UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-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, 2020
Form N-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 Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking rules.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-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
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 calling 1-800-869-3326.
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 call 1-800-869-3326 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 were positive during the twelve-month period ending August 31, 2020. U.S. markets as measured by the S&P 500® Index i gained 21.94%, while developed international markets represented by the MSCI EAFE® Index (Net) ix gained 6.13% and emerging markets as measured by the MSCI Emerging Markets Index (Net) xii 14.49%. Volatility in financial markets increased given the impact of the COVID-19 pandemic, but global stimulus helped markets recover from the massive selloff in risk assets that occurred during the first quarter of 2020.
During the trailing 12 months ending August 31, 2020, growth stocks outperformed value, both domestically and abroad. The U.S. large-cap Russell 1000® Growth Index iii gained 44.34% compared to the Russell 1000® Index ii which gained 0.84%. The U.S. small-cap Russell 2000® Growth Index vii gained 17.28% compared to a loss of 6.14% for the Russell 2000® Value Index viii. In developed international markets the MSCI EAFE® Growth Index x gained 15.49% compared to a loss of 3.24% for the MSCI EAFE® Value Index xi. Within emerging markets, the MSCI Emerging Markets Index (Net) xii gained 31.18% compared to a loss of 1.32% for the MSCI Emerging Markets Value Index (Net) xiv.
Within the United States, seven out of eleven S&P 500® Index i sectors posted positive results. The returns were as follows: Information Technology (+57.93%), Consumer Discretionary (+34.88%), Communication Services (+27.10%), Health Care (+22.54%), Materials (+14.20%), Consumer Staples (+11.26%), Industrials (+5.19%), Utilities (-2.03%), Real Estate (-4.45%), Financials (-4.45%) and Energy (-33.53%).
Fixed income markets produced positive returns during the same twelve-month period. Broad investment grade indices such as the Bloomberg Barclays U.S. Aggregate BondTM Index xvi returned 6.47% and the Bloomberg Barclays Global Aggregate Bond Index xvii returned 5.54%. U.S. high yield also performed well with the Bloomberg Barclays U.S. Corporate High Yield Bond Index xviii gaining 4.71%.
Morgan Stanley & Co. economists expect U.S. real GDP to detract -5.3% in 2020, but to grow 3.4% in 2021. The forecast for global real GDP is to detract -3.8% in 2020, but to grow 5.9% in 2021.
Morgan Stanley Pathway Funds
(Returns are for the fiscal one year period ending August 31, 2020)
The Large Cap Equity Fund returned 18.85% compared to 22.50% for the Russell 1000® Index ii. The return of the Lipper Large-Cap Core Funds Average xxiii investment category was 18.49%. The Fund’s allocation effect had a positive impact on relative performance, but stock selection within information technology and consumer discretionary had the largest negative impact. Top contributors included Facebook, Amazon and Apple, while the top detractors included Coca-Cola, Occidental Petroleum and Marathon Oil.
The Small-Mid Cap Equity Fund returned 8.78% compared to 6.79% for the Russell 2500® Index v. The return of the Lipper Small-Cap Core Funds Average xxiv investment category was -1.46%. The Fund’s allocation and stock selection had a positive impact on relative performance with financials and real estate having the largest effect. Top contributors included Charles River Laboratories, Catalent and Merit Medical Systems, while the top detractors included Reinsurance Group of America, Envista Holdings and Spirit AeroSystems Holdings.
The International Equity Fund returned 8.64% compared to 6.13% for the MSCI EAFE® Index (Net) ix. The return of the Lipper International Large-Cap Core Funds Average xxv was 6.76%. The Fund’s sector allocation and stock selection had a positive impact on relative performance with information technology and industrials contributing the most. Top contributors included Roche Holdings, Seegene, ASML Holding and SAP, while the top detractors included Royal Dutch Shell, BP and Ovintiv.
I
The Emerging Markets Equity Fund returned 6.79% compared to 14.49% for the MSCI Emerging Markets Index (Net) xii. The return of the Lipper Emerging Markets Funds Average xxvi was 14.24%. The Fund’s sector allocation contributed to performance while stock selection had a negative impact on relative performance with consumer discretionary and financials detracting the most. Top contributors included Tencent Holdings, Alibaba and Meituan Dianping, while the top detractors included IRB Brasil Resseguros, Banco do Brasil and Itau Unibanco Holding.
The Core Fixed Income Fund returned 7.46% compared to 6.47% for the Bloomberg Barclays U.S. Aggregate BondTM Index xvi. The return of the Lipper Core Bond Funds Average xxvii was 6.43%.
The High Yield Fund returned 0.14% compared to 4.71% for the Bloomberg Barclays U.S. Corporate High Yield Bond Index xviii. The return of the Lipper High Yield Funds Average xxviii was 3.05%.
The International Fixed Income Fund returned 0.75% compared to 0.28% for the FTSE Non-USD World Government Bond Index (USD) — Hedged xxi. The return of the Lipper International Income Funds Average xxix was 2.63%.
The Municipal Bond Fund returned 1.99% compared to 3.24% for the Bloomberg Barclays U.S. Municipal Bond Index xx. The return of the Lipper General & Insured Municipal Debt Funds Average iv was 2.10%.
The Inflation-Linked Fixed Income Fund returned 10.38% compared to 8.99% 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 7.60%.
The Ultra-Short Term Fixed Income Fund returned 2.36% compared to 1.18% for the FTSE 3-Month U.S. Treasury Bill Index xv. The return of the Lipper Ultra-Short Obligations Funds Average xiii was 1.77%.
The Alternative Strategies Fund returned 2.61% compared to 4.88% 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 markets entails 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 with emerging markets and frontier markets, since these countries may have relatively unstable governments and less established markets and economies.
Investing in small- to medium-sized companies entails special risks, such as limited product lines, markets, and financial resources, and greater volatility than securities of larger, more established companies.
The value of fixed 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 diversification do not assure a profit or protect against loss in declining financial markets.
The indices 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 investing does 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 investing does 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, 2020†* | |
| |
| Large Cap Equity Fund | | | 18.85 | % |
Russell 1000® Index (ii) | | | 22.50 | % |
| |
| Small-Mid Cap Equity Fund | | | 8.78 | % |
Russell 2500® Index (v) | | | 6.79 | % |
| |
| International Equity Fund | | | 8.64 | % |
MSCI EAFE® Index (Net) (ix) | | | 6.13 | % |
| |
| Emerging Markets Equity Fund | | | 6.79 | % |
MSCI Emerging Markets Index (Net) (xii) | | | 14.49 | % |
| |
| Core Fixed Income Fund | | | 7.46 | % |
Bloomberg Barclays U.S. Aggregate BondTM Index (xvi) | | | 6.47 | % |
| |
| High Yield Fund | | | 0.14 | % |
Bloomberg Barclays U.S. Corporate High Yield Bond Index (xviii) | | | 4.71 | % |
| |
| International Fixed Income Fund | | | 0.75 | % |
FTSE Non-USD World Government Bond Index (USD) — Hedged (xxi) | | | 0.28 | %�� |
| |
| Municipal Bond Fund | | | 1.99 | % |
Bloomberg Barclays U.S. Municipal Bond Index (xx) | | | 3.24 | % |
| |
| Inflation-Linked Fixed Income Fund | | | 10.38 | % |
Bloomberg Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index (xix) | | | 8.99 | % |
| |
| Ultra-Short Term Fixed Income Fund | | | 2.36 | % |
FTSE 3-Month U.S. Treasury Bill Index (xv) | | | 1.18 | % |
| |
| Alternative Strategies Fund | | | 2.61 | % |
HFRX Global Hedge Fund Index (xxii) | | | 4.88 | % |
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, 2020 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 (“MIM”), Lyrical Asset Management LP (“Lyrical”) and ClearBridge Investments, LLC (“ClearBridge”).
For the fiscal year ending August 31, 2020, the Fund returned 18.85% compared to the Russell 1000® Indexii return of 22.50%. Positioning within financials and consumer staples contributed the most to relative performance while information technology and energy were the top detractors. Top contributors included Facebook, Amazon and Apple, while the top detractors included Coca-Cola, Occidental Petroleum and Marathon Oil.
The Fund’s yield was 1.53%, slightly less than the benchmark’s 1.62% yield. The Fund’s one year forward price to earnings ratio (P/E) was 23.2, less than the benchmark which was 25.4. The estimated earnings per share growth over the next 3-5 years is 11.8%, slightly less than the benchmark’s 12.3% growth rate. The top 10 positions accounted for 21% of the Fund’s holdings and included Apple, Amazon, Microsoft, Facebook, Visa, Alphabet, NVIDIA, Adobe, Salesforce and UnitedHealth Group.
During the fiscal one year period, BlackRock performed in-line with the Russell 1000® Indexii, which matched its passive mandate to track the index.
The portion of the Fund managed by Lazard underperformed their benchmark during the fiscal one year period. Lazard’s positioning within the information technology sector was the largest detractor, while positioning within financials was the largest contributor to relative performance. The top five contributors were Alphabet, Lowe’s Companies, S&P Global, Intercontinental Exchange and Skyworks Solutions, while the top five detractors were Coca-Cola, Envista Holdings, Armstrong World Industries, Sabre Corporation and Motorola Solutions. As of August 31, 2020, Lazard’s top ten positions represented 63% of their portfolio.
The portion of the Fund managed by MIM trailed their benchmark during the fiscal one year period. The top contributing sector was information technology, while energy was the largest detractor. The top five contributors were Walt Disney, Lowe’s Companies, Conagra Brands, Caterpillar and Broadcom, while the top five detractors were Marathon Oil, Occidental Petroleum, American International Group, Equity Residential and Raytheon Technologies. As of August 31, 2020, MIM’s top ten positions represented 33% of their portfolio.
The portion of the Fund managed by Lyrical outperformed their benchmark during the fiscal one year period. The top contributing sector was information technology, while energy was the largest detractor. The top five contributors were Centene Corporation, United Rentals, Dell Technologies, Broadcom and Berry Global Group, while the top five detractors were Suncor Energy, Lincoln National, AerCap Holdings, Alliance Data Systems and Western Digital. As of August 31, 2020, Lyrical’s top ten positions represented 50% of their portfolio.
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 long-term normalized earnings power will outperform the overall market over time and unlike some traditional value investors who |
The portion of the Fund managed by ClearBridge trailed their benchmark during the fiscal one year period. The top contributing sector was Real Estate while information technology was their largest detractor. The top five contributors were Facebook, Amazon, Apple, Microsoft and NVIDIA, while the top five detractors were Grubhub, Anheuser-Busch InBev, Pioneer Natural Resources, American Express and Raytheon Technologies. As of August 31, 2020, ClearBridge’s top ten positions represented 47% of their portfolio.
The portion of the Fund managed by Columbia outperformed their benchmark during the fiscal one year period. Positioning was strongest within information technology and weakest within consumer discretionary. The top five contributors were Amazon, NVIDIA, Square, PayPal Holdings and Adobe, while the top five detractors were Walt Disney, Planet Fitness, Canada Goose Holdings, Pioneer Natural Resources and Exact Sciences. As of August 31, 2020, Columbia’s top ten positons represented 42% 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 the Russell 1000® Indexii vs. the Lipper Large-Cap Core Funds Averagexxiii
|
HISTORICAL PERFORMANCE FOR THE TEN-YEAR PERIOD ENDED AUGUST 31, 2020 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, 2020† |
| | | | | Without
Annual
Advisory
Program
Fee | | With
Annual
Advisory
Program
Fee* | | Russell
1000®
Index** | | Lipper
Large-Cap
Core Funds
Average** |
| | Since inception 11/18/1991 | | | | 8.74 | % | | | | 6.59 | % | | | | 10.24 | % | | | | 9.58 | % |
| | 10 years | | | | 14.11 | | | | | 11.90 | | | | | 15.19 | | | | | 13.47 | |
| | 5 years | | | | 11.78 | | | | | 9.64 | | | | | 14.31 | | | | | 12.53 | |
| | 3 years | | | | 12.71 | | | | | 10.57 | | | | | 14.58 | | | | | 12.61 | |
| | | 1 year | | | | 18.85 | | | | | 16.72 | | | | | 22.50 | | | | | 18.62 | |
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, 2020, 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 Invesments, LLC (“Nuance”) and Westfield Capital Management Company, L.P. (“Westfield”).
For the fiscal year ending August 31, 2020, the Fund returned 8.78% compared to the Russell 2500® Indexv return of 6.79%. Positioning within financials and real estate contributed the most to relative performance while consumer discretionary and information technology were the largest detractors. Top contributors included Charles River Laboratories, Catalent and Merit Medical, while the top detractors included Reinsurance Group of America, Envista Holdings and Spirit AeroSystems Holdings.
The Fund’s yield was 1.23%, less than the benchmark’s 1.74% yield. The Fund’s forward P/E was 22.6, higher than the benchmark which was 19.8. The estimated earnings per share growth over the next 3-5 years is 12.2%, slightly less than the benchmark’s 12.8% growth rate. The top 10 positons accounted for 7% of the Fund’s holdings and included Charles River Laboratories, Travelers Companies, Nuance Communications, Equity Commonwealth, Dentsply Sirona, Verisk Analytics, Crown Holdings, Ansys, Merit Medical Systems and Ciena Corporation.
During the fiscal one year period, BlackRock performed in-line with the Russell 2500® Indexv, which matched its passive mandate to track the index.
The portion of the Fund managed by Neuberger outperformed their benchmark during the fiscal one year period. Sector positioning had a positive impact, while stock selection detracted to relative performance. The top contributing sector was information technology, while consumer discretionary was the largest detractor. The top five contributors were Charles River Laboratories International, Ciena, Nuance Communications, MACOM Technology Solutions Holdings and Cloudera, while the top five detractors were Children’s Place, Spirit AeroSystems Holdings, Hertz Global Holdings, Welbilt and Covanta Holding Corp. As of August 31, 2020, Neuberger’s top ten positons represented 31% of their portfolio.
The portion of the Fund managed by Westfield outperformed their benchmark during the fiscal one year period. Sector positioning and stock selection both contributed to relative performance. The top contributing sector was health care, while energy was the largest detractor. The top five contributors were Palomar Holdings, Teladoc Health, Trex Company, SiTime Corp. and Medicines Company, while the top five detractors were PBF Energy, WPX Energy, NMI Holdings, FirstCash and Stag International. As of August 31, 2020, Westfield’s top ten positions represented 25% of their portfolio.
The portion of the Fund managed by Aristotle trailed their benchmark during the fiscal one year period. Sector positioning and stock selection both detracted from relative performance. The top contributing sector was real estate while information technology was the largest detractor. The top five contributors were Catalent, Charles River Laboratories International, Dycom Industries, MACOM Technology
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. |
Solutions Holdings and QTS Realty Trust, while the top five detractors were BankUnited, Berkshire Hills Bancorp, AerCap Holdings, Team Inc. and Allete Inc. As of August 31, 2020, Aristotle’s top ten positions represented 21% of their portfolio.
The portion of the Fund managed by DF Dent outperformed their benchmark during the fiscal one year period. Sector positioning detracted, but stock selection contributed to relative performance. The top contributing sector was communication services, while materials was the largest detractor. The top five contributors were Moody’s Corp., Illumina, Bio-Techne, Ansys and BlackLine, while the top five detractors were Markel Corp., TransDigm Group, PROS Holdings, Vulcan Materials and CBRE Group. As of August 31, 2020, DF Dent’s top ten positions represented 42% of their portfolio.
The portion of the Fund managed by Nuance outperformed their benchmark during the fiscal one year period. Sector allocation had a positive impact on relative performance, while stock selection had a neutral impact. The top contributing sector was real estate, while materials was the largest detractor. The top five contributors were Sysco, Charles Schwab, Merit Medical Systems, ICU Medical and Amphenol Corp., while the top five detractors were Reinsurance Group of America, Travelers Companies, MetLife, Envista Holdings and Wright Medical Group. As of August 31, 2020, Nuance’s top ten positons represented 48% of their portfolio.
5
The following graph depicts performance of the Russell 2500® Indexv vs. the Lipper Small-Cap Core Funds Averagexxiv
|
HISTORICAL PERFORMANCE FOR THE TEN-YEAR PERIOD ENDED AUGUST 31, 2020 SMALL-MID CAP EQUITY FUND Comparison of $10,000 Investment in the Fund with the Russell 2500® Index
and the Lipper Small-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, 2020† |
| | | | | 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 | % | | | | 6.74 | % | | | | 10.44 | % | | | | 9.75 | % |
| | 10 years | | | | 11.30 | | | | | 9.13 | | | | | 12.31 | | | | | 9.63 | |
| | 5 years | | | | 6.15 | | | | | 4.09 | | | | | 8.54 | | | | | 4.95 | |
| | 3 years | | | | 7.60 | | | | | 5.55 | | | | | 6.94 | | | | | 1.47 | |
| | | 1 year | | | | 8.78 | | | | | 6.83 | | | | | 6.79 | | | | | (1.45 | ) |
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 below average price-to-earnings ratio and an above average 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. 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, 2020, 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”), and Schroders 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, 2020, the Fund returned 8.64% compared to the MSCI EAFE® Index (Net)ix return of 6.13%. The Fund’s relative country selection and individual stock selection contributed to performance. Overall positioning was strongest in Australia and weakest in Ireland. The top five positions contributing to performance included Roche Holdings, Seegene, ASML Holding, SAP SE, and Infineon Technologies, while the top five detractors were Royal Dutch Shell Plc, BP Plc, Ovintiv, Banco Bilbao Vizcaya Argentaria and Rolls-Royce Holdings.
The Fund’s holdings offered a dividend yield of 2.8% compared to the benchmark of 3.1%. On a valuation basis, the Fund’s forward P/E was 19.2, slightly less than the benchmark which was 19.4. The estimated earnings per share growth over the next 3-5 years is 10.0%, compared to the benchmark of 9.7%. The top ten individual positions by weight accounted for 11% of the Fund and included Roche Holdings, SAP SE, Novartis, Nestle, ASML Holding, Takeda Pharmaceutical Co., Infineon Technologies, Siemens, UniCredit and Volkswagen.
During the fiscal one year period, BlackRock performed in-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 their 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 Prudential, Siemens, Deutsche Post, ABB Ltd., and Infineon Technologies, while the top five detractors included Ovintiv Inc., Royal Dutch Shell Plc., BP Plc., Banco Bilbao Vizcaya Argentaria and Rolls-Royce Holdings. As of August 31, 2020, Causeway’s top ten positions represented 32% of their portfolio.
The portion of the Fund managed by OFI outperformed their benchmark during the fiscal one year period. Country allocation and security selection both contributed to relative performance. Overall positioning was strongest in France and weakest in Finland. The top five positions contributing to performance included ASML Holding, Taiwan Semiconductor Manufacturing, SAP SE, EPAM Systems and STMicroelectronics, while the top five detractors included TechnipFMC PLC, Airbus, Melrose Industries, Nokia and CCL Industries. As of August 31, 2020, OFI’s top ten positions represented 24% of their portfolio.
The portion of the Fund managed by Schroders outperformed their benchmark during the fiscal one year period. Country allocation and security selection both contributed to relative performance. Overall positioning was strongest in Japan and weakest in Sweden. The top five positions contributing to performance were Roche Holdings, Lonza Group, Vestas Wind Systems, ASML Holding and SAP SE, while
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, long-term 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. |
the top five detractors included Danone SA, Total SE, Banco Bilbao Vizcaya Argentaria, Erste Group Bank and Jardine Strategic Holdings Limited. As of August 31, 2020, Schroders’ top ten positions represented 22% of their portfolio.
The portion of the Fund managed by Wellington underperformed their benchmark during the fiscal one year period. Country allocation and security selection both detracted from relative performance. Overall positioning was strongest in Canada and weakest in China. The top five positions contributing to performance included Z Holdings Corp., A.P. Moller-Maersk, Barrick Gold, Kinross Gold and Gold Fields Limited, while the top five detractors included Royal Dutch Shell, BP PLC, Societe Generale SA, ABN AMRO Bank NV and Standard Charter PLC. As of August 31, 2020, Wellington’s top ten positions represented 21% of their portfolio.
The portion of the Fund managed by Victory Trivalent outperformed their benchmark during the fiscal one year period. Country allocation and stock selection both contributed to relative performance. Overall positioning was strongest in Korea and weakest in Spain. The top five positions contributing to performance included Stillfront Group, Evolution Gaming Group, Seegene, Lasertec and Logitech International, while the top five detractors included BRP, Deutsche Pfandbriefbank AG, Meggitt PLC, National Express Group PLC and Charter Hall Group. As of August 31, 2020, 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, 2020 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, 2020† |
| | | | | 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 | | | | 5.16 | % | | | | 3.02 | % | | | | 4.78 | % | | | | 5.93 | % |
| | 10 years | | | | 5.05 | | | | | 3.01 | | | | | 5.88 | | | | | 5.09 | |
| | 5 years | | | | 4.62 | | | | | 2.61 | | | | | 4.72 | | | | | 3.68 | |
| | 3 years | | | | 1.96 | | | | | 0.02 | | | | | 2.34 | | | | | 1.13 | |
| | | 1 year | | | | 8.64 | | | | | 6.71 | | | | | 6.13 | | | | | 6.28 | |
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 long-term 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, 2020, the Sub-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, 2020, the Fund returned 6.79% compared to the MSCI Emerging Markets Index (Net)xii return of 14.49%. The underperformance can be contributed to a combination of weak country allocation and stock selection. Overall positioning was strongest in Thailand and weakest in Taiwan. The top five positions contributing to performance included Tencent Holdings, Alibaba, Meituan Dianping, A-Living Services and Taiwan Semiconductor, while the top five detractors included IRB Brasil Resseguros, Banco do Brasil, Itau Unibanco Holding, Bandhan Bank, and NMC Health PLC.
The Fund’s holdings offered a dividend yield of 2.4%, in-line with the MSCI Emerging Market’s Index (Net)xii yield of 2.4%. On a valuation basis, the Fund’s forward P/E was 16.2 compared to the benchmark which was 16.5. The estimated earnings per share growth over the next 3-5 years is 15.5%, compared to the benchmark of 15.6%. The top ten individual positions by weight accounted for 24% of the Fund and included Alibaba Group Holding, Tencent Holdings, Samsung Electronics Co., LTD, Ping An Insurance (Group) Company, China Construction Bank, Meituan Dianping, SK Hynix, Prosus N.V., and Reliance Industries.
For the fiscal year ending August 31, 2020 BlackRock performed in-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 underperformed their benchmark during the fiscal one year period. The strategy’s country allocation detracted, while their stock selection contributed to the relative performance. Overall positioning was strongest in China and weakest in the United Kingdom. The top five positions contributing to performance included Tencent Holdings, Alibaba, Meituan Dianping, Wuxi Biologics and A-Living Services, while the top five detractors included IRB Brasil Resseguros, Bandhan Bank, Regional, NMC Health PLC and Ayala Land. As of August 31, 2020, VanEck’s top ten positions represented 36% of their portfolio.
The portion of the Fund managed by Lazard underperformed their benchmark during the fiscal one year period. A combination of weak country allocation and stock selection detracted from relative performance. Overall positioning was strongest in Russia and weakest in China. The top five positions contributing to performance included NetEase, Weichai Power Co., Taiwan Semiconductor, Samsung Electronics and Anhui Conch Cement, while the top five detractors included PT Telekomunikasi Indonesia, Turkiye Petrol Rafinerileri, Banco do Brasil, IRB Brasil Resseguros and PT Bank Mandiri. As of August 31, 2020, Lazard’s top ten positions represented 28% 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, 2020 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, 2020† |
| | | | | 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 | | | | 4.58 | % | | | | 2.53 | % | | | | N/A | | | | | 5.90 | % |
| | 10 years | | | | 2.63 | | | | | 0.64 | | | | | 3.76 | | | | | 3.82 | |
| | 5 years | | | | 7.76 | | | | | 5.69 | | | | | 8.66 | | | | | 8.16 | |
| | 3 years | | | | 0.13 | | | | | (1.78 | ) | | | | 2.83 | | | | | 2.78 | |
| | | 1 year | | | | 6.79 | | | | | 4.84 | | | | | 14.49 | | | | | 14.07 | |
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, 2020, the Sub-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, 2020, the Fund returned 7.46% compared its benchmark, the Bloomberg Barclays U.S. Aggregate Bond IndexTM Indexxvi which returned 6.47%.
The portion of the Fund managed by MetWest outperformed the benchmark during the fiscal one year period. Bolstering portfolio performance was the credit positioning, which was an underweight in the earlier part of the period, given late cycle dynamics (i.e. high corporate leverage and share buybacks) — benefiting the portfolio amid the virus-induced spread widening. A conservative posture further rewarded the portfolio as defensive industries such as healthcare and pharmaceuticals outperformed more market-sensitive ones like energy, cyclicals, and non-U.S. sovereigns. During this cheapening phase, the portfolio took the opportunity to purchase credits at compelling levels, which delivered another boost to returns with the credit exposure trimmed to capture gains during the remediation that began in the second quarter of 2020. In securitized products, the allocation to agency MBS increased at favorable entry points as the sector was weighed down by Fed tapering and low rates in 2019. This upsized shift benefited performance given the Fed’s massive sponsorship instituted in March. As spreads have come in, the agency mortgage-backed securities (MBS) exposure was reduced though remains a modest overweight. In asset-backed securities (ABS) and commercial mortgage-backed securities (CMBS), the negative effects from the health crisis overshadowed solid performance in 2019 and the rebound from the March liquidity crunch, though issue selection favoring senior, higher quality CMBS was additive, with an additional contribution coming from legacy non-agency MBS. Finally, a small position in Japanese Government issued T-bills, with the yen exposure fully hedged out using a dollar-yen cross currency swap, contributed to performance on the margin, while an allocation to Treasury Inflation-Protected Securities (TIPS) was further beneficial given increased inflation expectations. Finally, portfolio’s duration profile slightly reined in returns, with a longer stance shifting to neutral as yields fell with the Fed trimming rates, while moving shorter as yields plunged and remained near historic lows to end the period.
The portion of the Fund managed BlackRock outperformed the benchmark during the fiscal one year period. The relative outperformance of the portfolio was spread across a diverse set of factors. The main contributors to the portfolio’s performance were positioning and selection within investment grade credit, agency mortgage positioning, emerging market positioning and selection and ABS positioning. The portfolio held an overweight to investment grade credit for much of the second half of 2019 which benefitted from supportive central bank policy. As spreads moved tighter, the portfolio tactically moved to an underweight position which benefitted performance in the first quarter of 2020 before moving back to an overweight position into quarter end as valuations became attractive. The team continued to build the overweight position in early 2Q 2020 given historic new issue supply and attractive valuations. The other positions were broadly supported by central bank policy and positive tone in risk markets in 2Q 2020. This was partly offset by negative performance, most of which materialized in the first quarter of 2020 as the global spread of COVID-19 caused risk assets to underperform. The most notable detractors from performance were the portfolio’s underweight duration position and overweight positioning in CMBS. Interest rates rallied substantially as the Fed cut
12
The following graph depicts the performance of Bloomberg Barclays U.S. Aggregate BondTM Indexxvi vs. the Lipper Core Bond Funds Averagexxvii
rates to the zero lower bound and risk assets sold off meaningfully in March. As of the end of the period, overweights were reduced across spread sectors given the strong performance recently, but remain overweight spread assets.
The portion of the Fund managed by Western outperformed the benchmark during the fiscal one year period. Duration Positioning was the largest positive contributor to performance. The tactical use of duration during a volatile rate environment ultimately benefited as rates fell meaningfully. Yield curve positioning detracted from performance as the curve steepened. TIPS exposures were positive for performance as break-even inflation rates rose. Corporate bond exposures, which included both investment-grade and high-yield credit, were the second largest contributor to performance. Though investment grade and high-yield credit spreads both widened during the 12-month period, the portfolio benefitted from a tactical add to each sector at wider levels during the months of March and April. This was highly beneficial for performance as spreads subsequently tightened during the second quarter of 2020. Emerging market debt detracted, driven by wider spreads for U.S. dollar-denominated sovereigns and corporates and by local currency positions, which largely weakened against the U.S. dollar. Structured product positions, in aggregate, were negative for performance as the structured sector overall was impacted by spread widening during 1Q 2020 as well as additional pressure from forced (levered) sellers, particularly during the month of March 2020.
|
HISTORICAL PERFORMANCE FOR THE TEN-YEAR PERIOD ENDED AUGUST 31, 2020 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, 2020† |
| | | | | Without
Annual
Advisory
Program
Fee | | With
Annual
Advisory
Program
Fee* | | Bloomberg
Barclays U.S.
Aggregate
BondTM
Index** | | Lipper
Core Bond
Funds
Average** |
| | Since inception 11/18/1991 | | | | 5.47 | % | | | | 3.39 | % | | | | 5.68 | % | | | | 5.54 | % |
| | 10 years | | | | 4.04 | | | | | 2.00 | | | | | 3.65 | | | | | 3.69 | |
| | 5 years | | | | 4.59 | | | | | 2.57 | | | | | 4.33 | | | | | 4.23 | |
| | 3 years | | | | 5.38 | | | | | 3.37 | | | | | 5.09 | | | | | 4.85 | |
| | | 1 year | | | | 7.46 | | | | | 5.57 | | | | | 6.47 | | | | | 6.42 | |
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, 2020, 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, 2020, the Fund returned 0.14% compared to its benchmark, the Bloomberg Barclays U.S. Corporate High Yield Bond Indexxviii which returned 4.71%. Cash inflows coupled with rising markets detracted from performance. The timing of these cash inflows allowed managers to outperform but the overall fund to underperform.
The portion of the Fund managed by Eaton Vance outperformed the Fund’s benchmark during the fiscal one year period. While security selection was somewhat challenging over this period, sector allocation was sharply positive. By sector, the top drivers of positive relative performance were metals/mining and insurance. Outperformance in both sectors was mainly attributable to positive credit selection. At the other end of the spectrum, credit selection was a headwind to relative performance in the energy and leisure sectors. At the end of the period, Eaton Vance was overweight the healthcare, cable & satellite TV and insurance sectors and underweight the diversified financial services and homebuilders & real estate sectors.
The portion of the Fund managed by Western slightly outperformed the 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 allocations detracted from relative performance largely due to underweights to the outperforming consumer non-cyclical and technology sectors. Issue selection was the largest contributor during the period due to issuer tilts within the communications and transportation sectors. Duration positioning aided relative performance given an overweight stance as rates fell significantly 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 THE TEN-YEAR PERIOD ENDED AUGUST 31, 2020 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, 2020† |
| | | | | 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 | | | | 4.34 | % | | | | 2.30 | % | | | | 6.49 | % | | | | 5.54 | % |
| | 10 years | | | | 5.26 | | | | | 3.21 | | | | | 6.90 | | | | | 5.75 | |
| | 5 years | | | | 4.28 | | | | | 2.26 | | | | | 6.45 | | | | | 5.07 | |
| | 3 years | | | | 3.04 | | | | | 1.05 | | | | | 4.88 | | | | | 3.78 | |
| | | 1 year | | | | 0.14 | | | | | (1.71 | ) | | | | 4.71 | | | | | 3.05 | |
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, 2020, 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, 2020, the Fund returned 0.75% compared to its benchmark, the FTSE Non-USD World Government Bond Index (USD) — Hedgedxxi which returned 0.28%.
PIMCO’s out-of-benchmark exposure to U.S. duration contributed to performance as U.S. rates fell over the period. U.S. yield curve positioning also contributed to performance, including an overweight to front end rates as these rates fell more than intermediate and long end rates. Overall, non-U.S. interest rate positioning contributed to performance, including tactical exposures to Latin American and South African emerging market local duration. Additionally, an overweight to Canadian interest rates added to returns. Spread strategies overall contributed to performance, particularly positions in Agency mortgage-backed securities as these securities outperformed like-duration Treasuries over the period. Lastly, overall currency strategies detracted from performance, including modest exposure to a basket of high-carry emerging market currencies.
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, 2020 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, 2020† |
| | | | | 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 | | | | 5.74 | % | | | | 3.61 | % | | | | 5.97 | % | | | | 5.17 | % | | | | 5.29 | % |
| | 10 years | | | | 3.86 | | | | | 1.82 | | | | | 4.05 | | | | | 1.63 | | | | | 2.22 | |
| | 5 years | | | | 4.66 | | | | | 2.63 | | | | | 4.53 | | | | | 4.13 | | | | | 2.98 | |
| | 3 years | | | | 4.26 | | | | | 2.27 | | | | | 4.89 | | | | | 3.20 | | | | | 2.00 | |
| | | 1 year | | | | 0.75 | | | | | (1.04 | ) | | | | 0.28 | | | | | 4.36 | | | | | 2.59 | |
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, 2020, the Sub-Advisor for the Morgan Stanley Pathway Municipal Bond Fund (“Fund”) was BlackRock Financial Management, Inc. (“BlackRock”).
For the fiscal year ending August 31, 2020, the Fund returned 1.99% compared to its benchmark, the Bloomberg Barclays U.S. Municipal Bond Indexxx which returned 3.24%.
Security selection within healthcare and housing credits and sector allocation to tax-backed state and locals were the largest contributors to performance. Within credit, overweight exposure to NR and A credits was also additive to performance. Duration management contributed slightly however interest rate hedges were a drag on performance over the period. Curve positioning, particularly underweight exposure to the belly of the curve (10-15 year maturities) hindered performance.
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 THE TEN-YEAR PERIOD ENDED AUGUST 31, 2020 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, 2020† |
| | | | | 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 | | | | 4.66 | % | | | | 2.56 | % | | | | 5.42 | % | | | | 5.00 | % |
| | 10 years | | | | 3.17 | | | | | 1.15 | | | | | 3.98 | | | | | 3.81 | |
| | 5 years | | | | 3.15 | | | | | 1.15 | | | | | 3.99 | | | | | 3.71 | |
| | 3 years | | | | 3.32 | | | | | 1.33 | | | | | 4.09 | | | | | 3.72 | |
| | | 1 year | | | | 1.99 | | | | | 0.15 | | | | | 3.24 | | | | | 2.10 | |
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, 2020, 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, 2020, the Fund returned 10.38% compared to its benchmark, the Bloomberg Barclays U.S. Treasury Inflation Protected Securities (TIPS) Indexxix which returned 8.99%.
An overweight to U.S. duration contributed to performance as U.S. Treasury yields fell over the period. Non-U.S. interest rate strategies also contributed to performance, including an underweight to core European rates. An overweight to U.S. breakeven inflation contributed to performance as U.S. breakeven levels saw a sharp rebound after the first quarter of 2020. Short exposure to the United Kingdom breakeven inflation contributed to performance as inflation expectations declined. Within spread sectors, holdings of select high yield and Agency mortgage-backed securities contributed to performance as these sectors outperformed like-duration Treasuries. Lastly, tactical exposure to higher carry emerging market currencies detracted from 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 THE TEN-YEAR PERIOD ENDED AUGUST 31, 2020
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, 2020† |
| | | | | 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 | | | | 4.56 | % | | | | 3.00 | % | | | | 4.77 | % | | | | 4.08 | % |
| | 10 years | | | | N/A | | | | | N/A | | | | | 3.68 | | | | | 2.81 | |
| | 5 years | | | | N/A | | | | | N/A | | | | | 4.57 | | | | | 3.66 | |
| | 3 years | | | | 5.71 | | | | | 3.65 | | | | | 5.70 | | | | | 4.56 | |
| | | 1 year | | | | 10.38 | | | | | 8.33 | | | | | 8.99 | | | | | 7.62 | |
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, 2020, the Sub-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, 2020, the Fund returned 2.36% compared to its benchmark, the FTSE 3-Month U.S. Treasury Bill Indexxv which returned 1.18%.
Overall, interest rate strategies were positive for performance. An underweight U.S. duration modestly detracted from performance as U.S. interest rates fell over the period. However, this was more than offset by yield curve positioning, including a focus on short and intermediate rates as these yields outperformed long-end yields. Additionally, exposure to Canadian and Australian interest rates added to performance as yields in these countries also fell over the period. Overall spread sector strategies were positive for performance. Security and sector selection within the investment grade corporate credit added to performance, particularly a focus on financials. Select holdings of securitized credit, including both Agency and non-Agency mortgage-backed securities, were positive for performance. Overall currency strategies detracted from performance including short exposure to the euro as the euro appreciated relative the U.S. dollar.
22
The following graph depicts the performance of the FTSE 3-Month U.S. Treasury Bill Indexxv vs. the Lipper Ultra-Short Obligations Funds Averagexiii
|
HISTORICAL PERFORMANCE FOR THE TEN-YEAR PERIOD ENDED AUGUST 31, 2020
ULTRA-SHORT TERM FIXED INCOME FUND Comparison of $10,000 Investment in the Fund with the FTSE 3-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 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.
| | | | | | | | | | | | | | | | | | | | | | |
| | | ULTRA-SHORT TERM FIXED INCOME FUND Average Annual Total Returns for the Period Ended August 31, 2020† |
| | | | | 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 | | | | 2.19 | % | | | | 0.16 | % | | | | 1.27 | % | | | | 1.91 | % |
| | 10 years | | | | N/A | | | | | N/A | | | | | 0.61 | | | | | 1.12 | |
| | 5 years | | | | N/A | | | | | N/A | | | | | 1.15 | | | | | 1.61 | |
| | 3 years | | | | 2.17 | | | | | 0.23 | | | | | 1.68 | | | | | 2.02 | |
| | | 1 year | | | | 2.36 | | | | | 0.58 | | | | | 1.18 | | | | | 1.75 | |
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, 2020, the Morgan Stanley Pathway Alternative Strategies Fund (“Fund”) returned 2.61% compared to its benchmark, the HFRX Global Hedge Fund Indexxxii which returned 4.88%. Contributing to performance were exposures to strategies including even-driven and macro while exposures to energy and master limited partnerships were a key detractor.
|
HISTORICAL PERFORMANCE FOR THE TEN-YEAR PERIOD ENDED AUGUST 31, 2020
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 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.
| | | | | | | | | | | | | | | | | |
| | | ALTERNATIVE STRATEGIES FUND Average Annual Total Returns for the Period Ended August 31, 2020† |
| | | | | Without
Annual
Advisory
Program
Fee | | With
Annual
Advisory
Program
Fee* | | HFRX
Global Hedge
Fund Index |
| | Since inception 2/15/2018 | | | | 1.79 | % | | | | (0.17 | %) | | | | 0.26 | % |
| | 10 years | | | | N/A | | | | | N/A | | | | | 1.27 | |
| | 5 years | | | | N/A | | | | | N/A | | | | | 1.75 | |
| | 3 years | | | | N/A | | | | | N/A | | | | | 1.74 | |
| | | 1 year | | | | 2.61 | | | | | 0.73 | | | | | 4.88 | |
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 recent month-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 higher price-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 higher price-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 lower price-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 to non-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 and mid-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 and mid-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 FTSE 3-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, and pre-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 FTSE Non-USD World Government Bond Index (USD) — Hedged and — Unhedged are each sub-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. The Non-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 utilize state-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 Lipper Large-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 average price-to-earnings ratio, price-to-book ratio, and three-year sales-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. |
27
| xxiv. | | The Lipper Small-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) 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 average price-to-earnings ratio, price-to-book ratio, and three-year sales-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 International Large-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 international large-cap floor. International large-cap core funds typically have average characteristics compared to their large-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 in non-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 and non-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, 2020 and held for the six months ended August 31, 2020.
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 | | | | 18.21 | % | | | $ | 1,000.00 | | | | $ | 1,182.10 | | | | | 0.50 | % | | | $ | 2.74 | |
Small-Mid Cap Equity Fund | | | | 9.22 | % | | | | 1,000.00 | | | | | 1,092.20 | | | | | 0.63 | % | | | | 3.31 | |
International Equity Fund | | | | 7.92 | % | | | | 1,000.00 | | | | | 1,079.20 | | | | | 0.74 | % | | | | 3.87 | |
Emerging Markets Equity Fund | | | | 3.82 | % | | | | 1,000.00 | | | | | 1,038.20 | | | | | 0.83 | % | | | | 4.25 | |
Core Fixed Income Fund | | | | 3.91 | % | | | | 1,000.00 | | | | | 1,039.10 | | | | | 0.57 | % | | | | 2.92 | |
High Yield Fund | | | | -0.92 | % | | | | 1,000.00 | | | | | 990.80 | | | | | 0.78 | % | | | | 3.90 | |
International Fixed Income Fund | | | | 0.38 | % | | | | 1,000.00 | | | | | 1,003.80 | | | | | 1.04 | % | | | | 5.24 | |
Municipal Bond Fund | | | | 0.02 | % | | | | 1,000.00 | | | | | 1,000.20 | | | | | 0.79 | % | | | | 3.97 | |
Inflation-Linked Fixed Income Fund | | | | 7.17 | % | | | | 1,000.00 | | | | | 1,071.70 | | | | | 1.00 | % | | | | 5.21 | |
Ultra-Short Term Fixed Income Fund | | | | 0.83 | % | | | | 1,000.00 | | | | | 1,008.30 | | | | | 0.60 | % | | | | 3.03 | |
Alternative Strategies Fund | | | | 2.24 | % | | | | 1,000.00 | | | | | 1,022.40 | | | | | 0.70 | % | | | | 3.56 | |
| (1) | For the six months ended August 31, 2020. |
| (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 month expense ratios, which may differ from net 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 366 (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/period before expenses, which is not each Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balances or expenses you paid for the period. You may use the information provided in this table to compare the ongoing costs of investing in each Fund and other funds. To do so, compare the 5.00% hypothetical example relating to a Fund with the 5.00% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table below are meant to highlight your ongoing costs only and do not reflect any advisory program annual fees. Therefore, the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these advisory program annual fees were included, your costs would have been higher.
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Based on Hypothetical Total Return(1) | | | | | | | | | | |
| | | | | |
| Fund | | Hypothetical
Annualized
Total Return | | Beginning
Account
Value | | Ending
Account
Value | | Annualized
Expense
Ratios(2) | | Expense
Paid During
the Period(3) |
Large Cap Equity Fund | | | | 5.00 | % | | | $ | 1,000.00 | | | | $ | 1,022.62 | | | | | 0.50 | % | | | $ | 2.54 | |
Small-Mid Cap Equity Fund | | | | 5.00 | % | | | | 1,000.00 | | | | | 1,021.97 | | | | | 0.63 | % | | | | 3.20 | |
International Equity Fund | | | | 5.00 | % | | | | 1,000.00 | | | | | 1,021.42 | | | | | 0.74 | % | | | | 3.76 | |
Emerging Markets Equity Fund | | | | 5.00 | % | | | | 1,000.00 | | | | | 1,020.96 | | | | | 0.83 | % | | | | 4.22 | |
Core Fixed Income Fund | | | | 5.00 | % | | | | 1,000.00 | | | | | 1,022.27 | | | | | 0.57 | % | | | | 2.90 | |
High Yield Fund | | | | 5.00 | % | | | | 1,000.00 | | | | | 1,021.22 | | | | | 0.78 | % | | | | 3.96 | |
International Fixed Income Fund | | | | 5.00 | % | | | | 1,000.00 | | | | | 1,019.91 | | | | | 1.04 | % | | | | 5.28 | |
Municipal Bond Fund | | | | 5.00 | % | | | | 1,000.00 | | | | | 1,021.17 | | | | | 0.79 | % | | | | 4.01 | |
Inflation-Linked Fixed Income Fund | | | | 5.00 | % | | | | 1,000.00 | | | | | 1,020.11 | | | | | 1.00 | % | | | | 5.08 | |
Ultra-Short Term Fixed Income Fund | | | | 5.00 | % | | | | 1,000.00 | | | | | 1,022.12 | | | | | 0.60 | % | | | | 3.05 | |
Alternative Strategies Fund | | | | 5.00 | % | | | | 1,000.00 | | | | | 1,021.62 | | | | | 0.70 | % | | | | 3.56 | |
| (1) | For the six months ended August 31, 2020. |
| (2) | Annualized Expense Ratios are based on the most recent 6 month 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 366 (to reflect the one-half year period). |
30
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | COMMON STOCKS — 97.5% | |
|
| | COMMUNICATION SERVICES — 9.9% | |
|
| | Diversified Telecommunication Services — 1.7% | |
| | 423,452 | | | AT&T Inc. | | $ | 12,623,104 | |
| | 33,326 | | | CenturyLink Inc. | | | 358,254 | |
| | 3,002 | | | GCI Liberty Inc., Class A Shares* | | | 242,502 | |
| | 189,873 | | | Liberty Global PLC, Class C Shares* | | | 4,368,978 | |
| | 238,625 | | | Verizon Communications Inc. | | | 14,143,304 | |
| | | | | | | | |
| | | | Total Diversified Telecommunication Services | | | 31,736,142 | |
| | | | | | | | |
|
| | Entertainment — 2.0% | |
| | 57,130 | | | Activision Blizzard Inc. | | | 4,771,498 | |
| | 19,658 | | | Electronic Arts Inc.* | | | 2,741,701 | |
| | 736 | | | Liberty Media Corp-Liberty Formula One, Class A Shares*(a) | | | 26,628 | |
| | 6,016 | | | Liberty Media Corp-Liberty Formula One, Class C Shares* | | | 234,504 | |
| | 1,492 | | | Lions Gate Entertainment Corp., Class A Shares* | | | 14,532 | |
| | 3,040 | | | Lions Gate Entertainment Corp., Class B Shares* | | | 27,542 | |
| | 4,353 | | | Live Nation Entertainment Inc.* | | | 247,250 | |
| | 579 | | | Madison Square Garden Entertainment Corp.* | | | 43,523 | |
| | 579 | | | Madison Square Garden Sports Corp., Class A Shares* | | | 94,956 | |
| | 12,531 | | | Netflix Inc.* | | | 6,635,916 | |
| | 16,838 | | | Roku Inc., Class A Shares* | | | 2,921,056 | |
| | 3,857 | | | Spotify Technology SA* | | | 1,088,291 | |
| | 3,256 | | | Take-Two Interactive Software Inc.* | | | 557,395 | |
| | 138,280 | | | Walt Disney Co. (The) | | | 18,234,984 | |
| | 1,268 | | | World Wrestling Entertainment Inc., Class A Shares | | | 55,881 | |
| | 26,225 | | | Zynga Inc., Class A Shares* | | | 237,599 | |
| | | | | | | | |
| | | | Total Entertainment | | | 37,933,256 | |
| | | | | | | | |
|
| | Interactive Media & Services — 4.8% | |
| | 17,767 | | | Alphabet Inc., Class A Shares* | | | 28,951,860 | |
| | 8,734 | | | Alphabet Inc., Class C Shares* | | | 14,272,928 | |
| | 142,741 | | | Facebook Inc., Class A Shares* | | | 41,851,661 | |
| | 2,274 | | | IAC/InterActiveCorp* | | | 302,419 | |
| | 6,378 | | | Match Group Inc.* | | | 712,295 | |
| | 12,054 | | | Pinterest Inc., Class A Shares* | | | 443,467 | |
| | 3,169 | | | TripAdvisor Inc. | | | 74,060 | |
| | 22,468 | | | Twitter Inc.* | | | 911,751 | |
| | 1,606 | | | Zillow Group Inc., Class A Shares* | | | 136,960 | |
| | 4,203 | | | Zillow Group Inc., Class C Shares* | | | 360,449 | |
| | | | | | | | |
| | | | Total Interactive Media & Services | | | 88,017,850 | |
| | | | | | | | |
|
| | Media — 1.3% | |
| | 9,231 | | | Altice USA Inc., Class A Shares* | | | 254,591 | |
| | 152 | | | Cable One Inc. | | | 279,730 | |
| | 4,390 | | | Charter Communications Inc., Class A Shares* | | | 2,702,528 | |
| | 382,552 | | | Comcast Corp., Class A Shares | | | 17,142,155 | |
| | 4,910 | | | Discovery Inc., Class A Shares*(a) | | | 108,339 | |
| | 8,617 | | | Discovery Inc., Class C Shares* | | | 172,082 | |
| | 7,359 | | | DISH Network Corp., Class A Shares* | | | 261,392 | |
| | 9,323 | | | Fox Corp., Class A Shares | | | 259,739 | |
| | 4,646 | | | Fox Corp., Class B Shares | | | 129,159 | |
| | 11,794 | | | Interpublic Group of Cos., Inc. (The) | | | 209,461 | |
| | 1,295 | | | John Wiley & Sons Inc., Class A Shares | | | 40,987 | |
| | 423 | | | Liberty Broadband Corp., Class A Shares* | | | 58,454 | |
| | 3,227 | | | Liberty Broadband Corp., Class C Shares* | | | 452,070 | |
| | 2,263 | | | Liberty Media Corp-Liberty SiriusXM, Class A Shares* | | | 82,170 | |
See Notes to Financial Statements.
31
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | COMMUNICATION SERVICES — 9.9% — (continued) | |
|
| | Media — 1.3% — (continued) | |
| | 5,355 | | | Liberty Media Corp-Liberty SiriusXM, Class C Shares* | | $ | 192,753 | |
| | 4,977 | | | New York Times Co. (The), Class A Shares | | | 215,653 | |
| | 11,931 | | | News Corp., Class A Shares | | | 180,397 | |
| | 3,589 | | | News Corp., Class B Shares | | | 54,086 | |
| | 1,235 | | | Nexstar Media Group Inc., Class A Shares | | | 118,572 | |
| | 6,151 | | | Omnicom Group Inc. | | | 332,708 | |
| | 35,513 | | | Sirius XM Holdings Inc.(a) | | | 208,461 | |
| | 181 | | | ViacomCBS Inc., Class A Shares | | | 5,528 | |
| | 16,580 | | | ViacomCBS Inc., Class B Shares | | | 461,753 | |
| | | | | | | | |
| | | | Total Media | | | 23,922,768 | |
| | | | | | | | |
|
| | Wireless Telecommunication Services — 0.1% | |
| | 2,906 | | | Telephone & Data Systems Inc. | | | 67,216 | |
| | 15,982 | | | T-Mobile US Inc.* | | | 1,864,780 | |
| | 446 | | | United States Cellular Corp.* | | | 16,225 | |
| | | | | | | | |
| | | | Total Wireless Telecommunication Services | | | 1,948,221 | |
| | | | | | | | |
| | | | TOTAL COMMUNICATION SERVICES | | | 183,558,237 | |
| | | | | | | | |
|
| | CONSUMER DISCRETIONARY — 12.9% | |
|
| | Auto Components — 0.2% | |
| | 40,821 | | | Adient PLC* | | | 707,836 | |
| | 32,969 | | | Aptiv PLC | | | 2,839,290 | |
| | 5,652 | | | BorgWarner Inc. | | | 229,415 | |
| | 7,095 | | | Gentex Corp. | | | 191,920 | |
| | 1,866 | | | Lear Corp. | | | 212,593 | |
| | | | | | | | |
| | | | Total Auto Components | | | 4,181,054 | |
| | | | | | | | |
|
| | Automobiles — 0.7% | |
| | 117,006 | | | Ford Motor Co. | | | 797,981 | |
| | 36,347 | | | General Motors Co. | | | 1,076,962 | |
| | 4,880 | | | Harley-Davidson Inc. | | | 135,225 | |
| | 21,800 | | | Tesla Inc.* | | | 10,863,376 | |
| | 1,699 | | | Thor Industries Inc. | | | 160,436 | |
| | | | | | | | |
| | | | Total Automobiles | | | 13,033,980 | |
| | | | | | | | |
|
| | Distributors — 0.1% | |
| | 3,964 | | | Genuine Parts Co. | | | 374,360 | |
| | 8,511 | | | LKQ Corp.* | | | 270,139 | |
| | 1,178 | | | Pool Corp. | | | 386,196 | |
| | | | | | | | |
| | | | Total Distributors | | | 1,030,695 | |
| | | | | | | | |
|
| | Diversified Consumer Services — 0.3% | |
| | 1,757 | | | Bright Horizons Family Solutions Inc.* | | | 233,699 | |
| | 3,634 | | | Chegg Inc.* | | | 267,971 | |
| | 2,704 | | | frontdoor Inc.* | | | 117,813 | |
| | 120 | | | Graham Holdings Co., Class B Shares | | | 51,354 | |
| | 1,439 | | | Grand Canyon Education Inc.* | | | 135,324 | |
| | 5,959 | | | H&R Block Inc. | | | 86,405 | |
| | 32,328 | | | New Oriental Education & Technology Group Inc., ADR* | | | 4,740,255 | |
| | 5,423 | | | Service Corp. International | | | 247,560 | |
| | 3,766 | | | ServiceMaster Global Holdings Inc.* | | | 150,263 | |
| | | | | | | | |
| | | | Total Diversified Consumer Services | | | 6,030,644 | |
| | | | | | | | |
|
| | Hotels, Restaurants & Leisure — 1.4% | |
| | 6,801 | | | Aramark | | | 187,436 | |
| | 13,990 | | | Carnival Corp.(a) | | | 230,555 | |
See Notes to Financial Statements.
32
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | CONSUMER DISCRETIONARY — 12.9% — (continued) | |
|
| | Hotels, Restaurants & Leisure — 1.4% — (continued) | |
| | 805 | | | Chipotle Mexican Grill Inc., Class A Shares* | | $ | 1,054,775 | |
| | 983 | | | Choice Hotels International Inc. | | | 97,602 | |
| | 3,682 | | | Darden Restaurants Inc. | | | 319,119 | |
| | 1,173 | | | Domino’s Pizza Inc. | | | 479,710 | |
| | 2,106 | | | Dunkin’ Brands Group Inc. | | | 160,224 | |
| | 5,326 | | | Extended Stay America Inc. | | | 66,522 | |
| | 7,797 | | | Hilton Worldwide Holdings Inc. | | | 704,537 | |
| | 1,062 | | | Hyatt Hotels Corp., Class A Shares | | | 59,992 | |
| | 9,887 | | | Las Vegas Sands Corp. | | | 501,370 | |
| | 7,792 | | | Marriott International Inc., Class A Shares | | | 801,875 | |
| | 58,211 | | | McDonald’s Corp. | | | 12,429,213 | |
| | 13,861 | | | MGM Resorts International | | | 311,872 | |
| | 7,632 | | | Norwegian Cruise Line Holdings Ltd.* | | | 130,584 | |
| | 2,292 | | | Planet Fitness Inc., Class A Shares* | | | 139,331 | |
| | 4,778 | | | Royal Caribbean Cruises Ltd. | | | 328,917 | |
| | 2,187 | | | Six Flags Entertainment Corp. | | | 47,523 | |
| | 72,093 | | | Starbucks Corp. | | | 6,089,696 | |
| | 1,229 | | | Vail Resorts Inc. | | | 267,516 | |
| | 5,249 | | | Wendy’s Co. (The) | | | 109,914 | |
| | 2,593 | | | Wyndham Destinations Inc. | | | 75,171 | |
| | 2,907 | | | Wyndham Hotels & Resorts Inc. | | | 152,211 | |
| | 2,993 | | | Wynn Resorts Ltd. | | | 261,738 | |
| | 10,739 | | | Yum China Holdings Inc. | | | 619,748 | |
| | 9,027 | | | Yum! Brands Inc. | | | 865,238 | |
| | | | | | | | |
| | | | Total Hotels, Restaurants & Leisure | | | 26,492,389 | |
| | | | | | | | |
|
| | Household Durables — 0.5% | |
| | 9,579 | | | DR Horton Inc. | | | 683,653 | |
| | 4,439 | | | Garmin Ltd. | | | 459,925 | |
| | 3,399 | | | Leggett & Platt Inc. | | | 139,359 | |
| | 8,145 | | | Lennar Corp., Class A Shares | | | 609,409 | |
| | 460 | | | Lennar Corp., Class B Shares | | | 27,278 | |
| | 1,802 | | | Mohawk Industries Inc.* | | | 166,378 | |
| | 11,610 | | | Newell Brands Inc. | | | 185,528 | |
| | 98 | | | NVR Inc.* | | | 408,497 | |
| | 7,708 | | | PulteGroup Inc. | | | 343,700 | |
| | 1,307 | | | Tempur Sealy International Inc.* | | | 111,801 | |
| | 2,982 | | | Toll Brothers Inc. | | | 125,900 | |
| | 27,819 | | | Whirlpool Corp. | | | 4,943,993 | |
| | | | | | | | |
| | | | Total Household Durables | | | 8,205,421 | |
| | | | | | | | |
|
| | Internet & Direct Marketing Retail — 5.3% | |
| | 37,945 | | | Alibaba Group Holding Ltd., ADR* | | | 10,891,353 | |
| | 20,748 | | | Amazon.com Inc.* | | | 71,600,518 | |
| | 5,742 | | | Booking Holdings Inc.* | | | 10,969,804 | |
| | 19,553 | | | eBay Inc. | | | 1,071,113 | |
| | 3,334 | | | Etsy Inc.* | | | 399,080 | |
| | 4,086 | | | Expedia Group Inc. | | | 401,041 | |
| | 2,463 | | | Grubhub Inc.* | | | 178,198 | |
| | 190,260 | | | Qurate Retail Inc., Class A Shares* | | | 2,102,373 | |
| | 1,983 | | | Wayfair Inc., Class A Shares*(a) | | | 588,079 | |
| | | | | | | | |
| | | | Total Internet & Direct Marketing Retail | | | 98,201,559 | |
| | | | | | | | |
|
| | Leisure Products — 0.2% | |
| | 50,526 | | | Brunswick Corp. | | | 3,127,054 | |
| | 3,860 | | | Hasbro Inc. | | | 304,708 | |
See Notes to Financial Statements.
33
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | CONSUMER DISCRETIONARY — 12.9% — (continued) | |
|
| | Leisure Products — 0.2% — (continued) | |
| | 10,435 | | | Mattel Inc.* | | $ | 112,124 | |
| | 2,925 | | | Peloton Interactive Inc., Class A Shares* | | | 224,260 | |
| | 1,822 | | | Polaris Inc. | | | 184,095 | |
| | | | | | | | |
| | | | Total Leisure Products | | | 3,952,241 | |
| | | | | | | | |
|
| | Multiline Retail — 0.9% | |
| | 7,401 | | | Dollar General Corp. | | | 1,494,114 | |
| | 129,458 | | | Dollar Tree Inc.* | | | 12,462,921 | |
| | 4,716 | | | Kohl’s Corp. | | | 100,734 | |
| | 3,084 | | | Nordstrom Inc. | | | 49,344 | |
| | 1,517 | | | Ollie’s Bargain Outlet Holdings Inc.* | | | 144,934 | |
| | 14,728 | | | Target Corp. | | | 2,227,021 | |
| | | | | | | | |
| | | | Total Multiline Retail | | | 16,479,068 | |
| | | | | | | | |
|
| | Specialty Retail — 2.5% | |
| | 21,417 | | | Advance Auto Parts Inc. | | | 3,347,691 | |
| | 1,577 | | | AutoNation Inc.* | | | 89,668 | |
| | 700 | | | AutoZone Inc.* | | | 837,417 | |
| | 6,744 | | | Best Buy Co., Inc. | | | 747,977 | |
| | 1,851 | | | Burlington Stores Inc.* | | | 364,517 | |
| | 4,841 | | | CarMax Inc.* | | | 517,648 | |
| | 1,650 | | | Carvana Co., Class A Shares* | | | 356,334 | |
| | 1,860 | | | Dick’s Sporting Goods Inc. | | | 100,663 | |
| | 1,715 | | | Five Below Inc.* | | | 187,707 | |
| | 2,435 | | | Floor & Decor Holdings Inc., Class A Shares* | | | 178,339 | |
| | 3,320 | | | Foot Locker Inc. | | | 100,696 | |
| | 6,291 | | | Gap Inc. (The) | | | 109,400 | |
| | 45,691 | | | Home Depot Inc. (The) | | | 13,023,763 | |
| | 6,494 | | | L Brands Inc. | | | 190,924 | |
| | 109,353 | | | Lowe’s Cos., Inc. | | | 18,009,346 | |
| | 2,134 | | | O’Reilly Automotive Inc.* | | | 993,654 | |
| | 992 | | | Penske Automotive Group Inc. | | | 46,793 | |
| | 10,212 | | | Ross Stores Inc. | | | 930,109 | |
| | 3,474 | | | Tiffany & Co. | | | 425,565 | |
| | 35,302 | | | TJX Cos., Inc. (The) | | | 1,934,197 | |
| | 3,461 | | | Tractor Supply Co. | | | 515,101 | |
| | 15,917 | | | Ulta Beauty Inc.* | | | 3,695,609 | |
| | 2,350 | | | Williams-Sonoma Inc. | | | 206,236 | |
| | | | | | | | |
| | | | Total Specialty Retail | | | 46,909,354 | |
| | | | | | | | |
|
| | Textiles, Apparel & Luxury Goods — 0.8% | |
| | 4,130 | | | Capri Holdings Ltd.* | | | 65,419 | |
| | 1,319 | | | Carter’s Inc. | | | 105,019 | |
| | 843 | | | Columbia Sportswear Co. | | | 72,136 | |
| | 170,627 | | | Hanesbrands Inc. | | | 2,608,887 | |
| | 3,320 | | | lululemon athletica Inc.* | | | 1,247,224 | |
| | 86,995 | | | NIKE Inc., Class B Shares | | | 9,733,871 | |
| | 2,123 | | | PVH Corp. | | | 118,378 | |
| | 1,466 | | | Ralph Lauren Corp., Class A Shares | | | 100,905 | |
| | 4,004 | | | Skechers USA Inc., Class A Shares* | | | 119,519 | |
| | 8,581 | | | Tapestry Inc. | | | 126,398 | |
| | 5,350 | | | Under Armour Inc., Class A Shares* | | | 52,484 | |
| | 5,519 | | | Under Armour Inc., Class C Shares* | | | 48,843 | |
| | 9,731 | | | V.F. Corp. | | | 639,813 | |
| | | | | | | | |
| | | | Total Textiles, Apparel & Luxury Goods | | | 15,038,896 | |
| | | | | | | | |
| | | | TOTAL CONSUMER DISCRETIONARY | | | 239,555,301 | |
| | | | | | | | |
See Notes to Financial Statements.
34
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | CONSUMER STAPLES — 5.3% | |
|
| | Beverages — 1.1% | |
| | 32,410 | | | Anheuser-Busch InBev SA, ADR(a) | | $ | 1,884,642 | |
| | 257 | | | Boston Beer Co., Inc. (The), Class A Shares* | | | 226,669 | |
| | 1,309 | | | Brown-Forman Corp., Class A Shares | | | 87,022 | |
| | 5,525 | | | Brown-Forman Corp., Class B Shares | | | 404,264 | |
| | 114,029 | | | Coca-Cola Co. (The) | | | 5,647,856 | |
| | 4,706 | | | Constellation Brands Inc., Class A Shares | | | 868,163 | |
| | 10,147 | | | Keurig Dr Pepper Inc.(a) | | | 302,685 | |
| | 5,325 | | | Molson Coors Beverage Co., Class B Shares | | | 200,433 | |
| | 47,817 | | | Monster Beverage Corp.* | | | 4,009,934 | |
| | 40,995 | | | PepsiCo Inc. | | | 5,741,760 | |
| | | | | | | | |
| | | | Total Beverages | | | 19,373,428 | |
| | | | | | | | |
|
| | Food & Staples Retailing — 1.1% | |
| | 1,119 | | | Casey’s General Stores Inc. | | | 199,014 | |
| | 33,807 | | | Costco Wholesale Corp. | | | 11,753,342 | |
| | 2,060 | | | Grocery Outlet Holding Corp.* | | | 84,728 | |
| | 22,464 | | | Kroger Co. (The) | | | 801,515 | |
| | 3,487 | | | Sprouts Farmers Market Inc.* | | | 81,421 | |
| | 14,220 | | | Sysco Corp. | | | 855,191 | |
| | 6,648 | | | US Foods Holding Corp.* | | | 161,879 | |
| | 21,346 | | | Walgreens Boots Alliance Inc. | | | 811,575 | |
| | 41,239 | | | Walmart Inc. | | | 5,726,035 | |
| | | | | | | | |
| | | | Total Food & Staples Retailing | | | 20,474,700 | |
| | | | | | | | |
|
| | Food Products — 1.8% | |
| | 181,471 | | | Archer-Daniels-Midland Co. | | | 8,122,642 | |
| | 1,554 | | | Beyond Meat Inc.*(a) | | | 211,111 | |
| | 4,210 | | | Bunge Ltd. | | | 192,060 | |
| | 5,118 | | | Campbell Soup Co. | | | 269,258 | |
| | 215,060 | | | Conagra Brands Inc. | | | 8,249,702 | |
| | 4,855 | | | Flowers Foods Inc. | | | 118,753 | |
| | 18,178 | | | General Mills Inc. | | | 1,162,483 | |
| | 2,574 | | | Hain Celestial Group Inc. (The)* | | | 84,401 | |
| | 4,420 | | | Hershey Co. (The) | | | 656,989 | |
| | 8,502 | | | Hormel Foods Corp. | | | 433,432 | |
| | 2,042 | | | Ingredion Inc. | | | 164,259 | |
| | 3,360 | | | J.M. Smucker Co. (The) | | | 403,805 | |
| | 7,132 | | | Kellogg Co. | | | 505,730 | |
| | 18,820 | | | Kraft Heinz Co. (The) | | | 659,453 | |
| | 4,472 | | | Lamb Weston Holdings Inc. | | | 281,065 | |
| | 3,756 | | | McCormick & Co., Inc. | | | 774,487 | |
| | 165,848 | | | Mondelez International Inc., Class A Shares | | | 9,688,840 | |
| | 1,576 | | | Pilgrim’s Pride Corp.* | | | 25,216 | |
| | 1,623 | | | Post Holdings Inc.* | | | 142,856 | |
| | 8 | | | Seaboard Corp. | | | 21,464 | |
| | 1,644 | | | TreeHouse Foods Inc.* | | | 70,380 | |
| | 8,524 | | | Tyson Foods Inc., Class A Shares | | | 535,307 | |
| | | | | | | | |
| | | | Total Food Products | | | 32,773,693 | |
| | | | | | | | |
|
| | Household Products — 0.8% | |
| | 7,306 | | | Church & Dwight Co., Inc. | | | 700,134 | |
| | 3,651 | | | Clorox Co. (The) | | | 815,999 | |
| | 24,742 | | | Colgate-Palmolive Co. | | | 1,961,051 | |
| | 1,937 | | | Energizer Holdings Inc. | | | 89,664 | |
| | 9,950 | | | Kimberly-Clark Corp. | | | 1,569,712 | |
See Notes to Financial Statements.
35
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | CONSUMER STAPLES — 5.3% — (continued) | |
|
| | Household Products — 0.8% — (continued) | |
| | 72,016 | | | Procter & Gamble Co. (The) | | $ | 9,961,973 | |
| | 1,441 | | | Reynolds Consumer Products Inc. | | | 47,884 | |
| | 1,140 | | | Spectrum Brands Holdings Inc. | | | 67,944 | |
| | | | | | | | |
| | | | Total Household Products | | | 15,214,361 | |
| | | | | | | | |
|
| | Personal Products — 0.2% | |
| | 8,462 | | | Coty Inc., Class A Shares | | | 30,294 | |
| | 16,757 | | | Estee Lauder Cos., Inc. (The), Class A Shares | | | 3,715,362 | |
| | 2,913 | | | Herbalife Nutrition Ltd.* | | | 143,174 | |
| | 1,422 | | | Nu Skin Enterprises Inc., Class A Shares | | | 67,218 | |
| | | | | | | | |
| | | | Total Personal Products | | | 3,956,048 | |
| | | | | | | | |
|
| | Tobacco — 0.3% | |
| | 54,683 | | | Altria Group Inc. | | | 2,391,834 | |
| | 45,855 | | | Philip Morris International Inc. | | | 3,658,771 | |
| | | | | | | | |
| | | | Total Tobacco | | | 6,050,605 | |
| | | | | | | | |
| | | | TOTAL CONSUMER STAPLES | | | 97,842,835 | |
| | | | | | | | |
|
| | ENERGY — 1.7% | |
|
| | Energy Equipment & Services — 0.1% | |
| | 19,907 | | | Baker Hughes Co., Class A Shares | | | 284,272 | |
| | 26,649 | | | Halliburton Co. | | | 431,181 | |
| | 3,038 | | | Helmerich & Payne Inc. | | | 50,066 | |
| | 12,057 | | | National Oilwell Varco Inc. | | | 144,684 | |
| | 38,824 | | | Schlumberger NV | | | 738,044 | |
| | | | | | | | |
| | | | Total Energy Equipment & Services | | | 1,648,247 | |
| | | | | | | | |
|
| | Oil, Gas & Consumable Fuels — 1.6% | |
| | 9,791 | | | Antero Midstream Corp. | | | 66,285 | |
| | 9,979 | | | Apache Corp. | | | 147,689 | |
| | 11,326 | | | Cabot Oil & Gas Corp. | | | 214,854 | |
| | 7,051 | | | Cheniere Energy Inc.* | | | 367,005 | |
| | 55,079 | | | Chevron Corp. | | | 4,622,780 | |
| | 2,850 | | | Cimarex Energy Co. | | | 79,173 | |
| | 5,776 | | | Concho Resources Inc. | | | 300,237 | |
| | 191,149 | | | ConocoPhillips | | | 7,242,636 | |
| | 2,520 | | | Continental Resources Inc. | | | 43,294 | |
| | 11,671 | | | Devon Energy Corp. | | | 126,864 | |
| | 4,880 | | | Diamondback Energy Inc. | | | 190,125 | |
| | 80,130 | | | EOG Resources Inc. | | | 3,633,094 | |
| | 7,745 | | | EQT Corp. | | | 122,913 | |
| | 12,196 | | | Equitrans Midstream Corp. | | | 125,375 | |
| | 124,770 | | | Exxon Mobil Corp. | | | 4,983,314 | |
| | 8,224 | | | Hess Corp. | | | 378,633 | |
| | 4,600 | | | HollyFrontier Corp. | | | 109,802 | |
| | 56,283 | | | Kinder Morgan Inc. | | | 777,831 | |
| | 24,272 | | | Marathon Oil Corp. | | | 128,156 | |
| | 18,991 | | | Marathon Petroleum Corp. | | | 673,421 | |
| | 4,392 | | | Murphy Oil Corp. | | | 60,346 | |
| | 14,440 | | | Noble Energy Inc. | | | 143,678 | |
| | 24,477 | | | Occidental Petroleum Corp. | | | 311,837 | |
| | 13,194 | | | ONEOK Inc. | | | 362,571 | |
| | 8,978 | | | Parsley Energy Inc., Class A Shares | | | 96,514 | |
| | 12,692 | | | Phillips 66 | | | 742,101 | |
| | 4,858 | | | Pioneer Natural Resources Co. | | | 504,892 | |
See Notes to Financial Statements.
36
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | ENERGY — 1.7% — (continued) | |
|
| | Oil, Gas & Consumable Fuels — 1.6% — (continued) | |
| | 167,206 | | | Suncor Energy Inc. | | $ | 2,680,312 | |
| | 6,521 | | | Targa Resources Corp. | | | 110,922 | |
| | 11,734 | | | Valero Energy Corp. | | | 617,091 | |
| | 36,259 | | | Williams Cos., Inc. (The) | | | 752,737 | |
| | 11,947 | | | WPX Energy Inc.* | | | 66,425 | |
| | | | | | | | |
| | | | Total Oil, Gas & Consumable Fuels | | | 30,782,907 | |
| | | | | | | | |
| | | | TOTAL ENERGY | | | 32,431,154 | |
| | | | | | | | |
|
| | FINANCIALS — 8.9% | |
|
| | Banks — 2.1% | |
| | 4,563 | | | Associated Banc-Corp. | | | 61,327 | |
| | 228,450 | | | Bank of America Corp. | | | 5,880,303 | |
| | 1,161 | | | Bank of Hawaii Corp. | | | 63,901 | |
| | 3,881 | | | Bank OZK | | | 89,418 | |
| | 973 | | | BOK Financial Corp. | | | 54,624 | |
| | 61,261 | | | Citigroup Inc. | | | 3,131,662 | |
| | 12,516 | | | Citizens Financial Group Inc. | | | 323,789 | |
| | 3,932 | | | Comerica Inc. | | | 155,432 | |
| | 3,104 | | | Commerce Bancshares Inc. | | | 184,905 | |
| | 1,428 | | | Cullen/Frost Bankers Inc. | | | 99,189 | |
| | 4,438 | | | East West Bancorp Inc. | | | 163,230 | |
| | 20,355 | | | Fifth Third Bancorp | | | 420,534 | |
| | 136 | | | First Citizens BancShares Inc., Class A Shares | | | 53,468 | |
| | 4,287 | | | First Hawaiian Inc. | | | 70,864 | |
| | 9,745 | | | First Horizon National Corp. | | | 93,065 | |
| | 5,086 | | | First Republic Bank | | | 574,260 | |
| | 10,165 | | | FNB Corp. | | | 76,237 | |
| | 27,987 | | | Huntington Bancshares Inc. | | | 263,358 | |
| | 89,527 | | | JPMorgan Chase & Co. | | | 8,969,710 | |
| | 27,051 | | | KeyCorp. | | | 333,268 | |
| | 3,714 | | | M&T Bank Corp. | | | 383,508 | |
| | 3,217 | | | PacWest Bancorp | | | 61,380 | |
| | 13,479 | | | People’s United Financial Inc. | | | 142,608 | |
| | 2,370 | | | Pinnacle Financial Partners Inc. | | | 94,682 | |
| | 12,665 | | | PNC Financial Services Group Inc. (The) | | | 1,408,348 | |
| | 2,466 | | | Popular Inc. | | | 91,341 | |
| | 2,804 | | | Prosperity Bancshares Inc. | | | 152,874 | |
| | 26,693 | | | Regions Financial Corp. | | | 308,571 | |
| | 1,620 | | | Signature Bank | | | 157,189 | |
| | 5,768 | | | Sterling Bancorp | | | 67,313 | |
| | 1,510 | | | SVB Financial Group* | | | 385,624 | |
| | 4,540 | | | Synovus Financial Corp. | | | 99,290 | |
| | 4,731 | | | TCF Financial Corp. | | | 127,169 | |
| | 226,401 | | | Truist Financial Corp. | | | 8,786,623 | |
| | 6,708 | | | Umpqua Holdings Corp. | | | 75,666 | |
| | 39,901 | | | US Bancorp | | | 1,452,396 | |
| | 2,783 | | | Webster Financial Corp. | | | 76,533 | |
| | 110,650 | | | Wells Fargo & Co. | | | 2,672,198 | |
| | 2,755 | | | Western Alliance Bancorp | | | 97,252 | |
| | 1,618 | | | Wintrust Financial Corp. | | | 70,415 | |
| | 4,958 | | | Zions Bancorp NA | | | 159,449 | |
| | | | | | | | |
| | | | Total Banks | | | 37,932,973 | |
| | | | | | | | |
See Notes to Financial Statements.
37
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | FINANCIALS — 8.9% — (continued) | |
|
| | Capital Markets — 3.2% | |
| | 21,894 | | | Affiliated Managers Group Inc. | | $ | 1,503,023 | |
| | 35,899 | | | Ameriprise Financial Inc. | | | 5,628,963 | |
| | 5,103 | | | Apollo Global Management Inc., Class A Shares | | | 239,178 | |
| | 2,911 | | | Ares Management Corp., Class A Shares | | | 117,750 | |
| | 210,936 | | | Bank of New York Mellon Corp. (The) | | | 7,800,413 | |
| | 4,339 | | | BlackRock Inc., Class A Shares | | | 2,578,190 | |
| | 3,396 | | | Carlyle Group Inc. (The) | | | 87,651 | |
| | 3,215 | | | Cboe Global Markets Inc. | | | 295,105 | |
| | 34,300 | | | Charles Schwab Corp. (The) | | | 1,218,679 | |
| | 10,459 | | | CME Group Inc., Class A Shares | | | 1,839,424 | |
| | 6,562 | | | E*Trade Financial Corp. | | | 355,004 | |
| | 3,242 | | | Eaton Vance Corp. | | | 132,987 | |
| | 1,126 | | | Evercore Inc., Class A Shares | | | 69,677 | |
| | 1,070 | | | FactSet Research Systems Inc. | | | 374,928 | |
| | 8,521 | | | Franklin Resources Inc. | | | 179,452 | |
| | 9,739 | | | Goldman Sachs Group Inc. (The) | | | 1,995,229 | |
| | 2,279 | | | Interactive Brokers Group Inc., Class A Shares | | | 120,833 | |
| | 98,245 | | | Intercontinental Exchange Inc. | | | 10,436,566 | |
| | 11,823 | | | Invesco Ltd. | | | 120,595 | |
| | 16,004 | | | KKR & Co., Inc. | | | 573,263 | |
| | 3,102 | | | Lazard Ltd., Class A Shares | | | 98,240 | |
| | 2,144 | | | LPL Financial Holdings Inc. | | | 176,151 | |
| | 1,075 | | | MarketAxess Holdings Inc. | | | 522,386 | |
| | 4,755 | | | Moody’s Corp. | | | 1,401,013 | |
| | 32,944 | | | Morgan Stanley(b) | | | 1,721,653 | |
| | 638 | | | Morningstar Inc. | | | 102,176 | |
| | 15,833 | | | MSCI Inc., Class A Shares | | | 5,909,984 | |
| | 3,294 | | | Nasdaq Inc. | | | 442,779 | |
| | 5,542 | | | Northern Trust Corp. | | | 453,834 | |
| | 3,434 | | | Raymond James Financial Inc. | | | 260,022 | |
| | 29,076 | | | S&P Global Inc. | | | 10,654,028 | |
| | 3,377 | | | SEI Investments Co. | | | 176,820 | |
| | 10,561 | | | State Street Corp. | | | 719,099 | |
| | 6,581 | | | T. Rowe Price Group Inc. | | | 916,141 | |
| | 7,733 | | | TD Ameritrade Holding Corp. | | | 296,793 | |
| | 2,445 | | | Tradeweb Markets Inc., Class A Shares | | | 140,074 | |
| | 1,549 | | | Virtu Financial Inc., Class A Shares | | | 40,011 | |
| | | | | | | | |
| | | | Total Capital Markets | | | 59,698,114 | |
| | | | | | | | |
|
| | Consumer Finance — 0.4% | |
| | 11,641 | | | Ally Financial Inc. | | | 266,346 | |
| | 46,915 | | | American Express Co. | | | 4,766,095 | |
| | 13,600 | | | Capital One Financial Corp. | | | 938,808 | |
| | 307 | | | Credit Acceptance Corp.* | | | 118,748 | |
| | 9,113 | | | Discover Financial Services | | | 483,718 | |
| | 227 | | | LendingTree Inc.* | | | 70,129 | |
| | 1,910 | | | OneMain Holdings Inc., Class A Shares | | | 55,543 | |
| | 2,175 | | | Santander Consumer USA Holdings Inc. | | | 37,432 | |
| | 8,440 | | | SLM Corp. | | | 64,482 | |
| | 17,488 | | | Synchrony Financial | | | 433,877 | |
| | | | | | | | |
| | | | Total Consumer Finance | | | 7,235,178 | |
| | | | | | | | |
|
| | Diversified Financial Services — 0.7% | |
| | 57,586 | | | Berkshire Hathaway Inc., Class B Shares* | | | 12,556,051 | |
| | 11,399 | | | Equitable Holdings Inc. | | | 241,545 | |
See Notes to Financial Statements.
38
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | FINANCIALS — 8.9% — (continued) | |
|
| | Diversified Financial Services — 0.7% — (continued) | |
| | 6,520 | | | Jefferies Financial Group Inc. | | $ | 114,361 | |
| | 3,508 | | | Voya Financial Inc. | | | 182,100 | |
| | | | | | | | |
| | | | Total Diversified Financial Services | | | 13,094,057 | |
| | | | | | | | |
|
| | Insurance — 2.5% | |
| | 20,582 | | | Aflac Inc. | | | 747,538 | |
| | 427 | | | Alleghany Corp. | | | 236,797 | |
| | 81,738 | | | Allstate Corp. (The) | | | 7,601,634 | |
| | 2,251 | | | American Financial Group Inc. | | | 150,479 | |
| | 254,158 | | | American International Group Inc. | | | 7,406,164 | |
| | 225 | | | American National Group Inc. | | | 16,877 | |
| | 6,785 | | | Aon PLC, Class A Shares | | | 1,356,932 | |
| | 11,725 | | | Arch Capital Group Ltd.* | | | 369,807 | |
| | 5,626 | | | Arthur J. Gallagher & Co. | | | 592,418 | |
| | 26,386 | | | Assurant Inc. | | | 3,207,482 | |
| | 2,890 | | | Assured Guaranty Ltd. | | | 61,991 | |
| | 3,439 | | | Athene Holding Ltd., Class A Shares* | | | 125,730 | |
| | 2,513 | | | Axis Capital Holdings Ltd. | | | 120,021 | |
| | 3,177 | | | Brighthouse Financial Inc.* | | | 96,454 | |
| | 7,209 | | | Brown & Brown Inc. | | | 334,498 | |
| | 13,202 | | | Chubb Ltd. | | | 1,650,250 | |
| | 4,380 | | | Cincinnati Financial Corp. | | | 347,816 | |
| | 826 | | | CNA Financial Corp. | | | 26,572 | |
| | 759 | | | Erie Indemnity Co., Class A Shares | | | 162,001 | |
| | 1,229 | | | Everest Re Group Ltd. | | | 270,478 | |
| | 8,081 | | | Fidelity National Financial Inc. | | | 265,299 | |
| | 3,348 | | | First American Financial Corp. | | | 176,004 | |
| | 3,264 | | | Globe Life Inc. | | | 269,215 | |
| | 1,167 | | | Hanover Insurance Group Inc. (The) | | | 119,606 | |
| | 10,580 | | | Hartford Financial Services Group Inc. (The) | | | 427,961 | |
| | 1,971 | | | Kemper Corp. | | | 153,068 | |
| | 93,282 | | | Lincoln National Corp. | | | 3,362,816 | |
| | 7,001 | | | Loews Corp. | | | 251,056 | |
| | 389 | | | Markel Corp.* | | | 422,777 | |
| | 78,481 | | | Marsh & McLennan Cos., Inc. | | | 9,018,252 | |
| | 827 | | | Mercury General Corp. | | | 36,992 | |
| | 22,355 | | | MetLife Inc. | | | 859,773 | |
| | 8,621 | | | Old Republic International Corp. | | | 138,884 | |
| | 1,056 | | | Primerica Inc. | | | 131,842 | |
| | 8,031 | | | Principal Financial Group Inc. | | | 338,185 | |
| | 17,223 | | | Progressive Corp. (The) | | | 1,636,874 | |
| | 11,422 | | | Prudential Financial Inc. | | | 774,069 | |
| | 1,912 | | | Reinsurance Group of America Inc., Class A Shares | | | 175,292 | |
| | 1,333 | | | RenaissanceRe Holdings Ltd. | | | 244,925 | |
| | 7,326 | | | Travelers Cos., Inc. (The) | | | 850,109 | |
| | 5,702 | | | Unum Group | | | 105,373 | |
| | 96 | | | White Mountains Insurance Group Ltd. | | | 85,574 | |
| | 3,858 | | | Willis Towers Watson PLC | | | 792,935 | |
| | 4,097 | | | WR Berkley Corp. | | | 254,219 | |
| | | | | | | | |
| | | | Total Insurance | | | 45,773,039 | |
| | | | | | | | |
|
| | Mortgage Real Estate Investment Trusts (REITs) — 0.0% | |
| | 16,545 | | | AGNC Investment Corp. | | | 233,450 | |
| | 43,727 | | | Annaly Capital Management Inc. | | | 321,393 | |
| | 12,835 | | | New Residential Investment Corp. | | | 99,343 | |
See Notes to Financial Statements.
39
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | FINANCIALS — 8.9% — (continued) | |
|
| | Mortgage Real Estate Investment Trusts (REITs) — 0.0% — (continued) | |
| | 6,748 | | | Starwood Property Trust Inc. | | $ | 105,269 | |
| | | | | | | | |
| | | | Total Mortgage Real Estate Investment Trusts (REITs) | | | 759,455 | |
| | | | | | | | |
|
| | Thrifts & Mortgage Finance — 0.0% | |
| | 10,742 | | | MGIC Investment Corp. | | | 98,504 | |
| | 13,861 | | | New York Community Bancorp Inc. | | | 125,442 | |
| | 1,501 | | | TFS Financial Corp. | | | 23,191 | |
| | | | | | | | |
| | | | Total Thrifts & Mortgage Finance | | | 247,137 | |
| | | | | | | | |
| | | | TOTAL FINANCIALS | | | 164,739,953 | |
| | | | | | | | |
|
| | HEALTH CARE — 14.6% | |
|
| | Biotechnology — 2.2% | |
| | 51,896 | | | AbbVie Inc. | | | 4,970,080 | |
| | 3,276 | | | ACADIA Pharmaceuticals Inc.* | | | 129,697 | |
| | 1,377 | | | Acceleron Pharma Inc.* | | | 134,216 | |
| | 1,730 | | | Agios Pharmaceuticals Inc.* | | | 70,947 | |
| | 63,681 | | | Alexion Pharmaceuticals Inc.* | | | 7,273,644 | |
| | 4,562 | | | Alkermes PLC* | | | 75,455 | |
| | 3,439 | | | Alnylam Pharmaceuticals Inc.* | | | 456,149 | |
| | 38,138 | | | Amgen Inc. | | | 9,661,118 | |
| | 4,785 | | | Biogen Inc.* | | | 1,376,357 | |
| | 26,690 | | | BioMarin Pharmaceutical Inc.* | | | 2,082,621 | |
| | 2,000 | | | Bluebird Bio Inc.* | | | 118,600 | |
| | 40,961 | | | Exact Sciences Corp.* | | | 3,083,954 | |
| | 9,184 | | | Exelixis Inc.* | | | 204,069 | |
| | 36,974 | | | Gilead Sciences Inc. | | | 2,468,015 | |
| | 1,745 | | | Global Blood Therapeutics Inc.* | | | 109,551 | |
| | 6,191 | | | Immunomedics Inc.*(a) | | | 275,871 | |
| | 5,148 | | | Incyte Corp.* | | | 496,010 | |
| | 3,915 | | | Ionis Pharmaceuticals Inc.* | | | 213,368 | |
| | 4,050 | | | Iovance Biotherapeutics Inc.* | | | 134,987 | |
| | 8,089 | | | Moderna Inc.*(a) | | | 524,895 | |
| | 2,764 | | | Neurocrine Biosciences Inc.* | | | 321,785 | |
| | 2,875 | | | Regeneron Pharmaceuticals Inc.* | | | 1,782,299 | |
| | 1,478 | | | Sage Therapeutics Inc.* | | | 77,506 | |
| | 17,727 | | | Sarepta Therapeutics Inc.* | | | 2,595,587 | |
| | 3,669 | | | Seattle Genetics Inc.* | | | 580,949 | |
| | 1,315 | | | United Therapeutics Corp.* | | | 140,652 | |
| | 7,558 | | | Vertex Pharmaceuticals Inc.* | | | 2,109,589 | |
| | | | | | | | |
| | | | Total Biotechnology | | | 41,467,971 | |
| | | | | | | | |
|
| | Health Care Equipment & Supplies — 4.3% | |
| | 101,058 | | | Abbott Laboratories | | | 11,062,819 | |
| | 12,138 | | | ABIOMED Inc.* | | | 3,733,892 | |
| | 41,300 | | | Alcon Inc.* | | | 2,368,142 | |
| | 15,339 | | | Align Technology Inc.* | | | 4,555,376 | |
| | 103,926 | | | Baxter International Inc. | | | 9,048,837 | |
| | 7,950 | | | Becton Dickinson and Co. | | | 1,930,021 | |
| | 40,848 | | | Boston Scientific Corp.* | | | 1,675,585 | |
| | 1,489 | | | Cooper Cos., Inc. (The) | | | 468,112 | |
| | 18,443 | | | Danaher Corp. | | | 3,807,926 | |
| | 6,426 | | | DENTSPLY SIRONA Inc. | | | 288,335 | |
| | 2,687 | | | DexCom Inc.* | | | 1,143,077 | |
| | 53,042 | | | Edwards Lifesciences Corp.* | | | 4,553,125 | |
| | 5,052 | | | Envista Holdings Corp.* | | | 121,197 | |
See Notes to Financial Statements.
40
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | HEALTH CARE — 14.6% — (continued) | |
|
| | Health Care Equipment & Supplies — 4.3% — (continued) | |
| | 2,160 | | | Globus Medical Inc., Class A Shares* | | $ | 122,083 | |
| | 1,451 | | | Haemonetics Corp.* | | | 130,097 | |
| | 2,044 | | | Hill-Rom Holdings Inc. | | | 191,707 | |
| | 7,658 | | | Hologic Inc.* | | | 457,336 | |
| | 583 | | | ICU Medical Inc.* | | | 116,740 | |
| | 12,965 | | | IDEXX Laboratories Inc.* | | | 5,070,093 | |
| | 1,901 | | | Insulet Corp.* | | | 414,893 | |
| | 2,077 | | | Integra LifeSciences Holdings Corp.* | | | 99,260 | |
| | 3,409 | | | Intuitive Surgical Inc.* | | | 2,491,434 | |
| | 1,441 | | | Masimo Corp.* | | | 322,784 | |
| | 167,551 | | | Medtronic PLC | | | 18,006,706 | |
| | 2,969 | | | Novocure Ltd.* | | | 245,685 | |
| | 965 | | | Penumbra Inc.* | | | 201,830 | |
| | 1,118 | | | Quidel Corp.* | | | 196,723 | |
| | 4,312 | | | ResMed Inc. | | | 779,523 | |
| | 2,564 | | | STERIS PLC | | | 409,317 | |
| | 10,177 | | | Stryker Corp. | | | 2,016,674 | |
| | 1,749 | | | Tandem Diabetes Care Inc.* | | | 197,147 | |
| | 1,337 | | | Teleflex Inc. | | | 525,374 | |
| | 2,782 | | | Varian Medical Systems Inc.* | | | 483,150 | |
| | 2,107 | | | West Pharmaceutical Services Inc. | | | 598,304 | |
| | 6,044 | | | Zimmer Biomet Holdings Inc. | | | 851,479 | |
| | | | | | | | |
| | | | Total Health Care Equipment & Supplies | | | 78,684,783 | |
| | | | | | | | |
|
| | Health Care Providers & Services — 3.2% | |
| | 2,475 | | | Acadia Healthcare Co., Inc.* | | | 76,502 | |
| | 943 | | | Amedisys Inc.* | | | 228,112 | |
| | 4,361 | | | AmerisourceBergen Corp., Class A Shares | | | 423,148 | |
| | 7,427 | | | Anthem Inc. | | | 2,090,849 | |
| | 136,523 | | | Cardinal Health Inc. | | | 6,929,907 | |
| | 16,876 | | | Centene Corp.* | | | 1,034,836 | |
| | 421 | | | Chemed Corp. | | | 217,703 | |
| | 45,618 | | | Cigna Corp. | | | 8,091,265 | |
| | 140,538 | | | CVS Health Corp. | | | 8,730,221 | |
| | 2,433 | | | DaVita Inc.* | | | 211,087 | |
| | 2,995 | | | Encompass Health Corp. | | | 195,394 | |
| | 2,225 | | | Guardant Health Inc.* | | | 212,488 | |
| | 45,595 | | | HCA Healthcare Inc. | | | 6,188,153 | |
| | 4,184 | | | Henry Schein Inc.* | | | 277,985 | |
| | 3,879 | | | Humana Inc. | | | 1,610,444 | |
| | 2,818 | | | Laboratory Corp. of America Holdings* | | | 495,263 | |
| | 4,811 | | | McKesson Corp. | | | 738,200 | |
| | 1,747 | | | Molina Healthcare Inc.* | | | 323,143 | |
| | 1,773 | | | Premier Inc., Class A Shares | | | 58,066 | |
| | 4,047 | | | Quest Diagnostics Inc. | | | 450,188 | |
| | 64,542 | | | UnitedHealth Group Inc. | | | 20,172,602 | |
| | 2,188 | | | Universal Health Services Inc., Class B Shares | | | 241,446 | |
| | | | | | | | |
| | | | Total Health Care Providers & Services | | | 58,997,002 | |
| | | | | | | | |
|
| | Health Care Technology — 0.1% | |
| | 8,683 | | | Cerner Corp. | | | 637,072 | |
| | 6,869 | | | Change Healthcare Inc.* | | | 97,196 | |
| | 1,612 | | | Livongo Health Inc.* | | | 221,328 | |
| | 2,224 | | | Teladoc Health Inc.*(a) | | | 479,694 | |
| | 3,893 | | | Veeva Systems Inc., Class A Shares* | | | 1,098,877 | |
| | | | | | | | |
| | | | Total Health Care Technology | | | 2,534,167 | |
| | | | | | | | |
See Notes to Financial Statements.
41
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | HEALTH CARE — 14.6% — (continued) | |
|
| | Life Sciences Tools & Services — 1.2% | |
| | 1,621 | | | 10X Genomics Inc., Class A Shares* | | $ | 185,799 | |
| | 2,032 | | | Adaptive Biotechnologies Corp.* | | | 84,552 | |
| | 9,227 | | | Agilent Technologies Inc. | | | 926,575 | |
| | 12,303 | | | Avantor Inc.* | | | 277,679 | |
| | 596 | | | Bio-Rad Laboratories Inc., Class A Shares* | | | 303,120 | |
| | 1,147 | | | Bio-Techne Corp. | | | 293,013 | |
| | 3,058 | | | Bruker Corp. | | | 128,497 | |
| | 1,473 | | | Charles River Laboratories International Inc.* | | | 322,513 | |
| | 14,822 | | | Illumina Inc.* | | | 5,294,715 | |
| | 5,548 | | | IQVIA Holdings Inc.* | | | 908,485 | |
| | 701 | | | Mettler-Toledo International Inc.* | | | 680,517 | |
| | 3,374 | | | PerkinElmer Inc. | | | 397,187 | |
| | 1,133 | | | PPD Inc.* | | | 38,907 | |
| | 1,935 | | | PRA Health Sciences Inc.* | | | 206,871 | |
| | 6,768 | | | QIAGEN NV* | | | 344,897 | |
| | 1,561 | | | Repligen Corp.* | | | 241,814 | |
| | 1,863 | | | Syneos Health Inc., Class A Shares* | | | 117,555 | |
| | 25,764 | | | Thermo Fisher Scientific Inc. | | | 11,052,241 | |
| | 1,812 | | | Waters Corp.* | | | 391,863 | |
| | | | | | | | |
| | | | Total Life Sciences Tools & Services | | | 22,196,800 | |
| | | | | | | | |
|
| | Pharmaceuticals — 3.6% | |
| | 137,645 | | | Bristol-Myers Squibb Co. | | | 8,561,519 | |
| | 4,370 | | | Catalent Inc.* | | | 404,225 | |
| | 12,129 | | | Elanco Animal Health Inc.* | | | 352,469 | |
| | 24,824 | | | Eli Lilly & Co. | | | 3,683,633 | |
| | 5,687 | | | Horizon Therapeutics PLC* | | | 427,208 | |
| | 1,693 | | | Jazz Pharmaceuticals PLC* | | | 227,522 | |
| | 123,620 | | | Johnson & Johnson | | | 18,964,544 | |
| | 155,940 | | | Merck & Co., Inc. | | | 13,297,004 | |
| | 15,740 | | | Mylan NV* | | | 257,821 | |
| | 5,112 | | | Nektar Therapeutics, Class A Shares* | | | 98,866 | |
| | 4,175 | | | Perrigo Co. PLC | | | 218,353 | |
| | 339,765 | | | Pfizer Inc. | | | 12,839,719 | |
| | 712 | | | Reata Pharmaceuticals Inc., Class A Shares* | | | 74,724 | |
| | 49,051 | | | Zoetis Inc., Class A Shares | | | 7,853,065 | |
| | | | | | | | |
| | | | Total Pharmaceuticals | | | 67,260,672 | |
| | | | | | | | |
| | | | TOTAL HEALTH CARE | | | 271,141,395 | |
| | | | | | | | |
|
| | INDUSTRIALS — 8.7% | |
|
| | Aerospace & Defense — 1.7% | |
| | 1,855 | | | Axon Enterprise Inc.* | | | 158,936 | |
| | 15,732 | | | Boeing Co. (The) | | | 2,703,072 | |
| | 2,918 | | | BWX Technologies Inc.(a) | | | 162,270 | |
| | 1,277 | | | Curtiss-Wright Corp. | | | 130,663 | |
| | 7,431 | | | General Dynamics Corp. | | | 1,109,820 | |
| | 1,323 | | | HEICO Corp. | | | 145,424 | |
| | 2,333 | | | HEICO Corp., Class A Shares | | | 208,524 | |
| | 2,523 | | | Hexcel Corp. | | | 99,381 | |
| | 11,772 | | | Howmet Aerospace Inc. | | | 206,245 | |
| | 1,224 | | | Huntington Ingalls Industries Inc. | | | 185,460 | |
| | 6,317 | | | L3Harris Technologies Inc. | | | 1,141,735 | |
| | 7,304 | | | Lockheed Martin Corp. | | | 2,850,459 | |
| | 1,616 | | | Mercury Systems Inc.* | | | 122,396 | |
| | 26,219 | | | Northrop Grumman Corp. | | | 8,982,892 | |
See Notes to Financial Statements.
42
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | INDUSTRIALS — 8.7% — (continued) | |
|
| | Aerospace & Defense — 1.7% — (continued) | |
| | 192,893 | | | Raytheon Technologies Corp. | | $ | 11,766,473 | |
| | 2,933 | | | Spirit AeroSystems Holdings Inc., Class A Shares | | | 60,302 | |
| | 1,095 | | | Teledyne Technologies Inc.* | | | 343,403 | |
| | 6,304 | | | Textron Inc. | | | 248,567 | |
| | 1,509 | | | TransDigm Group Inc. | | | 754,002 | |
| | 1,744 | | | Virgin Galactic Holdings Inc.* | | | 31,218 | |
| | | | | | | | |
| | | | Total Aerospace & Defense | | | 31,411,242 | |
| | | | | | | | |
|
| | Air Freight & Logistics — 1.0% | |
| | 26,813 | | | CH Robinson Worldwide Inc. | | | 2,635,718 | |
| | 4,958 | | | Expeditors International of Washington Inc. | | | 438,238 | |
| | 7,116 | | | FedEx Corp. | | | 1,564,381 | |
| | 57,013 | | | United Parcel Service Inc., Class B Shares | | | 9,328,467 | |
| | 49,873 | | | XPO Logistics Inc.* | | | 4,402,290 | |
| | | | | | | | |
| | | | Total Air Freight & Logistics | | | 18,369,094 | |
| | | | | | | | |
|
| | Airlines — 0.1% | |
| | 3,749 | | | Alaska Air Group Inc. | | | 146,024 | |
| | 13,181 | | | American Airlines Group Inc.(a) | | | 172,012 | |
| | 893 | | | Copa Holdings SA, Class A Shares | | | 47,552 | |
| | 18,992 | | | Delta Air Lines Inc. | | | 585,903 | |
| | 9,094 | | | JetBlue Airways Corp.* | | | 104,763 | |
| | 17,573 | | | Southwest Airlines Co. | | | 660,393 | |
| | 8,585 | | | United Airlines Holdings Inc.* | | | 309,060 | |
| | | | | | | | |
| | | | Total Airlines | | | 2,025,707 | |
| | | | | | | | |
|
| | Building Products — 0.7% | |
| | 2,840 | | | Allegion PLC | | | 293,628 | |
| | 3,615 | | | AO Smith Corp. | | | 177,027 | |
| | 78,587 | | | Armstrong World Industries Inc. | | | 5,795,005 | |
| | 25,917 | | | Carrier Global Corp. | | | 773,622 | |
| | 3,870 | | | Fortune Brands Home & Security Inc. | | | 325,390 | |
| | 22,311 | | | Johnson Controls International PLC | | | 908,727 | |
| | 1,073 | | | Lennox International Inc. | | | 300,794 | |
| | 7,788 | | | Masco Corp. | | | 454,040 | |
| | 2,932 | | | Owens Corning | | | 198,320 | |
| | 32,277 | | | Trane Technologies PLC | | | 3,821,274 | |
| | 1,726 | | | Trex Co., Inc.* | | | 258,020 | |
| | | | | | | | |
| | | | Total Building Products | | | 13,305,847 | |
| | | | | | | | |
|
| | Commercial Services & Supplies — 0.5% | |
| | 3,147 | | | ADT Inc. | | | 33,516 | |
| | 2,568 | | | Cintas Corp. | | | 855,760 | |
| | 1,468 | | | Clean Harbors Inc.* | | | 89,695 | |
| | 5,875 | | | Copart Inc.* | | | 607,005 | |
| | 4,146 | | | IAA Inc.* | | | 216,919 | |
| | 1,052 | | | MSA Safety Inc. | | | 132,499 | |
| | 6,165 | | | Republic Services Inc., Class A Shares | | | 571,619 | |
| | 4,332 | | | Rollins Inc. | | | 238,866 | |
| | 2,752 | | | Stericycle Inc.* | | | 176,431 | |
| | 53,250 | | | Waste Management Inc. | | | 6,070,500 | |
| | | | | | | | |
| | | | Total Commercial Services & Supplies | | | 8,992,810 | |
| | | | | | | | |
|
| | Construction & Engineering — 0.2% | |
| | 4,573 | | | AECOM* | | | 180,679 | |
| | 3,674 | | | Jacobs Engineering Group Inc. | | | 331,652 | |
See Notes to Financial Statements.
43
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | INDUSTRIALS — 8.7% — (continued) | |
|
| | Construction & Engineering — 0.2% — (continued) | |
| | 66,071 | | | Quanta Services Inc. | | $ | 3,386,139 | |
| | 605 | | | Valmont Industries Inc. | | | 76,865 | |
| | | | | | | | |
| | | | Total Construction & Engineering | | | 3,975,335 | |
| | | | | | | | |
|
| | Electrical Equipment — 0.3% | |
| | 1,182 | | | Acuity Brands Inc. | | | 129,181 | |
| | 6,600 | | | AMETEK Inc. | | | 664,620 | |
| | 11,709 | | | Eaton Corp. PLC | | | 1,195,489 | |
| | 17,412 | | | Emerson Electric Co. | | | 1,209,612 | |
| | 1,799 | | | Generac Holdings Inc.* | | | 341,774 | |
| | 1,240 | | | GrafTech International Ltd. | | | 8,258 | |
| | 1,659 | | | Hubbell Inc., Class B Shares | | | 240,422 | |
| | 4,394 | | | nVent Electric PLC | | | 84,013 | |
| | 1,246 | | | Regal Beloit Corp. | | | 123,179 | |
| | 3,377 | | | Rockwell Automation Inc. | | | 778,500 | |
| | 4,779 | | | Sensata Technologies Holding PLC* | | | 198,998 | |
| | 5,803 | | | Vertiv Holdings Co., Class A Shares* | | | 94,183 | |
| | | | | | | | |
| | | | Total Electrical Equipment | | | 5,068,229 | |
| | | | | | | | |
|
| | Industrial Conglomerates — 0.5% | |
| | 16,592 | | | 3M Co. | | | 2,704,828 | |
| | 1,457 | | | Carlisle Cos., Inc. | | | 190,794 | |
| | 255,829 | | | General Electric Co. | | | 1,621,956 | |
| | 20,748 | | | Honeywell International Inc. | | | 3,434,831 | |
| | 3,058 | | | Roper Technologies Inc. | | | 1,306,347 | |
| | | | | | | | |
| | | | Total Industrial Conglomerates | | | 9,258,756 | |
| | | | | | | | |
|
| | Machinery — 1.3% | |
| | 1,811 | | | AGCO Corp. | | | 128,762 | |
| | 3,329 | | | Allison Transmission Holdings Inc. | | | 119,411 | |
| | 71,059 | | | Caterpillar Inc. | | | 10,112,406 | |
| | 2,825 | | | Colfax Corp.* | | | 94,016 | |
| | 1,428 | | | Crane Co. | | | 80,739 | |
| | 4,323 | | | Cummins Inc. | | | 895,942 | |
| | 8,286 | | | Deere & Co. | | | 1,740,557 | |
| | 3,891 | | | Donaldson Co., Inc. | | | 195,951 | |
| | 4,179 | | | Dover Corp. | | | 459,021 | |
| | 3,993 | | | Flowserve Corp. | | | 118,512 | |
| | 8,659 | | | Fortive Corp. | | | 624,401 | |
| | 1,535 | | | Gates Industrial Corp. PLC* | | | 17,330 | |
| | 5,046 | | | Graco Inc. | | | 292,769 | |
| | 2,153 | | | IDEX Corp. | | | 388,035 | |
| | 9,287 | | | Illinois Tool Works Inc. | | | 1,834,647 | |
| | 10,532 | | | Ingersoll Rand Inc.* | | | 369,252 | |
| | 2,266 | | | ITT Inc. | | | 142,328 | |
| | 1,794 | | | Lincoln Electric Holdings Inc. | | | 173,498 | |
| | 1,412 | | | Middleby Corp. (The)* | | | 138,235 | |
| | 1,618 | | | Nordson Corp. | | | 301,741 | |
| | 2,108 | | | Oshkosh Corp. | | | 162,337 | |
| | 12,236 | | | Otis Worldwide Corp. | | | 769,644 | |
| | 10,120 | | | PACCAR Inc. | | | 868,701 | |
| | 3,823 | | | Parker-Hannifin Corp. | | | 787,576 | |
| | 5,117 | | | Pentair PLC | | | 230,981 | |
| | 1,481 | | | Snap-on Inc. | | | 219,588 | |
| | 4,637 | | | Stanley Black & Decker Inc. | | | 747,948 | |
See Notes to Financial Statements.
44
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | INDUSTRIALS — 8.7% — (continued) | |
|
| | Machinery — 1.3% — (continued) | |
| | 1,912 | | | Timken Co. (The) | | $ | 103,611 | |
| | 3,234 | | | Toro Co. (The) | | | 243,456 | |
| | 1,813 | | | Trinity Industries Inc. | | | 37,112 | |
| | 5,083 | | | Westinghouse Air Brake Technologies Corp. | | | 338,274 | |
| | 1,641 | | | Woodward Inc. | | | 140,617 | |
| | 5,131 | | | Xylem Inc. | | | 411,404 | |
| | | | | | | | |
| | | | Total Machinery | | | 23,288,802 | |
| | | | | | | | |
|
| | Marine — 0.0% | |
| | 1,722 | | | Kirby Corp.* | | | 73,082 | |
| | | | | | | | |
|
| | Professional Services — 0.5% | |
| | 2,331 | | | CoreLogic Inc. | | | 154,778 | |
| | 2,721 | | | CoStar Group Inc.* | | | 2,309,041 | |
| | 3,682 | | | Equifax Inc. | | | 619,570 | |
| | 1,082 | | | FTI Consulting Inc.* | | | 124,170 | |
| | 54,618 | | | IHS Markit Ltd. | | | 4,365,070 | |
| | 1,796 | | | ManpowerGroup Inc. | | | 131,665 | |
| | 10,874 | | | Nielsen Holdings PLC | | | 166,155 | |
| | 2,978 | | | Robert Half International Inc. | | | 158,430 | |
| | 5,415 | | | TransUnion | | | 469,589 | |
| | 4,593 | | | Verisk Analytics Inc., Class A Shares | | | 857,375 | |
| | | | | | | | |
| | | | Total Professional Services | | | 9,355,843 | |
| | | | | | | | |
|
| | Road & Rail — 1.0% | |
| | 252 | | | AMERCO | | | 89,432 | |
| | 22,446 | | | CSX Corp. | | | 1,716,221 | |
| | 2,456 | | | JB Hunt Transport Services Inc. | | | 345,166 | |
| | 2,801 | | | Kansas City Southern | | | 509,894 | |
| | 3,728 | | | Knight-Swift Transportation Holdings Inc., Class A Shares | | | 169,475 | |
| | 1,187 | | | Landstar System Inc. | | | 157,978 | |
| | 7,144 | | | Lyft Inc., Class A Shares* | | | 211,963 | |
| | 22,814 | | | Norfolk Southern Corp. | | | 4,848,659 | |
| | 2,828 | | | Old Dominion Freight Line Inc. | | | 571,765 | |
| | 1,485 | | | Ryder System Inc. | | | 60,737 | |
| | 1,656 | | | Schneider National Inc., Class B Shares | | | 44,811 | |
| | 171,726 | | | Uber Technologies Inc.* | | | 5,775,145 | |
| | 20,047 | | | Union Pacific Corp. | | | 3,857,845 | |
| | | | | | | | |
| | | | Total Road & Rail | | | 18,359,091 | |
| | | | | | | | |
|
| | Trading Companies & Distributors — 0.9% | |
| | 74,149 | | | AerCap Holdings NV* | | | 2,192,586 | |
| | 60,895 | | | Air Lease Corp., Class A Shares | | | 1,892,617 | |
| | 17,083 | | | Fastenal Co. | | | 834,675 | |
| | 4,901 | | | HD Supply Holdings Inc.* | | | 194,374 | |
| | 1,358 | | | MSC Industrial Direct Co., Inc., Class A Shares | | | 89,492 | |
| | 35,803 | | | United Rentals Inc.* | | | 6,338,921 | |
| | 89,154 | | | Univar Solutions Inc.* | | | 1,621,711 | |
| | 1,003 | | | Watsco Inc. | | | 245,725 | |
| | 10,952 | | | WW Grainger Inc. | | | 4,002,189 | |
| | | | | | | | |
| | | | Total Trading Companies & Distributors | | | 17,412,290 | |
| | | | | | | | |
|
| | Transportation Infrastructure — 0.0% | |
| | 2,091 | | | Macquarie Infrastructure Corp. | | | 58,590 | |
| | | | | | | | |
| | | | TOTAL INDUSTRIALS | | | 160,954,718 | |
| | | | | | | | |
See Notes to Financial Statements.
45
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | INFORMATION TECHNOLOGY — 27.5% | |
|
| | Communications Equipment — 1.0% | |
| | 1,735 | | | Arista Networks Inc.* | | $ | 387,686 | |
| | 4,628 | | | Ciena Corp.* | | | 262,732 | |
| | 288,894 | | | Cisco Systems Inc. | | | 12,197,105 | |
| | 78,582 | | | CommScope Holding Co., Inc.* | | | 809,395 | |
| | 1,404 | | | EchoStar Corp., Class A Shares* | | | 41,249 | |
| | 1,862 | | | F5 Networks Inc.* | | | 246,398 | |
| | 8,703 | | | Juniper Networks Inc. | | | 217,575 | |
| | 2,228 | | | Lumentum Holdings Inc.* | | | 191,608 | |
| | 27,992 | | | Motorola Solutions Inc. | | | 4,331,762 | |
| | 247 | | | Ubiquiti Inc. | | | 44,892 | |
| | 1,717 | | | ViaSat Inc.* | | | 68,268 | |
| | | | | | | | |
| | | | Total Communications Equipment | | | 18,798,670 | |
| | | | | | | | |
|
| | Electronic Equipment, Instruments & Components — 1.0% | |
| | 8,360 | | | Amphenol Corp., Class A Shares | | | 917,928 | |
| | 37,306 | | | Arrow Electronics Inc.* | | | 2,930,760 | |
| | 2,963 | | | Avnet Inc. | | | 81,512 | |
| | 17,112 | | | CDW Corp. | | | 1,944,779 | |
| | 5,015 | | | Cognex Corp. | | | 346,988 | |
| | 696 | | | Coherent Inc.* | | | 78,411 | |
| | 22,399 | | | Corning Inc. | | | 727,072 | |
| | 1,899 | | | Dolby Laboratories Inc., Class A Shares | | | 132,645 | |
| | 208,261 | | | Flex Ltd.* | | | 2,261,715 | |
| | 3,387 | | | FLIR Systems Inc. | | | 124,980 | |
| | 1,092 | | | IPG Photonics Corp.* | | | 176,609 | |
| | 4,502 | | | Jabil Inc. | | | 153,743 | |
| | 5,573 | | | Keysight Technologies Inc.* | | | 549,052 | |
| | 721 | | | Littelfuse Inc. | | | 130,386 | |
| | 3,961 | | | National Instruments Corp. | | | 142,160 | |
| | 23,849 | | | SYNNEX Corp. | | | 3,032,400 | |
| | 7,083 | | | Trimble Inc.* | | | 371,220 | |
| | 12,219 | | | Zebra Technologies Corp., Class A Shares* | | | 3,501,110 | |
| | | | | | | | |
| | | | Total Electronic Equipment, Instruments & Components | | | 17,603,470 | |
| | | | | | | | |
|
| | IT Services — 6.0% | |
| | 18,808 | | | Accenture PLC, Class A Shares | | | 4,512,604 | |
| | 42,349 | | | Akamai Technologies Inc.* | | | 4,930,694 | |
| | 27,908 | | | Alliance Data Systems Corp. | | | 1,258,930 | |
| | 4,055 | | | Amdocs Ltd. | | | 248,288 | |
| | 12,637 | | | Automatic Data Processing Inc. | | | 1,757,680 | |
| | 4,044 | | | Black Knight Inc.* | | | 340,100 | |
| | 4,171 | | | Booz Allen Hamilton Holding Corp., Class A Shares | | | 367,298 | |
| | 3,280 | | | Broadridge Financial Solutions Inc. | | | 450,672 | |
| | 761 | | | CACI International Inc., Class A Shares* | | | 178,219 | |
| | 131,568 | | | Cognizant Technology Solutions Corp., Class A Shares | | | 8,796,637 | |
| | 7,796 | | | DXC Technology Co. | | | 155,764 | |
| | 1,586 | | | EPAM Systems Inc.* | | | 518,781 | |
| | 1,548 | | | Euronet Worldwide Inc.* | | | 160,032 | |
| | 2,194 | | | Fastly Inc., Class A Shares*(a) | | | 203,691 | |
| | 41,926 | | | Fidelity National Information Services Inc. | | | 6,324,537 | |
| | 126,691 | | | Fiserv Inc.* | | | 12,615,890 | |
| | 2,473 | | | FleetCor Technologies Inc.* | | | 621,836 | |
| | 2,431 | | | Gartner Inc.* | | | 315,592 | |
| | 5,094 | | | Genpact Ltd. | | | 214,865 | |
| | 8,709 | | | Global Payments Inc. | | | 1,538,184 | |
See Notes to Financial Statements.
46
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | INFORMATION TECHNOLOGY — 27.5% — (continued) | |
|
| | IT Services — 6.0% — (continued) | |
| | 4,973 | | | GoDaddy Inc., Class A Shares* | | $ | 416,141 | |
| | 26,171 | | | International Business Machines Corp. | | | 3,227,146 | |
| | 2,255 | | | Jack Henry & Associates Inc. | | | 373,022 | |
| | 3,794 | | | Leidos Holdings Inc. | | | 343,319 | |
| | 26,029 | | | MasterCard Inc., Class A Shares | | | 9,323,328 | |
| | 1,279 | | | MongoDB Inc., Class A Shares* | | | 299,030 | |
| | 3,316 | | | Okta Inc., Class A Shares* | | | 714,167 | |
| | 9,594 | | | Paychex Inc. | | | 733,653 | |
| | 68,174 | | | PayPal Holdings Inc.* | | | 13,917,040 | |
| | 7,975 | | | Sabre Corp. | | | 55,745 | |
| | 1,676 | | | Science Applications International Corp. | | | 139,879 | |
| | 29,371 | | | Square Inc., Class A Shares* | | | 4,686,437 | |
| | 4,658 | | | StoneCo Ltd., Class A Shares*(a) | | | 237,558 | |
| | 2,936 | | | Switch Inc., Class A Shares | | | 50,499 | |
| | 3,870 | | | Twilio Inc., Class A Shares* | | | 1,043,971 | |
| | 3,058 | | | VeriSign Inc.* | | | 656,858 | |
| | 137,664 | | | Visa Inc., Class A Shares | | | 29,183,391 | |
| | 12,017 | | | Western Union Co. (The) | | | 283,481 | |
| | 1,316 | | | WEX Inc.* | | | 210,178 | |
| | | | | | | | |
| | | | Total IT Services | | | 111,405,137 | |
| | | | | | | | |
|
| | Semiconductors & Semiconductor Equipment — 5.7% | |
| | 34,368 | | | Advanced Micro Devices Inc.* | | | 3,121,302 | |
| | 86,251 | | | Analog Devices Inc. | | | 10,081,017 | |
| | 80,943 | | | Applied Materials Inc. | | | 4,986,089 | |
| | 48,511 | | | Broadcom Inc. | | | 16,840,594 | |
| | 1,700 | | | Cirrus Logic Inc.* | | | 103,003 | |
| | 3,292 | | | Cree Inc.* | | | 207,725 | |
| | 3,181 | | | Enphase Energy Inc.* | | | 245,669 | |
| | 3,724 | | | Entegris Inc. | | | 249,098 | |
| | 2,389 | | | First Solar Inc.* | | | 182,973 | |
| | 1,425 | | | Inphi Corp.* | | | 162,421 | |
| | 246,389 | | | Intel Corp. | | | 12,553,520 | |
| | 4,671 | | | KLA Corp. | | | 958,209 | |
| | 4,321 | | | Lam Research Corp. | | | 1,453,325 | |
| | 19,001 | | | Marvell Technology Group Ltd. | | | 736,859 | |
| | 7,829 | | | Maxim Integrated Products Inc. | | | 535,817 | |
| | 6,811 | | | Microchip Technology Inc. | | | 747,167 | |
| | 32,694 | | | Micron Technology Inc.* | | | 1,487,904 | |
| | 1,669 | | | MKS Instruments Inc. | | | 199,496 | |
| | 1,278 | | | Monolithic Power Systems Inc. | | | 341,392 | |
| | 42,034 | | | NVIDIA Corp. | | | 22,487,349 | |
| | 12,790 | | | NXP Semiconductors NV | | | 1,608,470 | |
| | 12,474 | | | ON Semiconductor Corp.* | | | 266,569 | |
| | 3,310 | | | Qorvo Inc.* | | | 424,574 | |
| | 75,964 | | | QUALCOMM Inc. | | | 9,047,312 | |
| | 54,963 | | | Skyworks Solutions Inc. | | | 7,961,391 | |
| | 1,470 | | | SolarEdge Technologies Inc.* | | | 325,090 | |
| | 4,901 | | | Teradyne Inc. | | | 416,438 | |
| | 45,802 | | | Texas Instruments Inc. | | | 6,510,754 | |
| | 1,304 | | | Universal Display Corp. | | | 228,852 | |
| | 7,319 | | | Xilinx Inc. | | | 762,347 | |
| | | �� | | | | | |
| | | | Total Semiconductors & Semiconductor Equipment | | | 105,232,726 | |
| | | | | | | | |
See Notes to Financial Statements.
47
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | INFORMATION TECHNOLOGY — 27.5% — (continued) | |
|
| | Software — 9.1% | |
| | 1,658 | | | 2U Inc.* | | $ | 68,625 | |
| | 41,780 | | | Adobe Inc.* | | | 21,449,434 | |
| | 1,588 | | | Alteryx Inc., Class A Shares* | | | 191,878 | |
| | 3,893 | | | Anaplan Inc.* | | | 238,446 | |
| | 2,558 | | | ANSYS Inc.* | | | 867,188 | |
| | 1,866 | | | Aspen Technology Inc.* | | | 237,038 | |
| | 3,594 | | | Atlassian Corp. PLC, Class A Shares* | | | 689,185 | |
| | 6,419 | | | Autodesk Inc.* | | | 1,577,148 | |
| | 2,309 | | | Avalara Inc.* | | | 305,735 | |
| | 477 | | | Bill.com Holdings Inc.* | | | 47,213 | |
| | 8,006 | | | Cadence Design Systems Inc.* | | | 887,946 | |
| | 3,741 | | | CDK Global Inc. | | | 174,405 | |
| | 3,179 | | | Ceridian HCM Holding Inc.* | | | 252,794 | |
| | 3,704 | | | Citrix Systems Inc. | | | 537,821 | |
| | 3,267 | | | Cloudflare Inc., Class A Shares* | | | 124,995 | |
| | 1,906 | | | Coupa Software Inc.* | | | 624,672 | |
| | 3,474 | | | Crowdstrike Holdings Inc., Class A Shares* | | | 436,786 | |
| | 4,585 | | | Datadog Inc., Class A Shares* | | | 383,077 | |
| | 5,140 | | | DocuSign Inc., Class A Shares* | | | 1,146,220 | |
| | 7,295 | | | Dropbox Inc., Class A Shares*(a) | | | 154,435 | |
| | 4,548 | | | Dynatrace Inc.* | | | 201,158 | |
| | 1,647 | | | Elastic NV* | | | 178,831 | |
| | 1,028 | | | Everbridge Inc.* | | | 152,771 | |
| | 827 | | | Fair Isaac Corp.* | | | 347,993 | |
| | 5,842 | | | FireEye Inc.* | | | 85,761 | |
| | 1,851 | | | Five9 Inc.* | | | 235,891 | |
| | 4,006 | | | Fortinet Inc.* | | | 528,812 | |
| | 1,078 | | | Globant SA* | | | 191,431 | |
| | 2,531 | | | Guidewire Software Inc.* | | | 284,257 | |
| | 1,238 | | | HubSpot Inc.* | | | 371,004 | |
| | 19,139 | | | Intuit Inc. | | | 6,610,419 | |
| | 1,464 | | | LogMeIn Inc(c) | | | 125,963 | |
| | 1,939 | | | Manhattan Associates Inc.* | | | 188,568 | |
| | 2,685 | | | Medallia Inc.* | | | 97,170 | |
| | 273,633 | | | Microsoft Corp. | | | 61,712,451 | |
| | 1,533 | | | New Relic Inc.* | | | 94,172 | |
| | 17,143 | | | NortonLifeLock Inc. | | | 403,203 | |
| | 8,743 | | | Nuance Communications Inc.* | | | 261,940 | |
| | 58,115 | | | Nutanix Inc., Class A Shares* | | | 1,668,482 | |
| | 177,427 | | | Oracle Corp. | | | 10,152,373 | |
| | 2,025 | | | PagerDuty Inc.* | | | 66,157 | |
| | 15,111 | | | Palo Alto Networks Inc.* | | | 3,889,723 | |
| | 1,414 | | | Paycom Software Inc.* | | | 423,436 | |
| | 1,055 | | | Paylocity Holding Corp.* | | | 155,349 | |
| | 1,169 | | | Pegasystems Inc.(a) | | | 150,181 | |
| | 2,766 | | | Pluralsight Inc., Class A Shares* | | | 52,941 | |
| | 1,703 | | | Proofpoint Inc.*(a) | | | 186,768 | |
| | 3,180 | | | PTC Inc.* | | | 290,684 | |
| | 2,685 | | | RealPage Inc.* | | | 168,135 | |
| | 2,277 | | | RingCentral Inc., Class A Shares* | | | 662,083 | |
| | 78,034 | | | salesforce.com Inc.* | | | 21,275,970 | |
| | 17,166 | | | ServiceNow Inc.* | | | 8,274,355 | |
| | 11,268 | | | Slack Technologies Inc., Class A Shares* | | | 370,041 | |
| | 3,305 | | | Smartsheet Inc., Class A Shares* | | | 180,222 | |
| | 1,293 | | | SolarWinds Corp.* | | | 27,192 | |
See Notes to Financial Statements.
48
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | INFORMATION TECHNOLOGY — 27.5% — (continued) | |
|
| | Software — 9.1% — (continued) | |
| | 45,332 | | | Splunk Inc.* | | $ | 9,942,668 | |
| | 6,772 | | | SS&C Technologies Holdings Inc. | | | 431,512 | |
| | 4,471 | | | Synopsys Inc.* | | | 989,432 | |
| | 3,236 | | | Teradata Corp.* | | | 78,797 | |
| | 1,199 | | | Trade Desk Inc. (The), Class A Shares*(a) | | | 577,079 | |
| | 1,173 | | | Tyler Technologies Inc.* | | | 405,049 | |
| | 21,981 | | | VMware Inc., Class A Shares*(a) | | | 3,174,936 | |
| | 4,934 | | | Workday Inc., Class A Shares* | | | 1,182,729 | |
| | 3,381 | | | Zendesk Inc.* | | | 325,861 | |
| | 4,914 | | | Zoom Video Communications Inc., Class A Shares* | | | 1,597,541 | |
| | 2,110 | | | Zscaler Inc.* | | | 302,447 | |
| | | | | | | | |
| | | | Total Software | | | 169,468,979 | |
| | | | | | | | |
|
| | Technology Hardware, Storage & Peripherals — 4.7% | |
| | 580,312 | | | Apple Inc. | | | 74,883,461 | |
| | 97,068 | | | Dell Technologies Inc., Class C Shares* | | | 6,414,253 | |
| | 38,217 | | | Hewlett Packard Enterprise Co. | | | 369,558 | |
| | 41,521 | | | HP Inc. | | | 811,736 | |
| | 3,670 | | | NCR Corp.* | | | 75,015 | |
| | 6,552 | | | NetApp Inc. | | | 310,499 | |
| | 6,763 | | | Pure Storage Inc., Class A Shares* | | | 103,203 | |
| | 87,793 | | | Western Digital Corp. | | | 3,373,007 | |
| | 5,287 | | | Xerox Holdings Corp. | | | 99,713 | |
| | | | | | | | |
| | | | Total Technology Hardware, Storage & Peripherals | | | 86,440,445 | |
| | | | | | | | |
| | | | TOTAL INFORMATION TECHNOLOGY | | | 508,949,427 | |
| | | | | | | | |
|
| | MATERIALS — 3.2% | |
|
| | Chemicals — 1.9% | |
| | 6,510 | | | Air Products & Chemicals Inc. | | | 1,902,613 | |
| | 3,218 | | | Albemarle Corp. | | | 292,870 | |
| | 1,389 | | | Ashland Global Holdings Inc. | | | 102,355 | |
| | 6,270 | | | Axalta Coating Systems Ltd.* | | | 149,539 | |
| | 1,624 | | | Cabot Corp. | | | 60,104 | |
| | 54,440 | | | Celanese Corp., Class A Shares | | | 5,506,606 | |
| | 5,871 | | | CF Industries Holdings Inc. | | | 191,571 | |
| | 4,838 | | | Chemours Co. (The) | | | 99,953 | |
| | 22,336 | | | Corteva Inc. | | | 637,693 | |
| | 21,677 | | | Dow Inc. | | | 978,066 | |
| | 151,966 | | | DuPont de Nemours Inc. | | | 8,473,624 | |
| | 3,805 | | | Eastman Chemical Co. | | | 278,183 | |
| | 22,250 | | | Ecolab Inc. | | | 4,385,030 | |
| | 6,634 | | | Element Solutions Inc.* | | | 71,315 | |
| | 3,957 | | | FMC Corp. | | | 422,845 | |
| | 5,644 | | | Huntsman Corp. | | | 122,023 | |
| | 3,059 | | | International Flavors & Fragrances Inc.(a) | | | 378,674 | |
| | 15,497 | | | Linde PLC | | | 3,870,221 | |
| | 7,680 | | | LyondellBasell Industries NV, Class A Shares | | | 502,886 | |
| | 10,590 | | | Mosaic Co. (The) | | | 193,056 | |
| | 206 | | | NewMarket Corp. | | | 76,733 | |
| | 4,688 | | | Olin Corp. | | | 52,740 | |
| | 7,037 | | | PPG Industries Inc. | | | 847,255 | |
| | 3,906 | | | RPM International Inc. | | | 331,112 | |
| | 1,186 | | | Scotts Miracle-Gro Co. (The) | | | 199,877 | |
| | 6,319 | | | Sherwin-Williams Co. (The) | | | 4,240,365 | |
| | 5,740 | | | Valvoline Inc. | | | 117,096 | |
See Notes to Financial Statements.
49
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | MATERIALS — 3.2% — (continued) | |
|
| | Chemicals — 1.9% — (continued) | |
| | 1,035 | | | Westlake Chemical Corp. | | $ | 61,396 | |
| | 33,846 | | | WR Grace & Co. | | | 1,377,871 | |
| | | | | | | | |
| | | | Total Chemicals | | | 35,923,672 | |
| | | | | | | | |
|
| | Construction Materials — 0.4% | |
| | 1,210 | | | Eagle Materials Inc. | | | 98,942 | |
| | 1,784 | | | Martin Marietta Materials Inc. | | | 361,920 | |
| | 59,856 | | | Vulcan Materials Co. | | | 7,182,720 | |
| | | | | | | | |
| | | | Total Construction Materials | | | 7,643,582 | |
| | | | | | | | |
|
| | Containers & Packaging — 0.7% | |
| | 47,679 | | | Amcor PLC | | | 527,330 | |
| | 1,958 | | | AptarGroup Inc. | | | 231,808 | |
| | 532 | | | Ardagh Group SA, Class A Shares | | | 8,097 | |
| | 2,549 | | | Avery Dennison Corp. | | | 294,129 | |
| | 9,512 | | | Ball Corp. | | | 764,479 | |
| | 71,213 | | | Berry Global Group Inc.* | | | 3,670,318 | |
| | 56,835 | | | Crown Holdings Inc.* | | | 4,367,770 | |
| | 8,841 | | | Graphic Packaging Holding Co. | | | 123,597 | |
| | 11,261 | | | International Paper Co. | | | 408,437 | |
| | 75,344 | | | O-I Glass Inc. | | | 819,743 | |
| | 2,863 | | | Packaging Corp. of America | | | 289,850 | |
| | 4,734 | | | Sealed Air Corp. | | | 186,046 | |
| | 2,255 | | | Silgan Holdings Inc. | | | 85,825 | |
| | 2,530 | | | Sonoco Products Co. | | | 134,166 | |
| | 7,785 | | | WestRock Co. | | | 236,119 | |
| | | | | | | | |
| | | | Total Containers & Packaging | | | 12,147,714 | |
| | | | | | | | |
|
| | Metals & Mining — 0.2% | |
| | 42,331 | | | Freeport-McMoRan Inc. | | | 660,787 | |
| | 23,676 | | | Newmont Corp. | | | 1,592,921 | |
| | 8,671 | | | Nucor Corp. | | | 394,184 | |
| | 1,729 | | | Reliance Steel & Aluminum Co. | | | 181,320 | |
| | 1,997 | | | Royal Gold Inc. | | | 272,231 | |
| | 2,392 | | | Southern Copper Corp. | | | 115,055 | |
| | 6,297 | | | Steel Dynamics Inc. | | | 185,888 | |
| | | | | | | | |
| | | | Total Metals & Mining | | | 3,402,386 | |
| | | | | | | | |
| | | | TOTAL MATERIALS | | | 59,117,354 | |
| | | | | | | | |
|
| | REAL ESTATE — 2.9% | |
|
| | Equity Real Estate Investment Trusts (REITs) — 2.9% | |
| | 3,696 | | | Alexandria Real Estate Equities Inc. | | | 622,332 | |
| | 4,180 | | | American Campus Communities Inc. | | | 141,702 | |
| | 7,861 | | | American Homes 4 Rent, Class A Shares | | | 225,139 | |
| | 13,003 | | | American Tower Corp. | | | 3,239,697 | |
| | 5,857 | | | Americold Realty Trust | | | 224,616 | |
| | 4,517 | | | Apartment Investment & Management Co., Class A Shares | | | 162,747 | |
| | 6,154 | | | Apple Hospitality REIT Inc. | | | 62,586 | |
| | 4,061 | | | AvalonBay Communities Inc. | | | 641,882 | |
| | 4,411 | | | Boston Properties Inc. | | | 383,184 | |
| | 4,963 | | | Brandywine Realty Trust | | | 55,238 | |
| | 9,261 | | | Brixmor Property Group Inc. | | | 109,280 | |
| | 1,594 | | | Brookfield Property REIT Inc., Class A Shares(a) | | | 18,379 | |
| | 2,449 | | | Camden Property Trust | | | 222,712 | |
| | 1,145 | | | CoreSite Realty Corp. | | | 140,205 | |
See Notes to Financial Statements.
50
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | REAL ESTATE — 2.9% — (continued) | |
|
| | Equity Real Estate Investment Trusts (REITs) — 2.9% — (continued) | |
| | 3,225 | | | Corporate Office Properties Trust | | $ | 79,464 | |
| | 4,399 | | | Cousins Properties Inc. | | | 131,310 | |
| | 47,374 | | | Crown Castle International Corp. | | | 7,733,805 | |
| | 5,873 | | | CubeSmart | | | 185,704 | |
| | 3,422 | | | CyrusOne Inc. | | | 285,840 | |
| | 7,889 | | | Digital Realty Trust Inc. | | | 1,227,923 | |
| | 5,071 | | | Douglas Emmett Inc. | | | 141,582 | |
| | 11,244 | | | Duke Realty Corp. | | | 433,456 | |
| | 4,296 | | | Empire State Realty Trust Inc., Class A Shares | | | 27,065 | |
| | 2,164 | | | EPR Properties | | | 69,919 | |
| | 7,828 | | | Equinix Inc. | | | 6,182,398 | |
| | 2,820 | | | Equity Commonwealth | | | 88,520 | |
| | 4,848 | | | Equity LifeStyle Properties Inc. | | | 321,374 | |
| | 122,273 | | | Equity Residential | | | 6,902,311 | |
| | 1,856 | | | Essex Property Trust Inc. | | | 401,843 | |
| | 3,843 | | | Extra Space Storage Inc. | | | 409,472 | |
| | 2,283 | | | Federal Realty Investment Trust | | | 180,905 | |
| | 3,495 | | | First Industrial Realty Trust Inc. | | | 149,062 | |
| | 5,890 | | | Gaming and Leisure Properties Inc. | | | 214,101 | |
| | 6,293 | | | Healthcare Trust of America Inc., Class A Shares | | | 166,072 | |
| | 16,073 | | | Healthpeak Properties Inc. | | | 444,258 | |
| | 3,096 | | | Highwoods Properties Inc. | | | 115,357 | |
| | 21,750 | | | Host Hotels & Resorts Inc. | | | 244,252 | |
| | 4,572 | | | Hudson Pacific Properties Inc. | | | 107,351 | |
| | 16,354 | | | Invitation Homes Inc. | | | 468,215 | |
| | 8,716 | | | Iron Mountain Inc. | | | 262,264 | |
| | 3,736 | | | JBG SMITH Properties | | | 103,375 | |
| | 3,457 | | | Kilroy Realty Corp. | | | 202,304 | |
| | 12,422 | | | Kimco Realty Corp. | | | 148,940 | |
| | 2,630 | | | Lamar Advertising Co., Class A Shares | | | 182,075 | |
| | 1,441 | | | Life Storage Inc. | | | 151,925 | |
| | 15,697 | | | Medical Properties Trust Inc. | | | 291,650 | |
| | 3,145 | | | Mid-America Apartment Communities Inc. | | | 368,342 | |
| | 5,229 | | | National Retail Properties Inc. | | | 185,316 | |
| | 6,756 | | | Omega Healthcare Investors Inc. | | | 209,233 | |
| | 4,270 | | | Outfront Media Inc. | | | 72,291 | |
| | 5,736 | | | Paramount Group Inc. | | | 42,446 | |
| | 6,794 | | | Park Hotels & Resorts Inc. | | | 64,475 | |
| | 21,667 | | | Prologis Inc. | | | 2,207,001 | |
| | 42,447 | | | Public Storage | | | 9,015,743 | |
| | 3,943 | | | Rayonier Inc. | | | 115,451 | |
| | 10,276 | | | Realty Income Corp. | | | 637,420 | |
| | 5,087 | | | Regency Centers Corp. | | | 202,005 | |
| | 3,136 | | | Rexford Industrial Realty Inc. | | | 150,465 | |
| | 3,325 | | | SBA Communications Corp., Class A Shares | | | 1,017,683 | |
| | 9,155 | | | Simon Property Group Inc. | | | 621,167 | |
| | 2,441 | | | SL Green Realty Corp. | | | 114,141 | |
| | 3,020 | | | Spirit Realty Capital Inc. | | | 107,240 | |
| | 6,651 | | | STORE Capital Corp. | | | 179,843 | |
| | 2,699 | | | Sun Communities Inc. | | | 402,367 | |
| | 1,712 | | | Taubman Centers Inc. | | | 65,570 | |
| | 7,801 | | | UDR Inc. | | | 271,553 | |
| | 11,397 | | | Ventas Inc. | | | 469,670 | |
| | 32,682 | | | VEREIT Inc. | | | 219,623 | |
| | 14,123 | | | VICI Properties Inc. | | | 315,508 | |
See Notes to Financial Statements.
51
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | REAL ESTATE — 2.9% — (continued) | |
|
| | Equity Real Estate Investment Trusts (REITs) — 2.9% — (continued) | |
| | 5,287 | | | Vornado Realty Trust | | $ | 189,433 | |
| | 3,829 | | | Weingarten Realty Investors | | | 66,893 | |
| | 12,405 | | | Welltower Inc. | | | 713,536 | |
| | 21,746 | | | Weyerhaeuser Co. | | | 659,121 | |
| | 4,774 | | | WP Carey Inc. | | | 331,172 | |
| | | | | | | | |
| | | | Total Equity Real Estate Investment Trusts (REITs) | | | 53,318,499 | |
| | | | | | | | |
|
| | Real Estate Management & Development — 0.0% | |
| | 9,617 | | | CBRE Group Inc., Class A Shares* | | | 452,288 | |
| | 1,168 | | | Howard Hughes Corp. (The)* | | | 69,040 | |
| | 1,570 | | | Jones Lang LaSalle Inc. | | | 161,773 | |
| | | | | | | | |
| | | | Total Real Estate Management & Development | | | 683,101 | |
| | | | | | | | |
| | | | TOTAL REAL ESTATE | | | 54,001,600 | |
| | | | | | | | |
|
| | UTILITIES — 1.9% | |
|
| | Electric Utilities — 1.4% | |
| | 7,353 | | | Alliant Energy Corp. | | | 398,165 | |
| | 14,716 | | | American Electric Power Co., Inc. | | | 1,160,062 | |
| | 1,630 | | | Avangrid Inc. | | | 78,305 | |
| | 21,559 | | | Duke Energy Corp. | | | 1,732,050 | |
| | 127,525 | | | Edison International | | | 6,692,512 | |
| | 5,790 | | | Entergy Corp. | | | 574,021 | |
| | 6,965 | | | Evergy Inc. | | | 370,677 | |
| | 10,060 | | | Eversource Energy | | | 862,243 | |
| | 28,559 | | | Exelon Corp. | | | 1,054,113 | |
| | 16,409 | | | FirstEnergy Corp. | | | 469,133 | |
| | 2,614 | | | Hawaiian Electric Industries Inc. | | | 90,471 | |
| | 1,537 | | | IDACORP Inc. | | | 138,176 | |
| | 14,449 | | | NextEra Energy Inc. | | | 4,033,727 | |
| | 108,653 | | | NRG Energy Inc. | | | 3,738,750 | |
| | 6,111 | | | OGE Energy Corp. | | | 194,696 | |
| | 28,968 | | | PG&E Corp.* | | | 268,244 | |
| | 3,430 | | | Pinnacle West Capital Corp. | | | 251,591 | |
| | 22,418 | | | PPL Corp. | | | 619,409 | |
| | 31,170 | | | Southern Co. (The) | | | 1,626,451 | |
| | 15,491 | | | Xcel Energy Inc. | | | 1,076,237 | |
| | | | | | | | |
| | | | Total Electric Utilities | | | 25,429,033 | |
| | | | | | | | |
|
| | Gas Utilities — 0.0% | |
| | 3,419 | | | Atmos Energy Corp. | | | 341,284 | |
| | 2,437 | | | National Fuel Gas Co. | | | 111,225 | |
| | 6,375 | | | UGI Corp. | | | 220,129 | |
| | | | | | | | |
| | | | Total Gas Utilities | | | 672,638 | |
| | | | | | | | |
|
| | Independent Power & Renewable Electricity Producers — 0.0% | |
| | 18,741 | | | AES Corp. (The) | | | 332,653 | |
| | 14,291 | | | Vistra Corp. | | | 274,816 | |
| | | | | | | | |
| | | | Total Independent Power & Renewable Electricity Producers | | | 607,469 | |
| | | | | | | | |
|
| | Multi-Utilities — 0.4% | |
| | 7,087 | | | Ameren Corp. | | | 560,653 | |
| | 15,370 | | | CenterPoint Energy Inc. | | | 308,476 | |
| | 8,660 | | | CMS Energy Corp. | | | 523,843 | |
| | 9,749 | | | Consolidated Edison Inc. | | | 695,494 | |
| | 24,735 | | | Dominion Energy Inc. | | | 1,940,213 | |
See Notes to Financial Statements.
52
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | UTILITIES — 1.9% — (continued) | |
|
| | Multi-Utilities — 0.4% — (continued) | |
| | 5,672 | | | DTE Energy Co. | | $ | 673,096 | |
| | 6,117 | | | MDU Resources Group Inc. | | | 144,483 | |
| | 11,406 | | | NiSource Inc. | | | 252,757 | |
| | 14,792 | | | Public Service Enterprise Group Inc. | | | 772,734 | |
| | 8,740 | | | Sempra Energy | | | 1,080,701 | |
| | 9,295 | | | WEC Energy Group Inc. | | | 874,474 | |
| | | | | | | | |
| | | | Total Multi-Utilities | | | 7,826,924 | |
| | | | | | | | |
|
| | Water Utilities — 0.1% | |
| | 5,284 | | | American Water Works Co., Inc. | | | 746,840 | |
| | 6,602 | | | Essential Utilities Inc. | | | 280,585 | |
| | | | | | | | |
| | | | Total Water Utilities | | | 1,027,425 | |
| | | | | | | | |
| | | | TOTAL UTILITIES | | | 35,563,489 | |
| | | | | | | | |
| | | | TOTAL COMMON STOCKS
(Cost — $1,031,581,731) | | | 1,807,855,463 | |
| | | | | | | | |
|
| | CLOSED END MUTUAL FUND SECURITY — 1.0% | |
|
| | FINANCIALS — 1.0% | |
|
| | Capital Markets — 1.0% | |
| | 321,576 | | | iShares® Core S&P U.S. Value, Common Class Shares(a)
(Cost — $18,278,348) | | | 18,011,472 | |
| | | | | | | | |
| | | | TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS
(Cost — $1,049,860,079) | | | 1,825,866,935 | |
| | | | | | | | |
| | |
Face
Amount† | | | | | | |
|
| | SHORT-TERM INVESTMENTS (d) — 1.8% | |
|
| | MONEY MARKET FUND — 0.4% | |
| $ | 8,042,887 | | | Invesco STIT — Government & Agency Portfolio, 0.028%, Institutional Class(e)
(Cost — $8,042,887) | | | 8,042,887 | |
| | | | | | | | |
|
| | TIME DEPOSITS — 1.4% | |
| | 5,460,185 | | | Barclays Bank PLC — London, 0.010% due 9/1/20 | | | 5,460,185 | |
| | | | BBH — Grand Cayman: | | | | |
| | 5,384 | | | 0.010% due 9/1/20 | | | 5,384 | |
| | 29,804 | CAD | | 0.030% due 9/1/20 | | | 22,852 | |
| | 9,375,419 | | | Citibank — New York, 0.010% due 9/1/20 | | | 9,375,419 | |
| | 10,180,171 | | | JPMorgan Chase & Co. — New York, 0.010% due 9/1/20 | | | 10,180,171 | |
| | | | | | | | |
| | | | TOTAL TIME DEPOSITS
(Cost — $25,044,011) | | | 25,044,011 | |
| | | | | | | | |
| | | | TOTAL SHORT-TERM INVESTMENTS
(Cost — $33,086,898) | | | 33,086,898 | |
| | | | | | | | |
| | | | TOTAL INVESTMENTS — 100.3%
(Cost — $1,082,946,977) | | | 1,858,953,833 | |
| | | | | | | | |
| | | | Liabilities in Excess of Other Assets — (0.3)% | | | (5,152,966 | ) |
| | | | | | | | |
| | | | TOTAL NET ASSETS — 100.0% | | $ | 1,853,800,867 | |
| | | | | | | | |
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
| * | Non-income producing security. |
| (a) | All or a portion of this security is on loan (See Note 1). |
| (b) | Affiliated security (See Note 2). As of August 31, 2020, total cost and total market value of affiliated securities amounted to $795,894 and $1,721,653, respectively. |
See Notes to Financial Statements.
53
| (c) | Security is valued in good faith at fair value by or under the direction of the Board of Trustees. |
| (d) | Inclusive of all short-term holdings, including investments of collateral received from securities lending transactions. Excluding such collateral, the percentage of portfolio holdings would be 1.4%. |
| (e) | Represents investments of collateral received from securities lending transactions. |
At August 31, 2020, 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 | | $ | 1,102,006,835 | | | $ | 831,398,887 | | | $ | (72,019,710 | ) | | $ | 759,379,177 | |
| | |
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 | | | 27.5 | % |
Health Care | | | 14.6 | |
Consumer Discretionary | | | 12.9 | |
Communication Services | | | 9.9 | |
Financials | | | 9.9 | |
Industrials | | | 8.7 | |
Consumer Staples | | | 5.3 | |
Materials | | | 3.2 | |
Real Estate | | | 2.9 | |
Utilities | | | 1.9 | |
Energy | | | 1.8 | |
Short-Term Investments | | | 1.4 | |
| | | | |
| | | 100.0%+ | |
| | | | |
| ^ | As a percentage of total investments. |
| + | Does not reflect investments of collateral received from securities lending transactions. |
At August 31, 2020, Large Cap Equity Fund had open exchange-traded futures contracts as described below.
The unrealized appreciation on the open contracts reflected in the accompanying financial statements were as follows:
| | | | | | | | | | | | | | | | | | | | |
| Open Futures Contracts | | Number of
Contracts | | | Expiration
Date
(Month/Year) | | | Notional
Amount | | | Market
Value | | | Unrealized
Appreciation | |
| Contracts to Buy: | | | | | | | | | | | | | | | | | | | | |
S&P 500 E-mini Index September Futures | | | 63 | | | | 9/20 | | | $ | 9,860,551 | | | $ | 11,021,850 | | | $ | 1,161,299 | |
S&P MidCap 400 E-mini Index September Futures | | | 5 | | | | 9/20 | | | | 919,089 | | | | 962,900 | | | | 43,811 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | 1,205,110 | |
| | | | | | | | | | | | | | | | | | | | |
At August 31, 2020, Large Cap Equity Fund had deposited cash of $831,984 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 — 95.9% | |
|
| | COMMUNICATION SERVICES — 2.4% | |
|
| | Diversified Telecommunication Services — 0.3% | |
| | 2,933 | | | | | Alaska Communications Systems Group Inc. | | $ | 6,570 | |
| | 731 | | | | | Anterix Inc.* | | | 31,974 | |
| | 595 | | | | | ATN International Inc. | | | 34,510 | |
| | 1,054 | | | | | Bandwidth Inc., Class A Shares* | | | 165,984 | |
| | 1,942 | | | | | Cincinnati Bell Inc.* | | | 29,247 | |
| | 2,334 | | | | | Cogent Communications Holdings Inc. | | | 156,985 | |
| | 4,038 | | | | | Consolidated Communications Holdings Inc.* | | | 31,416 | |
| | 5,458 | | | | | GCI Liberty Inc., Class A Shares* | | | 440,897 | |
| | 693 | | | | | IDT Corp., Class B Shares* | | | 4,518 | |
| | 6,458 | | | | | Iridium Communications Inc.* | | | 180,889 | |
| | 2,331 | | | | | Liberty Latin America Ltd., Class A Shares*(a) | | | 22,844 | |
| | 6,342 | | | | | Liberty Latin America Ltd., Class C Shares* | | | 60,503 | |
| | 1,271 | | | | | Ooma Inc.* | | | 17,336 | |
| | 4,245 | | | | | ORBCOMM Inc.* | | | 17,022 | |
| | 47,494 | | | | | Vonage Holdings Corp.* | | | 543,806 | |
| | | | | | | | | | |
| | | | | | Total Diversified Telecommunication Services | | | 1,744,501 | |
| | | | | | | | | | |
|
| | Entertainment — 0.7% | |
| | 2,972 | | | | | AMC Entertainment Holdings Inc., Class A Shares(a) | | | 17,475 | |
| | 5,880 | | | | | Cinemark Holdings Inc. | | | 86,142 | |
| | 4,759 | | | | | Eros International PLC*(a) | | | 14,801 | |
| | 379 | | | | | Gaia Inc., Class A Shares* | | | 4,434 | |
| | 7,083 | | | | | Glu Mobile Inc.* | | | 56,239 | |
| | 2,644 | | | | | IMAX Corp.* | | | 40,638 | |
| | 594 | | | | | Liberty Media Corp-Liberty Braves, Class A Shares* | | | 11,636 | |
| | 2,091 | | | | | Liberty Media Corp-Liberty Braves, Class C Shares* | | | 40,628 | |
| | 1,368 | | | | | Liberty Media Corp-Liberty Formula One, Class A Shares*(a) | | | 49,494 | |
| | 10,914 | | | | | Liberty Media Corp-Liberty Formula One, Class C Shares* | | | 425,428 | |
| | 3,417 | | | | | Lions Gate Entertainment Corp., Class A Shares* | | | 33,282 | |
| | 6,129 | | | | | Lions Gate Entertainment Corp., Class B Shares* | | | 55,529 | |
| | 1,068 | | | | | LiveXLive Media Inc.*(a) | | | 2,884 | |
| | 1,025 | | | | | Madison Square Garden Entertainment Corp.* | | | 77,049 | |
| | 4,611 | | | | | Madison Square Garden Sports Corp., Class A Shares* | | | 756,204 | |
| | 1,226 | | | | | Marcus Corp. (The) | | | 19,211 | |
| | 14,497 | | | | | World Wrestling Entertainment Inc., Class A Shares | | | 638,883 | |
| | 209,446 | | | | | Zynga Inc., Class A Shares* | | | 1,897,581 | |
| | | | | | | | | | |
| | | | | | Total Entertainment | | | 4,227,538 | |
| | | | | | | | | | |
|
| | Interactive Media & Services — 0.2% | |
| | 4,727 | | | | | Cargurus Inc., Class A Shares* | | | 115,244 | |
| | 3,633 | | | | | Cars.com Inc.* | | | 31,534 | |
| | 2,121 | | | | | DHI Group Inc.* | | | 5,154 | |
| | 3,464 | | | | | Eventbrite Inc., Class A Shares* | | | 37,238 | |
| | 774 | | | | | EverQuote Inc., Class A Shares* | | | 27,477 | |
| | 4,565 | | | | | Liberty TripAdvisor Holdings Inc., Class A Shares* | | | 12,782 | |
| | 2,635 | | | | | Meet Group Inc. (The)* | | | 16,600 | |
| | 2,640 | | | | | QuinStreet Inc.* | | | 34,716 | |
| | 5,588 | | | | | TripAdvisor Inc. | | | 130,592 | |
| | 6,296 | | | | | TrueCar Inc.* | | | 29,780 | |
| | 3,846 | | | | | Yelp Inc., Class A Shares* | | | 88,920 | |
| | 3,166 | | | | | Zillow Group Inc., Class A Shares* | | | 269,996 | |
| | 7,464 | | | | | Zillow Group Inc., Class C Shares* | | | 640,113 | |
| | | | | | | | | | |
| | | | | | Total Interactive Media & Services | | | 1,440,146 | |
| | | | | | | | | | |
See Notes to Financial Statements.
55
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | COMMUNICATION SERVICES — 2.4% — (continued) | |
|
| | Media — 1.1% | |
| | 2,170 | | | | | AMC Networks Inc., Class A Shares* | | $ | 52,709 | |
| | 700 | | | | | Boston Omaha Corp., Class A Shares* | | | 11,417 | |
| | 1,651 | | | | | Cable One Inc. | | | 3,038,385 | |
| | 1,422 | | | | | Cardlytics Inc.* | | | 107,859 | |
| | 4,492 | | | | | Central European Media Enterprises Ltd., Class A Shares* | | | 18,619 | |
| | 3,423 | | | | | comScore Inc.* | | | 9,003 | |
| | 94,900 | | | | | Criteo SA, ADR* | | | 1,235,598 | |
| | 62 | | | | | Daily Journal Corp.* | | | 17,062 | |
| | 930 | | | | | Emerald Holding Inc. | | | 2,567 | |
| | 7,106 | | | | | Entercom Communications Corp., Class A Shares | | | 10,659 | |
| | 2,331 | | | | | Entravision Communications Corp., Class A Shares | | | 3,543 | |
| | 3,017 | | | | | EW Scripps Co. (The), Class A Shares | | | 33,549 | |
| | 2,051 | | | | | Fluent Inc.* | | | 6,358 | |
| | 7,491 | | | | | Gannett Co., Inc. | | | 12,959 | |
| | 4,970 | | | | | Gray Television Inc.* | | | 77,134 | |
| | 634 | | | | | Hemisphere Media Group Inc., Class A Shares* | | | 5,643 | |
| | 1,626 | | | | | iHeartMedia Inc., Class A Shares* | | | 14,992 | |
| | 21,514 | | | | | Interpublic Group of Cos., Inc. (The) | | | 382,089 | |
| | 9,946 | | | | | John Wiley & Sons Inc., Class A Shares | | | 314,791 | |
| | 764 | | | | | Loral Space & Communications Inc. | | | 18,007 | |
| | 2,327 | | | | | Meredith Corp. | | | 32,578 | |
| | 2,237 | | | | | MSG Networks Inc., Class A Shares* | | | 21,788 | |
| | 3,988 | | | | | National CineMedia Inc. | | | 14,397 | |
| | 8,991 | | | | | New York Times Co. (The), Class A Shares | | | 389,580 | |
| | 21,372 | | | | | News Corp., Class A Shares | | | 323,145 | |
| | 6,710 | | | | | News Corp., Class B Shares | | | 101,120 | |
| | 2,423 | | | | | Nexstar Media Group Inc., Class A Shares | | | 232,632 | |
| | 152 | | | | | Saga Communications Inc., Class A Shares | | | 3,420 | |
| | 1,571 | | | | | Scholastic Corp. | | | 35,348 | |
| | 2,910 | | | | | Sinclair Broadcast Group Inc., Class A Shares(a) | | | 60,557 | |
| | 1,347 | | | | | TechTarget Inc.* | | | 53,449 | |
| | 12,035 | | | | | TEGNA Inc. | | | 150,678 | |
| | 1,112 | | | | | Tribune Publishing Co. | | | 12,621 | |
| | 2,901 | | | | | WideOpenWest Inc.* | | | 16,681 | |
| | | | | | | | | | |
| | | | | | Total Media | | | 6,820,937 | |
| | | | | | | | | | |
|
| | Wireless Telecommunication Services — 0.1% | |
| | 2,492 | | | | | Boingo Wireless Inc.* | | | 32,371 | |
| | 3,808 | | | | | Gogo Inc.*(a) | | | 19,573 | |
| | 2,646 | | | | | Shenandoah Telecommunications Co. | | | 146,324 | |
| | 703 | | | | | Spok Holdings Inc. | | | 7,621 | |
| | 5,557 | | | | | Telephone & Data Systems Inc. | | | 128,533 | |
| | 846 | | | | | United States Cellular Corp.* | | | 30,777 | |
| | | | | | | | | | |
| | | | | | Total Wireless Telecommunication Services | | | 365,199 | |
| | | | | | | | | | |
| | | | | | TOTAL COMMUNICATION SERVICES | | | 14,598,321 | |
| | | | | | | | | | |
|
| | CONSUMER DISCRETIONARY — 8.3% | |
|
| | Auto Components — 0.4% | |
| | 4,800 | | | | | Adient PLC* | | | 83,232 | |
| | 6,163 | | | | | American Axle & Manufacturing Holdings Inc.* | | | 47,948 | |
| | 11,403 | | | | | BorgWarner Inc. | | | 462,848 | |
| | 2,758 | | | | | Cooper Tire & Rubber Co. | | | 95,344 | |
| | 1,035 | | | | | Cooper-Standard Holdings Inc.* | | | 18,754 | |
| | 7,924 | | | | | Dana Inc. | | | 110,540 | |
| | 1,450 | | | | | Dorman Products Inc.* | | | 122,801 | |
See Notes to Financial Statements.
56
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | CONSUMER DISCRETIONARY — 8.3% — (continued) | |
|
| | Auto Components — 0.4% — (continued) | |
| | 2,110 | | | | | Fox Factory Holding Corp.* | | $ | 212,709 | |
| | 13,540 | | | | | Gentex Corp. | | | 366,257 | |
| | 1,766 | | | | | Gentherm Inc.* | | | 79,876 | |
| | 12,610 | | | | | Goodyear Tire & Rubber Co. (The) | | | 120,993 | |
| | 1,358 | | | | | LCI Industries | | | 154,310 | |
| | 3,293 | | | | | Lear Corp. | | | 375,171 | |
| | 2,992 | | | | | Modine Manufacturing Co.* | | | 20,256 | |
| | 1,072 | | | | | Motorcar Parts of America Inc.* | | | 18,664 | |
| | 1,189 | | | | | Standard Motor Products Inc. | | | 54,028 | |
| | 1,385 | | | | | Stoneridge Inc.* | | | 27,977 | |
| | 2,063 | | | | | Tenneco Inc., Class A Shares* | | | 16,772 | |
| | 1,515 | | | | | Visteon Corp.* | | | 114,276 | |
| | 3,457 | | | | | Workhorse Group Inc.* | | | 62,606 | |
| | 912 | | | | | XPEL Inc.* | | | 22,709 | |
| | | | | | | | | | |
| | | | | | Total Auto Components | | | 2,588,071 | |
| | | | | | | | | | |
|
| | Automobiles — 0.1% | |
| | 8,410 | | | | | Harley-Davidson Inc. | | | 233,041 | |
| | 3,042 | | | | | Thor Industries Inc. | | | 287,256 | |
| | 1,713 | | | | | Winnebago Industries Inc. | | | 92,468 | |
| | | | | | | | | | |
| | | | | | Total Automobiles | | | 612,765 | |
| | | | | | | | | | |
|
| | Distributors — 0.1% | |
| | 2,484 | | | | | Core-Mark Holding Co., Inc. | | | 83,015 | |
| | 1,513 | | | | | Funko Inc., Class A Shares*(a) | | | 8,836 | |
| | 421 | | | | | Greenlane Holdings Inc., Class A Shares* | | | 1,293 | |
| | 2,134 | | | | | Pool Corp. | | | 699,611 | |
| | 241 | | | | | Weyco Group Inc. | | | 4,338 | |
| | | | | | | | | | |
| | | | | | Total Distributors | | | 797,093 | |
| | | | | | | | | | |
|
| | Diversified Consumer Services — 0.7% | |
| | 2,816 | | | | | Adtalem Global Education Inc.* | | | 93,491 | |
| | 838 | | | | | American Public Education Inc.* | | | 26,347 | |
| | 1,014 | | | | | Aspen Group Inc.* | | | 12,959 | |
| | 11,985 | | | | | Bright Horizons Family Solutions Inc.* | | | 1,594,125 | |
| | 928 | | | | | Carriage Services Inc., Class A Shares | | | 20,546 | |
| | 6,665 | | | | | Chegg Inc.* | | | 491,477 | |
| | 505 | | | | | Collectors Universe Inc. | | | 22,467 | |
| | 1,050 | | | | | Franchise Group Inc. | | | 25,788 | |
| | 4,715 | | | | | frontdoor Inc.* | | | 205,433 | |
| | 228 | | | | | Graham Holdings Co., Class B Shares | | | 97,573 | |
| | 2,566 | | | | | Grand Canyon Education Inc.* | | | 241,307 | |
| | 10,593 | | | | | H&R Block Inc. | | | 153,598 | |
| | 6,551 | | | | | Houghton Mifflin Harcourt Co.* | | | 14,805 | |
| | 2,192 | | | | | K12 Inc.* | | | 81,564 | |
| | 5,835 | | | | | Laureate Education Inc., Class A Shares* | | | 73,054 | |
| | 2,765 | | | | | OneSpaWorld Holdings Ltd. | | | 19,161 | |
| | 3,809 | | | | | Perdoceo Education Corp.* | | | 54,735 | |
| | 1,186 | | | | | Regis Corp.* | | | 8,765 | |
| | 9,566 | | | | | Service Corp. International | | | 436,688 | |
| | 7,340 | | | | | ServiceMaster Global Holdings Inc.* | | | 292,866 | |
| | 1,198 | | | | | Strategic Education Inc. | | | 122,879 | |
| | 1,566 | | | | | Universal Technical Institute Inc.* | | | 11,040 | |
| | 3,833 | | | | | Vivint Smart Home Inc.* | | | 68,036 | |
| | 2,668 | | | | | WW International Inc.* | | | 62,645 | |
| | | | | | | | | | |
| | | | | | Total Diversified Consumer Services | | | 4,231,349 | |
| | | | | | | | | | |
See Notes to Financial Statements.
57
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | CONSUMER DISCRETIONARY — 8.3% — (continued) | |
|
| | Hotels, Restaurants & Leisure — 1.6% | |
| | 2,216 | | | | | Accel Entertainment Inc.* | | $ | 26,282 | |
| | 12,570 | | | | | Aramark | | | 346,429 | |
| | 490 | | | | | BBX Capital Corp., Class A Shares | | | 7,546 | |
| | 43 | | | | | Biglari Holdings Inc., Class B Shares* | | | 4,261 | |
| | 924 | | | | | BJ’s Restaurants Inc. | | | 29,125 | |
| | 4,708 | | | | | Bloomin’ Brands Inc. | | | 67,513 | |
| | 271 | | | | | Bluegreen Vacations Corp. | | | 1,507 | |
| | 4,471 | | | | | Boyd Gaming Corp. | | | 119,733 | |
| | 2,400 | | | | | Brinker International Inc. | | | 108,096 | |
| | 7,453 | | | | | Caesars Entertainment Inc.* | | | 341,347 | |
| | 2,267 | | | | | Carrols Restaurant Group Inc.* | | | 15,098 | |
| | 1,025 | | | | | Century Casinos Inc.* | | | 6,304 | |
| | 2,391 | | | | | Cheesecake Factory Inc. (The) | | | 70,606 | |
| | 1,909 | | | | | Choice Hotels International Inc. | | | 189,545 | |
| | 9,642 | | | | | Churchill Downs Inc. | | | 1,685,036 | |
| | 827 | | | | | Chuy’s Holdings Inc.* | | | 18,392 | |
| | 1,322 | | | | | Cracker Barrel Old Country Store Inc. | | | 176,765 | |
| | 2,551 | | | | | Dave & Buster’s Entertainment Inc. | | | 42,423 | |
| | 1,875 | | | | | Del Taco Restaurants Inc.* | | | 15,769 | |
| | 3,003 | | | | | Denny’s Corp.* | | | 34,414 | |
| | 855 | | | | | Dine Brands Global Inc. | | | 50,924 | |
| | 4,487 | | | | | Dunkin’ Brands Group Inc. | | | 341,371 | |
| | 1,056 | | | | | El Pollo Loco Holdings Inc.* | | | 18,871 | |
| | 4,367 | | | | | Everi Holdings Inc.* | | | 33,888 | |
| | 9,808 | | | | | Extended Stay America Inc. | | | 122,502 | |
| | 893 | | | | | Fiesta Restaurant Group Inc.* | | | 8,948 | |
| | 412 | | | | | GAN Ltd.*(a) | | | 8,467 | |
| | 1,107 | | | | | Golden Entertainment Inc.* | | | 14,214 | |
| | 4,671 | | | | | Hilton Grand Vacations Inc.* | | | 102,342 | |
| | 1,920 | | | | | Hyatt Hotels Corp., Class A Shares | | | 108,461 | |
| | 43,800 | | | | | International Game Technology PLC | | | 487,494 | |
| | 1,235 | | | | | Jack in the Box Inc. | | | 101,752 | |
| | 296 | | | | | Kura Sushi USA Inc., Class A Shares* | | | 3,617 | |
| | 1,459 | | | | | Lindblad Expeditions Holdings Inc.* | | | 14,451 | |
| | 2,215 | | | | | Marriott Vacations Worldwide Corp. | | | 209,694 | |
| | 697 | | | | | Monarch Casino & Resort Inc.* | | | 32,069 | |
| | 185 | | | | | Nathan’s Famous Inc. | | | 9,703 | |
| | 2,016 | | | | | Noodles & Co., Class A Shares* | | | 15,342 | |
| | 14,104 | | | | | Norwegian Cruise Line Holdings Ltd.* | | | 241,319 | |
| | 1,770 | | | | | Papa John’s International Inc. | | | 173,973 | |
| | 7,334 | | | | | Penn National Gaming Inc.* | | | 374,767 | |
| | 4,420 | | | | | Planet Fitness Inc., Class A Shares* | | | 268,692 | |
| | 1,121 | | | | | PlayAGS Inc.* | | | 4,484 | |
| | 336 | | | | | RCI Hospitality Holdings Inc. | | | 6,424 | |
| | 529 | | | | | Red Robin Gourmet Burgers Inc.* | | | 5,872 | |
| | 3,589 | | | | | Red Rock Resorts Inc., Class A Shares | | | 61,282 | |
| | 1,747 | | | | | Ruth’s Hospitality Group Inc. | | | 17,950 | |
| | 3,076 | | | | | Scientific Games Corp., Class A Shares* | | | 63,627 | |
| | 18,538 | | | | | SeaWorld Entertainment Inc.* | | | 378,175 | |
| | 1,915 | | | | | Shake Shack Inc., Class A Shares* | | | 130,699 | |
| | 4,264 | | | | | Six Flags Entertainment Corp. | | | 92,657 | |
| | 1,394 | | | | | Target Hospitality Corp.* | | | 2,021 | |
| | 26,987 | | | | | Texas Roadhouse Inc., Class A Shares | | | 1,699,911 | |
| | 1,001 | | | | | Twin River Worldwide Holdings Inc. | | | 23,954 | |
| | 2,197 | | | | | Vail Resorts Inc. | | | 478,221 | |
See Notes to Financial Statements.
58
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | CONSUMER DISCRETIONARY — 8.3% — (continued) | |
|
| | Hotels, Restaurants & Leisure — 1.6% — (continued) | |
| | 9,835 | | | | | Wendy’s Co. (The) | | $ | 205,945 | |
| | 1,620 | | | | | Wingstop Inc. | | | 264,708 | |
| | 4,622 | | | | | Wyndham Destinations Inc. | | | 133,992 | |
| | 5,045 | | | | | Wyndham Hotels & Resorts Inc. | | | 264,156 | |
| | | | | | | | | | |
| | | | | | Total Hotels, Restaurants & Leisure | | | 9,883,130 | |
| | | | | | | | | | |
|
| | Household Durables — 1.8% | |
| | 1,540 | | | | | Beazer Homes USA Inc.* | | | 18,850 | |
| | 511 | | | | | Casper Sleep Inc.*(a) | | | 4,640 | |
| | 474 | | | | | Cavco Industries Inc.* | | | 90,491 | |
| | 1,614 | | | | | Century Communities Inc.* | | | 57,588 | |
| | 1,148 | | | | | Ethan Allen Interiors Inc. | | | 16,347 | |
| | 7,058 | | | | | GoPro Inc., Class A Shares* | | | 32,396 | |
| | 1,313 | | | | | Green Brick Partners Inc.* | | | 18,697 | |
| | 230 | | | | | Hamilton Beach Brands Holding Co., Class A Shares | | | 5,025 | |
| | 1,385 | | | | | Helen of Troy Ltd.* | | | 286,446 | |
| | 681 | | | | | Hooker Furniture Corp. | | | 16,787 | |
| | 1,260 | | | | | Installed Building Products Inc.* | | | 109,393 | |
| | 1,514 | | | | | iRobot Corp.*(a) | | | 112,081 | |
| | 37,542 | | | | | KB Home | | | 1,342,502 | |
| | 2,474 | | | | | La-Z-Boy Inc. | | | 80,405 | |
| | 284 | | | | | Legacy Housing Corp.* | | | 4,337 | |
| | 7,275 | | | | | Leggett & Platt Inc. | | | 298,275 | |
| | 1,224 | | | | | LGI Homes Inc.* | | | 136,917 | |
| | 440 | | | | | Lifetime Brands Inc. | | | 4,321 | |
| | 489 | | | | | Lovesac Co. (The)* | | | 12,944 | |
| | 1,472 | | | | | M/I Homes Inc.* | | | 62,648 | |
| | 2,796 | | | | | MDC Holdings Inc. | | | 121,290 | |
| | 2,044 | | | | | Meritage Homes Corp.* | | | 196,285 | |
| | 3,197 | | | | | Mohawk Industries Inc.* | | | 295,179 | |
| | 59,434 | | | | | Newell Brands Inc. | | | 949,755 | |
| | 184 | | | | | NVR Inc.* | | | 766,975 | |
| | 14,754 | | | | | PulteGroup Inc. | | | 657,881 | |
| | 766 | | | | | Purple Innovation Inc., Class A Shares* | | | 14,485 | |
| | 27,939 | | | | | Skyline Champion Corp.* | | | 797,379 | |
| | 4,248 | | | | | Sonos Inc.* | | | 59,769 | |
| | 6,919 | | | | | Taylor Morrison Home Corp., Class A Shares* | | | 162,804 | |
| | 13,316 | | | | | Tempur Sealy International Inc.* | | | 1,139,051 | |
| | 6,330 | | | | | Toll Brothers Inc. | | | 267,253 | |
| | 17,377 | | | | | TopBuild Corp.* | | | 2,672,583 | |
| | 7,030 | | | | | TRI Pointe Group Inc.* | | | 118,666 | |
| | 2,976 | | | | | Tupperware Brands Corp. | | | 48,479 | |
| | 758 | | | | | Turtle Beach Corp.* | | | 14,834 | |
| | 701 | | | | | Universal Electronics Inc.* | | | 28,797 | |
| | 1,020 | | | | | VOXX International Corp., Class A Shares* | | | 6,406 | |
| | | | | | | | | | |
| | | | | | Total Household Durables | | | 11,028,961 | |
| | | | | | | | | | |
|
| | Internet & Direct Marketing Retail — 0.4% | |
| | 1,322 | | | | | 1-800-Flowers.com Inc., Class A Shares* | | | 39,567 | |
| | 1,180 | | | | | CarParts.com Inc.* | | | 16,579 | |
| | 317 | | | | | Duluth Holdings Inc., Class B Shares* | | | 3,069 | |
| | 6,499 | | | | | Etsy Inc.* | | | 777,930 | |
| | 1,217 | | | | | Groupon Inc., Class A Shares* | | | 38,737 | |
| | 5,062 | | | | | Grubhub Inc.* | | | 366,236 | |
| | 409 | | | | | Lands’ End Inc.* | | | 5,472 | |
See Notes to Financial Statements.
59
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | CONSUMER DISCRETIONARY — 8.3% — (continued) | |
|
| | Internet & Direct Marketing Retail — 0.4% — (continued) | |
| | 1,785 | | | | | Liquidity Services Inc.* | | $ | 12,870 | |
| | 5,421 | | | | | Magnite Inc.* | | | 39,844 | |
| | 2,211 | | | | | Overstock.com Inc.* | | | 193,463 | |
| | 1,141 | | | | | PetMed Express Inc. | | | 39,661 | |
| | 4,752 | | | | | Quotient Technology Inc.* | | | 41,390 | |
| | 20,975 | | | | | Qurate Retail Inc., Class A Shares* | | | 231,774 | |
| | 3,411 | | | | | RealReal Inc. (The)* | | | 54,781 | |
| | 1,045 | | | | | Shutterstock Inc. | | | 52,584 | |
| | 905 | | | | | Stamps.com Inc.* | | | 225,653 | |
| | 3,085 | | | | | Stitch Fix Inc., Class A Shares* | | | 74,503 | |
| | 4,149 | | | | | Waitr Holdings Inc.* | | | 16,720 | |
| | | | | | | | | | |
| | | | | | Total Internet & Direct Marketing Retail | | | 2,230,833 | |
| | | | | | | | | | |
|
| | Leisure Products — 0.6% | |
| | 1,896 | | | | | Acushnet Holdings Corp. | | | 66,910 | |
| | 770 | | | | | American Outdoor Brands Inc.*(b) | | | 11,727 | |
| | 22,950 | | | | | BRP Inc. | | | 1,243,890 | |
| | 4,348 | | | | | Brunswick Corp. | | | 269,098 | |
| | 5,133 | | | | | Callaway Golf Co. | | | 107,074 | |
| | 773 | | | | | Clarus Corp. | | | 9,732 | |
| | 544 | | | | | Escalade Inc. | | | 9,863 | |
| | 285 | | | | | Johnson Outdoors Inc., Class A Shares | | | 24,427 | |
| | 1,119 | | | | | Malibu Boats Inc., Class A Shares* | | | 58,020 | |
| | 338 | | | | | Marine Products Corp. | | | 4,884 | |
| | 1,019 | | | | | MasterCraft Boat Holdings Inc.* | | | 21,307 | |
| | 18,909 | | | | | Mattel Inc.* | | | 203,177 | |
| | 1,615 | | | | | Nautilus Inc.* | | | 19,138 | |
| | 3,202 | | | | | Polaris Inc. | | | 323,530 | |
| | 3,080 | | | | | Smith & Wesson Brands Inc.* | | | 56,241 | |
| | 937 | | | | | Sturm Ruger & Co., Inc. | | | 66,396 | |
| | 3,349 | | | | | Vista Outdoor Inc.* | | | 65,004 | |
| | 21,994 | | | | | YETI Holdings Inc.* | | | 1,130,052 | |
| | | | | | | | | | |
| | | | | | Total Leisure Products | | | 3,690,470 | |
| | | | | | | | | | |
|
| | Multiline Retail — 0.1% | |
| | 2,147 | | | | | Big Lots Inc. | | | 101,231 | |
| | 334 | | | | | Dillard’s Inc., Class A Shares(a) | | | 10,090 | |
| | 8,541 | | | | | Kohl’s Corp. | | | 182,436 | |
| | 16,026 | | | | | Macy’s Inc.(a) | | | 111,701 | |
| | 6,012 | | | | | Nordstrom Inc. | | | 96,192 | |
| | 2,926 | | | | | Ollie’s Bargain Outlet Holdings Inc.* | | | 279,550 | |
| | | | | | | | | | |
| | | | | | Total Multiline Retail | | | 781,200 | |
| | | | | | | | | | |
|
| | Specialty Retail — 1.7% | |
| | 3,701 | | | | | Aaron’s Inc. | | | 206,849 | |
| | 3,257 | | | | | Abercrombie & Fitch Co., Class A Shares | | | 42,374 | |
| | 8,163 | | | | | American Eagle Outfitters Inc.(a) | | | 102,935 | |
| | 360 | | | | | America’s Car-Mart Inc.* | | | 36,180 | |
| | 1,060 | | | | | Asbury Automotive Group Inc.* | | | 112,137 | |
| | 2,617 | | | | | At Home Group Inc.*(a) | | | 50,011 | |
| | 3,235 | | | | | AutoNation Inc.* | | | 183,942 | |
| | 6,932 | | | | | Bed Bath & Beyond Inc.(a) | | | 84,432 | |
| | 1,549 | | | | | Boot Barn Holdings Inc.* | | | 43,728 | |
| | 1,495 | | | | | Buckle Inc. (The) | | | 28,016 | |
| | 1,947 | | | | | Caleres Inc. | | | 15,206 | |
See Notes to Financial Statements.
60
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | CONSUMER DISCRETIONARY — 8.3% — (continued) | |
|
| | Specialty Retail — 1.7% — (continued) | |
| | 1,821 | | | | | Camping World Holdings Inc., Class A Shares | | $ | 52,918 | |
| | 18,523 | | | | | CarMax Inc.* | | | 1,980,664 | |
| | 1,221 | | | | | Cato Corp. (The), Class A Shares | | | 9,768 | |
| | 42,058 | | | | | Chico’s FAS Inc. | | | 53,834 | |
| | 9,408 | | | | | Children’s Place Inc. (The)(a) | | | 187,831 | |
| | 480 | | | | | Citi Trends Inc. | | | 9,278 | |
| | 814 | | | | | Conn’s Inc.* | | | 10,403 | |
| | 550 | | | | | Container Store Group Inc. (The)* | | | 2,338 | |
| | 36,020 | | | | | Designer Brands Inc., Class A Shares | | | 253,941 | |
| | 3,409 | | | | | Dick’s Sporting Goods Inc. | | | 184,495 | |
| | 24,986 | | | | | Express Inc.*(a) | | | 27,735 | |
| | 11,207 | | | | | Five Below Inc.* | | | 1,226,606 | |
| | 4,787 | | | | | Floor & Decor Holdings Inc., Class A Shares* | | | 350,600 | |
| | 5,702 | | | | | Foot Locker Inc. | | | 172,942 | |
| | 3,588 | | | | | GameStop Corp., Class A Shares*(a) | | | 23,968 | |
| | 10,046 | | | | | Gap Inc. (The) | | | 174,700 | |
| | 863 | | | | | Genesco Inc.* | | | 16,829 | |
| | 974 | | | | | Group 1 Automotive Inc. | | | 84,193 | |
| | 1,564 | | | | | GrowGeneration Corp.*(a) | | | 24,954 | |
| | 2,360 | | | | | Guess? Inc. | | | 27,140 | |
| | 992 | | | | | Haverty Furniture Cos., Inc. | | | 20,951 | |
| | 924 | | | | | Hibbett Sports Inc.* | | | 30,834 | |
| | 2,307 | | | | | Hudson Ltd., Class A Shares* | | | 17,395 | |
| | 12,621 | | | | | L Brands Inc. | | | 371,057 | |
| | 1,220 | | | | | Lithia Motors Inc., Class A Shares | | | 303,731 | |
| | 1,569 | | | | | Lumber Liquidators Holdings Inc.* | | | 37,640 | |
| | 1,240 | | | | | MarineMax Inc.* | | | 36,468 | |
| | 4,190 | | | | | Michaels Cos., Inc. (The)*(a) | | | 47,138 | |
| | 20,099 | | | | | Monro Inc. | | | 926,363 | |
| | 1,520 | | | | | Murphy USA Inc.* | | | 204,987 | |
| | 31,165 | | | | | National Vision Holdings Inc.* | | | 1,170,869 | |
| | 20,557 | | | | | ODP Corp. (The) | | | 480,623 | |
| | 260 | | | | | OneWater Marine Inc., Class A Shares* | | | 7,431 | |
| | 1,820 | | | | | Penske Automotive Group Inc. | | | 85,849 | |
| | 2,667 | | | | | Rent-A-Center Inc. | | | 81,877 | |
| | 917 | | | | | RH* | | | 303,114 | |
| | 6,123 | | | | | Sally Beauty Holdings Inc.* | | | 68,333 | |
| | 564 | | | | | Shoe Carnival Inc. | | | 18,544 | |
| | 3,041 | | | | | Signet Jewelers Ltd. | | | 52,518 | |
| | 1,518 | | | | | Sleep Number Corp.* | | | 72,864 | |
| | 1,370 | | | | | Sonic Automotive Inc., Class A Shares | | | 57,896 | |
| | 2,372 | | | | | Sportsman’s Warehouse Holdings Inc.* | | | 37,229 | |
| | 1,548 | | | | | Tilly’s Inc., Class A Shares | | | 9,814 | |
| | 3,769 | | | | | Urban Outfitters Inc.* | | | 88,722 | |
| | 4,238 | | | | | Williams-Sonoma Inc. | | | 371,927 | |
| | 173 | | | | | Winmark Corp. | | | 26,720 | |
| | 1,208 | | | | | Zumiez Inc.* | | | 31,021 | |
| | | | | | | | | | |
| | | | | | Total Specialty Retail | | | 10,742,862 | |
| | | | | | | | | | |
|
| | Textiles, Apparel & Luxury Goods — 0.8% | |
| | 7,827 | | | | | Capri Holdings Ltd.* | | | 123,980 | |
| | 17,056 | | | | | Carter’s Inc. | | | 1,357,999 | |
| | 1,575 | | | | | Columbia Sportswear Co. | | | 134,773 | |
| | 3,685 | | | | | Crocs Inc.* | | | 147,068 | |
| | 1,536 | | | | | Deckers Outdoor Corp.* | | | 313,144 | |
See Notes to Financial Statements.
61
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | CONSUMER DISCRETIONARY — 8.3% — (continued) | |
|
| | Textiles, Apparel & Luxury Goods — 0.8% — (continued) | |
| | 2,939 | | | | | Fossil Group Inc.* | | $ | 18,912 | |
| | 2,282 | | | | | G-III Apparel Group Ltd.* | | | 25,239 | |
| | 18,933 | | | | | Hanesbrands Inc. | | | 289,486 | |
| | 2,821 | | | | | Kontoor Brands Inc. | | | 62,344 | |
| | 426 | | | | | Lakeland Industries Inc.* | | | 8,703 | |
| | 703 | | | | | Movado Group Inc. | | | 7,670 | |
| | 911 | | | | | Oxford Industries Inc. | | | 45,122 | |
| | 3,864 | | | | | PVH Corp. | | | 215,457 | |
| | 2,632 | | | | | Ralph Lauren Corp., Class A Shares | | | 181,161 | |
| | 439 | | | | | Rocky Brands Inc. | | | 10,571 | |
| | 7,398 | | | | | Skechers U.S.A. Inc., Class A Shares* | | | 220,830 | |
| | 4,503 | | | | | Steven Madden Ltd. | | | 95,283 | |
| | 731 | | | | | Superior Group of Cos., Inc. | | | 16,915 | |
| | 15,175 | | | | | Tapestry Inc. | | | 223,528 | |
| | 10,230 | | | | | Under Armour Inc., Class A Shares* | | | 100,356 | |
| | 10,558 | | | | | Under Armour Inc., Class C Shares* | | | 93,438 | |
| | 888 | | | | | Unifi Inc.* | | | 10,860 | |
| | 769 | | | | | Vera Bradley Inc.* | | | 4,053 | |
| | 43,468 | | | | | Wolverine World Wide Inc. | | | 1,085,831 | |
| | | | | | | | | | |
| | | | | | Total Textiles, Apparel & Luxury Goods | | | 4,792,723 | |
| | | | | | | | | | |
| | | | | | TOTAL CONSUMER DISCRETIONARY | | | 51,379,457 | |
| | | | | | | | | | |
|
| | CONSUMER STAPLES — 4.2% | |
|
| | Beverages — 0.7% | |
| | 478 | | | | | Boston Beer Co., Inc. (The), Class A Shares* | | | 421,586 | |
| | 1,843 | | | | | Celsius Holdings Inc.* | | | 35,791 | |
| | 257 | | | | | Coca-Cola Consolidated Inc. | | | 70,238 | |
| | 473 | | | | | Craft Brew Alliance Inc.* | | | 7,388 | |
| | 18,840 | | | | | Diageo PLC, ADR | | | 2,532,096 | |
| | 716 | | | | | MGP Ingredients Inc. | | | 25,454 | |
| | 677 | | | | | National Beverage Corp.* | | | 55,054 | |
| | 5,798 | | | | | NewAge Inc.*(a)(b) | | | 12,582 | |
| | 31,645 | | | | | Pernod Ricard SA, ADR(a) | | | 1,086,056 | |
| | 8,559 | | | | | Primo Water Corp. | | | 117,087 | |
| | | | | | | | | | |
| | | | | | Total Beverages | | | 4,363,332 | |
| | | | | | | | | | |
|
| | Food & Staples Retailing — 0.5% | |
| | 1,628 | | | | | Andersons Inc. (The) | | | 28,864 | |
| | 7,497 | | | | | BJ’s Wholesale Club Holdings Inc.* | | | 332,942 | |
| | 2,024 | | | | | Casey’s General Stores Inc. | | | 359,968 | |
| | 1,490 | | | | | Chefs’ Warehouse Inc. (The)* | | | 22,067 | |
| | 26,542 | | | | | Grocery Outlet Holding Corp.* | | | 1,091,672 | |
| | 1,917 | | | | | HF Foods Group Inc.*(a) | | | 15,221 | |
| | 768 | | | | | Ingles Markets Inc., Class A Shares | | | 31,027 | |
| | 321 | | | | | Natural Grocers by Vitamin Cottage Inc. | | | 3,762 | |
| | 7,172 | | | | | Performance Food Group Co.* | | | 261,850 | |
| | 1,242 | | | | | PriceSmart Inc. | | | 81,662 | |
| | 2,848 | | | | | Rite Aid Corp.* | | | 37,081 | |
| | 2,027 | | | | | SpartanNash Co. | | | 40,500 | |
| | 6,479 | | | | | Sprouts Farmers Market Inc.* | | | 151,285 | |
| | 3,026 | | | | | United Natural Foods Inc.* | | | 54,619 | |
| | 12,095 | | | | | US Foods Holding Corp.* | | | 294,513 | |
| | 542 | | | | | Village Super Market Inc., Class A Shares | | | 13,789 | |
| | 487 | | | | | Weis Markets Inc. | | | 23,975 | |
| | | | | | | | | | |
| | | | | | Total Food & Staples Retailing | | | 2,844,797 | |
| | | | | | | | | | |
See Notes to Financial Statements.
62
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | CONSUMER STAPLES — 4.2% — (continued) | |
|
| | Food Products — 1.9% | |
| | 325 | | | | | Alico Inc. | | $ | 10,504 | |
| | 3,490 | | | | | B&G Foods Inc.(a) | | | 108,679 | |
| | 2,838 | | | | | Beyond Meat Inc.*(a) | | | 385,542 | |
| | 71 | | | | | Bridgford Foods Corp.* | | | 1,178 | |
| | 7,579 | | | | | Bunge Ltd. | | | 345,754 | |
| | 7,107 | | | | | Calavo Growers Inc. | | | 451,081 | |
| | 69,724 | | | | | Cal-Maine Foods Inc.* | | | 2,690,649 | |
| | 8,816 | | | | | Darling Ingredients Inc.* | | | 281,848 | |
| | 956 | | | | | Farmer Brothers Co.* | | | 6,013 | |
| | 10,668 | | | | | Flowers Foods Inc. | | | 260,939 | |
| | 1,724 | | | | | Fresh Del Monte Produce Inc. | | | 39,980 | |
| | 2,125 | | | | | Freshpet Inc.* | | | 241,400 | |
| | 35,376 | | | | | Hain Celestial Group Inc. (The)* | | | 1,159,979 | |
| | 6,578 | | | | | Hostess Brands Inc., Class A Shares* | | | 84,462 | |
| | 3,700 | | | | | Ingredion Inc. | | | 297,628 | |
| | 819 | | | | | J&J Snack Foods Corp. | | | 111,343 | |
| | 455 | | | | | John B Sanfilippo & Son Inc. | | | 36,236 | |
| | 8,037 | | | | | Lamb Weston Holdings Inc. | | | 505,125 | |
| | 1,035 | | | | | Lancaster Colony Corp. | | | 183,940 | |
| | 1,555 | | | | | Landec Corp.* | | | 15,923 | |
| | 974 | | | | | Limoneira Co. | | | 14,094 | |
| | 2,939 | | | | | Pilgrim’s Pride Corp.* | | | 47,024 | |
| | 3,496 | | | | | Post Holdings Inc.* | | | 307,718 | |
| | 24,699 | | | | | Sanderson Farms Inc. | | | 2,888,795 | |
| | 14 | | | | | Seaboard Corp. | | | 37,562 | |
| | 375 | | | | | Seneca Foods Corp., Class A Shares* | | | 17,760 | |
| | 4,640 | | | | | Simply Good Foods Co. (The)* | | | 115,304 | |
| | 910 | | | | | Tootsie Roll Industries Inc. | | | 29,111 | |
| | 33,267 | | | | | TreeHouse Foods Inc.* | | | 1,424,160 | |
| | | | | | | | | | |
| | | | | | Total Food Products | | | 12,099,731 | |
| | | | | | | | | | |
|
| | Household Products — 0.3% | |
| | 2,713 | | | | | Central Garden & Pet Co., Class A Shares* | | | 102,259 | |
| | 3,420 | | | | | Energizer Holdings Inc. | | | 158,312 | |
| | 49,426 | | | | | Henkel AG & Co. KGaA, ADR | | | 1,109,119 | |
| | 209 | | | | | Oil-Dri Corp. of America | | | 7,319 | |
| | 2,681 | | | | | Reynolds Consumer Products Inc. | | | 89,090 | |
| | 2,310 | | | | | Spectrum Brands Holdings Inc. | | | 137,676 | |
| | 747 | | | | | WD-40 Co. | | | 152,672 | |
| | | | | | | | | | |
| | | | | | Total Household Products | | | 1,756,447 | |
| | | | | | | | | | |
|
| | Personal Products — 0.8% | |
| | 112,365 | | | | | Beiersdorf AG, ADR | | | 2,604,621 | |
| | 2,250 | | | | | BellRing Brands Inc., Class A Shares* | | | 43,740 | |
| | 15,833 | | | | | Coty Inc., Class A Shares | | | 56,682 | |
| | 2,970 | | | | | Edgewell Personal Care Co.* | | | 85,269 | |
| | 1,446 | | | | | elf Beauty Inc.* | | | 28,240 | |
| | 26,412 | | | | | Herbalife Nutrition Ltd.* | | | 1,298,150 | |
| | 996 | | | | | Inter Parfums Inc. | | | 44,491 | |
| | 920 | | | | | Lifevantage Corp.* | | | 13,818 | |
| | 620 | | | | | Medifast Inc. | | | 100,886 | |
| | 462 | | | | | Nature’s Sunshine Products Inc.* | | | 5,101 | |
| | 14,388 | | | | | Nu Skin Enterprises Inc., Class A Shares | | | 680,121 | |
| | 325 | | | | | Revlon Inc., Class A Shares*(a) | | | 2,379 | |
| | 648 | | | | | USANA Health Sciences Inc.* | | | 50,810 | |
See Notes to Financial Statements.
63
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | CONSUMER STAPLES — 4.2% — (continued) | |
|
| | Personal Products — 0.8% — (continued) | |
| | 2,601 | | | | | Veru Inc.* | | $ | 7,205 | |
| | | | | | | | | | |
| | | | | | Total Personal Products | | | 5,021,513 | |
| | | | | | | | | | |
|
| | Tobacco — 0.0% | |
| | 507 | | | | | Turning Point Brands Inc. | | | 14,652 | |
| | 1,350 | | | | | Universal Corp. | | | 58,604 | |
| | 7,378 | | | | | Vector Group Ltd. | | | 74,296 | |
| | | | | | | | | | |
| | | | | | Total Tobacco | | | 147,552 | |
| | | | | | | | | | |
| | | | | | TOTAL CONSUMER STAPLES | | | 26,233,372 | |
| | | | | | | | | | |
|
| | ENERGY — 1.2% | |
|
| | Energy Equipment & Services — 0.3% | |
| | 7,139 | | | | | Archrock Inc. | | | 46,832 | |
| | 1,053 | | | | | Aspen Aerogels Inc.* | | | 8,951 | |
| | 284 | | | | | Bristow Group Inc.* | | | 5,371 | |
| | 2,683 | | | | | Cactus Inc., Class A Shares | | | 59,268 | |
| | 10,014 | | | | | ChampionX Corp.* | | | 102,543 | |
| | 854 | | | | | DMC Global Inc. | | | 30,257 | |
| | 11,094 | | | | | Dril-Quip Inc.* | | | 367,544 | |
| | 1,217 | | | | | Exterran Corp.* | | | 5,598 | |
| | 36,500 | | | | | Forum Energy Technologies Inc.* | | | 19,969 | |
| | 8,417 | | | | | Frank’s International NV* | | | 19,443 | |
| | 7,965 | | | | | Helix Energy Solutions Group Inc.* | | | 28,515 | |
| | 5,786 | | | | | Helmerich & Payne Inc. | | | 95,353 | |
| | 9,400 | | | | | ION Geophysical Corp.* | | | 19,082 | |
| | 3,510 | | | | | Liberty Oilfield Services Inc., Class A Shares | | | 22,640 | |
| | 1,521 | | | | | Matrix Service Co.* | | | 14,054 | |
| | 246 | | | | | Nabors Industries Ltd. | | | 9,835 | |
| | 984 | | | | | National Energy Services Reunited Corp.* | | | 7,419 | |
| | 21,318 | | | | | National Oilwell Varco Inc. | | | 255,816 | |
| | 5,187 | | | | | Newpark Resources Inc.* | | | 10,115 | |
| | 69,810 | | | | | NexTier Oilfield Solutions Inc.* | | | 175,921 | |
| | 31,036 | | | | | Oceaneering International Inc.* | | | 167,284 | |
| | 23,734 | | | | | Oil States International Inc.* | | | 104,192 | |
| | 38,122 | | | | | Patterson-UTI Energy Inc. | | | 146,770 | |
| | 4,718 | | | | | ProPetro Holding Corp.* | | | 29,629 | |
| | 59,434 | | | | | RPC Inc.* | | | 186,028 | |
| | 1,062 | | | | | SEACOR Holdings Inc.* | | | 33,570 | |
| | 3,334 | | | | | Select Energy Services Inc., Class A Shares* | | | 15,903 | |
| | 1,342 | | | | | Solaris Oilfield Infrastructure Inc., Class A Shares | | | 10,441 | |
| | 46,600 | | | | | TETRA Technologies Inc.* | | | 31,688 | |
| | 1,554 | | | | | Tidewater Inc.* | | | 10,676 | |
| | 32,510 | | | | | Transocean Ltd.*(a) | | | 39,662 | |
| | 4,215 | | | | | US Silica Holdings Inc. | | | 18,799 | |
| | | | | | | | | | |
| | | | | | Total Energy Equipment & Services | | | 2,099,168 | |
| | | | | | | | | | |
|
| | Oil, Gas & Consumable Fuels — 0.9% | |
| | 166 | | | | | Adams Resources & Energy Inc. | | | 3,531 | |
| | 15,819 | | | | | Antero Midstream Corp. | | | 107,095 | |
| | 12,708 | | | | | Antero Resources Corp.* | | | 40,920 | |
| | 20,794 | | | | | Apache Corp. | | | 307,751 | |
| | 895 | | | | | Arch Resources Inc. | | | 33,715 | |
| | 1,299 | | | | | Ardmore Shipping Corp. | | | 4,806 | |
| | 4,260 | | | | | Berry Corp. | | | 16,784 | |
| | 1,131 | | | | | Bonanza Creek Energy Inc.* | | | 22,665 | |
See Notes to Financial Statements.
64
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | ENERGY — 1.2% — (continued) | |
|
| | Oil, Gas & Consumable Fuels — 0.9% — (continued) | |
| | 1,587 | | | | | Brigham Minerals Inc., Class A Shares | | $ | 18,742 | |
| | 5,562 | | | | | Cimarex Energy Co. | | | 154,512 | |
| | 8,189 | | | | | Clean Energy Fuels Corp.* | | | 21,619 | |
| | 10,181 | | | | | CNX Resources Corp.* | | | 111,584 | |
| | 715 | | | | | Comstock Resources Inc.* | | | 4,118 | |
| | 1,079 | | | | | CONSOL Energy Inc.* | | | 5,578 | |
| | 4,895 | | | | | Contango Oil & Gas Co.* | | | 7,930 | |
| | 4,159 | | | | | Continental Resources Inc. | | | 71,452 | |
| | 1,608 | | | | | CVR Energy Inc. | | | 26,838 | |
| | 3,419 | | | | | Delek US Holdings Inc. | | | 53,781 | |
| | 51,937 | | | | | Devon Energy Corp. | | | 564,555 | |
| | 5,873 | | | | | DHT Holdings Inc. | | | 31,068 | |
| | 1,459 | | | | | Diamond S Shipping Inc.* | | | 11,949 | |
| | 8,678 | | | | | Diamondback Energy Inc. | | | 338,095 | |
| | 1,888 | | | | | Dorian LPG Ltd.* | | | 15,935 | |
| | 660 | | | | | Earthstone Energy Inc., Class A Shares* | | | 1,934 | |
| | 6,337 | | | | | Energy Fuels Inc.* | | | 11,533 | |
| | 14,039 | | | | | EQT Corp. | | | 222,799 | |
| | 22,454 | | | | | Equitrans Midstream Corp. | | | 230,827 | |
| | 969 | | | | | Evolution Petroleum Corp. | | | 2,645 | |
| | 1,579 | | | | | Falcon Minerals Corp. | | | 4,437 | |
| | 6,450 | | | | | Frontline Ltd.(a) | | | 51,342 | |
| | 5,145 | | | | | Golar LNG Ltd.* | | | 53,251 | |
| | 224 | | | | | Goodrich Petroleum Corp.* | | | 1,848 | |
| | 1,908 | | | | | Green Plains Inc.* | | | 25,529 | |
| | 6,752 | | | | | Gulfport Energy Corp.* | | | 4,765 | |
| | 8,207 | | | | | HollyFrontier Corp. | | | 195,901 | |
| | 1,318 | | | | | International Seaways Inc. | | | 22,353 | |
| | 22,339 | | | | | Kosmos Energy Ltd. | | | 32,838 | |
| | 6,876 | | | | | Magnolia Oil & Gas Corp., Class A Shares* | | | 44,281 | |
| | 43,483 | | | | | Marathon Oil Corp. | | | 229,590 | |
| | 6,113 | | | | | Matador Resources Co.*(a) | | | 59,479 | |
| | 917 | | | | | Montage Resources Corp.* | | | 4,732 | |
| | 8,145 | | | | | Murphy Oil Corp. | | | 111,912 | |
| | 175 | | | | | NACCO Industries Inc., Class A Shares | | | 3,587 | |
| | 636 | | | | | NextDecade Corp.* | | | 846 | |
| | 26,196 | | | | | Noble Energy Inc. | | | 260,650 | |
| | 7,882 | | | | | Nordic American Tankers Ltd.(a) | | | 34,366 | |
| | 3,617 | | | | | Overseas Shipholding Group Inc., Class A Shares* | | | 7,632 | |
| | 14,370 | | | | | Ovintiv Inc.(a) | | | 159,220 | |
| | 1,976 | | | | | Par Pacific Holdings Inc.* | | | 17,152 | |
| | 16,622 | | | | | Parsley Energy Inc., Class A Shares | | | 178,687 | |
| | 5,319 | | | | | PBF Energy Inc., Class A Shares | | | 45,531 | |
| | 5,509 | | | | | PDC Energy Inc.* | | | 83,406 | |
| | 3,508 | | | | | Peabody Energy Corp. | | | 9,156 | |
| | 589 | | | | | Penn Virginia Corp.* | | | 6,726 | |
| | 28 | | | | | PrimeEnergy Resources Corp.* | | | 1,883 | |
| | 81,395 | | | | | QEP Resources Inc. | | | 105,814 | |
| | 61,080 | | | | | Range Resources Corp. | | | 455,657 | |
| | 2,120 | | | | | Renewable Energy Group Inc.* | | | 70,872 | |
| | 334 | | | | | REX American Resources Corp.* | | | 20,635 | |
| | 2,779 | | | | | Scorpio Tankers Inc. | | | 32,903 | |
| | 5,075 | | | | | SFL Corp., Ltd. | | | 44,559 | |
| | 5,850 | | | | | SM Energy Co. | | | 14,215 | |
See Notes to Financial Statements.
65
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | ENERGY — 1.2% — (continued) | |
|
| | Oil, Gas & Consumable Fuels — 0.9% — (continued) | |
| | 29,962 | | | | | Southwestern Energy Co.* | | $ | 83,294 | |
| | 669 | | | | | Talos Energy Inc.* | | | 5,024 | |
| | 12,682 | | | | | Targa Resources Corp. | | | 215,721 | |
| | 8,170 | | | | | Tellurian Inc.*(a) | | | 7,588 | |
| | 10,570 | | | | | Uranium Energy Corp.* | | | 12,155 | |
| | 5,333 | | | | | W&T Offshore Inc.* | | | 11,893 | |
| | 3,776 | | | | | Whiting Petroleum Corp.*(a) | | | 3,019 | |
| | 3,412 | | | | | World Fuel Services Corp. | | | 90,077 | |
| | 22,468 | | | | | WPX Energy Inc.* | | | 124,922 | |
| | | | | | | | | | |
| | | | | | Total Oil, Gas & Consumable Fuels | | | 5,394,209 | |
| | | | | | | | | | |
| | | | | | TOTAL ENERGY | | | 7,493,377 | |
| | | | | | | | | | |
|
| | FINANCIALS — 12.9% | |
|
| | Banks — 4.0% | |
| | 350 | | | | | 1st Constitution Bancorp | | | 4,260 | |
| | 963 | | | | | 1st Source Corp. | | | 33,175 | |
| | 494 | | | | | ACNB Corp. | | | 10,384 | |
| | 950 | | | | | Allegiance Bancshares Inc. | | | 24,149 | |
| | 985 | | | | | Altabancorp | | | 20,311 | |
| | 634 | | | | | Amalgamated Bank, Class A Shares | | | 7,462 | |
| | 1,137 | | | | | Amerant Bancorp Inc., Class A Shares* | | | 14,952 | |
| | 732 | | | | | American National Bankshares Inc. | | | 16,499 | |
| | 3,629 | | | | | Ameris Bancorp | | | 88,983 | |
| | 548 | | | | | Ames National Corp. | | | 10,933 | |
| | 755 | | | | | Arrow Financial Corp. | | | 21,631 | |
| | 8,780 | | | | | Associated Banc-Corp. | | | 118,003 | |
| | 1,396 | | | | | Atlantic Capital Bancshares Inc.* | | | 16,103 | |
| | 4,373 | | | | | Atlantic Union Bankshares Corp. | | | 101,716 | |
| | 136 | | | | | Auburn National Bancorporation Inc.(a) | | | 5,546 | |
| | 2,690 | | | | | Banc of California Inc. | | | 29,563 | |
| | 1,152 | | | | | BancFirst Corp. | | | 50,688 | |
| | 2,877 | | | | | Bancorp Inc. (The)* | | | 27,332 | |
| | 5,575 | | | | | BancorpSouth Bank | | | 120,309 | |
| | 331 | | | | | Bank First Corp. | | | 20,654 | |
| | 1,542 | | | | | Bank of Commerce Holdings | | | 11,334 | |
| | 2,262 | | | | | Bank of Hawaii Corp. | | | 124,501 | |
| | 842 | | | | | Bank of Marin Bancorp | | | 26,801 | |
| | 2,905 | | | | | Bank of NT Butterfield & Son Ltd. (The) | | | 73,206 | |
| | 221 | | | | | Bank of Princeton (The) | | | 4,305 | |
| | 6,819 | | | | | Bank OZK | | | 157,110 | |
| | 201 | | | | | Bank7 Corp. | | | 2,058 | |
| | 701 | | | | | BankFinancial Corp. | | | 5,089 | |
| | 91,194 | | | | | BankUnited Inc. | | | 2,132,116 | |
| | 317 | | | | | Bankwell Financial Group Inc. | | | 4,945 | |
| | 8,151 | | | | | Banner Corp. | | | 294,414 | |
| | 911 | | | | | Bar Harbor Bankshares | | | 18,457 | |
| | 780 | | | | | Baycom Corp.* | | | 9,036 | |
| | 686 | | | | | BCB Bancorp Inc. | | | 5,587 | |
| | 23,194 | | | | | Berkshire Hills Bancorp Inc. | | | 212,921 | |
| | 1,788 | | | | | BOK Financial Corp. | | | 100,378 | |
| | 3,124 | | | | | Boston Private Financial Holdings Inc. | | | 18,557 | |
| | 1,088 | | | | | Bridge Bancorp Inc. | | | 21,771 | |
| | 2,704 | | | | | Brookline Bancorp Inc. | | | 25,958 | |
| | 1,298 | | | | | Bryn Mawr Bank Corp. | | | 35,228 | |
See Notes to Financial Statements.
66
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | FINANCIALS — 12.9% — (continued) | |
|
| | Banks — 4.0% — (continued) | |
| | 814 | | | | | Business First Bancshares Inc. | | $ | 11,779 | |
| | 1,431 | | | | | Byline Bancorp Inc. | | | 18,088 | |
| | 237 | | | | | C&F Financial Corp. | | | 7,577 | |
| | 4,400 | | | | | Cadence BanCorp, Class A Shares | | | 41,800 | |
| | 430 | | | | | California Bancorp Inc.* | | | 5,594 | |
| | 388 | | | | | Cambridge Bancorp | | | 21,278 | |
| | 973 | | | | | Camden National Corp. | | | 31,773 | |
| | 297 | | | | | Capital Bancorp Inc.* | | | 3,092 | |
| | 1,020 | | | | | Capital City Bank Group Inc. | | | 20,675 | |
| | 1,036 | | | | | Capstar Financial Holdings Inc. | | | 10,557 | |
| | 946 | | | | | Carter Bank & Trust | | | 6,707 | |
| | 4,412 | | | | | Cathay General Bancorp | | | 108,932 | |
| | 286 | | | | | CB Financial Services Inc. | | | 5,320 | |
| | 1,153 | | | | | CBTX Inc. | | | 18,160 | |
| | 1,125 | | | | | Central Pacific Financial Corp. | | | 17,426 | |
| | 932 | | | | | Central Valley Community Bancorp | | | 11,212 | |
| | 185 | | | | | Century Bancorp Inc., Class A Shares | | | 13,033 | |
| | 124 | | | | | Chemung Financial Corp. | | | 3,560 | |
| | 377 | | | | | ChoiceOne Financial Services Inc. | | | 10,748 | |
| | 5,438 | | | | | CIT Group Inc. | | | 106,965 | |
| | 722 | | | | | Citizens & Northern Corp. | | | 12,375 | |
| | 268 | | | | | Citizens Holding Co. | | | 5,743 | |
| | 862 | | | | | City Holding Co. | | | 55,151 | |
| | 1,009 | | | | | Civista Bancshares Inc. | | | 13,470 | |
| | 776 | | | | | CNB Financial Corp. | | | 12,377 | |
| | 656 | | | | | Coastal Financial Corp.* | | | 9,020 | |
| | 632 | | | | | Codorus Valley Bancorp Inc. | | | 8,153 | |
| | 315 | | | | | Colony Bankcorp Inc. | | | 3,465 | |
| | 3,430 | | | | | Columbia Banking System Inc. | | | 95,731 | |
| | 31,865 | | | | | Comerica Inc. | | | 1,259,623 | |
| | 5,578 | | | | | Commerce Bancshares Inc. | | | 332,281 | |
| | 2,434 | | | | | Community Bank System Inc. | | | 146,454 | |
| | 856 | | | | | Community Bankers Trust Corp. | | | 4,391 | |
| | 155 | | | | | Community Financial Corp. (The) | | | 3,447 | |
| | 925 | | | | | Community Trust Bancorp Inc. | | | 29,850 | |
| | 2,170 | | | | | ConnectOne Bancorp Inc. | | | 32,810 | |
| | 293 | | | | | County Bancorp Inc. | | | 5,655 | |
| | 2,532 | | | | | CrossFirst Bankshares Inc.* | | | 23,370 | |
| | 3,130 | | | | | Cullen/Frost Bankers Inc. | | | 217,410 | |
| | 1,569 | | | | | Customers Bancorp Inc.* | | | 20,036 | |
| | 7,072 | | | | | CVB Financial Corp. | | | 128,781 | |
| | 1,568 | | | | | Dime Community Bancshares Inc. | | | 20,227 | |
| | 1,255 | | | | | Eagle Bancorp Inc. | | | 36,119 | |
| | 391 | | | | | Eagle Bancorp Montana Inc. | | | 6,893 | |
| | 7,812 | | | | | East West Bancorp Inc. | | | 287,325 | |
| | 544 | | | | | Enterprise Bancorp Inc. | | | 11,821 | |
| | 1,468 | | | | | Enterprise Financial Services Corp. | | | 43,908 | |
| | 998 | | | | | Equity Bancshares Inc., Class A Shares* | | | 15,868 | |
| | 279 | | | | | Esquire Financial Holdings Inc.* | | | 4,604 | |
| | 187 | | | | | Evans Bancorp Inc. | | | 4,264 | |
| | 473 | | | | | Farmers & Merchants Bancorp Inc. | | | 10,193 | |
| | 1,758 | | | | | Farmers National Banc Corp. | | | 20,498 | |
| | 1,697 | | | | | FB Financial Corp. | | | 45,819 | |
| | 224 | | | | | Fidelity D&D Bancorp Inc.(a) | | | 10,129 | |
See Notes to Financial Statements.
67
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | FINANCIALS — 12.9% — (continued) | |
|
| | Banks — 4.0% — (continued) | |
| | 1,133 | | | | | Financial Institutions Inc. | | $ | 19,522 | |
| | 12,938 | | | | | First Bancorp | | | 100,484 | |
| | 581 | | | | | First Bancorp Inc. (The) | | | 12,364 | |
| | 1,080 | | | | | First Bancshares Inc. (The) | | | 23,155 | |
| | 727 | | | | | First Bank | | | 4,740 | |
| | 3,031 | | | | | First Busey Corp. | | | 53,997 | |
| | 370 | | | | | First Business Financial Services Inc. | | | 5,735 | |
| | 193 | | | | | First Capital Inc.(a) | | | 11,787 | |
| | 702 | | | | | First Choice Bancorp | | | 9,933 | |
| | 384 | | | | | First Citizens BancShares Inc., Class A Shares | | | 150,970 | |
| | 3,394 | | | | | First Commonwealth Financial Corp. | | | 27,831 | |
| | 1,018 | | | | | First Community Bancshares Inc. | | | 19,586 | |
| | 407 | | | | | First Community Corp. | | | 5,161 | |
| | 33,075 | | | | | First Financial Bancorp | | | 453,789 | |
| | 7,127 | | | | | First Financial Bankshares Inc. | | | 215,770 | |
| | 743 | | | | | First Financial Corp. | | | 25,552 | |
| | 2,525 | | | | | First Foundation Inc. | | | 38,355 | |
| | 211 | | | | | First Guaranty Bancshares Inc. | | | 2,707 | |
| | 7,255 | | | | | First Hawaiian Inc. | | | 119,925 | |
| | 31,400 | | | | | First Horizon National Corp. | | | 299,870 | |
| | 617 | | | | | First Internet Bancorp | | | 9,014 | |
| | 2,392 | | | | | First Interstate BancSystem Inc., Class A Shares | | | 78,458 | |
| | 3,166 | | | | | First Merchants Corp. | | | 80,986 | |
| | 1,070 | | | | | First Mid Bancshares Inc. | | | 27,863 | |
| | 5,980 | | | | | First Midwest Bancorp Inc. | | | 74,511 | |
| | 347 | | | | | First Northwest Bancorp | | | 3,852 | |
| | 1,379 | | | | | First of Long Island Corp. (The) | | | 21,188 | |
| | 108 | | | | | First Savings Financial Group Inc. | | | 4,698 | |
| | 378 | | | | | First United Corp. | | | 4,328 | |
| | 357 | | | | | First Western Financial Inc.* | | | 4,837 | |
| | 1,650 | | | | | Flushing Financial Corp. | | | 20,015 | |
| | 18,418 | | | | | FNB Corp. | | | 138,135 | |
| | 712 | | | | | FNCB Bancorp Inc. | | | 4,165 | |
| | 188 | | | | | Franklin Financial Services Corp. | | | 4,482 | |
| | 42,338 | | | | | Fulton Financial Corp. | | | 414,066 | |
| | 502 | | | | | FVCBankcorp Inc.* | | | 5,291 | |
| | 1,487 | | | | | German American Bancorp Inc. | | | 42,156 | |
| | 5,269 | | | | | Glacier Bancorp Inc. | | | 184,863 | |
| | 759 | | | | | Great Southern Bancorp Inc. | | | 29,252 | |
| | 1,997 | | | | | Great Western Bancorp Inc. | | | 27,818 | |
| | 383 | | | | | Guaranty Bancshares Inc. | | | 10,130 | |
| | 4,845 | | | | | Hancock Whitney Corp. | | | 96,948 | |
| | 1,156 | | | | | Hanmi Financial Corp. | | | 11,017 | |
| | 2,982 | | | | | HarborOne Bancorp Inc. | | | 25,794 | |
| | 244 | | | | | Hawthorn Bancshares Inc. | | | 4,470 | |
| | 695 | | | | | HBT Financial Inc. | | | 8,236 | |
| | 2,072 | | | | | Heartland Financial USA Inc. | | | 71,339 | |
| | 3,874 | | | | | Heritage Commerce Corp. | | | 26,847 | |
| | 1,249 | | | | | Heritage Financial Corp. | | | 24,905 | |
| | 4,005 | | | | | Hilltop Holdings Inc. | | | 82,503 | |
| | 8,759 | | | | | Home BancShares Inc. | | | 141,983 | |
| | 925 | | | | | HomeTrust Bancshares Inc. | | | 12,978 | |
| | 4,262 | | | | | Hope Bancorp Inc. | | | 36,057 | |
| | 2,452 | | | | | Horizon Bancorp Inc. | | | 27,413 | |
| | 590 | | | | | Howard Bancorp Inc.* | | | 5,788 | |
See Notes to Financial Statements.
68
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | FINANCIALS — 12.9% — (continued) | |
|
| | Banks — 4.0% — (continued) | |
| | 2,876 | | | | | Independent Bank Corp. | | $ | 123,612 | |
| | 2,060 | | | | | Independent Bank Group Inc. | | | 95,790 | |
| | 3,064 | | | | | International Bancshares Corp. | | | 96,761 | |
| | 659 | | | | | Investar Holding Corp. | | | 8,962 | |
| | 12,814 | | | | | Investors Bancorp Inc. | | | 99,309 | |
| | 3,154 | | | | | Lakeland Bancorp Inc. | | | 33,527 | |
| | 1,410 | | | | | Lakeland Financial Corp. | | | 64,423 | |
| | 238 | | | | | Landmark Bancorp Inc. | | | 5,000 | |
| | 848 | | | | | LCNB Corp. | | | 12,432 | |
| | 228 | | | | | Level One Bancorp Inc. | | | 3,671 | |
| | 1,574 | | | | | Live Oak Bancshares Inc. | | | 34,911 | |
| | 2,001 | | | | | Macatawa Bank Corp. | | | 14,647 | |
| | 392 | | | | | Mackinac Financial Corp. | | | 3,928 | |
| | 314 | | | | | MainStreet Bancshares Inc.* | | | 4,026 | |
| | 1,126 | | | | | Mercantile Bank Corp. | | | 24,592 | |
| | 303 | | | | | Meridian Corp. | | | 4,445 | |
| | 937 | | | | | Metrocity Bankshares Inc. | | | 12,781 | |
| | 442 | | | | | Metropolitan Bank Holding Corp.* | | | 13,689 | |
| | 367 | | | | | Mid Penn Bancorp Inc. | | | 7,061 | |
| | 341 | | | | | Middlefield Banc Corp. | | | 6,479 | |
| | 1,365 | | | | | Midland States Bancorp Inc. | | | 19,943 | |
| | 770 | | | | | MidWestOne Financial Group Inc. | | | 14,622 | |
| | 708 | | | | | MVB Financial Corp. | | | 10,054 | |
| | 39,673 | | | | | National Bank Holdings Corp., Class A Shares | | | 1,128,300 | |
| | 376 | | | | | National Bankshares Inc. | | | 9,336 | |
| | 2,217 | | | | | NBT Bancorp Inc. | | | 67,552 | |
| | 519 | | | | | Nicolet Bankshares Inc.* | | | 31,150 | |
| | 318 | | | | | Northeast Bank | | | 5,934 | |
| | 464 | | | | | Northrim BanCorp Inc. | | | 12,486 | |
| | 377 | | | | | Norwood Financial Corp. | | | 9,331 | |
| | 304 | | | | | Oak Valley Bancorp | | | 4,104 | |
| | 3,538 | | | | | OceanFirst Financial Corp. | | | 55,228 | |
| | 2,769 | | | | | OFG Bancorp | | | 35,554 | |
| | 134 | | | | | Ohio Valley Banc Corp. | | | 3,055 | |
| | 8,980 | | | | | Old National Bancorp | | | 125,540 | |
| | 1,993 | | | | | Old Second Bancorp Inc. | | | 16,283 | |
| | 1,295 | | | | | Origin Bancorp Inc. | | | 30,666 | |
| | 454 | | | | | Orrstown Financial Services Inc. | | | 6,252 | |
| | 50,214 | | | | | Pacific Premier Bancorp Inc. | | | 1,134,334 | |
| | 28,705 | | | | | PacWest Bancorp | | | 547,691 | |
| | 799 | | | | | Park National Corp.(a) | | | 71,838 | |
| | 491 | | | | | Parke Bancorp Inc. | | | 6,039 | |
| | 634 | | | | | Partners Bancorp(b) | | | 3,474 | |
| | 473 | | | | | PCB Bancorp | | | 4,517 | |
| | 1,042 | | | | | Peapack Gladstone Financial Corp. | | | 17,714 | |
| | 484 | | | | | Penns Woods Bancorp Inc. | | | 10,043 | |
| | 1,252 | | | | | Peoples Bancorp Inc. | | | 26,467 | |
| | 165 | | | | | Peoples Bancorp of North Carolina Inc. | | | 2,805 | |
| | 428 | | | | | Peoples Financial Services Corp. | | | 15,596 | |
| | 23,400 | | | | | People’s United Financial Inc. | | | 247,572 | |
| | 4,165 | | | | | Pinnacle Financial Partners Inc. | | | 166,392 | |
| | 284 | | | | | Plumas Bancorp | | | 5,612 | |
| | 4,847 | | | | | Popular Inc. | | | 179,533 | |
| | 797 | | | | | Preferred Bank | | | 29,808 | |
| | 854 | | | | | Premier Financial Bancorp Inc. | | | 10,948 | |
See Notes to Financial Statements.
69
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | FINANCIALS — 12.9% — (continued) | |
|
| | Banks — 4.0% — (continued) | |
| | 323 | | | | | Professional Holding Corp., Class A Shares* | | $ | 3,737 | |
| | 4,956 | | | | | Prosperity Bancshares Inc. | | | 270,201 | |
| | 892 | | | | | QCR Holdings Inc. | | | 26,733 | |
| | 1,057 | | | | | RBB Bancorp | | | 13,709 | |
| | 322 | | | | | Red River Bancshares Inc. | | | 14,013 | |
| | 870 | | | | | Reliant Bancorp Inc. | | | 12,615 | |
| | 3,178 | | | | | Renasant Corp. | | | 80,626 | |
| | 549 | | | | | Republic Bancorp Inc., Class A Shares | | | 16,887 | |
| | 1,597 | | | | | Republic First Bancorp Inc.* | | | 3,338 | |
| | 617 | | | | | Richmond Mutual Bancorporation Inc. | | | 6,984 | |
| | 2,114 | | | | | S&T Bancorp Inc. | | | 42,692 | |
| | 151 | | | | | Salisbury Bancorp Inc. | | | 5,392 | |
| | 2,709 | | | | | Sandy Spring Bancorp Inc. | | | 64,799 | |
| | 398 | | | | | SB Financial Group Inc. | | | 5,508 | |
| | 2,622 | | | | | Seacoast Banking Corp. of Florida* | | | 53,069 | |
| | 823 | | | | | Select Bancorp Inc.* | | | 6,296 | |
| | 2,699 | | | | | ServisFirst Bancshares Inc. | | | 98,918 | |
| | 902 | | | | | Shore Bancshares Inc. | | | 8,795 | |
| | 850 | | | | | Sierra Bancorp | | | 15,190 | |
| | 7,402 | | | | | Signature Bank | | | 718,216 | |
| | 860 | | | | | Silvergate Capital Corp., Class A Shares* | | | 12,840 | |
| | 5,336 | | | | | Simmons First National Corp., Class A Shares | | | 91,086 | |
| | 947 | | | | | SmartFinancial Inc. | | | 13,040 | |
| | 781 | | | | | South Plains Financial Inc. | | | 11,153 | |
| | 3,855 | | | | | South State Corp. | | | 214,646 | |
| | 585 | | | | | Southern First Bancshares Inc.* | | | 15,152 | |
| | 1,730 | | | | | Southern National Bancorp of Virginia Inc. | | | 14,792 | |
| | 1,594 | | | | | Southside Bancshares Inc. | | | 43,923 | |
| | 867 | | | | | Spirit of Texas Bancshares Inc.* | | | 10,838 | |
| | 10,730 | | | | | Sterling Bancorp | | | 125,219 | |
| | 1,294 | | | | | Stock Yards Bancorp Inc. | | | 55,551 | |
| | 722 | | | | | Summit Financial Group Inc. | | | 10,650 | |
| | 8,163 | | | | | Synovus Financial Corp. | | | 178,525 | |
| | 64,129 | | | | | TCF Financial Corp. | | | 1,723,788 | |
| | 40,685 | | | | | Texas Capital Bancshares Inc.* | | | 1,317,787 | |
| | 828 | | | | | Tompkins Financial Corp. | | | 54,797 | |
| | 13,268 | | | | | Towne Bank | | | 235,242 | |
| | 1,515 | | | | | TriCo Bancshares | | | 41,950 | |
| | 1,684 | | | | | TriState Capital Holdings Inc.* | | | 23,408 | |
| | 1,150 | | | | | Triumph Bancorp Inc.* | | | 32,844 | |
| | 3,506 | | | | | Trustmark Corp. | | | 82,321 | |
| | 8,535 | | | | | UMB Financial Corp. | | | 458,500 | |
| | 50,604 | | | | | Umpqua Holdings Corp. | | | 570,813 | |
| | 6,837 | | | | | United Bankshares Inc. | | | 178,719 | |
| | 3,275 | | | | | United Community Banks Inc. | | | 59,343 | |
| | 508 | | | | | United Security Bancshares | | | 3,094 | |
| | 281 | | | | | Unity Bancorp Inc. | | | 3,732 | |
| | 1,763 | | | | | Univest Financial Corp. | | | 28,367 | |
| | 108,946 | | | | | Valley National Bancorp | | | 818,184 | |
| | 2,500 | | | | | Veritex Holdings Inc. | | | 44,950 | |
| | 1,040 | | | | | Washington Trust Bancorp Inc. | | | 34,715 | |
| | 4,990 | | | | | Webster Financial Corp. | | | 137,225 | |
| | 3,525 | | | | | WesBanco Inc. | | | 78,326 | |
| | 1,053 | | | | | West Bancorporation Inc. | | | 18,533 | |
| | 1,429 | | | | | Westamerica Bancorporation | | | 86,969 | |
See Notes to Financial Statements.
70
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | FINANCIALS — 12.9% — (continued) | |
|
| | Banks — 4.0% — (continued) | |
| | 5,491 | | | | | Western Alliance Bancorp | | $ | 193,832 | |
| | 3,196 | | | | | Wintrust Financial Corp. | | | 139,090 | |
| | 9,164 | | | | | Zions Bancorp NA | | | 294,714 | |
| | | | | | | | | | |
| | | | | | Total Banks | | | 24,467,776 | |
| | | | | | | | | | |
|
| | Capital Markets — 3.0% | |
| | 2,582 | | | | | Affiliated Managers Group Inc. | | | 177,254 | |
| | 5,413 | | | | | Ares Management Corp., Class A Shares | | | 218,956 | |
| | 2,985 | | | | | Artisan Partners Asset Management Inc., Class A Shares | | | 115,549 | |
| | 884 | | | | | Assetmark Financial Holdings Inc.* | | | 21,349 | |
| | 56 | | | | | Associated Capital Group Inc., Class A Shares | | | 2,164 | |
| | 1,114 | | | | | B. Riley Financial Inc. | | | 29,833 | |
| | 15,707 | | | | | BGC Partners Inc., Class A Shares | | | 39,582 | |
| | 2,610 | | | | | Blucora Inc.* | | | 31,137 | |
| | 3,491 | | | | | Brightsphere Investment Group Inc. | | | 48,385 | |
| | 825 | | | | | Calamos Asset Management Inc. (Restricted, cost $0, acquired 1/23/2020)*#(b)(c)(d) | | | — | |
| | 6,451 | | | | | Carlyle Group Inc. (The) | | | 166,500 | |
| | 53,414 | | | | | Charles Schwab Corp. (The) | | | 1,897,799 | |
| | 20,464 | | | | | Cohen & Steers Inc. | | | 1,238,072 | |
| | 1,400 | | | | | Cowen Inc., Class A Shares | | | 25,326 | |
| | 172 | | | | | Diamond Hill Investment Group Inc. | | | 21,313 | |
| | 1,782 | | | | | Donnelley Financial Solutions Inc.* | | | 19,424 | |
| | 6,112 | | | | | Eaton Vance Corp. | | | 250,714 | |
| | 11,541 | | | | | Evercore Inc., Class A Shares | | | 714,157 | |
| | 2,042 | | | | | FactSet Research Systems Inc. | | | 715,517 | |
| | 5,373 | | | | | Federated Hermes Inc., Class B Shares | | | 128,469 | |
| | 1,674 | | | | | Focus Financial Partners Inc., Class A Shares* | | | 59,243 | |
| | 205 | | | | | GAMCO Investors Inc., Class A Shares | | | 2,587 | |
| | 659 | | | | | Greenhill & Co., Inc. | | | 7,394 | |
| | 14,164 | | | | | Hamilton Lane Inc., Class A Shares | | | 1,035,530 | |
| | 2,415 | | | | | Houlihan Lokey Inc., Class A Shares | | | 141,519 | |
| | 20,763 | | | | | Invesco Ltd. | | | 211,783 | |
| | 5,605 | | | | | Lazard Ltd., Class A Shares | | | 177,510 | |
| | 15,548 | | | | | LPL Financial Holdings Inc. | | | 1,277,424 | |
| | 2,896 | | | | | Moelis & Co., Class A Shares | | | 92,411 | |
| | 9,974 | | | | | Moody’s Corp. | | | 2,938,739 | |
| | 1,187 | | | | | Morningstar Inc. | | | 190,098 | |
| | 8,537 | | | | | Nasdaq Inc. | | | 1,147,544 | |
| | 35,718 | | | | | Northern Trust Corp. | | | 2,924,947 | |
| | 410 | | | | | Oppenheimer Holdings Inc., Class A Shares | | | 10,016 | |
| | 958 | | | | | Piper Sandler Cos | | | 72,281 | |
| | 1,291 | | | | | PJT Partners Inc., Class A Shares | | | 76,401 | |
| | 552 | | | | | Pzena Investment Management Inc., Class A Shares | | | 2,732 | |
| | 1,386 | | | | | Safeguard Scientifics Inc. | | | 8,649 | |
| | 1,055 | | | | | Sculptor Capital Management Inc., Class A Shares | | | 13,472 | |
| | 6,367 | | | | | SEI Investments Co. | | | 333,376 | |
| | 309 | | | | | Siebert Financial Corp.* | | | 1,168 | |
| | 518 | | | | | Silvercrest Asset Management Group Inc., Class A Shares | | | 6,496 | |
| | 48,266 | | | | | Solar Capital Ltd. | | | 813,282 | |
| | 3,666 | | | | | Stifel Financial Corp. | | | 185,903 | |
| | 907 | | | | | StoneX Group Inc.* | | | 51,427 | |
| | 22,312 | | | | | TD Ameritrade Holding Corp. | | | 856,335 | |
| | 3,438 | | | | | Virtu Financial Inc., Class A Shares | | | 88,804 | |
| | 409 | | | | | Virtus Investment Partners Inc. | | | 58,037 | |
| | 3,652 | | | | | Waddell & Reed Financial Inc., Class A Shares | | | 57,519 | |
See Notes to Financial Statements.
71
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | FINANCIALS — 12.9% — (continued) | |
|
| | Capital Markets — 3.0% — (continued) | |
| | 331 | | | | | Westwood Holdings Group Inc. | | $ | 3,767 | |
| | 7,976 | | | | | WisdomTree Investments Inc. | | | 29,830 | |
| | | | | | | | | | |
| | | | | | Total Capital Markets | | | 18,737,724 | |
| | | | | | | | | | |
|
| | Consumer Finance — 0.3% | |
| | 20,583 | | | | | Ally Financial Inc. | | | 470,939 | |
| | 345 | | | | | Atlanticus Holdings Corp.* | | | 2,932 | |
| | 557 | | | | | Credit Acceptance Corp.* | | | 215,448 | |
| | 1,245 | | | | | Curo Group Holdings Corp. | | | 9,586 | |
| | 1,713 | | | | | Encore Capital Group Inc.* | | | 78,695 | |
| | 1,722 | | | | | Enova International Inc.* | | | 29,412 | |
| | 2,954 | | | | | EZCORP Inc., Class A Shares* | | | 15,893 | |
| | 2,217 | | | | | FirstCash Inc. | | | 132,466 | |
| | 2,786 | | | | | Green Dot Corp., Class A Shares* | | | 145,039 | |
| | 3,681 | | | | | LendingClub Corp.* | | | 19,620 | |
| | 435 | | | | | LendingTree Inc.* | | | 134,389 | |
| | 10,703 | | | | | Navient Corp. | | | 97,290 | |
| | 928 | | | | | Nelnet Inc., Class A Shares | | | 60,775 | |
| | 3,547 | | | | | OneMain Holdings Inc., Class A Shares | | | 103,147 | |
| | 1,053 | | | | | Oportun Financial Corp.* | | | 13,215 | |
| | 2,474 | | | | | PRA Group Inc.* | | | 115,474 | |
| | 359 | | | | | Regional Management Corp.* | | | 6,566 | |
| | 4,256 | | | | | Santander Consumer USA Holdings Inc. | | | 73,246 | |
| | 20,676 | | | | | SLM Corp. | | | 157,965 | |
| | 250 | | | | | World Acceptance Corp.* | | | 22,747 | |
| | | | | | | | | | |
| | | | | | Total Consumer Finance | | | 1,904,844 | |
| | | | | | | | | | |
|
| | Diversified Financial Services — 0.1% | |
| | 873 | | | | | Alerus Financial Corp. | | | 17,975 | |
| | 261 | | | | | A-Mark Precious Metals Inc.* | | | 6,243 | |
| | 1,751 | | | | | Banco Latinoamericano de Comercio Exterior SA, Class E Shares | | | 21,327 | |
| | 4,633 | | | | | Cannae Holdings Inc.* | | | 174,803 | |
| | 12,560 | | | | | Jefferies Financial Group Inc. | | | 220,303 | |
| | 329 | | | | | Marlin Business Services Corp. | | | 2,204 | |
| | 345 | | | | | SWK Holdings Corp.* | | | 4,395 | |
| | 6,949 | | | | | Voya Financial Inc. | | | 360,723 | |
| | | | | | | | | | |
| | | | | | Total Diversified Financial Services | | | 807,973 | |
| | | | | | | | | | |
|
| | Insurance — 4.7% | |
| | 772 | | | | | Alleghany Corp. | | | 428,120 | |
| | 2,471 | | | | | Ambac Financial Group Inc.* | | | 31,209 | |
| | 19,505 | | | | | American Equity Investment Life Holding Co. | | | 466,365 | |
| | 4,089 | | | | | American Financial Group Inc. | | | 273,350 | |
| | 413 | | | | | American National Group Inc. | | | 30,979 | |
| | 992 | | | | | AMERISAFE Inc. | | | 66,196 | |
| | 1,820 | | | | | Argo Group International Holdings Ltd. | | | 67,595 | |
| | 3,300 | | | | | Assurant Inc. | | | 401,148 | |
| | 4,665 | | | | | Assured Guaranty Ltd. | | | 100,064 | |
| | 6,399 | | | | | Athene Holding Ltd., Class A Shares* | | | 233,947 | |
| | 4,588 | | | | | Axis Capital Holdings Ltd. | | | 219,123 | |
| | 5,393 | | | | | Brighthouse Financial Inc.* | | | 163,732 | |
| | 13,083 | | | | | Brown & Brown Inc. | | | 607,051 | |
| | 36,332 | | | | | BRP Group Inc., Class A Shares* | | | 999,493 | |
| | 27,124 | | | | | Chubb Ltd. | | | 3,390,500 | |
| | 2,289 | | | | | Citizens Inc., Class A Shares*(a) | | | 13,391 | |
See Notes to Financial Statements.
72
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | FINANCIALS — 12.9% — (continued) | |
|
| | Insurance — 4.7% — (continued) | |
| | 8,002 | | | | | CNO Financial Group Inc. | | $ | 130,433 | |
| | 698 | | | | | Crawford & Co., Class A Shares | | | 4,788 | |
| | 558 | | | | | Donegal Group Inc., Class A Shares | | | 8,052 | |
| | 1,397 | | | | | eHealth Inc.* | | | 88,179 | |
| | 1,059 | | | | | Employers Holdings Inc. | | | 34,502 | |
| | 670 | | | | | Enstar Group Ltd.* | | | 119,923 | |
| | 1,385 | | | | | Erie Indemnity Co., Class A Shares | | | 295,614 | |
| | 5,528 | | | | | Everest Re Group Ltd. | | | 1,216,602 | |
| | 548 | | | | | FBL Financial Group Inc., Class A Shares | | | 20,303 | |
| | 812 | | | | | FedNat Holding Co. | | | 6,894 | |
| | 5,991 | | | | | First American Financial Corp. | | | 314,947 | |
| | 27,702 | | | | | Genworth Financial Inc., Class A Shares* | | | 83,660 | |
| | 5,795 | | | | | Globe Life Inc. | | | 477,972 | |
| | 715 | | | | | Goosehead Insurance Inc., Class A Shares | | | 73,473 | |
| | 1,274 | | | | | Greenlight Capital Re Ltd., Class A Shares* | | | 9,262 | |
| | 2,133 | | | | | Hanover Insurance Group Inc. (The) | | | 218,611 | |
| | 409 | | | | | HCI Group Inc. | | | 22,381 | |
| | 1,523 | | | | | Heritage Insurance Holdings Inc. | | | 19,875 | |
| | 1,891 | | | | | Horace Mann Educators Corp. | | | 73,862 | |
| | 214 | | | | | Independence Holding Co. | | | 7,490 | |
| | 67 | | | | | Investors Title Co. | | | 9,116 | |
| | 1,634 | | | | | James River Group Holdings Ltd. | | | 79,592 | |
| | 3,410 | | | | | Kemper Corp. | | | 264,821 | |
| | 1,149 | | | | | Kinsale Capital Group Inc. | | | 238,107 | |
| | 3,114 | | | | | Markel Corp.* | | | 3,384,389 | |
| | 4,155 | | | | | MBIA Inc.* | | | 33,697 | |
| | 1,523 | | | | | Mercury General Corp. | | | 68,124 | |
| | 28,710 | | | | | MetLife Inc. | | | 1,104,187 | |
| | 3,810 | | | | | National General Holdings Corp. | | | 129,731 | |
| | 154 | | | | | National Western Life Group Inc., Class A Shares | | | 33,878 | |
| | 380 | | | | | NI Holdings Inc.* | | | 6,202 | |
| | 15,959 | | | | | Old Republic International Corp. | | | 257,100 | |
| | 18,146 | | | | | Palomar Holdings Inc., Class A Shares*(b) | | | 2,038,703 | |
| | 12,561 | | | | | Primerica Inc. | | | 1,568,241 | |
| | 2,768 | | | | | ProAssurance Corp. | | | 42,406 | |
| | 465 | | | | | ProSight Global Inc.* | | | 4,408 | |
| | 420 | | | | | Protective Insurance Corp., Class B Shares | | | 6,031 | |
| | 8,191 | | | | | Reinsurance Group of America Inc., Class A Shares | | | 750,951 | |
| | 2,695 | | | | | RenaissanceRe Holdings Ltd. | | | 495,179 | |
| | 2,174 | | | | | RLI Corp. | | | 203,899 | |
| | 804 | | | | | Safety Insurance Group Inc. | | | 58,210 | |
| | 3,252 | | | | | Selective Insurance Group Inc. | | | 194,502 | |
| | 1,024 | | | | | State Auto Financial Corp. | | | 15,800 | |
| | 888 | | | | | Stewart Information Services Corp. | | | 37,891 | |
| | 4,714 | | | | | Third Point Reinsurance Ltd.* | | | 40,352 | |
| | 1,343 | | | | | Tiptree Inc. | | | 7,575 | |
| | 43,411 | | | | | Travelers Cos., Inc. (The) | | | 5,037,412 | |
| | 1,637 | | | | | Trupanion Inc.* | | | 102,689 | |
| | 1,194 | | | | | United Fire Group Inc. | | | 30,065 | |
| | 904 | | | | | United Insurance Holdings Corp. | | | 6,843 | |
| | 1,507 | | | | | Universal Insurance Holdings Inc. | | | 27,955 | |
| | 11,359 | | | | | Unum Group | | | 209,914 | |
| | 1,129 | | | | | Watford Holdings Ltd.* | | | 18,064 | |
| | 1,737 | | | | | White Mountains Insurance Group Ltd. | | | 1,548,362 | |
See Notes to Financial Statements.
73
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | FINANCIALS — 12.9% — (continued) | |
|
| | Insurance — 4.7% — (continued) | |
| | 7,748 | | | | | WR Berkley Corp. | | $ | 480,763 | |
| | | | | | | | | | |
| | | | | | Total Insurance | | | 29,254,245 | |
| | | | | | | | | | |
|
| | Mortgage Real Estate Investment Trusts (REITs) — 0.4% | |
| | 31,240 | | | | | AGNC Investment Corp. | | | 440,796 | |
| | 4,060 | | | | | Anworth Mortgage Asset Corp. | | | 7,024 | |
| | 8,462 | | | | | Apollo Commercial Real Estate Finance Inc. | | | 75,650 | |
| | 5,653 | | | | | Arbor Realty Trust Inc.(a) | | | 63,992 | |
| | 1,963 | | | | | Ares Commercial Real Estate Corp. | | | 19,552 | |
| | 1,767 | | | | | Arlington Asset Investment Corp., Class A Shares | | | 4,806 | |
| | 3,544 | | | | | ARMOUR Residential REIT Inc. | | | 34,341 | |
| | 7,522 | | | | | Blackstone Mortgage Trust Inc., Class A Shares | | | 178,798 | |
| | 7,043 | | | | | Broadmark Realty Capital Inc. | | | 69,021 | |
| | 5,021 | | | | | Capstead Mortgage Corp. | | | 30,980 | |
| | 783 | | | | | Cherry Hill Mortgage Investment Corp. | | | 7,486 | |
| | 10,549 | | | | | Chimera Investment Corp. | | | 93,781 | |
| | 4,765 | | | | | Colony Credit Real Estate Inc. | | | 28,685 | |
| | 1,280 | | | | | Dynex Capital Inc. | | | 20,275 | |
| | 2,422 | | | | | Ellington Financial Inc. | | | 30,178 | |
| | 486 | | | | | Ellington Residential Mortgage REIT | | | 5,521 | |
| | 2,525 | | | | | Granite Point Mortgage Trust Inc. | | | 16,766 | |
| | 1,102 | | | | | Great Ajax Corp. | | | 10,050 | |
| | 10,767 | | | | | Hannon Armstrong Sustainable Infrastructure Capital Inc. | | | 457,167 | |
| | 8,478 | | | | | Invesco Mortgage Capital Inc.(a) | | | 25,434 | |
| | 1,471 | | | | | KKR Real Estate Finance Trust Inc. | | | 26,772 | |
| | 5,714 | | | | | Ladder Capital Corp., Class A Shares | | | 42,569 | |
| | 24,913 | | | | | MFA Financial Inc. | | | 66,767 | |
| | 22,839 | | | | | New Residential Investment Corp. | | | 176,774 | |
| | 21,021 | | | | | New York Mortgage Trust Inc. | | | 55,496 | |
| | 3,629 | | | | | Orchid Island Capital Inc., Class A Shares | | | 18,544 | |
| | 5,425 | | | | | PennyMac Mortgage Investment Trust | | | 92,985 | |
| | 2,023 | | | | | Ready Capital Corp. | | | 20,695 | |
| | 6,352 | | | | | Redwood Trust Inc. | | | 44,019 | |
| | 15,051 | | | | | Starwood Property Trust Inc. | | | 234,796 | |
| | 3,378 | | | | | TPG RE Finance Trust Inc. | | | 29,794 | |
| | 14,962 | | | | | Two Harbors Investment Corp. | | | 81,543 | |
| | 2,534 | | | | | Western Asset Mortgage Capital Corp. | | | 5,752 | |
| | | | | | | | | | |
| | | | | | Total Mortgage Real Estate Investment Trusts (REITs) | | | 2,516,809 | |
| | | | | | | | | | |
|
| | Thrifts & Mortgage Finance — 0.4% | |
| | 3,233 | | | | | Axos Financial Inc.* | | | 80,114 | |
| | 506 | | | | | Bogota Financial Corp.* | | | 3,577 | |
| | 1,595 | | | | | Bridgewater Bancshares Inc.* | | | 15,503 | |
| | 7,332 | | | | | Capitol Federal Financial Inc. | | | 68,481 | |
| | 2,907 | | | | | Columbia Financial Inc.* | | | 31,018 | |
| | 639 | | | | | ESSA Bancorp Inc. | | | 8,179 | |
| | 5,943 | | | | | Essent Group Ltd. | | | 212,165 | |
| | 537 | | | | | Federal Agricultural Mortgage Corp., Class C Shares | | | 36,597 | |
| | 1,986 | | | | | Flagstar Bancorp Inc. | | | 62,400 | |
| | 171 | | | | | FS Bancorp Inc. | | | 6,775 | |
| | 75 | | | | | Greene County Bancorp Inc. | | | 1,760 | |
| | 84 | | | | | Hingham Institution for Savings | | | 15,402 | |
| | 539 | | | | | Home Bancorp Inc. | | | 13,022 | |
| | 838 | | | | | HomeStreet Inc. | | | 22,936 | |
| | 4,255 | | | | | Kearny Financial Corp. | | | 33,019 | |
See Notes to Financial Statements.
74
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | FINANCIALS — 12.9% — (continued) | |
|
| | Thrifts & Mortgage Finance — 0.4% — (continued) | |
| | 1,062 | | | | | Luther Burbank Corp. | | $ | 9,866 | |
| | 630 | | | | | Merchants Bancorp | | | 12,839 | |
| | 2,841 | | | | | Meridian Bancorp Inc. | | | 33,069 | |
| | 1,755 | | | | | Meta Financial Group Inc. | | | 33,836 | |
| | 18,837 | | | | | MGIC Investment Corp. | | | 172,735 | |
| | 202 | | | | | MMA Capital Holdings Inc.* | | | 4,743 | |
| | 4,348 | | | | | Mr Cooper Group Inc.* | | | 79,677 | |
| | 24,848 | | | | | New York Community Bancorp Inc. | | | 224,874 | |
| | 3,689 | | | | | NMI Holdings Inc., Class A Shares* | | | 63,266 | |
| | 2,608 | | | | | Northfield Bancorp Inc. | | | 25,193 | |
| | 6,414 | | | | | Northwest Bancshares Inc. | | | 64,846 | |
| | 581 | | | | | OP Bancorp | | | 3,544 | |
| | 738 | | | | | PCSB Financial Corp. | | | 9,358 | |
| | 270 | | | | | PDL Community Bancorp* | | | 2,190 | |
| | 2,543 | | | | | PennyMac Financial Services Inc. | | | 134,067 | |
| | 545 | | | | | Pioneer Bancorp Inc.* | | | 4,382 | |
| | 2,132 | | | | | Premier Financial Corp. | | | 38,962 | |
| | 375 | | | | | Provident Bancorp Inc. | | | 2,918 | |
| | 253 | | | | | Provident Financial Holdings Inc. | | | 3,013 | |
| | 3,829 | | | | | Provident Financial Services Inc. | | | 50,466 | |
| | 276 | | | | | Prudential Bancorp Inc. | | | 2,730 | |
| | 10,559 | | | | | Radian Group Inc. | | | 163,031 | |
| | 886 | | | | | Riverview Bancorp Inc. | | | 3,659 | |
| | 664 | | | | | Security National Financial Corp., Class A Shares* | | | 4,197 | |
| | 517 | | | | | Southern Missouri Bancorp Inc. | | | 12,243 | |
| | 228 | | | | | Standard AVB Financial Corp. | | | 4,207 | |
| | 662 | | | | | Sterling Bancorp Inc. | | | 1,966 | |
| | 521 | | | | | Territorial Bancorp Inc. | | | 11,024 | |
| | 2,578 | | | | | TFS Financial Corp. | | | 39,830 | |
| | 287 | | | | | Timberland Bancorp Inc. | | | 5,020 | |
| | 4,938 | | | | | TrustCo Bank Corp. NY | | | 29,430 | |
| | 1,569 | | | | | Walker & Dunlop Inc. | | | 85,950 | |
| | 4,252 | | | | | Washington Federal Inc. | | | 99,709 | |
| | 1,142 | | | | | Waterstone Financial Inc. | | | 17,690 | |
| | 950 | | | | | Western New England Bancorp Inc. | | | 4,864 | |
| | 15,942 | | | | | WSFS Financial Corp. | | | 467,101 | |
| | | | | | | | | | |
| | | | | | Total Thrifts & Mortgage Finance | | | 2,537,443 | |
| | | | | | | | | | |
| | | | | | TOTAL FINANCIALS | | | 80,226,814 | |
| | | | | | | | | | |
|
| | HEALTH CARE — 18.0% | |
|
| | Biotechnology — 4.1% | |
| | 235 | | | | | 89bio Inc.* | | | 9,048 | |
| | 3,868 | | | | | Abeona Therapeutics Inc.* | | | 9,090 | |
| | 6,020 | | | | | ACADIA Pharmaceuticals Inc.* | | | 238,332 | |
| | 16,868 | | | | | Acceleron Pharma Inc.* | | | 1,644,124 | |
| | 3,377 | | | | | ADMA Biologics Inc.*(a) | | | 8,611 | |
| | 4,354 | | | | | Aduro Biotech Inc.* | | | 13,497 | |
| | 4,007 | | | | | Adverum Biotechnologies Inc.* | | | 48,885 | |
| | 2,283 | | | | | Aeglea BioTherapeutics Inc.* | | | 16,609 | |
| | 4,007 | | | | | Affimed NV* | | | 13,824 | |
| | 7,595 | | | | | Agenus Inc.* | | | 33,076 | |
| | 3,376 | | | | | Agios Pharmaceuticals Inc.* | | | 138,450 | |
| | 2,636 | | | | | Aimmune Therapeutics Inc.* | | | 90,204 | |
| | 876 | | | | | Akcea Therapeutics Inc.* | | | 16,013 | |
See Notes to Financial Statements.
75
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | HEALTH CARE — 18.0% — (continued) | |
|
| | Biotechnology — 4.1% — (continued) | |
| | 7,120 | | | | | Akebia Therapeutics Inc.* | | $ | 74,119 | |
| | 611 | | | | | Akero Therapeutics Inc.* | | | 19,919 | |
| | 724 | | | | | Albireo Pharma Inc.* | | | 20,142 | |
| | 2,535 | | | | | Alector Inc.* | | | 32,752 | |
| | 8,667 | | | | | Alkermes PLC* | | | 143,352 | |
| | 1,333 | | | | | Allakos Inc.*(a) | | | 119,410 | |
| | 2,653 | | | | | Allogene Therapeutics Inc.* | | | 94,579 | |
| | 13,900 | | | | | Amicus Therapeutics Inc.* | | | 202,940 | |
| | 1,171 | | | | | AnaptysBio Inc.* | | | 20,293 | |
| | 2,783 | | | | | Anavex Life Sciences Corp.* | | | 11,800 | |
| | 802 | | | | | Anika Therapeutics Inc.* | | | 30,741 | |
| | 3,285 | | | | | Apellis Pharmaceuticals Inc.* | | | 101,277 | |
| | 1,265 | | | | | Applied Genetic Technologies Corp.* | | | 6,502 | |
| | 730 | | | | | Applied Therapeutics Inc.* | | | 17,593 | |
| | 346 | | | | | Aprea Therapeutics Inc.* | | | 9,377 | |
| | 1,282 | | | | | Aptinyx Inc.* | | | 4,243 | |
| | 655 | | | | | Aravive Inc.* | | | 3,734 | |
| | 711 | | | | | Arcturus Therapeutics Holdings Inc.* | | | 34,299 | |
| | 1,834 | | | | | Arcus Biosciences Inc.* | | | 43,649 | |
| | 532 | | | | | Arcutis Biotherapeutics Inc.* | | | 13,337 | |
| | 3,971 | | | | | Ardelyx Inc.* | | | 22,794 | |
| | 3,088 | | | | | Arena Pharmaceuticals Inc.* | | | 215,604 | |
| | 5,492 | | | | | Arrowhead Pharmaceuticals Inc.* | | | 231,982 | |
| | 11,040 | | | | | Ascendis Pharma AS, ADR* | | | 1,635,907 | |
| | 1,672 | | | | | Assembly Biosciences Inc.* | | | 36,567 | |
| | 3,125 | | | | | Atara Biotherapeutics Inc.* | | | 42,125 | |
| | 4,023 | | | | | Athenex Inc.* | | | 46,224 | |
| | 9,424 | | | | | Athersys Inc.* | | | 20,544 | |
| | 1,153 | | | | | Atreca Inc., Class A Shares* | | | 16,396 | |
| | 864 | | | | | AVEO Pharmaceuticals Inc.* | | | 4,113 | |
| | 3,072 | | | | | Avid Bioservices Inc.* | | | 25,774 | |
| | 1,693 | | | | | Avrobio Inc.* | | | 29,323 | |
| | 805 | | | | | Axcella Health Inc.* | | | 4,025 | |
| | 617 | | | | | Beam Therapeutics Inc.* | | | 15,493 | |
| | 748 | | | | | Beyondspring Inc.* | | | 9,298 | |
| | 8,443 | | | | | BioCryst Pharmaceuticals Inc.* | | | 35,038 | |
| | 2,584 | | | | | Biohaven Pharmaceutical Holding Co., Ltd.* | | | 163,800 | |
| | 335 | | | | | BioSpecifics Technologies Corp.* | | | 21,608 | |
| | 579 | | | | | Bioxcel Therapeutics Inc.* | | | 23,594 | |
| | 614 | | | | | Black Diamond Therapeutics Inc.* | | | 17,665 | |
| | 3,555 | | | | | Bluebird Bio Inc.* | | | 210,812 | |
| | 24,348 | | | | | Blueprint Medicines Corp.* | | | 1,885,266 | |
| | 1,464 | | | | | BrainStorm Cell Therapeutics Inc.* | | | 18,461 | |
| | 3,979 | | | | | Bridgebio Pharma Inc.* | | | 118,813 | |
| | 661 | | | | | Cabaletta Bio Inc.* | | | 6,974 | |
| | 3,348 | | | | | Calithera Biosciences Inc.* | | | 13,492 | |
| | 526 | | | | | Calyxt Inc.* | | | 2,859 | |
| | 2,343 | | | | | CareDx Inc.* | | | 80,013 | |
| | 3,407 | | | | | CASI Pharmaceuticals Inc.* | | | 5,826 | |
| | 491 | | | | | Castle Biosciences Inc.* | | | 22,453 | |
| | 952 | | | | | Catabasis Pharmaceuticals Inc.* | | | 6,283 | |
| | 944 | | | | | Catalyst Biosciences Inc.* | | | 4,928 | |
| | 5,270 | | | | | Catalyst Pharmaceuticals Inc.* | | | 17,286 | |
| | 768 | | | | | Cellular Biomedicine Group Inc.* | | | 14,269 | |
| | 1,653 | | | | | CEL-SCI Corp.*(a) | | | 21,373 | |
See Notes to Financial Statements.
76
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | HEALTH CARE — 18.0% — (continued) | |
|
| | Biotechnology — 4.1% — (continued) | |
| | 227 | | | | | Centogene NV* | | $ | 2,633 | |
| | 1,139 | | | | | Checkpoint Therapeutics Inc.* | | | 2,483 | |
| | 2,438 | | | | | ChemoCentryx Inc.* | | | 130,433 | |
| | 2,890 | | | | | Chimerix Inc.* | | | 8,121 | |
| | 1,796 | | | | | Cidara Therapeutics Inc.* | | | 5,711 | |
| | 3,903 | | | | | Clovis Oncology Inc.*(a) | | | 20,335 | |
| | 1,995 | | | | | Cohbar Inc.* | | | 1,861 | |
| | 3,168 | | | | | Coherus Biosciences Inc.* | | | 60,097 | |
| | 1,457 | | | | | Concert Pharmaceuticals Inc.* | | | 14,016 | |
| | 1,476 | | | | | Constellation Pharmaceuticals Inc.* | | | 31,070 | |
| | 710 | | | | | ContraFect Corp.* | | | 3,884 | |
| | 3,572 | | | | | Corbus Pharmaceuticals Holdings Inc.* | | | 33,166 | |
| | 858 | | | | | Cortexyme Inc.*(a) | | | 37,726 | |
| | 1,461 | | | | | Crinetics Pharmaceuticals Inc.* | | | 23,420 | |
| | 1,517 | | | | | Cue Biopharma Inc.* | | | 27,109 | |
| | 993 | | | | | Cyclerion Therapeutics Inc.* | | | 6,772 | |
| | 3,053 | | | | | Cytokinetics Inc.* | | | 73,150 | |
| | 2,753 | | | | | CytomX Therapeutics Inc.* | | | 20,097 | |
| | 2,048 | | | | | Deciphera Pharmaceuticals Inc.* | | | 92,181 | |
| | 3,439 | | | | | Denali Therapeutics Inc.* | | | 109,704 | |
| | 432 | | | | | DermTech Inc.* | | | 5,085 | |
| | 3,548 | | | | | Dicerna Pharmaceuticals Inc.* | | | 65,709 | |
| | 1,057 | | | | | Dyadic International Inc.*(a) | | | 8,403 | |
| | 4,861 | | | | | Dynavax Technologies Corp., Class A Shares*(a) | | | 29,069 | |
| | 586 | | | | | Eagle Pharmaceuticals Inc.* | | | 23,253 | |
| | 3,036 | | | | | Editas Medicine Inc.* | | | 106,958 | |
| | 9,533 | | | | | Eidos Therapeutics Inc.* | | | 412,588 | |
| | 1,397 | | | | | Eiger BioPharmaceuticals Inc.* | | | 15,605 | |
| | 2,441 | | | | | Emergent BioSolutions Inc.* | | | 278,396 | |
| | 1,031 | | | | | Enanta Pharmaceuticals Inc.* | | | 53,808 | |
| | 1,204 | | | | | Enochian Biosciences Inc.* | | | 4,912 | |
| | 4,880 | | | | | Epizyme Inc.* | | | 63,440 | |
| | 1,424 | | | | | Esperion Therapeutics Inc.*(a) | | | 51,406 | |
| | 594 | | | | | Evelo Biosciences Inc.* | | | 2,637 | |
| | 16,714 | | | | | Exelixis Inc.* | | | 371,385 | |
| | 3,120 | | | | | Exicure Inc.* | | | 6,209 | |
| | 18,570 | | | | | Fate Therapeutics Inc.* | | | 675,948 | |
| | 1,180 | | | | | Fennec Pharmaceuticals Inc.*(a) | | | 6,466 | |
| | 4,546 | | | | | FibroGen Inc.* | | | 203,797 | |
| | 1,231 | | | | | Five Prime Therapeutics Inc.* | | | 5,256 | |
| | 2,029 | | | | | Flexion Therapeutics Inc.* | | | 23,658 | |
| | 3,102 | | | | | Fortress Biotech Inc.* | | | 12,268 | |
| | 1,539 | | | | | Frequency Therapeutics Inc.*(a) | | | 29,764 | |
| | 1,981 | | | | | G1 Therapeutics Inc.* | | | 30,408 | |
| | 1,363 | | | | | Galectin Therapeutics Inc.* | | | 3,612 | |
| | 508 | | | | | Galera Therapeutics Inc.* | | | 3,968 | |
| | 1,520 | | | | | Genprex Inc.*(a) | | | 6,019 | |
| | 10,264 | | | | | Geron Corp.*(a) | | | 21,041 | |
| | 11,368 | | | | | Global Blood Therapeutics Inc.* | | | 713,683 | |
| | 1,545 | | | | | GlycoMimetics Inc.* | | | 5,701 | |
| | 2,708 | | | | | Gossamer Bio Inc.* | | | 37,641 | |
| | 1,742 | | | | | Gritstone Oncology Inc.* | | | 5,766 | |
| | 7,430 | | | | | Halozyme Therapeutics Inc.* | | | 215,433 | |
| | 576 | | | | | Harpoon Therapeutics Inc.* | | | 7,926 | |
See Notes to Financial Statements.
77
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | HEALTH CARE — 18.0% — (continued) | |
|
| | Biotechnology — 4.1% — (continued) | |
| | 4,724 | | | | | Heron Therapeutics Inc.* | | $ | 67,553 | |
| | 1,849 | | | | | Homology Medicines Inc.* | | | 19,655 | |
| | 627 | | | | | Hookipa Pharma Inc.* | | | 5,605 | |
| | 3,187 | | | | | iBio Inc.*(a) | | | 6,661 | |
| | 661 | | | | | Ideaya Biosciences Inc.* | | | 7,998 | |
| | 388 | | | | | IGM Biosciences Inc.* | | | 16,684 | |
| | 323 | | | | | Immunic Inc.* | | | 5,184 | |
| | 8,987 | | | | | ImmunoGen Inc.* | | | 33,252 | |
| | 11,339 | | | | | Immunomedics Inc.* | | | 505,266 | |
| | 1,046 | | | | | Immunovant Inc.* | | | 35,522 | |
| | 7,871 | | | | | Inovio Pharmaceuticals Inc.*(a) | | | 94,373 | |
| | 54,927 | | | | | Insmed Inc.* | | | 1,548,392 | |
| | 2,450 | | | | | Intellia Therapeutics Inc.* | | | 52,871 | |
| | 1,416 | | | | | Intercept Pharmaceuticals Inc.*(a) | | | 70,630 | |
| | 6,312 | | | | | Invitae Corp.* | | | 220,668 | |
| | 7,191 | | | | | Ionis Pharmaceuticals Inc.* | | | 391,910 | |
| | 7,440 | | | | | Iovance Biotherapeutics Inc.* | | | 247,975 | |
| | 121,830 | | | | | Ironwood Pharmaceuticals Inc., Class A Shares* | | | 1,230,483 | |
| | 2,474 | | | | | IVERIC bio Inc.* | | | 11,108 | |
| | 747 | | | | | Jounce Therapeutics Inc.* | | | 3,616 | |
| | 8,288 | | | | | Kadmon Holdings Inc.* | | | 41,440 | |
| | 910 | | | | | KalVista Pharmaceuticals Inc.* | | | 11,921 | |
| | 848 | | | | | Karuna Therapeutics Inc.* | | | 64,787 | |
| | 3,837 | | | | | Karyopharm Therapeutics Inc.* | | | 58,361 | |
| | 384 | | | | | Keros Therapeutics Inc.* | | | 20,559 | |
| | 1,825 | | | | | Kezar Life Sciences Inc.* | | | 8,870 | |
| | 1,656 | | | | | Kindred Biosciences Inc.* | | | 8,214 | |
| | 1,042 | | | | | Kiniksa Pharmaceuticals Ltd., Class A Shares* | | | 18,412 | |
| | 1,582 | | | | | Kodiak Sciences Inc.* | | | 83,197 | |
| | 697 | | | | | Krystal Biotech Inc.* | | | 33,324 | |
| | 2,899 | | | | | Kura Oncology Inc.* | | | 72,156 | |
| | 798 | | | | | La Jolla Pharmaceutical Co.*(a) | | | 3,352 | |
| | 1,501 | | | | | Lexicon Pharmaceuticals Inc.*(a) | | | 2,627 | |
| | 796 | | | | | Ligand Pharmaceuticals Inc.*(a) | | | 81,192 | |
| | 748 | | | | | LogicBio Therapeutics Inc.* | | | 4,712 | |
| | 2,583 | | | | | MacroGenics Inc.* | | | 74,752 | |
| | 493 | | | | | Madrigal Pharmaceuticals Inc.* | | | 53,096 | |
| | 815 | | | | | Magenta Therapeutics Inc.* | | | 5,925 | |
| | 12,398 | | | | | MannKind Corp.* | | | 21,573 | |
| | 1,128 | | | | | Marker Therapeutics Inc.*(a) | | | 2,030 | |
| | 2,415 | | | | | MediciNova Inc.* | | | 12,655 | |
| | 6,139 | | | | | MEI Pharma Inc.* | | | 16,698 | |
| | 1,099 | | | | | MeiraGTx Holdings PLC* | | | 14,298 | |
| | 2,509 | | | | | Mersana Therapeutics Inc.* | | | 48,072 | |
| | 1,669 | | | | | Minerva Neurosciences Inc.* | | | 5,307 | |
| | 2,011 | | | | | Mirati Therapeutics Inc.* | | | 300,383 | |
| | 194 | | | | | Mirum Pharmaceuticals Inc.*(a) | | | 5,036 | |
| | 1,052 | | | | | Molecular Templates Inc.* | | | 12,214 | |
| | 15,545 | | | | | Momenta Pharmaceuticals Inc.* | | | 810,983 | |
| | 748 | | | | | Morphic Holding Inc.* | | | 19,822 | |
| | 1,465 | | | | | Mustang Bio Inc.* | | | 4,791 | |
| | 4,004 | | | | | Myriad Genetics Inc.* | | | 53,534 | |
| | 1,592 | | | | | NantKwest Inc.*(a) | | | 11,622 | |
| | 3,818 | | | | | Natera Inc.* | | | 243,245 | |
See Notes to Financial Statements.
78
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | HEALTH CARE — 18.0% — (continued) | |
|
| | Biotechnology — 4.1% — (continued) | |
| | 1,619 | | | | | Neoleukin Therapeutics Inc.* | | $ | 20,578 | |
| | 950 | | | | | Neubase Therapeutics Inc.* | | | 7,629 | |
| | 5,063 | | | | | Neurocrine Biosciences Inc.* | | | 589,435 | |
| | 960 | | | | | NextCure Inc.* | | | 8,630 | |
| | 3,189 | | | | | Novavax Inc.*(a) | | | 351,874 | |
| | 2,127 | | | | | Nymox Pharmaceutical Corp.* | | | 5,360 | |
| | 2,214 | | | | | Oncocyte Corp.* | | | 2,768 | |
| | 19 | | | | | Oncternal Therapeutics Inc.*(b)(d) | | | 39 | |
| | 21,781 | | | | | OPKO Health Inc.* | | | 70,570 | |
| | 519 | | | | | Organogenesis Holdings Inc., Class A Shares* | | | 2,234 | |
| | 941 | | | | | Orgenesis Inc.* | | | 4,959 | |
| | 478 | | | | | ORIC Pharmaceuticals Inc.*(a) | | | 11,974 | |
| | 2,352 | | | | | Ovid therapeutics Inc.* | | | 13,501 | |
| | 307 | | | | | Oyster Point Pharma Inc.* | | | 6,987 | |
| | 743 | | | | | Passage Bio Inc.* | | | 12,304 | |
| | 6,102 | | | | | PDL BioPharma Inc.* | | | 20,442 | |
| | 2,052 | | | | | Pfenex Inc.* | | | 25,712 | |
| | 567 | | | | | PhaseBio Pharmaceuticals Inc.*(a) | | | 2,189 | |
| | 3,285 | | | | | Pieris Pharmaceuticals Inc.* | | | 9,395 | |
| | 3,925 | | | | | Precigen Inc.*(a) | | | 23,746 | |
| | 2,470 | | | | | Precision BioSciences Inc.* | | | 13,931 | |
| | 746 | | | | | Prevail Therapeutics Inc.* | | | 9,139 | |
| | 1,609 | | | | | Principia Biopharma Inc.* | | | 160,916 | |
| | 1,341 | | | | | Protagonist Therapeutics Inc.* | | | 30,038 | |
| | 145 | | | | | Protara Therapeutics Inc.* | | | 3,103 | |
| | 1,690 | | | | | Prothena Corp. PLC* | | | 21,902 | |
| | 3,379 | | | | | PTC Therapeutics Inc.* | | | 167,007 | |
| | 1,741 | | | | | Puma Biotechnology Inc.* | | | 17,915 | |
| | 2,482 | | | | | Radius Health Inc.* | | | 30,727 | |
| | 599 | | | | | RAPT Therapeutics Inc.* | | | 15,933 | |
| | 1,859 | | | | | REGENXBIO Inc.* | | | 56,737 | |
| | 1,004 | | | | | Replimune Group Inc.* | | | 27,108 | |
| | 2,198 | | | | | Retrophin Inc.* | | | 43,059 | |
| | 722 | | | | | REVOLUTION Medicines Inc.* | | | 20,462 | |
| | 1,813 | | | | | Rhythm Pharmaceuticals Inc.* | | | 53,502 | |
| | 9,148 | | | | | Rigel Pharmaceuticals Inc.* | | | 22,779 | |
| | 26,912 | | | | | Rocket Pharmaceuticals Inc.* | | | 688,140 | |
| | 2,112 | | | | | Rubius Therapeutics Inc.* | | | 10,169 | |
| | 2,813 | | | | | Sage Therapeutics Inc.* | | | 147,514 | |
| | 6,530 | | | | | Sangamo Therapeutics Inc.* | | | 72,059 | |
| | 4,098 | | | | | Sarepta Therapeutics Inc.* | | | 600,029 | |
| | 2,794 | | | | | Savara Inc.* | | | 4,079 | |
| | 1,271 | | | | | Scholar Rock Holding Corp.* | | | 19,192 | |
| | 3,599 | | | | | Selecta Biosciences Inc.*(a) | | | 9,357 | |
| | 2,170 | | | | | Seres Therapeutics Inc.* | | | 57,483 | |
| | 2,415 | | | | | Soleno Therapeutics Inc.* | | | 5,168 | |
| | 1,724 | | | | | Solid Biosciences Inc.* | | | 4,120 | |
| | 9,539 | | | | | Sorrento Therapeutics Inc.*(a) | | | 76,407 | |
| | 6,072 | | | | | Spectrum Pharmaceuticals Inc.* | | | 25,563 | |
| | 771 | | | | | Spero Therapeutics Inc.* | | | 8,381 | |
| | 1,163 | | | | | SpringWorks Therapeutics Inc.* | | | 51,649 | |
| | 669 | | | | | Stoke Therapeutics Inc.* | | | 19,649 | |
| | 1,013 | | | | | Sutro Biopharma Inc.* | | | 10,140 | |
| | 1,524 | | | | | Syndax Pharmaceuticals Inc.* | | | 24,856 | |
See Notes to Financial Statements.
79
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | HEALTH CARE — 18.0% — (continued) | |
|
| | Biotechnology — 4.1% — (continued) | |
| | 2,249 | | | | | Syros Pharmaceuticals Inc.* | | $ | 29,799 | |
| | 887 | | | | | TCR2 Therapeutics Inc.* | | | 17,935 | |
| | 5,285 | | | | | TG Therapeutics Inc.* | | | 131,094 | |
| | 2,753 | | | | | Translate Bio Inc.* | | | 38,790 | |
| | 12,775 | | | | | Turning Point Therapeutics Inc.* | | | 998,750 | |
| | 1,634 | | | | | Twist Bioscience Corp.* | | | 114,266 | |
| | 2,439 | | | | | Tyme Technologies Inc.* | | | 2,463 | |
| | 3,101 | | | | | Ultragenyx Pharmaceutical Inc.* | | | 263,771 | |
| | 2,390 | | | | | United Therapeutics Corp.* | | | 255,634 | |
| | 1,781 | | | | | UNITY Biotechnology Inc.*(a) | | | 5,592 | |
| | 1,093 | | | | | UroGen Pharma Ltd.* | | | 27,423 | |
| | 2,919 | | | | | Vanda Pharmaceuticals Inc.* | | | 30,037 | |
| | 2,372 | | | | | Vaxart Inc.* | | | 14,066 | |
| | 9,834 | | | | | VBI Vaccines Inc.* | | | 41,893 | |
| | 2,729 | | | | | Veracyte Inc.* | | | 90,903 | |
| | 8,821 | | | | | Verastem Inc.*(a) | | | 11,114 | |
| | 2,439 | | | | | Vericel Corp.* | | | 38,658 | |
| | 1,093 | | | | | Viela Bio Inc.* | | | 36,823 | |
| | 3,786 | | | | | Viking Therapeutics Inc.* | | | 25,328 | |
| | 2,532 | | | | | Vir Biotechnology Inc.* | | | 102,495 | |
| | 1,389 | | | | | Voyager Therapeutics Inc.* | | | 16,376 | |
| | 942 | | | | | X4 Pharmaceuticals Inc.* | | | 7,894 | |
| | 822 | | | | | XBiotech Inc.*(a) | | | 15,552 | |
| | 3,025 | | | | | Xencor Inc.* | | | 108,144 | |
| | 325 | | | | | XOMA Corp.*(a) | | | 6,182 | |
| | 1,643 | | | | | Y-mAbs Therapeutics Inc.* | | | 70,698 | |
| | 571 | | | | | Zentalis Pharmaceuticals Inc.* | | | 19,642 | |
| | 11,604 | | | | | ZIOPHARM Oncology Inc.* | | | 32,607 | |
| | | | | | | | | | |
| | | | | | Total Biotechnology | | | 25,619,024 | |
| | | | | | | | | | |
|
| | Health Care Equipment & Supplies — 5.3% | |
| | 1,665 | | | | | Accelerate Diagnostics Inc.*(a) | | | 20,280 | |
| | 168,222 | | | | | Accuray Inc.* | | | 391,957 | |
| | 2,421 | | | | | Alphatec Holdings Inc.* | | | 14,502 | |
| | 2,169 | | | | | AngioDynamics Inc.* | | | 20,313 | |
| | 9,660 | | | | | Antares Pharma Inc.* | | | 27,338 | |
| | 1,371 | | | | | Apyx Medical Corp.* | | | 6,293 | |
| | 2,597 | | | | | Aspira Women’s Health Inc.* | | | 7,440 | |
| | 23,731 | | | | | AtriCure Inc.* | | | 1,061,488 | |
| | 79 | | | | | Atrion Corp. | | | 49,906 | |
| | 17,100 | | | | | Avanos Medical Inc.* | | | 554,040 | |
| | 1,964 | | | | | AxoGen Inc.* | | | 23,313 | |
| | 1,666 | | | | | Axonics Modulation Technologies Inc.*(a) | | | 70,405 | |
| | 2,176 | | | | | Baxter International Inc. | | | 189,464 | |
| | 353 | | | | | Bellerophon Therapeutics Inc.* | | | 3,809 | |
| | 679 | | | | | Beyond Air Inc.* | | | 3,768 | |
| | 282 | | | | | BioLife Solutions Inc.* | | | 6,012 | |
| | 1,143 | | | | | BioSig Technologies Inc.*(a) | | | 8,470 | |
| | 2,078 | | | | | Cantel Medical Corp. | | | 109,053 | |
| | 1,901 | | | | | Cardiovascular Systems Inc.* | | | 62,106 | |
| | 8,852 | | | | | Cerus Corp.* | | | 56,387 | |
| | 1,250 | | | | | Chembio Diagnostics Inc.*(a) | | | 5,125 | |
| | 1,413 | | | | | Co-Diagnostics Inc.*(a) | | | 15,402 | |
| | 1,514 | | | | | CONMED Corp. | | | 130,673 | |
| | 2,118 | | | | | CryoLife Inc.* | | | 42,826 | |
See Notes to Financial Statements.
80
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | HEALTH CARE — 18.0% — (continued) | |
|
| | Health Care Equipment & Supplies — 5.3% — (continued) | |
| | 1,834 | | | | | CryoPort Inc.*(a) | | $ | 101,750 | |
| | 902 | | | | | Cutera Inc.* | | | 14,766 | |
| | 18,833 | | | | | CytoSorbents Corp.* | | | 158,951 | |
| | 96,545 | | | | | DENTSPLY SIRONA Inc. | | | 4,331,974 | |
| | 388 | | | | | Electromed Inc.* | | | 4,803 | |
| | 8,791 | | | | | Envista Holdings Corp.* | | | 210,896 | |
| | 349 | | | | | FONAR Corp.* | | | 8,854 | |
| | 3,712 | | | | | GenMark Diagnostics Inc.* | | | 48,145 | |
| | 2,311 | | | | | Glaukos Corp.* | | | 110,535 | |
| | 16,632 | | | | | Globus Medical Inc., Class A Shares* | | | 940,041 | |
| | 26,601 | | | | | Haemonetics Corp.* | | | 2,385,046 | |
| | 372 | | | | | Heska Corp.* | | | 38,539 | |
| | 3,666 | | | | | Hill-Rom Holdings Inc. | | | 343,834 | |
| | 10,161 | | | | | ICU Medical Inc.* | | | 2,034,639 | |
| | 2,313 | | | | | IDEXX Laboratories Inc.* | | | 904,522 | |
| | 1,068 | | | | | Inogen Inc.* | | | 32,286 | |
| | 1,790 | | | | | Integer Holdings Corp.* | | | 123,975 | |
| | 3,915 | | | | | Integra LifeSciences Holdings Corp.* | | | 187,098 | |
| | 613 | | | | | IntriCon Corp.* | | | 7,442 | |
| | 2,133 | | | | | Intuitive Surgical Inc.* | | | 1,558,882 | |
| | 1,981 | | | | | Invacare Corp. | | | 13,431 | |
| | 388 | | | | | iRadimed Corp.* | | | 8,226 | |
| | 1,480 | | | | | iRhythm Technologies Inc.* | | | 325,866 | |
| | 2,044 | | | | | Lantheus Holdings Inc.* | | | 27,430 | |
| | 986 | | | | | LeMaitre Vascular Inc. | | | 31,828 | |
| | 2,669 | | | | | LivaNova PLC* | | | 125,176 | |
| | 2,870 | | | | | Masimo Corp.* | | | 642,880 | |
| | 2,264 | | | | | Meridian Bioscience Inc.* | | | 32,013 | |
| | 67,087 | | | | | Merit Medical Systems Inc.* | | | 3,293,972 | |
| | 222 | | | | | Mesa Laboratories Inc. | | | 54,594 | |
| | 1,981 | | | | | Milestone Scientific Inc.* | | | 2,971 | |
| | 757 | | | | | Misonix Inc.* | | | 9,985 | |
| | 1,737 | | | | | Natus Medical Inc.* | | | 31,544 | |
| | 367 | | | | | Nemaura Medical Inc.* | | | 1,373 | |
| | 2,883 | | | | | Neogen Corp.* | | | 219,685 | |
| | 1,838 | | | | | Nevro Corp.* | | | 252,799 | |
| | 5,470 | | | | | Novocure Ltd.* | | | 452,642 | |
| | 2,831 | | | | | NuVasive Inc.* | | | 147,580 | |
| | 42,008 | | | | | OraSure Technologies Inc.* | | | 492,334 | |
| | 999 | | | | | Orthofix Medical Inc.* | | | 30,310 | |
| | 652 | | | | | OrthoPediatrics Corp.* | | | 32,861 | |
| | 2,040 | | | | | PAVmed Inc.* | | | 4,019 | |
| | 1,760 | | | | | Penumbra Inc.* | | | 368,104 | |
| | 819 | | | | | Pulse Biosciences Inc.*(a) | | | 8,100 | |
| | 2,047 | | | | | Quidel Corp.* | | | 360,190 | |
| | 3,288 | | | | | Quotient Ltd.* | | | 16,637 | |
| | 1,341 | | | | | Repro-Med Systems Inc.* | | | 11,653 | |
| | 776 | | | | | Retractable Technologies Inc.*(a) | | | 4,904 | |
| | 4,050 | | | | | Rockwell Medical Inc.*(a) | | | 5,305 | |
| | 1,404 | | | | | SeaSpine Holdings Corp.* | | | 18,687 | |
| | 1,459 | | | | | Shockwave Medical Inc.* | | | 92,705 | |
| | 1,468 | | | | | SI-BONE Inc.* | | | 32,032 | |
| | 2,668 | | | | | Sientra Inc.* | | | 10,245 | |
| | 1,737 | | | | | Silk Road Medical Inc.* | | | 105,922 | |
| | 71,096 | | | | | Smith & Nephew PLC, ADR | | | 2,890,052 | |
See Notes to Financial Statements.
81
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | HEALTH CARE — 18.0% — (continued) | |
|
| | Health Care Equipment & Supplies — 5.3% — (continued) | |
| | 364 | | | | | Soliton Inc.*(a) | | $ | 2,486 | |
| | 2,472 | | | | | STAAR Surgical Co.* | | | 118,532 | |
| | 2,430 | | | | | Stereotaxis Inc.* | | | 8,554 | |
| | 3,478 | | | | | Surgalign Holdings Inc.*(b) | | | 7,721 | |
| | 771 | | | | | Surmodics Inc.* | | | 34,888 | |
| | 949 | | | | | Tactile Systems Technology Inc.* | | | 36,470 | |
| | 12,151 | | | | | Tandem Diabetes Care Inc.* | | | 1,369,661 | |
| | 294 | | | | | Tela Bio Inc.* | | | 4,190 | |
| | 7,117 | | | | | Teleflex Inc. | | | 2,796,625 | |
| | 1,065 | | | | | TransMedics Group Inc.* | | | 18,989 | |
| | 188 | | | | | Utah Medical Products Inc. | | | 15,444 | |
| | 1,053 | | | | | Vapotherm Inc.* | | | 32,759 | |
| | 2,047 | | | | | Varex Imaging Corp.* | | | 22,701 | |
| | 1,458 | | | | | Varian Medical Systems Inc.* | | | 253,211 | |
| | 1,159 | | | | | Venus Concept Inc.* | | | 3,326 | |
| | 5,877 | | | | | ViewRay Inc.* | | | 15,985 | |
| | 1,214 | | | | | VolitionRX Ltd.* | | | 4,115 | |
| | 41,817 | | | | | Wright Medical Group NV*(a) | | | 1,264,128 | |
| | 915 | | | | | Zynex Inc.*(a) | | | 13,542 | |
| | | | | | | | | | |
| | | | | | Total Health Care Equipment & Supplies | | | 32,608,730 | |
| | | | | | | | | | |
|
| | Health Care Providers & Services — 2.4% | |
| | 1,161 | | | | | 1Life Healthcare Inc.* | | | 33,866 | |
| | 68,888 | | | | | Acadia Healthcare Co., Inc.* | | | 2,129,328 | |
| | 422 | | | | | AdaptHealth Corp., Class A Shares* | | | 8,959 | |
| | 752 | | | | | Addus HomeCare Corp.* | | | 70,432 | |
| | 8,406 | | | | | Amedisys Inc.* | | | 2,033,411 | |
| | 683 | | | | | American Renal Associates Holdings Inc.* | | | 4,603 | |
| | 2,563 | | | | | AMN Healthcare Services Inc.* | | | 137,992 | |
| | 519 | | | | | Apollo Medical Holdings Inc.* | | | 9,804 | |
| | 741 | | | | | Avalon GloboCare Corp.*(a) | | | 1,052 | |
| | 1,885 | | | | | BioTelemetry Inc.* | | | 74,608 | |
| | 10,773 | | | | | Brookdale Senior Living Inc.* | | | 29,626 | |
| | 3,873 | | | | | Chemed Corp. | | | 2,002,767 | |
| | 4,644 | | | | | Community Health Systems Inc.* | | | 24,010 | |
| | 513 | | | | | CorVel Corp.* | | | 42,589 | |
| | 5,373 | | | | | Covetrus Inc.* | | | 123,095 | |
| | 2,213 | | | | | Cross Country Healthcare Inc.* | | | 14,141 | |
| | 11,823 | | | | | Encompass Health Corp. | | | 771,333 | |
| | 2,787 | | | | | Ensign Group Inc. (The) | | | 163,151 | |
| | 1,486 | | | | | Enzo Biochem Inc.* | | | 3,165 | |
| | 312 | | | | | Exagen Inc.* | | | 4,499 | |
| | 1,165 | | | | | Five Star Senior Living Inc.* | | | 6,023 | |
| | 529 | | | | | Fulgent Genetics Inc.* | | | 15,637 | |
| | 4,084 | | | | | Guardant Health Inc.* | | | 390,022 | |
| | 2,143 | | | | | Hanger Inc.* | | | 42,346 | |
| | 12,919 | | | | | HealthEquity Inc.* | | | 742,584 | |
| | 783 | | | | | InfuSystem Holdings Inc.* | | | 11,393 | |
| | 863 | | | | | Joint Corp. (The)* | | | 15,413 | |
| | 1,658 | | | | | LHC Group Inc.* | | | 345,594 | |
| | 1,306 | | | | | Magellan Health Inc.* | | | 98,551 | |
| | 55,764 | | | | | MEDNAX Inc.* | | | 1,036,095 | |
| | 9,955 | | | | | Molina Healthcare Inc.* | | | 1,841,376 | |
| | 698 | | | | | National HealthCare Corp. | | | 44,463 | |
| | 733 | | | | | National Research Corp. | | | 41,048 | |
See Notes to Financial Statements.
82
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | HEALTH CARE — 18.0% — (continued) | |
|
| | Health Care Providers & Services — 2.4% — (continued) | |
| | 491 | | | | | Ontrak Inc.*(a) | | $ | 35,819 | |
| | 1,834 | | | | | Option Care Health Inc.* | | | 21,311 | |
| | 3,665 | | | | | Owens & Minor Inc. | | | 60,766 | |
| | 39,542 | | | | | Patterson Cos., Inc. | | | 1,147,113 | |
| | 1,372 | | | | | Pennant Group Inc. (The)* | | | 50,819 | |
| | 1,172 | | | | | PetIQ Inc., Class A Shares* | | | 41,231 | |
| | 3,426 | | | | | Premier Inc., Class A Shares | | | 112,202 | |
| | 1,422 | �� | | | | Progyny Inc.* | | | 40,598 | |
| | 662 | | | | | Providence Service Corp. (The)* | | | 61,295 | |
| | 5,799 | | | | | R1 RCM Inc.* | | | 84,086 | |
| | 2,289 | | | | | RadNet Inc.* | | | 33,007 | |
| | 5,899 | | | | | Select Medical Holdings Corp.* | | | 118,393 | |
| | 767 | | | | | Sharps Compliance Corp.* | | | 5,856 | |
| | 1,346 | | | | | Surgery Partners Inc.* | | | 25,695 | |
| | 5,706 | | | | | Tenet Healthcare Corp.* | | | 160,795 | |
| | 2,532 | | | | | Tivity Health Inc.* | | | 41,424 | |
| | 1,424 | | | | | Triple-S Management Corp., Class B Shares* | | | 26,486 | |
| | 1,841 | | | | | Universal Health Services Inc., Class B Shares | | | 203,154 | |
| | 691 | | | | | US Physical Therapy Inc. | | | 61,430 | |
| | 1,875 | | | | | Viemed Healthcare Inc.* | | | 20,381 | |
| | | | | | | | | | |
| | | | | | Total Health Care Providers & Services | | | 14,664,837 | |
| | | | | | | | | | |
|
| | Health Care Technology — 0.8% | |
| | 9,072 | | | | | Allscripts Healthcare Solutions Inc.* | | | 81,013 | |
| | 13,352 | | | | | Change Healthcare Inc.* | | | 188,931 | |
| | 759 | | | | | Computer Programs & Systems Inc. | | | 20,766 | |
| | 3,975 | | | | | Evolent Health Inc., Class A Shares* | | | 56,962 | |
| | 1,759 | | | | | Health Catalyst Inc.* | | | 54,846 | |
| | 1,375 | | | | | HealthStream Inc.* | | | 28,483 | |
| | 51,153 | | | | | HMS Holdings Corp.* | | | 1,426,657 | |
| | 1,084 | | | | | iCAD Inc.* | | | 11,740 | |
| | 4,040 | | | | | Inovalon Holdings Inc., Class A Shares* | | | 99,970 | |
| | 1,434 | | | | | Inspire Medical Systems Inc.* | | | 171,291 | |
| | 2,967 | | | | | Livongo Health Inc.* | | | 407,369 | |
| | 1,523 | | | | | NantHealth Inc.*(a) | | | 4,843 | |
| | 2,890 | | | | | NextGen Healthcare Inc.* | | | 38,321 | |
| | 2,322 | | | | | Omnicell Inc.* | | | 154,831 | |
| | 852 | | | | | OptimizeRx Corp.* | | | 17,176 | |
| | 1,567 | | | | | Phreesia Inc.* | | | 49,423 | |
| | 736 | | | | | Schrodinger Inc.* | | | 44,499 | |
| | 693 | | | | | Simulations Plus Inc. | | | 41,289 | |
| | 1,119 | | | | | Tabula Rasa HealthCare Inc.* | | | 56,622 | |
| | 7,040 | | | | | Veeva Systems Inc., Class A Shares* | | | 1,987,181 | |
| | 1,681 | | | | | Vocera Communications Inc.* | | | 47,051 | |
| | | | | | | | | | |
| | | | | | Total Health Care Technology | | | 4,989,264 | |
| | | | | | | | | | |
|
| | Life Sciences Tools & Services — 3.6% | |
| | 2,995 | | | | | 10X Genomics Inc., Class A Shares* | | | 343,287 | |
| | 3,917 | | | | | Adaptive Biotechnologies Corp.* | | | 162,986 | |
| | 24,649 | | | | | Avantor Inc.* | | | 556,328 | |
| | 3,440 | | | | | Bio-Rad Laboratories Inc., Class A Shares* | | | 1,749,550 | |
| | 13,098 | | | | | Bio-Techne Corp. | | | 3,346,015 | |
| | 5,674 | | | | | Bruker Corp. | | | 238,421 | |
| | 503 | | | | | Champions Oncology Inc.* | | | 4,165 | |
| | 23,706 | | | | | Charles River Laboratories International Inc.* | | | 5,190,429 | |
See Notes to Financial Statements.
83
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | HEALTH CARE — 18.0% — (continued) | |
|
| | Life Sciences Tools & Services — 3.6% — (continued) | |
| | 2,386 | | | | | ChromaDex Corp.* | | $ | 11,811 | |
| | 2,824 | | | | | Codexis Inc.* | | | 38,971 | |
| | 139,283 | | | | | Fluidigm Corp.* | | | 1,093,372 | |
| | 2,006 | | | | | Harvard Bioscience Inc.* | | | 6,720 | |
| | 11,050 | | | | | ICON PLC, ADR* | | | 2,059,831 | |
| | 7,934 | | | | | Illumina Inc.* | | | 2,834,184 | |
| | 30,734 | | | | | Luminex Corp. | | | 820,290 | |
| | 1,510 | | | | | Medpace Holdings Inc.* | | | 195,983 | |
| | 14,069 | | | | | NanoString Technologies Inc.* | | | 569,513 | |
| | 5,663 | | | | | NeoGenomics Inc.* | | | 220,574 | |
| | 7,737 | | | | | Pacific Biosciences of California Inc.* | | | 51,064 | |
| | 6,129 | | | | | PerkinElmer Inc. | | | 721,506 | |
| | 1,193 | | | | | Personalis Inc.* | | | 27,224 | |
| | 3,434 | | | | | PPD Inc.* | | | 117,924 | |
| | 3,476 | | | | | PRA Health Sciences Inc.* | | | 371,619 | |
| | 12,376 | | | | | QIAGEN NV* | | | 630,681 | |
| | 1,032 | | | | | Quanterix Corp.* | | | 36,739 | |
| | 6,163 | | | | | Repligen Corp.* | | | 954,710 | |
| | 3,442 | | | | | Syneos Health Inc., Class A Shares* | | | 217,190 | |
| | | | | | | | | | |
| | | | | | Total Life Sciences Tools & Services | | | 22,571,087 | |
| | | | | | | | | | |
|
| | Pharmaceuticals — 1.8% | |
| | 3,301 | | | | | AcelRx Pharmaceuticals Inc.*(a) | | | 4,126 | |
| | 5,051 | | | | | Achillion Pharmaceuticals Inc.*(d) | | | 2,323 | |
| | 1,968 | | | | | Aerie Pharmaceuticals Inc.* | | | 21,648 | |
| | 3,643 | | | | | Agile Therapeutics Inc.*(a) | | | 11,658 | |
| | 1,286 | | | | | AMAG Pharmaceuticals Inc.* | | | 13,323 | |
| | 115,372 | | | | | Amneal Pharmaceuticals Inc.* | | | 474,179 | |
| | 2,020 | | | | | Amphastar Pharmaceuticals Inc.* | | | 41,168 | |
| | 502 | | | | | ANI Pharmaceuticals Inc.* | | | 15,743 | |
| | 1,030 | | | | | Aquestive Therapeutics Inc.* | | | 8,096 | |
| | 1,594 | | | | | Arvinas Inc.* | | | 41,364 | |
| | 421 | | | | | Avenue Therapeutics Inc.* | | | 4,686 | |
| | 1,517 | | | | | Axsome Therapeutics Inc.* | | | 111,211 | |
| | 4,869 | | | | | BioDelivery Sciences International Inc.* | | | 19,038 | |
| | 2,402 | | | | | Cara Therapeutics Inc.* | | | 37,231 | |
| | 1,719 | | | | | Cassava Sciences Inc.*(a) | | | 5,398 | |
| | 27,230 | | | | | Catalent Inc.* | | | 2,518,775 | |
| | 902 | | | | | Cerecor Inc.* | | | 2,219 | |
| | 1,966 | | | | | Chiasma Inc.* | | | 10,793 | |
| | 1,924 | | | | | Collegium Pharmaceutical Inc.* | | | 36,671 | |
| | 5,256 | | | | | Corcept Therapeutics Inc.* | | | 66,751 | |
| | 1,684 | | | | | CorMedix Inc.*(a) | | | 7,864 | |
| | 3,979 | | | | | Cymabay Therapeutics Inc.* | | | 25,744 | |
| | 10,719 | | | | | Durect Corp.* | | | 18,597 | |
| | 785 | | | | | Eloxx Pharmaceuticals Inc.* | | | 2,422 | |
| | 12,932 | | | | | Endo International PLC* | | | 38,925 | |
| | 814 | | | | | Eton Pharmaceuticals Inc.* | | | 6,382 | |
| | 2,986 | | | | | Evofem Biosciences Inc.*(a) | | | 9,913 | |
| | 1,199 | | | | | Evolus Inc.*(a) | | | 4,628 | |
| | 647 | | | | | Fulcrum Therapeutics Inc.* | | | 4,704 | |
| | 1,226 | | | | | Harrow Health Inc.* | | | 8,447 | |
| | 10,741 | | | | | Horizon Therapeutics PLC* | | | 806,864 | |
| | 275 | | | | | IMARA Inc.* | | | 6,391 | |
| | 3,400 | | | | | Innoviva Inc.* | | | 39,814 | |
See Notes to Financial Statements.
84
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | HEALTH CARE — 18.0% — (continued) | |
|
| | Pharmaceuticals — 1.8% — (continued) | |
| | 26,270 | | | | | Intersect ENT Inc.* | | $ | 527,502 | |
| | 3,010 | | | | | Intra-Cellular Therapies Inc.* | | | 54,842 | |
| | 2,973 | | | | | Jazz Pharmaceuticals PLC* | | | 399,541 | |
| | 2,157 | | | | | Kala Pharmaceuticals Inc.* | | | 19,197 | |
| | 331 | | | | | Kaleido Biosciences Inc.*(a) | | | 2,082 | |
| | 1,738 | | | | | Lannett Co., Inc.* | | | 9,142 | |
| | 1,088 | | | | | Liquidia Technologies Inc.* | | | 5,571 | |
| | 394 | | | | | Lyra Therapeutics Inc.* | | | 5,150 | |
| | 5,218 | | | | | Mallinckrodt PLC*(a) | | | 8,244 | |
| | 5,074 | | | | | Marinus Pharmaceuticals Inc.* | | | 9,844 | |
| | 5,786 | | | | | Menlo Therapeutics Inc.* | | | 8,853 | |
| | 11,659 | | | | | MyoKardia Inc.* | | | 1,275,961 | |
| | 9,523 | | | | | Nektar Therapeutics, Class A Shares* | | | 184,175 | |
| | 1,357 | | | | | NGM Biopharmaceuticals Inc.* | | | 25,308 | |
| | 3,044 | | | | | Ocular Therapeutix Inc.* | | | 26,483 | |
| | 718 | | | | | Odonate Therapeutics Inc.* | | | 11,596 | |
| | 2,859 | | | | | Omeros Corp.* | | | 34,165 | |
| | 1,693 | | | | | Optinose Inc.* | | | 7,703 | |
| | 430 | | | | | Osmotica Pharmaceuticals PLC* | | | 2,554 | |
| | 34,930 | | | | | Pacira BioSciences Inc.* | | | 2,183,824 | |
| | 2,176 | | | | | Paratek Pharmaceuticals Inc.* | | | 10,010 | |
| | 7,515 | | | | | Perrigo Co. PLC | | | 393,034 | |
| | 567 | | | | | Phathom Pharmaceuticals Inc.* | | | 20,843 | |
| | 1,086 | | | | | Phibro Animal Health Corp., Class A Shares | | | 23,305 | |
| | 20,379 | | | | | Prestige Consumer Healthcare Inc.* | | | 742,407 | |
| | 3,674 | | | | | Progenics Pharmaceuticals Inc.*(d) | | | – | |
| | 2,318 | | | | | Provention Bio Inc.* | | | 30,227 | |
| | 1,305 | | | | | Reata Pharmaceuticals Inc., Class A Shares* | | | 136,960 | |
| | 719 | | | | | Recro Pharma Inc.* | | | 1,977 | |
| | 769 | | | | | Relmada Therapeutics Inc.* | | | 27,438 | |
| | 3,105 | | | | | Revance Therapeutics Inc.* | | | 90,759 | |
| | 501 | | | | | Satsuma Pharmaceuticals Inc.* | | | 11,538 | |
| | 3,238 | | | | | SIGA Technologies Inc.* | | | 22,504 | |
| | 1,532 | | | | | Strongbridge Biopharma PLC* | | | 5,883 | |
| | 25,289 | | | | | Supernus Pharmaceuticals Inc.* | | | 556,105 | |
| | 12,916 | | | | | TherapeuticsMD Inc.*(a) | | | 18,857 | |
| | 2,545 | | | | | Theravance Biopharma Inc.* | | | 46,650 | |
| | 1,534 | | | | | Tricida Inc.* | | | 16,214 | |
| | 710 | | | | | Verrica Pharmaceuticals Inc.* | | | 6,525 | |
| | 1,131 | | | | | WaVe Life Sciences Ltd.* | | | 14,171 | |
| | 2,015 | | | | | Xeris Pharmaceuticals Inc.*(a) | | | 9,481 | |
| | 3,034 | | | | | Zogenix Inc.* | | | 71,815 | |
| | | | | | | | | | |
| | | | | | Total Pharmaceuticals | | | 11,485,536 | |
| | | | | | | | | | |
| | | | | | TOTAL HEALTH CARE | | | 111,938,478 | |
| | | | | | | | | | |
|
| | INDUSTRIALS — 15.4% | |
|
| | Aerospace & Defense — 1.5% | |
| | 1,817 | | | | | AAR Corp. | | | 36,667 | |
| | 4,018 | | | | | Aerojet Rocketdyne Holdings Inc.* | | | 166,225 | |
| | 1,185 | | | | | Aerovironment Inc.* | | | 90,522 | |
| | 1,401 | | | | | Astronics Corp.* | | | 12,665 | |
| | 3,411 | | | | | Axon Enterprise Inc.* | | | 292,254 | |
| | 5,237 | | | | | BWX Technologies Inc.(a) | | | 291,230 | |
| | 1,728 | | | | | Cubic Corp. | | | 81,354 | |
See Notes to Financial Statements.
85
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | INDUSTRIALS — 15.4% — (continued) | |
|
| | Aerospace & Defense — 1.5% — (continued) | |
| | 2,285 | | | | | Curtiss-Wright Corp. | | $ | 233,801 | |
| | 645 | | | | | Ducommun Inc.* | | | 24,104 | |
| | 25,347 | | | | | HEICO Corp., Class A Shares | | | 2,265,515 | |
| | 4,600 | | | | | Hexcel Corp. | | | 181,194 | |
| | 21,727 | | | | | Howmet Aerospace Inc. | | | 380,657 | |
| | 2,179 | | | | | Huntington Ingalls Industries Inc. | | | 330,162 | |
| | 1,518 | | | | | Kaman Corp. | | | 70,208 | |
| | 5,787 | | | | | Kratos Defense & Security Solutions Inc.* | | | 113,136 | |
| | 3,337 | | | | | Maxar Technologies Inc. | | | 77,252 | |
| | 11,603 | | | | | Mercury Systems Inc.* | | | 878,811 | |
| | 1,631 | | | | | Moog Inc., Class A Shares | | | 98,333 | |
| | 284 | | | | | National Presto Industries Inc. | | | 25,540 | |
| | 3,240 | | | | | PAE Inc.* | | | 28,625 | |
| | 809 | | | | | Park Aerospace Corp. | | | 8,972 | |
| | 1,239 | | | | | Parsons Corp.* | | | 41,209 | |
| | 21,192 | | | | | Spirit AeroSystems Holdings Inc., Class A Shares | | | 435,708 | |
| | 2,000 | | | | | Teledyne Technologies Inc.* | | | 627,220 | |
| | 12,543 | | | | | Textron Inc. | | | 494,570 | |
| | 4,239 | | | | | TransDigm Group Inc. | | | 2,118,101 | |
| | 1,771 | | | | | Triumph Group Inc. | | | 12,804 | |
| | 596 | | | | | Vectrus Inc.* | | | 25,872 | |
| | 3,310 | | | | | Virgin Galactic Holdings Inc.* | | | 59,249 | |
| | | | | | | | | | |
| | | | | | Total Aerospace & Defense | | | 9,501,960 | |
| | | | | | | | | | |
|
| | Air Freight & Logistics — 0.1% | |
| | 3,210 | | | | | Air Transport Services Group Inc.*(a) | | | 81,598 | |
| | 1,403 | | | | | Atlas Air Worldwide Holdings Inc.* | | | 79,115 | |
| | 1,550 | | | | | Echo Global Logistics Inc.* | | | 42,346 | |
| | 1,539 | | | | | Forward Air Corp. | | | 90,786 | |
| | 1,794 | | | | | Hub Group Inc., Class A Shares* | | | 96,589 | |
| | 1,467 | | | | | Radiant Logistics Inc.* | | | 7,746 | |
| | 5,003 | | | | | XPO Logistics Inc.* | | | 441,615 | |
| | | | | | | | | | |
| | | | | | Total Air Freight & Logistics | | | 839,795 | |
| | | | | | | | | | |
|
| | Airlines — 0.2% | |
| | 6,620 | | | | | Alaska Air Group Inc. | | | 257,849 | |
| | 719 | | | | | Allegiant Travel Co., Class A Shares | | | 92,463 | |
| | 27,200 | | | | | American Airlines Group Inc.(a) | | | 354,960 | |
| | 1,694 | | | | | Copa Holdings SA, Class A Shares | | | 90,206 | |
| | 2,424 | | | | | Hawaiian Holdings Inc. | | | 32,579 | |
| | 14,993 | | | | | JetBlue Airways Corp.* | | | 172,719 | |
| | 2,167 | | | | | Mesa Air Group Inc.* | | | 7,931 | |
| | 2,714 | | | | | SkyWest Inc. | | | 91,326 | |
| | 4,749 | | | | | Spirit Airlines Inc.* | | | 84,912 | |
| | | | | | | | | | |
| | | | | | Total Airlines | | | 1,184,945 | |
| | | | | | | | | | |
|
| | Building Products — 1.5% | |
| | 2,236 | | | | | AAON Inc. | | | 127,295 | |
| | 32,138 | | | | | Advanced Drainage Systems Inc. | | | 1,783,016 | |
| | 5,074 | | | | | Allegion PLC | | | 524,601 | |
| | 670 | | | | | Alpha Pro Tech Ltd.*(a) | | | 9,400 | |
| | 954 | | | | | American Woodmark Corp.* | | | 83,475 | |
| | 7,300 | | | | | AO Smith Corp. | | | 357,481 | |
| | 1,375 | | | | | Apogee Enterprises Inc. | | | 28,779 | |
| | 2,597 | | | | | Armstrong World Industries Inc. | | | 191,503 | |
See Notes to Financial Statements.
86
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | INDUSTRIALS — 15.4% — (continued) | |
|
| | Building Products — 1.5% — (continued) | |
| | 6,353 | | | | | Builders FirstSource Inc.* | | $ | 194,529 | |
| | 990 | | | | | Caesarstone Ltd. | | | 10,925 | |
| | 2,831 | | | | | Cornerstone Building Brands Inc.* | | | 22,535 | |
| | 767 | | | | | CSW Industrials Inc. | | | 55,416 | |
| | 7,582 | | | | | Fortune Brands Home & Security Inc. | | | 637,494 | |
| | 1,786 | | | | | Gibraltar Industries Inc.* | | | 111,527 | |
| | 2,104 | | | | | Griffon Corp. | | | 45,720 | |
| | 1,106 | | | | | Insteel Industries Inc. | | | 20,395 | |
| | 3,592 | | | | | JELD-WEN Holding Inc.* | | | 75,612 | |
| | 1,904 | | | | | Lennox International Inc. | | | 533,748 | |
| | 1,335 | | | | | Masonite International Corp.* | | | 121,872 | |
| | 5,900 | | | | | Owens Corning | | | 399,076 | |
| | 1,228 | | | | | Patrick Industries Inc. | | | 69,026 | |
| | 3,222 | | | | | PGT Innovations Inc.* | | | 58,415 | |
| | 1,948 | | | | | Quanex Building Products Corp. | | | 32,746 | |
| | 92,889 | | | | | Resideo Technologies Inc.* | | | 1,240,997 | |
| | 2,386 | | | | | Simpson Manufacturing Co., Inc. | | | 234,639 | |
| | 13,693 | | | | | Trex Co., Inc.* | | | 2,046,966 | |
| | 3,278 | | | | | UFP Industries Inc. | | | 194,549 | |
| | | | | | | | | | |
| | | | | | Total Building Products | | | 9,211,737 | |
| | | | | | | | | | |
|
| | Commercial Services & Supplies — 2.3% | |
| | 3,691 | | | | | ABM Industries Inc. | | | 140,775 | |
| | 5,085 | | | | | ACCO Brands Corp. | | | 32,951 | |
| | 6,020 | | | | | ADT Inc. | | | 64,113 | |
| | 4,030 | | | | | Advanced Disposal Services Inc.* | | | 121,424 | |
| | 2,654 | | | | | Brady Corp., Class A Shares | | | 124,446 | |
| | 1,736 | | | | | BrightView Holdings Inc.* | | | 21,318 | |
| | 2,743 | | | | | Brink’s Co. (The) | | | 132,651 | |
| | 2,529 | | | | | Casella Waste Systems Inc., Class A Shares* | | | 142,003 | |
| | 1,390 | | | | | CECO Environmental Corp.* | | | 11,780 | |
| | 988 | | | | | Cimpress PLC* | | | 91,588 | |
| | 12,847 | | | | | Clean Harbors Inc.* | | | 784,952 | |
| | 54,515 | | | | | Covanta Holding Corp.(a) | | | 514,622 | |
| | 2,361 | | | | | Deluxe Corp. | | | 67,052 | |
| | 1,438 | | | | | Ennis Inc. | | | 26,359 | |
| | 114,382 | | | | | Harsco Corp.* | | | 1,618,505 | |
| | 4,081 | | | | | Healthcare Services Group Inc. | | | 84,885 | |
| | 898 | | | | | Heritage-Crystal Clean Inc.* | | | 13,183 | |
| | 3,238 | | | | | Herman Miller Inc. | | | 77,162 | |
| | 2,367 | | | | | HNI Corp. | | | 75,389 | |
| | 7,399 | | | | | IAA Inc.* | | | 387,116 | |
| | 3,021 | | | | | Interface Inc., Class A Shares | | | 22,839 | |
| | 6,994 | | | | | KAR Auction Services Inc. | | | 121,276 | |
| | 1,975 | | | | | Kimball International Inc., Class B Shares | | | 22,140 | |
| | 2,592 | | | | | Knoll Inc. | | | 33,359 | |
| | 26,692 | | | | | Matthews International Corp., Class A Shares | | | 584,555 | |
| | 1,309 | | | | | McGrath RentCorp. | | | 86,865 | |
| | 8,011 | | | | | MSA Safety Inc. | | | 1,008,985 | |
| | 157 | | | | | NL Industries Inc. | | | 549 | |
| | 787 | | | | | PICO Holdings Inc.* | | | 6,996 | |
| | 8,688 | | | | | Pitney Bowes Inc. | | | 47,697 | |
| | 1,140 | | | | | Quad/Graphics Inc. | | | 3,979 | |
| | 1,194 | | | | | SP Plus Corp.* | | | 24,489 | |
| | 4,745 | | | | | Steelcase Inc., Class A Shares | | | 49,585 | |
See Notes to Financial Statements.
87
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | INDUSTRIALS — 15.4% — (continued) | |
|
| | Commercial Services & Supplies — 2.3% — (continued) | |
| | 31,730 | | | | | Stericycle Inc.* | | $ | 2,034,210 | |
| | 56,471 | | | | | Team Inc.* | | | 359,720 | |
| | 2,950 | | | | | Tetra Tech Inc. | | | 272,315 | |
| | 6,976 | | | | | UniFirst Corp. | | | 1,343,717 | |
| | 1,684 | | | | | US Ecology Inc. | | | 62,527 | |
| | 1,116 | | | | | Viad Corp. | | | 23,916 | |
| | 531 | | | | | VSE Corp. | | | 15,415 | |
| | 32,914 | | | | | Waste Connections Inc. | | | 3,292,387 | |
| | | | | | | | | | |
| | | | | | Total Commercial Services & Supplies | | | 13,949,795 | |
| | | | | | | | | | |
|
| | Construction & Engineering — 0.8% | |
| | 8,412 | | | | | AECOM* | | | 332,358 | |
| | 1,740 | | | | | Aegion Corp., Class A Shares* | | | 28,162 | |
| | 1,383 | | | | | Ameresco Inc., Class A Shares* | | | 47,216 | |
| | 7,691 | | | | | API Group Corp.*(e) | | | 108,751 | |
| | 2,665 | | | | | Arcosa Inc. | | | 123,363 | |
| | 793 | | | | | Argan Inc. | | | 33,568 | |
| | 1,966 | | | | | Comfort Systems USA Inc. | | | 99,617 | |
| | 1,823 | | | | | Concrete Pumping Holdings Inc.* | | | 6,617 | |
| | 1,021 | | | | | Construction Partners Inc., Class A Shares* | | | 19,082 | |
| | 21,632 | | | | | Dycom Industries Inc.*(a) | | | 1,330,584 | |
| | 2,940 | | | | | EMCOR Group Inc. | | | 220,529 | |
| | 7,339 | | | | | Fluor Corp. | | | 69,867 | |
| | 2,500 | | | | | Granite Construction Inc. | | | 46,475 | |
| | 3,701 | | | | | Great Lakes Dredge & Dock Corp.* | | | 34,678 | |
| | 2,389 | | | | | HC2 Holdings Inc.*(a) | | | 5,973 | |
| | 505 | | | | | IES Holdings Inc.* | | | 14,559 | |
| | 6,897 | | | | | Jacobs Engineering Group Inc. | | | 622,592 | |
| | 3,171 | | | | | MasTec Inc.* | | | 146,532 | |
| | 928 | | | | | MYR Group Inc.* | | | 36,016 | |
| | 554 | | | | | Northwest Pipe Co.* | | | 15,695 | |
| | 540 | | | | | NV5 Global Inc.* | | | 27,956 | |
| | 2,627 | | | | | Primoris Services Corp. | | | 50,071 | |
| | 7,538 | | | | | Quanta Services Inc. | | | 386,322 | |
| | 1,526 | | | | | Sterling Construction Co., Inc.* | | | 21,578 | |
| | 2,164 | | | | | Tutor Perini Corp.* | | | 27,158 | |
| | 4,840 | | | | | Valmont Industries Inc. | | | 614,922 | |
| | 32,974 | | | | | WillScot Mobile Mini Holdings Corp., Class A Shares* | | | 590,235 | |
| | | | | | | | | | |
| | | | | | Total Construction & Engineering | | | 5,060,476 | |
| | | | | | | | | | |
|
| | Electrical Equipment — 0.8% | |
| | 7,596 | | | | | ABB Ltd., ADR(a) | | | 193,698 | |
| | 2,162 | | | | | Acuity Brands Inc. | | | 236,285 | |
| | 386 | | | | | Allied Motion Technologies Inc. | | | 16,440 | |
| | 1,471 | | | | | American Superconductor Corp.* | | | 18,476 | |
| | 2,596 | | | | | Atkore International Group Inc.* | | | 69,391 | |
| | 15,255 | | | | | AZZ Inc. | | | 529,806 | |
| | 41,396 | | | | | Babcock & Wilcox Enterprises Inc.* | | | 99,764 | |
| | 42,927 | | | | | Bloom Energy Corp., Class A Shares* | | | 672,237 | |
| | 1,144 | | | | | Encore Wire Corp. | | | 59,042 | |
| | 2,319 | | | | | EnerSys | | | 166,922 | |
| | 11,608 | | | | | FuelCell Energy Inc.*(a) | | | 32,967 | |
| | 3,362 | | | | | Generac Holdings Inc.* | | | 638,713 | |
| | 3,767 | | | | | GrafTech International Ltd. | | | 25,088 | |
| | 2,962 | | | | | Hubbell Inc., Class B Shares | | | 429,253 | |
See Notes to Financial Statements.
88
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | INDUSTRIALS — 15.4% — (continued) | |
|
| | Electrical Equipment — 0.8% — (continued) | |
| | 1,362 | | | | | LSI Industries Inc. | | $ | 9,343 | |
| | 8,493 | | | | | nVent Electric PLC | | | 162,386 | |
| | 1,358 | | | | | Orion Energy Systems Inc.* | | | 8,664 | |
| | 17,736 | | | | | Plug Power Inc.*(a) | | | 230,213 | |
| | 528 | | | | | Powell Industries Inc. | | | 14,251 | |
| | 194 | | | | | Preformed Line Products Co. | | | 10,555 | |
| | 2,223 | | | | | Regal Beloit Corp. | | | 219,766 | |
| | 7,697 | | | | | Schneider Electric SE, ADR | | | 190,347 | |
| | 8,505 | | | | | Sensata Technologies Holding PLC* | | | 354,148 | |
| | 6,367 | | | | | Sunrun Inc.* | | | 360,086 | |
| | 1,647 | | | | | Thermon Group Holdings Inc.* | | | 21,674 | |
| | 1,653 | | | | | TPI Composites Inc.* | | | 50,764 | |
| | 623 | | | | | Ultralife Corp.* | | | 3,937 | |
| | 10,968 | | | | | Vertiv Holdings Co., Class A Shares* | | | 178,011 | |
| | 995 | | | | | Vicor Corp.* | | | 86,595 | |
| | 2,700 | | | | | Vivint Solar Inc.* | | | 83,376 | |
| | | | | | | | | | |
| | | | | | Total Electrical Equipment | | | 5,172,198 | |
| | | | | | | | | | |
|
| | Industrial Conglomerates — 0.6% | |
| | 7,411 | | | | | Carlisle Cos., Inc. | | | 970,470 | |
| | 2,006 | | | | | Raven Industries Inc. | | | 49,849 | |
| | 6,045 | | | | | Roper Technologies Inc. | | | 2,582,364 | |
| | | | | | | | | | |
| | | | | | Total Industrial Conglomerates | | | 3,602,683 | |
| | | | | | | | | | |
|
| | Machinery — 3.6% | |
| | 3,365 | | | | | AGCO Corp. | | | 239,251 | |
| | 539 | | | | | Alamo Group Inc. | | | 59,775 | |
| | 17,412 | | | | | Albany International Corp., Class A Shares | | | 903,683 | |
| | 6,197 | | | | | Allison Transmission Holdings Inc. | | | 222,286 | |
| | 35,051 | | | | | Altra Industrial Motion Corp. | | | 1,368,742 | |
| | 1,278 | | | | | Astec Industries Inc. | | | 67,376 | |
| | 12,195 | | | | | Barnes Group Inc. | | | 482,922 | |
| | 916 | | | | | Blue Bird Corp.* | | | 10,424 | |
| | 1,979 | | | | | Chart Industries Inc.* | | | 130,060 | |
| | 1,156 | | | | | CIRCOR International Inc.* | | | 34,275 | |
| | 5,443 | | | | | Colfax Corp.* | | | 181,143 | |
| | 1,274 | | | | | Columbus McKinnon Corp. | | | 46,342 | |
| | 2,664 | | | | | Crane Co. | | | 150,623 | |
| | 6,957 | | | | | Donaldson Co., Inc. | | | 350,355 | |
| | 1,267 | | | | | Douglas Dynamics Inc. | | | 48,640 | |
| | 203 | | | | | Eastern Co. (The) | | | 4,446 | |
| | 2,160 | | | | | Energy Recovery Inc.* | | | 18,382 | |
| | 31,452 | | | | | Enerpac Tool Group Corp., Class A Shares | | | 654,202 | |
| | 1,081 | | | | | EnPro Industries Inc. | | | 63,260 | |
| | 1,414 | | | | | ESCO Technologies Inc. | | | 127,147 | |
| | 4,690 | | | | | Evoqua Water Technologies Corp.* | | | 95,957 | |
| | 584 | | | | | ExOne Co. (The)*(a) | | | 7,136 | |
| | 3,262 | | | | | Federal Signal Corp. | | | 104,775 | |
| | 23,673 | | | | | Flowserve Corp. | | | 702,615 | |
| | 2,515 | | | | | Franklin Electric Co., Inc. | | | 149,290 | |
| | 2,633 | | | | | Gates Industrial Corp. PLC* | | | 29,727 | |
| | 303 | | | | | Gencor Industries Inc.* | | | 3,821 | |
| | 1,012 | | | | | Gorman-Rupp Co. (The) | | | 32,333 | |
| | 12,625 | | | | | Graco Inc. | | | 732,503 | |
| | 303 | | | | | Graham Corp. | | | 3,978 | |
See Notes to Financial Statements.
89
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | INDUSTRIALS — 15.4% — (continued) | |
|
| | Machinery — 3.6% — (continued) | |
| | 1,726 | | | | | Greenbrier Cos., Inc. (The) | | $ | 46,930 | |
| | 1,619 | | | | | Helios Technologies Inc. | | | 66,557 | |
| | 4,047 | | | | | Hillenbrand Inc. | | | 128,330 | |
| | 389 | | | | | Hurco Cos., Inc. | | | 11,001 | |
| | 532 | | | | | Hyster-Yale Materials Handling Inc. | | | 21,461 | |
| | 5,663 | | | | | IDEX Corp. | | | 1,020,642 | |
| | 21,666 | | | | | ITT Inc. | | | 1,360,841 | |
| | 1,717 | | | | | John Bean Technologies Corp. | | | 176,010 | |
| | 621 | | | | | Kadant Inc. | | | 72,309 | |
| | 4,551 | | | | | Kennametal Inc. | | | 132,070 | |
| | 712 | | | | | LB Foster Co., Class A Shares* | | | 10,644 | |
| | 16,119 | | | | | Lincoln Electric Holdings Inc. | | | 1,558,868 | |
| | 10,315 | | | | | Lindsay Corp.(a) | | | 1,030,778 | |
| | 1,527 | | | | | Luxfer Holdings PLC | | | 21,714 | |
| | 33,465 | | | | | Lydall Inc.* | | | 628,473 | |
| | 1,860 | | | | | Manitowoc Co., Inc. (The)* | | | 17,521 | |
| | 267 | | | | | Mayville Engineering Co., Inc.* | | | 2,283 | |
| | 3,802 | | | | | Meritor Inc.* | | | 86,534 | |
| | 3,035 | | | | | Middleby Corp. (The)* | | | 297,127 | |
| | 588 | | | | | Miller Industries Inc. | | | 18,446 | |
| | 3,033 | | | | | Mueller Industries Inc. | | | 90,080 | |
| | 106,573 | | | | | Mueller Water Products Inc., Class A Shares | | | 1,150,988 | |
| | 2,734 | | | | | Navistar International Corp.* | | | 87,433 | |
| | 2,653 | | | | | NN Inc. | | | 12,071 | |
| | 3,164 | | | | | Nordson Corp. | | | 590,054 | |
| | 172 | | | | | Omega Flex Inc. | | | 22,659 | |
| | 3,735 | | | | | Oshkosh Corp. | | | 287,632 | |
| | 384 | | | | | Park-Ohio Holdings Corp. | | | 6,075 | |
| | 9,085 | | | | | Pentair PLC | | | 410,097 | |
| | 1,460 | | | | | Proto Labs Inc.* | | | 214,620 | |
| | 1,349 | | | | | RBC Bearings Inc.* | | | 178,122 | |
| | 1,837 | | | | | REV Group Inc. | | | 14,237 | |
| | 5,816 | | | | | Rexnord Corp. | | | 168,431 | |
| | 1,887 | | | | | Shyft Group Inc.(The) | | | 37,683 | |
| | 2,958 | | | | | Snap-on Inc. | | | 438,583 | |
| | 2,354 | | | | | SPX Corp.* | | | 98,468 | |
| | 2,289 | | | | | SPX FLOW Inc.* | | | 99,526 | |
| | 679 | | | | | Standex International Corp. | | | 39,273 | |
| | 998 | | | | | Tennant Co. | | | 66,337 | |
| | 3,722 | | | | | Terex Corp. | | | 72,840 | |
| | 36,383 | | | | | Timken Co. (The) | | | 1,971,595 | |
| | 5,861 | | | | | Toro Co. (The) | | | 441,216 | |
| | 2,394 | | | | | TriMas Corp.* | | | 60,520 | |
| | 5,116 | | | | | Trinity Industries Inc. | | | 104,725 | |
| | 9,100 | | | | | Twin Disc Inc.* | | | 55,055 | |
| | 2,961 | | | | | Wabash National Corp. | | | 36,154 | |
| | 1,481 | | | | | Watts Water Technologies Inc., Class A Shares | | | 141,806 | |
| | 53,210 | | | | | Welbilt Inc.* | | | 392,690 | |
| | 3,507 | | | | | Westinghouse Air Brake Technologies Corp. | | | 233,391 | |
| | 11,746 | | | | | Woodward Inc. | | | 1,006,515 | |
| | 2,396 | | | | | Xylem Inc. | | | 192,111 | |
| | | | | | | | | | |
| | | | | | Total Machinery | | | 22,454,995 | |
| | | | | | | | | | |
|
| | Marine — 0.1% | |
| | 3,224 | | | | | Costamare Inc. | | | 16,281 | |
See Notes to Financial Statements.
90
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | INDUSTRIALS — 15.4% — (continued) | |
|
| | Marine — 0.1% — (continued) | |
| | 1,848 | | | | | Eagle Bulk Shipping Inc.*(a) | | $ | 4,879 | |
| | 761 | | | | | Genco Shipping & Trading Ltd. | | | 5,411 | |
| | 3,298 | | | | | Kirby Corp.* | | | 139,967 | |
| | 2,340 | | | | | Matson Inc. | | | 93,764 | |
| | 2,124 | | | | | Safe Bulkers Inc.* | | | 2,357 | |
| | 196 | | | | | Scorpio Bulkers Inc. | | | 2,738 | |
| | | | | | | | | | |
| | | | | | Total Marine | | | 265,397 | |
| | | | | | | | | | |
|
| | Professional Services — 1.9% | |
| | 721 | | | | | Acacia Research Corp.* | | | 2,736 | |
| | 537 | | | | | Akerna Corp.*(a) | | | 3,249 | |
| | 22,068 | | | | | ASGN Inc.* | | | 1,583,820 | |
| | 440 | | | | | Barrett Business Services Inc. | | | 25,331 | |
| | 477 | | | | | BG Staffing Inc. | | | 4,474 | |
| | 2,798 | | | | | CBIZ Inc.* | | | 68,047 | |
| | 4,361 | | | | | CoreLogic Inc. | | | 289,571 | |
| | 2,406 | | | | | CoStar Group Inc.* | | | 2,041,732 | |
| | 457 | | | | | CRA International Inc. | | | 19,427 | |
| | 2,814 | | | | | Exponent Inc. | | | 226,400 | |
| | 615 | | | | | Forrester Research Inc.* | | | 21,808 | |
| | 684 | | | | | Franklin Covey Co.* | | | 13,502 | |
| | 14,347 | | | | | FTI Consulting Inc.* | | | 1,646,462 | |
| | 467 | | | | | GP Strategies Corp.* | | | 4,511 | |
| | 1,013 | | | | | Heidrick & Struggles International Inc. | | | 21,911 | |
| | 13,750 | | | | | Huron Consulting Group Inc.* | | | 596,475 | |
| | 998 | | | | | ICF International Inc. | | | 68,173 | |
| | 1,990 | | | | | Insperity Inc. | | | 134,066 | |
| | 1,817 | | | | | Kelly Services Inc., Class A Shares | | | 34,505 | |
| | 1,114 | | | | | Kforce Inc. | | | 38,255 | |
| | 3,056 | | | | | Korn Ferry | | | 93,208 | |
| | 3,191 | | | | | ManpowerGroup Inc. | | | 233,932 | |
| | 233 | | | | | Mastech Digital Inc.* | | | 4,311 | |
| | 729 | | | | | Mistras Group Inc.* | | | 3,470 | |
| | 19,596 | | | | | Nielsen Holdings PLC | | | 299,427 | |
| | 345 | | | | | Red Violet Inc.*(a) | | | 7,173 | |
| | 1,834 | | | | | Resources Connection Inc. | | | 22,540 | |
| | 6,159 | | | | | Robert Half International Inc. | | | 327,659 | |
| | 2,256 | | | | | TriNet Group Inc.* | | | 153,047 | |
| | 2,052 | | | | | TrueBlue Inc.* | | | 34,720 | |
| | 5,066 | | | | | Upwork Inc.* | | | 77,155 | |
| | 19,714 | | | | | Verisk Analytics Inc., Class A Shares | | | 3,680,012 | |
| | 586 | | | | | Willdan Group Inc.* | | | 16,514 | |
| | | | | | | | | | |
| | | | | | Total Professional Services | | | 11,797,623 | |
| | | | | | | | | | |
|
| | Road & Rail — 1.0% | |
| | 489 | | | | | AMERCO | | | 173,541 | |
| | 1,487 | | | | | ArcBest Corp. | | | 50,290 | |
| | 28,772 | | | | | Avis Budget Group Inc.* | | | 981,413 | |
| | 792 | | | | | Covenant Transportation Group Inc., Class A Shares* | | | 14,517 | |
| | 2,863 | | | | | Daseke Inc.* | | | 17,608 | |
| | 2,499 | | | | | Heartland Express Inc. | | | 51,692 | |
| | 5,340 | | | | | Hertz Global Holdings Inc.*(a) | | | 7,796 | |
| | 22,714 | | | | | Knight-Swift Transportation Holdings Inc., Class A Shares | | | 1,032,579 | |
| | 2,079 | | | | | Landstar System Inc. | | | 276,694 | |
| | 3,333 | | | | | Marten Transport Ltd. | | | 60,527 | |
See Notes to Financial Statements.
91
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | INDUSTRIALS — 15.4% — (continued) | |
|
| | Road & Rail — 1.0% — (continued) | |
| | 5,626 | | | | | Old Dominion Freight Line Inc. | | $ | 1,137,465 | |
| | 82 | | | | | PAM Transportation Services Inc.* | | | 2,993 | |
| | 9,679 | | | | | Ryder System Inc. | | | 395,871 | |
| | 10,631 | | | | | Saia Inc.* | | | 1,426,680 | |
| | 3,237 | | | | | Schneider National Inc., Class B Shares | | | 87,593 | |
| | 346 | | | | | Universal Logistics Holdings Inc. | | | 7,439 | |
| | 859 | | | | | US Xpress Enterprises Inc., Class A Shares* | | | 8,221 | |
| | 7,421 | | | | | Werner Enterprises Inc. | | | 341,440 | |
| | | | | | | | | | |
| | | | | | Total Road & Rail | | | 6,074,359 | |
| | | | | | | | | | |
|
| | Trading Companies & Distributors — 1.0% | |
| | 37,572 | | | | | AerCap Holdings NV* | | | 1,111,004 | |
| | 5,874 | | | | | Air Lease Corp., Class A Shares | | | 182,564 | |
| | 924 | | | | | Alta Equipment Group Inc.* | | | 7,715 | |
| | 2,163 | | | | | Applied Industrial Technologies Inc. | | | 130,234 | |
| | 2,986 | | | | | Beacon Roofing Supply Inc.* | | | 101,196 | |
| | 3,685 | | | | | BMC Stock Holdings Inc.* | | | 147,105 | |
| | 945 | | | | | CAI International Inc.* | | | 20,610 | |
| | 941 | | | | | DXP Enterprises Inc.* | | | 18,105 | |
| | 360 | | | | | EVI Industries Inc.*(a) | | | 8,842 | |
| | 42,450 | | | | | Fastenal Co. | | | 2,074,107 | |
| | 1,155 | | | | | Foundation Building Materials Inc.* | | | 18,746 | |
| | 1,880 | | | | | GATX Corp. | | | 125,734 | |
| | 295 | | | | | General Finance Corp.* | | | 1,912 | |
| | 2,325 | | | | | GMS Inc.* | | | 61,589 | |
| | 1,849 | | | | | H&E Equipment Services Inc. | | | 37,461 | |
| | 8,863 | | | | | HD Supply Holdings Inc.* | | | 351,507 | |
| | 1,368 | | | | | Herc Holdings Inc.* | | | 56,020 | |
| | 282 | | | | | Lawson Products Inc.* | | | 10,124 | |
| | 4,213 | | | | | MRC Global Inc.* | | | 23,972 | |
| | 2,458 | | | | | MSC Industrial Direct Co., Inc., Class A Shares | | | 161,982 | |
| | 1,125 | | | | | Nesco Holdings Inc.* | | | 4,500 | |
| | 6,291 | | | | | NOW Inc.* | | | 45,736 | |
| | 1,540 | | | | | Rush Enterprises Inc., Class A Shares | | | 74,413 | |
| | 192 | | | | | Rush Enterprises Inc., Class B Shares | | | 8,024 | |
| | 2,289 | | | | | SiteOne Landscape Supply Inc.* | | | 286,239 | |
| | 687 | | | | | Systemax Inc. | | | 15,244 | |
| | 2,972 | | | | | Textainer Group Holdings Ltd.* | | | 34,891 | |
| | 1,195 | | | | | Titan Machinery Inc.* | | | 16,132 | |
| | 269 | | | | | Transcat Inc.* | | | 7,911 | |
| | 2,757 | | | | | Triton International Ltd. | | | 99,417 | |
| | 9,194 | | | | | Univar Solutions Inc.* | | | 167,239 | |
| | 727 | | | | | Veritiv Corp.* | | | 12,635 | |
| | 1,787 | | | | | Watsco Inc. | | | 437,797 | |
| | 2,714 | | | | | WESCO International Inc.* | | | 127,151 | |
| | 120 | | | | | Willis Lease Finance Corp.* | | | 2,566 | |
| | | | | | | | | | |
| | | | | | Total Trading Companies & Distributors | | | 5,990,424 | |
| | | | | | | | | | |
|
| | Transportation Infrastructure — 0.0% | |
| | 4,041 | | | | | Macquarie Infrastructure Corp. | | | 113,229 | |
| | | | | | | | | | |
| | | | | | TOTAL INDUSTRIALS | | | 95,219,616 | |
| | | | | | | | | | |
|
| | INFORMATION TECHNOLOGY — 20.1% | |
|
| | Communications Equipment — 1.5% | |
| | 2,131 | | | | | Acacia Communications Inc.* | | | 143,800 | |
See Notes to Financial Statements.
92
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | INFORMATION TECHNOLOGY — 20.1% — (continued) | |
|
| | Communications Equipment — 1.5% — (continued) | |
| | 10,997 | | | | | ADTRAN Inc. | | $ | 121,957 | |
| | 1,155 | | | | | Applied Optoelectronics Inc.* | | | 13,433 | |
| | 58,723 | | | | | CalAmp Corp.*(a) | | | 479,767 | |
| | 2,612 | | | | | Calix Inc.* | | | 50,803 | |
| | 1,434 | | | | | Casa Systems Inc.* | | | 6,525 | |
| | 59,927 | | | | | Ciena Corp.* | | | 3,402,056 | |
| | 751 | | | | | Clearfield Inc.* | | | 13,218 | |
| | 10,625 | | | | | CommScope Holding Co., Inc.* | | | 109,437 | |
| | 1,333 | | | | | Comtech Telecommunications Corp. | | | 22,128 | |
| | 734 | | | | | DASAN Zhone Solutions Inc.* | | | 7,648 | |
| | 1,623 | | | | | Digi International Inc.* | | | 22,105 | |
| | 2,678 | | | | | EchoStar Corp., Class A Shares* | | | 78,680 | |
| | 6,126 | | | | | Extreme Networks Inc.* | | | 26,771 | |
| | 1,820 | | | | | Genasys Inc.* | | | 9,100 | |
| | 5,568 | | | | | Harmonic Inc.* | | | 32,851 | |
| | 181,175 | | | | | Infinera Corp.* | | | 1,320,766 | |
| | 3,144 | | | | | Inseego Corp.*(a) | | | 36,093 | |
| | 1,699 | | | | | InterDigital Inc. | | | 103,894 | |
| | 659 | | | | | KVH Industries Inc.* | | | 5,924 | |
| | 4,124 | | | | | Lumentum Holdings Inc.* | | | 354,664 | |
| | 1,644 | | | | | NETGEAR Inc.* | | | 54,827 | |
| | 3,872 | | | | | NetScout Systems Inc.* | | | 89,598 | |
| | 936 | | | | | PCTEL Inc.* | | | 5,934 | |
| | 1,880 | | | | | Plantronics Inc. | | | 23,237 | |
| | 11,600 | | | | | Radware Ltd.* | | | 300,672 | |
| | 2,628 | | | | | Resonant Inc.*(a) | | | 7,017 | |
| | 100,345 | | | | | Ribbon Communications Inc.* | | | 429,477 | |
| | 3,203 | | | | | ViaSat Inc.* | | | 127,351 | |
| | 155,094 | | | | | Viavi Solutions Inc.* | | | 2,068,178 | |
| | | | | | | | | | |
| | | | | | Total Communications Equipment | | | 9,467,911 | |
| | | | | | | | | | |
|
| | Electronic Equipment, Instruments & Components — 2.7% | |
| | 1,846 | | | | | Akoustis Technologies Inc.*(a) | | | 14,639 | |
| | 29,174 | | | | | Amphenol Corp., Class A Shares | | | 3,203,305 | |
| | 4,445 | | | | | Arlo Technologies Inc.* | | | 25,470 | |
| | 4,279 | | | | | Arrow Electronics Inc.* | | | 336,158 | |
| | 5,410 | | | | | Avnet Inc. | | | 148,829 | |
| | 1,582 | | | | | Badger Meter Inc. | | | 97,594 | |
| | 335 | | | | | Bel Fuse Inc., Class B Shares | | | 4,027 | |
| | 25,073 | | | | | Belden Inc. | | | 844,459 | |
| | 1,879 | | | | | Benchmark Electronics Inc. | | | 36,847 | |
| | 9,064 | | | | | Cognex Corp. | | | 627,138 | |
| | 1,329 | | | | | Coherent Inc.* | | | 149,725 | |
| | 1,669 | | | | | CTS Corp. | | | 34,882 | |
| | 1,375 | | | | | Daktronics Inc. | | | 6,077 | |
| | 3,508 | | | | | Dolby Laboratories Inc., Class A Shares | | | 245,034 | |
| | 751 | | | | | ePlus Inc.* | | | 57,617 | |
| | 2,015 | | | | | Fabrinet* | | | 140,607 | |
| | 919 | | | | | FARO Technologies Inc.* | | | 51,923 | |
| | 13,069 | | | | | Fitbit Inc., Class A Shares* | | | 83,119 | |
| | 34,126 | | | | | FLIR Systems Inc. | | | 1,259,249 | |
| | 12,737 | | | | | II-VI Inc.* | | | 566,796 | |
| | 1,930 | | | | | Insight Enterprises Inc.* | | | 115,424 | |
| | 857 | | | | | Intellicheck Inc.* | | | 5,399 | |
| | 4,897 | | | | | IPG Photonics Corp.* | | | 791,992 | |
See Notes to Financial Statements.
93
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | INFORMATION TECHNOLOGY — 20.1% — (continued) | |
|
| | Electronic Equipment, Instruments & Components — 2.7% — (continued) | |
| | 2,709 | | | | | Iteris Inc.* | | $ | 12,380 | |
| | 43,321 | | | | | Itron Inc.*(a) | | | 2,580,632 | |
| | 8,117 | | | | | Jabil Inc. | | | 277,196 | |
| | 1,399 | | | | | Kimball Electronics Inc.* | | | 18,866 | |
| | 56,540 | | | | | Knowles Corp.* | | | 851,492 | |
| | 1,289 | | | | | Littelfuse Inc. | | | 233,103 | |
| | 1,557 | | | | | Luna Innovations Inc.* | | | 9,965 | |
| | 2,017 | | | | | Methode Electronics Inc. | | | 57,101 | |
| | 1,095 | | | | | MTS Systems Corp. | | | 26,718 | |
| | 702 | | | | | Napco Security Technologies Inc.* | | | 17,487 | |
| | 7,091 | | | | | National Instruments Corp. | | | 254,496 | |
| | 1,987 | | | | | nLight Inc.* | | | 46,416 | |
| | 1,874 | | | | | Novanta Inc.* | | | 200,837 | |
| | 10,524 | | | | | OSI Systems Inc.* | | | 828,765 | |
| | 881 | | | | | PAR Technology Corp.* | | | 32,897 | |
| | 650 | | | | | PC Connection Inc. | | | 28,788 | |
| | 1,588 | | | | | Plexus Corp.* | | | 120,799 | |
| | 1,439 | | | | | Powerfleet Inc.* | | | 8,087 | |
| | 1,448 | | | | | Research Frontiers Inc.* | | | 3,359 | |
| | 8,462 | | | | | Rogers Corp.* | | | 958,829 | |
| | 3,678 | | | | | Sanmina Corp.* | | | 104,087 | |
| | 1,388 | | | | | ScanSource Inc.* | | | 34,270 | |
| | 2,287 | | | | | SYNNEX Corp. | | | 290,792 | |
| | 13,740 | | | | | Trimble Inc.* | | | 720,113 | |
| | 5,442 | | | | | TTM Technologies Inc.* | | | 62,365 | |
| | 7,212 | | | | | Vishay Intertechnology Inc. | | | 115,320 | |
| | 672 | | | | | Vishay Precision Group Inc.* | | | 16,740 | |
| | 695 | | | | | Wrap Technologies Inc.*(a) | | | 6,047 | |
| | | | | | | | | | |
| | | | | | Total Electronic Equipment, Instruments & Components | | | 16,764,257 | |
| | | | | | | | | | |
|
| | IT Services — 3.4% | |
| | 2,581 | | | | | Alliance Data Systems Corp. | | | 116,429 | |
| | 7,297 | | | | | Amdocs Ltd. | | | 446,795 | |
| | 37,861 | | | | | Black Knight Inc.* | | | 3,184,110 | |
| | 7,583 | | | | | Booz Allen Hamilton Holding Corp., Class A Shares | | | 667,759 | |
| | 2,182 | | | | | Brightcove Inc.* | | | 24,264 | |
| | 1,370 | | | | | CACI International Inc., Class A Shares* | | | 320,840 | |
| | 2,055 | | | | | Cardtronics PLC, Class A Shares* | | | 44,614 | |
| | 772 | | | | | Cass Information Systems Inc. | | | 30,231 | |
| | 201,431 | | | | | Conduent Inc.* | | | 680,837 | |
| | 1,784 | | | | | CSG Systems International Inc. | | | 75,945 | |
| | 13,913 | | | | | DXC Technology Co. | | | 277,982 | |
| | 3,822 | | | | | Endurance International Group Holdings Inc.* | | | 24,881 | |
| | 11,255 | | | | | Euronet Worldwide Inc.* | | | 1,163,542 | |
| | 3,315 | | | | | EVERTEC Inc. | | | 116,091 | |
| | 2,237 | | | | | Evo Payments Inc., Class A Shares* | | | 64,269 | |
| | 1,840 | | | | | ExlService Holdings Inc.* | | | 117,190 | |
| | 4,015 | | | | | Fastly Inc., Class A Shares* | | | 372,753 | |
| | 5,400 | | | | | Gartner Inc.* | | | 701,028 | |
| | 10,333 | | | | | Genpact Ltd. | | | 435,846 | |
| | 3,413 | | | | | GreenSky Inc., Class A Shares* | | | 14,846 | |
| | 1,136 | | | | | Grid Dynamics Holdings Inc.* | | | 8,429 | |
| | 1,968 | | | | | GTT Communications Inc.*(a) | | | 9,801 | |
| | 1,321 | | | | | Hackett Group Inc. (The) | | | 16,658 | |
| | 841 | | | | | I3 Verticals Inc., Class A Shares* | | | 23,455 | |
See Notes to Financial Statements.
94
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | INFORMATION TECHNOLOGY — 20.1% — (continued) | |
|
| | IT Services — 3.4% — (continued) | |
| | 1,089 | | | | | Information Services Group Inc.* | | $ | 2,238 | |
| | 790 | | | | | International Money Express Inc.* | | | 13,367 | |
| | 62,318 | | | | | KBR Inc. | | | 1,557,327 | |
| | 5,944 | | | | | Limelight Networks Inc.* | | | 33,702 | |
| | 3,590 | | | | | LiveRamp Holdings Inc.* | | | 200,466 | |
| | 1,484 | | | | | ManTech International Corp., Class A Shares | | | 111,077 | |
| | 3,332 | | | | | MAXIMUS Inc. | | | 258,397 | |
| | 3,433 | | | | | MoneyGram International Inc.* | | | 10,024 | |
| | 2,303 | | | | | MongoDB Inc., Class A Shares* | | | 538,441 | |
| | 3,600 | | | | | NIC Inc. | | | 76,968 | |
| | 4,324 | | | | | Okta Inc., Class A Shares* | | | 931,260 | |
| | 1,815 | | | | | Paysign Inc.* | | | 11,689 | |
| | 1,788 | | | | | Perficient Inc.* | | | 76,723 | |
| | 7,617 | | | | | Perspecta Inc. | | | 158,205 | |
| | 780 | | | | | PFSweb Inc.* | | | 6,591 | |
| | 482 | | | | | Priority Technology Holdings Inc.* | | | 940 | |
| | 37,106 | | | | | Repay Holdings Corp., Class A Shares* | | | 938,782 | |
| | 15,256 | | | | | Sabre Corp. | | | 106,639 | |
| | 15,304 | | | | | Science Applications International Corp. | | | 1,277,272 | |
| | 4,566 | | | | | ServiceSource International Inc.* | | | 6,872 | |
| | 675 | | | | | StarTek Inc.* | | | 3,375 | |
| | 9,850 | | | | | StoneCo Ltd., Class A Shares* | | | 502,350 | |
| | 4,854 | | | | | Switch Inc., Class A Shares | | | 83,489 | |
| | 2,136 | | | | | Sykes Enterprises Inc.* | | | 70,712 | |
| | 1,000 | | | | | TTEC Holdings Inc. | | | 56,690 | |
| | 530 | | | | | Tucows Inc., Class A Shares* | | | 33,507 | |
| | 3,096 | | | | | Twilio Inc., Class A Shares* | | | 835,177 | |
| | 95,673 | | | | | Unisys Corp.* | | | 1,115,547 | |
| | 7,329 | | | | | Verra Mobility Corp., Class A Shares* | | | 77,431 | |
| | 1,640 | | | | | Virtusa Corp.* | | | 64,846 | |
| | 9,786 | | | | | WEX Inc.* | | | 1,562,922 | |
| | 16,260 | | | | | WNS Holdings Ltd., ADR* | | | 1,078,851 | |
| | | | | | | | | | |
| | | | | | Total IT Services | | | 20,740,472 | |
| | | | | | | | | | |
|
| | Semiconductors & Semiconductor Equipment — 3.3% | |
| | 36,742 | | | | | Advanced Energy Industries Inc.* | | | 2,723,317 | |
| | 1,273 | | | | | Alpha & Omega Semiconductor Ltd.* | | | 17,249 | |
| | 1,825 | | | | | Ambarella Inc.* | | | 96,178 | |
| | 5,505 | | | | | Amkor Technology Inc.* | | | 67,133 | |
| | 785 | | | | | Atomera Inc.*(a) | | | 9,977 | |
| | 1,736 | | | | | Axcelis Technologies Inc.* | | | 41,022 | |
| | 2,299 | | | | | AXT Inc.* | | | 12,966 | |
| | 31,198 | | | | | Brooks Automation Inc. | | | 1,610,753 | |
| | 1,589 | | | | | Cabot Microelectronics Corp. | | | 241,989 | |
| | 15,884 | | | | | CEVA Inc.* | | | 671,099 | |
| | 3,211 | | | | | Cirrus Logic Inc.* | | | 194,554 | |
| | 2,377 | | | | | Cohu Inc. | | | 40,884 | |
| | 5,958 | | | | | Cree Inc.* | | | 375,950 | |
| | 392 | | | | | CyberOptics Corp.* | | | 12,564 | |
| | 2,325 | | | | | Diodes Inc.* | | | 113,599 | |
| | 1,175 | | | | | DSP Group Inc.* | | | 16,850 | |
| | 5,815 | | | | | Enphase Energy Inc.* | | | 449,092 | |
| | 19,887 | | | | | Entegris Inc. | | | 1,330,241 | |
| | 4,578 | | | | | First Solar Inc.* | | | 350,629 | |
| | 4,204 | | | | | FormFactor Inc.* | | | 109,851 | |
See Notes to Financial Statements.
95
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | INFORMATION TECHNOLOGY — 20.1% — (continued) | |
|
| | Semiconductors & Semiconductor Equipment — 3.3% — (continued) | |
| | 606 | | | | | GSI Technology Inc.* | | $ | 3,854 | |
| | 1,285 | | | | | Ichor Holdings Ltd.* | | | 32,331 | |
| | 12,233 | | | | | Impinj Inc.* | | | 299,097 | |
| | 2,634 | | | | | Inphi Corp.* | | | 300,223 | |
| | 7,366 | | | | | Lattice Semiconductor Corp.* | | | 210,668 | |
| | 82,617 | | | | | MACOM Technology Solutions Holdings Inc.*(a) | | | 2,943,644 | |
| | 562 | | | | | Maxeon Solar Technologies Ltd.* | | | 11,678 | |
| | 3,584 | | | | | MaxLinear Inc., Class A Shares* | | | 87,270 | |
| | 3,009 | | | | | MKS Instruments Inc. | | | 359,666 | |
| | 2,395 | | | | | Monolithic Power Systems Inc. | | | 639,776 | |
| | 2,843 | | | | | NeoPhotonics Corp.* | | | 18,934 | |
| | 288 | | | | | NVE Corp. | | | 15,388 | |
| | 42,573 | | | | | ON Semiconductor Corp.* | | | 909,785 | |
| | 2,586 | | | | | Onto Innovation Inc.* | | | 80,787 | |
| | 1,549 | | | | | PDF Solutions Inc.* | | | 32,064 | |
| | 2,296 | | | | | Photronics Inc.* | | | 23,029 | |
| | 1,973 | | | | | Pixelworks Inc.* | | | 4,498 | |
| | 3,226 | | | | | Power Integrations Inc. | | | 180,559 | |
| | 90,265 | | | | | Rambus Inc.* | | | 1,212,259 | |
| | 3,564 | | | | | Semtech Corp.* | | | 209,029 | |
| | 2,366 | | | | | Silicon Laboratories Inc.* | | | 242,302 | |
| | 18,760 | | | | | Silicon Motion Technology Corp., ADR | | | 711,192 | |
| | 12,292 | | | | | SiTime Corp.* | | | 809,797 | |
| | 785 | | | | | SMART Global Holdings Inc.* | | | 19,782 | |
| | 2,690 | | | | | SolarEdge Technologies Inc.* | | | 594,894 | |
| | 4,498 | | | | | SunPower Corp., Class A Shares*(a) | | | 50,333 | |
| | 1,886 | | | | | Synaptics Inc.* | | | 160,932 | |
| | 9,121 | | | | | Teradyne Inc. | | | 775,011 | |
| | 2,214 | | | | | Ultra Clean Holdings Inc.* | | | 54,287 | |
| | 2,361 | | | | | Universal Display Corp. | | | 414,356 | |
| | 65,254 | | | | | Veeco Instruments Inc.* | | | 775,870 | |
| | | | | | | | | | |
| | | | | | Total Semiconductors & Semiconductor Equipment | | | 20,669,192 | |
| | | | | | | | | | |
|
| | Software — 8.6% | |
| | 28,344 | | | | | 2U Inc.* | | | 1,173,158 | |
| | 5,545 | | | | | 8x8 Inc.* | | | 93,600 | |
| | 3,336 | | | | | A10 Networks Inc.* | | | 28,523 | |
| | 63,689 | | | | | ACI Worldwide Inc.* | | | 1,871,183 | |
| | 949 | | | | | Agilysys Inc.* | | | 24,076 | |
| | 2,482 | | | | | Alarm.com Holdings Inc.* | | | 148,597 | |
| | 2,300 | | | | | Altair Engineering Inc., Class A Shares* | | | 96,646 | |
| | 2,902 | | | | | Alteryx Inc., Class A Shares* | | | 350,649 | |
| | 1,562 | | | | | American Software Inc., Class A Shares | | | 22,118 | |
| | 7,174 | | | | | Anaplan Inc.* | | | 439,407 | |
| | 10,340 | | | | | ANSYS Inc.* | | | 3,505,363 | |
| | 876 | | | | | Appfolio Inc., Class A Shares* | | | 147,194 | |
| | 1,801 | | | | | Appian Corp., Class A Shares*(a) | | | 110,293 | |
| | 11,763 | | | | | Aspen Technology Inc.* | | | 1,494,254 | |
| | 538 | | | | | Asure Software Inc.* | | | 3,621 | |
| | 4,236 | | | | | Atlassian Corp. PLC, Class A Shares* | | | 812,295 | |
| | 4,449 | | | | | Avalara Inc.* | | | 589,092 | |
| | 4,942 | | | | | Avaya Holdings Corp.* | | | 76,700 | |
| | 1,594 | | | | | Benefitfocus Inc.* | | | 16,482 | |
| | 885 | | | | | Bill.com Holdings Inc.* | | | 87,597 | |
| | 2,705 | | | | | Blackbaud Inc. | | | 172,714 | |
See Notes to Financial Statements.
96
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | INFORMATION TECHNOLOGY — 20.1% — (continued) | |
|
| | Software — 8.6% — (continued) | |
| | 26,906 | | | | | Blackline Inc.* | | $ | 2,350,777 | |
| | 58,668 | | | | | Bottomline Technologies de Inc.* | | | 2,794,357 | |
| | 41,674 | | | | | Box Inc., Class A Shares* | | | 818,061 | |
| | 6,701 | | | | | CDK Global Inc. | | | 312,401 | |
| | 2,076 | | | | | Cerence Inc.* | | | 110,443 | |
| | 5,847 | | | | | Ceridian HCM Holding Inc.* | | | 464,953 | |
| | 1,588 | | | | | ChannelAdvisor Corp.* | | | 26,710 | |
| | 157,553 | | | | | Cloudera Inc.* | | | 2,081,275 | |
| | 6,005 | | | | | Cloudflare Inc., Class A Shares* | | | 229,751 | |
| | 2,280 | | | | | CommVault Systems Inc.* | | | 98,564 | |
| | 3,313 | | | | | Cornerstone OnDemand Inc.* | | | 116,850 | |
| | 1,363 | | | | | Coupa Software Inc.* | | | 446,710 | |
| | 704 | | | | | Digimarc Corp.* | | | 11,250 | |
| | 4,744 | | | | | Digital Turbine Inc.* | | | 114,757 | |
| | 1,398 | | | | | Domo Inc., Class B Shares* | | | 56,927 | |
| | 9,586 | | | | | Dynatrace Inc.* | | | 423,989 | |
| | 1,396 | | | | | Ebix Inc. | | | 32,206 | |
| | 1,309 | | | | | eGain Corp.* | | | 17,514 | |
| | 3,014 | | | | | Elastic NV* | | | 327,260 | |
| | 28,259 | | | | | Envestnet Inc.* | | | 2,345,214 | |
| | 1,887 | | | | | Everbridge Inc.* | | | 280,427 | |
| | 1,543 | | | | | Fair Isaac Corp.* | | | 649,279 | |
| | 110,527 | | | | | FireEye Inc.* | | | 1,622,536 | |
| | 3,400 | | | | | Five9 Inc.* | | | 433,296 | |
| | 1,992 | | | | | Globant SA* | | | 353,739 | |
| | 2,223 | | | | | GTY Technology Holdings Inc.* | | | 7,258 | |
| | 4,573 | | | | | Guidewire Software Inc.* | | | 513,594 | |
| | 2,281 | | | | | HubSpot Inc.* | | | 683,570 | |
| | 416 | | | | | Intelligent Systems Corp.* | | | 15,637 | |
| | 2,537 | | | | | j2 Global Inc.* | | | 177,565 | |
| | 3,336 | | | | | LivePerson Inc.* | | | 199,026 | |
| | 2,668 | | | | | LogMeIn Inc.(d) | | | 229,555 | |
| | 231 | | | | | Majesco* | | | 3,694 | |
| | 3,485 | | | | | Manhattan Associates Inc.* | | | 338,916 | |
| | 4,503 | | | | | Medallia Inc.* | | | 162,964 | |
| | 417 | | | | | MicroStrategy Inc., Class A Shares* | | | 60,231 | |
| | 27,470 | | | | | Mimecast Ltd.* | | | 1,352,623 | |
| | 1,166 | | | | | Mitek Systems Inc.* | | | 14,797 | |
| | 66,019 | | | | | MobileIron Inc.* | | | 431,104 | |
| | 1,866 | | | | | Model N Inc.* | | | 73,371 | |
| | 6,073 | | | | | New Relic Inc.* | | | 373,064 | |
| | 164,783 | | | | | Nuance Communications Inc.* | | | 4,936,899 | |
| | 9,808 | | | | | Nutanix Inc., Class A Shares* | | | 281,588 | |
| | 34,578 | | | | | OneSpan Inc.* | | | 745,156 | |
| | 3,772 | | | | | PagerDuty Inc.* | | | 123,231 | |
| | 929 | | | | | Park City Group Inc.* | | | 4,608 | |
| | 5,757 | | | | | Paylocity Holding Corp.* | | | 847,718 | |
| | 2,172 | | | | | Pegasystems Inc. | | | 279,037 | |
| | 897 | | | | | Ping Identity Holding Corp.* | | | 30,920 | |
| | 5,158 | | | | | Pluralsight Inc., Class A Shares* | | | 98,724 | |
| | 2,500 | | | | | Progress Software Corp. | | | 94,725 | |
| | 12,129 | | | | | Proofpoint Inc.* | | | 1,330,187 | |
| | 50,940 | | | | | PROS Holdings Inc.* | | | 1,986,660 | |
| | 5,747 | | | | | PTC Inc.* | | | 525,333 | |
| | 2,709 | | | | | Q2 Holdings Inc.* | | | 263,559 | |
See Notes to Financial Statements.
97
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | INFORMATION TECHNOLOGY — 20.1% — (continued) | |
|
| | Software — 8.6% — (continued) | |
| | 672 | | | | | QAD Inc., Class A Shares | | $ | 30,563 | |
| | 12,850 | | | | | Qualys Inc.* | | | 1,363,899 | |
| | 2,756 | | | | | Rapid7 Inc.* | | | 177,955 | |
| | 4,832 | | | | | RealPage Inc.* | | | 302,580 | |
| | 1,073 | | | | | Rimini Street Inc.* | | | 4,700 | |
| | 1,256 | | | | | Rosetta Stone Inc.* | | | 38,157 | |
| | 4,829 | | | | | SailPoint Technologies Holding Inc.* | | | 189,442 | |
| | 1,405 | | | | | Sapiens International Corp. NV | | | 47,124 | |
| | 1,260 | | | | | Seachange International Inc.* | | | 1,688 | |
| | 333 | | | | | SecureWorks Corp., Class A Shares* | | | 4,306 | |
| | 360 | | | | | ShotSpotter Inc.* | | | 10,786 | |
| | 6,076 | | | | | Smartsheet Inc., Class A Shares* | | | 331,324 | |
| | 1,796 | | | | | Smith Micro Software Inc.* | | | 6,897 | |
| | 2,567 | | | | | SolarWinds Corp.* | | | 53,984 | |
| | 371 | | | | | Sprout Social Inc., Class A Shares* | | | 14,376 | |
| | 1,929 | | | | | SPS Commerce Inc.* | | | 154,089 | |
| | 6,533 | | | | | SVMK Inc.* | | | 162,606 | |
| | 2,724 | | | | | Synchronoss Technologies Inc.* | | | 11,958 | |
| | 13,300 | | | | | Talend SA, ADR* | | | 547,694 | |
| | 2,185 | | | | | Telenav Inc.* | | | 10,029 | |
| | 3,776 | | | | | Tenable Holdings Inc.* | | | 142,129 | |
| | 6,038 | | | | | Teradata Corp.* | | | 147,025 | |
| | 2,188 | | | | | Tyler Technologies Inc.* | | | 755,538 | |
| | 1,291 | | | | | Upland Software Inc.* | | | 50,633 | |
| | 1,709 | | | | | Varonis Systems Inc.* | | | 211,113 | |
| | 39,231 | | | | | Verint Systems Inc.* | | | 1,865,826 | |
| | 1,276 | | | | | Veritone Inc.*(a) | | | 10,553 | |
| | 3,570 | | | | | VirnetX Holding Corp.(a) | | | 17,743 | |
| | 2,109 | | | | | Workiva Inc., Class A Shares* | | | 124,431 | |
| | 85,785 | | | | | Xperi Holding Corp. | | | 1,074,886 | |
| | 5,525 | | | | | Yext Inc.* | | | 109,726 | |
| | 6,223 | | | | | Zendesk Inc.* | | | 599,773 | |
| | 3,236 | | | | | Zix Corp.* | | | 19,610 | |
| | 3,873 | | | | | Zscaler Inc.* | | | 555,156 | |
| | 5,346 | | | | | Zuora Inc., Class A Shares* | | | 72,652 | |
| | | | | | | | | | |
| | | | | | Total Software | | | 53,189,073 | |
| | | | | | | | | | |
|
| | Technology Hardware, Storage & Peripherals — 0.6% | |
| | 6,048 | | | | | 3D Systems Corp.* | | | 33,203 | |
| | 1,710 | | | | | Avid Technology Inc.* | | | 13,851 | |
| | 79,668 | | | | | Diebold Nixdorf Inc.* | | | 664,431 | |
| | 1,328 | | | | | Immersion Corp.* | | | 12,629 | |
| | 1,166 | | | | | Intevac Inc.* | | | 6,996 | |
| | 70,536 | | | | | NCR Corp.* | | | 1,441,756 | |
| | 13,311 | | | | | Pure Storage Inc., Class A Shares* | | | 203,126 | |
| | 61,173 | | | | | Quantum Corp.* | | | 334,005 | |
| | 39,400 | | | | | Stratasys Ltd.*(a) | | | 585,484 | |
| | 2,456 | | | | | Super Micro Computer Inc.* | | | 67,270 | |
| | 9,958 | | | | | Xerox Holdings Corp. | | | 187,808 | |
| | | | | | | | | | |
| | | | | | Total Technology Hardware, Storage & Peripherals | | | 3,550,559 | |
| | | | | | | | | | |
| | | | | | TOTAL INFORMATION TECHNOLOGY | | | 124,381,464 | |
| | | | | | | | | | |
|
| | MATERIALS — 4.7% | |
|
| | Chemicals — 1.6% | |
| | 664 | | | | | Advanced Emissions Solutions Inc. | | | 2,570 | |
See Notes to Financial Statements.
98
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | MATERIALS — 4.7% — (continued) | |
|
| | Chemicals — 1.6% — (continued) | |
| | 1,530 | | | | | AdvanSix Inc.* | | $ | 19,477 | |
| | 1,569 | | | | | AgroFresh Solutions Inc.* | | | 3,891 | |
| | 9,838 | | | | | Albemarle Corp. | | | 895,356 | |
| | 1,581 | | | | | American Vanguard Corp. | | | 22,371 | |
| | 3,433 | | | | | Amyris Inc.* | | | 11,260 | |
| | 3,044 | | | | | Ashland Global Holdings Inc. | | | 224,312 | |
| | 5,013 | | | | | Avient Corp. | | | 127,932 | |
| | 11,583 | | | | | Axalta Coating Systems Ltd.* | | | 276,255 | |
| | 1,757 | | | | | Balchem Corp. | | | 171,659 | |
| | 3,071 | | | | | Cabot Corp. | | | 113,658 | |
| | 11,756 | | | | | CF Industries Holdings Inc. | | | 383,598 | |
| | 413 | | | | | Chase Corp. | | | 40,297 | |
| | 8,996 | | | | | Chemours Co. (The) | | | 185,857 | |
| | 15,197 | | | | | Ecolab Inc. | | | 2,995,025 | |
| | 12,103 | | | | | Element Solutions Inc.* | | | 130,107 | |
| | 4,626 | | | | | Ferro Corp.* | | | 57,686 | |
| | 1,486 | | | | | FutureFuel Corp. | | | 17,981 | |
| | 2,573 | | | | | GCP Applied Technologies Inc.* | | | 67,052 | |
| | 570 | | | | | Hawkins Inc. | | | 28,626 | |
| | 2,829 | | | | | HB Fuller Co. | | | 136,273 | |
| | 11,075 | | | | | Huntsman Corp. | | | 239,442 | |
| | 2,272 | | | | | Ingevity Corp.* | | | 127,618 | |
| | 1,331 | | | | | Innospec Inc. | | | 99,412 | |
| | 359 | | | | | Intrepid Potash Inc.*(b) | | | 3,353 | |
| | 1,137 | | | | | Koppers Holdings Inc.* | | | 27,356 | |
| | 42,325 | | | | | Kraton Corp.* | | | 594,243 | |
| | 1,402 | | | | | Kronos Worldwide Inc. | | | 17,511 | |
| | 8,282 | | | | | Livent Corp.* | | | 70,231 | |
| | 1,702 | | | | | Marrone Bio Innovations Inc.* | | | 2,162 | |
| | 1,835 | | | | | Minerals Technologies Inc. | | | 93,126 | |
| | 18,919 | | | | | Mosaic Co. (The) | | | 344,893 | |
| | 377 | | | | | NewMarket Corp. | | | 140,429 | |
| | 7,702 | | | | | Olin Corp. | | | 86,648 | |
| | 3,196 | | | | | Orion Engineered Carbons SA | | | 38,831 | |
| | 2,114 | | | | | PQ Group Holdings Inc.* | | | 24,628 | |
| | 724 | | | | | Quaker Chemical Corp. | | | 137,560 | |
| | 3,651 | | | | | Rayonier Advanced Materials Inc.* | | | 11,537 | |
| | 7,029 | | | | | RPM International Inc. | | | 595,848 | |
| | 2,227 | | | | | Scotts Miracle-Gro Co. (The) | | | 375,316 | |
| | 2,370 | | | | | Sensient Technologies Corp. | | | 130,872 | |
| | 1,177 | | | | | Stepan Co. | | | 135,696 | |
| | 1,625 | | | | | Trecora Resources* | | | 9,766 | |
| | 1,482 | | | | | Tredegar Corp. | | | 25,090 | |
| | 2,055 | | | | | Trinseo SA | | | 51,190 | |
| | 38,912 | | | | | Tronox Holdings PLC, Class A Shares | | | 348,652 | |
| | 10,200 | | | | | Valvoline Inc. | | | 208,080 | |
| | 1,877 | | | | | Westlake Chemical Corp. | | | 111,344 | |
| | 3,122 | | | | | WR Grace & Co. | | | 127,097 | |
| | | | | | | | | | |
| | | | | | Total Chemicals | | | 10,089,174 | |
| | | | | | | | | | |
|
| | Construction Materials — 0.5% | |
| | 2,269 | | | | | Eagle Materials Inc. | | | 185,536 | |
| | 1,213 | | | | | Forterra Inc.* | | | 16,072 | |
| | 842 | | | | | Martin Marietta Materials Inc. | | | 170,817 | |
| | 6,452 | | | | | Summit Materials Inc., Class A Shares* | | | 96,070 | |
See Notes to Financial Statements.
99
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | MATERIALS — 4.7% — (continued) | |
|
| | Construction Materials — 0.5% — (continued) | |
| | 136 | | | | | United States Lime & Minerals Inc. | | $ | 12,530 | |
| | 936 | | | | | US Concrete Inc.* | | | 24,982 | |
| | 22,415 | | | | | Vulcan Materials Co. | | | 2,689,800 | |
| | | | | | | | | | |
| | | | | | Total Construction Materials | | | 3,195,807 | |
| | | | | | | | | | |
|
| | Containers & Packaging — 1.8% | |
| | 13,726 | | | | | AptarGroup Inc. | | | 1,625,021 | |
| | 1,094 | | | | | Ardagh Group SA, Class A Shares | | | 16,651 | |
| | 19,978 | | | | | Avery Dennison Corp. | | | 2,305,261 | |
| | 34,746 | | | | | Berry Global Group Inc.* | | | 1,790,809 | |
| | 46,151 | | | | | Crown Holdings Inc.* | | | 3,546,704 | |
| | 15,261 | | | | | Graphic Packaging Holding Co. | | | 213,349 | |
| | 1,405 | | | | | Greif Inc., Class A Shares | | | 51,774 | |
| | 370 | | | | | Greif Inc., Class B Shares | | | 15,181 | |
| | 1,948 | | | | | Myers Industries Inc. | | | 29,804 | |
| | 8,544 | | | | | O-I Glass Inc. | | | 92,959 | |
| | 5,154 | | | | | Packaging Corp. of America | | | 521,791 | |
| | 1,540 | | | | | Ranpak Holdings Corp., Class A Shares* | | | 13,768 | |
| | 8,544 | | | | | Sealed Air Corp. | | | 335,779 | |
| | 13,997 | | | | | Silgan Holdings Inc. | | | 532,726 | |
| | 5,468 | | | | | Sonoco Products Co. | | | 289,968 | |
| | 411 | | | | | UFP Technologies Inc.* | | | 16,937 | |
| | | | | | | | | | |
| | | | | | Total Containers & Packaging | | | 11,398,482 | |
| | | | | | | | | | |
|
| | Metals & Mining — 0.7% | |
| | 91,944 | | | | | Alamos Gold Inc., Class A Shares | | | 961,734 | |
| | 10,233 | | | | | Alcoa Corp.* | | | 149,606 | |
| | 6,950 | | | | | Allegheny Technologies Inc.* | | | 57,894 | |
| | 5,452 | | | | | Arconic Corp.* | | | 121,307 | |
| | 615 | | | | | Caledonia Mining Corp. PLC | | | 11,181 | |
| | 2,595 | | | | | Carpenter Technology Corp. | | | 54,573 | |
| | 2,530 | | | | | Century Aluminum Co.* | | | 24,971 | |
| | 82,580 | | | | | Cleveland-Cliffs Inc.(a) | | | 543,376 | |
| | 13,260 | | | | | Coeur Mining Inc.* | | | 112,180 | |
| | 6,500 | | | | | Commercial Metals Co. | | | 135,655 | |
| | 1,858 | | | | | Compass Minerals International Inc. | | | 105,776 | |
| | 3,346 | | | | | Ferroglobe Representation & Warranty Insurance Trust*#(b)(d) | | | — | |
| | 3,913 | | | | | Gold Resource Corp. | | | 15,574 | |
| | 717 | | | | | Haynes International Inc. | | | 13,437 | |
| | 28,814 | | | | | Hecla Mining Co. | | | 173,460 | |
| | 854 | | | | | Kaiser Aluminum Corp. | | | 54,895 | |
| | 1,105 | | | | | Materion Corp. | | | 60,322 | |
| | 12,963 | | | | | Novagold Resources Inc.* | | | 137,278 | |
| | 372 | | | | | Olympic Steel Inc. | | | 4,092 | |
| | 3,478 | | | | | Reliance Steel & Aluminum Co. | | | 364,738 | |
| | 3,595 | | | | | Royal Gold Inc. | | | 490,070 | |
| | 539 | | | | | Ryerson Holding Corp.* | | | 2,970 | |
| | 1,398 | | | | | Schnitzer Steel Industries Inc., Class A Shares | | | 27,597 | |
| | 11,143 | | | | | Steel Dynamics Inc. | | | 328,941 | |
| | 4,484 | | | | | SunCoke Energy Inc. | | | 16,053 | |
| | 2,877 | | | | | TimkenSteel Corp.* | | | 10,846 | |
| | 11,930 | | | | | United States Steel Corp.(a) | | | 93,412 | |
| | 2,839 | | | | | Warrior Met Coal Inc. | | | 43,919 | |
| | 2,113 | | | | | Worthington Industries Inc. | | | 87,753 | |
| | | | | | | | | | |
| | | | | | Total Metals & Mining | | | 4,203,610 | |
| | | | | | | | | | |
See Notes to Financial Statements.
100
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | MATERIALS — 4.7% — (continued) | |
|
| | Paper & Forest Products — 0.1% | |
| | 2,140 | | | | | Boise Cascade Co. | | $ | 98,012 | |
| | 930 | | | | | Clearwater Paper Corp.* | | | 31,304 | |
| | 3,098 | | | | | Domtar Corp. | | | 88,355 | |
| | 6,170 | | | | | Louisiana-Pacific Corp. | | | 203,240 | |
| | 936 | | | | | Neenah Inc. | | | 41,446 | |
| | 2,440 | | | | | PH Glatfelter Co. | | | 36,575 | |
| | 1,718 | | | | | Schweitzer-Mauduit International Inc. | | | 52,107 | |
| | 1,838 | | | | | Verso Corp., Class A Shares | | | 24,096 | |
| | | | | | | | | | |
| | | | | | Total Paper & Forest Products | | | 575,135 | |
| | | | | | | | | | |
| | | | | | TOTAL MATERIALS | | | 29,462,208 | |
| | | | | | | | | | |
|
| | REAL ESTATE — 6.3% | |
|
| | Equity Real Estate Investment Trusts (REITs) — 5.5% | |
| | 4,712 | | | | | Acadia Realty Trust | | | 53,434 | |
| | 2,901 | | | | | Agree Realty Corp. | | | 194,135 | |
| | 4,078 | | | | | Alexander & Baldwin Inc. | | | 49,385 | |
| | 111 | | | | | Alexander’s Inc. | | | 28,313 | |
| | 368 | | | | | Alpine Income Property Trust Inc. | | | 5,340 | |
| | 2,742 | | | | | American Assets Trust Inc. | | | 70,058 | |
| | 7,541 | | | | | American Campus Communities Inc. | | | 255,640 | |
| | 6,220 | | | | | American Finance Trust Inc. | | | 42,514 | |
| | 14,271 | | | | | American Homes 4 Rent, Class A Shares | | | 408,721 | |
| | 11,017 | | | | | Americold Realty Trust | | | 422,502 | |
| | 8,139 | | | | | Apartment Investment & Management Co., Class A Shares | | | 293,248 | |
| | 11,357 | | | | | Apple Hospitality REIT Inc. | | | 115,501 | |
| | 2,971 | | | | | Armada Hoffler Properties Inc. | | | 30,007 | |
| | 4,510 | | | | | AvalonBay Communities Inc. | | | 712,851 | |
| | 1,411 | | | | | Bluerock Residential Growth REIT Inc., Class A Shares | | | 10,456 | |
| | 11,399 | | | | | Boston Properties Inc. | | | 990,231 | |
| | 9,287 | | | | | Brandywine Realty Trust | | | 103,364 | |
| | 16,314 | | | | | Brixmor Property Group Inc. | | | 192,505 | |
| | 750 | | | | | BRT Apartments Corp. | | | 10,012 | |
| | 5,169 | | | | | Camden Property Trust | | | 470,069 | |
| | 5,226 | | | | | CareTrust REIT Inc. | | | 101,228 | |
| | 2,823 | | | | | CatchMark Timber Trust Inc., Class A Shares | | | 28,032 | |
| | 2,818 | | | | | Chatham Lodging Trust | | | 19,501 | |
| | 765 | | | | | CIM Commercial Trust Corp. | | | 7,902 | |
| | 2,714 | | | | | City Office REIT Inc. | | | 21,821 | |
| | 586 | | | | | Clipper Realty Inc. | | | 3,909 | |
| | 26,509 | | | | | Colony Capital Inc. | | | 71,839 | |
| | 6,302 | | | | | Columbia Property Trust Inc. | | | 74,364 | |
| | 1,153 | | | | | Community Healthcare Trust Inc. | | | 53,845 | |
| | 6,495 | | | | | CoreCivic Inc. | | | 60,468 | |
| | 945 | | | | | CorEnergy Infrastructure Trust Inc. | | | 8,448 | |
| | 1,600 | | | | | CorePoint Lodging Inc. | | | 9,088 | |
| | 2,210 | | | | | CoreSite Realty Corp. | | | 270,615 | |
| | 6,170 | | | | | Corporate Office Properties Trust | | | 152,029 | |
| | 8,150 | | | | | Cousins Properties Inc. | | | 243,278 | |
| | 10,602 | | | | | CubeSmart | | | 335,235 | |
| | 6,327 | | | | | CyrusOne Inc. | | | 528,494 | |
| | 10,213 | | | | | DiamondRock Hospitality Co. | | | 54,129 | |
| | 12,469 | | | | | Diversified Healthcare Trust | | | 47,382 | |
| | 9,126 | | | | | Douglas Emmett Inc. | | | 254,798 | |
| | 4,152 | | | | | Easterly Government Properties Inc. | | | 100,437 | |
See Notes to Financial Statements.
101
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | REAL ESTATE — 6.3% — (continued) | |
|
| | Equity Real Estate Investment Trusts (REITs) — 5.5% — (continued) | |
| | 2,115 | | | | | EastGroup Properties Inc. | | $ | 281,633 | |
| | 8,095 | | | | | Empire State Realty Trust Inc., Class A Shares | | | 50,999 | |
| | 4,295 | | | | | EPR Properties | | | 138,771 | |
| | 149,062 | | | | | Equity Commonwealth | | | 4,679,056 | |
| | 9,568 | | | | | Equity LifeStyle Properties Inc. | | | 634,263 | |
| | 5,011 | | | | | Essential Properties Realty Trust Inc. | | | 85,037 | |
| | 1,079 | | | | | Farmland Partners Inc. | | | 7,219 | |
| | 4,132 | | | | | Federal Realty Investment Trust | | | 327,420 | |
| | 6,941 | | | | | First Industrial Realty Trust Inc. | | | 296,034 | |
| | 3,941 | | | | | Four Corners Property Trust Inc. | | | 99,510 | |
| | 5,536 | | | | | Franklin Street Properties Corp. | | | 24,524 | |
| | 2,624 | | | | | Front Yard Residential Corp. | | | 25,584 | |
| | 11,145 | | | | | Gaming and Leisure Properties Inc. | | | 405,121 | |
| | 6,430 | | | | | GEO Group Inc. (The) | | | 71,759 | |
| | 1,857 | | | | | Getty Realty Corp. | | | 54,392 | |
| | 1,912 | | | | | Gladstone Commercial Corp. | | | 37,494 | |
| | 1,077 | | | | | Gladstone Land Corp. | | | 16,952 | |
| | 2,245 | | | | | Global Medical REIT Inc. | | | 28,714 | |
| | 5,060 | | | | | Global Net Lease Inc. | | | 88,550 | |
| | 27,214 | | | | | Healthcare Realty Trust Inc. | | | 785,124 | |
| | 11,936 | | | | | Healthcare Trust of America Inc., Class A Shares | | | 314,991 | |
| | 2,103 | | | | | Hersha Hospitality Trust, Class A Shares | | | 13,522 | |
| | 5,699 | | | | | Highwoods Properties Inc. | | | 212,345 | |
| | 8,275 | | | | | Hudson Pacific Properties Inc. | | | 194,297 | |
| | 5,219 | | | | | Independence Realty Trust Inc. | | | 61,114 | |
| | 3,546 | | | | | Industrial Logistics Properties Trust | | | 76,487 | |
| | 916 | | | | | Innovative Industrial Properties Inc., Class A Shares | | | 112,750 | |
| | 674 | | | | | Investors Real Estate Trust | | | 47,921 | |
| | 15,743 | | | | | Iron Mountain Inc. | | | 473,707 | |
| | 4,094 | | | | | iStar Inc. | | | 50,684 | |
| | 34,159 | | | | | JBG SMITH Properties | | | 945,180 | |
| | 1,255 | | | | | Jernigan Capital Inc. | | | 21,636 | |
| | 6,318 | | | | | Kilroy Realty Corp. | | | 369,729 | |
| | 22,747 | | | | | Kimco Realty Corp. | | | 272,737 | |
| | 4,692 | | | | | Kite Realty Group Trust | | | 52,738 | |
| | 4,732 | | | | | Lamar Advertising Co., Class A Shares | | | 327,596 | |
| | 14,009 | | | | | Lexington Realty Trust, Class B Shares | | | 159,282 | |
| | 2,563 | | | | | Life Storage Inc. | | | 270,217 | |
| | 2,128 | | | | | LTC Properties Inc. | | | 77,651 | |
| | 7,631 | | | | | Macerich Co. (The)(a) | | | 60,514 | |
| | 4,967 | | | | | Mack-Cali Realty Corp. | | | 62,733 | |
| | 28,631 | | | | | Medical Properties Trust Inc. | | | 531,964 | |
| | 5,213 | | | | | Monmouth Real Estate Investment Corp. | | | 75,641 | |
| | 2,358 | | | | | National Health Investors Inc. | | | 146,785 | |
| | 9,425 | | | | | National Retail Properties Inc. | | | 334,022 | |
| | 3,389 | | | | | National Storage Affiliates Trust | | | 116,277 | |
| | 4,700 | | | | | New Senior Investment Group Inc. | | | 20,586 | |
| | 1,189 | | | | | NexPoint Residential Trust Inc. | | | 49,225 | |
| | 2,617 | | | | | Office Properties Income Trust | | | 62,389 | |
| | 12,388 | | | | | Omega Healthcare Investors Inc. | | | 383,656 | |
| | 888 | | | | | One Liberty Properties Inc. | | | 17,014 | |
| | 7,918 | | | | | Outfront Media Inc. | | | 134,052 | |
| | 10,206 | | | | | Paramount Group Inc. | | | 75,524 | |
| | 13,192 | | | | | Park Hotels & Resorts Inc. | | | 125,192 | |
| | 7,131 | | | | | Pebblebrook Hotel Trust | | | 89,993 | |
See Notes to Financial Statements.
102
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | REAL ESTATE — 6.3% — (continued) | |
|
| | Equity Real Estate Investment Trusts (REITs) — 5.5% — (continued) | |
| | 11,082 | | | | | Physicians Realty Trust | | $ | 201,138 | |
| | 6,960 | | | | | Piedmont Office Realty Trust Inc., Class A Shares | | | 106,558 | |
| | 728 | | | | | Plymouth Industrial REIT Inc. | | | 9,719 | |
| | 3,579 | | | | | PotlatchDeltic Corp. | | | 164,777 | |
| | 2,691 | | | | | Preferred Apartment Communities Inc., Class A Shares | | | 17,761 | |
| | 1,095 | | | | | PS Business Parks Inc. | | | 138,189 | |
| | 25,709 | | | | | QTS Realty Trust Inc., Class A Shares(a) | | | 1,743,584 | |
| | 7,494 | | | | | Rayonier Inc. | | | 219,424 | |
| | 9,267 | | | | | Regency Centers Corp. | | | 367,993 | |
| | 6,240 | | | | | Retail Opportunity Investments Corp. | | | 69,451 | |
| | 11,754 | | | | | Retail Properties of America Inc., Class A Shares | | | 74,168 | |
| | 738 | | | | | Retail Value Inc. | | | 9,380 | |
| | 33,629 | | | | | Rexford Industrial Realty Inc. | | | 1,613,519 | |
| | 9,148 | | | | | RLJ Lodging Trust | | | 86,357 | |
| | 4,143 | | | | | RPT Realty | | | 24,278 | |
| | 2,765 | | | | | Ryman Hospitality Properties Inc. | | | 105,512 | |
| | 11,242 | | | | | Sabra Health Care REIT Inc. | | | 166,719 | |
| | 950 | | | | | Safehold Inc. | | | 52,697 | |
| | 672 | | | | | Saul Centers Inc. | | | 18,829 | |
| | 8,595 | | | | | SBA Communications Corp., Class A Shares | | | 2,630,672 | |
| | 1,957 | | | | | Seritage Growth Properties, Class A Shares*(a) | | | 27,457 | |
| | 8,325 | | | | | Service Properties Trust | | | 68,348 | |
| | 8,782 | | | | | SITE Centers Corp. | | | 65,953 | |
| | 4,300 | | | | | SL Green Realty Corp. | | | 201,068 | |
| | 5,676 | | | | | Spirit Realty Capital Inc. | | | 201,555 | |
| | 15,521 | | | | | STAG Industrial Inc. | | | 501,328 | |
| | 60,551 | | | | | STORE Capital Corp. | | | 1,637,299 | |
| | 5,650 | | | | | Summit Hotel Properties Inc. | | | 33,279 | |
| | 11,971 | | | | | Sunstone Hotel Investors Inc. | | | 99,718 | |
| | 4,736 | | | | | Tanger Factory Outlet Centers Inc.(a) | | | 26,948 | |
| | 3,298 | | | | | Taubman Centers Inc. | | | 126,313 | |
| | 3,646 | | | | | Terreno Realty Corp. | | | 217,447 | |
| | 2,056 | | | | | UMH Properties Inc. | | | 29,894 | |
| | 10,571 | | | | | Uniti Group Inc. | | | 103,807 | |
| | 724 | | | | | Universal Health Realty Income Trust | | | 48,305 | |
| | 6,340 | | | | | Urban Edge Properties | | | 66,950 | |
| | 1,665 | | | | | Urstadt Biddle Properties Inc., Class A Shares | | | 15,484 | |
| | 59,427 | | | | | VEREIT Inc. | | | 399,349 | |
| | 25,879 | | | | | VICI Properties Inc. | | | 578,137 | |
| | 4,484 | | | | | Washington Real Estate Investment Trust | | | 98,379 | |
| | 6,680 | | | | | Weingarten Realty Investors | | | 116,700 | |
| | 2,227 | | | | | Whitestone REIT, Class B Shares | | | 14,320 | |
| | 6,202 | | | | | Xenia Hotels & Resorts Inc. | | | 55,694 | |
| | | | | | | | | | |
| | | | | | Total Equity Real Estate Investment Trusts (REITs) | | | 33,937,892 | |
| | | | | | | | | | |
|
| | Real Estate Management & Development — 0.8% | |
| | 191 | | | | | Altisource Portfolio Solutions SA* | | | 2,153 | |
| | 60,980 | | | | | CBRE Group Inc., Class A Shares* | | | 2,867,889 | |
| | 271 | | | | | CTO Realty Growth Inc. | | | 11,428 | |
| | 6,058 | | | | | Cushman & Wakefield PLC* | | | 70,333 | |
| | 1,343 | | | | | eXp World Holdings Inc.* | | | 59,737 | |
| | 802 | | | | | Forestar Group Inc.* | | | 14,252 | |
| | 386 | | | | | FRP Holdings Inc.* | | | 15,857 | |
| | 138 | | | | | Griffin Industrial Realty Inc. | | | 7,339 | |
| | 15,909 | | | | | Howard Hughes Corp. (The)* | | | 940,381 | |
See Notes to Financial Statements.
103
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | REAL ESTATE — 6.3% — (continued) | |
|
| | Real Estate Management & Development — 0.8% — (continued) | |
| | 2,836 | | | | | Jones Lang LaSalle Inc. | | $ | 292,221 | |
| | 6,696 | | | | | Kennedy-Wilson Holdings Inc. | | | 95,686 | |
| | 1,299 | | | | | Marcus & Millichap Inc.* | | | 36,645 | |
| | 322 | | | | | Maui Land & Pineapple Co., Inc.* | | | 3,755 | |
| | 8,303 | | | | | Newmark Group Inc., Class A Shares | | | 36,782 | |
| | 435 | | | | | Rafael Holdings Inc., Class B Shares* | | | 7,578 | |
| | 1,039 | | | | | RE/MAX Holdings Inc., Class A Shares | | | 36,510 | |
| | 6,537 | | | | | Realogy Holdings Corp.* | | | 72,430 | |
| | 5,257 | | | | | Redfin Corp.* | | | 250,076 | |
| | 929 | | | | | RMR Group Inc. (The), Class A Shares | | | 26,216 | |
| | 1,827 | | | | | St Joe Co. (The)* | | | 42,405 | |
| | 302 | | | | | Stratus Properties Inc.* | | | 5,919 | |
| | 1,130 | | | | | Tejon Ranch Co.* | | | 16,170 | |
| | 70 | | | | | Transcontinental Realty Investors Inc.* | | | 1,610 | |
| | | | | | | | | | |
| | | | | | Total Real Estate Management & Development | | | 4,913,372 | |
| | | | | | | | | | |
| | | | | | TOTAL REAL ESTATE | | | 38,851,264 | |
| | | | | | | | | | |
|
| | UTILITIES — 2.4% | |
|
| | Electric Utilities — 0.7% | |
| | 23,304 | | | | | ALLETE Inc. | | | 1,257,484 | |
| | 596 | | | | | Genie Energy Ltd., Class B Shares | | | 5,269 | |
| | 5,880 | | | | | Hawaiian Electric Industries Inc. | | | 203,507 | |
| | 2,749 | | | | | IDACORP Inc. | | | 247,135 | |
| | 1,910 | | | | | MGE Energy Inc. | | | 124,131 | |
| | 13,428 | | | | | NRG Energy Inc. | | | 462,057 | |
| | 10,990 | | | | | OGE Energy Corp. | | | 350,141 | |
| | 2,170 | | | | | Otter Tail Corp. | | | 84,304 | |
| | 52,570 | | | | | PG&E Corp.* | | | 486,798 | |
| | 6,197 | | | | | Pinnacle West Capital Corp. | | | 454,550 | |
| | 4,339 | | | | | PNM Resources Inc. | | | 189,528 | |
| | 4,924 | | | | | Portland General Electric Co. | | | 187,851 | |
| | 502 | | | | | Spark Energy Inc., Class A Shares | | | 4,613 | |
| | | | | | | | | | |
| | | | | | Total Electric Utilities | | | 4,057,368 | |
| | | | | | | | | | |
|
| | Gas Utilities — 0.3% | |
| | 1,786 | | | | | Brookfield Infrastructure Corp., Class A Shares(a) | | | 89,157 | |
| | 873 | | | | | Chesapeake Utilities Corp. | | | 71,411 | |
| | 4,550 | | | | | National Fuel Gas Co. | | | 207,662 | |
| | 5,193 | | | | | New Jersey Resources Corp. | | | 156,517 | |
| | 1,656 | | | | | Northwest Natural Holding Co. | | | 84,638 | |
| | 2,853 | | | | | ONE Gas Inc. | | | 211,464 | |
| | 457 | | | | | RGC Resources Inc. | | | 10,657 | |
| | 5,091 | | | | | South Jersey Industries Inc. | | | 112,766 | |
| | 3,017 | | | | | Southwest Gas Holdings Inc. | | | 189,679 | |
| | 2,738 | | | | | Spire Inc. | | | 159,379 | |
| | 11,454 | | | | | UGI Corp. | | | 395,507 | |
| | | | | | | | | | |
| | | | | | Total Gas Utilities | | | 1,688,837 | |
| | | | | | | | | | |
|
| | Independent Power & Renewable Electricity Producers — 0.5% | |
| | 213,080 | | | | | Atlantic Power Corp.* | | | 441,076 | |
| | 3,745 | | | | | Brookfield Renewable Corp., Class A Shares | | | 190,695 | |
| | 1,647 | | | | | Clearway Energy Inc., Class A Shares | | | 39,775 | |
| | 4,607 | | | | | Clearway Energy Inc., Class C Shares | | | 117,525 | |
| | 16,189 | | | | | Ormat Technologies Inc. | | | 985,424 | |
| | 1,860 | | | | | Sunnova Energy International Inc.* | | | 44,119 | |
See Notes to Financial Statements.
104
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | UTILITIES — 2.4% — (continued) | |
|
| | Independent Power & Renewable Electricity Producers — 0.5% — (continued) | |
| | 80,877 | | | | | Vistra Corp. | | $ | 1,555,265 | |
| | | | | | | | | | |
| | | | | | Total Independent Power & Renewable Electricity Producers | | | 3,373,879 | |
| | | | | | | | | | |
|
| | Multi-Utilities — 0.2% | |
| | 3,703 | | | | | Avista Corp. | | | 136,493 | |
| | 3,434 | | | | | Black Hills Corp. | | | 192,579 | |
| | 10,979 | | | | | MDU Resources Group Inc. | | | 259,324 | |
| | 11,407 | | | | | NorthWestern Corp. | | | 589,057 | |
| | 744 | | | | | Unitil Corp. | | | 31,397 | |
| | | | | | | | | | |
| | | | | | Total Multi-Utilities | | | 1,208,850 | |
| | | | | | | | | | |
|
| | Water Utilities — 0.7% | |
| | 2,017 | | | | | American States Water Co. | | | 153,453 | |
| | 492 | | | | | Artesian Resources Corp., Class A Shares | | | 17,314 | |
| | 1,059 | | | | | Cadiz Inc.* | | | 11,077 | |
| | 11,146 | | | | | California Water Service Group | | | 505,360 | |
| | 873 | | | | | Consolidated Water Co., Ltd. | | | 10,502 | |
| | 38,118 | | | | | Essential Utilities Inc. | | | 1,620,015 | |
| | 818 | | | | | Global Water Resources Inc. | | | 9,039 | |
| | 3,439 | | | | | Middlesex Water Co. | | | 220,543 | |
| | 1,083 | | | | | Pure Cycle Corp.* | | | 10,570 | |
| | 29,567 | | | | | SJW Group | | | 1,848,825 | |
| | 681 | | | | | York Water Co. (The) | | | 31,060 | |
| | | | | | Total Water Utilities | | | 4,437,758 | |
| | | | | | | | | | |
| | | | | | TOTAL UTILITIES | | | 14,766,692 | |
| | | | | | | | | | |
| | | | | | TOTAL COMMON STOCKS
(Cost — $471,904,101) | | | 594,551,063 | |
| | | | | | | | | | |
|
| | CONVERTIBLE PREFERRED STOCKS — 0.6% | |
|
| | HEALTH CARE — 0.4% | |
|
| | Health Care Equipment & Supplies — 0.4% | |
| | 51,201 | | | | | Becton Dickinson & Co., 6.000% due 6/1/23 | | | 2,735,670 | |
| | | | | | | | | | |
|
| | UTILITIES — 0.2% | |
|
| | Water Utilities — 0.2% | |
| | 22,206 | | | | | Essential Utilities Inc., 6.000% due 4/30/22 | | | 1,248,199 | |
| | | | | | | | | | |
| | | | | | TOTAL CONVERTIBLE PREFERRED STOCKS
(Cost — $3,810,886) | | | 3,983,869 | |
| | | | | | | | | | |
|
| | CLOSED END MUTUAL FUND SECURITIES — 0.3% | |
|
| | FINANCIALS — 0.3% | |
|
| | Capital Markets — 0.3% | |
| | 5,090 | | | | | iShares® Core S&P Small-Capital ETF | | | 376,507 | |
| | 4,920 | | | | | iShares® Russell 2000 ETF, Common Class Shares(a) | | | 764,716 | |
| | 14,150 | | | | | iShares® Russell Mid-Capital ETF, Common Class Shares | | | 831,454 | |
| | | | | | | | | | |
| | | | | | TOTAL FINANCIALS | | | 1,972,677 | |
| | | | | | | | | | |
| | | | | | TOTAL CLOSED END MUTUAL FUND SECURITIES
(Cost — $1,623,152) | | | 1,972,677 | |
| | | | | | | | | | |
|
| | PREFERRED STOCKS — 0.3% | |
|
| | FINANCIALS — 0.3% | |
|
| | Banks — 0.1% | |
| | 14,946 | | | | | US Bancorp, 3.500% (3-Month USD-LIBOR + 0.600%)(f)(g) | | | 330,008 | |
| | 11,178 | | | | | US Bancorp, 6.500% (3-Month USD-LIBOR + 4.468%)(f)(g) | | | 301,023 | |
| | | | | | | | | | |
| | | | | | Total Banks | | | 631,031 | |
| | | | | | | | | | |
See Notes to Financial Statements.
105
| | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | FINANCIALS — 0.3% — (continued) | |
|
| | Capital Markets — 0.1% | |
| | 16,038 | | | | | Charles Schwab Corp. (The), 5.950%(g) | | $ | 418,752 | |
| | | | | | | | | | |
|
| | Insurance — 0.1% | |
| | 13,520 | | | | | MetLife Inc., 4.750%(g) | | | 358,145 | |
| | 6,440 | | | | | MetLife Inc., 5.625%(a)(g) | | | 178,646 | |
| | | | | | | | | | |
| | | | | | Total Insurance | | | 536,791 | |
| | | | | | | | | | |
| | | | | | TOTAL FINANCIALS | | | 1,586,574 | |
| | | | | | | | | | |
| | | | | | TOTAL PREFERRED STOCKS
(Cost — $1,526,299) | | | 1,586,574 | |
| | | | | | | | | | |
| | | |
Face
Amount/Units† | | | Rating†† | | | | | |
|
| | CORPORATE BOND & NOTE — 0.1% | |
|
| | COMMUNICATION SERVICES — 0.1% | |
|
| | Diversified Telecommunication Services — 0.1% | |
| $ | 702,000 | | | NR | | Infinera Corp., Senior Unsecured Notes, 2.500% due 3/1/27(b)(e)
(Cost — $702,000) | | | 821,342 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS
(Cost — $479,566,438) | | | 602,915,525 | |
| | | | | | | | | | |
| | | |
Face
Amount† | | | | | | | | |
|
| | SHORT-TERM INVESTMENTS (h) — 3.9% | |
|
| | MONEY MARKET FUND — 1.4% | |
| $ | 8,572,406 | | | | | Invesco STIT — Government & Agency Portfolio, 0.028%, Institutional Class(i) (Cost — $8,572,406) | | | 8,572,406 | |
| | | | | | | | | | |
|
| | TIME DEPOSITS — 2.5% | |
| | 3,617,960 | | | | | ANZ National Bank — London, 0.010% due 9/1/20 | | | 3,617,960 | |
| | 4,984,133 | | | | | Barclays Bank PLC — London, 0.010% due 9/1/20 | | | 4,984,133 | |
| | | | | | BBH — Grand Cayman: | | | | |
| | 34,221 | | | | | 0.010% due 9/1/20 | | | 34,221 | |
| | 20,372 | CAD | | | | 0.030% due 9/1/20 | | | 15,620 | |
| | 1,381,706 | | | | | Citibank — New York, 0.010% due 9/1/20 | | | 1,381,706 | |
| | 1,477,997 | | | | | JPMorgan Chase & Co. — New York, 0.010% due 9/1/20 | | | 1,477,997 | |
| | 4,371,624 | | | | | Skandinaviska Enskilda Banken AB — Stockholm, 0.010% due 9/1/20 | | | 4,371,624 | |
| | | | | | | | | | |
| | | | | | TOTAL TIME DEPOSITS
(Cost — $15,883,261) | | | 15,883,261 | |
| | | | | | | | | | |
| | | | | | TOTAL SHORT-TERM INVESTMENTS
(Cost — $24,455,667) | | | 24,455,667 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS — 101.1%
(Cost — $504,022,105) | | | 627,371,192 | |
| | | | | | | | | | |
| | | | | | Liabilities in Excess of Other Assets — (1.1)% | | | (7,210,207 | ) |
| | | | | | | | | | |
| | | | | | TOTAL NET ASSETS — 100.0% | | $ | 620,160,985 | |
| | | | | | | | | | |
| † | 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). |
| (c) | The aggregate value of restricted securities (excluding 144A holdings) at August 31, 2020, amounts to $0 and represents 0.00% of net assets. |
| (d) | 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 |
| (e) | Restricted security that may be sold to ��qualified institutional buyers” pursuant to the conditions of Rule 144A under the Securities Act of 1933, as amended. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees, unless otherwise noted. The aggregate value of restricted 144A holdings at August 31, 2020, amounts to $930,093 and represents 0.2% of net assets. |
| (f) | Variable rate security. Interest rate disclosed is that which was in effect at August 31, 2020. |
| (g) | Security is perpetual in nature and has no stated maturity date. |
| (h) | Inclusive of all short-term holdings, including investments of collateral received from securities lending transactions. Excluding such collateral, the percentage of portfolio holdings would be 2.5%. |
| (i) | Represents investments of collateral received from securities lending transactions. |
| # | Security that used significant unobservable inputs to determine fair value. |
At August 31, 2020, for Small-Mid Cap Equity Fund the aggregate cost of investments, the aggregate gross unrealized appreciation and depreciation of all investments for federal income tax purposes were as follows:
| | | | | | | | | | | | | | | | |
| Fund | | Aggregate Cost For
Federal Income
Tax Purposes | | | Gross
Unrealized
Appreciation | | | Gross
Unrealized
(Depreciation) | | | Net
Unrealized
Appreciation | |
Small-Mid Cap Equity Fund | | $ | 516,976,143 | | | $ | 153,007,472 | | | $ | (40,222,750 | ) | | $ | 112,784,722 | |
| | |
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 | | | 20.1 | |
Health Care | | | 18.5 | |
Industrials | | | 15.4 | |
Financials | | | 13.5 | |
Consumer Discretionary | | | 8.3 | |
Real Estate | | | 6.3 | |
Materials | | | 4.8 | |
Consumer Staples | | | 4.2 | |
Utilities | | | 2.6 | |
Communication Services | | | 2.5 | |
Energy | | | 1.2 | |
Short-Term Investments | | | 2.6 | |
| | | | |
| | | 100.0 | %+ |
| | | | |
| ^ | As a percentage of total investments. |
| + | Does not reflect investments of collateral received from securities lending transactions. |
At August 31, 2020, Small-Mid Cap Equity Fund had open exchange-traded futures contracts as described below.
The unrealized appreciation on the open contracts reflected in the accompanying financial statements were as follows:
| | | | | | | | | | | | | | | | | | | | |
| Open Futures Contracts | | Number of
Contracts | | | Expiration
Date
(Month/Year) | | | Notional
Amount | | | Market Value | | | Unrealized
Appreciation | |
| Contracts to Buy: | | | | | | | | | | | | | | | | | | | | |
Russell 2000 E-mini Index September Futures | | | 27 | | | | 9/20 | | | $ | 1,932,241 | | | $ | 2,107,755 | | | $ | 175,514 | |
NASDAQ 100 E-mini Index September Futures | | | 1 | | | | 9/20 | | | | 192,656 | | | | 242,280 | | | | 49,624 | |
S&P MidCap 400 E-mini Index September Futures | | | 16 | | | | 9/20 | | | | 2,864,327 | | | | 3,081,280 | | | | 216,953 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | 442,091 | |
| | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
107
| | | | | | |
| Small-Mid Cap Equity Fund |
At August 31, 2020, Small-Mid Cap Equity Fund had deposited cash of $388,600 with a broker or brokers as margin collateral on an open exchange-traded futures contracts.
| | |
Currency Abbreviation used in this schedule: |
| CAD | | — Canadian Dollar |
| USD | | — United States Dollar |
See pages 301-302 for definitions of ratings.
See Notes to Financial Statements.
108
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | COMMON STOCKS — 96.9% | |
|
| | Argentina — 0.2% | |
| | 4,673 | | | Globant SA* | | $ | 829,831 | |
| | 862 | | | MercadoLibre Inc.* | | | 1,007,325 | |
| | 78,245 | | | YPF SA, ADR* | | | 436,607 | |
| | | | | | | | |
| | | | Total Argentina | | | 2,273,763 | |
| | | | | | | | |
|
| | Australia — 3.5% | |
| | 4,603 | | | Afterpay Ltd.* | | | 307,932 | |
| | 13,687 | | | AGL Energy Ltd. | | | 148,130 | |
| | 76,782 | | | AMP Ltd.* | | | 85,385 | |
| | 5,110 | | | Ampol Ltd. | | | 97,016 | |
| | 26,164 | | | Ansell Ltd. | | | 741,473 | |
| | 24,347 | | | APA Group | | | 185,656 | |
| | 40,659 | | | Appen Ltd. | | | 1,031,231 | |
| | 12,195 | | | Aristocrat Leisure Ltd. | | | 250,000 | |
| | 4,076 | | | ASX Ltd. | | | 261,330 | |
| | 10,896 | | | Atlassian Corp. PLC, Class A Shares* | | | 2,089,417 | |
| | 41,663 | | | Aurizon Holdings Ltd. | | | 132,335 | |
| | 36,895 | | | AusNet Services, Class Miscella Shares | | | 49,506 | |
| | 59,711 | | | Australia & New Zealand Banking Group Ltd. | | | 789,633 | |
| | 119,568 | | | Bapcor Ltd. | | | 609,389 | |
| | 1,053,885 | | | Beach Energy Ltd. | | | 1,171,767 | |
| | 62,020 | | | BHP Group Ltd. | | | 1,709,240 | |
| | 159,743 | | | BHP Group PLC | | | 3,597,927 | |
| | 10,085 | | | BlueScope Steel Ltd. | | | 92,613 | |
| | 33,000 | | | Brambles Ltd. | | | 267,999 | |
| | 126,547 | | | Charter Hall Group, REIT | | | 1,158,534 | |
| | 1,510 | | | CIMIC Group Ltd. | | | 23,268 | |
| | 364,174 | | | Cleanaway Waste Management Ltd. | | | 689,069 | |
| | 9,554 | | | Coca-Cola Amatil Ltd. | | | 63,692 | |
| | 1,361 | | | Cochlear Ltd. | | | 191,245 | |
| | 27,961 | | | Coles Group Ltd. | | | 363,330 | |
| | 37,269 | | | Commonwealth Bank of Australia | | | 1,848,080 | |
| | 10,170 | | | Computershare Ltd. | | | 98,195 | |
| | 7,474 | | | Crown Resorts Ltd. | | | 48,963 | |
| | 39,326 | | | CSL Ltd. | | | 8,269,937 | |
| | 23,276 | | | Dexus, REIT | | | 150,084 | |
| | 34,893 | | | Evolution Mining Ltd. | | | 142,521 | |
| | 35,353 | | | Fortescue Metals Group Ltd. | | | 449,138 | |
| | 34,645 | | | Goodman Group, REIT | | | 464,538 | |
| | 39,900 | | | GPT Group (The), REIT | | | 110,874 | |
| | 49,041 | | | Insurance Australia Group Ltd. | | | 170,133 | |
| | 22,493 | | | JB Hi-Fi Ltd. | | | 828,451 | |
| | 14,273 | | | Lendlease Corp., Ltd. | | | 120,438 | |
| | 20,058 | | | Macquarie Group Ltd. | | | 1,859,220 | |
| | 14,256 | | | Magellan Financial Group Ltd. | | | 612,527 | |
| | 58,441 | | | Medibank Pvt Ltd. | | | 116,813 | |
| | 90,225 | | | Mineral Resources Ltd. | | | 1,922,239 | |
| | 83,120 | | | Mirvac Group, REIT | | | 127,517 | |
| | 67,289 | | | National Australia Bank Ltd. | | | 873,604 | |
| | 17,009 | | | Newcrest Mining Ltd. | | | 400,268 | |
| | 70,167 | | | Northern Star Resources Ltd. | | | 705,189 | |
| | 42,522 | | | Oil Search Ltd. | | | 100,382 | |
| | 8,577 | | | Orica Ltd. | | | 108,798 | |
| | 37,374 | | | Origin Energy Ltd. | | | 151,595 | |
| | 87,906 | | | OZ Minerals Ltd. | | | 941,947 | |
See Notes to Financial Statements.
109
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | Australia — 3.5% — (continued) | |
| | 18,281 | | | Qantas Airways Ltd. | | $ | 51,993 | |
| | 31,126 | | | QBE Insurance Group Ltd.(a) | | | 240,049 | |
| | 3,834 | | | Ramsay Health Care Ltd. | | | 182,070 | |
| | 1,077 | | | REA Group Ltd. | | | 89,463 | |
| | 37,573 | | | Santos Ltd. | | | 154,003 | |
| | 201,501 | | | Saracen Mineral Holdings Ltd.* | | | 775,007 | |
| | 111,490 | | | Scentre Group, REIT | | | 181,730 | |
| | 7,060 | | | SEEK Ltd. | | | 106,115 | |
| | 47,489 | | | Seven Group Holdings Ltd.(a) | | | 657,571 | |
| | 236,500 | | | Shopping Centres Australasia Property Group, REIT, Class Miscella Shares | | | 388,576 | |
| | 9,575 | | | Sonic Healthcare Ltd. | | | 224,262 | |
| | 104,884 | | | South32 Ltd. | | | 159,579 | |
| | 50,069 | | | Stockland, REIT | | | 143,688 | |
| | 26,756 | | | Suncorp Group Ltd. | | | 180,391 | |
| | 30,454 | | | Sydney Airport | | | 128,096 | |
| | 46,820 | | | Tabcorp Holdings Ltd. | | | 123,239 | |
| | 87,637 | | | Telstra Corp., Ltd. | | | 185,404 | |
| | 8,418 | | | TPG Telecom Ltd.* | | | 50,667 | |
| | 57,581 | | | Transurban Group | | | 565,642 | |
| | 15,164 | | | Treasury Wine Estates Ltd. | | | 102,301 | |
| | 84,094 | | | Vicinity Centres, REIT | | | 88,017 | |
| | 2,114 | | | Washington H Soul Pattinson & Co., Ltd. | | | 32,290 | |
| | 23,871 | | | Wesfarmers Ltd. | | | 829,009 | |
| | 76,037 | | | Westpac Banking Corp. | | | 969,919 | |
| | 2,344 | | | WiseTech Global Ltd. | | | 48,353 | |
| | 19,838 | | | Woodside Petroleum Ltd. | | | 282,267 | |
| | 26,553 | | | Woolworths Group Ltd. | | | 776,010 | |
| | | | | | | | |
| | | | Total Australia | | | 44,444,279 | |
| | | | | | | | |
|
| | Austria — 0.2% | |
| | 1,483 | | | ANDRITZ AG | | | 49,600 | |
| | 105,022 | | | Erste Group Bank AG* | | | 2,551,845 | |
| | 3,061 | | | OMV AG* | | | 99,706 | |
| | 3,089 | | | Raiffeisen Bank International AG* | | | 55,253 | |
| | 1,373 | | | Verbund AG | | | 73,703 | |
| | 2,612 | | | Voestalpine AG | | | 64,836 | |
| | | | | | | | |
| | | | Total Austria | | | 2,894,943 | |
| | | | | | | | |
|
| | Belgium — 0.9% | |
| | 40,617 | | | Ageas SA NV | | | 1,708,908 | |
| | 16,042 | | | Anheuser-Busch InBev SA/NV | | | 933,707 | |
| | 1,256 | | | Colruyt SA | | | 79,459 | |
| | 666 | | | Elia Group SA/NV | | | 71,655 | |
| | 3,293 | | | Galapagos NV*(b) | | | 447,612 | |
| | 7,095 | | | Galapagos NV* | | | 963,683 | |
| | 2,366 | | | Groupe Bruxelles Lambert SA | | | 218,921 | |
| | 5,299 | | | KBC Group NV | | | 303,877 | |
| | 3,139 | | | Proximus SADP | | | 62,132 | |
| | 332 | | | Sofina SA | | | 99,732 | |
| | 1,573 | | | Solvay SA | | | 136,256 | |
| | 773 | | | Telenet Group Holding NV | | | 30,046 | |
| | 19,132 | | | UCB SA | | | 2,269,379 | |
| | 46,919 | | | Umicore SA | | | 2,157,242 | |
| | 34,419 | | | Warehouses de Pauw CVA, REIT | | | 1,216,770 | |
| | | | | | | | |
| | | | Total Belgium | | | 10,699,379 | |
| | | | | | | | |
See Notes to Financial Statements.
110
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | Canada — 2.6% | |
| | 81,400 | | | Air Canada, Class A Shares* | | $ | 1,098,482 | |
| | 137,868 | | | Alimentation Couche-Tard Inc., Class B Shares | | | 4,500,108 | |
| | 72,488 | | | ARC Resources Ltd. | | | 365,719 | |
| | 240,078 | | | B2Gold Corp. | | | 1,612,547 | |
| | 99,703 | | | Barrick Gold Corp. | | | 2,953,936 | |
| | 10,137 | | | BRP Inc. | | | 550,610 | |
| | 66,158 | | | CAE Inc. | | | 1,049,032 | |
| | 50,701 | | | Cameco Corp. | | | 586,611 | |
| | 16,156 | | | Canadian Apartment Properties REIT(a) | | | 557,445 | |
| | 17,391 | | | Canadian National Railway Co. | | | 1,827,642 | |
| | 27,046 | | | Canadian Western Bank | | | 575,261 | |
| | 9,523 | | | Descartes Systems Group Inc. (The)* | | | 581,150 | |
| | 51,091 | | | Dollarama Inc. | | | 1,994,751 | |
| | 158,323 | | | Kinross Gold Corp.* | | | 1,405,908 | |
| | 11,658 | | | Kirkland Lake Gold Ltd. | | | 621,247 | |
| | 44,975 | | | Maple Leaf Foods Inc. | | | 1,000,747 | |
| | 35,918 | | | Northland Power Inc., Class Common S Shares | | | 1,006,045 | |
| | 33,005 | | | Pan American Silver Corp. | | | 1,191,693 | |
| | 66,082 | | | Parex Resources Inc.* | | | 904,435 | |
| | 56,158 | | | Real Matters Inc.* | | | 1,139,350 | |
| | 58,974 | | | Saputo Inc. | | | 1,471,411 | |
| | 1,739 | | | Shopify Inc., Class A Shares* | | | 1,857,711 | |
| | 28,044 | | | Stantec Inc. | | | 910,645 | |
| | 682 | | | Stella-Jones Inc. | | | 23,689 | |
| | 23,727 | | | TFI International Inc. | | | 1,048,995 | |
| | 38,497 | | | Tourmaline Oil Corp. | | | 489,108 | |
| | 81,656 | | | Tricon Residential Inc. | | | 689,962 | |
| | 80,068 | | | Yamana Gold Inc. | | | 496,051 | |
| | | | | | | | |
| | | | Total Canada | | | 32,510,291 | |
| | | | | | | | |
|
| | Chile — 0.1% | |
| | 126,373 | | | Antofagasta PLC | | | 1,814,299 | |
| | | | | | | | |
|
| | China — 1.9% | |
| | 26,305 | | | Alibaba Group Holding Ltd., ADR* | | | 7,550,324 | |
| | 39,613 | | | Baidu Inc., ADR* | | | 4,934,591 | |
| | 823 | | | BeiGene Ltd., ADR* | | | 198,812 | |
| | 1,580,000 | | | Beijing Capital International Airport Co., Ltd., Class H Shares(c) | | | 1,114,211 | |
| | 5,406,057 | | | China Telecom Corp., Ltd., Class H Shares(c) | | | 1,770,354 | |
| | 2,579,424 | | | Dongfeng Motor Group Co., Ltd., Class H Shares(c) | | | 1,776,443 | |
| | 246,000 | | | Kingdee International Software Group Co., Ltd.*(a) | | | 627,720 | |
| | 15,000 | | | Microport Scientific Corp. | | | 68,224 | |
| | 92,600 | | | Tencent Holdings Ltd. | | | 6,310,500 | |
| | 55,500 | | | Yangzijiang Shipbuilding Holdings Ltd. | | | 37,267 | |
| | | | | | | | |
| | | | Total China | | | 24,388,446 | |
| | | | | | | | |
|
| | Czech Republic — 0.1% | |
| | 91,820 | | | Avast PLC(d) | | | 657,888 | |
| | | | | | | | |
|
| | Denmark — 1.9% | |
| | 3,518 | | | Ambu AS, Class B Shares(a) | | | 103,221 | |
| | 67 | | | AP Moller — Maersk AS, Class A Shares | | | 95,195 | |
| | 2,081 | | | AP Moller — Maersk AS, Class B Shares | | | 3,184,647 | |
| | 8,739 | | | Ascendis Pharma AS, ADR* | | | 1,294,945 | |
| | 20,670 | | | Bavarian Nordic AS* | | | 730,239 | |
| | 2,148 | | | Carlsberg AS, Class B Shares | | | 301,546 | |
| | 2,238 | | | Chr Hansen Holding AS | | | 256,991 | |
| | 2,501 | | | Coloplast AS, Class B Shares | | | 424,292 | |
See Notes to Financial Statements.
111
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | Denmark — 1.9% — (continued) | |
| | 14,912 | | | Danske Bank AS | | $ | 230,413 | |
| | 2,342 | | | Demant AS* | | | 69,865 | |
| | 2,705 | | | Drilling Co. of 1972 (The)* | | | 64,168 | |
| | 4,356 | | | DSV PANALPINA AS | | | 680,233 | |
| | 1,370 | | | Genmab AS* | | | 517,331 | |
| | 15,107 | | | GN Store Nord AS | | | 1,093,124 | |
| | 1,585 | | | H. Lundbeck AS | | | 52,005 | |
| | 114,873 | | | Novo Nordisk AS, Class B Shares | | | 7,595,657 | |
| | 4,426 | | | Novozymes AS, Class B Shares | | | 261,317 | |
| | 3,983 | | | Orsted AS(d) | | | 563,636 | |
| | 26,997 | | | Pandora AS | | | 1,964,676 | |
| | 5,284 | | | Royal Unibrew AS | | | 552,805 | |
| | 2,535 | | | Tryg AS | | | 77,780 | |
| | 25,262 | | | Vestas Wind Systems AS | | | 3,830,975 | |
| | | | | | | | |
| | | | Total Denmark | | | 23,945,061 | |
| | | | | | | | |
|
| | Finland — 0.8% | |
| | 3,018 | | | Elisa OYJ | | | 177,594 | |
| | 9,425 | | | Fortum OYJ | | | 199,125 | |
| | 37,160 | | | Kemira OYJ | | | 513,850 | |
| | 7,156 | | | Kone OYJ, Class B Shares | | | 614,057 | |
| | 122,277 | | | Metso Outotec OYJ | | | 906,101 | |
| | 8,907 | | | Neste OYJ | | | 475,708 | |
| | 690,756 | | | Nokia OYJ | | | 3,369,992 | |
| | 68,211 | | | Nordea Bank Abp | | | 549,779 | |
| | 2,120 | | | Orion OYJ, Class B Shares | | | 99,491 | |
| | 10,150 | | | Sampo OYJ, Class A Shares | | | 409,101 | |
| | 12,345 | | | Stora Enso OYJ, Class R Shares | | | 181,908 | |
| | 17,875 | | | TietoEVRY OYJ | | | 537,955 | |
| | 11,237 | | | UPM-Kymmene OYJ | | | 341,150 | |
| | 35,424 | | | Valmet OYJ | | | 967,833 | |
| | 8,691 | | | Wartsila OYJ Abp(a) | | | 74,239 | |
| | | | | | | | |
| | | | Total Finland | | | 9,417,883 | |
| | | | | | | | |
|
| | France — 10.6% | |
| | 4,212 | | | Accor SA* | | | 129,628 | |
| | 667 | | | Aeroports de Paris | | | 69,837 | |
| | 136,765 | | | Air France-KLM*(a) | | | 615,528 | |
| | 9,960 | | | Air Liquide SA | | | 1,654,539 | |
| | 85,190 | | | Airbus SE | | | 7,014,781 | |
| | 42,744 | | | Alstom SA* | | | 2,381,706 | |
| | 18,933 | | | Amundi SA(d) | | | 1,472,375 | |
| | 11,100 | | | Arkema SA | | | 1,229,699 | |
| | 2,085 | | | Atos SE* | | | 180,632 | |
| | 272,939 | | | AXA SA | | | 5,572,304 | |
| | 3,956 | | | BioMerieux | | | 599,387 | |
| | 192,788 | | | BNP Paribas SA | | | 8,401,084 | |
| | 18,090 | | | Bollore SA | | | 67,918 | |
| | 4,636 | | | Bouygues SA | | | 183,808 | |
| | 6,234 | | | Bureau Veritas SA | | | 141,240 | |
| | 3,387 | | | Capgemini SE | | | 468,589 | |
| | 163,142 | | | Carrefour SA | | | 2,619,492 | |
| | 168 | | | Casino Guichard Perrachon SA* | | | 4,364 | |
| | 112,541 | | | Cie de Saint-Gobain | | | 4,559,963 | |
| | 15,098 | | | Cie Générale des Établissements Michelin SCA | | | 1,703,534 | |
| | 3,163 | | | CNP Assurances | | | 42,310 | |
| | 943 | | | Covivio, REIT | | | 69,836 | |
See Notes to Financial Statements.
112
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | France — 10.6% — (continued) | |
| | 24,486 | | | Credit Agricole SA* | | $ | 250,654 | |
| | 89,570 | | | Danone SA | | | 5,894,701 | |
| | 703 | | | Dassault Aviation SA* | | | 639,294 | |
| | 14,850 | | | Dassault Systemes SE | | | 2,795,841 | |
| | 43,447 | | | Edenred | | | 2,245,847 | |
| | 14,730 | | | Eiffage SA* | | | 1,356,510 | |
| | 12,657 | | | Electricite de France SA | | | 133,054 | |
| | 231,749 | | | Engie SA* | | | 3,224,066 | |
| | 17,058 | | | EssilorLuxottica SA* | | | 2,285,114 | |
| | 742 | | | Eurazeo SE* | | | 39,191 | |
| | 13,770 | | | Faurecia SE* | | | 599,304 | |
| | 970 | | | Gecina SA, REIT | | | 133,295 | |
| | 9,277 | | | Getlink SE* | | | 142,102 | |
| | 7,237 | | | Hermes International | | | 6,219,750 | |
| | 633 | | | ICADE, REIT | | | 40,962 | |
| | 344 | | | Iliad SA | | | 73,538 | |
| | 1,284 | | | Ingenico Group SA | | | 218,166 | |
| | 794 | | | Ipsen SA | | | 82,217 | |
| | 1,956 | | | JCDecaux SA* | | | 37,306 | |
| | 4,491 | | | Kering SA | | | 2,761,943 | |
| | 4,030 | | | Klepierre SA, REIT | | | 66,423 | |
| | 11,468 | | | Korian SA* | | | 444,497 | |
| | 1,852 | | | La Francaise des Jeux SAEM(d) | | | 68,683 | |
| | 5,620 | | | Legrand SA | | | 468,564 | |
| | 10,935 | | | L’Oréal SA | | | 3,617,530 | |
| | 14,436 | | | LVMH Moët Hennessy Louis Vuitton SE | | | 6,777,502 | |
| | 17,973 | | | Natixis SA* | | | 49,554 | |
| | 18,195 | | | Nexans SA | | | 1,021,623 | |
| | 42,002 | | | Orange SA | | | 468,058 | |
| | 1,114 | | | Orpea* | | | 133,864 | |
| | 4,470 | | | Pernod Ricard SA | | | 766,201 | |
| | 12,481 | | | Peugeot SA | | | 214,180 | |
| | 4,592 | | | Publicis Groupe SA | | | 160,840 | |
| | 518 | | | Remy Cointreau SA | | | 85,297 | |
| | 54,837 | | | Renault SA | | | 1,558,284 | |
| | 166,623 | | | Rexel SA | | | 2,227,749 | |
| | 10,178 | | | Rubis SCA | | | 481,181 | |
| | 6,746 | | | Safran SA* | | | 780,347 | |
| | 53,024 | | | Sanofi | | | 5,369,938 | |
| | 6,961 | | | Sartorius Stedim Biotech | | | 2,492,426 | |
| | 41,118 | | | Schneider Electric SE | | | 5,099,217 | |
| | 44,284 | | | SCOR SE* | | | 1,186,151 | |
| | 19,826 | | | SEB SA | | | 3,483,785 | |
| | 103,724 | | | Societe Generale SA | | | 1,677,725 | |
| | 1,877 | | | Sodexo SA | | | 134,217 | |
| | 5,125 | | | SOITEC*(a) | | | 683,196 | |
| | 4,576 | | | Sopra Steria Group* | | | 743,948 | |
| | 7,252 | | | Suez SA | | | 125,663 | |
| | 8,262 | | | Teleperformance | | | 2,546,328 | |
| | 2,261 | | | Thales SA | | | 176,626 | |
| | 233,364 | | | TOTAL SE | | | 9,233,641 | |
| | 27,219 | | | Ubisoft Entertainment SA* | | | 2,241,530 | |
| | 617 | | | Unibail-Rodamco-Westfield, REIT | | | 28,835 | |
| | 2,319 | | | Unibail-Rodamco-Westfield, REIT(a) | | | 108,324 | |
| | 49,677 | | | Valeo SA | | | 1,516,116 | |
| | 11,436 | | | Veolia Environnement SA | | | 276,040 | |
See Notes to Financial Statements.
113
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | France — 10.6% — (continued) | |
| | 39,518 | | | Vinci SA | | $ | 3,702,963 | |
| | 17,457 | | | Vivendi SA | | | 496,265 | |
| | 575 | | | Wendel SE | | | 59,030 | |
| | 47,028 | | | Worldline SA*(d) | | | 4,332,496 | |
| | | | | | | | |
| | | | Total France | | | 133,460,246 | |
| | | | | | | | |
|
| | Germany — 9.2% | |
| | 10,544 | | | adidas AG* | | | 3,192,405 | |
| | 21,797 | | | Allianz SE, Class Registered Shares | | | 4,720,880 | |
| | 55,874 | | | alstria office REIT-AG | | | 836,210 | |
| | 8,873 | | | Aurubis AG | | | 637,490 | |
| | 138,052 | | | BASF SE | | | 8,423,740 | |
| | 57,451 | | | Bayer AG, Class Registered Shares | | | 3,796,214 | |
| | 40,889 | | | Bayerische Motoren Werke AG | | | 2,939,782 | |
| | 6,255 | | | Bechtle AG | | | 1,263,890 | |
| | 16,652 | | | Beiersdorf AG | | | 1,923,232 | |
| | 12,605 | | | Brenntag AG | | | 789,741 | |
| | 6,820 | | | Carl Zeiss Meditec AG | | | 768,911 | |
| | 114,584 | | | CECONOMY AG* | | | 529,469 | |
| | 20,700 | | | Commerzbank AG | | | 120,292 | |
| | 14,479 | | | Continental AG | | | 1,577,783 | |
| | 3,689 | | | Covestro AG(d) | | | 175,485 | |
| | 14,832 | | | CTS Eventim AG & Co. KGaA | | | 737,321 | |
| | 77,306 | | | Daimler AG, Class Registered Shares | | | 3,940,755 | |
| | 2,630 | | | Delivery Hero SE*(d) | | | 282,116 | |
| | 41,665 | | | Deutsche Bank AG, Class Registered Shares* | | | 399,475 | |
| | 4,000 | | | Deutsche Boerse AG | | | 756,134 | |
| | 6,500 | | | Deutsche Lufthansa AG, Class Registered Shares* | | | 67,846 | |
| | 115,937 | | | Deutsche Post AG, Class Registered Shares | | | 5,257,681 | |
| | 70,171 | | | Deutsche Telekom AG, Class Registered Shares | | | 1,232,681 | |
| | 52,663 | | | Deutsche Wohnen SE | | | 2,803,109 | |
| | 11,673 | | | DWS Group GmbH & Co. KGaA*(d) | | | 458,506 | |
| | 47,267 | | | E.ON SE | | | 559,431 | |
| | 45,146 | | | Encavis AG | | | 825,084 | |
| | 4,450 | | | Evonik Industries AG | | | 129,166 | |
| | 927 | | | Fraport AG Frankfurt Airport Services Worldwide* | | | 42,022 | |
| | 41,937 | | | Fresenius Medical Care AG & Co. KGaA | | | 3,550,569 | |
| | 39,024 | | | Fresenius SE & Co. KGaA | | | 1,801,489 | |
| | 51,145 | | | GEA Group AG | | | 1,865,462 | |
| | 8,458 | | | Gerresheimer AG | | | 996,113 | |
| | 1,269 | | | Hannover Rueck SE | | | 216,113 | |
| | 3,158 | | | HeidelbergCement AG | | | 200,539 | |
| | 23,276 | | | HelloFresh SE* | | | 1,196,416 | |
| | 2,205 | | | Henkel AG & Co. KGaA | | | 197,990 | |
| | 473 | | | Hochtief AG | | | 41,993 | |
| | 420,095 | | | Infineon Technologies AG | | | 11,609,068 | |
| | 12,492 | | | KION Group AG | | | 1,056,480 | |
| | 14,687 | | | Knorr-Bremse AG | | | 1,866,438 | |
| | 1,680 | | | Lanxess AG | | | 98,352 | |
| | 1,487 | | | LEG Immobilien AG | | | 218,887 | |
| | 2,721 | | | Merck KGaA | | | 369,055 | |
| | 42,418 | | | METRO AG | | | 419,782 | |
| | 1,107 | | | MTU Aero Engines AG | | | 205,092 | |
| | 2,954 | | | Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen, Class Registered Shares | | | 848,588 | |
| | 1,244 | | | Nemetschek SE | | | 98,951 | |
| | 1,758 | | | Puma SE | | | 145,279 | |
See Notes to Financial Statements.
114
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | Germany — 9.2% — (continued) | |
| | 6,425 | | | Rheinmetall AG | | $ | 594,613 | |
| | 40,793 | | | RWE AG | | | 1,617,474 | |
| | 14,298 | | | Salzgitter AG | | | 230,776 | |
| | 110,104 | | | SAP SE | | | 18,098,763 | |
| | 2,319 | | | Scout24 AG(d) | | | 215,626 | |
| | 75,303 | | | Siemens AG, Class Registered Shares | | | 10,393,680 | |
| | 70,262 | | | Siemens Healthineers AG(d) | | | 3,194,308 | |
| | 37,965 | | | Suedzucker AG | | | 775,156 | |
| | 2,709 | | | Symrise AG, Class A Shares | | | 373,244 | |
| | 44,013 | | | TAG Immobilien AG | | | 1,313,401 | |
| | 2,801 | | | TeamViewer AG*(d) | | | 151,833 | |
| | 23,429 | | | Telefonica Deutschland Holding AG | | | 64,802 | |
| | 7,526 | | | ThyssenKrupp AG* | | | 54,164 | |
| | 4,271 | | | Uniper SE | | | 139,955 | |
| | 15,671 | | | United Internet AG, Class Registered Shares | | | 769,289 | |
| | 689 | | | Volkswagen AG | | | 123,664 | |
| | 10,846 | | | Vonovia SE | | | 776,594 | |
| | 3,269 | | | Zalando SE*(d) | | | 285,645 | |
| | | | | | | | |
| | | | Total Germany | | | 115,362,494 | |
| | | | | | | | |
|
| | Hong Kong — 2.2% | |
| | 690,400 | | | AIA Group Ltd. | | | 7,024,268 | |
| | 6,400 | | | ASM Pacific Technology Ltd. | | | 68,818 | |
| | 25,600 | | | Bank of East Asia Ltd. (The) | | | 57,647 | |
| | 78,500 | | | BOC Hong Kong Holdings Ltd. | | | 220,864 | |
| | 37,100 | | | Budweiser Brewing Co. APAC Ltd.(d) | | | 124,579 | |
| | 220,000 | | | China Mengniu Dairy Co., Ltd.* | | | 1,076,708 | |
| | 293,683 | | | China Mobile Ltd. | | | 2,049,126 | |
| | 3,302,077 | | | China Unicom Hong Kong Ltd. | | | 2,330,727 | |
| | 302,809 | | | CK Asset Holdings Ltd. | | | 1,629,943 | |
| | 57,000 | | | CK Hutchison Holdings Ltd. | | | 369,934 | |
| | 15,000 | | | CK Infrastructure Holdings Ltd. | | | 78,682 | |
| | 34,500 | | | CLP Holdings Ltd. | | | 338,547 | |
| | 6,700 | | | Dairy Farm International Holdings Ltd. | | | 27,951 | |
| | 46,000 | | | Galaxy Entertainment Group Ltd. | | | 359,200 | |
| | 43,000 | | | Hang Lung Properties Ltd. | | | 120,836 | |
| | 16,100 | | | Hang Seng Bank Ltd. | | | 252,277 | |
| | 28,894 | | | Henderson Land Development Co., Ltd. | | | 112,783 | |
| | 53,500 | | | HK Electric Investments & HK Electric Investments Ltd. | | | 54,378 | |
| | 80,000 | | | HKT Trust & HKT Ltd., Class Miscella Shares | | | 114,225 | |
| | 224,600 | | | Hong Kong & China Gas Co., Ltd. | | | 326,143 | |
| | 56,419 | | | Hong Kong Exchanges & Clearing Ltd. | | | 2,836,237 | |
| | 23,600 | | | Hongkong Land Holdings Ltd. | | | 90,117 | |
| | 4,700 | | | Jardine Matheson Holdings Ltd. | | | 196,582 | |
| | 4,400 | | | Jardine Strategic Holdings Ltd. | | | 88,228 | |
| | 14,500 | | | Kerry Properties Ltd. | | | 37,599 | |
| | 42,600 | | | Link REIT | | | 335,858 | |
| | 4,414 | | | Melco Resorts & Entertainment Ltd., ADR | | | 86,161 | |
| | 32,500 | | | MTR Corp., Ltd. | | | 167,907 | |
| | 32,669 | | | New World Development Co., Ltd. | | | 169,020 | |
| | 95,000 | | | PCCW Ltd. | | | 59,481 | |
| | 29,500 | | | Power Assets Holdings Ltd. | | | 168,073 | |
| | 64,646 | | | Sino Land Co., Ltd. | | | 75,082 | |
| | 42,000 | | | SJM Holdings Ltd. | | | 57,641 | |
| | 28,000 | | | Sun Hung Kai Properties Ltd. | | | 373,003 | |
| | 10,000 | | | Swire Pacific Ltd., Class A Shares | | | 53,812 | |
See Notes to Financial Statements.
115
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | Hong Kong — 2.2% — (continued) | |
| | 24,800 | | | Swire Properties Ltd. | | $ | 67,068 | |
| | 183,000 | | | Techtronic Industries Co., Ltd. | | | 2,312,609 | |
| | 887,000 | | | Towngas China Co., Ltd.* | | | 402,130 | |
| | 582,000 | | | United Laboratories International Holdings Ltd. (The)(a) | | | 683,781 | |
| | 2,114,500 | | | WH Group Ltd.(d) | | | 1,820,384 | |
| | 36,000 | | | Wharf Real Estate Investment Co., Ltd. | | | 149,123 | |
| | 372,000 | | | Xinyi Glass Holdings Ltd. | | | 638,497 | |
| | | | | | | | |
| | | | Total Hong Kong | | | 27,606,029 | |
| | | | | | | | |
|
| | India — 0.3% | |
| | 318,376 | | | Canara Bank* | | | 462,404 | |
| | 55,520 | | | HDFC Bank Ltd.* | | | 838,824 | |
| | 118,355 | | | NTPC Ltd. | | | 156,305 | |
| | 536,925 | | | Oil & Natural Gas Corp., Ltd. | | | 599,013 | |
| | 38,492 | | | Reliance Industries Ltd. | | | 1,084,673 | |
| | 256,326 | | | Zee Entertainment Enterprises Ltd.* | | | 702,431 | |
| | | | | | | | |
| | | | Total India | | | 3,843,650 | |
| | | | | | | | |
|
| | Indonesia — 0.2% | |
| | 545,000 | | | Bank Central Asia Tbk PT | | | 1,173,378 | |
| | 1,724,468 | | | Bank Mandiri Persero Tbk PT | | | 702,168 | |
| | | | | | | | |
| | | | Total Indonesia | | | 1,875,546 | |
| | | | | | | | |
|
| | Ireland — 1.5% | |
| | 2,957 | | | AerCap Holdings NV* | | | 87,439 | |
| | 522,307 | | | AIB Group PLC* | | | 644,696 | |
| | 379,948 | | | Bank of Ireland Group PLC | | | 873,078 | |
| | 16,532 | | | CRH PLC | | | 612,803 | |
| | 112,728 | | | Dalata Hotel Group PLC | | | 368,368 | |
| | 2,088 | | | DCC PLC | | | 184,996 | |
| | 19,122 | | | Experian PLC | | | 713,161 | |
| | 24,320 | | | Flutter Entertainment PLC | | | 4,035,516 | |
| | 133,259 | | | James Hardie Industries PLC, CDI | | | 2,980,395 | |
| | 3,345 | | | Kerry Group PLC, Class A Shares | | | 439,720 | |
| | 3,262 | | | Kingspan Group PLC | | | 280,008 | |
| | 21,543 | | | Medtronic PLC | | | 2,315,226 | |
| | 55,064 | | | Ryanair Holdings PLC, ADR* | | | 4,454,678 | |
| | 4,796 | | | Smurfit Kappa Group PLC | | | 169,744 | |
| | 91,746 | | | UDG Healthcare PLC | | | 894,670 | |
| | | | | | | | |
| | | | Total Ireland | | | 19,054,498 | |
| | | | | | | | |
|
| | Isle of Man — 0.2% | |
| | 255,635 | | | GVC Holdings PLC | | | 2,770,145 | |
| | | | | | | | |
|
| | Israel — 0.3% | |
| | 922 | | | Azrieli Group Ltd. | | | 49,664 | |
| | 24,083 | | | Bank Hapoalim BM | | | 145,746 | |
| | 31,114 | | | Bank Leumi Le-Israel BM | | | 159,222 | |
| | 11,989 | | | Check Point Software Technologies Ltd.* | | | 1,513,731 | |
| | 804 | | | CyberArk Software Ltd.* | | | 88,842 | |
| | 614 | | | Elbit Systems Ltd. | | | 82,809 | |
| | 14,106 | | | ICL Group Ltd. | | | 52,441 | |
| | 15,166 | | | Inmode Ltd.*(a) | | | 479,701 | |
| | 171,829 | | | Israel Discount Bank Ltd., Class A Shares | | | 549,903 | |
| | 3,396 | | | Mizrahi Tefahot Bank Ltd. | | | 69,110 | |
| | 1,363 | | | Nice Ltd.* | | | 312,846 | |
| | 23,175 | | | Teva Pharmaceutical Industries Ltd., ADR* | | | 228,737 | |
See Notes to Financial Statements.
116
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | Israel — 0.3% — (continued) | |
| | 1,051 | | | Wix.com Ltd.* | | $ | 309,656 | |
| | | | | | | | |
| | | | Total Israel | | | 4,042,408 | |
| | | | | | | | |
|
| | Italy — 2.8% | |
| | 43,144 | | | ACEA SpA | | | 889,069 | |
| | 22,066 | | | Amplifon SpA | | | 734,799 | |
| | 101,538 | | | Assicurazioni Generali SpA | | | 1,574,697 | |
| | 10,514 | | | Atlantia SpA* | | | 167,230 | |
| | 67,073 | | | Banca Mediolanum SpA | | | 497,074 | |
| | 131,390 | | | BPER Banca(a) | | | 360,415 | |
| | 36,965 | | | Buzzi Unicem SpA | | | 907,256 | |
| | 236,411 | | | Davide Campari-Milano NV | | | 2,430,706 | |
| | 3,430 | | | DiaSorin SpA | | | 620,067 | |
| | 378,169 | | | Enel SpA | | | 3,429,749 | |
| | 316,435 | | | Eni SpA | | | 2,943,365 | |
| | 2,639 | | | Ferrari NV | | | 514,108 | |
| | 104,879 | | | FinecoBank Banca Fineco SpA | | | 1,588,130 | |
| | 5,172 | | | Infrastrutture Wireless Italiane SpA(d) | | | 50,455 | |
| | 15,199 | | | Interpump Group SpA | | | 532,139 | |
| | 1,105,696 | | | Intesa Sanpaolo SpA | | | 2,379,157 | |
| | 8,628 | | | Leonardo SpA | | | 58,400 | |
| | 12,531 | | | Mediobanca Banca di Credito Finanziario SpA(a) | | | 108,773 | |
| | 4,213 | | | Moncler SpA | | | 163,447 | |
| | 8,141 | | | Nexi SpA*(d) | | | 144,812 | |
| | 7,555 | | | Pirelli & C SpA(d) | | | 32,647 | |
| | 12,127 | | | Poste Italiane SpA(d) | | | 111,216 | |
| | 73,095 | | | Prysmian SpA | | | 2,043,082 | |
| | 2,219 | | | Recordati Industria Chimica e Farmaceutica SpA | | | 120,885 | |
| | 8,290 | | | Reply SpA(a) | | | 919,634 | |
| | 320,291 | | | Saipem SpA(a) | | | 685,599 | |
| | 42,883 | | | Snam SpA | | | 219,800 | |
| | 107,646 | | | Telecom Italia SpA | | | 50,816 | |
| | 161,070 | | | Telecom Italia SpA* | | | 76,609 | |
| | 29,857 | | | Terna Rete Elettrica Nazionale SpA | | | 215,874 | |
| | 1,056,305 | | | UniCredit SpA | | | 10,407,007 | |
| | | | | | | | |
| | | | Total Italy | | | 34,977,017 | |
| | | | | | | | |
|
| | Japan — 17.9% | |
| | 800 | | | ABC-Mart Inc. | | | 42,064 | |
| | 8,800 | | | Acom Co., Ltd. | | | 34,313 | |
| | 4,100 | | | Advantest Corp. | | | 195,518 | |
| | 13,900 | | | Aeon Co., Ltd. | | | 344,347 | |
| | 2,500 | | | Aeon Mall Co., Ltd. | | | 33,018 | |
| | 4,100 | | | AGC Inc. | | | 115,843 | |
| | 4,400 | | | Air Water Inc. | | | 61,568 | |
| | 3,400 | | | Aisin Seiki Co., Ltd. | | | 116,484 | |
| | 10,100 | | | Ajinomoto Co., Inc. | | | 187,996 | |
| | 3,800 | | | Alfresa Holdings Corp. | | | 76,225 | |
| | 7,500 | | | Amada Co., Ltd. | | | 66,589 | |
| | 2,200 | | | ANA Holdings Inc. | | | 54,297 | |
| | 40,400 | | | Anritsu Corp.(a) | | | 881,156 | |
| | 2,600 | | | Aozora Bank Ltd. | | | 46,474 | |
| | 8,300 | | | Asahi Group Holdings Ltd. | | | 290,106 | |
| | 4,100 | | | Asahi Intecc Co., Ltd. | | | 121,439 | |
| | 26,600 | | | Asahi Kasei Corp. | | | 222,648 | |
| | 14,300 | | | ASKUL Corp. | | | 440,564 | |
| | 39,100 | | | Astellas Pharma Inc. | | | 613,590 | |
See Notes to Financial Statements.
117
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | Japan — 17.9% — (continued) | |
| | 4,200 | | | Bandai Namco Holdings Inc. | | $ | 260,368 | |
| | 1,000 | | | Bank of Kyoto Ltd. (The) | | | 42,539 | |
| | 6,500 | | | BayCurrent Consulting Inc. | | | 692,898 | |
| | 30,000 | | | Bell System24 Holdings Inc. | | | 487,314 | |
| | 7,973 | | | Benesse Holdings Inc. | | | 203,292 | |
| | 11,300 | | | Bridgestone Corp. | | | 357,578 | |
| | 5,200 | | | Brother Industries Ltd. | | | 85,877 | |
| | 1,700 | | | Calbee Inc. | | | 53,046 | |
| | 59,159 | | | Canon Inc. | | | 1,012,451 | |
| | 21,800 | | | Capcom Co., Ltd. | | | 1,055,179 | |
| | 4,100 | | | Casio Computer Co., Ltd. | | | 65,849 | |
| | 3,000 | | | Central Japan Railway Co. | | | 448,055 | |
| | 11,200 | | | Chiba Bank Ltd. (The) | | | 57,969 | |
| | 71,946 | | | Chiyoda Corp.* | | | 187,381 | |
| | 13,700 | | | Chubu Electric Power Co., Inc. | | | 169,168 | |
| | 14,100 | | | Chugai Pharmaceutical Co., Ltd. | | | 628,634 | |
| | 6,700 | | | Chugoku Electric Power Co., Inc. (The) | | | 81,684 | |
| | 172,546 | | | Citizen Watch Co., Ltd. | | | 547,119 | |
| | 2,300 | | | Coca-Cola Bottlers Japan Holdings Inc. | | | 38,305 | |
| | 22,500 | | | Concordia Financial Group Ltd. | | | 73,968 | |
| | 400 | | | Cosmos Pharmaceutical Corp. | | | 70,379 | |
| | 2,100 | | | CyberAgent Inc. | | | 111,823 | |
| | 5,200 | | | Dai Nippon Printing Co., Ltd. | | | 110,314 | |
| | 4,800 | | | Daicel Corp. | | | 34,729 | |
| | 2,000 | | | Daifuku Co., Ltd. | | | 175,621 | |
| | 15,000 | | | Daihen Corp. | | | 591,155 | |
| | 133,903 | | | Dai-ichi Life Holdings Inc. | | | 2,019,973 | |
| | 11,900 | | | Daiichi Sankyo Co., Ltd. | | | 1,061,777 | |
| | 29,400 | | | Daikin Industries Ltd. | | | 5,527,856 | |
| | 1,300 | | | Daito Trust Construction Co., Ltd. | | | 115,134 | |
| | 12,000 | | | Daiwa House Industry Co., Ltd. | | | 320,948 | |
| | 42 | | | Daiwa House REIT Investment Corp., Class A Shares | | | 109,645 | |
| | 31,700 | | | Daiwa Securities Group Inc. | | | 142,653 | |
| | 67,688 | | | DeNA Co., Ltd. | | | 1,075,710 | |
| | 22,700 | | | Denka Co., Ltd. | | | 637,424 | |
| | 9,100 | | | Denso Corp. | | | 381,535 | |
| | 4,300 | | | Dentsu Group Inc. | | | 112,423 | |
| | 600 | | | Disco Corp. | | | 139,397 | |
| | 6,300 | | | East Japan Railway Co. | | | 409,416 | |
| | 39,500 | | | Eiken Chemical Co., Ltd. | | | 709,149 | |
| | 17,408 | | | Eisai Co., Ltd. | | | 1,518,937 | |
| | 3,300 | | | Electric Power Development Co., Ltd. | | | 49,719 | |
| | 65,150 | | | ENEOS Holdings Inc. | | | 254,944 | |
| | 40,200 | | | FANUC Corp. | | | 7,036,141 | |
| | 1,200 | | | Fast Retailing Co., Ltd. | | | 714,734 | |
| | 35,500 | | | Fuji Corp. | | | 633,232 | |
| | 2,600 | | | Fuji Electric Co., Ltd. | | | 81,024 | |
| | 36,436 | | | Fuji Media Holdings Inc. | | | 360,591 | |
| | 7,400 | | | FUJIFILM Holdings Corp. | | | 352,163 | |
| | 11,509 | | | Fujitsu Ltd. | | | 1,501,071 | |
| | 3,500 | | | Fukuoka Financial Group Inc. | | | 57,740 | |
| | 29,200 | | | FULLCAST Holdings Co., Ltd. | | | 440,601 | |
| | 14,400 | | | Fuso Chemical Co., Ltd. | | | 483,802 | |
| | 78 | | | GLP J-REIT | | | 120,304 | |
| | 800 | | | GMO Payment Gateway Inc. | | | 84,566 | |
| | 156,187 | | | Gree Inc. | | | 661,955 | |
See Notes to Financial Statements.
118
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | Japan — 17.9% — (continued) | |
| | 5,400 | | | Hakuhodo DY Holdings Inc. | | $ | 67,016 | |
| | 3,000 | | | Hamamatsu Photonics KK | | | 136,583 | |
| | 4,900 | | | Hankyu Hanshin Holdings Inc. | | | 159,004 | |
| | 400 | | | Hikari Tsushin Inc. | | | 96,396 | |
| | 205,180 | | | Hino Motors Ltd. | | | 1,364,711 | |
| | 745 | | | Hirose Electric Co., Ltd. | | | 84,285 | |
| | 1,100 | | | Hisamitsu Pharmaceutical Co., Inc. | | | 50,697 | |
| | 2,300 | | | Hitachi Construction Machinery Co., Ltd. | | | 80,485 | |
| | 79,200 | | | Hitachi Ltd. | | | 2,629,574 | |
| | 4,900 | | | Hitachi Metals Ltd. | | | 73,371 | |
| | 186,300 | | | Honda Motor Co., Ltd. | | | 4,758,796 | |
| | 1,000 | | | Hoshizaki Corp. | | | 76,369 | |
| | 44,300 | | | Hoya Corp. | | | 4,350,408 | |
| | 6,400 | | | Hulic Co., Ltd. | | | 58,194 | |
| | 3,937 | | | Idemitsu Kosan Co., Ltd. | | | 86,631 | |
| | 3,400 | | | Iida Group Holdings Co., Ltd. | | | 66,260 | |
| | 264,530 | | | Inpex Corp. | | | 1,672,094 | |
| | 18,600 | | | Internet Initiative Japan Inc. | | | 750,248 | |
| | 1,270 | | | Invincible Investment Corp., REIT | | | 376,502 | |
| | 7,100 | | | Isetan Mitsukoshi Holdings Ltd. | | | 38,993 | |
| | 126,960 | | | Isuzu Motors Ltd. | | | 1,251,820 | |
| | 1,200 | | | Ito En Ltd. | | | 72,494 | |
| | 28,400 | | | ITOCHU Corp. | | | 728,326 | |
| | 2,000 | | | Itochu Techno-Solutions Corp. | | | 72,379 | |
| | 2,800 | | | Japan Airlines Co., Ltd. | | | 54,977 | |
| | 1,000 | | | Japan Airport Terminal Co., Ltd. | | | 44,876 | |
| | 10,800 | | | Japan Exchange Group Inc. | | | 279,551 | |
| | 30,600 | | | Japan Lifeline Co., Ltd. | | | 405,979 | |
| | 8,300 | | | Japan Post Bank Co., Ltd. | | | 66,436 | |
| | 33,400 | | | Japan Post Holdings Co., Ltd. | | | 245,226 | |
| | 4,300 | | | Japan Post Insurance Co., Ltd. | | | 68,328 | |
| | 15 | | | Japan Prime Realty Investment Corp., REIT | | | 45,247 | |
| | 29 | | | Japan Real Estate Investment Corp., REIT | | | 162,134 | |
| | 51 | | | Japan Retail Fund Investment Corp., REIT | | | 76,741 | |
| | 25,300 | | | Japan Tobacco Inc. | | | 472,653 | |
| | 11,400 | | | JFE Holdings Inc. | | | 84,726 | |
| | 136,609 | | | JGC Holdings Corp. | | | 1,503,311 | |
| | 58,534 | | | JSR Corp. | | | 1,241,304 | |
| | 4,900 | | | JTEKT Corp. | | | 37,683 | |
| | 9,200 | | | Kajima Corp. | | | 114,022 | |
| | 2,500 | | | Kakaku.com Inc. | | | 66,444 | |
| | 1,800 | | | Kamigumi Co., Ltd. | | | 37,098 | |
| | 22,700 | | | Kanamoto Co., Ltd. | | | 491,565 | |
| | 14,900 | | | Kansai Electric Power Co., Inc. (The) | | | 146,458 | |
| | 3,800 | | | Kansai Paint Co., Ltd. | | | 90,489 | |
| | 10,100 | | | Kao Corp. | | | 768,447 | |
| | 3,000 | | | Kawasaki Heavy Industries Ltd. | | | 42,333 | |
| | 94,100 | | | KDDI Corp. | | | 2,728,570 | |
| | 2,000 | | | Keihan Holdings Co., Ltd. | | | 86,144 | |
| | 4,200 | | | Keikyu Corp. | | | 62,590 | |
| | 2,200 | | | Keio Corp. | | | 132,640 | |
| | 2,700 | | | Keisei Electric Railway Co., Ltd. | | | 79,310 | |
| | 102 | | | Kenedix Office Investment Corp., REIT, Class A Shares | | | 603,426 | |
| | 17,100 | | | Keyence Corp. | | | 7,038,526 | |
| | 3,200 | | | Kikkoman Corp. | | | 173,418 | |
| | 3,600 | | | Kintetsu Group Holdings Co., Ltd. | | | 158,093 | |
See Notes to Financial Statements.
119
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | Japan — 17.9% — (continued) | |
| | 30,600 | | | Kintetsu World Express Inc. | | $ | 628,863 | |
| | 17,300 | | | Kirin Holdings Co., Ltd. | | | 339,835 | |
| | 1,100 | | | Kobayashi Pharmaceutical Co., Ltd. | | | 97,902 | |
| | 2,900 | | | Kobe Bussan Co., Ltd. | | | 170,844 | |
| | 2,300 | | | Koito Manufacturing Co., Ltd. | | | 111,219 | |
| | 18,400 | | | Komatsu Ltd. | | | 397,241 | |
| | 15,900 | | | Komeri Co., Ltd. | | | 491,917 | |
| | 2,100 | | | Konami Holdings Corp. | | | 80,777 | |
| | 600 | | | Kose Corp. | | | 70,219 | |
| | 21,600 | | | Kubota Corp. | | | 389,739 | |
| | 18,800 | | | Kumagai Gumi Co., Ltd. | | | 479,684 | |
| | 7,200 | | | Kuraray Co., Ltd. | | | 72,966 | |
| | 1,800 | | | Kurita Water Industries Ltd. | | | 56,219 | |
| | 6,700 | | | Kyocera Corp. | | | 382,974 | |
| | 5,800 | | | Kyowa Kirin Co., Ltd. | | | 149,880 | |
| | 8,000 | | | Kyushu Electric Power Co., Inc. | | | 70,828 | |
| | 3,400 | | | Kyushu Railway Co. | | | 74,931 | |
| | 21,200 | | | Lasertec Corp. | | | 1,595,185 | |
| | 1,100 | | | Lawson Inc. | | | 54,260 | |
| | 1,300 | | | LINE Corp.* | | | 66,244 | |
| | 16,600 | | | Lintec Corp. | | | 392,834 | |
| | 4,700 | | | Lion Corp. | | | 100,101 | |
| | 5,300 | | | LIXIL Group Corp. | | | 97,040 | |
| | 9,300 | | | M3 Inc. | | | 537,512 | |
| | 49,900 | | | Maeda Corp. | | | 369,613 | |
| | 4,800 | | | Makita Corp. | | | 220,717 | |
| | 33,500 | | | Marubeni Corp. | | | 200,490 | |
| | 3,800 | | | Marui Group Co., Ltd. | | | 69,214 | |
| | 1,100 | | | Maruichi Steel Tube Ltd. | | | 29,446 | |
| | 12,100 | | | Mazda Motor Corp. | | | 77,217 | |
| | 1,400 | | | McDonald’s Holdings Co. Japan Ltd. | | | 68,639 | |
| | 21,610 | | | Mebuki Financial Group Inc. | | | 52,291 | |
| | 3,900 | | | Medipal Holdings Corp. | | | 74,479 | |
| | 2,400 | | | MEIJI Holdings Co., Ltd. | | | 193,746 | |
| | 1,900 | | | Mercari Inc.*(a) | | | 85,861 | |
| | 7,700 | | | MINEBEA MITSUMI Inc. | | | 132,365 | |
| | 73,200 | | | MISUMI Group Inc. | | | 1,905,451 | |
| | 27,200 | | | Mitsubishi Chemical Holdings Corp. | | | 158,669 | |
| | 28,500 | | | Mitsubishi Corp. | | | 674,336 | |
| | 38,400 | | | Mitsubishi Electric Corp. | | | 527,187 | |
| | 130,560 | | | Mitsubishi Estate Co., Ltd. | | | 2,042,990 | |
| | 3,700 | | | Mitsubishi Gas Chemical Co., Inc. | | | 65,944 | |
| | 35,216 | | | Mitsubishi Heavy Industries Ltd. | | | 872,630 | |
| | 2,400 | | | Mitsubishi Materials Corp. | | | 50,310 | |
| | 268,380 | | | Mitsubishi Motors Corp. | | | 643,063 | |
| | 257,300 | | | Mitsubishi UFJ Financial Group Inc. | | | 1,071,146 | |
| | 10,300 | | | Mitsubishi UFJ Lease & Finance Co., Ltd. | | | 48,545 | |
| | 34,900 | | | Mitsui & Co., Ltd. | | | 626,433 | |
| | 3,900 | | | Mitsui Chemicals Inc. | | | 91,464 | |
| | 20,000 | | | Mitsui Fudosan Co., Ltd. | | | 361,417 | |
| | 1,900 | | | Miura Co., Ltd. | | | 77,729 | |
| | 507,900 | | | Mizuho Financial Group Inc. | | | 687,407 | |
| | 2,700 | | | MonotaRO Co., Ltd. | | | 106,526 | |
| | 9,400 | | | MS&AD Insurance Group Holdings Inc. | | | 260,420 | |
| | 95,700 | | | Murata Manufacturing Co., Ltd. | | | 5,660,460 | |
| | 66,600 | | | Nabtesco Corp. | | | 2,104,973 | |
See Notes to Financial Statements.
120
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | Japan — 17.9% — (continued) | |
| | 3,900 | | | Nagoya Railroad Co., Ltd. | | $ | 108,785 | |
| | 5,300 | | | NEC Corp. | | | 279,038 | |
| | 27,100 | | | NEC Networks & System Integration Corp. | | | 503,363 | |
| | 25,800 | | | NET One Systems Co., Ltd. | | | 990,541 | |
| | 78,500 | | | Nexon Co., Ltd. | | | 1,842,932 | |
| | 5,800 | | | NGK Insulators Ltd. | | | 82,189 | |
| | 2,900 | | | NGK Spark Plug Co., Ltd. | | | 49,779 | |
| | 1,700 | | | NH Foods Ltd. | | | 76,935 | |
| | 20,800 | | | Nichirei Corp. | | | 542,651 | |
| | 38,600 | | | Nidec Corp. | | | 3,223,733 | |
| | 55,600 | | | Nihon M&A Center Inc. | | | 2,763,314 | |
| | 14,600 | | | Nikkiso Co., Ltd. | | | 142,739 | |
| | 121,760 | | | Nikon Corp. | | | 952,533 | |
| | 5,700 | | | Nintendo Co., Ltd. | | | 3,048,666 | |
| | 138 | | | Nippon Accommodations Fund Inc., REIT, Class A Shares | | | 849,218 | |
| | 28 | | | Nippon Building Fund Inc., REIT | | | 168,372 | |
| | 1,500 | | | Nippon Express Co., Ltd. | | | 88,548 | |
| | 3,100 | | | Nippon Paint Holdings Co., Ltd. | | | 266,034 | |
| | 42 | | | Nippon Prologis REIT Inc. | | | 137,424 | |
| | 900 | | | Nippon Shinyaku Co., Ltd. | | | 74,245 | |
| | 17,100 | | | Nippon Steel Corp. | | | 167,757 | |
| | 104,200 | | | Nippon Suisan Kaisha Ltd. | | | 467,094 | |
| | 27,100 | | | Nippon Telegraph & Telephone Corp. | | | 616,778 | |
| | 70,839 | | | Nippon Television Holdings Inc. | | | 835,113 | |
| | 3,300 | | | Nippon Yusen KK | | | 50,960 | |
| | 2,600 | | | Nissan Chemical Corp. | | | 136,764 | |
| | 349,700 | | | Nissan Motor Co., Ltd. | | | 1,416,998 | |
| | 3,900 | | | Nisshin Seifun Group Inc. | | | 64,736 | |
| | 1,300 | | | Nissin Foods Holdings Co., Ltd. | | | 130,114 | |
| | 11,800 | | | Nitori Holdings Co., Ltd. | | | 2,464,801 | |
| | 30,640 | | | Nitto Denko Corp. | | | 1,858,197 | |
| | 334,542 | | | Nomura Holdings Inc. | | | 1,714,426 | |
| | 2,700 | | | Nomura Real Estate Holdings Inc. | | | 51,396 | |
| | 87 | | | Nomura Real Estate Master Fund Inc., REIT | | | 111,338 | |
| | 6,580 | | | Nomura Research Institute Ltd. | | | 175,129 | |
| | 227,000 | | | North Pacific Bank Ltd. | | | 476,715 | |
| | 7,500 | | | NSK Ltd. | | | 56,937 | |
| | 13,400 | | | NTT Data Corp. | | | 152,606 | |
| | 23,800 | | | NTT DOCOMO Inc. | | | 664,361 | |
| | 13,400 | | | Obayashi Corp. | | | 130,409 | |
| | 1,500 | | | Obic Co., Ltd. | | | 265,825 | |
| | 6,300 | | | Odakyu Electric Railway Co., Ltd. | | | 155,689 | |
| | 19,600 | | | Oji Holdings Corp. | | | 87,655 | |
| | 24,500 | | | Olympus Corp. | | | 484,430 | |
| | 3,900 | | | Omron Corp. | | | 285,321 | |
| | 7,800 | | �� | Ono Pharmaceutical Co., Ltd. | | | 235,276 | |
| | 29,700 | | | Open House Co., Ltd. | | | 1,050,279 | |
| | 800 | | | Oracle Corp. Japan | | | 93,813 | |
| | 4,100 | | | Oriental Land Co., Ltd. | | | 556,134 | |
| | 28,100 | | | ORIX Corp. | | | 346,896 | |
| | 55 | | | Orix JREIT Inc. | | | 81,648 | |
| | 8,000 | | | Osaka Gas Co., Ltd. | | | 156,528 | |
| | 2,200 | | | Otsuka Corp. | | | 107,974 | |
| | 8,200 | | | Otsuka Holdings Co., Ltd. | | | 359,864 | |
| | 14,000 | | | PALTAC Corp. | | | 774,055 | |
| | 8,700 | | | Pan Pacific International Holdings Corp. | | | 204,680 | |
See Notes to Financial Statements.
121
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | Japan — 17.9% — (continued) | |
| | 46,500 | | | Panasonic Corp. | | $ | 427,744 | |
| | 2,500 | | | Park24 Co., Ltd. | | | 45,164 | |
| | 123,000 | | | Penta-Ocean Construction Co., Ltd. | | | 787,560 | |
| | 2,000 | | | PeptiDream Inc.* | | | 81,156 | |
| | 4,200 | | | Persol Holdings Co., Ltd. | | | 65,298 | |
| | 2,400 | | | Pigeon Corp. | | | 109,638 | |
| | 2,000 | | | Pola Orbis Holdings Inc. | | | 36,172 | |
| | 18,300 | | | Rakuten Inc. | | | 160,721 | |
| | 75,000 | | | Recruit Holdings Co., Ltd. | | | 2,831,982 | |
| | 16,300 | | | Renesas Electronics Corp.* | | | 102,170 | |
| | 115,600 | | | Rengo Co., Ltd. | | | 852,921 | |
| | 548,110 | | | Resona Holdings Inc. | | | 2,011,254 | |
| | 26,300 | | | Resorttrust Inc. | | | 372,774 | |
| | 14,200 | | | Ricoh Co., Ltd. | | | 105,853 | |
| | 800 | | | Rinnai Corp. | | | 73,854 | |
| | 1,700 | | | Rohm Co., Ltd. | | | 109,113 | |
| | 5,000 | | | Ryohin Keikaku Co., Ltd. | | | 77,972 | |
| | 11,200 | | | Sankyu Inc. | | | 466,978 | |
| | 114,200 | | | Santen Pharmaceutical Co., Ltd. | | | 2,177,439 | |
| | 60,600 | | | Sanwa Holdings Corp. | | | 608,432 | |
| | 13,300 | | | Sawai Pharmaceutical Co., Ltd. | | | 679,548 | |
| | 5,000 | | | SBI Holdings Inc. | | | 113,482 | |
| | 1,100 | | | SCSK Corp. | | | 59,586 | |
| | 4,500 | | | Secom Co., Ltd. | | | 425,123 | |
| | 3,800 | | | Sega Sammy Holdings Inc. | | | 44,003 | |
| | 4,200 | | | Seibu Holdings Inc. | | | 46,103 | |
| | 5,600 | | | Seiko Epson Corp. | | | 66,685 | |
| | 88,500 | | | Sekisui Chemical Co., Ltd. | | | 1,413,304 | |
| | 13,200 | | | Sekisui House Ltd. | | | 260,461 | |
| | 15,900 | | | Seven & i Holdings Co., Ltd. | | | 514,373 | |
| | 11,900 | | | Seven Bank Ltd. | | | 29,829 | |
| | 3,200 | | | SG Holdings Co., Ltd. | | | 146,973 | |
| | 4,700 | | | Sharp Corp. | | | 58,068 | |
| | 26,300 | | | Shiga Bank Ltd. (The) | | | 613,621 | |
| | 4,400 | | | Shimadzu Corp. | | | 131,187 | |
| | 25,986 | | | Shimamura Co., Ltd. | | | 2,141,348 | |
| | 1,600 | | | Shimano Inc. | | | 338,656 | |
| | 12,500 | | | Shimizu Corp. | | | 95,552 | |
| | 7,500 | | | Shin-Etsu Chemical Co., Ltd. | | | 906,132 | |
| | 50,100 | | | Shinko Electric Industries Co., Ltd. | | | 743,660 | |
| | 3,300 | | | Shinsei Bank Ltd. | | | 38,261 | |
| | 5,700 | | | Shionogi & Co., Ltd. | | | 316,141 | |
| | 15,700 | | | Ship Healthcare Holdings Inc. | | | 724,334 | |
| | 8,400 | | | Shiseido Co., Ltd. | | | 488,492 | |
| | 9,700 | | | Shizuoka Bank Ltd. (The) | | | 67,291 | |
| | 2,700 | | | Showa Denko KK | | | 52,509 | |
| | 4,800 | | | SMC Corp. | | | 2,621,026 | |
| | 40,200 | | | Softbank Corp. | | | 527,596 | |
| | 33,000 | | | SoftBank Group Corp. | | | 2,049,070 | |
| | 1,400 | | | Sohgo Security Services Co., Ltd. | | | 65,398 | |
| | 30,100 | | | Sompo Holdings Inc. | | | 1,124,283 | |
| | 69,900 | | | Sony Corp. | | | 5,469,315 | |
| | 1,900 | | | Square Enix Holdings Co., Ltd. | | | 125,028 | |
| | 2,600 | | | Stanley Electric Co., Ltd. | | | 74,422 | |
| | 20,900 | | | Starts Corp., Inc. | | | 436,975 | |
| | 13,100 | | | Subaru Corp. | | | 271,153 | |
See Notes to Financial Statements.
122
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | Japan — 17.9% — (continued) | |
| | 5,600 | | | SUMCO Corp. | | $ | 75,748 | |
| | 30,200 | | | Sumitomo Chemical Co., Ltd. | | | 97,957 | |
| | 25,000 | | | Sumitomo Corp. | | | 323,495 | |
| | 3,900 | | | Sumitomo Dainippon Pharma Co., Ltd. | | | 49,287 | |
| | 16,000 | | | Sumitomo Electric Industries Ltd. | | | 187,958 | |
| | 32,300 | | | Sumitomo Forestry Co., Ltd. | | | 515,374 | |
| | 2,500 | | | Sumitomo Heavy Industries Ltd. | | | 56,324 | |
| | 4,900 | | | Sumitomo Metal Mining Co., Ltd. | | | 149,181 | |
| | 212,445 | | | Sumitomo Mitsui Financial Group Inc. | | | 6,230,489 | |
| | 69,101 | | | Sumitomo Mitsui Trust Holdings Inc. | | | 1,997,389 | |
| | 6,500 | | | Sumitomo Realty & Development Co., Ltd. | | | 191,447 | |
| | 3,600 | | | Sumitomo Rubber Industries Ltd. | | | 34,586 | |
| | 1,700 | | | Sundrug Co., Ltd. | | | 63,277 | |
| | 2,800 | | | Suntory Beverage & Food Ltd. | | | 107,887 | |
| | 41,500 | | | Sushiro Global Holdings Ltd. | | | 962,670 | |
| | 1,400 | | | Suzuken Co., Ltd. | | | 51,954 | |
| | 49,200 | | | Suzuki Motor Corp. | | | 2,010,673 | |
| | 3,600 | | | Sysmex Corp. | | | 314,047 | |
| | 292,285 | | | T&D Holdings Inc. | | | 3,033,085 | |
| | 2,700 | | | Taiheiyo Cement Corp. | | | 68,432 | |
| | 3,800 | | | Taisei Corp. | | | 130,837 | |
| | 600 | | | Taisho Pharmaceutical Holdings Co., Ltd. | | | 36,952 | |
| | 2,800 | | | Taiyo Nippon Sanso Corp. | | | 48,950 | |
| | 21,000 | | | Taiyo Yuden Co., Ltd. | | | 564,341 | |
| | 335,654 | | | Takeda Pharmaceutical Co., Ltd. | | | 12,483,765 | |
| | 26,700 | | | Takeuchi Manufacturing Co., Ltd. | | | 558,917 | |
| | 2,700 | | | TDK Corp. | | | 278,958 | |
| | 4,100 | | | Teijin Ltd. | | | 64,278 | |
| | 47,900 | | | Terumo Corp. | | | 1,943,601 | |
| | 50,710 | | | THK Co., Ltd. | | | 1,175,458 | |
| | 31,600 | | | TIS Inc. | | | 630,418 | |
| | 4,100 | | | Tobu Railway Co., Ltd. | | | 127,861 | |
| | 70,400 | | | Toda Corp. | | | 459,519 | |
| | 2,300 | | | Toho Co., Ltd. | | | 87,359 | |
| | 1,500 | | | Toho Gas Co., Ltd. | | | 66,193 | |
| | 9,100 | | | Tohoku Electric Power Co., Inc. | | | 92,368 | |
| | 54,800 | | | Tokio Marine Holdings Inc. | | | 2,522,891 | |
| | 800 | | | Tokyo Century Corp. | | | 40,941 | |
| | 32,400 | | | Tokyo Electric Power Co. Holdings Inc.* | | | 95,230 | |
| | 3,100 | | | Tokyo Electron Ltd. | | | 790,275 | |
| | 8,000 | | | Tokyo Gas Co., Ltd. | | | 177,994 | |
| | 77,800 | | | Tokyo Steel Manufacturing Co., Ltd. | | | 520,722 | |
| | 10,800 | | | Tokyotokeiba Co., Ltd. | | | 499,270 | |
| | 10,600 | | | Tokyu Corp. | | | 141,511 | |
| | 12,100 | | | Tokyu Fudosan Holdings Corp. | | | 51,893 | |
| | 5,800 | | | Toppan Printing Co., Ltd. | | | 89,963 | |
| | 29,400 | | | Toray Industries Inc. | | | 139,270 | |
| | 8,200 | | | Toshiba Corp. | | | 235,786 | |
| | 5,500 | | | Tosoh Corp. | | | 81,492 | |
| | 3,000 | | | TOTO Ltd. | | | 130,974 | |
| | 1,800 | | | Toyo Suisan Kaisha Ltd. | | | 102,193 | |
| | 52,300 | | | Toyo Tire Corp. | | | 869,394 | |
| | 1,200 | | | Toyoda Gosei Co., Ltd. | | | 26,135 | |
| | 3,100 | | | Toyota Industries Corp. | | | 180,396 | |
| | 86,800 | | | Toyota Motor Corp. | | | 5,735,987 | |
| | 4,500 | | | Toyota Tsusho Corp. | | | 129,501 | |
See Notes to Financial Statements.
123
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | Japan — 17.9% — (continued) | |
| | 2,700 | | | Trend Micro Inc. | | $ | 166,836 | |
| | 800 | | | Tsuruha Holdings Inc. | | | 106,815 | |
| | 8,600 | | | Unicharm Corp. | | | 374,647 | |
| | 59 | | | United Urban Investment Corp., REIT | | | 65,440 | |
| | 5,000 | | | USS Co., Ltd. | | | 84,325 | |
| | 7,000 | | | Valor Holdings Co., Ltd. | | | 178,926 | |
| | 1,800 | | | Welcia Holdings Co., Ltd. | | | 77,064 | |
| | 3,500 | | | West Japan Railway Co. | | | 183,216 | |
| | 2,500 | | | Yakult Honsha Co., Ltd. | | | 142,685 | |
| | 16,100 | | | Yamada Denki Co., Ltd. | | | 86,316 | |
| | 2,600 | | | Yamaha Corp. | | | 126,463 | |
| | 5,900 | | | Yamaha Motor Co., Ltd. | | | 92,643 | |
| | 6,500 | | | Yamato Holdings Co., Ltd. | | | 169,734 | |
| | 2,300 | | | Yamazaki Baking Co., Ltd. | | | 37,461 | |
| | 10,300 | | | Yaoko Co., Ltd. | | | 804,661 | |
| | 44,900 | | | Yaskawa Electric Corp. | | | 1,611,456 | |
| | 4,400 | | | Yokogawa Electric Corp. | | | 71,699 | |
| | 2,400 | | | Yokohama Rubber Co., Ltd. (The) | | | 37,478 | |
| | 260,853 | | | Z Holdings Corp. | | | 1,730,826 | |
| | 20,700 | | | Zenkoku Hosho Co., Ltd. | | | 731,401 | |
| | 2,100 | | | ZOZO Inc. | | | 59,020 | |
| | | | | | | | |
| | | | Total Japan | | | 224,667,154 | |
| | | | | | | | |
|
| | Jersey Channel Islands — 0.1% | |
| | 212,848 | | | Centamin PLC | | | 596,901 | |
| | | | | | | | |
|
| | Jordan — 0.1% | |
| | 34,810 | | | Hikma Pharmaceuticals PLC | | | 1,103,280 | |
| | | | | | | | |
|
| | Luxembourg — 0.2% | |
| | 101,562 | | | ArcelorMittal SA* | | | 1,283,200 | |
| | 23,447 | | | Aroundtown SA | | | 128,351 | |
| | 284 | | | Eurofins Scientific SE* | | | 227,660 | |
| | 22,132 | | | RTL Group SA | | | 734,338 | |
| | 8,292 | | | SES SA, FDR, Class A Shares | | | 58,844 | |
| | 10,817 | | | Tenaris SA | | | 63,556 | |
| | | | | | | | |
| | | | Total Luxembourg | | | 2,495,949 | |
| | | | | | | | |
|
| | Macau — 0.1% | |
| | 306,000 | | | Sands China Ltd. | | | 1,346,783 | |
| | 33,200 | | | Wynn Macau Ltd.* | | | 61,830 | |
| | | | | | | | |
| | | | Total Macau | | | 1,408,613 | |
| | | | | | | | |
|
| | Malaysia — 0.1% | |
| | 780,174 | | | CIMB Group Holdings Bhd | | | 617,837 | |
| | | | | | | | |
|
| | Mexico — 0.1% | |
| | 298,824 | | | Grupo Financiero Banorte SAB de CV, Class O Shares* | | | 1,027,107 | |
| | | | | | | | |
|
| | Netherlands — 5.2% | |
| | 109,784 | | | Aalberts NV | | | 4,141,888 | |
| | 183,102 | | | ABN AMRO Group NV, Dutch Certificate, GDR*(d) | | | 1,743,886 | |
| | 1,726 | | | Adyen NV*(d) | | | 2,909,962 | |
| | 37,524 | | | Aegon NV | | | 104,433 | |
| | 69,495 | | | Akzo Nobel NV | | | 6,877,232 | |
| | 13,050 | | | Altice Europe NV* | | | 57,845 | |
| | 3,925 | | | Argenx SE* | | | 908,970 | |
| | 10,647 | | | ASM International NV | | | 1,600,638 | |
| | 36,384 | | | ASML Holding NV | | | 13,643,498 | |
See Notes to Financial Statements.
124
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | Netherlands — 5.2% — (continued) | |
| | 22,902 | | | ASR Nederland NV | | $ | 793,781 | |
| | 13,993 | | | Boskalis Westminster(a) | | | 293,180 | |
| | 11,570 | | | Euronext NV(d) | | | 1,406,451 | |
| | 2,286 | | | EXOR NV | | | 134,650 | |
| | 15,132 | | | Flow Traders(d) | | | 596,020 | |
| | 2,445 | | | Heineken Holding NV | | | 200,488 | |
| | 5,457 | | | Heineken NV | | | 505,575 | |
| | 1,144,592 | | | ING Groep NV | | | 9,311,624 | |
| | 30,597 | | | Intertrust NV(d) | | | 549,860 | |
| | 6,431 | | | Just Eat Takeaway.com NV*(d) | | | 715,446 | |
| | 23,174 | | | Koninklijke Ahold Delhaize NV | | | 697,952 | |
| | 3,629 | | | Koninklijke DSM NV | | | 582,798 | |
| | 75,808 | | | Koninklijke KPN NV | | | 198,888 | |
| | 61,000 | | | Koninklijke Philips NV | | | 2,884,656 | |
| | 1,492 | | | Koninklijke Vopak NV | | | 81,937 | |
| | 6,148 | | | NN Group NV | | | 231,429 | |
| | 332,736 | | | PostNL NV* | | | 990,740 | |
| | 10,261 | | | Prosus NV* | | | 1,026,439 | |
| | 4,811 | | | QIAGEN NV* | | | 244,423 | |
| | 2,400 | | | Randstad NV | | | 124,993 | |
| | 268,405 | | | Royal Dutch Shell PLC, Class A Shares | | | 3,983,718 | |
| | 362,216 | | | Royal Dutch Shell PLC, Class B Shares | | | 5,101,958 | |
| | 40,347 | | | SBM Offshore NV | | | 698,333 | |
| | 20,459 | | | Signify NV*(d) | | | 682,948 | |
| | 385,308 | | | VEON Ltd., ADR | | | 547,137 | |
| | 5,748 | | | Wolters Kluwer NV | | | 471,891 | |
| | | | | | | | |
| | | | Total Netherlands | | | 65,045,667 | |
| | | | | | | | |
|
| | New Zealand — 0.4% | |
| | 15,616 | | | a2 Milk Co., Ltd. (The)* | | | 195,029 | |
| | 23,296 | | | Auckland International Airport Ltd. | | | 103,698 | |
| | 11,954 | | | Fisher & Paykel Healthcare Corp., Ltd. | | | 296,353 | |
| | 17,295 | | | Mercury NZ Ltd. | | | 60,336 | |
| | 27,194 | | | Meridian Energy Ltd. | | | 93,036 | |
| | 8,488 | | | Ryman Healthcare Ltd. | | | 76,746 | |
| | 38,983 | | | Spark New Zealand Ltd. | | | 126,801 | |
| | 59,727 | | | Xero Ltd.* | | | 4,410,251 | |
| | | | | | | | |
| | | | Total New Zealand | | | 5,362,250 | |
| | | | | | | | |
|
| | Norway — 0.7% | |
| | 5,047 | | | Adevinta ASA* | | | 94,170 | |
| | 141,069 | | | DNB ASA | | | 2,257,346 | |
| | 35,406 | | | Entra ASA(d) | | | 483,820 | |
| | 180,680 | | | Equinor ASA | | | 2,924,564 | |
| | 3,986 | | | Gjensidige Forsikring ASA | | | 84,839 | |
| | 9,327 | | | Mowi ASA | | | 182,082 | |
| | 610,555 | | | Norsk Hydro ASA | | | 1,944,801 | |
| | 15,938 | | | Orkla ASA | | | 162,177 | |
| | 1,911 | | | Schibsted ASA, Class B Shares | | | 75,701 | |
| | 60,650 | | | Sparebanken Vest | | | 450,969 | |
| | 15,305 | | | Telenor ASA | | | 248,800 | |
| | 3,757 | | | Yara International ASA | | | 157,285 | |
| | | | | | | | |
| | | | Total Norway | | | 9,066,554 | |
| | | | | | | | |
|
| | Portugal — 0.0% | |
| | 54,315 | | | EDP — Energias de Portugal SA | | | 275,134 | |
| | 10,637 | | | Galp Energia SGPS SA | | | 113,826 | |
See Notes to Financial Statements.
125
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | Portugal — 0.0% — (continued) | |
| | 5,342 | | | Jeronimo Martins SGPS SA | | $ | 87,662 | |
| | | | | | | | |
| | | | Total Portugal | | | 476,622 | |
| | | | | | | | |
|
| | Russia — 0.2% | |
| | 252,762 | | | Gazprom PJSC, ADR | | | 1,219,393 | |
| | 6,645 | | | LUKOIL PJSC, ADR | | | 446,744 | |
| | 78,426 | | | Sberbank of Russia PJSC, ADR* | | | 956,797 | |
| | | | | | | | |
| | | | Total Russia | | | 2,622,934 | |
| | | | | | | | |
|
| | Singapore — 0.5% | |
| | 61,676 | | | Ascendas Real Estate Investment Trust, REIT | | | 149,880 | |
| | 59,019 | | | CapitaLand Commercial Trust, REIT | | | 72,528 | |
| | 51,500 | | | CapitaLand Ltd. | | | 104,331 | |
| | 50,600 | | | CapitaLand Mall Trust, REIT | | | 72,548 | |
| | 9,400 | | | City Developments Ltd. | | | 55,362 | |
| | 37,800 | | | DBS Group Holdings Ltd. | | | 578,707 | |
| | 861,400 | | | Frasers Logistics & Industrial Trust, REIT | | | 844,784 | |
| | 128,300 | | | Genting Singapore Ltd. | | | 65,925 | |
| | 2,100 | | | Jardine Cycle & Carriage Ltd. | | | 29,146 | |
| | 30,900 | | | Keppel Corp., Ltd. | | | 103,885 | |
| | 48,500 | | | Mapletree Commercial Trust, REIT | | | 68,127 | |
| | 57,300 | | | Mapletree Logistics Trust, REIT | | | 86,932 | |
| | 232,600 | | | Oversea-Chinese Banking Corp., Ltd. | | | 1,479,833 | |
| | 243,000 | | | Riverstone Holdings Ltd. | | | 718,185 | |
| | 28,650 | | | Singapore Airlines Ltd. | | | 76,507 | |
| | 17,600 | | | Singapore Exchange Ltd. | | | 111,019 | |
| | 33,100 | | | Singapore Technologies Engineering Ltd. | | | 82,453 | |
| | 173,300 | | | Singapore Telecommunications Ltd. | | | 292,021 | |
| | 48,500 | | | Suntec Real Estate Investment Trust, REIT | | | 49,625 | |
| | 24,803 | | | United Overseas Bank Ltd. | | | 356,010 | |
| | 9,271 | | | UOL Group Ltd. | | | 44,709 | |
| | 5,800 | | | Venture Corp., Ltd. | | | 84,263 | |
| | 40,800 | | | Wilmar International Ltd. | | | 130,210 | |
| | | | | | | | |
| | | | Total Singapore | | | 5,656,990 | |
| | | | | | | | |
|
| | South Africa — 0.2% | |
| | 114,564 | | | Gold Fields Ltd., ADR | | | 1,492,769 | |
| | 60,848 | | | Impala Platinum Holdings Ltd. | | | 559,273 | |
| | 151,668 | | | MTN Group Ltd. | | | 545,764 | |
| | | | | | | | |
| | | | Total South Africa | | | 2,597,806 | |
| | | | | | | | |
|
| | South Korea — 2.0% | |
| | 7,295 | | | Coway Co., Ltd. | | | 490,321 | |
| | 10,700 | | | Douzone Bizon Co., Ltd. | | | 906,365 | |
| | 22,514 | | | Echo Marketing Inc. | | | 556,243 | |
| | 3,054 | | | GS Home Shopping Inc. | | | 299,989 | |
| | 37,920 | | | Hankook Tire & Technology Co., Ltd. | | | 937,339 | |
| | 13,180 | | | Hite Jinro Co., Ltd. | | | 408,367 | |
| | 62,519 | | | KB Financial Group Inc. | | | 1,936,103 | |
| | 185,548 | | | KT Corp., ADR | | | 1,825,792 | |
| | 7,909 | | | Maeil Dairies Co., Ltd. | | | 452,666 | |
| | 25,666 | | | Neowiz* | | | 662,300 | |
| | 66,433 | | | Partron Co., Ltd. | | | 567,289 | |
| | 172,092 | | | Samsung Electronics Co., Ltd. | | | 7,826,985 | |
| | 39,854 | | | Samsung Engineering Co., Ltd.* | | | 377,217 | |
| | 4,770 | | | Samsung SDI Co., Ltd. | | | 1,813,086 | |
| | 13,180 | | | Seegene Inc. | | | 2,923,462 | |
See Notes to Financial Statements.
126
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | South Korea — 2.0% — (continued) | |
| | 17,668 | | | SFA Engineering Corp. | | $ | 491,091 | |
| | 63,357 | | | Shinhan Financial Group Co., Ltd. | | | 1,577,907 | |
| | 6,800 | | | Soulbrain Co., Ltd.* | | | 1,241,408 | |
| | | | | | | | |
| | | | Total South Korea | | | 25,293,930 | |
| | | | | | | | |
|
| | Spain — 2.5% | |
| | 5,760 | | | ACS Actividades de Construccion y Servicios SA | | | 141,302 | |
| | 16,389 | | | Aena SME SA(d) | | | 2,449,702 | |
| | 87,658 | | | Amadeus IT Group SA(d) | | | 4,947,981 | |
| | 38,255 | | | Applus Services SA* | | | 314,956 | |
| | 1,634,425 | | | Banco Bilbao Vizcaya Argentaria SA | | | 4,830,885 | |
| | 349,864 | | | Banco Santander SA | | | 785,897 | |
| | 117,238 | | | Bankinter SA | | | 634,932 | |
| | 2,026,988 | | | CaixaBank SA | | | 4,493,602 | |
| | 6,661 | | | Cellnex Telecom SA(d) | | | 426,519 | |
| | 28,950 | | | Cia de Distribucion Integral Logista Holdings SA | | | 513,705 | |
| | 4,798 | | | Enagas SA | | | 117,427 | |
| | 6,687 | | | Endesa SA | | | 185,530 | |
| | 10,504 | | | Ferrovial SA | | | 280,910 | |
| | 71,530 | | | Grifols SA | | | 1,940,006 | |
| | 366,807 | | | Iberdrola SA | | | 4,622,794 | |
| | 70,552 | | | Industria de Diseno Textil SA | | | 1,981,481 | |
| | 24,292 | | | Mapfre SA | | | 46,007 | |
| | 63,832 | | | Merlin Properties Socimi SA, REIT | | | 575,368 | |
| | 6,265 | | | Naturgy Energy Group SA | | | 120,846 | |
| | 3,657 | | | Pharma Mar SA | | | 371,969 | |
| | 872,774 | | | Prosegur Cash SA(d) | | | 723,674 | |
| | 9,186 | | | Red Electrica Corp. SA | | | 175,700 | |
| | 30,550 | | | Repsol SA | | | 241,230 | |
| | 5,015 | | | Siemens Gamesa Renewable Energy SA | | | 134,761 | |
| | 102,479 | | | Telefonica SA | | | 405,500 | |
| | 6,283 | | | Viscofan SA | | | 465,072 | |
| | | | | | | | |
| | | | Total Spain | | | 31,927,756 | |
| | | | | | | | |
|
| | Sweden — 2.6% | |
| | 6,676 | | | Alfa Laval AB | | | 163,040 | |
| | 79,379 | | | Assa Abloy AB, Class B Shares | | | 1,836,591 | |
| | 108,000 | | | Atlas Copco AB, Class A Shares | | | 4,989,684 | |
| | 8,281 | | | Atlas Copco AB, Class B Shares | | | 332,272 | |
| | 5,804 | | | Boliden AB | | | 173,328 | |
| | 61,853 | | | Dometic Group AB(d) | | | 760,242 | |
| | 4,612 | | | Electrolux AB, Series B | | | 100,051 | |
| | 171,888 | | | Epiroc AB, Class A Shares | | | 2,561,359 | |
| | 7,444 | | | Epiroc AB, Class B Shares | | | 107,127 | |
| | 5,134 | | | EQT AB | | | 94,601 | |
| | 12,769 | | | Essity AB, Class B Shares | | | 439,554 | |
| | 24,734 | | | Evolution Gaming Group AB(d) | | | 1,853,346 | |
| | 36,904 | | | Getinge AB, Class B Shares | | | 819,926 | |
| | 17,048 | | | Hennes & Mauritz AB, Class B Shares | | | 272,225 | |
| | 6,065 | | | Hexagon AB, Class B Shares | | | 439,757 | |
| | 8,868 | | | Husqvarna AB, Class B Shares | | | 96,300 | |
| | 2,167 | | | ICA Gruppen AB | | | 106,320 | |
| | 3,262 | | | Industrivarden AB, Class C Shares | | | 86,031 | |
| | 3,190 | | | Investment AB Latour, Class B Shares | | | 71,134 | |
| | 9,589 | | | Investor AB, Class B Shares | | | 611,942 | |
| | 5,008 | | | Kinnevik AB, Class B Shares | | | 193,278 | |
See Notes to Financial Statements.
127
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | Sweden — 2.6% — (continued) | |
| | 5,008 | | | Kinnevik AB, Class B Shares* | | $ | 4,024 | |
| | 1,434 | | | L E Lundbergforetagen AB, Class B Shares | | | 65,458 | |
| | 3,909 | | | Lundin Energy AB | | | 95,470 | |
| | 6,720 | | | Nibe Industrier AB, Class B Shares | | | 188,954 | |
| | 14,307 | | | Nordic Entertainment Group AB, Class B Shares | | | 596,584 | |
| | 54,217 | | | Peab AB, Class B Shares | | | 529,990 | |
| | 29,995 | | | Recipharm AB, Class B Shares* | | | 516,797 | |
| | 23,768 | | | Sandvik AB | | | 466,173 | |
| | 6,130 | | | Securitas AB, Class B Shares | | | 87,359 | |
| | 34,264 | | | Skandinaviska Enskilda Banken AB, Class A Shares | | | 339,929 | |
| | 7,101 | | | Skanska AB, Class B Shares | | | 144,803 | |
| | 8,075 | | | SKF AB, Class B Shares | | | 161,046 | |
| | 14,982 | | | Stillfront Group AB* | | | 1,611,852 | |
| | 13,056 | | | Svenska Cellulosa AB SCA, Class B Shares* | | | 168,382 | |
| | 115,690 | | | Svenska Handelsbanken AB, Class A Shares | | | 1,163,144 | |
| | 70,175 | | | Swedbank AB, Class A Shares | | | 1,190,479 | |
| | 61,321 | | | Swedish Match AB | | | 4,653,094 | |
| | 10,597 | | | Tele2 AB, Class B Shares | | | 150,093 | |
| | 61,449 | | | Telefonaktiebolaget LM Ericsson, Class B Shares | | | 714,037 | |
| | 53,174 | | | Telia Co. AB | | | 204,886 | |
| | 141,404 | | | Volvo AB, Class B Shares | | | 2,704,767 | |
| | 62,858 | | | Wihlborgs Fastigheter AB | | | 1,005,555 | |
| | | | | | | | |
| | | | Total Sweden | | | 32,870,984 | |
| | | | | | | | |
|
| | Switzerland — 10.1% | |
| | 267,408 | | | ABB Ltd., Class Registered Shares | | | 6,790,262 | |
| | 68,129 | | | Adecco Group AG, Class Registered Shares | | | 3,559,023 | |
| | 28,167 | | | Alcon Inc.* | | | 1,599,485 | |
| | 943 | | | Baloise Holding AG, Class Registered Shares | | | 146,767 | |
| | 649 | | | Banque Cantonale Vaudoise, Class Registered Shares | | | 69,336 | |
| | 1,056 | | | Barry Callebaut AG, Class Registered Shares | | | 2,335,813 | |
| | 1,587 | | | Bucher Industries AG, Class Registered Shares | | | 593,822 | |
| | 3,669 | | | Cembra Money Bank AG | | | 437,395 | |
| | 208 | | | Chocoladefabriken Lindt & Spruengli AG | | | 1,771,563 | |
| | 2 | | | Chocoladefabriken Lindt & Spruengli AG, Class Registered Shares | | | 176,631 | |
| | 105,479 | | | Cie Financiere Richemont SA, Class Registered Shares | | | 6,984,954 | |
| | 4,226 | | | Clariant AG, Class Registered Shares | | | 87,846 | |
| | 22,844 | | | Coca-Cola HBC AG | | | 608,902 | |
| | 51,122 | | | Credit Suisse Group AG, Class Registered Shares | | | 561,459 | |
| | 174 | | | EMS-Chemie Holding AG, Class Registered Shares(a) | | | 156,909 | |
| | 412 | | | Forbo Holding AG, Class Registered Shares | | | 681,086 | |
| | 6,809 | | | Galenica AG(d) | | | 488,774 | |
| | 780 | | | Geberit AG, Class Registered Shares | | | 449,061 | |
| | 194 | | | Givaudan SA, Class Registered Shares | | | 814,086 | |
| | 210,389 | | | Glencore PLC* | | | 475,798 | |
| | 3,383 | | | Helvetia Holding AG, Class Registered Shares | | | 318,090 | |
| | 50,315 | | | Julius Baer Group Ltd. | | | 2,408,895 | |
| | 1,146 | | | Kuehne + Nagel International AG, Class Registered Shares* | | | 221,852 | |
| | 77,985 | | | LafargeHolcim Ltd., Class Registered Shares* | | | 3,698,104 | |
| | 38,249 | | | Logitech International SA, Class Registered Shares | | | 2,825,145 | |
| | 8,580 | | | Lonza Group AG, Class Registered Shares | | | 5,316,658 | |
| | 120,128 | | | Nestlé SA, Class Registered Shares | | | 14,435,623 | |
| | 176,696 | | | Novartis AG, Class Registered Shares | | | 15,231,876 | |
| | 397 | | | Partners Group Holding AG | | | 402,884 | |
| | 7,350 | | | PSP Swiss Property AG, Class Registered Shares | | | 878,193 | |
| | 57,083 | | | Roche Holding AG | | | 19,950,352 | |
See Notes to Financial Statements.
128
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | Switzerland — 10.1% — (continued) | |
| | 6,034 | | | Schindler Holding AG | | $ | 1,608,963 | |
| | 427 | | | Schindler Holding AG, Class Registered Shares | | | 112,298 | |
| | 128 | | | SGS SA, Class Registered Shares | | | 330,938 | |
| | 20,085 | | | Sika AG, Class Registered Shares | | | 4,810,994 | |
| | 1,169 | | | Sonova Holding AG, Class Registered Shares* | | | 272,861 | |
| | 167,199 | | | STMicroelectronics NV | | | 5,024,862 | |
| | 1,266 | | | Straumann Holding AG, Class Registered Shares | | | 1,244,122 | |
| | 8,817 | | | Sulzer AG, Class Registered Shares | | | 784,264 | |
| | 603 | | | Swatch Group AG (The) | | | 127,592 | |
| | 1,068 | | | Swatch Group AG (The), Class Registered Shares | | | 42,085 | |
| | 3,697 | | | Swiss Life Holding AG, Class Registered Shares | | | 1,494,232 | |
| | 1,612 | | | Swiss Prime Site AG, Class Registered Shares | | | 145,048 | |
| | 6,204 | | | Swiss Re AG | | | 498,301 | |
| | 550 | | | Swisscom AG, Class Registered Shares | | | 304,158 | |
| | 16,116 | | | Temenos AG, Class Registered Shares | | | 2,598,186 | |
| | 362,148 | | | UBS Group AG, Class Registered Shares | | | 4,408,628 | |
| | 13,596 | | | VAT Group AG(d) | | | 2,645,517 | |
| | 966 | | | Vifor Pharma AG | | | 142,552 | |
| | 12,523 | | | Vontobel Holding AG, Class Registered Shares(a) | | | 923,590 | |
| | 16,653 | | | Wizz Air Holdings PLC*(d) | | | 873,092 | |
| | 9,630 | | | Zurich Insurance Group AG | | | 3,563,141 | |
| | | | | | | | |
| | | | Total Switzerland | | | 126,432,068 | |
| | | | | | | | |
|
| | Taiwan — 0.8% | |
| | 3,037,455 | | | Innolux Corp.* | | | 937,713 | |
| | 2,315,031 | | | Shin Kong Financial Holding Co., Ltd. | | | 651,980 | |
| | 587,000 | | | Taiwan Semiconductor Manufacturing Co., Ltd. | | | 8,530,092 | |
| | | | | | | | |
| | | | Total Taiwan | | | 10,119,785 | |
| | | | | | | | |
|
| | Thailand — 0.1% | |
| | 431,234 | | | Kasikornbank PCL, NVDR | | | 1,164,777 | |
| | | | | | | | |
|
| | United Kingdom — 12.7% | |
| | 20,296 | | | 3i Group PLC | | | 254,486 | |
| | 4,051 | | | Admiral Group PLC | | | 142,729 | |
| | 99,043 | | | Anglo American PLC | | | 2,426,284 | |
| | 9,255 | | | Ashtead Group PLC | | | 322,281 | |
| | 7,560 | | | Associated British Foods PLC | | | 208,404 | |
| | 27,626 | | | AstraZeneca PLC | | | 3,078,180 | |
| | 18,689 | | | Atlantica Sustainable Infrastructure PLC | | | 561,231 | |
| | 109,025 | | | Auto Trader Group PLC(d) | | | 820,803 | |
| | 1,319 | | | AVEVA Group PLC | | | 89,428 | |
| | 840,544 | | | Aviva PLC | | | 3,176,409 | |
| | 173,666 | | | B&M European Value Retail SA | | | 1,105,025 | |
| | 253,031 | | | Babcock International Group PLC | | | 920,349 | |
| | 67,496 | | | BAE Systems PLC | | | 468,811 | |
| | 544,451 | | | Balfour Beatty PLC | | | 1,622,983 | |
| | 3,536,312 | | | Barclays PLC | | | 5,349,430 | |
| | 21,587 | | | Barratt Developments PLC | | | 152,938 | |
| | 2,564 | | | Berkeley Group Holdings PLC | | | 156,179 | |
| | 40,806 | | | Blue Prism Group PLC*(a) | | | 865,122 | |
| | 520,498 | | | boohoo Group PLC* | | | 2,013,012 | |
| | 2,127,208 | | | BP PLC | | | 7,422,435 | |
| | 190,293 | | | British American Tobacco PLC | | | 6,480,498 | |
| | 166,151 | | | British Land Co. PLC (The), REIT | | | 817,752 | |
| | 203,186 | | | Britvic PLC | | | 2,301,885 | |
| | 1,042,435 | | | BT Group PLC | | | 1,458,272 | |
See Notes to Financial Statements.
129
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | United Kingdom — 12.7% — (continued) | |
| | 74,351 | | | Bunzl PLC | | $ | 2,407,194 | |
| | 101,960 | | | Burberry Group PLC | | | 1,981,591 | |
| | 377,614 | | | Cairn Energy PLC* | | | 710,803 | |
| | 1,189,279 | | | Centrica PLC | | | 732,308 | |
| | 21,498 | | | CNH Industrial NV | | | 170,333 | |
| | 33,436 | | | Coca-Cola European Partners PLC | | | 1,376,226 | |
| | 328,456 | | | Compass Group PLC | | | 5,358,771 | |
| | 39,488 | | | Computacenter PLC | | | 1,077,285 | |
| | 13,064 | | | Cranswick PLC | | | 651,381 | |
| | 2,735 | | | Croda International PLC | | | 215,306 | |
| | 118,083 | | | Diageo PLC | | | 3,949,869 | |
| | 29,178 | | | Direct Line Insurance Group PLC | | | 115,782 | |
| | 61,357 | | | Electrocomponents PLC | | | 556,909 | |
| | 12,864 | | | Evraz PLC | | | 55,749 | |
| | 24,174 | | | Ferguson PLC | | | 2,383,524 | |
| | 23,284 | | | Fiat Chrysler Automobiles NV | | | 256,669 | |
| | 43,142 | | | Future PLC | | | 864,006 | |
| | 233,492 | | | G4S PLC | | | 448,205 | |
| | 45,042 | | | Gamesys Group PLC* | | | 698,313 | |
| | 26,329 | | | Gamma Communications PLC | | | 556,086 | |
| | 208,897 | | | GlaxoSmithKline PLC | | | 4,110,758 | |
| | 8,056 | | | Halma PLC | | | 238,853 | |
| | 7,046 | | | Hargreaves Lansdown PLC | | | 152,254 | |
| | 49,394 | | | HomeServe PLC | | | 857,696 | |
| | 427,667 | | | HSBC Holdings PLC | | | 1,885,030 | |
| | 41,542 | | | IG Group Holdings PLC | | | 440,344 | |
| | 49,103 | | | IMI PLC | | | 691,830 | |
| | 19,925 | | | Imperial Brands PLC | | | 335,334 | |
| | 31,875 | | | Informa PLC | | | 177,750 | |
| | 3,670 | | | InterContinental Hotels Group PLC | | | 216,153 | |
| | 27,820 | | | Intermediate Capital Group PLC | | | 508,365 | |
| | 446,038 | | | International Consolidated Airlines Group SA(a) | | | 1,289,670 | |
| | 3,398 | | | Intertek Group PLC | | | 266,904 | |
| | 857,528 | | | J Sainsbury PLC | | | 2,106,900 | |
| | 9,026 | | | JD Sports Fashion PLC | | | 87,571 | |
| | 38,600 | | | Johnson Matthey PLC | | | 1,225,466 | |
| | 711,689 | | | Kingfisher PLC | | | 2,589,050 | |
| | 113,309 | | | Land Securities Group PLC, REIT | | | 875,624 | |
| | 765,124 | | | Legal & General Group PLC | | | 2,247,565 | |
| | 12,924 | | | Linde PLC | | | 3,242,538 | |
| | 1,479,729 | | | Lloyds Banking Group PLC | | | 567,067 | |
| | 24,399 | | | London Stock Exchange Group PLC | | | 2,870,152 | |
| | 270,583 | | | LondonMetric Property PLC, REIT | | | 856,510 | |
| | 53,910 | | | M&G PLC | | | 124,671 | |
| | 449,327 | | | Marks & Spencer Group PLC | | | 667,309 | |
| | 1,296,700 | | | Melrose Industries PLC | | | 1,764,564 | |
| | 113,353 | | | Micro Focus International PLC | | | 456,059 | |
| | 10,304 | | | Mondi PLC | | | 201,236 | |
| | 221,894 | | | National Grid PLC | | | 2,504,204 | |
| | 98,091 | | | Natwest Group PLC | | | 147,907 | |
| | 74,213 | | | Next PLC | | | 5,989,951 | |
| | 158,684 | | | Ocado Group PLC* | | | 5,318,702 | |
| | 149,862 | | | OneSavings Bank PLC | | | 608,997 | |
| | 15,839 | | | Pearson PLC | | | 118,138 | |
| | 6,714 | | | Persimmon PLC | | | 234,956 | |
| | 78,379 | | | Pets at Home Group PLC | | | 308,452 | |
See Notes to Financial Statements.
130
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | United Kingdom — 12.7% — (continued) | |
| | 364,367 | | | Prudential PLC | | $ | 6,020,235 | |
| | 14,943 | | | Reckitt Benckiser Group PLC | | | 1,503,926 | |
| | 90,479 | | | Redrow PLC | | | 555,102 | |
| | 90,534 | | | RELX PLC | | | 2,060,388 | |
| | 39,244 | | | Rentokil Initial PLC | | | 279,609 | |
| | 204,159 | | | Rightmove PLC | | | 1,729,701 | |
| | 7,815 | | | Rio Tinto Ltd. | | | 558,601 | |
| | 23,615 | | | Rio Tinto PLC | | | 1,448,209 | |
| | 1,254,105 | | | Rolls-Royce Holdings PLC* | | | 4,033,373 | |
| | 20,630 | | | RSA Insurance Group PLC | | | 124,964 | |
| | 112,503 | | | Safestore Holdings PLC, REIT | | | 1,177,754 | |
| | 22,654 | | | Sage Group PLC (The) | | | 224,623 | |
| | 2,625 | | | Schroders PLC | | | 101,690 | |
| | 24,370 | | | Segro PLC, REIT | | | 310,390 | |
| | 5,049 | | | Severn Trent PLC | | | 158,003 | |
| | 82,515 | | | Smith & Nephew PLC | | | 1,678,244 | |
| | 8,407 | | | Smiths Group PLC | | | 157,288 | |
| | 1,563 | | | Spirax-Sarco Engineering PLC | | | 214,053 | |
| | 227,404 | | | Spirent Communications PLC | | | 886,108 | |
| | 21,684 | | | SSE PLC | | | 367,169 | |
| | 11,202 | | | St. James’s Place PLC | | | 146,718 | |
| | 420,037 | | | Standard Chartered PLC | | | 2,196,204 | |
| | 49,835 | | | Standard Life Aberdeen PLC | | | 158,015 | |
| | 176,127 | | | Stock Spirits Group PLC | | | 517,804 | |
| | 84,110 | | | Tate & Lyle PLC | | | 770,414 | |
| | 79,091 | | | Taylor Wimpey PLC | | | 129,410 | |
| | 206,184 | | | Tesco PLC | | | 604,693 | |
| | 333,956 | | | Trainline PLC*(d) | | | 1,767,413 | |
| | 23,153 | | | Ultra Electronics Holdings PLC | | | 722,987 | |
| | 30,753 | | | Unilever NV | | | 1,783,714 | |
| | 81,328 | | | Unilever PLC | | | 4,866,677 | |
| | 51,991 | | | UNITE Group PLC (The), REIT | | | 672,403 | |
| | 14,470 | | | United Utilities Group PLC | | | 161,473 | |
| | 1,482,250 | | | Vodafone Group PLC | | | 2,187,087 | |
| | 94,386 | | | WH Smith PLC(d) | | | 1,485,027 | |
| | 57,662 | | | Whitbread PLC | | | 1,955,205 | |
| | 51,017 | | | WM Morrison Supermarkets PLC | | | 131,143 | |
| | 246,507 | | | WPP PLC | | | 2,127,370 | |
| | | | | | | | |
| | | | Total United Kingdom | | | 159,038,953 | |
| | | | | | | | |
|
| | United States — 0.8% | |
| | 872 | | | Booking Holdings Inc.* | | | 1,665,912 | |
| | 12,638 | | | EPAM Systems Inc.* | | | 4,133,890 | |
| | 1 | | | International Flavors & Fragrances Inc. | | | 89 | |
| | 47,692 | | | Ovintiv Inc.(a) | | | 527,676 | |
| | 241,780 | | | Reliance Worldwide Corp., Ltd. | | | 669,693 | |
| | 19,980 | | | ResMed Inc. | | | 3,611,984 | |
| | | | | | | | |
| | | | Total United States | | | 10,609,244 | |
| | | | | | | | |
| | | | TOTAL COMMON STOCKS
(Cost — $1,014,865,272) | | | 1,216,241,426 | |
| | | | | | | | |
|
| | PREFERRED STOCKS — 0.9% | |
|
| | Germany — 0.9% | |
| | 1,135 | | | Bayerische Motoren Werke AG, Class Preferred Shares | | | 63,799 | |
| | 1,266 | | | FUCHS PETROLUB SE, Class Preferred Shares | | | 59,704 | |
| | 3,751 | | | Henkel AG & Co. KGaA, Class Preferred Shares | | | 382,228 | |
See Notes to Financial Statements.
131
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | Germany — 0.9% — (continued) | |
| | 3,249 | | | Porsche Automobil Holding SE, Class Preferred Shares | | $ | 198,852 | |
| | 749 | | | Sartorius AG, Class Preferred Shares | | | 317,209 | |
| | 60,183 | | | Volkswagen AG, Class Preferred Shares | | | 10,023,794 | |
| | | | | | | | |
| | | | Total Germany | | | 11,045,586 | |
| | | | | | | | |
| | | | TOTAL PREFERRED STOCKS
(Cost — $8,006,128) | | | 11,045,586 | |
| | | | | | | | |
|
| | CLOSED END MUTUAL FUND SECURITIES — 0.1% | |
|
| | United States — 0.1% | |
| | 10,751 | | | iShares® Core MSCI EAFE ETF, Common Class Shares | | | 660,434 | |
| | 11,488 | | | Vanguard FTSE Developed Markets ETF, Common Class | | | 481,003 | |
| | | | | | | | |
| | | | Total United States | | | 1,141,437 | |
| | | | | | | | |
| | | | TOTAL CLOSED END MUTUAL FUND SECURITIES
(Cost — $1,006,397) | | | 1,141,437 | |
| | | | | | | | |
|
| | RIGHTS — 0.0% | |
|
| | Australia — 0.0% | |
| | 4,951 | | | Sydney Airport*(b) | | | 4,237 | |
| | 3,901 | | | Tabcorp Holdings Ltd.* | | | 1,065 | |
| | | | | | | | |
| | | | Total Australia | | | 5,302 | |
| | | | | | | | |
| | | | TOTAL RIGHTS
(Cost — $0) | | | 5,302 | |
| | | | | | | | |
| | | | TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS
(Cost — $1,023,877,797) | | | 1,228,433,751 | |
| | | | | | | | |
| | |
Face
Amount† | | | | | | |
|
| | SHORT-TERM INVESTMENTS (e) — 2.2% | |
|
| | MONEY MARKET FUND — 0.4% | |
| $ | 5,375,517 | | | Invesco STIT — Government & Agency Portfolio, 0.028%, Institutional Class(f)
(Cost — $5,375,517) | | | 5,375,517 | |
| | | | | | | | |
|
| | TIME DEPOSITS — 1.8% | |
| | 6,845,296 | | | ANZ National Bank — London, 0.010% due 9/1/20 | | | 6,845,296 | |
| | 122,737 | | | Barclays Bank PLC — London, 0.010% due 9/1/20 | | | 122,737 | |
| | | | BBH — Grand Cayman: | | | | |
| | 8,986 | EUR | | (0.690)% due 9/1/20 | | | 10,724 | |
| | 101,413 | DKK | | (0.650)% due 9/1/20 | | | 16,260 | |
| | 9 | SEK | | (0.250)% due 9/1/20 | | | 1 | |
| | 76,297 | JPY | | (0.230)% due 9/1/20 | | | 720 | |
| | 292,161 | NOK | | (0.150)% due 9/1/20 | | | 33,444 | |
| | 75,243 | AUD | | 0.010% due 9/1/20 | | | 55,507 | |
| | 2,370 | GBP | | 0.010% due 9/1/20 | | | 3,168 | |
| | 77,099 | NZD | | 0.010% due 9/1/20 | | | 51,941 | |
| | 34,729 | SGD | | 0.010% due 9/1/20 | | | 25,525 | |
| | 2,340 | CAD | | 0.030% due 9/1/20 | | | 1,794 | |
| | 100,461 | HKD | | 0.150% due 9/1/20 | | | 12,962 | |
| | 1,105 | ZAR | | 4.500% due 9/1/20 | | | 65 | |
| | | | BNP Paribas — Paris: | | | | |
| | 479,769 | CHF | | (1.430)% due 9/1/20 | | | 530,776 | |
| | 256,918 | EUR | | (0.690)% due 9/1/20 | | | 306,606 | |
| | | | Citibank — London: | | | | |
| | 54,010 | EUR | | (0.690)% due 9/1/20 | | | 64,455 | |
| | 305,863 | GBP | | 0.010% due 9/1/20 | | | 408,862 | |
See Notes to Financial Statements.
132
| | | | | | | | |
| International Equity Fund | |
| | |
Face
Amount† | | | Security | | Value | |
|
| | TIME DEPOSITS — 1.8% — (continued) | |
| $ | 9,534,103 | | | Citibank — New York, 0.010% due 9/1/20 | | $ | 9,534,103 | |
| | 451,578 | HKD | | HSBC Bank — Hong Kong, 0.150% due 9/1/20 | | | 58,267 | |
| | 3,710,626 | | | JPMorgan Chase & Co. — New York, 0.010% due 9/1/20 | | | 3,710,626 | |
| | 240,729 | SEK | | Skandinaviska Enskilda Banken AB — Sweden, (0.250)% due 9/1/20 | | | 27,831 | |
| | | | Sumitomo Mitsui Banking Corp. — Tokyo: | | | | |
| | 19,984,112 | JPY | | (0.230)% due 9/1/20 | | | 188,663 | |
| | 187,494 | | | 0.010% due 9/1/20 | | | 187,494 | |
| | | | | | | | |
| | | | TOTAL TIME DEPOSITS
(Cost — $22,197,827) | | | 22,197,827 | |
| | | | | | | | |
| | | | TOTAL SHORT-TERM INVESTMENTS
(Cost — $27,573,344) | | | 27,573,344 | |
| | | | | | | | |
| | | | TOTAL INVESTMENTS — 100.1%
(Cost — $1,051,451,141) | | | 1,256,007,095 | |
| | | | | | | | |
| | | | Liabilities in Excess of Other Assets — (0.1)% | | | (1,678,546 | ) |
| | | | | | | | |
| | | | TOTAL NET ASSETS — 100.0% | | $ | 1,254,328,549 | |
| | | | | | | | |
| † | 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 is valued in good faith at fair value by or under the direction of the Board of Trustees. |
| (c) | Security trades on the Hong Kong exchange. |
| (d) | 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, 2020, amounts to $42,473,173 and represents 3.4% of net assets. |
| (e) | Inclusive of all short-term holdings, including investments of collateral received from securities lending transactions. Excluding such collateral, the percentage of portfolio holdings would be 1.8%. |
| (f) | Represents investments of collateral received from securities lending transactions. |
At August 31, 2020, 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 | | $ | 1,102,283,868 | | | $ | 302,046,283 | | | $ | (145,024,519 | ) | | $ | 157,021,764 | |
| | |
Abbreviations used in this schedule: |
| ADR | | — American Depositary Receipts |
| CDI | | — Clearing House Electronics System (CHESS) Depositary Interest |
| FDR | | — Fiduciary Depositary Receipt |
| GDR | | — Global Depositary Receipt |
| NVDR | | — Non Voting Depository Receipt |
| PCL | | — Public Company Limited |
| PLC | | — Public Limited Company |
| REIT | | — Real Estate Investment Trust |
See Notes to Financial Statements.
133
| | | | |
| International Equity Fund |
| | | | |
| Summary of Investments by Security Sector^ | | | |
Industrials | | | 16.6 | % |
Financials | | | 14.9 | |
Consumer Discretionary | | | 13.6 | |
Health Care | | | 12.4 | |
Information Technology | | | 12.4 | |
Consumer Staples | | | 7.7 | |
Materials | | | 6.9 | |
Communication Services | | | 5.1 | |
Energy | | | 3.7 | |
Real Estate | | | 2.7 | |
Utilities | | | 2.2 | |
Short-Term Investments | | | 1.8 | |
| | | | |
| | | 100.0 | %+ |
| | | | |
| ^ | As a percentage of total investments. |
| + | Does not reflect investments of collateral received from securities lending transactions. |
At August 31, 2020, 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 | | | 14 | | | | 9/20 | | | $ | 541,099 | | | $ | 545,503 | | | $ | 4,404 | |
FTSE 100 Index September Futures | | | 4 | | | | 9/20 | | | | 328,607 | | | | 318,762 | | | | (9,845 | ) |
SPI 200 Index September Futures | | | 2 | | | | 9/20 | | | | 220,369 | | | | 222,416 | | | | 2,047 | |
TOPIX Index September Futures | | | 3 | | | | 9/20 | | | | 452,349 | | | | 457,682 | | | | 5,333 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | 1,939 | |
| | | | | | | | | | | | | | | | | | | | |
At August 31, 2020, International Equity Fund had deposited cash of $151,155 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.
134
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | COMMON STOCKS — 96.8% | |
|
| | Argentina — 0.3% | |
| | 1,091 | | | Globant SA* | | $ | 193,740 | |
| | 1,255 | | | MercadoLibre Inc.* | | | 1,466,580 | |
| | 1,726 | | | Telecom Argentina SA, ADR | | | 11,668 | |
| | 5,996 | | | YPF SA, ADR* | | | 33,458 | |
| | | | | | | | |
| | | | Total Argentina | | | 1,705,446 | |
| | | | | | | | |
|
| | Brazil — 4.0% | |
| | 137,387 | | | Ambev SA | | | 308,636 | |
| | 11,300 | | | Atacadao SA | | | 40,315 | |
| | 5,989 | | | B2W Cia Digital* | | | 122,508 | |
| | 58,377 | | | B3 SA — Brasil Bolsa Balcao | | | 626,415 | |
| | 40,839 | | | Banco Bradesco SA | | | 141,826 | |
| | 6,360 | | | Banco BTG Pactual SA | | | 93,235 | |
| | 578,709 | | | Banco do Brasil SA | | | 3,448,154 | |
| | 12,695 | | | Banco Santander Brasil SA | | | 65,517 | |
| | 488,415 | | | BB Seguridade Participacoes SA | | | 2,351,294 | |
| | 16,663 | | | BRF SA* | | | 59,571 | |
| | 798,306 | | | CCR SA | | | 1,941,971 | |
| | 7,810 | | | Centrais Eletricas Brasileiras SA | | | 50,611 | |
| | 9,781 | | | Cia de Saneamento Basico do Estado de Sao Paulo | | | 85,231 | |
| | 36,234 | | | Cielo SA | | | 30,153 | |
| | 59,420 | | | Cogna Educacao | | | 61,809 | |
| | 4,986 | | | Compania Brasileira de Distribuicao | | | 57,788 | |
| | 17,041 | | | Compania Siderurgica Nacional SA | | | 47,301 | |
| | 4,551 | | | Cosan SA | | | 69,141 | |
| | 4,500 | | | CPFL Energia SA | | | 23,602 | |
| | 5,411 | | | Energisa SA | | | 42,905 | |
| | 6,028 | | | Engie Brasil Energia SA | | | 46,896 | |
| | 25,170 | | | Equatorial Energia SA | | | 106,565 | |
| | 406,750 | | | Fleury SA | | | 1,937,364 | |
| | 6,472 | | | Hapvida Participacoes e Investimentos SA(a) | | | 76,452 | |
| | 8,769 | | | Hypera SA | | | 50,649 | |
| | 22,752 | | | IRB Brasil Resseguros SA | | | 29,604 | |
| | 8,176 | | | IRB Brasil Resseguros SA*(b) | | | 10,325 | |
| | 32,529 | | | JBS SA | | | 133,210 | |
| | 16,556 | | | Klabin SA | | | 77,648 | |
| | 17,920 | | | Localiza Rent a Car SA | | | 157,724 | |
| | 119,200 | | | Locaweb Servicos de Internet SA, (Restricted, cost — $463,324, acquired 4/17/20)*(a)(c) | | | 1,336,505 | |
| | 22,269 | | | Lojas Renner SA | | | 176,658 | |
| | 21,148 | | | Magazine Luiza SA | | | 359,767 | |
| | 654,300 | | | Movida Participacoes SA | | | 1,945,097 | |
| | 8,820 | | | Multiplan Empreendimentos Imobiliarios SA | | | 33,511 | |
| | 20,821 | | | Natura & Co. Holding SA | | | 187,475 | |
| | 13,695 | | | Notre Dame Intermedica Participacoes SA | | | 185,193 | |
| | 23,151 | | | Petrobras Distribuidora SA | | | 90,159 | |
| | 102,248 | | | Petroleo Brasileiro SA | | | 416,478 | |
| | 2,824 | | | Porto Seguro SA | | | 27,242 | |
| | 5,958 | | | Raia Drogasil SA | | | 117,209 | |
| | 594,538 | | | Rumo SA* | | | 2,452,061 | |
| | 7,063 | | | Sul America SA | | | 55,656 | |
| | 14,730 | | | Suzano SA* | | | 134,943 | |
| | 26,912 | | | TIM Participações SA | | | 70,329 | |
| | 22,998 | | | Ultrapar Participações SA | | | 81,589 | |
| | 105,630 | | | Vale SA | | | 1,150,428 | |
| | 37,547 | | | Vasta Platform Ltd., Class A Shares* | | | 589,863 | |
See Notes to Financial Statements.
135
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | Brazil — 4.0% — (continued) | |
| | 35,150 | | | Via Varejo SA* | | $ | 131,499 | |
| | 24,080 | | | WEG SA | | | 283,966 | |
| | | | | | | | |
| | | | Total Brazil | | | 22,120,048 | |
| | | | | | | | |
|
| | Britain — 0.4% | |
| | 1,060,959 | | | Helios Towers PLC* | | | 2,169,903 | |
| | | | | | | | |
|
| | Chile — 0.2% | |
| | 28,101 | | | Aguas Andinas SA, Class A Shares | | | 8,422 | |
| | 1,424,823 | | | Banco de Chile | | | 119,114 | |
| | 1,605 | | | Banco de Credito e Inversiones SA | | | 50,582 | |
| | 1,935,679 | | | Banco Santander Chile | | | 74,449 | |
| | 42,252 | | | Cencosud SA | | | 62,503 | |
| | 12,906 | | | Cencosud Shopping SA | | | 19,276 | |
| | 2,598 | | | Cia Cervecerias Unidas SA | | | 17,081 | |
| | 252,929 | | | Colbun SA | | | 39,042 | |
| | 4,335 | | | Empresa Nacional de Telecomunicaciones SA | | | 26,244 | |
| | 31,677 | | | Empresas CMPC SA | | | 65,807 | |
| | 12,701 | | | Empresas COPEC SA | | | 93,142 | |
| | 972,556 | | | Enel Americas SA | | | 139,954 | |
| | 891,227 | | | Enel Chile SA | | | 68,556 | |
| | 22,952 | | | SACI Falabella | | | 72,334 | |
| | | | | | | | |
| | | | Total Chile | | | 856,506 | |
| | | | | | | | |
|
| | China — 33.8% | |
| | 9,300 | | | 360 Security Technology Inc., Class A Shares* | | | 25,360 | |
| | 32,500 | | | 3SBio Inc.*(a) | | | 38,150 | |
| | 884 | | | 51job Inc., ADR* | | | 57,937 | |
| | 2,762 | | | 58.com Inc., ADR* | | | 152,904 | |
| | 274,982 | | | AAC Technologies Holdings Inc.(d) | | | 1,732,764 | |
| | 6,200 | | | AECC Aviation Power Co., Ltd., Class A Shares | | | 40,308 | |
| | 42,000 | | | Agile Group Holdings Ltd. | | | 57,782 | |
| | 153,400 | | | Agricultural Bank of China Ltd., Class A Shares | | | 71,844 | |
| | 799,000 | | | Agricultural Bank of China Ltd., Class H Shares(e) | | | 266,318 | |
| | 7,073 | | | Aier Eye Hospital Group Co., Ltd., Class A Shares | | | 53,684 | |
| | 68,000 | | | Air China Ltd., Class H Shares(e) | | | 46,701 | |
| | 6,600 | | | Aisino Corp., Class A Shares | | | 17,319 | |
| | 12,000 | | | AK Medical Holdings Ltd.(a) | | | 30,539 | |
| | 112,526 | | | Alibaba Group Holding Ltd., ADR* | | | 32,298,338 | |
| | 857,250 | | | A-Living Services Co., Ltd., (Restricted, cost — $1,190,999, acquired 5/14/19), Class H Shares(a)(c)(e) | | | 4,411,684 | |
| | 31,400 | | | Aluminum Corp. of China Ltd., Class A Shares* | | | 14,458 | |
| | 120,000 | | | Aluminum Corp. of China Ltd., Class H Shares*(e) | | | 29,188 | |
| | 2,500 | | | Angel Yeast Co., Ltd., Class A Shares* | | | 25,364 | |
| | 9,400 | | | Anhui Conch Cement Co., Ltd., Class A Shares | | | 83,404 | |
| | 495,337 | | | Anhui Conch Cement Co., Ltd., Class H Shares(e) | | | 3,579,017 | |
| | 1,100 | | | Anhui Gujing Distillery Co., Ltd., Class A Shares | | | 41,446 | |
| | 2,600 | | | Anhui Gujing Distillery Co., Ltd., Class B Shares | | | 32,937 | |
| | 30,000 | | | ANTA Sports Products Ltd. | | | 295,297 | |
| | 1,100 | | | Asymchem Laboratories Tianjin Co., Ltd., Class A Shares | | | 43,960 | |
| | 1,812 | | | Autohome Inc., ADR | | | 145,395 | |
| | 10,200 | | | AVIC Aircraft Co., Ltd., Class A Shares | | | 35,976 | |
| | 34,799 | | | Avic Capital Co., Ltd., Class A Shares | | | 25,509 | |
| | 4,000 | | | AVIC Jonhon Optronic Technology Co., Ltd., Class A Shares | | | 28,197 | |
| | 2,600 | | | AVIC Shenyang Aircraft Co., Ltd., Class A Shares | | | 22,411 | |
| | 76,000 | | | AviChina Industry & Technology Co., Ltd., Class H Shares(e) | | | 47,261 | |
| | 50,500 | | | BAIC Motor Corp., Ltd., Class H Shares(a)(e) | | | 24,084 | |
| | 26,103 | | | Baidu Inc., ADR* | | | 3,251,651 | |
See Notes to Financial Statements.
136
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | China — 33.8% — (continued) | |
| | 19,200 | | | Bank of Beijing Co., Ltd., Class A Shares | | $ | 13,641 | |
| | 58,930 | | | Bank of China Ltd., Class A Shares | | | 28,200 | |
| | 2,230,000 | | | Bank of China Ltd., Class H Shares(e) | | | 727,217 | |
| | 39,800 | | | Bank of Communications Co., Ltd., Class A Shares | | | 27,469 | |
| | 298,000 | | | Bank of Communications Co., Ltd., Class H Shares(e) | | | 155,359 | |
| | 17,200 | | | Bank of Hangzhou Co., Ltd., Class A Shares | | | 32,484 | |
| | 15,300 | | | Bank of Jiangsu Co., Ltd., Class A Shares | | | 14,325 | |
| | 16,600 | | | Bank of Nanjing Co., Ltd., Class A Shares | | | 20,799 | |
| | 10,900 | | | Bank of Ningbo Co., Ltd., Class A Shares | | | 56,417 | |
| | 29,640 | | | Bank of Shanghai Co., Ltd., Class A Shares | | | 36,398 | |
| | 30,184 | | | Baoshan Iron & Steel Co., Ltd., Class A Shares | | | 21,730 | |
| | 15,227 | | | Baozun Inc., ADR*(d) | | | 631,007 | |
| | 7,930 | | | BeiGene Ltd., ADR* | | | 1,915,650 | |
| | 54,000 | | | Beijing Capital International Airport Co., Ltd., Class H Shares(e) | | | 38,081 | |
| | 5,100 | | | Beijing New Building Materials PLC, Class A Shares* | | | 24,420 | |
| | 4,900 | | | Beijing Oriental Yuhong Waterproof Technology Co., Ltd., Class A Shares | | | 42,680 | |
| | 4,000 | | | Beijing Tiantan Biological Products Corp., Ltd., Class A Shares* | | | 24,717 | |
| | 5,800 | | | Beijing Tongrentang Co., Ltd., Class A Shares | | | 25,125 | |
| | 23,700 | | | Beijing Yanjing Brewery Co., Ltd., Class A Shares | | | 27,642 | |
| | 28,200 | | | Beijing-Shanghai High Speed Railway Co., Ltd., Class A Shares* | | | 25,647 | |
| | 5,637 | | | BEST Inc., ADR* | | | 22,548 | |
| | 1,400 | | | Betta Pharmaceuticals Co., Ltd., Class A Shares* | | | 26,740 | |
| | 1,000 | | | BGI Genomics Co., Ltd., Class A Shares | | | 21,349 | |
| | 2,981 | | | Bilibili Inc., ADR*(d) | | | 140,852 | |
| | 72,500 | | | BOE Technology Group Co., Ltd., Class A Shares | | | 58,017 | |
| | 2,500 | | | BYD Co., Ltd., Class A Shares | | | 30,956 | |
| | 20,000 | | | BYD Co., Ltd., Class H Shares(e) | | | 197,750 | |
| | 17,500 | | | BYD Electronic International Co., Ltd. | | | 73,523 | |
| | 1,800 | | | Cansino Blologics Inc., Class H Shares*(a)(e) | | | 37,925 | |
| | 227,000 | | | CGN Power Co., Ltd., Class H Shares(a)(e) | | | 49,146 | |
| | 800 | | | Changchun High & New Technology Industry Group Inc., Class A Shares | | | 54,586 | |
| | 24,700 | | | Changjiang Securities Co., Ltd., Class A Shares | | | 30,687 | |
| | 300 | | | Chengdu Kanghong Pharmaceutical Group Co., Ltd., Class A Shares | | | 2,114 | |
| | 35,000 | | | China Aoyuan Group Ltd. | | | 40,245 | |
| | 5,300 | | | China Avionics Systems Co., Ltd., Class A Shares | | | 13,778 | |
| | 255,000 | | | China Cinda Asset Management Co., Ltd., Class H Shares(e) | | | 48,605 | |
| | 233,000 | | | China CITIC Bank Corp., Ltd., Class H Shares(e) | | | 97,194 | |
| | 155,000 | | | China Communications Construction Co., Ltd., Class H Shares(e) | | | 86,588 | |
| | 82,000 | | | China Communications Services Corp., Ltd., Class H Shares(e) | | | 53,536 | |
| | 492,000 | | | China Conch Venture Holdings Ltd. | | | 2,127,738 | |
| | 21,100 | | | China Construction Bank Corp., Class A Shares | | | 19,086 | |
| | 11,426,224 | | | China Construction Bank Corp., Class H Shares(e) | | | 8,048,059 | |
| | 16,000 | | | China East Education Holdings Ltd.(a) | | | 35,194 | |
| | 27,298 | | | China Eastern Airlines Corp., Ltd., Class A Shares | | | 20,089 | |
| | 40,000 | | | China Eastern Airlines Corp., Ltd., Class H Shares(e) | | | 16,370 | |
| | 30,812 | | | China Everbright Bank Co., Ltd., Class A Shares | | | 17,271 | |
| | 148,000 | | | China Everbright Bank Co., Ltd., Class H Shares(e) | | | 52,947 | |
| | 58,000 | | | China Evergrande Group | | | 134,936 | |
| | 27,000 | | | China Feihe Ltd.(a) | | | 54,544 | |
| | 4,901 | | | China Fortune Land Development Co., Ltd., Class A Shares | | | 12,008 | |
| | 90,500 | | | China Galaxy Securities Co., Ltd., Class H Shares(e) | | | 54,031 | |
| | 1,500 | | | China Greatwall Technology Group Co., Ltd., Class A Shares | | | 3,872 | |
| | 45,500 | | | China Hongqiao Group Ltd. | | | 29,286 | |
| | 286,000 | | | China Huarong Asset Management Co., Ltd., Class H Shares(a)(e) | | | 32,739 | |
| | 102,000 | | | China Huishan Dairy Holdings Co., Ltd.*(b)(f) | | | — | |
| | 34,000 | | | China International Capital Corp., Ltd., Class H Shares*(a)(e) | | | 80,482 | |
See Notes to Financial Statements.
137
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | China — 33.8% — (continued) | |
| | 17,300 | | | China Jushi Co., Ltd., Class A Shares | | $ | 37,347 | |
| | 32,000 | | | China Lesso Group Holdings Ltd. | | | 59,543 | |
| | 4,800 | | | China Life Insurance Co., Ltd., Class A Shares | | | 30,602 | |
| | 211,000 | | | China Life Insurance Co., Ltd., Class H Shares(e) | | | 507,576 | |
| | 8,600 | | | China Literature Ltd.*(a) | | | 52,980 | |
| | 98,000 | | | China Longyuan Power Group Corp., Ltd., Class H Shares(e) | | | 61,482 | |
| | 41,000 | | | China Medical System Holdings Ltd. | | | 46,173 | |
| | 33,900 | | | China Merchants Bank Co., Ltd., Class A Shares | | | 186,185 | |
| | 747,391 | | | China Merchants Bank Co., Ltd., Class H Shares(e) | | | 3,553,566 | |
| | 20,400 | | | China Merchants Energy Shipping Co., Ltd., Class A Shares | | | 19,201 | |
| | 9,230 | | | China Merchants Securities Co., Ltd., Class A Shares* | | | 29,033 | |
| | 14,820 | | | China Merchants Shekou Industrial Zone Holdings Co., Ltd., Class A Shares | | | 36,077 | |
| | 55,920 | | | China Minsheng Banking Corp., Ltd., Class A Shares | | | 45,267 | |
| | 180,200 | | | China Minsheng Banking Corp., Ltd., Class H Shares(e) | | | 109,549 | |
| | 26,600 | | | China Molybdenum Co., Ltd., Class A Shares | | | 16,577 | |
| | 108,000 | | | China Molybdenum Co., Ltd., Class H Shares(e) | | | 43,699 | |
| | 114,000 | | | China National Building Material Co., Ltd., Class H Shares(e) | | | 159,373 | |
| | 18,900 | | | China National Nuclear Power Co., Ltd., Class A Shares | | | 12,843 | |
| | 600 | | | China National Software & Service Co., Ltd., Class A Shares | | | 8,636 | |
| | 30,000 | | | China Oilfield Services Ltd., Class H Shares(e) | | | 23,431 | |
| | 10,500 | | | China Pacific Insurance Group Co., Ltd., Class A Shares | | | 47,093 | |
| | 74,200 | | | China Pacific Insurance Group Co., Ltd., Class H Shares(e) | | | 204,360 | |
| | 38,900 | | | China Petroleum & Chemical Corp., Class A Shares | | | 22,861 | |
| | 666,000 | | | China Petroleum & Chemical Corp., Class H Shares(e) | | | 306,085 | |
| | 21,599 | | | China Railway Construction Corp., Ltd., Class A Shares | | | 28,102 | |
| | 60,500 | | | China Railway Construction Corp., Ltd., Class H Shares(e) | | | 46,213 | |
| | 27,800 | | | China Railway Group Ltd., Class A Shares | | | 22,698 | |
| | 118,000 | | | China Railway Group Ltd., Class H Shares(e) | | | 60,491 | |
| | 26,000 | | | China Railway Signal & Communication Corp., Ltd., Class H Shares(a)(e) | | | 10,531 | |
| | 193,000 | | | China Reinsurance Group Corp., Class H Shares(e) | | | 20,537 | |
| | 63,500 | | | China Resources Pharmaceutical Group Ltd.(a) | | | 35,867 | |
| | 6,299 | | | China Shenhua Energy Co., Ltd., Class A Shares | | | 14,839 | |
| | 1,297,500 | | | China Shenhua Energy Co., Ltd., Class H Shares(e) | | | 2,153,394 | |
| | 21,800 | | | China Shipbuilding Industry Co., Ltd., Class A Shares* | | | 15,416 | |
| | 9,100 | | | China South Publishing & Media Group Co., Ltd., Class A Shares | | | 14,863 | |
| | 20,400 | | | China Southern Airlines Co., Ltd., Class A Shares* | | | 17,426 | |
| | 44,000 | | | China Southern Airlines Co., Ltd., Class H Shares*(e) | | | 23,131 | |
| | 1,100 | | | China Spacesat Co., Ltd., Class A Shares | | | 6,328 | |
| | 91,240 | | | China State Construction Engineering Corp., Ltd., Class A Shares | | | 68,316 | |
| | 350,000 | | | China Telecom Corp., Ltd., Class H Shares(e) | | | 114,617 | |
| | 3,435 | | | China Tourism Group Duty Free Corp., Ltd., Class A Shares | | | 104,123 | |
| | 1,318,000 | | | China Tower Corp., Ltd., Class H Shares(a)(e) | | | 251,224 | |
| | 45,400 | | | China United Network Communications Ltd., Class A Shares | | | 34,376 | |
| | 15,600 | | | China Vanke Co., Ltd., Class A Shares | | | 61,983 | |
| | 509,300 | | | China Vanke Co., Ltd., Class H Shares(e) | | | 1,576,726 | |
| | 39,200 | | | China Yangtze Power Co., Ltd., Class A Shares | | | 110,289 | |
| | 34,000 | | | China Yuhua Education Corp., Ltd.(a) | | | 32,532 | |
| | 8,800 | | | Chinese Universe Publishing & Media Group Co., Ltd., Class A Shares | | | 16,946 | |
| | 4,100 | | | Chongqing Changan Automobile Co., Ltd., Class A Shares* | | | 7,002 | |
| | 24,000 | | | Chongqing Rural Commercial Bank Co., Ltd., Class H Shares(e) | | | 9,772 | |
| | 2,700 | | | Chongqing Zhifei Biological Products Co., Ltd., Class A Shares | | | 53,164 | |
| | 84,000 | | | CIFI Holdings Group Co., Ltd. | | | 71,301 | |
| | 15,100 | | | CITIC Securities Co., Ltd., Class A Shares | | | 69,916 | |
| | 61,000 | | | CITIC Securities Co., Ltd., Class H Shares(e) | | | 145,808 | |
| | 2,503,821 | | | CNOOC Ltd. | | | 2,826,790 | |
| | 3,900 | | | Contemporary Amperex Technology Co., Ltd., Class A Shares | | | 116,977 | |
See Notes to Financial Statements.
138
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | China — 33.8% — (continued) | |
| | 36,000 | | | COSCO SHIPPING Energy Transportation Co., Ltd., Class H Shares(e) | | $ | 16,513 | |
| | 69,000 | | | COSCO SHIPPING Holdings Co., Ltd., Class H Shares*(e) | | | 34,570 | |
| | 207,000 | | | Country Garden Holdings Co., Ltd. | | | 254,318 | |
| | 39,000 | | | Country Garden Services Holdings Co., Ltd. | | | 271,316 | |
| | 39,299 | | | CRRC Corp., Ltd., Class A Shares | | | 33,582 | |
| | 4,949,000 | | | CRRC Corp., Ltd., Class H Shares(e) | | | 2,219,970 | |
| | 6,900 | | | CSC Financial Co., Ltd., Class A Shares | | | 52,557 | |
| | 163,200 | | | CSPC Pharmaceutical Group Ltd. | | | 361,531 | |
| | 59,000 | | | Dali Foods Group Co., Ltd.(a) | | | 36,089 | |
| | 34,999 | | | Daqin Railway Co., Ltd., Class A Shares | | | 33,797 | |
| | 2,540 | | | Dawning Information Industry Co., Ltd., Class A Shares | | | 16,733 | |
| | 800 | | | DHC Software Co., Ltd., Class A Shares | | | 1,362 | |
| | 86,000 | | | Dongfeng Motor Group Co., Ltd., Class H Shares(e) | | | 59,228 | |
| | 16,260 | | | East Money Information Co., Ltd., Class A Shares | | | 61,968 | |
| | 120,500 | | | ENN Energy Holdings Ltd. | | | 1,331,261 | |
| | 4,181 | | | Eve Energy Co., Ltd., Class A Shares | | | 29,841 | |
| | 7,300 | | | Everbright Securities Co., Ltd., Class A Shares | | | 23,357 | |
| | 20,400 | | | Financial Street Holdings Co., Ltd., Class A Shares | | | 20,362 | |
| | 38,200 | | | Focus Media Information Technology Co., Ltd., Class A Shares | | | 41,962 | |
| | 5,400 | | | Foshan Haitian Flavouring & Food Co., Ltd., Class A Shares | | | 144,294 | |
| | 71,500 | | | Fosun International Ltd. | | | 79,211 | |
| | 16,400 | | | Founder Securities Co., Ltd., Class A Shares* | | | 20,944 | |
| | 15,000 | | | Foxconn Industrial Internet Co., Ltd., Class A Shares | | | 32,256 | |
| | 2,313,300 | | | Fu Shou Yuan International Group Ltd. | | | 2,384,599 | |
| | 16,400 | | | Fuyao Glass Industry Group Co., Ltd., Class H Shares(a)(e) | | | 52,698 | |
| | 3,000 | | | Ganfeng Lithium Co., Ltd., Class A Shares | | | 22,045 | |
| | 44,300 | | | GD Power Development Co., Ltd., Class A Shares | | | 13,245 | |
| | 50,785 | | | GDS Holdings Ltd., ADR*(d) | | | 4,110,538 | |
| | 9,300 | | | Gemdale Corp., Class A Shares | | | 19,416 | |
| | 26,000 | | | Genscript Biotech Corp.* | | | 50,063 | |
| | 8,200 | | | GF Securities Co., Ltd., Class A Shares | | | 19,315 | |
| | 48,800 | | | GF Securities Co., Ltd., Class H Shares(e) | | | 57,233 | |
| | 8,700 | | | Giant Network Group Co., Ltd., Class A Shares | | | 26,239 | |
| | 660 | | | Gigadevice Semiconductor Beijing Inc., Class A Shares | | | 19,183 | |
| | 2,100 | | | Glodon Co., Ltd., Class A Shares | | | 21,327 | |
| | 8,100 | | | GoerTek Inc., Class A Shares | | | 48,531 | |
| | 313,000 | | | GOME Retail Holdings Ltd.*(d) | | | 44,759 | |
| | 2,000 | | | Gotion High-tech Co., Ltd., Class A Shares* | | | 7,379 | |
| | 22,300 | | | Grandjoy Holdings Group Co., Ltd., Class A Shares | | | 17,790 | |
| | 93,000 | | | Great Wall Motor Co., Ltd., Class H Shares(e) | | | 100,633 | |
| | 5,499 | | | Gree Electric Appliances Inc. of Zhuhai, Class A Shares | | | 43,647 | |
| | 21,900 | | | Greenland Holdings Corp., Ltd., Class A Shares | | | 24,397 | |
| | 32,000 | | | Greentown Service Group Co., Ltd. | | | 42,864 | |
| | 1,752 | | | GSX Techedu Inc. ADR, ADR*(d) | | | 149,621 | |
| | 4,700 | | | Guangdong Haid Group Co., Ltd., Class A Shares | | | 48,491 | |
| | 30,000 | | | Guanghui Energy Co., Ltd., Class A Shares* | | | 12,725 | |
| | 66,000 | | | Guangzhou Automobile Group Co., Ltd., Class H Shares(e) | | | 56,472 | |
| | 2,600 | | | Guangzhou Baiyunshan Pharmaceutical Holdings Co., Ltd., Class A Shares | | | 12,338 | |
| | 7,900 | | | Guangzhou Haige Communications Group Inc. Co., Class A Shares | | | 15,233 | |
| | 38,000 | | | Guangzhou R&F Properties Co., Ltd., Class H Shares(e) | | | 48,201 | |
| | 2,200 | | | Guangzhou Shiyuan Electronic Technology Co., Ltd., Class A Shares | | | 32,097 | |
| | 9,400 | | | Guosen Securities Co., Ltd., Class A Shares | | | 19,182 | |
| | 16,600 | | | Guotai Junan Securities Co., Ltd., Class A Shares | | | 46,746 | |
| | 12,800 | | | Guotai Junan Securities Co., Ltd., Class H Shares(a)(e) | | | 19,789 | |
| | 19,000 | | | Guoyuan Securities Co., Ltd., Class A Shares | | | 30,467 | |
| | 24,000 | | | Haidilao International Holding Ltd.(a) | | | 154,405 | |
See Notes to Financial Statements.
139
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | China — 33.8% — (continued) | |
| | 7,300 | | | Haier Smart Home Co., Ltd., Class A Shares | | $ | 23,721 | |
| | 16,000 | | | Haitian International Holdings Ltd. | | | 38,705 | |
| | 9,300 | | | Haitong Securities Co., Ltd., Class A Shares* | | | 20,551 | |
| | 84,800 | | | Haitong Securities Co., Ltd., Class H Shares*(e) | | | 76,712 | |
| | 18,200 | | | Hangzhou Hikvision Digital Technology Co., Ltd., Class A Shares | | | 99,235 | |
| | 1,900 | | | Hangzhou Tigermed Consulting Co., Ltd., Class A Shares | | | 31,022 | |
| | 34,000 | | | Hansoh Pharmaceutical Group Co., Ltd.*(a) | | | 160,664 | |
| | 4,000 | | | Hefei Meiya Optoelectronic Technology Inc., Class A Shares | | | 34,014 | |
| | 5,300 | | | Henan Shuanghui Investment & Development Co., Ltd., Class A Shares | | | 49,080 | |
| | 302,000 | | | Hengan International Group Co., Ltd. | | | 2,371,959 | |
| | 10,778 | | | Hengli Petrochemical Co., Ltd., Class A Shares | | | 32,921 | |
| | 10,600 | | | Hengtong Optic-electric Co., Ltd., Class A Shares | | | 25,266 | |
| | 2,990 | | | Hengyi Petrochemical Co., Ltd., Class A Shares | | | 5,424 | |
| | 43,300 | | | Hesteel Co., Ltd., Class A Shares* | | | 14,013 | |
| | 1,299 | | | Hithink RoyalFlush Information Network Co., Ltd., Class A Shares | | | 31,771 | |
| | 14,000 | | | Hua Hong Semiconductor Ltd.*(a)(d) | | | 50,293 | |
| | 38,500 | | | Huadian Power International Corp., Ltd., Class A Shares | | | 22,525 | |
| | 2,260 | | | Hualan Biological Engineering Inc., Class A Shares | | | 18,971 | |
| | 128,000 | | | Huaneng Power International Inc., Class H Shares(e) | | | 53,447 | |
| | 7,200 | | | Huatai Securities Co., Ltd., Class A Shares | | | 22,434 | |
| | 47,800 | | | Huatai Securities Co., Ltd., Class H Shares(a)(e) | | | 83,669 | |
| | 35,600 | | | Huaxia Bank Co., Ltd., Class A Shares | | | 33,393 | |
| | 1,600 | | | Huaxin Cement Co., Ltd., Class A Shares | | | 6,517 | |
| | 5,800 | | | Huayu Automotive Systems Co., Ltd., Class A Shares | | | 21,022 | |
| | 4,118 | | | Huazhu Group Ltd., ADR(d) | | | 184,198 | |
| | 7,200 | | | Hubei Energy Group Co., Ltd., Class A Shares | | | 4,097 | |
| | 2,080 | | | Hundsun Technologies Inc., Class A Shares | | | 33,792 | |
| | 96,806 | | | HUYA Inc., ADR*(d) | | | 2,780,268 | |
| | 3,900 | | | Iflytek Co., Ltd., Class A Shares | | | 21,429 | |
| | 82,200 | | | Industrial & Commercial Bank of China Ltd., Class A Shares | | | 59,473 | |
| | 1,728,000 | | | Industrial & Commercial Bank of China Ltd., Class H Shares(e) | | | 964,892 | |
| | 38,000 | | | Industrial Bank Co., Ltd., Class A Shares | | | 89,527 | |
| | 24,900 | | | Industrial Securities Co., Ltd., Class A Shares | | | 29,778 | |
| | 98,200 | | | Inner Mongolia BaoTou Steel Union Co., Ltd., Class A Shares* | | | 16,618 | |
| | 16,300 | | | Inner Mongolia Junzheng Energy & Chemical Industry Group Co., Ltd., Class A Shares | | | 22,207 | |
| | 8,700 | | | Inner Mongolia Yili Industrial Group Co., Ltd., Class A Shares | | | 53,144 | |
| | 42,100 | | | Inner Mongolia Yitai Coal Co., Ltd., Class B Shares | | | 29,445 | |
| | 28,500 | | | Innovent Biologics Inc.*(a) | | | 189,328 | |
| | 3,700 | | | Inspur Electronic Information Industry Co., Ltd., Class A Shares | | | 19,445 | |
| | 6,686 | | | iQIYI Inc., ADR* | | | 144,752 | |
| | 1,500 | | | Jafron Biomedical Co., Ltd., Class A Shares | | | 16,666 | |
| | 24,271 | | | JD.com Inc., ADR* | | | 1,908,671 | |
| | 24,000 | | | Jiangsu Expressway Co., Ltd., Class H Shares(e) | | | 24,007 | |
| | 3,848 | | | Jiangsu Hengli Hydraulic Co., Ltd., Class A Shares | | | 36,740 | |
| | 9,768 | | | Jiangsu Hengrui Medicine Co., Ltd., Class A Shares | | | 135,035 | |
| | 3,800 | | | Jiangsu King’S Luck Brewery Jsc Ltd., Class A Shares* | | | 30,221 | |
| | 2,500 | | | Jiangsu Yanghe Brewery Joint-Stock Co., Ltd., Class A Shares | | | 51,439 | |
| | 6,200 | | | Jiangsu Zhongtian Technology Co., Ltd., Class A Shares | | | 10,209 | |
| | 11,800 | | | Jiangxi Copper Co., Ltd., Class A Shares | | | 26,837 | |
| | 34,000 | | | Jiangxi Copper Co., Ltd., Class H Shares(e) | | | 39,957 | |
| | 7,800 | | | Jiangxi Zhengbang Technology Co., Ltd., Class A Shares | | | 28,284 | |
| | 10,000 | | | Jilin Aodong Pharmaceutical Group Co., Ltd., Class A Shares | | | 25,353 | |
| | 7,400 | | | Jinke Properties Group Co., Ltd., Class A Shares | | | 11,031 | |
| | 560,000 | | | Jinxin Fertility Group Ltd., (Restricted, cost — $684,458, acquired 4/1/20)(a)(c)(d) | | | 787,378 | |
| | 6,800 | | | Joincare Pharmaceutical Group Industry Co., Ltd., Class A Shares | | | 19,293 | |
| | 7,800 | | | Jointown Pharmaceutical Group Co., Ltd., Class A Shares* | | | 20,168 | |
See Notes to Financial Statements.
140
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | China — 33.8% — (continued) | |
| | 2,200 | | | Jonjee Hi-Tech Industrial And Commercial Holding Co., Ltd., Class A Shares* | | $ | 26,206 | |
| | 1,593 | | | JOYY Inc., ADR* | | | 136,106 | |
| | 52,000 | | | Kaisa Group Holdings Ltd. | | | 26,051 | |
| | 2,398 | | | KE Holdings Inc., ADR* | | | 122,993 | |
| | 65,000 | | | Kingdee International Software Group Co., Ltd.*(d) | | | 165,861 | |
| | 22,000 | | | Kingsoft Corp., Ltd. | | | 117,557 | |
| | 7,000 | | | Koolearn Technology Holding Ltd.*(a)(d) | | | 33,435 | |
| | 2,188 | | | Kweichow Moutai Co., Ltd., Class A Shares | | | 569,670 | |
| | 39,000 | | | KWG Group Holdings Ltd.* | | | 73,974 | |
| | 8,500 | | | Legend Holdings Corp., Class H Shares(a)(e) | | | 12,500 | |
| | 204,000 | | | Lenovo Group Ltd. | | | 135,963 | |
| | 8,200 | | | Lens Technology Co., Ltd., Class A Shares | | | 41,297 | |
| | 4,500 | | | Lepu Medical Technology Beijing Co., Ltd., Class A Shares | | | 25,444 | |
| | 59,500 | | | Li Ning Co., Ltd. | | | 250,473 | |
| | 14,500 | | | Lingyi iTech Guangdong Co., Class A Shares* | | | 25,323 | |
| | 42,000 | | | Logan Group Co., Ltd. | | | 77,920 | |
| | 5,400 | | | Lomon Billions Group Co., Ltd., Class A Shares | | | 18,451 | |
| | 50,000 | | | Longfor Group Holdings Ltd.(a) | | | 263,940 | |
| | 8,200 | | | LONGi Green Energy Technology Co., Ltd., Class A Shares | | | 75,723 | |
| | 11,038 | | | Luxshare Precision Industry Co., Ltd., Class A Shares | | | 88,519 | |
| | 70,500 | | | Luye Pharma Group Ltd.(a) | | | 38,116 | |
| | 2,600 | | | Luzhou Laojiao Co., Ltd., Class A Shares | | | 56,668 | |
| | 33,400 | | | Maanshan Iron & Steel Co., Ltd., Class A Shares | | | 13,661 | |
| | 3,400 | | | Mango Excellent Media Co., Ltd., Class A Shares | | | 35,185 | |
| | 500 | | | Maxscend Microelectronics Co., Ltd., Class A Shares* | | | 28,685 | |
| | 9,480 | | | Meinian Onehealth Healthcare Holdings Co., Ltd., Class A Shares* | | | 24,285 | |
| | 236,100 | | | Meituan Dianping, (Restricted, cost — $3,118,025, acquired 3/23/20), Class B Shares*(c) | | | 7,760,090 | |
| | 36,900 | | | Metallurgical Corp. of China Ltd., Class A Shares | | | 15,161 | |
| | 4,463 | | | Momo Inc., ADR | | | 91,045 | |
| | 6,290 | | | Muyuan Foodstuff Co., Ltd., Class A Shares | | | 80,518 | |
| | 7,600 | | | Nanjing Securities Co., Ltd., Class A Shares | | | 16,354 | |
| | 5,900 | | | NARI Technology Co., Ltd., Class A Shares | | | 19,233 | |
| | 1,000 | | | NAURA Technology Group Co., Ltd., Class A Shares | | | 26,896 | |
| | 4,108 | | | NetEase Inc., ADR | | | 2,001,459 | |
| | 2,400 | | | New China Life Insurance Co., Ltd., Class A Shares | | | 20,927 | |
| | 25,700 | | | New China Life Insurance Co., Ltd., Class H Shares(e) | | | 102,140 | |
| | 6,400 | | | New Hope Liuhe Co., Ltd., Class A Shares | | | 35,509 | |
| | 20,546 | | | New Oriental Education & Technology Group Inc., ADR* | | | 3,012,660 | |
| | 25,262 | | | NIO Inc., ADR*(d) | | | 480,736 | |
| | 834 | | | Noah Holdings Ltd., ADR* | | | 23,352 | |
| | 5,500 | | | Offcn Education Technology Co., Ltd., Class A Shares | | | 28,632 | |
| | 9,000 | | | OFILM Group Co., Ltd., Class A Shares | | | 24,790 | |
| | 35,000 | | | OneConnect Financial Technology Co., Ltd., ADR* | | | 754,950 | |
| | 11,300 | | | Orient Securities Co., Ltd., Class A Shares | | | 19,450 | |
| | 10,800 | | | Oriental Pearl Group Co., Ltd., Class A Shares | | | 16,775 | |
| | 1,450 | | | Ovctek China Inc., Class A Shares | | | 13,801 | |
| | 14,200 | | | Pacific Securities Co., Ltd., Class A Shares* | | | 8,795 | |
| | 266,000 | | | People’s Insurance Co. Group of China Ltd., Class H Shares(e) | | | 86,624 | |
| | 4,650 | | | Perfect World Co., Ltd./China, Class A Shares | | | 24,808 | |
| | 21,700 | | | PetroChina Co., Ltd., Class A Shares | | | 14,021 | |
| | 624,000 | | | PetroChina Co., Ltd., Class H Shares(e) | | | 214,821 | |
| | 204,000 | | | PICC Property & Casualty Co., Ltd., Class H Shares(e) | | | 157,024 | |
| | 7,703 | | | Pinduoduo Inc., ADR* | | | 685,105 | |
| | 898,479 | | | Ping An Bank Co., Ltd., Class A Shares | | | 1,975,233 | |
| | 202,700 | | | Ping An Healthcare & Technology Co., Ltd., (Restricted, cost — $1,199,744, acquired 11/22/19)*(a)(c)(d) | | | 2,943,414 | |
| | 19,200 | | | Ping An Insurance Group Co. of China Ltd., Class A Shares | | | 214,332 | |
See Notes to Financial Statements.
141
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | China — 33.8% — (continued) | |
| | 1,003,500 | | | Ping An Insurance Group Co. of China Ltd., Class H Shares(e) | | $ | 10,633,191 | |
| | 18,000 | | | Poly Developments & Holdings Group Co., Ltd., Class A Shares | | | 42,225 | |
| | 3,400 | | | Poly Property Services Co., Ltd. | | | 29,698 | |
| | 280,000 | | | Postal Savings Bank of China Co., Ltd., Class H Shares(a)(e) | | | 132,296 | |
| | 22,300 | | | Power Construction Corp. of China Ltd., Class A Shares | | | 13,220 | |
| | 18,700 | | | RiseSun Real Estate Development Co., Ltd., Class A Shares | | | 22,466 | |
| | 7,700 | | | Rongsheng Petro Chemical Co., Ltd., Class A Shares | | | 22,178 | |
| | 11,800 | | | SAIC Motor Corp., Ltd., Class A Shares | | | 32,095 | |
| | 8,900 | | | Sanan Optoelectronics Co., Ltd., Class A Shares | | | 35,243 | |
| | 800 | | | Sangfor Technologies Inc., Class A Shares | | | 25,683 | |
| | 20,500 | | | Sany Heavy Industry Co., Ltd., Class A Shares | | | 66,074 | |
| | 8,700 | | | SDIC Capital Co., Ltd., Class A Shares | | | 19,228 | |
| | 12,700 | | | SDIC Power Holdings Co., Ltd., Class A Shares | | | 16,780 | |
| | 76,000 | | | Seazen Group Ltd.* | | | 68,750 | |
| | 3,000 | | | Seazen Holdings Co., Ltd., Class A Shares | | | 15,703 | |
| | 99,700 | | | Semiconductor Manufacturing International Corp.* | | | 318,595 | |
| | 4,100 | | | SF Holding Co., Ltd., Class A Shares | | | 50,835 | |
| | 12,300 | | | Shaanxi Coal Industry Co., Ltd., Class A Shares | | | 14,597 | |
| | 5,600 | | | Shandong Gold Mining Co., Ltd., Class A Shares | | | 23,717 | |
| | 74,000 | | | Shandong Nanshan Aluminum Co., Ltd., Class A Shares | | | 28,682 | |
| | 18,300 | | | Shandong Sun Paper Industry JSC Ltd., Class A Shares | | | 37,255 | |
| | 76,000 | | | Shandong Weigao Group Medical Polymer Co., Ltd., Class H Shares(e) | | | 177,015 | |
| | 51,300 | | | Shanghai 2345 Network Holding Group Co., Ltd., Class A Shares | | | 22,589 | |
| | 2,000 | | | Shanghai Baosight Software Co., Ltd., Class A Shares | | | 20,274 | |
| | 36,900 | | | Shanghai Electric Group Co., Ltd., Class A Shares* | | | 29,891 | |
| | 70,000 | | | Shanghai Electric Group Co., Ltd., Class H Shares*(e) | | | 20,554 | |
| | 4,800 | | | Shanghai Fosun Pharmaceutical Group Co., Ltd., Class A Shares | | | 38,390 | |
| | 14,000 | | | Shanghai Fosun Pharmaceutical Group Co., Ltd., Class H Shares(e) | | | 58,969 | |
| | 2,000 | | | Shanghai International Airport Co., Ltd., Class A Shares | | | 22,263 | |
| | 17,999 | | | Shanghai International Port Group Co., Ltd., Class A Shares | | | 11,650 | |
| | 32,520 | | | Shanghai Lujiazui Finance & Trade Zone Development Co., Ltd., Class B Shares | | | 27,902 | |
| | 8,700 | | | Shanghai Pharmaceuticals Holding Co., Ltd., Class A Shares | | | 28,154 | |
| | 4,100 | | | Shanghai Pharmaceuticals Holding Co., Ltd., Class H Shares(e) | | | 7,304 | |
| | 57,700 | | | Shanghai Pudong Development Bank Co., Ltd., Class A Shares | | | 87,151 | |
| | 15,800 | | | Shanghai RAAS Blood Products Co., Ltd., Class A Shares | | | 20,706 | |
| | 20,100 | | | Shanxi Meijin Energy Co., Ltd., Class A Shares* | | | 19,320 | |
| | 9,600 | | | Shanxi Securities Co., Ltd., Class A Shares | | | 11,518 | |
| | 2,000 | | | Shanxi Xinghuacun Fen Wine Factory Co., Ltd., Class A Shares | | | 57,550 | |
| | 26,800 | | | Shenergy Co., Ltd., Class A Shares | | | 22,418 | |
| | 4,400 | | | Shengyi Technology Co., Ltd., Class A Shares | | | 15,911 | |
| | 1,260 | | | Shennan Circuits Co., Ltd., Class A Shares | | | 25,447 | |
| | 48,700 | | | Shenwan Hongyuan Group Co., Ltd., Class A Shares | | | 40,049 | |
| | 31,080 | | | Shenzhen Energy Group Co., Ltd., Class A Shares | | | 25,957 | |
| | 22,000 | | | Shenzhen Expressway Co., Ltd., Class H Shares(e) | | | 19,892 | |
| | 700 | | | Shenzhen Goodix Technology Co., Ltd., Class A Shares | | | 18,285 | |
| | 3,000 | | | Shenzhen Inovance Technology Co., Ltd., Class A Shares | | | 24,395 | |
| | 1,400 | | | Shenzhen Kangtai Biological Products Co., Ltd., Class A Shares | | | 40,417 | |
| | 1,700 | | | Shenzhen Mindray Bio-Medical Electronics Co., Ltd., Class A Shares | | | 84,852 | |
| | 15,200 | | | Shenzhen Overseas Chinese Town Co., Ltd., Class A Shares | | | 15,864 | |
| | 3,000 | | | Shenzhen Sunway Communication Co., Ltd., Class A Shares* | | | 27,161 | |
| | 77,900 | | | Shenzhou International Group Holdings Ltd. | | | 1,249,280 | |
| | 3,321 | | | Shijiazhuang Yiling Pharmaceutical Co., Ltd., Class A Shares | | | 13,837 | |
| | 16,600 | | | Sichuan Chuantou Energy Co., Ltd., Class A Shares | | | 24,260 | |
| | 2,000 | | | Silergy Corp. | | | 126,512 | |
| | 1,870 | | | SINA Corp.* | | | 76,081 | |
| | 12,200 | | | Sinolink Securities Co., Ltd., Class A Shares | | | 27,619 | |
See Notes to Financial Statements.
142
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | China — 33.8% — (continued) | |
| | 106,000 | | | Sino-Ocean Group Holding Ltd. | | $ | 24,397 | |
| | 37,500 | | | Sinopec Engineering Group Co., Ltd., Class H Shares(e) | | | 16,595 | |
| | 88,000 | | | Sinopec Shanghai Petrochemical Co., Ltd., Class H Shares(e) | | | 18,080 | |
| | 787,372 | | | Sinopharm Group Co., Ltd., Class H Shares(e) | | | 1,930,734 | |
| | 20,000 | | | Sinotruk Hong Kong Ltd. | | | 51,858 | |
| | 52,500 | | | SOHO China Ltd.* | | | 16,174 | |
| | 9,720 | | | Songcheng Performance Development Co., Ltd., Class A Shares | | | 25,303 | |
| | 75,000 | | | Sunac China Holdings Ltd. | | | 313,729 | |
| | 24,400 | | | Suning.com Co., Ltd., Class A Shares | | | 35,034 | |
| | 21,100 | | | Sunny Optical Technology Group Co., Ltd. | | | 309,886 | |
| | 5,400 | | | Suzhou Dongshan Precision Manufacturing Co., Ltd., Class A Shares | | | 21,826 | |
| | 6,199 | | | Suzhou Gold Mantis Construction Decoration Co., Ltd., Class A Shares | | | 9,483 | |
| | 10,932 | | | TAL Education Group, ADR* | | | 806,891 | |
| | 2,100 | | | Tangshan Jidong Cement Co., Ltd., Class A Shares | | | 5,482 | |
| | 24,400 | | | TBEA Co., Ltd., Class A Shares | | | 29,037 | |
| | 35,700 | | | TCL Technology Group Corp., Class A Shares | | | 36,770 | |
| | 354,031 | | | Tencent Holdings Ltd. | | | 24,126,485 | |
| | 110,208 | | | Tencent Music Entertainment Group, ADR* | | | 1,722,551 | |
| | 7,400 | | | Tianjin Zhonghuan Semiconductor Co., Ltd., Class A Shares | | | 23,417 | |
| | 9,900 | | | Tianma Microelectronics Co., Ltd., Class A Shares | | | 23,683 | |
| | 60,000 | | | Tingyi Cayman Islands Holding Corp. | | | 112,451 | |
| | 24,000 | | | Tongcheng-Elong Holdings Ltd.* | | | 46,990 | |
| | 10,600 | | | Tongwei Co., Ltd., Class A Shares | | | 37,633 | |
| | 900 | | | Topchoice Medical Investment Co., Inc., Class A Shares* | | | 29,730 | |
| | 1,154,000 | | | Topsports International Holdings Ltd., (Restricted, cost — $1,262,180, acquired 3/24/20)(a)(c) | | | 1,424,482 | |
| | 3,700 | | | Transfar Zhilian Co., Ltd., Class A Shares | | | 3,258 | |
| | 30,000 | | | TravelSky Technology Ltd., Class H Shares(e) | | | 62,296 | |
| | 13,816 | | | Trip.com Group Ltd., ADR* | | | 417,796 | |
| | 14,000 | | | Tsingtao Brewery Co., Ltd., Class H Shares(e) | | | 127,341 | |
| | 20,800 | | | Tunghsu Optoelectronic Technology Co., Ltd., Class A Shares* | | | 9,534 | |
| | 700 | | | Unigroup Guoxin Microelectronics Co., Ltd., Class A Shares | | | 12,784 | |
| | 37,000 | | | Uni-President China Holdings Ltd. | | | 33,698 | |
| | 7,560 | | | Unisplendour Corp., Ltd., Class A Shares | | | 36,118 | |
| | 2,600 | | | Universal Scientific Industrial Shanghai Co., Ltd., Class A Shares | | | 8,874 | |
| | 13,167 | | | Vipshop Holdings Ltd., ADR* | | | 217,387 | |
| | 4,400 | | | Walvax Biotechnology Co., Ltd., Class A Shares* | | | 40,708 | |
| | 2,400 | | | Wanda Film Holding Co., Ltd., Class A Shares* | | | 6,485 | |
| | 4,700 | | | Wanhua Chemical Group Co., Ltd., Class A Shares | | | 49,990 | |
| | 125,000 | | | Want Want China Holdings Ltd. | | | 85,373 | |
| | 1,832 | | | Weibo Corp., ADR* | | | 68,334 | |
| | 11,600 | | | Weichai Power Co., Ltd., Class A Shares | | | 25,029 | |
| | 995,200 | | | Weichai Power Co., Ltd., Class H Shares(e) | | | 2,003,213 | |
| | 1,900 | | | Weihai Guangwei Composites Co., Ltd., Class A Shares | | | 21,608 | |
| | 14,040 | | | Wens Foodstuffs Group Co., Ltd., Class A Shares | | | 50,522 | |
| | 11,400 | | | Western Securities Co., Ltd., Class A Shares | | | 16,216 | |
| | 1,200 | | | Will Semiconductor Ltd., Class A Shares | | | 29,410 | |
| | 1,600 | | | Wingtech Technology Co., Ltd., Class A Shares | | | 32,148 | |
| | 29,900 | | | Wuchan Zhongda Group Co., Ltd., Class A Shares | | | 21,330 | |
| | 4,800 | | | Wuhan Guide Infrared Co., Ltd., Class A Shares* | | | 26,886 | |
| | 3,900 | | | Wuhu Sanqi Interactive Entertainment Network Technology Group Co., Ltd., Class A Shares | | | 25,934 | |
| | 40,979 | | | Wuliangye Yibin Co., Ltd., Class A Shares | | | 1,433,753 | |
| | 6,600 | | | WUS Printed Circuit Kunshan Co., Ltd., Class A Shares | | | 20,228 | |
| | 31,640 | | | WuXi AppTec Co., Ltd., (Restricted, cost — $394,058, acquired 7/29/20), Class H Shares(a)(c)(e) | | | 467,156 | |
| | 3,220 | | | WuXi AppTec Co., Ltd., Class A Shares | | | 51,549 | |
| | 193,000 | | | Wuxi Biologics Cayman Inc., (Restricted, cost — $2,336,680, acquired 11/21/19)*(a)(c) | | | 4,994,890 | |
| | 500 | | | Wuxi Lead Intelligent Equipment Co., Ltd., Class A Shares | | | 3,278 | |
See Notes to Financial Statements.
143
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | China — 33.8% — (continued) | |
| | 12,400 | | | Xiamen Tungsten Co., Ltd., Class A Shares | | $ | 26,513 | |
| | 295,600 | | | Xiaomi Corp., Class B Shares*(a) | | | 895,881 | |
| | 10,200 | | | Xinjiang Goldwind Science & Technology Co., Ltd., Class A Shares | | | 16,232 | |
| | 16,982 | | | Xinjiang Goldwind Science & Technology Co., Ltd., Class H Shares(e) | | | 14,523 | |
| | 126,000 | | | Xinyi Solar Holdings Ltd. | | | 158,320 | |
| | 58,000 | | | Yanzhou Coal Mining Co., Ltd., Class H Shares(e) | | | 44,548 | |
| | 3,450 | | | Yealink Network Technology Corp., Ltd., Class A Shares | | | 28,351 | |
| | 42,000 | | | Yifeng Pharmacy Chain Co., Ltd., Class A Shares | | | 617,427 | |
| | 13,000 | | | Yihai International Holding Ltd.* | | | 204,903 | |
| | 31,300 | | | Yonghui Superstores Co., Ltd., Class A Shares | | | 40,540 | |
| | 5,330 | | | Yonyou Network Technology Co., Ltd., Class A Shares | | | 32,538 | |
| | 36,109 | | | Yum China Holdings Inc. | | | 2,083,850 | |
| | 4,160 | | | Yunda Holding Co., Ltd., Class A Shares | | | 12,610 | |
| | 1,400 | | | Yunnan Baiyao Group Co., Ltd., Class A Shares | | | 23,627 | |
| | 2,700 | | | Yunnan Energy New Material Co., Ltd., Class A Shares | | | 30,719 | |
| | 48,000 | | | Yuzhou Group Co., Ltd. | | | 22,339 | |
| | 1,611 | | | Zai Lab Ltd., ADR* | | | 127,865 | |
| | 1,500 | | | Zhangzhou Pientzehuang Pharmaceutical Co., Ltd., Class A Shares | | | 55,087 | |
| | 27,000 | | | Zhaojin Mining Industry Co., Ltd., Class H Shares(e) | | | 30,261 | |
| | 14,520 | | | Zhejiang Century Huatong Group Co., Ltd., Class A Shares* | | | 23,442 | |
| | 6,400 | | | Zhejiang Dahua Technology Co., Ltd., Class A Shares | | | 21,314 | |
| | 36,000 | | | Zhejiang Expressway Co., Ltd., Class H Shares(e) | | | 24,244 | |
| | 4,400 | | | Zhejiang Huahai Pharmaceutical Co., Ltd., Class A Shares | | | 28,125 | |
| | 7,900 | | | Zhejiang Longsheng Group Co., Ltd., Class A Shares | | | 16,519 | |
| | 10,000 | | | Zhejiang NHU Co., Ltd., Class A Shares | | | 47,776 | |
| | 9,100 | | | Zhejiang Sanhua Intelligent Controls Co., Ltd., Class A Shares | | | 29,934 | |
| | 2,000 | | | Zhejiang Supor Co., Ltd., Class A Shares | | | 24,725 | |
| | 10,700 | | | Zhengzhou Yutong Bus Co., Ltd., Class A Shares | | | 22,160 | |
| | 44,000 | | | Zhenro Properties Group Ltd. | | | 25,691 | |
| | 10,000 | | | ZhongAn Online P&C Insurance Co., Ltd., Class H Shares*(a)(d)(e) | | | 65,128 | |
| | 11,600 | | | Zhongjin Gold Corp., Ltd., Class A Shares | | | 18,476 | |
| | 16,500 | | | Zhongsheng Group Holdings Ltd. | | | 102,487 | |
| | 18,100 | | | Zhuzhou CRRC Times Electric Co., Ltd., Class H Shares(e) | | | 57,684 | |
| | 30,500 | | | Zijin Mining Group Co., Ltd., Class A Shares | | | 31,999 | |
| | 162,000 | | | Zijin Mining Group Co., Ltd., Class H Shares(e) | | | 110,355 | |
| | 28,100 | | | Zoomlion Heavy Industry Science & Technology Co., Ltd., Class A Shares* | | | 34,819 | |
| | 29,200 | | | Zoomlion Heavy Industry Science & Technology Co., Ltd., Class H Shares*(e) | | | 29,128 | |
| | 6,400 | | | ZTE Corp., Class A Shares | | | 36,342 | |
| | 19,000 | | | ZTE Corp., Class H Shares(e) | | | 54,720 | |
| | 10,669 | | | ZTO Express Cayman Inc., ADR | | | 357,732 | |
| | | | | | | | |
| | | | Total China | | | 185,363,294 | |
| | | | | | | | |
|
| | Colombia — 0.0% | |
| | 7,032 | | | Bancolombia SA | | | 48,912 | |
| | 144,135 | | | Ecopetrol SA | | | 84,446 | |
| | 7,067 | | | Grupo de Inversiones Suramericana SA | | | 39,702 | |
| | 11,971 | | | Interconexion Electrica SA ESP | | | 67,061 | |
| | | | | | | | |
| | | | Total Colombia | | | 240,121 | |
| | | | | | | | |
|
| | Czech Republic — 0.0% | |
| | 4,840 | | | CEZ AS | | | 99,641 | |
| | 1,684 | | | Komercní Banka AS* | | | 40,478 | |
| | 15,820 | | | Moneta Money Bank AS(a) | | | 39,845 | |
| | | | | | | | |
| | | | Total Czech Republic | | | 179,964 | |
| | | | | | | | |
|
| | Egypt — 1.2% | |
| | 3,641,004 | | | Cleopatra Hospital* | | | 1,163,194 | |
See Notes to Financial Statements.
144
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | Egypt — 1.2% — (continued) | |
| | 985,875 | | | Commercial International Bank Egypt SAE, Class Registered Shares, GDR | | $ | 4,200,088 | |
| | 74,937 | | | Commercial International Bank Egypt SAE, GDR | | | 316,813 | |
| | 22,745 | | | Eastern Co. SAE | | | 18,059 | |
| | 21,328 | | | ElSewedy Electric Co. | | | 9,908 | |
| | 360,180 | | | Fawry for Banking & Payment Technology Services SAE* | | | 564,646 | |
| | 1,244,156 | | | Juhayna Food Industries | | | 548,778 | |
| | | | | | | | |
| | | | Total Egypt | | | 6,821,486 | |
| | | | | | | | |
|
| | Georgia — 0.3% | |
| | 106,700 | | | Bank of Georgia Group PLC* | | | 1,310,958 | |
| | 61,700 | | | Georgia Capital PLC* | | | 322,222 | |
| | | | | | | | |
| | | | Total Georgia | | | 1,633,180 | |
| | | | | | | | |
|
| | Germany — 0.6% | |
| | 32,760 | | | Delivery Hero SE, (Restricted, cost — $1,505,312, acquired 2/26/19)*(a)(c) | | | 3,514,120 | |
| | | | | | | | |
|
| | Greece — 0.0% | |
| | 1,594 | | | FF Group*(b)(f) | | | 19 | |
| | 6,598 | | | Hellenic Telecommunications Organization SA | | | 107,824 | |
| | 3,378 | | | JUMBO SA | | | 58,648 | |
| | 1,088 | | | Motor Oil Hellas Corinth Refineries SA | | | 15,255 | |
| | 7,444 | | | OPAP SA | | | 68,127 | |
| | | | | | | | |
| | | | Total Greece | | | 249,873 | |
| | | | | | | | |
|
| | Hong Kong — 3.0% | |
| | 640,000 | | | Alibaba Health Information Technology Ltd.* | | | 1,538,047 | |
| | 440,000 | | | Alibaba Pictures Group Ltd.* | | | 62,170 | |
| | 190,700 | | | ASM Pacific Technology Ltd. | | | 2,050,574 | |
| | 18,000 | | | Beijing Enterprises Holdings Ltd. | | | 57,085 | |
| | 164,000 | | | Beijing Enterprises Water Group Ltd.* | | | 64,388 | |
| | 92,000 | | | Bosideng International Holdings Ltd. | | | 26,281 | |
| | 96,000 | | | Brilliance China Automotive Holdings Ltd. | | | 85,763 | |
| | 1,777,000 | | | China Education Group Holdings Ltd., (Restricted, cost — $2,733,451, acquired 3/22/19)(c) | | | 3,489,082 | |
| | 106,888 | | | China Everbright International Ltd. | | | 64,411 | |
| | 24,000 | | | China Everbright Ltd. | | | 36,889 | |
| | 73,200 | | | China Gas Holdings Ltd. | | | 199,708 | |
| | 156,000 | | | China Jinmao Holdings Group Ltd. | | | 97,256 | |
| | 81,000 | | | China Mengniu Dairy Co., Ltd.* | | | 396,424 | |
| | 39,538 | | | China Merchants Port Holdings Co., Ltd. | | | 45,140 | |
| | 173,000 | | | China Mobile Ltd. | | | 1,207,080 | |
| | 99,838 | | | China Mobile Ltd., ADR | | | 3,497,325 | |
| | 105,000 | | | China Overseas Land & Investment Ltd. | | | 301,729 | |
| | 40,000 | | | China Overseas Property Holdings Ltd. | | | 36,006 | |
| | 92,000 | | | China Power International Development Ltd. | | | 17,785 | |
| | 40,000 | | | China Resources Beer Holdings Co., Ltd. | | | 260,661 | |
| | 74,000 | | | China Resources Cement Holdings Ltd. | | | 107,449 | |
| | 24,000 | | | China Resources Gas Group Ltd. | | | 112,195 | |
| | 94,000 | | | China Resources Land Ltd. | | | 430,671 | |
| | 60,000 | | | China Resources Power Holdings Co., Ltd. | | | 71,063 | |
| | 66,000 | | | China State Construction International Holdings Ltd. | | | 50,798 | |
| | 48,800 | | | China Taiping Insurance Holdings Co., Ltd. | | | 76,590 | |
| | 72,000 | | | China Traditional Chinese Medicine Holdings Co., Ltd. | | | 30,711 | |
| | 182,000 | | | China Unicom Hong Kong Ltd. | | | 128,462 | |
| | 176,000 | | | CITIC Ltd. | | | 159,834 | |
| | 46,000 | | | COSCO SHIPPING Ports Ltd. | | | 25,982 | |
| | 70,000 | | | Far East Horizon Ltd. | | | 61,883 | |
| | 172,000 | | | Geely Automobile Holdings Ltd. | | | 359,737 | |
See Notes to Financial Statements.
145
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | Hong Kong — 3.0% — (continued) | |
| | 76,000 | | | Guangdong Investment Ltd. | | $ | 118,303 | |
| | 37,000 | | | Haier Electronics Group Co., Ltd. | | | 126,298 | |
| | 1,788 | | | Hutchison China MediTech Ltd., ADR* | | | 59,397 | |
| | 17,500 | | | Kingboard Holdings Ltd. | | | 56,187 | |
| | 31,000 | | | Kingboard Laminates Holdings Ltd. | | | 38,692 | |
| | 106,000 | | | Kunlun Energy Co., Ltd. | | | 78,743 | |
| | 11,000 | | | Lee & Man Paper Manufacturing Ltd. | | | 6,538 | |
| | 32,000 | | | Nine Dragons Paper Holdings Ltd. | | | 35,436 | |
| | 12,000 | | | Shanghai Industrial Holdings Ltd. | | | 17,925 | |
| | 26,000 | | | Shenzhen International Holdings Ltd. | | | 41,648 | |
| | 80,000 | | | Shenzhen Investment Ltd. | | | 27,091 | |
| | 32,000 | | | Shimao Group Holdings Ltd. | | | 143,600 | |
| | 306,750 | | | Sino Biopharmaceutical Ltd. | | | 351,605 | |
| | 50,000 | | | SSY Group Ltd. | | | 31,818 | |
| | 76,500 | | | Sun Art Retail Group Ltd. | | | 99,628 | |
| | 11,000 | | | Vinda International Holdings Ltd. | | | 37,535 | |
| | 48,000 | | | Wharf Holdings Ltd. | | | 93,365 | |
| | 64,000 | | | Yuexiu Property Co., Ltd. | | | 12,193 | |
| | | | | | | | |
| | | | Total Hong Kong | | | 16,525,181 | |
| | | | | | | | |
|
| | Hungary — 0.9% | |
| | 12,471 | | | MOL Hungarian Oil & Gas PLC* | | | 70,090 | |
| | 141,540 | | | OTP Bank Nyrt* | | | 4,761,679 | |
| | 4,013 | | | Richter Gedeon Nyrt | | | 97,897 | |
| | | | | | | | |
| | | | Total Hungary | | | 4,929,666 | |
| | | | | | | | |
|
| | India — 10.5% | |
| | 16,043 | | | Adani Ports & Special Economic Zone Ltd. | | | 77,187 | |
| | 18,748 | | | Ambuja Cements Ltd. | | | 53,594 | |
| | 8,651 | | | Asian Paints Ltd. | | | 223,578 | |
| | 7,984 | | | Aurobindo Pharma Ltd. | | | 87,362 | |
| | 4,607 | | | Avenue Supermarts Ltd., Class A Shares*(a) | | | 141,149 | |
| | 438,657 | | | Axis Bank Ltd.* | | | 2,937,378 | |
| | 39,776 | | | Bajaj Auto Ltd. | | | 1,603,683 | |
| | 5,122 | | | Bajaj Finance Ltd. | | | 241,810 | |
| | 1,172 | | | Bajaj Finserv Ltd. | | | 98,998 | |
| | 335,098 | | | Bandhan Bank Ltd., (Restricted, cost — $2,154,252, acquired 3/28/19)*(a)(c) | | | 1,389,427 | |
| | 6,522 | | | Berger Paints India Ltd. | | | 47,856 | |
| | 6,110 | | | Bharat Forge Ltd. | | | 40,799 | |
| | 282,385 | | | Bharat Petroleum Corp., Ltd. | | | 1,560,527 | |
| | 35,024 | | | Bharti Airtel Ltd. | | | 244,883 | |
| | 521,223 | | | Bharti Infratel Ltd. | | | 1,405,764 | |
| | 8,802 | | | Biocon Ltd.* | | | 45,006 | |
| | 224 | | | Bosch Ltd. | | | 39,150 | |
| | 1,911 | | | Britannia Industries Ltd. | | | 96,989 | |
| | 547,400 | | | Cholamandalam Investment & Finance Co., Ltd. | | | 1,732,602 | |
| | 10,212 | | | Cipla Ltd. | | | 98,610 | |
| | 549,331 | | | Coal India Ltd. | | | 1,004,577 | |
| | 1,861 | | | Colgate-Palmolive India Ltd. | | | 34,578 | |
| | 6,095 | | | Container Corp. Of India Ltd. | | | 32,620 | |
| | 13,376 | | | Dabur India Ltd. | | | 86,134 | |
| | 2,337 | | | Divi’s Laboratories Ltd. | | | 99,101 | |
| | 16,810 | | | DLF Ltd. | | | 36,044 | |
| | 3,083 | | | Dr Reddy’s Laboratories Ltd. | | | 178,527 | |
| | 3,510 | | | Eicher Motors Ltd. | | | 100,462 | |
| | 48,168 | | | GAIL India Ltd. | | | 62,633 | |
See Notes to Financial Statements.
146
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | India — 10.5% — (continued) | |
| | 11,656 | | | Godrej Consumer Products Ltd. | | $ | 103,281 | |
| | 8,883 | | | Grasim Industries Ltd. | | | 81,072 | |
| | 7,396 | | | Havells India Ltd. | | | 61,783 | |
| | 386,261 | | | HCL Technologies Ltd. | | | 3,627,703 | |
| | 1,229 | | | HDFC Asset Management Co., Ltd.(a) | | | 40,375 | |
| | 318,000 | | | HDFC Bank Ltd.* | | | 4,804,501 | |
| | 67,977 | | | HDFC Bank Ltd., ADR* | | | 3,371,659 | |
| | 20,905 | | | HDFC Life Insurance Co., Ltd.*(a) | | | 163,082 | |
| | 41,149 | | | Hero MotoCorp Ltd. | | | 1,681,820 | |
| | 31,002 | | | Hindalco Industries Ltd.* | | | 77,871 | |
| | 17,094 | | | Hindustan Petroleum Corp., Ltd. | | | 46,707 | |
| | 23,609 | | | Hindustan Unilever Ltd. | | | 678,968 | |
| | 47,240 | | | Housing Development Finance Corp., Ltd. | | | 1,172,422 | |
| | 142,330 | | | ICICI Bank Ltd.* | | | 759,814 | |
| | 5,614 | | | ICICI Lombard General Insurance Co., Ltd.(a) | | | 95,773 | |
| | 9,515 | | | ICICI Prudential Life Insurance Co., Ltd.(a) | | | 54,666 | |
| | 52,879 | | | Indian Oil Corp., Ltd. | | | 61,664 | |
| | 5,851 | | | Indraprastha Gas Ltd. | | | 31,320 | |
| | 1,743 | | | Info Edge India Ltd. | | | 76,969 | |
| | 97,819 | | | Infosys Ltd. | | | 1,233,636 | |
| | 299,033 | | | Infosys Ltd., ADR | | | 3,767,816 | |
| | 2,780 | | | InterGlobe Aviation Ltd.*(a) | | | 45,104 | |
| | 80,485 | | | ITC Ltd. | | | 209,503 | |
| | 21,446 | | | JSW Steel Ltd. | | | 78,497 | |
| | 2,142 | | | Jubilant Foodworks Ltd. | | | 61,136 | |
| | 13,516 | | | Larsen & Toubro Ltd. | | | 174,122 | |
| | 1,634,423 | | | Lemon Tree Hotels Ltd., (Restricted, cost — $1,316,598, acquired 8/29/19)*(a)(c) | | | 634,230 | |
| | 4,407 | | | LIC Housing Finance Ltd.* | | | 18,013 | |
| | 5,356 | | | Lupin Ltd. | | | 67,775 | |
| | 22,086 | | | Mahindra & Mahindra Ltd. | | | 181,879 | |
| | 12,963 | | | Marico Ltd. | | | 65,114 | |
| | 3,325 | | | Maruti Suzuki India Ltd. | | | 308,805 | |
| | 28,021 | | | Motherson Sumi Systems Ltd. | | | 41,893 | |
| | 629 | | | Nestle India Ltd. | | | 137,268 | |
| | 66,016 | | | NTPC Ltd. | | | 87,184 | |
| | 142,000 | | | Oberoi Realty Ltd.* | | | 757,650 | |
| | 1,524,068 | | | Oil & Natural Gas Corp., Ltd. | | | 1,700,306 | |
| | 169 | | | Page Industries Ltd. | | | 43,684 | |
| | 17,509 | | | Petronet LNG Ltd. | | | 57,202 | |
| | 163,000 | | | Phoenix Mills Ltd. | | | 1,440,901 | |
| | 3,802 | | | Pidilite Industries Ltd. | | | 72,620 | |
| | 2,660 | | | Piramal Enterprises Ltd. | | | 49,447 | |
| | 429,938 | | | Power Grid Corp. of India Ltd. | | | 1,054,944 | |
| | 13,216 | | | REC Ltd. | | | 19,178 | |
| | 219,465 | | | Reliance Industries Ltd. | | | 6,080,355 | |
| | 12,141 | | | SBI Life Insurance Co., Ltd.*(a) | | | 137,240 | |
| | 257 | | | Shree Cement Ltd. | | | 70,684 | |
| | 2,421 | | | Shriram Transport Finance Co., Ltd. | | | 23,070 | |
| | 2,065 | | | Siemens Ltd. | | | 32,573 | |
| | 46,446 | | | State Bank of India* | | | 133,883 | |
| | 22,892 | | | Sun Pharmaceutical Industries Ltd. | | | 160,655 | |
| | 113,117 | | | Tata Consultancy Services Ltd. | | | 3,467,488 | |
| | 13,065 | | | Tata Consumer Products Ltd. | | | 95,147 | |
| | 47,880 | | | Tata Motors Ltd.* | | | 93,447 | |
| | 10,143 | | | Tata Steel Ltd. | | | 56,713 | |
| | 13,080 | | | Tech Mahindra Ltd. | | | 131,776 | |
See Notes to Financial Statements.
147
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | India — 10.5% — (continued) | |
| | 74,108 | | | Titan Co., Ltd. | | $ | 1,107,394 | |
| | 1,476 | | | Torrent Pharmaceuticals Ltd. | | | 53,365 | |
| | 3,293 | | | UltraTech Cement Ltd. | | | 175,184 | |
| | 9,255 | | | United Spirits Ltd.* | | | 68,853 | |
| | 302,580 | | | UPL Ltd. | | | 2,064,138 | |
| | 56,784 | | | Vedanta Ltd. | | | 98,966 | |
| | 35,936 | | | Wipro Ltd. | | | 131,692 | |
| | 27,828 | | | Zee Entertainment Enterprises Ltd.* | | | 76,259 | |
| | | | | | | | |
| | | | Total India | | | 57,359,267 | |
| | | | | | | | |
|
| | Indonesia — 2.7% | |
| | 213,500 | | | Ace Hardware Indonesia Tbk PT | | | 22,646 | |
| | 299,900 | | | Adaro Energy Tbk PT | | | 22,290 | |
| | 5,026,700 | | | Astra International Tbk PT | | | 1,757,757 | |
| | 284,800 | | | Bank Central Asia Tbk PT | | | 613,171 | |
| | 9,041,324 | | | Bank Mandiri Persero Tbk PT | | | 3,681,441 | |
| | 211,400 | | | Bank Negara Indonesia Persero Tbk PT | | | 73,723 | |
| | 6,269,200 | | | Bank Rakyat Indonesia Persero Tbk PT | | | 1,505,476 | |
| | 12,220,000 | | | Bank Tabungan Pensiunan Nasional Syariah Tbk PT | | | 3,261,588 | |
| | 911,500 | | | Barito Pacific Tbk PT* | | | 52,466 | |
| | 174,600 | | | Charoen Pokphand Indonesia Tbk PT* | | | 75,517 | |
| | 14,300 | | | Gudang Garam Tbk PT* | | | 46,656 | |
| | 215,500 | | | Hanjaya Mandala Sampoerna Tbk PT | | | 24,494 | |
| | 77,100 | | | Indah Kiat Pulp & Paper Corp. Tbk PT* | | | 49,066 | |
| | 34,200 | | | Indocement Tunggal Prakarsa Tbk PT | | | 27,811 | |
| | 69,500 | | | Indofood CBP Sukses Makmur Tbk PT | | | 48,782 | |
| | 137,000 | | | Indofood Sukses Makmur Tbk PT | | | 71,652 | |
| | 715,400 | | | Kalbe Farma Tbk PT | | | 77,476 | |
| | 365,400 | | | Perusahaan Gas Negara Tbk PT | | | 31,354 | |
| | 69,600 | | | Semen Indonesia Persero Tbk PT | | | 50,320 | |
| | 1,414,587 | | | Telekomunikasi Indonesia Persero Tbk PT | | | 277,222 | |
| | 127,643 | | | Telekomunikasi Indonesia Persero Tbk PT, ADR(d) | | | 2,543,925 | |
| | 190,000 | | | Unilever Indonesia Tbk PT | | | 107,540 | |
| | 53,300 | | | United Tractors Tbk PT | | | 84,010 | |
| | 103,100 | | | XL Axiata Tbk PT | | | 17,238 | |
| | | | | | | | |
| | | | Total Indonesia | | | 14,523,621 | |
| | | | | | | | |
|
| | Kenya — 0.3% | |
| | 5,624,000 | | | Safaricom PLC | | | 1,533,300 | |
| | | | | | | | |
|
| | Kuwait — 0.2% | |
| | 127,000 | | | Humansoft Holding Co. KSC | | | 1,051,396 | |
| | | | | | | | |
|
| | Luxembourg — 0.3% | |
| | 4,430 | | | Reinet Investments SCA | | | 84,444 | |
| | 71,707 | | | Ternium SA, ADR | | | 1,282,121 | |
| | | | | | | | |
| | | | Total Luxembourg | | | 1,366,565 | |
| | | | | | | | |
|
| | Malaysia — 0.6% | |
| | 46,100 | | | AMMB Holdings Bhd | | | 32,299 | |
| | 77,700 | | | Axiata Group Bhd | | | 56,114 | |
| | 4,600 | | | Carlsberg Brewery Malaysia Bhd | | | 24,096 | |
| | 188,607 | | | CIMB Group Holdings Bhd | | | 149,362 | |
| | 111,600 | | | Dialog Group Bhd | | | 96,140 | |
| | 88,700 | | | DiGi.Com Bhd | | | 84,080 | |
| | 3,000 | | | Fraser & Neave Holdings Bhd | | | 22,124 | |
| | 56,200 | | | Gamuda Bhd | | | 45,819 | |
| | 57,500 | | | Genting Bhd | | | 48,426 | |
See Notes to Financial Statements.
148
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | Malaysia — 0.6% — (continued) | |
| | 80,300 | | | Genting Malaysia Bhd | | $ | 43,923 | |
| | 5,900 | | | Genting Plantations Bhd | | | 14,085 | |
| | 20,100 | | | HAP Seng Consolidated Bhd | | | 34,729 | |
| | 45,800 | | | Hartalega Holdings Bhd | | | 182,399 | |
| | 15,800 | | | Hong Leong Bank Bhd | | | 53,079 | |
| | 7,300 | | | Hong Leong Financial Group Bhd | | | 21,615 | |
| | 65,500 | | | IHH Healthcare Bhd | | | 84,357 | |
| | 1,800 | | | IJM Corp. Bhd | | | 518 | |
| | 56,900 | | | IOI Corp. Bhd | | | 60,912 | |
| | 18,500 | | | Kossan Rubber Industries | | | 71,375 | |
| | 13,100 | | | Kuala Lumpur Kepong Bhd | | | 71,309 | |
| | 116,009 | | | Malayan Banking Bhd | | | 204,067 | |
| | 25,900 | | | Malaysia Airports Holdings Bhd | | | 31,692 | |
| | 57,900 | | | Maxis Bhd | | | 69,494 | |
| | 34,300 | | | MISC Bhd | | | 62,646 | |
| | 1,600 | | | Nestle Malaysia Bhd | | | 53,489 | |
| | 62,100 | | | Petronas Chemicals Group Bhd | | | 81,353 | |
| | 9,000 | | | Petronas Dagangan Bhd | | | 44,486 | |
| | 24,200 | | | Petronas Gas Bhd | | | 95,820 | |
| | 16,700 | | | PPB Group Bhd | | | 72,157 | |
| | 37,500 | | | Press Metal Aluminium Holdings Bhd | | | 46,867 | |
| | 82,400 | | | Public Bank Bhd | | | 324,724 | |
| | 21,000 | | | QL Resources Bhd | | | 48,391 | |
| | 37,800 | | | RHB Bank Bhd | | | 41,544 | |
| | 77,200 | | | Sime Darby Bhd | | | 40,567 | |
| | 63,200 | | | Sime Darby Plantation Bhd | | | 77,331 | |
| | 20,800 | | | Supermax Corp. Bhd* | | | 111,391 | |
| | 31,400 | | | Telekom Malaysia Bhd | | | 31,270 | |
| | 61,600 | | | Tenaga Nasional Bhd | | | 160,905 | |
| | 46,100 | | | Top Glove Corp. Bhd | | | 292,006 | |
| | 13,800 | | | Westports Holdings Bhd | | | 12,113 | |
| | 76,350 | | | YTL Corp. Bhd | | | 12,276 | |
| | | | | | | | |
| | | | Total Malaysia | | | 3,111,350 | |
| | | | | | | | |
|
| | Mexico — 2.5% | |
| | 63,197 | | | Alfa SAB de CV, Class A Shares | | | 40,671 | |
| | 272,347 | | | America Movil SAB de CV, Class L Shares, ADR | | | 3,314,463 | |
| | 959,825 | | | America Movil SAB de CV, Series L | | | 583,480 | |
| | 12,126 | | | Arca Continental SAB de CV | | | 55,130 | |
| | 15,467 | | | Becle SAB de CV | | | 29,649 | |
| | 411,532 | | | Cemex SAB de CV, Class Preferred Shares | | | 132,045 | |
| | 12,281 | | | Coca-Cola Femsa SAB de CV | | | 51,109 | |
| | 105,605 | | | Fibra Uno Administracion SA de CV, REIT | | | 82,636 | |
| | 53,823 | | | Fomento Economico Mexicano SAB de CV | | | 313,071 | |
| | 6,096 | | | Gruma SAB de CV, Class B Shares | | | 72,026 | |
| | 10,336 | | | Grupo Aeroportuario del Pacifico SAB de CV, Class B Shares | | | 80,398 | |
| | 6,186 | | | Grupo Aeroportuario del Sureste SAB de CV, Class B Shares* | | | 70,265 | |
| | 42,785 | | | Grupo Bimbo SAB de CV, Series A | | | 79,338 | |
| | 14,300 | | | Grupo Carso SAB de CV, Series A1 | | | 28,497 | |
| | 73,454 | | | Grupo Financiero Banorte SAB de CV, Class O Shares* | | | 252,473 | |
| | 67,892 | | | Grupo Financiero Inbursa SAB de CV, Class O Shares* | | | 49,650 | |
| | 924,183 | | | Grupo México SAB de CV, Series B | | | 2,466,910 | |
| | 66,379 | | | Grupo Televisa SAB* | | | 81,007 | |
| | 4,192 | | | Industrias Peñoles SAB de CV | | | 69,362 | |
| | 12,296 | | | Infraestructura Energetica Nova SAB de CV | | | 35,750 | |
| | 830,106 | | | Kimberly-Clark de México SAB de CV, Class A Shares | | | 1,324,542 | |
See Notes to Financial Statements.
149
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | Mexico — 2.5% — (continued) | |
| | 7,978 | | | Megacable Holdings SAB de CV | | $ | 23,046 | |
| | 31,079 | | | Orbia Advance Corp. SAB de CV | | | 49,946 | |
| | 6,730 | | | Promotora y Operadora de Infraestructura SAB de CV* | | | 49,839 | |
| | 677,527 | | | Qualitas Controladora SAB de CV | | | 2,669,416 | |
| | 552,100 | | | Regional SAB de CV* | | | 1,380,345 | |
| | 151,260 | | | Wal-Mart de Mexico SAB de CV | | | 362,275 | |
| | | | | | | | |
| | | | Total Mexico | | | 13,747,339 | |
| | | | | | | | |
|
| | Netherlands — 1.1% | |
| | 61,670 | | | Prosus NV* | | | 6,169,038 | |
| | | | | | | | |
|
| | Pakistan — 0.0% | |
| | 21,800 | | | Habib Bank Ltd. | | | 17,587 | |
| | 822 | | | MCB Bank Ltd. | | | 849 | |
| | 17,868 | | | Oil & Gas Development Co., Ltd. | | | 12,386 | |
| | | | | | | | |
| | | | Total Pakistan | | | 30,822 | |
| | | | | | | | |
|
| | Peru — 0.1% | |
| | 7,015 | | | Cia de Minas Buenaventura SAA, ADR | | | 98,771 | |
| | 1,985 | | | Credicorp Ltd. | | | 259,003 | |
| | 2,181 | | | Southern Copper Corp. | | | 104,906 | |
| | | | | | | | |
| | | | Total Peru | | | 462,680 | |
| | | | | | | | |
|
| | Philippines — 1.4% | |
| | 43,280 | | | Aboitiz Equity Ventures Inc. | | | 42,812 | |
| | 43,300 | | | Aboitiz Power Corp. | | | 23,801 | |
| | 7,950 | | | Ayala Corp. | | | 120,190 | |
| | 4,392,210 | | | Ayala Land Inc. | | | 2,597,309 | |
| | 13,508 | | | Bank of the Philippine Islands | | | 18,628 | |
| | 57,324 | | | BDO Unibank Inc. | | | 101,534 | |
| | 12,046,900 | | | Bloomberry Resorts Corp. | | | 1,514,934 | |
| | 1,160 | | | Globe Telecom Inc. | | | 49,992 | |
| | 2,800 | | | GT Capital Holdings Inc. | | | 22,975 | |
| | 1,063,640 | | | International Container Terminal Services Inc. | | | 2,300,626 | |
| | 79,510 | | | JG Summit Holdings Inc. | | | 105,307 | |
| | 14,790 | | | Jollibee Foods Corp. | | | 41,103 | |
| | 6,170 | | | Manila Electric Co. | | | 34,256 | |
| | 434,000 | | | Megaworld Corp.* | | | 26,017 | |
| | 419,500 | | | Metro Pacific Investments Corp. | | | 28,961 | |
| | 55,156 | | | Metropolitan Bank & Trust Co. | | | 37,955 | |
| | 2,430 | | | PLDT Inc. | | | 73,667 | |
| | 27,600 | | | Puregold Price Club Inc. | | | 30,668 | |
| | 52,523 | | | Robinsons Land Corp. | | | 15,808 | |
| | 6,990 | | | SM Investments Corp. | | | 122,452 | |
| | 303,100 | | | SM Prime Holdings Inc. | | | 182,161 | |
| | 22,540 | | | Universal Robina Corp. | | | 64,036 | |
| | | | | | | | |
| | | | Total Philippines | | | 7,555,192 | |
| | | | | | | | |
|
| | Poland — 0.2% | |
| | 5,404 | | | Bank Polska Kasa Opieki SA* | | | 76,492 | |
| | 1,882 | | | CD Projekt SA* | | | 223,800 | |
| | 6,856 | | | Cyfrowy Polsat SA* | | | 53,438 | |
| | 1,497 | | | Dino Polska SA*(a) | | | 90,624 | |
| | 2,127 | | | Grupa Lotos SA | | | 23,327 | |
| | 3,716 | | | KGHM Polska Miedz SA* | | | 137,598 | |
| | 36 | | | LPP SA* | | | 70,164 | |
| | 397 | | | mBank SA* | | | 20,231 | |
| | 20,391 | | | Orange Polska SA* | | | 39,963 | |
See Notes to Financial Statements.
150
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | Poland — 0.2% — (continued) | |
| | 27,259 | | | PGE Polska Grupa Energetyczna SA* | | $ | 44,585 | |
| | 8,934 | | | Polski Koncern Naftowy ORLEN SA | | | 122,630 | |
| | 38,865 | | | Polskie Gornictwo Naftowe i Gazownictwo SA | | | 53,985 | |
| | 26,665 | | | Powszechna Kasa Oszczednosci Bank Polski SA* | | | 155,672 | |
| | 18,317 | | | Powszechny Zaklad Ubezpieczen SA* | | | 134,916 | |
| | 1,017 | | | Santander Bank Polska SA* | | | 41,676 | |
| | | | | | | | |
| | | | Total Poland | | | 1,289,101 | |
| | | | | | | | |
|
| | Portugal — 0.3% | |
| | 164,012 | | | Galp Energia SGPS SA | | | 1,755,079 | |
| | | | | | | | |
|
| | Qatar — 0.3% | |
| | 58,133 | | | Barwa Real Estate Co. | | | 54,421 | |
| | 56,283 | | | Commercial Bank PSQC | | | 64,140 | |
| | 53,578 | | | Industries Qatar QSC | | | 144,919 | |
| | 112,186 | | | Masraf Al Rayan QSC | | | 128,331 | |
| | 127,934 | | | Mesaieed Petrochemical Holding Co. | | | 74,434 | |
| | 25,890 | | | Ooredoo QPSC | | | 46,924 | |
| | 17,496 | | | Qatar Electricity & Water Co. QSC | | | 82,584 | |
| | 15,190 | | | Qatar Fuel QSC | | | 76,703 | |
| | 16,205 | | | Qatar International Islamic Bank QSC | | | 38,044 | |
| | 36,392 | | | Qatar Islamic Bank SAQ | | | 159,723 | |
| | 135,657 | | | Qatar National Bank QPSC | | | 670,707 | |
| | | | | | | | |
| | | | Total Qatar | | | 1,540,930 | |
| | | | | | | | |
|
| | Romania — 0.0% | |
| | 12,798 | | | NEPI Rockcastle PLC | | | 59,738 | |
| | | | | | | | |
|
| | Russia — 4.7% | |
| | 2,168,218 | | | Alrosa PJSC | | | 1,943,118 | |
| | 338,256 | | | Gazprom PJSC | | | 827,171 | |
| | 885,983 | | | Inter RAO UES PJSC | | | 62,517 | |
| | 11,897 | | | Lukoil PJSC | | | 802,773 | |
| | 46,589 | | | Lukoil PJSC, ADR | | | 3,132,178 | |
| | 92,733 | | | Magnit PJSC, Class Registered Shares, GDR | | | 1,361,013 | |
| | 11,571 | | | Magnit PJSC, Class Registered Shares, GDR* | | | 169,747 | |
| | 49,568 | | | Magnitogorsk Iron & Steel Works PJSC | | | 25,238 | |
| | 1,792 | | | MMC Norilsk Nickel PJSC | | | 469,255 | |
| | 312,801 | | | Mobile TeleSystems PJSC, ADR | | | 2,915,305 | |
| | 37,008 | | | Moscow Exchange MICEX-RTS PJSC | | | 69,045 | |
| | 2,659 | | | Novatek PJSC, Class Registered Shares, GDR | | | 393,798 | |
| | 41,141 | | | Novolipetsk Steel PJSC | | | 85,670 | |
| | 2,783 | | | PhosAgro PJSC, Class Registered Shares, GDR | | | 33,073 | |
| | 6,461 | | | Polymetal International PLC | | | 172,506 | |
| | 1,005 | | | Polyus PJSC | | | 245,437 | |
| | 33,349 | | | Rosneft Oil Co. PJSC | | | 168,186 | |
| | 1,911,481 | | | Sberbank of Russia PJSC | | | 5,834,845 | |
| | 188,500 | | | Sberbank of Russia PJSC, ADR* | | | 2,299,700 | |
| | 5,352 | | | Severstal PAO | | | 67,270 | |
| | 206,181 | | | Surgutneftegas PJSC | | | 102,067 | |
| | 40,145 | | | Tatneft PJSC | | | 297,449 | |
| | 92,960,626 | | | VTB Bank PJSC* | | | 44,435 | |
| | 3,497 | | | X5 Retail Group NV, Class Registered Shares, GDR | | | 125,898 | |
| | 57,157 | | | Yandex NV, Class A Shares* | | | 3,899,822 | |
| | | | | | | | |
| | | | Total Russia | | | 25,547,516 | |
| | | | | | | | |
See Notes to Financial Statements.
151
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | Saudi Arabia — 0.9% | |
| | 1,366 | | | Abdullah Al Othaim Markets Co. | | $ | 45,427 | |
| | 2,938 | | | Advanced Petrochemical Co. | | | 43,144 | |
| | 35,182 | | | Al Rajhi Bank | | | 608,122 | |
| | 29,130 | | | Alinma Bank* | | | 120,228 | |
| | 7,653 | | | Almarai Co. JSC | | | 109,509 | |
| | 19,124 | | | Arab National Bank | | | 105,732 | |
| | 10,770 | | | Bank AlBilad | | | 68,900 | |
| | 12,294 | | | Bank Al-Jazira | | | 42,764 | |
| | 16,032 | | | Banque Saudi Fransi | | | 136,404 | |
| | 1,692 | | | Bupa Arabia for Cooperative Insurance Co.* | | | 55,916 | |
| | 1,797 | | | Co. for Cooperative Insurance* | | | 37,785 | |
| | 16,229 | | | Dar Al Arkan Real Estate Development Co.* | | | 35,060 | |
| | 12,531 | | | Emaar Economic City* | | | 26,945 | |
| | 11,243 | | | Etihad Etisalat Co.* | | | 80,223 | |
| | 1,698 | | | Jarir Marketing Co. | | | 73,931 | |
| | 12,700 | | | Leejam Sports Co. JSC | | | 239,624 | |
| | 43,546 | | | National Commercial Bank | | | 431,409 | |
| | 9,889 | | | National Industrialization Co.* | | | 31,105 | |
| | 6,566 | | | Rabigh Refining & Petrochemical Co.* | | | 24,968 | |
| | 37,591 | | | Riyad Bank | | | 191,992 | |
| | 10,666 | | | Sahara International Petrochemical Co. | | | 45,212 | |
| | 27,781 | | | Samba Financial Group | | | 203,801 | |
| | 1,171 | | | Saudi Airlines Catering Co. | | | 24,984 | |
| | 6,020 | | | Saudi Arabian Fertilizer Co. | | | 132,979 | |
| | 12,349 | | | Saudi Arabian Mining Co.* | | | 129,576 | |
| | 58,940 | | | Saudi Arabian Oil Co.(a) | | | 558,288 | |
| | 25,263 | | | Saudi Basic Industries Corp. | | | 592,042 | |
| | 20,457 | | | Saudi British Bank | | | 146,280 | |
| | 2,168 | | | Saudi Cement Co. | | | 32,511 | |
| | 24,559 | | | Saudi Electricity Co. | | | 104,185 | |
| | 6,611 | | | Saudi Industrial Investment Group | | | 38,525 | |
| | 22,288 | | | Saudi Kayan Petrochemical Co.* | | | 53,880 | |
| | 16,849 | | | Saudi Telecom Co. | | | 430,844 | |
| | 7,899 | | | Savola Group | | | 102,697 | |
| | 6,603 | | | Yanbu National Petrochemical Co. | | | 94,085 | |
| | | | | | | | |
| | | | Total Saudi Arabia | | | 5,199,077 | |
| | | | | | | | |
|
| | Singapore — 0.5% | |
| | 6,000 | | | BOC Aviation Ltd.(a) | | | 44,213 | |
| | 16,000 | | | Sea Ltd., ADR* | | | 2,444,960 | |
| | | | | | | | |
| | | | Total Singapore | | | 2,489,173 | |
| | | | | | | | |
|
| | South Africa — 3.5% | |
| | 18,540 | | | Absa Group Ltd. | | | 84,204 | |
| | 805,700 | | | Advtech Ltd. | | | 387,309 | |
| | 1,690 | | | Anglo American Platinum Ltd. | | | 125,583 | |
| | 12,227 | | | AngloGold Ashanti Ltd. | | | 360,051 | |
| | 9,733 | | | Aspen Pharmacare Holdings Ltd.* | | | 78,013 | |
| | 9,595 | | | Bid Corp., Ltd. | | | 158,329 | |
| | 153,207 | | | Bidvest Group Ltd. | | | 1,230,146 | |
| | 1,878 | | | Capitec Bank Holdings Ltd. | | | 92,397 | |
| | 7,661 | | | Clicks Group Ltd. | | | 103,748 | |
| | 10,460 | | | Discovery Ltd. | | | 74,607 | |
| | 7,496 | | | Exxaro Resources Ltd. | | | 60,661 | |
| | 125,898 | | | FirstRand Ltd. | | | 280,215 | |
| | 25,996 | | | Gold Fields Ltd. | | | 339,407 | |
See Notes to Financial Statements.
152
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | South Africa — 3.5% — (continued) | |
| | 79,517 | | | Growthpoint Properties Ltd., REIT | | $ | 57,122 | |
| | 14,005 | | | Harmony Gold Mining Co., Ltd.* | | | 91,389 | |
| | 23,433 | | | Impala Platinum Holdings Ltd. | | | 215,380 | |
| | 1,756 | | | Kumba Iron Ore Ltd. | | | 54,885 | |
| | 1,075,063 | | | Life Healthcare Group Holdings Ltd. | | | 1,050,281 | |
| | 26,001 | | | Momentum Metropolitan Holdings | | | 23,248 | |
| | 8,026 | | | Mr Price Group Ltd. | | | 54,752 | |
| | 46,657 | | | MTN Group Ltd. | | | 167,891 | |
| | 13,547 | | | MultiChoice Group* | | | 77,428 | |
| | 24,993 | | | Naspers Ltd., Class N Shares | | | 4,549,541 | |
| | 215,909 | | | Nedbank Group Ltd. | | | 1,217,933 | |
| | 10,626 | | | Northam Platinum Ltd.* | | | 100,002 | |
| | 145,742 | | | Old Mutual Ltd. | | | 96,205 | |
| | 22,104 | | | Pepkor Holdings Ltd.(a) | | | 12,640 | |
| | 302 | | | Pick n Pay Stores Ltd. | | | 743 | |
| | 18,253 | | | Rand Merchant Investment Holdings Ltd. | | | 32,364 | |
| | 15,494 | | | Remgro Ltd. | | | 80,361 | |
| | 398,967 | | | Sanlam Ltd. | | | 1,288,752 | |
| | 16,421 | | | Sasol Ltd.* | | | 132,782 | |
| | 201,621 | | | Shoprite Holdings Ltd. | | | 1,314,324 | |
| | 65,569 | | | Sibanye Stillwater Ltd.* | | | 200,897 | |
| | 6,132 | | | SPAR Group Ltd. | | | 58,481 | |
| | 245,050 | | | Standard Bank Group Ltd. | | | 1,521,082 | |
| | 4,420 | | | Tiger Brands Ltd. | | | 44,969 | |
| | 1,776,173 | | | Transaction Capital Ltd. | | | 1,878,990 | |
| | 185,662 | | | Vodacom Group Ltd.(d) | | | 1,398,356 | |
| | 28,803 | | | Woolworths Holdings Ltd. | | | 53,960 | |
| | | | | | | | |
| | | | Total South Africa | | | 19,149,428 | |
| | | | | | | | |
|
| | South Korea — 9.9% | |
| | 486 | | | Alteogen Inc.* | | | 85,532 | |
| | 802 | | | Amorepacific Corp. | | | 113,217 | |
| | 638 | | | AMOREPACIFIC Group | | | 27,337 | |
| | 233 | | | BGF retail Co., Ltd. | | | 25,002 | |
| | 8,650 | | | BNK Financial Group Inc. | | | 36,838 | |
| | 2,041 | | | Celltrion Healthcare Co., Ltd.* | | | 172,295 | |
| | 2,690 | | | Celltrion Inc.* | | | 672,828 | |
| | 2,195 | | | Cheil Worldwide Inc. | | | 33,579 | |
| | 218 | | | CJ CheilJedang Corp. | | | 74,444 | |
| | 488 | | | CJ Corp. | | | 33,236 | |
| | 353 | | | CJ ENM Co., Ltd. | | | 35,143 | |
| | 248 | | | CJ Logistics Corp.* | | | 31,555 | |
| | 36,272 | | | Coway Co., Ltd. | | | 2,437,963 | |
| | 630 | | | Daelim Industrial Co., Ltd. | | | 45,913 | |
| | 42 | | | Daewoo Engineering & Construction Co., Ltd.* | | | 104 | |
| | 1,129 | | | Daewoo Shipbuilding & Marine Engineering Co., Ltd.* | | | 20,833 | |
| | 1,408 | | | DB Insurance Co., Ltd. | | | 51,760 | |
| | 1,233 | | | Doosan Bobcat Inc. | | | 26,990 | |
| | 26,145 | | | Douzone Bizon Co., Ltd. | | | 2,214,666 | |
| | 446 | | | E-MART Inc. | | | 44,964 | |
| | 1,475 | | | Fila Holdings Corp. | | | 42,888 | |
| | 1,746 | | | GS Engineering & Construction Corp. | | | 36,155 | |
| | 1,234 | | | GS Holdings Corp. | | | 33,640 | |
| | 684 | | | GS Retail Co., Ltd. | | | 18,946 | |
| | 9,106 | | | Hana Financial Group Inc. | | | 215,018 | |
| | 1,886 | | | Hankook Tire & Technology Co., Ltd. | | | 46,620 | |
See Notes to Financial Statements.
153
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | South Korea — 9.9% — (continued) | |
| | 188 | | | Hanmi Pharm Co., Ltd. | | $ | 48,329 | |
| | 5,435 | | | Hanon Systems | | | 58,850 | |
| | 823 | | | Hanwha Corp. | | | 18,963 | |
| | 3,358 | | | Hanwha Solutions Corp. | | | 112,206 | |
| | 1,326 | | | HLB Inc.*(d) | | | 96,941 | |
| | 1,026 | | | Hotel Shilla Co., Ltd. | | | 60,591 | |
| | 9 | | | Hyundai Department Store Co., Ltd. | | | 406 | |
| | 2,491 | | | Hyundai Engineering & Construction Co., Ltd. | | | 67,448 | |
| | 569 | | | Hyundai Glovis Co., Ltd. | | | 69,360 | |
| | 330 | | | Hyundai Heavy Industries Holdings Co., Ltd. | | | 62,640 | |
| | 1,535 | | | Hyundai Marine & Fire Insurance Co., Ltd. | | | 28,479 | |
| | 14,779 | | | Hyundai Mobis Co., Ltd. | | | 2,772,183 | |
| | 4,375 | | | Hyundai Motor Co. | | | 646,307 | |
| | 2,277 | | | Hyundai Steel Co. | | | 47,847 | |
| | 7,803 | | | Industrial Bank of Korea | | | 53,000 | |
| | 1,629 | | | Kakao Corp. | | | 555,707 | |
| | 3,485 | | | Kangwon Land Inc. | | | 60,367 | |
| | 96,992 | | | KB Financial Group Inc. | | | 3,003,671 | |
| | 7,259 | | | Kia Motors Corp. | | | 258,072 | |
| | 751 | | | KMW Co., Ltd.* | | | 48,072 | |
| | 1,943 | | | Korea Aerospace Industries Ltd. | | | 36,613 | |
| | 7,576 | | | Korea Electric Power Corp. | | | 130,371 | |
| | 714 | | | Korea Gas Corp. | | | 14,163 | |
| | 1,278 | | | Korea Investment Holdings Co., Ltd. | | | 65,560 | |
| | 1,137 | | | Korea Shipbuilding & Offshore Engineering Co., Ltd.* | | | 82,215 | |
| | 258 | | | Korea Zinc Co., Ltd. | | | 86,292 | |
| | 1,980 | | | Korean Air Lines Co., Ltd.* | | | 29,003 | |
| | 23,235 | | | KT&G Corp. | | | 1,622,569 | |
| | 672 | | | Kumho Petrochemical Co., Ltd. | | | 56,609 | |
| | 1,355 | | | LG Chem Ltd. | | | 839,008 | |
| | 2,725 | | | LG Corp. | | | 189,166 | |
| | 7,331 | | | LG Display Co., Ltd. | | | 89,603 | |
| | 3,166 | | | LG Electronics Inc. | | | 223,384 | |
| | 279 | | | LG Household & Health Care Ltd. | | | 347,166 | |
| | 336 | | | LG Innotek Co., Ltd. | | | 40,799 | |
| | 6,945 | | | LG Uplus Corp. | | | 69,794 | |
| | 422 | | | Lotte Chemical Corp. | | | 67,032 | |
| | 904 | | | Lotte Corp. | | | 22,765 | |
| | 312 | | | Lotte Shopping Co., Ltd. | | | 19,927 | |
| | 8,685 | | | Meritz Securities Co., Ltd. | | | 23,328 | |
| | 8,373 | | | Mirae Asset Daewoo Co., Ltd. | | | 65,107 | |
| | 8,925 | | | NAVER Corp. | | | 2,411,720 | |
| | 2,225 | | | NCSoft Corp. | | | 1,542,674 | |
| | 529 | | | Netmarble Corp.*(a)(d) | | | 73,895 | |
| | 3,693 | | | NH Investment & Securities Co., Ltd. | | | 27,732 | |
| | 640 | | | Orion Corp. | | | 75,515 | |
| | 19 | | | Ottogi Corp. | | | 9,664 | |
| | 6,901 | | | Pan Ocean Co., Ltd.* | | | 19,671 | |
| | 177 | | | Pearl Abyss Corp.* | | | 27,069 | |
| | 2,152 | | | POSCO | | | 334,153 | |
| | 706 | | | POSCO Chemical Co., Ltd. | | | 52,548 | |
| | 1,129 | | | Posco International Corp. | | | 12,882 | |
| | 519 | | | S-1 Corp. | | | 38,052 | |
| | 474 | | | Samsung Biologics Co., Ltd.*(a) | | | 309,521 | |
| | 2,444 | | | Samsung C&T Corp. | | | 220,984 | |
| | 865 | | | Samsung Card Co., Ltd. | | | 20,945 | |
See Notes to Financial Statements.
154
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | South Korea — 9.9% — (continued) | |
| | 1,566 | | | Samsung Electro-Mechanics Co., Ltd. | | $ | 163,228 | |
| | 293,019 | | | Samsung Electronics Co., Ltd. | | | 13,326,914 | |
| | 4,498 | | | Samsung Engineering Co., Ltd.* | | | 42,573 | |
| | 938 | | | Samsung Fire & Marine Insurance Co., Ltd. | | | 147,288 | |
| | 13,465 | | | Samsung Heavy Industries Co., Ltd.* | | | 58,287 | |
| | 2,175 | | | Samsung Life Insurance Co., Ltd. | | | 111,585 | |
| | 15,570 | | | Samsung SDI Co., Ltd. | | | 5,918,185 | |
| | 1,034 | | | Samsung SDS Co., Ltd. | | | 136,540 | |
| | 2,009 | | | Samsung Securities Co., Ltd. | | | 50,731 | |
| | 519 | | | Seegene Inc. | | | 115,120 | |
| | 118,729 | | | Shinhan Financial Group Co., Ltd. | | | 2,956,948 | |
| | 241 | | | Shinsegae Inc. | | | 41,092 | |
| | 1,001 | | | SK Holdings Co., Ltd. | | | 179,646 | |
| | 98,799 | | | SK Hynix Inc. | | | 6,218,358 | |
| | 1,639 | | | SK Innovation Co., Ltd. | | | 198,779 | |
| | 1,050 | | | SK Telecom Co., Ltd. | | | 218,706 | |
| | 1,393 | | | S-Oil Corp. | | | 65,911 | |
| | 13,616 | | | Woori Financial Group Inc. | | | 97,353 | |
| | 1,290 | | | Yuhan Corp. | | | 72,698 | |
| | | | | | | | |
| | | | Total South Korea | | | 54,064,346 | |
| | | | | | | | |
|
| | Spain — 0.3% | |
| | 80,271 | | | CIE Automotive SA | | | 1,387,936 | |
| | | | | | | | |
|
| | Taiwan — 7.6% | |
| | 15,000 | | | Accton Technology Corp. | | | 119,278 | |
| | 72,000 | | | Acer Inc. | | | 57,106 | |
| | 10,777 | | | Advantech Co., Ltd. | | | 111,142 | |
| | 4,000 | | | Airtac International Group | | | 87,890 | |
| | 96,498 | | | ASE Technology Holding Co., Ltd. | | | 200,009 | |
| | 60,000 | | | Asia Cement Corp. | | | 86,571 | |
| | 1,000 | | | ASMedia Technology Inc.* | | | 60,073 | |
| | 20,000 | | | Asustek Computer Inc. | | | 165,002 | |
| | 267,000 | | | AU Optronics Corp.* | | | 94,513 | |
| | 187,000 | | | Catcher Technology Co., Ltd.(f) | | | 1,272,113 | |
| | 216,738 | | | Cathay Financial Holding Co., Ltd. | | | 293,346 | |
| | 37,088 | | | Chailease Holding Co., Ltd.(b) | | | 163,114 | |
| | 175,154 | | | Chang Hwa Commercial Bank Ltd. | | | 108,481 | |
| | 54,000 | | | Cheng Shin Rubber Industry Co., Ltd. | | | 66,033 | |
| | 17,130 | | | Chicony Electronics Co., Ltd. | | | 51,498 | |
| | 324,000 | | | China Development Financial Holding Corp. | | | 94,011 | |
| | 97,390 | | | China Life Insurance Co., Ltd. | | | 67,989 | |
| | 288,000 | | | China Steel Corp. | | | 194,409 | |
| | 489,900 | | | Chroma ATE Inc. | | | 2,677,447 | |
| | 104,000 | | | Chunghwa Telecom Co., Ltd. | | | 383,795 | |
| | 104,000 | | | Compal Electronics Inc. | | | 65,356 | |
| | 519,880 | | | CTBC Financial Holding Co., Ltd. | | | 334,828 | |
| | 56,000 | | | Delta Electronics Inc. | | | 359,304 | |
| | 320,246 | | | E.Sun Financial Holding Co., Ltd. | | | 296,029 | |
| | 5,100 | | | Eclat Textile Co., Ltd. | | | 66,970 | |
| | 66,812 | | | Eva Airways Corp. | | | 26,044 | |
| | 64,478 | | | Evergreen Marine Corp. Taiwan Ltd.* | | | 38,047 | |
| | 85,000 | | | Far Eastern New Century Corp. | | | 76,300 | |
| | 39,000 | | | Far EasTone Telecommunications Co., Ltd. | | | 81,219 | |
| | 10,920 | | | Feng TAY Enterprise Co., Ltd. | | | 63,133 | |
| | 280,198 | | | First Financial Holding Co., Ltd. | | | 202,272 | |
| | 93,000 | | | Formosa Chemicals & Fibre Corp. | | | 214,235 | |
See Notes to Financial Statements.
155
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | Taiwan — 7.6% — (continued) | |
| | 36,000 | | | Formosa Petrochemical Corp. | | $ | 100,264 | |
| | 112,000 | | | Formosa Plastics Corp. | | | 297,603 | |
| | 34,000 | | | Formosa Taffeta Co., Ltd. | | | 36,574 | |
| | 32,230 | | | Foxconn Technology Co., Ltd. | | | 57,087 | |
| | 197,000 | | | Fubon Financial Holding Co., Ltd. | | | 286,240 | |
| | 8,000 | | | Giant Manufacturing Co., Ltd. | | | 82,738 | |
| | 98,000 | | | Globalwafers Co., Ltd. | | | 1,313,629 | |
| | 19,000 | | | Highwealth Construction Corp. | | | 29,944 | |
| | 8,176 | | | Hiwin Technologies Corp. | | | 88,863 | |
| | 1,218,660 | | | Hon Hai Precision Industry Co., Ltd. | | | 3,184,455 | |
| | 9,000 | | | Hotai Motor Co., Ltd. | | | 182,115 | |
| | 259,562 | | | Hua Nan Financial Holdings Co., Ltd. | | | 159,290 | |
| | 272,000 | | | Innolux Corp.* | | | 83,971 | |
| | 79,000 | | | Inventec Corp. | | | 61,039 | |
| | 2,541 | | | Largan Precision Co., Ltd. | | | 291,330 | |
| | 61,264 | | | Lite-On Technology Corp., ADR | | | 96,686 | |
| | 43,000 | | | MediaTek Inc. | | | 812,841 | |
| | 314,000 | | | Mega Financial Holding Co., Ltd. | | | 311,710 | |
| | 17,000 | | | Micro-Star International Co., Ltd. | | | 78,088 | |
| | 151,000 | | | Nan Ya Plastics Corp. | | | 315,518 | |
| | 40,000 | | | Nanya Technology Corp. | | | 70,401 | |
| | 5,000 | | | Nien Made Enterprise Co., Ltd. | | | 57,404 | |
| | 208,000 | | | Novatek Microelectronics Corp. | | | 1,694,415 | |
| | 52,000 | | | Pegatron Corp. | | | 110,496 | |
| | 4,000 | | | Phison Electronics Corp. | | | 37,603 | |
| | 80,000 | | | Pou Chen Corp. | | | 75,173 | |
| | 24,000 | | | Powertech Technology Inc. | | | 70,357 | |
| | 177,660 | | | Poya International Co., Ltd. | | | 3,471,216 | |
| | 16,539 | | | President Chain Store Corp. | | | 152,015 | |
| | 86,000 | | | Quanta Computer Inc. | | | 224,873 | |
| | 14,000 | | | Realtek Semiconductor Corp. | | | 180,718 | |
| | 24,180 | | | Ruentex Development Co., Ltd. | | | 35,469 | |
| | 96,206 | | | Shanghai Commercial & Savings Bank Ltd. | | | 136,656 | |
| | 326,221 | | | Shin Kong Financial Holding Co., Ltd.(b) | | | 91,873 | |
| | 268,846 | | | SinoPac Financial Holdings Co., Ltd. | | | 98,574 | |
| | 15,629 | | | Standard Foods Corp. | | | 33,844 | |
| | 35,700 | | | Synnex Technology International Corp. | | | 53,036 | |
| | 275,811 | | | Taishin Financial Holding Co., Ltd. | | | 124,217 | |
| | 192,313 | | | Taiwan Business Bank | | | 65,381 | |
| | 140,980 | | | Taiwan Cement Corp. | | | 205,464 | |
| | 249,792 | | | Taiwan Cooperative Financial Holding Co., Ltd. | | | 170,189 | |
| | 60,000 | | | Taiwan High Speed Rail Corp. | | | 66,083 | |
| | 41,000 | | | Taiwan Mobile Co., Ltd. | | | 141,539 | |
| | 1,034,507 | | | Taiwan Semiconductor Manufacturing Co., Ltd. | | | 15,033,117 | |
| | 142,000 | | | Uni-President Enterprises Corp. | | | 321,685 | |
| | 336,000 | | | United Microelectronics Corp. | | | 239,968 | |
| | 23,000 | | | Vanguard International Semiconductor Corp. | | | 73,101 | |
| | 11,000 | | | Walsin Technology Corp. | | | 59,665 | |
| | 10,000 | | | Win Semiconductors Corp. | | | 96,946 | |
| | 84,000 | | | Winbond Electronics Corp. | | | 34,580 | |
| | 73,361 | | | Wistron Corp. | | | 79,402 | |
| | 76,000 | | | Wiwynn Corp. | | | 2,017,207 | |
| | 48,760 | | | WPG Holdings Ltd. | | | 68,109 | |
| | 11,188 | | | Yageo Corp. | | | 126,278 | |
| | 232,960 | | | Yuanta Financial Holding Co., Ltd. | | | 145,448 | |
| | 14,000 | | | Zhen Ding Technology Holding Ltd. | | | 58,343 | |
| | | | | | | | |
| | | | Total Taiwan | | | 41,768,387 | |
| | | | | | | | |
See Notes to Financial Statements.
156
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | Thailand — 1.6% | |
| | |
| | 33,900 | | | Advanced Info Service PCL, NVDR | | $ | 199,362 | |
| | 128,800 | | | Airports of Thailand PCL, NVDR(d) | | | 231,400 | |
| | 185,700 | | | Asset World Corp. PCL, NVDR | | | 23,586 | |
| | 20,800 | | | B Grimm Power PCL, NVDR | | | 30,894 | |
| | 16,300 | | | Bangkok Bank PCL, Class Registered Shares | | | 55,673 | |
| | 51,800 | | | Bangkok Commercial Asset Mangement PCL, NVDR | | | 38,698 | |
| | 274,800 | | | Bangkok Dusit Medical Services PCL, NVDR | | | 183,599 | |
| | 215,400 | | | Bangkok Expressway & Metro PCL, NVDR | | | 62,499 | |
| | 34,400 | | | Berli Jucker PCL, NVDR | | | 40,713 | |
| | 220,700 | | | BTS Group Holdings PCL, NVDR | | | 73,691 | |
| | 9,500 | | | Bumrungrad Hospital PCL, NVDR | | | 33,708 | |
| | 67,000 | | | Central Pattana PCL, NVDR | | | 101,037 | |
| | 59,216 | | | Central Retail Corp. PCL, NVDR | | | 56,397 | |
| | 112,900 | | | Charoen Pokphand Foods PCL, NVDR | | | 117,749 | |
| | 734,100 | | | CP ALL PCL, NVDR | | | 1,504,778 | |
| | 9,700 | | | Electricity Generating PCL, NVDR | | | 69,159 | |
| | 37,100 | | | Energy Absolute PCL, NVDR | | | 49,920 | |
| | 17,400 | | | Global Power Synergy PCL, NVDR | | | 35,711 | |
| | 64,600 | | | Gulf Energy Development PCL, NVDR | | | 65,372 | |
| | 187,100 | | | Home Product Center PCL, NVDR | | | 89,471 | |
| | 47,600 | | | Indorama Ventures PCL, NVDR | | | 36,086 | |
| | 64,400 | | | Intouch Holdings PCL, NVDR | | | 112,806 | |
| | 206,100 | | | IRPC PCL, NVDR | | | 15,448 | |
| | 455,900 | | | Kasikornbank PCL | | | 1,230,464 | |
| | 15,200 | | | Kasikornbank PCL, NVDR | | | 41,056 | |
| | 110,000 | | | Krung Thai Bank PCL, NVDR | | | 33,654 | |
| | 22,200 | | | Krungthai Card PCL, NVDR | | | 21,943 | |
| | 226,700 | | | Land and Houses PCL, NVDR | | | 53,636 | |
| | 87,700 | | | Minor International PCL, NVDR | | | 63,117 | |
| | 19,800 | | | Muangthai Capital PCL, NVDR | | | 31,618 | |
| | 22,800 | | | Osotspa PCL, NVDR | | | 28,576 | |
| | 41,400 | | | PTT Exploration & Production PCL, NVDR | | | 117,946 | |
| | 66,200 | | | PTT Global Chemical PCL, NVDR | | | 97,911 | |
| | 317,500 | | | PTT PCL, NVDR | | | 366,145 | |
| | 21,400 | | | Ratch Group PCL, NVDR | | | 38,514 | |
| | 103,000 | | | Siam Cement PCL, Class Registered Shares | | | 1,173,922 | |
| | 21,200 | | | Siam Cement PCL, NVDR | | | 240,766 | |
| | 20,000 | | | Siam Commercial Bank PCL, NVDR | | | 46,401 | |
| | 165,000 | | | Srisawad Corp. PCL | | | 243,038 | |
| | 678,174 | | | Srisawad Corp. PCL, NVDR | | | 993,942 | |
| | 1,223,000 | | | Thai Beverage PCL | | | 551,615 | |
| | 24,300 | | | Thai Oil PCL, NVDR | | | 32,259 | |
| | 92,400 | | | Thai Union Group PCL, NVDR | | | 41,796 | |
| | 1,064,476 | | | TMB Bank PCL, NVDR | | | 32,091 | |
| | 20,200 | | | Total Access Communication PCL, NVDR | | | 23,163 | |
| | 336,600 | | | True Corp. PCL, NVDR | | | 35,819 | |
| | | | | | | | |
| | | | Total Thailand | | | 8,767,149 | |
| | | | | | | | |
|
| | Turkey — 1.0% | |
| | 92,671 | | | Akbank T.A.S.* | | | 61,520 | |
| | 5,229 | | | Anadolu Efes Biracilik Ve Malt Sanayii AS | | | 13,785 | |
| | 17,844 | | | Aselsan Elektronik Sanayi Ve Ticaret AS | | | 39,340 | |
| | 221,491 | | | AvivaSA Emeklilik ve Hayat AS | | | 385,428 | |
| | 11,261 | | | BIM Birlesik Magazalar AS | | | 103,779 | |
| | 41,908 | | | Eregli Demir ve Celik Fabrikalari TAS | | | 49,523 | |
| | 1,793 | | | Ford Otomotiv Sanayi AS | | | 20,568 | |
See Notes to Financial Statements.
157
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | Turkey — 1.0% — (continued) | |
| | 27,526 | | | Haci Ömer Sabanci Holding AS | | $ | 28,910 | |
| | 22,099 | | | KOC Holding AS | | | 44,733 | |
| | 860,066 | | | MLP Saglik Hizmetleri AS, (Restricted, cost — $2,406,017, acquired 2/7/18), Class B Shares*(a)(c) | | | 1,785,478 | |
| | 882,254 | | | Sok Marketler Ticaret AS* | | | 1,539,584 | |
| | 1,041 | | | TAV Havalimanlari Holding AS | | | 2,120 | |
| | 363,100 | | | Tofas Turk Otomobil Fabrikasi AS | | | 1,106,444 | |
| | 3,542 | | | Tüpras Türkiye Petrol Rafinerileri AS* | | | 38,461 | |
| | 14,117 | | | Turk Hava Yollari AO* | | | 20,247 | |
| | 36,721 | | | Turkcell Iletisim Hizmetleri AS | | | 71,414 | |
| | 68,320 | | | Türkiye Garanti Bankasi AS* | | | 62,727 | |
| | 46,584 | | | Turkiye Is Bankasi AS, Class C Shares* | | | 31,069 | |
| | 88,209 | | | Yapi ve Kredi Bankasi AS* | | | 24,306 | |
| | | | | | | | |
| | | | Total Turkey | | | 5,429,436 | |
| | | | | | | | |
|
| | United Arab Emirates — 0.2% | |
| | 80,337 | | | Abu Dhabi Commercial Bank PJSC | | | 120,996 | |
| | 113,653 | | | Aldar Properties PJSC | | | 62,571 | |
| | 52,710 | | | Dubai Islamic Bank PJSC | | | 58,675 | |
| | 67,240 | | | Emaar Malls PJSC* | | | 25,331 | |
| | 95,193 | | | Emaar Properties PJSC* | | | 74,402 | |
| | 89,107 | | | Emirates NBD Bank PJSC | | | 261,280 | |
| | 56,256 | | | Emirates Telecommunications Group Co. PJSC | | | 253,424 | |
| | 82,601 | | | First Abu Dhabi Bank PJSC | | | 256,504 | |
| | | | | | | | |
| | | | Total United Arab Emirates | | | 1,113,183 | |
| | | | | | | | |
|
| | United Kingdom — 1.1% | |
| | 50,321 | | | Anglo American PLC | | | 1,232,728 | |
| | 72,242 | | | Mondi PLC | | | 1,410,880 | |
| | 59,488 | | | Unilever NV | | | 3,450,382 | |
| | | | | | | | |
| | | | Total United Kingdom | | | 6,093,990 | |
| | | | | | | | |
|
| | United States — 0.3% | |
| | 148,600 | | | Laureate Education Inc., Class A Shares* | | | 1,860,472 | |
| | | | | | | | |
| | | | TOTAL COMMON STOCKS
(Cost — $422,757,734) | | | 530,734,299 | |
| | | | | | | | |
|
| | PREFERRED STOCKS — 0.7% | |
|
| | Brazil — 0.5% | |
| | 123,497 | | | Banco Bradesco SA, Class Preferred Shares | | | 467,421 | |
| | 4,801 | | | Braskem SA, Class Preferred A Shares | | | 18,653 | |
| | 7,736 | | | Centrais Eletricas Brasileiras SA, Class Preferred B Shares | | | 50,668 | |
| | 29,912 | | | Cia Energetica de Minas Gerais, Class Preferred Shares | | | 57,480 | |
| | 2,480 | | | Cia Paranaense de Energia, Class Preferred B Shares | | | 27,960 | |
| | 31,169 | | | Gerdau SA, Class Preferred Shares | | | 108,586 | |
| | 137,934 | | | Itau Unibanco Holding SA, Class Preferred Shares | | | 592,796 | |
| | 127,793 | | | Itausa SA, Class Preferred Shares | | | 219,919 | |
| | 27,544 | | | Lojas Americanas SA, Class Preferred Shares | | | 162,207 | |
| | 139,981 | | | Petroleo Brasileiro SA, Class Preferred Shares | | | 559,188 | |
| | 13,071 | | | Telefonica Brasil SA, Class Preferred Shares | | | 114,115 | |
| | | | | | | | |
| | | | Total Brazil | | | 2,378,993 | |
| | | | | | | | |
|
| | Chile — 0.0% | |
| | 10,869 | | | Embotelladora Andina SA, Class Preferred B Shares | | | 23,153 | |
| | 2,971 | | | Sociedad Quimica y Minera de Chile SA, Class Preferred B Shares | | | 92,879 | |
| | | | | | | | |
| | | | Total Chile | | | 116,032 | |
| | | | | | | | |
See Notes to Financial Statements.
158
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| | Colombia — 0.0% | |
| | 13,625 | | | Bancolombia SA, Class Preferred Shares | | $ | 97,395 | |
| | | | | | | | |
|
| | Russia — 0.0% | |
| | 212,363 | | | Surgutneftegas PJSC, Class Preferred Shares | | | 106,634 | |
| | | | | | | | |
|
| | South Korea — 0.2% | |
| | 521 | | | Amorepacific Corp., Class Preferred Shares | | | 26,196 | |
| | 1,024 | | | Hyundai Motor Co., Class Preferred 2nd Shares | | | 75,809 | |
| | 565 | | | Hyundai Motor Co., Class Preferred Shares | | | 41,187 | |
| | 157 | | | LG Chem Ltd., Class Preferred Shares | | | 49,207 | |
| | 55 | | | LG Household & Health Care Ltd., Class Preferred Shares | | | 32,392 | |
| | 23,374 | | | Samsung Electronics Co., Ltd., Class Preferred Shares | | | 930,814 | |
| | | | | | | | |
| | | | Total South Korea | | | 1,155,605 | |
| | | | | | | | |
| | | | TOTAL PREFERRED STOCKS
(Cost — $4,025,181) | | | 3,854,659 | |
| | | | | | | | |
|
| | RIGHTS — 0.0% | |
|
| | China — 0.0% | |
| | 1,176 | | | Legend Holdings Corp.*(b)(f) | | | 1,733 | |
| | | | | | | | |
|
| | Thailand — 0.0% | |
| | 6,460 | | | Gulf Energy Development PCL, NVDR*(f) | | | 312 | |
| | | | | | | | |
| | | | TOTAL RIGHTS
(Cost — $0) | | | 2,045 | |
| | | | | | | | |
|
| | WARRANTS — 0.0% | |
|
| | Thailand — 0.0% | |
| | 22,070 | | | BTS Group Holdings PCL, expires 2/16/21*(f) | | | — | |
| | 39,806 | | | Srisawad Corp. PCL, expires 6/23/26*(b)(f) | | | 12,741 | |
| | | | | | | | |
| | | | Total Thailand | | | 12,741 | |
| | | | | | | | |
| | | | TOTAL WARRANTS
(Cost — $0) | | | 12,741 | |
| | | | | | | | |
| | | | TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS
(Cost — $426,782,915) | | | 534,603,744 | |
| | | | | | | | |
| | |
Face
Amount† | | | | | | |
|
| | SHORT-TERM INVESTMENTS (g) — 3.9% | |
|
| | MONEY MARKET FUND — 1.4% | |
| $ | 7,604,720 | | | Invesco STIT — Government & Agency Portfolio, 0.028%, Institutional Class(h)
(Cost — $7,604,720) | | | 7,604,720 | |
| | | | | | | | |
|
| | TIME DEPOSITS — 2.5% | |
| | 1,809,618 | | | ANZ National Bank — London, 0.010% due 9/1/20 | | | 1,809,618 | |
| | 2,687,097 | | | Barclays Bank PLC — London, 0.010% due 9/1/20 | | | 2,687,097 | |
| | | | BBH — Grand Cayman: | | | | |
| | 10 | GBP | | 0.010% due 9/1/20 | | | 13 | |
| | 2 | SGD | | 0.010% due 9/1/20 | | | 2 | |
| | 21,465 | | | 0.010% due 9/1/20 | | | 21,465 | |
| | 134,224 | HKD | | 0.150% due 9/1/20 | | | 17,319 | |
| | 2,442 | ZAR | | 4.500% due 9/1/20 | | | 144 | |
| | | | BNP Paribas — Paris: | | | | |
| | 36,884 | EUR | | (0.690)% due 9/1/20 | | | 44,018 | |
| | 775,660 | HKD | | 0.150% due 9/1/20 | | | 100,083 | |
| | 622,810 | ZAR | | 4.500% due 9/1/20 | | | 36,743 | |
| | 488,698 | HKD | | HSBC Bank — Hong Kong, 0.150% due 9/1/20 | | | 63,057 | |
See Notes to Financial Statements.
159
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
Face
Amount† | | | Security | | Value | |
|
| | TIME DEPOSITS — 2.5% — (continued) | |
| $ | 7,868,560 | | | JPMorgan Chase & Co. — New York, 0.010% due 9/1/20 | | $ | 7,868,560 | |
| | 1,011,925 | | | Sumitomo Mitsui Banking Corp. — Tokyo, 0.010% due 9/1/20 | | | 1,011,925 | |
| | | | | | | | |
| | | | TOTAL TIME DEPOSITS
(Cost — $13,660,044) | | | 13,660,044 | |
| | | | | | | | |
| | | | TOTAL SHORT-TERM INVESTMENTS
(Cost — $21,264,764) | | | 21,264,764 | |
| | | | | | | | |
| | | | TOTAL INVESTMENTS — 101.4%
(Cost — $448,047,679) | | | 555,868,508 | |
| | | | | | | | |
| | | | Liabilities in Excess of Other Assets — (1.4)% | | | (7,455,697 | ) |
| | | | | | | | |
| | | | TOTAL NET ASSETS — 100.0% | | $ | 548,412,811 | |
| | | | | | | | |
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
| * | 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, 2020, amounts to $28,525,799 and represents 5.2% of net assets. |
| (c) | The aggregate value of restricted securities (excluding 144A holdings) at August 31, 2020, amounts to $34,937,936 and represents 6.4% of net assets. |
| (d) | All or a portion of this security is on loan (See Note 1). |
| (e) | Security trades on the Hong Kong exchange. |
| (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 investments of collateral received from securities lending transactions. Excluding such collateral, the percentage of portfolio holdings would be 2.5%. |
| (h) | Represents investments of collateral received from securities lending transactions. |
At August 31, 2020, 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 | | $ | 461,525,446 | | | $ | 152,822,587 | | | $ | (57,980,405 | ) | | $ | 94,842,182 | |
| | |
Abbreviations used in this schedule: |
| ADR | | — American Depositary Receipts |
| GDR | | — Global Depositary Receipt |
| NVDR | | — Non Voting Depository Receipt |
| PCL | | — Public Company Limited |
| PLC | | — Public Limited Company |
| REIT | | — Real Estate Investment Trust |
See Notes to Financial Statements.
160
| | | | |
| Emerging Markets Equity Fund |
| | | | |
| Summary of Investments by Security Sector^ | |
Financials | | | | |
Banks | | | 15.3 | % |
Insurance | | | 3.9 | |
Consumer Finance | | | 0.9 | |
Other | | | 0.9 | |
Consumer Discretionary | | | 19.4 | |
Information Technology | | | 16.0 | |
Communication Services | | | 13.0 | |
Industrials | | | 5.1 | |
Consumer Staples | | | 5.1 | |
Materials | | | 5.0 | |
Energy | | | 5.0 | |
Health Care | | | 5.0 | |
Real Estate | | | 1.9 | |
Utilities | | | 1.0 | |
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, 2020, Emerging Markets Equity Fund had open exchange-traded futures contracts as described below.
The unrealized appreciation on the open contracts reflected in the accompanying financial statements were as follows:
| | | | | | | | | | | | | | | | | | | | |
| Open Futures Contracts | | Number of
Contracts | | | Expiration
Date
(Month/Year) | | | Notional
Amount | | | Market Value | | | Unrealized
Appreciation | |
| Contracts to Buy: | | | | | | | | | | | | | | | | | | | | |
MSCI Emerging Markets E-mini Index September Futures | | | 32 | | | | 9/20 | | | $ | 1,626,211 | | | $ | 1,760,640 | | | $ | 134,429 | |
| | | | | | | | | | | | | | | | | | | | |
At August 31, 2020, Emerging Markets Equity Fund had deposited cash of $182,994 with a broker or brokers as margin collateral on an open exchange-traded futures contracts.
| | |
Currency Abbreviations used in this schedule: |
| EUR | | — Euro |
| GBP | | — British Pound |
| HKD | | — Hong Kong Dollar |
| SGD | | — Singapore Dollar |
| ZAR | | — South African Rand |
See Notes to Financial Statements.
161
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | CORPORATE BONDS & NOTES — 35.8% | |
|
| | Advertising — 0.0% | |
| $ | 40,000 | | | BBB | | Interpublic Group of Cos., Inc. (The), Senior Unsecured Notes, 3.500% due 10/1/20 | | $ | 40,101 | |
| | 10,000 | | | BBB+ | | Omnicom Group Inc./Omnicom Capital Inc., Senior Unsecured Notes, 3.650% due 11/1/24 | | | 11,085 | |
| | | | | | | | | | |
| | | | | | Total Advertising | | | 51,186 | |
| | | | | | | | | | |
|
| | Aerospace/Defense — 1.1% | |
| | | | | | BAE Systems Holdings Inc., Company Guaranteed Notes: | | | | |
| | 105,000 | | | BBB | | 2.850% due 12/15/20(a) | | | 105,509 | |
| | 205,000 | | | BBB | | 3.800% due 10/7/24(a) | | | 228,418 | |
| | 600,000 | | | BBB | | 3.850% due 12/15/25(a) | | | 679,002 | |
| | | | | | Boeing Co. (The), Senior Unsecured Notes: | | | | |
| | 332,000 | | | BBB- | | 4.508% due 5/1/23 | | | 350,869 | |
| | 731,000 | | | BBB- | | 4.875% due 5/1/25 | | | 796,246 | |
| | 50,000 | | | BBB- | | 3.100% due 5/1/26 | | | 50,115 | |
| | 70,000 | | | BBB- | | 2.700% due 2/1/27 | | | 68,035 | |
| | 60,000 | | | BBB- | | 2.800% due 3/1/27 | | | 58,462 | |
| | 260,000 | | | BBB- | | 3.200% due 3/1/29 | | | 258,197 | |
| | 250,000 | | | BBB- | | 5.150% due 5/1/30 | | | 280,700 | |
| | 440,000 | | | BBB- | | 3.250% due 2/1/35 | | | 413,595 | |
| | 40,000 | | | BBB- | | 3.550% due 3/1/38 | | | 36,273 | |
| | 210,000 | | | BBB- | | 5.705% due 5/1/40 | | | 244,626 | |
| | 140,000 | | | BBB- | | 3.750% due 2/1/50 | | | 126,074 | |
| | 490,000 | | | BBB- | | 5.805% due 5/1/50 | | | 589,204 | |
| | 20,000 | | | BBB- | | 3.825% due 3/1/59 | | | 17,660 | |
| | 150,000 | | | BBB- | | 5.930% due 5/1/60 | | | 184,225 | |
| | | | | | General Dynamics Corp., Company Guaranteed Notes: | | | | |
| | 121,000 | | | A | | 3.500% due 4/1/27 | | | 138,698 | |
| | 395,000 | | | A | | 3.750% due 5/15/28 | | | 465,399 | |
| | 10,000 | | | A | | 4.250% due 4/1/40 | | | 12,655 | |
| | 70,000 | | | A | | 4.250% due 4/1/50 | | | 91,663 | |
| | | | | | L3 Technologies Inc., Company Guaranteed Notes: | | | | |
| | 35,000 | | | BBB | | 3.950% due 5/28/24 | | | 36,846 | |
| | 320,000 | | | BBB | | 3.850% due 12/15/26 | | | 343,608 | |
| | | | | | L3Harris Technologies Inc., Senior Unsecured Notes: | | | | |
| | 595,000 | | | BBB | | 3.850% due 12/15/26 | | | 686,833 | |
| | 600,000 | | | BBB | | 4.400% due 6/15/28 | | | 717,458 | |
| | 60,000 | | | BBB | | 5.054% due 4/27/45 | | | 80,490 | |
| | | | | | Lockheed Martin Corp., Senior Unsecured Notes: | | | | |
| | 30,000 | | | A- | | 3.100% due 1/15/23 | | | 31,799 | |
| | 170,000 | | | A- | | 3.550% due 1/15/26 | | | 194,649 | |
| | 40,000 | | | A- | | 4.500% due 5/15/36 | | | 51,836 | |
| | 24,000 | | | A- | | 3.800% due 3/1/45 | | | 29,367 | |
| | 106,000 | | | A- | | 4.700% due 5/15/46 | | | 145,545 | |
| | 154,000 | | | A- | | 2.800% due 6/15/50 | | | 163,363 | |
| | | | | | Northrop Grumman Corp., Senior Unsecured Notes: | | | | |
| | 80,000 | | | BBB | | 2.080% due 10/15/20 | | | 80,174 | |
| | 761,000 | | | BBB | | 2.930% due 1/15/25 | | | 831,012 | |
| | 340,000 | | | BBB | | 3.250% due 1/15/28 | | | 385,122 | |
| | 82,000 | | | BBB | | 4.400% due 5/1/30 | | | 101,625 | |
| | 114,000 | | | BBB | | 4.030% due 10/15/47 | | | 139,576 | |
| | 110,000 | | | BBB | | 5.250% due 5/1/50 | | | 158,731 | |
| | | | | | Raytheon Co., Senior Unsecured Notes: | | | | |
| | 40,000 | | | A- | | 7.200% due 8/15/27 | | | 53,861 | |
| | 24,000 | | | A- | | 7.000% due 11/1/28 | | | 33,202 | |
| | 55,000 | | | A- | | 4.200% due 12/15/44 | | | 63,796 | |
See Notes to Financial Statements.
162
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Aerospace/Defense — 1.1% — (continued) | |
| | | | | | Raytheon Technologies Corp., Senior Unsecured Notes: | | | | |
| $ | 70,000 | | | A- | | 3.150% due 12/15/24(a) | | $ | 76,277 | |
| | 120,000 | | | A- | | 3.950% due 8/16/25 | | | 137,559 | |
| | 252,000 | | | A- | | 4.125% due 11/16/28 | | | 300,573 | |
| | 484,000 | | | A- | | 2.250% due 7/1/30 | | | 512,544 | |
| | 190,000 | | | A- | | 4.500% due 6/1/42 | | | 241,917 | |
| | 38,000 | | | A- | | 4.150% due 5/15/45 | | | 46,159 | |
| | 25,000 | | | A- | | 3.750% due 11/1/46 | | | 28,921 | |
| | 76,000 | | | A- | | 4.050% due 5/4/47 | | | 92,055 | |
| | | | | | Rockwell Collins Inc., Senior Unsecured Notes: | | | | |
| | 40,000 | | | A- | | 3.100% due 11/15/21 | | | 40,900 | |
| | 20,000 | | | A- | | 2.800% due 3/15/22 | | | 20,507 | |
| | | | | | | | | | |
| | | | | | Total Aerospace/Defense | | | 11,021,930 | |
| | | | | | | | | | |
|
| | Agriculture — 0.8% | |
| | | | | | Altria Group Inc., Company Guaranteed Notes: | | | | |
| | 130,000 | | | BBB | | 4.750% due 5/5/21 | | | 133,937 | |
| | 60,000 | | | BBB | | 3.490% due 2/14/22 | | | 62,614 | |
| | 70,000 | | | BBB | | 3.800% due 2/14/24 | | | 76,841 | |
| | 40,000 | | | BBB | | 2.350% due 5/6/25 | | | 42,522 | |
| | 250,000 | | | BBB | | 4.400% due 2/14/26 | | | 289,970 | |
| | 611,000 | | | BBB | | 4.800% due 2/14/29 | | | 731,015 | |
| | 424,000 | | | BBB | | 5.800% due 2/14/39 | | | 541,039 | |
| | 80,000 | | | BBB | | 3.875% due 9/16/46 | | | 83,653 | |
| | 730,000 | | | BBB | | 5.950% due 2/14/49 | | | 993,945 | |
| | 130,000 | | | BBB | | 6.200% due 2/14/59 | | | 178,377 | |
| | | | | | BAT Capital Corp., Company Guaranteed Notes: | | | | |
| | 15,000 | | | BBB+ | | 3.215% due 9/6/26 | | | 16,301 | |
| | 880,000 | | | BBB+ | | 3.557% due 8/15/27 | | | 964,438 | |
| | 1,145,000 | | | BBB+ | | 4.540% due 8/15/47 | | | 1,247,452 | |
| | 150,000 | | | A | | Cargill Inc., Senior Unsecured Notes, 1.375% due 7/23/23(a) | | | 153,630 | |
| | | | | | Philip Morris International Inc., Senior Unsecured Notes: | | | | |
| | 190,000 | | | A | | 2.900% due 11/15/21 | | | 195,945 | |
| | 110,000 | | | A | | 2.500% due 11/2/22 | | | 114,852 | |
| | 200,000 | | | A | | 1.125% due 5/1/23 | | | 203,527 | |
| | 100,000 | | | A | | 2.100% due 5/1/30 | | | 103,908 | |
| | 60,000 | | | A | | 4.500% due 3/20/42 | | | 73,964 | |
| | | | | | Reynolds American Inc., Company Guaranteed Notes: | | | | |
| | 75,000 | | | BBB+ | | 4.000% due 6/12/22 | | | 79,520 | |
| | 80,000 | | | BBB+ | | 4.450% due 6/12/25 | | | 91,159 | |
| | 818,000 | | | BBB+ | | 5.850% due 8/15/45 | | | 1,017,640 | |
| | | | | | | | | | |
| | | | | | Total Agriculture | | | 7,396,249 | |
| | | | | | | | | | |
|
| | Airlines — 0.4% | |
| | 50,266 | | | A2(b) | | Air Canada Class AA Pass-Through Trust, Pass-Thru Certificates, 3.300% due 1/15/30(a) | | | 46,991 | |
| | 25,067 | | | BB | | Air Canada Class B Pass-Through Trust, Pass-Thru Certificates, 5.000% due 12/15/23(a) | | | 20,626 | |
| | 178,808 | | | B | | American Airlines Class A Pass-Through Trust, Series 2013-2, Pass-Thru Certificates, 4.950% due 1/15/23 | | | 145,357 | |
| | 41,338 | | | A | | American Airlines Class AA Pass-Through Trust, Series 2015-2, Pass-Thru Certificates, 3.600% due 9/22/27 | | | 39,280 | |
| | 323,748 | | | A+ | | American Airlines Class AA Pass-Through Trust, Series 2016-1, Pass-Thru Certificates, 3.575% due 1/15/28 | | | 313,697 | |
| | 46,592 | | | A+ | | American Airlines Class AA Pass-Through Trust, Series 2016-2, Pass-Thru Certificates, 3.200% due 6/15/28 | | | 43,828 | |
| | 98,231 | | | A+ | | American Airlines Class AA Pass-Through Trust, Series 2016-3, Pass-Thru Certificates, 3.000% due 10/15/28 | | | 91,937 | |
See Notes to Financial Statements.
163
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Airlines — 0.4% — (continued) | |
| $ | 39,780 | | | Baa1(b) | | American Airlines Class AA Pass-Through Trust, Series 2017-1, Pass-Thru Certificates, 3.650% due 2/15/29 | | $ | 38,196 | |
| | 107,598 | | | BBB | | American Airlines Class B Pass-Through Trust, Series 2013-1, Pass-Thru Certificates, 5.625% due 1/15/21(a) | | | 93,931 | |
| | 121,842 | | | BB | | American Airlines Class B Pass-Through Trust, Series 2015-2, Pass-Thru Certificates, 4.400% due 9/22/23 | | | 88,942 | |
| | 85,381 | | | BB | | American Airlines Class B Pass-Through Trust, Series 2016-1, Pass-Thru Certificates, 5.250% due 1/15/24 | | | 58,826 | |
| | 68,500 | | | BB+ | | American Airlines Class B Pass-Through Trust, Series 2016-2, Pass-Thru Certificates, 4.375% due 6/15/24(a) | | | 49,413 | |
| | 779 | | | BB+ | | American Airlines Class B Pass-Through Trust, Series 2016-3, Pass-Thru Certificates, 3.750% due 10/15/25 | | | 544 | |
| | 53,631 | | | Ba2(b) | | American Airlines Class B Pass-Through Trust, Series 2017-1, Pass-Thru Certificates, 4.950% due 2/15/25 | | | 38,075 | |
| | 23,934 | | | Ba2(b) | | American Airlines Class B Pass-Through Trust, Series 2017-2, Pass-Thru Certificates, 3.700% due 10/15/25 | | | 16,404 | |
| | 284,814 | | | BBB | | British Airways 2019-1 Class A Pass-Through Trust, Pass-Thru Certificates, 3.350% due 6/15/29(a) | | | 238,516 | |
| | 80,000 | | | A+ | | Delta Air Lines 2020-1 Class AA Pass Through Trust, Pass-Thru Certificates, 2.000% due 6/10/28 | | | 78,229 | |
| | | | | | Delta Air Lines Inc.: | | | | |
| | 870,000 | | | BBB- | | Senior Secured Notes, 7.000% due 5/1/25(a) | | | 953,663 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 220,000 | | | BB- | | 3.400% due 4/19/21 | | | 220,546 | |
| | 120,000 | | | BB- | | 3.625% due 3/15/22 | | | 119,342 | |
| | 50,000 | | | BB- | | 3.800% due 4/19/23 | | | 48,068 | |
| | 180,000 | | | BB- | | 2.900% due 10/28/24 | | | 165,389 | |
| | 270,000 | | | BB- | | 7.375% due 1/15/26 | | | 281,343 | |
| | 170,000 | | | Baa3(b) | | Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., Senior Secured Notes, 6.500% due 6/20/27(a) | | | 177,225 | |
| | 221,760 | | | BB | | Northwest Airlines Inc. Class A-1 Pass-Through Trust, Series 2001-1, Pass-Thru Certificates, 7.041% due 4/1/22 | | | 213,234 | |
| | 45,000 | | | BBB | | Southwest Airlines Co., Senior Unsecured Notes, 2.750% due 11/16/22 | | | 46,194 | |
| | | | | | United Airlines Class AA Pass-Through Trust, Pass-Thru Certificates: | | | | |
| | 33,877 | | | A+ | | 3.450% due 12/1/27 | | | 33,146 | |
| | 4,209 | | | A1(b) | | 3.100% due 7/7/28 | | | 4,106 | |
| | 45,996 | | | A1(b) | | 2.875% due 10/7/28 | | | 43,209 | |
| | 18,661 | | | A1(b) | | 3.500% due 3/1/30 | | | 17,594 | |
| | 56,271 | | | A1(b) | | 4.150% due 8/25/31 | | | 56,088 | |
| | 85,000 | | | A1(b) | | 2.700% due 5/1/32 | | | 78,863 | |
| | | | | | United Airlines Class B Pass-Through Trust, Pass-Thru Certificates: | | | | |
| | 35,427 | | | BB+ | | 4.750% due 4/11/22 | | | 31,210 | |
| | 51,698 | | | BB+ | | 4.625% due 9/3/22 | | | 46,730 | |
| | 4,715 | | | Baa2(b) | | 3.650% due 10/7/25 | | | 3,520 | |
| | 14,932 | | | Baa2(b) | | 3.650% due 1/7/26 | | | 11,269 | |
| | 96,000 | | | Baa2(b) | | 3.500% due 5/1/28 | | | 69,477 | |
| | 130,565 | | | BBB | | US Airways Class G Pass-Through Trust, Series 2001-1, Pass-Thru Certificates, 7.076% due 3/20/21 | | | 124,167 | |
| | | | | | | | | | |
| | | | | | Total Airlines | | | 4,147,175 | |
| | | | | | | | | | |
|
| | Apparel — 0.1% | |
| | | | | | Hanesbrands Inc., Company Guaranteed Notes: | | | | |
| | 10,000 | | | BB | | 4.625% due 5/15/24(a) | | | 10,526 | |
| | 70,000 | | | BB | | 4.875% due 5/15/26(a) | | | 76,343 | |
| | 90,000 | | | BB+ | | Levi Strauss & Co., Senior Unsecured Notes, 5.000% due 5/1/25 | | | 92,353 | |
See Notes to Financial Statements.
164
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Apparel — 0.1% — (continued) | |
| | | | | | NIKE Inc., Senior Unsecured Notes: | | | | |
| $ | 40,000 | | | AA- | | 2.400% due 3/27/25 | | $ | 43,193 | |
| | 312,000 | | | AA- | | 2.750% due 3/27/27 | | | 346,816 | |
| | 140,000 | | | AA- | | 2.850% due 3/27/30 | | | 156,627 | |
| | 100,000 | | | AA- | | 3.250% due 3/27/40 | | | 112,941 | |
| | 350,000 | | | AA- | | 3.375% due 3/27/50 | | | 404,022 | |
| | | | | | | | | | |
| | | | | | Total Apparel | | | 1,242,821 | |
| | | | | | | | | | |
|
| | Auto Manufacturers — 1.2% | |
| | 65,000 | | | A- | | American Honda Finance Corp., Senior Unsecured Notes, 2.900% due 2/16/24 | | | 69,697 | |
| | 9,000 | | | A | | BMW US Capital LLC, Company Guaranteed Notes, 2.800% due 4/11/26(a) | | | 9,784 | |
| | | | | | Daimler Finance North America LLC, Company Guaranteed Notes: | | | | |
| | 160,000 | | | BBB+ | | 2.125% due 3/10/25(a) | | | 165,687 | |
| | 150,000 | | | BBB+ | | 3.300% due 5/19/25(a) | | | 163,855 | |
| | | | | | Ford Motor Co., Senior Unsecured Notes: | | | | |
| | 40,000 | | | BB+ | | 8.500% due 4/21/23 | | | 44,280 | |
| | 40,000 | | | BB+ | | 9.000% due 4/22/25 | | | 46,862 | |
| | 30,000 | | | BB+ | | 4.750% due 1/15/43 | | | 27,844 | |
| | | | | | Ford Motor Credit Co. LLC, Senior Unsecured Notes: | | | | |
| | 420,000 | | | BB+ | | 2.343% due 11/2/20 | | | 419,738 | |
| | 200,000 | | | BB+ | | 3.200% due 1/15/21 | | | 200,500 | |
| | 155,000 | | | BB+ | | 5.750% due 2/1/21 | | | 157,130 | |
| | 50,000 | | | BB+ | | 3.336% due 3/18/21 | | | 50,188 | |
| | 1,515,000 | | | BB+ | | 1.114% (3-Month USD-LIBOR + 0.810%) due 4/5/21(c) | | | 1,492,441 | |
| | 440,000 | | | BB+ | | 1.146% (3-Month USD-LIBOR + 0.880%) due 10/12/21(c) | | | 424,588 | |
| | 470,000 | | | BB+ | | 3.339% due 3/28/22 | | | 472,844 | |
| | 1,250,000 | | | BB+ | | 1.331% (3-Month USD-LIBOR + 1.080%) due 8/3/22(c) | | | 1,178,800 | |
| | | | | | General Motors Co., Senior Unsecured Notes: | | | | |
| | 70,000 | | | BBB | | 5.400% due 10/2/23 | | | 77,683 | |
| | 110,000 | | | BBB | | 6.125% due 10/1/25 | | | 129,250 | |
| | 250,000 | | | BBB | | 6.250% due 10/2/43 | | | 292,052 | |
| | 455,000 | | | BBB | | 5.200% due 4/1/45 | | | 493,624 | |
| | | | | | General Motors Financial Co., Inc.: | | | | |
| | | | | | Company Guaranteed Notes: | | | | |
| | 230,000 | | | BBB | | 2.450% due 11/6/20 | | | 230,680 | |
| | 25,000 | | | BBB | | 3.550% due 4/9/21 | | | 25,423 | |
| | 760,000 | | | BBB | | 3.200% due 7/6/21 | | | 772,226 | |
| | 592,000 | | | BBB | | 4.375% due 9/25/21 | | | 612,403 | |
| | 110,000 | | | BBB | | 3.450% due 4/10/22 | | | 113,256 | |
| | 152,000 | | | BBB | | 3.150% due 6/30/22 | | | 156,666 | |
| | 100,000 | | | BBB | | 3.700% due 5/9/23 | | | 104,871 | |
| | 161,000 | | | BBB | | 3.950% due 4/13/24 | | | 172,028 | |
| | 80,000 | | | BBB | | 3.500% due 11/7/24 | | | 84,695 | |
| | 100,000 | | | BBB | | 4.350% due 1/17/27 | | | 108,536 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 630,000 | | | BBB | | 4.200% due 11/6/21 | | | 651,651 | |
| | 570,000 | | | BBB | | 5.200% due 3/20/23 | | | 622,202 | |
| | 42,000 | | | BBB | | 2.750% due 6/20/25 | | | 43,438 | |
| | | | | | Hyundai Capital America, Senior Unsecured Notes: | | | | |
| | 218,000 | | | BBB+ | | 3.000% due 10/30/20(a) | | | 218,761 | |
| | 10,000 | | | BBB+ | | 3.750% due 7/8/21(a) | | | 10,227 | |
| | 250,000 | | | BBB+ | | 3.950% due 2/1/22(a) | | | 260,190 | |
| | 412,000 | | | BBB+ | | 2.375% due 2/10/23(a) | | | 423,359 | |
| | | | | | Hyundai Capital Services Inc., Senior Unsecured Notes: | | | | |
| | 200,000 | | | BBB+ | | 3.000% due 8/29/22(a) | | | 207,329 | |
| | 200,000 | | | BBB+ | | 3.750% due 3/5/23(a) | | | 212,454 | |
See Notes to Financial Statements.
165
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Auto Manufacturers — 1.2% — (continued) | |
| $ | 20,000 | | | BBB- | | Nissan Motor Acceptance Corp., Senior Unsecured Notes, 3.650% due 9/21/21(a) | | $ | 20,268 | |
| | | | | | Toyota Motor Credit Corp., Senior Unsecured Notes: | | | | |
| | 30,000 | | | A+ | | 3.450% due 9/20/23 | | | 32,705 | |
| | 268,000 | | | A+ | | 3.000% due 4/1/25 | | | 295,136 | |
| | 200,000 | | | BBB+ | | Volkswagen Group of America Finance LLC, Company Guaranteed Notes, 4.000% due 11/12/21(a) | | | 208,163 | |
| | | | | | | | | | |
| | | | | | Total Auto Manufacturers | | | 11,503,514 | |
| | | | | | | | | | |
|
| | Auto Parts & Equipment — 0.0% | |
| | 155,000 | | | A- | | Magna International Inc., Senior Unsecured Notes, 2.450% due 6/15/30 | | | 164,536 | |
| | | | | | | | | | |
|
| | Banks — 8.9% | |
| | | | | | Banco Santander SA, Senior Unsecured Notes: | | | | |
| | 200,000 | | | A- | | 3.848% due 4/12/23 | | | 215,365 | |
| | 400,000 | | | A | | 2.706% due 6/27/24 | | | 427,004 | |
| | 600,000 | | | A- | | 2.746% due 5/28/25 | | | 638,686 | |
| | 600,000 | | | A- | | 4.379% due 4/12/28 | | | 687,984 | |
| | 200,000 | | | A | | 3.306% due 6/27/29 | | | 219,023 | |
| | | | | | Bank of America Corp.: | | | | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 488,000 | | | A- | | 2.738% (3-Month USD-LIBOR + 0.370%) due 1/23/22(c) | | | 492,468 | |
| | 210,000 | | | A- | | 2.816% (3-Month USD-LIBOR + 0.930%) due 7/21/23(c) | | | 218,659 | |
| | 923,000 | | | A- | | 3.004% (3-Month USD-LIBOR + 0.790%) due 12/20/23(c) | | | 973,011 | |
| | 490,000 | | | A- | | 4.125% due 1/22/24 | | | 548,423 | |
| | 1,380,000 | | | A- | | 3.550% (3-Month USD-LIBOR + 0.780%) due 3/5/24(c) | | | 1,477,983 | |
| | 280,000 | | | A- | | 4.000% due 4/1/24 | | | 312,731 | |
| | 54,000 | | | A- | | 3.366% (3-Month USD-LIBOR + 0.810%) due 1/23/26(c) | | | 59,423 | |
| | 210,000 | | | A- | | 3.500% due 4/19/26 | | | 238,443 | |
| | 2,000 | | | A- | | 3.559% (3-Month USD-LIBOR + 1.060%) due 4/23/27(c) | | | 2,250 | |
| | 643,000 | | | A- | | 3.824% (3-Month USD-LIBOR + 1.575%) due 1/20/28(c) | | | 732,258 | |
| | 419,000 | | | A- | | 3.705% (3-Month USD-LIBOR + 1.512%) due 4/24/28(c) | | | 475,573 | |
| | 350,000 | | | A- | | 3.593% (3-Month USD-LIBOR + 1.370%) due 7/21/28(c) | | | 395,224 | |
| | 620,000 | | | A- | | 3.419% (3-Month USD-LIBOR + 1.040%) due 12/20/28(c) | | | 693,880 | |
| | 363,000 | | | A- | | 3.970% (3-Month USD-LIBOR + 1.070%) due 3/5/29(c) | | | 418,779 | |
| | 500,000 | | | A- | | 3.974% (3-Month USD-LIBOR + 1.210%) due 2/7/30(c) | | | 584,679 | |
| | 676,000 | | | A- | | 3.194% (3-Month USD-LIBOR + 1.180%) due 7/23/30(c) | | | 751,883 | |
| | 250,000 | | | A- | | 2.884% (3-Month USD-LIBOR + 1.190%) due 10/22/30(c) | | | 272,292 | |
| | 329,000 | | | A- | | 2.496% (3-Month USD-LIBOR + 0.990%) due 2/13/31(c) | | | 347,195 | |
| | 245,000 | | | A- | | 2.592% (SOFR + 2.150%) due 4/29/31(c) | | | 261,583 | |
| | 234,000 | | | A- | | 2.676% (SOFR + 1.930%) due 6/19/41(c) | | | 239,785 | |
| | 240,000 | | | A- | | 5.000% due 1/21/44 | | | 333,687 | |
| | 710,000 | | | A- | | 4.330% (3-Month USD-LIBOR + 1.520%) due 3/15/50(c) | | | 919,907 | |
| | 520,000 | | | A- | | 4.083% (3-Month USD-LIBOR + 3.150%) due 3/20/51(c) | | | 653,573 | |
| | | | | | Subordinated Notes: | | | | |
| | 775,000 | | | BBB+ | | 4.200% due 8/26/24 | | | 869,193 | |
| | 1,082,000 | | | BBB+ | | 4.000% due 1/22/25 | | | 1,213,303 | |
| | 123,000 | | | BBB+ | | 4.450% due 3/3/26 | | | 142,679 | |
| | 20,000 | | | BBB+ | | 4.250% due 10/22/26 | | | 23,187 | |
| | 143,000 | | | BBB+ | | 4.183% due 11/25/27 | | | 165,115 | |
| | | | | | Bank of Montreal: | | | | |
| | 300,000 | | | A- | | Senior Unsecured Notes, 1.850% due 5/1/25 | | | 315,309 | |
| | 50,000 | | | BBB+ | | Subordinated Notes, 3.803% (5-Year USD Swap Rate + 1.432%) due 12/15/32(c) | | | 55,457 | |
| | | | | | Bank of New York Mellon Corp. (The), Senior Unsecured Notes: | | | | |
| | 195,000 | | | A | | 3.400% due 5/15/24 | | | 215,527 | |
| | 90,000 | | | A | | 1.600% due 4/24/25 | | | 94,004 | |
| | 115,000 | | | A | | 3.250% due 5/16/27 | | | 130,595 | |
| | 170,000 | | | A- | | Bank of Nova Scotia (The), Senior Unsecured Notes, 1.300% due 6/11/25 | | | 174,004 | |
See Notes to Financial Statements.
166
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Banks — 8.9% — (continued) | |
| | | | | | Barclays Bank PLC: | | | | |
| $ | 200,000 | | | A | | Senior Unsecured Notes, 1.700% due 5/12/22 | | $ | 203,614 | |
| | 100,000 | | | BBB- | | Subordinated Notes, 5.140% due 10/14/20 | | | 100,460 | |
| | | | | | Barclays PLC, Senior Unsecured Notes: | | | | |
| | 400,000 | | | BBB | | 3.250% due 1/12/21 | | | 404,102 | |
| | 333,000 | | | BBB | | 3.684% due 1/10/23 | | | 345,558 | |
| | 245,000 | | | BBB | | 4.338% (3-Month USD-LIBOR + 1.356%) due 5/16/24(c) | | | 265,074 | |
| | 620,000 | | | BBB | | 4.972% (3-Month USD-LIBOR + 1.902%) due 5/16/29(c) | | | 738,621 | |
| | | | | | BNP Paribas SA: | | | | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 380,000 | | | A- | | 3.500% due 3/1/23(a) | | | 404,989 | |
| | 270,000 | | | A- | | 3.375% due 1/9/25(a) | | | 295,655 | |
| | 690,000 | | | A- | | 4.705% (3-Month USD-LIBOR + 2.235%) due 1/10/25(a)(c) | | | 771,746 | |
| | 220,000 | | | A- | | 2.219% (SOFR + 2.074%) due 6/9/26(a)(c) | | | 229,792 | |
| | 750,000 | | | A- | | 4.400% due 8/14/28(a) | | | 887,997 | |
| | 200,000 | | | BBB+ | | Subordinated Notes, 4.375% (5-Year USD Swap Rate + 1.483%) due 3/1/33(a)(c) | | | 226,187 | |
| | 434,000 | | | A+ | | BPCE SA, Senior Unsecured Notes, 2.700% due 10/1/29(a) | | | 467,425 | |
| | | | | | CIT Group Inc., Senior Unsecured Notes: | | | | |
| | 90,000 | | | BB+ | | 4.750% due 2/16/24 | | | 94,866 | |
| | 40,000 | | | BB+ | | 5.250% due 3/7/25 | | | 43,696 | |
| | | | | | Citigroup Inc.: | | | | |
| | 500,000 | | | BB+ | | Junior Subordinated Notes, 5.950% (3-Month USD-LIBOR + 3.905%)(c)(d) | | | 540,122 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 180,000 | | | BBB+ | | 1.678% (SOFR + 1.667%) due 5/15/24(c) | | | 184,722 | |
| | 120,000 | | | BBB+ | | 3.106% (SOFR + 2.750%) due 4/8/26(c) | | | 130,625 | |
| | 390,000 | | | BBB+ | | 3.200% due 10/21/26 | | | 434,949 | |
| | 100,000 | | | BBB+ | | 3.980% (3-Month USD-LIBOR + 1.338%) due 3/20/30(c) | | | 116,191 | |
| | 210,000 | | | BBB+ | | 4.412% (SOFR + 3.914%) due 3/31/31(c) | | | 255,854 | |
| | 70,000 | | | BBB+ | | 2.572% (SOFR + 2.107%) due 6/3/31(c) | | | 74,187 | |
| | 314,000 | | | BBB+ | | 8.125% due 7/15/39 | | | 554,737 | |
| | 196,000 | | | BBB+ | | 4.650% due 7/30/45 | | | 254,414 | |
| | 70,000 | | | BBB+ | | 4.650% due 7/23/48 | | | 94,383 | |
| | | | | | Subordinated Notes: | | | | |
| | 890,000 | | | BBB | | 4.400% due 6/10/25 | | | 1,015,615 | |
| | 250,000 | | | BBB | | 5.500% due 9/13/25 | | | 298,306 | |
| | 890,000 | | | BBB | | 4.300% due 11/20/26 | | | 1,027,941 | |
| | 210,000 | | | BBB | | 4.450% due 9/29/27 | | | 244,283 | |
| | 30,000 | | | BBB | | 6.625% due 6/15/32 | | | 42,286 | |
| | 100,000 | | | BBB | | 6.675% due 9/13/43 | | | 156,633 | |
| | 286,000 | | | BBB | | 5.300% due 5/6/44 | | | 385,693 | |
| | 30,000 | | | BBB | | 4.750% due 5/18/46 | | | 38,478 | |
| | 15,000 | | | BBB+ | | Citizens Financial Group Inc., Senior Unsecured Notes, 2.375% due 7/28/21 | | | 15,246 | |
| | | | | | Commonwealth Bank of Australia, Senior Unsecured Notes: | | | | |
| | 5,000 | | | AA- | | 3.450% due 3/16/23(a) | | | 5,377 | |
| | 58,000 | | | AA- | | 3.900% due 7/12/47(a) | | | 71,852 | |
| | | | | | Cooperatieve Rabobank UA: | | | | |
| | | | | | Company Guaranteed Notes: | | | | |
| | 310,000 | | | BBB+ | | 4.625% due 12/1/23 | | | 345,696 | |
| | 990,000 | | | BBB+ | | 4.375% due 8/4/25 | | | 1,130,147 | |
| | 270,000 | | | A+ | | Senior Unsecured Notes, 3.125% due 4/26/21 | | | 275,151 | |
| | 250,000 | | | A- | | Credit Agricole SA, Senior Unsecured Notes, 1.907% (SOFR + 1.676%) due 6/16/26(a)(c) | | | 258,316 | |
| | | | | | Credit Suisse AG, Senior Unsecured Notes: | | | | |
| | 256,000 | | | A+ | | 3.625% due 9/9/24 | | | 285,655 | |
| | 250,000 | | | A+ | | 2.950% due 4/9/25 | | | 274,842 | |
See Notes to Financial Statements.
167
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Banks — 8.9% — (continued) | |
| | | | | | Credit Suisse Group AG, Senior Unsecured Notes: | | | | |
| $ | 753,000 | | | BBB+ | | 2.193% (SOFR + 2.044%) due 6/5/26(a)(c) | | $ | 778,389 | |
| | 250,000 | | | BBB+ | | 4.194% (SOFR + 3.730%) due 4/1/31(a)(c) | | | 292,009 | |
| | 320,000 | | | BBB+ | | Credit Suisse Group Funding Guernsey Ltd., Company Guaranteed Notes, 4.550% due 4/17/26 | | | 375,708 | |
| | | | | | Danske Bank AS, Senior Unsecured Notes: | | | | |
| | 440,000 | | | BBB+ | | 5.000% due 1/12/22(a) | | | 464,040 | |
| | 200,000 | | | BBB+ | | 3.001% (3-Month USD-LIBOR + 1.249%) due 9/20/22(a)(c) | | | 204,351 | |
| | 1,200,000 | | | BBB+ | | 5.375% due 1/12/24(a) | | | 1,359,932 | |
| | 944,000 | | | A | | 1.226% due 6/22/24(a) | | | 955,552 | |
| | 38,000 | | | BBB- | | Deutsche Bank AG, Senior Unsecured Notes, 4.100% due 1/13/26 | | | 40,946 | |
| | 21,000 | | | BB | | Goldman Sachs Capital II, Limited Guaranteed Notes, 4.000% (3-Month USD-LIBOR + 0.768%)(c)(d) | | | 19,336 | |
| | | | | | Goldman Sachs Group Inc. (The): | | | | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 715,000 | | | BBB+ | | 2.875% due 2/25/21 | | | 722,395 | |
| | 40,000 | | | BBB+ | | 1.041% (3-Month USD-LIBOR + 0.780%) due 10/31/22(c) | | | 40,196 | |
| | 738,000 | | | BBB+ | | 2.876% (3-Month USD-LIBOR + 0.821%) due 10/31/22(c) | | | 757,240 | |
| | 130,000 | | | BBB+ | | 3.200% due 2/23/23 | | | 138,409 | |
| | 245,000 | | | BBB+ | | 2.908% (3-Month USD-LIBOR + 1.053%) due 6/5/23(c) | | | 254,651 | |
| | 51,000 | | | BBB+ | | 3.500% due 1/23/25 | | | 56,085 | |
| | 294,000 | | | BBB+ | | 3.500% due 4/1/25 | | | 326,100 | |
| | 317,000 | | | BBB+ | | 3.750% due 5/22/25 | | | 355,352 | |
| | 192,000 | | | BBB+ | | 3.272% (3-Month USD-LIBOR + 1.201%) due 9/29/25(c) | | | 209,587 | |
| | 150,000 | | | BBB+ | | 1.450% (3-Month USD-LIBOR + 1.170%) due 5/15/26(c) | | | 151,719 | |
| | 515,000 | | | BBB+ | | 3.500% due 11/16/26 | | | 574,977 | |
| | 95,000 | | | BBB+ | | 3.850% due 1/26/27 | | | 108,340 | |
| | 185,000 | | | BBB+ | | 3.691% (3-Month USD-LIBOR + 1.510%) due 6/5/28(c) | | | 209,965 | |
| | 620,000 | | | BBB+ | | 3.814% (3-Month USD-LIBOR + 1.158%) due 4/23/29(c) | | | 711,511 | |
| | 1,330,000 | | | BBB+ | | 4.223% (3-Month USD-LIBOR + 1.301%) due 5/1/29(c) | | | 1,565,084 | |
| | 210,000 | | | BBB+ | | 6.250% due 2/1/41 | | | 318,095 | |
| | 200,000 | | | BBB+ | | 4.750% due 10/21/45 | | | 267,326 | |
| | | | | | Subordinated Notes: | | | | |
| | 600,000 | | | BBB- | | 4.250% due 10/21/25 | | | 684,252 | |
| | 460,000 | | | BBB- | | 6.750% due 10/1/37 | | | 671,990 | |
| | 290,000 | | | BBB- | | 5.150% due 5/22/45 | | | 387,017 | |
| | | | | | HSBC Holdings PLC: | | | | |
| | | | | | Junior Subordinated Notes: | | | | |
| | 240,000 | | | Baa3(b) | | 6.250% (5-Year USD 1100 Run ICE Swap Rate + 3.453%)(c)(d) | | | 245,606 | |
| | 440,000 | | | Baa3(b) | | 6.500% (5-Year USD 1100 Run ICE Swap Rate + 3.606%)(c)(d) | | | 474,459 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 325,000 | | | A- | | 2.950% due 5/25/21 | | | 331,237 | |
| | 200,000 | | | A- | | 3.262% (3-Month USD-LIBOR + 1.055%) due 3/13/23(c) | | | 207,859 | |
| | 1,012,000 | | | A- | | 4.583% (3-Month USD-LIBOR + 1.535%) due 6/19/29(c) | | | 1,183,208 | |
| | 420,000 | | | A- | | 3.973% (3-Month USD-LIBOR + 1.610%) due 5/22/30(c) | | | 476,904 | |
| | | | | | Subordinated Notes: | | | | |
| | 240,000 | | | BBB | | 4.250% due 8/18/25 | | | 266,550 | |
| | 390,000 | | | BBB | | 6.500% due 9/15/37 | | | 547,091 | |
| | 100,000 | | | BBB+ | | HSBC USA Inc., Subordinated Notes, 5.000% due 9/27/20 | | | 100,332 | |
| | 200,000 | | | A- | | ING Groep NV, Senior Unsecured Notes, 1.400% (1-Year CMT Index + 1.100%) due 7/1/26(a)(c) | | | 203,511 | |
| | | | | | Intesa Sanpaolo SpA: | | | | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 200,000 | | | BBB | | 3.125% due 7/14/22(a) | | | 205,615 | |
| | 200,000 | | | BBB | | 3.375% due 1/12/23(a) | | | 208,146 | |
| | 810,000 | | | BB+ | | Subordinated Notes, 5.017% due 6/26/24(a) | | | 873,989 | |
See Notes to Financial Statements.
168
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Banks — 8.9% — (continued) | |
| | | | | | JPMorgan Chase & Co.: | | | | |
| | | | | | Senior Unsecured Notes: | | | | |
| $ | 55,000 | | | A- | | 1.494% (3-Month USD-LIBOR + 1.230%) due 10/24/23(c) | | $ | 56,018 | |
| | 460,000 | | | A- | | 1.514% (SOFR + 1.455%) due 6/1/24(c) | | | 470,674 | |
| | 285,000 | | | A- | | 3.797% (3-Month USD-LIBOR + 0.890%) due 7/23/24(c) | | | 309,843 | |
| | 760,000 | | | A- | | 4.023% (3-Month USD-LIBOR + 1.000%) due 12/5/24(c) | | | 841,070 | |
| | 467,000 | | | A- | | 3.900% due 7/15/25 | | | 531,535 | |
| | 184,000 | | | A- | | 2.301% (SOFR + 1.160%) due 10/15/25(c) | | | 194,444 | |
| | 1,407,000 | | | A- | | 2.005% (SOFR + 1.585%) due 3/13/26(c) | | | 1,471,303 | |
| | 154,000 | | | A- | | 3.300% due 4/1/26 | | | 173,044 | |
| | 280,000 | | | A- | | 2.083% (SOFR + 1.850%) due 4/22/26(c) | | | 294,250 | |
| | 375,000 | | | A- | | 3.200% due 6/15/26 | | | 420,027 | |
| | 322,000 | | | A- | | 3.782% (3-Month USD-LIBOR + 1.337%) due 2/1/28(c) | | | 369,489 | |
| | 391,000 | | | A- | | 3.540% (3-Month USD-LIBOR + 1.380%) due 5/1/28(c) | | | 442,041 | |
| | 804,000 | | | A- | | 2.182% (SOFR + 1.890%) due 6/1/28(c) | | | 842,538 | |
| | 387,000 | | | A- | | 3.509% (3-Month USD-LIBOR + 0.945%) due 1/23/29(c) | | | 437,506 | |
| | 343,000 | | | A- | | 4.005% (3-Month USD-LIBOR + 1.120%) due 4/23/29(c) | | | 399,983 | |
| | 480,000 | | | A- | | 4.203% (3-Month USD-LIBOR + 1.260%) due 7/23/29(c) | | | 567,796 | |
| | 480,000 | | | A- | | 4.452% (3-Month USD-LIBOR + 1.330%) due 12/5/29(c) | | | 579,984 | |
| | 141,000 | | | A- | | 3.702% (3-Month USD-LIBOR + 1.160%) due 5/6/30(c) | | | 162,987 | |
| | 150,000 | | | A- | | 2.522% (SOFR + 2.040%) due 4/22/31(c) | | | 161,075 | |
| | 200,000 | | | A- | | 3.964% (3-Month USD-LIBOR + 1.380%) due 11/15/48(c) | | | 246,144 | |
| | 50,000 | | | A- | | 3.109% (SOFR + 2.440%) due 4/22/51(c) | | | 54,649 | |
| | | | | | Subordinated Notes: | | | | |
| | 83,000 | | | BBB+ | | 3.375% due 5/1/23 | | | 88,724 | |
| | 270,000 | | | BBB+ | | 3.875% due 9/10/24 | | | 301,110 | |
| | 422,000 | | | BBB+ | | 4.250% due 10/1/27 | | | 493,653 | |
| | 490,000 | | | BBB+ | | 4.950% due 6/1/45 | | | 674,413 | |
| | | | | | KeyCorp, Senior Unsecured Notes: | | | | |
| | 150,000 | | | BBB+ | | 2.900% due 9/15/20 | | | 150,139 | |
| | 45,000 | | | BBB+ | | 4.150% due 10/29/25 | | | 52,066 | |
| | 77,000 | | | AAA | | Kreditanstalt fuer Wiederaufbau, Government Guaranteed, 1.750% due 9/14/29 | | | 83,538 | |
| | | | | | Lloyds Banking Group PLC: | | | | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 1,650,000 | | | BBB+ | | 2.907% (3-Month USD-LIBOR + 0.810%) due 11/7/23(c) | | | 1,726,233 | |
| | 400,000 | | | BBB+ | | 3.900% due 3/12/24 | | | 440,135 | |
| | 200,000 | | | BBB+ | | 4.375% due 3/22/28 | | | 236,940 | |
| | 245,000 | | | BBB- | | Subordinated Notes, 4.582% due 12/10/25 | | | 276,197 | |
| | | | | | Mizuho Financial Group Inc., Senior Unsecured Notes: | | | | |
| | 480,000 | | | A- | | 2.839% (3-Month USD-LIBOR + 0.980%) due 7/16/25(c) | | | 513,383 | |
| | 340,000 | | | A- | | 2.555% (3-Month USD-LIBOR + 1.100%) due 9/13/25(c) | | | 358,932 | |
| | 406,000 | | | A- | | 2.226% (3-Month USD-LIBOR + 0.830%) due 5/25/26(c) | | | 424,786 | |
| | 200,000 | | | A- | | 2.201% (3-Month USD-LIBOR + 1.510%) due 7/10/31(c) | | | 204,640 | |
| | | | | | Natwest Group PLC: | | | | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 200,000 | | | BBB | | 4.519% (3-Month USD-LIBOR + 1.550%) due 6/25/24(c) | | | 218,334 | |
| | 200,000 | | | BBB | | 4.269% (3-Month USD-LIBOR + 1.762%) due 3/22/25(c) | | | 220,064 | |
| | 400,000 | | | BBB | | 5.076% (3-Month USD-LIBOR + 1.905%) due 1/27/30(c) | | | 487,851 | |
| | | | | | Subordinated Notes: | | | | |
| | 30,000 | | | BB+ | | 6.125% due 12/15/22 | | | 32,939 | |
| | 320,000 | | | BB+ | | 6.100% due 6/10/23 | | | 356,021 | |
| | 80,000 | | | BB+ | | 6.000% due 12/19/23 | | | 90,280 | |
| | 110,000 | | | BB+ | | 5.125% due 5/28/24 | | | 121,956 | |
| | 300,000 | | | A- | | Nordea Bank Abp, Subordinated Notes, 4.875% due 5/13/21(a) | | | 308,911 | |
| | 64,000 | | | A+ | | Northern Trust Corp., Senior Unsecured Notes, 1.950% due 5/1/30 | | | 67,056 | |
See Notes to Financial Statements.
169
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Banks — 8.9% — (continued) | |
| | | | | | Royal Bank of Canada, Senior Unsecured Notes: | | | | |
| $ | 120,000 | | | AA- | | 2.150% due 10/26/20 | | $ | 120,357 | |
| | 260,000 | | | A | | 1.600% due 4/17/23 | | | 268,692 | |
| | 22,000 | | | A | | 3.700% due 10/5/23 | | | 24,146 | |
| | 160,000 | | | A | | 1.150% due 6/10/25 | | | 163,049 | |
| | 30,000 | | | BBB+ | | Santander Holdings USA Inc., Senior Unsecured Notes, 4.500% due 7/17/25 | | | 33,222 | |
| | 560,000 | | | BBB | | Santander UK Group Holdings PLC, Senior Unsecured Notes, 3.373% (3-Month USD-LIBOR + 1.080%) due 1/5/24(c) | | | 589,737 | |
| | 175,000 | | | BBB- | | Santander UK PLC, Subordinated Notes, 5.000% due 11/7/23(a) | | | 192,843 | |
| | | | | | State Street Corp., Senior Unsecured Notes: | | | | |
| | 43,000 | | | A | | 3.300% due 12/16/24 | | | 48,046 | |
| | 138,000 | | | A | | 3.550% due 8/18/25 | | | 157,514 | |
| | 23,000 | | | A | | 2.400% due 1/24/30 | | | 25,025 | |
| | | | | | Sumitomo Mitsui Financial Group Inc., Senior Unsecured Notes: | | | | |
| | 575,000 | | | A- | | 2.934% due 3/9/21 | | | 582,880 | |
| | 200,000 | | | A- | | 2.750% due 1/15/30 | | | 216,106 | |
| | 200,000 | | | A+ | | Swedbank AB, Senior Unsecured Notes, 1.300% due 6/2/23(a) | | | 204,109 | |
| | 50,000 | | | BBB- | | Synovus Financial Corp., Senior Unsecured Notes, 3.125% due 11/1/22 | | | 51,813 | |
| | | | | | Toronto-Dominion Bank (The), Senior Unsecured Notes: | | | | |
| | 310,000 | | | A | | 0.750% due 6/12/23 | | | 313,626 | |
| | 150,000 | | | A | | 1.150% due 6/12/25 | | | 153,435 | |
| | 200,000 | | | A | | Truist Bank, Senior Unsecured Notes, 3.525% (3-Month USD-LIBOR + 0.500%) due 10/26/21(c) | | | 200,947 | |
| | 35,000 | | | A- | | Truist Financial Corp., Senior Unsecured Notes, 4.000% due 5/1/25 | | | 40,002 | |
| | | | | | UBS AG, Senior Unsecured Notes: | | | | |
| | 200,000 | | | A+ | | 2.450% due 12/1/20(a) | | | 200,741 | |
| | 290,000 | | | A+ | | 1.750% due 4/21/22(a) | | | 295,996 | |
| | | | | | UBS Group AG: | | | | |
| | 1,070,000 | | | BB | | Junior Subordinated Notes, 7.000% (5-Year USD Swap Rate + 4.344%)(a)(c)(d) | | | 1,160,356 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 260,000 | | | A- | | 2.650% due 2/1/22(a) | | | 268,129 | |
| | 650,000 | | | A- | | 3.491% due 5/23/23(a) | | | 682,106 | |
| | 795,000 | | | A- | | 2.859% (3-Month USD-LIBOR + 0.954%) due 8/15/23(a)(c) | | | 827,552 | |
| | 310,000 | | | A- | | 4.253% due 3/23/28(a) | | | 360,472 | |
| | | | | | UniCredit SpA: | | | | |
| | 580,000 | | | BBB- | | Senior Unsecured Notes, 6.572% due 1/14/22(a) | | | 616,762 | |
| | 200,000 | | | BB+ | | Subordinated Notes, 7.296% (5-Year USD 1100 Run ICE Swap Rate + 4.914%) due 4/2/34(a)(c) | | | 233,964 | |
| | 350,000 | | | A+ | | US Bancorp, Senior Unsecured Notes, 1.450% due 5/12/25 | | | 363,223 | |
| | 470,000 | | | BB+ | | Wachovia Capital Trust III, Limited Guaranteed Notes, 5.570% (3-Month USD-LIBOR + 0.930%)(c)(d) | | | 473,182 | |
| | | | | | Wells Fargo & Co.: | | | | |
| | | | | | Junior Subordinated Notes: | | | | |
| | 50,000 | | | BB+ | | 5.875% (3-Month USD-LIBOR + 3.990%)(c)(d) | | | 55,211 | |
| | 100,000 | | | BB+ | | 5.950% due 12/15/36 | | | 130,658 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 5,000 | | | BBB+ | | 2.625% due 7/22/22 | | | 5,204 | |
| | 754,000 | | | BBB+ | | 3.750% due 1/24/24 | | | 824,534 | |
| | 135,000 | | | BBB+ | | 3.000% due 2/19/25 | | | 146,572 | |
| | 300,000 | | | BBB+ | | 2.188% (SOFR + 2.000%) due 4/30/26(c) | | | 313,865 | |
| | 260,000 | | | BBB+ | | 3.000% due 10/23/26 | | | 286,603 | |
| | 222,000 | | | BBB+ | | 3.196% (3-Month USD-LIBOR + 1.170%) due 6/17/27(c) | | | 242,991 | |
| | 1,135,000 | | | BBB+ | | 3.584% (3-Month USD-LIBOR + 1.310%) due 5/22/28(c) | | | 1,274,614 | |
| | 88,000 | | | BBB+ | | 2.393% (SOFR + 2.100%) due 6/2/28(c) | | | 92,025 | |
| | 690,000 | | | BBB+ | | 4.150% due 1/24/29 | | | 815,058 | |
See Notes to Financial Statements.
170
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Banks — 8.9% — (continued) | |
| $ | 422,000 | | | BBB+ | | 2.879% (3-Month USD-LIBOR + 1.170%) due 10/30/30(c) | | $ | 454,585 | |
| | 805,000 | | | BBB+ | | 2.572% (3-Month USD-LIBOR + 1.000%) due 2/11/31(c) | | | 850,845 | |
| | 100,000 | | | BBB+ | | 4.478% (3-Month USD-LIBOR + 3.770%) due 4/4/31(c) | | | 122,137 | |
| | 763,000 | | | BBB+ | | 3.068% (SOFR + 2.530%) due 4/30/41(c) | | | 810,407 | |
| | 1,665,000 | | | BBB+ | | 5.013% (3-Month USD-LIBOR + 4.240%) due 4/4/51(c) | | | 2,280,792 | |
| | | | | | Subordinated Notes: | | | | |
| | 330,000 | | | BBB | | 3.450% due 2/13/23 | | | 351,155 | |
| | 169,000 | | | BBB | | 4.480% due 1/16/24 | | | 188,567 | |
| | 490,000 | | | BBB | | 4.300% due 7/22/27 | | | 565,182 | |
| | 230,000 | | | BBB | | 5.375% due 11/2/43 | | | 309,081 | |
| | 110,000 | | | BBB | | 5.606% due 1/15/44 | | | 150,058 | |
| | 280,000 | | | BBB | | 4.650% due 11/4/44 | | | 342,134 | |
| | 450,000 | | | BBB | | 4.900% due 11/17/45 | | | 573,368 | |
| | 40,000 | | | BBB | | 4.400% due 6/14/46 | | | 47,982 | |
| | 160,000 | | | BBB | | 4.750% due 12/7/46 | | | 202,930 | |
| | 517,000 | | | A+ | | Wells Fargo Bank NA, Senior Unsecured Notes, 2.082% (3-Month USD-LIBOR + 0.650%) due 9/9/22(c) | | | 525,256 | |
| | 140,000 | | | AA- | | Westpac Banking Corp., Senior Unsecured Notes, 2.600% due 11/23/20 | | | 140,754 | |
| | | | | | | | | | |
| | | | | | Total Banks | | | 87,231,969 | |
| | | | | | | | | | |
|
| | Beverages — 0.8% | |
| | | | | | Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide Inc., Company Guaranteed Notes: | | | | |
| | 340,000 | | | BBB+ | | 3.650% due 2/1/26 | | | 385,214 | |
| | 483,000 | | | BBB+ | | 4.700% due 2/1/36 | | | 580,846 | |
| | 1,410,000 | | | BBB+ | | 4.900% due 2/1/46 | | | 1,746,543 | |
| | | | | | Anheuser-Busch InBev Worldwide Inc., Company Guaranteed Notes: | | | | |
| | 220,000 | | | BBB+ | | 3.500% due 1/12/24 | | | 239,579 | |
| | 60,000 | | | BBB+ | | 4.150% due 1/23/25 | | | 68,198 | |
| | 160,000 | | | BBB+ | | 4.000% due 4/13/28 | | | 185,583 | |
| | 671,000 | | | BBB+ | | 3.500% due 6/1/30 | | | 769,177 | |
| | 5,000 | | | BBB+ | | 8.200% due 1/15/39 | | | 8,061 | |
| | 160,000 | | | BBB+ | | 4.350% due 6/1/40 | | | 186,582 | |
| | 76,000 | | | BBB+ | | 4.950% due 1/15/42 | | | 92,686 | |
| | 270,000 | | | BBB+ | | 5.550% due 1/23/49 | | | 363,907 | |
| | 280,000 | | | BBB+ | | 4.500% due 6/1/50 | | | 339,636 | |
| | 2,000 | | | BBB+ | | 4.750% due 4/15/58 | | | 2,496 | |
| | | | | | Bacardi Ltd., Company Guaranteed Notes: | | | | |
| | 155,000 | | | BBB- | | 4.700% due 5/15/28(a) | | | 180,902 | |
| | 140,000 | | | BBB- | | 5.300% due 5/15/48(a) | | | 181,742 | |
| | | | | | Coca-Cola Co. (The), Senior Unsecured Notes: | | | | |
| | 40,000 | | | A+ | | 2.950% due 3/25/25 | | | 44,177 | |
| | 396,000 | | | A+ | | 3.375% due 3/25/27 | | | 457,562 | |
| | 160,000 | | | A+ | | 1.450% due 6/1/27 | | | 165,718 | |
| | 174,000 | | | A+ | | 1.650% due 6/1/30 | | | 180,610 | |
| | 20,000 | | | A+ | | 4.125% due 3/25/40 | | | 25,784 | |
| | 10,000 | | | A+ | | 2.500% due 6/1/40 | | | 10,381 | |
| | 240,000 | | | A+ | | 4.200% due 3/25/50 | | | 318,222 | |
| | 70,000 | | | A+ | | 2.600% due 6/1/50 | | | 71,414 | |
| | 50,000 | | | BBB | | Keurig Dr Pepper Inc., Company Guaranteed Notes, 3.200% due 5/1/30 | | | 56,222 | |
| | | | | | PepsiCo Inc., Senior Unsecured Notes: | | | | |
| | 180,000 | | | A+ | | 0.750% due 5/1/23 | | | 182,327 | |
| | 20,000 | | | A+ | | 2.625% due 3/19/27 | | | 22,113 | |
| | 150,000 | | | A+ | | 1.625% due 5/1/30 | | | 155,223 | |
| | 60,000 | | | A+ | | 2.875% due 10/15/49 | | | 64,398 | |
| | 20,000 | | | A+ | | 3.625% due 3/19/50 | | | 24,381 | |
| | 40,000 | | | A+ | | 3.875% due 3/19/60 | | | 51,192 | |
See Notes to Financial Statements.
171
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Beverages — 0.8% — (continued) | |
| $ | 355,000 | | | BBB | | Suntory Holdings Ltd., Senior Unsecured Notes, 2.250% due 10/16/24(a) | | $ | 371,502 | |
| | | | | | | | | | |
| | | | | | Total Beverages | | | 7,532,378 | |
| | | | | | | | | | |
|
| | Biotechnology — 0.2% | |
| | | | | | Amgen Inc., Senior Unsecured Notes: | | | | |
| | 70,000 | | | A- | | 3.625% due 5/22/24 | | | 77,288 | |
| | 248,000 | | | A- | | 2.450% due 2/21/30 | | | 265,742 | |
| | 107,000 | | | A- | | 3.150% due 2/21/40 | | | 114,254 | |
| | 35,000 | | | A- | | 5.150% due 11/15/41 | | | 47,041 | |
| | 160,000 | | | A- | | 4.400% due 5/1/45 | | | 201,354 | |
| | 65,000 | | | A- | | 4.663% due 6/15/51 | | | 86,105 | |
| | 47,000 | | | A- | | 2.770% due 9/1/53(a) | | | 46,475 | |
| | 149,000 | | | A- | | Biogen Inc., Senior Unsecured Notes, 2.250% due 5/1/30 | | | 153,462 | |
| | | | | | Celgene Corp., Senior Unsecured Notes: | | | | |
| | 10,000 | | | A+ | | 3.950% due 10/15/20 | | | 10,044 | |
| | 5,000 | | | A+ | | 3.250% due 8/15/22 | | | 5,201 | |
| | 35,000 | | | A+ | | 3.250% due 2/20/23 | | | 36,834 | |
| | 65,000 | | | A+ | | 3.900% due 2/20/28 | | | 75,290 | |
| | | | | | Gilead Sciences Inc., Senior Unsecured Notes: | | | | |
| | 40,000 | | | A | | 2.550% due 9/1/20 | | | 40,000 | |
| | 160,000 | | | A | | 3.700% due 4/1/24 | | | 177,030 | |
| | 60,000 | | | A | | 3.650% due 3/1/26 | | | 68,881 | |
| | 10,000 | | | A | | 4.600% due 9/1/35 | | | 13,341 | |
| | 66,000 | | | A | | 4.500% due 2/1/45 | | | 85,833 | |
| | 130,000 | | | A | | 4.750% due 3/1/46 | | | 174,270 | |
| | | | | | | | | | |
| | | | | | Total Biotechnology | | | 1,678,445 | |
| | | | | | | | | | |
|
| | Building Materials — 0.1% | |
| | | | | | Carrier Global Corp., Senior Unsecured Notes: | | | | |
| | 60,000 | | | BBB | | 1.923% due 2/15/23(a) | | | 61,802 | |
| | 602,000 | | | BBB | | 2.242% due 2/15/25(a) | | | 632,017 | |
| | 30,000 | | | BBB | | 2.493% due 2/15/27(a) | | | 31,570 | |
| | 220,000 | | | BBB | | 2.722% due 2/15/30(a) | | | 231,306 | |
| | 90,000 | | | BBB | | 3.377% due 4/5/40(a) | | | 93,890 | |
| | 90,000 | | | BBB | | 3.577% due 4/5/50(a) | | | 95,710 | |
| | 5,000 | | | BBB+ | | Johnson Controls International PLC, Senior Unsecured Notes, 3.900% due 2/14/26 | | | 5,639 | |
| | 30,000 | | | BBB | | Owens Corning, Senior Unsecured Notes, 4.400% due 1/30/48 | | | 33,059 | |
| | | | | | | | | | |
| | | | | | Total Building Materials | | | 1,184,993 | |
| | | | | | | | | | |
|
| | Chemicals — 0.3% | |
| | 80,000 | | | A | | Air Products & Chemicals Inc., Senior Unsecured Notes, 2.800% due 5/15/50 | | | 85,385 | |
| | 145,000 | | | BBB- | | Dow Chemical Co. (The), Senior Unsecured Notes, 4.550% due 11/30/25 | | | 168,454 | |
| | 505,000 | | | BBB+ | | DuPont de Nemours Inc., Senior Unsecured Notes, 4.493% due 11/15/25 | | | 588,040 | |
| | | | | | Eastman Chemical Co., Senior Unsecured Notes: | | | | |
| | 61,000 | | | BBB- | | 3.800% due 3/15/25 | | | 67,554 | |
| | 15,000 | | | BBB- | | 4.500% due 12/1/28 | | | 17,801 | |
| | 200,000 | | | BBB | | Equate Petrochemical BV, Company Guaranteed Notes, 4.250% due 11/3/26(a) | | | 214,445 | |
| | 405,000 | | | BBB | | International Flavors & Fragrances Inc., Senior Unsecured Notes, 5.000% due 9/26/48 | | | 504,542 | |
| | 50,000 | | | BBB | | LYB International Finance III LLC, Company Guaranteed Notes, 4.200% due 5/1/50 | | | 55,005 | |
| | 200,000 | | | BBB | | LyondellBasell Industries NV, Senior Unsecured Notes, 6.000% due 11/15/21 | | | 210,294 | |
| | | | | | Monsanto Co., Senior Unsecured Notes: | | | | |
| | 60,000 | | | BBB | | 3.375% due 7/15/24 | | | 62,322 | |
| | 30,000 | | | BBB | | 4.400% due 7/15/44 | | | 31,199 | |
| | 200,000 | | | BBB- | | OCP SA, Senior Unsecured Notes, 4.500% due 10/22/25(a) | | | 212,030 | |
| | | | | | Sherwin-Williams Co. (The), Senior Unsecured Notes: | | | | |
| | 210,000 | | | BBB- | | 4.200% due 1/15/22 | | | 219,088 | |
See Notes to Financial Statements.
172
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Chemicals — 0.3% — (continued) | |
| $ | 30,000 | | | BBB- | | 4.000% due 12/15/42 | | $ | 33,672 | |
| | 200,000 | | | BBB- | | Syngenta Finance NV, Company Guaranteed Notes, 3.933% due 4/23/21(a) | | | 202,611 | |
| | | | | | | | | | |
| | | | | | Total Chemicals | | | 2,672,442 | |
| | | | | | | | | | |
|
| | Commercial Services — 0.4% | |
| | 110,000 | | | A- | | Cintas Corp. No 2, Company Guaranteed Notes, 3.700% due 4/1/27 | | | 125,788 | |
| | 10,000 | | | BBB | | Equifax Inc., Senior Unsecured Notes, 2.300% due 6/1/21 | | | 10,130 | |
| | | | | | Global Payments Inc., Senior Unsecured Notes: | | | | |
| | 40,000 | | | BBB- | | 3.800% due 4/1/21 | | | 40,678 | |
| | 30,000 | | | BBB- | | 4.000% due 6/1/23 | | | 32,647 | |
| | 104,000 | | | BBB- | | 3.200% due 8/15/29 | | | 114,265 | |
| | | | | | IHS Markit Ltd.: | | | | |
| | | | | | Company Guaranteed Notes: | | | | |
| | 584,000 | | | BBB- | | 5.000% due 11/1/22(a) | | | 629,363 | |
| | 87,000 | | | BBB- | | 4.750% due 2/15/25(a) | | | 99,231 | |
| | 28,000 | | | BBB- | | 4.000% due 3/1/26(a) | | | 31,642 | |
| | 450,000 | | | BBB- | | Senior Unsecured Notes, 4.750% due 8/1/28 | | | 540,322 | |
| | 293,000 | | | BBB+ | | Moody’s Corp., Senior Unsecured Notes, 3.750% due 3/24/25 | | | 331,518 | |
| | | | | | PayPal Holdings Inc., Senior Unsecured Notes: | | | | |
| | 130,000 | | | BBB+ | | 1.350% due 6/1/23 | | | 133,133 | |
| | 65,000 | | | BBB+ | | 2.400% due 10/1/24 | | | 69,442 | |
| | 190,000 | | | BBB+ | | 1.650% due 6/1/25 | | | 197,941 | |
| | 120,000 | | | BB- | | Prime Security Services Borrower LLC/Prime Finance Inc., Senior Secured Notes, 5.750% due 4/15/26(a) | | | 132,840 | |
| | | | | | RELX Capital Inc., Company Guaranteed Notes: | | | | |
| | 305,000 | | | BBB+ | | 3.500% due 3/16/23 | | | 326,365 | |
| | 30,000 | | | BBB+ | | 4.000% due 3/18/29 | | | 35,522 | |
| | 146,000 | | | BBB+ | | 3.000% due 5/22/30 | | | 160,678 | |
| | | | | | United Rentals North America Inc.: | | | | |
| | 410,000 | | | BB- | | Company Guaranteed Notes, 3.875% due 2/15/31 | | | 425,221 | |
| | 20,000 | | | BBB- | | Secured Notes, 3.875% due 11/15/27 | | | 20,875 | |
| | | | | | | | | | |
| | | | | | Total Commercial Services | | | 3,457,601 | |
| | | | | | | | | | |
|
| | Computers — 0.6% | |
| | | | | | Apple Inc., Senior Unsecured Notes: | | | | |
| | 300,000 | | | AA+ | | 2.400% due 5/3/23 | | | 316,827 | |
| | 290,000 | | | AA+ | | 1.125% due 5/11/25 | | | 297,916 | |
| | 280,000 | | | AA+ | | 2.450% due 8/4/26 | | | 306,595 | |
| | 550,000 | | | AA+ | | 3.350% due 2/9/27 | | | 630,555 | |
| | 360,000 | | | AA+ | | 2.900% due 9/12/27 | | | 405,381 | |
| | 196,000 | | | AA+ | | 3.850% due 5/4/43 | | | 242,047 | |
| | 21,000 | | | AA+ | | 3.450% due 2/9/45 | | | 24,643 | |
| | 41,000 | | | AA+ | | 3.850% due 8/4/46 | | | 50,802 | |
| | 86,000 | | | AA+ | | 4.250% due 2/9/47 | | | 113,764 | |
| | 62,000 | | | AA+ | | 2.550% due 8/20/60 | | | 61,943 | |
| | | | | | Dell International LLC/EMC Corp., Senior Secured Notes: | | | | |
| | 421,000 | | | BBB- | | 4.420% due 6/15/21(a) | | | 431,930 | |
| | 137,000 | | | BBB- | | 8.100% due 7/15/36(a) | | | 182,544 | |
| | 65,000 | | | BBB- | | DXC Technology Co., Senior Unsecured Notes, 4.000% due 4/15/23 | | | 68,621 | |
| | | | | | Hewlett Packard Enterprise Co., Senior Unsecured Notes: | | | | |
| | 85,000 | | | BBB | | 4.400% due 10/15/22 | | | 91,164 | |
| | 182,000 | | | BBB | | 4.650% due 10/1/24 | | | 205,954 | |
| | | | | | International Business Machines Corp., Senior Unsecured Notes: | | | | |
| | 680,000 | | | A | | 3.000% due 5/15/24 | | | 739,802 | |
| | 215,000 | | | A | | 3.300% due 5/15/26 | | | 244,273 | |
See Notes to Financial Statements.
173
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Computers — 0.6% — (continued) | |
| $ | 310,000 | | | A | | 1.700% due 5/15/27 | | $ | 321,688 | |
| | 130,000 | | | A | | 4.150% due 5/15/39 | | | 160,208 | |
| | 130,000 | | | A | | 2.950% due 5/15/50 | | | 134,864 | |
| | | | | | Leidos Inc., Company Guaranteed Notes: | | | | |
| | 150,000 | | | BBB- | | 2.950% due 5/15/23(a) | | | 158,419 | |
| | 120,000 | | | BBB- | | 3.625% due 5/15/25(a) | | | 134,486 | |
| | 382,000 | | | BBB- | | 4.375% due 5/15/30(a) | | | 447,685 | |
| | | | | | | | | | |
| | | | | | Total Computers | | | 5,772,111 | |
| | | | | | | | | | |
|
| | Cosmetics/Personal Care — 0.0% | |
| | | | | | Procter & Gamble Co. (The), Senior Unsecured Notes: | | | | |
| | 40,000 | | | AA- | | 2.450% due 3/25/25 | | | 43,425 | |
| | 30,000 | | | AA- | | 2.800% due 3/25/27 | | | 33,652 | |
| | 80,000 | | | AA- | | 3.000% due 3/25/30 | | | 92,583 | |
| | 110,000 | | | AA- | | 3.550% due 3/25/40 | | | 135,030 | |
| | 130,000 | | | AA- | | 3.600% due 3/25/50 | | | 165,496 | |
| | | | | | | | | | |
| | | | | | Total Cosmetics/Personal Care | | | 470,186 | |
| | | | | | | | | | |
|
| | Diversified Financial Services — 0.9% | |
| | | | | | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Company Guaranteed Notes: | | | | |
| | 1,010,000 | | | BBB | | 4.500% due 5/15/21 | | | 1,027,316 | |
| | 150,000 | | | BBB | | 5.000% due 10/1/21 | | | 154,499 | |
| | 290,000 | | | BBB | | 3.950% due 2/1/22 | | | 293,789 | |
| | 280,000 | | | BBB | | 4.875% due 1/16/24 | | | 288,458 | |
| | | | | | Air Lease Corp., Senior Unsecured Notes: | | | | |
| | 460,000 | | | BBB | | 3.500% due 1/15/22 | | | 470,292 | |
| | 495,000 | | | BBB | | 3.250% due 3/1/25 | | | 502,699 | |
| | | | | | American Express Co., Senior Unsecured Notes: | | | | |
| | 225,000 | | | BBB+ | | 3.700% due 8/3/23 | | | 245,211 | |
| | 45,000 | | | BBB+ | | 3.000% due 10/30/24 | | | 49,101 | |
| | | | | | Avolon Holdings Funding Ltd., Company Guaranteed Notes: | | | | |
| | 75,000 | | | BBB- | | 5.250% due 5/15/24(a) | | | 72,810 | |
| | 500,000 | | | BBB- | | 2.875% due 2/15/25(a) | | | 445,360 | |
| | 34,000 | | | BBB | | Capital One Financial Corp., Senior Unsecured Notes, 3.800% due 1/31/28 | | | 38,000 | |
| | | | | | Charles Schwab Corp. (The), Senior Unsecured Notes: | | | | |
| | 66,000 | | | A | | 4.000% due 2/1/29 | | | 79,243 | |
| | 53,000 | | | A | | 3.250% due 5/22/29 | | | 61,126 | |
| | 100,000 | | | AA- | | CME Group Inc., Senior Unsecured Notes, 3.750% due 6/15/28 | | | 118,810 | |
| | 32,000 | | | BBB- | | Discover Financial Services, Senior Unsecured Notes, 4.500% due 1/30/26 | | | 36,746 | |
| | 1,517,000 | | | BBB+ | | GE Capital International Funding Co. Unlimited Co., Company Guaranteed Notes, 4.418% due 11/15/35 | | | 1,568,931 | |
| | 124,000 | | | BBB+ | | Intercontinental Exchange Inc., Senior Unsecured Notes, 1.850% due 9/15/32 | | | 126,252 | |
| | 30,000 | | | A | | KKR Group Finance Co. II LLC, Company Guaranteed Notes, 5.500% due 2/1/43(a) | | | 38,516 | |
| | 650,000 | | | NR | | Lehman Brothers Holdings Inc., Subordinated Notes, 6.750% due 12/28/17#(e)(f)(g) | | | — | |
| | | | | | Mastercard Inc., Senior Unsecured Notes: | | | | |
| | 169,000 | | | A+ | | 3.350% due 3/26/30 | | | 198,804 | |
| | 30,000 | | | A+ | | 3.850% due 3/26/50 | | | 37,883 | |
| | 220,000 | | | BBB+ | | Nomura Holdings Inc., Senior Unsecured Notes, 2.679% due 7/16/30 | | | 229,143 | |
| | 40,000 | | | A- | | ORIX Corp., Senior Unsecured Notes, 4.050% due 1/16/24 | | | 43,914 | |
| | | | | | Park Aerospace Holdings Ltd., Company Guaranteed Notes: | | | | |
| | 890,000 | | | BBB- | | 5.250% due 8/15/22(a) | | | 884,035 | |
| | 415,000 | | | BBB- | | 4.500% due 3/15/23(a) | | | 396,305 | |
| | 185,000 | | | BBB- | | 5.500% due 2/15/24(a) | | | 182,568 | |
| | 220,000 | | | BBB+ | | Raymond James Financial Inc., Senior Unsecured Notes, 4.950% due 7/15/46 | | | 281,983 | |
| | 50,000 | | | BBB- | | Synchrony Financial, Senior Unsecured Notes, 4.375% due 3/19/24 | | | 53,911 | |
See Notes to Financial Statements.
174
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Diversified Financial Services — 0.9% — (continued) | |
| $ | 150,000 | | | AA | | USAA Capital Corp., Senior Unsecured Notes, 2.125% due 5/1/30(a) | | $ | 159,298 | |
| | | | | | Visa Inc., Senior Unsecured Notes: | | | | |
| | 420,000 | | | AA- | | 3.150% due 12/14/25 | | | 472,529 | |
| | 110,000 | | | AA- | | 2.050% due 4/15/30 | | | 117,257 | |
| | 111,000 | | | AA- | | 4.150% due 12/14/35 | | | 144,975 | |
| | 310,000 | | | AA- | | 4.300% due 12/14/45 | | | 414,006 | |
| | | | | | | | | | |
| | | | | | Total Diversified Financial Services | | | 9,233,770 | |
| | | | | | | | | | |
|
| | Electric — 1.6% | |
| | | | | | AEP Texas Inc., Senior Unsecured Notes: | | | | |
| | 50,000 | | | A- | | 2.400% due 10/1/22 | | | 51,825 | |
| | 50,000 | | | A- | | 3.850% due 10/1/25(a) | | | 55,717 | |
| | 82,000 | | | A- | | 3.450% due 1/15/50 | | | 90,818 | |
| | | | | | AEP Transmission Co. LLC, Senior Unsecured Notes: | | | | |
| | 117,000 | | | A- | | 3.750% due 12/1/47 | | | 139,704 | |
| | 65,000 | | | A- | | 3.150% due 9/15/49 | | | 70,142 | |
| | | | | | Alabama Power Co., Senior Unsecured Notes: | | | | |
| | 17,000 | | | A | | 5.200% due 6/1/41 | | | 22,873 | |
| | 185,000 | | | A | | 4.150% due 8/15/44 | | | 229,121 | |
| | 31,000 | | | A | | 4.300% due 7/15/48 | | | 40,172 | |
| | 100,000 | | | A | | Ameren Illinois Co., 1st Mortgage Notes, 3.250% due 3/15/50 | | | 115,697 | |
| | | | | | Baltimore Gas & Electric Co., Senior Unsecured Notes: | | | | |
| | 70,000 | | | A | | 3.500% due 8/15/46 | | | 81,508 | |
| | 150,000 | | | A | | 3.750% due 8/15/47 | | | 179,588 | |
| | 15,000 | | | A | | 4.250% due 9/15/48 | | | 19,337 | |
| | 25,000 | | | A | | 3.200% due 9/15/49 | | | 27,339 | |
| | | | | | CenterPoint Energy Houston Electric LLC, General Refinance Mortgage: | | | | |
| | 24,000 | | | A | | 3.550% due 8/1/42 | | | 27,782 | |
| | 15,000 | | | A | | 3.950% due 3/1/48 | | | 18,880 | |
| | 30,000 | | | BBB | | CMS Energy Corp., Senior Unsecured Notes, 3.000% due 5/15/26 | | | 33,170 | |
| | 25,000 | | | A | | Commonwealth Edison Co., 1st Mortgage Notes, 4.350% due 11/15/45 | | | 32,605 | |
| | | | | | Consolidated Edison Co. of New York Inc., Senior Unsecured Notes: | | | | |
| | 60,000 | | | A- | | 3.350% due 4/1/30 | | | 69,582 | |
| | 40,000 | | | A- | | 3.950% due 4/1/50 | | | 48,142 | |
| | | | | | Consumers Energy Co., 1st Mortgage Notes: | | | | |
| | 50,000 | | | A | | 3.950% due 5/15/43 | | | 62,446 | |
| | 25,000 | | | A | | 3.750% due 2/15/50 | | | 30,831 | |
| | 25,000 | | | A | | 3.100% due 8/15/50 | | | 27,627 | |
| | 200,000 | | | A | | 3.500% due 8/1/51 | | | 238,603 | |
| | 117,000 | | | BBB | | Dayton Power & Light Co. (The), 1st Mortgage Notes, 3.950% due 6/15/49 | | | 127,996 | |
| | | | | | DTE Electric Co., General Refinance Mortgage: | | | | |
| | 30,000 | | | A | | 4.050% due 5/15/48 | | | 38,003 | |
| | 100,000 | | | A | | 3.950% due 3/1/49 | | | 126,362 | |
| | | | | | Duke Energy Carolinas LLC, 1st Mortgage Notes: | | | | |
| | 22,000 | | | A | | 3.950% due 11/15/28 | | | 26,660 | |
| | 500,000 | | | A | | 4.250% due 12/15/41 | | | 642,177 | |
| | 30,000 | | | A | | 3.875% due 3/15/46 | | | 37,109 | |
| | 60,000 | | | A | | 3.700% due 12/1/47 | | | 72,509 | |
| | 6,000 | | | A | | 3.950% due 3/15/48 | | | 7,467 | |
| | 42,000 | | | A | | 3.200% due 8/15/49 | | | 47,607 | |
| | 170,000 | | | BBB+ | | Duke Energy Corp., Senior Unsecured Notes, 3.550% due 9/15/21 | | | 174,228 | |
| | | | | | Duke Energy Florida LLC, 1st Mortgage Notes: | | | | |
| | 45,000 | | | A | | 3.800% due 7/15/28 | | | 53,021 | |
| | 209,000 | | | A | | 2.500% due 12/1/29 | | | 229,322 | |
| | 50,000 | | | A | | 1.750% due 6/15/30 | | | 51,507 | |
See Notes to Financial Statements.
175
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Electric — 1.6% — (continued) | |
| $ | 195,000 | | | A | | 5.900% due 3/1/33 | | $ | 268,419 | |
| | 60,000 | | | A | | 3.400% due 10/1/46 | | | 68,106 | |
| | 24,000 | | | A | | 4.200% due 7/15/48 | | | 30,499 | |
| | | | | | Duke Energy Ohio Inc., 1st Mortgage Notes: | | | | |
| | 335,000 | | | A | | 3.650% due 2/1/29 | | | 393,843 | |
| | 60,000 | | | A | | 3.700% due 6/15/46 | | | 70,628 | |
| | | | | | Duke Energy Progress LLC, 1st Mortgage Notes: | | | | |
| | 35,000 | | | A | | 3.000% due 9/15/21 | | | 35,739 | |
| | 30,000 | | | A | | 3.700% due 9/1/28 | | | 35,227 | |
| | 130,000 | | | A | | 3.450% due 3/15/29 | | | 151,549 | |
| | 162,000 | | | A | | 4.100% due 5/15/42 | | | 202,178 | |
| | 35,000 | | | A | | 4.200% due 8/15/45 | | | 44,114 | |
| | 22,000 | | | BBB- | | Edison International, Senior Unsecured Notes, 3.125% due 11/15/22 | | | 22,843 | |
| | | | | | Entergy Louisiana LLC: | | | | |
| | 25,000 | | | A | | 1st Mortgage Notes, 5.400% due 11/1/24 | | | 29,731 | |
| | 162,000 | | | A | | Collateral Trust, 4.200% due 9/1/48 | | | 210,256 | |
| | 60,000 | | | A | | Entergy Texas Inc., 1st Mortgage Notes, 3.450% due 12/1/27 | | | 65,544 | |
| | 775,000 | | | A- | | Evergy Missouri West Inc., Senior Unsecured Notes, 8.270% due 11/15/21 | | | 839,412 | |
| | 95,000 | | | BBB+ | | Eversource Energy, Senior Unsecured Notes, 2.800% due 5/1/23 | | | 100,098 | |
| | | | | | Exelon Corp., Senior Unsecured Notes: | | | | |
| | 5,000 | | | BBB | | 2.450% due 4/15/21 | | | 5,058 | |
| | 143,000 | | | BBB | | 5.625% due 6/15/35 | | | 192,214 | |
| | | | | | FirstEnergy Corp., Senior Unsecured Notes: | | | | |
| | 60,000 | | | BBB- | | 1.600% due 1/15/26 | | | 59,545 | |
| | 310,000 | | | BBB- | | 3.900% due 7/15/27 | | | 340,713 | |
| | 1,250,000 | | | BBB- | | 7.375% due 11/15/31 | | | 1,771,927 | |
| | | | | | FirstEnergy Transmission LLC, Senior Unsecured Notes: | | | | |
| | 51,000 | | | BBB- | | 4.350% due 1/15/25(a) | | | 56,824 | |
| | 50,000 | | | BBB- | | 5.450% due 7/15/44(a) | | | 63,296 | |
| | 165,000 | | | BBB- | | 4.550% due 4/1/49(a) | | | 191,971 | |
| | | | | | Florida Power & Light Co., 1st Mortgage Notes: | | | | |
| | 50,000 | | | A+ | | 3.125% due 12/1/25 | | | 55,840 | |
| | 40,000 | | | A+ | | 5.690% due 3/1/40 | | | 59,499 | |
| | 20,000 | | | A+ | | 3.800% due 12/15/42 | | | 24,602 | |
| | 57,000 | | | A+ | | 3.950% due 3/1/48 | | | 73,413 | |
| | 100,000 | | | A+ | | 3.990% due 3/1/49 | | | 129,335 | |
| | 50,000 | | | A+ | | 3.150% due 10/1/49 | | | 57,137 | |
| | 18,117 | | | A | | Indiantown Cogeneration LP, 1st Mortgage Notes, 9.770% due 12/15/20(f) | | | 18,168 | |
| | 400,000 | | | BBB+ | | ITC Holdings Corp., Senior Unsecured Notes, 4.050% due 7/1/23 | | | 434,195 | |
| | 700,000 | | | BBB | | Jersey Central Power & Light Co., Senior Unsecured Notes, 4.700% due 4/1/24(a) | | | 783,826 | |
| | | | | | MidAmerican Energy Co., 1st Mortgage Notes: | | | | |
| | 115,000 | | | A+ | | 3.100% due 5/1/27 | | | 129,545 | |
| | 100,000 | | | A+ | | 3.650% due 4/15/29 | | | 119,407 | |
| | 100,000 | | | A+ | | 3.150% due 4/15/50 | | | 112,587 | |
| | | | | | Northern States Power Co., 1st Mortgage Notes: | | | | |
| | 85,000 | | | A | | 3.600% due 5/15/46 | | | 102,484 | |
| | 50,000 | | | A | | 3.600% due 9/15/47 | | | 59,851 | |
| | 70,000 | | | A | | 2.900% due 3/1/50 | | | 75,536 | |
| | | | | | Ohio Power Co., Senior Unsecured Notes: | | | | |
| | 40,000 | | | A- | | 6.600% due 2/15/33 | | | 56,274 | |
| | 30,000 | | | A- | | 4.150% due 4/1/48 | | | 38,002 | |
| | 50,000 | | | A- | | 4.000% due 6/1/49 | | | 61,383 | |
| | | | | | Oncor Electric Delivery Co. LLC, Senior Secured Notes: | | | | |
| | 90,000 | | | A+ | | 3.700% due 11/15/28 | | | 106,213 | |
| | 167,000 | | | A+ | | 7.000% due 5/1/32 | | | 248,650 | |
| | 20,000 | | | A+ | | 3.800% due 9/30/47 | | | 24,400 | |
See Notes to Financial Statements.
176
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Electric — 1.6% — (continued) | |
| $ | 27,000 | | | A | | PECO Energy Co., 1st Mortgage Notes, 3.900% due 3/1/48 | | $ | 33,886 | |
| | 500,000 | | | BBB | | Public Service Co. of New Mexico, Senior Unsecured Notes, 3.850% due 8/1/25 | | | 550,804 | |
| | | | | | Public Service Electric & Gas Co., 1st Mortgage Notes: | | | | |
| | 200,000 | | | A | | 3.000% due 5/15/27 | | | 222,295 | |
| | 40,000 | | | A | | 3.200% due 5/15/29 | | | 45,635 | |
| | 500,000 | | | A | | 4.000% due 6/1/44 | | | 601,565 | |
| | 32,000 | | | A | | 3.600% due 12/1/47 | | | 38,985 | |
| | 90,000 | | | BBB+ | | Sempra Energy, Senior Unsecured Notes, 0.775% (3-Month USD-LIBOR + 0.500%) due 1/15/21(c) | | | 90,035 | |
| | | | | | Southern California Edison Co., 1st Mortgage Notes: | | | | |
| | 55,000 | | | A- | | 2.900% due 3/1/21 | | | 55,673 | |
| | 9,643 | | | A- | | 1.845% due 2/1/22 | | | 9,623 | |
| | 324,000 | | | A- | | 3.700% due 8/1/25 | | | 361,401 | |
| | 174,000 | | | A- | | 2.250% due 6/1/30 | | | 177,028 | |
| | 140,000 | | | BBB+ | | Tampa Electric Co., Senior Unsecured Notes, 4.450% due 6/15/49 | | | 183,183 | |
| | 800,000 | | | A- | | Tucson Electric Power Co., Senior Unsecured Notes, 3.850% due 3/15/23 | | | 858,067 | |
| | | | | | Virginia Electric & Power Co., Senior Unsecured Notes: | | | | |
| | 205,000 | | | BBB+ | | 2.750% due 3/15/23 | | | 215,640 | |
| | 25,000 | | | BBB+ | | 6.350% due 11/30/37 | | | 37,562 | |
| | 130,000 | | | BBB+ | | 4.450% due 2/15/44 | | | 170,738 | |
| | 595,000 | | | BBB+ | | 4.000% due 11/15/46 | | | 746,565 | |
| | 280,000 | | | BBB- | | Vistra Operations Co. LLC, Senior Secured Notes, 4.300% due 7/15/29(a) | | | 304,845 | |
| | | | | | | | | | |
| | | | | | Total Electric | | | 16,071,088 | |
| | | | | | | | | | |
|
| | Electronics — 0.0% | |
| | | | | | Agilent Technologies Inc., Senior Unsecured Notes: | | | | |
| | 120,000 | | | BBB+ | | 3.200% due 10/1/22 | | | 125,921 | |
| | 10,000 | | | BBB+ | | 3.050% due 9/22/26 | | | 11,021 | |
| | 10,000 | | | BBB- | | Avnet Inc., Senior Unsecured Notes, 4.625% due 4/15/26 | | | 11,150 | |
| | | | | | Honeywell International Inc., Senior Unsecured Notes: | | | | |
| | 110,000 | | | A | | 1.350% due 6/1/25 | | | 113,391 | |
| | 37,000 | | | A | | 2.800% due 6/1/50 | | | 40,318 | |
| | 58,000 | | | BBB- | | Trimble Inc., Senior Unsecured Notes, 4.150% due 6/15/23 | | | 62,833 | |
| | 20,000 | | | A- | | Tyco Electronics Group SA, Company Guaranteed Notes, 3.450% due 8/1/24 | | | 21,793 | |
| | | | | | | | | | |
| | | | | | Total Electronics | | | 386,427 | |
| | | | | | | | | | |
|
| | Engineering & Construction — 0.0% | |
| | 284,000 | | | B- | | PowerTeam Services LLC, Senior Secured Notes, 9.033% due 12/4/25(a) | | | 302,637 | |
| | | | | | | | | | |
|
| | Entertainment — 0.1% | |
| | | | | | Churchill Downs Inc., Company Guaranteed Notes: | | | | |
| | 158,000 | | | B+ | | 5.500% due 4/1/27(a) | | | 166,266 | |
| | 360,000 | | | B+ | | 4.750% due 1/15/28(a) | | | 368,033 | |
| | 100,000 | | | B | | Colt Merger Sub Inc., Senior Secured Notes, 6.250% due 7/1/25(a) | | | 106,125 | |
| | | | | | | | | | |
| | | | | | Total Entertainment | | | 640,424 | |
| | | | | | | | | | |
|
| | Environmental Control — 0.1% | |
| | 289,000 | | | BB+ | | Clean Harbors Inc., Company Guaranteed Notes, 5.125% due 7/15/29(a) | | | 316,581 | |
| | | | | | Republic Services Inc., Senior Unsecured Notes: | | | | |
| | 130,000 | | | BBB+ | | 2.500% due 8/15/24 | | | 138,968 | |
| | 20,000 | | | BBB+ | | 2.900% due 7/1/26 | | | 22,175 | |
| | 260,000 | | | BBB+ | | 3.375% due 11/15/27 | | | 295,662 | |
| | 15,000 | | | BBB+ | | 2.300% due 3/1/30 | | | 15,975 | |
| | | | | | Waste Management Inc., Company Guaranteed Notes: | | | | |
| | 40,000 | | | A- | | 4.600% due 3/1/21 | | | 40,434 | |
| | 100,000 | | | A- | | 3.500% due 5/15/24 | | | 109,610 | |
See Notes to Financial Statements.
177
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Environmental Control — 0.1% — (continued) | |
| $ | 50,000 | | | A- | | 3.125% due 3/1/25 | | $ | 54,954 | |
| | 46,000 | | | A- | | 4.100% due 3/1/45 | | | 56,403 | |
| | 139,000 | | | A- | | 4.150% due 7/15/49 | | | 175,492 | |
| | 109,000 | | | B | | Waste Pro USA Inc., Senior Unsecured Notes, 5.500% due 2/15/26(a) | | | 112,587 | |
| | | | | | | | | | |
| | | | | | Total Environmental Control | | | 1,338,841 | |
| | | | | | | | | | |
|
| | Food — 0.5% | |
| | 50,000 | | | A | | Hershey Co. (The), Senior Unsecured Notes, 0.900% due 6/1/25 | | | 50,551 | |
| | | | | | Kraft Heinz Foods Co., Company Guaranteed Notes: | | | | |
| | 51,000 | | | BB+ | | 3.950% due 7/15/25 | | | 55,438 | |
| | 10,000 | | | BB+ | | 3.000% due 6/1/26 | | | 10,435 | |
| | 40,000 | | | BB+ | | 4.250% due 3/1/31(a) | | | 44,330 | |
| | 10,000 | | | BB+ | | 6.750% due 3/15/32 | | | 13,281 | |
| | 40,000 | | | BB+ | | 5.000% due 7/15/35 | | | 46,389 | |
| | 30,000 | | | BB+ | | 6.875% due 1/26/39 | | | 40,951 | |
| | 10,000 | | | BB+ | | 7.125% due 8/1/39(a) | | | 13,815 | |
| | 10,000 | | | BB+ | | 4.625% due 10/1/39(a) | | | 10,658 | |
| | 455,000 | | | BB+ | | 5.000% due 6/4/42 | | | 504,523 | |
| | 130,000 | | | BB+ | | 5.200% due 7/15/45 | | | 148,158 | |
| | 1,455,000 | | | BB+ | | 4.375% due 6/1/46 | | | 1,494,871 | |
| | 495,000 | | | BB+ | | 4.875% due 10/1/49(a) | | | 546,762 | |
| | 100,000 | | | BB+ | | 5.500% due 6/1/50(a) | | | 118,734 | |
| | | | | | Mars Inc., Company Guaranteed Notes: | | | | |
| | 110,000 | | | A | | 2.700% due 4/1/25(a) | | | 119,450 | |
| | 350,000 | | | A | | 3.200% due 4/1/30(a) | | | 400,901 | |
| | | | | | Mondelez International Inc., Senior Unsecured Notes: | | | | |
| | 60,000 | | | BBB | | 2.125% due 4/13/23 | | | 62,431 | |
| | 330,000 | | | BBB | | 1.500% due 5/4/25 | | | 342,475 | |
| | 25,000 | | | BBB | | 2.750% due 4/13/30 | | | 27,419 | |
| | 100,000 | | | B+ | | Post Holdings Inc., Company Guaranteed Notes, 5.625% due 1/15/28(a) | | | 107,092 | |
| | 200,000 | | | AA- | | Seven & i Holdings Co., Ltd., Senior Unsecured Notes, 3.350% due 9/17/21(a) | | | 204,989 | |
| | 285,000 | | | BBB+ | | Tyson Foods Inc., Senior Unsecured Notes, 3.900% due 9/28/23 | | | 312,354 | |
| | | | | | | | | | |
| | | | | | Total Food | | | 4,676,007 | |
| | | | | | | | | | |
|
| | Forest Products & Paper — 0.0% | |
| | | | | | Georgia-Pacific LLC: | | | | |
| | 19,000 | | | A+ | | Company Guaranteed Notes, 5.400% due 11/1/20(a) | | | 19,160 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 55,000 | | | A+ | | 3.734% due 7/15/23(a) | | | 59,744 | |
| | 140,000 | | | A+ | | 3.600% due 3/1/25(a) | | | 157,261 | |
| | 88,000 | | | A+ | | 1.750% due 9/30/25(a) | | | 92,085 | |
| | 57,000 | | | BBB | | International Paper Co., Senior Unsecured Notes, 4.400% due 8/15/47 | | | 68,954 | |
| | | | | | | | | | |
| | | | | | Total Forest Products & Paper | | | 397,204 | |
| | | | | | | | | | |
|
| | Gas — 0.0% | |
| | 25,000 | | | BBB+ | | Dominion Energy Gas Holdings LLC, Senior Unsecured Notes, 4.800% due 11/1/43 | | | 31,816 | |
| | 250,000 | | | A- | | Southern Co. Gas Capital Corp., Company Guaranteed Notes, 4.400% due 5/30/47 | | | 307,345 | |
| | | | | | | | | | |
| | | | | | Total Gas | | | 339,161 | |
| | | | | | | | | | |
|
| | Healthcare — Products — 0.1% | |
| | | | | | Abbott Laboratories, Senior Unsecured Notes: | | | | |
| | 164,000 | | | A- | | 3.750% due 11/30/26 | | | 192,093 | |
| | 70,000 | | | A- | | 4.750% due 11/30/36 | | | 94,974 | |
| | 150,000 | | | A- | | 4.900% due 11/30/46 | | | 215,515 | |
| | 60,000 | | | BBB- | | Boston Scientific Corp., Senior Unsecured Notes, 4.000% due 3/1/29 | | | 70,051 | |
| | 100,000 | | | BB- | | Hologic Inc., Company Guaranteed Notes, 4.625% due 2/1/28(a) | | | 106,528 | |
See Notes to Financial Statements.
178
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Healthcare — Products — 0.1% — (continued) | |
| $ | 89,000 | | | A | | Medtronic Inc., Company Guaranteed Notes, 3.500% due 3/15/25 | | $ | 100,245 | |
| | 13,000 | | | WR(b) | | St Jude Medical LLC, Senior Unsecured Notes, 4.750% due 4/15/43 | | | 14,915 | |
| | | | | | Thermo Fisher Scientific Inc., Senior Unsecured Notes: | | | | |
| | 80,000 | | | BBB+ | | 3.200% due 8/15/27 | | | 90,382 | |
| | 324,000 | | | BBB+ | | 4.497% due 3/25/30 | | | 403,916 | |
| | | | | | | | | | |
| | | | | | Total Healthcare — Products | | | 1,288,619 | |
| | | | | | | | | | |
|
| | Healthcare — Services — 1.0% | |
| | | | | | Aetna Inc., Senior Unsecured Notes: | | | | |
| | 40,000 | | | BBB | | 2.800% due 6/15/23 | | | 42,213 | |
| | 55,000 | | | BBB | | 4.125% due 11/15/42 | | | 62,793 | |
| | | | | | Anthem Inc., Senior Unsecured Notes: | | | | |
| | 183,000 | | | A | | 3.125% due 5/15/22 | | | 191,355 | |
| | 85,000 | | | A | | 2.950% due 12/1/22 | | | 89,578 | |
| | 1,120,000 | | | A | | 3.650% due 12/1/27 | | | 1,287,009 | |
| | 52,000 | | | A | | 3.700% due 9/15/49 | | | 59,564 | |
| | 33,000 | | | A | | 4.850% due 8/15/54 | | | 41,786 | |
| | | | | | Centene Corp., Senior Unsecured Notes: | | | | |
| | 140,000 | | | BBB- | | 4.750% due 5/15/22 | | | 141,225 | |
| | 41,000 | | | BBB- | | 5.250% due 4/1/25(a) | | | 42,589 | |
| | 20,000 | | | BBB- | | 5.375% due 6/1/26(a) | | | 21,125 | |
| | 455,000 | | | BBB- | | 4.625% due 12/15/29 | | | 499,829 | |
| | 30,000 | | | BBB- | | 3.375% due 2/15/30 | | | 31,284 | |
| | 30,000 | | | BBB+ | | CommonSpirit Health, Secured Notes, 4.350% due 11/1/42 | | | 33,192 | |
| | | | | | HCA Inc.: | | | | |
| | | | | | Company Guaranteed Notes: | | | | |
| | 40,000 | | | BB- | | 5.375% due 9/1/26 | | | 45,398 | |
| | 30,000 | | | BB- | | 5.625% due 9/1/28 | | | 35,733 | |
| | 20,000 | | | BB- | | 3.500% due 9/1/30 | | | 21,079 | |
| | | | | | Senior Secured Notes: | | | | |
| | 598,000 | | | BBB- | | 5.000% due 3/15/24 | | | 676,272 | |
| | 402,000 | | | BBB- | | 5.250% due 4/15/25 | | | 469,078 | |
| | 276,000 | | | BBB- | | 5.250% due 6/15/26 | | | 326,129 | |
| | 160,000 | | | BBB- | | 5.500% due 6/15/47 | | | 203,614 | |
| | 470,000 | | | BBB- | | 5.250% due 6/15/49 | | | 592,088 | |
| | | | | | Humana Inc., Senior Unsecured Notes: | | | | |
| | 360,000 | | | BBB+ | | 2.500% due 12/15/20 | | | 362,112 | |
| | 280,000 | | | BBB+ | | 3.150% due 12/1/22 | | | 294,751 | |
| | 153,000 | | | BBB+ | | 4.500% due 4/1/25 | | | 177,240 | |
| | 30,000 | | | BBB+ | | 3.950% due 3/15/27 | | | 34,571 | |
| | 70,000 | | | BBB+ | | 4.625% due 12/1/42 | | | 89,313 | |
| | 40,000 | | | BBB+ | | 4.950% due 10/1/44 | | | 53,910 | |
| | 160,000 | | | BBB+ | | 3.950% due 8/15/49 | | | 194,160 | |
| | 500,000 | | | AA- | | Kaiser Foundation Hospitals, Company Guaranteed Notes, 3.150% due 5/1/27 | | | 562,216 | |
| | 255,000 | | | BB- | | Molina Healthcare Inc., Senior Unsecured Notes, 5.375% due 11/15/22 | | | 267,654 | |
| | 276,000 | | | Aa2(b) | | New York & Presbyterian Hospital (The), Unsecured Notes, 3.954% due 8/1/19 | | | 320,565 | |
| | 190,000 | | | AA- | | Partners Healthcare System Inc., Unsecured Notes, 3.342% due 7/1/60 | | | 209,123 | |
| | 281,000 | | | BB- | | Tenet Healthcare Corp., Senior Secured Notes, 4.875% due 1/1/26(a) | | | 292,588 | |
| | | | | | UnitedHealth Group Inc., Senior Unsecured Notes: | | | | |
| | 20,000 | | | A+ | | 2.375% due 10/15/22 | | | 20,885 | |
| | 60,000 | | | A+ | | 3.500% due 6/15/23 | | | 65,239 | |
| | 70,000 | | | A+ | | 3.750% due 7/15/25 | | | 80,298 | |
| | 60,000 | | | A+ | | 1.250% due 1/15/26 | | | 61,638 | |
| | 160,000 | | | A+ | | 3.450% due 1/15/27 | | | 183,699 | |
| | 50,000 | | | A+ | | 3.875% due 12/15/28 | | | 59,831 | |
See Notes to Financial Statements.
179
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Healthcare — Services — 1.0% — (continued) | |
| $ | 50,000 | | | A+ | | 2.000% due 5/15/30 | | $ | 52,487 | |
| | 260,000 | | | A+ | | 4.750% due 7/15/45 | | | 354,974 | |
| | 24,000 | | | A+ | | 4.250% due 4/15/47 | | | 31,083 | |
| | 70,000 | | | A+ | | 3.750% due 10/15/47 | | | 84,297 | |
| | 40,000 | | | A+ | | 4.250% due 6/15/48 | | | 51,661 | |
| | 30,000 | | | A+ | | 4.450% due 12/15/48 | | | 40,052 | |
| | 255,000 | | | A+ | | 3.700% due 8/15/49 | | | 309,905 | |
| | 112,000 | | | A+ | | 2.900% due 5/15/50 | | | 119,366 | |
| | 225,000 | | | A+ | | 3.875% due 8/15/59 | | | 282,397 | |
| | 20,000 | | | A+ | | 3.125% due 5/15/60 | | | 21,971 | |
| | | | | | | | | | |
| | | | | | Total Healthcare — Services | | | 9,590,919 | |
| | | | | | | | | | |
|
| | Home Builders — 0.0% | |
| | | | | | Lennar Corp., Company Guaranteed Notes: | | | | |
| | 10,000 | | | BB+ | | 5.000% due 6/15/27 | | | 11,411 | |
| | 150,000 | | | BB+ | | 4.750% due 11/29/27 | | | 171,187 | |
| | 50,000 | | | BB+ | | MDC Holdings Inc., Company Guaranteed Notes, 6.000% due 1/15/43 | | | 58,111 | |
| | 50,000 | | | BB+ | | Toll Brothers Finance Corp., Company Guaranteed Notes, 4.375% due 4/15/23 | | | 52,557 | |
| | | | | | | | | | |
| | | | | | Total Home Builders | | | 293,266 | |
| | | | | | | | | | |
|
| | Household Products/Wares — 0.0% | |
| | 90,000 | | | B | | Spectrum Brands Inc., Company Guaranteed Notes, 5.750% due 7/15/25 | | | 93,150 | |
| | | | | | | | | | |
|
| | Housewares — 0.0% | |
| | | | | | Newell Brands Inc., Senior Unsecured Notes: | | | | |
| | 60,000 | | | BB+ | | 4.350% due 4/1/23 | | | 63,563 | |
| | 80,000 | | | BB+ | | 4.700% due 4/1/26 | | | 86,314 | |
| | | | | | | | | | |
| | | | | | Total Housewares | | | 149,877 | |
| | | | | | | | | | |
|
| | Insurance — 0.6% | |
| | | | | | American International Group Inc., Senior Unsecured Notes: | | | | |
| | 10,000 | | | BBB+ | | 4.875% due 6/1/22 | | | 10,764 | |
| | 90,000 | | | BBB+ | | 2.500% due 6/30/25 | | | 96,380 | |
| | | | | | Aon Corp., Company Guaranteed Notes: | | | | |
| | 55,000 | | | A- | | 4.500% due 12/15/28 | | | 67,140 | |
| | 130,000 | | | A- | | 2.800% due 5/15/30 | | | 141,167 | |
| | | | | | Aon PLC, Company Guaranteed Notes: | | | | |
| | 116,000 | | | A- | | 4.450% due 5/24/43 | | | 140,648 | |
| | 49,000 | | | A- | | 4.600% due 6/14/44 | | | 62,832 | |
| | 35,000 | | | A- | | 4.750% due 5/15/45 | | | 46,173 | |
| | | | | | Berkshire Hathaway Finance Corp., Company Guaranteed Notes: | | | | |
| | 400,000 | | | AA | | 4.400% due 5/15/42 | | | 523,125 | |
| | 350,000 | | | AA | | 4.250% due 1/15/49 | | | 455,910 | |
| | | | | | Chubb INA Holdings Inc., Company Guaranteed Notes: | | | | |
| | 60,000 | | | A | | 2.300% due 11/3/20 | | | 60,108 | |
| | 70,000 | | | A | | 3.350% due 5/3/26 | | | 80,140 | |
| | 100,000 | | | BBB+ | | Farmers Exchange Capital, Subordinated Notes, 7.200% due 7/15/48(a) | | | 144,479 | |
| | 900,000 | | | BBB+ | | Farmers Exchange Capital II, Subordinated Notes, 6.151% (3-Month USD-LIBOR + 3.744%) due 11/1/53(a)(c) | | | 1,139,839 | |
| | 44,000 | | | BBB+ | | Hartford Financial Services Group Inc. (The), Senior Unsecured Notes, 4.300% due 4/15/43 | | | 51,837 | |
| | 20,000 | | | A | | Loews Corp., Senior Unsecured Notes, 4.125% due 5/15/43 | | | 22,810 | |
| | 254,000 | | | A- | | Marsh & McLennan Cos., Inc., Senior Unsecured Notes, 2.250% due 11/15/30 | | | 266,997 | |
| | | | | | MetLife Inc.: | | | | |
| | 620,000 | | | BBB | | Junior Subordinated Notes, 6.400% due 12/15/36 | | | 783,238 | |
| | 95,000 | | | A- | | Senior Unsecured Notes, 3.000% due 3/1/25 | | | 105,488 | |
| | 850,000 | | | A- | | Nationwide Mutual Insurance Co., Subordinated Notes, 2.603% (3-Month USD-LIBOR + 2.290%) due 12/15/24(a)(c) | | | 849,469 | |
See Notes to Financial Statements.
180
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Insurance — 0.6% — (continued) | |
| | | | | | Teachers Insurance & Annuity Association of America, Subordinated Notes: | | | | |
| $ | 24,000 | | | AA- | | 6.850% due 12/16/39(a) | | $ | 36,285 | |
| | 300,000 | | | AA- | | 4.900% due 9/15/44(a) | | | 379,731 | |
| | 47,000 | | | AA- | | 4.270% due 5/15/47(a) | | | 55,963 | |
| | 28,000 | | | BBB | | Trinity Acquisition PLC, Company Guaranteed Notes, 4.400% due 3/15/26 | | | 32,337 | |
| | 69,000 | | | BBB | | Willis North America Inc., Company Guaranteed Notes, 2.950% due 9/15/29 | | | 74,934 | |
| | | | | | | | | | |
| | | | | | Total Insurance | | | 5,627,794 | |
| | | | | | | | | | |
|
| | Internet — 0.4% | |
| | | | | | Alphabet Inc., Senior Unsecured Notes: | | | | |
| | 40,000 | | | AA+ | | 0.450% due 8/15/25 | | | 40,018 | |
| | 70,000 | | | AA+ | | 0.800% due 8/15/27 | | | 70,051 | |
| | 80,000 | | | AA+ | | 1.100% due 8/15/30 | | | 79,873 | |
| | 140,000 | | | AA+ | | 2.050% due 8/15/50 | | | 133,905 | |
| | | | | | Amazon.com Inc., Senior Unsecured Notes: | | | | |
| | 190,000 | | | AA- | | 0.800% due 6/3/25 | | | 192,724 | |
| | 240,000 | | | AA- | | 1.200% due 6/3/27 | | | 245,282 | |
| | 130,000 | | | AA- | | 3.150% due 8/22/27 | | | 148,876 | |
| | 220,000 | | | AA- | | 1.500% due 6/3/30 | | | 225,041 | |
| | 183,000 | | | AA- | | 3.875% due 8/22/37 | | | 229,097 | |
| | 160,000 | | | AA- | | 4.950% due 12/5/44 | | | 230,180 | |
| | 100,000 | | | AA- | | 4.050% due 8/22/47 | | | 130,202 | |
| | 200,000 | | | AA- | | 2.500% due 6/3/50 | | | 203,987 | |
| | 40,000 | | | AA- | | 4.250% due 8/22/57 | | | 54,569 | |
| | | | | | Booking Holdings Inc., Senior Unsecured Notes: | | | | |
| | 57,000 | | | A- | | 3.650% due 3/15/25 | | | 63,323 | |
| | 278,000 | | | A- | | 4.100% due 4/13/25 | | | 315,783 | |
| | 10,000 | | | BBB | | E*TRADE Financial Corp., Senior Unsecured Notes, 3.800% due 8/24/27 | | | 11,197 | |
| | | | | | Expedia Group Inc., Company Guaranteed Notes: | | | | |
| | 89,000 | | | BBB- | | 6.250% due 5/1/25(a) | | | 97,890 | |
| | 145,000 | | | BBB- | | 3.250% due 2/15/30 | | | 137,529 | |
| | 370,000 | | | BBB- | | Prosus NV, Company Guaranteed Notes, 4.850% due 7/6/27(a) | | | 428,497 | |
| | 407,000 | | | A+ | | Tencent Holdings Ltd., Senior Unsecured Notes, 2.985% due 1/19/23(a) | | | 425,257 | |
| | | | | | | | | | |
| | | | | | Total Internet | | | 3,463,281 | |
| | | | | | | | | | |
|
| | Investment Companies — 0.1% | |
| | 470,000 | | | BBB- | | Ares Capital Corp., Senior Unsecured Notes, 4.250% due 3/1/25 | | | 485,835 | |
| | | | | | | | | | |
|
| | Iron/Steel — 0.1% | |
| | | | | | ArcelorMittal SA, Senior Unsecured Notes: | | | | |
| | 210,000 | | | BBB- | | 3.600% due 7/16/24 | | | 220,681 | |
| | 460,000 | | | BBB- | | 4.550% due 3/11/26 | | | 504,426 | |
| | 30,000 | | | BBB- | | 7.250% due 10/15/39 | | | 38,594 | |
| | 30,000 | | | BBB- | | Steel Dynamics Inc., Senior Unsecured Notes, 2.400% due 6/15/25 | | | 31,533 | |
| | 125,000 | | | BBB- | | Vale Overseas Ltd., Company Guaranteed Notes, 6.875% due 11/21/36 | | | 166,436 | |
| | | | | | | | | | |
| | | | | | Total Iron/Steel | | | 961,670 | |
| | | | | | | | | | |
|
| | Leisure Time — 0.0% | |
| | 110,000 | | | B+ | | VOC Escrow Ltd., Senior Secured Notes, 5.000% due 2/15/28(a) | | | 91,555 | |
| | | | | | | | | | |
|
| | Lodging — 0.1% | |
| | 10,000 | | | BB | | Hilton Domestic Operating Co., Inc., Company Guaranteed Notes, 5.125% due 5/1/26 | | | 10,336 | |
| | | | | | Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., Company Guaranteed Notes: | | | | |
| | 10,000 | | | BB | | 4.625% due 4/1/25 | | | 10,136 | |
| | 60,000 | | | BB | | 4.875% due 4/1/27 | | | 61,639 | |
| | | | | | Las Vegas Sands Corp., Senior Unsecured Notes: | | | | |
| | 270,000 | | | BBB- | | 3.200% due 8/8/24 | | | 273,606 | |
| | 20,000 | | | BBB- | | 2.900% due 6/25/25 | | | 19,916 | |
See Notes to Financial Statements.
181
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Lodging — 0.1% — (continued) | |
| | | | | | Sands China Ltd., Senior Unsecured Notes: | | | | |
| $ | 400,000 | | | BBB- | | 5.125% due 8/8/25 | | $ | 444,202 | |
| | 200,000 | | | BBB- | | 3.800% due 1/8/26(a) | | | 212,228 | |
| | | | | | | | | | |
| | | | | | Total Lodging | | | 1,032,063 | |
| | | | | | | | | | |
|
| | Machinery — Diversified — 0.1% | |
| | 7,000 | | | BBB | | CNH Industrial NV, Senior Unsecured Notes, 3.850% due 11/15/27 | | | 7,597 | |
| | 20,000 | | | BBB | | Crane Co., Senior Unsecured Notes, 4.200% due 3/15/48 | | | 21,159 | |
| | | | | | Deere & Co., Senior Unsecured Notes: | | | | |
| | 40,000 | | | A | | 3.100% due 4/15/30 | | | 45,841 | |
| | 130,000 | | | A | | 3.750% due 4/15/50 | | | 159,935 | |
| | 320,000 | | | BBB- | | nVent Finance Sarl, Company Guaranteed Notes, 3.950% due 4/15/23 | | | 337,871 | |
| | | | | | Otis Worldwide Corp., Senior Unsecured Notes: | | | | |
| | 80,000 | | | BBB | | 2.056% due 4/5/25(a) | | | 84,557 | |
| | 130,000 | | | BBB | | 2.293% due 4/5/27(a) | | | 138,346 | |
| | 285,000 | | | BBB | | 2.565% due 2/15/30(a) | | | 304,978 | |
| | | | | | | | | | |
| | | | | | Total Machinery — Diversified | | | 1,100,284 | |
| | | | | | | | | | |
|
| | Media — 1.4% | |
| | | | | | CCO Holdings LLC/CCO Holdings Capital Corp., Senior Unsecured Notes: | | | | |
| | 130,000 | | | BB | | 5.125% due 5/1/27(a) | | | 138,626 | |
| | 842,000 | | | BB | | 4.500% due 8/15/30(a) | | | 894,629 | |
| | 100,000 | | | BB | | 4.500% due 5/1/32(a) | | | 106,114 | |
| | | | | | Charter Communications Operating LLC/Charter Communications Operating Capital, Senior Secured Notes: | | | | |
| | 120,000 | | | BBB- | | 4.500% due 2/1/24 | | | 133,880 | |
| | 300,000 | | | BBB- | | 4.908% due 7/23/25 | | | 349,329 | |
| | 210,000 | | | BBB- | | 3.750% due 2/15/28 | | | 234,592 | |
| | 260,000 | | | BBB- | | 4.200% due 3/15/28 | | | 298,113 | |
| | 50,000 | | | BBB- | | 5.375% due 4/1/38 | | | 61,083 | |
| | 30,000 | | | BBB- | | 5.375% due 5/1/47 | | | 35,947 | |
| | 535,000 | | | BBB- | | 5.750% due 4/1/48 | | | 672,276 | |
| | 421,000 | | | BBB- | | 5.125% due 7/1/49 | | | 495,655 | |
| | 138,000 | | | BBB- | | 4.800% due 3/1/50 | | | 158,214 | |
| | 160,000 | | | A- | | Comcast Cable Communications Holdings Inc., Company Guaranteed Notes, 9.455% due 11/15/22 | | | 193,010 | |
| | | | | | Comcast Corp., Company Guaranteed Notes: | | | | |
| | 10,000 | | | A- | | 3.100% due 4/1/25 | | | 11,076 | |
| | 30,000 | | | A- | | 3.950% due 10/15/25 | | | 34,622 | |
| | 80,000 | | | A- | | 3.150% due 3/1/26 | | | 89,820 | |
| | 352,000 | | | A- | | 3.300% due 2/1/27 | | | 397,870 | |
| | 211,000 | | | A- | | 3.300% due 4/1/27 | | | 240,553 | |
| | 940,000 | | | A- | | 4.150% due 10/15/28 | | | 1,140,742 | |
| | 119,000 | | | A- | | 2.650% due 2/1/30 | | | 130,153 | |
| | 217,000 | | | A- | | 3.400% due 4/1/30 | | | 250,690 | |
| | 200,000 | | | A- | | 4.250% due 10/15/30 | | | 247,607 | |
| | 138,000 | | | A- | | 4.250% due 1/15/33 | | | 172,755 | |
| | 30,000 | | | A- | | 6.500% due 11/15/35 | | | 46,014 | |
| | 90,000 | | | A- | | 3.200% due 7/15/36 | | | 101,624 | |
| | 99,000 | | | A- | | 3.900% due 3/1/38 | | | 118,781 | |
| | 20,000 | | | A- | | 3.250% due 11/1/39 | | | 22,231 | |
| | 20,000 | | | A- | | 3.750% due 4/1/40 | | | 23,756 | |
| | 226,000 | | | A- | | 3.400% due 7/15/46 | | | 251,496 | |
| | 166,000 | | | A- | | 3.969% due 11/1/47 | | | 199,804 | |
| | 20,000 | | | A- | | 4.000% due 3/1/48 | | | 24,291 | |
See Notes to Financial Statements.
182
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Media — 1.4% — (continued) | |
| $ | 270,000 | | | A- | | 4.700% due 10/15/48 | | $ | 363,767 | |
| | 23,000 | | | A- | | 3.999% due 11/1/49 | | | 28,005 | |
| | 140,000 | | | A- | | 3.450% due 2/1/50 | | | 158,132 | |
| | 39,000 | | | A- | | 4.049% due 11/1/52 | | | 47,766 | |
| | 170,000 | | | A- | | 2.650% due 8/15/62 | | | 164,849 | |
| | | | | | Cox Communications Inc., Senior Unsecured Notes: | | | | |
| | 40,000 | | | BBB | | 3.250% due 12/15/22(a) | | | 42,313 | |
| | 227,000 | | | BBB | | 3.150% due 8/15/24(a) | | | 246,458 | |
| | 18,000 | | | BBB | | 3.350% due 9/15/26(a) | | | 20,100 | |
| | | | | | Discovery Communications LLC, Company Guaranteed Notes: | | | | |
| | 33,000 | | | BBB- | | 3.625% due 5/15/30 | | | 36,625 | |
| | 165,000 | | | BBB- | | 5.000% due 9/20/37 | | | 195,331 | |
| | 36,000 | | | BBB- | | 4.875% due 4/1/43 | | | 41,019 | |
| | 135,000 | | | BBB- | | 5.200% due 9/20/47 | | | 162,170 | |
| | | | | | DISH DBS Corp., Company Guaranteed Notes: | | | | |
| | 10,000 | | | B- | | 5.875% due 11/15/24 | | | 10,584 | |
| | 50,000 | | | B- | | 7.750% due 7/1/26 | | | 57,313 | |
| | | | | | Fox Corp., Senior Unsecured Notes: | | | | |
| | 200,000 | | | BBB | | 4.030% due 1/25/24 | | | 221,088 | |
| | 180,000 | | | BBB | | 4.709% due 1/25/29 | | | 216,554 | |
| | 240,000 | | | BBB | | 5.476% due 1/25/39 | | | 318,670 | |
| | 115,000 | | | BB | | Sirius XM Radio Inc., Company Guaranteed Notes, 3.875% due 8/1/22(a) | | | 116,150 | |
| | | | | | Time Warner Cable LLC, Senior Secured Notes: | | | | |
| | 385,000 | | | BBB- | | 4.000% due 9/1/21 | | | 394,002 | |
| | 230,000 | | | BBB- | | 7.300% due 7/1/38 | | | 329,649 | |
| | 300,000 | | | BBB- | | 5.875% due 11/15/40 | | | 382,838 | |
| | 533,000 | | | BBB- | | 5.500% due 9/1/41 | | | 656,862 | |
| | 240,000 | | | BBB- | | Time Warner Entertainment Co. LP, Senior Secured Notes, 8.375% due 7/15/33 | | | 373,967 | |
| | | | | | ViacomCBS Inc., Senior Unsecured Notes: | | | | |
| | 10,000 | | | BBB | | 3.875% due 4/1/24 | | | 10,924 | |
| | 350,000 | | | BBB | | 3.700% due 6/1/28 | | | 388,232 | |
| | 103,000 | | | BBB | | 4.375% due 3/15/43 | | | 109,976 | |
| | 33,000 | | | BBB | | 5.850% due 9/1/43 | | | 41,319 | |
| | 225,000 | | | BB- | | Virgin Media Secured Finance PLC, Senior Secured Notes, 5.500% due 5/15/29(a) | | | 243,639 | |
| | | | | | Walt Disney Co. (The), Company Guaranteed Notes: | | | | |
| | 30,000 | | | A- | | 4.500% due 2/15/21 | | | 30,563 | |
| | 235,000 | | | A- | | 3.350% due 3/24/25 | | | 261,933 | |
| | 367,000 | | | A- | | 2.000% due 9/1/29 | | | 382,391 | |
| | 727,000 | | | A- | | 2.650% due 1/13/31 | | | 789,218 | |
| | 25,000 | | | A- | | 6.200% due 12/15/34 | | | 36,819 | |
| | 30,000 | | | A- | | 6.650% due 11/15/37 | | | 45,592 | |
| | | | | | | | | | |
| | | | | | Total Media | | | 14,200,171 | |
| | | | | | | | | | |
|
| | Mining — 0.5% | |
| | | | | | Anglo American Capital PLC, Company Guaranteed Notes: | | | | |
| | 350,000 | | | BBB | | 3.625% due 9/11/24(a) | | | 377,046 | |
| | 270,000 | | | BBB | | 4.750% due 4/10/27(a) | | | 310,722 | |
| | 40,000 | | | BBB | | Barrick Gold Corp., Senior Unsecured Notes, 5.250% due 4/1/42 | | | 55,018 | |
| | | | | | Barrick North America Finance LLC, Company Guaranteed Notes: | | | | |
| | 70,000 | | | BBB | | 5.700% due 5/30/41 | | | 99,115 | |
| | 190,000 | | | BBB | | 5.750% due 5/1/43 | | | 278,389 | |
| | | | | | BHP Billiton Finance USA Ltd., Company Guaranteed Notes: | | | | |
| | 150,000 | | | A | | 5.000% due 9/30/43 | | | 213,567 | |
| | 310,000 | | | BBB+ | | 6.750% (5-Year USD Swap Rate + 5.093%) due 10/19/75(a)(c) | | | 370,944 | |
See Notes to Financial Statements.
183
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Mining — 0.5% — (continued) | |
| | | | | | Freeport-McMoRan Inc., Company Guaranteed Notes: | | | | |
| $ | 10,000 | | | BB | | 3.875% due 3/15/23 | | $ | 10,374 | |
| | 10,000 | | | BB | | 4.550% due 11/14/24 | | | 10,809 | |
| | 20,000 | | | BB | | 5.400% due 11/14/34 | | | 22,608 | |
| | 50,000 | | | BB | | 5.450% due 3/15/43 | | | 56,234 | |
| | | | | | Glencore Funding LLC, Company Guaranteed Notes: | | | | |
| | 920,000 | | | BBB+ | | 4.125% due 3/12/24(a) | | | 1,001,504 | |
| | 210,000 | | | BBB+ | | 4.625% due 4/29/24(a) | | | 235,044 | |
| | 250,000 | | | BBB+ | | 4.000% due 3/27/27(a) | | | 274,905 | |
| | 200,000 | | | Baa2(b) | | Indonesia Asahan Aluminium Persero PT, Senior Unsecured Notes, 6.530% due 11/15/28(a) | | | 248,500 | |
| | 30,000 | | | BBB | | Newmont Corp., Company Guaranteed Notes, 4.875% due 3/15/42 | | | 40,730 | |
| | 760,000 | | | BBB+ | | Southern Copper Corp., Senior Unsecured Notes, 5.250% due 11/8/42 | | | 973,550 | |
| | 10,000 | | | BBB- | | Teck Resources Ltd., Senior Unsecured Notes, 6.000% due 8/15/40 | | | 10,860 | |
| | 90,000 | | | BB+ | | Yamana Gold Inc., Company Guaranteed Notes, 4.625% due 12/15/27 | | | 97,918 | |
| | | | | | | | | | |
| | | | | | Total Mining | | | 4,687,837 | |
| | | | | | | | | | |
|
| | Miscellaneous Manufacturers — 0.4% | |
| | | | | | 3M Co., Senior Unsecured Notes: | | | | |
| | 150,000 | | | A+ | | 2.375% due 8/26/29 | | | 162,170 | |
| | 30,000 | | | A+ | | 3.050% due 4/15/30 | | | 34,239 | |
| | 190,000 | | | A+ | | 3.700% due 4/15/50 | | | 231,528 | |
| | 160,000 | | | A- | | Eaton Corp., Company Guaranteed Notes, 4.150% due 11/2/42 | | | 200,261 | |
| | | | | | General Electric Co., Senior Unsecured Notes: | | | | |
| | 30,000 | | | BBB+ | | 3.450% due 5/1/27 | | | 31,724 | |
| | 70,000 | | | BBB+ | | 3.625% due 5/1/30 | | | 72,291 | |
| | 390,000 | | | BBB+ | | 6.750% due 3/15/32 | | | 489,034 | |
| | 1,025,000 | | | BBB+ | | 0.760% (3-Month USD-LIBOR + 0.480%) due 8/15/36(c) | | | 703,878 | |
| | 162,000 | | | BBB+ | | 6.150% due 8/7/37 | | | 192,431 | |
| | 230,000 | | | BBB+ | | 5.875% due 1/14/38 | | | 265,895 | |
| | 697,000 | | | BBB+ | | 6.875% due 1/10/39 | | | 889,252 | |
| | 70,000 | | | BBB+ | | 4.250% due 5/1/40 | | | 70,801 | |
| | 90,000 | | | BBB+ | | 4.350% due 5/1/50 | | | 91,514 | |
| | 125,000 | | | BBB+ | | Parker-Hannifin Corp., Senior Unsecured Notes, 2.700% due 6/14/24 | | | 134,047 | |
| | | | | | Textron Inc., Senior Unsecured Notes: | | | | |
| | 40,000 | | | BBB | | 3.875% due 3/1/25 | | | 43,320 | |
| | 70,000 | | | BBB | | 3.650% due 3/15/27 | | | 75,497 | |
| | 140,000 | | | BBB | | 3.900% due 9/17/29 | | | 154,670 | |
| | | | | | | | | | |
| | | | | | Total Miscellaneous Manufacturers | | | 3,842,552 | |
| | | | | | | | | | |
|
| | Oil & Gas — 2.1% | |
| | | | | | Apache Corp., Senior Unsecured Notes: | | | | |
| | 181,000 | | | BB+ | | 3.250% due 4/15/22 | | | 180,946 | |
| | 690,000 | | | BB+ | | 4.375% due 10/15/28 | | | 686,522 | |
| | 280,000 | | | BB+ | | 5.100% due 9/1/40 | | | 272,133 | |
| | 40,000 | | | BB+ | | 4.750% due 4/15/43 | | | 37,700 | |
| | 60,000 | | | BB+ | | 4.250% due 1/15/44 | | | 53,550 | |
| | | | | | BP Capital Markets America Inc., Company Guaranteed Notes: | | | | |
| | 110,000 | | | A- | | 3.245% due 5/6/22 | | | 115,556 | |
| | 20,000 | | | A- | | 2.937% due 4/6/23 | | | 21,235 | |
| | 230,000 | | | A- | | 3.216% due 11/28/23 | | | 248,195 | |
| | 30,000 | | | A- | | 3.790% due 2/6/24 | | | 32,966 | |
| | 470,000 | | | A- | | 3.410% due 2/11/26 | | | 526,856 | |
| | 110,000 | | | A- | | 3.633% due 4/6/30 | | | 126,788 | |
| | | | | | BP Capital Markets PLC, Company Guaranteed Notes: | | | | |
| | 270,000 | | | A- | | 3.814% due 2/10/24 | | | 297,977 | |
| | 30,000 | | | A- | | 3.535% due 11/4/24 | | | 33,297 | |
| | 270,000 | | | A- | | 3.506% due 3/17/25 | | | 302,184 | |
See Notes to Financial Statements.
184
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Oil & Gas — 2.1% — (continued) | |
| $ | 94,000 | | | BBB | | Canadian Natural Resources Ltd., Senior Unsecured Notes, 3.850% due 6/1/27 | | $ | 101,747 | |
| | | | | | Chevron Corp., Senior Unsecured Notes: | | | | |
| | 190,000 | | | AA | | 1.554% due 5/11/25 | | | 197,972 | |
| | 230,000 | | | AA | | 2.954% due 5/16/26 | | | 256,306 | |
| | 70,000 | | | AA | | 1.995% due 5/11/27 | | | 74,249 | |
| | 130,000 | | | AA | | 2.236% due 5/11/30 | | | 139,000 | |
| | 31,000 | | | AA | | Chevron USA Inc., Company Guaranteed Notes, 2.343% due 8/12/50 | | | 29,652 | |
| | | | | | Cimarex Energy Co., Senior Unsecured Notes: | | | | |
| | 470,000 | | | BBB- | | 3.900% due 5/15/27 | | | 484,678 | |
| | 150,000 | | | BBB- | | 4.375% due 3/15/29 | | | 160,259 | |
| | 530,000 | | | A+ | | CNOOC Finance 2015 USA LLC, Company Guaranteed Notes, 3.500% due 5/5/25 | | | 586,034 | |
| | | | | | Concho Resources Inc., Company Guaranteed Notes: | | | | |
| | 20,000 | | | BBB- | | 4.375% due 1/15/25 | | | 20,667 | |
| | 124,000 | | | BBB- | | 3.750% due 10/1/27 | | | 136,224 | |
| | 560,000 | | | BBB- | | 4.300% due 8/15/28 | | | 633,006 | |
| | 10,000 | | | BBB- | | 2.400% due 2/15/31 | | | 9,809 | |
| | 920,000 | | | BB+ | | Continental Resources Inc., Company Guaranteed Notes, 3.800% due 6/1/24 | | | 908,564 | |
| | | | | | Devon Energy Corp., Senior Unsecured Notes: | | | | |
| | 480,000 | | | BBB- | | 5.850% due 12/15/25 | | | 551,112 | |
| | 280,000 | | | BBB- | | 5.600% due 7/15/41 | | | 296,686 | |
| | 10,000 | | | BBB- | | 4.750% due 5/15/42 | | | 9,712 | |
| | 180,000 | | | BBB- | | 5.000% due 6/15/45 | | | 180,568 | |
| | | | | | Diamondback Energy Inc., Company Guaranteed Notes: | | | | |
| | 160,000 | | | BBB- | | 4.750% due 5/31/25 | | | 175,803 | |
| | 100,000 | | | BBB- | | 5.375% due 5/31/25 | | | 104,169 | |
| | 346,000 | | | BBB- | | 3.500% due 12/1/29 | | | 352,972 | |
| | | | | | Ecopetrol SA, Senior Unsecured Notes: | | | | |
| | 95,000 | | | BBB- | | 4.125% due 1/16/25 | | | 99,940 | |
| | 750,000 | | | BBB- | | 5.875% due 5/28/45 | | | 852,506 | |
| | 29,000 | | | BB- | | Endeavor Energy Resources LP/EER Finance Inc., Senior Unsecured Notes, 5.750% due 1/30/28(a) | | | 29,720 | |
| | | | | | EOG Resources Inc., Senior Unsecured Notes: | | | | |
| | 47,000 | | | A- | | 4.150% due 1/15/26 | | | 54,484 | |
| | 20,000 | | | A- | | 4.375% due 4/15/30 | | | 24,008 | |
| | 260,000 | | | A- | | 3.900% due 4/1/35 | | | 306,532 | |
| | 70,000 | | | A- | | 4.950% due 4/15/50 | | | 89,862 | |
| | 85,000 | | | BB- | | EQT Corp., Senior Unsecured Notes, 3.900% due 10/1/27 | | | 82,423 | |
| | | | | | Exxon Mobil Corp., Senior Unsecured Notes: | | | | |
| | 30,000 | | | AA | | 1.571% due 4/15/23 | | | 30,974 | |
| | 430,000 | | | AA | | 2.992% due 3/19/25 | | | 474,233 | |
| | 380,000 | | | AA | | 3.043% due 3/1/26 | | | 423,629 | |
| | 180,000 | | | AA | | 3.482% due 3/19/30 | | | 209,586 | |
| | 70,000 | | | AA | | 4.114% due 3/1/46 | | | 84,893 | |
| | 110,000 | | | AA | | 4.327% due 3/19/50 | | | 141,546 | |
| | 200,000 | | | Baa3(b) | | KazMunayGas National Co. JSC, Senior Unsecured Notes, 5.375% due 4/24/30 | | | 240,546 | |
| | | | | | Marathon Petroleum Corp., Senior Unsecured Notes: | | | | |
| | 55,000 | | | BBB | | 4.750% due 12/15/23 | | | 61,020 | |
| | 19,000 | | | BBB | | 6.500% due 3/1/41 | | | 24,335 | |
| | | | | | Noble Energy Inc., Senior Unsecured Notes: | | | | |
| | 240,000 | | | BBB- | | 3.850% due 1/15/28 | | | 272,687 | |
| | 110,000 | | | BBB- | | 5.250% due 11/15/43 | | | 146,872 | |
| | 30,000 | | | BBB- | | 4.950% due 8/15/47 | | | 39,607 | |
| | | | | | Occidental Petroleum Corp., Senior Unsecured Notes: | | | | |
| | 100,000 | | | BB+ | | 3.125% due 2/15/22 | | | 98,870 | |
| | 180,000 | | | BB+ | | 2.700% due 8/15/22 | | | 177,422 | |
See Notes to Financial Statements.
185
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Oil & Gas — 2.1% — (continued) | |
| $ | 200,000 | | | BB+ | | 6.950% due 7/1/24 | | $ | 207,500 | |
| | 310,000 | | | BB+ | | 2.900% due 8/15/24 | | | 285,780 | |
| | 760,000 | | | BB+ | | 5.550% due 3/15/26 | | | 749,679 | |
| | 90,000 | | | BB+ | | 3.400% due 4/15/26 | | | 79,954 | |
| | 170,000 | | | BB+ | | 3.200% due 8/15/26 | | | 149,410 | |
| | 140,000 | | | BB+ | | 7.500% due 5/1/31 | | | 148,750 | |
| | 75,000 | | | BB+ | | 7.875% due 9/15/31 | | | 80,578 | |
| | 150,000 | | | BB+ | | 4.500% due 7/15/44 | | | 119,156 | |
| | 90,000 | | | BB+ | | 4.625% due 6/15/45 | | | 71,325 | |
| | 30,000 | | | BB+ | | 4.100% due 2/15/47 | | | 22,572 | |
| | 560,000 | | | BB+ | | 4.200% due 3/15/48 | | | 424,900 | |
| | 200,000 | | | Baa2(b) | | Pertamina Persero PT, Senior Unsecured Notes, 3.100% due 8/27/30(a) | | | 207,500 | |
| | | | | | Petrobras Global Finance BV, Company Guaranteed Notes: | | | | |
| | 360,000 | | | BB- | | 5.750% due 2/1/29 | | | 396,180 | |
| | 120,000 | | | BB- | | 5.093% due 1/15/30(a) | | | 125,250 | |
| | 200,000 | | | BBB- | | Petroleos del Peru SA, Senior Unsecured Notes, 4.750% due 6/19/32 | | | 225,000 | |
| | | | | | Petroleos Mexicanos, Company Guaranteed Notes: | | | | |
| | 280,000 | | | BBB | | 5.950% due 1/28/31(a) | | | 253,302 | |
| | 199,000 | | | BBB | | 6.625% due 6/15/35 | | | 176,115 | |
| | 1,170,000 | | | BBB | | 6.750% due 9/21/47 | | | 978,916 | |
| | 170,000 | | | BBB | | 6.950% due 1/28/60(a) | | | 141,716 | |
| | 40,000 | | | B+ | | QEP Resources Inc., Senior Unsecured Notes, 6.875% due 3/1/21 | | | 41,195 | |
| | | | | | Range Resources Corp., Company Guaranteed Notes: | | | | |
| | 8,000 | | | B+ | | 5.875% due 7/1/22 | | | 8,128 | |
| | 140,000 | | | B+ | | 5.000% due 3/15/23 | | | 139,735 | |
| | 118,000 | | | B+ | | 4.875% due 5/15/25 | | | 110,392 | |
| | | | | | Shell International Finance BV, Company Guaranteed Notes: | | | | |
| | 260,000 | | | AA- | | 2.875% due 5/10/26 | | | 289,923 | |
| | 539,000 | | | AA- | | 3.875% due 11/13/28 | | | 635,170 | |
| | 325,000 | | | AA- | | 2.375% due 11/7/29 | | | 346,377 | |
| | 60,000 | | | AA- | | 2.750% due 4/6/30 | | | 66,127 | |
| | 90,000 | | | AA- | | 4.550% due 8/12/43 | | | 113,018 | |
| | 220,000 | | | AA- | | 4.375% due 5/11/45 | | | 273,875 | |
| | 40,000 | | | AA- | | 4.000% due 5/10/46 | | | 47,838 | |
| | 270,000 | | | AA- | | 3.250% due 4/6/50 | | | 292,149 | |
| | 400,000 | | | A+ | | Sinopec Group Overseas Development 2014 Ltd., Company Guaranteed Notes, 4.375% due 4/10/24(a) | | | 444,440 | |
| | | | | | Suncor Energy Inc., Senior Unsecured Notes: | | | | |
| | 5,000 | | | BBB+ | | 5.950% due 5/15/35 | | | 6,281 | |
| | 58,000 | | | BBB+ | | 6.800% due 5/15/38 | | | 79,111 | |
| | 99,060 | | | B- | | Transocean Pontus Ltd., Senior Secured Notes, 6.125% due 8/1/25(a) | | | 89,124 | |
| | 140,000 | | | B- | | Transocean Poseidon Ltd., Senior Secured Notes, 6.875% due 2/1/27(a) | | | 116,200 | |
| | | | | | WPX Energy Inc., Senior Unsecured Notes: | | | | |
| | 50,000 | | | BB- | | 5.250% due 10/15/27 | | | 49,820 | |
| | 30,000 | | | BB- | | 4.500% due 1/15/30 | | | 28,705 | |
| | | | | | | | | | |
| | | | | | Total Oil & Gas | | | 20,331,980 | |
| | | | | | | | | | |
|
| | Oil & Gas Services — 0.1% | |
| | | | | | Halliburton Co., Senior Unsecured Notes: | | | | |
| | 14,000 | | | BBB+ | | 3.800% due 11/15/25 | | | 15,372 | |
| | 20,000 | | | BBB+ | | 4.850% due 11/15/35 | | | 22,308 | |
| | 50,000 | | | BBB+ | | 5.000% due 11/15/45 | | | 55,097 | |
| | | | | | Schlumberger Holdings Corp., Senior Unsecured Notes: | | | | |
| | 90,000 | | | A | | 4.000% due 12/21/25(a) | | | 99,815 | |
| | 171,000 | | | A | | 3.900% due 5/17/28(a) | | | 187,033 | |
See Notes to Financial Statements.
186
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Oil & Gas Services — 0.1% — (continued) | |
| $ | 24,700 | | | B- | | Transocean Phoenix 2 Ltd., Senior Secured Notes, 7.750% due 10/15/24(a) | | $ | 22,724 | |
| | 81,250 | | | B- | | Transocean Proteus Ltd., Senior Secured Notes, 6.250% due 12/1/24(a) | | | 72,719 | |
| | | | | | | | | | |
| | | | | | Total Oil & Gas Services | | | 475,068 | |
| | | | | | | | | | |
|
| | Packaging & Containers — 0.1% | |
| | 500,000 | | | BBB | | Amcor Finance USA Inc., Company Guaranteed Notes, 4.500% due 5/15/28 | | | 587,626 | |
| | 130,000 | | | BB+ | | Ball Corp., Company Guaranteed Notes, 4.000% due 11/15/23 | | | 138,450 | |
| | 100,000 | | | B+ | | Matthews International Corp., Company Guaranteed Notes, 5.250% due 12/1/25(a) | | | 94,864 | |
| | 24,000 | | | B+ | | OI European Group BV, Company Guaranteed Notes, 4.000% due 3/15/23(a) | | | 24,333 | |
| | 235,000 | | | BB+ | | Sealed Air Corp., Company Guaranteed Notes, 5.500% due 9/15/25(a) | | | 264,057 | |
| | | | | | WestRock RKT LLC, Company Guaranteed Notes: | | | | |
| | 39,000 | | | BBB | | 4.900% due 3/1/22 | | | 41,451 | |
| | 20,000 | | | BBB | | 4.000% due 3/1/23 | | | 21,472 | |
| | | | | | | | | | |
| | | | | | Total Packaging & Containers | | | 1,172,253 | |
| | | | | | | | | | |
|
| | Pharmaceuticals — 2.8% | |
| | | | | | AbbVie Inc., Senior Unsecured Notes: | | | | |
| | 60,000 | | | BBB+ | | 3.375% due 11/14/21 | | | 62,137 | |
| | 100,000 | | | BBB+ | | 3.450% due 3/15/22(a) | | | 104,041 | |
| | 680,000 | | | BBB+ | | 2.300% due 11/21/22(a) | | | 707,097 | |
| | 30,000 | | | BBB+ | | 3.750% due 11/14/23 | | | 32,919 | |
| | 730,000 | | | BBB+ | | 2.600% due 11/21/24(a) | | | 781,959 | |
| | 260,000 | | | BBB+ | | 3.800% due 3/15/25(a) | | | 291,002 | |
| | 100,000 | | | BBB+ | | 3.600% due 5/14/25 | | | 111,677 | |
| | 512,000 | | | BBB+ | | 2.950% due 11/21/26(a) | | | 563,715 | |
| | 470,000 | | | BBB+ | | 3.200% due 11/21/29(a) | | | 522,580 | |
| | 80,000 | | | BBB+ | | 4.500% due 5/14/35 | | | 98,973 | |
| | 418,000 | | | BBB+ | | 4.050% due 11/21/39(a) | | | 489,969 | |
| | 889,000 | | | BBB+ | | 4.400% due 11/6/42 | | | 1,076,221 | |
| | 150,000 | | | BBB+ | | 4.750% due 3/15/45(a) | | | 185,993 | |
| | 385,000 | | | BBB+ | | 4.250% due 11/21/49(a) | | | 466,371 | |
| | | | | | Allergan Funding SCS, Company Guaranteed Notes: | | | | |
| | 55,000 | | | WR(b) | | 3.450% due 3/15/22 | | | 56,133 | |
| | 15,000 | | | WR(b) | | 3.850% due 6/15/24 | | | 15,880 | |
| | 255,000 | | | WR(b) | | 4.550% due 3/15/35 | | | 308,286 | |
| | 280,000 | | | WR(b) | | Allergan Inc., Company Guaranteed Notes, 2.800% due 3/15/23 | | | 285,610 | |
| | | | | | AstraZeneca PLC, Senior Unsecured Notes: | | | | |
| | 254,000 | | | BBB+ | | 3.375% due 11/16/25 | | | 286,530 | |
| | 122,000 | | | BBB+ | | 1.375% due 8/6/30 | | | 120,066 | |
| | 13,000 | | | B | | Bausch Health Cos., Inc., Company Guaranteed Notes, 5.500% due 3/1/23(a) | | | 13,015 | |
| | | | | | Bayer US Finance II LLC, Company Guaranteed Notes: | | | | |
| | 280,000 | | | BBB | | 4.250% due 12/15/25(a) | | | 322,374 | |
| | 625,000 | | | BBB | | 4.375% due 12/15/28(a) | | | 733,998 | |
| | 285,000 | | | BBB | | 4.625% due 6/25/38(a) | | | 341,140 | |
| | 140,000 | | | BBB | | 4.400% due 7/15/44(a) | | | 159,131 | |
| | 670,000 | | | BBB | | 4.875% due 6/25/48(a) | | | 831,569 | |
| | 515,000 | | | BBB | | Bayer US Finance LLC, Company Guaranteed Notes, 3.375% due 10/8/24(a) | | | 564,497 | |
| | | | | | Becton Dickinson & Co., Senior Unsecured Notes: | | | | |
| | 830,000 | | | BBB | | 3.363% due 6/6/24 | | | 903,916 | |
| | 61,000 | | | BBB | | 3.734% due 12/15/24 | | | 67,792 | |
| | 47,000 | | | BBB | | 4.685% due 12/15/44 | | | 59,624 | |
| | | | | | Bristol-Myers Squibb Co., Senior Unsecured Notes: | | | | |
| | 190,000 | | | A+ | | 2.600% due 5/16/22 | | | 197,553 | |
| | 60,000 | | | A+ | | 3.550% due 8/15/22 | | | 63,783 | |
| | 510,000 | | | A+ | | 2.900% due 7/26/24 | | | 556,421 | |
See Notes to Financial Statements.
187
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Pharmaceuticals — 2.8% — (continued) | |
| $ | 290,000 | | | A+ | | 3.875% due 8/15/25 | | $ | 333,900 | |
| | 240,000 | | | A+ | | 3.200% due 6/15/26 | | | 273,261 | |
| | 130,000 | | | A+ | | 3.400% due 7/26/29 | | | 152,005 | |
| | 60,000 | | | A+ | | 5.000% due 8/15/45 | | | 85,699 | |
| | | | | | Cigna Corp., Company Guaranteed Notes: | | | | |
| | 110,000 | | | A- | | 3.400% due 9/17/21 | | | 113,458 | |
| | 400,000 | | | A- | | 3.750% due 7/15/23 | | | 435,724 | |
| | 155,000 | | | A- | | 3.500% due 6/15/24 | | | 170,088 | |
| | 459,000 | | | A- | | 4.125% due 11/15/25 | | | 531,092 | |
| | 555,000 | | | A- | | 3.400% due 3/1/27 | | | 622,394 | |
| | 720,000 | | | A- | | 4.375% due 10/15/28 | | | 863,045 | |
| | 400,000 | | | A- | | 4.900% due 12/15/48 | | | 536,730 | |
| | | | | | CVS Health Corp., Senior Unsecured Notes: | | | | |
| | 99,000 | | | BBB | | 3.350% due 3/9/21 | | | 100,549 | |
| | 340,000 | | | BBB | | 2.750% due 12/1/22 | | | 356,242 | |
| | 372,000 | | | BBB | | 3.700% due 3/9/23 | | | 400,659 | |
| | 147,000 | | | BBB | | 3.375% due 8/12/24 | | | 161,405 | |
| | 155,000 | | | BBB | | 4.100% due 3/25/25 | | | 176,863 | |
| | 208,000 | | | BBB | | 3.875% due 7/20/25 | | | 235,810 | |
| | 335,000 | | | BBB | | 2.875% due 6/1/26 | | | 365,432 | |
| | 50,000 | | | BBB | | 3.625% due 4/1/27 | | | 56,799 | |
| | 146,000 | | | BBB | | 1.300% due 8/21/27 | | | 145,725 | |
| | 1,110,000 | | | BBB | | 4.300% due 3/25/28 | | | 1,307,584 | |
| | 130,000 | | | BBB | | 3.750% due 4/1/30 | | | 150,512 | |
| | 440,000 | | | BBB | | 4.780% due 3/25/38 | | | 541,336 | |
| | 50,000 | | | BBB | | 4.125% due 4/1/40 | | | 58,253 | |
| | 165,000 | | | BBB | | 5.125% due 7/20/45 | | | 213,975 | |
| | 1,875,000 | | | BBB | | 5.050% due 3/25/48 | | | 2,449,004 | |
| | 30,000 | | | BBB | | 4.250% due 4/1/50 | | | 35,945 | |
| | 149,240 | | | BBB | | CVS Pass-Through Trust, Pass-Thru Certificates, 6.036% due 12/10/28 | | | 169,534 | |
| | | | | | Johnson & Johnson, Senior Unsecured Notes: | | | | |
| | 100,000 | | | AAA | | 0.550% due 9/1/25 | | | 100,341 | |
| | 400,000 | | | AAA | | 2.450% due 3/1/26 | | | 439,817 | |
| | 30,000 | | | AAA | | 2.950% due 3/3/27 | | | 33,724 | |
| | 210,000 | | | AAA | | 0.950% due 9/1/27 | | | 212,154 | |
| | 110,000 | | | AAA | | 3.625% due 3/3/37 | | | 134,534 | |
| | 125,000 | | | AA- | | Merck & Co., Inc., Senior Unsecured Notes, 1.450% due 6/24/30 | | | 126,931 | |
| | | | | | Pfizer Inc., Senior Unsecured Notes: | | | | |
| | 230,000 | | | AA- | | 0.800% due 5/28/25 | | | 232,666 | |
| | 395,000 | | | AA- | | 2.625% due 4/1/30 | | | 441,563 | |
| | 140,000 | | | AA- | | 1.700% due 5/28/30 | | | 145,028 | |
| | 55,000 | | | AA- | | 4.125% due 12/15/46 | | | 70,835 | |
| | 438,000 | | | BBB+ | | Shire Acquisitions Investments Ireland DAC, Company Guaranteed Notes, 3.200% due 9/23/26 | | | 491,131 | |
| | | | | | Takeda Pharmaceutical Co., Ltd., Senior Unsecured Notes: | | | | |
| | 200,000 | | | BBB+ | | 4.400% due 11/26/23 | | | 223,764 | |
| | 201,000 | | | BBB+ | | 5.000% due 11/26/28 | | | 249,266 | |
| | 250,000 | | | BBB+ | | 2.050% due 3/31/30 | | | 254,222 | |
| | | | | | Teva Pharmaceutical Finance Co. BV, Company Guaranteed Notes: | | | | |
| | 80,000 | | | BB | | 3.650% due 11/10/21 | | | 80,425 | |
| | 50,000 | | | BB | | 2.950% due 12/18/22 | | | 48,611 | |
| | 100,000 | | | BB | | Teva Pharmaceutical Finance IV BV, Company Guaranteed Notes, 3.650% due 11/10/21 | | | 100,523 | |
| | | | | | Teva Pharmaceutical Finance Netherlands III BV, Company Guaranteed Notes: | | | | |
| | 260,000 | | | BB | | 2.200% due 7/21/21 | | | 260,085 | |
| | 300,000 | | | BB | | 2.800% due 7/21/23 | | | 288,552 | |
See Notes to Financial Statements.
188
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Pharmaceuticals — 2.8% — (continued) | |
| $ | 220,000 | | | BB | | 7.125% due 1/31/25(a) | | $ | 238,522 | |
| | 270,000 | | | BB | | 3.150% due 10/1/26 | | | 247,894 | |
| | 130,000 | | | AA- | | Wyeth LLC, Company Guaranteed Notes, 5.950% due 4/1/37 | | | 192,901 | |
| | | | | | | | | | |
| | | | | | Total Pharmaceuticals | | | 27,038,484 | |
| | | | | | | | | | |
|
| | Pipelines — 1.9% | |
| | 60,000 | | | B | | Blue Racer Midstream LLC/Blue Racer Finance Corp., Company Guaranteed Notes, 6.125% due 11/15/22(a) | | | 59,833 | |
| | | | | | Cameron LNG LLC, Senior Secured Notes: | | | | |
| | 60,000 | | | A | | 2.902% due 7/15/31(a) | | | 65,807 | |
| | 680,000 | | | A | | 3.302% due 1/15/35(a) | | | 768,469 | |
| | | | | | Cheniere Corpus Christi Holdings LLC, Senior Secured Notes: | | | | |
| | 170,000 | | | BBB- | | 7.000% due 6/30/24 | | | 198,268 | |
| | 170,000 | | | BBB- | | 5.875% due 3/31/25 | | | 196,657 | |
| | 106,000 | | | BBB- | | 5.125% due 6/30/27 | | | 119,484 | |
| | 40,000 | | | BB+ | | DCP Midstream Operating LP, Company Guaranteed Notes, 6.450% due 11/3/36(a) | | | 40,172 | |
| | 285,000 | | | BBB | | El Paso Natural Gas Co. LLC, Company Guaranteed Notes, 8.625% due 1/15/22 | | | 310,466 | |
| | | | | | Energy Transfer Operating LP: | | | | |
| | | | | | Company Guaranteed Notes: | | | | |
| | 330,000 | | | BBB- | | 4.250% due 3/15/23 | | | 348,129 | |
| | 330,000 | | | BBB- | | 4.500% due 4/15/24 | | | 355,599 | |
| | 20,000 | | | BBB- | | 4.050% due 3/15/25 | | | 21,389 | |
| | 18,000 | | | BBB- | | 4.750% due 1/15/26 | | | 19,661 | |
| | 180,000 | | | BBB- | | 4.200% due 4/15/27 | | | 188,466 | |
| | 169,000 | | | BBB- | | 5.500% due 6/1/27 | | | 189,005 | |
| | 30,000 | | | BBB- | | 4.950% due 6/15/28 | | | 32,185 | |
| | 240,000 | | | BBB- | | 5.250% due 4/15/29 | | | 263,165 | |
| | 300,000 | | | BBB- | | 8.250% due 11/15/29 | | | 383,605 | |
| | 430,000 | | | BBB- | | 3.750% due 5/15/30 | | | 427,643 | |
| | 200,000 | | | BBB- | | 6.000% due 6/15/48 | | | 208,392 | |
| | 10,000 | | | BBB- | | 6.250% due 4/15/49 | | | 10,523 | |
| | 470,000 | | | BBB- | | 5.000% due 5/15/50 | | | 450,421 | |
| | 140,000 | | | BB | | Junior Subordinated Notes, 6.750% (5-Year CMT Index + 5.134%)(c)(d) | | | 116,550 | |
| | | | | | Enterprise Products Operating LLC, Company Guaranteed Notes: | | | | |
| | 50,000 | | | BBB+ | | 3.900% due 2/15/24 | | | 55,064 | |
| | 780,000 | | | BBB+ | | 4.150% due 10/16/28 | | | 918,520 | |
| | 340,000 | | | BBB+ | | 2.800% due 1/31/30 | | | 363,944 | |
| | 120,000 | | | BBB+ | | 4.450% due 2/15/43 | | | 132,322 | |
| | 90,000 | | | BBB+ | | 3.700% due 1/31/51 | | | 92,031 | |
| | 70,000 | | | BBB+ | | 3.950% due 1/31/60 | | | 71,538 | |
| | | | | | Kinder Morgan Energy Partners LP, Company Guaranteed Notes: | | | | |
| | 50,000 | | | BBB | | 3.500% due 3/1/21 | | | 50,507 | |
| | 200,000 | | | BBB | | 4.250% due 9/1/24 | | | 223,247 | |
| | 150,000 | | | BBB | | 6.375% due 3/1/41 | | | 189,084 | |
| | | | | | Kinder Morgan Inc., Company Guaranteed Notes: | | | | |
| | 480,000 | | | BBB | | 5.625% due 11/15/23(a) | | | 544,060 | |
| | 290,000 | | | BBB | | 4.300% due 3/1/28 | | | 336,413 | |
| | 10,000 | | | BBB | | 5.200% due 3/1/48 | | | 12,295 | |
| | 35,000 | | | BBB+ | | Magellan Midstream Partners LP, Senior Unsecured Notes, 4.200% due 10/3/47 | | | 38,002 | |
| | | | | | MPLX LP, Senior Unsecured Notes: | | | | |
| | 37,000 | | | BBB | | 4.875% due 12/1/24 | | | 41,789 | |
| | 180,000 | | | BBB | | 4.875% due 6/1/25 | | | 205,823 | |
| | 424,000 | | | BBB | | 4.800% due 2/15/29 | | | 492,116 | |
| | 150,000 | | | BBB | | 4.500% due 4/15/38 | | | 159,559 | |
| | 260,000 | | | BBB | | 4.700% due 4/15/48 | | | 280,866 | |
| | 150,000 | | | BBB | | 5.500% due 2/15/49 | | | 178,373 | |
See Notes to Financial Statements.
189
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Pipelines — 1.9% — (continued) | |
| | | | | | NGPL PipeCo LLC, Senior Unsecured Notes: | | | | |
| $ | 327,000 | | | BBB- | | 4.375% due 8/15/22(a) | | $ | 339,248 | |
| | 60,000 | | | BBB- | | 4.875% due 8/15/27(a) | | | 65,785 | |
| | 55,000 | | | BBB- | | 7.768% due 12/15/37(a) | | | 67,166 | |
| | 130,000 | | | A | | Northern Natural Gas Co., Senior Unsecured Notes, 4.300% due 1/15/49(a) | | | 154,181 | |
| | 210,000 | | | BBB | | Northwest Pipeline LLC, Senior Unsecured Notes, 4.000% due 4/1/27 | | | 234,143 | |
| | 273,390 | | | BBB | | Pipeline Funding Co. LLC, Senior Secured Notes, 7.500% due 1/15/30(a) | | | 376,946 | |
| | 300,000 | | | BBB- | | Plains All American Pipeline LP/PAA Finance Corp., Senior Unsecured Notes, 4.650% due 10/15/25 | | | 326,544 | |
| | | | | | Rockies Express Pipeline LLC, Senior Unsecured Notes: | | | | |
| | 300,000 | | | BB+ | | 4.950% due 7/15/29(a) | | | 302,250 | |
| | 280,000 | | | BB+ | | 6.875% due 4/15/40(a) | | | 289,800 | |
| | 340,909 | | | BB- | | Ruby Pipeline LLC, Senior Unsecured Notes, 7.000% due 4/1/22(a) | | | 304,338 | |
| | | | | | Sabine Pass Liquefaction LLC, Senior Secured Notes: | | | | |
| | 424,000 | | | BBB- | | 5.750% due 5/15/24 | | | 485,370 | |
| | 342,000 | | | BBB- | | 5.625% due 3/1/25 | | | 398,356 | |
| | 210,000 | | | BBB- | | 5.000% due 3/15/27 | | | 239,049 | |
| | 73,000 | | | BBB- | | 4.200% due 3/15/28 | | | 80,332 | |
| | 258,000 | | | BBB+ | | Southern Natural Gas Co. LLC, Senior Unsecured Notes, 8.000% due 3/1/32 | | | 369,049 | |
| | | | | | Sunoco Logistics Partners Operations LP, Company Guaranteed Notes: | | | | |
| | 170,000 | | | BBB- | | 3.900% due 7/15/26 | | | 178,483 | |
| | 61,000 | | | BBB- | | 4.000% due 10/1/27 | | | 62,761 | |
| | 10,000 | | | BBB- | | 5.350% due 5/15/45 | | | 9,639 | |
| | 300,000 | | | BBB- | | 5.400% due 10/1/47 | | | 298,306 | |
| | | | | | Targa Resources Partners LP/Targa Resources Partners Finance Corp., Company Guaranteed Notes: | | | | |
| | 50,000 | | | BB | | 4.250% due 11/15/23 | | | 50,444 | |
| | 20,000 | | | BB | | 5.875% due 4/15/26 | | | 21,087 | |
| | 20,000 | | | BB | | 5.375% due 2/1/27 | | | 20,696 | |
| | 50,000 | | | BB | | 6.500% due 7/15/27 | | | 54,125 | |
| | 132,000 | | | BB | | 6.875% due 1/15/29 | | | 146,272 | |
| | 50,000 | | | BB | | 5.500% due 3/1/30(a) | | | 52,781 | |
| | 560,000 | | | BBB | | Tennessee Gas Pipeline Co. LLC, Company Guaranteed Notes, 2.900% due 3/1/30(a) | | | 586,881 | |
| | | | | | Texas Eastern Transmission LP, Senior Unsecured Notes: | | | | |
| | 30,000 | | | BBB+ | | 2.800% due 10/15/22(a) | | | 30,773 | |
| | 106,000 | | | BBB+ | | 3.500% due 1/15/28(a) | | | 114,745 | |
| | 295,000 | | | BBB+ | | 4.150% due 1/15/48(a) | | | 316,189 | |
| | 23,000 | | | BBB+ | | TransCanada PipeLines Ltd., Senior Unsecured Notes, 5.850% due 3/15/36 | | | 30,300 | |
| | | | | | Transcontinental Gas Pipe Line Co. LLC, Senior Unsecured Notes: | | | | |
| | 1,119,000 | | | BBB | | 7.850% due 2/1/26 | | | 1,464,784 | |
| | 270,000 | | | BBB | | 4.000% due 3/15/28 | | | 306,471 | |
| | | | | | Western Midstream Operating LP, Senior Unsecured Notes: | | | | |
| | 50,000 | | | BB+ | | 2.116% (3-Month USD-LIBOR + 1.850%) due 1/13/23(c) | | | 47,519 | |
| | 140,000 | | | BB+ | | 4.100% due 2/1/25 | | | 139,819 | |
| | 40,000 | | | BB+ | | 4.500% due 3/1/28 | | | 40,300 | |
| | 540,000 | | | BB+ | | 5.050% due 2/1/30 | | | 553,546 | |
| | 10,000 | | | BB+ | | 5.500% due 8/15/48 | | | 9,000 | |
| | 90,000 | | | BB+ | | 6.250% due 2/1/50 | | | 90,289 | |
| | | | | | Williams Cos., Inc. (The), Senior Unsecured Notes: | | | | |
| | 336,000 | | | BBB | | 7.875% due 9/1/21 | | | 360,082 | |
| | 55,000 | | | BBB | | 7.500% due 1/15/31 | | | 72,541 | |
| | 260,000 | | | BBB | | 7.750% due 6/15/31 | | | 345,081 | |
| | 116,000 | | | BBB | | 8.750% due 3/15/32 | | | 167,592 | |
| | 250,000 | | | BBB | | 5.100% due 9/15/45 | | | 293,257 | |
| | | | | | | | | | |
| | | | | | Total Pipelines | | | 19,055,762 | |
| | | | | | | | | | |
See Notes to Financial Statements.
190
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Real Estate Investment Trusts (REITs) — 0.7% | |
| $ | 103,000 | | | BBB+ | | Alexandria Real Estate Equities Inc., Company Guaranteed Notes, 3.800% due 4/15/26 | | $ | 117,953 | |
| | | | | | American Tower Corp., Senior Unsecured Notes: | | | | |
| | 73,000 | | | BBB- | | 1.300% due 9/15/25 | | | 74,164 | |
| | 15,000 | | | BBB- | | 2.750% due 1/15/27 | | | 16,342 | |
| | 111,000 | | | BBB- | | 3.950% due 3/15/29 | | | 129,090 | |
| | 76,000 | | | BBB- | | 3.800% due 8/15/29 | | | 88,080 | |
| | 46,000 | | | BBB- | | 2.100% due 6/15/30 | | | 47,094 | |
| | | | | | Boston Properties LP, Senior Unsecured Notes: | | | | |
| | 115,000 | | | BBB+ | | 4.500% due 12/1/28 | | | 136,299 | |
| | 148,000 | | | BBB+ | | 3.250% due 1/30/31 | | | 161,769 | |
| | 464,000 | | | BBB- | | CC Holdings GS V LLC/Crown Castle GS III Corp., Senior Secured Notes, 3.849% due 4/15/23 | | | 501,240 | |
| | | | | | Crown Castle International Corp., Senior Unsecured Notes: | | | | |
| | 35,000 | | | BBB- | | 5.250% due 1/15/23 | | | 38,803 | |
| | 29,000 | | | BBB- | | 3.150% due 7/15/23 | | | 31,006 | |
| | 310,000 | | | BBB- | | 3.700% due 6/15/26 | | | 350,801 | |
| | 275,000 | | | BBB- | | 3.100% due 11/15/29 | | | 302,857 | |
| | 40,000 | | | BBB- | | 3.300% due 7/1/30 | | | 44,635 | |
| | 68,000 | | | BBB- | | 2.250% due 1/15/31 | | | 69,730 | |
| | 25,000 | | | BBB- | | 4.750% due 5/15/47 | | | 32,061 | |
| | 18,000 | | | BBB- | | 5.200% due 2/15/49 | | | 24,224 | |
| | 400,000 | | | BBB- | | CyrusOne LP/CyrusOne Finance Corp., Company Guaranteed Notes, 3.450% due 11/15/29 | | | 437,490 | |
| | 153,000 | | | BBB- | | Equifax Inc., Senior Unsecured Notes, 3.200% due 11/18/29 | | | 169,034 | |
| | | | | | GLP Capital LP/GLP Financing II Inc., Company Guaranteed Notes: | | | | |
| | 620,000 | | | BBB- | | 5.250% due 6/1/25 | | | 672,570 | |
| | 592,000 | | | BBB- | | 5.375% due 4/15/26 | | | 658,079 | |
| | 220,000 | | | BBB- | | 5.300% due 1/15/29 | | | 243,955 | |
| | 102,000 | | | BBB- | | 4.000% due 1/15/30 | | | 106,026 | |
| | 15,000 | | | BBB- | | 4.000% due 1/15/31 | | | 15,574 | |
| | 350,000 | | | BBB | | Healthcare Trust of America Holdings LP, Company Guaranteed Notes, 3.100% due 2/15/30 | | | 370,573 | |
| | | | | | Healthpeak Properties Inc., Senior Unsecured Notes: | | | | |
| | 13,000 | | | BBB+ | | 4.250% due 11/15/23 | | | 14,244 | |
| | 500,000 | | | BBB+ | | 3.400% due 2/1/25 | | | 551,910 | |
| | 131,000 | | | BBB | | Highwoods Realty LP, Senior Unsecured Notes, 3.200% due 6/15/21 | | | 133,010 | |
| | 350,000 | | | BBB | | Life Storage LP, Company Guaranteed Notes, 3.875% due 12/15/27 | | | 389,591 | |
| | 160,000 | | | BB- | | MGM Growth Properties Operating Partnership LP/MGP Finance Co.-Issuer Inc., Company Guaranteed Notes, 4.500% due 1/15/28 | | | 164,970 | |
| | 80,000 | | | A- | | Prologis LP, Company Guaranteed Notes, 4.375% due 9/15/48 | | | 109,293 | |
| | | | | | Realty Income Corp., Senior Unsecured Notes: | | | | |
| | 160,000 | | | A- | | 3.000% due 1/15/27 | | | 173,301 | |
| | 140,000 | | | A- | | 3.250% due 1/15/31 | | | 155,710 | |
| | 69,000 | | | BB- | | SBA Communications Corp., Senior Unsecured Notes, 4.875% due 9/1/24 | | | 70,963 | |
| | 400,000 | | | BBB+ | | Ventas Realty LP, Company Guaranteed Notes, 3.750% due 5/1/24 | | | 428,874 | |
| | | | | | | | | | |
| | | | | | Total Real Estate Investment Trusts (REITs) | | | 7,031,315 | |
| | | | | | | | | | |
|
| | Retail — 0.6% | |
| | | | | | Alimentation Couche-Tard Inc.: | | | | |
| | 250,000 | | | BBB | | Company Guaranteed Notes, 3.550% due 7/26/27(a) | | | 276,660 | |
| | 410,000 | | | BBB | | Senior Unsecured Notes, 3.800% due 1/25/50(a) | | | 445,370 | |
| | | | | | Costco Wholesale Corp., Senior Unsecured Notes: | | | | |
| | 260,000 | | | A+ | | 1.375% due 6/20/27 | | | 266,150 | |
| | 160,000 | | | A+ | | 1.600% due 4/20/30 | | | 163,304 | |
| | | | | | Home Depot Inc. (The), Senior Unsecured Notes: | | | | |
| | 210,000 | | | A | | 2.500% due 4/15/27 | | | 230,348 | |
| | 131,000 | | | A | | 3.300% due 4/15/40 | | | 150,086 | |
See Notes to Financial Statements.
191
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Retail — 0.6% — (continued) | |
| $ | 20,000 | | | A | | 3.900% due 6/15/47 | | $ | 24,469 | |
| | 270,000 | | | A | | 3.350% due 4/15/50 | | | 309,914 | |
| | | | | | Lowe’s Cos., Inc., Senior Unsecured Notes: | | | | |
| | 288,000 | | | BBB+ | | 4.000% due 4/15/25 | | | 329,144 | |
| | 70,000 | | | BBB+ | | 4.500% due 4/15/30 | | | 87,005 | |
| | 50,000 | | | BBB+ | | 5.000% due 4/15/40 | | | 66,350 | |
| | 37,000 | | | BBB+ | | 4.375% due 9/15/45 | | | 45,112 | |
| | 220,000 | | | BBB+ | | 5.125% due 4/15/50 | | | 306,009 | |
| | | | | | McDonald’s Corp., Senior Unsecured Notes: | | | | |
| | 40,000 | | | BBB+ | | 3.300% due 7/1/25 | | | 44,777 | |
| | 30,000 | | | BBB+ | | 1.450% due 9/1/25 | | | 31,034 | |
| | 200,000 | | | BBB+ | | 3.700% due 1/30/26 | | | 228,744 | |
| | 30,000 | | | BBB+ | | 3.500% due 3/1/27 | | | 34,062 | |
| | 340,000 | | | BBB+ | | 3.800% due 4/1/28 | | | 396,024 | |
| | 110,000 | | | BBB+ | | 2.125% due 3/1/30 | | | 114,643 | |
| | 100,000 | | | BBB+ | | 3.600% due 7/1/30 | | | 116,230 | |
| | 280,000 | | | BBB+ | | 3.625% due 5/1/43 | | | 311,941 | |
| | 15,000 | | | BBB+ | | 4.450% due 3/1/47 | | | 18,735 | |
| | 20,000 | | | BBB+ | | 3.625% due 9/1/49 | | | 22,667 | |
| | 190,000 | | | BBB+ | | 4.200% due 4/1/50 | | | 232,706 | |
| | 102,000 | | | CCC- | | Rite Aid Corp., Senior Secured Notes, 8.000% due 11/15/26(a) | | | 103,785 | |
| | | | | | Starbucks Corp., Senior Unsecured Notes: | | | | |
| | 87,000 | | | BBB+ | | 3.100% due 3/1/23 | | | 92,594 | |
| | 136,000 | | | BBB+ | | 2.550% due 11/15/30 | | | 144,578 | |
| | 30,000 | | | BBB+ | | 3.750% due 12/1/47 | | | 32,906 | |
| | 120,000 | | | A | | Target Corp., Senior Unsecured Notes, 2.250% due 4/15/25 | | | 128,842 | |
| | 110,000 | | | A | | TJX Cos., Inc. (The), Senior Unsecured Notes, 3.500% due 4/15/25 | | | 122,943 | |
| | 635,000 | | | BBB | | Walgreens Boots Alliance Inc., Senior Unsecured Notes, 3.450% due 6/1/26 | | | 698,718 | |
| | | | | | Walmart Inc., Senior Unsecured Notes: | | | | |
| | 50,000 | | | AA | | 3.550% due 6/26/25 | | | 57,026 | |
| | 100,000 | | | AA | | 3.050% due 7/8/26 | | | 112,917 | |
| | 290,000 | | | AA | | 3.700% due 6/26/28 | | | 343,672 | |
| | 66,000 | | | AA | | 3.250% due 7/8/29 | | | 77,205 | |
| | 61,000 | | | AA | | 7.550% due 2/15/30 | | | 94,950 | |
| | | | | | | | | | |
| | | | | | Total Retail | | | 6,261,620 | |
| | | | | | | | | | |
|
| | Savings & Loans — 0.1% | |
| | 500,000 | | | BBB+ | | Nationwide Building Society, Senior Unsecured Notes, 4.363% (3-Month USD-LIBOR + 1.392%) due 8/1/24(a)(c) | | | 547,921 | |
| | | | | | | | | | |
|
| | Semiconductors — 1.0% | |
| | | | | | Analog Devices Inc., Senior Unsecured Notes: | | | | |
| | 200,000 | | | BBB | | 3.500% due 12/5/26 | | | 227,798 | |
| | 10,000 | | | BBB | | 5.300% due 12/15/45 | | | 14,191 | |
| | | | | | Applied Materials Inc., Senior Unsecured Notes: | | | | |
| | 67,000 | | | A- | | 3.300% due 4/1/27 | | | 76,697 | |
| | 135,000 | | | A- | | 1.750% due 6/1/30 | | | 140,350 | |
| | 20,000 | | | A- | | 5.850% due 6/15/41 | | | 30,867 | |
| | | | | | Broadcom Corp./Broadcom Cayman Finance Ltd., Company Guaranteed Notes: | | | | |
| | 300,000 | | | BBB- | | 3.625% due 1/15/24 | | | 324,260 | |
| | 518,000 | | | BBB- | | 3.875% due 1/15/27 | | | 575,002 | |
| | | | | | Broadcom Inc., Company Guaranteed Notes: | | | | |
| | 250,000 | | | BBB- | | 2.250% due 11/15/23 | | | 260,127 | |
| | 355,000 | | | Baa3(b) | | 3.625% due 10/15/24 | | | 389,357 | |
| | 472,000 | | | BBB- | | 4.700% due 4/15/25 | | | 539,852 | |
| | 280,000 | | | BBB- | | 3.150% due 11/15/25 | | | 303,716 | |
See Notes to Financial Statements.
192
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Semiconductors — 1.0% — (continued) | |
| $ | 50,000 | | | BBB- | | 4.250% due 4/15/26 | | $ | 56,755 | |
| | 341,000 | | | BBB- | | 3.459% due 9/15/26 | | | 374,218 | |
| | 138,000 | | | BBB- | | 4.110% due 9/15/28 | | | 154,705 | |
| | 20,000 | | | BBB- | | 4.150% due 11/15/30 | | | 22,593 | |
| | | | | | Intel Corp., Senior Unsecured Notes: | | | | |
| | 70,000 | | | A+ | | 3.700% due 7/29/25 | | | 79,823 | |
| | 234,000 | | | A+ | | 2.450% due 11/15/29 | | | 254,901 | |
| | 209,000 | | | A+ | | 3.900% due 3/25/30 | | | 254,337 | |
| | 30,000 | | | A+ | | 4.600% due 3/25/40 | | | 40,045 | |
| | 315,000 | | | A+ | | 4.100% due 5/19/46 | | | 393,195 | |
| | 54,000 | | | A+ | | 3.734% due 12/8/47 | | | 64,502 | |
| | 930,000 | | | A+ | | 4.750% due 3/25/50 | | | 1,292,667 | |
| | 120,000 | | | A+ | | 4.950% due 3/25/60 | | | 173,599 | |
| | | | | | KLA Corp., Senior Unsecured Notes: | | | | |
| | 83,000 | | | BBB+ | | 4.650% due 11/1/24 | | | 95,451 | |
| | 125,000 | | | BBB+ | | 4.100% due 3/15/29 | | | 150,362 | |
| | 64,000 | | | BBB+ | | 3.300% due 3/1/50 | | | 68,572 | |
| | | | | | Lam Research Corp., Senior Unsecured Notes: | | | | |
| | 100,000 | | | A- | | 3.750% due 3/15/26 | | | 115,169 | |
| | 39,000 | | | A- | | 4.875% due 3/15/49 | | | 56,025 | |
| | 150,000 | | | BBB- | | Micron Technology Inc., Senior Unsecured Notes, 2.497% due 4/24/23 | | | 156,628 | |
| | | | | | NVIDIA Corp., Senior Unsecured Notes: | | | | |
| | 258,000 | | | A- | | 2.850% due 4/1/30 | | | 288,114 | |
| | 120,000 | | | A- | | 3.500% due 4/1/40 | | | 138,817 | |
| | 519,000 | | | A- | | 3.500% due 4/1/50 | | | 590,445 | |
| | 160,000 | | | A- | | 3.700% due 4/1/60 | | | 188,176 | |
| | | | | | NXP BV/NXP Funding LLC, Company Guaranteed Notes: | | | | |
| | 486,000 | | | BBB | | 4.125% due 6/1/21(a) | | | 498,565 | |
| | 280,000 | | | BBB | | 4.625% due 6/1/23(a) | | | 307,715 | |
| | 25,000 | | | BBB | | 5.550% due 12/1/28(a) | | | 31,430 | |
| | | | | | NXP BV/NXP Funding LLC/NXP USA Inc., Company Guaranteed Notes: | | | | |
| | 90,000 | | | BBB | | 2.700% due 5/1/25(a) | | | 96,014 | |
| | 184,000 | | | BBB | | 4.300% due 6/18/29(a) | | | 214,780 | |
| | | | | | QUALCOMM Inc., Senior Unsecured Notes: | | | | |
| | 30,000 | | | A- | | 4.650% due 5/20/35 | | | 40,455 | |
| | 64,000 | | | A- | | 4.800% due 5/20/45 | | | 87,270 | |
| | 34,000 | | | A- | | 4.300% due 5/20/47 | | | 43,519 | |
| | 196,000 | | | A+ | | Texas Instruments Inc., Senior Unsecured Notes, 1.750% due 5/4/30 | | | 202,989 | |
| | | | | | | | | | |
| | | | | | Total Semiconductors | | | 9,414,053 | |
| | | | | | | | | | |
|
| | Shipbuilding — 0.1% | |
| | | | | | Huntington Ingalls Industries Inc., Company Guaranteed Notes: | | | | |
| | 199,000 | | | BBB | | 3.844% due 5/1/25(a) | | | 218,291 | |
| | 191,000 | | | BBB | | 3.483% due 12/1/27 | | | 208,773 | |
| | 122,000 | | | BBB | | 4.200% due 5/1/30(a) | | | 140,385 | |
| | | | | | | | | | |
| | | | | | Total Shipbuilding | | | 567,449 | |
| | | | | | | | | | |
|
| | Software — 0.8% | |
| | | | | | Activision Blizzard Inc., Senior Unsecured Notes: | | | | |
| | 250,000 | | | A- | | 3.400% due 9/15/26 | | | 286,650 | |
| | 35,000 | | | A- | | 3.400% due 6/15/27 | | | 39,997 | |
| | 124,000 | | | A- | | 2.500% due 9/15/50 | | | 116,400 | |
| | | | | | Autodesk Inc., Senior Unsecured Notes: | | | | |
| | 165,000 | | | BBB | | 4.375% due 6/15/25 | | | 188,974 | |
| | 114,000 | | | BBB | | 2.850% due 1/15/30 | | | 126,024 | |
| | 285,000 | | | BBB+ | | Electronic Arts Inc., Senior Unsecured Notes, 4.800% due 3/1/26 | | | 339,146 | |
See Notes to Financial Statements.
193
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Software — 0.8% — (continued) | |
| | | | | | Fidelity National Information Services Inc.: | | | | |
| $ | 19,000 | | | BBB | | Company Guaranteed Notes, 3.500% due 4/15/23 | | $ | 20,295 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 37,000 | | | BBB | | 3.000% due 8/15/26 | | | 41,416 | |
| | 45,000 | | | BBB | | 3.750% due 5/21/29 | | | 52,901 | |
| | | | | | Fiserv Inc., Senior Unsecured Notes: | | | | |
| | 35,000 | | | BBB | | 3.850% due 6/1/25 | | | 39,758 | |
| | 105,000 | | | BBB | | 4.200% due 10/1/28 | | | 125,087 | |
| | 350,000 | | | BBB | | 3.500% due 7/1/29 | | | 398,937 | |
| | 60,000 | | | BBB | | 2.650% due 6/1/30 | | | 64,623 | |
| | | | | | Microsoft Corp., Senior Unsecured Notes: | | | | |
| | 270,000 | | | AAA | | 2.875% due 2/6/24 | | | 291,631 | |
| | 70,000 | | | AAA | | 2.700% due 2/12/25 | | | 76,452 | |
| | 1,030,000 | | | AAA | | 2.400% due 8/8/26 | | | 1,126,816 | |
| | 670,000 | | | AAA | | 3.300% due 2/6/27 | | | 768,030 | |
| | 10,000 | | | AAA | | 3.450% due 8/8/36 | | | 12,061 | |
| | 13,000 | | | AAA | | 4.100% due 2/6/37 | | | 16,789 | |
| | 216,000 | | | AAA | | 3.750% due 2/12/45 | | | 269,434 | |
| | 75,000 | | | AAA | | 2.525% due 6/1/50 | | | 79,115 | |
| | 42,000 | | | AAA | | 3.950% due 8/8/56 | | | 55,728 | |
| | 8,000 | | | AAA | | 2.675% due 6/1/60 | | | 8,457 | |
| | | | | | Oracle Corp., Senior Unsecured Notes: | | | | |
| | 338,000 | | | A | | 2.950% due 11/15/24 | | | 368,121 | |
| | 654,000 | | | A | | 2.800% due 4/1/27 | | | 720,918 | |
| | 554,000 | | | A | | 3.250% due 11/15/27 | | | 627,364 | |
| | 103,000 | | | A | | 4.300% due 7/8/34 | | | 128,595 | |
| | 195,000 | | | A | | 3.900% due 5/15/35 | | | 236,741 | |
| | 23,000 | | | A | | 3.800% due 11/15/37 | | | 26,696 | |
| | 28,000 | | | A | | 5.375% due 7/15/40 | | | 38,606 | |
| | | | | | salesforce.com Inc., Senior Unsecured Notes: | | | | |
| | 130,000 | | | A | | 3.250% due 4/11/23 | | | 139,602 | |
| | 450,000 | | | A | | 3.700% due 4/11/28 | | | 527,134 | |
| | 111,000 | | | B+ | | SS&C Technologies Inc., Company Guaranteed Notes, 5.500% due 9/30/27(a) | | | 119,031 | |
| | | | | | | | | | |
| | | | | | Total Software | | | 7,477,529 | |
| | | | | | | | | | |
|
| | Telecommunications — 2.2% | |
| | | | | | AT&T Inc., Senior Unsecured Notes: | | | | |
| | 1,000,000 | | | BBB | | zero coupon, due 11/27/22(a) | | | 986,321 | |
| | 20,000 | | | BBB | | 4.250% due 3/1/27 | | | 23,459 | |
| | 260,000 | | | BBB | | 2.300% due 6/1/27 | | | 276,406 | |
| | 70,000 | | | BBB | | 1.650% due 2/1/28 | | | 71,092 | |
| | 149,000 | | | BBB | | 4.350% due 3/1/29 | | | 177,447 | |
| | 400,000 | | | BBB | | 4.300% due 2/15/30 | | | 478,300 | |
| | 50,000 | | | BBB | | 2.250% due 2/1/32 | | | 50,814 | |
| | 490,000 | | | BBB | | 4.500% due 5/15/35 | | | 587,749 | |
| | 30,000 | | | BBB | | 6.250% due 3/29/41 | | | 41,692 | |
| | 70,000 | | | BBB | | 3.100% due 2/1/43 | | | 70,048 | |
| | 655,000 | | | BBB | | 4.800% due 6/15/44 | | | 791,568 | |
| | 335,000 | | | BBB | | 4.350% due 6/15/45 | | | 384,713 | |
| | 194,000 | | | BBB | | 4.850% due 7/15/45 | | | 232,417 | |
| | 1,068,000 | | | BBB | | 4.750% due 5/15/46 | | | 1,286,132 | |
| | 442,000 | | | BBB | | 5.150% due 11/15/46 | | | 556,421 | |
| | 278,000 | | | BBB | | 4.500% due 3/9/48 | | | 328,091 | |
| | | | | | Corning Inc., Senior Unsecured Notes: | | | | |
| | 15,000 | | | BBB+ | | 3.700% due 11/15/23 | | | 16,051 | |
| | 25,000 | | | BBB+ | | 4.375% due 11/15/57 | | | 30,645 | |
See Notes to Financial Statements.
194
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Telecommunications — 2.2% — (continued) | |
| | | | | | Intelsat Jackson Holdings SA, Company Guaranteed Notes: | | | | |
| $ | 184,000 | | | WR(b) | | 8.500% due 10/15/24(a)(g) | | $ | 125,562 | |
| | 605,000 | | | WR(b) | | 9.750% due 7/15/25(a)(g) | | | 418,418 | |
| | 200,000 | | | BBB | | Koninklijke KPN NV, Senior Unsecured Notes, 8.375% due 10/1/30 | | | 294,162 | |
| | 145,000 | | | BB | | Level 3 Financing Inc., Company Guaranteed Notes, 5.375% due 5/1/25 | | | 149,684 | |
| | | | | | Motorola Solutions Inc., Senior Unsecured Notes: | | | | |
| | 200,000 | | | BBB- | | 4.600% due 5/23/29 | | | 234,977 | |
| | 105,000 | | | BBB- | | 2.300% due 11/15/30 | | | 104,978 | |
| | 100,000 | | | BBB- | | 5.500% due 9/1/44 | | | 116,799 | |
| | 150,000 | | | BBB- | | Qwest Corp., Senior Unsecured Notes, 7.250% due 9/15/25 | | | 174,219 | |
| | | | | | Sprint Capital Corp., Company Guaranteed Notes: | | | | |
| | 10,000 | | | BB | | 6.875% due 11/15/28 | | | 12,794 | |
| | 160,000 | | | BB | | 8.750% due 3/15/32 | | | 241,830 | |
| | 44,000 | | | BB | | Sprint Corp., Company Guaranteed Notes, 7.875% due 9/15/23 | | | 51,232 | |
| | | | | | Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, Senior Secured Notes: | | | | |
| | 920,938 | | | Baa1(b) | | 3.360% due 9/20/21(a) | | | 933,154 | |
| | 905,000 | | | Baa1(b) | | 4.738% due 3/20/25(a) | | | 984,871 | |
| | 500,000 | | | Baa1(b) | | 5.152% due 3/20/28(a) | | | 589,580 | |
| | 330,000 | | | BBB | | Telefonica Emisiones SA, Company Guaranteed Notes, 4.103% due 3/8/27 | | | 378,151 | |
| | | | | | T-Mobile USA Inc.: | | | | |
| | | | | | Company Guaranteed Notes: | | | | |
| | 150,000 | | | BB | | 6.000% due 3/1/23 | | | 150,375 | |
| | 175,000 | | | BB | | 6.000% due 4/15/24 | | | 178,654 | |
| | 63,000 | | | BB | | 4.500% due 2/1/26 | | | 65,086 | |
| | 192,000 | | | BB | | 4.750% due 2/1/28 | | | 207,120 | |
| | | | | | Senior Secured Notes: | | | | |
| | 160,000 | | | BBB- | | 3.500% due 4/15/25(a) | | | 176,947 | |
| | 636,000 | | | BBB- | | 3.750% due 4/15/27(a) | | | 720,111 | |
| | 174,000 | | | BBB- | | 2.050% due 2/15/28(a) | | | 178,444 | |
| | 360,000 | | | BBB- | | 3.875% due 4/15/30(a) | | | 413,093 | |
| | 615,000 | | | BBB- | | 2.550% due 2/15/31(a) | | | 643,837 | |
| | 350,000 | | | BBB- | | 4.375% due 4/15/40(a) | | | 419,237 | |
| | | | | | Verizon Communications Inc., Senior Unsecured Notes: | | | | |
| | 80,000 | | | BBB+ | | 3.500% due 11/1/24 | | | 89,114 | |
| | 100,000 | | | BBB+ | | 3.376% due 2/15/25 | | | 112,012 | |
| | 411,000 | | | BBB+ | | 2.625% due 8/15/26 | | | 453,378 | |
| | 313,000 | | | BBB+ | | 4.125% due 3/16/27 | | | 370,640 | |
| | 240,000 | | | BBB+ | | 3.000% due 3/22/27 | | | 268,526 | |
| | 1,018,000 | | | BBB+ | | 4.329% due 9/21/28 | | | 1,233,527 | |
| | 141,000 | | | BBB+ | | 4.016% due 12/3/29 | | | 169,788 | |
| | 140,000 | | | BBB+ | | 3.150% due 3/22/30 | | | 158,689 | |
| | 660,000 | | | BBB+ | | 4.500% due 8/10/33 | | | 838,127 | |
| | 140,000 | | | BBB+ | | 4.400% due 11/1/34 | | | 174,624 | |
| | 514,000 | | | BBB+ | | 4.272% due 1/15/36 | | | 631,390 | |
| | 150,000 | | | BBB+ | | 5.250% due 3/16/37 | | | 204,006 | |
| | 100,000 | | | BBB+ | | 4.125% due 8/15/46 | | | 124,522 | |
| | 60,000 | | | BBB+ | | 4.862% due 8/21/46 | | | 81,143 | |
| | 20,000 | | | BBB+ | | 5.500% due 3/16/47 | | | 29,375 | |
| | 150,000 | | | BBB+ | | 4.522% due 9/15/48 | | | 197,602 | |
| | 50,000 | | | BBB+ | | 4.000% due 3/22/50 | | | 62,940 | |
| | | | | | Vodafone Group PLC, Senior Unsecured Notes: | | | | |
| | 205,000 | | | BBB | | 3.750% due 1/16/24 | | | 224,992 | |
| | 68,000 | | | BBB | | 4.125% due 5/30/25 | | | 78,077 | |
| | 330,000 | | | BBB | | 4.375% due 5/30/28 | | | 395,507 | |
See Notes to Financial Statements.
195
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Telecommunications — 2.2% — (continued) | |
| $ | 136,000 | | | BBB | �� | 4.375% due 2/19/43 | | $ | 160,081 | |
| | 72,000 | | | BBB | | 5.250% due 5/30/48 | | | 94,627 | |
| | 1,035,000 | | | BBB | | 4.875% due 6/19/49 | | | 1,300,897 | |
| | 120,000 | | | BBB | | 4.250% due 9/17/50 | | | 140,547 | |
| | | | | | | | | | |
| | | | | | Total Telecommunications | | | 21,946,812 | |
| | | | | | | | | | |
|
| | Toys/Games/Hobbies — 0.0% | |
| | | | | | Hasbro Inc., Senior Unsecured Notes: | | | | |
| | 44,000 | | | BBB- | | 2.600% due 11/19/22 | | | 45,466 | |
| | 64,000 | | | BBB- | | 3.900% due 11/19/29 | | | 67,355 | |
| | | | | | | | | | |
| | | | | | Total Toys/Games/Hobbies | | | 112,821 | |
| | | | | | | | | | |
|
| | Transportation — 0.4% | |
| | | | | | Burlington Northern Santa Fe LLC, Senior Unsecured Notes: | | | | |
| | 58,000 | | | A+ | | 4.150% due 4/1/45 | | | 73,691 | |
| | 10,000 | | | A+ | | 3.900% due 8/1/46 | | | 12,453 | |
| | 20,000 | | | A+ | | 4.125% due 6/15/47 | | | 25,313 | |
| | 77,000 | | | BBB+ | | Canadian Pacific Railway Co., Company Guaranteed Notes, 2.050% due 3/5/30 | | | 80,829 | |
| | | | | | CSX Corp., Senior Unsecured Notes: | | | | |
| | 240,000 | | | BBB+ | | 2.600% due 11/1/26 | | | 262,286 | |
| | 147,000 | | | BBB+ | | 3.250% due 6/1/27 | | | 166,257 | |
| | 55,000 | | | BBB+ | | 3.800% due 3/1/28 | | | 64,185 | |
| | 20,000 | | | BBB+ | | 6.150% due 5/1/37 | | | 28,239 | |
| | 65,000 | | | BBB+ | | 4.300% due 3/1/48 | | | 82,754 | |
| | | | | | FedEx Corp., Company Guaranteed Notes: | | | | |
| | 314,000 | | | BBB | | 3.800% due 5/15/25 | | | 355,022 | |
| | 28,000 | | | BBB | | 3.250% due 4/1/26 | | | 31,265 | |
| | 43,000 | | | BBB | | 4.100% due 2/1/45 | | | 48,463 | |
| | 62,000 | | | BBB | | 4.050% due 2/15/48 | | | 69,630 | |
| | | | | | Norfolk Southern Corp., Senior Unsecured Notes: | | | | |
| | 30,000 | | | BBB+ | | 3.650% due 8/1/25 | | | 33,950 | |
| | 16,000 | | | BBB+ | | 2.900% due 6/15/26 | | | 17,816 | |
| | 70,000 | | | BBB+ | | 3.150% due 6/1/27 | | | 77,721 | |
| | 33,000 | | | BBB+ | | 4.800% due 8/15/43 | | | 41,018 | |
| | 95,000 | | | BBB+ | | 4.150% due 2/28/48 | | | 119,086 | |
| | 8,000 | | | BBB+ | | 3.400% due 11/1/49 | | | 9,008 | |
| | | | | | Ryder System Inc., Senior Unsecured Notes: | | | | |
| | 52,000 | | | BBB | | 2.500% due 9/1/24 | | | 55,071 | |
| | 115,000 | | | BBB | | 4.625% due 6/1/25 | | | 133,058 | |
| | | | | | Union Pacific Corp., Senior Unsecured Notes: | | | | |
| | 64,000 | | | A- | | 4.163% due 7/15/22 | | | 68,004 | |
| | 50,000 | | | A- | | 3.750% due 7/15/25 | | | 56,979 | |
| | 60,000 | | | A- | | 2.150% due 2/5/27 | | | 64,229 | |
| | 410,000 | | | A- | | 3.950% due 9/10/28 | | | 488,373 | |
| | 19,000 | | | A- | | 3.799% due 10/1/51 | | | 22,995 | |
| | 213,000 | | | A- | | 3.875% due 2/1/55 | | | 258,281 | |
| | 300,000 | | | A- | | 3.839% due 3/20/60 | | | 351,777 | |
| | 160,000 | | | A- | | 3.750% due 2/5/70 | | | 182,514 | |
| | | | | | United Parcel Service Inc., Senior Unsecured Notes: | | | | |
| | 274,000 | | | A- | | 3.400% due 3/15/29 | | | 319,031 | |
| | 55,000 | | | A- | | 2.500% due 9/1/29 | | | 60,338 | |
| | | | | | | | | | |
| | | | | | Total Transportation | | | 3,659,636 | |
| | | | | | | | | | |
|
| | Trucking & Leasing — 0.0% | |
| | | | | | Penske Truck Leasing Co. LP/PTL Finance Corp., Senior Unsecured Notes: | | | | |
| | 110,000 | | | BBB | | 2.700% due 11/1/24(a) | | | 116,543 | |
See Notes to Financial Statements.
196
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Trucking & Leasing — 0.0% — (continued) | |
| $ | 30,000 | | | BBB | | 4.000% due 7/15/25(a) | | $ | 33,730 | |
| | 4,000 | | | BBB | | 3.400% due 11/15/26(a) | | | 4,399 | |
| | | | | | | | | | |
| | | | | | Total Trucking & Leasing | | | 154,672 | |
| | | | | | | | | | |
| | | | | | TOTAL CORPORATE BONDS & NOTES
(Cost — $319,247,230) | | | 351,069,343 | |
| | | | | | | | | | |
|
| | MORTGAGE-BACKED SECURITIES — 24.6% | |
|
| | FHLMC — 5.3% | |
| | | Federal Home Loan Mortgage Corp. (FHLMC): | | | | |
| | 2,024,250 | | | | | 5.000% due 6/1/21 — 3/1/50 | | | 2,240,735 | |
| | 1,790,313 | | | | | 4.500% due 4/1/29 — 3/1/50 | | | 1,941,178 | |
| | 401,257 | | | | | 5.500% due 1/1/30 — 2/1/40 | | | 459,805 | |
| | 12,606,916 | | | | | 3.000% due 3/1/31 — 9/1/50 | | | 13,365,089 | |
| | 3,555,191 | | | | | 2.500% due 9/1/31 — 6/1/40 | | | 3,752,072 | |
| | 21,090,338 | | | | | 3.500% due 11/1/33 — 3/1/50 | | | 22,781,857 | |
| | 41,503 | | | | | 6.000% due 5/1/38 — 6/1/39 | | | 48,194 | |
| | 12,076 | | | | | 7.000% due 3/1/39 | | | 14,167 | |
| | 120,909 | | | | | 6.500% due 9/1/39 | | | 140,170 | |
| | 6,587,482 | | | | | 4.000% due 9/1/40 — 3/1/50 | | | 7,262,906 | |
| | 259,418 | | | | | 2.503% (5-Year CMT Index + 1.285%) due 3/1/47(c) | | | 268,600 | |
| | | | | | | | | | |
| | | | | | TOTAL FHLMC | | | 52,274,773 | |
| | | | | | | | | | |
|
| | FNMA — 14.5% | |
| | | | | | Federal National Mortgage Association (FNMA): | | | | |
| | 160,209 | | | | | 6.000% due 9/1/21 — 10/1/35 | | | 178,824 | |
| | 3,022,522 | | | | | 5.000% due 6/1/22 — 3/1/50 | | | 3,364,826 | |
| | 1,236,520 | | | | | 5.500% due 3/1/23 — 9/1/56 | | | 1,420,656 | |
| | 11,597,824 | | | | | 4.500% due 3/1/24 — 9/1/57 | | | 12,721,342 | |
| | 13,423,898 | | | | | 4.000% due 4/1/24 — 6/1/57 | | | 14,657,864 | |
| | 24,273,458 | | | | | 3.500% due 11/1/25 — 3/1/57 | | | 26,244,576 | |
| | 9,015,155 | | | | | 2.500% due 11/1/27 — 6/1/50 | | | 9,496,090 | |
| | 22,517,212 | | | | | 3.000% due 12/1/27 — 6/1/50 | | | 24,007,505 | |
| | 1,171,667 | | | | | 3.640% due 3/1/28 | | | 1,355,756 | |
| | 78,740 | | | | | 3.160% due 5/1/29 | | | 90,792 | |
| | 400,000 | | | | | 2.790% due 8/1/29 | | | 452,622 | |
| | 100,000 | | | | | 2.260% due 2/1/30 | | | 109,043 | |
| | 100,000 | | | | | 2.300% due 2/1/30 | | | 109,545 | |
| | 199,404 | | | | | 2.060% due 3/1/30 | | | 216,222 | |
| | 100,000 | | | | | 2.240% due 10/1/31 | | | 108,869 | |
| | 100,000 | | | | | 2.320% due 2/1/32 | | | 108,741 | |
| | 1,150,000 | | | | | 3.280% due 3/1/33 | | | 1,350,807 | |
| | 1,345,938 | | | | | 3.990% due 11/1/33 | | | 1,609,930 | |
| | 102,025 | | | | | 3.290% (1-Year USD-LIBOR + 1.540%) due 3/1/34(c) | | | 102,673 | |
| | 333,291 | | | | | 3.360% due 7/1/35 | | | 385,202 | |
| | 24,125,000 | | | | | 2.000% due 9/1/35 — 9/1/50(h) | | | 24,948,000 | |
| | 24,839 | | | | | 3.179% (1-Year Treasury Average Rate + 1.865%) due 10/1/35(c) | | | 25,585 | |
| | 23,517 | | | | | 3.197% (1-Year Treasury Average Rate + 1.870%) due 11/1/35(c) | | | 24,229 | |
| | 9,941 | | | | | 3.291% (1-Year Treasury Average Rate + 1.960%) due 11/1/35(c) | | | 10,277 | |
| | 2,115,000 | | | | | 1.500% due 9/1/36(h) | | | 2,165,025 | |
| | 21,482 | | | | | 7.000% due 4/1/37 | | | 24,778 | |
| | 43,691 | | | | | 3.015% (1-Year USD-LIBOR + 1.265%) due 5/1/37(c) | | | 44,237 | |
| | 197,516 | | | | | 6.500% due 9/1/37 — 5/1/40 | | | 229,664 | |
| | 1,560,000 | | | | | 2.000% due 9/1/40 | | | 1,612,922 | |
| | 10,850,000 | | | | | 2.500% due 9/1/50(h) | | | 11,419,625 | |
| | 2,250,000 | | | | | 3.000% due 9/1/50 — 10/1/50(h) | | | 2,367,787 | |
See Notes to Financial Statements.
197
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | | | Security | | Value | |
|
| | FNMA — (continued) | |
| $ | 500,000 | | | | | 4.500% due 9/1/50(h) | | $ | 540,098 | |
| | 200,000 | | | | | 5.000% due 9/1/50(h) | | | 219,250 | |
| | | | | | | | | | |
| | | | | | TOTAL FNMA | | | 141,723,362 | |
| | | | | | | | | | |
|
| | GNMA — 4.8% | |
| | | | | | Government National Mortgage Association (GNMA): | | | | |
| | 35,229 | | | | | 6.000% due 12/15/33 — 6/15/37 | | | 40,363 | |
| | 360,046 | | | | | 5.000% due 10/15/34 — 9/15/40 | | | 404,038 | |
| | 34,359 | | | | | 5.500% due 5/15/37 — 6/15/38 | | | 40,055 | |
| | 61,488 | | | | | 6.500% due 1/15/38 — 10/15/38 | | | 75,071 | |
| | 94,983 | | | | | 4.500% due 3/15/41 | | | 105,692 | |
| | 563,104 | | | | | 4.000% due 6/15/41 — 11/15/45 | | | 636,725 | |
| | 265,779 | | | | | 3.000% due 9/15/42 — 10/15/42 | | | 280,629 | |
| | 237,412 | | | | | 3.500% due 6/15/48 — 5/15/50 | | | 252,606 | |
| | | | | | Government National Mortgage Association II (GNMA): | | | | |
| | 133 | | | | | 9.000% due 11/20/21 | | | 134 | |
| | 78,128 | | | | | 6.000% due 7/20/37 — 11/20/40 | | | 90,981 | |
| | 5,939,149 | | | | | 4.500% due 1/20/40 — 3/20/50 | | | 6,449,792 | |
| | 1,863,062 | | | | | 5.000% due 7/20/40 — 1/20/49 | | | 2,040,940 | |
| | 8,779,092 | | | | | 4.000% due 11/20/40 — 4/20/50 | | | 9,479,664 | |
| | 6,865,547 | | | | | 3.000% due 1/20/43 — 1/20/50 | | | 7,207,535 | |
| | 11,484,162 | | | | | 3.500% due 6/20/43 — 2/20/50 | | | 12,246,240 | |
| | 2,200,000 | | | | | 2.000% due 9/20/50(h) | | | 2,279,578 | |
| | 5,100,000 | | | | | 2.500% due 9/20/50(h) | | | 5,374,125 | |
| | | | | | | | | | |
| | | | | | TOTAL GNMA | | | 47,004,168 | |
| | | | | | | | | | |
| | | | | | TOTAL MORTGAGE-BACKED SECURITIES
(Cost — $232,415,076) | | | 241,002,303 | |
| | | | | | | | | | |
|
| | U.S. GOVERNMENT AGENCIES & OBLIGATIONS — 19.2% | |
|
| | U.S. GOVERNMENT AGENCIES — 0.2% | |
| | 345,000 | | | | | Federal Home Loan Bank (FHLB), 4.000% due 9/1/28 | | | 429,380 | |
| | | | | | Federal National Mortgage Association (FNMA), Principal Strip: | | | | |
| | 575,000 | | | | | zero coupon, due 1/15/30(i) | | | 512,098 | |
| | 595,000 | | | | | zero coupon, due 5/15/30(i) | | | 527,878 | |
| | 325,000 | | | | | Residual Funding Corp., Principal Strip, zero coupon, due 1/15/21(i) | | | 324,668 | |
| | | | | | | | | | |
| | | | | | TOTAL U.S. GOVERNMENT AGENCIES | | | 1,794,024 | |
| | | | | | | | | | |
|
| | U.S. GOVERNMENT OBLIGATIONS — 19.0% | |
| | | | | | U.S. Treasury Bonds: | | | | |
| | 1,320,000 | | | | | 1.125% due 8/15/40 | | | 1,296,591 | |
| | 690,000 | | | | | 3.750% due 8/15/41 | | | 1,010,742 | |
| | 2,270,000 | | | | | 3.125% due 11/15/41 | | | 3,059,446 | |
| | 100,000 | | | | | 3.125% due 2/15/43 | | | 135,152 | |
| | 502,500 | | | | | 3.625% due 8/15/43 | | | 731,510 | |
| | 11,510,000 | | | | | 3.750% due 11/15/43 | | | 17,061,327 | |
| | 1,095,000 | | | | | 3.625% due 2/15/44 | | | 1,596,604 | |
| | 415,000 | | | | | 3.125% due 8/15/44 | | | 563,654 | |
| | 1,375,000 | | | | | 3.000% due 11/15/44 | | | 1,833,154 | |
| | 245,000 | | | | | 2.875% due 8/15/45 | | | 321,247 | |
| | 2,557,500 | | | | | 3.000% due 11/15/45 | | | 3,429,148 | |
| | 358,000 | | | | | 3.000% due 2/15/47 | | | 483,678 | |
| | 500,000 | | | | | 2.750% due 8/15/47 | | | 648,633 | |
| | 2,120,000 | | | | | 3.000% due 2/15/48 | | | 2,880,053 | |
| | 595,000 | | | | | 3.375% due 11/15/48 | | | 865,655 | |
| | 4,480,000 | | | | | 2.000% due 2/15/50 | | | 5,072,200 | |
See Notes to Financial Statements.
198
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | U.S. GOVERNMENT OBLIGATIONS — 19.0% — (continued) | |
| $ | 21,246,000 | | | | | 1.250% due 5/15/50 | | $ | 20,187,020 | |
| | 4,860,000 | | | | | 1.375% due 8/15/50 | | | 4,769,634 | |
| | 2,020,000 | | | | | U.S. Treasury Strip Principal, zero coupon, due 5/15/49(i) | | | 1,311,427 | |
| | | | | | U.S. Treasury Inflation Indexed Bonds: | | | | |
| | 295,334 | | | | | 1.750% due 1/15/28 | | | 363,257 | |
| | 992,351 | | | | | 2.125% due 2/15/40 | | | 1,533,095 | |
| | 329,616 | | | | | 2.125% due 2/15/41 | | | 515,270 | |
| | 707,352 | | | | | 0.750% due 2/15/42 | | | 893,891 | |
| | 1,150,386 | | | | | 1.375% due 2/15/44 | | | 1,644,567 | |
| | 394,117 | | | | | 0.750% due 2/15/45 | | | 504,724 | |
| | 1,272,972 | | | | | 1.000% due 2/15/46 | | | 1,728,269 | |
| | 1,149,962 | | | | | 1.000% due 2/15/48 | | | 1,605,138 | |
| | 4,630,695 | | | | | 1.000% due 2/15/49 | | | 6,528,250 | |
| | 1,961,340 | | | | | 0.250% due 2/15/50 | | | 2,338,379 | |
| | | | | | U.S. Treasury Inflation Indexed Notes: | | | | |
| | 729,575 | | | | | 0.125% due 4/15/25 | | | 784,914 | |
| | 1,353,376 | | | | | 0.125% due 7/15/30 | | | 1,526,010 | |
| | | | | | U.S. Treasury Notes: | | | | |
| | 16,630,000 | | | | | 0.125% due 6/30/22 | | | 16,626,102 | |
| | 13,270,000 | | | | | 0.125% due 7/31/22 | | | 13,266,890 | |
| | 3,315,000 | | | | | 0.125% due 5/15/23 | | | 3,313,576 | |
| | 2,065,000 | | | | | 0.250% due 6/15/23 | | | 2,071,372 | |
| | 620,000 | | | | | 0.125% due 7/15/23 | | | 619,709 | |
| | 210,000 | | | | | 1.750% due 7/31/24 | | | 222,703 | |
| | 480,000 | | | | | 0.375% due 4/30/25 | | | 482,869 | |
| | 9,170,000 | | | | | 0.250% due 5/31/25 | | | 9,171,433 | |
| | 12,940,000 | | | | | 0.250% due 6/30/25 | | | 12,938,989 | |
| | 8,938,000 | | | | | 0.250% due 7/31/25 | | | 8,933,810 | |
| | 8,725,000 | | | | | 0.250% due 8/31/25 | | | 8,719,888 | |
| | 3,740,000 | | | | | 0.500% due 6/30/27 | | | 3,748,181 | |
| | 4,575,000 | | | | | 0.375% due 7/31/27 | | | 4,544,262 | |
| | 2,930,000 | | | | | 0.500% due 8/31/27 | | | 2,934,349 | |
| | 720,000 | | | | | 0.625% due 5/15/30 | | | 716,119 | |
| | 11,090,000 | | | | | 0.625% due 8/15/30 | | | 11,016,356 | |
| | | | | | | | | | |
| | | | | | TOTAL U.S. GOVERNMENT OBLIGATIONS | | | 186,549,247 | |
| | | | | | | | | | |
| | | | | | TOTAL U.S. GOVERNMENT AGENCIES & OBLIGATIONS
(Cost — $177,992,159) | | | 188,343,271 | |
| | | | | | | | | | |
|
| | COLLATERALIZED MORTGAGE OBLIGATIONS — 10.7% | |
| | 2,194,906 | | | BB+ | | Accredited Mortgage Loan Trust, Series 2007-1, Class A4, 0.395% (1-Month USD-LIBOR + 0.220%) due 2/25/37(c) | | | 2,161,379 | |
| | 85,073 | | | CC | | AFC Home Equity Loan Trust, Series 1999-2, Class 2A, 0.825% (1-Month USD-LIBOR + 0.650%) due 6/25/29(c) | | | 69,737 | |
| | 1,011,151 | | | CCC | | Alternative Loan Trust, Series 2005-56, Class 4A1, 0.485% (1-Month USD-LIBOR + 0.310%) due 11/25/35(c) | | | 959,110 | |
| | 680,000 | | | BBB | | Applebee’s Funding LLC/IHOP Funding LLC, Series 2019-1A, Class A2I, 4.194% due 6/7/49(a) | | | 591,748 | |
| | 274,927 | | | Aaa(b) | | Ascentium Equipment Receivables Trust, Series 2017-2A, Class A3, 2.310% due 12/10/21(a) | | | 276,734 | |
| | | | | | Asset-Backed Securities Corp. Home Equity Loan Trust: | | | | |
| | 748,010 | | | CCC | | Series 2007-HE1, Class A1B, 0.325% (1-Month USD-LIBOR + 0.150%) due 12/25/36(c) | | | 720,795 | |
| | 1,121,263 | | | CCC | | Series 2007-HE1, Class A4, 0.315% (1-Month USD-LIBOR + 0.140%) due 12/25/36(c) | | | 1,072,469 | |
| | | | | | BAMLL Commercial Mortgage Securities Trust: | | | | |
| | 480,000 | | | AA- | | Series 2015-200P, Class B, 3.490% due 4/14/33(a) | | | 512,567 | |
| | 420,000 | | | AAA(j) | | Series 2018-PARK, Class A, 4.227% due 8/10/38(a)(c) | | | 497,136 | |
| | 34,807 | | | AA+ | | Banc of America Mortgage Trust, Series 2004-F, Class 1A1, 2.877% due 7/25/34(c) | | | 34,135 | |
See Notes to Financial Statements.
199
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | COLLATERALIZED MORTGAGE OBLIGATIONS — 10.7% — (continued) | |
| $ | 482,438 | | | AAA | | Barings CLO Ltd., Series 2013-IA, Class AR, 1.072% (3-Month USD-LIBOR + 0.800%) due 1/20/28(a)(c) | | $ | 479,924 | |
| | 285,000 | | | AAA | | BB-UBS Trust, Series 2012-SHOW, Class A, 3.430% due 11/5/36(a) | | | 277,494 | |
| | 284,302 | | | NR | | BCAP LLC Trust, Series 2015-RR5, Class 1A3, 2.650% due 8/26/36(a)(c) | | | 281,791 | |
| | 178,204 | | | WD(j) | | Bear Stearns Adjustable Rate Mortgage Trust, Series 2007-3, Class 1A1, 3.841% due 5/25/47(c) | | | 171,384 | |
| | 77,703 | | | B | | Bear Stearns ALT-A Trust, Series 2005-4, Class 23A2, 3.659% due 5/25/35(c) | | | 77,116 | |
| | 378,181 | | | CCC | | Bear Stearns Asset-Backed Securities I Trust, Series 2005-AC6, Class 1A3, 5.500% due 9/25/35(c) | | | 384,246 | |
| | | | | | Benchmark Mortgage Trust: | | | | |
| | 285,000 | | | AAA | | Series 2018-B1, Class A2, 3.571% due 1/15/51 | | | 296,825 | |
| | 348,000 | | | AAA | | Series 2019-B13, Class A4, 2.952% due 8/15/57 | | | 389,276 | |
| | 583,091 | | | AAA | | BlueMountain CLO Ltd., Series 2015-2A, Class A1R, 1.202% (3-Month USD-LIBOR + 0.930%) due 7/18/27(a)(c) | | | 579,729 | |
| | | | | | BX Commercial Mortgage Trust: | | | | |
| | 504,000 | | | NR | | Series 2018-IND, Class G, 2.212% (1-Month USD-LIBOR + 2.050%) due 11/15/35(a)(c) | | | 499,738 | |
| | 940,000 | | | AAA | | Series 2019-IMC, Class A, 1.162% (1-Month USD-LIBOR + 1.000%) due 4/15/34(a)(c) | | | 905,068 | |
| | 2,024,154 | | | AA+ | | CD Mortgage Trust, Series 2017-CD4, Class XA, 1.454% due 5/10/50(c)(k) | | | 125,670 | |
| | 158,264 | | | AAA | | Centex Home Equity Loan Trust, Series 2006-A, Class AV4, 0.425% (1-Month USD-LIBOR + 0.250%) due 6/25/36(c) | | | 158,331 | |
| | 545,000 | | | AA+ | | CGRBS Commercial Mortgage Trust, Series 2013-VN05, Class A, 3.369% due 3/13/35(a) | | | 573,668 | |
| | 63,516 | | | BB | | Chase Mortgage Finance Trust, Series 2007-A1, Class 5A1, 3.433% due 2/25/37(c) | | | 62,160 | |
| | | | | | Chevy Chase Funding LLC Mortgage-Backed Certificates: | | | | |
| | 518,577 | | | A | | Series 2004-2A, Class A1, 0.445% (1-Month USD-LIBOR + 0.270%) due 5/25/35(a)(c) | | | 503,014 | |
| | 1,334,033 | | | CCC | | Series 2004-2A, Class B1, 0.698% due 5/25/35(a)(c) | | | 1,002,489 | |
| | | | | | CIM Trust: | | | | |
| | 1,400,000 | | | NR | | Series 2017-1, Class A3, 3.656% (1-Month USD-LIBOR + 3.500%) due 1/25/57(a)(c) | | | 1,413,579 | |
| | 853,407 | | | NR | | Series 2018-R5, Class A1, 3.750% due 7/25/58(a)(c) | | | 866,845 | |
| | 810,824 | | | NR | | Series 2018-R6, Class A1, 1.232% (1-Month USD-LIBOR + 1.076%) due 9/25/58(a)(c) | | | 799,640 | |
| | 1,627,369 | | | NR | | Series 2019-R4, Class A1, 3.000% due 10/25/59(a)(c) | | | 1,521,321 | |
| | | | | | Citigroup Commercial Mortgage Trust: | | | | |
| | 140,000 | | | Aaa(b) | | Series 2013-375P, Class A, 3.251% due 5/10/35(a) | | | 146,131 | |
| | 575,000 | | | Aaa(b) | | Series 2015-P1, Class A5, 3.717% due 9/15/48 | | | 642,448 | |
| | 500,000 | | | Aaa(b) | | Series 2016-P5, Class A4, 2.941% due 10/10/49 | | | 545,605 | |
| | 355,000 | | | Aaa(b) | | Series 2017-P7, Class AAB, 3.509% due 4/14/50 | | | 388,078 | |
| | 1,440,000 | | | B3(b) | | Series 2019-SST2, Class F, 2.662% (1-Month USD-LIBOR + 2.500%) due 12/15/36(a)(c) | | | 1,373,258 | |
| | 1,651,640 | | | CC | | Citigroup Mortgage Loan Trust, Series 2006-AR6, Class 2A4, 0.395% (1-Month USD-LIBOR + 0.220%) due 9/25/36(c) | | | 533,288 | |
| | | | | | Commercial Mortgage Trust: | | | | |
| | 190,000 | | | AA-(j) | | Series 2013-300P, Class B, 4.540% due 8/10/30(a)(c) | | | 200,390 | |
| | 260,000 | | | B- | | Series 2013-CR9, Class E, 4.385% due 7/10/45(a)(c) | | | 125,136 | |
| | 534,853 | | | Aaa(b) | | Series 2013-CR11, Class A3, 3.983% due 8/10/50 | | | 578,353 | |
| | 40,000 | | | Aa3(b) | | Series 2013-CR12, Class B, 4.762% due 10/10/46(c) | | | 40,094 | |
| | 20,000 | | | Baa1(b) | | Series 2013-CR12, Class C, 5.240% due 10/10/46(c) | | | 19,498 | |
| | 140,000 | | | AAA | | Series 2014-CR18, Class A5, 3.828% due 7/15/47 | | | 153,390 | |
| | 489,535 | | | AAA | | Series 2014-CR18, Class ASB, 3.452% due 7/15/47 | | | 506,083 | |
| | 210,000 | | | A-(j) | | Series 2014-CR21, Class C, 4.573% due 12/10/47(c) | | | 208,675 | |
| | 345,000 | | | Aaa(b) | | Series 2014-LC17, Class A5, 3.917% due 10/10/47 | | | 378,282 | |
| | 3,008,975 | | | Aa1(b) | | Series 2015-CR25, Class XA, 0.987% due 8/10/48(c)(k) | | | 104,071 | |
| | 175,000 | | | Aaa(b) | | Series 2015-CR26, Class A4, 3.630% due 10/10/48 | | | 195,574 | |
| | 465,000 | | | Aaa(b) | | Series 2018-COR3, Class A3, 4.228% due 5/10/51 | | | 552,324 | |
| | | | | | Countrywide Asset-Backed Certificates: | | | | |
| | 117,016 | | | CCC | | Series 2006-SD3, Class A1, 0.505% (1-Month USD-LIBOR + 0.330%) due 7/25/36(a)(c) | | | 112,136 | |
| | 264,057 | | | AA | | Series 2007-13, Class 2A2, 0.975% (1-Month USD-LIBOR + 0.800%) due 10/25/47(c) | | | 257,443 | |
See Notes to Financial Statements.
200
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | COLLATERALIZED MORTGAGE OBLIGATIONS — 10.7% — (continued) | |
| | | | | | Countrywide Home Loan Mortgage Pass-Through Trust: | | | | |
| $ | 77,913 | | | WR(b) | | Series 2005-11, Class 3A3, 2.640% due 4/25/35(c) | | $ | 62,396 | |
| | 63,874 | | | WR(b) | | Series 2005-11, Class 6A1, 0.775% (1-Month USD-LIBOR + 0.600%) due 3/25/35(c) | | | 52,506 | |
| | | | | | Credit Suisse Commercial Mortgage Capital Trust: | | | | |
| | 1,260,000 | | | CCC | | Series 2014-USA, Class F, 4.373% due 9/15/37(a) | | | 711,110 | |
| | 418,382 | | | NR | | Series 2015-5R, Class 1A1, 2.243% due 9/27/46(a)(c) | | | 411,833 | |
| | 240,000 | | | Aaa(b) | | Series 2017-LSTK, Class A, 2.761% due 4/5/33(a) | | | 239,028 | |
| | | | | | Credit Suisse Commercial Mortgage Trust: | | | | |
| | 11,297 | | | Caa3(b) | | Series 2006-C3, Class AJ, 6.635% due 6/15/38(c) | | | 5,832 | |
| | 14,773 | | | Caa3(b) | | Series 2006-C5, Class AJ, 5.373% due 12/15/39 | | | 6,584 | |
| | | | | | Credit Suisse Mortgage Capital Certificates: | | | | |
| | 660,000 | | | Aaa(b) | | Series 2019-ICE4, Class A, 1.142% (1-Month USD-LIBOR + 0.980%) due 5/15/36(a)(c) | | | 662,665 | |
| | 950,000 | | | B2(b) | | Series 2019-ICE4, Class F, 2.812% (1-Month USD-LIBOR + 2.650%) due 5/15/36(a)(c) | | | 930,140 | |
| | 295,000 | | | Aaa(b) | | CSAIL Commercial Mortgage Trust, Series 2015-C1, Class A4, 3.505% due 4/15/50 | | | 321,163 | |
| | 1,816,935 | | | AAA(j) | | CSMC Trust, Series 2018-J1, Class A2, 3.500% due 2/25/48(a)(c) | | | 1,891,387 | |
| | 870,154 | | | CC | | CWABS Revolving Home Equity Loan Trust, Series 2004-B, Class 2A, 0.382% (1-Month USD-LIBOR + 0.220%) due 2/15/29(c) | | | 797,951 | |
| | 390,000 | | | Aaa(b) | | DC Office Trust, Series 2019-MTC, Class A, 2.965% due 9/15/45(a) | | | 431,789 | |
| | 47,989 | | | CCC | | Downey Savings & Loan Association Mortgage Loan Trust, Series 2004-AR2, Class A2B, 0.961% (1-Month USD-LIBOR + 0.800%) due 11/19/44(c) | | | 43,817 | |
| | 700,000 | | | AAA | | Dryden XXVIII Senior Loan Fund, Series 2013-28A, Class A1LR, 1.480% (3-Month USD-LIBOR + 1.200%) due 8/15/30(a)(c) | | | 696,556 | |
| | 975,000 | | | AAA | | Eaton Vance CLO Ltd., Series 2013-1A, Class A1RR, 1.435% (3-Month USD-LIBOR + 1.160%) due 1/15/28(a)(c) | | | 973,059 | |
| | 333,113 | | | B- | | Equifirst Mortgage Loan Trust, Series 2003-2, Class M2, 2.725% (1-Month USD-LIBOR + 2.550%) due 9/25/33(c) | | | 335,470 | |
| | | | | | Federal Home Loan Mortgage Corp. (FHLMC), Interest Strips: | | | | |
| | 90,915 | | | NR | | Series 334, Class S7, 5.938% (6.100% — 1-Month USD-LIBOR) due 8/15/44(k)(l) | | | 20,315 | |
| | 131,841 | | | NR | | Series 353, Class S1, 5.838% (6.000% — 1-Month USD-LIBOR) due 12/15/46(k)(l) | | | 28,920 | |
| | | | | | Federal Home Loan Mortgage Corp. (FHLMC), REMICS: | | | | |
| | 8,053 | | | NR | | Series 1865, Class DA, 28.259% (31.310% — 11th District Cost of Funds Index) due 2/15/24(k)(l) | | | 1,835 | |
| | 31,719 | | | NR | | Series 3451, Class SB, 5.868% (6.030% — 1-Month USD-LIBOR) due 5/15/38(k)(l) | | | 5,654 | |
| | 69,739 | | | NR | | Series 3621, Class SB, 6.068% (6.230% — 1-Month USD-LIBOR) due 1/15/40(k)(l) | | | 14,823 | |
| | 555,000 | | | NR | | Series 3743, Class PB, 4.500% due 10/15/40 | | | 653,161 | |
| | 882,704 | | | NR | | Series 3866, Class SA, 5.788% (5.950% — 1-Month USD-LIBOR) due 5/15/41(k)(l) | | | 128,433 | |
| | 304,639 | | | NR | | Series 3947, Class SG, 5.788% (5.950% — 1-Month USD-LIBOR) due 10/15/41(k)(l) | | | 54,195 | |
| | 24,067 | | | NR | | Series 3973, Class SA, 6.328% (6.490% — 1-Month USD-LIBOR) due 12/15/41(k)(l) | | | 5,523 | |
| | 265,126 | | | NR | | Series 4203, Class PS, 6.088% (6.250% — 1-Month USD-LIBOR) due 9/15/42(k)(l) | | | 41,810 | |
| | 365,060 | | | NR | | Series 4210, Class Z, 3.000% due 5/15/43 | | | 369,358 | |
| | 114,718 | | | NR | | Series 4239, Class IO, 3.500% due 6/15/27(k) | | | 7,407 | |
| | 320,169 | | | NR | | Series 4316, Class XZ, 4.500% due 3/15/44 | | | 380,759 | |
| | 86,948 | | | NR | | Series 4335, Class SW, 5.838% (6.000% — 1-Month USD-LIBOR) due 5/15/44(k)(l) | | | 17,883 | |
| | 838,354 | | | NR | | Series 4639, Class HZ, step bond to yield, 3.250% due 4/15/53 | | | 963,588 | |
| | 852,437 | | | NR | | Series 4879, Class BC, 3.000% due 4/15/49 | | | 878,275 | |
| | 100,000 | | | NR | | Series 5010, Class IK, 2.500% due 9/25/50(e)(k) | | | 11,774 | |
| | 200,000 | | | NR | | Series 5010, Class JI, 2.500% due 9/25/50(e)(k) | | | 25,642 | |
| | 100,000 | | | NR | | Series 5013, Class IN, 2.500% due 9/25/50(e)(k) | | | 11,845 | |
| | 74,151 | | | NR | | Series R007, Class ZA, 6.000% due 5/15/36 | | | 88,704 | |
| | | | | | Federal National Mortgage Association (FNMA), ACES: | | | | |
| | 8,917,190 | | | NR | | Series 2013-M7, Class X2, 0.243% due 12/27/22(c)(k) | | | 68,309 | |
| | 4,454,705 | | | NR | | Series 2015-M7, Class X2, 0.578% due 12/25/24(c)(k) | | | 78,269 | |
| | 18,227,350 | | | NR | | Series 2015-M8, Class X2, 0.230% due 1/25/25(c)(k) | | | 90,577 | |
| | 100,000 | | | NR | | Series 2017-M8, Class A2, 3.061% due 5/25/27(c) | | | 111,875 | |
| | 744,000 | | | NR | | Series 2018-M14, Class A2, 3.697% due 8/25/28(c) | | | 888,866 | |
See Notes to Financial Statements.
201
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | COLLATERALIZED MORTGAGE OBLIGATIONS — 10.7% — (continued) | |
| $ | 710,000 | | | NR | | Series 2019-M1, Class A2, 3.673% due 9/25/28(c) | | $ | 833,900 | |
| | 180,000 | | | NR | | Series 2019-M4, Class A2, 3.610% due 2/25/31 | | | 216,148 | |
| | 330,000 | | | NR | | Series 2019-M6, Class A2, 3.450% due 1/1/29 | | | 386,345 | |
| | 411,890 | | | NR | | Series 2019-M19, Class A2, 2.560% due 9/25/29 | | | 456,968 | |
| | 100,000 | | | NR | | Series 2019-M27, Class A2, 2.700% due 11/25/40 | | | 114,721 | |
| | 436,787 | | | NR | | Series 2019-M28, Class AV, 2.232% due 2/25/27 | | | 469,513 | |
| | 97,508 | | | NR | | Series 2020-M6, Class A, 2.500% due 10/25/37 | | | 103,659 | |
| | 814,621 | | | NR | | Series 2020-M10, Class X1, 1.923% due 12/25/30(c)(k) | | | 118,819 | |
| | 1,698,036 | | | NR | | Series 2020-M10, Class X2, 1.826% due 12/25/30(c)(k) | | | 234,962 | |
| | 655,000 | | | NR | | Series 2020-M10, Class X8, 0.776% due 12/25/27(c)(k) | | | 26,739 | |
| | 599,738 | | | NR | | Series 2020-M36, Class X1, 1.564% due 9/25/34(c)(k) | | | 66,838 | |
| | | | | | Federal National Mortgage Association (FNMA), Connecticut Avenue Securities: | | | | |
| | 936,226 | | | Ba1(b) | | Series 2017-C03, Class 1M2, 3.175% (1-Month USD-LIBOR + 3.000%) due 10/25/29(a)(c) | | | 949,769 | |
| | 971,448 | | | BB(j) | | Series 2017-C07, Class 1M2, 2.575% (1-Month USD-LIBOR + 2.400%) due 5/25/30(a)(c) | | | 965,396 | |
| | 575,711 | | | BB-(j) | | Series 2018-C06, Class 1M2, 2.175% (1-Month USD-LIBOR + 2.000%) due 3/25/31(a)(c) | | | 566,436 | |
| | | | | | Federal National Mortgage Association (FNMA), Grantor Trust: | | | | |
| | 62,156 | | | NR | | Series 2000-T6, Class A3, 4.238% due 11/25/40(c) | | | 63,931 | |
| | 99,690 | | | NR | | Series 2017-T1, Class A, 2.898% due 6/25/27 | | | 110,225 | |
| | | | | | Federal National Mortgage Association (FNMA), Interest Strip: | | | | |
| | 121,781 | | | NR | | Series 409, Class C13, 3.500% due 11/25/41(k) | | | 10,912 | |
| | 228,381 | | | NR | | Series 409, Class C18, 4.000% due 4/25/42(k) | | | 32,162 | |
| | 30,788 | | | NR | | Series 409, Class C22, 4.500% due 11/25/39(k) | | | 4,657 | |
| | | | | | Federal National Mortgage Association (FNMA), REMICS: | | | | |
| | 22,655 | | | NR | | Series 2004-38, Class FK, 0.525% (1-Month USD-LIBOR + 0.350%) due 5/25/34(c) | | | 22,670 | |
| | 87,959 | | | NR | | Series 2005-117, Class LC, 5.500% due 11/25/35 | | | 92,835 | |
| | 488,295 | | | NR | | Series 2006-51, Class SP, 6.475% (6.650% — 1-Month USD-LIBOR) due 3/25/36(k)(l) | | | 70,717 | |
| | 208,200 | | | NR | | Series 2007-68, Class SC, 6.525% (6.700% — 1-Month USD-LIBOR) due 7/25/37(k)(l) | | | 41,056 | |
| | 527,751 | | | NR | | Series 2008-18, Class SM, 6.825% (7.000% — 1-Month USD-LIBOR) due 3/25/38(k)(l) | | | 100,930 | |
| | 802,810 | | | NR | | Series 2011-8, Class ZA, 4.000% due 2/25/41 | | | 879,683 | |
| | 265,046 | | | NR | | Series 2011-87, Class SG, 6.375% (6.550% — 1-Month USD-LIBOR) due 4/25/40(k)(l) | | | 30,362 | |
| | 770,000 | | | NR | | Series 2011-131, Class PB, 4.500% due 12/25/41 | | | 920,820 | |
| | 74,087 | | | NR | | Series 2012-35, Class SC, 6.325% (6.500% — 1-Month USD-LIBOR) due 4/25/42(k)(l) | | | 15,941 | |
| | 96,312 | | | NR | | Series 2012-46, Class BA, 6.000% due 5/25/42 | | | 113,582 | |
| | 138,489 | | | NR | | Series 2012-51, Class B, 7.000% due 5/25/42 | | | 171,556 | |
| | 12,502 | | | NR | | Series 2012-70, Class YS, 6.475% (6.650% — 1-Month USD-LIBOR) due 2/25/41(k)(l) | | | 983 | |
| | 117,417 | | | NR | | Series 2012-74, Class SA, 6.475% (6.650% — 1-Month USD-LIBOR) due 3/25/42(k)(l) | | | 22,545 | |
| | 19,570 | | | NR | | Series 2012-75, Class AO, zero coupon, due 3/25/42(i) | | | 18,694 | |
| | 72,880 | | | NR | | Series 2012-101, Class BI, 4.000% due 9/25/27(k) | | | 4,460 | |
| | 127,900 | | | NR | | Series 2012-118, Class CI, 3.500% due 12/25/39(k) | | | 4,411 | |
| | 98,823 | | | NR | | Series 2012-133, Class CS, 5.975% (6.150% — 1-Month USD-LIBOR) due 12/25/42(k)(l) | | | 18,514 | |
| | 340,694 | | | NR | | Series 2013-9, Class BC, 6.500% due 7/25/42 | | | 415,426 | |
| | 283,021 | | | NR | | Series 2013-9, Class CB, 5.500% due 4/25/42 | | | 327,468 | |
| | 83,940 | | | NR | | Series 2013-54, Class BS, 5.975% (6.150% — 1-Month USD-LIBOR) due 6/25/43(k)(l) | | | 20,188 | |
| | 238,543 | | | NR | | Series 2016-60, Class QS, 5.925% (6.100% — 1-Month USD-LIBOR) due 9/25/46(k)(l) | | | 48,441 | |
| | 603,332 | | | NR | | Series 2018-55, Class PA, 3.500% due 1/25/47 | | | 625,809 | |
| | 552,217 | | | NR | | Series 2018-57, Class QA, 3.500% due 5/25/46 | | | 574,379 | |
| | 428,999 | | | NR | | Series 2018-94, Class KD, 3.500% due 12/25/48 | | | 453,858 | |
| | 100,334 | | | NR | | Series 2020-47, Class GZ, 2.000% due 7/25/50 | | | 100,627 | |
| | 199,386 | | | NR | | Series 2020-56, Class DI, 2.500% due 8/25/50(k) | | | 27,274 | |
| | | | | | FHLMC Multifamily Structured Pass-Through Certificates: | | | | |
| | 219,639 | | | AAA(j) | | Series K016, Class X1, 1.638% due 10/25/21(c)(k) | | | 2,801 | |
| | 6,000 | | | AAA(j) | | Series K078, Class A2, 3.854% due 6/25/28 | | | 7,227 | |
| | 185,000 | | | AAA(j) | | Series K082, Class A2, 3.920% due 9/25/28(c) | | | 225,156 | |
| | 365,000 | | | AAA(j) | | Series K083, Class A2, 4.050% due 9/25/28(c) | | | 449,161 | |
| | 382,000 | | | Aaa(b) | | Series K084, Class A2, 3.780% due 10/25/28(c) | | | 460,321 | |
See Notes to Financial Statements.
202
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | COLLATERALIZED MORTGAGE OBLIGATIONS — 10.7% — (continued) | |
| $ | 281,000 | | | Aaa(b) | | Series K085, Class A2, 4.060% due 10/25/28(c) | | $ | 344,186 | |
| | 236,000 | | | AAA | | Series K087, Class A2, 3.771% due 12/25/28 | | | 285,016 | |
| | 150,000 | | | AAA | | Series K091, Class A2, 3.505% due 3/25/29 | | | 178,841 | |
| | 1,088,494 | | | AAA(j) | | Series K099, Class X1, 1.006% due 9/25/29(c)(k) | | | 75,745 | |
| | 555,000 | | | NR | | Series K158, Class A3, 3.900% due 10/25/33(c) | | | 701,886 | |
| | 1,999,422 | | | AAA(j) | | Series K736, Class X1, 1.437% due 7/25/26(c)(k) | | | 128,765 | |
| | 284,992 | | | NR | | Series KIR2, Class A1, 2.748% due 3/25/27 | | | 302,888 | |
| | 843,780 | | | NR | | Series Q006, Class APT2, 2.553% due 9/25/26(c) | | | 890,213 | |
| | | | | | FHLMC Structured Agency Credit Risk Debt Notes: | | | | |
| | 378,078 | | | Baa1(b) | | Series 2016-DNA1, Class M3, 5.725% (1-Month USD-LIBOR + 5.550%) due 7/25/28(c) | | | 403,167 | |
| | 655,000 | | | BBB(j) | | Series 2017-DNA2, Class M2, 3.625% (1-Month USD-LIBOR + 3.450%) due 10/25/29(c) | | | 676,949 | |
| | 254,149 | | | BB(j) | | Series 2017-HRP1, Class M2, 2.625% (1-Month USD-LIBOR + 2.450%) due 12/25/42(c) | | | 242,790 | |
| | 1,454,225 | | | CC | | First Franklin Mortgage Loan Trust, Series 2006-FF13, Class A2D, 0.415% (1-Month USD-LIBOR + 0.240%) due 10/25/36(c) | | | 1,138,204 | |
| | 250,004 | | | AAA | | Flagship CLO VIII Ltd., Series 2014-8A, Class ARR, 1.121% (3-Month USD-LIBOR + 0.850%) due 1/16/26(a)(c) | | | 249,530 | |
| | | | | | Ford Credit Floorplan Master Owner Trust A: | | | | |
| | 1,370,000 | | | AAA | | Series 2018-3, Class A1, 3.520% due 10/15/23 | | | 1,417,236 | |
| | 170,000 | | | Aaa(b) | | Series 2019-2, Class A, 3.060% due 4/15/26 | | | 184,297 | |
| | 580,000 | | | AAA | | Series 2019-4, Class A, 2.440% due 9/15/26 | | | 620,095 | |
| | 905,784 | | | AA+ | | Four Times Square Trust Commercial Mortgage Pass-Through Certificates, Series 2006-4TS, Class A, 5.401% due 12/13/28(a) | | | 906,923 | |
| | 773,145 | | | NR | | FREMF Mortgage Trust, Series 2019-KF58, Class B, 2.305% (1-Month USD-LIBOR + 2.150%) due 1/25/26(a)(c) | | | 736,239 | |
| | 200,949 | | | NR | | FRESB Mortgage Trust, Series 2019-SB60, Class A10H, 3.500% due 1/25/39(c) | | | 215,576 | |
| | | | | | Government National Mortgage Association (GNMA): | | | | |
| | 433,869 | | | NR | | Series 2007-51, Class SG, 6.422% (6.580% — 1-Month USD-LIBOR) due 8/20/37(k)(l) | | | 71,451 | |
| | 1,313,690 | | | NR | | Series 2008-51, Class GS, 6.068% (6.230% — 1-Month USD-LIBOR) due 6/16/38(k)(l) | | | 291,192 | |
| | 1,580 | | | NR | | Series 2010-31, Class GS, 6.342% (6.500% — 1-Month USD-LIBOR) due 3/20/39(k)(l) | | | 14 | |
| | 39,257 | | | NR | | Series 2010-85, Class HS, 6.492% (6.650% — 1-Month USD-LIBOR) due 1/20/40(k)(l) | | | 3,402 | |
| | 277,066 | | | NR | | Series 2012-H27, Class AI, 1.749% due 10/20/62(c)(k) | | | 14,773 | |
| | 202,383 | | | NR | | Series 2013-53, Class OI, 3.500% due 4/20/43(k) | | | 20,691 | |
| | 2,374,787 | | | NR | | Series 2013-85, Class IA, 0.691% due 3/16/47(c)(k) | | | 67,388 | |
| | 174,994 | | | NR | | Series 2013-107, Class AD, 2.693% due 11/16/47(c) | | | 185,656 | |
| | 1,331,311 | | | NR | | Series 2014-105, Class IO, 0.901% due 6/16/54(c)(k) | | | 49,876 | |
| | 1,596,997 | | | NR | | Series 2014-H20, Class FA, 0.594% (1-Month USD-LIBOR + 0.430%) due 10/20/64(c) | | | 1,596,311 | |
| | 86,376 | | | NR | | Series 2015-167, Class OI, 4.000% due 4/16/45(k) | | | 13,730 | |
| | 315,391 | | | NR | | Series 2015-167, Class SA, 6.092% (6.250% — 1-Month USD-LIBOR) due 11/20/45(k)(l) | | | 60,425 | |
| | 88,858 | | | NR | | Series 2016-84, Class IG, 4.500% due 11/16/45(k) | | | 16,005 | |
| | 72,898 | | | NR | | Series 2016-135, Class SB, 5.938% (6.100% — 1-Month USD-LIBOR) due 10/16/46(k)(l) | | | 20,391 | |
| | 136,518 | | | NR | | Series 2017-187, Class SJ, 6.042% (6.200% — 1-Month USD-LIBOR) due 12/20/47(k)(l) | | | 27,106 | |
| | 730,969 | | | NR | | Series 2017-H22, Class IC, 2.119% due 11/20/67(c)(k) | | | 74,327 | |
| | 209,875 | | | NR | | Series 2018-124, Class NW, 3.500% due 9/20/48 | | | 227,014 | |
| | 69,162 | | | NR | | Series 2018-130, Class A, 3.250% due 5/16/59 | | | 72,107 | |
| | 759,423 | | | NR | | Series 2019-12, Class QA, 3.500% due 9/20/48 | | | 799,622 | |
| | 938,060 | | | NR | | Series 2019-86, Class C, 2.500% due 3/20/49 | | | 978,099 | |
| | 551,811 | | | NR | | Series 2019-119, Class JE, 3.000% due 9/20/49 | | | 572,330 | |
| | 157,570 | | | NR | | Series 2019-123, Class A, 3.000% due 10/20/49 | | | 166,873 | |
| | 393,317 | | | NR | | Series 2020-47, Class MI, 3.500% due 4/20/50(k) | | | 66,997 | |
| | 98,360 | | | NR | | Series 2020-47, Class NI, 3.500% due 4/20/50(k) | | | 17,275 | |
| | 100,000 | | | NR | | Series 2020-123, Class IL, 2.500% due 8/20/50(e)(k) | | | 13,550 | |
| | 300,000 | | | NR | | Series 2020-123, Class NI, 2.500% due 8/20/50(e)(k) | | | 41,359 | |
| | 300,441 | | | NR | | Series 2020-H09, Class FL, 1.308% (1-Month USD-LIBOR + 1.150%) due 5/20/70(c) | | | 314,730 | |
| | 100,053 | | | NR | | Series 2020-H12, Class F, 0.658% (1-Month USD-LIBOR + 0.500%) due 7/20/70(c) | | | 100,158 | |
| | 400,000 | | | NR | | Series 2020-H13, Class FA, 0.611% (1-Month USD-LIBOR + 0.450%) due 7/20/70(c)(e) | | | 399,375 | |
| | 100,000 | | | NR | | Series 2020-H13, Class FC, 0.605% (1-Month USD-LIBOR + 0.450%) due 7/20/70(c)(e) | | | 99,844 | |
See Notes to Financial Statements.
203
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | COLLATERALIZED MORTGAGE OBLIGATIONS — 10.7% — (continued) | |
| $ | 710,000 | | | AA- | | GS Mortgage Securities Corp. II, Series 2018-SRP5, Class A, 1.462% (1-Month USD-LIBOR + 1.300%) due 9/15/31(a)(c) | | $ | 658,259 | |
| | | | | | Harborview Mortgage Loan Trust: | | | | |
| | 106,323 | | | AA+ | | Series 2004-5, Class 2A6, 2.995% due 6/19/34(c) | | | 108,014 | |
| | 43,827 | | | WD(j) | | Series 2006-2, Class 1A, 3.347% due 2/25/36(c) | | | 22,484 | |
| | 912,554 | | | Caa2(b) | | Series 2006-10, Class 1A1A, 0.361% (1-Month USD-LIBOR + 0.200%) due 11/19/36(c) | | | 795,433 | |
| | 83,921 | | | AA | | Impac CMB Trust, Series 2007-A, Class A, 0.675% (1-Month USD-LIBOR + 0.500%) due 5/25/37(a)(c) | | | 81,719 | |
| | 710,000 | | | AAA(j) | | Independence Plaza Trust, Series 2018-INDP, Class A, 3.763% due 7/10/35(a) | | | 757,828 | |
| | 38,018 | | | Caa2(b) | | Indymac Index Mortgage Loan Trust, Series 2005-AR15, Class A2, 3.234% due 9/25/35(c) | | | 36,149 | |
| | 1,393,448 | | | CCC | | IndyMac INDX Mortgage Loan Trust, Series 2005-AR14, Class 2A1A, 0.475% (1-Month USD-LIBOR + 0.300%) due 7/25/35(c) | | | 1,288,861 | |
| | 1,005,497 | | | CC | | IXIS Real Estate Capital Trust, Series 2006-HE2, Class A3, 0.335% (1-Month USD-LIBOR + 0.160%) due 8/25/36(c) | | | 393,154 | |
| | | | | | JP Morgan Chase Commercial Mortgage Securities Trust: | | | | |
| | 350,000 | | | Aaa(b) | | Series 2016-NINE, Class A, 2.949% due 9/6/38(a)(c) | | | 378,687 | |
| | 1,710,000 | | | Caa1(b) | | Series 2018-PHH, Class F, 4.510% (1-Month USD-LIBOR + 3.010%) due 6/15/35(a)(c)(f) | | | 1,276,003 | |
| | 365,000 | | | Aaa(b) | | Series 2019-OSB, Class A, 3.397% due 6/5/39(a) | | | 416,525 | |
| | 1,350,000 | | | CCC | | JP Morgan Mortgage Acquisition Corp., Series 2006-FRE1, Class M1, 0.565% (1-Month USD-LIBOR + 0.390%) due 5/25/35(c) | | | 1,333,407 | |
| | | | | | JP Morgan Mortgage Trust: | | | | |
| | 176,363 | | | Aaa(b) | | Series 2017-1, Class A4, 3.500% due 1/25/47(a)(c) | | | 177,935 | |
| | 155,696 | | | Aaa(b) | | Series 2017-2, Class A6, 3.000% due 5/25/47(a)(c) | | | 157,457 | |
| | 806,832 | | | AA+ | | Series 2018-3, Class A1, 3.500% due 9/25/48(a)(c) | | | 829,551 | |
| | 287,993 | | | AA+ | | Series 2018-4, Class A1, 3.500% due 10/25/48(a)(c) | | | 296,058 | |
| | 714,183 | | | AA+ | | Series 2018-5, Class A1, 3.500% due 10/25/48(a)(c) | | | 736,270 | |
| | 253,435 | | | AAA | | Series 2019-1, Class A11, 1.125% (1-Month USD-LIBOR + 0.950%) due 5/25/49(a)(c) | | | 253,786 | |
| | | | | | JPMBB Commercial Mortgage Securities Trust: | | | | |
| | 40,000 | | | Aa3(b) | | Series 2013-C17, Class B, 5.054% due 1/15/47(c) | | | 42,655 | |
| | 350,000 | | | BB(j) | | Series 2014-C23, Class E, 3.364% due 9/15/47(a)(c) | | | 204,983 | |
| | 399,281 | | | Aaa(b) | | JPMCC Commercial Mortgage Securities Trust, Series 2019-BOLT, Class A, 1.312% (1-Month USD-LIBOR + 1.150%) due 7/15/34(a)(c) | | | 380,192 | |
| | 190,000 | | | Aaa(b) | | JPMDB Commercial Mortgage Securities Trust, Series 2017-C7, Class A5, 3.409% due 10/15/50 | | | 215,288 | |
| | | | | | JPMorgan Chase Commercial Mortgage Securities Trust: | | | | |
| | 175,000 | | | Aaa(b) | | Series 2011-C5, Class AS, 5.605% due 8/15/46(a)(c) | | | 180,020 | |
| | 370,000 | | | Aa1(b) | | Series 2011-C5, Class B, 5.605% due 8/15/46(a)(c) | | | 369,587 | |
| | 460,000 | | | AA | | Series 2012-HSBC, Class C, 4.021% due 7/5/32(a) | | | 475,122 | |
| | 141,470 | | | Aaa(b) | | JPMorgan Trust, Series 2015-5, Class A9, 2.652% due 5/25/45(a)(c) | | | 145,137 | |
| | 895,084 | | | NR | | Legacy Mortgage Asset Trust, Series 2019-GS5, Class A1, step bond to yield, 3.200% due 5/25/59(a) | | | 891,909 | |
| | 37,523 | | | Ca(b) | | Lehman XS Trust, Series 2005-7N, Class 1A1B, 0.775% (1-Month USD-LIBOR + 0.600%) due 12/25/35(c) | | | 29,006 | |
| | 700,000 | | | Aaa(b) | | Magnetite XVIII Ltd., Series 2016-18A, Class AR, 1.360% (3-Month USD-LIBOR + 1.080%) due 11/15/28(a)(c) | | | 697,025 | |
| | 244,285 | | | A+ | | MASTR Seasoned Securitization Trust, Series 2005-1, Class 4A1, 3.117% due 10/25/32(c) | | | 242,408 | |
| | 266,585 | | | CC | | Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-4, Class 2A4, 0.425% (1-Month USD-LIBOR + 0.250%) due 7/25/37(c) | | | 177,805 | |
| | 14,010 | | | A+ | | Merrill Lynch Mortgage Investors Trust, Series 2004-A3, Class 4A3, 3.670% due 5/25/34(c) | | | 13,518 | |
| | 408,940 | | | AA+ | | Mid-State Capital Corp. Trust, Series 2004-1, Class A, 6.005% due 8/15/37 | | | 438,824 | |
| | 500,000 | | | AAA(j) | | MKT 2020-525M Mortgage Trust, Series 2020-525M, Class A, 2.694% due 2/12/40(a) | | | 543,697 | |
| | | | | | ML-CFC Commercial Mortgage Trust: | | | | |
| | 54,000 | | | Caa2(b) | | Series 2007-5, Class AJ, 5.450% due 8/12/48(c) | | | 31,864 | |
| | 38,277 | | | WD(j) | | Series 2007-9, Class AJ, 4.893% due 9/12/49(c) | | | 14,690 | |
See Notes to Financial Statements.
204
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | COLLATERALIZED MORTGAGE OBLIGATIONS — 10.7% — (continued) | |
| $ | 500,000 | | | Aaa(b) | | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C13, Class A4, 4.039% due 11/15/46(m) | | $ | 541,338 | |
| | 1,070,911 | | | NR | | Morgan Stanley Resecuritization Trust, Series 2014-R3, Class 2A, 3.000% due 7/26/48(a)(c)(m) | | | 1,081,594 | |
| | 390,000 | | | Aaa(b) | | Natixis Commercial Mortgage Securities Trust, Series 2020-2PAC, Class A, 2.966% due 12/15/38(a) | | | 408,436 | |
| | | | | | New Residential Mortgage Loan Trust: | | | | |
| | 264,918 | | | AAA | | Series 2016-4A, Class A1, 3.750% due 11/25/56(a)(c) | | | 286,215 | |
| | 877,931 | | | Aaa(b) | | Series 2019-6A, Class A1B, 3.500% due 9/25/59(a)(c) | | | 927,174 | |
| | 500,000 | | | Aaa(b) | | One Bryant Park Trust, Series 2019-OBP, Class A, 2.516% due 9/15/54(a) | | | 536,777 | |
| | 707,592 | | | BBB- | | Option One Mortgage Loan Trust, Series 2004-3, Class M1, 0.955% (1-Month USD-LIBOR + 0.780%) due 11/25/34(c) | | | 700,407 | |
| | | | | | PFS Financing Corp.: | | | | |
| | 1,230,000 | | | AAA | | Series 2019-B, Class A, 0.712% (1-Month USD-LIBOR + 0.550%) due 9/15/23(a)(c) | | | 1,231,875 | |
| | 400,000 | | | AAA | | Series 2020-E, Class A, 1.000% due 10/15/25(a) | | | 402,532 | |
| | | | | | PMT Credit Risk Transfer Trust: | | | | |
| | 786,770 | | | NR | | Series 2019-2R, Class A, 2.920% (1-Month USD-LIBOR + 2.750%) due 5/27/23(a)(c) | | | 742,760 | |
| | 626,245 | | | NR | | Series 2019-3R, Class A, 2.870% (1-Month USD-LIBOR + 2.700%) due 10/27/22(a)(c) | | | 604,506 | |
| | 276,083 | | | AAA | | Popular ABS Mortgage Pass-Through Trust, Series 2006-C, Class A4, 0.425% (1-Month USD-LIBOR + 0.250%) due 7/25/36(c) | | | 275,665 | |
| | | | | | Prime Mortgage Trust: | | | | |
| | 14,387 | | | WR(b) | | Series 2006-DR1, Class 1A1, 5.500% due 5/25/35(a) | | | 14,411 | |
| | 796,500 | | | WR(b) | | Series 2006-DR1, Class 2A1, 5.500% due 5/25/35(a) | | | 663,557 | |
| | 915,000 | | | AAA | | RBS Commercial Funding Inc. Trust, Series 2013-GSP, Class A, 3.961% due 1/15/32(a)(c) | | | 931,591 | |
| | 173,468 | | | Caa2(b) | | Residential Asset Securitization Trust, Series 2005-A15, Class 1A4, 5.750% due 2/25/36 | | | 179,041 | |
| | | | | | SBA Small Business Investment Cos.: | | | | |
| | 617,727 | | | NR | | Series 2018-10B, Class 1, 3.548% due 9/10/28 | | | 663,926 | |
| | 361,179 | | | NR | | Series 2019-10A, Class 1, 3.113% due 3/10/29 | | | 386,123 | |
| | | | | | Seasoned Credit Risk Transfer Trust: | | | | |
| | 169,849 | | | NR | | Series 2018-2, Class MA, 3.500% due 11/25/57 | | | 182,749 | |
| | 790,000 | | | B-(j) | | Series 2019-1, Class M, 4.750% due 7/25/58(a)(c) | | | 769,105 | |
| | 452,660 | | | NR | | Series 2019-2, Class MA, 3.500% due 8/25/58 | | | 490,604 | |
| | 1,052,484 | | | AA- | | Sequoia Mortgage Trust, Series 2003-1, Class 1A, 0.918% (1-Month USD-LIBOR + 0.760%) due 4/20/33(c) | | | 1,035,451 | |
| | 719,872 | | | A | | Structured Asset Investment Loan Trust, Series 2004-6, Class A3, 0.975% (1-Month USD-LIBOR + 0.800%) due 7/25/34(c) | | | 703,798 | |
| | 83,293 | | | AA+ | | Structured Asset Mortgage Investments II Trust, Series 2005-AR5, Class A3, 0.411% (1-Month USD-LIBOR + 0.250%) due 7/19/35(c) | | | 80,988 | |
| | 99,192 | | | CCC | | Structured Asset Securities Corp., Series 2005-RF3, Class 1A, 0.525% (1-Month USD-LIBOR + 0.350%) due 6/25/35(a)(c) | | | 85,909 | |
| | 412,810 | | | NR | | Sunrun Atlas Issuer LLC, Series 2019-2, Class A, 3.610% due 2/1/55(a) | | | 430,961 | |
| | 81,008 | | | AAA | | Tharaldson Hotel Portfolio Trust, Series 2018-THL, Class A, 0.904% (1-Month USD-LIBOR + 0.750%) due 11/11/34(a)(c) | | | 77,734 | |
| | 167,111 | | | Aaa(b) | | Towd Point Mortgage Trust, Series 2016-3, Class A1, 2.250% due 4/25/56(a)(c) | | | 169,883 | |
| | 211,000 | | | Aaa(b) | | UBS Commercial Mortgage Trust, Series 2019-C18, Class A4, 3.035% due 12/15/52 | | | 236,539 | |
| | 114,430 | | | NR | | United States Small Business Administration, Series 2019-20D, Class 1, 2.980% due 4/1/39 | | | 121,663 | |
| | 801,900 | | | A- | | Vantage Data Centers Issuer LLC, Series 2019-1A, Class A2, 3.188% due 7/15/44(a) | | | 818,432 | |
| | 530,000 | | | AAA | | VNDO Mortgage Trust, Series 2012-6AVE, Class A, 2.996% due 11/15/30(a) | | | 547,247 | |
| | | | | | WaMu Mortgage Pass-Through Certificates Trust: | | | | |
| | 213,748 | | | BB- | | Series 2005-AR4, Class A5, 3.552% due 4/25/35(c) | | | 210,774 | |
| | 1,149,260 | | | A- | | Series 2005-AR19, Class A1B3, 0.525% (1-Month USD-LIBOR + 0.350%) due 12/25/45(c) | | | 1,127,819 | |
| | 855,922 | | | CCC | | Series 2006-AR3, Class A1A, 2.171% (1-Year Treasury Average Rate + 1.000%) due 2/25/46(c) | | | 831,783 | |
| | 390,931 | | | Ca(b) | | Washington Mutual Mortgage Pass-Through Certificates WMALT, Series 2007-OA2, Class 2A, 1.871% (1-Year Treasury Average Rate + 0.700%) due 1/25/47(c) | | | 331,544 | |
See Notes to Financial Statements.
205
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | COLLATERALIZED MORTGAGE OBLIGATIONS — 10.7% — (continued) | |
| | | | | | Wells Fargo Commercial Mortgage Trust: | | | | |
| $ | 120,000 | | | Aa3(b) | | Series 2013-LC12, Class B, 4.411% due 7/15/46(c) | | $ | 112,729 | |
| | 1,000,000 | | | Aa2(b) | | Series 2015-C28, Class AS, 3.872% due 5/15/48(c) | | | 1,095,881 | |
| | 150,000 | | | Aaa(b) | | Series 2015-LC20, Class A5, 3.184% due 4/15/50 | | | 162,589 | |
| | 500,000 | | | AAA | | Series 2016-BNK1, Class ASB, 2.514% due 8/15/49 | | | 523,399 | |
| | 11,646,103 | | | Aaa(b) | | Series 2018-C43, Class XA, 0.833% due 3/15/51(c)(k) | | | 492,398 | |
| | 250,000 | | | Aaa(b) | | Series 2018-C44, Class A4, 3.948% due 5/15/51 | | | 292,203 | |
| | 3,597,356 | | | Aaa(b) | | Series 2019-C52, Class XA, 1.766% due 8/15/52(c)(k) | | | 396,451 | |
| | 385,000 | | | AAA | | Series 2019-C54, Class A4, 3.146% due 12/15/52 | | | 436,327 | |
| | 571,546 | | | Aaa(b) | | Wells Fargo Mortgage-Backed Securities Trust, Series 2019-4, Class A2, 3.000% due 9/25/49(a)(c) | | | 595,078 | |
| | | | | | WF-RBS Commercial Mortgage Trust: | | | | |
| | 162,559 | | | Aaa(b) | | Series 2011-C2, Class A4, 4.869% due 2/15/44(a)(c) | | | 164,009 | |
| | 1,615,424 | | | Aaa(b) | | Series 2012-C7, Class XA, 1.473% due 6/15/45(a)(c)(k) | | | 25,025 | |
| | 145,000 | | | Aaa(b) | | Series 2013-C14, Class A4, 3.073% due 6/15/46 | | | 152,119 | |
| | | | | | | | | | |
| | | | | | TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost — $108,075,746) | | | 105,297,502 | |
| | | | | | | | | | |
|
| | SOVEREIGN BONDS — 3.4% | |
|
| | Argentina — 0.1% | |
| | 1,910,000 | | | D | | Argentine Republic Government International Bonds, 5.625% due 1/26/22 | | | 916,800 | |
| | | | | | | | | | |
|
| | Brazil — 0.4% | |
| | 656,000 | BRL | | BB- | | Brazil Notas do Tesouro Nacional Serie B, 6.000% due 8/15/50 | | | 532,324 | |
| | | | | | Brazil Notas do Tesouro Nacional Serie F: | | | | |
| | 5,296,000 | BRL | | BB- | | 10.000% due 1/1/21 | | | 1,007,046 | |
| | 1,224,000 | BRL | | BB- | | 10.000% due 1/1/27 | | | 265,173 | |
| | | | | | Brazilian Government International Bonds: | | | | |
| | 280,000 | | | BB- | | 4.875% due 1/22/21 | | | 284,952 | |
| | 300,000 | | | BB- | | 4.625% due 1/13/28 | | | 332,005 | |
| | 1,280,000 | | | BB- | | 5.000% due 1/27/45 | | | 1,343,738 | |
| | | | | | | | | | |
| | | | | | Total Brazil | | | 3,765,238 | |
| | | | | | | | | | |
|
| | Canada — 0.0% | |
| | 152,000 | | | A+ | | Province of Manitoba Canada, 3.050% due 5/14/24 | | | 165,892 | |
| | | | | | | | | | |
|
| | Chile — 0.0% | |
| | 100,000 | | | A+ | | Chile Government International Bonds, 3.240% due 2/6/28 | | | 111,734 | |
| | | | | | | | | | |
|
| | Colombia — 0.2% | |
| | | | | | Colombia Government International Bonds: | | | | |
| | 220,000 | | | BBB- | | 8.125% due 5/21/24 | | | 268,102 | |
| | 280,000 | | | BBB- | | 3.875% due 4/25/27 | | | 305,919 | |
| | 785,000 | | | BBB- | | 3.000% due 1/30/30 | | | 810,022 | |
| | 200,000 | | | BBB- | | 5.000% due 6/15/45 | | | 240,250 | |
| | | | | | | | | | |
| | | | | | Total Colombia | | | 1,624,293 | |
| | | | | | | | | | |
|
| | Dominican Republic — 0.0% | |
| | 200,000 | | | BB- | | Dominican Republic International Bonds, 4.500% due 1/30/30(a) | | | 199,000 | |
| | | | | | | | | | |
|
| | Egypt — 0.0% | |
| | 230,000 | | | B | | Egypt Government International Bonds, 5.577% due 2/21/23(a) | | | 238,216 | |
| | | | | | | | | | |
|
| | Indonesia — 0.3% | |
| | | | | | Indonesia Government International Bonds: | | | | |
| | 1,400,000 | | | BBB | | 3.750% due 4/25/22 | | | 1,461,173 | |
| | 290,000 | | | Baa2(b) | | 3.500% due 1/11/28 | | | 319,767 | |
| | 80,000 | | | BBB | | 4.100% due 4/24/28 | | | 91,446 | |
See Notes to Financial Statements.
206
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Indonesia — 0.3% — (continued) | |
| $ | 225,000 | | | BBB | | 2.850% due 2/14/30 | | $ | 237,895 | |
| | 330,000 | | | Baa2(b) | | 4.350% due 1/11/48 | | | 392,522 | |
| | | | | | | | | | |
| | | | | | Total Indonesia | | | 2,502,803 | |
| | | | | | | | | | |
|
| | Israel — 0.0% | |
| | 200,000 | | | AA- | | Israel Government International Bonds, 2.750% due 7/3/30 | | | 220,894 | |
| | | | | | | | | | |
|
| | Kuwait — 0.0% | |
| | 360,000 | | | AA- | | Kuwait International Government Bonds, 3.500% due 3/20/27(a) | | | 408,150 | |
| | | | | | | | | | |
|
| | Mexico — 1.0% | |
| | | | | | Mexican Bonos: | | | | |
| | 15,120,000 | MXN | | BBB+ | | 10.000% due 12/5/24 | | | 822,894 | |
| | 22,540,000 | MXN | | BBB+ | | 8.500% due 5/31/29 | | | 1,217,996 | |
| | 13,345,700 | MXN | | BBB+ | | 7.750% due 11/13/42 | | | 667,538 | |
| | 84,090,000 | MXN | | Baa1(b) | | 8.000% due 11/7/47 | | | 4,292,689 | |
| | | | | | Mexico Government International Bonds: | | | | |
| | 174,000 | | | BBB | | 3.625% due 3/15/22 | | | 182,700 | |
| | 44,000 | | | BBB | | 4.000% due 10/2/23 | | | 48,030 | |
| | 200,000 | | | BBB | | 4.150% due 3/28/27 | | | 222,975 | |
| | 323,000 | | | BBB | | 3.750% due 1/11/28 | | | 349,352 | |
| | 572,000 | | | BBB | | 4.500% due 4/22/29 | | | 646,002 | |
| | 1,190,000 | | | BBB | | 3.250% due 4/16/30 | | | 1,235,744 | |
| | 210,000 | | | BBB | | 4.750% due 3/8/44 | | | 236,417 | |
| | | | | | | | | | |
| | | | | | Total Mexico | | | 9,922,337 | |
| | | | | | | | | | |
|
| | Nigeria — 0.0% | |
| | 260,000 | | | B- | | Nigeria Government International Bonds, 7.143% due 2/23/30(a) | | | 263,385 | |
| | | | | | | | | | |
|
| | Panama — 0.1% | |
| | | | | | Panama Government International Bonds: | | | | |
| | 200,000 | | | BBB+ | | 4.000% due 9/22/24 | | | 220,502 | |
| | 210,000 | | | BBB+ | | 3.875% due 3/17/28 | | | 239,369 | |
| | 400,000 | | | BBB+ | | 3.160% due 1/23/30 | | | 436,450 | |
| | | | | | | | | | |
| | | | | | Total Panama | | | 896,321 | |
| | | | | | | | | | |
|
| | Peru — 0.1% | |
| | | | | | Peruvian Government International Bonds: | | | | |
| | 425,000 | | | BBB+ | | 4.125% due 8/25/27 | | | 496,638 | |
| | 210,000 | | | BBB+ | | 2.783% due 1/23/31 | | | 229,215 | |
| | 70,000 | | | BBB+ | | 6.550% due 3/14/37 | | | 109,081 | |
| | 160,000 | | | BBB+ | | 5.625% due 11/18/50 | | | 265,327 | |
| | | | | | | | | | |
| | | | | | Total Peru | | | 1,100,261 | |
| | | | | | | | | | |
|
| | Philippines — 0.1% | |
| | 400,000 | | | BBB+ | | Philippine Government International Bonds, 3.000% due 2/1/28 | | | 436,814 | |
| | | | | | | | | | |
|
| | Poland — 0.1% | |
| | 710,000 | | | A- | | Poland Government International Bonds, 4.000% due 1/22/24 | | | 793,468 | |
| | | | | | | | | | |
|
| | Qatar — 0.2% | |
| | | | | | Qatar Government International Bonds: | | | | |
| | 200,000 | | | AA- | | 4.500% due 4/23/28 | | | 240,390 | |
| | 250,000 | | | AA- | | 4.000% due 3/14/29(a) | | | 293,449 | |
| | 820,000 | | | AA- | | 4.817% due 3/14/49(a) | | | 1,124,065 | |
| | | | | | | | | | |
| | | | | | Total Qatar | | | 1,657,904 | |
| | | | | | | | | | |
See Notes to Financial Statements.
207
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Russia — 0.5% | |
| | | | | | Russian Federal Bonds — OFZ: | | | | |
| | 6,950,000 | RUB | | NR | | 7.750% due 9/16/26 | | $ | 105,216 | |
| | 146,093,000 | RUB | | BBB | | 7.050% due 1/19/28 | | | 2,129,577 | |
| | 128,030,000 | RUB | | BBB(j) | | 6.900% due 5/23/29 | | | 1,848,688 | |
| | 49,650,000 | RUB | | NR | | 7.700% due 3/16/39 | | | 773,542 | |
| $ | 200,000 | | | BBB(j) | | Russian Foreign Bonds — Eurobonds, 4.750% due 5/27/26 | | | 230,577 | |
| | | | | | | | | | |
| | | | | | Total Russia | | | 5,087,600 | |
| | | | | | | | | | |
|
| | Saudi Arabia — 0.1% | |
| | | | | | Saudi Government International Bonds: | | | | |
| | 200,000 | | | A1(b) | | 3.625% due 3/4/28 | | | 222,168 | |
| | 200,000 | | | A1(b) | | 3.750% due 1/21/55(a) | | | 217,900 | |
| | | | | | | | | | |
| | | | | | Total Saudi Arabia | | | 440,068 | |
| | | | | | | | | | |
|
| | South Africa — 0.0% | |
| | 400,000 | | | BB- | | Republic of South Africa Government International Bonds, 4.300% due 10/12/28 | | | 384,872 | |
| | | | | | | | | | |
|
| | United Arab Emirates — 0.1% | |
| | | | | | Abu Dhabi Government International Bonds: | | | | |
| | 400,000 | | | AA | | 2.500% due 10/11/22(a) | | | 414,916 | |
| | 200,000 | | | AA | | 2.500% due 9/30/29 | | | 214,992 | |
| | 590,000 | | | AA | | 3.875% due 4/16/50(a) | | | 721,043 | |
| | | | | | | | | | |
| | | | | | Total United Arab Emirates | | | 1,350,951 | |
| | | | | | | | | | |
|
| | Uruguay — 0.1% | |
| | | | | | Uruguay Government International Bonds: | | | | |
| | 70,000 | | | BBB | | 4.500% due 8/14/24 | | | 77,290 | |
| | 549,330 | | | BBB | | 4.375% due 10/27/27 | | | 641,101 | |
| | | | | | | | | | |
| | | | | | Total Uruguay | | | 718,391 | |
| | | | | | | | | | |
| | | | | | TOTAL SOVEREIGN BONDS
(Cost — $34,011,805) | | | 33,205,392 | |
| | | | | | | | | | |
|
| | SENIOR LOANS — 1.4% | |
| | 239,600 | | | NR | | 1011778 B.C. Unlimited Liability Company , (Restricted, cost — $234,425, acquired 8/12/20), 1.906% (1-Month USD-LIBOR + 1.750%) due 11/19/26(n) | | | 231,214 | |
| | 342,073 | | | NR | | Allied Universal Holdco LLC , (Restricted, cost — $342,867, acquired 2/19/20), 4.406% (1-Month USD-LIBOR + 4.250%) due 7/10/26(n) | | | 340,192 | |
| | 157,576 | | | NR | | Alterra Mountain Co., (Restricted, cost — $157,321, acquired 3/27/19), 2.906% (1-Month USD-LIBOR + 2.750%) due 7/31/24(n) | | | 152,184 | |
| | 10,000 | | | NR | | AmWINS Group Inc., (Restricted, cost — $9,963, acquired 8/12/20) due 1/25/24(n)(o) | | | 9,948 | |
| | 331,669 | | | NR | | Aramark Intermediate HoldCo Corp., (Restricted, cost — $333,704, acquired 12/13/19), 1.911% (1-Month USD-LIBOR + 1.750%) due 1/15/27(n) | | | 317,697 | |
| | 177,884 | | | NR | | Asurion LLC, (Restricted, cost — $177,542, acquired 11/20/19), 3.156% (1-Month USD-LIBOR + 3.000%) due 11/3/24(n) | | | 175,086 | |
| | 388,396 | | | NR | | Asurion LLC, (Restricted, cost — $388,795, acquired 4/10/19), 3.156% (1-Month USD-LIBOR + 3.000%) due 8/4/22(n) | | | 384,834 | |
| | 89,527 | | | NR | | Asurion LLC, (Restricted, cost — $89,527, acquired 2/26/20), 3.156% (1-Month USD-LIBOR + 3.000%) due 11/3/23(n) | | | 88,147 | |
| | 545,364 | | | NR | | athenahealth Inc., (Restricted, cost — $545,622, acquired 1/9/20), 4.818% (3-Month USD-LIBOR + 4.500%) due 2/11/26(n) | | | 542,299 | |
| | 49,250 | | | NR | | Atlantic Aviation FBO Inc., (Restricted, cost — $48,879, acquired 11/30/18), 3.920% (1-Month USD-LIBOR + 3.750%) due 12/6/25(n) | | | 48,450 | |
| | 280,000 | | | NR | | Bausch Health Cos., Inc., (Restricted, cost — $275,930, acquired 6/23/20), 2.933% (1-Month USD-LIBOR + 2.750%) due 11/27/25(n) | | | 275,050 | |
| | 66,269 | | | NR | | Bausch Health Cos., Inc., (Restricted, cost — $66,683, acquired 4/17/19), 3.183% (1-Month USD-LIBOR + 3.000%) due 6/2/25(n) | | | 65,317 | |
See Notes to Financial Statements.
208
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | SENIOR LOANS — 1.4% — (continued) | |
| $ | 244,936 | | | NR | | Berry Global Inc., (Restricted, cost — $244,131, acquired 10/15/19), 2.155% (1-Month USD-LIBOR + 2.000%) due 10/1/22(n) | | $ | 242,303 | |
| | 10,000 | | | NR | | BJ’s Wholesale Club Inc., (Restricted, cost — $9,950, acquired 8/12/20) due 2/3/24(n)(o) | | | 9,930 | |
| | 159,042 | | | NR | | Brookfield WEC Holdings Inc., (Restricted, cost — $159,719, acquired 1/24/20), 3.750% (1-Month USD-LIBOR + 3.000%) due 8/1/25(n) | | | 156,783 | |
| | 220,000 | | | NR | | Caesars Resort Collection LLC, (Restricted, cost — $213,629, acquired 6/19/20), 4.726% (1-Month USD-LIBOR + 4.500%/3-Month USD-LIBOR + 4.500%) due 7/21/25(n) | | | 213,916 | |
| | 97,419 | | | NR | | Caesars Resort Collection LLC, (Restricted, cost — $97,723, acquired 4/17/19), 2.906% (1-Month USD-LIBOR + 2.750%) due 12/23/24(n) | | | 91,838 | |
| | 273,186 | | | NR | | Change Healthcare Holdings LLC, (Restricted, cost — $272,721, acquired 2/18/20), 3.500% (1-Month USD-LIBOR + 2.500%/3-Month USD-LIBOR + 2.500%) due 3/1/24(n) | | | 268,709 | |
| | 208,947 | | | NR | | Charter Communications Operating LLC, (Restricted, cost — $209,600, acquired 2/7/20), 1.910% (1-Month USD-LIBOR + 1.750%) due 2/1/27(n) | | | 205,503 | |
| | 348,781 | | | NR | | Charter Communications Operating LLC, (Restricted, cost — $349,726, acquired 10/24/19), 1.910% (1-Month USD-LIBOR + 1.750%) due 4/30/25(n) | | | 343,738 | |
| | 59,700 | | | NR | | Citadel Securities LP, (Restricted, cost — $59,563, acquired 2/27/20), 2.906% (1-Month USD-LIBOR + 2.750%) due 2/27/26(n) | | | 59,377 | |
| | 90,222 | | | NR | | CityCenter Holdings LLC, (Restricted, cost — $90,291, acquired 2/20/20), 3.000% (1-Month USD-LIBOR + 2.250%) due 4/18/24(n) | | | 85,815 | |
| | 238,200 | | | NR | | Clarios Global LP, (Restricted, cost — $236,308, acquired 3/18/19), 3.658% (1-Month USD-LIBOR + 3.500%) due 4/30/26(n) | | | 234,180 | |
| | 369,075 | | | NR | | DCert Buyer Inc., (Restricted, cost — $369,386, acquired 8/8/19), 4.156% (1-Month USD-LIBOR + 4.000%) due 10/16/26(n) | | | 365,578 | |
| | 290,843 | | | NR | | Dell International LLC, (Restricted, cost — $280,371, acquired 10/18/17), 2.750% (1-Month USD-LIBOR + 2.000%) due 9/19/25(n) | | | 289,339 | |
| | 320,000 | | | NR | | Delta Air Lines Inc., (Restricted, cost — $316,379, acquired 4/27/20), 5.750% (3-Month USD-LIBOR + 4.750%) due 4/29/23(n) | | | 319,771 | |
| | 9,626 | | | NR | | Diamond Sports Group LLC, (Restricted, cost — $9,585, acquired 7/18/19), 3.410% (1-Month USD-LIBOR + 3.250%) due 8/24/26(n) | | | 8,170 | |
| | 175,822 | | | NR | | Edelman Financial Center LLC, (Restricted, cost — $176,308, acquired 4/22/19), 3.170% (1-Month USD-LIBOR + 3.000%) due 7/21/25(n) | | | 170,909 | |
| | 410,000 | | | NR | | Elanco Animal Health Incorporated, (Restricted, cost — $411,741, acquired 2/5/20), 1.906% (3-Month USD-LIBOR + 1.750%) due 8/1/27(n) | | | 402,612 | |
| | 88,966 | | | NR | | EyeCare Partners LLC, (Restricted, cost — $88,882, acquired 2/18/20), 4.822% (3-Month USD-LIBOR + 3.750%) due 2/18/27(n) | | | 83,364 | |
| | 20,000 | | | NR | | FinCo I LLC, (Restricted, cost — $19,852, acquired 8/12/20) due 12/27/22(n)(o) | | | 19,850 | |
| | 69,126 | | | NR | | First Eagle Holdings Inc., (Restricted, cost — $69,299, acquired 4/5/19), 2.808% (3-Month USD-LIBOR + 2.500%) due 2/1/27(n) | | | 67,608 | |
| | 218,532 | | | NR | | Focus Financial Partners LLC, (Restricted, cost — $219,127, acquired 2/18/20), 2.156% (1-Month USD-LIBOR + 2.000%) due 7/3/24(n) | | | 213,957 | |
| | 20,000 | | | NR | | Formula One Management Ltd., (Restricted, cost — $19,554, acquired 8/12/20) due 2/1/24(n)(o) | | | 19,494 | |
| | 29,769 | | | NR | | Four Seasons Holdings Inc., (Restricted, cost — $29,955, acquired 11/21/19), 2.156% (1-Month USD-LIBOR + 2.000%) due 11/30/23(n) | | | 29,022 | |
| | 160,000 | | | NR | | Froneri International Ltd., (Restricted, cost — $160,304, acquired 2/18/20), 2.406% (1-Month USD-LIBOR + 2.250%) due 1/29/27(n) | | | 154,471 | |
| | 75,577 | | | NR | | Garda World Security Corp., (Restricted, cost — $74,245, acquired 10/24/19), 4.930% (1-Month USD-LIBOR + 4.750%) due 10/30/26(n) | | | 75,558 | |
| | 219,697 | | | NR | | Golden Nugget Inc., (Restricted, cost — $219,796, acquired 1/31/20), 3.250% (1-Month USD-LIBOR + 2.500%/2-Month USD-LIBOR + 2.500%) due 10/4/23(n) | | | 197,494 | |
| | 27,083 | | | NR | | HCA Inc., (Restricted, cost — $27,286, acquired 10/19/17), 1.906% (1-Month USD-LIBOR + 1.750%) due 3/13/25(n) | | | 26,944 | |
| | 431,964 | | | NR | | Hilton Worldwide Finance LLC, (Restricted, cost — $431,973, acquired 8/18/16), 1.925% (1-Month USD-LIBOR + 1.750%) due 6/22/26(n) | | | 417,295 | |
See Notes to Financial Statements.
209
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | SENIOR LOANS — 1.4% — (continued) | |
| $ | 147,637 | | | NR | | iHeartCommunications Inc., (Restricted, cost — $147,637, acquired 1/29/20), 3.156% (1-Month USD-LIBOR + 3.000%) due 5/1/26(n) | | $ | 140,465 | |
| | 89,062 | | | NR | | Jaguar Holding Company I LLC, (Restricted, cost — $89,285, acquired 9/11/19), 3.500% (1-Month USD-LIBOR + 2.500%) due 8/18/22(n) | | | 89,007 | |
| | 187,625 | | | NR | | Jane Street Group LLC, (Restricted, cost — $187,356, acquired 4/12/19), 3.156% (1-Month USD-LIBOR + 3.000%) due 1/31/25(n) | | | 185,573 | |
| | 242,876 | | | NR | | Level 3 Financing Inc., (Restricted, cost — $242,511, acquired 4/17/19), 1.906% (1-Month USD-LIBOR + 1.750%) due 3/1/27(n) | | | 235,793 | |
| | 247,730 | | | NR | | LifePoint Health Inc., (Restricted, cost — $245,609, acquired 8/16/19), 3.906% (1-Month USD-LIBOR + 3.750%) due 11/16/25(n) | | | 243,484 | |
| | 216,253 | | | NR | | McAfee LLC, (Restricted, cost — $216,253, acquired 8/13/19), 3.906% (1-Month USD-LIBOR + 3.750%) due 9/30/24(n) | | | 214,767 | |
| | 96,409 | | | NR | | Michaels Stores Inc., (Restricted, cost — $97,132, acquired 9/28/16), 3.534% (1-Month USD-LIBOR + 2.500%/3-Month USD-LIBOR + 2.500%) due 1/30/23(n) | | | 92,938 | |
| | 344,942 | | | NR | | MPH Acquisition Holdings LLC, (Restricted, cost — $344,732, acquired 10/13/17), 3.750% (3-Month USD-LIBOR + 2.500%) due 6/7/23(n) | | | 342,293 | |
| | 512,393 | | | NR | | Nexstar Broadcasting Inc., (Restricted, cost — $511,040, acquired 8/16/19), 2.906% (1-Month USD-LIBOR + 2.750%) due 9/18/26(n) | | | 504,387 | |
| | 131,077 | | | NR | | Numericable U.S. LLC, (Restricted, cost — $130,863, acquired 10/6/17), 3.804% (1-Month USD-LIBOR + 3.688%) due 1/31/26(n) | | | 129,056 | |
| | 199,000 | | | NR | | Option Care Health Inc., (Restricted, cost — $197,531, acquired 5/22/19), 4.656% (1-Month USD-LIBOR + 4.500%) due 8/6/26(n) | | | 198,585 | |
| | 71,731 | | | NR | | Party City Holdings Inc., (Restricted, cost — $71,970, acquired 2/16/18), 3.250% (1-Month USD-LIBOR + 2.500%/3-Month USD-LIBOR + 2.500%) due 8/19/22(n) | | | 50,948 | |
| | 122,958 | | | NR | | PCI Gaming Authority, (Restricted, cost — $123,118, acquired 5/15/19), 2.656% (1-Month USD-LIBOR + 2.500%) due 5/29/26(n) | | | 119,542 | |
| | 383,156 | | | NR | | Prime Security Services Borrower LLC, (Restricted, cost — $385,425, acquired 4/22/19), 4.250% (1-Month USD-LIBOR + 3.250%/3-Month USD-LIBOR + 3.250%) due 9/23/26(n) | | | 382,438 | |
| | 20,000 | | | NR | | Realogy Group LLC, (Restricted, cost — $19,255, acquired 8/12/20) due 2/8/25(n)(o) | | | 19,151 | |
| | 253,864 | | | NR | | Reynolds Consumer Products LLC, (Restricted, cost — $254,708, acquired 2/18/20), 1.906% (1-Month USD-LIBOR + 1.750%) due 2/4/27(n) | | | 250,453 | |
| | 427,900 | | | NR | | RPI 2019 Intermediate Finance Trust, (Restricted, cost — $428,333, acquired 2/7/20), 1.906% (1-Week USD-LIBOR + 1.750%) due 2/11/27(n) | | | 427,065 | |
| | 218,427 | | | NR | | Scientific Games International Inc., (Restricted, cost — $219,216, acquired 2/14/18), 3.472% (1-Month USD-LIBOR + 2.750%/3-Month USD-LIBOR + 2.750%) due 8/14/24(n) | | | 204,893 | |
| | 987,097 | | | NR | | TKC Holdings Inc., (Restricted, cost — $987,097, acquired 4/30/19), 4.750% (2-Month USD-LIBOR + 3.750%/3-Month USD-LIBOR + 3.750%) due 2/1/23(n) | | | 930,201 | |
| | 170,000 | | | NR | | T-Mobile USA Inc., (Restricted, cost — $168,236, acquired 4/28/20), 3.156% (1-Month USD-LIBOR + 3.000%) due 4/1/27(n) | | | 170,606 | |
| | 46,748 | | | NR | | Trans Union LLC, (Restricted, cost — $46,807, acquired 10/18/17), 1.906% (1-Month USD-LIBOR + 1.750%) due 11/16/26(n) | | | 45,734 | |
| | 444,231 | | | NR | | UFC Holdings LLC, (Restricted, cost — $447,563, acquired 4/30/19), 4.250% (3-Month USD-LIBOR + 3.250%) due 4/29/26(f)(n) | | | 439,649 | |
| | 100,000 | | | NR | | US Foods Inc., (Restricted, cost — $96,046, acquired 8/11/20) due 6/27/23(n)(o) | | | 96,687 | |
| | 220,000 | | | NR | | VICI Properties 1 LLC, (Restricted, cost — $219,233, acquired 2/20/20), 1.933% (1-Month USD-LIBOR + 1.750%) due 12/20/24(n) | | | 212,363 | |
| | 430,000 | | | NR | | Virgin Media Bristol LLC, (Restricted, cost — $426,943, acquired 4/30/19), 2.662% (1-Month USD-LIBOR + 2.500%) due 1/31/28(n) | | | 419,697 | |
| | 116,213 | | | NR | | Western Digital Corp., (Restricted, cost — $117,375, acquired 10/27/17), 1.906% (1-Month USD-LIBOR + 1.750%) due 4/29/23(n) | | | 115,577 | |
| | 519,750 | | | NR | | Wynn Resorts Ltd., (Restricted, cost — $518,104, acquired 11/22/19), 1.910% (1-Month USD-LIBOR + 1.750%) due 9/20/24(n) | | | 493,762 | |
| | | | | | | | | | |
| | | | | | TOTAL SENIOR LOANS
(Cost — $14,478,040) | | | 14,159,060 | |
| | | | | | | | | | |
See Notes to Financial Statements.
210
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | ASSET-BACKED SECURITIES — 1.2% | |
|
| | Automobiles — 0.4% | |
| | | | | | Credit Acceptance Auto Loan Trust: | | | | |
| $ | 630,000 | | | AAA | | Series 2018-3A, Class A, 3.550% due 8/15/27(a) | | $ | 639,890 | |
| | 700,000 | | | AAA | | Series 2019-3A, Class A, 2.380% due 11/15/28(a) | | | 720,032 | |
| | 270,000 | | | AAA | | Series 2020-2A, Class A, 1.370% due 7/16/29(a) | | | 270,512 | |
| | | | | | Hertz Vehicle Financing II LP: | | | | |
| | 765,822 | | | Baa3(b) | | Series 2016-4A, Class A, 2.650% due 7/25/22(a) | | | 766,751 | |
| | 229,662 | | | Baa3(b) | | Series 2018-1A, Class A, 3.290% due 2/25/24(a) | | | 230,111 | |
| | 970,000 | | | AAA | | Nissan Auto Receivables Owner Trust, Series 2018-C, Class A3, 3.220% due 6/15/23 | | | 993,698 | |
| | | | | | | | | | |
| | | | | | Total Automobiles | | | 3,620,994 | |
| | | | | | | | | | |
|
| | Credit Cards — 0.0% | |
| | 315,000 | | | AAA | | Citibank Credit Card Issuance Trust, Series 2017-A6, Class A6, 0.928% (1-Month USD-LIBOR + 0.770%) due 5/14/29(c) | | | 316,028 | |
| | | | | | | | | | |
|
| | Student Loans — 0.8% | |
| | 336,215 | | | AA+ | | CIT Education Loan Trust, Series 2007-1, Class A, 0.387% (3-Month USD-LIBOR + 0.090%) due 3/25/42(a)(c) | | | 319,150 | |
| | 189,296 | | | AAA | | Navient Private Education Loan Trust, Series 2014-AA, Class A2B, 1.412% (1-Month USD-LIBOR + 1.250%) due 2/15/29(a)(c) | | | 190,293 | |
| | 930,000 | | | AAA | | Navient Private Education Refi Loan Trust, Series 2019-CA, Class A2, 3.130% due 2/15/68(a) | | | 963,350 | |
| | 415,453 | | | AAA | | Navient Student Loan Trust, Series 2017-4A, Class A2, 0.675% (1-Month USD-LIBOR + 0.500%) due 9/27/66(a)(c) | | | 414,631 | |
| | | | | | SLM Student Loan Trust: | | | | |
| | 176,203 | | | AA+ | | Series 2003-4, Class A5E, 1.063% (3-Month USD-LIBOR + 0.750%) due 3/15/33(a)(c) | | | 164,194 | |
| | 1,470,283 | | | AAA | | Series 2005-5, Class A4, 0.385% (3-Month USD-LIBOR + 0.140%) due 10/25/28(c) | | | 1,457,856 | |
| | 880,000 | | | AA+ | | Series 2005-5, Class A5, 0.995% (3-Month USD-LIBOR + 0.750%) due 10/25/40(c) | | | 863,734 | |
| | | | | | SMB Private Education Loan Trust: | | | | |
| | 31,408 | | | AAA | | Series 2015-B, Class A2A, 2.980% due 7/15/27(a) | | | 31,927 | |
| | 545,000 | | | AAA | | Series 2015-C, Class A3, 2.112% (1-Month USD-LIBOR + 1.950%) due 8/16/32(a)(c) | | | 553,725 | |
| | 50,417 | | | Aaa(b) | | Series 2016-A, Class A2A, 2.700% due 5/15/31(a) | | | 51,613 | |
| | 161,268 | | | AAA | | Series 2017-B, Class A2A, 2.820% due 10/15/35(a) | | | 166,701 | |
| | 95,295 | | | AAA | | Series 2017-B, Class A2B, 0.912% (1-Month USD-LIBOR + 0.750%) due 10/15/35(a)(c) | | | 94,515 | |
| | 383,629 | | | AAA | | Series 2018-A, Class A2B, 0.962% (1-Month USD-LIBOR + 0.800%) due 2/15/36(a)(c) | | | 381,498 | |
| | 449,685 | | | Aaa(b) | | Series 2018-B, Class A2A, 3.600% due 1/15/37(a) | | | 476,918 | |
| | 556,720 | | | AAA | | Series 2018-C, Class A2B, 0.912% (1-Month USD-LIBOR + 0.750%) due 11/15/35(a)(c) | | | 549,774 | |
| | 280,000 | | | AAA | | Series 2019-A, Class A2A, 3.440% due 7/15/36(a) | | | 294,596 | |
| | 100,000 | | | AAA | | Series 2020-A, Class A2B, 0.992% (1-Month USD-LIBOR + 0.830%) due 9/15/37(a)(c) | | | 98,945 | |
| | | | | | Sofi Professional Loan Program Trust: | | | | |
| | 390,000 | | | AAA | | Series 2018-B, Class A2FX, 3.340% due 8/25/47(a) | | | 403,034 | |
| | 910,000 | | | AAA | | Series 2018-D, Class A2FX, 3.600% due 2/25/48(a) | | | 953,661 | |
| | | | | | | | | | |
| | | | | | Total Student Loans | | | 8,430,115 | |
| | | | | | | | | | |
| | | | | | TOTAL ASSET-BACKED SECURITIES
(Cost — $12,184,553) | | | 12,367,137 | |
| | | | | | | | | | |
|
| | MUNICIPAL BONDS — 0.8% | |
|
| | California — 0.2% | |
| | 530,000 | | | A+ | | Los Angeles Unified School District, GO, 5.750% due 7/1/34 | | | 743,882 | |
| | 195,000 | | | AAA | | San Diego Community College District, GO, 3.336% due 8/1/43 | | | 210,335 | |
| | 220,000 | | | AA- | | State of California, GO, 7.625% due 3/1/40 | | | 384,553 | |
| | | | | | University of California, Revenue Bonds: | | | | |
| | 25,000 | | | AA | | Series AD, 4.858% due 5/15/12 | | | 36,341 | |
| | 266,000 | | | AA | | Series AQ, 4.767% due 5/15/15 | | | 379,167 | |
| | | | | | | | | | |
| | | | | | Total California | | | 1,754,278 | |
| | | | | | | | | | |
See Notes to Financial Statements.
211
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Delaware — 0.0% | |
| $ | 100,000 | | | AAA | | State of Delaware, GO, 5.000% due 1/1/30 | | $ | 138,048 | |
| | | | | | | | | | |
|
| | Louisiana — 0.1% | |
| | | | | | State of Louisiana: | | | | |
| | 140,000 | | | AA- | | GO, 5.000% due 3/1/27 | | | 178,503 | |
| | 150,000 | | | AA- | | GO, 5.000% due 3/1/28 | | | 196,225 | |
| | | | | | | | | | |
| | | | | | Total Louisiana | | | 374,728 | |
| | | | | | | | | | |
|
| | Massachusetts — 0.1% | |
| | | | | | Commonwealth of Massachusetts, GO: | | | | |
| | 630,000 | | | AA | | 3.000% due 3/1/49 | | | 677,439 | |
| | 110,000 | | | AA | | 5.000% due 3/1/29 | | | 146,962 | |
| | 100,000 | | | AA+ | | Massachusetts School Building Authority, Revenue Bonds, Series B, Pre-refunded 10/15/21 @ 100, 5.000% due 10/15/41(p) | | | 105,399 | |
| | 330,000 | | | AA+ | | Massachusetts Water Resources Authority, Revenue Bonds, 3.104% due 8/1/39 | | | 349,097 | |
| | | | | | | | | | |
| | | | | | Total Massachusetts | | | 1,278,897 | |
| | | | | | | | | | |
|
| | Minnesota — 0.0% | |
| | 130,000 | | | AAA | | State of Minnesota, GO, 5.000% due 8/1/29 | | | 172,722 | |
| | | | | | | | | | |
|
| | Missouri — 0.0% | |
| | | | | | Health & Educational Facilities Authority of the State of Missouri: | | | | |
| | 140,000 | | | AA+ | | 3.229% due 5/15/50 | | | 164,341 | |
| | 170,000 | | | AA+ | | 3.652% due 8/15/57 | | | 210,227 | |
| | | | | | | | | | |
| | | | | | Total Missouri | | | 374,568 | |
| | | | | | | | | | |
|
| | New Jersey — 0.1% | |
| | 650,000 | | | Aa3(b) | | Jersey City Municipal Utilities Authority, Revenue Bonds, Series B, 5.470% due 5/15/27 | | | 741,039 | |
| | 85,000 | | | BBB+ | | New Jersey Transportation Trust Fund Authority, Revenue Bonds, Series B, 6.561% due 12/15/40 | | | 110,192 | |
| | | | | | | | | | |
| | | | | | Total New Jersey | | | 851,231 | |
| | | | | | | | | | |
|
| | New York — 0.2% | |
| | 500,000 | | | AA | | City of New York, Series G-1, 5.968% due 3/1/36 | | | 729,225 | |
| | 80,000 | | | AAA | | New York City Transitional Finance Authority Future Tax Secured Revenue, Revenue Bonds, Series A-1, 5.000% due 11/1/42 | | | 89,703 | |
| | 350,000 | | | AA+ | | New York State Dormitory Authority, Revenue Bonds, 5.289% due 3/15/33 | | | 448,126 | |
| | 345,000 | | | A | | New York State Thruway Authority, Revenue Bonds, Series M, 2.900% due 1/1/35 | | | 374,608 | |
| | | | | | | | | | |
| | | | | | Total New York | | | 1,641,662 | |
| | | | | | | | | | |
|
| | North Carolina — 0.1% | |
| | 80,000 | | | AAA | | County of Mecklenburg NC, GO, 5.000% due 3/1/30 | | | 108,006 | |
| | 340,000 | | | AAA | | State of North Carolina, GO, 5.000% due 6/1/30 | | | 461,655 | |
| | | | | | | | | | |
| | | | | | Total North Carolina | | | 569,661 | |
| | | | | | | | | | |
|
| | Ohio — 0.0% | |
| | 90,000 | | | A | | City of Cleveland OH Airport System Revenue, Revenue Bonds, 2.882% due 1/1/31 | | | 92,680 | |
| | | | | | | | | | |
|
| | 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) | | | 236,819 | |
| | | | | | | | | | |
|
| | Virginia — 0.0% | |
| | 174,093 | | | AAA | | Virginia Housing Development Authority, Revenue Bonds, Series C, 6.000% due 6/25/34 | | | 186,692 | |
| | | | | | | | | | |
| | | | | | TOTAL MUNICIPAL BONDS
(Cost — $7,069,338) | | | 7,671,986 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS
(Cost — $905,473,947) | | | 953,115,994 | |
| | | | | | | | | | |
See Notes to Financial Statements.
212
| | | | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount† | | | | | | Security | | Value | |
|
| | SHORT-TERM INVESTMENTS — 7.8% | |
|
| | COMMERCIAL PAPER — 0.1% | |
| $ | 1,000,000 | | | | | | | Ford Motor Credit Co. LLC, (Restricted, cost — $996,814, acquired 10/10/19), 3.200% due 10/8/20(n)(r)
(Cost — $996,814) | | $ | 996,814 | |
| | | | | | | | | | | | |
|
| | TIME DEPOSITS — 2.6% | |
| | 15,183,616 | | | | | | | ANZ National Bank — London, 0.010% due 9/1/20 | | | 15,183,616 | |
| | 150 | | | | | | | BBH — Grand Cayman, 0.010% due 9/1/20 | | | 150 | |
| | | | | | | | Citibank — London: | | | | |
| | 791,973 | EUR | | | | | | (0.690)% due 9/1/20 | | | 945,141 | |
| | 15,981 | GBP | | | | | | 0.010% due 9/1/20 | | | 21,363 | |
| $ | 8,821,575 | | | | | | | Citibank — New York, 0.010% due 9/1/20 | | | 8,821,575 | |
| | 18,125,990 | JPY | | | | | | Sumitomo Mitsui Banking Corp. — Tokyo, (0.230)% due 9/1/20 | | | 171,121 | |
| | | | | | | | | | | | |
| | | | | | | | TOTAL TIME DEPOSITS
(Cost — $25,142,966) | | | 25,142,966 | |
| | | | | | | | | | | | |
|
| | U.S. GOVERNMENT OBLIGATIONS — 5.1% | |
| | | | | | | | U.S. Cash Management Bills: | | | | |
| | 1,900,000 | | | | | | | 0.147% due 11/3/20(r) | | | 1,899,511 | |
| | 1,415,000 | | | | | | | 0.168% due 11/24/20(r) | | | 1,414,447 | |
| | 750,000 | | | | | | | 0.098% due 12/8/20(r) | | | 749,801 | |
| | 790,000 | | | | | | | 0.100% due 1/5/21(r) | | | 789,724 | |
| | 920,000 | | | | | | | 0.115% due 1/19/21(r) | | | 919,588 | |
| | 1,335,000 | | | | | | | 0.113% due 1/26/21(r) | | | 1,334,384 | |
| | | | | | | | U.S. Treasury Bills: | | | | |
| | 928,000 | | | | | | | 0.208% due 9/10/20(r)(s) | | | 927,952 | |
| | 11,310,000 | | | | | | | 0.155% due 10/15/20(r) | | | 11,307,853 | |
| | 5,075,000 | | | | | | | 0.136% due 10/22/20(r) | | | 5,074,025 | |
| | 1,400,000 | | | | | | | 0.141% due 12/3/20(r) | | | 1,399,492 | |
| | 940,000 | | | | | | | 0.142% due 1/7/21(r) | | | 939,527 | |
| | 2,825,000 | | | | | | | 0.120% due 1/14/21(r) | | | 2,823,729 | |
| | 9,340,000 | | | | | | | 0.125% due 1/21/21(r) | | | 9,335,385 | |
| | 8,670,000 | | | | | | | 0.107% due 1/28/21(r) | | | 8,666,155 | |
| | 1,910,000 | | | | | | | 0.113% due 2/4/21(r) | | | 1,909,069 | |
| | | | | | | | | | | | |
| | | | | | | | TOTAL U.S. GOVERNMENT OBLIGATIONS
(Cost — $49,490,642) | | | 49,490,642 | |
| | | | | | | | | | | | |
| | | | | | | | TOTAL SHORT-TERM INVESTMENTS
(Cost — $75,630,422) | | | 75,630,422 | |
| | | | | | | | | | | | |
| | | | | | | | TOTAL INVESTMENTS IN SECURITIES
(Cost — $981,104,369) | | | 1,028,746,416 | |
| | | | | | | | | | | | |
| | | | | | | | TOTAL INVESTMENTS IN PURCHASED OPTIONS
(Cost — $162,841) | | | 95,555 | |
| | | | | | | | | | | | |
| | | | | | | | TOTAL INVESTMENTS — 104.9%
(Cost — $981,267,210) | | | 1,028,841,971 | |
| | | | | | | | | | | | |
| | | | | | | | Liabilities in Excess of Other Assets — (4.9)% | | | (47,726,677 | ) |
| | | | | | | | | | | | |
| | | | | | | | TOTAL NET ASSETS — 100.0% | | $ | 981,115,294 | |
| | | | | | | | | | | | |
| † | 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, 2020, amounts to $123,125,569 and represents 12.6% of net assets. |
| (b) | Rating by Moody’s Investors Service. All ratings are unaudited. |
See Notes to Financial Statements.
213
| (c) | Variable rate security. Interest rate disclosed is that which was in effect at August 31, 2020. |
| (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) | This security is traded on a TBA basis (see Note 1). |
| (i) | Principal only security. |
| (j) | Rating by Fitch Ratings Service. All ratings are unaudited. |
| (k) | Interest only security. |
| (l) | Inverse Floating Rate Security — interest rate fluctuates with an inverse relationship to an associated interest rate. Indicated rate is the effective rate as of August 31, 2020. |
| (m) | Affiliated security (See Note 2). As of August 31, 2020, total cost and total market value of affiliated securities amounted to $1,584,999 and $1,622,932 respectively. |
| (n) | The aggregate value of restricted securities (excluding 144A holdings) at August 31, 2020, amounts to $15,155,874 and represents 1.5% 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 be triple-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) | Rate shown represents yield-to-maturity. |
| (s) | All or a portion of this security is held at the broker as collateral for open futures contracts. |
| # | Security that used significant unobservable inputs to determine fair value. |
At August 31, 2020, 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 | | $ | 989,048,664 | | | $ | 60,875,922 | | | $ | (21,082,615 | ) | | $ | 39,793,307 | |
| | |
Abbreviations used in this schedule: |
| ABS | | — Asset-Based Security |
| ACES | | — Alternative Credit Enhancement Securities |
| CLO | | — Collateralized Loan Obligation |
| CMT | | — Constant Maturity Treasury Rate |
| 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 |
| SOFR | | — Secured Overnight Financing Rate |
See Notes to Financial Statements.
214
| | | | |
| Summary of Investments by Security Type^ | | | |
Corporate Bonds & Notes | | | 34.1 | % |
Mortgage-Backed Securities | | | 23.4 | |
U.S. Government Agencies & Obligations | | | 18.3 | |
Collateralized Mortgage Obligations | | | 10.2 | |
Sovereign Bonds | | | 3.2 | |
Senior Loans | | | 1.4 | |
Asset-Backed Securities | | | 1.2 | |
Municipal Bonds | | | 0.8 | |
Purchased Options | | | 0.0 | * |
Short-Term Investments | | | 7.4 | |
| | | | |
| | | 100.0 | % |
| | | | |
| ^ | As a percentage of total investments. |
| * | Position represents less than 0.05%. |
At August 31, 2020, Core 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 | |
| | 143 | | | | $ 18,016,882 | | | U.S. Treasury 5-Year Note October Futures, Call | | | GSC | | | | 9/25/20 | | | $ | 126.25 | | | $ | 10,055 | |
| | 132 | | | | 18,360,375 | | | U.S. Treasury 10-Year Note September Futures, Call | | | GSC | | | | 9/4/20 | | | $ | 139.50 | | | | 12,375 | |
| | 87 | | | | 15,205,969 | | | U.S. Treasury Bond September Futures, Call | | | GSC | | | | 9/4/20 | | | $ | 177.50 | | | | 21,750 | |
| | 105 | | | | 18,352,031 | | | U.S. Treasury Bond September Futures, Call | | | GSC | | | | 9/4/20 | | | $ | 179.00 | | | | 9,844 | |
| | 9 | | | | 1,573,031 | | | U.S. Treasury Bond September Futures, Put | | | GSC | | | | 9/4/20 | | | $ | 171.00 | | | | 281 | |
| | 132 | | | | 23,071,126 | | | U.S. Treasury Bond September Futures, Put | | | GSC | | | | 9/4/20 | | | $ | 174.00 | | | | 41,250 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | | | | | | | Total Options on Futures | | | | | | | | | | | | | | $ | 95,555 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | TOTAL OPTIONS CONTRACTS PURCHASED
(Cost — $162,841) | | | | | | | | | | | | | | $ | 95,555 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
At August 31, 2020, 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 | |
| | 143 | | | | $ 18,016,883 | | | U.S. Treasury 5-Year Note October Futures, Put | | | GSC | | | | 9/25/20 | | | $ | 125.25 | | | $ | 3,352 | |
| | 44 | | | | 6,120,125 | | | U.S. Treasury 10-Year Note September Futures, Call | | | GSC | | | | 9/4/20 | | | $ | 139.00 | | | | 17,187 | |
| | 29 | | | | 5,068,656 | | | U.S. Treasury Bond September Futures, Call | | | GSC | | | | 9/4/20 | | | $ | 175.50 | | | | 29,000 | |
| | 35 | | | | 6,117,344 | | | U.S. Treasury Bond September Futures, Call | | | GSC | | | | 9/4/20 | | | $ | 176.50 | | | | 18,047 | |
| | 9 | | | | 1,573,031 | | | U.S. Treasury Bond September Futures, Put | | | GSC | | | | 9/4/20 | | | $ | 172.00 | | | | 562 | |
| | 44 | | | | 7,690,376 | | | U.S. Treasury Bond September Futures, Put | | | GSC | | | | 9/4/20 | | | $ | 176.50 | | | | 57,063 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | | | | | | | Total Options on Futures | | | | | | | | | | | | | | $ | 125,211 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | TOTAL OPTIONS CONTRACTS WRITTEN
(Premiums received — $160,029) | | | | | | | | | | | | | | $ | 125,211 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
215
At August 31, 2020, 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 | | | 163 | | | | 12/20 | | | $ | 40,140,854 | | | $ | 40,633,863 | | | $ | 493,009 | |
90-Day Eurodollar March Futures | | | 45 | | | | 3/21 | | | | 11,092,500 | | | | 11,227,500 | | | | 135,000 | |
Euro-BTP September Futures | | | 108 | | | | 9/20 | | | | 17,993,941 | | | | 18,844,596 | | | | 850,655 | |
Euro-OAT September Futures | | | 24 | | | | 9/20 | | | | 4,714,980 | | | | 4,796,609 | | | | 81,629 | |
U.S. Treasury 2-Year Note December Futures | | | 272 | | | | 12/20 | | | | 60,080,017 | | | | 60,097,125 | | | | 17,108 | |
U.S. Treasury 5-Year Note December Futures | | | 383 | | | | 12/20 | | | | 48,210,315 | | | | 48,269,969 | | | | 59,654 | |
U.S. Treasury 10-Year Note December Futures | | | 53 | | | | 12/20 | | | | 7,373,765 | | | | 7,380,250 | | | | 6,485 | |
U.S. Treasury Long Bond December Futures | | | 3 | | | | 12/20 | | | | 525,281 | | | | 527,156 | | | | 1,875 | |
U.S. Treasury Ultra Long Bond December Futures | | | 85 | | | | 12/20 | | | | 19,129,939 | | | | 18,777,031 | | | | (352,908 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 1,292,507 | |
| | | | | | | | | | | | | | | | | | | | |
| Contracts to Sell: | | | | | | | | | | | | | | | | | | | | |
90-Day Eurodollar December Futures | | | 270 | | | | 12/21 | | | | 66,926,938 | | | | 67,351,501 | | | | (424,563 | ) |
Euro-Bund September Futures | | | 171 | | | | 9/20 | | | | 35,616,580 | | | | 35,826,774 | | | | (210,194 | ) |
Japan Government 10-Year Bond September Futures | | | 5 | | | | 9/20 | | | | 7,186,122 | | | | 7,155,534 | | | | 30,588 | |
U.S. Ultra Long Bond December Futures | | | 55 | | | | 12/20 | | | | 8,805,304 | | | | 8,769,063 | | | | 36,241 | |
United Kingdom Treasury 10-Year Gilt December Futures | | | 42 | | | | 12/20 | | | | 7,613,059 | | | | 7,579,934 | | | | 33,125 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | (534,803 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Unrealized Appreciation on Open Exchange Traded Futures Contracts | | | | | | | | | | | | | | | | | | $ | 757,704 | |
| | | | | | | | | | | | | | | | | |
At August 31, 2020, Core Fixed Income Fund had deposited cash of $2,382,424 with a broker or brokers as margin collateral on an open exchange-traded futures contracts.
At August 31, 2020, 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: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Australian Dollar | | | 511,019 | | | | USD | | | | 353,242 | | | | CITI | | | $ | 377,031 | | | | 10/16/20 | | | $ | 23,789 | |
Brazilian Real | | | 174,640 | | | | USD | | | | 32,434 | | | | CITI | | | | 31,825 | | | | 10/16/20 | | | | (609 | ) |
British Pound | | | 1,690,489 | | | | USD | | | | 2,109,884 | | | | CITI | | | | 2,260,390 | | | | 10/16/20 | | | | 150,506 | |
Canadian Dollar | | | 13,347,647 | | | | USD | | | | 9,836,470 | | | | CITI | | | | 10,235,557 | | | | 10/16/20 | | | | 399,087 | |
Euro | | | 5,511,753 | | | | USD | | | | 6,396,059 | | | | CITI | | | | 6,584,130 | | | | 10/16/20 | | | | 188,071 | |
Euro | | | 2,323,319 | | | | USD | | | | 2,735,030 | | | | CITI | | | | 2,775,349 | | | | 10/16/20 | | | | 40,319 | |
Euro | | | 400,000 | | | | USD | | | | 471,643 | | | | CITI | | | | 477,825 | | | | 10/16/20 | | | | 6,182 | |
Indonesian Rupiah | | | 78,867,595,537 | | | | USD | | | | 5,369,526 | | | | CITI | | | | 5,393,258 | | | | 10/16/20 | | | | 23,732 | |
Mexican Peso | | | 15,937,739 | | | | USD | | | | 694,004 | | | | CITI | | | | 724,490 | | | | 10/16/20 | | | | 30,486 | |
Mexican Peso | | | 20,900,000 | | | | USD | | | | 925,926 | | | | CITI | | | | 950,062 | | | | 10/16/20 | | | | 24,136 | |
South African Rand | | | 8,680,000 | | | | USD | | | | 494,562 | | | | CITI | | | | 509,621 | | | | 10/16/20 | | | | 15,059 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | 900,758 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
216
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Foreign Currency | | Local Currency | | | In Exchange For | | | Counterparty | | | Market Value | | | Settlement
Date | | | Unrealized
Appreciation/
(Depreciation) | |
| Contracts to Sell: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
British Pound | | | 35,000 | | | | USD | | | | 44,753 | | | | CITI | | | $ | 46,799 | | | | 10/16/20 | | | $ | (2,046 | ) |
Chinese Offshore Renminbi | | | 33,757 | | | | USD | | | | 4,787 | | | | CITI | | | | 4,912 | | | | 10/16/20 | | | | (125 | ) |
Euro | | | 12,899,624 | | | | USD | | | | 14,585,617 | | | | CITI | | | | 15,409,399 | | | | 10/16/20 | | | | (823,782 | ) |
Japanese Yen | | | 28,755,648 | | | | USD | | | | 267,783 | | | | CITI | | | | 271,629 | | | | 10/16/20 | | | | (3,846 | ) |
Russian Ruble | | | 84,937,018 | | | | USD | | | | 1,171,553 | | | | CITI | | | | 1,141,288 | | | | 10/16/20 | | | | 30,265 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | (799,534 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Unrealized Appreciation on Open Forward Foreign Currency Contracts | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 101,224 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
At August 31, 2020, Core Fixed Income Fund held the following OTC Interest Rate Swap Contracts:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Pay
Floating Rate | | Floating Rate Index | | Fixed
Rate | | | Maturity
Date | | | Counterparty | | | Notional
Amount | | | Market
Value | | | Upfront
Payment
Paid | | | Unrealized
Appreciation | |
| Pay | | 3-Month BRL-CDI-Compounded | | | 7.024% | | | | 1/4/27 | | | | CITI | | | BRL | 18,325,000 | | | $ | 126,776 | | | $ | 7,443 | | | $ | 119,333 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
At August 31, 2020, 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
(Received) | | | Unrealized
Appreciation/
(Depreciation) | |
| Pay | | 28-Day MXN TIIE Banxico | | | 7.351% | | | | 4/5/21 | | | | 28-Day | | | | MXN | | | | 15,700,000 | | | $ | 12,597 | | | $ | — | | | $ | 12,597 | |
| Receive | | 3-Month USD-LIBOR | | | 0.450% | | | | 5/15/27 | | | | 6-Month | | | | USD | | | | 17,125,000 | | | | 12,140 | | | | (37,834 | ) | | | 49,974 | |
| Receive | | 3-Month USD-LIBOR | | | 0.885% | | | | 7/13/50 | | | | 6-Month | | | | USD | | | | 692,000 | | | | 34,125 | | | | (3,850 | ) | | | 37,975 | |
| Receive | | 3-Month USD-LIBOR | | | 0.900% | | | | 3/17/50 | | | | 6-Month | | | | USD | | | | 1,492,000 | | | | 62,867 | | | | (45 | ) | | | 62,912 | |
| Receive | | 3-Month USD-LIBOR | | | 1.850% | | | | 11/15/44 | | | | 6-Month | | | | USD | | | | 9,527,000 | | | | (1,746,942 | ) | | | (38,306 | ) | | | (1,708,636 | ) |
| Receive | | U.S. Federal Funds Effective Rate Index | | | 0.560% | | | | 7/20/45 | | | | 12-Month | | | | USD | | | | 730,000 | | | | 47,789 | | | | — | | | | 47,789 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | $ | (1,577,424 | ) | | $ | (80,035 | ) | | $ | (1,497,389 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
At August 31, 2020, Core Fixed Income Fund deposited cash collateral with brokers in the amount of $714,890 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. |
| CHF | | — Swiss Franc | | GSC | | — Goldman Sachs & Co. |
| EUR | | — Euro | | | | |
| GBP | | — British Pound | | |
| JPY | | — Japanese Yen | | | | |
| MXN | | — Mexican Peso | | | | |
| RUB | | — Russian Ruble | | | | |
See pages 301-302 for definitions of ratings.
See Notes to Financial Statements.
217
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | CORPORATE BONDS & NOTES — 91.8% | |
|
| | Advertising — 0.4% | |
| $ | 260,000 | | | B | | Clear Channel International BV, Senior Secured Notes, 6.625% due 8/1/25(a) | | $ | 270,075 | |
| | 262,000 | | | B+ | | Outfront Media Capital LLC/Outfront Media Capital Corp., Company Guaranteed Notes, 6.250% due 6/15/25(a) | | | 273,790 | |
| | 592,000 | | | CCC+ | | Terrier Media Buyer Inc., Company Guaranteed Notes, 8.875% due 12/15/27(a) | | | 614,008 | |
| | | | | | | | | | |
| | | | | | Total Advertising | | | 1,157,873 | |
| | | | | | | | | | |
|
| | Aerospace/Defense — 1.5% | |
| | 290,000 | | | BBB- | | Boeing Co. (The), Senior Unsecured Notes, 5.150% due 5/1/30 | | | 325,612 | |
| | | | | | Bombardier Inc., Senior Unsecured Notes: | | | | |
| | 564,000 | | | CCC | | 6.000% due 10/15/22(a) | | | 482,220 | |
| | 184,000 | | | CCC | | 6.125% due 1/15/23(a) | | | 149,224 | |
| | 24,000 | | | CCC | | 7.875% due 4/15/27(a) | | | 17,429 | |
| | 273,000 | | | BBB- | | Howmet Aerospace Inc., Senior Unsecured Notes, 6.875% due 5/1/25 | | | 310,621 | |
| | 366,000 | | | BB | | Moog Inc., Company Guaranteed Notes, 4.250% due 12/15/27(a) | | | 378,352 | |
| | 420,000 | | | BB | | Signature Aviation US Holdings Inc., Senior Unsecured Notes, 5.375% due 5/1/26(a) | | | 433,820 | |
| | 123,000 | | | B | | Spirit AeroSystems Inc., Secured Notes, 7.500% due 4/15/25(a) | | | 124,384 | |
| | | | | | TransDigm Inc.: | | | | |
| | 1,260,000 | | | B- | | Company Guaranteed Notes, 6.500% due 5/15/25 | | | 1,272,600 | |
| | | | | | Senior Secured Notes: | | | | |
| | 170,000 | | | B+ | | 8.000% due 12/15/25(a) | | | 185,045 | |
| | 450,000 | | | B+ | | 6.250% due 3/15/26(a) | | | 475,630 | |
| | | | | | | | | | |
| | | | | | Total Aerospace/Defense | | | 4,154,937 | |
| | | | | | | | | | |
|
| | Agriculture — 0.1% | |
| | | | | | Altria Group Inc., Company Guaranteed Notes: | | | | |
| | 210,000 | | | BBB | | 4.800% due 2/14/29 | | | 251,249 | |
| | 50,000 | | | BBB | | 5.950% due 2/14/49 | | | 68,079 | |
| | | | | | | | | | |
| | | | | | Total Agriculture | | | 319,328 | |
| | | | | | | | | | |
|
| | Airlines — 0.7% | |
| | | | | | Delta Air Lines Inc.: | | | | |
| | 200,000 | | | BBB- | | Senior Secured Notes, 7.000% due 5/1/25(a) | | | 219,233 | |
| | 410,000 | | | BB- | | Senior Unsecured Notes, 7.375% due 1/15/26 | | | 427,224 | |
| | 1,192,000 | | | Baa3(b) | | Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., Senior Secured Notes, 6.500% due 6/20/27(a) | | | 1,242,660 | |
| | | | | | | | | | |
| | | | | | Total Airlines | | | 1,889,117 | |
| | | | | | | | | | |
|
| | Apparel — 0.6% | |
| | | | | | Hanesbrands Inc., Company Guaranteed Notes: | | | | |
| | 290,000 | | | BB | | 5.375% due 5/15/25(a) | | | 309,648 | |
| | 240,000 | | | BB | | 4.875% due 5/15/26(a) | | | 261,745 | |
| | 580,000 | | | BB+ | | Levi Strauss & Co., Senior Unsecured Notes, 5.000% due 5/1/25 | | | 595,164 | |
| | | | | | William Carter Co., Company Guaranteed Notes: | | | | |
| | 265,000 | | | BB+ | | 5.500% due 5/15/25(a) | | | 284,512 | |
| | 364,000 | | | BB+ | | 5.625% due 3/15/27(a) | | | 383,257 | |
| | | | | | | | | | |
| | | | | | Total Apparel | | | 1,834,326 | |
| | | | | | | | | | |
|
| | Auto Manufacturers — 3.2% | |
| | | | | | Ford Motor Co., Senior Unsecured Notes: | | | | |
| | 386,000 | | | BB+ | | 8.500% due 4/21/23 | | | 427,302 | |
| | 763,000 | | | BB+ | | 9.000% due 4/22/25 | | | 893,893 | |
| | 393,000 | | | BB+ | | 9.625% due 4/22/30 | | | 515,765 | |
| | 218,000 | | | BB+ | | 7.450% due 7/16/31 | | | 254,445 | |
| | 49,000 | | | BB+ | | 4.750% due 1/15/43 | | | 45,478 | |
See Notes to Financial Statements.
218
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Auto Manufacturers — 3.2% — (continued) | |
| | | | | | Ford Motor Credit Co. LLC, Senior Unsecured Notes: | | | | |
| $ | 400,000 | | | BB+ | | 3.813% due 10/12/21 | | $ | 402,460 | |
| | 1,980,000 | | | BB+ | | 3.087% due 1/9/23 | | | 1,972,060 | |
| | 2,370,000 | | | BB+ | | 3.096% due 5/4/23 | | | 2,361,705 | |
| | 335,000 | | | BB+ | | 3.370% due 11/17/23 | | | 337,373 | |
| | 500,000 | | | BB+ | | 4.542% due 8/1/26 | | | 510,938 | |
| | 468,000 | | | BB+ | | 4.125% due 8/17/27 | | | 467,619 | |
| | | | | | Navistar International Corp.: | | | | |
| | 352,000 | | | CCC+ | | Company Guaranteed Notes, 6.625% due 11/1/25(a) | | | 360,203 | |
| | 305,000 | | | B+ | | Senior Secured Notes, 9.500% due 5/1/25(a) | | | 348,463 | |
| | | | | | | | | | |
| | | | | | Total Auto Manufacturers | | | 8,897,704 | |
| | | | | | | | | | |
|
| | Auto Parts & Equipment — 0.7% | |
| | 670,000 | | | B- | | American Axle & Manufacturing Inc., Company Guaranteed Notes, 6.500% due 4/1/27 | | | 689,681 | |
| | 80,000 | | | B | | Clarios Global LP, Senior Secured Notes, 6.750% due 5/15/25(a) | | | 85,843 | |
| | | | | | Clarios Global LP/Clarios US Finance Co.: | | | | |
| | 674,000 | | | CCC+ | | Company Guaranteed Notes, 8.500% due 5/15/27(a) | | | 716,757 | |
| | 450,000 | | | B | | Senior Secured Notes, 6.250% due 5/15/26(a) | | | 478,125 | |
| | | | | | | | | | |
| | | | | | Total Auto Parts & Equipment | | | 1,970,406 | |
| | | | | | | | | | |
|
| | Banks — 3.2% | |
| | 600,000 | | | BB+ | | Barclays Bank PLC, Subordinated Notes, 7.625% due 11/21/22 | | | 667,380 | |
| | | | | | Barclays PLC: | | | | |
| | 230,000 | | | B+ | | Junior Subordinated Notes, 8.000% (5-Year CMT Index + 5.672%)(c)(d) | | | 251,726 | |
| | 610,000 | | | BB+ | | Subordinated Notes, 5.088% (3-Month USD-LIBOR + 3.054%) due 6/20/30(c) | | | 709,568 | |
| | 200,000 | | | A- | | BNP Paribas SA, Senior Unsecured Notes, 3.052% (SOFR + 1.507%) due 1/13/31(a)(c) | | | 216,460 | |
| | | | | | CIT Group Inc.: | | | | |
| | 20,000 | | | BB+ | | Senior Unsecured Notes, 5.250% due 3/7/25 | | | 21,848 | |
| | 860,000 | | | BB | | Subordinated Notes, 6.125% due 3/9/28 | | | 1,016,787 | |
| | | | | | Citigroup Inc.: | | | | |
| | 260,000 | | | BB+ | | Junior Subordinated Notes, 5.950% (3-Month USD-LIBOR + 3.905%)(c)(d) | | | 280,863 | |
| | 330,000 | | | BBB+ | | Senior Unsecured Notes, 3.106% (SOFR + 2.750%) due 4/8/26(c) | | | 359,219 | |
| | 200,000 | | | BBB- | | Credit Agricole SA, Junior Subordinated Notes, 8.125% (5-Year USD Swap Rate + 6.185%)(a)(c)(d) | | | 237,875 | |
| | 250,000 | | | A+ | | Credit Suisse AG, Senior Unsecured Notes, 2.950% due 4/9/25 | | | 274,842 | |
| | | | | | Credit Suisse Group AG, Junior Subordinated Notes: | | | | |
| | 230,000 | | | BB- | | 6.375% (5-Year CMT Index + 4.822%)(a)(c)(d) | | | 250,317 | |
| | 200,000 | | | BB- | | 7.500% (5-Year USD Swap Rate + 4.600%)(a)(c)(d) | | | 215,859 | |
| | 200,000 | | | BBB+ | | Danske Bank AS, Senior Unsecured Notes, 5.375% due 1/12/24(a) | | | 226,655 | |
| | | | | | Goldman Sachs Group Inc. (The): | | | | |
| | 310,000 | | | BBB+ | | Senior Unsecured Notes, 3.500% due 4/1/25 | | | 343,847 | |
| | 190,000 | | | BBB- | | Subordinated Notes, 5.150% due 5/22/45 | | | 253,563 | |
| | | | | | HSBC Holdings PLC: | | | | |
| | 240,000 | | | Baa3(b) | | Junior Subordinated Notes, 6.500% (5-Year USD 1100 Run ICE Swap Rate + 3.606%)(c)(d) | | | 258,796 | |
| | 200,000 | | | A- | | Senior Unsecured Notes, 4.950% due 3/31/30 | | | 246,841 | |
| | 667,000 | | | BBB- | | JPMorgan Chase & Co., Junior Subordinated Notes, 4.600% (SOFR + 3.125%)(c)(d) | | | 670,335 | |
| | | | | | Natwest Group PLC: | | | | |
| | 700,000 | | | B+ | | Junior Subordinated Notes, 8.625% (5-Year USD Swap Rate + 7.598%)(c)(d) | | | 737,373 | |
| | 230,000 | | | BBB | | Senior Unsecured Notes, 3.073% (1-Year CMT Index + 2.550%) due 5/22/28(c) | | | 246,683 | |
| | 210,000 | | | BB+ | | Subordinated Notes, 6.000% due 12/19/23 | | | 236,985 | |
| | 200,000 | | | BB | | UBS Group AG, Junior Subordinated Notes, 7.000% (5-Year USD Swap Rate + 4.344%)(a)(c)(d) | | | 216,889 | |
| | 520,000 | | | BB+ | | UniCredit SpA, Subordinated Notes, 5.459% (5-Year CMT Index + 4.750%) due 6/30/35(a)(c) | | | 539,498 | |
See Notes to Financial Statements.
219
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Banks — 3.2% — (continued) | |
| $ | 220,000 | | | BB+ | | Wachovia Capital Trust III, Limited Guaranteed Notes, 5.570% (3-Month USD-LIBOR + 0.930%)(c)(d) | | $ | 221,489 | |
| | | | | | Wells Fargo & Co., Senior Unsecured Notes: | | | | |
| | 230,000 | | | BBB+ | | 2.188% (SOFR + 2.000%) due 4/30/26(c) | | | 240,629 | |
| | 170,000 | | | BBB+ | | 5.013% (3-Month USD-LIBOR + 4.240%) due 4/4/51(c) | | | 232,874 | |
| | | | | | | | | | |
| | | | | | Total Banks | | | 9,175,201 | |
| | | | | | | | | | |
|
| | Beverages — 0.2% | |
| | 460,000 | | | B | | Cott Holdings Inc., Company Guaranteed Notes, 5.500% due 4/1/25(a) | | | 476,100 | |
| | | | | | | | | | |
|
| | Biotechnology — 0.1% | |
| | 250,000 | | | BB- | | Emergent BioSolutions Inc., Company Guaranteed Notes, 3.875% due 8/15/28(a) | | | 255,550 | |
| | | | | | | | | | |
|
| | Building Materials — 1.3% | |
| | 152,000 | | | BB- | | Boise Cascade Co., Company Guaranteed Notes, 4.875% due 7/1/30(a) | | | 165,300 | |
| | | | | | Builders FirstSource Inc.: | | | | |
| | 233,000 | | | B+ | | Company Guaranteed Notes, 5.000% due 3/1/30(a) | | | 249,251 | |
| | 438,000 | | | BB+ | | Senior Secured Notes, 6.750% due 6/1/27(a) | | | 478,705 | |
| | 322,000 | | | BB+ | | Masonite International Corp., Company Guaranteed Notes, 5.375% due 2/1/28(a) | | | 345,084 | |
| | | | | | Standard Industries Inc., Senior Unsecured Notes: | | | | |
| | 985,000 | | | BBB- | | 6.000% due 10/15/25(a) | | | 1,023,415 | |
| | 427,000 | | | BBB- | | 5.000% due 2/15/27(a) | | | 447,110 | |
| | 10,000 | | | BBB- | | 4.750% due 1/15/28(a) | | | 10,550 | |
| | 248,000 | | | BBB- | | 4.375% due 7/15/30(a) | | | 263,158 | |
| | | | | | Summit Materials LLC/Summit Materials Finance Corp., Company Guaranteed Notes: | | | | |
| | 390,000 | | | BB | | 5.125% due 6/1/25(a) | | | 395,321 | |
| | 290,000 | | | BB | | 5.250% due 1/15/29(a) | | | 304,886 | |
| | | | | | | | | | |
| | | | | | Total Building Materials | | | 3,682,780 | |
| | | | | | | | | | |
|
| | Chemicals — 1.1% | |
| | 473,000 | | | BB- | | Nufarm Australia Ltd./Nufarm Americas Inc., Company Guaranteed Notes, 5.750% due 4/30/26(a) | | | 478,232 | |
| | 400,000 | | | BB | | OCI NV, Senior Secured Notes, 6.625% due 4/15/23(a) | | | 417,000 | |
| | 800,000 | | | BB- | | Olin Corp., Senior Unsecured Notes, 5.000% due 2/1/30 | | | 773,852 | |
| | 400,000 | | | BB+ | | SPCM SA, Senior Unsecured Notes, 4.875% due 9/15/25(a) | | | 416,754 | |
| | 600,000 | | | BB- | | Valvoline Inc., Company Guaranteed Notes, 4.250% due 2/15/30(a) | | | 637,650 | |
| | 248,000 | | | BB- | | WR Grace & Co.-Conn, Company Guaranteed Notes, 4.875% due 6/15/27(a) | | | 260,391 | |
| | | | | | | | | | |
| | | | | | Total Chemicals | | | 2,983,879 | |
| | | | | | | | | | |
|
| | Commercial Services — 4.2% | |
| | | | | | Allied Universal Holdco LLC/Allied Universal Finance Corp.: | | | | |
| | 1,188,000 | | | B- | | Senior Secured Notes, 6.625% due 7/15/26(a) | | | 1,275,615 | |
| | 31,000 | | | CCC | | Senior Unsecured Notes, 9.750% due 7/15/27(a) | | | 34,386 | |
| | 101,000 | | | BB- | | AMN Healthcare Inc., Company Guaranteed Notes, 4.625% due 10/1/27(a) | | | 105,779 | |
| | | | | | Avis Budget Car Rental LLC/Avis Budget Finance Inc., Company Guaranteed Notes: | | | | |
| | 50,000 | | | B- | | 6.375% due 4/1/24(a) | | | 49,182 | |
| | 150,000 | | | B- | | 5.250% due 3/15/25(a) | | | 143,685 | |
| | 265,000 | | | B- | | 5.750% due 7/15/27(a) | | | 253,984 | |
| | 620,000 | | | B | | Carriage Services Inc., Company Guaranteed Notes, 6.625% due 6/1/26(a) | | | 657,857 | |
| | 142,000 | | | CCC+ | | Garda World Security Corp., Senior Unsecured Notes, 9.500% due 11/1/27(a) | | | 154,310 | |
| | 197,000 | | | BB | | Gartner Inc., Company Guaranteed Notes, 4.500% due 7/1/28(a) | | | 206,111 | |
| | | | | | Jaguar Holding Co. II/PPD Development LP, Company Guaranteed Notes: | | | | |
| | 194,000 | | | B | | 4.625% due 6/15/25(a) | | | 202,076 | |
| | 172,000 | | | B | | 5.000% due 6/15/28(a) | | | 182,535 | |
| | 673,000 | | | BB | | Korn Ferry, Company Guaranteed Notes, 4.625% due 12/15/27(a) | | | 700,257 | |
| | 1,510,000 | | | B- | | MPH Acquisition Holdings LLC, Company Guaranteed Notes, 7.125% due 6/1/24(a) | | | 1,534,990 | |
See Notes to Financial Statements.
220
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Commercial Services — 4.2% — (continued) | |
| | | | | | Prime Security Services Borrower LLC/Prime Finance Inc.: | | | | |
| $ | 1,180,000 | | | B- | | Secured Notes, 6.250% due 1/15/28(a) | | $ | 1,240,664 | |
| | 280,000 | | | BB- | | Senior Secured Notes, 5.750% due 4/15/26(a) | | | 309,959 | |
| | 330,000 | | | B | | Sabre GLBL Inc., Senior Secured Notes, 9.250% due 4/15/25(a) | | | 367,744 | |
| | | | | | Service Corp. International, Senior Unsecured Notes: | | | | |
| | 70,000 | | | BB | | 7.500% due 4/1/27 | | | 82,849 | |
| | 480,000 | | | BB | | 3.375% due 8/15/30 | | | 490,010 | |
| | | | | | ServiceMaster Co. LLC (The): | | | | |
| | 950,000 | | | BB- | | Company Guaranteed Notes, 5.125% due 11/15/24(a) | | | 971,475 | |
| | 280,000 | | | B | | Senior Unsecured Notes, 7.450% due 8/15/27 | | | 305,147 | |
| | 47,000 | | | CCC | | Team Health Holdings Inc., Company Guaranteed Notes, 6.375% due 2/1/25(a) | | | 32,195 | |
| | 53,000 | | | B | | TMS International Holding Corp., Senior Unsecured Notes, 7.250% due 8/15/25(a) | | | 45,228 | |
| | | | | | United Rentals North America Inc., Company Guaranteed Notes: | | | | |
| | 20,000 | | | BB- | | 5.500% due 5/15/27 | | | 21,460 | |
| | 1,440,000 | | | BB- | | 5.250% due 1/15/30 | | | 1,601,957 | |
| | 95,000 | | | BB- | | 3.875% due 2/15/31 | | | 98,527 | |
| | 83,000 | | | CCC+ | | Verscend Escrow Corp., Senior Unsecured Notes, 9.750% due 8/15/26(a) | | | 90,281 | |
| | 570,000 | | | B+ | | WW International Inc., Company Guaranteed Notes, 8.625% due 12/1/25(a) | | | 601,706 | |
| | | | | | | | | | |
| | | | | | Total Commercial Services | | | 11,759,969 | |
| | | | | | | | | | |
|
| | Computers — 1.2% | |
| | 296,000 | | | BB- | | Booz Allen Hamilton Inc., Company Guaranteed Notes, 3.875% due 9/1/28(a) | | | 307,566 | |
| | | | | | Dell International LLC/EMC Corp.: | | | | |
| | 105,000 | | | BB | | Company Guaranteed Notes, 7.125% due 6/15/24(a) | | | 109,042 | |
| | | | | | Senior Secured Notes: | | | | |
| | 19,000 | | | BBB- | | 5.850% due 7/15/25(a) | | | 22,282 | |
| | 390,000 | | | BBB- | | 6.020% due 6/15/26(a) | | | 460,660 | |
| | 1,038,000 | | | BBB- | | 6.100% due 7/15/27(a) | | | 1,223,567 | |
| | 20,000 | | | BBB- | | 6.200% due 7/15/30(a) | | | 24,191 | |
| | | | | | NCR Corp., Company Guaranteed Notes: | | | | |
| | 146,000 | | | BB- | | 5.000% due 10/1/28(a) | | | 147,542 | |
| | 306,000 | | | BB- | | 5.250% due 10/1/30(a) | | | 310,746 | |
| | | | | | Presidio Holdings Inc.: | | | | |
| | 313,000 | | | CCC+ | | Company Guaranteed Notes, 8.250% due 2/1/28(a) | | | 328,063 | |
| | 79,000 | | | B | | Senior Secured Notes, 4.875% due 2/1/27(a) | | | 81,111 | |
| | 313,000 | | | BB- | | Science Applications International Corp., Company Guaranteed Notes, 4.875% due 4/1/28(a) | | | 324,885 | |
| | | | | | | | | | |
| | | | | | Total Computers | | | 3,339,655 | |
| | | | | | | | | | |
|
| | Cosmetics/Personal Care — 0.1% | |
| | 296,000 | | | BB | | Edgewell Personal Care Co., Company Guaranteed Notes, 5.500% due 6/1/28(a) | | | 316,393 | |
| | | | | | | | | | |
|
| | Distribution/Wholesale — 0.3% | |
| | 98,104 | | | NR | | American News Co. LLC, Secured Notes, 8.500% (8.500% cash or 10.000% PIK) due 9/1/26(a)(e) | | | 107,715 | |
| | 101,000 | | | B | | IAA Inc., Senior Unsecured Notes, 5.500% due 6/15/27(a) | | | 106,616 | |
| | 134,000 | | | B- | | KAR Auction Services Inc., Company Guaranteed Notes, 5.125% due 6/1/25(a) | | | 135,172 | |
| | 160,000 | | | B | | Performance Food Group Inc., Company Guaranteed Notes, 5.500% due 10/15/27(a) | | | 167,093 | |
| | 428,000 | | | BB- | | Univar Solutions USA Inc., Company Guaranteed Notes, 5.125% due 12/1/27(a) | | | 448,142 | |
| | | | | | Total Distribution/Wholesale | | | 964,738 | |
|
| | Diversified Financial Services — 1.3% | |
| | 42,000 | | | B- | | AG Issuer LLC, Senior Secured Notes, 6.250% due 3/1/28(a) | | | 42,735 | |
| | 470,000 | | | NR | | Alliance Data Systems Corp., Company Guaranteed Notes, 4.750% due 12/15/24(a) | | | 450,319 | |
| | 320,000 | | | BB+ | | Ally Financial Inc., Subordinated Notes, 5.750% due 11/20/25 | | | 359,126 | |
| | 1,500,000 | | | Ba2(b) | | Global Aircraft Leasing Co., Ltd., Senior Unsecured Notes, 6.500% (6.500% cash or 7.250% PIK) due 9/15/24(a)(e) | | | 877,500 | |
| | 115,000 | | | B | | Nationstar Mortgage Holdings Inc., Company Guaranteed Notes, 5.500% due 8/15/28(a) | | | 121,276 | |
See Notes to Financial Statements.
221
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Diversified Financial Services — 1.3% — (continued) | |
| | | | | | Navient Corp., Senior Unsecured Notes: | | | | |
| $ | 205,000 | | | B+ | | 5.875% due 3/25/21 | | $ | 208,652 | |
| | 400,000 | | | B+ | | 6.625% due 7/26/21 | | | 411,000 | |
| | 360,000 | | | CCC+ | | NFP Corp., Senior Unsecured Notes, 6.875% due 8/15/28(a) | | | 376,866 | |
| | 80,000 | | | BBB- | | Park Aerospace Holdings Ltd., Company Guaranteed Notes, 5.250% due 8/15/22(a) | | | 79,464 | |
| | 298,000 | | | Ba2(b) | | PRA Group Inc., Senior Unsecured Notes, 7.375% due 9/1/25(a) | | | 318,383 | |
| | 110,000 | | | BB | | Quicken Loans LLC, Company Guaranteed Notes, 5.250% due 1/15/28(a) | | | 117,608 | |
| | 190,000 | | | BB- | | StoneX Group Inc., Senior Secured Notes, 8.625% due 6/15/25(a) | | | 206,031 | |
| | | | | | | | | | |
| | | | | | Total Diversified Financial Services | | | 3,568,960 | |
| | | | | | | | | | |
|
| | Electric — 2.1% | |
| | | | | | AES Corp. (The), Senior Unsecured Notes: | | | | |
| | 19,000 | | | BB+ | | 5.500% due 4/15/25 | | | 19,631 | |
| | 895,000 | | | BB+ | | 6.000% due 5/15/26 | | | 941,822 | |
| | | | | | Calpine Corp.: | | | | |
| | 190,000 | | | BB | | Senior Secured Notes, 4.500% due 2/15/28(a) | | | 197,281 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 781,000 | | | B | | 5.125% due 3/15/28(a) | | | 821,155 | |
| | 150,000 | | | B | | 4.625% due 2/1/29(a) | | | 153,738 | |
| | 600,000 | | | B | | 5.000% due 2/1/31(a) | | | 628,257 | |
| | 77,000 | | | BB | | Clearway Energy Operating LLC, Company Guaranteed Notes, 4.750% due 3/15/28(a) | | | 80,730 | |
| | 500,000 | | | BB+ | | Drax Finco PLC, Senior Secured Notes, 6.625% due 11/1/25(a) | | | 528,647 | |
| | 402,000 | | | BB | | NextEra Energy Operating Partners LP, Company Guaranteed Notes, 4.500% due 9/15/27(a) | | | 440,190 | |
| | | | | | NRG Energy Inc., Company Guaranteed Notes: | | | | |
| | 755,000 | | | BB+ | | 5.750% due 1/15/28 | | | 822,810 | |
| | 27,000 | | | BB+ | | 5.250% due 6/15/29(a) | | | 29,493 | |
| | 205,000 | | | BB- | | Pattern Energy Operations LP/Pattern Energy Operations Inc., Company Guaranteed Notes, 4.500% due 8/15/28(a) | | | 216,255 | |
| | | | | | Talen Energy Supply LLC: | | | | |
| | 40,000 | | | CCC+ | | Company Guaranteed Notes, 10.500% due 1/15/26(a) | | | 32,216 | |
| | 470,000 | | | BB- | | Senior Secured Notes, 6.625% due 1/15/28(a) | | | 472,514 | |
| | | | | | Vistra Operations Co. LLC: | | | | |
| | 53,000 | | | BB | | Company Guaranteed Notes, 5.000% due 7/31/27(a) | | | 56,258 | |
| | 508,000 | | | BBB- | | Senior Secured Notes, 4.300% due 7/15/29(a) | | | 553,077 | |
| | | | | | | | | | |
| | | | | | Total Electric | | | 5,994,074 | |
| | | | | | | | | | |
|
| | Electrical Components & Equipment — 0.4% | |
| | | | | | Energizer Holdings Inc., Company Guaranteed Notes: | | | | |
| | 181,000 | | | B+ | | 6.375% due 7/15/26(a) | | | 192,314 | |
| | 426,000 | | | B+ | | 7.750% due 1/15/27(a) | | | 467,520 | |
| | | | | | WESCO Distribution Inc., Company Guaranteed Notes: | | | | |
| | 224,000 | | | BB- | | 7.125% due 6/15/25(a) | | | 246,697 | |
| | 201,000 | | | BB- | | 7.250% due 6/15/28(a) | | | 224,495 | |
| | | | | | | | | | |
| | | | | | Total Electrical Components & Equipment | | | 1,131,026 | |
| | | | | | | | | | |
|
| | Electronics — 0.4% | |
| | | | | | Sensata Technologies Inc., Company Guaranteed Notes: | | | | |
| | 874,000 | | | BB+ | | 4.375% due 2/15/30(a) | | | 924,281 | |
| | 150,000 | | | BB+ | | 3.750% due 2/15/31(a) | | | 150,977 | |
| | 40,000 | | | BB+ | | Vishay Intertechnology Inc., Senior Unsecured Notes, 2.250% due 6/15/25 | | | 39,107 | |
| | | | | | | | | | |
| | | | | | Total Electronics | | | 1,114,365 | |
| | | | | | | | | | |
|
| | Energy — Alternate Sources — 0.4% | |
| | 707,000 | | | B+ | | Enviva Partners LP/Enviva Partners Finance Corp., Company Guaranteed Notes, 6.500% due 1/15/26(a) | | | 754,132 | |
See Notes to Financial Statements.
222
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Energy — Alternate Sources — 0.4% — (continued) | |
| $ | 243,000 | | | BB- | | TerraForm Power Operating LLC, Company Guaranteed Notes, 5.000% due 1/31/28(a) | | $ | 270,568 | |
| | | | | | | | | | |
| | | | | | Total Energy — Alternate Sources | | | 1,024,700 | |
| | | | | | | | | | |
|
| | Engineering & Construction — 0.3% | |
| | 350,000 | | | B | | frontdoor Inc., Company Guaranteed Notes, 6.750% due 8/15/26(a) | | | 377,496 | |
| | 340,000 | | | BB | | TopBuild Corp., Company Guaranteed Notes, 5.625% due 5/1/26(a) | | | 355,140 | |
| | | | | | | | | | |
| | | | | | Total Engineering & Construction | | | 732,636 | |
| | | | | | | | | | |
|
| | Entertainment — 2.4% | |
| | 460,000 | | | B- | | Allen Media LLC/Allen Media Co.-Issuer Inc., Company Guaranteed Notes, 10.500% due 2/15/28(a) | | | 456,621 | |
| | 204,000 | | | B- | | AMC Entertainment Holdings Inc., Senior Secured Notes, 10.500% due 4/15/25(a) | | | 180,030 | |
| | 550,000 | | | B | | Boyne USA Inc., Secured Notes, 7.250% due 5/1/25(a) | | | 585,005 | |
| | 319,000 | | | CCC+ | | Caesars Resort Collection LLC/CRC Finco Inc., Company Guaranteed Notes, 5.250% due 10/15/25(a) | | | 305,821 | |
| | 65,000 | | | NR | | Cinemark Holdings Inc., Senior Unsecured Notes, 4.500% due 8/15/25(a) | | | 83,730 | |
| | 115,000 | | | B+ | | Cinemark USA Inc., Company Guaranteed Notes, 4.875% due 6/1/23 | | | 106,076 | |
| | | | | | Colt Merger Sub Inc.: | | | | |
| | 814,000 | | | B | | Senior Secured Notes, 6.250% due 7/1/25(a) | | | 863,853 | |
| | 440,000 | | | CCC+ | | Senior Unsecured Notes, 8.125% due 7/1/27(a) | | | 466,974 | |
| | 480,000 | | | BB | | International Game Technology PLC, Senior Secured Notes, 5.250% due 1/15/29(a) | | | 492,770 | |
| | 820,000 | | | CCC+ | | Lions Gate Capital Holdings LLC, Company Guaranteed Notes, 5.875% due 11/1/24(a) | | | 829,139 | |
| | 276,000 | | | B | | Live Nation Entertainment Inc., Company Guaranteed Notes, 4.750% due 10/15/27(a) | | | 261,078 | |
| | 110,000 | | | CCC | | Mohegan Gaming & Entertainment, Company Guaranteed Notes, 7.875% due 10/15/24(a)(f) | | | 104,431 | |
| | 230,000 | | | B | | Powdr Corp., Senior Secured Notes, 6.000% due 8/1/25(a) | | | 238,338 | |
| | | | | | Scientific Games International Inc.: | | | | |
| | 50,000 | | | B- | | Company Guaranteed Notes, 7.000% due 5/15/28(a) | | | 49,096 | |
| | 630,000 | | | B+ | | Senior Secured Notes, 5.000% due 10/15/25(a) | | | 623,558 | |
| | 250,000 | | | BB- | | Speedway Motorsports LLC/Speedway Funding II Inc., Senior Unsecured Notes, 4.875% due 11/1/27(a) | | | 238,125 | |
| | 390,000 | | | BB- | | Stars Group Holdings BV/Stars Group US Co-Borrower LLC, Company Guaranteed Notes, 7.000% due 7/15/26(a) | | | 415,106 | |
| | 400,000 | | | BB- | | Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., Senior Unsecured Notes, 7.750% due 4/15/25(a) | | | 420,486 | |
| | | | | | | | | | |
| | | | | | Total Entertainment | | | 6,720,237 | |
| | | | | | | | | | |
|
| | Environmental Control — 1.4% | |
| | | | | | Clean Harbors Inc., Company Guaranteed Notes: | | | | |
| | 123,000 | | | BB+ | | 4.875% due 7/15/27(a) | | | 129,250 | |
| | 189,000 | | | BB+ | | 5.125% due 7/15/29(a) | | | 207,037 | |
| | | | | | Covanta Holding Corp.: | | | | |
| | 185,000 | | | B | | Company Guaranteed Notes, 5.000% due 9/1/30 | | | 189,912 | |
| | 925,000 | | | B | | Senior Unsecured Notes, 5.875% due 3/1/24 | | | 945,947 | |
| | | | | | GFL Environmental Inc.: | | | | |
| | | | | | Senior Secured Notes: | | | | |
| | 217,000 | | | BB- | | 4.250% due 6/1/25(a) | | | 221,476 | |
| | 961,000 | | | BB- | | 3.750% due 8/1/25(a) | | | 969,413 | |
| | 20,000 | | | BB- | | 5.125% due 12/15/26(a) | | | 21,144 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 285,000 | | | B- | | 7.000% due 6/1/26(a) | | | 299,962 | |
| | 652,000 | | | B- | | 8.500% due 5/1/27(a) | | | 710,801 | |
| | 249,000 | | | B | | Waste Pro USA Inc., Senior Unsecured Notes, 5.500% due 2/15/26(a) | | | 257,193 | |
| | | | | | | | | | |
| | | | | | Total Environmental Control | | | 3,952,135 | |
| | | | | | | | | | |
See Notes to Financial Statements.
223
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Food — 2.7% | |
| | | | | | Albertsons Cos. LLC/Safeway Inc./New Albertsons LP/Albertson’s LLC, Company Guaranteed Notes: | | | | |
| $ | 438,000 | | | BB- | | 5.875% due 2/15/28(a) | | $ | 473,780 | |
| | 39,000 | | | BB- | | 4.875% due 2/15/30(a) | | | 41,964 | |
| | 149,000 | | | BB | | Ingles Markets Inc., Senior Unsecured Notes, 5.750% due 6/15/23 | | | 151,699 | |
| | 172,000 | | | BB | | JBS USA LUX SA/JBS USA Food Co./JBS USA Finance Inc., Senior Unsecured Notes, 5.500% due 1/15/30(a) | | | 191,336 | |
| | | | | | Kraft Heinz Foods Co., Company Guaranteed Notes: | | | | |
| | 199,000 | | | BB+ | | 3.875% due 5/15/27(a) | | | 213,257 | |
| | 779,000 | | | BB+ | | 4.250% due 3/1/31(a) | | | 863,335 | |
| | 60,000 | | | BB+ | | 5.000% due 6/4/42 | | | 66,530 | |
| | 60,000 | | | BB+ | | 5.200% due 7/15/45 | | | 68,381 | |
| | 1,289,000 | | | BB+ | | 4.375% due 6/1/46 | | | 1,324,322 | |
| | 749,000 | | | BB+ | | 5.500% due 6/1/50(a) | | | 889,315 | |
| | | | | | Lamb Weston Holdings Inc., Company Guaranteed Notes: | | | | |
| | 290,000 | | | BB+ | | 4.875% due 11/1/26(a) | | | 304,093 | |
| | 130,000 | | | BB+ | | 4.875% due 5/15/28(a) | | | 143,298 | |
| | | | | | Post Holdings Inc., Company Guaranteed Notes: | | | | |
| | 700,000 | | | B+ | | 5.000% due 8/15/26(a) | | | 727,675 | |
| | 123,000 | | | B+ | | 4.625% due 4/15/30(a) | | | 128,535 | |
| | 600,000 | | | B- | | Simmons Foods Inc., Secured Notes, 5.750% due 11/1/24(a) | | | 613,563 | |
| | 640,000 | | | CCC | | SunOpta Foods Inc., Secured Notes, 9.500% due 10/9/22(a) | | | 656,800 | |
| | 426,000 | | | BB- | | TreeHouse Foods Inc., Company Guaranteed Notes, 4.000% due 9/1/28 | | | 434,601 | |
| | 310,000 | | | BB- | | US Foods Inc., Company Guaranteed Notes, 5.875% due 6/15/24(a) | | | 315,425 | |
| | | | | | | | | | |
| | | | | | Total Food | | | 7,607,909 | |
| | | | | | | | | | |
|
| | Forest Products & Paper — 0.1% | |
| | 320,000 | | | B+ | | Mercer International Inc., Senior Unsecured Notes, 7.375% due 1/15/25 | | | 329,600 | |
| | | | | | | | | | |
|
| | Gas — 0.3% | |
| | | | | | AmeriGas Partners LP/AmeriGas Finance Corp., Senior Unsecured Notes: | | | | |
| | 320,000 | | | Ba3(b) | | 5.625% due 5/20/24 | | | 350,361 | |
| | 330,000 | | | Ba3(b) | | 5.500% due 5/20/25 | | | 363,203 | |
| | | | | | | | | | |
| | | | | | Total Gas | | | 713,564 | |
| | | | | | | | | | |
|
| | Hand/Machine Tools — 0.0% | |
| | | | | | Colfax Corp., Company Guaranteed Notes: | | | | |
| | 19,000 | | | BB | | 6.000% due 2/15/24(a) | | | 19,762 | |
| | 32,000 | | | BB | | 6.375% due 2/15/26(a) | | | 34,610 | |
| | | | | | | | | | |
| | | | | | Total Hand/Machine Tools | | | 54,372 | |
| | | | | | | | | | |
|
| | Healthcare — Products — 0.3% | |
| | 348,000 | | | B | | Avantor Funding Inc., Company Guaranteed Notes, 4.625% due 7/15/28(a) | | | 368,514 | |
| | | | | | Teleflex Inc., Company Guaranteed Notes: | | | | |
| | 315,000 | | | BB | | 4.625% due 11/15/27 | | | 335,417 | |
| | 39,000 | | | BB | | 4.250% due 6/1/28(a) | | | 41,194 | |
| | | | | | | | | | |
| | | | | | Total Healthcare — Products | | | 745,125 | |
| | | | | | | | | | |
|
| | Healthcare — Services — 5.7% | |
| | | | | | Acadia Healthcare Co., Inc., Company Guaranteed Notes: | | | | |
| | 450,000 | | | B- | | 6.500% due 3/1/24 | | | 462,890 | |
| | 212,000 | | | B- | | 5.500% due 7/1/28(a) | | | 220,480 | |
| | 100,000 | | | CCC | | Air Methods Corp., Senior Unsecured Notes, 8.000% due 5/15/25(a) | | | 84,615 | |
| | | | | | Catalent Pharma Solutions Inc., Company Guaranteed Notes: | | | | |
| | 330,000 | | | B+ | | 4.875% due 1/15/26(a) | | | 337,775 | |
| | 26,000 | | | B+ | | 5.000% due 7/15/27(a) | | | 27,474 | |
See Notes to Financial Statements.
224
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Healthcare — Services — 5.7% — (continued) | |
| | | | | | Centene Corp., Senior Unsecured Notes: | | | | |
| $ | 750,000 | | | BBB- | | 4.750% due 5/15/22 | | $ | 756,563 | |
| | 30,000 | | | BBB- | | 4.750% due 1/15/25 | | | 30,900 | |
| | 544,000 | | | BBB- | | 5.250% due 4/1/25(a) | | | 565,080 | |
| | 465,000 | | | BBB- | | 5.375% due 6/1/26(a) | | | 491,156 | |
| | 76,000 | | | BBB- | | 5.375% due 8/15/26(a) | | | 80,774 | |
| | 68,000 | | | BBB- | | 4.250% due 12/15/27 | | | 71,217 | |
| | 992,000 | | | BBB- | | 4.625% due 12/15/29 | | | 1,089,737 | |
| | 711,000 | | | BBB- | | 3.375% due 2/15/30 | | | 741,441 | |
| | | | | | Charles River Laboratories International Inc., Company Guaranteed Notes: | | | | |
| | 290,000 | | | BB | | 5.500% due 4/1/26(a) | | | 305,342 | |
| | 19,000 | | | BB | | 4.250% due 5/1/28(a) | | | 19,958 | |
| | | | | | CHS/Community Health Systems Inc., Senior Secured Notes: | | | | |
| | 640,000 | | | B- | | 6.625% due 2/15/25(a) | | | 655,936 | |
| | 400,000 | | | B- | | 8.000% due 3/15/26(a) | | | 415,400 | |
| | 204,000 | | | B+ | | DaVita Inc., Company Guaranteed Notes, 3.750% due 2/15/31(a) | | | 202,613 | |
| | | | | | Encompass Health Corp., Company Guaranteed Notes: | | | | |
| | 250,000 | | | B+ | | 4.500% due 2/1/28 | | | 256,765 | |
| | 100,000 | | | B+ | | 4.750% due 2/1/30 | | | 104,387 | |
| | | | | | HCA Inc.: | | | | |
| | | | | | Company Guaranteed Notes: | | | | |
| | 775,000 | | | BB- | | 5.375% due 2/1/25 | | | 873,615 | |
| | 280,000 | | | BB- | | 5.375% due 9/1/26 | | | 317,786 | |
| | 325,000 | | | BB- | | 5.625% due 9/1/28 | | | 387,104 | |
| | 385,000 | | | BB- | | 5.875% due 2/1/29 | | | 468,306 | |
| | 1,297,000 | | | BB- | | 3.500% due 9/1/30 | | | 1,366,943 | |
| | 80,000 | | | BB- | | 7.500% due 11/6/33 | | | 108,585 | |
| | 140,000 | | | BB- | | 7.500% due 11/15/95 | | | 180,501 | |
| | 25,000 | | | BBB- | | Senior Secured Notes, 5.000% due 3/15/24 | | | 28,272 | |
| | 450,000 | | | BB | | IQVIA Inc., Company Guaranteed Notes, 5.000% due 5/15/27(a) | | | 474,557 | |
| | | | | | LifePoint Health Inc., Senior Secured Notes: | | | | |
| | 203,000 | | | B | | 6.750% due 4/15/25(a) | | | 219,240 | |
| | 523,000 | | | B | | 4.375% due 2/15/27(a) | | | 523,000 | |
| | 276,000 | | | BB- | | Molina Healthcare Inc., Senior Unsecured Notes, 4.375% due 6/15/28(a) | | | 288,696 | |
| | 290,000 | | | CCC | | Radiology Partners Inc., Company Guaranteed Notes, 9.250% due 2/1/28(a) | | | 309,575 | |
| | 494,000 | | | CCC+ | | RegionalCare Hospital Partners Holdings Inc./LifePoint Health Inc., Company Guaranteed Notes, 9.750% due 12/1/26(a) | | | 535,079 | |
| | 80,000 | | | CCC | | Surgery Center Holdings Inc., Company Guaranteed Notes, 10.000% due 4/15/27(a) | | | 86,824 | |
| | | | | | Tenet Healthcare Corp.: | | | | |
| | | | | | Senior Secured Notes: | | | | |
| | 10,000 | | | B1(b) | | 4.625% due 9/1/24(a) | | | 10,329 | |
| | 710,000 | | | BB- | | 7.500% due 4/1/25(a) | | | 780,230 | |
| | 542,000 | | | BB- | | 4.875% due 1/1/26(a) | | | 564,352 | |
| | 62,000 | | | BB- | | 5.125% due 11/1/27(a) | | | 65,577 | |
| | 413,000 | | | BB- | | 4.625% due 6/15/28(a) | | | 429,446 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 460,000 | | | CCC+ | | 8.125% due 4/1/22 | | | 497,145 | |
| | 420,000 | | | CCC+ | | 6.750% due 6/15/23 | | | 448,770 | |
| | 300,000 | | | CCC | | US Renal Care Inc., Senior Unsecured Notes, 10.625% due 7/15/27(a) | | | 324,131 | |
| | | | | | | | | | |
| | | | | | Total Healthcare — Services | | | 16,208,566 | |
| | | | | | | | | | |
See Notes to Financial Statements.
225
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Home Builders — 1.6% | |
| | | | | | Brookfield Residential Properties Inc./Brookfield Residential US Corp., Company Guaranteed Notes: | | | | |
| $ | 82,000 | | | B+ | | 6.250% due 9/15/27(a) | | $ | 83,215 | |
| | 59,000 | | | B+ | | 4.875% due 2/15/30(a) | | | 55,331 | |
| | 660,000 | | | B+ | | Century Communities Inc., Company Guaranteed Notes, 5.875% due 7/15/25 | | | 688,806 | |
| | | | | | Forestar Group Inc., Company Guaranteed Notes: | | | | |
| | 180,000 | | | B+ | | 8.000% due 4/15/24(a) | | | 191,681 | |
| | 630,000 | | | B+ | | 5.000% due 3/1/28(a) | | | 638,017 | |
| | 250,000 | | | B+ | | Installed Building Products Inc., Company Guaranteed Notes, 5.750% due 2/1/28(a) | | | 264,640 | |
| | | | | | Lennar Corp., Company Guaranteed Notes: | | | | |
| | 30,000 | | | BB+ | | 5.875% due 11/15/24 | | | 33,634 | |
| | 830,000 | | | BB+ | | 4.750% due 11/29/27 | | | 947,237 | |
| | 217,000 | | | BB- | | M/I Homes Inc., Company Guaranteed Notes, 4.950% due 2/1/28 | | | 225,816 | |
| | 100,000 | | | B | | Picasso Finance Sub Inc., Senior Secured Notes, 6.125% due 6/15/25(a) | | | 107,395 | |
| | 253,000 | | | BB- | | Shea Homes LP/Shea Homes Funding Corp., Senior Unsecured Notes, 4.750% due 2/15/28(a) | | | 259,286 | |
| | | | | | Taylor Morrison Communities Inc.: | | | | |
| | | | | | Company Guaranteed Notes: | | | | |
| | 44,000 | | | BB | | 6.000% due 9/1/23(a) | | | 45,306 | |
| | 233,000 | | | BB | | 5.875% due 6/15/27(a) | | | 261,491 | |
| | 191,000 | | | BB | | 5.750% due 1/15/28(a) | | | 214,938 | |
| | 146,000 | | | BB | | Senior Unsecured Notes, 5.125% due 8/1/30(a) | | | 158,914 | |
| | 70,000 | | | BB- | | TRI Pointe Group Inc., Company Guaranteed Notes, 5.700% due 6/15/28 | | | 77,350 | |
| | 60,000 | | | B+ | | Williams Scotsman International Inc., Senior Secured Notes, 4.625% due 8/15/28(a) | | | 60,839 | |
| | 146,000 | | | BB | | Winnebago Industries Inc., Senior Secured Notes, 6.250% due 7/15/28(a) | | | 156,451 | |
| | | | | | | | | | |
| | | | | | Total Home Builders | | | 4,470,347 | |
| | | | | | | | | | |
|
| | Household Products/Wares — 0.5% | |
| | | | | | Central Garden & Pet Co., Company Guaranteed Notes: | | | | |
| | 165,000 | | | BB | | 6.125% due 11/15/23 | | | 169,108 | |
| | 10,000 | | | BB | | 5.125% due 2/1/28 | | | 10,636 | |
| | 200,000 | | | B+ | | Prestige Brands Inc., Company Guaranteed Notes, 5.125% due 1/15/28(a) | | | 210,276 | |
| | | | | | Spectrum Brands Inc., Company Guaranteed Notes: | | | | |
| | 575,000 | | | B | | 5.750% due 7/15/25 | | | 595,125 | |
| | 265,000 | | | B | | 5.000% due 10/1/29(a) | | | 276,543 | |
| | 150,000 | | | B | | 5.500% due 7/15/30(a) | | | 157,875 | |
| | | | | | | | | | |
| | | | | | Total Household Products/Wares | | | 1,419,563 | |
| | | | | | | | | | |
|
| | Housewares — 0.1% | |
| | 215,000 | | | B | | CD&R Smokey Buyer Inc., Senior Secured Notes, 6.750% due 7/15/25(a) | | | 230,319 | |
| | | | | | | | | | |
|
| | Insurance — 1.2% | |
| | 600,000 | | | CCC+ | | Alliant Holdings Intermediate LLC/Alliant Holdings Co.-Issuer, Senior Unsecured Notes, 6.750% due 10/15/27(a) | | | 637,014 | |
| | 474,000 | | | B- | | AmWINS Group Inc., Company Guaranteed Notes, 7.750% due 7/1/26(a) | | | 512,423 | |
| | 318,000 | | | CCC+ | | GTCR AP Finance Inc., Senior Unsecured Notes, 8.000% due 5/15/27(a) | | | 339,802 | |
| | 669,000 | | | CCC+ | | HUB International Ltd., Senior Unsecured Notes, 7.000% due 5/1/26(a) | | | 694,760 | |
| | 210,000 | | | BB+ | | MGIC Investment Corp., Senior Unsecured Notes, 5.250% due 8/15/28 | | | 221,025 | |
| | 480,000 | | | BB | | NMI Holdings Inc., Senior Secured Notes, 7.375% due 6/1/25(a) | | | 518,906 | |
| | 514,000 | | | CCC+ | | USI Inc., Senior Unsecured Notes, 6.875% due 5/1/25(a) | | | 528,451 | |
| | | | | | | | | | |
| | | | | | Total Insurance | | | 3,452,381 | |
| | | | | | | | | | |
|
| | Internet — 2.3% | |
| | 98,000 | | | BB- | | ANGI Group LLC, Company Guaranteed Notes, 3.875% due 8/15/28(a) | | | 99,517 | |
| | 400,000 | | | B+ | | Cogent Communications Group Inc., Senior Secured Notes, 5.375% due 3/1/22(a) | | | 413,406 | |
| | 415,000 | | | CCC+ | | EIG Investors Corp., Company Guaranteed Notes, 10.875% due 2/1/24 | | | 431,038 | |
See Notes to Financial Statements.
226
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Internet — 2.3% — (continued) | |
| | | | | | Expedia Group Inc., Company Guaranteed Notes: | | | | |
| $ | 204,000 | | | BBB- | | 6.250% due 5/1/25(a) | | $ | 224,378 | |
| | 40,000 | | | BBB- | | 7.000% due 5/1/25(a) | | | 43,522 | |
| | 401,000 | | | BB- | | Go Daddy Operating Co. LLC/GD Finance Co., Inc., Company Guaranteed Notes, 5.250% due 12/1/27(a) | | | 426,951 | |
| | | | | | Match Group Holdings II LLC, Senior Unsecured Notes: | | | | |
| | 150,000 | | | BB | | 5.000% due 12/15/27(a) | | | 160,471 | |
| | 610,000 | | | BB | | 4.625% due 6/1/28(a) | | | 643,797 | |
| | | | | | Netflix Inc., Senior Unsecured Notes: | | | | |
| | 1,300,000 | | | BB | | 5.875% due 11/15/28 | | | 1,594,821 | |
| | 1,520,000 | | | BB | | 6.375% due 5/15/29 | | | 1,920,900 | |
| | 130,000 | | | BB | | 4.875% due 6/15/30(a) | | | 150,410 | |
| | 310,000 | | | BB+ | | Twitter Inc., Senior Unsecured Notes, 3.875% due 12/15/27(a) | | | 327,887 | |
| | | | | | | | | | |
| | | | | | Total Internet | | | 6,437,098 | |
| | | | | | | | | | |
|
| | Investment Companies — 0.4% | |
| | | | | | Icahn Enterprises LP/Icahn Enterprises Finance Corp., Company Guaranteed Notes: | | | | |
| | 184,000 | | | BB+ | | 6.250% due 2/1/22 | | | 186,479 | |
| | 531,000 | | | BB+ | | 6.250% due 5/15/26 | | | 568,085 | |
| | 260,000 | | | BB+ | | 5.250% due 5/15/27 | | | 277,063 | |
| | | | | | | | | | |
| | | | | | Total Investment Companies | | | 1,031,627 | |
| | | | | | | | | | |
|
| | Iron/Steel — 0.5% | |
| | 35,000 | | | B+ | | Allegheny Ludlum LLC, Company Guaranteed Notes, 6.950% due 12/15/25 | | | 34,778 | |
| | | | | | Allegheny Technologies Inc., Senior Unsecured Notes: | | | | |
| | 470,000 | | | B | | 7.875% due 8/15/23 | | | 495,054 | |
| | 26,000 | | | B | | 5.875% due 12/1/27 | | | 25,089 | |
| | | | | | Cleveland-Cliffs Inc., Senior Secured Notes: | | | | |
| | 198,000 | | | B | | 9.875% due 10/17/25(a) | | | 218,657 | |
| | 470,000 | | | B | | 6.750% due 3/15/26(a) | | | 480,575 | |
| | 261,000 | | | Ba3(b) | | Infrabuild Australia Pty Ltd., Senior Secured Notes, 12.000% due 10/1/24(a) | | | 249,255 | |
| | | | | | | | | | |
| | | | | | Total Iron/Steel | | | 1,503,408 | |
| | | | | | | | | | |
|
| | Leisure Time — 1.4% | |
| | 88,000 | | | BB+ | | Carnival Corp., Senior Secured Notes, 11.500% due 4/1/23(a) | | | 98,358 | |
| | | | | | NCL Corp., Ltd.: | | | | |
| | | | | | Senior Secured Notes: | | | | |
| | 390,000 | | | BB- | | 12.250% due 5/15/24(a) | | | 435,094 | |
| | 690,000 | | | BB- | | 10.250% due 2/1/26(a) | | | 696,037 | |
| | 350,000 | | | B | | Senior Unsecured Notes, 3.625% due 12/15/24(a) | | | 240,406 | |
| | 38,000 | | | NR | | Royal Caribbean Cruises Ltd., Senior Unsecured Notes, 4.250% due 6/15/23(a) | | | 46,332 | |
| | | | | | Viking Cruises Ltd.: | | | | |
| | 555,000 | | | B- | | Company Guaranteed Notes, 5.875% due 9/15/27(a) | | | 395,091 | |
| | 640,000 | | | B- | | Senior Secured Notes, 13.000% due 5/15/25(a) | | | 712,000 | |
| | 1,535,000 | | | B+ | | VOC Escrow Ltd., Senior Secured Notes, 5.000% due 2/15/28(a) | | | 1,277,604 | |
| | | | | | | | | | |
| | | | | | Total Leisure Time | | | 3,900,922 | |
| | | | | | | | | | |
|
| | Lodging — 1.3% | |
| | | | | | Hilton Domestic Operating Co., Inc., Company Guaranteed Notes: | | | | |
| | 40,000 | | | BB | | 5.375% due 5/1/25(a) | | | 41,972 | |
| | 590,000 | | | BB | | 5.750% due 5/1/28(a) | | | 623,925 | |
| | 30,000 | | | BB | | Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., Company Guaranteed Notes, 4.625% due 4/1/25 | | | 30,410 | |
| | 650,000 | | | BB | | Melco Resorts Finance Ltd., Senior Unsecured Notes, 5.375% due 12/4/29(a) | | | 669,500 | |
See Notes to Financial Statements.
227
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Lodging — 1.3% — (continued) | |
| | | | | | MGM Resorts International, Company Guaranteed Notes: | | | | |
| $ | 375,000 | | | BB- | | 7.750% due 3/15/22 | | $ | 398,672 | |
| | 140,000 | | | BB- | | 5.750% due 6/15/25 | | | 149,872 | |
| | 200,000 | | | BBB- | | Sands China Ltd., Senior Unsecured Notes, 3.800% due 1/8/26(a) | | | 212,228 | |
| | 40,000 | | | B- | | Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP Gaming Finance Corp., Senior Secured Notes, 5.875% due 5/15/25(a) | | | 38,946 | |
| | 329,000 | | | B+ | | Wyndham Hotels & Resorts Inc., Company Guaranteed Notes, 4.375% due 8/15/28(a) | | | 332,150 | |
| | 40,000 | | | BB- | | Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., Company Guaranteed Notes, 5.250% due 5/15/27(a) | | | 39,035 | |
| | | | | | Wynn Macau Ltd., Senior Unsecured Notes: | | | | |
| | 1,000,000 | | | BB- | | 5.625% due 8/26/28(a) | | | 1,007,550 | |
| | 230,000 | | | BB- | | 5.125% due 12/15/29(a) | | | 226,383 | |
| | | | | | | | | | |
| | | | | | Total Lodging | | | 3,770,643 | |
| | | | | | | | | | |
|
| | Machinery — Diversified — 0.4% | |
| | 490,000 | | | BB+ | | Clark Equipment Co., Senior Secured Notes, 5.875% due 6/1/25(a) | | | 517,256 | |
| | 530,000 | | | B | | Vertical US Newco Inc., Senior Secured Notes, 5.250% due 7/15/27(a) | | | 553,188 | |
| | | | | | | | | | |
| | | | | | Total Machinery — Diversified | | | 1,070,444 | |
| | | | | | | | | | |
|
| | Machinery-Construction & Mining — 0.2% | |
| | 660,000 | | | BB | | BWX Technologies Inc., Company Guaranteed Notes, 5.375% due 7/15/26(a) | | | 693,700 | |
| | | | | | | | | | |
|
| | Media — 8.6% | |
| | 750,000 | | | B | | Altice Financing SA, Senior Secured Notes, 7.500% due 5/15/26(a) | | | 801,328 | |
| | | | | | CCO Holdings LLC/CCO Holdings Capital Corp., Senior Unsecured Notes: | | | | |
| | 110,000 | | | BB | | 5.125% due 5/1/27(a) | | | 117,299 | |
| | 524,000 | | | BB | | 5.375% due 6/1/29(a) | | | 575,687 | |
| | 1,038,000 | | | BB | | 4.750% due 3/1/30(a) | | | 1,116,473 | |
| | 2,151,000 | | | BB | | 4.500% due 8/15/30(a) | | | 2,285,448 | |
| | 1,409,000 | | | BB | | 4.500% due 5/1/32(a) | | | 1,495,146 | |
| | | | | | Charter Communications Operating LLC/Charter Communications Operating Capital, Senior Secured Notes: | | | | |
| | 60,000 | | | BBB- | | 4.908% due 7/23/25 | | | 69,866 | |
| | 190,000 | | | BBB- | | 5.750% due 4/1/48 | | | 238,752 | |
| | 161,000 | | | B | | Clear Channel Worldwide Holdings Inc., Senior Secured Notes, 5.125% due 8/15/27(a) | | | 162,860 | |
| | | | | | CSC Holdings LLC: | | | | |
| | | | | | Company Guaranteed Notes: | | | | |
| | 1,430,000 | | | BB | | 5.375% due 2/1/28(a) | | | 1,529,213 | |
| | 477,000 | | | BB | | 4.125% due 12/1/30(a) | | | 495,603 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 300,000 | | | B | | 6.750% due 11/15/21 | | | 315,844 | |
| | 825,000 | | | B | | 5.875% due 9/15/22 | | | 876,336 | |
| | 1,450,000 | | | B | | 5.750% due 1/15/30(a) | | | 1,582,320 | |
| | 583,000 | | | B | | 4.625% due 12/1/30(a) | | | 598,266 | |
| | 200,000 | | | BB | | 3.375% due 2/15/31(a) | | | 197,784 | |
| | 589,000 | | | BB- | | Diamond Sports Group LLC/Diamond Sports Finance Co., Senior Secured Notes, 5.375% due 8/15/26(a) | | | 460,842 | |
| | | | | | DISH DBS Corp., Company Guaranteed Notes: | | | | |
| | 95,000 | | | B- | | 6.750% due 6/1/21 | | | 97,470 | |
| | 2,180,000 | | | B- | | 7.750% due 7/1/26 | | | 2,498,858 | |
| | | | | | DISH Network Corp., Senior Unsecured Notes: | | | | |
| | 50,000 | | | CCC+ | | 2.375% due 3/15/24 | | | 47,216 | |
| | 15,000 | | | CCC+ | | 3.375% due 8/15/26 | | | 14,832 | |
| | | | | | iHeartCommunications Inc.: | | | | |
| | 30,471 | | | CCC+ | | Company Guaranteed Notes, 8.375% due 5/1/27 | | | 30,907 | |
See Notes to Financial Statements.
228
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Media — 8.6% — (continued) | |
| | | | | | Senior Secured Notes: | | | | |
| $ | 3,854 | | | B+ | | 6.375% due 5/1/26 | | $ | 4,036 | |
| | 840,000 | | | B+ | | 5.250% due 8/15/27(a) | | | 837,220 | |
| | 227,000 | | | B | | Nexstar Broadcasting Inc., Company Guaranteed Notes, 5.625% due 7/15/27(a) | | | 239,840 | |
| | 170,000 | | | B- | | Scripps Escrow Inc., Company Guaranteed Notes, 5.875% due 7/15/27(a) | | | 170,213 | |
| | 319,000 | | | B | | Sinclair Television Group Inc., Company Guaranteed Notes, 5.500% due 3/1/30(a) | | | 312,266 | |
| | | | | | Sirius XM Radio Inc., Company Guaranteed Notes: | | | | |
| | 66,000 | | | BB | | 4.625% due 7/15/24(a) | | | 68,557 | |
| | 1,208,000 | | | BB | | 5.000% due 8/1/27(a) | | | 1,283,071 | |
| | | | | | TEGNA Inc., Company Guaranteed Notes: | | | | |
| | 97,000 | | | BB- | | 4.625% due 3/15/28(a) | | | 98,213 | |
| | 223,000 | | | BB- | | 5.000% due 9/15/29(a) | | | 224,516 | |
| | 150,000 | | | BBB- | | Time Warner Cable LLC, Senior Secured Notes, 7.300% due 7/1/38 | | | 214,988 | |
| | 100,000 | | | BBB- | | Time Warner Entertainment Co. LP, Senior Secured Notes, 8.375% due 7/15/33 | | | 155,820 | |
| | | | | | Univision Communications Inc., Senior Secured Notes: | | | | |
| | 380,000 | | | B | | 5.125% due 2/15/25(a) | | | 383,325 | |
| | 300,000 | | | B | | 9.500% due 5/1/25(a) | | | 330,000 | |
| | 550,000 | | | B | | UPC Holding BV, Senior Secured Notes, 5.500% due 1/15/28(a) | | | 575,385 | |
| | 207,000 | | | B | | Virgin Media Finance PLC, Senior Unsecured Notes, 5.000% due 7/15/30(a) | | | 213,484 | |
| | | | | | Virgin Media Secured Finance PLC, Senior Secured Notes: | | | | |
| | 400,000 | | | BB- | | 5.500% due 8/15/26(a) | | | 422,500 | |
| | 1,560,000 | | | BB- | | 5.500% due 5/15/29(a) | | | 1,689,230 | |
| | 340,000 | | | B | | Virgin Media Vendor Financing Notes IV DAC, Senior Unsecured Notes, 5.000% due 7/15/28(a) | | | 352,733 | |
| | 200,000 | | | B | | VTR Finance NV, Senior Unsecured Notes, 6.375% due 7/15/28(a) | | | 214,000 | |
| | 250,000 | | | B- | | Ziggo Bonds Co. BV, Company Guaranteed Notes, 5.125% due 2/28/30(a) | | | 265,313 | |
| | 585,000 | | | B+ | | Ziggo BV, Senior Secured Notes, 5.500% due 1/15/27(a) | | | 615,920 | |
| | | | | | | | | | |
| | | | | | Total Media | | | 24,278,980 | |
| | | | | | | | | | |
|
| | Metal Fabricate/Hardware — 0.0% | |
| | 29,000 | | | CCC | | Hillman Group Inc. (The), Company Guaranteed Notes, 6.375% due 7/15/22(a) | | | 28,522 | |
| | | | | | | | | | |
|
| | Mining — 3.2% | |
| | 330,000 | | | BB+ | | Alcoa Nederland Holding BV, Company Guaranteed Notes, 6.125% due 5/15/28(a) | | | 357,131 | |
| | 491,000 | | | B+ | | Arconic Corp., Secured Notes, 6.125% due 2/15/28(a) | | | 519,392 | |
| | 213,000 | | | B+ | | Compass Minerals International Inc., Company Guaranteed Notes, 6.750% due 12/1/27(a) | | | 233,197 | |
| | 500,000 | | | B | | Constellium SE, Company Guaranteed Notes, 5.875% due 2/15/26(a) | | | 513,373 | |
| | 393,000 | | | BB- | | Eldorado Gold Corp., Secured Notes, 9.500% due 6/1/24(a) | | | 429,802 | |
| | | | | | First Quantum Minerals Ltd., Company Guaranteed Notes: | | | | |
| | 800,000 | | | CCC+ | | 7.250% due 4/1/23(a) | | | 814,220 | |
| | 725,000 | | | CCC+ | | 7.500% due 4/1/25(a) | | | 740,428 | |
| | | | | | Freeport-McMoRan Inc., Company Guaranteed Notes: | | | | |
| | 190,000 | | | BB | | 4.625% due 8/1/30 | | | 203,398 | |
| | 1,977,000 | | | BB | | 5.450% due 3/15/43 | | | 2,223,512 | |
| | | | | | Hudbay Minerals Inc., Company Guaranteed Notes: | | | | |
| | 390,000 | | | B | | 7.250% due 1/15/23(a) | | | 396,297 | |
| | 260,000 | | | B | | 7.625% due 1/15/25(a) | | | 270,254 | |
| | 250,000 | | | B | | Joseph T Ryerson & Son Inc., Senior Secured Notes, 8.500% due 8/1/28(a) | | | 273,750 | |
| | | | | | New Gold Inc.: | | | | |
| | 568,000 | | | B | | Company Guaranteed Notes, 6.375% due 5/15/25(a) | | | 593,492 | |
| | 351,000 | | | B | | Senior Unsecured Notes, 7.500% due 7/15/27(a) | | | 382,151 | |
| | 130,000 | | | WR(b) | | Northwest Acquisitions ULC/Dominion Finco Inc., Secured Notes, 7.125% due 11/1/22(a)(g) | | | 2,243 | |
| | | | | | Novelis Corp., Company Guaranteed Notes: | | | | |
| | 350,000 | | | B+ | | 5.875% due 9/30/26(a) | | | 366,117 | |
| | 209,000 | | | B+ | | 4.750% due 1/30/30(a) | | | 212,236 | |
See Notes to Financial Statements.
229
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Mining — 3.2% — (continued) | |
| $ | 500,000 | | | BBB- | | Teck Resources Ltd., Senior Unsecured Notes, 6.250% due 7/15/41 | | $ | 561,855 | |
| | | | | | | | | | |
| | | | | | Total Mining | | | 9,092,848 | |
| | | | | | | | | | |
|
| | Miscellaneous Manufacturers — 0.0% | |
| | 9,412 | | | NR | | Anagram International Inc./Anagram Holdings LLC, Secured Notes, 10.000% (10.000% cash or 5.000% Cash & 5.000% PIK) due 8/15/26(a)(e) | | | 8,000 | |
| | 79,000 | | | CCC+ | | FXI Holdings Inc., Senior Secured Notes, 7.875% due 11/1/24(a) | | | 76,876 | |
| | | | | | | | | | |
| | | | | | Total Miscellaneous Manufacturers | | | 84,876 | |
| | | | | | | | | | |
|
| | Office/Business Equipment — 0.1% | |
| | 300,000 | | | BB- | | CDW LLC/CDW Finance Corp., Company Guaranteed Notes, 4.250% due 4/1/28 | | | 314,005 | |
| | | | | | | | | | |
|
| | Oil & Gas — 7.4% | |
| | | | | | Apache Corp., Senior Unsecured Notes: | | | | |
| | 130,000 | | | BB+ | | 4.625% due 11/15/25 | | | 133,413 | |
| | 380,000 | | | BB+ | | 4.875% due 11/15/27 | | | 389,454 | |
| | 154,000 | | | BB+ | | 4.375% due 10/15/28 | | | 153,224 | |
| | 376,000 | | | BB+ | | 4.250% due 1/15/30 | | | 366,564 | |
| | 400,000 | | | BB+ | | 5.100% due 9/1/40 | | | 388,762 | |
| | 80,000 | | | CCC+ | | Ascent Resources Utica Holdings LLC/ARU Finance Corp., Senior Unsecured Notes, 7.000% due 11/1/26(a) | | | 55,685 | |
| | 783,000 | | | B | | Berry Petroleum Co. LLC, Company Guaranteed Notes, 7.000% due 2/15/26(a) | | | 644,847 | |
| | | | | | Cenovus Energy Inc., Senior Unsecured Notes: | | | | |
| | 250,000 | | | BBB- | | 3.000% due 8/15/22 | | | 254,136 | |
| | 164,000 | | | BBB- | | 3.800% due 9/15/23 | | | 163,285 | |
| | 80,000 | | | BBB- | | 5.375% due 7/15/25 | | | 81,512 | |
| | 570,000 | | | BBB- | | 6.750% due 11/15/39 | | | 594,538 | |
| | 164,000 | | | BBB- | | 5.400% due 6/15/47 | | | 147,298 | |
| | | | | | Centennial Resource Production LLC, Company Guaranteed Notes: | | | | |
| | 520,000 | | | CCC+ | | 5.375% due 1/15/26(a) | | | 220,251 | |
| | 69,000 | | | CCC+ | | 6.875% due 4/1/27(a) | | | 28,490 | |
| | | | | | Comstock Resources Inc., Company Guaranteed Notes: | | | | |
| | 40,000 | | | B- | | 7.500% due 5/15/25(a) | | | 40,100 | |
| | 500,000 | | | B- | | 9.750% due 8/15/26 | | | 536,050 | |
| | | | | | Continental Resources Inc., Company Guaranteed Notes: | | | | |
| | 110,000 | | | BB+ | | 3.800% due 6/1/24 | | | 108,633 | |
| | 487,000 | | | BB+ | | 4.375% due 1/15/28 | | | 464,739 | |
| | 10,000 | | | BB+ | | 4.900% due 6/1/44 | | | 8,878 | |
| | 716,000 | | | BB- | | CrownRock LP/CrownRock Finance Inc., Senior Unsecured Notes, 5.625% due 10/15/25(a) | | | 708,625 | |
| | 398,000 | | | BB- | | CVR Energy Inc., Company Guaranteed Notes, 5.750% due 2/15/28(a) | | | 362,180 | |
| | | | | | Endeavor Energy Resources LP/EER Finance Inc., Senior Unsecured Notes: | | | | |
| | 385,000 | | | BB- | | 6.625% due 7/15/25(a) | | | 401,582 | |
| | 848,000 | | | BB- | | 5.750% due 1/30/28(a) | | | 869,043 | |
| | 37,000 | | | WR(b) | | EP Energy LLC/Everest Acquisition Finance Inc., Senior Secured Notes, 7.750% due 5/15/26(a)(g) | | | 8,233 | |
| | | | | | EQT Corp., Senior Unsecured Notes: | | | | |
| | 783,000 | | | BB- | | 7.875% due 2/1/25 | | | 899,585 | |
| | 100,000 | | | BB- | | 8.750% due 2/1/30 | | | 119,875 | |
| | | | | | Extraction Oil & Gas Inc., Company Guaranteed Notes: | | | | |
| | 66,000 | | | WR(b) | | 7.375% due 5/15/24(a)(g) | | | 15,751 | |
| | 77,000 | | | WR(b) | | 5.625% due 2/1/26(a)(g) | | | 18,369 | |
| | 60,000 | | | B- | | Great Western Petroleum LLC/Great Western Finance Corp., Senior Unsecured Notes, 9.000% due 9/30/21(a) | | | 34,500 | |
| | 121,000 | | | BB | | Jagged Peak Energy LLC, Company Guaranteed Notes, 5.875% due 5/1/26 | | | 123,779 | |
See Notes to Financial Statements.
230
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Oil & Gas — 7.4% — (continued) | |
| | | | | | Laredo Petroleum Inc., Company Guaranteed Notes: | | | | |
| $ | 15,000 | | | B- | | 9.500% due 1/15/25 | | $ | 10,748 | |
| | 23,000 | | | B- | | 10.125% due 1/15/28 | | | 16,443 | |
| | 90,000 | | | B | | Matador Resources Co., Company Guaranteed Notes, 5.875% due 9/15/26 | | | 78,513 | |
| | | | | | MEG Energy Corp., Company Guaranteed Notes: | | | | |
| | 24,000 | | | B- | | 7.000% due 3/31/24(a) | | | 23,883 | |
| | 1,180,000 | | | B- | | 7.125% due 2/1/27(a) | | | 1,131,939 | |
| | 650,000 | | | B | | Montage Resources Corp., Company Guaranteed Notes, 8.875% due 7/15/23 | | | 666,650 | |
| | | | | | Nabors Industries Ltd., Company Guaranteed Notes: | | | | |
| | 22,000 | | | CCC+ | | 7.250% due 1/15/26(a) | | | 10,120 | |
| | 24,000 | | | CCC+ | | 7.500% due 1/15/28(a) | | | 10,635 | |
| | 750,000 | | | BB- | | Neptune Energy Bondsco PLC, Senior Unsecured Notes, 6.625% due 5/15/25(a) | | | 696,086 | |
| | | | | | Oasis Petroleum Inc., Company Guaranteed Notes: | | | | |
| | 60,000 | | | CCC- | | 6.875% due 3/15/22(f) | | | 11,850 | |
| | 87,000 | | | CCC- | | 6.875% due 1/15/23(f) | | | 16,965 | |
| | | | | | Occidental Petroleum Corp., Senior Unsecured Notes: | | | | |
| | 3,000 | | | BB+ | | 3.125% due 2/15/22 | | | 2,966 | |
| | 45,000 | | | BB+ | | 2.600% due 4/15/22 | | | 44,100 | |
| | 10,000 | | | BB+ | | 1.730% (3-Month USD-LIBOR + 1.450%) due 8/15/22(c) | | | 9,456 | |
| | 44,000 | | | BB+ | | 2.700% due 8/15/22 | | | 43,370 | |
| | 450,000 | | | BB+ | | 2.700% due 2/15/23 | | | 434,079 | |
| | 50,000 | | | BB+ | | 6.950% due 7/1/24 | | | 51,875 | |
| | 40,000 | | | BB+ | | 3.450% due 7/15/24 | | | 36,600 | |
| | 241,000 | | | BB+ | | 2.900% due 8/15/24 | | | 222,171 | |
| | 425,000 | | | BB+ | | 8.500% due 7/15/27 | | | 469,362 | |
| | 222,000 | | | BB+ | | 6.375% due 9/1/28 | | | 225,080 | |
| | 126,000 | | | BB+ | | 3.500% due 8/15/29 | | | 108,562 | |
| | 884,000 | | | BB+ | | 8.875% due 7/15/30 | | | 1,001,130 | |
| | 333,000 | | | BB+ | | 6.625% due 9/1/30 | | | 345,414 | |
| | 105,000 | | | BB+ | | 6.200% due 3/15/40 | | | 100,013 | |
| | 108,000 | | | BB+ | | 4.625% due 6/15/45 | | | 85,590 | |
| | 202,000 | | | BB+ | | 4.200% due 3/15/48 | | | 153,268 | |
| | 161,000 | | | BB+ | | 4.400% due 8/15/49 | | | 124,404 | |
| | | | | | Parsley Energy LLC/Parsley Finance Corp., Company Guaranteed Notes: | | | | |
| | 455,000 | | | BB | | 5.250% due 8/15/25(a) | | | 468,939 | |
| | 430,000 | | | BB | | 5.625% due 10/15/27(a) | | | 445,856 | |
| | | | | | PBF Holding Co. LLC/PBF Finance Corp., Company Guaranteed Notes: | | | | |
| | 20,000 | | | BB | | 7.250% due 6/15/25 | | | 19,042 | |
| | 138,000 | | | BB | | 6.000% due 2/15/28(a) | | | 116,627 | |
| | | | | | Petrobras Global Finance BV, Company Guaranteed Notes: | | | | |
| | 40,000 | | | BB- | | 7.375% due 1/17/27 | | | 47,470 | |
| | 20,000 | | | BB- | | 5.750% due 2/1/29 | | | 22,010 | |
| | | | | | Precision Drilling Corp., Company Guaranteed Notes: | | | | |
| | 5,000 | | | B | | 7.750% due 12/15/23 | | | 3,918 | |
| | 266,000 | | | B | | 5.250% due 11/15/24 | | | 187,835 | |
| | 255,000 | | | B | | 7.125% due 1/15/26(a) | | | 174,308 | |
| | | | | | Range Resources Corp., Company Guaranteed Notes: | | | | |
| | 60,000 | | | B+ | | 5.000% due 3/15/23 | | | 59,886 | |
| | 500,000 | | | B+ | | 4.875% due 5/15/25 | | | 467,763 | |
| | 110,000 | | | B+ | | 9.250% due 2/1/26(a) | | | 116,019 | |
| | 1,004,000 | | | BB- | | Seven Generations Energy Ltd., Company Guaranteed Notes, 5.375% due 9/30/25(a) | | | 968,222 | |
| | 156,000 | | | CCC+ | | Shelf Drilling Holdings Ltd., Company Guaranteed Notes, 8.250% due 2/15/25(a) | | | 56,160 | |
| | 134,000 | | | BB- | | Southwestern Energy Co., Company Guaranteed Notes, 8.375% due 9/15/28(a) | | | 139,025 | |
| | 598,000 | | | BB- | | Sunoco LP/Sunoco Finance Corp., Company Guaranteed Notes, 5.500% due 2/15/26 | | | 618,296 | |
See Notes to Financial Statements.
231
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Oil & Gas — 7.4% — (continued) | |
| | | | | | Transocean Inc., Company Guaranteed Notes: | | | | |
| $ | 15,000 | | | CCC+ | | 7.250% due 11/1/25(a) | | $ | 4,875 | |
| | 64,000 | | | CCC+ | | 7.500% due 1/15/26(a) | | | 20,480 | |
| | 315,900 | | | B- | | Transocean Pontus Ltd., Senior Secured Notes, 6.125% due 8/1/25(a) | | | 284,215 | |
| | 170,000 | | | BBB- | | Viper Energy Partners LP, Company Guaranteed Notes, 5.375% due 11/1/27(a) | | | 175,336 | |
| | | | | | WPX Energy Inc., Senior Unsecured Notes: | | | | |
| | 560,000 | | | BB- | | 8.250% due 8/1/23 | | | 631,425 | |
| | 600,000 | | | BB- | | 5.250% due 9/15/24 | | | 613,569 | |
| | 354,000 | | | BB- | | 5.250% due 10/15/27 | | | 352,722 | |
| | 400,000 | | | BB- | | 5.875% due 6/15/28 | | | 406,508 | |
| | | | | | | | | | |
| | | | | | Total Oil & Gas | | | 20,873,159 | |
| | | | | | | | | | |
|
| | Oil & Gas Services — 0.1% | |
| | 153,000 | | | B+ | | Archrock Partners LP/Archrock Partners Finance Corp., Company Guaranteed Notes, 6.250% due 4/1/28(a) | | | 154,117 | |
| | 25,000 | | | CCC+ | | Nine Energy Service Inc., Company Guaranteed Notes, 8.750% due 11/1/23(a) | | | 9,164 | |
| | | | | | | | | | |
| | | | | | Total Oil & Gas Services | | | 163,281 | |
| | | | | | | | | | |
|
| | Packaging & Containers — 2.5% | |
| | 1,247,000 | | | B- | | ARD Finance SA, Senior Secured Notes, 6.500% (6.500% cash or 7.250% PIK) due 6/30/27(a)(e) | | | 1,282,851 | |
| | | | | | Ardagh Packaging Finance PLC/Ardagh Holdings USA Inc.: | | | | |
| | 1,000,000 | | | B | | Company Guaranteed Notes, 6.000% due 2/15/25(a) | | | 1,044,000 | |
| | 260,000 | | | BB | | Senior Secured Notes, 4.125% due 8/15/26(a) | | | 271,557 | |
| | 730,000 | | | BB+ | | Ball Corp., Company Guaranteed Notes, 2.875% due 8/15/30 | | | 730,183 | |
| | 279,000 | | | BB | | Berry Global Inc., Secured Notes, 5.125% due 7/15/23 | | | 282,836 | |
| | 310,000 | | | BB- | | Cascades Inc./Cascades USA Inc., Company Guaranteed Notes, 5.375% due 1/15/28(a) | | | 331,134 | |
| | 25,000 | | | BB- | | Crown Americas LLC/Crown Americas Capital Corp. V, Company Guaranteed Notes, 4.250% due 9/30/26 | | | 26,640 | |
| | 660,000 | | | BB- | | Crown Americas LLC/Crown Americas Capital Corp. VI, Company Guaranteed Notes, 4.750% due 2/1/26 | | | 690,367 | |
| | 370,000 | | | CCC+ | | Flex Acquisition Co., Inc., Senior Unsecured Notes, 7.875% due 7/15/26(a) | | | 389,275 | |
| | 550,000 | | | BB- | | Greif Inc., Company Guaranteed Notes, 6.500% due 3/1/27(a) | | | 587,023 | |
| | 144,000 | | | B | | Intelligent Packaging Ltd. Finco Inc./Intelligent Packaging Ltd. Co.-Issuer LLC, Senior Secured Notes, 6.000% due 9/15/28(a) | | | 146,880 | |
| | 40,000 | | | B- | | Pactiv LLC, Senior Unsecured Notes, 7.950% due 12/15/25 | | | 44,346 | |
| | | | | | Reynolds Group Issuer Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu: | | | | |
| | 411,000 | | | B- | | Company Guaranteed Notes, 7.000% due 7/15/24(a) | | | 422,044 | |
| | 250,000 | | | B+ | | Senior Secured Notes, 5.125% due 7/15/23(a) | | | 253,987 | |
| | 500,000 | | | BB | | Silgan Holdings Inc., Senior Unsecured Notes, 4.750% due 3/15/25 | | | 511,823 | |
| | | | | | | | | | |
| | | | | | Total Packaging & Containers | | | 7,014,946 | |
| | | | | | | | | | |
|
| | Pharmaceuticals — 3.5% | |
| | 350,000 | | | BBB+ | | AbbVie Inc., Senior Unsecured Notes, 3.200% due 11/21/29(a) | | | 389,155 | |
| | 675,000 | | | B+ | | AdaptHealth LLC, Company Guaranteed Notes, 6.125% due 8/1/28(a) | | | 708,750 | |
| | | | | | Bausch Health Americas Inc., Company Guaranteed Notes: | | | | |
| | 260,000 | | | B | | 9.250% due 4/1/26(a) | | | 288,288 | |
| | 1,557,000 | | | B | | 8.500% due 1/31/27(a) | | | 1,714,903 | |
| | | | | | Bausch Health Cos., Inc.: | | | | |
| | | | | | Company Guaranteed Notes: | | | | |
| | 10,000 | | | B | | 5.500% due 3/1/23(a) | | | 10,012 | |
| | 35,000 | | | B | | 6.125% due 4/15/25(a) | | | 36,041 | |
| | 1,000,000 | | | B | | 9.000% due 12/15/25(a) | | | 1,096,200 | |
| | 121,000 | | | B | | 7.000% due 1/15/28(a) | | | 129,070 | |
| | 389,000 | | | B | | 5.000% due 1/30/28(a) | | | 384,624 | |
| | 1,252,000 | | | B | | 6.250% due 2/15/29(a) | | | 1,310,143 | |
See Notes to Financial Statements.
232
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Pharmaceuticals — 3.5% — (continued) | |
| $ | 720,000 | | | B | | 7.250% due 5/30/29(a) | | $ | 791,413 | |
| | 429,000 | | | B | | 5.250% due 1/30/30(a) | | | 426,902 | |
| | | | | | Senior Secured Notes: | | | | |
| | 377,000 | | | BB | | 5.500% due 11/1/25(a) | | | 389,516 | |
| | 117,000 | | | BB | | 5.750% due 8/15/27(a) | | | 125,921 | |
| | 200,000 | | | A+ | | Bristol-Myers Squibb Co., Senior Unsecured Notes, 3.400% due 7/26/29 | | | 233,854 | |
| | | | | | Cigna Corp.: | | | | |
| | 210,000 | | | A- | | Company Guaranteed Notes, 4.375% due 10/15/28 | | | 251,721 | |
| | 140,000 | | | A- | | Senior Unsecured Notes, 2.400% due 3/15/30 | | | 147,278 | |
| | 196,000 | | | BB- | | Herbalife Nutrition Ltd./HLF Financing Inc., Company Guaranteed Notes, 7.875% due 9/1/25(a) | | | 216,335 | |
| | 60,000 | | | BB- | | HLF Financing Sarl LLC/Herbalife International Inc., Company Guaranteed Notes, 7.250% due 8/15/26(a) | | | 62,794 | |
| | 320,000 | | | B+ | | Par Pharmaceutical Inc., Senior Secured Notes, 7.500% due 4/1/27(a) | | | 342,019 | |
| | 80,000 | | | BB | | Teva Pharmaceutical Finance Co. BV, Company Guaranteed Notes, 2.950% due 12/18/22 | | | 77,778 | |
| | 800,000 | | | BB | | Teva Pharmaceutical Finance Netherlands III BV, Company Guaranteed Notes, 7.125% due 1/31/25(a) | | | 867,352 | |
| | | | | | | | | | |
| | | | | | Total Pharmaceuticals | | | 10,000,069 | |
| | | | | | | | | | |
|
| | Pipelines — 3.0% | |
| | | | | | Antero Midstream Partners LP/Antero Midstream Finance Corp., Company Guaranteed Notes: | | | | |
| | 40,000 | | | B- | | 5.375% due 9/15/24 | | | 37,000 | |
| | 339,000 | | | B- | | 5.750% due 3/1/27(a) | | | 303,627 | |
| | 80,000 | | | B | | Blue Racer Midstream LLC/Blue Racer Finance Corp., Senior Unsecured Notes, 6.625% due 7/15/26(a) | | | 70,685 | |
| | | | | | Buckeye Partners LP, Senior Unsecured Notes: | | | | |
| | 189,000 | | | BB | | 4.125% due 3/1/25(a) | | | 190,414 | |
| | 309,000 | | | BB | | 4.500% due 3/1/28(a) | | | 316,212 | |
| | 619,000 | | | BBB- | | Cheniere Corpus Christi Holdings LLC, Senior Secured Notes, 7.000% due 6/30/24 | | | 721,930 | |
| | 40,000 | | | NR | | Cheniere Energy Inc., Senior Unsecured Notes, 4.250% due 3/15/45 | | | 27,124 | |
| | | | | | Cheniere Energy Partners LP: | | | | |
| | 254,000 | | | BB | | Company Guaranteed Notes, 4.500% due 10/1/29 | | | 265,173 | |
| | 344,000 | | | BB | | Senior Secured Notes, 5.250% due 10/1/25 | | | 348,644 | |
| | 220,000 | | | BB- | | CNX Midstream Partners LP/CNX Midstream Finance Corp., Senior Unsecured Notes, 6.500% due 3/15/26(a) | | | 221,109 | |
| | | | | | DCP Midstream Operating LP, Company Guaranteed Notes: | | | | |
| | 120,000 | | | BB+ | | 6.450% due 11/3/36(a) | | | 120,515 | |
| | 550,000 | | | BB+ | | 6.750% due 9/15/37(a) | | | 552,362 | |
| | 36,000 | | | BB+ | | EnLink Midstream LLC, Company Guaranteed Notes, 5.375% due 6/1/29 | | | 31,841 | |
| | | | | | EQM Midstream Partners LP, Senior Unsecured Notes: | | | | |
| | 300,000 | | | BB- | | 4.000% due 8/1/24 | | | 301,970 | |
| | 331,000 | | | BB- | | 6.000% due 7/1/25(a) | | | 351,688 | |
| | 302,000 | | | BB- | | 6.500% due 7/1/27(a) | | | 331,117 | |
| | 340,000 | | | BB- | | 5.500% due 7/15/28 | | | 352,876 | |
| | 250,000 | | | BB- | | 6.500% due 7/15/48 | | | 252,891 | |
| | 80,000 | | | BBB- | | NGPL PipeCo LLC, Senior Unsecured Notes, 7.768% due 12/15/37(a) | | | 97,695 | |
| | 483,000 | | | BB | | Plains All American Pipeline LP, Junior Subordinated Notes, 6.125% (3-Month USD-LIBOR + 4.110%)(c)(d) | | | 338,587 | |
| | | | | | Targa Resources Partners LP/Targa Resources Partners Finance Corp., Company Guaranteed Notes: | | | | |
| | 23,000 | | | BB | | 6.500% due 7/15/27 | | | 24,898 | |
| | 260,000 | | | BB | | 5.000% due 1/15/28 | | | 265,745 | |
| | 423,000 | | | BB | | 6.875% due 1/15/29 | | | 468,737 | |
| | 430,000 | | | BB | | 4.875% due 2/1/31(a) | | | 435,968 | |
| | 370,000 | | | BBB | | Transcontinental Gas Pipe Line Co. LLC, Senior Unsecured Notes, 3.250% due 5/15/30(a) | | | 403,329 | |
See Notes to Financial Statements.
233
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Pipelines — 3.0% — (continued) | |
| | | | | | Western Midstream Operating LP, Senior Unsecured Notes: | | | | |
| $ | 160,000 | | | BB+ | | 4.000% due 7/1/22 | | $ | 163,200 | |
| | 640,000 | | | BB+ | | 4.100% due 2/1/25 | | | 639,174 | |
| | 250,000 | | | BB+ | | 3.950% due 6/1/25 | | | 250,548 | |
| | 26,000 | | | BB+ | | 4.500% due 3/1/28 | | | 26,195 | |
| | 124,000 | | | BB+ | | 4.750% due 8/15/28 | | | 125,240 | |
| | 199,000 | | | BB+ | | 5.050% due 2/1/30 | | | 203,992 | |
| | 410,000 | | | BB+ | | 5.500% due 8/15/48 | | | 369,000 | |
| | | | | | | | | | |
| | | | | | Total Pipelines | | | 8,609,486 | |
| | | | | | | | | | |
|
| | Real Estate — 0.8% | |
| | 1,084,000 | | | B | | Five Point Operating Co. LP/Five Point Capital Corp., Company Guaranteed Notes, 7.875% due 11/15/25(a) | | | 1,092,797 | |
| | 373,000 | | | B+ | | Greystar Real Estate Partners LLC, Senior Secured Notes, 5.750% due 12/1/25(a) | | | 382,791 | |
| | 280,000 | | | BB- | | Howard Hughes Corp. (The), Company Guaranteed Notes, 5.375% due 8/1/28(a) | | | 285,075 | |
| | 440,000 | | | CCC+ | | Realogy Group LLC/Realogy Co.-Issuer Corp., Secured Notes, 7.625% due 6/15/25(a) | | | 463,489 | |
| | | | | | | | | | |
| | | | | | Total Real Estate | | | 2,224,152 | |
| | | | | | | | | | |
|
| | Real Estate Investment Trusts (REITs) — 3.2% | |
| | 220,000 | | | NR | | Apollo Commercial Real Estate Finance Inc., Senior Unsecured Notes, 4.750% due 8/23/22 | | | 203,897 | |
| | 250,000 | | | BB+ | | Brookfield Property REIT Inc./BPR Cumulus LLC/BPR Nimbus LLC/GGSI Sellco LL, Senior Secured Notes, 5.750% due 5/15/26(a) | | | 204,335 | |
| | | | | | CoreCivic Inc., Company Guaranteed Notes: | | | | |
| | 380,000 | | | BB | | 5.000% due 10/15/22 | | | 375,636 | |
| | 120,000 | | | BB | | 4.625% due 5/1/23 | | | 114,375 | |
| | 390,000 | | | BB | | CTR Partnership LP/CareTrust Capital Corp., Company Guaranteed Notes, 5.250% due 6/1/25 | | | 399,222 | |
| | 450,000 | | | BB+ | | Diversified Healthcare Trust, Company Guaranteed Notes, 9.750% due 6/15/25 | | | 502,362 | |
| | | | | | ESH Hospitality Inc., Company Guaranteed Notes: | | | | |
| | 320,000 | | | BB- | | 5.250% due 5/1/25(a) | | | 325,272 | |
| | 220,000 | | | BB- | | 4.625% due 10/1/27(a) | | | 220,271 | |
| | | | | | GEO Group Inc. (The), Company Guaranteed Notes: | | | | |
| | 470,000 | | | B+ | | 5.875% due 10/15/24 | | | 370,663 | |
| | 780,000 | | | B+ | | 6.000% due 4/15/26 | | | 600,600 | |
| | 368,000 | | | BB+ | | HAT Holdings I LLC/HAT Holdings II LLC, Company Guaranteed Notes, 6.000% due 4/15/25(a) | | | 395,140 | |
| | | | | | Iron Mountain Inc., Company Guaranteed Notes: | | | | |
| | 510,000 | | | BB- | | 5.000% due 7/15/28(a) | | | 529,768 | |
| | 251,000 | | | BB- | | 5.250% due 7/15/30(a) | | | 266,854 | |
| | 149,000 | | | BB- | | 4.500% due 2/15/31(a) | | | 153,209 | |
| | 171,000 | | | BB- | | 5.625% due 7/15/32(a) | | | 184,058 | |
| | 310,000 | | | B+ | | Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., Company Guaranteed Notes, 4.250% due 2/1/27(a) | | | 285,200 | |
| | | | | | MGM Growth Properties Operating Partnership LP/MGP Finance Co.-Issuer Inc., Company Guaranteed Notes: | | | | |
| | 180,000 | | | BB- | | 5.625% due 5/1/24 | | | 194,869 | |
| | 380,000 | | | BB- | | 4.500% due 9/1/26 | | | 400,104 | |
| | 273,000 | | | BB- | | 5.750% due 2/1/27 | | | 302,433 | |
| | | | | | MPT Operating Partnership LP/MPT Finance Corp., Company Guaranteed Notes: | | | | |
| | 700,000 | | | BBB- | | 5.000% due 10/15/27 | | | 741,492 | |
| | 60,000 | | | BBB- | | 4.625% due 8/1/29 | | | 64,151 | |
| | 217,000 | | | BB | | Service Properties Trust, Company Guaranteed Notes, 7.500% due 9/15/25 | | | 236,277 | |
| | | | | | VICI Properties LP/VICI Note Co., Inc., Company Guaranteed Notes: | | | | |
| | 513,000 | | | BB | | 4.250% due 12/1/26(a) | | | 525,350 | |
| | 610,000 | | | BB | | 4.625% due 12/1/29(a) | | | 635,431 | |
| | 660,000 | | | BB | | 4.125% due 8/15/30(a) | | | 660,825 | |
See Notes to Financial Statements.
234
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Real Estate Investment Trusts (REITs) — 3.2% — (continued) | |
| $ | 260,000 | | | B+ | | XHR LP, Senior Secured Notes, 6.375% due 8/15/25(a) | | $ | 267,150 | |
| | | | | | | | | | |
| | | | | | Total Real Estate Investment Trusts (REITs) | | | 9,158,944 | |
| | | | | | | | | | |
|
| | Retail — 2.6% | |
| | | | | | 1011778 BC ULC/New Red Finance Inc.: | | | | |
| | 682,000 | | | B+ | | Secured Notes, 5.000% due 10/15/25(a) | | | 701,509 | |
| | 514,000 | | | BB+ | | Senior Secured Notes, 5.750% due 4/15/25(a) | | | 549,502 | |
| | | | | | Asbury Automotive Group Inc., Company Guaranteed Notes: | | | | |
| | 7,000 | | | BB | | 4.500% due 3/1/28(a) | | | 7,179 | |
| | 134,000 | | | BB | | 4.750% due 3/1/30(a) | | | 139,207 | |
| | 60,000 | | | BB- | | Brinker International Inc., Company Guaranteed Notes, 5.000% due 10/1/24(a) | | | 59,919 | |
| | 266,000 | | | BB+ | | Burlington Coat Factory Warehouse Corp., Senior Secured Notes, 6.250% due 4/15/25(a) | | | 283,456 | |
| | 322,000 | | | CCC | | Ferrellgas LP/Ferrellgas Finance Corp., Senior Secured Notes, 10.000% due 4/15/25(a) | | | 351,584 | |
| | 370,000 | | | BB | | FirstCash Inc., Company Guaranteed Notes, 4.625% due 9/1/28(a) | | | 380,939 | |
| | | | | | Golden Nugget Inc.: | | | | |
| | 110,000 | | | CCC | | Company Guaranteed Notes, 8.750% due 10/1/25(a) | | | 81,939 | |
| | 481,000 | | | CCC | | Senior Unsecured Notes, 6.750% due 10/15/24(a) | | | 410,052 | |
| | 195,000 | | | BB+ | | Group 1 Automotive Inc., Company Guaranteed Notes, 4.000% due 8/15/28(a) | | | 194,921 | |
| | 546,000 | | | B | | IRB Holding Corp., Senior Secured Notes, 7.000% due 6/15/25(a) | | | 583,824 | |
| | | | | | L Brands Inc.: | | | | |
| | | | | | Company Guaranteed Notes: | | | | |
| | 319,000 | | | B+ | | 9.375% due 7/1/25(a) | | | 371,970 | |
| | 690,000 | | | B+ | | 5.250% due 2/1/28 | | | 663,928 | |
| | 51,000 | | | B+ | | 6.875% due 11/1/35 | | | 52,285 | |
| | 19,000 | | | B+ | | 6.750% due 7/1/36 | | | 19,444 | |
| | 99,000 | | | BB | | Senior Secured Notes, 6.875% due 7/1/25(a) | | | 107,266 | |
| | 10,000 | | | B- | | Senior Unsecured Notes, 7.600% due 7/15/37 | | | 9,243 | |
| | 320,000 | | | CCC+ | | Michaels Stores Inc., Company Guaranteed Notes, 8.000% due 7/15/27(a) | | | 323,741 | |
| | | | | | Murphy Oil USA Inc., Company Guaranteed Notes: | | | | |
| | 440,000 | | | BB+ | | 5.625% due 5/1/27 | | | 467,966 | |
| | 27,000 | | | BB+ | | 4.750% due 9/15/29 | | | 29,252 | |
| | 17,412 | | | CCC | | Party City Holdings Inc., Senior Secured Notes, 5.750% (6-Month USD-LIBOR + 5.000%) due 7/15/25(a)(c) | | | 11,100 | |
| | 245,000 | | | B+ | | Penske Automotive Group Inc., Company Guaranteed Notes, 3.500% due 9/1/25 | | | 247,228 | |
| | 340,000 | | | CCC+ | | PetSmart Inc., Company Guaranteed Notes, 8.875% due 6/1/25(a) | | | 353,345 | |
| | | | | | Sally Holdings LLC/Sally Capital Inc., Company Guaranteed Notes: | | | | |
| | 400,000 | | | B | | 5.500% due 11/1/23 | | | 405,150 | |
| | 270,000 | | | B | | 5.625% due 12/1/25 | | | 274,529 | |
| | 261,000 | | | B+ | | Yum! Brands Inc., Senior Unsecured Notes, 7.750% due 4/1/25(a) | | | 291,668 | |
| | | | | | | | | | |
| | | | | | Total Retail | | | 7,372,146 | |
| | | | | | | | | | |
|
| | Semiconductors — 0.9% | |
| | 460,000 | | | BB | | Amkor Technology Inc., Senior Unsecured Notes, 6.625% due 9/15/27(a) | | | 504,765 | |
| | | | | | Entegris Inc., Company Guaranteed Notes: | | | | |
| | 305,000 | | | BB | | 4.625% due 2/10/26(a) | | | 315,712 | |
| | 460,000 | | | BB | | 4.375% due 4/15/28(a) | | | 481,850 | |
| | 410,000 | | | Ba2(b) | | Microchip Technology Inc., Company Guaranteed Notes, 4.250% due 9/1/25(a) | | | 427,221 | |
| | 680,000 | | | BB | | ON Semiconductor Corp., Company Guaranteed Notes, 3.875% due 9/1/28(a) | | | 712,116 | |
| | | | | | | | | | |
| | | | | | Total Semiconductors | | | 2,441,664 | |
| | | | | | | | | | |
|
| | Software — 1.6% | |
| | 70,000 | | | NR | | Alteryx Inc., Senior Unsecured Notes, 1.000% due 8/1/26 | | | 71,290 | |
| | 546,000 | | | B+ | | Black Knight InfoServ LLC, Company Guaranteed Notes, 3.625% due 9/1/28(a) | | | 554,365 | |
| | 160,000 | | | B- | | BY Crown Parent LLC/BY Bond Finance Inc., Senior Secured Notes, 4.250% due 1/31/26(a) | | | 163,684 | |
See Notes to Financial Statements.
235
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Software — 1.6% — (continued) | |
| | | | | | CDK Global Inc., Senior Unsecured Notes: | | | | |
| $ | 270,000 | | | BB+ | | 5.875% due 6/15/26 | | $ | 284,225 | |
| | 70,000 | | | BB+ | | 4.875% due 6/1/27 | | | 74,046 | |
| | 222,000 | | | BB+ | | 5.250% due 5/15/29(a) | | | 242,393 | |
| | 383,000 | | | B- | | Change Healthcare Holdings LLC/Change Healthcare Finance Inc., Company Guaranteed Notes, 5.750% due 3/1/25(a) | | | 389,224 | |
| | 380,000 | | | B | | Donnelley Financial Solutions Inc., Company Guaranteed Notes, 8.250% due 10/15/24 | | | 396,585 | |
| | 280,000 | | | BB+ | | Fair Isaac Corp., Senior Unsecured Notes, 4.000% due 6/15/28(a) | | | 291,214 | |
| | 765,000 | | | BB | | j2 Cloud Services LLC/j2 Global Co-Obligor Inc., Company Guaranteed Notes, 6.000% due 7/15/25(a) | | | 797,551 | |
| | 146,000 | | | B- | | Logan Merger Sub Inc., Company Guaranteed Notes, 5.500% due 9/1/27(a) | | | 149,331 | |
| | 587,000 | | | BB | | Open Text Corp., Company Guaranteed Notes, 3.875% due 2/15/28(a) | | | 604,774 | |
| | 362,000 | | | BB | | Open Text Holdings Inc., Company Guaranteed Notes, 4.125% due 2/15/30(a) | | | 375,977 | |
| | | | | | PTC Inc., Company Guaranteed Notes: | | | | |
| | 19,000 | | | BB- | | 3.625% due 2/15/25(a) | | | 19,570 | |
| | 119,000 | | | BB- | | 4.000% due 2/15/28(a) | | | 123,498 | |
| | 73,000 | | | CCC- | | Riverbed Technology Inc., Company Guaranteed Notes, 8.875% due 3/1/23(a) | | | 51,465 | |
| | 20,000 | | | B+ | | SS&C Technologies Inc., Company Guaranteed Notes, 5.500% due 9/30/27(a) | | | 21,447 | |
| | | | | | | | | | |
| | | | | | Total Software | | | 4,610,639 | |
| | | | | | | | | | |
|
| | Telecommunications — 6.6% | |
| | | | | | Altice France Holding SA: | | | | |
| | 350,000 | | | CCC+ | | Company Guaranteed Notes, 6.000% due 2/15/28(a) | | | 350,649 | |
| | 700,000 | | | CCC+ | | Senior Secured Notes, 10.500% due 5/15/27(a) | | | 803,688 | |
| | | | | | Altice France SA, Senior Secured Notes: | | | | |
| | 2,680,000 | | | B | | 7.375% due 5/1/26(a) | | | 2,848,036 | |
| | 600,000 | | | B | | 8.125% due 2/1/27(a) | | | 669,687 | |
| | | | | | CenturyLink Inc.: | | | | |
| | 590,000 | | | BBB- | | Senior Secured Notes, 4.000% due 2/15/27(a) | | | 599,947 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 50,000 | | | B+ | | 6.450% due 6/15/21 | | | 51,756 | |
| | 445,000 | | | B+ | | 6.750% due 12/1/23 | | | 493,954 | |
| | 620,000 | | | B- | | CommScope Inc., Company Guaranteed Notes, 8.250% due 3/1/27(a) | | | 671,116 | |
| | | | | | CommScope Technologies LLC, Company Guaranteed Notes: | | | | |
| | 552,000 | | | B- | | 6.000% due 6/15/25(a) | | | 566,661 | |
| | 40,000 | | | B- | | 5.000% due 3/15/27(a) | | | 39,804 | |
| | 550,000 | | | B+ | | Connect Finco SARL/Connect US Finco LLC, Senior Secured Notes, 6.750% due 10/1/26(a) | | | 568,398 | |
| | 470,000 | | | BB | | Hughes Satellite Systems Corp., Company Guaranteed Notes, 6.625% due 8/1/26 | | | 533,948 | |
| | | | | | Intelsat Jackson Holdings SA: | | | | |
| | 119,000 | | | WR(b) | | Company Guaranteed Notes, 8.500% due 10/15/24(a)(g) | | | 81,206 | |
| | 550,000 | | | WR(b) | | Senior Secured Notes, 8.000% due 2/15/24(a)(f)(g) | | | 561,913 | |
| | | | | | Level 3 Financing Inc., Company Guaranteed Notes: | | | | |
| | 430,000 | | | BB | | 5.125% due 5/1/23 | | | 431,120 | |
| | 165,000 | | | BB | | 5.375% due 1/15/24 | | | 167,458 | |
| | 170,000 | | | BB | | 5.250% due 3/15/26 | | | 177,455 | |
| | | | | | Sprint Capital Corp., Company Guaranteed Notes: | | | | |
| | 592,000 | | | BB | | 6.875% due 11/15/28 | | | 757,390 | |
| | 2,315,000 | | | BB | | 8.750% due 3/15/32 | | | 3,498,978 | |
| | | | | | Sprint Communications Inc., Company Guaranteed Notes: | | | | |
| | 160,000 | | | BB | | 11.500% due 11/15/21 | | | 178,200 | |
| | 15,000 | | | BB | | 6.000% due 11/15/22 | | | 16,294 | |
| | | | | | Sprint Corp., Company Guaranteed Notes: | | | | |
| | 1,000,000 | | | BB | | 7.250% due 9/15/21 | | | 1,056,350 | |
| | 200,000 | | | BB | | 7.875% due 9/15/23 | | | 232,875 | |
| | 280,000 | | | BB | | 7.625% due 3/1/26 | | | 344,772 | |
See Notes to Financial Statements.
236
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Telecommunications — 6.6% — (continued) | |
| $ | 765,000 | | | BB+ | | Telecom Italia SpA, Senior Unsecured Notes, 5.303% due 5/30/24(a) | | $ | 845,696 | |
| | | | | | T-Mobile USA Inc.: | | | | |
| | | | | | Company Guaranteed Notes: | | | | |
| | 1,310,000 | | | BB | | 6.500% due 1/15/26 | | | 1,373,044 | |
| | 45,000 | | | BB | | 4.500% due 2/1/26 | | | 46,490 | |
| | 60,000 | | | BB | | 4.750% due 2/1/28 | | | 64,725 | |
| | 200,000 | | | BBB- | | Senior Secured Notes, 4.500% due 4/15/50(a) | | | 244,602 | |
| | 258,000 | | | BB+ | | ViaSat Inc., Senior Secured Notes, 5.625% due 4/15/27(a) | | | 274,077 | |
| | 200,000 | | | B+ | | VTR Comunicaciones SpA, Senior Secured Notes, 5.125% due 1/15/28(a) | | | 209,500 | |
| | | | | | | | | | |
| | | | | | Total Telecommunications | | | 18,759,789 | |
| | | | | | | | | | |
|
| | Transportation — 1.1% | |
| | 329,000 | | | NR | | Air Transport Services Group Inc., Senior Unsecured Notes, 1.125% due 10/15/24 | | | 353,579 | |
| | 401,000 | | | B+ | | Cargo Aircraft Management Inc., Company Guaranteed Notes, 4.750% due 2/1/28(a) | | | 413,030 | |
| | 411,000 | | | B- | | Watco Cos. LLC/Watco Finance Corp., Senior Unsecured Notes, 6.500% due 6/15/27(a) | | | 435,146 | |
| | 70,000 | | | B+ | | XPO CNW Inc., Senior Unsecured Notes, 6.700% due 5/1/34 | | | 74,692 | |
| | | | | | XPO Logistics Inc., Company Guaranteed Notes: | | | | |
| | 430,000 | | | BB- | | 6.125% due 9/1/23(a) | | | 438,847 | |
| | 1,173,000 | | | BB- | | 6.250% due 5/1/25(a) | | | 1,254,377 | |
| | | | | | | | | | |
| | | | | | Total Transportation | | | 2,969,671 | |
| | | | | | | | | | |
|
| | Trucking & Leasing — 0.0% | |
| | 140,000 | | | BB+ | | DAE Funding LLC, Company Guaranteed Notes, 5.000% due 8/1/24(a) | | | 137,636 | |
| | | | | | | | | | |
| | | | | | TOTAL CORPORATE BONDS & NOTES
(Cost — $244,246,857) | | | 259,190,490 | |
| | | | | | | | | | |
|
| | SENIOR LOANS — 5.4% | |
| | 248,438 | | | NR | | ACProducts Inc., (Restricted, cost — $236,563, acquired 4/17/20), 7.500% (3-Month USD-LIBOR + 6.500%) due 8/18/25(h) | | | 249,758 | |
| | 59,850 | | | NR | | Acrisure LLC, (Restricted, cost — $59,712, acquired 1/31/20), 3.656% (1-Month USD-LIBOR + 3.500%) due 2/15/27(h) | | | 57,649 | |
| | 592,186 | | | NR | | AlixPartners LLP, 2.656% (1-Month USD-LIBOR + 2.500%) due 4/4/24 | | | 581,121 | |
| | 419,920 | | | NR | | Allen Media LLC, (Restricted, cost — $410,387, acquired 7/14/20), 5.808% (3-Month USD-LIBOR + 5.500%) due 2/10/27(h) | | | 405,922 | |
| | 109,724 | | | NR | | Allied Universal Holdco LLC, (Restricted, cost — $104,988, acquired 5/21/20), 4.406% (1-Month USD-LIBOR + 4.250%) due 7/10/26(h) | | | 109,121 | |
| | 1,818 | | | NR | | AmeriLife Holdings LLC, (Restricted, cost — $1,818, acquired 2/6/20), 4.084% (1-Month USD-LIBOR + 4.000%) due 3/18/27(h)(i) | | | 1,795 | |
| | 26,591 | | | NR | | AmeriLife Holdings LLC, (Restricted, cost — $26,530, acquired 2/6/20), 4.156% (1-Month USD-LIBOR + 4.000%) due 3/18/27(h) | | | 26,259 | |
| | 229,418 | | | NR | | Applovin Corp., (Restricted, cost — $222,719, acquired 4/16/20), 3.656% (1-Month USD-LIBOR + 3.500%) due 8/15/25(h) | | | 227,876 | |
| | 170,000 | | | NR | | Aramark Intermediate HoldCo Corp., (Restricted, cost — $160,333, acquired 5/21/20), 1.911% (1-Month USD-LIBOR + 1.750%) due 3/11/25(h) | | | 162,775 | |
| | 1,235,303 | | | NR | | Asurion LLC, 6.656% (1-Month USD-LIBOR + 6.500%) due 8/4/25 | | | 1,241,171 | |
| | 249,203 | | | NR | | Asurion LLC, (Restricted, cost — $243,448, acquired 4/8/20), 3.156% (1-Month USD-LIBOR + 3.000%) due 8/4/22(h) | | | 246,918 | |
| | 29,625 | | | NR | | athenahealth Inc., (Restricted, cost — $29,163, acquired 2/7/19), 4.818% (3-Month USD-LIBOR + 4.500%) due 2/11/26(h) | | | 29,459 | |
| | 316,385 | | | NR | | BellRing Brands LLC, 6.000% (1-Month USD-LIBOR + 5.000%) due 10/21/24 | | | 317,176 | |
| | 126,425 | | | NR | | Big River Steel LLC, 6.000% (3-Month USD-LIBOR + 5.000%) due 8/23/23 | | | 126,235 | |
| | 60,000 | | | NR | | Chesapeake Energy Corp., (Restricted, cost — $58,989, acquired 12/9/19), 9.000% (2-Month USD-LIBOR + 8.000%) due 6/24/24(g)(h) | | | 40,125 | |
| | 59,550 | | | NR | | Clarios Global LP, (Restricted, cost — $59,471, acquired 4/3/19), 3.658% (1-Month USD-LIBOR + 3.500%) due 4/30/26(h) | | | 58,545 | |
See Notes to Financial Statements.
237
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | SENIOR LOANS — 5.4% — (continued) | |
| $ | 229,422 | | | NR | | Commscope Inc., (Restricted, cost — $220,778, acquired 4/17/20), 3.406% (1-Month USD-LIBOR + 3.250%) due 4/6/26(h) | | $ | 225,366 | |
| | 58,500 | | | NR | | CoreCivic Inc., (Restricted, cost — $55,983, acquired 12/12/19), 5.500% (1-Month USD-LIBOR + 4.500%) due 12/18/24(h) | | | 58,012 | |
| | 329,175 | | | NR | | DCert Buyer Inc., (Restricted, cost — $319,281, acquired 4/17/20), 4.156% (1-Month USD-LIBOR + 4.000%) due 10/16/26(h) | | | 326,056 | |
| | 80,000 | | | NR | | Deerfield Dakota Holding LLC, (Restricted, cost — $78,870, acquired 3/5/20), 9.000% (1-Month USD-LIBOR + 8.000%) due 4/10/28(h) | | | 79,800 | |
| | 630,000 | | | NR | | Delta Air Lines Inc., (Restricted, cost — $620,499, acquired 4/27/20), 5.750% (3-Month USD-LIBOR + 4.750%) due 4/29/23(h) | | | 629,550 | |
| | 397,890 | | | NR | | EIG Investors Corp., 4.750% (1-Month USD-LIBOR + 3.750%) due 2/9/23 | | | 396,696 | |
| | 50,468 | | | NR | | Envision Healthcare Corp., 3.906% (1-Month USD-LIBOR + 3.750%) due 10/10/25 | | | 36,770 | |
| | 270,000 | | | NR | | Equinox Holdings Inc., (Restricted, cost — $262,347, acquired 6/9/20), 10.000%(3-Month USD-LIBOR + 9.000%) due 3/8/24(h) | | | 268,650 | |
| | 40,000 | | | NR | | EyeCare Partners LLC, (Restricted, cost — $39,626, acquired 2/18/20), 8.558% (3-Month USD-LIBOR + 8.250%) due 2/18/28(h) | | | 34,900 | |
| | 48,527 | | | NR | | EyeCare Partners LLC, (Restricted, cost — $48,471, acquired 2/5/20), 4.822% (3-Month USD-LIBOR + 3.750%) due 2/18/27(h) | | | 45,472 | |
| | 139,649 | | | NR | | First Eagle Holdings Inc., (Restricted, cost — $129,231, acquired 5/21/20), 2.808% (3-Month USD-LIBOR + 2.500%)due 2/1/27(h) | | | 136,582 | |
| | 259,561 | | | NR | | Flutter Entertainment PLC, 3.808% (3-Month USD-LIBOR + 3.500%) due 7/10/25 | | | 260,215 | |
| | 259,338 | | | NR | | Focus Financial Partners LLC, (Restricted, cost — $246,789, acquired 4/24/20), 2.156% (1-Month USD-LIBOR + 2.000%) due 7/3/24(h) | | | 253,909 | |
| | 480,000 | | | NR | | Garda World Security Corp., (Restricted, cost — $458,461, acquired 4/17/20), 4.930% (1-Month USD-LIBOR + 4.750%) due 10/30/26(h) | | | 479,880 | |
| | 79,145 | | | NR | | Global Tel*Link Corp., (Restricted, cost — $76,330, acquired 8/16/19), 4.406% (1-Month USD-LIBOR + 4.250%) due 11/29/25(h) | | | 69,248 | |
| | 220,419 | | | NR | | Graftech International Ltd., 4.500% (1-Month USD-LIBOR + 3.500%) due 2/12/25 | | | 217,939 | |
| | 229,424 | | | NR | | Grifols Worldwide Operations Ltd., (Restricted, cost — $225,320, acquired 4/16/20), 2.113% (1-Week USD-LIBOR + 2.000%) due 11/15/27(h) | | | 225,346 | |
| | 293,204 | | | NR | | Herbalife Nutrition Ltd., 2.906% (1-Month USD-LIBOR + 2.750%) due 8/18/25 | | | 289,832 | |
| | 326,884 | | | NR | | Hillman Group Inc. , 5.072% (3-Month USD-LIBOR + 4.000%) due 5/30/25 | | | 321,012 | |
| | 250,000 | | | NR | | Intelsat Jackson Holdings SA, 8.625% due 1/2/24 | | | 253,673 | |
| | 498,724 | | | NR | | IRB Holding Corp., (Restricted, cost — $448,878, acquired 4/17/20), 3.750% (3-Month USD-LIBOR + 2.750%) due 2/5/25(h) | | | 481,643 | |
| | 249,344 | | | NR | | Jaguar Holding Company I LLC, (Restricted, cost — $245,143, acquired 4/8/20), 3.500% (1-Month USD-LIBOR + 2.500%) due 8/18/22(h) | | | 249,188 | |
| | 39,599 | | | NR | | Jane Street Group LLC, (Restricted, cost — $39,488, acquired 8/16/19), 3.156% (1-Month USD-LIBOR + 3.000%) due 1/31/25(h) | | | 39,166 | |
| | 430,000 | | | NR | | JetBlue Airways Corp., (Restricted, cost — $428,989, acquired 6/12/20), 6.250% (3-Month USD-LIBOR + 5.250%)due 6/17/24(h) | | | 429,785 | |
| | 200,000 | | | NR | | Level 3 Financing Inc., (Restricted, cost — $192,292, acquired 5/22/20), 1.906% (1-Month USD-LIBOR + 1.750%)due 3/1/27(h) | | | 194,167 | |
| | 81,048 | | | NR | | LifePoint Health Inc., (Restricted, cost — $80,901, acquired 2/11/20), 3.906% (1-Month USD-LIBOR + 3.750%) due 11/16/25(h) | | | 79,659 | |
| | 79,194 | | | NR | | McAfee LLC, (Restricted, cost — $79,280, acquired 8/16/19), 3.906% (1-Month USD-LIBOR + 3.750%) due 9/30/24(h) | | | 78,650 | |
| | 9,943 | | | NR | | Michaels Stores Inc., (Restricted, cost — $9,196, acquired 2/28/20), 3.534% (1-Month USD-LIBOR + 2.500%) due 1/30/23(h) | | | 9,585 | |
| | 320,000 | | | NR | | Mileage Plus Holdings LLC, (Restricted, cost — $313,741, acquired 6/25/20), 6.250% (3-Month USD-LIBOR + 5.250%)due 6/21/27(h) | | | 323,901 | |
| | 69,630 | | | NR | | Mohegan Tribal Gaming Authority, (Restricted, cost — $69,014, acquired 1/10/20), 7.375% (1-Month USD-LIBOR + 6.375%) due 10/13/23(f)(h) | | | 63,527 | |
| | 250,000 | | | NR | | Nexstar Broadcasting Inc., (Restricted, cost — $241,751, acquired 4/8/20), 2.906% (1-Month USD-LIBOR + 2.750%) due 9/18/26(h) | | | 246,094 | |
See Notes to Financial Statements.
238
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | SENIOR LOANS — 5.4% — (continued) | |
| $ | 268,328 | | | NR | | Nielsen Finance LLC, 4.750% (1-Month USD-LIBOR + 3.750%) due 6/4/25 | | $ | 269,971 | |
| | 465,679 | | | NR | | PetSmart Inc., 5.000% (3-Month USD-LIBOR + 4.000%) due 3/11/22 | | | 465,534 | |
| | 249,373 | | | NR | | Phoenix Guarantor Inc., (Restricted, cost — $233,008, acquired 4/8/20), 3.412% (1-Month USD-LIBOR + 3.250%) due 3/5/26(h) | | | 245,882 | |
| | 641,772 | | | NR | | Playtika Holding Corp., 7.072% (3-Month USD-LIBOR + 6.000%) due 12/10/24 | | | 648,225 | |
| | 88,200 | | | NR | | Ply Gem Midco Inc., (Restricted, cost — $87,989, acquired 3/29/18), 3.918% (1-Month USD-LIBOR + 3.750%) due 4/12/25(h) | | | 86,905 | |
| | 149,623 | | | NR | | Prime Security Services Borrower LLC, (Restricted, cost — $143,515, acquired 5/21/20), 4.250% (3-Month USD-LIBOR + 3.250%) due 9/23/26(h) | | | 149,343 | |
| | 50,000 | | | NR | | Radiology Partners Inc., (Restricted, cost — $46,671, acquired 5/21/20), 5.667% (3-Month USD-LIBOR + 4.250%) due 7/9/25(h) | | | 48,011 | |
| | 82,177 | | | NR | | Radnet Management Inc., (Restricted, cost — $82,078, acquired 8/16/17), 4.750% (3-Month USD-LIBOR + 3.750%) due 6/30/23(h) | | | 81,869 | |
| | 31,125 | | | NR | | Science Applications International Corp., (Restricted, cost — $30,834, acquired 3/5/20), 2.406% (1-Month USD-LIBOR + 2.250%) due 3/12/27(h) | | | 31,008 | |
| | 318,317 | | | NR | | Sedgwick Claims Management Services Inc., (Restricted, cost — $299,521, acquired 4/30/20), 3.406% (1-Month USD-LIBOR + 3.250%) due 12/31/25(h) | | | 308,236 | |
| | 33,568 | | | NR | | Spectacle Gary Holdings LLC, 11.000% (3-Month USD-LIBOR + 9.000%) due 12/23/25 | | | 31,805 | |
| | 78,012 | | | NR | | Spencer Spirit IH LLC, (Restricted, cost — $76,718, acquired 6/14/19), 6.245% (3-Month USD-LIBOR + 6.000%) due 6/19/26(f)(h) | | | 69,301 | |
| | 92,502 | | | NR | | SS&C Technologies Holdings Inc., 1.906% (1-Month USD-LIBOR + 1.750%) due 4/16/25 | | | 90,116 | |
| | 49,725 | | | NR | | Terrier Media Buyer Inc., (Restricted, cost — $49,501, acquired 12/12/19), 4.406% (1-Month USD-LIBOR + 4.250%) due 12/17/26(h) | | | 48,886 | |
| | 319,198 | | | NR | | TransDigm Inc., (Restricted, cost — $289,820, acquired 4/8/20), 2.406% (1-Month USD-LIBOR + 2.250%) due 12/9/25(h) | | | 303,562 | |
| | 9,277 | | | NR | | U.S. Renal Care Inc., (Restricted, cost — $9,123, acquired 6/14/19), 5.188% (1-Month USD-LIBOR + 5.000%) due 6/26/26(h) | | | 9,083 | |
| | 349,091 | | | NR | | US Foods Inc., (Restricted, cost — $333,611, acquired 4/8/20), 1.906% (1-Month USD-LIBOR + 1.750%) due 6/27/23(h) | | | 337,527 | |
| | 319,186 | | | NR | | Verscend Holding Corp., (Restricted, cost — $305,279, acquired 4/8/20), 4.656% (1-Month USD-LIBOR + 4.500%) due 8/27/25(h) | | | 317,823 | |
| | 250,000 | | | NR | | VICI Properties 1 LLC, (Restricted, cost — $235,603, acquired 4/8/20), 1.933% (1-Month USD-LIBOR + 1.750%) due 12/20/24(h) | | | 241,321 | |
| | 230,000 | | | NR | | Virgin Media Bristol LLC, (Restricted, cost — $223,958, acquired 4/16/20), 2.662% (1-Month USD-LIBOR + 2.500%) due 1/31/28(h) | | | 224,489 | |
| | 229,425 | | | NR | | VS Buyer LLC, (Restricted, cost — $225,069, acquired 4/17/20), 3.406% (1-Month USD-LIBOR + 3.250%) due 2/28/27(h) | | | 227,131 | |
| | 239,138 | | | NR | | Whatabrands LLC, (Restricted, cost — $232,076, acquired 4/17/20), 2.905% (1-Month USD-LIBOR + 2.750%) due 7/31/26(h) | | | 233,757 | |
| | | | | | | | | | |
| | | | | | TOTAL SENIOR LOANS
(Cost — $14,938,781) | | | 15,155,963 | |
| | | | | | | | | | |
| | | |
| Shares/Units | | | | | | | | |
|
| | CLOSED END MUTUAL FUND SECURITY — 0.2% | |
|
| | FINANCIALS — 0.2% | |
|
| | Capital Markets — 0.2% | |
| | 4,750 | | | | | iShares® iBoxx High Yield Corporate Bond ETF(j)
(Cost — $368,030) | | | 403,893 | |
| | | | | | | | | | |
|
| | COMMON STOCKS — 0.1% | |
|
| | COMMUNICATIONS — 0.0% | |
|
| | Advertising — 0.0% | |
| | 802 | | | | | Clear Channel Outdoor Holdings Inc., Class A Shares* | | | 938 | |
| | | | | | | | | | |
See Notes to Financial Statements.
239
| | | | | | | | | | |
| High Yield Fund | |
| | | |
| Shares/Units | | | | | Security | | Value | |
|
| | COMMUNICATIONS — 0.0% — (continued) | |
|
| | Media — 0.0% | |
| | 168 | | | | | iHeartMedia Inc., Class A Shares* | | $ | 1,549 | |
| | | | | | | | | | |
| | | | | | TOTAL COMMUNICATIONS | | | 2,487 | |
| | | | | | | | | | |
|
| | ENERGY — 0.1% | |
|
| | Energy Equipment & Services — 0.0% | |
| | 17,453 | | | | | Hercules Offshore Inc.*#(f)(k) | | | 14,257 | |
| | | | | | | | | | |
|
| | Oil & Gas — 0.1% | |
| | 21,784 | | | | | Berry Corp. | | | 85,829 | |
| | 7,241 | | | | | Montage Resources Corp.* | | | 37,364 | |
| | | | | | | | | | |
| | | | | | Total Oil & Gas | | | 123,193 | |
| | | | | | | | | | |
| | | | | | TOTAL ENERGY | | | 137,450 | |
| | | | | | | | | | |
|
| | FINANCIALS — 0.0% | |
|
| | Diversified Financial Services — 0.0% | |
| | 68 | | | | | MWO Holdings, (Restricted, cost — $208,716, acquired 6/30/11), ADR,*#(f)(h)(k) | | | 5,215 | |
| | | | | | | | | | |
| | | | | | TOTAL COMMON STOCKS
(Cost — $2,129,164) | | | 145,152 | |
| | | | | | | | | | |
|
| | PREFERRED STOCKS — 0.1% | |
|
| | CONSUMER CYCLICAL — 0.1% | |
|
| | Distribution/Wholesale — 0.1% | |
| | 6,182 | | | | | WESCO International Inc., 10.625% (5-Year CMT Index + 10.325%)*(c)(d) | | | 171,674 | |
| | | | | | | | | | |
|
| | FINANCIALS — 0.0% | |
|
| | Banks — 0.0% | |
| | 3,884 | | | | | GMAC Capital Trust I, 6.065% (3-Month USD-LIBOR + 5.785%) due 2/15/40(c) | | | 95,275 | |
| | | | | | | | | | |
|
| | Diversified Financial Services — 0.0% | |
| | 1,175 | | | | | B. Riley Financial Inc., 6.875% due 9/30/23 | | | 29,257 | |
| | | | | | | | | | |
| | | | | | TOTAL FINANCIALS | | | 124,532 | |
| | | | | | | | | | |
| | | | | | TOTAL PREFERRED STOCKS
(Cost — $262,989) | | | 296,206 | |
| | | | | | | | | | |
|
| | CONVERTIBLE PREFERRED STOCK — 0.0% | |
|
| | CONSUMER NON-CYCLICAL — 0.0% | |
|
| | Pharmaceuticals — 0.0% | |
| | 2,000 | | | | | Becton Dickinson & Co., 6.000% due 6/1/23
(Cost — $101,997) | | | 106,860 | |
| | | | | | | | | | |
| | | |
Face
Amount/Units† | | | Rating†† | | | | | |
|
| | SOVEREIGN BOND — 0.0% | |
| |
| | Argentina — 0.0% | | | | |
| $ | 150,000 | | | D | | Argentine Republic Government International Bonds, 7.500% due 4/22/26
(Cost — $159,450) | | | 68,955 | |
| | | | | | | | | | |
| | | |
| Shares/Units | | | | | | | | |
|
| | WARRANT — 0.0% | |
|
| | Media — 0.0% | |
| | 853 | | | | | iHeartMedia Inc., (Restricted, cost — $4,488, acquired 8/28/19), expires 5/1/39*(f)(h) | | | 7,007 | |
| | | | | | | | | | |
| | | | | | (Cost — $4,488) | | | 7,007 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS
(Cost — $262,211,756) | | | 275,374,526 | |
| | | | | | | | | | |
See Notes to Financial Statements.
240
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | | | Security | | Value | |
|
| | SHORT-TERM INVESTMENTS (l) — 1.7% | |
|
| | TIME DEPOSITS — 1.7% | |
| | 1,127,068 | | | | | Banco Santander SA — Frankfurt, 0.010% due 9/1/20 | | $ | 1,127,068 | |
| | 1,363,890 | | | | | Citibank — New York, 0.010% due 9/1/20 | | | 1,363,890 | |
| | 2,241,816 | | | | | JPMorgan Chase & Co. — New York, 0.010% due 9/1/20 | | | 2,241,816 | |
| | | | | | | | | | |
| | | | | | TOTAL SHORT-TERM INVESTMENTS
(Cost — $4,732,774) | | | 4,732,774 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS — 99.3%
(Cost — $266,944,530) | | | 280,107,300 | |
| | | | | | | | | | |
| | | | | | Other Assets in Excess of Liabilities — 0.7% | | | 2,134,433 | |
| | | | | | | | | | |
| | | | | | TOTAL NET ASSETS — 100.0% | | $ | 282,241,733 | |
| | | | | | | | | | |
| † | 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, 2020, amounts to $165,619,254 and represents 58.7% 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, 2020. |
| (d) | Security is perpetual in nature and has no stated maturity date. |
| (e) | Payment-in-kind security for which part of the income earned may be paid as additional principal. |
| (g) | Security is currently in default. |
| (h) | The aggregate value of restricted securities (excluding 144A holdings) at August 31, 2020, amounts to $9,620,694 and represents 3.4% of net assets. |
| (i) | 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. |
| (j) | All or a portion of this security is on loan (See Note 1). |
| (k) | Security is valued in good faith at fair value by or under the direction of the Board of Trustees. |
| (l) | Inclusive of all short-term holdings, including investments of collateral received from securities lending transactions. Excluding such collateral, the percentage of portfolio holdings would be 1.7%. |
| # | Security that used significant unobservable inputs to determine fair value. |
At August 31, 2020, 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 | | $ | 268,177,812 | | | $ | 16,544,266 | | | $ | (4,215,254 | ) | | $ | 12,329,012 | |
See Notes to Financial Statements.
241
| | |
Abbreviations used in this schedule: |
| ADR | | — American Depositary Receipts |
| CMT | | — Constant Maturity Treasury Rate |
| ETF | | — Exchange-Traded Fund |
| ICE | | — Intercontinental Exchange |
| LIBOR | | — London Interbank Offered Rate |
| PLC | | — Public Limited Company |
| SOFR | | — Secured Overnight Financing Rate |
See pages 301-302 for definitions of ratings.
| | | | |
| Summary of Investments by Security Type^ | |
Corporate Bonds & Notes | | | 92.4 | % |
Senior Loans | | | 5.4 | |
Closed End Mutual Fund Security | | | 0.2 | |
Preferred Stocks | | | 0.1 | |
Common Stocks | | | 0.1 | |
Convertible Preferred Stock | | | 0.0 | * |
Sovereign Bond | | | 0.0 | * |
Warrant | | | 0.0 | * |
Short-Term Investments | | | 1.8 | |
| | | | |
| | | 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. |
At August 31, 2020, High Yield 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 (CBT) Futures | | | 6 | | | | 12/20 | | | $ | 836,080 | | | $ | 835,500 | | | $ | 580 | |
| | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
242
| | | | | | | | | | |
| International Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | | | Security | | Value | |
|
| | SOVEREIGN BONDS — 51.1% | |
|
| | Argentina — 0.1% | |
| | 360,000 | ARS | | | | Argentine Bonos del Tesoro, 15.500% due 10/17/26 | | $ | 2,122 | |
| | 4,960,000 | ARS | | | | Bonos del Tesoro Nacional en Pesos Badlar, 31.557% (Argentina Deposit Rates Badlar Private Banks ARS 30 to 35 Days Index + 2.000%) due 4/3/22(a)(b) | | | 69,257 | |
| | 780,000 | ARS | | | | Ciudad Autonoma de Buenos Aires, 34.506% (Argentina Deposit Rates Badlar Private Banks ARS 30 to 35 Days Index + 5.000%) due 1/23/22(a)(b) | | | 11,023 | |
| | 460,000 | ARS | | | | Provincia de Buenos Aires, 33.285% (Argentina Deposit Rates Badlar Private Banks ARS 30 to 35 Days Index + 3.750%) due 4/12/25(a)(b)(c) | | | 5,657 | |
| | | | | | | | | | |
| | | | | | Total Argentina | | | 88,059 | |
| | | | | | | | | | |
|
| | Australia — 1.6% | |
| | 800,000 | AUD | | | | Australia Government Bonds, 3.000% due 3/21/47 | | | 736,967 | |
| | 500,000 | AUD | | | | New South Wales Treasury Corp., 2.000% due 3/20/31 | | | 387,805 | |
| | 300,000 | AUD | | | | Northern Territory Treasury Corp., 2.000% due 4/21/31 | | | 223,938 | |
| | | | | | Queensland Treasury Corp.: | | | | |
| | 400,000 | AUD | | | | 3.500% due 8/21/30(c) | | | 353,373 | |
| | 200,000 | AUD | | | | 1.750% due 8/21/31(c) | | | 150,758 | |
| | | | | | Treasury Corp. of Victoria: | | | | |
| | 100,000 | AUD | | | | 2.500% due 10/22/29 | | | 81,759 | |
| | 150,000 | AUD | | | | 4.250% due 12/20/32 | | | 143,706 | |
| | 100,000 | AUD | | | | Western Australian Treasury Corp., 2.750% due 7/24/29 | | | 83,420 | |
| | | | | | | | | | |
| | | | | | Total Australia | | | 2,161,726 | |
| | | | | | | | | | |
|
| | Canada — 1.8% | |
| | 3,100,000 | CAD | | | | Province of Ontario Canada, 3.150% due 6/2/22 | | | 2,493,382 | |
| | | | | | | | | | |
|
| | China — 2.3% | |
| | 20,200,000 | CNY | | | | China Development Bank, 4.240% due 8/24/27 | | | 3,090,663 | |
| | | | | | | | | | |
|
| | Finland — 0.6% | |
| | 600,000 | EUR | | | | Finland Government Bonds, 0.875% due 9/15/25(c) | | | 768,027 | |
| | | | | | | | | | |
|
| | France — 5.5% | |
| | | | | | French Republic Government Bonds OAT: | | | | |
| | 900,000 | EUR | | | | 3.250% due 5/25/45 | | | 1,774,862 | |
| | 3,000,000 | EUR | | | | 2.000% due 5/25/48(c) | | | 4,945,928 | |
| | 600,000 | EUR | | | | 0.750% due 5/25/52(c) | | | 743,083 | |
| | | | | | | | | | |
| | | | | | Total France | | | 7,463,873 | |
| | | | | | | | | | |
|
| | Israel — 0.3% | |
| $ | 200,000 | | | | | Israel Government International Bonds, 3.250% due 1/17/28 | | | 228,433 | |
| | 200,000 | | | | | State of Israel, 3.800% due 5/13/60 | | | 237,672 | |
| | | | | | | | | | |
| | | | | | Total Israel | | | 466,105 | |
| | | | | | | | | | |
|
| | Italy — 4.6% | |
| | | | | | Italy Buoni Poliennali Del Tesoro: | | | | |
| | 900,000 | EUR | | | | 0.350% due 2/1/25 | | | 1,071,342 | |
| | 1,700,000 | EUR | | | | 1.850% due 7/1/25(c) | | | 2,158,857 | |
| | 1,800,000 | EUR | | | | 2.450% due 9/1/50(c) | | | 2,340,439 | |
| | 400,000 | GBP | | | | Republic of Italy Government International Bonds, 6.000% due 8/4/28 | | | 674,236 | |
| | | | | | | | | | |
| | | | | | Total Italy | | | 6,244,874 | |
| | | | | | | | | | |
|
| | Japan — 15.6% | |
| | | | | | Development Bank of Japan Inc.: | | | | |
| | 200,000 | | | | | 2.000% due 10/19/21 | | | 203,558 | |
| | 1,200,000 | | | | | 2.500% due 10/18/22 | | | 1,251,120 | |
See Notes to Financial Statements.
243
| | | | | | | | | | |
| International Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | | | Security | | Value | |
|
| | Japan — 15.6% — (continued) | |
| | | | | | Japan Bank for International Cooperation: | | | | |
| $ | 200,000 | | | | | 2.375% due 7/21/22 | | $ | 207,539 | |
| | 200,000 | | | | | 3.250% due 7/20/23 | | | 216,422 | |
| | 200,000 | | | | | 3.375% due 10/31/23 | | | 218,417 | |
| | | | | | Japan Finance Organization for Municipalities: | | | | |
| | 500,000 | | | | | 2.125% due 4/13/21(c) | | | 505,097 | |
| | 200,000 | | | | | 2.625% due 4/20/22(c) | | | 207,018 | |
| | | | | | Japan Government Thirty Year Bonds: | | | | |
| | 210,000,000 | JPY | | | | 1.700% due 9/20/44 | | | 2,517,824 | |
| | 310,000,000 | JPY | | | | 1.400% due 9/20/45 | | | 3,527,546 | |
| | 152,000,000 | JPY | | | | 0.500% due 9/20/46 | | | 1,419,631 | |
| | 168,000,000 | JPY | | | | 0.700% due 12/20/48 | | | 1,635,884 | |
| | 170,000,000 | JPY | | | | 0.500% due 3/20/49 | | | 1,568,551 | |
| | | | | | Japan Government Twenty Year Bonds: | | | | |
| | 150,000,000 | JPY | | | | 1.300% due 6/20/35 | | | 1,624,446 | |
| | 181,000,000 | JPY | | | | 1.200% due 9/20/35 | | | 1,936,494 | |
| | 190,000,000 | JPY | | | | 1.000% due 12/20/35 | | | 1,980,175 | |
| | 60,000,000 | JPY | | | | 0.400% due 3/20/36 | | | 573,985 | |
| | 110,983,400 | JPY | | | | Japanese Government CPI Linked Bonds, 0.100% due 3/10/28 | | | 1,053,203 | |
| | 400,000 | | | | | Tokyo Metropolitan Government, 2.000% due 5/17/21(c) | | | 403,987 | |
| | | | | | | | | | |
| | | | | | Total Japan | | | 21,050,897 | |
| | | | | | | | | | |
|
| | Kuwait — 0.8% | |
| | 900,000 | | | | | Kuwait International Government Bonds, 3.500% due 3/20/27 | | | 1,020,375 | |
| | | | | | | | | | |
|
| | Lithuania — 0.5% | |
| | 500,000 | EUR | | | | Lithuania Government Bonds, 0.100% due 4/1/23 | | | 599,719 | |
| | 100,000 | | | | | Lithuania Government International Bonds, 6.125% due 3/9/21 | | | 102,989 | |
| | | | | | | | | | |
| | | | | | Total Lithuania | | | 702,708 | |
| | | | | | | | | | |
|
| | Malaysia — 0.7% | |
| | | | | | Malaysia Government Bonds: | | | | |
| | 1,100,000 | MYR | | | | 3.906% due 7/15/26 | | | 288,879 | |
| | 700,000 | MYR | | | | 3.502% due 5/31/27 | | | 180,381 | |
| | | | | | Malaysia Government Investment Issues: | | | | |
| | 500,000 | MYR | | | | 3.655% due 10/15/24 | | | 127,601 | |
| | 600,000 | MYR | | | | 4.369% due 10/31/28 | | | 163,199 | |
| | 700,000 | MYR | | | | 4.130% due 7/9/29 | | | 187,123 | |
| | | | | | | | | | |
| | | | | | Total Malaysia | | | 947,183 | |
| | | | | | | | | | |
|
| | New Zealand — 0.1% | |
| | 100,000 | NZD | | | | New Zealand Government Bonds, 1.750% due 5/15/41 | | | 72,664 | |
| | | | | | | | | | |
|
| | Peru — 1.2% | |
| | | | | | Peruvian Government International Bonds: | | | | |
| | 1,300,000 | PEN | | | | 6.350% due 8/12/28 | | | 449,000 | |
| | 1,300,000 | PEN | | | | 6.350% due 8/12/28(c) | | | 449,000 | |
| | 700,000 | PEN | | | | 5.940% due 2/12/29 | | | 235,329 | |
| | 400,000 | PEN | | | | 5.940% due 2/12/29(c) | | | 134,749 | |
| | 700,000 | PEN | | | | 6.950% due 8/12/31(c) | | | 249,011 | |
| | 200,000 | PEN | | | | 5.350% due 8/12/40(c) | | | 57,666 | |
| | | | | | | | | | |
| | | | | | Total Peru | | | 1,574,755 | |
| | | | | | | | | | |
|
| | Poland — 0.6% | |
| | 2,700,000 | PLN | | | | Republic of Poland Government Bonds, 3.250% due 7/25/25 | | | 821,973 | |
| | | | | | | | | | |
See Notes to Financial Statements.
244
| | | | | | | | | | |
| International Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | | | Security | | Value | |
|
| | Qatar — 1.4% | |
| | | | | | Qatar Government International Bonds: | | | | |
| $ | 1,000,000 | | | | | 3.875% due 4/23/23 | | $ | 1,077,817 | |
| | 500,000 | | | | | 4.500% due 4/23/28 | | | 600,975 | |
| | 200,000 | | | | | 4.400% due 4/16/50(c) | | | 260,112 | |
| | | | | | | | | | |
| | | | | | Total Qatar | | | 1,938,904 | |
| | | | | | | | | | |
|
| | Saudi Arabia — 0.9% | |
| | 1,200,000 | | | | | Saudi Government International Bonds, 2.375% due 10/26/21 | | | 1,223,376 | |
| | | | | | | | | | |
|
| | Slovenia — 0.2% | |
| | 250,000 | | | | | Slovenia Government International Bonds, 5.250% due 2/18/24 | | | 288,707 | |
| | | | | | | | | | |
|
| | Spain — 8.1% | |
| | | | | | Autonomous Community of Catalonia: | | | | |
| | 100,000 | EUR | | | | 4.900% due 9/15/21 | | | 125,382 | |
| | 100,000 | EUR | | | | 4.220% due 4/26/35(b) | | | 150,980 | |
| | | | | | Spain Government Bonds: | | | | |
| | 300,000 | EUR | | | | 0.250% due 7/30/24(c) | | | 365,648 | |
| | 2,000,000 | EUR | | | | 1.450% due 10/31/27(c) | | | 2,619,112 | |
| | 1,500,000 | EUR | | | | 1.400% due 7/30/28(c) | | | 1,964,868 | |
| | 1,000,000 | EUR | | | | 1.450% due 4/30/29(c) | | | 1,316,060 | |
| | 400,000 | EUR | | | | 0.500% due 4/30/30(c) | | | 484,805 | |
| | 1,600,000 | EUR | | | | 1.250% due 10/31/30(c) | | | 2,070,018 | |
| | 400,000 | EUR | | | | 1.850% due 7/30/35(c) | | | 553,216 | |
| | 1,100,000 | EUR | | | | 1.000% due 10/31/50(c) | | | 1,237,023 | |
| | | | | | | | | | |
| | | | | | Total Spain | | | 10,887,112 | |
| | | | | | | | | | |
|
| | United Arab Emirates — 0.5% | |
| | | | | | Abu Dhabi Government International Bonds: | | | | |
| | 200,000 | | | | | 3.125% due 10/11/27(c) | | | 222,999 | |
| | 200,000 | | | | | 3.125% due 4/16/30(c) | | | 224,793 | |
| | 200,000 | | | | | 3.875% due 4/16/50(c) | | | 244,421 | |
| | | | | | | | | | |
| | | | | | Total United Arab Emirates | | | 692,213 | |
| | | | | | | | | | |
|
| | United Kingdom — 3.7% | |
| | | | | | United Kingdom Gilt: | | | | |
| | 1,400,000 | GBP | | | | 3.250% due 1/22/44 | | | 2,810,722 | |
| | 700,000 | GBP | | | | 3.500% due 1/22/45(d) | | | 1,473,318 | |
| | 300,000 | GBP | | | | 1.750% due 1/22/49(d) | | | 488,087 | |
| | 200,000 | GBP | | | | 0.625% due 10/22/50(d) | | | 248,151 | |
| | | | | | | | | | |
| | | | | | Total United Kingdom | | | 5,020,278 | |
| | | | | | | | | | |
| | | | | | TOTAL SOVEREIGN BONDS
(Cost — $62,192,310) | | | 69,017,854 | |
| | | | | | | | | | |
|
| | MORTGAGE-BACKED SECURITIES — 50.1% | |
|
| | FNMA — 48.9% | |
| | | | | | Federal National Mortgage Association (FNMA): | | | | |
| | 340,838 | | | | | 3.500% due 10/1/34 — 2/1/50(d) | | | 366,666 | |
| | 16,300,000 | | | | | 3.500% due 10/1/50 | | | 17,208,597 | |
| | 28,223 | | | | | 3.773% (1-Year CMT Index + 2.360%) due 11/1/34(a) | | | 29,849 | |
| | 22,252 | | | | | 6.500% due 8/1/37 | | | 23,280 | |
| | 387,261 | | | | | 3.000% due 10/1/49(d) | | | 417,843 | |
| | 470,186 | | | | | 4.000% due 5/1/50(d) | | | 500,977 | |
| | 22,000,000 | | | | | 4.000% due 10/1/50 | | | 23,472,969 | |
| | 5,300,000 | | | | | 2.000% due 10/1/50 — 11/1/50(e) | | | 5,444,138 | |
| | 17,800,000 | | | | | 2.500% due 11/1/50(e) | | | 18,662,639 | |
| | | | | | | | | | |
| | | | | | Total FNMA | | | 66,126,958 | |
| | | | | | | | | | |
See Notes to Financial Statements.
245
| | | | | | | | | | |
| International Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | | | Security | | Value | |
|
| | GNMA — 1.2% | |
| | | | | | Government National Mortgage Association II (GNMA): | | | | |
| $ | 1,500,000 | | | | | 2.000% due 10/1/50(e) | | $ | 1,550,859 | |
| | 1,638 | | | | | 6.000% due 9/20/38 | | | 1,787 | |
| | | | | | | | | | |
| | | | | | Total GNMA | | | 1,552,646 | |
| | | | | | | | | | |
| | | | | | TOTAL MORTGAGE-BACKED SECURITIES
(Cost — $67,104,038) | | | 67,679,604 | |
| | | | | | | | | | |
|
| | CORPORATE BONDS & NOTES — 24.6% | |
|
| | Argentina — 0.0% | |
| | 1,390,000 | ARS | | | | YPF SA, Senior Unsecured Notes, 35.724% (Argentina Deposit Rates Badlar Private Banks ARS 30 to 35 Days Index + 6.000%) due 3/4/21(a)(b) | | | 20,474 | |
| | | | | | | | | | |
|
| | Canada — 0.6% | |
| | 100,000 | EUR | | | | Fairfax Financial Holdings Ltd., Senior Unsecured Notes, 2.750% due 3/29/28(c) | | | 123,621 | |
| | 300,000 | | | | | HSBC Bank Canada, Covered Notes, 3.300% due 11/28/21(c) | | | 310,878 | |
| | 400,000 | | | | | Toronto-Dominion Bank (The), Covered Notes, 2.100% due 7/15/22(c) | | | 412,823 | |
| | | | | | | | | | |
| | | | | | Total Canada | | | 847,322 | |
| | | | | | | | | | |
|
| | Cayman Islands — 1.6% | |
| | 300,000 | | | | | CK Hutchison International 17 Ltd., Company Guaranteed Notes, 2.875% due 4/5/22(c) | | | 308,661 | |
| | | | | | KSA Sukuk Ltd., Senior Unsecured Notes: | | | | |
| | 200,000 | | | | | 2.894% due 4/20/22(c) | | | 206,503 | |
| | 500,000 | | | | | 4.303% due 1/19/29(c) | | | 582,872 | |
| | 200,000 | | | | | Sands China Ltd., Senior Unsecured Notes, 5.400% due 8/8/28 | | | 227,312 | |
| | 200,000 | | | | | Sunac China Holdings Ltd., Senior Secured Notes, 7.875% due 2/15/22 | | | 206,499 | |
| | 689,485 | | | | | US Capital Funding II Ltd./US Capital Funding II Corp., Asset Backed, 1.001% (3-Month USD-LIBOR + 0.750%) due 8/1/34(a)(c) | | | 641,221 | |
| | | | | | | | | | |
| | | | | | Total Cayman Islands | | | 2,173,068 | |
| | | | | | | | | | |
|
| | Denmark — 4.6% | |
| | | | | | Jyske Realkredit AS, Covered Notes: | | | | |
| | 1 | DKK | | | | 1.500% due 10/1/37 | | | — | |
| | 1 | DKK | | | | 2.000% due 10/1/47 | | | — | |
| | 2 | DKK | | | | 3.000% due 10/1/47 | | | 1 | |
| | 6,792,565 | DKK | | | | 1.000% due 10/1/50 | | | 1,084,219 | |
| | 1 | DKK | | | | 1.500% due 10/1/50 | | | — | |
| | | | | | Nordea Kredit Realkreditaktieselskab, Covered Notes: | | | | |
| | 2 | DKK | | | | 1.500% due 10/1/37 | | | 1 | |
| | 1 | DKK | | | | 2.500% due 10/1/37 | | | — | |
| | 1 | DKK | | | | 2.500% due 10/1/47 | | | — | |
| | 9,493,355 | DKK | | | | 1.000% due 10/1/50 | | | 1,513,207 | |
| | 319,394 | DKK | | | | 1.500% due 10/1/50 | | | 52,243 | |
| | 1 | DKK | | | | 2.000% due 10/1/50 | | | — | |
| | | | | | Nykredit Realkredit AS, Covered Notes: | | | | |
| | 1 | DKK | | | | 2.500% due 10/1/36 | | | — | |
| | 1 | DKK | | | | 2.000% due 7/1/37 | | | — | |
| | 1 | DKK | | | | 1.500% due 10/1/37 | | | — | |
| | 1 | DKK | | | | 2.000% due 10/1/47 | | | — | |
| | 1 | DKK | | | | 2.500% due 10/1/47 | | | — | |
| | 14,472,054 | DKK | | | | 1.000% due 10/1/50 | | | 2,300,033 | |
| | 3,923,644 | DKK | | | | 1.500% due 10/1/50 | | | 642,607 | |
| | 3,800,000 | DKK | | | | 1.000% due 10/1/53 | | | 603,800 | |
| | | | | | Realkredit Danmark AS, Covered Notes: | | | | |
| | 2 | DKK | | | | 2.500% due 4/1/36 | | | — | |
| | 2 | DKK | | | | 2.500% due 4/1/47 | | | 1 | |
| | | | | | | | | | |
| | | | | | Total Denmark | | | 6,196,112 | |
| | | | | | | | | | |
See Notes to Financial Statements.
246
| | | | | | | | | | |
| International Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | | | Security | | Value | |
|
| | France — 0.3% | |
| | 100,000 | GBP | | | | BNP Paribas SA, Senior Unsecured Notes, 3.375% due 1/23/26 | | $ | 148,352 | |
| $ | 250,000 | | | | | Credit Agricole SA, Senior Unsecured Notes, 3.750% due 4/24/23(c) | | | 270,100 | |
| | | | | | | | | | |
| | | | | | Total France | | | 418,452 | |
| | | | | | | | | | |
|
| | Germany — 2.1% | |
| | | | | | Deutsche Bank AG, Senior Unsecured Notes: | | | | |
| | 400,000 | | | | | 1.073% (3-Month USD-LIBOR + 0.815%) due 1/22/21(a) | | | 399,762 | |
| | 100,000 | | | | | 3.150% due 1/22/21 | | | 100,817 | |
| | 800,000 | | | | | 4.250% due 10/14/21 | | | 827,713 | |
| | 350,000 | | | | | 3.961% (SOFR + 2.581%) due 11/26/25(a) | | | 376,525 | |
| | 300,000 | EUR | | | | 2.625% due 2/12/26 | | | 380,084 | |
| | 300,000 | | | | | IHO Verwaltungs GmbH, Senior Secured Notes, 6.000% (6.000% cash or 6.750 PIK) due 5/15/27(c)(f) | | | 315,880 | |
| | 400,000 | EUR | | | | Volkswagen Leasing GmbH, Company Guaranteed Notes, 0.021% (0.450% - 3-Month EURIBOR) due 7/6/21(g) | | | 476,726 | |
| | | | | | | | | | |
| | | | | | Total Germany | | | 2,877,507 | |
| | | | | | | | | | |
|
| | Ireland — 0.2% | |
| | 200,000 | | | | | SMBC Aviation Capital Finance DAC, Company Guaranteed Notes, 3.000% due 7/15/22(c) | | | 204,166 | |
| | | | | | | | | | |
|
| | Italy — 0.9% | |
| | | | | | Banca Carige SpA, Covered Notes: | | | | |
| | 400,000 | EUR | | | | 1.247% (1.700% - 3-Month EURIBOR) due 10/25/21(g) | | | 480,706 | |
| | 400,000 | EUR | | | | 1.013% (1.500% - 3-Month EURIBOR) due 5/25/22(g) | | | 480,686 | |
| | 200,000 | EUR | | | | UniCredit SpA, Junior Subordinated Notes, 9.250% (9.300% - 5-Year EUR Swap Rate)(g)(h) | | | 262,193 | |
| | | | | | | | | | |
| | | | | | Total Italy | | | 1,223,585 | |
| | | | | | | | | | |
|
| | Japan — 0.1% | |
| | 200,000 | | | | | Central Nippon Expressway Co., Ltd., Senior Unsecured Notes, 2.091% due 9/14/21 | | | 202,585 | |
| | | | | | | | | | |
|
| | Jersey Channel Islands — 0.1% | |
| | 100,000 | GBP | | | | Kennedy Wilson Europe Real Estate Ltd., Senior Unsecured Notes, 3.950% due 6/30/22 | | | 131,331 | |
| | | | | | | | | | |
|
| | Luxembourg — 0.1% | |
| | 200,000 | | | | | NORD/LB Luxembourg SA Covered Bonds Bank, Covered Notes, 2.875% due 2/16/21 | | | 202,151 | |
| | | | | | | | | | |
|
| | Netherlands — 1.2% | |
| | 400,000 | | | | | BMW Finance NV, Company Guaranteed Notes, 2.250% due 8/12/22(c) | | | 412,542 | |
| | 200,000 | EUR | | | | Cooperatieve Rabobank UA, Junior Subordinated Notes, 6.625% (6.697% - 5-Year EUR Swap Rate)(g)(h) | | | 248,495 | |
| | 300,000 | EUR | | | | ING Bank NV, Senior Unsecured Notes, 0.375% due 11/26/21 | | | 360,698 | |
| | | | | | Petrobras Global Finance BV, Company Guaranteed Notes: | | | | |
| | 170,000 | | | | | 6.125% due 1/17/22 | | | 179,948 | |
| | 278,000 | | | | | 5.093% due 1/15/30(c) | | | 290,163 | |
| | 50,000 | EUR | | | | Stichting AK Rabobank Certificaten, Junior Subordinated Notes, 6.500%(h) | | | 69,624 | |
| | | | | | | | | | |
| | | | | | Total Netherlands | | | 1,561,470 | |
| | | | | | | | | | |
|
| | Portugal — 0.1% | |
| | | | | | Banco Espirito Santo SA, Senior Unsecured Notes: | | | | |
| | 200,000 | EUR | | | | 4.750% due 1/15/18(b)(i) | | | 36,996 | |
| | 200,000 | EUR | | | | 4.000% due 1/21/19(b)(i) | | | 36,995 | |
| | | | | | | | | | |
| | | | | | Total Portugal | | | 73,991 | |
| | | | | | | | | | |
|
| | Singapore — 0.2% | |
| | 200,000 | | | | | BOC Aviation Ltd., Senior Unsecured Notes, 2.750% due 9/18/22(c) | | | 204,596 | |
| | 100,000 | | | | | DBS Bank Ltd., Covered Notes, 3.300% due 11/27/21(c) | | | 103,527 | |
| | | | | | | | | | |
| | | | | | Total Singapore | | | 308,123 | |
| | | | | | | | | | |
See Notes to Financial Statements.
247
| | | | | | | | | | |
| International Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | | | Security | | Value | |
|
| | Supranational — 0.7% | |
| | | | | | European Investment Bank, Senior Unsecured Notes: | | | | |
| | 500,000 | AUD | | | | 0.500% due 6/21/23 | | $ | 367,644 | |
| | 800,000 | AUD | | | | 0.500% due 8/10/23 | | | 589,480 | |
| | | | | | | | | | |
| | | | | | Total Supranational | | | 957,124 | |
| | | | | | | | | | |
|
| | Switzerland — 1.5% | |
| | | | | | Credit Suisse Group AG, Senior Unsecured Notes: | | | | |
| $ | 300,000 | | | | | 2.997% (3-Month USD-LIBOR + 1.200%) due 12/14/23(a)(c) | | | 313,641 | |
| | 250,000 | | | | | 4.282% due 1/9/28(c) | | | 284,885 | |
| | 250,000 | | | | | 3.869% (3-Month USD-LIBOR + 1.410%) due 1/12/29(a)(c) | | | 281,315 | |
| | | | | | UBS AG, Subordinated Notes: | | | | |
| | 250,000 | | | | | 7.625% due 8/17/22 | | | 280,479 | |
| | 400,000 | | | | | 5.125% due 5/15/24 | | | 442,274 | |
| | 400,000 | | | | | UBS Group AG, Senior Unsecured Notes, 1.230% (3-Month USD-LIBOR + 0.950%) due 8/15/23(a)(c) | | | 402,528 | |
| | | | | | | | | | |
| | | | | | Total Switzerland | | | 2,005,122 | |
| | | | | | | | | | |
|
| | United Kingdom — 5.8% | |
| | 400,000 | | | | | Barclays Bank PLC, Subordinated Notes, 7.625% due 11/21/22 | | | 444,920 | |
| | | | | | Barclays PLC: | | | | |
| | 600,000 | GBP | | | | Junior Subordinated Notes, 7.125% (5-Year UK Government Note Generic Bid Yield + 6.579%)(a)(h) | | | 863,019 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 600,000 | | | | | 2.353% (3-Month USD-LIBOR + 2.110%) due 8/10/21(a) | | | 610,237 | |
| | 200,000 | | | | | 4.610% (3-Month USD-LIBOR + 1.400%) due 2/15/23(a) | | | 210,330 | |
| | 100,000 | | | | | British Telecommunications PLC, Senior Unsecured Notes, 9.625% due 12/15/30 | | | 163,112 | |
| | 100,000 | EUR | | | | FCE Bank PLC, Senior Unsecured Notes, 1.660% due 2/11/21 | | | 118,875 | |
| | | | | | HSBC Holdings PLC: | | | | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 300,000 | | | | | 1.270% (3-Month USD-LIBOR + 1.000%) due 5/18/24(a) | | | 300,911 | |
| | 200,000 | | | | | 3.803% (3-Month USD-LIBOR + 1.211%) due 3/11/25(a) | | | 216,923 | |
| | 100,000 | GBP | | | | Subordinated Notes, 6.750% due 9/11/28 | | | 175,355 | |
| | | | | | Lloyds Banking Group PLC: | | | | |
| | 200,000 | GBP | | | | Junior Subordinated Notes, 5.125% (5-Year UK Government Note Generic Bid Yield + 4.607%)(a)(h) | | | 263,006 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 300,000 | | | | | 4.050% due 8/16/23 | | | 328,826 | |
| | 200,000 | | | | | 3.900% due 3/12/24 | | | 220,067 | |
| | 300,000 | | | | | Subordinated Notes, 4.582% due 12/10/25 | | | 338,200 | |
| | 200,000 | GBP | | | | Marks & Spencer PLC, Senior Unsecured Notes, 3.000% due 12/8/23 | | | 272,132 | |
| | 200,000 | | | | | Nationwide Building Society, Senior Unsecured Notes, 3.766% (3-Month USD-LIBOR + 1.064%) due 3/8/24(a)(c) | | | 213,333 | |
| | | | | | Natwest Group PLC: | | | | |
| | | | | | Junior Subordinated Notes: | | | | |
| | 200,000 | | | | | 6.000% (5-Year CMT Index + 5.625%)(a)(h) | | | 211,194 | |
| | 200,000 | | | | | 8.000% (5-Year USD Swap Rate + 5.720%)(a)(h) | | | 228,478 | |
| | 200,000 | | | | | 8.625% (5-Year USD Swap Rate + 7.598%)(a)(h) | | | 210,678 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 800,000 | | | | | 1.847% (3-Month USD-LIBOR + 1.550%) due 6/25/24(a) | | | 807,388 | |
| | 200,000 | | | | | 4.519% (3-Month USD-LIBOR + 1.550%) due 6/25/24(a) | | | 218,333 | |
| | 100,000 | GBP | | | | RAC Bonds Co. PLC, Senior Secured Notes, 4.870% due 5/6/26 | | | 135,032 | |
| | | | | | Santander UK Group Holdings PLC, Senior Unsecured Notes: | | | | |
| | 400,000 | | | | | 4.796% (3-Month USD-LIBOR + 1.570%) due 11/15/24(a) | | | 445,711 | |
| | 600,000 | | | | | 3.823% (3-Month USD-LIBOR + 1.400%) due 11/3/28(a) | | | 669,726 | |
| | 97,185 | GBP | | | | Tesco Property Finance 4 PLC, Senior Secured Notes, 5.801% due 10/13/40 | | | 174,997 | |
| | | | | | | | | | |
| | | | | | Total United Kingdom | | | 7,840,783 | |
| | | | | | | | | | |
See Notes to Financial Statements.
248
| | | | | | | | | | |
| International Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | | | Security | | Value | |
|
| | United States — 4.5% | |
| $ | 100,000 | | | | | AbbVie Inc., Senior Unsecured Notes, 3.450% due 3/15/22(c) | | $ | 104,041 | |
| | | | | | AT&T Inc.: | | | | |
| | 200,000 | EUR | | | | Junior Subordinated Notes, 2.875% (3.140%—5-Year EURIBOR ICE Swap Rate)(g)(h) | | | 234,391 | |
| | 300,000 | EUR | | | | Senior Unsecured Notes, 1.800% due 9/5/26 | | | 384,893 | |
| | 400,000 | | | | | Aviation Capital Group LLC, Senior Unsecured Notes, 1.196% (3-Month USD-LIBOR + 0.950%) due 6/1/21(a)(c) | | | 389,733 | |
| | 200,000 | | | | | Bank of America Corp., Junior Subordinated Notes, 5.875% (3-Month USD-LIBOR + 2.931%)(a)(h) | | | 220,043 | |
| | 58,000 | | | | | Campbell Soup Co., Senior Unsecured Notes, 3.650% due 3/15/23 | | | 62,106 | |
| | 700,000 | | | | | Charter Communications Operating LLC/Charter Communications Operating Capital, Senior Secured Notes, 4.464% due 7/23/22 | | | 746,212 | |
| | 300,000 | | | | | Daimler Finance North America LLC, Company Guaranteed Notes, 0.687% (3-Month USD-LIBOR + 0.430%) due 2/12/21(a)(c) | | | 299,877 | |
| | 180,000 | | | | | Dell International LLC/EMC Corp., Senior Secured Notes, 4.420% due 6/15/21(c) | | | 184,673 | |
| | 200,000 | | | | | Dominion Energy Gas Holdings LLC, Senior Unsecured Notes, 0.913% (3-Month USD-LIBOR + 0.600%) due 6/15/21(a) | | | 200,837 | |
| | 400,000 | | | | | Duke Energy Corp., Senior Unsecured Notes, 0.965% (3-Month USD-LIBOR + 0.650%) due 3/11/22(a) | | | 402,829 | |
| | 200,000 | | | | | Emera US Finance LP, Company Guaranteed Notes, 2.700% due 6/15/21 | | | 203,187 | |
| | 200,000 | | | | | EPR Properties, Company Guaranteed Notes, 4.500% due 6/1/27 | | | 187,834 | |
| | 100,000 | | | | | Equifax Inc., Senior Unsecured Notes, 3.600% due 8/15/21 | | | 102,959 | |
| | | | | | Fidelity National Information Services Inc.: | | | | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 100,000 | EUR | | | | 0.400% due 1/15/21 | | | 119,418 | |
| | 100,000 | GBP | | | | 1.700% due 6/30/22 | | | 136,260 | |
| | 100,000 | EUR | | | | Company Guaranteed Notes, 0.750% due 5/21/23 | | | 121,624 | |
| | 100,000 | | | | | General Motors Financial Co., Inc., Company Guaranteed Notes, 1.118% (3-Month USD-LIBOR + 0.850%) due 4/9/21(a) | | | 99,986 | |
| | 1,300,000 | | | | | Lehman Brothers Holdings Inc., Senior Unsecured Notes, zero coupon, due 12/28/17(b)(i) | | | 16,412 | |
| | 100,000 | | | | | Pacific Gas & Electric Co., 1st Mortgage Notes, 3.450% due 7/1/25 | | | 104,956 | |
| | 300,000 | | | | | Progress Energy Inc., Senior Unsecured Notes, 4.400% due 1/15/21 | | | 301,527 | |
| | 100,000 | | | | | Santander Holdings USA Inc., Senior Unsecured Notes, 3.400% due 1/18/23 | | | 104,900 | |
| | | | | | Volkswagen Group of America Finance LLC, Company Guaranteed Notes: | | | | |
| | 300,000 | | | | | 1.024% (3-Month USD-LIBOR + 0.770%) due 11/13/20(a)(c) | | | 300,389 | |
| | 200,000 | | | | | 3.875% due 11/13/20(c) | | | 201,336 | |
| | 300,000 | | | | | 1.197% (3-Month USD-LIBOR + 0.940%) due 11/12/21(a)(c) | | | 300,212 | |
| | 200,000 | | | | | 4.000% due 11/12/21(c) | | | 208,163 | |
| | 300,000 | | | | | Zimmer Biomet Holdings Inc., Senior Unsecured Notes, 3.150% due 4/1/22 | | | 310,881 | |
| | | | | | | | | | |
| | | | | | Total United States | | | 6,049,679 | |
| | | | | | | | | | |
| | | | | | TOTAL CORPORATE BONDS & NOTES
(Cost — $31,837,338) | | | 33,293,045 | |
| | | | | | | | | | |
|
| | COLLATERALIZED MORTGAGE OBLIGATIONS — 18.1% | |
| | 400,000 | | | | | ACE Securities Corp. Home Equity Loan Trust, Series 2005-HE5, Class M4, 1.075% (1-Month USD-LIBOR + 0.900%) due 8/25/35(a) | | | 389,626 | |
| | 235,095 | EUR | | | | Adagio IV CLO Ltd., Series IV-A, Class A2R, 1.100% due 10/15/29(c) | | | 280,271 | |
| | 353,904 | GBP | | | | ALBA PLC, Series 2007-1, Class A3, 0.342% (3-Month GBP-LIBOR + 0.170%) due 3/17/39(a) | | | 447,045 | |
| | 568,852 | | | | | Argent Mortgage Loan Trust, Series 2005-W1, Class A1, 0.655% (1-Month USD-LIBOR + 0.480%) due 5/25/35(a) | | | 516,654 | |
| | 16,095 | | | | | Banc of America Funding Trust, Series 2006-A, Class 1A1, 4.164% due 2/20/36(a) | | | 15,578 | |
| | 224,090 | | | | | Bayview Financial Asset Trust, Series 2007-SR1A, Class A, 2.927% (1-Month USD-LIBOR + 0.450%) due 3/25/37(a)(c) | | | 210,473 | |
See Notes to Financial Statements.
249
| | | | | | | | | | |
| International Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | | | Security | | Value | |
|
| | COLLATERALIZED MORTGAGE OBLIGATIONS — 18.1% — (continued) | |
| | | | | | Bear Stearns Adjustable Rate Mortgage Trust: | | | | |
| $ | 3,388 | | | | | Series 2003-5, Class 1A2, 3.170% due 8/25/33(a) | | $ | 3,382 | |
| | 5,142 | | | | | Series 2003-7, Class 6A, 3.750% due 10/25/33(a) | | | 5,116 | |
| | 15,513 | | | | | Series 2004-2, Class 22A, 3.800% due 5/25/34(a) | | | 14,744 | |
| | 5,497 | | | | | Series 2004-2, Class 23A, 3.117% due 5/25/34(a) | | | 4,853 | |
| | 63,775 | | | | | Bear Stearns Structured Products Inc. Trust, Series 2007-R6, Class 1A1, 3.257% due 1/26/36(a) | | | 56,253 | |
| | 203,678 | EUR | | | | Black Diamond CLO Designated Activity Co., Series 2015-1A, Class A1R, 0.650% (3-Month EURIBOR + 0.650%) due 10/3/29(a)(c) | | | 243,011 | |
| | 250,000 | EUR | | | | Cairn CLO VII BV, Series 2016-7A, Class A1R, 0.670% (3-Month EURIBOR + 0.670%) due 1/31/30(a)(c) | | | 297,251 | |
| | 381,129 | | | | | California Street CLO XII Ltd., Series 2013-12A, Class AR, 1.305% (3-Month USD-LIBOR + 1.030%) due 10/15/25(a)(c) | | | 380,622 | |
| | | | | | Countrywide Alternative Loan Trust: | | | | |
| | 6,005 | | | | | Series 2005-21CB, Class A3, 5.250% due 6/25/35 | | | 5,652 | |
| | 23,011 | | | | | Series 2007-16CB, Class 5A1, 6.250% due 8/25/37 | | | 18,100 | |
| | 43,255 | | | | | Series 2007-11T1, Class A12, 0.525% (1-Month USD-LIBOR + 0.350%) due 5/25/37(a) | | | 14,722 | |
| | 31,050 | | | | | Series 2007-7T2, Class A9, 6.000% due 4/25/37 | | | 19,948 | |
| | | | | | Countrywide Asset-Backed Certificates: | | | | |
| | 130,331 | | | | | Series 2006-18, Class 2A2, 0.335% (1-Month USD-LIBOR + 0.160%) due 3/25/37(a) | | | 129,375 | |
| | 400,000 | | | | | Series 2007-9, Class 2A4, 0.425% (1-Month USD-LIBOR + 0.250%) due 2/25/36(a) | | | 366,555 | |
| | 79,235 | | | | | Series 2007-12, Class 1A1, 0.915% (1-Month USD-LIBOR + 0.740%) due 8/25/47(a) | | | 76,894 | |
| | 632,332 | | | | | Series 2007-13, Class 1A, 1.015% (1-Month USD-LIBOR + 0.840%) due 10/25/47(a) | | | 618,908 | |
| | 280,482 | | | | | Series 2007-SEA2, Class 1A1, 1.175% (1-Month USD-LIBOR + 1.000%) due 8/25/47(a)(c) | | | 278,160 | |
| | | | | | Countrywide Home Loan Mortgage Pass-Through Trust: | | | | |
| | 1,840 | | | | | Series 2004-12, Class 11A1, 3.019% due 8/25/34(a) | | | 1,788 | |
| | 65,430 | | | | | Series 2005-2, Class 1A1, 0.815% (1-Month USD-LIBOR + 0.640%) due 3/25/35(a) | | | 56,913 | |
| | 5,867 | | | | | Series 2005-3, Class 2A1, 0.755% (1-Month USD-LIBOR + 0.580%) due 4/25/35(a) | | | 5,432 | |
| | 67,686 | | | | | Series 2005-9, Class 1A3, 0.635% (1-Month USD-LIBOR + 0.460%) due 5/25/35(a) | | | 59,184 | |
| | 20,478 | | | | | Series 2005-11, Class 3A1, 2.640% due 4/25/35(a) | | | 17,822 | |
| | 19,037 | | | | | Series 2005-HYB9, Class 3A2A, 3.711% (1-Year USD-LIBOR + 1.750%) due 2/20/36(a) | | | 16,616 | |
| | 666,768 | | | | | Series 2007-4, Class 1A47, 6.000% due 5/25/37 | | | 484,459 | |
| | 108,278 | | | | | Series 2007-19, Class 2A1, 6.500% due 11/25/47 | | | 81,828 | |
| | 481,315 | | | | | Credit Suisse Mortgage Capital Certificates, Series 2007-NC1, Class 2A1, 0.775% (1-Month USD-LIBOR + 0.600%) due 9/25/37(a) | | | 472,165 | |
| | | | | | Credit Suisse Mortgage Capital Trust: | | | | |
| | 35,686 | | | | | Series 2007-5R, Class A5, 6.500% due 7/26/36 | | | 15,694 | |
| | 386,857 | | | | | Series 2019-RPL9, Class A1, 3.056% due 10/27/59(a)(c) | | | 388,587 | |
| | 392,941 | | | | | Crown Point CLO 6 Ltd., Series 2018-6A, Class A1, 1.442% (3-Month USD-LIBOR + 1.170%) due 10/20/28(a)(c) | | | 391,518 | |
| | 151,744 | | | | | CSAB Mortgage-Backed Trust, Series 2006-4, Class A6A, step bond to yield, 5.684% due 12/25/36 | | | 49,773 | |
| | 574,334 | | | | | Deutsche Alternative-A Securities Mortgage Loan Trust, Series 2007-3, Class 2A1, 0.925% (1-Month USD-LIBOR + 0.750%) due 10/25/47(a) | | | 520,660 | |
| | 300,000 | EUR | | | | Dryden 46 Euro CLO 2016 BV, Series 2016-46A, Class A1R, 0.880% (3-Month EURIBOR + 0.880%) due 1/15/30(a)(c) | | | 357,301 | |
| | 221,277 | GBP | | | | Durham Mortgages A PLC, Series 2018-AX, Class A, 0.617% (3-Month GBP-LIBOR + 0.550%) due 3/31/53(a) | | | 294,920 | |
| | 593,204 | | | | | Ellington Loan Acquisition Trust, Series 2007-2, Class A1, 1.225% (1-Month USD-LIBOR + 1.050%) due 5/25/37(a)(c) | | | 585,421 | |
| | 170,311 | GBP | | | | Eurohome UK Mortgages PLC, Series 2007-1, Class A, 0.343% (3-Month GBP-LIBOR + 0.150%) due 6/15/44(a) | | | 220,576 | |
| | 365,030 | GBP | | | | Eurosail-UK PLC, Series 2007-4X, Class A3, 1.143% (3-Month GBP-LIBOR + 0.950%) due 6/13/45(a) | | | 484,040 | |
See Notes to Financial Statements.
250
| | | | | | | | | | |
| International Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | | | Security | | Value | |
|
| | COLLATERALIZED MORTGAGE OBLIGATIONS — 18.1% — (continued) | |
| $ | 95,231 | | | | | Evans Grove CLO Ltd., Series 2018-1A, Class A1, 1.291% (3-Month USD-LIBOR + 0.920%) due 5/28/28(a)(c) | | $ | 94,264 | |
| | | | | | Federal Home Loan Mortgage Corp. (FHLMC): | | | | |
| | 23,520 | | | | | Series T-35, Class A, 0.315% (1-Month USD-LIBOR + 0.140%) due 9/25/31(a) | | | 23,322 | |
| | 31,830 | | | | | Series T-62, Class 1A1, 2.371% (1-Year Treasury Average Rate + 1.200%) due 10/25/44(a) | | | 32,794 | |
| | | | | | Federal Home Loan Mortgage Corp. (FHLMC), REMICS: | | | | |
| | 24,537 | | | | | Series 2391, Class FJ, 0.662% (1-Month USD-LIBOR + 0.500%) due 4/15/28(a) | | | 24,588 | |
| | 39,139 | | | | | Series 2614, Class SJ, 19.217% (19.663% - 2.75% x 1-Month USD-LIBOR) due 5/15/33(g) | | | 60,796 | |
| | 160,322 | | | | | Series 4579, Class FD, 0.521% (1-Month USD-LIBOR + 0.350%) due 1/15/38(a) | | | 159,982 | |
| | 160,322 | | | | | Series 4579, Class SD, 3.244% due 1/15/38(a)(j) | | | 9,126 | |
| | 282,887 | | | | | Series 5002, Class FJ, 0.562% (1-Month USD-LIBOR + 0.400%) due 7/25/50(a) | | | 283,808 | |
| | 5,753 | | | | | Federal National Mortgage Association (FNMA), Grantor Trust, Series 2004-T3, Class 1A1, 6.000% due 2/25/44 | | | 6,812 | |
| | | | | | Federal National Mortgage Association (FNMA), REMICS: | | | | |
| | 5,768 | | | | | Series 2003-34, Class A1, 6.000% due 4/25/43 | | | 6,714 | |
| | 10,803 | | | | | Series 2006-48, Class TF, 0.575% (1-Month USD-LIBOR + 0.400%) due 6/25/36(a) | | | 10,854 | |
| | 89,363 | | | | | Series 2009-104, Class FA, 0.975% (1-Month USD-LIBOR + 0.800%) due 12/25/39(a) | | | 89,448 | |
| | 41,196 | | | | | Federal National Mortgage Association (FNMA), REMICS Trust, Series 2004-W12, Class 1A1, 6.000% due 7/25/44 | | | 48,071 | |
| | 86,799 | | | | | Figueroa CLO Ltd., Series 2014-1A, Class AR, 1.175% (3-Month USD-LIBOR + 0.900%) due 1/15/27(a)(c) | | | 86,766 | |
| | 174,961 | | | | | First Franklin Mortgage Loan Trust, Series 2005-FF9, Class A4, 0.535% (1-Month USD-LIBOR + 0.360%) due 10/25/35(a) | | | 173,730 | |
| | 27,312 | | | | | GMACM Mortgage Loan Trust, Series 2005-AR6, Class 3A1, 3.791% due 11/19/35(a) | | | 24,958 | |
| | | | | | Government National Mortgage Association (GNMA): | | | | |
| | 390,174 | | | | | Series 2016-H15, Class FA, 0.964% (1-Month USD-LIBOR + 0.800%) due 7/20/66(a) | | | 394,616 | |
| | 46,654 | | | | | Series 2017-121, Class PE, 3.000% due 7/20/46 | | | 47,971 | |
| | | | | | GSR Mortgage Loan Trust: | | | | |
| | 10,107 | | | | | Series 2003-1, Class A2, 2.930% (1-Year CMT Index + 1.750%) due 3/25/33(a) | | | 9,881 | |
| | 128,706 | | | | | Series 2005-AR7, Class 2A1, 3.837% due 11/25/35(a) | | | 127,782 | |
| | | | | | Harborview Mortgage Loan Trust: | | | | |
| | 17,045 | | | | | Series 2005-2, Class 2A1A, 0.601% (1-Month USD-LIBOR + 0.440%) due 5/19/35(a) | | | 15,795 | |
| | 38,406 | | | | | Series 2005-3, Class 2A1A, 0.641% (1-Month USD-LIBOR + 0.480%) due 6/19/35(a) | | | 37,390 | |
| | 74,959 | | | | | Series 2006-SB1, Class A1A, 2.021% (1-Year Treasury Average Rate + 0.850%) due 12/19/36(a) | | | 69,051 | |
| | 96,209 | | | | | Series 2007-1, Class 2A1A, 0.291% (1-Month USD-LIBOR + 0.130%) due 3/19/37(a) | | | 89,569 | |
| | 436,142 | GBP | | | | Hawksmoor Mortgages, Series 2019-1A, Class A, 1.112% (Sterling Overnight Index Average + 1.050%) due 5/25/53(a)(c) | | | 584,564 | |
| | 295,286 | | | | | Homeward Opportunities Fund I Trust, Series 2020-2, Class A1, 1.657% due 5/25/65(a)(c) | | | 296,060 | |
| | | | | | JPMorgan Mortgage Trust: | | | | |
| | 2,752 | | | | | Series 2003-A2, Class 3A1, 3.057% due 11/25/33(a) | | | 2,766 | |
| | 1,118 | | | | | Series 2005-A1, Class 6T1, 3.597% due 2/25/35(a) | | | 1,061 | |
| | 32,437 | | | | | JPMorgan Resecuritization Trust, Series 2009-7, Class 17A1, 5.475% due 7/27/37(a)(c) | | | 32,648 | |
| | 495,510 | GBP | | | | Ludgate Funding PLC, Series 2007-1, Class A2A, 0.311% (3-Month GBP-LIBOR + 0.160%) due 1/1/61(a) | | | 623,593 | |
| | 300,000 | | | | | Manhattan West, Series 2020-1MW, Class A, 2.130% due 9/10/39(c) | | | 312,681 | |
| | 4,242 | | | | | Merrill Lynch Mortgage Investors Trust, Series 2003-A2, Class 1A1, 2.736% due 2/25/33(a) | | | 4,081 | |
| | 336,916 | | | | | Monarch Grove CLO, Series 2018-1A, Class A1, 1.125% (3-Month USD-LIBOR + 0.880%) due 1/25/28(a)(c) | | | 334,905 | |
| | | | | | New Residential Mortgage Loan Trust: | | | | |
| | 361,347 | | | | | Series 2019-RPL3, Class A1, 2.750% due 7/25/59(a)(c) | | | 377,608 | |
| | 375,007 | | | | | Series 2020-RPL1, Class A1, 2.750% due 11/25/59(a)(c) | | | 396,248 | |
| | 612,338 | GBP | | | | Newgate Funding PLC, Series 2007-1X, Class A3, 0.397% (3-Month GBP-LIBOR + 0.160%) due 12/1/50(a) | | | 770,996 | |
See Notes to Financial Statements.
251
| | | | | | | | | | |
| International Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | | | Security | | Value | |
|
| | COLLATERALIZED MORTGAGE OBLIGATIONS — 18.1% — (continued) | |
| $ | 400,000 | | | | | NovaStar Mortgage Funding Trust, Series 2006-1, Class A2D, 0.715% (1-Month USD-LIBOR + 0.540%) due 5/25/36(a) | | $ | 364,564 | |
| | 87,641 | | | | | Option One Mortgage Loan Trust, Series 2007-CP1, Class 1A1, 0.315% (1-Month USD-LIBOR + 0.140%) due 3/25/37(a) | | | 78,847 | |
| | 126,280 | | | | | RAAC Trust, Series 2007-SP3, Class A1, 1.375% (1-Month USD-LIBOR + 1.200%) due 9/25/47(a) | | | 126,872 | |
| | | | | | RALI Trust: | | | | |
| | 133,710 | | | | | Series 2006-QS6, Class 1A1, 6.000% due 6/25/36 | | | 128,944 | |
| | 53,969 | | | | | Series 2007-QO2, Class A1, 0.325% (1-Month USD-LIBOR + 0.150%) due 2/25/47(a) | | | 26,845 | |
| | 75,489 | CAD | | | | Real Estate Asset Liquidity Trust, Series 2018-1A, Class A1, 3.072% due 8/12/53(c) | | | 59,130 | |
| | | | | | Residential Asset Securitization Trust: | | | | |
| | 16,994 | | | | | Series 2005-A15, Class 5A1, 5.750% due 2/25/36 | | | 11,785 | |
| | 43,879 | | | | | Series 2006-R1, Class A2, 0.575% (1-Month USD-LIBOR + 0.400%) due 1/25/46(a) | | | 12,089 | |
| | 123,618 | GBP | | | | Residential Mortgage Securities 28 PLC, Series 28, Class A, 1.923% (3-Month GBP-LIBOR + 1.150%) due 6/15/46(a) | | | 165,362 | |
| | 200,000 | GBP | | | | Residential Mortgage Securities 32 PLC, Series 2032, Class A, zero coupon, (Sterling Overnight Index Average + 1.250%) due 6/20/70(a)(c) | | | 268,637 | |
| | 236,290 | GBP | | | | ResLoC UK PLC, Series 2007-1X, Class A3B, 0.353% (3-Month GBP-LIBOR + 0.160%) due 12/15/43(a) | | | 297,794 | |
| | | | | | RMAC Securities No 1 PLC: | | | | |
| | 431,337 | GBP | | | | Series 2006-NS3X, Class A2A, 0.348% (3-Month GBP-LIBOR + 0.150%) due 6/12/44(a) | | | 547,655 | |
| | 227,312 | GBP | | | | Series 2006-NS1X, Class A2A, 0.348% (3-Month GBP-LIBOR + 0.150%) due 6/12/44(a) | | | 289,390 | |
| | | | | | Soundview Home Loan Trust: | | | | |
| | 158,876 | | | | | Series 2006-3, Class A3, 0.335% (1-Month USD-LIBOR + 0.160%) due 11/25/36(a) | | | 157,431 | |
| | 1,300,000 | | | | | Series 2006-3, Class A4, 0.425% (1-Month USD-LIBOR + 0.250%) due 11/25/36(a) | | | 1,191,178 | |
| | 300,000 | | | | | SP-STATIC CLO 1 Ltd., Series 2020-1A, Class A, 1.635% (3-Month USD-LIBOR + 1.400%) due 7/22/28(a)(c) | | | 300,258 | |
| | | | | | Structured Adjustable Rate Mortgage Loan Trust: | | | | |
| | 4,856 | | | | | Series 2004-1, Class 4A1, 3.156% due 2/25/34(a) | | | 4,724 | |
| | 16,966 | | | | | Series 2004-4, Class 3A2, 3.577% due 4/25/34(a) | | | 16,584 | |
| | 31,605 | | | | | Series 2004-19, Class 2A1, 2.571% (1-Year Treasury Average Rate + 1.400%) due 1/25/35(a) | | | 29,092 | |
| | | | | | Structured Asset Mortgage Investments II Trust: | | | | |
| | 41,859 | | | | | Series 2005-AR2, Class 2A1, 0.635% (1-Month USD-LIBOR + 0.460%) due 5/25/45(a) | | | 40,321 | |
| | 53,963 | | | | | Series 2005-AR8, Class A1A, 0.455% (1-Month USD-LIBOR + 0.280%) due 2/25/36(a) | | | 50,054 | |
| | 34,834 | | | | | Series 2006-AR5, Class 1A1, 0.385% (1-Month USD-LIBOR + 0.210%) due 5/25/36(a) | | | 32,050 | |
| | 166,445 | | | | | Series 2007-AR4, Class A3, 0.395% (1-Month USD-LIBOR + 0.220%) due 9/25/47(a) | | | 145,079 | |
| | 84,292 | | | | | Series 2007-AR6, Class A1, 2.671% (1-Year Treasury Average Rate + 1.500%) due 8/25/47(a) | | | 78,832 | |
| | 59,537 | | | | | Structured Asset Securities Corp., Series 2006-RF1, Class 1A, 0.455% (1-Month USD-LIBOR + 0.280%) due 1/25/36(a)(c) | | | 53,067 | |
| | 327,305 | | | | | Symphony CLO XIV Ltd., Series 2014-14A, Class AR, 1.218% (3-Month USD-LIBOR + 0.950%) due 7/14/26(a)(c) | | | 326,134 | |
| | 71,849 | | | | | THL Credit Wind River CLO Ltd., Series 2012-1A, Class AR2, 1.155% (3-Month USD-LIBOR + 0.880%) due 1/15/26(a)(c) | | | 71,716 | |
| | 300,000 | EUR | | | | Tikehau CLO II BV, Series 2A, Class AR, 0.880% (3-Month EURIBOR + 0.880%) due 12/7/29(a)(c) | | | 357,559 | |
| | 400,000 | EUR | | | | Toro European CLO 2 DAC, Series 2A, Class AR, 0.900% (3-Month EURIBOR + 0.900%) due 10/15/30(a)(c) | | | 477,111 | |
| | 555,756 | GBP | | | | Towd Point Mortgage Funding, Series 2019-A13A, Class A1, 0.965% (Sterling Overnight Index Average + 0.900%) due 7/20/45(a)(c) | | | 742,573 | |
| | 292,272 | GBP | | | | Towd Point Mortgage Funding Auburn 14 PLC, Series 2020-A14X, Class A, 0.963% (Sterling Overnight Index Average + 0.900%) due 5/20/45(a) | | | 389,314 | |
See Notes to Financial Statements.
252
| | | | | | | | | | |
| International Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | | | Security | | Value | |
|
| | COLLATERALIZED MORTGAGE OBLIGATIONS — 18.1% — (continued) | |
| | | | | | Towd Point Mortgage Trust: | | | | |
| $ | 1,222,455 | | | | | Series 2019-4, Class A1, 2.900% due 10/25/59(a)(c) | | $ | 1,302,632 | |
| | 350,950 | | | | | Series 2020-1, Class A1, 2.710% due 1/25/60(a)(c) | | | 365,710 | |
| | 400,000 | | | | | Tralee CLO V Ltd., Series 2018-5A, Class A1, 1.382% (3-Month USD-LIBOR + 1.110%) due 10/20/28(a)(c) | | | 397,064 | |
| | 338,515 | | | | | Venture XVI CLO Ltd., Series 2014-16A, Class ARR, 1.125% (3-Month USD-LIBOR + 0.850%) due 1/15/28(a)(c) | | | 335,489 | |
| | 95,964 | | | | | Venture XVII CLO Ltd., Series 2014-17A, Class ARR, 1.155% (3-Month USD-LIBOR + 0.880%) due 4/15/27(a)(c) | | | 95,044 | |
| | | | | | WaMu Mortgage Pass-Through Certificates Trust: | | | | |
| | 8,028 | | | | | Series 2002-AR9, Class 1A, 2.571% (1-Year Treasury Average Rate + 1.400%) due 8/25/42(a) | | | 7,606 | |
| | 2,112 | | | | | Series 2003-AR5, Class A7, 3.750% due 6/25/33(a) | | | 2,085 | |
| | 143,625 | | | | | Series 2003-AR9, Class 2A, 3.012% due 9/25/33(a) | | | 136,929 | |
| | 219,960 | | | | | Series 2004-AR1, Class A, 3.835% due 3/25/34(a) | | | 224,990 | |
| | 30,442 | | | | | Series 2005-AR13, Class A1A1, 0.465% (1-Month USD-LIBOR + 0.290%) due 10/25/45(a) | | | 29,983 | |
| | 34,334 | | | | | Series 2006-AR10, Class 2A1, 3.258% due 9/25/36(a) | | | 31,623 | |
| | 63,093 | | | | | Series 2006-AR13, Class 2A, 2.182% (11th District Cost of Funds Index + 1.500%) due 10/25/46(a) | | | 56,959 | |
| | 20,435 | | | | | Washington Mutual Mortgage Pass-Through Certificates WMALT, Series 2006-AR5, Class 3A, 2.111% (1-Year Treasury Average Rate + 0.940%) due 7/25/46(a) | | | 14,060 | |
| | 75,899 | | | | | Washington Mutual MSC Mortgage Pass-Through Certificates Trust, Series 2002-AR3, Class 1A7, 3.495% due 12/25/32(a) | | | 74,623 | |
| | | | | | | | | | |
| | | | | | TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost — $24,736,926) | | | 24,478,977 | |
| | | | | | | | | | |
|
| | U.S. GOVERNMENT OBLIGATIONS — 2.6% | |
| | 701,911 | | | | | U.S. Treasury Inflation Indexed Bonds, 0.250% due 2/15/50(m) | | | 836,843 | |
| | | | | | U.S. Treasury Inflation Indexed Notes: | | | | |
| | 212,008 | | | | | 0.125% due 4/15/22(k) | | | 216,942 | |
| | 311,361 | | | | | 0.625% due 4/15/23(k) | | | 328,079 | |
| | 1,045,130 | | | | | 0.500% due 1/15/28(d) | | | 1,184,801 | |
| | 800,000 | | | | | U.S. Treasury Notes, 2.875% due 4/30/25(d)(k) | | | 897,688 | |
| | | | | | | | | | |
| | | | | | TOTAL U.S. GOVERNMENT OBLIGATIONS
(Cost — $3,160,184) | | | 3,464,353 | |
| | | | | | | | | | |
|
| | ASSET-BACKED SECURITIES — 0.7% | |
|
| | Automobiles — 0.6% | |
| | 171,690 | | | | | Bank of The West Auto Trust, Series 2019-1, Class A2, 2.400% due 10/17/22(c) | | | 172,706 | |
| | 258,291 | | | | | DT Auto Owner Trust, Series 2020-2A, Class A, 1.140% due 1/16/24(c) | | | 259,167 | |
| | 400,000 | | | | | Toyota Auto Loan Extended Notes Trust, Series 2019-1A, Class A, 2.560% due 11/25/31(c) | | | 429,742 | |
| | | | | | | | | | |
| | | | | | Total Automobiles | | | 861,615 | |
| | | | | | | | | | |
|
| | Student Loans — 0.1% | |
| | 66,508 | | | | | Massachusetts Educational Financing Authority, Series 2008-1, Class A1, 1.195% (3-Month USD-LIBOR + 0.950%) due 4/25/38(a) | | | 66,418 | |
| | | | | | | | | | |
| | | | | | TOTAL ASSET-BACKED SECURITIES
(Cost — $896,412) | | | 928,033 | |
| | | | | | | | | | |
|
| | MUNICIPAL BOND — 0.0% | |
|
| | United States — 0.0% | |
| | 700,000 | | | | | Tobacco Settlement Finance Authority, Revenue Bonds, Series B, zero coupon, due 6/1/47
(Cost — $55,765) | | | 38,150 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS
(Cost — $189,982,973) | | | 198,900,016 | |
| | | | | | | | | | |
See Notes to Financial Statements.
253
| | | | | | | | | | |
| International Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | | | Security | | Value | |
|
| | SHORT-TERM INVESTMENTS — 4.7% | |
|
| | REPURCHASE AGREEMENT — 0.7% | |
| $ | 936,000 | | | | | Bank of America repurchase agreement dated 8/31/20, 0.100% due 9/1/20, Proceeds at maturity — $936,003; (Fully collateralized by U.S. Treasury Inflation Indexed Bonds, 0.250%, due 1/15/25; Marked Valued — $1,097,013)
(Cost — $936,000) | | $ | 936,000 | |
| | | | | | | | | | |
|
| | SOVEREIGN BOND — 3.0% | |
|
| | Japan — 3.0% | |
| | 430,200,000 | JPY | | | | Japan Treasury Discount Bills, (0.096)% due 9/28/20(l)
(Cost — $4,014,580) | | | 4,062,334 | |
| | | | | | | | | | |
|
| | TIME DEPOSITS — 0.9% | |
| | 496,559 | | | | | ANZ National Bank — London, 0.010% due 9/1/20 | | | 496,559 | |
| | 448,281 | | | | | Banco Santander SA — Frankfurt, 0.010% due 9/1/20 | | | 448,281 | |
| | | | | | BBH — Grand Cayman: | | | | |
| | 1,869 | DKK | | | | (0.650)% due 9/1/20 | | | 300 | |
| | 30,095 | SEK | | | | (0.250)% due 9/1/20 | | | 3,479 | |
| | 2,349 | NOK | | | | (0.150)% due 9/1/20 | | | 269 | |
| | 47,518 | AUD | | | | 0.010% due 9/1/20 | | | 35,054 | |
| | 935 | NZD | | | | 0.010% due 9/1/20 | | | 630 | |
| | 5,203 | SGD | | | | 0.010% due 9/1/20 | | | 3,825 | |
| | 571 | CAD | | | | 0.030% due 9/1/20 | | | 438 | |
| | 72 | HKD | | | | 0.150% due 9/1/20 | | | 9 | |
| | 344,364 | ZAR | | | | 4.500% due 9/1/20 | | | 20,316 | |
| | 26,171 | CHF | | | | BNP Paribas — Paris, (1.430)% due 9/1/20 | | | 28,953 | |
| | | | | | Citibank — London: | | | | |
| | 40,761 | EUR | | | | (0.690)% due 9/1/20 | | | 48,644 | |
| | 94,018 | GBP | | | | 0.010% due 9/1/20 | | | 125,679 | |
| | 6,138,376 | JPY | | | | Sumitomo Mitsui Banking Corp. — Tokyo, (0.230)% due 9/1/20 | | | 57,950 | |
| | | | | | | | | | |
| | | | | | TOTAL TIME DEPOSITS
(Cost — $1,270,386) | | | 1,270,386 | |
| | | | | | | | | | |
|
| | U.S. GOVERNMENT OBLIGATION — 0.1% | |
| | 111,000 | | | | | U.S. Treasury Bills, 0.110% due 10/22/20(k)(l)
(Cost — $110,983) | | | 110,983 | |
| | | | | | | | | | |
| | | | | | TOTAL SHORT-TERM INVESTMENTS
(Cost — $6,331,949) | | | 6,379,703 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS IN SECURITIES
(Cost — $196,314,922) | | | 205,279,719 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS IN PURCHASED OPTIONS
(Cost — $119,557) | | | 49,066 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS — 151.9%
(Cost — $196,434,479) | | | 205,328,785 | |
| | | | | | | | | | |
| | | | | | Liabilities in Excess of Other Assets — (51.9)% | | | (70,166,762 | ) |
| | | | | | | | | | |
| | | | | | TOTAL NET ASSETS — 100.0% | | $ | 135,162,023 | |
| | | | | | | | | | |
| † | 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, 2020. |
| (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, 2020, amounts to $44,849,502 and represents 33.2% of net assets. |
| (d) | Position, or portion thereof, has been segregated to collateralize reverse repurchase agreement. |
| (e) | This security is traded on a TBA basis (see Note 1). |
See Notes to Financial Statements.
254
| | | | | | |
| International Fixed Income Fund |
| (f) | Payment-in-kind security for which part of the income earned may be paid as additional principal. |
| (g) | Inverse Floating Rate Security — interest rate fluctuates with an inverse relationship to an associated interest rate. Indicated rate is the effective rate as of August 31, 2020. |
| (h) | Security is perpetual in nature and has no stated maturity date. |
| (i) | Security is currently in default. |
| (j) | Interest only security. |
| (k) | All or a portion of this security is held at the broker as collateral for open OTC derivative instruments. |
| (l) | Rate shown represents yield-to-maturity. |
| (m) | All or a portion of these securities were purchased in a sale-buyback transaction. The value of these securities total $836,843 which represents 0.6% of net assets. |
At August 31, 2020, 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 | | $ | 199,632,332 | | | $ | 12,370,931 | | | $ | (6,674,478 | ) | | $ | 5,696,453 | |
| | |
Abbreviations used in this schedule: |
| CLO | | — Collateralized Loan Obligation |
| CMT | | — Constant Maturity Treasury Rate |
| CPI | | — Consumer Price Index |
| EURIBOR | | — Euro Interbank Offered Rate |
| ICE | | — Intercontinental Exchange |
| LIBOR | | — London Interbank Offered Rate |
| PLC | | — Public Limited Company |
| REMICS | | — Real Estate Mortgage Investment Conduit |
| SOFR | | — Secured Overnight Financing Rate |
| | | | |
| Summary of Investments by Security Type^ | |
Sovereign Bonds | | | 33.6 | % |
Mortgage-Backed Securities | | | 33.0 | |
Corporate Bonds & Notes | | | 16.2 | |
Collateralized Mortgage Obligations | | | 11.9 | |
U.S. Government Obligations | | | 1.7 | |
Asset-Backed Securities | | | 0.5 | |
Municipal Bond | | | 0.0 | * |
Short-Term Investments | | | 3.1 | |
| | | | |
| | | 100.0 | % |
| | | | |
| ^ | As a percentage of total investments. |
| * | Position represents less than 0.05% |
At August 31, 2020, 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 | |
| | 886,000 | | | | 973 | JPY | | OTC Canadian Dollar versus Japanese Yen, Put | | | BCLY | | | | 2/25/21 | | | JPY | 77.00 | | | $ | 7,275 | |
| | 668,000 | | | | 563 | KRW | | OTC U.S. Dollar versus Korean Won, Put | | | BOA | | | | 10/28/20 | | | KRW | 1,175.00 | | | | 4,635 | |
| | 670,000 | | | | 564 | KRW | | OTC U.S. Dollar versus Korean Won, Put | | | HSBC | | | | 12/16/20 | | | KRW | 1,170.00 | | | | 7,235 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | Total Currency Options | | | | | | | | | | | | | | $ | 19,145 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
255
| | | | | | |
| International Fixed Income Fund |
Interest Rate Swaptions
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Number of
Contracts | | | Notional
Amount† | | | Security Name | | Counterparty | | | Expiration
Date | | | Exercise Rate | | | Value | |
| | 400,000 | | | $ | 964 | | | OTC 30-Year Swaption, 3-Month USD-LIBOR, Put | | | BCLY | | | | 8/23/21 | | | | 1.758% | | | $ | 9,380 | |
| | 1,000,000 | | | | 2,409 | | | OTC 30-Year Swaption, 3-Month USD-LIBOR, Put | | | BOA | | | | 9/15/21 | | | | 2.175% | | | | 11,531 | |
| | 600,000 | | | | 1,445 | | | OTC 30-Year Swaption, 3-Month USD-LIBOR, Put | | | DUB | | | | 12/21/21 | | | | 2.300% | | | | 7,295 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | Total Interest Rate Swaptions | | | | | | | | | | | | | | $ | 28,206 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Options on Futures | | | | | | | | | | | | |
| | | | | | |
Number of
Contracts | | | Notional
Amount† | | | Security Name | | Counterparty | | | Expiration
Date | | | Strike Price | | | Value | |
| | 30 | | | | 4,523,400 | CAD | | Canada Government 10-Year Bond December Futures Call | | | BOA | | | | 11/20/20 | | | CAD | 189.00 | | | $ | 115 | |
| | 7 | | | | 942,550 | EUR | | Euro-Bobl November Futures, Put | | | SOG | | | | 10/23/20 | | | EUR | 129.75 | | | | 42 | |
| | 50 | | | | 7,233,500 | EUR | | Euro-BTP December Futures, Put | | | SOG | | | | 11/20/20 | | | EUR | 80.00 | | | | 597 | |
| | 9 | | | | 1,552,230 | EUR | | Euro-Bund December Futures, Call | | | SOG | | | | 11/20/20 | | | EUR | 200.00 | | | | 107 | |
| | 34 | | | | 5,863,980 | EUR | | Euro-Bund December Futures, Call | | | SOG | | | | 11/20/20 | | | EUR | 210.00 | | | | 406 | |
| | 24 | | | | 2,692,680 | EUR | | Euro-Schatz December Futures, Call | | | SOG | | | | 11/20/20 | | | EUR | 117.00 | | | | 143 | |
| | 6,600,000 | | | | $468,600,000 | | | OTC Federal National Mortgage Association (FNMA) 30-Year September Futures, Put | | | JPM | | | | 9/8/20 | | | $ | 71.00 | | | | — | |
| | 10,000,000 | | | | 710,000,000 | | | OTC Federal National Mortgage Association (FNMA) 30-Year October Futures, Put | | | JPM | | | | 10/7/20 | | | $ | 71.00 | | | | — | |
| | 39 | | | | 4,913,695 | | | U.S. Treasury 5-Year Note November Futures, Put | | | CITI | | | | 10/23/20 | | | $ | 118.50 | | | | 305 | |
| | 2 | | | | 340,000 | GBP | | United Kingdom Treasury 10-Year Gilt October Futures, Call | | | SOG | | | | 9/25/20 | | | GBP | 170.00 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | Total Options on Futures | | | | | | | | | | | | | | $ | 1,715 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | TOTAL OPTIONS CONTRACTS PURCHASED
(Cost — $119,557) | | | | | | | | | | | | | | $ | 49,066 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
At August 31, 2020, 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 | |
| | 800,000 | | | $ | 529,264 | | | OTC Markit CDX North America Investment Grade Series 34 5-Year Index, Call | | BOA | | | 9/16/20 | | | 0.550% | | $ | 4 | |
| | 1,500,000 | | | | 992,370 | | | OTC Markit CDX North America Investment Grade Series 34 5-Year Index, Call | | GSC | | | 10/21/20 | | | 0.575% | | | 472 | |
| | 300,000 | | | | 198,474 | | | OTC Markit CDX North America Investment Grade Series 34 5-Year Index, Call | | GSC | | | 9/16/20 | | | 0.600% | | | 56 | |
| | 200,000 | | | | 132,316 | | | OTC Markit CDX North America Investment Grade Series 34 5-Year Index, Put | | BNP | | | 9/16/20 | | | 1.000% | | | 6 | |
| | 600,000 | | | | 396,948 | | | OTC Markit CDX North America Investment Grade Series 34 5-Year Index, Put | | BNP | | | 10/21/20 | | | 1.000% | | | 231 | |
| | 200,000 | | | | 132,316 | | | OTC Markit CDX North America Investment Grade Series 34 5-Year Index, Put | | BNP | | | 12/16/20 | | | 1.000% | | | 309 | |
| | 100,000 | | | | 66,158 | | | OTC Markit CDX North America Investment Grade Series 34 5-Year Index, Put | | BNP | | | 12/16/20 | | | 1.200% | | | 86 | |
| | 1,000,000 | | | | 661,580 | | | OTC Markit CDX North America Investment Grade Series 34 5-Year Index, Put | | BOA | | | 10/21/20 | | | 0.900% | | | 631 | |
| | 300,000 | | | | 198,474 | | | OTC Markit CDX North America Investment Grade Series 34 5-Year Index, Put | | BOA | | | 10/21/20 | | | 1.000% | | | 115 | |
See Notes to Financial Statements.
256
| | | | | | |
| International Fixed Income Fund |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Number of
Contracts | | | Notional
Amount† | | | Security Name | | Counterparty | | | Expiration
Date | | | Exercise Rate | | | Value | |
| | 300,000 | | | | $ 198,474 | | | OTC Markit CDX North America Investment Grade Series 34 5-Year Index, Put | | | BOA | | | | 11/18/20 | | | | 1.000% | | | $ | 338 | |
| | 800,000 | | | | 529,264 | | | OTC Markit CDX North America Investment Grade Series 34 5-Year Index, Put | | | BOA | | | | 9/16/20 | | | | 1.100% | | | | 9 | |
| | 200,000 | | | | 132,316 | | | OTC Markit CDX North America Investment Grade Series 34 5-Year Index, Put | | | DUB | | | | 12/16/20 | | | | 1.000% | | | | 309 | |
| | 200,000 | | | | 132,316 | | | OTC Markit CDX North America Investment Grade Series 34 5-Year Index, Put | | | DUB | | | | 11/18/20 | | | | 1.050% | | | | 194 | |
| | 1,500,000 | | | | 992,370 | | | OTC Markit CDX North America Investment Grade Series 34 5-Year Index, Put | | | GSC | | | | 10/21/20 | | | | 0.900% | | | | 947 | |
| | 300,000 | | | | 198,474 | | | OTC Markit CDX North America Investment Grade Series 34 5-Year Index, Put | | | GSC | | | | 12/16/20 | | | | 1.000% | | | | 463 | |
| | 300,000 | | | | 198,474 | | | OTC Markit CDX North America Investment Grade Series 34 5-Year Index, Put | | | GSC | | | | 9/16/20 | | | | 1.100% | | | | 3 | |
| | 100,000 | | | | 53,989 | EUR | | OTC Markit iTraxx Europe Series 33 5-Year Index, Call | | | BNP | | | | 10/21/20 | | | | 0.475% | | | | 40 | |
| | 500,000 | | | | 269,945 | EUR | | OTC Markit iTraxx Europe Series 33 5-Year Index, Call | | | BNP | | | | 11/18/20 | | | | 0.475% | | | | 475 | |
| | 600,000 | | | | 323,934 | EUR | | OTC Markit iTraxx Europe Series 33 5-Year Index, Call | | | BNP | | | | 9/16/20 | | | | 0.500% | | | | 179 | |
| | 200,000 | | | | 107,978 | EUR | | OTC Markit iTraxx Europe Series 33 5-Year Index, Call | | | BNP | | | | 10/21/20 | | | | 0.500% | | | | 168 | |
| | 300,000 | | | | 161,967 | EUR | | OTC Markit iTraxx Europe Series 33 5-Year Index, Call | | | BNP | | | | 9/16/20 | | | | 0.525% | | | | 236 | |
| | 300,000 | | | | 161,967 | EUR | | OTC Markit iTraxx Europe Series 33 5-Year Index, Call | | | BNP | | | | 10/21/20 | | | | 0.525% | | | | 435 | |
| | 300,000 | | | | 161,967 | EUR | | OTC Markit iTraxx Europe Series 33 5-Year Index, Call | | | BOA | | | | 9/16/20 | | | | 0.475% | | | | 31 | |
| | 100,000 | | | | 53,989 | EUR | | OTC Markit iTraxx Europe Series 33 5-Year Index, Call | | | BOA | | | | 10/21/20 | | | | 0.475% | | | | 40 | |
| | 200,000 | | | | 107,978 | EUR | | OTC Markit iTraxx Europe Series 33 5-Year Index, Call | | | BOA | | | | 11/18/20 | | | | 0.475% | | | | 190 | |
| | 700,000 | | | | 377,923 | EUR | | OTC Markit iTraxx Europe Series 33 5-Year Index, Call | | | BOA | | | | 10/21/20 | | | | 0.500% | | | | 587 | |
| | 200,000 | | | | 107,978 | EUR | | OTC Markit iTraxx Europe Series 33 5-Year Index, Call | | | DUB | | | | 10/21/20 | | | | 0.475% | | | | 80 | |
| | 400,000 | | | | 215,956 | EUR | | OTC Markit iTraxx Europe Series 33 5-Year Index, Call | | | DUB | | | | 10/21/20 | | | | 0.500% | | | | 335 | |
| | 200,000 | | | | 107,978 | EUR | | OTC Markit iTraxx Europe Series 33 5-Year Index, Call | | | GSC | | | | 10/21/20 | | | | 0.475% | | | | 80 | |
| | 300,000 | | | | 161,967 | EUR | | OTC Markit iTraxx Europe Series 33 5-Year Index, Call | | | GSC | | | | 11/18/20 | | | | 0.475% | | | | 285 | |
| | 600,000 | | | | 323,934 | EUR | | OTC Markit iTraxx Europe Series 33 5-Year Index, Call | | | GSC | | | | 9/16/20 | | | | 0.500% | | | | 179 | |
| | 200,000 | | | | 107,978 | EUR | | OTC Markit iTraxx Europe Series 33 5-Year Index, Call | | | GSC | | | | 10/21/20 | | | | 0.500% | | | | 168 | |
| | 200,000 | | | | 107,978 | EUR | | OTC Markit iTraxx Europe Series 33 5-Year Index, Call | | | JPM | | | | 10/21/20 | | | | 0.500% | | | | 168 | |
| | 300,000 | | | | 161,967 | EUR | | OTC Markit iTraxx Europe Series 33 5-Year Index, Call | | | JPM | | | | 10/21/20 | | | | 0.525% | | | | 435 | |
| | 100,000 | | | | 53,989 | EUR | | OTC Markit iTraxx Europe Series 33 5-Year Index, Put | | | BNP | | | | 10/21/20 | | | | 0.750% | | | | 84 | |
| | 100,000 | | | | 53,989 | EUR | | OTC Markit iTraxx Europe Series 33 5-Year Index, Put | | | BNP | | | | 10/21/20 | | | | 0.800% | | | | 69 | |
| | 500,000 | | | | 269,945 | EUR | | OTC Markit iTraxx Europe Series 33 5-Year Index, Put | | | BNP | | | | 9/16/20 | | | | 0.850% | | | | 18 | |
| | 200,000 | | | | 107,978 | EUR | | OTC Markit iTraxx Europe Series 33 5-Year Index, Put | | | BNP | | | | 10/21/20 | | | | 0.850% | | | | 109 | |
| | 500,000 | | | | 269,945 | EUR | | OTC Markit iTraxx Europe Series 33 5-Year Index, Put | | | BNP | | | | 11/18/20 | | | | 0.900% | | | | 476 | |
| | 300,000 | | | | 161,967 | EUR | | OTC Markit iTraxx Europe Series 33 5-Year Index, Put | | | BNP | | | | 10/21/20 | | | | 1.000% | | | | 88 | |
| | 600,000 | | | | 323,934 | EUR | | OTC Markit iTraxx Europe Series 33 5-Year Index, Put | | | BNP | | | | 9/16/20 | | | | 1.100% | | | | 3 | |
| | 100,000 | | | | 53,989 | EUR | | OTC Markit iTraxx Europe Series 33 5-Year Index, Put | | | BOA | | | | 10/21/20 | | | | 0.800% | | | | 69 | |
| | 200,000 | | | | 107,978 | EUR | | OTC Markit iTraxx Europe Series 33 5-Year Index, Put | | | BOA | | | | 10/21/20 | | | | 0.850% | | | | 108 | |
| | 200,000 | | | | 107,978 | EUR | | OTC Markit iTraxx Europe Series 33 5-Year Index, Put | | | BOA | | | | 11/18/20 | | | | 0.900% | | | | 190 | |
| | 500,000 | | | | 269,945 | EUR | | OTC Markit iTraxx Europe Series 33 5-Year Index, Put | | | BOA | | | | 10/21/20 | | | | 0.925% | | | | 198 | |
| | 300,000 | | | | 161,967 | EUR | | OTC Markit iTraxx Europe Series 33 5-Year Index, Put | | | BOA | | | | 9/16/20 | | | | 1.000% | | | | 3 | |
| | 200,000 | | | | 107,978 | EUR | | OTC Markit iTraxx Europe Series 33 5-Year Index, Put | | | DUB | | | | 10/21/20 | | | | 0.800% | | | | 138 | |
| | 200,000 | | | | 107,978 | EUR | | OTC Markit iTraxx Europe Series 33 5-Year Index, Put | | | DUB | | | | 10/21/20 | | | | 0.850% | | | | 109 | |
| | 400,000 | | | | 215,956 | EUR | | OTC Markit iTraxx Europe Series 33 5-Year Index, Put | | | DUB | | | | 10/21/20 | | | | 1.200% | | | | 59 | |
| | 200,000 | | | | 107,978 | EUR | | OTC Markit iTraxx Europe Series 33 5-Year Index, Put | | | GSC | | | | 10/21/20 | | | | 0.800% | | | | 138 | |
| | 200,000 | | | | 107,978 | EUR | | OTC Markit iTraxx Europe Series 33 5-Year Index, Put | | | GSC | | | | 10/21/20 | | | | 0.850% | | | | 109 | |
| | 300,000 | | | | 161,967 | EUR | | OTC Markit iTraxx Europe Series 33 5-Year Index, Put | | | GSC | | | | 11/18/20 | | | | 0.900% | | | | 286 | |
| | 600,000 | | | | 323,934 | EUR | | OTC Markit iTraxx Europe Series 33 5-Year Index, Put | | | GSC | | | | 9/16/20 | | | | 1.100% | | | | 3 | |
| | 300,000 | | | | 161,967 | EUR | | OTC Markit iTraxx Europe Series 33 5-Year Index, Put | | | JPM | | | | 10/21/20 | | | | 1.000% | | | | 88 | |
| | 200,000 | | | | 107,978 | EUR | | OTC Markit iTraxx Europe Series 33 5-Year Index, Put | | | JPM | | | | 10/21/20 | | | | 1.200% | | | | 29 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | Total Credit Default Swaptions | | | | | | | | | | | | | | $ | 10,658 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
257
| | | | | | |
| International Fixed Income Fund |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | |
| Currency Options | | | | | | | | | | | | |
| | | | | | |
Number of
Contracts | | | Notional
Amount† | | | Security Name | | Counterparty | | | Expiration
Date | | | Strike Price | | | Value | |
| | 886,000 | | | | 71,959,477 | JPY | | OTC Canadian Dollar versus Japanese Yen, Call | | | BCLY | | | | 2/25/21 | | | JPY | 82.50 | | | $ | 12,414 | |
| | 1,172,000 | | | | 95,187,931 | JPY | | OTC Canadian Dollar versus Japanese Yen, Call | | | GSC | | | | 10/30/20 | | | JPY | 82.00 | | | | 9,259 | |
| | 593,000 | | | | 496,900 | EUR | | OTC Euro versus U.S. Dollar, Put | | | GSC | | | | 1/29/21 | | | $ | 1.09 | | | | 611 | |
| | 668,000 | | | | 793,286,740 | KRW | | OTC U.S. Dollar versus Korean Won, Call | | | BOA | | | | 10/28/20 | | | KRW | 1,225.00 | | | | 2,098 | |
| | 670,000 | | | | 795,661,850 | KRW | | OTC U.S. Dollar versus Korean Won, Call | | | HSBC | | | | 12/16/20 | | | KRW | 1,220.00 | | | | 5,745 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | Total Currency Options | | | | | | | | | | | | | | $ | 30,127 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | |
| Interest Rate Swaptions | | | | | | | | | | | | |
| | | | | | |
Number of
Contracts | | | Notional
Amount† | | | Security Name | | Counterparty | | | Expiration
Date | | | Exercise Rate | | | Value | |
| | 3,300,000 | | | $ | 7,949 | | | OTC 3-Year Swaption, 3-Month USD-LIBOR, Put | | | BCLY | | | | 8/23/21 | | | | 1.448% | | | $ | 276 | |
| | 8,300,000 | | | | 19,993 | | | OTC 3-Year Swaption, 3-Month USD-LIBOR, Put | | | BOA | | | | 9/15/21 | | | | 1.880% | | | | 401 | |
| | 5,100,000 | | | | 12,285 | | | OTC 3-Year Swaption, 3-Month USD-LIBOR, Put | | | DUB | | | | 12/21/21 | | | | 2.020% | | | | 425 | |
| | 300,000 | | | | 1,431 | EUR | | OTC 30-Year Swaption, 3-Month EURIBOR, Call | | | GSC | | | | 2/22/21 | | | | (0.150)% | | | | 9,081 | |
| | 100,000 | | | | 477 | EUR | | OTC 30-Year Swaption, 3-Month EURIBOR, Call | | | JPM | | | | 2/22/21 | | | | (0.150)% | | | | 3,027 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | Total Interest Rate Swaptions | | | | | | | | | | | | | | $ | 13,210 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | |
| Options on Futures | | | | | | | | | | | | |
| | | | | | |
Number of
Contracts | | | Notional
Amount† | | | Security Name | | Counterparty | | | Expiration
Date | | | Strike Price | | | Value | |
| | 300,000 | | | | $30,993,750 | | | OTC Federal National Mortgage Association (FNMA) 30-Year September Futures, Call | | | JPM | | | | 9/8/20 | | | | $103.31 | | | $ | 235 | |
| | 200,000 | | | | 20,720,312 | | | OTC Federal National Mortgage Association (FNMA) 30-Year October Futures, Call | | | JPM | | | | 10/7/20 | | | | $103.60 | | | | 235 | |
| | 100,000 | | | | 10,396,875 | | | OTC Federal National Mortgage Association (FNMA) 30-Year October Futures, Call | | | JPM | | | | 10/7/20 | | | | $103.97 | | | | 47 | |
| | 300,000 | | | | 30,393,750 | | | OTC Federal National Mortgage Association (FNMA) 30-Year September Futures, Put | | | JPM | | | | 9/8/20 | | | | $101.31 | | | | – | |
| | 200,000 | | | | 20,320,312 | | | OTC Federal National Mortgage Association (FNMA) 30-Year October Futures, Put | | | JPM | | | | 10/7/20 | | | | $101.60 | | | | 217 | |
| | 200,000 | | | | 20,367,187 | | | OTC Federal National Mortgage Association (FNMA) 30-Year October Futures, Put | | | JPM | | | | 10/7/20 | | | | $101.84 | | | | 269 | |
| | 200,000 | | | | 20,396,875 | | | OTC Federal National Mortgage Association (FNMA) 30-Year October Futures, Put | | | JPM | | | | 10/7/20 | | | | $101.98 | | | | 308 | |
| | 700,000 | | | | 71,605,078 | | | OTC Federal National Mortgage Association (FNMA) 30-Year October Futures, Put | | | JPM | | | | 10/7/20 | | | | $102.29 | | | | 1,440 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | Total Options on Futures | | | | | | | | | | | | | | $ | 2,751 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | TOTAL OPTIONS CONTRACTS WRITTEN
(Premiums received — $177,566) | | | | | | | | | | | | | | $ | 56,746 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
See Notes to Financial Statements.
258
| | | | | | |
| International Fixed Income Fund |
At August 31, 2020, International Fixed Income Fund held the following Reverse Repurchase Agreements:
| | | | | | | | |
| | |
Face
Amounts† | | | Security | | Value | |
| | | | BNP Paribas SA: | | | | |
| | 1,884,702 | GBP | | 0.200% due 11/12/20 | | $ | 2,519,375 | |
| | | | Crédit Agricole Securities (USA) Inc.: | | | | |
| $ | 1,178,750 | | | 0.140% due 9/1/20 | | | 1,178,750 | |
| | | | Deutsche Bank Securities Inc.: | | | | |
| | 532,770 | | | 0.190% due 10/14/20 | | | 532,770 | |
| | | | JPMorgan Securities: | | | | |
| | 1,251,070 | | | 0.200% due 9/17/20 | | | 1,251,070 | |
| | | | Scotia Capital (USA) Inc.: | | | | |
| | 929,000 | | | 0.170% due 9/1/20 | | | 929,000 | |
| | | | | | | | |
| | | | TOTAL REVERSE REPURCHASE AGREEMENTS
(Proceeds — $6,349,806) | | $ | 6,410,965 | |
| | | | | | | | |
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
For the year ended August 31, 2020, the daily average borrowing and interest rate under the reverse repurchase agreements were $21,157,913 and 0.376%, respectively.
At August 31, 2020, International Fixed Income Fund held the following Forward Sale Commitments:
| | | | | | | | |
| | |
Face
Amounts† | | | Security | | Value | |
| | | | Federal National Mortgage Association (FNMA): | | | | |
| $ | 100,000 | | | 3.500% due 9/1/35(a) | | $ | 105,686 | |
| | 100,000 | | | 3.000% due 9/1/50(a) | | | 105,422 | |
| | 6,300,000 | | | 3.000% due 11/1/50(a) | | | 6,621,533 | |
| | | | | | | | |
| | | | TOTAL FORWARD SALE COMMITMENTS
(Proceeds — $6,839,125) | | $ | 6,832,641 | |
| | | | | | | | |
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
| (a) | This security is traded on a TBA basis (see Note 1). |
At August 31, 2020, 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: | | | | | | | | | | | | | | | | | | | | |
Australian Government 10-Year Bond September Futures | | | 8 | | | | 9/20 | | | $ | 864,164 | | | $ | 870,300 | | | $ | 6,136 | |
Australian Government 3-Year Bond September Futures | | | 54 | | | | 9/20 | | | | 4,661,210 | | | | 4,658,597 | | | | (2,613 | ) |
Euro-Bobl September Futures | | | 7 | | | | 9/20 | | | | 1,123,872 | | | | 1,124,672 | | | | 800 | |
Euro-BTP December Futures | | | 97 | | | | 12/20 | | | | 16,812,607 | | | | 16,704,139 | | | | (108,468 | ) |
Euro-Buxl 30-Year Bond December Futures | | | 9 | | | | 12/20 | | | | 2,299,658 | | | | 2,312,666 | | | | 13,008 | |
Euro-OAT September Futures | | | 54 | | | | 9/20 | | | | 10,673,674 | | | | 10,792,369 | | | | 118,695 | |
Japan Government 10-Year Bond September Futures | | | 5 | | | | 9/20 | | | | 7,167,949 | | | | 7,155,535 | | | | (12,414 | ) |
U.S. Treasury 5-Year Note December Futures | | | 39 | | | | 12/20 | | | | 4,913,296 | | | | 4,915,218 | | | | 1,922 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 17,066 | |
| | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
259
| | | | | | |
| 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 Government 10-Year Bond December Futures | | | 30 | | | | 12/20 | | | $ | 3,492,946 | | | $ | 3,472,013 | | | $ | 20,933 | |
Euro-BTP September Futures | | | 6 | | | | 9/20 | | | | 1,053,187 | | | | 1,046,922 | | | | 6,265 | |
Euro-Bund September Futures | | | 30 | | | | 9/20 | | | | 6,312,465 | | | | 6,285,399 | | | | 27,066 | |
Euro-Schatz Note December Futures | | | 24 | | | | 12/20 | | | | 3,214,303 | | | | 3,213,730 | | | | 573 | |
U.S. Treasury 10-Year Note December Futures | | | 4 | | | | 12/20 | | | | 557,844 | | | | 557,000 | | | | 844 | |
U.S. Treasury Long Bond December Futures | | | 11 | | | | 12/20 | | | | 1,922,053 | | | | 1,932,906 | | | | (10,853 | ) |
United Kingdom Treasury 10-Year Gilt December Futures | | | 2 | | | | 12/20 | | | | 362,834 | | | | 360,949 | | | | 1,885 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 46,713 | |
| | | | | | | | | | | | | | | | | | | | |
Net Unrealized Appreciation on Open Exchange-Traded Futures Contracts | | | | | | | | | | | | | | | | | | $ | 63,779 | |
| | | | | | | | | | | | | | | | | |
At August 31, 2020, International Fixed Income Fund had deposited cash of $887,000 with a broker or brokers as margin collateral on an open exchange-traded futures contracts.
At August 31, 2020, 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: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Australian Dollar | | | 470,315 | | | | USD | | | | 343,735 | | | | HSBC | | | $ | 346,951 | | | | 9/2/20 | | | $ | 3,216 | |
Australian Dollar | | | 749,000 | | | | USD | | | | 535,177 | | | | SCB | | | | 552,537 | | | | 9/2/20 | | | | 17,360 | |
Australian Dollar | | | 1,398,036 | | | | USD | | | | 1,014,637 | | | | UBS | | | | 1,031,331 | | | | 9/2/20 | | | | 16,694 | |
Australian Dollar | | | 1,952,886 | | | | USD | | | | 1,407,433 | | | | UBS | | | | 1,440,643 | | | | 9/2/20 | | | | 33,210 | |
Australian Dollar | | | 364,000 | | | | USD | | | | 267,711 | | | | UBS | | | | 268,551 | | | | 10/2/20 | | | | 840 | |
Brazilian Real | | | 404,507 | | | | USD | | | | 72,240 | | | | GSC | | | | 73,819 | | | | 9/2/20 | | | | 1,579 | |
British Pound | | | 541,000 | | | | USD | | | | 715,670 | | | | BCLY | | | | 723,181 | | | | 9/2/20 | | | | 7,511 | |
British Pound | | | 80,000 | | | | USD | | | | 104,891 | | | | HSBC | | | | 106,940 | | | | 9/2/20 | | | | 2,049 | |
British Pound | | | 9,064,189 | | | | USD | | | | 11,982,368 | | | | UBS | | | | 12,116,555 | | | | 9/2/20 | | | | 134,187 | |
British Pound | | | 202,000 | | | | USD | | | | 268,186 | | | | UBS | | | | 270,083 | | | | 10/2/20 | | | | 1,897 | |
Canadian Dollar | | | 62,000 | | | | USD | | | | 47,584 | | | | BNP | | | | 47,539 | | | | 9/2/20 | | | | (45 | ) |
Canadian Dollar | | | 1,106,363 | | | | USD | | | | 839,629 | | | | HSBC | | | | 848,308 | | | | 9/2/20 | | | | 8,679 | |
Canadian Dollar | | | 739,888 | | | | USD | | | | 563,011 | | | | HSBC | | | | 567,312 | | | | 9/2/20 | | | | 4,301 | |
Canadian Dollar | | | 40,000 | | | | USD | | | | 30,691 | | | | HSBC | | | | 30,673 | | | | 10/2/20 | | | | (18 | ) |
Chinese Offshore Renminbi | | | 9,357,042 | | | | USD | | | | 1,303,402 | | | | BNP | | | | 1,364,483 | | | | 9/16/20 | | | | 61,081 | |
Chinese Offshore Renminbi | | | 2,214,842 | | | | USD | | | | 308,667 | | | | BOA | | | | 322,977 | | | | 9/16/20 | | | | 14,310 | |
Chinese Offshore Renminbi | | | 19,060,019 | | | | USD | | | | 2,756,330 | | | | BOA | | | | 2,779,411 | | | | 9/16/20 | | | | 23,081 | |
Chinese Offshore Renminbi | | | 700,000 | | | | USD | | | | 98,350 | | | | GSC | | | | 102,076 | | | | 9/16/20 | | | | 3,726 | |
Chinese Onshore Renminbi | | | 2,996,814 | | | | USD | | | | 430,212 | | | | HSBC | | | | 437,078 | | | | 9/16/20 | | | | 6,866 | |
Danish Krone | | | 6,795,000 | | | | USD | | | | 1,082,288 | | | | HSBC | | | | 1,090,022 | | | | 10/1/20 | | | | 7,734 | |
Danish Krone | | | 550,000 | | | | USD | | | | 82,853 | | | | JPM | | | | 88,228 | | | | 10/1/20 | | | | 5,375 | |
Danish Krone | | | 525,000 | | | | USD | | | | 83,324 | | | | JPM | | | | 84,218 | | | | 10/1/20 | | | | 894 | |
Euro | | | 74,000 | | | | USD | | | | 87,552 | | | | BCLY | | | | 88,312 | | | | 9/2/20 | | | | 760 | |
Euro | | | 204,000 | | | | USD | | | | 240,934 | | | | BOA | | | | 243,454 | | | | 9/2/20 | | | | 2,520 | |
Euro | | | 79,000 | | | | USD | | | | 93,052 | | | | JPM | | | | 94,278 | | | | 9/2/20 | | | | 1,226 | |
Euro | | | 1,293,000 | | | | USD | | | | 1,530,358 | | | | JPM | | | | 1,543,066 | | | | 9/2/20 | | | | 12,708 | |
Euro | | | 102,000 | | | | USD | | | | 121,004 | | | | SCB | | | | 121,727 | | | | 9/2/20 | | | | 723 | |
See Notes to Financial Statements.
260
| | | | | | |
| International Fixed Income Fund |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Foreign Currency | | Local
Currency | | | In Exchange
For | | | Counterparty | | | Market Value | | | Settlement
Date | | | Unrealized
Appreciation/
(Depreciation) | |
| Contracts to Buy: (continued) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Euro | | | 1,207,000 | | | | USD | | | | 1,439,423 | | | | BCLY | | | $ | 1,441,403 | | | | 10/2/20 | | | $ | 1,980 | |
Hong Kong Dollar | | | 7,591,492 | | | | USD | | | | 968,000 | | | | BCLY | | | | 979,517 | | | | 9/3/20 | | | | 11,517 | |
Indonesian Rupiah | | | 3,820,515,172 | | | | USD | | | | 265,548 | | | | BNP | | | | 262,008 | | | | 9/16/20 | | | | (3,540 | ) |
Japanese Yen | | | 1,037,614,094 | | | | USD | | | | 9,783,275 | | | | BNP | | | | 9,795,744 | | | | 9/2/20 | | | | 12,469 | |
Japanese Yen | | | 300,749,762 | | | | USD | | | | 2,828,442 | | | | HSBC | | | | 2,839,271 | | | | 9/2/20 | | | | 10,829 | |
Japanese Yen | | | 60,500,000 | | | | USD | | | | 570,082 | | | | UBS | | | | 571,159 | | | | 9/2/20 | | | | 1,077 | |
Japanese Yen | | | 520,352,135 | | | | USD | | | | 4,894,912 | | | | UBS | | | | 4,912,458 | | | | 9/2/20 | | | | 17,546 | |
Japanese Yen | | | 670,000,000 | | | | USD | | | | 6,351,102 | | | | UBS | | | | 6,327,467 | | | | 9/28/20 | | | | (23,635 | ) |
Korean Won | | | 287,735,580 | | | | USD | | | | 242,000 | | | | JPM | | | | 242,291 | | | | 9/4/20 | | | | 291 | |
Korean Won | | | 45,162,620 | | | | USD | | | | 38,000 | | | | SCB | | | | 38,030 | | | | 9/4/20 | | | | 30 | |
Korean Won | | | 332,898,200 | | | | USD | | | | 280,702 | | | | HSBC | | | | 280,427 | | | | 12/16/20 | | | | (275 | ) |
Korean Won | | | 220,483,000 | | | | USD | | | | 185,000 | | | | BOA | | | | 185,732 | | | | 12/18/20 | | | | 732 | |
Malaysian Ringgit | | | 3,903,628 | | | | USD | | | | 935,001 | | | | BNP | | | | 936,636 | | | | 9/24/20 | | | | 1,635 | |
Mexican Peso | | | 8,363,000 | | | | USD | | | | 379,269 | | | | HSBC | | | | 379,916 | | | | 10/21/20 | | | | 647 | |
Mexican Peso | | | 5,185,806 | | | | USD | | | | 227,988 | | | | JPM | | | | 235,582 | | | | 10/21/20 | | | | 7,594 | |
New Taiwan Dollar | | | 10,560,134 | | | | USD | | | | 361,896 | | | | GSC | | | | 359,434 | | | | 9/16/20 | | | | (2,462 | ) |
New Zealand Dollar | | | 507,000 | | | | USD | | | | 336,964 | | | | JPM | | | | 341,566 | | | | 9/2/20 | | | | 4,602 | |
New Zealand Dollar | | | 507,000 | | | | USD | | | | 340,872 | | | | BNP | | | | 341,555 | | | | 10/2/20 | | | | 683 | |
Norwegian Krone | | | 3,215,000 | | | | USD | | | | 351,522 | | | | JPM | | | | 368,022 | | | | 9/2/20 | | | | 16,500 | |
Norwegian Krone | | | 3,215,000 | | | | USD | | | | 365,192 | | | | BCLY | | | | 368,106 | | | | 10/2/20 | | | | 2,914 | |
Peruvian Sol | | | 1,589,953 | | | | USD | | | | 443,502 | | | | DUB | | | | 448,732 | | | | 9/4/20 | | | | 5,230 | |
Russian Ruble | | | 5,823,388 | | | | USD | | | | 81,601 | | | | BNP | | | | 78,273 | | | | 10/13/20 | | | | (3,328 | ) |
Russian Ruble | | | 13,582,309 | | | | USD | | | | 183,846 | | | | UBS | | | | 182,560 | | | | 10/13/20 | | | | (1,286 | ) |
Swedish Krona | | | 675,000 | | | | USD | | | | 77,198 | | | | RBS | | | | 78,038 | | | | 9/2/20 | | | | 840 | |
Swedish Krona | | | 1,515,000 | | | | USD | | | | 174,958 | | | | SCB | | | | 175,151 | | | | 9/2/20 | | | | 193 | |
Swedish Krona | | | 1,515,000 | | | | USD | | | | 173,968 | | | | SCB | | | | 175,213 | | | | 10/2/20 | | | | 1,245 | |
Swedish Krona | | | 620,000 | | | | USD | | | | 71,790 | | | | SCB | | | | 71,705 | | | | 10/2/20 | | | | (85 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | 436,407 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Contracts to Sell: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Australian Dollar | | | 1,864,000 | | | | USD | | | | 1,324,788 | | | | JPM | | | | 1,375,072 | | | | 9/2/20 | | | | (50,284 | ) |
Australian Dollar | | | 1,511,302 | | | | USD | | | | 1,085,703 | | | | UBS | | | | 1,114,887 | | | | 9/2/20 | | | | (29,184 | ) |
Australian Dollar | | | 1,194,935 | | | | USD | | | | 856,393 | | | | UBS | | | | 881,503 | | | | 9/2/20 | | | | (25,110 | ) |
Australian Dollar | | | 470,315 | | | | USD | | | | 343,761 | | | | HSBC | | | | 346,987 | | | | 10/2/20 | | | | (3,226 | ) |
Australian Dollar | | | 1,952,886 | | | | USD | | | | 1,407,574 | | | | UBS | | | | 1,440,793 | | | | 10/2/20 | | | | (33,219 | ) |
Australian Dollar | | | 1,398,036 | | | | USD | | | | 1,014,724 | | | | UBS | | | | 1,031,437 | | | | 10/2/20 | | | | (16,713 | ) |
Brazilian Real | | | 404,507 | | | | USD | | | | 77,935 | | | | GSC | | | | 73,819 | | | | 9/2/20 | | | | 4,116 | |
Brazilian Real | | | 404,507 | | | | USD | | | | 72,165 | | | | GSC | | | | 73,742 | | | | 10/2/20 | | | | (1,577 | ) |
British Pound | | | 259,000 | | | | USD | | | | 341,715 | | | | BCLY | | | | 346,218 | | | | 9/2/20 | | | | (4,503 | ) |
British Pound | | | 92,000 | | | | USD | | | | 120,507 | | | | GSC | | | | 122,981 | | | | 9/2/20 | | | | (2,474 | ) |
British Pound | | | 8,030,189 | | | | USD | | | | 10,542,096 | | | | JPM | | | | 10,734,356 | | | | 9/2/20 | | | | (192,260 | ) |
British Pound | | | 692,000 | | | | USD | | | | 901,870 | | | | JPM | | | | 925,031 | | | | 9/2/20 | | | | (23,161 | ) |
British Pound | | | 871,000 | | | | USD | | | | 1,141,130 | | | | JPM | | | | 1,164,309 | | | | 9/2/20 | | | | (23,179 | ) |
British Pound | | | 9,064,189 | | | | USD | | | | 11,984,580 | | | | UBS | | | | 12,119,244 | | | | 10/2/20 | | | | (134,664 | ) |
Canadian Dollar | | | 727,467 | | | | USD | | | | 544,428 | | | | BNP | | | | 557,788 | | | | 9/2/20 | | | | (13,360 | ) |
Canadian Dollar | | | 1,157,889 | | | | USD | | | | 866,618 | | | | BOA | | | | 887,816 | | | | 9/2/20 | | | | (21,198 | ) |
Canadian Dollar | | | 348,398 | | | | USD | | | | 260,012 | | | | HSBC | | | | 267,135 | | | | 9/2/20 | | | | (7,123 | ) |
Canadian Dollar | | | 1,170,000 | | | | USD | | | | 871,468 | | | | JPM | | | | 897,101 | | | | 9/2/20 | | | | (25,633 | ) |
Canadian Dollar | | | 739,888 | | | | USD | | | | 563,054 | | | | HSBC | | | | 567,362 | | | | 10/2/20 | | | | (4,308 | ) |
Canadian Dollar | | | 1,106,363 | | | | USD | | | | 839,685 | | | | HSBC | | | | 848,382 | | | | 10/2/20 | | | | (8,697 | ) |
Chinese Offshore Renminbi | | | 31,331,903 | | | | USD | | | | 4,373,216 | | | | BOA | | | | 4,568,948 | | | | 9/16/20 | | | | (195,732 | ) |
Chinese Offshore Renminbi | | | 19,060,019 | | | | USD | | | | 2,739,689 | | | | BOA | | | | 2,762,521 | | | | 12/16/20 | | | | (22,832 | ) |
See Notes to Financial Statements.
261
| | | | | | |
| International Fixed Income Fund |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Foreign Currency | | Local
Currency | | | In Exchange
For | | | Counterparty | | | Market Value | | | Settlement
Date | | | Unrealized
Appreciation/
(Depreciation) | |
| Contracts to Sell: (continued) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Chinese Onshore Renminbi | | | 2,996,814 | | | | USD | | | | 418,141 | | | | HSBC | | | $ | 437,078 | | | | 9/16/20 | | | $ | (18,937 | ) |
Chinese Onshore Renminbi | | | 2,996,814 | | | | USD | | | | 427,805 | | | | HSBC | | | | 434,574 | | | | 12/16/20 | | | | (6,769 | ) |
Danish Krone | | | 23,705,124 | | | | USD | | | | 3,593,322 | | | | BCLY | | | | 3,802,664 | | | | 10/1/20 | | | | (209,342 | ) |
Danish Krone | | | 5,525,000 | | | | USD | | | | 886,537 | | | | JPM | | | | 886,295 | | | | 10/1/20 | | | | 242 | |
Danish Krone | | | 3,760,000 | | | | USD | | | | 598,899 | | | | JPM | | | | 603,161 | | | | 10/1/20 | | | | (4,262 | ) |
Danish Krone | | | 5,266,426 | | | | USD | | | | 799,312 | | | | JPM | | | | 844,815 | | | | 10/1/20 | | | | (45,503 | ) |
Danish Krone | | | 605,000 | | | | USD | | | | 95,719 | | | | JPM | | | | 97,051 | | | | 10/1/20 | | | | (1,332 | ) |
Danish Krone | | | 7,737,226 | | | | USD | | | | 1,168,031 | | | | SOG | | | | 1,241,170 | | | | 10/1/20 | | | | (73,139 | ) |
Euro | | | 193,000 | | | | USD | | | | 229,849 | | | | BNP | | | | 230,326 | | | | 9/2/20 | | | | (477 | ) |
Euro | | | 788,000 | | | | USD | | | | 924,847 | | | | BOA | | | | 940,399 | | | | 9/2/20 | | | | (15,552 | ) |
Euro | | | 191,000 | | | | USD | | | | 226,440 | | | | GSC | | | | 227,940 | | | | 9/2/20 | | | | (1,500 | ) |
Euro | | | 11,307,000 | | | | USD | | | | 13,498,721 | | | | JPM | | | | 13,493,774 | | | | 9/2/20 | | | | 4,947 | |
Euro | | | 15,003,764 | | | | USD | | | | 17,752,788 | | | | SCB | | | | 17,905,492 | | | | 9/2/20 | | | | (152,704 | ) |
Euro | | | 25,730,764 | | | | USD | | | | 30,793,076 | | | | SCB | | | | 30,727,740 | | | | 10/2/20 | | | | 65,336 | |
Hong Kong Dollar | | | 691,460 | | | | USD | | | | 88,000 | | | | BNP | | | | 89,218 | | | | 9/3/20 | | | | (1,218 | ) |
Hong Kong Dollar | | | 6,986,651 | | | | USD | | | | 889,000 | | | | SCB | | | | 901,475 | | | | 9/3/20 | | | | (12,475 | ) |
Indonesian Rupiah | | | 3,815,078,000 | | | | USD | | | | 263,000 | | | | JPM | | | | 261,635 | | | | 9/16/20 | | | | 1,365 | |
Israeli New Shekel | | | 137,366 | | | | USD | | | | 39,947 | | | | BOA | | | | 40,961 | | | | 9/15/20 | | | | (1,014 | ) |
Israeli New Shekel | | | 115,249 | | | | USD | | | | 33,606 | | | | BOA | | | | 34,366 | | | | 9/15/20 | | | | (760 | ) |
Japanese Yen | | | 18,500,000 | | | | USD | | | | 174,429 | | | | JPM | | | | 174,652 | | | | 9/2/20 | | | | (223 | ) |
Japanese Yen | | | 52,200,000 | | | | USD | | | | 499,060 | | | | UBS | | | | 492,802 | | | | 9/2/20 | | | | 6,258 | |
Japanese Yen | | | 1,848,515,991 | | | | USD | | | | 17,620,017 | | | | UBS | | | | 17,451,178 | | | | 9/2/20 | | | | 168,839 | |
Japanese Yen | | | 1,100,200,000 | | | | USD | | | | 10,276,932 | | | | UBS | | | | 10,390,268 | | | | 9/28/20 | | | | (113,336 | ) |
Japanese Yen | | | 1,037,614,094 | | | | USD | | | | 9,787,196 | | | | BNP | | | | 9,799,795 | | | | 10/2/20 | | | | (12,599 | ) |
Japanese Yen | | | 300,749,762 | | | | USD | | | | 2,829,502 | | | | HSBC | | | | 2,840,445 | | | | 10/2/20 | | | | (10,943 | ) |
Japanese Yen | | | 520,352,135 | | | | USD | | | | 4,896,685 | | | | UBS | | | | 4,914,490 | | | | 10/2/20 | | | | (17,805 | ) |
Korean Won | | | 332,898,200 | | | | USD | | | | 280,572 | | | | HSBC | | | | 280,321 | | | | 9/4/20 | | | | 251 | |
Korean Won | | | 220,483,000 | | | | USD | | | | 185,000 | | | | HSBC | | | | 185,732 | | | | 12/18/20 | | | | (732 | ) |
Malaysian Ringgit | | | 3,903,628 | | | | USD | | | | 909,195 | | | | BNP | | | | 936,636 | | | | 9/24/20 | | | | (27,441 | ) |
Malaysian Ringgit | | | 3,903,628 | | | | USD | | | | 932,778 | | | | BNP | | | | 934,134 | | | | 12/23/20 | | | | (1,356 | ) |
New Taiwan Dollar | | | 10,560,134 | | | | USD | | | | 363,066 | | | | JPM | | | | 359,434 | | | | 9/16/20 | | | | 3,632 | |
New Taiwan Dollar | | | 10,560,134 | | | | USD | | | | 365,909 | | | | GSC | | | | 359,620 | | | | 12/16/20 | | | | 6,289 | |
New Zealand Dollar | | | 111,000 | | | | USD | | | | 74,203 | | | | HSBC | | | | 74,778 | | | | 10/2/20 | | | | (575 | ) |
New Zealand Dollar | | | 404,000 | | | | USD | | | | 271,654 | | | | JPM | | | | 272,166 | | | | 10/2/20 | | | | (512 | ) |
Peruvian Sol | | | 797,835 | | | | USD | | | | 236,746 | | | | BNP | | | | 225,172 | | | | 9/4/20 | | | | 11,574 | |
Peruvian Sol | | | 792,118 | | | | USD | | | | 223,000 | | | | DUB | | | | 223,559 | | | | 9/4/20 | | | | (559 | ) |
Peruvian Sol | | | 2,294,113 | | | | USD | | | | 663,422 | | | | DUB | | | | 647,373 | | | | 10/5/20 | | | | 16,049 | |
Peruvian Sol | | | 1,275,023 | | | | USD | | | | 363,182 | | | | DUB | | | | 359,739 | | | | 10/28/20 | | | | 3,443 | |
Peruvian Sol | | | 1,589,953 | | | | USD | | | | 441,826 | | | | DUB | | | | 447,906 | | | | 2/26/21 | | | | (6,080 | ) |
Polish Zloty | | | 2,926,032 | | | | USD | | | | 744,987 | | | | HSBC | | | | 794,564 | | | | 9/10/20 | | | | (49,577 | ) |
Romanian New Leu | | | 6,575 | | | | USD | | | | 1,601 | | | | GSC | | | | 1,614 | | | | 11/20/20 | | | | (13 | ) |
Romanian New Leu | | | 7,021 | | | | USD | | | | 1,720 | | | | JPM | | | | 1,724 | | | | 11/20/20 | | | | (4 | ) |
Romanian New Leu | | | 2,392 | | | | USD | | | | 584 | | | | SCB | | | | 587 | | | | 11/20/20 | | | | (3 | ) |
Russian Ruble | | | 19,705,498 | | | | USD | | | | 275,787 | | | | GSC | | | | 264,863 | | | | 10/13/20 | | | | 10,924 | |
South African Rand | | | 65,352 | | | | USD | | | | 3,842 | | | | HSBC | | | | 3,851 | | | | 9/11/20 | | | | (9 | ) |
South African Rand | | | 61,972 | | | | USD | | | | 3,639 | | | | JPM | | | | 3,652 | | | | 9/11/20 | | | | (13 | ) |
Swedish Krona | | | 1,515,000 | | | | USD | | | | 173,911 | | | | SCB | | | | 175,150 | | | | 9/2/20 | | | | (1,239 | ) |
Swiss Franc | | | 22,000 | | | | USD | | | | 24,163 | | | | SCB | | | | 24,339 | | | | 9/2/20 | | | | (176 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | (1,323,351 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Unrealized Depreciation on Open Forward Foreign Currency Contracts | | | | | | | | | | | | | | | | | | | | | | | | | | $ | (886,944 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
262
| | | | | | |
| International Fixed Income Fund |
At August 31, 2020, 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-Month USD-LIBOR | | | 3.398% | | | | PAM | * | | | 12/21/20 | | | | JPM | | | | USD | | | | 6,400,000 | | | $ | (90,264 | ) | | $ | 18,249 | | | $ | (108,513 | ) |
| iBoxx Investment Grade Index | | 3-Month USD-LIBOR | | | 3.404% | | | | PAM | * | | | 12/21/20 | | | | BNP | | | | USD | | | | 2,200,000 | | | | (27,256 | ) | | | 6,205 | | | | (33,461 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | (117,520 | ) | | $ | 24,454 | | | $ | (141,974 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
At August 31, 2020, 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/
(Depreciation) | |
| Pay | | Israeli Shekel 3-Month Rate | | | 0.455% | | | | 5/18/27 | | | | BNP | | | ILS | 700,000 | | | $ | (84 | ) | | $ | — | | | $ | (84 | ) |
| Pay | | Israeli Shekel 3-Month Rate | | | 0.500% | | | | 5/15/27 | | | | GSC | | | ILS | 1,300,000 | | | | 1,072 | | | | 556 | | | | 516 | |
| Pay | | Israeli Shekel 3-Month Rate | | | 1.775% | | | | 4/25/29 | | | | JPM | | | ILS | 1,000,000 | | | | 30,563 | | | | 217 | | | | 30,346 | |
| Pay | | Israeli Shekel 3-Month Rate | | | 1.779% | | | | 4/30/29 | | | | GSC | | | ILS | 800,000 | | | | 24,520 | | | | — | | | | 24,520 | |
| Pay | | Israeli Shekel 3-Month Rate | | | 1.780% | | | | 4/22/29 | | | | GSC | | | ILS | 500,000 | | | | 15,378 | | | | — | | | | 15,378 | |
| Pay | | Israeli Shekel 3-Month Rate | | | 1.786% | | | | 5/1/29 | | | | BNP | | | ILS | 500,000 | | | | 15,411 | | | | — | | | | 15,411 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | $ | 86,860 | | | $ | 773 | | | $ | 86,087 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
At August 31, 2020, International Fixed Income Fund held the following Centrally Cleared Interest Rate Swap Contracts:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Pay/Receive
Floating Rate | | Floating Rate Index | | Fixed
Rate | | | Maturity
Date | | | Payment
Frequency | | | Notional
Amount | | | Market
Value | | | Upfront
Payment
Paid/
(Received) | | | Unrealized
Appreciation/
(Depreciation) | |
| Pay | | Sterling Overnight Index Average | | | 0.500% | | | | 12/16/30 | | | | 12-Month | | | GBP | 800,000 | | | $ | 26,975 | | | $ | 35,470 | | | $ | (8,495 | ) |
| Pay | | Swiss France 6-Month LIBOR | | | (0.500)% | | | | 9/16/25 | | | | 12-Month | | | CHF | 2,800,000 | | | | (39 | ) | | | 4,430 | | | | (4,469 | ) |
| Pay | | 28-Day MXN TIIE Banxico | | | 4.870% | | | | 7/7/25 | | | | 28-Day | | | MXN | 31,300,000 | | | | (13,773 | ) | | | 1,720 | | | | (15,493 | ) |
| Pay | | 3-Month Canadian Bank Bill | | | 1.220% | | | | 3/3/25 | | | | 6-Month | | | CAD | 2,000,000 | | | | 33,658 | | | | 19 | | | | 33,639 | |
| Pay | | 3-Month Canadian Bank Bill | | | 1.270% | | | | 3/3/22 | | | | 6-Month | | | CAD | 1,000,000 | | | | 9,074 | | | | 9 | | | | 9,065 | |
| Pay | | 3-Month Canadian Bank Bill | | | 1.500% | | | | 6/17/22 | | | | 6-Month | | | CAD | 300,000 | | | | 4,406 | | | | 1,320 | | | | 3,086 | |
| Pay | | 3-Month Canadian Bank Bill | | | 1.500% | | | | 6/17/30 | | | | 6-Month | | | CAD | 2,200,000 | | | | 67,239 | | | | (44,506 | ) | | | 111,745 | |
| Pay | | 3-Month Canadian Bank Bill | | | 1.713% | | | | 10/2/29 | | | | 6-Month | | | CAD | 700,000 | | | | 32,894 | | | | 135 | | | | 32,759 | |
| Pay | | 3-Month Canadian Bank Bill | | | 1.900% | | | | 12/18/29 | | | | 6-Month | | | CAD | 2,900,000 | | | | 173,090 | | | | 42,548 | | | | 130,542 | |
| Pay | | 3-Month Canadian Bank Bill | | | 2.500% | | | | 6/19/29 | | | | 6-Month | | | CAD | 1,800,000 | | | | 178,373 | | | | 5,283 | | | | 173,090 | |
| Pay | | 3-Month SEK-STIBOR | | | 0.500% | | | | 6/19/24 | | | | 12-Month | | | SEK | 4,800,000 | | | | 9,787 | | | | 10,994 | | | | (1,207 | ) |
| Pay | | 3-Month USD-LIBOR | | | 2.500% | | | | 12/18/24 | | | | 6-Month | | | USD | 1,400,000 | | | | 139,468 | | | | 137,814 | | | | 1,654 | |
| Pay | | 3-Month USD-LIBOR | | | 2.750% | | | | 12/19/20 | | | | 6-Month | | | USD | 3,700,000 | | | | 47,122 | | | | (11,349 | ) | | | 58,471 | |
| Receive | | 3-Month USD-LIBOR | | | 0.750% | | | | 12/16/22 | | | | 6-Month | | | USD | 5,000,000 | | | | (53,205 | ) | | | (52,189 | ) | | | (1,016 | ) |
| Receive | | 3-Month USD-LIBOR | | | 1.000% | | | | 6/17/22 | | | | 6-Month | | | USD | 1,200,000 | | | | (18,513 | ) | | | (16,825 | ) | | | (1,688 | ) |
| Receive | | 3-Month USD-LIBOR | | | 1.000% | | | | 12/16/25 | | | | 6-Month | | | USD | 2,000,000 | | | | (63,947 | ) | | | (62,454 | ) | | | (1,493 | ) |
| Receive | | 3-Month USD-LIBOR | | | 1.000% | | | | 12/16/30 | | | | 6-Month | | | USD | 1,400,000 | | | | (36,231 | ) | | | (50,787 | ) | | | 14,556 | |
| Receive | | 3-Month USD-LIBOR | | | 1.250% | | | | 6/17/25 | | | | 6-Month | | | USD | 2,500,000 | | | | (116,667 | ) | | | (107,106 | ) | | | (9,561 | ) |
| Receive | | 3-Month USD-LIBOR | | | 1.298% | | | | 8/25/24 | | | | 6-Month | | | USD | 1,400,000 | | | | (42,884 | ) | | | — | | | | (42,884 | ) |
| Receive | | 3-Month USD-LIBOR | | | 1.305% | | | | 8/21/23 | | | | 6-Month | | | USD | 2,000,000 | | | | (64,621 | ) | | | — | | | | (64,621 | ) |
| Receive | | 3-Month USD-LIBOR | | | 1.360% | | | | 9/17/24 | | | | 6-Month | | | USD | 2,350,000 | | | | (75,484 | ) | | | — | | | | (75,484 | ) |
| Receive | | 3-Month USD-LIBOR | | | 1.500% | | | | 12/18/21 | | | | 6-Month | | | USD | 2,700,000 | | | | (51,507 | ) | | | 9,820 | | | | (61,327 | ) |
| Receive | | 3-Month USD-LIBOR | | | 1.500% | | | | 6/17/50 | | | | 6-Month | | | USD | 400,000 | | | | (45,487 | ) | | | (78,820 | ) | | | 33,333 | |
| Receive | | 3-Month USD-LIBOR | | | 1.540% | | | | 2/26/22 | | | | 6-Month | | | USD | 3,200,000 | | | | (63,772 | ) | | | — | | | | (63,772 | ) |
| Receive | | 3-Month USD-LIBOR | | | 1.570% | | | | 2/27/22 | | | | 6-Month | | | USD | 3,900,000 | | | | (79,165 | ) | | | — | | | | (79,165 | ) |
See Notes to Financial Statements.
263
| | | | | | |
| 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 | | 3-Month USD-LIBOR | | | 1.625% | | | | 1/6/30 | | | | 6-Month | | | USD | 4,500,000 | | | $ | (408,397 | ) | | $ | (80,514 | ) | | $ | (327,883 | ) |
| Receive | | 3-Month USD-LIBOR | | | 2.000% | | | | 1/15/30 | | | | 6-Month | | | USD | 2,600,000 | | | | (329,058 | ) | | | (12,276 | ) | | | (316,782 | ) |
| Receive | | 3-Month USD-LIBOR | | | 2.250% | | | | 6/20/28 | | | | 6-Month | | | USD | 900,000 | | | | (122,236 | ) | | | 49,859 | | | | (172,095 | ) |
| Receive | | 3-Month USD-LIBOR | | | 2.500% | | | | 12/18/21 | | | | 6-Month | | | USD | 2,000,000 | | | | (68,417 | ) | | | (27,857 | ) | | | (40,560 | ) |
| Pay | | 3-Month ZAR-SAJIBOR | | | 7.250% | | | | 6/20/23 | | | | 3-Month | | | ZAR | 14,000,000 | | | | 73,481 | | | | (14,709 | ) | | | 88,190 | |
| Pay | | 3-Month ZAR-SAJIBOR | | | 8.500% | | | | 3/15/27 | | | | 3-Month | | | ZAR | 5,200,000 | | | | 47,121 | | | | (349 | ) | | | 47,470 | |
| Pay | | 3-Month ZAR-SAJIBOR | | | 8.750% | | | | 3/16/21 | | | | 3-Month | | | ZAR | 15,700,000 | | | | 34,992 | | | | 1,570 | | | | 33,422 | |
| Pay | | 6-Month EURIBOR | | | (0.150)% | | | | 12/15/25 | | | | 6-Month | | | EUR | 8,500,000 | | | | 98,709 | | | | 69,428 | | | | 29,281 | |
| Pay | | 6-Month EURIBOR | | | 0.250% | | | | 12/15/30 | | | | 12-Month | | | EUR | 3,300,000 | | | | 146,649 | | | | 132,203 | | | | 14,446 | |
| Pay | | 6-Month EURIBOR | | | 1.310% | | | | 6/19/29 | | | | 12-Month | | | EUR | 900,000 | | | | 74,989 | | | | 28,930 | | | | 46,059 | |
| Receive | | 6-Month EURIBOR | | | (0.500)% | | | | 9/16/22 | | | | 12-Month | | | EUR | 2,300,000 | | | | 4,012 | | | | 6,426 | | | | (2,414 | ) |
| Receive | | 6-Month EURIBOR | | | (0.300)% | | | | 12/15/22 | | | | 12-Month | | | EUR | 8,100,000 | | | | (23,969 | ) | | | (12,647 | ) | | | (11,322 | ) |
| Receive | | 6-Month EURIBOR | | | 0.000% | | | | 9/16/50 | | | | 12-Month | | | EUR | 600,000 | | | | 26,422 | | | | 10,935 | | | | 15,487 | |
| Receive | | 6-Month EURIBOR | | | 0.600% | | | | 12/15/50 | | | | 12-Month | | | EUR | 1,500,000 | | | | (259,718 | ) | | | (283,232 | ) | | | 23,514 | |
| Pay | | 6-Month GBP-LIBOR | | | 0.250% | | | | 12/16/22 | | | | 6-Month | | | GBP | 1,100,000 | | | | 3,785 | | | | 789 | | | | 2,996 | |
| Pay | | 6-Month GBP-LIBOR | | | 0.500% | | | | 12/16/25 | | | | 6-Month | | | GBP | 300,000 | | | | 4,784 | | | | 3,305 | | | | 1,479 | |
| Pay | | 6-Month GBP-LIBOR | | | 0.500% | | | | 9/16/50 | | | | 6-Month | | | GBP | 200,000 | | | | (13,078 | ) | | | (12,605 | ) | | | (473 | ) |
| Pay | | 6-Month JPY-LIBOR | | | 0.200% | | | | 6/19/29 | | | | 6-Month | | | JPY | 370,000,000 | | | | 50,160 | | | | 62,314 | | | | (12,154 | ) |
| Receive | | 6-Month JPY-LIBOR | | | 0.400% | | | | 6/19/39 | | | | 6-Month | | | JPY | 80,000,000 | | | | (20,007 | ) | | | 1,430 | | | | (21,437 | ) |
| Receive | | 6-Month JPY-LIBOR | | | 0.500% | | | | 6/19/49 | | | | 6-Month | | | JPY | 40,000,000 | | | | (13,994 | ) | | | (16,224 | ) | | | 2,230 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | $ | (696,979 | ) | | $ | (267,698 | ) | | $ | (429,281 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
Fund Pay
Floating Rate Index | | Fund Receive
Floating Rate Index | | Maturity
Date | | | Notional
Amount | | | Market
Value | | | Upfront
Payment
(Received) | | | Unrealized
Appreciation/
(Depreciation) | |
| | | | | | |
1-Month USD-LIBOR + 0.070% | | 3-Month USD-LIBOR | | | 6/12/22 | | | USD | 1,400,000 | | | $ | 534 | | | $ | — | | | $ | 534 | |
| | | | | | |
1-Month USD-LIBOR + 0.070% | | 3-Month USD-LIBOR | | | 3/7/24 | | | USD | 1,100,000 | | | | 754 | | | | — | | | | 754 | |
| | | | | | |
1-Month USD-LIBOR + 0.073% | | 3-Month USD-LIBOR | | | 4/27/23 | | | USD | 4,600,000 | | | | 1,380 | | | | — | | | | 1,380 | |
| | | | | | |
1-Month USD-LIBOR + 0.084% | | 3-Month USD-LIBOR | | | 4/26/22 | | | USD | 6,700,000 | | | | (762 | ) | | | — | | | | (762 | ) |
| | | | | | |
1-Month USD-LIBOR + 0.084% | | 3-Month USD-LIBOR | | | 6/12/22 | | | USD | 1,900,000 | | | | 193 | | | | — | | | | 193 | |
| | | | | | |
1-Month USD-LIBOR + 0.085% | | 3-Month USD-LIBOR | | | 6/19/22 | | | USD | 7,400,000 | | | | 519 | | | | (555 | ) | | | 1,074 | |
| | | | | | |
1-Month USD-LIBOR + 0.086% | | 3-Month USD-LIBOR | | | 4/12/23 | | | USD | 3,100,000 | | | | 34 | | | | — | | | | 34 | |
| | | | | | |
1-Month USD-LIBOR + 0.088% | | 3-Month USD-LIBOR | | | 5/23/29 | | | USD | 1,000,000 | | | | 1,017 | | | | — | | | | 1,017 | |
| | | | | | |
1-Month USD-LIBOR + 0.091% | | 3-Month USD-LIBOR | | | 3/18/22 | | | USD | 32,200,000 | | | | (6,794 | ) | | | (854 | ) | | | (5,940 | ) |
| | | | | | |
1-Month USD-LIBOR + 0.102% | | 3-Month USD-LIBOR | | | 10/4/24 | | | USD | 2,600,000 | | | | 238 | | | | — | | | | 238 | |
| | | | | | |
1-Month USD-LIBOR + 0.105% | | 3-Month USD-LIBOR | | | 9/27/24 | | | USD | 1,700,000 | | | | 46 | | | | — | | | | 46 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | | | | | | | | | | | $ | (2,841 | ) | | $ | (1,409 | ) | | $ | (1,432 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
At August 31, 2020, International 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 GBP Inflation Linked | | | 3.334% | | | | 8/15/25 | | | | GBP | | | | 400,000 | | | $ | 5,355 | | | $ | (551 | ) | | $ | 5,906 | |
| Pay | | 10-Year GBP Inflation Linked | | | 3.453% | | | | 2/15/30 | | | | GBP | | | | 700,000 | | | | 1,430 | | | | — | | | | 1,430 | |
| Pay | | 10-Year GBP Inflation Linked | | | 3.475% | | | | 8/15/30 | | | | GBP | | | | 400,000 | | | | (8,381 | ) | | | — | | | | (8,381 | ) |
| Pay | | 10-Year GBP Inflation Linked | | | 3.450% | | | | 2/15/30 | | | | GBP | | | | 200,000 | | | | 303 | | | | 83 | | | | 220 | |
See Notes to Financial Statements.
264
| | | | | | |
| International Fixed Income Fund |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Pay/ Receive
Floating Rate | | Floating Rate Index | | Fixed
Rate | | | Maturity
Date | | | Notional
Amount | | | Market
Value | | | Upfront
Premiums
Paid/
(Received) | | | Unrealized
Appreciation/
(Depreciation) | |
| Pay | | 10-Year GBP Inflation Linked | | | 3.386% | | | | 1/15/30 | | | | GBP | | | | 200,000 | | | $ | (877 | ) | | $ | — | | | $ | (877 | ) |
| Pay | | 10-Year GBP Inflation Linked | | | 3.450% | | | | 2/15/30 | | | | GBP | | | | 100,000 | | | | 151 | | | | 285 | | | | (134 | ) |
| Pay | | 10-Year GBP Inflation Linked | | | 3.436% | | | | 2/15/30 | | | | GBP | | | | 100,000 | | | | (98 | ) | | | — | | | | (98 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | $ | (2,117 | ) | | $ | (183 | ) | | $ | (1,934 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
At August 31, 2020, International Fixed Income Fund held the following OTC and Centrally Cleared Credit Default Swap Contracts:
OTC Credit Default Swaps on Sovereign Issues — Buy Protection (1)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Obligation | | Fixed Deal
(Pay) Rate | | | Maturity
Date | | | Payment
Frequency | | | Counterparty | | | Implied Credit
Spread at
8/31/20 (2) | | | Notional
Amount (3) | | | Market
Value | | | Upfront
Payment
(Received) | | | Unrealized
Appreciation/
(Depreciation) | |
China Government International, A+ | | | (1.000 | )% | | | 6/20/23 | | | | 3-Month | | | | BCLY | | | | 0.140 | % | | | USD | | | | 200,000 | | | $ | (5,285 | ) | | $ | (3,815 | ) | | $ | (1,470 | ) |
China Government International, A+ | | | (1.000 | )% | | | 6/20/23 | | | | 3-Month | | | | GSC | | | | 0.140 | % | | | USD | | | | 500,000 | | | | (13,213 | ) | | | (9,654 | ) | | | (3,559 | ) |
Japan Government International Bonds, A+ | | | (1.000 | )% | | | 6/20/22 | | | | 3-Month | | | | BCLY | | | | 0.060 | % | | | USD | | | | 400,000 | | | | (7,672 | ) | | | (14,121 | ) | | | 6,449 | |
Japan Government International Bonds, A+ | | | (1.000 | )% | | | 6/20/22 | | | | 3-Month | | | | BNP | | | | 0.060 | % | | | USD | | | | 700,000 | | | | (13,427 | ) | | | (25,057 | ) | | | 11,630 | |
Japan Government International Bonds, A+ | | | (1.000 | )% | | | 6/20/22 | | | | 3-Month | | | | BOA | | | | 0.060 | % | | | USD | | | | 200,000 | | | | (3,836 | ) | | | (6,913 | ) | | | 3,077 | |
Japan Government International Bonds, A+ | | | (1.000 | )% | | | 6/20/22 | | | | 3-Month | | | | GSC | | | | 0.060 | % | | | USD | | | | 500,000 | | | | (9,590 | ) | | | (17,653 | ) | | | 8,063 | |
Japan Government International Bonds, A+ | | | (1.000 | )% | | | 6/20/22 | | | | 3-Month | | | | HSBC | | | | 0.060 | % | | | USD | | | | 300,000 | | | | (5,754 | ) | | | (10,159 | ) | | | 4,405 | |
South Korea International Bond, AA | | | (1.000 | )% | | | 6/20/23 | | | | 3-Month | | | | BCLY | | | | 0.127 | % | | | USD | | | | 600,000 | | | | (15,981 | ) | | | (15,056 | ) | | | (925 | ) |
South Korea International Bond, AA | | | (1.000 | )% | | | 6/20/23 | | | | 3-Month | | | | BNP | | | | 0.127 | % | | | USD | | | | 400,000 | | | | (10,654 | ) | | | (9,884 | ) | | | (770 | ) |
South Korea International Bond, AA | | | (1.000 | )% | | | 6/20/23 | | | | 3-Month | | | | HSBC | | | | 0.127 | % | | | USD | | | | 200,000 | | | | (5,327 | ) | | | (4,989 | ) | | | (338 | ) |
South Korea International Bond, AA | | | (1.000 | )% | | | 6/20/23 | | | | 3-Month | | | | JPM | | | | 0.127 | % | | | USD | | | | 400,000 | | | | (10,653 | ) | | | (9,580 | ) | | | (1,073 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | (101,392 | ) | | $ | (126,881 | ) | | $ | 25,489 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
OTC Credit Default Swaps on Sovereign Issues — Sell Protection (4)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Obligation | | Fixed Deal
Receive Rate | | | Maturity
Date | | | Payment
Frequency | | | Counterparty | | | Implied Credit
Spread at
8/31/20 (2) | | | Notional
Amount (3) | | | Market
Value | | | Upfront
Premiums
(Received) | | | Unrealized
Appreciation | |
Republic of Italy Government International Bond, BBB | | | 1.000 | % | | | 6/20/25 | | | | 3-Month | | | | BCLY | | | | 1.341 | % | | | USD | | | | 300,000 | | | $ | (4,011 | ) | | $ | (7,348 | ) | | $ | 3,337 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
265
| | | | | | |
| International Fixed Income Fund |
Centrally Cleared — Credit Default Swaps on Corporate Issues and Indexes — Buy Protection (1)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Obligation | | Fixed Deal
Receive Rate | | | Maturity
Date | | | Payment
Frequency | | | Implied Credit
Spread at
8/31/20 (2) | | | Notional
Amount (3) | | | Market
Value | | | Upfront
Payment
Paid/
(Received) | | | Unrealized
Appreciation/
(Depreciation) | |
Basf Se, A | | | 1.000 | % | | | 12/20/20 | | | | 3-Month | | | | 0.054 | % | | | EUR | | | | 100,000 | | | $ | (591 | ) | | $ | (2,908 | ) | | $ | 2,317 | |
Markit iTraxx Europe Series 31 10-Year Index | | | 1.000 | % | | | 6/20/29 | | | | 3-Month | | | | 0.887 | % | | | EUR | | | | 9,900,000 | | | | (137,680 | ) | | | (85,639 | ) | | | (52,041 | ) |
Markit CDX North America Investment Grade Series 34 10-Year Index | | | 1.000 | % | | | 6/20/30 | | | | 3-Month | | | | 1.011 | % | | | USD | | | | 700,000 | | | | (734 | ) | | | 9,283 | | | | (10,017 | ) |
Reynolds American Inc., BBB+ | | | 1.000 | % | | | 12/20/20 | | | | 3-Month | | | | 0.022 | % | | | USD | | | | 500,000 | | | | (2,520 | ) | | | (14,731 | ) | | | 12,211 | |
United Utilities PLC, BBB- | | | 1.000 | % | | | 12/20/20 | | | | 3-Month | | | | 0.068 | % | | | EUR | | | | 200,000 | | | | (1,171 | ) | | | (3,440 | ) | | | 2,269 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | $ | (142,696 | ) | | $ | (97,435 | ) | | $ | (45,261 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Centrally Cleared — Credit Default Swaps on Corporate Issues — Sell Protection (4)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Obligation | | Fixed Deal
Receive Rate | | | Maturity
Date | | | Payment
Frequency | | | Implied Credit
Spread at
8/31/20 (2) | | | Notional
Amount (3) | | | Market
Value | | | Upfront
Payment
Paid/
(Received) | | | Unrealized
Appreciation/
(Depreciation) | |
Daimler AG, A- | | | 1.000 | % | | | 12/20/20 | | | | 3-Month | | | | 0.183 | % | | | EUR | | | | 100,000 | | | $ | 543 | | | $ | 1,651 | | | $ | (1,108 | ) |
Ryder System Inc., BBB+ | | | 1.000 | % | | | 6/20/22 | | | | 3-Month | | | | 0.379 | % | | | USD | | | | 100,000 | | | | 1,328 | | | | 1,866 | | | | (538 | ) |
Shell International Finance BV, AA- | | | 1.000 | % | | | 12/20/26 | | | | 3-Month | | | | 0.542 | % | | | EUR | | | | 200,000 | | | | 7,411 | | | | (5,906 | ) | | | 13,317 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | $ | 9,282 | | | $ | (2,389 | ) | | $ | 11,671 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
At August 31, 2020, 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
(Received) | | | Unrealized
Appreciation | |
| | | | | | | | |
Floating rate equal to 3-Month USD-LIBOR based on the notional amount of currency received | | Floating rate equal to 3-Month AUD-LIBOR plus 0.423% based on the notional amount of currency delivered | | | 8/1/29 | | |
| GSC | | | USD | 1,449,000 | | | AUD | 2,100,000 | | | $ | 112,560 | | | $ | (3,920 | ) | | $ | 116,480 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (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 amounts to be received or delivered may be determined and exchanged at a future date, based on the effective date of the cross-currency swap. |
See Notes to Financial Statements.
266
| | | | | | |
| International Fixed Income Fund |
At August 31, 2020, International Fixed Income Fund deposited cash collateral with brokers in the amount of $1,244,000 for open centrally cleared swap contracts.
At August 31, 2020, International Fixed Income Fund had cash collateral from brokers in the amount of $357,000 for open OTC swap contracts.
| | | | | | |
Currency Abbreviations used in this schedule: | | Counterparty Abbreviations used in this schedule: |
| ARS | | — Argentine Peso | | BCLY | | — Barclays Bank PLC |
| AUD | | — Australian Dollar | | BNP | | — BNP Paribas SA |
| CAD | | — Canadian Dollar | | BOA | | — Bank of America |
| CHF | | — Swiss Franc | | CITI | | — Citigroup Global Markets Inc. |
| 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 |
| JPY | | — Japanese Yen | | SOG | | — Societe Generale SA |
| KRW | | — Korean Won | | UBS | | — UBS Securities LLC |
| MXN | | — Mexican Peso | | | | |
| MYR | | — Malaysian Ringgit | | | | |
| NZD | | — New Zealand Dollar | | | | |
| PEN | | — Peruvian Sol | | | | |
| PLN | | — Polish Zloty | | | | |
| SEK | | — Swedish Krona | | | | |
| SGD | | — Singapore Dollar | | | | |
| USD | | — United States Dollars | | | | |
| ZAR | | — South African Rand | | | | |
See Notes to Financial Statements.
267
| | | | | | | | | | |
| Municipal Bond Fund | | | |
| | | |
Face
Amount† | | | Rating†† | | Security | | Value | |
|
| | MUNICIPAL BONDS — 91.0% | |
|
| | Arizona — 6.8% | |
| $ | 2,815,000 | | | A+ | | Chandler Industrial Development Authority, Revenue Bonds, Variable AMT Intel Corp., 5.000% due 6/1/49(a)(b) | | $ | 3,253,802 | |
| | | | | | Industrial Development Authority of the County of Pima (The), Revenue Bonds: | | | | |
| | | | | | Facility American Leadership Academy: | | | | |
| | 350,000 | | | NR | | 4.125% due 6/15/29(c) | | | 350,133 | |
| | 250,000 | | | NR | | 4.750% due 6/15/37(c) | | | 250,493 | |
| | 280,000 | | | NR | | Imagine East Mesa Charter School, 3.250% due 7/1/24(c) | | | 281,397 | |
| | 500,000 | | | BB+ | | Maricopa County Industrial Development Authority, Revenue Bonds, Paradise School Project Paragon Management Inc., 4.000% due 7/1/26(c) | | | 526,545 | |
| | | | | | | | | | |
| | | | | | Total Arizona | | | 4,662,370 | |
| | | | | | | | | | |
|
| | California — 4.5% | |
| | 500,000 | | | CCC- | | California County Tobacco Securitization Agency, Revenue Bonds, Asset-Backed Gold Country Funding Corp., 5.250% due 6/1/46 | | | 500,010 | |
| | | | | | Golden State Tobacco Securitization Corp., Revenue Bonds: | | | | |
| | 35,000 | | | NR | | Series A1, 5.000% due 6/1/47 | | | 35,988 | |
| | 290,000 | | | NR | | Series A2, 5.000% due 6/1/47 | | | 298,184 | |
| | 1,000,000 | | | A3(d) | | Kaweah Delta Health Care District, Revenue Bonds, Series B, 4.000% due 6/1/45 | | | 1,068,340 | |
| | 595,000 | | | AA | | Riverside County Public Financing Authority, Tax Allocation, Series A, BAM-Insured, 4.000% due 10/1/40 | | | 663,342 | |
| | 475,000 | | | Aa2(d) | | Sonoma Valley Unified School District, GO, 4.000% due 8/1/38 | | | 563,473 | |
| | | | | | | | | | |
| | | | | | Total California | | | 3,129,337 | |
| | | | | | | | | | |
|
| | Colorado — 9.1% | |
| | 750,000 | | | A+ | | City & County of Denver, CO, Airport System Revenue, Revenue Bonds, AMT, Series A, 5.000% due 11/15/30(b) | | | 924,420 | |
| | 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 | | | 1,624,693 | |
| | 1,500,000 | | | AA- | | Colorado Health Facilities Authority, Revenue Bonds, Sisters of Charity of Leavenworth Inc., Series A, 5.000% due 1/1/44 | | | 1,648,830 | |
| | 2,000,000 | | | AA | | University of Colorado Hospital Authority, Revenue Bonds, Series A, 4.000% due 11/15/36 | | | 2,091,340 | |
| | | | | | | | | | |
| | | | | | Total Colorado | | | 6,289,283 | |
| | | | | | | | | | |
|
| | Connecticut — 1.2% | |
| | 790,000 | | | AAA | | Connecticut Housing Finance Authority, Revenue Bonds, AMT, Series B2, 2.300% due 11/15/23(b) | | | 822,532 | |
| | | | | | | | | | |
|
| | District of Columbia — 1.5% | |
| | 2,075,000 | | | WD(e) | | District of Columbia Tobacco Settlement Financing Corp., Revenue Bonds, Capital Appreciation Asset-Backed, Series B, zero coupon, due 6/15/46 | | | 265,932 | |
| | 700,000 | | | A+ | | Metropolitan Washington Airports Authority, Revenue Bonds, AMT, Series A, 4.000% due
10/1/36(b) | | | 774,802 | |
| | | | | | | | | | |
| | | | | | Total District of Columbia | | | 1,040,734 | |
| | | | | | | | | | |
|
| | Florida — 4.9% | |
| | 100,000 | | | Ba2(d) | | Capital Trust Agency Inc., Revenue Bonds, Viera Charter Schools Inc. Project, 4.000% due
10/15/29(c) | | | 102,126 | |
| | 1,400,000 | | | A+ | | City of Cape Coral, FL, Water & Sewer Revenue, Revenue Bonds, 5.000% due 10/1/39 | | | 1,729,028 | |
| | 305,000 | | | NR | | Finley Woods Community Development District, Special Assessment, Area One, 3.150% due 5/1/25 | | | 307,150 | |
| | 190,000 | | | NR | | Florida Development Finance Corp., Revenue Bonds, AMT, Waste Pro USA Inc. Project, 5.000% due 5/1/29(b)(c) | | | 203,169 | |
| | 115,000 | | | NR | | Harbor Bay Community Development District, Special Assessment, Area One, Series A2, 3.100% due 5/1/24 | | | 116,568 | |
See Notes to Financial Statements.
268
| | | | | | | | | | |
| Municipal Bond Fund | | | |
| | | |
Face
Amount† | | | Rating†† | | Security | | Value | |
|
| | Florida — 4.9% — (continued) | |
| $ | 275,000 | | | NR | | Lakewood Ranch Stewardship District, Special Assessment, Isles Lakewood Ranch Project, 3.875% due 5/1/29 | | $ | 287,386 | |
| | 310,000 | | | NR | | Seminole County Industrial Development Authority, Revenue Bonds, Legacy Pointe at UCF Project, 3.750% due 11/15/25 | | | 289,720 | |
| | 255,000 | | | NR | | Southern Groves Community Development District No. 5, Special Assessment, 2.875% due 5/1/24 | | | 256,267 | |
| | 100,000 | | | NR | | Westside Community Development District, Special Assessment, 3.500% due 5/1/24(c) | | | 101,142 | |
| | | | | | | | | | |
| | | | | | Total Florida | | | 3,392,556 | |
| | | | | | | | | | |
|
| | Georgia — 4.3% | |
| | 2,610,000 | | | Aa1(d) | | Main Street Natural Gas Inc., Revenue Bonds, Series B, 4.000% due 8/1/49(a) | | | 2,965,456 | |
| | | | | | | | | | |
|
| | Illinois — 4.8% | |
| | | | | | Illinois Finance Authority, Revenue Bonds: | | | | |
| | | | | | Advocate Health Care: | | | | |
| | 785,000 | | | Aa3(d) | | Pre-refunded 6/1/22 @ 100, 4.000% due 6/1/47(f) | | | 835,860 | |
| | 10,000 | | | NR | | Pre-refunded 6/1/22 @ 100, 4.000% due 6/1/47(f) | | | 10,648 | |
| | 440,000 | | | AA | | Unrefunded Portion, 4.000% due 6/1/47 | | | 452,672 | |
| | 600,000 | | | A | | DePaul University, 5.000% due 10/1/36 | | | 694,470 | |
| | 1,000,000 | | | AA+ | | Northwestern University, 5.000% due 12/1/28 | | | 1,336,860 | |
| | | | | | | | | | |
| | | | | | Total Illinois | | | 3,330,510 | |
| | | | | | | | | | |
|
| | Indiana — 1.7% | |
| | 1,000,000 | | | A+ | | Indiana Municipal Power Agency, Power Supply, Revenue Bonds, Series C, 5.000% due 1/1/37 | | | 1,189,850 | |
| | | | | | | | | | |
|
| | Iowa — 1.8% | |
| | 1,000,000 | | | A3(d) | | PEFA Inc., Revenue Bonds, 5.000% due 9/1/49(a) | | | 1,221,100 | |
| | | | | | | | | | |
|
| | Louisiana — 0.8% | |
| | | | | | New Orleans Aviation Board, AMT, General Airport North Terminal, Revenue Bonds, Series B: | | | | |
| | 250,000 | | | A | | 5.000% due 1/1/37(b) | | | 290,370 | |
| | 250,000 | | | A | | 5.000% due 1/1/38(b) | | | 289,682 | |
| | | | | | | | | | |
| | | | | | Total Louisiana | | | 580,052 | |
| | | | | | | | | | |
|
| | Maryland — 1.2% | |
| | | | | | City of Baltimore, MD, Tax Allocation, Harbor Point Project: | | | | |
| | 200,000 | | | NR | | Series A, 2.600% due 6/1/21(c) | | | 199,644 | |
| | 200,000 | | | NR | | Series A, 2.750% due 6/1/24(c) | | | 198,026 | |
| | 125,000 | | | NR | | Series A, 2.800% due 6/1/25(c) | | | 123,461 | |
| | 135,000 | | | NR | | Series A, 2.850% due 6/1/26(c) | | | 133,231 | |
| | 160,000 | | | NR | | Series B, 3.000% due 6/1/24(c) | | | 158,706 | |
| | | | | | | | | | |
| | | | | | Total Maryland | | | 813,068 | |
| | | | | | | | | | |
|
| | Massachusetts — 1.8% | |
| | 1,000,000 | | | AA | | Massachusetts Bay Transportation Authority, Revenue Bonds, Series A1, 5.000% due 7/1/44 | | | 1,220,210 | |
| | | | | | | | | | |
|
| | Michigan — 0.6% | |
| | 400,000 | | | BB+ | | Michigan Finance Authority, Revenue Bonds, Cesar Chavez Academy Project, 3.250% due 2/1/24 | | | 401,664 | |
| | | | | | | | | | |
|
| | Nevada — 2.2% | |
| | 100,000 | | | Ba2(d) | | City of Sparks, NV, Revenue Bonds, Senior Sales Tax Anticipation, Series A, 2.500% due 6/15/24(c) | | | 99,354 | |
| | 1,130,000 | | | AAA | | State of Nevada Highway Improvement Revenue, Revenue Bonds, 5.000% due 12/1/31 | | | 1,416,715 | |
| | | | | | | | | | |
| | | | | | Total Nevada | | | 1,516,069 | |
| | | | | | | | | | |
|
| | New Hampshire — 1.4% | |
| | 1,000,000 | | | B | | New Hampshire Business Finance Authority, Revenue Bonds, Casella Waste Systems Inc., 2.950% due 4/1/29(b)(c) | | | 991,740 | |
| | | | | | | | | | |
See Notes to Financial Statements.
269
| | | | | | | | | | |
| Municipal Bond Fund | | | |
| | | |
Face
Amount† | | | Rating†† | | Security | | Value | |
|
| | New Jersey — 4.6% | |
| $ | 1,340,000 | | | A3(d) | | Manalapan-Englishtown Regional Board of Education, GO, FGIC & NPFG-Insured, 5.750% due 12/1/22 | | $ | 1,496,994 | |
| | 215,000 | | | NR | | New Jersey Economic Development Authority, Revenue Bonds, Golden Door Charter School Project, 5.125% due 11/1/29(c) | | | 229,235 | |
| | 1,250,000 | | | A+ | | New Jersey Transportation Trust Fund Authority, Revenue Bonds, Highway Reimbursement, 5.000% due 6/15/30 | | | 1,445,238 | |
| | | | | | | | | | |
| | | | | | Total New Jersey | | | 3,171,467 | |
| | | | | | | | | | |
|
| | New Mexico — 1.8% | |
| | 1,000,000 | | | BBB | | City of Farmington, NM, Revenue Bonds, Public Service Company of New Mexico, 1.875% due
4/1/33(a) | | | 1,012,070 | |
| | | | | | City of Santa Fe, NM, Revenue Bonds, El Castillo Retirement Project: | | | | |
| | 100,000 | | | BB+(e) | | 2.250% due 5/15/24 | | | 97,148 | |
| | 100,000 | | | BB+(e) | | 2.625% due 5/15/25 | | | 97,719 | |
| | | | | | | | | | |
| | | | | | Total New Mexico | | | 1,206,937 | |
| | | | | | | | | | |
|
| | New York — 4.1% | |
| | 1,170,000 | | | AA | | New York City Trust for Cultural Resources, Revenue Bonds, Juilliard School, Series A, 5.000% due 1/1/33 | | | 1,512,307 | |
| | 1,000,000 | | | AA+ | | New York State Dormitory Authority, Revenue Bonds, Bidding Group, Series B, Unrefunded Portion, 5.000% due 2/15/43 | | | 1,205,090 | |
| | 140,000 | | | WD(e) | | Niagara Tobacco Asset Securitization Corp., Revenue Bonds, Asset-Backed Bonds, 5.000% due 5/15/21 | | | 142,576 | |
| | | | | | | | | | |
| | | | | | Total New York | | | 2,859,973 | |
| | | | | | | | | | |
|
| | Ohio — 1.2% | |
| | 160,000 | | | NR | | Buckeye Tobacco Settlement Financing Authority, Revenue Bonds, Series B2, Class 2, 5.000% due 6/1/55 | | | 176,000 | |
| | 600,000 | | | Ba1(d) | | Ohio Air Quality Development Authority, Revenue Bonds, Ohio Valley Electric Corp., Series A, 2.875% due 2/1/26 | | | 623,742 | |
| | | | | | | | | | |
| | | | | | Total Ohio | | | 799,742 | |
| | | | | | | | | | |
|
| | Oregon — 1.3% | |
| | 830,000 | | | Aa2(d) | | Washington & Clackamas Counties School District No. 23J Tigard-Tualatin, GO, NPFG-Insured, 5.000% due 6/15/22 | | | 901,463 | |
| | | | | | | | | | |
|
| | Pennsylvania — 0.5% | |
| | 375,000 | | | A- | | Pennsylvania Economic Development Financing Authority, Revenue Bonds, Variable AMT Waste Management Inc. Project, 0.450% due 8/1/45(a)(b) | | | 374,944 | |
| | | | | | | | | | |
|
| | Puerto Rico — 1.9% | |
| | | | | | Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, Revenue Bonds: | | | | |
| | 334,000 | | | NR | | Series A1, zero coupon, due 7/1/24 | | | 308,549 | |
| | 664,000 | | | NR | | Series A1, 4.750% due 7/1/53 | | | 697,891 | |
| | 90,000 | | | NR | | Series A1, 5.000% due 7/1/58 | | | 96,093 | |
| | 216,000 | | | NR | | Series A2, 4.784% due 7/1/58 | | | 227,515 | |
| | | | | | | | | | |
| | | | | | Total Puerto Rico | | | 1,330,048 | |
| | | | | | | | | | |
|
| | South Carolina — 10.5% | |
| | 1,535,000 | | | Aa3(d) | | Clemson University, Revenue Bonds, 5.000% due 5/1/29 | | | 1,817,962 | |
| | 2,000,000 | | | A | | South Carolina Jobs-Economic Development Authority, Revenue Bonds, Prisma Health Obligation Group, Series A, 5.000% due 5/1/28 | | | 2,491,800 | |
| | 2,985,000 | | | Aa3(d) | | South Carolina Transportation Infrastructure Bank, Revenue Bonds, Remarketing, Series B, 0.554% (1-Month USD-LIBOR + 0.450%) due 10/1/31(a) | | | 2,965,329 | |
| | | | | | | | | | |
| | | | | | Total South Carolina | | | 7,275,091 | |
| | | | | | | | | | |
See Notes to Financial Statements.
270
| | | | | | | | | | |
| Municipal Bond Fund | | | |
| | | |
Face
Amount† | | | Rating†† | | Security | | Value | |
|
| | Tennessee — 1.5% | |
| $ | 970,000 | | | Aa2(d) | | Tennessee Housing Development Agency, Revenue Bonds, Series A, 3.850% due 1/1/35 | | $ | 1,043,768 | |
| | | | | | | | | | |
|
| | Texas — 8.2% | |
| | 1,000,000 | | | A1(d) | | City of Houston, TX, Airport System Revenue, Revenue Bonds, AMT, Series C, 5.000% due 7/1/26(b) | | | 1,210,690 | |
| | 295,000 | | | A | | Lower Colorado River Authority, Revenue Bonds, LCRA Transmission Services Corp. Project, 4.000% due 5/15/36 | | | 307,611 | |
| | 300,000 | | | BBB+ | | Mission Economic Development Corp., Revenue Bonds, AMT, Republic Services Inc. Project, Series A, 0.500% due 5/1/50(a)(b) | | | 299,979 | |
| | 505,000 | | | NR | | New Hope Cultural Education Facilities Finance Corp., Revenue Bonds, Beta Academy, 3.375% due 8/15/29(c) | | | 502,485 | |
| | 500,000 | | | AAA | | North East, TX, Independent School District, GO, PSF-GTD-Insured, 5.250% due 2/1/28 | | | 662,625 | |
| | 1,000,000 | | | A+ | | North Texas Tollway Authority, Revenue Bonds, Series A, 5.000% due 1/1/39 | | | 1,174,070 | |
| | 1,250,000 | | | AA | | San Antonio Water System, Revenue Bonds, Junior Lien Revenue and Refunding Bonds, Series C, 5.000% due 5/15/46 | | | 1,523,713 | |
| | | | | | | | | | |
| | | | | | Total Texas | | | 5,681,173 | |
| | | | | | | | | | |
|
| | Utah — 0.9% | |
| | 500,000 | | | A- | | Utah Associated Municipal Power Systems, Revenue Bonds, Horse Butte Wind, Series A, 5.000% due 9/1/32 | | | 629,245 | |
| | | | | | | | | | |
|
| | Washington — 2.0% | |
| | 1,000,000 | | | AA+ | | King County School District No. 401 Highline, GO, SCH BD GTY-Insured, 5.000% due 12/1/35 | | | 1,284,740 | |
| | 100,000 | | | BB(e) | | Washington State Housing Finance Commission, Revenue Bonds, Transforming Age Projects, Series A, 5.000% due 1/1/26(c) | | | 106,282 | |
| | | | | | | | | | |
| | | | | | Total Washington | | | 1,391,022 | |
| | | | | | | | | | |
|
| | Wisconsin — 2.9% | |
| | | | | | Wisconsin Health & Educational Facilities Authority, Revenue Bonds: | | | | |
| | 1,300,000 | | | AA- | | Aspirus Inc. Obligation Group, 4.000% due 8/15/40 | | | 1,400,932 | |
| | 500,000 | | | AA | | Milwaukee Regional Medical Center Thermal Service Obligated Group, 5.000% due 4/1/37 | | | 619,415 | |
| | | | | | | | | | |
| | | | | | King County School District No. 401 Highline, GO, SCH BD GTY-Insured, 5.000% due 12/1/35 | | | 2,020,347 | |
| | | | | | | | | | |
|
| | Wyoming — 1.0% | |
| | 680,000 | | | A | | County of Laramie, WY, Revenue Bonds, Cheyenne Regional Medical Center Project, 5.000% due 5/1/37 | | | 694,130 | |
| | | | | | | | | | |
| | | | | | TOTAL MUNICIPAL BONDS
(Cost — $58,883,023) | | | 62,945,881 | |
| | | | | | | | | | |
|
| | SHORT-TERM INVESTMENTS — 8.5% | |
|
| | TIME DEPOSITS — 8.5% | |
| | 71,779 | | | | | Barclays Bank PLC — London, 0.010% due 9/1/20 | | | 71,779 | |
| | 910,374 | | | | | Citibank — New York, 0.010% due 9/1/20 | | | 910,374 | |
| | 4,868,478 | | | | | JPMorgan Chase & Co. — New York, 0.010% due 9/1/20 | | | 4,868,478 | |
| | | | | | | | | | |
| | | | | | TOTAL SHORT-TERM INVESTMENTS
(Cost — $5,850,631) | | | 5,850,631 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS — 99.5%
(Cost — $64,733,654) | | | 68,796,512 | |
| | | | | | | | | | |
| | | | | | Other Assets in Excess of Liabilities — 0.5% | | | 350,818 | |
| | | | | | | | | | |
| | | | | | TOTAL NET ASSETS — 100.0% | | $ | 69,147,330 | |
| | | | | | | | | | |
| † | 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. |
See Notes to Financial Statements.
271
| (a) | Variable rate security. Interest rate disclosed is that which was in effect at August 31, 2020. |
| (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, 2020, amounts to $4,557,169 and represents 6.6% of net assets. |
| (d) | Rating by Moody’s Investors Service. All ratings are unaudited. |
| (e) | Rating by Fitch Ratings Service. All ratings are unaudited. |
| (f) | Pre-refunded bonds are escrowed with government obligations and/or government agency securities and are considered by the Manager to be triple-A rated even if the issuer has not applied for new ratings. |
At August 31, 2020, 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 | | $ | 64,743,303 | | | $ | 4,137,845 | | | $ | (84,636 | ) | | $ | 4,053,209 | |
| | |
Abbreviations used in this schedule: |
| BAM | | — Build America Mutual |
| FGIC | | — Financial Guarantee Insurance Company |
| GO | | — General Obligation |
| LIBOR | | — London Interbank Offered Rate |
| NPFG | | — National Public Finance Guarantee Corporation |
| PLC | | — Public Limited Company |
| PSF-GTD | | — Permanent School Fund Guaranteed |
| SCH BD GTY | | — School Bond Guaranty |
See pages 301-302 for definitions of ratings.
| | | | |
| Summary of Investments by Industry^ | | | |
General Obligation | | | 15.9 | % |
Health Care Providers & Services | | | 15.5 | |
Development | | | 9.5 | |
Transportation | | | 8.1 | |
Higher Education | | | 7.8 | |
School District | | | 7.1 | |
Airport | | | 5.1 | |
Water and Sewer | | | 4.7 | |
Utilities | | | 4.1 | |
Education | | | 3.8 | |
Power | | | 2.3 | |
Tobacco Settlement | | | 2.1 | |
Pollution | | | 1.9 | |
Single Family Housing | | | 1.5 | |
Multi Family Housing | | | 1.2 | |
Nursing Homes | | | 0.9 | |
Short-Term Investments | | | 8.5 | |
| | | | |
| | | 100.0 | % |
| | | | |
| ^ | As a percentage of total investments. |
See Notes to Financial Statements.
272
| | | | | | | | | | |
| Inflation-Linked Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | | | Security | | Value | |
|
| | U.S. GOVERNMENT AGENCIES & OBLIGATIONS — 106.1% | |
| | | | | | U.S. Treasury Inflation Indexed Bonds: | | | | |
| $ | 1,654,857 | | | | | 2.375% due 1/15/25 | | $ | 1,942,950 | |
| | 6,264,450 | | | | | 2.000% due 1/15/26(a) | | | 7,459,416 | |
| | 1,965,204 | | | | | 1.750% due 1/15/28 | | | 2,417,176 | |
| | 4,926,745 | | | | | 3.625% due 4/15/28 | | | 6,827,888 | |
| | 1,911,562 | | | | | 2.500% due 1/15/29 | | | 2,525,971 | |
| | 1,955,508 | | | | | 3.875% due 4/15/29 | | | 2,846,425 | |
| | 34,857 | | | | | 3.375% due 4/15/32(b) | | | 53,628 | |
| | 1,645,967 | | | | | 2.125% due 2/15/40 | | | 2,542,873 | |
| | 3,119,580 | | | | | 2.125% due 2/15/41 | | | 4,876,664 | |
| | 2,053,602 | | | | | 0.750% due 2/15/42(b) | | | 2,595,167 | |
| | 437,303 | | | | | 0.625% due 2/15/43 | | | 541,123 | |
| | 5,055,060 | | | | | 1.375% due 2/15/44 | | | 7,226,605 | |
| | 240,849 | | | | | 0.750% due 2/15/45(b) | | | 308,443 | |
| | 4,667,563 | | | | | 1.000% due 2/15/46 | | | 6,336,988 | |
| | 1,698,056 | | | | | 0.875% due 2/15/47 | | | 2,273,364 | |
| | 1,589,038 | | | | | 1.000% due 2/15/48 | | | 2,218,009 | |
| | 461,256 | | | | | 0.250% due 2/15/50 | | | 549,925 | |
| | | | | | U.S. Treasury Inflation Indexed Notes: | | | | |
| | 1,781,685 | | | | | 0.125% due 4/15/21 | | | 1,797,213 | |
| | 4,089,046 | | | | | 0.125% due 1/15/22 | | | 4,174,437 | |
| | 12,616,596 | | | | | 0.125% due 4/15/22(a)(b) | | | 12,910,212 | |
| | 15,199,348 | | | | | 0.125% due 1/15/23(a) | | | 15,765,957 | |
| | 6,870,699 | | | | | 0.625% due 4/15/23 | | | 7,239,616 | |
| | 1,878,262 | | | | | 0.625% due 1/15/24 | | | 2,012,986 | |
| | 1,839,888 | | | | | 0.500% due 4/15/24 | | | 1,971,047 | |
| | 803,840 | | | | | 0.125% due 10/15/24 | | | 861,345 | |
| | 7,985,232 | | | | | 0.625% due 1/15/26(a) | | | 8,890,026 | |
| | 7,996,268 | | | | | 0.125% due 7/15/26(a) | | | 8,764,671 | |
| | 4,407,619 | | | | | 0.375% due 1/15/27 | | | 4,904,781 | |
| | 7,598,403 | | | | | 0.375% due 7/15/27(a) | | | 8,536,084 | |
| | 7,501,943 | | | | | 0.500% due 1/15/28(a) | | | 8,504,503 | |
| | 9,766,865 | | | | | 0.750% due 7/15/28(a) | | | 11,381,849 | |
| | 4,379,961 | | | | | 0.875% due 1/15/29 | | | 5,160,419 | |
| | 3,091,015 | | | | | 0.250% due 7/15/29 | | | 3,500,165 | |
| | 541,080 | | | | | 0.125% due 1/15/30(b) | | | 605,785 | |
| | 4,092,304 | | | | | 0.125% due 7/15/30 | | | 4,614,311 | |
| | 130,000 | | | | | U.S. Treasury Notes, 1.750% due 12/31/24(b) | | | 138,552 | |
| | | | | | | | | | |
| | | | | | TOTAL U.S. GOVERNMENT AGENCIES & OBLIGATIONS
(Cost — $147,706,555) | | | 165,276,574 | |
| | | | | | | | | | |
|
| | MORTGAGE-BACKED SECURITIES — 18.6% | |
|
| | FNMA — 16.9% | |
| | | | | | Federal National Mortgage Association (FNMA): | | | | |
| | 3,483,770 | | | | | 4.000% due 7/1/49 | | | 3,716,001 | |
| | 300,000 | | | | | 4.000% due 9/1/50 | | | 319,793 | |
| | 5,000,000 | | | | | 4.000% due 9/1/50(c) | | | 5,329,492 | |
| | 3,900,000 | | | | | 3.500% due 10/1/50(c) | | | 4,117,395 | |
| | 2,700,000 | | | | | 2.000% due 11/1/50(c) | | | 2,772,420 | |
| | 5,800,000 | | | | | 2.500% due 11/1/50(c) | | | 6,081,085 | |
| | 3,800,000 | | | | | 3.000% due 11/1/50(c) | | | 3,993,941 | |
| | | | | | | | | | |
| | | | | | TOTAL FNMA | | | 26,330,127 | |
| | | | | | | | | | |
See Notes to Financial Statements.
273
| | | | | | | | | | |
| Inflation-Linked Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | GNMA — 1.7% | |
| $ | 2,600,000 | | | | | Government National Mortgage Association (GNMA), 2.500% due 11/01/2050(c) | | $ | 2,729,695 | |
| | | | | | | | | | |
| | | | | | TOTAL MORTGAGE-BACKED SECURITIES
(Cost — $29,026,488) | | | 29,059,822 | |
| | | | | | | | | | |
|
| | COLLATERALIZED MORTGAGE OBLIGATIONS — 14.1% | |
| | | | | | Alternative Loan Trust: | | | | |
| | 310,412 | | | Caa2(d) | | Series 2006-HY11, Class A1, 0.295% (1-Month USD-LIBOR + 0.120%) due 6/25/36(e) | | | 294,134 | |
| | 50,660 | | | WR(d) | | Series 2007-4CB, Class 1A35, 6.000% due 4/25/37 | | | 51,477 | |
| | 637,913 | | | Caa3(d) | | Alternative Loan Trust Resecuritization, Series 2008-2R, Class 1A1, 6.000% due 8/25/37(e) | | | 631,612 | |
| | 1,787 | | | AA | | American Home Mortgage Investment Trust, Series 2005-2, Class 4A1, 1.815% (6-Month USD-LIBOR + 1.500%) due 9/25/45(e) | | | 1,782 | |
| | 18,140 | | | AAA | | B&M CLO Ltd., Series 2014-1A, Class A1R, 1.001% (3-Month USD-LIBOR + 0.730%) due 4/16/26(e)(f) | | | 18,129 | |
| | 546,365 | | | Aaa(d) | | Bancorp Commercial Mortgage Trust, Series 2019-CRE6, Class A, 1.212% (1-Month USD-LIBOR + 1.050%) due 9/15/36(e)(f) | | | 539,136 | |
| | 57,482 | | | NR | | Bayview Opportunity Master Fund IVa Trust, Series 2019-SBR1, Class A1, step bond to yield, 3.475% due 6/28/34(f) | | | 57,618 | |
| | 24,964 | | | WR(d) | | Bear Stearns Adjustable Rate Mortgage Trust, Series 2003-3, Class 3A2, 4.084% due 5/25/33(e) | | | 24,563 | |
| | 273,147 | | | CCC | | Bear Stearns Asset-Backed Securities Trust, Series 2004-1, Class M1, 1.150% (1-Month USD-LIBOR + 0.975%) due 6/25/34(e) | | | 274,245 | |
| | 63,918 | | | AA+ | | Chevy Chase Funding LLC Mortgage-Backed Certificates, Series 2004-A, Class A1, 0.535% (1-Month USD-LIBOR + 0.360%) due 3/25/35(e)(f) | | | 63,214 | |
| | | | | | CHL Mortgage Pass-Through Trust: | | | | |
| | 920,891 | | | WR(d) | | Series 2005-HYB6, Class 2A1, 3.208% due 10/20/35(e) | | | 906,313 | |
| | 96,317 | | | WR(d) | | Series 2005-HYB9, Class 2A1, 2.207% (1-Year USD-LIBOR + 1.750%) due 2/20/36(e) | | | 93,407 | |
| | 128,443 | | | Caa2(d) | | Series 2006-6, Class A4, 6.000% due 4/25/36 | | | 97,551 | |
| | 187,526 | | | WD(g) | | Series 2007-1, Class A1, 6.000% due 3/25/37 | | | 152,797 | |
| | | | | | Citigroup Mortgage Loan Trust: | | | | |
| | 6,596 | | | B- | | Series 2004-HYB2, Class 2A, 4.023% due 3/25/34(e) | | | 6,642 | |
| | 253,158 | | | Caa2(d) | | Series 2007-AR4, Class 1A1A, 3.925% due 3/25/37(e) | | | 237,195 | |
| | 89,991 | | | NR | | Series 2019-B, Class A1, 3.258% due 4/25/66(e)(f) | | | 90,810 | |
| | 30,717 | | | WR(d) | | Citigroup Mortgage Loan Trust Inc., Series 2004-NCM2, Class 1CB1, 5.500% due 8/25/34 | | | 31,523 | |
| | | | | | Countrywide Asset-Backed Certificates: | | | | |
| | 425,163 | | | CC | | Series 2007-1, Class 1A, 0.315% (1-Month USD-LIBOR + 0.140%) due 7/25/37(e) | | | 381,717 | |
| | 89,929 | | | D | | Series 2007-6, Class 1A, 0.375% (1-Month USD-LIBOR + 0.200%) due 9/25/37(e) | | | 77,467 | |
| | 508,177 | | | CCC | | Series 2007-8, Class 1A1, 0.365% (1-Month USD-LIBOR + 0.190%) due 11/25/37(e) | | | 472,634 | |
| | 739,297 | | | NR | | Credit Suisse Commercial Mortgage, Series 2015-3R, Class 5A2, 0.325% (1-Month USD-LIBOR + 0.150%) due 9/29/36(e)(f) | | | 718,124 | |
| | 182,581 | | | NR | | Credit Suisse Mortgage Capital Certificates, Series 2019-RPL4, Class A1, 3.512% due 8/26/58(f) | | | 184,036 | |
| | | | | | Credit-Based Asset Servicing & Securitization LLC: | | | | |
| | 153,000 | | | BB | | Series 2005-CB3, Class M4, 1.225% (1-Month USD-LIBOR + 1.050%) due 6/25/35(e) | | | 143,760 | |
| | 997,062 | | | CC | | Series 2007-CB6, Class A3, 0.395% (1-Month USD-LIBOR + 0.220%) due 7/25/37(e)(f) | | | 780,956 | |
| | 592,254 | | | AAA | | Crown Point CLO 5 Ltd., Series 2018-5A, Class A, 1.213% (3-Month USD-LIBOR + 0.940%) due 7/17/28(e)(f) | | | 588,746 | |
| | 149,011 | | | D | | CWABS Asset-Backed Certificates Trust, Series 2004-7, Class MV5, 1.900% (1-Month USD-LIBOR + 1.725%) due 11/25/34(e) | | | 147,199 | |
| | 952,501 | | | CCC | | Ellington Loan Acquisition Trust, Series 2007-1, Class A1, 1.275% (1-Month USD-LIBOR + 1.100%) due 5/25/37(e)(f) | | | 938,288 | |
| | 500,000 | EUR | | AAA | | Euro-Galaxy V CLO BV, Series 2016-5A, Class ARV, 0.820% (3-Month EURIBOR + 0.820%) due 11/10/30(e)(f) | | | 596,752 | |
| | 95,231 | | | Aaa(d) | | Evans Grove CLO Ltd., Series 2018-1A, Class A1, 1.291% (3-Month USD-LIBOR + 0.920%) due 5/28/28(e)(f) | | | 94,264 | |
| | 904,451 | | | NR | | Fannie Mae REMICS, Series 2019-5, Class FA, 0.575% (1-Month USD-LIBOR + 0.400%) due 3/25/49(e) | | | 907,461 | |
See Notes to Financial Statements.
274
| | | | | | | | | | |
| Inflation-Linked Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | COLLATERALIZED MORTGAGE OBLIGATIONS — 14.1% — (continued) | |
| | | | | | Government National Mortgage Association: | | | | |
| $ | 418,163 | | | NR | | Series 2018-H15, Class FG, 2.266% (1-Year USD-LIBOR + 0.150%) due 8/20/68(e) | | $ | 415,381 | |
| | 861,462 | | | NR | | Series 2019-20, Class FE, 0.558% (1-Month USD-LIBOR + 0.400%) due 2/20/49(e) | | | 861,270 | |
| | 29,904 | | | D | | GSAA Trust, Series 2006-7, Class AF4A, step bond to yield, 6.220% due 3/25/46 | | | 22,006 | |
| | 5,137 | | | AA+ | | HarborView Mortgage Loan Trust, Series 2005-9, Class 2A1A, 0.498% (1-Month USD-LIBOR + 0.340%) due 6/20/35(e) | | | 5,020 | |
| | 785,055 | GBP | | AAA | | Hawksmoor Mortgages, Series 2019-1A, Class A, 1.112% (Sterling Overnight Index Average + 1.050%) due 5/25/53(e)(f) | | | 1,052,215 | |
| | 65,377 | | | B- | | IndyMac INDX Mortgage Loan Trust, Series 2005-16IP, Class A1, 0.815% (1-Month USD-LIBOR + 0.640%) due 7/25/45(e) | | | 57,867 | |
| | 220,183 | | | Aaa(d) | | JMP Credit Advisors CLO IIIR Ltd., Series 2014-1RA, Class A, 1.123% (3-Month USD-LIBOR + 0.850%) due 1/17/28(e)(f) | | | 219,002 | |
| | 423,126 | | | CCC | | JP Morgan Alternative Loan Trust, Series 2006-A1, Class 1A1, 0.635% (1-Month USD-LIBOR + 0.460%) due 3/25/36(e) | | | 390,284 | |
| | 200,000 | | | A- | | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-FL12, Class A, 1.612% (1-Month USD-LIBOR + 1.450%) due 12/15/31(e)(f) | | | 193,780 | |
| | 260,000 | EUR | | AAA | | Jubilee CLO BV, Series 2015-16A, Class A1R, 0.442% (0.800% — 3-Month EURIBOR) due 12/15/29(f)(i) | | | 308,319 | |
| | 85,825 | | | NR | | Legacy Mortgage Asset Trust, Series 2019-GS3, Class A1, step bond to yield, 3.750% due 4/25/59(f) | | | 87,980 | |
| | 428,094 | | | WD(g) | | Lehman XS Trust, Series 2007-20N, Class A1, 1.325% (1-Month USD-LIBOR + 1.150%) due 12/25/37(e) | | | 396,659 | |
| | 190,104 | | | CC | | Long Beach Mortgage Loan Trust, Series 2006-7, Class 2A2, 0.295% (1-Month USD-LIBOR + 0.120%) due 8/25/36(e) | | | 99,186 | |
| | 269,533 | | | Aaa(d) | | Monarch Grove CLO, Series 2018-1A, Class A1, 1.125% (3-Month USD-LIBOR + 0.880%) due 1/25/28(e)(f) | | | 267,924 | |
| | 555,891 | | | AAA | | Mountain View CLO X Ltd., Series 2015-10A, Class AR, 1.086% (3-Month USD-LIBOR + 0.820%) due 10/13/27(e)(f) | | | 552,562 | |
| | 13,290 | | | AA+ | | MRFC Mortgage Pass-Through Trust, Series 2000-TBC2, Class A1, 0.642% (1-Month USD-LIBOR + 0.480%) due 6/15/30(e) | | | 13,061 | |
| | | | | | New Residential Mortgage Loan Trust: | | | | |
| | 69,335 | | | NR | | Series 2018-3A, Class A1, 4.500% due 5/25/58(e)(f) | | | 74,986 | |
| | 361,347 | | | Aaa(d) | | Series 2019-RPL3, Class A1, 2.750% due 7/25/59(e)(f) | | | 377,608 | |
| | | | | | Option One Mortgage Loan Trust: | | | | |
| | 119,271 | | | CC | | Series 2007-1, Class 1A1, 0.315% (1-Month USD-LIBOR + 0.140%) due 1/25/37(e) | | | 86,999 | |
| | 114,990 | | | CC | | Series 2007-2, Class 1A1, 0.315% (1-Month USD-LIBOR + 0.140%) due 3/25/37(e) | | | 88,504 | |
| | 700,000 | EUR | | AAA | | OZLME BV, Series 1A, Class AR, 0.820% (3-Month EURIBOR + 0.820%) due 1/18/30(e)(f) | | | 834,294 | |
| | 600,000 | | | B+ | | RASC Trust, Series 2006-KS3, Class M1, 0.505% (1-Month USD-LIBOR + 0.330%) due 4/25/36(e) | | | 578,433 | |
| | 583,830 | | | WD(g) | | Residential Asset Securitization Trust, Series 2006-A10, Class A5, 6.500% due 9/25/36 | | | 363,772 | |
| | | | | | Securitized Asset-Backed Receivables LLC Trust: | | | | |
| | 576,119 | | | CC | | Series 2006-FR3, Class A3, 0.425% (1-Month USD-LIBOR + 0.250%) due 5/25/36(e) | | | 394,525 | |
| | 113,637 | | | CC | | Series 2006-HE2, Class A2C, 0.325% (1-Month USD-LIBOR + 0.150%) due 7/25/36(e) | | | 63,307 | |
| | 286,399 | | | B | | Sequoia Mortgage Trust, Series 6, Class A, 0.801% (1-Month USD-LIBOR + 0.640%) due 4/19/27(e) | | | 277,572 | |
| | 900,000 | | | Aaa(d) | | Sound Point Clo XIV Ltd., Series 2016-3A, Class AR, 1.406% (3-Month USD-LIBOR + 1.150%) due 1/23/29(e)(f) | | | 894,482 | |
| | | | | | Soundview Home Loan Trust: | | | | |
| | 277,267 | | | CC | | Series 2007-OPT1, Class 1A1, 0.375% (1-Month USD-LIBOR + 0.200%) due 6/25/37(e) | | | 229,707 | |
| | 76,502 | | | CCC | | Series 2007-OPT2, Class 2A3, 0.355% (1-Month USD-LIBOR + 0.180%) due 7/25/37(e) | | | 72,004 | |
| | 411,227 | | | NR | | SpringCastle Funding Asset-Backed Notes, Series 2019-AA, Class A, 3.200% due 5/27/36(f) | | | 416,861 | |
| | 204,566 | | | Aaa(d) | | Symphony CLO XIV Ltd., Series 2014-14A, Class AR, 1.218% (3-Month USD-LIBOR + 0.950%) due 7/14/26(e)(f) | | | 203,834 | |
| | 258,386 | | | Aaa(d) | | Symphony CLO XVII Ltd., Series 2016-17A, Class AR, 1.155% (3-Month USD-LIBOR + 0.880%) due 4/15/28(e)(f) | | | 257,700 | |
See Notes to Financial Statements.
275
| | | | | | | | | | |
| Inflation-Linked Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | COLLATERALIZED MORTGAGE OBLIGATIONS — 14.1% — (continued) | |
| $ | 44,905 | | | AAA | | THL Credit Wind River CLO Ltd., Series 2012-1A, Class AR2, 1.155% (3-Month USD-LIBOR + 0.880%) due 1/15/26(e)(f) | | $ | 44,823 | |
| | 353,420 | | | Aaa(d) | | TICP CLO III-2 Ltd., Series 2018-3R, Class A, 1.112% (3-Month USD-LIBOR + 0.840%) due 4/20/28(e)(f) | | | 352,385 | |
| | 500,000 | | | Aaa(d) | | Venture 35 CLO Ltd., Series 2018-35A, Class AS, 1.408% (3-Month USD-LIBOR + 1.150%) due 10/22/31(e)(f) | | | 500,873 | |
| | 308,523 | | | AAA | | Venture XII CLO Ltd., Series 2012-12A, Class ARR, 1.056% (3-Month USD-LIBOR + 0.800%) due 2/28/26(e)(f) | | | 306,713 | |
| | 677,030 | | | Aaa(d) | | Venture XVI CLO Ltd., Series 2014-16A, Class ARR, 1.125% (3-Month USD-LIBOR + 0.850%) due 1/15/28(e)(f) | | | 670,978 | |
| | 316,681 | | | Aaa(d) | | Venture XVII CLO Ltd., Series 2014-17A, Class ARR, 1.155% (3-Month USD-LIBOR + 0.880%) due 4/15/27(e)(f) | | | 313,644 | |
| | | | | | WaMu Mortgage Pass-Through Certificates Trust: | | | | |
| | 12,744 | | | Baa1(d) | | Series 2002-AR2, Class A, 1.932% (11th District Cost of Funds Index + 1.250%) due 2/27/34(e) | | | 12,365 | |
| | 4,895 | | | BB | | Series 2002-AR17, Class 1A, 2.371% (1-Year Treasury Average Rate + 1.200%) due 11/25/42(e) | | | 4,632 | |
| | | | | | | | | | |
| | | | | | TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost — $21,869,088) | | | 21,967,069 | |
| | | | | | | | | | |
|
| | SOVEREIGN BONDS — 8.2% | |
|
| | Argentina — 0.0% | |
| | 727,000 | ARS | | NR | | Bonos del Tesoro Nacional en Pesos Badlar, 31.557% (Argentina Deposit Rates Badlar Private Banks ARS 30 to 35 Days Index + 2.000%) due 4/3/22(e) | | | 10,151 | |
| | 4,740,000 | ARS | | NR | | Ciudad Autonoma de Buenos Aires, 34.506% (Argentina Deposit Rates Badlar Private Banks ARS 30 to 35 Days Index + 5.000%) due 1/23/22(e) | | | 66,985 | |
| | | | | | | | | | |
| | | | | | Total Argentina | | | 77,136 | |
| | | | | | | | | | |
|
| | Australia — 1.2% | |
| | | | | | Australia Government Bonds: | | | | |
| | 1,040,000 | AUD | | Aaa(d) | | 1.250% due 2/21/22 | | | 915,928 | |
| | 890,000 | AUD | | Aaa(d) | | 3.000% due 9/20/25 | | | 978,881 | |
| | | | | | | | | | |
| | | | | | Total Australia | | | 1,894,809 | |
| | | | | | | | | | |
|
| | Brazil — 0.7% | |
| | 5,768,000 | BRL | | BB- | | Brazil Letras do Tesouro Nacional, zero coupon, due 10/1/20 | | | 1,050,958 | |
| | | | | | | | | | |
|
| | Canada — 0.3% | |
| | | | | | Canadian Government Real Return Bonds: | | | | |
| | 468,654 | CAD | | AAA | | 4.250% due 12/1/26 | | | 479,567 | |
| | 52,783 | CAD | | AAA | | 0.500% due 12/1/50 | | | 48,472 | |
| | | | | | | | | | |
| | | | | | Total Canada | | | 528,039 | |
| | | | | | | | | | |
|
| | Italy — 2.9% | |
| | 3,593,664 | EUR | | NR | | Italy Buoni Poliennali Del Tesoro, 1.400% due 5/26/25(f) | | | 4,446,073 | |
| | | | | | | | | | |
|
| | Japan — 2.0% | |
| | | | | | Japanese Government CPI Linked Bonds: | | | | |
| | 140,242,660 | JPY | | A1(d) | | 0.100% due 3/10/28 | | | 1,330,865 | |
| | 181,356,570 | JPY | | A1(d) | | 0.100% due 3/10/29 | | | 1,724,450 | |
| | | | | | | | | | |
| | | | | | Total Japan | | | 3,055,315 | |
| | | | | | | | | | |
|
| | New Zealand — 0.7% | |
| | 970,000 | NZD | | AA+ | | New Zealand Government Bonds Inflation Linked Bonds, 2.500% due 9/20/35 | | | 1,029,235 | |
| | | | | | | | | | |
|
| | Peru — 0.3% | |
| | 1,400,000 | PEN | | A- | | Peru Government Bonds Inflation Linked Bonds, 6.150% due 8/12/32 | | | 466,504 | |
| | | | | | | | | | |
See Notes to Financial Statements.
276
| | | | | | | | | | |
| 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 | | $ | 215,564 | |
| | | | | | | | | | |
| | | | | | TOTAL SOVEREIGN BONDS
(Cost — $12,177,698) | | | 12,763,633 | |
| | | | | | | | | | |
|
| | CORPORATE BONDS & NOTES — 5.7% | |
|
| | Banks — 2.9% | |
| | 100,000 | EUR | | Ba1(d) | | Banco Santander SA, Junior Subordinated Notes, 6.250% (5-Year EUR Swap Rate + 5.640%)(e)(h) | | | 119,190 | |
| | 200,000 | EUR | | Baa3(d) | | Cooperatieve Rabobank UA, Junior Subordinated Notes, 6.625% (6.697% — 5-Year EUR Swap Rate)(h)(i) | | | 248,495 | |
| | 700,000 | | | BBB- | | Deutsche Bank AG, Senior Unsecured Notes, 4.250% due 10/14/21 | | | 724,249 | |
| | 100,000 | GBP | | BBB | | HSBC Holdings PLC, Subordinated Notes, 6.000% due 3/29/40 | | | 178,347 | |
| | 200,000 | | | BBB+ | | Lloyds Banking Group PLC, Senior Unsecured Notes, 1.106% (3-Month USD-LIBOR + 0.800%) due 6/21/21(e) | | | 200,987 | |
| | | | | | Natwest Group PLC: | | | | |
| | 240,000 | | | B+ | | Junior Subordinated Notes, 8.625% (5-Year USD Swap Rate + 7.598%)(e)(h) | | | 252,814 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 200,000 | | | BBB | | 1.847% (3-Month USD-LIBOR + 1.550%) due 6/25/24(e) | | | 201,847 | |
| | 200,000 | | | BBB | | 4.519% (3-Month USD-LIBOR + 1.550%) due 6/25/24(e) | | | 218,333 | |
| | 15,392,343 | DKK | | AAA | | Nykredit Realkredit AS, Covered Notes, 1.000% due 10/1/50 | | | 2,460,465 | |
| | | | | | | | | | |
| | | | | | Total Banks | | | 4,604,727 | |
| | | | | | | | | | |
|
| | Diversified Financial Services — 2.2% | |
| | 18,561,079 | DKK | | AAA | | Jyske Realkredit AS, Covered Notes, 1.000% due 10/1/50 | | | 2,969,219 | |
| | 2,641,835 | DKK | | AAA | | Nordea Kredit Realkreditaktieselskab, Covered Notes, 1.000% due 10/1/50 | | | 421,238 | |
| | | | | | | | | | |
| | | | | | Total Diversified Financial Services | | | 3,390,457 | |
| | | | | | | | | | |
|
| | Electric — 0.2% | |
| | 200,000 | | | BBB+ | | NextEra Energy Capital Holdings Inc., Company Guaranteed Notes, 2.800% due 1/15/23 | | | 210,606 | |
| | 100,000 | | | BBB+ | | Sempra Energy, Senior Unsecured Notes, 0.763% (3-Month USD-LIBOR + 0.450%) due 3/15/21(e) | | | 100,158 | |
| | | | | | | | | | |
| | | | | | Total Electric | | | 310,764 | |
| | | | | | | | | | |
|
| | Oil & Gas — 0.4% | |
| | 505,000 | | | BB- | | Petrobras Global Finance BV, Company Guaranteed Notes, 5.093% due 1/15/30(f) | | | 527,094 | |
| | 2,120,000 | ARS | | NA | | YPF SA, Senior Unsecured Notes, 35.837% (Argentina Deposit Rates Badlar Private Banks ARS 30 to 35 Days Index + 6.000%) due 3/4/21(e) | | | 31,227 | |
| | | | | | | | | | |
| | | | | | Total Oil & Gas | | | 558,321 | |
| | | | | | | | | | |
| | | | | | TOTAL CORPORATE BONDS & NOTES
(Cost — $8,415,472) | | | 8,864,269 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS
(Cost — $219,195,301) | | | 237,931,367 | |
| | | | | | | | | | |
|
| | SHORT-TERM INVESTMENTS — 0.7% | |
|
| | TIME DEPOSITS — 0.7% | |
| | | | | | ANZ National Bank — London: | | | | |
| | 46,468 | AUD | | | | 0.010% due 9/1/20 | | | 34,279 | |
| | 692,204 | | | | | 0.010% due 9/1/20 | | | 692,204 | |
| | | | | | BBH — Grand Cayman: | | | | |
| | 8,117 | NZD | | | | 0.010% due 9/1/20 | | | 5,469 | |
| | 441 | SGD | | | | 0.010% due 9/1/20 | | | 324 | |
| | 344 | CAD | | | | 0.030% due 9/1/20 | | | 264 | |
| | 4,554 | ZAR | | | | 4.500% due 9/1/20 | | | 269 | |
| | | | | | BNP Paribas — Paris: | | | | |
| | 98,990 | EUR | | | | (0.690)% due 9/1/20 | | | 118,135 | |
| | 272,692 | DKK | | | | (0.650)% due 9/1/20 | | | 43,721 | |
See Notes to Financial Statements.
277
| | | | | | | | | | |
| Inflation-Linked Fixed Income Fund | |
| | | |
Face
Amount† | | | | | Security | | Value | |
|
| | TIME DEPOSITS — 0.7% — (continued) | |
| | | | | | Sumitomo Mitsui Banking Corp. — Tokyo | | | | |
| | 5,686,356 | JPY | | | | (0.230)% due 9/1/20 | | $ | 53,683 | |
| | 48,469 | GBP | | | | 0.010% due 9/1/20 | | | 64,791 | |
| | | | | | | | | | |
| | | | | | TOTAL SHORT-TERM INVESTMENTS
(Cost — $1,013,139) | | | 1,013,139 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS IN SECURITIES
(Cost — $220,208,440) | | | 238,944,506 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS IN PURCHASED OPTIONS
(Cost — $3,517) | | | 2,047 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS — 153.4%
(Cost — $220,211,957) | | | 238,946,553 | |
| | | | | | | | | | |
| | | | | | Liabilities in Excess of Other Assets — (53.4)% | | | (83,153,559 | ) |
| | | | | | | | | | |
| | | | | | TOTAL NET ASSETS — 100.0% | | $ | 155,792,994 | |
| | | | | | | | | | |
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
| †† | All ratings are by Standard & Poor’s Rating Service, unless otherwise noted. All ratings are unaudited. |
| (a) | Position, or portion thereof, has been segregated to collateralize reverse repurchase agreements. |
| (b) | All or a portion of this security is held at the broker as collateral for open OTC derivative instruments. |
| (c) | This security is traded on a TBA basis (see Note 1). |
| (d) | Rating by Moody’s Investors Service. All ratings are unaudited. |
| (e) | Variable rate security. Interest rate disclosed is that which was in effect at August 31, 2020. |
| (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, 2020, amounts to $17,574,203 and represents 11.3% of net assets. |
| (g) | Rating by Fitch Ratings Service. All ratings are unaudited. |
| (h) | Security is perpetual in nature and has no stated maturity date. |
| (i) | Inverse Floating Rate Security — interest rate fluctuates with an inverse relationship to an associated interest rate. Indicated rate is the effective rate as of August 31, 2020. |
At August 31, 2020, 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 | | $ | 221,484,886 | | | $ | 19,725,276 | | | $ | (2,263,609 | ) | | $ | 17,461,667 | |
| | |
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 |
See Notes to Financial Statements.
278
| | | | | | |
| Inflation-Linked Fixed Income Fund |
| | | | |
| Summary of Investments by Security Type^ | |
U.S. Government Agencies & Obligations | | | 69.2 | % |
Mortgage-Backed Securities | | | 12.2 | |
Collateralized Mortgage Obligations | | | 9.2 | |
Sovereign Bonds | | | 5.3 | |
Corporate Bonds & Notes | | | 3.7 | |
Purchased Options | | | 0.0 | * |
Short-Term Investments | | | 0.4 | |
| | | | |
| | | 100.0 | % |
| | | | |
| ^ | As a percentage of total investments. |
| * | Position represents less than 0.05%. |
At August 31, 2020, 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 | |
| | 46 | | | $ | 5,795,641 | | | U.S. Treasury 5-Year Note October Futures, Put | | | CITI | | | | 9/25/20 | | | | $ 118.50 | | | $ | 46 | |
| | 110 | | | | 15,300,313 | | | U.S. Treasury 10-Year Note October Futures, Call | | | CITI | | | | 9/25/20 | | | | $ 160.00 | | | | 110 | |
| | 24 | | | | 3,231,600 | EUR | | Euro-Bobl November Futures, Put | | | SOG | | | | 10/23/20 | | | | EUR 129.75 | | | | 143 | |
| | 233 | | | | 26,141,435 | EUR | | Euro-Schatz December Futures, Call | | | SOG | | | | 11/20/20 | | | | EUR 117.00 | | | | 1,390 | |
| | 60 | | | | 6,731,700 | EUR | | Euro-Schatz October Futures, Call | | | SOG | | | | 9/25/20 | | | | EUR 114.30 | | | | 358 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | Total Options on Futures | | | | | | | | | | | | | | $ | 2,047 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | TOTAL OPTIONS CONTRACTS PURCHASED
(Cost — $3,517) | | | | | | | | | | | | | | $ | 2,047 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
At August 31, 2020, 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 | |
| | 800,000 | | | | $529,264 | | | OTC Markit CDX North America Investment Grade Series 34 5-Year
Index, Put | | | BNP | | | | 12/16/20 | | | | 1.000% | | | $ | 1,235 | |
| | 300,000 | | | | 198,474 | | | OTC Markit CDX North America Investment Grade Series 34 5-Year
Index, Put | | | DUB | | | | 12/16/20 | | | | 1.000% | | | | 463 | |
| | 200,000 | | | | 132,316 | | | OTC Markit CDX North America Investment Grade Series 34 5-Year
Index, Put | | | DUB | | | | 11/18/20 | | | | 1.050% | | | | 194 | |
| | 200,000 | | | | 107,978 | EUR | | OTC Markit iTraxx Europe Series 33 5-Year Index, Call | | | BNP | | | | 11/18/20 | | | | 0.475% | | | | 190 | |
| | 400,000 | | | | 215,956 | EUR | | OTC Markit iTraxx Europe Series 33 5-Year Index, Call | | | BNP | | | | 9/16/20 | | | | 0.500% | | | | 120 | |
| | 1,100,000 | | | | 593,879 | EUR | | OTC Markit iTraxx Europe Series 33 5-Year Index, Call | | | DUB | | | | 10/21/20 | | | | 0.500% | | | | 922 | |
| | 400,000 | | | | 215,956 | EUR | | OTC Markit iTraxx Europe Series 33 5-Year Index, Call | | | JPM | | | | 10/21/20 | | | | 0.500% | | | | 335 | |
| | 200,000 | | | | 107,978 | EUR | | OTC Markit iTraxx Europe Series 33 5-Year Index, Put | | | BNP | | | | 10/21/20 | | | | 0.750% | | | | 168 | |
| | 200,000 | | | | 107,978 | EUR | | OTC Markit iTraxx Europe Series 33 5-Year Index, Put | | | BNP | | | | 11/18/20 | | | | 0.900% | | | | 191 | |
| | 400,000 | | | | 215,956 | EUR | | OTC Markit iTraxx Europe Series 33 5-Year Index, Put | | | BNP | | | | 9/16/20 | | | | 1.100% | | | | 2 | |
| | 1,100,000 | | | | 593,879 | EUR | | OTC Markit iTraxx Europe Series 33 5-Year Index, Put | | | DUB | | | | 10/21/20 | | | | 1.200% | | | | 161 | |
| | 400,000 | | | | 215,956 | EUR | | OTC Markit iTraxx Europe Series 33 5-Year Index, Put | | | JPM | | | | 10/21/20 | | | | 1.200% | | | | 59 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | Total Credit Default Swaptions | | | | | | | | | | | | | | $ | 4,040 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | TOTAL OPTIONS CONTRACTS WRITTEN
(Premiums received — $9,122) | | | | | | | | | | | | | | $ | 4,040 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
See Notes to Financial Statements.
279
| | | | | | |
| Inflation-Linked Fixed Income Fund |
At August 31, 2020, Inflation-Linked Fixed Income Fund held the following Reverse Repurchase Agreements:
| | | | | | | | |
| | |
Face
Amounts† | | | Security | | Value | |
| | | | Bank of America: | | | | |
| $ | 1,855,500 | | | 0.150% due 9/8/20 | | $ | 1,855,500 | |
| | 33,166,906 | | | 0.160% due 9/1/20 | | | 33,166,906 | |
| | 24,321,419 | | | 0.170% due 10/6/20 | | | 24,321,419 | |
| | 941,000 | | | 0.180% due 10/8/20 | | | 941,000 | |
| | 1,167,500 | | | 0.180% due 10/15/20 | | | 1,167,500 | |
| | | | | | | | |
| | | | TOTAL REVERSE REPURCHASE AGREEMENTS
(Proceeds — $61,452,325) | | $ | 61,452,325 | |
| | | | | | | | |
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
For the year ended August 31, 2020, the daily average borrowing and interest rate under the reverse repurchase agreements were $48,509,764 and 1.164%, respectively.
At August 31, 2020, Inflation-Linked Fixed Income Fund had open exchange-traded futures contracts as described below.
The unrealized appreciation (depreciation) on the open contracts reflected in the accompanying financial statements were as follows:
| | | | | | | | | | | | | | | | | | | | |
| Open Futures Contracts | | Number of
Contracts | | | Expiration
Date
(Month/Year) | | | Notional
Amount | | | Market Value | | | Unrealized
Appreciation/
(Depreciation) | |
| Contracts to Buy: | | | | | | | | | | | | | | | | | | | | |
Euro-Bobl September Futures | | | 24 | | | | 9/20 | | | $ | 3,841,996 | | | $ | 3,856,019 | | | $ | 14,023 | |
Euro-Bund September Futures | | | 25 | | | | 9/20 | | | | 5,256,998 | | | | 5,237,832 | | | | (19,166 | ) |
U.S. Treasury 5-Year Note December Futures | | | 46 | | | | 12/20 | | | | 5,792,046 | | | | 5,797,437 | | | | 5,391 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 248 | |
| | | | | | | | | | | | | | | | | | | | |
| Contracts to Sell: | | | | | | | | | | | | | | | | | | | | |
Australian Government 10-Year Bond September Futures | | | 4 | | | | 9/20 | | | | 432,082 | | | | 435,150 | | | | (3,068 | ) |
Australian Government 3-Year Bond September Futures | | | 14 | | | | 9/20 | | | | 1,208,292 | | | | 1,207,784 | | | | 508 | |
Euro-BTP September Futures | | | 14 | | | | 9/20 | | | | 2,398,627 | | | | 2,442,818 | | | | (44,191 | ) |
Euro-Buxl 30-Year Bond September Futures | | | 6 | | | | 9/20 | | | | 1,546,193 | | | | 1,553,234 | | | | (7,041 | ) |
Euro-Schatz Note December Futures | | | 274 | | | | 12/20 | | | | 36,691,726 | | | | 36,690,091 | | | | 1,635 | |
Japan Government 10-Year Bond September Futures | | | 3 | | | | 9/20 | | | | 4,302,620 | | | | 4,293,321 | | | | 9,299 | |
U.S. Treasury 2-Year Note December Futures | | | 26 | | | | 12/20 | | | | 5,743,359 | | | | 5,744,578 | | | | (1,219 | ) |
U.S. Treasury 10-Year Note December Futures | | | 146 | | | | 12/20 | | | | 20,350,223 | | | | 20,330,500 | | | | 19,723 | |
U.S. Treasury Long Bond December Futures | | | 12 | | | | 12/20 | | | | 2,133,375 | | | | 2,108,625 | | | | 24,750 | |
U.S. Treasury Ultra Long Bond December Futures | | | 2 | | | | 12/20 | | | | 450,547 | | | | 441,813 | | | | 8,734 | |
U.S. Ultra Long Bond December Futures | | | 22 | | | | 12/20 | | | | 3,524,988 | | | | 3,507,625 | | | | 17,363 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 26,493 | |
| | | | | | | | | | | | | | | | | | | | |
Net Unrealized Appreciation on Open Exchange-Traded Futures Contracts | | | | | | | | | | | | | | | | | | $ | 26,741 | |
| | | | | | | | | | | | | | | | | | | | |
At August 31, 2020, Inflation-Linked Fixed Income Fund had deposited cash of $495,000 with a broker or brokers as margin collateral on an open exchange-traded futures contracts.
See Notes to Financial Statements.
280
| | | | | | |
| Inflation-Linked Fixed Income Fund |
At August 31, 2020, 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: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Australian Dollar | | | 2,521,000 | | | | USD | | | | 1,842,501 | | | | HSBC | | | $ | 1,859,742 | | | | 9/2/20 | | | $ | 17,241 | |
Japanese Yen | | | 255,576,925 | | | | USD | | | | 2,409,739 | | | | BNP | | | | 2,412,810 | | | | 9/2/20 | | | | 3,071 | |
Japanese Yen | | | 69,997,006 | | | | USD | | | | 658,296 | | | | HSBC | | | | 660,816 | | | | 9/2/20 | | | | 2,520 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | 22,832 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Contracts to Sell: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Australian Dollar | | | 2,521,000 | | | | USD | | | | 1,813,796 | | | | JPM | | | | 1,859,741 | | | | 9/2/20 | | | | (45,945 | ) |
Australian Dollar | | | 2,521,000 | | | | USD | | | | 1,842,642 | | | | HSBC | | | | 1,859,934 | | | | 10/2/20 | | | | (17,292 | ) |
Brazilian Real | | | 5,768,000 | | | | USD | | | | 1,054,036 | | | | JPM | | | | 1,051,509 | | | | 10/2/20 | | | | 2,527 | |
British Pound | | | 1,616,000 | | | | USD | | | | 2,121,498 | | | | JPM | | | | 2,160,189 | | | | 9/2/20 | | | | (38,691 | ) |
British Pound | | | 1,616,000 | | | | USD | | | | 2,155,024 | | | | SCB | | | | 2,160,668 | | | | 10/2/20 | | | | (5,644 | ) |
Canadian Dollar | | | 143,261 | | | | USD | | | | 106,917 | | | | HSBC | | | | 109,846 | | | | 9/2/20 | | | | (2,929 | ) |
Canadian Dollar | | | 491,000 | | | | USD | | | | 365,719 | | | | JPM | | | | 376,476 | | | | 9/2/20 | | | | (10,757 | ) |
Danish Krone | | | 31,618,098 | | | | USD | | | | 4,792,804 | | | | BCLY | | | | 5,072,026 | | | | 10/1/20 | | | | (279,222 | ) |
Danish Krone | | | 4,649,506 | | | | USD | | | | 705,679 | | | | JPM | | | | 745,852 | | | | 10/1/20 | | | | (40,173 | ) |
Euro | | | 748,000 | | | | USD | | | | 880,375 | | | | MLP | | | | 892,663 | | | | 9/2/20 | | | | (12,288 | ) |
Euro | | | 4,173,000 | | | | USD | | | | 4,937,587 | | | | SCB | | | | 4,980,059 | | | | 9/2/20 | | | | (42,472 | ) |
Euro | | | 4,921,000 | | | | USD | | | | 5,889,166 | | | | SCB | | | | 5,876,670 | | | | 10/2/20 | | | | 12,496 | |
Japanese Yen | | | 325,573,931 | | | | USD | | | | 3,099,293 | | | | MLP | | | | 3,073,627 | | | | 9/2/20 | | | | 25,666 | |
Japanese Yen | | | 255,576,925 | | | | USD | | | | 2,410,705 | | | | BNP | | | | 2,413,808 | | | | 10/2/20 | | | | (3,103 | ) |
Japanese Yen | | | 69,997,006 | | | | USD | | | | 658,543 | | | | HSBC | | | | 661,090 | | | | 10/2/20 | | | | (2,547 | ) |
New Zealand Dollar | | | 1,455,000 | | | | USD | | | | 964,172 | | | | HSBC | | | | 980,234 | | | | 9/2/20 | | | | (16,062 | ) |
New Zealand Dollar | | | 1,455,000 | | | | USD | | | | 978,241 | | | | BNP | | | | 980,200 | | | | 10/2/20 | | | | (1,959 | ) |
Peruvian Sol | | | 1,581,510 | | | | USD | | | | 457,348 | | | | DUB | | | | 446,284 | | | | 10/5/20 | | | | 11,064 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | (467,331 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Unrealized Depreciation on Open Forward Foreign Currency Contracts | | | | | | | | | | | | | | | | | | | | | | | | | | $ | (444,499 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
At August 31, 2020, 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
Depreciation | |
| Receive | | 3-Month FRA New Zealand Bank Bill | | | 3.250% | | | | 3/21/28 | | | | 6-Month | | | | NZD | | | | 700,000 | | | $ | (106,737 | ) | | $ | 2,137 | | | $ | (108,874 | ) |
| Receive | | 6-Month JPY-LIBOR | | | 0.300% | | | | 9/20/27 | | | | 6-Month | | | | JPY | | | | 5,590,000 | | | | (1,177 | ) | | | (101 | ) | | | (1,076 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | $ | (107,914 | ) | | $ | 2,036 | | | $ | (109,950 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
At August 31, 2020, 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 | | 2-Year EUR Inflation Linked | | | 0.090% | | | | 5/15/22 | | | | EUR | | | | 1,800,000 | | | $ | 11,128 | | | $ | — | | | $ | 11,128 | |
| Receive | | 2-Year EUR Inflation Linked | | | 0.330% | | | | 7/15/22 | | | | EUR | | | | 600,000 | | | | 4,220 | | | | (69 | ) | | | 4,289 | |
| Receive | | 5-Year EUR Inflation Linked | | | 1.030% | | | | 3/15/24 | | | | EUR | | | | 2,000,000 | | | | (64,317 | ) | | | (3,199 | ) | | | (61,118 | ) |
| Pay | | 10-Year EUR Inflation Linked | | | 1.620% | | | | 5/15/28 | | | | EUR | | | | 910,000 | | | | 85,253 | | | | 57 | | | | 85,196 | |
See Notes to Financial Statements.
281
| | | | | | |
| Inflation-Linked Fixed Income Fund |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Pay/Receive
Floating Rate | | Floating Rate Index | | Fixed
Rate | | | Maturity
Date | | | Notional
Amount | | | Market
Value | | | Upfront
Premiums
Paid/
(Received) | | | Unrealized
Appreciation/
(Depreciation) | |
| Receive | | 15-Year EUR Inflation Linked | | | 1.710% | | | | 3/15/33 | | | | EUR | | | | 100,000 | | | $ | (13,975 | ) | | $ | — | | | $ | (13,975 | ) |
| Pay | | 5-Year GBP Inflation Linked | | | 3.330% | | | | 1/15/25 | | | | GBP | | | | 4,000,000 | | | | 64,111 | | | | 112,667 | | | | (48,556 | ) |
| Pay | | 5-Year GBP Inflation Linked | | | 3.850% | | | | 9/15/24 | | | | GBP | | | | 1,300,000 | | | | 86,042 | | | | (181 | ) | | | 86,223 | |
| Pay | | 10-Year GBP Inflation Linked | | | 3.718% | | | | 12/15/28 | | | | GBP | | | | 920,000 | | | | 75,555 | | | | — | | | | 75,555 | |
| Pay | | 15-Year GBP Inflation Linked | | | 3.100% | | | | 6/15/31 | | | | GBP | | | | 2,430,000 | | | | (177,956 | ) | | | (251,380 | ) | | | 73,424 | |
| Receive | | 15-Year GBP Inflation Linked | | | 3.598% | | | | 9/15/34 | | | | GBP | | | | 1,010,000 | | | | (83,112 | ) | | | 421 | | | | (83,533 | ) |
| Pay | | 1-Year USD Inflation Linked | | | 0.860% | | | | 6/15/21 | | | | USD | | | | 100,000 | | | | (847 | ) | | | — | | | | (847 | ) |
| Pay | | 1-Year USD Inflation Linked | | | 0.900% | | | | 6/17/21 | | | | USD | | | | 2,000,000 | | | | (17,269 | ) | | | — | | | | (17,269 | ) |
| Pay | | 1-Year USD Inflation Linked | | | 1.030% | | | | 6/18/21 | | | | USD | | | | 1,400,000 | | | | (10,669 | ) | | | 70 | | | | (10,739 | ) |
| Pay | | 1-Year USD Inflation Linked | | | 1.420% | | | | 7/9/21 | | | | USD | | | | 400,000 | | | | (3,154 | ) | | | (30 | ) | | | (3,124 | ) |
| Pay | | 1-Year USD Inflation Linked | | | 1.690% | | | | 8/7/21 | | | | USD | | | | 800,000 | | | | (4,579 | ) | | | (40 | ) | | | (4,539 | ) |
| Pay | | 1-Year USD Inflation Linked | | | 1.825% | | | | 8/14/21 | | | | USD | | | | 1,100,000 | | | | (3,727 | ) | | | — | | | | (3,727 | ) |
| Pay | | 1-Year USD Inflation Linked | | | 1.840% | | | | 8/14/21 | | | | USD | | | | 600,000 | | | | (1,943 | ) | | | (30 | ) | | | (1,913 | ) |
| Pay | | 1-Year USD Inflation Linked | | | 1.863% | | | | 8/26/21 | | | | USD | | | | 400,000 | | | | (543 | ) | | | (40 | ) | | | (503 | ) |
| Receive | | 2-Year USD Inflation Linked | | | 1.488% | | | | 10/1/21 | | | | USD | | | | 900,000 | | | | (4,624 | ) | | | — | | | | (4,624 | ) |
| Receive | | 5-Year USD Inflation Linked | | | 2.210% | | | | 2/5/23 | | | | USD | | | | 2,090,000 | | | | (62,442 | ) | | | — | | | | (62,442 | ) |
| Receive | | 5-Year USD Inflation Linked | | | 2.220% | | | | 4/13/23 | | | | USD | | | | 6,296,000 | | | | (212,136 | ) | | | — | | | | (212,136 | ) |
| Receive | | 7-Year USD Inflation Linked | | | 1.798% | | | | 8/25/27 | | | | USD | | | | 600,000 | | | | 9,104 | | | | — | | | | 9,104 | |
| Receive | | 7-Year USD Inflation Linked | | | 1.890% | | | | 8/27/27 | | | | USD | | | | 700,000 | | | | 5,461 | | | | — | | | | 5,461 | |
| Pay | | 10-Year USD Inflation Linked | | | 1.280% | | | | 5/19/30 | | | | USD | | | | 800,000 | | | | (55,969 | ) | | | — | | | | (55,969 | ) |
| Pay | | 10-Year USD Inflation Linked | | | 1.760% | | | | 11/4/29 | | | | USD | | | | 1,200,000 | | | | (17,014 | ) | | | (1,416 | ) | | | (15,598 | ) |
| Pay | | 10-Year USD Inflation Linked | | | 1.883% | | | | 11/20/29 | | | | USD | | | | 1,500,000 | | | | (1,141 | ) | | | 1,434 | | | | (2,575 | ) |
| Pay | | 10-Year USD Inflation Linked | | | 2.335% | | | | 2/5/28 | | | | USD | | | | 960,000 | | | | 53,506 | | | | 2,083 | | | | 51,423 | |
| Pay | | 10-Year USD Inflation Linked | | | 2.352% | | | | 5/9/28 | | | | USD | | | | 360,000 | | | | 21,848 | | | | — | | | | 21,848 | |
| Pay | | 10-Year USD Inflation Linked | | | 2.360% | | | | 5/9/28 | | | | USD | | | | 540,000 | | | | 33,259 | | | | — | | | | 33,259 | |
| Pay | | 10-Year USD Inflation Linked | | | 2.364% | | | | 5/10/28 | | | | USD | | | | 550,000 | | | | 34,102 | | | | — | | | | 34,102 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | $ | (251,828 | ) | | $ | (139,653 | ) | | | $ (112,175 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
At August 31, 2020, Inflation-Linked Fixed Income Fund held the following Centrally Cleared Credit Default Swap Contracts:
Centrally Cleared — Credit Default Swaps on Indexes — Buy Protection (1)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Obligation | | Fixed Deal
Receive Rate | | | Maturity
Date | | | Payment
Frequency | | | Implied Credit
Spread at
8/31/20 (2) | | | Notional
Amount (3) | | | Market
Value | | | Upfront
Payment
Paid/
(Received) | | | Unrealized
Depreciation | |
Markit CDX North America High Yield Index Series 33 5-Year Index | | | 5.000 | % | | | 12/20/24 | | | | 3-Month | | | | 3.544 | % | | | USD | | | | 1,170,000 | | | $ | (78,046 | ) | | $ | (75,699 | ) | | $ | (2,347 | ) |
Markit CDX North America High Yield Index Series 34 5-Year Index | | | 5.000 | % | | | 6/20/25 | | | | 3-Month | | | | 3.645 | % | | | USD | | | | 1,302,000 | | | | (88,429 | ) | | | 64,061 | | | | (152,490 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | $ | (166,475 | ) | | $ | (11,638 | ) | | $ | (154,837 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Centrally Cleared — Credit Default Swaps on Corporate Issues — Sell Protection (4)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Obligation | | Fixed Deal
Receive Rate | | | Maturity
Date | | | Payment
Frequency | | | Implied Credit
Spread at
8/31/20 (2) | | | Notional
Amount (3) | | | Market
Value | | | Upfront
Payment
Paid/
(Received) | | | Unrealized
Appreciation/
(Depreciation) | |
Daimler AG, A- | | | 1.000 | % | | | 12/20/20 | | | | 3-Month | | | | 0.183 | % | | | EUR | | | | 100,000 | | | $ | 543 | | | $ | 1,651 | | | | $ (1,108 | ) |
General Electric Co., BBH+ | | | 1.000 | % | | | 12/20/23 | | | | 3-Month | | | | 1.299 | % | | | USD | | | | 100,000 | | | | (766 | ) | | | (4,874 | ) | | | 4,108 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | $ | (223 | ) | | | $ (3,223 | ) | | $ | 3,000 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
282
| | | | | | |
| Inflation-Linked Fixed Income Fund |
| (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, 2020, Inflation-Linked Fixed Income Fund deposited cash collateral with brokers in the amount of $674,000 for open centrally cleared swap contracts.
At August 31, 2020, Inflation-Linked Fixed Income Fund had cash collateral from brokers in the amount of $10,000 for open OTC swap contracts.
| | | | | | |
Currency Abbreviations used in this schedule: | | Counterparty Abbreviations used in this schedule: |
| ARS | | — Argentine Peso | | BCLY | | — Barclays Bank PLC |
| AUD | | — Australian Dollar | | BNP | | — BNP Paribas SA |
| BRL | | — Brazilian Real | | CITI | | — Citigroup Global Markets Inc. |
| CAD | | — Canadian Dollar | | DUB | | — Deutsche Bank AG |
| 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 | | SOG | | — Societe Generale SA |
| PEN | | — Peruvian Sol | | | | |
| SGD | | — Singapore Dollar | | | | |
| USD | | — United States Dollar | | | | |
| ZAR | | — South African Rand | | | | |
See pages 301-302 for definitions of ratings.
See Notes to Financial Statements.
283
| | | | | | | | | | |
| Ultra-Short Term Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | CORPORATE BONDS & NOTES — 53.0% | |
|
| | Aerospace/Defense — 0.9% | |
| | | | | | Boeing Co. (The), Senior Unsecured Notes: | | | | |
| $ | 807,000 | | | BBB- | | 1.650% due 10/30/20 | | $ | 807,543 | |
| | 1,200,000 | | | BBB- | | 2.300% due 8/1/21 | | | 1,214,811 | |
| | 1,500,000 | | | CCC+ | | Spirit AeroSystems Inc., Company Guaranteed Notes, 1.113% (3-Month USD-LIBOR + 0.800%) due 6/15/21(a) | | | 1,415,872 | |
| | | | | | | | | | |
| | | | | | Total Aerospace/Defense | | | 3,438,226 | |
| | | | | | | | | | |
|
| | Agriculture — 1.4% | |
| | 2,900,000 | | | BBB+ | | BAT Capital Corp., Company Guaranteed Notes, 1.160% (3-Month USD-LIBOR + 0.880%) due 8/15/22(a) | | | 2,920,873 | |
| | 2,700,000 | | | BBB | | Imperial Brands Finance PLC, Company Guaranteed Notes, 3.750% due 7/21/22(b) | | | 2,822,557 | |
| | | | | | | | | | |
| | | | | | Total Agriculture | | | 5,743,430 | |
| | | | | | | | | | |
|
| | Airlines — 0.0% | |
| | 87,806 | | | BBB+ | | Northwest Airlines Inc. Class G-2 Pass-Through Trust, Pass-Thru Certificates, 6.264% due 11/20/21 | | | 87,830 | |
| | | | | | | | | | |
|
| | Auto Manufacturers — 7.2% | |
| | | | | | American Honda Finance Corp., Senior Unsecured Notes: | | | | |
| | 500,000 | | | A- | | 0.923% (3-Month USD-LIBOR + 0.610%) due 9/9/21(a) | | | 502,503 | |
| | 1,500,000 | | | A- | | 0.846% (3-Month USD-LIBOR + 0.540%) due 6/27/22(a) | | | 1,504,587 | |
| | 500,000 | | | A | | BMW US Capital LLC, Company Guaranteed Notes, 0.754% (3-Month USD-LIBOR + 0.500%) due 8/13/21(a)(b) | | | 500,602 | |
| | | | | | Daimler Finance North America LLC, Company Guaranteed Notes: | | | | |
| | 500,000 | | | BBB+ | | 0.687% (3-Month USD-LIBOR + 0.430%) due 2/12/21(a)(b) | | | 499,796 | |
| | 5,600,000 | | | BBB+ | | 1.136% (3-Month USD-LIBOR + 0.880%) due 2/22/22(a)(b) | | | 5,612,412 | |
| | | | | | Ford Motor Credit Co. LLC, Senior Unsecured Notes: | | | | |
| | 1,000,000 | | | BB+ | | 2.343% due 11/2/20 | | | 999,375 | |
| | 1,037,000 | | | BB+ | | 1.114% (3-Month USD-LIBOR + 0.810%) due 4/5/21(a) | | | 1,021,559 | |
| | 200,000 | | | BBB | | General Motors Co., Senior Unsecured Notes, 1.210% (3-Month USD-LIBOR + 0.900%) due 9/10/21(a) | | | 199,742 | |
| | | | | | General Motors Financial Co., Inc.: | | | | |
| | | | | | Company Guaranteed Notes: | | | | |
| | 800,000 | | | BBB | | 1.118% (3-Month USD-LIBOR + 0.850%) due 4/9/21(a) | | | 799,885 | |
| | 500,000 | | | BBB | | 1.818% (3-Month USD-LIBOR + 1.550%) due 1/14/22(a) | | | 502,002 | |
| | 1,500,000 | | | BBB | | 1.618% (3-Month USD-LIBOR + 1.310%) due 6/30/22(a) | | | 1,497,542 | |
| | 2,400,000 | | | BBB | | Senior Unsecured Notes, 1.349% (3-Month USD-LIBOR + 1.100%) due 11/6/21(a) | | | 2,391,043 | |
| | 500,000 | | | BBB | | Harley-Davidson Financial Services Inc., Company Guaranteed Notes, 3.550% due 5/21/21(b) | | | 507,407 | |
| | | | | | Hyundai Capital America, Senior Unsecured Notes: | | | | |
| | 600,000 | | | BBB+ | | 1.108% (3-Month USD-LIBOR + 0.800%) due 9/18/20(a)(b) | | | 600,056 | |
| | 800,000 | | | BBB+ | | 1.138% (3-Month USD-LIBOR + 0.820%) due 3/12/21(a) | | | 800,040 | |
| | 1,700,000 | | | BBB+ | | 3.450% due 3/12/21 | | | 1,722,389 | |
| | 600,000 | | | BBB+ | | 1.217% (3-Month USD-LIBOR + 0.940%) due 7/8/21(a) | | | 599,985 | |
| | 500,000 | | | BBB+ | | 3.750% due 7/8/21(b) | | | 511,364 | |
| | 800,000 | | | BBB+ | | Hyundai Capital Services Inc., Senior Unsecured Notes, 2.625% due 9/29/20 | | | 800,991 | |
| | | | | | Nissan Motor Acceptance Corp., Senior Unsecured Notes: | | | | |
| | 1,000,000 | | | BBB- | | 0.833% (3-Month USD-LIBOR + 0.520%) due 3/15/21(a)(b) | | | 992,439 | |
| | 1,000,000 | | | BBB- | | 3.650% due 9/21/21(b) | | | 1,013,421 | |
| | 1,000,000 | | | BBB- | | 0.996% (3-Month USD-LIBOR + 0.690%) due 9/28/22(a)(b) | | | 965,636 | |
| | | | | | Volkswagen Group of America Finance LLC, Company Guaranteed Notes: | | | | |
| | 1,000,000 | | | BBB+ | | 3.875% due 11/13/20(b) | | | 1,006,679 | |
| | 3,000,000 | | | BBB+ | | 1.197% (3-Month USD-LIBOR + 0.940%) due 11/12/21(a) | | | 3,002,123 | |
| | | | | | | | | | |
| | | | | | Total Auto Manufacturers | | | 28,553,578 | |
| | | | | | | | | | |
See Notes to Financial Statements.
284
| | | | | | | | | | |
| Ultra-Short Term Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Banks — 22.0% | |
| $ | 1,000,000 | | | A1(c) | | ABN AMRO Bank NV, Senior Unsecured Notes, 1.072% (3-Month USD-LIBOR + 0.800%) due 7/19/22(a) | | $ | 1,009,626 | |
| | 700,000 | | | BBB+ | | Aozora Bank Ltd., Senior Unsecured Notes, 2.550% due 9/9/22 | | | 717,945 | |
| | 800,000 | | | A | | Banco Santander Chile, Senior Unsecured Notes, 1.456% (3-Month USD-LIBOR + 1.200%) due 11/28/21(a) | | | 795,831 | |
| | 491,000 | | | BBB+ | | Bangkok Bank PCL, Senior Unsecured Notes, 4.800% due 10/18/20 | | | 493,345 | |
| | 1,000,000 | | | A- | | Bank of America Corp., Senior Unsecured Notes, 1.117% (3-Month USD-LIBOR + 0.790%) due 3/5/24(a) | | | 1,007,068 | |
| | | | | | Barclays PLC, Senior Unsecured Notes: | | | | |
| | 515,000 | | | BBB | | 3.200% due 8/10/21 | | | 528,156 | |
| | 2,500,000 | | | BBB | | 1.898% (3-Month USD-LIBOR + 1.625%) due 1/10/23(a) | | | 2,519,500 | |
| | 300,000 | | | BBB | | 1.710% (3-Month USD-LIBOR + 1.430%) due 2/15/23(a) | | | 301,281 | |
| | 500,000 | | | BBB | | 1.660% (3-Month USD-LIBOR + 1.380%) due 5/16/24(a) | | | 502,878 | |
| | | | | | Citigroup Inc., Senior Unsecured Notes: | | | | |
| | 1,500,000 | | | BBB+ | | 1.214% (3-Month USD-LIBOR + 0.950%) due 7/24/23(a) | | | 1,513,017 | |
| | 2,100,000 | | | BBB+ | | 1.676% (3-Month USD-LIBOR + 1.430%) due 9/1/23(a) | | | 2,135,259 | |
| | 500,000 | | | BBB+ | | 1.380% (3-Month USD-LIBOR + 1.100%) due 5/17/24(a) | | | 506,486 | |
| | 300,000 | | | BBB+ | | 1.269% (3-Month USD-LIBOR + 1.023%) due 6/1/24(a) | | | 302,928 | |
| | 1,200,000 | | | A+ | | Cooperatieve Rabobank UA, Senior Unsecured Notes, 1.103% (3-Month USD-LIBOR + 0.830%) due 1/10/22(a) | | | 1,212,336 | |
| | 1,750,000 | | | BBB+ | | Credit Suisse Group AG, Senior Unsecured Notes, 1.558% (3-Month USD-LIBOR + 1.240%) due 6/12/24(a) | | | 1,767,297 | |
| | 2,000,000 | | | BBB+ | | Credit Suisse Group Funding Guernsey Ltd., Company Guaranteed Notes, 2.562% (3-Month USD-LIBOR + 2.290%) due 4/16/21(a) | | | 2,027,263 | |
| | | | | | Danske Bank AS, Senior Unsecured Notes: | | | | |
| | 500,000 | | | A | | 2.750% due 9/17/20 | | | 500,511 | |
| | 1,731,000 | | | A | | 2.800% due 3/10/21(b) | | | 1,751,806 | |
| | 1,050,000 | | | A | | 2.000% due 9/8/21 | | | 1,066,888 | |
| | | | | | DBS Group Holdings Ltd., Senior Unsecured Notes: | | | | |
| | 1,000,000 | | | Aa2(c) | | 0.865% (3-Month USD-LIBOR + 0.620%) due 7/25/22(a) | | | 1,006,019 | |
| | 3,000,000 | | | Aa2(c) | | 0.865% (3-Month USD-LIBOR + 0.620%) due 7/25/22(a)(b) | | | 3,018,058 | |
| | 1,000,000 | | | AA- | | DNB Bank ASA, Senior Unsecured Notes, 1.311% (3-Month USD-LIBOR + 1.070%) due
6/2/21(a) | | | 1,008,202 | |
| | 600,000 | | | NR | | Eksportfinans ASA, Senior Unsecured Notes, 1.043% (3-Month USD-LIBOR + 0.800%) due 11/10/20(a)(d) | | | 600,159 | |
| | 1,500,000 | | | AA- | | First Abu Dhabi Bank PJSC, Senior Unsecured Notes, 1.221% (3-Month USD-LIBOR + 0.950%) due 4/16/22(a) | | | 1,505,003 | |
| | | | | | Goldman Sachs Group Inc. (The), Senior Unsecured Notes: | | | | |
| | 900,000 | | | BBB+ | | 1.450% (3-Month USD-LIBOR + 1.170%) due 11/15/21(a) | | | 901,901 | |
| | 1,000,000 | | | BBB+ | | 1.355% (3-Month USD-LIBOR + 1.110%) due 4/26/22(a) | | | 1,005,312 | |
| | 1,986,000 | | | BBB+ | | 1.041% (3-Month USD-LIBOR + 0.780%) due 10/31/22(a) | | | 1,995,741 | |
| | | | | | HSBC Holdings PLC, Senior Unsecured Notes: | | | | |
| | 2,300,000 | | | A- | | 0.968% (3-Month USD-LIBOR + 0.650%) due 9/11/21(a) | | | 2,300,277 | |
| | 2,800,000 | | | A- | | 1.270% (3-Month USD-LIBOR + 1.000%) due 5/18/24(a) | | | 2,808,499 | |
| | 800,000 | | | A- | | 1.545% (3-Month USD-LIBOR + 1.230%) due 3/11/25(a) | | | 804,249 | |
| | 1,500,000 | | | BBB- | | ICICI Bank Ltd., Senior Unsecured Notes, 5.750% due 11/16/20 | | | 1,510,859 | |
| | 1,200,000 | | | A- | | ING Groep NV, Senior Unsecured Notes, 1.456% (3-Month USD-LIBOR + 1.150%) due
3/29/22(a) | | | 1,213,478 | |
| | 3,900,000 | | | A- | | JPMorgan Chase & Co., Senior Unsecured Notes, 0.918% (3-Month USD-LIBOR + 0.610%) due 6/18/22(a) | | | 3,913,865 | |
| | | | | | KEB Hana Bank, Senior Unsecured Notes: | | | | |
| | 400,000 | | | A+ | | 1.188% (3-Month USD-LIBOR + 0.875%) due 9/14/22(a) | | | 401,986 | |
| | 800,000 | | | A+ | | 1.002% (3-Month USD-LIBOR + 0.700%) due 10/2/22(a)(b) | | | 801,196 | |
| | 3,900,000 | | | BBB+ | | Lloyds Banking Group PLC, Senior Unsecured Notes, 1.106% (3-Month USD-LIBOR + 0.800%) due 6/21/21(a) | | | 3,919,248 | |
See Notes to Financial Statements.
285
| | | | | | | | | | |
| Ultra-Short Term Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Banks — 22.0% — (continued) | |
| | | | | | Mizuho Financial Group Inc., Senior Unsecured Notes: | | | | |
| $ | 1,000,000 | | | A- | | 1.111% (3-Month USD-LIBOR + 0.840%) due 7/16/23(a) | | $ | 1,004,048 | |
| | 3,900,000 | | | A- | | 1.163% (3-Month USD-LIBOR + 0.850%) due 9/13/23(a) | | | 3,912,213 | |
| | 2,000,000 | | | A- | | 0.880% (3-Month USD-LIBOR + 0.630%) due 5/25/24(a) | | | 1,988,551 | |
| | 5,000,000 | | | BBB | | Natwest Group PLC, Senior Unsecured Notes, 1.750% (3-Month USD-LIBOR + 1.470%) due 5/15/23(a) | | | 5,030,556 | |
| | 1,400,000 | | | A- | | NatWest Markets PLC, Senior Unsecured Notes, 1.706% (3-Month USD-LIBOR + 1.400%) due 9/29/22(a)(b) | | | 1,409,390 | |
| | 1,200,000 | | | A | | Nordea Bank Abp, Senior Unsecured Notes, 1.196% (3-Month USD-LIBOR + 0.940%) due 8/30/23(a)(b) | | | 1,201,591 | |
| | | | | | QNB Finance Ltd., Company Guaranteed Notes: | | | | |
| | 600,000 | | | A | | 1.606% (3-Month USD-LIBOR + 1.350%) due 5/31/21(a) | | | 602,955 | |
| | 1,000,000 | | | Aa3(c) | | 1.842% (3-Month USD-LIBOR + 1.570%) due 7/18/21(a) | | | 1,006,079 | |
| | 1,600,000 | | | Aa3(c) | | 1.703% (3-Month USD-LIBOR + 1.450%) due 8/11/21(a) | | | 1,609,981 | |
| | 1,000,000 | | | A | | 1.251% (3-Month USD-LIBOR + 1.000%) due 5/2/22(a) | | | 1,001,416 | |
| | 800,000 | | | Aa3(c) | | QNB Finance Ltd., (Restricted, cost — $808,304, acquired 6/20/19), Senior Unsecured Notes, 1.638% (3-Month USD-LIBOR + 1.320%) due 12/6/21(a)(e) | | | 797,980 | |
| | 2,000,000 | | | BBB+ | | Santander Holdings USA Inc., Senior Unsecured Notes, 4.450% due 12/3/21 | | | 2,083,719 | |
| | 800,000 | | | A | | Santander UK PLC, Senior Unsecured Notes, 0.866% (3-Month USD-LIBOR + 0.620%) due 6/1/21(a) | | | 803,169 | |
| | | | | | Standard Chartered PLC, Senior Unsecured Notes: | | | | |
| | 1,400,000 | | | BBB+ | | 1.510% (3-Month USD-LIBOR + 1.200%) due 9/10/22(a)(b) | | | 1,406,625 | |
| | 600,000 | | | BBB+ | | 1.422% (3-Month USD-LIBOR + 1.150%) due 1/20/23(a)(b) | | | 602,583 | |
| | 1,700,000 | | | BBB+ | | 3.785% (3-Month USD-LIBOR + 1.560%) due 5/21/25(a)(b) | | | 1,821,977 | |
| | | | | | Sumitomo Mitsui Financial Group Inc., Senior Unsecured Notes: | | | | |
| | 3,100,000 | | | A- | | 1.046% (3-Month USD-LIBOR + 0.780%) due 7/12/22(a) | | | 3,124,237 | |
| | 500,000 | | | A- | | 1.012% (3-Month USD-LIBOR + 0.740%) due 10/18/22(a) | | | 503,293 | |
| | 4,300,000 | | | A- | | UBS Group AG, Senior Unsecured Notes, 2.048% (3-Month USD-LIBOR + 1.780%) due 4/14/21(a)(b) | | | 4,345,648 | |
| | 3,951,000 | | | BBB+ | | Wells Fargo & Co., Senior Unsecured Notes, 1.491% (3-Month USD-LIBOR + 1.230%) due 10/31/23(a) | | | 4,008,796 | |
| | | | | | | | | | |
| | | | | | Total Banks | | | 87,638,280 | |
| | | | | | | | | | |
|
| | Commercial Services — 1.8% | |
| | | | | | Central Nippon Expressway Co., Ltd., Senior Unsecured Notes: | | | | |
| | 1,000,000 | | | A1(c) | | 1.163% (3-Month USD-LIBOR + 0.850%) due 9/14/21(a) | | | 1,005,612 | |
| | 1,200,000 | | | A1(c) | | 2.567% due 11/2/21 | | | 1,223,513 | |
| | 3,000,000 | | | A1(c) | | 1.147% (3-Month USD-LIBOR + 0.810%) due 3/3/22(a) | | | 3,009,555 | |
| | | | | | Equifax Inc., Senior Unsecured Notes: | | | | |
| | 400,000 | | | BBB | | 2.300% due 6/1/21 | | | 405,183 | |
| | 1,150,000 | | | BBB | | 1.150% (3-Month USD-LIBOR + 0.870%) due 8/15/21(a) | | | 1,154,837 | |
| | 400,000 | | | A- | | ERAC USA Finance LLC, Company Guaranteed Notes, 4.500% due 8/16/21(b) | | | 414,333 | |
| | | | | | | | | | |
| | | | | | Total Commercial Services | | | 7,213,033 | |
| | | | | | | | | | |
|
| | Computers — 0.8% | |
| | | | | | Dell International LLC/EMC Corp., Senior Secured Notes: | | | | |
| | 703,000 | | | BBB- | | 4.420% due 6/15/21 | | | 721,251 | |
| | 2,298,000 | | | BBB- | | 4.420% due 6/15/21(b) | | | 2,357,658 | |
| | | | | | | | | | |
| | | | | | Total Computers | | | 3,078,909 | |
| | | | | | | | | | |
|
| | Diversified Financial Services — 6.0% | |
| | | | | | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Company Guaranteed Notes: | | | | |
| | 1,200,000 | | | BBB | | 4.500% due 5/15/21 | | | 1,220,573 | |
| | 300,000 | | | BBB | | 5.000% due 10/1/21 | | | 308,997 | |
| | 500,000 | | | BBB | | 4.450% due 12/16/21 | | | 509,646 | |
| | 400,000 | | | BBB | | 4.625% due 7/1/22 | | | 409,759 | |
See Notes to Financial Statements.
286
| | | | | | | | | | |
| Ultra-Short Term Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Diversified Financial Services — 6.0% — (continued) | |
| $ | 1,400,000 | | | BBB | | Air Lease Corp., Senior Unsecured Notes, 3.500% due 1/15/22 | | $ | 1,431,322 | |
| | 1,100,000 | | | BBB- | | Aircastle Ltd., Senior Unsecured Notes, 5.125% due 3/15/21 | | | 1,116,604 | |
| | | | | | Ally Financial Inc.: | | | | |
| | 600,000 | | | BBB- | | Company Guaranteed Notes, 7.500% due 9/15/20 | | | 601,136 | |
| | 500,000 | | | BBB- | | Senior Unsecured Notes, 4.125% due 2/13/22 | | | 517,852 | |
| | 500,000 | | | BBB- | | Avolon Holdings Funding Ltd., Company Guaranteed Notes, 5.500% due 1/15/23(b) | | | 490,080 | |
| | | | | | BOC Aviation Ltd., Senior Unsecured Notes: | | | | |
| | 1,000,000 | | | A- | | 1.301% (3-Month USD-LIBOR + 1.050%) due 5/2/21(a) | | | 997,085 | |
| | 1,000,000 | | | A- | | 1.301% (3-Month USD-LIBOR + 1.050%) due 5/2/21(a)(b) | | | 997,085 | |
| | 1,000,000 | | | A- | | 3.000% due 5/23/22 | | | 1,022,905 | |
| | 500,000 | | | A- | | 2.750% due 9/18/22 | | | 511,490 | |
| | 200,000 | | | A- | | 2.750% due 9/18/22(b) | | | 204,596 | |
| | 2,000,000 | | | BBB+ | | Intercontinental Exchange Inc., Senior Unsecured Notes, 0.903% (3-Month USD-LIBOR + 0.650%) due 6/15/23(a) | | | 2,002,276 | |
| | 1,300,000 | | | BBB | | International Lease Finance Corp., Senior Unsecured Notes, 8.625% due 1/15/22 | | | 1,403,309 | |
| | 800,000 | | | BBB- | | LeasePlan Corp. NV, Senior Unsecured Notes, 2.875% due 10/24/24(b) | | | 837,026 | |
| | 500,000 | | | Baa2(c) | | Mirae Asset Daewoo Co., Ltd., Senior Unsecured Notes, 4.125% due 11/7/21 | | | 513,553 | |
| | 500,000 | | | A- | | Mitsubishi UFJ Lease & Finance Co., Ltd., Senior Unsecured Notes, 2.652% due 9/19/22(b) | | | 515,923 | |
| | 900,000 | | | BBB+ | | Nomura Holdings Inc., Senior Unsecured Notes, 2.648% due 1/16/25 | | | 949,579 | |
| | 400,000 | | | BB- | | OneMain Finance Corp., Company Guaranteed Notes, 7.750% due 10/1/21 | | | 419,910 | |
| | | | | | ORIX Corp., Senior Unsecured Notes: | | | | |
| | 3,300,000 | | | A- | | 2.650% due 4/13/21 | | | 3,339,715 | |
| | 200,000 | | | A- | | 3.200% due 1/19/22 | | | 206,315 | |
| | 400,000 | | | A- | | 2.900% due 7/18/22 | | | 416,126 | |
| | | | | | Park Aerospace Holdings Ltd., Company Guaranteed Notes: | | | | |
| | 600,000 | | | BBB- | | 3.625% due 3/15/21(b) | | | 589,415 | |
| | 1,300,000 | | | BBB- | | 5.250% due 8/15/22(b) | | | 1,291,287 | |
| | 1,000,000 | | | BBB- | | Synchrony Financial, Senior Unsecured Notes, 2.850% due 7/25/22 | | | 1,029,977 | |
| | | | | | | | | | |
| | | | | | Total Diversified Financial Services | | | 23,853,541 | |
| | | | | | | | | | |
|
| | Electric — 2.7% | |
| | 1,600,000 | | | BBB+ | | Duke Energy Corp., Senior Unsecured Notes, 0.765% (3-Month USD-LIBOR + 0.500%) due 5/14/21(a)(b) | | | 1,604,844 | |
| | 400,000 | | | BBB | | Israel Electric Corp., Ltd., Senior Secured Notes, 6.875% due 6/21/23 | | | 458,393 | |
| | 700,000 | | | BBB+ | | NextEra Energy Capital Holdings Inc., Company Guaranteed Notes, 0.806% (3-Month USD-LIBOR + 0.550%) due 8/28/21(a) | | | 700,262 | |
| | | | | | Pacific Gas & Electric Co., 1st Mortgage Notes: | | | | |
| | 1,000,000 | | | BBB- | | 1.750% due 6/16/22 | | | 1,003,418 | |
| | 500,000 | | | BBB- | | 1.795% (3-Month USD-LIBOR + 1.480%) due 6/16/22(a) | | | 502,032 | |
| | 1,400,000 | | | Baa3(c) | | 4.250% due 8/1/23 | | | 1,495,896 | |
| | 500,000 | | | BBB- | | 3.850% due 11/15/23 | | | 529,345 | |
| | 300,000 | | | BBB- | | 3.750% due 2/15/24 | | | 316,687 | |
| | 100,000 | | | BBB- | | 3.400% due 8/15/24 | | | 105,276 | |
| | 1,000,000 | | | BBB+ | | PPL WEM Ltd./Western Power Distribution PLC, Senior Unsecured Notes, 5.375% due 5/1/21(b) | | | 1,020,169 | |
| | 1,700,000 | | | BBB+ | | Sempra Energy, Senior Unsecured Notes, 0.763% (3-Month USD-LIBOR + 0.450%) due 3/15/21(a) | | | 1,702,690 | |
| | 1,500,000 | | | BBB+ | | Southern Power Co., Senior Unsecured Notes, 0.856% (3-Month USD-LIBOR + 0.550%) due 12/20/20(a)(b) | | | 1,500,489 | |
| | | | | | | | | | |
| | | | | | Total Electric | | | 10,939,501 | |
| | | | | | | | | | |
|
| | Electronics — 0.1% | |
| | 300,000 | | | BBB- | | Arrow Electronics Inc., Senior Unsecured Notes, 3.500% due 4/1/22 | | | 310,132 | |
| | | | | | | | | | |
See Notes to Financial Statements.
287
| | | | | | | | | | |
| Ultra-Short Term Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Food — 0.6% | |
| $ | 400,000 | | | BBB- | | Campbell Soup Co., Senior Unsecured Notes, 0.943% (3-Month USD-LIBOR + 0.630%) due 3/15/21(a) | | $ | 400,793 | |
| | | | | | Conagra Brands Inc., Senior Unsecured Notes: | | | | |
| | 1,500,000 | | | BBB- | | 0.768% (3-Month USD-LIBOR + 0.500%) due 10/9/20(a) | | | 1,500,282 | |
| | 300,000 | | | BBB- | | 3.800% due 10/22/21 | | | 311,336 | |
| | 300,000 | | | BB+ | | Kraft Heinz Foods Co., Company Guaranteed Notes, 1.063% (3-Month USD-LIBOR + 0.820%) due 8/10/22(a) | | | 298,848 | |
| | | | | | | | | | |
| | | | | | Total Food | | | 2,511,259 | |
| | | | | | | | | | |
|
| | Gas — 0.1% | |
| | 600,000 | | | BBB | | Centrica PLC, Senior Unsecured Notes, 1.297% (3-Month USD-LIBOR + 1.000%) due 9/25/20(a) | | | 599,854 | |
| | | | | | | | | | |
|
| | Healthcare — Products — 0.1% | |
| | 600,000 | | | BBB | | Zimmer Biomet Holdings Inc., Senior Unsecured Notes, 1.066% (3-Month USD-LIBOR + 0.750%) due 3/19/21(a) | | | 600,154 | |
| | | | | | | | | | |
|
| | Holding Companies — Diversified — 0.1% | |
| | 500,000 | | | A | | Hutchison Whampoa International 11 Ltd., Company Guaranteed Notes, 4.625% due 1/13/22 | | | 524,294 | |
| | | | | | | | | | |
|
| | Household Products/Wares — 0.2% | |
| | 900,000 | | | A- | | Reckitt Benckiser Treasury Services PLC, Company Guaranteed Notes, 0.857% (3-Month USD-LIBOR + 0.560%) due 6/24/22(a)(b) | | | 904,139 | |
| | | | | | | | | | |
|
| | Insurance — 1.3% | |
| | 3,140,000 | | | A | | Athene Global Funding, Secured Notes, 1.534% (3-Month USD-LIBOR + 1.230%) due 7/1/22(a)(b) | | | 3,165,141 | |
| | 2,000,000 | | | A- | | Marsh & McLennan Cos., Inc., Senior Unsecured Notes, 1.506% (3-Month USD-LIBOR + 1.200%) due 12/29/21(a) | | | 2,001,564 | |
| | | | | | | | | | |
| | | | | | Total Insurance | | | 5,166,705 | |
| | | | | | | | | | |
|
| | Lodging — 0.2% | |
| | | | | | Marriott International Inc., Senior Unsecured Notes: | | | | |
| | 400,000 | | | BBB- | | 0.968% (3-Month USD-LIBOR + 0.650%) due 3/8/21(a) | | | 398,097 | |
| | 500,000 | | | BBB- | | 3.125% due 10/15/21 | | | 510,079 | |
| | | | | | | | | | |
| | | | | | Total Lodging | | | 908,176 | |
| | | | | | | | | | |
|
| | Machinery — Diversified — 0.2% | |
| | 700,000 | | | BBB | | CNH Industrial Capital LLC, Company Guaranteed Notes, 3.875% due 10/15/21 | | | 720,872 | |
| | | | | | | | | | |
|
| | Media — 1.0% | |
| | | | | | Charter Communications Operating LLC/Charter Communications Operating Capital, Senior Secured Notes: | | | | |
| | 1,000,000 | | | BBB- | | 4.464% due 7/23/22 | | | 1,066,017 | |
| | 3,000,000 | | | BBB- | | 1.901% (3-Month USD-LIBOR + 1.650%) due 2/1/24(a) | | | 3,083,592 | |
| | | | | | | | | | |
| | | | | | Total Media | | | 4,149,609 | |
| | | | | | | | | | |
|
| | Miscellaneous Manufacturers — 0.2% | |
| | 700,000 | | | BBB | | Textron Inc., Senior Unsecured Notes, 0.793% (3-Month USD-LIBOR + 0.550%) due 11/10/20(a) | | | 700,026 | |
| | | | | | | | | | |
|
| | Oil & Gas — 1.4% | |
| | 1,300,000 | | | A- | | BP Capital Markets America Inc., Company Guaranteed Notes, 0.966% (3-Month USD-LIBOR + 0.650%) due 9/19/22(a) | | | 1,309,361 | |
| | 3,355,000 | | | BB+ | | Occidental Petroleum Corp., Senior Unsecured Notes, 1.730% (3-Month USD-LIBOR + 1.450%) due 8/15/22(a) | | | 3,172,509 | |
| | 1,200,000 | | | A+ | | Sinopec Group Overseas Development 2017 Ltd., Company Guaranteed Notes, 2.250% due 9/13/20 | | | 1,200,515 | |
| | | | | | | | | | |
| | | | | | Total Oil & Gas | | | 5,682,385 | |
| | | | | | | | | | |
See Notes to Financial Statements.
288
| | | | | | | | | | |
| Ultra-Short Term Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Pharmaceuticals — 1.0% | |
| $ | 700,000 | | | BBB | | Bayer US Finance LLC, Company Guaranteed Notes, 3.000% due 10/8/21(b) | | $ | 717,489 | |
| | 1,000,000 | | | BBB | | Becton Dickinson & Co., Senior Unsecured Notes, 1.181% (3-Month USD-LIBOR + 0.875%) due 12/29/20(a) | | | 1,000,427 | |
| | 400,000 | | | A- | | Cigna Corp., Company Guaranteed Notes, 0.949% (3-Month USD-LIBOR + 0.650%) due 9/17/21(a) | | | 400,090 | |
| | 1,400,000 | | | BBB | | CVS Health Corp., Senior Unsecured Notes, 1.033% (3-Month USD-LIBOR + 0.720%) due 3/9/21(a) | | | 1,404,709 | |
| | | | | | Mylan NV, Company Guaranteed Notes: | | | | |
| | 138,000 | | | BBB- | | 3.750% due 12/15/20 | | | 139,026 | |
| | 200,000 | | | BBB- | | 3.150% due 6/15/21 | | | 203,732 | |
| | | | | | | | | | |
| | | | | | Total Pharmaceuticals | | | 3,865,473 | |
| | | | | | | | | | |
|
| | Pipelines — 0.9% | |
| | 3,400,000 | | | BBB+ | | Enbridge Inc., Company Guaranteed Notes, 0.770% (3-Month USD-LIBOR + 0.500%) due 2/18/22(a) | | | 3,402,149 | |
| | | | | | | | | | |
|
| | Real Estate — 0.3% | |
| | 1,000,000 | | | A- | | Sinochem Overseas Capital Co., Ltd., Company Guaranteed Notes, 4.500% due 11/12/20 | | | 1,008,022 | |
| | | | | | | | | | |
|
| | Semiconductors — 0.6% | |
| | 1,000,000 | | | BBB- | | Broadcom Inc., Company Guaranteed Notes, 3.125% due 10/15/22 | | | 1,049,449 | |
| | | | | | NXP BV/NXP Funding LLC, Company Guaranteed Notes: | | | | |
| | 200,000 | | | BBB | | 4.125% due 6/1/21(b) | | | 205,171 | |
| | 600,000 | | | BBB | | 4.625% due 6/15/22(b) | | | 639,986 | |
| | 300,000 | | | BBB | | 3.875% due 9/1/22(b) | | | 318,411 | |
| | | | | | | | | | |
| | | | | | Total Semiconductors | | | 2,213,017 | |
| | | | | | | | | | |
|
| | Telecommunications — 0.5% | |
| | 400,000 | | | BB | | Sprint Corp., Company Guaranteed Notes, 7.250% due 9/15/21 | | | 422,540 | |
| | 1,400,000 | | | BBB+ | | Verizon Communications Inc., Senior Unsecured Notes, 1.380% (3-Month USD-LIBOR + 1.100%) due 5/15/25(a) | | | 1,431,600 | |
| | | | | | | | | | |
| | | | | | Total Telecommunications | | | 1,854,140 | |
| | | | | | | | | | |
|
| | Transportation — 0.2% | |
| | 600,000 | | | BBB- | | Pacific National Finance Pty Ltd., Company Guaranteed Notes, 4.625% due 9/23/20(b) | | | 600,959 | |
| | | | | | | | | | |
|
| | Trucking & Leasing—1.2% | |
| | | | | | Aviation Capital Group LLC, Senior Unsecured Notes: | | | | |
| | 500,000 | | | BBB- | | 6.750% due 4/6/21(b) | | | 510,843 | |
| | 500,000 | | | BBB- | | 1.196% (3-Month USD-LIBOR + 0.950%) due 6/1/21(a)(b) | | | 487,166 | |
| | 2,000,000 | | | BBB- | | 0.938% (3-Month USD-LIBOR + 0.670%) due 7/30/21(a)(b) | | | 1,936,488 | |
| | 800,000 | | | BBB | | GATX Corp., Senior Unsecured Notes, 0.969% (3-Month USD-LIBOR + 0.720%) due 11/5/21(a) | | | 799,150 | |
| | | | | | SMBC Aviation Capital Finance DAC, Company Guaranteed Notes: | | | | |
| | 200,000 | | | A- | | 2.650% due 7/15/21(b) | | | 201,351 | |
| | 700,000 | | | A- | | 3.550% due 4/15/24(b) | | | 729,004 | |
| | | | | | | | | | |
| | | | | | Total Trucking & Leasing | | | 4,664,002 | |
| | | | | | | | | | |
| | | | | | TOTAL CORPORATE BONDS & NOTES
(Cost — $210,241,753) | | | 210,931,695 | |
| | | | | | | | | | |
|
| | COLLATERALIZED MORTGAGE OBLIGATIONS — 29.2% | |
| | 558,581 | | | B- | | ACE Securities Corp. Home Equity Loan Trust, Series 2004-OP1, Class M1, 0.955% (1-Month USD-LIBOR + 0.780%) due 4/25/34(a) | | | 542,971 | |
| | 400,000 | EUR | | Aaa(c) | | Arbour CLO IV DAC, Series 2004-A, Class A2R, 0.870% (3-Month EURIBOR + 0.870%) due 1/15/30(a)(b) | | | 476,825 | |
| | 464,323 | | | AAA | | Atlas Senior Loan Fund IX Ltd., Series 2018-9A, Class A, 1.142% (3-Month USD-LIBOR + 0.870%) due 4/20/28(a)(b) | | | 458,462 | |
See Notes to Financial Statements.
289
| | | | | | | | | | |
| Ultra-Short Term Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | COLLATERALIZED MORTGAGE OBLIGATIONS — 29.2% — (continued) | |
| $ | 700,000 | | | AAA | | Atrium Hotel Portfolio Trust, Series 2018-ATRM, Class A, 1.112% (1-Month USD-LIBOR + 0.950%) due 6/15/35(a)(b) | | $ | 667,622 | |
| | 42,186 | | | AAA | | B&M CLO Ltd., Series 2014-1A, Class A1R, 1.001% (3-Month USD-LIBOR + 0.730%) due 4/16/26(a)(b) | | | 42,160 | |
| | | | | | BAMLL Commercial Mortgage Securities Trust: | | | | |
| | 500,000 | | | AAA | | Series 2019-AHT, Class A, 1.362% (1-Month USD-LIBOR + 1.200%) due 3/15/34(a)(b) | | | 476,635 | |
| | 400,000 | | | Aaa(c) | | Series 2019-RLJ, Class A, 1.212% (1-Month USD-LIBOR + 1.050%) due 4/15/36(a)(b) | | | 385,692 | |
| | | | | | Bancorp Commercial Mortgage Trust: | | | | |
| | 333,717 | | | Aaa(c) | | Series 2018-CRE4, Class A, 1.062% (1-Month USD-LIBOR + 0.900%) due 9/15/35(a)(b) | | | 323,157 | |
| | 637,426 | | | Aaa(c) | | Series 2019-CRE6, Class A, 1.212% (1-Month USD-LIBOR + 1.050%) due 9/15/36(a)(b) | | | 628,992 | |
| | 114,963 | | | NR | | Bayview Opportunity Master Fund IVa Trust, Series 2019-SBR1, Class A1, step bond to yield, 3.475% due 6/28/34(b) | | | 115,236 | |
| | 56,445 | | | AAA | | Bear Stearns ALT-A Trust, Series 2004-10, Class 2A1, 0.835% (1-Month USD-LIBOR + 0.660%) due 9/25/34(a) | | | 56,499 | |
| | 708,264 | | | BBB- | | Bear Stearns Asset Backed Securities I Trust, Series 2005-CL1, Class A2, 0.500% (1-Month USD-LIBOR + 0.500%) due 9/25/34(a) | | | 679,249 | |
| | 888,849 | | | B3(c) | | Bear Stearns Second Lien Trust, Series 2007-SV1A, Class M2, 1.525% (1-Month USD-LIBOR + 1.350%) due 1/25/36(a)(b) | | | 886,711 | |
| | 395,127 | | | Aaa(c) | | Brass NO 8 PLC, Series 8A, Class A1, 0.980% (3-Month USD-LIBOR + 0.700%) due
11/16/66(a)(b) | | | 396,020 | |
| | 1,000,000 | GBP | | Aaa(c) | | Canterbury Finance No 1 PLC, Series 1, Class A2, 1.413% (Sterling Overnight Index Average + 1.350%) due 5/16/56(a) | | | 1,327,309 | |
| | 549,519 | | | AA+ | | CD Mortgage Trust, Series 2006-CD3, Class AM, 5.648% due 10/15/48 | | | 563,316 | |
| | 301,873 | | | AAA | | Cent CLO 19 Ltd., Series 2013-19A, Class A1A, 1.600% (3-Month USD-LIBOR + 1.330%) due 10/29/25(a)(b) | | | 301,784 | |
| | | | | | Citigroup Mortgage Loan Trust: | | | | |
| | 629,939 | | | NR | | Series 2019-B, Class A1, 3.258% due 4/25/66(a)(b) | | | 635,667 | |
| | 272,410 | | | NR | | Series 2019-C, Class A1, step bond to yield, 3.228% due 9/25/59(b) | | | 274,821 | |
| | 31,518 | | | Aaa(c) | | COMM Mortgage Trust, Series 2013-CR6, Class A3FL, 0.798% (1-Month USD-LIBOR + 0.630%) due 3/10/46(a)(b) | | | 31,515 | |
| | 456,452 | | | NR | | Credit Suisse Mortgage Capital Certificates, Series 2019-RPL4, Class A1, 3.512% due
8/26/58(b) | | | 460,091 | |
| | 967,144 | | | NR | | Credit Suisse Mortgage Capital Trust, Series 2019-RPL9, Class A1, 3.056% due 10/27/59(a)(b) | | | 971,468 | |
| | 276,853 | | | NR | | CSMC Trust, Series 2019-RPL8, Class A1, 3.322% due 10/25/58(a)(b) | | | 279,238 | |
| | 391,631 | | | B- | | CWABS Inc. Asset-Backed Certificates Trust, Series 2004-5, Class M1, 1.030% (1-Month USD-LIBOR + 0.855%) due 8/25/34(a) | | | 386,267 | |
| | 698,953 | EUR | | Aaa(c) | | Dilosk RMBS No. 2 DAC, Series 2, Class A, 0.350% (0.750% — 3-Month EURIBOR) due 12/20/57(f) | | | 834,328 | |
| | 490,173 | | | AAA | | Dorchester Park CLO DAC, Series 2015-1A, Class AR, 1.172% (3-Month USD-LIBOR + 0.900%) due 4/20/28(a)(b) | | | 487,820 | |
| | 500,000 | EUR | | AAA | | Dryden 46 Euro CLO 2016 BV, Series 2016-46A, Class A1R, 0.880% (3-Month EURIBOR + 0.880%) due 1/15/30(a)(b) | | | 595,502 | |
| | | | | | Federal Home Loan Mortgage Corp. (FHLMC), REMICS: | | | | |
| | 1,197,571 | | | NR | | Series 4344, Class FA, 0.621% (1-Month USD-LIBOR + 0.450%) due 12/15/37(a) | | | 1,196,614 | |
| | 1,698,233 | | | NR | | Series 4351, Class FA, 0.621% (1-Month USD-LIBOR + 0.450%) due 5/15/38(a) | | | 1,690,828 | |
| | 2,764,730 | | | NR | | Series 4906, Class WF, 0.571% (1-Month USD-LIBOR + 0.400%) due 12/15/38(a) | | | 2,792,273 | |
| | 1,153,333 | | | NR | | Series 4950, Class A, 2.500% due 6/25/34 | | | 1,162,093 | |
| | 1,782,513 | | | NR | | Federal National Mortgage Association (FNMA), REMICS, Series 2017-108, Class AF, 0.475% (1-Month USD-LIBOR + 0.300%) due 1/25/48(a) | | | 1,779,068 | |
| | 217,920 | | | BBB+ | | Finance America Mortgage Loan Trust, Series 2004-2, Class M1, 1.000% (1-Month USD-LIBOR + 0.825%) due 8/25/34(a) | | | 213,677 | |
| | | | | | Finsbury Square PLC: | | | | |
| | 1,264,865 | GBP | | AAA(g) | | Series 2019-1, Class A, 1.166% (3-Month GBP-LIBOR + 0.970%) due 6/16/69(a) | | | 1,694,006 | |
| | 2,422,752 | GBP | | AAA(g) | | Series 2020-1A, Class A, 1.023% (Sterling Overnight Index Average + 0.800%) due
3/16/70(a)(b) | | | 3,232,101 | |
See Notes to Financial Statements.
290
| | | | | | | | | | |
| Ultra-Short Term Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | COLLATERALIZED MORTGAGE OBLIGATIONS — 29.2% — (continued) | |
| $ | 50,668 | | | AAA | | FNBA Mortgage Loan Trust, Series 2004-AR1, Class A2, 0.561% (1-Month USD-LIBOR + 0.400%) due 8/19/34(a) | | $ | 50,504 | |
| | | | | | Ford Credit Floorplan Master Owner Trust A: | | | | |
| | 1,200,000 | | | AAA | | Series 2018-3, Class A2, 0.562% (1-Month USD-LIBOR + 0.400%) due 10/15/23(a) | | | 1,198,073 | |
| | 700,000 | | | AAA | | Series 2019-3, Class A2, 0.762% (1-Month USD-LIBOR + 0.600%) due 9/15/24(a) | | | 703,831 | |
| | 423,593 | | | BB | | Fremont Home Loan Trust, Series 2005-A, Class M3, 0.910% (1-Month USD-LIBOR + 0.735%) due 1/25/35(a) | | | 417,665 | |
| | | | | | GMF Floorplan Owner Revolving Trust: | | | | |
| | 500,000 | | | AAA | | Series 2018-3, Class A, 0.482% (1-Month USD-LIBOR + 0.320%) due 9/15/22(a)(b) | | | 499,999 | |
| | 1,600,000 | | | AAA | | Series 2018-4, Class A1, 3.500% due 9/15/23(b) | | | 1,648,494 | |
| | 1,200,000 | | | AAA | | GoldentTree Loan Management US CLO 1 Ltd., Series 2017-1A, Class AR, 1.222% (3-Month USD-LIBOR + 0.950%) due 4/20/29(a)(b) | | | 1,191,862 | |
| | 339,212 | | | Aaa(c) | | Gosforth Funding PLC, Series 2017-1A, Class A1A, 0.786% (3-Month USD-LIBOR + 0.470%) due 12/19/59(a)(b) | | | 338,403 | |
| | | | | | Government National Mortgage Association (GNMA): | | | | |
| | 2,138,887 | | | NR | | Series 2016-H06, Class FD, 1.084% (1-Month USD-LIBOR + 0.920%) due 7/20/65(a) | | | 2,171,412 | |
| | 155,114 | | | NR | | Series 2016-H11, Class F, 0.964% (1-Month USD-LIBOR + 0.800%) due 5/20/66(a) | | | 156,945 | |
| | 1,801,326 | | | NR | | Series 2017-H15, Class FE, 1.438% (1-Year USD-LIBOR + 0.800%) due 7/20/67(a) | | | 1,845,310 | |
| | 2,321,312 | | | NR | | Series 2020-17, Class EU, 2.500% due 10/20/49 | | | 2,368,843 | |
| | 1,104,629 | | | NR | | Series 2020-21, Class AC, 2.500% due 1/20/49 | | | 1,127,410 | |
| | 1,000,000 | | | Aaa(c) | | Greystone CRE Notes Ltd., Series 2019-FL2, Class A, 1.342% (1-Month USD-LIBOR + 1.180%) due 9/15/37(a)(b) | | | 976,288 | |
| | 344,800 | | | Aaa(c) | | GS Mortgage Securities Trust, Series 2014-GC18, Class AAB, 3.648% due 1/10/47 | | | 358,492 | |
| | 3,489,134 | GBP | | AAA | | Hawksmoor Mortgages, Series 2019-1A, Class A, 1.112% (Sterling Overnight Index Average + 1.050%) due 5/25/53(a)(b) | | | 4,676,511 | |
| | 228,571 | | | AAA | | Holmes Master Issuer PLC, Series 2018-1A, Class A2, 0.635% (3-Month USD-LIBOR + 0.360%) due 10/15/54(a)(b) | | | 228,556 | |
| | 492,143 | | | AAA | | Homeward Opportunities Fund I Trust, Series 2020-2, Class A1, 1.657% due 5/25/65(a)(b) | | | 493,433 | |
| | 134,284 | | | CCC | | Impac CMB Trust, Series 2004-10, Class 1A1, 0.815% (1-Month USD-LIBOR + 0.640%) due 3/25/35(a) | | | 131,383 | |
| | | | | | JP Morgan Chase Commercial Mortgage Securities Trust: | | | | |
| | 379,130 | | | AAA(g) | | Series 2018-LAQ, Class A, 1.162% (1-Month USD-LIBOR + 1.000%) due 6/15/32(a)(b) | | | 362,070 | |
| | 500,000 | | | A- | | Series 2019-FL12, Class A, 1.612% (1-Month USD-LIBOR + 1.450%) due
12/15/31(a)(b) | | | 484,449 | |
| | 2,000,000 | EUR | | AAA | | Jubilee CLO BV, Series 2015-16A, Class A1R, 0.442% (0.800% — 3-Month EURIBOR) due 12/15/29(b)(f) | | | 2,371,687 | |
| | 700,000 | | | AAA | | Lanark Master Issuer PLC, Series 2019-1A, Class 1A1, 1.128% (3-Month USD-LIBOR + 0.770%) due 12/22/69(a)(b) | | | 701,927 | |
| | | | | | Legacy Mortgage Asset Trust: | | | | |
| | 429,127 | | | NR | | Series 2019-GS3, Class A1, step bond to yield, 3.750% due 4/25/59(b) | | | 439,902 | |
| | 276,452 | | | NR | | Series 2019-GS6, Class A1, step bond to yield, 3.000% due 6/25/59(b) | | | 277,102 | |
| | 337,016 | GBP | | Aaa(c) | | London Wall Mortgage Capital PLC, Series 2017-FL1, Class A, 0.923% (3-Month GBP-LIBOR + 0.850%) due 11/15/49(a) | | | 448,458 | |
| | 506,781 | | | AAA | | Madison Park Funding XVI Ltd., Series 2015-16A, Class A1R, 1.602% (3-Month USD-LIBOR + 1.330%) due 4/20/26(a)(b) | | | 506,174 | |
| | 879,337 | | | AAA | | Marathon CLO V Ltd., Series 2013-5A, Class A1R, 1.117% (3-Month USD-LIBOR + 0.870%) due 11/21/27(a)(b) | | | 871,643 | |
| | 228,833 | | | A | | Mastr Asset Backed Securities Trust, Series 2004-OPT2, Class A1, 0.875% (1-Month USD-LIBOR + 0.700%) due 9/25/34(a) | | | 215,126 | |
| | | | | | MF1 Ltd.: | | | | |
| | 2,900,000 | | | Aaa(c) | | Series 2019-FL2, Class A, 1.305% (1-Month USD-LIBOR + 1.130%) due 12/25/34(a)(b) | | | 2,854,704 | |
| | 800,000 | | | Aaa(c) | | Series 2020-FL3, Class A, 2.212% (1-Month USD-LIBOR + 2.050%) due 7/15/35(a)(b) | | | 796,144 | |
| | 1,000,000 | | | AAA | | MFA Trust, Series 2020-NQM1, Class A1, 1.479% due 8/25/49(a)(b)(d)(h) | | | 1,000,329 | |
| | 1,289,143 | | | Aaa(c) | | Mill City Mortgage Loan Trust, Series 2019-GS2, Class A1, 2.750% due 8/25/59(a)(b) | | | 1,353,487 | |
| | 2,232 | | | Aaa(c) | | MMAF Equipment Finance LLC, Series 2018-A, Class A2, 2.920% due 7/12/21(b) | | | 2,234 | |
See Notes to Financial Statements.
291
| | | | | | | | | | |
| Ultra-Short Term Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | COLLATERALIZED MORTGAGE OBLIGATIONS — 29.2% — (continued) | |
| $ | 252,687 | | | Aaa(c) | | Monarch Grove CLO, Series 2018-1A, Class A1, 1.125% (3-Month USD-LIBOR + 0.880%) due 1/25/28(a)(b) | | $ | 251,179 | |
| | 588,920 | | | B- | | Morgan Stanley ABS Capital I Inc. Trust, Series 2004-HE4, Class M1, 1.075% (1-Month USD-LIBOR + 0.900%) due 5/25/34(a)(i) | | | 578,232 | |
| | 387,845 | | | AAA | | Motel 6 Trust, Series 2017-MTL6, Class A, 1.082% (1-Month USD-LIBOR + 0.920%) due 8/15/34(a)(b) | | | 380,654 | |
| | 800,000 | | | Aaa(c) | | Mountain View CLO LLC, Series 2017-1A, Class AR, 1.361% (3-Month USD-LIBOR + 1.090%) due 10/16/29(a)(b) | | | 798,165 | |
| | 1,684,520 | | | AAA | | Mountain View CLO X Ltd., Series 2015-10A, Class AR, 1.086% (3-Month USD-LIBOR + 0.820%) due 10/13/27(a)(b) | | | 1,674,432 | |
| | | | | | New Residential Mortgage Loan Trust: | | | | |
| | 346,674 | | | NR | | Series 2018-3A, Class A1, 4.500% due 5/25/58(a)(b) | | | 374,931 | |
| | 140,530 | | | AAA(g) | | Series 2018-RPL1, Class A1, 3.500% due 12/25/57(a)(b) | | | 150,782 | |
| | 2,800,442 | | | Aaa(c) | | Series 2019-RPL3, Class A1, 2.750% due 7/25/59(a)(b) | | | 2,926,460 | |
| | 2,625,049 | | | Aaa(c) | | Series 2020-RPL1, Class A1, 2.750% due 11/25/59(a)(b) | | | 2,773,733 | |
| | 382,676 | | | BBB+ | | NovaStar Mortgage Funding Trust, Series 2005-4, Class M1, 0.835% (1-Month USD-LIBOR + 0.660%) due 1/25/36(a) | | | 378,187 | |
| | | | | | OCP CLO Ltd.: | | | | |
| | 719,880 | | | AAA | | Series 2015-9A, Class A1R, 1.075% (3-Month USD-LIBOR + 0.800%) due 7/15/27(a)(b) | | | 720,809 | |
| | 677,710 | | | AAA | | Series 2015-10A, Class A1R, 1.065% (3-Month USD-LIBOR + 0.820%) due 10/26/27(a)(b) | | | 673,283 | |
| | 465,646 | | | AAA(g) | | Palmer Square CLO Ltd., Series 2018-3A, Class A1, 1.130% (3-Month USD-LIBOR + 0.850%) due 8/15/26(a)(b) | | | 464,584 | |
| | 492,437 | | | AA+ | | Pennsylvania Higher Education Assistance Agency, Series 2006-2, Class A-3, 0.375% (3-Month USD-LIBOR + 0.130%) due 10/25/36(a) | | | 480,235 | |
| | 850,000 | | | AAA | | Permanent Master Issuer PLC, Series 2018-1A, Class 1A1, 0.655% (3-Month USD-LIBOR + 0.380%) due 7/15/58(a)(b) | | | 850,146 | |
| | 2,100,000 | | | Aaa(c) | | PFP Ltd., Series 2019-6, Class A, 1.208% (1-Month USD-LIBOR + 1.050%) due 4/14/37(a)(b) | | | 2,042,250 | |
| | | | | | PFS Financing Corp.: | | | | |
| | 1,200,000 | | | AAA | | Series 2019-A, Class A1, 0.712% (1-Month USD-LIBOR + 0.550%) due 4/15/24(a)(b) | | | 1,198,323 | |
| | 400,000 | | | AAA | | Series 2020-F, Class A, 0.930% due 8/15/24(b) | | | 402,751 | |
| | 318,748 | GBP | | AAA | | Residential Mortgage Securities 31 PLC, Series 2031, Class A, 1.382% (3-Month GBP-LIBOR + 1.200%) due 9/20/65(a) | | | 427,296 | |
| | 2,000,000 | GBP | | AAA | | Residential Mortgage Securities 32 PLC, Series 2032, Class A, (Sterling Overnight Index Average + 1.250%) due 6/20/70(b) | | | 2,686,369 | |
| | | | | | Ripon Mortgages PLC: | | | | |
| | 803,703 | GBP | | AAA | | Series 1X, Class A1, 0.868% (3-Month GBP-LIBOR + 0.800%) due 8/20/56(a) | | | 1,074,802 | |
| | 2,411,109 | GBP | | AAA | | Series 1A, Class A1, 0.868% (3-Month GBP-LIBOR + 0.800%) due 8/20/56(a)(b) | | | 3,224,407 | |
| | 381,716 | GBP | | AAA | | RMAC PLC, Series 2018-1, Class A, 0.898% (3-Month GBP-LIBOR + 0.700%) due 6/12/46(a) | | | 505,560 | |
| | | | | | Silverstone Master Issuer PLC: | | | | |
| | 144,000 | | | AAA | | Series 2019-1A, Class 1A, 0.841% (3-Month USD-LIBOR + 0.570%) due 1/21/70(a)(b) | | | 144,111 | |
| | 528,000 | GBP | | AAA | | Series 2019-1A, Class 2A, 0.815% (Sterling Overnight Index Average + 0.750%) due
1/21/70(a)(b) | | | 713,527 | |
| | | | | | Sofi Consumer Loan Program LLC: | | | | |
| | 18,521 | | | AAA | | Series 2017-3, Class A, 2.770% due 5/25/26(b) | | | 18,640 | |
| | 45,542 | | | AAA | | Series 2017-4, Class A, 2.500% due 5/26/26(b) | | | 45,923 | |
| | 894,499 | | | Aaa(c) | | Sound Point CLO X Ltd., Series 2015-3A, Class AR, 1.162% (3-Month USD-LIBOR + 0.890%) due 1/20/28(a)(b) | | | 892,736 | |
| | 2,000,000 | | | Aaa(c) | | Sound Point CLO XIV Ltd., Series 2016-3A, Class AR, 1.406% (3-Month USD-LIBOR + 1.150%) due 1/23/29(a)(b) | | | 1,987,737 | |
| | 1,146,023 | | | BB+ | | Soundview Home Loan Trust, Series 2005-OPT1, Class M2, 0.850% (1-Month USD-LIBOR + 0.675%) due 6/25/35(a) | | | 1,136,000 | |
| | 822,453 | | | NR | | SpringCastle Funding Asset-Backed Notes, Series 2019-AA, Class A, 3.200% due 5/27/36(b) | | | 833,723 | |
See Notes to Financial Statements.
292
| | | | | | | | | | |
| Ultra-Short Term Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | COLLATERALIZED MORTGAGE OBLIGATIONS — 29.2% — (continued) | |
| $ | 229,995 | | | NR | | Stanwich Mortgage Loan Co. LLC, Series 2019-NPB1, Class A1, step bond to yield, 3.375% due 8/15/24(b) | | $ | 228,352 | |
| | 1,215,120 | | | AAA | | Tharaldson Hotel Portfolio Trust, Series 2018-THL, Class A, 0.904% (1-Month USD-LIBOR + 0.750%) due 11/11/34(a)(b) | | | 1,166,010 | |
| | 179,622 | | | AAA | | THL Credit Wind River CLO Ltd., Series 2012-1A, Class AR2, 1.155% (3-Month USD-LIBOR + 0.880%) due 1/15/26(a)(b) | | | 179,290 | |
| | | | | | Towd Point Mortgage Funding: | | | | |
| | 1,111,512 | GBP | | AAA | | Series 2019-A13A, Class A1, 0.965% (Sterling Overnight Index Average + 0.900%) due 7/20/45(a)(b) | | | 1,485,145 | |
| | 2,922,720 | GBP | | AAA | | Series 2020-A14X, Class A, 0.963% (Sterling Overnight Index Average + 0.900%) due 5/20/45(a) | | | 3,893,143 | |
| | | | | | Towd Point Mortgage Trust: | | | | |
| | 730,616 | | | Aaa(c) | | Series 2017-5, Class A1, 0.775% (1-Month USD-LIBOR + 0.600%) due 2/25/57(a)(b) | | | 728,718 | |
| | 776,203 | | | AAA(g) | | Series 2018-3, Class A1, 3.750% due 5/25/58(a)(b) | | | 836,061 | |
| | 563,180 | | | Aaa(c) | | Series 2019-HY2, Class A1, 1.175% (1-Month USD-LIBOR + 1.000%) due 5/25/58(a)(b) | | | 564,197 | |
| | 639,521 | | | Aaa(c) | | Series 2019-HY3, Class A1A, 1.175% (1-Month USD-LIBOR + 1.000%) due
10/25/59(a)(b) | | | 638,756 | |
| | 1,403,801 | | | AAA(g) | | Series 2020-1, Class A1, 2.710% due 1/25/60(a)(b) | | | 1,462,841 | |
| | 3,761,265 | | | AAA(g) | | Series 2020-2, Class A1A, 1.636% due 4/25/60(a)(b) | | | 3,827,377 | |
| | 169,222 | GBP | | AAA | | Trinity Square PLC, Series 2015-1X, Class A, 1.232% (3-Month GBP-LIBOR + 1.150%) due 7/15/51(a) | | | 226,597 | |
| | 763,988 | | | AA+ | | Utah State Board of Regents, Series 2017-1, Class A, 0.925% (1-Month USD-LIBOR + 0.750%) due 1/25/57(a) | | | 761,955 | |
| | 1,523,317 | | | Aaa(c) | | Venture XVI CLO Ltd., Series 2014-16A, Class ARR, 1.125% (3-Month USD-LIBOR + 0.850%) due 1/15/28(a)(b) | | | 1,509,700 | |
| | 767,712 | | | Aaa(c) | | Venture XVII CLO Ltd., Series 2014-17A, Class ARR, 1.155% (3-Month USD-LIBOR + 0.880%) due 4/15/27(a)(b) | | | 760,350 | |
| | 457,988 | | | Aaa(c) | | VMC Finance LLC, Series 2019-FL3, Class A, 1.262% (1-Month USD-LIBOR + 1.100%) due 9/15/36(a)(b) | | | 446,854 | |
| | 77,539 | | | Aaa(c) | | Voya CLO Ltd., Series 2014-3A, Class A1R, 0.965% (3-Month USD-LIBOR + 0.720%) due 7/25/26(a)(b) | | | 77,380 | |
| | 712,335 | | | AA | | WaMu Mortgage Pass-Through Certificates Trust, Series 2005-AR13, Class A1A1, 0.465% (1-Month USD-LIBOR + 0.290%) due 10/25/45(a) | | | 701,610 | |
| | 874,691 | GBP | | AAA | | Warwick Finance Residential Mortgages No One PLC, Series 1, Class A, 1.682% (3-Month GBP-LIBOR + 1.500%) due 9/21/49(a) | | | 1,172,067 | |
| | | | | | Wells Fargo Commercial Mortgage Trust: | | | | |
| | 400,000 | | | Aaa(c) | | Series 2013-LC12, Class A4, 4.218% due 7/15/46(a) | | | 428,435 | |
| | 500,000 | | | AAA | | Series 2017-HSDB, Class A, 1.014% (1-Month USD-LIBOR + 0.850%) due 12/13/31(a)(b) | | | 482,013 | |
| | 1,291,246 | | | AAA(g) | | Series 2018-BXI, Class A, 0.893% (1-Month USD-LIBOR + 0.731%) due 12/15/36(a)(b) | | | 1,281,790 | |
| | | | | | WFRBS Commercial Mortgage Trust: | | | | |
| | 1,500,000 | | | Aaa(c) | | Series 2012-C7, Class AFL, 1.362% (1-Month USD-LIBOR + 1.200%) due 6/15/45(a)(b) | | | 1,486,315 | |
| | 829,131 | | | Aaa(c) | | Series 2012-C10, Class AFL, 0.952% (1-Month USD-LIBOR + 0.790%) due
12/15/45(a)(b) | | | 827,433 | |
| | | | | | | | | | |
| | | | | | TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost — $114,938,895) | | | 116,297,223 | |
| | | | | | | | | | |
|
| | ASSET-BACKED SECURITIES — 5.7% | |
|
| | Automobiles — 0.7% | |
| | 192,270 | | | AAA | | Flagship Credit Auto Trust, Series 2019-2, Class A, 2.830% due 10/16/23(b) | | | 195,284 | |
| | 2,000,000 | | | AAA | | GLS Auto Receivables Issuer Trust 2020-3, Series 2020-3A, Class A, 0.690% due 10/16/23(b) | | | 2,004,794 | |
| | 507,411 | | | Aaa(c) | | Hertz Fleet Lease Funding LP, Series 2018-1, Class A2, 3.230% due 5/10/32(b) | | | 510,311 | |
| | 170,000 | | | Aaa(c) | | OSCAR US Funding X LLC, Series 2019-1A, Class A2, 3.100% due 4/11/22(b) | | | 170,860 | |
| | | | | | | | | | |
| | | | | | Total Automobiles | | | 2,881,249 | |
| | | | | | | | | | |
See Notes to Financial Statements.
293
| | | | | | | | | | |
| Ultra-Short Term Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | Credit Cards — 1.0% | |
| $ | 872,322 | | | NR | | LP Credit Card ABS Master Trust, Series 2018-1, Class A, 1.740% (1-Month USD-LIBOR + 1.550%) due 8/20/24(a)(b) | | $ | 893,452 | |
| | 3,000,000 | | | Aaa(c) | | Master Credit Card Trust II, Series 2018-1A, Class A, 0.661% (1-Month USD-LIBOR + 0.490%) due 7/21/24(a)(b) | | | 2,998,217 | |
| | | | | | | | | | |
| | | | | | Total Credit Cards | | | 3,891,669 | |
| | | | | | | | | | |
|
| | Student Loans — 4.0% | |
| | | | | | ECMC Group Student Loan Trust: | | | | |
| | 633,901 | | | Aaa(c) | | Series 2017-2A, Class A, 1.225% (1-Month USD-LIBOR + 1.050%) due 5/25/67(a)(b) | | | 627,297 | |
| | 531,318 | | | Aaa(c) | | Series 2018-1A, Class A, 0.925% (1-Month USD-LIBOR + 0.750%) due 2/27/68(a)(b) | | | 522,076 | |
| | 871,405 | | | Aaa(c) | | Series 2019-1A, Class A1B, 1.175% (1-Month USD-LIBOR + 1.000%) due 7/25/69(a)(b) | | | 851,191 | |
| | 192,920 | | | AAA | | EFS Volunteer LLC, Series 2010-1, Class A2, 1.095% (3-Month USD-LIBOR + 0.850%) due 10/25/35(a)(b) | | | 190,794 | |
| | 76,787 | | | Aaa(c) | | Navient Private Education Loan Trust, Series 2015-AA, Class A2A, 2.650% due 12/15/28(b) | | | 77,804 | |
| | | | | | Navient Private Education Refi Loan Trust: | | | | |
| | 17,957 | | | AAA | | Series 2019-A, Class A1, 3.030% due 1/15/43(b) | | | 17,970 | |
| | 715,196 | | | AAA | | Series 2020-A, Class A1, 0.512% (1-Month USD-LIBOR + 0.350%) due 11/15/68(a)(b) | | | 713,669 | |
| | | | | | Navient Student Loan Trust: | | | | |
| | 996,598 | | | AAA | | Series 2018-1A, Class A2, 0.525% (1-Month USD-LIBOR + 0.350%) due 3/25/67(a)(b) | | | 990,178 | |
| | 1,880,245 | | | AAA | | Series 2018-2A, Class A2, 0.555% (1-Month USD-LIBOR + 0.380%) due 3/25/67(a)(b) | | | 1,871,754 | |
| | | | | | Nelnet Student Loan Trust: | | | | |
| | 1,071,164 | | | AA+ | | Series 2017-3A, Class A, 1.025% (1-Month USD-LIBOR + 0.850%) due 2/25/66(a)(b) | | | 1,045,414 | |
| | 1,213,638 | | | AA+ | | Series 2019-2A, Class A, 1.075% (1-Month USD-LIBOR + 0.900%) due 6/27/67(a)(b) | | | 1,192,830 | |
| | 1,105,891 | | | AA+ | | Series 2019-3A, Class A, 0.975% (1-Month USD-LIBOR + 0.800%) due 8/25/67(a)(b) | | | 1,088,248 | |
| | | | | | SLC Student Loan Trust: | | | | |
| | 747,871 | | | AAA | | Series 2006-1, Class A5, 0.423% (3-Month USD-LIBOR + 0.110%) due 3/15/27(a) | | | 743,278 | |
| | 569,128 | | | AAA | | Series 2007-1, Class A4, 0.340% (3-Month USD-LIBOR + 0.060%) due 5/15/29(a) | | | 555,438 | |
| | | | | | SLM Student Loan Trust: | | | | |
| | 170,191 | | | AAA | | Series 2003-10A, Class A3, 0.783% (3-Month USD-LIBOR + 0.470%) due 12/15/27(a)(b) | | | 169,227 | |
| | 996,951 | | | AAA | | Series 2004-10, Class A7B, 0.845% (3-Month USD-LIBOR + 0.600%) due 10/25/29(a)(b) | | | 993,099 | |
| | 866,572 | | | AAA | | Series 2005-5, Class A4, 0.385% (3-Month USD-LIBOR + 0.140%) due 10/25/28(a) | | | 859,247 | |
| | 479,262 | | | B | | Series 2008-5, Class A4, 1.945% (3-Month USD-LIBOR + 1.700%) due 7/25/23(a) | | | 472,742 | |
| | 706,616 | | | B | | Series 2008-7, Class A4, 1.145% (3-Month USD-LIBOR + 0.900%) due 7/25/23(a) | | | 671,307 | |
| | 110,420 | | | B | | Series 2008-8, Class A4, 1.745% (3-Month USD-LIBOR + 1.500%) due 4/25/23(a) | | | 109,497 | |
| | | | | | SMB Private Education Loan Trust: | | | | |
| | 598,238 | | | AAA | | Series 2015-B, Class A2B, 1.362% (1-Month USD-LIBOR + 1.200%) due 7/15/27(a)(b) | | | 598,032 | |
| | 900,500 | | | AAA | | Series 2020-PTA, Class A1, 0.475% (1-Month USD-LIBOR + 0.300%) due 9/15/54(a)(b) | | | 895,478 | |
| | 500,000 | | | AAA | | Series 2020-PTA, Class A2A, 1.600% due 9/15/54(b) | | | 504,535 | |
| | 79,648 | | | AAA | | Sofi Professional Loan Program LLC, Series 2018-A, Class A2A, 2.390% due 2/25/42(b) | | | 79,724 | |
| | | | | | | | | | |
| | | | | | Total Student Loans | | | 15,840,829 | |
| | | | | | | | | | |
| | | | | | TOTAL ASSET-BACKED SECURITIES
(Cost — $22,730,533) | | | 22,613,747 | |
| | | | | | | | | | |
|
| | U.S. GOVERNMENT AGENCIES & OBLIGATIONS — 5.7% | |
|
| | U.S. GOVERNMENT AGENCIES — 3.8% | |
| | | | | | Federal Home Loan Mortgage Corp.: | | | | |
| | 5,000,000 | | | Aaa(c) | | 0.800% due 7/30/25 | | | 5,000,328 | |
| | 4,000,000 | | | Aaa(c) | | 0.690% due 8/5/25 | | | 3,990,515 | |
| | 6,000,000 | | | Aaa(c) | | 0.700% due 9/2/25 | | | 5,996,595 | |
| | | | | | | | | | |
| | | | | | TOTAL U.S. GOVERNMENT AGENCIES | | | 14,987,438 | |
| | | | | | | | | | |
See Notes to Financial Statements.
294
| | | | | | | | | | |
| Ultra-Short Term Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| | U.S. GOVERNMENT OBLIGATIONS — 1.9% | |
| $ | 4,416,143 | | | | | U.S. Treasury Inflation Indexed Notes, 0.750% due 7/15/28(j) | | $ | 5,146,367 | |
| | 2,400,000 | | | | | U.S. Treasury Notes, 0.625% due 5/15/30 | | | 2,387,062 | |
| | | | | | | | | | |
| | | | | | TOTAL U.S. GOVERNMENT OBLIGATIONS | | | 7,533,429 | |
| | | | | | | | | | |
| | | | | | TOTAL U.S. GOVERNMENT AGENCIES & OBLIGATIONS
(Cost — $21,686,245) | | | 22,520,867 | |
| | | | | | | | | | |
|
| | SOVEREIGN BONDS — 0.9% | |
|
| | India — 0.4% | |
| | 1,900,000 | | | Baa3(c) | | Export-Import Bank of India, 1.247% (3-Month USD-LIBOR + 1.000%) due 8/21/22(a) | | | 1,884,411 | |
| | | | | | | | | | |
|
| | Saudi Arabia — 0.1% | |
| | 400,000 | | | A1(c) | | Saudi Government International Bonds, 2.375% due 10/26/21 | | | 407,792 | |
| | | | | | | | | | |
|
| | South Korea — 0.4% | |
| | 1,500,000 | | | AA | | Export-Import Bank of Korea, 1.120% (3-Month USD-LIBOR + 0.875%) due 1/25/22(a) | | | 1,511,114 | |
| | | | | | | | | | |
| | | | | | TOTAL SOVEREIGN BONDS
(Cost — $3,821,046) | | | 3,803,317 | |
| | | | | | | | | | |
|
| | MORTGAGE-BACKED SECURITIES — 0.9% | |
|
| | FHLMC — 0.9% | |
| | | | | | Federal Home Loan Mortgage Corp. (FHLMC): | | | | |
| | 3,336,327 | | | | | 4.000% due 6/1/49 — 9/1/49 | | | 3,554,496 | |
| | | | | | | | | | |
| | | | | | TOTAL MORTGAGE-BACKED SECURITIES
(Cost — $3,500,015) | | | 3,554,496 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS
(Cost — $376,918,487) | | | 379,721,345 | |
| | | | | | | | | | |
|
| | SHORT-TERM INVESTMENTS —35.2% | |
|
| | COMMERCIAL PAPERS — 2.3% | |
| | 1,400,000 | | | | | American Honda Finance, 1.961% due 9/3/20(k) | | | 1,399,848 | |
| | 2,000,000 | | | | | Astrazeneca PLC, 2.020% due 10/28/20(b)(k) | | | 1,993,667 | |
| | 900,000 | | | | | BP Capital Markets, 1.629% due 9/8/20(b)(k) | | | 899,717 | |
| | 900,000 | | | | | Schlumberger Holdings Corp., 1.969% due 10/27/20(b)(k) | | | 897,270 | |
| | | | | | Shell International Finance BV: | | | | |
| | 3,500,000 | | | | | 2.340% due 1/19/21(b)(k) | | | 3,468,694 | |
| | 500,000 | | | | | 2.103% due 2/3/21(b)(k) | | | 495,544 | |
| | | | | | | | | | |
| | | | | | TOTAL COMMERCIAL PAPERS
(Cost — $9,154,740) | | | 9,154,740 | |
| | | | | | | | | | |
|
| | CORPORATE BOND — 0.4% | |
| | 1,690,000 | | | BBB- | | Broadcom Inc., 3.125% due 4/15/21
(Cost — $1,709,318) | | | 1,709,318 | |
| | | | | | | | | | |
|
| | TIME DEPOSITS — 0.1% | |
| | | | | | BBH — Grand Cayman: | | | | |
| | 288 | EUR | | | | (0.690)% due 9/1/20 | | | 343 | |
| | 2,597 | DKK | | | | (0.650)% due 9/1/20 | | | 416 | |
| | 65,142 | JPY | | | | (0.230)% due 9/1/20 | | | 615 | |
| | 1,001 | AUD | | | | 0.010% due 9/1/20 | | | 739 | |
| | 6,087 | NZD | | | | 0.010% due 9/1/20 | | | 4,101 | |
| | 31,891 | CAD | | | | 0.030% due 9/1/20 | | | 24,453 | |
| | 558,969 | | | | | Skandinaviska Enskilda Banken AB—Stockholm, 0.010% due 9/1/20 | | | 558,969 | |
| | | | | | | | | | |
| | | | | | TOTAL TIME DEPOSITS
(Cost — $589,636) | | | 589,636 | |
| | | | | | | | | | |
See Notes to Financial Statements.
295
| | | | | | | | | | |
| Ultra-Short Term Fixed Income Fund | |
| | | |
Face
Amount† | | | | | Security | | Value | |
|
| | U.S. GOVERNMENT OBLIGATIONS — 32.4% | |
| | | | | | U.S. Treasury Bills: | | | | |
| $ | 519,000 | | | | | 0.110% due 9/15/20(j)(k) | | $ | 518,978 | |
| | 101,000 | | | | | 0.080% due 9/22/20(j)(k) | | | 100,995 | |
| | 120,000,000 | | | | | 0.033% due 9/29/20(k) | | | 119,992,533 | |
| | 572,000 | | | | | 0.088% due 10/29/20(j)(k) | | | 571,919 | |
| | 7,600,000 | | | | | 0.105% due 11/12/20(k) | | | 7,598,404 | |
| | | | | | | | | | |
| | | | | | TOTAL U.S. GOVERNMENT OBLIGATIONS
(Cost — $128,782,829) | | | 128,782,829 | |
| | | | | | | | �� | | |
| | | | | | TOTAL SHORT-TERM INVESTMENTS
(Cost — $140,236,523) | | | 140,236,523 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS — 130.6%
(Cost — $517,155,010) | | | 519,957,868 | |
| | | | | | | | | | |
| | | | | | Liabilities in Excess of Other Assets — (30.6)% | | | (121,861,478 | ) |
| | | | | | | | | | |
| | | | | | TOTAL NET ASSETS — 100.0% | | $ | 398,096,390 | |
| | | | | | | | | | |
| † | 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, 2020. |
| (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, 2020, amounts to $159,762,569 and represents 40.1% 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, 2020, amounts to $797,980 and represents 0.2% of net assets. |
| (f) | Inverse Floating Rate Security — interest rate fluctuates with an inverse relationship to an associated interest rate. Indicated rate is the effective rate as of August 31, 2020. |
| (g) | Rating by Fitch Ratings Service. All ratings are unaudited. |
| (h) | Security is valued in good faith at fair value by or under the direction of the Board of Trustees. |
| (i) | Affiliated security (See Note 2). As of August 31, 2020, total cost and total market value of affiliated securities amounted to $586,048 and $578,232, respectively. |
| (j) | All or a portion of this security is held at the broker as collateral for open centrally cleared swap contracts. |
| (k) | Rate shown represents yield-to-maturity. |
At August 31, 2020, for Ultra-Short Term Fixed Income Fund the aggregate cost of investments, the aggregate gross unrealized appreciation and depreciation of all investments for federal income tax purposes were as follows:
| | | | | | | | | | | | | | | | |
| Fund | | Aggregate Cost For
Federal Income
Tax Purposes | | | Gross
Unrealized
Appreciation | | | Gross
Unrealized
(Depreciation) | | | Net
Unrealized
Appreciation | |
Ultra-Short Term Fixed Income Fund | | $ | 516,019,828 | | | $ | 6,910,075 | | | $ | (2,972,035 | ) | | $ | 3,938,040 | |
| | |
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 |
See Notes to Financial Statements.
296
| | | | |
| Ultra-Short Term Fixed Income Fund |
| | | | |
| Summary of Investments by Security Type^ | | | |
Corporate Bonds & Notes | | | 40.6 | % |
Collateralized Mortgage Obligations | | | 22.4 | |
Asset-Backed Securities | | | 4.3 | |
U.S. Government Agencies & Obligations | | | 4.3 | |
Sovereign Bonds | | | 0.7 | |
Mortgage-Backed Securities | | | 0.7 | |
Short-Term Investments | | | 27.0 | |
| | | | |
| | | 100.0 | % |
| | | | |
| ^ | As a percentage of total investments. |
At August 31, 2020, 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: | | | | | | | | | | | | | | | | | | | | |
Australian Government 10-Year Bond September Futures | | | 31 | | | | 9/20 | | | $ | 3,358,801 | | | $ | 3,372,413 | | | $ | 13,612 | |
Bank Accept December Futures | | | 186 | | | | 12/22 | | | | 35,412,034 | | | | 35,415,159 | | | | 3,125 | |
Bank Accept June Futures | | | 378 | | | | 6/21 | | | | 71,967,729 | | | | 72,085,052 | | | | 117,323 | |
Bank Accept March Futures | | | 76 | | | | 3/21 | | | | 14,384,757 | | | | 14,494,019 | | | | 109,262 | |
Bank Accept September Futures | | | 2 | | | | 9/22 | | | | 380,923 | | | | 380,923 | | | | — | |
U.S. Treasury 10-Year Note December Futures | | | 23 | | | | 12/20 | | | | 3,205,805 | | | | 3,202,750 | | | | (3,055 | ) |
U.S. Treasury Ultra Long Bond December Futures | | | 1 | | | | 12/20 | | | | 225,172 | | | | 220,906 | | | | (4,266 | ) |
U.S. Ultra Long Bond December Futures | | | 11 | | | | 12/20 | | | | 1,760,945 | | | | 1,753,812 | | | | (7,133 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 228,868 | |
| | | | | | | | | | | | | | | | | | | | |
| Contracts to Sell: | | | | | | | | | | | | | | | | | | | | |
U.S. Treasury 2-Year Note December Futures | | | 201 | | | | 12/20 | | | | 44,402,071 | | | | 44,410,008 | | | | (7,937 | ) |
U.S. Treasury 5-Year Note December Futures | | | 284 | | | | 12/20 | | | | 35,759,599 | | | | 35,792,875 | | | | (33,276 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | (41,213 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Unrealized Appreciation on Open Exchange-Traded Futures Contracts | | | | | | | | | | | | | | | | | | $ | 187,655 | |
| | | | | | | | | | | | | | | | | |
At August 31, 2020, Ultra-Short Term Fixed Income Fund had deposited cash of $543,000 with a broker or brokers as margin collateral on an open exchange-traded futures contracts.
At August 31, 2020, 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 | | | 8,731,000 | | | | USD | | | | 6,381,147 | | | | HSBC | | | $ | 6,440,856 | | | | 9/2/20 | | | $ | 59,709 | |
Canadian Dollar | | | 1,852,031 | | | | USD | | | | 1,405,523 | | | | HSBC | | | | 1,420,052 | | | | 9/2/20 | | | | 14,529 | |
Canadian Dollar | | | 1,238,558 | | | | USD | | | | 942,469 | | | | HSBC | | | | 949,669 | | | | 9/2/20 | | | | 7,200 | |
See Notes to Financial Statements.
297
| | | | |
| 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) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Japanese Yen | | | 419,900,000 | | | | USD | | | | 3,964,795 | | | | JPM | | | $ | 3,964,125 | | | | 9/2/20 | | | $ | (670 | ) |
Japanese Yen | | | 828,200,000 | | | | USD | | | | 7,884,030 | | | | MLP | | | | 7,818,740 | | | | 9/2/20 | | | | (65,290 | ) |
Japanese Yen | | | 979,763,824 | | | | USD | | | | 9,241,529 | | | | BNP | | | | 9,253,425 | | | | 10/2/20 | | | | 11,896 | |
Japanese Yen | | | 268,336,176 | | | | USD | | | | 2,524,550 | | | | HSBC | | | | 2,534,314 | | | | 10/2/20 | | | | 9,764 | |
Mexican Peso | | | 7,185,000 | | | | USD | | | | 315,880 | | | | JPM | | | | 326,402 | | | | 10/21/20 | | | | 10,522 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | 47,660 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Contracts to Sell: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Australian Dollar | | | 8,731,000 | | | | USD | | | | 6,281,736 | | | | JPM | | | | 6,440,856 | | | | 9/2/20 | | | | (159,120 | ) |
Australian Dollar | | | 8,731,000 | | | | USD | | | | 6,381,636 | | | | HSBC | | | | 6,441,522 | | | | 10/2/20 | | | | (59,886 | ) |
British Pound | | | 2,692,000 | | | | USD | | | | 3,551,946 | | | | BNP | | | | 3,598,531 | | | | 9/2/20 | | | | (46,585 | ) |
British Pound | | | 1,945,000 | | | | USD | | | | 2,548,219 | | | | JPM | | | | 2,599,979 | | | | 9/2/20 | | | | (51,760 | ) |
British Pound | | | 15,118,000 | | | | USD | | | | 19,847,030 | | | | JPM | | | | 20,208,988 | | | | 9/2/20 | | | | (361,958 | ) |
British Pound | | | 19,755,000 | | | | USD | | | | 26,344,367 | | | | SCB | | | | 26,413,358 | | | | 10/2/20 | | | | (68,991 | ) |
Canadian Dollar | | | 1,268,274 | | | | USD | | | | 949,161 | | | | BNP | | | | 972,453 | | | | 9/2/20 | | | | (23,292 | ) |
Canadian Dollar | | | 1,063,548 | | | | USD | | | | 793,734 | | | | HSBC | | | | 815,479 | | | | 9/2/20 | | | | (21,745 | ) |
Canadian Dollar | | | 3,366,000 | | | | USD | | | | 2,507,148 | | | | JPM | | | | 2,580,893 | | | | 9/2/20 | | | | (73,745 | ) |
Canadian Dollar | | | 1,852,031 | | | | USD | | | | 1,405,618 | | | | HSBC | | | | 1,420,177 | | | | 10/2/20 | | | | (14,559 | ) |
Canadian Dollar | | | 1,238,558 | | | | USD | | | | 942,541 | | | | HSBC | | | | 949,753 | | | | 10/2/20 | | | | (7,212 | ) |
Euro | | | 3,589,000 | | | | USD | | | | 4,246,585 | | | | SCB | | | | 4,283,113 | | | | 9/2/20 | | | | (36,528 | ) |
Euro | | | 3,589,000 | | | | USD | | | | 4,295,106 | | | | SCB | | | | 4,285,993 | | | | 10/2/20 | | | | 9,113 | |
Japanese Yen | | | 979,763,824 | | | | USD | | | | 9,237,826 | | | | BNP | | | | 9,249,599 | | | | 9/2/20 | | | | (11,773 | ) |
Japanese Yen | | | 268,336,176 | | | | USD | | | | 2,523,604 | | | | HSBC | | | | 2,533,266 | | | | 9/2/20 | | | | (9,662 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | (937,703 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Unrealized Depreciation on Open Forward Foreign Currency Contracts | | | | | | | | | | | | | | | | | | | | | | | | | | $ | (890,043 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
At August 31, 2020, 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
(Received) | | | Unrealized
Appreciation | |
| Receive | | 3-Month USD-LIBOR | | | 0.650% | | | | 8/20/30 | | | | 6-Month | | | | USD 19,500,000 | | | $ | 99,655 | | | $ | (4,887) | | | $ | 104,542 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
At August 31, 2020, Ultra-Short Term Fixed Income Fund held the following Centrally Cleared Credit Default Swap Contracts:
Centrally Cleared — Credit Default Swaps on Indexes — Buy Protection (1)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Obligation | | Fixed Deal
(Pay) Rate | | | Maturity
Date | | | Payment
Frequency | | | Implied Credit
Spread at
8/31/20 (2) | | | Notional
Amount (3) | | | Market
Value | | | Upfront
Payment
(Received) | | | Unrealized
Appreciation/
(Depreciation) | |
| | | | | | | | |
Markit CDX North America High Yield Series 33 5-Year Index | | | (5.000 | )% | | | 12/20/24 | | | | 3-Month | | | | 3.544% | | | | USD 1,800,000 | | | $ | (120,071 | ) | | $ | (132,930 | ) | | $ | 12,859 | |
Markit CDX North America High Yield Series 34 5-Year Index | | | (5.000 | )% | | | 6/20/25 | | | | 3-Month | | | | 3.645% | | | | USD 18,600,000 | | | | (1,263,275 | ) | | | (44,754 | ) | | | (1,218,521 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | $ | (1,383,346 | ) | | $ | (177,684 | ) | | $ | (1,205,662 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
298
| | | | |
| Ultra-Short Term Fixed Income Fund |
| (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, 2020, Ultra-Short Term Fixed Income Fund deposited cash collateral with brokers in the amount of $1,133,000 for open centrally cleared swap contracts.
| | | | | | |
Currency Abbreviations used in this schedule: | | Counterparty Abbreviations used in this schedule: |
| AUD | | — Australian Dollar | | BNP | | — BNP Paribas SA |
| CAD | | — Canadian Dollar | | 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 |
| MXN | | — Mexican Peso | | | | |
| USD | | — United States Dollar | | | | |
See pages 301-302 for definitions of ratings.
See Notes to Financial Statements.
299
| | | | | | | | |
| Alternative Strategies Fund | |
| | |
| Units | | | Security | | Value | |
|
| | OPEN END MUTUAL FUND SECURITIES — 96.1% | |
|
| | United States — 96.1% | |
| | 310,661 | | | American Beacon AHL Managed Futures Strategy Fund, Class Y | | $ | 3,358,250 | |
| | 234,305 | | | BlackRock Event Driven Equity Fund, Institutional Class | | | 2,258,704 | |
| | 190,497 | | | BlackRock Global Long/Short Credit Fund, Institutional Class | | | 1,874,489 | |
| | 224,520 | | | BlackRock Global Long/Short Equity Fund, Institutional Class | | | 2,658,313 | |
| | 185,904 | | | BNY Mellon Global Real Return, Class Y | | | 2,983,755 | |
| | 124,699 | | | Diamond Hill Long/Short Fund, Class I | | | 3,033,933 | |
| | 176,555 | | | Driehaus Event Driven Fund, Common Class | | | 2,228,122 | |
| | 354,471 | | | Goldman Sachs Absolute Return Tracker Fund, Institutional Class | | | 3,388,739 | |
| | 279,177 | | | John Hancock Seaport Long/Short Fund, Class I | | | 3,447,838 | |
| | 170,160 | | | LoCorr Market Trend Fund, Class I | | | 1,921,108 | |
| | 373,985 | | | PIMCO CommodityRealReturn Strategy Fund, Institutional Class | | | 2,053,176 | |
| | 227,656 | | | PIMCO Credit Opportunities Bond Fund, Institutional Class | | | 2,246,968 | |
| | 275,973 | | | PIMCO Mortgage Opportunities and Bond Fund, Class I-2 | | | 3,019,145 | |
| | 293,594 | | | Western Asset Macro Opportunities Fund, Class I | | | 3,311,735 | |
| | | | | | | | |
| | | | TOTAL INVESTMENTS — 96.1%
(Cost — $36,425,057) | | | 37,784,275 | |
| | | | | | | | |
| | | | Other Assets in Excess of Liabilities — 3.9% | | | 1,551,570 | |
| | | | | | | | |
| | | | TOTAL NET ASSETS — 100.0% | | $ | 39,335,845 | |
| | | | | | | | |
At August 31, 2020, 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
(Depreciation) | |
Alternative Strategies Fund | | $ | 36,532,310 | | | $ | 1,584,215 | | | $ | (332,250 | ) | | $ | 1,251,965 | |
| | | | |
| Summary of Investments by Security Type^ | |
Open End Mutual Fund Securities | | | 100.0 | % |
| | | | |
| ^ | As a percentage of total investments. |
See Notes to Financial Statements.
300
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 direct non-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. |
301
| | |
| 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 | | —Bondsrated “D” are in default and payment of interest and/or repayment of principal is in arrears. |
| |
| NR | | —Indicatesthat the bond is not rated by Standard & Poor’s, Moody’s, or Fitch. |
| |
| WD, WR | | —Indicatesthat 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. |
302
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| | |
| | | |
| Statements of Assets and Liabilities | | |
| | | | | | | | | | | | | | | | |
| | |
Large Cap
Equity
Fund | | | Small-Mid
Cap Equity
Fund | | | International
Equity
Fund | | | | |
| ASSETS: | | | | | | | | | | | | | | | | |
Unaffiliated investments, at value1,3 | | $ | 1,857,232,180 | | | $ | 627,371,192 | | | $ | 1,256,007,095 | | | | | |
Affiliated investments, at value2 | | | 1,721,653 | | | | — | | | | — | | | | | |
Foreign currency, at value4 | | | — | | | | — | | | | 114,895 | | | | | |
Cash | | | 2,757,860 | | | | 726,560 | | | | 158 | | | | | |
Receivable for securities sold | | | 89,379 | | | | 1,270,906 | | | | 2,170,471 | | | | | |
Receivable for TBA securities sold | | | — | | | | — | | | | — | | | | | |
Dividends and interest receivable from unaffiliated investments | | | 2,809,206 | | | | 566,110 | | | | 5,837,025 | | | | | |
Dividends and interest receivable from affiliated investments | | | — | | | | — | | | | — | | | | | |
Receivable for manager waiver | | | — | | | | — | | | | — | | | | | |
Receivable for Fund shares sold | | | 1,261,403 | | | | 553,727 | | | | 1,103,119 | | | | | |
Unrealized appreciation on open forward foreign currency contracts (Note 1) | | | — | | | | — | | | | — | | | | | |
Variation margin on open future contracts (Note 1) | | | — | | | | — | | | | — | | | | | |
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 | | | 831,984 | | | | 388,600 | | | | 151,155 | | | | | |
Foreign capital gains tax receivable | | | — | | | | — | | | | — | | | | | |
Prepaid expenses | | | 56,871 | | | | 25,820 | | | | 42,274 | | | | | |
| | | | | | | | | | | | | | | | |
Total Assets | | | 1,866,760,536 | | | | 630,902,915 | | | | 1,265,426,192 | | | | | |
| | | | | | | | | | | | | | | | |
| LIABILITIES: | | | | | | | | | | | | | | | | |
Reverse repurchase agreements, at value7 | | | — | | | | — | | | | — | | | | | |
Payable for collateral received from securities on loan | | | 8,042,887 | | | | 8,572,406 | | | | 5,375,517 | | | | | |
Payable for Fund shares repurchased | | | 3,122,304 | | | | 1,075,129 | | | | 2,242,748 | | | | | |
Payable for securities purchased | | | 947,103 | | | | 670,191 | | | | 2,494,543 | | | | | |
Payable for TBA securities purchased | | | — | | | | — | | | | — | | | | | |
Payable for sale-buyback transactions | | | — | | | | — | | | | — | | | | | |
Investment management fee payable | | | 556,073 | | | | 231,912 | | | | 539,210 | | | | | |
Transfer agent fees payable | | | 36,097 | | | | 12,008 | | | | 27,183 | | | | | |
Interest expense payable | | | — | | | | — | | | | — | | | | | |
Custody fee payable | | | 87,153 | | | | 34,284 | | | | 194,329 | | | | | |
Trustees’ fees payable | | | — | | | | — | | | | — | | | | | |
Variation margin on open future contracts (Note 1) | | | 27,010 | | | | 44,599 | | | | 11,976 | | | | | |
Variation margin on open centrally cleared swap contracts (Note 1) | | | — | | | | — | | | | — | | | | | |
Due to custodian | | | — | | | | — | | | | — | | | | | |
Forward sale commitments, at value5 (Note 1) | | | — | | | | — | | | | — | | | | | |
Options contracts written, at value6 (Note 1) | | | — | | | | — | | | | — | | | | | |
Unrealized depreciation on open OTC swap contracts | | | — | | | | — | | | | — | | | | | |
Upfront payment received on open OTC swap contracts | | | — | | | | — | | | | — | | | | | |
Unrealized depreciation on unfunded loan commitments | | | — | | | | — | | | | — | | | | | |
Unrealized depreciation on open forward foreign currency contracts (Note 1) | | | — | | | | — | | | | — | | | | | |
Deposits for collateral from counterparty | | | — | | | | — | | | | — | | | | | |
Foreign capital gains tax payable | | | — | | | | — | | | | — | | | | | |
Distributions payable | | | — | | | | — | | | | — | | | | | |
Audit fees payable | | | — | | | | — | | | | — | | | | | |
Accrued expenses | | | 141,042 | | | | 101,401 | | | | 212,137 | | | | | |
| | | | | | | | | | | | | | | | |
Total Liabilities | | | 12,959,669 | | | | 10,741,930 | | | | 11,097,643 | | | | | |
| | | | | | | | | | | | | | | | |
| Total Net Assets | | $ | 1,853,800,867 | | | $ | 620,160,985 | | | $ | 1,254,328,549 | | | | | |
| | | | | | | | | | | | | | | | |
| NET ASSETS: | | | | | | | | | | | | | | | | |
Paid-in-capital (Note 4) | | $ | 1,056,796,406 | | | $ | 478,821,179 | | | $ | 1,153,157,195 | | | | | |
Total distributable earnings (losses) | | | 797,004,461 | | | | 141,339,806 | | | | 101,171,354 | | | | | |
| | | | | | | | | | | | | | | | |
| Total Net Assets | | $ | 1,853,800,867 | | | $ | 620,160,985 | | | $ | 1,254,328,549 | | | | | |
| | | | | | | | | | | | | | | | |
| Shares Outstanding | | | 85,740,659 | | | | 34,433,935 | | | | 102,253,951 | | | | | |
| | | | | | | | | | | | | | | | |
| Net Asset Value | | $ | 21.62 | | | $ | 18.01 | | | $ | 12.27 | | | | | |
| | | | | | | | | | | | | | | | |
| 1 Unaffiliated investments, at cost | | $ | 1,082,151,083 | | | $ | 504,022,105 | | | $ | 1,051,451,141 | | | | | |
| | | | | | | | | | | | | | | | |
| 2 Affiliated investments, at cost | | $ | 795,894 | | | $ | — | | | $ | — | | | | | |
| | | | | | | | | | | | | | | | |
| 3 Includes securities on loan | | $ | 10,143,839 | | | $ | 10,619,181 | | | $ | 8,451,593 | | | | | |
| | | | | | | | | | | | | | | | |
| 4 Foreign currency, at cost | | $ | — | | | $ | — | | | $ | 71,985 | | | | | |
| | | | | | | | | | | | | | | | |
| 5 Proceeds received | | $ | — | | | $ | — | | | $ | — | | | | | |
| | | | | | | | | | | | | | | | |
| 6 Premiums received | | $ | — | | | $ | — | | | $ | — | | | | | |
| | | | | | | | | | | | | | | | |
| 7 Proceeds of reverse repurchase agreement | | $ | — | | | $ | — | | | $ | — | | | | | |
| | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
304
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | 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 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | 555,868,508 | | | $ | 1,027,219,039 | | | $ | 280,107,300 | | | $ | 205,328,785 | | | $ | 68,796,512 | | | $ | 238,946,553 | | | $ | 519,379,636 | | | $ | 37,784,275 | |
| | | | | — | | | | 1,622,932 | | | | — | | | | — | | | | — | | | | — | | | | 578,232 | | | | — | |
| | | | | 1,415,409 | | | | 1,530,250 | | | | — | | | | 352,517 | | | | — | | | | 499,207 | | | | — | | | | — | |
| | | | | 106 | | | | 247 | | | | 46 | | | | — | | | | 8 | | | | 1,953,193 | | | | 2,908,412 | | | | 1,249,760 | |
| | | | | 2,393,850 | | | | 17,356,671 | | | | 263,471 | | | | 3,717,919 | | | | — | | | | 101,556 | | | | 352,155 | | | | — | |
| | | | | — | | | | 9,116,718 | | | | — | | | | 110,262,856 | | | | — | | | | 36,964,414 | | | | — | | | | — | |
| | | | | 580,296 | | | | 5,120,812 | | | | 3,582,164 | | | | 619,535 | | | | 599,822 | | | | 323,423 | | | | 1,091,217 | | | | 7,565 | |
| | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 123 | | | | — | |
| | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 9,544 | |
| | | | | 464,532 | | | | 1,193,926 | | | | 367,740 | | | | 173,942 | | | | 71,837 | | | | 115,644 | | | | 722,887 | | | | 364,028 | |
| | | | | — | | | | 931,632 | | | | — | | | | 774,346 | | | | — | | | | 74,585 | | | | 122,733 | | | | — | |
| | | | | — | | | | — | | | | 18,063 | | | | — | | | | — | | | | — | | | | 34,498 | | | | — | |
| | | | | — | | | | — | | | | — | | | | 130,440 | | | | — | | | | 115,545 | | | | 356,348 | | | | — | |
| | | | | — | | | | 119,333 | | | | — | | | | 239,612 | | | | — | | | | — | | | | — | | | | — | |
| | | | | — | | | | 7,443 | | | | — | | | | 25,227 | | | | — | | | | — | | | | — | | | | — | |
| | | | | 182,994 | | | | 3,097,314 | | | | — | | | | 2,131,000 | | | | — | | | | 1,169,000 | | | | 1,676,000 | | | | — | |
| | | | | 68,112 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | 11,697 | | | | 53,883 | | | | 38,041 | | | | 14,154 | | | | 11,519 | | | | 37,938 | | | | 29,530 | | | | 7,323 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 560,985,504 | | | | 1,067,370,200 | | | | 284,376,825 | | | | 323,770,333 | | | | 69,479,698 | | | | 280,301,058 | | | | 527,251,771 | | | | 39,422,495 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | — | | | | — | | | | — | | | | 6,410,965 | | | | — | | | | 61,452,325 | | | | — | | | | — | |
| | | | | 7,604,720 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | 968,617 | | | | 2,156,032 | | | | 785,375 | | | | 213,648 | | | | 257,932 | | | | 245,986 | | | | 635,822 | | | | 20,721 | |
| | | | | 3,316,229 | | | | 23,374,993 | | | | 1,119,849 | | | | 2,267,705 | | | | — | | | | 126,963 | | | | 127,181,899 | | | | 7,584 | |
| | | | | — | | | | 58,391,241 | | | | — | | | | 169,368,152 | | | | — | | | | 61,853,258 | | | | — | | | | — | |
| | | | | — | | | | — | | | | — | | | | 829,726 | | | | — | | | | — | | | | — | | | | — | |
| | | | | 255,930 | | | | 299,925 | | | | 111,763 | | | | 48,318 | | | | 21,881 | | | | 55,327 | | | | 141,387 | | | | 18,360 | |
| | | | | 11,494 | | | | 22,959 | | | | 6,296 | | | | 3,150 | | | | 1,489 | | | | 3,296 | | | | 8,897 | | | | 772 | |
| | | | | — | | | | — | | | | — | | | | 607 | | | | — | | | | 4,841 | | | | — | | | | — | |
| | | | | 83,656 | | | | 162,900 | | | | 48,623 | | | | 76,470 | | | | 18,757 | | | | 37,623 | | | | 42,224 | | | | 14,327 | |
| | | | | 14,528 | | | | 4,159 | | | | — | | | | — | | | | — | | | | 2,870 | | | | 5,124 | | | | — | |
| | | | | 42,646 | | | | 469,421 | | | | — | | | | 71,229 | | | | — | | | | 38,013 | | | | — | | | | — | |
| | | | | — | | | | 231,354 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | — | | | | — | | | | — | | | | 41,447 | | | | — | | | | — | | | | 650 | | | | — | |
| | | | | — | | | | — | | | | — | | | | 6,832,641 | | | | — | | | | — | | | | — | | | | — | |
| | | | | — | | | | 125,211 | | | | — | | | | 56,746 | | | | — | | | | 4,040 | | | | — | | | | — | |
| | | | | — | | | | — | | | | — | | | | 150,193 | | | | — | | | | — | | | | — | | | | — | |
| | | | | — | | | | — | | | | — | | | | 138,149 | | | | — | | | | — | | | | — | | | | — | |
| | | | | — | | | | 1,291 | | | | 786 | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | — | | | | 830,408 | | | | — | | | | 1,661,290 | | | | — | | | | 519,084 | | | | 1,012,776 | | | | — | |
| | | | | — | | | | — | | | | — | | | | 357,000 | | | | — | | | | 10,000 | | | | — | | | | — | |
| | | | | 139,947 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | — | | | | 1,027 | | | | 707 | | | | — | | | | 67 | | | | — | | | | 73 | | | | — | |
| | | | | — | | | | — | | | | — | | | | — | | | | 21,065 | | | | — | | | | — | | | | 17,614 | |
| | | | | 134,926 | | | | 183,985 | | | | 61,693 | | | | 80,874 | | | | 11,177 | | | | 154,438 | | | | 126,529 | | | | 7,272 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 12,572,693 | | | | 86,254,906 | | | | 2,135,092 | | | | 188,608,310 | | | | 332,368 | | | | 124,508,064 | | | | 129,155,381 | | | | 86,650 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | 548,412,811 | | | $ | 981,115,294 | | | $ | 282,241,733 | | | $ | 135,162,023 | | | $ | 69,147,330 | | | $ | 155,792,994 | | | $ | 398,096,390 | | | $ | 39,335,845 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | 496,325,918 | | | $ | 910,566,557 | | | $ | 293,588,868 | | | $ | 131,250,673 | | | $ | 64,385,902 | | | $ | 138,973,496 | | | $ | 402,340,699 | | | $ | 38,820,567 | |
| | | | | 52,086,893 | | | | 70,548,737 | | | | (11,347,135 | ) | | | 3,911,350 | | | | 4,761,428 | | | | 16,819,498 | | | | (4,244,309 | ) | | | 515,278 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | 548,412,811 | | | $ | 981,115,294 | | | $ | 282,241,733 | | | $ | 135,162,023 | | | $ | 69,147,330 | | | $ | 155,792,994 | | | $ | 398,096,390 | | | $ | 39,335,845 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 37,378,656 | | | | 111,642,265 | | | | 78,290,790 | | | | 16,837,798 | | | | 7,254,821 | | | | 13,998,988 | | | | 39,851,742 | | | | 3,918,993 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | 14.67 | | | $ | 8.79 | | | $ | 3.61 | | | $ | 8.03 | | | $ | 9.53 | | | $ | 11.13 | | | $ | 9.99 | | | $ | 10.04 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | 448,047,679 | | | $ | 979,682,211 | | | $ | 266,944,530 | | | $ | 196,434,479 | | | $ | 64,733,654 | | | $ | 220,211,957 | | | $ | 516,568,962 | | | $ | 36,425,057 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | — | | | $ | 1,584,999 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 586,048 | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | 7,834,964 | | | $ | — | | | $ | 391,138 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | 1,410,485 | | | $ | 1,478,740 | | | $ | — | | | $ | 369,168 | | | $ | — | | | $ | 523,517 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | — | | | $ | — | | | $ | — | | | $ | 6,839,125 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | — | | | $ | 160,029 | | | $ | — | | | $ | 177,565 | | | $ | — | | | $ | 9,122 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | — | | | $ | — | | | $ | — | | | $ | 6,349,806 | | | $ | — | | | $ | 61,452,325 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
305
| | |
| For the Year Ended August 31, 2020 | | |
| | | | | | | | | | | | | | | | |
| | |
Large Cap
Equity
Fund | | | Small-Mid
Cap Equity
Fund | | | International
Equity
Fund | | | | |
| INVESTMENT INCOME: | | | | | | | | | | | | | | | | |
| | | | |
Dividends from unaffiliated investments | | $ | 29,043,262 | | | $ | 6,452,592 | | | $ | 30,606,880 | | | | | |
Dividends from affiliated investments | | | 47,097 | | | | — | | | | — | | | | | |
Interest from unaffiliated investments | | | 155,554 | | | | 97,821 | | | | 133,842 | | | | | |
Interest from affiliated investments | | | — | | | | — | | | | — | | | | | |
Income from securities lending | | | 76,281 | | | | 217,404 | | | | 229,507 | | | | | |
Less: Foreign taxes withheld (see Note 1s) | | | (31,265 | ) | | | (25,194 | ) | | | (2,983,893 | ) | | | | |
Miscellaneous income | | | — | | | | 183 | | | | — | | | | | |
| | | | | | | | | | | | | | | | |
Total Investment Income | | | 29,290,929 | | | | 6,742,806 | | | | 27,986,336 | | | | | |
| | | | | | | | | | | | | | | | |
| | | | |
| EXPENSES: | | | | | | | | | | | | | | | | |
| | | | |
Investment management fee (Note 2) | | | 9,689,640 | | | | 3,882,057 | | | | 9,129,951 | | | | | |
Transfer agent fees | | | 203,720 | | | | 60,680 | | | | 158,693 | | | | | |
Custody fees | | | 493,140 | | | | 215,158 | | | | 1,052,514 | | | | | |
Trustees’ fees | | | 276,262 | | | | 78,203 | | | | 228,346 | | | | | |
Shareholder reports | | | 289,131 | | | | 222,272 | | | | 300,857 | | | | | |
Insurance | | | 71,756 | | | | 19,744 | | | | 70,635 | | | | | |
Audit and tax | | | 59,567 | | | | 63,975 | | | | 125,607 | | | | | |
Legal fees | | | 96,985 | | | | 27,351 | | | | 107,400 | | | | | |
Registration fees | | | 37,436 | | | | 32,546 | | | | 39,427 | | | | | |
Other expense | | | 84,734 | | | | 22,048 | | | | 99,646 | | | | | |
Interest expense | | | — | | | | — | | | | — | | | | | |
| | | | | | | | | | | | | | | | |
Total Expenses | | | 11,302,371 | | | | 4,624,034 | | | | 11,313,076 | | | | | |
Less: Fee waivers and/or expense reimbursement (Note 2) | | | (3,451,778 | ) | | | (1,639,368 | ) | | | (2,083,146 | ) | | | | |
| | | | | | | | | | | | | | | | |
Net Expenses | | | 7,850,593 | | | | 2,984,666 | | | | 9,229,930 | | | | | |
| | | | | | | | | | | | | | | | |
Net Investment Income | | $ | 21,440,336 | | | $ | 3,758,140 | | | $ | 18,756,406 | | | | | |
| | | | | | | | | | | | | | | | |
| | | | |
| REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS, OPTIONS CONTRACTS WRITTEN, UNFUNDED LOAN COMMITMENTS, FORWARD SALE COMMITMENTS, SHORT SALES, SWAP CONTRACTS, FORWARD FOREIGN CURRENCY CONTRACTS, FOREIGN CURRENCY TRANSLATIONS AND CAPITAL GAIN DISTRIBUTIONS RECEIVED (NOTES 1 AND 3): | | | | | | | | | | | | | | | | |
| | | | |
Net Realized Gain (Loss) from: | | | | | | | | | | | | | | | | |
| | | | |
Unaffiliated Investments | | $ | 17,308,062 | | | $ | 18,375,273 | | | $ | (56,247,695 | ) | | | | |
Affiliated investments | | | 65,781 | | | | — | | | | — | | | | | |
Futures contracts | | | 1,716,236 | | | | (189,803 | ) | | | 1,526,304 | | | | | |
Options contracts written | | | — | | | | — | | | | — | | | | | |
Forward sale commitments | | | — | | | | — | | | | — | | | | | |
Short sales | | | — | | | | — | | | | — | | | | | |
Swap contracts | | | — | | | | — | | | | — | | | | | |
Forward foreign currency contracts | | | — | | | | — | | | | (1,340 | ) | | | | |
Foreign currency translations | | | 352,103 | | | | 112,799 | | | | 284,182 | | | | | |
Capital gain distributions received | | | — | | | | — | | | | — | | | | | |
| | | | | | | | | | | | | | | | |
Net Realized Gain (Loss): | | | 19,442,182 | | | | 18,298,269 | | | | (54,438,549 | ) | | | | |
| | | | | | | | | | | | | | | | |
Change in Net Unrealized Appreciation (Depreciation) from: | | | | | | | | | | | | | | | | |
| | | | |
Unaffiliated Investments | | | 278,337,522 | | | | 69,663,532 | | | | 152,480,012 | | | | | |
Affiliated Investments | | | 310,162 | | | | — | | | | — | | | | | |
Futures contracts | | | 1,204,427 | | | | 508,792 | | | | (1,316 | ) | | | | |
Options contracts written | | | — | | | | — | | | | — | | | | | |
Forward sale commitments | | | — | | | | — | | | | — | | | | | |
Swap contracts | | | — | | | | — | | | | — | | | | | |
Unfunded loan commitments | | | — | | | | — | | | | — | | | | | |
Forward foreign currency contracts | | | — | | | | — | | | | — | | | | | |
Foreign currency translations | | | 282 | | | | 1,284 | | | | 389,032 | | | | | |
| | | | | | | | | | | | | | | | |
Change in Net Unrealized Appreciation (Depreciation): | | | 279,852,393 | | | | 70,173,608 | | | | 152,867,728 | | | | | |
| | | | | | | | | | | | | | | | |
Net Gain (Loss) on Investments, Futures Contracts, Options Contracts Written, Unfunded Loan Commitments, Forward Sale Commitments, Swap Contracts, Forward Foreign Currency Contract, Foreign Currency Translations and Capital Gain Distributions Received | | | 299,294,575 | | | | 88,471,877 | | | | 98,429,179 | | | | | |
| | | | | | | | | | | | | | | | |
Total Increase in Net Assets from Operations | | $ | 320,734,911 | | | $ | 92,230,017 | | | $ | 117,185,585 | | | | | |
| | | | | | | | | | | | | | | | |
| (a) | Includes foreign capital gains tax of $25,112 for Emerging Markets Equity Fund. |
| (b) | Includes Net increase in accrued foreign capital gains tax of $144,257 for Emerging Markets Equity Fund. |
See Notes to Financial Statements.
306
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | 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 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | | $ | 13,088,721 | | | $ | — | | | $ | 118,832 | | | $ | — | | | $ | 46,750 | | | $ | — | | | $ | — | | | $ | 728,397 | |
| | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | 73,057 | | | | 30,939,232 | | | | 7,129,327 | | | | 4,963,639 | | | | 2,185,670 | | | | 5,611,884 | | | | 11,032,114 | | | | 24 | |
| | | | | — | | | | 64,608 | | | | — | | | | — | | | | — | | | | — | | | | 13,879 | | | | — | |
| | | | | 145,700 | | | | 1,430 | | | | 3,026 | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | (1,629,211 | ) | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | 4 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 171 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 11,678,271 | | | | 31,005,270 | | | | 7,251,185 | | | | 4,963,639 | | | | 2,232,420 | | | | 5,611,884 | | | | 11,046,164 | | | | 728,421 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | | | 4,621,227 | | | | 4,369,941 | | | | 890,350 | | | | 690,437 | | | | 307,778 | | | | 939,576 | | | | 2,283,531 | | | | 393,868 | |
| | | | | 63,080 | | | | 139,227 | | | | 15,600 | | | | 16,848 | | | | 9,639 | | | | 22,507 | | | | 56,818 | | | | 3,899 | |
| | | | | 645,407 | | | | 1,043,148 | | | | 247,730 | | | | 480,549 | | | | 119,436 | | | | 225,504 | | | | 284,059 | | | | 101,885 | |
| | | | | 110,619 | | | | 219,850 | | | | 17,353 | | | | 24,551 | | | | 13,881 | | | | 40,239 | | | | 92,814 | | | | 5,803 | |
| | | | | 215,024 | | | | 266,155 | | | | 82,181 | | | | 83,968 | | | | 20,822 | | | | 156,348 | | | | 187,942 | | | | 15,114 | |
| | | | | 23,408 | | | | 49,834 | | | | 2,277 | | | | 5,621 | | | | 3,801 | | | | 8,538 | | | | 20,930 | | | | 1,182 | |
| | | | | 121,950 | | | | 110,794 | | | | 67,151 | | | | 110,659 | | | | 54,085 | | | | 83,129 | | | | 64,648 | | | | 53,196 | |
| | | | | 28,563 | | | | 66,960 | | | | 5,171 | | | | 8,496 | | | | 6,207 | | | | 6,522 | | | | 18,639 | | | | 2,293 | |
| | | | | 40,333 | | | | 30,231 | | | | 21,199 | | | | 24,996 | | | | 24,804 | | | | 9,232 | | | | 30,407 | | | | 27,645 | |
| | | | | 34,512 | | | | 78,127 | | | | 4,162 | | | | 27,715 | | | | 4,764 | | | | 243,370 | | | | 27,642 | | | | 1,269 | |
| | | | | — | | | | — | | | | — | | | | 123,340 | | | | — | | | | 658,643 | | | | 69,869 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 5,904,123 | | | | 6,374,267 | | | | 1,353,174 | | | | 1,597,180 | | | | 565,217 | | | | 2,393,608 | | | | 3,137,299 | | | | 606,154 | |
| | | | | (1,609,049 | ) | | | (210,164 | ) | | | (264,618 | ) | | | (70,538 | ) | | | — | | | | (94,437 | ) | | | (234,934 | ) | | | (376,339 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 4,295,074 | | | | 6,164,103 | | | | 1,088,556 | | | | 1,526,642 | | | | 565,217 | | | | 2,299,171 | | | | 2,902,365 | | | | 229,815 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | 7,383,197 | | | $ | 24,841,167 | | | $ | 6,162,629 | | | $ | 3,436,997 | | | $ | 1,667,203 | | | $ | 3,312,713 | | | $ | 8,143,799 | | | $ | 498,606 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | |
|
|
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | | $ | (6,895,149 | )(a) | | $ | 27,419,066 | | | $ | 1,115,225 | | | $ | 787,219 | | | $ | 842,745 | | | $ | 5,689,374 | | | $ | 3,398,749 | | | $ | (966,870 | ) |
| | | | | — | | | | (487 | ) | | | — | | | | — | | | | — | | | | — | | | | 397 | | | | — | |
| | | | | 246,263 | | | | 8,899,781 | | | | (50,618 | ) | | | 56,758 | | | | (437,843 | ) | | | (1,203,351 | ) | | | 1,235,325 | | | | — | |
| | | | | — | | | | 3,949,371 | | | | — | | | | 393,727 | | | | — | | | | (58,262 | ) | | | — | | | | — | |
| | | | | — | | | | — | | | | — | | | | (65,094 | ) | | | — | | | | — | | | | — | | | | — | |
| | | | | — | | | | — | | | | — | | | | (45,280 | ) | | | — | | | | 18,109 | | | | 14,329 | | | | — | |
| | | | | — | | | | (8,553,015 | ) | | | — | | | | (1,739,835 | ) | | | — | | | | (303,950 | ) | | | (10,521,988 | ) | | | — | |
| | | | | — | | | | (1,334,298 | ) | | | — | | | | (1,020,101 | ) | | | — | | | | (347,471 | ) | | | 827,116 | | | | — | |
| | | | | (55,104 | ) | | | (228,408 | ) | | | — | | | | 269,773 | | | | — | | | | (27,986 | ) | | | 225,011 | | | | — | |
| | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 693,987 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | (6,703,990 | ) | | | 30,152,010 | | | | 1,064,607 | | | | (1,362,833 | ) | | | 404,902 | | | | 3,766,463 | | | | (4,821,061 | ) | | | (272,883 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | | | 42,839,731 | (b) | | | (180,062 | ) | | | 14,291,901 | | | | 367,238 | | | | (1,365,602 | ) | | | 7,970,662 | | | | (896,559 | ) | | | 483,310 | |
| | | | | — | | | | 6,112 | | | | — | | | | — | | | | — | | | | — | | | | (16,109 | ) | | | — | |
| | | | | 206,895 | | | | 949,647 | | | | 580 | | | | (237,698 | ) | | | (19,596 | ) | | | 266,014 | | | | 478,504 | | | | — | |
| | | | | — | | | | (48,902 | ) | | | — | | | | 123,594 | | | | — | | | | (35,420 | ) | | | — | | | | — | |
| | | | | — | | | | — | | | | — | | | | 6,484 | | | | — | | | | — | | | | — | | | | — | |
| | | | | — | | | | 3,764,948 | | | | — | | | | 42,055 | | | | — | | | | 779,483 | | | | 6,660,547 | | | | — | |
| | | | | — | | | | (1,293 | ) | | | (786 | ) | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | — | | | | 551,893 | | | | — | | | | (1,988,490 | ) | | | — | | | | (957,812 | ) | | | (1,580,633 | ) | | | — | |
| | | | | (6,644 | ) | | | 189,404 | | | | — | | | | (176,372 | ) | | | — | | | | 51,937 | | | | 236,862 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 43,039,982 | | | | 5,231,747 | | | | 14,291,695 | | | | (1,863,189 | ) | | | (1,385,198 | ) | | | 8,074,864 | | | | 4,882,612 | | | | 483,310 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | | | 36,335,992 | | | | 35,383,757 | | | | 15,356,302 | | | | (3,226,022 | ) | | | (980,296 | ) | | | 11,841,327 | | | | 61,551 | | | | 210,427 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | 43,719,189 | | | $ | 60,224,924 | | | $ | 21,518,931 | | | $ | 210,975 | | | $ | 686,907 | | | $ | 15,154,040 | | | $ | 8,205,350 | | | $ | 709,033 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
307
| | |
| | | |
| Statements of Changes in Net Assets | | |
| | |
| For the Years Ended August 31, 2020 and August 31, 2019 | | |
| | | | | | | | | | | | | | | | | | | | |
| | | Large Cap Equity Fund | | | Small-Mid Cap Equity Fund | | | | |
| | | 2020 | | | 2019 | | | 2020 | | | 2019 | | | | |
| OPERATIONS: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income | | $ | 21,440,336 | | | $ | 22,630,797 | | | $ | 3,758,140 | | | $ | 2,822,448 | | | | | |
Net realized gain (loss) | | | 19,442,182 | | | | 69,268,848 | | | | 18,298,269 | | | | 57,979,006 | | | | | |
Change in unrealized appreciation (depreciation) | | | 279,852,393 | | | | (78,336,314 | ) | | | 70,173,608 | | | | (94,485,990 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | |
Increase (Decrease) in Net Assets from Operations | | | 320,734,911 | | | | 13,563,331 | | | | 92,230,017 | | | | (33,684,536 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | |
| DISTRIBUTIONS TO SHAREHOLDERS FROM (NOTE 1): | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Distributable earnings | | | (77,893,014 | ) | | | (178,205,387 | ) | | | (49,102,404 | ) | | | (61,098,943 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | |
Decrease in Net Assets from Distributions to Shareholders | | | (77,893,014 | ) | | | (178,205,387 | ) | | | (49,102,404 | ) | | | (61,098,943 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | |
| FUND SHARE TRANSACTIONS (NOTE 4): | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net proceeds from sale of shares | | | 321,453,670 | | | | 186,428,548 | | | | 224,150,769 | | | | 102,921,348 | | | | | |
Reinvestment of distributions | | | 77,891,987 | | | | 178,200,572 | | | | 49,101,666 | | | | 61,098,668 | | | | | |
Cost of shares repurchased | | | (342,309,841 | ) | | | (382,597,048 | ) | | | (118,873,225 | ) | | | (166,981,193 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | |
Increase (Decrease) in Net Assets from Fund Share Transactions | | | 57,035,816 | | | | (17,967,928 | ) | | | 154,379,210 | | | | (2,961,177 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | |
Increase (Decrease) in Net Assets | | | 299,877,713 | | | | (182,609,984 | ) | | | 197,506,823 | | | | (97,744,656 | ) | | | | |
| NET ASSETS: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Beginning of year | | | 1,553,923,154 | | | | 1,736,533,138 | | | | 422,654,162 | | | | 520,398,818 | | | | | |
| | | | | | | | | | | | | | | | | | | | |
End of year | | $ | 1,853,800,867 | | | $ | 1,553,923,154 | | | $ | 620,160,985 | | | $ | 422,654,162 | | | | | |
| | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
308
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | International Equity Fund | | | Emerging Markets Equity Fund | | | Core Fixed Income Fund | | | High Yield Fund | |
| | | | 2020 | | | 2019 | | | 2020 | | | 2019 | | | 2020 | | | 2019 | | | 2020 | | | 2019 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | | $ | 18,756,406 | | | $ | 36,024,154 | | | $ | 7,383,197 | | | $ | 9,687,466 | | | $ | 24,841,167 | | | $ | 27,403,261 | | | $ | 6,162,629 | | | $ | 2,727,034 | |
| | | | | (54,438,549 | ) | | | (45,026,132 | ) | | | (6,703,990 | ) | | | (9,905,939 | ) | | | 30,152,010 | | | | 20,772,717 | | | | 1,064,607 | | | | (248,212 | ) |
| | | | | 152,867,728 | | | | (87,407,761 | ) | | | 43,039,982 | | | | (2,929,212 | ) | | | 5,231,747 | | | | 54,452,797 | | | | 14,291,695 | | | | 228,305 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 117,185,585 | | | | (96,409,739 | ) | | | 43,719,189 | | | | (3,147,685 | ) | | | 60,224,924 | | | | 102,628,775 | | | | 21,518,931 | | | | 2,707,127 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | | | (36,438,560 | ) | | | (31,325,356 | ) | | | (9,873,780 | ) | | | (7,592,456 | ) | | | (31,609,573 | ) | | | (29,106,437 | ) | | | (6,497,717 | ) | | | (2,874,860 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | (36,438,560 | ) | | | (31,325,356 | ) | | | (9,873,780 | ) | | | (7,592,456 | ) | | | (31,609,573 | ) | | | (29,106,437 | ) | | | (6,497,717 | ) | | | (2,874,860 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | | | 270,691,117 | | | | 239,957,016 | | | | 104,378,670 | | | | 102,041,051 | | | | 191,008,875 | | | | 446,598,356 | | | | 235,542,532 | | | | 11,141,650 | |
| | | | | 36,437,906 | | | | 31,325,332 | | | | 9,873,619 | | | | 7,592,437 | | | | 31,609,499 | | | | 29,106,798 | | | | 6,497,134 | | | | 2,874,977 | |
| | | | | (444,589,318 | ) | | | (509,040,936 | ) | | | (92,236,972 | ) | | | (104,107,655 | ) | | | (473,650,990 | ) | | | (212,612,744 | ) | | | (23,730,182 | ) | | | (23,401,205 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | | | (137,460,295 | ) | | | (237,758,588 | ) | | | 22,015,317 | | | | 5,525,833 | | | | (251,032,616 | ) | | | 263,092,410 | | | | 218,309,484 | | | | (9,384,578 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | (56,713,270 | ) | | | (365,493,683 | ) | | | 55,860,726 | | | | (5,214,308 | ) | | | (222,417,265 | ) | | | 336,614,748 | | | | 233,330,698 | | | | (9,552,311 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | | | 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 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | 1,254,328,549 | | | $ | 1,311,041,819 | | | $ | 548,412,811 | | | $ | 492,552,085 | | | $ | 981,115,294 | | | $ | 1,203,532,559 | | | $ | 282,241,733 | | | $ | 48,911,035 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
309
| | |
| | | |
| Statements of Changes in Net Assets | | |
| | |
| For the Years Ended August 31, 2020 and August 31, 2019 | | |
| | | | | | | | | | | | | | | | | | | | |
| | | International Fixed Income Fund | | | Municipal Bond Fund | | | | |
| | | 2020 | | | 2019 | | | 2020 | | | 2019 | | | | |
| OPERATIONS: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income | | $ | 3,436,997 | | | $ | 1,101,769 | | | $ | 1,667,203 | | | $ | 1,722,796 | | | | | |
Net realized gain (loss) | | | (1,362,833 | ) | | | 5,402,825 | | | | 404,902 | | | | 568,254 | | | | | |
Change in unrealized appreciation (depreciation) | | | (1,863,189 | ) | | | 7,187,476 | | | | (1,385,198 | ) | | | 3,630,430 | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Increase in Net Assets from Operations | | | 210,975 | | | | 13,692,070 | | | | 686,907 | | | | 5,921,480 | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| DISTRIBUTIONS TO SHAREHOLDERS FROM (NOTE 1): | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Distributable earnings | | | (6,470,801 | ) | | | (4,871,339 | ) | | | (2,196,820 | ) | | | (1,901,725 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | |
Decrease in Net Assets from Distributions to Shareholders | | | (6,470,801 | ) | | | (4,871,339 | ) | | | (2,196,820 | ) | | | (1,901,725 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | |
| FUND SHARE TRANSACTIONS (NOTE 4): | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net proceeds from sale of shares | | | 25,151,017 | | | | 20,468,860 | | | | 14,213,472 | | | | 35,161,516 | | | | | |
Reinvestment of distributions | | | 6,470,738 | | | | 4,871,339 | | | | 2,196,764 | | | | 1,901,976 | | | | | |
Cost of shares repurchased | | | (37,198,843 | ) | | | (31,758,662 | ) | | | (31,387,627 | ) | | | (19,072,643 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | |
Increase (Decrease) in Net Assets from Fund Share Transactions | | | (5,577,088 | ) | | | (6,418,463 | ) | | | (14,977,391 | ) | | | 17,990,849 | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Increase (Decrease) in Net Assets | | | (11,836,914 | ) | | | 2,402,268 | | | | (16,487,304 | ) | | | 22,010,604 | | | | | |
| NET ASSETS: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Beginning of year | | | 146,998,937 | | | | 144,596,669 | | | | 85,634,634 | | | | 63,624,030 | | | | | |
| | | | | | | | | | | | | | | | | | | | |
End of year | | $ | 135,162,023 | | | $ | 146,998,937 | | | $ | 69,147,330 | | | $ | 85,634,634 | | | | | |
| | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
310
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | Inflation-Linked Fixed Income Fund | | | Ultra-Short Term Fixed Income Fund | | | Alternative Strategies Fund | |
| | | | 2020 | | | 2019 | | | 2020 | | | 2019 | | | 2020 | | | 2019 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | | | $ | 3,312,713 | | | $ | 5,681,713 | | | $ | 8,143,799 | | | $ | 12,731,611 | | | $ | 498,606 | | | $ | 158,030 | |
| | | | | 3,766,463 | | | | (2,836,919 | ) | | | (4,821,061 | ) | | | 1,395,734 | | | | (272,883 | ) | | | (130,569 | ) |
| | | | | 8,074,864 | | | | 11,210,285 | | | | 4,882,612 | | | | (4,154,718 | ) | | | 483,310 | | | | 850,721 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 15,154,040 | | | | 14,055,079 | | | | 8,205,350 | | | | 9,972,627 | | | | 709,033 | | | | 878,182 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | | | | (2,532,631 | ) | | | (5,096,357 | ) | | | (7,631,973 | ) | | | (13,471,881 | ) | | | (996,291 | ) | | | (95,504 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | | | | (2,532,631 | ) | | | (5,096,357 | ) | | | (7,631,973 | ) | | | (13,471,881 | ) | | | (996,291 | ) | | | (95,504 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | | | | 29,664,160 | | | | 29,466,773 | | | | 92,942,173 | | | | 105,555,158 | | | | 24,543,385 | | | | 26,545,340 | |
| | | | | 2,532,629 | | | | 5,096,511 | | | | 7,632,233 | | | | 13,472,931 | | | | 996,291 | | | | 95,504 | |
| | | | | (105,689,502 | ) | | | (66,776,158 | ) | | | (200,341,040 | ) | | | (125,374,618 | ) | | | (12,767,133 | ) | | | (6,302,023 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | | | | (73,492,713 | ) | | | (32,212,874 | ) | | | (99,766,634 | ) | | | (6,346,529 | ) | | | 12,772,543 | | | | 20,338,821 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | (60,871,304 | ) | | | (23,254,152 | ) | | | (99,193,257 | ) | | | (9,845,783 | ) | | | 12,485,285 | | | | 21,121,499 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | | | | 216,664,298 | | | | 239,918,450 | | | | 497,289,647 | | | | 507,135,430 | | | | 26,850,560 | | | | 5,729,061 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | 155,792,994 | | | $ | 216,664,298 | | | $ | 398,096,390 | | | $ | 497,289,647 | | | $ | 39,335,845 | | | $ | 26,850,560 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
311
| | |
| For the Year Ended August 31, 2020 | | |
| | | | | | | | |
| | | 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 | | $ | 210,975 | | | $ | 15,154,040 | |
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 | | | (867,190,438 | ) | | | (520,222,774 | ) |
Proceeds from the sale and maturity of long-term investments | | | 865,443,161 | | | | 616,818,263 | |
Payments from short-term investments, net | | | (4,194,209 | ) | | | (325,621 | ) |
Decrease to the principal amount of inflation-indexed bonds | | | (49,328 | ) | | | (1,257,377 | ) |
Change in net unrealized appreciation/depreciation from unaffiliated investments | | | (367,238 | ) | | | (7,970,662 | ) |
Change in net unrealized appreciation/depreciation from options contracts written | | | (123,594 | ) | | | 35,420 | |
Change in net unrealized appreciation/depreciation on open OTC swap contracts | | | (266,175 | ) | | | (16,438 | ) |
Increase/Decrease in variation margin on open centrally cleared swap contracts | | | (67,746 | ) | | | 58,830 | |
Net amortization (accretion) of premiums (discounts) of investments | | | (1,272,082 | ) | | | (1,226,723 | ) |
Net realized gain from unaffiliated investments | | | (787,119 | ) | | | (5,689,374 | ) |
Increase/Decrease in premium received on options contracts written | | | 16,095 | | | | (114,257 | ) |
Decrease in variation margin on open futures contracts | | | 58,024 | | | | 52,542 | |
Increase/Decrease in receivable for securities sold | | | (1,893,783 | ) | | | 112,141 | |
Increase/Decrease in receivable for TBA securities sold | | | (55,423,426 | ) | | | 22,832,994 | |
Decrease in dividends and interest receivable from unaffiliated investments | | | 247,490 | | | | 153,978 | |
Increase/Decrease in deposits for collateral with counterparty | | | (229,000 | ) | | | 275,000 | |
Decrease in net upfront payments received/paid on OTC open swap contracts | | | 10,184 | | | | 14,453 | |
Increase for due to custodian | | | 41,447 | | | | — | |
Decrease in forward sale commitments | | | 6,832,641 | | | | — | |
Increase/Decrease in prepaid expenses | | | 2,257 | | | | (15,383 | ) |
Decrease in unrealized appreciation on open forward foreign currency contracts | | | 1,659,520 | | | | 734,667 | |
Increase/Decrease in payable for securities purchased | | | 109,108 | | | | (828,251 | ) |
Increase/Decrease in payable for TBA securities purchased | | | 79,541,379 | | | | (41,853,098 | ) |
Increase in deposits for collateral from counterparty | | | (23,000 | ) | | | (673,000 | ) |
Decrease in investment management fee payable | | | (7,615 | ) | | | (27,284 | ) |
Decrease in interest expense payable | | | (14,849 | ) | | | (43,723 | ) |
Increase/Decrease in custody fee payable | | | (6,259 | ) | | | 5,798 | |
Increase in transfer agent fees payable | | | 874 | | | | 182 | |
Increase in trustees’ fees payable | | | — | | | | 2,870 | |
Increase in unrealized depreciation on open forward foreign currency contracts | | | 328,970 | | | | 223,145 | |
Increase/Decrease in accrued expenses | | | (3,570 | ) | | | 41,757 | |
| | | | | | | | |
Net cash and foreign currency provided by operating activities | | | 22,582,694 | | | | 76,252,115 | |
| | | | | | | | |
| | |
Cash Flows Provided by/Used in Financing Activities: | | | | | | | | |
Proceeds from sale-buyback transactions | | | 71,870,828 | | | | 125,797,785 | |
Payments on sale-buyback transactions | | | (71,814,357 | ) | | | (130,929,301 | ) |
Proceeds from reverse repurchase agreements | | | (10,524,940 | ) | | | 7,364,324 | |
Proceeds from sale of shares | | | 25,091,627 | | | | 29,708,383 | |
Cost of shares repurchased | | | (37,112,232 | ) | | | (105,667,872 | ) |
Distributions to shareholders, net of reinvestments | | | (63 | ) | | | (26 | ) |
| | | | | | | | |
Net cash and foreign currency used in financing activities | | | (22,489,137 | ) | | | (73,726,707 | ) |
| | | | | | | | |
Net increase in cash and foreign currency (a) | | | 93,557 | | | | 2,525,408 | |
| | | | | | | | |
| | |
Cash and Foreign Currency: | | | | | | | | |
Cash, cash equivalents and foreign cash at the beginning of the year | | | 258,960 | | | | (73,008 | ) |
| | | | | | | | |
Cash, cash equivalents and foreign cash at end of the year | | $ | 352,517 | | | $ | 2,452,400 | |
| | | | | | | | |
| | |
Non-Cash Financing Activities: | | | | | | | | |
Reinvestment of distributions | | $ | (6,470,738 | ) | | $ | (2,532,629 | ) |
| | | | | | | | |
| (a) | Includes net change in unrealized appreciation (depreciation) on foreign currency of $(136,908) and $(6,258) for International Fixed Income Fund and Inflation-Linked Fixed Income Fund, respectively. |
See Notes to Financial Statements.
312
For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| Large Cap Equity Fund | | | | | | | | | | | | | | | |
| | | 2020 | | | 2019 | | | 2018 | | | 2017 | | | 2016 | |
Net Asset Value, Beginning of Year | | $ | 19.10 | | | $ | 21.31 | | | $ | 18.76 | | | $ | 17.06 | | | $ | 20.63 | |
| | | | | | | | | | | | | | | | | | | | |
| Income from Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income(1) | | | 0.26 | | | | 0.27 | | | | 0.26 | | | | 0.25 | | | | 0.19 | |
Net realized and unrealized gain (loss) | | | 3.23 | | | | (0.24 | ) | | | 3.18 | | | | 2.05 | | | | 1.15 | |
| | | | | | | | | | | | | | | | | | | | |
Total Income from Operations | | | 3.49 | | | | 0.03 | | | | 3.44 | | | | 2.30 | | | | 1.34 | |
| | | | | | | | | | | | | | | | | | | | |
| Less Distributions from: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.20 | ) | | | (0.34 | ) | | | (0.24 | ) | | | (0.27 | ) | | | (0.11 | ) |
Net realized gain | | | (0.77 | ) | | | (1.90 | ) | | | (0.65 | ) | | | (0.33 | ) | | | (4.80 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.97 | ) | | | (2.24 | ) | | | (0.89 | ) | | | (0.60 | ) | | | (4.91 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Year | | $ | 21.62 | | | $ | 19.10 | | | $ | 21.31 | | | $ | 18.76 | | | $ | 17.06 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return†(2) | | | 18.85 | % | | | 1.32 | % | | | 18.89 | % | | | 13.86 | % | | | 7.08 | % |
Net Assets, End of Year (millions) | | $ | 1,854 | | | $ | 1,554 | | | $ | 1,737 | | | $ | 1,687 | | | $ | 1,709 | |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | 0.70 | % | | | 0.69 | % | | | 0.69 | % | | | 0.69 | % | | | 0.69 | % |
Net expenses(3) | | | 0.49 | | | | 0.48 | | | | 0.48 | | | | 0.48 | | | | 0.56 | |
Net investment income | | | 1.33 | | | | 1.43 | | | | 1.29 | | | | 1.40 | | | | 1.10 | |
Portfolio Turnover Rate | | | 21 | % | | | 13 | % | | | 29 | % | | | 18 | % | | | 105 | % |
| (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.
313
For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| Small-Mid Cap Equity Fund | | | | | | | | | | | | | | | |
| | | 2020 | | | 2019 | | | 2018 | | | 2017 | | | 2016 | |
Net Asset Value, Beginning of Year | | $ | 18.60 | | | $ | 23.06 | | | $ | 19.53 | | | $ | 17.40 | | | $ | 24.39 | |
| | | | | | | | | | | | | | | | | | | | |
| Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income(1) | | | 0.13 | | | | 0.12 | | | | 0.10 | | | | 0.10 | | | | 0.05 | |
Net realized and unrealized gain (loss) | | | 1.48 | | | | (1.83 | ) | | | 4.14 | | | | 2.39 | | | | (1.22 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Income (Loss) from Operations | | | 1.61 | | | | (1.71 | ) | | | 4.24 | | | | 2.49 | | | | (1.17 | ) |
| | | | | | | | | | | | | | | | | | | | |
| Less Distributions from: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.10 | ) | | | (0.10 | ) | | | (0.03 | ) | | | (0.06 | ) | | | — | |
Net realized gain | | | (2.10 | ) | | | (2.65 | ) | | | (0.68 | ) | | | (0.30 | ) | | | (5.82 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (2.20 | ) | | | (2.75 | ) | | | (0.71 | ) | | | (0.36 | ) | | | (5.82 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Year | | $ | 18.01 | | | $ | 18.60 | | | $ | 23.06 | | | $ | 19.53 | | | $ | 17.40 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return†(2) | | | 8.78 | % | | | (6.25 | )% | | | 22.17 | % | | | 14.49 | % | | | (5.51 | )% |
Net Assets, End of Year (millions) | | $ | 620 | | | $ | 423 | | | $ | 520 | | | $ | 674 | | | $ | 475 | |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | 0.96 | % | | | 0.98 | % | | | 0.92 | % | | | 0.94 | % | | | 0.99 | % |
Net expenses(3) | | | 0.62 | | | | 0.66 | | | | 0.61 | | | | 0.63 | | | | 0.79 | |
Net investment income | | | 0.77 | | | | 0.63 | | | | 0.47 | | | | 0.52 | | | | 0.28 | |
Portfolio Turnover Rate | | | 45 | % | | | 65 | % | | | 34 | % | | | 34 | % | | | 151 | % |
| (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.
314
For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| International Equity Fund | | | | | | | | | | | | | | | |
| | | 2020 | | | 2019 | | | 2018 | | | 2017 | | | 2016 | |
Net Asset Value, Beginning of Year | | $ | 11.59 | | | $ | 12.64 | | | $ | 12.34 | | | $ | 10.83 | | | $ | 10.91 | |
| | | | | | | | | | | | | | | | | | | | |
| Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income(1) | | | 0.17 | | | | 0.28 | | | | 0.27 | | | | 0.24 | | | | 0.21 | |
Net realized and unrealized gain (loss) | | | 0.84 | | | | (1.09 | ) | | | 0.24 | | | | 1.56 | | | | (0.10 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Income (Loss) from Operations | | | 1.01 | | | | (0.81 | ) | | | 0.51 | | | | 1.80 | | | | 0.11 | |
| | | | | | | | | | | | | | | | | | | | |
| Less Distributions from: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.33 | ) | | | (0.24 | ) | | | (0.21 | ) | | | (0.29 | ) | | | (0.19 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Year | | $ | 12.27 | | | $ | 11.59 | | | $ | 12.64 | | | $ | 12.34 | | | $ | 10.83 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return†(2) | | | 8.64 | % | | | (6.34 | )% | | | 4.15 | % | | | 17.14 | % | | | 0.96 | % |
Net Assets, End of Year (millions) | | $ | 1,254 | | | $ | 1,311 | | | $ | 1,677 | | | $ | 1,244 | | | $ | 1,122 | |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | 0.87 | % | | | 0.84 | % | | | 0.83 | % | | | 0.83 | % | | | 0.82 | % |
Net expenses(3) | | | 0.71 | | | | 0.68 | | | | 0.66 | | | | 0.65 | | | | 0.76 | |
Net investment income | | | 1.44 | | | | 2.40 | | | | 2.07 | | | | 2.15 | | | | 2.02 | |
Portfolio Turnover Rate | | | 39 | % | | | 28 | % | | | 41 | % | | | 27 | % | | | 64 | % |
| (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. |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| Emerging Markets Equity Fund | | | | | | | | | | | | | | | |
| | | 2020 | | | 2019 | | | 2018 | | | 2017 | | | 2016 | |
Net Asset Value, Beginning of Year | | $ | 14.00 | | | $ | 14.29 | | | $ | 15.33 | | | $ | 12.36 | | | $ | 10.87 | |
| | | | | | | | | | | | | | | | | | | | |
| Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income(1) | | | 0.20 | | | | 0.27 | | | | 0.22 | | | | 0.20 | | | | 0.13 | |
Net realized and unrealized gain (loss) | | | 0.75 | | | | (0.34 | ) | | | (1.06 | ) | | | 2.90 | | | | 1.51 | |
| | | | | | | | | | | | | | | | | | | | |
Total Income (Loss) from Operations | | | 0.95 | | | | (0.07 | ) | | | (0.84 | ) | | | 3.10 | | | | 1.64 | |
| | | | | | | | | | | | | | | | | | | | |
| Less Distributions from: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.28 | ) | | | (0.22 | ) | | | (0.20 | ) | | | (0.13 | ) | | | (0.15 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Year | | $ | 14.67 | | | $ | 14.00 | | | $ | 14.29 | | | $ | 15.33 | | | $ | 12.36 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return†(2) | | | 6.79 | % | | | (0.40 | )% | | | (5.55 | )% | | | 25.48 | % | | | 15.31 | % |
Net Assets, End of Year (millions) | | $ | 548 | | | $ | 493 | | | $ | 498 | | | $ | 488 | | | $ | 428 | |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | 1.15 | % | | | 1.13 | % | | | 1.11 | % | | | 1.14 | % | | | 1.13 | % |
Net expenses(3) | | | 0.84 | | | | 0.82 | | | | 0.80 | | | | 0.86 | | | | 0.96 | |
Net investment income | | | 1.44 | | | | 1.95 | | | | 1.42 | | | | 1.51 | | | | 1.15 | |
Portfolio Turnover Rate | | | 23 | % | | | 22 | % | | | 24 | % | | | 27 | % | | | 99 | % |
| (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.
315
For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| Core Fixed Income Fund | | | | | | | | | | | | | | | |
| | | 2020 | | | 2019 | | | 2018 | | | 2017 | | | 2016 | |
Net Asset Value, Beginning of Year | | $ | 8.42 | | | $ | 7.86 | | | $ | 8.19 | | | $ | 8.41 | | | $ | 8.23 | |
| | | | | | | | | | | | | | | | | | | | |
| Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income(1) | | | 0.19 | | | | 0.23 | | | | 0.20 | | | | 0.19 | | | | 0.20 | |
Net realized and unrealized gain (loss) | | | 0.42 | | | | 0.57 | | | | (0.31 | ) | | | (0.11 | ) | | | 0.27 | |
| | | | | | | | | | | | | | | | | | | | |
Total Income (Loss) from Operations | | | 0.61 | | | | 0.80 | | | | (0.11 | ) | | | 0.08 | | | | 0.47 | |
| | | | | | | | | | | | | | | | | | | | |
| Less Distributions from: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.22 | ) | | | (0.24 | ) | | | (0.21 | ) | | | (0.22 | ) | | | (0.23 | ) |
Tax return of capital | | | — | | | | — | | | | (0.01 | ) | | | — | | | | — | |
Net realized gain | | | (0.02 | ) | | | — | | | | — | | | | (0.08 | ) | | | (0.06 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.24 | ) | | | (0.24 | ) | | | (0.22 | ) | | | (0.30 | ) | | | (0.29 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Year | | $ | 8.79 | | | $ | 8.42 | | | $ | 7.86 | | | $ | 8.19 | | | $ | 8.41 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return†(2) | | | 7.46 | % | | | 10.39 | % | | | (1.35 | )% | | | 1.07 | % | | | 5.84 | % |
Net Assets, End of Year (millions) | | $ | 981 | | | $ | 1,204 | | | $ | 867 | | | $ | 710 | | | $ | 722 | |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | 0.58 | % | | | 0.57 | % | | | 0.57 | % | | | 0.58 | %(3) | | | 0.55 | %(3) |
Net expenses(4) | | | 0.56 | | | | 0.56 | | | | 0.56 | | | | 0.56 | (3) | | | 0.54 | (3) |
Net investment income | | | 2.27 | | | | 2.85 | | | | 2.49 | | | | 2.32 | | | | 2.42 | |
Portfolio Turnover Rate | | | 216 | % | | | 210 | % | | | 253 | % | | | 236 | % | | | 245 | % |
| (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 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.
316
For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| High Yield Fund | | | | | | | | | | | | | | | |
| | | 2020 | | | 2019 | | | 2018 | | | 2017 | | | 2016 | |
Net Asset Value, Beginning of Year | | $ | 3.76 | | | $ | 3.77 | | | $ | 3.86 | | | $ | 3.78 | | | $ | 3.88 | |
| | | | | | | | | | | | | | | | | | | | |
| Income from Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income(1) | | | 0.17 | | | | 0.19 | | | | 0.20 | | | | 0.22 | | | | 0.23 | |
Net realized and unrealized gain (loss) | | | (0.15 | ) | | | — | | | | (0.08 | ) | | | 0.10 | | | | (0.09 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Income from Operations | | | 0.02 | | | | 0.19 | | | | 0.12 | | | | 0.32 | | | | 0.14 | |
| | | | | | | | | | | | | | | | | | | | |
| Less Distributions from: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.17 | ) | | | (0.20 | ) | | | (0.21 | ) | | | (0.24 | ) | | | (0.24 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Year | | $ | 3.61 | | | $ | 3.76 | | | $ | 3.77 | | | $ | 3.86 | | | $ | 3.78 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return†(2) | | | 0.14 | % | | | 5.58 | % | | | 3.20 | % | | | 8.38 | % | | | 4.02 | % |
Net Assets, End of Year (millions) | | $ | 282 | | | $ | 49 | | | $ | 58 | | | $ | 173 | | | $ | 325 | |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | 1.07 | % | | | 1.32 | % | | | 1.17 | % | | | 0.95 | % | | | 0.88 | % |
Net expenses(3) | | | 0.86 | | | | 1.12 | | | | 0.97 | | | | 0.75 | | | | 0.70 | |
Net investment income | | | 4.85 | | | | 5.09 | | | | 5.27 | | | | 5.65 | | | | 6.21 | |
Portfolio Turnover Rate | | | 84 | % | | | 43 | % | | | 57 | % | | | 72 | % | | | 64 | % |
| (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.
317
For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| International Fixed Income Fund | | | | | | | | | | | | | | | |
| | | 2020 | | | 2019 | | | 2018 | | | 2017 | | | 2016 | |
Net Asset Value, Beginning of Year | | $ | 8.35 | | | $ | 7.86 | | | $ | 7.78 | | | $ | 7.79 | | | $ | 7.61 | |
| | | | | | | | | | | | | | | | | | | | |
| Income from Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income(1) | | | 0.20 | | | | 0.06 | | | | 0.14 | | | | 0.14 | | | | 0.13 | |
Net realized and unrealized gain (loss) | | | (0.15 | ) | | | 0.70 | | | | 0.03 | | | | (0.07 | ) | | | 0.56 | |
| | | | | | | | | | | | | | | | | | | | |
Total Income from Operations | | | 0.05 | | | | 0.76 | | | | 0.17 | | | | 0.07 | | | | 0.69 | |
| | | | | | | | | | | | | | | | | | | | |
| Less Distributions from: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.35 | ) | | | (0.27 | ) | | | (0.09 | ) | | | (0.08 | ) | | | (0.51 | ) |
Net realized gain | | | (0.02 | ) | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.37 | ) | | | (0.27 | ) | | | (0.09 | ) | | | (0.08 | ) | | | (0.51 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Year | | $ | 8.03 | | | $ | 8.35 | | | $ | 7.86 | | | $ | 7.78 | | | $ | 7.79 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return†(2) | | | 0.75 | % | | | 10.01 | % | | | 2.25 | % | | | 0.98 | % | | | 9.56 | % |
Net Assets, End of Year (millions) | | $ | 135 | | | $ | 147 | | | $ | 145 | | | $ | 148 | | | $ | 192 | |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
Gross expenses(3) | | | 1.16 | % | | | 1.24 | % | | | 1.01 | % | | | 1.06 | % | | | 0.87 | % |
Net expenses(3)(4) | | | 1.11 | | | | 1.19 | | | | 0.95 | | | | 1.01 | | | | 0.83 | |
Net investment income | | | 2.49 | | | | 0.77 | | | | 1.76 | | | | 1.82 | | | | 1.71 | |
Portfolio Turnover Rate | | | 437 | % | | | 265 | % | | | 203 | % | | | 268 | % | | | 199 | % |
| (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 and sale-buyback transactions which represents 0.09%, 0.15%, 0.04%, 0.11%, and 0.04%, 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.
318
For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| Municipal Bond Fund | | | | | | | | | | | | | | | |
| | | 2020 | | | 2019 | | | 2018 | | | 2017 | | | 2016 | |
Net Asset Value, Beginning of Year | | $ | 9.61 | | | $ | 9.11 | | | $ | 9.37 | | | $ | 9.93 | | | $ | 9.65 | |
| | | | | | | | | | | | | | | | | | | | |
| Income (Loss) from Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income(1) | | | 0.20 | | | | 0.23 | | | | 0.24 | | | | 0.27 | | | | 0.28 | |
Net realized and unrealized gain (loss) | | | (0.01 | ) | | | 0.52 | | | | (0.26 | ) | | | (0.31 | ) | | | 0.30 | |
| | | | | | | | | | | | | | | | | | | | |
Total Income (Loss) from Operations | | | 0.19 | | | | 0.75 | | | | (0.02 | ) | | | (0.04 | ) | | | 0.58 | |
| | | | | | | | | | | | | | | | | | | | |
| Less Distributions from: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.21 | ) | | | (0.22 | ) | | | (0.24 | ) | | | (0.27 | ) | | | (0.28 | ) |
Net realized gain | | | (0.06 | ) | | | (0.03 | ) | | | — | | | | (0.25 | ) | | | (0.02 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.27 | ) | | | (0.25 | ) | | | (0.24 | ) | | | (0.52 | ) | | | (0.30 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Year | | $ | 9.53 | | | $ | 9.61 | | | $ | 9.11 | | | $ | 9.37 | | | $ | 9.93 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return†(2) | | | 1.99 | % | | | 8.38 | % | | | (0.21 | )% | | | (0.22 | )% | | | 6.14 | % |
Net Assets, End of Year (millions) | | $ | 69 | | | $ | 86 | | | $ | 64 | | | $ | 58 | | | $ | 69 | |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
Gross expenses | | | 0.73 | % | | | 0.74 | % | | | 0.72 | % | | | 0.75 | % | | | 0.68 | % |
Net expenses | | | 0.73 | | | | 0.74 | | | | 0.72 | | | | 0.75 | | | | 0.68 | |
Net investment income | | | 2.16 | | | | 2.44 | | | | 2.61 | | | | 2.85 | | | | 2.87 | |
Portfolio Turnover Rate | | | 10 | % | | | 42 | % | | | 18 | % | | | 13 | % | | | 16 | % |
| (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.
319
For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| Inflation-Linked Fixed Income Fund | | | | | | | | | | | | | | | |
| | | 2020 | | | 2019 | | | 2018 | | | 2017 | | | 2016(1) | |
Net Asset Value, Beginning of Year/Period | | $ | 10.19 | | | $ | 9.79 | | | $ | 10.08 | | | $ | 10.23 | | | $ | 10.00 | |
| | | | | | | | | | | | | | | | | | | | |
| Income from Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | 0.18 | | | | 0.24 | | | | 0.30 | | | | 0.23 | | | | 0.14 | |
Net realized and unrealized gain (loss) | | | 0.88 | | | | 0.38 | | | | (0.25 | ) | | | (0.13 | ) | | | 0.32 | |
| | | | | | | | | | | | | | | | | | | | |
Total Income from Operations | | | 1.06 | | | | 0.62 | | | | 0.05 | | | | 0.10 | | | | 0.46 | |
| | | | | | | | | | | | | | | | | | | | |
| Less Distributions from: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.12 | ) | | | (0.22 | ) | | | (0.34 | ) | | | (0.24 | ) | | | (0.23 | ) |
Net realized gain | | | — | | | | — | | | | — | | | | (0.01 | ) | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.12 | ) | | | (0.22 | ) | | | (0.34 | ) | | | (0.25 | ) | | | (0.23 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Year/Period | | $ | 11.13 | | | $ | 10.19 | | | $ | 9.79 | | | $ | 10.08 | | | $ | 10.23 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return†(3) | | | 10.38 | % | | | 6.42 | % | | | 0.55 | % | | | 1.05 | % | | | 4.59 | %(7) |
Net Assets, End of Year/Period (millions) | | $ | 156 | | | $ | 217 | | | $ | 240 | | | $ | 190 | | | $ | 159 | |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
Gross expenses(4) | | | 1.27 | % | | | 1.35 | % | | | 1.27 | % | | | 1.15 | % | | | 1.03 | %(5) |
Net expenses(4)(6) | | | 1.22 | | | | 1.30 | | | | 1.22 | | | | 1.10 | | | | 0.99 | (5) |
Net investment income | | | 1.76 | | | | 2.47 | | | | 3.07 | | | | 2.25 | | | | 2.91 | (5) |
Portfolio Turnover Rate | | | 193 | % | | | 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 and sale-buyback transactions which represents 0.35%, 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.
320
For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| Ultra-Short Term Fixed Income Fund | | | | | | | | | | | | | | | |
| | | 2020 | | | 2019 | | | 2018 | | | 2017 | | | 2016(1) | |
Net Asset Value, Beginning of Year/Period | | $ | 9.90 | | | $ | 9.97 | | | $ | 9.99 | | | $ | 10.00 | | | $ | 10.00 | |
| | | | | | | | | | | | | | | | | | | | |
| Income from Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income(2) | | | 0.18 | | | | 0.25 | | | | 0.19 | | | | 0.13 | | | | 0.07 | |
Net realized and unrealized gain (loss) | | | 0.06 | | | | (0.06 | ) | | | 0.02 | | | | 0.08 | | | | 0.02 | |
| | | | | | | | | | | | | | | | | | | | |
Total Income from Operations | | | 0.24 | | | | 0.19 | | | | 0.21 | | | | 0.21 | | | | 0.09 | |
| | | | | | | | | | | | | | | | | | | | |
| Less Distributions from: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.15 | ) | | | (0.26 | ) | | | (0.23 | ) | | | (0.22 | ) | | | (0.09 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Year/Period | | $ | 9.99 | | | $ | 9.90 | | | $ | 9.97 | | | $ | 9.99 | | | $ | 10.00 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return†(3) | | | 2.36 | % | | | 2.07 | % | | | 2.09 | % | | | 2.14 | % | | | 0.89 | %(7) |
Net Assets, End of Year/Period (millions) | | $ | 398 | | | $ | 497 | | | $ | 507 | | | $ | 276 | | | $ | 162 | |
| Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
Gross expenses(4) | | | 0.69 | % | | | 0.82 | % | | | 0.71 | % | | | 0.84 | % | | | 0.81 | %(5) |
Net expenses(4)(6) | | | 0.64 | | | | 0.77 | | | | 0.66 | | | | 0.79 | | | | 0.77 | (5) |
Net investment income | | | 1.78 | | | | 2.51 | | | | 1.90 | | | | 1.29 | | | | 1.47 | (5) |
Portfolio Turnover Rate | | | 96 | % | | | 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 and sale-buyback transactions which represents 0.02%, 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.
321
For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:
| | | | | | | | | | | | |
| | | |
| Alternative Strategies Fund | | | | | | | | | |
| | | 2020 | | | 2019 | | | 2018(1) | |
Net Asset Value, Beginning of Year/Period | | $ | 10.10 | | | $ | 9.88 | | | $ | 10.00 | |
| | | | | | | | | | | | |
| Income (Loss) from Operations: | | | | | | | | | | | | |
Net investment income (loss)(2) | | | 0.15 | | | | 0.10 | | | | (0.09 | ) |
Net realized and unrealized gain (loss) | | | 0.10 | | | | 0.19 | | | | (0.03 | ) |
| | | | | | | | | | | | |
Total Income (Loss) from Operations | | | 0.25 | | | | 0.29 | | | | (0.12 | ) |
| | | | | | | | | | | | |
| Less Distributions from: | | | | | | | | | | | | |
Net investment income | | | (0.28 | ) | | | (0.07 | ) | | | — | |
Net realized gain | | | (0.03 | ) | | | — | | | | — | |
| | | | | | | | | | | | |
Total Distributions | | | (0.31 | ) | | | (0.07 | ) | | | — | |
| | | | | | | | | | | | |
Net Asset Value, End of Year/Period | | $ | 10.04 | | | $ | 10.10 | | | $ | 9.88 | |
| | | | | | | | | | | | |
Total Return†(3) | | | 2.61 | % | | | 2.90 | % | | | (1.20 | )(6) |
Net Assets, End of Year/Period (millions) | | $ | 39 | | | $ | 27 | | | $ | 6 | |
| Ratios to Average Net Assets: | | | | | | | | | | | | |
Gross expenses | | | 1.85 | % | | | 2.34 | % | | | 11.00 | %(4) |
Net expenses(5)(7) | | | 0.70 | | | | 0.88 | | | | 1.95 | (4) |
Net investment income (loss) | | | 1.52 | | | | 1.01 | | | | (1.72 | )(4) |
Portfolio Turnover Rate | | | 34 | % | | | 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. |
| (7) | Does not reflect the Fund’s proportionate share of income and expenses from the Underlying Fund. |
| † | Calculated based on the net asset value as of the last business day of the period. |
See Notes to Financial Statements.
322
| | |
| | | |
| Notes to Financial Statements | | |
1. Organization and Significant Accounting Policies
The Morgan Stanley Pathway Funds (the “Trust”) is organized as a Massachusetts business trust and registered under the Investment Company Act of 1940, as amended (“1940 Act”), as an open-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 is non-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.
(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 the over-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 registered open-end management investment companies are valued at reported net asset value per share.
Debt obligations that will mature in 60 days or less are valued at amortized cost, which approximates market value. Debt obligations that will mature in more than 60 days are valued using valuations furnished by an approved third-party pricing service; such valuations are determined by the third-party pricing service based upon its analysis of a variety of factors, including transactions in debt obligations, quotations from bond dealers, market transactions in comparable securities and its analysis of various relationships between securities, prices or yields of securities with similar characteristics, benchmark curves or information pertaining to the issuer, and as well as industry and economic events.
Overnight repurchase agreements and repurchase agreements maturing in seven days or less are valued at cost. Term repurchase agreements maturing in more than seven days are valued at the average of the bid quotations obtained daily from at least two recognized purchasers of such term repurchase agreements selected by Consulting Group Advisory Services, LLC (“CGAS”) (the “Manager”).
The Board of Trustees (the “Board”) has ultimate responsibility for ensuring the Funds’ investments are valued appropriately. The Board has delegated primary responsibility for determining or causing to be determined the value of the Funds’ investments (including any fair valuation) to the Manager pursuant to valuation policies and procedures approved by the Board. When market quotations are not readily available or are determined to be unreliable, investments are valued at fair value as determined in good
323
| | |
| | | |
| Notes to Financial Statements | | |
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 and non-U.S. bonds are normally valued by third-party pricing service providers that use broker quotations, reported trades or valuation estimates from their internal pricing models. The service providers’ internal models use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar assets. Securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy. To the extent that these inputs are significant and unobservable, the values are categorized as Level 3 of the fair value hierarchy.
Mortgage-related and asset-backed securities are usually issued as separate tranches, or classes, of securities within each deal. These securities are also normally valued by third-party pricing service providers that use broker-dealer quotations or valuation estimates from their internal pricing models. The pricing models for these securities usually consider tranche-level attributes, current market data, estimated cash flows and market-based yield spreads for each tranche, and incorporate deal collateral performance, as available. Mortgage-related and asset-backed securities and the related forward sales commitments that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy. To the extent that these inputs are significant and unobservable, the values are categorized as Level 3 of the fair value hierarchy.
Common stocks, preferred stocks, rights, warrants, exchange-traded funds and financial derivative instruments, such as futures contracts or options contracts that are traded on a national securities exchange, are categorized as Level 1 of the fair value hierarchy, to the extent these securities are actively traded and valuation adjustments are not applied.
Valuation adjustments may be applied to certain securities that are solely traded on a foreign exchange to account for the market movement between the close of the foreign market and the NYSE close. Securities using these valuation adjustments are categorized as Level 2 of the fair value hierarchy. Preferred securities and other equities traded on inactive markets or valued by reference to similar instruments are also categorized as Level 2 of the fair value hierarchy.
Investments in registered open-end investment management companies are valued based upon the NAVs of such investments and are categorized as Level 1 of the fair value hierarchy.
324
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| | | |
| Notes to Financial Statements | | |
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, 2020 | | | 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 | | $ | 183,558,237 | | | $ | 183,558,237 | | | $ | — | | | $ | — | |
Consumer Discretionary | | | 239,555,301 | | | | 239,555,301 | | | | — | | | | — | |
Consumer Staples | | | 97,842,835 | | | | 97,842,835 | | | | — | | | | — | |
Energy | | | 32,431,154 | | | | 32,431,154 | | | | — | | | | — | |
Financials | | | 164,739,953 | | | | 164,739,953 | | | | — | | | | — | |
Health Care | | | 271,141,395 | | | | 271,141,395 | | | | — | | | | — | |
Industrials | | | 160,954,718 | | | | 160,954,718 | | | | — | | | | — | |
Information Technology | | | 508,949,427 | | | | 508,823,464 | | | | 125,963 | | | | — | |
Materials | | | 59,117,354 | | | | 59,117,354 | | | | — | | | | — | |
Real Estate | | | 54,001,600 | | | | 54,001,600 | | | | — | | | | — | |
Utilities | | | 35,563,489 | | | | 35,563,489 | | | | — | | | | — | |
Closed End Mutual Fund Security: | | | | | | | | | | | | | | | | |
Financials | | | 18,011,472 | | | | 18,011,472 | | | | — | | | | — | |
Short-Term Investments: | | | | | | | | | |
Money Market Fund | | | 8,042,887 | | | | 8,042,887 | | | | — | | | | — | |
Time Deposits | | | 25,044,011 | | | | — | | | | 25,044,011 | | | | — | |
| | | | | | | | | | | | | | | | |
| Total Investments, at Value | | $ | 1,858,953,833 | | | $ | 1,833,783,859 | | | $ | 25,169,974 | | | $ | — | |
| | | | | | | | | | | | | | | | |
Security Lending Transactions —
Liabilities | | $ | (8,042,887 | ) | | $ | — | | | $ | (8,042,887 | ) | | $ | — | |
| | | | | | | | | | | | | | | | |
| Other Financial Instruments — Assets | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | 1,205,110 | | | $ | 1,205,110 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
Total Other Financial Instruments —
Assets | | $ | 1,205,110 | | | $ | 1,205,110 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
325
| | |
| | | |
| Notes to Financial Statements | | |
| | | | | | | | | | | | | | | | |
| | | Total Fair Value at
August 31, 2020 | | | Unadjusted Quoted Prices
in Active Markets
for Identical Investments
(Level 1) | | | Significant Observable
Inputs (Level 2) | | | Significant
Unobservable
Inputs (Level 3) | |
| Small-Mid Cap Equity Fund | |
Investments, at Value | | | | | | | | | | | | | | | | |
Common Stocks: | | | | | | | | | | | | | | | | |
Communication Services | | $ | 14,598,321 | | | $ | 14,598,321 | | | $ | — | | | $ | — | |
Consumer Discretionary | | | 51,379,457 | | | | 51,379,457 | | | | — | | | | — | |
Consumer Staples | | | 26,233,372 | | | | 26,233,372 | | | | — | | | | — | |
Energy | | | 7,493,377 | | | | 7,493,377 | | | | — | | | | — | |
Financials | | | 80,226,814 | * | | | 80,226,814 | | | | — | | | | — | * |
Health Care | | | 111,938,478 | * | | | 111,936,116 | | | | 2,362 | * | | | — | |
Industrials | | | 95,219,616 | | | | 95,219,616 | | | | — | | | | — | |
Information Technology | | | 124,381,464 | | | | 124,151,909 | | | | 229,555 | | | | — | |
Materials | | | 29,462,208 | * | | | 29,462,208 | | | | — | | | | — | * |
Real Estate | | | 38,851,264 | | | | 38,851,264 | | | | — | | | | — | |
Utilities | | | 14,766,692 | | | | 14,766,692 | | | | — | | | | — | |
Convertible Preferred Stocks: | | | | | | | | | | | | | | | | |
Health Care | | | 2,735,670 | | | | 2,735,670 | | | | — | | | | — | |
Utilities | | | 1,248,199 | | | | 1,248,199 | | | | — | | | | — | |
Closed End Mutual Fund Securities: | | | | | | | | | | | | | | | | |
Financials | | | 1,972,677 | | | | 1,972,677 | | | | — | | | | — | |
Preferred Stocks: | | | | | | | | | | | | | | | | |
Financials | | | 1,586,574 | | | | 1,586,574 | | | | — | | | | — | |
Corporate Bond & Note: | | | | | | | | | | | | | | | | |
Communication Services | | | 821,342 | | | | — | | | | 821,342 | | | | — | |
Short-Term Investments: | | | | | | | | | |
Money Market Fund | �� | | 8,572,406 | | | | 8,572,406 | | | | — | | | | — | |
Time Deposits | | | 15,883,261 | | | | — | | | | 15,883,261 | | | | — | |
| | | | | | | | | | | | | | | | |
| Total Investments, at Value | | $ | 627,371,192 | * | | $ | 610,434,672 | | | $ | 16,936,520 | * | | $ | — | * |
| | | | | | | | | | | | | | | | |
| Securities Lending Transactions — Liabilities | | $ | (8,572,406 | ) | | $ | — | | | $ | (8,572,406 | ) | | $ | — | |
| | | | | | | | | | | | | | | | |
| Other Financial Instruments — Assets | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | 442,091 | | | $ | 442,091 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Total Other Financial Instruments — Assets | | $ | 442,091 | | | $ | 442,091 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| International Equity Fund | |
Investments, at Value | | | | | | | | | | | | | | | | |
Common Stocks: | | | | | | | | | | | | | | | | |
France | | $ | 133,460,246 | | | $ | 28,835 | | | $ | 133,431,411 | | | $ | — | |
Germany | | | 115,362,494 | | | | — | | | | 115,362,494 | | | | — | |
Japan | | | 224,667,154 | | | | — | | | | 224,667,154 | | | | — | |
Netherlands | | | 65,045,667 | | | | 547,137 | | | | 64,498,530 | | | | — | |
Switzerland | | | 126,432,068 | | | | — | | | | 126,432,068 | | | | — | |
United Kingdom | | | 159,038,953 | | | | 1,937,457 | | | | 157,101,496 | | | | — | |
Other Countries** | | | 392,234,844 | | | | 77,263,709 | | | | 314,971,135 | | | | — | |
Preferred Stocks: | | | | | | | | | | | | | | | | |
Germany | | | 11,045,586 | | | | — | | | | 11,045,586 | | | | — | |
Closed End Mutual Fund Securities: | | | | | | | | | | | | | | | | |
United States | | | 1,141,437 | | | | 1,141,437 | | | | — | | | | — | |
Rights: | | | | | | | | | | | | | | | | |
Australia | | | 5,302 | | | | — | | | | 5,302 | | | | — | |
326
| | |
| | | |
| Notes to Financial Statements | | |
| | | | | | | | | | | | | | | | |
| | | Total Fair Value at
August 31, 2020 | | | Unadjusted Quoted Prices
in Active Markets
for Identical Investments
(Level 1) | | | Significant Observable
Inputs (Level 2) | | | Significant
Unobservable
Inputs (Level 3) | |
Short-Term Investments: | | | | | | | | | |
Money Market Fund | | $ | 5,375,517 | | | $ | 5,375,517 | | | $ | — | | | $ | — | |
Time Deposits | | | 22,197,827 | | | | — | | | | 22,197,827 | | | | — | |
| | | | | | | | | | | | | | | | |
| Total Investments, at Value | | $ | 1,256,007,095 | | | $ | 86,294,092 | | | $ | 1,169,713,003 | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Securities Lending Transactions — Liabilities | | $ | (5,375,517 | ) | | $ | — | | | $ | (5,375,517 | ) | | $ | — | |
| | | | | | | | | | | | | | | | |
| Other Financial Instruments — Assets | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | 11,784 | | | $ | 11,784 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Total Other Financial Instruments — Assets | | $ | 11,784 | | | $ | 11,784 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Other Financial Instruments — Liabilities | | | | | | | | | | | | | | | | |
Futures Contract | | $ | (9,845 | ) | | $ | (9,845 | ) | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Total Other Financial Instruments — Liabilities | | $ | (9,845 | ) | | $ | (9,845 | ) | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Emerging Markets Equity Fund | |
Investments, at Value | | | | | | | | | | | | | | | | |
Common Stocks: | | | | | | | | | | | | | | | | |
China | | $ | 185,363,294 | * | | $ | 61,402,360 | * | | $ | 123,960,934 | | | $ | — | |
India | | | 57,359,267 | | | | 7,139,475 | | | | 50,219,792 | | | | — | |
South Korea | | | 54,064,346 | | | | 85,532 | | | | 53,978,814 | | | | — | |
Taiwan | | | 41,768,387 | | | | 1,332,186 | | | | 40,436,201 | | | | — | |
Other Countries** | | | 192,179,005 | | | | 74,293,411 | | | | 117,885,594 | | | | — | |
Preferred Stocks: | | | | | | | | | | | | | | | | |
Brazil | | | 2,378,993 | | | | 2,378,993 | | | | — | | | | — | |
Chile | | | 116,032 | | | | 116,032 | | | | — | | | | — | |
Colombia | | | 97,395 | | | | 97,395 | | | | — | | | | — | |
Russia | | | 106,634 | | | | 67,424 | | | | 39,210 | | | | — | |
South Korea | | | 1,155,605 | | | | — | | | | 1,155,605 | | | | — | |
Rights: | | | | | | | | | | | | | | | | |
China | | | 1,733 | | | | — | | | | 1,733 | | | | — | |
Thailand | | | 312 | | | | — | | | | 312 | | | | — | |
Warrants: | | | | | | | | | | | | | | | | |
Thailand | | | 12,741 | * | | | — | | | | 12,741 | * | | | — | |
Short-Term Investments: | | | | | | | | | |
Money Market Fund | | | 7,604,720 | | | | 7,604,720 | | | | — | | | | — | |
Time Deposits | | | 13,660,044 | | | | — | | | | 13,660,044 | | | | — | |
| | | | | | | | | | | | | | | | |
| Total Investments, at Value | | $ | 555,868,508 | * | | $ | 154,517,528 | | | $ | 401,350,980 | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Securities Lending Transactions — Liabilities | | $ | (7,604,720 | ) | | $ | — | | | $ | (7,604,720 | ) | | $ | — | |
| | | | | | | | | | | | | | | | |
| Other Financial Instruments — Assets | | | | | | | | | | | | | | | | |
Futures Contract | | $ | 134,429 | | | $ | 134,429 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Total Other Financial Instruments — Assets | | $ | 134,429 | | | $ | 134,429 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
327
| | |
| | | |
| Notes to Financial Statements | | |
| | | | | | | | | | | | | | | | |
| | | Total Fair Value at
August 31, 2020 | | | Unadjusted Quoted Prices
in Active Markets
for Identical Investments
(Level 1) | | | Significant Observable
Inputs (Level 2) | | | Significant
Unobservable
Inputs (Level 3) | |
| | | | | | | | | | | | | | | | |
| Core Fixed Income Fund | |
Investments, at Value | | | | | | | | | | | | | | | | |
Corporate Bonds & Notes | | $ | 351,069,343 | * | | $ | — | | | $ | 351,069,343 | | | $ | — | * |
Mortgage-Backed Securities | | | 241,002,303 | | | | — | | | | 241,002,303 | | | | — | |
U.S. Government Agencies & Obligations | | | 188,343,271 | | | | — | | | | 188,343,271 | | | | — | |
Collateralized Mortgage Obligations | | | 105,297,502 | | | | — | | | | 105,297,502 | | | | — | |
Sovereign Bonds | | | 33,205,392 | | | | — | | | | 33,205,392 | | | | — | |
Senior Loans | | | 14,159,060 | | | | — | | | | 14,159,060 | | | | — | |
Asset-Backed Securities | | | 12,367,137 | | | | — | | | | 12,367,137 | | | | — | |
Municipal Bonds | | | 7,671,986 | | | | — | | | | 7,671,986 | | | | — | |
Purchased Options | | | 95,555 | | | | 95,555 | | | | — | | | | — | |
Short-Term Investments: | | | | | | | | | |
Commercial Paper | | | 996,814 | | | | — | | | | 996,814 | | | | — | |
Time Deposits | | | 25,142,966 | | | | — | | | | 25,142,966 | | | | — | |
U.S. Government Obligations | | | 49,490,642 | | | | — | | | | 49,490,642 | | | | — | |
| | | | | | | | | | | | | | | | |
| Total Investments, at Value | | $ | 1,028,841,971 | * | | $ | 95,555 | | | $ | 1,028,746,416 | | | $ | — | * |
| | | | | | | | | | | | | | | | |
| Other Financial Instruments — Assets | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | 1,745,369 | | | $ | 1,745,369 | | | $ | — | | | $ | — | |
Forward Foreign Currency Contracts | | | 931,632 | | | | — | | | | 931,632 | | | | — | |
OTC Interest Rate Swaps | | | 119,333 | | | | — | | | | 119,333 | | | | — | |
Centrally Cleared Interest Rate Swaps | | | 211,247 | | | | — | | | | 211,247 | | | | — | |
| | | | | | | | | | | | | | | | |
| Total Other Financial Instruments — Assets | | $ | 3,007,581 | | | $ | 1,745,369 | | | $ | 1,262,212 | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Other Financial Instruments — Liabilities | | | | | | | | | | | | | | | | |
Options Contracts Written | | $ | (125,211 | ) | | $ | (125,211 | ) | | $ | — | | | $ | — | |
Futures Contracts | | | (987,665 | ) | | | (987,665 | ) | | | — | | | | — | |
Forward Foreign Currency Contracts | | | (830,408 | ) | | | — | | | | (830,408 | ) | | | — | |
Centrally Cleared Interest Rate Swap | | | (1,708,636 | ) | | | — | | | | (1,708,636 | ) | | | — | |
| | | | | | | | | | | | | | | | |
| Total Other Financial Instruments — Liabilities | | $ | (3,651,920 | ) | | $ | (1,112,876 | ) | | $ | (2,539,044 | ) | | $ | — | |
| | | | | | | | | | | | | | | | |
| High Yield Fund | |
Investments, at Value | | | | | | | | | | | | | | | | |
Corporate Bonds & Notes | | $ | 259,190,490 | | | $ | — | | | $ | 259,190,490 | | | $ | — | |
Senior Loans | | | 15,155,963 | | | | — | | | | 15,155,963 | | | | — | |
Closed End Mutual Fund Security: | | | | | | | | | | | | | | | | |
Financials | | | 403,893 | | | | 403,893 | | | | — | | | | — | |
Common Stocks: | | | | | | | | | | | | | | | | |
Communications | | | 2,487 | | | | 2,487 | | | | — | | | | — | |
Energy | | | 137,450 | | | | 123,193 | | | | — | | | | 14,257 | |
Financials | | | 5,215 | | | | — | | | | — | | | | 5,215 | |
Preferred Stocks: | | | | | | | | | | | | | | | | |
Consumer Cyclical | | | 171,674 | | | | 171,674 | | | | — | | | | — | |
Financials | | | 124,532 | | | | 124,532 | | | | — | | | | — | |
328
| | |
| | | |
| Notes to Financial Statements | | |
| | | | | | | | | | | | | | | | |
| | | Total Fair Value at
August 31, 2020 | | | Unadjusted Quoted Prices
in Active Markets
for Identical Investments
(Level 1) | | | Significant Observable
Inputs (Level 2) | | | Significant
Unobservable
Inputs (Level 3) | |
| | | | | | | | | | | | | | | | |
Convertible Preferred Stock: | | | | | | | | | | | | | | | | |
Consumer Non-Cyclical | | $ | 106,860 | | | $ | 106,860 | | | $ | — | | | $ | — | |
Sovereign Bond | | | 68,955 | | | | — | | | | 68,955 | | | | — | |
Warrant: | | | | | | | | | | | | | | | | |
Media | | | 7,007 | | | | 7,007 | | | | — | | | | — | |
Short-Term Investments: | | | | | | | | | |
Time Deposits | | | 4,732,774 | | | | — | | | | 4,732,774 | | | | — | |
| | | | | | | | | | | | | | | | |
| Total Investments, at Value | | $ | 280,107,300 | | | $ | 939,646 | | | $ | 279,148,182 | | | $ | 19,472 | |
| | | | | | | | | | | | | | | | |
| Other Financial Instruments — Assets | | | | | | | | | | | | | | | | |
Futures Contract | | $ | 580 | | | $ | 580 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Total Other Financial Instruments — Assets | | $ | 580 | | | $ | 580 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| International Fixed Income Fund | |
| Investments, at Value | | | | | | | | | | | | | | | | |
Sovereign Bonds | | | | | | | | | | | | | | | | |
France | | $ | 7,463,873 | | | $ | — | | | $ | 7,463,873 | | | $ | — | |
Japan | | | 21,050,897 | | | | — | | | | 21,050,897 | | | | — | |
Spain | | | 10,887,112 | | | | — | | | | 10,887,112 | | | | — | |
Other Countries** | | | 29,615,972 | | | | — | | | | 29,615,972 | | | | — | |
Mortgage-Backed Securities | | | 67,679,604 | | | | — | | | | 67,679,604 | | | | — | |
Corporate Bonds & Notes | | | | | | | | | | | | | | | | |
United Kingdom | | | 7,840,783 | | | | — | | | | 7,840,783 | | | | — | |
Other Countries** | | | 25,452,262 | * | | | — | | | | 25,452,262 | * | | | — | |
Collateralized Mortgage Obligations | | | 24,478,977 | | | | — | | | | 24,478,977 | | | | — | |
U.S. Government Obligation | | | 3,464,353 | | | | — | | | | 3,464,353 | | | | — | |
Asset-Backed Securities | | | 928,033 | | | | — | | | | 928,033 | | | | — | |
Municipal Bond | | | 38,150 | | | | — | | | | 38,150 | | | | — | |
Purchased Options | | | 49,066 | | | | 1,715 | | | | 47,351 | | | | — | |
Short-Term Investments: | | | | | | | | | |
Repurchase Agreement | | | 936,000 | | | | — | | | | 936,000 | | | | — | |
Sovereign Bond | | | 4,062,334 | | | | — | | | | 4,062,334 | | | | — | |
Time Deposits | | | 1,270,386 | | | | — | | | | 1,270,386 | | | | — | |
U.S. Government Obligation | | | 110,983 | | | | — | | | | 110,983 | | | | — | |
| | | | | | | | | | | | | | | | |
| Total Investments, at Value | | $ | 205,328,785 | * | | $ | 1,715 | | | $ | 205,327,070 | * | | $ | — | |
| | | | | | | | | | | | | | | | |
| Other Financial Instruments — Assets | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | 198,127 | | | $ | 198,127 | | | $ | — | | | $ | — | |
Forward Foreign Currency Contracts | | | 774,346 | | | | — | | | | 774,346 | | | | — | |
OTC Interest Rate Swaps | | | 86,171 | | | | — | | | | 86,171 | | | | — | |
Centrally Cleared Interest Rate Swaps | | | 911,784 | | | | — | | | | 911,784 | | | | — | |
Centrally Cleared Inflation Rate Swaps | | | 7,556 | | | | — | | | | 7,556 | | | | — | |
OTC Credit Default Swaps | | | 36,961 | | | | — | | | | 36,961 | | | | — | |
Centrally Cleared Credit Default Swaps | | | 30,114 | | | | — | | | | 30,114 | | | | — | |
OTC Cross Currency Swap | | | 116,480 | | | | — | | | | 116,480 | | | | — | |
| | | | | | | | | | | | | | | | |
| Total Other Financial Instruments Assets | | $ | 2,161,539 | | | $ | 198,127 | | | $ | 1,963,412 | | | $ | — | |
| | | | | | | | | | | | | | | | |
329
| | |
| | | |
| Notes to Financial Statements | | |
| | | | | | | | | | | | | | | | |
| | | Total Fair Value at
August 31, 2020 | | | 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 | | $ | (56,746 | ) | | $ | — | | | $ | (56,746 | ) | | $ | — | |
Reverse Repurchase Agreements | | | (6,410,965 | ) | | | — | | | | (6,410,965 | ) | | | — | |
Futures Contracts | | | (134,348 | ) | | | (134,348 | ) | | | — | | | | — | |
Forward Foreign Currency Contracts | | | (1,661,290 | ) | | | — | | | | (1,661,290 | ) | | | — | |
OTC Interest Rate Swap | | | (84 | ) | | | — | | | | (84 | ) | | | — | |
Centrally Cleared Interest Rate Swaps | | | (1,342,497 | ) | | | — | | | | (1,342,497 | ) | | | — | |
Centrally Cleared Inflation Rate Swaps | | | (9,490 | ) | | | — | | | | (9,490 | ) | | | — | |
OTC Credit Default Swaps | | | (8,135 | ) | | | — | | | | (8,135 | ) | | | — | |
Centrally Cleared Credit Default Swaps | | | (63,704 | ) | | | — | | | | (63,704 | ) | | | — | |
OTC Total Return Swaps | | | (141,974 | ) | | | — | | | | (141,974 | ) | | | — | |
| | | | | | | | | | | | | | | | |
| Total Other Financial Instruments — Liabilities | | $ | (9,829,233 | ) | | $ | (134,348 | ) | | $ | (9,694,885 | ) | | $ | — | |
| | | | | | | | | | | | | | | | |
| Municipal Bond Fund | |
Investments, at Value | | | | | | | | | | | | | | | | |
Municipal Bonds | | $ | 62,945,881 | | | $ | — | | | $ | 62,945,881 | | | $ | — | |
Short-Term Investments: | | | | | | | | | |
Time Deposits | | | 5,850,631 | | | | — | | | | 5,850,631 | | | | — | |
| | | | | | | | | | | | | | | | |
| Total Investments, at Value | | $ | 68,796,512 | | | $ | — | | | $ | 68,796,512 | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Inflation-Linked Fixed Income Fund | |
Investments, at Value | | | | | | | | | | | | | | | | |
U.S. Government Agencies & Obligations | | $ | 165,276,574 | | | $ | — | | | $ | 165,276,574 | | | $ | — | |
Mortgage-Backed Securities | | | 29,059,822 | | | | — | | | | 29,059,822 | | | | — | |
Collateralized Mortgage Obligations | | | 21,967,069 | | | | — | | | | 21,967,069 | | | | — | |
Sovereign Bonds | | | 12,763,633 | | | | — | | | | 12,763,633 | | | | — | |
Corporate Bonds & Notes | | | 8,864,269 | | | | — | | | | 8,864,269 | | | | — | |
Purchased Options | | | 2,047 | | | | 2,047 | | | | — | | | | — | |
Short-Term Investments: | | | | | | | | | |
Time Deposits | | | 1,013,139 | | | | — | | | | 1,013,139 | | | | — | |
| | | | | | | | | | | | | | | | |
| Total Investments, at Value | | $ | 238,946,553 | | | $ | 2,047 | | | $ | 238,944,506 | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Other Financial Instruments — Assets | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | 101,426 | | | $ | 101,426 | | | $ | — | | | $ | — | |
Forward Foreign Currency Contracts | | | 74,585 | | | | — | | | | 74,585 | | | | — | |
Centrally Cleared Inflation Rate Swaps | | | 491,012 | | | | — | | | | 491,012 | | | | — | |
Centrally Cleared Credit Default Swap | | | 4,108 | | | | — | | | | 4,108 | | | | — | |
| | | | | | | | | | | | | | | | |
| Total Other Financial Instruments — Assets | | $ | 671,131 | | | $ | 101,426 | | | $ | 569,705 | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Other Financial Instruments — Liabilities | | | | | | | | | | | | | | | | |
Options Contracts Written | | $ | (4,040 | ) | | $ | — | | | $ | (4,040 | ) | | $ | — | |
Reverse Repurchase Agreements | | | (61,452,325 | ) | | | — | | | | (61,452,325 | ) | | | — | |
Futures Contracts | | | (74,685 | ) | | | (74,685 | ) | | | — | | | | — | |
Forward Foreign Currency Contracts | | | (519,084 | ) | | | — | | | | (519,084 | ) | | | — | |
Centrally Cleared Interest Rate Swaps | | | (109,950 | ) | | | — | | | | (109,950 | ) | | | — | |
Centrally Cleared Inflation Rate Swaps | | | (603,187 | ) | | | — | | | | (603,187 | ) | | | — | |
Centrally Cleared Credit Default Swaps | | | (155,945 | ) | | | — | | | | (155,945 | ) | | | — | |
| | | | | | | | | | | | | | | | |
| Total Other Financial Instruments — Liabilities | | $ | (62,919,216 | ) | | $ | (74,685 | ) | | $ | (62,844,531 | ) | | $ | — | |
| | | | | | | | | | | | | | | | |
330
| | |
| | | |
| Notes to Financial Statements | | |
| | | | | | | | | | | | | | | | |
| | | Total Fair Value at
August 31, 2020 | | | Unadjusted Quoted Prices
in Active Markets
for Identical Investments
(Level 1) | | | Significant Observable
Inputs (Level 2) | | | Significant
Unobservable
Inputs (Level 3) | |
| Ultra-Short Term Fixed Income Fund | |
Investments, at Value | | | | | | | | | | | | | | | | |
Corporate Bonds & Notes | | $ | 210,931,695 | | | $ | — | | | $ | 210,931,695 | | | $ | — | |
Collateralized Mortgage Obligations | | | 116,297,223 | | | | — | | | | 116,297,223 | | | | — | |
Asset-Backed Securities | | | 22,613,747 | | | | — | | | | 22,613,747 | | | | — | |
U.S. Government Agencies & Obligations | | | 22,520,867 | | | | — | | | | 22,520,867 | | | | — | |
Sovereign Bonds | | | 3,803,317 | | | | — | | | | 3,803,317 | | | | — | |
Mortgage-Backed Securities | | | 3,554,496 | | | | — | | | | 3,554,496 | | | | — | |
Short-Term Investments: | | | | | | | | | |
Commercial Papers | | | 9,154,740 | | | | — | | | | 9,154,740 | | | | — | |
Corporate Bond | | | 1,709,318 | | | | — | | | | 1,709,318 | | | | — | |
Time Deposits | | | 589,636 | | | | — | | | | 589,636 | | | | — | |
U.S. Government Obligations | | | 128,782,829 | | | | — | | | | 128,782,829 | | | | — | |
| | | | | | | | | | | | | | | | |
| Total Investments, at Value | | $ | 519,957,868 | | | $ | — | | | $ | 519,957,868 | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Other Financial Instruments — Assets | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | 243,322 | | | $ | 243,322 | | | $ | — | | | $ | — | |
Forward Foreign Currency Contracts | | | 122,733 | | | | — | | | | 122,733 | | | | — | |
Centrally Cleared Interest Rate Swap | | | 104,542 | | | | — | | | | 104,542 | | | | — | |
Centrally Cleared Credit Default Swap | | | 12,859 | | | | — | | | | 12,859 | | | | — | |
| | | | | | | | | | | | | | | | |
| Total Other Financial Instruments — Assets | | $ | 483,456 | | | $ | 243,322 | | | $ | 240,134 | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Other Financial Instruments — Liabilities | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | (55,667 | ) | | $ | (55,667 | ) | | $ | — | | | $ | — | |
Forward Foreign Currency Contracts | | | (1,012,776 | ) | | | — | | | | (1,012,776 | ) | | | — | |
Centrally Cleared Credit Default Swap | | | (1,218,521 | ) | | | — | | | | (1,218,521 | ) | | | — | |
| | | | | | | | | | | | | | | | |
| Total Other Financial Instruments — Liabilities | | $ | (2,286,964 | ) | | $ | (55,667 | ) | | $ | (2,231,297 | ) | | $ | — | |
| | | | | | | | | | | | | | | | |
| Alternative Strategies Fund | |
Investments, at Value | | | | | | | | | | | | | | | | |
Open End Mutual Fund Securities | | | | | | | | | | | | | | | | |
United States | | $ | 37,784,275 | | | $ | 37,784,275 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| Total Investments, at Value | | $ | 37,784,275 | | | $ | 37,784,275 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
| * | Includes securities that are valued in good faith at fair value by or under the direction of the Board of Trustees at $0. |
| ** | Other countries represents countries that are individually less than 5% of Net Assets. |
The level classification by major category of investments is the same as the category presentation in the Schedules of Investments.
Transfer between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes.
331
| | |
| | | |
| Notes to Financial Statements | | |
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, 2019 through August 31, 2020:
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Total | | | Common
Stocks | | | Corporate
Bonds &
Notes | | | Convertible
Preferred
Stocks | | | Rights | | | Warrant | |
| Small-Mid Cap Equity Fund | | | | | | | | | | | | | | | | | | | | | | | | |
Balance as of August 31, 2019 | | $ | 688 | * | | $ | 688 | * | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
Total realized gain (loss) | | | 780 | | | | 780 | | | | — | | | | — | | | | — | | | | — | |
Change in unrealized appreciation (depreciation) | | | (392 | ) | | | (392 | ) | | | — | | | | — | | | | — | | | | — | |
Purchases | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
(Sales) | | | (1,037 | ) | | | (1,037 | ) | | | — | | | | — | | | | — | | | | — | |
Transfers in | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
(Transfers out) | | | (39 | ) | | | (39 | ) | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Balance as of August 31, 2020 | | $ | — | * | | $ | — | * | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Change in unrealized appreciation (depreciation) from Investments held as of August 31, 2020 | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| Core Fixed Income Fund | | | | | | | | | | | | | | | | | | | | | | | | |
Balance as of August 31, 2019 | | $ | — | * | | $ | — | | | $ | — | * | | $ | — | | | $ | — | | | $ | — | |
Total realized gain (loss) | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Change in unrealized appreciation (depreciation) | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Purchases | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
(Sales) | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Transfers in | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
(Transfers out) | | | — | | | | | | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Balance as of August 31, 2020 | | $ | — | * | | $ | — | | | $ | — | * | | $ | — | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Change in unrealized appreciation (depreciation) from Investments held as of August 31, 2020 | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| High Yield Fund | | | | | | | | | | | | | | | | | | | | | | | | |
Balance as of August 31, 2019 | | $ | 18,738 | * | | $ | 18,738 | | | $ | — | * | | $ | — | | | $ | — | | | $ | — | |
Total realized gain (loss) | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Change in unrealized appreciation (depreciation) | | | 734 | | | | 734 | | | | — | | | | — | | | | — | | | | — | |
Purchases | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
(Sales) | | | — | * | | | — | * | | | — | * | | | — | | | | — | | | | — | |
Transfers in | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
(Transfers out) | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Balance as of August 31, 2020 | | $ | 19,472 | | | $ | 19,472 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Change in unrealized appreciation (depreciation) from Investments held as of August 31, 2020 | | $ | 2,838 | | | $ | 2,838 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| * | Includes securities that are valued at $0. |
332
| | |
| | | |
| Notes to Financial Statements | | |
(b) Accounting for Derivative Instruments. Derivative instruments require enhanced disclosures regarding a Fund’s credit derivatives holdings, including credit default swaps, credit spread options and hybrid financial instruments containing embedded credit derivatives.
All open derivative positions at the year-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, which is included in deposits for collateral with counterparty on the Statements of Assets and Liabilities. 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 is marked-to-market daily to reflect the current market value of the option written. If the option expires, the Fund realizes a gain from investments equal to the amount of the premium received. When a written call option is exercised, the premium received is added to the proceeds from the sale of the underlying security in determining whether the Fund has a realized gain or loss. When a written put option is exercised, the amount of the premium received reduces the cost of the security purchased by the Fund.
When writing a covered call option, a Fund may forego the opportunity of profit if the market price of the underlying security increases more than the premium received and the option is exercised. When writing a put option, a Fund may incur a loss if the market price of the underlying security decreases more than the premium received and the option is exercised. In addition, there is the risk that the Fund may not be able to enter into a closing transaction because of an illiquid secondary market.
(iii) Purchased Options. Certain Funds may purchase options to manage exposure to certain changes in the market. A Fund will normally purchase call options in anticipation of an increase in the market value of securities of the type in which they may invest, an amount equal to the value is recorded as an asset. The purchase of a call option will entitle a Fund, in return for the premium paid, to purchase specified securities at a specified price during the option period. A Fund will ordinarily realize a gain if, during the option period, the value of such securities exceeded the sum of the exercise price, the premium paid and transaction costs; otherwise, the Fund will realize a loss equal to the amount of the premium paid on the purchase of the call option.
A Fund will normally purchase put options in anticipation of a decline in the market value of securities in its portfolio (“protective puts”) or in securities in which it may invest. The purchase of a put option will entitle the Fund, in exchange for the premium paid, to sell specified securities at a specified price during the option period. The purchase of protective puts is designed to offset or hedge against a decline in the market value of the Fund’s securities. Put options may also be purchased by a Fund for the purpose of affirmatively benefiting from a decline in the price of securities which it does not own. The Fund will ordinarily realize a gain if, during the option period, the value of the underlying securities decreased below the exercise price sufficiently to more than cover the premium and transaction costs; otherwise the Fund will realize a loss equal to the amount of the premium paid on the purchase of the put option. Gains and losses on the purchase of protective put options would tend to be offset by countervailing changes in the value of the underlying portfolio securities.
333
| | |
| | | |
| Notes to Financial Statements | | |
(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 their non-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 is marked-to-market daily and the change in value is recorded by a Fund as an unrealized gain or loss. When a forward foreign currency contract is extinguished, through either delivery or offset by entering into another forward foreign currency contract, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it was extinguished.
Forward foreign currency contracts involve elements of market risk in excess of the amounts reflected in the Statements of Assets and Liabilities. The Fund bears the risk of an unfavorable change in the foreign exchange rate underlying the forward foreign currency contract. Risks may also arise upon entering into these contracts from the potential inability of the counterparties to meet the terms of their contracts.
(vi) Swaptions. Swaptions contracts entered into by the Funds typically represent an option that gives the purchaser the right, but not the obligation, to enter into a swap contract on a future date. Certain Funds may purchase swaptions to manage exposure to fluctuations in interest rates and to enhance portfolio yield. Changes in the value of purchased swaptions are reported as net change in unrealized appreciation or depreciation on the Statements of Operations and Changes in Net Assets. Gain or loss is recognized when the swaptions contract expires or is closed as net realized gain or loss on the Statements of Operations and Changes in Net Assets. Details of purchased swaptions contracts held at year-end are included on the Fund’s Schedule of Investments under the caption “Purchased Options.”
Certain Funds may write swaption contracts to manage exposure to fluctuations in interest rates and to enhance portfolio yield. Swaption contracts written by a Fund represent an option that obligates the writer upon exercise by the purchaser, to enter into a previously agreed upon swap contract on a future date. If a written call swaption is exercised, the writer will enter into a swap and is obligated to pay the fixed rate and receive a floating rate in exchange. If a written put swaption is exercised, the writer will enter a swap and is obligated to pay the floating rate and receive a fixed rate in exchange.
When a Fund writes a swaption, the premium received is recorded as a liability in the Statements of Assets and Liabilities and is subsequently adjusted to the current market value of the swaption. Changes in the value of the swaption are reported as unrealized gains or losses in the Statements of Operations. A gain or loss is recognized when the swaption contract expires or is closed. Premiums received from writing swaptions that expire or are exercised are treated by the Fund as realized gains from investments. The difference between the premium and the amount paid on effecting a closing purchase transaction is also treated as a realized gain or, if the premium received is less than the amount paid for the closing purchase, as a realized loss.
Entering into a swaption contract involves, to varying degrees, the elements of credit, market and interest rate risk, associated with both option contracts and swap contracts. To reduce credit risk from potential counterparty default, a Fund only enters into swaption contracts with counterparties that meet certain standards of creditworthiness. A Fund bears the market risk arising from any change in index values or interest rates.
(vii) Swap Contracts. Swaps involve the exchange by a Fund with another party of the respective amounts payable with respect to a notional principal amount related to one or more indices. Certain Funds may enter into these transactions to preserve a return or spread on a particular investment or portion of its assets, as a duration management technique or to protect against any increase in the price of securities the Fund anticipates purchasing at a later date. Certain Funds may also use these transactions for speculative purposes, such as to obtain the price performance of a security without actually purchasing the security in circumstances where, for example, the subject security is illiquid, is unavailable for direct investment or available only on less attractive terms.
334
| | |
| | | |
| Notes to Financial Statements | | |
Swaps are marked-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 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
335
| | |
| | | |
| Notes to Financial Statements | | |
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. The re-exchange at maturity may take place at the same exchange rate, a specified rate, or the then current spot rate. Interest payments, if applicable, are made between the parties based on interest rates available in the two currencies at the inception of the contract. The terms of cross-currency swap contracts may extend for many years. Cross-currency swaps are usually negotiated with commercial and investment banks. Some cross-currency swaps may not provide for exchanging principal cash flows, but only for exchanging interest cash flows.
(xii) Volatility Swap Contracts. A volatility swap is an agreement between counterparties to exchange periodic payments based on the measured volatility of a reference security, index, currency or other reference investment over a specified time frame. One cash flow is typically based on the realized volatility of the reference investment as measured by changes in its price or level over the specified time period while the other cash flow is based on a specified rate representing expected volatility for the reference investment at the time the swap is executed, or the measured volatility of a different reference investment over the specified time period. The appreciation or depreciation on a volatility swap will typically depend on the magnitude of the reference investment’s volatility, or size of the movements in its price, over the specified time period, rather than general directional increases or decreases in its price.
Volatility swaps are less standard in structure than other types of swaps and provide pure, or isolated, exposure to volatility risk of the specific underlying reference investment. Volatility swaps are typically used to speculate on future volatility levels, to trade the spread between realized and expected volatility, or to decrease the volatility exposure of investments held by the Fund.
Variance swaps are a type of volatility swap where counterparties agree to exchange periodic payments based on the measured variance (or the volatility squared) of a reference security, index, or other reference investment over a specified time period. At payment date, a net cash flow will be exchanged based on the difference between the realized variance of the reference investment over the specified time period and the specified rate representing expected variance for the reference investment at the time the swap is executed multiplied by the notional amount of the contract.
(xiii) Inflation Rate Swap Contracts. The Fund may enter into inflation rate swap contracts to attempt to hedge against inflation. Pursuant to the inflation rate swap agreement, the Fund negotiates with a counterparty to exchange a periodic stream of payments, based on a benchmark inflation index. One cash flow stream will typically be a floating rate payment linked to the specified inflation index while the other is typically a fixed interest rate.
Inflation rate swaps are normally issued on a zero coupon basis where all payments compound during the life of the contract and are netted upon the termination or maturity of the contract. Final payments received or paid by the Fund are recorded as realized gains or losses in the Statements of Operations. Inflation rate swap contracts are subject to movements in interest rates.
(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.
336
| | |
| | | |
| Notes to Financial Statements | | |
The following is a summary of the fair valuations of the Funds’ derivative instruments categorized by risk exposure at August 31, 2020:
Large Cap Equity Fund
| | | | | | | | | | | | | | | | | | | | |
Fair Values of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2020: | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Asset derivatives | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on open futures contracts (b) | | $ | — | | | $ | — | | | $ | — | | | $ | 1,205,110 | | | $ | 1,205,110 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Effect of Derivative Instruments on the Statements of Operations for the Year Ended August 31, 2020: | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Realized gain/(loss) on derivatives (d) | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | 1,716,236 | | | $ | 1,716,236 | |
| | | | | | | | | | | | | | | | | | | | |
| Change in unrealized appreciation (depreciation) on derivatives (e) | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | 1,204,427 | | | $ | 1,204,427 | |
| | | | | | | | | | | | | | | | | | | | |
Small-Mid Cap Equity Fund
| | | | | | | | | | | | | | | | | | | | |
Fair Values of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2020: | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Asset derivatives | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on open futures contracts (b) | | $ | — | | | $ | — | | | $ | — | | | $ | 442,091 | | | $ | 442,091 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
|
Effect of Derivative Instruments on the Statements of Operations for the Year Ended August 31, 2020: | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Realized gain/(loss) on derivatives (d) | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | (189,803 | ) | | $ | (189,803 | ) |
| | | | | | | | | | | | | | | | | | | | |
| Change in unrealized appreciation (depreciation) on derivatives (e) | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | 508,792 | | | $ | 508,792 | |
| | | | | | | | | | | | | | | | | | | | |
International Equity Fund
| | | | | | | | | | | | | | | | | | | | |
Fair Values of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2020: | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Asset derivatives | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on open futures contracts (b) | | $ | — | | | $ | — | | | $ | — | | | $ | 11,784 | | | $ | 11,784 | |
| | | | | | | | | | | | | | | | | | | | |
| Liability derivatives | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on open futures contracts (b) | | $ | — | | | $ | — | | | $ | — | | | $ | 9,845 | | | $ | 9,845 | |
| | | | | | | | | | | | | | | | | | | | |
337
| | |
| | | |
| Notes to Financial Statements | | |
| | | | | | | | | | | | | | | | | | | | |
|
Effect of Derivative Instruments on the Statements of Operations for the Year Ended August 31, 2020: | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Realized gain/(loss) on derivatives (d) | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | 1,526,304 | | | $ | 1,526,304 | |
Forward foreign currency contracts | | | — | | | | (1,340 | ) | | | — | | | | — | | | | (1,340 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | $ | — | | | $ | (1,340 | ) | | $ | — | | | $ | 1,526,304 | | | $ | 1,524,964 | |
| | | | | | | | | | | | | | | | | | | | |
| Change in unrealized appreciation (depreciation) on derivatives (e) | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | (1,316 | ) | | $ | (1,316 | ) |
| | | | | | | | | | | | | | | | | | | | |
Emerging Markets Equity Fund
| | | | | | | | | | | | | | | | | | | | |
Fair Values of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2020: | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Asset derivatives | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on open futures contracts (b) | | $ | — | | | $ | — | | | $ | — | | | $ | 134,429 | | | $ | 134,429 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Effect of Derivative Instruments on the Statements of Operations for the Year Ended August 31, 2020: | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Realized gain/(loss) on derivatives (d) | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | 246,263 | | | $ | 246,263 | |
| | | | | | | | | | | | | | | | | | | | |
| Change in unrealized appreciation (depreciation) on derivatives (e) | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | 206,895 | | | $ | 206,895 | |
| | | | | | | | | | | | | | | | | | | | |
Core Fixed Income Fund
| | | | | | | | | | | | | | | | | | | | |
Fair Values of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2020: | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Asset derivatives | | | | | | | | | | | | | | | | | | | | |
Purchased options (c) | | $ | 95,555 | | | $ | — | | | $ | — | | | $ | — | | | $ | 95,555 | |
Unrealized appreciation on open futures contracts (b) | | | 1,745,369 | | | | — | | | | — | | | | — | | | | 1,745,369 | |
Unrealized appreciation on forward foreign currency contracts (c) | | | — | | | | 931,632 | | | | — | | | | — | | | | 931,632 | |
Unrealized appreciation on centrally cleared swaps (f) | | | 211,247 | | | | — | | | | — | | | | — | | | | 211,247 | |
Unrealized appreciation on OTC swaps (c) | | | 119,333 | | | | — | | | | — | | | | — | | | | 119,333 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 2,171,504 | | | $ | 931,632 | | | $ | — | | | $ | — | | | $ | 3,103,136 | |
| | | | | | | | | | | | | | | | | | | | |
| Liability derivatives | | | | | | | | | | | | | | | | | | | | |
Options contracts written outstanding (a) | | $ | 125,211 | | | $ | — | | | $ | — | | | $ | — | | | $ | 125,211 | |
Unrealized depreciation on open futures contracts (b) | | | 987,665 | | | | — | | | | — | | | | — | | | | 987,665 | |
Unrealized depreciation on forward foreign currency contracts (a) | | | — | | | | 830,408 | | | | — | | | | — | | | | 830,408 | |
Unrealized depreciation on centrally cleared swaps (f) | | | 1,708,636 | | | | — | | | | — | | | | — | | | | 1,708,636 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 2,821,512 | | | $ | 830,408 | | | $ | — | | | $ | — | | | $ | 3,651,920 | |
| | | | | | | | | | | | | | | | | | | | |
338
| | |
| | | |
| Notes to Financial Statements | | |
| | | | | | | | | | | | | | | | | | | | |
Effect of Derivative Instruments on the Statements of Operations for the Year Ended August 31, 2020: | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Realized gain/(loss) on derivatives (d) | | | | | | | | | | | | | | | | | | | | |
Purchased options | | $ | (3,282,719 | ) | | $ | (164,835 | ) | | $ | — | | | $ | — | | | $ | (3,447,554 | ) |
Futures contracts | | | 8,899,781 | | | | — | | | | — | | | | — | | | | 8,899,781 | |
Options contracts written | | | 3,949,371 | | | | — | | | | — | | | | — | | | | 3,949,371 | |
Swap contracts | | | (8,488,069 | ) | | | — | | | | (64,946 | ) | | | — | | | | (8,553,015 | ) |
Forward foreign currency contracts | | | — | | | | (1,334,298 | ) | | | — | | | | — | | | | (1,334,298 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 1,078,364 | | | $ | (1,499,133 | ) | | $ | (64,946 | ) | | $ | — | | | $ | (485,715 | ) |
| | | | | | | | | | | | | | | | | | | | |
| Change in unrealized appreciation (depreciation) on derivatives (e) | | | | | | | | | | | | | | | | | | | | |
Purchased options | | $ | 142,571 | | | $ | (228,579 | ) | | $ | — | | | $ | — | | | $ | (86,008 | ) |
Futures contracts | | | 949,647 | | | | — | | | | — | | | | — | | | | 949,647 | |
Options contracts written | | | (48,902 | ) | | | — | | | | — | | | | — | | | | (48,902 | ) |
Swap contracts | | | 3,753,391 | | | | — | | | | 11,557 | | | | — | | | | 3,764,948 | |
Forward foreign currency contracts | | | — | | | | 551,893 | | | | — | | | | — | | | | 551,893 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 4,796,707 | | | $ | 323,314 | | | $ | 11,557 | | | $ | — | | | $ | 5,131,578 | |
| | | | | | | | | | | | | | | | | | | | |
High Yield Fund
| | | | | | | | | | | | | | | | | | | | |
Fair Values of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2020: | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Asset derivatives | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on open futures contracts (b) | | $ | 580 | | | $ | — | | | $ | — | | | $ | — | | | $ | 580 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
|
Effect of Derivative Instruments on the Statements of Operations for the Year Ended August 31, 2020: | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Realized gain/(loss) on derivatives (d) | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | (50,618 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | (50,618 | ) |
| | | | | | | | | | | | | | | | | | | | |
| Change in unrealized appreciation (depreciation) on derivatives (e) | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | 580 | | | $ | — | | | $ | — | | | $ | — | | | $ | 580 | |
| | | | | | | | | | | | | | | | | | | | |
339
| | |
| | | |
| Notes to Financial Statements | | |
International Fixed Income Fund
| | | | | | | | | | | | | | | | | | | | |
Fair Values of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2020: | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Asset derivatives | | | | | | | | | | | | | | | | | | | | |
Purchased options (c) | | $ | 29,921 | | | $ | 19,145 | | | $ | — | | | $ | — | | | $ | 49,066 | |
Unrealized appreciation on open futures contracts (b) | | | 198,127 | | | | — | | | | — | | | | — | | | | 198,127 | |
Unrealized appreciation on forward foreign currency contracts (c) | | | — | | | | 774,346 | | | | — | | | | — | | | | 774,346 | |
Unrealized appreciation on centrally cleared swaps (f) | | | 919,340 | | | | — | | | | 30,114 | | | | — | | | | 949,454 | |
Unrealized appreciation on OTC swaps (c) | | | 86,171 | | | | 116,480 | | | | 36,961 | | | | — | | | | 239,612 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 1,233,559 | | | $ | 909,971 | | | $ | 67,075 | | | $ | — | | | $ | 2,210,605 | |
| | | | | | | | | | | | | | | | | | | | |
| Liability derivatives | | | | | | | | | | | | | | | | | | | | |
Options contracts written outstanding (a) | | $ | 15,961 | | | $ | 30,127 | | | $ | 10,658 | | | $ | — | | | $ | 56,746 | |
Unrealized depreciation on open futures contracts (b) | | | 134,348 | | | | — | | | | — | | | | — | | | | 134,348 | |
Unrealized depreciation on forward foreign currency contracts (a) | | | — | | | | 1,661,290 | | | | — | | | | — | | | | 1,661,290 | |
Unrealized depreciation on centrally cleared swaps (f) | | | 1,351,987 | | | | — | | | | 63,704 | | | | — | | | | 1,415,691 | |
Unrealized depreciation on OTC swaps (a) | | | 142,058 | | | | — | | | | 8,135 | | | | — | | | | 150,193 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 1,644,354 | | | $ | 1,691,417 | | | $ | 82,497 | | | $ | — | | | $ | 3,418,268 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
|
Effect of Derivative Instruments on the Statements of Operations for the Year Ended August 31, 2020: | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Realized gain/(loss) on derivatives (d) | | | | | | | | | | | | | | | | | | | | |
Purchased options | | $ | 7,033 | | | $ | 6,556 | | | $ | — | | | $ | — | | | $ | 13,589 | |
Futures contracts | | | 56,758 | | | | — | | | | — | | | | — | | | | 56,758 | |
Options contracts written | | | 289,765 | | | | 85,550 | | | | 18,412 | | | | — | | | | 393,727 | |
Swap contracts | | | (1,664,914 | ) | | | (5,589 | ) | | | (156,565 | ) | | | 87,233 | | | | (1,739,835 | ) |
Forward foreign currency contracts | | | — | | | | (1,020,101 | ) | | | — | | | | — | | | | (1,020,101 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | $ | (1,311,358 | ) | | $ | (933,584 | ) | | $ | (138,153 | ) | | $ | 87,233 | | | $ | (2,295,862 | ) |
| | | | | | | | | | | | | | | | | | | | |
| Change in unrealized appreciation (depreciation) on derivatives (e) | | | | | | | | | | | | | | | | | | | | |
Purchased options | | $ | (45,681 | ) | | $ | 14,612 | | | $ | — | | | $ | — | | | $ | (31,069 | ) |
Futures contracts | | | (237,698 | ) | | | — | | | | — | | | | — | | | | (237,698 | ) |
Options contracts written | | | 98,665 | | | | 11,840 | | | | 13,089 | | | | — | | | | 123,594 | |
Swap contracts | | | 399,608 | | | | 168,089 | | | | (525,642 | ) | | | — | | | | 42,055 | |
Forward foreign currency contracts | | | — | | | | (1,988,490 | ) | | | — | | | | — | | | | (1,988,490 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 214,894 | | | $ | (1,793,949 | ) | | $ | (512,553 | ) | | $ | — | | | $ | (2,091,608 | ) |
| | | | | | | | | | | | | | | | | | | | |
Municipal Bond Fund
| | | | | | | | | | | | | | | | | | | | |
Effect of Derivative Instruments on the Statements of Operations for the Year Ended August 31, 2020: | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Realized gain/(loss) on derivatives (d) | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | (437,843 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | (437,843 | ) |
| | | | | | | | | | | | | | | | | | | | |
| Change in unrealized appreciation (depreciation) on derivatives (e) | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | (19,596 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | (19,596 | ) |
| | | | | | | | | | | | | | | | | | | | |
340
| | |
| | | |
| Notes to Financial Statements | | |
Inflation-Linked Fixed Income Fund
| | | | | | | | | | | | | | | | | | | | |
Fair Values of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2020: | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Asset derivatives | | | | | | | | | | | | | | | | | | | | |
Purchased options (c) | | $ | 2,047 | | | $ | — | | | $ | — | | | $ | — | | | $ | 2,047 | |
Unrealized appreciation on open futures contracts (b) | | | 101,426 | | | | — | | | | — | | | | — | | | | 101,426 | |
Unrealized appreciation on forward foreign currency contracts (c) | | | — | | | | 74,585 | | | | — | | | | — | | | | 74,585 | |
Unrealized appreciation on centrally cleared swaps (f) | | | 491,012 | | | | — | | | | 4,108 | | | | — | | | | 495,120 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 594,485 | | | $ | 74,585 | | | $ | 4,108 | | | $ | — | | | $ | 673,178 | |
| | | | | | | | | | | | | | | | | | | | |
| Liability derivatives | | | | | | | | | | | | | | | | | | | | |
Options contracts written outstanding (a) | | $ | — | | | $ | — | | | $ | 4,040 | | | $ | — | | | $ | 4,040 | |
Unrealized depreciation on open futures contracts (b) | | | 74,685 | | | | — | | | | — | | | | — | | | | 74,685 | |
Unrealized depreciation on forward foreign currency contracts (a) | | | — | | | | 519,084 | | | | — | | | | — | | | | 519,084 | |
Unrealized depreciation on centrally cleared swaps (f) | | | 713,137 | | | | — | | | | 155,945 | | | | — | | | | 869,082 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 787,822 | | | $ | 519,084 | | | $ | 159,985 | | | $ | — | | | $ | 1,466,891 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
|
Effect of Derivative Instruments on the Statements of Operations for the Year Ended August 31, 2020: | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Realized gain/(loss) on derivatives (d) | | | | | | | | | | | | | | | | | | | | |
Purchased options | | $ | 678,930 | | | $ | — | | | $ | (120 | ) | | $ | — | | | $ | 678,810 | |
Futures contracts | | | (1,203,351 | ) | | | — | | | | — | | | | — | | | | (1,203,351 | ) |
Options contracts written | | | (78,926 | ) | | | — | | | | 20,664 | | | | — | | | | (58,262 | ) |
Swap contracts | | | (665,350 | ) | | | — | | | | 361,400 | | | | — | | | | (303,950 | ) |
Forward foreign currency contracts | | | — | | | | (347,471 | ) | | | — | | | | — | | | | (347,471 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | $ | (1,268,697 | ) | | $ | (347,471 | ) | | $ | 381,944 | | | $ | — | | | $ | (1,234,224 | ) |
| | | | | | | | | | | | | | | | | | | | |
| Change in unrealized appreciation (depreciation) on derivatives (e) | | | | | | | | | | | | | | | | | | | | |
Purchased options | | $ | 463 | | | $ | — | | | $ | — | | | $ | — | | | $ | 463 | |
Futures contracts | | | 266,014 | | | | — | | | | — | | | | — | | | | 266,014 | |
Options contracts written | | | (33,913 | ) | | | — | | | | (1,507 | ) | | | — | | | | (35,420 | ) |
Swap contracts | | | 918,102 | | | | — | | | | (138,619 | ) | | | — | | | | 779,483 | |
Forward foreign currency contracts | | | — | | | | (957,812 | ) | | | — | | | | — | | | | (957,812 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 1,150,666 | | | $ | (957,812 | ) | | $ | (140,126 | ) | | $ | — | | | $ | 52,728 | |
| | | | | | | | | | | | | | | | | | | | |
341
| | |
| | | |
| Notes to Financial Statements | | |
Ultra-Short Fixed Income Fund
| | | | | | | | | | | | | | | | | | | | |
Fair Values of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2020: | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Asset derivatives | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on open futures contracts (b) | | $ | 243,322 | | | $ | — | | | $ | — | | | $ | — | | | $ | 243,322 | |
Unrealized appreciation on forward foreign currency contracts (c) | | | — | | | | 122,733 | | | | — | | | | — | | | | 122,733 | |
Unrealized appreciation on centrally cleared swaps (f) | | | 104,542 | | | | — | | | | 12,859 | | | | — | | | | 117,401 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 347,864 | | | $ | 122,733 | | | $ | 12,859 | | | $ | — | | | $ | 483,456 | |
| | | | | | | | | | | | | | | | | | | | |
| Liability derivatives | | | | | | | | | | | | | | | | | | | | |
Unrealized depreciation on open futures contracts (b) | | $ | 55,667 | | | $ | — | | | $ | — | | | $ | — | | | $ | 55,667 | |
Unrealized depreciation on forward foreign currency contracts (a) | | | — | | | | 1,012,776 | | | | — | | | | — | | | | 1,012,776 | |
Unrealized depreciation on centrally cleared swaps (f) | | | — | | | | — | | | | 1,218,521 | | | | — | | | | 1,218,521 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 55,667 | | | $ | 1,012,776 | | | $ | 1,218,521 | | | $ | — | | | $ | 2,286,964 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
|
Effect of Derivative Instruments on the Statements of Operations for the Year Ended August 31, 2020: | |
| | | | | |
| Location | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | | | Total | |
| Realized gain/(loss) on derivatives (d) | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | 1,235,325 | | | $ | — | | | $ | — | | | $ | — | | | $ | 1,235,325 | |
Swap contracts | | | (11,888,377 | ) | | | — | | | | 1,366,389 | | | | — | | | | (10,521,988 | ) |
Forward foreign currency contracts | | | — | | | | 827,116 | | | | — | | | | — | | | | 827,116 | |
| | | | | | | | | | | | | | | | | | | | |
| | $ | (10,653,052 | ) | | $ | 827,116 | | | $ | 1,366,389 | | | $ | — | | | $ | (8,459,547 | ) |
| | | | | | | | | | | | | | | | | | | | |
| Change in unrealized appreciation (depreciation) on derivatives (e) | | | | | | | | | | | | | | | | | | | | |
Futures contracts | | $ | 478,504 | | | $ | — | | | $ | — | | | $ | — | | | $ | 478,504 | |
Swap contracts | | | 7,722,549 | | | | — | | | | (1,062,002 | ) | | | — | | | | 6,660,547 | |
Forward foreign currency contracts | | | — | | | | (1,580,633 | ) | | | — | | | | — | | | | (1,580,633 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | $ | 8,201,053 | | | $ | (1,580,633 | ) | | $ | (1,062,002 | ) | | $ | — | | | $ | 5,558,418 | |
| | | | | | | | | | | | | | | | | | | | |
| (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. |
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, 2020 were as follows:
Large Cap Equity Fund
| | | | | | | | | | | | | | | | |
| | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | 11,417,242 | |
342
| | |
| | | |
| Notes to Financial Statements | | |
Small-Mid Cap Equity Fund
| | | | | | | | | | | | | | | | |
| | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | 2,934,779 | |
International Equity Fund
| | | | | | | | | | | | | | | | |
| | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | 2,487,454 | |
Forward foreign currency contracts | | | — | | | | 46,308 | | | | — | | | | — | |
Emerging Markets Equity Fund
| | | | | | | | | | | | | | | | |
| | | | |
| | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | |
Futures contracts | | $ | — | | | $ | — | | | $ | — | | | $ | 1,747,824 | |
Core Fixed Income Fund
| | | | | | | | | | | | | | | | |
| | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | |
Purchased options | | $ | 302,274 | | | $ | 151,229 | | | $ | — | | | $ | — | |
Futures contracts | | | 432,111,806 | | | | — | | | | — | | | | — | |
Option contracts written | | | 446,140 | | | | — | | | | — | | | | — | |
Swap contracts | | | 96,710,462 | | | | — | | | | 9,538,277 | | | | — | |
Forward foreign currency contracts | | | — | | | | 56,351,055 | | | | — | | | | — | |
High Yield Fund
| | | | | | | | | | | | | | | | |
| | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | |
Futures contracts | | $ | 439,282 | | | $ | — | | | $ | — | | | $ | — | |
International Fixed Income Fund
| | | | | | | | | | | | | | | | |
| | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | |
Purchased options | | $ | 63,729 | | | $ | 10,249 | | | $ | — | | | $ | — | |
Futures contracts | | | 61,645,070 | | | | — | | | | — | | | | — | |
Option contracts written | | | 143,054 | | | | 22,221 | | | | 4,509 | | | | — | |
Swap contracts | | | 231,435,353 | | | | 1,805,600 | | | | 34,744,441 | | | | — | |
Forward foreign currency contracts | | | — | | | | 225,634,068 | | | | — | | | | — | |
Municipal Bond Fund
| | | | | | | | | | | | | | | | |
| | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | |
Futures contracts | | $ | 4,634,692 | | | $ | — | | | $ | — | | | $ | — | |
343
| | |
| | | |
| Notes to Financial Statements | | |
Inflation-Linked Fixed Income Fund
| | | | | | | | | | | | | | | | |
| | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | |
Purchased options | | $ | 159,807 | | | $ | — | | | $ | — | | | $ | — | |
Futures contracts | | | 104,746,148 | | | | — | | | | — | | | | — | |
Option contracts written | | | 199,332 | | | | — | | | | 3,778 | | | | — | |
Swap contracts | | | 80,357,452 | | | | — | | | | 5,394,086 | | | | — | |
Forward foreign currency contracts | | | — | | | | 49,368,998 | | | | — | | | | — | |
Ultra-Short Term Fixed Income Fund
| | | | | | | | | | | | | | | | |
| | | | |
| | | Interest rate
risk | | | Foreign
exchange
risk | | | Credit
risk | | | Equity
risk | |
Futures contracts | | $ | 290,689,736 | | | $ | — | | | $ | — | | | $ | — | |
Swap contracts | | | 136,935,977 | | | | — | | | | 17,006,231 | | | | — | |
Forward foreign currency contracts | | | — | | | | 115,994,545 | | | | — | | | | — | |
(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 is marked-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. The yield-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. All non-cash collateral is received, held and administered by the custodian in an applicable custody account or other account established for the purpose of holding collateral for each Fund. Cash collateral received by the Funds as a result of securities lending activities is invested in an unaffiliated registered money market fund, and is recorded as Payable for collateral received from securities on loan within the Statements of Assets and Liabilities. Securities lending income represents the income earned on investing cash collateral plus any premium payments that may be received on the loan of certain types of securities, less fees and expenses associated with the loan. Each Fund maintains the risk of any market loss on its securities on loan as well as the potential loss on investments purchased with cash collateral received from its securities lending. The custodian has the right under its agreement with the borrowers to recover any loaned securities from the borrower on demand. Additionally, the Funds are exposed to risks that a borrower may not
344
| | |
| | | |
| Notes to Financial Statements | | |
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.
The following table presents securities on loan that are subject to enforceable netting arrangements as of August 31, 2020:
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 | | | $ | 10,143,839 | | | | $ | — | | | | $ | (10,143,839 | ) | | | $ | 0 | |
Small-Mid Cap Equity Fund | | | | 10,619,181 | | | | | — | | | | | (10,619,181 | ) | | | | 0 | |
International Equity Fund | | | | 8,451,593 | | | | | — | | | | | (8,451,593 | ) | | | | 0 | |
Emerging Markets Equity Fund | | | | 7,834,964 | | | | | — | | | | | (7,834,964 | ) | | | | 0 | |
High Yield Fund | | | | 391,138 | | | | | — | | | | | (391,138 | ) | | | | 0 | |
| (a) | Represents market value of securities on loan at period end. |
| (b) | The Funds received cash collateral of $8,042,887, $8,572,406, $5,375,517, $7,604,720 and $0, respectively, which was subsequently invested in Invesco STIT — Government & Agency Portfolio as reported in the Schedules of Investments. In addition, the Funds received non-cash collateral of $2,432,179, $2,389,673, $3,298,537, $499,120 and $399,524, respectively, in the form of U.S. Government Obligations, which the Funds cannot sell or repledge, and accordingly are not reflected in the Portfolio 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, 2020:
| | | | | | | | | | | | | | | | | | | | |
| | | Remaining Contractual Maturity of the Agreements
As of August 31, 2020 | |
| | | Overnight and
Continuous | | | < 30 days | | | Between 30 & 90
days | | | > 90 days | | | Total | |
| Large Cap Equity Fund | | | | | | | | | | | | | | | | | | | | |
| Securities Lending Transactions | | | | | | | | | | | | | | | | | | | | |
Common Stocks | | $ | 8,042,887 | | | $ | — | | | $ | — | | | $ | — | | | $ | 8,042,887 | |
| | | | | | | | | | | | | | | | | | | | |
Total Borrowings | | $ | 8,042,887 | | | $ | — | | | $ | — | | | $ | — | | | $ | 8,042,887 | |
| | | | | | | | | | | | | | | | | | | | |
Gross amount of recognized liabilities for securities lending transactions | | | | | | | | | | | $ | 8,042,887 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| Small-Mid Cap Equity Fund | | | | | | | | | | | | | | | | | | | | |
| Securities Lending Transactions | | | | | | | | | | | | | | | | | | | | |
Common Stocks | | $ | 8,572,406 | | | $ | — | | | $ | — | | | $ | — | | | $ | 8,572,406 | |
| | | | | | | | | | | | | | | | | | | | |
Total Borrowings | | $ | 8,572,406 | | | $ | — | | | $ | — | | | $ | — | | | $ | 8,572,406 | |
| | | | | | | | | | | | | | | | | | | | |
Gross amount of recognized liabilities for securities lending transactions | | | | | | | | | | | $ | 8,572,406 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| International Equity Fund | | | | | | | | | | | | | | | | | | | | |
| Securities Lending Transactions | | | | | | | | | | | | | | | | | | | | |
Common Stocks | | $ | 5,375,517 | | | $ | — | | | $ | — | | | $ | — | | | $ | 5,375,517 | |
| | | | | | | | | | | | | | | | | | | | |
Total Borrowings | | $ | 5,375,517 | | | $ | — | | | $ | — | | | $ | — | | | $ | 5,375,517 | |
| | | | | | | | | | | | | | | | | | | | |
Gross amount of recognized liabilities for securities lending transactions | | | | | | | | | | | $ | 5,375,517 | |
| | | | | | | | | | | | | | | | | | | | |
345
| | |
| | | |
| Notes to Financial Statements | | |
| | | | | | | | | | | | | | | | | | | | |
| | | Remaining Contractual Maturity of the Agreements
As of August 31, 2020 | |
| | | Overnight and
Continuous | | | < 30 days | | | Between 30 & 90
days | | | > 90 days | | | Total | |
| Emerging Markets Equity Fund | | | | | | | | | | | | | | | | | | | | |
| Securities Lending Transactions | | | | | | | | | | | | | | | | | | | | |
Common Stocks | | $ | 7,604,720 | | | $ | — | | | $ | — | | | $ | — | | | $ | 7,604,720 | |
| | | | | | | | | | | | | | | | | | | | |
Total Borrowings | | $ | 7,604,720 | | | $ | — | | | $ | — | | | $ | — | | | $ | 7,604,720 | |
| | | | | | | | | | | | | | | | | | | | |
Gross amount of recognized liabilities for securities lending transactions | | | | | | | | | | | $ | 7,604,720 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| International Fixed Income Fund | | | | | | | | | | | | | | | | | | | | |
| Reverse Repurchase Agreements Transactions | | | | | | | | | | | | | | | | | | | | |
Sovereign Bonds | | $ | — | | | $ | 1,251,070 | | | $ | — | | | $ | — | | | $ | 1,251,070 | |
U.S. Government Obligations | | | — | | | | 2,107,750 | | | | 3,052,145 | | | | ��� | | | | 5,159,895 | |
| Sale-Buyback Transactions | | | | | | | | | | | | | | | | | | | | |
U.S. Government Obligations | | $ | — | | | $ | 829,726 | | | $ | — | | | $ | — | | | $ | 829,726 | |
| | | | | | | | | | | | | | | | | | | | |
Total Borrowings | | $ | — | | | $ | 4,188,546 | | | $ | 3,052,145 | | | $ | — | | | $ | 7,240,691 | |
| | | | | | | | | | | | | | | | | | | | |
Gross amount of recognized liabilities for reverse repurchase agreements transactions | | | | | | | $ | 6,410,965 | |
| | | | | | | | | | | | | | | | | | | | |
Gross amount of recognized liabilities for sale-buyback transactions | | | | | | | | | | | $ | 829,726 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| Inflation-Linked Fixed Income Fund | | | | | | | | | | | | | | | | | | | | |
| Reverse Repurchase Agreements Transactions | | | | | | | | | | | | | | | | | | | | |
U.S. Government Obligations | | $ | — | | | $ | 35,022,406 | | | $ | 26,429,919 | | | $ | — | | | $ | 61,452,325 | |
| | | | | | | | | | | | | | | | | | | | |
Total Borrowings | | $ | — | | | $ | 35,022,406 | | | $ | 26,429,919 | | | $ | — | | | $ | 61,452,325 | |
| | | | | | | | | | | | | | | | | | | | |
Gross amount of recognized liabilities for reverse repurchase agreements transactions | | | | | | | $ | 61,452,325 | |
| | | | | | | | | | | | | | | | | | | | |
(g) To-Be-Announced Purchase and Sale Commitments. Certain Funds may trade securities on a to-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 are marked-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.
346
| | |
| | | |
| Notes to Financial Statements | | |
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.
(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) LIBOR Replacement Risk. Many financial instruments use or may use a floating rate based on LIBOR, the offered rate at which major international banks can obtain wholesale, unsecured funding. LIBOR may be a significant factor in determining the Fund’s payment obligations under a derivative investment, the cost of financing to the Fund or an investment’s value or return to the Fund, and may be used in other ways that affect the Fund’s investment performance. In July 2017, the United Kingdom’s Financial Conduct Authority announced a desire to phase out the use of LIBOR by the end of 2021. The unavailability and/or discontinuation of LIBOR may affect the value, liquidity or return on certain Fund investments that mature later than 2021 and may result in costs incurred in connection with closing out positions and entering into new positions. Any pricing adjustments to
347
| | |
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| Notes to Financial Statements | | |
the Fund’s investments resulting from a substitute reference rate may also adversely affect the Fund’s performance and/or net asset value.
(n) 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.
(o) Market Risk. Certain impacts to public health conditions particular to the coronavirus (COVID-19) outbreak could impact the operations and financial performance of certain of the Fund’s investments. The extent of the impact to the financial performance of Funds’ investments will depend on future developments, including (i) the duration and spread of the outbreak, (ii) the restrictions and advisories, (iii) the effects on the financial markets, and (iv) the effects on the economy overall, all of which are highly uncertain and cannot be predicted. If the financial performance of Funds’ investments is impacted because of these factors for an extended period, the Funds’ investment results may be adversely affected.
(p) 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 the ex-dividend date. Foreign dividend income is recorded on the ex-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.
(q) 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.
(r) 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 such tax-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 the ex-dividend date and are determined in accordance with income tax regulations, which may differ from GAAP.
348
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| Notes to Financial Statements | | |
(s) 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 2019 tax returns. Each Fund’s federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
(t) 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 | | | | Distributable earnings/
Accumulated deficit | | | Paid-in-capital | |
Large Cap Equity Fund. . . . . . . . . . . | | | | $ | — | | | $ | — | |
Small-Mid Cap Equity Fund. . . . . . . | | | | | (170 | ) | | | 170 | |
International Equity Fund. . . . . . . . . | | | | | — | | | | — | |
Emerging Markets 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 . . . . . . . . | | | | | — | | | | — | |
(u) Restricted Securities. All Funds may invest in non-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/or Sub-adviser pursuant to the procedures approved by the Board. The value of restricted securities is determined as described in Note 1(a).
(v) 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 involve the risk that the market value of the securities purchased with the proceeds from the sale of the securities received by the Fund may decline below the price of the securities the Fund is obligated to repurchase. Reverse repurchase agreements also involve credit risk with the counterparty to the extent that the value of securities subject to repurchase exceed the Fund’s liability under the reverse repurchase agreement. 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.
(w) 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.
(x) 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
349
| | |
| | | |
| Notes to Financial Statements | | |
Loans issued by companies of comparable credit quality. If the investment adviser believes that there is a reasonable likelihood of full repayment, the investment adviser will determine fair value using a matrix pricing approach that considers the yield on the Senior Loan. If the investment adviser believes there is not a reasonable likelihood of full repayment, the investment adviser will determine fair value using analyses that include, but are not limited to: (i) a comparison of the value of the borrower’s outstanding equity and debt to that of comparable public companies; (ii) a discounted cash flow analysis; or (iii) when the investment adviser believes it is likely that a borrower will be liquidated or sold, an analysis of the terms of such liquidation or sale. In certain cases, the investment adviser will use a combination of analytical methods to determine fair value, such as when only a portion of a borrower’s assets are likely to be sold. In conducting its assessment and analyses for purposes of determining fair value of a Senior Loan, the investment adviser will use its discretion and judgment in considering and appraising relevant factors. Fair value determinations are made by the portfolio managers of the Fund based on information available to such managers. The portfolio managers of other funds managed by the investment adviser that invest in Senior Loans may not possess the same information about a Senior Loan borrower as the portfolio managers of the Fund. At times, the fair value of a Senior Loan determined by the portfolio managers of other funds managed by the investment adviser that invest in Senior Loans may vary from the fair value of the same Senior Loan determined by the portfolio managers of the Fund. The fair value of each Senior Loan is periodically reviewed and approved by the investment adviser’s Valuation Committee and by the Trustees based upon procedures approved by the Trustees. Junior Loans (i.e., subordinated loans and second lien loans) are valued in the same manner as Senior Loans.
In connection with bank loan interests, the Fund may enter into unfunded bank loan interests (“commitments”). Unfunded loan commitments may be partially or wholly unfunded. The Fund is obligated to fund those commitments at borrower’s discretion. In connection with these commitments, the Fund earns a commitment fee, which is included in interest income in the Statements of Operations and recognized respectively over the commitment period.
The following table summarizes the Core Fixed Income Fund’s fully unfunded loan position as of August 31, 2020:
| | | | | | | | | | | | | | | | |
| | | Principal | | | Unfunded Bank
Loan Interest
(Cost) | | | Value of
Underlying Bank
Loan Interest
(Value) | | | Unrealized
Depreciation | |
EyeCare Partners, LLC | | $ | 20,811 | | | $ | 20,791 | | | $ | 19,500 | | | $ | (1,291 | ) |
| | | | | | | | | | | | | | | | |
The following table summarizes the High Yield Fund’s fully and partially unfunded loan position as of August 31, 2020:
| | | | | | | | | | | | | | | | |
| | | Principal | | | Unfunded Bank
Loan Interest
(Cost) | | | Value of
Underlying Bank
Loan Interest
(Value) | | | Unrealized
Depreciation | |
AmeriLife Holdings, LLC | | $ | 3,409 | | | $ | 1,591 | | | $ | 1,571 | | | $ | (20 | ) |
EyeCare Partners, LLC | | | 11,351 | | | | 11,338 | | | | 10,637 | | | | (701 | ) |
Spectacle Gary Holdings, LLC | | | 2,432 | | | | 2,369 | | | | 2,304 | | | | (65 | ) |
| | | | | | | | | | | | | | | | |
| | $ | 17,192 | | | $ | 15,298 | | | $ | 14,512 | | | $ | (786 | ) |
| | | | | | | | | | | | | | | | |
(y) Sale-Buyback and Buy-Saleback 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.
During the year ended August 31, 2020, 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
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| | |
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| Notes to Financial Statements | | |
sale-buyback transactions at August 31, 2020, 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, 2020, were as following:
| | | | | | | | | | | | | | | |
| | | International Fixed
Income Fund | | Inflation-Linked Fixed Income Fund | | Ultra-Short Term Fixed
Income Fund |
Payable for investments purchased | | | $ | 829,726 | | | | $ | — | | | | $ | — | |
Average amount borrowed | | | | 119,460 | | | | | 7,385,669 | | | | | 6,544,196 | |
Interest expense | | | | 16,216 | | | | | 105,915 | | | | | 95,528 | |
Weighted average interest rate | | | | 8.32 | % | | | | 1.43 | % | | | | 1.46 | % |
A buy-saleback lending transaction consists of a purchase of a security by a Fund from a counterparty, with a simultaneous agreement to sell the same or substantially the same security at an agreed-upon price and date. The party who sold the security is not entitled to receive principal and interest payments, if any, made on the security during the term of the agreement. The Fund will segregate assets determined to be liquid by the Sub-adviser or will otherwise cover its obligations under buy-saleback transactions.
During the year ended August 31, 2020, the Inflation-Linked Fixed Income Fund and Ultra-Short Term Fixed Income Fund participated in buy-saleback transactions. The receivable for investments sold related to buy-saleback transactions at August 31, 2020, an average amount loaned, received interest income and a weighted average interest rate related to buy-saleback transactions outstanding during the year ended August 31, 2020, were as following:
| | | | | | | | | | |
| | | Inflation-Linked Fixed | | Ultra-Short Term Fixed |
Receivable for investments sold | | | $ | — | | | | $ | — | |
Average amount loaned | | | | 409,518 | | | | | 141,941 | |
Interest income | | | | 664 | | | | | 1,865 | |
Weighted average interest rate | | | | 0.06 | % | | | | 1.08 | % |
Sale-buyback and buy-saleback transactions are governed by Master Securities Forward Transaction Agreements (“Master Forward Agreements”), which are agreements between the Fund and select counterparties. The Master Forward Agreements maintain provisions for, among other things, transaction initiation and confirmation, payment and transfer, events of default, termination and maintenance of collateral. The market value of any pending sale-buyback and buy-saleback transactions as of period end is disclosed in each Fund’s Summary Schedule of Investments.
(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, a Sub-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
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| | |
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| Notes to Financial Statements | | |
Investments. The carrying amount of such deposits due to brokers at August 31, 2020 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, 2020 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, 2020.
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, 2020:
| | | | | | | | |
| | | 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 | | $ | 931,632 | | | $ | 830,408 | |
Swap contracts | | | 119,333 | | | | — | |
| | | | | | | | |
Total Derivative Instruments, subject to master netting arrangement or similar arrangement | | $ | 1,050,965 | | | $ | 830,408 | |
| | | | | | | | |
| International Fixed Income Fund: | | | | | | | | |
Forward foreign currency contracts | | $ | 774,346 | | | $ | 1,661,290 | |
Option contracts | | | 47,351 | (b) | | | 56,746 | |
Swap contracts | | | 239,612 | | | | 150,193 | |
| | | | | | | | |
Total Derivative Instruments, subject to master netting arrangement or similar arrangement | | $ | 1,061,309 | | | $ | 1,868,229 | |
| | | | | | | | |
| Inflation-Linked Fixed Income Fund: | | | | | | | | |
Forward foreign currency contracts | | $ | 74,585 | | | $ | 519,084 | |
Option contracts | | | — | | | | 4,040 | |
| | | | | | | | |
Total Derivative Instruments, subject to master netting arrangement or similar arrangement | | $ | 74,585 | | | $ | 523,124 | |
| | | | | | | | |
| Ultra-Short Term Fixed Income Fund: | | | | | | | | |
Forward foreign currency contracts | | $ | 122,733 | | | $ | 1,012,776 | |
| | | | | | | | |
Total Derivative Instruments, subject to master netting arrangement or similar arrangement | | $ | 122,733 | | | $ | 1,012,776 | |
| | | | | | | | |
| (a) | Excludes exchange-traded derivatives. |
| (b) | Amounts are included in Unaffiliated Investments in the Statements of Assets and Liabilities. |
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| | |
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| Notes to Financial Statements | | |
The following table presents the Funds’ derivative assets and liabilities by counterparty net of amounts available for offset under master netting or similar agreements, and net of related collateral received or pledged as of August 31, 2020.
| | | | | | | | | | | | | | | | |
| 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) (Not Less than $0) | |
| Core Fixed Income Fund | | | | | | | | | | | | | | | | |
| Over-the-counter | | | | | | | | | | | | | | | | |
Citigroup Global Markets Inc. | | $ | 1,050,965 | | | $ | (830,408 | ) | | $ | — | | | $ | 220,557 | |
| | | | | | | | | | | | | | | | |
Total Over-the-counter derivative instruments | | $ | 1,050,965 | | | $ | (830,408 | ) | | $ | — | | | $ | 220,557 | |
| | | | | | | | | | | | | | | | |
| | | | |
| 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) (Not Less than $0) | |
| Core Fixed Income Fund | | | | | | | | | | | | | | | | |
| Over-the-counter | | | | | | | | | | | | | | | | |
Citigroup Global Markets Inc. | | $ | 830,408 | | | $ | (830,408 | ) | | $ | — | | | $ | 0 | |
| | | | | | | | | | | | | | | | |
Total Over-the-counter derivative instruments | | $ | 830,408 | | | $ | (830,408 | ) | | $ | — | | | $ | 0 | |
| | | | | | | | | | | | | | | | |
| | | | |
| 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) (Not Less than $0) | |
| International Fixed Income Fund | | | | | | | | | | | | | | | | |
| Over-the-counter | | | | | | | | | | | | | | | | |
Barclays Bank PLC | | $ | 51,123 | | | $ | (51,123 | ) | | $ | — | | | $ | 0 | |
BNP Paribas SA | | | 114,483 | | | | (100,691 | ) | | | — | | | | 13,792 | |
Bank of America | | | 59,886 | | | | (59,886 | ) | | | — | | | | 0 | |
Deutsche Bank AG | | | 32,017 | | | | (8,288 | ) | | | (23,729 | ) | | | 0 | |
Goldman Sachs & Co. | | | 191,591 | | | | (33,725 | ) | | | — | | | | 157,866 | |
HSBC Bank USA | | | 56,212 | | | | (56,212 | ) | | | — | | | | 0 | |
JPMorgan Chase & Co. | | | 89,722 | | | | (89,722 | ) | | | — | | | | 0 | |
Royal Bank of Scotland PLC | | | 840 | | | | — | | | | — | | | | 840 | |
Standard Chartered Bank | | | 84,887 | | | | (84,887 | ) | | | — | | | | 0 | |
UBS Securities LLC | | | 380,548 | | | | (380,548 | ) | | | — | | | | 0 | |
| | | | | | | | | | | | | | | | |
Total Over-the-counter derivative instruments | | $ | 1,061,309 | | | $ | (865,082 | ) | | $ | (23,729 | ) | | $ | 172,498 | |
| | | | | | | | | | | | | | | | |
353
| | |
| | | |
| 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) (Not Less than $0) | |
| International Fixed Income Fund | | | | | | | | | | | | | | | | |
| Over-the-counter | | | | | | | | | | | | | | | | |
Barclays Bank PLC | | $ | 228,930 | | | $ | (51,123 | ) | | $ | — | | | $ | 177,807 | |
BNP Paribas SA | | | 100,691 | | | | (100,691 | ) | | | — | | | | 0 | |
Bank of America | | | 262,100 | | | | (59,886 | ) | | | — | | | | 202,214 | |
Deutsche Bank AG | | | 8,288 | | | | (8,288 | ) | | | — | | | | 0 | |
Goldman Sachs & Co. | | | 33,725 | | | | (33,725 | ) | | | — | | | | 0 | |
HSBC Bank USA | | | 117,272 | | | | (56,212 | ) | | | — | | | | 61,060 | |
JPMorgan Chase & Co. | | | 482,450 | | | | (89,722 | ) | | | — | | | | 392,728 | |
Standard Chartered Bank | | | 166,682 | | | | (84,887 | ) | | | — | | | | 81,795 | |
Societe Generale SA | | | 73,139 | | | | — | | | | — | | | | 73,139 | |
UBS Securities LLC | | | 394,952 | | | | (380,548 | ) | | | — | | | | 14,404 | |
| | | | | | | | | | | | | | | | |
Total Over-the-counter derivative instruments | | $ | 1,868,229 | | | $ | (865,082 | ) | | $ | — | | | $ | 1,003,147 | |
| | | | | | | | | | | | | | | | |
| | | | |
| 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) (Not Less than $0) | |
| Inflation-Linked Fixed Income Fund | | | | | | | | | | | | | | | | |
| Over-the-counter | | | | | | | | | | | | | | | | |
BNP Paribas SA | | $ | 3,071 | | | $ | (3,071 | ) | | $ | — | | | $ | 0 | |
Deutsche Bank AG | | | 11,064 | | | | (1,740 | ) | | | (9,324 | ) | | | 0 | |
HSBC Bank USA | | | 19,761 | | | | (19,761 | ) | | | — | | | | 0 | |
JPMorgan Chase & Co. | | | 2,527 | | | | (2,527 | ) | | | — | | | | 0 | |
Merrill Lynch, Pierce, Fenner & Smith Inc. | | | 25,666 | | | | (12,288 | ) | | | — | | | | 13,378 | |
Standard Chartered Bank | | | 12,496 | | | | (12,496 | ) | | | — | | | | 0 | |
| | | | | | | | | | | | | | | | |
Total Over-the-counter derivative instruments | | $ | 74,585 | | | $ | (51,883 | ) | | $ | (9,324 | ) | | $ | 13,378 | |
| | | | | | | | | | | | | | | | |
| | | | |
| 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) (Not Less than $0) | |
| Inflation-Linked Fixed Income Fund | | | | | | | | | | | | | | | | |
| Over-the-counter | | | | | | | | | | | | | | | | |
Barclays Bank PLC | | $ | 279,222 | | | $ | — | | | $ | — | | | $ | 279,222 | |
BNP Paribas SA | | | 6,968 | | | | (3,071 | ) | | | — | | | | 3,897 | |
Deutsche Bank AG | | | 1,740 | | | | (1,740 | ) | | | — | | | | 0 | |
HSBC Bank USA | | | 38,830 | | | | (19,761 | ) | | | — | | | | 19,069 | |
JPMorgan Chase & Co. | | | 135,960 | | | | (2,527 | ) | | | — | | | | 133,433 | |
Merrill Lynch, Pierce, Fenner & Smith Inc. | | | 12,288 | | | | (12,288 | ) | | | — | | | | 0 | |
Standard Chartered Bank | | | 48,116 | | | | (12,496 | ) | | | — | | | | 35,620 | |
| | | | | | | | | | | | | | | | |
Total Over-the-counter derivative instruments | | $ | 523,124 | | | $ | (51,883 | ) | | $ | — | | | $ | 471,241 | |
| | | | | | | | | | | | | | | | |
354
| | |
| | | |
| 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 | | | Net Amount (b) (Not Less than $0) | |
| Ultra-Short Term Fixed Income Fund | | | | | | | | | | | | | | | | |
| Over-the-counter | | | | | | | | | | | | | | | | |
BNP Paribas SA | | $ | 11,896 | | | $ | (11,896 | ) | | $ | — | | | $ | 0 | |
HSBC Bank USA | | | 91,202 | | | | (91,202 | ) | | | — | | | | 0 | |
JPMorgan Chase & Co. | | | 10,522 | | | | (10,522 | ) | | | — | | | | 0 | |
Merrill Lynch, Pierce, Fenner & Smith Inc. | | | — | | | | — | | | | — | | | | 0 | |
Standard Chartered Bank | | | 9,113 | | | | (9,113 | ) | | | — | | | | 0 | |
| | | | | | | | | | | | | | | | |
Total Over-the-counter derivative instruments | | $ | 122,733 | | | $ | (122,733 | ) | | $ | — | | | $ | 0 | |
| | | | | | | | | | | | | | | | |
| | | | |
| 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) (Not Less than $0) | |
| Ultra-Short Term Fixed Income Fund | | | | | | | | | | | | | | | | |
| Over-the-counter | | | | | | | | | | | | | | | | |
BNP Paribas SA | | $ | 81,650 | | | $ | (11,896 | ) | | $ | — | | | $ | 69,754 | |
HSBC Bank USA | | | 113,064 | | | | (91,202 | ) | | | — | | | | 21,862 | |
JPMorgan Chase & Co. | | | 647,253 | | | | (10,522 | ) | | | — | | | | 636,731 | |
Merrill Lynch, Pierce, Fenner & Smith Inc. | | | 65,290 | | | | — | | | | — | | | | 65,290 | |
Standard Chartered Bank | | | 105,519 | | | | (9,113 | ) | | | — | | | | 96,406 | |
| | | | | | | | | | | | | | | | |
Total Over-the-counter derivative instruments | | $ | 1,012,776 | | | $ | (122,733 | ) | | $ | — | | | $ | 890,043 | |
| | | | | | | | | | | | | | | | |
| (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 each Sub-adviser on a monthly basis, a sub-advisory fee from its investment management fees.
Effective January 1, 2020, 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 of sub-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 of sub-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, 2021. The agreement may be amended or terminated only with the consent of the Board of Trustees.
355
| | |
| | | |
| Notes to Financial Statements | | |
In addition, for Alternative Strategies Fund, effective January 1, 2020, CGAS and its affiliates agrees to waive fees and reimburse expenses for a period of one year in order to keep the Fund’s management fee from exceeding 0.20% more than the total amount of sub-advisory fees paid by the Adviser and to keep the Fund’s total operating costs from exceeding 0.70% (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). The contractual waiver arrangement shall remain in effect until January 1, 2021 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’s Sub-advisers and the fees retained by the Manager for the year ended August 31, 2020 are indicated below:
| | | | | | | | | | | | | | | |
| Fund | | Sub-advisory
Fee | | Consulting Group
Advisory Services LLC
Fee | | Maximum
Allowable Annual
Management Fee |
Large Cap Equity Fund | | | | 0.19 | % | | | | 0.20 | % | | | | 0.60 | % |
Small-Mid Cap Equity Fund | | | | 0.26 | % | | | | 0.20 | % | | | | 0.80 | % |
International Equity Fund | | | | 0.34 | % | | | | 0.20 | % | | | | 0.70 | % |
Emerging Markets Equity Fund | | | | 0.39 | % | | | | 0.20 | % | | | | 0.90 | % |
Core Fixed Income Fund | | | | 0.18 | % | | | | 0.20 | % | | | | 0.40 | % |
High Yield Fund | | | | 0.29 | % | | | | 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, 2020, the amounts waived and/or reimbursed by the Manager were as follows:
| | | | | |
| Fund | | Amounts Waived
and/or Reimbursed |
Large Cap Equity Fund | | | $ | 3,451,778 | |
Small-Mid Cap Equity Fund | | | | 1,639,368 | |
International Equity Fund | | | | 2,083,146 | |
Emerging Markets Equity Fund | | | | 1,609,049 | |
Core Fixed Income Fund | | | | 210,164 | |
High Yield Fund | | | | 264,618 | |
International Fixed Income Fund | | | | 70,538 | |
Municipal Bond Fund | | | | — | |
Inflation-Linked Fixed Income Fund | | | | 94,437 | |
Ultra-Short Term Fixed Income Fund | | | | 234,934 | |
Alternative Strategies Fund | | | | 376,339 | |
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, plus out-of-pocket expenses. The fee is calculated and allocated daily based on the relative assets of each Fund.
356
| | |
| | | |
| Notes to Financial Statements | | |
For the year ended August 31, 2020, Morgan Stanley & Co. Incorporated (“MS&Co.”), and its affiliates, including Morgan Stanley Smith Barney LLC, the Trust’s distributor, received brokerage commissions of:
| | | | | |
| Fund | | Commission
Dollars to MS&Co. |
Large Cap Equity Fund | | | $ | 2,495 | |
Small-Mid Cap Equity Fund | | | | 12,799 | |
International Equity Fund | | | | 1,555 | |
Emerging Markets Equity Fund | | | | 3,386 | |
Core Fixed Income Fund | | | | 15,465 | |
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, 2020, the Funds assume the following to be affiliated issuers:
Large Cap Equity Fund
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Underlying Security | | Beginning
Value as of
August 31, 2019 | | | Purchases
at Cost | | | Proceeds
from Sales | | | Net Realized
Gain on Sales | | | Change in
Unrealized
Appreciation | | | Dividend/
Interest
Income | | | Ending
Value as of
August 31, 2020 | |
Morgan Stanley | | $ | 1,473,725 | | | $ | — | | | $ | (128,015) | | | $ | 65,781 | | | $ | 310,162 | | | $ | 47,097 | | | $ | 1,721,653 | |
Core Fixed Income Fund
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Underlying Security | | Beginning
Value as of
August 31, 2019 | | | Purchases
at Cost | | | Proceeds
from Sales | | | Net Realized
(Loss) on Sales | | | Change in
Unrealized
Appreciation | | | Dividend/
Interest
Income | | | Ending
Value as of
August 31, 2020 | |
Morgan Stanley Bank of America Merrill Lynch Trust, | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Series 2013-C13, Class A4, 4.039% due 11/15/46 | | $ | 539,501 | | | $ | — | | | $ | — | | | $ | — | | | $ | 1,837 | | | $ | 20,195 | | | $ | 541,338 | |
Morgan Stanley Resecuritization Trust, Series 2014-R3, Class 2A, 3.000% due 7/26/48 | | | 1,928,623 | | | | (71,068 | ) | | | (779,749 | ) | | | (487 | ) | | | 4,275 | | | | 44,413 | | | | 1,081,594 | |
Ultra-Short Term Fixed Income Fund
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Underlying Security | | Beginning
Value as of
August 31, 2019 | | | Purchases
at Cost | | | Proceeds
from Sales | | | Net Realized
Gain
on Sales | | | Change in
Unrealized
(Depreciation) | | | Accretion
of discount | | | Dividend/
Interest
Income | | | Ending
Value as of
August 31, 2020 | |
Morgan Stanley ABS Capital I Inc. Trust, | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Series 2004-HE4, Class M1, 1.075% (1-Month USD-LIBOR +
0.900%) due 5/25/34 | | $ | 670,579 | | | $ | — | | | $ | | (76,977) | | $ | 397 | | | $ | | (16,109) | | $ | 342 | | | $ | 13,537 | | | $ | 578,232 | |
357
| | |
| | | |
| Notes to Financial Statements | | |
3. Investments
During the year ended August 31, 2020, 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 | | $ | 348,429,908 | | | $ | 332,766,983 | | | $ | — | | | $ | — | |
Small-Mid Cap Equity Fund | | | 327,460,886 | | | | 214,186,729 | | | | — | | | | — | |
International Equity Fund | | | 498,232,114 | | | | 643,698,727 | | | | — | | | | — | |
Emerging Markets Fund | | | 129,426,148 | | | | 111,362,394 | | | | — | | | | — | |
Core Fixed Income Fund | | | 272,365,947 | | | | 288,080,380 | | | | 2,039,666,937 | | | | 2,291,278,136 | |
High Yield Fund | | | 316,956,759 | | | | 103,634,380 | | | | — | | | | — | |
International Fixed Income Fund | | | 48,090,405 | | | | 66,515,121 | | | | 818,964,033 | | | | 797,420,604 | |
Municipal Bond Fund | | | 7,788,354 | | | | 27,607,276 | | | | — | | | | — | |
Inflation-Linked Fixed Income Fund | | | 10,162,260 | | | | 20,565,692 | | | | 507,498,064 | | | | 593,044,874 | |
Ultra-Short Term Fixed Income Fund | | | 176,239,528 | | | | 238,435,887 | | | | 282,033,162 | | | | 355,184,844 | |
Alternative Strategies Fund | | | 22,656,110 | | | | 10,814,769 | | | | — | | | | — | |
The cost of investments for federal income tax purposes, gross unrealized appreciation and unrealized depreciation at August 31, 2020 have been disclosed under respective schedules of investments.
4. Shares of Beneficial Interest
At August 31, 2020, 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, 2020, 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, 2020 | | | Year Ended
August 31, 2019 | |
| Large Cap Equity Fund | | | | | | | | |
Shares sold | | | 18,556,044 | | | | 9,989,805 | |
Shares issued on reinvestment | | | 3,980,173 | | | | 10,384,649 | |
Shares repurchased | | | (18,156,575 | ) | | | (20,518,629 | ) |
| | | | | | | | |
Net Increase (Decrease) | | | 4,379,642 | | | | (144,175 | ) |
| | | | | | | | |
| | |
| Small-Mid Cap Equity Fund | | | | | | | | |
Shares sold | | | 16,067,985 | | | | 5,496,318 | |
Shares issued on reinvestment | | | 2,752,335 | | | | 3,606,769 | |
Shares repurchased | | | (7,107,525 | ) | | | (8,946,045 | ) |
| | | | | | | | |
Net Increase | | | 11,712,795 | | | | 157,042 | |
| | | | | | | | |
| | |
| International Equity Fund | | | | | | | | |
Shares sold | | | 26,722,202 | | | | 20,548,551 | |
Shares issued on reinvestment | | | 2,929,092 | | | | 2,852,945 | |
Shares repurchased | | | (40,562,287 | ) | | | (42,827,638 | ) |
| | | | | | | | |
Net (Decrease) | | | (10,910,993 | ) | | | (19,426,142 | ) |
| | | | | | | | |
| | |
| Emerging Markets Equity Fund | | | | | | | | |
Shares sold | | | 8,178,789 | | | | 7,176,650 | |
Shares issued on reinvestment | | | 669,852 | | | | 580,462 | |
Shares repurchased | | | (6,661,043 | ) | | | (7,394,458 | ) |
| | | | | | | | |
Net Increase | | | 2,187,598 | | | | 362,654 | |
| | | | | | | | |
358
| | |
| | | |
| Notes to Financial Statements | | |
| | | | | | | | |
| | | Year Ended
August 31, 2020 | | | Year Ended
August 31, 2019 | |
| Core Fixed Income Fund | | | | | | | | |
Shares sold | | | 22,527,192 | | | | 55,563,245 | |
Shares issued on reinvestment | | | 3,723,753 | | | | 3,630,216 | |
Shares repurchased | | | (57,469,122 | ) | | | (26,605,169 | ) |
| | | | | | | | |
Net Increase (Decrease) | | | (31,218,177 | ) | | | 32,588,292 | |
| | | | | | | | |
| | |
| High Yield Fund | | | | | | | | |
Shares sold | | | 70,159,389 | | | | 3,010,925 | |
Shares issued on reinvestment | | | 1,830,895 | | | | 782,196 | |
Shares repurchased | | | (6,699,380 | ) | | | (6,313,761 | ) |
| | | | | | | | |
Net Increase (Decrease) | | | 65,290,904 | | | | (2,520,640 | ) |
| | | | | | | | |
| | |
| International Fixed Income Fund | | | | | | | | |
Shares sold | | | 3,184,186 | | | | 2,603,108 | |
Shares issued on reinvestment | | | 828,520 | | | | 641,810 | |
Shares repurchased | | | (4,781,519 | ) | | | (4,041,970 | ) |
| | | | | | | | |
Net (Decrease) | | | (768,813 | ) | | | (797,052 | ) |
| | | | | | | | |
| | |
| Municipal Bond Fund | | | | | | | | |
Shares sold | | | 1,507,022 | | | | 3,789,118 | |
Shares issued on reinvestment | | | 232,018 | | | | 205,371 | |
Shares repurchased | | | (3,392,268 | ) | | | (2,070,229 | ) |
| | | | | | | | |
Net Increase (Decrease) | | | (1,653,228 | ) | | | 1,924,260 | |
| | | | | | | | |
| | |
| Inflation-Linked Fixed Income Fund | | | | | | | | |
Shares sold | | | 2,864,882 | | | | 3,029,725 | |
Shares issued on reinvestment | | | 251,506 | | | | 521,525 | |
Shares repurchased | | | (10,376,618 | ) | | | (6,801,137 | ) |
| | | | | | | | |
Net Decrease | | | (7,260,230 | ) | | | (3,249,887 | ) |
| | | | | | | | |
| | |
| Ultra-Short Term Fixed Income Fund | | | | | | | | |
Shares sold | | | 9,415,367 | | | | 10,613,811 | |
Shares issued on reinvestment | | | 773,647 | | | | 1,357,789 | |
Shares repurchased | | | (20,550,346 | ) | | | (12,615,669 | ) |
| | | | | | | | |
Net (Decrease) | | | (10,361,332 | ) | | | (644,069 | ) |
| | | | | | | | |
| | |
| Alternative Strategies Fund | | | | | | | | |
Shares sold | | | 2,493,185 | | | | 2,715,976 | |
Shares issued on reinvestment | | | 99,928 | | | | 10,258 | |
Shares repurchased | | | (1,333,279 | ) | | | (647,049 | ) |
| | | | | | | | |
Net Increase | | | 1,259,834 | | | | 2,079,185 | |
| | | | | | | | |
359
| | |
| | | |
| Notes to Financial Statements | | |
5. Dividend and Tax Components of Capital
The tax character of distributors paid during the fiscal year ended August 31, 2020, were as follows:
| | | | | | | | | | | | | | | | |
| | | Large
Cap Equity
Fund | | | Small-Mid
Cap Equity
Fund | | | International
Equity
Fund | | | Emerging
Market Equity
Fund | |
Distributions paid from: | | | | | | | | | | | | | | | | |
Tax Exempt | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
Tax Return of Capital | | | — | | | | — | | | | — | | | | — | |
Ordinary Income | | | 16,779,790 | | | | 2,906,640 | | | | 36,438,560 | | | | 9,873,780 | |
Net Long-term Capital Gains | | | 61,113,224 | | | | 46,195,764 | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Total Distributions Paid | | $ | 77,893,014 | | | $ | 49,102,404 | | | $ | 36,438,560 | | | $ | 9,873,780 | |
| | | | | | | | | | | | | | | | |
| | | | |
| | | Core Fixed
Income
Fund | | | High Yield
Fund | | | Municipal
Bond
Fund | | | International
Fixed Income
Fund | |
Distributions paid from: | | | | | | | | | | | | | | | | |
Tax Exempt | | $ | — | | | $ | — | | | $ | 1,666,609 | | | $ | — | |
Tax Return of Capital | | | — | | | | — | | | | — | | | | — | |
Ordinary Income | | | 31,609,573 | | | | 6,497,717 | | | | 47,698 | | | | 6,470,637 | |
Net Long-term Capital Gains | | | — | | | | — | | | | 482,513 | | | | 164 | |
| | | | | | | | | | | | | | | | |
Total Distributions Paid | | $ | 31,609,573 | | | $ | 6,497,717 | | | $ | 2,196,820 | | | $ | 6,470,801 | |
| | | | | | | | | | | | | | | | |
| | | | |
| | | | | | 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 | | | | 2,532,631 | | | | 7,631,973 | | | | 950,687 | |
Net Long-term Capital Gains | | | | — | | | | — | | | | 45,604 | |
| | | | | | | | | | | | | | | | |
Total Distributions Paid | | | $ | 2,532,631 | | | $ | 7,631,973 | | | $ | 996,291 | |
| | | | | | | | | | | | | | | | |
As of August 31, 2020, 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
Market Equity
Fund | |
Undistributed ordinary income - net | | $ | 10,451,967 | | | $ | 14,042,363 | | | $ | 23,968,723 | | | $ | 9,992,118 | |
Undistributed long-term capital gains - net | | | 25,968,036 | | | | 14,070,513 | | | | — | | | | — | |
Undistributed tax exempt Income - net | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Total Undistributed earnings | | | 36,420,003 | | | | 28,112,876 | | | | 23,968,723 | | | | 9,992,118 | |
Capital loss carryforward | | | — | | | | — | | | | (80,130,593 | ) | | | (52,699,783 | ) |
Other book/tax temporary differences | | | (16,627,679 | )(a) | | | (10,564,366 | )(a) | | | (47,534,191 | )(a) | | | (12,978,642 | )(a) |
Unrealized appreciation (depreciation) | | | 777,212,137 | | | | 123,791,296 | | | | 204,867,415 | | | | 107,773,200 | |
| | | | | | | | | | | | | | | | |
Total accumulated earnings/(losses) - net | | $ | 797,004,461 | | | $ | 141,339,806 | | | $ | 101,171,354 | | | $ | 52,086,893 | |
| | | | | | | | | | | | | | | | |
360
| | |
| | | |
| Notes to Financial Statements | | |
| | | | | | | | | | | | | | | | |
| | | Core Fixed
Income
Fund | | | High Yield
Fund | | | Municipal
Bond
Fund | | | International
Fixed Income
Fund | |
Undistributed ordinary income - net | | $ | 12,060,627 | | | $ | 1,192,197 | | | $ | — | | | $ | — | |
Undistributed long-term capital gains - net | | | 19,128,597 | | | | — | | | | 304,032 | | | | 993,134 | |
Undistributed tax exempt Income - net | | | — | | | | — | | | | 404,254 | | | | — | |
| | | | | | | | | | | | | | | | |
Total Undistributed earnings | | | 31,189,224 | | | | 1,192,197 | | | | 708,286 | | | | 993,134 | |
Capital loss carryforward | | | — | | | | (24,868,138 | ) | | | — | | | | — | |
Other book/tax temporary differences | | | (7,781,451 | )(a) | | | (833,758 | )(a) | | | (9,716 | )(a) | | | (4,548,071 | )(a) |
Unrealized appreciation (depreciation) | | | 47,140,964 | | | | 13,162,564 | | | | 4,062,858 | | | | 7,466,287 | |
| | | | | | | | | | | | | | | | |
Total accumulated earnings/(losses) - net | | $ | 70,548,737 | | | $ | (11,347,135 | ) | | $ | 4,761,428 | | | $ | 3,911,350 | |
| | | | | | | | | | | | | | | | |
| | | | |
| | | | | | Inflation-Linked
Fixed Income
Fund | | | Ultra-Short
Term Fixed
Income Fund | | | Alternative
Strategies
Fund | |
Undistributed ordinary income - net | | | $ | 517,408 | | | $ | 3,015,478 | | | $ | 14,477 | |
Undistributed long-term capital gains - net | | | | — | | | | — | | | | — | |
Undistributed tax exempt Income - net | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Total Undistributed earnings | | | | 517,408 | | | | 3,015,478 | | | | 14,477 | |
Capital loss carryforward | | | | (349,764 | ) | | | (9,449,596 | ) | | | (751,164 | ) |
Other book/tax temporary differences | | | | (1,272,928 | )(a) | | | 1,135,181 | (a) | | | (107,253 | )(a) |
Unrealized appreciation (depreciation) | | | | 17,924,782 | | | | 1,054,628 | | | | 1,359,218 | |
| | | | | | | | | | | | | | | | |
Total accumulated earnings/(losses) - net | | | $ | 16,819,498 | | | $ | (4,244,309 | ) | | $ | 515,278 | |
| | | | | | | | | | | | | | | | |
| (a) | The differences between book-basis and tax-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. |
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 in pre-enactment taxable years. As a result of this, pre-enactment capital loss carryforwards may be more likely to expire unused.
As of August 31, 2020, the Funds had the following net capital loss carryforwards remaining:
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Large
Cap Equity
Fund | | | Small-Mid
Cap Equity
Fund | | | International
Equity
Fund | | | Emerging
Market Equity
Fund | | | Core Fixed
Income
Fund | | | High Yield
Fund | |
Short-Term | | $ | — | | | $ | — | | | $ | 15,848,979 | | | $ | 39,235,125 | | | $ | — | | | $ | 2,185,369 | |
Long-Term | | | — | | | | — | | | | 64,281,614 | | | | 13,464,658 | | | | — | | | | 22,682,769 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | — | | | $ | — | | | $ | 80,130,593 | | | $ | 52,699,783 | | | $ | — | | | $ | 24,868,138 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | | | | | Municipal
Bond
Fund | | | International
Fixed Income
Fund | | | Inflation-Linked
Fixed Income
Fund | | | Ultra-Short
Term Fixed
Income Fund | | | Alternative
Strategies
Fund | |
Short-Term | | | $ | — | | | $ | — | | | $ | — | | | $ | 8,948,674 | | | $ | 542,432 | |
Long-Term | | | | — | | | | — | | | | 349,764 | | | | 500,922 | | | | 208,732 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | $ | — | | | $ | — | | | $ | 349,764 | | | $ | 9,449,596 | | | $ | 751,164 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
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| Notes to Financial Statements | | |
During the year ended August 31, 2020 the following funds utilized Capital Loss Carryforwards:
| | | | | | | | |
| | | High Yield
Fund | | | Inflation-Linked
Fixed Income
Fund | |
Short-Term | | $ | 2,156,628 | | | $ | 819,075 | |
Long-Term | | | — | | | | 3,790,652 | |
| | | | | | | | |
| | $ | 2,156,628 | | | $ | 4,609,727 | |
| | | | | | | | |
Qualified late year losses are capital losses and specified ordinary losses, including currency losses, incurred after October 31 but within the taxable year that, if elected, are deemed to arise on the first day of the Fund’s next taxable year. For the year ended August 31, 2020, International Fixed Income Fund intends to defer to September 1, 2020 for U.S. federal income tax purposes $1,350,218 of Qualified Late Year Ordinary Losses.
7. Recent Accounting Pronouncements
In March 2017, FASB issued an Accounting Standard Update, ASU 2017-08, Receivables- Nonrefundable Fees and Other Costs (Subtopic 310-20), Premium Amortization on Purchased Callable Debt Securities (“ASU 2017-08”) which amends the amortization period for certain purchased callable debt securities held at a premium, shortening such period to the earliest call date. ASU 2017-08 does not require any accounting change for debt securities held at a discount; the discount continues to be accreted to maturity. ASU 2017-08 is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2018. The Fund has adopted ASU 2017-08. The adoption resulted in a change in accounting principle, since the Fund had historically amortized such premiums to maturity for U.S. GAAP. Accordingly, the Fund has adopted ASU 2017-08 to amend the premium amortization period for certain purchased callable debt securities with non-contingent call features to the earliest call date. It is impracticable to evaluate the effect on individual prior periods, therefore for the Municipal Bond Fund and International Fixed Income Fund there were applied amendments on a modified retrospective basis by recognizing a cumulative effect adjustment that decreased the beginning of period cost of investments and increased the unrealized appreciation on investments of $16,975 and $1 respectively and for Core Fixed Income Fund and High Yield Fund, increased the beginning of period cost of investments and decreased the unrealized appreciation on investments of $239 and $15,163, respectively.
This change in accounting policy has been made to comply with the newly issued accounting standard and had no impact on total accumulated earnings (loss) or the net asset value of the Fund. With respect to the Fund’s results of operations, amortization of premium to first call date accelerates amortization with the intent of more closely aligning the recognition of income on such bonds with the economics of the instrument.
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, 2020, 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 |
9/1/20-9/30/20 | | | $ | 0.017283 | | | | $ | 0.013352 | | | | $ | 0.014603 | | | | $ | 0.054507 | | | | $ | 0.006078 | |
362
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Report of Independent Registered Public
Accounting Firm | | |
To the shareholders and Board of Trustees 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, 2020, 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, 2020, and the results of their operations and their cash flows for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for the period 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, 2020 | | For the years ended August 31, 2020 and 2019 | | For the years ended August 31, 2020, 2019, 2018, 2017, and 2016 |
| 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, 2020 | | For the years ended August 31, 2020 and 2019 | | For the years ended August 31, 2020, 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 the year-ended August 31, 2020 | | For the years ended August 31, 2020 and 2019 | | For the years ended August 31, 2020, 2019 and the period of February 15, 2018 (fund inception) through August 31, 2018. |
| * | Statements 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.
363
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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, 2020, 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, 2020
We have served as the auditor of one or more Morgan Stanley Pathway Funds investment companies since 2009.
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| Board Approval of Management Agreement and Investment Advisory Agreements | | |
Approval of Management Agreement and Subadvisory Agreements
The Morgan Stanley Pathway Funds (the “Trust,” and each series thereof a “Fund,” and collectively, the “Funds”) and Consulting Group Advisory Services LLC (“Manager”), a business of Morgan Stanley LLC, have entered into an investment management agreement (“Management Agreement”). Pursuant to the Management Agreement, other than with respect to the Alternative Strategies Fund, the Manager serves as “manager of managers” for the Trust and selects and oversees professional money managers (each, a “Sub-adviser” and collectively, the “Sub-advisers”) who are responsible for investing the portion of assets of the Funds allocated to them pursuant to investment advisory agreements (the “Subadvisory Agreements” and, together with the Management Agreement, the “Agreements”) between the Manager and each of the Sub-advisers.
The Investment Company Act of 1940, as amended (the “1940 Act”), requires that the Agreements be approved initially for a two year term, as well as annually thereafter, by the Trust’s Board of Trustees (“Board”) and by a majority of the Trustees who are not “interested persons” (as defined in the 1940 Act) of any party to the Agreements (“Independent Trustees”), by vote cast in person at a meeting called for the purpose of voting on such approval. In connection with their consideration of the approval of the Agreements, the Independent Trustees must request and evaluate such information as may reasonably be necessary to make a reasonable business judgment with respect to the approval of the Agreements, and the Manager and Sub-advisers are required to provide such information.
At a meeting1 held on May 21-22, 2020 (the “May Meeting”), the Board, including a majority of the Independent Trustees, approved the continuance of the Agreements for an annual period. In connection with the May Meeting and at other meetings during the course of the year, the Independent Trustees requested and received information from the Manager and the Sub-advisers that they deemed reasonably necessary for their review of the Agreements and the performance of the Manager and Sub-advisers under the Agreements. The Independent Trustees were assisted in their reviews by Fund counsel and independent legal counsel (“Independent Counsel”) and met with Independent Counsel in executive sessions separate from representatives of the Manager and the Sub-advisers. 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 May Meeting the Subadvisory Agreements with the following Sub-advisers on behalf of the indicated Fund to continue for another year:
| | |
Sub-adviser Name | | Fund(s) |
| |
| Aristotle Capital Boston, LLC | | ¨ Small-Mid Cap Equity Fund |
| |
| 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 (“ClearBridge”) | | ¨ Large Cap Equity Fund |
| |
| Columbia Management Investment Advisers, LLC | | ¨ Large Cap Equity Fund |
| |
| D.F. Dent & Company, Inc. | | ¨ Small-Mid 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 |
| 1 | The meeting was held telephonically in reliance on an exemptive order issued by the Securities and Exchange Commission on March 25, 2020. Reliance on the exemptive order was necessary and appropriate due to circumstances related to the effects of COVID-19. All Trustees participating in the telephonic meeting were able to hear each other simultaneously during the meeting. Reliance on the exemptive order requires Trustees, including a majority of the Independent Trustees, to ratify actions taken pursuant to the exemptive order by vote cast at the next in-person meeting. |
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| Board Approval of Management Agreement and Investment Advisory Agreements | | |
| | |
Sub-adviser Name | | Fund(s) |
| |
| Lyrical Asset Management LP | | ¨ Large Cap Equity Fund |
| |
| Delaware Investments Fund Advisers, a member of Macquarie Investment Management Business Trust | |
¨ Large Cap Equity Fund |
| |
| Metropolitan West Asset Management, LLC | | ¨ Core Fixed Income Fund |
| |
| Neuberger Berman Investment Advisers LLC | | ¨ Small-Mid Cap Equity Fund |
| |
| Nuance Investments, LLC | | ¨ Small-Mid Cap 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 |
Also, at the May Meeting, in anticipation of Franklin Resources, Inc.’s acquisition of Legg Mason, Inc., which, upon consummation, would result in what is commonly called a “change of control” of Legg Mason and cause the Subadvisory Agreements with Western and Clearbridge, each wholly-owned subsidiaries of Legg Mason at the time, to terminate in accordance with applicable law, the Board, including a majority of the Independent Trustees, approved the Subadvisory Agreements with the following Sub-advisers on behalf of the indicated Fund, to become effective upon consummation of Franklin’s acquisition of Legg Mason (which occurred on July 31, 2020):
| | |
Sub-adviser Name | | Fund(s) |
| |
| Western Asset Management Company | | ¨ Core Fixed Income Fund ¨ High Yield Fund |
| |
| ClearBridge Investments, LLC | | ¨ Large Cap Equity Fund |
In voting to approve the Agreements at the May 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 the Sub-advisers under the respective Agreements during the meetings and during the past year, as applicable. The Independent Trustees considered information regarding the process by which the Manager selected and recommended the Sub-advisers for Board approval and the Manager’s supervisory activities over the Sub-advisers. The Independent Trustees noted that the Manager monitors and evaluates the performance of each Fund’s Sub-advisers, including the Sub-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 the Sub-advisers and the Trust’s other service providers. The Board considered each Sub-adviser’s specific responsibilities in all aspects of the day-to-day management of the portion of the respective
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| Board Approval of Management Agreement and Investment Advisory Agreements | | |
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 respective Sub-adviser, and other key personnel at the Sub-adviser. The Board specifically took into account each Sub-adviser’s investment process and capabilities, evaluating, if applicable, how the Sub-adviser complemented each of the other Sub-advisers, if any, to the respective Fund. With respect to the Subadvisory Agreements with Western and Clearbridge that became effective upon consummation of Franklin’s acquisition of Legg Mason, Western and Clearbridge advised the Board that, following the acquisition, there was not expected to be any diminution in the nature, extent and quality of services provided to the respective Funds and their shareholders by the Subadvisers, including compliance and other non-advisory services, and that there were not expected to be any changes in portfolio management personnel as a result of Franklin’s acquisition of Legg Mason. 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 of day-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 and Sub-Advisory Agreements. The Independent Trustees considered the Manager’s favorable assessment of the nature and quality of the sub-advisory services provided to the Funds by the Sub-advisers. The Board also reviewed information received from the Manager and the Trust’s Chief Compliance Officer regarding the Trust’s compliance policies and procedures established pursuant to Rule 38a-1 under the 1940 Act, including those specific to the Manager providing day-to-day management of the Alternative Strategies Fund’s assets, and those of each Sub-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 of Sub-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 the Sub-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 Subadvisory Agreements were adequate and appropriate.
Fund Performance
As to each Fund, the Board received and considered performance information 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”) selected by Broadridge Financial Solutions Inc. (“Broadridge”), an independent provider of investment company data based on classifications provided by Thomson Reuters Lipper. As to each Fund, the Board was provided with a description of the methodology Broadridge used to determine the similarity of the Fund with the funds included in the Fund’s Performance Universe. It was noted that, while the Board has found the Broadridge data generally useful, the Trustees recognized the limitations of such data, including that the data may vary depending on the end date selected and that the results of the performance comparisons may vary depending on the selection of the peer group and its composition over time. 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. As to each Sub-adviser, the Board received and considered performance information provided by the Manager for the Sub-adviser managing the portion of the respective Fund’s assets allocated to it. In addition, the Board considered the Funds’ performance in light of overall financial market conditions. The information comparing each Fund’s performance to that of its Performance Universe (except as noted below) was for the one-, three-, five- and ten-year periods ended March 31, 2020.
The Board noted that the Large Cap Equity Fund performed below the median performance of the funds in the Performance Universe for each period, except for the ten-year period where it performed better than the median performance of the funds in the Performance Universe. The Board noted that Small-Mid Cap Equity Fund performed better than the median performance of the funds in the Performance Universe for each period, except for the five-year period where it performed slightly below the median performance of the funds in the Performance Universe. The Board further noted that the International Equity Fund performed below the median performance of the funds in the Performance Universe for each period, except for the five-year period where it
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| Board Approval of Management Agreement and Investment Advisory Agreements | | |
performed slightly better than the median performance of the funds in the Performance Universe. With respect to the Emerging Markets Equity Fund, the Board noted that the Fund performed below the median performance of the funds in its Performance Universe for each period, except for the five-year period where the Fund performed better than the median performance of the funds in the Performance Universe. The Trustees then discussed with representatives of management the portfolio management strategy of the Funds’ Sub-advisers and the reasons for the Funds’ underperformance versus the Performance Universe during certain of the periods under review. Based on its review and discussions with management, 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 overall performance of the Funds and the performance of the Funds’ Sub-advisers.
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 their 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 the one- and three-year periods, and performed below the median performance of the funds in its Performance Universe for the five- and ten-year periods. The Board noted that the Municipal Bond Fund performed below the median performance of the funds in the Performance Universe for each period, noting that the Sub-adviser for the Fund was recently replaced. With respect to the Inflation-Linked Fixed Income Fund, the Board noted that the Fund performed better than the median performance of the funds in its Performance Universe for both the three-year period and one-year period, the only periods of performance information provided by Broadridge as the Fund commenced operations on March 8, 2016. With respect to the Ultra-Short-Term, the Board noted that the Fund performed below the median performance of the funds in its Performance Universe for both the three-year period and one-year period, the only periods of performance information provided by Broadridge as the Fund commenced operations on March 8, 2016. In addition, the Board noted that the Alternative Strategies Fund performed better than the median performance of the funds in the Performance Universe for the one-year period, the only period of performance information provided by Broadridge as the Fund commenced operations on February 15, 2018. The Trustees then discussed with representatives of management the portfolio management strategy of the Funds’ Sub-advisers and the reasons for certain Funds’ underperformance versus the respective Performance Universe during certain of the periods under review. Based on its review and discussions with management, as to each of the Core Fixed Income Fund, the High Yield Fund, the International Fixed Income Fund, and the Municipal Bond Fund, the Board was generally satisfied with the performance of the Funds and the performance of the Funds’ Sub-advisers. In addition, based on its review and discussions with management, as to each of the Inflation-Linked Fixed Income Fund, the Ultra-Short Term Fixed Income Fund, and the 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’s Sub-adviser.
The Trustees determined to continue to evaluate the Funds’ performance and that of their respective Sub-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 and sub-advisory services provided by the Manager and the Sub-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 the Sub-advisers is paid by the Manager, not the applicable Funds, and, accordingly, that the retention of the Sub-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 the Sub-advisers. The Board also considered and discussed information about the Sub-advisers’ fees and comparable information for other sub-advised funds and accounts managed by the Sub-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
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| Board Approval of Management Agreement and Investment Advisory Agreements | | |
particular Fund (the “Expense Group”) and a broader group of retail no-load funds selected by Broadridge (the “Expense Universe”). It was noted that while the Board found the Broadridge data generally useful they recognized its limitations, including that the data may vary depending on the selection of the peer group.
The information reviewed showed that the Contractual and Actual Management Fees of the International Equity Fund and the Emerging Markets Equity 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. The information reviewed showed that the Contractual Management Fee of the Large Cap Equity Fund, the Small-Mid Cap Equity Fund, the Core Fixed Income Fund, the High Yield Fund, and the Alternative Strategies Fund were higher than the median Contractual Management Fee for the funds in their respective Expense Group, but that the Funds’ Actual Management Fees were lower than the median Actual Management Fees for the funds in their respective Expense Group and were lower than the average Actual Management Fees for the funds in their Expense Universe. The information reviewed also showed that the Contractual and Actual Management Fees of the Inflation-Linked Fixed Income Fund and the 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. The information reviewed showed that the Contractual Management Fee of the Municipal Bond Fund was lower than the median Contractual Management Fee for the funds in their Expense Group, that the Fund’s Actual Management Fees was equal to the median Actual Management Fees for the funds in its Expense Group, and that the Fund’s Actual Management Fees was 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 Fees was higher than the median Actual Management Fees for the funds in the Expense Group and Expense Universe. 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 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 the Large Cap Equity Fund, Small-Mid Cap Equity Fund, International Equity Fund, Emerging Markets Equity Fund and Alternative Strategies Fund was lower than the median expense ratios of the funds in its respective Expense Group, and for the Core Fixed Income Fund was at the median expense ratios of the funds in its Expense Group. The Broadridge expense information also showed that the actual total expense ratios for the International Fixed Income Fund, Inflation-Linked Fixed Income Fund, High Yield Fund, Ultra-Short Term Fixed Income Fund and Municipal Bond Fund were 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 the sub-advisory fees paid by the Manager to the Sub-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 the Sub-advisers with respect to the relevant Sub-adviser’s profitability in providing sub-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
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| Board Approval of Management Agreement and Investment Advisory Agreements | | |
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 the Sub-advisers
As to each Fund, the Board considered other benefits received by the Manager, the Sub-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 each Sub-adviser’s day-to-day management of the portion of the respective Fund’s assets allocated to it, the profits and ancillary benefits that the Manager, the Sub-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 Subadvisory 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.
*******
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Trustees and Officers of the Trust
The Trust’s Board of Trustees (“Board” or “Trustees”) is responsible for overseeing the Trust’s management and operations. The Board approves all significant agreements between the Trust and the companies that furnish services to the Funds, including agreements with the Trust’s distributor, Sub-advisers, custodian, transfer agent and administrator. The Board elects officers who are responsible for the day-to-day operations of the Trust and the Funds and who execute policies authorized by the Board.
Consulting Group Advisory Services LLC (“CGAS” or “Manager”), a business of Morgan Stanley Wealth Management, 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,” collectively, the “Sub-advisers”) 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 the Sub-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. (Investment Advisory) (2013-present); and formerly, Managing Director and Chief Compliance Officer, Bush O’Donnell Investment Advisors, Inc. (Registered Investment Advisor) (1988-2013) | | | 11 | | | None |
| | | | | |
Adela Cepeda 2000 Westchester Avenue Purchase, NY 10577 Birth Year: 1958 | | Vice Chair and Trustee | | Since 2008 (Vice Chair since 2018) | | Managing Director, PFM Financial Advisors, LLC (Financial Advisory) (2016-December 2019); and formerly, President, A.C. Advisory, Inc. (Financial Advisory) (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) |
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| | | | | | | | | | |
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) (2017-December 2019); and formerly, Chief Executive Officer, Channing Capital Management, LLC (2004-2017) | | 11 | | Trustee and Chairman, FlexShares Funds (2011-present); Trustee, The Art Institute of Chicago (2001-present); and Director, Urban Gateways (1995-present) |
| | | | | |
Teresa S. Westbrook 2000 Westchester Avenue Purchase, NY 10577 Birth Year: 1959 | | Trustee | | Since 2020 | | CPA/ Partner, Deloitte & Touche LLP (1999-2015) | | 11 | | None |
|
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 |
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| | | | | | |
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, 9th 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 August 2015- 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) |
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| | | | | | |
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) |
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| | | | | | |
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,
9th Floor New York, NY 10036 Birth Year: 1971 | | 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 Legal Administration Practice of Fund Administration, BBH&Co. (2005-present); Secretary, BBH Trust (2009-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, five of the six Trustees on the Board (83.33%) are not “interested persons” (as defined in the 1940 Act) of the Trust and as such are not affiliated with the Manager or any Sub-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 the Sub-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 the Sub-advisers, have responsibility for the day-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 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 the Sub-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 the Sub-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.
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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 or not-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 Mses. Cepeda and Westbrook 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 Mses. Cepeda and Westbrook, 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 permissible non-audit services provided to each Fund by the independent registered public accounting firm and all permissible non-audit services provided by the Trust’s 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 met once during the Trust’s most recent fiscal year.
Review of Liquidity Risk Management Program
Pursuant to Rule 22e-4 under the 1940 Act, the Trust, on behalf of the Funds, has adopted a liquidity risk management program (the “Program”) to govern the Trust’s approach to managing liquidity risk. The Program is overseen by the Liquidity Risk
376
Management Committee, and the Program’s principal objectives include assessing, managing and periodically reviewing each Fund’s liquidity risk, based on factors specific to the circumstances of the Fund.
At a meeting of the Board held on May 22, 2020, the Trustees received a report from the Liquidity Risk Management Committee addressing the operations of the Program and assessing its adequacy and effectiveness of implementation. The Liquidity Risk Management Committee determined, and reported to the Board, that the Program is reasonably designed to assess and manage each Fund’s liquidity risk and has operated adequately and effectively to manage each Fund’s liquidity risk since the Program was implemented on May 14, 2019. The Liquidity Risk Management Committee reported that during the period covered by the report, there were no liquidity events that impacted the Funds or their ability to timely meet redemptions without dilution to existing shareholders. The Liquidity Risk Management Committee further noted that no material changes have been made to the Program since its implementation.
There can be no assurance that the Program will achieve its objectives in the future. Please refer to the prospectus for more information regarding a Fund’s exposure to liquidity risk and other principal risks to which an investment in the Funds may be subject.
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| | |
| | | |
| Important Tax Information | | |
The following information is provided with respect to the distributions paid during the taxable year ended August 31, 2020:
| | | | | | | | | | | | | | | | | | | | |
| | | Large
Cap Equity
Fund | | | Small-Mid
Cap Equity
Fund | | | International
Equity
Fund | | | Emerging
Markets Equity
Fund | | | High Yield
Fund | |
Record Date | | | 12/5/2019 | | | | 12/5/2019 | | | | 12/5/2019 | | | | 12/5/2019 | | | | Monthly | |
Payable Date | | | 12/6/2019 | | | | 12/6/2019 | | | | 12/6/2019 | | | | 12/6/2019 | | | | Monthly | |
Ordinary Income: | | | | | | | | | | | | | | | | | | | | |
Qualified Dividend Income for Individuals | | | 100.00 | % | | | 100.00 | % | | | 96.25 | % | | | 84.96 | % | | | 0.00 | % |
Dividends Qualifying for the Dividends Received: | | | | | | | | | | | | | | | | | | | | |
Deduction for Corporations | | | 100.00 | % | | | 100.00 | % | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % |
Foreign Source Income | | | — | | | | — | | | | 99.91 | %* | | | 100 | %* | | | — | |
Foreign Tax Paid par Share | | | — | | | | — | | | | 0.031961 | | | | 0.042971 | | | | — | |
Long-term Capital Gain Dividend | | | 0.766960 | | | | 2.071200 | | | | — | | | | — | | | | — | |
| | | | | |
| | | 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 | | | | 12/5/2019 | | | | Monthly | | | | Monthly | | | | Monthly | |
Payable Date | | | Monthly | | | | 12/6/2019 | | | | Monthly | | | | Monthly | | | | Monthly | |
Ordinary Income: | | | | | | | | | | | | | | | | | | | | |
Qualified Dividend Income for Individuals | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % |
Dividends Qualifying for the Dividends Received: | | | | | | | | | | | | | | | | | | | | |
Deduction for Corporations | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % |
Interest from Tax-Exempt Obligations | | | — | | | | — | | | | 100.00 | % | | | — | | | | — | |
Interest from Federal Obligations | | | 42.00 | % | | | — | | | | — | | | | 96.08 | % | | | 13.20 | % |
Long-term Capital Gain Dividend | | | — | | | | — | | | | 0.044060 | | | | — | | | | — | |
| | | | | |
| | | Alternative
Strategies
Fund | | | | | | | | | | | | | |
Record Date | | | 12/30/2019 | | | | | | | | | | | | | | | | | |
Payable Date | | | 12/30/2019 | | | | | | | | | | | | | | | | | |
Ordinary Income: | | | | | | | | | | | | | | | | | | | | |
Qualified Dividend Income for Individuals | | | 14.41 | % | | | | | | | | | | | | | | | | |
Dividends Qualifying for the Dividends Received: | | | | | | | | | | | | | | | | | | | | |
Deduction for Corporations | | | 4.19 | % | | | | | | | | | | | | | | | | |
Interest from Tax-Exempt Obligations | | | — | | | | | | | | | | | | | | | | | |
Interest from Federal Obligations | | | — | | | | | | | | | | | | | | | | | |
Long-term Capital Gain Dividend | | | 0.020613 | | | | | | | | | | | | | | | | | |
| * | 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.
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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 call 1-888-454-3965 (“ask for Consulting Group”).
Information on how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 and a description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities is available (1) without charge, upon request, by calling 1-888-454-3965 (ask for “Consulting Group”), (2) on the Funds’ website at www.morganstanley.com/wealth-investmentsolutions/cgcm and (3) on the SEC’s website at www.sec.gov.
© 2020 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, 2020 (“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 Form N-CSR. A copy of this Code is filed as an Exhibit to this Form N-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 Teresa S. Westbrook possesses the attributes identified in Instruction (b) of Item 3 to Form N-CSR to qualify as an “audit committee financial expert,” and has designated Ms. Westbrook as the Registrant’s audit committee financial expert. Ms. Westbrook is an “independent” Trustee pursuant to paragraph (a)(2) of Item 3 to Form N-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, 2020 and August 31, 2019 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 $626,080 in 2020 and $616,080 in 2019.
(b) Audit-Related Fees. The aggregate fees billed for each of the last two fiscal years ended August 31, 2020, and August 31, 2019, 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 2020 and $0 in 2019.
(c) Tax Fees. The aggregate fees billed for each of the last two fiscal years ended August 31, 2020 and August 31, 2019 for professional services rendered by the Auditor for tax compliance, tax advice and tax planning (“Tax Services”) were $0 in 2020 and $99,450 in 2019. 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, 2020, and August 31, 2019, 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 2020 and $0 for 2019.
(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 permissible non-audit services to a sub-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 such sub-committee shall report to the Committee, at its next meeting after the sub-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 for pre-approval pursuant to such policies and procedures as the Committee shall approve, including the delegation of some or all of the Committee’s pre-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 Rule 2-01 of Regulation S-X, with respect to: Audit-Related Fees were 0% for 2020 and 0% for 2019; Tax Fees were 0% for 2020 and 0% for 2019; and Other Fees were 0% for 2020 and 0% for 2019.
(f) Not Applicable.
(g) Aggregate non-audit fees billed by the Auditor for services rendered to the Registrant and the Registrant’s investment adviser (not including any sub-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 2020 and $0 in 2019.
(h) The Registrant’s Audit Committee has considered whether the provision of non-audit services that were rendered to Service Affiliates that were not pre-approved pursuant to paragraph (c)(7)ii of Rule 2-01 of Regulation S-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 Form N-CSR.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not Applicable.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not Applicable.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-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 Regulation S-K (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-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 Rule 30a-3(c) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-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 Rule 30a-3(b) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-3(b)), and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)).
(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-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 FOR CLOSED-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 Rule 30a-2(a) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-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.
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| Morgan Stanley Pathway Funds |
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| By: | | /s/ Paul Ricciardelli |
| | Paul Ricciardelli |
| | Chief Executive Officer |
| | Morgan Stanley Pathway Funds |
| |
| Date: | | November 3, 2020 |
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 3, 2020 |
| | |
| Morgan Stanley Pathway Funds |
| |
| By: | | /s/ Francis Smith |
| | Francis Smith |
| | Chief Financial Officer |
| | Morgan Stanley Pathway Funds |
| |
| Date: | | November 3, 2020 |
