | |
| | 467 | | | | | GP Strategies Corp.* | | | 6,015 | |
| | 815 | | | | | Heidrick & Struggles International Inc. | | | 21,638 | |
| | 911 | | | | | Huron Consulting Group Inc.* | | | 55,762 | |
| | 727 | | | | | ICF International Inc. | | | 61,548 | |
| | 1,497 | | | | | InnerWorkings Inc.* | | | 6,347 | |
| | 1,577 | | | | | Insperity Inc. | | | 156,218 | |
| | 1,375 | | | | | Kelly Services Inc., Class A Shares | | | 33,289 | |
| | 900 | | | | | Kforce Inc. | | | 29,286 | |
| | 2,342 | | | | | Korn Ferry | | | 91,525 | |
| | 2,450 | | | | | ManpowerGroup Inc. | | | 200,263 | |
| | 729 | | | | | Mistras Group Inc.* | | | 10,643 | |
| | 1,569 | | | | | Navigant Consulting Inc. | | | 43,728 | |
| | 1,371 | | | | | Resources Connection Inc. | | | 22,690 | |
| | 4,768 | | | | | Robert Half International Inc. | | | 254,945 | |
| | 10,090 | | | | | TransUnion | | | 844,029 | |
| | 1,818 | | | | | TriNet Group Inc.* | | | 122,042 | |
| | 1,601 | | | | | TrueBlue Inc.* | | | 31,075 | |
| | 2,273 | | | | | Upwork Inc.* | | | 32,868 | |
| | 15,911 | | | | | Verisk Analytics Inc., Class A Shares | | | 2,570,263 | |
| | 395 | | | | | Willdan Group Inc.* | | | 14,279 | |
| | | | | | | | | | |
| | | | | | Total Professional Services | | | 8,258,259 | |
| | | | | | | | | | |
|
| | Road & Rail — 1.3% | |
| | 364 | | | | | AMERCO | | | 127,990 | |
| | 1,016 | | | | | ArcBest Corp. | | | 30,084 | |
| | 19,502 | | | | | Avis Budget Group Inc.* | | | 483,064 | |
| | 438 | | | | | Covenant Transportation Group Inc., Class A Shares* | | | 6,298 | |
| | 1,485 | | | | | Daseke Inc.* | | | 2,614 | |
| | 11,725 | | | | | Genesee & Wyoming Inc., Class A Shares* | | | 1,300,068 | |
| | 1,964 | | | | | Heartland Express Inc. | | | 40,399 | |
| | 46,915 | | | | | Hertz Global Holdings Inc.* | | | 568,141 | |
| | 5,691 | | | | | JB Hunt Transport Services Inc. | | | 614,856 | |
| | 5,151 | | | | | Knight-Swift Transportation Holdings Inc., Class A Shares | | | 175,855 | |
| | 1,642 | | | | | Landstar System Inc. | | | 183,116 | |
| | 1,675 | | | | | Marten Transport Ltd. | | | 32,947 | |
| | 82 | | | | | PAM Transportation Services Inc.* | | | 4,731 | |
| | 18,096 | | | | | Ryder System Inc. | | | 871,684 | |
| | 1,056 | | | | | Saia Inc.* | | | 90,330 | |
| | 2,331 | | | | | Schneider National Inc., Class B Shares | | | 45,315 | |
| | 346 | | | | | Universal Logistics Holdings Inc. | | | 7,249 | |
| | 859 | | | | | US Xpress Enterprises Inc., Class A Shares* | | | 3,608 | |
| | 34,127 | | | | | Werner Enterprises Inc. | | | 1,115,270 | |
| | 1,308 | | | | | YRC Worldwide Inc.* | | | 2,851 | |
| | | | | | | | | | |
| | | | | | Total Road & Rail | | | 5,706,470 | |
| | | | | | | | | | |
|
| | Trading Companies & Distributors — 1.2% | |
| | 18,134 | | | | | AerCap Holdings NV* | | | 972,345 | |
| | 4,275 | | | | | Air Lease Corp., Class A Shares | | | 177,583 | |
See Notes to Financial Statements.
91
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | INDUSTRIALS — 17.4% — (continued) | |
|
| | Trading Companies & Distributors — 1.2% — (continued) | |
| | 2,099 | | | | | Aircastle Ltd. | | $ | 45,863 | |
| | 1,586 | | | | | Applied Industrial Technologies Inc. | | | 84,676 | |
| | 2,805 | | | | | Beacon Roofing Supply Inc.* | | | 89,423 | |
| | 285 | | | | | BlueLinx Holdings Inc.* | | | 8,177 | |
| | 2,712 | | | | | BMC Stock Holdings Inc.* | | | 68,966 | |
| | 658 | | | | | CAI International Inc.* | | | 13,936 | |
| | 677 | | | | | DXP Enterprises Inc.* | | | 21,969 | |
| | 170 | | | | | EVI Industries Inc.(a) | | | 5,068 | |
| | 39,594 | | | | | Fastenal Co. | | | 1,212,368 | |
| | 649 | | | | | Foundation Building Materials Inc.* | | | 11,117 | |
| | 1,462 | | | | | GATX Corp. | | | 108,510 | |
| | 295 | | | | | General Finance Corp.* | | | 2,440 | |
| | 1,296 | | | | | GMS Inc.* | | | 38,180 | |
| | 1,324 | | | | | H&E Equipment Services Inc. | | | 32,160 | |
| | 7,008 | | | | | HD Supply Holdings Inc.* | | | 272,681 | |
| | 996 | | | | | Herc Holdings Inc.* | | | 41,115 | |
| | 1,140 | | | | | Kaman Corp. | | | 66,565 | |
| | 128 | | | | | Lawson Products Inc.* | | | 4,666 | |
| | 3,366 | | | | | MRC Global Inc.* | | | 42,311 | |
| | 1,797 | | | | | MSC Industrial Direct Co., Inc., Class A Shares | | | 121,513 | |
| | 4,485 | | | | | NOW Inc.* | | | 53,327 | |
| | 19,863 | | | | | Rush Enterprises Inc., Class A Shares | | | 717,253 | |
| | 192 | | | | | Rush Enterprises Inc., Class B Shares | | | 7,139 | |
| | 1,659 | | | | | SiteOne Landscape Supply Inc.* | | | 129,734 | |
| | 460 | | | | | Systemax Inc. | | | 9,232 | |
| | 1,090 | | | | | Textainer Group Holdings Ltd.* | | | 8,687 | |
| | 743 | | | | | Titan Machinery Inc.* | | | 11,190 | |
| | 269 | | | | | Transcat Inc.* | | | 6,249 | |
| | 2,354 | | | | | Triton International Ltd. | | | 75,681 | |
| | 6,459 | | | | | Univar Inc.* | | | 124,982 | |
| | 446 | | | | | Veritiv Corp.* | | | 7,386 | |
| | 1,317 | | | | | Watsco Inc. | | | 215,395 | |
| | 1,880 | | | | | WESCO International Inc.* | | | 84,750 | |
| | 120 | | | | | Willis Lease Finance Corp.* | | | 7,412 | |
| | | | | | | | | | |
| | | | | | Total Trading Companies & Distributors | | | 4,900,049 | |
| | | | | | | | | | |
|
| | Transportation Infrastructure — 0.0% | |
| | 3,022 | | | | | Macquarie Infrastructure Corp. | | | 114,292 | |
| | | | | | | | | | |
| | | | | | TOTAL INDUSTRIALS | | | 73,502,794 | |
| | | | | | | | | | |
|
| | INFORMATION TECHNOLOGY — 19.0% | |
|
| | Communications Equipment — 1.4% | |
| | 1,519 | | | | | Acacia Communications Inc.* | | | 95,773 | |
| | 2,047 | | | | | ADTRAN Inc. | | | 21,023 | |
| | 693 | | | | | Applied Optoelectronics Inc.*(a) | | | 6,168 | |
| | 33,210 | | | | | CalAmp Corp.* | | | 318,816 | |
| | 1,825 | | | | | Calix Inc.* | | | 10,968 | |
| | 1,434 | | | | | Casa Systems Inc.* | | | 8,260 | |
| | 52,358 | | | | | Ciena Corp.* | | | 2,143,013 | |
| | 411 | | | | | Clearfield Inc.* | | | 4,394 | |
| | 7,929 | | | | | CommScope Holding Co., Inc.* | | | 85,157 | |
| | 996 | | | | | Comtech Telecommunications Corp. | | | 26,643 | |
| | 225 | | | | | DASAN Zhone Solutions Inc.* | | | 2,401 | |
| | 1,251 | | | | | Digi International Inc.* | | | 15,988 | |
| | 1,968 | | | | | EchoStar Corp., Class A Shares* | | | 83,148 | |
See Notes to Financial Statements.
92
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | INFORMATION TECHNOLOGY — 19.0% — (continued) | |
|
| | Communications Equipment — 1.4% — (continued) | |
| | 4,933 | | | | | Extreme Networks Inc.* | | $ | 32,952 | |
| | 4,857 | | | | | Finisar Corp.*(a) | | | 109,817 | |
| | 3,706 | | | | | Harmonic Inc.* | | | 24,422 | |
| | 114,760 | | | | | Infinera Corp.* | | | 611,671 | |
| | 1,829 | | | | | Inseego Corp.*(a) | | | 8,121 | |
| | 1,313 | | | | | InterDigital Inc. | | | 64,560 | |
| | 659 | | | | | KVH Industries Inc.* | | | 6,129 | |
| | 3,123 | | | | | Lumentum Holdings Inc.* | | | 174,138 | |
| | 1,218 | | | | | NETGEAR Inc.* | | | 42,289 | |
| | 3,093 | | | | | NetScout Systems Inc.* | | | 68,510 | |
| | 1,395 | | | | | Plantronics Inc. | | | 43,343 | |
| | 54,506 | | | | | Ribbon Communications Inc.* | | | 281,796 | |
| | 253 | | | | | TESSCO Technologies Inc. | | | 3,739 | |
| | 624 | | | | | Ubiquiti Inc. | | | 68,958 | |
| | 2,276 | | | | | ViaSat Inc.* | | | 180,555 | |
| | 95,218 | | | | | Viavi Solutions Inc.* | | | 1,322,578 | |
| | | | | | | | | | |
| | | | | | Total Communications Equipment | | | 5,865,330 | |
| | | | | | | | | | |
|
| | Electronic Equipment, Instruments & Components — 3.3% | |
| | 381 | | | | | Airgain Inc.* | | | 4,279 | |
| | 1,035 | | | | | Akoustis Technologies Inc.*(a) | | | 7,576 | |
| | 22,975 | | | | | Amphenol Corp., Class A Shares | | | 2,011,232 | |
| | 1,263 | | | | | Anixter International Inc.* | | | 75,742 | |
| | 2,652 | | | | | Arlo Technologies Inc.* | | | 8,327 | |
| | 3,468 | | | | | Arrow Electronics Inc.* | | | 239,986 | |
| | 4,321 | | | | | Avnet Inc. | | | 181,007 | |
| | 1,939 | | | | | AVX Corp. | | | 26,273 | |
| | 1,171 | | | | | Badger Meter Inc. | | | 60,400 | |
| | 335 | | | | | Bel Fuse Inc., Class B Shares | | | 3,685 | |
| | 13,879 | | | | | Belden Inc. | | | 633,021 | |
| | 1,562 | | | | | Benchmark Electronics Inc. | | | 41,362 | |
| | 129 | | | | | Coda Octopus Group Inc.* | | | 1,146 | |
| | 6,731 | | | | | Cognex Corp. | | | 303,434 | |
| | 996 | | | | | Coherent Inc.* | | | 144,380 | |
| | 1,273 | | | | | CTS Corp. | | | 36,319 | |
| | 1,375 | | | | | Daktronics Inc. | | | 9,941 | |
| | 2,573 | | | | | Dolby Laboratories Inc., Class A Shares | | | 158,394 | |
| | 534 | | | | | ePlus Inc.* | | | 43,639 | |
| | 1,504 | | | | | Fabrinet* | | | 75,937 | |
| | 717 | | | | | FARO Technologies Inc.* | | | 35,305 | |
| | 9,316 | | | | | Fitbit Inc., Class A Shares* | | | 28,786 | |
| | 23,052 | | | | | FLIR Systems Inc. | | | 1,135,772 | |
| | 8,895 | | | | | II-VI Inc.* | | | 333,651 | |
| | 1,463 | | | | | Insight Enterprises Inc.* | | | 70,312 | |
| | 2,557 | | | | | IPG Photonics Corp.* | | | 316,378 | |
| | 974 | | | | | Iteris Inc.* | | | 5,299 | |
| | 29,800 | | | | | Itron Inc.* | | | 2,069,610 | |
| | 6,101 | | | | | Jabil Inc. | | | 175,770 | |
| | 2,311 | | | | | KEMET Corp. | | | 38,709 | |
| | 988 | | | | | Kimball Electronics Inc.* | | | 13,051 | |
| | 58,386 | | | | | Knowles Corp.* | | | 1,184,068 | |
| | 981 | | | | | Littelfuse Inc. | | | 153,105 | |
| | 1,565 | | | | | Methode Electronics Inc. | | | 49,673 | |
| | 745 | | | | | MTS Systems Corp. | | | 42,368 | |
| | 505 | | | | | Napco Security Technologies Inc.* | | | 17,412 | |
See Notes to Financial Statements.
93
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | INFORMATION TECHNOLOGY — 19.0% — (continued) | |
|
| | Electronic Equipment, Instruments & Components — 3.3% — (continued) | |
| | 5,341 | | | | | National Instruments Corp. | | $ | 224,322 | |
| | 1,345 | | | | | nLight Inc.* | | | 17,377 | |
| | 1,386 | | | | | Novanta Inc.* | | | 103,950 | |
| | 6,685 | | | | | OSI Systems Inc.* | | | 701,992 | |
| | 518 | | | | | PAR Technology Corp.*(a) | | | 11,981 | |
| | 440 | | | | | PC Connection Inc. | | | 15,501 | |
| | 386 | | | | | PCM Inc.* | | | 13,514 | |
| | 1,196 | | | | | Plexus Corp.* | | | 68,423 | |
| | 8,186 | | | | | Rogers Corp.* | | | 1,083,990 | |
| | 2,789 | | | | | Sanmina Corp.* | | | 80,602 | |
| | 1,128 | | | | | ScanSource Inc.* | | | 31,877 | |
| | 1,687 | | | | | SYNNEX Corp. | | | 141,387 | |
| | 1,497 | | | | | Tech Data Corp.* | | | 138,817 | |
| | 30,040 | | | | | Trimble Inc.* | | | 1,127,101 | |
| | 4,070 | | | | | TTM Technologies Inc.* | | | 43,386 | |
| | 5,483 | | | | | Vishay Intertechnology Inc. | | | 86,796 | |
| | 406 | | | | | Vishay Precision Group Inc.* | | | 12,688 | |
| | 179 | | | | | Wrap Technologies Inc.*(a) | | | 743 | |
| | 2,195 | | | | | Zebra Technologies Corp., Class A Shares* | | | 450,041 | |
| | | | | | | | | | |
| | | | | | Total Electronic Equipment, Instruments & Components | | | 14,089,837 | |
| | | | | | | | | | |
|
| | IT Services — 3.5% | |
| | 1,831 | | | | | Alliance Data Systems Corp. | | | 225,121 | |
| | 5,645 | | | | | Amdocs Ltd. | | | 365,457 | |
| | 28,045 | | | | | Black Knight Inc.* | | | 1,745,801 | |
| | 5,595 | | | | | Booz Allen Hamilton Holding Corp., Class A Shares | | | 422,478 | |
| | 1,597 | | | | | Brightcove Inc.* | | | 19,691 | |
| | 1,009 | | | | | CACI International Inc., Class A Shares* | | | 224,291 | |
| | 1,415 | | | | | Carbonite Inc.* | | | 17,051 | |
| | 1,534 | | | | | Cardtronics PLC, Class A Shares* | | | 45,437 | |
| | 561 | | | | | Cass Information Systems Inc. | | | 28,387 | |
| | 56,477 | | | | | Conduent Inc.* | | | 367,665 | |
| | 22,499 | | | | | CoreLogic Inc.* | | | 1,088,952 | |
| | 1,352 | | | | | CSG Systems International Inc. | | | 72,846 | |
| | 2,660 | | | | | Endurance International Group Holdings Inc.* | | | 13,406 | |
| | 2,126 | | | | | EPAM Systems Inc.* | | | 406,768 | |
| | 6,782 | | | | | Euronet Worldwide Inc.* | | | 1,038,596 | |
| | 2,496 | | | | | EVERTEC Inc. | | | 87,011 | |
| | 1,280 | | | | | Evo Payments Inc., Class A Shares* | | | 37,990 | |
| | 1,441 | | | | | Exela Technologies Inc.* | | | 1,657 | |
| | 1,382 | | | | | ExlService Holdings Inc.* | | | 93,561 | |
| | 2,603 | | | | | Gartner Inc.* | | | 347,943 | |
| | 6,740 | | | | | Genpact Ltd. | | | 276,070 | |
| | 1,381 | | | | | GTT Communications Inc.*(a) | | | 13,133 | |
| | 920 | | | | | Hackett Group Inc. (The) | | | 14,840 | |
| | 335 | | | | | I3 Verticals Inc., Class A Shares* | | | 7,578 | |
| | 1,089 | | | | | Information Services Group Inc.* | | | 2,897 | |
| | 516 | | | | | International Money Express Inc.* | | | 6,729 | |
| | 10,530 | | | | | InterXion Holding NV* | | | 852,298 | |
| | 3,154 | | | | | Jack Henry & Associates Inc. | | | 457,204 | |
| | 42,383 | | | | | KBR Inc. | | | 1,081,614 | |
| | 5,590 | | | | | Leidos Holdings Inc. | | | 488,342 | |
| | 5,131 | | | | | Limelight Networks Inc.* | | | 12,468 | |
| | 2,780 | | | | | LiveRamp Holdings Inc.* | | | 117,761 | |
| | 1,104 | | | | | ManTech International Corp., Class A Shares | | | 77,589 | |
See Notes to Financial Statements.
94
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | INFORMATION TECHNOLOGY — 19.0% — (continued) | |
|
| | IT Services — 3.5% — (continued) | |
| | 2,601 | | | | | MAXIMUS Inc. | | $ | 200,121 | |
| | 980 | | | | | MongoDB Inc., Class A Shares*(a) | | | 149,264 | |
| | 2,729 | | | | | NIC Inc. | | | 56,818 | |
| | 9,595 | | | | | Okta Inc., Class A Shares* | | | 1,213,768 | |
| | 1,221 | | | | | Paysign Inc.*(a) | | | 16,227 | |
| | 1,322 | | | | | Perficient Inc.* | | | 48,702 | |
| | 5,834 | | | | | Perspecta Inc. | | | 151,392 | |
| | 1,910 | | | | | Presidio Inc. | | | 30,598 | |
| | 695 | | | | | PRGX Global Inc.* | | | 3,746 | |
| | 482 | | | | | Priority Technology Holdings Inc.* | | | 2,738 | |
| | 17,220 | | | | | Repay Holdings Corp.* | | | 218,694 | |
| | 11,309 | | | | | Sabre Corp. | | | 267,345 | |
| | 2,421 | | | | | Science Applications International Corp. | | | 213,072 | |
| | 675 | | | | | StarTek Inc.* | | | 4,205 | |
| | 2,427 | | | | | Switch Inc., Class A Shares | | | 39,803 | |
| | 1,567 | | | | | Sykes Enterprises Inc.* | | | 45,443 | |
| | 571 | | | | | TTEC Holdings Inc. | | | 26,786 | |
| | 371 | | | | | Tucows Inc., Class A Shares* | | | 18,721 | |
| | 27,173 | | | | | Unisys Corp.*(a) | | | 177,711 | |
| | 2,409 | | | | | USA Technologies Inc.* | | | 19,826 | |
| | 4,053 | | | | | Verra Mobility Corp., Class A Shares* | | | 56,418 | |
| | 1,209 | | | | | Virtusa Corp.* | | | 43,693 | |
| | 5,543 | | | | | WEX Inc.* | | | 1,133,821 | |
| | 10,000 | | | | | WNS Holdings Ltd., ADR* | | | 607,800 | |
| | | | | | | | | | |
| | | | | | Total IT Services | | | 14,805,344 | |
| | | | | | | | | | |
|
| | Semiconductors & Semiconductor Equipment — 2.6% | |
| | 1,082 | | | | | Adesto Technologies Corp.* | | | 11,036 | |
| | 13,202 | | | | | Advanced Energy Industries Inc.* | | | 681,751 | |
| | 854 | | | | | Alpha & Omega Semiconductor Ltd.* | | | 10,060 | |
| | 1,300 | | | | | Ambarella Inc.* | | | 72,631 | |
| | 3,847 | | | | | Amkor Technology Inc.* | | | 33,661 | |
| | 1,095 | | | | | Aquantia Corp.* | | | 14,432 | |
| | 1,317 | | | | | Axcelis Technologies Inc.* | | | 20,163 | |
| | 1,335 | | | | | AXT Inc.* | | | 4,526 | |
| | 35,265 | | | | | Brooks Automation Inc. | | | 1,175,383 | |
| | 5,994 | | | | | Cabot Microelectronics Corp. | | | 747,152 | |
| | 10,099 | | | | | CEVA Inc.* | | | 317,210 | |
| | 2,404 | | | | | Cirrus Logic Inc.* | | | 128,951 | |
| | 1,674 | | | | | Cohu Inc. | | | 19,954 | |
| | 4,315 | | | | | Cree Inc.* | | | 185,243 | |
| | 55,978 | | | | | Cypress Semiconductor Corp. | | | 1,288,054 | |
| | 1,687 | | | | | Diodes Inc.* | | | 61,660 | |
| | 887 | | | | | DSP Group Inc.* | | | 12,276 | |
| | 3,726 | | | | | Enphase Energy Inc.* | | | 110,550 | |
| | 13,719 | | | | | Entegris Inc. | | | 587,585 | |
| | 3,381 | | | | | First Solar Inc.* | | | 209,859 | |
| | 3,009 | | | | | FormFactor Inc.* | | | 51,424 | |
| | 606 | | | | | GSI Technology Inc.* | | | 5,090 | |
| | 939 | | | | | Ichor Holdings Ltd.* | | | 19,963 | |
| | 4,999 | | | | | Impinj Inc.*(a) | | | 181,864 | |
| | 1,845 | | | | | Inphi Corp.* | | | 112,896 | |
| | 5,138 | | | | | Lattice Semiconductor Corp.* | | | 101,167 | |
| | 50,360 | | | | | MACOM Technology Solutions Holdings Inc.* | | | 989,070 | |
| | 2,681 | | | | | MaxLinear Inc., Class A Shares* | | | 53,137 | |
See Notes to Financial Statements.
95
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | INFORMATION TECHNOLOGY — 19.0% — (continued) | |
|
| | Semiconductors & Semiconductor Equipment — 2.6% — (continued) | |
| | 5,467 | | | | | MKS Instruments Inc. | | $ | 428,011 | |
| | 1,716 | | | | | Monolithic Power Systems Inc. | | | 258,361 | |
| | 956 | | | | | Nanometrics Inc.* | | | 26,089 | |
| | 1,552 | | | | | NeoPhotonics Corp.* | | | 9,716 | |
| | 187 | | | | | NVE Corp. | | | 12,005 | |
| | 16,744 | | | | | ON Semiconductor Corp.* | | | 298,043 | |
| | 1,169 | | | | | PDF Solutions Inc.* | | | 13,689 | |
| | 2,730 | | | | | Photronics Inc.* | | | 29,484 | |
| | 1,151 | | | | | Power Integrations Inc. | | | 102,462 | |
| | 60,117 | | | | | Rambus Inc.* | | | 753,867 | |
| | 1,305 | | | | | Rudolph Technologies Inc.* | | | 28,697 | |
| | 2,675 | | | | | Semtech Corp.* | | | 112,270 | |
| | 1,754 | | | | | Silicon Laboratories Inc.* | | | 191,186 | |
| | 455 | | | | | SMART Global Holdings Inc.* | | | 12,927 | |
| | 2,557 | | | | | SunPower Corp., Class A Shares* | | | 32,014 | |
| | 1,409 | | | | | Synaptics Inc.* | | | 45,116 | |
| | 7,019 | | | | | Teradyne Inc. | | | 371,796 | |
| | 1,579 | | | | | Ultra Clean Holdings Inc.* | | | 18,853 | |
| | 1,752 | | | | | Universal Display Corp. | | | 359,984 | |
| | 43,467 | | | | | Veeco Instruments Inc.* | | | 402,504 | |
| | 4,478 | | | | | Versum Materials Inc. | | | 232,856 | |
| | 1,997 | | | | | Xperi Corp. | | | 36,585 | |
| | | | | | | | | | |
| | | | | | Total Semiconductors & Semiconductor Equipment | | | 10,983,263 | |
| | | | | | | | | | |
|
| | Software — 7.7% | |
| | 2,320 | | | | | 2U Inc.* | | | 41,482 | |
| | 31,215 | | | | | 8x8 Inc.* | | | 758,837 | |
| | 2,126 | | | | | A10 Networks Inc.* | | | 14,754 | |
| | 26,384 | | | | | ACI Worldwide Inc.* | | | 785,716 | |
| | 709 | | | | | Agilysys Inc.* | | | 19,320 | |
| | 1,521 | | | | | Alarm.com Holdings Inc.* | | | 72,400 | |
| | 1,587 | | | | | Altair Engineering Inc., Class A Shares* | | | 54,529 | |
| | 1,866 | | | | | Alteryx Inc., Class A Shares* | | | 265,812 | |
| | 1,240 | | | | | American Software Inc., Class A Shares | | | 19,542 | |
| | 3,369 | | | | | Anaplan Inc.* | | | 183,038 | |
| | 8,530 | | | | | ANSYS Inc.* | | | 1,761,957 | |
| | 617 | | | | | Appfolio Inc., Class A Shares* | | | 60,941 | |
| | 1,291 | | | | | Appian Corp., Class A Shares*(a) | | | 76,776 | |
| | 7,894 | | | | | Aspen Technology Inc.* | | | 1,051,481 | |
| | 1,748 | | | | | Avalara Inc.* | | | 147,426 | |
| | 4,587 | | | | | Avaya Holdings Corp.* | | | 64,768 | |
| | 1,200 | | | | | Benefitfocus Inc.* | | | 31,344 | |
| | 1,997 | | | | | Blackbaud Inc. | | | 181,667 | |
| | 35,990 | | | | | Blackline Inc.* | | | 1,832,971 | |
| | 20,006 | | | | | Bottomline Technologies de Inc.* | | | 825,047 | |
| | 5,931 | | | | | Box Inc., Class A Shares* | | | 86,771 | |
| | 2,307 | | | | | Carbon Black Inc.* | | | 60,213 | |
| | 4,999 | | | | | CDK Global Inc. | | | 215,757 | |
| | 2,960 | | | | | Ceridian HCM Holding Inc.* | | | 170,999 | |
| | 950 | | | | | ChannelAdvisor Corp.* | | | 8,170 | |
| | 3,777 | | | | | Cision Ltd.* | | | 26,137 | |
| | 86,071 | | | | | Cloudera Inc.*(a) | | | 614,547 | |
| | 1,423 | | | | | CommVault Systems Inc.* | | | 61,716 | |
| | 2,271 | | | | | Cornerstone OnDemand Inc.* | | | 118,478 | |
| | 2,509 | | | | | Coupa Software Inc.* | | | 348,575 | |
See Notes to Financial Statements.
96
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | INFORMATION TECHNOLOGY — 19.0% — (continued) | |
|
| | Software — 7.7% — (continued) | |
| | 435 | | | | | Digimarc Corp.* | | $ | 17,200 | |
| | 3,178 | | | | | Digital Turbine Inc.* | | | 24,185 | |
| | 6,267 | | | | | DocuSign Inc., Class A Shares* | | | 292,606 | |
| | 729 | | | | | Domo Inc., Class B Shares* | | | 18,101 | |
| | 949 | | | | | Ebix Inc. | | | 33,614 | |
| | 682 | | | | | eGain Corp.* | | | 4,897 | |
| | 1,532 | | | | | Elastic NV* | | | 134,648 | |
| | 12,863 | | | | | Envestnet Inc.* | | | 735,892 | |
| | 1,344 | | | | | Everbridge Inc.* | | | 115,853 | |
| | 3,386 | | | | | Fair Isaac Corp.* | | | 1,194,310 | |
| | 59,580 | | | | | FireEye Inc.* | | | 800,159 | |
| | 2,401 | | | | | Five9 Inc.* | | | 151,767 | |
| | 1,681 | | | | | ForeScout Technologies Inc.* | | | 60,230 | |
| | 1,270 | | | | | GTY Technology Holdings Inc.* | | | 7,950 | |
| | 3,347 | | | | | Guidewire Software Inc.* | | | 321,914 | |
| | 1,635 | | | | | HubSpot Inc.* | | | 326,477 | |
| | 2,102 | | | | | Ideanomics Inc.*(a) | | | 3,363 | |
| | 1,393 | | | | | Instructure Inc.* | | | 57,615 | |
| | 281 | | | | | Intelligent Systems Corp.* | | | 14,862 | |
| | 1,900 | | | | | j2 Global Inc. | | | 160,740 | |
| | 2,474 | | | | | LivePerson Inc.* | | | 98,317 | |
| | 2,015 | | | | | LogMeIn Inc. | | | 134,683 | |
| | 231 | | | | | Majesco* | | | 1,936 | |
| | 2,645 | | | | | Manhattan Associates Inc.* | | | 218,556 | |
| | 330 | | | | | MicroStrategy Inc., Class A Shares* | | | 47,286 | |
| | 14,370 | | | | | Mimecast Ltd.* | | | 588,164 | |
| | 1,166 | | | | | Mitek Systems Inc.* | | | 11,823 | |
| | 3,970 | | | | | MobileIron Inc.* | | | 27,393 | |
| | 1,337 | | | | | Model N Inc.* | | | 38,278 | |
| | 1,612 | | | | | Monotype Imaging Holdings Inc. | | | 31,837 | |
| | 1,917 | | | | | New Relic Inc.* | | | 109,921 | |
| | 4,990 | | | | | Nice Ltd., ADR* | | | 764,718 | |
| | 112,437 | | | | | Nuance Communications Inc.* | | | 1,890,066 | |
| | 5,719 | | | | | Nutanix Inc., Class A Shares* | | | 138,571 | |
| | 24,807 | | | | | OneSpan Inc.* | | | 334,895 | |
| | 426 | | | | | Pagerduty Inc.*(a) | | | 16,729 | |
| | 2,021 | | | | | Paycom Software Inc.* | | | 505,493 | |
| | 4,979 | | | | | Paylocity Holding Corp.* | | | 543,806 | |
| | 1,564 | | | | | Pegasystems Inc. | | | 109,715 | |
| | 2,588 | | | | | Pluralsight Inc., Class A Shares* | | | 41,667 | |
| | 1,841 | | | | | Progress Software Corp. | | | 69,553 | |
| | 8,647 | | | | | Proofpoint Inc.* | | | 982,386 | |
| | 21,001 | | | | | PROS Holdings Inc.* | | | 1,491,491 | |
| | 4,265 | | | | | PTC Inc.* | | | 279,230 | |
| | 1,631 | | | | | Q2 Holdings Inc.* | | | 146,708 | |
| | 431 | | | | | QAD Inc., Class A Shares | | | 17,464 | |
| | 10,013 | | | | | Qualys Inc.* | | | 797,235 | |
| | 1,987 | | | | | Rapid7 Inc.* | | | 106,682 | |
| | 3,257 | | | | | RealPage Inc.* | | | 207,373 | |
| | 1,073 | | | | | Rimini Street Inc.* | | | 5,118 | |
| | 2,875 | | | | | RingCentral Inc., Class A Shares* | | | 405,749 | |
| | 3,545 | | | | | SailPoint Technologies Holding Inc.* | | | 79,869 | |
| | 333 | | | | | SecureWorks Corp., Class A Shares*(a) | | | 4,019 | |
| | 361 | | | | | SharpSpring Inc.*(a) | | | 4,188 | |
See Notes to Financial Statements.
97
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | INFORMATION TECHNOLOGY — 19.0% — (continued) | |
|
| | Software — 7.7% — (continued) | |
| | 360 | | | | | ShotSpotter Inc.* | | $ | 9,803 | |
| | 13,263 | | | | | Smartsheet Inc., Class A Shares* | | | 644,582 | |
| | 1,872 | | | | | SolarWinds Corp.* | | | 31,861 | |
| | 1,486 | | | | | SPS Commerce Inc.* | | | 75,102 | |
| | 3,469 | | | | | SVMK Inc.* | | | 58,071 | |
| | 1,577 | | | | | Synchronoss Technologies Inc.* | | | 12,553 | |
| | 1,631 | | | | | Telaria Inc.* | | | 16,277 | |
| | 1,092 | | | | | Telenav Inc.* | | | 12,361 | |
| | 1,538 | | | | | Tenable Holdings Inc.* | | | 35,066 | |
| | 4,783 | | | | | Teradata Corp.* | | | 147,651 | |
| | 89,575 | | | | | TiVo Corp. | | | 674,500 | |
| | 1,557 | | | | | Trade Desk Inc. (The), Class A Shares* | | | 382,664 | |
| | 10,349 | | | | | Tyler Technologies Inc.* | | | 2,654,932 | |
| | 928 | | | | | Upland Software Inc.* | | | 35,264 | |
| | 1,204 | | | | | Varonis Systems Inc.* | | | 82,257 | |
| | 36,868 | | | | | Verint Systems Inc.* | | | 1,964,696 | |
| | 2,699 | | | | | VirnetX Holding Corp.*(a) | | | 14,197 | |
| | 1,448 | | | | | Workiva Inc., Class A Shares* | | | 69,663 | |
| | 3,846 | | | | | Yext Inc.* | | | 60,651 | |
| | 4,422 | | | | | Zendesk Inc.* | | | 354,644 | |
| | 2,129 | | | | | Zix Corp.* | | | 15,648 | |
| | 2,522 | | | | | Zscaler Inc.* | | | 173,362 | |
| | 3,527 | | | | | Zuora Inc., Class A Shares* | | | 53,081 | |
| | | | | | | | | | |
| | | | | | Total Software | | | 32,267,359 | |
| | | | | | | | | | |
|
| | Technology Hardware, Storage & Peripherals — 0.5% | |
| | 4,794 | | | | | 3D Systems Corp.* | | | 33,558 | |
| | 272 | | | | | AstroNova Inc. | | | 4,469 | |
| | 1,054 | | | | | Avid Technology Inc.* | | | 7,863 | |
| | 1,690 | | | | | Cray Inc.* | | | 59,032 | |
| | 46,525 | | | | | Diebold Nixdorf Inc.* | | | 521,545 | |
| | 1,328 | | | | | Immersion Corp.* | | | 10,903 | |
| | 20,259 | | | | | NCR Corp.* | | | 638,361 | |
| | 9,480 | | | | | Pure Storage Inc., Class A Shares* | | | 154,334 | |
| | 13,350 | | | | | Quantum Corp.* | | | 79,966 | |
| | 295 | | | | | Sonim Technologies Inc.* | | | 2,142 | |
| | 16,226 | | | | | Stratasys Ltd.* | | | 386,503 | |
| | 7,636 | | | | | Xerox Holdings Corp. | | | 221,368 | |
| | | | | | | | | | |
| | | | | | Total Technology Hardware, Storage & Peripherals | | | 2,120,044 | |
| | | | | | | | | | |
| | | | | | TOTAL INFORMATION TECHNOLOGY | | | 80,131,177 | |
| | | | | | | | | | |
|
| | MATERIALS — 5.1% | |
|
| | Chemicals — 2.1% | |
| | 664 | | | | | Advanced Emissions Solutions Inc. | | | 8,380 | |
| | 1,169 | | | | | AdvanSix Inc.* | | | 26,115 | |
| | 13,294 | | | | | Albemarle Corp.(a) | | | 820,639 | |
| | 1,301 | | | | | American Vanguard Corp. | | | 18,435 | |
| | 1,175 | | | | | Amyris Inc.*(a) | | | 4,442 | |
| | 2,551 | | | | | Ashland Global Holdings Inc. | | | 186,835 | |
| | 8,455 | | | | | Axalta Coating Systems Ltd.* | | | 244,180 | |
| | 1,304 | | | | | Balchem Corp. | | | 115,782 | |
| | 2,397 | | | | | Cabot Corp. | | | 95,880 | |
| | 9,071 | | | | | CF Industries Holdings Inc. | | | 437,131 | |
| | 289 | | | | | Chase Corp. | | | 28,964 | |
| | 6,789 | | | | | Chemours Co. (The) | | | 96,200 | |
See Notes to Financial Statements.
98
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | MATERIALS — 5.1% — (continued) | |
|
| | Chemicals — 2.1% — (continued) | |
| | 11,249 | | | | | Ecolab Inc. | | $ | 2,320,781 | |
| | 9,381 | | | | | Element Solutions Inc.* | | | 87,525 | |
| | 3,457 | | | | | Ferro Corp.* | | | 35,227 | |
| | 2,004 | | | | | Flotek Industries Inc.* | | | 4,188 | |
| | 1,023 | | | | | FutureFuel Corp. | | | 11,028 | |
| | 13,690 | | | | | GCP Applied Technologies Inc.* | | | 240,259 | |
| | 423 | | | | | Hawkins Inc. | | | 18,760 | |
| | 2,096 | | | | | HB Fuller Co. | | | 89,311 | |
| | 9,182 | | | | | Huntsman Corp. | | | 182,905 | |
| | 8,751 | | | | | Ingevity Corp.* | | | 666,564 | |
| | 8,467 | | | | | Innophos Holdings Inc. | | | 237,838 | |
| | 1,007 | | | | | Innospec Inc. | | | 83,762 | |
| | 3,591 | | | | | Intrepid Potash Inc.* | | | 10,665 | |
| | 743 | | | | | Koppers Holdings Inc.* | | | 19,697 | |
| | 21,331 | | | | | Kraton Corp.* | | | 585,323 | |
| | 934 | | | | | Kronos Worldwide Inc. | | | 10,227 | |
| | 5,850 | | | | | Livent Corp.* | | | 35,978 | |
| | 973 | | | | | LSB Industries Inc.* | | | 4,544 | |
| | 1,702 | | | | | Marrone Bio Innovations Inc.*(a) | | | 2,332 | |
| | 1,469 | | | | | Minerals Technologies Inc. | | | 70,806 | |
| | 281 | | | | | NewMarket Corp. | | | 133,405 | |
| | 6,735 | | | | | Olin Corp. | | | 114,360 | |
| | 1,668 | | | | | OMNOVA Solutions Inc.* | | | 16,763 | |
| | 2,458 | | | | | Orion Engineered Carbons SA | | | 34,191 | |
| | 3,203 | | | | | PolyOne Corp. | | | 102,528 | |
| | 1,613 | | | | | PQ Group Holdings Inc.* | | | 23,050 | |
| | 542 | | | | | Quaker Chemical Corp. | | | 86,102 | |
| | 2,136 | | | | | Rayonier Advanced Materials Inc. | | | 7,497 | |
| | 5,302 | | | | | RPM International Inc. | | | 358,786 | |
| | 1,619 | | | | | ScottsMiracle-Gro Co. (The) | | | 172,132 | |
| | 1,711 | | | | | Sensient Technologies Corp. | | | 111,763 | |
| | 847 | | | | | Stepan Co. | | | 80,795 | |
| | 792 | | | | | Trecora Resources* | | | 7,168 | |
| | 977 | | | | | Tredegar Corp. | | | 16,892 | |
| | 1,707 | | | | | Trinseo SA | | | 59,899 | |
| | 25,153 | | | | | Tronox Holdings PLC, Class A Shares | | | 186,887 | |
| | 599 | | | | | Valhi Inc. | | | 1,168 | |
| | 7,726 | | | | | Valvoline Inc. | | | 174,608 | |
| | 1,438 | | | | | Westlake Chemical Corp. | | | 84,252 | |
| | 2,331 | | | | | WR Grace & Co. | | | 157,832 | |
| | | | | | | | | | |
| | | | | | Total Chemicals | | | 8,730,781 | |
| | | | | | | | | | |
|
| | Construction Materials — 0.6% | |
| | 1,871 | | | | | Eagle Materials Inc. | | | 157,520 | |
| | 749 | | | | | Forterra Inc.* | | | 4,479 | |
| | 31,637 | | | | | Summit Materials Inc., Class A Shares* | | | 663,744 | |
| | 79 | | | | | United States Lime & Minerals Inc. | | | 6,097 | |
| | 670 | | | | | US Concrete Inc.* | | | 27,148 | |
| | 13,085 | | | | | Vulcan Materials Co. | | | 1,848,256 | |
| | | | | | | | | | |
| | | | | | Total Construction Materials | | | 2,707,244 | |
| | | | | | | | | | |
|
| | Containers & Packaging — 1.6% | |
| | 8,368 | | | | | AptarGroup Inc. | | | 1,022,737 | |
| | 745 | | | | | Ardagh Group SA, Class A Shares | | | 12,464 | |
| | 13,757 | | | | | Avery Dennison Corp. | | | 1,589,896 | |
See Notes to Financial Statements.
99
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | MATERIALS — 5.1% — (continued) | |
|
| | Containers & Packaging — 1.6% — (continued) | |
| | 16,047 | | | | | Berry Global Group Inc.* | | $ | 628,080 | |
| | 29,860 | | | | | Crown Holdings Inc.* | | | 1,965,982 | |
| | 12,082 | | | | | Graphic Packaging Holding Co. | | | 166,852 | |
| | 1,038 | | | | | Greif Inc., Class A Shares | | | 36,527 | |
| | 255 | | | | | Greif Inc., Class B Shares | | | 10,611 | |
| | 1,435 | | | | | Myers Industries Inc. | | | 24,151 | |
| | 6,445 | | | | | Owens-Illinois Inc. | | | 65,546 | |
| | 3,849 | | | | | Packaging Corp. of America | | | 387,132 | |
| | 6,384 | | | | | Sealed Air Corp. | | | 254,211 | |
| | 16,138 | | | | | Silgan Holdings Inc. | | | 480,267 | |
| | 4,072 | | | | | Sonoco Products Co. | | | 232,918 | |
| | 306 | | | | | UFP Technologies Inc.* | | | 12,785 | |
| | | | | | | | | | |
| | | | | | Total Containers & Packaging | | | 6,890,159 | |
| | | | | | | | | | |
|
| | Materials — 0.0% | |
| | 1,140 | | | | | A. Schulman Inc.*#(b)(c) | | | 494 | |
| | | | | | | | | | |
|
| | Metals & Mining — 0.7% | |
| | 12,527 | | | | | AK Steel Holding Corp.*(a) | | | 27,058 | |
| | 57,871 | | | | | Alamos Gold Inc., Class A Shares | | | 407,991 | |
| | 7,619 | | | | | Alcoa Corp.* | | | 136,609 | |
| | 5,218 | | | | | Allegheny Technologies Inc.* | | | 103,421 | |
| | 1,903 | | | | | Carpenter Technology Corp. | | | 92,562 | |
| | 1,813 | | | | | Century Aluminum Co.* | | | 9,990 | |
| | 64,146 | | | | | Cleveland-Cliffs Inc.(a) | | | 509,319 | |
| | 8,401 | | | | | Coeur Mining Inc.* | | | 45,953 | |
| | 4,886 | | | | | Commercial Metals Co. | | | 76,564 | |
| | 1,411 | | | | | Compass Minerals International Inc. | | | 70,169 | |
| | 3,346 | | | | | Ferroglobe Representation & Warranty Insurance Trust*#(b) | | | — | |
| | 1,912 | | | | | Gold Resource Corp. | | | 6,520 | |
| | 468 | | | | | Haynes International Inc. | | | 13,979 | |
| | 19,538 | | | | | Hecla Mining Co. | | | 34,778 | |
| | 665 | | | | | Kaiser Aluminum Corp. | | | 58,806 | |
| | 839 | | | | | Materion Corp. | | | 49,367 | |
| | 267 | | | | | Mayville Engineering Co., Inc.* | | | 3,530 | |
| | 9,521 | | | | | Novagold Resources Inc.* | | | 70,836 | |
| | 372 | | | | | Olympic Steel Inc. | | | 3,999 | |
| | 2,676 | | | | | Reliance Steel & Aluminum Co. | | | 260,187 | |
| | 2,682 | | | | | Royal Gold Inc. | | | 357,725 | |
| | 539 | | | | | Ryerson Holding Corp.* | | | 3,703 | |
| | 1,032 | | | | | Schnitzer Steel Industries Inc., Class A Shares | | | 22,848 | |
| | 8,735 | | | | | Steel Dynamics Inc. | | | 235,845 | |
| | 3,668 | | | | | SunCoke Energy Inc.* | | | 22,888 | |
| | 272 | | | | | Synalloy Corp. | | | 4,363 | |
| | 1,755 | | | | | TimkenSteel Corp.* | | | 9,161 | |
| | 7,171 | | | | | United States Steel Corp.(a) | | | 79,383 | |
| | 2,136 | | | | | Warrior Met Coal Inc. | | | 44,642 | |
| | 1,611 | | | | | Worthington Industries Inc. | | | 55,902 | |
| | | | | | | | | | |
| | | | | | Total Metals & Mining | | | 2,818,098 | |
| | | | | | | | | | |
|
| | Paper & Forest Products — 0.1% | |
| | 1,619 | | | | | Boise Cascade Co. | | | 50,837 | |
| | 640 | | | | | Clearwater Paper Corp.* | | | 10,253 | |
| | 2,602 | | | | | Domtar Corp. | | | 85,736 | |
| | 5,055 | | | | | Louisiana-Pacific Corp. | | | 121,522 | |
| | 675 | | | | | Neenah Inc. | | | 43,052 | |
See Notes to Financial Statements.
100
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | MATERIALS — 5.1% — (continued) | |
|
| | Paper & Forest Products — 0.1% — (continued) | |
| | 1,866 | | | | | PH Glatfelter Co. | | $ | 26,833 | |
| | 1,278 | | | | | Schweitzer-Mauduit International Inc. | | | 42,864 | |
| | 1,388 | | | | | Verso Corp., Class A Shares* | | | 14,171 | |
| | | | | | | | | | |
| | | | | | Total Paper & Forest Products | | | 395,268 | |
| | | | | | | | | | |
| | | | | | TOTAL MATERIALS | | | 21,542,044 | |
| | | | | | | | | | |
|
| | REAL ESTATE — 7.1% | |
|
| | Equity Real Estate Investment Trusts (REITs) — 6.3% | |
| | 3,401 | | | | | Acadia Realty Trust | | | 93,017 | |
| | 1,520 | | | | | Agree Realty Corp. | | | 113,529 | |
| | 2,856 | | | | | Alexander & Baldwin Inc. | | | 65,374 | |
| | 79 | | | | | Alexander’s Inc. | | | 29,828 | |
| | 1,912 | | | | | American Assets Trust Inc. | | | 89,596 | |
| | 5,596 | | | | | American Campus Communities Inc. | | | 260,102 | |
| | 4,424 | | | | | American Finance Trust Inc.(a) | | | 52,955 | |
| | 10,539 | | | | | American Homes 4 Rent, Class A Shares | | | 269,588 | |
| | 7,837 | | | | | Americold Realty Trust | | | 285,424 | |
| | 6,042 | | | | | Apartment Investment & Management Co., Class A Shares | | | 308,142 | |
| | 8,704 | | | | | Apple Hospitality REIT Inc. | | | 138,655 | |
| | 2,024 | | | | | Armada Hoffler Properties Inc. | | | 35,096 | |
| | 3,221 | | | | | Ashford Hospitality Trust Inc. | | | 9,019 | |
| | 830 | | | | | Bluerock Residential Growth REIT Inc., Class A Shares | | | 10,267 | |
| | 1,135 | | | | | Braemar Hotels & Resorts Inc. | | | 10,408 | |
| | 7,283 | | | | | Brandywine Realty Trust | | | 104,511 | |
| | 12,211 | | | | | Brixmor Property Group Inc. | | | 225,049 | |
| | 340 | | | | | BRT Apartments Corp. | | | 4,923 | |
| | 3,810 | | | | | Camden Property Trust | | | 412,433 | |
| | 3,944 | | | | | CareTrust REIT Inc. | | | 93,828 | |
| | 1,883 | | | | | CatchMark Timber Trust Inc., Class A Shares | | | 18,661 | |
| | 6,331 | | | | | CBL & Associates Properties Inc.(a) | | | 5,761 | |
| | 3,374 | | | | | Cedar Realty Trust Inc. | | | 7,996 | |
| | 1,931 | | | | | Chatham Lodging Trust | | | 32,035 | |
| | 2,498 | | | | | Chesapeake Lodging Trust | | | 64,324 | |
| | 195 | | | | | CIM Commercial Trust Corp. | | | 3,900 | |
| | 1,758 | | | | | City Office REIT Inc. | | | 23,803 | |
| | 586 | | | | | Clipper Realty Inc. | | | 6,411 | |
| | 19,861 | | | | | Colony Capital Inc. | | | 89,375 | |
| | 4,889 | | | | | Columbia Property Trust Inc. | | | 104,576 | |
| | 717 | | | | | Community Healthcare Trust Inc. | | | 30,573 | |
| | 4,934 | | | | | CoreCivic Inc. | | | 83,631 | |
| | 532 | | | | | CorEnergy Infrastructure Trust Inc. | | | 23,999 | |
| | 1,837 | | | | | CorePoint Lodging Inc. | | | 16,717 | |
| | 1,496 | | | | | CoreSite Realty Corp. | | | 173,805 | |
| | 4,583 | | | | | Corporate Office Properties Trust | | | 132,403 | |
| | 5,967 | | | | | Cousins Properties Inc. | | | 207,055 | |
| | 7,725 | | | | | CubeSmart | | | 277,250 | |
| | 13,454 | | | | | CyrusOne Inc. | | | 988,331 | |
| | 8,419 | | | | | DiamondRock Hospitality Co. | | | 79,728 | |
| | 6,574 | | | | | Douglas Emmett Inc. | | | 277,423 | |
| | 14,731 | | | | | Duke Realty Corp. | | | 490,100 | |
| | 2,864 | | | | | Easterly Government Properties Inc. | | | 58,855 | |
| | 1,463 | | | | | EastGroup Properties Inc. | | | 182,173 | |
| | 6,142 | | | | | Empire State Realty Trust Inc., Class A Shares | | | 86,357 | |
| | 3,084 | | | | | EPR Properties | | | 241,323 | |
See Notes to Financial Statements.
101
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | REAL ESTATE — 7.1% — (continued) | |
|
| | Equity Real Estate Investment Trusts (REITs) — 6.3% — (continued) | |
| | 84,067 | | | | | Equity Commonwealth | | $ | 2,829,695 | |
| | 3,478 | | | | | Equity LifeStyle Properties Inc. | | | 468,556 | |
| | 2,998 | | | | | Essential Properties Realty Trust Inc. | | | 68,085 | |
| | 1,079 | | | | | Farmland Partners Inc.(a) | | | 6,506 | |
| | 5,162 | | | | | First Industrial Realty Trust Inc. | | | 201,060 | |
| | 2,829 | | | | | Four Corners Property Trust Inc. | | | 80,598 | |
| | 4,480 | | | | | Franklin Street Properties Corp. | | | 33,914 | |
| | 2,087 | | | | | Front Yard Residential Corp. | | | 23,145 | |
| | 8,284 | | | | | Gaming and Leisure Properties Inc. | | | 324,070 | |
| | 4,823 | | | | | GEO Group Inc. (The) | | | 82,763 | |
| | 1,431 | | | | | Getty Realty Corp. | | | 45,449 | |
| | 1,243 | | | | | Gladstone Commercial Corp. | | | 28,179 | |
| | 777 | | | | | Gladstone Land Corp. | | | 8,943 | |
| | 1,295 | | | | | Global Medical REIT Inc. | | | 14,154 | |
| | 3,504 | | | | | Global Net Lease Inc. | | | 67,207 | |
| | 2,541 | | | | | Hannon Armstrong Sustainable Infrastructure Capital Inc. | | | 70,208 | |
| | 5,238 | | | | | Healthcare Realty Trust Inc. | | | 174,059 | |
| | 8,383 | | | | | Healthcare Trust of America Inc., Class A Shares | | | 237,742 | |
| | 1,352 | | | | | Hersha Hospitality Trust, Class A Shares | | | 18,793 | |
| | 4,209 | | | | | Highwoods Properties Inc. | | | 181,871 | |
| | 6,710 | | | | | Hospitality Properties Trust | | | 161,979 | |
| | 6,232 | | | | | Hudson Pacific Properties Inc. | | | 211,888 | |
| | 3,690 | | | | | Independence Realty Trust Inc. | | | 51,328 | |
| | 2,580 | | | | | Industrial Logistics Properties Trust | | | 55,186 | |
| | 386 | | | | | Innovative Industrial Properties Inc., Class A Shares | | | 34,416 | |
| | 459 | | | | | Investors Real Estate Trust | | | 31,786 | |
| | 11,696 | | | | | Iron Mountain Inc. | | | 372,518 | |
| | 2,451 | | | | | iStar Inc. | | | 31,373 | |
| | 22,066 | | | | | JBG SMITH Properties | | | 844,245 | |
| | 973 | | | | | Jernigan Capital Inc. | | | 18,789 | |
| | 4,055 | | | | | Kilroy Realty Corp. | | | 315,722 | |
| | 16,607 | | | | | Kimco Realty Corp. | | | 305,237 | |
| | 3,249 | | | | | Kite Realty Group Trust | | | 46,428 | |
| | 3,479 | | | | | Lamar Advertising Co., Class A Shares | | | 266,665 | |
| | 9,463 | | | | | Lexington Realty Trust | | | 98,321 | |
| | 6,051 | | | | | Liberty Property Trust | | | 315,378 | |
| | 1,907 | | | | | Life Storage Inc. | | | 202,066 | |
| | 1,526 | | | | | LTC Properties Inc. | | | 74,469 | |
| | 5,789 | | | | | Macerich Co. (The) | | | 165,160 | |
| | 3,729 | | | | | Mack-Cali Realty Corp. | | | 75,960 | |
| | 17,958 | | | | | Medical Properties Trust Inc. | | | 333,839 | |
| | 3,896 | | | | | Monmouth Real Estate Investment Corp. | | | 51,116 | |
| | 1,715 | | | | | National Health Investors Inc. | | | 142,276 | |
| | 6,650 | | | | | National Retail Properties Inc. | | | 373,398 | |
| | 2,359 | | | | | National Storage Affiliates Trust | | | 78,932 | |
| | 3,400 | | | | | New Senior Investment Group Inc. | | | 21,250 | |
| | 756 | | | | | NexPoint Residential Trust Inc. | | | 35,078 | |
| | 1,793 | | | | | NorthStar Realty Europe Corp. | | | 30,355 | |
| | 1,929 | | | | | Office Properties Income Trust | | | 52,295 | |
| | 8,767 | | | | | Omega Healthcare Investors Inc. | | | 356,642 | |
| | 612 | | | | | One Liberty Properties Inc. | | | 16,389 | |
| | 5,777 | | | | | Outfront Media Inc. | | | 158,752 | |
| | 8,429 | | | | | Paramount Group Inc. | | | 111,094 | |
| | 8,262 | | | | | Park Hotels & Resorts Inc. | | | 194,570 | |
See Notes to Financial Statements.
102
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | REAL ESTATE — 7.1% — (continued) | |
|
| | Equity Real Estate Investment Trusts (REITs) — 6.3% — (continued) | |
| | 5,301 | | | | | Pebblebrook Hotel Trust | | $ | 142,968 | |
| | 2,751 | | | | | Pennsylvania Real Estate Investment Trust(a) | | | 14,140 | |
| | 7,603 | | | | | Physicians Realty Trust | | | 131,684 | |
| | 5,222 | | | | | Piedmont Office Realty Trust Inc., Class A Shares | | | 103,082 | |
| | 2,730 | | | | | PotlatchDeltic Corp. | | | 105,050 | |
| | 1,708 | | | | | Preferred Apartment Communities Inc., Class A Shares | | | 22,990 | |
| | 809 | | | | | PS Business Parks Inc. | | | 145,304 | |
| | 26,700 | | | | | QTS Realty Trust Inc., Class A Shares | | | 1,309,902 | |
| | 5,300 | | | | | Rayonier Inc. | | | 142,040 | |
| | 6,789 | | | | | Regency Centers Corp. | | | 437,958 | |
| | 4,674 | | | | | Retail Opportunity Investments Corp. | | | 81,842 | |
| | 8,918 | | | | | Retail Properties of America Inc., Class A Shares | | | 101,308 | |
| | 600 | | | | | Retail Value Inc. | | | 22,194 | |
| | 4,226 | | | | | Rexford Industrial Realty Inc. | | | 186,747 | |
| | 7,007 | | | | | RLJ Lodging Trust | | | 113,583 | |
| | 3,306 | | | | | RPT Realty | | | 39,341 | |
| | 1,865 | | | | | Ryman Hospitality Properties Inc. | | | 148,566 | |
| | 7,334 | | | | | Sabra Health Care REIT Inc. | | | 158,561 | |
| | 329 | | | | | Safehold Inc. | | | 9,640 | |
| | 479 | | | | | Saul Centers Inc. | | | 24,060 | |
| | 7,202 | | | | | SBA Communications Corp., Class A Shares | | | 1,890,021 | |
| | 9,778 | | | | | Senior Housing Properties Trust | | | 83,015 | |
| | 1,289 | | | | | Seritage Growth Properties, Class A Shares(a) | | | 50,387 | |
| | 5,672 | | | | | SITE Centers Corp. | | | 78,614 | |
| | 3,442 | | | | | SL Green Realty Corp. | | | 276,117 | |
| | 1,563 | | | | | Spirit MTA REIT | | | 13,129 | |
| | 22,188 | | | | | Spirit Realty Capital Inc. | | | 1,063,693 | |
| | 5,175 | | | | | STAG Industrial Inc. | | | 150,489 | |
| | 8,511 | | | | | STORE Capital Corp. | | | 321,375 | |
| | 4,449 | | | | | Summit Hotel Properties Inc. | | | 49,651 | |
| | 3,442 | | | | | Sun Communities Inc. | | | 508,728 | |
| | 9,522 | | | | | Sunstone Hotel Investors Inc. | | | 125,119 | |
| | 3,774 | | | | | Tanger Factory Outlet Centers Inc. | | | 53,364 | |
| | 2,365 | | | | | Taubman Centers Inc. | | | 92,353 | |
| | 2,537 | | | | | Terreno Realty Corp. | | | 128,271 | |
| | 1,555 | | | | | UMH Properties Inc. | | | 19,997 | |
| | 28,849 | | | | | Uniti Group Inc. | | | 213,194 | |
| | 529 | | | | | Universal Health Realty Income Trust | | | 51,149 | |
| | 4,777 | | | | | Urban Edge Properties | | | 83,645 | |
| | 1,291 | | | | | Urstadt Biddle Properties Inc., Class A Shares | | | 27,098 | |
| | 40,132 | | | | | VEREIT Inc. | | | 391,287 | |
| | 18,352 | | | | | VICI Properties Inc. | | | 406,680 | |
| | 7,293 | | | | | Washington Prime Group Inc.(a) | | | 23,556 | |
| | 3,321 | | | | | Washington Real Estate Investment Trust | | | 87,973 | |
| | 5,027 | | | | | Weingarten Realty Investors | | | 133,165 | |
| | 1,560 | | | | | Whitestone REIT, Class B Shares | | | 19,375 | |
| | 4,575 | | | | | Xenia Hotels & Resorts Inc. | | | 92,461 | |
| | | | | | | | | | |
| | | | | | Total Equity Real Estate Investment Trusts (REITs) | | | 26,793,072 | |
| | | | | | | | | | |
|
| | Real Estate Management & Development — 0.8% | |
| | 191 | | | | | Altisource Portfolio Solutions SA* | | | 3,782 | |
| | 33,526 | | | | | CBRE Group Inc., Class A Shares* | | | 1,752,404 | |
| | 221 | | | | | Consolidated-Tomoka Land Co. | | | 14,109 | |
| | 4,210 | | | | | Cushman & Wakefield PLC* | | | 70,896 | |
| | 663 | | | | | eXp World Holdings Inc.*(a) | | | 5,768 | |
See Notes to Financial Statements.
103
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | REAL ESTATE — 7.1% — (continued) | |
|
| | Real Estate Management & Development — 0.8% — (continued) | |
| | 355 | | | | | Forestar Group Inc.* | | $ | 6,766 | |
| | 258 | | | | | FRP Holdings Inc.* | | | 12,691 | |
| | 1,644 | | | | | Howard Hughes Corp. (The)* | | | 207,588 | |
| | 2,108 | | | | | Jones Lang LaSalle Inc. | | | 282,577 | |
| | 5,002 | | | | | Kennedy-Wilson Holdings Inc. | | | 104,942 | |
| | 958 | | | | | Marcus & Millichap Inc.* | | | 34,565 | |
| | 322 | | | | | Maui Land & Pineapple Co., Inc.* | | | 3,387 | |
| | 5,843 | | | | | Newmark Group Inc., Class A Shares | | | 50,717 | |
| | 435 | | | | | Rafael Holdings Inc., Class B Shares* | | | 8,787 | |
| | 709 | | | | | RE/MAX Holdings Inc., Class A Shares | | | 18,200 | |
| | 4,719 | | | | | Realogy Holdings Corp.(a) | | | 22,557 | |
| | 3,650 | | | | | Redfin Corp.*(a) | | | 61,648 | |
| | 10,000 | | | | | RMR Group Inc. (The), Class A Shares | | | 465,900 | |
| | 1,309 | | | | | St Joe Co. (The)* | | | 23,536 | |
| | 302 | | | | | Stratus Properties Inc.* | | | 7,943 | |
| | 798 | | | | | Tejon Ranch Co.* | | | 13,359 | |
| | 70 | | | | | Transcontinental Realty Investors Inc. | | | 2,052 | |
| | | | | | | | | | |
| | | | | | Total Real Estate Management & Development | | | 3,174,174 | |
| | | | | | | | | | |
| | | | | | TOTAL REAL ESTATE | | | 29,967,246 | |
| | | | | | | | | | |
|
| | UTILITIES — 3.2% | |
|
| | Electric Utilities — 0.9% | |
| | 16,018 | | | | | ALLETE Inc. | | | 1,373,223 | |
| | 9,723 | | | | | Alliant Energy Corp. | | | 509,971 | |
| | 1,675 | | | | | El Paso Electric Co. | | | 111,723 | |
| | 596 | | | | | Genie Energy Ltd., Class B Shares | | | 4,267 | |
| | 4,479 | | | | | Hawaiian Electric Industries Inc. | | | 198,868 | |
| | 2,066 | | | | | IDACORP Inc. | | | 226,868 | |
| | 1,446 | | | | | MGE Energy Inc. | | | 109,679 | |
| | 8,189 | | | | | OGE Energy Corp. | | | 351,063 | |
| | 1,636 | | | | | Otter Tail Corp. | | | 82,814 | |
| | 4,588 | | | | | Pinnacle West Capital Corp. | | | 437,282 | |
| | 3,234 | | | | | PNM Resources Inc. | | | 164,966 | |
| | 3,673 | | | | | Portland General Electric Co. | | | 208,957 | |
| | 502 | | | | | Spark Energy Inc., Class A Shares | | | 4,749 | |
| | | | | | | | | | |
| | | | | | Total Electric Utilities | | | 3,784,430 | |
| | | | | | | | | | |
|
| | Gas Utilities — 0.5% | |
| | 4,733 | | | | | Atmos Energy Corp. | | | 521,719 | |
| | 666 | | | | | Chesapeake Utilities Corp. | | | 62,990 | |
| | 3,357 | | | | | National Fuel Gas Co. | | | 156,906 | |
| | 3,618 | | | | | New Jersey Resources Corp. | | | 165,487 | |
| | 1,195 | | | | | Northwest Natural Holding Co. | | | 85,275 | |
| | 2,126 | | | | | ONE Gas Inc. | | | 194,763 | |
| | 278 | | | | | RGC Resources Inc. | | | 7,890 | |
| | 3,754 | | | | | South Jersey Industries Inc. | | | 121,404 | |
| | 2,178 | | | | | Southwest Gas Holdings Inc. | | | 198,699 | |
| | 2,025 | | | | | Spire Inc. | | | 171,922 | |
| | 8,559 | | | | | UGI Corp. | | | 416,567 | |
| | | | | | | | | | |
| | | | | | Total Gas Utilities | | | 2,103,622 | |
| | | | | | | | | | |
|
| | Independent Power & Renewable Electricity Producers — 0.8% | |
| | 145,680 | | | | | Atlantic Power Corp.* | | | 333,607 | |
| | 1,443 | | | | | Clearway Energy Inc., Class A Shares | | | 24,185 | |
| | 3,046 | | | | | Clearway Energy Inc., Class C Shares | | | 53,914 | |
See Notes to Financial Statements.
104
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | UTILITIES — 3.2% — (continued) | |
|
| | Independent Power & Renewable Electricity Producers — 0.8% — (continued) | |
| | 10,927 | | | | | NRG Energy Inc. | | $ | 397,743 | |
| | 11,515 | | | | | Ormat Technologies Inc. | | | 855,219 | |
| | 3,668 | | | | | Pattern Energy Group Inc., Class A Shares | | | 99,586 | |
| | 2,914 | | | | | TerraForm Power Inc., Class A Shares | | | 49,422 | |
| | 59,379 | | | | | Vistra Energy Corp. | | | 1,481,506 | |
| | | | | | | | | | |
| | | | | | Total Independent Power & Renewable Electricity Producers | | | 3,295,182 | |
| | | | | | | | | | |
|
| | Multi-Utilities — 0.2% | |
| | 2,710 | | | | | Avista Corp. | | | 127,099 | |
| | 2,457 | | | | | Black Hills Corp. | | | 188,476 | |
| | 8,140 | | | | | MDU Resources Group Inc. | | | 218,885 | |
| | 6,105 | | | | | NorthWestern Corp. | | | 442,246 | |
| | 598 | | | | | Unitil Corp. | | | 36,101 | |
| | | | | | | | | | |
| | | | | | Total Multi-Utilities | | | 1,012,807 | |
| | | | | | | | | | |
|
| | Water Utilities — 0.8% | |
| | 1,513 | | | | | American States Water Co. | | | 139,998 | |
| | 31,627 | | | | | Aqua America Inc. | | | 1,400,760 | |
| | 400 | | | | | AquaVenture Holdings Ltd.* | | | 7,072 | |
| | 311 | | | | | Artesian Resources Corp., Class A Shares | | | 11,320 | |
| | 571 | | | | | Cadiz Inc.* | | | 6,572 | |
| | 1,995 | | | | | California Water Service Group | | | 112,598 | |
| | 15,332 | | | | | Connecticut Water Service Inc. | | | 1,075,386 | |
| | 557 | | | | | Consolidated Water Co., Ltd. | | | 8,166 | |
| | 370 | | | | | Global Water Resources Inc. | | | 4,407 | |
| | 668 | | | | | Middlesex Water Co. | | | 40,775 | |
| | 592 | | | | | Pure Cycle Corp.* | | | 6,423 | |
| | 8,893 | | | | | SJW Group | | | 607,659 | |
| | 533 | | | | | York Water Co. (The) | | | 19,902 | |
| | | | | | | | | | |
| | | | | | Total Water Utilities | | | 3,441,038 | |
| | | | | | | | | | |
| | | | | | TOTAL UTILITIES | | | 13,637,079 | |
| | | | | | | | | | |
| | | | | | TOTAL COMMON STOCKS
(Cost — $350,811,304) | | | 404,351,767 | |
| | | | | | | | | | |
|
| | CONVERTIBLE PREFERRED STOCKS — 0.5% | |
|
| | HEALTH CARE — 0.1% | |
|
| | Health Care Equipment & Supplies — 0.1% | |
| | 8,291 | | | | | Becton Dickinson & Co., 6.125% due 5/1/20 | | | 512,964 | |
| | | | | | | | | | |
|
| | UTILITIES — 0.4% | |
|
| | Water Utilities — 0.4% | |
| | 30,049 | | | | | Aqua America Inc., 6.000% due 4/30/22 | | | 1,808,048 | |
| | | | | | | | | | |
| | | | | | TOTAL CONVERTIBLE PREFERRED STOCKS
(Cost — $2,161,780) | | | 2,321,012 | |
| | | | | | | | | | |
|
| | CLOSED END MUTUAL FUND SECURITIES — 0.4% | |
|
| | FINANCIALS — 0.4% | |
|
| | Capital Markets — 0.4% | |
| | 4,963 | | | | | iShares® Russell 2000 ETF, Common Class | | | 738,693 | |
| | 14,104 | | | | | iShares® RussellMid-Capital ETF, Common Class | | | 776,707 | |
| | | | | | | | | | |
| | | | | | TOTAL FINANCIALS | | | 1,515,400 | |
| | | | | | | | | | |
| | | | | | TOTAL CLOSED END MUTUAL FUND SECURITIES
(Cost — $1,539,764) | | | 1,515,400 | |
| | | | | | | | | | |
See Notes to Financial Statements.
105
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | PREFERRED STOCKS — 0.4% | |
|
| | FINANCIALS — 0.4% | |
|
| | Banks — 0.0% | |
| | 2,609 | | | | | Commerce Bancshares Inc., 6.000%(d) | | $ | 69,269 | |
| | | | | | | | | | |
|
| | Capital Markets — 0.2% | |
| | 30,202 | | | | | Northern Trust Corp., 5.850%(d) | | | 766,527 | |
| | | | | | | | | | |
|
| | Insurance — 0.2% | |
| | 983 | | | | | American Financial Group Inc., 5.875% due 3/30/59 | | | 26,787 | |
| | 10,773 | | | | | MetLife Inc., 4.000%(3-MonthUSD-LIBOR + 1.000%)(d)(e) | | | 259,091 | |
| | 30,808 | | | | | WR Berkley Corp., 5.625% due 4/30/53 | | | 780,058 | |
| | | | | | | | | | |
| | | | | | Total Insurance | | | 1,065,936 | |
| | | | | | | | | | |
| | | | | | TOTAL FINANCIALS | | | 1,901,732 | |
| | | | | | | | | | |
| | | | | | TOTAL PREFERRED STOCKS
(Cost — $1,908,028) | | | 1,901,732 | |
| | | | | | | | | | |
| | | |
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)(f) (Cost — $353,000) | | | 369,520 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS
(Cost — $356,773,876) | | | 410,459,431 | |
| | | | | | | | | | |
|
| | SHORT-TERM INVESTMENTS (g) — 4.9% | |
|
| | MONEY MARKET FUND — 2.4% | |
| | 9,907,772 | | | | | Invesco STIT — Government & Agency Portfolio, 1.998%, Institutional Class(h) (Cost — $9,907,772) | | | 9,907,772 | |
| | | | | | | | | | |
|
| | TIME DEPOSITS — 2.5% | |
| | 4,377,435 | | | | | ANZ National Bank — London, 1.490% due 9/3/19 | | | 4,377,435 | |
| | 2,335,312 | | | | | Banco Santander SA — Frankfurt, 1.490% due 9/3/19 | | | 2,335,312 | |
| | | | | | BBH — Grand Cayman: | | | | |
| | 9,119 | CAD | | | | 0.870% due 9/3/19 | | | 6,850 | |
| | 33,980 | | | | | 1.490% due 9/3/19 | | | 33,980 | |
| | 3,684,683 | | | | | Citibank — New York, 1.490% due 9/3/19 | | | 3,684,683 | |
| | 251,771 | | | | | JPMorgan Chase & Co. — New York, 1.490% due 9/3/19 | | | 251,771 | |
| | | | | | | | | | |
| | | | | | TOTAL TIME DEPOSITS
(Cost — $10,690,031) | | | 10,690,031 | |
| | | | | | | | | | |
| | | | | | TOTAL SHORT-TERM INVESTMENTS
(Cost — $20,597,803) | | | 20,597,803 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS — 102.0%
(Cost — $377,371,679) | | | 431,057,234 | |
| | | | | | | | | | |
| | | | | | Liabilities in Excess of Other Assets — (2.0)% | | | (8,403,072 | ) |
| | | | | | | | | | |
| | | | | | TOTAL NET ASSETS — 100.0% | | $ | 422,654,162 | |
| | | | | | | | | | |
| † | 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) | 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. |
See Notes to Financial Statements.
106
| | | | | | |
| Small-Mid Cap Equity Fund |
| (d) | Security is perpetual in nature and has no stated maturity date. |
| (e) | Variable rate security. Interest rate disclosed is that which was in effect at August 31, 2019. |
| (f) | 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 August 31, 2019 amounts to approximately $369,520 and represents 0.1% of net assets. |
| (g) | Inclusive of all short-term holdings, including investment of collateral received from securities lending transactions. Excluding such collateral, the percentage of portfolio holdings would be 2.5%. |
| (h) | Represents investment of collateral received from securities lending transactions. |
| # | Security that used significant unobservable inputs to determine fair value. |
At August 31, 2019, for Small-Mid Cap Equity 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 | | $ | 381,879,336 | | | $ | 84,785,576 | | | $ | (35,674,379 | ) | | $ | 49,111,197 | |
| | |
Abbreviations used in this schedule: |
| ADR | | — American Depositary Receipts |
| LIBOR | | — London Interbank Offered Rate |
| PLC | | — Public Limited Company |
| REIT | | — Real Estate Investment Trust |
| | | | |
| Summary of Investments by Security Sector^ | |
Information Technology | | | 19.1 | % |
Industrials | | | 17.5 | |
Financials | | | 16.0 | |
Health Care | | | 14.4 | |
Consumer Discretionary | | | 7.7 | |
Real Estate | | | 7.1 | |
Materials | | | 5.1 | |
Utilities | | | 3.7 | |
Consumer Staples | | | 3.0 | |
Energy | | | 2.0 | |
Communication Services | | | 1.9 | |
Short-Term Investments | | | 2.5 | |
| | | | |
| | | 100.0 | %+ |
| | | | |
| ^ | As a percentage of total investments. |
| + | Does not reflect investments of collateral received from securities lending transactions. |
At August 31, 2019,Small-Mid Cap Equity 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: | | | | | | | | | | | | | | | | | | | | |
Russell 2000E-mini Index September Futures | | | 12 | | | | 9/19 | | | $ | 931,913 | | | $ | 896,520 | | | $ | (35,393 | ) |
NASDAQ 100E-mini Index September Futures | | | 1 | | | | 9/19 | | | | 150,982 | | | | 153,815 | | | | 2,833 | |
S&P MidCap 400E-mini Index September Futures | | | 6 | | | | 9/19 | | | | 1,162,981 | | | | 1,128,840 | | | | (34,141 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | (66,701 | ) |
| | | | | | | | | | | | | | | | | | | | |
At August 31, 2019,Small-Mid Cap Equity Fund had deposited cash of $92,800 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 pages295-296 for definitions of ratings.
See Notes to Financial Statements.
107
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | COMMON STOCKS — 96.8% | |
|
| | Argentina — 0.1% | |
| | 8,971 | | | Globant SA* | | $ | 851,617 | |
| | 86,759 | | | YPF SA, ADR | | | 742,657 | |
| | | | | | | | |
| | | | Total Argentina | | | 1,594,274 | |
| | | | | | | | |
|
| | Australia — 3.1% | |
| | 15,455 | | | AGL Energy Ltd. | | | 197,381 | |
| | 61,241 | | | Alumina Ltd. | | | 89,359 | |
| | 70,115 | | | AMP Ltd. | | | 79,936 | |
| | 27,804 | | | APA Group | | | 206,342 | |
| | 25,984 | | | Appen Ltd. | | | 451,471 | |
| | 13,935 | | | Aristocrat Leisure Ltd. | | | 278,832 | |
| | 4,662 | | | ASX Ltd. | | | 270,811 | |
| | 5,910 | | | Atlassian Corp. PLC, Class A Shares* | | | 794,954 | |
| | 46,721 | | | Aurizon Holdings Ltd. | | | 185,726 | |
| | 46,512 | | | AusNet Services | | | 56,364 | |
| | 67,325 | | | Australia & New Zealand Banking Group Ltd. | | | 1,211,067 | |
| | 9,269 | | | Bank of Queensland Ltd. | | | 57,284 | |
| | 993,699 | | | Beach Energy Ltd. | | | 1,634,869 | |
| | 11,723 | | | Bendigo & Adelaide Bank Ltd. | | | 88,147 | |
| | 69,419 | | | BHP Group Ltd. | | | 1,709,424 | |
| | 140,543 | | | BHP Group PLC | | | 3,038,910 | |
| | 11,753 | | | BlueScope Steel Ltd. | | | 98,628 | |
| | 28,715 | | | Boral Ltd. | | | 82,088 | |
| | 196,770 | | | Brambles Ltd. | | | 1,498,741 | |
| | 5,712 | | | Caltex Australia Ltd. | | | 92,237 | |
| | 13,096 | | | Challenger Ltd. | | | 59,101 | |
| | 225,091 | | | Charter Hall Group, REIT | | | 1,917,967 | |
| | 2,392 | | | CIMIC Group Ltd. | | | 49,827 | |
| | 11,895 | | | Coca-Cola Amatil Ltd. | | | 87,161 | |
| | 1,357 | | | Cochlear Ltd. | | | 199,407 | |
| | 26,719 | | | Coles Group Ltd. | | | 249,220 | |
| | 42,001 | | | Commonwealth Bank of Australia | | | 2,233,723 | |
| | 11,835 | | | Computershare Ltd. | | | 122,344 | |
| | 9,595 | | | Crown Resorts Ltd. | | | 77,538 | |
| | 44,378 | | | CSL Ltd. | | | 7,186,727 | |
| | 194,669 | | | CSR Ltd. | | | 510,547 | |
| | 25,723 | | | Dexus, REIT | | | 223,416 | |
| | 117,979 | | | Downer EDI Ltd. | | | 613,232 | |
| | 1,133 | | | Flight Centre Travel Group Ltd. | | | 35,525 | |
| | 31,838 | | | Fortescue Metals Group Ltd. | | | 171,060 | |
| | 38,470 | | | Goodman Group, REIT | | | 376,294 | |
| | 46,280 | | | GPT Group (The), REIT | | | 199,324 | |
| | 13,652 | | | Harvey Norman Holdings Ltd. | | | 40,318 | |
| | 37,499 | | | Incitec Pivot Ltd. | | | 81,130 | |
| | 53,309 | | | Insurance Australia Group Ltd. | | | 289,119 | |
| | 13,841 | | | LendLease Group | | | 159,251 | |
| | 7,620 | | | Macquarie Group Ltd. | | | 634,322 | |
| | 20,628 | | | Magellan Financial Group Ltd. | | | 702,696 | |
| | 62,960 | | | Medibank Pvt Ltd. | | | 154,170 | |
| | 79,617 | | | Mineral Resources Ltd. | | | 707,728 | |
| | 93,909 | | | Mirvac Group, REIT | | | 201,966 | |
| | 67,061 | | | National Australia Bank Ltd. | | | 1,234,219 | |
| | 18,104 | | | Newcrest Mining Ltd. | | | 452,481 | |
| | 138,614 | | | Northern Star Resources Ltd. | | | 1,116,669 | |
| | 31,855 | | | Oil Search Ltd. | | | 142,176 | |
See Notes to Financial Statements.
108
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | Australia — 3.1% — (continued) | |
| | 8,575 | | | Orica Ltd. | | $ | 124,438 | |
| | 41,461 | | | Origin Energy Ltd. | | | 212,486 | |
| | 89,774 | | | OZ Minerals Ltd. | | | 552,329 | |
| | 31,310 | | | QBE Insurance Group Ltd. | | | 264,211 | |
| | 3,264 | | | Ramsay Health Care Ltd. | | | 144,446 | |
| | 1,263 | | | REA Group Ltd. | | | 88,788 | |
| | 41,858 | | | Santos Ltd. | | | 202,886 | |
| | 123,772 | | | Scentre Group, REIT | | | 336,684 | |
| | 8,169 | | | SEEK Ltd. | | | 111,668 | |
| | 48,500 | | | Seven Group Holdings Ltd. | | | 542,559 | |
| | 11,142 | | | Sonic Healthcare Ltd. | | | 221,177 | |
| | 122,491 | | | South32 Ltd. | | | 217,500 | |
| | 56,446 | | | Stockland, REIT | | | 171,846 | |
| | 30,599 | | | Suncorp Group Ltd. | | | 284,861 | |
| | 25,502 | | | Sydney Airport | | | 144,921 | |
| | 49,099 | | | Tabcorp Holdings Ltd. | | | 155,542 | |
| | 98,093 | | | Telstra Corp., Ltd. | | | 245,950 | |
| | 8,418 | | | TPG Telecom Ltd. | | | 37,793 | |
| | 63,044 | | | Transurban Group | | | 635,215 | |
| | 16,860 | | | Treasury Wine Estates Ltd. | | | 213,005 | |
| | 74,648 | | | Vicinity Centres, REIT | | | 130,338 | |
| | 3,114 | | | Washington H Soul Pattinson & Co., Ltd. | | | 43,865 | |
| | 26,719 | | | Wesfarmers Ltd. | | | 704,260 | |
| | 82,389 | | | Westpac Banking Corp. | | | 1,563,470 | |
| | 22,060 | | | Woodside Petroleum Ltd. | | | 476,508 | |
| | 29,661 | | | Woolworths Group Ltd. | | | 755,079 | |
| | 8,224 | | | WorleyParsons Ltd. | | | 67,886 | |
| | | | | | | | |
| | | | Total Australia | | | 41,000,940 | |
| | | | | | | | |
|
| | Austria — 0.3% | |
| | 768 | | | ams AG* | | | 30,853 | |
| | 1,856 | | | ANDRITZ AG | | | 65,390 | |
| | 78,831 | | | Erste Group Bank AG | | | 2,537,695 | |
| | 3,434 | | | OMV AG | | | 175,326 | |
| | 3,796 | | | Raiffeisen Bank International AG | | | 83,077 | |
| | 9,575 | | | Rhi Magnesita NV | | | 515,933 | |
| | 1,614 | | | Verbund AG | | | 96,097 | |
| | 2,612 | | | Voestalpine AG | | | 60,230 | |
| | | | | | | | |
| | | | Total Austria | | | 3,564,601 | |
| | | | | | | | |
|
| | Belgium — 0.7% | |
| | 52,663 | | | Ageas | | | 2,820,995 | |
| | 17,956 | | | Anheuser-Busch InBev SA/NV | | | 1,698,113 | |
| | 1,256 | | | Colruyt SA | | | 64,323 | |
| | 6,212 | | | Galapagos NV* | | | 1,047,624 | |
| | 1,900 | | | Groupe Bruxelles Lambert SA | | | 177,545 | |
| | 5,875 | | | KBC Group NV | | | 340,338 | |
| | 3,766 | | | Proximus SADP | | | 111,366 | |
| | 1,738 | | | Solvay SA | | | 175,465 | |
| | 1,170 | | | Telenet Group Holding NV | | | 58,392 | |
| | 3,028 | | | UCB SA | | | 226,602 | |
| | 42,321 | | | Umicore SA | | | 1,349,093 | |
| | 5,021 | | | Warehouses de Pauw CVA, REIT | | | 935,045 | |
| | | | | | | | |
| | | | Total Belgium | | | 9,004,901 | |
| | | | | | | | |
|
| | Brazil — 0.1% | |
| | 68,404 | | | B3 SA — Brasil Bolsa Balcao | | | 739,905 | |
| | | | | | | | |
See Notes to Financial Statements.
109
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | Canada — 3.3% | |
| | 28,219 | | | Air Canada, Class B Shares* | | $ | 948,582 | |
| | 63,952 | | | Alimentation Couche-Tard Inc., Class B Shares | | | 4,025,673 | |
| | 79,913 | | | ARC Resources Ltd. | | | 337,360 | |
| | 10,739 | | | Badger Daylighting Ltd.(a) | | | 340,341 | |
| | 163,879 | | | Barrick Gold Corp. | | | 3,177,252 | |
| | 21,989 | | | BRP Inc. | | | 788,548 | |
| | 55,894 | | | Cameco Corp. | | | 490,190 | |
| | 24,052 | | | Canada Goose Holdings Inc.*(a) | | | 897,140 | |
| | 19,965 | | | Canadian Apartment Properties REIT | | | 803,099 | |
| | 21,058 | | | Canadian Imperial Bank of Commerce(a) | | | 1,631,333 | |
| | 19,733 | | | Canadian Western Bank | | | 470,776 | |
| | 77,776 | | | CCL Industries Inc., Class B Shares | | | 3,524,677 | |
| | 43,849 | | | Detour Gold Corp.* | | | 785,576 | |
| | 69,462 | | | Dollarama Inc. | | | 2,658,470 | |
| | 952,586 | | | Encana Corp.(a) | | | 4,221,790 | |
| | 39,210 | | | Enerflex Ltd. | | | 359,333 | |
| | 115,203 | | | Entertainment One Ltd. | | | 820,636 | |
| | 11,275 | | | Finning International Inc. | | | 195,476 | |
| | 100,798 | | | Gildan Activewear Inc., Class A Shares | | | 3,695,737 | |
| | 23,089 | | | IMAX Corp.* | | | 483,022 | |
| | 304,605 | | | Kinross Gold Corp.* | | | 1,513,887 | |
| | 37,780 | | | Kirkland Lake Gold Ltd. | | | 1,837,279 | |
| | 127,515 | | | Manulife Financial Corp. | | | 2,115,911 | |
| | 36,667 | | | Northland Power Inc. | | | 695,468 | |
| | 35,490 | | | Nutrien Ltd. | | | 1,787,496 | |
| | 67,474 | | | Parex Resources Inc.* | | | 1,033,461 | |
| | 71,918 | | | Saputo Inc. | | | 2,161,997 | |
| | 286,252 | | | Tamarack Valley Energy Ltd.* | | | 404,247 | |
| | 24,217 | | | TFI International Inc. | | | 704,908 | |
| | 42,312 | | | Tourmaline Oil Corp. | | | 401,110 | |
| | 73,680 | | | Tricon Capital Group Inc. | | | 546,270 | |
| | | | | | | | |
| | | | Total Canada | | | 43,857,045 | |
| | | | | | | | |
|
| | Chile — 0.1% | |
| | 152,337 | | | Antofagasta PLC | | | 1,608,418 | |
| | | | | | | | |
|
| | China — 1.3% | |
| | 27,094 | | | Alibaba Group Holding Ltd., ADR* | | | 4,742,263 | |
| | 35,279 | | | Baidu Inc., ADR* | | | 3,685,597 | |
| | 829 | | | BeiGene Ltd., ADR* | | | 119,169 | |
| | 252,800 | | | China Pacific Insurance Group Co., Ltd., Class H Shares(b) | | | 1,007,558 | |
| | 4,140,969 | | | China Telecom Corp., Ltd., Class H Shares(b) | | | 1,850,677 | |
| | 2,649,220 | | | Dongfeng Motor Group Co., Ltd., Class H Shares(b) | | | 2,450,268 | |
| | 114,682 | | | Meituan Dianping, Class B Shares* | | | 1,083,183 | |
| | 169,013 | | | Sinopharm Group Co., Ltd., Class H Shares(b) | | | 609,071 | |
| | 30,300 | | | Tencent Holdings Ltd. | | | 1,247,826 | |
| | 55,500 | | | Yangzijiang Shipbuilding Holdings Ltd. | | | 36,277 | |
| | | | | | | | |
| | | | Total China | | | 16,831,889 | |
| | | | | | | | |
|
| | Denmark — 1.4% | |
| | 93 | | | AP Moller — Maersk AS, Class A Shares | | | 92,494 | |
| | 2,361 | | | AP Moller — Maersk AS, Class B Shares | | | 2,511,580 | |
| | 5,690 | | | Ascendis Pharma AS, ADR* | | | 637,451 | |
| | 2,490 | | | Carlsberg AS, Class B Shares | | | 367,335 | |
| | 2,486 | | | Chr Hansen Holding AS | | | 208,628 | |
| | 2,751 | | | Coloplast AS, Class B Shares | | | 327,946 | |
| | 15,835 | | | Danske Bank AS | | | 208,157 | |
See Notes to Financial Statements.
110
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | Denmark — 1.4% — (continued) | |
| | 2,896 | | | Demant AS* | | $ | 87,667 | |
| | 13,506 | | | Dfds AS | | | 463,835 | |
| | 4,408 | | | Drilling Co. of 1972 (The)* | | | 242,526 | |
| | 5,194 | | | DSV AS | | | 514,647 | |
| | 1,481 | | | Genmab AS* | | | 301,991 | |
| | 15,628 | | | GN Store Nord AS | | | 653,989 | |
| | 1,585 | | | H. Lundbeck AS | | | 57,644 | |
| | 3,711 | | | ISS AS | | | 94,151 | |
| | 119,720 | | | Novo Nordisk AS, Class B Shares | | | 6,241,843 | |
| | 5,159 | | | Novozymes AS, Class B Shares | | | 219,913 | |
| | 4,436 | | | Orsted AS(c) | | | 423,347 | |
| | 2,355 | | | Pandora AS | | | 100,247 | |
| | 14,904 | | | Royal Unibrew AS | | | 1,288,972 | |
| | 3,023 | | | Tryg AS | | | 90,476 | |
| | 40,148 | | | Vestas Wind Systems AS | | | 2,945,578 | |
| | | | | | | | |
| | | | Total Denmark | | | 18,080,417 | |
| | | | | | | | |
|
| | Finland — 1.1% | |
| | 33,956 | | | Adapteo OYJ* | | | 405,498 | |
| | 3,309 | | | Elisa OYJ | | | 166,455 | |
| | 10,466 | | | Fortum OYJ | | | 230,316 | |
| | 31,639 | | | Kemira OYJ | | | 445,620 | |
| | 7,986 | | | Kone OYJ, Class B Shares | | | 461,958 | |
| | 2,657 | | | Metso OYJ | | | 99,649 | |
| | 10,263 | | | Neste OYJ | | | 323,388 | |
| | 1,447,801 | | | Nokia OYJ | | | 7,164,227 | |
| | 3,106 | | | Nokian Renkaat OYJ | | | 85,071 | |
| | 78,506 | | | Nordea Bank Abp | | | 490,865 | |
| | 2,435 | | | Orion OYJ, Class B Shares | | | 90,442 | |
| | 104,209 | | | Outotec OYJ* | | | 593,471 | |
| | 10,447 | | | Sampo OYJ, Class A Shares | | | 415,167 | |
| | 13,371 | | | Stora Enso OYJ, Class R Shares | | | 149,614 | |
| | 15,995 | | | Tieto OYJ | | | 393,204 | |
| | 12,392 | | | UPM-Kymmene OYJ | | | 334,318 | |
| | 36,174 | | | Valmet OYJ | | | 654,990 | |
| | 120,075 | | | Wartsila OYJ Abp | | | 1,473,268 | |
| | | | | | | | |
| | | | Total Finland | | | 13,977,521 | |
| | | | | | | | |
|
| | France — 10.2% | |
| | 4,406 | | | Accor SA | | | 190,285 | |
| | 761 | | | Aeroports de Paris | | | 131,409 | |
| | 10,120 | | | Air Liquide SA | | | 1,409,940 | |
| | 37,134 | | | Airbus SE | | | 5,120,179 | |
| | 15,852 | | | Alstom SA | | | 677,850 | |
| | 9,990 | | | Alten SA | | | 1,193,286 | |
| | 22,814 | | | Amundi SA(c) | | | 1,459,766 | |
| | 14,799 | | | Arkema SA | | | 1,299,183 | |
| | 2,260 | | | Atos SE | | | 171,294 | |
| | 45,715 | | | AXA SA | | | 1,049,535 | |
| | 971 | | | BioMerieux | | | 78,958 | |
| | 209,911 | | | BNP Paribas SA | | | 9,479,636 | |
| | 22,523 | | | Bollore SA | | | 95,678 | |
| | 5,187 | | | Bouygues SA | | | 197,150 | |
| | 6,898 | | | Bureau Veritas SA | | | 165,148 | |
| | 3,745 | | | Capgemini SE | | | 449,742 | |
| | 142,978 | | | Carrefour SA | | | 2,437,345 | |
| | 1,168 | | | Casino Guichard Perrachon SA(a) | | | 49,195 | |
See Notes to Financial Statements.
111
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | France — 10.2% — (continued) | |
| | 121,239 | | | Cie de Saint-Gobain | | $ | 4,378,228 | |
| | 4,026 | | | Cie Générale des Établissements Michelin SCA | | | 423,636 | |
| | 4,401 | | | CNP Assurances | | | 79,958 | |
| | 1,144 | | | Covivio, REIT | | | 121,736 | |
| | 27,886 | | | Credit Agricole SA | | | 318,910 | |
| | 71,296 | | | Danone SA | | | 6,385,145 | |
| | 61 | | | Dassault Aviation SA | | | 86,843 | |
| | 18,808 | | | Dassault Systemes SE | | | 2,653,131 | |
| | 100,375 | | | Edenred | | | 4,891,746 | |
| | 15,873 | | | Eiffage SA | | | 1,645,167 | |
| | 14,127 | | | Electricite de France SA | | | 171,905 | |
| | 192,850 | | | Engie SA | | | 2,933,114 | |
| | 23,626 | | | EssilorLuxottica SA | | | 3,489,393 | |
| | 1,024 | | | Eurazeo SE | | | 67,738 | |
| | 3,877 | | | Eutelsat Communications SA | | | 67,452 | |
| | 13,618 | | | Faurecia SE | | | 596,389 | |
| | 5,352 | | | Fnac Darty SA* | | | 349,398 | |
| | 1,063 | | | Gecina SA, REIT | | | 168,654 | |
| | 10,205 | | | Getlink SE | | | 143,623 | |
| | 8,359 | | | Hermes International | | | 5,710,413 | |
| | 632 | | | ICADE, REIT | | | 55,900 | |
| | 665 | | | Iliad SA | | | 69,672 | |
| | 822 | | | Imerys SA | | | 33,558 | |
| | 14,098 | | | Ingenico Group SA | | | 1,398,810 | |
| | 963 | | | Ipsen SA | | | 101,232 | |
| | 1,536 | | | JCDecaux SA | | | 41,077 | |
| | 1,785 | | | Kering SA | | | 865,402 | |
| | 4,745 | | | Klepierre SA, REIT | | | 144,860 | |
| | 19,532 | | | Korian SA | | | 779,259 | |
| | 46,761 | | | Legrand SA | | | 3,303,062 | |
| | 5,942 | | | L’Oréal SA | | | 1,625,293 | |
| | 14,242 | | | LVMH Moët Hennessy Louis Vuitton SE | | | 5,681,008 | |
| | 23,444 | | | Natixis SA | | | 90,889 | |
| | 13,493 | | | Nexity SA | | | 629,046 | |
| | 47,013 | | | Orange SA | | | 714,456 | |
| | 22,258 | | | Pernod Ricard SA | | | 4,251,632 | |
| | 13,681 | | | Peugeot SA | | | 306,192 | |
| | 5,117 | | | Publicis Groupe SA | | | 245,402 | |
| | 518 | | | Remy Cointreau SA* | | | 78,315 | |
| | 39,425 | | | Renault SA | | | 2,273,665 | |
| | 209,818 | | | Rexel SA | | | 2,227,453 | |
| | 7,713 | | | Safran SA | | | 1,121,338 | |
| | 26,645 | | | Sanofi | | | 2,289,419 | |
| | 684 | | | Sartorius Stedim Biotech | | | 105,962 | |
| | 48,605 | | | Schneider Electric SE | | | 4,072,313 | |
| | 15,960 | | | SCOR SE | | | 637,059 | |
| | 16,725 | | | Seb Prime de Fidelite*(d)(e) | | | 2,600,998 | |
| | 1,425 | | | SEB SA | | | 221,756 | |
| | 3,750 | | | SEB SA(d)* | | | 583,183 | |
| | 590 | | | Societe BIC SA | | | 37,687 | |
| | 111,419 | | | Societe Generale SA | | | 2,826,431 | |
| | 2,085 | | | Sodexo SA | | | 236,409 | |
| | 6,825 | | | SOITEC* | | | 689,683 | |
| | 8,713 | | | Suez | | | 135,322 | |
| | 12,644 | | | Teleperformance | | | 2,762,182 | |
| | 70,826 | | | Television Francaise 1 | | | 644,109 | |
See Notes to Financial Statements.
112
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | France — 10.2% — (continued) | |
| | 2,511 | | | Thales SA | | $ | 290,393 | |
| | 364,368 | | | TOTAL SA | | | 18,192,722 | |
| | 32,209 | | | Ubisoft Entertainment SA* | | | 2,609,314 | |
| | 3,259 | | | Unibail-Rodamco-Westfield, REIT | | | 426,614 | |
| | 52,523 | | | Valeo SA | | | 1,436,742 | |
| | 12,389 | | | Veolia Environnement SA | | | 296,393 | |
| | 12,219 | | | Vinci SA | | | 1,337,345 | |
| | 99,524 | | | Vivendi SA | | | 2,795,675 | |
| | 699 | | | Wendel SA | | | 98,080 | |
| | 32,530 | | | Worldline SA*(c) | | | 2,247,488 | |
| | | | | | | | |
| | | | Total France | | | 133,948,958 | |
| | | | | | | | |
|
| | Germany — 7.9% | |
| | 1,492 | | | 1&1 Drillisch AG | | | 40,925 | |
| | 14,382 | | | adidas AG | | | 4,262,379 | |
| | 10,071 | | | Allianz SE, Class Registered Shares | | | 2,218,686 | |
| | 57,061 | | | alstria officeREIT-AG | | | 943,553 | |
| | 12,297 | | | AURELIUS Equity Opportunities SE & Co. KGaA | | | 478,554 | |
| | 1,120 | | | Axel Springer SE* | | | 76,933 | |
| | 145,006 | | | BASF SE | | | 9,590,635 | |
| | 78,114 | | | Bayer AG, Class Registered Shares | | | 5,779,970 | |
| | 36,949 | | | Bayerische Motoren Werke AG | | | 2,474,375 | |
| | 6,362 | | | Bechtle AG | | | 629,310 | |
| | 19,922 | | | Beiersdorf AG | | | 2,507,137 | |
| | 3,626 | | | Brenntag AG | | | 174,673 | |
| | 14,536 | | | Carl Zeiss Meditec AG | | | 1,675,792 | |
| | 125,941 | | | CECONOMY AG* | | | 642,990 | |
| | 23,302 | | | Commerzbank AG | | | 132,090 | |
| | 23,564 | | | Continental AG | | | 2,842,495 | |
| | 4,096 | | | Covestro AG(c) | | | 185,397 | |
| | 66,955 | | | Daimler AG, Class Registered Shares | | | 3,150,011 | |
| | 2,868 | | | Delivery Hero SE*(c) | | | 144,865 | |
| | 46,268 | | | Deutsche Bank AG, Class Registered Shares | | | 334,169 | |
| | 4,477 | | | Deutsche Boerse AG | | | 658,079 | |
| | 67,289 | | | Deutsche Lufthansa AG, Class Registered Shares | | | 1,033,938 | |
| | 33,241 | | | Deutsche Pfandbriefbank AG(c) | | | 393,851 | |
| | 149,488 | | | Deutsche Post AG, Class Registered Shares | | | 4,921,733 | |
| | 79,625 | | | Deutsche Telekom AG, Class Registered Shares | | | 1,328,169 | |
| | 69,977 | | | Deutsche Wohnen SE | | | 2,480,089 | |
| | 68,547 | | | Deutz AG | | | 399,339 | |
| | 160,766 | | | E.ON SE | | | 1,494,675 | |
| | 4,345 | | | Evonik Industries AG | | | 110,693 | |
| | 8,976 | | | Fraport AG Frankfurt Airport Services Worldwide | | | 749,577 | |
| | 63,217 | | | Fresenius Medical Care AG & Co. KGaA | | | 4,252,450 | |
| | 9,831 | | | Fresenius SE & Co. KGaA | | | 477,181 | |
| | 74,486 | | | GEA Group AG | | | 2,008,297 | |
| | 7,507 | | | Gerresheimer AG | | | 566,996 | |
| | 1,421 | | | Hannover Rueck SE | | | 226,092 | |
| | 3,507 | | | HeidelbergCement AG | | | 242,985 | |
| | 2,449 | | | Henkel AG & Co. KGaA | | | 226,485 | |
| | 631 | | | Hochtief AG | | | 68,629 | |
| | 8,971 | | | HUGO BOSS AG | | | 499,734 | |
| | 310,599 | | | Infineon Technologies AG | | | 5,370,723 | |
| | 3,130 | | | Innogy SE | | | 129,691 | |
| | 85 | | | Innogy SE(c) | | | 4,232 | |
| | 1,534 | | | KION Group AG | | | 74,170 | |
See Notes to Financial Statements.
113
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | Germany — 7.9% — (continued) | |
| | 15,355 | | | Knorr-Bremse AG | | $ | 1,434,348 | |
| | 1,934 | | | Lanxess AG | | | 116,261 | |
| | 2,994 | | | Merck KGaA | | | 320,413 | |
| | 47,887 | | | METRO AG | | | 741,113 | |
| | 1,225 | | | MTU Aero Engines AG | | | 334,860 | |
| | 3,524 | | | Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen, Class Registered Shares | | | 843,974 | |
| | 7,942 | | | Puma SE | | | 604,173 | |
| | 8,719 | | | Rheinmetall AG | | | 1,028,272 | |
| | 79,196 | | | RWE AG | | | 2,257,412 | |
| | 15,989 | | | Salzgitter AG | | | 290,038 | |
| | 135,838 | | | SAP SE | | | 16,204,292 | |
| | 68,947 | | | Siemens AG, Class Registered Shares | | | 6,892,528 | |
| | 80,012 | | | Siemens Healthineers AG(c) | | | 3,143,911 | |
| | 2,998 | | | Symrise AG, Class A Shares | | | 279,804 | |
| | 44,944 | | | TAG Immobilien AG | | | 1,049,531 | |
| | 23,085 | | | Telefonica Deutschland Holding AG | | | 58,773 | |
| | 9,896 | | | ThyssenKrupp AG | | | 120,898 | |
| | 11,019 | | | TUI AG | | | 109,628 | |
| | 4,622 | | | Uniper SE | | | 140,051 | |
| | 3,105 | | | United Internet AG, Class Registered Shares | | | 101,700 | |
| | 832 | | | Volkswagen AG | | | 135,742 | |
| | 12,072 | | | Vonovia SE | | | 600,895 | |
| | 2,766 | | | Wirecard AG | | | 440,714 | |
| | 2,816 | | | Zalando SE*(c) | | | 139,281 | |
| | | | | | | | |
| | | | Total Germany | | | 103,391,359 | |
| | | | | | | | |
|
| | Hong Kong — 2.8% | |
| | 793,000 | | | AIA Group Ltd. | | | 7,677,232 | |
| | 7,800 | | | ASM Pacific Technology Ltd. | | | 89,014 | |
| | 31,600 | | | Bank of East Asia Ltd. (The) | | | 79,749 | |
| | 688,500 | | | BOC Hong Kong Holdings Ltd. | | | 2,312,612 | |
| | 635,000 | | | Champion REIT | | | 426,881 | |
| | 259,000 | | | China Mengniu Dairy Co., Ltd.* | | | 1,023,989 | |
| | 671,581 | | | China Merchants Port Holdings Co., Ltd. | | | 1,045,295 | |
| | 1,068,942 | | | China Mobile Ltd. | | | 8,838,474 | |
| | 2,918,917 | | | China Unicom Hong Kong Ltd. | | | 2,894,599 | |
| | 61,000 | | | CK Asset Holdings Ltd. | | | 411,660 | |
| | 63,500 | | | CK Hutchison Holdings Ltd. | | | 550,797 | |
| | 15,000 | | | CK Infrastructure Holdings Ltd. | | | 100,828 | |
| | 38,500 | | | CLP Holdings Ltd. | | | 395,302 | |
| | 9,100 | | | Dairy Farm International Holdings Ltd. | | | 65,101 | |
| | 51,000 | | | Galaxy Entertainment Group Ltd. | | | 317,690 | |
| | 49,000 | | | Hang Lung Properties Ltd. | | | 110,486 | |
| | 18,000 | | | Hang Seng Bank Ltd. | | | 374,406 | |
| | 33,894 | | | Henderson Land Development Co., Ltd. | | | 157,291 | |
| | 66,000 | | | HK Electric Investments & HK Electric Investments Ltd. | | | 63,194 | |
| | 94,000 | | | HKT Trust & HKT Ltd. | | | 146,755 | |
| | 239,381 | | | Hong Kong & China Gas Co., Ltd. | | | 460,723 | |
| | 27,999 | | | Hong Kong Exchanges & Clearing Ltd.(a) | | | 852,446 | |
| | 27,400 | | | Hongkong Land Holdings Ltd. | | | 149,309 | |
| | 13,000 | | | Hysan Development Co., Ltd. | | | 52,483 | |
| | 5,100 | | | Jardine Matheson Holdings Ltd. | | | 276,690 | |
| | 65,632 | | | Jardine Strategic Holdings Ltd. | | | 2,071,482 | |
| | 14,500 | | | Kerry Properties Ltd. | | | 48,751 | |
| | 51,000 | | | Link REIT | | | 571,453 | |
| | 192,000 | | | Melco International Development Ltd. | | | 426,070 | |
See Notes to Financial Statements.
114
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | Hong Kong — 2.8% — (continued) | |
| | 5,159 | | | Melco Resorts & Entertainment Ltd., ADR | | $ | 107,307 | |
| | 36,500 | | | MTR Corp., Ltd. | | | 210,417 | |
| | 144,679 | | | New World Development Co., Ltd. | | | 179,673 | |
| | 36,750 | | | NWS Holdings Ltd. | | | 63,117 | |
| | 95,000 | | | PCCW Ltd. | | | 51,419 | |
| | 32,500 | | | Power Assets Holdings Ltd. | | | 215,888 | |
| | 24,000 | | | Shangri-La Asia Ltd. | | | 25,011 | |
| | 76,646 | | | Sino Land Co., Ltd. | | | 109,117 | |
| | 43,000 | | | SJM Holdings Ltd. | | | 40,400 | |
| | 37,500 | | | Sun Hung Kai Properties Ltd. | | | 529,219 | |
| | 12,500 | | | Swire Pacific Ltd., Class A Shares | | | 121,873 | |
| | 29,800 | | | Swire Properties Ltd. | | | 97,530 | |
| | 32,500 | | | Techtronic Industries Co., Ltd. | | | 223,376 | |
| | 678,000 | | | Towngas China Co., Ltd.* | | | 468,041 | |
| | 18,000 | | | Vitasoy International Holdings Ltd. | | | 83,587 | |
| | 2,129,000 | | | WH Group Ltd.(c) | | | 1,696,728 | |
| | 29,000 | | | Wharf Holdings Ltd. (The) | | | 63,247 | |
| | 28,000 | | | Wharf Real Estate Investment Co., Ltd. | | | 151,022 | |
| | 21,000 | | | Wheelock & Co., Ltd. | | | 121,759 | |
| | 17,000 | | | Yue Yuen Industrial Holdings Ltd. | | | 43,395 | |
| | | | | | | | |
| | | | Total Hong Kong | | | 36,592,888 | |
| | | | | | | | |
|
| | India — 0.6% | |
| | 350,984 | | | Canara Bank* | | | 1,082,278 | |
| | 33,564 | | | HDFC Bank Ltd. | | | 1,046,376 | |
| | 338,313 | | | ICICI Bank Ltd., ADR | | | 3,799,255 | |
| | 130,482 | | | NTPC Ltd. | | | 222,569 | |
| | 212,692 | | | Zee Entertainment Enterprises Ltd. | | | 1,118,059 | |
| | | | | | | | |
| | | | Total India | | | 7,268,537 | |
| | | | | | | | |
|
| | Indonesia — 0.1% | |
| | 600,900 | | | Bank Central Asia Tbk PT | | | 1,287,878 | |
| | | | | | | | |
|
| | Ireland — 1.0% | |
| | 3,363 | | | AerCap Holdings NV* | | | 180,324 | |
| | 20,880 | | | AIB Group PLC | | | 52,939 | |
| | 440,590 | | | Bank of Ireland Group PLC | | | 1,689,251 | |
| | 19,119 | | | CRH PLC | | | 637,016 | |
| | 86,251 | | | Dalata Hotel Group PLC | | | 412,913 | |
| | 2,315 | | | DCC PLC | | | 196,880 | |
| | 21,446 | | | Experian PLC | | | 657,356 | |
| | 6,916 | | | Flutter Entertainment PLC | | | 569,556 | |
| | 58,409 | | | Grafton Group PLC | | | 535,300 | |
| | 127,459 | | | James Hardie Industries PLC, CDI | | | 1,930,950 | |
| | 3,739 | | | Kerry Group PLC, Class A Shares | | | 447,049 | |
| | 3,613 | | | Kingspan Group PLC | | | 165,075 | |
| | 19,070 | | | Medtronic PLC | | | 2,057,462 | |
| | 46,711 | | | Ryanair Holdings PLC, ADR* | | | 2,676,540 | |
| | 5,238 | | | Smurfit Kappa Group PLC | | | 161,804 | |
| | 93,682 | | | UDG Healthcare PLC | | | 895,185 | |
| | | | | | | | |
| | | | Total Ireland | | | 13,265,600 | |
| | | | | | | | |
|
| | Isle of Man — 0.0% | |
| | 13,229 | | | GVC Holdings PLC | | | 101,332 | |
| | | | | | | | |
|
| | Israel — 0.3% | |
| | 922 | | | Azrieli Group Ltd. | | | 68,726 | |
| | 27,768 | | | Bank Hapoalim BM* | | | 203,579 | |
See Notes to Financial Statements.
115
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | Israel — 0.3% — (continued) | |
| | 35,197 | | | Bank LeumiLe-Israel BM | | $ | 239,883 | |
| | 14,440 | | | Check Point Software Technologies Ltd.* | | | 1,555,188 | |
| | 948 | | | CyberArk Software Ltd.* | | | 106,498 | |
| | 560 | | | Elbit Systems Ltd. | | | 86,626 | |
| | 17,954 | | | Israel Chemicals Ltd. | | | 81,009 | |
| | 146,469 | | | Israel Discount Bank Ltd., Class A Shares | | | 609,735 | |
| | 3,396 | | | Mizrahi Tefahot Bank Ltd. | | | 78,140 | |
| | 1,458 | | | Nice Ltd.* | | | 223,532 | |
| | 25,677 | | | Teva Pharmaceutical Industries Ltd., ADR* | | | 177,171 | |
| | 1,053 | | | Wix.com Ltd.* | | | 147,683 | |
| | | | | | | | |
| | | | Total Israel | | | 3,577,770 | |
| | | | | | | | |
|
| | Italy — 2.6% | |
| | 44,059 | | | ACEA SpA | | | 855,254 | |
| | 50,158 | | | Amplifon SpA | | | 1,290,850 | |
| | 162,752 | | | Assicurazioni Generali SpA | | | 2,956,178 | |
| | 12,072 | | | Atlantia SpA | | | 295,543 | |
| | 277,051 | | | BPER Banca | | | 987,015 | |
| | 28,248 | | | Buzzi Unicem SpA | | | 592,595 | |
| | 13,277 | | | Davide Campari-Milano SpA | | | 124,782 | |
| | 5,350 | | | DiaSorin SpA | | | 633,267 | |
| | 191,663 | | | Enel SpA | | | 1,389,120 | |
| | 374,169 | | | Eni SpA | | | 5,648,129 | |
| | 2,878 | | | Ferrari NV | | | 453,017 | |
| | 13,902 | | | FinecoBank Banca Fineco SpA | | | 143,315 | |
| | 93,938 | | | Infrastrutture Wireless Italiane SpA(c) | | | 938,270 | |
| | 350,720 | | | Intesa Sanpaolo SpA | | | 772,725 | |
| | 8,628 | | | Leonardo SpA | | | 105,556 | |
| | 14,291 | | | Mediobanca Banca di Credito Finanziario SpA | | | 141,537 | |
| | 4,194 | | | Moncler SpA | | | 157,161 | |
| | 10,807 | | | Pirelli & C SpA(c) | | | 56,121 | |
| | 11,822 | | | Poste Italiane SpA(c) | | | 127,724 | |
| | 88,070 | | | Prysmian SpA | | | 1,926,976 | |
| | 2,683 | | | Recordati SpA | | | 117,549 | |
| | 353,100 | | | Saipem SpA* | | | 1,678,432 | |
| | 222,749 | | | Saras SpA | | | 346,202 | |
| | 51,885 | | | Snam SpA | | | 263,480 | |
| | 41,169 | | | Technogym SpA(c) | | | 416,538 | |
| | 140,834 | | | Telecom Italia SpA | | | 71,720 | |
| | 233,090 | | | Telecom Italia SpA* | | | 124,109 | |
| | 33,156 | | | Terna Rete Elettrica Nazionale SpA | | | 208,848 | |
| | 1,040,551 | | | UniCredit SpA | | | 11,588,673 | |
| | | | | | | | |
| | | | Total Italy | | | 34,410,686 | |
| | | | | | | | |
|
| | Japan — 20.1% | |
| | 800 | | | ABC-Mart Inc. | | | 51,106 | |
| | 8,800 | | | Acom Co., Ltd. | | | 31,019 | |
| | 18,100 | | | Adastria Co., Ltd. | | | 349,938 | |
| | 24,600 | | | Advantest Corp. | | | 1,007,230 | |
| | 15,400 | | | Aeon Co., Ltd. | | | 272,750 | |
| | 3,300 | | | AEON Financial Service Co., Ltd. | | | 48,241 | |
| | 2,500 | | | Aeon Mall Co., Ltd. | | | 39,366 | |
| | 4,200 | | | AGC Inc. | | | 120,924 | |
| | 3,200 | | | Air Water Inc. | | | 54,255 | |
| | 4,100 | | | Aisin Seiki Co., Ltd. | | | 121,322 | |
| | 10,300 | | | Ajinomoto Co., Inc. | | | 187,432 | |
| | 4,500 | | | Alfresa Holdings Corp. | | | 101,678 | |
See Notes to Financial Statements.
116
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | Japan — 20.1% — (continued) | |
| | 5,500 | | | Alps Alpine Co., Ltd. | | $ | 95,845 | |
| | 7,500 | | | Amada Holdings Co., Ltd. | | | 77,981 | |
| | 2,900 | | | ANA Holdings Inc. | | | 99,043 | |
| | 30,300 | | | Anritsu Corp.(a) | | | 565,643 | |
| | 2,600 | | | Aozora Bank Ltd. | | | 60,005 | |
| | 8,500 | | | Asahi Group Holdings Ltd. | | | 396,041 | |
| | 4,800 | | | Asahi Intecc Co., Ltd. | | | 107,005 | |
| | 29,700 | | | Asahi Kasei Corp. | | | 268,165 | |
| | 44,300 | | | Astellas Pharma Inc. | | | 612,712 | |
| | 4,700 | | | Bandai Namco Holdings Inc. | | | 275,965 | |
| | 1,400 | | | Bank of Kyoto Ltd. (The) | | | 50,168 | |
| | 20,693 | | | Benesse Holdings Inc. | | | 528,735 | |
| | 47,200 | | | Bic Camera Inc. | | | 467,225 | |
| | 86,400 | | | Bridgestone Corp. | | | 3,291,292 | |
| | 5,200 | | | Brother Industries Ltd. | | | 90,109 | |
| | 1,700 | | | Calbee Inc. | | | 51,779 | |
| | 78,549 | | | Canon Inc. | | | 2,042,387 | |
| | 15,500 | | | Capcom Co., Ltd. | | | 403,210 | |
| | 5,000 | | | Casio Computer Co., Ltd. | | | 69,811 | |
| | 3,400 | | | Central Japan Railway Co. | | | 671,746 | |
| | 14,700 | | | Chiba Bank Ltd. (The) | | | 73,176 | |
| | 80,496 | | | Chiyoda Corp. | | | 223,907 | |
| | 14,600 | | | Chubu Electric Power Co., Inc. | | | 214,992 | |
| | 5,300 | | | Chugai Pharmaceutical Co., Ltd. | | | 378,815 | |
| | 6,700 | | | Chugoku Electric Power Co., Inc. (The) | | | 85,680 | |
| | 192,966 | | | Citizen Watch Co., Ltd. | | | 880,237 | |
| | 26,700 | | | Coca-Cola Bottlers Japan Holdings Inc. | | | 579,802 | |
| | 27,100 | | | Concordia Financial Group Ltd. | | | 92,920 | |
| | 3,100 | | | Credit Saison Co., Ltd. | | | 34,420 | |
| | 2,200 | | | CyberAgent Inc. | | | 98,994 | |
| | 6,200 | | | Dai Nippon Printing Co., Ltd. | | | 133,922 | |
| | 6,400 | | | Daicel Corp. | | | 49,363 | |
| | 12,200 | | | Daifuku Co., Ltd. | | | 574,561 | |
| | 15,600 | | | Daihen Corp. | | | 446,896 | |
| | 167,033 | | | Dai-ichi Life Holdings Inc. | | | 2,271,076 | |
| | 13,400 | | | Daiichi Sankyo Co., Ltd. | | | 884,070 | |
| | 9,200 | | | Daikin Industries Ltd. | | | 1,136,220 | |
| | 19,300 | | | Daiseki Co., Ltd. | | | 470,162 | |
| | 1,700 | | | Daito Trust Construction Co., Ltd. | | | 218,627 | |
| | 13,300 | | | Daiwa House Industry Co., Ltd. | | | 416,534 | |
| | 48 | | | Daiwa House REIT Investment Corp., Class A Shares | | | 126,665 | |
| | 37,500 | | | Daiwa Securities Group Inc. | | | 161,327 | |
| | 74,598 | | | DeNA Co., Ltd. | | | 1,574,676 | |
| | 16,900 | | | Denka Co., Ltd. | | | 439,788 | |
| | 10,200 | | | Denso Corp. | | | 427,246 | |
| | 5,000 | | | Dentsu Inc. | | | 170,561 | |
| | 22,200 | | | Dip Corp. | | | 503,340 | |
| | 600 | | | Disco Corp. | | | 108,624 | |
| | 60,000 | | | East Japan Railway Co. | | | 5,707,654 | |
| | 19,108 | | | Eisai Co., Ltd. | | | 975,178 | |
| | 3,300 | | | Electric Power Development Co., Ltd. | | | 76,368 | |
| | 5,800 | | | FamilyMart UNY Holdings Co., Ltd. | | | 133,579 | |
| | 33,800 | | | FANUC Corp. | | | 5,856,587 | |
| | 1,400 | | | Fast Retailing Co., Ltd. | | | 819,334 | |
| | 3,200 | | | Fuji Electric Co., Ltd. | | | 91,014 | |
| | 40,156 | | | Fuji Media Holdings Inc. | | | 520,111 | |
See Notes to Financial Statements.
117
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | Japan — 20.1% — (continued) | |
| | 15,300 | | | Fuji Oil Holdings Inc. | | $ | 423,827 | |
| | 8,500 | | | FUJIFILM Holdings Corp. | | | 363,453 | |
| | 23,999 | | | Fujitsu Ltd. | | | 1,855,058 | |
| | 4,400 | | | Fukuoka Financial Group Inc. | | | 75,777 | |
| | 21,100 | | | FULLCAST Holdings Co., Ltd. | | | 394,918 | |
| | 1,000 | | | GMO Payment Gateway Inc. | | | 77,344 | |
| | 174,767 | | | Gree Inc. | | | 783,054 | |
| | 5,400 | | | Hakuhodo DY Holdings Inc. | | | 79,574 | |
| | 3,300 | | | Hamamatsu Photonics KK | | | 113,960 | |
| | 5,400 | | | Hankyu Hanshin Holdings Inc. | | | 204,297 | |
| | 500 | | | Hikari Tsushin Inc. | | | 117,046 | |
| | 7,200 | | | Hino Motors Ltd. | | | 56,569 | |
| | 745 | | | Hirose Electric Co., Ltd. | | | 84,443 | |
| | 1,400 | | | Hisamitsu Pharmaceutical Co., Inc. | | | 56,543 | |
| | 2,600 | | | Hitachi Chemical Co., Ltd. | | | 81,170 | |
| | 2,300 | | | Hitachi Construction Machinery Co., Ltd. | | | 49,016 | |
| | 1,600 | | | Hitachi High-Technologies Corp. | | | 86,202 | |
| | 164,200 | | | Hitachi Ltd. | | | 5,598,551 | |
| | 133,005 | | | Hitachi Metals Ltd. | | | 1,429,141 | |
| | 215,760 | | | Honda Motor Co., Ltd. | | | 5,117,032 | |
| | 1,400 | | | Hoshizaki Corp. | | | 100,733 | |
| | 66,300 | | | Hoya Corp. | | | 5,388,016 | |
| | 6,400 | | | Hulic Co., Ltd. | | | 61,002 | |
| | 33,265 | | | Ibiden Co., Ltd. | | | 644,531 | |
| | 4,437 | | | Idemitsu Kosan Co., Ltd. | | | 119,923 | |
| | 3,200 | | | IHI Corp. | | | 62,191 | |
| | 3,400 | | | Iida Group Holdings Co., Ltd. | | | 52,842 | |
| | 304,020 | | | Inpex Corp. | | | 2,633,280 | |
| | 1,446 | | | Invincible Investment Corp., REIT | | | 862,617 | |
| | 7,200 | | | Isetan Mitsukoshi Holdings Ltd. | | | 54,484 | |
| | 12,600 | | | Isuzu Motors Ltd. | | | 135,150 | |
| | 31,700 | | | ITOCHU Corp. | | | 631,326 | |
| | 2,400 | | | Itochu Techno-Solutions Corp. | | | 66,025 | |
| | 5,100 | | | J Front Retailing Co., Ltd. | | | 57,604 | |
| | 2,800 | | | Japan Airlines Co., Ltd. | | | 87,394 | |
| | 1,000 | | | Japan Airport Terminal Co., Ltd. | | | 39,840 | |
| | 12,000 | | | Japan Exchange Group Inc. | | | 189,588 | |
| | 31,500 | | | Japan Lifeline Co., Ltd. | | | 492,017 | |
| | 9,900 | | | Japan Post Bank Co., Ltd. | | | 90,128 | |
| | 37,100 | | | Japan Post Holdings Co., Ltd. | | | 337,062 | |
| | 20 | | | Japan Prime Realty Investment Corp., REIT | | | 91,324 | |
| | 30 | | | Japan Real Estate Investment Corp., REIT | | | 199,631 | |
| | 62 | | | Japan Retail Fund Investment Corp., REIT | | | 124,070 | |
| | 28,300 | | | Japan Tobacco Inc. | | | 598,237 | |
| | 8,700 | | | JCR Pharmaceuticals Co., Ltd. | | | 667,124 | |
| | 11,400 | | | JFE Holdings Inc. | | | 133,177 | |
| | 127,289 | | | JGC Corp. | | | 1,475,505 | |
| | 153,364 | | | JSR Corp. | | | 2,503,804 | |
| | 4,900 | | | JTEKT Corp. | | | 52,994 | |
| | 75,350 | | | JXTG Holdings Inc. | | | 311,636 | |
| | 10,300 | | | Kajima Corp. | | | 125,123 | |
| | 3,200 | | | Kakaku.com Inc. | | | 79,994 | |
| | 2,600 | | | Kamigumi Co., Ltd. | | | 60,998 | |
| | 20,000 | | | Kanamoto Co., Ltd. | | | 516,509 | |
| | 1,200 | | | Kaneka Corp. | | | 35,897 | |
| | 16,600 | | | Kansai Electric Power Co., Inc. (The) | | | 201,741 | |
See Notes to Financial Statements.
118
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | Japan — 20.1% — (continued) | |
| | 3,800 | | | Kansai Paint Co., Ltd. | | $ | 78,923 | |
| | 11,500 | | | Kao Corp. | | | 830,780 | |
| | 3,000 | | | Kawasaki Heavy Industries Ltd. | | | 58,756 | |
| | 360,500 | | | KDDI Corp. | | | 9,612,631 | |
| | 2,400 | | | Keihan Holdings Co., Ltd. | | | 100,427 | |
| | 5,300 | | | Keikyu Corp. | | | 97,052 | |
| | 2,300 | | | Keio Corp. | | | 143,610 | |
| | 3,200 | | | Keisei Electric Railway Co., Ltd. | | | 125,751 | |
| | 104 | | | Kenedix Realty Investment Corp., REIT, Class A Shares | | | 796,203 | |
| | 11,700 | | | Keyence Corp. | | | 6,945,994 | |
| | 3,300 | | | Kikkoman Corp. | | | 148,225 | |
| | 4,000 | | | Kintetsu Group Holdings Co., Ltd. | | | 199,026 | |
| | 19,400 | | | Kirin Holdings Co., Ltd. | | | 382,899 | |
| | 1,300 | | | Kobayashi Pharmaceutical Co., Ltd. | | | 97,149 | |
| | 8,900 | | | Kobe Steel Ltd. | | | 46,306 | |
| | 59,400 | | | Koito Manufacturing Co., Ltd. | | | 2,782,265 | |
| | 21,800 | | | Komatsu Ltd. | | | 462,044 | |
| | 2,100 | | | Konami Holdings Corp. | | | 95,091 | |
| | 10,600 | | | Konica Minolta Inc. | | | 75,412 | |
| | 800 | | | Kose Corp. | | | 137,128 | |
| | 225,100 | | | Kubota Corp. | | | 3,226,489 | |
| | 19,500 | | | Kumagai Gumi Co., Ltd. | | | 537,416 | |
| | 7,700 | | | Kuraray Co., Ltd. | | | 87,657 | |
| | 2,300 | | | Kurita Water Industries Ltd. | | | 59,691 | |
| | 7,600 | | | Kyocera Corp. | | | 450,909 | |
| | 6,100 | | | Kyowa Hakko Kirin Co., Ltd. | | | 111,489 | |
| | 9,700 | | | Kyushu Electric Power Co., Inc. | | | 95,650 | |
| | 4,100 | | | Kyushu Railway Co. | | | 122,781 | |
| | 15,500 | | | Lasertec Corp. | | | 885,474 | |
| | 1,400 | | | Lawson Inc. | | | 69,186 | |
| | 1,300 | | | LINE Corp.* | | | 46,053 | |
| | 5,300 | | | Lion Corp. | | | 102,641 | |
| | 6,400 | | | LIXIL Group Corp. | | | 104,723 | |
| | 10,500 | | | M3 Inc. | | | 222,474 | |
| | 53,000 | | | Maeda Corp. | | | 427,342 | |
| | 10,600 | | | Makino Milling Machine Co., Ltd. | | | 428,131 | |
| | 53,900 | | | Makita Corp. | | | 1,581,370 | |
| | 19,500 | | | Mani Inc. | | | 454,872 | |
| | 36,900 | | | Marubeni Corp. | | | 235,111 | |
| | 4,700 | | | Marui Group Co., Ltd. | | | 93,463 | |
| | 1,100 | | | Maruichi Steel Tube Ltd. | | | 26,715 | |
| | 19,900 | | | Matsumotokiyoshi Holdings Co., Ltd. | | | 736,096 | |
| | 14,400 | | | Mazda Motor Corp. | | | 120,619 | |
| | 1,500 | | | McDonald’s Holdings Co. Japan Ltd. | | | 70,340 | |
| | 21,610 | | | Mebuki Financial Group Inc. | | | 48,120 | |
| | 4,700 | | | Medipal Holdings Corp. | | | 99,719 | |
| | 2,800 | | | MEIJI Holdings Co., Ltd. | | | 193,920 | |
| | 1,900 | | | Mercari Inc.* | | | 44,263 | |
| | 8,800 | | | MINEBEA MITSUMI Inc. | | | 135,521 | |
| | 7,100 | | | MISUMI Group Inc. | | | 160,434 | |
| | 30,200 | | | Mitsubishi Chemical Holdings Corp. | | | 206,880 | |
| | 31,800 | | | Mitsubishi Corp. | | | 772,672 | |
| | 43,000 | | | Mitsubishi Electric Corp. | | | 518,220 | |
| | 128,600 | | | Mitsubishi Estate Co., Ltd. | | | 2,457,539 | |
| | 3,700 | | | Mitsubishi Gas Chemical Co., Inc. | | | 44,406 | |
| | 58,486 | | | Mitsubishi Heavy Industries Ltd. | | | 2,195,126 | |
See Notes to Financial Statements.
119
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | Japan — 20.1% — (continued) | |
| | 2,400 | | | Mitsubishi Materials Corp. | | $ | 58,056 | |
| | 61,700 | | | Mitsubishi Motors Corp. | | | 257,403 | |
| | 6,000 | | | Mitsubishi Tanabe Pharma Corp. | | | 66,301 | |
| | 289,900 | | | Mitsubishi UFJ Financial Group Inc. | | | 1,390,761 | |
| | 10,300 | | | Mitsubishi UFJ Lease & Finance Co., Ltd. | | | 55,550 | |
| | 39,000 | | | Mitsui & Co., Ltd. | | | 609,569 | |
| | 4,700 | | | Mitsui Chemicals Inc. | | | 100,207 | |
| | 21,000 | | | Mitsui Fudosan Co., Ltd. | | | 502,637 | |
| | 2,400 | | | Mitsui OSK Lines Ltd. | | | 56,375 | |
| | 2,108,487 | | | Mizuho Financial Group Inc. | | | 3,066,844 | |
| | 2,700 | | | MonotaRO Co., Ltd. | | | 66,183 | |
| | 11,000 | | | MS&AD Insurance Group Holdings Inc. | | | 349,166 | |
| | 48,000 | | | Murata Manufacturing Co., Ltd. | | | 2,008,540 | |
| | 63,600 | | | Nabtesco Corp. | | | 1,822,858 | |
| | 4,400 | | | Nagoya Railroad Co., Ltd. | | | 130,962 | |
| | 5,700 | | | NEC Corp. | | | 243,661 | |
| | 60,100 | | | NET One Systems Co., Ltd. | | | 1,608,184 | |
| | 139,600 | | | Nexon Co., Ltd.* | | | 1,877,328 | |
| | 5,800 | | | NGK Insulators Ltd. | | | 77,720 | |
| | 3,800 | | | NGK Spark Plug Co., Ltd. | | | 65,429 | |
| | 2,100 | | | NH Foods Ltd. | | | 80,538 | |
| | 32,100 | | | Nidec Corp. | | | 4,174,294 | |
| | 107,610 | | | Nikon Corp. | | | 1,329,137 | |
| | 12,100 | | | Nintendo Co., Ltd. | | | 4,580,350 | |
| | 142 | | | Nippon Accommodations Fund Inc., REIT, Class A Shares | | | 891,422 | |
| | 31 | | | Nippon Building Fund Inc., REIT | | | 227,651 | |
| | 2,200 | | | Nippon Electric Glass Co., Ltd. | | | 45,562 | |
| | 1,800 | | | Nippon Express Co., Ltd. | | | 92,827 | |
| | 3,300 | | | Nippon Paint Holdings Co., Ltd. | | | 156,003 | |
| | 43 | | | Nippon Prologis REIT Inc. | | | 116,517 | |
| | 19,600 | | | Nippon Steel Corp. | | | 273,657 | |
| | 122,100 | | | Nippon Suisan Kaisha Ltd. | | | 706,800 | |
| | 15,200 | | | Nippon Telegraph & Telephone Corp. | | | 728,639 | |
| | 77,899 | | | Nippon Television Holdings Inc. | | | 1,025,375 | |
| | 3,300 | | | Nippon Yusen KK | | | 49,135 | |
| | 3,200 | | | Nissan Chemical Corp. | | | 135,163 | |
| | 298,200 | | | Nissan Motor Co., Ltd. | | | 1,841,134 | |
| | 4,800 | | | Nisshin Seifun Group Inc. | | | 90,155 | |
| | 1,400 | | | Nissin Foods Holdings Co., Ltd. | | | 96,888 | |
| | 23,500 | | | Nitori Holdings Co., Ltd. | | | 3,386,025 | |
| | 26,810 | | | Nitto Denko Corp. | | | 1,245,557 | |
| | 657,400 | | | Nomura Holdings Inc. | | | 2,663,952 | |
| | 2,700 | | | Nomura Real Estate Holdings Inc. | | | 57,154 | |
| | 99 | | | Nomura Real Estate Master Fund Inc., REIT | | | 172,892 | |
| | 8,580 | | | Nomura Research Institute Ltd. | | | 170,506 | |
| | 178,900 | | | North Pacific Bank Ltd. | | | 357,999 | |
| | 9,400 | | | NSK Ltd. | | | 75,191 | |
| | 14,900 | | | NTT Data Corp. | | | 191,964 | |
| | 31,400 | | | NTT DOCOMO Inc. | | | 792,069 | |
| | 14,700 | | | Obayashi Corp. | | | 135,227 | |
| | 1,500 | | | Obic Co., Ltd. | | | 171,341 | |
| | 6,900 | | | Odakyu Electric Railway Co., Ltd. | | | 156,366 | |
| | 19,200 | | | Oji Holdings Corp. | | | 89,263 | |
| | 28,300 | | | Olympus Corp. | | | 330,932 | |
| | 4,500 | | | Omron Corp. | | | 222,127 | |
| | 8,800 | | | Ono Pharmaceutical Co., Ltd. | | | 162,458 | |
See Notes to Financial Statements.
120
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | Japan — 20.1% — (continued) | |
| | 10,900 | | | Open House Co., Ltd. | | $ | 493,819 | |
| | 800 | | | Oracle Corp. Japan | | | 68,776 | |
| | 4,700 | | | Oriental Land Co., Ltd. | | | 683,600 | |
| | 144,300 | | | ORIX Corp. | | | 2,133,321 | |
| | 8,600 | | | Osaka Gas Co., Ltd. | | | 153,777 | |
| | 2,500 | | | Otsuka Corp. | | | 92,684 | |
| | 9,400 | | | Otsuka Holdings Co., Ltd. | | | 385,910 | |
| | 17,600 | | | PALTAC Corp. | | | 868,034 | |
| | 10,800 | | | Pan Pacific International Holdings Corp. | | | 169,018 | |
| | 52,000 | | | Panasonic Corp. | | | 400,563 | |
| | 3,200 | | | Park24 Co., Ltd. | | | 65,825 | |
| | 126,000 | | | Penta-Ocean Construction Co., Ltd. | | | 651,822 | |
| | 2,000 | | | PeptiDream Inc.* | | | 104,733 | |
| | 4,200 | | | Persol Holdings Co., Ltd. | | | 85,059 | |
| | 2,800 | | | Pigeon Corp. | | | 101,510 | |
| | 2,000 | | | Pola Orbis Holdings Inc. | | | 47,465 | |
| | 43,300 | | | Pressance Corp. | | | 627,872 | |
| | 20,300 | | | Rakuten Inc. | | | 190,500 | |
| | 111,000 | | | Recruit Holdings Co., Ltd. | | | 3,358,096 | |
| | 16,700 | | | Renesas Electronics Corp.* | | | 104,796 | |
| | 62,600 | | | Rengo Co., Ltd. | | | 447,624 | |
| | 604,600 | | | Resona Holdings Inc. | | | 2,368,686 | |
| | 16,800 | | | Ricoh Co., Ltd. | | | 155,188 | |
| | 800 | | | Rinnai Corp. | | | 50,124 | |
| | 2,400 | | | Rohm Co., Ltd. | | | 170,668 | |
| | 49,300 | | | Round One Corp. | | | 804,947 | |
| | 6,000 | | | Ryohin Keikaku Co., Ltd. | | | 103,243 | |
| | 1,300 | | | Sankyo Co., Ltd. | | | 45,023 | |
| | 11,700 | | | Sankyu Inc. | | | 591,459 | |
| | 164,500 | | | Santen Pharmaceutical Co., Ltd. | | | 2,877,866 | |
| | 54,300 | | | Sanwa Holdings Corp. | | | 602,751 | |
| | 11,400 | | | Sawai Pharmaceutical Co., Ltd. | | | 606,158 | |
| | 6,000 | | | SBI Holdings Inc. | | | 119,776 | |
| | 4,900 | | | Secom Co., Ltd. | | | 417,627 | |
| | 3,800 | | | Sega Sammy Holdings Inc. | | | 51,934 | |
| | 5,400 | | | Seibu Holdings Inc. | | | 91,643 | |
| | 6,900 | | | Seiko Epson Corp. | | | 91,612 | |
| | 47,200 | | | Seino Holdings Co., Ltd. | | | 606,703 | |
| | 146,100 | | | Sekisui Chemical Co., Ltd. | | | 2,101,270 | |
| | 14,600 | | | Sekisui House Ltd. | | | 258,775 | |
| | 17,800 | | | Seven & i Holdings Co., Ltd. | | | 628,792 | |
| | 11,300 | | | Seven Bank Ltd. | | | 29,540 | |
| | 3,700 | | | SG Holdings Co., Ltd. | | | 98,865 | |
| | 4,700 | | | Sharp Corp. | | | 48,335 | |
| | 27,100 | | | Shiga Bank Ltd. (The) | | | 590,801 | |
| | 5,000 | | | Shimadzu Corp. | | | 124,066 | |
| | 24,766 | | | Shimamura Co., Ltd. | | | 1,932,522 | |
| | 1,700 | | | Shimano Inc. | | | 244,045 | |
| | 14,200 | | | Shimizu Corp. | | | 118,256 | |
| | 8,600 | | | Shin-Etsu Chemical Co., Ltd. | | | 865,490 | |
| | 3,800 | | | Shinsei Bank Ltd. | | | 51,940 | |
| | 6,300 | | | Shionogi & Co., Ltd. | | | 337,206 | |
| | 16,400 | | | Ship Healthcare Holdings Inc. | | | 756,938 | |
| | 9,400 | | | Shiseido Co., Ltd. | | | 767,011 | |
| | 9,600 | | | Shizuoka Bank Ltd. (The) | | | 64,769 | |
| | 3,400 | | | Showa Denko KK | | | 88,034 | |
See Notes to Financial Statements.
121
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | Japan — 20.1% — (continued) | |
| | 7,800 | | | SMC Corp. | | $ | 2,939,012 | |
| | 39,500 | | | Softbank Corp. | | | 554,048 | |
| | 38,900 | | | SoftBank Group Corp. | | | 1,759,874 | |
| | 1,600 | | | Sohgo Security Services Co., Ltd. | | | 80,622 | |
| | 99,500 | | | Sompo Holdings Inc. | | | 3,967,553 | |
| | 86,000 | | | Sony Corp. | | | 4,898,196 | |
| | 3,600 | | | Sony Financial Holdings Inc. | | | 83,021 | |
| | 3,200 | | | Stanley Electric Co., Ltd. | | | 79,332 | |
| | 21,600 | | | Starts Corp., Inc. | | | 482,675 | |
| | 14,300 | | | Subaru Corp. | | | 382,508 | |
| | 5,600 | | | SUMCO Corp. | | | 69,140 | |
| | 11,000 | | | Sumitomo Bakelite Co., Ltd. | | | 391,857 | |
| | 34,500 | | | Sumitomo Chemical Co., Ltd. | | | 150,676 | |
| | 28,000 | | | Sumitomo Corp. | | | 419,107 | |
| | 3,900 | | | Sumitomo Dainippon Pharma Co., Ltd. | | | 68,017 | |
| | 17,800 | | | Sumitomo Electric Industries Ltd. | | | 209,160 | |
| | 2,500 | | | Sumitomo Heavy Industries Ltd. | | | 71,702 | |
| | 5,400 | | | Sumitomo Metal Mining Co., Ltd. | | | 151,697 | |
| | 216,535 | | | Sumitomo Mitsui Financial Group Inc. | | | 7,090,000 | |
| | 68,511 | | | Sumitomo Mitsui Trust Holdings Inc. | | | 2,235,496 | |
| | 7,800 | | | Sumitomo Realty & Development Co., Ltd. | | | 292,883 | |
| | 3,500 | | | Sumitomo Rubber Industries Ltd. | | | 39,441 | |
| | 1,700 | | | Sundrug Co., Ltd. | | | 52,848 | |
| | 3,200 | | | Suntory Beverage & Food Ltd. | | | 138,040 | |
| | 9,800 | | | Sushiro Global Holdings Ltd. | | | 617,424 | |
| | 1,800 | | | Suzuken Co., Ltd. | | | 96,593 | |
| | 44,600 | | | Suzuki Motor Corp. | | | 1,715,826 | |
| | 3,900 | | | Sysmex Corp. | | | 248,704 | |
| | 322,755 | | | T&D Holdings Inc. | | | 3,144,998 | |
| | 43,800 | | | Tadano Ltd. | | | 386,338 | |
| | 2,700 | | | Taiheiyo Cement Corp. | | | 68,073 | |
| | 5,000 | | | Taisei Corp. | | | 176,674 | |
| | 1,000 | | | Taisho Pharmaceutical Holdings Co., Ltd. | | | 69,639 | |
| | 2,800 | | | Taiyo Nippon Sanso Corp. | | | 55,554 | |
| | 37,400 | | | Taiyo Yuden Co., Ltd.(a) | | | 701,383 | |
| | 33,600 | | | Takasago Thermal Engineering Co., Ltd. | | | 547,254 | |
| | 459,294 | | | Takeda Pharmaceutical Co., Ltd. | | | 15,521,501 | |
| | 3,000 | | | TDK Corp. | | | 238,117 | |
| | 4,100 | | | Teijin Ltd. | | | 73,601 | |
| | 65,800 | | | Terumo Corp. | | | 1,908,138 | |
| | 51,500 | | | THK Co., Ltd. | | | 1,191,994 | |
| | 25,800 | | | TIS Inc. | | | 1,511,273 | |
| | 4,300 | | | Tobu Railway Co., Ltd. | | | 131,779 | |
| | 72,200 | | | Toda Corp. | | | 400,707 | |
| | 2,700 | | | Toho Co., Ltd. | | | 114,353 | |
| | 1,800 | | | Toho Gas Co., Ltd. | | | 69,799 | |
| | 10,600 | | | Tohoku Electric Power Co., Inc. | | | 105,843 | |
| | 52,700 | | | Tokai Carbon Co., Ltd.(a) | | | 503,132 | |
| | 15,300 | | | Tokio Marine Holdings Inc. | | | 787,032 | |
| | 1,200 | | | Tokyo Century Corp. | | | 48,233 | |
| | 37,000 | | | Tokyo Electric Power Co. Holdings Inc.* | | | 175,998 | |
| | 3,800 | | | Tokyo Electron Ltd. | | | 679,254 | |
| | 9,000 | | | Tokyo Gas Co., Ltd. | | | 227,304 | |
| | 79,700 | | | Tokyo Steel Manufacturing Co., Ltd. | | | 617,172 | |
| | 11,800 | | | Tokyu Corp. | | | 210,738 | |
| | 14,800 | | | Tokyu Fudosan Holdings Corp. | | | 91,667 | |
See Notes to Financial Statements.
122
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | Japan — 20.1% — (continued) | |
| | 5,800 | | | Toppan Printing Co., Ltd. | | $ | 92,304 | |
| | 32,700 | | | Toray Industries Inc. | | | 232,777 | |
| | 13,000 | | | Toshiba Corp. | | | 403,454 | |
| | 6,600 | | | Tosoh Corp. | | | 84,534 | |
| | 3,500 | | | TOTO Ltd. | | | 126,373 | |
| | 3,700 | | | Toyo Seikan Group Holdings Ltd. | | | 53,802 | |
| | 2,000 | | | Toyo Suisan Kaisha Ltd. | | | 81,322 | |
| | 35,200 | | | Toyo Tire Corp. | | | 429,727 | |
| | 1,200 | | | Toyoda Gosei Co., Ltd. | | | 22,280 | |
| | 3,300 | | | Toyota Industries Corp. | | | 181,039 | |
| | 104,900 | | | Toyota Motor Corp. | | | 6,862,297 | |
| | 4,800 | | | Toyota Tsusho Corp. | | | 148,610 | |
| | 3,100 | | | Trend Micro Inc. | | | 150,058 | |
| | 29,100 | | | Tsubaki Nakashima Co., Ltd. | | | 433,314 | |
| | 800 | | | Tsuruha Holdings Inc. | | | 87,005 | |
| | 9,500 | | | Unicharm Corp. | | | 291,531 | |
| | 72 | | | United Urban Investment Corp., REIT | | | 135,030 | |
| | 5,000 | | | USS Co., Ltd. | | | 94,347 | |
| | 20,100 | | | UT Group Co., Ltd. | | | 367,885 | |
| | 900 | | | Welcia Holdings Co., Ltd. | | | 46,948 | |
| | 3,900 | | | West Japan Railway Co. | | | 328,336 | |
| | 1,260,593 | | | Yahoo Japan Corp. | | | 3,150,601 | |
| | 2,800 | | | Yakult Honsha Co., Ltd. | | | 161,013 | |
| | 13,600 | | | Yamada Denki Co., Ltd. | | | 63,967 | |
| | 3,400 | | | Yamaha Corp. | | | 146,395 | |
| | 7,000 | | | Yamaha Motor Co., Ltd. | | | 114,252 | |
| | 7,100 | | | Yamato Holdings Co., Ltd. | | | 122,670 | |
| | 20,000 | | | Yamato Kogyo Co., Ltd. | | | 488,253 | |
| | 3,100 | | | Yamazaki Baking Co., Ltd. | | | 53,813 | |
| | 5,600 | | | Yaskawa Electric Corp.(a) | | | 187,402 | |
| | 5,400 | | | Yokogawa Electric Corp. | | | 97,856 | |
| | 2,400 | | | Yokohama Rubber Co., Ltd. (The) | | | 46,062 | |
| | 25,100 | | | Zenkoku Hosho Co., Ltd. | | | 955,288 | |
| | 4,700 | | | ZOZO Inc. | | | 93,746 | |
| | | | | | | | |
| | | | Total Japan | | | 263,196,392 | |
| | | | | | | | |
|
| | Jordan — 0.1% | |
| | 31,709 | | | Hikma Pharmaceuticals PLC | | | 779,438 | |
| | | | | | | | |
|
| | Luxembourg — 0.2% | |
| | 15,653 | | | ArcelorMittal | | | 225,851 | |
| | 22,113 | | | Aroundtown SA | | | 183,889 | |
| | 282 | | | Eurofins Scientific SE(a) | | | 129,180 | |
| | 1,696 | | | Millicom International Cellular SA, ADR | | | 86,431 | |
| | 827 | | | RTL Group SA | | | 38,525 | |
| | 8,292 | | | SES SA, FDR, Class A Shares | | | 133,635 | |
| | 156,288 | | | Tenaris SA | | | 1,694,335 | |
| | | | | | | | |
| | | | Total Luxembourg | | | 2,491,846 | |
| | | | | | | | |
|
| | Macau — 0.0% | |
| | 18,400 | | | MGM China Holdings Ltd. | | | 27,359 | |
| | 57,200 | | | Sands China Ltd. | | | 257,933 | |
| | 40,000 | | | Wynn Macau Ltd. | | | 79,478 | |
| | | | | | | | |
| | | | Total Macau | | | 364,770 | |
| | | | | | | | |
|
| | Mexico — 0.0% | |
| | 4,553 | | | Fresnillo PLC | | | 41,069 | |
| | | | | | | | |
See Notes to Financial Statements.
123
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | Netherlands — 4.5% | |
| | 95,764 | | | Aalberts NV | | $ | 3,620,182 | |
| | 9,968 | | | ABN AMRO Group NV, Dutch Certificate, GDR(c) | | | 177,643 | |
| | 242 | | | Adyen NV*(c) | | | 175,381 | |
| | 41,976 | | | Aegon NV(a) | | | 159,962 | |
| | 80,893 | | | Akzo Nobel NV | | | 7,248,219 | |
| | 9,641 | | | ASM International NV | | | 811,361 | |
| | 50,486 | | | ASML Holding NV | | | 11,243,741 | |
| | 23,384 | | | ASR Nederland NV | | | 818,277 | |
| | 43,654 | | | Boskalis Westminster(a) | | | 868,918 | |
| | 15,296 | | | Euronext NV(c) | | | 1,205,667 | |
| | 2,541 | | | EXOR NV | | | 172,856 | |
| | 2,715 | | | Heineken Holding NV | | | 268,583 | |
| | 26,006 | | | Heineken NV | | | 2,767,133 | |
| | 647,343 | | | ING Groep NV | | | 6,196,232 | |
| | 26,593 | | | Intertrust NV(c) | | | 551,430 | |
| | 27,895 | | | Koninklijke Ahold Delhaize NV | | | 653,019 | |
| | 4,275 | | | Koninklijke DSM NV | | | 532,242 | |
| | 84,184 | | | Koninklijke KPN NV | | | 266,619 | |
| | 78,646 | | | Koninklijke Philips NV | | | 3,709,802 | |
| | 1,803 | | | Koninklijke Vopak NV | | | 85,976 | |
| | 7,430 | | | NN Group NV(a) | | | 248,972 | |
| | 6,754 | | | NXP Semiconductors NV | | | 689,853 | |
| | 372,154 | | | PostNL NV | | | 742,094 | |
| | 5,440 | | | QIAGEN NV* | | | 189,273 | |
| | 2,751 | | | Randstad NV | | | 128,473 | |
| | 104,831 | | | Royal Dutch Shell PLC, Class A Shares | | | 2,904,648 | |
| | 437,010 | | | Royal Dutch Shell PLC, Class B Shares | | | 12,052,867 | |
| | 8,629 | | | TKH Group NV, Dutch Certificate | | | 414,268 | |
| | 6,592 | | | Wolters Kluwer NV | | | 474,872 | |
| | | | | | | | |
| | | | Total Netherlands | | | 59,378,563 | |
| | | | | | | | |
|
| | New Zealand — 0.5% | |
| | 17,112 | | | a2 Milk Co., Ltd.* | | | 155,332 | |
| | 23,247 | | | Auckland International Airport Ltd. | | | 140,790 | |
| | 13,107 | | | Fisher & Paykel Healthcare Corp., Ltd. | | | 137,534 | |
| | 17,979 | | | Fletcher Building Ltd. | | | 50,263 | |
| | 32,042 | | | Meridian Energy Ltd. | | | 100,446 | |
| | 10,257 | | | Ryman Healthcare Ltd. | | | 83,805 | |
| | 40,746 | | | Spark New Zealand Ltd. | | | 113,449 | |
| | 116,786 | | | Summerset Group Holdings Ltd. | | | 444,274 | |
| | 117,559 | | | Xero Ltd.* | | | 5,032,045 | |
| | | | | | | | |
| | | | Total New Zealand | | | 6,257,938 | |
| | | | | | | | |
|
| | Norway — 0.6% | |
| | 2,770 | | | Aker BP ASA | | | 73,364 | |
| | 168,929 | | | DNB ASA | | | 2,719,972 | |
| | 23,603 | | | Equinor ASA | | | 401,723 | |
| | 41,208 | | | FLEX LNG Ltd.* | | | 405,909 | |
| | 4,664 | | | Gjensidige Forsikring ASA | | | 89,983 | |
| | 10,336 | | | Mowi ASA(a) | | | 247,164 | |
| | 1,203,024 | | | Norsk Hydro ASA | | | 3,798,563 | |
| | 19,484 | | | Orkla ASA | | | 178,464 | |
| | 2,325 | | | Schibsted ASA, Class B Shares | | | 67,199 | |
| | 17,322 | | | Telenor ASA | | | 355,215 | |
| | 4,185 | | | Yara International ASA | | | 181,352 | |
| | | | | | | | |
| | | | Total Norway | | | 8,518,908 | |
| | | | | | | | |
See Notes to Financial Statements.
124
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | Portugal — 0.0% | |
| | 60,317 | | | EDP — Energias de Portugal SA | | $ | 228,097 | |
| | 11,758 | | | Galp Energia SGPS SA | | | 168,901 | |
| | 5,728 | | | Jeronimo Martins SGPS SA | | | 94,717 | |
| | | | | | | | |
| | | | Total Portugal | | | 491,715 | |
| | | | | | | | |
|
| | Russia — 0.4% | |
| | 12,906 | | | Evraz PLC | | | 78,001 | |
| | 321,746 | | | Gazprom PJSC, ADR | | | 2,221,673 | |
| | 17,893 | | | LUKOIL PJSC, ADR | | | 1,447,186 | |
| | 89,277 | | | Sberbank of Russia PJSC, ADR | | | 1,225,773 | |
| | | | | | | | |
| | | | Total Russia | | | 4,972,633 | |
| | | | | | | | |
|
| | Singapore — 0.5% | |
| | 58,600 | | | Ascendas Real Estate Investment Trust | | | 129,990 | |
| | 60,619 | | | CapitaLand Commercial Trust, REIT | | | 93,022 | |
| | 59,500 | | | CapitaLand Ltd. | | | 148,441 | |
| | 62,700 | | | CapitaLand Mall Trust, REIT | | | 119,666 | |
| | 12,100 | | | City Developments Ltd. | | | 83,345 | |
| | 55,500 | | | ComfortDelGro Corp., Ltd. | | | 97,804 | |
| | 42,300 | | | DBS Group Holdings Ltd. | | | 746,802 | |
| | 878,500 | | | Frasers Logistics & Industrial Trust, REIT | | | 771,984 | |
| | 130,900 | | | Genting Singapore Ltd. | | | 83,717 | |
| | 158,600 | | | Golden Agri-Resources Ltd. | | | 30,226 | |
| | 2,200 | | | Jardine Cycle & Carriage Ltd. | | | 48,760 | |
| | 33,900 | | | Keppel Corp., Ltd. | | | 142,104 | |
| | 360,800 | | | Oversea-Chinese Banking Corp., Ltd. | | | 2,761,660 | |
| | 16,300 | | | SATS Ltd. | | | 56,305 | |
| | 23,300 | | | Sembcorp Industries Ltd. | | | 34,677 | |
| | 13,700 | | | Singapore Airlines Ltd. | | | 87,075 | |
| | 17,600 | | | Singapore Exchange Ltd. | | | 103,883 | |
| | 29,400 | | | Singapore Press Holdings Ltd. | | | 42,087 | |
| | 38,700 | | | Singapore Technologies Engineering Ltd. | | | 109,687 | |
| | 192,400 | | | Singapore Telecommunications Ltd. | | | 439,499 | |
| | 47,800 | | | Suntec Real Estate Investment Trust | | | 66,393 | |
| | 29,703 | | | United Overseas Bank Ltd. | | | 533,520 | |
| | 12,071 | | | UOL Group Ltd. | | | 63,737 | |
| | 7,000 | | | Venture Corp., Ltd. | | | 76,185 | |
| | 42,800 | | | Wilmar International Ltd. | | | 117,329 | |
| | | | | | | | |
| | | | Total Singapore | | | 6,987,898 | |
| | | | | | | | |
|
| | South Africa — 0.4% | |
| | 13,946 | | | Anglo American Platinum Ltd. | | | 855,668 | |
| | 312,038 | | | Gold Fields Ltd., ADR | | | 1,853,506 | |
| | 200,660 | | | Impala Platinum Holdings Ltd.*(a) | | | 1,143,505 | |
| | 16,962 | | | Investec PLC | | | 87,247 | |
| | 167,205 | | | MTN Group Ltd. | | | 1,129,925 | |
| | | | | | | | |
| | | | Total South Africa | | | 5,069,851 | |
| | | | | | | | |
|
| | South Korea — 1.9% | |
| | 12,500 | | | AfreecaTV Co., Ltd. | | | 627,825 | |
| | 11,300 | | | Douzone Bizon Co., Ltd. | | | 535,845 | |
| | 3,069 | | | GS Home Shopping Inc. | | | 404,363 | |
| | 61,750 | | | KB Financial Group Inc. | | | 2,022,627 | |
| | 20,775 | | | Korea United Pharm Inc.(a) | | | 338,207 | |
| | 204,554 | | | KT Corp., ADR | | | 2,297,141 | |
| | 8,035 | | | Maeil Dairies Co., Ltd. | | | 606,871 | |
| | 108,800 | | | Meritz Securities Co., Ltd. | | | 427,337 | |
See Notes to Financial Statements.
125
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | South Korea — 1.9% — (continued) | |
| | 41,856 | | | Partron Co., Ltd. | | $ | 402,812 | |
| | 188,157 | | | Samsung Electronics Co., Ltd. | | | 6,838,793 | |
| | 7,105 | | | Samsung SDI Co., Ltd. | | | 1,460,047 | |
| | 18,036 | | | SFA Engineering Corp. | | | 592,913 | |
| | 57,550 | | | Shinhan Financial Group Co., Ltd. | | | 1,936,356 | |
| | 6,995 | | | SK Innovation Co., Ltd. | | | 953,422 | |
| | 23,523 | | | SK Telecom Co., Ltd. | | | 4,653,697 | |
| | 21,765 | | | SL Corp. | | | 385,733 | |
| | 10,453 | | | Soulbrain Co., Ltd.(a) | | | 588,070 | |
| | | | | | | | |
| | | | Total South Korea | | | 25,072,059 | |
| | | | | | | | |
|
| | Spain — 2.3% | |
| | 6,169 | | | ACS Actividades de Construccion y Servicios SA | | | 233,310 | |
| | 1,591 | | | Aena SME SA(c) | | | 287,006 | |
| | 26,226 | | | Almirall SA | | | 499,459 | |
| | 41,557 | | | Amadeus IT Group SA | | | 3,097,977 | |
| | 31,549 | | | Applus Services SA | | | 419,749 | |
| | 19,077 | | | Atlantica Yield PLC | | | 453,842 | |
| | 634,981 | | | Banco Bilbao Vizcaya Argentaria SA | | | 3,011,303 | |
| | 144,283 | | | Banco de Sabadell SA | | | 123,676 | |
| | 386,172 | | | Banco Santander SA | | | 1,462,181 | |
| | 30,062 | | | Bankia SA | | | 54,621 | |
| | 70,480 | | | Bankinter SA | | | 410,808 | |
| | 1,987,406 | | | CaixaBank SA | | | 4,507,460 | |
| | 4,522 | | | Cellnex Telecom SA*(c) | | | 181,066 | |
| | 26,190 | | | Cia de Distribucion Integral Logista Holdings SA | | | 514,614 | |
| | 4,365 | | | Enagas SA | | | 95,315 | |
| | 7,485 | | | Endesa SA | | | 192,354 | |
| | 11,468 | | | Ferrovial SA | | | 326,553 | |
| | 153,680 | | | Grifols SA | | | 4,867,685 | |
| | 143,800 | | | Iberdrola SA | | | 1,479,172 | |
| | 93,225 | | | Industria de Diseno Textil SA | | | 2,884,023 | |
| | 24,538 | | | Mapfre SA | | | 63,917 | |
| | 33,393 | | | Masmovil Ibercom SA* | | | 683,882 | |
| | 37,000 | | | Merlin Properties Socimi SA, REIT | | | 494,724 | |
| | 7,074 | | | Naturgy Energy Group SA | | | 185,238 | |
| | 647,865 | | | Prosegur Cash SA(c) | | | 1,009,222 | |
| | 436,035 | | | Prosegur Cia de Seguridad SA | | | 1,605,567 | |
| | 10,304 | | | Red Electrica Corp. SA | | | 205,400 | |
| | 34,242 | | | Repsol SA | | | 497,995 | |
| | 5,851 | | | Siemens Gamesa Renewable Energy SA | | | 79,755 | |
| | 110,118 | | | Telefonica SA | | | 763,124 | |
| | | | | | | | |
| | | | Total Spain | | | 30,690,998 | |
| | | | | | | | |
|
| | Sweden — 1.7% | |
| | 7,529 | | | Alfa Laval AB | | | 138,754 | |
| | 135,265 | | | Assa Abloy AB, Class B Shares | | | 2,826,448 | |
| | 125,436 | | | Atlas Copco AB, Class A Shares | | | 3,749,605 | |
| | 9,196 | | | Atlas Copco AB, Class B Shares | | | 245,295 | |
| | 7,013 | | | Boliden AB | | | 155,258 | |
| | 78,709 | | | Dometic Group AB(c) | | | 642,048 | |
| | 5,469 | | | Electrolux AB, Series B | | | 122,439 | |
| | 208,990 | | | Epiroc AB, Class A Shares | | | 2,168,278 | |
| | 8,971 | | | Epiroc AB, Class B Shares | | | 88,999 | |
| | 14,292 | | | Essity AB, Class B Shares | | | 446,120 | |
| | 32,917 | | | Evolution Gaming Group AB(c) | | | 618,464 | |
| | 18,931 | | | Hennes & Mauritz AB, Class B Shares | | | 362,968 | |
See Notes to Financial Statements.
126
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | Sweden — 1.7% — (continued) | |
| | 6,357 | | | Hexagon AB, Class B Shares | | $ | 282,985 | |
| | 11,408 | | | Husqvarna AB, Class B Shares | | | 88,516 | |
| | 1,997 | | | ICA Gruppen AB | | | 97,962 | |
| | 3,795 | | | Industrivarden AB, Class C Shares | | | 79,449 | |
| | 10,733 | | | Investor AB, Class B Shares | | | 503,648 | |
| | 5,573 | | | Kinnevik AB, Class B Shares | | | 151,946 | |
| | 1,730 | | | L E Lundbergforetagen AB, Class B Shares | | | 64,828 | |
| | 19,379 | | | Loomis AB, Class B Shares | | | 656,035 | |
| | 4,260 | | | Lundin Petroleum AB | | | 129,680 | |
| | 55,357 | | | Peab AB | | | 453,846 | |
| | 72,277 | | | Resurs Holding AB(c) | | | 410,380 | |
| | 26,604 | | | Sandvik AB | | | 381,798 | |
| | 7,108 | | | Securitas AB, Class B Shares | | | 106,468 | |
| | 38,099 | | | Skandinaviska Enskilda Banken AB, Class A Shares | | | 327,723 | |
| | 7,794 | | | Skanska AB, Class B Shares | | | 146,155 | |
| | 8,841 | | | SKF AB, Class B Shares | | | 142,839 | |
| | 191,617 | | | SSAB AB, Class B Shares | | | 479,541 | |
| | 35,728 | | | Svenska Handelsbanken AB, Class A Shares | | | 314,678 | |
| | 21,341 | | | Swedbank AB, Class A Shares | | | 274,411 | |
| | 47,120 | | | Swedish Match AB | | | 1,849,307 | |
| | 11,676 | | | Tele2 AB, Class B Shares | | | 164,803 | |
| | 72,401 | | | Telefonaktiebolaget LM Ericsson, Class B Shares | | | 567,933 | |
| | 68,238 | | | Telia Co. AB | | | 299,282 | |
| | 21,070 | | | THQ Nordic AB, Class B Shares* | | | 522,391 | |
| | 35,001 | | | Volvo AB, Class B Shares | | | 483,887 | |
| | 79,170 | | | Wihlborgs Fastigheter AB | | | 1,274,417 | |
| | | �� | | | | | |
| | | | Total Sweden | | | 21,819,584 | |
| | | | | | | | |
|
| | Switzerland — 9.9% | |
| | 397,007 | | | ABB Ltd., Class Registered Shares | | | 7,527,367 | |
| | 71,179 | | | Adecco Group AG, Class Registered Shares | | | 3,745,828 | |
| | 10,218 | | | Alcon Inc.* | | | 622,954 | |
| | 849,372 | | | Aryzta AG* | | | 691,138 | |
| | 1,150 | | | Baloise Holding AG, Class Registered Shares | | | 196,217 | |
| | 1,768 | | | Barry Callebaut AG, Class Registered Shares | | | 3,616,523 | |
| | 1,597 | | | Bucher Industries AG, Class Registered Shares | | | 471,221 | |
| | 4,554 | | | Cembra Money Bank AG | | | 462,260 | |
| | 27 | | | Chocoladefabriken Lindt & Spruengli AG | | | 199,840 | |
| | 2 | | | Chocoladefabriken Lindt & Spruengli AG, Class Registered Shares | | | 164,813 | |
| | 86,529 | | | Cie Financiere Richemont SA, Class Registered Shares | | | 6,723,913 | |
| | 5,107 | | | Clariant AG, Class Registered Shares* | | | 94,043 | |
| | 34,922 | | | Coca-Cola HBC AG | | | 1,160,387 | |
| | 60,233 | | | Credit Suisse Group AG, Class Registered Shares* | | | 705,336 | |
| | 1,101 | | | Dufry AG, Class Registered Shares* | | | 89,348 | |
| | 574 | | | Emmi AG, Class Registered Shares | | | 464,743 | |
| | 184 | | | EMS-Chemie Holding AG, Class Registered Shares(a) | | | 109,498 | |
| | 411 | | | Forbo Holding AG, Class Registered Shares | | | 599,145 | |
| | 873 | | | Geberit AG, Class Registered Shares | | | 397,252 | |
| | 571 | | | Georg Fischer AG, Class Registered Shares | | | 468,095 | |
| | 218 | | | Givaudan SA, Class Registered Shares | | | 589,789 | |
| | 262,189 | | | Glencore PLC* | | | 756,898 | |
| | 3,443 | | | Helvetia Holding AG, Class Registered Shares | | | 449,062 | |
| | 72,026 | | | Julius Baer Group Ltd.* | | | 2,851,032 | |
| | 1,269 | | | Kuehne + Nagel International AG, Class Registered Shares | | | 184,816 | |
| | 72,131 | | | LafargeHolcim Ltd., Class Registered Shares* | | | 3,413,431 | |
| | 37,138 | | | Logitech International SA, Class Registered Shares | | | 1,507,314 | |
See Notes to Financial Statements.
127
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | Switzerland — 9.9% — (continued) | |
| | 19,884 | | | Lonza Group AG, Class Registered Shares* | | $ | 7,034,337 | |
| | 146,482 | | | Nestlé SA, Class Registered Shares | | | 16,437,982 | |
| | 164,992 | | | Novartis AG, Class Registered Shares | | | 14,856,656 | |
| | 875 | | | Pargesa Holding SA | | | 63,988 | |
| | 440 | | | Partners Group Holding AG | | | 356,963 | |
| | 7,489 | | | PSP Swiss Property AG, Class Registered Shares | | | 995,244 | |
| | 65,724 | | | Roche Holding AG | | | 17,976,869 | |
| | 10,642 | | | Schindler Holding AG | | | 2,431,930 | |
| | 512 | | | Schindler Holding AG, Class Registered Shares | | | 116,152 | |
| | 860 | | | SGS SA, Class Registered Shares | | | 2,113,164 | |
| | 26,015 | | | Sika AG, Class Registered Shares | | | 3,737,187 | |
| | 1,350 | | | Sonova Holding AG, Class Registered Shares | | | 314,606 | |
| | 203,713 | | | STMicroelectronics NV | | | 3,619,084 | |
| | 1,453 | | | Straumann Holding AG, Class Registered Shares | | | 1,139,349 | |
| | 5,554 | | | Sulzer AG, Class Registered Shares | | | 527,911 | |
| | 688 | | | Swatch Group AG (The) | | | 186,658 | |
| | 1,423 | | | Swatch Group AG (The), Class Registered Shares | | | 72,780 | |
| | 4,508 | | | Swiss Life Holding AG, Class Registered Shares | | | 2,139,124 | |
| | 1,756 | | | Swiss Prime Site AG, Class Registered Shares* | | | 174,784 | |
| | 7,182 | | | Swiss Re AG | | | 691,174 | |
| | 596 | | | Swisscom AG, Class Registered Shares | | | 298,437 | |
| | 25,808 | | | Temenos AG, Class Registered Shares* | | | 4,329,438 | |
| | 583,462 | | | UBS Group AG, Class Registered Shares* | | | 6,168,049 | |
| | 28,455 | | | VAT Group AG*(c) | | | 3,425,713 | |
| | 1,051 | | | Vifor Pharma AG | | | 166,745 | |
| | 12,777 | | | Vontobel Holding AG, Class Registered Shares | | | 667,722 | |
| | 15,269 | | | Wizz Air Holdings PLC*(c) | | | 668,796 | |
| | 3,567 | | | Zurich Insurance Group AG | | | 1,270,017 | |
| | | | | | | | |
| | | | Total Switzerland | | | 130,243,122 | |
| | | | | | | | |
|
| | Taiwan — 0.4% | |
| | 3,349,000 | | | Innolux Corp. | | | 749,883 | |
| | 75,042 | | | MediaTek Inc. | | | 879,032 | |
| | 3,455,881 | | | Shin Kong Financial Holding Co., Ltd. | | | 1,014,004 | |
| | 262,000 | | | Taiwan Semiconductor Manufacturing Co., Ltd. | | | 2,163,533 | |
| | | | | | | | |
| | | | Total Taiwan | | | 4,806,452 | |
| | | | | | | | |
|
| | Thailand — 0.2% | |
| | 790,300 | | | CP ALL PCL | | | 2,168,388 | |
| | | | | | | | |
|
| | Turkey — 0.1% | |
| | 517,427 | | | Akbank T.A.S.* | | | 616,486 | |
| | 559,149 | | | Türkiye Garanti Bankasi AS* | | | 854,662 | |
| | | | | | | | |
| | | | Total Turkey | | | 1,471,148 | |
| | | | | | | | |
|
| | United Arab Emirates — 0.0% | |
| | 1,976 | | | NMC Health PLC | | | 60,202 | |
| | | | | | | | |
|
| | United Kingdom — 15.1% | |
| | 22,475 | | | 3i Group PLC | | | 300,035 | |
| | 4,561 | | | Admiral Group PLC | | | 119,207 | |
| | 143,281 | | | Anglo American PLC | | | 3,096,897 | |
| | 134,287 | | | Ashmore Group PLC | | | 737,640 | |
| | 11,077 | | | Ashtead Group PLC | | | 306,386 | |
| | 8,395 | | | Associated British Foods PLC | | | 232,139 | |
| | 94,466 | | | AstraZeneca PLC | | | 8,427,929 | |
See Notes to Financial Statements.
128
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | United Kingdom — 15.1% — (continued) | |
| | 120,345 | | | Auto Trader Group PLC(c) | | $ | 778,918 | |
| | 94,846 | | | Avast PLC(c) | | | 438,908 | |
| | 14,440 | | | AVEVA Group PLC | | | 650,307 | |
| | 1,009,303 | | | Aviva PLC | | | 4,351,916 | |
| | 104,316 | | | B&M European Value Retail SA | | | 454,582 | |
| | 179,649 | | | Babcock International Group PLC | | | 1,097,613 | |
| | 75,328 | | | BAE Systems PLC | | | 500,289 | |
| | 664,580 | | | Balfour Beatty PLC | | | 1,747,128 | |
| | 3,833,859 | | | Barclays PLC | | | 6,390,290 | |
| | 23,705 | | | Barratt Developments PLC | | | 182,522 | |
| | 82,143 | | | Beazley PLC | | | 570,586 | |
| | 14,843 | | | Bellway PLC | | | 525,052 | |
| | 2,788 | | | Berkeley Group Holdings PLC | | | 132,917 | |
| | 26,210 | | | Blue Prism Group PLC* | | | 296,627 | |
| | 1,925,216 | | | BP PLC | | | 11,737,968 | |
| | 232,339 | | | British American Tobacco PLC | | | 8,147,552 | |
| | 184,321 | | | British Land Co. PLC (The), REIT | | | 1,143,864 | |
| | 1,148,028 | | | BT Group PLC | | | 2,316,182 | |
| | 129,223 | | | Bunzl PLC | | | 3,166,506 | |
| | 75,744 | | | Burberry Group PLC | | | 1,997,316 | |
| | 237,071 | | | Cairn Energy PLC* | | | 482,361 | |
| | 1,457,164 | | | Centrica PLC | | | 1,236,208 | |
| | 242,019 | | | Cineworld Group PLC | | | 643,479 | |
| | 53,280 | | | Clinigen Group PLC | | | 575,303 | |
| | 23,927 | | | CNH Industrial NV | | | 247,940 | |
| | 378,265 | | | Coats Group PLC | | | 337,095 | |
| | 1,314,573 | | | Cobham PLC* | | | 2,583,942 | |
| | 5,747 | | | Coca-Cola European Partners PLC | | | 323,786 | |
| | 37,376 | | | Compass Group PLC | | | 947,908 | |
| | 40,313 | | | Computacenter PLC | | | 650,212 | |
| | 13,334 | | | Cranswick PLC | | | 448,060 | |
| | 3,028 | | | Croda International PLC | | | 173,328 | |
| | 152,881 | | | Diageo PLC | | | 6,535,548 | |
| | 34,500 | | | Direct Line Insurance Group PLC | | | 118,903 | |
| | 3,017 | | | easyJet PLC | | | 35,387 | |
| | 91,026 | | | Electrocomponents PLC | | | 644,188 | |
| | 28,212 | | | Ferguson PLC | | | 2,076,212 | |
| | 25,391 | | | Fiat Chrysler Automobiles NV | | | 332,387 | |
| | 39,416 | | | G4S PLC | | | 83,544 | |
| | 262,271 | | | GlaxoSmithKline PLC | | | 5,458,564 | |
| | 8,946 | | | Halma PLC | | | 213,785 | |
| | 6,621 | | | Hargreaves Lansdown PLC | | | 151,462 | |
| | 1,031,214 | | | HSBC Holdings PLC | | | 7,415,150 | |
| | 56,054 | | | Hunting PLC | | | 312,357 | |
| | 22,546 | | | Imperial Brands PLC | | | 583,442 | |
| | 30,398 | | | Informa PLC | | | 322,085 | |
| | 4,055 | | | InterContinental Hotels Group PLC | | | 251,244 | |
| | 47,766 | | | Intermediate Capital Group PLC | | | 777,019 | |
| | 34,329 | | | Intertek Group PLC | | | 2,270,280 | |
| | 80,684 | | | ITV PLC | | | 113,930 | |
| | 804,747 | | | J Sainsbury PLC | | | 1,921,146 | |
| | 203,383 | | | JD Sports Fashion PLC | | | 1,527,998 | |
| | 17,476 | | | John Wood Group PLC | | | 80,334 | |
| | 109,231 | | | Johnson Matthey PLC | | | 3,870,914 | |
| | 43,548 | | | Keller Group PLC | | | 345,203 | |
| | 784,219 | | | Kingfisher PLC | | | 1,857,248 | |
See Notes to Financial Statements.
129
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | United Kingdom — 15.1% — (continued) | |
| | 125,712 | | | Land Securities Group PLC, REIT | | $ | 1,186,867 | |
| | 760,633 | | | Legal & General Group PLC | | | 2,034,920 | |
| | 34,885 | | | Linde PLC | | | 6,542,697 | |
| | 12,570 | | | LivaNova PLC* | | | 975,809 | |
| | 9,378,570 | | | Lloyds Banking Group PLC | | | 5,675,739 | |
| | 7,384 | | | London Stock Exchange Group PLC | | | 625,204 | |
| | 218,237 | | | LondonMetric Property PLC, REIT | | | 544,973 | |
| | 539,038 | | | Marks & Spencer Group PLC | | | 1,261,772 | |
| | 92,132 | | | Meggitt PLC | | | 694,493 | |
| | 940,079 | | | Melrose Industries PLC | | | 2,074,175 | |
| | 16,272 | | | Merlin Entertainments PLC(c) | | | 89,485 | |
| | 145,743 | | | Micro Focus International PLC | | | 1,997,707 | |
| | 10,554 | | | Mondi PLC | | | 205,434 | |
| | 106,301 | | | Moneysupermarket.com Group PLC | | | 483,386 | |
| | 136,913 | | | National Express Group PLC | | | 707,200 | |
| | 80,359 | | | National Grid PLC | | | 840,751 | |
| | 7,851 | | | Next PLC | | | 567,352 | |
| | 26,625 | | | Nomad Foods Ltd.* | | | 536,494 | |
| | 103,200 | | | Ocado Group PLC* | | | 1,627,826 | |
| | 138,581 | | | OneSavings Bank PLC | | | 543,177 | |
| | 18,414 | | | Pearson PLC | | | 186,763 | |
| | 7,437 | | | Persimmon PLC | | | 172,257 | |
| | 743,360 | | | Prudential PLC | | | 12,387,881 | |
| | 16,672 | | | Reckitt Benckiser Group PLC | | | 1,300,458 | |
| | 67,614 | | | Redrow PLC | | | 454,948 | |
| | 97,982 | | | RELX PLC | | | 2,344,957 | |
| | 43,580 | | | Rentokil Initial PLC | | | 238,836 | |
| | 8,748 | | | Rio Tinto Ltd. | | | 517,675 | |
| | 26,862 | | | Rio Tinto PLC | | | 1,354,612 | |
| | 619,414 | | | Rolls-Royce Holdings PLC* | | | 5,816,996 | |
| | 117,215 | | | Royal Bank of Scotland Group PLC | | | 264,746 | |
| | 24,076 | | | RSA Insurance Group PLC | | | 153,374 | |
| | 114,867 | | | Safestore Holdings PLC, REIT | | | 939,075 | |
| | 26,087 | | | Sage Group PLC (The) | | | 222,526 | |
| | 2,999 | | | Schroders PLC | | | 99,669 | |
| | 25,556 | | | Segro PLC, REIT | | | 244,350 | |
| | 5,464 | | | Severn Trent PLC | | | 137,724 | |
| | 128,047 | | | Smith & Nephew PLC | | | 3,064,279 | |
| | 9,315 | | | Smiths Group PLC | | | 189,361 | |
| | 1,735 | | | Spirax-Sarco Engineering PLC | | | 169,517 | |
| | 309,866 | | | SSE PLC | | | 4,343,397 | |
| | 12,388 | | | St. James’s Place PLC | | | 138,445 | |
| | 420,368 | | | Standard Chartered PLC | | | 3,184,724 | |
| | 59,337 | | | Standard Life Aberdeen PLC | | | 180,515 | |
| | 148,413 | | | Stock Spirits Group PLC | | | 426,260 | |
| | 87,466 | | | Synthomer PLC | | | 330,103 | |
| | 102,027 | | | Tate & Lyle PLC | | | 894,024 | |
| | 75,735 | | | Taylor Wimpey PLC | | | 134,537 | |
| | 114,876 | | | TechnipFMC PLC | | | 2,855,437 | |
| | 230,784 | | | Tesco PLC | | | 615,829 | |
| | 34,668 | | | Unilever NV | | | 2,151,953 | |
| | 94,749 | | | Unilever PLC | | | 5,992,444 | |
| | 65,646 | | | UNITE Group PLC (The), REIT | | | 836,424 | |
| | 15,883 | | | United Utilities Group PLC | | | 157,371 | |
| | 88,026 | | | Vesuvius PLC | | | 500,393 | |
| | 2,835,269 | | | Vodafone Group PLC | | | 5,353,652 | |
See Notes to Financial Statements.
130
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | United Kingdom — 15.1% — (continued) | |
| | 96,981 | | | Weir Group PLC (The) | | $ | 1,730,581 | |
| | 45,065 | | | Whitbread PLC | | | 2,399,569 | |
| | 56,955 | | | WM Morrison Supermarkets PLC | | | 126,609 | |
| | 29,635 | | | WPP PLC | | | 351,202 | |
| | | | | | | | |
| | | | Total United Kingdom | | | 197,974,162 | |
| | | | | | | | |
|
| | United States — 0.9% | |
| | 848 | | | Booking Holdings Inc.* | | | 1,667,516 | |
| | 34,620 | | | Carnival Corp. | | | 1,526,049 | |
| | 32,049 | | | Carnival PLC | | | 1,347,196 | |
| | 17,300 | | | EPAM Systems Inc.* | | | 3,310,009 | |
| | 1 | | | International Flavors & Fragrances Inc. | | | 79 | |
| | 16,610 | | | Philip Morris International Inc. | | | 1,197,415 | |
| | 15,470 | | | ResMed Inc. | | | 2,154,971 | |
| | 502,200 | | | Samsonite International SA(c) | | | 943,134 | |
| | | | | | | | |
| | | | Total United States | | | 12,146,369 | |
| | | | | | | | |
| | | | TOTAL COMMON STOCKS
(Cost — $1,219,115,216) | | | 1,269,108,424 | |
| | | | | | | | |
|
| | PREFERRED STOCKS — 0.8% | |
|
| | Germany — 0.8% | |
| | 1,426 | | | Bayerische Motoren Werke AG, Class Preferred Shares | | | 76,772 | |
| | 1,510 | | | FUCHS PETROLUB SE, Class Preferred Shares | | | 52,759 | |
| | 4,198 | | | Henkel AG & Co. KGaA, Class Preferred Shares | | | 420,348 | |
| | 3,608 | | | Porsche Automobil Holding SE, Class Preferred Shares | | | 226,239 | |
| | 833 | | | Sartorius AG, Class Preferred Shares | | | 166,482 | |
| | 59,667 | | | Volkswagen AG, Class Preferred Shares | | | 9,580,083 | |
| | | | | | | | |
| | | | Total Germany | | | 10,522,683 | |
| | | | | | | | |
| | | | TOTAL PREFERRED STOCKS
(Cost — $8,464,265) | | | 10,522,683 | |
| | | | | | | | |
|
| | CLOSED END MUTUAL FUND SECURITY — 0.0% | |
|
| | United States — 0.0% | |
| | 14,843 | | | Vanguard FTSE Developed Markets ETF, Common Class
(Cost — $570,740) | | | 595,056 | |
| | | | | | | | |
| | | | TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS
(Cost — $1,228,150,221) | | | 1,280,226,163 | |
| | | | | | | | |
| | |
Face
Amount† | | | | | | |
|
| | SHORT-TERM INVESTMENTS (f) — 2.9% | |
|
| | MONEY MARKET FUND — 0.7% | |
| $ | 9,378,863 | | | Invesco STIT — Government & Agency Portfolio, 1.998%, Institutional Class(g)
(Cost — $9,378,863) | | | 9,378,863 | |
| | | | | | | | |
|
| | TIME DEPOSITS — 2.2% | |
| | 14,584,814 | | | ANZ National Bank — London, 1.490% due 9/3/19 | | | 14,584,814 | |
| | 1,107,823 | | | Banco Santander SA — Frankfurt, 1.490% due 9/3/19 | | | 1,107,823 | |
| | | | BBH — Grand Cayman: | | | | |
| | 265,740 | CHF | | (1.580)% due 9/2/19 | | | 268,478 | |
| | 15,473 | DKK | | (0.800)% due 9/2/19 | | | 2,281 | |
| | 8,925 | EUR | | (0.580)% due 9/2/19 | | | 9,809 | |
| | 100,572 | SEK | | (0.320)% due 9/2/19 | | | 10,248 | |
| | 80 | JPY | | (0.250)% due 9/2/19 | | | 1 | |
| | 2,005 | NZD | | 0.280% due 9/2/19 | | | 1,264 | |
See Notes to Financial Statements.
131
| | | | | | | | |
| International Equity Fund | |
| | |
Face
Amount† | | | Security | | Value | |
|
| | TIME DEPOSITS — 2.2% — (continued) | |
| | 85 | GBP | | 0.370% due 9/2/19 | | $ | 104 | |
| | 56,866 | AUD | | 0.450% due 9/2/19 | | | 38,293 | |
| | 63,772 | NOK | | 0.500% due 9/2/19 | | | 6,998 | |
| | 159,987 | HKD | | 0.750% due 9/2/19 | | | 20,404 | |
| | 2,286 | CAD | | 0.870% due 9/3/19 | | | 1,717 | |
| | 18 | SGD | | 0.940% due 9/2/19 | | | 13 | |
| | 258 | ZAR | | 5.460% due 9/2/19 | | | 17 | |
| | | | BNP Paribas — Paris: | | | | |
| | 401,235 | EUR | | (0.580)% due 9/2/19 | | | 440,977 | |
| | 1,020,212 | HKD | | 0.750% due 9/2/19 | | | 130,115 | |
| | 171,896 | GBP | | Citibank — London, 0.370% due 9/2/19 | | | 209,146 | |
| $ | 4,400,499 | | | Citibank — New York, 1.490% due 9/3/19 | | | 4,400,499 | |
| | 75,032 | SGD | | HSBC Bank — Singapore, 0.940% due 9/2/19 | | | 54,071 | |
| | 6,762,511 | | | JPMorgan Chase & Co. — New York, 1.490% due 9/3/19 | | | 6,762,510 | |
| | 34,905,199 | JPY | | Sumitomo Mitsui Banking Corp. — Tokyo, (0.250)% due 9/2/19 | | | 328,597 | |
| | | | | | | | |
| | | | TOTAL TIME DEPOSITS
(Cost — $28,378,179) | | | 28,378,179 | |
| | | | | | | | |
| | | | TOTAL SHORT-TERM INVESTMENTS
(Cost — $37,757,042) | | | 37,757,042 | |
| | | | | | | | |
| | | | TOTAL INVESTMENTS — 100.5%
(Cost — $1,265,907,263) | | | 1,317,983,205 | |
| | | | | | | | |
| | | | Liabilities in Excess of Other Assets — (0.5)% | | | (6,941,386 | ) |
| | | | | | | | |
| | | | TOTAL NET ASSETS — 100.0% | | $ | 1,311,041,819 | |
| | | | | | | | |
| † | 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 August 31, 2019 amounts to approximately $22,980,780 and represents 1.8% 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 investment of collateral received from securities lending transactions. Excluding such collateral, the percentage of portfolio holdings would be 2.2%. |
| (g) | Represents investment of collateral received from securities lending transactions. |
At August 31, 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 | | $ | 1,292,642,569 | | | $ | 232,990,552 | | | $ | (207,646,661 | ) | | $ | 25,343,891 | |
| | |
Abbreviations used in this schedule: |
| ADR | | —American Depositary Receipts |
| CDI | | —Clearing House Electronics System (CHESS) Depositary Interest |
| FDR | | —Finish Depositary Receipt |
| GDR | | —Global Depositary Receipt |
| PCL | | —Public Company Limited |
| PLC | | —Public Limited Company |
| REIT | | —Real Estate Investment Trust |
See Notes to Financial Statements.
132
| | | | |
| International Equity Fund |
| | | | |
Summary of Investments by Security Sector^ | | | |
Financials | | | 16.5 | % |
Industrials | | | 15.9 | |
Consumer Discretionary | | | 11.7 | |
Health Care | | | 11.5 | |
Information Technology | | | 9.8 | |
Consumer Staples | | | 8.1 | |
Materials | | | 7.4 | |
Communication Services | | | 6.4 | |
Energy | | | 6.0 | |
Real Estate | | | 2.6 | |
Utilities | | | 1.9 | |
Short-Term Investments | | | 2.2 | |
| | | | |
| | | 100.0 | %+ |
| | | | |
| ^ | As a percentage of total investments. |
| + | Does not reflect investments of collateral received from securities lending transactions. |
At August 31, 2019, International Equity 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 STOXX 50 September Futures | | | 19 | | | | 9/19 | | | $ | 701,227 | | | $ | 713,954 | | | $ | 12,727 | |
FTSE 100 Index September Futures | | | 5 | | | | 9/19 | | | | 441,972 | | | | 436,825 | | | | (5,147 | ) |
SPI 200 Index September Futures | | | 2 | | | | 9/19 | | | | 220,017 | | | | 221,246 | | | | 1,229 | |
TOPIX Index September Futures | | | 3 | | | | 9/19 | | | | 432,008 | | | | 426,454 | | | | (5,554 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | 3,255 | |
| | | | | | | | | | | | | | | | | | | | |
At August 31, 2019, International Equity Fund had deposited cash of $90,782 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.
133
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | COMMON STOCKS — 96.3% | |
|
| | Argentina — 0.3% | |
| | 2,964 | | | Banco BBVA Argentina SA, ADR | | $ | 12,508 | |
| | 1,527 | | | Banco Macro SA, ADR | | | 35,594 | |
| | 1,095 | | | Globant SA* | | | 103,948 | |
| | 3,388 | | | Grupo Financiero Galicia SA, ADR | | | 36,726 | |
| | 1,905 | | | Pampa Energia SA, ADR*(a) | | | 24,727 | |
| | 1,726 | | | Telecom Argentina SA, ADR | | | 15,430 | |
| | 949 | | | Transportadora de Gas del Sur SA, ADR | | | 7,118 | |
| | 124,469 | | | YPF SA, ADR | | | 1,065,455 | |
| | | | | | | | |
| | | | Total Argentina | | | 1,301,506 | |
| | | | | | | | |
|
| | Australia — 0.0% | |
| | 40,000 | | | MMG Ltd.* | | | 8,200 | |
| | | | | | | | |
|
| | Belgium — 0.0% | |
| | 1,168 | | | Titan Cement International SA* | | | 23,877 | |
| | | | | | | | |
|
| | Brazil — 6.7% | |
| | 138,001 | | | Ambev SA | | | 623,741 | |
| | 246,471 | | | Ambev SA, ADR | | | 1,118,978 | |
| | 11,300 | | | Atacadao SA | | | 60,841 | |
| | 6,925 | | | B2W Cia Digital* | | | 78,584 | |
| | 61,667 | | | B3 SA — Brasil Bolsa Balcao | | | 667,032 | |
| | 37,127 | | | Banco Bradesco SA | | | 271,612 | |
| | 6,360 | | | Banco BTG Pactual SA | | | 89,954 | |
| | 467,742 | | | Banco do Brasil SA | | | 5,222,041 | |
| | 12,695 | | | Banco Santander Brasil SA | | | 130,575 | |
| | 358,015 | | | BB Seguridade Participações SA | | | 2,824,012 | |
| | 23,965 | | | BR Malls Participações SA | | | 77,998 | |
| | 16,663 | | | BRF SA* | | | 153,444 | |
| | 724,806 | | | CCR SA | | | 2,843,749 | |
| | 6,483 | | | Centrais Eletricas Brasileiras SA | | | 71,909 | |
| | 9,781 | | | Cia de Saneamento Basico do Estado de Sao Paulo | | | 122,093 | |
| | 17,041 | | | Cia Siderurgica Nacional SA | | | 59,083 | |
| | 727,206 | | | Cielo SA | | | 1,360,740 | |
| | 4,551 | | | Cosan SA | | | 54,930 | |
| | 20,394 | | | Embraer SA | | | 88,386 | |
| | 5,411 | | | Energisa SA | | | 62,043 | |
| | 6,028 | | | Engie Brasil Energia SA | | | 65,465 | |
| | 5,034 | | | Equatorial Energia SA | | | 116,402 | |
| | 421,750 | | | Fleury SA | | | 2,443,894 | |
| | 11,971 | | | Hypera SA | | | 92,982 | |
| | 652,300 | | | International Meal Co. Alimentacao SA | | | 1,409,570 | |
| | 154,765 | | | IRB Brasil Resseguros SA | | | 4,054,325 | |
| | 32,529 | | | JBS SA | | | 232,790 | |
| | 21,853 | | | Klabin SA | | | 79,461 | |
| | 43,404 | | | Kroton Educacional SA | | | 105,635 | |
| | 17,067 | | | Localiza Rent a Car SA | | | 193,839 | |
| | 23,697 | | | Lojas Renner SA | | | 289,222 | |
| | 1,822 | | | M Dias Branco SA | | | 15,925 | |
| | 18,904 | | | Magazine Luiza SA | | | 165,637 | |
| | 781,200 | | | Movida Participacoes SA | | | 2,917,888 | |
| | 8,820 | | | Multiplan Empreendimentos Imobiliarios SA | | | 55,347 | |
| | 6,254 | | | Natura Cosméticos SA | | | 99,629 | |
| | 9,792 | | | Notre Dame Intermedica Participacoes SA | | | 132,585 | |
| | 21,233 | | | Petrobras Distribuidora SA | | | 147,645 | |
| | 90,732 | | | Petroleo Brasileiro SA | | | 619,302 | |
See Notes to Financial Statements.
134
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | Brazil — 6.7% — (continued) | |
| | 2,824 | | | Porto Seguro SA | | $ | 38,183 | |
| | 7,126 | | | Raia Drogasil SA | | | 158,357 | |
| | 367,578 | | | Rumo SA* | | | 1,961,363 | |
| | 6,835 | | | Sul America SA | | | 79,955 | |
| | 16,700 | | | Suzano SA | | | 117,254 | |
| | 26,912 | | | TIM Participações SA | | | 79,922 | |
| | 22,998 | | | Ultrapar Participações SA | | | 91,176 | |
| | 94,270 | | | Vale SA* | | | 1,037,215 | |
| | 26,201 | | | WEG SA | | | 142,337 | |
| | | | | | | | |
| | | | Total Brazil | | | 32,925,050 | |
| | | | | | | | |
|
| | Chile — 0.3% | |
| | 97,799 | | | Aguas Andinas SA, Class A Shares | | | 52,942 | |
| | 1,144,505 | | | Banco de Chile | | | 163,105 | |
| | 1,528 | | | Banco de Credito e Inversiones SA | | | 94,235 | |
| | 1,935,679 | | | Banco Santander Chile | | | 137,352 | |
| | 42,252 | | | Cencosud SA | | | 62,656 | |
| | 5,277 | | | Cia Cervecerias Unidas SA | | | 59,685 | |
| | 252,929 | | | Colbun SA | | | 44,518 | |
| | 4,335 | | | Empresa Nacional de Telecomunicaciones SA* | | | 37,814 | |
| | 31,677 | | | Empresas CMPC SA | | | 72,880 | |
| | 12,701 | | | Empresas COPEC SA | | | 114,432 | |
| | 1,150,114 | | | Enel Americas SA | | | 188,308 | |
| | 895,861 | | | Enel Chile SA | | | 76,133 | |
| | 3,934,534 | | | Itau CorpBanca | | | 30,252 | |
| | 8,654 | | | Latam Airlines Group SA | | | 71,733 | |
| | 22,952 | | | SACI Falabella | | | 128,382 | |
| | | | | | | | |
| | | | Total Chile | | | 1,334,427 | |
| | | | | | | | |
|
| | China — 25.7% | |
| | 44,000 | | | 3SBio Inc.*(b) | | | 67,426 | |
| | 838 | | | 51job Inc., ADR* | | | 60,277 | |
| | 2,762 | | | 58.com Inc., ADR* | | | 148,568 | |
| | 266,488 | | | AAC Technologies Holdings Inc. | | | 1,142,802 | |
| | 6,200 | | | AECC Aviation Power Co., Ltd., Class A Shares | | | 20,394 | |
| | 42,000 | | | Agile Group Holdings Ltd. | | | 53,374 | |
| | 110,300 | | | Agricultural Bank of China Ltd., Class A Shares | | | 52,363 | |
| | 855,000 | | | Agricultural Bank of China Ltd., Class H Shares(c) | | | 328,492 | |
| | 4,810 | | | Aier Eye Hospital Group Co., Ltd., Class A Shares | | | 22,670 | |
| | 60,000 | | | Air China Ltd., Class H Shares(c) | | | 51,628 | |
| | 104,602 | | | Alibaba Group Holding Ltd., ADR* | | | 18,308,488 | |
| | 2,179,000 | | | A-Living Services Co., Ltd., (Restricted, cost — $3,326,516, acquired 4/16/18), Class H Shares(b)(c)(d) | | | 4,246,171 | |
| | 31,400 | | | Aluminum Corp. of China Ltd., Class A Shares* | | | 15,780 | |
| | 120,000 | | | Aluminum Corp. of China Ltd., Class H Shares*(c) | | | 35,035 | |
| | 41,600 | | | Angang Steel Co., Ltd., Class H Shares(c) | | | 14,372 | |
| | 5,800 | | | Anhui Conch Cement Co., Ltd., Class A Shares | | | 31,923 | |
| | 455,837 | | | Anhui Conch Cement Co., Ltd., Class H Shares(c) | | | 2,556,165 | |
| | 308,000 | | | ANTA Sports Products Ltd. | | | 2,545,591 | |
| | 1,812 | | | Autohome Inc., ADR* | | | 157,934 | |
| | 10,200 | | | AVIC Aircraft Co., Ltd., Class A Shares | | | 22,883 | |
| | 76,000 | | | AviChina Industry & Technology Co., Ltd., Class H Shares(c) | | | 39,636 | |
| | 50,500 | | | BAIC Motor Corp., Ltd., Class H Shares(b)(c) | | | 28,240 | |
| | 23,030 | | | Baidu Inc., ADR* | | | 2,405,944 | |
| | 19,200 | | | Bank of Beijing Co., Ltd., Class A Shares | | | 14,073 | |
| | 58,930 | | | Bank of China Ltd., Class A Shares | | | 29,045 | |
| | 2,353,000 | | | Bank of China Ltd., Class H Shares(c) | | | 894,966 | |
See Notes to Financial Statements.
135
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | China — 25.7% — (continued) | |
| | 39,800 | | | Bank of Communications Co., Ltd., Class A Shares | | $ | 30,065 | |
| | 298,000 | | | Bank of Communications Co., Ltd., Class H Shares(c) | | | 194,254 | |
| | 15,300 | | | Bank of Jiangsu Co., Ltd., Class A Shares | | | 14,271 | |
| | 16,600 | | | Bank of Nanjing Co., Ltd., Class A Shares | | | 18,077 | |
| | 6,800 | | | Bank of Ningbo Co., Ltd., Class A Shares | | | 21,682 | |
| | 12,740 | | | Bank of Shanghai Co., Ltd., Class A Shares | | | 16,044 | |
| | 30,184 | | | Baoshan Iron & Steel Co., Ltd., Class A Shares | | | 24,484 | |
| | 109,227 | | | Baozun Inc., ADR*(a) | | | 4,998,228 | |
| | 75,000 | | | BBMG Corp., Class H Shares(c) | | | 21,255 | |
| | 5,200 | | | BeiGene Ltd., ADR* | | | 747,500 | |
| | 54,000 | | | Beijing Capital International Airport Co., Ltd., Class H Shares(c) | | | 45,199 | |
| | 3,900 | | | Beijing Shiji Information Technology Co., Ltd., Class A Shares | | | 18,509 | |
| | 30,800 | | | BOE Technology Group Co., Ltd., Class A Shares | | | 15,734 | |
| | 2,500 | | | BYD Co., Ltd., Class A Shares | | | 17,256 | |
| | 18,500 | | | BYD Co., Ltd., Class H Shares(a)(c) | | | 95,325 | |
| | 29,500 | | | BYD Electronic International Co., Ltd. | | | 35,142 | |
| | 334,000 | | | CGN Power Co., Ltd., Class H Shares(b)(c) | | | 87,954 | |
| | 35,000 | | | China Aoyuan Group Ltd. | | | 41,018 | |
| | 5,300 | | | China Avionics Systems Co., Ltd., Class A Shares | | | 11,076 | |
| | 255,000 | | | China Cinda Asset Management Co., Ltd., Class H Shares(c) | | | 52,812 | |
| | 284,000 | | | China CITIC Bank Corp., Ltd., Class H Shares(c) | | | 148,189 | |
| | 7,000 | | | China Coal Energy Co., Ltd., Class H Shares(c) | | | 2,771 | |
| | 159,000 | | | China Communications Construction Co., Ltd., Class H Shares(c) | | | 123,012 | |
| | 82,000 | | | China Communications Services Corp., Ltd., Class H Shares(c) | | | 45,667 | |
| | 51,500 | | | China Conch Venture Holdings Ltd. | | | 171,211 | |
| | 13,631,380 | | | China Construction Bank Corp., Class H Shares(c) | | | 10,077,887 | |
| | 40,000 | | | China Eastern Airlines Corp., Ltd., Class H Shares*(c) | | | 18,709 | |
| | 30,812 | | | China Everbright Bank Co., Ltd., Class A Shares | | | 16,176 | |
| | 145,000 | | | China Everbright Bank Co., Ltd., Class H Shares(c) | | | 60,338 | |
| | 56,000 | | | China Evergrande Group | | | 115,410 | |
| | 3,770 | | | China Fortune Land Development Co., Ltd., Class A Shares | | | 14,041 | |
| | 91,000 | | | China Galaxy Securities Co., Ltd., Class H Shares(c) | | | 43,148 | |
| | 45,500 | | | China Hongqiao Group Ltd. | | | 29,688 | |
| | 286,000 | | | China Huarong Asset Management Co., Ltd., Class H Shares(b)(c) | | | 44,713 | |
| | 102,000 | | | China Huishan Dairy Holdings Co., Ltd.*(e)(f) | | | 221 | |
| | 34,000 | | | China International Capital Corp., Ltd., Class H Shares(b)(c) | | | 58,436 | |
| | 1,836 | | | China International Travel Service Corp., Ltd., Class A Shares | | | 24,453 | |
| | 4,800 | | | China Life Insurance Co., Ltd., Class A Shares | | | 19,329 | |
| | 221,000 | | | China Life Insurance Co., Ltd., Class H Shares(c) | | | 513,427 | |
| | 8,600 | | | China Literature Ltd.*(b) | | | 26,217 | |
| | 98,000 | | | China Longyuan Power Group Corp., Ltd., Class H Shares(c) | | | 53,772 | |
| | 41,000 | | | China Medical System Holdings Ltd. | | | 50,885 | |
| | 27,500 | | | China Merchants Bank Co., Ltd., Class A Shares | | | 131,587 | |
| | 461,000 | | | China Merchants Bank Co., Ltd., Class H Shares(c) | | | 2,086,629 | |
| | 7,100 | | | China Merchants Securities Co., Ltd., Class A Shares | | | 15,837 | |
| | 6,420 | | | China Merchants Shekou Industrial Zone Holdings Co., Ltd., Class A Shares | | | 17,699 | |
| | 55,920 | | | China Minsheng Banking Corp., Ltd., Class A Shares | | | 45,363 | |
| | 192,700 | | | China Minsheng Banking Corp., Ltd., Class H Shares(c) | | | 126,500 | |
| | 26,600 | | | China Molybdenum Co., Ltd., Class A Shares | | | 13,319 | |
| | 108,000 | | | China Molybdenum Co., Ltd., Class H Shares(a)(c) | | | 29,175 | |
| | 114,000 | | | China National Building Material Co., Ltd., Class H Shares(c) | | | 97,183 | |
| | 18,900 | | | China National Nuclear Power Co., Ltd., Class A Shares | | | 14,223 | |
| | 50,000 | | | China Oilfield Services Ltd., Class H Shares(c) | | | 61,627 | |
| | 34,000 | | | China Oriental Group Co., Ltd. | | | 13,407 | |
| | 10,500 | | | China Pacific Insurance Group Co., Ltd., Class A Shares | | | 55,397 | |
| | 75,400 | | | China Pacific Insurance Group Co., Ltd., Class H Shares(c) | | | 300,514 | |
See Notes to Financial Statements.
136
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | China — 25.7% — (continued) | |
| | 38,900 | | | China Petroleum & Chemical Corp., Class A Shares | | $ | 27,098 | |
| | 768,000 | | | China Petroleum & Chemical Corp., Class H Shares(c) | | | 447,985 | |
| | 21,599 | | | China Railway Construction Corp., Ltd., Class A Shares | | | 27,438 | |
| | 60,500 | | | China Railway Construction Corp., Ltd., Class H Shares(c) | | | 65,132 | |
| | 27,800 | | | China Railway Group Ltd., Class A Shares | | | 23,326 | |
| | 118,000 | | | China Railway Group Ltd., Class H Shares(c) | | | 77,016 | |
| | 66,000 | | | China Railway Signal & Communication Corp., Ltd., Class H Shares(b)(c) | | | 39,390 | |
| | 193,000 | | | China Reinsurance Group Corp., Class H Shares(c) | | | 31,457 | |
| | 54,000 | | | China Resources Pharmaceutical Group Ltd.(b) | | | 55,599 | |
| | 6,299 | | | China Shenhua Energy Co., Ltd., Class A Shares | | | 16,467 | |
| | 703,500 | | | China Shenhua Energy Co., Ltd., Class H Shares(c) | | | 1,369,925 | |
| | 21,800 | | | China Shipbuilding Industry Co., Ltd., Class A Shares | | | 18,502 | |
| | 9,100 | | | China South Publishing & Media Group Co., Ltd., Class A Shares | | | 15,606 | |
| | 20,400 | | | China Southern Airlines Co., Ltd., Class A Shares | | | 18,706 | |
| | 44,000 | | | China Southern Airlines Co., Ltd., Class H Shares(c) | | | 24,556 | |
| | 1,100 | | | China Spacesat Co., Ltd., Class A Shares | | | 3,575 | |
| | 60,140 | | | China State Construction Engineering Corp., Ltd., Class A Shares | | | 45,926 | |
| | 430,000 | | | China Telecom Corp., Ltd., Class H Shares(c) | | | 192,175 | |
| | 1,234,000 | | | China Tower Corp., Ltd., Class H Shares(b)(c) | | | 279,964 | |
| | 45,400 | | | China United Network Communications Ltd., Class A Shares | | | 37,072 | |
| | 15,600 | | | China Vanke Co., Ltd., Class A Shares | | | 56,181 | |
| | 42,000 | | | China Vanke Co., Ltd., Class H Shares(c) | | | 144,566 | |
| | 30,600 | | | China Yangtze Power Co., Ltd., Class A Shares | | | 79,556 | |
| | 44,800 | | | China Zhongwang Holdings Ltd. | | | 18,330 | |
| | 8,800 | | | Chinese Universe Publishing & Media Group Co., Ltd., Class A Shares | | | 15,405 | |
| | 38,000 | | | Chongqing Rural Commercial Bank Co., Ltd., Class H Shares(c) | | | 18,332 | |
| | 2,700 | | | Chongqing Zhifei Biological Products Co., Ltd., Class A Shares | | | 18,003 | |
| | 84,000 | | | CIFI Holdings Group Co., Ltd. | | | 44,927 | |
| | 15,100 | | | CITIC Securities Co., Ltd., Class A Shares | | | 47,030 | |
| | 61,000 | | | CITIC Securities Co., Ltd., Class H Shares(c) | | | 108,535 | |
| | 1,582,442 | | | CNOOC Ltd. | | | 2,347,341 | |
| | 1,500 | | | Contemporary Amperex Technology Co., Ltd., Class A Shares | | | 15,120 | |
| | 36,000 | | | COSCO SHIPPING Energy Transportation Co., Ltd., Class H Shares(c) | | | 20,300 | |
| | 69,000 | | | COSCO SHIPPING Holdings Co., Ltd., Class H Shares*(c) | | | 24,539 | |
| | 235,000 | | | Country Garden Holdings Co., Ltd. | | | 290,158 | |
| | 40,000 | | | Country Garden Services Holdings Co., Ltd. | | | 115,272 | |
| | 39,299 | | | CRRC Corp., Ltd., Class A Shares | | | 39,942 | |
| | 129,000 | | | CRRC Corp., Ltd., Class H Shares(c) | | | 88,491 | |
| | 144,000 | | | CSPC Pharmaceutical Group Ltd. | | | 286,298 | |
| | 12,272 | | | Ctrip.com International Ltd., ADR* | | | 397,367 | |
| | 59,000 | | | Dali Foods Group Co., Ltd.(b) | | | 39,248 | |
| | 12,199 | | | Daqin Railway Co., Ltd., Class A Shares | | | 13,180 | |
| | 88,000 | | | Datang International Power Generation Co., Ltd., Class H Shares(c) | | | 19,261 | |
| | 15,500 | | | DHC Software Co., Ltd., Class A Shares | | | 14,820 | |
| | 86,000 | | | Dongfeng Motor Group Co., Ltd., Class H Shares(c) | | | 79,542 | |
| | 7,300 | | | East Money Information Co., Ltd., Class A Shares | | | 14,740 | |
| | 182,800 | | | ENN Energy Holdings Ltd. | | | 2,079,943 | |
| | 11,900 | | | Focus Media Information Technology Co., Ltd., Class A Shares | | | 8,920 | |
| | 3,200 | | | Foshan Haitian Flavouring & Food Co., Ltd., Class A Shares | | | 51,227 | |
| | 71,500 | | | Fosun International Ltd. | | | 91,546 | |
| | 16,400 | | | Founder Securities Co., Ltd., Class A Shares | | | 15,176 | |
| | 3,100 | | | Foxconn Industrial Internet Co., Ltd., Class A Shares | | | 6,149 | |
| | 3,133,300 | | | Fu Shou Yuan International Group Ltd. | | | 3,027,134 | |
| | 56,000 | | | Future Land Development Holdings Ltd.(a) | | | 44,081 | |
| | 17,600 | | | Fuyao Glass Industry Group Co., Ltd., Class H Shares(b)(c) | | | 50,027 | |
| | 44,300 | | | GD Power Development Co., Ltd., Class A Shares | | | 15,216 | |
See Notes to Financial Statements.
137
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | China — 25.7% — (continued) | |
| | 1,684 | | | GDS Holdings Ltd., ADR* | | $ | 67,933 | |
| | 9,300 | | | Gemdale Corp., Class A Shares | | | 14,579 | |
| | 26,000 | | | Genscript Biotech Corp.* | | | 57,984 | |
| | 8,200 | | | GF Securities Co., Ltd., Class A Shares* | | | 15,198 | |
| | 31,800 | | | GF Securities Co., Ltd., Class H Shares*(c) | | | 32,500 | |
| | 7,900 | | | GoerTek Inc., Class A Shares | | | 14,506 | |
| | 313,000 | | | GOME Retail Holdings Ltd.*(a) | | | 28,288 | |
| | 93,000 | | | Great Wall Motor Co., Ltd., Class H Shares(c) | | | 58,789 | |
| | 2,799 | | | Gree Electric Appliances Inc of Zhuhai, Class A Shares | | | 21,682 | |
| | 21,900 | | | Greenland Holdings Corp., Ltd., Class A Shares | | | 20,270 | |
| | 32,000 | | | Greentown Service Group Co., Ltd. | | | 29,170 | |
| | 30,000 | | | Guanghui Energy Co., Ltd., Class A Shares | | | 13,864 | |
| | 35,000 | | | Guangshen Railway Co., Ltd., Class A Shares | | | 15,169 | |
| | 9,400 | | | Guangzhou Automobile Group Co., Ltd., Class A Shares | | | 15,392 | |
| | 72,000 | | | Guangzhou Automobile Group Co., Ltd., Class H Shares(c) | | | 72,170 | |
| | 2,600 | | | Guangzhou Baiyunshan Pharmaceutical Holdings Co., Ltd., Class A Shares | | | 13,392 | |
| | 7,900 | | | Guangzhou Haige Communications Group Inc. Co., Class A Shares | | | 10,940 | |
| | 25,200 | | | Guangzhou R&F Properties Co., Ltd., Class H Shares(c) | | | 40,426 | |
| | 9,400 | | | Guosen Securities Co., Ltd., Class A Shares | | | 16,950 | |
| | 7,400 | | | Guotai Junan Securities Co., Ltd., Class A Shares | | | 17,651 | |
| | 29,600 | | | Guotai Junan Securities Co., Ltd., Class H Shares(b)(c) | | | 42,063 | |
| | 11,000 | | | Haidilao International Holding Ltd.(b) | | | 50,955 | |
| | 7,300 | | | Haier Smart Home Co., Ltd., Class A Shares | | | 16,202 | |
| | 16,000 | | | Haitian International Holdings Ltd. | | | 29,978 | |
| | 9,300 | | | Haitong Securities Co., Ltd., Class A Shares | | | 17,729 | |
| | 84,800 | | | Haitong Securities Co., Ltd., Class H Shares(c) | | | 80,340 | |
| | 13,800 | | | Hangzhou Hikvision Digital Technology Co., Ltd., Class A Shares | | | 59,537 | |
| | 249,000 | | | Hengan International Group Co., Ltd. | | | 1,631,860 | |
| | 10,778 | | | Hengli Petrochemical Co., Ltd., Class A Shares | | | 20,681 | |
| | 292,000 | | | HengTen Networks Group Ltd.*(a) | | | 4,637 | |
| | 10,600 | | | Hengtong Optic-electric Co., Ltd., Class A Shares | | | 21,178 | |
| | 2,300 | | | Hengyi Petrochemical Co., Ltd., Class A Shares | | | 3,627 | |
| | 43,300 | | | Hesteel Co., Ltd., Class A Shares | | | 15,477 | |
| | 1,299 | | | Hithink RoyalFlush Information Network Co., Ltd., Class A Shares | | | 16,139 | |
| | 14,000 | | | Hua Hong Semiconductor Ltd.(b) | | | 23,293 | |
| | 46,000 | | | Huadian Power International Corp., Ltd., Class H Shares(c) | | | 17,939 | |
| | 128,000 | | | Huaneng Power International Inc., Class H Shares(c) | | | 70,192 | |
| | 140,000 | | | Huaneng Renewables Corp., Ltd., Class H Shares(c)(e)(f) | | | 38,824 | |
| | 7,200 | | | Huatai Securities Co., Ltd., Class A Shares | | | 19,050 | |
| | 48,200 | | | Huatai Securities Co., Ltd., Class H Shares(b)(c) | | | 69,816 | |
| | 14,900 | | | Huaxia Bank Co., Ltd., Class A Shares | | | 15,056 | |
| | 5,800 | | | Huayu Automotive Systems Co., Ltd., Class A Shares | | | 20,175 | |
| | 39,218 | | | Huazhu Group Ltd., ADR | | | 1,295,371 | |
| | 7,200 | | | Hubei Energy Group Co., Ltd., Class A Shares | | | 4,051 | |
| | 1,600 | | | Hundsun Technologies Inc., Class A Shares | | | 16,590 | |
| | 56,200 | | | HUYA Inc., ADR* | | | 1,416,240 | |
| | 3,900 | | | Iflytek Co., Ltd., Class A Shares* | | | 17,909 | |
| | 82,200 | | | Industrial & Commercial Bank of China Ltd., Class A Shares | | | 61,861 | |
| | 1,923,000 | | | Industrial & Commercial Bank of China Ltd., Class H Shares(c) | | | 1,209,860 | |
| | 30,100 | | | Industrial Bank Co., Ltd., Class A Shares | | | 72,146 | |
| | 98,200 | | | Inner Mongolia BaoTou Steel Union Co., Ltd., Class A Shares | | | 20,565 | |
| | 32,800 | | | Inner Mongolia Junzheng Energy & Chemical Industry Group Co., Ltd., Class A Shares | | | 13,506 | |
| | 8,700 | | | Inner Mongolia Yili Industrial Group Co., Ltd., Class A Shares | | | 34,766 | |
| | 40,100 | | | Inner Mongolia Yitai Coal Co., Ltd., Class B Shares | | | 35,679 | |
| | 3,784 | | | iQIYI Inc., ADR*(a) | | | 69,209 | |
| | 22,013 | | | JD.com Inc., ADR* | | | 671,397 | |
See Notes to Financial Statements.
138
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | China — 25.7% — (continued) | |
| | 44,000 | | | Jiangsu Expressway Co., Ltd., Class H Shares(c) | | $ | 58,272 | |
| | 6,240 | | | Jiangsu Hengrui Medicine Co., Ltd., Class A Shares | | | 69,737 | |
| | 2,200 | | | Jiangsu Yanghe Brewery Joint-Stock Co., Ltd., Class A Shares | | | 34,369 | |
| | 11,800 | | | Jiangxi Copper Co., Ltd., Class A Shares | | | 23,572 | |
| | 29,000 | | | Jiangxi Copper Co., Ltd., Class H Shares(c) | | | 32,533 | |
| | 7,800 | | | Jointown Pharmaceutical Group Co., Ltd., Class A Shares | | | 14,516 | |
| | 55,000 | | | Kaisa Group Holdings Ltd. | | | 18,915 | |
| | 81,000 | | | Kingdee International Software Group Co., Ltd. | | | 72,826 | |
| | 27,000 | | | Kingsoft Corp., Ltd.* | | | 49,482 | |
| | 17,264 | | | Kweichow Moutai Co., Ltd., Class A Shares | | | 2,752,206 | |
| | 39,000 | | | KWG Group Holdings Ltd. | | | 33,811 | |
| | 8,500 | | | Legend Holdings Corp., Class H Shares(b)(c) | | | 18,246 | |
| | 204,000 | | | Lenovo Group Ltd. | | | 133,571 | |
| | 59,500 | | | Li Ning Co., Ltd. | | | 174,697 | |
| | 42,000 | | | Logan Property Holdings Co., Ltd. | | | 58,980 | |
| | 55,000 | | | Longfor Group Holdings Ltd.(b) | | | 195,475 | |
| | 4,600 | | | LONGi Green Energy Technology Co., Ltd., Class A Shares | | | 17,755 | |
| | 6,630 | | | Luxshare Precision Industry Co., Ltd., Class A Shares | | | 22,641 | |
| | 27,500 | | | Luye Pharma Group Ltd.(b) | | | 21,260 | |
| | 1,600 | | | Luzhou Laojiao Co., Ltd., Class A Shares | | | 21,637 | |
| | 33,400 | | | Maanshan Iron & Steel Co., Ltd., Class A Shares | | | 12,495 | |
| | 52,000 | | | Maanshan Iron & Steel Co., Ltd., Class H Shares(c) | | | 19,446 | |
| | 9,480 | | | Meinian Onehealth Healthcare Holdings Co., Ltd., Class A Shares | | | 16,410 | |
| | 51,500 | | | Meitu Inc.*(b) | | | 12,925 | |
| | 29,700 | | | Meituan Dianping, Class B Shares* | | | 280,520 | |
| | 36,900 | | | Metallurgical Corp. of China Ltd., Class A Shares | | | 14,166 | |
| | 82,000 | | | Metallurgical Corp. of China Ltd., Class H Shares(c) | | | 18,276 | |
| | 4,700 | | | Midea Group Co., Ltd., Class A Shares | | | 34,620 | |
| | 4,463 | | | Momo Inc., ADR | | | 164,149 | |
| | 1,900 | | | Muyuan Foodstuff Co., Ltd., Class A Shares | | | 21,325 | |
| | 5,900 | | | NARI Technology Co., Ltd., Class A Shares | | | 14,242 | |
| | 21,020 | | | NetEase Inc., ADR | | | 5,360,100 | |
| | 2,400 | | | New China Life Insurance Co., Ltd., Class A Shares | | | 16,154 | |
| | 25,700 | | | New China Life Insurance Co., Ltd., Class H Shares(c) | | | 100,776 | |
| | 6,400 | | | New Hope Liuhe Co., Ltd., Class A Shares | | | 17,429 | |
| | 9,253 | | | New Oriental Education & Technology Group Inc., ADR* | | | 1,049,290 | |
| | 20,753 | | | NIO Inc., ADR*(a) | | | 59,354 | |
| | 897 | | | Noah Holdings Ltd., ADR* | | | 26,910 | |
| | 11,300 | | | Orient Securities Co., Ltd./China, Class A Shares | | | 15,693 | |
| | 10,800 | | | Oriental Pearl Group Co., Ltd., Class A Shares | | | 14,075 | |
| | 256,000 | | | People’s Insurance Co. Group of China Ltd., Class H Shares(c) | | | 99,923 | |
| | 21,700 | | | PetroChina Co., Ltd., Class A Shares | | | 18,562 | |
| | 624,000 | | | PetroChina Co., Ltd., Class H Shares(c) | | | 307,210 | |
| | 204,000 | | | PICC Property & Casualty Co., Ltd., Class H Shares(c) | | | 232,858 | |
| | 5,607 | | | Pinduoduo Inc., ADR* | | | 183,741 | |
| | 25,100 | | | Ping An Bank Co., Ltd., Class A Shares | | | 49,608 | |
| | 96,000 | | | Ping An Healthcare & Technology Co., Ltd., (Restricted, cost — $488,251, acquired 8/9/19)*(a)(b)(d) | | | 565,976 | |
| | 14,200 | | | Ping An Insurance Group Co. of China Ltd., Class A Shares | | | 173,068 | |
| | 1,054,500 | | | Ping An Insurance Group Co. of China Ltd., Class H Shares(c) | | | 12,017,624 | |
| | 18,000 | | | Poly Developments & Holdings Group Co., Ltd., Class A Shares | | | 33,794 | |
| | 239,000 | | | Postal Savings Bank of China Co., Ltd., Class H Shares(b)(c) | | | 143,769 | |
| | 22,300 | | | Power Construction Corp. of China Ltd., Class A Shares | | | 14,564 | |
| | 7,700 | | | Rongsheng Petro Chemical Co., Ltd., Class A Shares | | | 11,663 | |
| | 11,800 | | | SAIC Motor Corp., Ltd., Class A Shares | | | 41,314 | |
| | 9,400 | | | Sany Heavy Industry Co., Ltd., Class A Shares | | | 17,674 | |
| | 8,700 | | | SDIC Capital Co., Ltd., Class A Shares | | | 16,039 | |
See Notes to Financial Statements.
139
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | China — 25.7% — (continued) | |
| | 12,700 | | | SDIC Power Holdings Co., Ltd., Class A Shares | | $ | 17,182 | |
| | 3,100 | | | Seazen Holdings Co., Ltd., Class A Shares | | | 10,747 | |
| | 90,200 | | | Semiconductor Manufacturing International Corp.*(a) | | | 98,747 | |
| | 4,100 | | | SF Holding Co., Ltd., Class A Shares | | | 23,710 | |
| | 12,300 | | | Shaanxi Coal Industry Co., Ltd., Class A Shares | | | 15,330 | |
| | 68,000 | | | Shandong Weigao Group Medical Polymer Co., Ltd., Class H Shares(c) | | | 69,828 | |
| | 36,900 | | | Shanghai Electric Group Co., Ltd., Class A Shares | | | 26,269 | |
| | 4,800 | | | Shanghai Fosun Pharmaceutical Group Co., Ltd., Class A Shares | | | 18,526 | |
| | 14,000 | | | Shanghai Fosun Pharmaceutical Group Co., Ltd., Class H Shares(c) | | | 41,395 | |
| | 2,000 | | | Shanghai International Airport Co., Ltd., Class A Shares | | | 23,465 | |
| | 17,999 | | | Shanghai International Port Group Co., Ltd., Class A Shares | | | 14,417 | |
| | 32,520 | | | Shanghai Lujiazui Finance & Trade Zone Development Co., Ltd., Class B Shares | | | 36,449 | |
| | 29,000 | | | Shanghai Pharmaceuticals Holding Co., Ltd., Class H Shares(c) | | | 54,686 | |
| | 42,300 | | | Shanghai Pudong Development Bank Co., Ltd., Class A Shares | | | 66,613 | |
| | 48,700 | | | Shenwan Hongyuan Group Co., Ltd., Class A Shares | | | 32,495 | |
| | 700 | | | Shenzhen Mindray Bio-Medical Electronics Co., Ltd., Class A Shares | | | 18,209 | |
| | 15,200 | | | Shenzhen Overseas Chinese Town Co., Ltd., Class A Shares | | | 14,449 | |
| | 120,000 | | | Shenzhou International Group Holdings Ltd. | | | 1,621,561 | |
| | 104,000 | | | Shui On Land Ltd. | | | 21,521 | |
| | 96,000 | | | Sihuan Pharmaceutical Holdings Group Ltd. | | | 16,991 | |
| | 1,870 | | | SINA Corp.* | | | 76,988 | |
| | 12,200 | | | Sinolink Securities Co., Ltd., Class A Shares | | | 14,949 | |
| | 106,000 | | | Sino-Ocean Group Holding Ltd. | | | 37,761 | |
| | 37,500 | | | Sinopec Engineering Group Co., Ltd., Class H Shares(c) | | | 24,449 | |
| | 88,000 | | | Sinopec Shanghai Petrochemical Co., Ltd., Class H Shares(c) | | | 25,292 | |
| | 37,200 | | | Sinopharm Group Co., Ltd., Class H Shares(c) | | | 134,057 | |
| | 58,000 | | | Sinotrans Ltd., Class H Shares(c) | | | 18,642 | |
| | 20,000 | | | Sinotruk Hong Kong Ltd. | | | 30,710 | |
| | 52,500 | | | SOHO China Ltd. | | | 15,376 | |
| | 75,000 | | | Sunac China Holdings Ltd. | | | 298,541 | |
| | 9,100 | | | Suning.com Co., Ltd., Class A Shares | | | 13,643 | |
| | 21,100 | | | Sunny Optical Technology Group Co., Ltd. | | | 289,092 | |
| | 11,133 | | | TAL Education Group, ADR* | | | 396,669 | |
| | 35,700 | | | TCL Corp., Class A Shares | | | 16,045 | |
| | 390,031 | | | Tencent Holdings Ltd. | | | 16,062,401 | |
| | 41,719 | | | Tencent Music Entertainment Group, ADR*(a) | | | 554,863 | |
| | 60,000 | | | Tingyi Cayman Islands Holding Corp. | | | 82,293 | |
| | 16,000 | | | Tong Ren Tang Technologies Co., Ltd., Class H Shares(c) | | | 17,353 | |
| | 3,700 | | | Transfar Zhilian Co., Ltd., Class A Shares | | | 3,796 | |
| | 30,000 | | | TravelSky Technology Ltd., Class H Shares(c) | | | 60,009 | |
| | 14,000 | | | Tsingtao Brewery Co., Ltd., Class H Shares(c) | | | 94,051 | |
| | 20,800 | | | Tunghsu Optoelectronic Technology Co., Ltd., Class A Shares | | | 13,210 | |
| | 37,000 | | | Uni-President China Holdings Ltd. | | | 41,062 | |
| | 13,167 | | | Vipshop Holdings Ltd., ADR* | | | 110,208 | |
| | 4,700 | | | Wanhua Chemical Group Co., Ltd., Class A Shares | | | 29,330 | |
| | 157,000 | | | Want Want China Holdings Ltd. | | | 121,747 | |
| | 1,770 | | | Weibo Corp., ADR* | | | 73,225 | |
| | 11,600 | | | Weichai Power Co., Ltd., Class A Shares | | | 18,746 | |
| | 1,964,200 | | | Weichai Power Co., Ltd., Class H Shares(c) | | | 2,989,515 | |
| | 7,500 | | | Wens Foodstuffs Group Co., Ltd., Class A Shares | | | 43,413 | |
| | 11,400 | | | Western Securities Co., Ltd., Class A Shares | | | 14,226 | |
| | 5,400 | | | Wuliangye Yibin Co., Ltd., Class A Shares | | | 106,655 | |
| | 2,300 | | | WuXi AppTec Co., Ltd., Class A Shares | | | 27,835 | |
| | 4,600 | | | WuXi AppTec Co., Ltd., Class H Shares(b)(c) | | | 51,394 | |
| | 17,000 | | | Wuxi Biologics Cayman Inc.*(b) | | | 178,383 | |
| | 233,400 | | | Xiaomi Corp., Class B Shares*(b) | | | 252,891 | |
See Notes to Financial Statements.
140
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | China — 25.7% — (continued) | |
| | 10,200 | | | Xinjiang Goldwind Science & Technology Co., Ltd., Class A Shares | | $ | 18,439 | |
| | 16,982 | | | Xinjiang Goldwind Science & Technology Co., Ltd., Class H Shares(c) | | | 19,936 | |
| | 96,000 | | | Xinyi Solar Holdings Ltd. | | | 60,346 | |
| | 58,000 | | | Yanzhou Coal Mining Co., Ltd., Class H Shares(c) | | | 50,040 | |
| | 30,000 | | | Yifeng Pharmacy Chain Co., Ltd., Class A Shares | | | 320,666 | |
| | 58,000 | | | Yihai International Holding Ltd.* | | | 346,380 | |
| | 11,000 | | | Yonghui Superstores Co., Ltd., Class A Shares | | | 15,126 | |
| | 4,100 | | | Yonyou Network Technology Co., Ltd., Class A Shares | | | 18,351 | |
| | 10,735 | | | Yum China Holdings Inc. | | | 487,691 | |
| | 3,200 | | | Yunda Holding Co., Ltd., Class A Shares | | | 16,405 | |
| | 1,400 | | | Yunnan Baiyao Group Co., Ltd., Class A Shares | | | 14,992 | |
| | 48,000 | | | Yuzhou Properties Co., Ltd. | | | 20,138 | |
| | 1,609 | | | YY Inc., ADR* | | | 91,954 | |
| | 27,000 | | | Zhaojin Mining Industry Co., Ltd., Class H Shares(c) | | | 35,657 | |
| | 29,400 | | | Zhejiang China Commodities City Group Co., Ltd., Class A Shares | | | 15,636 | |
| | 6,400 | | | Zhejiang Dahua Technology Co., Ltd., Class A Shares | | | 14,341 | |
| | 36,000 | | | Zhejiang Expressway Co., Ltd., Class H Shares(c) | | | 30,053 | |
| | 7,900 | | | Zhejiang Longsheng Group Co., Ltd., Class A Shares | | | 15,379 | |
| | 8,100 | | | ZhongAn Online P&C Insurance Co., Ltd., Class H Shares*(a)(b)(c) | | | 18,196 | |
| | 11,600 | | | Zhongjin Gold Corp., Ltd., Class A Shares | | | 15,866 | |
| | 16,500 | | | Zhongsheng Group Holdings Ltd. | | | 51,380 | |
| | 17,900 | | | Zhuzhou CRRC Times Electric Co., Ltd., Class H Shares(c) | | | 71,027 | |
| | 30,500 | | | Zijin Mining Group Co., Ltd., Class A Shares | | | 15,637 | |
| | 200,000 | | | Zijin Mining Group Co., Ltd., Class H Shares(c) | | | 75,048 | |
| | 6,400 | | | ZTE Corp., Class A Shares* | | | 25,725 | |
| | 19,000 | | | ZTE Corp., Class H Shares*(c) | | | 46,811 | |
| | 9,384 | | | ZTO Express Cayman Inc., ADR | | | 192,466 | |
| | | | | | | | |
| | | | Total China | | | 126,535,193 | |
| | | | | | | | |
|
| | Colombia — 0.1% | |
| | 7,032 | | | Bancolombia SA | | | 80,847 | |
| | 16,471 | | | Cementos Argos SA | | | 36,744 | |
| | 144,135 | | | Ecopetrol SA | | | 114,717 | |
| | 10,526 | | | Grupo Argos SA | | | 55,035 | |
| | 7,067 | | | Grupo de Inversiones Suramericana SA | | | 68,768 | |
| | 11,971 | | | Interconexion Electrica SA ESP | | | 63,217 | |
| | | | | | | | |
| | | | Total Colombia | | | 419,328 | |
| | | | | | | | |
|
| | Czech Republic — 0.1% | |
| | 4,436 | | | CEZ AS | | | 97,698 | |
| | 2,334 | | | Komercní Banka AS | | | 82,789 | |
| | 15,820 | | | Moneta Money Bank AS(b) | | | 51,204 | |
| | | | | | | | |
| | | | Total Czech Republic | | | 231,691 | |
| | | | | | | | |
|
| | Egypt — 1.3% | |
| | 1,744,492 | | | Cleopatra Hospital* | | | 661,704 | |
| | 984,629 | | | Commercial International Bank Egypt SAE, Class Registered Shares, GDR | | | 4,578,882 | |
| | 38,937 | | | Commercial International Bank Egypt SAE | | | 189,388 | |
| | 22,745 | | | Eastern Co. SAE | | | 21,190 | |
| | 21,328 | | | ElSewedy Electric Co. | | | 17,999 | |
| | 1,244,156 | | | Juhayna Food Industries | | | 745,140 | |
| | | | | | | | |
| | | | Total Egypt | | | 6,214,303 | |
| | | | | | | | |
|
| | Georgia — 0.4% | |
| | 86,700 | | | Bank of Georgia Group PLC | | | 1,437,388 | |
| | 61,700 | | | Georgia Capital PLC* | | | 749,070 | |
| | | | | | | | |
| | | | Total Georgia | | | 2,186,458 | |
| | | | | | | | |
See Notes to Financial Statements.
141
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | Germany — 0.5% | |
| | 46,600 | | | Delivery Hero SE, (Restricted, cost — $1,952,024, acquired 2/26/19)*(b)(d) | | $ | 2,353,804 | |
| | | | | | | | |
|
| | Greece — 0.1% | |
| | 44,403 | | | Alpha Bank AE* | | | 79,315 | |
| | 76,270 | | | Eurobank Ergasias SA* | | | 67,336 | |
| | 1,594 | | | FF Group*(e)(f) | | | 18 | |
| | 6,598 | | | Hellenic Telecommunications Organization SA | | | 87,991 | |
| | 3,378 | | | JUMBO SA | | | 64,840 | |
| | 2,000 | | | Motor Oil Hellas Corinth Refineries SA | | | 48,857 | |
| | 16,299 | | | National Bank of Greece SA* | | | 47,130 | |
| | 7,444 | | | OPAP SA | | | 78,433 | |
| | | | | | | | |
| | | | Total Greece | | | 473,920 | |
| | | | | | | | |
|
| | Hong Kong — 3.4% | |
| | 124,000 | | | Alibaba Health Information Technology Ltd.* | | | 116,930 | |
| | 440,000 | | | Alibaba Pictures Group Ltd.* | | | 72,085 | |
| | 177,800 | | | ASM Pacific Technology Ltd. | | | 2,029,069 | |
| | 13,000 | | | Beijing Enterprises Holdings Ltd. | | | 61,772 | |
| | 3,491,500 | | | Beijing Enterprises Water Group Ltd.* | | | 1,826,533 | |
| | 92,000 | | | Bosideng International Holdings Ltd. | | | 31,442 | |
| | 96,000 | | | Brilliance China Automotive Holdings Ltd. | | | 101,399 | |
| | 60,000 | | | China Agri-Industries Holdings Ltd. | | | 16,868 | |
| | 24,000 | | | China Ding Yi Feng Holdings Ltd.(e)(f) | | | 337 | |
| | 1,084,000 | | | China Education Group Holdings Ltd., (Restricted, cost — $1,675,275, acquired 3/22/19)(a)(d) | | | 1,607,280 | |
| | 106,888 | | | China Everbright International Ltd. | | | 83,506 | |
| | 24,000 | | | China Everbright Ltd. | | | 27,293 | |
| | 84,000 | | | China First Capital Group Ltd.* | | | 32,078 | |
| | 55,600 | | | China Gas Holdings Ltd. | | | 229,093 | |
| | 156,000 | | | China Jinmao Holdings Group Ltd. | | | 86,680 | |
| | 81,000 | | | China Mengniu Dairy Co., Ltd.* | | | 320,244 | |
| | 53,538 | | | China Merchants Port Holdings Co., Ltd. | | | 83,330 | |
| | 183,000 | | | China Mobile Ltd. | | | 1,513,123 | |
| | 56,937 | | | China Mobile Ltd., ADR | | | 2,352,067 | |
| | 114,000 | | | China Overseas Land & Investment Ltd. | | | 358,930 | |
| | 92,000 | | | China Power International Development Ltd. | | | 19,904 | |
| | 44,000 | | | China Resources Beer Holdings Co., Ltd. | | | 248,849 | |
| | 76,000 | | | China Resources Cement Holdings Ltd. | | | 67,093 | |
| | 28,000 | | | China Resources Gas Group Ltd. | | | 138,313 | |
| | 82,000 | | | China Resources Land Ltd. | | | 331,570 | |
| | 60,000 | | | China Resources Power Holdings Co., Ltd. | | | 79,166 | |
| | 66,000 | | | China State Construction International Holdings Ltd. | | | 59,331 | |
| | 48,800 | | | China Taiping Insurance Holdings Co., Ltd. | | | 109,219 | |
| | 72,000 | | | China Traditional Chinese Medicine Holdings Co., Ltd. | | | 33,669 | |
| | 184,000 | | | China Unicom Hong Kong Ltd. | | | 182,467 | |
| | 176,000 | | | CITIC Ltd. | | | 207,779 | |
| | 46,000 | | | COSCO SHIPPING Ports Ltd. | | | 40,160 | |
| | 70,000 | | | Far East Horizon Ltd. | | | 62,478 | |
| | 407,400 | | | Galaxy Entertainment Group Ltd. | | | 2,537,783 | |
| | 154,000 | | | Geely Automobile Holdings Ltd. | | | 236,418 | |
| | 88,000 | | | Guangdong Investment Ltd. | | | 185,140 | |
| | 37,000 | | | Haier Electronics Group Co., Ltd. | | | 95,821 | |
| | 1,651 | | | Hutchison China MediTech Ltd., ADR* | | | 35,975 | |
| | 17,500 | | | Kingboard Holdings Ltd. | | | 40,794 | |
| | 31,000 | | | Kingboard Laminates Holdings Ltd. | | | 24,330 | |
| | 106,000 | | | Kunlun Energy Co., Ltd. | | | 92,045 | |
| | 49,000 | | | Lee & Man Paper Manufacturing Ltd. | | | 25,856 | |
| | 54,000 | | | Nine Dragons Paper Holdings Ltd. | | | 40,752 | |
See Notes to Financial Statements.
142
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | Hong Kong — 3.4% — (continued) | |
| | 12,000 | | | Shanghai Industrial Holdings Ltd. | | $ | 23,339 | |
| | 26,000 | | | Shenzhen International Holdings Ltd. | | | 49,053 | |
| | 80,000 | | | Shenzhen Investment Ltd. | | | 30,234 | |
| | 32,500 | | | Shimao Property Holdings Ltd. | | | 91,416 | |
| | 202,500 | | | Sino Biopharmaceutical Ltd. | | | 299,368 | |
| | 50,000 | | | SSY Group Ltd. | | | 43,933 | |
| | 76,500 | | | Sun Art Retail Group Ltd. | | | 74,018 | |
| | 30,000 | | | Towngas China Co., Ltd.* | | | 20,710 | |
| | 196,000 | | | Yuexiu Property Co., Ltd. | | | 42,087 | |
| | | | | | | | |
| | | | Total Hong Kong | | | 16,519,129 | |
| | | | | | | | |
|
| | Hungary — 1.0% | |
| | 12,471 | | | MOL Hungarian Oil & Gas PLC | | | 121,964 | |
| | 116,215 | | | OTP Bank Nyrt | | | 4,624,804 | |
| | 4,013 | | | Richter Gedeon Nyrt | | | 66,950 | |
| | | | | | | | |
| | | | Total Hungary | | | 4,813,718 | |
| | | | | | | | |
|
| | India — 10.0% | |
| | 15,996 | | | Adani Ports & Special Economic Zone Ltd. | | | 81,610 | |
| | 18,748 | | | Ambuja Cements Ltd. | | | 52,947 | |
| | 38,179 | | | Ashok Leyland Ltd. | | | 34,368 | |
| | 8,651 | | | Asian Paints Ltd. | | | 196,023 | |
| | 7,984 | | | Aurobindo Pharma Ltd. | | | 67,403 | |
| | 3,592 | | | Avenue Supermarts Ltd., Class A Shares*(b) | | | 79,149 | |
| | 256,131 | | | Axis Bank Ltd. | | | 2,382,782 | |
| | 38,598 | | | Bajaj Auto Ltd. | | | 1,503,260 | |
| | 5,087 | | | Bajaj Finance Ltd. | | | 236,657 | |
| | 1,172 | | | Bajaj Finserv Ltd. | | | 116,672 | |
| | 6,110 | | | Bharat Forge Ltd. | | | 32,893 | |
| | 255,613 | | | Bharat Petroleum Corp., Ltd. | | | 1,271,615 | |
| | 60,439 | | | Bharti Airtel Ltd. | | | 293,169 | |
| | 91,279 | | | Bharti Infratel Ltd. | | | 318,537 | |
| | 224 | | | Bosch Ltd. | | | 45,030 | |
| | 1,355 | | | Britannia Industries Ltd. | | | 51,309 | |
| | 574,400 | | | Cholamandalam Investment & Finance Co., Ltd. | | | 2,172,057 | |
| | 10,212 | | | Cipla Ltd. | | | 67,612 | |
| | 410,241 | | | Coal India Ltd. | | | 1,058,285 | |
| | 6,095 | | | Container Corp. Of India Ltd. | | | 43,472 | |
| | 17,075 | | | Dabur India Ltd. | | | 106,997 | |
| | 2,337 | | | Divi’s Laboratories Ltd. | | | 53,670 | |
| | 3,476 | | | Dr Reddy’s Laboratories Ltd. | | | 124,453 | |
| | 361 | | | Eicher Motors Ltd. | | | 81,942 | |
| | 48,168 | | | GAIL India Ltd. | | | 87,923 | |
| | 3,495 | | | Glenmark Pharmaceuticals Ltd. | | | 18,919 | |
| | 9,201 | | | Godrej Consumer Products Ltd. | | | 78,458 | |
| | 6,770 | | | Grasim Industries Ltd. | | | 67,266 | |
| | 476,446 | | | GRUH Finance Ltd. | | | 1,710,167 | |
| | 7,396 | | | Havells India Ltd. | | | 70,423 | |
| | 148,472 | | | HCL Technologies Ltd. | | | 2,285,529 | |
| | 113,500 | | | HDFC Bank Ltd. | | | 3,538,424 | |
| | 38,520 | | | HDFC Bank Ltd., ADR | | | 4,152,456 | |
| | 14,501 | | | HDFC Life Insurance Co., Ltd.(b) | | | 112,812 | |
| | 56,838 | | | Hero MotoCorp Ltd. | | | 2,028,435 | |
| | 36,951 | | | Hindalco Industries Ltd. | | | 95,149 | |
| | 17,094 | | | Hindustan Petroleum Corp., Ltd. | | | 62,147 | |
| | 19,412 | | | Hindustan Unilever Ltd. | | | 511,081 | |
See Notes to Financial Statements.
143
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | India — 10.0% — (continued) | |
| | 48,840 | | | Housing Development Finance Corp., Ltd. | | $ | 1,478,181 | |
| | 69,019 | | | ICICI Bank Ltd. | | | 396,833 | |
| | 4,471 | | | ICICI Lombard General Insurance Co., Ltd.(b) | | | 78,044 | |
| | 8,567 | | | Indiabulls Housing Finance Ltd. | | | 54,042 | |
| | 52,879 | | | Indian Oil Corp., Ltd. | | | 90,407 | |
| | 102,975 | | | Infosys Ltd. | | | 1,173,448 | |
| | 160,700 | | | Infosys Ltd., ADR | | | 1,846,443 | |
| | 2,780 | | | InterGlobe Aviation Ltd.(b) | | | 65,531 | |
| | 103,814 | | | ITC Ltd. | | | 356,531 | |
| | 26,301 | | | JSW Steel Ltd. | | | 79,988 | |
| | 14,771 | | | Larsen & Toubro Ltd. | | | 274,438 | |
| | 1,634,423 | | | Lemon Tree Hotels Ltd., (Restricted, cost — $1,316,598, acquired 8/29/19)*(b)(d) | | | 1,241,058 | |
| | 9,402 | | | LIC Housing Finance Ltd. | | | 56,004 | |
| | 5,248 | | | Lupin Ltd. | | | 54,578 | |
| | 10,185 | | | Mahindra & Mahindra Financial Services Ltd. | | | 45,505 | |
| | 22,086 | | | Mahindra & Mahindra Ltd. | | | 163,670 | |
| | 12,963 | | | Marico Ltd. | | | 71,013 | |
| | 3,100 | | | Maruti Suzuki India Ltd. | | | 264,409 | |
| | 28,021 | | | Motherson Sumi Systems Ltd. | | | 38,354 | |
| | 734 | | | Nestle India Ltd. | | | 132,428 | |
| | 67,310 | | | NTPC Ltd. | | | 114,814 | |
| | 82,986 | | | Oberoi Realty Ltd. | | | 659,858 | |
| | 777,695 | | | Oil & Natural Gas Corp., Ltd. | | | 1,317,407 | |
| | 169 | | | Page Industries Ltd. | | | 44,139 | |
| | 17,509 | | | Petronet LNG Ltd. | | | 65,408 | |
| | 172,000 | | | Phoenix Mills Ltd. | | | 1,680,510 | |
| | 3,802 | | | Pidilite Industries Ltd. | | | 73,241 | |
| | 2,660 | | | Piramal Enterprises Ltd. | | | 76,145 | |
| | 53,682 | | | Power Grid Corp. of India Ltd. | | | 151,092 | |
| | 59,900 | | | Quess Corp., Ltd., (Restricted, cost — $880,093, acquired 2/1/18)*(b)(d) | | | 397,438 | |
| | 24,982 | | | REC Ltd. | | | 50,664 | |
| | 158,015 | | | Reliance Industries Ltd. | | | 2,769,671 | |
| | 175 | | | Shree Cement Ltd. | | | 45,513 | |
| | 4,900 | | | Shriram Transport Finance Co., Ltd. | | | 66,073 | |
| | 54,749 | | | State Bank of India* | | | 209,096 | |
| | 26,194 | | | Sun Pharmaceutical Industries Ltd. | | | 165,679 | |
| | 131,703 | | | Tata Consultancy Services Ltd. | | | 4,161,079 | |
| | 47,880 | | | Tata Motors Ltd.* | | | 77,834 | |
| | 25,911 | | | Tata Power Co., Ltd. | | | 20,532 | |
| | 10,143 | | | Tata Steel Ltd. | | | 49,058 | |
| | 13,080 | | | Tech Mahindra Ltd. | | | 127,350 | |
| | 129,566 | | | Titan Co., Ltd. | | | 1,995,833 | |
| | 2,906 | | | UltraTech Cement Ltd. | | | 164,262 | |
| | 6,785 | | | United Spirits Ltd.* | | | 60,042 | |
| | 143,706 | | | UPL Ltd. | | | 1,131,882 | |
| | 56,784 | | | Vedanta Ltd. | | | 110,906 | |
| | 179,029 | | | Vodafone Idea Ltd.* | | | 13,518 | |
| | 37,398 | | | Wipro Ltd. | | | 132,890 | |
| | 51,506 | | | Yes Bank Ltd. | | | 43,651 | |
| | 14,789 | | | Zee Entertainment Enterprises Ltd. | | | 77,741 | |
| | | | | | | | |
| | | | Total India | | | 49,305,332 | |
| | | | | | | | |
|
| | Indonesia — 3.4% | |
| | 482,500 | | | Adaro Energy Tbk PT | | | 38,158 | |
| | 4,721,200 | | | Astra International Tbk PT | | | 2,215,365 | |
| | 287,900 | | | Bank Central Asia Tbk PT | | | 617,041 | |
See Notes to Financial Statements.
144
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | Indonesia — 3.4% — (continued) | |
| | 6,539,624 | | | Bank Mandiri Persero Tbk PT | | $ | 3,328,251 | |
| | 211,400 | | | Bank Negara Indonesia Persero Tbk PT | | | 114,297 | |
| | 10,260,200 | | | Bank Rakyat Indonesia Persero Tbk PT | | | 3,076,429 | |
| | 128,800 | | | Bank Tabungan Negara Persero Tbk PT | | | 18,085 | |
| | 9,720,000 | | | Bank Tabungan Pensiunan Nasional Syariah Tbk PT* | | | 2,205,775 | |
| | 911,500 | | | Barito Pacific Tbk PT | | | 57,966 | |
| | 73,600 | | | Bukit Asam Tbk PT | | | 12,776 | |
| | 223,800 | | | Bumi Serpong Damai Tbk PT* | | | 21,216 | |
| | 231,100 | | | Charoen Pokphand Indonesia Tbk PT | | | 81,575 | |
| | 14,300 | | | Gudang Garam Tbk PT | | | 70,018 | |
| | 242,700 | | | Hanjaya Mandala Sampoerna Tbk PT | | | 45,900 | |
| | 77,100 | | | Indah Kiat Pulp & Paper Corp. Tbk PT | | | 37,041 | |
| | 57,500 | | | Indocement Tunggal Prakarsa Tbk PT | | | 87,688 | |
| | 69,500 | | | Indofood CBP Sukses Makmur Tbk PT | | | 58,958 | |
| | 137,000 | | | Indofood Sukses Makmur Tbk PT | | | 76,305 | |
| | 54,967 | | | Jasa Marga Persero Tbk PT | | | 21,633 | |
| | 715,400 | | | Kalbe Farma Tbk PT | | | 85,070 | |
| | 42,400 | | | Pabrik Kertas Tjiwi Kimia Tbk PT | | | 29,604 | |
| | 615,200 | | | Pakuwon Jati Tbk PT | | | 27,681 | |
| | 365,400 | | | Perusahaan Gas Negara Tbk PT | | | 49,351 | |
| | 663,200 | | | Semen Indonesia Persero Tbk PT | | | 616,482 | |
| | 254,800 | | | Surya Citra Media Tbk PT | | | 22,110 | |
| | 1,465,187 | | | Telekomunikasi Indonesia Persero Tbk PT | | | 460,251 | |
| | 98,350 | | | Telekomunikasi Indonesia Persero Tbk PT, ADR | | | 3,090,157 | |
| | 46,700 | | | Unilever Indonesia Tbk PT | | | 160,475 | |
| | 53,300 | | | United Tractors Tbk PT | | | 78,501 | |
| | | | | | | | |
| | | | Total Indonesia | | | 16,804,159 | |
| | | | | | | | |
|
| | Kenya — 0.3% | |
| | 5,624,000 | | | Safaricom PLC | | | 1,525,902 | |
| | | | | | | | |
|
| | Kuwait — 0.3% | |
| | 127,000 | | | Humansoft Holding Co. KSC | | | 1,339,922 | |
| | | | | | | | |
|
| | Luxembourg — 0.2% | |
| | 4,430 | | | Reinet Investments SCA | | | 74,011 | |
| | 63,000 | | | Ternium SA, ADR | | | 1,112,580 | |
| | | | | | | | |
| | | | Total Luxembourg | | | 1,186,591 | |
| | | | | | | | |
|
| | Malaysia — 1.3% | |
| | 46,100 | | | AirAsia Group Bhd | | | 19,595 | |
| | 25,600 | | | Alliance Bank Malaysia Bhd | | | 18,259 | |
| | 46,100 | | | AMMB Holdings Bhd | | | 45,970 | |
| | 77,700 | | | Axiata Group Bhd | | | 93,285 | |
| | 150,253 | | | British American Tobacco Malaysia Bhd | | | 704,059 | |
| | 148,207 | | | CIMB Group Holdings Bhd | | | 178,144 | |
| | 111,600 | | | Dialog Group Bhd | | | 92,205 | |
| | 88,700 | | | DiGi.Com Bhd | | | 105,761 | |
| | 5,500 | | | Fraser & Neave Holdings Bhd | | | 46,130 | |
| | 56,200 | | | Gamuda Bhd | | | 48,061 | |
| | 57,500 | | | Genting Bhd | | | 81,919 | |
| | 80,300 | | | Genting Malaysia Bhd | | | 59,808 | |
| | 5,900 | | | Genting Plantations Bhd | | | 14,030 | |
| | 20,100 | | | HAP Seng Consolidated Bhd | | | 47,334 | |
| | 37,200 | | | Hartalega Holdings Bhd | | | 45,303 | |
| | 21,000 | | | Hong Leong Bank Bhd | | | 82,731 | |
| | 7,300 | | | Hong Leong Financial Group Bhd | | | 29,232 | |
| | 65,500 | | | IHH Healthcare Bhd | | | 90,002 | |
See Notes to Financial Statements.
145
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | Malaysia — 1.3% — (continued) | |
| | 86,800 | | | IJM Corp. Bhd | | $ | 46,931 | |
| | 56,900 | | | IOI Corp. Bhd | | | 59,575 | |
| | 13,100 | | | Kuala Lumpur Kepong Bhd | | | 74,614 | |
| | 117,809 | | | Malayan Banking Bhd | | | 243,219 | |
| | 1,251,400 | | | Malaysia Airports Holdings Bhd | | | 2,443,980 | |
| | 61,600 | | | Maxis Bhd | | | 81,439 | |
| | 36,500 | | | MISC Bhd | | | 62,817 | |
| | 1,700 | | | Nestle Malaysia Bhd | | | 59,585 | |
| | 72,500 | | | Petronas Chemicals Group Bhd | | | 119,273 | |
| | 9,000 | | | Petronas Dagangan Bhd | | | 48,935 | |
| | 16,500 | | | Petronas Gas Bhd | | | 63,089 | |
| | 16,700 | | | PPB Group Bhd | | | 74,043 | |
| | 37,500 | | | Press Metal Aluminium Holdings Bhd | | | 43,790 | |
| | 93,100 | | | Public Bank Bhd | | | 448,996 | |
| | 21,000 | | | QL Resources Bhd | | | 34,558 | |
| | 36,700 | | | RHB Bank Bhd | | | 49,692 | |
| | 77,200 | | | Sime Darby Bhd | | | 41,955 | |
| | 63,200 | | | Sime Darby Plantation Bhd | | | 74,519 | |
| | 77,100 | | | Sime Darby Property Bhd | | | 16,108 | |
| | 59,600 | | | SP Setia Bhd Group | | | 22,077 | |
| | 28,900 | | | Telekom Malaysia Bhd | | | 25,737 | |
| | 94,300 | | | Tenaga Nasional Bhd | | | 312,654 | |
| | 41,500 | | | Top Glove Corp. Bhd | | | 46,807 | |
| | 34,300 | | | Westports Holdings Bhd | | | 34,244 | |
| | 76,350 | | | YTL Corp. Bhd | | | 18,134 | |
| | | | | | | | |
| | | | Total Malaysia | | | 6,348,599 | |
| | | | | | | | |
|
| | Mexico — 3.1% | |
| | 100,440 | | | Alfa SAB de CV, Class A Shares | | | 86,052 | |
| | 13,753 | | | Alsea SAB de CV* | | | 29,371 | |
| | 230,562 | | | América Móvil SAB de CV, Class L Shares, ADR | | | 3,370,816 | |
| | 990,755 | | | América Móvil SAB de CV, Series L | | | 724,741 | |
| | 13,112 | | | Arca Continental SAB de CV | | | 68,586 | |
| | 45,845 | | | Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand | | | 58,264 | |
| | 446,111 | | | Cemex SAB de CV, Class Preferred Shares | | | 166,728 | |
| | 16,529 | | | Coca-Cola Femsa SAB de CV | | | 98,048 | |
| | 4,605 | | | El Puerto de Liverpool SAB de CV, Class C1 Shares | | | 23,888 | |
| | 95,065 | | | Fibra Uno Administracion SA de CV, REIT | | | 131,633 | |
| | 56,609 | | | Fomento Economico Mexicano SAB de CV | | | 517,791 | |
| | 6,096 | | | Gruma SAB de CV, Class B Shares | | | 56,769 | |
| | 10,336 | | | Grupo Aeroportuario del Pacifico SAB de CV, Class B Shares | | | 98,260 | |
| | 6,186 | | | Grupo Aeroportuario del Sureste SAB de CV, Class B Shares | | | 91,097 | |
| | 52,666 | | | Grupo Bimbo SAB de CV, Series A | | | 91,951 | |
| | 14,300 | | | Grupo Carso SAB de CV, Series A1 | | | 41,264 | |
| | 77,345 | | | Grupo Financiero Banorte SAB de CV, Class O Shares | | | 417,351 | |
| | 67,892 | | | Grupo Financiero Inbursa SAB de CV, Class O Shares | | | 83,675 | |
| | 556,045 | | | Grupo México SAB de CV, Series B | | | 1,280,455 | |
| | 76,127 | | | Grupo Televisa SAB | | | 135,002 | |
| | 4,192 | | | Industrias Peñoles SAB de CV | | | 50,411 | |
| | 17,432 | | | Infraestructura Energetica Nova SAB de CV* | | | 73,483 | |
| | 808,606 | | | Kimberly-Clark de México SAB de CV, Class A Shares* | | | 1,658,294 | |
| | 7,978 | | | Megacable Holdings SAB de CV | | | 32,643 | |
| | 31,079 | | | Mexichem SAB de CV | | | 56,914 | |
| | 6,730 | | | Promotora y Operadora de Infraestructura SAB de CV | | | 56,175 | |
| | 636,000 | | | Qualitas Controladora SAB de CV | | | 2,136,724 | |
| | 391,100 | | | Regional SAB de CV | | | 1,768,458 | |
See Notes to Financial Statements.
146
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | Mexico — 3.1% — (continued) | |
| | 762,080 | | | Unifin Financiera SAB de CV SOFOM ENR | | $ | 1,340,045 | |
| | 157,865 | | | Wal-Mart de Mexico SAB de CV | | | 447,894 | |
| | | | | | | | |
| | | | Total Mexico | | | 15,192,783 | |
| | | | | | | | |
|
| | Pakistan — 0.2% | |
| | 429,935 | | | Habib Bank Ltd. | | | 299,904 | |
| | 18,657 | | | MCB Bank Ltd. | | | 20,006 | |
| | 60,930 | | | Oil & Gas Development Co., Ltd. | | | 40,502 | |
| | 895,658 | | | Pakistan Petroleum Ltd. | | | 591,919 | |
| | | | | | | | |
| | | | Total Pakistan | | | 952,331 | |
| | | | | | | | |
|
| | Peru — 0.2% | |
| | 7,015 | | | Cia de Minas Buenaventura SAA, ADR | | | 106,909 | |
| | 3,756 | | | Credicorp Ltd. | | | 777,943 | |
| | 2,647 | | | Southern Copper Corp. | | | 83,645 | |
| | | | | | | | |
| | | | Total Peru | | | 968,497 | |
| | | | | | | | |
|
| | Philippines — 2.5% | |
| | 66,680 | | | Aboitiz Equity Ventures Inc. | | | 68,864 | |
| | 43,300 | | | Aboitiz Power Corp. | | | 31,556 | |
| | 110,700 | | | Alliance Global Group Inc. | | | 26,940 | |
| | 9,100 | | | Ayala Corp. | | | 161,446 | |
| | 4,728,410 | | | Ayala Land Inc. | | | 4,285,702 | |
| | 32,088 | | | Bank of the Philippine Islands | | | 54,115 | |
| | 57,324 | | | BDO Unibank Inc. | | | 163,862 | |
| | 13,836,900 | | | Bloomberry Resorts Corp. | | | 2,740,289 | |
| | 101,900 | | | DMCI Holdings Inc. | | | 17,677 | |
| | 1,235 | | | Globe Telecom Inc. | | | 48,111 | |
| | 2,800 | | | GT Capital Holdings Inc. | | | 48,728 | |
| | 1,017,750 | | | International Container Terminal Services Inc. | | | 2,648,199 | |
| | 93,810 | | | JG Summit Holdings Inc. | | | 129,354 | |
| | 14,790 | | | Jollibee Foods Corp. | | | 67,392 | |
| | 6,170 | | | Manila Electric Co. | | | 43,169 | |
| | 434,000 | | | Megaworld Corp. | | | 42,662 | |
| | 419,500 | | | Metro Pacific Investments Corp. | | | 39,808 | |
| | 48,811 | | | Metropolitan Bank & Trust Co. | | | 66,310 | |
| | 2,430 | | | PLDT Inc. | | | 54,923 | |
| | 55,056 | | | PLDT Inc., ADR | | | 1,221,693 | |
| | 52,523 | | | Robinsons Land Corp. | | | 25,185 | |
| | 6,820 | | | Security Bank Corp. | | | 26,667 | |
| | 6,990 | | | SM Investments Corp. | | | 137,721 | |
| | 262,200 | | | SM Prime Holdings Inc. | | | 177,389 | |
| | 29,910 | | | Universal Robina Corp. | | | 99,607 | |
| | | | | | | | |
| | | | Total Philippines | | | 12,427,369 | |
| | | | | | | | |
|
| | Poland — 0.5% | |
| | 3,151 | | | Alior Bank SA* | | | 31,961 | |
| | 19,087 | | | Bank Millennium SA* | | | 31,951 | |
| | 4,804 | | | Bank Polska Kasa Opieki SA | | | 117,443 | |
| | 607 | | | CCC SA | | | 18,775 | |
| | 2,033 | | | CD Projekt SA | | | 129,098 | |
| | 6,856 | | | Cyfrowy Polsat SA | | | 50,117 | |
| | 1,497 | | | Dino Polska SA*(b) | | | 57,806 | |
| | 3,061 | | | Grupa Lotos SA | | | 66,194 | |
| | 516 | | | Jastrzebska Spolka Weglowa SA | | | 3,850 | |
| | 4,374 | | | KGHM Polska Miedz SA* | | | 85,965 | |
| | 21,966 | | | KRUK SA | | | 915,831 | |
See Notes to Financial Statements.
147
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | Poland — 0.5% — (continued) | |
| | 32 | | | LPP SA | | $ | 59,694 | |
| | 397 | | | mBank SA* | | | 32,147 | |
| | 20,391 | | | Orange Polska SA* | | | 32,599 | |
| | 27,259 | | | PGE Polska Grupa Energetyczna SA* | | | 52,708 | |
| | 8,934 | | | Polski Koncern Naftowy ORLEN SA | | | 203,231 | |
| | 56,283 | | | Polskie Gornictwo Naftowe i Gazownictwo SA | | | 66,977 | |
| | 26,665 | | | Powszechna Kasa Oszczednosci Bank Polski SA | | | 262,243 | |
| | 18,317 | | | Powszechny Zaklad Ubezpieczen SA | | | 172,045 | |
| | 1,017 | | | Santander Bank Polska SA | | | 77,916 | |
| | | | | | | | |
| | | | Total Poland | | | 2,468,551 | |
| | | | | | | | |
|
| | Qatar — 0.3% | |
| | 58,133 | | | Barwa Real Estate Co. | | | 54,297 | |
| | 56,283 | | | Commercial Bank PSQC | | | 73,567 | |
| | 54,230 | | | Industries Qatar QSC | | | 162,059 | |
| | 112,186 | | | Masraf Al Rayan QSC | | | 111,765 | |
| | 99,714 | | | Mesaieed Petrochemical Holding Co. | | | 77,757 | |
| | 25,890 | | | Ooredoo QPSC | | | 49,762 | |
| | 17,496 | | | Qatar Electricity & Water Co. QSC | | | 72,477 | |
| | 15,190 | | | Qatar Fuel QSC | | | 90,088 | |
| | 54,830 | | | Qatar Insurance Co. SAQ | | | 47,122 | |
| | 35,454 | | | Qatar Islamic Bank SAQ | | | 153,827 | |
| | 133,297 | | | Qatar National Bank QPSC | | | 701,046 | |
| | | | | | | | |
| | | | Total Qatar | | | 1,593,767 | |
| | | | | | | | |
|
| | Romania — 0.0% | |
| | 11,940 | | | NEPI Rockcastle PLC | | | 105,785 | |
| | | | | | | | |
|
| | Russia — 5.3% | |
| | 1,988,019 | | | Alrosa PJSC | | | 2,213,176 | |
| | 318,503 | | | Gazprom PJSC | | | 1,108,481 | |
| | 269,618 | | | Gazprom PJSC, ADR | | | 1,861,726 | |
| | 1,166,615 | | | Inter RAO UES PJSC | | | 75,029 | |
| | 11,845 | | | Lukoil PJSC | | | 955,251 | |
| | 30,245 | | | Lukoil PJSC, ADR | | | 2,446,216 | |
| | 92,733 | | | Magnit PJSC, Class Registered Shares, GDR | | | 1,225,514 | |
| | 28,480 | | | Magnit PJSC, Class Registered Shares, GDR* | | | 376,078 | |
| | 86,461 | | | Magnitogorsk Iron & Steel Works PJSC | | | 54,229 | |
| | 1,969 | | | MMC Norilsk Nickel PJSC | | | 474,885 | |
| | 285,314 | | | Mobile TeleSystems PJSC, ADR | | | 2,291,071 | |
| | 51,000 | | | Moscow Exchange MICEX-RTS PJSC | | | 72,343 | |
| | 2,746 | | | Novatek PJSC, Class Registered Shares, GDR | | | 533,177 | |
| | 39,466 | | | Novolipetsk Steel PJSC | | | 88,063 | |
| | 4,722 | | | PhosAgro PJSC, Class Registered Shares, GDR | | | 61,049 | |
| | 6,301 | | | Polymetal International PLC | | | 91,125 | |
| | 547 | | | Polyus PJSC | | | 62,855 | |
| | 27,023 | | | Rosneft Oil Co. PJSC | | | 164,860 | |
| | 1,619,399 | | | Sberbank of Russia PJSC | | | 5,442,897 | |
| | 235,419 | | | Sberbank of Russia PJSC, ADR | | | 3,232,145 | |
| | 7,269 | | | Severstal PJSC | | | 109,277 | |
| | 245,966 | | | Surgutneftegas PJSC | | | 101,219 | |
| | 46,219 | | | Tatneft PJSC | | | 514,888 | |
| | 92,960,626 | | | VTB Bank PJSC | | | 53,917 | |
| | 3,497 | | | X5 Retail Group NV, Class Registered Shares, GDR | | | 120,514 | |
| | 68,920 | | | Yandex NV, Class A Shares* | | | 2,556,932 | |
| | | | | | | | |
| | | | Total Russia | | | 26,286,917 | |
| | | | | | | | |
See Notes to Financial Statements.
148
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | Saudi Arabia — 0.9% | |
| | 2,671 | | | Advanced Petrochemical Co. | | $ | 39,897 | |
| | 36,210 | | | Al Rajhi Bank | | | 584,748 | |
| | 21,848 | | | Alinma Bank | | | 128,245 | |
| | 7,528 | | | Almarai Co. JSC | | | 99,459 | |
| | 10,770 | | | Bank AlBilad | | | 75,292 | |
| | 12,294 | | | Bank Al-Jazira | | | 44,261 | |
| | 16,032 | | | Banque Saudi Fransi | | | 149,858 | |
| | 759 | | | Bupa Arabia for Cooperative Insurance Co. | | | 20,924 | |
| | 1,797 | | | Co. for Cooperative Insurance* | | | 31,718 | |
| | 16,229 | | | Dar Al Arkan Real Estate Development Co.* | | | 50,030 | |
| | 12,531 | | | Emaar Economic City* | | | 33,416 | |
| | 11,243 | | | Etihad Etisalat Co.* | | | 74,545 | |
| | 1,698 | | | Jarir Marketing Co. | | | 70,354 | |
| | 12,700 | | | Leejam Sports Co. JSC | | | 263,782 | |
| | 35,611 | | | National Commercial Bank | | | 452,519 | |
| | 9,889 | | | National Industrialization Co.* | | | 36,029 | |
| | 6,566 | | | Rabigh Refining & Petrochemical Co.* | | | 34,711 | |
| | 35,593 | | | Riyad Bank | | | 243,126 | |
| | 10,666 | | | Sahara International Petrochemical Co. | | | 51,422 | |
| | 29,154 | | | Samba Financial Group | | | 223,193 | |
| | 1,171 | | | Saudi Airlines Catering Co. | | | 27,297 | |
| | 4,851 | | | Saudi Arabian Fertilizer Co. | | | 102,185 | |
| | 12,349 | | | Saudi Arabian Mining Co.* | | | 145,867 | |
| | 22,126 | | | Saudi Basic Industries Corp. | | | 589,142 | |
| | 10,922 | | | Saudi British Bank | | | 93,358 | |
| | 2,168 | | | Saudi Cement Co. | | | 36,186 | |
| | 24,559 | | | Saudi Electricity Co. | | | 134,246 | |
| | 6,611 | | | Saudi Industrial Investment Group | | | 38,443 | |
| | 22,288 | | | Saudi Kayan Petrochemical Co.* | | | 62,410 | |
| | 11,837 | | | Saudi Telecom Co. | | | 312,519 | |
| | 7,899 | | | Savola Group* | | | 65,766 | |
| | 6,603 | | | Yanbu National Petrochemical Co. | | | 94,393 | |
| | | | | | | | |
| | | | Total Saudi Arabia | | | 4,409,341 | |
| | | | | | | | |
|
| | Singapore — 0.0% | |
| | 6,000 | | | BOC Aviation Ltd.(b) | | | 51,989 | |
| | | | | | | | |
|
| | South Africa — 6.1% | |
| | 22,022 | | | Absa Group Ltd. | | | 222,642 | |
| | 805,700 | | | Advtech Ltd. | | | 589,062 | |
| | 1,416 | | | Anglo American Platinum Ltd. | | | 86,880 | |
| | 11,755 | | | AngloGold Ashanti Ltd. | | | 267,544 | |
| | 10,071 | | | Aspen Pharmacare Holdings Ltd. | | | 52,254 | |
| | 10,547 | | | Bid Corp., Ltd. | | | 225,973 | |
| | 111,131 | | | Bidvest Group Ltd. | | | 1,308,411 | |
| | 1,307 | | | Capitec Bank Holdings Ltd. | | | 94,338 | |
| | 7,661 | | | Clicks Group Ltd. | | | 100,426 | |
| | 12,911 | | | Discovery Ltd. | | | 98,020 | |
| | 7,496 | | | Exxaro Resources Ltd. | | | 67,313 | |
| | 101,653 | | | FirstRand Ltd. | | | 401,643 | |
| | 39,637 | | | Fortress REIT Ltd., Class A Shares | | | 55,158 | |
| | 7,928 | | | Foschini Group Ltd. | | | 78,654 | |
| | 25,996 | | | Gold Fields Ltd. | | | 153,799 | |
| | 79,517 | | | Growthpoint Properties Ltd., REIT | | | 120,461 | |
| | 37,514 | | | Imperial Logistics Ltd. | | | 136,089 | |
| | 8,314 | | | Investec Ltd. | | | 43,895 | |
| | 1,756 | | | Kumba Iron Ore Ltd. | | | 45,489 | |
See Notes to Financial Statements.
149
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | South Africa — 6.1% — (continued) | |
| | 4,363 | | | Liberty Holdings Ltd.(a) | | $ | 31,514 | |
| | 838,752 | | | Life Healthcare Group Holdings Ltd. | | | 1,261,239 | |
| | 26,001 | | | Momentum Metropolitan Holdings | | | 28,179 | |
| | 112,792 | | | Motus Holdings Ltd. | | | 556,707 | |
| | 8,026 | | | Mr Price Group Ltd. | | | 90,709 | |
| | 49,987 | | | MTN Group Ltd. | | | 337,798 | |
| | 13,547 | | | MultiChoice Group* | | | 118,888 | |
| | 49,768 | | | Naspers Ltd., Class N Shares | | | 11,330,703 | |
| | 91,868 | | | Nedbank Group Ltd. | | | 1,367,467 | |
| | 35,908 | | | Netcare Ltd. | | | 38,556 | |
| | 145,742 | | | Old Mutual Ltd. | | | 174,697 | |
| | 13,023 | | | Pick n Pay Stores Ltd. | | | 49,623 | |
| | 678,697 | | | PPC Ltd.* | | | 178,083 | |
| | 4,079 | | | PSG Group Ltd. | | | 53,878 | |
| | 20,832 | | | Rand Merchant Investment Holdings Ltd. | | | 40,653 | |
| | 146,274 | | | Redefine Properties Ltd., REIT | | | 75,669 | |
| | 13,794 | | | Remgro Ltd. | | | 156,058 | |
| | 24,733 | | | RMB Holdings Ltd. | | | 116,394 | |
| | 335,000 | | | Sanlam Ltd. | | | 1,605,073 | |
| | 14,753 | | | Sappi Ltd. | | | 43,956 | |
| | 16,421 | | | Sasol Ltd. | | | 311,473 | |
| | 188,189 | | | Shoprite Holdings Ltd. | | | 1,400,612 | |
| | 6,132 | | | SPAR Group Ltd. | | | 70,212 | |
| | 157,312 | | | Standard Bank Group Ltd. | | | 1,836,929 | |
| | 7,837 | | | Telkom SA SOC Ltd. | | | 41,112 | |
| | 4,394 | | | Tiger Brands Ltd. | | | 60,516 | |
| | 1,926,173 | | | Transaction Capital Ltd. | | | 2,807,959 | |
| | 13,988 | | | Truworths International Ltd. | | | 48,495 | |
| | 225,614 | | | Vodacom Group Ltd. | | | 1,712,650 | |
| | 28,803 | | | Woolworths Holdings Ltd. | | | 104,634 | |
| | | | | | | | |
| | | | Total South Africa | | | 30,198,487 | |
| | | | | | | | |
|
| | South Korea — 9.0% | |
| | 976 | | | Amorepacific Corp. | | | 104,807 | |
| | 981 | | | AMOREPACIFIC Group | | | 47,675 | |
| | 233 | | | BGF retail Co., Ltd. | | | 39,113 | |
| | 8,650 | | | BNK Financial Group Inc. | | | 47,880 | |
| | 1,538 | | | Celltrion Healthcare Co., Ltd.* | | | 56,459 | |
| | 2,724 | | | Celltrion Inc.* | | | 353,197 | |
| | 477 | | | Celltrion Pharm Inc.* | | | 13,038 | |
| | 2,195 | | | Cheil Worldwide Inc. | | | 47,875 | |
| | 218 | | | CJ CheilJedang Corp. | | | 41,115 | |
| | 488 | | | CJ Corp. | | | 32,853 | |
| | 353 | | | CJ ENM Co., Ltd. | | | 46,912 | |
| | 248 | | | CJ Logistics Corp.* | | | 29,297 | |
| | 950 | | | Daelim Industrial Co., Ltd. | | | 76,440 | |
| | 1,962 | | | Daewoo Engineering & Construction Co., Ltd.* | | | 6,761 | |
| | 1,129 | | | Daewoo Shipbuilding & Marine Engineering Co., Ltd.* | | | 25,380 | |
| | 1,408 | | | DB Insurance Co., Ltd. | | | 55,621 | |
| | 1,233 | | | Doosan Bobcat Inc. | | | 36,518 | |
| | 674 | | | E-MART Inc. | | | 64,413 | |
| | 1,475 | | | Fila Korea Ltd. | | | 69,688 | |
| | 1,746 | | | GS Engineering & Construction Corp. | | | 46,732 | |
| | 1,329 | | | GS Holdings Corp. | | | 52,699 | |
| | 684 | | | GS Retail Co., Ltd. | | | 21,869 | |
| | 9,106 | | | Hana Financial Group Inc. | | | 244,135 | |
See Notes to Financial Statements.
150
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | South Korea — 9.0% — (continued) | |
| | 2,119 | | | Hankook Tire & Technology Co., Ltd. | | $ | 50,900 | |
| | 185 | | | Hanmi Pharm Co., Ltd. | | | 42,751 | |
| | 325 | | | Hanmi Science Co., Ltd. | | | 10,949 | |
| | 5,435 | | | Hanon Systems | | | 52,083 | |
| | 3,358 | | | Hanwha Chemical Corp. | | | 47,986 | |
| | 823 | | | Hanwha Corp. | | | 16,611 | |
| | 149,443 | | | Hanwha Life Insurance Co., Ltd. | | | 312,653 | |
| | 755 | | | HDC Hyundai Development Co-Engineering & Construction, Class E Shares | | | 22,359 | |
| | 539 | | | Helixmith Co., Ltd.* | | | 81,433 | |
| | 1,098 | | | HLB Inc.*(a) | | | 38,270 | |
| | 1,026 | | | Hotel Shilla Co., Ltd. | | | 66,783 | |
| | 403 | | | Hyundai Department Store Co., Ltd. | | | 25,968 | |
| | 2,491 | | | Hyundai Engineering & Construction Co., Ltd. | | | 84,825 | |
| | 569 | | | Hyundai Glovis Co., Ltd. | | | 75,132 | |
| | 330 | | | Hyundai Heavy Industries Holdings Co., Ltd. | | | 90,199 | |
| | 1,535 | | | Hyundai Marine & Fire Insurance Co., Ltd. | | | 30,325 | |
| | 14,005 | | | Hyundai Mobis Co., Ltd. | | | 2,875,042 | |
| | 4,655 | | | Hyundai Motor Co. | | | 494,129 | |
| | 2,277 | | | Hyundai Steel Co. | | | 70,010 | |
| | 7,803 | | | Industrial Bank of Korea | | | 79,936 | |
| | 1,570 | | | Kakao Corp. | | | 174,198 | |
| | 3,485 | | | Kangwon Land Inc. | | | 81,257 | |
| | 80,830 | | | KB Financial Group Inc. | | | 2,647,594 | |
| | 123 | | | KCC Corp. | | | 22,913 | |
| | 7,881 | | | Kia Motors Corp. | | | 284,479 | |
| | 9,100 | | | Koh Young Technology Inc. | | | 575,966 | |
| | 2,035 | | | Korea Aerospace Industries Ltd. | | | 66,057 | |
| | 7,576 | | | Korea Electric Power Corp. | | | 159,903 | �� |
| | 714 | | | Korea Gas Corp. | | | 23,035 | |
| | 1,278 | | | Korea Investment Holdings Co., Ltd. | | | 76,326 | |
| | 1,137 | | | Korea Shipbuilding & Offshore Engineering Co., Ltd.* | | | 103,315 | |
| | 258 | | | Korea Zinc Co., Ltd. | | | 92,714 | |
| | 1,192 | | | Korean Air Lines Co., Ltd. | | | 21,828 | |
| | 21,523 | | | KT&G Corp. | | | 1,813,718 | |
| | 672 | | | Kumho Petrochemical Co., Ltd. | | | 39,020 | |
| | 1,311 | | | LG Chem Ltd. | | | 357,166 | |
| | 2,934 | | | LG Corp. | | | 172,588 | |
| | 7,331 | | | LG Display Co., Ltd. | | | 84,828 | |
| | 3,166 | | | LG Electronics Inc. | | | 159,970 | |
| | 288 | | | LG Household & Health Care Ltd. | | | 280,508 | |
| | 336 | | | LG Innotek Co., Ltd. | | | 27,334 | |
| | 3,523 | | | LG Uplus Corp. | | | 38,418 | |
| | 517 | | | Lotte Chemical Corp. | | | 96,091 | |
| | 904 | | | Lotte Corp. | | | 24,836 | |
| | 312 | | | Lotte Shopping Co., Ltd. | | | 34,969 | |
| | 148 | | | Medy-Tox Inc. | | | 42,835 | |
| | 8,685 | | | Meritz Securities Co., Ltd. | | | 34,112 | |
| | 12,449 | | | Mirae Asset Daewoo Co., Ltd. | | | 76,498 | |
| | 4,186 | | | NAVER Corp. | | | 505,674 | |
| | 490 | | | NCSoft Corp. | | | 217,217 | |
| | 740 | | | Netmarble Corp.*(b) | | | 57,586 | |
| | 3,693 | | | NH Investment & Securities Co., Ltd. | | | 37,517 | |
| | 582 | | | OCI Co., Ltd. | | | 31,924 | |
| | 996 | | | Orange Life Insurance Ltd.(b) | | | 22,137 | |
| | 609 | | | Orion Corp. | | | 45,330 | |
| | 19 | | | Ottogi Corp. | | | 8,954 | |
See Notes to Financial Statements.
151
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | South Korea — 9.0% — (continued) | |
| | 6,901 | | | Pan Ocean Co., Ltd.* | | $ | 27,630 | |
| | 177 | | | Pearl Abyss Corp.* | | | 28,467 | |
| | 2,315 | | | POSCO | | | 402,702 | |
| | 706 | | | POSCO Chemical Co., Ltd. | | | 30,733 | |
| | 1,129 | | | Posco International Corp. | | | 17,114 | |
| | 519 | | | S-1 Corp. | | | 43,309 | |
| | 526 | | | Samsung Biologics Co., Ltd.*(a)(b) | | | 116,882 | |
| | 2,597 | | | Samsung C&T Corp. | | | 185,361 | |
| | 865 | | | Samsung Card Co., Ltd. | | | 23,661 | |
| | 1,776 | | | Samsung Electro-Mechanics Co., Ltd.(a) | | | 130,712 | |
| | 347,766 | | | Samsung Electronics Co., Ltd. | | | 12,639,974 | |
| | 4,498 | | | Samsung Engineering Co., Ltd.* | | | 57,592 | |
| | 938 | | | Samsung Fire & Marine Insurance Co., Ltd. | | | 177,231 | |
| | 13,465 | | | Samsung Heavy Industries Co., Ltd.* | | | 85,971 | |
| | 2,175 | | | Samsung Life Insurance Co., Ltd. | | | 122,277 | |
| | 17,253 | | | Samsung SDI Co., Ltd. | | | 3,545,418 | |
| | 1,034 | | | Samsung SDS Co., Ltd. | | | 167,418 | |
| | 2,009 | | | Samsung Securities Co., Ltd. | | | 58,438 | |
| | 100,125 | | | Shinhan Financial Group Co., Ltd. | | | 3,368,855 | |
| | 241 | | | Shinsegae Inc. | | | 45,817 | |
| | 1,818 | | | SillaJen Inc.*(a) | | | 15,765 | |
| | 1,065 | | | SK Holdings Co., Ltd. | | | 175,579 | |
| | 91,400 | | | SK Hynix Inc. | | | 5,843,197 | |
| | 1,639 | | | SK Innovation Co., Ltd. | | | 223,397 | |
| | 580 | | | SK Telecom Co., Ltd. | | | 114,745 | |
| | 1,393 | | | S-Oil Corp. | | | 111,256 | |
| | 27,658 | | | Woongjin Coway Co., Ltd. | | | 1,923,993 | |
| | 13,570 | | | Woori Financial Group Inc. | | | 133,080 | |
| | 246 | | | Yuhan Corp. | | | 46,516 | |
| | | | | | | | |
| | | | Total South Korea | | | 44,530,726 | |
| | | | | | | | |
|
| | Spain — 0.6% | |
| | 127,271 | | | CIE Automotive SA | | | 2,951,781 | |
| | | | | | | | |
|
| | Switzerland — 0.2% | |
| | 22,000 | | | Wizz Air Holdings PLC, (Restricted, cost — $430,056, acquired 7/21/16)*(b)(d) | | | 963,620 | |
| | | | | | | | |
|
| | Taiwan — 6.2% | |
| | 72,000 | | | Acer Inc. | | | 39,467 | |
| | 11,799 | | | Advantech Co., Ltd. | | | 100,497 | |
| | 4,000 | | | Airtac International Group* | | | 41,222 | |
| | 106,498 | | | ASE Technology Holding Co., Ltd. | | | 243,046 | |
| | 60,000 | | | Asia Cement Corp. | | | 82,220 | |
| | 23,000 | | | Asustek Computer Inc. | | | 149,673 | |
| | 267,000 | | | AU Optronics Corp. | | | 69,400 | |
| | 248,000 | | | Catcher Technology Co., Ltd. | | | 1,741,246 | |
| | 225,000 | | | Cathay Financial Holding Co., Ltd. | | | 288,245 | |
| | 35,662 | | | Chailease Holding Co., Ltd. | | | 141,524 | |
| | 168,418 | | | Chang Hwa Commercial Bank Ltd. | | | 108,376 | |
| | 54,000 | | | Cheng Shin Rubber Industry Co., Ltd. | | | 75,817 | |
| | 17,130 | | | Chicony Electronics Co., Ltd. | | | 48,175 | |
| | 67,000 | | | China Airlines Ltd. | | | 19,720 | |
| | 404,000 | | | China Development Financial Holding Corp. | | | 117,193 | |
| | 89,390 | | | China Life Insurance Co., Ltd.* | | | 69,965 | |
| | 341,000 | | | China Steel Corp. | | | 251,630 | |
| | 395,900 | | | Chroma ATE Inc. | | | 1,917,271 | |
| | 111,000 | | | Chunghwa Telecom Co., Ltd. | | | 386,178 | |
See Notes to Financial Statements.
152
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | Taiwan — 6.2% — (continued) | |
| | 139,000 | | | Compal Electronics Inc. | | $ | 79,601 | |
| | 553,880 | | | CTBC Financial Holding Co., Ltd. | | | 359,634 | |
| | 61,000 | | | Delta Electronics Inc. | | | 284,980 | |
| | 318,394 | | | E.Sun Financial Holding Co., Ltd. | | | 256,424 | |
| | 5,100 | | | Eclat Textile Co., Ltd. | | | 62,402 | |
| | 104,689 | | | Eva Airways Corp. | | | 47,277 | |
| | 61,223 | | | Evergreen Marine Corp. Taiwan Ltd.* | | | 25,091 | |
| | 85,000 | | | Far Eastern New Century Corp. | | | 77,292 | |
| | 50,000 | | | Far EasTone Telecommunications Co., Ltd. | | | 116,819 | |
| | 9,100 | | | Feng TAY Enterprise Co., Ltd. | | | 59,321 | |
| | 303,105 | | | First Financial Holding Co., Ltd. | | | 207,773 | |
| | 105,000 | | | Formosa Chemicals & Fibre Corp. | | | 295,131 | |
| | 36,000 | | | Formosa Petrochemical Corp. | | | 111,625 | |
| | 132,000 | | | Formosa Plastics Corp. | | | 395,687 | |
| | 15,000 | | | Formosa Taffeta Co., Ltd. | | | 16,270 | |
| | 31,230 | | | Foxconn Technology Co., Ltd. | | | 63,163 | |
| | 201,000 | | | Fubon Financial Holding Co., Ltd. | | | 279,959 | |
| | 7,000 | | | Giant Manufacturing Co., Ltd. | | | 48,777 | |
| | 7,000 | | | Globalwafers Co., Ltd. | | | 64,246 | |
| | 19,000 | | | Highwealth Construction Corp. | | | 30,017 | |
| | 7,938 | | | Hiwin Technologies Corp. | | | 64,311 | |
| | 1,154,660 | | | Hon Hai Precision Industry Co., Ltd. | | | 2,732,072 | |
| | 10,000 | | | Hotai Motor Co., Ltd. | | | 141,149 | |
| | 245,791 | | | Hua Nan Financial Holdings Co., Ltd. | | | 156,462 | |
| | 275,000 | | | Innolux Corp. | | | 61,576 | |
| | 79,000 | | | Inventec Corp. | | | 54,218 | |
| | 2,541 | | | Largan Precision Co., Ltd. | | | 314,950 | |
| | 61,264 | | | Lite-On Technology Corp. | | | 97,657 | |
| | 47,000 | | | MediaTek Inc. | | | 550,552 | |
| | 332,000 | | | Mega Financial Holding Co., Ltd. | | | 304,580 | |
| | 22,000 | | | Micro-Star International Co., Ltd. | | | 58,804 | |
| | 154,000 | | | Nan Ya Plastics Corp. | | | 338,062 | |
| | 30,000 | | | Nanya Technology Corp. | | | 67,140 | |
| | 5,000 | | | Nien Made Enterprise Co., Ltd. | | | 43,833 | |
| | 17,000 | | | Novatek Microelectronics Corp. | | | 100,620 | |
| | 63,000 | | | Pegatron Corp. | | | 105,211 | |
| | 4,000 | | | Phison Electronics Corp. | | | 36,792 | |
| | 59,000 | | | Pou Chen Corp. | | | 73,687 | |
| | 17,000 | | | Powertech Technology Inc. | | | 40,707 | |
| | 177,660 | | | Poya International Co., Ltd. | | | 2,362,103 | |
| | 16,539 | | | President Chain Store Corp. | | | 154,136 | |
| | 76,000 | | | Quanta Computer Inc. | | | 136,529 | |
| | 16,000 | | | Realtek Semiconductor Corp. | | | 109,641 | |
| | 16,120 | | | Ruentex Development Co., Ltd.* | | | 21,887 | |
| | 4,400 | | | Ruentex Industries Ltd.* | | | 9,781 | |
| | 101,000 | | | Shanghai Commercial & Savings Bank Ltd. | | | 163,475 | |
| | 311,787 | | | Shin Kong Financial Holding Co., Ltd. | | | 91,483 | |
| | 332,846 | | | SinoPac Financial Holdings Co., Ltd. | | | 125,660 | |
| | 5,629 | | | Standard Foods Corp. | | | 11,161 | |
| | 35,700 | | | Synnex Technology International Corp. | | | 42,145 | |
| | 121,000 | | | TaiMed Biologics Inc.* | | | 562,918 | |
| | 324,575 | | | Taishin Financial Holding Co., Ltd. | | | 138,765 | |
| | 126,156 | | | Taiwan Business Bank | | | 49,506 | |
| | 132,265 | | | Taiwan Cement Corp. | | | 162,023 | |
| | 275,527 | | | Taiwan Cooperative Financial Holding Co., Ltd. | | | 175,625 | |
| | 60,000 | | | Taiwan High Speed Rail Corp. | | | 72,498 | |
See Notes to Financial Statements.
153
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | Taiwan — 6.2% — (continued) | |
| | 48,000 | | | Taiwan Mobile Co., Ltd. | | $ | 171,596 | |
| | 1,283,132 | | | Taiwan Semiconductor Manufacturing Co., Ltd. | | | 10,595,794 | |
| | 57,000 | | | Tatung Co., Ltd.* | | | 30,634 | |
| | 148,000 | | | Uni-President Enterprises Corp. | | | 361,697 | |
| | 343,000 | | | United Microelectronics Corp. | | | 147,127 | |
| | 23,000 | | | Vanguard International Semiconductor Corp. | | | 47,069 | |
| | 11,000 | | | Walsin Technology Corp. | | | 55,352 | |
| | 10,000 | | | Win Semiconductors Corp. | | | 82,955 | |
| | 84,000 | | | Winbond Electronics Corp. | | | 45,610 | |
| | 73,361 | | | Wistron Corp. | | | 58,370 | |
| | 48,760 | | | WPG Holdings Ltd. | | | 61,704 | |
| | 8,188 | | | Yageo Corp. | | | 59,216 | |
| | 299,000 | | | Yuanta Financial Holding Co., Ltd. | | | 172,132 | |
| | 14,000 | | | Zhen Ding Technology Holding Ltd. | | | 51,708 | |
| | | | | | | | |
| | | | Total Taiwan | | | 30,445,037 | |
| | | | | | | | |
|
| | Thailand — 2.4% | |
| | 33,400 | | | Advanced Info Service PCL, NVDR | | | 252,570 | |
| | 128,800 | | | Airports of Thailand PCL, NVDR | | | 301,847 | |
| | 16,300 | | | Bangkok Bank PCL, Class Registered Shares | | | 91,173 | |
| | 279,800 | | | Bangkok Dusit Medical Services PCL, NVDR(a) | | | 215,093 | |
| | 215,400 | | | Bangkok Expressway & Metro PCL, NVDR | | | 78,559 | |
| | 132,800 | | | Banpu PCL, NVDR | | | 54,992 | |
| | 34,400 | | | Berli Jucker PCL, NVDR | | | 60,802 | |
| | 220,700 | | | BTS Group Holdings PCL, NVDR | | | 97,130 | |
| | 15,700 | | | Bumrungrad Hospital PCL, NVDR | | | 70,938 | |
| | 67,000 | | | Central Pattana PCL, NVDR | | | 146,790 | |
| | 112,900 | | | Charoen Pokphand Foods PCL, NVDR | | | 108,548 | |
| | 773,900 | | | CP ALL PCL, NVDR | | | 2,118,407 | |
| | 7,700 | | | Electricity Generating PCL, NVDR | | | 84,355 | |
| | 52,500 | | | Energy Absolute PCL, NVDR | | | 80,772 | |
| | 17,300 | | | Gulf Energy Development PCL, NVDR | | | 81,675 | |
| | 187,100 | | | Home Product Center PCL, NVDR | | | 109,833 | |
| | 47,600 | | | Indorama Ventures PCL, NVDR | | | 54,414 | |
| | 64,400 | | | Intouch Holdings PCL, NVDR | | | 134,072 | |
| | 404,900 | | | IRPC PCL, NVDR | | | 52,671 | |
| | 291,800 | | | Kasikornbank PCL | | | 1,522,582 | |
| | 23,000 | | | Kasikornbank PCL, NVDR | | | 120,017 | |
| | 110,000 | | | Krung Thai Bank PCL, NVDR | | | 61,679 | |
| | 226,700 | | | Land and Houses PCL, NVDR | | | 79,716 | |
| | 87,700 | | | Minor International PCL, NVDR | | | 108,558 | |
| | 19,800 | | | Muangthai Capital PCL, NVDR | | | 35,412 | |
| | 41,400 | | | PTT Exploration & Production PCL, NVDR | | | 167,797 | |
| | 66,200 | | | PTT Global Chemical PCL, NVDR | | | 114,763 | |
| | 329,800 | | | PTT PCL, NVDR | | | 475,012 | |
| | 30,400 | | | Ratch Group PCL, NVDR | | | 72,904 | |
| | 14,600 | | | Robinson PCL, NVDR | | | 30,604 | |
| | 93,300 | | | Siam Cement PCL, Class Registered Shares | | | 1,249,486 | |
| | 23,200 | | | Siam Cement PCL, NVDR | | | 314,683 | |
| | 25,700 | | | Siam Commercial Bank PCL, NVDR | | | 103,219 | |
| | 165,000 | | | Srisawad Corp. PCL | | | 300,466 | |
| | 1,147,374 | | | Srisawad Corp. PCL, NVDR | | | 2,078,400 | |
| | 700,000 | | | Thai Beverage PCL | | | 453,230 | |
| | 34,300 | | | Thai Oil PCL, NVDR | | | 75,610 | |
| | 92,400 | | | Thai Union Group PCL, NVDR | | | 52,445 | |
| | 383,200 | | | TMB Bank PCL, NVDR | | | 19,470 | |
See Notes to Financial Statements.
154
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | Thailand — 2.4% — (continued) | |
| | 20,200 | | | Total Access Communication PCL, NVDR | | $ | 40,464 | |
| | 336,600 | | | True Corp. PCL, NVDR(a) | | | 68,868 | |
| | | | | | | | |
| | | | Total Thailand | | | 11,740,026 | |
| | | | | | | | |
|
| | Turkey — 2.1% | |
| | 80,422 | | | Akbank T.A.S.* | | | 95,819 | |
| | 5,229 | | | Anadolu Efes Biracilik Ve Malt Sanayii AS | | | 22,967 | |
| | 5,951 | | | Arcelik AS* | | | 17,456 | |
| | 8,922 | | | Aselsan Elektronik Sanayi Ve Ticaret AS | | | 27,953 | |
| | 221,491 | | | AvivaSA Emeklilik ve Hayat AS | | | 339,476 | |
| | 12,116 | | | BIM Birlesik Magazalar AS | | | 97,786 | |
| | 41,908 | | | Eregli Demir ve Celik Fabrikalari TAS | | | 46,192 | |
| | 1,793 | | | Ford Otomotiv Sanayi AS | | | 18,075 | |
| | 27,526 | | | Haci Ömer Sabanci Holding AS | | | 41,435 | |
| | 638,617 | | | KOC Holding AS | | | 1,916,520 | |
| | 792,066 | | | MLP Saglik Hizmetleri AS, (Restricted, cost — $2,280,100, acquired 2/7/18), Class B Shares*(b)(d) | | | 1,886,365 | |
| | 882,254 | | | Sok Marketler Ticaret AS* | | | 1,596,091 | |
| | 4,165 | | | TAV Havalimanlari Holding AS | | | 16,871 | |
| | 428,100 | | | Tofas Turk Otomobil Fabrikasi AS | | | 1,298,326 | |
| | 121,820 | | | Tüpras Türkiye Petrol Rafinerileri AS | | | 2,634,521 | |
| | 14,117 | | | Turk Hava Yollari AO* | | | 27,383 | |
| | 29,724 | | | Turkcell Iletisim Hizmetleri AS | | | 65,996 | |
| | 68,320 | | | Türkiye Garanti Bankasi AS* | | | 104,427 | |
| | 46,584 | | | Turkiye Is Bankasi AS, Class C Shares* | | | 44,063 | |
| | 31,208 | | | Türkiye Sise ve Cam Fabrikalari AS | | | 23,212 | |
| | | | | | | | |
| | | | Total Turkey | | | 10,320,934 | |
| | | | | | | | |
|
| | United Arab Emirates — 0.7% | |
| | 80,337 | | | Abu Dhabi Commercial Bank PJSC | | | 190,066 | |
| | 113,653 | | | Aldar Properties PJSC | | | 69,345 | |
| | 5,248 | | | DP World PLC | | | 73,479 | |
| | 52,710 | | | Dubai Islamic Bank PJSC | | | 73,475 | |
| | 21,467 | | | Emaar Development PJSC | | | 24,018 | |
| | 67,240 | | | Emaar Malls PJSC | | | 35,494 | |
| | 95,193 | | | Emaar Properties PJSC | | | 128,305 | |
| | 55,294 | | | Emirates Telecommunications Group Co. PJSC | | | 254,479 | |
| | 82,601 | | | First Abu Dhabi Bank PJSC | | | 343,414 | |
| | 78,200 | | | NMC Health PLC(a) | | | 2,382,465 | |
| | | | | | | | |
| | | | Total United Arab Emirates | | | 3,574,540 | |
| | | | | | | | |
|
| | United Kingdom — 0.2% | |
| | 58,264 | | | Mondi PLC | | | 1,134,108 | |
| | | | | | | | |
|
| | United States — 0.3% | |
| | 86,600 | | | Laureate Education Inc., Class A Shares* | | | 1,584,780 | |
| | 25,000 | | | Nexteer Automotive Group Ltd. | | | 19,338 | |
| | | | | | | | |
| | | | Total United States | | | 1,604,118 | |
| | | | | | | | |
|
| | Uruguay — 0.1% | |
| | 180,860 | | | Biotoscana Investments SA BDR* | | | 394,318 | |
| | | | | | | | |
| | | | TOTAL COMMON STOCKS
(Cost — $410,596,057) | | | 474,166,134 | |
| | | | | | | | |
|
| | PREFERRED STOCKS — 1.5% | |
|
| | Brazil — 1.2% | |
| | 118,660 | | | Banco Bradesco SA, Class Preferred Shares | | | 944,008 | |
| | 4,801 | | | Braskem SA, Class Preferred A Shares* | | | 32,712 | |
| | 7,736 | | | Centrais Eletricas Brasileiras SA, Class Preferred B Shares | | | 87,694 | |
See Notes to Financial Statements.
155
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | Brazil — 1.2% — (continued) | |
| | 4,986 | | | Cia Brasileira de Distribuicao, Class Preferred Shares | | $ | 105,408 | |
| | 28,731 | | | Cia Energetica de Minas Gerais, Class Preferred Shares | | | 102,389 | |
| | 31,169 | | | Gerdau SA, Class Preferred Shares | | | 96,854 | |
| | 407,153 | | | Itaú Unibanco Holding SA, Class Preferred Shares | | | 3,336,457 | |
| | 130,984 | | | Itausa — Investimentos Itau SA, Class Preferred Shares | | | 388,675 | |
| | 21,975 | | | Lojas Americanas SA, Class Preferred Shares | | | 99,376 | |
| | 121,509 | | | Petroleo Brasileiro SA, Class Preferred Shares | | | 748,109 | |
| | 13,071 | | | Telefonica Brasil SA, Class Preferred Shares | | | 169,378 | |
| | | | | | | | |
| | | | Total Brazil | | | 6,111,060 | |
| | | | | | | | |
|
| | Chile — 0.0% | |
| | 10,869 | | | Embotelladora Andina SA, Class Preferred B Shares | | | 32,703 | |
| | 3,692 | | | Sociedad Quimica y Minera de Chile SA, Class Preferred B Shares | | | 91,052 | |
| | | | | | | | |
| | | | Total Chile | | | 123,755 | |
| | | | | | | | |
|
| | Colombia — 0.1% | |
| | 13,625 | | | Bancolombia SA, Class Preferred Shares | | | 169,152 | |
| | 137,550 | | | Grupo Aval Acciones y Valores SA, Class Preferred Shares | | | 51,342 | |
| | 3,430 | | | Grupo de Inversiones Suramericana SA, Class Preferred Shares | | | 30,806 | |
| | | | | | | | |
| | | | Total Colombia | | | 251,300 | |
| | | | | | | | |
|
| | Russia — 0.0% | |
| | 212,363 | | | Surgutneftegas PJSC, Class Preferred Shares | | | 102,657 | |
| | 13 | | | Transneft PJSC, Class Preferred Shares | | | 29,311 | |
| | | | | | | | |
| | | | Total Russia | | | 131,968 | |
| | | | | | | | |
|
| | South Korea — 0.2% | |
| | 108 | | | Amorepacific Corp., Class Preferred Shares | | | 6,441 | |
| | 723 | | | Hyundai Motor Co., Class Preferred 2nd Shares | | | 51,607 | |
| | 565 | | | Hyundai Motor Co., Class Preferred Shares | | | 35,471 | |
| | 303 | | | LG Chem Ltd., Class Preferred Shares | | | 45,056 | |
| | 55 | | | LG Household & Health Care Ltd., Class Preferred Shares | | | 32,985 | |
| | 24,763 | | | Samsung Electronics Co., Ltd., Class Preferred Shares | | | 753,808 | |
| | | | | | | | |
| | | | Total South Korea | | | 925,368 | |
| | | | | | | | |
| | | | TOTAL PREFERRED STOCKS
(Cost — $6,279,650) | | | 7,543,451 | |
| | | | | | | | |
|
| | RIGHTS — 0.0% | |
|
| | Brazil — 0.0% | |
| | 762 | | | B2W Cia Digital* | | | 1,507 | |
| | | | | | | | |
|
| | Chile — 0.0% | |
| | 8,559 | | | Enel Americas SA*(f) | | | 37 | |
| | | | | | | | |
|
| | China — 0.0% | |
| | 1,176 | | | Legend Holdings Corp.*(f) | | | 2,529 | |
| | | | | | | | |
| | | | TOTAL RIGHTS
(Cost — $564) | | | 4,073 | |
| | | | | | | | |
| | |
Face
Amount† | | | | | | |
|
| | CORPORATE BOND & NOTE — 0.0% | |
|
| | India — 0.0% | |
| | 1,355 | INR | | Britannia Industries Ltd., Senior Secured Notes, 8.000% due 8/28/22
(Cost — $565) | | | 19 | |
| | | | | | | | |
| | | | TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS
(Cost — $416,876,836) | | | 481,713,677 | |
| | | | | | | | |
See Notes to Financial Statements.
156
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
Face
Amount† | | | Security | | Value | |
|
| | SHORT-TERM INVESTMENTS (g) — 3.3% | |
|
| | MONEY MARKET FUND — 1.6% | |
| $ | 8,218,833 | | | Invesco STIT — Government & Agency Portfolio, 1.998%, Institutional Class(h)
(Cost — $8,218,833) | | $ | 8,218,833 | |
| | | | | | | | |
|
| | TIME DEPOSITS — 1.7% | |
| | | | BBH — Grand Cayman: | | | | |
| | 10 | GBP | | 0.370% due 9/2/19 | | | 12 | |
| | 153,394 | HKD | | 0.750% due 9/2/19 | | | 19,563 | |
| | 1 | SGD | | 0.940% due 9/2/19 | | | 1 | |
| | 277 | ZAR | | 5.460% due 9/2/19 | | | 18 | |
| | | | BNP Paribas — Paris: | | | | |
| | 21,759 | EUR | | (0.580)% due 9/2/19 | | | 23,915 | |
| | 561,047 | HKD | | 0.750% due 9/2/19 | | | 71,554 | |
| | 338,245 | ZAR | | 5.460% due 9/2/19 | | | 22,300 | |
| | 1,456,797 | | | Citibank — New York, 1.490% due 9/3/19 | | | 1,456,797 | |
| | 6,626,479 | | | JPMorgan Chase & Co. — New York, 1.490% due 9/3/19 | | | 6,626,479 | |
| | | | | | | | |
| | | | TOTAL TIME DEPOSITS
(Cost — $8,220,639) | | | 8,220,639 | |
| | | | | | | | |
| | | | TOTAL SHORT-TERM INVESTMENTS
(Cost — $16,439,472) | | | 16,439,472 | |
| | | | | | | | |
| | | | TOTAL INVESTMENTS — 101.1%
(Cost — $433,316,308) | | | 498,153,149 | |
| | | | | | | | |
| | | | Liabilities in Excess of Other Assets — (1.1)% | | | (5,601,064 | ) |
| | | | | | | | |
| | | | TOTAL NET ASSETS — 100.0% | | $ | 492,552,085 | |
| | | | | | | | |
| † | 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 August 31, 2019 amounts to approximately $14,203,452 and represents 2.9% of net assets. |
| (c) | Security trades on the Hong Kong exchange. |
| (d) | The aggregate value of restricted securities (excluding 144A holdings) at August 31, 2019 amounts to approximately $13,261,712 and represents 2.7% of net assets. |
| (f) | Security is valued in good faith at fair value by or under the direction of the Board of Trustees. |
| (g) | Inclusive of all short-term holdings, including investment of collateral received from securities lending transactions. Excluding such collateral, the percentage of portfolio holdings would be 1.7%. |
| (h) | Represents investment of collateral received from securities lending transactions. |
At August 31, 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 | | $ | 443,669,451 | | | $ | 118,120,198 | | | $ | (63,708,966 | ) | | $ | 54,411,232 | |
See Notes to Financial Statements.
157
| | | | |
| Emerging Markets Equity Fund |
| | |
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 | | | 18.4 | % |
Insurance | | | 5.6 | |
Consumer Finance | | | 2.1 | |
Other Financials | | | 1.5 | |
Consumer Discretionary | | | 18.1 | |
Information Technology | | | 12.3 | |
Communication Services | | | 11.0 | |
Industrials | | | 6.6 | |
Energy | | | 5.6 | |
Consumer Staples | | | 5.6 | |
Materials | | | 4.5 | |
Health Care | | | 3.1 | |
Real Estate | | | 2.2 | |
Utilities | | | 1.7 | |
Short-Term Investments | | | 1.7 | |
| | | | |
| | | 100.0 | %+ |
| | | | |
| ^ | As a percentage of total investments. |
| + | Does not reflect investments of collateral received from securities lending transactions. |
At August 31, 2019, Emerging Markets Equity Fund had open exchange-traded futures contracts as described below.
The unrealized 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 Depreciation | |
| Contracts to Buy: | | | | | | | | | | | | | | | | | | | | |
MSCI Emerging Markets E-mini Index September Futures | | | 30 | | | | 9/19 | | | $ | 1,548,466 | | | $ | 1,476,000 | | | $ | (72,466) | |
| | | | | | | | | | | | | | | | | | | | |
At August 31, 2019, Emerging Markets Equity Fund had deposited cash of $78,994 with a broker or brokers as margin collateral on an open exchange-traded futures contract.
| | |
Currency Abbreviations used in this schedule: |
| EUR | | —Euro |
| GBP | | —British Pound |
| HKD | | —Hong Kong Dollar |
| INR | | —Indian Rupee |
| SGD | | —Singapore Dollar |
| ZAR | | —South African Rand |
See Notes to Financial Statements.
158
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | CORPORATE BONDS & NOTES — 28.6% | |
|
| | Advertising — 0.0% | |
| $ | 54,000 | | | B- | | Clear Channel International BV, Company Guaranteed Notes, 8.750% due 12/15/20(a) | | $ | 55,181 | |
| | | | | | Interpublic Group of Cos., Inc. (The), Senior Unsecured Notes: | | | | |
| | 40,000 | | | BBB | | 3.500% due 10/1/20 | | | 40,556 | |
| | 25,000 | | | BBB | | 3.750% due 10/1/21 | | | 25,692 | |
| | | | | | | | | | |
| | | | | | Total Advertising | | | 121,429 | |
| | | | | | | | | | |
|
| | Aerospace/Defense — 0.8% | |
| | | | | | BAE Systems Holdings Inc., Company Guaranteed Notes: | | | | |
| | 105,000 | | | BBB | | 2.850% due 12/15/20(a) | | | 105,661 | |
| | 145,000 | | | BBB | | 3.800% due 10/7/24(a) | | | 154,005 | |
| | 600,000 | | | BBB | | 3.850% due 12/15/25(a) | | | 635,853 | |
| | | | | | Boeing Co. (The), Senior Unsecured Notes: | | | | |
| | 50,000 | | | A | | 3.100% due 5/1/26 | | | 52,874 | |
| | 70,000 | | | A | | 2.700% due 2/1/27 | | | 71,987 | |
| | 60,000 | | | A | | 2.800% due 3/1/27 | | | 61,955 | |
| | 260,000 | | | A | | 3.200% due 3/1/29 | | | 277,050 | |
| | 360,000 | | | A | | 3.250% due 2/1/35 | | | 383,012 | |
| | 35,000 | | | A | | 3.375% due 6/15/46 | | | 35,971 | |
| | 100,000 | | | A | | 3.750% due 2/1/50 | | | 111,427 | |
| | 25,000 | | | A | | 3.825% due 3/1/59 | | | 27,331 | |
| | 430,000 | | | A+ | | General Dynamics Corp., Company Guaranteed Notes, 3.750% due 5/15/28 | | | 485,127 | |
| | | | | | L3 Technologies Inc., Company Guaranteed Notes: | | | | |
| | 350,000 | | | BBB | | 3.850% due 6/15/23 | | | 368,943 | |
| | 35,000 | | | BBB | | 3.950% due 5/28/24 | | | 36,717 | |
| | 320,000 | | | BBB | | 3.850% due 12/15/26 | | | 331,815 | |
| | | | | | L3Harris Technologies Inc., Senior Unsecured Notes: | | | | |
| | 945,000 | | | BBB | | 4.400% due 6/15/28 | | | 1,069,882 | |
| | 415,000 | | | BBB | | 4.400% due 6/15/28(a) | | | 469,842 | |
| | 128,000 | | | BBB | | 5.054% due 4/27/45 | | | 163,473 | |
| | | | | | Lockheed Martin Corp., Senior Unsecured Notes: | | | | |
| | 30,000 | | | A- | | 3.100% due 1/15/23 | | | 31,153 | |
| | 370,000 | | | A- | | 2.900% due 3/1/25 | | | 385,909 | |
| | 170,000 | | | A- | | 3.550% due 1/15/26 | | | 184,512 | |
| | 125,000 | | | A- | | 3.600% due 3/1/35 | | | 137,900 | |
| | 40,000 | | | A- | | 4.500% due 5/15/36 | | | 48,577 | |
| | 35,000 | | | A- | | 4.070% due 12/15/42 | | | 41,317 | |
| | 80,000 | | | A- | | 3.800% due 3/1/45 | | | 91,175 | |
| | 1,000 | | | A- | | 4.090% due 9/15/52 | | | 1,208 | |
| | | | | | Northrop Grumman Corp., Senior Unsecured Notes: | | | | |
| | 80,000 | | | BBB | | 2.080% due 10/15/20 | | | 80,066 | |
| | 981,000 | | | BBB | | 2.930% due 1/15/25 | | | 1,016,031 | |
| | 892,000 | | | BBB | | 3.250% due 1/15/28 | | | 948,141 | |
| | 50,000 | | | BBB | | 3.850% due 4/15/45 | | | 56,125 | |
| | 110,000 | | | BBB | | 4.030% due 10/15/47 | | | 127,684 | |
| | | | | | Raytheon Co., Senior Unsecured Notes: | | | | |
| | 40,000 | | | A+ | | 7.200% due 8/15/27 | | | 53,880 | |
| | 24,000 | | | A+ | | 7.000% due 11/1/28 | | | 32,225 | |
| | 52,000 | | | A+ | | 4.700% due 12/15/41 | | | 66,061 | |
| | 55,000 | | | A+ | | 4.200% due 12/15/44 | | | 66,422 | |
| | | | | | Rockwell Collins Inc., Senior Unsecured Notes: | | | | |
| | 40,000 | | | BBB+ | | 3.100% due 11/15/21 | | | 40,751 | |
| | 20,000 | | | BBB+ | | 2.800% due 3/15/22 | | | 20,353 | |
| | 395,000 | | | BBB- | | Spirit AeroSystems Inc., Company Guaranteed Notes, 3.950% due 6/15/23 | | | 410,739 | |
See Notes to Financial Statements.
159
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Aerospace/Defense — 0.8% — (continued) | |
| | | | | | United Technologies Corp., Senior Unsecured Notes: | | | | |
| $ | 555,000 | | | BBB+ | | 3.350% due 8/16/21 | | $ | 569,279 | |
| | 150,000 | | | BBB+ | | 1.950% due 11/1/21 | | | 149,957 | |
| | 120,000 | | | BBB+ | | 3.950% due 8/16/25 | | | 131,900 | |
| | 140,000 | | | BBB+ | | 4.125% due 11/16/28 | | | 160,279 | |
| | 90,000 | | | BBB+ | | 4.500% due 6/1/42 | | | 108,805 | |
| | 35,000 | | | BBB+ | | 3.750% due 11/1/46 | | | 38,905 | |
| | | | | | | | | | |
| | | | | | Total Aerospace/Defense | | | 9,842,279 | |
| | | | | | | | | | |
|
| | Agriculture — 0.5% | |
| | | | | | Altria Group Inc., Company Guaranteed Notes: | | | | |
| | 130,000 | | | BBB | | 4.750% due 5/5/21 | | | 135,658 | |
| | 60,000 | | | BBB | | 3.490% due 2/14/22 | | | 62,003 | |
| | 70,000 | | | BBB | | 3.800% due 2/14/24 | | | 74,184 | |
| | 250,000 | | | BBB | | 4.400% due 2/14/26 | | | 274,275 | |
| | 585,000 | | | BBB | | 4.800% due 2/14/29 | | | 661,736 | |
| | 260,000 | | | BBB | | 5.800% due 2/14/39 | | | 321,305 | |
| | 172,000 | | | BBB | | 5.375% due 1/31/44 | | | 203,727 | |
| | 765,000 | | | BBB | | 5.950% due 2/14/49 | | | 983,512 | |
| | 145,000 | | | BBB | | 6.200% due 2/14/59 | | | 186,702 | |
| | | | | | BAT Capital Corp., Company Guaranteed Notes: | | | | |
| | 784,000 | | | BBB+ | | 3.557% due 8/15/27 | | | 803,968 | |
| | 555,000 | | | BBB+ | | 4.540% due 8/15/47 | | | 557,458 | |
| | 205,000 | | | BBB+ | | BAT International Finance PLC, Company Guaranteed Notes, 3.950% due 6/15/25(a) | | | 217,439 | |
| | | | | | Philip Morris International Inc., Senior Unsecured Notes: | | | | |
| | 240,000 | | | A | | 1.875% due 11/1/19 | | | 239,848 | |
| | 190,000 | | | A | | 2.900% due 11/15/21 | | | 193,185 | |
| | 110,000 | | | A | | 2.500% due 11/2/22 | | | 111,255 | |
| | 60,000 | | | A | | 4.500% due 3/20/42 | | | 68,283 | |
| | | | | | Reynolds American Inc., Company Guaranteed Notes: | | | | |
| | 61,000 | | | BBB+ | | 3.250% due 6/12/20 | | | 61,470 | |
| | 50,000 | | | BBB+ | | 4.000% due 6/12/22 | | | 52,302 | |
| | 80,000 | | | BBB+ | | 4.450% due 6/12/25 | | | 86,649 | |
| | 565,000 | | | BBB+ | | 5.850% due 8/15/45 | | | 637,040 | |
| | 105,000 | | | BBB+ | | RJ Reynolds Tobacco Co., Company Guaranteed Notes, 6.875% due 5/1/20 | | | 108,027 | |
| | | | | | | | | | |
| | | | | | Total Agriculture | | | 6,040,026 | |
| | | | | | | | | | |
|
| | Airlines — 0.2% | |
| | 53,133 | | | Aa3(b) | | Air Canada Class AA Pass-Through Trust, Pass-Thru Certificates, 3.300% due 1/15/30(a) | | | 55,700 | |
| | 28,800 | | | BBB+ | | Air Canada Class B Pass-Through Trust, Pass-Thru Certificates, 5.000% due 12/15/23(a) | | | 30,208 | |
| | 198,644 | | | A- | | American Airlines Class A Pass-Through Trust, Series2013-2, Pass-Thru Certificates, 4.950% due 1/15/23 | | | 209,370 | |
| | 77,500 | | | BBB | | American Airlines Class A Pass-Through Trust, Series2016-2, Pass-Thru Certificates, 4.375% due 6/15/24(a) | | | 80,484 | |
| | 26,967 | | | Baa3(b) | | American Airlines Class A Pass-Through Trust, Series2017-2, Pass-Thru Certificates, 3.700% due 10/15/25 | | | 27,307 | |
| | 43,754 | | | AA | | American Airlines Class AA Pass-Through Trust, Series2015-2, Pass-Thru Certificates, 3.600% due 9/22/27 | | | 46,451 | |
| | 49,112 | | | AA+ | | American Airlines Class AA Pass-Through Trust, Series2016-2, Pass-Thru Certificates, 3.200% due 6/15/28 | | | 51,182 | |
| | 104,049 | | | AA+ | | American Airlines Class AA Pass-Through Trust, Series2016-3, Pass-Thru Certificates, 3.000% due 10/15/28 | | | 107,470 | |
| | 42,060 | | | Aa3(b) | | American Airlines Class AA Pass-Through Trust, Series2017-1, Pass-Thru Certificates, 3.650% due 2/15/29 | | | 45,421 | |
| | 35,943 | | | Aa3(b) | | American Airlines Class AA Pass-Through Trust, Series2017-2, Pass-Thru Certificates, 3.350% due 10/15/29 | | | 37,564 | |
See Notes to Financial Statements.
160
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Airlines — 0.2% — (continued) | |
| $ | 197,839 | | | BBB | | American Airlines Class B Pass-Through Trust, Series2013-1, Pass-Thru Certificates, 5.625% due 1/15/21(a) | | $ | 202,459 | |
| | 1,214 | | | BBB | | American Airlines Class B Pass-Through Trust, Series2014-1, Pass-Thru Certificates, 4.375% due 10/1/22 | | | 1,245 | |
| | 15,981 | | | BBB | | American Airlines Class B Pass-Through Trust, Series2015-1, Pass-Thru Certificates, 3.700% due 5/1/23 | | | 16,203 | |
| | 139,028 | | | BBB- | | American Airlines Class B Pass-Through Trust, Series2015-2, Pass-Thru Certificates, 4.400% due 9/22/23 | | | 144,631 | |
| | 62,268 | | | BBB- | | American Airlines Class B Pass-Through Trust, Series2016-1, Pass-Thru Certificates, 5.250% due 1/15/24 | | | 66,779 | |
| | 867 | | | BBB | | American Airlines Class B Pass-Through Trust, Series2016-3, Pass-Thru Certificates, 3.750% due 10/15/25 | | | 894 | |
| | 21,249 | | | Baa3(b) | | American Airlines Class B Pass-Through Trust, Series2017-1, Pass-Thru Certificates, 4.950% due 2/15/25 | | | 22,646 | |
| | 223,000 | | | A- | | British Airways2019-1 Class A Pass-Through Trust, Pass-Thru Certificates, 3.350% due
6/15/29(a) | | | 228,006 | |
| | 19,036 | | | A+ | | Continental Airlines Inc.Class A-1 Pass-Through Trust, Series1999-2, Pass-Thru Certificates, 7.256% due 3/15/20 | | | 19,607 | |
| | 392 | | | BBB | | Continental Airlines Inc. Class B Pass-Through Trust, Series2012-1, Pass-Thru Certificates, 6.250% due 4/11/20 | | | 398 | |
| | 290,561 | | | AAA | | Delta Air Lines Class A Pass-Through Trust, Series2009-1, Pass-Thru Certificates, 7.750% due 12/17/19 | | | 294,767 | |
| | 54,000 | | | BB+ | | Delta Air Lines Inc., Senior Unsecured Notes, 3.625% due 3/15/22 | | | 55,517 | |
| | 242,674 | | | BBB- | | Northwest Airlines Inc.Class A-1 Pass-Through Trust, Series2001-1, Pass-Thru Certificates, 7.041% due 4/1/22 | | | 264,094 | |
| | 45,000 | | | BBB+ | | Southwest Airlines Co., Senior Unsecured Notes, 2.750% due 11/16/22 | | | 45,742 | |
| | | | | | United Airlines Class AA Pass-Through Trust, Pass-Thru Certificates: | | | | |
| | 35,908 | | | AA+ | | 3.450% due 12/1/27 | | | 37,980 | |
| | 4,472 | | | Aa3(b) | | 3.100% due 7/7/28 | | | 4,702 | |
| | 48,797 | | | Aa3(b) | | 2.875% due 10/7/28 | | | 49,959 | |
| | 19,652 | | | Aa3(b) | | 3.500% due 3/1/30 | | | 20,844 | |
| | 65,000 | | | Aa3(b) | | 4.150% due 8/25/31 | | | 73,066 | |
| | | | | | United Airlines Class B Pass-Through Trust, Pass-Thru Certificates: | | | | |
| | 3,173 | | | BBB | | 4.750% due 4/11/22 | | | 3,271 | |
| | 9,416 | | | BBB | | 4.625% due 9/3/22 | | | 9,747 | |
| | 5,229 | | | Baa2(b) | | 3.650% due 10/7/25 | | | 5,324 | |
| | 7,844 | | | Baa2(b) | | 3.650% due 1/7/26 | | | 8,034 | |
| | 3,492 | | | BBB- | | US Airways Class B Pass-Through Trust, Series2012-2, Pass-Thru Certificates, 6.750% due 6/3/21 | | | 3,688 | |
| | 11,928 | | | BBB- | | US Airways Class B Pass-Through Trust, Series2013-1, Pass-Thru Certificates, 5.375% due 11/15/21 | | | 12,468 | |
| | 130,598 | | | A+ | | US Airways Class G Pass-Through Trust, Series2001-1, Pass-Thru Certificates, 7.076% due 3/20/21 | | | 136,629 | |
| | | | | | | | | | |
| | | | | | Total Airlines | | | 2,419,857 | |
| | | | | | | | | | |
|
| | Apparel — 0.0% | |
| | | | | | Hanesbrands Inc., Company Guaranteed Notes: | | | | |
| | 10,000 | | | BB- | | 4.625% due 5/15/24(a) | | | 10,512 | |
| | 70,000 | | | BB- | | 4.875% due 5/15/26(a) | | | 74,143 | |
| | | | | | | | | | |
| | | | | | Total Apparel | | | 84,655 | |
| | | | | | | | | | |
|
| | Auto Manufacturers — 0.7% | |
| | 65,000 | | | A | | American Honda Finance Corp., Senior Unsecured Notes, 2.900% due 2/16/24 | | | 67,444 | |
| | | | | | BMW US Capital LLC, Company Guaranteed Notes: | | | | |
| | 30,000 | | | A+ | | 1.850% due 9/15/21(a) | | | 29,797 | |
| | 20,000 | | | A+ | | 2.800% due 4/11/26(a) | | | 20,521 | |
See Notes to Financial Statements.
161
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Auto Manufacturers — 0.7% — (continued) | |
| | | | | | Daimler Finance North America LLC, Company Guaranteed Notes: | | | | |
| $ | 150,000 | | | A | | 2.700% due 8/3/20(a) | | $ | 150,670 | |
| | 600,000 | | | A | | 2.200% due 10/30/21(a) | | | 599,372 | |
| | 40,000 | | | BBB | | Ford Motor Co., Senior Unsecured Notes, 4.750% due 1/15/43 | | | 36,171 | |
| | | | | | Ford Motor Credit Co. LLC, Senior Unsecured Notes: | | | | |
| | 250,000 | | | BBB | | 2.597% due 11/4/19 | | | 249,948 | |
| | 320,000 | | | BBB | | 8.125% due 1/15/20 | | | 326,707 | |
| | 290,000 | | | BBB | | 2.425% due 6/12/20 | | | 289,789 | |
| | 420,000 | | | BBB | | 2.343% due 11/2/20 | | | 418,228 | |
| | 430,000 | | | BBB | | 5.085% due 1/7/21 | | | 443,121 | |
| | 400,000 | | | BBB | | 3.200% due 1/15/21 | | | 402,086 | |
| | 440,000 | | | BBB | | 3.220%(3-MonthUSD-LIBOR + 0.880%) due 10/12/21(c) | | | 435,537 | |
| | 295,000 | | | BBB | | 3.339% due 3/28/22 | | | 296,642 | |
| | 1,250,000 | | | BBB | | 3.367%(3-MonthUSD-LIBOR + 1.080%) due 8/3/22(c) | | | 1,230,143 | |
| | 200,000 | | | BBB | | 4.389% due 1/8/26 | | | 203,524 | |
| | | | | | General Motors Co., Senior Unsecured Notes: | | | | |
| | 250,000 | | | BBB | | 6.250% due 10/2/43 | | | 281,455 | |
| | 455,000 | | | BBB | | 5.200% due 4/1/45 | | | 464,626 | |
| | | | | | General Motors Financial Co., Inc.: | | | | |
| | | | | | Company Guaranteed Notes: | | | | |
| | 295,000 | | | BBB | | 3.200% due 7/13/20 | | | 296,694 | |
| | 230,000 | | | BBB | | 2.450% due 11/6/20 | | | 229,984 | |
| | 25,000 | | | BBB | | 3.550% due 4/9/21 | | | 25,425 | |
| | 100,000 | | | BBB | | 4.375% due 9/25/21 | | | 103,595 | |
| | 15,000 | | | BBB | | 3.450% due 4/10/22 | | | 15,303 | |
| | 130,000 | | | BBB | | 3.700% due 5/9/23 | | | 133,429 | |
| | 269,000 | | | BBB | | 4.350% due 1/17/27 | | | 278,929 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 130,000 | | | BBB | | 4.200% due 11/6/21 | | | 134,845 | |
| | 45,000 | | | BBB | | 5.650% due 1/17/29 | | | 50,376 | |
| | | | | | Hyundai Capital America, Senior Unsecured Notes: | | | | |
| | 20,000 | | | BBB+ | | 2.550% due 4/3/20(a) | | | 20,002 | |
| | 218,000 | | | BBB+ | | 3.000% due 10/30/20(a) | | | 219,186 | |
| | 10,000 | | | BBB+ | | 3.750% due 7/8/21(a) | | | 10,213 | |
| | 250,000 | | | BBB+ | | 3.950% due 2/1/22(a) | | | 257,688 | |
| | | | | | Hyundai Capital Services Inc., Senior Unsecured Notes: | | | | |
| | 200,000 | | | BBB+ | | 3.000% due 8/29/22(a) | | | 202,012 | |
| | 200,000 | | | BBB+ | | 3.750% due 3/5/23(a) | | | 208,092 | |
| | 20,000 | | | A- | | Nissan Motor Acceptance Corp., Senior Unsecured Notes, 3.650% due 9/21/21(a) | | | 20,495 | |
| | 160,000 | | | AA- | | Toyota Motor Corp., Senior Unsecured Notes, 2.358% due 7/2/24 | | | 163,224 | |
| | 30,000 | | | AA- | | Toyota Motor Credit Corp., Senior Unsecured Notes, 3.450% due 9/20/23 | | | 31,776 | |
| | | | | | Volkswagen Group of America Finance LLC, Company Guaranteed Notes: | | | | |
| | 220,000 | | | BBB+ | | 2.400% due 5/22/20(a) | | | 220,264 | |
| | 200,000 | | | BBB+ | | 4.000% due 11/12/21(a) | | | 207,274 | |
| | 130,000 | | | BBB+ | | Volkswagen International Finance NV, Company Guaranteed Notes, 4.000% due 8/12/20(a) | | | 132,067 | |
| | | | | | | | | | |
| | | | | | Total Auto Manufacturers | | | 8,906,654 | |
| | | | | | | | | | |
|
| | Auto Parts & Equipment — 0.0% | |
| | | | | | Aptiv PLC, Company Guaranteed Notes: | | | | |
| | 6,000 | | | BBB | | 4.400% due 10/1/46 | | | 6,039 | |
| | 15,000 | | | BBB | | 5.400% due 3/15/49 | | | 17,137 | |
| | 15,000 | | | BBB- | | Lear Corp., Senior Unsecured Notes, 5.250% due 5/15/49 | | | 15,694 | |
| | | | | | | | | | |
| | | | | | Total Auto Parts & Equipment | | | 38,870 | |
| | | | | | | | | | |
See Notes to Financial Statements.
162
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Banks — 7.4% | |
| $ | 756,000 | | | A | | ABN AMRO Bank NV, Senior Unsecured Notes, 2.650% due 1/19/21(a) | | $ | 761,227 | |
| | 250,000 | | | AA- | | Australia & New Zealand Banking Group Ltd., Senior Unsecured Notes, 2.250% due 11/9/20 | | | 250,972 | |
| | | | | | Banco Santander SA, Senior Unsecured Notes: | | | | |
| | 200,000 | | | A- | | 3.848% due 4/12/23 | | | 209,116 | |
| | 400,000 | | | A | | 2.706% due 6/27/24 | | | 407,395 | |
| | 600,000 | | | A- | | 4.379% due 4/12/28 | | | 660,325 | |
| | 200,000 | | | A | | 3.306% due 6/27/29 | | | 209,639 | |
| | | | | | Bank of America Corp.: | | | | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 950,000 | | | A- | | 2.369%(3-MonthUSD-LIBOR + 0.660%) due 7/21/21(c) | | | 951,688 | |
| | 610,000 | | | A- | | 2.738%(3-MonthUSD-LIBOR + 0.370%) due 1/23/22(c) | | | 614,877 | |
| | 750,000 | | | A- | | 3.499%(3-MonthUSD-LIBOR + 0.630%) due 5/17/22(c) | | | 767,016 | |
| | 1,240,000 | | | A- | | 3.124%(3-MonthUSD-LIBOR + 1.160%) due 1/20/23(c) | | | 1,268,383 | |
| | 30,000 | | | A- | | 2.816%(3-MonthUSD-LIBOR + 0.930%) due 7/21/23(c) | | | 30,634 | |
| | 1,111,000 | | | A- | | 3.004%(3-MonthUSD-LIBOR + 0.790%) due 12/20/23(c) | | | 1,140,996 | |
| | 490,000 | | | A- | | 4.125% due 1/22/24 | | | 530,402 | |
| | 955,000 | | | A- | | 3.550%(3-MonthUSD-LIBOR + 0.780%) due 3/5/24(c) | | | 998,636 | |
| | 515,000 | | | A- | | 4.000% due 4/1/24 | | | 557,209 | |
| | 610,000 | | | A- | | 3.458%(3-MonthUSD-LIBOR + 0.970%) due 3/15/25(c) | | | 641,229 | |
| | 210,000 | | | A- | | 3.500% due 4/19/26 | | | 225,002 | |
| | 465,000 | | | A- | | 3.559%(3-MonthUSD-LIBOR + 1.060%) due 4/23/27(c) | | | 495,170 | |
| | 620,000 | | | A- | | 3.824%(3-MonthUSD-LIBOR + 1.575%) due 1/20/28(c) | | | 672,341 | |
| | 285,000 | | | A- | | 3.705%(3-MonthUSD-LIBOR + 1.512%) due 4/24/28(c) | | | 307,672 | |
| | 155,000 | | | A- | | 3.593%(3-MonthUSD-LIBOR + 1.370%) due 7/21/28(c) | | | 165,796 | |
| | 683,000 | | | A- | | 3.419%(3-MonthUSD-LIBOR + 1.040%) due 12/20/28(c) | | | 723,117 | |
| | 350,000 | | | A- | | 3.970%(3-MonthUSD-LIBOR + 1.070%) due 3/5/29(c) | | | 384,944 | |
| | 530,000 | | | A- | | 4.271%(3-MonthUSD-LIBOR + 1.310%) due 7/23/29(c) | | | 598,517 | |
| | 500,000 | | | A- | | 3.974%(3-MonthUSD-LIBOR + 1.210%) due 2/7/30(c) | | | 554,994 | |
| | 310,000 | | | A- | | 3.194%(3-MonthUSD-LIBOR + 1.180%) due 7/23/30(c) | | | 324,014 | |
| | 60,000 | | | A- | | 4.244%(3-MonthUSD-LIBOR + 1.814%) due 4/24/38(c) | | | 70,269 | |
| | 240,000 | | | A- | | 5.000% due 1/21/44 | | | 312,775 | |
| | 710,000 | | | A- | | 4.330%(3-MonthUSD-LIBOR + 1.520%) due 3/15/50(c) | | | 868,025 | |
| | | | | | Subordinated Notes: | | | | |
| | 891,000 | | | BBB+ | | 4.200% due 8/26/24 | | | 961,701 | |
| | 1,295,000 | | | BBB+ | | 4.000% due 1/22/25 | | | 1,384,382 | |
| | 194,000 | | | BBB+ | | 4.450% due 3/3/26 | | | 213,581 | |
| | 50,000 | | | BBB+ | | Bank of Montreal, Subordinated Notes, 3.803%(5-Year USD Swap Rate + 1.432%) due
12/15/32(c) | | | 52,420 | |
| | | | | | 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) | | | 508,497 | |
| | 195,000 | | | A | | 3.400% due 5/15/24 | | | 206,415 | |
| | 72,000 | | | A | | 3.442%(3-MonthUSD-LIBOR + 1.069%) due 2/7/28(c) | | | 77,286 | |
| | 20,000 | | | A- | | Subordinated Notes, 3.300% due 8/23/29 | | | 21,358 | |
| | 400,000 | | | A | | Banque Federative du Credit Mutuel SA, Senior Unsecured Notes, 2.750% due 10/15/20(a) | | | 403,228 | |
| | 100,000 | | | BBB- | | Barclays Bank PLC, Subordinated Notes, 5.140% due 10/14/20 | | | 102,394 | |
| | | | | | Barclays PLC, Senior Unsecured Notes: | | | | |
| | 400,000 | | | BBB | | 3.250% due 1/12/21 | | | 403,890 | |
| | 245,000 | | | BBB | | 4.338%(3-MonthUSD-LIBOR + 1.356%) due 5/16/24(c) | | | 255,493 | |
| | 200,000 | | | BBB | | 3.932%(3-MonthUSD-LIBOR + 1.610%) due 5/7/25(c) | | | 205,730 | |
| | 260,000 | | | BBB | | 4.375% due 1/12/26 | | | 275,136 | |
| | 620,000 | | | BBB | | 4.972%(3-MonthUSD-LIBOR + 1.902%) due 5/16/29(c) | | | 680,865 | |
See Notes to Financial Statements.
163
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Banks — 7.4% — (continued) | |
| | | | | | BNP Paribas SA: | | | | |
| | | | | | Senior Unsecured Notes: | | | | |
| $ | 380,000 | | | A- | | 3.500% due 3/1/23(a) | | $ | 394,713 | |
| | 270,000 | | | A- | | 3.375% due 1/9/25(a) | | | 280,003 | |
| | 1,180,000 | | | A- | | 4.705%(3-MonthUSD-LIBOR + 2.235%) due 1/10/25(a)(c) | | | 1,279,243 | |
| | 750,000 | | | A- | | 4.400% due 8/14/28(a) | | | 838,857 | |
| | 1,000,000 | | | A- | | 5.198%(3-MonthUSD-LIBOR + 2.567%) due 1/10/30(a)(c) | | | 1,179,960 | |
| | 200,000 | | | BBB+ | | Subordinated Notes, 4.375%(5-Year USD Swap Rate + 1.483%) due 3/1/33(a)(c) | | | 212,860 | |
| | 280,000 | | | BBB+ | | Capital One NA, Senior Unsecured Notes, 2.250% due 9/13/21 | | | 280,476 | |
| | | | | | CIT Group Inc., Senior Unsecured Notes: | | | | |
| | 90,000 | | | BB+ | | 4.750% due 2/16/24 | | | 96,863 | |
| | 40,000 | | | BB+ | | 5.250% due 3/7/25 | | | 44,900 | |
| | | | | | Citigroup Inc.: | | | | |
| | 530,000 | | | BB+ | | Junior Subordinated Notes, 5.950%(3-MonthUSD-LIBOR + 3.905%)(c)(d) | | | 567,553 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 100,000 | | | BBB+ | | 3.980%(3-MonthUSD-LIBOR + 1.338%) due 3/20/30(c) | | | 110,451 | |
| | 314,000 | | | BBB+ | | 8.125% due 7/15/39 | | | 525,415 | |
| | 196,000 | | | BBB+ | | 4.650% due 7/30/45 | | | 244,748 | |
| | 100,000 | | | BBB+ | | 4.650% due 7/23/48 | | | 125,903 | |
| | | | | | Subordinated Notes: | | | | |
| | 890,000 | | | BBB | | 4.400% due 6/10/25 | | | 967,303 | |
| | 250,000 | | | BBB | | 5.500% due 9/13/25 | | | 286,697 | |
| | 890,000 | | | BBB | | 4.300% due 11/20/26 | | | 971,876 | |
| | 390,000 | | | BBB | | 4.450% due 9/29/27 | | | 429,448 | |
| | 30,000 | | | BBB | | 6.625% due 6/15/32 | | | 40,077 | |
| | 100,000 | | | BBB | | 6.675% due 9/13/43 | | | 148,401 | |
| | 286,000 | | | BBB | | 5.300% due 5/6/44 | | | 365,541 | |
| | 30,000 | | | BBB | | 4.750% due 5/18/46 | | | 36,388 | |
| | 15,000 | | | BBB+ | | Citizens Financial Group Inc., Senior Unsecured Notes, 2.375% due 7/28/21 | | | 15,055 | |
| | | | | | Commonwealth Bank of Australia, Senior Unsecured Notes: | | | | |
| | 55,000 | | | AA- | | 3.450% due 3/16/23(a) | | | 57,802 | |
| | 58,000 | | | AA- | | 3.900% due 7/12/47(a) | | | 66,435 | |
| | | | | | Cooperatieve Rabobank UA: | | | | |
| | | | | | Company Guaranteed Notes: | | | | |
| | 310,000 | | | BBB+ | | 4.625% due 12/1/23 | | | 335,336 | |
| | 990,000 | | | BBB+ | | 4.375% due 8/4/25 | | | 1,067,475 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 100,000 | | | A+ | | 4.750% due 1/15/20(a) | | | 100,950 | |
| | 510,000 | | | A+ | | 2.500% due 1/19/21 | | | 513,602 | |
| | 270,000 | | | A+ | | 3.125% due 4/26/21 | | | 274,818 | |
| | | | | | Credit Suisse Group AG, Senior Unsecured Notes: | | | | |
| | 400,000 | | | BBB+ | | 4.282% due 1/9/28(a) | | | 435,758 | |
| | 1,045,000 | | | BBB+ | | 3.869%(3-MonthUSD-LIBOR + 1.410%) due 1/12/29(a)(c) | | | 1,113,792 | |
| | | | | | Credit Suisse Group Funding Guernsey Ltd., Company Guaranteed Notes: | | | | |
| | 250,000 | | | BBB+ | | 3.125% due 12/10/20 | | | 252,873 | |
| | 250,000 | | | BBB+ | | 3.800% due 9/15/22 | | | 260,997 | |
| | 320,000 | | | BBB+ | | 4.550% due 4/17/26 | | | 354,775 | |
| | | | | | Danske Bank AS, Senior Unsecured Notes: | | | | |
| | 440,000 | | | BBB+ | | 5.000% due 1/12/22(a) | | | 464,211 | |
| | 1,200,000 | | | BBB+ | | 5.375% due 1/12/24(a) | | | 1,324,109 | |
| | | | | | Deutsche Bank AG, Senior Unsecured Notes: | | | | |
| | 190,000 | | | BBB- | | 4.250% due 10/14/21 | | | 193,276 | |
| | 38,000 | | | BBB- | | 4.100% due 1/13/26 | | | 38,366 | |
| | 21,000 | | | BB | | Goldman Sachs Capital II, Limited Guaranteed Notes, 4.000%(3-MonthUSD-LIBOR +
0.768%)(c)(d) | | | 17,818 | |
See Notes to Financial Statements.
164
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Banks — 7.4% — (continued) | |
| | | | | | Goldman Sachs Group Inc. (The): | | | | |
| | | | | | Senior Unsecured Notes: | | | | |
| $ | 140,000 | | | BBB+ | | 2.300% due 12/13/19 | | $ | 140,016 | |
| | 810,000 | | | BBB+ | | 6.000% due 6/15/20 | | | 833,362 | |
| | 190,000 | | | BBB+ | | 2.750% due 9/15/20 | | | 191,006 | |
| | 120,000 | | | BBB+ | | 2.875% due 2/25/21 | | | 121,175 | |
| | 155,000 | | | BBB+ | | 5.250% due 7/27/21 | | | 163,817 | |
| | 40,000 | | | BBB+ | | 3.036%(3-MonthUSD-LIBOR + 0.780%) due 10/31/22(c) | | | 40,100 | |
| | 130,000 | | | BBB+ | | 3.200% due 2/23/23 | | | 134,388 | |
| | 245,000 | | | BBB+ | | 2.908%(3-MonthUSD-LIBOR + 1.053%) due 6/5/23(c) | | | 249,416 | |
| | 210,000 | | | BBB+ | | 3.500% due 1/23/25 | | | 220,860 | |
| | 745,000 | | | BBB+ | | 3.272%(3-MonthUSD-LIBOR + 1.201%) due 9/29/25(c) | | | 775,574 | |
| | 150,000 | | | BBB+ | | 3.328%(3-MonthUSD-LIBOR + 1.170%) due 5/15/26(c) | | | 150,153 | |
| | 150,000 | | | BBB+ | | 3.500% due 11/16/26 | | | 157,193 | |
| | 285,000 | | | BBB+ | | 3.850% due 1/26/27 | | | 304,193 | |
| | 135,000 | | | BBB+ | | 3.691%(3-MonthUSD-LIBOR + 1.510%) due 6/5/28(c) | | | 143,643 | |
| | 1,625,000 | | | BBB+ | | 3.814%(3-MonthUSD-LIBOR + 1.158%) due 4/23/29(c) | | | 1,747,388 | |
| | 1,330,000 | | | BBB+ | | 4.223%(3-MonthUSD-LIBOR + 1.301%) due 5/1/29(c) | | | 1,473,990 | |
| | 210,000 | | | BBB+ | | 6.250% due 2/1/41 | | | 298,400 | |
| | 210,000 | | | BBB+ | | 4.750% due 10/21/45 | | | 259,864 | |
| | | | | | Subordinated Notes: | | | | |
| | 610,000 | | | BBB- | | 4.250% due 10/21/25 | | | 658,397 | |
| | 460,000 | | | BBB- | | 6.750% due 10/1/37 | | | 630,867 | |
| | 290,000 | | | BBB- | | 5.150% due 5/22/45 | | | 352,382 | |
| | | | | | HSBC Holdings PLC: | | | | |
| | | | | | Junior Subordinated Notes: | | | | |
| | 210,000 | | | Baa3(b) | | 6.375%(5-Year USD 1100 Run ICE Swap Rate + 3.705%)(c)(d) | | | 215,270 | |
| | 240,000 | | | Baa3(b) | | 6.250%(5-Year USD 1100 Run ICE Swap Rate + 3.453%)(c)(d) | | | 245,528 | |
| | 640,000 | | | Baa3(b) | | 6.500%(5-Year USD 1100 Run ICE Swap Rate + 3.606%)(c)(d) | | | 658,304 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 200,000 | | | A | | 3.400% due 3/8/21 | | | 203,253 | |
| | 200,000 | | | A | | 3.262%(3-MonthUSD-LIBOR + 1.055%) due 3/13/23(c) | | | 204,307 | |
| | 200,000 | | | A | | 3.950%(3-MonthUSD-LIBOR + 0.987%) due 5/18/24(c) | | | 210,004 | |
| | 200,000 | | | A | | 4.041%(3-MonthUSD-LIBOR + 1.546%) due 3/13/28(c) | | | 213,625 | |
| | 1,010,000 | | | A | | 4.583%(3-MonthUSD-LIBOR + 1.535%) due 6/19/29(c) | | | 1,129,831 | |
| | 420,000 | | | A | | 3.973%(3-MonthUSD-LIBOR + 1.610%) due 5/22/30(c) | | | 451,211 | |
| | | | | | Subordinated Notes: | | | | |
| | 300,000 | | | BBB+ | | 4.250% due 3/14/24 | | | 316,736 | |
| | 240,000 | | | BBB+ | | 4.250% due 8/18/25 | | | 254,197 | |
| | 200,000 | | | BBB+ | | 4.375% due 11/23/26 | | | 215,149 | |
| | 390,000 | | | BBB+ | | 6.500% due 9/15/37 | | | 529,500 | |
| | 100,000 | | | A- | | HSBC USA Inc., Subordinated Notes, 5.000% due 9/27/20 | | | 102,911 | |
| | 200,000 | | | BBB+ | | ING Bank NV, Subordinated Notes, 5.800% due 9/25/23(a) | | | 222,088 | |
| | 200,000 | | | A- | | ING Groep NV, Senior Unsecured Notes, 3.950% due 3/29/27 | | | 217,731 | |
| | | | | | Intesa Sanpaolo SpA: | | | | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 200,000 | | | BBB | | 3.125% due 7/14/22(a) | | | 200,909 | |
| | 200,000 | | | BBB | | 3.375% due 1/12/23(a) | | | 202,788 | |
| | 810,000 | | | BB+ | | Subordinated Notes, 5.017% due 6/26/24(a) | | | 830,857 | |
| | | | | | JPMorgan Chase & Co.: | | | | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 90,000 | | | A- | | 4.400% due 7/22/20 | | | 91,900 | |
| | 200,000 | | | A- | | 2.550% due 3/1/21 | | | 201,639 | |
| | 99,000 | | | A- | | 2.972% due 1/15/23 | | | 101,077 | |
| | 55,000 | | | A- | | 3.513%(3-MonthUSD-LIBOR + 1.230%) due 10/24/23(c) | | | 55,851 | |
See Notes to Financial Statements.
165
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Banks — 7.4% — (continued) | |
| $ | 175,000 | | | A- | | 3.559%(3-MonthUSD-LIBOR + 0.730%) due 4/23/24(c) | | $ | 183,845 | |
| | 285,000 | | | A- | | 3.797%(3-MonthUSD-LIBOR + 0.890%) due 7/23/24(c) | | | 302,872 | |
| | 880,000 | | | A- | | 4.023%(3-MonthUSD-LIBOR + 1.000%) due 12/5/24(c) | | | 946,370 | |
| | 450,000 | | | A- | | 3.220%(3-MonthUSD-LIBOR + 1.155%) due 3/1/25(c) | | | 470,587 | |
| | 180,000 | | | A- | | 3.300% due 4/1/26 | | | 189,917 | |
| | 1,050,000 | | | A- | | 3.782%(3-MonthUSD-LIBOR + 1.337%) due 2/1/28(c) | | | 1,143,153 | |
| | 375,000 | | | A- | | 3.540%(3-MonthUSD-LIBOR + 1.380%) due 5/1/28(c) | | | 402,244 | |
| | 1,020,000 | | | A- | | 3.509%(3-MonthUSD-LIBOR + 0.945%) due 1/23/29(c) | | | 1,093,721 | |
| | 750,000 | | | A- | | 4.203%(3-MonthUSD-LIBOR + 1.260%) due 7/23/29(c) | | | 846,624 | |
| | 480,000 | | | A- | | 4.452%(3-MonthUSD-LIBOR + 1.330%) due 12/5/29(c) | | | 552,225 | |
| | 385,000 | | | A- | | 3.702%(3-MonthUSD-LIBOR + 1.160%) due 5/6/30(c) | | | 420,877 | |
| | 200,000 | | | A- | | 3.964%(3-MonthUSD-LIBOR + 1.380%) due 11/15/48(c) | | | 230,118 | |
| | | | | | Subordinated Notes: | | | | |
| | 55,000 | | | BBB+ | | 3.375% due 5/1/23 | | | 57,024 | |
| | 315,000 | | | BBB+ | | 3.875% due 9/10/24 | | | 337,027 | |
| | 210,000 | | | BBB+ | | 4.250% due 10/1/27 | | | 234,698 | |
| | 490,000 | | | BBB+ | | 4.950% due 6/1/45 | | | 630,811 | |
| | | | | | KeyCorp, Senior Unsecured Notes: | | | | |
| | 150,000 | | | BBB+ | | 2.900% due 9/15/20 | | | 151,264 | |
| | 45,000 | | | BBB+ | | 4.150% due 10/29/25 | | | 49,503 | |
| | 425,000 | | | A+ | | Lloyds Bank PLC, Company Guaranteed Notes, 2.700% due 8/17/20 | | | 427,736 | |
| | | | | | Lloyds Banking Group PLC: | | | | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 1,235,000 | | | BBB+ | | 2.907%(3-MonthUSD-LIBOR + 0.810%) due 11/7/23(c) | | | 1,239,533 | |
| | 400,000 | | | BBB+ | | 3.900% due 3/12/24 | | | 419,265 | |
| | 220,000 | | | BBB+ | | 4.450% due 5/8/25 | | | 237,314 | |
| | 200,000 | | | BBB+ | | 4.375% due 3/22/28 | | | 218,084 | |
| | 200,000 | | | BBB+ | | 3.574%(3-MonthUSD-LIBOR + 1.205%) due 11/7/28(c) | | | 204,813 | |
| | 245,000 | | | BBB- | | Subordinated Notes, 4.582% due 12/10/25 | | | 257,319 | |
| | | | | | Mizuho Financial Group Inc., Senior Unsecured Notes: | | | | |
| | 340,000 | | | A- | | 2.953% due 2/28/22 | | | 346,322 | |
| | 480,000 | | | A- | | 2.839%(3-MonthUSD-LIBOR + 0.980%) due 7/16/25(c) | | | 490,207 | |
| | 300,000 | | | A- | | Nordea Bank Abp, Subordinated Notes, 4.875% due 5/13/21(a) | | | 311,402 | |
| | 750,000 | | | A | | PNC Bank NA, Senior Unsecured Notes, 2.400% due 10/18/19 | | | 750,090 | |
| | | | | | Royal Bank of Canada, Senior Unsecured Notes: | | | | |
| | 120,000 | | | AA- | | 2.150% due 10/26/20 | | | 120,322 | |
| | 270,000 | | | AA- | | 3.200% due 4/30/21 | | | 276,010 | |
| | | | | | Royal Bank of Scotland Group PLC: | | | | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 400,000 | | | BBB | | 4.519%(3-MonthUSD-LIBOR + 1.550%) due 6/25/24(c) | | | 420,093 | |
| | 400,000 | | | BBB | | 4.269%(3-MonthUSD-LIBOR + 1.762%) due 3/22/25(c) | | | 418,037 | |
| | 400,000 | | | BBB | | 5.076%(3-MonthUSD-LIBOR + 1.905%) due 1/27/30(c) | | | 448,518 | |
| | | | | | Subordinated Notes: | | | | |
| | 30,000 | | | BB+ | | 6.125% due 12/15/22 | | | 32,474 | |
| | 320,000 | | | BB+ | | 6.100% due 6/10/23 | | | 347,228 | |
| | 80,000 | | | BB+ | | 6.000% due 12/19/23 | | | 87,171 | |
| | 110,000 | | | BB+ | | 5.125% due 5/28/24 | | | 116,491 | |
| | 30,000 | | | BBB+ | | Santander Holdings USA Inc., Senior Unsecured Notes, 4.500% due 7/17/25 | | | 32,320 | |
| | | | | | Santander UK Group Holdings PLC, Senior Unsecured Notes: | | | | |
| | 600,000 | | | BBB | | 2.875% due 8/5/21 | | | 602,766 | |
| | 560,000 | | | BBB | | 3.373%(3-MonthUSD-LIBOR + 1.080%) due 1/5/24(c) | | | 570,440 | |
| | | | | | Santander UK PLC: | | | | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 70,000 | | | A | | 2.375% due 3/16/20 | | | 70,085 | |
| | 380,000 | | | A | | 3.400% due 6/1/21 | | | 387,976 | |
See Notes to Financial Statements.
166
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Banks — 7.4% — (continued) | |
| $ | 170,000 | | | BBB- | | Subordinated Notes, 7.950% due 10/26/29 | | $ | 222,804 | |
| | | | | | Societe Generale SA, Senior Unsecured Notes: | | | | |
| | 205,000 | | | A | | 2.625% due 9/16/20(a) | | | 206,022 | |
| | 260,000 | | | A | | 2.500% due 4/8/21(a) | | | 261,235 | |
| | 335,000 | | | BBB+ | | Standard Chartered PLC, Senior Unsecured Notes, 3.785%(3-MonthUSD-LIBOR + 1.560%) due 5/21/25(a)(c) | | | 346,343 | |
| | 60,000 | | | A | | State Street Corp., Senior Unsecured Notes, 2.650% due 5/19/26 | | | 62,092 | |
| | | | | | Sumitomo Mitsui Financial Group Inc., Senior Unsecured Notes: | | | | |
| | 575,000 | | | A- | | 2.934% due 3/9/21 | | | 582,051 | |
| | 140,000 | | | A- | | 2.058% due 7/14/21 | | | 139,873 | |
| | 90,000 | | | A- | | 2.778% due 10/18/22 | | | 91,742 | |
| | 295,000 | | | A- | | 2.632% due 7/14/26 | | | 298,453 | |
| | 205,000 | | | A | | Sumitomo Mitsui Trust Bank Ltd., Senior Unsecured Notes, 1.950% due 9/19/19(a) | | | 204,961 | |
| | 200,000 | | | A- | | SunTrust Bank, Senior Unsecured Notes, 3.525%(3-MonthUSD-LIBOR + 0.500%) due
10/26/21(c) | | | 203,048 | |
| | 35,000 | | | BBB+ | | SunTrust Banks Inc., Senior Unsecured Notes, 4.000% due 5/1/25 | | | 38,162 | |
| | 250,000 | | | AA- | | Svenska Handelsbanken AB, Company Guaranteed Notes, 3.350% due 5/24/21 | | | 255,651 | |
| | 50,000 | | | BBB- | | Synovus Financial Corp., Senior Unsecured Notes, 3.125% due 11/1/22 | | | 50,194 | |
| | 170,000 | | | AA- | | Toronto-Dominion Bank (The), Senior Unsecured Notes, 3.250% due 6/11/21 | | | 173,988 | |
| | 200,000 | | | A+ | | UBS AG, Senior Unsecured Notes, 2.450% due 12/1/20(a) | | | 200,966 | |
| | | | | | UBS Group Funding Switzerland AG, Company Guaranteed Notes: | | | | |
| | 1,070,000 | | | BB | | 7.000%(5-Year USD Swap Rate + 4.344%)(a)(c)(d) | | | 1,135,538 | |
| | 260,000 | | | A- | | 2.650% due 2/1/22(a) | | | 262,932 | |
| | 650,000 | | | A- | | 3.491% due 5/23/23(a) | | | 670,018 | |
| | 795,000 | | | A- | | 2.859%(3-MonthUSD-LIBOR + 0.954%) due 8/15/23(a)(c) | | | 806,630 | |
| | 310,000 | | | A- | | 4.253% due 3/23/28(a) | | | 343,037 | |
| | | | | | UniCredit SpA: | | | | |
| | 580,000 | | | BBB- | | Senior Unsecured Notes, 6.572% due 1/14/22(a) | | | 623,879 | |
| | 200,000 | | | BB+ | | Subordinated Notes, 7.296%(5-Year USD 1100 Run ICE Swap Rate + 4.914%) due
4/2/34(a)(c) | | | 226,090 | |
| | 220,000 | | | A+ | | US Bancorp, Senior Unsecured Notes, 2.400% due 7/30/24 | | | 224,319 | |
| | 250,000 | | | AA- | | US Bank NA, Senior Unsecured Notes, 3.150% due 4/26/21 | | | 254,546 | |
| | 470,000 | | | BBB- | | Wachovia Capital Trust III, Limited Guaranteed Notes, 5.570%(3-MonthUSD-LIBOR +
0.930%)(c)(d) | | | 470,714 | |
| | 50,000 | | | BBB+ | | Wachovia Corp., Subordinated Notes, 5.500% due 8/1/35 | | | 63,093 | |
| | | | | | Wells Fargo & Co.: | | | | |
| | 60,000 | | | BBB- | | Junior Subordinated Notes, 5.875%(3-MonthUSD-LIBOR + 3.990%)(c)(d) | | | 66,219 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 5,000 | | | A- | | 2.625% due 7/22/22 | | | 5,086 | |
| | 825,000 | | | A- | | 3.750% due 1/24/24 | | | 879,044 | |
| | 135,000 | | | A- | | 3.000% due 2/19/25 | | | 139,979 | |
| | 41,000 | | | A- | | 3.550% due 9/29/25 | | | 43,653 | |
| | 925,000 | | | A- | | 3.000% due 4/22/26 | | | 958,470 | |
| | 1,210,000 | | | A- | | 3.000% due 10/23/26 | | | 1,258,499 | |
| | 550,000 | | | A- | | 3.196%(3-MonthUSD-LIBOR + 1.170%) due 6/17/27(c) | | | 573,333 | |
| | 180,000 | | | A- | | 3.584%(3-MonthUSD-LIBOR + 1.310%) due 5/22/28(c) | | | 193,132 | |
| | 690,000 | | | A- | | 4.150% due 1/24/29 | | | 773,809 | |
| | | | | | Subordinated Notes: | | | | |
| | 330,000 | | | BBB+ | | 3.450% due 2/13/23 | | | 343,029 | |
| | 169,000 | | | BBB+ | | 4.480% due 1/16/24 | | | 183,307 | |
| | 140,000 | | | BBB+ | | 4.100% due 6/3/26 | | | 151,726 | |
| | 950,000 | | | BBB+ | | 4.300% due 7/22/27 | | | 1,052,810 | |
| | 230,000 | | | BBB+ | | 5.375% due 11/2/43 | | | 304,036 | |
| | 110,000 | | | BBB+ | | 5.606% due 1/15/44 | | | 147,782 | |
| | 280,000 | | | BBB+ | | 4.650% due 11/4/44 | | | 336,769 | |
See Notes to Financial Statements.
167
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Banks — 7.4% — (continued) | |
| $ | 450,000 | | | BBB+ | | 4.900% due 11/17/45 | | $ | 560,618 | |
| | 40,000 | | | BBB+ | | 4.400% due 6/14/46 | | | 46,501 | |
| | 160,000 | | | BBB+ | | 4.750% due 12/7/46 | | | 196,306 | |
| | 790,000 | | | A+ | | Wells Fargo Bank NA, Senior Unsecured Notes, 2.600% due 1/15/21 | | | 796,060 | |
| | 100,000 | | | BBB- | | Wells Fargo Capital X, Limited Guaranteed Notes, 5.950% due 12/15/36 | | | 124,851 | |
| | | | | | Westpac Banking Corp., Senior Unsecured Notes: | | | | |
| | 380,000 | | | AA- | | 4.875% due 11/19/19 | | | 382,207 | |
| | 20,000 | | | AA- | | 2.300% due 5/26/20 | | | 20,039 | |
| | 140,000 | | | AA- | | 2.600% due 11/23/20 | | | 141,076 | |
| | 195,000 | | | AA- | | 3.650% due 5/15/23 | | | 206,616 | |
| | | | | | | | | | |
| | | | | | Total Banks | | | 89,268,964 | |
| | | | | | | | | | |
|
| | Beverages — 0.5% | |
| | | | | | Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide Inc., Company Guaranteed Notes: | | | | |
| | 340,000 | | | A- | | 3.650% due 2/1/26 | | | 365,459 | |
| | 720,000 | | | A- | | 4.700% due 2/1/36 | | | 838,078 | |
| | 1,439,000 | | | A- | | 4.900% due 2/1/46 | | | 1,718,167 | |
| | | | | | Anheuser-Busch InBev Finance Inc., Company Guaranteed Notes: | | | | |
| | 98,000 | | | A- | | 2.650% due 2/1/21 | | | 98,938 | |
| | 80,000 | | | A- | | 3.300% due 2/1/23 | | | 83,339 | |
| | | | | | Anheuser-Busch InBev Worldwide Inc., Company Guaranteed Notes: | | | | |
| | 200,000 | | | A- | | 2.500% due 7/15/22 | | | 202,951 | |
| | 220,000 | | | A- | | 3.500% due 1/12/24 | | | 233,250 | |
| | 180,000 | | | A- | | 4.150% due 1/23/25 | | | 197,200 | |
| | 160,000 | | | A- | | 4.000% due 4/13/28 | | | 177,405 | |
| | 480,000 | | | A- | | 4.750% due 1/23/29 | | | 560,901 | |
| | 50,000 | | | A- | | 4.950% due 1/15/42 | | | 60,032 | |
| | 400,000 | | | A- | | 5.550% due 1/23/49 | | | 526,163 | |
| | 25,000 | | | A- | | 4.750% due 4/15/58 | | | 29,304 | |
| | | | | | Bacardi Ltd., Company Guaranteed Notes: | | | | |
| | 155,000 | | | BBB- | | 4.700% due 5/15/28(a) | | | 172,343 | |
| | 140,000 | | | BBB- | | 5.300% due 5/15/48(a) | | | 161,427 | |
| | 173,000 | | | A- | | Diageo Capital PLC, Company Guaranteed Notes, 4.828% due 7/15/20 | | | 177,115 | |
| | 160,000 | | | A- | | Diageo Investment Corp., Company Guaranteed Notes, 2.875% due 5/11/22 | | | 164,232 | |
| | 50,000 | | | BBB- | | Molson Coors Brewing Co., Company Guaranteed Notes, 3.500% due 5/1/22 | | | 51,637 | |
| | | | | | PepsiCo Inc., Senior Unsecured Notes: | | | | |
| | 65,000 | | | A+ | | 2.850% due 2/24/26 | | | 68,042 | |
| | 150,000 | | | A+ | | 2.375% due 10/6/26 | | | 153,795 | |
| | 60,000 | | | A+ | | 4.450% due 4/14/46 | | | 76,127 | |
| | 190,000 | | | BBB | | Pernod Ricard SA, Senior Unsecured Notes, 4.450% due 1/15/22(a) | | | 200,573 | |
| | | | | | | | | | |
| | | | | | Total Beverages | | | 6,316,478 | |
| | | | | | | | | | |
|
| | Biotechnology — 0.3% | |
| | | | | | Amgen Inc., Senior Unsecured Notes: | | | | |
| | 60,000 | | | A | | 2.200% due 5/11/20 | | | 60,004 | |
| | 70,000 | | | A | | 3.625% due 5/22/24 | | | 74,485 | |
| | 45,000 | | | A | | 2.600% due 8/19/26 | | | 45,550 | |
| | 300,000 | | | A | | 4.400% due 5/1/45 | | | 341,827 | |
| | 54,000 | | | A | | 4.563% due 6/15/48 | | | 63,145 | |
| | 92,000 | | | A | | 4.663% due 6/15/51 | | | 109,600 | |
| | | | | | Celgene Corp., Senior Unsecured Notes: | | | | |
| | 10,000 | | | BBB+ | | 3.950% due 10/15/20 | | | 10,198 | |
| | 5,000 | | | BBB+ | | 3.250% due 8/15/22 | | | 5,167 | |
| | 60,000 | | | BBB+ | | 3.550% due 8/15/22 | | | 62,502 | |
| | 35,000 | | | BBB+ | | 3.250% due 2/20/23 | | | 36,408 | |
| | 260,000 | | | BBB+ | | 3.875% due 8/15/25 | | | 282,176 | |
See Notes to Financial Statements.
168
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Biotechnology — 0.3% — (continued) | |
| $ | 325,000 | | | BBB+ | | 3.900% due 2/20/28 | | $ | 361,267 | |
| | 910,000 | | | BBB+ | | 5.000% due 8/15/45 | | | 1,155,634 | |
| | | | | | Gilead Sciences Inc., Senior Unsecured Notes: | | | | |
| | 40,000 | | | A | | 2.550% due 9/1/20 | | | 40,220 | |
| | 160,000 | | | A | | 3.700% due 4/1/24 | | | 170,099 | |
| | 60,000 | | | A | | 3.650% due 3/1/26 | | | 64,562 | |
| | 50,000 | | | A | | 2.950% due 3/1/27 | | | 51,960 | |
| | 55,000 | | | A | | 4.600% due 9/1/35 | | | 65,947 | |
| | 160,000 | | | A | | 4.800% due 4/1/44 | | | 193,543 | |
| | 315,000 | | | A | | 4.750% due 3/1/46 | | | 383,578 | |
| | | | | | | | | | |
| | | | | | Total Biotechnology | | | 3,577,872 | |
| | | | | | | | | | |
|
| | Building Materials — 0.0% | |
| | 5,000 | | | BBB+ | | Johnson Controls International PLC, Senior Unsecured Notes, 3.900% due 2/14/26 | | | 5,395 | |
| | 30,000 | | | BBB | | Owens Corning, Senior Unsecured Notes, 4.400% due 1/30/48 | | | 28,230 | |
| | | | | | | | | | |
| | | | | | Total Building Materials | | | 33,625 | |
| | | | | | | | | | |
|
| | Chemicals — 0.3% | |
| | 200,000 | | | A- | | Air Liquide Finance SA, Company Guaranteed Notes, 1.750% due 9/27/21(a) | | | 198,677 | |
| | | | | | Dow Chemical Co. (The), Senior Unsecured Notes: | | | | |
| | 145,000 | | | BBB | | 4.550% due 11/30/25(a) | | | 159,998 | |
| | 194,000 | | | BBB | | 3.625% due 5/15/26(a) | | | 204,162 | |
| | 126,000 | | | BBB | | 4.375% due 11/15/42 | | | 132,877 | |
| | | | | | DuPont de Nemours Inc., Senior Unsecured Notes: | | | | |
| | 505,000 | | | A- | | 4.493% due 11/15/25 | | | 561,033 | |
| | 145,000 | | | A- | | 5.419% due 11/15/48 | | | 186,991 | |
| | 61,000 | | | BBB | | Eastman Chemical Co., Senior Unsecured Notes, 3.800% due 3/15/25 | | | 64,096 | |
| | 200,000 | | | BBB+ | | Equate Petrochemical BV, Company Guaranteed Notes, 4.250% due 11/3/26(a) | | | 217,420 | |
| | 405,000 | | | BBB | | International Flavors & Fragrances Inc., Senior Unsecured Notes, 5.000% due 9/26/48 | | | 457,195 | |
| | 200,000 | | | BBB+ | | LyondellBasell Industries NV, Senior Unsecured Notes, 6.000% due 11/15/21 | | | 214,232 | |
| | | | | | Monsanto Co., Senior Unsecured Notes: | | | | |
| | 60,000 | | | BBB | | 3.375% due 7/15/24 | | | 60,600 | |
| | 30,000 | | | BBB | | 4.400% due 7/15/44 | | | 29,755 | |
| | 60,000 | | | BBB | | Nutrien Ltd., Senior Unsecured Notes, 4.875% due 3/30/20 | | | 60,864 | |
| | 200,000 | | | BBB- | | OCP SA, Senior Unsecured Notes, 4.500% due 10/22/25(a) | | | 212,643 | |
| | 30,000 | | | BBB | | Sherwin-Williams Co. (The), Senior Unsecured Notes, 4.000% due 12/15/42 | | | 31,816 | |
| | 200,000 | | | BBB- | | Syngenta Finance NV, Company Guaranteed Notes, 3.933% due 4/23/21(a) | | | 203,558 | |
| | | | | | | | | | |
| | | | | | Total Chemicals | | | 2,995,917 | |
| | | | | | | | | | |
|
| | Commercial Services — 0.1% | |
| | | | | | Cintas Corp. No 2, Company Guaranteed Notes: | | | | |
| | 100,000 | | | A- | | 2.900% due 4/1/22 | | | 102,225 | |
| | 110,000 | | | A- | | 3.700% due 4/1/27 | | | 120,919 | |
| | 10,000 | | | BBB | | Equifax Inc., Senior Unsecured Notes, 2.300% due 6/1/21 | | | 9,990 | |
| | 220,000 | | | (P)BBB- | | Global Payments Inc., Senior Unsecured Notes, 3.200% due 8/15/29 | | | 225,987 | |
| | | | | | IHS Markit Ltd.: | | | | |
| | | | | | Company Guaranteed Notes: | | | | |
| | 84,000 | | | BBB- | | 5.000% due 11/1/22(a) | | | 89,785 | |
| | 48,000 | | | BBB- | | 4.000% due 3/1/26(a) | | | 51,154 | |
| | 450,000 | | | BBB- | | Senior Unsecured Notes, 4.750% due 8/1/28 | | | 509,850 | |
| | 100,000 | | | B+ | | Matthews International Corp., Company Guaranteed Notes, 5.250% due 12/1/25(a) | | | 95,500 | |
| | | | | | RELX Capital Inc., Company Guaranteed Notes: | | | | |
| | 10,000 | | | BBB+ | | 3.125% due 10/15/22 | | | 10,260 | |
| | 305,000 | | | BBB+ | | 3.500% due 3/16/23 | | | 318,052 | |
| | 30,000 | | | BBB+ | | 4.000% due 3/18/29 | | | 33,103 | |
See Notes to Financial Statements.
169
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Commercial Services — 0.1% — (continued) | |
| | | | | | Total System Services Inc., Senior Unsecured Notes: | | | | |
| $ | 40,000 | | | BBB- | | 3.800% due 4/1/21 | | $ | 40,848 | |
| | 30,000 | | | BBB- | | 3.750% due 6/1/23 | | | 31,394 | |
| | 30,000 | | | BBB- | | 4.000% due 6/1/23 | | | 31,688 | |
| | 40,000 | | | BB- | | United Rentals North America Inc., Company Guaranteed Notes, 6.500% due 12/15/26 | | | 43,650 | |
| | | | | | | | | | |
| | | | | | Total Commercial Services | | | 1,714,405 | |
| | | | | | | | | | |
|
| | Computers — 0.4% | |
| | | | | | Apple Inc., Senior Unsecured Notes: | | | | |
| | 110,000 | | | AA+ | | 1.550% due 8/4/21 | | | 109,490 | |
| | 300,000 | | | AA+ | | 2.400% due 5/3/23 | | | 306,528 | |
| | 280,000 | | | AA+ | | 2.450% due 8/4/26 | | | 286,693 | |
| | 550,000 | | | AA+ | | 3.350% due 2/9/27 | | | 594,867 | |
| | 360,000 | | | AA+ | | 2.900% due 9/12/27 | | | 378,593 | |
| | 360,000 | | | AA+ | | 3.850% due 5/4/43 | | | 411,475 | |
| | 145,000 | | | AA+ | | 3.450% due 2/9/45 | | | 157,120 | |
| | 580,000 | | | BBB- | | Dell International LLC/EMC Corp., Senior Secured Notes, 4.420% due 6/15/21(a) | | | 598,335 | |
| | 30,000 | | | BBB | | HP Inc., Senior Unsecured Notes, 6.000% due 9/15/41 | | | 33,676 | |
| | | | | | International Business Machines Corp., Senior Unsecured Notes: | | | | |
| | 150,000 | | | A | | 2.875% due 11/9/22 | | | 153,973 | |
| | 680,000 | | | A | | 3.000% due 5/15/24 | | | 707,925 | |
| | 290,000 | | | A | | 3.450% due 2/19/26 | | | 311,514 | |
| | 315,000 | | | A | | 3.300% due 5/15/26 | | | 334,168 | |
| | 45,000 | | | BB+ | | Seagate HDD Cayman, Company Guaranteed Notes, 4.750% due 1/1/25 | | | 46,871 | |
| | | | | | | | | | |
| | | | | | Total Computers | | | 4,431,228 | |
| | | | | | | | | | |
|
| | Cosmetics/Personal Care — 0.0% | |
| | 38,000 | | | BB- | | First Quality Finance Co., Inc., Company Guaranteed Notes, 5.000% due 7/1/25(a) | | | 39,520 | |
| | | | | | | | | | |
|
| | Diversified Financial Services — 1.0% | |
| | | | | | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Company Guaranteed Notes: | | | | |
| | 1,010,000 | | | BBB- | | 4.500% due 5/15/21 | | | 1,042,179 | |
| | 150,000 | | | BBB- | | 5.000% due 10/1/21 | | | 157,330 | |
| | 280,000 | | | BBB- | | 4.875% due 1/16/24 | | | 304,267 | |
| | | | | | Air Lease Corp., Senior Unsecured Notes: | | | | |
| | 460,000 | | | BBB | | 3.500% due 1/15/22 | | | 473,054 | |
| | 45,000 | | | BBB | | 3.875% due 7/3/23 | | | 47,166 | |
| | | | | | American Express Co., Senior Unsecured Notes: | | | | |
| | 72,000 | | | BBB+ | | 2.650% due 12/2/22 | | | 73,441 | |
| | 225,000 | | | BBB+ | | 3.700% due 8/3/23 | | | 238,599 | |
| | 60,000 | | | BBB+ | | 3.400% due 2/22/24 | | | 63,319 | |
| | 355,000 | | | BBB+ | | 2.500% due 7/30/24 | | | 362,095 | |
| | | | | | American Express Credit Corp., Senior Unsecured Notes: | | | | |
| | 140,000 | | | A- | | 2.375% due 5/26/20 | | | 140,196 | |
| | 30,000 | | | A- | | 2.600% due 9/14/20 | | | 30,170 | |
| | 60,000 | | | BBB | | Capital One Financial Corp., Senior Unsecured Notes, 3.500% due 6/15/23 | | | 62,699 | |
| | 60,000 | | | A | | Charles Schwab Corp. (The), Senior Unsecured Notes, 3.250% due 5/22/29 | | | 64,491 | |
| | 395,000 | | | AA- | | CME Group Inc., Senior Unsecured Notes, 3.750% due 6/15/28 | | | 445,460 | |
| | 50,000 | | | BBB- | | Discover Financial Services, Senior Unsecured Notes, 3.750% due 3/4/25 | | | 52,669 | |
| | | | | | GE Capital International Funding Co. Unlimited Co., Company Guaranteed Notes: | | | | |
| | 2,072,000 | | | BBB+ | | 2.342% due 11/15/20 | | | 2,058,486 | |
| | 3,304,000 | | | BBB+ | | 4.418% due 11/15/35 | | | 3,365,017 | |
| | | | | | Intercontinental Exchange Inc.: | | | | |
| | 185,000 | | | A | | Company Guaranteed Notes, 2.350% due 9/15/22 | | | 186,999 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 80,000 | | | A | | 3.750% due 9/21/28 | | | 89,290 | |
| | 85,000 | | | A | | 4.250% due 9/21/48 | | | 103,275 | |
See Notes to Financial Statements.
170
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Diversified Financial Services — 1.0% — (continued) | |
| $ | 30,000 | | | A | | KKR Group Finance Co. II LLC, Company Guaranteed Notes, 5.500% due 2/1/43(a) | | $ | 37,220 | |
| | 650,000 | | | NR | | Lehman Brothers Holdings Inc., Subordinated Notes, 6.750% due 12/28/17#(e)(f)(g) | | | — | |
| | | | | | Mastercard Inc., Senior Unsecured Notes: | | | | |
| | 200,000 | | | A+ | | 2.950% due 6/1/29 | | | 214,176 | |
| | 45,000 | | | A+ | | 3.650% due 6/1/49 | | | 52,351 | |
| | 80,000 | | | B+ | | Navient Corp., Senior Unsecured Notes, 8.000% due 3/25/20 | | | 82,600 | |
| | 630,000 | | | A- | | ORIX Corp., Senior Unsecured Notes, 2.900% due 7/18/22 | | | 643,743 | |
| | | | | | Park Aerospace Holdings Ltd., Company Guaranteed Notes: | | | | |
| | 400,000 | | | BBB- | | 5.250% due 8/15/22(a) | | | 423,500 | |
| | 255,000 | | | BBB- | | 4.500% due 3/15/23(a) | | | 264,461 | |
| | 60,000 | | | BBB- | | 5.500% due 2/15/24(a) | | | 64,959 | |
| | 220,000 | | | BBB+ | | Raymond James Financial Inc., Senior Unsecured Notes, 4.950% due 7/15/46 | | | 269,640 | |
| | 50,000 | | | BBB- | | Synchrony Financial, Senior Unsecured Notes, 4.375% due 3/19/24 | | | 53,436 | |
| | | | | | Visa Inc., Senior Unsecured Notes: | | | | |
| | 420,000 | | | AA- | | 3.150% due 12/14/25 | | | 450,185 | |
| | 150,000 | | | AA- | | 4.150% due 12/14/35 | | | 182,829 | |
| | 310,000 | | | AA- | | 4.300% due 12/14/45 | | | 394,169 | |
| | | | | | | | | | |
| | | | | | Total Diversified Financial Services | | | 12,493,471 | |
| | | | | | | | | | |
|
| | Electric — 1.6% | |
| | | | | | AEP Texas Inc., Senior Unsecured Notes: | | | | |
| | 50,000 | | | A- | | 2.400% due 10/1/22 | | | 50,377 | |
| | 50,000 | | | A- | | 3.850% due 10/1/25(a) | | | 53,366 | |
| | 110,000 | | | A- | | 4.150% due 5/1/49 | | | 130,771 | |
| | 225,000 | | | A- | | AEP Transmission Co. LLC, Senior Unsecured Notes, 3.750% due 12/1/47 | | | 250,570 | |
| | | | | | Alabama Power Co., Senior Unsecured Notes: | | | | |
| | 17,000 | | | A- | | 5.200% due 6/1/41 | | | 21,219 | |
| | 30,000 | | | A- | | 3.850% due 12/1/42 | | | 33,817 | |
| | 185,000 | | | A- | | 4.150% due 8/15/44 | | | 216,634 | |
| | 65,000 | | | A- | | 4.300% due 7/15/48 | | | 79,533 | |
| | 100,000 | | | BBB+ | | Alliant Energy Finance LLC, Company Guaranteed Notes, 3.750% due 6/15/23(a) | | | 105,049 | |
| | | | | | Baltimore Gas & Electric Co., Senior Unsecured Notes: | | | | |
| | 70,000 | | | A | | 3.500% due 8/15/46 | | | 74,712 | |
| | 150,000 | | | A | | 3.750% due 8/15/47 | | | 167,201 | |
| | 30,000 | | | A | | 4.250% due 9/15/48 | | | 37,075 | |
| | 170,000 | | | A- | | Berkshire Hathaway Energy Co., Senior Unsecured Notes, 3.250% due 4/15/28 | | | 180,851 | |
| | 20,000 | | | BBB+ | | Black Hills Corp., Senior Unsecured Notes, 3.150% due 1/15/27 | | | 20,510 | |
| | | | | | CenterPoint Energy Houston Electric LLC, General Refinance Mortgage: | | | | |
| | 50,000 | | | A | | 3.550% due 8/1/42 | | | 54,510 | |
| | 30,000 | | | A | | 3.950% due 3/1/48 | | | 35,044 | |
| | 30,000 | | | BBB | | CMS Energy Corp., Senior Unsecured Notes, 3.000% due 5/15/26 | | | 30,904 | |
| | | | | | Consumers Energy Co., 1st Mortgage Notes: | | | | |
| | 50,000 | | | A | | 3.950% due 5/15/43 | | | 58,245 | |
| | 95,000 | | | A | | 3.750% due 2/15/50 | | | 109,861 | |
| | 25,000 | | | A | | 3.100% due 8/15/50 | | | 25,716 | |
| | 117,000 | | | BBB+ | | Dayton Power & Light Co. (The), 1st Mortgage Notes, 3.950% due 6/15/49(a) | | | 133,491 | |
| | 35,000 | | | BBB | | Dominion Energy Inc., Junior Subordinated Notes, 2.579% due 7/1/20 | | | 35,065 | |
| | 310,000 | | | BBB- | | DPL Inc., Senior Unsecured Notes, 4.350% due 4/15/29(a) | | | 309,909 | |
| | | | | | DTE Electric Co., General Refinance Mortgage: | | | | |
| | 65,000 | | | A | | 3.650% due 3/15/24 | | | 69,151 | |
| | 100,000 | | | A | | 3.700% due 3/15/45 | | | 111,824 | |
| | 80,000 | | | A | | 4.050% due 5/15/48 | | | 95,633 | |
| | | | | | Duke Energy Carolinas LLC: | | | | |
| | | | | | 1st Mortgage Notes: | | | | |
| | 22,000 | | | A | | 3.950% due 11/15/28 | | | 24,961 | |
| | 40,000 | | | A | | 2.450% due 8/15/29 | | | 40,471 | |
See Notes to Financial Statements.
171
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Electric — 1.6% — (continued) | |
| $ | 590,000 | | | A | | 4.250% due 12/15/41 | | $ | 696,652 | |
| | 60,000 | | | A | | 3.700% due 12/1/47 | | | 66,848 | |
| | 16,000 | | | A | | 3.950% due 3/15/48 | | | 18,518 | |
| | 90,000 | | | A | | 3.200% due 8/15/49 | | | 93,172 | |
| | | | | | 1st Refinanced Mortgage Notes: | | | | |
| | 145,000 | | | A | | 2.950% due 12/1/26 | | | 152,020 | |
| | 30,000 | | | A | | 3.875% due 3/15/46 | | | 34,330 | |
| | | | | | Duke Energy Corp., Senior Unsecured Notes: | | | | |
| | 410,000 | | | BBB+ | | 3.550% due 9/15/21 | | | 420,110 | |
| | 180,000 | | | BBB+ | | 2.650% due 9/1/26 | | | 182,301 | |
| | | | | | Duke Energy Florida LLC: | | | | |
| | | | | | 1st Mortgage Notes: | | | | |
| | 45,000 | | | A | | 3.800% due 7/15/28 | | | 50,269 | |
| | 195,000 | | | A | | 5.900% due 3/1/33 | | | 262,106 | |
| | 165,000 | | | A | | 3.400% due 10/1/46 | | | 175,699 | |
| | 7,500 | | | A- | | Senior Unsecured Notes, 2.100% due 12/15/19 | | | 7,497 | |
| | | | | | Duke Energy Ohio Inc., 1st Mortgage Notes: | | | | |
| | 335,000 | | | A | | 3.650% due 2/1/29 | | | 371,534 | |
| | 60,000 | | | A | | 3.700% due 6/15/46 | | | 66,643 | |
| | 25,000 | | | A | | 4.300% due 2/1/49 | | | 30,686 | |
| | | | | | Duke Energy Progress LLC, 1st Mortgage Notes: | | | | |
| | 35,000 | | | A | | 3.000% due 9/15/21 | | | 35,704 | |
| | 30,000 | | | A | | 3.700% due 9/1/28 | | | 33,349 | |
| | 198,000 | | | A | | 4.100% due 5/15/42 | | | 231,287 | |
| | 50,000 | | | A | | 4.100% due 3/15/43 | | | 58,153 | |
| | 35,000 | | | A | | 4.200% due 8/15/45 | | | 41,363 | |
| | 750,000 | | | BBB- | | Duquesne Light Holdings Inc., Senior Unsecured Notes, 6.400% due 9/15/20(a) | | | 778,270 | |
| | 35,000 | | | BBB | | Entergy Corp., Senior Unsecured Notes, 2.950% due 9/1/26 | | | 35,740 | |
| | | | | | Entergy Louisiana LLC: | | | | |
| | 25,000 | | | A | | 1st Mortgage Notes, 5.400% due 11/1/24 | | | 29,033 | |
| | 115,000 | | | A | | Collateral Trust, 4.200% due 4/1/50 | | | 140,305 | |
| | 60,000 | | | A | | Entergy Texas Inc., 1st Mortgage Notes, 3.450% due 12/1/27 | | | 62,429 | |
| | 95,000 | | | BBB+ | | Eversource Energy, Senior Unsecured Notes, 2.800% due 5/1/23 | | | 96,811 | |
| | | | | | Exelon Corp., Senior Unsecured Notes: | | | | |
| | 175,000 | | | BBB | | 2.850% due 6/15/20 | | | 175,797 | |
| | 5,000 | | | BBB | | 2.450% due 4/15/21 | | | 5,016 | |
| | 143,000 | | | BBB | | 5.625% due 6/15/35 | | | 180,609 | |
| | | | | | FirstEnergy Corp., Senior Unsecured Notes: | | | | |
| | 310,000 | | | BBB- | | 3.900% due 7/15/27 | | | 333,525 | |
| | 1,250,000 | | | BBB- | | 7.375% due 11/15/31 | | | 1,793,051 | |
| | | | | | FirstEnergy Transmission LLC, Senior Unsecured Notes: | | | | |
| | 51,000 | | | BBB- | | 4.350% due 1/15/25(a) | | | 55,492 | |
| | 50,000 | | | BBB- | | 5.450% due 7/15/44(a) | | | 64,678 | |
| | 165,000 | | | BBB- | | 4.550% due 4/1/49(a) | | | 197,654 | |
| | | | | | Florida Power & Light Co., 1st Mortgage Notes: | | | | |
| | 50,000 | | | A | | 3.125% due 12/1/25 | | | 53,398 | |
| | 40,000 | | | A | | 5.690% due 3/1/40 | | | 56,156 | |
| | 52,000 | | | A | | 4.050% due 6/1/42 | | | 61,331 | |
| | 20,000 | | | A | | 3.800% due 12/15/42 | | | 22,776 | |
| | 65,000 | | | A | | 3.700% due 12/1/47 | | | 73,731 | |
| | 15,000 | | | A | | 4.125% due 6/1/48 | | | 18,244 | |
| | 100,000 | | | A | | 3.990% due 3/1/49 | | | 119,734 | |
| | 70,000 | | | A- | | Georgia Power Co., Senior Unsecured Notes, 2.000% due 3/30/20 | | | 69,876 | |
| | 15,000 | | | A- | | Indiana Michigan Power Co., Senior Unsecured Notes, 4.250% due 8/15/48 | | | 18,203 | |
| | 60,929 | | | A- | | Indiantown Cogeneration LP, 1st Mortgage Notes, 9.770% due 12/15/20(f) | | | 63,044 | |
See Notes to Financial Statements.
172
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Electric — 1.6% — (continued) | |
| $ | 400,000 | | | A- | | ITC Holdings Corp., Senior Unsecured Notes, 4.050% due 7/1/23 | | $ | 423,764 | |
| | 700,000 | | | BBB | | Jersey Central Power & Light Co., Senior Unsecured Notes, 4.700% due 4/1/24(a) | | | 769,285 | |
| | 20,000 | | | A+ | | Kansas City Power & Light Co., General Refinance Mortgage, 4.125% due 4/1/49 | | | 23,718 | |
| | 775,000 | | | A- | | KCP&L Greater Missouri Operations Co., Senior Unsecured Notes, 8.270% due 11/15/21 | | | 871,291 | |
| | | | | | MidAmerican Energy Co., 1st Mortgage Notes: | | | | |
| | 100,000 | | | A+ | | 3.100% due 5/1/27 | | | 106,500 | |
| | 400,000 | | | A+ | | 4.250% due 5/1/46 | | | 487,636 | |
| | 105,000 | | | BBB | | Mid-Atlantic Interstate Transmission LLC, Senior Unsecured Notes, 4.100% due 5/15/28(a) | | | 117,069 | |
| | | | | | NextEra Energy Capital Holdings Inc., Company Guaranteed Notes: | | | | |
| | 800,000 | | | BBB+ | | 2.767%(3-MonthUSD-LIBOR + 0.480%) due 5/4/21(c) | | | 800,113 | |
| | 50,000 | | | BBB+ | | 3.550% due 5/1/27 | | | 53,478 | |
| | | | | | Northern States Power Co., 1st Mortgage Notes: | | | | |
| | 70,000 | | | A | | 3.600% due 5/15/46 | | | 78,195 | |
| | 80,000 | | | A | | 3.600% due 9/15/47 | | | 89,077 | |
| | 20,000 | | | A | | 4.200% due 9/1/48 | | | 23,699 | |
| | | | | | Ohio Power Co., Senior Unsecured Notes: | | | | |
| | 40,000 | | | A- | | 6.600% due 2/15/33 | | | 56,833 | |
| | 30,000 | | | A- | | 4.150% due 4/1/48 | | | 36,035 | |
| | 50,000 | | | A- | | 4.000% due 6/1/49 | | | 58,384 | |
| | 30,000 | | | BBB+ | | Oklahoma Gas & Electric Co., Senior Unsecured Notes, 3.300% due 3/15/30 | | | 31,925 | |
| | | | | | Oncor Electric Delivery Co. LLC, Senior Secured Notes: | | | | |
| | 90,000 | | | A+ | | 3.700% due 11/15/28 | | | 100,606 | |
| | 20,000 | | | A+ | | 3.800% due 9/30/47 | | | 23,074 | |
| | | | | | PacifiCorp, 1st Mortgage Notes: | | | | |
| | 120,000 | | | A+ | | 5.750% due 4/1/37 | | | 162,398 | |
| | 30,000 | | | A+ | | 6.350% due 7/15/38 | | | 43,619 | |
| | 55,000 | | | A+ | | 4.150% due 2/15/50 | | | 66,162 | |
| | 35,000 | | | A | | PECO Energy Co., 1st Mortgage Notes, 3.900% due 3/1/48 | | | 40,465 | |
| | 500,000 | | | BBB+ | | Public Service Co. of New Mexico, Senior Unsecured Notes, 3.850% due 8/1/25 | | | 526,813 | |
| | | | | | Public Service Electric & Gas Co., 1st Mortgage Notes: | | | | |
| | 200,000 | | | A | | 3.000% due 5/15/27 | | | 210,934 | |
| | 500,000 | | | A | | 4.000% due 6/1/44 | | | 569,993 | |
| | 90,000 | | | BBB+ | | Sempra Energy, Senior Unsecured Notes, 2.803%(3-MonthUSD-LIBOR + 0.500%) due
1/15/21(c) | | | 89,892 | |
| | 130,000 | | | BBB+ | | Southern Power Co., Senior Unsecured Notes, 2.375% due 6/1/20 | | | 130,082 | |
| | 70,000 | | | A- | | Southwestern Electric Power Co., Senior Unsecured Notes, 4.100% due 9/15/28 | | | 78,697 | |
| | 25,000 | | | A | | Southwestern Public Service Co., 1st Mortgage Notes, 3.750% due 6/15/49 | | | 28,151 | |
| | 140,000 | | | BBB+ | | Tampa Electric Co., Senior Unsecured Notes, 4.450% due 6/15/49 | | | 175,383 | |
| | 800,000 | | | A- | | Tucson Electric Power Co., Senior Unsecured Notes, 3.850% due 3/15/23 | | | 833,094 | |
| | 115,000 | | | A | | Union Electric Co., Senior Secured Notes, 2.950% due 6/15/27 | | | 120,536 | |
| | | | | | Virginia Electric & Power Co., Senior Unsecured Notes: | | | | |
| | 205,000 | | | BBB+ | | 2.750% due 3/15/23 | | | 209,649 | |
| | 90,000 | | | BBB+ | | 3.800% due 4/1/28 | | | 99,534 | |
| | 195,000 | | | BBB+ | | 6.000% due 5/15/37 | | | 267,255 | |
| | 25,000 | | | BBB+ | | 6.350% due 11/30/37 | | | 35,448 | |
| | 70,000 | | | BBB+ | | 4.000% due 1/15/43 | | | 79,441 | |
| | 130,000 | | | BBB+ | | 4.450% due 2/15/44 | | | 157,065 | |
| | 595,000 | | | BBB+ | | 4.000% due 11/15/46 | | | 679,566 | |
| | 25,000 | | | BBB+ | | 4.600% due 12/1/48 | | | 31,405 | |
| | 160,000 | | | BBB- | | Vistra Operations Co. LLC, Senior Secured Notes, 4.300% due 7/15/29(a) | | | 163,680 | |
| | 45,000 | | | BBB+ | | WEC Energy Group Inc., Senior Unsecured Notes, 3.375% due 6/15/21 | | | 46,003 | |
| | | | | | | | | | |
| | | | | | Total Electric | | | 19,085,561 | |
| | | | | | | | | | |
See Notes to Financial Statements.
173
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Electronics — 0.0% | |
| | | | | | Agilent Technologies Inc., Senior Unsecured Notes: | | | | |
| $ | 120,000 | | | BBB+ | | 3.200% due 10/1/22 | | $ | 123,051 | |
| | 10,000 | | | BBB+ | | 3.050% due 9/22/26 | | | 10,285 | |
| | 10,000 | | | BBB- | | Avnet Inc., Senior Unsecured Notes, 4.625% due 4/15/26 | | | 10,910 | |
| | 58,000 | | | BBB- | | Trimble Inc., Senior Unsecured Notes, 4.150% due 6/15/23 | | | 60,877 | |
| | 20,000 | | | A- | | Tyco Electronics Group SA, Company Guaranteed Notes, 3.450% due 8/1/24 | | | 21,049 | |
| | | | | | | | | | |
| | | | | | Total Electronics | | | 226,172 | |
| | | | | | | | | | |
|
| | Engineering & Construction — 0.0% | |
| | 200,000 | | | A- | | Vinci SA, Senior Unsecured Notes, 3.750% due 4/10/29(a) | | | 221,620 | |
| | | | | | | | | | |
|
| | Entertainment — 0.0% | |
| | 360,000 | | | B+ | | Churchill Downs Inc., Company Guaranteed Notes, 4.750% due 1/15/28(a) | | | 372,600 | |
| | | | | | | | | | |
|
| | Environmental Control — 0.1% | |
| | 289,000 | | | BB+ | | Clean Harbors Inc., Senior Unsecured Notes, 5.125% due 7/15/29(a) | | | 308,508 | |
| | | | | | Republic Services Inc., Senior Unsecured Notes: | | | | |
| | 130,000 | | | BBB+ | | 2.500% due 8/15/24 | | | 132,240 | |
| | 45,000 | | | BBB+ | | 3.200% due 3/15/25 | | | 47,203 | |
| | 20,000 | | | BBB+ | | 2.900% due 7/1/26 | | | 20,811 | |
| | 260,000 | | | BBB+ | | 3.375% due 11/15/27 | | | 278,820 | |
| | | | | | Waste Management Inc., Company Guaranteed Notes: | | | | |
| | 40,000 | | | A- | | 4.600% due 3/1/21 | | | 41,252 | |
| | 100,000 | | | A- | | 3.500% due 5/15/24 | | | 106,164 | |
| | 50,000 | | | A- | | 3.125% due 3/1/25 | | | 52,570 | |
| | 110,000 | | | A- | | 3.200% due 6/15/26 | | | 117,200 | |
| | 110,000 | | | A- | | 3.450% due 6/15/29 | | | 120,417 | |
| | 105,000 | | | A- | | 4.000% due 7/15/39 | | | 121,448 | |
| | 245,000 | | | A- | | 4.150% due 7/15/49 | | | 292,029 | |
| | | | | | | | | | |
| | | | | | Total Environmental Control | | | 1,638,662 | |
| | | | | | | | | | |
|
| | Food — 0.6% | |
| | 395,000 | | | BBB- | | Campbell Soup Co., Senior Unsecured Notes, 3.300% due 3/15/21 | | | 400,667 | |
| | 179,000 | | | BBB- | | Conagra Brands Inc., Senior Unsecured Notes, 5.300% due 11/1/38 | | | 209,945 | |
| | 1,130,000 | | | BBB+ | | Danone SA, Senior Unsecured Notes, 2.077% due 11/2/21(a) | | | 1,127,600 | |
| | 165,000 | | | BBB- | | Kraft Foods Group Inc., Company Guaranteed Notes, 5.000% due 6/4/42 | | | 170,496 | |
| | | | | | Kraft Heinz Foods Co.: | | | | |
| | | | | | Company Guaranteed Notes: | | | | |
| | 250,000 | | | BBB- | | 5.375% due 2/10/20 | | | 253,015 | |
| | 80,000 | | | BBB- | | 3.950% due 7/15/25 | | | 83,063 | |
| | 460,000 | | | BBB- | | 3.000% due 6/1/26 | | | 452,714 | |
| | 50,000 | | | BBB- | | 5.000% due 7/15/35 | | | 53,570 | |
| | 145,000 | | | BBB- | | 5.200% due 7/15/45 | | | 153,174 | |
| | 925,000 | | | BBB- | | 4.375% due 6/1/46 | | | 890,146 | |
| | 56,000 | | | BBB- | | Secured Notes, 4.875% due 2/15/25(a) | | | 57,794 | |
| | 530,000 | | | BBB | | Kroger Co. (The), Senior Unsecured Notes, 5.400% due 1/15/49 | | | 633,339 | |
| | | | | | Mars Inc., Company Guaranteed Notes: | | | | |
| | 110,000 | | | A | | 2.700% due 4/1/25(a) | | | 113,828 | |
| | 350,000 | | | A | | 3.200% due 4/1/30(a) | | | 373,688 | |
| | 500,000 | | | BBB | | Mondelez International Holdings Netherlands BV, Company Guaranteed Notes, 2.000% due 10/28/21(a) | | | 498,707 | |
| | 34,000 | | | BB- | | Pilgrim’s Pride Corp., Company Guaranteed Notes, 5.875% due 9/30/27(a) | | | 36,763 | |
| | 100,000 | | | B+ | | Post Holdings Inc., Company Guaranteed Notes, 5.625% due 1/15/28(a) | | | 106,875 | |
| | 200,000 | | | AA- | | Seven & i Holdings Co., Ltd., Senior Unsecured Notes, 3.350% due 9/17/21(a) | | | 204,878 | |
| | 85,000 | | | BBB+ | | Sysco Corp., Company Guaranteed Notes, 3.550% due 3/15/25 | | | 90,668 | |
See Notes to Financial Statements.
174
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Food — 0.6% — (continued) | |
| | | | | | Tyson Foods Inc., Senior Unsecured Notes: | | | | |
| $ | 305,000 | | | BBB | | 3.900% due 9/28/23 | | $ | 324,657 | |
| | 400,000 | | | BBB | | 4.000% due 3/1/26 | | | 436,240 | |
| | 35,000 | | | BBB | | 4.550% due 6/2/47 | | | 40,356 | |
| | 25,000 | | | BBB | | 5.100% due 9/28/48 | | | 31,176 | |
| | 140,000 | | | A | | WM Wrigley Jr Co., Senior Unsecured Notes, 2.900% due 10/21/19(a) | | | 140,061 | |
| | | | | | | | | | |
| | | | | | Total Food | | | 6,883,420 | |
| | | | | | | | | | |
|
| | Forest Products & Paper — 0.0% | |
| | | | | | Georgia-Pacific LLC: | | | | |
| | 19,000 | | | A+ | | Company Guaranteed Notes, 5.400% due 11/1/20(a) | | | 19,705 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 55,000 | | | A+ | | 3.734% due 7/15/23(a) | | | 58,220 | |
| | 140,000 | | | A+ | | 3.600% due 3/1/25(a) | | | 149,160 | |
| | | | | | International Paper Co., Senior Unsecured Notes: | | | | |
| | 10,000 | | | BBB | | 7.300% due 11/15/39 | | | 13,995 | |
| | 85,000 | | | BBB | | 4.350% due 8/15/48 | | | 90,142 | |
| | 140,000 | | | B+ | | Resolute Forest Products Inc., Company Guaranteed Notes, 5.875% due 5/15/23(h) | | | 140,000 | |
| | | | | | | | | | |
| | | | | | Total Forest Products & Paper | | | 471,222 | |
| | | | | | | | | | |
|
| | Gas — 0.1% | |
| | 50,000 | | | A | | Atmos Energy Corp., Senior Unsecured Notes, 4.125% due 3/15/49 | | | 60,401 | |
| | | | | | Dominion Energy Gas Holdings LLC, Senior Unsecured Notes: | | | | |
| | 25,000 | | | BBB+ | | 4.800% due 11/1/43 | | | 30,849 | |
| | 35,000 | | | BBB+ | | 4.600% due 12/15/44 | | | 42,498 | |
| | | | | | NiSource Inc., Senior Unsecured Notes: | | | | |
| | 400,000 | | | BBB+ | | 2.650% due 11/17/22 | | | 406,091 | |
| | 140,000 | | | BBB+ | | 3.490% due 5/15/27 | | | 148,559 | |
| | 250,000 | | | A- | | Southern Co. Gas Capital Corp., Company Guaranteed Notes, 4.400% due 5/30/47 | | | 285,325 | |
| | | | | | | | | | |
| | | | | | Total Gas | | | 973,723 | |
| | | | | | | | | | |
|
| | Healthcare — Products — 0.3% | |
| | | | | | Abbott Laboratories, Senior Unsecured Notes: | | | | |
| | 151,000 | | | BBB+ | | 3.400% due 11/30/23 | | | 159,208 | |
| | 190,000 | | | BBB+ | | 2.950% due 3/15/25 | | | 197,875 | |
| | 146,000 | | | BBB+ | | 3.750% due 11/30/26 | | | 160,748 | |
| | 70,000 | | | BBB+ | | 4.750% due 11/30/36 | | | 87,837 | |
| | 150,000 | | | BBB+ | | 4.900% due 11/30/46 | | | 200,723 | |
| | | | | | Becton Dickinson & Co., Senior Unsecured Notes: | | | | |
| | 265,000 | | | BBB | | 2.404% due 6/5/20 | | | 265,337 | |
| | 500,000 | | | BBB | | 2.894% due 6/6/22 | | | 508,424 | |
| | 995,000 | | | BBB | | 3.363% due 6/6/24 | | | 1,039,174 | |
| | 61,000 | | | BBB | | 3.734% due 12/15/24 | | | 64,944 | |
| | 47,000 | | | BBB | | 4.685% due 12/15/44 | | | 55,966 | |
| | 100,000 | | | BB- | | Hologic Inc., Company Guaranteed Notes, 4.625% due 2/1/28(a) | | | 103,875 | |
| | | | | | Medtronic Inc., Company Guaranteed Notes: | | | | |
| | 89,000 | | | A | | 3.500% due 3/15/25 | | | 96,119 | |
| | 65,000 | | | A | | 4.375% due 3/15/35 | | | 79,093 | |
| | 13,000 | | | WR(b) | | St Jude Medical LLC, Senior Unsecured Notes, 4.750% due 4/15/43 | | | 13,378 | |
| | | | | | Thermo Fisher Scientific Inc., Senior Unsecured Notes: | | | | |
| | 45,000 | | | BBB+ | | 3.150% due 1/15/23 | | | 46,387 | |
| | 205,000 | | | BBB+ | | 3.000% due 4/15/23 | | | 210,994 | |
| | 60,000 | | | BBB+ | | 4.150% due 2/1/24 | | | 64,580 | |
| | 20,000 | | | BBB+ | | 2.950% due 9/19/26 | | | 20,695 | |
| | 80,000 | | | BBB+ | | 3.200% due 8/15/27 | | | 84,280 | |
| | 500,000 | | | BBB | | Zimmer Biomet Holdings Inc., Senior Unsecured Notes, 2.700% due 4/1/20 | | | 501,128 | |
| | | | | | | | | | |
| | | | | | Total Healthcare — Products | | | 3,960,765 | |
| | | | | | | | | | |
See Notes to Financial Statements.
175
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Healthcare — Services — 1.0% | |
| | | | | | Aetna Inc., Senior Unsecured Notes: | | | | |
| $ | 40,000 | | | BBB | | 2.800% due 6/15/23 | | $ | 40,660 | |
| | 55,000 | | | BBB | | 4.125% due 11/15/42 | | | 57,022 | |
| | 10,000 | | | BBB | | 3.875% due 8/15/47 | | | 10,088 | |
| | | | | | Anthem Inc., Senior Unsecured Notes: | | | | |
| | 450,000 | | | A | | 3.125% due 5/15/22 | | | 461,123 | |
| | 135,000 | | | A | | 2.950% due 12/1/22 | | | 138,200 | |
| | 1,125,000 | | | A | | 3.650% due 12/1/27 | | | 1,195,295 | |
| | 160,000 | | | B+ | | Catalent Pharma Solutions Inc., Company Guaranteed Notes, 4.875% due 1/15/26(a) | | | 163,200 | |
| | | | | | Centene Corp., Senior Unsecured Notes: | | | | |
| | 929,000 | | | BB+ | | 5.625% due 2/15/21 | | | 942,935 | |
| | 140,000 | | | BB+ | | 4.750% due 5/15/22 | | | 143,993 | |
| | 90,000 | | | BB+ | | 6.125% due 2/15/24 | | | 94,432 | |
| | 20,000 | | | BB+ | | 5.375% due 6/1/26(a) | | | 21,431 | |
| | | | | | CHS/Community Health Systems Inc., Senior Secured Notes: | | | | |
| | 26,000 | | | B- | | 8.625% due 1/15/24(a) | | | 26,065 | |
| | 59,000 | | | B- | | 8.000% due 3/15/26(a) | | | 56,788 | |
| | | | | | Cigna Holding Co., Company Guaranteed Notes: | | | | |
| | 125,000 | | | A- | | 3.250% due 4/15/25 | | | 129,364 | |
| | 20,000 | | | A- | | 3.050% due 10/15/27 | | | 20,439 | |
| | 30,000 | | | BBB+ | | CommonSpirit Health, Secured Notes, 4.350% due 11/1/42 | | | 32,747 | |
| | 20,000 | | | BBB | | Fresenius Medical Care US Finance Inc., Company Guaranteed Notes, 5.750% due 2/15/21(a) | | | 20,874 | |
| | | | | | HCA Inc.: | | | | |
| | | | | | Company Guaranteed Notes: | | | | |
| | 100,000 | | | BB- | | 7.500% due 2/15/22 | | | 112,231 | |
| | 40,000 | | | BB- | | 5.375% due 9/1/26 | | | 44,700 | |
| | 20,000 | | | BB- | | 5.625% due 9/1/28 | | | 22,806 | |
| | 309,000 | | | BB- | | 5.875% due 2/1/29 | | | 356,122 | |
| | | | | | Senior Secured Notes: | | | | |
| | 100,000 | | | BBB- | | 4.750% due 5/1/23 | | | 107,578 | |
| | 248,000 | | | BBB- | | 5.000% due 3/15/24 | | | 271,131 | |
| | 239,000 | | | BBB- | | 5.250% due 4/15/25 | | | 267,665 | |
| | 170,000 | | | BBB- | | 5.250% due 6/15/26 | | | 192,110 | |
| | 175,000 | | | BBB- | | 4.500% due 2/15/27 | | | 189,973 | |
| | 105,000 | | | BBB- | | 4.125% due 6/15/29 | | | 111,940 | |
| | 160,000 | | | BBB- | | 5.500% due 6/15/47 | | | 184,055 | |
| | 470,000 | | | BBB- | | 5.250% due 6/15/49 | | | 526,764 | |
| | | | | | Humana Inc., Senior Unsecured Notes: | | | | |
| | 360,000 | | | BBB+ | | 2.500% due 12/15/20 | | | 360,755 | |
| | 280,000 | | | BBB+ | | 3.150% due 12/1/22 | | | 287,503 | |
| | 30,000 | | | BBB+ | | 3.950% due 3/15/27 | | | 32,125 | |
| | 70,000 | | | BBB+ | | 4.625% due 12/1/42 | | | 80,474 | |
| | 40,000 | | | BBB+ | | 4.950% due 10/1/44 | | | 47,696 | |
| | 500,000 | | | BBB+ | | 3.950% due 8/15/49 | | | 524,165 | |
| | 500,000 | | | AA- | | Kaiser Foundation Hospitals, Company Guaranteed Notes, 3.150% due 5/1/27 | | | 534,527 | |
| | 255,000 | | | BB- | | Molina Healthcare Inc., Senior Unsecured Notes, 5.375% due 11/15/22 | | | 273,498 | |
| | | | | | Tenet Healthcare Corp., Senior Secured Notes: | | | | |
| | 225,000 | | | BB- | | 4.750% due 6/1/20 | | | 228,937 | |
| | 245,000 | | | BB- | | 4.500% due 4/1/21 | | | 253,697 | |
| | 256,000 | | | BB- | | 4.375% due 10/1/21 | | | 267,136 | |
| | 24,000 | | | BB- | | 4.625% due 7/15/24 | | | 24,780 | |
| | | | | | UnitedHealth Group Inc., Senior Unsecured Notes: | | | | |
| | 120,000 | | | A+ | | 2.700% due 7/15/20 | | | 120,808 | |
| | 460,000 | | | A+ | | 3.375% due 11/15/21 | | | 472,339 | |
| | 80,000 | | | A+ | | 2.875% due 12/15/21 | | | 81,647 | |
See Notes to Financial Statements.
176
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Healthcare — Services — 1.0% — (continued) | |
| $ | 390,000 | | | A+ | | 3.750% due 7/15/25 | | $ | 424,564 | |
| | 160,000 | | | A+ | | 3.450% due 1/15/27 | | | 172,181 | |
| | 500,000 | | | A+ | | 3.850% due 6/15/28 | | | 556,769 | |
| | 50,000 | | | A+ | | 3.875% due 12/15/28 | | | 56,164 | |
| | 145,000 | | | A+ | | 3.500% due 8/15/39 | | | 155,042 | |
| | 155,000 | | | A+ | | 3.950% due 10/15/42 | | | 173,042 | |
| | 22,000 | | | A+ | | 4.250% due 3/15/43 | | | 25,502 | |
| | 190,000 | | | A+ | | 4.750% due 7/15/45 | | | 237,494 | |
| | 70,000 | | | A+ | | 3.750% due 10/15/47 | | | 76,705 | |
| | 120,000 | | | A+ | | 3.700% due 8/15/49 | | | 131,944 | |
| | 90,000 | | | A+ | | 3.875% due 8/15/59 | | | 99,903 | |
| | | | | | WellCare Health Plans Inc., Senior Unsecured Notes: | | | | |
| | 41,000 | | | BB | | 5.250% due 4/1/25 | | | 43,083 | |
| | 104,000 | | | BB | | 5.375% due 8/15/26(a) | | | 111,150 | |
| | | | | | | | | | |
| | | | | | Total Healthcare — Services | | | 11,795,361 | |
| | | | | | | | | | |
|
| | Home Builders — 0.0% | |
| | | | | | Lennar Corp., Company Guaranteed Notes: | | | | |
| | 10,000 | | | BB+ | | 5.000% due 6/15/27 | | | 10,762 | |
| | 150,000 | | | BB+ | | 4.750% due 11/29/27 | | | 163,875 | |
| | 50,000 | | | BB+ | | Toll Brothers Finance Corp., Company Guaranteed Notes, 4.375% due 4/15/23 | | | 52,375 | |
| | | | | | | | | | |
| | | | | | Total Home Builders | | | 227,012 | |
| | | | | | | | | | |
|
| | Household Products/Wares — 0.0% | |
| | 45,000 | | | A- | | Clorox Co. (The), Senior Unsecured Notes, 3.900% due 5/15/28 | | | 50,522 | |
| | 90,000 | | | B+ | | Spectrum Brands Inc., Company Guaranteed Notes, 5.750% due 7/15/25 | | | 94,050 | |
| | | | | | | | | | |
| | | | | | Total Household Products/Wares | | | 144,572 | |
| | | | | | | | | | |
|
| | Housewares — 0.0% | |
| | | | | | Newell Brands Inc., Senior Unsecured Notes: | | | | |
| | 60,000 | | | BBB- | | 3.850% due 4/1/23 | | | 61,810 | |
| | 80,000 | | | BBB- | | 4.200% due 4/1/26 | | | 83,065 | |
| | | | | | | | | | |
| | | | | | Total Housewares | | | 144,875 | |
| | | | | | | | | | |
|
| | Insurance — 0.6% | |
| | 10,000 | | | BBB+ | | American International Group Inc., Senior Unsecured Notes, 4.875% due 6/1/22 | | | 10,720 | |
| | | | | | Aon Corp., Company Guaranteed Notes: | | | | |
| | 55,000 | | | A- | | 4.500% due 12/15/28 | | | 63,035 | |
| | 56,000 | | | A- | | 3.750% due 5/2/29 | | | 60,796 | |
| | | | | | Aon PLC, Company Guaranteed Notes: | | | | |
| | 116,000 | | | A- | | 4.450% due 5/24/43 | | | 129,554 | |
| | 54,000 | | | A- | | 4.600% due 6/14/44 | | | 63,380 | |
| | 80,000 | | | A- | | 4.750% due 5/15/45 | | | 96,889 | |
| | 255,000 | | | BBB+ | | AXA Equitable Holdings Inc., Senior Unsecured Notes, 3.900% due 4/20/23 | | | 267,964 | |
| | | | | | Berkshire Hathaway Finance Corp., Company Guaranteed Notes: | | | | |
| | 400,000 | | | AA | | 4.400% due 5/15/42 | | | 488,541 | |
| | 350,000 | | | AA | | 4.250% due 1/15/49 | | | 425,436 | |
| | 30,000 | | | AA | | Berkshire Hathaway Inc., Senior Unsecured Notes, 3.125% due 3/15/26 | | | 31,822 | |
| | 40,000 | | | BBB+ | | Brighthouse Financial Inc., Senior Unsecured Notes, 4.700% due 6/22/47 | | | 36,076 | |
| | | | | | Chubb INA Holdings Inc., Company Guaranteed Notes: | | | | |
| | 60,000 | | | A | | 2.300% due 11/3/20 | | | 60,246 | |
| | 70,000 | | | A | | 3.350% due 5/3/26 | | | 75,152 | |
| | 100,000 | | | BBB+ | | Farmers Exchange Capital, Subordinated Notes, 7.200% due 7/15/48(a) | | | 143,405 | |
| | 900,000 | | | BBB+ | | Farmers Exchange Capital II, Subordinated Notes, 6.151%(3-MonthUSD-LIBOR + 3.744%) due 11/1/53(a)(c) | | | 1,115,976 | |
| | 44,000 | | | BBB+ | | Hartford Financial Services Group Inc. (The), Senior Unsecured Notes, 4.300% due 4/15/43 | | | 49,687 | |
See Notes to Financial Statements.
177
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Insurance — 0.6% — (continued) | |
| $ | 20,000 | | | A | | Loews Corp., Senior Unsecured Notes, 4.125% due 5/15/43 | | $ | 22,512 | |
| | | | | | Marsh & McLennan Cos., Inc., Senior Unsecured Notes: | | | | |
| | 190,000 | | | A- | | 2.750% due 1/30/22 | | | 193,176 | |
| | 381,000 | | | A- | | 3.500% due 6/3/24 | | | 402,520 | |
| | 105,000 | | | A- | | 4.350% due 1/30/47 | | | 125,511 | |
| | 75,000 | | | A- | | 4.200% due 3/1/48 | | | 87,922 | |
| | | | | | MetLife Inc.: | | | | |
| | 620,000 | | | BBB | | Junior Subordinated Notes, 6.400% due 12/15/36 | | | 724,411 | |
| | 95,000 | | | A- | | Senior Unsecured Notes, 3.000% due 3/1/25 | | | 99,124 | |
| | 850,000 | | | A- | | Nationwide Mutual Insurance Co., Subordinated Notes, 4.700%(3-MonthUSD-LIBOR + 2.290%) due 12/15/24(a)(c) | | | 850,038 | |
| | | | | | Teachers Insurance & Annuity Association of America, Subordinated Notes: | | | | |
| | 24,000 | | | AA- | | 6.850% due 12/16/39(a) | | | 36,251 | |
| | 320,000 | | | AA- | | 4.900% due 9/15/44(a) | | | 403,147 | |
| | 55,000 | | | BBB | | Trinity Acquisition PLC, Company Guaranteed Notes, 4.400% due 3/15/26 | | | 60,295 | |
| | 340,000 | | | BBB | | Willis North America Inc., Company Guaranteed Notes, 4.500% due 9/15/28 | | | 382,663 | |
| | | | | | | | | | |
| | | | | | Total Insurance | | | 6,506,249 | |
| | | | | | | | | | |
|
| | Internet — 0.1% | |
| | | | | | Amazon.com Inc., Senior Unsecured Notes: | | | | |
| | 130,000 | | | AA- | | 3.150% due 8/22/27 | | | 139,789 | |
| | 109,000 | | | AA- | | 3.875% due 8/22/37 | | | 127,344 | |
| | 160,000 | | | AA- | | 4.950% due 12/5/44 | | | 214,865 | |
| | 102,000 | | | AA- | | 4.050% due 8/22/47 | | | 125,311 | |
| | 5,000 | | | AA- | | 4.250% due 8/22/57 | | | 6,377 | |
| | 35,000 | | | BBB+ | | eBay Inc., Senior Unsecured Notes, 4.000% due 7/15/42 | | | 34,707 | |
| | 40,000 | | | BBB | | Expedia Group Inc., Company Guaranteed Notes, 4.500% due 8/15/24 | | | 43,683 | |
| | 407,000 | | | A+ | | Tencent Holdings Ltd., Senior Unsecured Notes, 2.985% due 1/19/23(a) | | | 415,758 | |
| | | | | | | | | | |
| | | | | | Total Internet | | | 1,107,834 | |
| | | | | | | | | | |
|
| | Investment Companies — 0.0% | |
| | 470,000 | | | BBB- | | Ares Capital Corp., Senior Unsecured Notes, 4.250% due 3/1/25 | | | 487,359 | |
| | | | | | | | | | |
|
| | Iron/Steel — 0.1% | |
| | | | | | ArcelorMittal, Senior Unsecured Notes: | | | | |
| | 505,000 | | | BBB- | | 4.550% due 3/11/26 | | | 529,709 | |
| | 30,000 | | | BBB- | | 7.000% due 10/15/39 | | | 35,947 | |
| | 125,000 | | | BBB- | | Vale Overseas Ltd., Company Guaranteed Notes, 6.875% due 11/21/36 | | | 157,031 | |
| | | | | | | | | | |
| | | | | | Total Iron/Steel | | | 722,687 | |
| | | | | | | | | | |
|
| | Leisure Time — 0.0% | |
| | 110,000 | | | BB | | VOC Escrow Ltd., Senior Secured Notes, 5.000% due 2/15/28(a) | | | 113,300 | |
| | | | | | | | | | |
|
| | Lodging — 0.1% | |
| | 10,000 | | | BB+ | | Hilton Domestic Operating Co., Inc., Company Guaranteed Notes, 5.125% due 5/1/26 | | | 10,580 | |
| | | | | | Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., Company Guaranteed Notes: | | | | |
| | 10,000 | | | BB+ | | 4.625% due 4/1/25 | | | 10,350 | |
| | 60,000 | | | BB+ | | 4.875% due 4/1/27 | | | 63,375 | |
| | 590,000 | | | BBB- | | Las Vegas Sands Corp., Senior Unsecured Notes, 3.200% due 8/8/24 | | | 602,697 | |
| | 650,000 | | | BBB- | | Sands China Ltd., Senior Unsecured Notes, 5.125% due 8/8/25 | | | 721,565 | |
| | | | | | | | | | |
| | | | | | Total Lodging | | | 1,408,567 | |
| | | | | | | | | | |
|
| | Machinery — Diversified — 0.0% | |
| | 20,000 | | | BBB | | CNH Industrial NV, Senior Unsecured Notes, 3.850% due 11/15/27 | | | 20,828 | |
| | 20,000 | | | BBB | | Crane Co., Senior Unsecured Notes, 4.200% due 3/15/48 | | | 21,286 | |
| | 70,000 | | | A | | John Deere Capital Corp., Senior Unsecured Notes, 1.700% due 1/15/20 | | | 69,907 | |
| | 320,000 | | | BBB- | | nVent Finance Sarl, Company Guaranteed Notes, 3.950% due 4/15/23 | | | 327,665 | |
| | | | | | | | | | |
| | | | | | Total Machinery — Diversified | | | 439,686 | |
| | | | | | | | | | |
See Notes to Financial Statements.
178
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Machinery — Construction & Mining — 0.0% | |
| $ | 20,000 | | | A | | ABB Finance USA Inc., Company Guaranteed Notes, 4.375% due 5/8/42 | | $ | 25,136 | |
| | | | | | | | | | |
|
| | Media — 1.3% | |
| | | | | | CBS Corp., Company Guaranteed Notes: | | | | |
| | 30,000 | | | BBB | | 3.375% due 3/1/22 | | | 30,828 | |
| | 350,000 | | | BBB | | 3.700% due 6/1/28 | | | 371,107 | |
| | | | | | CCO Holdings LLC/CCO Holdings Capital Corp., Senior Unsecured Notes: | | | | |
| | 10,000 | | | BB | | 5.250% due 9/30/22 | | | 10,119 | |
| | 130,000 | | | BB | | 5.125% due 5/1/27(a) | | | 137,799 | |
| | 228,000 | | | BB | | 5.375% due 6/1/29(a) | | | 244,245 | |
| | | | | | Charter Communications Operating LLC/Charter Communications Operating Capital, Senior Secured Notes: | | | | |
| | 50,000 | | | BBB- | | 3.579% due 7/23/20 | | | 50,483 | |
| | 415,000 | | | BBB- | | 4.464% due 7/23/22 | | | 438,080 | |
| | 120,000 | | | BBB- | | 4.500% due 2/1/24 | | | 129,112 | |
| | 205,000 | | | BBB- | | 4.908% due 7/23/25 | | | 226,700 | |
| | 210,000 | | | BBB- | | 3.750% due 2/15/28 | | | 217,217 | |
| | 399,000 | | | BBB- | | 4.200% due 3/15/28 | | | 424,913 | |
| | 645,000 | | | BBB- | | 5.050% due 3/30/29 | | | 729,562 | |
| | 143,000 | | | BBB- | | 6.384% due 10/23/35 | | | 174,756 | |
| | 50,000 | | | BBB- | | 5.375% due 4/1/38 | | | 56,470 | |
| | 610,000 | | | BBB- | | 6.484% due 10/23/45 | | | 755,122 | |
| | 510,000 | | | BBB- | | 5.750% due 4/1/48 | | | 594,782 | |
| | 160,000 | | | A- | | Comcast Cable Communications Holdings Inc., Company Guaranteed Notes, 9.455% due 11/15/22 | | | 196,954 | |
| | | | | | Comcast Corp., Company Guaranteed Notes: | | | | |
| | 320,000 | | | A- | | 3.300% due 10/1/20 | | | 324,707 | |
| | 300,000 | | | A- | | 3.950% due 10/15/25 | | | 329,083 | |
| | 67,000 | | | A- | | 2.350% due 1/15/27 | | | 67,367 | |
| | 55,000 | | | A- | | 3.300% due 2/1/27 | | | 58,588 | |
| | 75,000 | | | A- | | 3.150% due 2/15/28 | | | 79,070 | |
| | 915,000 | | | A- | | 4.150% due 10/15/28 | | | 1,039,120 | |
| | 290,000 | | | A- | | 4.250% due 10/15/30 | | | 336,922 | |
| | 30,000 | | | A- | | 6.500% due 11/15/35 | | | 42,569 | |
| | 100,000 | | | A- | | 3.200% due 7/15/36 | | | 104,016 | |
| | 80,000 | | | A- | | 6.950% due 8/15/37 | | | 119,263 | |
| | 50,000 | | | A- | | 3.900% due 3/1/38 | | | 56,134 | |
| | 307,000 | | | A- | | 3.400% due 7/15/46 | | | 319,904 | |
| | 253,000 | | | A- | | 3.969% due 11/1/47 | | | 285,787 | |
| | 1,040,000 | | | A- | | 4.700% due 10/15/48 | | | 1,304,970 | |
| | 23,000 | | | A- | | 3.999% due 11/1/49 | | | 26,051 | |
| | 39,000 | | | A- | | 4.049% due 11/1/52 | | | 44,682 | |
| | 85,000 | | | A- | | 4.950% due 10/15/58 | | | 110,876 | |
| | | | | | Cox Communications Inc., Senior Unsecured Notes: | | | | |
| | 40,000 | | | BBB | | 3.250% due 12/15/22(a) | | | 41,137 | |
| | 227,000 | | | BBB | | 3.150% due 8/15/24(a) | | | 234,042 | |
| | 18,000 | | | BBB | | 3.350% due 9/15/26(a) | | | 18,723 | |
| | | | | | CSC Holdings LLC, Company Guaranteed Notes: | | | | |
| | 400,000 | | | BB | | 6.625% due 10/15/25(a) | | | 429,232 | |
| | 200,000 | | | BB | | 5.500% due 5/15/26(a) | | | 212,000 | |
| | | | | | Discovery Communications LLC, Company Guaranteed Notes: | �� | | | |
| | 35,000 | | | BBB- | | 2.200% due 9/20/19 | | | 34,995 | |
| | 85,000 | | | BBB- | | 5.000% due 9/20/37 | | | 93,898 | |
| | 66,000 | | | BBB- | | 4.875% due 4/1/43 | | | 70,340 | |
See Notes to Financial Statements.
179
| | | | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | | Security | | Value | |
|
| | Media — 1.3% — (continued) | |
| | | | | | | | DISH DBS Corp., Company Guaranteed Notes: | | | | |
| $ | 20,000 | | | | B- | | | 5.125% due 5/1/20 | | $ | 20,275 | |
| | 10,000 | | | | B- | | | 5.875% due 11/15/24 | | | 9,551 | |
| | 50,000 | | | | B- | | | 7.750% due 7/1/26 | | | 49,250 | |
| | | | | | | | Fox Corp., Senior Unsecured Notes: | | | | |
| | 355,000 | | | | BBB | | | 4.030% due 1/25/24(a) | | | 380,785 | |
| | 180,000 | | | | BBB | | | 4.709% due 1/25/29(a) | | | 208,499 | |
| | 240,000 | | | | BBB | | | 5.476% due 1/25/39(a) | | | 300,935 | |
| | 30,000 | | | | BBB | | | Historic TW Inc., Company Guaranteed Notes, 6.625% due 5/15/29 | | | 38,516 | |
| | 370,000 | | | | BBB- | | | Myriad International Holdings BV, Company Guaranteed Notes, 4.850% due 7/6/27(a) | | | 420,908 | |
| | | | | | | | NBCUniversal Media LLC, Company Guaranteed Notes: | | | | |
| | 40,000 | | | | A- | | | 5.150% due 4/30/20 | | | 40,786 | |
| | 180,000 | | | | A- | | | 5.950% due 4/1/41 | | | 250,783 | |
| | 115,000 | | | | BB | | | Sirius XM Radio Inc., Company Guaranteed Notes, 3.875% due 8/1/22(a) | | | 117,588 | |
| | | | | | | | Time Warner Cable LLC, Senior Secured Notes: | | | | |
| | 385,000 | | | | BBB- | | | 4.000% due 9/1/21 | | | 394,894 | |
| | 230,000 | | | | BBB- | | | 7.300% due 7/1/38 | | | 295,373 | |
| | 20,000 | | | | BBB- | | | 5.875% due 11/15/40 | | | 22,803 | |
| | 490,000 | | | | BBB- | | | 5.500% due 9/1/41 | | | 535,927 | |
| | | | | | | | Time Warner Entertainment Co. LP, Senior Secured Notes: | | | | |
| | 70,000 | | | | BBB- | | | 8.375% due 3/15/23 | | | 83,154 | |
| | 240,000 | | | | BBB- | | | 8.375% due 7/15/33 | | | 336,880 | |
| | 200,000 | | | | BB | | | UPCB Finance IV Ltd., Senior Secured Notes, 5.375% due 1/15/25(a) | | | 206,850 | |
| | | | | | | | Viacom Inc., Senior Unsecured Notes: | | | | |
| | 40,000 | | | | BBB- | | | 4.250% due 9/1/23 | | | 42,725 | |
| | 10,000 | | | | BBB- | | | 3.875% due 4/1/24 | | | 10,569 | |
| | 80,000 | | | | BBB- | | | 4.375% due 3/15/43 | | | 84,996 | |
| | 200,000 | | | | BB- | | | Virgin Media Secured Finance PLC, Senior Secured Notes, 5.250% due 1/15/26(a) | | | 205,750 | |
| | | | | | | | Walt Disney Co. (The), Company Guaranteed Notes: | | | | |
| | 30,000 | | | | A | | | 4.500% due 2/15/21(a) | | | 31,104 | |
| | 70,000 | | | | A | | | 6.200% due 12/15/34(a) | | | 99,265 | |
| | 45,000 | | | | A | | | 6.400% due 12/15/35(a) | | | 65,228 | |
| | 100,000 | | | | A | | | 6.150% due 3/1/37(a) | | | 143,539 | |
| | 30,000 | | | | A | | | 6.650% due 11/15/37(a) | | | 45,414 | |
| | 10,000 | | | | A | | | 6.900% due 8/15/39(a) | | | 15,595 | |
| | | | | | | | Warner Media LLC, Company Guaranteed Notes: | | | | |
| | 234,000 | | | | BBB | | | 3.875% due 1/15/26 | | | 249,515 | |
| | 165,000 | | | | BBB | | | 3.800% due 2/15/27 | | | 173,484 | |
| | 45,000 | | | | BBB | | | 7.625% due 4/15/31 | | | 62,759 | |
| | 50,000 | | | | BBB | | | 5.350% due 12/15/43 | | | 56,727 | |
| | | | | | | | | | | | |
| | | | | | | | Total Media | | | 15,572,152 | |
| | | | | | | | | | | | |
| | | |
| | Mining — 0.4% | | | | | | | | | | | |
| | | | | | | | Anglo American Capital PLC, Company Guaranteed Notes: | | | | |
| | 560,000 | | | | BBB | | | 3.625% due 9/11/24(a) | | | 578,201 | |
| | 470,000 | | | | BBB | | | 4.750% due 4/10/27(a) | | | 508,548 | |
| | 40,000 | | | | BBB | | | Barrick Gold Corp., Senior Unsecured Notes, 5.250% due 4/1/42 | | | 49,881 | |
| | | | | | | | Barrick North America Finance LLC, Company Guaranteed Notes: | | | | |
| | 70,000 | | | | BBB | | | 5.700% due 5/30/41 | | | 90,741 | |
| | 190,000 | | | | BBB | | | 5.750% due 5/1/43 | | | 255,903 | |
| | | | | | | | BHP Billsiton Finance USA Ltd., Company Guaranteed Notes: | | | | |
| | 150,000 | | | | A | | | 5.000% due 9/30/43 | | | 198,435 | |
| | 310,000 | | | | BBB+ | | | 6.750%(5-Year USD Swap Rate + 5.093%) due 10/19/75(a)(c) | | | 363,543 | |
| | | | | | | | Freeport-McMoRan Inc., Company Guaranteed Notes: | | | | |
| | 30,000 | | | | BB | | | 3.550% due 3/1/22 | | | 30,150 | |
| | 10,000 | | | | BB | | | 3.875% due 3/15/23 | | | 10,129 | |
See Notes to Financial Statements.
180
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Mining — 0.4% — (continued) | |
| $ | 10,000 | | | BB | | 4.550% due 11/14/24 | | $ | 10,123 | |
| | 50,000 | | | BB | | 5.450% due 3/15/43 | | | 45,875 | |
| | | | | | Glencore Funding LLC, Company Guaranteed Notes: | | | | |
| | 40,000 | | | BBB+ | | 2.875% due 4/16/20(a) | | | 40,103 | |
| | 950,000 | | | BBB+ | | 4.125% due 3/12/24(a) | | | 1,000,758 | |
| | 210,000 | | | BBB+ | | 4.625% due 4/29/24(a) | | | 222,905 | |
| | 270,000 | | | BBB+ | | 4.000% due 3/27/27(a) | | | 279,319 | |
| | 200,000 | | | Baa2(b) | | Indonesia Asahan Aluminium Persero PT, Senior Unsecured Notes, 6.530% due 11/15/28(a) | | | 248,536 | |
| | 50,000 | | | BBB | | Newmont Goldcorp Corp., Company Guaranteed Notes, 4.875% due 3/15/42 | | | 60,309 | |
| | 760,000 | | | BBB+ | | Southern Copper Corp., Senior Unsecured Notes, 5.250% due 11/8/42 | | | 879,790 | |
| | | | | | Teck Resources Ltd., Senior Unsecured Notes: | | | | |
| | 10,000 | | | BBB- | | 6.000% due 8/15/40 | | | 11,062 | |
| | 45,000 | | | BBB- | | 6.250% due 7/15/41 | | | 50,861 | |
| | 90,000 | | | BB+ | | Yamana Gold Inc., Company Guaranteed Notes, 4.625% due 12/15/27 | | | 95,699 | |
| | | | | | | | | | |
| | | | | | Total Mining | | | 5,030,871 | |
| | | | | | | | | | |
|
| | Miscellaneous Manufacturers — 0.4% | |
| | 150,000 | | | AA- | | 3M Co., Senior Unsecured Notes, 2.375% due 8/26/29 | | | 150,246 | |
| | | | | | Eaton Corp., Company Guaranteed Notes: | | | | |
| | 386,000 | | | A- | | 2.750% due 11/2/22 | | | 393,938 | |
| | 185,000 | | | A- | | 4.150% due 11/2/42 | | | 210,036 | |
| | | | | | General Electric Co.: | | | | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 20,000 | | | BBB+ | | 5.500% due 1/8/20 | | | 20,177 | |
| | 250,000 | | | BBB+ | | 4.625% due 1/7/21 | | | 255,718 | |
| | 72,000 | | | BBB+ | | 4.650% due 10/17/21 | | | 74,594 | |
| | 390,000 | | | BBB+ | | 6.750% due 3/15/32 | | | 478,512 | |
| | 1,025,000 | | | BBB+ | | 2.638%(3-MonthUSD-LIBOR + 0.480%) due 8/15/36(c) | | | 723,861 | |
| | 162,000 | | | BBB+ | | 6.150% due 8/7/37 | | | 191,889 | |
| | 230,000 | | | BBB+ | | 5.875% due 1/14/38 | | | 265,963 | |
| | 658,000 | | | BBB+ | | 6.875% due 1/10/39 | | | 839,598 | |
| | 70,000 | | | BBB+ | | 4.500% due 3/11/44 | | | 70,856 | |
| | 141,000 | | | BBB | | Subordinated Notes, 5.300% due 2/11/21 | | | 144,828 | |
| | 75,000 | | | BBB | | Ingersoll-Rand Luxembourg Finance SA, Company Guaranteed Notes, 3.500% due 3/21/26 | | | 78,692 | |
| | | | | | Textron Inc., Senior Unsecured Notes: | | | | |
| | 70,000 | | | BBB | | 3.650% due 3/15/27 | | | 73,888 | |
| | 140,000 | | | BBB | | 3.900% due 9/17/29 | | | 151,092 | |
| | | | | | | | | | |
| | | | | | Total Miscellaneous Manufacturers | | | 4,123,888 | |
| | | | | | | | | | |
|
| | Oil & Gas — 1.9% | |
| | 140,000 | | | BBB | | Anadarko Finance Co., Company Guaranteed Notes, 7.500% due 5/1/31 | | | 186,569 | |
| | | | | | Anadarko Petroleum Corp., Senior Unsecured Notes: | | | | |
| | 56,000 | | | BBB | | 4.850% due 3/15/21 | | | 57,906 | |
| | 760,000 | | | BBB | | 5.550% due 3/15/26 | | | 861,293 | |
| | 40,000 | | | BBB | | 6.450% due 9/15/36 | | | 50,397 | |
| | 150,000 | | | BBB | | 4.500% due 7/15/44 | | | 154,654 | |
| | 40,000 | | | BBB | | 6.600% due 3/15/46 | | | 52,991 | |
| | 130,000 | | | BBB | | 7.730% due 9/15/96 | | | 177,943 | |
| | 60,000 | | | BB | | Antero Resources Corp., Company Guaranteed Notes, 5.375% due 11/1/21 | | | 58,350 | |
| | | | | | Apache Corp., Senior Unsecured Notes: | | | | |
| | 181,000 | | | BBB | | 3.250% due 4/15/22 | | | 184,397 | |
| | 690,000 | | | BBB | | 4.375% due 10/15/28 | | | 708,395 | |
| | 280,000 | | | BBB | | 5.100% due 9/1/40 | | | 283,705 | |
| | 60,000 | | | BBB | | 4.250% due 1/15/44 | | | 54,541 | |
See Notes to Financial Statements.
181
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Oil & Gas — 1.9% — (continued) | |
| | | | | | BP Capital Markets America Inc., Company Guaranteed Notes: | | | | |
| $ | 110,000 | | | A- | | 3.245% due 5/6/22 | | $ | 113,608 | |
| | 230,000 | | | A- | | 3.216% due 11/28/23 | | | 240,006 | |
| | 470,000 | | | A- | | 3.410% due 2/11/26 | | | 501,003 | |
| | 90,000 | | | A- | | 4.234% due 11/6/28 | | | 102,606 | |
| | | | | | BP Capital Markets PLC, Company Guaranteed Notes: | | | | |
| | 270,000 | | | A- | | 3.814% due 2/10/24 | | | 289,217 | |
| | 30,000 | | | A- | | 3.535% due 11/4/24 | | | 32,034 | |
| | 270,000 | | | A- | | 3.506% due 3/17/25 | | | 288,058 | |
| | 94,000 | | | BBB+ | | Canadian Natural Resources Ltd., Senior Unsecured Notes, 3.850% due 6/1/27 | | | 99,833 | |
| | 28,000 | | | BB- | | Centennial Resource Production LLC, Company Guaranteed Notes, 5.375% due 1/15/26(a) | | | 26,810 | |
| | | | | | Chesapeake Energy Corp., Company Guaranteed Notes: | | | | |
| | 10,000 | | | B+ | | 6.625% due 8/15/20 | | | 10,025 | |
| | 30,000 | | | B+ | | 6.125% due 2/15/21 | | | 28,350 | |
| | 230,000 | | | AA | | Chevron Corp., Senior Unsecured Notes, 2.954% due 5/16/26 | | | 243,403 | |
| | | | | | Cimarex Energy Co., Senior Unsecured Notes: | | | | |
| | 87,000 | | | BBB- | | 4.375% due 6/1/24 | | | 91,788 | |
| | 486,000 | | | BBB- | | 3.900% due 5/15/27 | | | 497,587 | |
| | 530,000 | | | A+ | | CNOOC Finance 2015 USA LLC, Company Guaranteed Notes, 3.500% due 5/5/25 | | | 557,427 | |
| | | | | | Concho Resources Inc., Company Guaranteed Notes: | | | | |
| | 20,000 | | | BBB- | | 4.375% due 1/15/25 | | | 20,748 | |
| | 100,000 | | | BBB- | | 3.750% due 10/1/27 | | | 104,156 | |
| | 550,000 | | | BBB- | | 4.300% due 8/15/28 | | | 599,002 | |
| | | | | | Continental Resources Inc., Company Guaranteed Notes: | | | | |
| | 78,000 | | | BBB- | | 4.500% due 4/15/23 | | | 80,823 | |
| | 950,000 | | | BBB- | | 3.800% due 6/1/24 | | | 964,532 | |
| | 30,000 | | | BBB- | | 4.375% due 1/15/28 | | | 30,815 | |
| | | | | | Devon Energy Corp., Senior Unsecured Notes: | | | | |
| | 480,000 | | | BBB | | 5.850% due 12/15/25 | | | 575,284 | |
| | 235,000 | | | BBB | | 5.600% due 7/15/41 | | | 289,963 | |
| | 10,000 | | | BBB | | 4.750% due 5/15/42 | | | 11,123 | |
| | 50,000 | | | BB+ | | Diamondback Energy Inc., Company Guaranteed Notes, 5.375% due 5/31/25 | | | 52,625 | |
| | | | | | Ecopetrol SA, Senior Unsecured Notes: | | | | |
| | 95,000 | | | BBB- | | 4.125% due 1/16/25 | | | 99,869 | |
| | 750,000 | | | BBB- | | 5.875% due 5/28/45 | | | 884,070 | |
| | 29,000 | | | BB- | | Endeavor Energy Resources LP/EER Finance Inc., Senior Unsecured Notes, 5.750% due 1/30/28(a) | | | 30,522 | |
| | 150,000 | | | A- | | EOG Resources Inc., Senior Unsecured Notes, 3.900% due 4/1/35 | | | 168,818 | |
| | | | | | Exxon Mobil Corp., Senior Unsecured Notes: | | | | |
| | 380,000 | | | AA+ | | 3.043% due 3/1/26 | | | 403,778 | |
| | 70,000 | | | AA+ | | 4.114% due 3/1/46 | | | 85,061 | |
| | 100,000 | | | AA+ | | 3.095% due 8/16/49 | | | 103,925 | |
| | | | | | Kerr-McGee Corp., Company Guaranteed Notes: | | | | |
| | 200,000 | | | BBB | | 6.950% due 7/1/24 | | | 236,647 | |
| | 75,000 | | | BBB | | 7.875% due 9/15/31 | | | 103,426 | |
| | 210,000 | | | BBB | | Marathon Oil Corp., Senior Unsecured Notes, 2.700% due 6/1/20 | | | 210,497 | |
| | | | | | Marathon Petroleum Corp., Senior Unsecured Notes: | | | | |
| | 55,000 | | | BBB | | 4.750% due 12/15/23 | | | 59,961 | |
| | 40,000 | | | BBB | | 6.500% due 3/1/41 | | | 50,949 | |
| | 90,000 | | | BB- | | Matador Resources Co., Company Guaranteed Notes, 5.875% due 9/15/26 | | | 87,637 | |
| | | | | | Noble Energy Inc., Senior Unsecured Notes: | | | | |
| | 60,000 | | | BBB | | 4.150% due 12/15/21 | | | 61,979 | |
| | 120,000 | | | BBB | | 3.850% due 1/15/28 | | | 125,256 | |
| | 110,000 | | | BBB | | 5.250% due 11/15/43 | | | 124,849 | |
| | 60,000 | | | BBB | | 4.950% due 8/15/47 | | | 66,828 | |
See Notes to Financial Statements.
182
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Oil & Gas — 1.9% — (continued) | |
| | | | | | Oasis Petroleum Inc., Company Guaranteed Notes: | | | | |
| $ | 30,000 | | | BB- | | 6.875% due 3/15/22 | | $ | 28,050 | |
| | 29,000 | | | BB- | | 6.875% due 1/15/23 | | | 26,390 | |
| | | | | | Occidental Petroleum Corp., Senior Unsecured Notes: | | | | |
| | 438,000 | | | BBB | | 2.600% due 8/13/21 | | | 441,060 | |
| | 100,000 | | | BBB | | 3.125% due 2/15/22 | | | 101,517 | |
| | 468,000 | | | BBB | | 2.700% due 8/15/22 | | | 472,556 | |
| | 225,000 | | | BBB | | 2.900% due 8/15/24 | | | 227,277 | |
| | 90,000 | | | BBB | | 3.400% due 4/15/26 | | | 91,477 | |
| | 215,000 | | | BBB | | 3.500% due 8/15/29 | | | 219,135 | |
| | 90,000 | | | BBB | | 4.625% due 6/15/45 | | | 95,200 | |
| | 57,000 | | | BBB | | 4.400% due 4/15/46 | | | 58,279 | |
| | 30,000 | | | BBB | | 4.100% due 2/15/47 | | | 29,830 | |
| | 560,000 | | | BBB | | 4.200% due 3/15/48 | | | 565,946 | |
| | 75,000 | | | BB- | | Parsley Energy LLC/Parsley Finance Corp., Company Guaranteed Notes, 5.375% due
1/15/25(a) | | | 76,875 | |
| | | | | | Petrobras Global Finance BV, Company Guaranteed Notes: | | | | |
| | 1,358,000 | | | BB- | | 5.299% due 1/27/25 | | | 1,471,665 | |
| | 360,000 | | | BB- | | 5.750% due 2/1/29 | | | 390,780 | |
| | | | | | Petroleos Mexicanos, Company Guaranteed Notes: | | | | |
| | 255,000 | | | BBB+ | | 6.000% due 3/5/20 | | | 258,310 | |
| | 610,000 | | | BBB+ | | 3.500% due 1/30/23 | | | 594,140 | |
| | 1,065,000 | | | BBB+ | | 6.500% due 3/13/27 | | | 1,095,885 | |
| | 140,000 | | | BBB+ | | 5.350% due 2/12/28 | | | 132,930 | |
| | 755,000 | | | BBB+ | | 6.500% due 1/23/29 | | | 769,262 | |
| | 19,000 | | | BBB+ | | 6.625% due 6/15/35 | | | 18,572 | |
| | 35,000 | | | BBB+ | | 6.500% due 6/2/41 | | | 32,823 | |
| | 1,170,000 | | | BBB+ | | 6.750% due 9/21/47 | | | 1,117,350 | |
| | 40,000 | | | BB- | | QEP Resources Inc., Senior Unsecured Notes, 6.875% due 3/1/21 | | | 39,900 | |
| | | | | | Range Resources Corp., Company Guaranteed Notes: | | | | |
| | 20,000 | | | BB | | 5.875% due 7/1/22 | | | 19,250 | |
| | 110,000 | | | BB | | 5.000% due 3/15/23 | | | 97,625 | |
| | 267,000 | | | BB | | 4.875% due 5/15/25 | | | 220,275 | |
| | | | | | Shell International Finance BV, Company Guaranteed Notes: | | | | |
| | 180,000 | | | AA- | | 4.375% due 3/25/20 | | | 182,331 | |
| | 500,000 | | | AA- | | 3.250% due 5/11/25 | | | 531,896 | |
| | 260,000 | | | AA- | | 2.875% due 5/10/26 | | | 272,593 | |
| | 300,000 | | | AA- | | 3.875% due 11/13/28 | | | 340,674 | |
| | 145,000 | | | AA- | | 4.125% due 5/11/35 | | | 169,561 | |
| | 114,000 | | | AA- | | 4.550% due 8/12/43 | | | 141,453 | |
| | 220,000 | | | AA- | | 4.375% due 5/11/45 | | | 269,844 | |
| | 40,000 | | | AA- | | 4.000% due 5/10/46 | | | 47,058 | |
| | 400,000 | | | A+ | | Sinopec Group Overseas Development 2014 Ltd., Company Guaranteed Notes, 4.375% due 4/10/24(a) | | | 435,125 | |
| | | | | | Suncor Energy Inc., Senior Unsecured Notes: | | | | |
| | 5,000 | | | A- | | 5.950% due 5/15/35 | | | 6,519 | |
| | 58,000 | | | A- | | 6.800% due 5/15/38 | | | 82,944 | |
| | 113,030 | | | B+ | | Transocean Pontus Ltd., Senior Secured Notes, 6.125% due 8/1/25(a) | | | 115,166 | |
| | 140,000 | | | B+ | | Transocean Poseidon Ltd., Senior Secured Notes, 6.875% due 2/1/27(a) | | | 146,475 | |
| | 50,000 | | | BB- | | Whiting Petroleum Corp., Company Guaranteed Notes, 5.750% due 3/15/21 | | | 46,947 | |
| | | | | | | | | | |
| | | | | | Total Oil & Gas | | | 23,066,984 | |
| | | | | | | | | | |
See Notes to Financial Statements.
183
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Oil & Gas Services — 0.1% | |
| | | | | | Halliburton Co., Senior Unsecured Notes: | | | | |
| $ | 220,000 | | | A- | | 3.800% due 11/15/25 | | $ | 233,380 | |
| | 20,000 | | | A- | | 4.850% due 11/15/35 | | | 22,600 | |
| | 50,000 | | | A- | | 5.000% due 11/15/45 | | | 56,062 | |
| | | | | | Schlumberger Holdings Corp., Senior Unsecured Notes: | | | | |
| | 120,000 | | | A+ | | 4.000% due 12/21/25(a) | | | 128,903 | |
| | 171,000 | | | A+ | | 3.900% due 5/17/28(a) | | | 182,024 | |
| | 20,000 | | | A+ | | Schlumberger Norge AS, Company Guaranteed Notes, 4.200% due 1/15/21(a) | | | 20,434 | |
| | 93,750 | | | B+ | | Transocean Proteus Ltd., Senior Secured Notes, 6.250% due 12/1/24(a) | | | 96,328 | |
| | | | | | | | | | |
| | | | | | Total Oil & Gas Services | | | 739,731 | |
| | | | | | | | | | |
|
| | Packaging & Containers — 0.2% | |
| | 500,000 | | | BBB | | Amcor Finance USA Inc., Company Guaranteed Notes, 4.500% due 5/15/28(a) | | | 549,978 | |
| | 130,000 | | | BB+ | | Ball Corp., Company Guaranteed Notes, 4.000% due 11/15/23 | | | 137,638 | |
| | 80,000 | | | BBB- | | Berry Global Inc, Senior Secured Notes, 4.875% due 7/15/26(a) | | | 84,200 | |
| | 24,000 | | | BB | | OI European Group BV, Company Guaranteed Notes, 4.000% due 3/15/23(a) | | | 24,240 | |
| | 411,871 | | | B+ | | Reynolds Group Issuer Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu, Senior Secured Notes, 5.750% due 10/15/20 | | | 413,415 | |
| | 235,000 | | | BB+ | | Sealed Air Corp., Company Guaranteed Notes, 5.500% due 9/15/25(a) | | | 255,563 | |
| | 175,000 | | | BB- | | Silgan Holdings Inc., Senior Unsecured Notes, 4.750% due 3/15/25 | | | 180,486 | |
| | | | | | WestRock RKT LLC, Company Guaranteed Notes: | | | | |
| | 39,000 | | | BBB | | 4.900% due 3/1/22 | | | 41,377 | |
| | 20,000 | | | BBB | | 4.000% due 3/1/23 | | | 21,019 | |
| | 280,000 | | | BBB | | WRKCo Inc., Company Guaranteed Notes, 4.900% due 3/15/29 | | | 320,025 | |
| | | | | | | | | | |
| | | | | | Total Packaging & Containers | | | 2,027,941 | |
| | | | | | | | | | |
|
| | Pharmaceuticals — 1.7% | |
| | | | | | AbbVie Inc., Senior Unsecured Notes: | | | | |
| | 60,000 | | | A- | | 3.375% due 11/14/21 | | | 61,554 | |
| | 100,000 | | | A- | | 3.600% due 5/14/25 | | | 104,341 | |
| | 240,000 | | | A- | | 4.500% due 5/14/35 | | | 262,020 | |
| | 15,000 | | | A- | | 4.300% due 5/14/36 | | | 16,020 | |
| | 889,000 | | | A- | | 4.400% due 11/6/42 | | | 942,960 | |
| | 385,000 | | | BBB | | Allergan Finance LLC, Company Guaranteed Notes, 3.250% due 10/1/22 | | | 393,919 | |
| | | | | | Allergan Funding SCS, Company Guaranteed Notes: | | | | |
| | 155,000 | | | BBB | | 3.450% due 3/15/22 | | | 159,264 | |
| | 15,000 | | | BBB | | 3.850% due 6/15/24 | | | 15,831 | |
| | 288,000 | | | BBB | | 3.800% due 3/15/25 | | | 302,715 | |
| | 255,000 | | | BBB | | 4.550% due 3/15/35 | | | 274,676 | |
| | 150,000 | | | BBB | | 4.750% due 3/15/45 | | | 163,946 | |
| | 280,000 | | | BBB | | Allergan Inc., Company Guaranteed Notes, 2.800% due 3/15/23 | | | 282,517 | |
| | | | | | AstraZeneca PLC, Senior Unsecured Notes: | | | | |
| | 40,000 | | | BBB+ | | 2.375% due 6/12/22 | | | 40,332 | |
| | 200,000 | | | BBB+ | | 3.375% due 11/16/25 | | | 212,241 | |
| | 60,000 | | | B- | | Bausch Health Americas Inc., Company Guaranteed Notes, 9.250% due 4/1/26(a) | | | 68,100 | |
| | | | | | Bausch Health Cos., Inc.: | | | | |
| | 17,000 | | | B- | | Company Guaranteed Notes, 5.500% due 3/1/23(a) | | | 17,234 | |
| | 100,000 | | | BB- | | Senior Secured Notes, 5.500% due 11/1/25(a) | | | 105,248 | |
| | | | | | Bayer US Finance II LLC, Company Guaranteed Notes: | | | | |
| | 560,000 | | | BBB | | 4.375% due 12/15/28(a) | | | 611,972 | |
| | 140,000 | | | BBB | | 4.400% due 7/15/44(a) | | | 145,236 | |
| | 55,000 | | | BBB | | 3.950% due 4/15/45(a) | | | 53,441 | |
| | 100,000 | | | BBB | | 4.875% due 6/25/48(a) | | | 112,578 | |
| | | | | | Bayer US Finance LLC, Company Guaranteed Notes: | | | | |
| | 200,000 | | | BBB | | 3.000% due 10/8/21(a) | | | 202,577 | |
| | 745,000 | | | BBB | | 3.375% due 10/8/24(a) | | | 769,060 | |
See Notes to Financial Statements.
184
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Pharmaceuticals — 1.7% — (continued) | |
| | | | | | Bristol-Myers Squibb Co., Senior Unsecured Notes: | | | | |
| $ | 190,000 | | | A+ | | 2.600% due 5/16/22(a) | | $ | 193,640 | |
| | 370,000 | | | A+ | | 2.900% due 7/26/24(a) | | | 383,785 | |
| | 475,000 | | | A+ | | 3.200% due 6/15/26(a) | | | 502,228 | |
| | 130,000 | | | A+ | | 3.400% due 7/26/29(a) | | | 140,839 | |
| | 100,000 | | | A+ | | 4.125% due 6/15/39(a) | | | 116,760 | |
| | | | | | Cardinal Health Inc., Senior Unsecured Notes: | | | | |
| | 20,000 | | | BBB+ | | 4.625% due 12/15/20 | | | 20,610 | |
| | 70,000 | | | BBB+ | | 2.616% due 6/15/22 | | | 70,469 | |
| | 350,000 | | | BBB+ | | 3.079% due 6/15/24 | | | 355,029 | |
| | | | | | Cigna Corp., Company Guaranteed Notes: | | | | |
| | 110,000 | | | A- | | 3.400% due 9/17/21 | | | 112,805 | |
| | 410,000 | | | A- | | 3.750% due 7/15/23 | | | 431,247 | |
| | 90,000 | | | A- | | 4.125% due 11/15/25 | | | 97,976 | |
| | 1,220,000 | | | A- | | 4.375% due 10/15/28 | | | 1,364,986 | |
| | 500,000 | | | A- | | 4.900% due 12/15/48 | | | 592,380 | |
| | | | | | CVS Health Corp., Senior Unsecured Notes: | | | | |
| | 5,000 | | | BBB | | 2.800% due 7/20/20 | | | 5,026 | |
| | 99,000 | | | BBB | | 3.350% due 3/9/21 | | | 100,975 | |
| | 340,000 | | | BBB | | 2.750% due 12/1/22 | | | 345,364 | |
| | 830,000 | | | BBB | | 3.700% due 3/9/23 | | | 868,014 | |
| | 400,000 | | | BBB | | 4.100% due 3/25/25 | | | 428,461 | |
| | 116,000 | | | BBB | | 3.875% due 7/20/25 | | | 123,121 | |
| | 1,620,000 | | | BBB | | 4.300% due 3/25/28 | | | 1,768,034 | |
| | 440,000 | | | BBB | | 4.780% due 3/25/38 | | | 493,012 | |
| | 105,000 | | | BBB | | 5.125% due 7/20/45 | | | 122,196 | |
| | 2,260,000 | | | BBB | | 5.050% due 3/25/48 | | | 2,636,420 | |
| | 162,880 | | | BBB | | CVS Pass-Through Trust, Pass-Thru Certificates, 6.036% due 12/10/28 | | | 184,802 | |
| | | | | | Eli Lilly & Co., Senior Unsecured Notes: | | | | |
| | 40,000 | | | A+ | | 3.100% due 5/15/27 | | | 42,777 | |
| | 40,000 | | | A+ | | 3.875% due 3/15/39 | | | 46,598 | |
| | 35,000 | | | A+ | | 4.150% due 3/15/59 | | | 41,995 | |
| | 180,000 | | | A+ | | GlaxoSmithKline Capital PLC, Company Guaranteed Notes, 2.850% due 5/8/22 | | | 184,316 | |
| | | | | | Johnson & Johnson, Senior Unsecured Notes: | | | | |
| | 400,000 | | | AAA | | 2.450% due 3/1/26 | | | 412,943 | |
| | 30,000 | | | AAA | | 2.950% due 3/3/27 | | | 31,871 | |
| | 110,000 | | | AAA | | 3.625% due 3/3/37 | | | 124,034 | |
| | 90,000 | | | AA | | Merck & Co., Inc., Senior Unsecured Notes, 2.750% due 2/10/25 | | | 93,734 | |
| | 70,000 | | | BBB- | | Mylan Inc., Company Guaranteed Notes, 5.200% due 4/15/48 | | | 76,675 | |
| | | | | | Novartis Capital Corp., Company Guaranteed Notes: | | | | |
| | 6,000 | | | AA- | | 3.000% due 11/20/25 | | | 6,363 | |
| | 15,000 | | | AA- | | 3.100% due 5/17/27 | | | 16,152 | |
| | 55,000 | | | AA- | | Pfizer Inc., Senior Unsecured Notes, 4.125% due 12/15/46 | | | 65,925 | |
| | | | | | Shire Acquisitions Investments Ireland DAC, Company Guaranteed Notes: | | | | |
| | 300,000 | | | BBB+ | | 1.900% due 9/23/19 | | | 299,938 | |
| | 295,000 | | | BBB+ | | 2.400% due 9/23/21 | | | 296,000 | |
| | 205,000 | | | BBB+ | | 3.200% due 9/23/26 | | | 213,349 | |
| | 400,000 | | | BBB+ | | Takeda Pharmaceutical Co., Ltd., Senior Unsecured Notes, 5.000% due 11/26/28(a) | | | 473,728 | |
| | | | | | Teva Pharmaceutical Finance Co. BV, Company Guaranteed Notes: | | | | |
| | 80,000 | | | BB | | 3.650% due 11/10/21 | | | 76,400 | |
| | 10,000 | | | BB | | 2.950% due 12/18/22 | | | 8,762 | |
| | 90,000 | | | BB | | Teva Pharmaceutical Finance IV BV, Company Guaranteed Notes, 3.650% due 11/10/21 | | | 85,950 | |
| | | | | | Teva Pharmaceutical Finance Netherlands III BV, Company Guaranteed Notes: | | | | |
| | 360,000 | | | BB | | 2.200% due 7/21/21 | | | 338,400 | |
| | 140,000 | | | BB | | 2.800% due 7/21/23 | | | 118,300 | |
See Notes to Financial Statements.
185
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Pharmaceuticals — 1.7% — (continued) | |
| $ | 130,000 | | | AA- | | Wyeth LLC, Company Guaranteed Notes, 5.950% due 4/1/37 | | $ | 181,509 | |
| | | | | | | | | | |
| | | | | | Total Pharmaceuticals | | | 20,011,680 | |
| | | | | | | | | | |
|
| | Pipelines — 1.5% | |
| | 70,000 | | | B | | Blue Racer Midstream LLC/Blue Racer Finance Corp., Company Guaranteed Notes, 6.125% due 11/15/22(a) | | | 70,700 | |
| | 50,000 | | | BB | | Cheniere Corpus Christi Holdings LLC, Senior Secured Notes, 5.125% due 6/30/27 | | | 55,375 | |
| | 285,000 | | | BBB | | El Paso Natural Gas Co. LLC, Company Guaranteed Notes, 8.625% due 1/15/22 | | | 324,789 | |
| | 270,000 | | | BBB- | | Enbridge Inc., Subordinated Notes, 5.500%(3-MonthUSD-LIBOR + 3.418%) due 7/15/77(c) | | | 271,180 | |
| | | | | | Energy Transfer Operating LP, Company Guaranteed Notes: | | | | |
| | 330,000 | | | BBB- | | 4.250% due 3/15/23 | | | 346,826 | |
| | 20,000 | | | BBB- | | 5.875% due 1/15/24 | | | 22,392 | |
| | 270,000 | | | BBB- | | 4.500% due 4/15/24 | | | 289,617 | |
| | 170,000 | | | BBB- | | 4.050% due 3/15/25 | | | 179,103 | |
| | 178,000 | | | BBB- | | 4.750% due 1/15/26 | | | 194,744 | |
| | 279,000 | | | BBB- | | 5.500% due 6/1/27 | | | 321,095 | |
| | 30,000 | | | BBB- | | 4.950% due 6/15/28 | | | 33,579 | |
| | 90,000 | | | BBB- | | 5.250% due 4/15/29 | | | 103,081 | |
| | 300,000 | | | BBB- | | 8.250% due 11/15/29 | | | 393,509 | |
| | 105,000 | | | BBB- | | 4.900% due 3/15/35 | | | 110,072 | |
| | 180,000 | | | BBB- | | 6.125% due 12/15/45 | | | 214,323 | |
| | 200,000 | | | BBB- | | 6.000% due 6/15/48 | | | 238,803 | |
| | 10,000 | | | BBB- | | 6.250% due 4/15/49 | | | 12,387 | |
| | | | | | Enterprise Products Operating LLC, Company Guaranteed Notes: | | | | |
| | 740,000 | | | BBB+ | | 4.150% due 10/16/28 | | | 823,825 | |
| | 165,000 | | | BBB+ | | 4.450% due 2/15/43 | | | 181,604 | |
| | 110,000 | | | BBB+ | | 4.800% due 2/1/49 | | | 129,818 | |
| | 190,000 | | | BBB- | | 5.250%(3-MonthUSD-LIBOR + 3.033%) due 8/16/77(c) | | | 187,914 | |
| | 130,000 | | | BBB- | | 5.375%(3-MonthUSD-LIBOR + 2.570%) due 2/15/78(c) | | | 126,870 | |
| | | | | | EQM Midstream Partners LP, Senior Unsecured Notes: | | | | |
| | 420,000 | | | BBB- | | 5.500% due 7/15/28 | | | 425,724 | |
| | 30,000 | | | BBB- | | 6.500% due 7/15/48 | | | 29,421 | |
| | | | | | Kinder Morgan Energy Partners LP, Company Guaranteed Notes: | | | | |
| | 120,000 | | | BBB | | 6.850% due 2/15/20 | | | 122,308 | |
| | 50,000 | | | BBB | | 3.500% due 3/1/21 | | | 50,776 | |
| | 200,000 | | | BBB | | 4.250% due 9/1/24 | | | 215,659 | |
| | 150,000 | | | BBB | | 6.375% due 3/1/41 | | | 188,916 | |
| | 140,000 | | | BBB | | 5.400% due 9/1/44 | | | 161,765 | |
| | | | | | Kinder Morgan Inc., Company Guaranteed Notes: | | | | |
| | 290,000 | | | BBB | | 4.300% due 3/1/28 | | | 317,909 | |
| | 50,000 | | | BBB | | 5.550% due 6/1/45 | | | 60,068 | |
| | 35,000 | | | BBB+ | | Magellan Midstream Partners LP, Senior Unsecured Notes, 4.200% due 10/3/47 | | | 37,536 | |
| | | | | | MPLX LP, Senior Unsecured Notes: | | | | |
| | 130,000 | | | BBB | | 4.875% due 12/1/24 | | | 142,658 | |
| | 80,000 | | | BBB | | 4.000% due 2/15/25 | | | 84,225 | |
| | 369,000 | | | BBB | | 4.875% due 6/1/25 | | | 407,647 | |
| | 415,000 | | | BBB | | 4.125% due 3/1/27 | | | 437,733 | |
| | 360,000 | | | BBB | | 4.800% due 2/15/29 | | | 400,666 | |
| | 150,000 | | | BBB | | 4.500% due 4/15/38 | | | 154,947 | |
| | 260,000 | | | BBB | | 4.700% due 4/15/48 | | | 268,055 | |
| | 150,000 | | | BBB | | 5.500% due 2/15/49 | | | 172,120 | |
| | 77,000 | | | BBB- | | NGPL PipeCo LLC, Senior Unsecured Notes, 4.375% due 8/15/22(a) | | | 79,695 | |
| | 190,000 | | | A | | Northern Natural Gas Co., Senior Unsecured Notes, 4.300% due 1/15/49(a) | | | 226,995 | |
| | 210,000 | | | BBB | | Northwest Pipeline LLC, Senior Unsecured Notes, 4.000% due 4/1/27 | | | 224,069 | |
| | 279,270 | | | BBB | | Pipeline Funding Co. LLC, Senior Secured Notes, 7.500% due 1/15/30(a) | | | 354,254 | |
See Notes to Financial Statements.
186
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Pipelines — 1.5% — (continued) | |
| | | | | | Plains All American Pipeline LP/PAA Finance Corp., Senior Unsecured Notes: | | | | |
| $ | 15,000 | | | BBB- | | 3.650% due 6/1/22 | | $ | 15,422 | |
| | 300,000 | | | BBB- | | 4.650% due 10/15/25 | | | 321,898 | |
| | | | | | Rockies Express Pipeline LLC, Senior Unsecured Notes: | | | | |
| | 177,000 | | | BBB- | | 5.625% due 4/15/20(a) | | | 181,382 | |
| | 300,000 | | | BBB- | | 4.950% due 7/15/29(a) | | | 306,193 | |
| | 280,000 | | | BBB- | | 6.875% due 4/15/40(a) | | | 311,024 | |
| | 393,939 | | | BBB- | | Ruby Pipeline LLC, Senior Unsecured Notes, 6.000% due 4/1/22(a) | | | 412,022 | |
| | | | | | Sabine Pass Liquefaction LLC, Senior Secured Notes: | | | | |
| | 644,000 | | | BBB- | | 5.750% due 5/15/24 | | | 719,507 | |
| | 322,000 | | | BBB- | | 5.625% due 3/1/25 | | | 361,783 | |
| | 110,000 | | | BBB- | | 5.875% due 6/30/26 | | | 126,508 | |
| | 210,000 | | | BBB- | | 5.000% due 3/15/27 | | | 232,063 | |
| | 258,000 | | | BBB+ | | Southern Natural Gas Co. LLC, Senior Unsecured Notes, 8.000% due 3/1/32 | | | 369,676 | |
| | 95,000 | | | BBB+ | | Spectra Energy Partners LP, Company Guaranteed Notes, 3.500% due 3/15/25 | | | 99,505 | |
| | | | | | Sunoco Logistics Partners Operations LP, Company Guaranteed Notes: | | | | |
| | 75,000 | | | BBB- | | 6.100% due 2/15/42 | | | 87,399 | |
| | 35,000 | | | BBB- | | 5.350% due 5/15/45 | | | 38,186 | |
| | 300,000 | | | BBB- | | 5.400% due 10/1/47 | | | 335,014 | |
| | | | | | Targa Resources Partners LP/Targa Resources Partners Finance Corp., Company Guaranteed Notes: | | | | |
| | 50,000 | | | BB | | 4.250% due 11/15/23 | | | 50,125 | |
| | 40,000 | | | BB | | 5.875% due 4/15/26 | | | 42,050 | |
| | 50,000 | | | BB | | 6.500% due 7/15/27(a) | | | 54,375 | |
| | 20,000 | | | BB | | 6.875% due 1/15/29(a) | | | 22,150 | |
| | | | | | Texas Eastern Transmission LP, Senior Unsecured Notes: | | | | |
| | 30,000 | | | BBB+ | | 2.800% due 10/15/22(a) | | | 30,269 | |
| | 106,000 | | | BBB+ | | 3.500% due 1/15/28(a) | | | 111,487 | |
| | 295,000 | | | BBB+ | | 4.150% due 1/15/48(a) | | | 318,311 | |
| | | | | | TransCanada PipeLines Ltd., Senior Unsecured Notes: | | | | |
| | 50,000 | | | BBB+ | | 2.500% due 8/1/22 | | | 50,437 | |
| | 245,000 | | | BBB+ | | 4.875% due 1/15/26 | | | 277,163 | |
| | 105,000 | | | BBB+ | | 4.250% due 5/15/28 | | | 117,185 | |
| | 23,000 | | | BBB+ | | 5.850% due 3/15/36 | | | 29,244 | |
| | 52,000 | | | BBB+ | | 4.750% due 5/15/38 | | | 59,700 | |
| | 82,000 | | | BBB+ | | 6.100% due 6/1/40 | | | 108,900 | |
| | | | | | Transcontinental Gas Pipe Line Co. LLC, Senior Unsecured Notes: | | | | |
| | 906,000 | | | BBB | | 7.850% due 2/1/26 | | | 1,160,520 | |
| | 270,000 | | | BBB | | 4.000% due 3/15/28 | | | 289,234 | |
| | 340,000 | | | BBB | | 4.600% due 3/15/48 | | | 386,906 | |
| | 140,000 | | | BBB- | | Western Midstream Operating LP, Senior Unsecured Notes, 4.000% due 7/1/22 | | | 142,684 | |
| | | | | | Williams Cos., Inc. (The), Senior Unsecured Notes: | | | | |
| | 70,000 | | | BBB | | 5.250% due 3/15/20 | | | 71,051 | |
| | 30,000 | | | BBB | | 4.125% due 11/15/20 | | | 30,508 | |
| | 336,000 | | | BBB | | 7.875% due 9/1/21 | | | 371,112 | |
| | 100,000 | | | BBB | | 7.500% due 1/15/31 | | | 133,218 | |
| | 260,000 | | | BBB | | 7.750% due 6/15/31 | | | 352,453 | |
| | 116,000 | | | BBB | | 8.750% due 3/15/32 | | | 169,287 | |
| | | | | | | | | | |
| | | | | | Total Pipelines | | | 17,490,703 | |
| | | | | | | | | | |
|
| | Real Estate Investment Trusts (REITs) — 0.7% | |
| | 103,000 | | | BBB+ | | Alexandria Real Estate Equities Inc., Company Guaranteed Notes, 3.800% due 4/15/26 | | | 111,160 | |
| | 600,000 | | | BBB | | American Campus Communities Operating Partnership LP, Company Guaranteed Notes, 3.350% due 10/1/20 | | | 607,514 | |
| | 80,000 | | | BBB- | | American Tower Corp., Senior Unsecured Notes, 3.950% due 3/15/29 | | | 87,278 | |
See Notes to Financial Statements.
187
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Real Estate Investment Trusts (REITs) — 0.7% — (continued) | |
| | | | | | Boston Properties LP, Senior Unsecured Notes: | | | | |
| $ | 235,000 | | | A- | | 3.200% due 1/15/25 | | $ | 244,663 | |
| | 400,000 | | | A- | | 2.750% due 10/1/26 | | | 406,699 | |
| | 464,000 | | | BBB- | | CC Holdings GS V LLC/Crown Castle GS III Corp., Senior Secured Notes, 3.849% due 4/15/23 | | | 489,439 | |
| | | | | | Crown Castle International Corp., Senior Unsecured Notes: | | | | |
| | 10,000 | | | BBB- | | 3.400% due 2/15/21 | | | 10,153 | |
| | 35,000 | | | BBB- | | 5.250% due 1/15/23 | | | 38,313 | |
| | 15,000 | | | BBB- | | 3.700% due 6/15/26 | | | 15,954 | |
| | 305,000 | | | Baa3(b) | | 3.100% due 11/15/29 | | | 312,188 | |
| | 25,000 | | | BBB- | | 4.750% due 5/15/47 | | | 29,604 | |
| | 50,000 | | | BBB- | | 5.200% due 2/15/49 | | | 63,433 | |
| | 80,000 | | | A- | | ERP Operating LP, Senior Unsecured Notes, 4.500% due 7/1/44 | | | 98,959 | |
| | | | | | GLP Capital LP/GLP Financing II Inc., Company Guaranteed Notes: | | | | |
| | 770,000 | | | BBB- | | 5.250% due 6/1/25 | | | 848,525 | |
| | 575,000 | | | BBB- | | 5.375% due 4/15/26 | | | 632,592 | |
| | 220,000 | | | BBB- | | 5.300% due 1/15/29 | | | 245,472 | |
| | 290,000 | | | BBB- | | 4.000% due 1/15/30 | | | 293,802 | |
| | | | | | HCP Inc., Senior Unsecured Notes: | | | | |
| | 261,000 | | | BBB+ | | 4.250% due 11/15/23 | | | 280,585 | |
| | 500,000 | | | BBB+ | | 3.400% due 2/1/25 | | | 522,279 | |
| | 400,000 | | | BBB | | Highwoods Realty LP, Senior Unsecured Notes, 3.200% due 6/15/21 | | | 405,332 | |
| | 350,000 | | | BBB | | Life Storage LP, Company Guaranteed Notes, 3.875% due 12/15/27 | | | 374,675 | |
| | 160,000 | | | BB- | | MGM Growth Properties Operating Partnership LP/MGP Finance Co.-Issuer Inc., Company Guaranteed Notes, 4.500% due 1/15/28 | | | 164,400 | |
| | 160,000 | | | A- | | Realty Income Corp., Senior Unsecured Notes, 3.000% due 1/15/27 | | | 166,651 | |
| | 400,000 | | | BBB- | | Reckson Operating Partnership LP, Company Guaranteed Notes, 7.750% due 3/15/20 | | | 410,821 | |
| | 69,000 | | | BB- | | SBA Communications Corp., Senior Unsecured Notes, 4.875% due 9/1/24 | | | 71,674 | |
| | 400,000 | | | BBB+ | | Ventas Realty LP, Company Guaranteed Notes, 3.750% due 5/1/24 | | | 424,606 | |
| | 695,000 | | | BBB+ | | Welltower Inc., Senior Unsecured Notes, 4.950% due 1/15/21 | | | 716,964 | |
| | | | | | | | | | |
| | | | | | Total Real Estate Investment Trusts (REITs) | | | 8,073,735 | |
| | | | | | | | | | |
|
| | Retail — 0.4% | |
| | 250,000 | | | BBB | | Alimentation Couche-Tard Inc., Company Guaranteed Notes, 3.550% due 7/26/27(a) | | | 263,976 | |
| | 190,000 | | | B | | eG Global Finance PLC, Senior Secured Notes, 6.750% due 2/7/25(a) | | | 184,063 | |
| | | | | | Home Depot Inc. (The), Senior Unsecured Notes: | | | | |
| | 60,000 | | | A | | 3.000% due 4/1/26 | | | 63,654 | |
| | 10,000 | | | A | | 2.125% due 9/15/26 | | | 10,055 | |
| | 55,000 | | | A | | 3.900% due 12/6/28 | | | 62,736 | |
| | 315,000 | | | A | | 5.875% due 12/16/36 | | | 445,059 | |
| | 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) | | | 90,100 | |
| | | | | | Lowe’s Cos., Inc., Senior Unsecured Notes: | | | | |
| | 45,000 | | | BBB+ | | 2.500% due 4/15/26 | | | 45,349 | |
| | 85,000 | | | BBB+ | | 3.700% due 4/15/46 | | | 86,891 | |
| | 15,000 | | | BBB+ | | 4.050% due 5/3/47 | | | 16,318 | |
| | | | | | McDonald’s Corp., Senior Unsecured Notes: | | | | |
| | 380,000 | | | BBB+ | | 3.700% due 1/30/26 | | | 412,646 | |
| | 340,000 | | | BBB+ | | 3.800% due 4/1/28 | | | 376,890 | |
| | 10,000 | | | BBB+ | | 3.700% due 2/15/42 | | | 10,598 | |
| | 280,000 | | | BBB+ | | 3.625% due 5/1/43 | | | 292,287 | |
| | 30,000 | | | BBB+ | | 4.450% due 3/1/47 | | | 35,293 | |
| | 120,000 | | | BBB+ | | 3.625% due 9/1/49 | | | 124,703 | |
| | 388,000 | | | CCC | | Rite Aid Corp., Company Guaranteed Notes, 6.125% due 4/1/23(a) | | | 314,765 | |
See Notes to Financial Statements.
188
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Retail — 0.4% — (continued) | |
| | | | | | Starbucks Corp., Senior Unsecured Notes: | | | | |
| $ | 45,000 | | | BBB+ | | 3.800% due 8/15/25 | | $ | 48,832 | |
| | 30,000 | | | BBB+ | | 3.750% due 12/1/47 | | | 31,590 | |
| | 15,000 | | | BBB+ | | 4.500% due 11/15/48 | | | 17,716 | |
| | 55,000 | | | BBB | | Walgreen Co., Company Guaranteed Notes, 4.400% due 9/15/42 | | | 56,306 | |
| | | | | | Walgreens Boots Alliance Inc., Senior Unsecured Notes: | | | | |
| | 95,000 | | | BBB | | 3.800% due 11/18/24 | | | 100,770 | |
| | 855,000 | | | BBB | | 3.450% due 6/1/26 | | | 888,361 | |
| | 110,000 | | | BBB | | 4.800% due 11/18/44 | | | 116,830 | |
| | | | | | Walmart Inc., Senior Unsecured Notes: | | | | |
| | 100,000 | | | AA | | 3.050% due 7/8/26 | | | 107,042 | |
| | 290,000 | | | AA | | 3.700% due 6/26/28 | | | 325,873 | |
| | 385,000 | | | AA | | 3.250% due 7/8/29 | | | 422,992 | |
| | 15,000 | | | AA | | 4.000% due 4/11/43 | | | 17,979 | |
| | 73,000 | | | AA | | 4.300% due 4/22/44 | | | 91,457 | |
| | | | | | | | | | |
| | | | | | Total Retail | | | 5,061,131 | |
| | | | | | | | | | |
|
| | Savings & Loans — 0.1% | |
| | 500,000 | | | BBB+ | | Nationwide Building Society, Senior Unsecured Notes, 4.363%(3-MonthUSD-LIBOR + 1.392%) due 8/1/24(a)(c) | | | 525,818 | |
| | | | | | | | | | |
|
| | Semiconductors — 0.4% | |
| | | | | | Analog Devices Inc., Senior Unsecured Notes: | | | | |
| | 200,000 | | | BBB | | 3.500% due 12/5/26 | | | 210,945 | |
| | 10,000 | | | BBB | | 5.300% due 12/15/45 | | | 12,812 | |
| | | | | | Applied Materials Inc., Senior Unsecured Notes: | | | | |
| | 135,000 | | | A- | | 3.300% due 4/1/27 | | | 145,550 | |
| | 150,000 | | | A- | | 5.850% due 6/15/41 | | | 208,527 | |
| | 75,000 | | | A- | | 4.350% due 4/1/47 | | | 92,019 | |
| | | | | | Broadcom Corp./Broadcom Cayman Finance Ltd., Company Guaranteed Notes: | | | | |
| | 675,000 | | | BBB- | | 2.375% due 1/15/20 | | | 674,760 | |
| | 110,000 | | | BBB- | | 3.125% due 1/15/25 | | | 108,706 | |
| | 473,000 | | | BBB- | | 3.875% due 1/15/27 | | | 473,645 | |
| | | | | | Broadcom Inc., Company Guaranteed Notes: | | | | |
| | 335,000 | | | BBB- | | 3.125% due 4/15/21(a) | | | 338,570 | |
| | 255,000 | | | BBB- | | 3.125% due 10/15/22(a) | | | 258,396 | |
| | | | | | Intel Corp., Senior Unsecured Notes: | | | | |
| | 70,000 | | | A+ | | 3.700% due 7/29/25 | | | 76,418 | |
| | 30,000 | | | A+ | | 4.100% due 5/19/46 | | | 35,739 | |
| | 54,000 | | | A+ | | 3.734% due 12/8/47 | | | 61,600 | |
| | | | | | KLA Corp., Senior Unsecured Notes: | | | | |
| | 355,000 | | | BBB | | 4.100% due 3/15/29 | | | 393,785 | |
| | 75,000 | | | BBB | | 5.000% due 3/15/49 | | | 92,560 | |
| | | | | | Lam Research Corp., Senior Unsecured Notes: | | | | |
| | 54,000 | | | BBB+ | | 2.800% due 6/15/21 | | | 54,625 | |
| | 30,000 | | | BBB+ | | 3.800% due 3/15/25 | | | 32,140 | |
| | 100,000 | | | BBB+ | | 3.750% due 3/15/26 | | | 107,226 | |
| | 80,000 | | | BBB+ | | 4.875% due 3/15/49 | | | 98,417 | |
| | 320,000 | | | BBB+ | | NVIDIA Corp., Senior Unsecured Notes, 3.200% due 9/16/26 | | | 336,457 | |
| | | | | | NXP BV/NXP Funding LLC, Company Guaranteed Notes: | | | | |
| | 486,000 | | | BBB- | | 4.125% due 6/1/21(a) | | | 498,937 | |
| | 280,000 | | | BBB- | | 4.625% due 6/1/23(a) | | | 299,581 | |
| | 100,000 | | | BBB- | | NXP BV/NXP Funding LLC/NXP USA Inc., Company Guaranteed Notes, 4.300% due 6/18/29(a) | | | 107,451 | |
| | | | | | QUALCOMM Inc., Senior Unsecured Notes: | | | | |
| | 30,000 | | | A- | | 4.650% due 5/20/35 | | | 35,368 | |
| | 79,000 | | | A- | | 4.800% due 5/20/45 | | | 95,465 | |
See Notes to Financial Statements.
189
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Semiconductors — 0.4% — (continued) | |
| $ | 35,000 | | | A+ | | Texas Instruments Inc., Senior Unsecured Notes, 4.150% due 5/15/48 | | $ | 43,449 | |
| | | | | | | | | | |
| | | | | | Total Semiconductors | | | 4,893,148 | |
| | | | | | | | | | |
|
| | Shipbuilding — 0.0% | |
| | | | | | Huntington Ingalls Industries Inc., Company Guaranteed Notes: | | | | |
| | 147,000 | | | BBB | | 5.000% due 11/15/25(a) | | | 154,423 | |
| | 227,000 | | | BBB | | 3.483% due 12/1/27 | | | 239,667 | |
| | | | | | | | | | |
| | | | | | Total Shipbuilding | | | 394,090 | |
| | | | | | | | | | |
|
| | Software — 0.7% | |
| | | | | | Activision Blizzard Inc., Senior Unsecured Notes: | | | | |
| | 380,000 | | | BBB+ | | 3.400% due 9/15/26 | | | 400,924 | |
| | 165,000 | | | BBB+ | | 3.400% due 6/15/27 | | | 173,830 | |
| | | | | | Autodesk Inc., Senior Unsecured Notes: | | | | |
| | 145,000 | | | BBB | | 3.125% due 6/15/20 | | | 145,760 | |
| | 20,000 | | | BBB | | 3.500% due 6/15/27 | | | 20,961 | |
| | 186,000 | | | B- | | Change Healthcare Holdings LLC/Change Healthcare Finance Inc., Senior Unsecured Notes, 5.750% due 3/1/25(a) | | | 187,899 | |
| | 125,000 | | | BBB+ | | Electronic Arts Inc., Senior Unsecured Notes, 4.800% due 3/1/26 | | | 142,627 | |
| | | | | | Fidelity National Information Services Inc.: | | | | |
| | 19,000 | | | BBB | | Company Guaranteed Notes, 3.500% due 4/15/23 | | | 19,822 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 9,000 | | | BBB | | 3.000% due 8/15/26 | | | 9,334 | |
| | 10,000 | | | BBB | | 4.750% due 5/15/48 | | | 12,327 | |
| | | | | | Fiserv Inc., Senior Unsecured Notes: | | | | |
| | 35,000 | | | BBB | | 3.850% due 6/1/25 | | | 37,698 | |
| | 390,000 | | | BBB | | 3.200% due 7/1/26 | | | 408,674 | |
| | 155,000 | | | BBB | | 4.200% due 10/1/28 | | | 174,281 | |
| | 170,000 | | | BBB | | 3.500% due 7/1/29 | | | 180,474 | |
| | | | | | Microsoft Corp., Senior Unsecured Notes: | | | | |
| | 180,000 | | | AAA | | 1.550% due 8/8/21 | | | 179,514 | |
| | 270,000 | | | AAA | | 2.400% due 2/6/22 | | | 274,731 | |
| | 270,000 | | | AAA | | 2.875% due 2/6/24 | | | 282,851 | |
| | 70,000 | | | AAA | | 2.700% due 2/12/25 | | | 73,156 | |
| | 1,030,000 | | | AAA | | 2.400% due 8/8/26 | | | 1,065,661 | |
| | 690,000 | | | AAA | | 3.300% due 2/6/27 | | | 754,391 | |
| | 315,000 | | | AAA | | 3.500% due 2/12/35 | | | 355,353 | |
| | 10,000 | | | AAA | | 3.450% due 8/8/36 | | | 11,251 | |
| | 20,000 | | | AAA | | 4.100% due 2/6/37 | | | 24,187 | |
| | 135,000 | | | AAA | | 3.500% due 11/15/42 | | | 152,494 | |
| | 175,000 | | | AAA | | 3.700% due 8/8/46 | | | 206,071 | |
| | 55,000 | | | AAA | | 4.000% due 2/12/55 | | | 67,939 | |
| | 50,000 | | | AAA | | 3.950% due 8/8/56 | | | 61,442 | |
| | 20,000 | | | AAA | | 4.500% due 2/6/57 | | | 26,849 | |
| | | | | | Oracle Corp., Senior Unsecured Notes: | | | | |
| | 630,000 | | | A+ | | 2.500% due 10/15/22 | | | 641,559 | |
| | 40,000 | | | A+ | | 2.950% due 11/15/24 | | | 41,912 | |
| | 235,000 | | | A+ | | 3.250% due 11/15/27 | | | 252,913 | |
| | 15,000 | | | A+ | | 4.300% due 7/8/34 | | | 17,684 | |
| | 285,000 | | | A+ | | 3.900% due 5/15/35 | | | 323,054 | |
| | 60,000 | | | A+ | | 3.800% due 11/15/37 | | | 67,163 | |
| | 100,000 | | | A+ | | 4.500% due 7/8/44 | | | 121,491 | |
| | 30,000 | | | A+ | | 4.000% due 11/15/47 | | | 34,508 | |
| | | | | | salesforce.com Inc., Senior Unsecured Notes: | | | | |
| | 130,000 | | | A | | 3.250% due 4/11/23 | | | 136,014 | |
| | 450,000 | | | A | | 3.700% due 4/11/28 | | | 502,619 | |
See Notes to Financial Statements.
190
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Software — 0.7% — (continued) | |
| $ | 227,000 | | | B+ | | SS&C Technologies Inc., Company Guaranteed Notes, 5.500% due 9/30/27(a) | | $ | 238,776 | |
| | | | | | | | | | |
| | | | | | Total Software | | | 7,828,194 | |
| | | | | | | | | | |
|
| | Telecommunications — 1.7% | |
| | 40,000 | | | BBB | | AT&T Corp., Company Guaranteed Notes, 8.750% due 11/15/31 | | | 57,760 | |
| | | | | | AT&T Inc., Senior Unsecured Notes: | | | | |
| | 1,000,000 | | | BBB | | zero coupon, due 11/27/22(a) | | | 921,146 | |
| | 290,000 | | | BBB | | 3.400% due 5/15/25 | | | 304,098 | |
| | 20,000 | | | BBB | | 4.250% due 3/1/27 | | | 22,024 | |
| | 60,000 | | | BBB | | 4.350% due 3/1/29 | | | 66,991 | |
| | 1,700,000 | | | BBB | | 4.300% due 2/15/30 | | | 1,891,102 | |
| | 149,000 | | | BBB | | 4.500% due 5/15/35 | | | 166,024 | |
| | 50,000 | | | BBB | | 5.250% due 3/1/37 | | | 59,348 | |
| | 30,000 | | | BBB | | 6.250% due 3/29/41 | | | 38,764 | |
| | 150,000 | | | BBB | | 5.150% due 3/15/42 | | | 174,961 | |
| | 225,000 | | | BBB | | 4.800% due 6/15/44 | | | 251,775 | |
| | 433,000 | | | BBB | | 4.350% due 6/15/45 | | | 461,394 | |
| | 650,000 | | | BBB | | 4.750% due 5/15/46 | | | 727,121 | |
| | 340,000 | | | BBB | | 5.150% due 11/15/46 | | | 400,440 | |
| | 278,000 | | | BBB | | 4.500% due 3/9/48 | | | 305,202 | |
| | | | | | Corning Inc., Senior Unsecured Notes: | | | | |
| | 15,000 | | | BBB+ | | 3.700% due 11/15/23 | | | 15,834 | |
| | 25,000 | | | BBB+ | | 4.375% due 11/15/57 | | | 26,152 | |
| | | | | | Intelsat Jackson Holdings SA, Company Guaranteed Notes: | | | | |
| | 184,000 | | | CCC+ | | 5.500% due 8/1/23 | | | 168,360 | |
| | 401,000 | | | CCC+ | | 9.750% due 7/15/25(a) | | | 413,531 | |
| | 145,000 | | | BB | | Level 3 Financing Inc., Company Guaranteed Notes, 5.375% due 5/1/25 | | | 151,162 | |
| | 235,000 | | | BBB- | | Motorola Solutions Inc., Senior Unsecured Notes, 4.600% due 5/23/29 | | | 258,334 | |
| | 150,000 | | | BBB- | | Qwest Corp., Senior Unsecured Notes, 7.250% due 9/15/25 | | | 169,492 | |
| | 200,000 | | | BBB | | Royal KPN NV, Senior Unsecured Notes, 8.375% due 10/1/30 | | | 274,488 | |
| | 70,000 | | | B | | Sprint Capital Corp., Company Guaranteed Notes, 8.750% due 3/15/32 | | | 87,849 | |
| | | | | | Sprint Corp., Company Guaranteed Notes: | | | | |
| | 130,000 | | | B | | 7.250% due 9/15/21 | | | 140,166 | |
| | 30,000 | | | B | | 7.875% due 9/15/23 | | | 33,825 | |
| | 35,000 | | | B | | 7.625% due 3/1/26 | | | 39,419 | |
| | | | | | Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, Senior Secured Notes: | | | | |
| | 1,564,875 | | | Baa2(b) | | 3.360% due 9/20/21(a) | | | 1,574,734 | |
| | 905,000 | | | Baa2(b) | | 4.738% due 3/20/25(a) | | | 961,562 | |
| | 500,000 | | | Baa2(b) | | 5.152% due 3/20/28(a) | | | 540,000 | |
| | | | | | Telefonica Emisiones SA, Company Guaranteed Notes: | | | | |
| | 680,000 | | | BBB | | 5.134% due 4/27/20 | | | 692,366 | |
| | 330,000 | | | BBB | | 4.103% due 3/8/27 | | | 361,397 | |
| | 150,000 | | | BBB | | 4.895% due 3/6/48 | | | 167,899 | |
| | | | | | T-Mobile USA Inc., Company Guaranteed Notes: | | | | |
| | 150,000 | | | BB+ | | 6.000% due 3/1/23 | | | 153,000 | |
| | 63,000 | | | BB+ | | 4.500% due 2/1/26 | | | 65,599 | |
| | 192,000 | | | BB+ | | 4.750% due 2/1/28 | | | 202,796 | |
| | | | | | Verizon Communications Inc., Senior Unsecured Notes: | | | | |
| | 80,000 | | | BBB+ | | 3.500% due 11/1/24 | | | 85,321 | |
| | 770,000 | | | BBB+ | | 3.376% due 2/15/25 | | | 817,670 | |
| | 220,000 | | | BBB+ | | 2.625% due 8/15/26 | | | 225,051 | |
| | 185,000 | | | BBB+ | | 4.125% due 3/16/27 | | | 206,564 | |
| | 756,000 | | | BBB+ | | 4.329% due 9/21/28 | | | 868,433 | |
| | 700,000 | | | BBB+ | | 4.016% due 12/3/29(a) | | | 791,057 | |
See Notes to Financial Statements.
191
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Telecommunications — 1.7% — (continued) | |
| $ | 850,000 | | | BBB+ | | 4.500% due 8/10/33 | | $ | 1,003,797 | |
| | 140,000 | | | BBB+ | | 4.400% due 11/1/34 | | | 162,350 | |
| | 1,056,000 | | | BBB+ | | 4.272% due 1/15/36 | | | 1,211,959 | |
| | 150,000 | | | BBB+ | | 5.250% due 3/16/37 | | | 189,978 | |
| | 105,000 | | | BBB+ | | 4.862% due 8/21/46 | | | 130,846 | |
| | 20,000 | | | BBB+ | | 5.500% due 3/16/47 | | | 26,872 | |
| | 150,000 | | | BBB+ | | 4.522% due 9/15/48 | | | 180,696 | |
| | | | | | Vodafone Group PLC, Senior Unsecured Notes: | | | | |
| | 260,000 | | | BBB | | 3.750% due 1/16/24 | | | 274,870 | |
| | 115,000 | | | BBB | | 4.125% due 5/30/25 | | | 124,907 | |
| | 350,000 | | | BBB | | 4.375% due 5/30/28 | | | 392,916 | |
| | 298,000 | | | BBB | | 5.250% due 5/30/48 | | | 357,135 | |
| | 500,000 | | | BBB | | 4.875% due 6/19/49 | | | 579,706 | |
| | | | | | | | | | |
| | | | | | Total Telecommunications | | | 19,976,243 | |
| | | | | | | | | | |
|
| | Transportation — 0.3% | |
| | | | | | Burlington Northern Santa Fe LLC, Senior Unsecured Notes: | | | | |
| | 100,000 | | | A+ | | 3.000% due 4/1/25 | | | 104,629 | |
| | 50,000 | | | A+ | | 5.750% due 5/1/40 | | | 68,694 | |
| | 79,000 | | | A+ | | 4.550% due 9/1/44 | | | 96,372 | |
| | 15,000 | | | A+ | | 4.150% due 4/1/45 | | | 17,617 | |
| | 10,000 | | | A+ | | 3.900% due 8/1/46 | | | 11,446 | |
| | 15,000 | | | A+ | | 4.150% due 12/15/48 | | | 18,002 | |
| | | | | | CSX Corp., Senior Unsecured Notes: | | | | |
| | 240,000 | | | BBB+ | | 2.600% due 11/1/26 | | | 245,130 | |
| | 160,000 | | | BBB+ | | 3.250% due 6/1/27 | | | 169,974 | |
| | 55,000 | | | BBB+ | | 3.800% due 3/1/28 | | | 60,582 | |
| | 20,000 | | | BBB+ | | 6.150% due 5/1/37 | | | 26,922 | |
| | 65,000 | | | BBB+ | | 4.300% due 3/1/48 | | | 75,681 | |
| | 40,000 | | | BBB+ | | 4.750% due 11/15/48 | | | 49,346 | |
| | 30,000 | | | BBB+ | | 4.500% due 3/15/49 | | | 36,071 | |
| | 50,000 | | | BBB+ | | 3.950% due 5/1/50 | | | 55,461 | |
| | | | | | FedEx Corp., Company Guaranteed Notes: | | | | |
| | 50,000 | | | BBB | | 3.875% due 8/1/42 | | | 49,649 | |
| | 90,000 | | | BBB | | 5.100% due 1/15/44 | | | 105,217 | |
| | 9,000 | | | BBB | | 4.100% due 2/1/45 | | | 9,268 | |
| | | | | | Norfolk Southern Corp., Senior Unsecured Notes: | | | | |
| | 30,000 | | | BBB+ | | 3.650% due 8/1/25 | | | 32,278 | |
| | 50,000 | | | BBB+ | | 2.900% due 6/15/26 | | | 51,767 | |
| | 95,000 | | | BBB+ | | 4.150% due 2/28/48 | | | 111,498 | |
| | | | | | Union Pacific Corp., Senior Unsecured Notes: | | | | |
| | 64,000 | | | A- | | 4.163% due 7/15/22 | | | 67,522 | |
| | 50,000 | | | A- | | 3.750% due 7/15/25 | | | 54,047 | |
| | 30,000 | | | A- | | 2.750% due 3/1/26 | | | 30,979 | |
| | 745,000 | | | A- | | 3.950% due 9/10/28 | | | 838,357 | |
| | 300,000 | | | A- | | 4.500% due 9/10/48 | | | 365,860 | |
| | 20,000 | | | A- | | 3.799% due 10/1/51 | | | 21,814 | |
| | 64,000 | | | A- | | 3.875% due 2/1/55 | | | 69,544 | |
| | 115,000 | | | A- | | 4.800% due 9/10/58 | | | 143,299 | |
| | 190,000 | | | A- | | 4.100% due 9/15/67 | | | 202,856 | |
| | | | | | United Parcel Service Inc., Senior Unsecured Notes: | | | | |
| | 75,000 | | | A | | 3.400% due 3/15/29 | | | 81,792 | |
| | 55,000 | | | A | | 2.500% due 9/1/29 | | | 55,633 | |
| | 40,000 | | | BB- | | XPO Logistics Inc., Company Guaranteed Notes, 6.500% due 6/15/22(a) | | | 40,977 | |
| | | | | | | | | | |
| | | | | | Total Transportation | | | 3,368,284 | |
| | | | | | | | | | |
See Notes to Financial Statements.
192
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Trucking & Leasing — 0.0% | |
| | | | | | Penske Truck Leasing Co. LP/PTL Finance Corp., Senior Unsecured Notes: | | | | |
| $ | 4,000 | | | BBB | | 3.400% due 11/15/26(a) | | $ | 4,127 | |
| | 1,000 | | | BBB | | 4.200% due 4/1/27(a) | | | 1,079 | |
| | | | | | | | | | |
| | | | | | Total Trucking & Leasing | | | 5,206 | |
| | | | | | | | | | |
| | | | | | TOTAL CORPORATE BONDS & NOTES
(Cost — $317,764,260) | | | 343,471,432 | |
| | | | | | | | | | |
|
| | MORTGAGE-BACKED SECURITIES — 28.3% | |
|
| | FHLMC — 8.4% | |
| | | | | | Federal Home Loan Mortgage Corp. (FHLMC): | | | | |
| | 13,342,552 | | | | | 3.500% due 11/1/33 — 5/1/49 | | | 13,753,132 | |
| | 6,324,386 | | | | | 4.000% due 9/1/48 — 5/1/49 | | | 6,569,226 | |
| | 1,300,290 | | | | | 4.500% due 12/1/48 | | | 1,368,474 | |
| | 6,573,183 | | | | | 3.000% due 7/1/49 — 8/1/49 | | | 6,713,181 | |
| | | | | | Federal Home Loan Mortgage Corp. (FHLMC), Gold: | | | | |
| | 2,466,818 | | | | | 5.000% due 6/1/21 — 1/1/49 | | | 2,655,273 | |
| | 14,437,101 | | | | | 4.000% due 10/1/25 — 5/1/49 | | | 15,344,731 | |
| | 3,135,632 | | | | | 4.500% due 4/1/29 — 10/1/48 | | | 3,314,020 | |
| | 531,566 | | | | | 5.500% due 1/1/30 — 2/1/40 | | | 592,709 | |
| | 17,905,668 | | | | | 3.000% due 3/1/31 — 1/1/48 | | | 18,444,157 | |
| | 2,633,571 | | | | | 2.500% due 9/1/31 — 7/1/32 | | | 2,676,407 | |
| | 27,339,639 | | | | | 3.500% due 12/1/33 — 2/1/49 | | | 28,635,447 | |
| | 48,086 | | | | | 6.000% due 5/1/38 — 6/1/39 | | | 54,749 | |
| | 13,796 | | | | | 7.000% due 3/1/39 | | | 16,139 | |
| | 144,428 | | | | | 6.500% due 9/1/39 | | | 170,192 | |
| | | | | | | | | | |
| | | | | | TOTAL FHLMC | | | 100,307,837 | |
| | | | | | | | | | |
|
| | FNMA — 13.6% | |
| | | | | | Federal National Mortgage Association (FNMA): | | | | |
| | 22,517,287 | | | | | 4.000% due 10/1/19 — 6/1/57 | | | 23,754,143 | |
| | 1,500,646 | | | | | 5.500% due 1/1/20 — 9/1/56 | | | 1,670,219 | |
| | 90,704 | | | | | 4.400% due 2/1/20 | | | 91,237 | |
| | 167,229 | | | | | 6.000% due 9/1/21 — 10/1/35 | | | 184,373 | |
| | 2,383,079 | | | | | 5.000% due 6/1/22 — 4/1/49 | | | 2,593,522 | |
| | 10,977,005 | | | | | 4.500% due 3/1/24 — 9/1/57 | | | 11,739,070 | |
| | 34,853,053 | | | | | 3.500% due 11/1/25 — 3/1/57 | | | 36,273,651 | |
| | 1,067,483 | | | | | 2.827% due 5/1/27 | | | 1,137,391 | |
| | 3,902,503 | | | | | 2.500% due 11/1/27 — 10/1/42 | | | 3,961,224 | |
| | 32,332,110 | | | | | 3.000% due 12/1/27 — 9/1/49 | | | 33,292,893 | |
| | 525,000 | | | | | 3.010% due 4/1/28 | | | 563,933 | |
| | 545,000 | | | | | 3.050% due 4/1/28 | | | 587,079 | |
| | 815,000 | | | | | 3.480% due 8/1/28 | | | 907,668 | |
| | 100,000 | | | | | 3.640% due 11/1/28 | | | 112,486 | |
| | 490,000 | | | | | 3.820% due 1/1/29 | | | 557,739 | |
| | 520,000 | | | | | 3.830% due 1/1/29 | | | 590,259 | |
| | 1,735,000 | | | | | 3.740% due 2/1/29 | | | 1,967,755 | |
| | 1,390,000 | | | | | 3.870% due 2/1/29 | | | 1,591,220 | |
| | 100,000 | | | | | 3.300% due 4/1/29 | | | 110,306 | |
| | 100,000 | | | | | 3.090% due 5/1/29 | | | 108,846 | |
| | 79,757 | | | | | 3.160% due 5/1/29 | | | 86,804 | |
| | 99,615 | | | | | 3.190% due 5/1/29 | | | 108,509 | |
| | 150,000 | | | | | 3.240% due 5/1/29 | | | 163,941 | |
| | 139,659 | | | | | 3.260% due 5/1/29 | | | 153,114 | |
| | 30,000 | | | | | 3.350% due 5/1/29 | | | 33,188 | |
| | 100,000 | | | | | 2.740% due 8/1/29 | | | 105,687 | |
See Notes to Financial Statements.
193
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | | | Security | | Value | |
|
| | FNMA — 13.6% — (continued) | |
| $ | 400,000 | | | | | 2.790% due 8/1/29 | | $ | 425,301 | |
| | 779,594 | | | | | 4.240% due 12/1/29 | | | 905,851 | |
| | 100,000 | | | | | 3.310% due 5/1/31 | | | 110,675 | |
| | 400,000 | | | | | 2.765% due 8/1/31 | | | 419,864 | |
| | 200,000 | | | | | 2.770% due 8/1/31 | | | 210,033 | |
| | 100,000 | | | | | 2.800% due 8/1/31 | | | 105,331 | |
| | 200,000 | | | | | 2.810% due 8/1/31 | | | 210,912 | |
| | 200,000 | | | | | 2.850% due 8/1/31 | | | 211,684 | |
| | 200,000 | | | | | 2.860% due 8/1/31 | | | 212,250 | |
| | 100,000 | | | | | 2.870% due 8/1/31 | | | 106,071 | |
| | 200,000 | | | | | 2.915% due 8/1/31 | | | 213,322 | |
| | 300,000 | | | | | 2.930% due 8/1/31 | | | 320,011 | |
| | 1,150,000 | | | | | 3.280% due 3/1/33 | | | 1,297,574 | |
| | 1,368,485 | | | | | 3.990% due 11/1/33 | | | 1,581,974 | |
| | 146,470 | | | | | 4.554%(1-YearUSD-LIBOR + 1.554%) due 3/1/34(c) | | | 152,982 | |
| | 5,075,000 | | | | | 2.500% due 9/1/34 — 9/1/49(i) | | | 5,121,261 | |
| | 15,300,000 | | | | | 3.000% due 9/1/34 — 9/1/49(i) | | | 15,609,215 | |
| | 6,200,000 | | | | | 3.500% due 9/1/34 — 9/1/49(i) | | | 6,407,836 | |
| | 348,641 | | | | | 3.360% due 7/1/35 | | | 390,555 | |
| | 34,970 | | | | | 4.367%(1-Year Treasury Average Rate + 1.846%) due 10/1/35(c) | | | 36,104 | |
| | 29,504 | | | | | 4.411%(1-Year Treasury Average Rate + 1.889%) due 11/1/35(c) | | | 30,510 | |
| | 12,232 | | | | | 4.458%(1-Year Treasury Average Rate + 1.962%) due 11/1/35(c) | | | 12,683 | |
| | 24,731 | | | | | 4.373%(1-YearUSD-LIBOR + 1.623%) due 9/1/36(c) | | | 24,867 | |
| | 26,800 | | | | | 7.000% due 4/1/37 | | | 30,129 | |
| | 45,374 | | | | | 4.140%(1-YearUSD-LIBOR + 1.265%) due 5/1/37(c) | | | 47,679 | |
| | 233,478 | | | | | 6.500% due 9/1/37 — 5/1/40 | | | 273,547 | |
| | 4,200,000 | | | | | 4.000% due 9/1/49(i) | | | 4,360,781 | |
| | 600,000 | | | | | 4.500% due 9/1/49(i) | | | 631,781 | |
| | 1,300,000 | | | | | 5.000% due 9/1/49(i) | | | 1,388,359 | |
| | | | | | | | | | |
| | | | | | TOTAL FNMA | | | 163,295,399 | |
| | | | | | | | | | |
|
| | GNMA — 6.3% | |
| | | | | | Government National Mortgage Association (GNMA): | | | | |
| | 40,726 | | | | | 6.000% due 12/15/33 — 6/15/37 | | | 45,680 | |
| | 509,702 | | | | | 5.000% due 10/15/34 — 9/15/40 | | | 564,499 | |
| | 41,236 | | | | | 5.500% due 5/15/37 — 6/15/38 | | | 46,558 | |
| | 65,602 | | | | | 6.500% due 1/15/38 — 10/15/38 | | | 78,787 | |
| | 123,385 | | | | | 4.500% due 3/15/41 | | | 135,010 | |
| | 649,326 | | | | | 4.000% due 6/15/41 — 11/15/45 | | | 705,377 | |
| | 594,929 | | | | | 3.000% due 9/15/42 — 11/15/42 | | | 615,930 | |
| | 174,078 | | | | | 3.500% due 6/15/48 | | | 183,252 | |
| | 3,075,000 | | | | | 3.000% due 9/15/49 — 10/15/49(i) | | | 3,169,580 | |
| | 7,900,000 | | | | | 3.500% due 9/15/49(i) | | | 8,209,211 | |
| | 700,000 | | | | | 4.000% due 9/15/49(i) | | | 729,682 | |
| | 4,350,000 | | | | | 4.500% due 9/15/49 — 11/15/49(i) | | | 4,548,465 | |
| | 165,000 | | | | | 5.000% due 9/15/49(i) | | | 173,353 | |
| | | | | | Government National Mortgage Association II (GNMA): | | | | |
| | 257 | | | | | 9.000% due 11/20/21 | | | 259 | |
| | 98,541 | | | | | 6.000% due 7/20/37 — 11/20/40 | | | 113,105 | |
| | 7,854,098 | | | | | 4.500% due 1/20/40 — 3/20/49 | | | 8,272,154 | |
| | 2,422,463 | | | | | 5.000% due 7/20/40 — 1/20/49 | | | 2,571,488 | |
| | 13,989,841 | | | | | 4.000% due 11/20/40 — 5/20/49 | | | 14,684,850 | |
| | 7,924,128 | | | | | 3.000% due 1/20/43 — 10/20/48 | | | 8,198,115 | |
| | 22,118,576 | | | | | 3.500% due 6/20/43 — 3/20/49 | | | 23,094,575 | |
| | | | | | | | | | |
| | | | | | TOTAL GNMA | | | 76,139,930 | |
| | | | | | | | | | |
| | | | | | TOTAL MORTGAGE-BACKED SECURITIES
(Cost — $332,545,474) | | | 339,743,166 | |
| | | | | | | | | | |
See Notes to Financial Statements.
194
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | | | Security | | Value | |
|
| | U.S. GOVERNMENT AGENCIES & OBLIGATIONS — 26.8% | |
|
| | U.S. GOVERNMENT AGENCIES — 0.2% | |
| $ | 345,000 | | | | | Federal Home Loan Bank (FHLB), 4.000% due 9/1/28 | | $ | 404,902 | |
| | 650,000 | | | | | Federal National Mortgage Association (FNMA), zero coupon, due 10/9/19 | | | 648,635 | |
| | | | | | Federal National Mortgage Association (FNMA), Principal Strip: | | | | |
| | 575,000 | | | | | zero coupon, due 1/15/30(j) | | | 469,000 | |
| | 595,000 | | | | | zero coupon, due 5/15/30(j) | | | 482,969 | |
| | | | | | Residual Funding Corp., Principal Strip: | | | | |
| | 240,000 | | | | | zero coupon, due 7/15/20(j) | | | 236,327 | |
| | 325,000 | | | | | zero coupon, due 1/15/21(j) | | | 318,056 | |
| | | | | | | | | | |
| | | | | | TOTAL U.S. GOVERNMENT AGENCIES | | | 2,559,889 | |
| | | | | | | | | | |
|
| | U.S. GOVERNMENT OBLIGATIONS — 26.6% | |
| | | | | | U.S. Treasury Bonds: | | | | |
| | 1,660,000 | | | | | 4.500% due 2/15/36 | | | 2,333,337 | |
| | 795,000 | | | | | 5.000% due 5/15/37 | | | 1,196,615 | |
| | 615,000 | | | | | 4.625% due 2/15/40 | | | 911,341 | |
| | 690,000 | | | | | 3.750% due 8/15/41 | | | 921,959 | |
| | 4,195,000 | | | | | 3.125% due 11/15/41 | | | 5,131,583 | |
| | 910,000 | | | | | 2.750% due 8/15/42 | | | 1,050,588 | |
| | 100,000 | | | | | 3.125% due 2/15/43 | | | 122,627 | |
| | 1,005,000 | | | | | 3.625% due 8/15/43 | | | 1,332,744 | |
| | 18,400,000 | | | | | 3.750% due 11/15/43 | | | 24,888,156 | |
| | 415,000 | | | | | 3.125% due 8/15/44 | | | 511,787 | |
| | 310,000 | | | | | 2.500% due 2/15/45 | | | 344,009 | |
| | 950,000 | | | | | 3.000% due 5/15/45 | | | 1,151,838 | |
| | 625,000 | | | | | 2.875% due 8/15/45 | | | 742,090 | |
| | 358,000 | | | | | 3.000% due 2/15/47 | | | 437,410 | |
| | 500,000 | | | | | 2.750% due 8/15/47 | | | 584,277 | |
| | 5,195,000 | | | | | 3.000% due 2/15/48 | | | 6,368,136 | |
| | 3,615,000 | | | | | 3.125% due 5/15/48 | | | 4,534,566 | |
| | 3,290,000 | | | | | 3.375% due 11/15/48 | | | 4,327,250 | |
| | 4,565,000 | | | | | 3.000% due 2/15/49 | | | 5,623,242 | |
| | 9,035,000 | | | | | 2.875% due 5/15/49 | | | 10,885,234 | |
| | 13,900,000 | | | | | 2.250% due 8/15/49 | | | 14,781,238 | |
| | | | | | U.S. Treasury Inflation Indexed Bonds: | | | | |
| | 293,438 | | | | | 1.750% due 1/15/28 | | | 335,941 | |
| | 310,491 | | | | | 2.125% due 2/15/40 | | | 427,471 | |
| | 702,813 | | | | | 0.750% due 2/15/42 | | | 772,343 | |
| | 1,143,012 | | | | | 1.375% due 2/15/44 | | | 1,423,563 | |
| | 1,264,805 | | | | | 1.000% due 2/15/46 | | | 1,470,036 | |
| | 1,511,323 | | | | | 1.000% due 2/15/48 | | | 1,775,574 | |
| | 7,920,358 | | | | | 1.000% due 2/15/49 | | | 9,387,678 | |
| | | | | | U.S. Treasury Inflation Indexed Notes: | | | | |
| | 3,817,539 | | | | | 0.625% due 4/15/23 | | | 3,877,531 | |
| | 4,453,406 | | | | | 0.500% due 4/15/24 | | | 4,547,111 | |
| | 614,882 | | | | | 0.125% due 7/15/24 | | | 620,124 | |
| | 2,870,809 | | | | | 0.875% due 1/15/29 | | | 3,111,244 | |
| | 3,922,366 | | | | | 0.250% due 7/15/29 | | | 4,041,922 | |
| | | | | | U.S. Treasury Notes: | | | | |
| | 4,220,000 | | | | | 2.250% due 3/31/21 | | | 4,261,705 | |
| | 725,000 | | | | | 2.250% due 4/30/21 | | | 732,746 | |
| | 2,424,000 | | | | | 1.375% due 5/31/21 | | | 2,415,810 | |
| | 23,520,000 | | | | | 2.125% due 5/31/21 | | | 23,742,337 | |
| | 4,110,000 | | | | | 2.625% due 6/15/21 | | | 4,186,501 | |
| | 8,395,000 | | | | | 1.625% due 6/30/21 | | | 8,406,150 | |
See Notes to Financial Statements.
195
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | U.S. GOVERNMENT OBLIGATIONS — 26.6% — (continued) | |
| $ | 850,000 | | | | | 2.625% due 7/15/21 | | $ | 866,718 | |
| | 29,388,000 | | | | | 1.750% due 7/31/21 | | | 29,511,981 | |
| | 33,130,000 | | | | | 1.500% due 8/31/21 | | | 33,127,412 | |
| | 4,105,000 | | | | | 2.750% due 9/15/21 | | | 4,207,064 | |
| | 1,910,000 | | | | | 2.875% due 11/15/21 | | | 1,966,554 | |
| | 20,000 | | | | | 2.750% due 8/31/23 | | | 21,025 | |
| | 50,000 | | | | | 2.250% due 4/30/24 | | | 51,885 | |
| | 17,200,000 | | | | | 1.750% due 6/30/24 | | | 17,477,148 | |
| | 30,420,000 | | | | | 1.750% due 7/31/24 | | | 30,929,178 | |
| | 14,230,000 | | | | | 1.250% due 8/31/24 | | | 14,135,226 | |
| | 1,530,000 | | | | | 2.500% due 2/28/26 | | | 1,628,972 | |
| | 2,460,000 | | | | | 2.250% due 3/31/26 | | | 2,582,375 | |
| | 2,405,000 | | | | | 2.125% due 5/31/26 | | | 2,507,823 | |
| | 880,000 | | | | | 1.875% due 6/30/26 | | | 904,011 | |
| | 2,920,000 | | | | | 1.875% due 7/31/26 | | | 3,000,243 | |
| | 1,400,000 | | | | | 1.375% due 8/31/26 | | | 1,392,808 | |
| | 9,803,000 | | | | | 2.375% due 5/15/29 | | | 10,566,562 | |
| | 1,320,000 | | | | | 1.625% due 8/15/29 | | | 1,334,747 | |
| | | | | | | | | | |
| | | | | | TOTAL U.S. GOVERNMENT OBLIGATIONS | | | 319,927,546 | |
| | | | | | | | | | |
| | | | | | TOTAL U.S. GOVERNMENT AGENCIES & OBLIGATIONS
(Cost — $305,972,023) | | | 322,487,435 | |
| | | | | | | | | | |
|
| | COLLATERALIZED MORTGAGE OBLIGATIONS — 9.6% | |
| | 1,370,609 | | | B | | Aames Mortgage Investment Trust, Series2005-4, Class M2, 2.880%(1-MonthUSD-LIBOR + 0.735%) due 10/25/35(c) | | | 1,372,029 | |
| | 2,800,000 | | | BB+ | | Accredited Mortgage Loan Trust, Series2007-1, Class A4, 2.365%(1-MonthUSD-LIBOR + 0.220%) due 2/25/37(c) | | | 2,767,832 | |
| | 88,952 | | | CC | | AFC Home Equity Loan Trust, Series1999-2, Class 2A, 2.795%(1-MonthUSD-LIBOR + 0.650%) due 6/25/29(c) | | | 77,438 | |
| | 1,215,369 | | | CCC | | Alternative Loan Trust, Series2005-56, Class 4A1, 2.455%(1-MonthUSD-LIBOR + 0.310%) due 11/25/35(c) | | | 1,209,099 | |
| | 680,000 | | | BBB | | Applebee’s Funding LLC/IHOP Funding LLC, Series2019-1A, Class A2I, 4.194% due
6/7/49(a) | | | 699,496 | |
| | | | | | Ascentium Equipment Receivables Trust: | | | | |
| | 205,299 | | | Aaa(b) | | Series2017-2A, Class A2, 2.000% due 5/11/20(a) | | | 205,235 | |
| | 550,000 | | | Aaa(b) | | Series2017-2A, Class A3, 2.310% due 12/10/21(a) | | | 550,439 | |
| | 2,568,754 | | | CCC | | Asset Backed Securities Corp. Home Equity Loan Trust, Series2007-HE1, Class A4, 2.285%(1-MonthUSD-LIBOR + 0.140%) due 12/25/36(c) | | | 2,498,130 | |
| | 873,848 | | | CCC | | Asset-Backed Securities Corp. Home Equity Loan Trust, Series2007-HE1, Class A1B, 2.295%(1-MonthUSD-LIBOR + 0.150%) due 12/25/36(c) | | | 858,037 | |
| | | | | | BAMLL Commercial Mortgage Securities Trust: | | | | |
| | 480,000 | | | AA- | | Series 2015-200P, Class B, 3.490% due 4/14/33(a) | | | 511,499 | |
| | 420,000 | | | AAA(k) | | Series 2018-PARK, Class A, 4.227% due 8/10/38(a)(c) | | | 481,675 | |
| | 45,716 | | | AA+ | | Banc of America Mortgage Trust, Series2004-F, Class 1A1, 4.701% due 7/25/34(c) | | | 47,706 | |
| | 515,000 | | | AAA | | Barings CLO Ltd., Series2013-IA, Class AR, 3.078%(3-MonthUSD-LIBOR + 0.800%) due 1/20/28(a)(c) | | | 513,398 | |
| | 285,000 | | | AAA | | BB-UBS Trust, Series 2012-SHOW, Class A, 3.430% due 11/5/36(a) | | | 303,571 | |
| | 807,541 | | | NR | | BCAP LLC Trust, Series2015-RR5, Class 1A3, 3.271% due 8/26/36(a)(c) | | | 797,511 | |
| | 213,772 | | | WD(k) | | Bear Stearns Adjustable Rate Mortgage Trust, Series2007-3, Class 1A1, 4.373% due 5/25/47(c) | | | 202,620 | |
| | 95,621 | | | B | | Bear StearnsALT-A Trust, Series2005-4, Class 23A2, 4.592% due 5/25/35(c) | | | 97,568 | |
| | 424,453 | | | CCC | | Bear Stearns Asset-Backed Securities I Trust, Series2005-AC6, Class 1A3, 5.500% due
9/25/35(c) | | | 439,137 | |
| | 18,750 | | | BBB | | Bear Stearns Structured Products Trust, Series 2007-EMX1, Class A1, 3.145%(1-MonthUSD-LIBOR + 1.000%) due 3/25/37(a)(c) | | | 18,803 | |
See Notes to Financial Statements.
196
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | COLLATERALIZED MORTGAGE OBLIGATIONS — 9.6% — (continued) | |
| $ | 285,000 | | | AAA | | BENCHMARK Mortgage Trust, Series2018-B1, Class A2, 3.571% due 1/15/51 | | $ | 298,382 | |
| | | | | | BX Commercial Mortgage Trust: | | | | |
| | 584,729 | | | NR | | Series2018-IND, Class G, 4.245%(1-MonthUSD-LIBOR + 2.050%) due 11/15/35(a)(c) | | | 587,231 | |
| | 940,000 | | | AAA | | Series2019-IMC, Class A, 3.195%(1-MonthUSD-LIBOR + 1.000%) due 4/15/34(a)(c) | | | 941,085 | |
| | 1,247,000 | | | Aaa(b) | | CD2017-CD6 Mortgage Trust, Series2017-CD6, Class ASB, 3.332% due 11/13/50 | | | 1,325,722 | |
| | 449,276 | | | AA+ | | Centex Home Equity Loan Trust, Series2006-A, Class AV4, 2.395%(1-MonthUSD-LIBOR + 0.250%) due 6/25/36(c) | | | 449,586 | |
| | 235,000 | | | AA+ | | CGBAM Commercial Mortgage Trust, Series 2015-SMRT, Class A, 2.808% due 4/10/28(a) | | | 235,340 | |
| | 545,000 | | | AA+ | | CGRBS Commercial Mortgage Trust, Series 2013-VN05, Class A, 3.369% due 3/13/35(a) | | | 575,722 | |
| | 91,396 | | | BB | | Chase Mortgage Finance Trust, Series2007-A1, Class 5A1, 4.467% due 2/25/37(c) | | | 94,644 | |
| | | | | | Chevy Chase Funding LLC Mortgage-Backed Certificates: | | | | |
| | 664,804 | | | A | | Series2004-2A, Class A1, 2.415%(1-MonthUSD-LIBOR + 0.270%) due 5/25/35(a)(c) | | | 658,676 | |
| | 1,408,164 | | | CCC | | Series2004-2A, Class B1, 2.901% due 5/25/35(a)(c) | | | 1,124,488 | |
| | | | | | CIM Trust: | | | | |
| | 1,084,597 | | | NR | | Series2018-R5, Class A1, 3.750% due 7/25/58(a)(c) | | | 1,104,951 | |
| | 1,013,929 | | | NR | | Series2018-R6, Class A1, 3.306%(1-MonthUSD-LIBOR + 1.076%) due 9/25/58(a)(c) | | | 1,008,432 | |
| | | | | | Citigroup Commercial Mortgage Trust: | | | | |
| | 410,000 | | | Aaa(b) | | Series 2013-375P, Class A, 3.251% due 5/10/35(a) | | | 427,002 | |
| | 575,000 | | | Aaa(b) | | Series2015-P1, Class A5, 3.717% due 9/15/48 | | | 626,721 | |
| | 500,000 | | | Aaa(b) | | Series2016-P5, Class A4, 2.941% due 10/10/49 | | | 526,152 | |
| | 355,000 | | | Aaa(b) | | Series2017-P7, Class AAB, 3.509% due 4/14/50 | | | 377,416 | |
| | 1,440,000 | | | B3(b) | | Series 2019-SST2, Class F, 4.695%(1-MonthUSD-LIBOR + 2.500%) due 12/15/36(a)(c) | | | 1,445,448 | |
| | 1,651,640 | | | CC | | Citigroup Mortgage Loan Trust, Series2006-AR6, Class 2A4, 2.365%(1-MonthUSD-LIBOR + 0.220%) due 9/25/36(c) | | | 617,779 | |
| | 2,043,622 | | | AA+ | | Citigroup/Deutsche Bank Commercial Mortgage Trust, Series2017-CD4, Class XA, 1.468% due 5/10/50(c)(l) | | | 151,363 | |
| | 415,000 | | | AAA | | CityLine Commercial Mortgage Trust, Series 2016-CLNE, Class A, 2.871% due 11/10/31(a)(c) | | | 427,158 | |
| | | | | | Commercial Mortgage Trust: | | | | |
| | 265,000 | | | AAA(k) | | Series 2013-300P, Class A1, 4.353% due 8/10/30(a) | | | 286,488 | |
| | 190,000 | | | AA-(k) | | Series 2013-300P, Class B, 4.540% due 8/10/30(a)(c) | | | 204,736 | |
| | 260,000 | | | BB | | Series2013-CR9, Class E, 4.397% due 7/10/45(a)(c) | | | 172,466 | |
| | 534,861 | | | Aaa(b) | | Series 2013-CR11, Class A3, 3.983% due 8/10/50 | | | 573,771 | |
| | 40,000 | | | Aa3(b) | | Series 2013-CR12, Class B, 4.762% due 10/10/46(c) | | | 42,341 | |
| | 20,000 | | | Baa1(b) | | Series 2013-CR12, Class C, 5.231% due 10/10/46(c) | | | 20,362 | |
| | 265,000 | | | AAA(k) | | Series 2014-277P, Class A, 3.732% due 8/10/49(a)(c) | | | 285,675 | |
| | 140,000 | | | AAA | | Series 2014-CR18, Class A5, 3.828% due 7/15/47 | | | 151,243 | |
| | 644,598 | | | AAA | | Series 2014-CR18, Class ASB, 3.452% due 7/15/47 | | | 662,196 | |
| | 210,000 | | | A-(k) | | Series 2014-CR21, Class C, 4.579% due 12/10/47(c) | | | 224,845 | |
| | 345,000 | | | Aaa(b) | | Series 2014-LC17, Class A5, 3.917% due 10/10/47 | | | 376,178 | |
| | 5,167,342 | | | Aa1(b) | | Series 2015-CR25, Class XA, 1.048% due 8/10/48(c)(l) | | | 212,168 | |
| | 270,000 | | | AAA | | Series 2016-787S, Class A, 3.545% due 2/10/36(a) | | | 291,140 | |
| | | | | | Core Industrial Trust: | | | | |
| | 351,008 | | | AAA | | Series 2015-CALW, Class A, 3.040% due 2/10/34(a) | | | 360,256 | |
| | 466,473 | | | AAA | | Series 2015-TEXW, Class A, 3.077% due 2/10/34(a) | | | 480,630 | |
| | | | | | Countrywide Asset-Backed Certificates: | | | | |
| | 142,089 | | | CCC | | Series2006-SD3, Class A1, 2.475%(1-MonthUSD-LIBOR + 0.330%) due 7/25/36(a)(c) | | | 134,452 | |
| | 288,988 | | | AA | | Series2007-13, Class 2A2, 2.945%(1-MonthUSD-LIBOR + 0.800%) due 10/25/47(c) | | | 281,441 | |
| | | | | | Countrywide Home Loan Mortgage Pass-Through Trust: | | | | |
| | 96,833 | | | Ca(b) | | Series2005-11, Class 3A3, 2.815% due 4/25/35(c) | | | 81,370 | |
| | 65,574 | | | WR(b) | | Series2005-11, Class 6A1, 2.745%(1-MonthUSD-LIBOR + 0.600%) due 3/25/35(c) | | | 58,849 | |
| | | | | | Credit Suisse Commercial Mortgage Capital Trust: | | | | |
| | 290,000 | | | B- | | Series2014-USA, Class F, 4.373% due 9/15/37(a) | | | 267,611 | |
| | 622,534 | | | NR | | Series2015-5R, Class 1A1, 3.430% due 9/27/46(a)(c) | | | 626,616 | |
| | 240,000 | | | Aaa(b) | | Series 2017-LSTK, Class A, 2.761% due 4/5/33(a) | | | 241,205 | |
See Notes to Financial Statements.
197
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | COLLATERALIZED MORTGAGE OBLIGATIONS — 9.6% — (continued) | |
| | | | | | Credit Suisse Commercial Mortgage Trust: | | | | |
| $ | 13,803 | | | Caa3(b) | | Series2006-C3, Class AJ, 6.702% due 6/15/38(c) | | $ | 7,804 | |
| | 14,773 | | | Caa3(b) | | Series2006-C5, Class AJ, 5.373% due 12/15/39 | | | 10,015 | |
| | 53,152 | | | B+ | | Credit Suisse First Boston Mortgage Securities Corp., Series2005-6, Class 8A1, 4.500% due 7/25/20 | | | 54,777 | |
| | | | | | Credit Suisse Mortgage Capital Certificates: | | | | |
| | 1,510,000 | | | Aaa(b) | | Series 2019-ICE4, Class A, 3.175%(1-MonthUSD-LIBOR + 0.980%) due 5/15/36(a)(c) | | | 1,512,742 | |
| | 950,000 | | | B2(b) | | Series 2019-ICE4, Class F, 4.845%(1-MonthUSD-LIBOR + 2.650%) due 5/15/36(a)(c) | | | 956,708 | |
| | 295,000 | | | Aaa(b) | | Credit Suisse USA CSAIL Commercial Mortgage Trust, Series2015-C1, Class A4, 3.505% due 4/15/50 | | | 315,840 | |
| | | | | | CSMC Trust: | | | | |
| | 1,698,035 | | | NR | | Series2010-9R, Class 2A5, 4.000% due 2/27/38(a)(c) | | | 1,734,807 | |
| | 2,418,287 | | | AAA(k) | | Series2018-J1, Class A2, 3.500% due 2/25/48(a)(c) | | | 2,436,518 | |
| | 1,054,531 | | | CC | | CWABS Revolving Home Equity Loan Trust, Series2004-B, Class 2A, 2.415%(1-MonthUSD-LIBOR + 0.220%) due 2/15/29(c) | | | 975,697 | |
| | 60,356 | | | CCC | | Downey Savings & Loan Association Mortgage Loan Trust, Series2004-AR2, Class A2B, 2.982%(1-MonthUSD-LIBOR + 0.800%) due 11/19/44(c) | | | 58,099 | |
| | 700,000 | | | AAA | | Dryden XXVIII Senior Loan Fund, Series2013-28A, Class A1LR, 3.358%(3-MonthUSD-LIBOR + 1.200%) due 8/15/30(a)(c) | | | 700,257 | |
| | 975,000 | | | AAA | | Eaton Vance CLO2013-1 Ltd., Series2013-1A, Class A1RR, 3.377%(3-MonthUSD-LIBOR + 1.160%) due 1/15/28(a)(c) | | | 975,048 | |
| | 365,746 | | | B- | | Equifirst Mortgage Loan Trust, Series2003-2, Class M2, 4.695%(1-MonthUSD-LIBOR + 2.550%) due 9/25/33(c) | | | 371,502 | |
| | | | | | Federal Home Loan Mortgage Corp. (FHLMC), Interest Strips: | | | | |
| | 109,743 | | | NR | | Series 334, Class S7, 3.905% (6.100% —1-MonthUSD-LIBOR) due 8/15/44(c)(l) | | | 21,455 | |
| | 149,668 | | | NR | | Series 353, Class S1, 3.805% (6.000% —1-MonthUSD-LIBOR) due 12/15/46(c)(l) | | | 26,213 | |
| | | | | | Federal Home Loan Mortgage Corp. (FHLMC), REMICS: | | | | |
| | 8,053 | | | NR | | Series 1865, Class DA, 26.206% (31.310% — 11th District Cost of Funds Index) due 2/15/24(c)(l) | | | 2,557 | |
| | 45,339 | | | NR | | Series 3451, Class SB, 3.835% (6.030% —1-MonthUSD-LIBOR) due 5/15/38(c)(l) | | | 4,927 | |
| | 86,519 | | | NR | | Series 3621, Class SB, 4.035% (6.230% —1-MonthUSD-LIBOR) due 1/15/40(c)(l) | | | 14,560 | |
| | 555,000 | | | NR | | Series 3743, Class PB, 4.500% due 10/15/40 | | | 639,990 | |
| | 1,080,580 | | | NR | | Series 3866, Class SA, 3.755% (5.950% —1-MonthUSD-LIBOR) due 5/15/41(c)(l) | | | 118,901 | |
| | 415,157 | | | NR | | Series 3947, Class SG, 3.755% (5.950% —1-MonthUSD-LIBOR) due 10/15/41(c)(l) | | | 60,732 | |
| | 28,843 | | | NR | | Series 3973, Class SA, 4.295% (6.490% —1-MonthUSD-LIBOR) due 12/15/41(c)(l) | | | 6,507 | |
| | 344,902 | | | NR | | Series 4203, Class PS, 4.055% (6.250% —1-MonthUSD-LIBOR) due 9/15/42(c)(l) | | | 49,270 | |
| | 354,284 | | | NR | | Series 4210, Class Z, 3.000% due 5/15/43 | | | 366,384 | |
| | 154,343 | | | NR | | Series 4239, Class IO, 3.500% due 6/15/27(l) | | | 12,080 | |
| | 306,106 | | | NR | | Series 4316, Class XZ, 4.500% due 3/15/44 | | | 371,662 | |
| | 108,783 | | | NR | | Series 4335, Class SW, 3.805% (6.000% —1-MonthUSD-LIBOR) due 5/15/44(c)(l) | | | 17,850 | |
| | 811,581 | | | NR | | Series 4639, Class HZ, step bond to yield, 3.250% due 4/15/53 | | | 891,481 | |
| | 1,785,881 | | | NR | | Series 4879, Class BC, 3.000% due 4/15/49 | | | 1,847,416 | |
| | 88,657 | | | NR | | Series R007, Class ZA, 6.000% due 5/15/36 | | | 103,245 | |
| | | | | | Federal National Mortgage Association (FNMA), ACES: | | | | |
| | 12,138,834 | | | NR | | Series2013-M7, Class X2, 0.251% due 12/27/22(c)(l) | | | 61,783 | |
| | 5,261,593 | | | NR | | Series2015-M7, Class X2, 0.599% due 12/25/24(c)(l) | | | 112,861 | |
| | 19,166,917 | | | NR | | Series2015-M8, Class X2, 0.241% due 1/25/25(c)(l) | | | 124,828 | |
| | 650,000 | | | NR | | Series2019-M1, Class A2, 3.673% due 9/25/28(c) | | | 728,983 | |
| | 85,475 | | | A1(b) | | Federal National Mortgage Association (FNMA), Connecticut Avenue Securities,Series 2016-C04, Class 1M1, 3.595%(1-MonthUSD-LIBOR + 1.450%) due 1/25/29(a)(c) | | | 85,635 | |
| | 69,431 | | | NR | | Federal National Mortgage Association (FNMA), Grantor Trust, Series2000-T6, Class A3, 4.238% due 11/25/40(c) | | | 69,489 | |
| | | | | | Federal National Mortgage Association (FNMA), Interest Strip: | | | | |
| | 159,563 | | | NR | | Series 409, Class C13, 3.500% due 11/25/41(l) | | | 20,668 | |
| | 287,855 | | | NR | | Series 409, Class C18, 4.000% due 4/25/42(l) | | | 37,948 | |
| | 40,469 | | | NR | | Series 409, Class C22, 4.500% due 11/25/39(l) | | | 6,749 | |
See Notes to Financial Statements.
198
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | COLLATERALIZED MORTGAGE OBLIGATIONS — 9.6% — (continued) | |
| | | | | | Federal National Mortgage Association (FNMA), REMICS: | | | | |
| $ | 28,941 | | | NR | | Series2004-38, Class FK, 2.495%(1-MonthUSD-LIBOR + 0.350%) due 5/25/34(c) | | $ | 28,894 | |
| | 126,346 | | | NR | | Series2005-117, Class LC, 5.500% due 11/25/35 | | | 132,775 | |
| | 603,829 | | | NR | | Series2006-51, Class SP, 4.505% (6.650% —1-MonthUSD-LIBOR) due 3/25/36(c)(l) | | | 85,228 | |
| | 253,461 | | | NR | | Series2007-68, Class SC, 4.555% (6.700% —1-MonthUSD-LIBOR) due 7/25/37(c)(l) | | | 40,020 | |
| | 574,456 | | | NR | | Series2008-18, Class SM, 4.855% (7.000% —1-MonthUSD-LIBOR) due 3/25/38(c)(l) | | | 103,214 | |
| | 1,110,181 | | | NR | | Series2011-8, Class ZA, 4.000% due 2/25/41 | | | 1,193,399 | |
| | 351,688 | | | NR | | Series2011-87, Class SG, 4.405% (6.550% —1-MonthUSD-LIBOR) due 4/25/40(c)(l) | | | 44,198 | |
| | 73,536 | | | NR | | Series2011-90, Class QI, 5.000% due 5/25/34(l) | | | 1,777 | |
| | 770,000 | | | NR | | Series2011-131, Class PB, 4.500% due 12/25/41 | | | 897,685 | |
| | 93,706 | | | NR | | Series2012-35, Class SC, 4.355% (6.500% —1-MonthUSD-LIBOR) due 4/25/42(c)(l) | | | 15,083 | |
| | 117,644 | | | NR | | Series2012-46, Class BA, 6.000% due 5/25/42 | | | 132,162 | |
| | 167,775 | | | NR | | Series2012-51, Class B, 7.000% due 5/25/42 | | | 203,485 | |
| | 21,471 | | | NR | | Series2012-70, Class YS, 4.505% (6.650% —1-MonthUSD-LIBOR) due 2/25/41(c)(l) | | | 1,657 | |
| | 144,780 | | | NR | | Series2012-74, Class SA, 4.505% (6.650% —1-MonthUSD-LIBOR) due 3/25/42(c)(l) | | | 20,239 | |
| | 24,130 | | | NR | | Series2012-75, Class AO, zero coupon, due 3/25/42(j) | | | 22,327 | |
| | 111,145 | | | NR | | Series2012-101, Class BI, 4.000% due 9/25/27(l) | | | 7,934 | |
| | 205,118 | | | NR | | Series2012-118, Class CI, 3.500% due 12/25/39(l) | | | 11,450 | |
| | 120,366 | | | NR | | Series2012-133, Class CS, 4.005% (6.150% —1-MonthUSD-LIBOR) due 12/25/42(c)(l) | | | 21,314 | |
| | 407,635 | | | NR | | Series2013-9, Class BC, 6.500% due 7/25/42 | | | 482,186 | |
| | 347,309 | | | NR | | Series2013-9, Class CB, 5.500% due 4/25/42 | | | 394,413 | |
| | 101,872 | | | NR | | Series2013-54, Class BS, 4.005% (6.150% —1-MonthUSD-LIBOR) due 6/25/43(c)(l) | | | 21,455 | |
| | 289,390 | | | NR | | Series2016-60, Class QS, 3.955% (6.100% —1-MonthUSD-LIBOR) due 9/25/46(c)(l) | | | 48,968 | |
| | 936,851 | | | NR | | Series2018-55, Class PA, 3.500% due 1/25/47 | | | 989,638 | |
| | 844,674 | | | NR | | Series2018-57, Class QA, 3.500% due 5/25/46 | | | 873,626 | |
| | 786,437 | | | NR | | Series2018-94, Class KD, 3.500% due 12/25/48 | | | 825,423 | |
| | | | | | FHLMC Multifamily Structured Pass-Through Certificates: | | | | |
| | 226,870 | | | AAA(k) | | Series K016, Class X1, 1.635% due 10/25/21(c)(l) | | | 6,166 | |
| | 500,000 | | | AAA(k) | | Series K072, Class A2, 3.444% due 12/25/27 | | | 555,139 | |
| | 185,000 | | | AAA(k) | | Series K082, Class A2, 3.920% due 9/25/28(c) | | | 213,479 | |
| | 281,000 | | | Aaa(b) | | Series K085, Class A2, 4.060% due 10/25/28(c) | | | 327,334 | |
| | 555,000 | | | NR | | Series K158, Class A3, 3.900% due 10/25/33(c) | | | 656,513 | |
| | 321,909 | | | NR | | Series KIR2, Class A1, 2.748% due 3/25/27 | | | 332,533 | |
| | 1,002,467 | | | NR | | Series Q006, Class APT2, 2.490% due 9/25/26(c) | | | 1,031,568 | |
| | | | | | FHLMC Structured Agency Credit Risk Debt Notes: | | | | |
| | 469,000 | | | Baa1(b) | | Series 2016-DNA1, Class M3, 7.816%(1-MonthUSD-LIBOR + 5.550%) due 7/25/28(c) | | | 517,750 | |
| | 655,000 | | | BB+(k) | | Series 2017-DNA2, Class M2, 5.595%(1-MonthUSD-LIBOR + 3.450%) due 10/25/29(c) | | | 688,741 | |
| | 383,406 | | | B(k) | | Series 2017-HRP1, Class M2, 4.595%(1-MonthUSD-LIBOR + 2.450%) due 12/25/42(c) | | | 387,978 | |
| | 1,578,577 | | | CC | | First Franklin Mortgage Loan Trust, Series 2006-FF13, Class A2D, 2.385%(1-MonthUSD-LIBOR + 0.240%) due 10/25/36(c) | | | 1,268,245 | |
| | 544,138 | | | AAA | | Flagship CLO VIII Ltd., Series2014-8A, Class ARR, 3.172%(3-MonthUSD-LIBOR + 0.850%) due 1/16/26(a)(c) | | | 544,666 | |
| | 910,000 | | | B+(k) | | FNMA Connecticut Avenue Securities, Series2017-C07, Class 1M2, 4.545%(1-MonthUSD-LIBOR + 2.400%) due 5/28/30(a)(c) | | | 920,273 | |
| | 99,830 | | | NR | | FNMA Grantor Trust2017-T1, Series2017-T1, Class A, 2.898% due 6/25/27 | | | 105,152 | |
| | | | | | FNMA-Aces: | | | | |
| | 180,000 | | | NR | | Series2019-M4, Class A2, 3.610% due 2/25/31 | | | 205,721 | |
| | 260,000 | | | NR | | Series2019-M5, Class A2, 3.273% due 1/25/29 | | | 284,061 | |
| | 330,000 | | | NR | | Series2019-M6, Class A2, 3.450% due 1/1/29 | | | 371,506 | |
| | | | | | Ford Credit Floorplan Master Owner Trust A: | | | | |
| | 1,370,000 | | | AAA | | Series2018-3, Class A1, 3.520% due 10/15/23 | | | 1,417,807 | |
| | 700,000 | | | Aaa(b) | | Series2019-2, Class A, 3.060% due 4/15/26 | | | 734,272 | |
| | 931,302 | | | AA+ | | Four Times Square Trust Commercial Mortgage Pass-Through Certificates, Series2006-4TS, Class A, 5.401% due 12/13/28(a) | | | 963,341 | |
See Notes to Financial Statements.
199
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | COLLATERALIZED MORTGAGE OBLIGATIONS — 9.6% — (continued) | |
| $ | 330,000 | | | AAA | | Freddie Mac Multifamily Structured Pass-Through Certificates, Series K091, Class A2, 3.505% due 3/25/29 | | $ | 371,267 | |
| | 929,370 | | | NR | | FREMF 2019-KF58 Mortgage Trust, Series 2019-KF58, Class B, 4.374%(1-MonthUSD-LIBOR + 2.150%) due 1/25/26(a)(c) | | | 937,923 | |
| | 204,539 | | | NR | | FRESB 2019-SB60 Mortgage Trust, Series 2019-SB60, Class A10H, 3.500%(1-MonthUSD-LIBOR + 3.500%) due 1/25/39(c) | | | 219,495 | |
| | 91,356 | | | BB+ | | GE Business Loan Trust, Series2006-1A, Class C, 2.615%(1-MonthUSD-LIBOR + 0.420%) due 5/15/34(a)(c) | | | 85,809 | |
| | 1,460,913 | | | NR | | Government National Mortgage Association, Series2019-86, Class C, 2.500% due 3/20/49 | | | 1,470,552 | |
| | | | | | Government National Mortgage Association (GNMA): | | | | |
| | 515,747 | | | NR | | Series2007-51, Class SG, 4.408% (6.580% —1-MonthUSD-LIBOR) due 8/20/37(c)(l) | | | 76,797 | |
| | 1,536,466 | | | NR | | Series2008-51, Class GS, 4.033% (6.230% —1-MonthUSD-LIBOR) due 6/16/38(c)(l) | | | 291,955 | |
| | 10,869 | | | NR | | Series2010-31, Class GS, 4.328% (6.500% —1-MonthUSD-LIBOR) due 3/20/39(c)(l) | | | 355 | |
| | 60,836 | | | NR | | Series2010-85, Class HS, 4.478% (6.650% —1-MonthUSD-LIBOR) due 1/20/40(c)(l) | | | 5,273 | |
| | 338,939 | | | NR | | Series2012-H27, Class AI, 1.740% due 10/20/62(c)(l) | | | 17,756 | |
| | 251,784 | | | NR | | Series2013-53, Class OI, 3.500% due 4/20/43(l) | | | 30,631 | |
| | 2,822,534 | | | NR | | Series2013-85, Class IA, 0.692% due 3/16/47(c)(l) | | | 95,821 | |
| | 1,707,669 | | | NR | | Series2014-105, Class IO, 0.955% due 6/16/54(c)(l) | | | 81,378 | |
| | 1,787,229 | | | NR | | Series2014-H20, Class FA, 2.810%(1-MonthUSD-LIBOR + 0.430%) due 10/20/64(c) | | | 1,785,171 | |
| | 112,445 | | | NR | | Series2015-167, Class OI, 4.000% due 4/16/45(l) | | | 17,177 | |
| | 114,938 | | | NR | | Series2016-84, Class IG, 4.500% due 11/16/45(l) | | | 18,172 | |
| | 79,606 | | | NR | | Series2016-135, Class SB, 3.903% (6.100% —1-MonthUSD-LIBOR) due 10/16/46(c)(l) | | | 17,943 | |
| | 797,785 | | | NR | | Series2017-H22, Class IC, 2.241% due 11/20/67(c)(l) | | | 91,282 | |
| | 260,549 | | | NR | | Series2018-124, Class NW, 3.500% due 9/20/48 | | | 269,834 | |
| | 99,265 | | | NR | | Series2018-130, Class A, 3.250% due 5/16/59 | | | 101,641 | |
| | 710,000 | | | AAA | | GS Mortgage Securities Corp. II, Series 2018-SRP5, Class A, 3.495%(1-MonthUSD-LIBOR + 1.300%) due 9/15/31(a)(c) | | | 701,959 | |
| | | | | | Harborview Mortgage Loan Trust: | | | | |
| | 142,381 | | | AA+ | | Series2004-5, Class 2A6, 4.062% due 6/19/34(c) | | | 144,072 | |
| | 61,156 | | | WD(k) | | Series2006-2, Class 1A, 4.978% due 2/25/36(c) | | | 39,119 | |
| | 1,042,200 | | | D | | Series2006-10, Class 1A1A, 2.382%(1-MonthUSD-LIBOR + 0.200%) due 11/19/36(c) | | | 968,057 | |
| | 100,303 | | | AA | | Impac CMB Trust, Series2007-A, Class A, 2.645%(1-MonthUSD-LIBOR + 0.500%) due 5/25/37(a)(c) | | | 101,293 | |
| | 710,000 | | | AAA(k) | | Independence Plaza Trust, Series 2018-INDP, Class A, 3.763% due 7/10/35(a) | | | 765,790 | |
| | 44,761 | | | Caa2(b) | | Indymac Index Mortgage Loan Trust, Series 2005-AR15, Class A2, 3.851% due 9/25/35(c) | | | 41,885 | |
| | 1,590,406 | | | CCC | | IndyMac INDX Mortgage Loan Trust, Series 2005-AR14, Class 2A1A, 2.445%(1-MonthUSD-LIBOR + 0.300%) due 7/25/35(c) | | | 1,544,110 | |
| | 1,038,857 | | | CC | | IXIS Real Estate Capital Trust, Series2006-HE2, Class A3, 2.305%(1-MonthUSD-LIBOR + 0.160%) due 8/25/36(c) | | | 431,530 | |
| | | | | | JP Morgan Chase Commercial Mortgage Securities Trust: | | | | |
| | 218,722 | | | AAA | | Series 2012-HSBC, Class A, 3.093% due 7/5/32(a) | | | 225,884 | |
| | 350,000 | | | Aaa(b) | | Series 2016-NINE, Class A, 2.949% due 10/6/38(a)(c) | | | 366,165 | |
| | 265,000 | | | AAA | | Series 2018-BCON, Class A, 3.735% due 1/5/31(a) | | | 278,707 | |
| | 365,000 | | | Aaa(b) | | Series2019-OSB, Class A, 3.397% due 6/5/39(a) | | | 401,057 | |
| | 1,350,000 | | | CCC | | JP Morgan Mortgage Acquisition Corp., Series 2006-FRE1, Class M1, 2.535%(1-MonthUSD-LIBOR + 0.390%) due 5/25/35(c) | | | 1,348,550 | |
| | | | | | JP Morgan Mortgage Trust: | | | | |
| | 384,671 | | | Aaa(b) | | Series2017-1, Class A4, 3.500% due 1/25/47(a)(c) | | | 390,824 | |
| | 302,494 | | | Aaa(b) | | Series2017-2, Class A6, 3.000% due 5/25/47(a)(c) | | | 305,661 | |
| | 1,193,513 | | | AA+ | | Series2018-3, Class A1, 3.500% due 9/25/48(a)(c) | | | 1,217,086 | |
| | 460,014 | | | AA+ | | Series2018-4, Class A1, 3.500% due 10/25/48(a)(c) | | | 469,099 | |
| | 1,144,735 | | | AA+ | | Series2018-5, Class A1, 3.500% due 10/25/48(a)(c) | | | 1,167,377 | |
| | 566,137 | | | AAA | | Series2019-1, Class A11, 3.095%(1-MonthUSD-LIBOR + 0.950%) due 5/25/49(a)(c) | | | 569,192 | |
| | | | | | JPMBB Commercial Mortgage Securities Trust: | | | | |
| | 40,000 | | | Aa3(b) | | Series2013-C17, Class B, 5.054% due 1/15/47(c) | | | 44,104 | |
| | 350,000 | | | BB(k) | | Series2014-C23, Class E, 3.364% due 9/15/47(a)(c) | | | 297,563 | |
See Notes to Financial Statements.
200
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | COLLATERALIZED MORTGAGE OBLIGATIONS — 9.6% — (continued) | |
| $ | 440,000 | | | Aaa(b) | | JPMCC Commercial Mortgage Securities Trust, Series 2019-BOLT, Class A, 3.345%(1-MonthUSD-LIBOR + 1.150%) due 7/15/34(a)(c) | | $ | 440,190 | |
| | 190,000 | | | Aaa(b) | | JPMDB Commercial Mortgage Securities Trust, Series2017-C7, Class A5, 3.409% due 10/15/50 | | | 206,907 | |
| | | | | | JPMorgan Chase Commercial Mortgage Securities Trust: | | | | |
| | 175,000 | | | Aaa(b) | | Series2011-C5, Class AS, 5.554% due 8/15/46(a)(c) | | | 184,811 | |
| | 370,000 | | | Aa1(b) | | Series2011-C5, Class B, 5.554% due 8/15/46(a)(c) | | | 389,359 | |
| | 460,000 | | | AA | | Series 2012-HSBC, Class C, 4.021% due 7/5/32(a) | | | 478,979 | |
| | 217,833 | | | Aaa(b) | | JPMorgan Trust, Series2015-5, Class A9, 3.363% due 5/25/45(a)(c) | | | 218,182 | |
| | 1,004,579 | | | NR | | Legacy Mortgage Asset Trust, Series2019-GS5, Class A1, step bond to yield, 3.200% due
5/25/59(a) | | | 1,009,056 | |
| | 47,193 | | | Ca(b) | | Lehman XS Trust, Series2005-7N, Class 1A1B, 2.745%(1-MonthUSD-LIBOR + 0.600%) due 12/25/35(c) | | | 36,938 | |
| | 130,000 | | | Aaa(b) | | Madison Avenue Trust, Series 2013-650M, Class A, 3.843% due 10/12/32(a) | | | 131,655 | |
| | 700,000 | | | Aaa(b) | | Magnetite XVIII Ltd., Series2016-18A, Class AR, 3.238%(3-MonthUSD-LIBOR + 1.080%) due 11/15/28(a)(c) | | | 699,493 | |
| | 259,967 | | | AA+ | | MASTR Seasoned Securitization Trust, Series2005-1, Class 4A1, 4.695% due 10/25/32(c) | | | 268,652 | |
| | 290,799 | | | CC | | Merrill Lynch First Franklin Mortgage Loan Trust, Series2007-4, Class 2A4, 2.395%(1-MonthUSD-LIBOR + 0.250%) due 7/25/37(c) | | | 203,314 | |
| | 16,478 | | | A+ | | Merrill Lynch Mortgage Investors Trust, Series2004-A3, Class 4A3, 4.801% due 5/25/34(c) | | | 16,616 | |
| | 522,596 | | | AA+ | | Mid-State Capital Corp. Trust, Series2004-1, Class A, 6.005% due 8/15/37 | | | 567,348 | |
| | | | | | ML-CFC Commercial Mortgage Trust: | | | | |
| | 79,103 | | | Caa2(b) | | Series2007-5, Class AJ, 5.450% due 8/12/48(c) | | | 50,385 | |
| | 39,815 | | | D(k) | | Series2007-9, Class AJ, 6.193% due 9/12/49(c) | | | 17,247 | |
| | 500,000 | | | Aaa(b) | | Morgan Stanley Bank of America Merrill Lynch Trust, Series2013-C13, Class A4, 4.039% due 11/15/46(m) | | | 539,501 | |
| | 1,921,684 | | | NR | | Morgan Stanley Resecuritization Trust, Series2014-R3, Class 2A, 3.000% due 7/26/48(a)(c)(m) | | | 1,928,623 | |
| | 400,000 | | | AAA | | Neuberger Berman CLOXVI-S Ltd., Series 2017-16SA, Class A, 3.153%(3-MonthUSD-LIBOR + 0.850%) due 1/15/28(a)(c) | | | 399,129 | |
| | 1,850,000 | | | CCC | | New Century Home Equity Loan Trust, Series2005-4, Class M3, 2.695%(1-MonthUSD-LIBOR + 0.550%) due 9/25/35(c) | | | 1,851,506 | |
| | 329,430 | | | AAA | | New Residential Mortgage Loan Trust, Series2016-4A, Class A1, 3.750% due 11/25/56(a)(c) | | | 343,625 | |
| | 240,000 | | | AAA | | Octagon Investment Partners 25 Ltd., Series2015-1A, Class AR, 3.078%(3-MonthUSD-LIBOR + 0.800%) due 10/20/26(a)(c) | | | 239,973 | |
| | 500,000 | | | Aaa(b) | | One Bryant Park Trust, Series2019-OBP, Class A, 2.516% due 9/13/49(a) | | | 510,641 | |
| | 977,131 | | | BBB- | | Option One Mortgage Loan Trust, Series2004-3, Class M1, 2.925%(1-MonthUSD-LIBOR + 0.780%) due 11/25/34(c) | | | 979,122 | |
| | 110,000 | | | AAA | | PFS Financing Corp., Series2016-BA, Class A, 1.870% due 10/15/21(a) | | | 110,071 | |
| | 943,739 | | | NR | | PMT Credit Risk Transfer Trust, Series2019-2R, Class A, 4.991%(1-MonthUSD-LIBOR + 2.750%) due 5/27/23(a)(c) | | | 948,549 | |
| | 631,408 | | | AA+ | | Popular ABS Mortgage Pass-Through Trust, Series2006-C, Class A4, 2.395%(1-MonthUSD-LIBOR + 0.250%) due 7/25/36(c) | | | 630,368 | |
| | | | | | Prime Mortgage Trust: | | | | |
| | 22,712 | | | Caa2(b) | | Series2006-DR1, Class 1A1, 5.500% due 5/25/35(a) | | | 20,752 | |
| | 894,371 | | | Caa2(b) | | Series2006-DR1, Class 2A1, 5.500% due 5/25/35(a) | | | 775,271 | |
| | 915,000 | | | AAA | | RBS Commercial Funding Inc. Trust, Series2013-GSP, Class A, 3.961% due 1/15/32(a)(c) | | | 971,321 | |
| | 204,109 | | | Caa2(b) | | Residential Asset Securitization Trust, Series2005-A15, Class 1A4, 5.750% due 2/25/36 | | | 208,877 | |
| | | | | | SBA Small Business Investment Cos.: | | | | |
| | 732,441 | | | NR | | Series2018-10B, Class 1, 3.548% due 9/10/28 | | | 785,899 | |
| | 400,000 | | | NR | | Series2019-10A, Class 1, 3.113% due 3/10/29 | | | 422,920 | |
| | | | | | Seasoned Credit Risk Transfer Trust: | | | | |
| | 205,999 | | | NR | | Series2018-2, Class MA, 3.500% due 11/25/57 | | | 216,447 | |
| | 790,000 | | | B-(k) | | Series2019-1, Class M, 4.750% due 7/25/58(a)(c) | | | 810,506 | |
| | 511,828 | | | NR | | Series2019-2, Class MA, 3.500% due 8/25/58 | | | 541,254 | |
See Notes to Financial Statements.
201
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | COLLATERALIZED MORTGAGE OBLIGATIONS — 9.6% — (continued) | |
| $ | 1,373,703 | | | AA- | | Sequoia Mortgage Trust, Series2003-1, Class 1A, 2.932%(1-MonthUSD-LIBOR + 0.760%) due 4/20/33(c) | | $ | 1,359,774 | |
| | 829,915 | | | AA | | Structured Asset Investment Loan Trust, Series2004-6, Class A3, 2.945%(1-MonthUSD-LIBOR + 0.800%) due 7/25/34(c) | | | 823,113 | |
| | 109,221 | | | AA+ | | Structured Asset Mortgage Investments II Trust, Series2005-AR5, Class A3, 2.432%(1-MonthUSD-LIBOR + 0.250%) due 7/19/35(c) | | | 108,383 | |
| | 111,516 | | | CCC | | Structured Asset Securities Corp., Series2005-RF3, Class 1A, 2.495%(1-MonthUSD-LIBOR + 0.350%) due 6/25/35(a)(c) | | | 100,138 | |
| | 81,008 | | | AAA | | Tharaldson Hotel Portfolio Trust, Series2018-THL, Class A, 2.973%(1-MonthUSD-LIBOR + 0.750%) due 11/11/34(a)(c) | | | 81,069 | |
| | 258,690 | | | Aaa(b) | | Towd Point Mortgage Trust, Series2016-3, Class A1, 2.250% due 4/25/56(a)(c) | | | 258,261 | |
| | 120,000 | | | NR | | United States Small Business Administration, Series2019-20D, Class 1, 2.980% due 4/1/39 | | | 127,662 | |
| | 810,000 | | | A- | | Vantage Data Centers Issuer LLC, Series2019-1A, Class A2, 3.188% due 7/15/44(a) | | | 826,471 | |
| | 530,000 | | | AAA | | VNDO Mortgage Trust, Series 2012-6AVE, Class A, 2.996% due 11/15/30(a) | | | 547,461 | |
| | | | | | WaMu Mortgage Pass-Through Certificates Trust: | | | | |
| | 10,200 | | | BB | | Series 2004-AR11, Class A, 4.255% due 10/25/34(c) | | | 10,320 | |
| | 49,951 | | | A+ | | Series 2004-AR12, Class A2A, 2.925%(1-MonthUSD-LIBOR + 0.780%) due 10/25/44(c) | | | 49,853 | |
| | 262,935 | | | BB- | | Series2005-AR4, Class A5, 4.238% due 4/25/35(c) | | | 271,888 | |
| | 1,515,734 | | | A- | | Series 2005-AR19, Class A1B3, 2.495%(1-MonthUSD-LIBOR + 0.350%) due 12/25/45(c) | | | 1,510,720 | |
| | 1,034,520 | | | CCC | | Series2006-AR3, Class A1A, 3.481%(1-Year Treasury Average Rate + 1.000%) due
2/25/46(c) | | | 1,056,086 | |
| | 1,831,285 | | | WR(b) | | Series2007-OA2, Class 1A, 3.181%(1-Year Treasury Average Rate + 0.700%)
due 3/25/47(c) | | | 1,696,166 | |
| | 466,885 | | | Ca(b) | | Washington Mutual Mortgage Pass-Through Certificates WMALT, Series2007-OA2, Class 2A, 3.181%(1-Year Treasury Average Rate + 0.700%) due 1/25/47(c) | | | 394,751 | |
| | | | | | Wells Fargo Commercial Mortgage Trust: | | | | |
| | 120,000 | | | Aa3(b) | | Series 2013-LC12, Class B, 4.420% due 7/15/46(c) | | | 125,898 | |
| | 1,000,000 | | | Aa2(b) | | Series2015-C28, Class AS, 3.872% due 5/15/48(c) | | | 1,076,405 | |
| | 150,000 | | | Aaa(b) | | Series 2015-LC20, Class A5, 3.184% due 4/15/50 | | | 158,662 | |
| | 500,000 | | | AAA | | Series 2016-BNK1, Class ASB, 2.514% due 8/15/49 | | | 510,580 | |
| | 11,920,527 | | | Aaa(b) | | Series2018-C43, Class XA, 0.862% due 3/15/51(c)(l) | | | 589,918 | |
| | 250,000 | | | Aaa(b) | | Series2018-C44, Class A4, 3.948% due 5/15/51 | | | 282,102 | |
| | 3,620,000 | | | Aaa(b) | | Series2019-C52, Class XA, 1.771% due 8/15/52(c)(l) | | | 443,988 | |
| | | | | | Wells Fargo Mortgage-Backed Securities Trust: | | | | |
| | 176,315 | | | Caa1(b) | | Series2006-12, Class A3, 6.000% due 10/25/36 | | | 179,239 | |
| | 83,982 | | | CCC | | Series2006-AR2, Class 2A1, 5.005% due 3/25/36(c) | | | 86,467 | |
| | 22,904 | | | Caa2(b) | | Series2006-AR7, Class 2A4, 5.088% due 5/25/36(c) | | | 23,832 | |
| | | | | | WF-RBS Commercial Mortgage Trust: | | | | |
| | 193,004 | | | Aaa(b) | | Series2011-C2, Class A4, 4.869% due 2/15/44(a)(c) | | | 198,225 | |
| | 1,664,103 | | | Aaa(b) | | Series2012-C7, Class XA, 1.512% due 6/15/45(a)(c)(l) | | | 47,596 | |
| | 145,000 | | | Aaa(b) | | Series2013-C14, Class A4, 3.073% due 6/15/46 | | | 150,580 | |
| | | | | | | | | | |
| | | | | | TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost — $116,448,286) | | | 115,789,754 | |
| | | | | | | | | | |
|
| | SOVEREIGN BONDS — 2.8% | |
|
| | Argentina — 0.1% | |
| | 1,910,000 | | | CCC- | | Argentine Republic Government International Bonds, 5.625% due 1/26/22 | | | 764,000 | |
| | | | | | | | | | |
|
| | Brazil — 0.6% | |
| | 656,000 | BRL | | BB- | | Brazil Notas do Tesouro Nacional Serie B, 6.000% due 8/15/50 | | | 708,516 | |
| | | | | | Brazil Notas do Tesouro Nacional Serie F: | | | | |
| | 5,296,000 | BRL | | BB- | | 10.000% due 1/1/21 | | | 1,368,390 | |
| | 5,296,000 | BRL | | BB- | | 10.000% due 1/1/23 | | | 1,423,746 | |
| | 910,000 | BRL | | BB- | | 10.000% due 1/1/27 | | | 255,649 | |
See Notes to Financial Statements.
202
| | | | | | | | | | |
| 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 | | $ | 291,133 | |
| | 1,300,000 | | | BB- | | 4.625% due 1/13/28 | | | 1,399,788 | |
| | 1,280,000 | | | BB- | | 5.000% due 1/27/45 | | | 1,364,013 | |
| | | | | | | | | | |
| | | | | | Total Brazil | | | 6,811,235 | |
| | | | | | | | | | |
|
| | Canada — 0.0% | |
| | 152,000 | | | A+ | | Province of Manitoba Canada, 3.050% due 5/14/24 | | | 161,682 | |
| | | | | | | | | | |
|
| | Chile — 0.0% | |
| | 100,000 | | | A+ | | Chile Government International Bonds, 3.240% due 2/6/28 | | | 109,314 | |
| | | | | | | | | | |
|
| | Colombia — 0.1% | |
| | | | | | Colombia Government International Bonds: | | | | |
| | 220,000 | | | BBB- | | 8.125% due 5/21/24 | | | 276,102 | |
| | 280,000 | | | BBB- | | 3.875% due 4/25/27 | | | 303,243 | |
| | 440,000 | | | BBB- | | 4.500% due 3/15/29 | | | 501,600 | |
| | 370,000 | | | BBB- | | 5.625% due 2/26/44 | | | 477,304 | |
| | | | | | | | | | |
| | | | | | Total Colombia | | | 1,558,249 | |
| | | | | | | | | | |
|
| | Ecuador — 0.0% | |
| | 200,000 | | | B- | | Ecuador Government International Bonds, 7.875% due 1/23/28(a) | | | 187,650 | |
| | | | | | | | | | |
|
| | Egypt — 0.0% | |
| | 230,000 | | | B | | Egypt Government International Bonds, 5.577% due 2/21/23(a) | | | 237,651 | |
| | | | | | | | | | |
|
| | Indonesia — 0.2% | |
| | | | | | Indonesia Government International Bonds: | | | | |
| | 1,400,000 | | | BBB | | 3.750% due 4/25/22 | | | 1,445,572 | |
| | 290,000 | | | Baa2(b) | | 3.500% due 1/11/28 | | | 305,269 | |
| | 80,000 | | | BBB | | 4.100% due 4/24/28 | | | 87,634 | |
| | 330,000 | | | Baa2(b) | | 4.350% due 1/11/48 | | | 375,892 | |
| | | | | | | | | | |
| | | | | | Total Indonesia | | | 2,214,367 | |
| | | | | | | | | | |
|
| | Kenya — 0.0% | |
| | 200,000 | | | B+ | | Kenya Government International Bonds, 7.250% due 2/28/28(a) | | | 209,446 | |
| | | | | | | | | | |
|
| | Kuwait — 0.0% | |
| | 360,000 | | | AA | | Kuwait International Government Bonds, 3.500% due 3/20/27(a) | | | 395,848 | |
| | | | | | | | | | |
|
| | Mexico — 0.9% | |
| | | | | | Mexican Bonos: | | | | |
| | 10,752,700 | MXN | | A- | | 6.500% due 6/9/22 | | | 531,076 | |
| | 15,120,000 | MXN | | A- | | 10.000% due 12/5/24 | | | 858,505 | |
| | 12,800,000 | MXN | | A- | | 8.500% due 5/31/29 | | | 706,580 | |
| | 60,165,700 | MXN | | A- | | 7.750% due 11/13/42 | | | 3,097,464 | |
| | 48,220,000 | MXN | | A3(b) | | 8.000% due 11/7/47 | | | 2,552,008 | |
| | | | | | Mexico Government International Bonds: | | | | |
| | 174,000 | | | BBB+ | | 3.625% due 3/15/22 | | | 180,527 | |
| | 44,000 | | | BBB+ | | 4.000% due 10/2/23 | | | 46,586 | |
| | 665,000 | | | BBB+ | | 4.150% due 3/28/27 | | | 710,892 | |
| | 323,000 | | | BBB+ | | 3.750% due 1/11/28 | | | 338,265 | |
| | 1,000,000 | | | BBB+ | | 4.500% due 4/22/29 | | | 1,105,260 | |
| | 210,000 | | | BBB+ | | 4.750% due 3/8/44 | | | 232,512 | |
| | | | | | | | | | |
| | | | | | Total Mexico | | | 10,359,675 | |
| | | | | | | | | | |
|
| | Nigeria — 0.0% | |
| | 260,000 | | | B | | Nigeria Government International Bonds, 7.143% due 2/23/30(a) | | | 261,921 | |
| | | | | | | | | | |
See Notes to Financial Statements.
203
| | | | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | | Security | | Value | |
| | | |
| | Oman — 0.0% | | | | | | | | | | | |
| $ | 200,000 | | | | Ba1(b) | | | Oman Government International Bonds, 5.625% due 1/17/28(a) | | $ | 197,405 | |
| | | | | | | | | | | | |
|
| | Panama — 0.1% | |
| | | | | | | | Panama Government International Bonds: | | | | |
| | 200,000 | | | | BBB+ | | | 4.000% due 9/22/24 | | | 216,502 | |
| | 210,000 | | | | BBB+ | | | 3.875% due 3/17/28 | | | 232,971 | |
| | | | | | | | | | | | |
| | | | | | | | Total Panama | | | 449,473 | |
| | | | | | | | | | | | |
|
| | Peru — 0.1% | |
| | | | | | | | Peruvian Government International Bonds: | | | | |
| | 210,000 | | | | BBB+ | | | 4.125% due 8/25/27 | | | 241,397 | |
| | 70,000 | | | | BBB+ | | | 6.550% due 3/14/37 | | | 106,488 | |
| | 160,000 | | | | BBB+ | | | 5.625% due 11/18/50 | | | 244,402 | |
| | | | | | | | | | | | |
| | | | | | | | Total Peru | | | 592,287 | |
| | | | | | | | | | | | |
|
| | Philippines — 0.0% | |
| | 400,000 | | | | BBB+ | | | Philippine Government International Bonds, 3.000% due 2/1/28 | | | 426,977 | |
| | | | | | | | | | | | |
|
| | Poland — 0.1% | |
| | 710,000 | | | | A- | | | Poland Government International Bonds, 4.000% due 1/22/24 | | | 773,816 | |
| | | | | | | | | | | | |
|
| | Qatar — 0.1% | |
| | | | | | | | Qatar Government International Bonds: | | | | |
| | 250,000 | | | | AA- | | | 4.000% due 3/14/29(a) | | | 285,804 | |
| | 820,000 | | | | AA- | | | 4.817% due 3/14/49(a) | | | 1,057,018 | |
| | | | | | | | | | | | |
| | | | | | | | Total Qatar | | | 1,342,822 | |
| | | | | | | | | | | | |
|
| | Russia — 0.4% | |
| | | | | | | | Russian Federal Bonds — OFZ: | | | | |
| | 22,990,000 | RUB | | | BBB | | | 7.000% due 8/16/23 | | | 348,230 | |
| | 6,950,000 | RUB | | | NR | | | 7.750% due 9/16/26 | | | 109,243 | |
| | 31,310,000 | RUB | | | BBB | | | 8.150% due 2/3/27 | | | 502,855 | |
| | 146,093,000 | RUB | | | BBB | | | 7.050% due 1/19/28 | | | 2,209,820 | |
| | 86,190,000 | RUB | | | BBB(k) | | | 6.900% due 5/23/29 | | | 1,283,712 | |
| | 34,080,000 | RUB | | | BBB(k) | | | 7.250% due 5/10/34 | | | 513,230 | |
| | 200,000 | | | | BBB(k) | | | Russian Foreign Bonds — Eurobond, 4.750% due 5/27/26 | | | 218,746 | |
| | | | | | | | | | | | |
| | | | | | | | Total Russia | | | 5,185,836 | |
| | | | | | | | | | | | |
|
| | Saudi Arabia — 0.0% | |
| | 200,000 | | | | A1(b) | | | Saudi Government International Bonds, 3.625% due 3/4/28 | | | 217,167 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
|
| | United Arab Emirates — 0.0% | |
| | 400,000 | | | | AA | | | Abu Dhabi Government International Bonds, 2.500% due 10/11/22(a) | | | 406,784 | |
| | | | | | | | | | | | |
|
| | Uruguay — 0.1% | |
| | | | | | | | Uruguay Government International Bonds: | | | | |
| | 70,000 | | | | BBB | | | 4.500% due 8/14/24 | | | 76,038 | |
| | 355,000 | | | | BBB | | | 4.375% due 10/27/27 | | | 394,719 | |
| | | | | | | | | | | | |
| | | | | | | | Total Uruguay | | | 470,757 | |
| | | | | | | | | | | | |
| | | | | | | | TOTAL SOVEREIGN BONDS
(Cost — $34,950,568) | | | 33,334,362 | |
| | | | | | | | | | | | |
|
| | ASSET-BACKED SECURITIES — 1.7% | |
|
| | Automobiles — 0.4% | |
| | 20,584 | | | | AAA | | | AmeriCredit Automobile Receivables Trust, Series2017-1, Class A3, 1.870% due 8/18/21 | | | 20,571 | |
| | 630,000 | | | | AAA | | | Credit Acceptance Auto Loan Trust, Series2018-3A, Class A, 3.550% due 8/15/27(a) | | | 644,084 | |
See Notes to Financial Statements.
204
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Automobiles — 0.4% — (continued) | |
| | | | | | Hertz Vehicle Financing II LP: | | | | |
| $ | 1,500,000 | | | Aaa(b) | | Series2016-4A, Class A, 2.650% due 7/25/22(a) | | $ | 1,508,891 | |
| | 440,000 | | | Aaa(b) | | Series2018-1A, Class A, 3.290% due 2/25/24(a) | | | 453,868 | |
| | 970,000 | | | AAA | | Nissan Auto Receivables Owner Trust, Series2018-C, Class A3, 3.220% due 6/15/23 | | | 995,653 | |
| | 1,340,000 | | | Aaa(b) | | Santander Drive Auto Receivables Trust, Series2019-2, Class A3, 2.590% due 5/15/23 | | | 1,352,896 | |
| | | | | | | | | | |
| | | | | | Total Automobiles | | | 4,975,963 | |
| | | | | | | | | | |
|
| | Credit Cards — 0.1% | |
| | 830,000 | | | AAA | | Capital One Multi-Asset Execution Trust, Series2019-A1, Class A1, 2.840% due 12/15/24 | | | 853,436 | |
| | 315,000 | | | AAA | | Citibank Credit Card Issuance Trust, Series2017-A6, Class A6, 2.965%(1-MonthUSD-LIBOR + 0.770%) due 5/14/29(c) | | | 314,952 | |
| | | | | | | | | | |
| | | | | | Total Credit Cards | | | 1,168,388 | |
| | | | | | | | | | |
|
| | Student Loans — 1.2% | |
| | 372,568 | | | AA+ | | CIT Education Loan Trust, Series2007-1, Class A, 2.439%(3-MonthUSD-LIBOR + 0.090%) due 3/25/42(a)(c) | | | 360,831 | |
| | | | | | Navient Private Education Loan Trust: | | | | |
| | 279,846 | | | AAA | | Series2014-AA, Class A2B, 3.445%(1-MonthUSD-LIBOR + 1.250%) due 2/15/29(a)(c) | | | 283,363 | |
| | 34,988 | | | AAA | | Series2014-CTA, Class A, 2.895%(1-MonthUSD-LIBOR + 0.700%) due 9/16/24(a)(c) | | | 35,013 | |
| | 930,000 | | | AAA | | Navient Private Education Refi Loan Trust, Series2019-CA, Class A2, 3.130% due 2/15/68(a) | | | 970,039 | |
| | 500,000 | | | AAA | | Navient Student Loan Trust, Series2017-4A, Class A2, 2.645%(1-MonthUSD-LIBOR + 0.500%) due 9/27/66(a)(c) | | | 499,484 | |
| | 541,702 | | | AAA | | Nelnet Student Loan Trust, Series2011-1A, Class A, 2.995%(1-MonthUSD-LIBOR + 0.850%) due 2/25/48(a)(c) | | | 542,333 | |
| | | | | | SLM Student Loan Trust: | | | | |
| | 197,098 | | | AA+ | | Series2003-4, Class A5E, 3.160%(3-MonthUSD-LIBOR + 0.750%) due 3/15/33(a)(c) | | | 192,925 | |
| | 1,918,548 | | | AAA | | Series2005-5, Class A4, 2.416%(3-MonthUSD-LIBOR + 0.140%) due 10/25/28(c) | | | 1,905,575 | |
| | 880,000 | | | AA+ | | Series2005-5, Class A5, 3.026%(3-MonthUSD-LIBOR + 0.750%) due 10/25/40(c) | | | 874,185 | |
| | 640,000 | | | AAA | | Series2011-1, Class A2, 3.295%(1-MonthUSD-LIBOR + 1.150%) due 10/25/34(c) | | | 647,878 | |
| | 3,535,000 | | | AAA | | Series2011-2, Class A2, 3.345%(1-MonthUSD-LIBOR + 1.200%) due 10/25/34(c) | | | 3,592,952 | |
| | | | | | SMB Private Education Loan Trust: | | | | |
| | 52,491 | | | AAA | | Series2015-B, Class A2A, 2.980% due 7/15/27(a) | | | 53,017 | |
| | 545,000 | | | AAA | | Series2015-C, Class A3, 4.145%(1-MonthUSD-LIBOR + 1.950%) due 8/16/32(a)(c) | | | 558,050 | |
| | 65,823 | | | Aaa(b) | | Series2016-A, Class A2A, 2.700% due 5/15/31(a) | | | 66,643 | |
| | 219,144 | | | AAA | | Series2017-B, Class A2A, 2.820% due 10/15/35(a) | | | 223,223 | |
| | 129,494 | | | AAA | | Series2017-B, Class A2B, 2.945%(1-MonthUSD-LIBOR + 0.750%) due 10/15/35(a)(c) | | | 128,872 | |
| | 400,000 | | | AAA | | Series2018-A, Class A2B, 2.995%(1-MonthUSD-LIBOR + 0.800%) due 2/15/36(a)(c) | | | 399,600 | |
| | 510,000 | | | Aaa(b) | | Series2018-B, Class A2A, 3.600% due 1/15/37(a) | | | 532,971 | |
| | 595,000 | | | AAA | | Series2018-C, Class A2B, 2.945%(1-MonthUSD-LIBOR + 0.750%) due 11/15/35(a)(c) | | | 593,523 | |
| | 550,000 | | | AAA | | Sofi Professional Loan Program LLC, Series2018-A, Class A2B, 2.950% due 2/25/42(a) | | | 564,021 | |
| | | | | | Sofi Professional Loan Program Trust: | | | | |
| | 390,000 | | | AAA | | Series2018-B, Class A2FX, 3.340% due 8/25/47(a) | | | 404,993 | |
| | 910,000 | | | AAA | | Series2018-D, Class A2FX, 3.600% due 2/25/48(a) | | | 961,325 | |
| | | | | | | | | | |
| | | | | | Total Student Loans | | | 14,390,816 | |
| | | | | | | | | | |
| | | | | | TOTAL ASSET-BACKED SECURITIES
(Cost — $20,221,632) | | | 20,535,167 | |
| | | | | | | | | | |
|
| | SENIOR LOANS — 1.1% | |
| | 138,981 | | | NR | | Albertson’s LLC, (Restricted, cost — $139,214, acquired 8/15/19), 4.862%(1-MonthUSD-LIBOR + 2.750%) due 8/17/26(n) | | | 139,701 | |
| | 118,288 | | | NR | | Allied Universal Holdco LLC, (Restricted, cost — $118,277, acquired 8/16/19), 6.507%(3-MonthUSD-LIBOR + 4.250%) due 7/10/26(n) | | | 118,333 | |
| | 9,009 | | | NR | | Allied Universal Holdco LLC, (Restricted, cost — $9,008 acquired 8/19/19),(3-MonthUSD-LIBOR + 4.250%) due 7/10/26(n)(o) | | | 9,012 | |
| | 159,192 | | | NR | | Alterra Mountain Co., (Restricted, cost — $158,869, acquired 3/27/19), 5.112%(1-MonthUSD-LIBOR + 3.000%) due 7/31/24(n) | | | 158,933 | |
See Notes to Financial Statements.
205
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | SENIOR LOANS — 1.1% — (continued) | |
| $ | 133,650 | | | NR | | American Airlines Inc., (Restricted, cost — $134,151, acquired 10/5/17), 4.061%(3-MonthUSD-LIBOR + 1.750%) due 6/27/25(n) | | $ | 131,311 | |
| | 109,522 | | | NR | | Asurion LLC, (Restricted, cost — $109,056, acquired 2/14/19), 5.112%(1-MonthUSD-LIBOR + 3.000%) due 11/3/24(n) | | | 109,705 | |
| | 394,043 | | | NR | | Asurion LLC, (Restricted, cost — $394,340, acquired 4/10/19), 5.112%(1-MonthUSD-LIBOR + 3.000%) due 8/4/22(n) | | | 394,711 | |
| | 249,375 | | | NR | | athenahealth Inc., (Restricted, cost — $246,978, acquired 2/7/19), 6.681%(1-MonthUSD-LIBOR +4.500%/3-MonthUSD-LIBOR + 4.500%) due 2/11/26(n) | | | 248,674 | |
| | 49,750 | | | NR | | Atlantic Aviation FBO Inc., (Restricted, cost — $49,304, acquired 11/30/18), 5.870%(1-MonthUSD-LIBOR + 3.750%) due 12/6/25(n) | | | 50,123 | |
| | 310,835 | | | NR | | Avolon TLB Borrower 1 (US) LLC, (Restricted, cost — $311,788, acquired 4/22/19), 3.922%(1-MonthUSD-LIBOR + 1.750%) due 1/15/25(n) | | | 311,887 | |
| | 76,921 | | | NR | | Bausch Health Cos., Inc., (Restricted, cost — $77,402, acquired 4/17/19), 5.201%(1-MonthUSD-LIBOR + 3.000%) due 6/2/25(n) | | | 77,153 | |
| | 4,936 | | | NR | | Berry Global Inc., (Restricted, cost — $4,951, acquired 2/12/18), 4.451%(1-MonthUSD-LIBOR + 2.500%) due 10/1/22(n) | | | 4,945 | |
| | 98,418 | | | NR | | Caesars Resort Collection LLC, (Restricted, cost — $98,726, acquired 4/17/19), 4.862%(1-MonthUSD-LIBOR + 2.750%) due 12/23/24(n) | | | 97,120 | |
| | 374,144 | | | NR | | Change Healthcare Holdings Inc., (Restricted, cost — $373,719, acquired 4/30/19), 4.612%(1-MonthUSD-LIBOR + 2.750%) due 3/1/24(n) | | | 370,636 | |
| | 352,358 | | | NR | | Charter Communications Operating LLC, (Restricted, cost — $351,613, acquired 3/11/19), 4.330%(3-MonthUSD-LIBOR + 2.000%) due 4/30/25(n) | | | 353,560 | |
| | 40,947 | | | NR | | CityCenter Holdings LLC, (Restricted, cost — $41,029, acquired 10/12/17), 4.362%(1-MonthUSD-LIBOR + 2.250%) due 4/18/24(n) | | | 40,998 | |
| | 252,551 | | | NR | | Dell International LLC, (Restricted, cost — $252,599, acquired 10/18/17), 4.120%(1-MonthUSD-LIBOR + 2.000%) due 9/7/23(n) | | | 253,429 | |
| | 991,667 | | | NR | | Delos Finance Sarl, (Restricted, cost — $1,000,344, acquired 8/9/17), 4.080%(3-MonthUSD-LIBOR + 1.750%) due 10/6/23(n) | | | 994,498 | |
| | 90,000 | | | NR | | Diamond Sports Group LLC, (Restricted, cost — $89,556, acquired 7/18/19), 5.420%(3-MonthUSD-LIBOR + 3.250%) due 8/24/26(n) | | | 90,206 | |
| | 370,000 | | | NR | | DigiCert Holdings Inc., (Restricted, cost — $370,264, acquired 8/8/19), due 8/7/26(n)(o) | | | 369,229 | |
| | 348,898 | | | NR | | Edelman Financial Center LLC, (Restricted, cost — $350,033, acquired 4/22/19), 5.432%(1-MonthUSD-LIBOR + 3.250%) due 7/21/25(n) | | | 349,272 | |
| | 69,825 | | | NR | | First Eagle Holdings Inc., (Restricted, cost — $69,999, acquired 4/5/19), 5.080%(3-MonthUSD-LIBOR + 2.750%) due 12/2/24(n) | | | 69,825 | |
| | 1,610,000 | | | NR | | Flying Fortress Holdings LLC, (Restricted, cost — $1,615,893, acquired 2/27/18), 4.080%(3-MonthUSD-LIBOR + 1.750%) due 10/30/22(n) | | | 1,614,033 | |
| | 59,950 | | | NR | | Focus Financial Partners LLC, (Restricted, cost — $60,150, acquired 8/6/19), 4.612%(1-MonthUSD-LIBOR + 2.500%) due 7/3/24(n) | | | 60,191 | |
| | 27,357 | | | NR | | HCA Inc., (Restricted, cost — $27,562, acquired 10/19/17), 4.330%(3-MonthUSD-LIBOR + 2.000%) due 3/13/25(n) | | | 27,479 | |
| | 171,964 | | | NR | | Hilton Worldwide Finance LLC, (Restricted, cost — $171,853, acquired 8/18/16), 3.895%(1-MonthUSD-LIBOR + 1.750%) due 6/22/26(n) | | | 172,601 | |
| | 193,459 | | | NR | | iHeartCommunications Inc., (Restricted, cost — $194,565, acquired 5/1/19), 6.230%(1-MonthUSD-LIBOR + 4.000%) due 5/1/26(n) | | | 194,342 | |
| | 140,000 | | | NR | | Intelsat Jackson Holdings SA, (Restricted, cost — $139,952, acquired 8/22/19), 5.895%(1-MonthUSD-LIBOR + 3.750%) due 11/27/23(n) | | | 140,175 | |
| | 189,523 | | | NR | | Jane Street Group LLC, (Restricted, cost — $189,166, acquired 8/16/19), 5.112%(1-MonthUSD-LIBOR + 3.000%) due 8/25/22(n) | | | 188,772 | |
| | 360,000 | | | NR | | Level 3 Financing Inc., (Restricted, cost — $359,897, acquired 10/6/17), 4.362%(1-MonthUSD-LIBOR + 2.250%) due 2/22/24(n) | | | 360,675 | |
| | 29,848 | | | NR | | LPL Holdings Inc., (Restricted, cost — $29,848, acquired 3/19/19), 4.395%(1-MonthUSD-LIBOR + 2.250%) due 9/23/24(n) | | | 29,960 | |
| | 229,599 | | | NR | | McAfee LLC, (Restricted, cost — $229,699, acquired 8/16/19), 5.866%(1-MonthUSD-LIBOR + 3.750%) due 9/30/24(n) | | | 230,073 | |
See Notes to Financial Statements.
206
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | SENIOR LOANS — 1.1% — (continued) | |
| $ | 28,315 | | | NR | | MGM Growth Properties Operating Partnership LP, (Restricted, cost — $28,456, acquired 10/16/17), 4.112%(1-MonthUSD-LIBOR + 2.000%) due 3/21/25(n) | | $ | 28,353 | |
| | 97,515 | | | NR | | Michaels Stores Inc., (Restricted, cost — $98,246, acquired 9/28/16), 4.626%(1-MonthUSD-LIBOR + 2.500%) due 1/30/23(n) | | | 92,853 | |
| | 334,942 | | | NR | | MPH Acquisition Holdings LLC, (Restricted, cost — $335,076, acquired 10/13/17), 5.080%(3-MonthUSD-LIBOR + 2.750%) due 6/7/23(n) | | | 312,334 | |
| | 250,000 | | | NR | | Nexstar Broadcasting Inc., (Restricted, cost — $250,313, acquired 8/16/19), due 6/19/26(n)(o) | | | 250,446 | |
| | 152,527 | | | NR | | Numericable U.S. LLC, (Restricted, cost — $152,272, acquired 10/6/17), 5.885%(1-MonthUSD-LIBOR + 3.688%) due 1/31/26(n) | | | 150,199 | |
| | 10,116 | | | NR | | ON Semiconductor Corp., (Restricted, cost — $10,180, acquired 10/11/17), 3.862%(1-MonthUSD-LIBOR + 1.750%) due 3/31/23(n) | | | 10,110 | |
| | 190,000 | | | NR | | Option Care Health Inc., (Restricted, cost — $188,285, acquired 5/22/19), 6.612%(1-MonthUSD-LIBOR + 4.500%) due 8/6/26(n) | | | 189,763 | |
| | 240,000 | | | NR | | Panther BF Aggregator 2 L P, (Restricted, cost — $237,749, acquired 4/3/19), 5.612%(1-MonthUSD-LIBOR + 3.500%) due 4/30/26(n) | | | 237,000 | |
| | 123,554 | | | NR | | Party City Holdings Inc., (Restricted, cost — $123,966, acquired 2/16/18), 4.620%(1-MonthUSD-LIBOR + 2.500%) due 8/19/22(n) | | | 122,318 | |
| | 140,000 | | | NR | | PCI Gaming Authority, (Restricted, cost — $140,210, acquired 5/15/19), 5.112%(1-MonthUSD-LIBOR + 3.000%) due 5/29/26(n) | | | 140,918 | |
| | 386,052 | | | NR | | Prime Security Services Borrower LLC, (Restricted, cost — $388,350, acquired 4/22/19), 4.862%(1-MonthUSD-LIBOR + 2.750%) due 5/2/22(n) | | | 386,192 | |
| | 438,924 | | | NR | | Regionalcare Hospital Partners Holdings Inc., (Restricted, cost — $437,468, acquired 11/14/18), 6.645%(1-MonthUSD-LIBOR + 4.500%) due 11/16/25(n) | | | 438,375 | |
| | 199,056 | | | NR | | Reynolds Group Holdings Inc., (Restricted, cost — $198,754, acquired 3/14/19), 4.862%(1-MonthUSD-LIBOR + 2.750%) due 2/5/23(n) | | | 199,180 | |
| | 460,422 | | | NR | | RPI Finance Trust, (Restricted, cost — $462,403, acquired 4/17/17), 4.112%(1-MonthUSD-LIBOR + 2.000%) due 3/27/23(n) | | | 461,926 | |
| | 341,426 | | | NR | | Scientific Games International Inc., (Restricted, cost — $343,521, acquired 2/2/18), 4.889%(1-MonthUSD-LIBOR +2.750%/2-MonthUSD-LIBOR + 2.750%) due 8/14/24(n) | | | 337,940 | |
| | 43,002 | | | NR | | Sprint Communications Inc., (Restricted, cost — $43,217, acquired 10/16/17), 4.625%(1-MonthUSD-LIBOR + 2.500%) due 2/2/24(n) | | | 42,787 | |
| | 997,419 | | | NR | | TKC Holdings Inc., (Restricted, cost — $997,419, acquired 4/30/19), 5.870%(1-MonthUSD-LIBOR + 3.750%) due 2/1/23(n) | | | 976,224 | |
| | 49,578 | | | NR | | Trans Union LLC, (Restricted, cost — $49,640, acquired 10/18/17), 4.112%(1-MonthUSD-LIBOR + 2.000%) due 4/10/23(n) | | | 49,698 | |
| | 448,846 | | | NR | | UFC Holdings LLC, (Restricted, cost — $452,213, acquired 4/30/19), 5.370%(1-MonthUSD-LIBOR + 3.250%) due 4/29/26(n) | | | 449,638 | |
| | 450,000 | | | NR | | Virgin Media Bristol LLC, (Restricted, cost — $452,200, acquired 4/30/19), 4.695%(1-MonthUSD-LIBOR + 2.500%) due 1/15/26(n) | | | 450,475 | |
| | 182,561 | | | NR | | Western Digital Corp., (Restricted, cost — $184,386, acquired 10/27/17), 3.862%(1-MonthUSD-LIBOR + 1.750%) due 4/29/23(n) | | | 182,332 | |
| | | | | | | | | | |
| | | | | | TOTAL SENIOR LOANS
(Cost — $13,344,125) | | | 13,270,623 | |
| | | | | | | | | | |
|
| | MUNICIPAL BONDS — 0.3% | |
|
| | California — 0.1% | |
| | 530,000 | | | A+ | | Los Angeles Unified School District, GO, 5.750% due 7/1/34 | | | 709,675 | |
| | | | | | University of California, Revenue Bonds: | | | | |
| | 25,000 | | | AA | | Series AD, 4.858% due 5/15/12 | | | 35,242 | |
| | 266,000 | | | AA | | Series AQ, 4.767% due 5/15/15 | | | 364,609 | |
| | | | | | | | | | |
| | | | | | Total California | | | 1,109,526 | |
| | | | | | | | | | |
|
| | Massachusetts — 0.0% | |
| | 100,000 | | | AA+ | | Massachusetts School Building Authority, Revenue Bonds, Series B, 5.000% due 10/15/41 | | | 107,640 | |
| | | | | | | | | | |
See Notes to Financial Statements.
207
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | New Jersey — 0.1% | |
| $ | 650,000 | | | Aa3(b) | | Jersey City Municipal Utilities Authority, Revenue Bonds, Series B, 5.470% due 5/15/27 | | $ | 747,662 | |
| | | | | | New Jersey Transportation Trust Fund Authority, Revenue Bonds: | | | | |
| | 110,000 | | | BBB+ | | Series AA, 5.000% due 6/15/36 | | | 120,479 | |
| | 85,000 | | | BBB+ | | Series B, 6.561% due 12/15/40 | | | 122,337 | |
| | | | | | | | | | |
| | | | | | Total New Jersey | | | 990,478 | |
| | | | | | | | | | |
|
| | New York — 0.1% | |
| | 500,000 | | | AA | | City of New York, GO,Series G-1, 5.968% due 3/1/36 | | | 693,985 | |
| | 80,000 | | | AAA | | New York City Transitional Finance Authority Future Tax Secured Revenue, Revenue Bonds, 5.000% due 11/1/42 | | | 91,380 | |
| | 350,000 | | | AA+ | | New York State Dormitory Authority, Revenue Bonds, 5.289% due 3/15/33 | | | 441,987 | |
| | | | | | | | | | |
| | | | | | Total New York | | | 1,227,352 | |
| | | | | | | | | | |
|
| | Texas — 0.0% | |
| | 235,000 | | | A+ | | Dallas/Fort Worth International Airport, Revenue Bonds, AMT, Series A, Prerefunded 11/01/20 @ 100, 5.000% due 11/1/45(p)(q) | | | 245,211 | |
| | | | | | | | | | |
|
| | Virginia — 0.0% | |
| | 198,182 | | | AAA | | Virginia Housing Development Authority, Revenue Bonds, Series C, 6.000% due 6/25/34 | | | 212,527 | |
| | | | | | | | | | |
| | | | | | TOTAL MUNICIPAL BONDS
(Cost — $3,553,636) | | | 3,892,734 | |
| | | | | | | | | | |
| | | |
| Shares/Units | | | | | | | | |
|
| | PREFERRED STOCK — 0.0% | |
|
| | FINANCIALS — 0.0% | |
|
| | Banks — 0.0% | |
| | 3,800 | | | | | GMAC Capital Trust I, 7.943%(3-MonthUSD-LIBOR + 5.785%) due 2/15/40(c)
(Cost — $94,240) | | | 99,560 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS
(Cost — $1,144,894,244) | | | 1,192,624,233 | |
| | | | | | | | | | |
| | | |
Face
Amount† | | | | | | | | |
|
| | SHORT-TERM INVESTMENTS (r) — 9.2% | |
|
| | CORPORATE BOND — 0.1% | |
| $ | 955,000 | | | | | BellSouth LLC, 4.266% due 4/26/20(a)
(Cost — $966,785) | | | 966,785 | |
| | | | | | | | | | |
|
| | MONEY MARKET FUND — 0.0% | |
| | 143,175 | | | | | Invesco STIT — Government & Agency Portfolio, 1.998%, Institutional Class(s)
(Cost — $143,175) | | | 143,175 | |
| | | | | | | | | | |
|
| | REPURCHASE AGREEMENT — 2.6% | |
| | 31,000,000 | | | | | Merril Lynch & Co., Inc. repurchase agreement dated 8/30/19, 2.130% due 9/3/19, Proceeds at maturity — $31,001,834; (Fully collateralized by U.S. Treasury Bonds, 2.750% due 7/31/23; Market Valued — $31,664,073)(t)
(Cost — $31,000,000) | | | 31,000,000 | |
| | | | | | | | | | |
|
| | TIME DEPOSITS — 5.3% | |
| | 2,809,909 | | | | | ANZ National Bank — London, 1.490% due 9/3/19 | | | 2,809,909 | |
| | 4,332,716 | | | | | Banco Santander SA — Frankfurt, 1.490% due 9/3/19 | | | 4,332,716 | |
| | 27,691,637 | | | | | Barclays Bank PLC — London, 1.490% due 9/3/19 | | | 27,691,637 | |
| | 201,013 | EUR | | | | BNP Paribas — Paris, (0.580)% due 9/2/19 | | | 220,924 | |
| | 5,064,297 | | | | | Citibank — New York, 1.490% due 9/3/19 | | | 5,064,297 | |
See Notes to Financial Statements.
208
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount† | | | | | Security | | Value | |
|
| | TIME DEPOSITS — 5.3% — (continued) | |
| | | | | | Sumitomo Mitsui Banking Corp. — Tokyo: | | | | |
| $ | 7,999,997 | JPY | | | | (0.250)% due 9/2/19 | | $ | 75,312 | |
| | 23,752,115 | | | | | 1.490% due 9/3/19 | | | 23,752,115 | |
| | | | | | | | | | |
| | | | | | TOTAL TIME DEPOSITS
(Cost — $63,946,910) | | | 63,946,910 | |
| | | | | | | | | | |
|
| | U.S. GOVERNMENT AGENCIES — 0.7% | |
| | | | | | Federal Home Loan Bank Discount Notes: | | | | |
| | 2,040,000 | | | | | 2.002% due 9/9/19(t) | | | 2,039,093 | |
| | 1,160,000 | | | | | 2.152% due 9/20/19(t) | | | 1,158,687 | |
| | 3,450,000 | | | | | 2.073% due 9/27/19(t) | | | 3,444,842 | |
| | 2,040,000 | | | | | 1.957% due 10/28/19(t) | | | 2,033,702 | |
| | | | | | | | | | |
| | | | | | TOTAL U.S. GOVERNMENT AGENCIES
(Cost — $8,676,324) | | | 8,676,324 | |
| | | | | | | | | | |
| | | |
Face
Amount/Units† | | | | | | | | |
|
| | U.S. GOVERNMENT OBLIGATIONS — 0.5% | |
| | | | | | U.S. Treasury Bills: | | | | |
| $ | 287,000 | | | | | 2.115% due 9/26/19(t)(u) | | | 286,581 | |
| | 3,790,000 | | | | | 1.951% due 10/15/19(t) | | | 3,780,990 | |
| | 2,465,000 | | | | | 1.978% due 10/22/19(t) | | | 2,458,113 | |
| | | | | | | | | | |
| | | | | | TOTAL U.S. GOVERNMENT OBLIGATIONS
(Cost — $6,525,684) | | | 6,525,684 | |
| | | | | | | | | | |
| | | | | | TOTAL SHORT-TERM INVESTMENTS
(Cost — $111,258,878) | | | 111,258,878 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS IN SECURITIES
(Cost — $1,256,153,122) | | | 1,303,883,111 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS IN PURCHASED OPTIONS
(Cost — $554,596) | | | 573,318 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS — 108.4%
(Cost — $1,256,707,718) | | | 1,304,456,429 | |
| | | | | | | | | | |
| | | | | | Liabilities in Excess of Other Assets — (8.4)% | | | (100,923,870 | ) |
| | | | | | | | | | |
| | | | | | TOTAL NET ASSETS — 100.0% | | $ | 1,203,532,559 | |
| | | | | | | | | | |
| † | 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 August 31, 2019 amounts to approximately $120,092,484 and represents 10.0% 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 August 31, 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. |
See Notes to Financial Statements.
209
| (m) | Affiliated security (See Note 2). As of August 31, 2019, total cost and total market value of affiliated securities amounted to $2,436,303 and $2,468,124, respectively. |
| (n) | The aggregate value of restricted securities (excluding 144A holdings) at August 31, 2019 amounts to approximately $13,270,623 and represents 1.1% of net assets. |
| (o) | This position represents an unsettled loan commitment at year end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate. |
| (p) | 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. |
| (q) | Income from this issue is considered a preference item for purposes of calculating the alternative minimum tax (AMT). |
| (r) | Inclusive of all short-term holdings, including investment of collateral received from securities lending transactions. Excluding such collateral, the percentage of portfolio holdings would be 9.2%. |
| (s) | Represents investment of collateral received from securities lending transactions. |
| (t) | Rate shown representsyield-to-maturity. |
| (u) | 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. |
At August 31, 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
Appreciation | |
Core Fixed Income Fund | | $ | 1,259,318,077 | | | $ | 64,123,066 | | | $ | (25,147,172 | ) | | $ | 38,975,894 | |
| | |
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 | | | 26.3 | % |
Mortgage-Backed Securities | | | 26.1 | |
U.S. Government Agencies & Obligations | | | 24.7 | |
Collateralized Mortgage Obligations | | | 8.9 | |
Sovereign Bonds | | | 2.6 | |
Asset-Backed Securities | | | 1.6 | |
Senior Loans | | | 1.0 | |
Municipal Bonds | | | 0.3 | |
Purchased Options | | | 0.0 | * |
Preferred Stock | | | 0.0 | * |
Short-Term Investments | | | 8.5 | |
| | | | |
| | | 100.0 | %+ |
| | | | |
| ^ | As a percentage of total investments. |
| * | Position represents less than 0.05%. |
| + | Does not reflect investments of collateral received from securities lending transactions. |
See Notes to Financial Statements.
210
At August 31, 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 | |
| | 7,110,000 | | | | $7,110,000 | | | OTC U.S. Dollar versus Euro, Call | | | CITI | | | | 10/21/19 | | | EUR | 1.13 | | | $ | 192,812 | |
| | 7,115,340 | | | | 7,115,340 | | | OTC U.S. Dollar versus Euro, Call | | | CITI | | | | 11/4/19 | | | EUR | 1.14 | | | | 245,400 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | | | | | | | Total Currency Options | | | | | | | | | | | | | | $ | 438,212 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Options on Futures | |
| | | | | | |
Number of
Contracts | | | Notional
Amount† | | | Security Name | | Counterparty | | | Expiration
Date | | | Strike Price | | | Value | |
| | 226 | | | | $27,093,516 | | | U.S. Treasury5-Year Note October Futures, Put | | | GSC | | | | 9/20/19 | | | $ | 118.00 | | | $ | 1,765 | |
| | 241 | | | | 31,721,625 | | | U.S. Treasury10-Year Note October Futures, Call | | | GSC | | | | 9/20/19 | | | $ | 133.00 | | | | 52,719 | |
| | 110 | | | | 14,478,750 | | | U.S. Treasury10-Year Note October Futures, Call | | | GSC | | | | 9/20/19 | | | $ | 141.00 | | | | 110 | |
| | 110 | | | | 14,478,750 | | | U.S. Treasury10-Year Note October Futures, Call | | | GSC | | | | 9/20/19 | | | $ | 141.50 | | | | 110 | |
| | 339 | | | | 44,620,875 | | | U.S. Treasury10-Year Note October Futures, Put | | | GSC | | | | 9/20/19 | | | $ | 128.00 | | | | 339 | |
| | 732 | | | | 96,349,500 | | | U.S. Treasury10-Year Note October Futures, Put | | | GSC | | | | 9/20/19 | | | $ | 130.00 | | | | 80,063 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | | | | | | | Total Options on Futures | | | | | | | | | | | | | | $ | 135,106 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | TOTAL OPTIONS CONTRACTS PURCHASED
(Cost — $554,596) | | | | | | | | | | | | | | $ | 573,318 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
At August 31, 2019, Core Fixed Income Fund held the following Options Contracts Written:
| | | | | | | | | | | | | | | | | | | | | | | | |
| Options on Futures | |
| | | | | | |
Number of
Contracts | | | Notional
Amount† | | | Security Name | | Counterparty | | | Expiration
Date | | | Strike
Price | | | Value | |
| | 452 | | | | $54,187,031 | | | U.S. Treasury5-Year Note November Futures, Put | | | GSC | | | | 10/25/19 | | | $ | 116.00 | | | $ | 7,063 | |
| | 91 | | | | 11,977,875 | | | U.S. Treasury10-Year Note November Futures, Call | | | GSC | | | | 10/25/19 | | | $ | 133.50 | | | | 38,391 | |
| | 362 | | | | 47,648,250 | | | U.S. Treasury10-Year Note November Futures, Put | | | GSC | | | | 10/25/19 | | | $ | 126.00 | | | | 11,312 | |
| | 133 | | | | 17,506,125 | | | U.S. Treasury10-Year Note October Futures, Call | | | GSC | | | | 9/20/19 | | | $ | 131.50 | | | | 101,828 | |
| | 111 | | | | 14,610,375 | | | U.S. Treasury10-Year Note October Futures, Put | | | GSC | | | | 9/20/19 | | | $ | 131.00 | | | | 38,156 | |
| | 133 | | | | 17,506,125 | | | U.S. Treasury10-Year Note October Futures, Put | | | GSC | | | | 9/20/19 | | | $ | 131.50 | | | | 72,734 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | | | | | | | Total Options on Futures | | | | | | | | | | | | | | $ | 269,484 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | TOTAL OPTIONS CONTRACTS WRITTEN
(Premiums received — $353,204) | | | | | | | | | | | | | | $ | 269,484 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
211
At August 31, 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 | | | 176 | | | | 12/19 | | | $ | 42,905,450 | | | $ | 43,181,600 | | | $ | 276,150 | |
90-Day Eurodollar June Futures | | | 25 | | | | 6/20 | | | | 6,086,725 | | | | 6,162,813 | | | | 76,088 | |
90-Day Eurodollar March Futures | | | 19 | | | | 3/21 | | | | 4,628,163 | | | | 4,694,663 | | | | 66,500 | |
Euro-BTP September Futures | | | 76 | | | | 9/19 | | | | 11,149,027 | | | | 12,137,425 | | | | 988,398 | |
U.S. Treasury2-Year Note December Futures | | | 435 | | | | 12/19 | | | | 93,939,755 | | | | 94,010,976 | | | | 71,221 | |
U.S. Treasury5-Year Note December Futures | | | 176 | | | | 12/19 | | | | 21,023,301 | | | | 21,115,875 | | | | 92,574 | |
U.S. Treasury Long Bond December Futures | | | 88 | | | | 12/19 | | | | 14,510,268 | | | | 14,542,000 | | | | 31,732 | |
U.S. Treasury Ultra Long Bond December Futures | | | 236 | | | | 12/19 | | | | 46,103,403 | | | | 46,595,250 | | | | 491,847 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 2,094,510 | |
| | | | | | | | | | | | | | | | | | | | |
| Contracts to Sell: | | | | | | | | | | | | | | | | | | | | |
30-Day Federal Funds November Futures | | | 156 | | | | 11/19 | | | | 63,932,989 | | | | 63,893,611 | | | | 39,378 | |
Euro-Bund September Futures | | | 246 | | | | 9/19 | | | | 46,224,525 | | | | 48,422,603 | | | | (2,198,078 | ) |
Japan Government10-Year Bond September Futures | | | 5 | | | | 9/19 | | | | 7,222,876 | | | | 7,305,248 | | | | (82,372 | ) |
U.S. Treasury5-Year Note December Futures | | | 25 | | | | 12/19 | | | | 2,988,727 | | | | 2,999,415 | | | | (10,688 | ) |
U.S. Treasury10-Year Note December Futures | | | 242 | | | | 12/19 | | | | 31,841,244 | | | | 31,875,937 | | | | (34,693 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | (2,286,453 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Unrealized Depreciation on Open Exchange-Traded Futures Contracts | | | | | | | | | | | | | | | | | | $ | (191,943 | ) |
| | | | | | | | | | | | | | | | | |
At August 31, 2019, Core Fixed Income Fund had deposited cash of $2,676,892 with a broker or brokers as margin collateral on an open exchange-traded futures contracts.
At August 31, 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 | | | 8,000,000 | | | | USD | | | | 161,943 | | | | CITI | | | $ | 125,235 | | | | 9/23/19 | | | $ | (36,708 | ) |
Argentine Peso | | | 5,340,869 | | | | USD | | | | 102,650 | | | | CITI | | | | 82,421 | | | | 9/27/19 | | | | (20,229 | ) |
Australian Dollar | | | 511,019 | | | | USD | | | | 354,908 | | | | CITI | | | | 344,562 | | | | 10/17/19 | | | | (10,346 | ) |
Brazilian Real | | | 10,500,000 | | | | USD | | | | 2,760,615 | | | | CITI | | | | 2,527,231 | | | | 10/17/19 | | | | (233,384 | ) |
Brazilian Real | | | 5,210,000 | | | | USD | | | | 1,371,414 | | | | CITI | | | | 1,253,988 | | | | 10/17/19 | | | | (117,426 | ) |
Brazilian Real | | | 6,019,000 | | | | USD | | | | 1,586,265 | | | | CITI | | | | 1,448,705 | | | | 10/17/19 | | | | (137,560 | ) |
British Pound | | | 545,347 | | | | USD | | | | 685,545 | | | | CITI | | | | 664,754 | | | | 10/17/19 | | | | (20,791 | ) |
Canadian Dollar | | | 13,347,647 | | | | USD | | | | 10,181,349 | | | | CITI | | | | 10,032,920 | | | | 10/17/19 | | | | (148,429 | ) |
Euro | | | 3,209,000 | | | | USD | | | | 3,626,491 | | | | CITI | | | | 3,540,598 | | | | 10/23/19 | | | | (85,893 | ) |
Indian Rupee | | | 260,147,303 | | | | USD | | | | 3,752,738 | | | | CITI | | | | 3,623,058 | | | | 10/17/19 | | | | (129,680 | ) |
Indonesian Rupiah | | | 78,867,595,537 | | | | USD | | | | 5,505,207 | | | | CITI | | | | 5,532,976 | | | | 10/17/19 | | | | 27,769 | |
Mexican Peso | | | 64,064,233 | | | | USD | | | | 3,301,463 | | | | CITI | | | | 3,173,018 | | | | 10/17/19 | | | | (128,445 | ) |
South African Rand | | | 8,680,000 | | | | USD | | | | 605,291 | | | | CITI | | | | 569,010 | | | | 10/17/19 | | | | (36,281 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | (1,077,403 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
212
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Foreign Currency | | Local Currency | | | In Exchange
For | | | Counterparty | | | Market Value | | | Settlement
Date | | | Unrealized
Appreciation/
(Depreciation) | |
| Contracts to Sell: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Brazilian Real | | | 13,576,677 | | | | USD | | | | 3,601,718 | | | | CITI | | | $ | 3,267,752 | | | | 10/17/19 | | | $ | 333,966 | |
Chinese Offshore Renminbi | | | 26,818,047 | | | | USD | | | | 3,901,318 | | | | CITI | | | | 3,739,772 | | | | 10/17/19 | | | | 161,546 | |
Chinese Offshore Renminbi | | | 3,196,254 | | | | USD | | | | 464,727 | | | | CITI | | | | 445,717 | | | | 10/17/19 | | | | 19,010 | |
Euro | | | 100,000 | | | | USD | | | | 112,008 | | | | CITI | | | | 110,281 | | | | 10/17/19 | | | | 1,727 | |
Euro | | | 300,000 | | | | USD | | | | 336,842 | | | | CITI | | | | 330,842 | | | | 10/17/19 | | | | 6,000 | |
Euro | | | 150,000 | | | | USD | | | | 168,721 | | | | CITI | | | | 165,421 | | | | 10/17/19 | | | | 3,300 | |
Euro | | | 100,000 | | | | USD | | | | 112,910 | | | | CITI | | | | 110,281 | | | | 10/17/19 | | | | 2,629 | |
Euro | | | 100,000 | | | | USD | | | | 112,459 | | | | CITI | | | | 110,281 | | | | 10/17/19 | | | | 2,178 | |
Euro | | | 100,000 | | | | USD | | | | 112,512 | | | | CITI | | | | 110,280 | | | | 10/17/19 | | | | 2,232 | |
Euro | | | 682,397 | | | | USD | | | | 773,732 | | | | CITI | | | | 752,551 | | | | 10/17/19 | | | | 21,181 | |
Euro | | | 150,000 | | | | USD | | | | 167,494 | | | | CITI | | | | 165,421 | | | | 10/17/19 | | | | 2,073 | |
Japanese Yen | | | 9,497,643 | | | | USD | | | | 88,184 | | | | CITI | | | | 89,695 | | | | 10/17/19 | | | | (1,511 | ) |
Japanese Yen | | | 10,000,000 | | | | USD | | | | 94,242 | | | | CITI | | | | 94,440 | | | | 10/17/19 | | | | (198 | ) |
Japanese Yen | | | 1,440,001 | | | | USD | | | | 13,623 | | | | CITI | | | | 13,600 | | | | 10/17/19 | | | | 23 | |
Japanese Yen | | | 1,700,001 | | | | USD | | | | 16,015 | | | | CITI | | | | 16,054 | | | | 10/17/19 | | | | (39 | ) |
Japanese Yen | | | 900,001 | | | | USD | | | | 8,545 | | | | CITI | | | | 8,500 | | | | 10/17/19 | | | | 45 | |
Japanese Yen | | | 990,001 | | | | USD | | | | 9,402 | | | | CITI | | | | 9,350 | | | | 10/17/19 | | | | 52 | |
Japanese Yen | | | 280,000 | | | | USD | | | | 2,596 | | | | CITI | | | | 2,644 | | | | 10/17/19 | | | | (48 | ) |
Philippine Peso | | | 120,583,000 | | | | USD | | | | 2,335,070 | | | | CITI | | | | 2,307,603 | | | | 10/17/19 | | | | 27,467 | |
Russian Ruble | | | 41,727,262 | | | | USD | | | | 646,013 | | | | CITI | | | | 621,866 | | | | 10/17/19 | | | | 24,147 | |
Russian Ruble | | | 33,887,448 | | | | USD | | | | 525,982 | | | | CITI | | | | 505,028 | | | | 10/17/19 | | | | 20,954 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | 626,734 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Unrealized Depreciation on Open Forward Foreign Currency Contracts | | | | | | | | | | | | | | | | | | | | | | | | | | $ | (450,669 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
At August 31, 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/
(Depreciation) | |
| Pay | | 3-Month BRL-CDI-Compounded | | | 8.410% | | | | 1/2/20 | | | | CITI | | | | BRL 41,620,000 | | | $ | 306,925 | | | $ | 13,267 | | | $ | 293,658 | |
| Pay | | 3-Month BRL-CDI-Compounded | | | 7.024% | | | | 1/4/27 | | | | CITI | | | | BRL 18,325,000 | | | | (22,658 | ) | | | 7,444 | | | | (30,102 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | $ | 284,267 | | | $ | 20,711 | | | $ | 263,556 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
At August 31, 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 | | | $ | 1,845 | | | $ | — | | | $ | 1,845 | |
| Receive | | 3-MonthUSD-LIBOR | | | 1.656% | | | | 8/23/49 | | | | 6-Month | | | USD | | | 5,400,000 | | | | (140,489 | ) | | | (20,150 | ) | | | (120,339 | ) |
| Receive | | 3-MonthUSD-LIBOR | | | 1.810% | | | | 11/15/44 | | | | 6-Month | | | USD | | | 1,314,000 | | | | (75,798 | ) | | | 1,758 | | | | (77,556 | ) |
| Receive | | 3-MonthUSD-LIBOR | | | 1.850% | | | | 4/30/26 | | | | 6-Month | | | USD | | | 15,990,000 | | | | (546,340 | ) | | | 3,795 | | | | (550,135 | ) |
| Receive | | 3-MonthUSD-LIBOR | | | 1.850% | | | | 11/15/44 | | | | 6-Month | | | USD | | | 1,944,000 | | | | (128,852 | ) | | | (917 | ) | | | (127,935 | ) |
| Pay | | 3-MonthUSD-LIBOR | | | 2.264% | | | | 4/11/22 | | | | 6-Month | | | USD | | | 15,125,000 | | | | 296,812 | | | | — | | | | 296,812 | |
| Pay | | 3-MonthUSD-LIBOR | | | 2.283% | | | | 5/8/22 | | | | 6-Month | | | USD | | | 14,005,000 | | | | 284,310 | | | | — | | | | 284,310 | |
| Receive | | 3-MonthUSD-LIBOR | | | 2.337% | | | | 4/11/25 | | | | 6-Month | | | USD | | | 6,220,000 | | | | (330,042 | ) | | | — | | | | (330,042 | ) |
| Receive | | 3-MonthUSD-LIBOR | | | 2.370% | | | | 5/8/25 | | | | 6-Month | | | USD | | | 5,735,000 | | | | (314,135 | ) | | | — | | | | (314,135 | ) |
| Receive | | 3-MonthUSD-LIBOR | | | 2.500% | | | | 1/31/26 | | | | 6-Month | | | USD | | | 18,438,000 | | | | (1,340,386 | ) | | | (258,761 | ) | | | (1,081,625 | ) |
| Receive | | 3-MonthUSD-LIBOR | | | 2.750% | | | | 8/15/44 | | | | 6-Month | | | USD | | | 3,825,000 | | | | (987,084 | ) | | | (17,835 | ) | | | (969,249 | ) |
| Receive | | 3-MonthUSD-LIBOR | | | 2.875% | | | | 5/15/44 | | | | 6-Month | | | USD | | | 2,137,000 | | | | (619,356 | ) | | | 3,084 | | | | (622,440 | ) |
See Notes to Financial Statements.
213
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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-MonthUSD-LIBOR | | | 3.330% | | | | 2/15/44 | | | | 6-Month | | | | USD | | | | 3,917,000 | | | $ | (1,435,414 | ) | | $ | (2,088 | ) | | $ | (1,433,326 | ) |
| Receive | | U.S. Federal Funds Effective Rate Index | | | 1.550% | | | | 4/30/26 | | | | 12-Month | | | | USD | | | | 10,446,000 | | | | (337,494 | ) | | | 13,694 | | | | (351,188 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | $ | (5,672,423 | ) | | $ | (277,420 | ) | | $ | (5,395,003 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
At August 31, 2019, Core Fixed Income Fund held the following Centrally Cleared Credit Default Swap Contracts:
Centrally Cleared — Credit Default Swap on Indexes — Buy Protection (1)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Obligation | | Fixed Deal
(Pay) Rate | | | Maturity
Date | | | Payment
Frequency | | | Implied Credit
Spread at
8/31/19 (2) | | | Notional
Amount (3) | | | Market
Value | | | Upfront
Payment
(Received) | | | Unrealized
Depreciation | |
Markit CDX North America Investment Grade Series 321-Year Index | | | (1.000 | )% | | | 6/20/24 | | | | 3-Month | | | | 0.540 | % | | USD | 16,100,000 | | | $ | (373,747 | ) | | $ | (304,538 | ) | | $ | (69,209 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Centrally Cleared — Credit Default Swap on Indexes — Sell Protection (4)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Obligation | | Fixed Deal
Receive Rate | | | Maturity
Date | | | Payment
Frequency | | | Implied Credit
Spread at
8/31/19 (2) | | | Notional
Amount (3) | | | Market
Value | | | Upfront
Payment
Paid | | | Unrealized
Appreciation | |
Markit CDX North America High Yield Series 325-Year Index | | | 5.000 | % | | | 6/20/24 | | | | 3-Month | | | | 3.392 | % | | USD | 2,039,400 | | | $ | 158,337 | | | $ | 100,685 | | | $ | 57,652 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (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 August 31, 2019, Core Fixed Income Fund deposited cash collateral with brokers in the amount of $1,287,880 for open centrally cleared swap contracts.
| | | | | | |
Currency Abbreviations used in this schedule: | | Counterparty Abbreviations used in this schedule: |
| BRL | | — Brazilian Real | | CITI | | — Citigroup Global Markets Inc. |
| EUR | | — Euro | | GSC | | — Goldman Sachs & Co. |
| JPY | | — Japanese Yen | | | | |
| MXN | | — Mexican Peso | | | | |
| RUB | | — Russian Ruble | | | | |
See pages295-296 for definitions of ratings.
See Notes to Financial Statements.
214
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | CORPORATE BONDS & NOTES — 86.6% | |
|
| | Advertising — 0.1% | |
| $ | 56,000 | | | B | | MDC Partners Inc., Company Guaranteed Notes, 6.500% due 5/1/24(a) | | $ | 51,240 | |
| | | | | | | | | | |
|
| | Aerospace/Defense — 0.9% | |
| | 90,000 | | | BB | | BBA US Holdings Inc., Senior Unsecured Notes, 5.375% due 5/1/26(a) | | | 94,275 | |
| | | | | | Bombardier Inc., Senior Unsecured Notes: | | | | |
| | 65,000 | | | B- | | 6.000% due 10/15/22(a) | | | 64,837 | |
| | 30,000 | | | B- | | 6.125% due 1/15/23(a) | | | 29,925 | |
| | 46,000 | | | B- | | 7.875% due 4/15/27(a) | | | 44,678 | |
| | 200,000 | | | B- | | TransDigm Inc., Company Guaranteed Notes, 6.500% due 5/15/25 | | | 209,250 | |
| | | | | | | | | | |
| | | | | | Total Aerospace/Defense | | | 442,965 | |
| | | | | | | | | | |
|
| | Agriculture — 0.1% | |
| | 50,000 | | | BBB | | Altria Group Inc., Company Guaranteed Notes, 5.950% due 2/14/49 | | | 64,282 | |
| | | | | | | | | | |
|
| | Apparel — 0.7% | |
| | 140,000 | | | BB- | | Hanesbrands Inc., Company Guaranteed Notes, 4.875% due 5/15/26(a) | | | 148,285 | |
| | 120,000 | | | BB+ | | Levi Strauss & Co., Senior Unsecured Notes, 5.000% due 5/1/25 | | | 125,400 | |
| | 74,000 | | | BB+ | | William Carter Co., Company Guaranteed Notes, 5.625% due 3/15/27(a) | | | 79,086 | |
| | | | | | | | | | |
| | | | | | Total Apparel | | | 352,771 | |
| | | | | | | | | | |
|
| | Auto Manufacturers — 0.5% | |
| | 70,000 | | | Ba3(b) | | Allison Transmission Inc., Senior Unsecured Notes, 4.750% due 10/1/27(a) | | | 72,100 | |
| | 180,000 | | | B- | | Navistar International Corp., Company Guaranteed Notes, 6.625% due 11/1/25(a) | | | 183,150 | |
| | | | | | | | | | |
| | | | | | Total Auto Manufacturers | | | 255,250 | |
| | | | | | | | | | |
|
| | Auto Parts & Equipment — 0.7% | |
| | | | | | American Axle & Manufacturing Inc., Company Guaranteed Notes: | | | | |
| | 30,000 | | | B | | 6.625% due 10/15/22 | | | 30,337 | |
| | 70,000 | | | B | | 6.500% due 4/1/27 | | | 64,488 | |
| | 50,000 | | | BB | | Delphi Technologies PLC, Company Guaranteed Notes, 5.000% due 10/1/25(a) | | | 43,375 | |
| | | | | | Panther BF Aggregator 2 LP/Panther Finance Co., Inc.: | | | | |
| | 126,000 | | | B | | Company Guaranteed Notes, 8.500% due 5/15/27(a) | | | 123,165 | |
| | 70,000 | | | B+ | | Senior Secured Notes, 6.250% due 5/15/26(a) | | | 72,800 | |
| | | | | | | | | | |
| | | | | | Total Auto Parts & Equipment | | | 334,165 | |
| | | | | | | | | | |
|
| | Banks — 3.6% | |
| | 200,000 | | | BB+ | | Barclays PLC, Subordinated Notes, 5.088%(3-Month USD-LIBOR + 3.054%) due 6/20/30(c) | | | 207,932 | |
| | | | | | CIT Group Inc.: | | | | |
| | 20,000 | | | BB+ | | Senior Unsecured Notes, 5.250% due 3/7/25 | | | 22,450 | |
| | 130,000 | | | BB | | Subordinated Notes, 6.125% due 3/9/28 | | | 155,838 | |
| | 40,000 | | | BB+ | | Citigroup Inc., Junior Subordinated Notes, 5.950%(3-MonthUSD-LIBOR + 3.905%)(c)(d) | | | 42,834 | |
| | 200,000 | | | BBB- | | Credit Agricole SA, Junior Subordinated Notes, 8.125%(5-Year USD Swap Rate + 6.185%)(a)(c)(d) | | | 233,832 | |
| | 200,000 | | | BB- | | Credit Suisse Group AG, Junior Subordinated Notes, 7.500%(5-Year USD Swap Rate + 4.600%)(a)(c)(d) | | | 213,163 | |
| | 200,000 | | | BBB+ | | Danske Bank AS, Senior Unsecured Notes, 5.375% due 1/12/24(a) | | | 220,685 | |
| | 240,000 | | | Baa3(b) | | HSBC Holdings PLC, Junior Subordinated Notes, 6.500%(5-Year USD 1100 Run ICE Swap Rate + 3.606%)(c)(d) | | | 246,864 | |
| | 200,000 | | | B+ | | Royal Bank of Scotland Group PLC, Junior Subordinated Notes, 8.625%(5-Year USD Swap Rate + 7.598%)(c)(d) | | | 212,250 | |
| | 200,000 | | | BB | | UBS Group Funding Switzerland AG, Company Guaranteed Notes, 7.000%(5-Year USD Swap Rate + 4.344%)(a)(c)(d) | | | 212,250 | |
| | | | | | | | | | |
| | | | | | Total Banks | | | 1,768,098 | |
| | | | | | | | | | |
|
| | Beverages — 0.2% | |
| | 100,000 | | | B | | Cott Holdings Inc., Company Guaranteed Notes, 5.500% due 4/1/25(a) | | | 104,628 | |
| | | | | | | | | | |
See Notes to Financial Statements.
215
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Building Materials — 1.0% | |
| | | | | | Builders FirstSource Inc., Senior Secured Notes: | | | | |
| $ | 71,000 | | | BB- | | 5.625% due 9/1/24(a) | | $ | 74,195 | |
| | 17,000 | | | BB- | | 6.750% due 6/1/27(a) | | | 18,658 | |
| | 22,000 | | | BB+ | | Masonite International Corp., Company Guaranteed Notes, 5.375% due 2/1/28(a) | | | 23,293 | |
| | | | | | Standard Industries Inc., Senior Unsecured Notes: | | | | |
| | 8,000 | | | BBB- | | 5.500% due 2/15/23(a) | | | 8,220 | |
| | 225,000 | | | BBB- | | 6.000% due 10/15/25(a) | | | 237,656 | |
| | 10,000 | | | BBB- | | 4.750% due 1/15/28(a) | | | 10,087 | |
| | | | | | Summit Materials LLC/Summit Materials Finance Corp., Company Guaranteed Notes: | | | | |
| | 50,000 | | | BB | | 5.125% due 6/1/25(a) | | | 51,375 | |
| | 40,000 | | | BB | | 6.500% due 3/15/27(a) | | | 43,100 | |
| | 40,000 | | | BB- | | US Concrete Inc., Company Guaranteed Notes, 6.375% due 6/1/24 | | | 42,100 | |
| | | | | | | | | | |
| | | | | | Total Building Materials | | | 508,684 | |
| | | | | | | | | | |
|
| | Chemicals — 1.1% | |
| | 6,000 | | | BB- | | Chemours Co. (The), Company Guaranteed Notes, 7.000% due 5/15/25 | | | 5,940 | |
| | 26,000 | | | B- | | Hexion Inc., Company Guaranteed Notes, 7.875% due 7/15/27(a) | | | 25,285 | |
| | 54,000 | | | BB- | | Nufarm Australia Ltd./Nufarm Americas Inc., Company Guaranteed Notes, 5.750% due 4/30/26(a) | | | 51,165 | |
| | 80,000 | | | BB+ | | Olin Corp., Senior Unsecured Notes, 5.000% due 2/1/30 | | | 80,200 | |
| | 340,000 | | | BB | | Valvoline Inc., Company Guaranteed Notes, 5.500% due 7/15/24 | | | 355,300 | |
| | | | | | | | | | |
| | | | | | Total Chemicals | | | 517,890 | |
| | | | | | | | | | |
|
| | Coal — 0.0% | |
| | 51,197 | | | D | | Murray Energy Corp., Secured Notes, 12.000% (9.000% cash and 3.000% PIK) due 4/15/24(a)(e) | | | 5,120 | |
| | | | | | | | | | |
|
| | Commercial Services — 4.0% | |
| | 80,000 | | | B | | Carriage Services Inc., Company Guaranteed Notes, 6.625% due 6/1/26(a) | | | 82,200 | |
| | 80,000 | | | CCC | | Flexi-Van Leasing Inc., Secured Notes, 10.000% due 2/15/23(a) | | | 78,600 | |
| | 72,000 | | | BB- | | Harsco Corp., Company Guaranteed Notes, 5.750% due 7/31/27(a) | | | 74,790 | |
| | 115,000 | | | B- | | Jaguar Holding Co. II/Pharmaceutical Product Development LLC, Company Guaranteed Notes, 6.375% due 8/1/23(a) | | | 119,025 | |
| | 153,000 | | | BB- | | Laureate Education Inc., Company Guaranteed Notes, 8.250% due 5/1/25(a) | | | 167,344 | |
| | | | | | Prime Security Services Borrower LLC/Prime Finance Inc.: | | | | |
| | 44,000 | | | B- | | Secured Notes, 9.250% due 5/15/23(a) | | | 46,353 | |
| | | | | | Senior Secured Notes: | | | | |
| | 30,000 | | | BB- | | 5.250% due 4/15/24(a) | | | 31,062 | |
| | 80,000 | | | BB- | | 5.750% due 4/15/26(a) | | | 83,600 | |
| | | | | | Service Corp. International, Senior Unsecured Notes: | | | | |
| | 70,000 | | | BB | | 7.500% due 4/1/27 | | | 84,350 | |
| | 50,000 | | | BB | | 5.125% due 6/1/29 | | | 53,750 | |
| | | | | | ServiceMaster Co. LLC (The): | | | | |
| | 80,000 | | | BB- | | Company Guaranteed Notes, 5.125% due 11/15/24(a) | | | 84,170 | |
| | 280,000 | | | B | | Senior Unsecured Notes, 7.450% due 8/15/27 | | | 311,850 | |
| | 47,000 | | | CCC+ | | Team Health Holdings Inc., Company Guaranteed Notes, 6.375% due 2/1/25(a) | | | 31,725 | |
| | 91,000 | | | B | | TMS International Corp., Senior Unsecured Notes, 7.250% due 8/15/25(a) | | | 87,133 | |
| | | | | | United Rentals North America Inc., Company Guaranteed Notes: | | | | |
| | 210,000 | | | BB- | | 5.875% due 9/15/26 | | | 226,012 | |
| | 50,000 | | | BB- | | 6.500% due 12/15/26 | | | 54,563 | |
| | 20,000 | | | BB- | | 5.500% due 5/15/27 | | | 21,535 | |
| | 180,000 | | | BB- | | 5.250% due 1/15/30 | | | 193,050 | |
| | 110,000 | | | B | | Weight Watchers International Inc., Company Guaranteed Notes, 8.625% due 12/1/25(a) | | | 110,825 | |
| | | | | | | | | | |
| | | | | | Total Commercial Services | | | 1,941,937 | |
| | | | | | | | | | |
See Notes to Financial Statements.
216
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Computers — 0.5% | |
| | | | | | Dell International LLC/EMC Corp.: | | | | |
| $ | 105,000 | | | BB | | Company Guaranteed Notes, 7.125% due 6/15/24(a) | | $ | 110,694 | |
| | 90,000 | | | BBB- | | Senior Secured Notes, 6.020% due 6/15/26(a) | | | 101,630 | |
| | 16,000 | | | B+ | | MTS Systems Corp., Company Guaranteed Notes, 5.750% due 8/15/27(a) | | | 16,760 | |
| | | | | | | | | | |
| | | | | | Total Computers | | | 229,084 | |
| | | | | | | | | | |
|
| | Distribution/Wholesale — 0.3% | |
| | 22,000 | | | B | | IAA Inc., Senior Unsecured Notes, 5.500% due 6/15/27(a) | | | 23,485 | |
| | 89,000 | | | B+ | | KAR Auction Services Inc., Company Guaranteed Notes, 5.125% due 6/1/25(a) | | | 92,115 | |
| | 25,000 | | | BB+ | | Resideo Funding Inc., Company Guaranteed Notes, 6.125% due 11/1/26(a) | | | 26,625 | |
| | | | | | | | | | |
| | | | | | Total Distribution/Wholesale | | | 142,225 | |
| | | | | | | | | | |
|
| | Diversified Financial Services — 2.1% | |
| | 144,000 | | | B- | | Allied Universal Holdco LLC/Allied Universal Finance Corp., Senior Secured Notes, 6.625% due 7/15/26(a) | | | 153,360 | |
| | 90,000 | | | BB- | | Ally Financial Inc., Subordinated Notes, 5.750% due 11/20/25 | | | 103,388 | |
| | 60,000 | | | BBB- | | Avolon Holdings Funding Ltd., Company Guaranteed Notes, 5.125% due 10/1/23(a) | | | 63,852 | |
| | | | | | Navient Corp., Senior Unsecured Notes: | | | | |
| | 50,000 | | | B+ | | 5.000% due 10/26/20 | | | 51,312 | |
| | 50,000 | | | B+ | | 5.875% due 3/25/21 | | | 52,563 | |
| | 50,000 | | | B+ | | 6.625% due 7/26/21 | | | 53,625 | |
| | 50,000 | | | B+ | | 5.875% due 10/25/24 | | | 52,849 | |
| | 28,000 | | | B+ | | 6.750% due 6/15/26 | | | 30,030 | |
| | | | | | Park Aerospace Holdings Ltd., Company Guaranteed Notes: | | | | |
| | 80,000 | | | BBB- | | 5.250% due 8/15/22(a) | | | 84,700 | |
| | 140,000 | | | BBB- | | 5.500% due 2/15/24(a) | | | 151,571 | |
| | 200,000 | | | BB | | Quicken Loans Inc., Company Guaranteed Notes, 5.250% due 1/15/28(a) | | | 208,250 | |
| | | | | | | | | | |
| | | | | | Total Diversified Financial Services | | | 1,005,500 | |
| | | | | | | | | | |
|
| | Electric — 2.1% | |
| | | | | | AES Corp., Senior Unsecured Notes: | | | | |
| | 19,000 | | | BB+ | | 5.500% due 4/15/25 | | | 19,879 | |
| | 195,000 | | | BB+ | | 6.000% due 5/15/26 | | | 209,818 | |
| | | | | | Calpine Corp.: | | | | |
| | 70,000 | | | BB | | Senior Secured Notes, 5.875% due 1/15/24(a) | | | 71,670 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 10,000 | | | B | | 5.500% due 2/1/24 | | | 10,112 | |
| | 66,000 | | | B | | 5.750% due 1/15/25 | | | 67,238 | |
| | 152,000 | | | BB | | NextEra Energy Operating Partners LP, Company Guaranteed Notes, 4.500% due 9/15/27(a) | | | 156,750 | |
| | | | | | NRG Energy Inc., Company Guaranteed Notes: | | | | |
| | 155,000 | | | BB | | 5.750% due 1/15/28 | | | 167,594 | |
| | 27,000 | | | BB | | 5.250% due 6/15/29(a) | | | 28,845 | |
| | | | | | Talen Energy Supply LLC: | | | | |
| | 40,000 | | | B | | Company Guaranteed Notes, 10.500% due 1/15/26(a) | | | 36,460 | |
| | 60,000 | | | BB | | Senior Secured Notes, 6.625% due 1/15/28(a) | | | 58,350 | |
| | 85,000 | | | BB | | Vistra Energy Corp., Company Guaranteed Notes, 8.125% due 1/30/26(a) | | | 91,481 | |
| | 92,000 | | | BB | | Vistra Operations Co. LLC, Company Guaranteed Notes, 5.000% due 7/31/27(a) | | | 95,220 | |
| | | | | | | | | | |
| | | | | | Total Electric | | | 1,013,417 | |
| | | | | | | | | | |
|
| | Electrical Components & Equipment — 0.4% | |
| | | | | | Energizer Holdings Inc., Company Guaranteed Notes: | | | | |
| | 130,000 | | | B+ | | 6.375% due 7/15/26(a) | | | 137,312 | |
| | 34,000 | | | B+ | | 7.750% due 1/15/27(a) | | | 37,273 | |
| | | | | | | | | | |
| | | | | | Total Electrical Components & Equipment | | | 174,585 | |
| | | | | | | | | | |
See Notes to Financial Statements.
217
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Electronics — 0.4% | |
| $ | 100,000 | | | BB- | | ADT Security Corp. (The), Senior Secured Notes, 4.125% due 6/15/23 | | $ | 101,844 | |
| | 80,000 | | | BB+ | | Vishay Intertechnology Inc., Senior Unsecured Notes, 2.250% due 6/15/25 | | | 74,465 | |
| | | | | | | | | | |
| | | | | | Total Electronics | | | 176,309 | |
| | | | | | | | | | |
|
| | 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) | | | 68,900 | |
| | 75,000 | | | BB- | | 5.000% due 1/31/28(a) | | | 78,470 | |
| | | | | | | | | | |
| | | | | | Total Energy — Alternate Sources | | | 147,370 | |
| | | | | | | | | | |
|
| | Engineering & Construction — 0.4% | |
| | 90,000 | | | B- | | frontdoor Inc., Senior Unsecured Notes, 6.750% due 8/15/26(a) | | | 97,875 | |
| | 110,000 | | | BB- | | TopBuild Corp., Company Guaranteed Notes, 5.625% due 5/1/26(a) | | | 115,225 | |
| | | | | | | | | | |
| | | | | | Total Engineering & Construction | | | 213,100 | |
| | | | | | | | | | |
|
| | Entertainment — 2.6% | |
| | 202,000 | | | CCC+ | | AMC Entertainment Holdings Inc., Company Guaranteed Notes, 5.750% due 6/15/25 | | | 192,657 | |
| | 60,000 | | | B | | Boyne USA Inc., Secured Notes, 7.250% due 5/1/25(a) | | | 65,775 | |
| | 113,000 | | | B- | | Caesars Resort Collection LLC/CRC Finco Inc., Company Guaranteed Notes, 5.250% due 10/15/25(a) | | | 115,260 | |
| | 22,000 | | | BB- | | Cedar Fair LP, Company Guaranteed Notes, 5.250% due 7/15/29(a) | | | 23,953 | |
| | 115,000 | | | BB | | Cinemark USA Inc., Company Guaranteed Notes, 4.875% due 6/1/23 | | | 117,587 | |
| | 102,000 | | | B | | Eldorado Resorts Inc., Company Guaranteed Notes, 6.000% due 4/1/25 | | | 108,630 | |
| | 23,000 | | | CCC+ | | Golden Entertainment Inc., Senior Unsecured Notes, 7.625% due 4/15/26(a) | | | 23,980 | |
| | 70,000 | | | B- | | Lions Gate Capital Holdings LLC, Company Guaranteed Notes, 5.875% due 11/1/24(a) | | | 73,150 | |
| | 200,000 | | | BB | | Merlin Entertainments PLC, Company Guaranteed Notes, 5.750% due 6/15/26(a) | | | 209,000 | |
| | | | | | Scientific Games International Inc.: | | | | |
| | 72,000 | | | B- | | Company Guaranteed Notes, 10.000% due 12/1/22 | | | 74,970 | |
| | 80,000 | | | B+ | | Senior Secured Notes, 5.000% due 10/15/25(a) | | | 82,859 | |
| | 90,000 | | | BB+ | | Speedway Motorsports Inc., Company Guaranteed Notes, 5.125% due 2/1/23 | | | 91,575 | |
| | 90,000 | | | B- | | Stars Group Holdings BV/Stars Group USCo-Borrower LLC, Company Guaranteed Notes, 7.000% due 7/15/26(a) | | | 95,738 | |
| | | | | | | | | | |
| | | | | | Total Entertainment | | | 1,275,134 | |
| | | | | | | | | | |
|
| | Environmental Control — 2.1% | |
| | | | | | Clean Harbors Inc., Senior Unsecured Notes: | | | | |
| | 23,000 | | | BB+ | | 4.875% due 7/15/27(a) | | | 24,380 | |
| | 14,000 | | | BB+ | | 5.125% due 7/15/29(a) | | | 14,945 | |
| | | | | | Covanta Holding Corp., Senior Unsecured Notes: | | | | |
| | 175,000 | | | B | | 5.875% due 3/1/24 | | | 180,250 | |
| | 70,000 | | | B | | 5.875% due 7/1/25 | | | 73,237 | |
| | | | | | GFL Environmental Inc., Senior Unsecured Notes: | | | | |
| | 150,000 | | | CCC+ | | 5.375% due 3/1/23(a) | | | 151,500 | |
| | 47,000 | | | CCC+ | | 7.000% due 6/1/26(a) | | | 48,880 | |
| | 184,000 | | | CCC+ | | 8.500% due 5/1/27(a) | | | 201,940 | |
| | 154,000 | | | B+ | | Tervita Corp., Secured Notes, 7.625% due 12/1/21(a) | | | 157,080 | |
| | 175,000 | | | B+ | | Waste Pro USA Inc., Senior Unsecured Notes, 5.500% due 2/15/26(a) | | | 182,875 | |
| | | | | | | | | | |
| | | | | | Total Environmental Control | | | 1,035,087 | |
| | | | | | | | | | |
|
| | Food — 1.7% | |
| | 38,000 | | | BB- | | Albertsons Cos LLC/Safeway Inc./New Albertsons LP/Albertson’s LLC, Company Guaranteed Notes, 5.875% due 2/15/28(a) | | | 40,142 | |
| | 104,000 | | | B- | | Dole Food Co., Inc., Senior Secured Notes, 7.250% due 6/15/25(a) | | | 100,880 | |
| | 62,000 | | | BB- | | JBS USA LUX SA/JBS USA Food Co./JBS USA Finance Inc., Senior Unsecured Notes, 5.500% due 1/15/30(a) | | | 65,844 | |
| | 110,000 | | | BB+ | | Lamb Weston Holdings Inc., Company Guaranteed Notes, 4.875% due 11/1/26(a) | | | 115,363 | |
See Notes to Financial Statements.
218
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Food — 1.7% — (continued) | |
| $ | 20,000 | | | BB- | | Pilgrim’s Pride Corp., Company Guaranteed Notes, 5.875% due 9/30/27(a) | | $ | 21,625 | |
| | | | | | Post Holdings Inc., Company Guaranteed Notes: | | | | |
| | 180,000 | | | B+ | | 5.500% due 3/1/25(a) | | | 189,000 | |
| | 50,000 | | | B+ | | 5.000% due 8/15/26(a) | | | 52,312 | |
| | 60,000 | | | B- | | Simmons Foods Inc., Secured Notes, 5.750% due 11/1/24(a) | | | 57,150 | |
| | 205,000 | | | BB | | US Foods Inc., Company Guaranteed Notes, 5.875% due 6/15/24(a) | | | 212,683 | |
| | | | | | | | | | |
| | | | | | Total Food | | | 854,999 | |
| | | | | | | | | | |
|
| | Forest Products & Paper — 0.6% | |
| | | | | | Mercer International Inc., Senior Unsecured Notes: | | | | |
| | 175,000 | | | BB- | | 6.500% due 2/1/24 | | | 180,906 | |
| | 110,000 | | | BB- | | 5.500% due 1/15/26 | | | 108,922 | |
| | | | | | | | | | |
| | | | | | Total Forest Products & Paper | | | 289,828 | |
| | | | | | | | | | |
|
| | Gas — 0.3% | |
| | | | | | AmeriGas Partners LP/AmeriGas Finance Corp., Senior Unsecured Notes: | | | | |
| | 70,000 | | | Ba3(b) | | 5.625% due 5/20/24 | | | 74,638 | |
| | 80,000 | | | Ba3(b) | | 5.500% due 5/20/25 | | | 85,000 | |
| | | | | | | | | | |
| | | | | | Total Gas | | | 159,638 | |
| | | | | | | | | | |
|
| | Hand/Machine Tools — 0.1% | |
| | | | | | Colfax Corp., Company Guaranteed Notes: | | | | |
| | 19,000 | | | BB+ | | 6.000% due 2/15/24(a) | | | 20,330 | |
| | 32,000 | | | BB+ | | 6.375% due 2/15/26(a) | | | 34,840 | |
| | | | | | | | | | |
| | | | | | Total Hand/Machine Tools | | | 55,170 | |
| | | | | | | | | | |
|
| | Healthcare — Products — 0.3% | |
| | 30,000 | | | CCC- | | Immucor Inc., Company Guaranteed Notes, 11.125% due 2/15/22(a) | | | 30,525 | |
| | 115,000 | | | BB | | Teleflex Inc., Company Guaranteed Notes, 4.625% due 11/15/27 | | | 122,030 | |
| | | | | | | | | | |
| | | | | | Total Healthcare — Products | | | 152,555 | |
| | | | | | | | | | |
|
| | Healthcare — Services — 6.0% | |
| | 100,000 | | | CCC | | ASP AMC Merger Sub Inc., Senior Unsecured Notes, 8.000% due 5/15/25(a) | | | 67,750 | |
| | | | | | Catalent Pharma Solutions Inc., Company Guaranteed Notes: | | | | |
| | 130,000 | | | B+ | | 4.875% due 1/15/26(a) | | | 132,600 | |
| | 26,000 | | | B+ | | 5.000% due 7/15/27(a) | | | 27,303 | |
| | | | | | Centene Corp., Senior Unsecured Notes: | | | | |
| | 150,000 | | | BB+ | | 6.125% due 2/15/24 | | | 157,387 | |
| | 110,000 | | | BB+ | | 4.750% due 1/15/25 | | | 114,400 | |
| | 115,000 | | | BB+ | | 5.375% due 6/1/26(a) | | | 123,228 | |
| | 90,000 | | | BB | | Charles River Laboratories International Inc., Company Guaranteed Notes, 5.500% due 4/1/26(a) | | | 96,516 | |
| | 100,000 | | | B- | | CHS/Community Health Systems Inc., Senior Secured Notes, 8.000% due 3/15/26(a) | | | 96,250 | |
| | 50,000 | | | B+ | | DaVita Inc., Company Guaranteed Notes, 5.000% due 5/1/25 | | | 50,250 | |
| | 93,000 | | | CCC+ | | Eagle Holding Co. II LLC, Unsecured Notes, 7.625% (7.625% cash or 8.375 PIK) due 5/15/22(a)(e) | | | 94,279 | |
| | 940,000 | | | NR | | Escrow Magellan Health, 9.750% due 5/15/20(f)# | | | — | |
| | | | | | HCA Inc.: | | | | |
| | | | | | Company Guaranteed Notes: | | | | |
| | 350,000 | | | BB- | | 5.375% due 2/1/25 | | | 389,375 | |
| | 65,000 | | | BB- | | 5.375% due 9/1/26 | | | 72,638 | |
| | 75,000 | | | BB- | | 5.625% due 9/1/28 | | | 85,523 | |
| | 45,000 | | | BB- | | 5.875% due 2/1/29 | | | 51,863 | |
| | 80,000 | | | BB- | | 7.500% due 11/6/33 | | | 94,100 | |
| | 140,000 | | | BB- | | 7.500% due 11/15/95 | | | 154,700 | |
| | 25,000 | | | BBB- | | Senior Secured Notes, 5.000% due 3/15/24 | | | 27,332 | |
See Notes to Financial Statements.
219
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Healthcare — Services — 6.0% — (continued) | |
| $ | 240,000 | | | B- | | MPH Acquisition Holdings LLC, Company Guaranteed Notes, 7.125% due 6/1/24(a) | | $ | 215,714 | |
| | 98,000 | | | B- | | Polaris Intermediate Corp., Senior Unsecured Notes, 8.500% (8.500% cash or 9.250% PIK) due 12/1/22(a)(e) | | | 82,810 | |
| | 80,000 | | | B+ | | RegionalCare Hospital Partners Holdings Inc., Senior Secured Notes, 8.250% due 5/1/23(a) | | | 85,574 | |
| | 84,000 | | | CCC+ | | RegionalCare Hospital Partners Holdings Inc./LifePoint Health Inc., Company Guaranteed Notes, 9.750% due 12/1/26(a) | | | 89,985 | |
| | 20,000 | | | B- | | Select Medical Corp., Company Guaranteed Notes, 6.250% due 8/15/26(a) | | | 20,860 | |
| | | | | | Tenet Healthcare Corp.: | | | | |
| | | | | | Senior Secured Notes: | | | | |
| | 60,000 | | | BB- | | 6.000% due 10/1/20 | | | 62,370 | |
| | 10,000 | | | Ba3(b) | | 4.625% due 9/1/24(a) | | | 10,313 | |
| | 62,000 | | | BB- | | 4.875% due 1/1/26(a) | | | 63,789 | |
| | 62,000 | | | BB- | | 5.125% due 11/1/27(a) | | | 64,170 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 110,000 | | | CCC+ | | 8.125% due 4/1/22 | | | 118,926 | |
| | 120,000 | | | CCC+ | | 6.750% due 6/15/23 | | | 123,750 | |
| | | | | | WellCare Health Plans Inc., Senior Unsecured Notes: | | | | |
| | 69,000 | | | BB | | 5.250% due 4/1/25 | | | 72,505 | |
| | 76,000 | | | BB | | 5.375% due 8/15/26(a) | | | 81,225 | |
| | | | | | | | | | |
| | | | | | Total Healthcare — Services | | | 2,927,485 | |
| | | | | | | | | | |
|
| | Home Builders — 1.3% | |
| | 160,000 | | | B+ | | Century Communities Inc., Company Guaranteed Notes, 5.875% due 7/15/25 | | | 165,552 | |
| | 80,000 | | | B | | Forestar Group Inc., Company Guaranteed Notes, 8.000% due 4/15/24(a) | | | 86,300 | |
| | | | | | Lennar Corp., Company Guaranteed Notes: | | | | |
| | 80,000 | | | BB+ | | 4.500% due 4/30/24 | | | 85,300 | |
| | 30,000 | | | BB+ | | 5.875% due 11/15/24 | | | 33,562 | |
| | 80,000 | | | BB+ | | 4.750% due 11/29/27 | | | 87,400 | |
| | | | | | Taylor Morrison Communities Inc., Company Guaranteed Notes: | | | | |
| | 33,000 | | | BB | | 5.875% due 6/15/27(a) | | | 35,558 | |
| | 41,000 | | | BB | | 5.750% due 1/15/28(a) | | | 43,665 | |
| | | | | | William Lyon Homes Inc., Company Guaranteed Notes: | | | | |
| | 8,000 | | | B+ | | 7.000% due 8/15/22 | | | 8,025 | |
| | 70,000 | | | B+ | | 6.000% due 9/1/23 | | | 72,975 | |
| | 10,000 | | | B+ | | 5.875% due 1/31/25 | | | 10,150 | |
| | | | | | | | | | |
| | | | | | Total Home Builders | | | 628,487 | |
| | | | | | | | | | |
|
| | Household Products/Wares — 0.9% | |
| | | | | | Central Garden & Pet Co., Company Guaranteed Notes: | | | | |
| | 165,000 | | | BB | | 6.125% due 11/15/23 | | | 172,012 | |
| | 10,000 | | | BB | | 5.125% due 2/1/28 | | | 10,150 | |
| | 225,000 | | | B+ | | Spectrum Brands Inc., Company Guaranteed Notes, 5.750% due 7/15/25 | | | 235,125 | |
| | | | | | | | | | |
| | | | | | Total Household Products/Wares | | | 417,287 | |
| | | | | | | | | | |
|
| | Insurance — 0.8% | |
| | 25,000 | | | CCC+ | | Acrisure LLC/Acrisure Finance Inc., Senior Unsecured Notes, 10.125% due 8/1/26(a) | | | 25,750 | |
| | 50,000 | | | BB+ | | Fidelity & Guaranty Life Holdings Inc., Senior Unsecured Notes, 5.500% due 5/1/25(a) | | | 53,250 | |
| | 23,000 | | | CCC+ | | GTCR AP Finance Inc., Senior Unsecured Notes, 8.000% due 5/15/27(a) | | | 23,460 | |
| | 105,000 | | | CCC+ | | HUB International Ltd., Senior Unsecured Notes, 7.000% due 5/1/26(a) | | | 106,838 | |
| | 40,000 | | | BB+ | | Radian Group Inc., Senior Unsecured Notes, 4.875% due 3/15/27 | | | 40,850 | |
| | 139,000 | | | CCC+ | | USI Inc., Senior Unsecured Notes, 6.875% due 5/1/25(a) | | | 138,652 | |
| | | | | | | | | | |
| | | | | | Total Insurance | | | 388,800 | |
| | | | | | | | | | |
|
| | Internet — 1.5% | |
| | 65,000 | | | CCC+ | | EIG Investors Corp., Company Guaranteed Notes, 10.875% due 2/1/24 | | | 68,656 | |
| | 51,000 | | | BB- | | Go Daddy Operating Co. LLC/GD Finance Co., Inc., Company Guaranteed Notes, 5.250% due 12/1/27(a) | | | 53,996 | |
See Notes to Financial Statements.
220
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Internet — 1.5% — (continued) | |
| $ | 80,000 | | | BB | | Match Group Inc., Senior Unsecured Notes, 6.375% due 6/1/24 | | $ | 84,600 | |
| | | | | | Netflix Inc., Senior Unsecured Notes: | | | | |
| | 60,000 | | | BB- | | 5.875% due 2/15/25 | | | 66,375 | |
| | 130,000 | | | BB- | | 4.875% due 4/15/28 | | | 136,338 | |
| | 150,000 | | | BB- | | 5.875% due 11/15/28 | | | 168,188 | |
| | 60,000 | | | BB- | | 6.375% due 5/15/29(a) | | | 69,300 | |
| | 79,000 | | | B | | Zayo Group LLC/Zayo Capital Inc., Company Guaranteed Notes, 6.375% due 5/15/25 | | | 81,567 | |
| | | | | | | | | | |
| | | | | | Total Internet | | | 729,020 | |
| | | | | | | | | | |
|
| | Investment Companies — 0.4% | |
| | | | | | Icahn Enterprises LP/Icahn Enterprises Finance Corp., Company Guaranteed Notes: | | | | |
| | 125,000 | | | BB+ | | 6.250% due 2/1/22 | | | 129,062 | |
| | 66,000 | | | BB+ | | 6.250% due 5/15/26(a) | | | 69,053 | |
| | | | | | | | | | |
| | | | | | Total Investment Companies | | | 198,115 | |
| | | | | | | | | | |
|
| | Iron/Steel — 0.3% | |
| | 35,000 | | | B+ | | Allegheny Ludlum LLC, Company Guaranteed Notes, 6.950% due 12/15/25 | | | 36,487 | |
| | 120,000 | | | B | | Allegheny Technologies Inc., Senior Unsecured Notes, 7.875% due 8/15/23 | | | 129,150 | |
| | | | | | | | | | |
| | | | | | Total Iron/Steel | | | 165,637 | |
| | | | | | | | | | |
|
| | Leisure Time — 0.9% | |
| | 355,000 | | | B+ | | Viking Cruises Ltd., Company Guaranteed Notes, 5.875% due 9/15/27(a) | | | 369,200 | |
| | 90,000 | | | BB | | VOC Escrow Ltd., Senior Secured Notes, 5.000% due 2/15/28(a) | | | 92,700 | |
| | | | | | | | | | |
| | | | | | Total Leisure Time | | | 461,900 | |
| | | | | | | | | | |
|
| | Lodging — 1.3% | |
| | 20,000 | | | CCC | | Jack Ohio Finance LLC/Jack Ohio Finance 1 Corp., Secured Notes, 10.250% due 11/15/22(a) | | | 21,275 | |
| | 200,000 | | | BB- | | MGM China Holdings Ltd., Senior Unsecured Notes, 5.875% due 5/15/26(a) | | | 208,500 | |
| | | | | | MGM Resorts International, Company Guaranteed Notes: | | | | |
| | 175,000 | | | BB- | | 7.750% due 3/15/22 | | | 196,915 | |
| | 60,000 | | | BB- | | 5.750% due 6/15/25 | | | 66,377 | |
| | 40,000 | | | B- | | Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP Gaming Finance Corp., Senior Secured Notes, 5.875% due 5/15/25(a) | | | 39,700 | |
| | 101,000 | | | BB | | Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., Company Guaranteed Notes, 5.250% due 5/15/27(a) | | | 104,788 | |
| | | | | | | | | | |
| | | | | | Total Lodging | | | 637,555 | |
| | | | | | | | | | |
|
| | Machinery — Construction & Mining — 0.1% | |
| | 30,000 | | | BB+ | | BWX Technologies Inc., Company Guaranteed Notes, 5.375% due 7/15/26(a) | | | 31,875 | |
| | | | | | | | | | |
|
| | Machinery — Diversified — 0.3% | |
| | 60,000 | | | B | | Cleaver-Brooks Inc., Senior Secured Notes, 7.875% due 3/1/23(a) | | | 55,350 | |
| | 53,000 | | | B | | Cloud Crane LLC, Secured Notes, 10.125% due 8/1/24(a) | | | 57,108 | |
| | 30,000 | | | CCC | | MAI Holdings Inc., (Restricted, cost — $30,000, acquired 6/14/18), Senior Secured Notes, 9.500% due 6/1/23(g) | | | 13,650 | |
| | | | | | | | | | |
| | | | | | Total Machinery — Diversified | | | 126,108 | |
| | | | | | | | | | |
|
| | Media — 7.1% | |
| | 110,000 | | | NR | | American Media LLC, Secured Notes, 10.500% due 12/31/26(a) | | | 116,050 | |
| | 325,000 | | | B | | Cablevision Systems Corp., Senior Unsecured Notes, 5.875% due 9/15/22 | | | 348,465 | |
| | | | | | CCO Holdings LLC/CCO Holdings Capital Corp., Senior Unsecured Notes: | | | | |
| | 150,000 | | | BB | | 5.125% due 5/1/23(a) | | | 153,825 | |
| | 205,000 | | | BB | | 5.875% due 4/1/24(a) | | | 213,969 | |
| | 40,000 | | | BB | | 5.750% due 2/15/26(a) | | | 42,450 | |
| | 110,000 | | | BB | | 5.125% due 5/1/27(a) | | | 116,599 | |
| | 24,000 | | | BB | | 5.375% due 6/1/29(a) | | | 25,710 | |
See Notes to Financial Statements.
221
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Media — 7.1% — (continued) | |
| $ | 60,000 | | | BBB- | | Charter Communications Operating LLC/Charter Communications Operating Capital, Senior Secured Notes, 4.908% due 7/23/25 | | $ | 66,351 | |
| | | | | | Clear Channel Worldwide Holdings Inc.: | | | | |
| | 9,000 | | | B- | | Company Guaranteed Notes, 9.250% due 2/15/24(a) | | | 9,889 | |
| | 49,000 | | | B+ | | Senior Secured Notes, 5.125% due 8/15/27(a) | | | 51,389 | |
| | | | | | CSC Holdings LLC: | | | | |
| | 200,000 | | | BB | | Company Guaranteed Notes, 6.500% due 2/1/29(a) | | | 224,500 | |
| | 100,000 | | | B | | Senior Unsecured Notes, 6.750% due 11/15/21 | | | 108,250 | |
| | | | | | Diamond Sports Group LLC/Diamond Sports Finance Co.: | | | | |
| | 77,000 | | | B | | Company Guaranteed Notes, 6.625% due 8/15/27(a) | | | 80,850 | |
| | 78,000 | | | BB | | Senior Secured Notes, 5.375% due 8/15/26(a) | | | 82,095 | |
| | | | | | DISH DBS Corp., Company Guaranteed Notes: | | | | |
| | 23,487 | | | B- | | 6.750% due 6/1/21 | | | 21,116 | |
| | 80,000 | | | B- | | 5.875% due 11/15/24 | | | 76,404 | |
| | 422,000 | | | B- | | 7.750% due 7/1/26 | | | 415,670 | |
| | | | | | DISH Network Corp., Senior Unsecured Notes: | | | | |
| | 50,000 | | | CCC+ | | 2.375% due 3/15/24 | | | 43,802 | |
| | 15,000 | | | CCC+ | | 3.375% due 8/15/26 | | | 13,841 | |
| | 60,000 | | | B- | | Entercom Media Corp., Secured Notes, 6.500% due 5/1/27(a) | | | 62,250 | |
| | | | | | iHeartCommunications Inc.: | | | | |
| | 20,000 | | | B- | | Company Guaranteed Notes, 8.375% due 5/1/27 | | | 25,454 | |
| | 1,924 | | | BB- | | Senior Secured Notes, 6.375% due 5/1/26 | | | 2,078 | |
| | 1,124 | | | WR(b) | | LBI Media Inc., Secured Notes, 13.500% due 4/15/20(a)(h) | | | 59 | |
| | 2,000 | | | CCC+ | | McGraw-Hill Global Education Holdings LLC/McGraw-Hill Global Education Finance, Senior Unsecured Notes, 7.875% due 5/15/24(a) | | | 1,810 | |
| | 80,000 | | | B+ | | Meredith Corp., Company Guaranteed Notes, 6.875% due 2/1/26 | | | 84,800 | |
| | 33,000 | | | B | | Nexstar Escrow Inc., Senior Secured Notes, 5.625% due 7/15/27(a) | | | 34,485 | |
| | 20,000 | | | B3 | | Scripps Escrow Inc., Senior Unsecured Notes, 5.875% due 7/15/27(a) | | | 20,225 | |
| | | | | | Sirius XM Radio Inc., Company Guaranteed Notes: | | | | |
| | 96,000 | | | BB | | 4.625% due 7/15/24(a) | | | 100,440 | |
| | 8,000 | | | BB | | 5.000% due 8/1/27(a) | | | 8,470 | |
| | 70,000 | | | BBB- | | Time Warner Cable LLC, Senior Secured Notes, 7.300% due 7/1/38 | | | 89,896 | |
| | 80,000 | | | B | | Univision Communications Inc., Senior Secured Notes, 5.125% due 2/15/25(a) | | | 77,591 | |
| | 400,000 | | | BB | | UPCB Finance IV Ltd., Senior Secured Notes, 5.375% due 1/15/25(a) | | | 413,700 | |
| | 200,000 | | | BB- | | Virgin Media Secured Finance PLC, Senior Secured Notes, 5.250% due 1/15/26(a) | | | 205,750 | |
| | 150,000 | | | B+ | | Ziggo BV, Senior Secured Notes, 5.500% due 1/15/27(a) | �� | | 158,993 | |
| | | | | | | | | | |
| | | | | | Total Media | | | 3,497,226 | |
| | | | | | | | | | |
|
| | Metal Fabricate/Hardware — 0.2% | |
| | 29,000 | | | CCC | | Hillman Group Inc.(The), Company Guaranteed Notes, 6.375% due 7/15/22(a) | | | 25,882 | |
| | 89,000 | | | B | | Park-Ohio Industries Inc., Company Guaranteed Notes, 6.625% due 4/15/27 | | | 85,885 | |
| | | | | | | | | | |
| | | | | | Total Metal Fabricate/Hardware | | | 111,767 | |
| | | | | | | | | | |
|
| | Mining — 4.0% | |
| | 400,000 | | | BB+ | | Alcoa Nederland Holding BV, Company Guaranteed Notes, 6.125% due 5/15/28(a) | | | 417,000 | |
| | 22,000 | | | B | | Eldorado Gold Corp., Secured Notes, 9.500% due 6/1/24(a) | | | 23,760 | |
| | | | | | First Quantum Minerals Ltd., Company Guaranteed Notes: | | | | |
| | 30,000 | | | B | | 7.000% due 2/15/21(a) | | | 30,056 | |
| | 200,000 | | | B | | 7.250% due 4/1/23(a) | | | 189,000 | |
| | 200,000 | | | B | | 6.875% due 3/1/26(a) | | | 178,750 | |
| | 462,000 | | | BB | | Freeport-McMoRan Inc., Company Guaranteed Notes, 5.450% due 3/15/43 | | | 423,885 | |
| | 17,000 | | | B- | | Hecla Mining Co., Company Guaranteed Notes, 6.875% due 5/1/21 | | | 16,660 | |
| | 200,000 | | | B+ | | Hudbay Minerals Inc., Company Guaranteed Notes, 7.625% due 1/15/25(a) | | | 203,996 | |
| | 177,135 | | | WR(b) | | Midwest Vanadium Pty Ltd., Senior Secured Notes, 13.250% due 2/15/18(a)(h) | | | 664 | |
See Notes to Financial Statements.
222
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Mining — 4.0% — (continued) | |
| | | | | | New Gold Inc., Company Guaranteed Notes: | | | | |
| $ | 26,000 | | | B | | 6.250% due 11/15/22(a) | | $ | 25,610 | |
| | 110,000 | | | B | | 6.375% due 5/15/25(a) | | | 99,000 | |
| | 60,000 | | | B+ | | Northwest Acquisitions ULC/Dominion Finco Inc., Secured Notes, 7.125% due 11/1/22(a) | | | 37,650 | |
| | 150,000 | | | B+ | | Novelis Corp., Company Guaranteed Notes, 5.875% due 9/30/26(a) | | | 158,813 | |
| | 140,000 | | | BBB- | | Teck Resources Ltd., Senior Unsecured Notes, 6.250% due 7/15/41 | | | 158,235 | |
| | | | | | | | | | |
| | | | | | Total Mining | | | 1,963,079 | |
| | | | | | | | | | |
|
| | Miscellaneous Manufacturers — 0.1% | |
| | 80,000 | | | B | | FXI Holdings Inc., Senior Secured Notes, 7.875% due 11/1/24(a) | | | 71,200 | |
| | | | | | | | | | |
|
| | Oil & Gas — 8.7% | |
| | 5,000 | | | BB | | Antero Resources Corp., Company Guaranteed Notes, 5.625% due 6/1/23 | | | 4,637 | |
| | | | | | Ascent Resources Utica Holdings LLC/ARU Finance Corp., Senior Unsecured Notes: | | | | |
| | 30,000 | | | BB- | | 10.000% due 4/1/22(a) | | | 30,375 | |
| | 82,000 | | | BB- | | 7.000% due 11/1/26(a) | | | 68,548 | |
| | | | | | Berry Petroleum Co. LLC: | | | | |
| | 31,000 | | | B+ | | Company Guaranteed Notes, 7.000% due 2/15/26(a) | | | 28,597 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 310,000 | | | NR | | 6.750% due 11/1/20(f)# | | | — | |
| | 790,000 | | | NR | | 6.375% due 9/15/22(f)# | | | — | |
| | 72,000 | | | B+ | | Brazos Valley Longhorn LLC/Brazos Valley Longhorn Finance Corp., Company Guaranteed Notes, 6.875% due 2/1/25 | | | 64,440 | |
| | 30,000 | | | B+ | | Carrizo Oil & Gas Inc., Company Guaranteed Notes, 8.250% due 7/15/25 | | | 29,250 | |
| | | | | | Centennial Resource Production LLC, Company Guaranteed Notes: | | | | |
| | 70,000 | | | BB- | | 5.375% due 1/15/26(a) | | | 67,025 | |
| | 65,000 | | | BB- | | 6.875% due 4/1/27(a) | | | 65,325 | |
| | | | | | Chesapeake Energy Corp., Company Guaranteed Notes: | | | | |
| | 190,000 | | | B+ | | 5.500% due 9/15/26 | | | 120,252 | |
| | 25,000 | | | B+ | | 8.000% due 6/15/27 | | | 18,188 | |
| | 49,000 | | | B | | Citgo Holding Inc., Senior Secured Notes, 9.250% due 8/1/24(a) | | | 51,940 | |
| | 100,000 | | | B | | Covey Park Energy LLC/Covey Park Finance Corp., Company Guaranteed Notes, 7.500% due 5/15/25(a) | | | 71,500 | |
| | 216,000 | | | BB- | | CrownRock LP/CrownRock Finance Inc., Senior Unsecured Notes, 5.625% due 10/15/25(a) | | | 214,650 | |
| | 81,000 | | | BB- | | CVR Refining LLC/Coffeyville Finance Inc., Company Guaranteed Notes, 6.500% due 11/1/22 | | | 82,215 | |
| | 190,000 | | | BB+ | | Diamondback Energy Inc., Company Guaranteed Notes, 5.375% due 5/31/25 | | | 199,975 | |
| | | | | | Endeavor Energy Resources LP/EER Finance Inc., Senior Unsecured Notes: | | | | |
| | 57,000 | | | BB- | | 5.500% due 1/30/26(a) | | | 59,494 | |
| | 278,000 | | | BB- | | 5.750% due 1/30/28(a) | | | 292,595 | |
| | 23,000 | | | CCC | | EP Energy LLC/Everest Acquisition Finance Inc., Senior Secured Notes, 7.750% due 5/15/26(a) | | | 19,320 | |
| | | | | | Extraction Oil & Gas Inc., Company Guaranteed Notes: | | | | |
| | 140,000 | | | B | | 7.375% due 5/15/24(a) | | | 105,700 | |
| | 213,000 | | | B | | 5.625% due 2/1/26(a) | | | 141,645 | |
| | 120,000 | | | B | | Great Western Petroleum LLC/Great Western Finance Corp., Senior Unsecured Notes, 9.000% due 9/30/21(a) | | | 106,500 | |
| | 125,000 | | | BB- | | Gulfport Energy Corp., Company Guaranteed Notes, 6.625% due 5/1/23 | | | 101,875 | |
| | 50,000 | | | BB+ | | Hilcorp Energy I LP/Hilcorp Finance Co., Senior Unsecured Notes, 6.250% due 11/1/28(a) | | | 46,250 | |
| | 10,000 | | | B+ | | Indigo Natural Resources LLC, Senior Unsecured Notes, 6.875% due 2/15/26(a) | | | 8,300 | |
| | 21,000 | | | B+ | | Jagged Peak Energy LLC, Company Guaranteed Notes, 5.875% due 5/1/26 | | | 21,179 | |
| | 90,000 | | | BB- | | Matador Resources Co., Company Guaranteed Notes, 5.875% due 9/15/26 | | | 87,638 | |
| | | | | | MEG Energy Corp.: | | | | |
| | 120,000 | | | BB- | | Company Guaranteed Notes, 7.000% due 3/31/24(a) | | | 114,750 | |
| | 30,000 | | | BB | | Secured Notes, 6.500% due 1/15/25(a) | | | 30,262 | |
| | 150,750 | | | B+ | | Northern Oil & Gas Inc., Secured Notes, 8.500% (8.500% cash or 1.000% PIK) due 5/15/23(e) | | | 155,838 | |
See Notes to Financial Statements.
223
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Oil & Gas — 8.7% — (continued) | |
| | | | | | Oasis Petroleum Inc., Company Guaranteed Notes: | | | | |
| $ | 50,000 | | | BB- | | 6.875% due 3/15/22 | | $ | 46,750 | |
| | 37,000 | | | BB- | | 6.875% due 1/15/23 | | | 33,670 | |
| | | | | | Parsley Energy LLC/Parsley Finance Corp., Company Guaranteed Notes: | | | | |
| | 105,000 | | | BB- | | 5.250% due 8/15/25(a) | | | 107,100 | |
| | 65,000 | | | BB- | | 5.625% due 10/15/27(a) | | | 67,275 | |
| | 173,000 | | | BB | | PBF Holding Co. LLC/PBF Finance Corp., Company Guaranteed Notes, 7.250% due 6/15/25 | | | 179,861 | |
| | | | | | Petrobras Global Finance BV, Company Guaranteed Notes: | | | | |
| | 40,000 | | | BB- | | 7.375% due 1/17/27 | | | 47,564 | |
| | 20,000 | | | BB- | | 5.750% due 2/1/29 | | | 21,710 | |
| | 55,000 | | | BB- | | Precision Drilling Corp., Company Guaranteed Notes, 7.125% due 1/15/26(a) | | | 49,362 | |
| | 60,000 | | | BB | | Range Resources Corp., Company Guaranteed Notes, 5.000% due 3/15/23 | | | 53,250 | |
| | 185,000 | | | BB | | Seven Generations Energy Ltd., Company Guaranteed Notes, 5.375% due 9/30/25(a) | | | 177,831 | |
| | 240,000 | | | B- | | Shelf Drilling Holdings Ltd., Company Guaranteed Notes, 8.250% due 2/15/25(a) | | | 214,800 | |
| | | | | | SM Energy Co., Senior Unsecured Notes: | | | | |
| | 141,000 | | | BB- | | 6.750% due 9/15/26 | | | 120,555 | |
| | 35,000 | | | BB- | | 6.625% due 1/15/27 | | | 29,925 | |
| | 48,000 | | | BB- | | Sunoco LP/Sunoco Finance Corp., Company Guaranteed Notes, 5.500% due 2/15/26 | | | 49,920 | |
| | 80,000 | | | B+ | | Teine Energy Ltd., Senior Unsecured Notes, 6.875% due 9/30/22(a) | | | 81,000 | |
| | 84,550 | | | B+ | | Transocean Guardian Ltd., Senior Secured Notes, 5.875% due 1/15/24(a) | | | 85,713 | |
| | | | | | Transocean Inc., Company Guaranteed Notes: | | | | |
| | 84,000 | | | B | | 7.250% due 11/1/25(a) | | | 76,755 | |
| | 64,000 | | | B | | 7.500% due 1/15/26(a) | | | 58,720 | |
| | 80,000 | | | B- | | 6.800% due 3/15/38 | | | 53,200 | |
| | 26,700 | | | B+ | | Transocean Pontus Ltd., Senior Secured Notes, 6.125% due 8/1/25(a) | | | 27,205 | |
| | | | | | Whiting Petroleum Corp., Company Guaranteed Notes: | | | | |
| | 30,000 | | | BB- | | 5.750% due 3/15/21 | | | 28,168 | |
| | 94,000 | | | BB- | | 6.625% due 1/15/26 | | | 68,498 | |
| | | | | | WPX Energy Inc., Senior Unsecured Notes: | | | | |
| | 130,000 | | | BB- | | 8.250% due 8/1/23 | | | 145,275 | |
| | 30,000 | | | BB- | | 5.750% due 6/1/26 | | | 31,238 | |
| | | | | | | | | | |
| | | | | | Total Oil & Gas | | | 4,263,608 | |
| | | | | | | | | | |
|
| | Oil & Gas Services — 0.1% | |
| | 25,000 | | | B- | | Nine Energy Service Inc., Senior Unsecured Notes, 8.750% due 11/1/23(a) | | | 22,688 | |
| | | | | | | | | | |
|
| | Packaging & Containers — 2.2% | |
| | 200,000 | | | B | | Ardagh Packaging Finance PLC/Ardagh Holdings USA Inc., Company Guaranteed Notes, 6.000% due 2/15/25(a) | | | 209,375 | |
| | | | | | Berry Global Inc., Secured Notes: | | | | |
| | 75,000 | | | BB | | 5.125% due 7/15/23 | | | 77,156 | |
| | 19,000 | | | BB | | 4.500% due 2/15/26(a) | | | 18,953 | |
| | 22,000 | | | BB | | 5.625% due 7/15/27(a) | | | 23,155 | |
| | 25,000 | | | BB- | | Crown Americas LLC/Crown Americas Capital Corp. V, Company Guaranteed Notes, 4.250% due 9/30/26 | | | 26,031 | |
| | 160,000 | | | BB- | | Crown Americas LLC/Crown Americas Capital Corp. VI, Company Guaranteed Notes, 4.750% due 2/1/26 | | | 168,400 | |
| | 80,000 | | | CCC+ | | Flex Acquisition Co., Inc., Senior Unsecured Notes, 7.875% due 7/15/26(a) | | | 72,600 | |
| | 90,000 | | | BB- | | Greif Inc., Company Guaranteed Notes, 6.500% due 3/1/27(a) | | | 94,725 | |
| | | | | | Pactiv LLC, Senior Unsecured Notes: | | | | |
| | 40,000 | | | B- | | 7.950% due 12/15/25 | | | 43,300 | |
| | 90,000 | | | B- | | 8.375% due 4/15/27 | | | 96,975 | |
| | 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) | | | 264,084 | |
| | | | | | | | | | |
| | | | | | Total Packaging & Containers | | | 1,094,754 | |
| | | | | | | | | | |
See Notes to Financial Statements.
224
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Pharmaceuticals — 2.2% | |
| | | | | | Bausch Health Americas Inc., Company Guaranteed Notes: | �� | | | |
| $ | 180,000 | | | B- | | 9.250% due 4/1/26(a) | | $ | 204,300 | |
| | 110,000 | | | B- | | 8.500% due 1/31/27(a) | | | 122,373 | |
| | | | | | Bausch Health Cos., Inc.: | | | | |
| | | | | | Company Guaranteed Notes: | | | | |
| | 12,000 | | | B- | | 5.500% due 3/1/23(a) | | | 12,165 | |
| | 55,000 | | | B- | | 6.125% due 4/15/25(a) | | | 56,787 | |
| | 80,000 | | | B- | | 9.000% due 12/15/25(a) | | | 90,000 | |
| | 28,000 | | | B- | | 7.000% due 1/15/28(a) | | | 29,412 | |
| | | | | | Senior Secured Notes: | | | | |
| | 123,000 | | | BB- | | 7.000% due 3/15/24(a) | | | 130,215 | |
| | 177,000 | | | BB- | | 5.500% due 11/1/25(a) | | | 186,289 | |
| | 17,000 | | | BB- | | 5.750% due 8/15/27(a) | | | 18,275 | |
| | 60,000 | | | BB- | | HLF Financing Sarl LLC/Herbalife International Inc., Company Guaranteed Notes, 7.250% due 8/15/26(a) | | | 59,325 | |
| | 70,000 | | | B+ | | Par Pharmaceutical Inc., Senior Secured Notes, 7.500% due 4/1/27(a) | | | 65,450 | |
| | 80,000 | | | BB | | Teva Pharmaceutical Finance Co. BV, Company Guaranteed Notes, 2.950% due 12/18/22 | | | 70,100 | |
| | 15,000 | | | B | | Vizient Inc., Senior Unsecured Notes, 6.250% due 5/15/27(a) | | | 16,163 | |
| | | | | | | | | | |
| | | | | | Total Pharmaceuticals | | | 1,060,854 | |
| | | | | | | | | | |
|
| | Pipelines — 3.8% | |
| | | | | | Antero Midstream Partners LP/Antero Midstream Finance Corp., Company Guaranteed Notes: | | | | |
| | 73,000 | | | BB | | 5.375% due 9/15/24 | | | 69,168 | |
| | 57,000 | | | BB | | 5.750% due 3/1/27(a) | | | 52,440 | |
| | | | | | Blue Racer Midstream LLC/Blue Racer Finance Corp.: | | | | |
| | 100,000 | | | B | | Company Guaranteed Notes, 6.125% due 11/15/22(a) | | | 101,000 | |
| | 80,000 | | | B | | Senior Unsecured Notes, 6.625% due 7/15/26(a) | | | 79,150 | |
| | | | | | Cheniere Corpus Christi Holdings LLC, Senior Secured Notes: | | | | |
| | 200,000 | | | BB | | 7.000% due 6/30/24 | | | 231,250 | |
| | 100,000 | | | BB | | 5.125% due 6/30/27 | | | 110,750 | |
| | 20,000 | | | NR | | Cheniere Energy Inc., Senior Unsecured Notes, 4.250% due 3/15/45 | | | 15,550 | |
| | 80,000 | | | BB | | Cheniere Energy Partners LP, Senior Secured Notes, 5.250% due 10/1/25 | | | 83,000 | |
| | 43,000 | | | BB- | | Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., Company Guaranteed Notes, 5.625% due 5/1/27(a) | | | 43,094 | |
| | 80,000 | | | BB+ | | DCP Midstream Operating LP, Company Guaranteed Notes, 6.750% due 9/15/37(a) | | | 84,400 | |
| | 39,000 | | | BB+ | | EnLink Midstream LLC, Company Guaranteed Notes, 5.375% due 6/1/29 | | | 38,259 | |
| | 110,000 | | | B+ | | Genesis Energy LP/Genesis Energy Finance Corp., Company Guaranteed Notes, 5.625% due 6/15/24 | | | 105,600 | |
| | 60,000 | | | B+ | | NGL Energy Partners LP/NGL Energy Finance Corp., Company Guaranteed Notes, 7.500% due 11/1/23 | | | 61,031 | |
| | 80,000 | | | BBB- | | NGPL PipeCo LLC, Senior Unsecured Notes, 7.768% due 12/15/37(a) | | | 104,702 | |
| | 100,000 | | | BB | | Plains All American Pipeline LP, Junior Subordinated Notes, 6.125%(3-MonthUSD-LIBOR + 4.110%)(c)(d) | | | 95,152 | |
| | | | | | Rockies Express Pipeline LLC, Senior Unsecured Notes: | | | | |
| | 90,000 | | | BBB- | | 7.500% due 7/15/38(a) | | | 102,487 | |
| | 60,000 | | | BBB- | | 6.875% due 4/15/40(a) | | | 66,648 | |
| | | | | | Targa Resources Partners LP/Targa Resources Partners Finance Corp., Company Guaranteed Notes: | | | | |
| | 60,000 | | | BB | | 4.250% due 11/15/23 | | | 60,150 | |
| | 80,000 | | | BB | | 5.875% due 4/15/26 | | | 84,100 | |
| | 43,000 | | | BB | | 6.500% due 7/15/27(a) | | | 46,763 | |
| | 60,000 | | | BB | | 5.000% due 1/15/28 | | | 60,450 | |
| | 68,000 | | | BB | | 6.875% due 1/15/29(a) | | | 75,310 | |
| | 60,000 | | | BBB | | Williams Cos., Inc. (The), Senior Unsecured Notes, 8.750% due 3/15/32 | | | 87,562 | |
| | | | | | | | | | |
| | | | | | Total Pipelines | | | 1,858,016 | |
| | | | | | | | | | |
See Notes to Financial Statements.
225
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Real Estate — 0.6% | |
| $ | 164,000 | | | B | | Five Point Operating Co. LP/Five Point Capital Corp., Company Guaranteed Notes, 7.875% due 11/15/25(a) | | $ | 164,922 | |
| | 115,000 | | | BB- | | Greystar Real Estate Partners LLC, Senior Secured Notes, 5.750% due 12/1/25(a) | | | 118,203 | |
| | 15,000 | | | BB- | | Hunt Cos., Inc., Senior Secured Notes, 6.250% due 2/15/26(a) | | | 14,625 | |
| | | | | | | | | | |
| | | | | | Total Real Estate | | | 297,750 | |
| | | | | | | | | | |
|
| | Real Estate Investment Trusts (REITs) — 2.3% | |
| | 50,000 | | | BB | | CoreCivic Inc., Company Guaranteed Notes, 5.000% due 10/15/22 | | | 49,687 | |
| | 60,000 | | | BB | | CTR Partnership LP/CareTrust Capital Corp., Company Guaranteed Notes, 5.250% due 6/1/25 | | | 61,961 | |
| | 80,000 | | | BB- | | ESH Hospitality Inc., Company Guaranteed Notes, 5.250% due 5/1/25(a) | | | 82,900 | |
| | 220,000 | | | B+ | | GEO Group Inc. (The), Company Guaranteed Notes, 6.000% due 4/15/26 | | | 191,400 | |
| | 120,000 | | | BBB- | | GLP Capital LP/GLP Financing II Inc., Company Guaranteed Notes, 5.750% due 6/1/28 | | | 136,820 | |
| | 120,000 | | | B | | Iron Mountain Inc., Company Guaranteed Notes, 5.750% due 8/15/24 | | | 121,800 | |
| | | | | | MGM Growth Properties Operating Partnership LP/MGP Finance Co.-Issuer Inc., Company Guaranteed Notes: | | | | |
| | 80,000 | | | BB- | | 4.500% due 9/1/26 | | | 84,200 | |
| | 23,000 | | | BB- | | 5.750% due 2/1/27(a) | | | 25,420 | |
| | | | | | MPT Operating Partnership LP / MPT Finance Corp., Company Guaranteed Notes: | | | | |
| | 50,000 | | | BBB- | | 5.000% due 10/15/27 | | | 53,500 | |
| | 60,000 | | | BBB- | | 4.625% due 8/1/29 | | | 62,513 | |
| | 16,000 | | | BB- | | RHP Hotel Properties LP/RHP Finance Corp., Company Guaranteed Notes, 5.000% due 4/15/23 | | | 16,480 | |
| | 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) | | | 1,108,106 | |
| | | | | | | | | | |
|
| | Retail — 3.2% | |
| | | | | | 1011778 BC ULC/New Red Finance Inc.: | | | | |
| | 232,000 | | | B | | Secured Notes, 5.000% due 10/15/25(a) | | | 240,120 | |
| | 150,000 | | | BB- | | Senior Secured Notes, 4.250% due 5/15/24(a) | | | 155,214 | |
| | 60,000 | | | BB+ | | Brinker International Inc., Company Guaranteed Notes, 5.000% due 10/1/24(a) | | | 62,100 | |
| | 80,000 | | | BB | | FirstCash Inc., Company Guaranteed Notes, 5.375% due 6/1/24(a) | | | 83,400 | |
| | | | | | Golden Nugget Inc.: | | | | |
| | 197,000 | | | CCC+ | | Company Guaranteed Notes, 8.750% due 10/1/25(a) | | | 207,096 | |
| | 82,000 | | | CCC+ | | Senior Unsecured Notes, 6.750% due 10/15/24(a) | | | 84,050 | |
| | 160,000 | | | BB | | L Brands Inc., Company Guaranteed Notes, 5.250% due 2/1/28 | | | 146,400 | |
| | 170,000 | | | BB+ | | Murphy Oil USA Inc., Company Guaranteed Notes, 5.625% due 5/1/27 | | | 179,350 | |
| | | | | | Party City Holdings Inc., Company Guaranteed Notes: | | | | |
| | 25,000 | | | B- | | 6.125% due 8/15/23(a)(i) | | | 25,062 | |
| | 105,000 | | | B- | | 6.625% due 8/1/26(a)(i) | | | 100,275 | |
| | 150,000 | | | BB+ | | Reliance Intermediate Holdings LP, Senior Secured Notes, 6.500% due 4/1/23(a) | | | 154,875 | |
| | 70,000 | | | BB- | | Sally Holdings LLC/Sally Capital Inc., Company Guaranteed Notes, 5.625% due 12/1/25 | | | 70,350 | |
| | 70,000 | | | BB- | | Suburban Propane Partners LP/Suburban Energy Finance Corp., Senior Unsecured Notes, 5.875% due 3/1/27 | | | 71,138 | |
| | | | | | | | | | |
| | | | | | Total Retail | | | 1,579,430 | |
| | | | | | | | | | |
|
| | Semiconductors — 0.6% | |
| | 100,000 | | | BB | | Amkor Technology Inc., Senior Unsecured Notes, 6.625% due 9/15/27(a) | | | 109,373 | |
| | 10,000 | | | NR | | Cree Inc., Senior Unsecured Notes, 0.875% due 9/1/23(a) | | | 10,335 | |
| | 55,000 | | | BB | | Entegris Inc., Company Guaranteed Notes, 4.625% due 2/10/26(a) | | | 56,925 | |
| | 100,000 | | | BB+ | | Sensata Technologies UK Financing Co. PLC, Company Guaranteed Notes, 6.250% due
2/15/26(a) | | | 106,721 | |
| | | | | | | | | | |
| | | | | | Total Semiconductors | | | 283,354 | |
| | | | | | | | | | |
|
| | Software — 1.4% | |
| | 97,000 | | | CCC+ | | Camelot Finance SA, Company Guaranteed Notes, 7.875% due 10/15/24(a) | | | 101,607 | |
See Notes to Financial Statements.
226
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Software — 1.4% — (continued) | |
| | | | | | CDK Global Inc., Senior Unsecured Notes: | | | | |
| $ | 80,000 | | | BB+ | | 5.875% due 6/15/26 | | $ | 85,268 | |
| | 70,000 | | | BB+ | | 4.875% due 6/1/27 | | | 72,677 | |
| | 22,000 | | | BB+ | | 5.250% due 5/15/29(a) | | | 22,743 | |
| | 80,000 | | | B | | Donnelley Financial Solutions Inc., Company Guaranteed Notes, 8.250% due 10/15/24 | | | 83,000 | |
| | 215,000 | | | BB | | j2 Cloud Services LLC/j2 GlobalCo-Obligor Inc., Company Guaranteed Notes, 6.000% due 7/15/25(a) | | | 227,072 | |
| | 149,000 | | | CCC- | | Riverbed Technology Inc., Company Guaranteed Notes, 8.875% due 3/1/23(a) | | | 87,910 | |
| | 20,000 | | | B+ | | SS&C Technologies Inc., Company Guaranteed Notes, 5.500% due 9/30/27(a) | | | 21,038 | |
| | | | | | | | | | |
| | | | | | Total Software | | | 701,315 | |
| | | | | | | | | | |
|
| | Telecommunications — 7.4% | |
| | 510,000 | | | B | | Altice France SA, Senior Secured Notes, 7.375% due 5/1/26(a) | | | 545,700 | |
| | | | | | CenturyLink Inc., Senior Unsecured Notes: | | | | |
| | 50,000 | | | B+ | | 6.450% due 6/15/21 | | | 52,812 | |
| | 70,000 | | | B+ | | 6.750% due 12/1/23 | | | 76,037 | |
| | 52,000 | | | B- | | CommScope Inc., Company Guaranteed Notes, 8.250% due 3/1/27(a) | | | 51,155 | |
| | | | | | CommScope Technologies LLC, Company Guaranteed Notes: | | | | |
| | 149,000 | | | B- | | 6.000% due 6/15/25(a) | | | 133,728 | |
| | 40,000 | | | B- | | 5.000% due 3/15/27(a) | | | 33,650 | |
| | 120,000 | | | BB | | Hughes Satellite Systems Corp., Company Guaranteed Notes, 6.625% due 8/1/26 | | | 129,600 | |
| | | | | | Intelsat Jackson Holdings SA: | | | | |
| | 51,000 | | | CCC+ | | Company Guaranteed Notes, 8.500% due 10/15/24(a) | | | 50,745 | |
| | 150,000 | | | B | | Senior Secured Notes, 8.000% due 2/15/24(a) | | | 156,563 | |
| | | | | | Level 3 Financing Inc., Company Guaranteed Notes: | | | | |
| | 100,000 | | | BB | | 5.125% due 5/1/23 | | | 102,004 | |
| | 40,000 | | | BB | | 5.375% due 1/15/24 | | | 40,800 | |
| | 90,000 | | | BB | | 5.250% due 3/15/26 | | | 94,050 | |
| | 10,000 | | | B+ | | Level 3 Parent LLC, Senior Unsecured Notes, 5.750% due 12/1/22 | | | 10,100 | |
| | | | | | Sprint Capital Corp., Company Guaranteed Notes: | | | | |
| | 127,000 | | | B | | 6.875% due 11/15/28 | | | 141,129 | |
| | 105,000 | | | B | | 8.750% due 3/15/32 | | | 131,773 | |
| | | | | | Sprint Communications Inc., Senior Unsecured Notes: | | | | |
| | 160,000 | | | B | | 11.500% due 11/15/21 | | | 188,400 | |
| | 15,000 | | | B | | 6.000% due 11/15/22 | | | 16,003 | |
| | | | | | Sprint Corp., Company Guaranteed Notes: | | | | |
| | 150,000 | | | B | | 7.250% due 9/15/21 | | | 161,730 | |
| | 200,000 | | | B | | 7.875% due 9/15/23 | | | 225,500 | |
| | 280,000 | | | B | | 7.625% due 3/1/26 | | | 315,350 | |
| | 240,000 | | | BB+ | | Telecom Italia SpA, Senior Unsecured Notes, 5.303% due 5/30/24(a) | | | 257,700 | |
| | | | | | T-Mobile USA Inc., Company Guaranteed Notes: | | | | |
| | 460,000 | | | BB+ | | 6.500% due 1/15/26(f) | | | 495,650 | |
| | 45,000 | | | BB+ | | 4.500% due 2/1/26(f) | | | 46,856 | |
| | 60,000 | | | BB+ | | 4.750% due 2/1/28(f) | | | 63,374 | |
| | 33,000 | | | BB+ | | ViaSat Inc., Senior Secured Notes, 5.625% due 4/15/27(a) | | | 35,145 | |
| | 56,000 | | | CCC | | West Corp., Company Guaranteed Notes, 8.500% due 10/15/25(a) | | | 43,680 | |
| | 70,000 | | | WD(j) | | Windstream Services LLC/Windstream Finance Corp., Secured Notes, 10.500% due
6/30/24(a)(h)(k) | | | 43,750 | |
| | | | | | | | | | |
| | | | | | Total Telecommunications | | | 3,642,984 | |
| | | | | | | | | | |
|
| | Toys/Games/Hobbies — 0.2% | |
| | 90,000 | | | BB- | | Mattel Inc., Company Guaranteed Notes, 6.750% due 12/31/25(a) | | | 92,700 | |
| | | | | | | | | | |
|
| | Transportation — 1.1% | |
| | 140,000 | | | B- | | Navios Maritime Acquisition Corp./Navios Acquisition Finance US Inc., Senior Secured Notes, 8.125% due 11/15/21(a) | | | 114,537 | |
See Notes to Financial Statements.
227
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Transportation — 1.1% — (continued) | |
| $ | 160,000 | | | B- | | Watco Cos. LLC/Watco Finance Corp., Company Guaranteed Notes, 6.375% due 4/1/23(a) | | $ | 163,800 | |
| | 100,000 | | | B+ | | XPO CNW Inc., Senior Unsecured Notes, 6.700% due 5/1/34 | | | 98,500 | |
| | 160,000 | | | BB- | | XPO Logistics Inc., Company Guaranteed Notes, 6.125% due 9/1/23(a) | | | 165,840 | |
| | | | | | | | | | |
| | | | | | Total Transportation | | | 542,677 | |
| | | | | | | | | | |
|
| | Trucking & Leasing — 0.5% | |
| | 240,000 | | | BB+ | | DAE Funding LLC, Company Guaranteed Notes, 5.000% due 8/1/24(a) | | | 251,760 | |
| | | | | | | | | | |
| | | | | | TOTAL CORPORATE BONDS & NOTES
(Cost — $41,582,396) | | | 42,426,568 | |
| | | | | | | | | | |
|
| | SENIOR LOANS — 6.8% | |
| | 148,858 | | | NR | | AlixPartners LLP, 4.862%(1-MonthUSD-LIBOR + 2.750%) due 4/4/24 | | | 149,230 | |
| | 100,000 | | | NR | | Allied Universal Holdco LLC, (Restricted, cost — $100,000, acquired 8/16/19) due
7/10/26(g)(l) | | | 100,037 | |
| | 166,995 | | | NR | | Ancestry.com Operations Inc., (Restricted, cost — $167,204, acquired 11/21/17), 5.870%(1-MonthUSD-LIBOR + 3.750%) due 10/19/23(g) | | | 166,526 | |
| | 40,342 | | | NR | | Applied Systems Inc., 5.330%(3-MonthUSD-LIBOR + 3.000%) due 9/19/24 | | | 40,281 | |
| | 315,000 | | | NR | | Asurion LLC, 8.612%(1-MonthUSD-LIBOR + 6.500%) due 8/4/25 | | | 320,180 | |
| | 29,925 | | | NR | | athenahealth Inc., (Restricted, cost — $29,372, acquired 2/7/19), 6.681%(1-MonthUSD-LIBOR +4.500%/3-MonthUSD-LIBOR + 4.500%) due 2/11/26(g) | | | 29,841 | |
| | 127,725 | | | NR | | Big River Steel LLC, 7.330%(3-MonthUSD-LIBOR + 5.000%) due 8/23/23 | | | 128,284 | |
| | 23,854 | | | NR | | CenturyLink Inc., 4.862%(1-MonthUSD-LIBOR + 2.750%) due 1/31/25 | | | 23,552 | |
| | 100,000 | | | NR | | CEOC LLC, (Restricted, cost — $99,875, acquired 8/16/19) due 10/7/24(g)(l) | | | 99,969 | |
| | 35,910 | | | NR | | CSC Holdings LLC, 5.195%(1-MonthUSD-LIBOR + 3.000%) due 4/15/27 | | | 36,094 | |
| | 40,000 | | | NR | | Diamond Sports Group LLC, (Restricted, cost — $39,803, acquired 7/18/19), 5.420%(3-MonthUSD-LIBOR + 3.250%) due 8/24/26(g) | | | 40,092 | |
| | 240,018 | | | NR | | EIG Investors Corp., 5.882%(3-MonthUSD-LIBOR + 3.750%) due 2/9/23 | | | 236,417 | |
| | 80,000 | | | NR | | Global Tel*Link Corp., (Restricted, cost — $76,607, acquired 8/16/19) due 11/29/25(g)(l) | | | 76,660 | |
| | 186,278 | | | NR | | Graftech International Ltd., 5.612%(1-MonthUSD-LIBOR + 3.500%) due 2/12/25 | | | 181,698 | |
| | 69,475 | | | NR | | Herbalife Nutrition Ltd., 5.362%(1-MonthUSD-LIBOR + 3.250%) due 8/18/25 | | | 69,556 | |
| | 27,929 | | | NR | | Hillman Group Inc., 6.112%(1-MonthUSD-LIBOR + 4.000%) due 5/30/25 | | | 27,147 | |
| | | | | | iHeartCommunications Inc.: | | | | |
| | 64,000 | | | NR | | due 7/30/19(f)(l) | | | 42,993 | |
| | 71,827 | | | NR | | (Restricted, cost — $72,252, acquired 5/1/19), 6.230%(1-MonthUSD-LIBOR + 4.000%) due 5/1/26(g) | | | 72,155 | |
| | 60,947 | | | NR | | Infor (US) Inc., 5.080%(3-MonthUSD-LIBOR + 2.750%) due 2/1/22 | | | 60,985 | |
| | 100,000 | | | NR | | Intelsat Jackson Holdings SA, 6.625% due 1/2/24 | | | 101,313 | |
| | 40,000 | | | NR | | Jane Street Group, LLC, (Restricted, cost — $39,851, acquired 8/16/19) due 8/25/22(g)(l) | | | 39,842 | |
| | 80,000 | | | NR | | McAfee, LLC, (Restricted, cost — $80,088, acquired 8/16/19) due 9/30/24(g)(l) | | | 80,165 | |
| | 75,501 | | | NR | | National Mentor Holdings Inc., 6.370%(1-MonthUSD-LIBOR + 4.250%) due 3/9/26 | | | 75,533 | |
| | 99,445 | | | NR | | Navistar Inc., 5.700%(1-MonthUSD-LIBOR + 3.500%) due 11/6/24 | | | 99,321 | |
| | 123,660 | | | NR | | Panda Temple Power LLC, (Restricted, cost — $122,143, acquired 2/7/18), 10.145%(1-MonthUSD-LIBOR + 8.000%) due 2/7/23(g)(k) | | | 124,279 | |
| | 60,000 | | | NR | | Panther BF Aggregator 2 LP, (Restricted, cost — $59,905, acquired 4/3/19), 5.612%(1-MonthUSD-LIBOR + 3.500%) due 4/30/26(g) | | | 59,250 | |
| | 186,185 | | | NR | | PetSmart Inc., (Restricted, cost — $166,061, acquired 12/13/17), 6.210%(1-MonthUSD-LIBOR + 4.000%) due 3/11/22(g) | | | 181,182 | |
| | 89,100 | | | NR | | Ply Gem Midco Inc., (Restricted, cost — $88,837, acquired 3/29/18), 5.951%(1-MonthUSD-LIBOR + 3.750%) due 4/12/25(g) | | | 86,761 | |
| | 107,831 | | | NR | | Radnet Management Inc., (Restricted, cost — $107,655, acquired 8/16/17), 5.858%(3-MonthUSD-LIBOR +3.500%/3-MonthUSD-PRIME + 2.750%) due 6/30/23(g) | | | 107,831 | |
| | 39,800 | | | NR | | Regionalcare Hospital Partners Holdings Inc., (Restricted, cost — $39,446, acquired 11/14/18), 6.645%(1-MonthUSD-LIBOR + 4.500%) due 11/16/25(g) | | | 39,750 | |
| | 69,650 | | | NR | | Sedgwick Claims Management Services Inc., 5.362%(1-MonthUSD-LIBOR + 3.250%) due 12/31/25 | | | 67,710 | |
See Notes to Financial Statements.
228
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | SENIOR LOANS — 6.8% — (continued) | |
| $ | 80,000 | | | NR | | Spencer Spirit IH LLC, (Restricted, cost — $78,443, acquired 6/14/19), 8.182%(1-MonthUSD-LIBOR + 6.000%) due 6/19/26(g) | | $ | 79,000 | |
| | 97,791 | | | NR | | SS&C Technologies Holdings Inc., 4.362%(1-MonthUSD-LIBOR + 2.250%) due 4/16/25 | | | 97,974 | |
| | 39,245 | | | NR | | Stars Group Holdings BV, 5.830%(3-MonthUSD-LIBOR + 3.500%) due 7/10/25 | | | 39,414 | |
| | 20,842 | | | NR | | Transdigm Inc., 4.830%(3-MonthUSD-LIBOR + 2.500%) due 5/30/25 | | | 20,667 | |
| | 140,000 | | | NR | | US Renal Care Inc., (Restricted, cost — $137,275, acquired 6/14/19), 7.112%(1-MonthUSD-LIBOR + 5.000%) due 6/26/26(g) | | | 134,283 | |
| | | | | | | | | | |
| | | | | | TOTAL SENIOR LOANS
(Cost — $3,355,731) | | | 3,335,972 | |
| | | | | | | | | | |
| | | |
| Shares/Units | | | | | | | | |
|
| | COMMON STOCKS — 0.8% | |
|
| | COMMUNICATIONS — 0.0% | |
|
| | Advertising — 0.0% | |
| | 800 | | | | | Clear Channel Outdoor Holdings Inc., Class A Shares | | | 2,080 | |
| | | | | | | | | | |
|
| | Media — 0.0% | |
| | 88 | | | | | iHeartMedia Inc., Class A Shares* | | | 1,214 | |
| | | | | | | | | | |
| | | | | | TOTAL COMMUNICATIONS | | | 3,294 | |
| | | | | | | | | | |
|
| | CONSUMER CYCLICAL — 0.0% | |
|
| | Lodging — 0.0% | |
| | 9,953 | | | | | Bossier Casino Venture Holdco Inc.*(f)(k)# | | | 2,103 | |
| | | | | | | | | | |
|
| | ENERGY — 1.0% | |
|
| | Energy — Alternate Sources — 0.4% | |
| | 7,886 | | | | | T1 Power Holdings LLC* | | | 173,492 | |
| | | | | | | | | | |
|
| | Energy Equipment & Services — 0.0% | |
| | 17,453 | | | | | Hercules Offshore Inc.*(f)(k)# | | | 11,433 | |
| | | | | | | | | | |
|
| | Oil & Gas — 0.6% | |
| | 21,403 | | | | | Berry Petroleum Corp. | | | 171,010 | |
| | 7,241 | | | | | Montage Resources Corp. | | | 21,578 | |
| | | | | | | | | | |
| | | | | | Total Oil & Gas | | | 192,588 | |
| | | | | | | | | | |
| | | | | | TOTAL ENERGY | | | 377,513 | |
| | | | | | | | | | |
|
| | FINANCIALS — 0.0% | |
|
| | Diversified Financial Services — 0.0% | |
| | 68 | | | | | MWO Holdings, ADR*(f)(k)# | | | 5,202 | |
| | | | | | | | | | |
| | | | | | TOTAL COMMON STOCKS
(Cost — $2,274,453) | | | 388,112 | |
| | | | | | | | | | |
|
| | PREFERRED STOCKS — 0.2% | |
|
| | FINANCIALS — 0.2% | |
|
| | Banks — 0.2% | |
| | 3,884 | | | | | GMAC Capital Trust I, 7.943%(3-MonthUSD-LIBOR + 5.785%) due 2/15/40(c) | | | 101,761 | |
| | | | | | | | | | |
|
| | Diversified Financial Services — 0.0% | |
| | 1,175 | | | | | B. Riley Financial Inc., 6.875% due 9/30/23 | | | 30,550 | |
| | | | | | | | | | |
| | | | | | TOTAL PREFERRED STOCKS
(Cost — $97,539) | | | 132,311 | |
| | | | | | | | | | |
|
| | WARRANT — 0.0% | |
|
| | Media — 0.0% | |
| | 252 | | | | | iHeartMedia Inc., expires 5/1/39* | | | | |
| | | | | | (Cost — $4,488) | | | 3,276 | |
| | | | | | | | | | |
See Notes to Financial Statements.
229
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | SOVEREIGN BOND — 0.1% | |
| |
| | Argentina — 0.1% | | | | |
| $ | 150,000 | | | CCC- | | Argentine Republic Government International Bonds, 7.500% due 4/22/26
(Cost — $159,450) | | $ | 58,687 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS
(Cost — $47,474,057) | | | 46,344,926 | |
| | | | | | | | | | |
|
| | SHORT-TERM INVESTMENTS (m) — 5.0% | |
|
| | MONEY MARKET FUND — 0.3% | |
| | 125,726 | | | | | Invesco STIT — Government & Agency Portfolio, 1.998%, Institutional Class(n)
(Cost — $125,726) | | | 125,726 | |
| | | | | | | | | | |
|
| | TIME DEPOSITS — 4.7% | |
| | 229,221 | | | | | ANZ National Bank — London, 1.490% due 9/3/19 | | | 229,221 | |
| | 2,078,208 | | | | | Banco Santander SA — Frankfurt, 1.490% due 9/3/19 | | | 2,078,208 | |
| | | | | | | | | | |
| | | | | | TOTAL TIME DEPOSITS
(Cost — $2,307,429) | | | 2,307,429 | |
| | | | | | | | | | |
| | | | | | TOTAL SHORT-TERM INVESTMENTS
(Cost — $2,433,155) | | | 2,433,155 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS — 99.7%
(Cost — $49,907,212) | | | 48,778,081 | |
| | | | | | | | | | |
| | | | | | Other Assets in Excess of Liabilities — 0.3% | | | 132,954 | |
| | | | | | | | | | |
| | | | | | TOTAL NET ASSETS — 100.0% | | $ | 48,911,035 | |
| | | | | | | | | | |
| † | 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 August 31, 2019 amounts to approximately $24,079,805 and represents 49.1% 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 August 31, 2019. |
| (d) | Security is perpetual in nature and has no stated maturity date. |
| (e) | Paymentin-kind security for which part of the income earned may be paid as additional principal. |
| (f) | Security is valued in good faith at fair value by or under the direction of the Board of Trustees. |
| (g) | The aggregate value of restricted securities (excluding 144A holdings) at August 31, 2019 amounts to approximately $1,531,273 and represents 3.1% of net assets. |
| (h) | Security is currently in default. |
| (i) | All or a portion of this security is on loan (See Note 1). |
| (j) | Rating by Fitch Ratings Service. All ratings are unaudited. |
| (l) | 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. |
| (m) | Inclusive of all short term holdings, including investment of collateral received from securities lending transactions. Excluding such collateral, the percentage of portfolio holdings would be 4.7%. |
| (n) | Represents investment of collateral received from securities lending transactions. |
| # | Security that used significant unobservable inputs to determine fair value. |
See Notes to Financial Statements.
230
At August 31, 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
Appreciation | |
High Yield Fund | | $ | 50,374,433 | | | $ | 2,161,943 | | | $ | (3,758,295 | ) | | $ | (1,596,352 | ) |
| | |
Abbreviations used in this schedule: |
| ADR | | — American Depositary Receipts |
| ICE | | — Intercontinental Exchange |
| LIBOR | | — London Interbank Offered Rate |
| PLC | | — Public Limited Company |
| PRIME | | — Prime Lending Rate |
See pages295-296 for definitions of ratings.
| | | | |
| Summary of Investments by Security Type^ | |
Corporate Bonds & Notes | | | 87.2 | % |
Senior Loans | | | 6.9 | |
Common Stocks | | | 0.8 | |
Preferred Stocks | | | 0.3 | |
Sovereign Bond | | | 0.1 | |
Warrant | | | 0.0 | * |
Short-Term Investments | | | 4.7 | |
| | | | |
| | | 100 | %+ |
| | | | |
| ^ | As a percentage of total investments. |
| * | Position represents less than 0.05%. |
| + | Does not reflect investments of collateral received from securities lending transactions. |
See Notes to Financial Statements.
231
| | | | | | | | | | |
| International Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | | | Security | | Value | |
|
| | SOVEREIGN BONDS — 54.1% | |
|
| | Argentina — 0.1% | |
| | 4,000,000 | ARS | | | | Argentina Bonar Bonds, 54.553% (Argentina Deposit Rates Badlar Private Banks ARS 30 to 35 Days Index + 2.000%) due 4/3/22(a) | | $ | 34,952 | |
| | 7,120,000 | ARS | | | | Argentina POM Politica Monetaria, 66.380% due 6/21/20(a) | | | 56,831 | |
| | 200,000 | EUR | | | | Argentine Republic Government International Bonds, 3.375% due 1/15/23 | | | 87,045 | |
| | | | | | | | | | |
| | | | | | Total Argentina | | | 178,828 | |
| | | | | | | | | | |
|
| | Brazil — 3.2% | |
| | 5,900,000 | BRL | | | | Brazil Letras do Tesouro Nacional, zero coupon, due 4/1/20 | | | 1,381,653 | |
| | 3,900,000 | BRL | | | | Brazil Notas do Tesouro Nacional Serie B, 6.000% due 5/15/21 | | | 3,288,336 | |
| | | | | | | | | | |
| | | | | | Total Brazil | | | 4,669,989 | |
| | | | | | | | | | |
|
| | Canada — 1.7% | |
| | 3,100,000 | CAD | | | | Province of Ontario Canada, 3.150% due 6/2/22(SBB) | | | 2,427,862 | |
| | | | | | | | | | |
|
| | China — 3.0% | |
| | 22,200,000 | CNY | | | | China Development Bank, 4.240% due 8/24/27 | | | 3,232,612 | |
| | 8,800,000 | CNY | | | | China Government Bonds, 3.220% due 12/6/25 | | | 1,242,063 | |
| | | | | | | | | | |
| | | | | | Total China | | | 4,474,675 | |
| | | | | | | | | | |
|
| | France — 6.1% | |
| | | | | | French Republic Government Bonds OAT: | | | | |
| | 900,000 | EUR | | | | 3.250% due 5/25/45 | | | 1,725,643 | |
| | 4,500,000 | EUR | | | | 2.000% due 5/25/48(b)(c) | | | 7,162,725 | |
| | | | | | | | | | |
| | | | | | Total France | | | 8,888,368 | |
| | | | | | | | | | |
|
| | Ireland — 1.0% | |
| | 1,000,000 | EUR | | | | Ireland Government Bonds, 5.400% due 3/13/25 | | | 1,459,441 | |
| | | | | | | | | | |
|
| | Israel — 0.2% | |
| $ | 200,000 | | | | | Israel Government International Bonds, 3.250% due 1/17/28 | | | 220,830 | |
| | | | | | | | | | |
|
| | Italy — 3.8% | |
| | | | | | Italy Buoni Poliennali Del Tesoro: | | | | |
| | 700,000 | EUR | | | | 2.500% due 11/15/25 | | | 858,086 | |
| | 700,000 | EUR | | | | 2.100% due 7/15/26 | | | 841,373 | |
| | 1,300,000 | EUR | | | | 3.000% due 8/1/29 | | | 1,694,487 | |
| | 1,100,000 | EUR | | | | 3.450% due 3/1/48(b) | | | 1,598,756 | |
| | 400,000 | GBP | | | | Republic of Italy Government International Bonds, 6.000% due 8/4/28 | | | 621,531 | |
| | | | | | | | | | |
| | | | | | Total Italy | | | 5,614,233 | |
| | | | | | | | | | |
|
| | Japan — 19.5% | |
| | | | | | Development Bank of Japan Inc.: | | | | |
| | 200,000 | | | | | 2.000% due 10/19/21 | | | 200,581 | |
| | 1,200,000 | | | | | 2.500% due 10/18/22 | | | 1,225,723 | |
| | | | | | Japan Bank for International Cooperation: | | | | |
| | 200,000 | | | | | 2.375% due 7/21/22 | | | 203,743 | |
| | 200,000 | | | | | 3.250% due 7/20/23 | | | 211,303 | |
| | 200,000 | | | | | 3.375% due 10/31/23 | | | 212,953 | |
| | | | | | Japan Finance Organization for Municipalities: | | | | |
| | 500,000 | | | | | 2.125% due 4/13/21(b) | | | 501,851 | |
| | 200,000 | | | | | 2.625% due 4/20/22(b) | | | 204,191 | |
| | | | | | Japan Government Ten Year Bonds: | | | | |
| | 530,000,000 | JPY | | | | 0.100% due 3/20/29 | | | 5,182,022 | |
| | 120,000,000 | JPY | | | | 0.100% due 6/20/29 | | | 1,173,257 | |
| | | | | | Japan Government Thirty Year Bonds: | | | | |
| | 210,000,000 | JPY | | | | 1.700% due 9/20/44 | | | 2,759,600 | |
| | 310,000,000 | JPY | | | | 1.400% due 9/20/45 | | | 3,884,948 | |
See Notes to Financial Statements.
232
| | | | | | | | | | | | |
| International Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | | | | Security | | Value | |
|
| | Japan — 19.5% — (continued) | |
| | 202,000,000 | JPY | | | | | | 0.500% due 9/20/46 | | $ | 2,093,666 | |
| | 218,000,000 | JPY | | | | | | 0.700% due 12/20/48 | | | 2,382,974 | |
| | 140,000,000 | JPY | | | | | | 0.500% due 3/20/49 | | | 1,455,860 | |
| | | | | | | | Japan Government Twenty Year Bonds: | | | | |
| | 40,000,000 | JPY | | | | | | 2.200% due 9/20/28 | | | 464,085 | |
| | 400,000,000 | JPY | | | | | | 1.000% due 12/20/35 | | | 4,412,861 | |
| | 60,000,000 | JPY | | | | | | 0.400% due 3/20/36 | | | 606,220 | |
| | 110,983,400 | JPY | | | | | | Japanese Government CPI Linked Bonds, 0.100% due 3/10/28 | | | 1,093,378 | |
| $ | 400,000 | | | | | | | Tokyo Metropolitan Government, 2.000% due 5/17/21(b) | | | 400,109 | |
| | | | | | | | | | | | |
| | | | | | | | Total Japan | | | 28,669,325 | |
| | | | | | | | | | | | |
|
| | Kuwait — 0.7% | |
| | 900,000 | | | | | | | Kuwait International Government Bonds, 3.500% due 3/20/27(b) | | | 989,621 | |
| | | | | | | | | | | | |
|
| | Lithuania — 0.2% | |
| | 300,000 | | | | | | | Lithuania Government International Bonds, 6.125% due 3/9/21 | | | 318,021 | |
| | | | | | | | | | | | |
|
| | Malaysia — 0.6% | |
| | 3,800,000 | MYR | | | | | | Malaysia Government Bonds, 3.654% due 10/31/19 | | | 904,357 | |
| | | | | | | | | | | | |
|
| | Peru — 0.6% | |
| | | | | | | | Peruvian Government International Bonds: | | | | |
| | 1,300,000 | PEN | | | | | | 6.350% due 8/12/28(b) | | | 447,476 | |
| | 300,000 | PEN | | | | | | 5.940% due 2/12/29 | | | 100,616 | |
| | 400,000 | PEN | | | | | | 5.940% due 2/12/29(b) | | | 134,155 | |
| | 700,000 | PEN | | | | | | 6.950% due 8/12/31(b) | | | 252,755 | |
| | | | | | | | | | | | |
| | | | | | | | Total Peru | | | 935,002 | |
| | | | | | | | | | | | |
|
| | Poland — 0.5% | |
| | 2,700,000 | PLN | | | | | | Republic of Poland Government Bonds, 3.250% due 7/25/25 | | | 736,230 | |
| | | | | | | | | | | | |
|
| | Qatar — 1.3% | |
| | | | | | | | Qatar Government International Bonds: | | | | |
| | 200,000 | | | | | | | 4.500% due 1/20/22 | | | 211,613 | |
| | 1,000,000 | | | | | | | 3.875% due 4/23/23(b) | | | 1,066,150 | |
| | 500,000 | | | | | | | 4.500% due 4/23/28(b) | | | 586,563 | |
| | | | | | | | | | | | |
| | | | | | | | Total Qatar | | | 1,864,326 | |
| | | | | | | | | | | | |
|
| | Saudi Arabia — 0.8% | |
| | 1,200,000 | | | | | | | Saudi Government International Bonds, 2.375% due 10/26/21 | | | 1,210,358 | |
| | | | | | | | | | | | |
|
| | Slovenia — 0.2% | |
| | 250,000 | | | | | | | Slovenia Government International Bonds, 5.250% due 2/18/24 | | | 284,213 | |
| | | | | | | | | | | | |
| | | |
| | Spain — 7.6% | | | | | | | | | | | |
| | | | | | | | Autonomous Community of Catalonia: | | | | |
| | 500,000 | EUR | | | | | | 4.950% due 2/11/20 | | | 561,242 | |
| | 100,000 | EUR | | | | | | 4.900% due 9/15/21 | | | 119,577 | |
| | 100,000 | EUR | | | | | | 4.220% due 4/26/35 | | | 137,804 | |
| | | | | | | | Spain Government Bonds: | | | | |
| | 300,000 | EUR | | | | | | 0.250% due 7/30/24(b) | | | 339,866 | |
| | 3,000,000 | EUR | | | | | | 1.450% due 10/31/27(b)(c) | | | 3,709,768 | |
| | 1,500,000 | EUR | | | | | | 1.400% due 7/30/28(b)(c) | | | 1,853,536 | |
| | 1,300,000 | EUR | | | | | | 1.450% due 4/30/29(b) | | | 1,619,195 | |
| | 1,100,000 | EUR | | | | | | 0.600% due 10/31/29(b) | | | 1,270,284 | |
| | 900,000 | EUR | | | | | | 2.900% due 10/31/46(b) | | | 1,453,311 | |
| | 100,000 | EUR | | | | | | 2.700% due 10/31/48(b) | | | 157,450 | |
| | | | | | | | | | | | |
| | | | | | | | Total Spain | | | 11,222,033 | |
| | | | | | | | | | | | |
See Notes to Financial Statements.
233
| | | | | | | | | | |
| International Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | | | Security | | Value | |
|
| | United Arab Emirates — 0.4% | |
| | | | | | Abu Dhabi Government International Bonds: | | | | |
| $ | 300,000 | | | | | 2.500% due 10/11/22(b) | | $ | 305,088 | |
| | 200,000 | | | | | 3.125% due 10/11/27(b) | | | 216,951 | |
| | | | | | | | | | |
| | | | | | Total United Arab Emirates | | | 522,039 | |
| | | | | | | | | | |
|
| | United Kingdom — 2.6% | |
| | | | | | United Kingdom Gilt: | | | | |
| | 1,400,000 | GBP | | | | 3.250% due 1/22/44(c) | | | 2,529,349 | |
| | 700,000 | GBP | | | | 3.500% due 1/22/45(c) | | | 1,326,949 | |
| | | | | | | | | | |
| | | | | | Total United Kingdom | | | 3,856,298 | |
| | | | | | | | | | |
| | | | | | TOTAL SOVEREIGN BONDS
(Cost — $70,887,299) | | | 79,446,049 | |
| | | | | | | | | | |
|
| | CORPORATE BONDS & NOTES — 30.4% | |
|
| | Canada — 0.6% | |
| | 100,000 | | | | | Enbridge Inc., Company Guaranteed Notes, 3.110%(3-MonthUSD-LIBOR + 0.700%) due 6/15/20(a) | | | 100,286 | |
| | 100,000 | EUR | | | | Fairfax Financial Holdings Ltd., Senior Unsecured Notes, 2.750% due 3/29/28(b) | | | 122,650 | |
| | 300,000 | | | | | HSBC Bank Canada, Covered Notes, 3.300% due 11/28/21(b) | | | 309,637 | |
| | 400,000 | | | | | Toronto-Dominion Bank (The), Covered Notes, 2.100% due 7/15/22(b) | | | 404,656 | |
| | | | | | | | | | |
| | | | | | Total Canada | | | 937,229 | |
| | | | | | | | | | |
|
| | Cayman Islands — 1.4% | |
| | 300,000 | | | | | CK Hutchison International 17 Ltd., Company Guaranteed Notes, 2.875% due 4/5/22(b) | | | 303,707 | |
| | | | | | KSA Sukuk Ltd., Senior Unsecured Notes: | | | | |
| | 200,000 | | | | | 2.894% due 4/20/22(b) | | | 205,110 | |
| | 500,000 | | | | | 4.303% due 1/19/29(b) | | | 572,526 | |
| | 200,000 | | | | | Sands China Ltd., Senior Unsecured Notes, 5.400% due 8/8/28 | | | 231,322 | |
| | 723,559 | | | | | US Capital Funding II Ltd./US Capital Funding II Corp., Asset Backed, 3.003%(3-MonthUSD-LIBOR + 0.750%) due 8/1/34(a)(b) | | | 688,322 | |
| | | | | | | | | | |
| | | | | | Total Cayman Islands | | | 2,000,987 | |
| | | | | | | | | | |
|
| | Denmark — 4.1% | |
| | | | | | Jyske Realkredit AS, Covered Notes: | | | | |
| | 2,295,532 | DKK | | | | 1.500% due 10/1/37 | | | 347,152 | |
| | 5,463,865 | DKK | | | | 2.000% due 10/1/47 | | | 822,753 | |
| | 2,701 | DKK | | | | 3.000% due 10/1/47 | | | 417 | |
| | 997,584 | DKK | | | | 1.500% due 10/1/50 | | | 150,908 | |
| | | | | | Nordea Kredit Realkreditaktieselskab, Covered Notes: | | | | |
| | 943,671 | DKK | | | | 1.500% due 10/1/37 | | | 143,337 | |
| | 216,399 | DKK | | | | 2.500% due 10/1/37 | | | 33,220 | |
| | 1 | DKK | | | | 2.000% due 10/1/47 | | | — | |
| | 19,967 | DKK | | | | 2.500% due 10/1/47 | | | 3,038 | |
| | 2,200,000 | DKK | | | | 1.000% due 10/1/50 | | | 329,570 | |
| | 400,000 | DKK | | | | 1.500% due 10/1/50 | | | 60,315 | |
| | 924,746 | DKK | | | | 2.000% due 10/1/50 | | | 139,780 | |
| | | | | | Nykredit Realkredit AS, Covered Notes: | | | | |
| | 84,463 | DKK | | | | 2.500% due 10/1/36 | | | 12,966 | |
| | 1 | DKK | | | | 2.000% due 7/1/37 | | | — | |
| | 529,139 | DKK | | | | 1.500% due 10/1/37 | | | 80,314 | |
| | 3,081,634 | DKK | | | | 2.000% due 10/1/47 | | | 464,671 | |
| | 11,309 | DKK | | | | 2.500% due 10/1/47 | | | 1,721 | |
| | 6,700,000 | DKK | | | | 1.000% due 10/1/50 | | | 1,001,534 | |
| | 15,668,993 | DKK | | | | 1.500% due 10/1/50 | | | 2,368,408 | |
See Notes to Financial Statements.
234
| | | | | | | | | | |
| International Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | | | Security | | Value | |
|
| | Denmark — 4.1% — (continued) | |
| | | | | | Realkredit Danmark AS, Covered Notes: | | | | |
| | 74,016 | DKK | | | | 2.500% due 4/1/36 | | $ | 11,367 | |
| | 1 | DKK | | | | 2.000% due 10/1/37 | | | — | |
| | 45,523 | DKK | | | | 2.500% due 7/1/47 | | | 6,931 | |
| | 1 | DKK | | | | 2.000% due 10/1/47 | | | — | |
| | | | | | | | | | |
| | | | | | Total Denmark | | | 5,978,402 | |
| | | | | | | | | | |
|
| | France — 1.2% | |
| | 100,000 | GBP | | | | BNP Paribas SA, Senior Unsecured Notes, 3.375% due 1/23/26 | | | 133,156 | |
| $ | 250,000 | | | | | Credit Agricole SA, Senior Unsecured Notes, 3.750% due 4/24/23(b) | | | 261,986 | |
| | 700,000 | | | | | Danone SA, Senior Unsecured Notes, 2.077% due 11/2/21(b) | | | 698,513 | |
| | | | | | Dexia Credit Local SA, Government Liquid Guaranteed Notes: | | | | |
| | 500,000 | | | | | 1.875% due 9/15/21(b) | | | 501,052 | |
| | 250,000 | | | | | 2.375% due 9/20/22(b) | | | 254,636 | |
| | | | | | | | | | |
| | | | | | Total France | | | 1,849,343 | |
| | | | | | | | | | |
|
| | Germany — 1.7% | |
| | 400,000 | | | | | Aareal Bank AG, Pfandbriefe, 2.625% due 7/15/21 | | | 405,654 | |
| | | | | | Deutsche Bank AG, Senior Unsecured Notes: | | | | |
| | 400,000 | | | | | 3.093%(3-MonthUSD-LIBOR + 0.815%) due 1/22/21(a) | | | 395,485 | |
| | 100,000 | | | | | 3.150% due 1/22/21 | | | 99,677 | |
| | 800,000 | | | | | 4.250% due 10/14/21 | | | 813,793 | |
| | 300,000 | | | | | IHO Verwaltungs GmbH, Senior Secured Notes, 6.000% (6.000% cash or 6.750% PIK) due 5/15/27(b)(d) | | | 301,500 | |
| | 400,000 | EUR | | | | Volkswagen Leasing GmbH, Company Guaranteed Notes, 0.096%(3-Month EURIBOR + 0.450%) due 7/6/21(a) | | | 439,912 | |
| | | | | | | | | | |
| | | | | | Total Germany | | | 2,456,021 | |
| | | | | | | | | | |
|
| | Ireland — 1.3% | |
| | 800,000 | | | | | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Company Guaranteed Notes, 4.625% due 10/30/20 | | | 819,586 | |
| | 200,000 | EUR | | | | Bank of Ireland, Junior Subordinated Notes, 7.375%(5-Year EUR Swap Rate + 6.956%)(a)(e) | | | 229,887 | |
| | 400,000 | | | | | GE Capital International Funding Co. Unlimited Co., Company Guaranteed Notes, 2.342% due 11/15/20 | | | 397,391 | |
| | 200,000 | | | | | Shire Acquisitions Investments Ireland DAC, Company Guaranteed Notes, 2.400% due 9/23/21 | | | 200,678 | |
| | 200,000 | | | | | SMBC Aviation Capital Finance DAC, Company Guaranteed Notes, 3.000% due 7/15/22(b) | | | 203,453 | |
| | | | | | | | | | |
| | | | | | Total Ireland | | | 1,850,995 | |
| | | | | | | | | | |
|
| | Italy — 0.3% | |
| | 400,000 | EUR | | | | Banca Carige SpA, Covered Notes, 1.327%(3-Month EURIBOR + 1.700%) due 10/25/21(a) | | | 444,872 | |
| | | | | | | | | | |
|
| | Japan — 1.4% | |
| | | | | | Central Nippon Expressway Co., Ltd., Senior Unsecured Notes: | | | | |
| | 800,000 | | | | | 2.827%(3-MonthUSD-LIBOR + 0.540%) due 8/4/20(a) | | | 801,200 | |
| | 200,000 | | | | | 2.091% due 9/14/21 | | | 199,421 | |
| | 400,000 | | | | | Chugoku Electric Power Co., Inc. (The), Senior Secured Notes, 2.701% due 3/16/20 | | | 400,601 | |
| | 200,000 | | | | | Mizuho Bank Ltd., Company Guaranteed Notes, 2.400% due 3/26/20(b) | | | 200,302 | |
| | 400,000 | | | | | NTT Finance Corp., Senior Unsecured Notes, 1.900% due 7/21/21 | | | 398,204 | |
| | | | | | | | | | |
| | | | | | Total Japan | | | 1,999,728 | |
| | | | | | | | | | |
|
| | Jersey Channel Islands — 0.2% | |
| | 300,000 | GBP | | | | Kennedy Wilson Europe Real Estate Ltd., Senior Unsecured Notes, 3.950% due 6/30/22 | | | 377,166 | |
| | | | | | | | | | |
|
| | Luxembourg — 0.2% | |
| | 100,000 | | | | | Allergan Funding SCS, Company Guaranteed Notes, 3.450% due 3/15/22 | | | 102,751 | |
| | 200,000 | | | | | NORD/LB Luxembourg SA Covered Bonds Bank, Covered Notes, 2.875% due 2/16/21 | | | 202,724 | |
| | | | | | | | | | |
| | | | | | Total Luxembourg | | | 305,475 | |
| | | | | | | | | | |
See Notes to Financial Statements.
235
| | | | | | | | | | |
| International Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | | | Security | | Value | |
|
| | Netherlands — 2.6% | |
| $ | 400,000 | | | | | BMW Finance NV, Company Guaranteed Notes, 2.250% due 8/12/22(b) | | $ | 401,045 | |
| | 700,000 | CAD | | | | BNG Bank NV, Senior Unsecured Notes, 2.125% due 10/1/19(b) | | | 526,616 | |
| | | | | | Cooperatieve Rabobank UA: | | | | |
| | 300,000 | EUR | | | | Junior Subordinated Notes, 5.500%(5-Year EUR Swap Rate + 5.250%)(a)(e) | | | 342,491 | |
| | 300,000 | EUR | | | | Senior Unsecured Notes, 6.875% due 3/19/20 | | | 341,907 | |
| | | | | | ING Bank NV: | | | | |
| | 300,000 | EUR | | | | Senior Unsecured Notes, 0.375% due 11/26/21 | | | 335,057 | |
| | 600,000 | | | | | Covered Notes, 2.625% due 12/5/22(b) | | | 616,846 | |
| | | | | | Petrobras Global Finance BV, Company Guaranteed Notes: | | | | |
| | 170,000 | | | | | 6.125% due 1/17/22 | | | 182,733 | |
| | 500,000 | | | | | 6.250% due 3/17/24 | | | 557,625 | |
| | 50,000 | EUR | | | | Stichting AK Rabobank Certificaten, Junior Subordinated Notes, 6.500%(e) | | | 68,443 | |
| | 400,000 | | | | | Syngenta Finance NV, Company Guaranteed Notes, 3.698% due 4/24/20(b) | | | 401,591 | |
| | | | | | | | | | |
| | | | | | Total Netherlands | | | 3,774,354 | |
| | | | | | | | | | |
|
| | Norway — 0.3% | |
| | 400,000 | | | | | DNB Boligkreditt AS, Covered Notes, 2.500% due 3/28/22(b) | | | 407,862 | |
| | | | | | | | | | |
|
| | Portugal — 0.1% | |
| | | | | | Banco Espirito Santo SA, Senior Unsecured Notes: | | | | |
| | 200,000 | EUR | | | | 4.750% due 1/15/18(f)(g) | | | 51,656 | |
| | 200,000 | EUR | | | | 4.000% due 1/21/19(f)(g) | | | 51,655 | |
| | | | | | | | | | |
| | | | | | Total Portugal | | | 103,311 | |
| | | | | | | | | | |
|
| | Singapore — 0.2% | |
| | 200,000 | | | | | BOC Aviation Ltd., Senior Unsecured Notes, 2.750% due 9/18/22(b) | | | 200,547 | |
| | 100,000 | | | | | DBS Bank Ltd., Covered Notes, 3.300% due 11/27/21(b) | | | 102,843 | |
| | | | | | | | | | |
| | | | | | Total Singapore | | | 303,390 | |
| | | | | | | | | | |
|
| | Supranational — 0.6% | |
| | | | | | European Investment Bank, Senior Unsecured Notes: | | | | |
| | 500,000 | AUD | | | | 0.500% due 6/21/23 | | | 328,328 | |
| | 800,000 | AUD | | | | 0.500% due 8/10/23 | | | 524,407 | |
| | | | | | | | | | |
| | | | | | Total Supranational | | | 852,735 | |
| | | | | | | | | | |
|
| | Sweden — 0.1% | |
| | 2,000,000 | SEK | | | | Sveriges Sakerstallda Obligationer AB, Covered Notes, 2.000% due 6/17/26 | | | 229,522 | |
| | | | | | | | | | |
|
| | Switzerland — 1.5% | |
| | | | | | Credit Suisse Group AG, Senior Unsecured Notes: | | | | |
| | 300,000 | | | | | 2.997%(3-MonthUSD-LIBOR + 1.200%) due 12/14/23(a)(b) | | | 304,287 | |
| | 250,000 | | | | | 4.282% due 1/9/28(b) | | | 272,349 | |
| | 250,000 | | | | | 3.869%(3-MonthUSD-LIBOR + 1.410%) due 1/12/29(a)(b) | | | 266,457 | |
| | | | | | UBS AG: | | | | |
| | 300,000 | | | | | Senior Unsecured Notes, 2.200% due 6/8/20(b) | | | 300,237 | |
| | | | | | Subordinated Notes: | | | | |
| | 250,000 | | | | | 7.625% due 8/17/22 | | | 282,286 | |
| | 400,000 | | | | | 5.125% due 5/15/24 | | | 431,598 | |
| | 400,000 | | | | | UBS Group Funding Switzerland AG, Company Guaranteed Notes, 3.108%(3-MonthUSD-LIBOR + 0.950%) due 8/15/23(a)(b) | | | 401,622 | |
| | | | | | | | | | |
| | | | | | Total Switzerland | | | 2,258,836 | |
| | | | | | | | | | |
|
| | United Kingdom — 6.3% | |
| | 400,000 | | | | | Barclays Bank PLC, Subordinated Notes, 7.625% due 11/21/22 | | | 441,286 | |
| | | | | | Barclays PLC: | | | | |
| | | | | | Junior Subordinated Notes: | | | | |
| | 700,000 | EUR | | | | 6.500%(5-Year EUR Swap Rate + 5.875%)(a)(e) | | | 772,065 | |
| | 400,000 | GBP | | | | 7.000%(5-Year GBP Swap Rate + 5.084%)(a)(e) | | | 488,214 | |
| | 600,000 | GBP | | | | 7.125%(5-Year UK Government Note Generic Bid Yield + 6.579%)(a)(e) | | | 756,527 | |
See Notes to Financial Statements.
236
| | | | | | | | | | |
| International Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | | | Security | | Value | |
|
| | United Kingdom — 6.3% — (continued) | |
| | | | | | Senior Unsecured Notes: | | | | |
| $ | 600,000 | | | | | 4.291%(3-MonthUSD-LIBOR + 2.110%) due 8/10/21(a) | | $ | 610,874 | |
| | 200,000 | | | | | 4.610%(3-MonthUSD-LIBOR + 1.400%) due 2/15/23(a) | | | 207,340 | |
| | 100,000 | | | | | British Telecommunications PLC, Senior Unsecured Notes, 9.625% due 12/15/30 | | | 153,230 | |
| | 200,000 | GBP | | | | Co-operative Group Holdings 2011 Ltd., Company Guaranteed Notes, step bond to yield, 6.875% due 7/8/20 | | | 254,852 | |
| | 100,000 | EUR | | | | FCE Bank PLC, Senior Unsecured Notes, 1.660% due 2/11/21 | | | 112,408 | |
| | | | | | HSBC Holdings PLC, Senior Unsecured Notes: | | | | |
| | 400,000 | | | | | 2.724%(3-MonthUSD-LIBOR + 0.600%) due 5/18/21(a) | | | 400,215 | |
| | 300,000 | | | | | 3.124%(3-MonthUSD-LIBOR + 1.000%) due 5/18/24(a) | | | 300,593 | |
| | 600,000 | | | | | Imperial Brands Finance PLC, Company Guaranteed Notes, 2.950% due 7/21/20(b) | | | 603,243 | |
| | 400,000 | | | | | Lloyds Bank PLC, Senior Unsecured Notes, 2.250% due 8/14/22 | | | 400,548 | |
| | 200,000 | GBP | | | | Marks & Spencer PLC, Senior Unsecured Notes, 3.000% due 12/8/23 | | | 252,058 | |
| | 200,000 | | | | | Nationwide Building Society, Senior Unsecured Notes, 3.766%(3-MonthUSD-LIBOR + 1.064%) due 3/8/24(a)(b) | | | 205,525 | |
| | 100,000 | GBP | | | | RAC Bonds Co. PLC, Senior Secured Notes, 4.870% due 5/6/26 | | | 120,188 | |
| | | | | | Royal Bank of Scotland Group PLC: | | | | |
| | 200,000 | | | | | Junior Subordinated Notes, 8.625%(5-Year USD Swap Rate + 7.598%)(a)(e) | | | 212,250 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 800,000 | | | | | 3.899%(3-MonthUSD-LIBOR + 1.550%) due 6/25/24(a) | | | 798,779 | |
| | 200,000 | | | | | 4.519%(3-MonthUSD-LIBOR + 1.550%) due 6/25/24(a) | | | 210,046 | |
| | | | | | Santander UK Group Holdings PLC, Senior Unsecured Notes: | | | | |
| | 400,000 | | | | | 4.796%(3-MonthUSD-LIBOR + 1.570%) due 11/15/24(a) | | | 428,381 | |
| | 600,000 | | | | | 3.823%(3-MonthUSD-LIBOR + 1.400%) due 11/3/28(a) | | | 618,254 | |
| | 97,550 | GBP | | | | Tesco Property Finance 4 PLC, Senior Secured Notes, 5.801% due 10/13/40 | | | 157,929 | |
| | 300,000 | GBP | | | | Virgin Media Secured Finance PLC, Senior Secured Notes, 4.875% due 1/15/27 | | | 382,240 | |
| | 300,000 | GBP | | | | Virgin Money PLC, Senior Unsecured Notes, 2.250% due 4/21/20 | | | 367,620 | |
| | | | | | | | | | |
| | | | | | Total United Kingdom | | | 9,254,665 | |
| | | | | | | | | | |
|
| | United States — 6.3% | |
| | 100,000 | | | | | American Honda Finance Corp., Senior Unsecured Notes, 2.637%(3-MonthUSD-LIBOR + 0.350%) due 11/5/21(a) | | | 100,192 | |
| | | | | | AT&T Inc., Senior Unsecured Notes: | | | | |
| | 300,000 | | | | | 2.888%(3-MonthUSD-LIBOR + 0.750%) due 6/1/21(a) | | | 301,489 | |
| | 300,000 | | | | | 3.253%(3-MonthUSD-LIBOR + 0.950%) due 7/15/21(a) | | | 302,514 | |
| | 300,000 | EUR | | | | 1.800% due 9/5/26 | | | 365,121 | |
| | 400,000 | | | | | Aviation Capital Group LLC, Senior Unsecured Notes, 3.082%(3-MonthUSD-LIBOR + 0.950%) due 6/1/21(a)(b) | | | 402,144 | |
| | 200,000 | | | | | Bank of America Corp., Junior Subordinated Notes, 5.875%(3-MonthUSD-LIBOR + 2.931%)(a)(e) | | | 217,620 | |
| | | | | | BAT Capital Corp., Company Guaranteed Notes: | | | | |
| | 100,000 | | | | | 2.765%(3-MonthUSD-LIBOR + 0.590%) due 8/14/20(a) | | | 100,214 | |
| | 100,000 | | | | | 3.222% due 8/15/24 | | | 102,820 | |
| | 100,000 | | | | | 3.557% due 8/15/27 | | | 102,547 | |
| | 100,000 | | | | | 4.390% due 8/15/37 | | | 100,792 | |
| | 200,000 | | | | | Campbell Soup Co., Senior Unsecured Notes, 3.650% due 3/15/23 | | | 208,427 | |
| | | | | | Charter Communications Operating LLC/Charter Communications Operating Capital, Senior Secured Notes: | | | | |
| | 250,000 | | | | | 3.579% due 7/23/20 | | | 252,414 | |
| | 700,000 | | | | | 4.464% due 7/23/22 | | | 738,931 | |
| | 400,000 | | | | | Comcast Corp., Company Guaranteed Notes, 2.759%(3-MonthUSD-LIBOR + 0.440%) due 10/1/21(a) | | | 401,063 | |
| | 300,000 | | | | | Daimler Finance North America LLC, Company Guaranteed Notes, 2.611%(3-MonthUSD-LIBOR + 0.430%) due 2/12/21(a)(b) | | | 299,681 | |
| | 250,000 | | | | | Dell International LLC/EMC Corp., Senior Secured Notes, 4.420% due 6/15/21(b) | | | 257,903 | |
See Notes to Financial Statements.
237
| | | | | | | | | | |
| International Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | | | Security | | Value | |
|
| | United States — 6.3% — (continued) | |
| $ | 200,000 | | | | | Dominion Energy Gas Holdings LLC, Senior Unsecured Notes, 3.010%(3-MonthUSD-LIBOR + 0.600%) due 6/15/21(a) | | $ | 200,917 | |
| | 400,000 | | | | | Duke Energy Corp., Senior Unsecured Notes, 3.101%(3-MonthUSD-LIBOR + 0.650%) due 3/11/22(a) | | | 401,966 | |
| | 200,000 | | | | | Emera US Finance LP, Company Guaranteed Notes, 2.700% due 6/15/21 | | | 201,496 | |
| | 200,000 | | | | | EPR Properties, Company Guaranteed Notes, 4.500% due 6/1/27 | | | 213,972 | |
| | 100,000 | | | | | Equifax Inc., Senior Unsecured Notes, 3.600% due 8/15/21 | | | 102,231 | |
| | | | | | Fidelity National Information Services Inc., Senior Unsecured Notes: | | | | |
| | 100,000 | EUR | | | | 0.400% due 1/15/21 | | | 110,905 | |
| | 100,000 | GBP | | | | 1.700% due 6/30/22 | | | 123,546 | |
| | 100,000 | EUR | | | | 0.750% due 5/21/23 | | | 113,436 | |
| | | | | | Ford Motor Credit Co. LLC, Senior Unsecured Notes: | | | | |
| | 200,000 | | | | | 2.597% due 11/4/19 | | | 199,958 | |
| | 200,000 | | | | | 2.681% due 1/9/20 | | | 200,054 | |
| | 100,000 | | | | | General Motors Financial Co., Inc., Company Guaranteed Notes, 3.161%(3-MonthUSD-LIBOR + 0.850%) due 4/9/21(a) | | | 100,004 | |
| | 400,000 | | | | | KLA Corp., Senior Unsecured Notes, 3.375% due 11/1/19 | | | 400,291 | |
| | 1,300,000 | | | | | Lehman Brothers Holdings Inc., Senior Unsecured Notes, zero coupon, due 12/28/17(g) | | | 18,363 | |
| | 100,000 | | | | | McDonald’s Corp., Senior Unsecured Notes, 2.686%(3-MonthUSD-LIBOR + 0.430%) due 10/28/21(a) | | | 99,922 | |
| | 400,000 | | | | | Navient Corp., Senior Unsecured Notes, 8.000% due 3/25/20 | | | 413,000 | |
| | 300,000 | | | | | Progress Energy Inc., Senior Unsecured Notes, 4.400% due 1/15/21 | | | 307,762 | |
| | 100,000 | | | | | Santander Holdings USA Inc., Senior Unsecured Notes, 3.400% due 1/18/23 | | | 102,931 | |
| | 100,000 | | | | | Spectra Energy Partners LP, Company Guaranteed Notes, 3.179%(3-MonthUSD-LIBOR + 0.700%) due 6/5/20(a) | | | 100,214 | |
| | | | | | Volkswagen Group of America Finance LLC, Company Guaranteed Notes: | | | | |
| | 300,000 | | | | | 2.946%(3-MonthUSD-LIBOR + 0.770%) due 11/13/20(a)(b) | | | 301,358 | |
| | 200,000 | | | | | 3.875% due 11/13/20(b) | | | 203,794 | |
| | 300,000 | | | | | 3.121%(3-MonthUSD-LIBOR + 0.940%) due 11/12/21(a)(b) | | | 301,673 | |
| | 200,000 | | | | | 4.000% due 11/12/21(b) | | | 207,274 | |
| | 300,000 | | | | | WEA Finance LLC/Westfield UK & Europe Finance PLC, Company Guaranteed Notes, 3.750% due 9/17/24(b) | | | 320,407 | |
| | 300,000 | | | | | Zimmer Biomet Holdings Inc., Senior Unsecured Notes, 3.150% due 4/1/22 | | | 306,395 | |
| | | | | | | | | | |
| | | | | | Total United States | | | 9,305,741 | |
| | | | | | | | | | |
| | | | | | TOTAL CORPORATE BONDS & NOTES
(Cost — $44,579,302) | | | 44,690,634 | |
| | | | | | | | | | |
|
| | MORTGAGE-BACKED SECURITIES — 24.3% | |
|
| | CMHC — 0.3% | |
| | | | | | Canadian Mortgage and Housing Corp. (CMHC): | | | | |
| | 143,919 | CAD | | | | 2.063% due 6/1/20 | | | 108,091 | |
| | 458,973 | CAD | | | | 2.263% due 7/1/20 — 8/1/20 | | | 345,298 | |
| | | | | | | | | | |
| | | | | | TOTAL CMHC | | | 453,389 | |
| | | | | | | | | | |
| |
| | FNMA — 24.0% | | | | |
| | | | | | Federal National Mortgage Association (FNMA): | | | | |
| | 36,502 | | | | | 4.783%(1-Year CMT Index + 2.360%) due 11/1/34(a) | | | 38,687 | |
| | 70,523 | | | | | 6.500% due 8/1/37 | | | 77,772 | |
| | 13,500,000 | | | | | 4.000% due 11/1/48(h) | | | 14,041,490 | |
| | 1,585,230 | | | | | 3.000% due 1/1/22 — 9/1/49 | | | 1,617,083 | |
| | 19,000,000 | | | | | 3.500% due 11/1/48 — 10/1/49(h) | | | 19,540,657 | |
| | | | | | | | | | |
| | | | | | TOTAL FNMA | | | 35,315,689 | |
| | | | | | | | | | |
See Notes to Financial Statements.
238
| | | | | | | | | | |
| International Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | | | Security | | Value | |
|
| | GNMA — 0.0% | |
| $ | 2,993 | | | | | Government National Mortgage Association II (GNMA), 6.000% due 9/20/38 | | $ | 3,229 | |
| | | | | | | | | | |
| | | | | | TOTAL MORTGAGE-BACKED SECURITIES
(Cost — $35,687,267) | | | 35,772,307 | |
| | | | | | | | | | |
|
| | COLLATERALIZED MORTGAGE OBLIGATIONS — 14.7% | |
| | 400,000 | | | | | ACE Securities Corp. Home Equity Loan Trust, Series2005-HE5, Class M4, 3.045%(1-MonthUSD-LIBOR + 0.900%) due 8/25/35(a) | | | 396,213 | |
| | 250,000 | EUR | | | | Adagio IV CLO Ltd., SeriesIV-A, Class A2R, 1.100% due 10/15/29(b) | | | 274,323 | |
| | 358,320 | GBP | | | | Aggregator of Loans Backed by Assets PLC, Series2015-1, Class A, 1.959%(1-MonthGBP-LIBOR + 1.250%) due 4/24/49(a) | | | 437,464 | |
| | 388,896 | GBP | | | | ALBA PLC, Series2007-1, Class A3, 0.956%(3-MonthGBP-LIBOR + 0.170%) due
3/17/39(a) | | | 447,339 | |
| | 400,000 | | | | | Apex Credit CLO 2016 Ltd., Series2016-1A, Class ASR, 3.306%(3-MonthUSD-LIBOR + 1.050%) due 10/27/28(a)(b) | | | 400,803 | |
| | 641,511 | | | | | Argent Mortgage Loan Trust, Series2005-W1, Class A1, 2.625%(1-MonthUSD-LIBOR + 0.480%) due 5/25/35(a) | | | 617,592 | |
| | 18,974 | | | | | Banc of America Funding Trust, Series2006-A, Class 1A1, 4.742% due 2/20/36(a) | | | 18,963 | |
| | 259,634 | | | | | Bayview Financial Asset Trust, Series 2007-SR1A, Class A, 2.927%(1-MonthUSD-LIBOR + 0.450%) due 3/25/37(a)(b) | | | 258,635 | |
| | | | | | Bear Stearns Adjustable Rate Mortgage Trust: | | | | |
| | 5,046 | | | | | Series2003-5, Class 1A2, 4.343% due 8/25/33(a) | | | 5,047 | |
| | 7,019 | | | | | Series2003-7, Class 6A, 4.586% due 10/25/33(a) | | | 7,200 | |
| | 20,426 | | | | | Series2004-2, Class 22A, 4.855% due 5/25/34(a) | | | 20,311 | |
| | 5,680 | | | | | Series2004-2, Class 23A, 3.442% due 5/25/34(a) | | | 5,331 | |
| | 79,806 | | | | | Bear Stearns Structured Products Inc. Trust, Series2007-R6, Class 1A1, 4.159% due
1/26/36(a) | | | 68,851 | |
| | 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)(b) | | | 274,732 | |
| | 120,719 | | | | | CHL Mortgage Pass-Through Trust, Series2007-19, Class 2A1, 6.500% due 11/25/47 | | | 100,567 | |
| | | | | | Countrywide Alternative Loan Trust: | | | | |
| | 6,879 | | | | | Series 2005-21CB, Class A3, 5.250% due 6/25/35 | | | 6,817 | |
| | 24,952 | | | | | Series 2007-16CB, Class 5A1, 6.250% due 8/25/37 | | | 20,908 | |
| | 33,072 | | | | | Series2007-7T2, Class A9, 6.000% due 4/25/37 | | | 22,637 | |
| | 47,244 | | | | | Series 2007-11T1, Class A12, 2.495%(1-MonthUSD-LIBOR + 0.350%) due 5/25/37(a) | | | 20,828 | |
| | | | | | Countrywide Asset-Backed Certificates: | | | | |
| | 198,841 | | | | | Series2006-18, Class 2A2, 2.305%(1-MonthUSD-LIBOR + 0.160%) due 3/25/37(a) | | | 197,711 | |
| | 91,487 | | | | | Series2007-12, Class 1A1, 2.885%(1-MonthUSD-LIBOR + 0.740%) due 8/25/47(a) | | | 90,728 | |
| | 762,021 | | | | | Series2007-13, Class 1A, 2.985%(1-MonthUSD-LIBOR + 0.840%) due 10/25/47(a) | | | 761,108 | |
| | 357,511 | | | | | Series 2007-SEA2, Class 1A1, 3.145%(1-MonthUSD-LIBOR + 1.000%) due 8/25/47(a)(b) | | | 355,054 | |
| | | | | | Countrywide Home Loan Mortgage Pass-Through Trust: | | | | |
| | 3,270 | | | | | Series2004-12, Class 11A1, 3.887% due 8/25/34(a) | | | 3,126 | |
| | 83,033 | | | | | Series2005-2, Class 1A1, 2.785%(1-MonthUSD-LIBOR + 0.640%) due 3/25/35(a) | | | 77,490 | |
| | 7,337 | | | | | Series2005-3, Class 2A1, 2.725%(1-MonthUSD-LIBOR + 0.580%) due 4/25/35(a) | | | 6,948 | |
| | 80,199 | | | | | Series2005-9, Class 1A3, 2.605%(1-MonthUSD-LIBOR + 0.460%) due 5/25/35(a) | | | 74,635 | |
| | 24,400 | | | | | Series2005-11, Class 3A1, 2.815% due 4/25/35(a) | | | 22,566 | |
| | 25,861 | | | | | Series 2005-HYB9, Class 3A2A, 4.592%(1-YearUSD-LIBOR + 1.750%) due 2/20/36(a) | | | 22,982 | |
| | 760,522 | | | | | Series2007-4, Class 1A47, 6.000% due 5/25/37 | | | 589,100 | |
| | 530,363 | | | | | Credit Suisse Mortgage Capital Certificates, Series2007-NC1, Class 2A1, 2.745%(1-MonthUSD-LIBOR + 0.600%) due 9/25/37(a) | | | 520,032 | |
| | 36,938 | | | | | Credit Suisse Mortgage Capital Trust, Series2007-5R, Class A5, 6.500% due 7/26/36 | | | 17,759 | |
| | 400,000 | | | | | Crown Point CLO 6 Ltd., Series2018-6A, Class A1, 3.448%(3-MonthUSD-LIBOR + 1.170%) due 10/20/28(a)(b) | | | 400,024 | |
| | 161,802 | | | | | CSAB Mortgage-Backed Trust, Series2006-4, Class A6A, step bond to yield, 5.684% due 12/25/36 | | | 64,304 | |
| | 639,310 | | | | | DeutscheAlternative-A Securities Mortgage Loan Trust, Series2007-3, Class 2A1, 2.895%(1-MonthUSD-LIBOR + 0.750%) due 10/25/47(a) | | | 614,346 | |
See Notes to Financial Statements.
239
| | | | | | | | | | |
| International Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | | | Security | | Value | |
|
| | COLLATERALIZED MORTGAGE OBLIGATIONS — 14.7% — (continued) | |
| | 300,000 | EUR | | | | Dryden 46 Euro CLO 2016 BV, Series2016-46A, Class A1R, 0.880%(3-Month EURIBOR + 0.880%) due 1/15/30(a)(b) | | $ | 330,269 | |
| $ | 687,286 | | | | | Ellington Loan Acquisition Trust, Series2007-2, Class A1, 3.195%(1-MonthUSD-LIBOR + 1.050%) due 5/25/37(a)(b) | | | 687,710 | |
| | 193,313 | GBP | | | | Eurohome UK Mortgages PLC, Series2007-1, Class A, 0.936%(3-MonthGBP-LIBOR + 0.150%) due 6/15/44(a) | | | 226,084 | |
| | 401,035 | GBP | | | | Eurosail-UK PLC, Series2007-4X, Class A3, 1.739%(3-MonthGBP-LIBOR + 0.950%) due 6/13/45(a) | | | 484,591 | |
| | 100,000 | | | | | Evans Grove CLO Ltd., Series2018-1A, Class A1, 3.064%(3-MonthUSD-LIBOR + 0.920%) due 5/28/28(a)(b) | | | 99,107 | |
| | | | | | Federal Home Loan Mortgage Corp. (FHLMC): | | | | |
| | 27,414 | | | | | SeriesT-35, Class A, 2.546%(1-MonthUSD-LIBOR + 0.140%) due 9/25/31(a) | | | 27,151 | |
| | 38,767 | | | | | SeriesT-62, Class 1A1, 3.681%(1-Year Treasury Average Rate + 1.200%) due 10/25/44(a) | | | 39,202 | |
| | | | | | Federal Home Loan Mortgage Corp. (FHLMC), REMICS: | | | | |
| | 31,730 | | | | | Series 2391, Class FJ, 2.695%(1-MonthUSD-LIBOR + 0.500%) due 4/15/28(a) | | | 31,622 | |
| | 51,539 | | | | | Series 2614, Class SJ, 13.626% (19.663% - 2.75% x 1-Month USD-LIBOR) due 5/15/33(a) | | | 69,993 | |
| | 206,246 | | | | | Series 4579, Class FD, 2.752%(1-MonthUSD-LIBOR + 0.350%) due 1/15/38(a) | | | 205,166 | |
| | 206,246 | | | | | Series 4579, Class SD, 1.994% due 1/15/38(a)(i) | | | 14,317 | |
| | 6,547 | | | | | Federal National Mortgage Association (FNMA), Grantor Trust, Series2004-T3, Class 1A1, 6.000% due 2/25/44 | | | 7,546 | |
| | | | | | Federal National Mortgage Association (FNMA), REMICS: | | | | |
| | 6,542 | | | | | Series2003-34, Class A1, 6.000% due 4/25/43 | | | 7,514 | |
| | 13,986 | | | | | Series2006-48, Class TF, 2.545%(1-MonthUSD-LIBOR + 0.400%) due 6/25/36(a) | | | 14,009 | |
| | 104,548 | | | | | Series2009-104, Class FA, 2.945%(1-MonthUSD-LIBOR + 0.800%) due 12/25/39(a) | | | 106,547 | |
| | 46,329 | | | | | Federal National Mortgage Association (FNMA), REMICS Trust, Series2004-W12, Class 1A1, 6.000% due 7/25/44 | | | 52,441 | |
| | 323,821 | | | | | Figueroa CLO Ltd., Series2014-1A, Class AR, 3.203%(3-MonthUSD-LIBOR + 0.900%) due 1/15/27(a)(b) | | | 323,626 | |
| | 228,431 | | | | | First Franklin Mortgage Loan Trust, Series2005-FF9, Class A4, 2.505%(1-MonthUSD-LIBOR + 0.360%) due 10/25/35(a) | | | 228,150 | |
| | 89,328 | | | | | Flagship VII Ltd., Series2013-7A, Class A1R, 3.398%(3-MonthUSD-LIBOR + 1.120%) due 1/20/26(a)(b) | | | 89,398 | |
| | 40,121 | | | | | GMACM Mortgage Loan Trust, Series2005-AR6, Class 3A1, 4.144% due 11/19/35(a) | | | 38,564 | |
| | 428,432 | | | | | Government National Mortgage Association, Series2016-H15, Class FA, 3.180%(1-MonthUSD-LIBOR + 0.800%) due 7/20/66(a) | | | 431,673 | |
| | | | | | GSR Mortgage Loan Trust: | | | | |
| | 10,741 | | | | | Series2003-1, Class A2, 4.300%(1-Year CMT Index + 1.750%) due 3/25/33(a) | | | 10,890 | |
| | 182,656 | | | | | Series2005-AR7, Class 2A1, 4.678% due 11/25/35(a) | | | 184,217 | |
| | | | | | Harborview Mortgage Loan Trust: | | | | |
| | 21,464 | | | | | Series2005-2, Class 2A1A, 2.622%(1-MonthUSD-LIBOR + 0.440%) due 5/19/35(a) | | | 20,854 | |
| | 49,979 | | | | | Series2005-3, Class 2A1A, 2.662%(1-MonthUSD-LIBOR + 0.480%) due 6/19/35(a) | | | 50,314 | |
| | 95,732 | | | | | Series2006-SB1, Class A1A, 3.331%(1-Year Treasury Average Rate + 0.850%) due
12/19/36(a) | | | 95,275 | |
| | 113,850 | | | | | Series2007-1, Class 2A1A, 2.312%(1-MonthUSD-LIBOR + 0.130%) due 3/19/37(a) | | | 109,496 | |
| | 500,000 | GBP | | | | Hawksmoor Mortgages, Series2019-1A, Class A, (Sterling Overnight Index Average + 1.050%) due 5/25/53(a)(b) | | | 609,913 | |
| | | | | | JPMorgan Mortgage Trust: | | | | |
| | 4,607 | | | | | Series2003-A2, Class 3A1, 4.282% due 11/25/33(a) | | | 4,754 | |
| | 1,816 | | | | | Series2005-A1, Class 6T1, 4.721% due 2/25/35(a) | | | 1,837 | |
| | 54,463 | | | | | JPMorgan Resecuritization Trust, Series2009-7, Class 17A1, 5.434% due 7/27/37(a)(b) | | | 55,159 | |
| | 541,994 | GBP | | | | Ludgate Funding PLC, Series2007-1, Class A2A, 0.940%(3-MonthGBP-LIBOR + 0.160%) due 1/1/61(a) | | | 618,851 | |
| | 5,289 | | | | | Merrill Lynch Mortgage Investors Trust, Series2003-A2, Class 1A1, 4.436% due 2/25/33(a) | | | 5,166 | |
| | 400,000 | | | | | Monarch Grove CLO, Series2018-1A, Class A1, 3.156%(3-MonthUSD-LIBOR + 0.880%) due 1/25/28(a)(b) | | | 398,468 | |
See Notes to Financial Statements.
240
| | | | | | | | | | |
| International Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | | | Security | | Value | |
|
| | COLLATERALIZED MORTGAGE OBLIGATIONS — 14.7% — (continued) | |
| | 670,978 | GBP | | | | Newgate Funding PLC, Series2007-1X, Class A3, 0.953%(3-MonthGBP-LIBOR + 0.160%) due 12/1/50(a) | | $ | 772,091 | |
| $ | 400,000 | | | | | NovaStar Mortgage Funding Trust, Series2006-1, Class A2D, 2.685%(1-MonthUSD-LIBOR + 0.540%) due 5/25/36(a) | | | 375,641 | |
| | 95,709 | | | | | Option One Mortgage Loan Trust, Series2007-CP1, Class 1A1, 2.285%(1-MonthUSD-LIBOR + 0.140%) due 3/25/37(a) | | | 87,405 | |
| | 192,692 | | | | | RAAC Trust, Series2007-SP3, Class A1, 3.345%(1-MonthUSD-LIBOR + 1.200%) due 9/25/47(a) | | | 194,271 | |
| | 59,436 | | | | | RALI Trust, Series2007-QO2, Class A1, 2.295%(1-MonthUSD-LIBOR + 0.150%) due 2/25/47(a) | | | 33,825 | |
| | 88,810 | CAD | | | | Real Estate Asset Liquidity Trust, Series2018-1A, Class A1, 3.072% due 8/12/53(b) | | | 68,112 | |
| | | | | | Residential Asset Securitization Trust: | | | | |
| | 18,007 | | | | | Series2005-A15, Class 5A1, 5.750% due 2/25/36 | | | 12,614 | |
| | 46,801 | | | | | Series2006-R1, Class A2, 2.545%(1-MonthUSD-LIBOR + 0.400%) due 1/25/46(a) | | | 20,358 | |
| | 210,620 | GBP | | | | Residential Mortgage Securities 28 PLC, Series 28, Class A, 1.936%(3-MonthGBP-LIBOR + 1.150%) due 6/15/46(a) | | | 256,857 | |
| | 259,803 | GBP | | | | ResLoC UK PLC, Series2007-1X, Class A3B, 0.946%(3-MonthGBP-LIBOR + 0.160%) due 12/15/43(a) | | | 298,451 | |
| | | | | | RMAC Securities No 1 PLC: | | | | |
| | 252,503 | GBP | | | | Series 2006-NS1X, Class A2A, 0.943%(3-MonthGBP-LIBOR + 0.150%) due 6/12/44(a) | | | 292,541 | |
| | 474,228 | GBP | | | | Series 2006-NS3X, Class A2A, 0.943%(3-MonthGBP-LIBOR + 0.150%) due 6/12/44(a) | | | 547,562 | |
| | | | | | Soundview Home Loan Trust: | | | | |
| | 254,548 | | | | | Series2006-3, Class A3, 2.305%(1-MonthUSD-LIBOR + 0.160%) due 11/25/36(a) | | | 252,187 | |
| | 1,300,000 | | | | | Series2006-3, Class A4, 2.395%(1-MonthUSD-LIBOR + 0.250%) due 11/25/36(a) | | | 1,218,615 | |
| | | | | | Structured Adjustable Rate Mortgage Loan Trust: | | | | |
| | 6,910 | | | | | Series2004-1, Class 4A1, 4.442% due 2/25/34(a) | | | 6,949 | |
| | 21,829 | | | | | Series2004-4, Class 3A2, 4.707% due 4/25/34(a) | | | 22,674 | |
| | 36,649 | | | | | Series2004-19, Class 2A1, 3.881%(1-Year Treasury Average Rate + 1.400%) due
1/25/35(a) | | | 35,843 | |
| | | | | | Structured Asset Mortgage Investments II Trust: | | | | |
| | 50,297 | | | | | Series2005-AR2, Class 2A1, 2.605%(1-MonthUSD-LIBOR + 0.460%) due 5/25/45(a) | | | 50,206 | |
| | 61,256 | | | | | Series2005-AR8, Class A1A, 2.425%(1-MonthUSD-LIBOR + 0.280%) due 2/25/36(a) | | | 59,075 | |
| | 43,838 | | | | | Series2006-AR5, Class 1A1, 2.355%(1-MonthUSD-LIBOR + 0.210%) due 5/25/36(a) | | | 41,636 | |
| | 216,853 | | | | | Series2007-AR4, Class A3, 2.365%(1-MonthUSD-LIBOR + 0.220%) due 9/25/47(a) | | | 212,791 | |
| | 96,299 | | | | | Series2007-AR6, Class A1, 3.981%(1-Year Treasury Average Rate + 1.500%) due 8/25/47(a) | | | 95,459 | |
| | 63,856 | | | | | Structured Asset Securities Corp., Series2006-RF1, Class 1A, 2.425%(1-MonthUSD-LIBOR + 0.280%) due 1/25/36(a)(b) | | | 59,033 | |
| | 18,682 | | | | | Structured Asset Securities Corp. Trust, Series2005-10, Class 4A1, 5.500% due 12/25/34 | | | 18,821 | |
| | 681,730 | | | | | Symphony CLO XII Ltd., Series2013-12A, Class AR, 3.333%(3-MonthUSD-LIBOR + 1.030%) due 10/15/25(a)(b) | | | 682,199 | |
| | 400,000 | | | | | THL Credit Wind River CLO Ltd., Series2012-1A, Class AR2, 3.183%(3-MonthUSD-LIBOR + 0.880%) due 1/15/26(a)(b) | | | 400,018 | |
| | 300,000 | EUR | | | | Tikehau CLO II BV, Series 2A, Class AR, 0.880%(3-Month EURIBOR + 0.880%) due 12/7/29(a)(b) | | | 330,113 | |
| | 400,000 | EUR | | | | Toro European CLO 2 DAC, Series 2A, Class AR, 0.900%(3-MonthEUR-LIBOR + 0.900%) due 10/15/30(a)(b) | | | 439,649 | |
| | 400,000 | | | | | Tralee CLO V Ltd., Series2018-5A, Class A1, 3.388%(3-MonthUSD-LIBOR + 1.110%) due 10/20/28(a)(b) | | | 399,079 | |
| | 400,000 | | | | | Venture XVI CLO Ltd., Series2014-16A, Class ARR, 3.153%(3-MonthUSD-LIBOR + 0.850%) due 1/15/28(a)(b) | | | 399,995 | |
| | 100,000 | | | | | Venture XVII CLO Ltd., Series2014-17A, Class ARR, 3.183%(3-MonthUSD-LIBOR + 0.880%) due 4/15/27(a)(b) | | | 99,647 | |
See Notes to Financial Statements.
241
| | | | | | | | | | |
| International Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | | | Security | | Value | |
|
| | COLLATERALIZED MORTGAGE OBLIGATIONS — 14.7% — (continued) | |
| | | | | | WaMu Mortgage Pass-Through Certificates Trust: | | | | |
| $ | 11,625 | | | | | Series2002-AR9, Class 1A, 3.881%(1-Year Treasury Average Rate + 1.400%) due
8/25/42(a) | | $ | 11,391 | |
| | 2,850 | | | | | Series2003-AR5, Class A7, 4.684% due 6/25/33(a) | | | 2,941 | |
| | 192,866 | | | | | Series2003-AR9, Class 2A, 4.462% due 9/25/33(a) | | | 198,431 | |
| | 272,697 | | | | | Series2004-AR1, Class A, 4.864% due 3/25/34(a) | | | 279,633 | |
| | 38,894 | | | | | Series 2005-AR13, Class A1A1, 2.556%(1-MonthUSD-LIBOR + 0.290%) due 10/25/45(a) | | | 38,906 | |
| | 42,706 | | | | | Series 2006-AR10, Class 2A1, 3.939% due 9/25/36(a) | | | 41,477 | |
| | 75,586 | | | | | Series 2006-AR13, Class 2A, 2.641% (11th District Cost of Funds Index + 1.500%) due 10/25/46(a) | | | 73,426 | |
| | 22,601 | | | | | Washington Mutual Mortgage Pass-Through Certificates WMALT, Series2006-AR5, Class 3A, 3.421%(1-Year Treasury Average Rate + 0.940%) due 7/25/46(a) | | | 16,833 | |
| | 108,390 | | | | | Washington Mutual MSC Mortgage Pass-Through Certificates Trust, Series2002-AR3, Class 1A7, 4.467% due 12/25/32(a) | | | 111,206 | |
| | 106,593 | | | | | Wells Fargo Mortgage-Backed Securities Trust, Series2006-AR2, Class 2A1, 5.005% due 3/25/36(a) | | | 109,746 | |
| | | | | | | | | | |
| | | | | | TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost — $22,316,422) | | | 21,570,055 | |
| | | | | | | | | | |
|
| | U.S. GOVERNMENT OBLIGATIONS — 8.2% | |
| | | | | | U.S. Treasury Inflation Indexed Bonds: | | | | |
| | 1,725,765 | | | | | 2.375% due 1/15/25(c) | | | 1,941,303 | |
| | 238,606 | | | | | 2.500% due 1/15/29(j) | | | 294,199 | |
| | 155,811 | | | | | 3.875% due 4/15/29 | | | 213,292 | |
| | 219,810 | | | | | 1.375% due 2/15/44(j) | | | 273,762 | |
| | 415,484 | | | | | 1.000% due 2/15/48 | | | 488,130 | |
| | | | | | U.S. Treasury Inflation Indexed Notes: | | | | |
| | 210,648 | | | | | 0.125% due 4/15/22(j) | | | 209,331 | |
| | 309,363 | | | | | 0.625% due 4/15/23 | | | 314,225 | |
| | 3,352,464 | | | | | 0.250% due 1/15/25(c) | | | 3,395,677 | |
| | 1,869,156 | | | | | 0.500% due 1/15/28(c) | | | 1,947,631 | |
| | 2,800,000 | | | | | U.S. Treasury Notes, 2.875% due 4/30/25(c) | | | 3,018,367 | |
| | | | | | | | | | |
| | | | | | TOTAL U.S. GOVERNMENT OBLIGATIONS
(Cost — $11,547,618) | | | 12,095,917 | |
| | | | | | | | | | |
|
| | ASSET-BACKED SECURITIES — 0.6% | |
|
| | Automobiles — 0.5% | |
| | 400,000 | | | | | Bank of The West Auto Trust, Series2019-1, Class A2, 2.400% due 10/17/22(b) | | | 400,689.00 | |
| | 400,000 | | | | | Toyota Auto Loan Extended Notes Trust, Series2019-1A, Class A, 2.560% due 11/25/31(b) | | | 413,037.00 | |
| | | | | | | | | | |
| | | | | | Total Automobiles | | | 813,726 | |
| | | | | | | | | | |
|
| | Student Loans — 0.1% | |
| | 81,811 | | | | | Massachusetts Educational Financing Authority, Series2008-1, Class A1, 3.226%(3-MonthUSD-LIBOR + 0.950%) due 4/25/38(a) | | | 82,273 | |
| | | | | | | | | | |
| | | | | | TOTAL ASSET-BACKED SECURITIES
(Cost — $881,703) | | | 895,999 | |
| | | | | | | | | | |
|
| | SENIOR LOAN — 0.1% | |
| | 197,000 | | | | | CenturyLink Inc., 4.862%(1-MonthUSD-LIBOR + 2.750%) due 1/31/25
(Cost — $196,292) | | | 194,507 | |
| | | | | | | | | | |
|
| | MUNICIPAL BOND — 0.0% | |
|
| | United States — 0.0% | |
| | 700,000 | | | | | Tobacco Settlement Finance Authority, Revenue Bonds, Series B, zero coupon, due 6/1/47(g)
(Cost — $49,135) | | | 46,060 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS
(Cost — $186,145,038) | | | 194,711,528 | |
| | | | | | | | | | |
See Notes to Financial Statements.
242
| | | | | | | | | | |
| International Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | | | Security | | Value | |
|
| | SHORT-TERM INVESTMENTS — 1.5% | |
|
| | TIME DEPOSITS — 1.5% | |
| $ | 1,107,486 | | | | | ANZ National Bank — London, 1.490% due 9/3/19 | | $ | 1,107,486 | |
| | 411,511 | | | | | Banco Santander SA — Frankfurt, 1.490% due 9/3/19 | | | 411,511 | |
| | | | | | BBH — Grand Cayman: | | | | |
| | 4,973 | DKK | | | | (0.800)% due 9/2/19 | | | 733 | |
| | 193,121 | SEK | | | | (0.320)% due 9/2/19 | | | 19,678 | |
| | 49 | NZD | | | | 0.280% due 9/2/19 | | | 31 | |
| | 46,315 | AUD | | | | 0.450% due 9/2/19 | | | 31,188 | |
| | 3,295 | NOK | | | | 0.500% due 9/2/19 | | | 362 | |
| | 250 | HKD | | | | 0.750% due 9/2/19 | | | 32 | |
| | 77,793 | CAD | | | | 0.870% due 9/3/19 | | | 58,436 | |
| | 152 | SGD | | | | 0.940% due 9/2/19 | | | 109 | |
| | 242,657 | ZAR | | | | 5.460% due 9/2/19 | | | 15,998 | |
| | 231,073 | EUR | | | | BNP Paribas — Paris, (0.580)% due 9/2/19 | | | 253,961 | |
| | 167,220 | GBP | | | | Citibank — London, 0.370% due 9/2/19 | | | 203,456 | |
| | 3,692,244 | JPY | | | | Sumitomo — Tokyo, (0.250)% due 9/2/19 | | | 34,759 | |
| | | | | | | | | | |
| | | | | | TOTAL SHORT-TERM INVESTMENTS IN SECURITIES
(Cost — $2,137,740) | | | 2,137,740 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS IN SECURITIES
(Cost — $188,282,778) | | | 196,849,268 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS IN PURCHASED OPTIONS
(Cost — $101,686) | | | 62,264 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS — 133.9%
(Cost — $188,384,464) | | | 196,911,532 | |
| | | | | | | | | | |
| | | | | | Liabilities in Excess of Other Assets — (33.9)% | | | (49,912,595 | ) |
| | | | | | | | | | |
| | | | | | TOTAL NET ASSETS — 100.0% | | $ | 146,998,937 | |
| | | | | | | | | | |
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
| (a) | Variable rate security. Interest rate disclosed is that which was in effect at August 31, 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 August 31, 2019 amounts to approximately $44,851,947 and represents 30.5% of net assets. |
| (c) | Position, or portion thereof, has been segregated to collateralize reverse repurchase agreements. |
| (d) | Payment-in-kind security for which part of the income earned may be paid as additional principal. |
| (e) | Security is perpetual in nature and has no stated maturity date. |
| (f) | Security is currently in default. |
| (h) | This security is traded on a TBA basis (see Note 1). |
| (i) | Interest only security. |
| (j) | All or a portion of this security is held at the broker as collateral for open OTC derivative instruments. |
| (SBB) | All or a portion of these securities were purchased in a sale-buyback transaction. The value of these securities total $1,018,136, which represents 0.7% of net assets. |
At August 31, 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 | | $ | 193,097,008 | | | $ | 21,143,999 | | | $ | (17,264,492 | ) | | $ | 3,879,507 | |
See Notes to Financial Statements.
243
| | | | | | |
| International Fixed Income Fund |
| | |
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 |
| | | | |
| Summary of Investments by Security Type^ | |
Sovereign Bonds | | | 40.3 | % |
Corporate Bonds & Notes | | | 22.7 | |
Mortgage-Backed Securities | | | 18.2 | |
Collateralized Mortgage Obligations | | | 11.0 | |
U.S. Government Obligations | | | 6.1 | |
Asset-Backed Securities | | | 0.5 | |
Senior Loan | | | 0.1 | |
Municipal Bond | | | 0.0 | * |
Purchased Options | | | 0.0 | * |
Short-Term Investments | | | 1.1 | |
| | | | |
| | | 100.0 | % |
| | | | |
| ^ | As a percentage of total investments. |
| * | Position represents less than 0.05%. |
At August 31, 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 | |
| | 1,000,000 | | | | 1,000,000 | AUD | | OTC Australian Dollar versus Canadian Dollar, Call | | | HSBC | | | | 9/13/19 | | | CAD | 0.94 | | | $ | 6 | |
| | 2,100,000 | | | | $2,100,000 | | | OTC U.S. Dollar versus Indian Rupee, Call | | | HSBC | | | | 10/16/19 | | | | INR 82.00 | | | | 84 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | Total Currency Options | | | | | | | | | | | | | | $ | 90 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Interest Rate Swaptions | |
| | | | | | |
Number of
Contracts | | | Notional
Amount† | | | Security Name | | Counterparty | | | Expiration
Date | | | Exercise Rate | | | Value | |
| | 600,000 | | | | $ 12,791 | | | OTC30-Year Swaption,3-MonthUSD-LIBOR, Put | | | DUB | | | | 8/19/20 | | | | 1.779% | | | $ | 24,918 | |
| | 400,000 | | | | 8,527 | | | OTC30-Year Swaption,3-MonthUSD-LIBOR, Put | | | BCLY | | | | 8/23/21 | | | | 1.758% | | | | 26,313 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | Total Interest Rate Swaptions | | | | | | | | | | | | | | $ | 51,231 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Options on Futures | | | | | | | | | | | | |
| | | | | | |
Number of
Contracts | | | Notional
Amount† | | | Security Name | | Counterparty | | | Expiration
Date | | | Strike Price | | | Value | |
| | 32 | | | | 5,635,520 | EUR | | Euro-Bund November Futures, Put | | | CSFB | | | | 10/25/19 | | | EUR | 173.00 | | | $ | 10,903 | |
| | 6 | | | $ | 719,297 | | | U.S. Treasury5-Year Note December Futures, Put | | | CITI | | | | 11/22/19 | | | $ | 108.00 | | | | 6 | |
| | 34 | | | | 4,475,250 | | | U.S. Treasury10-Year Note December Futures, Put | | | CITI | | | | 11/22/19 | | | $ | 114.50 | | | | 34 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | Total Options on Futures | | | | | | | | | | | | | | $ | 10,943 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | TOTAL OPTIONS CONTRACTS PURCHASED
(Cost — $101,686) | | | | | | | | | | | | | | $ | 62,264 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
See Notes to Financial Statements.
244
| | | | | | |
| International Fixed Income Fund |
At August 31, 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 | | | $ | 215,824 | | | OTC Markit CDX North America Investment Grade Series 325-Year Index, Put | | | GSC | | | | 9/18/19 | | | | 0.950% | | | $ | 1 | |
| | 100,000 | | | | 53,956 | | | OTC Markit CDX North America Investment Grade Series 325-Year Index, Put | | | DUB | | | | 9/18/19 | | | | 0.950% | | | | 1 | |
| | 300,000 | | | | 141,765 | | | OTC Markit CDX North America Investment Grade Series 315-Year Index, Put | | | GSC | | | | 9/18/19 | | | | 2.400% | | | | — | |
| | 400,000 | | | | 170,504 | EUR | | OTC Markit iTraxx Europe Series 305-Year Index, Put | | | GSC | | | | 9/18/19 | | | | 2.400% | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | Total Credit Default Swaptions | | | | | | | | | | | | | | $ | 2 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | |
| Currency Options | | | | | | | | | | | | |
| | | | | | |
Number of
Contracts | | | Notional
Amount† | | | Security Name | | Counterparty | | | Expiration
Date | | | Strike Price | | | Value | |
| | 1,000,000 | | | | 1,000,000 | AUD | | OTC Australian Dollar versus Canadian Dollar, Put | | | HSBC | | | | 9/13/19 | | | CAD | 0.91 | | | $ | 8,376 | |
| | 405,000 | | | | 2,899,982 | CNH | | OTC U.S. Dollar versus Chinese Offshore Renminbi, Call | | | GSC | | | | 9/17/19 | | | CNH | 7.15 | | | | 2,856 | |
| | 520,000 | | | | 3,723,434 | CNH | | OTC U.S. Dollar versus Chinese Offshore Renminbi, Call | | | HSBC | | | | 9/27/19 | | | CNH | 7.05 | | | | 9,390 | |
| | 210,000 | | | | 1,503,695 | CNH | | OTC U.S. Dollar versus Chinese Offshore Renminbi, Call | | | BCLY | | | | 9/27/19 | | | CNH | 7.05 | | | | 3,792 | |
| | 405,000 | | | $ | 405,000 | | | OTC U.S. Dollar versus Chinese Offshore Renminbi, Put | | | GSC | | | | 9/17/19 | | | CNH | 6.98 | | | | 220 | |
| | 520,000 | | | | 520,000 | | | OTC U.S. Dollar versus Chinese Offshore Renminbi, Put | | | HSBC | | | | 9/27/19 | | | CNH | 6.90 | | | | 181 | |
| | 210,000 | | | | 210,000 | | | OTC U.S. Dollar versus Chinese Offshore Renminbi, Put | | | BCLY | | | | 9/27/19 | | | CNH | 6.90 | | | | 73 | |
| | 729,000 | | | | 729,000 | | | OTC U.S. Dollar versus Japanese Yen, Put | | | BOA | | | | 9/12/19 | | | JPY | 104.75 | | | | 1,744 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | Total Currency Options | | | | | | | | | | | | | | $ | 26,632 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | |
| Interest Rate Swaptions | | | | | | | | | | | | |
| | | | | | |
Number of
Contracts | | | Notional
Amount† | | | Security Name | | Counterparty | | | Expiration
Date | | | Exercise Rate | | | Value | |
| | 5,000,000 | | | $ | 106,588 | | | OTC3-Year Swaption,3-MonthUSD-LIBOR, Put | | | DUB | | | | 8/19/20 | | | | 1.456% | | | $ | 24,223 | |
| | 3,300,000 | | | | 70,348 | | | OTC3-Year Swaption,3-MonthUSD-LIBOR, Put | | | BCLY | | | | 8/23/21 | | | | 1.448% | | | | 25,720 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | Total Interest Rate Swaptions | | | | | | | | | | | | | | $ | 49,943 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | |
| Options on Futures | | | | | | | | | | | | |
| | | | | | |
Number of
Contracts | | | Notional
Amount† | | | Security Name | | Counterparty | | | Expiration
Date | | | Strike Price | | | Value | |
| | 10 | | | | 1,365,800 | EUR | | Euro-Bobl December Futures, Call | | | UBS | | | | 11/22/19 | | | EUR | 136.50 | | | $ | 6,100 | |
| | 10 | | | | 1,365,800 | EUR | | Euro-Bobl December Futures, Put | | | UBS | | | | 11/22/19 | | | EUR | 136.50 | | | | 3,902 | |
| | 10 | | | | 1,365,800 | EUR | | Euro-Bobl November Futures, Call | | | SOG | | | | 10/25/19 | | | EUR | 136.50 | | | | 5,440 | |
| | 10 | | | | 1,365,800 | EUR | | Euro-Bobl November Futures, Put | | | SOG | | | | 10/25/19 | | | EUR | 136.50 | | | | 3,242 | |
| | 16 | | | | 2,817,760 | EUR | | Euro-Bund December Futures, Call | | | CSFB | | | | 11/22/19 | | | EUR | 178.50 | | | | 11,254 | |
| | 32 | | | | 5,635,520 | EUR | | Euro-Bund November Futures, Put | | | CSFB | | | | 10/25/19 | | | EUR | 170.50 | | | | 3,165 | |
| | 9 | | | | 1,584,990 | EUR | | Euro-Bund October Futures, Call | | | UBS | | | | 9/20/19 | | | EUR | 175.50 | | | | 12,859 | |
| | 9 | | | | 1,584,990 | EUR | | Euro-Bund October Futures, Put | | | UBS | | | | 9/20/19 | | | EUR | 175.50 | | | | 5,144 | |
| | 29 | | | $ | 3,476,602 | | | U.S. Treasury5-Year Note November Futures, Call | | | GSC | | | | 10/25/19 | | | $ | 119.00 | | | | 34,664 | |
| | 1 | | | | 119,883 | | | U.S. Treasury5-Year Note November Futures, Call | | | CSFB | | | | 10/25/19 | | | $ | 119.00 | | | | 1,195 | |
| | 29 | | | | 3,476,602 | | | U.S. Treasury5-Year Note November Futures, Put | | | GSC | | | | 10/25/19 | | | $ | 117.00 | | | | 680 | |
See Notes to Financial Statements.
245
| | | | | | |
| International Fixed Income Fund |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Number of
Contracts | | | Notional
Amount† | | | Security Name | | Counterparty | | | Expiration
Date | | | Strike Price | | | Value | |
| | 1 | | | | $ 119,883 | | | U.S. Treasury5-Year Note November Futures, Put | | | CSFB | | | | 10/25/19 | | | $ | 117.00 | | | $ | 23 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | Total Options on Futures | | | | | | | | | | | | | | $ | 87,668 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | TOTAL OPTIONS CONTRACTS WRITTEN
(Premiums received — $161,471) | | | | | | | | | | | | | | $ | 164,245 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
At August 31, 2019, International Fixed Income Fund held the following Reverse Repurchase Agreements:
| | | | | | | | |
| | |
Face
Amounts† | | | Security | | Value | |
| | | | Bank of Montreal: | | | | |
| $ | 2,275,875 | | | 2.330% due 10/22/19 | | $ | 2,275,875 | |
| | | | BNP Paribas SA: | | | | |
| | 636,460 | EUR | | (0.450)% due 10/17/19 | | | 699,502 | |
| | 1,655,775 | EUR | | (0.380)% due 10/17/19 | | | 1,819,779 | |
| | | | Crédit Agricole Securities (USA) Inc.: | | | | |
| | 1,303,500 | | | 2.250% due 9/3/19 | | | 1,303,500 | |
| | | | JP Morgan Securities LLC: | | | | |
| | 1,724,000 | | | 2.300% due 9/26/19 | | | 1,724,000 | |
| | | | JP Morgan Securities PLC: | | | | |
| | 1,017,710 | EUR | | (0.370)% due 10/17/19 | | | 1,118,514 | |
| | | | Scotia Capital (USA) Inc.: | | | | |
| | 4,971,263 | | | 2.220% due 10/15/19 | | | 4,971,263 | |
| | | | Toronto Dominion Bank: | | | | |
| | 2,484,977 | GBP | | 0.850% due 11/7/19 | | | 3,023,472 | |
| | | | | | | | |
| | | | TOTAL REVERSE REPURCHASE AGREEMENTS
(Proceeds — $17,012,127) | | $ | 16,935,905 | |
| | | | | | | | |
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
For the year ended August 31, 2019, the daily average borrowing and interest rate under the reverse repurchase agreements were $12,427,942 and 1.648%, respectively.
At August 31, 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 Sterling September Futures | | | 165 | | | | 9/19 | | | $ | 24,806,094 | | | $ | 24,903,719 | | | $ | 97,625 | |
Australian Government3-Year Bond September Futures | | | 54 | | | | 9/19 | | | | 4,169,483 | | | | 4,211,057 | | | | 41,574 | |
Australian Government10-Year Bond September Futures | | | 16 | | | | 9/19 | | | | 1,589,387 | | | | 1,603,105 | | | | 13,718 | |
Euro-Bobl September Futures | | | 27 | | | | 9/19 | | | | 3,963,174 | | | | 4,042,536 | | | | 79,362 | |
Euro-BTP December Futures | | | 73 | | | | 12/19 | | | | 11,477,720 | | | | 11,516,308 | | | | 38,588 | |
Euro-Buxl30-Year Bond December Futures | | | 11 | | | | 12/19 | | | | 2,683,902 | | | | 2,691,859 | | | | 7,957 | |
Euro-OAT September Futures | | | 3 | | | | 9/19 | | | | 557,746 | | | | 561,835 | | | | 4,089 | |
U.S. Treasury5-Year Note December Futures | | | 105 | | | | 12/19 | | | | 12,588,560 | | | | 12,597,539 | | | | 8,979 | |
U.S. Treasury10-Year Note December Futures | | | 9 | | | | 12/19 | | | | 1,184,391 | | | | 1,185,468 | | | | 1,077 | |
U.S. Treasury Ultra Long Bond December Futures | | | 10 | | | | 12/19 | | | | 1,959,688 | | | | 1,974,376 | | | | 14,688 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 307,657 | |
| | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
246
| | | | | | |
| International Fixed Income Fund |
| | | | | | | | | | | | | | | | | | | | |
| Open Futures Contracts | | Number of
Contracts | | | Expiration
Date
(Month/Year) | | | Notional
Amount | | | Market
Value | | | Unrealized
Appreciation/
(Depreciation) | |
| Contracts to Sell: | | | | | | | | | | | | | | | | | | | | |
Canada Government10-Year Bond December Futures | | | 13 | | | | 12/19 | | | $ | 1,412,655 | | | $ | 1,416,744 | | | $ | (4,089 | ) |
Euro-Bund December Futures | | | 6 | | | | 12/19 | | | | 1,162,388 | | | | 1,162,443 | | | | (55 | ) |
Japan Government10-Year Bond September Futures | | | 1 | | | | 9/19 | | | | 1,458,320 | | | | 1,461,050 | | | | (2,730 | ) |
U.S. Treasury2-Year Note December Futures | | | 12 | | | | 12/19 | | | | 2,592,094 | | | | 2,593,407 | | | | (1,313 | ) |
United Kingdom Treasury10-Year Gilt December Futures | | | 6 | | | | 12/19 | | | | 982,277 | | | | 980,270 | | | | 2,007 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | (6,180 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Unrealized Appreciation on Open Exchange-Traded Futures Contracts | | | | | | | | | | | | | | | | | | $ | 301,477 | |
| | | | | | | | | | | | | | | | | |
At August 31, 2019, International Fixed Income Fund had deposited cash of $670,000 with a broker or brokers as margin collateral on an open exchange-traded futures contracts.
At August 31, 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 | | | 5,091,601 | | | | USD | | | | 90,357 | | | | BNP | | | $ | 85,559 | | | | 9/3/19 | | | $ | (4,798 | ) |
Argentine Peso | | | 5,091,601 | | | | USD | | | | 87,185 | | | | GSC | | | | 85,559 | | | | 9/3/19 | | | | (1,626 | ) |
Argentine Peso | | | 63,000 | | | | USD | | | | 1,000 | | | | HSBC | | | | 986 | | | | 9/23/19 | | | | (14 | ) |
Australian Dollar | | | 285,000 | | | | USD | | | | 192,279 | | | | HSBC | | | | 191,919 | | | | 9/3/19 | | | | (360 | ) |
Australian Dollar | | | 646,000 | | | | USD | | | | 438,597 | | | | GSC | | | | 435,016 | | | | 9/4/19 | | | | (3,581 | ) |
Australian Dollar | | | 647,000 | | | | USD | | | | 437,194 | | | | JPM | | | | 435,689 | | | | 9/4/19 | | | | (1,505 | ) |
Australian Dollar | | | 646,000 | | | | USD | | | | 434,923 | | | | SCB | | | | 435,389 | | | | 10/3/19 | | | | 466 | |
Brazilian Real | | | 362,884 | | | | USD | | | | 89,000 | | | | BNP | | | | 87,616 | | | | 9/4/19 | | | | (1,384 | ) |
Brazilian Real | | | 10,678,437 | | | | USD | | | | 2,580,267 | | | | BOA | | | | 2,578,242 | | | | 9/4/19 | | | | (2,025 | ) |
Brazilian Real | | | 8,915,716 | | | | USD | | | | 2,146,814 | | | | DUB | | | | 2,152,645 | | | | 9/4/19 | | | | 5,831 | |
Brazilian Real | | | 1,399,836 | | | | USD | | | | 372,000 | | | | GSC | | | | 337,982 | | | | 9/4/19 | | | | (34,018 | ) |
Brazilian Real | | | 5,700,000 | | | | USD | | | | 1,494,651 | | | | GSC | | | | 1,364,091 | | | | 1/3/20 | | | | (130,560 | ) |
British Pound | | | 7,932,189 | | | | USD | | | | 9,687,971 | | | | SOG | | | | 9,651,098 | | | | 9/3/19 | | | | (36,873 | ) |
British Pound | | | 117,000 | | | | USD | | | | 142,176 | | | | BNP | | | | 142,354 | | | | 9/4/19 | | | | 178 | |
British Pound | | | 479,000 | | | | USD | | | | 579,112 | | | | BOA | | | | 582,800 | | | | 9/4/19 | | | | 3,688 | |
Canadian Dollar | | | 1,363,375 | | | | USD | | | | 1,028,604 | | | | GSC | | | | 1,024,132 | | | | 9/3/19 | | | | (4,472 | ) |
Canadian Dollar | | | 3,770,625 | | | | USD | | | | 2,834,630 | | | | HSBC | | | | 2,832,394 | | | | 9/3/19 | | | | (2,236 | ) |
Canadian Dollar | | | 2,095,000 | | | | USD | | | | 1,577,696 | | | | UBS | | | | 1,573,709 | | | | 9/3/19 | | | | (3,987 | ) |
Canadian Dollar | | | 390,000 | | | | USD | | | | 293,681 | | | | BNP | | | | 292,958 | | | | 9/4/19 | | | | (723 | ) |
Canadian Dollar | | | 192,000 | | | | USD | | | | 145,028 | | | | BNP | | | | 144,225 | | | | 9/4/19 | | | | (803 | ) |
Canadian Dollar | | | 387,000 | | | | USD | | | | 291,688 | | | | SCB | | | | 290,704 | | | | 9/4/19 | | | | (984 | ) |
Chilean Peso | | | 212,456,400 | | | | USD | | | | 313,358 | | | | GSC | | | | 294,502 | | | | 9/25/19 | | | | (18,856 | ) |
Chinese Offshore Renminbi | | | 806,384 | | | | USD | | | | 116,375 | | | | DUB | | | | 112,563 | | | | 9/18/19 | | | | (3,812 | ) |
Chinese Offshore Renminbi | | | 2,746,400 | | | | USD | | | | 395,473 | | | | HSBC | | | | 383,368 | | | | 9/18/19 | | | | (12,105 | ) |
Chinese Offshore Renminbi | | | 5,365,967 | | | | USD | | | | 782,325 | | | | HSBC | | | | 749,030 | | | | 9/18/19 | | | | (33,295 | ) |
Chinese Offshore Renminbi | | | 11,962,016 | | | | USD | | | | 1,671,023 | | | | RBS | | | | 1,669,766 | | | | 9/18/19 | | | | (1,257 | ) |
Chinese Offshore Renminbi | | | 1,960,147 | | | | USD | | | | 283,470 | | | | SCB | | | | 273,615 | | | | 9/18/19 | | | | (9,855 | ) |
Chinese Onshore Renminbi | | | 4,754,830 | | | | USD | | | | 685,549 | | | | BNP | | | | 664,257 | | | | 9/18/19 | | | | (21,292 | ) |
Colombian Peso | | | 1,761,336,790 | | | | USD | | | | 521,522 | | | | JPM | | | | 511,215 | | | | 9/25/19 | | | | (10,307 | ) |
Colombian Peso | | | 615,795,780 | | | | USD | | | | 191,714 | | | | BNP | | | | 178,542 | | | | 10/15/19 | | | | (13,172 | ) |
Danish Krone | | | 2,620,000 | | | | USD | | | | 402,562 | | | | HSBC | | | | 387,043 | | | | 10/1/19 | | | | (15,519 | ) |
See Notes to Financial Statements.
247
| | | | | | |
| International Fixed Income Fund |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Foreign Currency | | Local
Currency | | | In Exchange
For | | | Counterparty | | | Market Value | | | Settlement
Date | | | Unrealized
Appreciation/
(Depreciation) | |
| Contracts to Buy: (continued) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Euro | | | 250,000 | | | | USD | | | | 278,675 | | | | BNP | | | $ | 274,763 | | | | 9/3/19 | | | $ | (3,912 | ) |
Euro | | | 267,000 | | | | USD | | | | 296,178 | | | | BNP | | | | 293,446 | | | | 9/3/19 | | | | (2,732 | ) |
Euro | | | 369,000 | | | | USD | | | | 409,487 | | | | BNP | | | | 405,549 | | | | 9/3/19 | | | | (3,938 | ) |
Euro | | | 579,000 | | | | USD | | | | 648,643 | | | | BOA | | | | 636,350 | | | | 9/3/19 | | | | (12,293 | ) |
Euro | | | 101,000 | | | | USD | | | | 113,362 | | | | GSC | | | | 111,004 | | | | 9/3/19 | | | | (2,358 | ) |
Euro | | | 75,000 | | | | USD | | | | 83,431 | | | | GSC | | | | 82,429 | | | | 9/3/19 | | | | (1,002 | ) |
Euro | | | 451,000 | | | | USD | | | | 503,577 | | | | JPM | | | | 495,672 | | | | 9/3/19 | | | | (7,905 | ) |
Euro | | | 1,017,000 | | | | USD | | | | 1,125,141 | | | | RBS | | | | 1,117,734 | | | | 9/3/19 | | | | (7,407 | ) |
Euro | | | 98,000 | | | | USD | | | | 109,743 | | | | RBS | | | | 107,707 | | | | 9/3/19 | | | | (2,036 | ) |
Euro | | | 394,000 | | | | USD | | | | 437,606 | | | | BOA | | | | 433,025 | | | | 9/4/19 | | | | (4,581 | ) |
Euro | | | 649,391 | | | | USD | | | | 721,834 | | | | SCB | | | | 713,713 | | | | 9/4/19 | | | | (8,121 | ) |
Hong Kong Dollar | | | 6,386,000 | | | | USD | | | | 814,437 | | | | BNP | | | | 814,497 | | | | 9/18/19 | | | | 60 | |
Hong Kong Dollar | | | 8,655,161 | | | | USD | | | | 1,103,693 | | | | BNP | | | | 1,103,915 | | | | 9/18/19 | | | | 222 | |
Hong Kong Dollar | | | 5,074,490 | | | | USD | | | | 649,518 | | | | JPM | | | | 647,052 | | | | 12/16/19 | | | | (2,466 | ) |
Hong Kong Dollar | | | 1,602,000 | | | | USD | | | | 205,027 | | | | JPM | | | | 204,272 | | | | 12/16/19 | | | | (755 | ) |
Hong Kong Dollar | | | 1,669,000 | | | | USD | | | | 213,612 | | | | SCB | | | | 212,815 | | | | 12/16/19 | | | | (797 | ) |
Indian Rupee | | | 5,152,000 | | | | USD | | | | 70,000 | | | | HSBC | | | | 71,742 | | | | 10/18/19 | | | | 1,742 | |
Indian Rupee | | | 31,565,820 | | | | USD | | | | 429,000 | | | | HSBC | | | | 439,559 | | | | 10/18/19 | | | | 10,559 | |
Indian Rupee | | | 30,384,798 | | | | USD | | | | 427,353 | | | | HSBC | | | | 423,113 | | | | 10/18/19 | | | | (4,240 | ) |
Indian Rupee | | | 89,156,700 | | | | USD | | | | 1,215,000 | | | | HSBC | | | | 1,213,602 | | | | 4/27/20 | | | | (1,398 | ) |
Indian Rupee | | | 88,825,230 | | | | USD | | | | 1,209,000 | | | | BNP | | | | 1,208,079 | | | | 5/4/20 | | | | (921 | ) |
Indonesian Rupiah | | | 8,134,160,180 | | | | USD | | | | 570,898 | | | | SCB | | | | 573,309 | | | | 9/6/19 | | | | 2,411 | |
Indonesian Rupiah | | | 2,844,286,000 | | | | USD | | | | 197,000 | | | | BCLY | | | | 200,206 | | | | 9/18/19 | | | | 3,206 | |
Indonesian Rupiah | | | 331,982,000 | | | | USD | | | | 23,000 | | | | BNP | | | | 23,368 | | | | 9/18/19 | | | | 368 | |
Indonesian Rupiah | | | 2,916,880,000 | | | | USD | | | | 202,000 | | | | HSBC | | | | 205,316 | | | | 9/18/19 | | | | 3,316 | |
Indonesian Rupiah | | | 419,137,000 | | | | USD | | | | 29,000 | | | | HSBC | | | | 29,503 | | | | 9/18/19 | | | | 503 | |
Indonesian Rupiah | | | 1,341,804,000 | | | | USD | | | | 93,000 | | | | JPM | | | | 94,448 | | | | 9/18/19 | | | | 1,448 | |
Indonesian Rupiah | | | 14,440,000 | | | | USD | | | | 1,000 | | | | JPM | | | | 1,016 | | | | 9/18/19 | | | | 16 | |
Indonesian Rupiah | | | 7,826,970,932 | | | | USD | | | | 534,191 | | | | SCB | | | | 550,932 | | | | 9/18/19 | | | | 16,741 | |
Indonesian Rupiah | | | 7,561,339,752 | | | | USD | | | | 520,323 | | | | SCB | | | | 526,662 | | | | 12/18/19 | | | | 6,339 | |
Japanese Yen | | | 69,800,000 | | | | USD | | | | 658,097 | | | | HSBC | | | | 657,096 | | | | 9/3/19 | | | | (1,001 | ) |
Japanese Yen | | | 16,100,000 | | | | USD | | | | 152,251 | | | | HSBC | | | | 151,565 | | | | 9/3/19 | | | | (686 | ) |
Japanese Yen | | | 75,000,000 | | | | USD | | | | 708,491 | | | | HSBC | | | | 706,048 | | | | 9/3/19 | | | | (2,443 | ) |
Japanese Yen | | | 2,169,015,991 | | | | USD | | | | 20,514,087 | | | | UBS | | | | 20,419,072 | | | | 9/3/19 | | | | (95,015 | ) |
Japanese Yen | | | 15,504,000 | | | | USD | | | | 145,744 | | | | BNP | | | | 145,954 | | | | 9/4/19 | | | | 210 | |
Japanese Yen | | | 394,000 | | | | USD | | | | 3,718 | | | | BNP | | | | 3,709 | | | | 9/4/19 | | | | (9 | ) |
Japanese Yen | | | 47,585,000 | | | | USD | | | | 449,208 | | | | JPM | | | | 447,964 | | | | 9/4/19 | | | | (1,244 | ) |
Japanese Yen | | | 310,000,000 | | | | USD | | | | 2,882,249 | | | | BNP | | | | 2,921,053 | | | | 9/17/19 | | | | 38,804 | |
Korean Won | | | 375,941,500 | | | | USD | | | | 319,000 | | | | BOA | | | | 310,715 | | | | 9/18/19 | | | | (8,285 | ) |
Korean Won | | | 391,197,403 | | | | USD | | | | 332,000 | | | | GSC | | | | 323,324 | | | | 9/18/19 | | | | (8,676 | ) |
Korean Won | | | 49,547,400 | | | | USD | | | | 42,000 | | | | HSBC | | | | 40,951 | | | | 9/18/19 | | | | (1,049 | ) |
Mexican Peso | | | 13,616,000 | | | | USD | | | | 704,937 | | | | GSC | | | | 677,518 | | | | 9/20/19 | | | | (27,419 | ) |
New Taiwan Dollar | | | 22,375,300 | | | | USD | | | | 715,552 | | | | HSBC | | | | 714,309 | | | | 9/6/19 | | | | (1,243 | ) |
New Taiwan Dollar | | | 6,266,175 | | | | USD | | | | 201,000 | | | | HSBC | | | | 200,894 | | | | 11/21/19 | | | | (106 | ) |
New Taiwan Dollar | | | 6,012,060 | | | | USD | | | | 194,000 | | | | SCB | | | | 192,747 | | | | 11/21/19 | | | | (1,253 | ) |
New Taiwan Dollar | | | 1,339,450 | | | | USD | | | | 43,000 | | | | SCB | | | | 42,943 | | | | 11/21/19 | | | | (57 | ) |
New Taiwan Dollar | | | 7,581,114 | | | | USD | | | | 243,000 | | | | SCB | | | | 243,051 | | | | 11/21/19 | | | | 51 | |
New Zealand Dollar | | | 224,000 | | | | USD | | | | 143,440 | | | | BNP | | | | 141,143 | | | | 9/4/19 | | | | (2,297 | ) |
New Zealand Dollar | | | 10,000 | | | | USD | | | | 6,537 | | | | BOA | | | | 6,301 | | | | 9/4/19 | | | | (236 | ) |
New Zealand Dollar | | | 686,000 | | | | USD | | | | 440,788 | | | | HSBC | | | | 432,249 | | | | 9/4/19 | | | | (8,539 | ) |
New Zealand Dollar | | | 436,000 | | | | USD | | | | 284,280 | | | | SCB | | | | 274,723 | | | | 9/4/19 | | | | (9,557 | ) |
New Zealand Dollar | | | 683,000 | | | | USD | | | | 431,212 | | | | SCB | | | | 430,722 | | | | 10/3/19 | | | | (490 | ) |
See Notes to Financial Statements.
248
| | | | | | |
| International Fixed Income Fund |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Foreign Currency | | Local
Currency | | | In Exchange
For | | | Counterparty | | | Market Value | | | Settlement
Date | | | Unrealized
Appreciation/
(Depreciation) | |
| Contracts to Buy: (continued) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Norwegian Krone | | | 5,865,000 | | | | USD | | | | 673,478 | | | | BNP | | | $ | 643,607 | | | | 9/3/19 | | | $ | (29,871 | ) |
Norwegian Krone | | | 373,000 | | | | USD | | | | 41,782 | | | | HSBC | | | | 40,932 | | | | 9/3/19 | | | | (850 | ) |
Norwegian Krone | | | 1,260,000 | | | | USD | | | | 141,288 | | | | GSC | | | | 138,269 | | | | 9/4/19 | | | | (3,019 | ) |
Norwegian Krone | | | 40,000 | | | | USD | | | | 4,484 | | | | HSBC | | | | 4,389 | | | | 9/4/19 | | | | (95 | ) |
Peruvian Sol | | | 43,849 | | | | USD | | | | 13,000 | | | | BNP | | | | 12,921 | | | | 9/3/19 | | | | (79 | ) |
Peruvian Sol | | | 1,436,812 | | | | USD | | | | 425,344 | | | | BNP | | | | 423,389 | | | | 9/3/19 | | | | (1,955 | ) |
Peruvian Sol | | | 1,068,098 | | | | USD | | | | 315,287 | | | | JPM | | | | 314,739 | | | | 9/3/19 | | | | (548 | ) |
Peruvian Sol | | | 412,563 | | | | USD | | | | 121,782 | | | | RBS | | | | 121,570 | | | | 9/3/19 | | | | (212 | ) |
Peruvian Sol | | | 206,485 | | | | USD | | | | 61,000 | | | | BNP | | | | 60,835 | | | | 9/9/19 | | | | (165 | ) |
Peruvian Sol | | | 529,308 | | | | USD | | | | 156,000 | | | | HSBC | | | | 155,945 | | | | 9/9/19 | | | | (55 | ) |
Peruvian Sol | | | 915,697 | | | | USD | | | | 272,261 | | | | HSBC | | | | 269,272 | | | | 10/15/19 | | | | (2,989 | ) |
Peruvian Sol | | | 502,200 | | | | USD | | | | 151,365 | | | | DUB | | | | 147,599 | | | | 10/28/19 | | | | (3,766 | ) |
Romanian New Leu | | | 1,349,000 | | | | USD | | | | 316,464 | | | | BNP | | | | 313,430 | | | | 10/22/19 | | | | (3,034 | ) |
Romanian New Leu | | | 1,356,000 | | | | USD | | | | 316,177 | | | | RBS | | | | 315,056 | | | | 10/22/19 | | | | (1,121 | ) |
Russian Ruble | | | 12,287,000 | | | | USD | | | | 187,109 | | | | SCB | | | | 183,902 | | | | 9/16/19 | | | | (3,207 | ) |
Russian Ruble | | | 23,425,265 | | | | USD | | | | 354,835 | | | | SOG | | | | 350,611 | | | | 9/16/19 | | | | (4,224 | ) |
Russian Ruble | | | 14,492,042 | | | | USD | | | | 219,879 | | | | GSC | | | | 215,136 | | | | 11/15/19 | | | | (4,743 | ) |
Singapore Dollar | | | 945,978 | | | | USD | | | | 699,455 | | | | HSBC | | | | 681,841 | | | | 9/18/19 | | | | (17,614 | ) |
South African Rand | | | 10,060,173 | | | | USD | | | | 704,377 | | | | BNP | | | | 660,343 | | | | 10/7/19 | | | | (44,034 | ) |
South African Rand | | | 4,851,000 | | | | USD | | | | 332,736 | | | | BOA | | | | 318,375 | | | | 10/8/19 | | | | (14,361 | ) |
South African Rand | | | 5,548,000 | | | | USD | | | | 359,379 | | | | JPM | | | | 364,120 | | | | 10/8/19 | | | | 4,741 | |
Swedish Krona | | | 2,331,487 | | | | USD | | | | 240,878 | | | | SCB | | | | 237,562 | | | | 9/3/19 | | | | (3,316 | ) |
Swedish Krona | | | 2,776,000 | | | | USD | | | | 287,441 | | | | GSC | | | | 282,855 | | | | 9/4/19 | | | | (4,586 | ) |
Swedish Krona | | | 5,497,921 | | | | USD | | | | 571,108 | | | | GSC | | | | 560,201 | | | | 9/4/19 | | | | (10,907 | ) |
Swedish Krona | | | 1,373,000 | | | | USD | | | | 143,676 | | | | SCB | | | | 139,899 | | | | 9/4/19 | | | | (3,777 | ) |
Swedish Krona | | | 5,614,921 | | | | USD | | | | 573,324 | | | | UBS | | | | 573,258 | | | | 10/3/19 | | | | (66 | ) |
Swiss Franc | | | 576,000 | | | | USD | | | | 589,198 | | | | BOA | | | | 581,936 | | | | 9/4/19 | | | | (7,262 | ) |
Swiss Franc | | | 1,000 | | | | USD | | | | 1,033 | | | | BOA | | | | 1,011 | | | | 9/4/19 | | | | (22 | ) |
Swiss Franc | | | 283,000 | | | | USD | | | | 288,941 | | | | SCB | | | | 285,916 | | | | 9/4/19 | | | | (3,025 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | (673,889 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Contracts to Sell: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Argentine Peso | | | 5,091,601 | | | | USD | | | | 87,185 | | | | BNP | | | | 85,559 | | | | 9/3/19 | | | | 1,626 | |
Argentine Peso | | | 5,091,601 | | | | USD | | | | 108,413 | | | | GSC | | | | 85,559 | | | | 9/3/19 | | | | 22,854 | |
Argentine Peso | | | 63,000 | | | | USD | | | | 1,032 | | | | HSBC | | | | 986 | | | | 9/23/19 | | | | 46 | |
Australian Dollar | | | 285,000 | | | | USD | | | | 196,996 | | | | BNP | | | | 191,918 | | | | 9/3/19 | | | | 5,078 | |
Australian Dollar | | | 275,000 | | | | USD | | | | 185,523 | | | | BOA | | | | 185,185 | | | | 9/3/19 | | | | 338 | |
Australian Dollar | | | 215,000 | | | | USD | | | | 145,834 | | | | HSBC | | | | 144,781 | | | | 9/4/19 | | | | 1,053 | |
Australian Dollar | | | 432,000 | | | | USD | | | | 292,749 | | | | JPM | | | | 290,909 | | | | 9/4/19 | | | | 1,840 | |
Australian Dollar | | | 285,000 | | | | USD | | | | 192,450 | | | | HSBC | | | | 192,078 | | | | 10/2/19 | | | | 372 | |
Australian Dollar | | | 275,000 | | | | USD | | | | 185,608 | | | | SCB | | | | 185,338 | | | | 10/2/19 | | | | 270 | |
Brazilian Real | | | 362,884 | | | | USD | | | | 87,685 | | | | BNP | | | | 87,616 | | | | 9/4/19 | | | | 69 | |
Brazilian Real | | | 10,678,437 | | | | USD | | | | 2,846,824 | | | | BOA | | | | 2,578,243 | | | | 9/4/19 | | | | 268,581 | |
Brazilian Real | | | 8,915,716 | | | | USD | | | | 2,154,335 | | | | DUB | | | | 2,152,644 | | | | 9/4/19 | | | | 1,691 | |
Brazilian Real | | | 1,399,836 | | | | USD | | | | 338,247 | | | | GSC | | | | 337,982 | | | | 9/4/19 | | | | 265 | |
Brazilian Real | | | 1,553,359 | | | | USD | | | | 373,000 | | | | BNP | | | | 374,247 | | | | 10/2/19 | | | | (1,247 | ) |
Brazilian Real | | | 8,915,716 | | | | USD | | | | 2,142,377 | | | | DUB | | | | 2,148,043 | | | | 10/2/19 | | | | (5,666 | ) |
Brazilian Real | | | 1,657,406 | | | | USD | | | | 399,000 | | | | GSC | | | | 399,315 | | | | 10/2/19 | | | | (315 | ) |
Brazilian Real | | | 5,700,000 | | | | USD | | | | 1,438,123 | | | | GSC | | | | 1,364,090 | | | | 1/3/20 | | | | 74,033 | |
Brazilian Real | | | 5,900,000 | | | | USD | | | | 1,485,136 | | | | JPM | | | | 1,402,565 | | | | 4/2/20 | | | | 82,571 | |
British Pound | | | 455,000 | | | | USD | | | | 556,112 | | | | BCLY | | | | 553,598 | | | | 9/3/19 | | | | 2,514 | |
British Pound | | | 7,321,189 | | | | USD | | | | 8,927,751 | | | | BOA | | | | 8,907,694 | | | | 9/3/19 | | | | 20,057 | |
British Pound | | | 156,000 | | | | USD | | | | 189,184 | | | | BOA | | | | 189,805 | | | | 9/3/19 | | | | (621 | ) |
See Notes to Financial Statements.
249
| | | | | | |
| International Fixed Income Fund |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Foreign Currency | | Local
Currency | | | In Exchange
For | | | Counterparty | | | Market Value | | | Settlement
Date | | | Unrealized
Appreciation/
(Depreciation) | |
| Contracts to Sell: (continued) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
British Pound | | | 243,000 | | | | USD | | | | 295,225 | | | | BOA | | | $ | 295,659 | | | | 9/4/19 | | | $ | (434 | ) |
British Pound | | | 113,000 | | | | USD | | | | 138,263 | | | | JPM | | | | 137,487 | | | | 9/4/19 | | | | 776 | |
British Pound | | | 596,000 | | | | USD | | | | 723,877 | | | | UBS | | | | 725,153 | | | | 9/4/19 | | | | (1,276 | ) |
British Pound | | | 7,932,189 | | | | USD | | | | 9,700,476 | | | | SOG | | | | 9,663,184 | | | | 10/2/19 | | | | 37,292 | |
British Pound | | | 356,000 | | | | USD | | | | 434,703 | | | | JPM | | | | 433,708 | | | | 10/3/19 | | | | 995 | |
Canadian Dollar | | | 2,066,000 | | | | USD | | | | 1,561,250 | | | | BOA | | | | 1,551,925 | | | | 9/3/19 | | | | 9,325 | |
Canadian Dollar | | | 5,163,000 | | | | USD | | | | 3,924,681 | | | | SCB | | | | 3,878,310 | | | | 9/3/19 | | | | 46,371 | |
Canadian Dollar | | | 192,000 | | | | USD | | | | 145,428 | | | | BNP | | | | 144,225 | | | | 9/4/19 | | | | 1,203 | |
Canadian Dollar | | | 777,000 | | | | USD | | | | 585,671 | | | | GSC | | | | 583,662 | | | | 9/4/19 | | | | 2,009 | |
Canadian Dollar | | | 3,770,625 | | | | USD | | | | 2,835,969 | | | | HSBC | | | | 2,833,676 | | | | 10/2/19 | | | | 2,293 | |
Canadian Dollar | | | 387,000 | | | | USD | | | | 291,826 | | | | SCB | | | | 290,840 | | | | 10/3/19 | | | | 986 | |
Chilean Peso | | | 89,799,500 | | | | USD | | | | 126,212 | | | | BOA | | | | 124,478 | | | | 9/25/19 | | | | 1,734 | |
Chilean Peso | | | 63,973,200 | | | | USD | | | | 89,000 | | | | JPM | | | | 88,678 | | | | 9/25/19 | | | | 322 | |
Chilean Peso | | | 60,244,800 | | | | USD | | | | 84,000 | | | | RBS | | | | 83,510 | | | | 9/25/19 | | | | 490 | |
Chinese Offshore Renminbi | | | 2,684,000 | | | | USD | | | | 379,654 | | | | BNP | | | | 374,657 | | | | 9/18/19 | | | | 4,997 | |
Chinese Offshore Renminbi | | | 14,575,148 | | | | USD | | | | 2,097,445 | | | | HSBC | | | | 2,034,530 | | | | 9/18/19 | | | | 62,915 | |
Chinese Offshore Renminbi | | | 742,000 | | | | USD | | | | 106,832 | | | | HSBC | | | | 103,575 | | | | 9/18/19 | | | | 3,257 | |
Chinese Offshore Renminbi | | | 588,000 | | | | USD | | | | 84,784 | | | | SCB | | | | 82,078 | | | | 9/18/19 | | | | 2,706 | |
Chinese Offshore Renminbi | | | 9,006,596 | | | | USD | | | | 1,308,338 | | | | SCB | | | | 1,257,222 | | | | 9/18/19 | | | | 51,116 | |
Chinese Offshore Renminbi | | | 1,545,000 | | | | USD | | | | 218,948 | | | | BNP | | | | 215,656 | | | | 9/19/19 | | | | 3,292 | |
Chinese Offshore Renminbi | | | 23,837,000 | | | | USD | | | | 3,457,394 | | | | GSC | | | | 3,327,259 | | | | 9/19/19 | | | | 130,135 | |
Chinese Offshore Renminbi | | | 11,962,016 | | | | USD | | | | 1,666,646 | | | | RBS | | | | 1,665,200 | | | | 12/18/19 | | | | 1,446 | |
Chinese Offshore Renminbi | | | 1,261,179 | | | | USD | | | | 175,054 | | | | DUB | | | | 175,181 | | | | 3/18/20 | | | | (127 | ) |
Chinese Offshore Renminbi | | | 3,646,751 | | | | USD | | | | 505,580 | | | | HSBC | | | | 506,543 | | | | 3/18/20 | | | | (963 | ) |
Colombian Peso | | | 66,329,000 | | | | USD | | | | 19,000 | | | | BCLY | | | | 19,251 | | | | 9/25/19 | | | | (251 | ) |
Colombian Peso | | | 3,487,000 | | | | USD | | | | 1,000 | | | | GSC | | | | 1,012 | | | | 9/25/19 | | | | (12 | ) |
Colombian Peso | | | 386,724,000 | | | | USD | | | | 111,000 | | | | RBS | | | | 112,244 | | | | 9/25/19 | | | | (1,244 | ) |
Danish Krone | | | 42,974,383 | | | | USD | | | | 6,596,586 | | | | BOA | | | | 6,348,456 | | | | 10/1/19 | | | | 248,130 | |
Euro | | | 464,000 | | | | USD | | | | 513,362 | | | | BCLY | | | | 509,959 | | | | 9/3/19 | | | | 3,403 | |
Euro | | | 344,000 | | | | USD | | | | 385,192 | | | | BNP | | | | 378,073 | | | | 9/3/19 | | | | 7,119 | |
Euro | | | 890,000 | | | | USD | | | | 984,522 | | | | BOA | | | | 978,154 | | | | 9/3/19 | | | | 6,368 | |
Euro | | | 428,000 | | | | USD | | | | 480,545 | | | | GSC | | | | 470,393 | | | | 9/3/19 | | | | 10,152 | |
Euro | | | 24,790,669 | | | | USD | | | | 27,689,789 | | | | HSBC | | | | 27,246,176 | | | | 9/3/19 | | | | 443,613 | |
Euro | | | 395,000 | | | | USD | | | | 439,205 | | | | JPM | | | | 434,124 | | | | 9/3/19 | | | | 5,081 | |
Euro | | | 4,146,095 | | | | USD | | | | 4,632,602 | | | | UBS | | | | 4,556,764 | | | | 9/3/19 | | | | 75,838 | |
Euro | | | 393,000 | | | | USD | | | | 441,455 | | | | BNP | | | | 431,927 | | | | 9/4/19 | | | | 9,528 | |
Euro | | | 320,000 | | | | USD | | | | 356,375 | | | | BNP | | | | 351,696 | | | | 9/4/19 | | | | 4,679 | |
Euro | | | 656,000 | | | | USD | | | | 729,602 | | | | GSC | | | | 720,977 | | | | 9/4/19 | | | | 8,625 | |
Euro | | | 198,000 | | | | USD | | | | 221,905 | | | | GSC | | | | 217,612 | | | | 9/4/19 | | | | 4,293 | |
Euro | | | 28,250,765 | | | | USD | | | | 31,372,700 | | | | BNP | | | | 31,117,872 | | | | 10/2/19 | | | | 254,828 | |
Euro | | | 523,609 | | | | USD | | | | 579,541 | | | | JPM | | | | 576,795 | | | | 10/3/19 | | | | 2,746 | |
Euro | | | 55,394 | | | | RON | | | | 264,467 | | | | GSC | | | | 61,113 | | | | 10/22/19 | | | | 333 | |
Euro | | | 381,989 | | | | RON | | | | 1,858,000 | | | | UBS | | | | 426,011 | | | | 3/16/20 | | | | 4,653 | |
Euro | | | 89,000 | | | | TRY | | | | 604,049 | | | | HSBC | | | | 97,823 | | | | 9/5/19 | | | | 5,798 | |
Hong Kong Dollar | | | 1,255,000 | | | | USD | | | | 160,473 | | | | BNP | | | | 160,068 | | | | 9/18/19 | | | | 405 | |
Hong Kong Dollar | | | 2,219,000 | | | | USD | | | | 283,683 | | | | HSBC | | | | 283,020 | | | | 9/18/19 | | | | 663 | |
Hong Kong Dollar | | | 3,038,000 | | | | USD | | | | 388,297 | | | | HSBC | | | | 387,479 | | | | 9/18/19 | | | | 818 | |
Hong Kong Dollar | | | 2,361,000 | | | | USD | | | | 301,883 | | | | SCB | | | | 301,131 | | | | 9/18/19 | | | | 752 | |
Hong Kong Dollar | | | 3,084,000 | | | | USD | | | | 394,182 | | | | SCB | | | | 393,346 | | | | 9/18/19 | | | | 836 | |
Hong Kong Dollar | | | 3,084,161 | | | | USD | | | | 394,270 | | | | UBS | | | | 393,367 | | | | 9/18/19 | | | | 903 | |
Hong Kong Dollar | | | 2,248,000 | | | | USD | | | | 287,412 | | | | BCLY | | | | 286,645 | | | | 12/16/19 | | | | 767 | |
Hong Kong Dollar | | | 3,912,490 | | | | USD | | | | 500,485 | | | | HSBC | | | | 498,885 | | | | 12/16/19 | | | | 1,600 | |
See Notes to Financial Statements.
250
| | | | | | |
| International Fixed Income Fund |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Foreign Currency | | Local
Currency | | | In Exchange
For | | | Counterparty | | | Market Value | | | Settlement
Date | | | Unrealized
Appreciation/
(Depreciation) | |
| Contracts to Sell: (continued) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Hong Kong Dollar | | | 2,185,000 | | | | USD | | | | 279,324 | | | | HSBC | | | $ | 278,611 | | | | 12/16/19 | | | $ | 713 | |
Hong Kong Dollar | | | 691,460 | | | | USD | | | | 88,000 | | | | BNP | | | | 88,009 | | | | 9/3/20 | | | | (9 | ) |
Hong Kong Dollar | | | 6,986,651 | | | | USD | | | | 889,000 | | | | SCB | | | | 889,264 | | | | 9/3/20 | | | | (264 | ) |
Indian Rupee | | | 35,570,323 | | | | USD | | | | 505,548 | | | | BNP | | | | 495,323 | | | | 10/18/19 | | | | 10,225 | |
Indian Rupee | | | 20,507,895 | | | | USD | | | | 279,000 | | | | HSBC | | | | 285,576 | | | | 10/18/19 | | | | (6,576 | ) |
Indian Rupee | | | 11,024,400 | | | | USD | | | | 150,000 | | | | HSBC | | | | 153,516 | | | | 10/18/19 | | | | (3,516 | ) |
Indian Rupee | | | 89,156,700 | | | | USD | | | | 1,228,985 | | | | BCLY | | | | 1,213,602 | | | | 4/27/20 | | | | 15,383 | |
Indian Rupee | | | 44,451,230 | | | | USD | | | | 618,642 | | | | BNP | | | | 604,565 | | | | 5/4/20 | | | | 14,077 | |
Indian Rupee | | | 44,374,000 | | | | USD | | | | 615,792 | | | | JPM | | | | 603,514 | | | | 5/4/20 | | | | 12,278 | |
Indonesian Rupiah | | | 1,243,984,290 | | | | USD | | | | 87,000 | | | | BNP | | | | 87,678 | | | | 9/6/19 | | | | (678 | ) |
Indonesian Rupiah | | | 6,890,175,890 | | | | USD | | | | 481,000 | | | | BNP | | | | 485,632 | | | | 9/6/19 | | | | (4,632 | ) |
Indonesian Rupiah | | | 7,561,339,752 | | | | USD | | | | 528,322 | | | | SCB | | | | 532,235 | | | | 9/18/19 | | | | (3,913 | ) |
Indonesian Rupiah | | | 8,134,160,180 | | | | USD | | | | 569,699 | | | | SCB | | | | 572,555 | | | | 9/18/19 | | | | (2,856 | ) |
Indonesian Rupiah | | | 2,219,135,000 | | | | USD | | | | 155,000 | | | | JPM | | | | 156,047 | | | | 9/27/19 | | | | (1,047 | ) |
Japanese Yen | | | 2,329,915,991 | | | | USD | | | | 21,493,214 | | | | HSBC | | | | 21,933,782 | | | | 9/3/19 | | | | (440,568 | ) |
Japanese Yen | | | 45,970,000 | | | | USD | | | | 437,228 | | | | BOA | | | | 432,761 | | | | 9/4/19 | | | | 4,467 | |
Japanese Yen | | | 32,436,000 | | | | USD | | | | 304,800 | | | | HSBC | | | | 305,352 | | | | 9/4/19 | | | | (552 | ) |
Japanese Yen | | | 31,398,000 | | | | USD | | | | 294,172 | | | | SCB | | | | 295,581 | | | | 9/4/19 | | | | (1,409 | ) |
Japanese Yen | | | 310,000,000 | | | | USD | | | | 2,881,844 | | | | GSC | | | | 2,921,052 | | | | 9/17/19 | | | | (39,208 | ) |
Japanese Yen | | | 2,169,015,991 | | | | USD | | | | 20,559,393 | | | | UBS | | | | 20,461,841 | | | | 10/2/19 | | | | 97,552 | |
Japanese Yen | | | 46,321,000 | | | | USD | | | | 437,377 | | | | RBS | | | | 437,012 | | | | 10/3/19 | | | | 365 | |
Korean Won | | | 39,195,200 | | | | USD | | | | 34,000 | | | | GSC | | | | 32,395 | | | | 9/18/19 | | | | 1,605 | |
Korean Won | | | 424,043,100 | | | | USD | | | | 360,066 | | | | SCB | | | | 350,470 | | | | 9/18/19 | | | | 9,596 | |
Korean Won | | | 355,278,000 | | | | USD | | | | 308,000 | | | | UBS | | | | 293,637 | | | | 9/18/19 | | | | 14,363 | |
Korean Won | | | 131,382,000 | | | | USD | | | | 108,000 | | | | BOA | | | | 108,615 | | | | 9/27/19 | | | | (615 | ) |
Korean Won | | | 132,075,300 | | | | USD | | | | 109,000 | | | | HSBC | | | | 109,189 | | | | 9/27/19 | | | | (189 | ) |
Malaysian Ringgit | | | 800,000 | | | | USD | | | | 194,269 | | | | GSC | | | | 189,994 | | | | 11/4/19 | | | | 4,275 | |
Malaysian Ringgit | | | 1,100,000 | | | | USD | | | | 266,893 | | | | GSC | | | | 261,242 | | | | 11/4/19 | | | | 5,651 | |
Malaysian Ringgit | | | 800,000 | | | | USD | | | | 194,245 | | | | UBS | | | | 189,994 | | | | 11/4/19 | | | | 4,251 | |
Malaysian Ringgit | | | 1,100,000 | | | | USD | | | | 267,088 | | | | UBS | | | | 261,243 | | | | 11/4/19 | | | | 5,845 | |
Mexican Peso | | | 366,052 | | | | USD | | | | 18,598 | | | | BCLY | | | | 18,215 | | | | 9/20/19 | | | | 383 | |
Mexican Peso | | | 1,837,000 | | | | USD | | | | 90,923 | | | | HSBC | | | | 91,407 | | | | 9/20/19 | | | | (484 | ) |
New Taiwan Dollar | | | 17,153,770 | | | | USD | | | | 548,000 | | | | GSC | | | | 547,616 | | | | 9/6/19 | | | | 384 | |
New Taiwan Dollar | | | 5,221,530 | | | | USD | | | | 166,000 | | | | GSC | | | | 166,692 | | | | 9/6/19 | | | | (692 | ) |
New Taiwan Dollar | | | 2,766,280 | | | | USD | | | | 88,000 | | | | BOA | | | | 88,371 | | | | 9/18/19 | | | | (371 | ) |
New Taiwan Dollar | | | 3,870,816 | | | | USD | | | | 122,000 | | | | GSC | | | | 123,656 | | | | 9/18/19 | | | | (1,656 | ) |
New Taiwan Dollar | | | 22,375,300 | | | | USD | | | | 716,239 | | | | HSBC | | | | 714,797 | | | | 9/18/19 | | | | 1,442 | |
New Taiwan Dollar | | | 12,553,200 | | | | USD | | | | 396,000 | | | | JPM | | | | 401,022 | | | | 9/18/19 | | | | (5,022 | ) |
New Taiwan Dollar | | | 3,743,550 | | | | USD | | | | 118,000 | | | | JPM | | | | 119,591 | | | | 9/18/19 | | | | (1,591 | ) |
New Taiwan Dollar | | | 3,039,398 | | | | USD | | | | 97,000 | | | | BOA | | | | 97,146 | | | | 9/27/19 | | | | (146 | ) |
New Taiwan Dollar | | | 4,236,975 | | | | USD | | | | 135,000 | | | | JPM | | | | 135,423 | | | | 9/27/19 | | | | (423 | ) |
New Taiwan Dollar | | | 9,057,260 | | | | USD | | | | 289,000 | | | | BNP | | | | 289,539 | | | | 9/30/19 | | | | (539 | ) |
New Taiwan Dollar | | | 6,452,388 | | | | USD | | | | 206,000 | | | | BNP | | | | 206,268 | | | | 9/30/19 | | | | (268 | ) |
New Taiwan Dollar | | | 4,961,699 | | | | USD | | | | 158,506 | | | | HSBC | | | | 159,073 | | | | 11/21/19 | | | | (567 | ) |
New Taiwan Dollar | | | 10,813,670 | | | | USD | | | | 345,507 | | | | HSBC | | | | 346,687 | | | | 11/21/19 | | | | (1,180 | ) |
New Taiwan Dollar | | | 1,305,000 | | | | USD | | | | 41,669 | | | | HSBC | | | | 41,838 | | | | 11/21/19 | | | | (169 | ) |
New Taiwan Dollar | | | 2,020,000 | | | | USD | | | | 64,372 | | | | JPM | | | | 64,761 | | | | 11/21/19 | | | | (389 | ) |
New Taiwan Dollar | | | 2,533,000 | | | | USD | | | | 80,965 | | | | JPM | | | | 81,208 | | | | 11/21/19 | | | | (243 | ) |
New Zealand Dollar | | | 520,000 | | | | USD | | | | 341,589 | | | | BNP | | | | 327,652 | | | | 9/3/19 | | | | 13,937 | |
New Zealand Dollar | | | 610,000 | | | | USD | | | | 389,036 | | | | GSC | | | | 384,361 | | | | 9/3/19 | | | | 4,675 | |
New Zealand Dollar | | | 673,000 | | | | USD | | | | 434,208 | | | | UBS | | | | 424,057 | | | | 9/4/19 | | | | 10,151 | |
New Zealand Dollar | | | 1,130,000 | | | | USD | | | | 712,613 | | | | HSBC | | | | 712,595 | | | | 10/2/19 | | | | 18 | |
See Notes to Financial Statements.
251
| | | | | | |
| International Fixed Income Fund |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Foreign Currency | | Local
Currency | | | In Exchange
For | | | Counterparty | | | Market Value | | | Settlement
Date | | | Unrealized
Appreciation/
(Depreciation) | |
| Contracts to Sell: (continued) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Norwegian Krone | | | 1,485,000 | | | | USD | | | | 166,890 | | | | BOA | | | $ | 162,960 | | | | 9/3/19 | | | $ | 3,930 | |
Norwegian Krone | | | 2,360,000 | | | | USD | | | | 265,000 | | | | BOA | | | | 258,980 | | | | 9/3/19 | | | | 6,020 | |
Norwegian Krone | | | 2,350,000 | | | | USD | | | | 261,610 | | | | UBS | | | | 257,881 | | | | 9/3/19 | | | | 3,729 | |
Norwegian Krone | | | 1,306,000 | | | | USD | | | | 146,650 | | | | BOA | | | | 143,317 | | | | 9/4/19 | | | | 3,333 | |
Peruvian Sol | | | 1,480,661 | | | | USD | | | | 437,070 | | | | BNP | | | | 436,310 | | | | 9/3/19 | | | | 760 | |
Peruvian Sol | | | 1,068,098 | | | | USD | | | | 324,000 | | | | JPM | | | | 314,739 | | | | 9/3/19 | | | | 9,261 | |
Peruvian Sol | | | 412,563 | | | | USD | | | | 125,000 | | | | RBS | | | | 121,571 | | | | 9/3/19 | | | | 3,429 | |
Peruvian Sol | | | 797,835 | | | | USD | | | | 241,351 | | | | BNP | | | | 234,957 | | | | 9/17/19 | | | | 6,394 | |
Peruvian Sol | | | 1,436,812 | | | | USD | | | | 424,904 | | | | BNP | | | | 423,056 | | | | 9/20/19 | | | | 1,848 | |
Peruvian Sol | | | 915,697 | | | | USD | | | | 274,745 | | | | JPM | | | | 269,272 | | | | 10/15/19 | | | | 5,473 | |
Polish Zloty | | | 283,741 | | | | USD | | | | 74,582 | | | | HSBC | | | | 71,295 | | | | 9/11/19 | | | | 3,287 | |
Romanian New Leu | | | 2,969,467 | | | | EUR | | | | 620,643 | | | | JPM | | | | 689,934 | | | | 10/22/19 | | | | (5,212 | ) |
Romanian New Leu | | | 751,164 | | | | EUR | | | | 151,269 | | | | BNP | | | | 174,111 | | | | 3/16/20 | | | | (5,409 | ) |
Romanian New Leu | | | 861,670 | | | | EUR | | | | 173,731 | | | | BOA | | | | 199,726 | | | | 3/16/20 | | | | (5,973 | ) |
Romanian New Leu | | | 264,467 | | | | EUR | | | | 54,522 | | | | GSC | | | | 61,301 | | | | 3/16/20 | | | | (495 | ) |
Singapore Dollar | | | 997,000 | | | | USD | | | | 721,721 | | | | BNP | | | | 718,617 | | | | 9/18/19 | | | | 3,104 | |
Singapore Dollar | | | 951,000 | | | | USD | | | | 694,769 | | | | BOA | | | | 685,461 | | | | 9/18/19 | | | | 9,308 | |
Singapore Dollar | | | 575,000 | | | | USD | | | | 416,705 | | | | JPM | | | | 414,448 | | | | 9/18/19 | | | | 2,257 | |
Singapore Dollar | | | 428,000 | | | | USD | | | | 309,506 | | | | JPM | | | | 308,494 | | | | 9/18/19 | | | | 1,012 | |
South African Rand | | | 5,531,000 | | | | USD | | | | 360,562 | | | | BNP | | | | 363,004 | | | | 10/8/19 | | | | (2,442 | ) |
South African Rand | | | 5,044,000 | | | | USD | | | | 356,782 | | | | BNP | | | | 331,042 | | | | 10/8/19 | | | | 25,740 | |
South African Rand | | | 5,320,000 | | | | USD | | | | 355,134 | | | | GSC | | | | 349,155 | | | | 10/8/19 | | | | 5,979 | |
South African Rand | | | 5,113,000 | | | | USD | | | | 363,445 | | | | JPM | | | | 335,570 | | | | 10/8/19 | | | | 27,875 | |
Swedish Krona | | | 2,331,487 | | | | USD | | | | 244,750 | | | | BNP | | | | 237,563 | | | | 9/3/19 | | | | 7,187 | |
Swedish Krona | | | 2,688,000 | | | | USD | | | | 279,741 | | | | GSC | | | | 273,889 | | | | 9/4/19 | | | | 5,852 | |
Swedish Krona | | | 1,344,000 | | | | USD | | | | 139,194 | | | | GSC | | | | 136,944 | | | | 9/4/19 | | | | 2,250 | |
Swedish Krona | | | 2,331,487 | | | | USD | | | | 241,353 | | | | SCB | | | | 238,018 | | | | 10/2/19 | | | | 3,335 | |
Swiss Franc | | | 574,000 | | | | USD | | | | 583,965 | | | | GSC | | | | 579,915 | | | | 9/4/19 | | | | 4,050 | |
Swiss Franc | | | 152,000 | | | | USD | | | | 155,171 | | | | JPM | | | | 153,566 | | | | 9/4/19 | | | | 1,605 | |
Swiss Franc | | | 278,000 | | | | USD | | | | 286,028 | | | | UBS | | | | 280,865 | | | | 9/4/19 | | | | 5,163 | |
Swiss Franc | | | 144,000 | | | | USD | | | | 146,174 | | | | BOA | | | | 145,874 | | | | 10/3/19 | | | | 300 | |
Turkish Lira | | | 605,645 | | | | EUR | | | | 89,000 | | | | BNP | | | | 103,895 | | | | 9/5/19 | | | | (6,072 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | 1,775,435 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Unrealized Appreciation on Open Forward Foreign Currency Contracts | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 1,101,546 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
At August 31, 2019, International Fixed Income Fund held the following OTC Total Return Swap Contracts:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Fund Pay
Floating Rate Index | | Fund Receive
Floating Rate Index | | Financing
Rate | | | Payment
Frequency | | | Maturity
Date | | | Counterparty | | | Notional
Amount | | | Market
Value | | | Upfront
Payment
Paid | | | Unrealized
Depreciation | |
iBoxx Investment Grade Index | | 3-MonthUSD-LIBOR | | | 2.837% | | | | PAM* | | | | 9/20/19 | | | | GSC | | | | USD | | | | 400,000 | | | $ | (45,215 | ) | | $ | 29 | | | $ | (45,244 | ) |
iBoxx Investment Grade Index | | 3-MonthUSD-LIBOR | | | 2.881% | | | | PAM* | | | | 9/20/19 | | | | JPM | | | | USD | | | | 500,000 | | | | (48,022 | ) | | | 585 | | | | (48,607 | ) |
iBoxx Investment Grade Index | | 3-MonthUSD-LIBOR | | | 2.962% | | | | PAM* | | | | 3/20/20 | | | | BCLY | | | | USD | | | | 900,000 | | | | (59,351 | ) | | | 5,463 | | | | (64,814 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | (152,588 | ) | | $ | 6,077 | | | $ | (158,665 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
252
| | | | | | |
| International Fixed Income Fund |
At August 31, 2019, International 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 | | Israeli Shekel3-Month Rate | | | 1.775% | | | | 4/25/29 | | | | JPM | | | ILS | 1,000,000 | | | $ | 23,991 | | | $ | 217 | | | $ | 23,774 | |
| Pay | | Israeli Shekel3-Month Rate | | | 1.779% | | | | 4/30/29 | | | | GSC | | | ILS | 800,000 | | | | 19,228 | | | | — | | | | 19,228 | |
| Pay | | Israeli Shekel3-Month Rate | | | 1.780% | | | | 4/22/29 | | | | GSC | | | ILS | 500,000 | | | | 12,084 | | | | — | | | | 12,084 | |
| Pay | | Israeli Shekel3-Month Rate | | | 1.786% | | | | 5/1/29 | | | | BNP | | | ILS | 500,000 | | | | 12,106 | | | | — | | | | 12,106 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | $ | 67,409 | | | $ | 217 | | | $ | 67,192 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
At August 31, 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) | |
| Receive | | BRL-CDI-Compounded | | | 0.000% | | | | 1/2/20 | | | | PAM | * | | BRL | 100,000 | | | $ | (94 | ) | | $ | (1 | ) | | $ | (93 | ) |
| Receive | | BRL-CDI-Compounded | | | 0.000% | | | | 7/1/21 | | | | PAM | * | | BRL | 14,900,000 | | | | (97,029 | ) | | | (451 | ) | | | (96,578 | ) |
| Pay | | U.S. Federal Funds Effective Rate Index | | | 1.860% | | | | 10/30/19 | | | | PAM | * | | USD | 190,000,000 | | | | (589 | ) | | | — | | | | (589 | ) |
| Receive | | U.S. Federal Funds Effective Rate Index | | | 2.684% | | | | 4/30/25 | | | | 12-Month | | | USD | 1,000,000 | | | | (91,661 | ) | | | (32 | ) | | | (91,629 | ) |
| Receive | | U.S. Federal Funds Effective Rate Index | | | 2.696% | | | | 4/30/25 | | | | 12-Month | | | USD | 300,000 | | | | (27,706 | ) | | | — | | | | (27,706 | ) |
| Receive | | U.S. Federal Funds Effective Rate Index | | | 2.710% | | | | 4/30/25 | | | | 12-Month | | | USD | 300,000 | | | | (27,953 | ) | | | — | | | | (27,953 | ) |
| Pay | | 28-Day MXN TIIE Banxico | | | 5.825% | | | | 1/12/23 | | | | 28-Day | | | MXN | 6,800,000 | | | | (10,655 | ) | | | 2,273 | | | | (12,928 | ) |
| Pay | | 28-Day MXN TIIE Banxico | | | 7.317% | | | | 3/23/22 | | | | 28-Day | | | MXN | 2,100,000 | | | | 1,014 | | | | — | | | | 1,014 | |
| Pay | | 28-Day MXN TIIE Banxico | | | 7.740% | | | | 2/22/27 | | | | 28-Day | | | MXN | 15,800,000 | | | | 44,925 | | | | (2,879 | ) | | | 47,804 | |
| Pay | | 3-Month Canadian Bank Bill | | | 1.900% | | | | 12/18/29 | | | | 6-Month | | | CAD | 600,000 | | | | 14,181 | | | | 12,610 | | | | 1,571 | |
| Pay | | 3-Month Canadian Bank Bill | | | 2.500% | | | | 6/19/29 | | | | 6-Month | | | CAD | 2,500,000 | | | | 164,227 | | | | 32,961 | | | | 131,266 | |
| Pay | | 3-MonthGBP-LIBOR | | | 1.500% | | | | 12/18/20 | | | | PAM | * | | GBP | 100,000 | | | | 1,109 | | | | 283 | | | | 826 | |
| Pay | | 3-MonthSEK-STIBOR | | | 0.500% | | | | 6/19/24 | | | | 12-Month | | | SEK | 4,800,000 | | | | 16,469 | | | | 10,994 | | | | 5,475 | |
| Pay | | 3-MonthUSD-LIBOR | | | 0.000% | | | | 12/18/29 | | | | 6-Month | | | USD | 200,000 | | | | 2,406 | | | | 2,185 | | | | 221 | |
| Receive | | 3-MonthUSD-LIBOR | | | 1.298% | | | | 8/25/24 | | | | 6-Month | | | USD | 1,400,000 | | | | (4,490 | ) | | | — | | | | (4,490 | ) |
| Receive | | 3-MonthUSD-LIBOR | | | 1.305% | | | | 8/21/23 | | | | 6-Month | | | USD | 2,000,000 | | | | (6,562 | ) | | | — | | | | (6,562 | ) |
| Pay | | 3-MonthUSD-LIBOR | | | 1.500% | | | | 12/18/29 | | | | 6-Month | | | USD | 300,000 | | | | 3,594 | | | | 3,208 | | | | 386 | |
| Receive | | 3-MonthUSD-LIBOR | | | 1.625% | | | | 1/6/30 | | | | 6-Month | | | USD | 4,800,000 | | | | (115,161 | ) | | | (84,779 | ) | | | (30,382 | ) |
| Receive | | 3-MonthUSD-LIBOR | | | 1.625% | | | | 1/16/50 | | | | 6-Month | | | USD | 100,000 | | | | (2,033 | ) | | | (1,423 | ) | | | (610 | ) |
| Receive | | 3-MonthUSD-LIBOR | | | 1.625% | | | | 2/3/50 | | | | 6-Month | | | USD | 200,000 | | | | (4,089 | ) | | | (14 | ) | | | (4,075 | ) |
| Pay | | 3-MonthUSD-LIBOR | | | 1.653% | | | | 8/25/51 | | | | 6-Month | | | USD | 150,000 | | | | 3,650 | | | | — | | | | 3,650 | |
| Pay | | 3-MonthUSD-LIBOR | | | 1.678% | | | | 8/21/50 | | | | 3-Month | | | USD | 250,000 | | | | 8,412 | | | | — | | | | 8,412 | |
| Receive | | 3-MonthUSD-LIBOR | | | 1.750% | | | | 6/20/20 | | | | 6-Month | | | USD | 27,400,000 | | | | 68,726 | | | | 513,968 | | | | (445,242 | ) |
| Pay | | 3-MonthUSD-LIBOR | | | 1.750% | | | | 12/18/49 | | | | 6-Month | | | USD | 600,000 | | | | 30,541 | | | | 19,482 | | | | 11,059 | |
| Receive | | 3-MonthUSD-LIBOR | | | 2.000% | | | | 12/20/19 | | | | 6-Month | | | USD | 8,200,000 | | | | 11,444 | | | | (573 | ) | | | 12,017 | |
| Receive | | 3-MonthUSD-LIBOR | | | 2.000% | | | | 1/15/30 | | | | 6-Month | | | USD | 2,600,000 | | | | (154,453 | ) | | | (12,276 | ) | | | (142,177 | ) |
| Receive | | 3-MonthUSD-LIBOR | | | 2.250% | | | | 12/16/22 | | | | 6-Month | | | USD | 1,300,000 | | | | (35,768 | ) | | | (7,312 | ) | | | (28,456 | ) |
| Receive | | 3-MonthUSD-LIBOR | | | 2.250% | | | | 6/20/28 | | | | 6-Month | | | USD | 4,000,000 | | | | (294,992 | ) | | | 227,274 | | | | (522,266 | ) |
| Receive | | 3-MonthUSD-LIBOR | | | 2.250% | | | | 12/11/49 | | | | 6-Month | | | USD | 900,000 | | | | (157,350 | ) | | | (3,337 | ) | | | (154,013 | ) |
| Receive | | 3-MonthUSD-LIBOR | | | 2.250% | | | | 3/12/50 | | | | 6-Month | | | USD | 500,000 | | | | (87,587 | ) | | | (1,246 | ) | | | (86,341 | ) |
| Receive | | 3-MonthUSD-LIBOR | | | 2.500% | | | | 12/18/21 | | | | 6-Month | | | USD | 3,200,000 | | | | (71,388 | ) | | | (44,487 | ) | | | (26,901 | ) |
| Receive | | 3-MonthUSD-LIBOR | | | 2.500% | | | | 12/18/24 | | | | 6-Month | | | USD | 6,000,000 | | | | (356,897 | ) | | | (326,249 | ) | | | (30,648 | ) |
| Receive | | 3-MonthUSD-LIBOR | | | 2.500% | | | | 6/20/48 | | | | 6-Month | | | USD | 700,000 | | | | (159,912 | ) | | | 73,930 | | | | (233,842 | ) |
| Pay | | 3-MonthUSD-LIBOR | | | 2.750% | | | | 12/19/20 | | | | 6-Month | | | USD | 3,700,000 | | | | 52,885 | | | | (11,349 | ) | | | 64,234 | |
| Receive | | 3-MonthUSD-LIBOR | | | 2.953% | | | | 11/12/49 | | | | 6-Month | | | USD | 600,000 | | | | (209,419 | ) | | | — | | | | (209,419 | ) |
| Receive | | 3-MonthUSD-LIBOR | | | 2.955% | | | | 11/12/49 | | | | 6-Month | | | USD | 600,000 | | | | (209,791 | ) | | | — | | | | (209,791 | ) |
| Receive | | 3-MonthUSD-LIBOR | | | 3.000% | | | | 6/19/24 | | | | 6-Month | | | USD | 1,300,000 | | | | (102,808 | ) | | | (67,527 | ) | | | (35,281 | ) |
| Pay | | 3-MonthZAR-SAJIBOR | | | 7.250% | | | | 6/20/23 | | | | 3-Month | | | ZAR | 14,000,000 | | | | 17,538 | | | | (14,709 | ) | | | 32,247 | |
| Pay | | 3-MonthZAR-SAJIBOR | | | 8.500% | | | | 3/15/27 | | | | 3-Month | | | ZAR | 5,200,000 | | | | 26,266 | | | | (349 | ) | | | 26,615 | |
| Pay | | 3-MonthZAR-SAJIBOR | | | 8.750% | | | | 3/16/21 | | | | 3-Month | | | ZAR | 15,700,000 | | | | 37,319 | | | | 1,570 | | | | 35,749 | |
See Notes to Financial Statements.
253
| | | | | | |
| 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) | |
| Receive | | 6-Month EURIBOR | | | 0.000% | | | | 9/18/21 | | | | 12-Month | | | EUR | 3,700,000 | | | $ | (47,498 | ) | | $ | (23,633 | ) | | $ | (23,865 | ) |
| Receive | | 6-Month EURIBOR | | | 0.000% | | | | 12/18/21 | | | | 12-Month | | | EUR | 8,800,000 | | | | (117,607 | ) | | | (73,550 | ) | | | (44,057 | ) |
| Pay | | 6-Month EURIBOR | | | 0.000% | | | | 12/18/24 | | | | 12-Month | | | EUR | 4,200,000 | | | | 127,038 | | | | 27,330 | | | | 99,708 | |
| Pay | | 6-Month EURIBOR | | | 0.250% | | | | 9/18/24 | | | | 12-Month | | | EUR | 15,600,000 | | | | 693,231 | | | | 64,932 | | | | 628,299 | |
| Pay | | 6-Month EURIBOR | | | 0.750% | | | | 9/18/29 | | | | 12-Month | | | EUR | 200,000 | | | | 23,676 | | | | 21,591 | | | | 2,085 | |
| Pay | | 6-Month EURIBOR | | | 1.000% | | | | 3/8/29 | | | | 12-Month | | | EUR | 800,000 | | | | 51,108 | | | | (3,819 | ) | | | 54,927 | |
| Receive | | 6-Month EURIBOR | | | 1.250% | | | | 9/18/49 | | | | 12-Month | | | EUR | 650,000 | | | | (260,458 | ) | | | (125,252 | ) | | | (135,206 | ) |
| Pay | | 6-Month EURIBOR | | | 1.310% | | | | 6/19/29 | | | | 12-Month | | | EUR | 5,400,000 | | | | 430,885 | | | | 175,769 | | | | 255,116 | |
| Pay | | 6-MonthGBP-LIBOR | | | 1.000% | | | | 9/18/21 | | | | 6-Month | | | GBP | 1,400,000 | | | | 12,297 | | | | (5,024 | ) | | | 17,321 | |
| Pay | | 6-MonthGBP-LIBOR | | | 1.000% | | | | 12/18/24 | | | | 6-Month | | | GBP | 6,500,000 | | | | 166,329 | | | | 26,421 | | | | 139,908 | |
| Receive | | 6-MonthGBP-LIBOR | | | 1.000% | | | | 12/18/29 | | | | 6-Month | | | GBP | 800,000 | | | | (38,351 | ) | | | (24,270 | ) | | | (14,081 | ) |
| Pay | | 6-MonthGBP-LIBOR | | | 1.250% | | | | 12/18/49 | | | | 6-Month | | | GBP | 300,000 | | | | 61,765 | | | | 6,366 | | | | 55,399 | |
| Pay | | 6-MonthGBP-LIBOR | | | 1.500% | | | | 9/18/49 | | | | 6-Month | | | GBP | 400,000 | | | | 116,682 | | | | (6,418 | ) | | | 123,100 | |
| Pay | | 6-MonthJPY-LIBOR | | | 0.200% | | | | 6/19/29 | | | | 6-Month | | | JPY | 250,000,000 | | | | 76,163 | | | | 41,950 | | | | 34,213 | |
| Receive | | 6-MonthJPY-LIBOR | | | 0.400% | | | | 6/19/39 | | | | 6-Month | | | JPY | 80,000,000 | | | | (56,374 | ) | | | 1,430 | | | | (57,804 | ) |
| Pay | | 6-MonthJPY-LIBOR | | | 0.500% | | | | 6/19/49 | | | | 6-Month | | | JPY | 90,000,000 | | | | 104,753 | | | | 8,681 | | | | 96,072 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | $ | (380,042 | ) | | $ | 434,249 | | | $ | (814,291 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
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-MonthUSD-LIBOR | | | 6/12/22 | | | USD | 1,400,000 | | | $ | 2,206 | | | $ | — | | | $ | 2,206 | |
| | | | | | |
1-MonthUSD-LIBOR + 0.073% | | 3-MonthUSD-LIBOR | | | 4/27/23 | | | USD | 4,600,000 | | | | 731 | | | | — | | | | 731 | |
| | | | | | |
1-MonthUSD-LIBOR + 0.084% | | 3-MonthUSD-LIBOR | | | 6/12/22 | | | USD | 1,900,000 | | | | 2,208 | | | | — | | | | 2,208 | |
| | | | | | |
1-MonthUSD-LIBOR + 0.084% | | 3-MonthUSD-LIBOR | | | 4/26/22 | | | USD | 6,700,000 | | | | 659 | | | | — | | | | 659 | |
| | | | | | |
1-MonthUSD-LIBOR + 0.085% | | 3-MonthUSD-LIBOR | | | 6/19/22 | | | USD | 7,400,000 | | | | 8,766 | | | | (555 | ) | | | 9,321 | |
| | | | | | |
1-MonthUSD-LIBOR + 0.086% | | 3-MonthUSD-LIBOR | | | 4/12/23 | | | USD | 3,100,000 | | | | 318 | | | | — | | | | 318 | |
| | | | | | |
1-MonthUSD-LIBOR + 0.088% | | 3-MonthUSD-LIBOR | | | 5/23/29 | | | USD | 1,000,000 | | | | 160 | | | | — | | | | 160 | |
| | | | | | |
1-MonthUSD-LIBOR + 0.091% | | 3-MonthUSD-LIBOR | | | 3/18/22 | | | USD | 32,200,000 | | | | 1,165 | | | | (854 | ) | | | 2,019 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | | | | | | | | | | | $ | 16,213 | | | $ | (1,409 | ) | | $ | 17,622 | |
| | | | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
254
| | | | | | |
| International Fixed Income Fund |
At August 31, 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
8/31/19 (2) | | | Notional
Amount (3) | | | Market
Value | | | Upfront
Payment
Paid/
(Received) | | | Unrealized
Appreciation/
(Depreciation) | |
China Government International, A+ | | | (1.000 | )% | | | 6/20/23 | | | | 3-Month | | | | BCLY | | | | 0.337 | % | | | USD | | | | 200,000 | | | $ | (5,340 | ) | | $ | (3,815 | ) | | $ | (1,525 | ) |
China Government International, A+ | | | (1.000 | )% | | | 6/20/23 | | | | 3-Month | | | | GSC | | | | 0.337 | % | | | USD | | | | 500,000 | | | | (13,350 | ) | | | (9,654 | ) | | | (3,696 | ) |
Japan Government International Bond, A+ | | | (1.000 | )% | | | 6/20/22 | | | | 3-Month | | | | BCLY | | | | 0.111 | % | | | USD | | | | 400,000 | | | | (10,674 | ) | | | (14,121 | ) | | | 3,447 | |
Japan Government International Bond, A+ | | | (1.000 | )% | | | 6/20/22 | | | | 3-Month | | | | BNP | | | | 0.111 | % | | | USD | | | | 700,000 | | | | (18,680 | ) | | | (25,057 | ) | | | 6,377 | |
Japan Government International Bond, A+ | | | (1.000 | )% | | | 6/20/22 | | | | 3-Month | | | | BOA | | | | 0.111 | % | | | USD | | | | 200,000 | | | | (5,337 | ) | | | (6,913 | ) | | | 1,576 | |
Japan Government International Bond, A+ | | | (1.000 | )% | | | 6/20/22 | | | | 3-Month | | | | GSC | | | | 0.111 | % | | | USD | | | | 500,000 | | | | (13,343 | ) | | | (17,653 | ) | | | 4,310 | |
Japan Government International Bond, A+ | | | (1.000 | )% | | | 6/20/22 | | | | 3-Month | | | | HSBC | | | | 0.111 | % | | | USD | | | | 300,000 | | | | (8,006 | ) | | | (10,159 | ) | | | 2,153 | |
Markit iTraxx Europe Sub Financials Series 275-Year Index | | | (1.000 | )% | | | 6/20/22 | | | | 3-Month | | | | BNP | | | | 0.749 | % | | | EUR | | | | 700,000 | | | | (7,030 | ) | | | 36,666 | | | | (43,696 | ) |
South Korea International Bond, AA | | | (1.000 | )% | | | 6/20/23 | | | | 3-Month | | | | BCLY | | | | 0.254 | % | | | USD | | | | 600,000 | | | | (17,884 | ) | | | (15,056 | ) | | | (2,828 | ) |
South Korea International Bond, AA | | | (1.000 | )% | | | 6/20/23 | | | | 3-Month | | | | BNP | | | | 0.254 | % | | | USD | | | | 400,000 | | | | (11,923 | ) | | | (9,884 | ) | | | (2,039 | ) |
South Korea International Bond, AA | | | (1.000 | )% | | | 6/20/23 | | | | 3-Month | | | | HSBC | | | | 0.254 | % | | | USD | | | | 200,000 | | | | (5,961 | ) | | | (4,989 | ) | | | (972 | ) |
South Korea International Bond, AA | | | (1.000 | )% | | | 6/20/23 | | | | 3-Month | | | | JPM | | | | 0.254 | % | | | USD | | | | 400,000 | | | | (11,923 | ) | | | (9,580 | ) | | | (2,343 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | (129,451 | ) | | $ | (90,215 | ) | | $ | (39,236 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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
8/31/19 (2) | | | Notional
Amount (3) | | | Market
Value | | | Upfront
Premiums
(Received) | | | Unrealized
Appreciation | |
South Africa Government, BB | | | 1.000 | % | | | 6/20/23 | | | | 3-Month | | | | JPM | | | | 1.494 | % | | | USD | | | | 100,000 | | | $ | (1,599 | ) | | $ | (4,998 | ) | | $ | 3,399 | |
South Africa Government, BB | | | 1.000 | % | | | 6/20/24 | | | | 3-Month | | | | GSC | | | | 1.785 | % | | | USD | | | | 200,000 | | | | (6,689 | ) | | | (8,852 | ) | | | 2,163 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | (8,288 | ) | | $ | (13,850 | ) | | $ | 5,562 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
255
| | | | | | |
| 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
8/31/19 (2) | | | Notional
Amount (3) | | | Market
Value | | | Upfront
Payment
Paid/
(Received) | | | Unrealized
Appreciation/
(Depreciation) | |
Basf Se, A | | | (1.000 | )% | | | 12/20/20 | | | | 3-Month | | | | 0.080 | % | | | EUR | | | | 100,000 | | | $ | (1,570 | ) | | $ | (2,908 | ) | | $ | 1,338 | |
Markit CDX North America Investment Grade Series 325-Year Index | | | (1.000 | )% | | | 6/20/29 | | | | 3-Month | | | | 1.024 | % | | | USD | | | | 3,400,000 | | | | 125 | | | | 12,983 | | | | (12,858 | ) |
Markit iTraxx Europe Senior Financials Series 285-Year Index | | | (1.000 | )% | | | 12/20/22 | | | | 3-Month | | | | 0.381 | % | | | EUR | | | | 300,000 | | | | (7,514 | ) | | | (8,322 | ) | | | 808 | |
Markit iTraxx Europe Senior Financials Series 305-Year Index | | | (1.000 | )% | | | 12/20/23 | | | | 3-Month | | | | 0.551 | % | | | EUR | | | | 2,100,000 | | | | (49,602 | ) | | | 5,166 | | | | (54,768 | ) |
Markit iTraxx Europe Series 265-Year Index | | | (1.000 | )% | | | 12/20/21 | | | | 3-Month | | | | 0.183 | % | | | EUR | | | | 9,300,000 | | | | (216,862 | ) | | | (664,906 | ) | | | 448,044 | |
Markit iTraxx Europe Series 285-Year Index | | | (1.000 | )% | | | 12/20/22 | | | | 3-Month | | | | 0.293 | % | | | EUR | | | | 16,500,000 | | | | (467,731 | ) | | | (643,847 | ) | | | 176,116 | |
Markit iTraxx Europe Series 305-Year Index | | | (1.000 | )% | | | 12/20/23 | | | | 3-Month | | | | 0.439 | % | | | EUR | | | | 2,600,000 | | | | (75,625 | ) | | | (30,971 | ) | | | (44,654 | ) |
Reynolds American Inc., BBB+ | | | (1.000 | )% | | | 12/20/20 | | | | 3-Month | | | | 0.121 | % | | | USD | | | | 500,000 | | | | (6,756 | ) | | | (14,731 | ) | | | 7,975 | |
United Utilities PLC, BBB | | | (1.000 | )% | | | 12/20/20 | | | | 3-Month | | | | 0.131 | % | | | EUR | | | | 200,000 | | | | (2,988 | ) | | | (3,440 | ) | | | 452 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | $ | (828,523 | ) | | $ | (1,350,976 | ) | | $ | 522,453 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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
8/31/19 (2) | | | Notional
Amount (3) | | | Market
Value | | | Upfront
Payment
Paid/
(Received) | | | Unrealized
Appreciation/
(Depreciation) | |
Daimler AG, A | | | 1.000 | % | | | 12/20/20 | | | | 3-Month | | | | 0.172 | % | | | EUR | | | | 100,000 | | | $ | 1,433 | | | $ | 1,651 | | | $ | (218 | ) |
Deutsche Bank AG, BBB- | | | 1.000 | % | | | 12/20/19 | | | | 3-Month | | | | 0.606 | % | | | EUR | | | | 100,000 | | | | 358 | | | | 257 | | | | 101 | |
Markit CDX North America Investment Grade Series 325-Year Index | | | 1.000 | % | | | 6/20/24 | | | | 3-Month | | | | 0.545 | % | | | USD | | | | 3,800,000 | | | | 87,382 | | | | 74,974 | | | | 12,408 | |
Markit iTraxx Europe Series 315-Year Index | | | 5.000 | % | | | 6/20/24 | | | | 3-Month | | | | 2.525 | % | | | EUR | | | | 300,000 | | | | 39,816 | | | | 37,640 | | | | 2,176 | |
Marks & Spencer PLC, BBB- | | | 1.000 | % | | | 6/20/23 | | | | 3-Month | | | | 1.567 | % | | | EUR | | | | 200,000 | | | | (4,252 | ) | | | (6,000 | ) | | | 1,748 | |
Ryder System Inc., BBB+ | | | 1.000 | % | | | 6/20/22 | | | | 3-Month | | | | 0.425 | % | | | USD | | | | 100,000 | | | | 1,790 | | | | 1,866 | | | | (76 | ) |
Shell International Finance BV, AA- | | | 1.000 | % | | | 12/20/26 | | | | 3-Month | | | | 0.413 | % | | | EUR | | | | 200,000 | | | | 10,053 | | | | (5,907 | ) | | | 15,960 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | $ | 136,580 | | | $ | 104,481 | | | $ | 32,099 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
256
| | | | | | |
| International Fixed Income Fund |
At August 31, 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-MonthAUD-LIBOR plus 0.423% based on the notional amount of currency delivered | | | 8/1/2029 | | |
| GSC | | | USD | 1,449,000 | | | AUD | 2,100,000 | | | $ | (33,867 | ) | | $ | (3,920 | ) | | $ | (29,947 | ) |
| | | | | | | | |
Floating rate equal to3-MonthUSD-LIBOR based on the notional amount of currency received | | Floating rate equal to3-MonthEUR-LIBOR less 0.225% based on the notional amount of currency delivered | | | 9/18/2029 | | |
| BNP | | | USD | 1,122,947 | | | EUR | 1,000,000 | | | | (19,842 | ) | | | (2,147 | ) | | | (17,695 | ) |
| | | | | | | | |
Floating rate equal to3-MonthUSD-LIBOR based on the notional amount of currency received | | Floating rate equal to3-MonthEUR-LIBOR less 0.245% based on the notional amount of currency delivered | | | 11/15/2029 | | |
| GSC | | | USD | 553,350 | | | EUR | 500,000 | | | | (2,867 | ) | | | 1,100 | | | | (3,967 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | | | | | | | | | | | | | | | | | | $ | (56,576 | ) | | $ | (4,967 | ) | | $ | (51,609 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (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. |
| (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 August 31, 2019, International Fixed Income Fund deposited cash collateral with brokers in the amount of $1,232,000 for open centrally cleared swap contracts.
At August 31, 2019, International Fixed Income Fund had cash collateral from brokers in the amount of $380,000 for open OTC swap contracts.
At August 31, 2019, International Fixed Income Fund was involved in following sale-buyback transactions:
| | | | | | | | | | | | | | | | |
| Counterparty | | Borrowing
date | | | Maturity
date | | | Borrowing
rate | | | Amount
borrowed | |
BNP Paribas | | | 08/27/2019 | | | | 9/6/2019 | | | | 1.84 | % | | $ | 773,255 | |
See Notes to Financial Statements.
257
| | | | | | |
| International Fixed Income Fund |
| | | | | | |
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 | | CITI | | — Citigroup Global Markets Inc. |
| CNH | | — Chinese Offshore Renminbi | | CSFB | | —Credit Suisse Securities (USA) LLC |
| CNY | | — China Yuan Renminbi | | DUB | | — Deutsche Bank AG |
| DKK | | — Danish Krone | | GSC | | — Goldman Sachs & Co. |
| EUR | | — Euro | | HSBC | | — HSBC Bank USA |
| GBP | | — British Pound | | JPM | | — JPMorgan Chase & Co. |
| HKD | | — Hong Kong Dollar | | RBS | | — Royal Bank of Scotland PLC |
| ILS | | — Israeli New Shekel | | SCB | | — Standard Chartered Bank |
| INR | | — Indian Rupee | | SOG | | — Societe Generale SA |
| JPY | | — Japanese Yen | | UBS | | — UBS Securities LLC |
| MXN | | — Mexican Peso | | | | |
| MYR | | — Malaysian Ringgit | | | | |
| NOK | | — Norwegian Krone | | | | |
| NZD | | — New Zealand Dollar | | | | |
| PEN | | — Peruvian Sol | | | | |
| PLN | | — Polish Zloty | | | | |
| SEK | | — Swedish Krona | | | | |
| SGD | | — Singapore Dollar | | | | |
| TRY | | — Turkish Lira | | | | |
| ZAR | | — South African Rand | | | | |
See Notes to Financial Statements.
258
| | | | | | | | | | |
| Municipal Bond Fund | | | |
| | | |
Face
Amount | | | Rating†† | | Security | | Value | |
|
| | MUNICIPAL BONDS — 94.0% | |
|
| | Arizona — 4.4% | |
| $ | 2,815,000 | | | A+ | | Chandler Industrial Development Authority, Revenue Bonds, Variable AMT Intel Corp., 5.000% due 6/1/49(a)(b) | | $ | 3,267,089 | |
| | 500,000 | | | BB+ | | Maricopa County Industrial Development Authority, Revenue Bonds, Paradise School Project Paragon Management Inc., 4.000% due 7/1/26(c) | | | 539,605 | |
| | | | | | | | | | |
| | | | | | Total Arizona | | | 3,806,694 | |
| | | | | | | | | | |
|
| | California — 8.2% | |
| | 500,000 | | | CCC | | California County Tobacco Securitization Agency, Revenue Bonds, Asset-Backed Gold Country Funding Corp., 5.250% due 6/1/46 | | | 500,090 | |
| | 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(d) | | | 1,322,480 | |
| | 1,000,000 | | | AA- | | Garden Grove Unified School District, GO, 2010 Election, Series C, 5.000% due 8/1/35 | | | 1,148,020 | |
| | | | | | Golden State Tobacco Securitization Corp., Revenue Bonds: | | | | |
| | 290,000 | | | NR | | Series A1, 5.000% due 6/1/47 | | | 297,441 | |
| | 35,000 | | | NR | | Series A2, 5.000% due 6/1/47 | | | 35,898 | |
| | 1,000,000 | | | A3(e) | | Kaweah Delta Health Care District, Revenue Bonds, Series B, 4.000% due 6/1/45 | | | 1,063,190 | |
| | 1,500,000 | | | A+ | | San Diego County, CA, Regional Airport Authority, Revenue Bonds, Series A, 5.000% due 7/1/43 | | | 1,687,200 | |
| | 1,000,000 | | | B+ | | Tobacco Securitization Authority of Southern California, Revenue Bonds, Senior Series A1, 5.125% due 6/1/46 | | | 1,002,090 | |
| | | | | | | | | | |
| | | | | | Total California | | | 7,056,409 | |
| | | | | | | | | | |
|
| | Colorado — 8.8% | |
| | 750,000 | | | A+ | | City & County of Denver, CO, Airport System Revenue, Revenue Bonds, AMT, Series A, 5.000% due 11/15/30(b) | | | 936,360 | |
| | 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 | | | 1,629,615 | |
| | 1,500,000 | | | AA- | | Colorado Health Facilities Authority, Revenue Bonds, Sisters of Charity of Leavenworth Inc., Series A, 5.000% due 1/1/44 | | | 1,690,380 | |
| | 1,000,000 | | | AAA | | Colorado Water Resources & Power Development Authority, Revenue Bonds, Revolving Fund, Series A, 5.500% due 9/1/22 | | | 1,131,110 | |
| | 2,000,000 | | | AA- | | University of Colorado Hospital Authority, Revenue Bonds, Series A, 4.000% due 11/15/36 | | | 2,113,180 | |
| | | | | | | | | | |
| | | | | | Total Colorado | | | 7,500,645 | |
| | | | | | | | | | |
|
| | Connecticut — 0.9% | |
| | 790,000 | | | AAA | | Connecticut Housing Finance Authority, AMT, Series B2, 2.300% due 11/15/23(b) | | | 809,687 | |
| | | | | | | | | | |
|
| | District of Columbia — 2.8% | |
| | 1,500,000 | | | AAA | | District of Columbia, Income Tax Revenue, Revenue Bonds, Series A, 5.000% due 12/1/28 | | | 1,628,355 | |
| | 700,000 | | | AA- | | Metropolitan Washington Airports Authority, Revenue Bonds, AMT, Series A, 4.000% due 10/1/36(b) | | | 782,992 | |
| | | | | | | | | | |
| | | | | | Total District of Columbia | | | 2,411,347 | |
| | | | | | | | | | |
|
| | Florida — 7.8% | |
| | 1,400,000 | | | A+ | | City of Cape Coral, FL, Water & Sewer Revenue, Revenue Bonds, 5.000% due 10/1/39 | | | 1,715,070 | |
| | 1,500,000 | | | AA- | | City of Gainesville, FL, Utilities System Revenue, Revenue Bonds, Series A, 5.000% due 10/1/29 | | | 1,924,035 | |
| | 100,000 | | | NR | | Florida Development Finance Corp., Revenue Bonds, AMT, Waste Pro USA Inc. Project, 5.000% due 5/1/29(b)(c) | | | 110,846 | |
| | 1,090,000 | | | A1(e) | | Florida Municipal Power Agency, Revenue Bonds, Stanton II Project, Series A, 5.000% due 10/1/24 | | | 1,211,241 | |
| | 125,000 | | | NR | | Harbor Bay Community Development District, Special Assessment, Area One, Series A2, 3.100% due 5/1/24 | | | 124,996 | |
| | 275,000 | | | NR | | Lakewood Ranch Stewardship District, Special Assessment, Isles Lakewood Ranch Project, 3.875% due 5/1/29 | | | 287,460 | |
See Notes to Financial Statements.
259
| | | | | | | | | | |
| Municipal Bond Fund | | | |
| | | |
Face
Amount | | | Rating†† | | Security | | Value | |
|
| | Florida — 7.8% — (continued) | |
| $ | 1,000,000 | | | AA | | Orlando Utilities Commission, Utility System Revenue Bonds, 2018 Project, Series A, 5.000% due 10/1/33 | | $ | 1,262,550 | |
| | | | | | | | | | |
| | | | | | Total Florida | | | 6,636,198 | |
| | | | | | | | | | |
|
| | Georgia — 3.5% | |
| | 2,610,000 | | | Aa1(e) | | Main Street Natural Gas Inc., Revenue Bonds, Series B, 4.000% due 8/1/49(a) | | | 2,968,745 | |
| | | | | | | | | | |
|
| | Illinois — 3.9% | |
| | | | | | Illinois Finance Authority, Revenue Bonds: | | | | |
| | 1,235,000 | | | AA | | Advocate Health Care, 4.000% due 6/1/47 | | | 1,281,189 | |
| | 600,000 | | | A | | DePaul University, 5.000% due 10/1/36 | | | 720,282 | |
| | 1,000,000 | | | AAA | | Northwestern University, 5.000% due 12/1/28 | | | 1,326,700 | |
| | | | | | | | | | |
| | | | | | Total Illinois | | | 3,328,171 | |
| | | | | | | | | | |
|
| | Indiana — 1.4% | |
| | 1,000,000 | | | A+ | | Indiana Municipal Power Agency, Power Supply, Revenue Bonds, Series C, 5.000% due 1/1/37 | | | 1,203,670 | |
| | | | | | | | | | |
|
| | Iowa — 1.4% | |
| | 1,000,000 | | | A3(e) | | PEFA Inc., Revenue Bonds, 5.000% due 9/1/49(a) | | | 1,204,410 | |
| | | | | | | | | | |
|
| | Louisiana — 0.7% | |
| | | | | | New Orleans Aviation Board, AMT, General Airport North Terminal, Revenue Bonds, Series B: | | | | |
| | 250,000 | | | A- | | 5.000% due 1/1/37(b) | | | 295,932 | |
| | 250,000 | | | A- | | 5.000% due 1/1/38(b) | | | 295,365 | |
| | | | | | | | | | |
| | | | | | Total Louisiana | | | 591,297 | |
| | | | | | | | | | |
|
| | Maryland — 0.6% | |
| | 500,000 | | | BB | | Maryland Health & Higher Educational Facilities Authority, Revenue Bonds, Patterson Park Public Charter School, Series A, 6.000% due 7/1/40 | | | 500,085 | |
| | | | | | | | | | |
|
| | Massachusetts — 2.0% | |
| | 1,000,000 | | | AA | | Massachusetts Bay Transportation Authority, Revenue Bonds, Series A1, 5.000% due 7/1/44 | | | 1,222,390 | |
| | 500,000 | | | A | | Massachusetts Development Finance Agency, Revenue Bonds, Worcester Polytechnic Institute, 4.000% due 9/1/49 | | | 522,265 | |
| | | | | | | | | | |
| | | | | | Total Massachusetts | | | 1,744,655 | |
| | | | | | | | | | |
|
| | Minnesota — 3.7% | |
| | 65,000 | | | A2(e) | | City of St Cloud, MN, Revenue Bonds, Centracare Health System, 5.000% due 5/1/48 | | | 80,290 | |
| | 2,995,000 | | | AA+ | | Minnesota Housing Finance Agency, Revenue Bonds,Non-Ace Residential Housing Finance Bonds, Series C, 3.600% due 7/1/31 | | | 3,118,753 | |
| | | | | | | | | | |
| | | | | | Total Minnesota | | | 3,199,043 | |
| | | | | | | | | | |
|
| | Nevada — 1.7% | |
| | 1,130,000 | | | AA+ | | State of Nevada Highway Improvement Revenue, Revenue Bonds, 5.000% due 12/1/31 | | | 1,416,229 | |
| | | | | | | | | | |
|
| | New Jersey — 3.8% | |
| | 1,340,000 | | | A3(e) | | Manalapan-Englishtown Regional Board of Education, GO, FGIC & NPFG-Insured, 5.750% due 12/1/22 | | | 1,525,496 | |
| | 215,000 | | | NR | | New Jersey Economic Development Authority, Revenue Bonds, Golden Door Charter School Project, 5.125% due 11/1/29(c) | | | 233,385 | |
| | 1,250,000 | | | A+ | | New Jersey Transportation Trust Fund Authority, Revenue Bonds, Highway Reimbursement, 5.000% due 6/15/30 | | | 1,488,887 | |
| | | | | | | | | | |
| | | | | | Total New Jersey | | | 3,247,768 | |
| | | | | | | | | | |
|
| | New Mexico — 1.2% | |
| | 1,000,000 | | | BBB+ | | City of Farmington NM, Revenue Bonds, Public Service Company of New Mexico, 1.875% due 4/1/33(a) | | | 1,009,060 | |
| | | | | | | | | | |
See Notes to Financial Statements.
260
| | | | | | | | | | |
| Municipal Bond Fund | | | |
| | | |
Face
Amount | | | Rating†† | | Security | | Value | |
|
| | New York — 4.3% | |
| $ | 1,170,000 | | | AA | | New York City Trust for Cultural Resources, Revenue Bonds, Juilliard School, Series A, 5.000% due 1/1/33 | | $ | 1,525,470 | |
| | 1,635,000 | | | AA+ | | New York State Dormitory Authority, Bidding Group, Revenue Bonds, Series B, 5.000% due 2/15/43 | | | 1,999,343 | |
| | 140,000 | | | WD(f) | | Niagara Tobacco Asset Securitization Corp., Revenue Bonds, Asset-Backed Bonds, 5.000% due 5/15/21 | | | 146,947 | |
| | | | | | | | | | |
| | | | | | Total New York | | | 3,671,760 | |
| | | | | | | | | | |
|
| | Ohio — 0.7% | |
| | 600,000 | | | BB+ | | Ohio Air Quality Development Authority, Revenue Bonds, Ohio Valley Electric Corp., Series A, 2.875% due 2/1/26 | | | 612,882 | |
| | | | | | | | | | |
|
| | Oregon — 1.7% | |
| | 1,330,000 | | | Aa2(e) | | Washington & Clackamas Counties School District No. 23J Tigard-Tualatin, GO, NPFG-Insured, 5.000% due 6/15/22 | | | 1,474,478 | |
| | | | | | | | | | |
|
| | Puerto Rico — 1.3% | |
| | | | | | Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, Revenue Bonds: | | | | |
| | 334,000 | | | NR | | Series A1, zero coupon, due 7/1/24 | | | 291,418 | |
| | 570,000 | | | NR | | Series A1, 4.750% due 7/1/53 | | | 585,852 | |
| | 216,000 | | | NR | | Series A2, 4.784% due 7/1/58 | | | 222,210 | |
| | | | | | | | | | |
| | | | | | Total Puerto Rico | | | 1,099,480 | |
| | | | | | | | | | |
|
| | South Carolina — 8.6% | |
| | 1,535,000 | | | Aa3(e) | | Clemson University, Revenue Bonds, 5.000% due 5/1/29 | | | 1,831,547 | |
| | 2,000,000 | | | A | | South Carolina Jobs-Economic Development Authority, Revenue Bonds, Prisma Health Obligation Group, Series A, 5.000% due 5/1/28 | | | 2,554,040 | |
| | 3,000,000 | | | A1(e) | | South Carolina Transportation Infrastructure Bank, Revenue Bonds, Remarketing, Series B, zero coupon(1-MonthUSD-LIBOR + 0.450%) due 10/1/31(a) | | | 3,000,690 | |
| | | | | | | | | | |
| | | | | | Total South Carolina | | | 7,386,277 | |
| | | | | | | | | | |
|
| | Tennessee — 1.3% | |
| | 1,030,000 | | | Aa2(e) | | Tennessee Housing Development Agency, Revenue Bonds, Series A, 3.850% due 1/1/35 | | | 1,091,254 | |
| | | | | | | | | | |
|
| | Texas — 9.4% | |
| | 1,000,000 | | | A1(e) | | City of Houston, TX, Airport System Revenue, Revenue Bonds, AMT, Series C, 5.000% due 7/1/26(b) | | | 1,225,250 | |
| | 295,000 | | | A | | Lower Colorado River Authority, Revenue Bonds, LCRA Transmission Services Corp. Project, 4.000% due 5/15/36 | | | 310,030 | |
| | 505,000 | | | NR | | New Hope Cultural Education Facilities Finance Corp., Revenue Bonds, Beta Academy, 3.375% due 8/15/29 | | | 512,363 | |
| | 1,000,000 | | | AAA | | North East, TX, Independent School District, GO,PSF-GTD-Insured, 5.250% due 2/1/28 | | | 1,307,580 | |
| | 1,000,000 | | | A+ | | North Texas Tollway Authority, Revenue Bonds, Series A, 5.000% due 1/1/39 | | | 1,184,100 | |
| | 1,250,000 | | | AA | | San Antonio Water System, Revenue Bonds, Junior Lien Revenue and Refunding Bonds, Series C, 5.000% due 5/15/46 | | | 1,500,175 | |
| | 1,575,000 | | | AAA | | Texas Transportation Commission State Highway Fund, Revenue Bonds, 5.250% due 4/1/26 | | | 1,988,674 | |
| | | | | | | | | | |
| | | | | | Total Texas | | | 8,028,172 | |
| | | | | | | | | | |
|
| | Utah — 3.4% | |
| | 500,000 | | | A | | Utah Associated Municipal Power Systems, Revenue Bonds, Horse Butte Wind, Series A, 5.000% due 9/1/32 | | | 620,725 | |
| | 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(d) | | | 2,291,460 | |
| | | | | | | | | | |
| | | | | | Total Utah | | | 2,912,185 | |
| | | | | | | | | | |
|
| | Washington — 1.5% | |
| | 1,000,000 | | | AA+ | | King County School District No. 401 Highline, GO, SCH BDGTY-Insured, 5.000% due 12/1/35 | | | 1,278,050 | |
| | | | | | | | | | |
See Notes to Financial Statements.
261
| | | | | | | | | | |
| Municipal Bond Fund | | | |
| | | |
Face
Amount | | | Rating†† | | Security | | Value | |
|
| | Wisconsin — 4.2% | |
| $ | 1,500,000 | | | AA+ | | Wisconsin Department of Transportation, Revenue Bonds, Series I, 5.000% due 7/1/20 | | $ | 1,549,275 | |
| | | | | | Wisconsin Health & Educational Facilities Authority, Revenue Bonds: | | | | |
| | 1,300,000 | | | AA- | | Aspirus Inc. Obligation Group, 4.000% due 8/15/40 | | | 1,387,802 | |
| | 500,000 | | | AA | | Milwaukee Regional Medical Center Thermal Service Obligated Group, 5.000% due 4/1/37 | | | 622,290 | |
| | | | | | | | | | |
| | | | | | Total Wisconsin | | | 3,559,367 | |
| | | | | | | | | | |
|
| | Wyoming — 0.8% | |
| | 680,000 | | | A | | County of Laramie, WY, Revenue Bonds, Cheyenne Regional Medical Center Project, 5.000% due 5/1/37 | | | 716,550 | |
| | | | | | | | | | |
| | | | | | TOTAL MUNICIPAL BONDS
(Cost — $75,162,899) | | | 80,464,568 | |
| | | | | | | | | | |
| | | |
| Shares/Units | | | | | | | | |
|
| | CLOSED END MUTUAL FUND SECURITY — 4.0% | |
|
| | UNITED STATES — 4.0% | |
| | 30,100 | | | | | iShares® National Muni Bond ETF, Common Class
(Cost — $3,340,729) | | | 3,467,520 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS
(Cost — $78,503,628) | | | 83,932,088 | |
| | | | | | | | | | |
| | | |
Face
Amount | | | | | | | | |
|
| | SHORT-TERM INVESTMENTS — 1.7% | |
|
| | TIME DEPOSITS — 1.7% | |
| $ | 202,035 | | | | | ANZ National Bank — London, 1.490% due 9/3/19 | | | 202,035 | |
| | 71,272 | | | | | Banco Santander SA — Frankfurt, 1.490% due 9/3/19 | | | 71,272 | |
| | 1,153,659 | | | | | JPMorgan Chase & Co. — New York, 1.490% due 9/3/19 | | | 1,153,659 | |
| | | | | | | | | | |
| | | | | | TOTAL SHORT-TERM INVESTMENTS
(Cost — $1,426,966) | | | 1,426,966 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS — 99.7%
(Cost — $79,930,594) | | | 85,359,054 | |
| | | | | | | | | | |
| | | | | | Other Assets in Excess of Liabilities — 0.3% | | | 275,580 | |
| | | | | | | | | | |
| | | | | | TOTAL NET ASSETS — 100.0% | | $ | 85,634,634 | |
| | | | | | | | | | |
| †† | 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 August 31, 2019. |
| (b) | Income from this issue is considered a preference item for purposes of calculating the alternative minimum tax (AMT). |
| (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 August 31, 2019 amounts to approximately $883,836 and represents 1.0% of net assets. |
| (d) | 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. |
| (e) | Rating by Moody’s Investors Service. All ratings are unaudited. |
| (f) | Rating by Fitch Ratings Service. All ratings are unaudited. |
At August 31, 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 | | $ | 79,950,190 | | | $ | 5,448,056 | | | $ | (19,596 | ) | | $ | 5,428,460 | |
See Notes to Financial Statements.
262
| | |
Abbreviations used in this schedule: |
| AMBAC | | —American Bond Assurance Corporation |
| ETF | | —Exchange-Traded Fund |
| 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 pages295-296 for definitions of ratings.
| | | | |
| Summary of Investments by Industry^ | | | |
General Obligation | | | 14.0 | % |
Health Care Providers & Services | | | 13.3 | |
Transportation | | | 12.3 | |
Higher Education | | | 9.0 | |
School District | | | 7.9 | |
Development | | | 7.0 | |
Utilities | | | 6.2 | |
Airport | | | 6.1 | |
Water and Sewer | | | 5.1 | |
Single Family Housing | | | 4.9 | |
Capital Markets | | | 4.1 | |
Power | | | 3.7 | |
Tobacco Settlement | | | 2.3 | |
Education | | | 1.5 | |
Multi Family Housing | | | 0.9 | |
Short-Term Investments | | | 1.7 | |
| | | | |
| | | 100.0 | % |
| | | | |
| ^ | As a percentage of total investments. |
At August 31, 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. Treasury 10-Year Note December Futures | | | 65 | | | | 12/19 | | | $ | 8,581,314 | | | $ | 8,561,718 | | | $ | 19,596 | |
| | | | | | | | | | | | | | | | | | | | |
At August 31, 2019, Municipal Bond Fund had deposited cash of $86,000 with a broker or brokers as margin collateral on an open exchange-traded futures contract.
See Notes to Financial Statements.
263
| | | | | | | | | | |
| Inflation-Linked Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | | | Security | | Value | |
|
| | U.S. GOVERNMENT OBLIGATIONS — 102.2% | |
| | | | | | U.S. Treasury Inflation Indexed Bonds: | | | | |
| $ | 11,563,984 | | | | | 2.375% due 1/15/25(a)(SBB) | | $ | 13,008,257 | |
| | 8,934,408 | | | | | 2.000% due 1/15/26 | | | 10,056,671 | |
| | 1,952,588 | | | | | 1.750% due 1/15/28 | | | 2,235,405 | |
| | 6,953,895 | | | | | 3.625% due 4/15/28 | | | 9,100,563 | |
| | 7,315,660 | | | | | 2.500% due 1/15/29 | | | 9,020,147 | |
| | 2,722,018 | | | | | 3.875% due 4/15/29 | | | 3,726,203 | |
| | 34,633 | | | | | 3.375% due 4/15/32 | | | 49,034 | |
| | 4,823,276 | | | | | 2.125% due 2/15/40 | | | 6,640,489 | |
| | 2,795,464 | | | | | 2.125% due 2/15/41 | | | 3,889,324 | |
| | 226,714 | | | | | 0.750% due 2/15/42 | | | 249,143 | |
| | 222,820 | | | | | 0.625% due 2/15/43 | | | 237,632 | |
| | 6,561,329 | | | | | 1.375% due 2/15/44 | | | 8,171,797 | |
| | 978,966 | | | | | 0.750% due 2/15/45 | | | 1,072,690 | |
| | 6,724,007 | | | | | 1.000% due 2/15/46 | | | 7,815,064 | |
| | 4,350,551 | | | | | 0.875% due 2/15/47 | | | 4,940,559 | |
| | 3,562,775 | | | | | 1.000% due 2/15/48 | | | 4,185,717 | |
| | 2,331,014 | | | | | 1.000% due 2/15/49(a)(SBB) | | | 2,762,856 | |
| | | | | | U.S. Treasury Inflation Indexed Notes: | | | | |
| | 3,159,930 | | | | | 0.125% due 4/15/20 | | | 3,130,399 | |
| | 21,131,709 | | | | | 0.125% due 4/15/21(a) | | | 20,928,102 | |
| | 193,200 | | | | | 0.625% due 7/15/21 | | | 194,408 | |
| | 5,262,405 | | | | | 0.125% due 1/15/22 | | | 5,230,464 | |
| | 16,896,076 | | | | | 0.125% due 4/15/22(a) | | | 16,790,460 | |
| | 11,162,472 | | | | | 0.125% due 1/15/23(a) | | | 11,143,232 | |
| | 10,312 | | | | | 0.625% due 4/15/23 | | | 10,474 | |
| | 4,334,412 | | | | | 0.250% due 1/15/25 | | | 4,390,281 | |
| | 6,613,575 | | | | | 0.375% due 7/15/25 | | | 6,781,262 | |
| | 17,689,816 | | | | | 0.625% due 1/15/26(a) | | | 18,383,481 | |
| | 8,890,669 | | | | | 0.125% due 7/15/26 | | | 9,001,979 | |
| | 6,616,709 | | | | | 0.375% due 1/15/27 | | | 6,799,501 | |
| | 6,366,429 | | | | | 0.375% due 7/15/27 | | | 6,578,309 | |
| | 9,333,319 | | | | | 0.500% due 1/15/28 | | | 9,725,171 | |
| | 4,000,046 | | | | | 0.750% due 7/15/28 | | | 4,282,742 | |
| | 2,931,674 | | | | | 0.875% due 1/15/29 | | | 3,177,207 | |
| | 3,728,101 | | | | | 0.250% due 7/15/29(a) | | | 3,841,735 | |
| | | | | | U.S. Treasury Notes: | | | | |
| | 1,600,000 | | | | | 2.125% due 3/31/24(SBB) | | | 1,650,156 | |
| | 640,000 | | | | | 1.875% due 8/31/24(SBB) | | | 654,275 | |
| | 900,000 | | | | | 2.250% due 11/15/24(SBB) | | | 937,283 | |
| | 561,000 | | | | | 2.750% due 2/15/28(SBB) | | | 617,210 | |
| | | | | | | | | | |
| | | | | | TOTAL U.S. GOVERNMENT OBLIGATIONS
(Cost — $209,956,377) | | | 221,409,682 | |
| | | | | | | | | | |
|
| | MORTGAGE-BACKED SECURITIES — 20.4% | |
|
| | FNMA — 20.4% | |
| | | | | | Federal National Mortgage Association (FNMA): | | | | |
| | 15,300,000 | | | | | 4.000% due 11/1/48(b) | | | 15,913,689 | |
| | 27,370,000 | | | | | 3.500% due 10/1/49(b) | | | 28,144,058 | |
| | | | | | | | | | |
| | | | | | TOTAL MORTGAGE-BACKED SECURITIES
(Cost — $43,971,983) | | | 44,057,747 | |
| | | | | | | | | | |
See Notes to Financial Statements.
264
| | | | | | | | | | |
| Inflation-Linked Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | COLLATERALIZED MORTGAGE OBLIGATIONS — 10.6% | |
| | | | | | Alternative Loan Trust: | | | | |
| $ | 385,463 | | | Caa2(c) | | Series 2006-HY11, Class A1, 2.265%(1-MonthUSD-LIBOR + 0.120%) due 6/25/36(d) | | $ | 367,090 | |
| | 59,926 | | | WR(c) | | Series2007-4CB, Class 1A35, 6.000% due 4/25/37 | | | 60,783 | |
| | 754,364 | | | Caa3(c) | | Alternative Loan Trust Resecuritization, Series2008-2R, Class 1A1, 6.000% due 8/25/37(d) | | | 758,995 | |
| | 3,039 | | | AA | | American Home Mortgage Investment Trust, Series2005-2, Class 4A1, 3.692%(6-MonthUSD-LIBOR + 1.500%) due 9/25/45(d) | | | 3,070 | |
| | 317,490 | | | AAA | | B&M CLO Ltd., Series2014-1A, Class A1R, 3.052%(3-MonthUSD-LIBOR + 0.730%) due 4/16/26(d)(f) | | | 317,349 | |
| | 15,806 | | | AA+ | | Banc of America Funding Trust, Series2005-B, Class 3A1B, 2.792%(1-MonthUSD-LIBOR + 0.620%) due 4/20/35(d) | | | 15,841 | |
| | | | | | Bayview Opportunity Master Fund IVa Trust: | | | | |
| | 527,050 | | | NR | | Series2019-RN2, Class A1, step bond to yield, 3.967% due 3/28/34(f) | | | 529,608 | |
| | 91,828 | | | NR | | Series 2019-SBR1, Class A1, step bond to yield, 3.475% due 6/28/34(f) | | | 91,983 | |
| | 32,805 | | | BBB+ | | Bear Stearns Adjustable Rate Mortgage Trust, Series2003-3, Class 3A2, 5.066% due 5/25/33(d) | | | 33,857 | |
| | 323,479 | | | CCC | | Bear Stearns Asset-Backed Securities Trust, Series2004-1, Class M1, 3.120%(1-MonthUSD-LIBOR + 0.975%) due 6/25/34(d) | | | 329,289 | |
| | 81,328 | | | AA+ | | Chevy Chase Funding LLC Mortgage-Backed Certificates, Series2004-A, Class A1, 2.505%(1-MonthUSD-LIBOR + 0.360%) due 3/25/35(d)(f) | | | 81,071 | |
| | | | | | CHL Mortgage Pass-Through Trust: | | | | |
| | 126,193 | | | WR(c) | | Series 2005-HYB9, Class 2A1, 3.939%(1-YearUSD-LIBOR + 1.750%) due 2/20/36(d) | | | 120,869 | |
| | 158,669 | | | Caa2(c) | | Series2006-6, Class A4, 6.000% due 4/25/36 | | | 131,221 | |
| | 207,310 | | | WD(e) | | Series2007-1, Class A1, 6.000% due 3/25/37 | | | 177,627 | |
| | | | | | Citigroup Mortgage Loan Trust: | | | | |
| | 315,502 | | | Caa2(c) | | Series2007-AR4, Class 1A1A, 4.624% due 3/25/37(d) | | | 314,287 | |
| | 98,747 | | | NR | | Series2019-B, Class A1, 3.258% due 4/25/66(d)(f) | | | 99,082 | |
| | | | | | Citigroup Mortgage Loan Trust Inc.: | | | | |
| | 7,987 | | | B- | | Series 2004-HYB2, Class 2A, 5.131% due 3/25/34(d) | | | 8,191 | |
| | 34,688 | | | B(e) | | Series 2004-NCM2, Class 1CB1, 5.500% due 8/25/34 | | | 35,584 | |
| | | | | | Countrywide Asset-Backed Certificates: | | | | |
| | 467,168 | | | CC | | Series2007-1, Class 1A, 2.285%(1-MonthUSD-LIBOR + 0.140%) due 7/25/37(d) | | | 424,794 | |
| | 100,434 | | | CC | | Series2007-6, Class 1A, 2.345%(1-MonthUSD-LIBOR + 0.200%) due 9/25/37(d) | | | 84,962 | |
| | 579,339 | | | CCC | | Series2007-8, Class 1A1, 2.335%(1-MonthUSD-LIBOR + 0.190%) due 11/25/37(d) | | | 558,221 | |
| | 903,000 | | | NR | | Credit Suisse Commercial Mortgage, Series2015-3R, Class 5A2, 2.295%(1-MonthUSD-LIBOR + 0.150%) due 9/29/36(d)(f) | | | 859,277 | |
| | 195,756 | | | NR | | Credit Suisse Mortgage Capital Certificates, Series 2019-RPL4, Class A1, 3.830% due 8/26/58(f) | | | 198,279 | |
| | | | | | Credit-Based Asset Servicing & Securitization LLC: | | | | |
| | 153,000 | | | BB | | Series2005-CB3, Class M4, 3.195%(1-MonthUSD-LIBOR + 1.050%) due 5/25/35(d) | | | 154,298 | |
| | 1,088,846 | | | CC | | Series2007-CB6, Class A3, 2.365%(1-MonthUSD-LIBOR + 0.220%) due 7/25/37(d)(f) | | | 738,984 | |
| | 600,000 | | | AAA | | Crown Point CLO 5 Ltd., Series2018-5A, Class A, 3.243%(3-MonthUSD-LIBOR + 0.940%) due 7/17/28(d)(f) | | | 597,432 | |
| | 149,011 | | | D | | CWABS Asset-Backed Certificates Trust, Series2004-7, Class MV5, 3.870%(1-MonthUSD-LIBOR + 1.725%) due 11/25/34(d) | | | 151,096 | |
| | 500,000 | EUR | | AAA | | Euro-Galaxy V CLO BV, Series2016-5A, Class ARV, 0.820%(3-Month EURIBOR + 0.820%) due 11/10/30(d)(f) | | | 549,662 | |
| | 100,000 | | | Aaa(c) | | Evans Grove CLO Ltd., Series2018-1A, Class A1, 3.064%(3-MonthUSD-LIBOR + 0.920%) due 5/28/28(d)(f) | | | 99,107 | |
| | 1,103,329 | | | NR | | Fannie Mae REMICS, Series2019-5, Class FA, 2.545%(1-MonthUSD-LIBOR + 0.400%) due 3/25/49(d) | | | 1,103,561 | |
| | 400,000 | | | AAA | | Figueroa CLO Ltd., Series2013-2A, Class A1RR, 3.237%(3-MonthUSD-LIBOR + 0.850%) due 6/20/27(d)(f) | | | 399,997 | |
| | | | | | Government National Mortgage Association: | | | | |
| | 495,245 | | | NR | | Series2018-H15, Class FG, 3.030%(1-YearUSD-LIBOR + 0.150%) due 8/20/68(d) | | | 488,486 | |
| | 1,165,754 | | | NR | | Series2019-20, Class FE, 2.572%(1-MonthUSD-LIBOR + 0.400%) due 2/20/49(d) | | | 1,165,443 | |
See Notes to Financial Statements.
265
| | | | | | | | | | |
| Inflation-Linked Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | COLLATERALIZED MORTGAGE OBLIGATIONS — 10.6% — (continued) | |
| $ | 34,926 | | | D | | GSAA Trust, Series2006-7, Class AF4A, step bond to yield, 6.220% due 3/25/46 | | $ | 28,242 | |
| | 6,052 | | | AA+ | | HarborView Mortgage Loan Trust, Series2005-9, Class 2A1A, 2.512%(1-MonthUSD-LIBOR + 0.340%) due 6/20/35(d) | | | 6,042 | |
| | 900,000 | GBP | | AAA | | Hawksmoor Mortgages, Series2019-1A, Class A, zero coupon, (Sterling Overnight Index Average + 1.050%) due 5/25/53(d)(f) | | | 1,097,844 | |
| | 73,791 | | | B- | | IndyMac INDX Mortgage Loan Trust, Series 2005-16IP, Class A1, 2.785%(1-MonthUSD-LIBOR + 0.640%) due 7/25/45(d) | | | 69,593 | |
| 250,000
|
| | Aaa(c) | | JMP Credit Advisors CLO IIIR Ltd., Series2014-1RA, Class A, 3.153%(3-MonthUSD-LIBOR + 0.850%) due 1/17/28(d)(f) | | | 248,985 | |
| 495,406
|
| | CCC | | JP Morgan Alternative Loan Trust, Series2006-A1, Class 1A1, 2.605%(1-MonthUSD-LIBOR + 0.460%) due 3/25/36(d) | | | 486,225 | |
| | 260,000 | EUR | | NR | | Jubilee CLO BV, Series2015-16A, Class A1R, 0.490% (0.800% —3-Month EURIBOR) due 12/15/29(d)(f) | | | 284,198 | |
| | 96,483 | | | NR | | Legacy Mortgage Asset Trust, Series2019-GS3, Class A1, step bond to yield, 3.750% due 4/25/59(f) | | | 99,067 | |
| | 142,582 | | | Aaa(c) | | LMREC Inc., Series 2015-CRE1, Class AR, 3.147%(1-MonthUSD-LIBOR + 0.980%) due 2/22/32(d)(f) | | | 142,327 | |
| 201,210
|
| | CC | | Long Beach Mortgage Loan Trust, Series2006-7, Class 2A2, 2.265%(1-MonthUSD-LIBOR + 0.120%) due 8/25/36(d) | | | 103,860 | |
| 320,000
|
| | Aaa(c) | | Monarch Grove CLO, Series2018-1A, Class A1, 3.156%(3-MonthUSD-LIBOR + 0.880%) due 1/25/28(d)(f) | | | 318,774 | |
| 660,000
|
| | AAA | | Mountain View CLO X Ltd., Series2015-10A, Class AR, 3.123%(3-MonthUSD-LIBOR + 0.820%) due 10/13/27(d)(f) | | | 657,907 | |
| | 17,717 | | | AA+ | | MRFC Mortgage Pass-Through Trust, Series 2000-TBC2, Class A1, 2.675%(1-MonthUSD-LIBOR + 0.480%) due 6/15/30(d) | | | 17,682 | |
| | 83,696 | | | NR | | New Residential Mortgage Loan Trust, Series2018-3A, Class A1, 4.500% due 5/25/58(d)(f) | | | 88,654 | |
| | | | | | Option One Mortgage Loan Trust: | | | | |
| | 129,268 | | | CC | | Series2007-1, Class 1A1, 2.285%(1-MonthUSD-LIBOR + 0.140%) due 1/25/37(d) | | | 96,909 | |
| | 127,920 | | | CC | | Series2007-2, Class 1A1, 2.285%(1-MonthUSD-LIBOR + 0.140%) due 3/25/37(d) | | | 95,784 | |
| | 700,000 | EUR | | AAA | | OZLME BV, Series 1A, Class AR, 0.820%(3-Month EURIBOR + 0.820%) due 1/18/30(d)(f) | | | 769,989 | |
| | 600,000 | | | B- | | RASC Trust, Series2006-KS3, Class M1, 2.475%(1-MonthUSD-LIBOR + 0.330%) due 4/25/36(d) | | | 598,700 | |
| | 626,349 | | | WD(e) | | Residential Asset Securitization Trust, Series2006-A10, Class A5, 6.500% due 9/25/36 | | | 441,038 | |
| | 371,472 | | | NR | | RMAT LP, Series 2018-NPL1, Class A1, step bond to yield, 4.090% due 5/25/48(f) | | | 374,925 | |
| | | | | | Securitized Asset-Backed Receivables LLC Trust: | | | | |
| | 606,279 | | | CC | | Series2006-FR3, Class A3, 2.395%(1-MonthUSD-LIBOR + 0.250%) due 5/25/36(d) | | | 395,331 | |
| | 118,268 | | | CC | | Series2006-HE2, Class A2C, 2.295%(1-MonthUSD-LIBOR + 0.150%) due 7/25/36(d) | | | 65,453 | |
| | 423,370 | | | B | | Sequoia Mortgage Trust, Series 6, Class A, 2.822%(1-MonthUSD-LIBOR + 0.640%) due 4/19/27(d) | | | 417,920 | |
| | 250,000 | GBP | | NR | | Silverstone Master Issuer PLC, Series2015-16A, Class 2A, 1.459% (Sterling Overnight Index Average + 0.750%) due 1/21/70(d)(f) | | | 305,100 | |
| | 900,000 | | | Aaa(c) | | Sound Point CLO XIV Ltd., Series2016-3A, Class AR, 3.301%(3-MonthUSD-LIBOR + 1.150%) due 1/23/29(d)(f) | | | 900,900 | |
| | | | | | Soundview Home Loan Trust: | | | | |
| | 300,155 | | | CC | | Series 2007-OPT1, Class 1A1, 2.345%(1-MonthUSD-LIBOR + 0.200%) due 6/25/37(d) | | | 239,381 | |
| | 84,087 | | | CCC | | Series 2007-OPT2, Class 2A3, 2.325%(1-MonthUSD-LIBOR + 0.180%) due 7/25/37(d) | | | 77,479 | |
| | 556,434 | | | NR | | SpringCastle Funding Asset-Backed Notes, Series2019-AA, Class A, 3.200% due 5/27/36(f) | | | 566,527 | |
| | 260,000 | | | Aaa(c) | | Symphony CLO XVII Ltd., Series2016-17A, Class AR, 3.183%(3-MonthUSD-LIBOR + 0.880%) due 4/15/28(d)(f) | | | 258,892 | |
| | 250,000 | | | AAA | | THL Credit Wind River CLO Ltd., Series2012-1A, Class AR2, 3.183%(3-MonthUSD-LIBOR + 0.880%) due 1/15/26(d)(f) | | | 250,012 | |
| | 360,000 | | | Aaa(c) | | TICP CLOIII-2 Ltd., Series2018-3R, Class A, 3.118%(3-MonthUSD-LIBOR + 0.840%) due 4/20/28(d)(f) | | | 359,994 | |
| | 500,000 | | | Aaa(c) | | Venture 35 CLO Ltd., Series2018-35A, Class AS, 3.428%(3-MonthUSD-LIBOR + 1.150%) due 10/22/31(d)(f) | | | 499,704 | |
See Notes to Financial Statements.
266
| | | | | | | | | | |
| Inflation-Linked Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | COLLATERALIZED MORTGAGE OBLIGATIONS — 10.6% — (continued) | |
| $ | 466,707 | | | AAA | | Venture XII CLO Ltd., Series2012-12A, Class ARR, 2.944%(3-MonthUSD-LIBOR + 0.800%) due 2/28/26(d)(f) | | $ | 465,343 | |
| | 800,000 | | | Aaa(c) | | Venture XVI CLO Ltd., Series2014-16A, Class ARR, 3.153%(3-MonthUSD-LIBOR + 0.850%) due 1/15/28(d)(f) | | | 799,991 | |
| | 330,000 | | | Aaa(c) | | Venture XVII CLO Ltd., Series2014-17A, Class ARR, 3.183%(3-MonthUSD-LIBOR + 0.880%) due 4/15/27(d)(f) | | | 328,834 | |
| | | | | | WaMu Mortgage Pass-Through Certificates Trust: | | | | |
| | 15,627 | | | Baa1(c) | | Series2002-AR2, Class A, 2.391% (11th District Cost of Funds Index + 1.250%) due 2/27/34(d) | | | 15,592 | |
| | 7,142 | | | BBB | | Series 2002-AR17, Class 1A, 3.681%(1-Year Treasury Average Rate + 1.200%) due 11/25/42(d) | | | 7,036 | |
| | 3,308 | | | A+ | | Wells Fargo Mortgage-Backed Securities Trust, Series2004-E, Class A2, 5.069% due 5/25/34(d) | | | 3,451 | |
| | | | | | | | | | |
| | | | | | TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost — $22,938,917) | | | 23,033,081 | |
| | | | | | | | | | |
|
| | SOVEREIGN BONDS — 8.5% | |
|
| | Argentina — 0.1% | |
| | 727,000 | ARS | | NR | | Argentina Bonar Bonds, 54.553% (Argentina Deposit Rates Badlar Private Banks ARS 30 to 35 Days Index + 2.000%) due 4/3/22(d) | | | 6,353 | |
| | 21,644,000 | ARS | | NR | | Argentina POM Politica Monetaria, 66.380% due 6/21/20(d) | | | 172,759 | |
| | | | | | | | | | |
| | | | | | Total Argentina | | | 179,112 | |
| | | | | | | | | | |
|
| | Australia — 0.8% | |
| | | | | | Australia Government Bonds: | | | | |
| | 1,040,000 | AUD | | Aaa(c) | | 1.250% due 2/21/22 | | | 836,485 | |
| | 890,000 | AUD | | Aaa(c) | | 3.000% due 9/20/25 | | | 891,380 | |
| | | | | | | | | | |
| | | | | | Total Australia | | | 1,727,865 | |
| | | | | | | | | | |
|
| | Brazil — 0.6% | |
| | 5,768,000 | BRL | | BB- | | Brazil Letras do Tesouro Nacional, zero coupon, due 1/1/20 | | | 1,367,853 | |
| | | | | | | | | | |
|
| | Canada — 0.2% | |
| | | | | | Canadian Government Real Return Bonds: | | | | |
| | 465,582 | CAD | | AAA | | 4.250% due 12/1/26 | | | 458,857 | |
| | 52,437 | CAD | | AAA | | 0.500% due 12/1/50 | | | 43,000 | |
| | | | | | | | | | |
| | | | | | Total Canada | | | 501,857 | |
| | | | | | | | | | |
|
| | France — 1.2% | |
| | | | | | French Republic Government Bonds OAT: | | | | |
| | 768,372 | EUR | | Aa2u(c) | | 2.250% due 7/25/20 | | | 870,210 | |
| | 740,189 | EUR | | Aa2u(c) | | 0.100% due 3/1/25 | | | 875,473 | |
| | 572,164 | EUR | | Aa2u(c) | | 1.850% due 7/25/27 | | | 798,419 | |
| | | | | | | | | | |
| | | | | | Total France | | | 2,544,102 | |
| | | | | | | | | | |
|
| | Japan — 1.5% | |
| | | | | | Japanese Government CPI Linked Bonds: | | | | |
| | 140,242,660 | JPY | | A1(c) | | 0.100% due 3/10/28 | | | 1,381,633 | |
| | 181,356,570 | JPY | | NR | | 0.100% due 3/10/29 | | | 1,791,798 | |
| | | | | | | | | | |
| | | | | | Total Japan | | | 3,173,431 | |
| | | | | | | | | | |
|
| | New Zealand — 0.4% | |
| | 970,000 | NZD | | AA+ | | New Zealand Government Bonds Inflation Linked Bonds, 2.500% due 9/20/35 | | | 869,861 | |
| | | | | | | | | | |
|
| | Peru — 0.2% | |
| | 1,400,000 | PEN | | A3(c) | | Peru Government Bonds Inflation Linked Bonds, 6.150% due 8/12/32(f) | | | 475,231 | |
| | | | | | | | | | |
See Notes to Financial Statements.
267
| | | | | | | | | | |
| Inflation-Linked Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Qatar — 0.1% | |
| $ | 200,000 | | | AA- | | Qatar Government International Bonds, 3.875% due 4/23/23(f) | | $ | 213,230 | |
| | | | | | | | | | |
|
| | United Kingdom — 3.4% | |
| | | | | | United Kingdom Gilt Inflation Linked Bonds: | | | | |
| | 2,984,540 | GBP | | Aa2u(c) | | 1.250% due 11/22/27 | | | 5,088,438 | |
| | 1,462,353 | GBP | | NR | | 0.125% due 8/10/28 | | | 2,348,408 | |
| | | | | | | | | | |
| | | | | | Total United Kingdom | | | 7,436,846 | |
| | | | | | | | | | |
| | | | | | TOTAL SOVEREIGN BONDS
(Cost — $19,544,037) | | | 18,489,388 | |
| | | | | | | | | | |
|
| | CORPORATE BONDS & NOTES — 5.2% | |
|
| | Agriculture — 0.1% | |
| | 100,000 | | | BBB+ | | BAT Capital Corp., Company Guaranteed Notes, 2.765%(3-MonthUSD-LIBOR + 0.590%) due 8/14/20(d) | | | 100,214 | |
| | | | | | | | | | |
|
| | Auto Manufacturers — 0.1% | |
| | 200,000 | | | BBB+ | | Hyundai Capital America, Senior Unsecured Notes, 1.750% due 9/27/19(f) | | | 200,002 | |
| | | | | | | | | | |
|
| | Banks — 2.4% | |
| | 100,000 | EUR | | Ba1(c) | | Banco Santander SA, Junior Subordinated Notes, 6.250%(5-Year EUR Swap Rate + 5.640%)(d)(g) | | | 115,671 | |
| | 200,000 | EUR | | Baa3(c) | | Cooperatieve Rabobank UA, Junior Subordinated Notes, 6.625% (6.697% —5-Year EUR Swap Rate)(d)(g) | | | 241,912 | |
| | 700,000 | | | BBB- | | Deutsche Bank AG, Senior Unsecured Notes, 4.250% due 10/14/21 | | | 712,069 | |
| | 100,000 | GBP | | BBB+ | | HSBC Holdings PLC, Subordinated Notes, 6.000% due 3/29/40 | | | 166,173 | |
| | 200,000 | | | BBB+ | | Lloyds Banking Group PLC, Senior Unsecured Notes, 3.186%(3-MonthUSD-LIBOR + 0.800%) due 6/21/21(d) | | | 200,638 | |
| | 15,799,836 | DKK | | AAA | | Nykredit Realkredit AS, Covered Notes, 1.000% due 10/1/50 | | | 2,371,931 | |
| | | | | | Royal Bank of Scotland Group PLC: | | | | |
| | 240,000 | | | B+ | | Junior Subordinated Notes, 8.625%(5-Year USD Swap Rate + 7.598%)(d)(g) | | | 254,700 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 200,000 | | | BBB | | 3.899%(3-MonthUSD-LIBOR + 1.550%) due 6/25/24(d) | | | 199,695 | |
| | 200,000 | | | BBB | | 4.519%(3-MonthUSD-LIBOR + 1.550%) due 6/25/24(d) | | | 210,046 | |
| | 400,000 | | | Aaa(c) | | Toronto-Dominion Bank (The), Covered Notes, 2.250% due 3/15/21(f) | | | 402,931 | |
| | 400,000 | | | A+ | | UBS AG, Senior Unsecured Notes, 3.031%(3-MonthUSD-LIBOR + 0.580%) due 6/8/20(d)(f) | | | 401,272 | |
| | | | | | | | | | |
| | | | | | Total Banks | | | 5,277,038 | |
| | | | | | | | | | |
|
| | Diversified Financial Services — 1.8% | |
| | | | | | Ally Financial Inc.: | | | | |
| | 400,000 | | | BB+ | | Company Guaranteed Notes, 8.000% due 11/1/31 | | | 561,000 | |
| | 100,000 | | | BB+ | | Senior Unsecured Notes, 8.000% due 11/1/31 | | | 139,250 | |
| | 18,999,797 | DKK | | AAA | | Jyske Realkredit AS, Covered Notes, 1.000% due 10/1/50 | | | 2,855,123 | |
| | 2,700,000 | DKK | | AAA | | Nordea Kredit Realkreditaktieselskab, Covered Notes, 1.000% due 10/1/50 | | | 405,533 | |
| | | | | | | | | | |
| | | | | | Total Diversified Financial Services | | | 3,960,906 | |
| | | | | | | | | | |
|
| | Electric — 0.2% | |
| | 200,000 | | | BBB+ | | NextEra Energy Capital Holdings Inc., Company Guaranteed Notes, 2.800% due 1/15/23 | | | 204,738 | |
| | 100,000 | | | BBB+ | | Sempra Energy, Senior Unsecured Notes, 2.860%(3-MonthUSD-LIBOR + 0.450%) due 3/15/21(d) | | | 99,756 | |
| | | | | | | | | | |
| | | | | | Total Electric | | | 304,494 | |
| | | | | | | | | | |
|
| | Gas — 0.1% | |
| | 200,000 | | | BBB+ | | Dominion Energy Gas Holdings LLC, Senior Unsecured Notes, 3.010%(3-MonthUSD-LIBOR + 0.600%) due 6/15/21(d) | | | 200,917 | |
| | | | | | | | | | |
|
| | Oil & Gas — 0.3% | |
| | 657,000 | | | BB- | | Petrobras Global Finance BV, Company Guaranteed Notes, 5.999% due 1/27/28 | | | 723,850 | |
| | | | | | | | | | |
See Notes to Financial Statements.
268
| | | | | | | | | | |
| Inflation-Linked Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Pipelines — 0.1% | |
| $ | 200,000 | | | BBB+ | | Enbridge Inc., Company Guaranteed Notes, 2.738%(3-MonthUSD-LIBOR + 0.400%) due 1/10/20(d) | | $ | 200,094 | |
| | | | | | | | | | |
|
| | Telecommunications — 0.1% | |
| | 300,000 | | | BBB | | AT&T Inc., Senior Unsecured Notes, 2.888%(3-MonthUSD-LIBOR + 0.750%) due 6/1/21(d) | | | 301,489 | |
| | | | | | | | | | |
| | | | | | TOTAL CORPORATE BONDS & NOTES
(Cost — $11,081,721) | | | 11,269,004 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS
(Cost — $307,493,035) | | | 318,258,902 | |
| | | | | | | | | | |
|
| | SHORT-TERM INVESTMENTS — 0.3% | |
|
| | TIME DEPOSITS — 0.3% | |
| | 233,416 | | | | | Banco Santander SA — Frankfurt, 1.490% due 9/3/19 | | | 233,416 | |
| | | | | | BBH — Grand Cayman: | | | | |
| | 4,384 | DKK | | | | (0.800)% due 9/2/19 | | | 646 | |
| | 7,852 | NZD | | | | 0.280% due 9/2/19 | | | 4,948 | |
| | 17,387 | AUD | | | | 0.450% due 9/2/19 | | | 11,708 | |
| | 665 | SGD | | | | 0.940% due 9/2/19 | | | 479 | |
| | 16,863 | ZAR | | | | 5.460% due 9/2/19 | | | 1,112 | |
| | 19 | CAD | | | | 0.870% due 9/3/19 | | | 14 | |
| | 283,879 | EUR | | | | Deutsche Bank — Frankfurt, (0.580)% due 9/2/19 | | | 311,997 | |
| | 82,918 | GBP | | | | HSBC Bank PLC — London, 0.370% due 9/2/19 | | | 100,887 | |
| | 2,369,974 | JPY | | | | Skandinaviska Enskilda Banken AB — Stockholm, (0.250)% due 9/2/19 | | | 22,311 | |
| | | | | | | | | | |
| | | | | | TOTAL SHORT-TERM INVESTMENTS
(Cost — $687,518) | | | 687,518 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS IN SECURITIES
(Cost — $308,180,553) | | | 318,946,420 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS IN PURCHASED OPTIONS
(Cost — $25,098) | | | 23,165 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS — 147.2%
(Cost — $308,205,651) | | | 318,969,585 | |
| | | | | | | | | | |
| | | | | | Liabilities in Excess of Other Assets — (47.2)% | | | (102,305,287 | ) |
| | | | | | | | | | |
| | | | | | TOTAL NET ASSETS — 100.0% | | $ | 216,664,298 | |
| | | | | | | | | | |
| † | 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) | This security is traded on a TBA basis (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 August 31, 2019. |
| (e) | Rating by Fitch Ratings Service. All ratings are unaudited. |
| (f) | 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 August 31, 2019 amounts to approximately $15,072,464 and represents 7.0% of net assets. |
| (g) | Security is perpetual in nature and has no stated maturity date. |
| (SBB) | All or a portion of these securities were purchased in a sale-buyback transaction. The value of these securities total $5,001,188, which represents 2.3% of net assets. |
At August 31, 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
Appreciation | |
Inflation-Linked Fixed Income Fund | | $ | 310,447,752 | | | $ | 15,790,100 | | | $ | (8,427,500 | ) | | $ | 7,362,600 | |
See Notes to Financial Statements.
269
| | | | | | |
| Inflation-Linked Fixed Income Fund |
| | |
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 |
| REMICS | | — Real Estate Mortgage Investment Conduit |
| | | | |
| Summary of Investments by Security Type^ | |
U.S. Government Obligations | | | 69.4 | % |
Mortgage-Backed Securities | | | 13.8 | |
Collateralized Mortgage Obligations | | | 7.2 | |
Sovereign Bonds | | | 5.8 | |
Corporate Bonds & Notes | | | 3.6 | |
Purchased Options | | | 0.0 | * |
Short-Term Investments | | | 0.2 | |
| | | | |
| | | 100.0 | % |
| | | | |
| ^ | As a percentage of total investments. |
| * | Position represents less than 0.05%. |
At August 31, 2019, Inflation-Linked Fixed Income Fund held the following Options Contracts Purchased:
Options on Futures
| | | | | | | | | | | | | | | | | | | | | | | | |
Number of
Contracts | | | Notional
Amount† | | | Security Name | | Counterparty | | | Expiration
Date | | | Strike Price | | | Value | |
| | 6 | | | | 676,110 | EUR | | Euro-Bobl October Futures, Call | | | SOG | | | | 9/20/19 | | | | EUR 141.25 | | | $ | 33 | |
| | 52 | | | | 9,157,720 | EUR | | Euro-Bund December Futures, Put | | | SOG | | | | 11/22/19 | | | | EUR 151.00 | | | | 572 | |
| | 60 | | | | 10,566,600 | EUR | | Euro-Bund November Futures, Put | | | CITI | | | | 10/25/19 | | | | EUR 173.00 | | | | 20,443 | |
| | 75 | | | | 12,951,000 | EUR | | Euro OAT December Futures, Call | | | SOG | | | | 11/22/19 | | | | EUR 200.00 | | | | 824 | |
| | 221 | | | | 30,184,180 | EUR | | Euro-Schatz October Futures, Call | | | SOG | | | | 9/20/19 | | | | EUR 114.70 | | | | 1,214 | |
| | 57 | | | | $7,502,625 | | | U.S. Treasury10-Year Note December Futures, Put | | | CITI | | | | 11/22/19 | | | $ | 116.00 | | | | 57 | |
| | 22 | | | | 2,895,750 | | | U.S. Treasury10-Year Note December Futures, Put | | | CITI | | | | 11/22/19 | | | $ | 116.50 | | | | 22 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | Total Options on Futures | | | | | | | | | | | | | | $ | 23,165 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | TOTAL OPTIONS CONTRACTS PURCHASED
(Cost — $25,098) | | | | | | | | | | | | | | $ | 23,165 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
See Notes to Financial Statements.
270
| | | | | | |
| Inflation-Linked Fixed Income Fund |
At August 31, 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 | |
| | 500,000 | | | | $ 269,780 | | | OTC Markit CDX North America Investment Grade Series 325-Year Index, Put | | | DUB | | | | 9/18/19 | | | | 0.950% | | | $ | 2 | |
| | 800,000 | | | | 431,648 | | | OTC Markit CDX North America Investment Grade Series 325-Year Index, Put | | | BNP | | | | 9/18/19 | | | | 1.000% | | | | 1 | |
| | 500,000 | | | | 269,780 | | | OTC Markit CDX North America Investment Grade Series 325-Year Index, Put | | | DUB | | | | 9/18/19 | | | | 1.000% | | | | 1 | |
| | 700,000 | | | | 377,692 | | | OTC Markit CDX North America Investment Grade Series 325-Year Index, Put | | | DUB | | | | 11/20/19 | | | | 0.900% | | | | 331 | |
| | 300,000 | | | | 161,868 | | | OTC Markit CDX North America Investment Grade Series 325-Year Index, Put | | | BCLY | | | | 11/20/19 | | | | 0.900% | | | | 142 | |
| | 200,000 | | | | 107,912 | | | OTC Markit CDX North America Investment Grade Series 325-Year Index, Put | | | BNP | | | | 11/20/19 | | | | 0.900% | | | | 95 | |
| | 1,200,000 | | | | 569,784 | EUR | | OTC Markit iTraxx Europe Series 315-Year Index, Put | | | BCLY | | | | 9/18/19 | | | | 0.950% | | | | 6 | |
| | 300,000 | | | | 142,466 | EUR | | OTC Markit iTraxx Europe Series 315-Year Index, Put | | | JPM | | | | 9/18/19 | | | | 1.050% | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | Total Credit Default Swaptions | | | | | | | | | | | | | | $ | 578 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Interest Rate Swaption | | | | | | | | | | | | |
| | | | | | |
Number of
Contracts | | | Notional
Amount† | | | Security Name | | Counterparty | | | Expiration
Date | | | Exercise Rate | | | Value | |
| | 5,200,000 | | | | 110,851GBP | | | OTC5-Year Swaption,3-MonthUSD-LIBOR, Put | | | BCLY | | | | 10/15/19 | | | | 0.950% | | | $ | 2,178 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Options on Futures | | | | | | | | | | | | |
| | | | | | |
Number of
Contracts | | | Notional
Amount† | | | Security Name | | Counterparty | | | Expiration
Date | | | Strike Price | | | Value | |
| | 8 | | | | 1,408,880EUR | | | Euro-Bund December Futures, Call | | | SOG | | | | 11/22/19 | | | EUR | 176.00 | | | $ | 14,771 | |
| | 30 | | | | 5,283,300EUR | | | Euro-Bund December Futures, Call | | | CITI | | | | 11/22/19 | | | EUR | 178.50 | | | | 21,102 | |
| | 8 | | | | 1,408,880EUR | | | Euro-Bund December Futures, Put | | | SOG | | | | 11/22/19 | | | EUR | 176.00 | | | | 12,309 | |
| | 60 | | | | 10,566,600EUR | | | Euro-Bund November Futures, Put | | | CITI | | | | 10/25/19 | | | EUR | 170.50 | | | | 5,935 | |
| | 12 | | | | 2,113,320EUR | | | Euro-Bund October Futures, Call | | | UBS | | | | 9/20/19 | | | EUR | 175.50 | | | | 17,145 | |
| | 1 | | | | 176,110EUR | | | Euro-Bund October Futures, Call | | | GSC | | | | 9/20/19 | | | EUR | 175.50 | | | | 1,429 | |
| | 12 | | | | 2,113,320EUR | | | Euro-Bund October Futures, Put | | | UBS | | | | 9/20/19 | | | EUR | 175.50 | | | | 6,858 | |
| | 1 | | | | 176,110EUR | | | Euro-Bund October Futures, Put | | | GSC | | | | 9/20/19 | | | EUR | 175.50 | | | | 572 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | Total Options on Futures | | | | | | | | | | | | | | $ | 80,121 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | TOTAL OPTIONS CONTRACTS WRITTEN
(Premiums received — $123,379) | | | | | | | | | | | | | | $ | 82,877 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
See Notes to Financial Statements.
271
| | | | | | |
| Inflation-Linked Fixed Income Fund |
At August 31, 2019, Inflation-Linked Fixed Income Fund held the following Reverse Repurchase Agreements:
| | | | | | | | |
| | |
Face
Amounts† | | | Security | | Value | |
| | | | Bank of America: | | | | |
| $ | 509,775 | | | 2.240% due 9/3/19 | | $ | 509,775 | |
| | 3,848,651 | | | 2.250% due 9/3/19 | | | 3,848,651 | |
| | | | NatWest Markets Securities Inc.: | | | | |
| | 775,250 | | | 2.350% due 9/3/19 | | | 775,250 | |
| | 18,288,890 | | | 2.300% due 10/7/19 | | | 18,288,890 | |
| | | | Royal Bank of Canada: | | | | |
| | 11,060,100 | | | 2.280% due 10/11/19 | | | 11,060,100 | |
| | | | Standard Chartered Bank: | | | | |
| | 18,830,085 | | | 2.280% due 10/11/19 | | | 18,830,085 | |
| | 775,250 | | | 2.280% due 10/18/19 | | | 775,250 | |
| | | | | | | | |
| | | | TOTAL REVERSE REPURCHASE AGREEMENTS
(Proceeds — $54,088,001) | | $ | 54,088,001 | |
| | | | | | | | |
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
For the year ended August 31, 2019, the daily average borrowing and interest rate under the reverse repurchase agreements were $50,194,745 and 2.502%, respectively.
At August 31, 2019, Inflation-Linked Fixed Income Fund had cash collateral from brokers in the amount of $353,000 for open reverse repurchase agreements.
At August 31, 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-Bund December Futures | | | 52 | | | | 12/19 | | | $ | 10,084,795 | | | $ | 10,074,508 | | | $ | (10,287 | ) |
U.S. Treasury10-Year Note December Futures | | | 158 | | | | 12/19 | | | | 20,792,647 | | | | 20,811,562 | | | | 18,915 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 8,628 | |
| | | | | | | | | | | | | | | | | | | | |
| Contracts to Sell: | | | | | | | | | | | | | | | | | | | | |
Australian Government3-Year Bond September Futures | | | 14 | | | | 9/19 | | | | 1,081,732 | | | | 1,091,756 | | | | (10,024 | ) |
Australian Government10-Year Bond September Futures | | | 4 | | | | 9/19 | | | | 382,296 | | | | 400,776 | | | | (18,480 | ) |
Euro-Bobl September Futures | | | 6 | | | | 9/19 | | | | 886,933 | | | | 898,341 | | | | (11,408 | ) |
Euro-OAT December Futures | | | 75 | | | | 12/19 | | | | 14,168,260 | | | | 14,196,703 | | | | (28,443 | ) |
Euro-Schatz Note December Futures | | | 430 | | | | 12/19 | | | | 53,231,524 | | | | 53,253,972 | | | | (22,448 | ) |
Japan Government10-Year Bond September Futures | | | 3 | | | | 9/19 | | | | 4,343,281 | | | | 4,383,149 | | | | (39,868 | ) |
U.S. Treasury2-Year Note December Futures | | | 44 | | | | 12/19 | | | | 9,504,344 | | | | 9,509,157 | | | | (4,813 | ) |
U.S. Treasury5-Year Note December Futures | | | 117 | | | | 12/19 | | | | 14,015,320 | | | | 14,037,258 | | | | (21,938 | ) |
U.S. Treasury Long Bond December Futures | | | 47 | | | | 12/19 | | | | 7,743,250 | | | | 7,766,750 | | | | (23,500 | ) |
U.S. Treasury Ultra Long Bond December Futures | | | 11 | | | | 12/19 | | | | 2,147,479 | | | | 2,171,813 | | | | (24,334 | ) |
United Kingdom Treasury10-Year Gilt December Futures | | | 43 | | | | 12/19 | | | | 6,982,629 | | | | 7,025,274 | | | | (42,645 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | (247,901 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Unrealized Depreciation on Open Exchange-Traded Futures Contracts | | | | | | | | | | | | | | | | | | $ | (239,273 | ) |
| | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
272
| | | | | | |
| Inflation-Linked Fixed Income Fund |
At August 31, 2019, Inflation-Linked Fixed Income Fund had deposited cash of $542,000 with a broker or brokers as margin collateral on an open exchange-traded futures contracts.
At August 31, 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 | | | 10,472,000 | | | | USD | | | | 185,839 | | | | BNP | | | $ | 175,970 | | | | 9/4/19 | | | $ | (9,869 | ) |
Argentine Peso | | | 10,472,000 | | | | USD | | | | 176,916 | | | | HSBC | | | | 175,969 | | | | 9/4/19 | | | | (947 | ) |
Argentine Peso | | | 126,000 | | | | USD | | | | 2,000 | | | | HSBC | | | | 1,972 | | | | 9/23/19 | | | | (28 | ) |
Australian Dollar | | | 2,531,000 | | | | USD | | | | 1,707,573 | | | | HSBC | | | | 1,704,375 | | | | 9/3/19 | | | | (3,198 | ) |
Brazilian Real | | | 4,439,728 | | | | USD | | | | 1,072,787 | | | | DUB | | | | 1,071,945 | | | | 9/4/19 | | | | (842 | ) |
Brazilian Real | | | 4,439,728 | | | | USD | | | | 1,183,612 | | | | MLP | | | | 1,071,945 | | | | 9/4/19 | | | | (111,667 | ) |
Brazilian Real | | | 4,439,728 | | | | USD | | | | 1,066,832 | | | | DUB | | | | 1,069,654 | | | | 10/2/19 | | | | 2,822 | |
British Pound | | | 1,193,000 | | | | USD | | | | 1,444,869 | | | | BCLY | | | | 1,451,524 | | | | 9/3/19 | | | | 6,655 | |
British Pound | | | 3,434,000 | | | | USD | | | | 4,158,837 | | | | SCB | | | | 4,178,149 | | | | 9/3/19 | | | | 19,312 | |
Colombian Peso | | | 3,540,078,800 | | | | USD | | | | 1,048,198 | | | | JPM | | | | 1,027,481 | | | | 9/25/19 | | | | (20,717 | ) |
Euro | | | 977,000 | | | | USD | | | | 1,080,847 | | | | JPM | | | | 1,073,772 | | | | 9/3/19 | | | | (7,075 | ) |
Indonesian Rupiah | | | 16,302,736,400 | | | | USD | | | | 1,112,663 | | | | SCB | | | | 1,147,532 | | | | 9/18/19 | | | | 34,869 | |
Indonesian Rupiah | | | 16,302,736,400 | | | | USD | | | | 1,121,851 | | | | SCB | | | | 1,135,519 | | | | 12/18/19 | | | | 13,668 | |
Korean Won | | | 1,351,944,610 | | | | USD | | | | 1,115,190 | | | | HSBC | | | | 1,117,380 | | | | 9/18/19 | | | | 2,190 | |
Russian Ruble | | | 9,099,025 | | | | USD | | | | 142,678 | | | | SCB | | | | 135,604 | | | | 10/17/19 | | | | (7,074 | ) |
Russian Ruble | | | 67,739,427 | | | | USD | | | | 1,031,789 | | | | SCB | | | | 1,005,598 | | | | 11/15/19 | | | | (26,191 | ) |
South African Rand | | | 8,324,094 | | | | USD | | | | 582,823 | | | | BNP | | | | 546,388 | | | | 10/7/19 | | | | (36,435 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | (144,527 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Contracts to Sell: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Argentine Peso | | | 10,472,000 | | | | USD | | | | 176,916 | | | | BNP | | | | 175,970 | | | | 9/4/19 | | | | 946 | |
Argentine Peso | | | 10,472,000 | | | | USD | | | | 176,000 | | | | HSBC | | | | 175,970 | | | | 9/4/19 | | | | 30 | |
Argentine Peso | | | 1,391,500 | | | | USD | | | | 22,000 | | | | BNP | | | | 22,021 | | | | 9/20/19 | | | | (21 | ) |
Argentine Peso | | | 2,340,000 | | | | USD | | | | 36,000 | | | | DUB | | | | 37,031 | | | | 9/20/19 | | | | (1,031 | ) |
Argentine Peso | | | 10,472,000 | | | | USD | | | | 176,445 | | | | BNP | | | | 163,932 | | | | 9/23/19 | | | | 12,513 | |
Argentine Peso | | | 5,461,000 | | | | USD | | | | 86,000 | | | | JPM | | | | 85,488 | | | | 9/23/19 | | | | 512 | |
Australian Dollar | | | 2,531,000 | | | | USD | | | | 1,749,467 | | | | BNP | | | | 1,704,375 | | | | 9/3/19 | | | | 45,092 | |
Australian Dollar | | | 2,531,000 | | | | USD | | | | 1,709,092 | | | | HSBC | | | | 1,705,785 | | | | 10/2/19 | | | | 3,307 | |
Brazilian Real | | | 4,439,728 | | | | USD | | | | 1,069,041 | | | | DUB | | | | 1,071,945 | | | | 9/4/19 | | | | (2,904 | ) |
Brazilian Real | | | 4,439,728 | | | | USD | | | | 1,072,787 | | | | MLP | | | | 1,071,945 | | | | 9/4/19 | | | | 842 | |
Brazilian Real | | | 5,768,000 | | | | USD | | | | 1,499,389 | | | | JPM | | | | 1,380,364 | | | | 1/3/20 | | | | 119,025 | |
British Pound | | | 654,000 | | | | USD | | | | 798,608 | | | | BCLY | | | | 795,722 | | | | 9/3/19 | | | | 2,886 | |
British Pound | | | 302,000 | | | | USD | | | | 367,194 | | | | JPM | | | | 367,444 | | | | 9/3/19 | | | | (250 | ) |
British Pound | | | 861,000 | | | | USD | | | | 1,052,370 | | | | JPM | | | | 1,047,579 | | | | 9/3/19 | | | | 4,791 | |
British Pound | | | 92,000 | | | | USD | | | | 111,287 | | | | JPM | | | | 111,936 | | | | 9/3/19 | | | | (649 | ) |
British Pound | | | 115,000 | | | | USD | | | | 140,168 | | | | MLP | | | | 139,921 | | | | 9/3/19 | | | | 247 | |
British Pound | | | 9,742,000 | | | | USD | | | | 11,879,784 | | | | MLP | | | | 11,853,096 | | | | 9/3/19 | | | | 26,688 | |
British Pound | | | 550,000 | | | | USD | | | | 673,953 | | | | MLP | | | | 669,185 | | | | 9/3/19 | | | | 4,768 | |
British Pound | | | 7,689,000 | | | | USD | | | | 9,387,755 | | | | HSBC | | | | 9,366,926 | | | | 10/2/19 | | | | 20,829 | |
British Pound | | | 116,000 | | | | USD | | | | 141,705 | | | | SCB | | | | 141,314 | | | | 10/2/19 | | | | 391 | |
Canadian Dollar | | | 654,000 | | | | USD | | | | 495,195 | | | | BNP | | | | 491,268 | | | | 9/3/19 | | | | 3,927 | |
Colombian Peso | | | 1,818,490,000 | | | | USD | | | | 563,000 | | | | HSBC | | | | 527,803 | | | | 9/25/19 | | | | 35,197 | |
Colombian Peso | | | 1,758,605,000 | | | | USD | | | | 547,000 | | | | HSBC | | | | 510,422 | | | | 9/25/19 | | | | 36,578 | |
Danish Krone | | | 2,085,000 | | | | USD | | | | 320,081 | | | | BNP | | | | 308,010 | | | | 10/1/19 | | | | 12,071 | |
See Notes to Financial Statements.
273
| | | | | | |
| Inflation-Linked Fixed Income Fund |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Foreign Currency | | Local Currency | | | In Exchange
For | | | Counterparty | | | Market Value | | | Settlement
Date | | | Unrealized
Appreciation/
(Depreciation) | |
| Contracts to Sell: (continued) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Danish Krone | | | 8,304,916 | | | | USD | | | | 1,275,081 | | | | BNP | | | $ | 1,226,856 | | | | 10/1/19 | | | $ | 48,225 | |
Danish Krone | | | 7,240,000 | | | | USD | | | | 1,109,453 | | | | BNP | | | | 1,069,540 | | | | 10/1/19 | | | | 39,913 | |
Danish Krone | | | 1,690,000 | | | | USD | | | | 259,103 | | | | HSBC | | | | 249,658 | | | | 10/1/19 | | | | 9,445 | |
Danish Krone | | | 15,170,000 | | | | USD | | | | 2,313,441 | | | | JPM | | | | 2,241,011 | | | | 10/1/19 | | | | 72,430 | |
Danish Krone | | | 2,680,000 | | | | USD | | | | 411,993 | | | | MLP | | | | 395,907 | | | | 10/1/19 | | | | 16,086 | |
Euro | | | 4,170,000 | | | | USD | | | | 4,657,656 | | | | HSBC | | | | 4,583,037 | | | | 9/3/19 | | | | 74,619 | |
Euro | | | 380,000 | | | | USD | | | | 426,379 | | | | MLP | | | | 417,639 | | | | 9/3/19 | | | | 8,740 | |
Euro | | | 3,573,000 | | | | USD | | | | 3,967,845 | | | | BNP | | | | 3,935,616 | | | | 10/2/19 | | | | 32,229 | |
Indonesian Rupiah | | | 16,302,736,400 | | | | USD | | | | 1,139,096 | | | | SCB | | | | 1,147,532 | | | | 9/18/19 | | | | (8,436 | ) |
Japanese Yen | | | 236,000,000 | | | | USD | | | | 2,177,074 | | | | HSBC | | | | 2,221,699 | | | | 9/3/19 | | | | (44,625 | ) |
Japanese Yen | | | 108,200,000 | | | | USD | | | | 1,031,049 | | | | MLP | | | | 1,018,593 | | | | 9/3/19 | | | | 12,456 | |
Japanese Yen | | | 344,200,000 | | | | USD | | | | 3,240,652 | | | | JPM | | | | 3,247,079 | | | | 10/2/19 | | | | (6,427 | ) |
Korean Won | | | 1,165,304,410 | | | | USD | | | | 982,882 | | | | BNP | | | | 963,123 | | | | 9/18/19 | | | | 19,759 | |
Korean Won | | | 186,640,200 | | | | USD | | | | 162,000 | | | | MLP | | | | 154,258 | | | | 9/18/19 | | | | 7,742 | |
Korean Won | | | 1,351,944,610 | | | | USD | | | | 1,118,373 | | | | HSBC | | | | 1,120,557 | | | | 12/18/19 | | | | (2,184 | ) |
Mexican Peso | | | 761,000 | | | | USD | | | | 38,663 | | | | BCLY | | | | 37,867 | | | | 9/20/19 | | | | 796 | |
New Taiwan Dollar | | | 16,220,020 | | | | USD | | | | 517,369 | | | | BNP | | | | 520,014 | | | | 11/21/19 | | | | (2,645 | ) |
New Taiwan Dollar | | | 4,335,000 | | | | USD | | | | 138,419 | | | | HSBC | | | | 138,980 | | | | 11/21/19 | | | | (561 | ) |
New Taiwan Dollar | | | 6,606,000 | | | | USD | | | | 210,516 | | | | JPM | | | | 211,788 | | | | 11/21/19 | | | | (1,272 | ) |
New Taiwan Dollar | | | 8,241,000 | | | | USD | | | | 263,316 | | | | SCB | | | | 264,207 | | | | 11/21/19 | | | | (891 | ) |
New Zealand Dollar | | | 1,271,000 | | | | USD | | | | 834,922 | | | | BNP | | | | 800,857 | | | | 9/3/19 | | | | 34,065 | |
New Zealand Dollar | | | 1,271,000 | | | | USD | | | | 801,532 | | | | HSBC | | | | 801,511 | | | | 10/2/19 | | | | 21 | |
Peruvian Sol | | | 66,154 | | | | USD | | | | 19,650 | | | | BNP | | | | 19,458 | | | | 10/9/19 | | | | 192 | |
Peruvian Sol | | | 1,581,510 | | | | USD | | | | 478,883 | | | | BNP | | | | 464,219 | | | | 11/25/19 | | | | 14,664 | |
Singapore Dollar | | | 788,084 | | | | USD | | | | 575,748 | | | | MLP | | | | 568,034 | | | | 9/18/19 | | | | 7,714 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | 657,840 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Unrealized Appreciation on Open Forward Foreign Currency Contracts | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 513,313 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
At August 31, 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) | |
| Receive | | U.S. Federal Funds Effective Rate Index | | | 2.428% | | | | 12/20/47 | | | | 12-Month | | | | USD | | | | 100,000 | | | $ | (26,970 | ) | | $ | 241 | | | $ | (27,211 | ) |
| Receive | | U.S. Federal Funds Effective Rate Index | | | 2.478% | | | | 12/20/47 | | | | 12-Month | | | | USD | | | | 378,000 | | | | (106,676 | ) | | | 758 | | | | (107,434 | ) |
| Receive | | U.S. Federal Funds Effective Rate Index | | | 2.499% | | | | 12/20/47 | | | | 12-Month | | | | USD | | | | 950,000 | | | | (273,102 | ) | | | 2,364 | | | | (275,466 | ) |
| Receive | | 3-Month FRA New Zealand Bank Bill | | | 3.250% | | | | 3/21/28 | | | | 6-Month | | | | NZD | | | | 700,000 | | | | (81,879 | ) | | | 2,137 | | | | (84,016 | ) |
| Receive | | 3-MonthUSD-LIBOR | | | 1.625% | | | | 1/16/50 | | | | 6-Month | | | | USD | | | | 100,000 | | | | (2,033 | ) | | | (1,423 | ) | | | (610 | ) |
| Receive | | 3-MonthUSD-LIBOR | | | 1.625% | | | | 2/3/50 | | | | 6-Month | | | | USD | | | | 200,000 | | | | (4,089 | ) | | | (14 | ) | | | (4,075 | ) |
| Receive | | 3-MonthUSD-LIBOR | | | 1.750% | | | | 12/21/26 | | | | 6-Month | | | | USD | | | | 620,000 | | | | (17,087 | ) | | | (15,863 | ) | | | (1,224 | ) |
| Receive | | 3-MonthUSD-LIBOR | | | 1.750% | | | | 9/12/29 | | | | 6-Month | | | | USD | | | | 3,400,000 | | | | (44,468 | ) | | | 7,961 | | | | (52,429 | ) |
| Receive | | 3-MonthUSD-LIBOR | | | 2.000% | | | | 7/27/26 | | | | 6-Month | | | | USD | | | | 3,100,000 | | | | (110,485 | ) | | | 90,254 | | | | (200,739 | ) |
| Pay | | 3-MonthUSD-LIBOR | | | 2.250% | | | | 12/20/22 | | | | 6-Month | | | | USD | | | | 9,600,000 | | | | 265,781 | | | | 12,038 | | | | 253,743 | |
| Receive | | 3-MonthUSD-LIBOR | | | 2.250% | | | | 6/20/28 | | | | 6-Month | | | | USD | | | | 1,490,000 | | | | (109,884 | ) | | | 80,316 | | | | (190,200 | ) |
| Receive | | 3-MonthUSD-LIBOR | | | 2.250% | | | | 12/11/49 | | | | 6-Month | | | | USD | | | | 700,000 | | | | (122,384 | ) | | | (2,779 | ) | | | (119,605 | ) |
| Receive | | 3-MonthUSD-LIBOR | | | 2.250% | | | | 3/12/50 | | | | 6-Month | | | | USD | | | | 400,000 | | | | (70,069 | ) | | | (1,227 | ) | | | (68,842 | ) |
| Receive | | 3-MonthUSD-LIBOR | | | 2.400% | | | | 12/7/26 | | | | 6-Month | | | | USD | | | | 2,900,000 | | | | (155,065 | ) | | | 17,679 | | | | (172,744 | ) |
| Receive | | 3-MonthUSD-LIBOR | | | 2.500% | | | | 2/22/26 | | | | 6-Month | | | | USD | | | | 9,530,000 | | | | (577,668 | ) | | | (281,476 | ) | | | (296,192 | ) |
| Receive | | 3-MonthUSD-LIBOR | | | 2.500% | | | | 6/20/48 | | | | 6-Month | | | | USD | | | | 710,000 | | | | (162,198 | ) | | | 84,824 | | | | (247,022 | ) |
| Pay | | 3-MonthUSD-LIBOR | | | 2.750% | | | | 12/19/23 | | | | 6-Month | | | | USD | | | | 9,540,000 | | | | 569,285 | | | | (58,761 | ) | | | 628,046 | |
| Receive | | 3-MonthUSD-LIBOR | | | 2.765% | | | | 7/18/28 | | | | 6-Month | | | | USD | | | | 1,550,000 | | | | (183,679 | ) | | | — | | | | (183,679 | ) |
| Receive | | 6-MonthJPY-LIBOR | | | 0.300% | | | | 9/20/27 | | | | 6-Month | | | | JPY | | | | 5,590,000 | | | | (2,021 | ) | | | (101 | ) | | | (1,920 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | $ | (1,214,691 | ) | | $ | (63,072 | ) | | $ | (1,151,619 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
274
| | | | | | |
| Inflation-Linked Fixed Income Fund |
At August 31, 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 | | | 1.030% | | | | 3/15/24 | | | | EUR | | | | 2,000,000 | | | $ | (34,698 | ) | | $ | (3,199 | ) | | $ | (31,499 | ) |
| Pay | | 10-Year EUR Inflation Linked | | | 1.520% | | | | 11/15/27 | | | | EUR | | | | 1,890,000 | | | | 113,171 | | | | (30,893 | ) | | | 144,064 | |
| Pay | | 10-Year EUR Inflation Linked | | | 1.535% | | | | 3/15/28 | | | | EUR | | | | 700,000 | | | | 44,098 | | | | 91 | | | | 44,007 | |
| Pay | | 10-Year EUR Inflation Linked | | | 1.620% | | | | 5/15/28 | | | | EUR | | | | 910,000 | | | | 66,438 | | | | 57 | | | | 66,381 | |
| Receive | | 15-Year EUR Inflation Linked | | | 1.710% | | | | 3/15/33 | | | | EUR | | | | 100,000 | | | | (11,423 | ) | | | — | | | | (11,423 | ) |
| Pay | | 20-Year EUR Inflation Linked | | | 1.242% | | | | 8/15/39 | | | | EUR | | | | 240,000 | | | | (1,551 | ) | | | — | | | | (1,551 | ) |
| Pay | | 30-Year EUR Inflation Linked | | | 1.387% | | | | 8/15/49 | | | | EUR | | | | 120,000 | | | | 129 | | | | — | | | | 129 | |
| Pay | | 10-Year GBP Inflation Linked | | | 3.717% | | | | 12/15/28 | | | | GBP | | | | 920,000 | | | | 11,464 | | | | — | | | | 11,464 | |
| Pay | | 15-Year GBP Inflation Linked | | | 3.100% | | | | 6/15/31 | | | | GBP | | | | 2,430,000 | | | | (337,116 | ) | | | (251,380 | ) | | | (85,736 | ) |
| Pay | | 15-Year GBP Inflation Linked | | | 3.500% | | | | 9/15/33 | | | | GBP | | | | 250,000 | | | | (6,777 | ) | | | 195 | | | | (6,972 | ) |
| Pay | | 15-Year GBP Inflation Linked | | | 3.530% | | | | 10/15/31 | | | | GBP | | | | 1,190,000 | | | | (25,204 | ) | | | (7,845 | ) | | | (17,359 | ) |
| Pay | | 20-Year GBP Inflation Linked | | | 3.600% | | | | 6/15/39 | | | | GBP | | | | 820,000 | | | | 18,332 | | | | (227 | ) | | | 18,559 | |
| Pay | | 20-Year GBP Inflation Linked | | | 3.590% | | | | 6/15/39 | | | | GBP | | | | 120,000 | | | | 2,156 | | | | — | | | | 2,156 | |
| Receive | | 1-Year USD Inflation Linked | | | 1.430% | | | | 7/25/20 | | | | USD | | | | 4,300,000 | | | | (6,279 | ) | | | (245 | ) | | | (6,034 | ) |
| Receive | | 1-Year USD Inflation Linked | | | 1.425% | | | | 8/6/20 | | | | USD | | | | 700,000 | | | | (940 | ) | | | — | | | | (940 | ) |
| Receive | | 2-Year USD Inflation Linked | | | 1.875% | | | | 3/14/21 | | | | USD | | | | 200,000 | | | | (1,038 | ) | | | — | | | | (1,038 | ) |
| Receive | | 2-Year USD Inflation Linked | | | 1.927% | | | | 3/18/21 | | | | USD | | | | 700,000 | | | | (4,297 | ) | | | — | | | | (4,297 | ) |
| Receive | | 2-Year USD Inflation Linked | | | 1.997% | | | | 3/22/21 | | | | USD | | | | 2,290,000 | | | | (16,969 | ) | | | — | | | | (16,969 | ) |
| Receive | | 3-Year USD Inflation Linked | | | 2.168% | | | | 7/15/20 | | | | USD | | | | 1,100,000 | | | | (7,826 | ) | | | — | | | | (7,826 | ) |
| Receive | | 4-Year USD Inflation Linked | | | 2.027% | | | | 11/23/20 | | | | USD | | | | 700,000 | | | | (3,773 | ) | | | — | | | | (3,773 | ) |
| Receive | | 5-Year USD Inflation Linked | | | 1.550% | | | | 7/26/21 | | | | USD | | | | 400,000 | | | | 6,258 | | | | 13,538 | | | | (7,280 | ) |
| Receive | | 5-Year USD Inflation Linked | | | 1.603% | | | | 9/12/21 | | | | USD | | | | 310,000 | | | | 3,391 | | | | 9,337 | | | | (5,946 | ) |
| Receive | | 5-Year USD Inflation Linked | | | 2.210% | | | | 2/5/23 | | | | USD | | | | 2,090,000 | | | | (57,164 | ) | | | — | | | | (57,164 | ) |
| Receive | | 5-Year USD Inflation Linked | | | 2.220% | | | | 4/13/23 | | | | USD | | | | 6,296,000 | | | | (197,277 | ) | | | — | | | | (197,277 | ) |
| Pay | | 10-Year USD Inflation Linked | | | 2.150% | | | | 9/25/27 | | | | USD | | | | 300,000 | | | | 10,210 | | | | — | | | | 10,210 | |
| Pay | | 10-Year USD Inflation Linked | | | 2.156% | | | | 10/17/27 | | | | USD | | | | 700,000 | | | | 24,708 | | | | — | | | | 24,708 | |
| Pay | | 10-Year USD Inflation Linked | | | 2.335% | | | | 2/5/28 | | | | USD | | | | 960,000 | | | | 58,540 | | | | 2,083 | | | | 56,457 | |
| Pay | | 10-Year USD Inflation Linked | | | 2.352% | | | | 5/9/28 | | | | USD | | | | 360,000 | | | | 23,641 | | | | — | | | | 23,641 | |
| Pay | | 10-Year USD Inflation Linked | | | 2.360% | | | | 5/9/28 | | | | USD | | | | 540,000 | | | | 35,915 | | | | — | | | | 35,915 | |
| Pay | | 10-Year USD Inflation Linked | | | 2.364% | | | | 5/10/28 | | | | USD | | | | 550,000 | | | | 36,785 | | | | — | | | | 36,785 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | $ | (257,096 | ) | | $ | (268,488 | ) | | $ | 11,392 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
At August 31, 2019, Inflation-Linked Fixed Income Fund held the following OTC and Centrally Cleared Credit Default Swap Contracts:
OTC Credit Default Swaps on Corporate and Sovereign Issues — Buy Protection (1)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Obligation | | Fixed Deal
(Pay) Rate | | | Maturity
Date | | | Payment
Frequency | | | Counterparty | | | Implied Credit
Spread at
8/31/19 (2) | | | Notional
Amount (3) | | | Market
Value | | | Upfront
Payment
Paid | | | Unrealized
Depreciation | |
Mexico Government International, BBB+ | | | (1.000 | )% | | | 12/20/23 | | | | 3-Month | | | | BCLY | | | | 1.019 | % | | | USD | | | | 500,000 | | | $ | (620 | ) | | $ | 4,271 | | | $ | (4,891 | ) |
Mexico Government International, BBB+ | | | (1.000 | )% | | | 12/20/23 | | | | 3-Month | | | | BNP | | | | 1.019 | % | | | USD | | | | 200,000 | | | | (248 | ) | | | 1,944 | | | | (2,192 | ) |
Mexico Government International, BBB+ | | | (1.000 | )% | | | 12/20/23 | | | | 3-Month | | | | HSBC | | | | 1.019 | % | | | USD | | | | 900,000 | | | | (1,117 | ) | | | 8,238 | | | | (9,355 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | (1,985 | ) | | $ | 14,453 | | | $ | (16,438 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
275
| | | | | | |
| Inflation-Linked Fixed Income Fund |
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
8/31/19 (2) | | | Notional
Amount (3) | | | Market
Value | | | Upfront
Payment
Paid/
(Received) | | | Unrealized
Appreciation/
(Depreciation) | |
Daimler AG, A | | | 1.000 | % | | | 12/20/20 | | | | 3-Month | | | | 0.172 | % | | | EUR | | | | 100,000 | | | $ | 1,433 | | | $ | 1,651 | | | $ | (218 | ) |
General Electric Co., BBB+ | | | 1.000 | % | | | 12/20/23 | | | | 3-Month | | | | 1.404 | % | | | USD | | | | 100,000 | | | | (1,436 | ) | | | (4,874 | ) | | | 3,438 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | $ | (3 | ) | | $ | (3,223 | ) | | $ | 3,220 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (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 August 31, 2019, Inflation-Linked Fixed Income Fund deposited cash collateral with brokers in the amount of $902,000 for open centrally cleared swap contracts.
At August 31, 2019, Inflation-Linked Fixed Income Fund had cash collateral from brokers in the amount of $330,000 for open OTC swap contracts.
At August 31, 2019, Inflation-Linked Fixed Income Fund was involved in following sale-buyback transactions:
| | | | | | | | | | | | | | | | |
| Counterparty | | Borrowing
date | | | Maturity
date | | | Borrowing
rate | | | Amount
borrowed | |
BNP Paribas | | | 8/28/2019 | | | | 9/3/2019 | | | | 2.19 | % | | $ | 655,371 | |
BNP Paribas | | | 8/28/2019 | | | | 9/3/2019 | | | | 2.47 | % | | | 614,970 | |
BNP Paribas | | | 8/29/2019 | | | | 9/3/2019 | | | | 2.40 | % | | | 943,549 | |
BNP Paribas | | | 8/30/2019 | | | | 9/4/2019 | | | | 2.35 | % | | | 617,051 | |
BNP Paribas | | | 8/30/2019 | | | | 9/4/2019 | | | | 2.35 | % | | | 1,662,656 | |
TD Securities (USA) LLC | | | 8/28/2019 | | | | 9/3/2019 | | | | 1.52 | % | | | 535,219 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | $ | 5,028,816 | |
| | | | | | | | | | | | | | | | |
| | | | | | |
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 | | DUB | | — Deutsche Bank AG |
| DKK | | — Danish Krone | | GSC | | — Goldman Sachs & Co. |
| EUR | | — Euro | | HSBC | | — HSBC Bank USA |
| GBP | | — British Pound | | JPM | | — JPMorgan Chase & Co. |
| JPY | | — Japanese Yen | | MLP | | — Merrill Lynch, Pierce, Fenner & Smith Inc. |
| NZD | | — New Zealand Dollar | | SCB | | — Standard Chartered Bank |
| PEN | | — Peruvian Sol | | SOG | | — Societe Generale SA |
| SGD | | — Singapore Dollar | | UBS | | — UBS Securities LLC |
| ZAR | | — South African Rand | | |
See pages295-296 for definitions of ratings.
See Notes to Financial Statements.
276
| | | | | | | | | | |
| Ultra-Short Term Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | CORPORATE BONDS & NOTES — 59.1% | |
|
| | Aerospace/Defense — 0.5% | |
| $ | 1,500,000 | | | BBB- | | Spirit AeroSystems Inc., Company Guaranteed Notes, 3.210%(3-MonthUSD-LIBOR + 0.800%) due 6/15/21(a) | | $ | 1,500,463 | |
| | 1,000,000 | | | BBB+ | | United Technologies Corp., Senior Unsecured Notes, 2.818%(3-MonthUSD-LIBOR + 0.650%) due 8/16/21(a) | | | 1,000,125 | |
| | | | | | | | | | |
| | | | | | Total Aerospace/Defense | | | 2,500,588 | |
| | | | | | | | | | |
|
| | Agriculture — 1.8% | |
| | | | | | BAT Capital Corp., Company Guaranteed Notes: | | | | |
| | 1,800,000 | | | BBB+ | | 2.297% due 8/14/20 | | | 1,800,449 | |
| | 2,330,000 | | | BBB+ | | 2.765%(3-MonthUSD-LIBOR + 0.590%) due 8/14/20(a) | | | 2,334,985 | |
| | 1,400,000 | | | BBB+ | | 3.038%(3-MonthUSD-LIBOR + 0.880%) due 8/15/22(a) | | | 1,405,580 | |
| | 1,500,000 | | | BBB+ | | BAT International Finance PLC, Company Guaranteed Notes, 1.625% due 9/9/19 | | | 1,499,713 | |
| | 1,100,000 | | | BBB | | Imperial Brands Finance PLC, Company Guaranteed Notes, 2.950% due 7/21/20(b) | | | 1,105,945 | |
| | 1,000,000 | | | BBB+ | | Reynolds American Inc., Company Guaranteed Notes, 6.875% due 5/1/20 | | | 1,028,826 | |
| | | | | | | | | | |
| | | | | | Total Agriculture | | | 9,175,498 | |
| | | | | | | | | | |
|
| | Airlines — 0.5% | |
| | 1,500,000 | | | BB+ | | Delta Air Lines Inc., Senior Unsecured Notes, 2.875% due 3/13/20 | | | 1,500,444 | |
| | 414,002 | | | A+ | | Northwest Airlines Inc. Class A Pass-Through Trust, Series2007-1, Pass-Thru Certificates, 7.027% due 11/1/19 | | | 416,755 | |
| | 203,653 | | | A | | Northwest Airlines Inc.Class G-2 Pass-Through Trust, Series2002-1, Pass-Thru Certificates, 6.264% due 11/20/21 | | | 210,058 | |
| | 500,000 | | | BBB+ | | Southwest Airlines Co., Senior Unsecured Notes, 2.750% due 11/6/19 | | | 500,116 | |
| | | | | | | | | | |
| | | | | | Total Airlines | | | 2,627,373 | |
| | | | | | | | | | |
|
| | Auto Manufacturers — 7.9% | |
| | 500,000 | | | A+ | | BMW US Capital LLC, Company Guaranteed Notes, 2.676%(3-MonthUSD-LIBOR + 0.500%) due 8/13/21(a)(b) | | | 501,326 | |
| | | | | | Daimler Finance North America LLC, Company Guaranteed Notes: | | | | |
| | 500,000 | | | A | | 2.611%(3-MonthUSD-LIBOR + 0.430%) due 2/12/21(a)(b) | | | 499,468 | |
| | 5,600,000 | | | A | | 3.030%(3-MonthUSD-LIBOR + 0.880%) due 2/22/22(a)(b) | | | 5,623,937 | |
| | | | | | Ford Motor Credit Co. LLC, Senior Unsecured Notes: | | | | |
| | 3,400,000 | | | BBB | | 3.311%(3-MonthUSD-LIBOR + 1.000%) due 1/9/20(a) | | | 3,405,895 | |
| | 1,000,000 | | | BBB | | 8.125% due 1/15/20 | | | 1,020,959 | |
| | 1,000,000 | | | BBB | | 2.343% due 11/2/20 | | | 995,781 | |
| | 1,037,000 | | | BBB | | 3.099%(3-MonthUSD-LIBOR + 0.810%) due 4/5/21(a) | | | 1,029,417 | |
| | 1,100,000 | | | BBB | | 3.220%(3-MonthUSD-LIBOR + 0.880%) due 10/12/21(a) | | | 1,088,842 | |
| | | | | | General Motors Co., Senior Unsecured Notes: | | | | |
| | 1,900,000 | | | BBB | | 3.009%(3-MonthUSD-LIBOR + 0.800%) due 8/7/20(a) | | | 1,902,838 | |
| | 200,000 | | | BBB | | 3.353%(3-MonthUSD-LIBOR + 0.900%) due 9/10/21(a) | | | 199,877 | |
| | | | | | General Motors Financial Co., Inc.: | | | | |
| | | | | | Company Guaranteed Notes: | | | | |
| | 300,000 | | | BBB | | 3.161%(3-MonthUSD-LIBOR + 0.850%) due 4/9/21(a) | | | 300,013 | |
| | 1,500,000 | | | BBB | | 3.640%(3-MonthUSD-LIBOR + 1.310%) due 6/30/22(a) | | | 1,501,338 | |
| | 2,400,000 | | | BBB | | Senior Unsecured Notes, 3.339%(3-MonthUSD-LIBOR + 1.100%) due 11/6/21(a) | | | 2,400,673 | |
| | | | | | Harley-Davidson Financial Services Inc., Company Guaranteed Notes: | | | | |
| | 1,300,000 | | | BBB+ | | 2.400% due 9/15/19(b) | | | 1,299,889 | |
| | 500,000 | | | BBB+ | | 2.150% due 2/26/20(b) | | | 499,049 | |
| | 500,000 | | | BBB+ | | 2.400% due 6/15/20(b) | | | 499,843 | |
| | | | | | Hyundai Capital America, Senior Unsecured Notes: | | | | |
| | 400,000 | | | BBB+ | | 1.750% due 9/27/19(b) | | | 400,004 | |
| | 600,000 | | | BBB+ | | 3.202%(3-MonthUSD-LIBOR + 0.800%) due 9/18/20(a)(b) | | | 601,409 | |
| | 800,000 | | | BBB+ | | 3.256%(3-MonthUSD-LIBOR + 0.820%) due 3/12/21(a) | | | 800,643 | |
| | 600,000 | | | BBB+ | | 3.243%(3-MonthUSD-LIBOR + 0.940%) due 7/8/21(a) | | | 600,541 | |
See Notes to Financial Statements.
277
| | | | | | | | | | |
| Ultra-Short Term Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Auto Manufacturers — 7.9% — (continued) | |
| $ | 800,000 | | | BBB+ | | Hyundai Capital Services Inc., Senior Unsecured Notes, 2.625% due 9/29/20 | | $ | 800,721 | |
| | | | | | Nissan Motor Acceptance Corp., Senior Unsecured Notes: | | | | |
| | 3,900,000 | | | A- | | 2.693%(3-MonthUSD-LIBOR + 0.390%) due 7/13/20(a)(b) | | | 3,900,940 | |
| | 1,500,000 | | | A- | | 2.720%(3-MonthUSD-LIBOR + 0.390%) due 9/28/20(a)(b) | | | 1,500,123 | |
| | 1,000,000 | | | A- | | 2.930%(3-MonthUSD-LIBOR + 0.520%) due 3/15/21(a)(b) | | | 999,889 | |
| | 1,700,000 | | | A- | | 2.953%(3-MonthUSD-LIBOR + 0.650%) due 7/13/22(a)(b) | | | 1,693,804 | |
| | 1,000,000 | | | A- | | 3.020%(3-MonthUSD-LIBOR + 0.690%) due 9/28/22(a)(b) | | | 996,024 | |
| | | | | | Volkswagen Group of America Finance LLC, Company Guaranteed Notes: | | | | |
| | 1,000,000 | | | BBB+ | | 2.450% due 11/20/19(b) | | | 999,935 | |
| | 500,000 | | | BBB+ | | 2.400% due 5/22/20(b) | | | 500,601 | |
| | 1,500,000 | | | BBB+ | | 2.946%(3-MonthUSD-LIBOR + 0.770%) due 11/13/20(a)(b) | | | 1,506,790 | |
| | 1,000,000 | | | BBB+ | | 3.875% due 11/13/20(b) | | | 1,018,969 | |
| | | | | | | | | | |
| | | | | | Total Auto Manufacturers | | | 39,089,538 | |
| | | | | | | | | | |
|
| | Auto Parts & Equipment — 0.1% | |
| | 300,000 | | | BBB- | | ZF North America Capital Inc., Company Guaranteed Notes, 4.000% due 4/29/20 | | | 300,989 | |
| | | | | | | | | | |
|
| | Banks — 17.7% | |
| | 1,400,000 | | | A- | | Aozora Bank Ltd., Senior Unsecured Notes, 2.750% due 3/9/20 | | | 1,400,890 | |
| | 1,800,000 | | | BBB- | | Axis Bank Ltd., Senior Unsecured Notes, 3.250% due 5/21/20 | | | 1,806,749 | |
| | 800,000 | | | A | | Banco Santander Chile, Senior Unsecured Notes, 3.344%(3-MonthUSD-LIBOR + 1.200%) due 11/28/21(a) | | | 810,689 | |
| | 1,600,000 | | | A- | | Bank of America Corp., Senior Unsecured Notes, 2.969%(3-MonthUSD-LIBOR + 0.650%) due 10/1/21(a) | | | 1,604,744 | |
| | | | | | Barclays PLC, Senior Unsecured Notes: | | | | |
| | 2,300,000 | | | BBB | | 4.291%(3-MonthUSD-LIBOR + 2.110%) due 8/10/21(a) | | | 2,341,685 | |
| | 300,000 | | | BBB | | 3.588%(3-MonthUSD-LIBOR + 1.430%) due 2/15/23(a) | | | 300,210 | |
| | 2,000,000 | | | A | | Chiba Bank Ltd. (The), Senior Unsecured Notes, 2.750% due 7/29/20 | | | 2,000,896 | |
| | 2,100,000 | | | A+ | | Citibank NA, Senior Unsecured Notes, 2.736%(3-MonthUSD-LIBOR + 0.600%) due 5/20/22(a) | | | 2,104,612 | |
| | 1,500,000 | | | BBB+ | | Citigroup Inc., Senior Unsecured Notes, 3.233%(3-MonthUSD-LIBOR + 0.950%) due 7/24/23(a) | | | 1,507,342 | |
| | 1,200,000 | | | A+ | | Cooperatieve Rabobank UA, Senior Unsecured Notes, 3.168%(3-MonthUSD-LIBOR + 0.830%) due 1/10/22(a) | | | 1,212,438 | |
| | 2,000,000 | | | BBB+ | | Credit Suisse Group Funding Guernsey Ltd., Company Guaranteed Notes, 4.590%(3-MonthUSD-LIBOR + 2.290%) due 4/16/21(a) | | | 2,058,101 | |
| | | | | | Danske Bank AS, Senior Unsecured Notes: | | | | |
| | 900,000 | | | A | | 1.650% due 9/6/19(b) | | | 899,968 | |
| | 500,000 | | | A | | 2.750% due 9/17/20 | | | 501,820 | |
| | | | | | DBS Group Holdings Ltd., Senior Unsecured Notes: | | | | |
| | 1,000,000 | | | Aa2(c) | | 2.896%(3-MonthUSD-LIBOR + 0.620%) due 7/25/22(a) | | | 1,005,407 | |
| | 3,000,000 | | | Aa2(c) | | 2.896%(3-MonthUSD-LIBOR + 0.620%) due 7/25/22(a)(b) | | | 3,016,221 | |
| | 300,000 | | | BBB- | | Discover Bank, Subordinated Notes, 8.700% due 11/18/19 | | | 303,622 | |
| | 1,000,000 | | | AA- | | DNB Bank ASA, Senior Unsecured Notes, 3.208%(3-MonthUSD-LIBOR + 1.070%) due 6/2/21(a) | | | 1,013,160 | |
| | 600,000 | | | NR | | Eksportfinans ASA, Senior Unsecured Notes, 2.981%(3-MonthUSD-LIBOR + 0.800%) due 11/10/20(a)(d) | | | 600,672 | |
| | 300,000 | | | A3(c) | | Emirates NBD PJSC, Senior Unsecured Notes, 3.806%(3-MonthUSD-LIBOR + 1.550%) due 1/26/20(a) | | | 301,872 | |
| | 1,000,000 | | | AA- | | First Abu Dhabi Bank PJSC, Senior Unsecured Notes, 3.272%(3-MonthUSD-LIBOR + 0.950%) due 4/16/22(a) | | | 1,006,243 | |
| | 800,000 | | | A+ | | Goldman Sachs Bank USA, Senior Unsecured Notes, 2.725% (SOFR + 0.600%) due 5/24/21(a) | | | 800,581 | |
| | | | | | Goldman Sachs Group Inc. (The), Senior Unsecured Notes: | | | | |
| | 1,000,000 | | | BBB+ | | 3.041%(3-MonthUSD-LIBOR + 0.730%) due 12/27/20(a) | | | 1,001,352 | |
| | 900,000 | | | BBB+ | | 3.328%(3-MonthUSD-LIBOR + 1.170%) due 11/15/21(a) | | | 906,608 | |
| | 1,000,000 | | | BBB+ | | 3.377%(3-MonthUSD-LIBOR + 1.110%) due 4/26/22(a) | | | 1,008,195 | |
| | 1,986,000 | | | BBB+ | | 3.036%(3-MonthUSD-LIBOR + 0.780%) due 10/31/22(a) | | | 1,990,962 | |
See Notes to Financial Statements.
278
| | | | | | | | | | |
| Ultra-Short Term Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Banks — 17.7% — (continued) | |
| | | | | | HSBC Holdings PLC, Senior Unsecured Notes: | | | | |
| $ | 2,300,000 | | | A | | 3.086%(3-MonthUSD-LIBOR + 0.650%) due 9/11/21(a) | | $ | 2,302,445 | |
| | 1,400,000 | | | A | | 3.789%(3-MonthUSD-LIBOR + 1.500%) due 1/5/22(a) | | | 1,426,074 | |
| | 3,100,000 | | | A | | 3.124%(3-MonthUSD-LIBOR + 1.000%) due 5/18/24(a) | | | 3,106,129 | |
| | | | | | ICICI Bank Ltd., Senior Unsecured Notes: | | | | |
| | 700,000 | | | BBB- | | 3.125% due 8/12/20 | | | 703,234 | |
| | 500,000 | | | BBB- | | 5.750% due 11/16/20 | | | 518,025 | |
| | 1,200,000 | | | A- | | ING Groep NV, Senior Unsecured Notes, 3.480%(3-MonthUSD-LIBOR + 1.150%) due 3/29/22(a) | | | 1,213,740 | |
| | 3,900,000 | | | A- | | JPMorgan Chase & Co., Senior Unsecured Notes, 3.012%(3-MonthUSD-LIBOR + 0.610%) due 6/18/22(a) | | | 3,907,575 | |
| | 300,000 | | | BBB+ | | Kasikornbank PCL, Senior Unsecured Notes, 3.500% due 10/25/19 | | | 300,543 | |
| | 400,000 | | | BBB+ | | Lloyds Banking Group PLC, Senior Unsecured Notes, 3.186%(3-MonthUSD-LIBOR + 0.800%) due 6/21/21(a) | | | 401,276 | |
| | 200,000 | | | BBB | | Macquarie Group Ltd., Senior Unsecured Notes, 3.661%(3-MonthUSD-LIBOR + 1.350%) due 3/27/24(a)(b) | | | 202,858 | |
| | | | | | Mizuho Financial Group Inc., Senior Unsecured Notes: | | | | |
| | 3,500,000 | | | A- | | 3.590%(3-MonthUSD-LIBOR + 1.140%) due 9/13/21(a) | | | 3,541,596 | |
| | 500,000 | | | A- | | 3.084%(3-MonthUSD-LIBOR + 0.940%) due 2/28/22(a) | | | 503,078 | |
| | 1,500,000 | | | A- | | 3.331%(3-MonthUSD-LIBOR + 0.880%) due 9/11/22(a) | | | 1,506,203 | |
| | 1,400,000 | | | A- | | NatWest Markets PLC, Senior Unsecured Notes, 3.719%(3-MonthUSD-LIBOR + 1.400%) due 9/29/22(a)(b) | | | 1,408,852 | |
| | | | | | QNB Finance Ltd.: | | | | |
| | | | | | Company Guaranteed Notes: | | | | |
| | 1,500,000 | | | Aa3(c) | | 3.559%(3-MonthUSD-LIBOR + 1.350%) due 2/7/20(a) | | | 1,507,458 | |
| | 600,000 | | | A | | 3.474%(3-MonthUSD-LIBOR + 1.350%) due 5/31/21(a) | | | 608,323 | |
| | 1,000,000 | | | Aa3(c) | | 3.870%(3-MonthUSD-LIBOR + 1.570%) due 7/18/21(a) | | | 1,013,059 | |
| | 800,000 | | | A | | 3.266%(3-MonthUSD-LIBOR + 1.000%) due 5/2/22(a) | | | 802,992 | |
| | 1,600,000 | | | Aa3(c) | | Senior Unsecured Notes, 3.631%(3-MonthUSD-LIBOR + 1.450%) due 8/11/21 | | | 1,604,148 | |
| | 800,000 | | | Aa3(c) | | QNB Finance Ltd., (Restricted, cost — $808,304, acquired 6/20/19), Senior Unsecured Notes, 3.794%(3-MonthUSD-LIBOR + 1.320%) due 12/6/21(a)(d)(e) | | | 801,400 | |
| | 4,000,000 | | | BBB | | Royal Bank of Scotland Group PLC, Senior Unsecured Notes, 3.628%(3-MonthUSD-LIBOR + 1.470%) due 5/15/23(a) | | | 3,991,759 | |
| | 800,000 | | | BBB | | Santander UK Group Holdings PLC, Senior Unsecured Notes, 2.875% due 10/16/20 | | | 803,929 | |
| | | | | | Santander UK PLC, Senior Unsecured Notes: | | | | |
| | 1,000,000 | | | A | | 2.350% due 9/10/19 | | | 1,000,037 | |
| | 2,000,000 | | | A | | 2.375% due 3/16/20 | | | 2,002,415 | |
| | 800,000 | | | A | | 2.758%(3-MonthUSD-LIBOR + 0.620%) due 6/1/21(a) | | | 800,556 | |
| | | | | | Standard Chartered PLC, Senior Unsecured Notes: | | | | |
| | 1,000,000 | | | BBB+ | | 2.400% due 9/8/19 | | | 1,000,017 | |
| | 2,800,000 | | | BBB+ | | 2.400% due 9/8/19(b) | | | 2,800,047 | |
| | 2,550,000 | | | BBB- | | State Bank of India, Senior Unsecured Notes, 3.253%(3-MonthUSD-LIBOR + 0.950%) due 4/6/20(a) | | | 2,554,441 | |
| | 300,000 | | | A | | Sumitomo Mitsui Banking Corp., Company Guaranteed Notes, 2.692%(3-MonthUSD-LIBOR + 0.370%) due 10/16/20(a) | | | 300,762 | |
| | | | | | Sumitomo Mitsui Financial Group Inc., Senior Unsecured Notes: | | | | |
| | 3,100,000 | | | A- | | 3.120%(3-MonthUSD-LIBOR + 0.780%) due 7/12/22(a) | | | 3,111,211 | |
| | 500,000 | | | A- | | 3.040%(3-MonthUSD-LIBOR + 0.740%) due 10/18/22(a) | | | 502,101 | |
| | 1,400,000 | | | A | | Sumitomo Mitsui Trust Bank Ltd., Senior Unsecured Notes, 2.859%(3-MonthUSD-LIBOR + 0.440%) due 9/19/19(a)(b) | | | 1,400,369 | |
| | 650,000 | | | BBB | | Synchrony Bank, Senior Unsecured Notes, 2.955%(3-MonthUSD-LIBOR + 0.625%) due 3/30/20(a) | | | 650,199 | |
| | 4,300,000 | | | A- | | UBS Group Funding Switzerland AG, Company Guaranteed Notes, 4.083%(3-MonthUSD-LIBOR + 1.780%) due 4/14/21(a)(b) | | | 4,393,556 | |
| | 2,811,000 | | | A- | | Wells Fargo & Co., Senior Unsecured Notes, 3.111%(3-MonthUSD-LIBOR + 0.930%) due 2/11/22(a) | | | 2,827,810 | |
See Notes to Financial Statements.
279
| | | | | | | | | | |
| Ultra-Short Term Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Banks — 17.7% — (continued) | |
| $ | 1,000,000 | | | A+ | | Wells Fargo Bank NA, Senior Unsecured Notes, 2.752%(3-MonthUSD-LIBOR + 0.620%) due 5/27/22(a) | | $ | 1,002,116 | |
| | | | | | | | | | |
| | | | | | Total Banks | | | 88,025,372 | |
| | | | | | | | | | |
|
| | Beverages — 0.2% | |
| | 1,000,000 | | | BBB | | Constellation Brands Inc., Company Guaranteed Notes, 2.858%(3-MonthUSD-LIBOR + 0.700%) due 11/15/21(a) | | | 1,000,243 | |
| | | | | | | | | | |
|
| | Building Materials — 0.4% | |
| | 1,000,000 | | | BBB | | Holcim US Finance Sarl & Cie SCS, Company Guaranteed Notes, 6.000% due 12/30/19 | | | 1,009,408 | |
| | 1,100,000 | | | BBB | | Vulcan Materials Co., Senior Unsecured Notes, 3.010%(3-MonthUSD-LIBOR + 0.600%) due 6/15/20(a) | | | 1,101,264 | |
| | | | | | | | | | |
| | | | | | Total Building Materials | | | 2,110,672 | |
| | | | | | | | | | |
|
| | Chemicals — 0.6% | |
| | | | | | Incitec Pivot Finance LLC, Company Guaranteed Notes: | | | | |
| | 1,000,000 | | | BBB | | 6.000% due 12/10/19 | | | 1,008,429 | |
| | 250,000 | | | BBB | | 6.000% due 12/10/19(b) | | | 252,107 | |
| | 1,900,000 | | | BBB- | | Syngenta Finance NV, Company Guaranteed Notes, 3.698% due 4/24/20(b) | | | 1,907,556 | |
| | | | | | | | | | |
| | | | | | Total Chemicals | | | 3,168,092 | |
| | | | | | | | | | |
|
| | Commercial Services — 1.5% | |
| | | | | | Central Nippon Expressway Co., Ltd., Senior Unsecured Notes: | | | | |
| | 3,300,000 | | | A1(c) | | 2.079% due 11/5/19 | | | 3,299,092 | |
| | 3,000,000 | | | A1(c) | | 2.948%(3-MonthUSD-LIBOR + 0.810%) due 3/3/22(a) | | | 3,019,035 | |
| | 1,150,000 | | | BBB | | Equifax Inc., Senior Unsecured Notes, 3.028%(3-MonthUSD-LIBOR + 0.870%) due 8/15/21(a) | | | 1,148,217 | |
| | | | | | | | | | |
| | | | | | Total Commercial Services | | | 7,466,344 | |
| | | | | | | | | | |
|
| | Computers — 1.0% | |
| | 1,500,000 | | | BBB- | | Dell International LLC/EMC Corp., Senior Secured Notes, 4.420% due 6/15/21(b) | | | 1,547,419 | |
| | 3,500,000 | | | BBB | | Hewlett Packard Enterprise Co., Senior Unsecured Notes, 2.100% due 10/4/19(b) | | | 3,499,041 | |
| | | | | | | | | | |
| | | | | | Total Computers | | | 5,046,460 | |
| | | | | | | | | | |
|
| | Diversified Financial Services — 4.4% | |
| | | | | | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Company Guaranteed Notes: | | | | |
| | 600,000 | | | BBB- | | 4.625% due 10/30/20 | | | 614,689 | |
| | 300,000 | | | BBB- | | 5.000% due 10/1/21 | | | 314,659 | |
| | 400,000 | | | BBB- | | 4.625% due 7/1/22 | | | 423,123 | |
| | | | | | Air Lease Corp., Senior Unsecured Notes: | | | | |
| | 300,000 | | | BBB | | 2.125% due 1/15/20 | | | 299,840 | |
| | 1,400,000 | | | BBB | | 3.500% due 1/15/22 | | | 1,439,729 | |
| | | | | | Aircastle Ltd., Senior Unsecured Notes: | | | | |
| | 457,000 | | | BBB- | | 7.625% due 4/15/20 | | | 471,729 | |
| | 1,100,000 | | | BBB- | | 5.125% due 3/15/21 | | | 1,140,796 | |
| | 500,000 | | | BB+ | | Ally Financial Inc., Senior Unsecured Notes, 3.750% due 11/18/19 | | | 501,063 | |
| | 500,000 | | | BBB- | | Avolon Holdings Funding Ltd., Company Guaranteed Notes, 5.500% due 1/15/23(b) | | | 533,950 | |
| | | | | | BOC Aviation Ltd., Senior Unsecured Notes: | | | | |
| | 700,000 | | | A- | | 3.000% due 3/30/20 | | | 701,958 | |
| | 1,000,000 | | | A- | | 3.316%(3-MonthUSD-LIBOR + 1.050%) due 5/2/21(a) | | | 1,004,950 | |
| | 1,000,000 | | | A- | | 3.316%(3-MonthUSD-LIBOR + 1.050%) due 5/2/21(a)(b) | | | 1,004,950 | |
| | 1,000,000 | | | A- | | 3.000% due 5/23/22 | | | 1,007,487 | |
| | 500,000 | | | A- | | 2.750% due 9/18/22 | | | 501,368 | |
| | 200,000 | | | A- | | 2.750% due 9/18/22(b) | | | 200,547 | |
| | 500,000 | | | BBB- | | Cantor Fitzgerald LP, Unsecured Notes, 7.875% due 10/15/19(b) | | | 503,000 | |
| | | | | | International Lease Finance Corp., Senior Unsecured Notes: | | | | |
| | 700,000 | | | BBB- | | 8.250% due 12/15/20 | | | 751,350 | |
| | 1,300,000 | | | BBB- | | 8.625% due 1/15/22 | | | 1,481,726 | |
See Notes to Financial Statements.
280
| | | | | | | | | | |
| Ultra-Short Term Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Diversified Financial Services — 4.4% — (continued) | |
| | | | | | Mitsubishi UFJ Lease & Finance Co., Ltd., Senior Unsecured Notes: | | | | |
| $ | 2,200,000 | | | A- | | 2.500% due 3/9/20 | | $ | 2,209,390 | |
| | 500,000 | | | A- | | 2.652% due 9/19/22(b) | | | 503,477 | |
| | 1,100,000 | | | B+ | | Navient Corp., Senior Unsecured Notes, 8.000% due 3/25/20 | | | 1,135,750 | |
| | | | | | ORIX Corp., Senior Unsecured Notes: | | | | |
| | 3,300,000 | | | A- | | 2.650% due 4/13/21 | | | 3,311,880 | |
| | 200,000 | | | A- | | 3.200% due 1/19/22 | | | 204,788 | |
| | 400,000 | | | A- | | 2.900% due 7/18/22 | | | 408,726 | |
| | | | | | Park Aerospace Holdings Ltd., Company Guaranteed Notes: | | | | |
| | 100,000 | | | BBB- | | 3.625% due 3/15/21(b) | | | 100,980 | |
| | 600,000 | | | BBB- | | 5.250% due 8/15/22(b) | | | 635,250 | |
| | 400,000 | | | BB- | | Springleaf Finance Corp., Company Guaranteed Notes, 7.750% due 10/1/21 | | | 438,500 | |
| | | | | | | | | | |
| | | | | | Total Diversified Financial Services | | | 21,845,655 | |
| | | | | | | | | | |
|
| | Electric — 2.9% | |
| | 700,000 | | | A3(c) | | Chugoku Electric Power Co., Inc. (The), Senior Secured Notes, 2.701% due 3/16/20 | | | 701,051 | |
| | 1,000,000 | | | A+ | | CLP Power Hong Kong Financing Ltd., Company Guaranteed Notes, 4.750% due 3/19/20 | | | 1,013,385 | |
| | 1,600,000 | | | BBB+ | | Duke Energy Corp., Senior Unsecured Notes, 2.675%(3-MonthUSD-LIBOR + 0.500%) due 5/14/21(a)(b)(d) | | | 1,605,508 | |
| | 1,500,000 | | | A- | | Duke Energy Kentucky Inc., Senior Unsecured Notes, 4.650% due 10/1/19(b) | | | 1,502,634 | |
| | | | | | Exelon Generation Co. LLC, Senior Unsecured Notes: | | | | |
| | 700,000 | | | BBB+ | | 2.950% due 1/15/20 | | | 701,392 | |
| | 300,000 | | | BBB+ | | 4.000% due 10/1/20 | | | 304,298 | |
| | 2,700,000 | | | A- | | Mississippi Power Co., Senior Unsecured Notes, 2.961%(3-MonthUSD-LIBOR + 0.650%) due 3/27/20(a) | | | 2,700,390 | |
| | | | | | NextEra Energy Capital Holdings Inc., Company Guaranteed Notes: | | | | |
| | 1,800,000 | | | BBB+ | | 2.544%(3-MonthUSD-LIBOR + 0.400%) due 8/21/20(a) | | | 1,800,119 | |
| | 700,000 | | | BBB+ | | 2.694%(3-MonthUSD-LIBOR + 0.550%) due 8/28/21(a) | | | 700,050 | |
| | 1,700,000 | | | BBB+ | | Sempra Energy, Senior Unsecured Notes, 2.860%(3-MonthUSD-LIBOR + 0.450%) due 3/15/21(a) | | | 1,695,851 | |
| | 1,500,000 | | | BBB+ | | Southern Power Co., Senior Unsecured Notes, 2.937%(3-MonthUSD-LIBOR + 0.550%) due 12/20/20(a)(b) | | | 1,500,219 | |
| | | | | | | | | | |
| | | | | | Total Electric | | | 14,224,897 | |
| | | | | | | | | | |
|
| | Electronics — 0.1% | |
| | 300,000 | | | BBB- | | Arrow Electronics Inc., Senior Unsecured Notes, 3.500% due 4/1/22 | | | 306,360 | |
| | | | | | | | | | |
|
| | Food — 1.1% | |
| | 400,000 | | | BBB- | | Campbell Soup Co., Senior Unsecured Notes, 3.040%(3-MonthUSD-LIBOR + 0.630%) due 3/15/21(a) | | | 399,750 | |
| | 1,500,000 | | | BBB- | | Conagra Brands Inc., Senior Unsecured Notes, 2.811%(3-MonthUSD-LIBOR + 0.500%) due 10/9/20(a) | | | 1,500,698 | |
| | 1,000,000 | | | Baa2(c) | | Grupo Bimbo SAB de CV, Company Guaranteed Notes, 4.875% due 6/30/20 | | | 1,018,106 | |
| | 1,500,000 | | | BBB- | | Kraft Heinz Foods Co., Company Guaranteed Notes, 2.751%(3-MonthUSD-LIBOR + 0.570%) due 2/10/21(a) | | | 1,494,529 | |
| | 1,000,000 | | | BBB | | Mondelez International Holdings Netherlands BV, Company Guaranteed Notes, 2.866%(3-MonthUSD-LIBOR + 0.610%) due 10/28/19(a)(b) | | | 1,000,941 | |
| | | | | | | | | | |
| | | | | | Total Food | | | 5,414,024 | |
| | | | | | | | | | |
|
| | Gas — 0.5% | |
| | 600,000 | | | BBB | | Centrica PLC, Senior Unsecured Notes, 3.349%(3-MonthUSD-LIBOR + 1.000%) due 9/25/20(a) | | | 601,565 | |
| | 1,000,000 | | | BBB+ | | Dominion Energy Gas Holdings LLC, Senior Unsecured Notes, 2.500% due 12/15/19 | | | 1,000,058 | |
| | 950,000 | | | BB+ | | WGL Holdings Inc., Senior Unsecured Notes, 2.986%(3-MonthUSD-LIBOR + 0.550%) due 3/12/20(a) | | | 948,433 | |
| | | | | | | | | | |
| | | | | | Total Gas | | | 2,550,056 | |
| | | | | | | | | | |
See Notes to Financial Statements.
281
| | | | | | | | | | |
| Ultra-Short Term Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Healthcare — Products — 0.5% | |
| $ | 1,400,000 | | | BBB | | Becton Dickinson & Co., Senior Unsecured Notes, 2.675% due 12/15/19 | | $ | 1,401,198 | |
| | 900,000 | | | BBB | | Zimmer Biomet Holdings Inc., Senior Unsecured Notes, 3.169%(3-MonthUSD-LIBOR + 0.750%) due 3/19/21(a) | | | 899,229 | |
| | | | | | | | | | |
| | | | | | Total Healthcare — Products | | | 2,300,427 | |
| | | | | | | | | | |
|
| | Healthcare — Services — 0.2% | |
| | 1,200,000 | | | A- | | Cigna Holding Co., Company Guaranteed Notes, 5.125% due 6/15/20 | | | 1,226,717 | |
| | | | | | | | | | |
|
| | Holding Companies — Diversified — 0.1% | |
| | 500,000 | | | A | | Hutchison Whampoa International 11 Ltd., Company Guaranteed Notes, 4.625% due 1/13/22 | | | 525,586 | |
| | | | | | | | | | |
|
| | Household Products/Wares — 0.2% | |
| | 900,000 | | | A- | | Reckitt Benckiser Treasury Services PLC, Company Guaranteed Notes, 2.903%(3-MonthUSD-LIBOR + 0.560%) due 6/24/22(a)(b) | | | 895,844 | |
| | | | | | | | | | |
|
| | Insurance — 1.1% | |
| | 500,000 | | | BBB+ | | American International Group Inc., Senior Unsecured Notes, 3.300% due 3/1/21 | | | 508,498 | |
| | 1,100,000 | | | BBB | | Assurant Inc., Senior Unsecured Notes, 3.583%(3-MonthUSD-LIBOR + 1.250%) due 3/26/21(a) | | | 1,100,076 | |
| | | | | | Athene Global Funding, Secured Notes: | | | | |
| | 1,500,000 | | | A | | 2.750% due 4/20/20(b) | | | 1,505,110 | |
| | 2,500,000 | | | A | | 3.562%(3-MonthUSD-LIBOR + 1.230%) due 7/1/22(a)(b) | | | 2,516,784 | |
| | | | | | | | | | |
| | | | | | Total Insurance | | | 5,630,468 | |
| | | | | | | | | | |
|
| | Lodging — 0.3% | |
| | | | | | Las Vegas Sands Corp., Senior Unsecured Notes: | | | | |
| | 200,000 | | | BBB- | | 3.200% due 8/8/24 | | | 204,304 | |
| | 600,000 | | | BBB- | | 3.500% due 8/18/26 | | | 613,463 | |
| | 400,000 | | | BBB | | Marriott International Inc., Senior Unsecured Notes, 3.103%(3-MonthUSD-LIBOR + 0.650%) due 3/8/21(a) | | | 401,699 | |
| | 250,000 | | | BB- | | MGM Resorts International, Company Guaranteed Notes, 6.750% due 10/1/20 | | | 261,250 | |
| | | | | | | | | | |
| | | | | | Total Lodging | | | 1,480,716 | |
| | | | | | | | | | |
|
| | Machinery — Diversified — 0.3% | |
| | 400,000 | | | BBB | | CNH Industrial Capital LLC, Company Guaranteed Notes, 3.875% due 10/15/21 | | | 410,072 | |
| | 1,200,000 | | | BBB | | Wabtec Corp., Company Guaranteed Notes, 3.710%(3-MonthUSD-LIBOR + 1.300%) due 9/15/21(a) | | | 1,200,104 | |
| | | | | | | | | | |
| | | | | | Total Machinery — Diversified | | | 1,610,176 | |
| | | | | | | | | | |
|
| | Media — 0.9% | |
| | | | | | Charter Communications Operating LLC/Charter Communications Operating Capital, Senior Secured Notes: | | | | |
| | 3,018,000 | | | BBB- | | 3.579% due 7/23/20 | | | 3,047,145 | |
| | 1,000,000 | | | BBB- | | 4.464% due 7/23/22 | | | 1,055,615 | |
| | 500,000 | | | BBB- | | Time Warner Cable LLC, Senior Secured Notes, 5.000% due 2/1/20 | | | 505,038 | |
| | | | | | | | | | |
| | | | | | Total Media | | | 4,607,798 | |
| | | | | | | | | | |
|
| | Mining — 0.1% | |
| | 300,000 | | | Baa1(c) | | Minmetals Bounteous Finance BVI Ltd., Company Guaranteed Notes, 3.500% due 7/30/20 | | | 302,528 | |
| | | | | | | | | | |
|
| | Miscellaneous Manufacturers — 0.5% | |
| | | | | | General Electric Co.: | | | | |
| | 564,000 | | | BBB+ | | Senior Secured Notes, 2.100% due 12/11/19 | | | 562,372 | |
| | 1,200,000 | | | BBB+ | | Senior Unsecured Notes, 2.740%(3-MonthUSD-LIBOR + 0.410%) due 3/28/20(a) | | | 1,192,555 | |
| | 700,000 | | | BBB | | Textron Inc., Senior Unsecured Notes, 2.731%(3-MonthUSD-LIBOR + 0.550%) due 11/10/20(a) | | | 700,015 | |
| | | | | | | | | | |
| | | | | | Total Miscellaneous Manufacturers | | | 2,454,942 | |
| | | | | | | | | | |
See Notes to Financial Statements.
282
| | | | | | | | | | |
| Ultra-Short Term Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Oil & Gas — 2.6% | |
| $ | 1,300,000 | | | A- | | BP Capital Markets America Inc., Company Guaranteed Notes, 3.069%(3-MonthUSD-LIBOR + 0.650%) due 9/19/22(a) | | $ | 1,302,919 | |
| | 2,800,000 | | | A+ | | CNOOC Finance 2015 Australia Pty Ltd., Company Guaranteed Notes, 2.625% due 5/5/20 | | | 2,807,014 | |
| | | | | | EQT Corp., Senior Unsecured Notes: | | | | |
| | 700,000 | | | BBB- | | 2.500% due 10/1/20 | | | 696,342 | |
| | 1,500,000 | | | BBB- | | 3.089%(3-MonthUSD-LIBOR + 0.770%) due 10/1/20(a) | | | 1,495,150 | |
| | 2,000,000 | | | BBB+ | | Phillips 66, Company Guaranteed Notes, 3.053%(3-MonthUSD-LIBOR + 0.750%) due 4/15/20(a)(b) | | | 2,000,614 | |
| | 1,000,000 | | | A | | Ras Laffan Liquefied Natural Gas Co., Ltd. III, Senior Secured Notes, 6.750% due 9/30/19 | | | 1,002,890 | |
| | 2,250,000 | | | A+ | | Sinopec Group Overseas Development 2015 Ltd., Company Guaranteed Notes, 2.500% due 4/28/20 | | | 2,252,432 | |
| | 1,200,000 | | | A+ | | Sinopec Group Overseas Development 2017 Ltd., Company Guaranteed Notes, 2.250% due 9/13/20 | | | 1,200,620 | |
| | | | | | | | | | |
| | | | | | Total Oil & Gas | | | 12,757,981 | |
| | | | | | | | | | |
|
| | Pharmaceuticals — 3.6% | |
| | | | | | Allergan Funding SCS, Company Guaranteed Notes: | | | | |
| | 1,300,000 | | | BBB | | 3.000% due 3/12/20 | | | 1,304,143 | |
| | 1,500,000 | | | BBB | | 3.691%(3-MonthUSD-LIBOR + 1.255%) due 3/12/20(a) | | | 1,507,532 | |
| | 600,000 | | | BBB | | Bayer US Finance II LLC, Company Guaranteed Notes, 2.979%(3-MonthUSD-LIBOR + 0.630%) due 6/25/21(a)(b) | | | 600,317 | |
| | | | | | Bayer US Finance LLC, Company Guaranteed Notes: | | | | |
| | 500,000 | | | BBB | | 2.375% due 10/8/19 | | | 499,800 | |
| | 3,000,000 | | | BBB | | 2.375% due 10/8/19(b) | | | 2,998,800 | |
| | 700,000 | | | BBB+ | | Cardinal Health Inc., Senior Unsecured Notes, 3.180%(3-MonthUSD-LIBOR + 0.770%) due 6/15/22(a) | | | 697,651 | |
| | 400,000 | | | A- | | Cigna Corp., Company Guaranteed Notes, 3.060%(3-MonthUSD-LIBOR + 0.650%) due 9/17/21(a) | | | 400,013 | |
| | 1,400,000 | | | BBB | | CVS Health Corp., Senior Unsecured Notes, 3.173%(3-MonthUSD-LIBOR + 0.720%) due 3/9/21(a) | | | 1,406,488 | |
| | | | | | Mylan NV, Company Guaranteed Notes: | | | | |
| | 1,400,000 | | | BBB- | | 3.750% due 12/15/20 | | | 1,425,916 | |
| | 200,000 | | | BBB- | | 3.150% due 6/15/21 | | | 202,348 | |
| | 5,900,000 | | | BBB+ | | Shire Acquisitions Investments Ireland DAC, Company Guaranteed Notes, 1.900% due 9/23/19 | | | 5,898,780 | |
| | 1,100,000 | | | BB | | Teva Pharmaceutical Finance Netherlands III BV, Company Guaranteed Notes, 2.200% due 7/21/21 | | | 1,034,000 | |
| | | | | | | | | | |
| | | | | | Total Pharmaceuticals | | | 17,975,788 | |
| | | | | | | | | | |
|
| | Pipelines — 1.4% | |
| | 1,000,000 | | | BBB | | Andeavor Logistics LP/Tesoro Logistics Finance Corp., Company Guaranteed Notes, 5.500% due 10/15/19 | | | 1,000,805 | |
| | 1,600,000 | | | BBB+ | | Enbridge Inc., Company Guaranteed Notes, 2.738%(3-MonthUSD-LIBOR + 0.400%) due 1/10/20(a) | | | 1,600,753 | |
| | 1,000,000 | | | BBB | | Kinder Morgan Energy Partners LP, Company Guaranteed Notes, 6.850% due 2/15/20 | | | 1,019,232 | |
| | | | | | Plains All American Pipeline LP/PAA Finance Corp., Senior Unsecured Notes: | | | | |
| | 700,000 | | | BBB- | | 2.600% due 12/15/19 | | | 699,457 | |
| | 500,000 | | | BBB- | | 5.750% due 1/15/20 | | | 505,481 | |
| | 1,600,000 | | | BBB- | | Rockies Express Pipeline LLC, Senior Unsecured Notes, 5.625% due 4/15/20(b) | | | 1,639,608 | |
| | 300,000 | | | BBB- | | Sabine Pass Liquefaction LLC, Senior Secured Notes, 5.625% due 2/1/21 | | | 310,470 | |
| | 200,000 | | | BBB+ | | Spectra Energy Partners LP, Company Guaranteed Notes, 3.179%(3-MonthUSD-LIBOR + 0.700%) due 6/5/20(a) | | | 200,428 | |
| | | | | | | | | | |
| | | | | | Total Pipelines | | | 6,976,234 | |
| | | | | | | | | | |
See Notes to Financial Statements.
283
| | | | | | | | | | |
| Ultra-Short Term Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Real Estate — 0.5% | |
| $ | 1,200,000 | | | AA- | | Qatari Diar Finance Co., GOVT GUARANTEED, 5.000% due 7/21/20 | | $ | 1,227,846 | |
| | 1,000,000 | | | A- | | Sinochem Overseas Capital Co., Ltd., Company Guaranteed Notes, 4.500% due 11/12/20 | | | 1,024,530 | |
| | | | | | | | | | |
| | | | | | Total Real Estate | | | 2,252,376 | |
| | | | | | | | | | |
|
| | Retail — 0.2% | |
| | 300,000 | | | BBB- | | AutoNation Inc., Company Guaranteed Notes, 5.500% due 2/1/20 | | | 303,549 | |
| | 500,000 | | | BBB+ | | McDonald’s Corp., Senior Unsecured Notes, 2.686%(3-MonthUSD-LIBOR + 0.430%) due 10/28/21(a) | | | 499,611 | |
| | | | | | | | | | |
| | | | | | Total Retail | | | 803,160 | |
| | | | | | | | | | |
|
| | Semiconductors — 1.4% | |
| | | | | | Broadcom Corp./Broadcom Cayman Finance Ltd., Company Guaranteed Notes: | | | | |
| | 4,600,000 | | | BBB- | | 2.375% due 1/15/20 | | | 4,598,368 | |
| | 500,000 | | | BBB- | | 3.000% due 1/15/22 | | | 504,488 | |
| | 1,000,000 | | | BBB- | | Broadcom Inc., Company Guaranteed Notes, 3.125% due 10/15/22(b) | | | 1,013,318 | |
| | | | | | NXP BV/NXP Funding LLC, Company Guaranteed Notes: | | | | |
| | 600,000 | | | BBB- | | 4.625% due 6/15/22(b) | | | 632,304 | |
| | 300,000 | | | BBB- | | 3.875% due 9/1/22(b) | | | 311,209 | |
| | | | | | | | | | |
| | | | | | Total Semiconductors | | | 7,059,687 | |
| | | | | | | | | | |
|
| | Telecommunications — 2.5% | |
| | 4,000,000 | | | BBB | | AT&T Inc., Senior Unsecured Notes, 3.616%(3-MonthUSD-LIBOR + 1.180%) due 6/12/24(a) | | | 4,064,850 | |
| | 2,600,000 | | | BBB+ | | Deutsche Telekom International Finance BV, Company Guaranteed Notes, 2.869%(3-MonthUSD-LIBOR + 0.450%) due 9/19/19(a)(b) | | | 2,600,527 | |
| | 200,000 | | | B* | | Sprint Corp., Company Guaranteed Notes, 7.250% due 9/15/21 | | | 215,640 | |
| | | | | | Verizon Communications Inc., Senior Unsecured Notes: | | | | |
| | 700,000 | | | BBB+ | | 3.410%(3-MonthUSD-LIBOR + 1.000%) due 3/16/22(a) | | | 711,384 | |
| | 1,800,000 | | | BBB+ | | 3.258%(3-MonthUSD-LIBOR + 1.100%) due 5/15/25(a) | | | 1,828,977 | |
| | 3,200,000 | | | BBB | | Vodafone Group PLC, Senior Unsecured Notes, 3.312%(3-MonthUSD-LIBOR + 0.990%) due 1/16/24(a) | | | 3,225,517 | |
| | | | | | | | | | |
| | | | | | Total Telecommunications | | | 12,646,895 | |
| | | | | | | | | | |
|
| | Transportation — 0.1% | |
| | 600,000 | | | BBB- | | Pacific National Finance Pty Ltd., Company Guaranteed Notes, 4.625% due 9/23/20(b) | | | 611,880 | |
| | | | | | | | | | |
|
| | Trucking & Leasing — 1.4% | |
| | | | | | Aviation Capital Group LLC, Senior Unsecured Notes: | | | | |
| | 1,800,000 | | | A- | | 2.936%(3-MonthUSD-LIBOR + 0.670%) due 7/30/21(a)(b) | | | 1,799,482 | |
| | 900,000 | | | A- | | 2.875% due 1/20/22(b) | | | 913,786 | |
| | 100,000 | | | BB+ | | DAE Funding LLC, Company Guaranteed Notes, 4.000% due 8/1/20(b) | | | 101,444 | |
| | 800,000 | | | BBB | | GATX Corp., Senior Unsecured Notes, 3.007%(3-MonthUSD-LIBOR + 0.720%) due 11/5/21(a) | | | 796,227 | |
| | 2,400,000 | | | AA- | | NTT Finance Corp., Senior Unsecured Notes, 2.860%(3-MonthUSD-LIBOR + 0.530%) due 6/29/20(a) | | | 2,404,656 | |
| | 200,000 | | | BBB | | Penske Truck Leasing Co. LP/PTL Finance Corp., Senior Unsecured Notes, 3.200% due 7/15/20(b) | | | 200,814 | |
| | 700,000 | | | A- | | SMBC Aviation Capital Finance DAC, Company Guaranteed Notes, 3.550% due 4/15/24(b) | | | 730,953 | |
| | | | | | | | | | |
| | | | | | Total Trucking & Leasing | | | 6,947,362 | |
| | | | | | | | | | |
| | | | | | TOTAL CORPORATE BONDS & NOTES
(Cost — $292,635,607) | | | 293,918,726 | |
| | | | | | | | | | |
|
| | COLLATERALIZED MORTGAGE OBLIGATIONS — 18.0% | |
| | 612,816 | | | BB- | | ACE Securities Corp. Home Equity Loan Trust, Series2004-OP1, Class M1, 2.925%(1-MonthUSD-LIBOR + 0.780%) due 4/25/34(a) | | | 607,582 | |
| | 85,256 | | | AAA | | Apidos CLO XVI, Series2013-16A, Class A1R, 3.283%(3-MonthUSD-LIBOR + 0.980%) due 1/19/25(a)(b) | | | 85,342 | |
See Notes to Financial Statements.
284
| | | | | | | | | | |
| Ultra-Short Term Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | COLLATERALIZED MORTGAGE OBLIGATIONS — 18.0% — (continued) | |
| | 400,000 | EUR | | Aaa(c) | | Arbour CLO IV DAC, Series2004-A, Class A2R,(3-Month EURIBOR + 0.870%) due 1/15/30(a)(b) | | $ | 439,603 | |
| $ | 700,000 | | | AAA | | Atrium Hotel Portfolio Trust, Series 2018-ATRM, Class A, 3.145%(1-MonthUSD-LIBOR + 0.950%) due 6/15/35(a)(b) | | | 699,173 | |
| | 738,349 | | | AAA | | B&M CLO Ltd., Series2014-1A, Class A1R, 3.052%(3-MonthUSD-LIBOR + 0.730%) due 4/16/26(a)(b) | | | 738,020 | |
| | | | | | BAMLL Commercial Mortgage Securities Trust: | | | | |
| | 500,000 | | | AAA | | Series2019-AHT, Class A, 3.395%(1-MonthUSD-LIBOR + 1.200%) due 3/15/34(a)(b) | | | 501,957 | |
| | 400,000 | | | Aaa(c) | | Series2019-RLJ, Class A, 3.245%(1-MonthUSD-LIBOR + 1.050%) due 4/15/36(a)(b) | | | 400,464 | |
| | 924,113 | | | Aaa(c) | | Bancorp Commercial Mortgage Trust, Series 2018-CRE4, Class A, 3.095%(1-MonthUSD-LIBOR + 0.900%) due 9/15/35(a)(b) | | | 924,622 | |
| | | | | | Bayview Opportunity Master Fund IVa Trust: | | | | |
| | 210,820 | | | NR | | Series2019-RN2, Class A1, step bond to yield, 3.967% due 3/28/34(b) | | | 211,843 | |
| | 183,656 | | | NR | | Series 2019-SBR1, Class A1, step bond to yield, 3.475% due 6/28/34(b) | | | 183,966 | |
| | 389,873 | | | AA+ | | Bear StearnsALT-A Trust, Series2004-10, Class 2A1, 2.805%(1-MonthUSD-LIBOR + 0.660%) due 9/25/34(a) | | | 386,873 | |
| | 822,241 | | | BBB- | | Bear Stearns Asset Backed Securities I Trust, Series2005-CL1, Class A2, 2.116%(1-MonthUSD-LIBOR + 0.500%) due 9/25/34(a) | | | 802,394 | |
| | 1,894,503 | | | B3(c) | | Bear Stearns Second Lien Trust, Series 2007-SV1A, Class M2, 3.495%(1-MonthUSD-LIBOR + 1.350%) due 1/25/36(a)(b) | | | 1,852,407 | |
| | 586,798 | | | AAA | | Cent CLO 19 Ltd., Series2013-19A, Class A1A, 3.586%(3-MonthUSD-LIBOR + 1.330%) due 10/29/25(a)(b) | | | 587,311 | |
| | 1,000,000 | | | AAA | | Citigroup Commercial Mortgage Trust, Series 2017-1500, Class A, 3.045%(1-MonthUSD-LIBOR + 0.850%) due 7/15/32(a)(b) | | | 1,000,745 | |
| | | | | | Citigroup Mortgage Loan Trust: | | | | |
| | 691,226 | | | NR | | Series2019-B, Class A1, 3.258% due 4/25/66(a)(b) | | | 693,572 | |
| | 300,000 | | | NR | | Series2019-C, Class A1, step bond to yield, 3.228% due 3/25/82(b)(f) | | | 300,195 | |
| | 1,850,596 | CAD | | Aaa(c) | | CNH Capital Canada Receivables Trust, Series2019-1A, Class A1, 2.103% due 2/15/22(b)(d) | | | 1,390,619 | |
| | 354,278 | | | Aaa(c) | | COMM Mortgage Trust, Series2013-CR6, Class A3FL, 2.831%(1-MonthUSD-LIBOR + 0.630%) due 3/10/46(a)(b) | | | 353,649 | |
| | 489,389 | | | NR | | Credit Suisse Mortgage Capital Certificates, Series 2019-RPL4, Class A1, 3.830% due 8/26/58(b) | | | 495,698 | |
| | 300,000 | | | NR | | CSMC Trust, Series 2019-RPL8, Class A1, 3.322% due 10/25/58(a)(b)(f) | | | 300,180 | |
| | 543,760 | | | B- | | CWABS Inc. Asset-Backed Certificates Trust, Series2004-5, Class M1, 3.000%(1-MonthUSD-LIBOR + 0.855%) due 8/25/34(a) | | | 540,147 | |
| | 500,000 | | | AAA | | Dorchester Park CLO DAC, Series2015-1A, Class AR, 3.178%(3-MonthUSD-LIBOR + 0.900%) due 4/20/28(a)(b) | | | 497,352 | |
| | 500,000 | EUR | | AAA | | Dryden 46 Euro CLO 2016 BV, Series2016-46A, Class A1R,(3-Month EURIBOR + 0.880%) due 1/15/30(a)(b) | | | 550,448 | |
| | | | | | Federal Home Loan Mortgage Corp. (FHLMC), REMICS: | | | | |
| | 1,614,099 | | | NR | | Series 4344, Class FA, 2.852%(1-MonthUSD-LIBOR + 0.450%) due 12/15/37(a) | | | 1,609,056 | |
| | 2,095,411 | | | NR | | Series 4351, Class FA, 2.852%(1-MonthUSD-LIBOR + 0.450%) due 5/15/38(a) | | | 2,079,527 | |
| | | | | | Federal National Mortgage Association (FNMA), REMICS: | | | | |
| | 1,115,192 | | | NR | | Series2011-86, Class KF, 2.695%(1-MonthUSD-LIBOR + 0.550%) due 9/25/41(a) | | | 1,121,521 | |
| | 2,197,545 | | | NR | | Series2017-108, Class AF, 2.445%(1-MonthUSD-LIBOR + 0.300%) due 1/25/48(a) | | | 2,189,622 | |
| | 500,000 | | | AAA | | Figueroa CLO Ltd., Series2013-2A, Class A1RR, 3.237%(3-MonthUSD-LIBOR + 0.850%) due 6/20/27(a)(b) | | | 499,996 | |
| | 235,830 | | | BBB+ | | Finance America Mortgage Loan Trust2004-2, Series2004-2, Class M1, 2.970%(1-MonthUSD-LIBOR + 0.825%) due 8/25/34(a) | | | 236,476 | |
| | 104,975 | | | AAA | | FNBA Mortgage Loan Trust, Series2004-AR1, Class A2, 2.582%(1-MonthUSD-LIBOR + 0.400%) due 8/19/34(a) | | | 105,195 | |
| | 1,200,000 | | | AAA | | Ford Credit Floorplan Master Owner Trust A, Series2018-3, Class A2, 2.595%(1-MonthUSD-LIBOR + 0.400%) due 10/15/23(a) | | | 1,198,185 | |
| | 4,000,000 | | | NR | | Freddie Mac REMICS, Series 4906, Class WF, 2.567%(1-MonthUSD-LIBOR + 0.400%) due 12/15/38(a)(f) | | | 3,986,008 | |
See Notes to Financial Statements.
285
| | | | | | | | | | |
| Ultra-Short Term Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | COLLATERALIZED MORTGAGE OBLIGATIONS — 18.0% — (continued) | |
| $ | 500,000 | | | B | | Fremont Home Loan Trust, Series2005-A, Class M3, 2.880%(1-MonthUSD-LIBOR + 0.735%) due 1/25/35(a) | | $ | 497,808 | |
| | | | | | GMF Floorplan Owner Revolving Trust: | | | | |
| | 2,000,000 | | | Aaa(c) | | Series2017-2, Class A2, 2.625%(1-MonthUSD-LIBOR + 0.430%) due 7/15/22(a)(b) | | | 2,002,964 | |
| | 500,000 | | | AAA | | Series2018-3, Class A, 2.515%(1-MonthUSD-LIBOR + 0.320%) due 9/15/22(a)(b) | | | 499,809 | |
| | 1,600,000 | | | AAA | | Series2018-4, Class A1, 3.500% due 9/15/23(b) | | | 1,648,936 | |
| | 725,157 | | | Aaa(c) | | Gosforth Funding PLC, Series2017-1A, Class A1A, 2.889%(3-MonthUSD-LIBOR + 0.470%) due 12/19/59(a)(b) | | | 725,424 | |
| | | | | | Government National Mortgage Association (GNMA): | | | | |
| | 2,307,783 | | | NR | | Series2016-H06, Class FD, 3.300%(1-MonthUSD-LIBOR + 0.920%) due 7/20/65(a) | | | 2,334,981 | |
| | 168,415 | | | NR | | Series2016-H11, Class F, 3.180%(1-MonthUSD-LIBOR + 0.800%) due 5/20/66(a) | | | 169,713 | |
| | 1,927,169 | | | NR | | Series2017-H15, Class FE, 3.310%(1-YearUSD-LIBOR + 0.800%) due 7/20/67(a) | | | 1,968,639 | |
| | 1,000,000 | | | AAA | | Great Wolf Trust, Series 2017-WOLF, Class A, 3.045%(1-MonthUSD-LIBOR + 0.850%) due 9/15/34(a)(b) | | | 1,000,404 | |
| | 1,000,000 | | | (P)Aaa(c) | | Greystone Commercial Real Estate Notes, Series2019-FL2, Class A, 3.442%(1-MonthUSD-LIBOR + 1.180%) due 9/15/37(a)(b) | | | 1,002,825 | |
| | 444,356 | | | Aaa(c) | | GS Mortgage Securities Trust, Series 2014-GC18, Class AAB, 3.648% due 1/10/47 | | | 458,825 | |
| | 4,000,000 | GBP | | AAA | | Hawksmoor Mortgages, Series2019-1A, Class A, zero coupon, (1.050% — **Update Reference Rate Description**SONIO/N) due 5/25/53(a)(b) | | | 4,879,308 | |
| | 771,429 | | | AAA | | Holmes Master Issuer PLC, Series2018-1A, Class A2, 2.663%(3-MonthUSD-LIBOR + 0.360%) due 10/15/54(a)(b) | | | 770,800 | |
| | 168,486 | | | B | | Impac CMB Trust, Series2004-10, Class 1A1, 2.785%(1-MonthUSD-LIBOR + 0.640%) due 3/25/35(a) | | | 167,336 | |
| | 490,319 | | | AAA(g) | | JP Morgan Chase Commercial Mortgage Securities Trust, Series2018-LAQ, Class A, 3.195%(1-MonthUSD-LIBOR + 1.000%) due 6/15/32(a)(b) | | | 490,509 | |
| | 2,000,000 | EUR | | AAA | | Jubilee CLO BV, Series2015-16A, Class A1R, 0.490%(3-Month EURIBOR + 0.800%) due 12/15/29(b) | | | 2,186,138 | |
| | 933,333 | | | AAA | | Lanark Master Issuer PLC, Series2019-1A, Class 1A1, 2.902%(3-MonthUSD-LIBOR + 0.770%) due 12/22/69(a)(b) | | | 935,823 | |
| | 482,413 | | | NR | | Legacy Mortgage Asset Trust, Series2019-GS3, Class A1, step bond to yield, 3.750% due 4/25/59(b) | | | 495,337 | |
| | 789,280 | | | AAA | | Madison Park Funding XVI Ltd., Series2015-16A, Class A1R, 3.608%(3-MonthUSD-LIBOR + 1.330%) due 4/20/26(a)(b) | | | 792,222 | |
| | 1,000,000 | | | AAA | | Marathon CLO V Ltd., Series2013-5A, Class A1R, 3.022%(3-MonthUSD-LIBOR + 0.870%) due 11/21/27(a)(b) | | | 996,038 | |
| | 261,739 | | | A* | | Mastr Asset Backed Securities Trust, Series 2004-OPT2, Class A1, 2.845%(1-MonthUSD-LIBOR + 0.700%) due 9/25/34(a) | | | 260,906 | |
| | 455,910 | | | Aaa(c) | | MMAF Equipment Finance LLC, Series2018-A, Class A2, 2.920% due 7/12/21(b) | | | 456,957 | |
| | 300,000 | | | Aaa(c) | | Monarch Grove CLO, Series2018-1A, Class A1, 3.156%(3-MonthUSD-LIBOR + 0.880%) due 1/25/28(a)(b) | | | 298,851 | |
| | 665,895 | | | B- | | Morgan Stanley ABS Capital I Inc. Trust, Series2004-HE4, Class M1, 3.045%(1-MonthUSD-LIBOR + 0.900%) due 5/25/34(a)(g) | | | 670,579 | |
| | 1,263,098 | | | AAA | | Motel 6 Trust, Series 2017-MTL6, Class A, 3.115%(1-MonthUSD-LIBOR + 0.920%) due 8/15/34(a)(b) | | | 1,264,359 | |
| | 2,000,000 | | | AAA | | Mountain View CLO X Ltd., Series2015-10A, Class AR, 3.123%(3-MonthUSD-LIBOR + 0.820%) due 10/13/27(a)(b) | | | 1,993,658 | |
| | 418,482 | | | NR | | New Residential Mortgage Loan Trust, Series2018-3A, Class A1, 4.500% due 5/25/58(a)(b) | | | 443,269 | |
| | 400,000 | | | BBB- | | NovaStar Mortgage Funding Trust, Series2005-4, Class M1, 2.805%(1-MonthUSD-LIBOR + 0.660%) due 1/25/36(a) | | | 399,869 | |
| | | | | | OCP CLO Ltd.: | | | | |
| | 1,500,000 | | | AAA | | Series2015-9A, Class A1R, 3.103%(3-MonthUSD-LIBOR + 0.800%) due 7/15/27(a)(b) | | | 1,498,297 | |
| | 1,000,000 | | | AAA | | Series2015-10A, Class A1R, 3.087%(3-MonthUSD-LIBOR + 0.820%) due 10/26/27(a)(b) | | | 998,418 | |
| | 747,001 | | | AAA(g) | | Palmer Square CLO Ltd., Series2018-3A, Class A1, 3.008%(3-MonthUSD-LIBOR + 0.850%) due 8/15/26(a)(b) | | | 746,934 | |
| | 591,469 | | | AA+ | | Pennsylvania Higher Education Assistance Agency, Series2006-2,Class A-3, 2.405%(3-MonthUSD-LIBOR + 0.130%) due 10/25/36(a) | | | 587,672 | |
See Notes to Financial Statements.
286
| | | | | | | | | | |
| Ultra-Short Term Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | COLLATERALIZED MORTGAGE OBLIGATIONS — 18.0% — (continued) | |
| $ | 3,400,000 | | | AAA | | Permanent Master Issuer PLC, Series2018-1A, Class 1A1, 2.683%(3-MonthUSD-LIBOR + 0.380%) due 7/15/58(b) | | $ | 3,401,850 | |
| | 43,538 | | | AAA(g) | | PFP Ltd., Series2017-4, Class A, 3.075%(1-MonthUSD-LIBOR + 0.880%) due 7/14/35(a)(b) | | | 43,710 | |
| | 1,200,000 | | | AAA | | PFS Financing Corp., Series2019-A, Class A1, 2.745%(1-MonthUSD-LIBOR + 0.550%) due 4/15/24(a)(b) | | | 1,201,767 | |
| | 79,406 | | | AAA | | RBSSP Resecuritization Trust, Series2009-12, Class 16A1, 4.159% due 10/25/35(a)(b) | | | 79,926 | |
| | 367,137 | GBP | | AAA | | Residential Mortgage Securities 31 PLC, Series 2031, Class A, 1.984%(3-MonthGBP-LIBOR + 1.200%) due 9/20/65 | | | 448,460 | |
| | | | | | Silverstone Master Issuer PLC: | | | | |
| | 200,000 | | | AAA | | Series2019-1A, Class 1A, 2.848%(3-MonthUSD-LIBOR + 0.570%) due 1/21/70(a)(b) | | | 200,150 | |
| | 800,000 | GBP | | AAA | | Series2019-1A, Class 2A, (Sterling Overnight Index Average + 0.750%), due 1/21/70(a)(b) | | | 976,320 | |
| | | | | | Sofi Consumer Loan Program LLC: | | | | |
| | 58,977 | | | AA | | Series2017-3, Class A, 2.770% due 5/25/26(b) | | | 59,204 | |
| | 126,685 | | | (P)AA | | Series2017-4, Class A, 2.500% due 5/26/26(b) | | | 126,944 | |
| | 193,472 | | | AA | | Sofi Consumer Loan Program Trust, Series2018-2, Class A1, 2.930% due 4/26/27(b) | | | 193,666 | |
| | 2,000,000 | | | Aaa(c) | | Sound Point CLO X Ltd., Series2015-3A, Class AR, 3.168%(3-MonthUSD-LIBOR + 0.890%) due 1/20/28(a)(b) | | | 1,997,959 | |
| | 2,000,000 | | | Aaa(c) | | Sound Point Clo XIV Ltd., Series2016-3A, Class AR, 3.301%(3-MonthUSD-LIBOR + 1.150%) due 1/23/29(a)(b) | | | 2,002,000 | |
| | 1,432,251 | | | BBB+ | | Soundview Home Loan Trust, Series 2005-OPT1, Class M2, 2.820%(1-MonthUSD-LIBOR + 0.675%) due 6/25/35(a) | | | 1,433,170 | |
| | 1,112,867 | | | NR | | SpringCastle Funding Asset-Backed Notes, Series2019-AA, Class A, 3.200% due 5/27/36(b) | | | 1,133,054 | |
| | 300,000 | | | NR | | Stanwich Mortgage Loan Co. LLC, Series 2019-NPB1, Class A1, step bond to yield, 3.375% due 8/15/24(b) | | | 300,225 | |
| | 579,777 | | | AAA | | Stonemont Portfolio Trust, Series 2017-MONT, Class A, 3.022%(1-MonthUSD-LIBOR + 0.850%) due 8/20/30(a)(b) | | | 580,137 | |
| | 1,215,120 | | | AAA | | Tharaldson Hotel Portfolio Trust, Series2018-THL, Class A, 2.973%(1-MonthUSD-LIBOR + 0.750%) due 11/11/34(a)(b) | | | 1,216,037 | |
| | 1,000,000 | | | AAA | | THL Credit Wind River CLO Ltd., Series2012-1A, Class AR2, 3.183%(3-MonthUSD-LIBOR + 0.880%) due 1/15/26(a)(b) | | | 1,000,046 | |
| | 1,079,183 | | | Aaa(c) | | Towd Point Mortgage Trust, Series2017-5, Class A1, 2.745%(1-MonthUSD-LIBOR + 0.600%) due 2/25/57(a)(b) | | | 1,077,639 | |
| | 205,865 | GBP | | AAA | | Trinity Square PLC, Series2015-1X, Class A, 1.917%(3-MonthGBP-LIBOR + 1.150%) due 7/15/51(a) | | | 251,858 | |
| | 252,813 | | | NR | | Upstart Securitization Trust, Series2019-1, Class A, 3.450% due 4/20/26(b) | | | 253,763 | |
| | 1,800,000 | | | Aaa(c) | | Venture XVI CLO Ltd., Series2014-16A, Class ARR, 3.153%(3-MonthUSD-LIBOR + 0.850%) due 1/15/28(a)(b) | | | 1,799,979 | |
| | 800,000 | | | Aaa(c) | | Venture XVII CLO Ltd., Series2014-17A, Class ARR, 3.183%(3-MonthUSD-LIBOR + 0.880%) due 4/15/27(a)(b) | | | 797,174 | |
| | 679,634 | | | NR | | VOLT LXII LLC, Series 2017-NPL9, Class A1, step bond to yield, 3.125% due 9/25/47(b) | | | 681,859 | |
| | 165,517 | | | Aaa(c) | | Voya CLO Ltd., Series2014-3A, Class A1R, 2.996%(3-MonthUSD-LIBOR + 0.720%) due 7/25/26(a)(b) | | | 165,383 | |
| | 910,122 | | | AA | | WaMu Mortgage Pass-Through Certificates Trust, Series 2005-AR13, Class A1A1, 2.556%(1-MonthUSD-LIBOR + 0.290%) due 10/25/45(a) | | | 910,404 | |
| | 1,056,436 | GBP | | AAA | | Warwick Finance Residential Mortgages No One PLC, Series 1, Class A, 1.775%(3-MonthGBP-LIBOR + 1.000%) due 9/21/49(a) | | | 1,288,656 | |
| | | | | | Wells Fargo Commercial Mortgage Trust: | | | | |
| | 500,000 | | | AAA | | Series 2017-HSDB, Class A, 3.044%(1-MonthUSD-LIBOR + 0.850%) due 12/13/31(a)(b) | | | 498,583 | |
| | 1,478,480 | | | AAA(g) | | Series2018-BXI, Class A, 2.926%(1-MonthUSD-LIBOR + 0.731%) due 12/15/36(a)(b) | | | 1,474,399 | |
| | | | | | WFRBS Commercial Mortgage Trust: | | | | |
| | 1,500,000 | | | Aaa(c) | | Series2012-C7, Class AFL, 3.397%(1-MonthUSD-LIBOR + 1.200%) due 6/15/45(a)(b) | | | 1,514,720 | |
| | 1,074,748 | | | Aaa(c) | | Series2012-C10, Class AFL, 2.987%(1-MonthUSD-LIBOR + 0.790%) due 12/15/45(a)(b) | | | 1,080,924 | |
| | | | | | | | | | |
| | | | | | TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost — $89,765,873) | | | 89,403,322 | |
| | | | | | | | | | |
See Notes to Financial Statements.
287
| | | | | | | | | | |
| Ultra-Short Term Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | MORTGAGE-BACKED SECURITIES — 12.5% | |
|
| | FHLMC — 0.4% | |
| | | | | | Federal Home Loan Mortgage Corp.: | | | | |
| $ | 1,000,000 | | | AA+ | | 2.800% due 6/3/24 | | $ | 1,001,461 | |
| | 1,000,000 | | | AA+ | | 2.800% due 6/5/24 | | | 1,000,042 | |
| | | | | | | | | | |
| | | | | | TOTAL FHLMC | | | 2,001,503 | |
| | | | | | | | | | |
|
| | FNMA — 12.1% | |
| | | | | | Federal National Mortgage Association (FNMA): | | | | |
| | 12,978,091 | | | | | 3.500% due 10/1/47 | | | 13,435,354 | |
| | 12,700,000 | | | | | 4.000% due 11/1/48(i) | | | 13,209,402 | |
| | 25,240,309 | | | | | 4.000% due 11/1/48 — 5/1/49 | | | 26,220,855 | |
| | 7,100,000 | | | | | 3.000% due 9/1/49 | | | 7,242,458 | |
| | | | | | | | | | |
| | | | | | TOTAL FNMA | | | 60,108,069 | |
| | | | | | | | | | |
| | | | | | TOTAL MORTGAGE-BACKED SECURITIES
(Cost — $61,058,529) | | | 62,109,572 | |
| | | | | | | | | | |
|
| | U.S. GOVERNMENT OBLIGATIONS — 6.8% | |
| | | | | | U.S. Treasury Inflation Indexed Notes: | | | | |
| | 6,951,384 | | | | | 0.125% due 4/15/22(SBB) | | | 6,907,932 | |
| | 505,293 | | | | | 0.625% due 4/15/23 | | | 513,233 | |
| | 3,568,752 | | | | | 0.250% due 1/15/25 | | | 3,614,753 | |
| | 3,024,336 | | | | | 0.375% due 7/15/25 | | | 3,101,018 | |
| | 1,616,985 | | | | | 0.625% due 1/15/26 | | | 1,680,391 | |
| | 16,938,972 | | | | | 0.750% due 7/15/28(SBB) | | | 18,136,102 | |
| | | | | | | | | | |
| | | | | | TOTAL U.S. GOVERNMENT OBLIGATIONS
(Cost — $32,232,337) | | | 33,953,429 | |
| | | | | | | | | | |
|
| | ASSET-BACKED SECURITIES — 7.0% | |
|
| | Automobiles — 0.5% | |
| | 938,023 | | | Aaa(c) | | Hertz Fleet Lease Funding LP, Series2018-1, Class A2, 3.230% due 5/10/32(b) | | | 945,640 | |
| | 274,545 | | | Aaa(c) | | OSCAR US Funding Trust IX LLC, Series2018-2A, Class A2A, 3.150% due 8/10/21(b) | | | 275,585 | |
| | 202,686 | | | Aaa(c) | | OSCAR US Funding Trust VIII LLC, Series2018-1A, Class A2A, 2.910% due 4/12/21(b) | | | 203,012 | |
| | 500,000 | | | Aaa(c) | | OSCAR US Funding X LLC, Series2019-1A, Class A2, 3.100% due 4/11/22(b) | | | 502,951 | |
| | 643,086 | | | AAA | | Securitized Term Auto Receivables Trust, Series2018-2A, Class A2A, 3.060% due 2/25/21(b) | | | 644,938 | |
| | | | | | | | | | |
| | | | | | Total Automobiles | | | 2,572,126 | |
| | | | | | | | | | |
|
| | Credit Cards — 2.6% | |
| | 1,300,000 | | | Aaa(c) | | CARDS II Trust, Series2018-1A, Class A, 2.545%(1-MonthUSD-LIBOR + 0.350%) due 4/17/23(a)(b) | | | 1,300,671 | |
| | 3,000,000 | | | (P)AAA | | Evergreen Credit Card Trust, Series2019-1, Class A, 2.675%(1-MonthUSD-LIBOR + 0.480%) due 1/15/23(a)(b) | | | 3,011,023 | |
| | 1,103,195 | | | NR | | LP Credit Card ABS Master Trust, Series2018-1, Class A, 3.822%(1-MonthUSD-LIBOR + 1.550%) due 8/20/24(a)(b) | | | 1,093,406 | |
| | 3,000,000 | | | Aaa(c) | | Master Credit Card Trust II, Series2018-1A, Class A, 2.659%(1-MonthUSD-LIBOR + 0.490%) due 7/21/24(a)(b) | | | 3,000,730 | |
| | 2,000,000 | | | AAA | | Penarth Master Issuer PLC, Series2019-1A, Class A1, 2.722%(1-MonthUSD-LIBOR + 0.540%) due 7/18/23(a)(b) | | | 1,999,969 | |
| | | | | | Trillium Credit Card Trust II: | | | | |
| | 1,700,000 | | | AAA | | Series2018-1A, Class A, 2.395%(1-MonthUSD-LIBOR + 0.250%) due 2/27/23(a)(b) | | | 1,701,363 | |
| | 800,000 | | | AAA | | Series2019-1A, Class A, 2.625%(1-MonthUSD-LIBOR + 0.480%) due 1/26/24(a)(b) | | | 800,928 | |
| | | | | | | | | | |
| | | | | | Total Credit Cards | | | 12,908,090 | |
| | | | | | | | | | |
See Notes to Financial Statements.
288
| | | | | | | | | | |
| Ultra-Short Term Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Student Loans — 3.9% | |
| | | | | | ECMC Group Student Loan Trust: | | | | |
| $ | 701,474 | | | Aaa(c) | | Series2017-2A, Class A, 3.195%(1-MonthUSD-LIBOR + 1.050%) due 5/25/67(a)(b) | | $ | 709,734 | |
| | 596,298 | | | Aaa(c) | | Series2018-1A, Class A, 2.895%(1-MonthUSD-LIBOR + 0.750%) due 2/27/68(a)(b) | | | 592,712 | |
| | 1,000,000 | | | Aaa(c) | | Series2019-1A, Class A1B, 3.230%(1-MonthUSD-LIBOR + 1.000%) due 7/25/69(a)(b) | | | 1,006,970 | |
| | 245,293 | | | AAA | | EFS Volunteer LLC, Series2010-1, Class A2, 3.126%(3-MonthUSD-LIBOR + 0.850%) due 10/25/35(a)(b) | | | 243,577 | |
| | 109,336 | | | Aaa(c) | | Navient Private Education Loan Trust, Series2015-AA, Class A2A, 2.650% due 12/15/28(b) | | | 110,305 | |
| | 759,571 | | | AAA | | Navient Private Education Refi Loan Trust, Series2019-A, Class A1, 3.030% due 1/15/43(b) | | | 767,279 | |
| | | | | | Navient Student Loan Trust: | | | | |
| | 1,475,702 | | | AAA | | Series2018-1A, Class A2, 2.495%(1-MonthUSD-LIBOR + 0.350%) due 3/25/67(a)(b) | | | 1,474,159 | |
| | 2,900,165 | | | AAA | | Series2018-2A, Class A2, 2.525%(1-MonthUSD-LIBOR + 0.380%) due 3/25/67(a)(b) | | | 2,895,732 | |
| | | | | | Nelnet Student Loan Trust: | | | | |
| | 1,228,014 | | | AA+ | | Series2017-3A, Class A, 2.995%(1-MonthUSD-LIBOR + 0.850%) due 2/25/66(a)(b) | | | 1,230,994 | |
| | 1,479,466 | | | AA+ | | Series2019-2A, Class A, 3.045%(1-MonthUSD-LIBOR + 0.900%) due 6/27/67(a)(b) | | | 1,477,827 | |
| | 1,300,000 | | | AA+ | | Series2019-3A, Class A, 3.093%(1-MonthUSD-LIBOR + 0.800%) due 8/25/67(a)(b) | | | 1,299,506 | |
| | | | | | SLC Student Loan Trust: | | | | |
| | 1,065,561 | | | AAA | | Series2006-1, Class A5, 2.520%(3-MonthUSD-LIBOR + 0.110%) due 3/15/27(a) | | | 1,061,263 | |
| | 684,213 | | | AAA | | Series2007-1, Class A4, 2.218%(3-MonthUSD-LIBOR + 0.060%) due 5/15/29(a) | | | 676,520 | |
| | | | | | SLM Student Loan Trust: | | | | |
| | 265,728 | | | AAA | | Series2003-10A, Class A3, 2.880%(3-MonthUSD-LIBOR + 0.470%) due 12/15/27(a)(b) | | | 265,829 | |
| | 1,130,775 | | | AAA | | Series2005-5, Class A4, 2.416%(3-MonthUSD-LIBOR + 0.140%) due 10/25/28(a) | | | 1,123,129 | |
| | 571,774 | | | B | | Series2008-5, Class A4, 3.976%(3-MonthUSD-LIBOR + 1.700%) due 7/25/23(a) | | | 577,754 | |
| | 805,073 | | | B | | Series2008-7, Class A4, 3.176%(3-MonthUSD-LIBOR + 0.900%) due 7/25/23(a) | | | 802,255 | |
| | 129,973 | | | B | | Series2008-8, Class A4, 3.776%(3-MonthUSD-LIBOR + 1.500%) due 4/25/23(a) | | | 131,447 | |
| | 999,826 | | | AAA | | SMB Private Education Loan Trust, Series2015-B, Class A2B, 3.395%(1-MonthUSD-LIBOR + 1.200%) due 7/15/27(a)(b) | | | 1,007,410 | |
| | 880,410 | | | AAA | | Sofi Professional Loan Program LLC, Series2018-A, Class A2A, 2.390% due 2/25/42(b) | | | 882,721 | |
| | 903,808 | | | AA+ | | Utah State Board of Regents, Series2017-1, Class A, 2.895%(1-MonthUSD-LIBOR + 0.750%) due 1/25/57(a) | | | 904,052 | |
| | | | | | | | | | |
| | | | | | Total Student Loans | | | 19,241,175 | |
| | | | | | | | | | |
| | | | | | TOTAL ASSET-BACKED SECURITIES
(Cost — $34,693,229) | | | 34,721,391 | |
| | | | | | | | | | |
|
| | SOVEREIGN BONDS — 1.5% | |
|
| | Canada — 0.6% | |
| | 3,000,000 | | | AAA | | Export Development Canada, 2.260%(3-MonthUSD-LIBOR — 0.040%) due 10/18/19(a)(b) | | | 3,000,661 | |
| | | | | | | | | | |
|
| | India — 0.9% | |
| | | | | | Export-Import Bank of India: | | | | |
| | 200,000 | | | BBB- | | 3.875% due 10/2/19 | | | 200,225 | |
| | 2,500,000 | | | BBB- | | 2.750% due 4/1/20 | | | 2,506,662 | |
| | 1,900,000 | | | Baa2(c) | | 3.152%(3-MonthUSD-LIBOR + 1.000%) due 8/21/22(a) | | | 1,896,447 | |
| | | | | | | | | | |
| | | | | | Total India | | | 4,603,334 | |
| | | | | | | | | | |
| | | | | | TOTAL SOVEREIGN BONDS
(Cost — $7,609,334) | | | 7,603,995 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS
(Cost — $517,994,909) | | | 521,710,435 | |
| | | | | | | | | | |
|
| | SHORT-TERM INVESTMENTS — 31.3% | |
|
| | COMMERCIAL PAPER — 1.0% | |
| | 5,000,000 | | | | | Encana Corp., 2.652% due 10/10/19(b)(i)
(Cost — $4,985,700) | | | 4,985,700 | |
| | | | | | | | | | |
|
| | TIME DEPOSITS — 0.2% | |
| | 822,364 | | | | | Banco Santander SA — Frankfurt, 1.490% due 9/3/19 | | | 822,364 | |
See Notes to Financial Statements.
289
| | | | | | | | | | |
| Ultra-Short Term Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | | | Security | | Value | |
|
| | TIME DEPOSITS — 0.2% — (continued) | |
| | | | | | BBH — Grand Cayman: | | | | |
| | 2,619 | DKK | | | | (0.800)% due 9/2/19 | | $ | 386 | |
| | 974 | EUR | | | | (0.580)% due 9/2/19 | | | 1,071 | |
| | 17,316 | JPY | | | | (0.250)% due 9/2/19 | | | 163 | |
| | 6,065 | NZD | | | | 0.280% due 9/2/19 | | | 3,821 | |
| | 578 | GBP | | | | 0.370% due 9/2/19 | | | 704 | |
| | 867 | AUD | | | | 0.450% due 9/2/19 | | | 584 | |
| | 366,366 | CAD | | | | 0.870% due 9/3/19 | | | 275,204 | |
| | | | | | | | | | |
| | | | | | TOTAL TIME DEPOSITS
(Cost — $1,104,297) | | | 1,104,297 | |
| | | | | | | | | | |
|
| | U.S. GOVERNMENT OBLIGATION — 30.2% | |
| $ | 150,000,000 | | | | | U.S. Treasury Bills, 2.104% due 10/1/19(j)
(Cost — $149,759,230) | | | 149,759,230 | |
| | | | | | | | | | |
| | | | | | TOTAL SHORT-TERM INVESTMENTS
(Cost — $155,849,227) | | | 155,849,227 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS — 136.3%
(Cost — $673,844,136) | | | 677,559,662 | |
| | | | | | | | | | |
| | | | | | Liabilities in Excess of Other Assets — (36.3)% | | | (180,270,015 | ) |
| | | | | | | | | | |
| | | | | | TOTAL NET ASSETS — 100.0% | | $ | 497,289,647 | |
| | | | | | | | | | |
| † | 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 August 31, 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 August 31, 2019 amounts to approximately $175,763,381 and represents 35.3% of net assets. |
| (c) | Rating by Moody’s Investors Service. All ratings are unaudited. |
| (e) | The aggregate value of restricted securities (excluding 144A holdings) at August 31, 2019 amounts to approximately $801,400 and represents 0.2% 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. |
| (h) | Affiliated security (See Note 2). As of August 31, 2019, total cost and total market value of affiliated securities amounted to $662,286 and $670,579, respectively. |
| (i) | This security is traded on a TBA basis (see Note 1). |
| (j) | Rate shown representsyield-to-maturity. |
| (SBB) | All or a portion of these securities were purchased in a sale-buyback transaction. The value of these securities total $23,473,821, which represents 4.7% of net assets. |
At August 31, 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
(Depreciation) | |
Ultra-Short Term Fixed Income Fund | | $ | 674,708,240 | | | $ | 7,071,741 | | | $ | (11,765,571) | | | $ | (4,693,830) | |
| | |
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 |
| SOFR | | — Secured Overnight Financing Rate |
See Notes to Financial Statements.
290
| | | | |
| Ultra-Short Term Fixed Income Fund |
| | | | |
| Summary of Investments by Security Type^ | | | |
Corporate Bonds & Notes | | | 43.4 | % |
Collateralized Mortgage Obligations | | | 13.2 | |
Mortgage-Backed Securities | | | 9.2 | |
Asset-Backed Securities | | | 5.1 | |
U.S. Government Obligations | | | 5.0 | |
Sovereign Bonds | | | 1.1 | |
Short-Term Investments | | | 23.0 | |
| | | | |
| | | 100.0 | % |
| | | | |
| ^ | As a percentage of total investments. |
At August 31, 2019, Ultra-Short Term Fixed Income Fund did not hold any Reverse Repurchase Agreements. For the year ended August 31, 2019, the daily average borrowing and interest rate under the reverse repurchase agreements were $12,766,869 and 2.573%, respectively. The Ultra-Short Term Fixed Income Fund held Reverse Repurchase Agreements for 186 days during the year ended August 31, 2019.
At August 31, 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: | | | | | | | | | | | | | | | | | | | | |
Bank Accept December Futures | | | 269 | | | | 12/20 | | | $ | 49,627,023 | | | $ | 49,766,262 | | | $ | 139,239 | |
Canada Government10-Year Bond December Futures | | | 113 | | | | 12/19 | | | | 12,206,896 | | | | 12,314,772 | | | | 107,876 | |
U.S. Treasury2-Year Note December Futures | | | 1,127 | | | | 12/19 | | | | 243,465,328 | | | | 243,564,071 | | | | 98,743 | |
U.S. Ultra Long Bond December Futures | | | 47 | | | | 12/19 | | | | 6,797,375 | | | | 6,788,563 | | | | (8,812 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 337,046 | |
| | | | | | | | | | | | | | | | | | | | |
| Contracts to Sell: | | | | | | | | | | | | | | | | | | | | |
90-Day Eurodollar December Futures | | | 758 | | | | 12/20 | | | | 186,515,375 | | | | 187,112,300 | | | | (596,925 | ) |
U.S. Treasury Ultra Long Bond December Futures | | | 14 | | | | 12/19 | | | | 2,733,155 | | | | 2,764,125 | | | | (30,970 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | (627,895 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Unrealized Depreciation on Open Exchange-Traded Futures Contracts | | | | | | | | | | | | | | | | | | $ | (290,849 | ) |
| | | | | | | | | | | | | | | | | |
At August 31, 2019, Ultra-Short Term Fixed Income Fund had deposited cash of $1,037,000 with a broker or brokers as margin collateral on an open exchange-traded futures contracts.
At August 31, 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: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Australian Dollar | | | 7,162,000 | | | | USD | | | | 4,862,848 | | | | BCLY | | | $ | 4,822,889 | | | | 9/3/19 | | | $ | (39,959 | ) |
Australian Dollar | | | 7,265,000 | | | | USD | | | | 4,911,179 | | | | BNP | | | | 4,892,249 | | | | 9/3/19 | | | | (18,930 | ) |
See Notes to Financial Statements.
291
| | | | |
| Ultra-Short Term Fixed Income Fund |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Foreign Currency | | Local Currency | | | In Exchange For | | | Counterparty | | | Market Value | | | Settlement
Date | | | Unrealized
Appreciation/
(Depreciation) | |
| Contracts to Buy: (continued) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Australian Dollar | | | 6,758,000 | | | | USD | | | | 4,665,101 | | | | MLP | | | $ | 4,550,835 | | | | 9/3/19 | | | $ | (114,266 | ) |
Canadian Dollar | | | 726,000 | | | | USD | | | | 546,194 | | | | JPM | | | | 545,352 | | | | 9/3/19 | | | | (842 | ) |
Euro | | | 255,000 | | | | USD | | | | 282,867 | | | | BNP | | | | 280,258 | | | | 9/3/19 | | | | (2,609 | ) |
Japanese Yen | | | 529,000,000 | | | | USD | | | | 4,978,042 | | | | BNP | | | | 4,979,995 | | | | 9/3/19 | | | | 1,953 | |
Japanese Yen | | | 281,200,000 | | | | USD | | | | 2,642,431 | | | | BNP | | | | 2,647,211 | | | | 9/3/19 | | | | 4,780 | |
Japanese Yen | | | 262,900,000 | | | | USD | | | | 2,473,887 | | | | BNP | | | | 2,480,119 | | | | 10/2/19 | | | | 6,232 | |
Japanese Yen | | | 810,200,000 | | | | USD | | | | 7,628,054 | | | | JPM | | | | 7,643,181 | | | | 10/2/19 | | | | 15,127 | |
Mexican Peso | | | 779,000 | | | | USD | | | | 39,154 | | | | HSBC | | | | 38,544 | | | | 10/23/19 | | | | (610 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | (149,124 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Contracts to Sell: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Australian Dollar | | | 21,170,000 | | | | USD | | | | 14,633,034 | | | | BNP | | | | 14,255,873 | | | | 9/3/19 | | | | 377,161 | |
British Pound | | | 3,987,000 | | | | USD | | | | 4,873,169 | | | | JPM | | | | 4,850,985 | | | | 9/3/19 | | | | 22,184 | |
British Pound | | | 2,421,000 | | | | USD | | | | 2,952,264 | | | | MLP | | | | 2,945,632 | | | | 9/3/19 | | | | 6,632 | |
British Pound | | | 6,408,000 | | | | USD | | | | 7,823,739 | | | | HSBC | | | | 7,806,380 | | | | 10/2/19 | | | | 17,359 | |
Canadian Dollar | | | 2,687,000 | | | | USD | | | | 2,034,541 | | | | BNP | | | | 2,018,404 | | | | 9/3/19 | | | | 16,137 | |
Canadian Dollar | | | 521,000 | | | | USD | | | | 391,150 | | | | BNP | | | | 391,361 | | | | 9/3/19 | | | | (211 | ) |
Canadian Dollar | | | 2,894,000 | | | | USD | | | | 2,179,168 | | | | MLP | | | | 2,173,897 | | | | 9/3/19 | | | | 5,271 | |
Canadian Dollar | | | 5,376,000 | | | | USD | | | | 4,040,693 | | | | SCB | | | | 4,040,137 | | | | 10/2/19 | | | | 556 | |
Euro | | | 9,813,000 | | | | USD | | | | 10,960,571 | | | | HSBC | | | | 10,784,974 | | | | 9/3/19 | | | | 175,597 | |
Euro | | | 4,389,000 | | | | USD | | | | 4,867,893 | | | | MLP | | | | 4,823,729 | | | | 9/3/19 | | | | 44,164 | |
Euro | | | 2,385,000 | | | | USD | | | | 2,648,780 | | | | SCB | | | | 2,621,234 | | | | 9/3/19 | | | | 27,546 | |
Euro | | | 16,332,000 | | | | USD | | | | 18,136,817 | | | | BNP | | | | 17,989,499 | | | | 10/2/19 | | | | 147,318 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | 839,714 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Unrealized Appreciation on Open Forward Foreign Currency Contracts | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 690,590 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
At August 31, 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/
(Received) | | | Unrealized
Appreciation/
(Depreciation) | |
| Receive | | U.S. Federal Funds Effective Rate Index | | | 2.300% | | | | 3/1/22 | | | | 12-Month | | | | USD 221,700,000 | | | $ | (6,188,595 | ) | | $ | 273,006 | | | $ | (6,461,601 | ) |
| Pay | | 3-Month Canadian Bank Bill | | | 2.500% | | | | 6/19/29 | | | | 6-Month | | | | CAD 10,100,000 | | | | 663,477 | | | | 638,892 | | | | 24,585 | |
| Receive | | 3-MonthUSD-LIBOR | | | 2.000% | | | | 12/10/29 | | | | 6-Month | | | | USD 25,200,000 | | | | (1,485,880 | ) | | | (304,889 | ) | | | (1,180,991 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | $ | (7,010,998 | ) | | $ | 607,009 | | | $ | (7,618,007 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
292
| | | | |
| Ultra-Short Term Fixed Income Fund |
Centrally Cleared — Credit Default Swaps on Indexes — Buy Protection (1)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Obligation | | Fixed Deal
(Pay) Rate | | | Maturity
Date | | | Payment
Frequency | | | Implied Credit
Spread at
8/31/19 (2) | | | Notional
Amount (3) | | | Market
Value | | | Upfront
Payment
(Received) | | | Unrealized
(Depreciation) | |
Markit CDX North America Investment Grade Series 315-Year Index | | | (1.000 | )% | | | 12/20/23 | | | | 3-Month | | | | 3.416% | | | | USD 5,100,000 | | | $ | (121,172 | ) | | $ | (93,042 | ) | | $ | (28,130 | ) |
Markit CDX North America Investment Grade Series 325-Year Index | | | (1.000 | )% | | | 6/20/24 | | | | 3-Month | | | | 3.416% | | | | USD 24,800,000 | | | | (570,286 | ) | | | (464,604 | ) | | | (105,682 | ) |
Markit CDX North America High Yield Index Series 325-Year Index | | | (5.000 | )% | | | 6/20/24 | | | | 3-Month | | | | 3.416% | | | | USD 3,168,000 | | | | (242,537 | ) | | | (232,689 | ) | | | (9,848 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | $ | (933,995 | ) | | $ | (790,335 | ) | | $ | (143,660 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (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. |
At August 31, 2019, Ultra-Short Term Fixed Income Fund deposited cash collateral with brokers in the amount of $3,069,000 for open centrally cleared swap contracts.
At August 31, 2019, Ultra-Short Term Fixed Income Fund had cash collateral from brokers in the amount of $390,000 for open centrally cleared swap contracts.
At August 31, 2019, Ultra-Short Term Fixed Income Fund was involved infollowing sale-buyback transactions:
| | | | | | | | | | | | | | | | |
| Counterparty | | Borrowing
date | | | Maturity date | | | Borrowing
rate | | | Amount borrowed | |
BNP Paribas | | | 8/30/2019 | | | | 9/3/2019 | | | | 2.33 | % | | $ | 5,346,816 | |
BNP Paribas | | | 8/30/2019 | | | | 9/3/2019 | | | | 2.33 | % | | | 18,197,986 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | $ | 23,544,802 | |
| | | | | | | | | | | | | | | | |
| | | | | | |
Currency Abbreviations used in this schedule: | | Counterparty Abbreviations used in this schedule: |
| AUD | | — Australian Dollar | | BCLY | | — Barclays Bank PLC |
| CAD | | — Canadian Dollar | | BNP | | — BNP Paribas SA |
| DKK | | — Danish Krone | | HSBC | | — HSBC Bank USA |
| EUR | | — Euro | | JPM | | — JPMorgan Chase & Co. |
| GBP | | — British Pound | | MLP | | — Merrill Lynch, Pierce, Fenner & Smith Inc. |
| JPY | | — Japanese Yen | | SCB | | — Standard Chartered Bank |
| NZD | | — New Zealand Dollar | | | | |
See pages295-296 for definitions of ratings.
See Notes to Financial Statements.
293
| | | | | | | | |
| Alternative Strategies Fund | |
| | |
| Units | | | Security | | Value | |
|
| | OPEN END MUTUAL FUND SECURITIES — 98.4% | |
|
| | United States — 98.5% | |
| | 212,521 | | | American Beacon AHL Managed Futures Strategy Fund, Class Y | | $ | 2,446,115 | |
| | 131,001 | | | BlackRock Event Driven Equity Fund, Institutional Class | | | 1,291,667 | |
| | 158,132 | | | BlackRock Global Long/Short Credit Fund, Institutional Class | | | 1,597,129 | |
| | 79,702 | | | Diamond Hill Long/Short Fund, Class I | | | 2,127,250 | |
| | 141,496 | | | Driehaus Event Driven Fund, Common Class | | | 1,635,696 | |
| | 183,415 | | | Eaton Vance Global Macro Absolute Return Advantage Fund, Class I | | | 1,863,492 | |
| | 244,749 | | | Goldman Sachs Absolute Return Tracker Fund, Institutional Class | | | 2,396,092 | |
| | 234,641 | | | John Hancock Seaport Long/Short Fund, Class I | | | 2,656,137 | |
| | 141,035 | | | LoCorr Market Trend Fund, Class I* | | | 1,693,829 | |
| | 146,351 | | | PIMCO Mortgage Opportunities and Bond Fund,Class I-2 | | | 1,599,611 | |
| | 198,555 | | | Prudential QMA Long/Short Equity Fund, Class Z | | | 2,374,714 | |
| | 151,049 | | | Tortoise MLP & Pipeline Fund, Institutional Class | | | 1,848,837 | |
| | 257,222 | | | Western Asset Macro Opportunities Fund, Class I | | | 2,901,465 | |
| | | | | | | | |
| | | | TOTAL INVESTMENTS — 98.4%
(Cost — $25,556,126) | | | 26,432,034 | |
| | | | | | | | |
| | | | Other Assets in Excess of Liabilities — 1.6% | | | 418,526 | |
| | | | | | | | |
| | | | TOTAL NET ASSETS — 100.0% | | $ | 26,850,560 | |
| | | | | | | | |
| * | Non-income producing security. |
At August 31, 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 | | $ | 25,675,102 | | | $ | 1,035,868 | | | $ | (278,936 | ) | | $ | 756,932 | |
| | | | |
| Summary of Investments by Security Type^ | |
Open End Mutual Fund Securities | | | 100.0 | % |
| | | | |
| ^ | As a percentage of total investments. |
See Notes to Financial Statements.
294
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. |
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. |
295
| | |
| |
| 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. |
296
(This page intentionally left blank)
| | |
| | | |
| Statements of Assets and Liabilities | | |
| | | | | | | | | | | | | | | | |
| | |
Large Cap
Equity
Fund | | | Small-Mid
Cap Equity
Fund | | | International
Equity
Fund | | | | |
| ASSETS: | | | | | | | | | | | | | | | | |
Unaffiliated investments, at value1,3 | | $ | 1,551,670,711 | | | $ | 431,057,234 | | | $ | 1,317,983,205 | | | | | |
Affiliated investments, at value2 | | | 1,473,725 | | | | — | | | | — | | | | | |
Foreign currency, at value4 | | | 9 | | | | 11,824 | | | | 131,935 | | | | | |
Cash | | | 10,292,657 | | | | 913,295 | | | | 441,971 | | | | | |
Receivable for securities sold | | | 1,839,774 | | | | 461,449 | | | | 2,923,860 | | | | | |
Receivable for TBA securities sold | | | — | | | | — | | | | — | | | | | |
Dividends and interest receivable from unaffiliated investments | | | 2,378,280 | | | | 342,354 | | | | 7,407,118 | | | | | |
Dividends and interest receivable from affiliated investments | | | — | | | | — | | | | — | | | | | |
Receivable for manager waiver | | | — | | | | — | | | | — | | | | | |
Receivable for Fund shares sold | | | 1,163,641 | | | | 435,620 | | | | 1,505,735 | | | | | |
Unrealized appreciation on unfunded loan commitments | | | — | | | | — | | | | — | | | | | |
Unrealized appreciation on open forward foreign currency contracts (Note 1) | | | — | | | | — | | | | — | | | | | |
Variation margin on open future contracts (Note 1) | | | — | | | | 1,131 | | | | 10,410 | | | | | |
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 | | | 430,984 | | | | 92,800 | | | | 90,782 | | | | | |
Foreign capital gain tax receivable | | | — | | | | — | | | | — | | | | | |
Prepaid expenses | | | 52,067 | | | | 26,017 | | | | 46,411 | | | | | |
| | | | | | | | | | | | | | | | |
Total Assets | | | 1,569,301,848 | | | | 433,341,724 | | | | 1,330,541,427 | | | | | |
| | | | | | | | | | | | | | | | |
| LIABILITIES: | | | | | | | | | | | | | | | | |
Payable for reverse repurchase agreements | | | — | | | | — | | | | — | | | | | |
Payable for collateral received from securities on loan | | | 10,273,681 | | | | 9,907,772 | | | | 9,378,863 | | | | | |
Payable for Fund shares repurchased | | | 1,312,088 | | | | 342,294 | | | | 997,697 | | | | | |
Payable for securities purchased | | | 3,090,369 | | | | 153,257 | | | | 8,218,021 | | | | | |
Payable for TBA securities purchased | | | — | | | | — | | | | — | | | | | |
Payable for sale-buyback transactions | | | — | | | | — | | | | — | | | | | |
Investment management fee payable | | | 511,263 | | | | 162,574 | | | | 599,483 | | | | | |
Transfer agent fees payable | | | 14,240 | | | | 4,897 | | | | 18,971 | | | | | |
Interest expense payable | | | — | | | | — | | | | — | | | | | |
Custody fee payable | | | 77,120 | | | | 30,432 | | | | 158,917 | | | | | |
Variation margin on open future contracts (Note 1) | | | 4,583 | | | | — | | | | — | | | | | |
Variation margin on open centrally cleared swap contracts (Note 1) | | | — | | | | — | | | | — | | | | | |
Due to custodian4 | | | — | | | | — | | | | — | | | | | |
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 | | | — | | | | — | | | | — | | | | | |
Accrued expenses | | | 95,350 | | | | 86,336 | | | | 127,656 | | | | | |
| | | | | | | | | | | | | | | | |
Total Liabilities | | | 15,378,694 | | | | 10,687,562 | | | | 19,499,608 | | | | | |
| | | | | | | | | | | | | | | | |
| Total Net Assets | | $ | 1,553,923,154 | | | $ | 422,654,162 | | | $ | 1,311,041,819 | | | | | |
| | | | | | | | | | | | | | | | |
| NET ASSETS: | | | | | | | | | | | | | | | | |
Paid-in-capital (Note 4) | | $ | 999,760,589 | | | $ | 324,441,969 | | | $ | 1,290,617,490 | | | | | |
Total distributable earnings (losses) | | | 554,162,565 | | | | 98,212,193 | | | | 20,424,329 | | | | | |
| | | | | | | | | | | | | | | | |
| Total Net Assets | | $ | 1,553,923,154 | | | $ | 422,654,162 | | | $ | 1,311,041,819 | | | | | |
| | | | | | | | | | | | | | | | |
| Shares Outstanding | | | 81,361,017 | | | | 22,721,140 | | | | 113,164,944 | | | | | |
| | | | | | | | | | | | | | | | |
| Net Asset Value | | $ | 19.10 | | | $ | 18.60 | | | $ | 11.59 | | | | | |
| | | | | | | | | | | | | | | | |
| 1 Unaffiliated investments, at cost | | $ | 1,054,927,136 | | | $ | 377,371,679 | | | $ | 1,265,907,263 | | | | | |
| | | | | | | | | | | | | | | | |
| 2 Affiliated investments, at cost | | $ | 858,128 | | | $ | — | | | $ | — | | | | | |
| | | | | | | | | | | | | | | | |
| 3 Includes securities on loan | | $ | 10,056,358 | | | $ | 9,655,513 | | | $ | 8,831,771 | | | | | |
| | | | | | | | | | | | | | | | |
| 4 Foreign currency/Due to custodian, at cost | | $ | 164 | | | $ | 12,989 | | | $ | 138,844 | | | | | |
| | | | | | | | | | | | | | | | |
| 5 Premiums received | | $ | — | | | $ | — | | | $ | — | | | | | |
| | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
298
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | 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 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | 498,153,149 | | | $ | 1,301,988,305 | | | $ | 48,778,081 | | | $ | 196,911,532 | | | $ | 85,359,054 | | | $ | 318,969,585 | | | $ | 676,889,083 | | | $ | 26,432,034 | |
| | | | | — | | | | 2,468,124 | | | | — | | | | — | | | | — | | | | — | | | | 670,579 | | | | — | |
| | | | | 1,829,493 | | | | 987,168 | | | | — | | | | 257,398 | | | | — | | | | 102,540 | | | | 561 | | | | — | |
| | | | | 49,753 | | | | 41,282 | | | | 3,361 | | | | 1,562 | | | | 609 | | | | — | | | | 740,140 | | | | 231,787 | |
| | | | | 1,396,301 | | | | 1,780,159 | | | | 460,418 | | | | 1,824,136 | | | | — | | | | 213,697 | | | | 321,259 | | | | — | |
| | | | | — | | | | 14,802,553 | | | | — | | | | 54,839,430 | | | | — | | | | 59,797,408 | | | | 26,332,160 | | | | — | |
| | | | | 558,895 | | | | 6,146,547 | | | | 704,979 | | | | 867,025 | | | | 805,695 | | | | 477,401 | | | | 2,444,066 | | | | — | |
| | | | | — | | | | 6,487 | | | | — | | | | — | | | | — | | | | — | | | | 338 | | | | — | |
| | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 36,447 | |
| | | | | 572,771 | | | | 1,301,909 | | | | 66,072 | | | | 114,552 | | | | 42,790 | | | | 159,867 | | | | 567,819 | | | | 215,719 | |
| | | | | — | | | | 2 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | — | | | | 656,299 | | | | — | | | | 2,433,866 | | | | — | | | | 809,252 | | | | 868,017 | | | | — | |
| | | | | 12,000 | | | | — | | | | — | | | | — | | | | — | | | | 14,529 | | | | 15,463 | | | | — | |
| | | | | — | | | | — | | | | — | | | | 62,694 | | | | — | | | | 174,375 | | | | 139,999 | | | | — | |
| | | | | — | | | | 293,658 | | | | — | | | | 90,617 | | | | — | | | | — | | | | — | | | | — | |
| | | | | — | | | | 20,711 | | | | — | | | | 44,060 | | | | — | | | | 14,453 | | | | — | | | | — | |
| | | | | 78,994 | | | | 3,964,772 | | | | — | | | | 1,902,000 | | | | 86,000 | | | | 1,444,000 | | | | 4,106,000 | | | | — | |
| | | | | 69,831 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | 27,034 | | | | 62,855 | | | | 10,311 | | | | 16,411 | | | | 14,954 | | | | 22,555 | | | | 28,713 | | | | 8,983 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 502,748,221 | | | | 1,334,520,831 | | | | 50,023,222 | | | | 259,365,283 | | | | 86,309,102 | | | | 382,199,662 | | | | 713,124,197 | | | | 26,924,970 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | — | | | | — | | | | — | | | | 16,935,905 | | | | — | | | | 54,088,001 | | | | — | | | | — | |
| | | | | 8,218,833 | | | | 143,175 | | | | 125,726 | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | 329,642 | | | | 2,113,353 | | | | 158,804 | | | | 127,037 | | | | 97,398 | | | | 224,356 | | | | 681,855 | | | | 42,607 | |
| | | | | 1,218,694 | | | | 60,420,311 | | | | 699,599 | | | | 2,158,597 | | | | 506,392 | | | | 955,214 | | | | 151,159,315 | | | | 4,476 | |
| | | | | — | | | | 64,958,781 | | | | — | | | | 89,826,773 | | | | — | | | | 103,706,356 | | | | 39,540,656 | | | | — | |
| | | | | — | | | | — | | | | — | | | | 773,255 | | | | — | | | | 5,028,816 | | | | 23,544,802 | | | | — | |
| | | | | 246,910 | | | | 386,647 | | | | 20,776 | | | | 55,933 | | | | 29,008 | | | | 82,611 | | | | 190,222 | | | | 4,478 | |
| | | | | 6,149 | | | | 11,447 | | | | 2,281 | | | | 2,276 | | | | 876 | | | | 3,114 | | | | 5,727 | | | | 540 | |
| | | | | — | | | | — | | | | — | | | | 15,456 | | | | — | | | | 48,564 | | | | 604 | | | | — | |
| | | | | 64,204 | | | | 131,637 | | | | 36,481 | | | | 82,729 | | | | 11,595 | | | | 31,825 | | | | 46,990 | | | | 12,223 | |
| | | | | — | | | | 1,156,042 | | | | — | | | | 13,205 | | | | 6,094 | | | | — | | | | — | | | | — | |
| | | | | — | | | | 138,312 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 175,548 | | | | — | | | | — | |
| | | | | — | | | | 269,484 | | | | — | | | | 164,245 | | | | — | | | | 82,877 | | | | — | | | | — | |
| | | | | — | | | | 30,102 | | | | — | | | | 267,373 | | | | — | | | | 16,438 | | | | — | | | | — | |
| | | | | — | | | | — | | | | — | | | | 146,798 | | | | — | | | | — | | | | — | | | | — | |
| | | | | — | | | | 1,106,968 | | | | — | | | | 1,332,320 | | | | — | | | | 295,939 | | | | 177,427 | | | | — | |
| | | | | — | | | | — | | | | — | | | | 380,000 | | | | — | | | | 683,000 | | | | 390,000 | | | | — | |
| | | | | — | | | | 1,055 | | | | 137 | | | | — | | | | 10 | | | | 24 | | | | 378 | | | | — | |
| | | | | 111,704 | | | | 120,958 | | | | 68,383 | | | | 84,444 | | | | 23,095 | | | | 112,681 | | | | 96,574 | | | | 10,086 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 10,196,136 | | | | 130,988,272 | | | | 1,112,187 | | | | 112,366,346 | | | | 674,468 | | | | 165,535,364 | | | | 215,834,550 | | | | 74,410 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | 492,552,085 | | | $ | 1,203,532,559 | | | $ | 48,911,035 | | | $ | 146,998,937 | | | $ | 85,634,634 | | | $ | 216,664,298 | | | $ | 497,289,647 | | | $ | 26,850,560 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | 474,310,601 | | | $ | 1,161,599,173 | | | $ | 75,279,384 | | | $ | 136,827,761 | | | $ | 79,363,293 | | | $ | 212,466,209 | | | $ | 502,107,333 | | | $ | 26,048,024 | |
| | | | | 18,241,484 | | | | 41,933,386 | | | | (26,368,349 | ) | | | 10,171,176 | | | | 6,271,341 | | | | 4,198,089 | | | | (4,817,686 | ) | | | 802,536 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | 492,552,085 | | | $ | 1,203,532,559 | | | $ | 48,911,035 | | | $ | 146,998,937 | | | $ | 85,634,634 | | | $ | 216,664,298 | | | $ | 497,289,647 | | | $ | 26,850,560 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 35,191,058 | | | | 142,860,442 | | | | 12,999,886 | | | | 17,606,611 | | | | 8,908,049 | | | | 21,259,218 | | | | 50,213,074 | | | | 2,659,159 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | 14.00 | | | $ | 8.42 | | | $ | 3.76 | | | $ | 8.35 | | | $ | 9.61 | | | $ | 10.19 | | | $ | 9.90 | | | $ | 10.10 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | 433,316,308 | | | $ | 1,254,271,415 | | | $ | 49,907,212 | | | $ | 188,384,464 | | | $ | 79,930,594 | | | $ | 308,205,651 | | | $ | 673,181,850 | | | $ | 25,556,126 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | — | | | $ | 2,436,303 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 662,286 | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | 8,152,889 | | | $ | 138,000 | | | $ | 123,065 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | 1,830,978 | | | $ | 1,117,242 | | | $ | — | | | $ | 137,141 | | | $ | — | | | $ | 120,592 | | | $ | 840 | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | — | | | $ | 353,204 | | | $ | — | | | $ | 161,471 | | | $ | — | | | $ | 123,379 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
299
| | |
| For the Year Ended August 31, 2019 | | |
| | | | | | | | | | | | | | | | |
| | |
Large Cap
Equity
Fund | | | Small-Mid
Cap Equity
Fund | | | International
Equity
Fund | | | | |
| INVESTMENT INCOME: | | | | | | | | | | | | | | | | |
| | | | |
Dividends from unaffiliated investments | | $ | 29,677,673 | | | $ | 5,415,433 | | | $ | 47,195,625 | | | | | |
Dividends from affiliated investments | | | 45,758 | | | | — | | | | — | | | | | |
Income fromnon-cash dividends | | | — | | | | — | | | | 2,323,191 | | | | | |
Interest from unaffiliated investments | | | 470,699 | | | | 204,074 | | | | 555,190 | | | | | |
Interest from affiliated investments | | | — | | | | — | | | | — | | | | | |
Income from securities lending | | | 72,678 | | | | 130,967 | | | | 520,828 | | | | | |
Less: Foreign taxes withheld (see Note 1q) | | | (17,042 | ) | | | (5,310 | ) | | | (4,409,465 | ) | | | | |
| | | | | | | | | | | | | | | | |
Total Investment Income | | | 30,249,766 | | | | 5,745,164 | | | | 46,185,369 | | | | | |
| | | | | | | | | | | | | | | | |
| | | | |
| EXPENSES: | | | | | | | | | | | | | | | | |
| | | | |
Investment management fee (Note 2) | | | 9,512,735 | | | | 3,556,303 | | | | 10,497,403 | | | | | |
Transfer agent fees | | | 186,387 | | | | 56,601 | | | | 180,864 | | | | | |
Custody fees | | | 494,410 | | | | 255,395 | | | | 1,083,397 | | | | | |
Trustees’ fees | | | 277,572 | | | | 81,027 | | | | 272,828 | | | | | |
Shareholder reports | | | 224,529 | | | | 252,899 | | | | 227,706 | | | | | |
Insurance | | | 73,123 | | | | 22,930 | | | | 64,073 | | | | | |
Audit and tax | | | 58,438 | | | | 62,914 | | | | 144,051 | | | | | |
Legal fees | | | 64,379 | | | | 18,458 | | | | 60,776 | | | | | |
Registration fees | | | 36,030 | | | | 31,092 | | | | 43,075 | | | | | |
Offering costs | | | — | | | | — | | | | — | | | | | |
Other expense | | | 58,109 | | | | 18,649 | | | | 73,475 | | | | | |
Interest expense | | | — | | | | — | | | | — | | | | | |
| | | | | | | | | | | | | | | | |
Total Expenses | | | 10,985,712 | | | | 4,356,268 | | | | 12,647,648 | | | | | |
Less: Fee waivers and/or expense reimbursement (Note 2) | | | (3,366,743 | ) | | | (1,433,552 | ) | | | (2,486,433 | ) | | | | |
| | | | | | | | | | | | | | | | |
Net Expenses | | | 7,618,969 | | | | 2,922,716 | | | | 10,161,215 | | | | | |
| | | | | | | | | | | | | | | | |
Net Investment Income | | $ | 22,630,797 | | | $ | 2,822,448 | | | $ | 36,024,154 | | | | | |
| | | | | | | | | | | | | | | | |
| | | | |
| REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS, OPTIONS CONTRACTS WRITTEN, UNFUNDED LOAN COMMITMENTS, SHORT SALES, SWAP CONTRACTS, FORWARD FOREIGN CURRENCY CONTRACTS AND FOREIGN CURRENCY TRANSLATIONS (NOTES 1 AND 3): | | | | | | | | | | | | | | | | |
| | | | |
Net Realized Gain (Loss) from: | | | | | | | | | | | | | | | | |
| | | | |
Unaffiliated investments | | $ | 68,873,473 | | | $ | 58,215,291 | | | $ | (44,881,567 | )(a) | | | | |
Affiliated investments | | | 64,927 | | | | — | | | | — | | | | | |
Futures contracts | | | 235,642 | | | | (276,064 | ) | | | 15,343 | | | | | |
Options contracts written | | | — | | | | — | | | | — | | | | | |
Short sales | | | — | | | | — | | | | — | | | | | |
Swap contracts | | | — | | | | — | | | | — | | | | | |
Forward foreign currency contracts | | | — | | | | — | | | | 51,557 | | | | | |
Foreign currency translations | | | 94,806 | | | | 39,779 | | | | (211,465 | ) | | | | |
| | | | | | | | | | | | | | | | |
Net Realized Gain (Loss) | | | 69,268,848 | | | | 57,979,006 | | | | (45,026,132 | ) | | | | |
| | | | | | | | | | | | | | | | |
Change in Net Unrealized Appreciation (Depreciation) from: | | | | | | | | | | | | | | | | |
| | | | |
Unaffiliated investments | | | (77,551,661 | ) | | | (94,369,454 | ) | | | (87,305,229 | ) | | | | |
Affiliated investments | | | (343,587 | ) | | | — | | | | — | | | | | |
Futures contracts | | | (440,956 | ) | | | (117,059 | ) | | | 12,999 | | | | | |
Options contracts written | | | — | | | | — | | | | — | | | | | |
Swap contracts | | | — | | | | — | | | | — | | | | | |
Unfunded loan commitments | | | — | | | | — | | | | — | | | | | |
Forward foreign currency contracts | | | — | | | | — | | | | — | | | | | |
Foreign currency translations | | | (110 | ) | | | 523 | | | | (115,531 | ) | | | | |
| | | | | | | | | | | | | | | | |
Change in Net Unrealized Appreciation (Depreciation): | | | (78,336,314 | ) | | | (94,485,990 | ) | | | (87,407,761 | ) | | | | |
| | | | | | | | | | | | | | | | |
Net Gain (Loss) on Investments, Futures Contracts, Options Contracts Written, Unfunded Loan Commitments, Short Sales, Swap Contracts, Forward Foreign Currency Contracts and Foreign Currency Translations | | | (9,067,466 | ) | | | (36,506,984 | ) | | | (132,433,893 | ) | | | | |
| | | | | | | | | | | | | | | | |
Total Increase (Decrease) in Net Assets from Operations | | $ | 13,563,331 | | | $ | (33,684,536 | ) | | $ | (96,409,739 | ) | | | | |
| | | | | | | | | | | | | | | | |
| (a) | Includes foreign capital gains tax of $66 and $4,576 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.
300
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | 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 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | | $ | 14,915,545 | | | $ | 8,010 | | | $ | 30,639 | | | $ | — | | | $ | 28,000 | | | $ | — | | | $ | — | | | $ | 296,249 | |
| | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | 259,870 | | | | 32,683,032 | | | | 3,291,626 | | | | 2,806,432 | | | | 2,216,645 | | | | 8,666,445 | | | | 16,634,246 | | | | — | |
| | | | | — | | | | 44,118 | | | | — | | | | — | | | | — | | | | — | | | | 12,188 | | | | — | |
| | | | | 168,896 | | | | 2,296 | | | | 6,879 | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | (1,582,925 | ) | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 13,761,386 | | | | 32,737,456 | | | | 3,329,144 | | | | 2,806,432 | | | | 2,244,645 | | | | 8,666,445 | | | | 16,646,434 | | | | 296,249 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | | | 4,465,078 | | | | 3,843,633 | | | | 375,340 | | | | 714,035 | | | | 281,588 | | | | 1,152,036 | | | | 2,538,768 | | | | 187,610 | |
| | | | | 64,226 | | | | 120,338 | | | | 9,994 | | | | 20,261 | | | | 9,163 | | | | 30,220 | | | | 64,328 | | | | 3,185 | |
| | | | | 555,892 | | | | 884,321 | | | | 208,985 | | | | 482,183 | | | | 121,710 | | | | 211,647 | | | | 293,977 | | | | 100,146 | |
| | | | | 80,635 | | | | 153,418 | | | | 9,840 | | | | 24,626 | | | | 11,584 | | | | 40,542 | | | | 88,300 | | | | 1,877 | |
| | | | | 221,044 | | | | 214,175 | | | | 17,231 | | | | 142,896 | | | | 14,290 | | | | 217,859 | | | | 212,759 | | | | 2,438 | |
| | | | | 20,969 | | | | 33,407 | | | | 2,966 | | | | 6,946 | | | | 2,729 | | | | 9,226 | | | | 20,207 | | | | 298 | |
| | | | | 131,780 | | | | 102,387 | | | | 56,060 | | | | 109,705 | | | | 52,511 | | | | 79,460 | | | | 54,920 | | | | 33,275 | |
| | | | | 21,196 | | | | 59,967 | | | | 3,305 | | | | 6,638 | | | | 2,452 | | | | 16,479 | | | | 34,755 | | | | 719 | |
| | | | | 27,224 | | | | 18,904 | | | | 25,648 | | | | 23,679 | | | | 22,390 | | | | 19,169 | | | | 23,979 | | | | 16,633 | |
| | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 18,040 | |
| | | | | 26,275 | | | | 86,366 | | | | 835 | | | | 24,532 | | | | 3,432 | | | | 20,972 | | | | 44,873 | | | | 1,268 | |
| | | | | — | | | | — | | | | — | | | | 222,053 | | | | — | | | | 1,303,477 | | | | 798,482 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 5,614,319 | | | | 5,516,916 | | | | 710,204 | | | | 1,777,554 | | | | 521,849 | | | | 3,101,087 | | | | 4,175,348 | | | | 365,489 | |
| | | | | (1,540,399 | ) | | | (182,721 | ) | | | (108,094 | ) | | | (72,891 | ) | | | — | | | | (116,355 | ) | | | (260,525 | ) | | | (227,270 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 4,073,920 | | | | 5,334,195 | | | | 602,110 | | | | 1,704,663 | | | | 521,849 | | | | 2,984,732 | | | | 3,914,823 | | | | 138,219 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | 9,687,466 | | | $ | 27,403,261 | | | $ | 2,727,034 | | | $ | 1,101,769 | | | $ | 1,722,796 | | | $ | 5,681,713 | | | $ | 12,731,611 | | | $ | 158,030 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | |
|
|
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | | $ | (9,595,430 | )(a) | | $ | 10,608,992 | | | $ | (248,212 | ) | | $ | (416,317 | ) | | $ | 881,412 | | | $ | (1,192,053 | ) | | $ | 1,175,346 | | | $ | (130,569 | ) |
| | | | | — | | | | 15,614 | | | | — | | | | — | | | | — | | | | — | | | | 198 | | | | — | |
| | | | | (177,032 | ) | | | 6,697,636 | | | | — | | | | 2,096,235 | | | | (313,158 | ) | | | (3,073,271 | ) | | | (1,927,636 | ) | | | — | |
| | | | | — | | | | 3,371,150 | | | | — | | | | 191,047 | | | | — | | | | (159,216 | ) | | | — | | | | — | |
| | | | | — | | | | — | | | | — | | | | 479,080 | | | | — | | | | 27,794 | | | | 12,452 | | | | — | |
| | | | | — | | | | (163,785 | ) | | | — | | | | (1,314,070 | ) | | | — | | | | (298,131 | ) | | | (316,498 | ) | | | — | |
| | | | | (10 | ) | | | 221,171 | | | | — | | | | 5,573,876 | | | | — | | | | 2,018,212 | | | | 2,489,490 | | | | — | |
| | | | | (133,467 | ) | | | 21,939 | | | | — | | | | (1,207,026 | ) | | | — | | | | (160,254 | ) | | | (37,618 | ) | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | (9,905,939 | ) | | | 20,772,717 | | | | (248,212 | ) | | | 5,402,825 | | | | 568,254 | | | | (2,836,919 | ) | | | 1,395,734 | | | | (130,569 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | | | (2,922,322 | )(b) | | | 59,518,596 | | | | 228,305 | | | | 8,770,573 | | | | 3,610,834 | | | | 13,681,294 | | | | 3,628,531 | | | | 850,721 | |
| | | | | — | | | | 34,544 | | | | — | | | | — | | | | — | | | | — | | | | 8,293 | | | | — | |
| | | | | (13,576 | ) | | | 7,262 | | | | — | | | | 400,714 | | | | 19,596 | | | | (339,080 | ) | | | (473,694 | ) | | | — | |
| | | | | — | | | | 6,786 | | | | — | | | | (18,665 | ) | | | — | | | | 30,627 | | | | — | | | | — | |
| | | | | — | | | | (5,096,857 | ) | | | — | | | | (2,370,414 | ) | | | — | | | | (1,614,472 | ) | | | (7,734,684 | ) | | | — | |
| | | | | — | | | | 2 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | — | | | | 99,677 | | | | — | | | | 594,718 | | | | — | | | | (500,676 | ) | | | 665,710 | | | | — | |
| | | | | 6,686 | | | | (117,213 | ) | | | — | | | | (189,450 | ) | | | — | | | | (47,408 | ) | | | (248,874 | ) | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | (2,929,212 | ) | | | 54,452,797 | | | | 228,305 | | | | 7,187,476 | | | | 3,630,430 | | | | 11,210,285 | | | | (4,154,718 | ) | | | 850,721 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | (12,835,151 | ) | | | 75,225,514 | | | | (19,907 | ) | | | 12,590,301 | | | | 4,198,684 | | | | 8,373,366 | | | | (2,758,984 | ) | | | 720,152 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | (3,147,685 | ) | | $ | 102,628,775 | | | $ | 2,707,127 | | | $ | 13,692,070 | | | $ | 5,921,480 | | | $ | 14,055,079 | | | $ | 9,972,627 | | | $ | 878,182 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
301
| | |
| | | |
| Statements of Changes in Net Assets | | |
| | |
| For the Year Ended August 31, 2019 and August 31, 2018 | | |
| | | | | | | | | | | | | | | | | | | | |
| | | Large Cap Equity Fund | | | Small-Mid Cap Equity Fund | | | | |
| | | 2019 | | | 2018 | | | 2019 | | | 2018 | | | | |
| OPERATIONS: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income | | $ | 22,630,797 | | | $ | 22,321,653 | | | $ | 2,822,448 | | | $ | 2,980,795 | | | | | |
Net realized gain (loss) | | | 69,268,848 | | | | 172,845,327 | | | | 57,979,006 | | | | 80,126,956 | | | | | |
Change in unrealized appreciation (depreciation) | | | (78,336,314 | ) | | | 107,631,587 | | | | (94,485,990 | ) | | | 49,982,388 | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Increase (Decrease) in Net Assets from
Operations | | | 13,563,331 | | | | 302,798,567 | | | | (33,684,536 | ) | | | 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 | | | 186,428,548 | | | | 220,015,930 | | | | 102,921,348 | | | | 104,187,172 | | | | | |
Reinvestment of distributions | | | 178,200,572 | | | | 79,132,993 | | | | 61,098,668 | | | | 24,674,928 | | | | | |
Cost of shares repurchased | | | (382,597,048 | ) | | | (473,065,474 | ) | | | (166,981,193 | ) | | | (390,950,259 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | |
Increase (Decrease) in Net Assets from Fund Share Transactions | | | (17,967,928 | ) | | | (173,916,551 | ) | | | (2,961,177 | ) | | | (262,088,159 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | |
Increase (Decrease) in Net Assets | | | (182,609,984 | ) | | | 49,747,079 | | | | (97,744,656 | ) | | | (153,673,040 | ) | | | | |
| NET ASSETS: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Beginning of year | | | 1,736,533,138 | | | | 1,686,786,059 | | | | 520,398,818 | | | | 674,071,858 | | | | | |
| | | | | | | | | | | | | | | | | | | | |
End of year | | $ | 1,553,923,154 | | | $ | 1,736,533,138 | † | | $ | 422,654,162 | | | $ | 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 year ended August 31, 2019, which confirm 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.
302
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | International Equity Fund | | | Emerging Markets Equity Fund | | | Core Fixed Income Fund | | | High Yield Fund | |
| | | | 2019 | | | 2018 | | | 2019 | | | 2018 | | | 2019 | | | 2018 | | | 2019 | | | 2018 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | | $ | 36,024,154 | | | $ | 31,279,024 | | | $ | 9,687,466 | | | $ | 7,229,954 | | | $ | 27,403,261 | | | $ | 19,611,648 | | | $ | 2,727,034 | | | $ | 5,527,550 | |
| | | | | (45,026,132 | ) | | | 65,579,169 | | | | (9,905,939 | ) | | | 18,505,790 | | | | 20,772,717 | | | | (8,277,996 | ) | | | (248,212 | ) | | | 2,800,897 | |
| | | | | (87,407,761 | ) | | | (62,778,263 | ) | | | (2,929,212 | ) | | | (53,729,979 | ) | | | 54,452,797 | | | | (21,354,412 | ) | | | 228,305 | | | | (4,428,567 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | (96,409,739 | ) | | | 34,079,930 | | | | (3,147,685 | ) | | | (27,994,235 | ) | | | 102,628,775 | | | | (10,020,760 | ) | | | 2,707,127 | | | | 3,899,880 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | | | (31,325,356 | ) | | | (21,730,393 | )* | | | (7,592,456 | ) | | | (6,507,933 | )* | | | (29,106,437 | ) | | | (21,361,519 | )* | | | (2,874,860 | ) | | | (5,677,244 | )* |
| | | | | — | | | | — | | | | — | | | | — | | | | — | | | | (619,911 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | (31,325,356 | ) | | | (21,730,393 | ) | | | (7,592,456 | ) | | | (6,507,933 | ) | | | (29,106,437 | ) | | | (21,981,430 | ) | | | (2,874,860 | ) | | | (5,677,244 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | | | 239,957,016 | | | | 590,554,489 | | | | 102,041,051 | | | | 131,641,530 | | | | 446,598,356 | | | | 302,094,146 | | | | 11,141,650 | | | | 25,831,513 | |
| | | | | 31,325,332 | | | | 21,730,372 | | | | 7,592,437 | | | | 6,507,915 | | | | 29,106,798 | | | | 21,984,592 | | | | 2,874,977 | | | | 5,678,670 | |
| | | | | (509,040,936 | ) | | | (192,189,924 | ) | | | (104,107,655 | ) | | | (93,562,827 | ) | | | (212,612,744 | ) | | | (135,236,482 | ) | | | (23,401,205 | ) | | | (143,948,790 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | (237,758,588 | ) | | | 420,094,937 | | | | 5,525,833 | | | | 44,586,618 | | | | 263,092,410 | | | | 188,842,256 | | | | (9,384,578 | ) | | | (112,438,607 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | (365,493,683 | ) | | | 432,444,474 | | | | (5,214,308 | ) | | | 10,084,450 | | | | 336,614,748 | | | | 156,840,066 | | | | (9,552,311 | ) | | | (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 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | 1,311,041,819 | | | $ | 1,676,535,502 | † | | $ | 492,552,085 | | | $ | 497,766,393 | † | | $ | 1,203,532,559 | | | $ | 866,917,811 | † | | $ | 48,911,035 | | | $ | 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.
303
| | |
| | | |
| Statements of Changes in Net Assets | | |
| | |
| For the Year/Period Ended August 31, 2019 and August 31, 2018 | | |
| | | | | | | | | | | | | | | | | | | | |
| | | International Fixed Income Fund | | | Municipal Bond Fund | | | | |
| | | 2019 | | | 2018 | | | 2019 | | | 2018 | | | | |
| OPERATIONS: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income (loss) | | $ | 1,101,769 | | | $ | 2,591,102 | | | $ | 1,722,796 | | | $ | 1,582,831 | | | | | |
Net realized gain (loss) | | | 5,402,825 | | | | 1,288,073 | | | | 568,254 | | | | 320,471 | | | | | |
Change in unrealized appreciation (depreciation) | | | 7,187,476 | | | | (574,567 | ) | | | 3,630,430 | | | | (2,058,138 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | |
Increase (Decrease) in Net Assets from Operations | | | 13,692,070 | | | | 3,304,608 | | | | 5,921,480 | | | | (154,836 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | |
| DISTRIBUTIONS TO SHAREHOLDERS (NOTE 1): | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Distributable earnings | | | (4,871,339 | ) | | | (1,759,541 | )* | | | (1,901,725 | ) | | | (1,581,149 | )* | | | | |
| | | | | | | | | | | | | | | | | | | | |
Decrease in Net Assets from Distributions to Shareholders | | | (4,871,339 | ) | | | (1,759,541 | ) | | | (1,901,725 | ) | | | (1,581,149 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | |
| FUND SHARE TRANSACTIONS (NOTE 4): | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net proceeds from sale of shares | | | 20,468,860 | | | | 26,110,756 | | | | 35,161,516 | | | | 14,408,545 | | | | | |
Reinvestment of distributions | | | 4,871,339 | | | | 1,759,541 | | | | 1,901,976 | | | | 1,580,926 | | | | | |
Cost of shares repurchased | | | (31,758,662 | ) | | | (32,621,820 | ) | | | (19,072,643 | ) | | | (8,566,766 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | |
Increase (Decrease) in Net Assets from Fund Share Transactions | | | (6,418,463 | ) | | | (4,751,523 | ) | | | 17,990,849 | | | | 7,422,705 | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Increase (Decrease) in Net Assets | | | 2,402,268 | | | | (3,206,456 | ) | | | 22,010,604 | | | | 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 | | $ | 146,998,937 | | | $ | 144,596,669 | † | | $ | 85,634,634 | | | $ | 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 year ended August 31, 2019, which confirm 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.
304
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | Inflation-Linked Fixed Income Fund | | | Ultra-Short Term Fixed Income Fund | | | Alternative Strategies Fund | |
| | | | 2019 | | | 2018 | | | 2019 | | | 2018 | | | 2019 | | | 2018(a) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | | | $ | 5,681,713 | | | $ | 6,695,369 | | | $ | 12,731,611 | | | $ | 6,991,652 | | | $ | 158,030 | | | $ | (16,932 | ) |
| | | | | (2,836,919 | ) | | | (489,734 | ) | | | 1,395,734 | | | | 1,532,766 | | | | (130,569 | ) | | | (2,981 | ) |
| | | | | 11,210,285 | | | | (4,729,345 | ) | | | (4,154,718 | ) | | | (810,625 | ) | | | 850,721 | | | | 25,187 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 14,055,079 | | | | 1,476,290 | | | | 9,972,627 | | | | 7,713,793 | | | | 878,182 | | | | 5,274 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | | | | (5,096,357 | ) | | | (7,721,464 | )* | | | (13,471,881 | ) | | | (8,446,300 | )* | | | (95,504 | ) | | | — | * |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | (5,096,357 | ) | | | (7,721,464 | ) | | | (13,471,881 | ) | | | (8,446,300 | ) | | | (95,504 | ) | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | | | | 29,466,773 | | | | 91,224,733 | | | | 105,555,158 | | | | 274,391,020 | | | | 26,545,340 | | | | 5,854,954 | |
| | | | | 5,096,511 | | | | 7,722,192 | | | | 13,472,931 | | | | 8,446,487 | | | | 95,504 | | | | — | |
| | | | | (66,776,158 | ) | | | (43,271,943 | ) | | | (125,374,618 | ) | | | (50,699,785 | ) | | | (6,302,023 | ) | | | (131,167 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | (32,212,874 | ) | | | 55,674,982 | | | | (6,346,529 | ) | | | 232,137,722 | | | | 20,338,821 | | | | 5,723,787 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | (23,254,152 | ) | | | 49,429,808 | | | | (9,845,783 | ) | | | 231,405,215 | | | | 21,121,499 | | | | 5,729,061 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | | | | 239,918,450 | | | | 190,488,642 | | | | 507,135,430 | | | | 275,730,215 | | | | 5,729,061 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | 216,664,298 | | | $ | 239,918,450 | † | | $ | 497,289,647 | | | $ | 507,135,430 | † | | $ | 26,850,560 | | | $ | 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.
305
| | |
| For the Year Ended August 31, 2019 | | |
| | | | | | | | |
| | | 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 | | $ | 13,692,070 | | | $ | 14,055,079 | |
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 | | | (465,876,980 | ) | | | (448,660,443 | ) |
Proceeds from the sale and maturity of long-term investments | | | 435,938,331 | | | | 431,061,692 | |
Proceeds from short-term investments, net | | | 16,191,715 | | | | 4,549,210 | |
Increase/Decrease to the principal amount of inflation-indexed bonds | | | 379,056 | | | | (3,660,681 | ) |
Change in net unrealized appreciation/depreciation from unaffiliated investments | | | (8,770,573 | ) | | | (13,681,294 | ) |
Change in net unrealized appreciation/depreciation on option contracts written | | | 18,665 | | | | (30,627 | ) |
Change in net unrealized appreciation/depreciation on open OTC swap contracts | | | 185,193 | | | | 50,235 | |
Increase/Decrease in variation margin on open centrally cleared swap contracts | | | 155,731 | | | | (28,856 | ) |
Net amortization (accretion) of premiums (discounts) of investments | | | 595,472 | | | | (1,124,453 | ) |
Net realized loss from unaffiliated investments | | | 416,317 | | | | 1,192,053 | |
Increase in premium received on options contracts written | | | 92,444 | | | | 74,594 | |
Increase in variation margin on open futures contracts | | | (21,655 | ) | | | (70,537 | ) |
Increase/Decrease in receivable for securities sold | | | (1,306,112 | ) | | | 756,892 | |
Increase in receivable for TBA securities sold | | | (26,012,940 | ) | | | (50,210,025 | ) |
Decrease in dividends and interest receivable from unaffiliated investments | | | 183,849 | | | | 212,696 | |
Increase/Decrease in deposits for collateral with counterparty | | | 149,000 | | | | (416,000 | ) |
Increase/Decrease in net upfront payments received/paid on open OTC swap contracts | | | 26,493 | | | | (78,562 | ) |
Increase in prepaid expenses | | | (575 | ) | | | (8,969 | ) |
Increase/Decrease in unrealized appreciation on open forward foreign currency contracts | | | (368,850 | ) | | | 489,066 | |
Decrease in payable for securities purchased | | | (859,404 | ) | | | (128,109 | ) |
Increase in payable for TBA securities purchased | | | 43,600,949 | | | | 84,589,189 | |
Decrease in payable for short sales | | | — | | | | (5,775 | ) |
Decrease in deposits for collateral from counterparty | | | (200,000 | ) | | | (287,000 | ) |
Increase/Decrease in investment management fee payable | | | 722 | | | | (8,847 | ) |
Decrease in interest expense payable | | | (6,312 | ) | | | (41,665 | ) |
Decrease in custody fee payable | | | (22,352 | ) | | | (35,207 | ) |
Increase in transfer agent fees payable | | | 224 | | | | 288 | |
Increase/Decrease in unrealized depreciation on open forward foreign currency contracts | | | (225,868 | ) | | | 11,610 | |
Increase in accrued expenses | | | 5,187 | | | | 35,469 | |
| | | | | | | | |
Net cash and foreign currency provided by operating activities | | | 7,959,797 | | | | 18,601,023 | |
| | | | | | | | |
| | |
Cash Flows Provided by/Used in Financing Activities: | | | | | | | | |
Proceeds from sale-buyback transactions | | | 43,399,304 | | | | 247,478,995 | |
Payments on sale-buyback transactions | | | (42,628,919 | ) | | | (242,524,413 | ) |
Proceeds from reverse repurchase agreements | | | 2,576,526 | | | | 12,130,422 | |
Proceeds from sale of shares | | | 20,672,671 | | | | 29,699,285 | |
Cost of shares repurchased | | | (31,837,009 | ) | | | (66,970,317 | ) |
Distributions to shareholders, net of reinvestments | | | — | | | | (23 | ) |
| | | | | | | | |
Net cash and foreign currency used in financing activities | | | (7,817,427 | ) | | | (20,186,051 | ) |
| | | | | | | | |
Net increase/decrease in cash and foreign currency (a) | | | 142,370 | | | | (1,585,028 | ) |
| | | | | | | | |
| | |
Cash and Foreign Currency: | | | | | | | | |
Cash and foreign currency at beginning of the year | | | 116,590 | | | | 1,512,020 | |
| | | | | | | | |
Cash and foreign currency at end of the year | | $ | 258,960 | | | $ | (73,008 | ) |
| | | | | | | | |
| | |
Non-Cash Financing Activities: | | | | | | | | |
Reinvestment of distributions | | $ | 4,871,339 | | | $ | 5,096,511 | |
| | | | | | | | |
| (a) | Includes net change in unrealized appreciation (depreciation) on foreign currency of $130,086 and $6,560 for International Fixed Income Fund and Inflation-Linked Fixed Income Fund, respectively. |
See Notes to Financial Statements.
306
For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:
| | | | | | | | | | | | | | | | | | | | |
|
| Large Cap Equity Fund | |
| | | 2019 | | | 2018 | | | 2017 | | | 2016 | | | 2015 | |
Net Asset Value, Beginning of Year | | $ | 21.31 | | | $ | 18.76 | | | $ | 17.06 | | | $ | 20.63 | | | $ | 22.19 | |
| | | | | | | | | | | | | | | | | | | | |
| Income from Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income(1) | | | 0.27 | | | | 0.26 | | | | 0.25 | | | | 0.19 | | | | 0.08 | |
Net realized and unrealized gain (loss) | | | (0.24 | ) | | | 3.18 | | | | 2.05 | | | | 1.15 | | | | 0.87 | |
| | | | | | | | | | | | | | | | | | | | |
Total Income from Operations | | | 0.03 | | | | 3.44 | | | | 2.30 | | | | 1.34 | | | | 0.95 | |
| | | | | | | | | | | | | | | | | | | | |
| Less Distributions from: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.34 | ) | | | (0.24 | ) | | | (0.27 | ) | | | (0.11 | ) | | | (0.07 | ) |
Net realized gain | | | (1.90 | ) | | | (0.65 | ) | | | (0.33 | ) | | | (4.80 | ) | | | (2.44 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (2.24 | ) | | | (0.89 | ) | | | (0.60 | ) | | | (4.91 | ) | | | (2.51 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Year | | $ | 19.10 | | | $ | 21.31 | | | $ | 18.76 | | | $ | 17.06 | | | $ | 20.63 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return†(2) | | | 1.32 | % | | | 18.89 | % | | | 13.86 | % | | | 7.08 | % | | | 4.39 | %(3) |
Net Assets, End of Year (millions) | | $ | 1,554 | | | $ | 1,737 | | | $ | 1,687 | | | $ | 1,709 | | | $ | 1,353 | |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | 0.69 | % | | | 0.69 | % | | | 0.69 | % | | | 0.69 | % | | | 0.68 | % |
Net expenses(4) | | | 0.48 | | | | 0.48 | | | | 0.48 | | | | 0.56 | | | | 0.68 | |
Net investment income | | | 1.43 | | | | 1.29 | | | | 1.40 | | | | 1.10 | | | | 0.36 | |
Portfolio Turnover Rate | | | 13 | % | | | 29 | % | | | 18 | % | | | 105 | % | | | 66 | % |
| (1) | Per share amounts have been calculated using the average shares method. |
| (2) | 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. Effective October 1, 2018, the new advisory program charge is 2.00%. Past performance is no guarantee of future results. |
| (3) | 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. |
| (4) | Reflects fee waivers and/or expense reimbursements. |
| † | Calculated based on the net asset value as of the last business day of the period. |
See Notes to Financial Statements.
307
For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:
| | | | | | | | | | | | | | | | | | | | |
|
| Small-Mid Cap Equity Fund | |
| | | 2019 | | | 2018 | | | 2017 | | | 2016 | | | 2015 | |
Net Asset Value, Beginning of Year | | $ | 23.06 | | | $ | 19.53 | | | $ | 17.40 | | | $ | 24.39 | | | $ | 28.53 | |
| | | | | | | | | | | | | | | | | | | | |
| Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss)(1) | | | 0.12 | | | | 0.10 | | | | 0.10 | | | | 0.05 | | | | (0.12 | ) |
Net realized and unrealized gain (loss) | | | (1.83 | ) | | | 4.14 | | | | 2.39 | | | | (1.22 | ) | | | 1.93 | |
| | | | | | | | | | | | | | | | | | | | |
Total Income (Loss) from Operations | | | (1.71 | ) | | | 4.24 | | | | 2.49 | | | | (1.17 | ) | | | 1.81 | |
| | | | | | | | | | | | | | | | | | | | |
| 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 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (2.75 | ) | | | (0.71 | ) | | | (0.36 | ) | | | (5.82 | ) | | | (5.95 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Year | | $ | 18.60 | | | $ | 23.06 | | | $ | 19.53 | | | $ | 17.40 | | | $ | 24.39 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return†(2) | | | (6.25 | )% | | | 22.17 | % | | | 14.49 | % | | | (5.51 | )% | | | 7.36 | %(3) |
Net Assets, End of Year (millions) | | $ | 423 | | | $ | 520 | | | $ | 674 | | | $ | 475 | | | $ | 229 | |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | 0.98 | % | | | 0.92 | % | | | 0.94 | % | | | 0.99 | % | | | 0.93 | % |
Net expenses(4) | | | 0.66 | | | | 0.61 | | | | 0.63 | | | | 0.79 | | | | 0.93 | |
Net investment income (loss) | | | 0.63 | | | | 0.47 | | | | 0.52 | | | | 0.28 | | | | (0.45 | ) |
Portfolio Turnover Rate | | | 65 | % | | | 34 | % | | | 34 | % | | | 151 | % | | | 89 | % |
| (1) | Per share amounts have been calculated using the average shares method. |
| (2) | 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. Effective October 1, 2018, the new advisory program charge is 2.00%. Past performance is no guarantee of future results. |
| (3) | 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%. |
| (4) | Reflects fee waivers and/or expense reimbursements. |
| † | Calculated based on the net asset value as of the last business day of the period. |
See Notes to Financial Statements.
308
For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:
| | | | | | | | | | | | | | | | | | | | |
|
| International Equity Fund | |
| | | 2019 | | | 2018 | | | 2017 | | | 2016 | | | 2015 | |
Net Asset Value, Beginning of Year | | $ | 12.64 | | | $ | 12.34 | | | $ | 10.83 | | | $ | 10.91 | | | $ | 12.03 | |
| | | | | | | | | | | | | | | | | | | | |
| Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income(1) | | | 0.28 | | | | 0.27 | | | | 0.24 | | | | 0.21 | | | | 0.21 | |
Net realized and unrealized gain (loss) | | | (1.09 | ) | | | 0.24 | | | | 1.56 | | | | (0.10 | ) | | | (1.13 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Income (Loss) from Operations | | | (0.81 | ) | | | 0.51 | | | | 1.80 | | | | 0.11 | | | | (0.92 | ) |
| | | | | | | | | | | | | | | | | | | | |
| Less Distributions from: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.24 | ) | | | (0.21 | ) | | | (0.29 | ) | | | (0.19 | ) | | | (0.20 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Year | | $ | 11.59 | | | $ | 12.64 | | | $ | 12.34 | | | $ | 10.83 | | | $ | 10.91 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return†(2) | | | (6.34 | )% | | | 4.15 | % | | | 17.14 | % | | | 0.96 | % | | | (7.68 | )%(3) |
Net Assets, End of Year (millions) | | $ | 1,311 | | | $ | 1,677 | | | $ | 1,244 | | | $ | 1,122 | | | $ | 1,202 | |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | 0.84 | % | | | 0.83 | % | | | 0.83 | % | | | 0.82 | % | | | 0.81 | % |
Net expenses(4) | | | 0.68 | | | | 0.66 | | | | 0.65 | | | | 0.76 | | | | 0.79 | |
Net investment income | | | 2.40 | | | | 2.07 | | | | 2.15 | | | | 2.02 | | | | 1.80 | |
Portfolio Turnover Rate | | | 28 | % | | | 41 | % | | | 27 | % | | | 64 | % | | | 80 | % |
| (1) | Per share amounts have been calculated using the average shares method. |
| (2) | 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. Effective October 1, 2018, the new advisory program charge is 2.00%. Past performance is no guarantee of future results. |
| (3) | 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)%. |
| (4) | Reflects fee waivers and/or expense reimbursements. |
| † | Calculated based on the net asset value as of the last business day of the period. |
| | | | | | | | | | | | | | | | | | | | |
|
| Emerging Markets Equity Fund | |
| | | 2019 | | | 2018 | | | 2017 | | | 2016 | | | 2015 | |
Net Asset Value, Beginning of Year | | $ | 14.29 | | | $ | 15.33 | | | $ | 12.36 | | | $ | 10.87 | | | | $14.54 | |
| | | | | | | | | | | | | | | | | | | | |
| Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income(1) | | | 0.27 | | | | 0.22 | | | | 0.20 | | | | 0.13 | | | | 0.17 | |
Net realized and unrealized gain (loss) | | | (0.34 | ) | | | (1.06 | ) | | | 2.90 | | | | 1.51 | | | | (3.64 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Income (Loss) from Operations | | | (0.07 | ) | | | (0.84 | ) | | | 3.10 | | | | 1.64 | | | | (3.47 | ) |
| | | | | | | | | | | | | | | | | | | | |
| Less Distributions from: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.22 | ) | | | (0.20 | ) | | | (0.13 | ) | | | (0.15 | ) | | | (0.20 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Year | | $ | 14.00 | | | $ | 14.29 | | | $ | 15.33 | | | $ | 12.36 | | | | $10.87 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return†(2) | | | (0.40 | )% | | | (5.55 | )% | | | 25.48 | % | | | 15.31 | % | | | (24.08 | )% |
Net Assets, End of Year (millions) | | $ | 493 | | | $ | 498 | | | $ | 488 | | | $ | 428 | | | $ | 464 | |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | 1.13 | % | | | 1.11 | % | | | 1.14 | % | | | 1.13 | % | | | 1.08 | % |
Net expenses(3) | | | 0.82 | | | | 0.80 | | | | 0.86 | | | | 0.96 | | | | 0.96 | |
Net investment income | | | 1.95 | | | | 1.42 | | | | 1.51 | | | | 1.15 | | | | 1.34 | |
Portfolio Turnover Rate | | | 22 | % | | | 24 | % | | | 27 | % | | | 99 | % | | | 41 | % |
| (1) | Per share amounts have been calculated using the average shares method. |
| (2) | 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. Effective October 1, 2018, the new advisory program charge is 2.00%. Past performance is no guarantee of future results. |
| (3) | Reflects fee waivers and/or expense reimbursements. |
| † | Calculated based on the net asset value as of the last business day of the period. |
See Notes to Financial Statements.
309
For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:
| | | | | | | | | | | | | | | | | | | | |
|
| Core Fixed Income Fund | |
| | | 2019 | | | 2018 | | | 2017 | | | 2016 | | | 2015 | |
Net Asset Value, Beginning of Year | | $ | 7.86 | | | $ | 8.19 | | | $ | 8.41 | | | $ | 8.23 | | | $ | 8.44 | |
| | | | | | | | | | | | | | | | | | | | |
| Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income(1) | | | 0.23 | | | | 0.20 | | | | 0.19 | | | | 0.20 | | | | 0.17 | |
Net realized and unrealized gain (loss) | | | 0.57 | | | | (0.31 | ) | | | (0.11 | ) | | | 0.27 | | | | (0.06 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Income (Loss) from Operations | | | 0.80 | | | | (0.11 | ) | | | 0.08 | | | | 0.47 | | | | 0.11 | |
| | | | | | | | | | | | | | | | | | | | |
| Less Distributions from: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.24 | ) | | | (0.21 | ) | | | (0.22 | ) | | | (0.23 | ) | | | (0.20 | ) |
Tax return of capital | | | — | | | | (0.01 | ) | | | — | | | | — | | | | — | |
Net realized gain | | | — | | | | — | | | | (0.08 | ) | | | (0.06 | ) | | | (0.12 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.24 | ) | | | (0.22 | ) | | | (0.30 | ) | | | (0.29 | ) | | | (0.32 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Year | | $ | 8.42 | | | $ | 7.86 | | | $ | 8.19 | | | $ | 8.41 | | | $ | 8.23 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return†(2) | | | 10.39 | % | | | (1.35 | )% | | | 1.07 | % | | | 5.84 | % | | | 1.35 | % |
Net Assets, End of Year (millions) | | $ | 1,204 | | | $ | 867 | | | $ | 710 | | | $ | 722 | | | $ | 859 | |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | 0.57 | % | | | 0.57 | % | | | 0.58 | %(3) | | | 0.55 | %(3) | | | 0.54 | %(3) |
Net expenses(4) | | | 0.56 | | | | 0.56 | | | | 0.56 | (3) | | | 0.54 | (3) | | | 0.55 | (3) |
Net investment income | | | 2.85 | | | | 2.49 | | | | 2.32 | | | | 2.42 | | | | 2.06 | |
Portfolio Turnover Rate | | | 210 | % | | | 253 | % | | | 236 | % | | | 245 | % | | | 326 | % |
| (1) | Per share amounts have been calculated using the average shares method. |
| (2) | 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. Effective October 1, 2018, the new advisory program charge is 2.00%. Past performance is no guarantee of future results. |
| (3) | Ratio includes interest expense reverse repurchase agreements which represents less than 0.005%. |
| (4) | Reflects fee waivers and/or expense reimbursements. |
| † | Calculated based on the net asset value as of the last business day of the period. |
See Notes to Financial Statements.
310
For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:
| | | | | | | | | | | | | | | | | | | | |
|
| High Yield Fund | |
| | | 2019 | | | 2018 | | | 2017 | | | 2016 | | | 2015 | |
Net Asset Value, Beginning of Year | | $ | 3.77 | | | $ | 3.86 | | | $ | 3.78 | | | $ | 3.88 | | | $ | 4.41 | |
| | | | | | | | | | | | | | | | | | | | |
| Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income(1) | | | 0.19 | | | | 0.20 | | | | 0.22 | | | | 0.23 | | | | 0.24 | |
Net realized and unrealized gain (loss) | | | 0.00 | | | | (0.08 | ) | | | 0.10 | | | | (0.09 | ) | | | (0.50 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Income (Loss) from Operations | | | 0.19 | | | | 0.12 | | | | 0.32 | | | | 0.14 | | | | (0.26 | ) |
| | | | | | | | | | | | | | | | | | | | |
| Less Distributions from: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.20 | ) | | | (0.21 | ) | | | (0.24 | ) | | | (0.24 | ) | | | (0.27 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Year | | $ | 3.76 | | | $ | 3.77 | | | $ | 3.86 | | | $ | 3.78 | | | $ | 3.88 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return†(2) | | | 5.58 | % | | | 3.20 | % | | | 8.38 | % | | | 4.02 | % | | | (6.14 | )% |
Net Assets, End of Year (millions) | | $ | 49 | | | $ | 58 | | | $ | 173 | | | $ | 325 | | | $ | 254 | |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | 1.32 | % | | | 1.17 | % | | | 0.95 | % | | | 0.88 | % | | | 0.90 | % |
Net expenses(3) | | | 1.12 | | | | 0.97 | | | | 0.75 | | | | 0.70 | | | | 0.74 | |
Net investment income | | | 5.09 | | | | 5.27 | | | | 5.65 | | | | 6.21 | | | | 5.74 | |
Portfolio Turnover Rate | | | 43 | % | | | 57 | % | | | 72 | % | | | 64 | % | | | 42 | % |
| (1) | Per share amounts have been calculated using the average shares method. |
| (2) | 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. Effective October 1, 2018, the new advisory program charge is 2.00%. Past performance is no guarantee of future results. |
| (3) | Reflects fee waivers and/or expense reimbursements. |
| † | Calculated based on the net asset value as of the last business day of the period. |
| | | | | | | | | | | | | | | | | | | | |
|
| International Fixed Income Fund | |
| | | 2019 | | | 2018 | | | 2017 | | | 2016 | | | 2015 | |
Net Asset Value, Beginning of Year | | $ | 7.86 | | | $ | 7.78 | | | $ | 7.79 | | | $ | 7.61 | | | $ | 8.04 | |
| | | | | | | | | | | | | | | | | | | | |
| Income from Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income(1) | | | 0.06 | | | | 0.14 | | | | 0.14 | | | | 0.13 | | | | 0.13 | |
Net realized and unrealized gain (loss) | | | 0.70 | | | | 0.03 | | | | (0.07 | ) | | | 0.56 | | | | (0.09 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Income from Operations | | | 0.76 | | | | 0.17 | | | | 0.07 | | | | 0.69 | | | | 0.04 | |
| | | | | | | | | | | | | | | | | | | | |
| Less Distributions from: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.27 | ) | | | (0.09 | ) | | | (0.08 | ) | | | (0.51 | ) | | | (0.47 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Year | | $ | 8.35 | | | $ | 7.86 | | | $ | 7.78 | | | $ | 7.79 | | | $ | 7.61 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return†(2) | | | 10.01 | % | | | 2.25 | % | | | 0.98 | % | | | 9.56 | % | | | 0.44 | % |
Net Assets, End of Year (millions) | | $ | 147 | | | $ | 145 | | | $ | 148 | | | $ | 192 | | | $ | 223 | |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
Gross expenses(3) | | | 1.24 | % | | | 1.01 | % | | | 1.06 | % | | | 0.87 | % | | | 0.87 | % |
Net expenses(3) | | | 1.19 | (4) | | | 0.95 | (4) | | | 1.01 | (4) | | | 0.83 | (4) | | | 0.87 | |
Net investment income | | | 0.77 | | | | 1.76 | | | | 1.82 | | | | 1.71 | | | | 1.61 | |
Portfolio Turnover Rate | | | 265 | % | | | 203 | % | | | 268 | % | | | 199 | % | | | 416 | % |
| (1) | Per share amounts have been calculated using the average shares method. |
| (2) | 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. Effective October 1, 2018, the new advisory program charge is 2.00%. Past performance is no guarantee of future results. |
| (3) | Ratio includes interest expense on reverse repurchase agreements which represents 0.15%, 0.04%, 0.11%, 0.04% and 0.10%, respectively. |
| (4) | Reflects fee waivers and/or expense reimbursements. |
| † | Calculated based on the net asset value as of the last business day of the period. |
See Notes to Financial Statements.
311
For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:
| | | | | | | | | | | | | | | | | | | | |
|
| Municipal Bond Fund | |
| | | 2019 | | | 2018 | | | 2017 | | | 2016 | | | 2015 | |
Net Asset Value, Beginning of Year | | $ | 9.11 | | | $ | 9.37 | | | $ | 9.93 | | | $ | 9.65 | | | $ | 9.76 | |
| | | | | | | | | | | | | | | | | | | | |
| Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income(1) | | | 0.23 | | | | 0.24 | | | | 0.27 | | | | 0.28 | | | | 0.28 | |
Net realized and unrealized gain (loss) | | | 0.52 | | | | (0.26 | ) | | | (0.31 | ) | | | 0.30 | | | | (0.06 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Income (Loss) from Operations | | | 0.75 | | | | (0.02 | ) | | | (0.04 | ) | | | 0.58 | | | | 0.22 | |
| | | | | | | | | | | | | | | | | | | | |
| Less Distributions from: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.22 | ) | | | (0.24 | ) | | | (0.27 | ) | | | (0.28 | ) | | | (0.28 | ) |
Net realized gain | | | (0.03 | ) | | | — | | | | (0.25 | ) | | | (0.02 | ) | | | (0.05 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.25 | ) | | | (0.24 | ) | | | (0.52 | ) | | | (0.30 | ) | | | (0.33 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Year | | $ | 9.61 | | | $ | 9.11 | | | $ | 9.37 | | | $ | 9.93 | | | $ | 9.65 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return†(2) | | | 8.38 | % | | | (0.21 | )% | | | (0.22 | )% | | | 6.14 | % | | | 2.32 | % |
Net Assets, End of Year (millions) | | $ | 86 | | | $ | 64 | | | $ | 58 | | | $ | 69 | | | $ | 85 | |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | 0.74 | % | | | 0.72 | % | | | 0.75 | % | | | 0.68 | % | | | 0.66 | % |
Net expenses | | | 0.74 | | | | 0.72 | | | | 0.75 | | | | 0.68 | | | | 0.66 | |
Net investment income | | | 2.44 | | | | 2.61 | | | | 2.85 | | | | 2.87 | | | | 2.91 | |
Portfolio Turnover Rate | | | 42 | % | | | 18 | % | | | 13 | % | | | 16 | % | | | 8 | % |
| (1) | Per share amounts have been calculated using the average shares method. |
| (2) | 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. Effective October 1, 2018, the new advisory program charge is 2.00%. Past performance is no guarantee of future results. |
| † | Calculated based on the net asset value as of the last business day of the period. |
See Notes to Financial Statements.
312
For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:
| | | | | | | | | | | | | | | | |
|
| Inflation-Linked Fixed Income Fund | |
| | | 2019 | | | 2018 | | | 2017 | | | 2016(1) | |
Net Asset Value, Beginning of Year/Period | | $ | 9.79 | | | $ | 10.08 | | | $ | 10.23 | | | $ | 10.00 | |
| | | | | | | | | | | | | | | | |
| Income from Operations: | | | | | | | | | | | | | | | | |
Net investment income(2) | | | 0.24 | | | | 0.30 | | | | 0.23 | | | | 0.14 | |
Net realized and unrealized gain (loss) | | | 0.38 | | | | (0.25 | ) | | | (0.13 | ) | | | 0.32 | |
| | | | | | | | | | | | | | | | |
Total Income from Operations | | | 0.62 | | | | 0.05 | | | | 0.10 | | | | 0.46 | |
| | | | | | | | | | | | | | | | |
| Less Distributions from: | | | | | | | | | | | | | | | | |
Net investment income | | | (0.22 | ) | | | (0.34 | ) | | | (0.24 | ) | | | (0.23 | ) |
Net realized gain | | | — | | | | — | | | | (0.01 | ) | | | — | |
| | | | | | | | | | | | | | | | |
Total Distributions | | | (0.22 | ) | | | (0.34 | ) | | | (0.25 | ) | | | (0.23 | ) |
| | | | | | | | | | | | | | | | |
Net Asset Value, End of Year/Period | | $ | 10.19 | | | $ | 9.79 | | | $ | 10.08 | | | $ | 10.23 | |
| | | | | | | | | | | | | | | | |
Total Return†(3) | | | 6.42 | % | | | 0.55 | % | | | 1.05 | % | | | 4.59 | %(7) |
Net Assets, End of Year/Period (millions) | | $ | 217 | | | $ | 240 | | | $ | 190 | | | $ | 159 | |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | |
Gross expenses(4) | | | 1.35 | % | | | 1.27 | % | | | 1.15 | % | | | 1.03 | %(5) |
Net expenses(4)(6) | | | 1.30 | | | | 1.22 | | | | 1.10 | | | | 0.99 | (5) |
Net investment income | | | 2.47 | | | | 3.07 | | | | 2.25 | | | | 2.91 | (5) |
Portfolio Turnover Rate | | | 143 | % | | | 72 | % | | | 120 | % | | | 35 | %(7) |
| (1) | For the period from Fund inception (March 8, 2016) through the period ended August 31, 2016. |
| (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. Effective October 1, 2018, the new advisory program charge is 2.00%. Past performance is no guarantee of future results. |
| (4) | Ratio includes interest expense on reverse repurchase agreements which represents 0.55%, 0.49%, 0.29% and 0.19%, respectively. |
| (6) | Reflects fee waivers and/or expense reimbursements. |
| † | Calculated based on the net asset value as of the last business day of the period. |
See Notes to Financial Statements.
313
For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:
| | | | | | | | | | | | | | | | |
|
| Ultra-Short Term Fixed Income Fund | |
| | | 2019 | | | 2018 | | | 2017 | | | 2016(1) | |
Net Asset Value, Beginning of Year/Period | | $ | 9.97 | | | $ | 9.99 | | | $ | 10.00 | | | $ | 10.00 | |
| | | | | | | | | | | | | | | | |
| Income from Operations: | | | | | | | | | | | | | | | | |
Net investment income(2) | | | 0.25 | | | | 0.19 | | | | 0.13 | | | | 0.07 | |
Net realized and unrealized gain (loss) | | | (0.06 | ) | | | 0.02 | | | | 0.08 | | | | 0.02 | |
| | | | | | | | | | | | | | | | |
Total Income from Operations | | | 0.19 | | | | 0.21 | | | | 0.21 | | | | 0.09 | |
| | | | | | | | | | | | | | | | |
| Less Distributions from: | | | | | | | | | | | | | | | | |
Net investment income | | | (0.26 | ) | | | (0.23 | ) | | | (0.22 | ) | | | (0.09 | ) |
| | | | | | | | | | | | | | | | |
Net Asset Value, End of Year/Period | | $ | 9.90 | | | $ | 9.97 | | | $ | 9.99 | | | $ | 10.00 | |
| | | | | | | | | | | | | | | | |
Total Return†(3) | | | 2.07 | % | | | 2.09 | % | | | 2.14 | % | | | 0.89 | %(7) |
Net Assets, End of Year/Period (millions) | | $ | 497 | | | $ | 507 | | | $ | 276 | | | $ | 162 | |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | |
Gross expenses(4) | | | 0.82 | % | | | 0.71 | % | | | 0.84 | % | | | 0.81 | %(5) |
Net expenses(4)(6) | | | 0.77 | | | | 0.66 | | | | 0.79 | | | | 0.77 | (5) |
Net investment income | | | 2.51 | | | | 1.90 | | | | 1.29 | | | | 1.47 | (5) |
Portfolio Turnover Rate | | | 97 | % | | | 128 | % | | | 103 | % | | | 100 | %(7) |
| (1) | For the period from Fund inception (March 8, 2016) through the period ended August 31, 2016. |
| (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. Effective October 1, 2018, the new advisory program charge is 2.00%. Past performance is no guarantee of future results. |
| (4) | Ratio includes interest expense on reverse repurchase agreements which represents 0.07%, 0.04%, 0.05% and 0.02%, respectively. |
| (6) | Reflects fee waivers and/or expense reimbursements. |
| † | Calculated based on the net asset value as of the last business day of the period. |
See Notes to Financial Statements.
314
For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:
| | | | | | | | |
|
| Alternative Strategies Fund | |
| | | 2019 | | | 2018(1) | |
Net Asset Value, Beginning of Year/Period | | $ | 9.88 | | | $ | 10.00 | |
| | | | | | | | |
| Income (Loss) from Operations: | | | | | | | | |
Net investment income (loss)(2) | | | 0.10 | | | | (0.09 | ) |
Net realized and unrealized gain (loss) | | | 0.19 | | | | (0.03 | ) |
| | | | | | | | |
Total Income (Loss) from Operations | | | 0.29 | | | | (0.12 | ) |
| | | | | | | | |
| Less Distributions from: | | | | | | | | |
Net investment income | | | (0.07 | ) | | | — | |
| | | | | | | | |
Net Asset Value, End of Year/Period | | $ | 10.10 | | | $ | 9.88 | |
| | | | | | | | |
Total Return†(3) | | | 2.90 | % | | | (1.20 | )%(6) |
Net Assets, End of Year/Period (millions) | | $ | 27 | | | $ | 6 | |
| Ratios to Average Net Assets: | | | | | | | | |
Gross expenses | | | 2.34 | % | | | 11.00 | %(4) |
Net expenses(5) | | | 0.88 | | | | 1.95 | (4) |
Net investment income (loss) | | | 1.01 | | | | (1.72 | )(4) |
Portfolio Turnover Rate | | | 16 | % | | | 14 | %(6) |
| (1) | For the period from Fund inception (February 15, 2018) through the period ended August 31, 2018. |
| (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. Effective October 1, 2018, the new advisory program charge is 2.00%. Past performance is no guarantee of future results. |
| (5) | Reflects fee waivers and/or expense reimbursements. |
| † | Calculated based on the net asset value as of the last business day of the period. |
See Notes to Financial Statements.
315
| | |
| | | |
| Notes to Financial Statements | | |
1. Organization and Significant Accounting Policies
The Morgan Stanley Pathway Funds (formerly known as Consulting Group Capital Markets Funds) (the “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.
In August 2018, FASB issued Accounting Standard Update (“ASU”) 2018-13, Fair Value Measurement (Topic 820) – Disclosures Framework – Changes to Disclosure Requirements of Fair Value Measurement (“ASU 2018-13”) Which introduces new fair value disclosure requirements as well as eliminates and modifies certain existing fair value disclosure requirements. ASU 2018-13 would be effective for fiscal years beginning after December 15, 2019 and for interim periods within those fiscal years; however, management has elected to early adopt ASU 2018-13 as permitted by the standard. The impact of the Fund’s adoption was limited to changes in the Fund’s financial statement disclosures regarding fair value, primarily those disclosures related to transfers between levels of the fair value hierarchy and disclosure of the range and weighted average used to develop significant unobservable inputs for Level 3 fair value measurements, when applicable.
(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
316
| | |
| | | |
| Notes to Financial Statements | | |
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 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.
317
| | |
| | | |
| Notes to Financial Statements | | |
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 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
August 31, 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 | | $ | 136,494,109 | | | $ | 136,494,109 | | | $ | — | | | $ | — | |
Consumer Discretionary | | | 159,468,443 | | | | 159,468,443 | | | | — | | | | — | |
Consumer Staples | | | 97,442,591 | | | | 97,442,591 | | | | — | | | | — | |
Energy | | | 72,318,962 | | | | 72,318,962 | | | | — | | | | — | |
Financials | | | 177,823,838 | | | | 177,823,838 | | | | — | | | | — | |
Health Care | | | 237,602,597 | | | | 237,602,597 | | | | — | | | | — | |
Industrials | | | 137,367,490 | | | | 137,367,490 | | | | — | | | | — | |
Information Technology | | | 332,554,039 | | | | 332,554,039 | | | | — | | | | — | |
Materials | | | 50,812,547 | | | | 50,812,547 | | | | — | | | | — | |
Real Estate | | | 42,380,816 | | | | 42,380,816 | | | | — | | | | — | |
Utilities | | | 34,774,542 | | | | 34,774,542 | | | | — | | | | — | |
Closed End Mutual Fund Security: | | | | | | | | | | | | | | | | |
Financials | | | 37,804,672 | | | | 37,804,672 | | | | — | | | | — | |
Short-Term Investments: | | | | | | | | | |
Money Market Fund | | | 10,273,681 | | | | 10,273,681 | | | | — | | | | — | |
Time Deposits | | | 26,026,109 | | | | — | | | | 26,026,109 | | | | — | |
| | | | | | | | | | | | | | | | |
| Total Investments, at Value | | $ | 1,553,144,436 | | | $ | 1,527,118,327 | | | $ | 26,026,109 | | | $ | — | |
| | | | | | | | | | | | | | | | |
318
| | |
| | | |
| Notes to Financial Statements | | |
| | | | | | | | | | | | | | | | |
| | | Total Fair Value at
August 31, 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 Contract | | $ | 14,150 | | | $ | 14,150 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Total Other Financial Instruments — Assets | | $ | 14,150 | | | $ | 14,150 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Other Financial Instruments — Liabilities | | | | | | | | | | | | | | | | |
Futures Contract | | $ | (13,467 | ) | | $ | (13,467 | ) | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Total Other Financial Instruments — Liabilities | | $ | (13,467 | ) | | $ | (13,467 | ) | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
Investments, at Value | | | | | | | | | | | | | | | | |
Common Stocks: | | | | | | | | | | | | | | | | |
Communication Services | | $ | 8,164,277 | | | $ | 8,164,277 | | | $ | — | | | $ | — | |
Consumer Discretionary | | | 32,421,965 | | | | 32,421,965 | | | | — | | | | — | |
Consumer Staples | | | 12,695,949 | | | | 12,695,949 | | | | — | | | | — | |
Energy | | | 8,181,876 | | | | 8,181,876 | | | | — | | | | — | |
Financials | | | 63,892,423 | | | | 63,892,423 | | | | — | | | | — | |
Health Care | | | 60,214,937 | | | | 60,214,743 | | | | — | | | | 194 | |
Industrials | | | 73,502,794 | | | | 73,502,794 | | | | — | | | | — | |
Information Technology | | | 80,131,177 | | | | 80,131,177 | | | | — | | | | — | |
Materials | | | 21,542,044 | * | | | 21,541,550 | | | | — | | | | 494 | * |
Real Estate | | | 29,967,246 | | | | 29,967,246 | | | | — | | | | — | |
Utilities | | | 13,637,079 | | | | 13,637,079 | | | | — | | | | — | |
Convertible Preferred Stocks: | | | | | | | | | | | | | | | | |
Health Care | | | 512,964 | | | | 512,964 | | | | — | | | | — | |
Utilities | | | 1,808,048 | | | | 1,808,048 | | | | — | | | | — | |
Closed End Mutual Fund Securities: | | | | | | | | | | | | | | | | |
Financials | | | 1,515,400 | | | | 1,515,400 | | | | — | | | | — | |
Preferred Stocks: | | | | | | | | | | | | | | | | |
Financials | | | 1,901,732 | | | | 1,901,732 | | | | — | | | | — | |
Corporate Bond & Note | | | 369,520 | | | | — | | | | 369,520 | | | | — | |
Short-Term Investments: | | | | | | | | | |
Money Market Fund | | | 9,907,772 | | | | 9,907,772 | | | | — | | | | — | |
Time Deposits | | | 10,690,031 | | | | — | | | | 10,690,031 | | | | — | |
| | | | | | | | | | | | | | | | |
| Total Investments, at Value | | $ | 431,057,234 | * | | $ | 419,996,995 | | | $ | 11,059,551 | | | $ | 688 | * |
| | | | | | | | | | | | | | | | |
| Other Financial Instruments — Assets | | | | | | | | | | | | | | | | |
Futures Contract | | $ | 2,833 | | | $ | 2,833 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Total Other Financial Instruments — Assets | | $ | 2,833 | | | $ | 2,833 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Other Financial Instruments — Liabilities | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | (69,534 | ) | | $ | (69,534 | ) | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Total Other Financial Instruments — Liabilities | | $ | (69,534 | ) | | $ | (69,534 | ) | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
319
| | |
| | | |
| Notes to Financial Statements | | |
| | | | | | | | | | | | | | | | |
| | | Total Fair Value at
August 31, 2019 | | | Unadjusted Quoted Prices
in Active Markets
for Identical Investments
(Level 1) | | | Significant Observable
Inputs (Level 2) | | | Significant
Unobservable
Inputs (Level 3) | |
| International Equity Fund | |
| Investments, at Value | | | | | | | | | | | | | | | | |
Common Stocks: | | | | | | | | | | | | | | | | |
France | | $ | 133,948,958 | | | $ | 80,763 | | | $ | 133,868,195 | | | $ | — | |
Germany | | | 103,391,359 | | | | — | | | | 103,391,359 | | | | — | |
Japan | | | 263,196,392 | | | | — | | | | 263,196,392 | | | | — | |
Switzerland | | | 130,243,122 | | | | — | | | | 130,243,122 | | | | — | |
United Kingdom | | | 197,974,162 | | | | 1,836,089 | | | | 196,138,073 | | | | — | |
Other Countries** | | | 440,354,431 | | | | 84,036,832 | | | | 356,317,599 | | | | — | |
Preferred Stocks: | | | | | | | | | | | | | | | | |
Germany | | | 10,522,683 | | | | — | | | | 10,522,683 | | | | — | |
Closed End Mutual Fund Security: | | | | | | | | | | | | | | | | |
United States | | | 595,056 | | | | 595,056 | | | | — | | | | — | |
Short-Term Investments: | | | | | | | | | |
Money Market Fund | | | 9,378,863 | | | | 9,378,863 | | | | — | | | | — | |
Time Deposits | | | 28,378,179 | | | | — | | | | 28,378,179 | | | | — | |
| | | | | | | | | | | | | | | | |
| Total Investments, at Value | | $ | 1,317,983,205 | | | $ | 95,927,603 | | | $ | 1,222,055,602 | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Other Financial Instruments — Assets | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | 13,956 | | | $ | 13,956 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Total Other Financial Instruments — Assets | | $ | 13,956 | | | $ | 13,956 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Other Financial Instruments — Liabilities | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | (10,701 | ) | | $ | (10,701 | ) | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Total Other Financial Instruments — Liabilities | | $ | (10,701 | ) | | $ | (10,701 | ) | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Emerging Markets Equity Fund | | | | | | | | | | | | | | | | |
Investments, at Value | | | | | | | | | | | | | | | | |
Common Stocks: | | | | | | | | | | | | | | | | |
Brazil | | $ | 32,925,050 | | | $ | 32,925,050 | | | $ | — | | | $ | — | |
China | | | 126,535,193 | | | | 39,572,064 | | | | 86,963,129 | | | | — | |
India | | | 49,305,332 | | | | 5,998,899 | | | | 43,306,433 | | | | — | |
Russia | | | 26,286,917 | | | | 21,982,200 | | | | 4,304,717 | | | | — | |
South Africa | | | 30,198,487 | | | | — | | | | 30,198,487 | | | | — | |
South Korea | | | 44,530,726 | | | | — | | | | 44,530,726 | | | | — | |
Taiwan | | | 30,445,037 | | | | — | | | | 30,445,037 | | | | — | |
Other Countries** | | | 133,939,392 | | | | 29,008,111 | | | | 104,931,281 | | | | — | |
Preferred Stocks: | | | | | | | | | | | | | | | | |
Brazil | | | 6,111,060 | | | | 6,111,060 | | | | — | | | | — | |
Chile | | | 123,755 | | | | 123,755 | | | | — | | | | — | |
Colombia | | | 251,300 | | | | 251,300 | | | | — | | | | — | |
Russia | | | 131,968 | | | | 94,120 | | | | 37,848 | | | | — | |
South Korea | | | 925,368 | | | | — | | | | 925,368 | | | | — | |
Rights: | | | | | | | | | | | | | | | | |
Brazil | | | 1,507 | | | | 1,507 | | | | — | | | | — | |
Chile | | | 37 | | | | 37 | | | | — | | | | — | |
China | | | 2,529 | | | | — | | | | 2,529 | | | | — | |
320
| | |
| | | |
| Notes to Financial Statements | | |
| | | | | | | | | | | | | | | | |
| | | Total Fair Value at
August 31, 2019 | | | Unadjusted Quoted Prices
in Active Markets
for Identical Investments
(Level 1) | | | Significant Observable
Inputs (Level 2) | | | Significant
Unobservable
Inputs (Level 3) | |
Corporate Bond & Note: | | | | | | | | | | | | | | | | |
India | | $ | 19 | | | $ | — | | | $ | 19 | | | $ | — | |
Short-Term Investments: | | | | | | | | | |
Money Market Fund | | | 8,218,833 | | | | 8,218,833 | | | | — | | | | — | |
Time Deposits | | | 8,220,639 | | | | — | | | | 8,220,639 | | | | — | |
| | | | | | | | | | | | | | | | |
| Total Investments, at Value | | $ | 498,153,149 | | | $ | 144,286,936 | | | $ | 353,866,213 | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Other Financial Instruments — Liabilities | | | | | | | | | | | | | | | | |
Futures Contract | | $ | (72,466 | ) | | $ | (72,466 | ) | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Total Other Financial Instruments — Liabilities | | $ | (72,466 | ) | | $ | (72,466 | ) | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Core Fixed Income Fund | | | | | | | | | | | | | | | | |
| Investments, at Value | | | | | | | | | | | | | | | | |
Corporate Bonds & Notes | | $ | 343,471,432 | * | | $ | — | | | $ | 343,471,432 | | | $ | — | * |
Mortgage-Backed Securities | | | 339,743,166 | | | | — | | | | 339,743,166 | | | | — | |
U.S. Government Agencies & Obligations | | | 322,487,435 | | | | — | | | | 322,487,435 | | | | — | |
Collateralized Mortgage Obligations | | | 115,789,754 | | | | — | | | | 115,789,754 | | | | — | |
Sovereign Bonds | | | 33,334,362 | | | | — | | | | 33,334,362 | | | | — | |
Asset-Backed Securities | | | 20,535,167 | | | | — | | | | 20,535,167 | | | | — | |
Senior Loans | | | 13,270,623 | | | | — | | | | 13,270,623 | | | | — | |
Municipal Bonds | | | 3,892,734 | | | | — | | | | 3,892,734 | | | | — | |
Preferred Stock: | | | | | | | | | | | | | | | | |
Financials | | | 99,560 | | | | 99,560 | | | | — | | | | — | |
Purchased Options | | | 573,318 | | | | 135,106 | | | | 438,212 | | | | — | |
Short-Term Investments: | | | | | | | | | |
Corporate Bond | | | 966,785 | | | | — | | | | 966,785 | | | | — | |
Money Market Fund | | | 143,175 | | | | 143,175 | | | | — | | | | — | |
Repurchase Agreement | | | 31,000,000 | | | | — | | | | 31,000,000 | | | | — | |
Time Deposits | | | 63,946,910 | | | | — | | | | 63,946,910 | | | | — | |
U.S. Government Agencies | | | 8,676,324 | | | | — | | | | 8,676,324 | | | | — | |
U.S. Government Obligations | | | 6,525,684 | | | | — | | | | 6,525,684 | | | | — | |
| | | | | | | | | | | | | | | | |
| Total Investments, at Value | | $ | 1,304,456,429 | * | | $ | 377,841 | | | $ | 1,304,078,588 | | | $ | — | * |
| | | | | | | | | | | | | | | | |
| Other Financial Instruments — Assets | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | 2,133,888 | | | $ | 2,133,888 | | | $ | — | | | $ | — | |
Forward Foreign Currency Contracts | | | 656,299 | | | | — | | | | 656,299 | | | | — | |
OTC Interest Rate Swap | | | 293,658 | | | | — | | | | 293,658 | | | | — | |
Centrally Cleared Interest Rate Swaps | | | 582,967 | | | | — | | | | 582,967 | | | | — | |
Centrally Cleared Credit Default Swap | | | 57,652 | | | | — | | | | 57,652 | | | | — | |
| | | | | | | | | | | | | | | �� | |
| Total Other Financial Instruments — Assets | | $ | 3,724,464 | | | $ | 2,133,888 | | | $ | 1,590,576 | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Other Financial Instruments — Liabilities | | | | | | | | | | | | | | | | |
Options Contracts Written | | $ | (269,484 | ) | | $ | (269,484 | ) | | $ | — | | | $ | — | |
Futures Contracts | | | (2,325,831 | ) | | | (2,325,831 | ) | | | — | | | | — | |
Forward Foreign Currency Contracts | | | (1,106,968 | ) | | | — | | | | (1,106,968 | ) | | | — | |
OTC Interest Rate Swap | | | (30,102 | ) | | | — | | | | (30,102 | ) | | | — | |
Centrally Cleared Interest Rate Swaps | | | (5,977,970 | ) | | | — | | | | (5,977,970 | ) | | | — | |
Centrally Cleared Credit Default Swap | | | (69,209 | ) | | | — | | | | (69,209 | ) | | | — | |
| | | | | | | | | | | | | | | | |
| Total Other Financial Instruments — Liabilities | | $ | (9,779,564 | ) | | $ | (2,595,315 | ) | | $ | (7,184,249 | ) | | $ | — | |
| | | | | | | | | | | | | | | | |
321
| | |
| | | |
| Notes to Financial Statements | | |
| | | | | | | | | | | | | | | | |
| | | Total Fair Value at
August 31, 2019 | | | Unadjusted Quoted Prices
in Active Markets
for Identical Investments
(Level 1) | | | Significant Observable
Inputs (Level 2) | | | Significant
Unobservable
Inputs (Level 3) | |
| High Yield Fund | | | | | | | | | | | | | | | | |
| Investments, at Value | | | | | | | | | | | | | | | | |
Corporate Bonds & Notes | | $ | 42,426,568 | * | | $ | — | | | $ | 42,426,568 | | | $ | — | * |
Senior Loans | | | 3,335,972 | | | | — | | | | 3,335,972 | | | | — | |
Common Stocks: | | | | | | | | | | | | | | | | |
Communications | | | 3,294 | | | | 3,294 | | | | — | | | | — | |
Consumer Cyclical | | | 2,103 | | | | — | | | | — | | | | 2,103 | |
Energy | | | 377,513 | | | | 366,080 | | | | — | | | | 11,433 | |
Financials | | | 5,202 | | | | — | | | | — | | | | 5,202 | |
Preferred Stocks: | | | | | | | | | | | | | | | | |
Financials | | | 132,311 | | | | 132,311 | | | | — | | | | — | |
Sovereign Bond | | | 58,687 | | | | — | | | | 58,687 | | | | — | |
Warrant: | | | | | | | | | | | | | | | | |
Media | | | 3,276 | | | | 3,276 | | | | — | | | | — | |
Short-Term Investments: | | | | | | | | | |
Money Market Fund | | | 125,726 | | | | 125,726 | | | | — | | | | — | |
Time Deposits | | | 2,307,429 | | | | — | | | | 2,307,429 | | | | — | |
| | | | | | | | | | | | | | | | |
| Total Investments, at Value | | $ | 48,778,081 | * | | $ | 630,687 | | | $ | 48,128,656 | | | $ | 18,738 | * |
| | | | | | | | | | | | | | | | |
| International Fixed Income Fund | |
Investments, at Value | | | | | | | | | | | | | | | | |
Sovereign Bonds: | | | | | | | | | | | | | | | | |
France | | $ | 8,888,368 | | | $ | — | | | $ | 8,888,368 | | | $ | — | |
Japan | | | 28,669,325 | | | | — | | | | 28,669,325 | | | | — | |
Spain | | | 11,222,033 | | | | — | | | | 11,222,033 | | | | — | |
Other Countries** | | | 30,666,323 | | | | — | | | | 30,666,323 | | | | — | |
Corporate Bonds & Notes: | | | | | | | | | | | | | | | | |
United Kingdom | | | 9,254,665 | | | | — | | | | 9,254,665 | | | | — | |
United States | | | 9,305,741 | | | | — | | | | 9,305,741 | | | | — | |
Other Countries** | | | 26,130,228 | | | | — | | | | 26,130,228 | | | | — | |
Mortgage-Backed Securities | | | 35,772,307 | | | | — | | | | 35,772,307 | | | | — | |
Collateralized Mortgage Obligations | | | 21,570,055 | | | | — | | | | 21,570,055 | | | | — | |
U.S. Government Obligations | | | 12,095,917 | | | | — | | | | 12,095,917 | | | | — | |
Asset-Backed Securities | | | 895,999 | | | | — | | | | 895,999 | | | | — | |
Senior Loan | | | 194,507 | | | | — | | | | 194,507 | | | | — | |
Municipal Bond | | | 46,060 | | | | — | | | | 46,060 | | | | — | |
Purchased Options | | | 62,264 | | | | 10,943 | | | | 51,321 | | | | — | |
Short-Term Investments: | | | | | | | | | |
Time Deposits | | | 2,137,740 | | | | — | | | | 2,137,740 | | | | — | |
| | | | | | | | | | | | | | | | |
| Total Investments, at Value | | $ | 196,911,532 | | | $ | 10,943 | | | $ | 196,900,589 | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Other Financial Instruments — Assets | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | 309,664 | | | $ | 309,664 | | | $ | — | | | $ | — | |
Forward Foreign Currency Contracts | | | 2,433,866 | | | | — | | | | 2,433,866 | | | | — | |
OTC Interest Rate Swaps | | | 67,192 | | | | — | | | | 67,192 | | | | — | |
Centrally Cleared Interest Rate Swaps | | | 1,906,316 | | | | — | | | | 1,906,316 | | | | — | |
OTC Credit Default Swaps | | | 23,425 | | | | — | | | | 23,425 | | | | — | |
Centrally Cleared Credit Default Swaps | | | 667,126 | | | | — | | | | 667,126 | | | | — | |
| | | | | | | | | | | | | | | | |
| Total Other Financial Instruments — Assets | | $ | 5,407,589 | | | $ | 309,664 | | | $ | 5,097,925 | | | $ | — | |
| | | | | | | | | | | | | | | | |
322
| | |
| | | |
| Notes to Financial Statements | | |
| | | | | | | | | | | | | | | | |
| | | Total Fair Value at
August 31, 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 — Liabilities | | | | | | | | | | | | | | | | |
Options Contracts Written | | $ | (164,245 | ) | | $ | (87,668 | ) | | $ | (76,577 | ) | | $ | — | |
Reverse Repurchase Agreements | | | (16,935,905 | ) | | | — | | | | (16,935,905 | ) | | | — | |
Futures Contracts | | | (8,187 | ) | | | (8,187 | ) | | | — | | | | — | |
Forward Foreign Currency Contracts | | | (1,332,320 | ) | | | — | | | | (1,332,320 | ) | | | — | |
OTC Total Return Swaps | | | (158,665 | ) | | | — | | | | (158,665 | ) | | | — | |
Centrally Cleared Interest Rate Swaps | | | (2,702,985 | ) | | | — | | | | (2,702,985 | ) | | | — | |
OTC Credit Default Swaps | | | (57,099 | ) | | | — | | | | (57,099 | ) | | | — | |
Centrally Cleared Credit Default Swaps | | | (112,574 | ) | | | — | | | | (112,574 | ) | | | — | |
OTC Cross-Currency Swaps | | | (51,609 | ) | | | — | | | | (51,609 | ) | | | — | |
| | | | | | | | | | | | | | | | |
| Total Other Financial Instruments — Liabilities | | $ | (21,523,589 | ) | | $ | (95,855 | ) | | $ | (21,427,734 | ) | | $ | — | |
| | | | | | | | | | | | | | | | |
| Municipal Bond Fund | | | | | | | | | | | | | | | | |
| Investments, at Value | | | | | | | | | | | | | | | | |
Municipal Bonds | | $ | 80,464,568 | | | $ | — | | | $ | 80,464,568 | | | $ | — | |
Closed End Mutual Fund Security: | | | | | | | | | | | | | | | | |
United States | | | 3,467,520 | | | | 3,467,520 | | | | — | | | | — | |
Short-Term Investments: | | | | | | | | | |
Time Deposits | | | 1,426,966 | | | | — | | | | 1,426,966 | | | | — | |
| | | | | | | | | | | | | | | | |
| Total Investments, at Value | | $ | 85,359,054 | | | $ | 3,467,520 | | | $ | 81,891,534 | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Other Financial Instruments — Assets | | | | | | | | | | | | | | | | |
Futures Contract | | $ | 19,596 | | | $ | 19,596 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Total Other Financial Instruments — Assets | | $ | 19,596 | | | $ | 19,596 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Inflation-Linked Fixed Income Fund | |
Investments, at Value | | | | | | | | | | | | | | | | |
U.S. Government Obligations | | $ | 221,409,682 | | | $ | — | | | $ | 221,409,682 | | | $ | — | |
Mortgage-Backed Securities | | | 44,057,747 | | | | — | | | | 44,057,747 | | | | — | |
Collateralized Mortgage Obligations | | | 23,033,081 | | | | — | | | | 23,033,081 | | | | — | |
Sovereign Bonds | | | 18,489,388 | | | | — | | | | 18,489,388 | | | | — | |
Corporate Bonds & Notes | | | 11,269,004 | | | | — | | | | 11,269,004 | | | | — | |
Purchased Options | | | 23,165 | | | | 23,165 | | | | — | | | | — | |
Short-Term Investments: | | | | | | | | | |
Time Deposits | | | 687,518 | | | | — | | | | 687,518 | | | | — | |
| | | | | | | | | | | | | | | | |
| Total Investments, at Value | | $ | 318,969,585 | | | $ | 23,165 | | | $ | 318,946,420 | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Other Financial Instruments — Assets | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | 18,915 | | | $ | 18,915 | | | $ | — | | | $ | — | |
Forward Foreign Currency Contracts | | | 809,252 | | | | — | | | | 809,252 | | | | — | |
Centrally Cleared Interest Rate Swaps | | | 881,789 | | | | — | | | | 881,789 | | | | — | |
Centrally Cleared Inflation Rate Swaps | | | 474,476 | | | | — | | | | 474,476 | | | | — | |
Centrally Cleared Credit Default Swap | | | 3,438 | | | | — | | | | 3,438 | | | | — | |
| | | | | | | | | | | | | | | | |
| Total Other Financial Instruments — Assets | | $ | 2,187,870 | | | $ | 18,915 | | | $ | 2,168,955 | | | $ | — | |
| | | | | | | | | | | | | | | | |
323
| | |
| | | |
| Notes to Financial Statements | | |
| | | | | | | | | | | | | | | | |
| | | Total Fair Value at
August 31, 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 — Liabilities | | | | | | | | | | | | | | | | |
Options Contracts Written | | $ | (82,877 | ) | | $ | (80,121 | ) | | $ | (2,756 | ) | | $ | — | |
Reverse Repurchase Agreements | | | (54,088,001 | ) | | | — | | | | (54,088,001 | ) | | | — | |
Futures Contracts | | | (258,188 | ) | | | (258,188 | ) | | | — | | | | — | |
Forward Foreign Currency Contracts | | | (295,939 | ) | | | — | | | | (295,939 | ) | | | — | |
Centrally Cleared Interest Rate Swaps | | | (2,033,408 | ) | | | — | | | | (2,033,408 | ) | | | — | |
Centrally Cleared Inflation Rate Swaps | | | (463,084 | ) | | | — | | | | (463,084 | ) | | | — | |
OTC Credit Default Swaps | | | (16,438 | ) | | | — | | | | (16,438 | ) | | | — | |
Centrally Cleared Credit Default Swap | | | (218 | ) | | | — | | | | (218 | ) | | | — | |
| | | | | | | | | | | | | | | | |
| Total Other Financial Instruments — Liabilities | | $ | (57,238,153 | ) | | $ | (338,309 | ) | | $ | (56,899,844 | ) | | $ | — | |
| | | | | | | | | | | | | | | | |
| Ultra-Short Term Fixed Income Fund | |
Investments, at Value | | | | | | | | | | | | | | | | |
Corporate Bonds & Notes | | $ | 293,918,726 | | | $ | — | | | $ | 293,918,726 | | | $ | — | |
Collateralized Mortgage Obligations | | | 89,403,322 | | | | — | | | | 89,403,322 | | | | — | |
Mortgage-Backed Securities | | | 62,109,572 | | | | — | | | | 62,109,572 | | | | — | |
Asset-Backed Securities | | | 34,721,391 | | | | — | | | | 34,721,391 | | | | — | |
U.S. Government Obligations | | | 33,953,429 | | | | | | | | 33,953,429 | | | | | |
Sovereign Bonds | | | 7,603,995 | | | | — | | | | 7,603,995 | | | | — | |
Short-Term Investments: | | | | | | | | | |
Commercial Paper | | | 4,985,700 | | | | — | | | | 4,985,700 | | | | — | |
Time Deposits | | | 1,104,297 | | | | — | | | | 1,104,297 | | | | — | |
U.S. Government Obligation | | | 149,759,230 | | | | — | | | | 149,759,230 | | | | — | |
| | | | | | | | | | | | | | | | |
| Total Investments, at Value | | $ | 677,559,662 | | | $ | — | | | $ | 677,559,662 | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Other Financial Instruments — Assets | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | 345,858 | | | $ | 345,858 | | | $ | — | | | $ | — | |
Forward Foreign Currency Contracts | | | 868,017 | | | | — | | | | 868,017 | | | | — | |
Centrally Cleared Interest Rate Swap | | | 24,585 | | | | — | | | | 24,585 | | | | — | |
| | | | | | | | | | | | | | | | |
| Total Other Financial Instruments — Assets | | $ | 1,238,460 | | | $ | 345,858 | | | $ | 892,602 | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Other Financial Instruments — Liabilities | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | (636,707 | ) | | $ | (636,707 | ) | | $ | — | | | $ | — | |
Forward Foreign Currency Contracts | | | (177,427 | ) | | | — | | | | (177,427 | ) | | | — | |
Centrally Cleared Interest Rate Swaps | | | (7,642,592 | ) | | | — | | | | (7,642,592 | ) | | | — | |
Centrally Cleared Credit Default Swaps | | | (143,660 | ) | | | — | | | | (143,660 | ) | | | — | |
| | | | | | | | | | | | | | | | |
| Total Other Financial Instruments — Liabilities | | $ | (8,600,386 | ) | | $ | (636,707 | ) | | $ | (7,963,679 | ) | | $ | — | |
| | | | | | | | | | | | | | | | |
| Alternative Strategies Fund | | | | | | | | | | | | | | | | |
| Investments, at Value | | | | | | | | | | | | | | | | |
Open End Mutual Fund Securities: | | | | | | | | | | | | | | | | |
United States | | $ | 26,432,034 | | | $ | 26,432,034 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Total Investments, at Value | | $ | 26,432,034 | | | $ | 26,432,034 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| * | 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. |
324
| | |
| | | |
| Notes to Financial Statements | | |
The level classification by major category of investments is the same as the category presentation in the Schedules of Investments.
Transfer between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes.
The following is a reconciliation of assets for which significant unobservable inputs (Level 3) were used in determining fair value during the year September 1, 2018 through August 31, 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) | | | (1,746 | ) | | | (1,746 | ) | | | — | | | | — | | | | — | | | | — | |
Purchases | | | 257 | | | | 257 | | | | — | | | | — | | | | — | | | | — | |
(Sales) | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Transfers in | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
(Transfers out) | | | — | | | | | | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Balance as of August 31, 2019 | | $ | 688 | * | | $ | 688 | * | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Change in unrealized appreciation (depreciation) from Investments held as of August 31, 2019 | | $ | (1,746 | ) | | $ | (1,746 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| Emerging Markets Equity Fund | | | | | | | | | | | | | | | | | | | | | | | | |
Balance as of August 31, 2018 | | $ | 4,194 | * | | $ | 1,949 | | | $ | — | | | $ | — | | | $ | 2,245 | * | | $ | — | * |
Total realized gain (loss) | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Change in unrealized appreciation (depreciation) | | | (3,973 | ) | | | (1,728 | ) | | | — | | | | — | | | | (2,245 | ) | | | — | |
Purchases | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
(Sales) | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Transfers in | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
(Transfers out) | | | (221 | ) | | | (221 | ) | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Balance as of August 31, 2019 | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Change in unrealized appreciation (depreciation) from Investments held as of August 31, 2019 | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| Core Fixed Income Fund | | | | | | | | | | | | | | | | | | | | | | | | |
Balance as of August 31, 2018 | | $ | — | * | | $ | — | | | $ | — | * | | $ | — | | | $ | — | | | $ | — | |
Total realized gain (loss) | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Accrued discounts (premiums) | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Change in unrealized appreciation (depreciation) | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Purchases | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
(Sales) | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Transfers in | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
(Transfers out) | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Balance as of August 31, 2019 | | $ | — | * | | $ | — | | | $ | — | * | | $ | — | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Change in unrealized appreciation (depreciation) from Investments held as of August 31, 2019 | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
325
| | |
| | | |
| Notes to Financial Statements | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Total | | | Common
Stocks | | | Corporate
Bonds &
Notes | | | Convertible
Preferred
Stocks | | | Rights | | | Warrant | |
| High Yield Fund | | | | | | | | | | | | | | | | | | | | | | | | |
Balance as of August 31, 2018 | | $ | 479,128 | * | | $ | 273,891 | * | | $ | 162,832 | * | | $ | 42,405 | | | $ | — | | | $ | — | |
Total realized gain (loss) | | | (201,743 | ) | | | 36,305 | | | | (8,492 | ) | | | (229,556 | ) | | | — | | | | — | |
Accured discounts (premiums) | | | 1,877 | | | | — | | | | 1,877 | | | | — | | | | — | | | | — | |
Change in unrealized appreciation (depreciation) | | | 25,674 | | | | (166,120 | ) | | | 6,615 | | | | 185,179 | | | | — | | | | — | |
Purchases | | | 9,214 | | | | — | | | | 5,825 | | | | 3,389 | | | | — | | | | — | |
(Sales) | | | (295,412 | ) | | | (125,338 | ) | | | (168,657 | ) | | | (1,417 | ) | | | — | | | | — | |
Transfers in | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
(Transfers out) | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Balance as of August 31, 2019 | | $ | 18,738 | * | | $ | 18,738 | | | $ | — | * | | $ | — | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Change in unrealized appreciation (depreciation) from Investments held as of August 31, 2019 | | $ | 13,816 | | | $ | 13,816 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| * | 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 theyear-end for each Fund are disclosed in the Fund’s Schedule of Investments.
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.
326
| | |
| | | |
| Notes to Financial Statements | | |
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 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 recordedby 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 year-end are included on the Fund’s Schedule of Investments under the caption “Purchased Options.”
327
| | |
| | | |
| Notes to Financial Statements | | |
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 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
328
| | |
| | | |
| Notes to Financial Statements | | |
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 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.
329
| | |
| | | |
| Notes to Financial Statements | | |
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.
(xiv) Total Return Swaps. The Fund may enter into total return swap contracts to gain exposure and benefit from reference asset (single asset, or a basket of assets) without actually having to own it. Total return swap contracts are agreements where the total return of a reference asset is paid in exchange for periodic cash flows. The deal is structured such that the total return (asset income plus capital appreciation/depreciation) is exchanged, in the cash flows. Periodic payments received or made by the Fund are recorded as realized gains or losses in the Statements of Operations.
The following is a summary of the fair valuations of the Funds’ derivative instruments categorized by risk exposure at August 31, 2019:
Large Cap Equity Fund
| | | | | | | | | | | | | | | | | | | | |
Fair Values of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2019: | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Asset derivatives | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on open futures contracts (b) | | $ | — | | | $ | — | | | $ | — | | | $ | 14,150 | | | $ | 14,150 | |
| | | | | | | | | | | | | | | | | | | | |
| Liability derivatives | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on open futures contracts (b) . | | $ | — | | | $ | — | | | $ | — | | | $ | 13,467 | | | $ | 13,467 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Effect of Derivative Instruments on the Statements of Operations for the Year Ended August 31, 2019: | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Realized gain/(loss) on derivatives (d) | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | 235,642 | | | $ | 235,642 | |
| | | | | | | | | | | | | | | | | | | | |
| Change in unrealized appreciation (depreciation) on derivatives (e) | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | (440,956 | ) | | $ | (440,956 | ) |
| | | | | | | | | | | | | | | | | | | | |
330
| | |
| | | |
| Notes to Financial Statements | | |
Small-Mid Cap Equity Fund
| | | | | | | | | | | | | | | | | | | | |
Fair Values of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2019: | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Asset derivatives | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on open futures contracts (b) | | $ | — | | | $ | — | | | $ | — | | | $ | 2,833 | | | $ | 2,833 | |
| | | | | | | | | | | | | | | | | | | | |
| Liability derivatives | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on open futures contracts (b) | | $ | — | | | $ | — | | | $ | — | | | $ | 69,534 | | | $ | 69,534 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Effect of Derivative Instruments on the Statements of Operations for the Year Ended August 31, 2019: | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Realized gain/(loss) on derivatives (d) | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | (276,064 | ) | | $ | (276,064 | ) |
| | | | | | | | | | | | | | | | | | | | |
| Change in unrealized appreciation (depreciation) on derivatives (e) | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | (117,059 | ) | | $ | (117,059 | ) |
| | | | | | | | | | | | | | | | | | | | |
International Equity Fund
| | | | | | | | | | | | | | | | | | | | |
Fair Values of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2019: | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Asset derivatives | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on open futures contracts (b) | | $ | — | | | $ | — | | | $ | — | | | $ | 13,956 | | | $ | 13,956 | |
| | | | | | | | | | | | | | | | | | | | |
| Liability derivatives | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on open futures contracts (b) | | $ | — | | | $ | — | | | $ | — | | | $ | 10,701 | | | $ | 10,701 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Effect of Derivative Instruments on the Statements of Operations for the Year Ended August 31, 2019: | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Realized gain/(loss) on derivatives (d) | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | 15,343 | | | $ | 15,343 | |
Forward foreign currency contracts | | | — | | | | 51,557 | | | | — | | | | — | | | | 51,557 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | — | | | $ | 51,557 | | | $ | — | | | $ | 15,343 | | | $ | 66,900 | |
| | | | | | | | | | | | | | | | | | | | |
| Change in unrealized appreciation (depreciation) on derivatives (e) | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | 12,999 | | | $ | 12,999 | |
| | | | | | | | | | | | | | | | | | | | |
Emerging Markets Equity Fund
| | | | | | | | | | | | | | | | | | | | |
Fair Values of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2019: | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Liability derivatives | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on open futures contracts (b) | | $ | — | | | $ | — | | | $ | — | | | $ | 72,466 | | | $ | 72,466 | |
| | | | | | | | | | | | | | | | | | | | |
331
| | |
| | | |
| Notes to Financial Statements | | |
| | | | | | | | | | | | | | | | | | | | |
Effect of Derivative Instruments on the Statements of Operations for the Year Ended August 31, 2019: | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Realized gain/(loss) on derivatives (d) | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | (177,032 | ) | | $ | (177,032 | ) |
Forward foreign currency contracts | | | — | | | | (10 | ) | | | — | | | | — | | | | (10 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | $ | — | | | $ | (10 | ) | | $ | — | | | $ | (177,032 | ) | | $ | (177,042 | ) |
| | | | | | | | | | | | | | | | | | | | |
| Change in unrealized appreciation (depreciation) on derivatives (e) | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | (13,576 | ) | | $ | (13,576 | ) |
| | | | | | | | | | | | | | | | | | | | |
Core Fixed Income Fund
| | | | | | | | | | | | | | | | | | | | |
Fair Values of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2019: | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Asset derivatives | | | | | | | | | | | | | | | | | | | | |
Purchased options (c) | | $ | 135,106 | | | $ | 438,212 | | | $ | — | | | $ | — | | | $ | 573,318 | |
Unrealized appreciation on open futures contracts (b) . | | | 2,133,888 | | | | — | | | | — | | | | — | | | | 2,133,888 | |
Unrealized appreciation on forward foreign currency contracts (c) . | | | — | | | | 656,299 | | | | — | | | | — | | | | 656,299 | |
Unrealized appreciation on centrally cleared swaps (f) . | | | 582,967 | | | | — | | | | 57,652 | | | | — | | | | 640,619 | |
Unrealized appreciation on OTC swaps (c) | | | 293,658 | | | | — | | | | — | | | | — | | | | 293,658 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 3,145,619 | | | $ | 1,094,511 | | | $ | 57,652 | | | $ | — | | | $ | 4,297,782 | |
| | | | | | | | | | | | | | | | | | | | |
| Liability derivatives | | | | | | | | | | | | | | | | | | | | |
Options contracts written outstanding (a) | | $ | 269,484 | | | $ | — | | | $ | — | | | $ | — | | | $ | 269,484 | |
Unrealized depreciation on open futures contracts (b) . | | | 2,325,831 | | | | — | | | | — | | | | — | | | | 2,325,831 | |
Unrealized depreciation on forward foreign currency contracts (a) . | | | — | | | | 1,106,968 | | | | — | | | | — | | | | 1,106,968 | |
Unrealized depreciation on centrally cleared swaps (f) . | | | 5,977,970 | | | | — | | | | 69,209 | | | | — | | | | 6,047,179 | |
Unrealized depreciation on OTC swaps (a) | | | 30,102 | | | | — | | | | — | | | | — | | | | 30,102 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 8,603,387 | | | $ | 1,106,968 | | | $ | 69,209 | | | $ | — | | | $ | 9,779,564 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Effect of Derivative Instruments on the Statements of Operations for the Year Ended August 31, 2019: | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity risk | | | Total | |
| Realized gain/(loss) on derivatives (d) | | | | | | | | | | | | | | | | | | | | |
Purchased options | | $ | (1,183,870 | ) | | $ | (180,861 | ) | | $ | — | | | $ | — | | | $ | (1,364,731 | ) |
Futures contracts | | | 6,697,636 | | | | — | | | | — | | | | — | | | | 6,697,636 | |
Options contracts written | | | 3,245,332 | | | | 125,818 | | | | — | | | | — | | | | 3,371,150 | |
Swap contracts | | | (291,003 | ) | | | — | | | | 127,218 | | | | — | | | | (163,785 | ) |
Forward foreign currency contracts | | | — | | | | 221,171 | | | | — | | | | — | | | | 221,171 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 8,468,095 | | | $ | 166,128 | | | $ | 127,218 | | | $ | — | | | $ | 8,761,441 | |
| | | | | | | | | | | | | | | | | | | | |
| Change in unrealized appreciation (depreciation) on derivatives (e) | | | | | | | | | | | | | | | | | | | | |
Purchased options | | $ | (123,969 | ) | | $ | 264,230 | | | $ | — | | | $ | — | | | $ | 140,261 | |
Futures contracts | | | 25,864 | | | | (18,602 | ) | | | — | | | | — | | | | 7,262 | |
Options contracts written | | | 51,952 | | | | (45,166 | ) | | | — | | | | — | | | | 6,786 | |
Swap contracts | | | (5,109,384 | ) | | | — | | | | 12,527 | | | | — | | | | (5,096,857 | ) |
Forward foreign currency contracts | | | — | | | | 99,677 | �� | | | — | | | | — | | | | 99,677 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | (5,155,537 | ) | | $ | 300,139 | | | $ | 12,527 | | | $ | — | | | $ | (4,842,871 | ) |
| | | | | | | | | | | | | | | | | | | | |
332
| | |
| | | |
| Notes to Financial Statements | | |
International Fixed Income Fund
| | | | | | | | | | | | | | | | | | | | |
Fair Values of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2019: | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Asset derivatives | | | | | | | | | | | | | | | | | | | | |
Purchased options (c) | | $ | 62,174 | | | $ | 90 | | | $ | — | | | $ | — | | | $ | 62,264 | |
Unrealized appreciation on open futures contracts (b) | | | 309,664 | | | | — | | | | — | | | | — | | | | 309,664 | |
Unrealized appreciation on forward foreign currency contracts (c) | | | — | | | | 2,433,866 | | | | — | | | | — | | | | 2,433,866 | |
Unrealized appreciation on centrally cleared swaps (f) | | | 1,906,316 | | | | — | | | | 667,126 | | | | — | | | | 2,573,442 | |
Unrealized appreciation on OTC swaps (c) | | | 67,192 | | | | — | | | | 23,425 | | | | — | | | | 90,617 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 2,345,346 | | | $ | 2,433,956 | | | $ | 690,551 | | | $ | — | | | $ | 5,469,853 | |
| | | | | | | | | | | | | | | | | | | | |
| Liability derivatives | | | | | | | | | | | | | | | | | | | | |
Options contracts written outstanding (a) | | $ | 137,611 | | | $ | 26,632 | | | $ | 2 | | | $ | — | | | $ | 164,245 | |
Unrealized depreciation on open futures contracts (b) | | | 8,187 | | | | — | | | | — | | | | — | | | | 8,187 | |
Unrealized depreciation on forward foreign currency contracts (a) | | | — | | | | 1,332,320 | | | | — | | | | — | | | | 1,332,320 | |
Unrealized depreciation on centrally cleared swaps (f) | | | 2,702,985 | | | | — | | | | 112,574 | | | | — | | | | 2,815,559 | |
Unrealized depreciation on OTC swaps (a) | | | 158,665 | | | | 51,609 | | | | 57,099 | | | | — | | | | 267,373 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 3,007,448 | | | $ | 1,410,561 | | | $ | 169,675 | | | $ | — | | | $ | 4,587,684 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Effect of Derivative Instruments on the Statements of Operations for the Year Ended August 31, 2019: | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit risk | | | Equity risk | | | Total | |
| Realized gain/(loss) on derivatives (d) | | | | | | | | | | | | | | | | | | | | |
Purchased options | | $ | 121,887 | | | $ | (31,290 | ) | | $ | — | | | $ | — | | | $ | 90,597 | |
Futures contracts | | | 2,096,235 | | | | — | | | | — | | | | — | | | | 2,096,235 | |
Options contracts written | | | 27,127 | | | | 139,590 | | | | 24,330 | | | | — | | | | 191,047 | |
Swap contracts | | | 310,881 | | | | (734,935 | ) | | | (890,016 | ) | | | — | | | | (1,314,070 | ) |
Forward foreign currency contracts | | | — | | | | 5,573,876 | | | | — | | | | — | | | | 5,573,876 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 2,556,130 | | | $ | 4,947,241 | | | $ | (865,686 | ) | | $ | — | | | $ | 6,637,685 | |
| | | | | | | | | | | | | | | | | | | | |
| Change in unrealized appreciation (depreciation) on derivatives (e) | | | | | | | | | | | | | | | | | | | | |
Purchased options | | $ | (21,749 | ) | | $ | 10,094 | | | $ | — | | | $ | — | | | $ | (11,655 | ) |
Futures contracts | | | 400,714 | | | | — | | | | — | | | | — | | | | 400,714 | |
Options contracts written | | | (1,133 | ) | | | (12,778 | ) | | | (4,754 | ) | | | — | | | | (18,665 | ) |
Swap contracts | | | (2,355,708 | ) | | | (82,010 | ) | | | 67,304 | | | | — | | | | (2,370,414 | ) |
Forward foreign currency contracts | | | — | | | | 594,718 | | | | — | | | | — | | | | 594,718 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | (1,977,876 | ) | | $ | 510,024 | | | $ | 62,550 | | | $ | — | | | $ | (1,405,302 | ) |
| | | | | | | | | | | | | | | | | | | | |
Municipal Bond Fund
| | | | | | | | | | | | | | | | | | | | |
Fair Values of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2019: | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Asset derivatives | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on open futures contracts (b) | | $ | 19,596 | | | $ | — | | | $ | — | | | $ | — | | | $ | 19,596 | |
| | | | | | | | | | | | | | | | | | | | |
333
| | |
| | | |
| Notes to Financial Statements | | |
| | | | | | | | | | | | | | | | | | | | |
Effect of Derivative Instruments on the Statements of Operations for the Year Ended August 31, 2019: | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Realized gain/(loss) on derivatives (d) | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | (313,158 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | (313,158 | ) |
| | | | | | | | | | | | | | | | | | | | |
| Change in unrealized appreciation (depreciation) on derivatives (e) | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | 19,596 | | | $ | — | | | $ | — | | | $ | — | | | $ | 19,596 | |
| | | | | | | | | | | | | | | | | | | | |
Inflation-Linked Fixed Income Fund
| | | | | | | | | | | | | | | | | | | | |
Fair Values of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2019: | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Asset derivatives | | | | | | | | | | | | | | | | | | | | |
Purchased options (c) | | $ | 23,165 | | | $ | — | | | $ | — | | | $ | — | | | $ | 23,165 | |
Unrealized appreciation on open futures contracts (b) | | | 18,915 | | | | — | | | | — | | | | — | | | | 18,915 | |
Unrealized appreciation on forward foreign currency contracts (c) | | | — | | | | 809,252 | | | | — | | | | — | | | | 809,252 | |
Unrealized appreciation on centrally cleared swaps (f) | | | 1,356,265 | | | | — | | | | 3,438 | | | | — | | | | 1,359,703 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 1,398,345 | | | $ | 809,252 | | | $ | 3,438 | | | $ | — | | | $ | 2,211,035 | |
| | | | | | | | | | | | | | | | | | | | |
| Liability derivatives | | | | | | | | | | | | | | | | | | | | |
Options contracts written outstanding (a) | | $ | 82,299 | | | $ | — | | | $ | 578 | | | $ | — | | | $ | 82,877 | |
Unrealized depreciation on open futures contracts (b) | | | 258,188 | | | | — | | | | — | | | | — | | | | 258,188 | |
Unrealized depreciation on forward foreign currency contracts (a) | | | — | | | | 295,939 | | | | — | | | | — | | | | 295,939 | |
Unrealized depreciation on centrally cleared swaps (f) | | | 2,496,492 | | | | — | | | | 218 | | | | — | | | | 2,496,710 | |
Unrealized depreciation on OTC swap contracts (a) | | | — | | | | — | | | | 16,438 | | | | — | | | | 16,438 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 2,836,979 | | | $ | 295,939 | | | $ | 17,234 | | | $ | — | | | $ | 3,150,152 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Effect of Derivative Instruments on the Statements of Operations for the Year Ended August 31, 2019: | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Realized gain/(loss) on derivatives (d) | | | | | | | | | | | | | | | | | | | | |
Purchased options | | $ | 646,459 | | | $ | — | | | $ | — | | | $ | — | | | $ | 646,459 | |
Futures contracts | | | (3,073,271 | ) | | | — | | | | — | | | | — | | | | (3,073,271 | ) |
Options contracts written | | | (181,312 | ) | | | 11,178 | | | | 10,918 | | | | — | | | | (159,216 | ) |
Swap contracts | | | (365,107 | ) | | | — | | | | 66,976 | | | | — | | | | (298,131 | ) |
Forward foreign currency contracts | | | — | | | | 2,018,212 | | | | — | | | | — | | | | 2,018,212 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | (2,973,231 | ) | | $ | 2,029,390 | | | $ | 77,894 | | | $ | — | | | $ | (865,947 | ) |
| | | | | | | | | | | | | | | | | | | | |
| Change in unrealized appreciation (depreciation) on derivatives (e) | | | | | | | | | | | | | | | | | | | | |
Purchased options | | $ | (1,933 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | (1,933 | ) |
Futures contracts | | | (339,080 | ) | | | — | | | | — | | | | — | | | | (339,080 | ) |
Options contracts written | | | 16,505 | | | | 10,195 | | | | 3,927 | | | | — | | | | 30,627 | |
Swap contracts | | | (1,519,776 | ) | | | — | | | | (94,696 | ) | | | — | | | | (1,614,472 | ) |
Forward foreign currency contracts | | | — | | | | (500,676 | ) | | | — | | | | — | | | | (500,676 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | $ | (1,844,284 | ) | | $ | (490,481 | ) | | $ | (90,769 | ) | | $ | — | | | $ | (2,425,534 | ) |
| | | | | | | | | | | | | | | | | | | | |
334
| | |
| | | |
| Notes to Financial Statements | | |
Ultra-Short Term Fixed Income Fund
| | | | | | | | | | | | | | | | | | | | |
Fair Values of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2019: | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Asset derivatives | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on open futures contracts (b) | | $ | 345,858 | | | $ | — | | | $ | — | | | $ | — | | | $ | 345,858 | |
Unrealized appreciation on forward foreign currency contracts (c) | | | — | | | | 868,017 | | | | — | | | | — | | | | 868,017 | |
Unrealized appreciation on centrally cleared swaps (f) | | | 24,585 | | | | — | | | | — | | | | — | | | | 24,585 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 370,443 | | | $ | 868,017 | | | $ | — | | | $ | — | | | $ | 1,238,460 | |
| | | | | | | | | | | | | | | | | | | | |
| Liability derivatives | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on open futures contracts (b) | | $ | 636,707 | | | $ | — | | | $ | — | | | $ | — | | | $ | 636,707 | |
Unrealized depreciation on forward foreign currency contracts (a) | | | — | | | | 177,427 | | | | — | | | | — | | | | 177,427 | |
Unrealized depreciation on centrally cleared swaps (f) | | | 7,642,592 | | | | — | | | | 143,660 | | | | — | | | | 7,786,252 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 8,279,299 | | | $ | 177,427 | | | $ | 143,660 | | | $ | — | | | $ | 8,600,386 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Effect of Derivative Instruments on the Statements of Operations for the Year Ended August 31, 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 | | | (1,927,636 | ) | | | — | | | | — | | | | — | | | | (1,927,636 | ) |
Swap contracts | | | (125,382 | ) | | | — | | | | (191,116 | ) | | | — | | | | (316,498 | ) |
Forward foreign currency contracts | | | — | | | | 2,489,490 | | | | — | | | | — | | | | 2,489,490 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | (2,071,780 | ) | | $ | 2,489,490 | | | $ | (191,116 | ) | | $ | — | | | $ | 226,594 | |
| | | | | | | | | | | | | | | | | | | | |
| Change in unrealized appreciation (depreciation) on derivatives (e) | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | (473,694 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | (473,694 | ) |
Swap contracts | | | (7,623,990 | ) | | | — | | | | (110,694 | ) | | | — | | | | (7,734,684 | ) |
Forward foreign currency contracts | | | — | | | | 665,710 | | | | — | | | | — | | | | 665,710 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | (8,097,684 | ) | | $ | 665,710 | | | $ | (110,694 | ) | | $ | — | | | $ | (7,542,668 | ) |
| | | | | | | | | | | | | | | | | | | | |
| (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 of Assets and Liabilities. Cumulative appreciation (depreciation) on centrally cleared swaps is reported in the open swap contracts table in the Fund’s Schedule of Investments. |
335
| | |
| | | |
| Notes to Financial Statements | | |
The average monthly notional amounts of futures contracts, swaps contracts and forward foreign currency contracts, and the monthly average market value of options contracts written and purchased options outstanding during the year ended August 31, 2019 were as follows:
Large Cap Equity Fund
| | | | | | | | | | | | | | | | |
| | | | |
| | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | 10,423,348 | |
Small-Mid Cap Equity Fund
| | | | | | | | | | | | | | | | |
| | | | |
| | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | 2,607,408 | |
International Equity Fund
| | | | | | | | | | | | | | | | |
| | | | |
| | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | 2,444,962 | |
Forward foreign currency contracts | | | — | | | | 82,809 | | | | — | | | | — | |
Emerging Markets Equity Fund
| | | | | | | | | | | | | | | | |
| | | | |
| | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | 2,214,751 | |
Forward foreign currency contracts | | | — | | | | 529 | | | | — | | | | — | |
Core Fixed Income Fund
| | | | | | | | | | | | | | | | |
| | | | |
| | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | |
Purchased options | | $ | 196,997 | | | $ | 158,894 | | | $ | — | | | $ | — | |
Futures contracts | | | 454,895,756 | | | | 600,606 | | | | — | | | | — | |
Option contracts written | | | 288,088 | | | | 11,100 | | | | — | | | | — | |
Swap contracts | | | 84,655,095 | | | | — | | | | 5,902,585 | | | | — | |
Forward foreign currency contracts | | | — | | | | 48,786,583 | | | | — | | | | — | |
International Fixed Income Fund
| | | | | | | | | | | | | | | | |
| | | | |
| | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | |
Purchased options | | $ | 8,692 | | | $ | 15,387 | | | $ | — | | | $ | — | |
Futures contracts | | | 239,632,680 | | | | — | | | | — | | | | — | |
Option contracts written | | | 30,948 | | | | 43,703 | | | | 2,502 | | | | — | |
Swap contracts | | | 337,562,712 | | | | 17,905,144 | | | | 70,212,000 | | | | — | |
Forward foreign currency contracts | | | — | | | | 299,230,330 | | | | — | | | | — | |
336
| | |
| | | |
| Notes to Financial Statements | | |
Municipal Bond Fund
| | | | | | | | | | | | | | | | |
| | | | |
| | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | |
Futures contracts | | $ | 2,604,451 | | | $ | — | | | $ | — | | | $ | — | |
Inflation-Linked Fixed Income Fund
| | | | | | | | | | | | | | | | |
| | | | |
| | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | |
Purchased options | | $ | 136,934 | | | $ | — | | | $ | — | | | $ | — | |
Futures contracts | | | 137,046,304 | | | | — | | | | — | | | | — | |
Option contracts written | | | 175,778 | | | | 2,746 | | | | 1,319 | | | | — | |
Swap contracts | | | 114,299,906 | | | | — | | | | 2,582,524 | | | | — | |
Forward foreign currency contracts | | | — | | | | 61,445,558 | | | | — | | | | — | |
Ultra-Short Term Fixed Income Fund
| | | | | | | | | | | | | | | | |
| | | | |
| | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | |
Purchased options | | $ | 1,671 | | | $ | — | | | $ | — | | | $ | — | |
Futures contracts | | | 771,449,153 | | | | — | | | | — | | | | — | |
Swap contracts | | | 759,206,681 | | | | — | | | | 11,032,000 | | | | — | |
Forward foreign currency contracts | | | — | | | | 92,224,355 | | | | — | | | | — | |
(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
337
| | |
| | | |
| Notes to Financial Statements | | |
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 August 31, 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 | | $ | 10,056,358 | | | $ | — | | | $ | (10,056,358 | ) | | $ | 0 | |
Small-Mid Cap Equity Fund | | | 9,655,513 | | | | — | | | | (9,655,513 | ) | | | 0 | |
International Equity Fund | | | 8,831,771 | | | | — | | | | (8,831,771 | ) | | | 0 | |
Emerging Markets Equity Fund | | | 8,152,889 | | | | — | | | | (8,152,889 | ) | | | 0 | |
Core Fixed Income Fund | | | 138,000 | | | | — | | | | (138,000 | ) | | | 0 | |
High Yield Fund | | | 123,065 | | | | — | | | | (123,065 | ) | | | 0 | |
| (a) | Represents market value of securities on loan at period end. |
| (b) | The Funds received cash collateral of $10,273,681, $9,907,772, $9,378,863, $8,218,833, $143,175 and $125,726, 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. |
The Funds have adopted the disclosure provisions of FASB Accounting Standards Update No. 2014-11 (“ASU No. 2014-11”), “Transfers & Servicing (Topic 860): Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures.” ASU No. 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 August 31, 2019:
| | | | | | | | | | | | | | | | | | | | |
| | | Remaining Contractual Maturity of the Agreements
As of August 31, 2019 | |
| | | Overnight and
Continuous | | | < 30 days | | | Between 30 & 90 days | | | > 90 days | | | Total | |
| Large Cap Equity Fund | | | | | | | | | | | | | | | | | | | | |
| Securities Lending Transactions | | | | | | | | | | | | | | | | | | | | |
Common Stocks | | $ | 10,273,681 | | | $ | — | | | $ | — | | | $ | — | | | $ | 10,273,681 | |
| | | | | | | | | | | | | | | | | | | | |
Total Borrowings | | $ | 10,273,681 | | | $ | — | | | $ | — | | | $ | — | | | $ | 10,273,681 | |
| | | | | | | | | | | | | | | | | | | | |
Gross amount of recognized liabilities for securities lending transactions | | | | | | | | | | | $ | 10,273,681 | |
| | | | | | | | | | | | | |
| | | | | |
| Small-Mid Cap Equity Fund | | | | | | | | | | | | | | | | | | | | |
| Securities Lending Transactions | | | | | | | | | | | | | | | | | | | | |
Common Stocks | | $ | 9,907,772 | | | $ | — | | | $ | — | | | $ | — | | | $ | 9,907,772 | |
| | | | | | | | | | | | | | | | | | | | |
Total Borrowings | | $ | 9,907,772 | | | $ | — | | | $ | — | | | $ | — | | | $ | 9,907,772 | |
| | | | | | | | | | | | | | | | | | | | |
Gross amount of recognized liabilities for securities lending transactions | | | | | | | | | | | $ | 9,907,772 | |
| | | | | | | | | | | | | |
338
| | |
| | | |
| Notes to Financial Statements | | |
| | | | | | | | | | | | | | | | | | | | |
| | | Remaining Contractual Maturity of the Agreements
As of August 31, 2019 | |
| | | Overnight and
Continuous | | | < 30 days | | | Between 30 & 90 days | | | > 90 days | | | Total | |
| International Equity Fund | | | | | | | | | | | | | | | | | | | | |
| Securities Lending Transactions | | | | | | | | | | | | | | | | | | | | |
Common Stocks | | $ | 9,378,863 | | | $ | — | | | $ | — | | | $ | — | | | $ | 9,378,863 | |
| | | | | | | | | | | | | | | | | | | | |
Total Borrowings | | $ | 9,378,863 | | | $ | — | | | $ | — | | | $ | — | | | $ | 9,378,863 | |
| | | | | | | | | | | | | | | | | | | | |
Gross amount of recognized liabilities for securities lending transactions | | | | | | | | | | | $ | 9,378,863 | |
| | | | | | | | | | | | | |
| | | | | |
| Emerging Markets Equity Fund | | | | | | | | | | | | | | | | | | | | |
| Securities Lending Transactions | | | | | | | | | | | | | | | | | | | | |
Common Stocks | | $ | 8,218,833 | | | $ | — | | | $ | — | | | $ | — | | | $ | 8,218,833 | |
| | | | | | | | | | | | | | | | | | | | |
Total Borrowings | | $ | 8,218,833 | | | $ | — | | | $ | — | | | $ | — | | | $ | 8,218,833 | |
| | | | | | | | | | | | | | | | | | | | |
Gross amount of recognized liabilities for securities lending transactions | | | | | | | | | | | $ | 8,218,833 | |
| | | | | | | | | | | | | |
| | | | | |
| Core Fixed Income Fund | | | | | | | | | | | | | | | | | | | | |
| Securities Lending Transactions | | | | | | | | | | | | | | | | | | | | |
Corporate Security | | $ | — | | | $ | — | | | $ | — | | | $ | 143,175 | | | $ | 143,175 | |
| | | | | | | | | | | | | | | | | | | | |
Total Borrowings | | $ | — | | | $ | — | | | $ | — | | | $ | 143,175 | | | $ | 143,175 | |
| | | | | | | | | | | | | | | | | | | | |
Gross amount of recognized liabilities for securities lending transactions | | | | | | | | | | | $ | 143,175 | |
| | | | | | | | | | | | | |
| | | | | |
| High Yield Fund | | | | | | | | | | | | | | | | | | | | |
| Securities Lending Transactions | | | | | | | | | | | | | | | | | | | | |
Corporate Securities | | $ | — | | | $ | — | | | $ | — | | | $ | 125,726 | | | $ | 125,726 | |
| | | | | | | | | | | | | | | | | | | | |
Total Borrowings | | $ | — | | | $ | — | | | $ | — | | | $ | 125,726 | | | $ | 125,726 | |
| | | | | | | | | | | | | | | | | | | | |
Gross amount of recognized liabilities for securities lending transactions | | | | | | | | | | | $ | 125,726 | |
| | | | | | | | | | | | | |
| | | | | |
| International Fixed Income Fund | | | | | | | | | | | | | | | | | | | | |
| Reverse Repurchase Agreements Transactions | | | | | | | | | | | | | | | | | |
Sovereign Bonds | | $ | — | | | $ | — | | | $ | 6,661,267 | | | $ | — | | | $ | 6,661,267 | |
U.S. Government Obligations | | | — | | | | 3,027,500 | | | | 7,247,138 | | | | — | | | | 10,274,638 | |
| Sale-Buyback Transactions | | | | | | | | | | | | | | | | | | | | |
Non-U.S. Government Obligations | | $ | — | | | $ | 773,255 | | | $ | — | | | $ | — | | | $ | 773,255 | |
| | | | | | | | | | | | | | | | | | | | |
Total Borrowings | | $ | — | | | $ | 3,800,755 | | | $ | 13,908,405 | | | $ | — | | | $ | 17,709,160 | |
| | | | | | | | | | | | | | | | | | | | |
Gross amount of recognized liabilities for reverse repurchase agreements transactions | | | | | | | $ | 16,935,905 | |
| | | | | | | | | | | | | | | | | | | | |
Gross amount of recognized liabilities for sale-buyback transactions | | | | | | | $ | 773,255 | |
| | | | | | | | | | | | | |
| | | | | |
| Inflation-Linked Fixed Income Fund | | | | | | | | | | | | | | | | | | | | |
| Reverse Repurchase Agreements Transactions | | | | | | | | | | | | | | | | | |
U.S. Government Obligations | | $ | — | | | $ | 5,133,676 | | | $ | 48,954,325 | | | $ | — | | | $ | 54,088,001 | |
| Sale-Buyback Transactions | | | | | | | | | | | | | | | | | | | | |
U.S. Government Obligations | | $ | — | | | $ | 5,028,816 | | | $ | — | | | $ | — | | | $ | 5,028,816 | |
| | | | | | | | | | | | | | | | | | | | |
Total Borrowings | | $ | — | | | $ | 10,162,492 | | | $ | 48,954,325 | | | $ | — | | | $ | 59,116,817 | |
| | | | | | | | | | | | | | | | | | | | |
Gross amount of recognized liabilities for reverse repurchase agreements transactions | | | | | | | $ | 54,088,001 | |
| | | | | | | | | | | | | | | | | | | | |
Gross amount of recognized liabilities for sale-buyback transactions | | | | | | | $ | 5,028,816 | |
| | | | | | | | | | | | | |
| | | | | |
| Ultra-Short Term Fixed Income Fund | | | | | | | | | | | | | | | | | | | | |
| Sale-Buyback Transactions | | | | | | | | | | | | | | | | | | | | |
U.S. Government Obligations | | $ | — | | | $ | 23,544,802.00 | | | $ | — | | | $ | — | | | $ | 23,544,802.00 | |
| | | | | | | | | | | | | | | | | | | | |
Total Borrowings | | $ | — | | | $ | 23,544,802.00 | | | $ | — | | | $ | — | | | $ | 23,544,802.00 | |
| | | | | | | | | | | | | | | | | | | | |
Gross amount of recognized liabilities for sale-buyback transactions | | | | | | | $ | 23,544,802 | |
| | | | | | | | | | | | | | | | | | | | |
339
| | |
| | | |
| Notes to Financial Statements | | |
(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 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.
340
| | |
| | | |
| Notes to Financial Statements | | |
(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.
(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.
341
| | |
| | | |
| Notes to Financial Statements | | |
(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.
| | | | | | | | | | |
| Fund | | | | Total distributable
earnings (losses) | | | Paid-in-capital | |
Large Cap Equity Fund | | (a) | | $ | (6,192,941 | ) | | $ | 6,192,941 | |
Small-Mid Cap Equity Fund | | (a) | | | (9,201,790 | ) | | | 9,201,790 | |
International Equity Fund | | | | | — | | | | — | |
Emerging Markets Fund | | | | | — | | | | — | |
Core Fixed Income Fund | | (a) | | | (544,650 | ) | | | 544,650 | |
High Yield Fund | | | | | — | | | | — | |
International Fixed Income Fund | | | | | — | | | | — | |
Municipal Bond Fund | | (a) | | | (165,924 | ) | | | 165,924 | |
Inflation-Linked Fixed Income Fund | | | | | — | | | | — | |
Ultra-Short Term Fixed Income Fund | | | | | — | | | | — | |
Alternative Strategies Fund | | (a) | | | (2,348 | ) | | | 2,348 | |
| (a) | Reclassifications are primarily due to use of tax equalization. |
(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 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
342
| | |
| | | |
| Notes to Financial Statements | | |
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.
The following table summarizes the Core Fixed Income Fund’s partially unfunded loan position as of August 31, 2019.
| | | | | | | | | | | | | | | | |
| | | Principal | | | Unfunded Bank
Loan Interest
(Cost) | | | Value of
Underlying Bank
Loan Interest
(Value) | | | Unrealized
Appreciation | |
Allied Universal Holdco LLC . . . . .. . . . . | | $ | 2,702 | | | $ | 2,702 | | | $ | 2,704 | | | $ | 2 | |
| | | | | | | | | | | | | | | | |
(x) When-Issued and Delayed Delivery Securities. Certain Fund may purchase securities, including U.S. government securities, on a when-issued basis or may purchase or sell securities for delayed delivery. In such transactions, delivery of the securities occurs beyond the normal settlement period, but no payment or delivery is made by a Fund prior to the actual delivery or payment by the other party to the transaction. The purchase of securities on a when-issued or delayed delivery basis involves the risk that the value of the securities purchased will decline prior to the settlement date. The sale of securities for delayed delivery involves the risk that the prices available in the market on the delivery date may be greater than those obtained in the sale transaction. When-issued and delayed delivery transactions will be fully collateralized by segregated liquid assets.
(y) Sale-Buyback Transactions. A sale-buyback financing transaction consists of a sale of a security by a Fund to a counterparty, with a simultaneous agreement to repurchase the same or substantially the same security at an agreed-upon price and date. The Fund will segregate assets determined to be liquid by the Sub-adviser or will otherwise cover its obligations under sale-buyback transactions.
As of August 31, 2019, the International Fixed Income Fund, Inflation-Linked Fixed Income Fund and Ultra-Short Term Fixed Income Fund participated in sale-buyback transactions. The payable for investments purchased related to sale-buyback transactions at the year end, an average amount of borrowings, incurred interest expense and a weighted average interest rate related to sale-buyback transactions outstanding during the year ended August 31, 2019, were as following:
| | | | | | | | | | | | |
| | | |
| | | International Fixed Income Fund | | | Inflation-Linked Fixed Income Fund | | | Ultra-Short Term Fixed
Income Fund | |
Payable for investments purchased | | $ | 773,255 | | | $ | 5,028,816 | | | $ | 23,544,802 | |
Average amount of borrowings | | | 588,353 | | | | 3,007,960 | | | | 20,757,382 | |
Interest expense | | | 12,917 | | | | 103,088 | | | | 527,460 | |
Weighted average interest rate | | | 3.80 | % | | | 2.54 | % | | | 2.43 | % |
343
| | |
| | | |
| Notes to Financial Statements | | |
(z) 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.
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 August 31, 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 August 31, 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 August 31, 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 August 31, 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 | | $ | 656,299 | | | $ | 1,106,968 | |
Options contracts | | | 438,212 | (b) | | | — | |
Swap contracts | | | 293,658 | | | | 30,102 | |
| | | | | | | | |
Total Derivative Instruments, subject to master netting arrangement or similar arrangement | | $ | 1,388,169 | | | $ | 1,137,070 | |
| | | | | | | | |
344
| | |
| | | |
| Notes to Financial Statements | | |
| | | | | | | | |
| | | 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 | |
| International Fixed Income Fund: | | | | | | | | |
Forward foreign currency contracts | | $ | 2,433,866 | | | $ | 1,332,320 | |
Options contracts | | | 51,321 | (b) | | | 76,577 | |
Swap contracts | | | 90,617 | | | | 267,373 | |
| | | | | | | | |
Total Derivative Instruments, subject to master netting arrangement or similar arrangement | | $ | 2,575,804 | | | $ | 1,676,270 | |
| | | | | | | | |
| Inflation-Linked Fixed Income Fund: | | | | | | | | |
Forward foreign currency contracts | | $ | 809,252 | | | $ | 295,939 | |
Options contracts | | | — | | | | 2,756 | |
Swap contracts | | | — | | | | 16,438 | |
| | | | | | | | |
Total Derivative Instruments, subject to master netting arrangement or similar arrangement | | $ | 809,252 | | | $ | 315,133 | |
| | | | | | | | |
| Ultra-Short Term Fixed Income Fund: | | | | | | | | |
Forward foreign currency contracts | | $ | 868,017 | | | $ | 177,427 | |
| | | | | | | | |
Total Derivative Instruments, subject to master netting arrangement or similar arrangement | | $ | 868,017 | | | $ | 177,427 | |
| | | | | | | | |
| (a) | Excludes exchange-traded derivatives. |
| (b) | Amounts are included in Unaffiliated Investments in the Statements of Assets and Liabilities. |
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 of related collateral received or pledged as of August 31, 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. | | $ | 1,388,169 | | | $ | (1,137,070 | ) | | $ | — | | | $ | 251,099 | |
| | | | | | | | | | | | | | | | |
TotalOver-the-counter derivative instruments | | $ | 1,388,169 | | | $ | (1,137,070 | ) | | $ | — | | | $ | 251,099 | |
| | | | | | | | | | | | | | | | |
| | | | |
| 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. | | $ | 1,137,070 | | | $ | (1,137,070 | ) | | $ | — | | | $ | 0 | |
| | | | | | | | | | | | | | | | |
TotalOver-the-counter derivative instruments | | $ | 1,137,070 | | | $ | (1,137,070 | ) | | $ | — | | | $ | 0 | |
| | | | | | | | | | | | | | | | |
345
| | |
| | | |
| Notes to Financial Statements | | |
| | | | | | | | | | | | | | | | |
| 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 | | $ | 587,155 | | | $ | (58,969 | ) | | $ | (270,000 | ) | | $ | 258,186 | |
Barclays Bank PLC | | | 55,416 | | | | (55,416 | ) | | | — | | | | 0 | |
BNP Paribas SA | | | 434,421 | | | | (219,845 | ) | | | — | | | | 214,576 | |
Deutsche Bank AG | | | 32,440 | | | | (32,440 | ) | | | — | | | | 0 | |
Goldman Sachs & Co. | | | 325,205 | | | | (325,205 | ) | | | — | | | | 0 | |
HSBC Bank USA | | | 546,251 | | | | (546,251 | ) | | | — | | | | 0 | |
JPMorgan Chase & Co. | | | 187,470 | | | | (89,607 | ) | | | — | | | | 97,863 | |
Royal Bank of Scotland PLC | | | 5,730 | | | | (5,730 | ) | | | — | | | | 0 | |
Societe Generale SA | | | 37,292 | | | | (37,292 | ) | | | — | | | | 0 | |
Standard Chartered Bank | | | 141,976 | | | | (52,881 | ) | | | (10,000 | ) | | | 79,095 | |
UBS Securities LLC | | | 222,448 | | | | (100,344 | ) | | | (60,000 | ) | | | 62,104 | |
| | | | | | | | | | | | | | | | |
TotalOver-the-counter derivative instruments | | $ | 2,575,804 | | | $ | (1,523,980 | ) | | $ | (340,000 | ) | | $ | 711,824 | |
| | | | | | | | | | | | | | | | |
| | | | |
| 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 | | $ | 58,969 | | | $ | (58,969 | ) | | $ | — | | | $ | 0 | |
Barclays Bank PLC | | | 99,003 | | | | (55,416 | ) | | | — | | | | 43,587 | |
BNP Paribas SA | | | 219,845 | | | | (219,845 | ) | | | — | | | | 0 | |
Deutsche Bank AG | | | 37,595 | | | | (32,440 | ) | | | — | | | | 5,155 | |
Goldman Sachs & Co. | | | 384,132 | | | | (325,205 | ) | | | — | | | | 58,927 | |
HSBC Bank USA | | | 579,520 | | | | (546,251 | ) | | | — | | | | 33,269 | |
JPMorgan Chase & Co. | | | 89,607 | | | | (89,607 | ) | | | — | | | | 0 | |
Royal Bank of Scotland PLC | | | 13,277 | | | | (5,730 | ) | | | — | | | | 7,547 | |
Societe Generale SA | | | 41,097 | | | | (37,292 | ) | | | — | | | | 3,805 | |
Standard Chartered Bank | | | 52,881 | | | | (52,881 | ) | | | — | | | | 0 | |
UBS Securities LLC | | | 100,344 | | | | (100,344 | ) | | | — | | | | 0 | |
| | | | | | | | | | | | | | | | |
TotalOver-the-counter derivative instruments | | $ | 1,676,270 | | | $ | (1,523,980 | ) | | $ | — | | | $ | 152,290 | |
| | | | | | | | | | | | | | | | |
346
| | |
| | | |
| Notes to Financial Statements | | |
| | | | | | | | | | | | | | | | |
| 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 | | $ | 10,337 | | | $ | (7,211 | ) | | $ | — | | | $ | 3,126 | |
BNP Paribas SA | | | 263,596 | | | | (51,258 | ) | | | (110,000 | ) | | | 102,338 | |
Deutsche Bank AG | | | 2,822 | | | | (2,822 | ) | | | — | | | | 0 | |
HSBC Bank USA | | | 182,216 | | | | (60,898 | ) | | | (80,000 | ) | | | 41,318 | |
JPMorgan Chase & Co. | | | 196,758 | | | | (36,396 | ) | | | (140,000 | ) | | | 20,362 | |
Merrill Lynch, Pierce, Fenner & Smith Inc. | | | 85,283 | | | | (85,283 | ) | | | — | | | | 0 | |
Standard Chartered Bank | | | 68,240 | | | | (42,592 | ) | | | — | | | | 25,648 | |
| | | | | | | | | | | | | | | | |
TotalOver-the-counter derivative instruments | | $ | 809,252 | | | $ | (286,460 | ) | | $ | (330,000 | ) | | $ | 192,792 | |
| | | | | | | | | | | | | | | | |
| | | | |
| 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 | | $ | 7,211 | | | $ | (7,211 | ) | | $ | — | | | $ | 0 | |
BNP Paribas SA | | | 51,258 | | | | (51,258 | ) | | | — | | | | 0 | |
Deutsche Bank AG | | | 5,111 | | | | (2,822 | ) | | | — | | | | 2,289 | |
HSBC Bank USA | | | 60,898 | | | | (60,898 | ) | | | — | | | | 0 | |
JPMorgan Chase & Co. | | | 36,396 | | | | (36,396 | ) | | | — | | | | 0 | |
Merrill Lynch, Pierce, Fenner & Smith Inc. | | | 111,667 | | | | (85,283 | ) | | | — | | | | 26,384 | |
Standard Chartered Bank | | | 42,592 | | | | (42,592 | ) | | | — | | | | 0 | |
| | | | | | | | | | | | | | | | |
TotalOver-the-counter derivative instruments | | $ | 315,133 | | | $ | (286,460 | ) | | $ | — | | | $ | 28,673 | |
| | | | | | | | | | | | | | | | |
| | | | |
| 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) | |
| Ultra-Short Term Fixed Income Fund | | | | | | | | | | | | | | | | |
| Over-the-counter | | | | | | | | | | | | | | | | |
BNP Paribas SA | | $ | 553,581 | | | $ | (21,750 | ) | | $ | (270,000 | ) | | $ | 261,831 | |
HSBC Bank USA | | | 192,956 | | | | (610 | ) | | | (120,000 | ) | | | 72,346 | |
JPMorgan Chase & Co. | | | 37,311 | | | | (842 | ) | | | — | | | | 36,469 | |
Merrill Lynch, Pierce, Fenner & Smith Inc. | | | 56,067 | | | | (56,067 | ) | | | — | | | | 0 | |
Standard Chartered Bank | | | 28,102 | | | | — | | | | — | | | | 28,102 | |
| | | | | | | | | | | | | | | | |
TotalOver-the-counter derivative instruments | | $ | 868,017 | | | $ | (79,269 | ) | | $ | (390,000 | ) | | $ | 398,748 | |
| | | | | | | | | | | | | | | | |
347
| | |
| | | |
| 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) | |
| Ultra-Short Term Fixed Income Fund | | | | | | | | | | | | | | | | |
| Over-the-counter | | | | | | | | | | | | | | | | |
Barclays Bank PLC | | $ | 39,959 | | | $ | — | | | $ | — | | | $ | 39,959 | |
BNP Paribas SA | | | 21,750 | | | | (21,750 | ) | | | — | | | | 0 | |
HSBC Bank USA | | | 610 | | | | (610 | ) | | | — | | | | 0 | |
JPMorgan Chase & Co. | | | 842 | | | | (842 | ) | | | — | | | | 0 | |
Merrill Lynch, Pierce, Fenner & Smith Inc. | | | 114,266 | | | | (56,067 | ) | | | — | | | | 58,199 | |
| | | | | | | | | | | | | | | | |
TotalOver-the-counter derivative instruments | | $ | 177,427 | | | $ | (79,269 | ) | | $ | — | | | $ | 98,158 | |
| | | | | | | | | | | | | | | | |
| (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. |
2. Investment Management Agreement and Other Transactions with Affiliates
CGAS, a business of Morgan Stanley Wealth Management, 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 year ended August 31, 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 | | | 0.28 | % | | | 0.20 | % | | | 0.80 | % |
International Equity Fund | | | 0.33 | % | | | 0.20 | % | | | 0.70 | % |
Emerging Markets Equity Fund | | | 0.39 | % | | | 0.20 | % | | | 0.90 | % |
348
| | |
| | | |
| Notes to Financial Statements | | |
| | | | | | | | | | | | |
| Fund | | Sub-advisory
Fee | | | Consulting Group
Advisory Services LLC
Fee | | | Maximum
Allowable Annual
Management Fees | |
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 year ended August 31, 2019, the amounts waived and/or reimbursed by the Manager were as follows:
| | | | |
| Fund | | Amounts Waived
and/or Reimbursed | |
Large Cap Equity Fund | | $ | 3,366,743 | |
Small-Mid Cap Equity Fund | | | 1,433,552 | |
International Equity Fund | | | 2,486,433 | |
Emerging Markets Equity Fund | | | 1,540,399 | |
Core Fixed Income Fund | | | 182,721 | |
High Yield Fund | | | 108,094 | |
International Fixed Income Fund | | | 72,891 | |
Municipal Bond Fund | | | — | |
Inflation-Linked Fixed Income Fund | | | 116,355 | |
Ultra-Short Term Fixed Income Fund | | | 260,525 | |
Alternative Strategies Fund | | | 227,270 | |
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 year ended August 31, 2019, Morgan Stanley & Co. Incorporated (“MS&Co.”), and its affiliates, including Morgan Stanley Smith Barney LLC, the Trust’s distributor, received brokerage commissions of:
| | | | |
| Fund Name | | Commission
Dollars to MS&Co. | |
Large Cap Equity Fund | | $ | 2,725 | |
Small-Mid Cap Equity Fund | | | 264 | |
International Equity Fund | | | 7,149 | |
Emerging Markets Equity Fund | | | 1,867 | |
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 year ended August 31, 2019, the Funds assume the following to be affiliated issuers:
Large Cap Equity Fund
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Underlying Security | | Beginning
Value as of
August 31, 2018 | | | Purchases
at Cost | | | Proceeds
from Sales | | | Net Realized
Gain on Sales | | | Change in
Unrealized
(Depreciation) | | | Dividend/
Interest
Income | | | Ending
Value as of
August 31, 2019 | |
Morgan Stanley | | $ | 1,898,462 | | | $ | — | | | $ | (146,077 | ) | | $ | 64,927 | | | $ | (343,587 | ) | | $ | 45,758 | | | $ | 1,473,725 | |
349
| | |
| | | |
| Notes to Financial Statements | | |
Core Fixed Income Fund
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Underlying Security | | Beginning
Value as of
August 31, 2018 | | | Purchases
at Cost | | | Proceeds
from Sales | | | Net Realized
Gain on Sales | | | Change in
Unrealized
Appreciation | | | Accretion of
discount | | | Dividend/
Interest
Income | | | Ending
Value as of
August 31, 2019 | |
Morgan Stanley Bank of America Merrill Lynch Trust: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Series2013-C10, Class A4, 4.082% due 7/15/46 | | $ | 31,020 | | | $ | — | | | $ | (31,397 | ) | | $ | 265 | | | $ | 112 | | | $ | — | | | $ | 691 | | | $ | — | |
Series2013-C13, Class A4, 4.039% due 11/15/46 | | | 515,213 | | | | — | | | | — | | | | — | | | | 24,288 | | | | — | | | | 20,195 | | | | 539,501 | |
Series2015-C27, Class A4, 3.753% due 12/15/47 | | | 546,831 | | | | — | | | | (561,263 | ) | | | 12,804 | | | | 1,628 | | | | — | | | | 13,229 | | | | — | |
Series2016-C30, Class C, 4.127% due 9/15/49 | | | 253,948 | | | | — | | | | (259,330 | ) | | | 2,545 | | | | 2,778 | | | | 59 | | | | 6,261 | | | | — | |
Morgan Stanley Resecuritization Trust, Series2014-R3, Class 2A, 3.000% due 7/26/48 | | | — | | | | 1,922,885 | | | | — | | | | — | | | | 5,738 | | | | — | | | | 3,683 | | | | 1,928,623 | |
Ultra-Short Term Fixed Income Fund
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Underlying Security | | Beginning
Value as of
August 31, 2018 | | | Purchases
at Cost | | | Proceeds
from Sales | | | Net Realized
Gain on Sales | | | Change in
Unrealized
Appreciation | | | Dividend/
Interest
Income | | | Ending
Value as of
August 31, 2019 | |
Morgan Stanley ABS Capital I Inc. Trust, Series 2004-HE4, Class M1, 3.045% due 5/25/34 | | $ | — | | | $ | 697,718 | | | $ | (35,630 | ) | | $ | 198 | | | $ | 8,293 | | | $ | 12,188 | | | $ | 670,579 | |
3. Investments
During the year ended August 31, 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 | | $ | 208,458,162 | | | $ | 369,117,973 | | | $ | — | | | $
| —
|
|
Small-Mid Cap Equity Fund | | | 283,109,396 | | | | 341,152,144 | | | | — | | | | — | |
International Equity Fund | | | 401,264,484 | | | | 620,376,801 | | | | — | | | | — | |
Emerging Markets Fund | | | 121,089,672 | | | | 104,247,788 | | | | — | | | | — | |
Core Fixed Income Fund | | | 261,570,079 | | | | 194,939,401 | | | | 1,991,306,130 | | | | 1,791,186,787 | |
High Yield Fund | | | 21,267,555 | | | | 30,998,327 | | | | 801,943 | | | | 802,560 | |
International Fixed Income Fund | | | 64,570,374 | | | | 53,642,938 | | | | 394,478,198 | | | | 377,517,374 | |
Municipal Bond Fund | | | 47,280,943 | | | | 28,912,923 | | | | — | | | | — | |
Inflation-Linked Fixed Income Fund | | | 45,480,185 | | | | 25,701,885 | | | | 400,287,211 | | | | 395,858,389 | |
Ultra-Short Term Fixed Income Fund | | | 219,527,875 | | | | 196,340,407 | | | | 305,242,837 | | | | 310,479,279 | |
Alternative Strategies Fund | | | 22,972,984 | | | | 2,370,119 | | | | — | | | | — | |
The cost of investments for federal income tax purposes, gross unrealized appreciation and unrealized depreciation at August 31, 2019 have been disclosed under respective schedules of investments.
350
| | |
| | | |
| Notes to Financial Statements | | |
4. Shares of Beneficial Interest
At August 31, 2019, the Trust had an unlimited number of units of beneficial interest (shares) authorized with a par value of $0.001 per share. At August 31, 2019, Trustees and executive officers of the Trust as a group owned of record less than 1% of the outstanding shares of the Trust.
Transactions in shares of each Fund were as follows:
| | | | | | | | |
| | | Year Ended
August 31,
2019 | | | Year Ended
August 31,
2018 | |
| Large Cap Equity Fund | | | | | | | | |
Shares sold | | | 9,989,805 | | | | 11,076,982 | |
Shares issued on reinvestment | | | 10,384,649 | | | | 4,143,088 | |
Shares repurchased | | | (20,518,629 | ) | | | (23,631,636 | ) |
| | | | | | | | |
Net Decrease | | | (144,175 | ) | | | (8,411,566 | ) |
| | | | | | | | |
| | |
| Small-Mid Cap Equity Fund | | | | | | | | |
Shares sold | | | 5,496,318 | | | | 4,940,362 | |
Shares issued on reinvestment | | | 3,606,769 | | | | 1,203,655 | |
Shares repurchased | | | (8,946,045 | ) | | | (18,092,183 | ) |
| | | | | | | | |
Net Increase (Decrease) | | | 157,042 | | | | (11,948,166 | ) |
| | | | | | | | |
| | |
| International Equity Fund | | | | | | | | |
Shares sold | | | 20,548,551 | | | | 44,922,283 | |
Shares issued on reinvestment | | | 2,852,945 | | | | 1,716,459 | |
Shares repurchased | | | (42,827,638 | ) | | | (14,884,624 | ) |
| | | | | | | | |
Net Increase (Decrease) | | | (19,426,142 | ) | | | 31,754,118 | |
| | | | | | | | |
| | |
| Emerging Markets Equity Fund | | | | | | | | |
Shares sold | | | 7,176,650 | | | | 8,424,930 | |
Shares issued on reinvestment | | | 580,462 | | | | 423,141 | |
Shares repurchased | | | (7,394,458 | ) | | | (5,837,311 | ) |
| | | | | | | | |
Net Increase | | | 362,654 | | | | 3,010,760 | |
| | | | | | | | |
| | |
| Core Fixed Income Fund | | | | | | | | |
Shares sold | | | 55,563,245 | | | | 37,804,916 | |
Shares issued on reinvestment | | | 3,630,216 | | | | 2,763,385 | |
Shares repurchased | | | (26,605,169 | ) | | | (16,979,802 | ) |
| | | | | | | | |
Net Increase | | | 32,588,292 | | | | 23,588,499 | |
| | | | | | | | |
| | |
| High Yield Fund | | | | | | | | |
Shares sold | | | 3,010,925 | | | | 6,782,714 | |
Shares issued on reinvestment | | | 782,196 | | | | 1,489,503 | |
Shares repurchased | | | (6,313,761 | ) | | | (37,539,894 | ) |
| | | | | | | | |
Net Decrease | | | (2,520,640 | ) | | | (29,267,677 | ) |
| | | | | | | | |
| | |
| International Fixed Income Fund | | | | | | | | |
Shares sold | | | 2,603,108 | | | | 3,348,481 | |
Shares issued on reinvestment | | | 641,810 | | | | 226,162 | |
Shares repurchased | | | (4,041,970 | ) | | | (4,172,975 | ) |
| | | | | | | | |
Net Decrease | | | (797,052 | ) | | | (598,332 | ) |
| | | | | | | | |
351
| | |
| | | |
| Notes to Financial Statements | | |
| | | | | | | | |
| | | Year Ended
August 31,
2019 | | | Year Ended
August 31,
2018 | |
| Municipal Bond Fund | | | | | | | | |
Shares sold | | | 3,789,118 | | | | 1,560,276 | |
Shares issued on reinvestment | | | 205,371 | | | | 172,186 | |
Shares repurchased | | | (2,070,229 | ) | | | (929,360 | ) |
| | | | | | | | |
Net Increase | | | 1,924,260 | | | | 803,102 | |
| | | | | | | | |
| | |
| Inflation-Linked Fixed Income Fund | | | | | | | | |
Shares sold | | | 3,029,725 | | | | 9,202,089 | |
Shares issued on reinvestment | | | 521,525 | | | | 781,432 | |
Shares repurchased | | | (6,801,137 | ) | | | (4,379,797 | ) |
| | | | | | | | |
Net Increase (Decrease) | | | (3,249,887 | ) | | | 5,603,724 | |
| | | | | | | | |
| | |
| Ultra-Short Term Fixed Income Fund | | | | | | | | |
Shares sold | | | 10,613,811 | | | | 27,474,090 | |
Shares issued on reinvestment | | | 1,357,789 | | | | 846,293 | |
Shares repurchased | | | (12,615,669 | ) | | | (5,073,901 | ) |
| | | | | | | | |
Net Increase (Decrease) | | | (644,069 | ) | | | 23,246,482 | |
| | | | | | | | |
| | |
| Alternative Strategies Fund | | | | | | | | |
Shares sold | | | 2,715,976 | | | | 593,287 | * |
Shares issued on reinvestment | | | 10,258 | | | | — | |
Shares repurchased | | | (647,049 | ) | | | (13,313 | )* |
| | | | | | | | |
Net Increase | | | 2,079,185 | | | | 579,974 | |
| | | | | | | | |
| * | The values shown represent the period from Fund Inception (February 15, 2018) through the period ended August 31, 2018. |
5. Dividend and Tax Components of Capital
The tax character of distributors paid during the fiscal year ended August 31, 2019, were as follows:
| | | | | | | | | | | | | | | | |
| | | Large
Cap Equity
Fund | | | Small-Mid
Cap Equity
Fund | | | International
Equity
Fund | | | Emerging
Markets Equity
Fund | |
Distributions paid from: | | | | | | | | | | | | | | | | |
Tax Exempt | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
Tax Return of Capital | | | — | | | | — | | | | — | | | | — | |
Ordinary Income | | | 49,221,433 | | | | 28,001,919 | | | | 31,325,356 | | | | 7,592,456 | |
Net Long-Term Capital Gains | | | 128,983,954 | | | | 33,097,024 | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Total Distributions Paid | | $ | 178,205,387 | | | $ | 61,098,943 | | | $ | 31,325,356 | | | $ | 7,592,456 | |
| | | | | | | | | | | | | | | | |
| | | | |
| | | Core Fixed
Income
Fund | | | High Yield
Fund | | | International
Fixed Income
Fund | | | Municipal
Bond
Fund | |
Distributions paid from: | | | | | | | | | | | | | | | | |
Tax Exempt | | $ | — | | | $ | — | | | $ | — | | | $ | 1,700,246 | |
Tax Return of Capital | | | — | | | | — | | | | — | | | | — | |
Ordinary Income | | | 29,106,437 | | | | 2,874,860 | | | | 4,871,339 | | | | 22,526 | |
Net Long-Term Capital Gains | | | — | | | | — | | | | — | | | | 178,953 | |
| | | | | | | | | | | | | | | | |
Total Distributions Paid | | $ | 29,106,437 | | | $ | 2,874,860 | | | $ | 4,871,339 | | | $ | 1,901,725 | |
| | | | | | | | | | | | | | | | |
352
| | |
| | | |
| Notes to Financial Statements | | |
| | | | | | | | | | | | | | | | |
| | | | |
| | | | | | Inflation-Linked
Fixed Income
Fund | | | Ultra-Short
Term Fixed
Income Fund | | | Alternative
Strategies
Fund | |
Distributions paid from: | | | | | | | | | | | | | | | | |
Tax Exempt | | | $ | — | | | $ | — | | | $ | — | |
Tax Return of Capital | | | | — | | | | — | | | | — | |
Ordinary Income | | | | 5,096,357 | | | | 13,471,881 | | | | 75,081 | |
Net Long-Term Capital Gains | | | | — | | | | — | | | | 20,423 | |
| | | | | | | | | | | | | | | | |
Total Distributions Paid | | | $ | 5,096,357 | | | $ | 13,471,881 | | | $ | 95,504 | |
| | | | | | | | | | | | | | | | |
As of August 31, 2019, the components of accumulated earnings on a tax basis were as follows:
| | | | | | | | | | | | | | | | |
| | | Large
Cap Equity
Fund | | | Small-Mid
Cap Equity
Fund | | | International
Equity
Fund | | | Emerging
Markets Equity
Fund | |
Undistributed ordinary income - net | | $ | 6,385,905 | | | $ | 2,906,517 | | | $ | 36,437,578 | | | $ | 8,130,901 | |
Undistributed long-term capital gains - net | | | 61,112,484 | | | | 46,195,645 | | | | — | | | | — | |
Undistributed tax exempt Income - net | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Total undistributed earnings | | | 67,498,389 | | | | 49,102,162 | | | | 36,437,578 | | | | 8,130,901 | |
Capital loss carryforward | | | — | | | | — | | | | (41,277,627 | ) | | | (44,269,497 | ) |
Other book/tax temporary differences | | | (10,695,569 | )(a) | | | (4,507,657 | )(a) | | | (26,735,309 | )(a) | | | (10,353,138 | )(a) |
Unrealized appreciation (depreciation) | | | 497,359,745 | | | | 53,617,688 | | | | 51,999,687 | | | | 64,733,218 | |
| | | | | | | | | | | | | | | | |
Total accumulated earnings/(losses) - net | | $ | 554,162,565 | | | $ | 98,212,193 | | | $ | 20,424,329 | | | $ | 18,241,484 | |
| | | | | | | | | | | | | | | | |
| | | | |
| | | Core Fixed
Income
Fund | | | High Yield Fund | | | International
Fixed Income
Fund | | | Municipal
Bond
Fund | |
Undistributed ordinary income - net | | $ | 3,095,090 | | | $ | 1,166,685 | | | $ | 6,470,637 | | | $ | 30,312 | |
Undistributed long-term capital gains - net | | | — | | | | — | | | | — | | | | 391,590 | |
Undistributed tax exempt Income - net | | | — | | | | — | | | | — | | | | 420,989 | |
| | | | | | | | | | | | | | | | |
Total undistributed earnings | | | 3,095,090 | | | | 1,166,685 | | | | 6,470,637 | | | | 842,891 | |
Capital loss carryforward | | | — | | | | (25,938,682 | ) | | | — | | | | — | |
Other book/tax temporary differences | | | (3,070,921 | )(a) | | | (467,221 | )(a) | | | (5,628,937 | )(a) | | | (19,606 | )(a) |
Unrealized appreciation (depreciation) | | | 41,909,217 | | | | (1,129,131 | ) | | | 9,329,476 | | | | 5,448,056 | |
| | | | | | | | | | | | | | | | |
Total accumulated earnings/(losses) - net | | $ | 41,933,386 | | | $ | (26,368,349 | ) | | $ | 10,171,176 | | | $ | 6,271,341 | |
| | | | | | | | | | | | | | | | |
| | | | |
| | | | | | Inflation-Linked
Fixed Income
Fund | | | Ultra-Short
Term Fixed
Income Fund | | | Alternative
Strategies
Fund | |
Undistributed ordinary income - net | | | $ | 1,870,093 | | | $ | 4,964,469 | | | $ | — | |
Undistributed long-term capital gains - net | | | | — | | | | — | | | | 45,604 | |
Undistributed tax exempt Income - net | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Total undistributed earnings | | | | 1,870,093 | | | | 4,964,469 | | | | 45,604 | |
Capital loss carryforward | | | | (4,959,491 | ) | | | (4,906,741 | ) | | | — | |
Other book/tax temporary differences | | | | (2,562,431 | )(a) | | | (1,047,430 | )(a) | | | (118,976 | )(a) |
Unrealized appreciation (depreciation) | | | | 9,849,918 | | | | (3,827,984 | ) | | | 875,908 | |
| | | | | | | | | | | | | | | | |
Total accumulated earnings/(losses) - net | | | $ | 4,198,089 | | | $ | (4,817,686 | ) | | $ | 802,536 | |
| | | | | | | | | | | | | | | | |
| (a) | The differences between book-basis andtax-basis unrealized appreciation (depreciation) is attributable to the tax deferral of losses on wash sales, tax cost adjustments related to partnerships, forwards, futures, options, swaps, ROC dividends received, real estate investments, interest accrual on defaulted bonds, the difference between book and tax amortization methods for premiums on fixed income securities, and the realization for tax purposes of unrealized gains on investments in passive foreign investment companies. |
353
| | |
| | | |
| Notes to Financial Statements | | |
6. 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, 2019, the Funds had the following net capital loss carryforwards remaining:
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Large
Cap Equity
Fund | | | Small-Mid
Cap Equity
Fund | | | International
Equity
Fund | | | Emerging
Markets Equity
Fund | | | Core Fixed
Income
Fund | | | High Yield
Fund | |
Short-Term | | $ | — | | | $ | — | | | $ | 16,213,927 | | | $ | 39,477,375 | | | $ | — | | | $ | 4,341,997 | |
Long-Term | | | — | | | | — | | | | 25,063,700 | | | | 4,792,122 | | | | — | | | | 21,596,685 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | — | | | $ | — | | | $ | 41,277,627 | | | $ | 44,269,497 | | | $ | — | | | $ | 25,938,682 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | | | | | International
Fixed Income
Fund | | | Municipal
Bond
Fund | | | Inflation-Linked
Fixed Income
Fund | | | Ultra-Short
Term Fixed
Income Fund | | | Alternative
Strategies
Fund | |
Short-Term | | | $ | — | | | $ | — | | | $ | 819,075 | | | $ | 1,961,427 | | | $ | — | |
Long-Term | | | | — | | | | — | | | | 4,140,416 | | | | 2,945,314 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | $ | — | | | $ | — | | | $ | 4,959,491 | | | $ | 4,906,741 | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
7. 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.
Management is currently evaluating the application of ASU2017-08 and its impact, if any, on the financial statements.
Update and Simplification, which in part amends certain financial statement disclosure requirements of RegulationS-X that have become redundant, duplicative, overlapping, outdated, or superseded, in light of other Commission disclosure requirements, GAAP, or changes in the information environment. The amendments are intended to facilitate the disclosure of information to investors and simplify compliance without significantly altering the total mix of information provided to investors. The amendments to Rule6-04.17 of RegulationS-X (balance sheet) were amended to require presentation of the total, distributable earnings on the balance sheet rather than the components of net assets. Consistent with GAAP, funds will be required to disclose total distributable earnings. The amendments to Rule6-09 of RegulationS-X (statement of changes in net assets) omit the requirement to separately state the sources of distributions paid as well as omit the requirement to parenthetically state the book basis amount of undistributed net investment income. Instead, consistent with GAAP, funds will be required to disclose the total amount of distributions paid, except that any tax return of capital must be separately disclosed.
The requirements of the Final Rule Release became effective November 5, 2018. In accordance with new reporting requirements pursuant to RegulationS-X of the Securities and Exchange Commission, presentation of certain amounts on the Statements of Changes in Net Assets, for the year ended August 31, 2018 have been conformed to meet the new disclosure requirements. The summary of the previously disclosed distribution amounts, as reported at August 31, 2018, has been presented below the Statements of Changes in Net Assets.
8. 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 August 31, 2019, the Funds made the following distributions:
| | | | | | | | | | | | | | | | | | | | |
| Record Date Payable Date | | Core Fixed Income
Fund | | | High Yield
Fund | | | Municipal Bond
Fund | | | Inflation-Linked
Fixed Income
Fund | | | Ultra-Short Term
Fixed Income
Fund | |
9/1/19-9/30/19 | | $ | 0.018409 | | | $ | 0.015532 | | | $ | 0.018122 | | | $ | 0.017321 | | | $ | 0.019811 | |
354
| | |
| | | |
Report of Independent Registered Public
Accounting Firm | | |
To the Board of Trustees and Shareholders of
Morgan Stanley Pathway Funds:
Opinion on the Financial Statements and Financial Highlights
We have audited the accompanying statements of assets and liabilities of the Morgan Stanley Pathway Funds comprising the 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 (the “Funds”), including the schedules of investments, as of August 31, 2019, the related statements of operations, cash flows, changes in net assets, and the financial highlights for the periods indicated in the table below, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of each of the funds listed above constituting the Morgan Stanley Pathway Funds as of August 31, 2019, and the results of their operations and their cash flows as applicable for the period listed in the table below, the changes in their net assets for the periods listed in the table below, and the financial highlights for the periods listed in the table below, in conformity with accounting principles generally accepted in the United States of America.
| | | | | | |
Individual Fund Comprising the
Morgan Stanley Pathway Funds | | Statements of Operations
and Cash Flows* | | Statements of
Changes in Net Assets | | Financial Highlights |
| Large Cap Equity Fund | | For the year-ended August 31, 2019 | | For the years ended August 31, 2019 and 2018 | | For the years ended August 31, 2019, 2018, 2017, 2016, and 2015 |
| 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 | | For the year-ended August 31, 2019 | | For the years ended August 31, 2019 and 2018 | | For the years ended August 31, 2019, 2018, 2017 and the period of March 8, 2016 (fund inception) through August 31, 2016 |
| Ultra-Short Term Fixed Income Fund |
|
| |
| Alternative Strategies Fund | | For year ended August 31, 2019 | | For year ended August 31, 2019 and the period of February 15, 2018 (fund inception) through August 31, 2018. |
| * | Statement of Cash Flows presented for the International Fixed Income Fund and Inflation-Linked Fixed Income Fund. |
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion.
355
| | |
| | | |
Report of Independent Registered Public
Accounting Firm | | |
Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of August 31, 2019, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/ Deloitte & Touche LLP
Boston, Massachusetts
October 30, 2019
We have served as the auditor of one or more Morgan Stanley Pathway Funds investment companies since 2009.
356
| | |
| | | |
| Board Approval of Management Agreement and Investment Advisory Agreements | | |
Approval of Management Agreement and Sub-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 (the “Manager”), a business of Morgan Stanley LLC, have entered into an investment management agreement (the “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 “Sub-advisory 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 (the “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 (the “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.
At anin-person meeting held on May13-14, 2019, the Board, including a majority of the Independent Trustees, approved the continuance of the Agreements for an annual period. Both in connection with the meeting specifically held to address the continuance of the Agreements and at other meetings during the course of the year, the Independent Trustees requested and received information from the Manager and theSub-advisers that they deemed reasonably necessary for their review of the Agreements and the performance of the Manager andSub-advisers under the Agreements. The Independent Trustees were assisted in their review by Fund counsel and independent legal counsel (the “Independent Counsel”) and met with Independent Counsel in executive sessions separate from representatives of the Manager and theSub-advisers. The Independent Trustees also were assisted in their review by an independent analysis of investment company contract review processes. In addition to the Management Agreement and the investment advisory agreement between the Trust, on behalf of the Alternative Strategies Fund, and the Manager (the “IM Agreement”), pursuant to which the Manager serves as the investment adviser for the Alternative Strategies Fund, the Board approved at the meeting the Sub-advisory Agreements with the followingSub-advisers on behalf of the indicated Fund to continue for another year:
| | |
Sub-adviser Name | | Fund(s) |
| |
| BlackRock Financial Management, Inc. | | ¨Core Fixed Income Fund ¨Large Cap Equity Fund ¨Small-Mid Cap Equity Fund ¨International Equity Fund ¨Emerging Markets Equity Fund ¨Municipal Bond Fund |
| |
| Causeway Capital Management LLC | | ¨International Equity Fund |
| |
| ClearBridge Investments, LLC | | ¨Large Cap Equity Fund |
| |
| Columbia Management Investment Advisers, LLC | | ¨Large Cap Equity Fund |
| |
| Eaton Vance Management | | ¨High Yield Fund |
| |
| Invesco Advisers, Inc. | | ¨International Equity Fund |
| |
| Lazard Asset Management LLC | | ¨Large Cap Equity Fund ¨Emerging Markets Equity Fund |
| |
| Lyrical Asset Management LP | | ¨Large Cap Equity Fund |
| |
| Macquarie Investment Management | | ¨Large Cap Equity Fund |
| |
| Metropolitan West Asset Management LLC | | ¨Core Fixed Income Fund |
| |
| Neuberger Berman Investment Advisers LLC | | ¨Small-Mid Cap Equity Fund |
357
| | |
| | | |
| Board Approval of Management Agreement and Investment Advisory Agreements | | |
| | |
Sub-adviser Name | | Fund(s) |
| |
| OppenheimerFunds, Inc. | | ¨International Equity Fund |
| |
| Pacific Investment Management Company LLC | | ¨International Fixed Income Fund ¨Inflation-Linked Fixed Income Fund ¨Ultra-Short Term Fixed Income Fund |
| |
| Schroder Investment Management North America Inc. | | ¨International Equity Fund |
| |
| Van Eck Associates Corporation | | ¨Emerging Markets Equity Fund |
| |
| Victory Capital Management, Inc. | | ¨International Equity Fund |
| |
| Wellington Management Company LLC | | ¨International Equity Fund |
| |
| Western Asset Management Company | | ¨Core Fixed Income Fund ¨High Yield Fund |
| |
| Westfield Capital Management Company, L.P. | | ¨Small-Mid Cap Equity Fund |
At meetings held prior to May13-14, 2019, the Board, including a majority of the Independent Trustees, approved for an initialtwo-year period, which has not expired, the Sub-advisory Agreements with the followingSub-advisers on behalf of the indicated Fund:
| | |
Sub-adviser Name | | Fund |
| |
| Aristotle Capital Boston, LLC | | ¨Small-Mid Cap Equity Fund |
| |
| DF Dent and Company, Inc. | | ¨Small-Mid Cap Equity Fund |
| |
| Nuance Investments, LLC | | ¨Small-Mid Cap Equity Fund |
In voting to approve the Agreements at the May13-14, 2019 meeting, the Independent Trustees considered whether the approval of the Agreements would be in the best interests of the respective Fund and its shareholders, an evaluation based on several factors including those discussed below.
Nature, Extent and Quality of the Services Provided Under the Agreements
The Board received and considered information regarding the nature, extent and quality of services provided to the Funds by the Manager and theSub-advisers under the respective Agreements during the meeting and during the past year, as applicable. The Independent Trustees considered information regarding the process by which the Manager selected and recommended theSub-advisers for Board approval and the Manager’s supervisory activities over theSub-advisers. The Independent Trustees noted that the Manager monitors and evaluates the performance of each Fund’sSub-advisers, including theSub-advisers’ compliance with the investment objective, policies, and restrictions of the relevant Fund. The Board also received a description of the administrative and other services rendered to the Trust and its shareholders during the past year. The Board noted information received at regular meetings throughout the year related to the services rendered by the Manager about the management of the Trust’s affairs and its role in coordinating the activities of theSub-advisers and the Trust’s other service providers. The Board considered eachSub-adviser’s specific responsibilities in all aspects of theday-to-day management of the portion of the respective Fund’s assets allocated to it, as well as the qualifications, experience and responsibilities of the persons serving as the portfolio managers for the segment of the Fund’s assets managed by the respectiveSub-adviser, and other key personnel at theSub-adviser. The Board specifically took into account eachSub-adviser’s investment process and capabilities, evaluating, if applicable, how theSub-adviser complemented each of the otherSub-advisers, if any, to the respective Fund. Similarly, with respect to the Alternative Strategies Fund, the Independent Trustees considered the Manager’s investment process and capabilities managing assets and the Manager’s specific responsibilities in all aspects ofday-to-day management of the Fund’s assets, as well as the qualification, experience and responsibilities of the person who serves as the portfolio manager for the Alternative Strategies Fund.
The Independent Trustees also discussed the acceptability of the terms of the Management Agreement, IM Agreement andSub-advisory Agreements. The Independent Trustees considered the Manager’s favorable assessment of the nature and quality of thesub-advisory services provided to the Funds by theSub-advisers. The Board also reviewed information received from the
358
| | |
| | | |
| Board Approval of Management Agreement and Investment Advisory Agreements | | |
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, including those specific to the Manager providingday-to-day management of the Alternative Strategies Fund’s assets, and those of eachSub-adviser.
During the course of the year and at the meeting, the Board reviewed the qualifications, backgrounds and responsibilities of the Trust’s senior personnel and the portfolio management team primarily responsible for the management of the Funds and the selection and evaluation ofSub-advisers. In addition, the Independent Trustees discussed with representatives of management the portfolio management strategy of the Alternative Strategies Fund’s portfolio manager. The Board also considered the Manager’s and theSub-advisers’ brokerage policies and practices, transaction execution standards, policies and practices regarding soft dollars, and quality controls applicable to brokerage allocation procedures.
The Board concluded that, overall, the nature, extent and quality of services provided (and expected to be provided) under the Management Agreement, IM Agreement and Sub-advisory Agreements were adequate and appropriate.
Fund Performance
As to each Fund, the Board received and considered performance information provided by Broadridge, an independent provider of investment company data, for the Fund and for all retail and institutional funds, regardless of asset size or primary channel of distribution, in the Fund’s Lipper category (the “Performance Universe”). As to each Fund, the Board was provided with a description of the methodology Lipper used to determine the similarity of the Fund with the funds included in the Fund’s Performance Universe. The Board also noted that it had received and discussed with advisory personnel of the Trust at periodic intervals throughout the year information on the investment performance of each Fund in comparison to similar mutual funds and benchmark performance indices. In addition, as to eachSub-adviser, the Board received and considered performance information provided by the Manager for theSub-adviser managing the portion of the respective Fund’s assets allocated to it. The information comparing each Fund’s performance to that of its Performance Universe (except as noted below) was for theone-, three-, five- andten-year periods ended March 31, 2019.
The Board noted that the Large Cap Equity Fund performed better than the median performance of the funds in the Performance Universe for each period. The Board further noted that theSmall-Mid Cap Equity Fund and International Equity Fund each performed below the median performance of the funds in the Funds’ respective Performance Universe for each period. However, it was noted that each of theSmall-Mid Cap Equity Fund and International Equity Fund were placed by Broadridge in the Lipper growth category of funds, whereas, each such Fund’s management policies and portfolio investments reflected a core style of investing. In addition, the Board noted that each of the Large Cap Equity Fund andSmall-Mid Cap Equity Fund had undergone a merger with another series of the Trust in February 2016 and that the Manager had implemented changes to the portfolio management strategy of each Fund at that time, and that three newSub-advisers had been engaged recently to manage portions of theSmall-Mid Cap Equity Fund’s assets. With respect to the Emerging Markets Equity Fund, the Board noted that the Fund performed better than the median performance of the funds in its Performance Universe for both the three- and five-year periods. Based on its review, as to each of the Large Cap Equity Fund,Small-Mid Cap Equity Fund, International Equity Fund and Emerging Markets Equity Fund, the Board was generally satisfied with the absolute performance of the Funds and the performance of the Fund’sSub-advisers whose Sub-advisory Agreements were under review.
The Board noted that the Core Fixed Income Fund and the International Fixed Income Fund each performed better than the median performance of the funds in its respective Performance Universe for each period. With respect to the High Yield Fund, the Board noted that the Fund performed better than the median performance of the funds in the Performance Universe for each period except the five-year period. The Board noted that the Municipal Bond Fund performed better than the median performance of the funds in the Performance Universe for theone-year period, but performed below the median for each of the three-, five-, andten-year periods. Each such Fund had positive absolute returns for each period under review. With respect to the Inflation-Linked Fixed Income Fund and Ultra-Short Term Fixed Income Fund, the Board noted that each Fund performed better than the median performance of the funds in its respective Performance Universe for the three-year period, but underperformed the median performance for theone-year period, the only periods of performance information provided by Broadridge as the Funds commenced operations on March 8, 2016. In addition, the Board noted that the Alternative Strategies Fund outperformed the median performance of the funds in the Performance Universe for theone-year period, the only period of performance information provided by Broadridge as the Fund commenced operations on February 15, 2018. Based on its review, as to each of the Core Fixed
359
| | |
| | | |
| Board Approval of Management Agreement and Investment Advisory Agreements | | |
Income Fund, High Yield Fund, International Fixed Income Fund and Municipal Bond Fund, the Board was generally satisfied with the absolute performance of the Funds and the performance of the Fund’sSub-advisers whose Sub-advisory Agreements were under review. In addition, based on its review, as to each of the Inflation-Linked Fixed Income Fund, Ultra-Short Term Fixed Income Fund and Alternative Strategies Fund, and noting the limited period of performance data available from Broadridge, the Board was generally satisfied with the performance of the Funds and the performance of the Inflation-Linked Fixed Income Fund’s and Ultra-Short Term Fixed Income Fund’sSub-adviser.
The Trustees determined to continue to evaluate the Funds’ performance and that of their respectiveSub-advisers, as applicable, and to continue to periodically review Fund performance with the Manager.
Management Fees and Expense Ratios
As to each Fund, the Board reviewed and considered the contractual management fee rate (“Contractual Management Fee”) payable by the Fund to the Manager in light of the nature, extent and quality of the management andsub-advisory services provided by the Manager and theSub-advisers, respectively. The Board also reviewed and considered the actual management fee rate (“Actual Management Fee”) paid by the Fund over the Fund’s last fiscal year which included reductions for fee waiver and/or expense reimbursement arrangements that were in effect for the Fund, which reduced the management fee paid to the Manager.
The Board noted that the compensation paid to theSub-advisers is paid by the Manager, not the applicable Funds, and, accordingly, that the retention of theSub-advisers does not increase the fees or expenses otherwise incurred by such Funds and their shareholders. The Board also reviewed with management the scope of services provided to the Funds by the Manager, noting that the Funds are provided with regulatory compliance services, office facilities and Trust officers (including the Trust’s chief financial, chief legal and chief compliance officers), and that the Manager coordinates and oversees the provision of services to each Fund by other fund service providers, including theSub-advisers. The Board also considered and discussed information about theSub-advisers’ fees and comparable information for othersub-advised funds and accounts managed by theSub-advisers.
Additionally, the Board received and considered information comparing each Fund’s Contractual Management Fee and Actual Management Fee and the Fund’s actual total expenses with those of a group of funds selected by Broadridge as comparable to the particular Fund (the “Expense Group”) and a broader group of retailno-load funds selected by Broadridge (the “Expense Universe”).
The information reviewed showed that the Contractual and Actual Management Fees of the Large Cap Equity Fund,Small-Mid Cap Equity Fund, International Equity Fund, Emerging Markets Equity Fund and Municipal Bond Fund were lower than the median Contractual and Actual Management Fees for the funds in the applicable Expense Group, and that the Actual Management Fees were lower than the average Actual Management Fees for the funds in the applicable Expense Universe for each of these Funds. For the Core Fixed Income Fund, the information reviewed showed that the Contractual Management Fee and Actual Management Fee of the Fund was slightly lower than the median Contractual and Actual Management Fees for funds in its Expense Group, and that the Actual Management Fee was slightly higher than the average Actual Management Fees for the funds in its Expense Universe. With respect to the High Yield Fund, the information reviewed showed that the Fund’s Contractual and Actual Management Fees were higher than the median Contractual and Actual Management Fees for the funds in its Expense Group, and that the Actual Management Fee was slightly lower than the average Actual Management Fees for the funds in its Expense Universe. The information reviewed showed that the Contractual Management Fee of the International Fixed Income Fund was lower than the median Contractual Management Fee for the funds in its Expense Group, and that the Fund’s Actual Management Fee was slightly higher than the median Actual Management Fee for the funds in its Expense Universe but was lower than the average Actual Management Fees for the funds in its Expense Universe. The information reviewed also showed that the Contractual and Actual Management Fees of the Inflation-Linked Fixed Income Fund and Ultra-Short Term Fixed Income Fund were higher than the median Contractual and Actual Management Fees for the funds in the applicable Expense Group, and that the Funds’ Actual Management Fees were higher than the average Actual Management Fees for the funds in the applicable Expense Universe. It was noted that for each of the Inflation-Linked Fixed Income Fund and Ultra-Short Term Fixed Income Fund, the management fee was appropriate given the respective Fund’s investment strategy versus that of the funds in its respective Expense Group. With respect to the Alternative Strategies Fund, the Independent Trustees noted that the Manager was waiving the entire management fee and determined that the Contractual Management Fee payable to the Manager with respect to the Fund was for services provided in addition to, and not duplicative of, services provided under the advisory contracts of the
360
| | |
| | | |
| Board Approval of Management Agreement and Investment Advisory Agreements | | |
underlying funds in which the Fund invested. The Independent Trustees also noted that the Broadridge expense information showed that the actual total expense ratio for each of theLarge Cap Equity Fund,Small-Mid Cap Equity Fund, International Equity Fund, Emerging Markets Equity Fund, Core Fixed Income Fund and Municipal Bond Fund was lower than the median expense ratios of the funds in its respective Expense Group. The Broadridge expense information also showed that the actual total expense ratios for the Ultra-Short Term Fixed Income Fund and the International Fixed Income Fund were slightly higher than the median expense ratios of the funds in their respective Expense Groups.
The Board determined that, as to each Fund, the management fee paid by the Fund to the Manager and thesub-advisory fees paid by the Manager to theSub-advisers, as applicable, were reasonable in light of comparative performance and expense information and the nature, extent and quality of the services provided to the Fund under the Agreements.
Manager Profitability
The Board received and considered a profitability analysis of the Manager and its affiliates in providing services to the Funds. In addition, the Board received information with respect to the Manager’s allocation methodologies used in preparing this profitability data. To the extent available, the Board also reviewed information provided by theSub-advisers with respect to the relevantSub-adviser’s profitability in providingsub-advisory services to the Funds. The Board also noted the profitability percentage ranges determined by appropriate court cases to be reasonable given the services rendered to investment companies. As to each Fund, the Board determined that the Manager’s profitability was not excessive in light of the nature, extent and quality of the services provided to the Fund.
Economies of Scale
As to each Fund, the Board considered information regarding whether there have been economies of scale with respect to the management of the Fund, whether the Fund has appropriately benefited from any economies of scale and whether there is potential for realization of any further economies of scale. The Board considered the various ways economies of scale could be realized and shared with Fund investors, and whether economies of scale in the provision of services to the Fund were being passed along to the shareholders. As to each Fund, the Board also noted that to the extent the Fund’s assets increase over time, the Fund and its shareholders should realize economies of scale as certain expenses, such as fixed fund fees, become a smaller percentage of overall assets. The Board noted that it appeared that the benefits of any economies of scale also would be appropriately shared with shareholders through increased investment in fund management resources.
Other Benefits to the Manager and theSub-advisers
As to each Fund, the Board considered other benefits received by the Manager, theSub-advisers and their affiliates as a result of their relationship with the Funds, including soft dollar arrangements, receipt of brokerage and the opportunity to offer additional products and services to Fund shareholders.
In light of the Manager’s costs of providing investment management and other services to the Funds and the Manager’s ongoing commitment to the Funds and eachSub-adviser’sday-to-day management of the portion of the respective Fund’s assets allocated to it, the profits and ancillary benefits that the Manager, theSub-advisers and their affiliates received were considered reasonable.
Based on their discussions and considerations, including those described above, the Board approved the Management Agreement, the IM Agreement and the Sub-advisory Agreements to continue for another year. No single factor reviewed by the Board was identified by the Board as the principal factor in determining whether to approve the Agreements.
361
Trustees and Officers of the Trust
The Trust’s Board of Trustees (the “Board”) 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”) (the “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) |
362
| | | | | | | | | | |
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); and formerly, Head of Manager Solutions, Morgan Stanley (2015-March 2017) | | 11 | | None |
363
| | | | | | |
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); and Chief Compliance Officer, EGA Frontier Diversified Core Fund (2014-2015) |
| | | |
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); Head of Portfolio Operations-WMIR, Morgan Stanley (2016-present); Head of Packaged Digital Solutions, Morgan Stanley (2015-present); and formerly Head of Strategy and Development-Global Investment Solutions, Morgan Stanley (2013-2015) |
| | | |
Zachary Apoian Morgan Stanley 522 Fifth Avenue, New York, NY 10036 Birth Year: 1979 | | Investment Officer | | Since May 2019 | | Executive Director, Morgan Stanley Wealth Management (2019-present); formerly, Private Wealth Advisor, Morgan Stanley Wealth Management (2017-2019); and Executive Director, Morgan Stanley Wealth Management (2014-2017) |
364
| | | | | | |
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 |
| | | |
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) |
| | | |
Brian Mulley Morgan Stanley 522 Fifth Avenue,
14th Floor New York, NY 10036 Birth Year: 1977 | | Investment Officer | | Since August 2015 | | Investment Analyst, Executive Director, Morgan Stanley (2005-present) |
| | | |
Sukru Saman Morgan Stanley 522 Fifth Avenue, 14th 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 (2018-present); and formerly Investment Officer, Morgan Stanley (2011-2018) |
| | | |
Todd McElduff Morgan Stanley 1633 Broadway, New York, NY 10019 Birth Year: 1977 | | Anti-Money Laundering (“AML”) Compliance Officer | | Since September 2019 | | Head of Bank & WM AML Advisory, Morgan Stanley (2019-present); formerly, Head of Bank AML Advisory, Morgan Stanley (2017-2019); and Head of GFC US Investigations, Morgan Stanley (2014-2017) |
| | | |
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, Head of Consulting Group and Graystone Consulting (2018-present); Managing Director, Director of Consulting Group and Practice Management (2016-2018); Managing Director, Vice Chairman of Wealth Management (2015); and Managing Director, Director of Consulting Group Wealth Advisory Solutions (2012-2015) |
365
| | | | | | |
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 |
| | | |
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) |
| | | |
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. |
Board Composition and Leadership Structure
Currently, four of the five Trustees on the Board (80%) are not “interested persons” (as defined in the 1940 Act) of the Trust and as such are not affiliated with the Manager or anySub-adviser (“Independent Trustees”). The Board has appointed Mr. Reed, an Independent Trustee, to serve as Chairman of the Board. There are two primary committees of the Board: the Audit Committee and the Corporate Governance and Nominating Committee. Each Committee is chaired by an Independent Trustee and comprised solely of Independent Trustees. The Board has determined that this leadership structure is appropriate given the specific characteristics and circumstances of the Trust and in light of the services that the Manager and its affiliates and theSub-advisers provide to the Trust and potential conflicts of interest that could arise from these relationships. The Board believes that the existing Board structure is appropriate because, among other things, it allows the Independent Trustees to exercise independent business judgment in evaluating the Trust’s management and service providers.
Board Oversight of Risk Management
The Board considers risk management issues as part of its general oversight responsibilities. As is the case with virtually all investment companies (as distinguished from operating companies), service providers to the Trust, primarily the Manager and its affiliates and theSub-advisers, have responsibility for theday-to-day management of the Funds, which includes responsibility for risk management (including management of investment performance and investment risk, valuation risk, issuer and counterparty
366
credit risk, compliance risk and operational risk). As part of its oversight, the Board, acting at its scheduled meetings, or the Chairman of the Board or the appropriate Committee, acting between Board meetings, regularly interacts with and receives reports from senior personnel of service providers, including the Manager’s investment officers, the Trust’s and the Manager’s Chief Compliance Officer (“CCO”) and theSub-advisers’ portfolio management personnel. The Board’s Audit Committee meets during its scheduled meetings, and between meetings the Audit Committee chair maintains contact, with the Trust’s independent registered public accounting firm and the Trust’s Chief Financial Officer. The Board receives periodic presentations from senior personnel of the Manager or its affiliates regarding investment performance of the Funds and the applicable investment risk management process. The Board also receives periodic presentations from senior personnel of the Manager or its affiliates and theSub-advisers regarding risk management generally, as well as periodic presentations regarding specific operational, compliance or investment areas, such as business continuity, anti-money laundering, cybersecurity, personal trading, valuation, credit, investment research, portfolio trading and transactions, and securities lending. The Board has adopted policies and procedures designed to address certain risks to the Funds. In addition, the Manager and other service providers to the Trust have adopted a variety of policies, procedures and controls designed to address particular risks to the Funds. Different processes, procedures and controls are employed with respect to different types of risks. However, it is not possible to eliminate all of the risks applicable to the Funds. The Board also receives reports from counsel to the Trust or counsel to the Manager and the Independent Trustees’ own independent legal counsel regarding regulatory compliance and governance matters. The Board’s oversight role does not make the Board a guarantor of the Funds’ investments or activities.
Individual Trustee Qualifications
The Board believes that each Trustee’s experience, qualifications, attributes or skills on an individual basis and in combination with those of the other Trustees lead to the conclusion that the Board possesses the requisite attributes and skills to effectively oversee the management of the Trust and the interests of Fund shareholders. The Board believes that the significance of each Trustee’s experience, qualifications, attributes or skills is an individual matter (meaning that experience that is important for one Trustee may not have the same value for another) and that these factors are best evaluated at the Board level, with no single Trustee, or particular factor, being indicative of Board effectiveness. However, the Board believes that Trustees must have the ability to critically review, evaluate, question and discuss information provided to them, and to interact effectively with Trust management, service providers and counsel, in order to exercise effective business judgment in the performance of their duties. The Board believes that the Trustees satisfy this standard. Experience relevant to having this ability may be achieved through a Trustee’s educational background; business, professional training or practice (e.g., accounting or law), public service or academic positions; experience from service as a board member (including the Board of the Trust) or as an executive of investment funds, public companies or significant private ornot-for-profit entities or other organizations; and/or other life experiences. The charter for the Board’s Corporate Governance and Nominating Committee contains certain other factors considered by the Committee in identifying and evaluating potential nominees to the Board. The Board noted that most of the Trustees had experience serving as directors on the boards of operating companies and/or other investment companies. The Board considered that Ms. Cepeda and Messrs. Matthews, McKissack and Reed have or had careers in the financial services or investment management industries, including holding executive positions in companies engaged in these industries, which allows these Trustees to bring valuable, relevant experience as members of the Board. Mr. Ricciardelli has substantial experience as an executive and financial officer in leadership roles with Morgan Stanley and affiliated entities.
Board Committees
The Trust has an Audit Committee and a Corporate Governance and Nominating Committee. The members of the Audit Committee and the Corporate Governance and Nominating Committee consist of all the Independent Trustees of the Trust, namely Ms. Cepeda and Messrs. Matthews, McKissack and Reed. The Board also at times may constitute other committees of the Board to assist in the evaluation of specific matters.
The Audit Committee oversees each Fund’s audit, accounting and financial reporting policies and practices and its internal controls. The Audit Committee approves, and recommends to the Board for its ratification, the selection, appointment, retention or termination of the Trust’s independent registered public accounting firm and approves the compensation of the independent registered public accounting firm. The Audit Committee also approves all audit and permissiblenon-audit services provided to each Fund by the independent registered public accounting firm and all permissiblenon-audit services provided by the Trust’s
367
independent registered public accounting firm to the Manager and any affiliated service providers if the engagement relates directly to Fund operations and financial reporting. The Audit Committee met two times during the Trust’s most recent fiscal year.
The Corporate Governance and Nominating Committee is charged with overseeing the Board governance matters and related Trustee practices, including selecting and nominating persons for election or appointment by the Board as Independent Trustees of the Trust. The Corporate Governance and Nominating Committee will consider nominees recommended by the Funds’ shareholders if a vacancy occurs. Shareholders who wish to recommend a nominee should send nominations to the Trust’s Secretary. The Corporate Governance and Nominating Committee also considers and recommends to the Board the appropriate compensation for serving as a Trustee on the Board. The Corporate Governance and Nominating Committee did not meet during the Trust’s most recent fiscal year.
368
| | |
| | | |
| Important Tax Information | | |
The following information is provided with respect to the distributions paid during the taxable year ended August 31, 2019:
| | | | | | | | | | | | | | | | | | | | |
| | | Large
Cap Equity
Fund | | | Small-Mid
Cap Equity
Fund | | | International
Equity
Fund | | | Emerging
Markets Equity
Fund | | | High Yield
Fund | |
Record Date | | | 12/6/2018 | | | | 12/6/2018 | | | | 12/6/2018 | | | | 12/6/2018 | | | | Monthly | |
Payable Date | | | 12/7/2018 | | | | 12/7/2018 | | | | 12/7/2018 | | | | 12/7/2018 | | | | Monthly | |
Ordinary Income: | | | | | | | | | | | | | | | | | | | | |
Qualified Dividend Income for Individuals | | | 57.46 | % | | | 11.91 | % | | | 100 | % | | | 86.22 | % | | | — | |
Dividends Qualifying for the Dividends Received | | | | | | | | | | | | | | | | | | | | |
Deduction for Corporations | | | 55.14 | % | | | 11.57 | % | | | — | | | | — | | | | — | |
Foreign Source Income | | | — | | | | — | | | | 99.64 | %* | | | 99.94 | %* | | | — | |
Foreign Tax Paid Per Share | | | — | | | | — | | | | 0.02259 | | | | 0.03904 | | | | — | |
Long-Term Capital Gain Dividend | | | 1.61994 | | | | 1.48898 | | | | — | | | | — | | | | — | |
| | | | | |
| | | 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 | | | | 12/6/2018 | | | | Monthly | | | | Monthly | | | | Monthly | |
Payable Date | | | Monthly | | | | 12/7/2018 | | | | Monthly | | | | Monthly | | | | Monthly | |
Ordinary Income: | | | | | | | | | | | | | | | | | | | | |
Qualified Dividend Income for Individuals | | | — | | | | — | | | | — | | | | — | | | | — | |
Dividends Qualifying for the Dividends Received | | | | | | | | | | | | | | | | | | | | |
Deduction for Corporations | | | — | | | | — | | | | — | | | | — | | | | — | |
Interest from Tax-Exempt Obligations | | | — | | | | — | | | | 100 | % | | | — | | | | — | |
Interest from Federal Obligations | | | 40.17 | % | | | 10.01 | % | | | — | | | | 95.40 | % | | | 9.41 | % |
Long-Term Capital Gain Dividend | | | — | | | | — | | | | 0.02552 | | | | — | | | | — | |
| | | | | |
| | | Alternative
Strategies
Fund | | | | | | | | | | | | | |
Record Date | | | 12/28/2018 | | | | | | | | | | | | | | | | | |
Payable Date | | | 12/31/2018 | | | | | | | | | | | | | | | | | |
Ordinary Income: | | | | | | | | | | | | | | | | | | | | |
Qualified Dividend Income for Individuals | | | 29.82 | % | | | | | | | | | | | | | | | | |
Dividends Qualifying for the Dividends Received | | | | | | | | | | | | | | | | | | | | |
Deduction for Corporations | | | 3.68 | % | | | | | | | | | | | | | | | | |
Interest from Tax-Exempt Obligations | | | — | | | | | | | | | | | | | | | | | |
Interest from Federal Obligations | | | — | | | | | | | | | | | | | | | | | |
Long-Term Capital Gain Dividend | | | — | | | | | | | | | | | | | | | | | |
| * | Expressed as a percentage of the cash distribution grossed-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.
369
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 as an attachment to Form N-Port. The Funds’ Forms N-Port are available on the SEC’s website at www.sec.gov. To obtain information on Form N-Port from the Funds, shareholders can call1-888-454-3965 (“ask for Consulting Group”).
Information on how the Funds voted proxies relating to portfolio securities during the most recent12-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 calling1-888-454-3965 (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.
Morgan Stanley Pathway Funds
2000 Westchester Avenue
Purchase, NY 10577
ITEM 2. CODE OF ETHICS.
As of the period ended August 31, 2019 (“Reporting Period”), the Registrant has adopted a code of ethics (“Code”) that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the Registrant or a third party. The Registrant has not amended any provision in its Code that relates to an element of the Code’s definitions enumerated in paragraph (b) of Item 2 of this FormN-CSR. A copy of this Code is filed as an Exhibit to this FormN-CSR pursuant to Item 13(a)(1).
The Registrant has not granted any waiver, including any implicit waiver, from a provision of its Code to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the Registrant or a third party.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
The Board of Trustees of the Registrant has determined that Mark J. Reed possesses the attributes identified in Instruction (b) of Item 3 to FormN-CSR to qualify as an “audit committee financial expert,” and has designated Mr. Reed as the Registrant’s audit committee financial expert. Mr. Reed is an “independent” Trustee pursuant to paragraph (a)(2) of Item 3 to FormN-CSR.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
AUDIT FEES –
(a)Audit Fees. The aggregate fees billed for each of the last two fiscal years ended August 31, 2019 and August 31, 2018 for professional services rendered by the Registrant’s principal accountant (“Auditor”) for the audit of the Registrant’s annual financial statements, or services that are normally provided by the Auditor in connection with the statutory and regulatory filings or engagements for each of the last two fiscal years, were $616,080 in 2019 and $601,080 in 2018.
(b)Audit-Related Fees. The aggregate fees billed for each of the last two fiscal years ended August 31, 2019, and August 31, 2018, for assurance and related services by the Auditor that were reasonably related to the performance of the audit of the Registrant’s financial statements and were not reported under paragraph (a) of this Item 4, were $0 in 2019 and $0 in 2018.
(c)Tax Fees. The aggregate fees billed for each of the last two fiscal years ended August 31, 2019 and August 31, 2018 for professional services rendered by the Auditor for tax compliance, tax advice and tax planning (“Tax Services”) were $99,450 in 2019 and $97,450 in 2018. These services consisted of (i) review or preparation of U.S. federal, state, local and excise tax returns; (ii) U.S. federal, state and local tax planning, advice and assistance regarding statutory, regulatory or administrative developments, and (iii) tax advice regarding tax qualification matters and/or treatment of various financial instruments held or proposed to be acquired or held.
(d)All Other Fees. The aggregate fees billed for each of the last two fiscal years ended August 31, 2019, and August 31, 2018, for products and services provided by the Auditor to the Registrant, other than the services reported in paragraphs (a) through (c) of this Item 4, were $0 for 2019 and $0 for 2018.
(e)(1) The Charter for the Audit Committee (“Committee”) of the Morgan Stanley Pathway Funds provides that the Committee may delegate its responsibility to approve any such audit and permissiblenon-audit services to asub-committee consisting of the Chairperson of the Committee (“Chairperson”) and at least one other member of the Committee as the Chairperson, from time to time, may determine and appoint, and suchsub-committee shall report to the Committee, at its next meeting after thesub-committee’s meeting, its decision(s). From year to year, and at such other times as the Committee deems appropriate, the Committee shall report to the Board whether this system of approval has been effective and efficient or whether this
Charter should be amended to allow forpre-approval pursuant to such policies and procedures as the Committee shall approve, including the delegation of some or all of the Committee’spre-approval responsibilities to other persons (other than the Adviser or the Trust’s officers).
(e)(2) The percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(c) of Rule2-01 of RegulationS-X, with respect to: Audit-Related Fees were 0% for 2019 and 0% for 2018; Tax Fees were 0% for 2019 and 0% for 2018; and Other Fees were 0% for 2019 and 0% for 2018.
(f) Not Applicable.
(g) Aggregatenon-audit fees billed by the Auditor for services rendered to the Registrant and the Registrant’s investment adviser (not including anysub-adviser whose role is primarily portfolio management as is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the Registrant of each of the last two fiscal years of the Registrant (“Service Affiliates”) were $0 for 2019 and $0 in 2018.
(h) The Registrant’s Audit Committee has considered whether the provision ofnon-audit services that were rendered to Service Affiliates that were notpre-approved pursuant to paragraph (c)(7)ii of Rule2-01 of RegulationS-X is compatible with maintaining the Auditor’s independence.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not Applicable.
ITEM 6. INVESTMENTS.
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 second fiscal quarter of the period covered by this report 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) Code of ethics, or any amendment thereto, that is the subject of disclosure required by Item 2 is attached hereto.
(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: | | November 6, 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: | | November 6, 2019 |
|
| Morgan Stanley Pathway Funds |
| |
| By: | | /s/ Francis Smith |
| | Francis Smith |
| | Chief Financial Officer |
| | Morgan Stanley Pathway Funds |
| |
| Date: | | November 6, 2019 |
