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: 1 (800) 869-3326
Date of fiscal year end: August 31
Date of reporting period: February 29, 2024
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.
| (a) | The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). |
Morgan Stanley
Pathway Funds
Semi-Annual Report
| • | | Small-Mid Cap Equity Fund |
| • | | International Equity Fund |
| • | | Emerging Markets Equity Fund |
| • | | International Fixed Income Fund |
| • | | Inflation-Linked Fixed Income Fund |
| • | | Ultra-Short Term Fixed Income Fund |
| • | | Alternative Strategies Fund |
INVESTMENT PRODUCTS: NOT FDIC INSURED • NO BANK GUARANTEE • MAY LOSE VALUE
Table of Contents
Morgan Stanley Pathway Funds
DEAR SHAREHOLDER,
The Large Cap Equity Fund gained 13.08% during the six-month period ending February 29, 2024. This compares to the Russell 1000® Index i which gained 14.03% and the Lipper Large-Cap Core Funds Average xii which gained 14.08% during the same period. Both sector positioning and stock selection detracted from performance relative to the benchmark. The top contributors included Consumer Discretionary, Financials and Industrials while the top detractors included Information Technology, Health Care and Communication Services.
The Small-Mid Cap Equity Fund gained 8.95% during the six-month period ending February 29, 2024. This compares to the Russell 2500® Index ii which gained 9.89% and the Lipper Small-Cap Core Funds Average xiii which gained 8.26% during the same period. Sector positioning added to relative performance while stock selection detracted from performance relative to the benchmark. The top contributors included Information Technology, Communication Services and Financials while the top detractors included Consumer Staples, Health Care and Industrials.
The International Equity Fund gained 7.97% during the six-month period ending February 29, 2024. This compares to the MSCI EAFE® Index (Net) iii which gained 9.23% and the Lipper International Large-Cap Core Funds Average xiv which gained 7.92% during the same period. Sector positioning contributed while stock selection detracted to performance relative to the benchmark. The top contributors included Consumer Staples, Industrials and Energy while the top detractors included Financials, Consumer Discretionary and Information Technology.
The Emerging Markets Equity Fund gained 4.07% during the six-month period ending February 29, 2024. This compares to the MSCI Emerging Markets Index (Net) iv which gained 4.93% and the Lipper Emerging Markets Funds Average xv which gained 5.68% during the same period. Sector position was positive while stock selection detracted from performance relative to the benchmark. The top contributors included Information Technology, Communication Services and Real Estate while the top detractors included Consumer Discretionary, Health Care and Financials.
The Core Fixed Income Fund gained 2.29% during the six-month period ending February 29, 2024. This compares to the Bloomberg U.S. Aggregate BondTM Index vi which gained 2.35% and the Lipper Core Bond Funds Average xvii which gained 2.69% during the same period.
The High Yield Fund gained 5.48% during the six-month period ending February 29, 2024. This compares to the Bloomberg U.S. Corporate High Yield Bond Index viii which gained 6.20% and the Lipper High Yield Funds Average xix which gained 5.64% during the same period.
The International Fixed Income Fund gained 4.17% during the six-month period ending February 29, 2024. This compares to the FTSE Non-USD World Government Bond Index (USD) Hedged x which gained 3.51% and the Lipper International Income Funds Average xxi which gained 3.49% during the same period.
The Municipal Bond Fund gained 4.24% during the six-month period ending February 29, 2024. This compares to the Bloomberg U.S. Municipal BondTM Index vii which gained 4.33% and the Lipper General & Insured Municipal Debt Funds Average xviii which gained 4.63% during the same period.
The Inflation-Linked Fixed Income Fund gained 1.95% during the six-month period ending February 29, 2024. This compares to the Bloomberg U.S. Treasury Inflation Protected Securities (TIPS) Index ix which gained 1.85% and the Lipper Inflation Protected Bond Funds Average xx which gained 1.99%% during the same period.
The Ultra-Short Term Fixed Income Fund gained 3.21% during the six-month period ending February 29, 2024. This compares to the FTSE 3-Month U.S. Treasury Bill Index v which gained 2.78% and the Lipper Ultra-Short Obligations Funds Average xvi which gained 3.15% during the same period.
I
The Alternative Strategies Fund gained 5.12% during the six-month period ending February 29, 2024. This compares to the HFRX Global Hedge Fund Index xi which gained 2.85% and the Lipper Alternative Multi-Strategy Funds Average xxii which gained 4.24% during the same period.
We thank you for your continued confidence in Morgan Stanley Wealth Management and support as shareholders of the Morgan Stanley Pathway Funds.
Sincerely,
Paul Ricciardelli
Chief Executive Officer
II
Although the statements of fact and data contained herein have been obtained from, and are based upon, sources the firm believes reliable, we do not guarantee their accuracy, and any such information may be incomplete or condensed. All opinions included in this report constitute the firm’s judgment as of the date herein, and are subject to change without notice. This material is for informational purposes only, and is not intended as an offer or solicitation with respect to the purchase or sale of any security. This report may contain forward-looking statements, and there can be no guarantee that they will come to pass. The index returns shown are preliminary and subject to change. Past performance is not a guarantee of future results.
Index Definitions
| i. | The Russell 1000® Index measures the performance of the 1,000 largest U.S. companies based on the market capitalization. Please note that an investor cannot invest directly in an index. |
| ii. | The Russell 2500® Index measures the performance of the 2,500 smallest companies in the Russell 3000® Index. Please note that an investor cannot invest directly in an index. |
| iii. | The Morgan Stanley Capital International Europe, Australasia, Far East (MSCI EAFE®) Index (Net) is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the U.S. & Canada. The MSCI EAFE® Index (Net) consists of the following 21 developed market country indexes: Australia, Austria, Belgium, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, and the United Kingdom. Net total return indexes reinvest dividends after the deduction of withholding taxes, using (for international indexes) a tax rate applicable 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. |
| iv. | The MSCI Emerging Markets Index (Net) is a free float-adjusted market capitalization index that is designed to measure equity market performance of emerging markets. The MSCI Emerging Markets Index (Net) consists of the following 21 emerging market country indexes: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, South Korea, Malaysia, Mexico, Peru, Philippines, Poland, Russia, South Africa, Taiwan, Thailand, and Turkey. Net total return indexes reinvest dividends after the deduction of withholding taxes, using (for international indexes) a tax rate applicable 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. |
| v. | 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. |
| vi. | The Bloomberg 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, mortgage-backed securities (MBS) (agency fixed-rate and hybrid ARM pass-throughs), asset-backed securities (ABS), and commercial mortgage-backed securities (CMBS). Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index. |
| vii. | The Bloomberg U.S. Municipal BondTM 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. |
| viii. | The Bloomberg U.S. Corporate High Yield Bond Index measures the market of U.S. dollar-denominated, non-investment grade, fixed rate, taxable corporate bonds. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index. |
| ix. | The Bloomberg 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. |
| x. | 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. |
| xi. | 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, even driven, macro, merger arbitrage, and relative value arbitrage. The strategies are asset weighted based on the distribution of assets in the hedge fund industry. |
| xii. | The Lipper Large-Cap Core Funds Average — Funds that, by portfolio practice, invest at least 75% of their equity assets in companies with market capitalizations (on a three-year weighted basis) greater than 300% of the dollar-weighted median market capitalization of the middle 1,000 securities of the S&P SuperComposite1500® 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. Please note that an investor cannot invest directly in an index. Please note that an investor cannot invest directly in a mutual funds classification average or an index. |
| xiii. | The Lipper Small-Cap Core Funds Average — Funds that, by portfolio practice, invest at least 75% of their equity assets in companies with market capitalizations (on a three-year weighted basis) less than 250% of the dollar-weighted median of the smallest 500 of the middle 1,000 securities of the S&P SuperComposite 1500® Index. Small-cap core funds have more latitude in the companies in which they invest. These funds typically have an average price-to-earnings ratio, price-to-book ratio, and three-year sales-per-share growth value, compared to the S&P Small Cap 600® Index. Please note that an investor cannot invest directly in a mutual funds classification average or an index. |
| xiv. | 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. |
| xv. | The Lipper Emerging Markets Funds Average is an equally weighted average of all active funds available within the investment category. The classification includes funds that seek long-term capital appreciation by investing at least 65% of total assets in emerging market equity securities, where “emerging market” is defined by a country’s GNP per capita or other economic measures. The total return of the Lipper Funds Average does not include the effect of sales charges. Please note that an investor cannot invest directly in a mutual funds classification average or an index. |
| xvi. | 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. The ultra-short obligations funds invest primarily in investment-grade debt issues or better and maintain a portfolio dollar-weighted average maturity between 91 days and 365 days. |
| xvii. | The Lipper Core Bond Funds Average is an equally weighted average of all active funds available within the investment category. The classification includes funds that invest at least 85% of their assets in domestic investment-grade debt issues (rated in top four grades) with any remaining in investment 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. |
| xviii. | The Lipper General & Insured Municipal Debt Funds Average is an equally weighted average of all active funds available within the investment category. The classification includes funds that either invest primarily in municipal debt issues rated in the top four credit ratings or invest primarily in municipal debt issues insured as to timely payment. The total return of the Lipper Funds Average does not include the effect of sales charges. Please note that an investor cannot invest directly in a mutual funds classification average or an index. |
III
| xix. | The Lipper High Yield Funds Average is an equally weighted average of all active funds available within the investment category. The classification includes funds that aim at high (relative) current yield from fixed income securities, have no quality or maturity restrictions, and tend to invest in lower grade debt issues. The total return of the Lipper Funds Average does not include the effect of sales charges. Please note that an investor cannot invest directly in a mutual funds classification average or an index. |
| xx. | 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. |
| xxi. | The Lipper International Income Funds Average is an equally weighted average of all active funds available within the investment category. The classification includes funds that state in their prospectus that they invest primarily in U.S. dollar 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. |
| xxii. | The Lipper Alternative Multi-Strategy Funds Average is an equally weighted average of all active funds available within the investment category. The classification includes funds who by their prospectus language seek total return through the management of several different hedge-like strategies. These funds are typically quantitatively driven to measure the existing relationship between instruments, and in some cases to identify positions in which the risk-adjusted spread between these instruments represents an opportunity for the investment manager. |
IV
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.
V
| | | | |
Performance of the Morgan Stanley Pathway Funds For the Six Months Ended February 29, 2024†* (unaudited) | |
| |
| Large Cap Equity Fund | | | 13.08 | % |
Russell 1000® Index (1) | | | 14.03 | |
| |
| Small-Mid Cap Equity Fund | | | 8.95 | |
Russell 2500® Index (2) | | | 9.89 | |
| |
| International Equity Fund | | | 7.97 | |
MSCI EAFE® Index (Net) (3) | | | 9.23 | |
| |
| Emerging Markets Equity Fund | | | 4.07 | |
MSCI Emerging Markets Index (Net) (4) | | | 4.93 | |
| |
| Core Fixed Income Fund | | | 2.29 | |
Bloomberg U.S. Aggregate BondTM Index (5) | | | 2.35 | |
| |
| High Yield Fund | | | 5.48 | |
Bloomberg U.S. Corporate High Yield Bond Index (6) | | | 6.20 | |
| |
| International Fixed Income Fund | | | 4.17 | |
FTSE Non-USD World Government Bond Index (USD) Hedged (7) | | | 3.51 | |
| |
| Municipal Bond Fund | | | 4.24 | |
Bloomberg U.S. Municipal BondTM Index (8) | | | 4.33 | |
| |
| Inflation-Linked Fixed Income Fund | | | 1.95 | |
Bloomberg U.S. Treasury Inflation Protected Securities (TIPS) Index (9) | | | 1.85 | |
| |
| Ultra-Short Term Fixed Income Fund | | | 3.21 | |
FTSE 3-Month U.S. Treasury Bill Index (10) | | | 2.78 | |
| |
| Alternative Strategies Fund | | | 5.12 | |
HFRX Global Hedge Fund Index (11) | | | 2.85 | |
See pages VII through VIII for all footnotes.
VI
FOOTNOTES
| † | | All figures represent past performance and are not a guarantee of future results. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemptions of fund shares. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. The total returns are calculated based on the net asset value as of the last business day of the period. 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%. |
| 1. | | The Russell 1000® Index measures the performance of the 1,000 largest U.S. companies based on the market capitalization. Please note that an investor cannot invest directly in an index. |
| 2. | | The Russell 2500® Index includes the smallest 2,500 U.S. companies out of the Russell 3000® Index universe. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index. |
| 3. | | The Morgan Stanley Capital International Europe, Australasia, Far East (MSCI EAFE®) Index (Net) is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the U.S. & Canada. The MSCI EAFE® Index (Net) consists of the following 21 developed market country indexes: Australia, Austria, Belgium, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, and the United Kingdom. Net total return indexes reinvest dividends after the deduction of withholding taxes, using (for international indexes) a tax rate applicable 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. |
| 4. | | 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. |
| 5. | | The Bloomberg U.S. Aggregate BondTM Index is a broad-based index that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related, and corporate securities, MBS (agency fixed-rate and hybrid ARM pass-throughs), ABS, and CMBS. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index. |
| 6. | | The Bloomberg 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. |
VII
| 7. | | 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-USD 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. |
| 8. | | The Bloomberg U.S. Municipal BondTM 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. |
| 9. | | The Bloomberg 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. |
| 10. | | 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. |
| 11. | | The HFRX Global Hedge Fund Index is designed to be representative of the overall composition of the hedge fund universe. It is comprised of all eligible hedge fund strategies; including but not limited to convertible arbitrage, distressed securities, equity hedge, equity market neutral, event driven, macro, merger arbitrage, and relative value arbitrage. The strategies are asset weighted based on the distribution of assets in the hedge fund industry. Hedge Fund Research, Inc. (HFR) utilizes a UCITSIII compliant methodology to construct the HFRX Hedge Fund Indices. The methodology is based on defined and predetermined rules and objective criteria to select and rebalance components to maximize representation of the Hedge Fund Universe. HFRX Indices 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. |
VIII
Example
As a shareholder of a Fund, you may incur two types of costs: (1) annual advisory program fees, which may be up to 2.00%; and (2) ongoing costs, including management fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds. This example is based on an investment of $1,000 invested on September 1, 2023 and held for the six months ended February 29, 2024.
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 | | Expense
Paid During
the Period(3) |
Large Cap Equity Fund | | | | 13.08 | % | | | $ | 1,000.00 | | | | $ | 1,130.80 | | | | | 0.45 | % | | | $ | 2.38 | |
Small-Mid Cap Equity Fund | | | | 8.95 | % | | | | 1,000.00 | | | | | 1,089.50 | | | | | 0.59 | % | | | | 3.07 | |
International Equity Fund | | | | 7.97 | % | | | | 1,000.00 | | | | | 1,079.70 | | | | | 0.63 | % | | | | 3.26 | |
Emerging Markets Equity Fund | | | | 4.07 | % | | | | 1,000.00 | | | | | 1,040.70 | | | | | 0.81 | % | | | | 4.11 | |
Core Fixed Income Fund | | | | 2.29 | % | | | | 1,000.00 | | | | | 1,022.90 | | | | | 0.51 | % | | | | 2.57 | |
High Yield Fund | | | | 5.48 | % | | | | 1,000.00 | | | | | 1,054.80 | | | | | 0.91 | % | | | | 4.65 | |
International Fixed Income Fund | | | | 4.17 | % | | | | 1,000.00 | | | | | 1,041.70 | | | | | 0.90 | % | | | | 4.57 | |
Municipal Bond Fund | | | | 4.24 | % | | | | 1,000.00 | | | | | 1,042.40 | | | | | 0.79 | % | | | | 4.01 | |
Inflation-Linked Fixed Income Fund | | | | 1.95 | % | | | | 1,000.00 | | | | | 1,019.50 | | | | | 2.57 | % | | | | 12.90 | |
Ultra-Short Term Fixed Income Fund | | | | 3.21 | % | | | | 1,000.00 | | | | | 1,032.10 | | | | | 0.60 | % | | | | 3.03 | |
Alternative Strategies Fund | | | | 5.12 | % | | | | 1,000.00 | | | | | 1,051.20 | | | | | 0.40 | % | | | | 2.04 | |
| (1) | For the six months ended February 29, 2024. |
| (2) | Assumes reinvestment of all distributions, including returns of capital, if any, at net asset value and does not reflect the deduction of the applicable advisory program charge, which may be up to 2.00% depending on the particular program through which you invest. Total return is not annualized as it may not be representative of the total return for the year. Performance figure may reflect fee waivers and/or expense reimbursements. Past performance is no guarantee of future results. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. |
| (3) | Expenses (net of fee waivers and/or expense reimbursements) are equal to each Fund’s respective annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days (182 days) in the most recent fiscal half-year, then divided by 366 (to reflect the one-half year period). |
1
Hypothetical Example for Comparison Purposes
The table below titled “Based on Hypothetical Total Return” provides information about hypothetical account values and hypothetical expenses based on each Fund’s actual expense ratio and an assumed rate of return of 5.00% per year/period before expenses, which is not each Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balances or expenses you paid for the period. You may use the information provided in this table to compare the ongoing costs of investing in each Fund and other funds. To do so, compare the 5.00% hypothetical example relating to a Fund with the 5.00% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table below are meant to highlight your ongoing costs only and do not reflect any advisory program annual fees. Therefore, the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these advisory program annual fees were included, your costs would have been higher.
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Based on Hypothetical Total Return(1) |
| | | | | |
| Fund | | Hypothetical
Annualized
Total Return | | Beginning
Account
Value | | Ending
Account
Value | | Annualized
Expense
Ratios | | Expense
Paid During
the Period(2) |
Large Cap Equity Fund | | | | 5.00 | % | | | $ | 1,000.00 | | | | $ | 1,022.63 | | | | | 0.45 | % | | | $ | 2.26 | |
Small-Mid Cap Equity Fund | | | | 5.00 | % | | | | 1,000.00 | | | | | 1,021.93 | | | | | 0.59 | % | | | | 2.97 | |
International Equity Fund | | | | 5.00 | % | | | | 1,000.00 | | | | | 1,021.73 | | | | | 0.63 | % | | | | 3.17 | |
Emerging Markets Equity Fund | | | | 5.00 | % | | | | 1,000.00 | | | | | 1,020.84 | | | | | 0.81 | % | | | | 4.07 | |
Core Fixed Income Fund | | | | 5.00 | % | | | | 1,000.00 | | | | | 1,022.33 | | | | | 0.51 | % | | | | 2.56 | |
High Yield Fund | | | | 5.00 | % | | | | 1,000.00 | | | | | 1,020.34 | | | | | 0.91 | % | | | | 4.57 | |
International Fixed Income Fund | | | | 5.00 | % | | | | 1,000.00 | | | | | 1,020.39 | | | | | 0.90 | % | | | | 4.52 | |
Municipal Bond Fund | | | | 5.00 | % | | | | 1,000.00 | | | | | 1,020.93 | | | | | 0.79 | % | | | | 3.97 | |
Inflation-Linked Fixed Income Fund | | | | 5.00 | % | | | | 1,000.00 | | | | | 1,012.08 | | | | | 2.57 | % | | | | 12.86 | |
Ultra-Short Term Fixed Income Fund | | | | 5.00 | % | | | | 1,000.00 | | | | | 1,021.88 | | | | | 0.60 | % | | | | 3.02 | |
Alternative Strategies Fund | | | | 5.00 | % | | | | 1,000.00 | | | | | 1,022.87 | | | | | 0.40 | % | | | | 2.01 | |
| (1) | For the six months ended February 29, 2024. |
| (2) | Expenses (net of fee waivers and/or expense reimbursements) are equal to each Fund’s respective annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days (182 days) in the most recent fiscal half-year, then divided by 366 (to reflect the one-half year period). |
2
| | |
| February 29, 2024 (unaudited) | | |
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| COMMON STOCKS — 97.8% | |
|
| COMMUNICATION SERVICES — 8.7% | |
|
| Diversified Telecommunication Services — 0.6% | |
| | 195,324 | | | AT&T Inc. | | $ | 3,306,835 | |
| | 6,540 | | | Frontier Communications Parent Inc.* | | | 154,867 | |
| | 2,850 | | | GCI Liberty Inc.*(a)(b) | | | — | |
| | 3,331 | | | Iridium Communications Inc. | | | 96,433 | |
| | 206,479 | | | Verizon Communications Inc. | | | 8,263,290 | |
| | | | | | | | |
| | | | Total Diversified Telecommunication Services | | | 11,821,425 | |
| | | | | | | | |
|
| Entertainment — 1.9% | |
| | 5,343 | | | AMC Entertainment Holdings Inc., Class A Shares* | | | 23,082 | |
| | 7,415 | | | Electronic Arts Inc. | | | 1,034,244 | |
| | 577 | | | Liberty Media Corp.-Liberty Formula One, Class A Shares* | | | 37,822 | |
| | 5,182 | | | Liberty Media Corp.-Liberty Formula One, Class C Shares* | | | 377,042 | |
| | 507 | | | Liberty Media Corp.-Liberty Live, Class A Shares* | | | 19,565 | |
| | 1,115 | | | Liberty Media Corp.-Liberty Live, Class C Shares* | | | 44,399 | |
| | 45,706 | | | Live Nation Entertainment Inc.* | | | 4,432,568 | |
| | 497 | | | Madison Square Garden Sports Corp., Class A Shares* | | | 93,530 | |
| | 34,615 | | | Netflix Inc.* | | | 20,870,076 | |
| | 2,011 | | | Playtika Holding Corp.* | | | 14,902 | |
| | 12,543 | | | ROBLOX Corp., Class A Shares* | | | 500,466 | |
| | 3,425 | | | Roku Inc., Class A Shares* | | | 216,392 | |
| | 3,822 | | | Spotify Technology SA* | | | 979,999 | |
| | 4,496 | | | Take-Two Interactive Software Inc.* | | | 660,597 | |
| | 1,636 | | | TKO Group Holdings Inc., Class A Shares | | | 136,982 | |
| | 104,560 | | | Walt Disney Co. (The) | | | 11,666,805 | |
| | 60,173 | | | Warner Bros Discovery Inc.* | | | 528,921 | |
| | | | | | | | |
| | | | Total Entertainment | | | 41,637,392 | |
| | | | | | | | |
|
| Interactive Media & Services — 5.3% | |
| | 301,556 | | | Alphabet Inc., Class A Shares* | | | 41,753,444 | |
| | 201,723 | | | Alphabet Inc., Class C Shares* | | | 28,196,841 | |
| | 2,083 | | | IAC Inc.* | | | 118,314 | |
| | 7,448 | | | Match Group Inc.* | | | 268,426 | |
| | 89,280 | | | Meta Platforms Inc., Class A Shares | | | 43,758,806 | |
| | 15,854 | | | Pinterest Inc., Class A Shares* | | | 581,842 | |
| | 2,913 | | | TripAdvisor Inc.* | | | 78,127 | |
| | 8,334 | | | ZoomInfo Technologies Inc., Class A Shares* | | | 139,678 | |
| | | | | | | | |
| | | | Total Interactive Media & Services | | | 114,895,478 | |
| | | | | | | | |
|
| Media — 0.8% | |
| | 151 | | | Cable One Inc. | | | 68,856 | |
| | 2,741 | | | Charter Communications Inc., Class A Shares* | | | 805,662 | |
| | 218,970 | | | Comcast Corp., Class A Shares | | | 9,382,865 | |
| | 95,728 | | | Fox Corp., Class A Shares | | | 2,851,737 | |
| | 3,588 | | | Fox Corp., Class B Shares | | | 98,239 | |
| | 10,689 | | | Interpublic Group of Cos., Inc. (The) | | | 335,635 | |
| | 396 | | | Liberty Broadband Corp., Class A Shares* | | | 23,819 | |
| | 3,112 | | | Liberty Broadband Corp., Class C Shares* | | | 187,280 | |
| | 4,129 | | | Liberty Media Corp.-Liberty SiriusXM* | | | 119,658 | |
| | 1,933 | | | Liberty Media Corp.-Liberty SiriusXM, Class A Shares* | | | 56,328 | |
| | 4,314 | | | New York Times Co. (The), Class A Shares | | | 191,024 | |
| | 10,687 | | | News Corp., Class A Shares | | | 287,267 | |
| | 3,025 | | | News Corp., Class B Shares | | | 84,670 | |
| | 914 | | | Nexstar Media Group Inc., Class A Shares | | | 151,879 | |
| | 5,418 | | | Omnicom Group Inc. | | | 478,897 | |
See Notes to Financial Statements.
3
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| COMMUNICATION SERVICES — 8.7% — (continued) | |
|
| Media — 0.8% — (continued) | |
| | 181 | | | Paramount Global, Class A Shares | | $ | 3,815 | |
| | 15,412 | | | Paramount Global, Class B Shares | | | 170,148 | |
| | 18,261 | | | Sirius XM Holdings Inc.(c) | | | 80,714 | |
| | 11,941 | | | Trade Desk Inc. (The), Class A Shares* | | | 1,020,120 | |
| | | | | | | | |
| | | | Total Media | | | 16,398,613 | |
| | | | | | | | |
|
| Wireless Telecommunication Services — 0.1% | |
| | 14,241 | | | T-Mobile US Inc. | | | 2,325,555 | |
| | | | | | | | |
| | | | TOTAL COMMUNICATION SERVICES | | | 187,078,463 | |
| | | | | | | | |
|
| CONSUMER DISCRETIONARY — 9.5% | |
|
| Automobile Components — 0.1% | |
| | 19,495 | | | Aptiv PLC* | | | 1,549,658 | |
| | 6,232 | | | BorgWarner Inc. | | | 194,002 | |
| | 6,260 | | | Gentex Corp. | | | 228,678 | |
| | 1,569 | | | Lear Corp. | | | 215,502 | |
| | 1,509 | | | Phinia Inc. | | | 51,638 | |
| | 9,118 | | | QuantumScape Corp., Class A Shares* | | | 57,170 | |
| | | | | | | | |
| | | | Total Automobile Components | | | 2,296,648 | |
| | | | | | | | |
|
| Automobiles — 1.0% | |
| | 107,030 | | | Ford Motor Co. | | | 1,331,453 | |
| | 110,617 | | | General Motors Co. | | | 4,533,085 | |
| | 3,522 | | | Harley-Davidson Inc. | | | 127,743 | |
| | 20,230 | | | Lucid Group Inc.*(c) | | | 66,759 | |
| | 17,716 | | | Rivian Automotive Inc., Class A Shares*(c) | | | 200,545 | |
| | 79,277 | | | Tesla Inc.* | | | 16,004,441 | |
| | 1,389 | | | Thor Industries Inc. | | | 178,042 | |
| | | | | | | | |
| | | | Total Automobiles | | | 22,442,068 | |
| | | | | | | | |
|
| Broadline Retail — 3.5% | |
| | 421,702 | | | Amazon.com Inc.* | | | 74,540,046 | |
| | 30,151 | | | Coupang Inc., Class A Shares* | | | 558,397 | |
| | 14,580 | | | eBay Inc. | | | 689,342 | |
| | 3,279 | | | Etsy Inc.* | | | 235,071 | |
| | 3,272 | | | Kohl’s Corp. | | | 91,191 | |
| | 7,409 | | | Macy’s Inc. | | | 129,213 | |
| | 3,383 | | | Nordstrom Inc. | | | 70,941 | |
| | 1,660 | | | Ollie’s Bargain Outlet Holdings Inc.* | | | 133,082 | |
| | | | | | | | |
| | | | Total Broadline Retail | | | 76,447,283 | |
| | | | | | | | |
|
| Distributors — 0.3% | |
| | 3,837 | | | Genuine Parts Co. | | | 572,710 | |
| | 90,283 | | | LKQ Corp. | | | 4,720,898 | |
| | 1,048 | | | Pool Corp. | | | 417,230 | |
| | | | | | | | |
| | | | Total Distributors | | | 5,710,838 | |
| | | | | | | | |
|
| Diversified Consumer Services — 0.1% | |
| | 6,755 | | | ADT Inc. | | | 49,041 | |
| | 1,570 | | | Bright Horizons Family Solutions Inc.* | | | 180,330 | |
| | 807 | | | Grand Canyon Education Inc.* | | | 108,784 | |
| | 4,056 | | | H&R Block Inc. | | | 198,541 | |
| | 1,825 | | | Mister Car Wash Inc.* | | | 15,129 | |
| | 3,923 | | | Service Corp. International | | | 287,125 | |
| | | | | | | | |
| | | | Total Diversified Consumer Services | | | 838,950 | |
| | | | | | | | |
See Notes to Financial Statements.
4
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| CONSUMER DISCRETIONARY — 9.5% — (continued) | |
|
| Hotels, Restaurants & Leisure — 2.0% | |
| | 11,057 | | | Airbnb Inc., Class A Shares* | | $ | 1,741,146 | |
| | 6,256 | | | Aramark | | | 189,744 | |
| | 973 | | | Booking Holdings Inc.* | | | 3,375,171 | |
| | 1,963 | | | Boyd Gaming Corp. | | | 129,813 | |
| | 5,495 | | | Caesars Entertainment Inc.* | | | 238,868 | |
| | 27,356 | | | Carnival Corp.* | | | 433,866 | |
| | 395 | | | Cava Group Inc.* | | | 23,072 | |
| | 749 | | | Chipotle Mexican Grill Inc., Class A Shares* | | | 2,013,889 | |
| | 786 | | | Choice Hotels International Inc. | | | 87,985 | |
| | 1,900 | | | Churchill Downs Inc. | | | 231,553 | |
| | 28,342 | | | Darden Restaurants Inc. | | | 4,838,263 | |
| | 946 | | | Domino’s Pizza Inc. | | | 424,139 | |
| | 8,361 | | | DoorDash Inc., Class A Shares* | | | 1,041,530 | |
| | 11,465 | | | DraftKings Inc., Class A Shares* | | | 496,664 | |
| | 3,838 | | | Expedia Group Inc.* | | | 525,115 | |
| | 39,334 | | | Hilton Worldwide Holdings Inc. | | | 8,036,723 | |
| | 1,225 | | | Hyatt Hotels Corp., Class A Shares | | | 188,148 | |
| | 9,942 | | | Las Vegas Sands Corp. | | | 542,038 | |
| | 6,626 | | | Marriott International Inc., Class A Shares | | | 1,655,639 | |
| | 976 | | | Marriott Vacations Worldwide Corp. | | | 90,953 | |
| | 35,942 | | | McDonald’s Corp. | | | 10,505,128 | |
| | 7,838 | | | MGM Resorts International* | | | 339,229 | |
| | 11,293 | | | Norwegian Cruise Line Holdings Ltd.* | | | 218,971 | |
| | 4,094 | | | Penn Entertainment Inc.* | | | 74,920 | |
| | 2,312 | | | Planet Fitness Inc., Class A Shares* | | | 143,460 | |
| | 6,381 | | | Royal Caribbean Cruises Ltd.* | | | 787,096 | |
| | 30,780 | | | Starbucks Corp. | | | 2,921,022 | |
| | 1,786 | | | Texas Roadhouse Inc., Class A Shares | | | 266,775 | |
| | 1,884 | | | Travel + Leisure Co. | | | 84,196 | |
| | 1,023 | | | Vail Resorts Inc. | | | 235,607 | |
| | 4,621 | | | Wendy’s Co. (The) | | | 83,686 | |
| | 814 | | | Wingstop Inc. | | | 285,755 | |
| | 2,246 | | | Wyndham Hotels & Resorts Inc. | | | 171,931 | |
| | 2,775 | | | Wynn Resorts Ltd. | | | 291,930 | |
| | 7,682 | | | Yum! Brands Inc. | | | 1,063,342 | |
| | | | | | | | |
| | | | Total Hotels, Restaurants & Leisure | | | 43,777,367 | |
| | | | | | | | |
|
| Household Durables — 0.3% | |
| | 8,487 | | | DR Horton Inc. | | | 1,268,297 | |
| | 4,106 | | | Garmin Ltd. | | | 563,959 | |
| | 3,726 | | | Leggett & Platt Inc. | | | 76,085 | |
| | 6,648 | | | Lennar Corp., Class A Shares | | | 1,053,775 | |
| | 406 | | | Lennar Corp., Class B Shares | | | 59,832 | |
| | 1,413 | | | Mohawk Industries Inc.* | | | 167,610 | |
| | 10,177 | | | Newell Brands Inc. | | | 76,328 | |
| | 81 | | | NVR Inc.* | | | 617,671 | |
| | 5,827 | | | PulteGroup Inc. | | | 631,530 | |
| | 4,457 | | | Tempur Sealy International Inc. | | | 242,773 | |
| | 2,913 | | | Toll Brothers Inc. | | | 333,946 | |
| | 879 | | | TopBuild Corp.* | | | 353,692 | |
| | 1,429 | | | Whirlpool Corp. | | | 153,460 | |
| | | | | | | | |
| | | | Total Household Durables | | | 5,598,958 | |
| | | | | | | | |
|
| Leisure Products — 0.0%@ | |
| | 1,902 | | | Brunswick Corp. | | | 166,235 | |
See Notes to Financial Statements.
5
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| CONSUMER DISCRETIONARY — 9.5% — (continued) | |
|
| Leisure Products — 0.0%@ — (continued) | |
| | 3,491 | | | Hasbro Inc. | | $ | 175,562 | |
| | 9,403 | | | Mattel Inc.* | | | 185,239 | |
| | 9,621 | | | Peloton Interactive Inc., Class A Shares* | | | 43,487 | |
| | 1,440 | | | Polaris Inc. | | | 133,503 | |
| | 2,374 | | | YETI Holdings Inc.* | | | 97,429 | |
| | | | | | | | |
| | | | Total Leisure Products | | | 801,455 | |
| | | | | | | | |
|
| Specialty Retail — 1.8% | |
| | 1,602 | | | Advance Auto Parts Inc. | | | 108,199 | |
| | 832 | | | AutoNation Inc.* | | | 124,634 | |
| | 484 | | | AutoZone Inc.* | | | 1,454,914 | |
| | 6,121 | | | Bath & Body Works Inc. | | | 279,730 | |
| | 5,372 | | | Best Buy Co., Inc. | | | 434,487 | |
| | 1,791 | | | Burlington Stores Inc.* | | | 367,334 | |
| | 21,849 | | | CarMax Inc.* | | | 1,726,071 | |
| | 1,606 | | | Dick’s Sporting Goods Inc. | | | 285,691 | |
| | 1,464 | | | Five Below Inc.* | | | 293,795 | |
| | 2,780 | | | Floor & Decor Holdings Inc., Class A Shares* | | | 336,714 | |
| | 7,155 | | | GameStop Corp., Class A Shares*(c) | | | 102,102 | |
| | 5,415 | | | Gap Inc. (The) | | | 102,560 | |
| | 27,287 | | | Home Depot Inc. (The) | | | 10,385,705 | |
| | 723 | | | Lithia Motors Inc., Class A Shares | | | 216,220 | |
| | 36,368 | | | Lowe’s Cos., Inc. | | | 8,752,687 | |
| | 528 | | | Murphy USA Inc. | | | 220,181 | |
| | 6,422 | | | O’Reilly Automotive Inc.* | | | 6,983,411 | |
| | 598 | | | Penske Automotive Group Inc. | | | 91,793 | |
| | 1,943 | | | Petco Health & Wellness Co., Inc., Class A Shares* | | | 5,052 | |
| | 441 | | | RH* | | | 121,010 | |
| | 9,158 | | | Ross Stores Inc. | | | 1,364,176 | |
| | 31,421 | | | TJX Cos., Inc. (The) | | | 3,115,078 | |
| | 2,986 | | | Tractor Supply Co. | | | 759,399 | |
| | 1,337 | | | Ulta Beauty Inc.* | | | 733,425 | |
| | 4,520 | | | Valvoline Inc.* | | | 192,733 | |
| | 2,307 | | | Victoria’s Secret & Co.* | | | 65,888 | |
| | 2,197 | | | Wayfair Inc., Class A Shares* | | | 130,941 | |
| | 1,764 | | | Williams-Sonoma Inc. | | | 415,475 | |
| | | | | | | | |
| | | | Total Specialty Retail | | | 39,169,405 | |
| | | | | | | | |
|
| Textiles, Apparel & Luxury Goods — 0.4% | |
| | 802 | | | Birkenstock Holding PLC* | | | 40,108 | |
| | 3,273 | | | Capri Holdings Ltd.* | | | 150,984 | |
| | 1,005 | | | Carter’s Inc. | | | 81,355 | |
| | 1,025 | | | Columbia Sportswear Co. | | | 84,757 | |
| | 1,625 | | | Crocs Inc.* | | | 198,656 | |
| | 715 | | | Deckers Outdoor Corp.* | | | 640,347 | |
| | 2,974 | | | lululemon athletica Inc.* | | | 1,389,126 | |
| | 49,142 | | | NIKE Inc., Class B Shares | | | 5,107,328 | |
| | 1,666 | | | PVH Corp. | | | 227,692 | |
| | 1,069 | | | Ralph Lauren Corp., Class A Shares | | | 198,748 | |
| | 3,586 | | | Skechers USA Inc., Class A Shares* | | | 221,651 | |
| | 6,305 | | | Tapestry Inc. | | | 299,677 | |
| | 5,673 | | | Under Armour Inc., Class A Shares* | | | 50,830 | |
| | 5,012 | | | Under Armour Inc., Class C Shares* | | | 42,802 | |
| | 9,339 | | | V.F. Corp. | | | 152,599 | |
| | | | | | | | |
| | | | Total Textiles, Apparel & Luxury Goods | | | 8,886,660 | |
| | | | | | | | |
| | | | TOTAL CONSUMER DISCRETIONARY | | | 205,969,632 | |
| | | | | | | | |
See Notes to Financial Statements.
6
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| CONSUMER STAPLES — 4.6% | |
|
| Beverages — 1.0% | |
| | 260 | | | Boston Beer Co., Inc. (The), Class A Shares* | | $ | 80,117 | |
| | 1,307 | | | Brown-Forman Corp., Class A Shares | | | 78,342 | |
| | 5,132 | | | Brown-Forman Corp., Class B Shares | | | 309,100 | |
| | 4,005 | | | Celsius Holdings Inc.* | | | 326,888 | |
| | 106,258 | | | Coca-Cola Co. (The) | | | 6,377,605 | |
| | 4,392 | | | Constellation Brands Inc., Class A Shares | | | 1,091,500 | |
| | 25,833 | | | Keurig Dr Pepper Inc. | | | 772,665 | |
| | 4,670 | | | Molson Coors Beverage Co., Class B Shares | | | 291,501 | |
| | 55,780 | | | Monster Beverage Corp.* | | | 3,296,598 | |
| | 61,682 | | | PepsiCo Inc. | | | 10,198,502 | |
| | | | | | | | |
| | | | Total Beverages | | | 22,822,818 | |
| | | | | | | | |
|
| Consumer Staples Distribution & Retail — 1.5% | |
| | 11,129 | | | Albertsons Cos., Inc., Class A Shares | | | 225,696 | |
| | 3,554 | | | BJ’s Wholesale Club Holdings Inc.* | | | 259,584 | |
| | 1,041 | | | Casey’s General Stores Inc. | | | 316,974 | |
| | 15,465 | | | Costco Wholesale Corp. | | | 11,504,259 | |
| | 5,949 | | | Dollar General Corp. | | | 864,449 | |
| | 5,686 | | | Dollar Tree Inc.* | | | 834,022 | |
| | 2,438 | | | Grocery Outlet Holding Corp.* | | | 62,876 | |
| | 17,703 | | | Kroger Co. (The) | | | 878,246 | |
| | 565 | | | Maplebear Inc.* | | | 18,385 | |
| | 4,266 | | | Performance Food Group Co.* | | | 327,501 | |
| | 13,840 | | | Sysco Corp. | | | 1,120,625 | |
| | 49,429 | | | Target Corp. | | | 7,558,683 | |
| | 6,324 | | | US Foods Holding Corp.* | | | 321,196 | |
| | 19,694 | | | Walgreens Boots Alliance Inc. | | | 418,694 | |
| | 116,826 | | | Walmart Inc. | | | 6,847,172 | |
| | | | | | | | |
| | | | Total Consumer Staples Distribution & Retail | | | 31,558,362 | |
| | | | | | | | |
|
| Food Products — 0.8% | |
| | 14,560 | | | Archer-Daniels-Midland Co. | | | 773,282 | |
| | 3,990 | | | Bunge Global SA | | | 376,536 | |
| | 5,110 | | | Campbell Soup Co. | | | 217,890 | |
| | 13,153 | | | Conagra Brands Inc. | | | 369,336 | |
| | 4,234 | | | Darling Ingredients Inc.* | | | 179,141 | |
| | 5,020 | | | Flowers Foods Inc. | | | 112,548 | |
| | 1,152 | | | Freshpet Inc.* | | | 130,211 | |
| | 15,902 | | | General Mills Inc. | | | 1,020,590 | |
| | 4,108 | | | Hershey Co. (The) | | | 771,975 | |
| | 7,734 | | | Hormel Foods Corp. | | | 273,165 | |
| | 1,762 | | | Ingredion Inc. | | | 207,264 | |
| | 2,768 | | | J.M. Smucker Co. (The) | | | 332,631 | |
| | 7,177 | | | Kellanova | | | 395,812 | |
| | 21,783 | | | Kraft Heinz Co. (The) | | | 768,504 | |
| | 4,009 | | | Lamb Weston Holdings Inc. | | | 409,760 | |
| | 6,907 | | | McCormick & Co., Inc., Class VTG Shares | | | 475,616 | |
| | 107,707 | | | Mondelez International Inc., Class A Shares | | | 7,870,150 | |
| | 1,166 | | | Pilgrim’s Pride Corp.* | | | 37,125 | |
| | 1,430 | | | Post Holdings Inc.* | | | 148,949 | |
| | 8 | | | Seaboard Corp. | | | 26,301 | |
| | 48,344 | | | Tyson Foods Inc., Class A Shares | | | 2,622,179 | |
| | 1,736 | | | WK Kellogg Co. | | | 25,415 | |
| | | | | | | | |
| | | | Total Food Products | | | 17,544,380 | |
| | | | | | | | |
See Notes to Financial Statements.
7
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| CONSUMER STAPLES — 4.6% — (continued) | |
|
| Household Products — 0.8% | |
| | 6,660 | | | Church & Dwight Co., Inc. | | $ | 666,799 | |
| | 3,386 | | | Clorox Co. (The) | | | 519,108 | |
| | 22,388 | | | Colgate-Palmolive Co. | | | 1,937,010 | |
| | 9,206 | | | Kimberly-Clark Corp. | | | 1,115,491 | |
| | 81,101 | | | Procter & Gamble Co. (The) | | | 12,890,193 | |
| | 1,594 | | | Reynolds Consumer Products Inc. | | | 47,023 | |
| | 1,110 | | | Spectrum Brands Holdings Inc. | | | 89,266 | |
| | | | | | | | |
| | | | Total Household Products | | | 17,264,890 | |
| | | | | | | | |
|
| Personal Care Products — 0.2% | |
| | 9,989 | | | Coty Inc., Class A Shares* | | | 125,462 | |
| | 16,231 | | | Estee Lauder Cos., Inc. (The), Class A Shares | | | 2,411,602 | |
| | 47,545 | | | Kenvue Inc. | | | 903,355 | |
| | 3,001 | | | Olaplex Holdings Inc.* | | | 5,582 | |
| | | | | | | | |
| | | | Total Personal Care Products | | | 3,446,001 | |
| | | | | | | | |
|
| Tobacco — 0.3% | |
| | 48,729 | | | Altria Group Inc. | | | 1,993,503 | |
| | 42,339 | | | Philip Morris International Inc. | | | 3,808,817 | |
| | | | | | | | |
| | | | Total Tobacco | | | 5,802,320 | |
| | | | | | | | |
| | | | TOTAL CONSUMER STAPLES | | | 98,438,771 | |
| | | | | | | | |
|
| ENERGY — 3.5% | |
|
| Energy Equipment & Services — 0.4% | |
| | 27,435 | | | Baker Hughes Co., Class A Shares | | | 811,802 | |
| | 24,348 | | | Halliburton Co. | | | 853,884 | |
| | 10,480 | | | NOV Inc. | | | 177,112 | |
| | 150,983 | | | Schlumberger NV | | | 7,297,008 | |
| | 11,727 | | | TechnipFMC PLC | | | 254,359 | |
| | | | | | | | |
| | | | Total Energy Equipment & Services | | | 9,394,165 | |
| | | | | | | | |
|
| Oil, Gas & Consumable Fuels — 3.1% | |
| | 9,275 | | | Antero Midstream Corp. | | | 124,285 | |
| | 7,554 | | | Antero Resources Corp.* | | | 194,138 | |
| | 8,290 | | | APA Corp. | | | 246,959 | |
| | 6,561 | | | Cheniere Energy Inc. | | | 1,018,267 | |
| | 3,389 | | | Chesapeake Energy Corp. | | | 280,541 | |
| | 46,945 | | | Chevron Corp. | | | 7,136,109 | |
| | 89,072 | | | ConocoPhillips | | | 10,024,163 | |
| | 20,464 | | | Coterra Energy Inc. | | | 527,562 | |
| | 17,477 | | | Devon Energy Corp. | | | 770,037 | |
| | 4,842 | | | Diamondback Energy Inc. | | | 883,762 | |
| | 2,592 | | | DT Midstream Inc. | | | 149,377 | |
| | 52,547 | | | EOG Resources Inc. | | | 6,014,530 | |
| | 9,999 | | | EQT Corp. | | | 371,463 | |
| | 206,398 | | | Exxon Mobil Corp. | | | 21,572,719 | |
| | 7,578 | | | Hess Corp. | | | 1,104,493 | |
| | 3,996 | | | HF Sinclair Corp. | | | 221,778 | |
| | 53,485 | | | Kinder Morgan Inc. | | | 930,104 | |
| | 16,609 | | | Marathon Oil Corp. | | | 402,768 | |
| | 10,351 | | | Marathon Petroleum Corp. | | | 1,751,700 | |
| | 1,579 | | | New Fortress Energy Inc., Class A Shares . | | | 55,502 | |
| | 18,650 | | | Occidental Petroleum Corp. | | | 1,130,376 | |
| | 15,874 | | | ONEOK Inc. | | | 1,192,455 | |
| | 6,858 | | | Ovintiv Inc. | | | 338,854 | |
See Notes to Financial Statements.
8
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| ENERGY — 3.5% — (continued) | |
|
| Oil, Gas & Consumable Fuels — 3.1% — (continued) | |
| | 35,998 | | | Phillips 66 | | $ | 5,130,075 | |
| | 6,348 | | | Pioneer Natural Resources Co. | | | 1,492,986 | |
| | 6,254 | | | Range Resources Corp. | | | 197,751 | |
| | 29,305 | | | Southwestern Energy Co.* | | | 204,256 | |
| | 5,975 | | | Targa Resources Corp. | | | 586,984 | |
| | 166 | | | Texas Pacific Land Corp. | | | 261,520 | |
| | 9,413 | | | Valero Energy Corp. | | | 1,331,563 | |
| | 33,256 | | | Williams Cos., Inc. (The) | | | 1,195,221 | |
| | | | | | | | |
| | | | Total Oil, Gas & Consumable Fuels | | | 66,842,298 | |
| | | | | | | | |
| | | | TOTAL ENERGY | | | 76,236,463 | |
| | | | | | | | |
|
| FINANCIALS — 15.7% | |
|
| Banks — 3.1% | |
| | 372,018 | | | Bank of America Corp. | | | 12,842,061 | |
| | 2,978 | | | Bank OZK | | | 130,436 | |
| | 792 | | | BOK Financial Corp. | | | 67,328 | |
| | 52,243 | | | Citigroup Inc. | | | 2,898,964 | |
| | 12,655 | | | Citizens Financial Group Inc. | | | 397,240 | |
| | 5,553 | | | Columbia Banking System Inc. | | | 100,509 | |
| | 3,515 | | | Comerica Inc. | | | 173,571 | |
| | 3,205 | | | Commerce Bancshares Inc. | | | 166,788 | |
| | 1,581 | | | Cullen/Frost Bankers Inc. | | | 171,554 | |
| | 3,752 | | | East West Bancorp Inc. | | | 273,371 | |
| | 18,516 | | | Fifth Third Bancorp | | | 635,839 | |
| | 299 | | | First Citizens BancShares Inc., Class A Shares | | | 470,569 | |
| | 3,636 | | | First Hawaiian Inc. | | | 76,211 | |
| | 14,850 | | | First Horizon Corp. | | | 209,385 | |
| | 9,550 | | | FNB Corp. | | | 127,397 | |
| | 39,450 | | | Huntington Bancshares Inc. | | | 514,428 | |
| | 146,134 | | | JPMorgan Chase & Co. | | | 27,189,692 | |
| | 25,794 | | | KeyCorp. | | | 368,080 | |
| | 4,516 | | | M&T Bank Corp. | | | 631,066 | |
| | 19,024 | | | New York Community Bancorp Inc. | | | 91,125 | |
| | 63,051 | | | NU Holdings Ltd., Class A Shares* | | | 698,605 | |
| | 2,010 | | | Pinnacle Financial Partners Inc. | | | 166,267 | |
| | 10,863 | | | PNC Financial Services Group Inc. (The) | | | 1,599,034 | |
| | 1,939 | | | Popular Inc. | | | 162,256 | |
| | 2,326 | | | Prosperity Bancshares Inc. | | | 145,166 | |
| | 25,679 | | | Regions Financial Corp. | | | 478,400 | |
| | 3,863 | | | Synovus Financial Corp. | | | 146,562 | |
| | 1,501 | | | TFS Financial Corp. | | | 19,138 | |
| | 74,202 | | | Truist Financial Corp. | | | 2,595,586 | |
| | 42,489 | | | US Bancorp. | | | 1,782,838 | |
| | 4,637 | | | Webster Financial Corp. | | | 220,907 | |
| | 210,694 | | | Wells Fargo & Co. | | | 11,712,480 | |
| | 2,984 | | | Western Alliance Bancorp. | | | 172,266 | |
| | 1,665 | | | Wintrust Financial Corp. | | | 160,423 | |
| | 3,886 | | | Zions Bancorp NA | | | 153,225 | |
| | | | | | | | |
| | | | Total Banks | | | 67,748,767 | |
| | | | | | | | |
|
| Capital Markets — 4.7% | |
| | 952 | | | Affiliated Managers Group Inc. | | | 148,807 | |
| | 2,810 | | | Ameriprise Financial Inc. | | | 1,144,682 | |
| | 4,403 | | | Ares Management Corp., Class A Shares | | | 583,970 | |
| | 21,072 | | | Bank of New York Mellon Corp. (The) | | | 1,181,928 | |
See Notes to Financial Statements.
9
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| FINANCIALS — 15.7% — (continued) | |
|
| Capital Markets — 4.7% — (continued) | |
| | 12,376 | | | BlackRock Inc., Class A Shares | | $ | 10,041,144 | |
| | 19,440 | | | Blackstone Inc. | | | 2,484,821 | |
| | 12,712 | | | Blue Owl Capital Inc., Class A Shares | | | 228,308 | |
| | 47,442 | | | Brookfield Asset Management Ltd., Class A Shares | | | 1,933,262 | |
| | 284,511 | | | Brookfield Corp. | | | 11,741,769 | |
| | 5,636 | | | Carlyle Group Inc. (The) | | | 258,411 | |
| | 2,878 | | | Cboe Global Markets Inc. | | | 552,576 | |
| | 101,886 | | | Charles Schwab Corp. (The) | | | 6,803,947 | |
| | 9,795 | | | CME Group Inc., Class A Shares | | | 2,158,328 | |
| | 4,568 | | | Coinbase Global Inc., Class A Shares* | | | 929,862 | |
| | 951 | | | Evercore Inc., Class A Shares | | | 177,913 | |
| | 1,052 | | | FactSet Research Systems Inc. | | | 486,634 | |
| | 7,604 | | | Franklin Resources Inc. | | | 208,730 | |
| | 8,699 | | | Goldman Sachs Group Inc. (The) | | | 3,384,346 | |
| | 1,360 | | | Houlihan Lokey Inc., Class A Shares | | | 174,978 | |
| | 2,838 | | | Interactive Brokers Group Inc., Class A Shares | | | 308,547 | |
| | 60,200 | | | Intercontinental Exchange Inc. | | | 8,332,884 | |
| | 9,702 | | | Invesco Ltd. | | | 149,508 | |
| | 3,772 | | | Janus Henderson Group PLC | | | 117,536 | |
| | 5,184 | | | Jefferies Financial Group Inc. | | | 216,795 | |
| | 75,989 | | | KKR & Co., Inc., Class Miscella Shares | | | 7,466,679 | |
| | 3,006 | | | Lazard Inc., Class A Shares | | | 115,851 | |
| | 2,084 | | | LPL Financial Holdings Inc. | | | 558,283 | |
| | 989 | | | MarketAxess Holdings Inc. | | | 211,062 | |
| | 13,770 | | | Moody’s Corp. | | | 5,224,613 | |
| | 32,800 | | | Morgan Stanley(d) | | | 2,822,112 | |
| | 687 | | | Morningstar Inc. | | | 205,131 | |
| | 2,094 | | | MSCI Inc., Class A Shares | | | 1,174,671 | |
| | 9,348 | | | Nasdaq Inc. | | | 525,358 | |
| | 5,633 | | | Northern Trust Corp. | | | 462,638 | |
| | 5,170 | | | Raymond James Financial Inc. | | | 622,054 | |
| | 18,872 | | | Robinhood Markets Inc., Class A Shares* | | | 307,802 | |
| | 54,225 | | | S&P Global Inc. | | | 23,228,906 | |
| | 2,718 | | | SEI Investments Co. | | | 182,786 | |
| | 31,195 | | | State Street Corp. | | | 2,300,007 | |
| | 2,742 | | | Stifel Financial Corp. | | | 208,008 | |
| | 6,014 | | | T. Rowe Price Group Inc. | | | 681,687 | |
| | 1,872 | | | TPG Inc., Class A Shares | | | 83,023 | |
| | 3,192 | | | Tradeweb Markets Inc., Class A Shares | | | 337,777 | |
| | 2,150 | | | Virtu Financial Inc., Class A Shares | | | 38,808 | |
| | 8,874 | | | XP Inc., Class A Shares | | | 209,781 | |
| | | | | | | | |
| | | | Total Capital Markets | | | 100,716,723 | |
| | | | | | | | |
|
| Consumer Finance — 0.5% | |
| | 7,293 | | | Ally Financial Inc. | | | 269,768 | |
| | 31,758 | | | American Express Co. | | | 6,968,340 | |
| | 10,338 | | | Capital One Financial Corp. | | | 1,422,612 | |
| | 171 | | | Credit Acceptance Corp.* | | | 94,666 | |
| | 6,802 | | | Discover Financial Services | | | 821,001 | |
| | 2,996 | | | OneMain Holdings Inc., Class A Shares . | | | 141,501 | |
| | 5,972 | | | SLM Corp. | | | 124,397 | |
| | 26,137 | | | SoFi Technologies Inc.* | | | 234,710 | |
| | 11,125 | | | Synchrony Financial | | | 459,463 | |
| | | | | | | | |
| | | | Total Consumer Finance | | | 10,536,458 | |
| | | | | | | | |
See Notes to Financial Statements.
10
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| FINANCIALS — 15.7% — (continued) | |
|
| Financial Services — 5.0% | |
| | 6,337 | | | Affirm Holdings Inc., Class A Shares* | | $ | 237,764 | |
| | 14,226 | | | Apollo Global Management Inc. | | | 1,590,467 | |
| | 66,931 | | | Berkshire Hathaway Inc., Class B Shares* | | | 27,401,551 | |
| | 14,784 | | | Block Inc., Class A Shares* | | | 1,174,885 | |
| | 9,550 | | | Equitable Holdings Inc. | | | 326,992 | |
| | 1,384 | | | Euronet Worldwide Inc.* | | | 151,465 | |
| | 101,917 | | | Fidelity National Information Services Inc. | | | 7,051,637 | |
| | 16,326 | | | Fiserv Inc.* | | | 2,436,982 | |
| | 1,964 | | | FleetCor Technologies Inc.* | | | 548,486 | |
| | 7,085 | | | Global Payments Inc. | | | 918,925 | |
| | 2,017 | | | Jack Henry & Associates Inc. | | | 350,494 | |
| | 46,124 | | | MasterCard Inc., Class A Shares | | | 21,897,830 | |
| | 7,602 | | | MGIC Investment Corp. | | | 151,204 | |
| | 1,704 | | | NCR Atleos Corp.*. | | | 37,079 | |
| | 108,192 | | | PayPal Holdings Inc.* | | | 6,528,305 | |
| | 3,597 | | | Rocket Cos., Inc., Class A Shares* | | | 45,178 | |
| | 1,519 | | | Shift4 Payments Inc., Class A Shares* | | | 124,892 | |
| | 10,113 | | | Toast Inc., Class A Shares* | | | 232,599 | |
| | 3,045 | | | UWM Holdings Corp. | | | 19,427 | |
| | 125,015 | | | Visa Inc., Class A Shares | | | 35,334,240 | |
| | 2,799 | | | Voya Financial Inc. | | | 191,340 | |
| | 6,595 | | | Western Union Co. (The) | | | 88,439 | |
| | 1,142 | | | WEX Inc.* | | | 250,932 | |
| | | | | | | | |
| | | | Total Financial Services | | | 107,091,113 | |
| | | | | | | | |
|
| Insurance — 2.4% | |
| | 16,089 | | | Aflac Inc. | | | 1,299,026 | |
| | 7,152 | | | Allstate Corp. (The) | | | 1,140,887 | |
| | 2,047 | | | American Financial Group Inc. | | | 261,340 | |
| | 19,347 | | | American International Group Inc. | | | 1,410,203 | |
| | 5,406 | | | Aon PLC, Class A Shares | | | 1,708,242 | |
| | 9,703 | | | Arch Capital Group Ltd.* | | | 849,886 | |
| | 5,774 | | | Arthur J. Gallagher & Co. | | | 1,408,452 | |
| | 1,412 | | | Assurant Inc. | | | 256,207 | |
| | 1,518 | | | Assured Guaranty Ltd. | | | 139,049 | |
| | 2,113 | | | Axis Capital Holdings Ltd. | | | 132,210 | |
| | 1,934 | | | Brighthouse Financial Inc.* | | | 90,028 | |
| | 6,495 | | | Brown & Brown Inc. | | | 546,944 | |
| | 11,077 | | | Chubb Ltd. | | | 2,787,749 | |
| | 4,220 | | | Cincinnati Financial Corp. | | | 481,080 | |
| | 623 | | | CNA Financial Corp. | | | 27,381 | |
| | 1,178 | | | Everest Group Ltd. | | | 434,541 | |
| | 6,097 | | | Fidelity National Financial Inc. | | | 308,386 | |
| | 2,676 | | | First American Financial Corp. | | | 156,305 | |
| | 2,450 | | | Globe Life Inc. | | | 310,978 | |
| | 948 | | | Hanover Insurance Group Inc. (The) | | | 124,634 | |
| | 65,495 | | | Hartford Financial Services Group Inc. (The) | | | 6,277,041 | |
| | 1,779 | | | Kemper Corp. | | | 101,990 | |
| | 614 | | | Kinsale Capital Group Inc. | | | 316,934 | |
| | 4,059 | | | Lincoln National Corp. | | | 111,785 | |
| | 4,940 | | | Loews Corp. | | | 371,142 | |
| | 360 | | | Markel Group Inc.* | | | 537,293 | |
| | 23,003 | | | Marsh & McLennan Cos., Inc. | | | 4,652,817 | |
| | 17,291 | | | MetLife Inc. | | | 1,205,874 | |
| | 7,175 | | | Old Republic International Corp. | | | 207,788 | |
See Notes to Financial Statements.
11
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| FINANCIALS — 15.7% — (continued) | |
|
| Insurance — 2.4% — (continued) | |
| | 969 | | | Primerica Inc. | | $ | 237,657 | |
| | 6,622 | | | Principal Financial Group Inc. | | | 535,455 | |
| | 63,700 | | | Progressive Corp. (The) | | | 12,074,972 | |
| | 30,631 | | | Prudential Financial Inc. | | | 3,338,473 | |
| | 1,850 | | | Reinsurance Group of America Inc., Class A Shares | | | 327,172 | |
| | 1,396 | | | RenaissanceRe Holdings Ltd. | | | 313,849 | |
| | 1,088 | | | RLI Corp. | | | 159,338 | |
| | 2,772 | | | Ryan Specialty Holdings Inc., Class A Shares* | | | 145,197 | |
| | 29,330 | | | Travelers Cos., Inc. (The) | | | 6,480,757 | |
| | 4,809 | | | Unum Group | | | 237,805 | |
| | 65 | | | White Mountains Insurance Group Ltd. | | | 114,754 | |
| | 2,805 | | | Willis Towers Watson PLC | | | 764,671 | |
| | 5,409 | | | WR Berkley Corp. | | | 452,192 | |
| | | | | | | | |
| | | | Total Insurance | | | 52,838,484 | |
| | | | | | | | |
|
| Mortgage Real Estate Investment Trusts (REITs) — 0.0%@ | |
| | 17,417 | | | AGNC Investment Corp. | | | 166,506 | |
| | 13,190 | | | Annaly Capital Management Inc. | | | 251,797 | |
| | 12,869 | | | Rithm Capital Corp. | | | 139,500 | |
| | 7,871 | | | Starwood Property Trust Inc. | | | 160,490 | |
| | | | | | | | |
| | | | Total Mortgage Real Estate Investment Trusts (REITs) | | | 718,293 | |
| | | | | | | | |
| | | | TOTAL FINANCIALS | | | 339,649,838 | |
| | | | | | | | |
|
| HEALTH CARE — 12.7% | |
|
| Biotechnology — 1.6% | |
| | 71,230 | | | AbbVie Inc. | | | 12,540,042 | |
| | 3,383 | | | Alnylam Pharmaceuticals Inc.* | | | 511,137 | |
| | 27,039 | | | Amgen Inc. | | | 7,404,089 | |
| | 2,670 | | | Apellis Pharmaceuticals Inc.* | | | 165,460 | |
| | 3,950 | | | Biogen Inc.* | | | 857,110 | |
| | 5,140 | | | BioMarin Pharmaceutical Inc.* | | | 443,479 | |
| | 4,976 | | | Exact Sciences Corp.* | | | 286,269 | |
| | 8,567 | | | Exelixis Inc.* | | | 187,617 | |
| | 34,099 | | | Gilead Sciences Inc. | | | 2,458,538 | |
| | 4,925 | | | Incyte Corp.* | | | 287,423 | |
| | 3,804 | | | Ionis Pharmaceuticals Inc.* | | | 171,979 | |
| | 990 | | | Karuna Therapeutics Inc.* | | | 310,830 | |
| | 9,065 | | | Moderna Inc.* | | | 836,156 | |
| | 2,962 | | | Natera Inc.* | | | 256,183 | |
| | 2,674 | | | Neurocrine Biosciences Inc.* | | | 348,690 | |
| | 2,796 | | | Regeneron Pharmaceuticals Inc.* | | | 2,701,188 | |
| | 9,552 | | | Roivant Sciences Ltd.* | | | 109,275 | |
| | 2,490 | | | Sarepta Therapeutics Inc.* | | | 318,471 | |
| | 2,136 | | | Ultragenyx Pharmaceutical Inc.* | | | 110,474 | |
| | 1,206 | | | United Therapeutics Corp.* | | | 272,122 | |
| | 7,028 | | | Vertex Pharmaceuticals Inc.* | | | 2,956,961 | |
| | | | | | | | |
| | | | Total Biotechnology | | | 33,533,493 | |
| | | | | | | | |
|
| Health Care Equipment & Supplies — 2.7% | |
| | 108,189 | | | Abbott Laboratories | | | 12,835,543 | |
| | 25,170 | | | Alcon Inc. | | | 2,128,124 | |
| | 2,084 | | | Align Technology Inc.* | | | 630,243 | |
| | 13,829 | | | Baxter International Inc. | | | 565,883 | |
| | 27,251 | | | Becton Dickinson and Co. | | | 6,418,973 | |
| | 134,647 | | | Boston Scientific Corp.* | | | 8,914,978 | |
See Notes to Financial Statements.
12
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| HEALTH CARE — 12.7% — (continued) | |
|
| Health Care Equipment & Supplies — 2.7% — (continued) | |
| | 5,328 | | | Cooper Cos Inc. (The) | | $ | 498,701 | |
| | 5,647 | | | DENTSPLY SIRONA Inc. | | | 184,544 | |
| | 10,547 | | | DexCom Inc.* | | | 1,213,643 | |
| | 16,423 | | | Edwards Lifesciences Corp.* | | | 1,393,820 | |
| | 1,498 | | | Enovis Corp.* | | | 89,595 | |
| | 4,374 | | | Envista Holdings Corp.* | | | 90,323 | |
| | 10,583 | | | GE HealthCare Technologies Inc. | | | 966,016 | |
| | 3,166 | | | Globus Medical Inc., Class A Shares* | | | 170,932 | |
| | 6,663 | | | Hologic Inc.* | | | 491,729 | |
| | 580 | | | ICU Medical Inc.* | | | 63,353 | |
| | 5,298 | | | IDEXX Laboratories Inc.* | | | 3,047,569 | |
| | 768 | | | Inspire Medical Systems Inc.* | | | 137,503 | |
| | 1,915 | | | Insulet Corp.* | | | 314,060 | |
| | 1,908 | | | Integra LifeSciences Holdings Corp.* | | | 70,424 | |
| | 18,602 | | | Intuitive Surgical Inc.* | | | 7,172,931 | |
| | 1,183 | | | Masimo Corp.* | | | 152,063 | |
| | 36,237 | | | Medtronic PLC | | | 3,020,716 | |
| | 2,658 | | | Novocure Ltd.* | | | 40,694 | |
| | 969 | | | Penumbra Inc.* | | | 227,638 | |
| | 1,451 | | | QuidelOrtho Corp.* | | | 66,166 | |
| | 3,959 | | | ResMed Inc. | | | 687,758 | |
| | 969 | | | Shockwave Medical Inc.* | | | 252,783 | |
| | 2,651 | | | STERIS PLC | | | 617,444 | |
| | 16,791 | | | Stryker Corp. | | | 5,861,234 | |
| | 2,004 | | | Tandem Diabetes Care Inc.* | | | 53,367 | |
| | 1,305 | | | Teleflex Inc. | | | 290,741 | |
| | 5,726 | | | Zimmer Biomet Holdings Inc. | | | 712,085 | |
| | | | | | | | |
| | | | Total Health Care Equipment & Supplies | | | 59,381,576 | |
| | | | | | | | |
|
| Health Care Providers & Services — 3.0% | |
| | 2,396 | | | Acadia Healthcare Co., Inc.* | | | 199,946 | |
| | 7,882 | | | agilon health Inc.* | | | 48,317 | |
| | 873 | | | Amedisys Inc.* | | | 81,206 | |
| | 6,813 | | | Cardinal Health Inc. | | | 762,920 | |
| | 27,202 | | | Cencora Inc. | | | 6,408,791 | |
| | 14,461 | | | Centene Corp.* | | | 1,134,176 | |
| | 392 | | | Chemed Corp. | | | 245,443 | |
| | 7,965 | | | Cigna Group (The) | | | 2,677,355 | |
| | 92,994 | | | CVS Health Corp. | | | 6,915,964 | |
| | 1,459 | | | DaVita Inc.* | | | 185,249 | |
| | 6,467 | | | Elevance Health Inc. | | | 3,241,584 | |
| | 2,638 | | | Encompass Health Corp. | | | 196,267 | |
| | 5,467 | | | HCA Healthcare Inc. | | | 1,704,064 | |
| | 3,482 | | | Henry Schein Inc.* | | | 266,269 | |
| | 10,171 | | | Humana Inc. | | | 3,563,105 | |
| | 60,052 | | | Laboratory Corp. of America Holdings | | | 12,961,023 | |
| | 3,698 | | | McKesson Corp. | | | 1,928,174 | |
| | 1,579 | | | Molina Healthcare Inc.* | | | 621,984 | |
| | 2,994 | | | Premier Inc., Class A Shares | | | 62,455 | |
| | 3,092 | | | Quest Diagnostics Inc. | | | 386,160 | |
| | 4,270 | | | R1 RCM Inc.* | | | 59,993 | |
| | 2,696 | | | Tenet Healthcare Corp.* | | | 250,728 | |
| | 42,972 | | | UnitedHealth Group Inc. | | | 21,210,979 | |
| | 1,619 | | | Universal Health Services Inc., Class B Shares | | | 270,470 | |
| | | | | | | | |
| | | | Total Health Care Providers & Services | | | 65,382,622 | |
| | | | | | | | |
See Notes to Financial Statements.
13
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| HEALTH CARE — 12.7% — (continued) | |
|
| Health Care Technology — 0.1% | |
| | 3,535 | | | Certara Inc.* | | $ | 59,671 | |
| | 3,062 | | | Doximity Inc., Class A Shares* | | | 86,440 | |
| | 4,743 | | | Teladoc Health Inc.* | | | 71,525 | |
| | 3,949 | | | Veeva Systems Inc., Class A Shares* | | | 890,539 | |
| | | | | | | | |
| | | | Total Health Care Technology | | | 1,108,175 | |
| | | | | | | | |
|
| Life Sciences Tools & Services — 1.9% | |
| | 2,527 | | | 10X Genomics Inc., Class A Shares* | | | 117,859 | |
| | 7,989 | | | Agilent Technologies Inc. | | | 1,097,369 | |
| | 144,899 | | | Avantor Inc.* | | | 3,570,311 | |
| | 1,652 | | | Azenta Inc.* | | | 107,628 | |
| | 561 | | | Bio-Rad Laboratories Inc., Class A Shares* | | | 182,819 | |
| | 4,158 | | | Bio-Techne Corp. | | | 305,904 | |
| | 2,837 | | | Bruker Corp. | | | 245,514 | |
| | 1,414 | | | Charles River Laboratories International Inc.* | | | 359,425 | |
| | 50,281 | | | Danaher Corp. | | | 12,728,132 | |
| | 2,062 | | | Fortrea Holdings Inc.* | | | 77,407 | |
| | 2,220 | | | ICON PLC, ADR* | | | 711,776 | |
| | 4,314 | | | Illumina Inc.* | | | 603,227 | |
| | 4,987 | | | IQVIA Holdings Inc.* | | | 1,232,587 | |
| | 2,546 | | | Maravai LifeSciences Holdings Inc., Class A Shares* | | | 19,681 | |
| | 630 | | | Medpace Holdings Inc.* | | | 250,438 | |
| | 594 | | | Mettler-Toledo International Inc.* | | | 740,849 | |
| | 6,159 | | | QIAGEN NV* | | | 263,544 | |
| | 1,545 | | | Repligen Corp.* | | | 299,714 | |
| | 3,374 | | | Revvity Inc. | | | 369,757 | |
| | 2,422 | | | Sotera Health Co.* | | | 36,354 | |
| | 30,085 | | | Thermo Fisher Scientific Inc. | | | 17,153,865 | |
| | 1,604 | | | Waters Corp.* | | | 541,222 | |
| | 2,018 | | | West Pharmaceutical Services Inc. | | | 723,170 | |
| | | | | | | | |
| | | | Total Life Sciences Tools & Services | | | 41,738,552 | |
| | | | | | | | |
|
| Pharmaceuticals — 3.4% | |
| | 122,203 | | | Bristol-Myers Squibb Co. | | | 6,201,802 | |
| | 4,805 | | | Catalent Inc.* | | | 275,519 | |
| | 13,091 | | | Elanco Animal Health Inc.* | | | 208,016 | |
| | 26,089 | | | Eli Lilly & Co. | | | 19,662,758 | |
| | 1,733 | | | Jazz Pharmaceuticals PLC* | | | 206,054 | |
| | 93,696 | | | Johnson & Johnson | | | 15,120,660 | |
| | 141,009 | | | Merck & Co., Inc. | | | 17,929,294 | |
| | 7,027 | | | Organon & Co. | | | 122,340 | |
| | 3,629 | | | Perrigo Co. PLC | | | 95,298 | |
| | 154,157 | | | Pfizer Inc. | | | 4,094,410 | |
| | 10,349 | | | Royalty Pharma PLC, Class A Shares | | | 313,989 | |
| | 33,031 | | | Viatris Inc. | | | 408,593 | |
| | 42,630 | | | Zoetis Inc., Class A Shares | | | 8,454,808 | |
| | | | | | | | |
| | | | Total Pharmaceuticals | | | 73,093,541 | |
| | | | | | | | |
| | | | TOTAL HEALTH CARE | | | 274,237,959 | |
| | | | | | | | |
|
| INDUSTRIALS — 11.1% | |
|
| Aerospace & Defense — 2.3% | |
| | 1,907 | | | Axon Enterprise Inc.* | | | 586,155 | |
| | 15,213 | | | Boeing Co. (The)* | | | 3,099,192 | |
| | 2,439 | | | BWX Technologies Inc. | | | 245,924 | |
| | 1,019 | | | Curtiss-Wright Corp. | | | 240,759 | |
See Notes to Financial Statements.
14
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| INDUSTRIALS — 11.1% — (continued) | |
|
| Aerospace & Defense — 2.3% — (continued) | |
| | 6,677 | | | General Dynamics Corp. | | $ | 1,824,490 | |
| | 1,205 | | | HEICO Corp. | | | 233,047 | |
| | 27,226 | | | HEICO Corp., Class A Shares | | | 4,236,093 | |
| | 2,251 | | | Hexcel Corp. | | | 167,609 | |
| | 10,348 | | | Howmet Aerospace Inc. | | | 688,659 | |
| | 1,093 | | | Huntington Ingalls Industries Inc. | | | 318,741 | |
| | 5,158 | | | L3Harris Technologies Inc. | | | 1,091,742 | |
| | 6,047 | | | Lockheed Martin Corp. | | | 2,589,567 | |
| | 1,373 | | | Mercury Systems Inc.* | | | 41,012 | |
| | 9,077 | | | Northrop Grumman Corp. | | | 4,184,679 | |
| | 119,815 | | | RTX Corp. | | | 10,743,811 | |
| | 2,918 | | | Spirit AeroSystems Holdings Inc., Class A Shares* | | | 83,455 | |
| | 57,153 | | | Textron Inc. | | | 5,090,618 | |
| | 11,266 | | | TransDigm Group Inc. | | | 13,268,419 | |
| | 1,671 | | | Woodward Inc. | | | 236,430 | |
| | | | | | | | |
| | | | Total Aerospace & Defense | | | 48,970,402 | |
| | | | | | | | |
|
| Air Freight & Logistics — 0.3% | |
| | 3,071 | | | CH Robinson Worldwide Inc. | | | 227,500 | |
| | 4,065 | | | Expeditors International of Washington Inc. | | | 486,174 | |
| | 6,326 | | | FedEx Corp. | | | 1,574,984 | |
| | 3,126 | | | GXO Logistics Inc.* | | | 161,802 | |
| | 28,167 | | | United Parcel Service Inc., Class B Shares | | | 4,176,039 | |
| | | | | | | | |
| | | | Total Air Freight & Logistics | | | 6,626,499 | |
| | | | | | | | |
|
| Building Products — 0.8% | |
| | 1,821 | | | Advanced Drainage Systems Inc. | | | 297,260 | |
| | 2,443 | | | Allegion PLC | | | 312,386 | |
| | 3,278 | | | AO Smith Corp. | | | 271,746 | |
| | 1,208 | | | Armstrong World Industries Inc. | | | 145,697 | |
| | 3,654 | | | AZEK Co., Inc. (The), Class A Shares* | | | 175,794 | |
| | 3,402 | | | Builders FirstSource Inc.* | | | 664,002 | |
| | 1,326 | | | Carlisle Cos., Inc. | | | 464,100 | |
| | 99,552 | | | Carrier Global Corp. | | | 5,533,100 | |
| | 3,377 | | | Fortune Brands Innovations Inc. | | | 274,685 | |
| | 3,435 | | | Hayward Holdings Inc.* | | | 50,804 | |
| | 18,597 | | | Johnson Controls International PLC | | | 1,102,244 | |
| | 883 | | | Lennox International Inc. | | | 416,079 | |
| | 6,186 | | | Masco Corp. | | | 474,837 | |
| | 30,341 | | | Owens Corning | | | 4,544,475 | |
| | 6,210 | | | Trane Technologies PLC | | | 1,751,034 | |
| | 2,901 | | | Trex Co., Inc.* | | | 266,196 | |
| | | | | | | | |
| | | | Total Building Products | | | 16,744,439 | |
| | | | | | | | |
|
| Commercial Services & Supplies — 0.9% | |
| | 2,363 | | | Cintas Corp. | | | 1,485,406 | |
| | 1,352 | | | Clean Harbors Inc.* | | | 246,199 | |
| | 131,479 | | | Copart Inc.* | | | 6,988,109 | |
| | 1,448 | | | Driven Brands Holdings Inc.* | | | 19,968 | |
| | 984 | | | MSA Safety Inc. | | | 181,204 | |
| | 5,040 | | | RB Global Inc. | | | 382,586 | |
| | 5,663 | | | Republic Services Inc., Class A Shares | | | 1,039,727 | |
| | 7,103 | | | Rollins Inc. | | | 313,029 | |
| | 2,500 | | | Stericycle Inc.* | | | 135,975 | |
| | 1,416 | | | Tetra Tech Inc. | | | 251,085 | |
| | 6,021 | | | Veralto Corp. | | | 520,335 | |
See Notes to Financial Statements.
15
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| INDUSTRIALS — 11.1% — (continued) | |
|
| Commercial Services & Supplies — 0.9% — (continued) | |
| | 3,128 | | | Vestis Corp. | | $ | 58,681 | |
| | 37,622 | | | Waste Management Inc. | | | 7,736,964 | |
| | | | | | | | |
| | | | Total Commercial Services & Supplies | | | 19,359,268 | |
| | | | | | | | |
|
| Construction & Engineering — 0.4% | |
| | 3,642 | | | AECOM | | | 323,519 | |
| | 1,252 | | | EMCOR Group Inc. | | | 392,527 | |
| | 1,661 | | | MasTec Inc.* | | | 125,339 | |
| | 5,397 | | | MDU Resources Group Inc. | | | 117,007 | |
| | 32,485 | | | Quanta Services Inc. | | | 7,845,452 | |
| | 554 | | | Valmont Industries Inc. | | | 117,409 | |
| | 5,254 | | | WillScot Mobile Mini Holdings Corp.* | | | 250,879 | |
| | | | | | | | |
| | | | Total Construction & Engineering | | | 9,172,132 | |
| | | | | | | | |
|
| Electrical Equipment — 0.7% | |
| | 834 | | | Acuity Brands Inc. | | | 209,534 | |
| | 6,272 | | | AMETEK Inc. | | | 1,130,089 | |
| | 7,292 | | | ChargePoint Holdings Inc.*(c) | | | 15,094 | |
| | 22,114 | | | Eaton Corp. PLC | | | 6,390,946 | |
| | 15,568 | | | Emerson Electric Co. | | | 1,663,441 | |
| | 1,625 | | | Generac Holdings Inc.* | | | 182,829 | |
| | 1,467 | | | Hubbell Inc., Class B Shares | | | 558,443 | |
| | 4,591 | | | nVent Electric PLC | | | 309,066 | |
| | 14,462 | | | Plug Power Inc.* | | | 51,051 | |
| | 1,767 | | | Regal Rexnord Corp. | | | 303,023 | |
| | 14,186 | | | Rockwell Automation Inc. | | | 4,044,145 | |
| | 4,029 | | | Sensata Technologies Holding PLC | | | 138,678 | |
| | 5,737 | | | Sunrun Inc.* | | | 69,073 | |
| | 9,377 | | | Vertiv Holdings Co., Class A Shares | | | 634,073 | |
| | | | | | | | |
| | | | Total Electrical Equipment | | | 15,699,485 | |
| | | | | | | | |
|
| Ground Transportation — 1.6% | |
| | 546 | | | Avis Budget Group Inc. | | | 58,990 | |
| | 203,170 | | | CSX Corp. | | | 7,708,270 | |
| | 4,858 | | | Hertz Global Holdings Inc.* | | | 38,135 | |
| | 2,258 | | | JB Hunt Transport Services Inc. | | | 465,848 | |
| | 4,172 | | | Knight-Swift Transportation Holdings Inc., Class A Shares | | | 235,050 | |
| | 955 | | | Landstar System Inc. | | | 181,641 | |
| | 9,253 | | | Lyft Inc., Class A Shares* | | | 146,938 | |
| | 6,197 | | | Norfolk Southern Corp. | | | 1,570,196 | |
| | 2,690 | | | Old Dominion Freight Line Inc. | | | 1,190,271 | |
| | 1,175 | | | Ryder System Inc. | | | 134,068 | |
| | 733 | | | Saia Inc.* | | | 421,768 | |
| | 1,269 | | | Schneider National Inc., Class B Shares | | | 29,885 | |
| | 92,429 | | | Uber Technologies Inc.* | | | 7,348,106 | |
| | 219 | | | U-Haul Holding Co.* | | | 14,099 | |
| | 2,680 | | | U-Haul Holding Co.-Non Voting | | | 170,368 | |
| | 51,796 | | | Union Pacific Corp. | | | 13,140,127 | |
| | 3,151 | | | XPO Inc.* | | | 379,128 | |
| | | | | | | | |
| | | | Total Ground Transportation | | | 33,232,888 | |
| | | | | | | | |
|
| Industrial Conglomerates — 0.7% | |
| | 14,999 | | | 3M Co. | | | 1,381,708 | |
| | 29,578 | | | General Electric Co. | | | 4,640,492 | |
| | 49,570 | | | Honeywell International Inc. | | | 9,851,046 | |
| | | | | | | | |
| | | | Total Industrial Conglomerates | | | 15,873,246 | |
| | | | | | | | |
See Notes to Financial Statements.
16
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| INDUSTRIALS — 11.1% — (continued) | |
|
| Machinery — 2.0% | |
| | 1,672 | | | AGCO Corp. | | $ | 183,419 | |
| | 2,466 | | | Allison Transmission Holdings Inc. | | | 185,764 | |
| | 29,883 | | | Caterpillar Inc. | | | 9,979,727 | |
| | 27,127 | | | CNH Industrial NV | | | 324,168 | |
| | 1,281 | | | Crane Co. | | | 155,718 | |
| | 3,840 | | | Cummins Inc. | | | 1,031,463 | |
| | 7,216 | | | Deere & Co. | | | 2,634,201 | |
| | 3,234 | | | Donaldson Co., Inc. | | | 231,619 | |
| | 3,806 | | | Dover Corp. | | | 629,436 | |
| | 1,507 | | | Esab Corp. | | | 149,374 | |
| | 3,494 | | | Flowserve Corp. | | | 147,866 | |
| | 9,642 | | | Fortive Corp. | | | 820,824 | |
| | 3,074 | | | Gates Industrial Corp. PLC* | | | 45,249 | |
| | 4,608 | | | Graco Inc. | | | 420,526 | |
| | 2,077 | | | IDEX Corp. | | | 489,964 | |
| | 8,166 | | | Illinois Tool Works Inc. | | | 2,140,717 | |
| | 10,973 | | | Ingersoll Rand Inc. | | | 1,002,164 | |
| | 2,307 | | | ITT Inc. | | | 291,005 | |
| | 1,547 | | | Lincoln Electric Holdings Inc. | | | 396,960 | |
| | 1,421 | | | Middleby Corp. (The)* | | | 216,219 | |
| | 1,577 | | | Nordson Corp. | | | 418,930 | |
| | 1,741 | | | Oshkosh Corp. | | | 193,007 | |
| | 79,068 | | | Otis Worldwide Corp. | | | 7,535,180 | |
| | 13,982 | | | PACCAR Inc. | | | 1,550,464 | |
| | 16,643 | | | Parker-Hannifin Corp. | | | 8,911,494 | |
| | 4,552 | | | Pentair PLC | | | 354,100 | |
| | 755 | | | RBC Bearings Inc.* | | | 205,987 | |
| | 1,434 | | | Snap-on Inc. | | | 395,297 | |
| | 4,231 | | | Stanley Black & Decker Inc. | | | 377,786 | |
| | 1,671 | | | Timken Co. (The) | | | 140,347 | |
| | 2,781 | | | Toro Co. (The) | | | 256,714 | |
| | 4,861 | | | Westinghouse Air Brake Technologies Corp. | | | 686,811 | |
| | 6,466 | | | Xylem Inc. | | | 821,505 | |
| | | | | | | | |
| | | | Total Machinery | | | 43,324,005 | |
| | | | | | | | |
|
| Marine Transportation — 0.0%@ | |
| | 1,593 | | | Kirby Corp.* | | | 139,738 | |
| | | | | | | | |
|
| Passenger Airlines — 0.2% | |
| | 3,406 | | | Alaska Air Group Inc.* | | | 127,350 | |
| | 17,354 | | | American Airlines Group Inc.* | | | 272,111 | |
| | 17,497 | | | Delta Air Lines Inc. | | | 739,598 | |
| | 80,828 | | | Southwest Airlines Co. | | | 2,769,976 | |
| | 9,032 | | | United Airlines Holdings Inc.* | | | 410,866 | |
| | | | | | | | |
| | | | Total Passenger Airlines | | | 4,319,901 | |
| | | | | | | | |
|
| Professional Services — 0.7% | |
| | 11,283 | | | Automatic Data Processing Inc. | | | 2,833,500 | |
| | 3,475 | | | Booz Allen Hamilton Holding Corp., Class A Shares | | | 513,292 | |
| | 3,196 | | | Broadridge Financial Solutions Inc. | | | 650,642 | |
| | 603 | | | CACI International Inc., Class A Shares* | | | 226,035 | |
| | 12,572 | | | Clarivate PLC* | | | 90,267 | |
| | 1,249 | | | Concentrix Corp. | | | 90,490 | |
| | 3,941 | | | Dayforce Inc.* | | | 274,924 | |
| | 7,708 | | | Dun & Bradstreet Holdings Inc. | | | 81,242 | |
| | 3,322 | | | Equifax Inc. | | | 908,866 | |
See Notes to Financial Statements.
17
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| INDUSTRIALS — 11.1% — (continued) | |
|
| Professional Services — 0.7% — (continued) | |
| | 889 | | | FTI Consulting Inc.* | | $ | 183,916 | |
| | 4,789 | | | Genpact Ltd. | | | 162,826 | |
| | 3,450 | | | Jacobs Solutions Inc. | | | 505,943 | |
| | 3,613 | | | KBR Inc. | | | 216,888 | |
| | 3,758 | | | Leidos Holdings Inc. | | | 480,498 | |
| | 1,392 | | | ManpowerGroup Inc. | | | 100,447 | |
| | 8,807 | | | Paychex Inc. | | | 1,079,914 | |
| | 1,380 | | | Paycom Software Inc. | | | 251,698 | |
| | 1,976 | | | Paycor HCM Inc.* | | | 41,733 | |
| | 1,122 | | | Paylocity Holding Corp.* | | | 189,180 | |
| | 2,810 | | | Robert Half Inc. | | | 225,924 | |
| | 1,436 | | | Science Applications International Corp. | | | 200,983 | |
| | 6,013 | | | SS&C Technologies Holdings Inc. | | | 383,389 | |
| | 5,343 | | | TransUnion | | | 414,777 | |
| | 23,341 | | | Verisk Analytics Inc., Class A Shares | | | 5,646,188 | |
| | | | | | | | |
| | | | Total Professional Services | | | 15,753,562 | |
| | | | | | | | |
|
| Trading Companies & Distributors — 0.5% | |
| | 2,818 | | | Air Lease Corp., Class A Shares | | | 113,002 | |
| | 4,450 | | | Core & Main Inc., Class A Shares* | | | 212,398 | |
| | 15,570 | | | Fastenal Co. | | | 1,136,766 | |
| | 5,515 | | | Ferguson PLC | | | 1,166,147 | |
| | 1,233 | | | MSC Industrial Direct Co., Inc., Class A Shares | | | 124,459 | |
| | 1,187 | | | SiteOne Landscape Supply Inc.* | | | 199,986 | |
| | 1,834 | | | United Rentals Inc. | | | 1,271,457 | |
| | 919 | | | Watsco Inc. | | | 362,196 | |
| | 1,182 | | | WESCO International Inc. | | | 176,697 | |
| | 4,767 | | | WW Grainger Inc. | | | 4,640,484 | |
| | | | | | | | |
| | | | Total Trading Companies & Distributors | | | 9,403,592 | |
| | | | | | | | |
| | | | TOTAL INDUSTRIALS | | | 238,619,157 | |
| | | | | | | | |
|
| INFORMATION TECHNOLOGY — 24.0% | |
|
| Communications Equipment — 0.7% | |
| | 6,839 | | | Arista Networks Inc.* | | | 1,898,096 | |
| | 3,962 | | | Ciena Corp.* | | | 225,755 | |
| | 110,632 | | | Cisco Systems Inc. | | | 5,351,270 | |
| | 1,610 | | | F5 Inc.* | | | 301,424 | |
| | 8,842 | | | Juniper Networks Inc. | | | 327,419 | |
| | 1,935 | | | Lumentum Holdings Inc.* | | | 93,789 | |
| | 19,914 | | | Motorola Solutions Inc. | | | 6,579,387 | |
| | 142 | | | Ubiquiti Inc. | | | 16,640 | |
| | 3,369 | | | ViaSat Inc.* | | | 65,931 | |
| | | | | | | | |
| | | | Total Communications Equipment | | | 14,859,711 | |
| | | | | | | | |
|
| Electronic Equipment, Instruments & Components — 0.3% | |
| | 15,901 | | | Amphenol Corp., Class A Shares . | | | 1,737,025 | |
| | 1,531 | | | Arrow Electronics Inc.* | | | 179,892 | |
| | 2,440 | | | Avnet Inc. | | | 113,680 | |
| | 3,665 | | | CDW Corp. | | | 902,360 | |
| | 4,615 | | | Cognex Corp. | | | 182,062 | |
| | 3,500 | | | Coherent Corp.* | | | 208,180 | |
| | 20,739 | | | Corning Inc. | | | 668,625 | |
| | 1,310 | | | Crane NXT Co. | | | 76,530 | |
| | 827 | | | IPG Photonics Corp.* | | | 71,411 | |
| | 3,408 | | | Jabil Inc. | | | 491,059 | |
See Notes to Financial Statements.
18
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| INFORMATION TECHNOLOGY — 24.0% — (continued) | |
|
| Electronic Equipment, Instruments & Components — 0.3% — (continued) | |
| | 4,838 | | | Keysight Technologies Inc.* | | $ | 746,503 | |
| | 646 | | | Littelfuse Inc. | | | 153,903 | |
| | 1,583 | | | TD SYNNEX Corp. | | | 164,474 | |
| | 1,274 | | | Teledyne Technologies Inc.* | | | 544,342 | |
| | 6,825 | | | Trimble Inc.* | | | 417,622 | |
| | 4,157 | | | Vontier Corp. | | | 178,751 | |
| | 1,419 | | | Zebra Technologies Corp., Class A Shares* | | | 396,582 | |
| | | | | | | | |
| | | | Total Electronic Equipment, Instruments & Components | | | 7,233,001 | |
| | | | | | | | |
|
| IT Services — 1.1% | |
| | 17,239 | | | Accenture PLC, Class A Shares | | | 6,460,832 | |
| | 4,112 | | | Akamai Technologies Inc.* | | | 456,103 | |
| | 3,178 | | | Amdocs Ltd. | | | 289,834 | |
| | 7,987 | | | Cloudflare Inc., Class A Shares* | | | 787,039 | |
| | 13,853 | | | Cognizant Technology Solutions Corp., Class A Shares | | | 1,094,664 | |
| | 5,429 | | | DXC Technology Co.* | | | 118,678 | |
| | 1,530 | | | EPAM Systems Inc.* | | | 465,732 | |
| | 2,104 | | | Gartner Inc.* | | | 979,538 | |
| | 1,101 | | | Globant SA* | | | 245,710 | |
| | 4,119 | | | GoDaddy Inc., Class A Shares* | | | 470,184 | |
| | 24,790 | | | International Business Machines Corp. | | | 4,586,894 | |
| | 6,314 | | | Kyndryl Holdings Inc.* | | | 138,719 | |
| | 1,832 | | | MongoDB Inc., Class A Shares* | | | 819,966 | |
| | 4,163 | | | Okta Inc., Class A Shares* | | | 446,690 | |
| | 8,574 | | | Snowflake Inc., Class A Shares* | | | 1,614,313 | |
| | 4,703 | | | Twilio Inc., Class A Shares* | | | 280,252 | |
| | 26,502 | | | VeriSign Inc.* | | | 5,175,575 | |
| | | | | | | | |
| | | | Total IT Services | | | 24,430,723 | |
| | | | | | | | |
|
| Semiconductors & Semiconductor Equipment — 7.1% | |
| | 43,731 | | | Advanced Micro Devices Inc.* | | | 8,419,529 | |
| | 2,260 | | | Allegro MicroSystems Inc.* | | | 71,167 | |
| | 45,728 | | | Analog Devices Inc. | | | 8,771,545 | |
| | 22,796 | | | Applied Materials Inc. | | | 4,596,130 | |
| | 2,870 | | | ASML Holding NV, Class REG Shares, ADR | | | 2,731,322 | |
| | 15,904 | | | Broadcom Inc. | | | 20,682,993 | |
| | 1,475 | | | Cirrus Logic Inc.* | | | 135,435 | |
| | 3,663 | | | Enphase Energy Inc.* | | | 465,238 | |
| | 4,095 | | | Entegris Inc. | | | 550,204 | |
| | 2,930 | | | First Solar Inc.* | | | 450,898 | |
| | 2,099 | | | GLOBALFOUNDRIES Inc.*(c) | | | 114,752 | |
| | 147,026 | | | Intel Corp. | | | 6,329,469 | |
| | 3,742 | | | KLA Corp. | | | 2,553,167 | |
| | 3,587 | | | Lam Research Corp. | | | 3,365,503 | |
| | 3,640 | | | Lattice Semiconductor Corp.* | | | 278,860 | |
| | 23,305 | | | Marvell Technology Inc. | | | 1,670,036 | |
| | 14,667 | | | Microchip Technology Inc. | | | 1,234,081 | |
| | 85,349 | | | Micron Technology Inc. | | | 7,733,473 | |
| | 1,773 | | | MKS Instruments Inc. | | | 217,654 | |
| | 1,259 | | | Monolithic Power Systems Inc. | | | 906,530 | |
| | 82,387 | | | NVIDIA Corp. | | | 65,178,004 | |
| | 42,331 | | | ON Semiconductor Corp.* | | | 3,340,763 | |
| | 2,728 | | | Qorvo Inc.* | | | 312,492 | |
| | 30,437 | | | QUALCOMM Inc. | | | 4,802,654 | |
| | 26,415 | | | Skyworks Solutions Inc. | | | 2,771,462 | |
| | 4,165 | | | Teradyne Inc. | | | 431,452 | |
See Notes to Financial Statements.
19
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| INFORMATION TECHNOLOGY — 24.0% — (continued) | |
|
| Semiconductors & Semiconductor Equipment — 7.1% — (continued) | |
| | 24,766 | | | Texas Instruments Inc. | | $ | 4,144,095 | |
| | 1,248 | | | Universal Display Corp. | | | 217,676 | |
| | 3,321 | | | Wolfspeed Inc.* | | | 86,412 | |
| | | | | | | | |
| | | | Total Semiconductors & Semiconductor Equipment | | | 152,562,996 | |
| | | | | | | | |
|
| Software — 11.1% | |
| | 34,855 | | | Adobe Inc.* | | | 19,528,559 | |
| | 1,588 | | | Alteryx Inc., Class A Shares* | | | 76,288 | |
| | 2,366 | | | ANSYS Inc.* | | | 790,646 | |
| | 5,695 | | | AppLovin Corp., Class A Shares* | | | 340,105 | |
| | 753 | | | Aspen Technology Inc.* | | | 145,999 | |
| | 11,011 | | | Atlassian Corp., Class A Shares* | | | 2,283,902 | |
| | 5,861 | | | Autodesk Inc.* | | | 1,513,134 | |
| | 5,362 | | | Bentley Systems Inc., Class B Shares . | | | 275,446 | |
| | 2,740 | | | BILL Holdings Inc.* | | | 173,524 | |
| | 7,374 | | | Cadence Design Systems Inc.* | | | 2,244,498 | |
| | 5,037 | | | CCC Intelligent Solutions Holdings Inc.* | | | 58,983 | |
| | 4,944 | | | Confluent Inc., Class A Shares* | | | 167,453 | |
| | 5,820 | | | Crowdstrike Holdings Inc., Class A Shares* | | | 1,886,553 | |
| | 7,400 | | | Datadog Inc., Class A Shares* | | | 972,804 | |
| | 5,648 | | | DocuSign Inc., Class A Shares* | | | 300,869 | |
| | 1,588 | | | Dolby Laboratories Inc., Class A Shares . | | | 128,628 | |
| | 3,805 | | | DoubleVerify Holdings Inc.* | | | 117,536 | |
| | 6,897 | | | Dropbox Inc., Class A Shares* | | | 165,183 | |
| | 6,631 | | | Dynatrace Inc.* | | | 328,566 | |
| | 2,176 | | | Elastic NV* | | | 291,171 | |
| | 661 | | | Fair Isaac Corp.* | | | 839,411 | |
| | 1,914 | | | Five9 Inc.* | | | 116,754 | |
| | 17,947 | | | Fortinet Inc.* | | | 1,240,317 | |
| | 15,399 | | | Gen Digital Inc. | | | 330,925 | |
| | 2,386 | | | Gitlab Inc., Class A Shares* | | | 172,078 | |
| | 2,179 | | | Guidewire Software Inc.* | | | 260,042 | |
| | 2,623 | | | HashiCorp Inc., Class A Shares* | | | 68,382 | |
| | 1,245 | | | HubSpot Inc.* | | | 770,418 | |
| | 1,263 | | | Informatica Inc., Class A Shares* | | | 41,149 | |
| | 26,142 | | | Intuit Inc. | | | 17,329,270 | |
| | 1,697 | | | Manhattan Associates Inc.* | | | 429,901 | |
| | 307,443 | | | Microsoft Corp. | | | 127,170,723 | |
| | 2,088 | | | nCino Inc.* | | | 62,306 | |
| | 3,408 | | | NCR Voyix Corp.* | | | 49,791 | |
| | 6,550 | | | Nutanix Inc., Class A Shares* | | | 413,698 | |
| | 146,438 | | | Oracle Corp. | | | 16,354,196 | |
| | 51,937 | | | Palantir Technologies Inc., Class A Shares* | | | 1,302,580 | |
| | 19,112 | | | Palo Alto Networks Inc.* | | | 5,935,232 | |
| | 1,187 | | | Pegasystems Inc. | | | 77,202 | |
| | 2,097 | | | Procore Technologies Inc.* | | | 163,629 | |
| | 3,131 | | | PTC Inc.* | | | 573,004 | |
| | 2,347 | | | RingCentral Inc., Class A Shares* | | | 78,437 | |
| | 14,551 | | | Roper Technologies Inc. | | | 7,926,366 | |
| | 38,077 | | | Salesforce Inc.* | | | 11,758,939 | |
| | 6,304 | | | SentinelOne Inc., Class A Shares* | | | 177,584 | |
| | 5,555 | | | ServiceNow Inc.* | | | 4,284,794 | |
| | 3,392 | | | Smartsheet Inc., Class A Shares* | | | 143,176 | |
| | 4,194 | | | Splunk Inc.* | | | 655,187 | |
| | 4,144 | | | Synopsys Inc.* | | | 2,377,537 | |
See Notes to Financial Statements.
20
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| INFORMATION TECHNOLOGY — 24.0% — (continued) | |
|
| Software — 11.1% — (continued) | |
| | 2,698 | | | Teradata Corp.* | | $ | 101,499 | |
| | 1,141 | | | Tyler Technologies Inc.* | | | 498,777 | |
| | 10,504 | | | UiPath Inc., Class A Shares* | | | 249,470 | |
| | 8,026 | | | Unity Software Inc.* | | | 235,322 | |
| | 13,094 | | | Workday Inc., Class A Shares* | | | 3,858,278 | |
| | 6,867 | | | Zoom Video Communications Inc., Class A Shares* | | | 485,703 | |
| | 2,387 | | | Zscaler Inc.* | | | 577,582 | |
| | | | | | | | |
| | | | Total Software | | | 238,899,506 | |
| | | | | | | | |
|
| Technology Hardware, Storage & Peripherals — 3.7% | |
| | 431,811 | | | Apple Inc. | | | 78,049,838 | |
| | 34,567 | | | Hewlett Packard Enterprise Co. | | | 526,455 | |
| | 23,560 | | | HP Inc. | | | 667,455 | |
| | 5,776 | | | NetApp Inc. | | | 514,757 | |
| | 7,855 | | | Pure Storage Inc., Class A Shares* | | | 413,566 | |
| | 8,769 | | | Western Digital Corp.* | | | 521,493 | |
| | | | | | | | |
| | | | Total Technology Hardware, Storage & Peripherals | | | 80,693,564 | |
| | | | | | | | |
| | | | TOTAL INFORMATION TECHNOLOGY | | | 518,679,501 | |
| | | | | | | | |
|
| MATERIALS — 2.7% | |
|
| Chemicals — 1.6% | |
| | 21,347 | | | Air Products & Chemicals Inc. | | | 4,996,052 | |
| | 3,238 | | | Albemarle Corp. | | | 446,358 | |
| | 1,313 | | | Ashland Inc. | | | 122,949 | |
| | 5,911 | | | Axalta Coating Systems Ltd.* | | | 193,467 | |
| | 2,725 | | | Celanese Corp., Class A Shares | | | 414,118 | |
| | 5,224 | | | CF Industries Holdings Inc. | | | 421,681 | |
| | 3,971 | | | Chemours Co. (The) | | | 78,110 | |
| | 19,453 | | | Corteva Inc. | | | 1,041,124 | |
| | 19,378 | | | Dow Inc. | | | 1,082,843 | |
| | 63,920 | | | DuPont de Nemours Inc. | | | 4,422,625 | |
| | 3,168 | | | Eastman Chemical Co. | | | 277,960 | |
| | 6,776 | | | Ecolab Inc. | | | 1,523,516 | |
| | 6,185 | | | Element Solutions Inc. | | | 145,347 | |
| | 3,336 | | | FMC Corp. | | | 188,117 | |
| | 43,532 | | | Ginkgo Bioworks Holdings Inc.*(c) | | | 66,169 | |
| | 4,616 | | | Huntsman Corp. | | | 118,170 | |
| | 6,976 | | | International Flavors & Fragrances Inc. | | | 526,688 | |
| | 21,623 | | | Linde PLC | | | 9,704,835 | |
| | 6,915 | | | LyondellBasell Industries NV, Class A Shares | | | 693,436 | |
| | 8,842 | | | Mosaic Co. (The) | | | 275,517 | |
| | 176 | | | NewMarket Corp. | | | 112,934 | |
| | 3,450 | | | Olin Corp. | | | 185,610 | |
| | 6,354 | | | PPG Industries Inc. | | | 899,726 | |
| | 3,516 | | | RPM International Inc. | | | 405,571 | |
| | 1,178 | | | Scotts Miracle-Gro Co. (The) | | | 77,395 | |
| | 19,834 | | | Sherwin-Williams Co. (The) | | | 6,585,483 | |
| | 904 | | | Westlake Corp. | | | 125,394 | |
| | | | | | | | |
| | | | Total Chemicals | | | 35,131,195 | |
| | | | | | | | |
|
| Construction Materials — 0.5% | |
| | 956 | | | Eagle Materials Inc. | | | 242,394 | |
| | 9,502 | | | Martin Marietta Materials Inc. | | | 5,489,400 | |
| | 18,598 | | | Vulcan Materials Co. | | | 4,944,278 | |
| | | | | | | | |
| | | | Total Construction Materials | | | 10,676,072 | |
| | | | | | | | |
See Notes to Financial Statements.
21
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| MATERIALS — 2.7% — (continued) | |
|
| Containers & Packaging — 0.2% | |
| | 39,543 | | | Amcor PLC | | $ | 358,259 | |
| | 1,747 | | | AptarGroup Inc. | | | 245,384 | |
| | 532 | | | Ardagh Group SA, Class A Shares*(a)(b) | | | 2,490 | |
| | 3,600 | | | Ardagh Metal Packaging SA | | | 11,808 | |
| | 2,219 | | | Avery Dennison Corp. | | | 480,480 | |
| | 8,447 | | | Ball Corp. | | | 540,777 | |
| | 3,185 | | | Berry Global Group Inc. | | | 185,399 | |
| | 2,834 | | | Crown Holdings Inc. | | | 217,141 | |
| | 8,134 | | | Graphic Packaging Holding Co. | | | 211,077 | |
| | 9,624 | | | International Paper Co. | | | 340,305 | |
| | 2,440 | | | Packaging Corp. of America . | | | 442,103 | |
| | 3,841 | | | Sealed Air Corp. | | | 133,936 | |
| | 2,326 | | | Silgan Holdings Inc. | | | 102,135 | |
| | 2,650 | | | Sonoco Products Co. | | | 150,202 | |
| | 6,787 | | | WestRock Co. | | | 307,383 | |
| | | | | | | | |
| | | | Total Containers & Packaging | | | 3,728,879 | |
| | | | | | | | |
|
| Metals & Mining — 0.4% | |
| | 4,749 | | | Alcoa Corp. | | | 129,220 | |
| | 13,577 | | | Cleveland-Cliffs Inc.* | | | 282,402 | |
| | 134,756 | | | Freeport-McMoRan Inc. | | | 5,095,124 | |
| | 2,631 | | | MP Materials Corp.* | | | 40,017 | |
| | 31,514 | | | Newmont Corp. | | | 984,812 | |
| | 6,797 | | | Nucor Corp. | | | 1,307,063 | |
| | 1,562 | | | Reliance Inc. | | | 501,746 | |
| | 1,752 | | | Royal Gold Inc. | | | 179,808 | |
| | 2,279 | | | Southern Copper Corp. | | | 184,280 | |
| | 5,283 | | | SSR Mining Inc. | | | 22,717 | |
| | 4,293 | | | Steel Dynamics Inc. | | | 574,489 | |
| | 5,990 | | | United States Steel Corp. | | | 283,567 | |
| | | | | | | | |
| | | | Total Metals & Mining | | | 9,585,245 | |
| | | | | | | | |
|
| Paper & Forest Products — 0.0%@ | |
| | 1,811 | | | Louisiana-Pacific Corp. | | | 133,960 | |
| | | | | | | | |
| | | | TOTAL MATERIALS | | | 59,255,351 | |
| | | | | | | | |
|
| REAL ESTATE — 3.5% | |
|
| Diversified REITs — 0.0%@ | |
| | 5,871 | | | WP Carey Inc. | | | 330,713 | |
| | | | | | | | |
|
| Health Care REITs — 0.1% | |
| | 10,147 | | | Healthcare Realty Trust Inc., Class A Shares | | | 139,826 | |
| | 19,249 | | | Healthpeak Properties Inc. | | | 322,421 | |
| | 15,939 | | | Medical Properties Trust Inc.(c) | | | 67,103 | |
| | 6,629 | | | Omega Healthcare Investors Inc. | | | 206,294 | |
| | 10,955 | | | Ventas Inc. | | | 463,287 | |
| | 14,641 | | | Welltower Inc. | | | 1,349,315 | |
| | | | | | | | |
| | | | Total Health Care REITs | | | 2,548,246 | |
| | | | | | | | |
|
| Hotel & Resort REITs — 0.0%@ | |
| | 19,541 | | | Host Hotels & Resorts Inc. | | | 405,280 | |
| | 6,032 | | | Park Hotels & Resorts Inc. | | | 100,131 | |
| | | | | | | | |
| | | | Total Hotel & Resort REITs | | | 505,411 | |
| | | | | | | | |
|
| Industrial REITs — 0.4% | |
| | 7,214 | | | Americold Realty Trust Inc. | | | 182,514 | |
See Notes to Financial Statements.
22
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| REAL ESTATE — 3.5% — (continued) | |
|
| Industrial REITs — 0.4% — (continued) | |
| | 1,238 | | | EastGroup Properties Inc. | | $ | 217,504 | |
| | 3,526 | | | First Industrial Realty Trust Inc. | | | 186,878 | |
| | 62,177 | | | Prologis Inc. | | | 8,286,329 | |
| | 5,715 | | | Rexford Industrial Realty Inc. | | | 290,779 | |
| | 5,136 | | | STAG Industrial Inc. | | | 190,751 | |
| | | | | | | | |
| | | | Total Industrial REITs | | | 9,354,755 | |
| | | | | | | | |
|
| Office REITs — 0.1% | |
| | 4,691 | | | Alexandria Real Estate Equities Inc. | | | 585,108 | |
| | 4,191 | | | Boston Properties Inc. | | | 271,242 | |
| | 4,043 | | | Cousins Properties Inc. | | | 92,221 | |
| | 2,894 | | | Highwoods Properties Inc. | | | 70,758 | |
| | 3,229 | | | Kilroy Realty Corp. | | | 122,347 | |
| | 380 | | | NET Lease Office Properties | | | 9,268 | |
| | 4,873 | | | Vornado Realty Trust | | | 128,160 | |
| | | | | | | | |
| | | | Total Office REITs | | | 1,279,104 | |
| | | | | | | | |
|
| Real Estate Management & Development — 0.4% | |
| | 8,280 | | | CBRE Group Inc., Class A Shares* | | | 760,849 | |
| | 78,723 | | | CoStar Group Inc.* | | | 6,851,263 | |
| | 873 | | | Howard Hughes Holdings Inc.* | | | 66,697 | |
| | 1,266 | | | Jones Lang LaSalle Inc.* | | | 240,844 | |
| | 1,643 | | | Zillow Group Inc., Class A Shares* | | | 88,821 | |
| | 4,127 | | | Zillow Group Inc., Class C Shares* | | | 231,731 | |
| | | | | | | | |
| | | | Total Real Estate Management & Development | | | 8,240,205 | |
| | | | | | | | |
|
| Residential REITs — 0.3% | |
| | 9,257 | | | American Homes 4 Rent, Class A Shares | | | 342,602 | |
| | 3,974 | | | Apartment Income REIT Corp. | | | 120,492 | |
| | 3,864 | | | AvalonBay Communities Inc. | | | 684,044 | |
| | 2,772 | | | Camden Property Trust | | | 261,899 | |
| | 40,510 | | | Equity LifeStyle Properties Inc. | | | 2,727,133 | |
| | 10,182 | | | Equity Residential | | | 613,058 | |
| | 1,761 | | | Essex Property Trust Inc. | | | 407,495 | |
| | 16,718 | | | Invitation Homes Inc. | | | 569,582 | |
| | 3,203 | | | Mid-America Apartment Communities Inc. | | | 402,553 | |
| | 3,385 | | | Sun Communities Inc. | | | 452,778 | |
| | 9,121 | | | UDR Inc. | | | 323,795 | |
| | | | | | | | |
| | | | Total Residential REITs | | | 6,905,431 | |
| | | | | | | | |
|
| Retail REITs — 0.2% | |
| | 2,672 | | | Agree Realty Corp. | | | 146,826 | |
| | 7,997 | | | Brixmor Property Group Inc. | | | 180,812 | |
| | 2,160 | | | Federal Realty Investment Trust | | | 217,836 | |
| | 17,884 | | | Kimco Realty Corp. | | | 353,388 | |
| | 4,847 | | | NNN REIT Inc. | | | 197,224 | |
| | 22,681 | | | Realty Income Corp. | | | 1,181,907 | |
| | 5,029 | | | Regency Centers Corp. | | | 311,547 | |
| | 8,848 | | | Simon Property Group Inc. | | | 1,310,743 | |
| | | | | | | | |
| | | | Total Retail REITs | | | 3,900,283 | |
| | | | | | | | |
|
| Specialized REITs — 2.0% | |
| | 69,893 | | | American Tower Corp. | | | 13,898,922 | |
| | 65,844 | | | Crown Castle Inc. | | | 7,238,889 | |
| | 6,262 | | | CubeSmart | | | 273,086 | |
| | 8,237 | | | Digital Realty Trust Inc. | | | 1,209,274 | |
See Notes to Financial Statements.
23
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| REAL ESTATE — 3.5% — (continued) | |
|
| Specialized REITs — 2.0% — (continued) | |
| | 2,088 | | | EPR Properties | | $ | 85,775 | |
| | 4,776 | | | Equinix Inc. | | | 4,245,004 | |
| | 5,672 | | | Extra Space Storage Inc. | | | 799,582 | |
| | 6,972 | | | Gaming and Leisure Properties Inc. | | | 317,087 | |
| | 7,924 | | | Iron Mountain Inc. | | | 623,143 | |
| | 2,321 | | | Lamar Advertising Co., Class A Shares | | | 256,587 | |
| | 2,067 | | | National Storage Affiliates Trust | | | 74,019 | |
| | 40,648 | | | Public Storage | | | 11,538,748 | |
| | 3,921 | | | Rayonier Inc. | | | 135,000 | |
| | 4,594 | | | SBA Communications Corp., Class A Shares . | | | 961,203 | |
| | 28,313 | | | VICI Properties Inc., Class A Shares | | | 847,408 | |
| | 19,969 | | | Weyerhaeuser Co. | | | 686,534 | |
| | | | | | | | |
| | | | Total Specialized REITs | | | 43,190,261 | |
| | | | | | | | |
| | | | TOTAL REAL ESTATE | | | 76,254,409 | |
| | | | | | | | |
|
| UTILITIES — 1.8% | |
|
| Electric Utilities — 1.3% | |
| | 6,976 | | | Alliant Energy Corp. | | | 333,104 | |
| | 14,079 | | | American Electric Power Co., Inc. | | | 1,199,390 | |
| | 2,031 | | | Avangrid Inc. | | | 63,225 | |
| | 8,758 | | | Constellation Energy Corp. | | | 1,475,285 | |
| | 84,087 | | | Duke Energy Corp. | | | 7,721,709 | |
| | 10,306 | | | Edison International | | | 701,014 | |
| | 5,786 | | | Entergy Corp. | | | 587,684 | |
| | 6,204 | | | Evergy Inc. | | | 307,346 | |
| | 9,550 | | | Eversource Energy | | | 560,585 | |
| | 27,112 | | | Exelon Corp. | | | 971,694 | |
| | 14,904 | | | FirstEnergy Corp. | | | 545,636 | |
| | 3,447 | | | Hawaiian Electric Industries Inc. | | | 41,985 | |
| | 1,349 | | | IDACORP Inc. | | | 118,861 | |
| | 145,914 | | | NextEra Energy Inc. | | | 8,052,994 | |
| | 6,166 | | | NRG Energy Inc. | | | 341,103 | |
| | 5,341 | | | OGE Energy Corp. | | | 175,772 | |
| | 55,709 | | | PG&E Corp. | | | 929,783 | |
| | 3,025 | | | Pinnacle West Capital Corp. | | | 206,698 | |
| | 20,214 | | | PPL Corp. | | | 533,043 | |
| | 29,728 | | | Southern Co. (The). | | | 1,999,208 | |
| | 33,497 | | | Xcel Energy Inc. | | | 1,764,957 | |
| | | | | | | | |
| | | | Total Electric Utilities | | | 28,631,076 | |
| | | | | | | | |
|
| Gas Utilities — 0.0%@ | |
| | 3,994 | | | Atmos Energy Corp. | | | 450,963 | |
| | 2,373 | | | National Fuel Gas Co. | | | 115,660 | |
| | 5,696 | | | UGI Corp. | | | 139,438 | |
| | | | | | | | |
| | | | Total Gas Utilities | | | 706,061 | |
| | | | | | | | |
|
| Independent Power & Renewable Electricity Producers — 0.1% | |
| | 18,614 | | | AES Corp. (The) | | | 282,933 | |
| | 3,564 | | | Brookfield Renewable Corp., Class A Shares | | | 84,538 | |
| | 845 | | | Clearway Energy Inc., Class A Shares | | | 17,120 | |
| | 2,355 | | | Clearway Energy Inc., Class C Shares | | | 51,339 | |
| | 9,851 | | | Vistra Corp. | | | 537,273 | |
| | | | | | | | |
| | | | Total Independent Power & Renewable Electricity Producers | | | 973,203 | |
| | | | | | | | |
See Notes to Financial Statements.
24
| | | | | | | | |
| Large Cap Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| UTILITIES — 1.8% — (continued) | |
|
| Multi-Utilities — 0.3% | |
| | 7,181 | | | Ameren Corp. | | $ | 511,215 | |
| | 17,321 | | | CenterPoint Energy Inc. | | | 476,328 | |
| | 7,995 | | | CMS Energy Corp. | | | 458,673 | |
| | 9,401 | | | Consolidated Edison Inc. | | | 819,861 | |
| | 22,799 | | | Dominion Energy Inc. | | | 1,090,476 | |
| | 5,625 | | | DTE Energy Co. | | | 609,469 | |
| | 11,545 | | | NiSource Inc. | | | 300,863 | |
| | 13,478 | | | Public Service Enterprise Group Inc. | | | 841,027 | |
| | 17,184 | | | Sempra | | | 1,213,190 | |
| | 8,605 | | | WEC Energy Group Inc. | | | 675,407 | |
| | | | | | | | |
| | | | Total Multi-Utilities | | | 6,996,509 | |
| | | | | | | | |
|
| Water Utilities — 0.1% | |
| | 5,313 | | | American Water Works Co., Inc. | | | 629,803 | |
| | 6,486 | | | Essential Utilities Inc. | | | 225,583 | |
| | | | | | | | |
| | | | Total Water Utilities | | | 855,386 | |
| | | | | | | | |
| | | | TOTAL UTILITIES | | | 38,162,235 | |
| | | | | | | | |
| | | | TOTAL COMMON STOCKS
(Cost — $1,154,298,644) | | | 2,112,581,779 | |
| | | | | | | | |
| | |
Face
Amount† | | | | | | |
|
| SHORT-TERM INVESTMENTS (e) — 2.1% | |
|
| MONEY MARKET FUND — 0.0%@ | |
| $ | 651,450 | | | Invesco STIT — Government & Agency Portfolio, Institutional Class, 5.173%(f)
(Cost — $651,450) | | | 651,450 | |
| | | | | | | | |
|
| TIME DEPOSITS — 2.1% | |
| | 13,653,135 | | | ANZ National Bank — London, 4.680% due 3/1/24 | | | 13,653,135 | |
| | 4,404,053 | | | Barclays Bank PLC — London, 4.680% due 3/1/24 | | | 4,404,053 | |
| | 37,102 | CAD | | BBH — New York, 3.830% due 3/1/24 | | | 27,338 | |
| | 53,527 | | | Citibank — New York, 4.680% due 3/1/24 | | | 53,527 | |
| | 12,673,389 | | | JPMorgan Chase & Co. — New York, 4.680% due 3/1/24 | | | 12,673,389 | |
| | 598,438 | | | Royal Bank of Canada — Toronto, 4.680% due 3/1/24 | | | 598,438 | |
| | 13,840,672 | | | Sumitomo Mitsui Banking Corp. — Tokyo, 4.680% due 3/1/24 | | | 13,840,672 | |
| | | | | | | | |
| | | | TOTAL TIME DEPOSITS
(Cost — $45,250,552) | | | 45,250,552 | |
| | | | | | | | |
| | | | TOTAL SHORT-TERM INVESTMENTS
(Cost — $45,902,002) | | | 45,902,002 | |
| | | | | | | | |
| | | | TOTAL INVESTMENTS — 99.9%
(Cost — $1,200,200,646) | | | 2,158,483,781 | |
| | | | | | | | |
| | | | Other Assets in Excess of Liabilities — 0.1% | | | 2,474,606 | |
| | | | | | | | |
| | | | TOTAL NET ASSETS — 100.0% | | $ | 2,160,958,387 | |
| | | | | | | | |
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
| * | Non-income producing security. |
| @ | The amount is less than 0.05%. |
| (b) | Security is valued in good faith at fair value by or under the direction of the Board of Trustees. |
| (c) | All or a portion of this security is on loan (See Note 1). |
| (d) | Affiliated security (See Note 2). As of February 29, 2024, total cost and total market value of affiliated security amounted to $1,068,560 and $2,822,112, respectively. |
See Notes to Financial Statements.
25
| (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 2.1%. |
| (f) | Represents investments of collateral received from securities lending transactions. |
At February 29, 2024, 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 | | $ | 1,200,200,646 | | | $ | 991,689,106 | | | $ | (32,253,004 | ) | | $ | 959,436,102 | |
| | |
Abbreviations used in this schedule: |
| ADR | | — American Depositary Receipt |
| PLC | | — Public Limited Company |
| REIT | | — Real Estate Investment Trust |
| | | | |
| Summary of Investments by Security Sector^ | | | |
Information Technology | | | 24.0 | % |
Financials | | | 15.7 | |
Health Care | | | 12.7 | |
Industrials | | | 11.1 | |
Consumer Discretionary | | | 9.6 | |
Communication Services | | | 8.7 | |
Consumer Staples | | | 4.6 | |
Real Estate | | | 3.5 | |
Energy | | | 3.5 | |
Materials | | | 2.7 | |
Utilities | | | 1.8 | |
Short-Term Investments | | | 2.1 | |
| | | | |
Total Investments | | | 100.0 | %+ |
| | | | |
| ^ | As a percentage of total investments. |
| + | Does not reflect investments of collateral received from securities lending transactions. |
At February 29, 2024, 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 was 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 Futures | | | 57 | | | | 3/24 | | | $ | 13,447,598 | | | $ | 14,545,688 | | | $ | 1,098,090 | |
S&P MidCap 400 E-mini Index Futures | | | 4 | | | | 3/24 | | | | 1,102,163 | | | | 1,157,040 | | | | 54,877 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | 1,152,967 | |
| | | | | | | | | | | | | | | | | |
At February 29, 2024, Large Cap Equity Fund had deposited cash of $728,984 with a broker or brokers as margin collateral on open exchange-traded futures contracts.
| | |
Currency Abbreviation used in this schedule: |
| CAD | | — Canadian Dollar |
See Notes to Financial Statements.
26
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| COMMON STOCKS — 95.8% | |
|
| COMMUNICATION SERVICES — 1.6% | |
|
| Diversified Telecommunication Services — 0.1% | |
| | 478 | | | | | | | Anterix Inc.* | | $ | 18,977 | |
| | 3,542 | | | | | | | AST SpaceMobile Inc., Class A Shares* | | | 11,228 | |
| | 382 | | | | | | | ATN International Inc. | | | 12,812 | |
| | 868 | | | | | | | Bandwidth Inc., Class A Shares* | | | 17,829 | |
| | 1,628 | | | | | | | Cogent Communications Holdings Inc. | | | 131,722 | |
| | 2,589 | | | | | | | Consolidated Communications Holdings Inc.* | | | 11,159 | |
| | 9,494 | | | | | | | Frontier Communications Parent Inc.* | | | 224,818 | |
| | 5,412 | | | | | | | GCI Liberty Inc.*(a) | | | — | |
| | 25,763 | | | | | | | Globalstar Inc.* | | | 40,190 | |
| | 600 | | | | | | | IDT Corp., Class B Shares* | | | 22,326 | |
| | 4,742 | | | | | | | Iridium Communications Inc. | | | 137,281 | |
| | 2,029 | | | | | | | Liberty Latin America Ltd., Class A Shares* | | | 13,046 | |
| | 4,312 | | | | | | | Liberty Latin America Ltd., Class C Shares* | | | 28,114 | |
| | 40,459 | | | | | | | Lumen Technologies Inc.* | | | 65,544 | |
| | 702 | | | | | | | Ooma Inc.* | | | 7,160 | |
| | 1,859 | | | | | | | Shenandoah Telecommunications Co. | | | 34,689 | |
| | | | | | | | | | | | |
| | | | | | | | Total Diversified Telecommunication Services | | | 776,895 | |
| | | | | | | | | | | | |
|
| Entertainment — 0.5% | |
| | 7,534 | | | | | | | AMC Entertainment Holdings Inc., Class A Shares* | | | 32,547 | |
| | 409 | | | | | | | Atlanta Braves Holdings Inc., Class A Shares* | | | 17,158 | |
| | 1,632 | | | | | | | Atlanta Braves Holdings Inc., Class C Shares* | | | 63,844 | |
| | 4,030 | | | | | | | Cinemark Holdings Inc.* | | | 70,162 | |
| | 2,993 | | | | | | | Eventbrite Inc., Class A Shares* | | | 16,761 | |
| | 1,635 | | | | | | | IMAX Corp.* | | | 28,007 | |
| | 886 | | | | | | | Liberty Media Corp.-Liberty Live, Class A Shares* | | | 34,191 | |
| | 1,766 | | | | | | | Liberty Media Corp.-Liberty Live, Class C Shares* | | | 70,322 | |
| | 1,754 | | | | | | | Lions Gate Entertainment Corp., Class A Shares* | | | 17,031 | |
| | 97,746 | | | | | | | Lions Gate Entertainment Corp., Class B Shares* | | | 887,534 | |
| | 1,939 | | | | | | | Loop Media Inc.* | | | 969 | |
| | 1,538 | | | | | | | Madison Square Garden Entertainment Corp., Class A Shares* | | | 59,198 | |
| | 715 | | | | | | | Madison Square Garden Sports Corp., Class A Shares* | | | 134,556 | |
| | 809 | | | | | | | Marcus Corp. (The) | | | 11,868 | |
| | 3,300 | | | | | | | Playstudios Inc.* | | | 7,821 | |
| | 830 | | | | | | | Playtika Holding Corp.* | | | 6,150 | |
| | 992 | | | | | | | Reservoir Media Inc.* | | | 7,162 | |
| | 4,716 | | | | | | | Roku Inc., Class A Shares* | | | 297,957 | |
| | 1,026 | | | | | | | Sphere Entertainment Co.* | | | 44,426 | |
| | 8,339 | | | | | | | TKO Group Holdings Inc., Class A Shares | | | 698,224 | |
| | 1,280 | | | | | | | Vivid Seats Inc., Class A Shares* | | | 7,706 | |
| | | | | | | | | | | | |
| | | | | | | | Total Entertainment | | | 2,513,594 | |
| | | | | | | | | | | | |
|
| Interactive Media & Services — 0.2% | |
| | 3,830 | | | | | | | Bumble Inc., Class A Shares* | | | 43,854 | |
| | 3,649 | | | | | | | Cargurus Inc., Class A Shares* | | | 80,789 | |
| | 2,688 | | | | | | | Cars.com Inc.* | | | 49,298 | |
| | 1,882 | | | | | | | DHI Group Inc.* | | | 5,326 | |
| | 770 | | | | | | | EverQuote Inc., Class A Shares* | | | 12,335 | |
| | 10,279 | | | | | | | fuboTV Inc.* | | | 21,278 | |
| | 2,119 | | | | | | | Grindr Inc.* | | | 17,545 | |
| | 2,774 | | | | | | | IAC Inc.* | | | 157,563 | |
| | 847 | | | | | | | MediaAlpha Inc., Class A Shares* | | | 17,575 | |
| | 4,699 | | | | | | | Nextdoor Holdings Inc.* | | | 10,291 | |
| | 1,027 | | | | | | | Outbrain Inc.* | | | 3,779 | |
| | 1,999 | | | | | | | QuinStreet Inc.* | | | 29,245 | |
| | 947 | | | | | | | Shutterstock Inc. | | | 46,176 | |
See Notes to Financial Statements.
27
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| COMMUNICATION SERVICES — 1.6% — (continued) | |
|
| Interactive Media & Services — 0.2% — (continued) | |
| | 1,360 | | | | | | | System1 Inc.* | | $ | 2,271 | |
| | 4,263 | | | | | | | TripAdvisor Inc.* | | | 114,334 | |
| | 4,489 | | | | | | | TrueCar Inc.* | | | 15,622 | |
| | 5,844 | | | | | | | Vimeo Inc.* | | | 27,993 | |
| | 2,441 | | | | | | | Yelp Inc., Class A Shares* | | | 93,832 | |
| | 1,741 | | | | | | | Ziff Davis Inc.* | | | 119,711 | |
| | 2,653 | | | | | | | ZipRecruiter Inc., Class A Shares* | | | 33,746 | |
| | 11,284 | | | | | | | ZoomInfo Technologies Inc., Class A Shares* | | | 189,120 | |
| | | | | | | | | | | | |
| | | | | | | | Total Interactive Media & Services | | | 1,091,683 | |
| | | | | | | | | | | | |
|
| Media — 0.8% | |
| | 4,432 | | | | | | | Advantage Solutions Inc.* | | | 16,886 | |
| | 1,217 | | | | | | | AMC Networks Inc., Class A Shares* | | | 15,748 | |
| | 862 | | | | | | | Boston Omaha Corp., Class A Shares* | | | 14,145 | |
| | 208 | | | | | | | Cable One Inc. | | | 94,848 | |
| | 1,317 | | | | | | | Cardlytics Inc.* | | | 10,918 | |
| | 13,890 | | | | | | | Clear Channel Outdoor Holdings Inc., Class A Shares* | | | 23,891 | |
| | 50,833 | | | | | | | Criteo SA, ADR* | | | 1,644,448 | |
| | 41 | | | | | | | Daily Journal Corp.* | | | 13,881 | |
| | 4,693 | | | | | | | EchoStar Corp., Class A Shares* | | | 61,525 | |
| | 1,121 | | | | | | | Emerald Holding Inc.* | | | 6,009 | |
| | 2,331 | | | | | | | Entravision Communications Corp., Class A Shares | | | 8,974 | |
| | 2,008 | | | | | | | EW Scripps Co. (The), Class A Shares* | | | 8,092 | |
| | 546 | | | | | | | Gambling.com Group Ltd.* | | | 5,001 | |
| | 4,982 | | | | | | | Gannett Co., Inc.* | | | 10,612 | |
| | 3,030 | | | | | | | Gray Television Inc. | | | 17,695 | |
| | 4,494 | | | | | | | iHeartMedia Inc., Class A Shares* | | | 12,448 | |
| | 1,849 | | | | | | | Integral Ad Science Holding Corp.* | | | 19,156 | |
| | 14,783 | | | | | | | Interpublic Group of Cos., Inc. (The) | | | 464,186 | |
| | 1,385 | | | | | | | John Wiley & Sons Inc., Class A Shares | | | 46,190 | |
| | 5,905 | | | | | | | Liberty Media Corp.-Liberty SiriusXM* | | | 171,127 | |
| | 2,810 | | | | | | | Liberty Media Corp.-Liberty SiriusXM, Class A Shares* | | | 81,883 | |
| | 5,496 | | | | | | | Magnite Inc.* | | | 66,062 | |
| | 6,215 | | | | | | | New York Times Co. (The), Class A Shares | | | 275,200 | |
| | 14,829 | | | | | | | News Corp., Class A Shares | | | 398,603 | |
| | 4,199 | | | | | | | News Corp., Class B Shares | | | 117,530 | |
| | 1,285 | | | | | | | Nexstar Media Group Inc., Class A Shares | | | 213,528 | |
| | 1,902 | | | | | | | PubMatic Inc., Class A Shares* | | | 39,828 | |
| | 1,051 | | | | | | | Scholastic Corp. | | | 41,451 | |
| | 1,502 | | | | | | | Sinclair Inc. | | | 22,305 | |
| | 2,732 | | | | | | | Stagwell Inc., Class A Shares* | | | 14,589 | |
| | 1,022 | | | | | | | TechTarget Inc.* | | | 32,408 | |
| | 7,813 | | | | | | | TEGNA Inc. | | | 109,460 | |
| | 1,179 | | | | | | | Thryv Holdings Inc.* | | | 24,688 | |
| | 506 | | | | | | | Townsquare Media Inc., Class A Shares | | | 5,384 | |
| | 1,160 | | | | | | | Urban One Inc.* | | | 3,376 | |
| | 2,259 | | | | | | | WideOpenWest Inc.* | | | 9,036 | |
| | | | | | | | | | | | |
| | | | | | | | Total Media | | | 4,121,111 | |
| | | | | | | | | | | | |
|
| Wireless Telecommunication Services — 0.0%@ | |
| | 2,307 | | | | | | | Gogo Inc.* | | | 18,825 | |
| | 602 | | | | | | | Spok Holdings Inc. | | | 10,818 | |
| | 3,751 | | | | | | | Telephone & Data Systems Inc. | | | 57,390 | |
| | 4,434 | | | | | | | Tingo Group Inc.*(a) | | | 45 | |
| | | | | | | | | | | | |
| | | | | | | | Total Wireless Telecommunication Services | | | 87,078 | |
| | | | | | | | | | | | |
| | | | | | | | TOTAL COMMUNICATION SERVICES | | | 8,590,361 | |
| | | | | | | | | | | | |
See Notes to Financial Statements.
28
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| CONSUMER DISCRETIONARY — 9.1% | |
|
| Automobile Components — 0.4% | |
| | 3,654 | | | | | | | Adient PLC* | | $ | 124,017 | |
| | 4,445 | | | | | | | American Axle & Manufacturing Holdings Inc.* | | | 30,759 | |
| | 579 | | | | | | | Atmus Filtration Technologies Inc.*(b) | | | 13,821 | |
| | 9,003 | | | | | | | BorgWarner Inc. | | | 280,263 | |
| | 593 | | | | | | | Cooper-Standard Holdings Inc.* | | | 8,338 | |
| | 4,871 | | | | | | | Dana Inc. | | | 60,887 | |
| | 949 | | | | | | | Dorman Products Inc.* | | | 89,415 | |
| | 1,607 | | | | | | | Fox Factory Holding Corp.* | | | 81,298 | |
| | 8,955 | | | | | | | Gentex Corp. | | | 327,126 | |
| | 1,306 | | | | | | | Gentherm Inc.* | | | 74,259 | |
| | 10,693 | | | | | | | Goodyear Tire & Rubber Co. (The)* | | | 127,033 | |
| | 2,083 | | | | | | | Holley Inc.* | | | 8,936 | |
| | 969 | | | | | | | LCI Industries | | | 122,075 | |
| | 2,223 | | | | | | | Lear Corp. | | | 305,329 | |
| | 10,315 | | | | | | | Luminar Technologies Inc., Class A Shares*(b) | | | 24,653 | |
| | 1,934 | | | | | | | Modine Manufacturing Co.* | | | 173,499 | |
| | 823 | | | | | | | Patrick Industries Inc. | | | 98,711 | |
| | 1,925 | | | | | | | Phinia Inc. | | | 65,874 | |
| | 12,845 | | | | | | | QuantumScape Corp., Class A Shares* | | | 80,538 | |
| | 5,627 | | | | | | | Solid Power Inc.* | | | 9,228 | |
| | 760 | | | | | | | Standard Motor Products Inc. | | | 24,138 | |
| | 946 | | | | | | | Stoneridge Inc.* | | | 16,621 | |
| | 1,076 | | | | | | | Visteon Corp.* | | | 121,717 | |
| | 833 | | | | | | | XPEL Inc.* | | | 43,799 | |
| | | | | | | | | | | | |
| | | | | | | | Total Automobile Components | | | 2,312,334 | |
| | | | | | | | | | | | |
|
| Automobiles — 0.1% | |
| | 7,548 | | | | | | | Fisker Inc.*(b) | | | 5,496 | |
| | 4,961 | | | | | | | Harley-Davidson Inc. | | | 179,935 | |
| | 1,131 | | | | | | | Livewire Group Inc.* | | | 10,609 | |
| | 1,970 | | | | | | | Thor Industries Inc. | | | 252,515 | |
| | 1,063 | | | | | | | Winnebago Industries Inc. | | | 76,249 | |
| | 6,490 | | | | | | | Workhorse Group Inc.* | | | 2,172 | |
| | | | | | | | | | | | |
| | | | | | | | Total Automobiles | | | 526,976 | |
| | | | | | | | | | | | |
|
| Broadline Retail — 0.1% | |
| | 998 | | | | | | | Big Lots Inc. | | | 5,409 | |
| | 812 | | | | | | | ContextLogic Inc., Class A Shares* | | | 5,278 | |
| | 131 | | | | | | | Dillard’s Inc., Class A Shares | | | 54,329 | |
| | 4,202 | | | | | | | Kohl’s Corp. | | | 117,110 | |
| | 10,607 | | | | | | | Macy’s Inc. | | | 184,986 | |
| | 4,340 | | | | | | | Nordstrom Inc. | | | 91,010 | |
| | 2,375 | | | | | | | Ollie’s Bargain Outlet Holdings Inc.* | | | 190,404 | |
| | 946 | | | | | | | Savers Value Village Inc.* | | | 19,147 | |
| | | | | | | | | | | | |
| | | | | | | | Total Broadline Retail | | | 667,673 | |
| | | | | | | | | | | | |
|
| Distributors — 0.3% | |
| | 5,533 | | | | | | | LKQ Corp. | | | 289,321 | |
| | 2,528 | | | | | | | Pool Corp. | | | 1,006,447 | |
| | 138 | | | | | | | Weyco Group Inc. | | | 4,449 | |
| | | | | | | | | | | | |
| | | | | | | | Total Distributors | | | 1,300,217 | |
| | | | | | | | | | | | |
|
| Diversified Consumer Services — 0.4% | |
| | 2,764 | | | | | | | 2U Inc.* | | | 1,245 | |
| | 8,133 | | | | | | | ADT Inc. | | | 59,046 | |
| | 1,568 | | | | | | | Adtalem Global Education Inc.* | | | 77,616 | |
See Notes to Financial Statements.
29
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| CONSUMER DISCRETIONARY — 9.1% — (continued) | |
|
| Diversified Consumer Services — 0.4% — (continued) | |
| | 2,198 | | | | | | | Bright Horizons Family Solutions Inc.* | | $ | 252,462 | |
| | 552 | | | | | | | Carriage Services Inc., Class A Shares | | | 13,701 | |
| | 4,181 | | | | | | | Chegg Inc.* | | | 37,378 | |
| | 5,081 | | | | | | | Coursera Inc.* | | | 81,652 | |
| | 1,107 | | | | | | | Duolingo Inc., Class A Shares* | | | 264,573 | |
| | 1,392 | | | | | | | European Wax Center Inc., Class A Shares* | | | 19,739 | |
| | 2,971 | | | | | | | Frontdoor Inc.* | | | 93,171 | |
| | 132 | | | | | | | Graham Holdings Co., Class B Shares | | | 92,707 | |
| | 1,163 | | | | | | | Grand Canyon Education Inc.* | | | 156,772 | |
| | 5,389 | | | | | | | H&R Block Inc. | | | 263,791 | |
| | 4,855 | | | | | | | Laureate Education Inc., Class A Shares | | | 65,105 | |
| | 914 | | | | | | | Lincoln Educational Services Corp.* | | | 9,195 | |
| | 2,966 | | | | | | | Mister Car Wash Inc.* | | | 24,588 | |
| | 2,768 | | | | | | | Nerdy Inc.* | | | 8,027 | |
| | 2,997 | | | | | | | OneSpaWorld Holdings Ltd.* | | | 39,081 | |
| | 2,719 | | | | | | | Perdoceo Education Corp. | | | 48,425 | |
| | 5,667 | | | | | | | Service Corp. International | | | 414,768 | |
| | 866 | | | | | | | Strategic Education Inc. | | | 95,944 | |
| | 1,561 | | | | | | | Stride Inc.* | | | 93,270 | |
| | 3,629 | | | | | | | Udemy Inc.* | | | 41,008 | |
| | 1,399 | | | | | | | Universal Technical Institute Inc.* | | | 21,041 | |
| | 1,838 | | | | | | | WW International Inc.* | | | 5,735 | |
| | | | | | | | | | | | |
| | | | | | | | Total Diversified Consumer Services | | | 2,280,040 | |
| | | | | | | | | | | | |
|
| Hotels, Restaurants & Leisure — 2.2% | |
| | 2,156 | | | | | | | Accel Entertainment Inc., Class A Shares* | | | 24,427 | |
| | 9,037 | | | | | | | Aramark | | | 274,092 | |
| | 952 | | | | | | | Bally’s Corp.* | | | 10,700 | |
| | 43 | | | | | | | Biglari Holdings Inc., Class B Shares* | | | 7,448 | |
| | 912 | | | | | | | BJ’s Restaurants Inc.* | | | 31,938 | |
| | 3,128 | | | | | | | Bloomin’ Brands Inc. | | | 85,019 | |
| | 548 | | | | | | | Bowlero Corp., Class A Shares(b) | | | 6,823 | |
| | 2,870 | | | | | | | Boyd Gaming Corp. | | | 189,793 | |
| | 1,679 | | | | | | | Brinker International Inc.* | | | 77,805 | |
| | 1,319 | | | | | | | Carrols Restaurant Group Inc. | | | 12,491 | |
| | 626 | | | | | | | Cava Group Inc.* | | | 36,565 | |
| | 1,124 | | | | | | | Century Casinos Inc.* | | | 3,271 | |
| | 1,828 | | | | | | | Cheesecake Factory Inc. (The) | | | 64,675 | |
| | 1,118 | | | | | | | Choice Hotels International Inc. | | | 125,149 | |
| | 10,618 | | | | | | | Churchill Downs Inc. | | | 1,294,016 | |
| | 673 | | | | | | | Chuy’s Holdings Inc.* | | | 22,768 | |
| | 879 | | | | | | | Cracker Barrel Old Country Store Inc. | | | 58,128 | |
| | 1,338 | | | | | | | Dave & Buster’s Entertainment Inc.* | | | 82,608 | |
| | 1,906 | | | | | | | Denny’s Corp.* | | | 17,592 | |
| | 681 | | | | | | | Dine Brands Global Inc. | | | 33,035 | |
| | 756 | | | | | | | El Pollo Loco Holdings Inc.* | | | 6,849 | |
| | 163 | | | | | | | Empire Resorts Inc.*(a)(c) | | | — | |
| | 2,900 | | | | | | | Everi Holdings Inc.* | | | 34,394 | |
| | 640 | | | | | | | First Watch Restaurant Group Inc.* | | | 16,032 | |
| | 1,323 | | | | | | | Full House Resorts Inc.* | | | 6,787 | |
| | 1,036 | | | | | | | Global Business Travel Group I* | | | 6,216 | |
| | 752 | | | | | | | Golden Entertainment Inc. | | | 27,869 | |
| | 2,989 | | | | | | | Hilton Grand Vacations Inc.* | | | 134,146 | |
| | 1,702 | | | | | | | Hyatt Hotels Corp., Class A Shares | | | 261,410 | |
| | 1,130 | | | | | | | Inspired Entertainment Inc.* | | | 11,187 | |
See Notes to Financial Statements.
30
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| CONSUMER DISCRETIONARY — 9.1% — (continued) | |
|
| Hotels, Restaurants & Leisure — 2.2% — (continued) | |
| | 58,254 | | | | | | | International Game Technology PLC | | $ | 1,582,761 | |
| | 736 | | | | | | | Jack in the Box Inc. | | | 53,728 | |
| | 3,158 | | | | | | | Krispy Kreme Inc. | | | 40,864 | |
| | 232 | | | | | | | Kura Sushi USA Inc., Class A Shares* | | | 22,047 | |
| | 1,990 | | | | | | | Life Time Group Holdings Inc.* | | | 27,343 | |
| | 3,487 | | | | | | | Light & Wonder Inc., Class A Shares* | | | 350,478 | |
| | 1,085 | | | | | | | Lindblad Expeditions Holdings Inc.* | | | 10,058 | |
| | 1,382 | | | | | | | Marriott Vacations Worldwide Corp. | | | 128,789 | |
| | 445 | | | | | | | Monarch Casino & Resort Inc. | | | 31,306 | |
| | 1,579 | | | | | | | Mondee Holdings Inc., Class A Shares*(b) | | | 3,553 | |
| | 79 | | | | | | | Nathan’s Famous Inc. | | | 5,550 | |
| | 1,393 | | | | | | | Noodles & Co., Class A Shares* | | | 3,496 | |
| | 16,170 | | | | | | | Norwegian Cruise Line Holdings Ltd.* | | | 313,536 | |
| | 786 | | | | | | | ONE Group Hospitality Inc. (The)* | | | 3,073 | |
| | 1,240 | | | | | | | Papa John’s International Inc. | | | 89,144 | |
| | 5,599 | | | | | | | Penn Entertainment Inc.* | | | 102,462 | |
| | 3,271 | | | | | | | Planet Fitness Inc., Class A Shares* | | | 202,966 | |
| | 2,028 | | | | | | | PlayAGS Inc.* | | | 18,820 | |
| | 1,494 | | | | | | | Portillo’s Inc., Class A Shares* | | | 21,708 | |
| | 893 | | | | | | | Potbelly Corp.* | | | 12,395 | |
| | 318 | | | | | | | RCI Hospitality Holdings Inc. | | | 17,922 | |
| | 556 | | | | | | | Red Robin Gourmet Burgers Inc.* | | | 4,159 | |
| | 1,732 | | | | | | | Red Rock Resorts Inc., Class A Shares | | | 100,439 | |
| | 2,470 | | | | | | | Rush Street Interactive Inc.* | | | 14,449 | |
| | 12,587 | | | | | | | Sabre Corp.* | | | 33,356 | |
| | 1,363 | | | | | | | Shake Shack Inc., Class A Shares* | | | 144,914 | |
| | 2,933 | | | | | | | Six Flags Entertainment Corp.* | | | 74,322 | |
| | 6,411 | | | | | | | Super Group SGHC Ltd.* | | | 21,156 | |
| | 3,613 | | | | | | | Sweetgreen Inc., Class A Shares* | | | 46,030 | |
| | 1,370 | | | | | | | Target Hospitality Corp.* | | | 13,262 | |
| | 8,387 | | | | | | | Texas Roadhouse Inc., Class A Shares | | | 1,252,766 | |
| | 2,781 | | | | | | | Travel + Leisure Co. | | | 124,283 | |
| | 9,765 | | | | | | | United Parks & Resorts Inc.* | | | 501,433 | |
| | 1,454 | | | | | | | Vail Resorts Inc. | | | 334,871 | |
| | 6,483 | | | | | | | Wendy’s Co. (The) | | | 117,407 | |
| | 4,970 | | | | | | | Wingstop Inc. | | | 1,744,718 | |
| | 3,134 | | | | | | | Wyndham Hotels & Resorts Inc. | | | 239,908 | |
| | 3,995 | | | | | | | Wynn Resorts Ltd. | | | 420,274 | |
| | 1,370 | | | | | | | Xponential Fitness Inc., Class A Shares* | | | 13,810 | |
| | | | | | | | | | | | |
| | | | | | | | Total Hotels, Restaurants & Leisure | | | 11,206,789 | |
| | | | | | | | | | | | |
|
| Household Durables — 1.9% | |
| | 1,211 | | | | | | | Beazer Homes USA Inc.* | | | 37,941 | |
| | 332 | | | | | | | Cavco Industries Inc.* | | | 123,693 | |
| | 1,089 | | | | | | | Century Communities Inc. | | | 93,970 | |
| | 1,709 | | | | | | | Cricut Inc., Class A Shares(b) | | | 8,255 | |
| | 929 | | | | | | | Dream Finders Homes Inc., Class A Shares* | | | 36,352 | |
| | 824 | | | | | | | Ethan Allen Interiors Inc. | | | 27,546 | |
| | 4,982 | | | | | | | GoPro Inc., Class A Shares* | | | 11,658 | |
| | 993 | | | | | | | Green Brick Partners Inc.* | | | 58,091 | |
| | 905 | | | | | | | Helen of Troy Ltd.* | | | 113,125 | |
| | 330 | | | | | | | Hooker Furnishings Corp. | | | 8,088 | |
| | 205 | | | | | | | Hovnanian Enterprises Inc., Class A Shares* | | | 32,115 | |
| | 906 | | | | | | | Installed Building Products Inc. | | | 216,471 | |
| | 1,016 | | | | | | | iRobot Corp.* | | | 11,593 | |
See Notes to Financial Statements.
31
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| CONSUMER DISCRETIONARY — 9.1% — (continued) | |
|
| Household Durables — 1.9% — (continued) | |
| | 11,324 | | | | | | | KB Home | | $ | 752,253 | |
| | 713 | | | | | | | Landsea Homes Corp.* | | | 9,711 | |
| | 1,660 | | | | | | | La-Z-Boy Inc. | | | 63,063 | |
| | 368 | | | | | | | Legacy Housing Corp.* | | | 9,465 | |
| | 4,961 | | | | | | | Leggett & Platt Inc. | | | 101,304 | |
| | 782 | | | | | | | LGI Homes Inc.* | | | 89,218 | |
| | 483 | | | | | | | Lovesac Co. (The)* | | | 11,128 | |
| | 10,930 | | | | | | | M/I Homes Inc.* | | | 1,388,001 | |
| | 2,176 | | | | | | | MDC Holdings Inc. | | | 136,435 | |
| | 10,403 | | | | | | | Meritage Homes Corp. | | | 1,640,137 | |
| | 2,014 | | | | | | | Mohawk Industries Inc.* | | | 238,901 | |
| | 39,579 | | | | | | | Newell Brands Inc. | | | 296,843 | |
| | 8,290 | | | | | | | PulteGroup Inc. | | | 898,470 | |
| | 2,062 | | | | | | | Purple Innovation Inc., Class A Shares | | | 3,835 | |
| | 2,039 | | | | | | | Skyline Champion Corp.* | | | 170,848 | |
| | 815 | | | | | | | Snap One Holdings Corp.* | | | 6,748 | |
| | 20,314 | | | | | | | Sonos Inc.* | | | 385,153 | |
| | 3,881 | | | | | | | Taylor Morrison Home Corp., Class A Shares* | | | 219,703 | |
| | 19,935 | | | | | | | Tempur Sealy International Inc. | | | 1,085,859 | |
| | 4,124 | | | | | | | Toll Brothers Inc. | | | 472,775 | |
| | 1,217 | | | | | | | TopBuild Corp.* | | | 489,696 | |
| | 1,614 | | | | | | | Traeger Inc.* | | | 3,583 | |
| | 3,607 | | | | | | | Tri Pointe Homes Inc.* | | | 127,616 | |
| | 2,930 | | | | | | | Vizio Holding Corp., Class A Shares* | | | 32,259 | |
| | 524 | | | | | | | VOXX International Corp., Class A Shares* | | | 4,454 | |
| | 2,048 | | | | | | | Whirlpool Corp. | | | 219,935 | |
| | 1,238 | | | | | | | Worthington Enterprises Inc. | | | 76,905 | |
| | | | | | | | | | | | |
| | | | | | | | Total Household Durables | | | 9,713,196 | |
| | | | | | | | | | | | |
|
| Leisure Products — 0.3% | |
| | 1,186 | | | | | | | Acushnet Holdings Corp. | | | 76,402 | |
| | 4,531 | | | | | | | AMMO Inc.* | | | 10,784 | |
| | 2,665 | | | | | | | Brunswick Corp. | | | 232,921 | |
| | 970 | | | | | | | Clarus Corp. | | | 5,587 | |
| | 445 | | | | | | | Escalade Inc. | | | 6,599 | |
| | 1,453 | | | | | | | Funko Inc., Class A Shares* | | | 10,229 | |
| | 5,004 | | | | | | | Hasbro Inc. | | | 251,651 | |
| | 271 | | | | | | | JAKKS Pacific Inc.* | | | 9,515 | |
| | 182 | | | | | | | Johnson Outdoors Inc., Class A Shares | | | 8,365 | |
| | 1,748 | | | | | | | Latham Group Inc.* | | | 5,926 | |
| | 823 | | | | | | | Malibu Boats Inc., Class A Shares* | | | 35,916 | |
| | 338 | | | | | | | Marine Products Corp. | | | 3,873 | |
| | 691 | | | | | | | MasterCraft Boat Holdings Inc.* | | | 15,154 | |
| | 13,258 | | | | | | | Mattel Inc.* | | | 261,183 | |
| | 12,845 | | | | | | | Peloton Interactive Inc., Class A Shares* | | | 58,059 | |
| | 2,024 | | | | | | | Polaris Inc. | | | 187,645 | |
| | 1,979 | | | | | | | Smith & Wesson Brands Inc. | | | 27,172 | |
| | 740 | | | | | | | Solo Brands Inc., Class A Shares* | | | 1,998 | |
| | 678 | | | | | | | Sturm Ruger & Co., Inc. | | | 29,371 | |
| | 5,393 | | | | | | | Topgolf Callaway Brands Corp.* | | | 76,796 | |
| | 2,322 | | | | | | | Vista Outdoor Inc.* | | | 72,446 | |
| | 3,418 | | | | | | | YETI Holdings Inc.* | | | 140,275 | |
| | | | | | | | | | | | |
| | | | | | | | Total Leisure Products | | | 1,527,867 | |
| | | | | | | | | | | | |
See Notes to Financial Statements.
32
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| CONSUMER DISCRETIONARY — 9.1% — (continued) | |
|
| Specialty Retail — 2.4% | |
| | 30,526 | | | | | | | 1-800-Flowers.com Inc., Class A Shares* | | $ | 318,081 | |
| | 1,651 | | | | | | | Aaron’s Co., Inc. (The) | | | 12,795 | |
| | 1,836 | | | | | | | Abercrombie & Fitch Co., Class A Shares* | | | 234,567 | |
| | 2,751 | | | | | | | Academy Sports & Outdoors Inc. | | | 205,555 | |
| | 2,359 | | | | | | | Advance Auto Parts Inc. | | | 159,327 | |
| | 6,838 | | | | | | | American Eagle Outfitters Inc. | | | 162,402 | |
| | 216 | | | | | | | America’s Car-Mart Inc.* | | | 14,545 | |
| | 2,699 | | | | | | | Arko Corp. | | | 17,624 | |
| | 788 | | | | | | | Asbury Automotive Group Inc.* | | | 164,558 | |
| | 1,119 | | | | | | | AutoNation Inc.* | | | 167,626 | |
| | 5,855 | | | | | | | BARK Inc.* | | | 7,026 | |
| | 8,781 | | | | | | | Bath & Body Works Inc. | | | 401,292 | |
| | 1,756 | | | | | | | Beyond Inc.* | | | 58,879 | |
| | 720 | | | | | | | Big 5 Sporting Goods Corp. | | | 3,456 | |
| | 1,121 | | | | | | | Boot Barn Holdings Inc.* | | | 103,693 | |
| | 1,198 | | | | | | | Buckle Inc. (The) | | | 49,046 | |
| | 589 | | | | | | | Build-A-Bear Workshop Inc. | | | 14,101 | |
| | 14,271 | | | | | | | Caleres Inc. | | | 551,003 | |
| | 1,580 | | | | | | | Camping World Holdings Inc., Class A Shares | | | 42,170 | |
| | 17,490 | | | | | | | CarMax Inc.* | | | 1,381,710 | |
| | 1,761 | | | | | | | CarParts.com Inc.* | | | 4,491 | |
| | 3,618 | | | | | | | Carvana Co., Class A Shares* | | | 274,715 | |
| | 597 | | | | | | | Cato Corp. (The), Class A Shares | | | 3,946 | |
| | 19,998 | | | | | | | Chewy Inc., Class A Shares* | | | 352,765 | |
| | 419 | | | | | | | Children’s Place Inc. (The)* | | | 8,062 | |
| | 26,258 | | | | | | | Designer Brands Inc., Class A Shares | | | 277,284 | |
| | 1,732 | | | | | | | Destination XL Group Inc.* | | | 6,911 | |
| | 2,302 | | | | | | | Dick’s Sporting Goods Inc. | | | 409,503 | |
| | 362 | | | | | | | Duluth Holdings Inc., Class B Shares* | | | 1,723 | |
| | 4,959 | | | | | | | EVgo Inc., Class A Shares*(b) | | | 14,679 | |
| | 2,088 | | | | | | | Five Below Inc.* | | | 419,020 | |
| | 11,493 | | | | | | | Floor & Decor Holdings Inc., Class A Shares* | | | 1,392,032 | |
| | 3,207 | | | | | | | Foot Locker Inc. | | | 110,417 | |
| | 10,313 | | | | | | | GameStop Corp., Class A Shares*(b) | | | 147,167 | |
| | 7,599 | | | | | | | Gap Inc. (The) | | | 143,925 | |
| | 483 | | | | | | | Genesco Inc.* | | | 15,417 | |
| | 507 | | | | | | | Group 1 Automotive Inc. | | | 137,220 | |
| | 2,023 | | | | | | | GrowGeneration Corp.* | | | 4,329 | |
| | 953 | | | | | | | Guess? Inc. | | | 24,187 | |
| | 560 | | | | | | | Haverty Furniture Cos., Inc. | | | 19,208 | |
| | 493 | | | | | | | Hibbett Inc. | | | 40,401 | |
| | 264 | | | | | | | J Jill Inc.* | | | 6,597 | |
| | 617 | | | | | | | Lands’ End Inc.* | | | 6,003 | |
| | 553 | | | | | | | Lazydays Holdings Inc.* | | | 2,223 | |
| | 7,109 | | | | | | | Leslie’s Inc.* | | | 56,161 | |
| | 1,040 | | | | | | | Lithia Motors Inc., Class A Shares | | | 311,022 | |
| | 902 | | | | | | | MarineMax Inc.* | | | 29,946 | |
| | 12,435 | | | | | | | Monro Inc. | | | 417,443 | |
| | 746 | | | | | | | Murphy USA Inc. | | | 311,089 | |
| | 3,143 | | | | | | | National Vision Holdings Inc.* | | | 73,546 | |
| | 14,412 | | | | | | | ODP Corp. (The)* | | | 813,990 | |
| | 338 | | | | | | | OneWater Marine Inc., Class A Shares* | | | 8,791 | |
| | 783 | | | | | | | Penske Automotive Group Inc. | | | 120,191 | |
| | 3,269 | | | | | | | Petco Health & Wellness Co., Inc., Class A Shares* | | | 8,499 | |
| | 610 | | | | | | | PetMed Express Inc. | | | 3,087 | |
See Notes to Financial Statements.
33
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| CONSUMER DISCRETIONARY — 9.1% — (continued) | |
|
| Specialty Retail — 2.4% — (continued) | |
| | 1,430 | | | | | | | Rent the Runway Inc., Class A Shares* | | $ | 581 | |
| | 30,949 | | | | | | | Revolve Group Inc., Class A Shares* | | | 678,712 | |
| | 578 | | | | | | | RH* | | | 158,603 | |
| | 4,000 | | | | | | | Sally Beauty Holdings Inc.* | | | 50,520 | |
| | 641 | | | | | | | Shoe Carnival Inc. | | | 21,006 | |
| | 1,693 | | | | | | | Signet Jewelers Ltd. | | | 172,280 | |
| | 997 | | | | | | | Sleep Number Corp.* | | | 16,470 | |
| | 527 | | | | | | | Sonic Automotive Inc., Class A Shares | | | 27,668 | |
| | 1,503 | | | | | | | Sportsman’s Warehouse Holdings Inc.* | | | 5,426 | |
| | 3,079 | | | | | | | Stitch Fix Inc., Class A Shares* | | | 9,945 | |
| | 3,143 | | | | | | | ThredUp Inc., Class A Shares* | | | 6,286 | |
| | 1,558 | | | | | | | Tile Shop Holdings Inc.* | | | 10,828 | |
| | 885 | | | | | | | Tilly’s Inc., Class A Shares* | | | 6,806 | |
| | 416 | | | | | | | Torrid Holdings Inc.* | | | 2,092 | |
| | 2,200 | | | | | | | Upbound Group Inc. | | | 74,272 | |
| | 2,475 | | | | | | | Urban Outfitters Inc.* | | | 102,836 | |
| | 5,103 | | | | | | | Valvoline Inc.* | | | 217,592 | |
| | 3,064 | | | | | | | Victoria’s Secret & Co.* | | | 87,508 | |
| | 3,198 | | | | | | | Warby Parker Inc., Class A Shares* | | | 40,647 | |
| | 3,114 | | | | | | | Wayfair Inc., Class A Shares* | | | 185,594 | |
| | 2,443 | | | | | | | Williams-Sonoma Inc. | | | 575,400 | |
| | 105 | | | | | | | Winmark Corp. | | | 39,853 | |
| | 661 | | | | | | | Zumiez Inc.* | | | 11,647 | |
| | | | | | | | | | | | |
| | | | | | | | Total Specialty Retail | | | 12,548,018 | |
| | | | | | | | | | | | |
|
| Textiles, Apparel & Luxury Goods — 1.0% | |
| | 4,134 | | | | | | | Allbirds Inc., Class A Shares* | | | 3,762 | |
| | 1,102 | | | | | | | Birkenstock Holding PLC* | | | 55,111 | |
| | 4,332 | | | | | | | Capri Holdings Ltd.* | | | 199,835 | |
| | 9,636 | | | | | | | Carter’s Inc. | | | 780,034 | |
| | 1,335 | | | | | | | Columbia Sportswear Co. | | | 110,391 | |
| | 2,354 | | | | | | | Crocs Inc.* | | | 287,777 | |
| | 1,005 | | | | | | | Deckers Outdoor Corp.* | | | 900,068 | |
| | 4,676 | | | | | | | Figs Inc., Class A Shares* | | | 24,455 | |
| | 1,694 | | | | | | | Fossil Group Inc.* | | | 1,796 | |
| | 1,577 | | | | | | | G-III Apparel Group Ltd.* | | | 52,467 | |
| | 13,309 | | | | | | | Hanesbrands Inc.* | | | 71,869 | |
| | 2,131 | | | | | | | Kontoor Brands Inc. | | | 125,963 | |
| | 555 | | | | | | | Movado Group Inc. | | | 15,934 | |
| | 530 | | | | | | | Oxford Industries Inc. | | | 53,737 | |
| | 2,305 | | | | | | | PVH Corp. | | | 315,024 | |
| | 1,502 | | | | | | | Ralph Lauren Corp., Class A Shares | | | 279,252 | |
| | 279 | | | | | | | Rocky Brands Inc. | | | 6,961 | |
| | 5,120 | | | | | | | Skechers USA Inc., Class A Shares* | | | 316,467 | |
| | 2,756 | | | | | | | Steven Madden Ltd. | | | 118,012 | |
| | 8,749 | | | | | | | Tapestry Inc. | | | 415,840 | |
| | 6,905 | | | | | | | Under Armour Inc., Class A Shares* | | | 61,869 | |
| | 66,932 | | | | | | | Under Armour Inc., Class C Shares* | | | 571,599 | |
| | 13,381 | | | | | | | V.F. Corp. | | | 218,646 | |
| | 954 | | | | | | | Vera Bradley Inc.* | | | 7,441 | |
| | 30,954 | | | | | | | Wolverine World Wide Inc. | | | 314,802 | |
| | | | | | | | | | | | |
| | | | | | | | Total Textiles, Apparel & Luxury Goods | | | 5,309,112 | |
| | | | | | | | | | | | |
| | | | | | | | TOTAL CONSUMER DISCRETIONARY | | | 47,392,222 | |
| | | | | | | | | | | | |
See Notes to Financial Statements.
34
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| CONSUMER STAPLES — 3.7% | |
|
| Beverages — 0.3% | |
| | 347 | | | | | | | Boston Beer Co., Inc. (The), Class A Shares* | | $ | 106,925 | |
| | 5,531 | | | | | | | Celsius Holdings Inc.* | | | 451,440 | |
| | 174 | | | | | | | Coca-Cola Consolidated Inc. | | | 146,299 | |
| | 3,443 | | | | | | | Diageo PLC, ADR | | | 519,204 | |
| | 1,699 | | | | | | | Duckhorn Portfolio Inc. (The)* | | | 16,158 | |
| | 633 | | | | | | | MGP Ingredients Inc. | | | 53,919 | |
| | 871 | | | | | | | National Beverage Corp.* | | | 45,849 | |
| | 5,905 | | | | | | | Primo Water Corp. | | | 95,720 | |
| | 998 | | | | | | | Vita Coco Co., Inc. (The)* | | | 26,048 | |
| | 1,279 | | | | | | | Zevia PBC, Class A Shares* | | | 1,919 | |
| | | | | | | | | | | | |
| | | | | | | | Total Beverages | | | 1,463,481 | |
| | | | | | | | | | | | |
|
| Consumer Staples Distribution & Retail — 0.6% | |
| | 16,110 | | | | | | | Albertsons Cos., Inc., Class A Shares | | | 326,711 | |
| | 1,190 | | | | | | | Andersons Inc. (The) | | | 65,783 | |
| | 5,084 | | | | | | | BJ’s Wholesale Club Holdings Inc.* | | | 371,335 | |
| | 1,426 | | | | | | | Casey’s General Stores Inc. | | | 434,203 | |
| | 1,302 | | | | | | | Chefs’ Warehouse Inc. (The)* | | | 49,489 | |
| | 3,608 | | | | | | | Grocery Outlet Holding Corp.* | | | 93,050 | |
| | 1,410 | | | | | | | HF Foods Group Inc.* | | | 5,302 | |
| | 551 | | | | | | | Ingles Markets Inc., Class A Shares | | | 42,433 | |
| | 834 | | | | | | | Maplebear Inc.* | | | 27,138 | |
| | 321 | | | | | | | Natural Grocers by Vitamin Cottage Inc. | | | 5,319 | |
| | 5,872 | | | | | | | Performance Food Group Co.* | | | 450,793 | |
| | 981 | | | | | | | PriceSmart Inc. | | | 82,541 | |
| | 1,338 | | | | | | | SpartanNash Co. | | | 28,192 | |
| | 3,859 | | | | | | | Sprouts Farmers Market Inc.* | | | 240,956 | |
| | 1,609 | | | | | | | Target Corp. | | | 246,048 | |
| | 2,231 | | | | | | | United Natural Foods Inc.* | | | 34,826 | |
| | 8,676 | | | | | | | US Foods Holding Corp.* | | | 440,654 | |
| | 334 | | | | | | | Village Super Market Inc., Class A Shares | | | 9,135 | |
| | 639 | | | | | | | Weis Markets Inc. | | | 41,497 | |
| | | | | | | | | | | | |
| | | | | | | | Total Consumer Staples Distribution & Retail | | | 2,995,405 | |
| | | | | | | | | | | | |
|
| Food Products — 1.3% | |
| | 185 | | | | | | | Alico Inc. | | | 5,126 | |
| | 2,480 | | | | | | | B&G Foods Inc. | | | 28,644 | |
| | 7,743 | | | | | | | Benson Hill Inc.* | | | 1,916 | |
| | 2,282 | | | | | | | Beyond Meat Inc.*(b) | | | 24,395 | |
| | 1,347 | | | | | | | BRC Inc., Class A Shares*(b) | | | 5,563 | |
| | 13,924 | | | | | | | Calavo Growers Inc. | | | 401,847 | |
| | 17,166 | | | | | | | Cal-Maine Foods Inc. | | | 986,873 | |
| | 6,054 | | | | | | | Darling Ingredients Inc.* | | | 256,145 | |
| | 2,569 | | | | | | | Dole PLC | | | 30,340 | |
| | 7,203 | | | | | | | Flowers Foods Inc. | | | 161,491 | |
| | 1,375 | | | | | | | Fresh Del Monte Produce Inc. | | | 32,904 | |
| | 1,663 | | | | | | | Freshpet Inc.* | | | 187,969 | |
| | 40,320 | | | | | | | Hain Celestial Group Inc. (The)* | | | 403,200 | |
| | 2,549 | | | | | | | Ingredion Inc. | | | 299,839 | |
| | 3,375 | | | | | | | J&J Snack Foods Corp. | | | 489,645 | |
| | 317 | | | | | | | John B Sanfilippo & Son Inc. | | | 32,451 | |
| | 756 | | | | | | | Lancaster Colony Corp. | | | 156,431 | |
| | 891 | | | | | | | Limoneira Co. | | | 16,448 | |
| | 7,467 | | | | | | | McCormick & Co., Inc., Class VTG Shares | | | 514,178 | |
| | 38,313 | | | | | | | Mission Produce Inc.* | | | 404,202 | |
See Notes to Financial Statements.
35
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| CONSUMER STAPLES — 3.7% — (continued) | |
|
| Food Products — 1.3% — (continued) | |
| | 1,445 | | | | | | | Pilgrim’s Pride Corp.* | | $ | 46,009 | |
| | 2,016 | | | | | | | Post Holdings Inc.* | | | 209,987 | |
| | 9 | | | | | | | Seaboard Corp. | | | 29,588 | |
| | 203 | | | | | | | Seneca Foods Corp., Class A Shares* | | | 10,284 | |
| | 3,474 | | | | | | | Simply Good Foods Co. (The)* | | | 123,257 | |
| | 2,166 | | | | | | | Sovos Brands Inc.* | | | 49,363 | |
| | 3,519 | | | | | | | SunOpta Inc.* | | | 24,739 | |
| | 28,332 | | | | | | | TreeHouse Foods Inc.* | | | 1,014,002 | |
| | 58,885 | | | | | | | Utz Brands Inc. | | | 1,041,676 | |
| | 1,407 | | | | | | | Vital Farms Inc.* | | | 25,284 | |
| | 966 | | | | | | | Westrock Coffee Co.* | | | 9,776 | |
| | | | | | | | | | | | |
| | | | | | | | Total Food Products | | | 7,023,572 | |
| | | | | | | | | | | | |
|
| Household Products — 1.2% | |
| | 362 | | | | | | | Central Garden & Pet Co.* | | | 15,881 | |
| | 1,988 | | | | | | | Central Garden & Pet Co., Class A Shares* | | | 74,928 | |
| | 6,184 | | | | | | | Clorox Co. (The) | | | 948,069 | |
| | 2,756 | | | | | | | Energizer Holdings Inc. | | | 78,684 | |
| | 144,218 | | | | | | | Henkel AG & Co. KGaA, ADR | | | 2,468,035 | |
| | 19,182 | | | | | | | Kimberly-Clark Corp. | | | 2,324,283 | |
| | 171 | | | | | | | Oil-Dri Corp. of America | | | 12,191 | |
| | 2,043 | | | | | | | Reynolds Consumer Products Inc. | | | 60,268 | |
| | 1,306 | | | | | | | Spectrum Brands Holdings Inc. | | | 105,029 | |
| | 519 | | | | | | | WD-40 Co. | | | 139,294 | |
| | | | | | | | | | | | |
| | | | | | | | Total Household Products | | | 6,226,662 | |
| | | | | | | | | | | | |
|
| Personal Care Products — 0.3% | |
| | 3,042 | | | | | | | Beauty Health Co. (The)* | | | 10,130 | |
| | 5,008 | | | | | | | BellRing Brands Inc.* | | | 285,206 | |
| | 14,611 | | | | | | | Coty Inc., Class A Shares* | | | 183,514 | |
| | 1,823 | | | | | | | Edgewell Personal Care Co. | | | 69,620 | |
| | 2,047 | | | | | | | elf Beauty Inc.* | | | 426,861 | |
| | 22,219 | | | | | | | Herbalife Ltd.* | | | 196,194 | |
| | 677 | | | | | | | Inter Parfums Inc. | | | 99,329 | |
| | 412 | | | | | | | Medifast Inc. | | | 16,517 | |
| | 462 | | | | | | | Nature’s Sunshine Products Inc.* | | | 8,201 | |
| | 12,912 | | | | | | | Nu Skin Enterprises Inc., Class A Shares | | | 161,400 | |
| | 5,174 | | | | | | | Olaplex Holdings Inc.* | | | 9,624 | |
| | 416 | | | | | | | USANA Health Sciences Inc.* | | | 20,076 | |
| | 1,477 | | | | | | | Waldencast PLC, Class A Shares* | | | 9,866 | |
| | | | | | | | | | | | |
| | | | | | | | Total Personal Care Products | | | 1,496,538 | |
| | | | | | | | | | | | |
|
| Tobacco — 0.0%@ | |
| | 660 | | | | | | | Ispire Technology Inc.*(b) | | | 6,679 | |
| | 774 | | | | | | | Turning Point Brands Inc. | | | 19,582 | |
| | 938 | | | | | | | Universal Corp. | | | 45,033 | |
| | 6,005 | | | | | | | Vector Group Ltd. | | | 67,016 | |
| | | | | | | | | | | | |
| | | | | | | | Total Tobacco | | | 138,310 | |
| | | | | | | | | | | | |
| | | | | | | | TOTAL CONSUMER STAPLES | | | 19,343,968 | |
| | | | | | | | | | | | |
|
| ENERGY — 3.9% | |
|
| Energy Equipment & Services — 1.4% | |
| | 5,249 | | | | | | | Archrock Inc. | | | 95,899 | |
| | 776 | | | | | | | Atlas Energy Solutions Inc., Class A Shares | | | 14,635 | |
| | 8,246 | | | | | | | Borr Drilling Ltd.* | | | 49,641 | |
See Notes to Financial Statements.
36
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| ENERGY — 3.9% — (continued) | |
|
| Energy Equipment & Services — 1.4% — (continued) | |
| | 972 | | | | | | | Bristow Group Inc.* | | $ | 26,195 | |
| | 2,560 | | | | | | | Cactus Inc., Class A Shares | | | 117,504 | |
| | 26,229 | | | | | | | ChampionX Corp. | | | 814,673 | |
| | 1,670 | | | | | | | Core Laboratories Inc. | | | 25,000 | |
| | 3,613 | | | | | | | Diamond Offshore Drilling Inc.* | | | 40,068 | |
| | 699 | | | | | | | DMC Global Inc.* | | | 11,659 | |
| | 12,518 | | | | | | | Dril-Quip Inc.* | | | 282,907 | |
| | 3,333 | | | | | | | Expro Group Holdings NV* | | | 59,627 | |
| | 302 | | | | | | | Forum Energy Technologies Inc.* | | | 6,043 | |
| | 5,447 | | | | | | | Helix Energy Solutions Group Inc.* | | | 49,023 | |
| | 3,745 | | | | | | | Helmerich & Payne Inc. | | | 143,771 | |
| | 6,678 | | | | | | | ION Geophysical Corp.*(a)(c) | | | — | |
| | 679 | | | | | | | KLX Energy Services Holdings Inc.* | | | 5,514 | |
| | 578 | | | | | | | Kodiak Gas Services Inc.(b) | | | 14,739 | |
| | 6,370 | | | | | | | Liberty Energy Inc., Class A Shares | | | 136,191 | |
| | 1,296 | | | | | | | Mammoth Energy Services Inc.* | | | 4,717 | |
| | 341 | | | | | | | Nabors Industries Ltd.* | | | 26,724 | |
| | 2,604 | | | | | | | Newpark Resources Inc.* | | | 16,744 | |
| | 4,312 | | | | | | | Noble Corp. PLC | | | 180,285 | |
| | 15,187 | | | | | | | NOV Inc. | | | 256,660 | |
| | 33,837 | | | | | | | Oceaneering International Inc.* | | | 668,619 | |
| | 39,546 | | | | | | | Oil States International Inc.* | | | 213,153 | |
| | 136,080 | | | | | | | Patterson-UTI Energy Inc. | | | 1,574,446 | |
| | 852 | | | | | | | ProFrac Holding Corp., Class A Shares* | | | 6,969 | |
| | 4,105 | | | | | | | ProPetro Holding Corp.* | | | 30,377 | |
| | 585 | | | | | | | Ranger Energy Services Inc., Class A Shares | | | 6,137 | |
| | 3,435 | | | | | | | RPC Inc. | | | 25,385 | |
| | 769 | | | | | | | SEACOR Marine Holdings Inc.* | | | 8,075 | |
| | 1,932 | | | | | | | Seadrill Ltd.* | | | 81,530 | |
| | 2,960 | | | | | | | Select Water Solutions Inc., Class A Shares | | | 25,278 | |
| | 1,342 | | | | | | | Solaris Oilfield Infrastructure Inc., Class A Shares | | | 11,367 | |
| | 64,480 | | | | | | | TechnipFMC PLC | | | 1,398,571 | |
| | 86,506 | | | | | | | TETRA Technologies Inc.* | | | 337,373 | |
| | 1,762 | | | | | | | Tidewater Inc.* | | | 123,393 | |
| | 2,766 | | | | | | | US Silica Holdings Inc.* | | | 31,809 | |
| | 2,245 | | | | | | | Valaris Ltd.* | | | 141,547 | |
| | 2,733 | | | | | | | Weatherford International PLC* | | | 280,433 | |
| | | | | | | | | | | | |
| | | | | | | | Total Energy Equipment & Services | | | 7,342,681 | |
| | | | | | | | | | | | |
|
| Oil, Gas & Consumable Fuels — 2.5% | |
| | 1,554 | | | | | | | Amplify Energy Corp.* | | | 9,386 | |
| | 12,721 | | | | | | | Antero Midstream Corp. | | | 170,461 | |
| | 10,926 | | | | | | | Antero Resources Corp.* | | | 280,798 | |
| | 11,786 | | | | | | | APA Corp. | | | 351,105 | |
| | 1,829 | | | | | | | Ardmore Shipping Corp. | | | 29,685 | |
| | 3,004 | | | | | | | Berry Corp. | | | 21,178 | |
| | 2,670 | | | | | | | California Resources Corp. | | | 139,294 | |
| | 2,197 | | | | | | | Callon Petroleum Co.* | | | 68,459 | |
| | 515 | | | | | | | Centrus Energy Corp., Class A Shares* | | | 21,007 | |
| | 4,831 | | | | | | | Chesapeake Energy Corp. | | | 399,910 | |
| | 1,596 | | | | | | | Chord Energy Corp. | | | 259,270 | |
| | 3,124 | | | | | | | Civitas Resources Inc. | | | 214,556 | |
| | 6,419 | | | | | | | Clean Energy Fuels Corp.* | | | 18,936 | |
| | 32,170 | | | | | | | CNX Resources Corp.* | | | 673,962 | |
| | 3,476 | | | | | | | Comstock Resources Inc. | | | 29,720 | |
See Notes to Financial Statements.
37
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| ENERGY — 3.9% — (continued) | |
|
| Oil, Gas & Consumable Fuels — 2.5% — (continued) | |
| | 1,189 | | | | | | | CONSOL Energy Inc. | | $ | 102,040 | |
| | 2,938 | | | | | | | Crescent Energy Co., Class A Shares | | | 32,847 | |
| | 1,314 | | | | | | | CVR Energy Inc. | | | 43,599 | |
| | 2,446 | | | | | | | Delek US Holdings Inc. | | | 62,397 | |
| | 23,172 | | | | | | | Devon Energy Corp. | | | 1,020,958 | |
| | 5,288 | | | | | | | DHT Holdings Inc. | | | 57,216 | |
| | 4,499 | | | | | | | Diamondback Energy Inc. | | | 821,157 | |
| | 1,405 | | | | | | | Dorian LPG Ltd. | | | 50,791 | |
| | 3,660 | | | | | | | DT Midstream Inc. | | | 210,926 | |
| | 481 | | | | | | | Empire Petroleum Corp.* | | | 2,852 | |
| | 6,357 | | | | | | | Encore Energy Corp.* | | | 24,538 | |
| | 5,943 | | | | | | | Energy Fuels Inc.* | | | 37,619 | |
| | 1,173 | | | | | | | Enviva Inc.* | | | 469 | |
| | 13,825 | | | | | | | EQT Corp. | | | 513,599 | |
| | 16,383 | | | | | | | Equitrans Midstream Corp. | | | 175,134 | |
| | 1,066 | | | | | | | Evolution Petroleum Corp. | | | 6,247 | |
| | 696 | | | | | | | Excelerate Energy Inc., Class A Shares | | | 10,927 | |
| | 1,152 | | | | | | | FLEX LNG Ltd. | | | 29,076 | |
| | 1,005 | | | | | | | FutureFuel Corp. | | | 5,960 | |
| | 8,472 | | | | | | | Gevo Inc.* | | | 7,554 | |
| | 3,933 | | | | | | | Golar LNG Ltd. | | | 79,801 | |
| | 892 | | | | | | | Granite Ridge Resources Inc. | | | 5,486 | |
| | 1,457 | | | | | | | Green Plains Inc.* | | | 31,034 | |
| | 456 | | | | | | | Gulfport Energy Corp.* | | | 64,747 | |
| | 818 | | | | | | | Hallador Energy Co.* | | | 6,217 | |
| | 5,615 | | | | | | | HF Sinclair Corp. | | | 311,633 | |
| | 636 | | | | | | | HighPeak Energy Inc.(b) | | | 10,539 | |
| | 1,595 | | | | | | | International Seaways Inc. | | | 84,423 | |
| | 677 | | | | | | | Kinetik Holdings Inc., Class A Shares | | | 23,912 | |
| | 17,441 | | | | | | | Kosmos Energy Ltd.* | | | 107,088 | |
| | 6,648 | | | | | | | Magnolia Oil & Gas Corp., Class A Shares | | | 150,777 | |
| | 4,355 | | | | | | | Matador Resources Co. | | | 275,018 | |
| | 5,567 | | | | | | | Murphy Oil Corp. | | | 220,843 | |
| | 101 | | | | | | | NACCO Industries Inc., Class A Shares | | | 3,356 | |
| | 2,529 | | | | | | | New Fortress Energy Inc., Class A Shares | | | 88,894 | |
| | 2,982 | | | | | | | NextDecade Corp.* | | | 13,687 | |
| | 8,222 | | | | | | | Nordic American Tankers Ltd. | | | 33,464 | |
| | 42,719 | | | | | | | Northern Oil & Gas Inc. | | | 1,526,350 | |
| | 1,800 | | | | | | | Overseas Shipholding Group Inc., Class A Shares | | | 10,944 | |
| | 9,887 | | | | | | | Ovintiv Inc. | | | 488,517 | |
| | 2,115 | | | | | | | Par Pacific Holdings Inc.* | | | 76,394 | |
| | 4,165 | | | | | | | PBF Energy Inc., Class A Shares | | | 194,505 | |
| | 4,496 | | | | | | | Peabody Energy Corp. | | | 111,366 | |
| | 14,737 | | | | | | | Permian Resources Corp., Class A Shares | | | 229,308 | |
| | 35,047 | | | | | | | Range Resources Corp. | | | 1,108,186 | |
| | 618 | | | | | | | REX American Resources Corp.* | | | 27,180 | |
| | 527 | | | | | | | Riley Exploration Permian Inc. | | | 12,464 | |
| | 3,896 | | | | | | | Ring Energy Inc.* | | | 5,571 | |
| | 778 | | | | | | | SandRidge Energy Inc. | | | 10,145 | |
| | 1,847 | | | | | | | Scorpio Tankers Inc. | | | 123,989 | |
| | 4,375 | | | | | | | SFL Corp., Ltd. | | | 58,450 | |
| | 731 | | | | | | | SilverBow Resources Inc.* | | | 20,753 | |
| | 2,933 | | | | | | | Sitio Royalties Corp., Class A Shares | | | 66,931 | |
| | 4,369 | | | | | | | SM Energy Co. | | | 191,231 | |
| | 42,119 | | | | | | | Southwestern Energy Co.* | | | 293,569 | |
See Notes to Financial Statements.
38
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| ENERGY — 3.9% — (continued) | |
|
| Oil, Gas & Consumable Fuels — 2.5% — (continued) | |
| | 4,972 | | | | | | | Talos Energy Inc.* | | $ | 65,581 | |
| | 2,758 | | | | | | | Teekay Corp.* | | | 20,878 | |
| | 933 | | | | | | | Teekay Tankers Ltd., Class A Shares | | | 51,147 | |
| | 18,515 | | | | | | | Tellurian Inc.* | | | 14,699 | |
| | 230 | | | | | | | Texas Pacific Land Corp. | | | 362,347 | |
| | 14,211 | | | | | | | Uranium Energy Corp.* | | | 92,087 | |
| | 4,463 | | | | | | | VAALCO Energy Inc. | | | 19,905 | |
| | 2,235 | | | | | | | Vertex Energy Inc.*(b) | | | 3,017 | |
| | 895 | | | | | | | Vital Energy Inc.* | | | 45,045 | |
| | 897 | | | | | | | Vitesse Energy Inc. | | | 20,389 | |
| | 3,524 | | | | | | | W&T Offshore Inc. | | | 10,642 | |
| | 2,429 | | | | | | | World Kinect Corp. | | | 59,170 | |
| | | | | | | | | | | | |
| | | | | | | | Total Oil, Gas & Consumable Fuels | | | 12,735,312 | |
| | | | | | | | | | | | |
| | | | | | | | TOTAL ENERGY | | | 20,077,993 | |
| | | | | | | | | | | | |
|
| FINANCIALS — 12.7% | |
|
| Banks — 3.9% | |
| | 662 | | | | | | | 1st Source Corp. | | | 32,954 | |
| | 385 | | | | | | | ACNB Corp. | | | 13,567 | |
| | 894 | | | | | | | Amalgamated Financial Corp. | | | 20,634 | |
| | 1,072 | | | | | | | Amerant Bancorp Inc., Class A Shares | | | 22,716 | |
| | 360 | | | | | | | American National Bankshares Inc. | | | 16,243 | |
| | 2,380 | | | | | | | Ameris Bancorp | | | 110,265 | |
| | 326 | | | | | | | Ames National Corp. | | | 6,184 | |
| | 478 | | | | | | | Arrow Financial Corp. | | | 11,462 | |
| | 6,207 | | | | | | | Associated Banc-Corp. | | | 129,354 | |
| | 2,661 | | | | | | | Atlantic Union Bankshares Corp. | | | 88,505 | |
| | 2,109 | | | | | | | Axos Financial Inc.* | | | 109,921 | |
| | 46,353 | | | | | | | Banc of California Inc. | | | 678,144 | |
| | 921 | | | | | | | BancFirst Corp. | | | 80,809 | |
| | 1,623 | | | | | | | Bancorp Inc. (The)* | | | 72,451 | |
| | 343 | | | | | | | Bank First Corp. | | | 29,670 | |
| | 1,399 | | | | | | | Bank of Hawaii Corp. | | | 84,332 | |
| | 722 | | | | | | | Bank of Marin Bancorp | | | 11,992 | |
| | 1,986 | | | | | | | Bank of NT Butterfield & Son Ltd. (The) | | | 59,362 | |
| | 4,246 | | | | | | | Bank OZK | | | 185,975 | |
| | 245 | | | | | | | Bank7 Corp. | | | 6,862 | |
| | 25,987 | | | | | | | BankUnited Inc. | | | 696,971 | |
| | 327 | | | | | | | Bankwell Financial Group Inc. | | | 8,329 | |
| | 6,917 | | | | | | | Banner Corp. | | | 303,241 | |
| | 692 | | | | | | | Bar Harbor Bankshares | | | 17,452 | |
| | 565 | | | | | | | Baycom Corp. | | | 11,311 | |
| | 599 | | | | | | | BCB Bancorp Inc. | | | 6,284 | |
| | 7,884 | | | | | | | Berkshire Hills Bancorp Inc. | | | 169,427 | |
| | 936 | | | | | | | Blue Foundry Bancorp* | | | 8,817 | |
| | 1,144 | | | | | | | Blue Ridge Bankshares Inc. | | | 2,803 | |
| | 1,110 | | | | | | | BOK Financial Corp. | | | 94,361 | |
| | 835 | | | | | | | Bridgewater Bancshares Inc.* | | | 9,895 | |
| | 3,195 | | | | | | | Brookline Bancorp Inc. | | | 31,215 | |
| | 214 | | | | | | | Burke & Herbert Financial Services Corp. | | | 11,702 | |
| | 842 | | | | | | | Business First Bancshares Inc. | | | 18,903 | |
| | 1,141 | | | | | | | Byline Bancorp Inc. | | | 23,778 | |
| | 108 | | | | | | | C&F Financial Corp. | | | 5,770 | |
| | 5,119 | | | | | | | Cadence Bank | | | 141,694 | |
| | 308 | | | | | | | Cambridge Bancorp | | | 19,484 | |
See Notes to Financial Statements.
39
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| FINANCIALS — 12.7% — (continued) | |
|
| Banks — 3.9% — (continued) | |
| | 653 | | | | | | | Camden National Corp. | | $ | 20,752 | |
| | 572 | | | | | | | Capital Bancorp Inc. | | | 11,777 | |
| | 553 | | | | | | | Capital City Bank Group Inc. | | | 15,678 | |
| | 5,361 | | | | | | | Capitol Federal Financial Inc. | | | 31,040 | |
| | 779 | | | | | | | Capstar Financial Holdings Inc. | | | 14,606 | |
| | 965 | | | | | | | Carter Bankshares Inc.* | | | 12,738 | |
| | 2,666 | | | | | | | Cathay General Bancorp | | | 104,107 | |
| | 770 | | | | | | | Central Pacific Financial Corp. | | | 14,368 | |
| | 375 | | | | | | | Central Valley Community Bancorp | | | 7,009 | |
| | 154 | | | | | | | Chemung Financial Corp. | | | 6,560 | |
| | 247 | | | | | | | ChoiceOne Financial Services Inc. | | | 6,573 | |
| | 635 | | | | | | | Citizens & Northern Corp. | | | 11,659 | |
| | 140 | | | | | | | Citizens Financial Services Inc. | | | 6,545 | |
| | 423 | | | | | | | City Holding Co. | | | 42,503 | |
| | 855 | | | | | | | Civista Bancshares Inc. | | | 12,842 | |
| | 817 | | | | | | | CNB Financial Corp. | | | 16,332 | |
| | 417 | | | | | | | Coastal Financial Corp.* | | | 16,009 | |
| | 299 | | | | | | | Codorus Valley Bancorp Inc. | | | 6,883 | |
| | 731 | | | | | | | Colony Bankcorp Inc. | | | 8,290 | |
| | 8,183 | | | | | | | Columbia Banking System Inc. | | | 148,112 | |
| | 1,021 | | | | | | | Columbia Financial Inc.* | | | 17,081 | |
| | 13,652 | | | | | | | Comerica Inc. | | | 674,136 | |
| | 4,769 | | | | | | | Commerce Bancshares Inc. | | | 248,179 | |
| | 1,556 | | | | | | | Community Bank System Inc. | | | 70,487 | |
| | 675 | | | | | | | Community Trust Bancorp Inc. | | | 26,838 | |
| | 1,551 | | | | | | | ConnectOne Bancorp Inc. | | | 30,694 | |
| | 1,541 | | | | | | | CrossFirst Bankshares Inc.* | | | 19,833 | |
| | 2,336 | | | | | | | Cullen/Frost Bankers Inc. | | | 253,479 | |
| | 1,091 | | | | | | | Customers Bancorp Inc.* | | | 59,252 | |
| | 5,019 | | | | | | | CVB Financial Corp. | | | 85,423 | |
| | 1,259 | | | | | | | Dime Community Bancshares Inc. | | | 23,594 | |
| | 919 | | | | | | | Eagle Bancorp Inc. | | | 21,891 | |
| | 5,302 | | | | | | | East West Bancorp Inc. | | | 386,304 | |
| | 5,871 | | | | | | | Eastern Bankshares Inc. | | | 75,853 | |
| | 361 | | | | | | | Enterprise Bancorp Inc. | | | 9,783 | |
| | 1,534 | | | | | | | Enterprise Financial Services Corp. | | | 61,237 | |
| | 673 | | | | | | | Equity Bancshares Inc., Class A Shares | | | 21,422 | |
| | 286 | | | | | | | Esquire Financial Holdings Inc. | | | 14,523 | |
| | 378 | | | | | | | ESSA Bancorp Inc. | | | 6,562 | |
| | 238 | | | | | | | Evans Bancorp Inc. | | | 7,069 | |
| | 603 | | | | | | | Farmers & Merchants Bancorp Inc. | | | 12,181 | |
| | 1,925 | | | | | | | Farmers National Banc Corp. | | | 25,949 | |
| | 1,482 | | | | | | | FB Financial Corp. | | | 52,818 | |
| | 134 | | | | | | | Fidelity D&D Bancorp Inc. | | | 6,692 | |
| | 794 | | | | | | | Financial Institutions Inc. | | | 14,578 | |
| | 7,540 | | | | | | | First Bancorp | | | 151,871 | |
| | 605 | | | | | | | First Bancorp Inc. (The) | | | 14,290 | |
| | 1,379 | | | | | | | First Bancshares Inc. (The) | | | 34,241 | |
| | 727 | | | | | | | First Bank | | | 9,749 | |
| | 2,165 | | | | | | | First Busey Corp. | | | 49,925 | |
| | 371 | | | | | | | First Business Financial Services Inc. | | | 13,089 | |
| | 409 | | | | | | | First Citizens BancShares Inc., Class A Shares | | | 643,688 | |
| | 2,751 | | | | | | | First Commonwealth Financial Corp. | | | 35,846 | |
| | 743 | | | | | | | First Community Bancshares Inc. | | | 24,623 | |
| | 334 | | | | | | | First Community Corp. | | | 5,488 | |
See Notes to Financial Statements.
40
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| FINANCIALS — 12.7% — (continued) | |
|
| Banks — 3.9% — (continued) | |
| | 2,751 | | | | | | | First Financial Bancorp | | $ | 59,697 | |
| | 5,222 | | | | | | | First Financial Bankshares Inc. | | | 161,569 | |
| | 501 | | | | | | | First Financial Corp. | | | 18,652 | |
| | 1,919 | | | | | | | First Foundation Inc. | | | 15,218 | |
| | 5,198 | | | | | | | First Hawaiian Inc. | | | 108,950 | |
| | 21,037 | | | | | | | First Horizon Corp. | | | 296,622 | |
| | 3,384 | | | | | | | First Interstate BancSystem Inc., Class A Shares | | | 89,067 | |
| | 2,521 | | | | | | | First Merchants Corp. | | | 83,697 | |
| | 1,151 | | | | | | | First Mid Bancshares Inc. | | | 34,875 | |
| | 1,106 | | | | | | | First of Long Island Corp. (The) | | | 12,321 | |
| | 320 | | | | | | | First Western Financial Inc.* | | | 4,528 | |
| | 479 | | | | | | | Five Star Bancorp | | | 11,367 | |
| | 1,288 | | | | | | | Flushing Financial Corp. | | | 16,538 | |
| | 15,082 | | | | | | | FNB Corp. | | | 201,194 | |
| | 197 | | | | | | | FS Bancorp Inc. | | | 6,574 | |
| | 5,822 | | | | | | | Fulton Financial Corp. | | | 89,659 | |
| | 686 | | | | | | | FVCBankcorp Inc.* | | | 8,307 | |
| | 1,286 | | | | | | | German American Bancorp Inc. | | | 40,458 | |
| | 4,287 | | | | | | | Glacier Bancorp Inc. | | | 160,420 | |
| | 423 | | | | | | | Great Southern Bancorp Inc. | | | 22,055 | |
| | 266 | | | | | | | Greene County Bancorp Inc. | | | 7,597 | |
| | 344 | | | | | | | Guaranty Bancshares Inc. | | | 9,893 | |
| | 3,184 | | | | | | | Hancock Whitney Corp. | | | 138,822 | |
| | 722 | | | | | | | Hanmi Financial Corp. | | | 10,909 | |
| | 2,063 | | | | | | | HarborOne Bancorp Inc. | | | 21,001 | |
| | 538 | | | | | | | HBT Financial Inc. | | | 10,254 | |
| | 1,666 | | | | | | | Heartland Financial USA Inc. | | | 56,644 | |
| | 2,685 | | | | | | | Heritage Commerce Corp. | | | 22,259 | |
| | 843 | | | | | | | Heritage Financial Corp. | | | 15,469 | |
| | 1,890 | | | | | | | Hilltop Holdings Inc. | | | 58,363 | |
| | 56 | | | | | | | Hingham Institution For Savings The(b) | | | 9,407 | |
| | 353 | | | | | | | Home Bancorp Inc. | | | 12,973 | |
| | 7,596 | | | | | | | Home BancShares Inc. | | | 178,202 | |
| | 964 | | | | | | | HomeStreet Inc. | | | 13,448 | |
| | 700 | | | | | | | HomeTrust Bancshares Inc. | | | 18,375 | |
| | 3,457 | | | | | | | Hope Bancorp Inc. | | | 37,923 | |
| | 1,961 | | | | | | | Horizon Bancorp Inc. | | | 23,610 | |
| | 34,770 | | | | | | | Huntington Bancshares Inc. | | | 453,401 | |
| | 15,382 | | | | | | | Independent Bank Corp. | | | 773,734 | |
| | 1,375 | | | | | | | Independent Bank Group Inc. | | | 60,129 | |
| | 2,099 | | | | | | | International Bancshares Corp. | | | 108,917 | |
| | 587 | | | | | | | John Marshall Bancorp Inc. | | | 10,273 | |
| | 2,369 | | | | | | | Kearny Financial Corp. | | | 15,067 | |
| | 2,589 | | | | | | | Lakeland Bancorp Inc. | | | 30,240 | |
| | 924 | | | | | | | Lakeland Financial Corp. | | | 58,859 | |
| | 403 | | | | | | | LCNB Corp. | | | 5,674 | |
| | 1,277 | | | | | | | Live Oak Bancshares Inc. | | | 50,722 | |
| | 760 | | | | | | | Luther Burbank Corp.* | | | 6,954 | |
| | 1,098 | | | | | | | Macatawa Bank Corp. | | | 10,760 | |
| | 260 | | | | | | | MainStreet Bancshares Inc. | | | 4,684 | |
| | 721 | | | | | | | Mercantile Bank Corp. | | | 26,562 | |
| | 734 | | | | | | | Metrocity Bankshares Inc. | | | 17,836 | |
| | 506 | | | | | | | Metropolitan Bank Holding Corp.* | | | 19,840 | |
| | 566 | | | | | | | Mid Penn Bancorp Inc. | | | 11,903 | |
| | 222 | | | | | | | Middlefield Banc Corp. | | | 5,448 | |
See Notes to Financial Statements.
41
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| FINANCIALS — 12.7% — (continued) | |
|
| Banks — 3.9% — (continued) | |
| | 1,022 | | | | | | | Midland States Bancorp Inc. | | $ | 24,886 | |
| | 706 | | | | | | | MidWestOne Financial Group Inc. | | | 16,182 | |
| | 284 | | | | | | | MVB Financial Corp. | | | 6,080 | |
| | 19,763 | | | | | | | National Bank Holdings Corp., Class A Shares | | | 668,780 | |
| | 191 | | | | | | | National Bankshares Inc. | | | 5,973 | |
| | 1,226 | | | | | | | NBT Bancorp Inc. | | | 42,162 | |
| | 27,474 | | | | | | | New York Community Bancorp Inc. | | | 131,600 | |
| | 468 | | | | | | | Nicolet Bankshares Inc. | | | 36,939 | |
| | 287 | | | | | | | Northeast Bank | | | 15,323 | |
| | 418 | | | | | | | Northeast Community Bancorp Inc. | | | 6,517 | |
| | 1,560 | | | | | | | Northfield Bancorp Inc. | | | 15,756 | |
| | 200 | | | | | | | Northrim BanCorp Inc. | | | 9,946 | |
| | 3,810 | | | | | | | Northwest Bancshares Inc. | | | 43,663 | |
| | 194 | | | | | | | Norwood Financial Corp. | | | 5,356 | |
| | 236 | | | | | | | Oak Valley Bancorp | | | 5,883 | |
| | 2,438 | | | | | | | OceanFirst Financial Corp. | | | 37,058 | |
| | 1,444 | | | | | | | OFG Bancorp | | | 52,302 | |
| | 11,797 | | | | | | | Old National Bancorp | | | 193,825 | |
| | 1,613 | | | | | | | Old Second Bancorp Inc. | | | 21,663 | |
| | 183 | | | | | | | Orange County Bancorp Inc. | | | 8,414 | |
| | 1,367 | | | | | | | Origin Bancorp Inc. | | | 40,791 | |
| | 454 | | | | | | | Orrstown Financial Services Inc. | | | 12,235 | |
| | 16,588 | | | | | | | Pacific Premier Bancorp Inc. | | | 379,202 | |
| | 568 | | | | | | | Park National Corp. | | | 72,994 | |
| | 507 | | | | | | | Parke Bancorp Inc. | | | 8,746 | |
| | 914 | | | | | | | Pathward Financial Inc. | | | 46,468 | |
| | 540 | | | | | | | PCB Bancorp | | | 8,721 | |
| | 890 | | | | | | | Peapack Gladstone Financial Corp. | | | 21,565 | |
| | 220 | | | | | | | Penns Woods Bancorp Inc. | | | 4,255 | |
| | 1,446 | | | | | | | Peoples Bancorp Inc. | | | 40,589 | |
| | 386 | | | | | | | Peoples Financial Services Corp. | | | 15,575 | |
| | 2,955 | | | | | | | Pinnacle Financial Partners Inc. | | | 244,438 | |
| | 545 | | | | | | | Pioneer Bancorp Inc.* | | | 5,079 | |
| | 161 | | | | | | | Plumas Bancorp | | | 5,609 | |
| | 668 | | | | | | | Ponce Financial Group Inc.* | | | 5,892 | |
| | 2,828 | | | | | | | Popular Inc. | | | 236,647 | |
| | 386 | | | | | | | Preferred Bank | | | 27,734 | |
| | 1,513 | | | | | | | Premier Financial Corp. | | | 29,322 | |
| | 950 | | | | | | | Primis Financial Corp. | | | 11,733 | |
| | 209 | | | | | | | Princeton Bancorp Inc. | | | 6,433 | |
| | 3,483 | | | | | | | Prosperity Bancshares Inc. | | | 217,374 | |
| | 2,206 | | | | | | | Provident Financial Services Inc. | | | 33,266 | |
| | 640 | | | | | | | QCR Holdings Inc. | | | 36,480 | |
| | 663 | | | | | | | RBB Bancorp | | | 11,417 | |
| | 182 | | | | | | | Red River Bancshares Inc. | | | 9,064 | |
| | 1,650 | | | | | | | Renasant Corp. | | | 52,157 | |
| | 341 | | | | | | | Republic Bancorp Inc., Class A Shares | | | 16,798 | |
| | 1,103 | | | | | | | S&T Bancorp Inc. | | | 34,403 | |
| | 1,982 | | | | | | | Sandy Spring Bancorp Inc. | | | 43,564 | |
| | 2,485 | | | | | | | Seacoast Banking Corp. of Florida | | | 59,988 | |
| | 1,891 | | | | | | | ServisFirst Bancshares Inc. | | | 119,492 | |
| | 1,226 | | | | | | | Shore Bancshares Inc. | | | 13,927 | |
| | 690 | | | | | | | Sierra Bancorp | | | 12,841 | |
| | 3,907 | | | | | | | Simmons First National Corp., Class A Shares | | | 75,014 | |
| | 655 | | | | | | | SmartFinancial Inc. | | | 14,096 | |
See Notes to Financial Statements.
42
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| FINANCIALS — 12.7% — (continued) | |
|
| Banks — 3.9% — (continued) | |
| | 410 | | | | | | | South Plains Financial Inc. | | $ | 10,939 | |
| | 313 | | | | | | | Southern First Bancshares Inc.* | | | 10,313 | |
| | 327 | | | | | | | Southern Missouri Bancorp Inc. | | | 14,022 | |
| | 275 | | | | | | | Southern States Bancshares Inc. | | | 6,837 | |
| | 906 | | | | | | | Southside Bancshares Inc. | | | 25,966 | |
| | 3,035 | | | | | | | SouthState Corp. | | | 255,061 | |
| | 1,786 | | | | | | | Stellar Bancorp Inc. | | | 42,328 | |
| | 1,036 | | | | | | | Sterling Bancorp Inc.* | | | 5,221 | |
| | 1,107 | | | | | | | Stock Yards Bancorp Inc. | | | 50,712 | |
| | 388 | | | | | | | Summit Financial Group Inc. | | | 10,468 | |
| | 5,518 | | | | | | | Synovus Financial Corp. | | | 209,353 | |
| | 23,792 | | | | | | | Texas Capital Bancshares Inc.* | | | 1,395,401 | |
| | 2,041 | | | | | | | TFS Financial Corp. | | | 26,023 | |
| | 458 | | | | | | | Third Coast Bancshares Inc.* | | | 8,780 | |
| | 237 | | | | | | | Timberland Bancorp Inc. | | | 6,209 | |
| | 620 | | | | | | | Tompkins Financial Corp. | | | 29,859 | |
| | 23,815 | | | | | | | Towne Bank | | | 645,625 | |
| | 1,262 | | | | | | | TriCo Bancshares | | | 42,163 | |
| | 839 | | | | | | | Triumph Financial Inc.* | | | 62,925 | |
| | 651 | | | | | | | TrustCo Bank Corp. NY | | | 17,766 | |
| | 1,807 | | | | | | | Trustmark Corp. | | | 48,536 | |
| | 1,740 | | | | | | | UMB Financial Corp. | | | 142,001 | |
| | 4,876 | | | | | | | United Bankshares Inc. | | | 169,148 | |
| | 17,122 | | | | | | | United Community Banks Inc. | | | 445,343 | |
| | 385 | | | | | | | Unity Bancorp Inc. | | | 10,541 | |
| | 1,520 | | | | | | | Univest Financial Corp. | | | 30,430 | |
| | 346 | | | | | | | USCB Financial Holdings Inc. | | | 3,778 | |
| | 17,222 | | | | | | | Valley National Bancorp | | | 141,048 | |
| | 1,815 | | | | | | | Veritex Holdings Inc. | | | 35,628 | |
| | 198 | | | | | | | Virginia National Bankshares Corp. | | | 6,023 | |
| | 2,534 | | | | | | | WaFd Inc. | | | 69,026 | |
| | 784 | | | | | | | Washington Trust Bancorp Inc. | | | 20,180 | |
| | 6,790 | | | | | | | Webster Financial Corp. | | | 323,476 | |
| | 2,424 | | | | | | | WesBanco Inc. | | | 70,248 | |
| | 761 | | | | | | | West BanCorp Inc. | | | 13,241 | |
| | 757 | | | | | | | Westamerica BanCorp. | | | 34,602 | |
| | 4,163 | | | | | | | Western Alliance Bancorp | | | 240,330 | |
| | 9,420 | | | | | | | Wintrust Financial Corp. | | | 907,617 | |
| | 7,460 | | | | | | | WSFS Financial Corp. | | | 316,229 | |
| | 5,643 | | | | | | | Zions Bancorp NA | | | 222,503 | |
| | | | | | | | | | | | |
| | | | | | | | Total Banks | | | 20,281,926 | |
| | | | | | | | | | | | |
|
| Capital Markets — 2.4% | |
| | 1,362 | | | | | | | Affiliated Managers Group Inc. | | | 212,894 | |
| | 764 | | | | | | | AlTi Global Inc.* | | | 4,477 | |
| | 2,179 | | | | | | | Artisan Partners Asset Management Inc., Class A Shares | | | 93,850 | |
| | 771 | | | | | | | Assetmark Financial Holdings Inc.* | | | 27,255 | |
| | 933 | | | | | | | B. Riley Financial Inc.(b) | | | 17,102 | |
| | 4,167 | | | | | | | Bakkt Holdings Inc.* | | | 2,417 | |
| | 14,093 | | | | | | | BGC Group Inc., Class A Shares | | | 97,946 | |
| | 1,257 | | | | | | | Brightsphere Investment Group Inc. | | | 28,484 | |
| | 8,163 | | | | | | | Carlyle Group Inc. (The) | | | 374,274 | |
| | 4,049 | | | | | | | Cboe Global Markets Inc. | | | 777,408 | |
| | 9,974 | | | | | | | Cohen & Steers Inc. | | | 733,588 | |
| | 116 | | | | | | | Diamond Hill Investment Group Inc. | | | 16,783 | |
See Notes to Financial Statements.
43
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| FINANCIALS — 12.7% — (continued) | |
|
| Capital Markets — 2.4% — (continued) | |
| | 959 | | | | | | | Donnelley Financial Solutions Inc.* | | $ | 61,913 | |
| | 1,383 | | | | | | | Evercore Inc., Class A Shares | | | 258,732 | |
| | 1,477 | | | | | | | FactSet Research Systems Inc. | | | 683,231 | |
| | 3,523 | | | | | | | Forge Global Holdings Inc.* | | | 7,328 | |
| | 1,524 | | | | | | | GCM Grosvenor Inc., Class A Shares | | | 12,908 | |
| | 1,357 | | | | | | | Hamilton Lane Inc., Class A Shares | | | 155,851 | |
| | 1,953 | | | | | | | Houlihan Lokey Inc., Class A Shares | | | 251,273 | |
| | 14,176 | | | | | | | Invesco Ltd. | | | 218,452 | |
| | 5,280 | | | | | | | Janus Henderson Group PLC | | | 164,525 | |
| | 7,170 | | | | | | | Jefferies Financial Group Inc. | | | 299,849 | |
| | 4,207 | | | | | | | Lazard Inc., Class A Shares | | | 162,138 | |
| | 1,420 | | | | | | | MarketAxess Holdings Inc. | | | 303,042 | |
| | 1,956 | | | | | | | MarketWise Inc. | | | 3,540 | |
| | 2,335 | | | | | | | Moelis & Co., Class A Shares | | | 126,183 | |
| | 3,731 | | | | | | | Moody’s Corp. | | | 1,415,616 | |
| | 987 | | | | | | | Morningstar Inc. | | | 294,708 | |
| | 11,414 | | | | | | | Nasdaq Inc. | | | 641,467 | |
| | 27,846 | | | | | | | Northern Trust Corp. | | | 2,286,992 | |
| | 3,688 | | | | | | | Open Lending Corp.* | | | 26,775 | |
| | 1,354 | | | | | | | P10 Inc., Class A Shares | | | 12,552 | |
| | 1,902 | | | | | | | Patria Investments Ltd., Class A Shares | | | 28,340 | |
| | 1,549 | | | | | | | Perella Weinberg Partners, Class A Shares | | | 21,159 | |
| | 694 | | | | | | | Piper Sandler Cos. | | | 130,659 | |
| | 853 | | | | | | | PJT Partners Inc., Class A Shares | | | 89,906 | |
| | 25,847 | | | | | | | Robinhood Markets Inc., Class A Shares* | | | 421,565 | |
| | 3,938 | | | | | | | SEI Investments Co. | | | 264,830 | |
| | 575 | | | | | | | Silvercrest Asset Management Group Inc., Class A Shares | | | 9,643 | |
| | 28,645 | | | | | | | SLR Investment Corp. | | | 428,529 | |
| | 1,921 | | | | | | | StepStone Group Inc., Class A Shares | | | 66,716 | |
| | 3,926 | | | | | | | Stifel Financial Corp. | | | 297,826 | |
| | 1,038 | | | | | | | StoneX Group Inc.* | | | 71,892 | |
| | 2,817 | | | | | | | TPG Inc., Class A Shares | | | 124,934 | |
| | 1,027 | | | | | | | Victory Capital Holdings Inc., Class A Shares | | | 39,468 | |
| | 3,456 | | | | | | | Virtu Financial Inc., Class A Shares | | | 62,381 | |
| | 271 | | | | | | | Virtus Investment Partners Inc. | | | 62,959 | |
| | 4,940 | | | | | | | WisdomTree Inc. | | | 39,816 | |
| | 12,390 | | | | | | | XP Inc., Class A Shares | | | 292,900 | |
| | | | | | | | | | | | |
| | | | | | | | Total Capital Markets | | | 12,227,076 | |
| | | | | | | | | | | | |
|
| Consumer Finance — 0.4% | |
| | 10,381 | | | | | | | Ally Financial Inc. | | | 383,993 | |
| | 163 | | | | | | | Atlanticus Holdings Corp.* | | | 5,403 | |
| | 8,061 | | | | | | | Bread Financial Holdings Inc. | | | 308,575 | |
| | 201 | | | | | | | Consumer Portfolio Services Inc.* | | | 1,775 | |
| | 232 | | | | | | | Credit Acceptance Corp.* | | | 128,435 | |
| | 882 | | | | | | | Encore Capital Group Inc.* | | | 42,336 | |
| | 1,078 | | | | | | | Enova International Inc.* | | | 68,183 | |
| | 1,439 | | | | | | | FirstCash Holdings Inc. | | | 164,766 | |
| | 1,554 | | | | | | | Green Dot Corp., Class A Shares* | | | 12,758 | |
| | 3,916 | | | | | | | LendingClub Corp.* | | | 31,759 | |
| | 456 | | | | | | | LendingTree Inc.* | | | 18,044 | |
| | 3,316 | | | | | | | Navient Corp. | | | 53,918 | |
| | 507 | | | | | | | Nelnet Inc., Class A Shares | | | 43,536 | |
| | 1,164 | | | | | | | NerdWallet Inc., Class A Shares* | | | 19,637 | |
| | 4,416 | | | | | | | OneMain Holdings Inc., Class A Shares | | | 208,568 | |
See Notes to Financial Statements.
44
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| FINANCIALS — 12.7% — (continued) | |
|
| Consumer Finance — 0.4% — (continued) | |
| | 1,781 | | | | | | | OppFi Inc.* | | $ | 6,269 | |
| | 1,477 | | | | | | | PRA Group Inc.* | | | 37,752 | |
| | 1,672 | | | | | | | PROG Holdings Inc.* | | | 51,615 | |
| | 276 | | | | | | | Regional Management Corp. | | | 6,458 | |
| | 8,714 | | | | | | | SLM Corp. | | | 181,513 | |
| | 35,785 | | | | | | | SoFi Technologies Inc.*(b) | | | 321,349 | |
| | 2,885 | | | | | | | Upstart Holdings Inc.*(b) | | | 74,289 | |
| | 162 | | | | | | | World Acceptance Corp.* | | | 19,401 | |
| | | | | | | | | | | | |
| | | | | | | | Total Consumer Finance | | | 2,190,332 | |
| | | | | | | | | | | | |
|
| Financial Services — 2.0% | |
| | 1,324 | | | | | | | Acacia Research Corp.* | | | 5,349 | |
| | 8,628 | | | | | | | Affirm Holdings Inc., Class A Shares* | | | 323,722 | |
| | 766 | | | | | | | Alerus Financial Corp. | | | 16,706 | |
| | 652 | | | | | | | A-Mark Precious Metals Inc. | | | 16,750 | |
| | 5,464 | | | | | | | AvidXchange Holdings Inc.* | | | 72,617 | |
| | 1,063 | | | | | | | Banco Latinoamericano de Comercio Exterior SA, Class E Shares | | | 29,732 | |
| | 12,069 | | | | | | | Cannae Holdings Inc.* | | | 263,346 | |
| | 2,077 | | | | | | | Cantaloupe Inc.* | | | 13,500 | |
| | 515 | | | | | | | Cass Information Systems Inc. | | | 24,885 | |
| | 2,484 | | | | | | | Compass Diversified Holdings | | | 57,132 | |
| | 1,323 | | | | | | | Enact Holdings Inc. | | | 36,674 | |
| | 12,904 | | | | | | | Equitable Holdings Inc. | | | 441,833 | |
| | 4,115 | | | | | | | Essent Group Ltd. | | | 220,440 | |
| | 7,438 | | | | | | | Euronet Worldwide Inc.* | | | 814,015 | |
| | 2,517 | | | | | | | EVERTEC Inc. | | | 90,939 | |
| | 352 | | | | | | | Federal Agricultural Mortgage Corp., Class C Shares | | | 62,962 | |
| | 3,963 | | | | | | | Finance Of America Cos Inc., Class A Shares* | | | 3,426 | |
| | 44,273 | | | | | | | Flywire Corp.* | | | 1,256,910 | |
| | 964 | | | | | | | I3 Verticals Inc., Class A Shares* | | | 20,543 | |
| | 1,409 | | | | | | | International Money Express Inc.* | | | 27,757 | |
| | 2,798 | | | | | | | Jack Henry & Associates Inc. | | | 486,208 | |
| | 2,857 | | | | | | | Jackson Financial Inc., Class A Shares | | | 157,278 | |
| | 77,886 | | | | | | | Marqeta Inc., Class A Shares* | | | 508,596 | |
| | 586 | | | | | | | Merchants Bancorp | | | 25,116 | |
| | 10,485 | | | | | | | MGIC Investment Corp. | | | 208,547 | |
| | 2,429 | | | | | | | Mr. Cooper Group Inc.* | | | 173,139 | |
| | 2,622 | | | | | | | NCR Atleos Corp.* | | | 57,055 | |
| | 808 | | | | | | | NewtekOne Inc.(b) | | | 9,324 | |
| | 3,182 | | | | | | | NMI Holdings Inc., Class A Shares* | | | 95,714 | |
| | 214 | | | | | | | Ocwen Financial Corp.* | | | 5,581 | |
| | 7,204 | | | | | | | Pagseguro Digital Ltd., Class A Shares* | | | 100,280 | |
| | 9,200 | | | | | | | Payoneer Global Inc.* | | | 44,712 | |
| | 1,252 | | | | | | | Paysafe Ltd.* | | | 18,029 | |
| | 2,412 | | | | | | | Paysign Inc.* | | | 7,381 | |
| | 1,082 | | | | | | | PennyMac Financial Services Inc. | | | 91,894 | |
| | 482 | | | | | | | Priority Technology Holdings Inc.* | | | 1,595 | |
| | 5,666 | | | | | | | Radian Group Inc. | | | 165,107 | |
| | 5,187 | | | | | | | Remitly Global Inc.* | | | 106,956 | |
| | 2,846 | | | | | | | Repay Holdings Corp., Class A Shares* | | | 24,732 | |
| | 753 | | | | | | | Security National Financial Corp., Class A Shares* | | | 6,491 | |
| | 17,478 | | | | | | | Shift4 Payments Inc., Class A Shares* | | | 1,437,041 | |
| | 10,919 | | | | | | | StoneCo Ltd., Class A Shares* | | | 187,916 | |
| | 13,555 | | | | | | | Toast Inc., Class A Shares* | | | 311,765 | |
| | 4,318 | | | | | | | UWM Holdings Corp. | | | 27,549 | |
See Notes to Financial Statements.
45
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| FINANCIALS — 12.7% — (continued) | |
|
| Financial Services — 2.0% — (continued) | |
| | 342 | | | | | | | Velocity Financial Inc.* | | $ | 5,592 | |
| | 11,435 | | | | | | | Voya Financial Inc. | | | 781,697 | |
| | 1,192 | | | | | | | Walker & Dunlop Inc. | | | 113,693 | |
| | 1,099 | | | | | | | Waterstone Financial Inc. | | | 13,902 | |
| | 11,051 | | | | | | | Western Union Co. (The) | | | 148,194 | |
| | 6,390 | | | | | | | WEX Inc.* | | | 1,404,075 | |
| | | | | | | | | | | | |
| | | | | | | | Total Financial Services | | | 10,524,397 | |
| | | | | | | | | | | | |
|
| Insurance — 3.5% | |
| | 1,747 | | | | | | | Ambac Financial Group Inc.* | | | 28,581 | |
| | 725 | | | | | | | American Coastal Insurance Corp.* | | | 10,106 | |
| | 3,032 | | | | | | | American Equity Investment Life Holding Co.* | | | 168,397 | |
| | 2,870 | | | | | | | American Financial Group Inc. | | | 366,413 | |
| | 749 | | | | | | | AMERISAFE Inc. | | | 39,517 | |
| | 2,029 | | | | | | | Assurant Inc. | | | 368,162 | |
| | 2,232 | | | | | | | Assured Guaranty Ltd. | | | 204,451 | |
| | 3,472 | | | | | | | Axis Capital Holdings Ltd. | | | 217,243 | |
| | 3,085 | | | | | | | Brighthouse Financial Inc.* | | | 143,607 | |
| | 27,975 | | | | | | | BRP Group Inc., Class A Shares* | | | 778,264 | |
| | 4,730 | | | | | | | CNO Financial Group Inc. | | | 126,244 | |
| | 698 | | | | | | | Crawford & Co., Class A Shares | | | 8,174 | |
| | 558 | | | | | | | Donegal Group Inc., Class A Shares | | | 7,812 | |
| | 11,911 | | | | | | | eHealth Inc.* | | | 78,613 | |
| | 812 | | | | | | | Employers Holdings Inc. | | | 37,116 | |
| | 439 | | | | | | | Enstar Group Ltd.* | | | 135,186 | |
| | 1,658 | | | | | | | Everest Group Ltd. | | | 611,603 | |
| | 752 | | | | | | | F&G Annuities & Life Inc. | | | 28,411 | |
| | 521 | | | | | | | Fidelis Insurance Holdings Ltd.* | | | 7,794 | |
| | 3,846 | | | | | | | First American Financial Corp. | | | 224,645 | |
| | 13,732 | | | | | | | Genworth Financial Inc., Class A Shares* | | | 84,452 | |
| | 6,524 | | | | | | | Globe Life Inc. | | | 828,091 | |
| | 324 | | | | | | | GoHealth Inc., Class A Shares* | | | 4,361 | |
| | 18,792 | | | | | | | Goosehead Insurance Inc., Class A Shares* | | | 1,421,615 | |
| | 1,274 | | | | | | | Greenlight Capital Re Ltd., Class A Shares* | | | 16,091 | |
| | 1,414 | | | | | | | Hanover Insurance Group Inc. (The) | | | 185,899 | |
| | 251 | | | | | | | HCI Group Inc. | | | 24,503 | |
| | 352 | | | | | | | Hippo Holdings Inc.* | | | 4,946 | |
| | 1,213 | | | | | | | Horace Mann Educators Corp. | | | 43,898 | |
| | 51 | | | | | | | Investors Title Co. | | | 7,926 | |
| | 1,768 | | | | | | | James River Group Holdings Ltd. | | | 17,662 | |
| | 2,316 | | | | | | | Kemper Corp. | | | 132,776 | |
| | 681 | | | | | | | Kingsway Financial Services Inc.* | | | 6,006 | |
| | 4,970 | | | | | | | Kinsale Capital Group Inc. | | | 2,565,415 | |
| | 1,963 | | | | | | | Lemonade Inc.*(b) | | | 31,879 | |
| | 6,224 | | | | | | | Lincoln National Corp. | | | 171,409 | |
| | 6,305 | | | | | | | Maiden Holdings Ltd.* | | | 8,512 | |
| | 1,255 | | | | | | | Markel Group Inc.* | | | 1,873,062 | |
| | 1,651 | | | | | | | MBIA Inc.* | | | 10,781 | |
| | 1,086 | | | | | | | Mercury General Corp. | | | 52,877 | |
| | 96 | | | | | | | National Western Life Group Inc., Class A Shares | | | 46,616 | |
| | 380 | | | | | | | NI Holdings Inc.* | | | 5,320 | |
| | 10,508 | | | | | | | Old Republic International Corp. | | | 304,312 | |
| | 6,189 | | | | | | | Oscar Health Inc., Class A Shares* | | | 100,633 | |
| | 10,260 | | | | | | | Palomar Holdings Inc.* | | | 781,196 | |
| | 4,806 | | | | | | | Primerica Inc. | | | 1,178,720 | |
See Notes to Financial Statements.
46
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| FINANCIALS — 12.7% — (continued) | |
|
| Insurance — 3.5% — (continued) | |
| | 1,532 | | | | | | | ProAssurance Corp. | | $ | 18,890 | |
| | 12,257 | | | | | | | Reinsurance Group of America Inc., Class A Shares | | | 2,167,650 | |
| | 1,930 | | | | | | | RenaissanceRe Holdings Ltd. | | | 433,903 | |
| | 1,580 | | | | | | | RLI Corp. | | | 231,391 | |
| | 3,523 | | | | | | | Ryan Specialty Holdings Inc., Class A Shares* | | | 184,535 | |
| | 412 | | | | | | | Safety Insurance Group Inc. | | | 33,850 | |
| | 5,735 | | | | | | | Selective Insurance Group Inc. | | | 599,193 | |
| | 6,025 | | | | | | | Selectquote Inc.* | | | 11,688 | |
| | 2,686 | | | | | | | SiriusPoint Ltd.* | | | 32,957 | |
| | 1,139 | | | | | | | Skyward Specialty Insurance Group Inc.* | | | 41,676 | |
| | 776 | | | | | | | Stewart Information Services Corp. | | | 48,872 | |
| | 1,186 | | | | | | | Tiptree Inc. | | | 20,767 | |
| | 551 | | | | | | | Travelers Cos., Inc. (The) | | | 121,749 | |
| | 1,743 | | | | | | | Trupanion Inc.* | | | 46,625 | |
| | 896 | | | | | | | United Fire Group Inc. | | | 20,868 | |
| | 1,053 | | | | | | | Universal Insurance Holdings Inc. | | | 21,260 | |
| | 6,908 | | | | | | | Unum Group | | | 341,601 | |
| | 92 | | | | | | | White Mountains Insurance Group Ltd. | | | 162,420 | |
| | | | | | | | | | | | |
| | | | | | | | Total Insurance | | | 18,039,192 | |
| | | | | | | | | | | | |
|
| Mortgage Real Estate Investment Trusts (REITs) — 0.5% | |
| | 773 | | | | | | | AFC Gamma Inc. | | | 8,890 | |
| | 24,816 | | | | | | | AGNC Investment Corp. | | | 237,241 | |
| | 286 | | | | | | | Angel Oak Mortgage REIT Inc. | | | 2,994 | |
| | 18,663 | | | | | | | Annaly Capital Management Inc. | | | 356,277 | |
| | 5,815 | | | | | | | Apollo Commercial Real Estate Finance Inc. | | | 65,186 | |
| | 5,912 | | | | | | | Arbor Realty Trust Inc.(b) | | | 79,221 | |
| | 1,995 | | | | | | | Ares Commercial Real Estate Corp. | | | 15,042 | |
| | 1,853 | | | | | | | ARMOUR Residential REIT Inc. | | | 36,689 | |
| | 6,672 | | | | | | | Blackstone Mortgage Trust Inc., Class A Shares | | | 135,909 | |
| | 4,329 | | | | | | | BrightSpire Capital Inc., Class A Shares | | | 29,913 | |
| | 806 | | | | | | | Chicago Atlantic Real Estate Finance Inc. | | | 13,130 | |
| | 8,889 | | | | | | | Chimera Investment Corp. | | | 38,756 | |
| | 3,564 | | | | | | | Claros Mortgage Trust Inc. | | | 34,500 | |
| | 2,026 | | | | | | | Dynex Capital Inc. | | | 25,001 | |
| | 2,959 | | | | | | | Ellington Financial Inc. | | | 33,525 | |
| | 3,014 | | | | | | | Franklin BSP Realty Trust Inc. | | | 38,911 | |
| | 1,891 | | | | | | | Granite Point Mortgage Trust Inc. | | | 8,963 | |
| | 27,427 | | | | | | | Hannon Armstrong Sustainable Infrastructure Capital Inc. | | | 690,338 | |
| | 1,747 | | | | | | | Invesco Mortgage Capital Inc. | | | 15,775 | |
| | 2,316 | | | | | | | KKR Real Estate Finance Trust Inc. | | | 22,581 | |
| | 4,146 | | | | | | | Ladder Capital Corp., Class A Shares | | | 44,818 | |
| | 3,899 | | | | | | | MFA Financial Inc. | | | 43,747 | |
| | 3,073 | | | | | | | New York Mortgage Trust Inc. | | | 22,156 | |
| | 510 | | | | | | | Nexpoint Real Estate Finance Inc. | | | 7,160 | |
| | 1,831 | | | | | | | Orchid Island Capital Inc. | | | 15,747 | |
| | 3,390 | | | | | | | PennyMac Mortgage Investment Trust | | | 47,901 | |
| | 6,379 | | | | | | | Ready Capital Corp. | | | 56,327 | |
| | 4,454 | | | | | | | Redwood Trust Inc. | | | 27,303 | |
| | 19,192 | | | | | | | Rithm Capital Corp. | | | 208,041 | |
| | 11,885 | | | | | | | Starwood Property Trust Inc. | | | 242,335 | |
| | 2,163 | | | | | | | TPG RE Finance Trust Inc. | | | 16,179 | |
| | 3,936 | | | | | | | Two Harbors Investment Corp. | | | 49,869 | |
| | | | | | | | | | | | |
| | | | | | | | Total Mortgage Real Estate Investment Trusts (REITs) | | | 2,670,425 | |
| | | | | | | | | | | | |
| | | | | | | | TOTAL FINANCIALS | | | 65,933,348 | |
| | | | | | | | | | | | |
See Notes to Financial Statements.
47
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| HEALTH CARE — 15.2% | |
|
| Biotechnology — 3.9% | |
| | 1,894 | | | | | | | 2seventy bio Inc.* | | $ | 9,849 | |
| | 1,467 | | | | | | | 4D Molecular Therapeutics Inc.* | | | 41,105 | |
| | 46,400 | | | | | | | 89bio Inc.* | | | 532,208 | |
| | 354 | | | | | | | Aadi Bioscience Inc.* | | | 697 | |
| | 4,608 | | | | | | | ACADIA Pharmaceuticals Inc.* | | | 107,090 | |
| | 1,290 | | | | | | | ACELYRIN Inc.* | | | 10,901 | |
| | 5,051 | | | | | | | Achillion Pharmaceuticals Inc.*(a) | | | 2,323 | |
| | 468 | | | | | | | Acrivon Therapeutics Inc.* | | | 2,274 | |
| | 874 | | | | | | | Actinium Pharmaceuticals Inc.* | | | 7,455 | |
| | 1,213 | | | | | | | Adicet Bio Inc.* | | | 2,851 | |
| | 8,352 | | | | | | | ADMA Biologics Inc.* | | | 44,767 | |
| | 870 | | | | | | | Aduro Biotech Holdings Europe BV*(a)(c) | | | 2,209 | |
| | 643 | | | | | | | Aerovate Therapeutics Inc.* | | | 14,840 | |
| | 12,811 | | | | | | | Agenus Inc.* | | | 8,583 | |
| | 2,066 | | | | | | | Agios Pharmaceuticals Inc.* | | | 66,773 | |
| | 1,888 | | | | | | | Akero Therapeutics Inc.* | | | 50,957 | |
| | 1,677 | | | | | | | Aldeyra Therapeutics Inc.* | | | 6,071 | |
| | 2,467 | | | | | | | Alector Inc.* | | | 17,195 | |
| | 35,079 | | | | | | | Alkermes PLC* | | | 1,041,496 | |
| | 2,261 | | | | | | | Allakos Inc.* | | | 3,346 | |
| | 2,827 | | | | | | | Allogene Therapeutics Inc.* | | | 13,881 | |
| | 1,036 | | | | | | | Allovir Inc.* | | | 763 | |
| | 1,084 | | | | | | | Alpine Immune Sciences Inc.* | | | 38,178 | |
| | 2,143 | | | | | | | Altimmune Inc.* | | | 25,930 | |
| | 1,119 | | | | | | | ALX Oncology Holdings Inc.* | | | 16,416 | |
| | 10,666 | | | | | | | Amicus Therapeutics Inc.* | | | 136,738 | |
| | 711 | | | | | | | AnaptysBio Inc.* | | | 18,152 | |
| | 2,611 | | | | | | | Anavex Life Sciences Corp.*(b) | | | 13,421 | |
| | 530 | | | | | | | Anika Therapeutics Inc.* | | | 12,868 | |
| | 1,763 | | | | | | | Annexon Inc.* | | | 9,820 | |
| | 3,870 | | | | | | | Apellis Pharmaceuticals Inc.* | | | 239,824 | |
| | 742 | | | | | | | Apogee Therapeutics Inc.*(b) | | | 25,836 | |
| | 5,603 | | | | | | | Arbutus Biopharma Corp.* | | | 15,688 | |
| | 1,484 | | | | | | | Arcellx Inc.* | | | 97,677 | |
| | 987 | | | | | | | Arcturus Therapeutics Holdings Inc.* | | | 38,256 | |
| | 1,962 | | | | | | | Arcus Biosciences Inc.* | | | 37,533 | |
| | 4,030 | | | | | | | Arcutis Biotherapeutics Inc.* | | | 41,428 | |
| | 8,853 | | | | | | | Ardelyx Inc.* | | | 82,510 | |
| | 4,288 | | | | | | | Arrowhead Pharmaceuticals Inc.* | | | 137,645 | |
| | 960 | | | | | | | ARS Pharmaceuticals Inc.* | | | 8,035 | |
| | 18,650 | | | | | | | Ascendis Pharma AS, ADR* | | | 2,755,724 | |
| | 1,743 | | | | | | | Astria Therapeutics Inc.* | | | 24,785 | |
| | 3,264 | | | | | | | Atara Biotherapeutics Inc.* | | | 2,539 | |
| | 944 | | | | | | | Aura Biosciences Inc.* | | | 8,562 | |
| | 5,607 | | | | | | | Aurinia Pharmaceuticals Inc.* | | | 32,072 | |
| | 2,130 | | | | | | | Avid Bioservices Inc.* | | | 16,358 | |
| | 3,111 | | | | | | | Avidity Biosciences Inc.* | | | 56,931 | |
| | 894 | | | | | | | Avita Medical Inc.* | | | 16,208 | |
| | 2,656 | | | | | | | Beam Therapeutics Inc.* | | | 104,885 | |
| | 19,120 | | | | | | | Bicycle Therapeutics PLC, ADR* | | | 479,721 | |
| | 1,566 | | | | | | | BioAtla Inc.* | | | 4,228 | |
| | 7,114 | | | | | | | BioCryst Pharmaceuticals Inc.* | | | 40,052 | |
| | 2,548 | | | | | | | Biohaven Ltd.* | | | 122,661 | |
| | 719 | | | | | | | Biomea Fusion Inc.*(b) | | | 12,583 | |
See Notes to Financial Statements.
48
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| HEALTH CARE — 15.2% — (continued) | |
|
| Biotechnology — 3.9% — (continued) | |
| | 654 | | | | | | | Bioxcel Therapeutics Inc.* | | $ | 2,080 | |
| | 4,643 | | | | | | | Bluebird Bio Inc.* | | | 6,454 | |
| | 2,290 | | | | | | | Blueprint Medicines Corp.* | | | 214,161 | |
| | 4,383 | | | | | | | Bridgebio Pharma Inc.* | | | 149,679 | |
| | 1,296 | | | | | | | Cabaletta Bio Inc.* | | | 29,652 | |
| | 2,063 | | | | | | | CareDx Inc.* | | | 21,950 | |
| | 3,156 | | | | | | | Caribou Biosciences Inc.* | | | 24,964 | |
| | 877 | | | | | | | Carisma Therapeutics Inc. | | | 2,263 | |
| | 4,968 | | | | | | | Cartesian Therapeutics Inc.* | | | 3,634 | |
| | 3,721 | | | | | | | Catalyst Pharmaceuticals Inc.* | | | 59,648 | |
| | 546 | | | | | | | Celcuity Inc.* | | | 8,496 | |
| | 1,757 | | | | | | | Celldex Therapeutics Inc.* | | | 84,441 | |
| | 1,003 | | | | | | | Century Therapeutics Inc.* | | | 3,681 | |
| | 2,598 | | | | | | | Cerevel Therapeutics Holdings Inc.* | | | 106,518 | |
| | 2,730 | | | | | | | Cogent Biosciences Inc.* | | | 19,110 | |
| | 3,207 | | | | | | | Coherus Biosciences Inc.* | | | 7,312 | |
| | 3,100 | | | | | | | Compass Therapeutics Inc.* | | | 5,518 | |
| | 2,511 | | | | | | | Crinetics Pharmaceuticals Inc.* | | | 102,800 | |
| | 1,488 | | | | | | | Cue Biopharma Inc.* | | | 3,088 | |
| | 871 | | | | | | | Cullinan Oncology Inc.* | | | 16,087 | |
| | 9,443 | | | | | | | Cytokinetics Inc.* | | | 682,162 | |
| | 2,325 | | | | | | | Day One Biopharmaceuticals Inc.* | | | 38,897 | |
| | 1,864 | | | | | | | Deciphera Pharmaceuticals Inc.* | | | 31,110 | |
| | 4,274 | | | | | | | Denali Therapeutics Inc.* | | | 84,540 | |
| | 1,220 | | | | | | | Design Therapeutics Inc.* | | | 3,392 | |
| | 399 | | | | | | | Discount Medicine Inc., Class A Shares* | | | 27,399 | |
| | 5,009 | | | | | | | Dynavax Technologies Corp.* | | | 63,464 | |
| | 1,705 | | | | | | | Dyne Therapeutics Inc.* | | | 45,865 | |
| | 486 | | | | | | | Eagle Pharmaceuticals Inc.* | | | 2,848 | |
| | 3,076 | | | | | | | Editas Medicine Inc.* | | | 30,945 | |
| | 2,144 | | | | | | | Emergent BioSolutions Inc.* | | | 6,925 | |
| | 712 | | | | | | | Enanta Pharmaceuticals Inc.* | | | 10,231 | |
| | 729 | | | | | | | Entrada Therapeutics Inc.* | | | 9,645 | |
| | 2,775 | | | | | | | Erasca Inc.* | | | 6,605 | |
| | 6,834 | | | | | | | Exact Sciences Corp.* | | | 393,160 | |
| | 11,966 | | | | | | | Exelixis Inc.* | | | 262,055 | |
| | 3,113 | | | | | | | Fate Therapeutics Inc.* | | | 22,071 | |
| | 629 | | | | | | | Fennec Pharmaceuticals Inc.* | | | 5,957 | |
| | 3,344 | | | | | | | FibroGen Inc.* | | | 5,718 | |
| | 784 | | | | | | | Foghorn Therapeutics Inc.* | | | 6,060 | |
| | 700 | | | | | | | Genelux Corp.* | | | 5,110 | |
| | 1,906 | | | | | | | Generation Bio Co.* | | | 4,784 | |
| | 17,899 | | | | | | | Geron Corp.* | | | 35,798 | |
| | 2,397 | | | | | | | Graphite Bio Inc.* | | | 8,126 | |
| | 2,793 | | | | | | | Gritstone bio Inc.* | | | 7,820 | |
| | 4,845 | | | | | | | Halozyme Therapeutics Inc.* | | | 192,879 | |
| | 4,418 | | | | | | | Heron Therapeutics Inc.* | | | 11,752 | |
| | 892 | | | | | | | HilleVax Inc.* | | | 16,190 | |
| | 2,222 | | | | | | | Humacyte Inc.* | | | 9,666 | |
| | 2,253 | | | | | | | Ideaya Biosciences Inc.* | | | 100,709 | |
| | 297 | | | | | | | IGM Biosciences Inc.* | | | 3,751 | |
| | 650 | | | | | | | Immuneering Corp., Class A Shares* | | | 4,030 | |
| | 4,886 | | | | | | | ImmunityBio Inc.*(b) | | | 23,111 | |
| | 2,044 | | | | | | | Immunovant Inc.* | | | 72,296 | |
| | 1,253 | | | | | | | Inhibrx Inc.* | | | 45,897 | |
See Notes to Financial Statements.
49
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| HEALTH CARE — 15.2% — (continued) | |
|
| Biotechnology — 3.9% — (continued) | |
| | 2,635 | | | | | | | Inozyme Pharma Inc.* | | $ | 16,759 | |
| | 5,165 | | | | | | | Insmed Inc.* | | | 143,174 | |
| | 3,418 | | | | | | | Intellia Therapeutics Inc.* | | | 109,786 | |
| | 5,434 | | | | | | | Ionis Pharmaceuticals Inc.* | | | 245,671 | |
| | 8,514 | | | | | | | Iovance Biotherapeutics Inc.* | | | 135,458 | |
| | 5,272 | | | | | | | Ironwood Pharmaceuticals Inc., Class A Shares* | | | 49,715 | |
| | 1,000 | | | | | | | iTeos Therapeutics Inc.* | | | 10,710 | |
| | 1,127 | | | | | | | Janux Therapeutics Inc.* | | | 54,524 | |
| | 1,371 | | | | | | | KalVista Pharmaceuticals Inc.* | | | 18,714 | |
| | 1,362 | | | | | | | Karuna Therapeutics Inc.* | | | 427,627 | |
| | 2,788 | | | | | | | Karyopharm Therapeutics Inc.* | | | 3,234 | |
| | 918 | | | | | | | Keros Therapeutics Inc.* | | | 61,965 | |
| | 1,957 | | | | | | | Kezar Life Sciences Inc.* | | | 2,055 | |
| | 1,073 | | | | | | | Kiniksa Pharmaceuticals Ltd., Class A Shares* | | | 22,683 | |
| | 1,361 | | | | | | | Kodiak Sciences Inc.* | | | 8,180 | |
| | 811 | | | | | | | Krystal Biotech Inc.* | | | 129,330 | |
| | 2,417 | | | | | | | Kura Oncology Inc.* | | | 50,950 | |
| | 1,443 | | | | | | | Kymera Therapeutics Inc.* | | | 61,616 | |
| | 1,727 | | | | | | | Larimar Therapeutics Inc.* | | | 19,860 | |
| | 2,519 | | | | | | | Lexicon Pharmaceuticals Inc.* | | | 6,272 | |
| | 4,062 | | | | | | | Lineage Cell Therapeutics Inc.* | | | 4,224 | |
| | 7,232 | | | | | | | Lyell Immunopharma Inc.* | | | 21,117 | |
| | 2,240 | | | | | | | MacroGenics Inc.* | | | 40,186 | |
| | 552 | | | | | | | Madrigal Pharmaceuticals Inc.* | | | 130,382 | |
| | 10,904 | | | | | | | MannKind Corp.* | | | 44,815 | |
| | 1,109 | | | | | | | MeiraGTx Holdings PLC* | | | 6,843 | |
| | 483 | | | | | | | Merrimack Pharmaceuticals Inc.* | | | 7,100 | |
| | 3,754 | | | | | | | Mersana Therapeutics Inc.* | | | 20,422 | |
| | 4,371 | | | | | | | MiMedx Group Inc.* | | | 35,667 | |
| | 465 | | | | | | | Mineralys Therapeutics Inc.* | | | 7,152 | |
| | 977 | | | | | | | Mirum Pharmaceuticals Inc.* | | | 28,050 | |
| | 1,250 | | | | | | | Monte Rosa Therapeutics Inc.* | | | 7,913 | |
| | 14,540 | | | | | | | MoonLake Immunotherapeutics, Class A Shares*(b) | | | 701,410 | |
| | 1,518 | | | | | | | Morphic Holding Inc.* | | | 56,090 | |
| | 37,556 | | | | | | | Mural Oncology PLC* | | | 198,671 | |
| | 2,979 | | | | | | | Myriad Genetics Inc.* | | | 62,350 | |
| | 4,114 | | | | | | | Natera Inc.* | | | 355,820 | |
| | 3,709 | | | | | | | Neurocrine Biosciences Inc.* | | | 483,654 | |
| | 1,590 | | | | | | | Nkarta Inc.* | | | 19,207 | |
| | 4,491 | | | | | | | Novavax Inc.*(b) | | | 22,186 | |
| | 1,837 | | | | | | | Nurix Therapeutics Inc.* | | | 22,687 | |
| | 990 | | | | | | | Nuvalent Inc., Class A Shares* | | | 83,279 | |
| | 334 | | | | | | | Nuvectis Pharma Inc.* | | | 3,297 | |
| | 891 | | | | | | | Olema Pharmaceuticals Inc.* | | | 11,048 | |
| | 819 | | | | | | | Omega Therapeutics Inc.* | | | 3,366 | |
| | 19 | | | | | | | Oncternal Therapeutics Inc.*(a) | | | 19 | |
| | 2,782 | | | | | | | Organogenesis Holdings Inc., Class A Shares* | | | 9,932 | |
| | 1,978 | | | | | | | ORIC Pharmaceuticals Inc.* | | | 25,200 | |
| | 6,955 | | | | | | | Outlook Therapeutics Inc.* | | | 3,038 | |
| | 2,010 | | | | | | | Ovid therapeutics Inc.* | | | 6,834 | |
| | 1,007 | | | | | | | PDS Biotechnology Corp.* | | | 6,636 | |
| | 569 | | | | | | | PepGen Inc.* | | | 9,645 | |
| | 1,268 | | | | | | | PMV Pharmaceuticals Inc.* | | | 2,346 | |
| | 2,515 | | | | | | | Poseida Therapeutics Inc., Class A Shares* | | | 9,959 | |
| | 8,172 | | | | | | | Precigen Inc.* | | | 12,585 | |
See Notes to Financial Statements.
50
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| HEALTH CARE — 15.2% — (continued) | |
|
| Biotechnology — 3.9% — (continued) | |
| | 1,847 | | | | | | | Prelude Therapeutics Inc.* | | $ | 7,942 | |
| | 1,377 | | | | | | | Prime Medicine Inc.* | | | 11,884 | |
| | 1,385 | | | | | | | ProKidney Corp., Class A Shares* | | | 2,258 | |
| | 2,018 | | | | | | | Protagonist Therapeutics Inc.* | | | 61,307 | |
| | 2,660 | | | | | | | Protalix BioTherapeutics Inc.* | | | 4,336 | |
| | 1,703 | | | | | | | Prothena Corp. PLC* | | | 46,986 | |
| | 2,789 | | | | | | | PTC Therapeutics Inc.* | | | 78,622 | |
| | 1,002 | | | | | | | Rallybio Corp.* | | | 2,330 | |
| | 1,172 | | | | | | | RAPT Therapeutics Inc.* | | | 10,044 | |
| | 5,037 | | | | | | | Recursion Pharmaceuticals Inc., Class A Shares*(b) | | | 67,798 | |
| | 1,451 | | | | | | | REGENXBIO Inc.* | | | 25,305 | |
| | 3,884 | | | | | | | Relay Therapeutics Inc.* | | | 38,918 | |
| | 848 | | | | | | | Reneo Pharmaceuticals Inc.* | | | 1,399 | |
| | 2,220 | | | | | | | Replimune Group Inc.* | | | 19,048 | |
| | 5,593 | | | | | | | REVOLUTION Medicines Inc.* | | | 164,882 | |
| | 1,992 | | | | | | | Rhythm Pharmaceuticals Inc.* | | | 86,493 | |
| | 5,956 | | | | | | | Rigel Pharmaceuticals Inc.* | | | 9,053 | |
| | 37,956 | | | | | | | Rocket Pharmaceuticals Inc.* | | | 1,112,111 | |
| | 13,429 | | | | | | | Roivant Sciences Ltd.* | | | 153,628 | |
| | 2,005 | | | | | | | Sage Therapeutics Inc.* | | | 43,067 | |
| | 497 | | | | | | | Sagimet Biosciences Inc., Class A Shares* | | | 3,047 | |
| | 3,358 | | | | | | | Sana Biotechnology Inc.* | | | 33,714 | |
| | 5,271 | | | | | | | Sangamo Therapeutics Inc.* | | | 6,114 | |
| | 3,427 | | | | | | | Sarepta Therapeutics Inc.* | | | 438,313 | |
| | 2,877 | | | | | | | Savara Inc.* | | | 14,529 | |
| | 2,328 | | | | | | | Scholar Rock Holding Corp.* | | | 36,084 | |
| | 3,866 | | | | | | | Seres Therapeutics Inc.* | | | 4,407 | |
| | 2,664 | | | | | | | SpringWorks Therapeutics Inc.* | | | 131,229 | |
| | 1,107 | | | | | | | Stoke Therapeutics Inc.* | | | 8,568 | |
| | 3,907 | | | | | | | Summit Therapeutics Inc.*(b) | | | 17,738 | |
| | 3,230 | | | | | | | Sutro Biopharma Inc.* | | | 15,859 | |
| | 2,631 | | | | | | | Syndax Pharmaceuticals Inc.* | | | 61,671 | |
| | 1,743 | | | | | | | Tango Therapeutics Inc.* | | | 19,400 | |
| | 1,223 | | | | | | | Tenaya Therapeutics Inc.* | | | 7,277 | |
| | 5,584 | | | | | | | TG Therapeutics Inc.* | | | 96,156 | |
| | 2,561 | | | | | | | Travere Therapeutics Inc., Class Preferred Shares* | | | 19,361 | |
| | 2,119 | | | | | | | Twist Bioscience Corp.* | | | 83,256 | |
| | 599 | | | | | | | Tyra Biosciences Inc.* | | | 11,974 | |
| | 2,969 | | | | | | | Ultragenyx Pharmaceutical Inc.* | | | 153,557 | |
| | 1,729 | | | | | | | United Therapeutics Corp.* | | | 390,132 | |
| | 1,060 | | | | | | | UroGen Pharma Ltd.* | | | 19,430 | |
| | 2,203 | | | | | | | Vanda Pharmaceuticals Inc.* | | | 9,847 | |
| | 21,051 | | | | | | | Vaxcyte Inc.* | | | 1,553,985 | |
| | 2,720 | | | | | | | Vaxxinity Inc., Class A Shares* | | | 2,326 | |
| | 1,189 | | | | | | | Vera Therapeutics Inc., Class A Shares* | | | 55,978 | |
| | 2,741 | | | | | | | Veracyte Inc.* | | | 64,551 | |
| | 1,815 | | | | | | | Vericel Corp.* | | | 82,909 | |
| | 1,869 | | | | | | | Verve Therapeutics Inc.* | | | 31,866 | |
| | 570 | | | | | | | Vigil Neuroscience Inc.* | | | 1,984 | |
| | 8,919 | | | | | | | Viking Therapeutics Inc.* | | | 687,209 | |
| | 3,014 | | | | | | | Vir Biotechnology Inc.* | | | 33,877 | |
| | 1,634 | | | | | | | Viridian Therapeutics Inc.* | | | 30,572 | |
| | 1,219 | | | | | | | Vor BioPharma Inc.* | | | 2,804 | |
| | 1,127 | | | | | | | Voyager Therapeutics Inc.* | | | 9,377 | |
| | 4,096 | | | | | | | X4 Pharmaceuticals Inc.* | | | 3,976 | |
See Notes to Financial Statements.
51
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| HEALTH CARE — 15.2% — (continued) | |
|
| Biotechnology — 3.9% — (continued) | |
| | 2,183 | | | | | | | Xencor Inc.* | | $ | 50,100 | |
| | 6,670 | | | | | | | Xenon Pharmaceuticals Inc.* | | | 314,824 | |
| | 322 | | | | | | | XOMA Corp.* | | | 7,828 | |
| | 1,519 | | | | | | | Y-mAbs Therapeutics Inc.* | | | 25,367 | |
| | 2,160 | | | | | | | Zentalis Pharmaceuticals Inc.* | | | 32,206 | |
| | 470 | | | | | | | Zura Bio Ltd., Class A Shares* | | | 1,730 | |
| | 1,842 | | | | | | | Zymeworks Inc.* | | | 22,122 | |
| | | | | | | | | | | | |
| | | | | | | | Total Biotechnology | | | 20,399,480 | |
| | | | | | | | | | | | |
|
| Health Care Equipment & Supplies — 3.9% | |
| | 91,424 | | | | | | | Accuray Inc.* | | | 237,702 | |
| | 3,537 | | | | | | | Alphatec Holdings Inc.* | | | 47,502 | |
| | 1,224 | | | | | | | AngioDynamics Inc.* | | | 6,720 | |
| | 1,647 | | | | | | | Artivion Inc.* | | | 31,787 | |
| | 13,065 | | | | | | | AtriCure Inc.* | | | 456,883 | |
| | 48 | | | | | | | Atrion Corp. | | | 17,664 | |
| | 14,333 | | | | | | | Avanos Medical Inc.* | | | 266,164 | |
| | 1,826 | | | | | | | AxoGen Inc.* | | | 19,283 | |
| | 1,890 | | | | | | | Axonics Inc.* | | | 128,407 | |
| | 971 | | | | | | | Beyond Air Inc.* | | | 1,991 | |
| | 5,328 | | | | | | | Butterfly Network Inc.* | | | 6,340 | |
| | 6,314 | | | | | | | Cerus Corp.* | | | 13,765 | |
| | 869 | | | | | | | ClearPoint Neuro Inc.* | | | 5,553 | |
| | 1,169 | | | | | | | CONMED Corp. | | | 93,894 | |
| | 634 | | | | | | | Cutera Inc.* | | | 1,420 | |
| | 406 | | | | | | | CVRx Inc.* | | | 7,970 | |
| | 20,132 | | | | | | | CytoSorbents Corp.* | | | 19,307 | |
| | 110,056 | | | | | | | DENTSPLY SIRONA Inc. | | | 3,596,630 | |
| | 14,589 | | | | | | | Edwards Lifesciences Corp.* | | | 1,238,168 | |
| | 2,187 | | | | | | | Embecta Corp. | | | 31,230 | |
| | 2,066 | | | | | | | Enovis Corp.* | | | 123,567 | |
| | 52,087 | | | | | | | Envista Holdings Corp.* | | | 1,075,597 | |
| | 1,831 | | | | | | | Glaukos Corp.* | | | 162,208 | |
| | 4,545 | | | | | | | Globus Medical Inc., Class A Shares* | | | 245,385 | |
| | 27,447 | | | | | | | Haemonetics Corp.* | | | 2,003,082 | |
| | 5,214 | | | | | | | Hologic Inc.* | | | 384,793 | |
| | 744 | | | | | | | ICU Medical Inc.* | | | 81,267 | |
| | 2,080 | | | | | | | Inari Medical Inc.* | | | 95,930 | |
| | 3,084 | | | | | | | Inmode Ltd.* | | | 67,848 | |
| | 990 | | | | | | | Inogen Inc.* | | | 6,583 | |
| | 4,810 | | | | | | | Inspire Medical Systems Inc.* | | | 861,182 | |
| | 1,261 | | | | | | | Integer Holdings Corp.* | | | 139,076 | |
| | 12,298 | | | | | | | Integra LifeSciences Holdings Corp.* | | | 453,919 | |
| | 3,052 | | | | | | | Intuitive Surgical Inc.* | | | 1,176,851 | |
| | 236 | | | | | | | iRadimed Corp. | | | 9,905 | |
| | 10,409 | | | | | | | iRhythm Technologies Inc.* | | | 1,235,028 | |
| | 1,545 | | | | | | | KORU Medical Systems Inc.* | | | 3,275 | |
| | 18,999 | | | | | | | Lantheus Holdings Inc.* | | | 1,242,155 | |
| | 788 | | | | | | | LeMaitre Vascular Inc. | | | 55,160 | |
| | 2,030 | | | | | | | LivaNova PLC* | | | 111,264 | |
| | 1,654 | | | | | | | Masimo Corp.* | | | 212,605 | |
| | 15,175 | | | | | | | Merit Medical Systems Inc.* | | | 1,156,335 | |
| | 8,287 | | | | | | | Neogen Corp.* | | | 142,454 | |
| | 1,335 | | | | | | | Nevro Corp.* | | | 19,438 | |
| | 3,989 | | | | | | | Novocure Ltd.* | | | 61,072 | |
See Notes to Financial Statements.
52
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| HEALTH CARE — 15.2% — (continued) | |
|
| Health Care Equipment & Supplies — 3.9% — (continued) | |
| | 1,804 | | | | | | | Omnicell Inc.* | | $ | 47,337 | |
| | 60,142 | | | | | | | OraSure Technologies Inc.* | | | 432,722 | |
| | 1,194 | | | | | | | Orchestra BioMed Holdings Inc.* | | | 7,689 | |
| | 1,175 | | | | | | | Orthofix Medical Inc.* | | | 15,346 | |
| | 567 | | | | | | | OrthoPediatrics Corp.* | | | 15,570 | |
| | 1,689 | | | | | | | Outset Medical Inc.* | | | 5,320 | |
| | 1,646 | | | | | | | Paragon 28 Inc.* | | | 20,542 | |
| | 1,387 | | | | | | | Penumbra Inc.* | | | 325,834 | |
| | 1,535 | | | | | | | PROCEPT BioRobotics Corp.* | | | 74,202 | |
| | 1,660 | | | | | | | Pulmonx Corp.* | | | 15,305 | |
| | 989 | | | | | | | Pulse Biosciences Inc.*(b) | | | 9,771 | |
| | 5,916 | | | | | | | QuidelOrtho Corp.* | | | 269,770 | |
| | 1,104 | | | | | | | RxSight Inc.* | | | 60,245 | |
| | 143 | | | | | | | Sanara Medtech Inc.* | | | 5,440 | |
| | 233 | | | | | | | Semler Scientific Inc.* | | | 10,991 | |
| | 1,389 | | | | | | | Shockwave Medical Inc.* | | | 362,348 | |
| | 1,549 | | | | | | | SI-BONE Inc.* | | | 26,875 | |
| | 981 | | | | | | | Sight Sciences Inc.* | | | 3,944 | |
| | 1,454 | | | | | | | Silk Road Medical Inc.* | | | 26,157 | |
| | 1,958 | | | | | | | STAAR Surgical Co.* | | | 61,168 | |
| | 496 | | | | | | | Surmodics Inc.* | | | 15,822 | |
| | 906 | | | | | | | Tactile Systems Technology Inc.* | | | 13,816 | |
| | 2,454 | | | | | | | Tandem Diabetes Care Inc.* | | | 65,350 | |
| | 548 | | | | | | | Tela Bio Inc.* | | | 3,704 | |
| | 1,442 | | | | | | | Teleflex Inc. | | | 321,263 | |
| | 1,178 | | | | | | | TransMedics Group Inc.* | | | 96,125 | |
| | 1,716 | | | | | | | Treace Medical Concepts Inc.* | | | 23,063 | |
| | 247 | | | | | | | UFP Technologies Inc.* | | | 51,453 | |
| | 120 | | | | | | | Utah Medical Products Inc. | | | 8,422 | |
| | 16,357 | | | | | | | Varex Imaging Corp.* | | | 281,340 | |
| | 2,847 | | | | | | | Vicarious Surgical Inc., Class A Shares* | | | 1,208 | |
| | 21,435 | | | | | | | Zimvie Inc.* | | | 363,323 | |
| | 811 | | | | | | | Zynex Inc.* | | | 10,997 | |
| | | | | | | | | | | | |
| | | | | | | | Total Health Care Equipment & Supplies | | | 20,406,821 | |
| | | | | | | | | | | | |
|
| Health Care Providers & Services — 3.0% | |
| | 9,685 | | | | | | | 23andMe Holding Co., Class A Shares* | | | 5,520 | |
| | 36,173 | | | | | | | Acadia Healthcare Co., Inc.* | | | 3,018,637 | |
| | 2,358 | | | | | | | Accolade Inc.* | | | 24,170 | |
| | 3,521 | | | | | | | AdaptHealth Corp., Class A Shares* | | | 36,020 | |
| | 584 | | | | | | | Addus HomeCare Corp.* | | | 53,892 | |
| | 931 | | | | | | | Agiliti Inc.* | | | 9,189 | |
| | 11,650 | | | | | | | agilon health Inc.* | | | 71,415 | |
| | 782 | | | | | | | AirSculpt Technologies Inc.* | | | 4,934 | |
| | 3,586 | | | | | | | Alignment Healthcare Inc.* | | | 21,516 | |
| | 1,234 | | | | | | | Amedisys Inc.* | | | 114,787 | |
| | 1,458 | | | | | | | AMN Healthcare Services Inc.* | | | 82,042 | |
| | 1,632 | | | | | | | Astrana Health Inc.* | | | 73,505 | |
| | 1,522 | | | | | | | Aveanna Healthcare Holdings Inc.* | | | 3,607 | |
| | 7,764 | | | | | | | Brookdale Senior Living Inc.* | | | 44,410 | |
| | 93 | | | | | | | CareMax Inc.* | | | 715 | |
| | 919 | | | | | | | Castle Biosciences Inc.* | | | 16,597 | |
| | 2,103 | | | | | | | Chemed Corp. | | | 1,316,751 | |
| | 5,286 | | | | | | | Community Health Systems Inc.* | | | 14,748 | |
| | 305 | | | | | | | CorVel Corp.* | | | 74,420 | |
See Notes to Financial Statements.
53
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| HEALTH CARE — 15.2% — (continued) | |
|
| Health Care Providers & Services — 3.0% — (continued) | |
| | 1,387 | | | | | | | Cross Country Healthcare Inc.* | | $ | 25,340 | |
| | 2,085 | | | | | | | DaVita Inc.* | | | 264,732 | |
| | 2,822 | | | | | | | DocGo Inc.* | | | 11,486 | |
| | 12,469 | | | | | | | Encompass Health Corp. | | | 927,694 | |
| | 2,014 | | | | | | | Enhabit Inc.* | | | 18,126 | |
| | 2,081 | | | | | | | Ensign Group Inc. (The) | | | 259,959 | |
| | 726 | | | | | | | Fulgent Genetics Inc.* | | | 16,379 | |
| | 4,188 | | | | | | | Guardant Health Inc.* | | | 79,572 | |
| | 12,181 | | | | | | | HealthEquity Inc.* | | | 1,006,272 | |
| | 20,692 | | | | | | | Henry Schein Inc.* | | | 1,582,317 | |
| | 4,666 | | | | | | | Hims & Hers Health Inc.* | | | 60,845 | |
| | 589 | | | | | | | InfuSystem Holdings Inc.* | | | 5,448 | |
| | 722 | | | | | | | Innovage Holding Corp.* | | | 3,494 | |
| | 633 | | | | | | | Joint Corp. (The)* | | | 6,241 | |
| | 3,803 | | | | | | | LifeStance Health Group Inc.* | | | 31,755 | |
| | 616 | | | | | | | ModivCare Inc.* | | | 17,273 | |
| | 2,450 | | | | | | | Molina Healthcare Inc.* | | | 965,079 | |
| | 1,596 | | | | | | | Nano-X Imaging Ltd.*(b) | | | 17,811 | |
| | 508 | | | | | | | National HealthCare Corp. | | | 50,119 | |
| | 496 | | | | | | | National Research Corp. | | | 19,999 | |
| | 4,862 | | | | | | | NeoGenomics Inc.* | | | 75,847 | |
| | 13,691 | | | | | | | OPKO Health Inc.*(b) | | | 13,691 | |
| | 53,606 | | | | | | | Option Care Health Inc.* | | | 1,729,866 | |
| | 2,753 | | | | | | | Owens & Minor Inc.* | | | 66,980 | |
| | 1,319 | | | | | | | P3 Health Partners Inc.* | | | 1,372 | |
| | 22,885 | | | | | | | Patterson Cos., Inc. | | | 619,955 | |
| | 15,668 | | | | | | | Pediatrix Medical Group Inc.* | | | 143,362 | |
| | 916 | | | | | | | Pennant Group Inc. (The)* | | | 17,083 | |
| | 20,945 | | | | | | | PetIQ Inc., Class A Shares* | | | 381,408 | |
| | 4,545 | | | | | | | Premier Inc., Class A Shares | | | 94,809 | |
| | 4,279 | | | | | | | Privia Health Group Inc.* | | | 95,507 | |
| | 3,052 | | | | | | | Progyny Inc.* | | | 111,459 | |
| | 7,570 | | | | | | | Quest Diagnostics Inc. | | | 945,417 | |
| | 1,232 | | | | | | | Quipt Home Medical Corp.* | | | 5,285 | |
| | 5,757 | | | | | | | R1 RCM Inc.* | | | 80,886 | |
| | 2,223 | | | | | | | RadNet Inc.* | | | 84,163 | |
| | 3,798 | | | | | | | Select Medical Holdings Corp. | | | 103,420 | |
| | 2,792 | | | | | | | Surgery Partners Inc.* | | | 86,636 | |
| | 3,874 | | | | | | | Tenet Healthcare Corp.* | | | 360,282 | |
| | 2,298 | | | | | | | Universal Health Services Inc., Class B Shares | | | 383,904 | |
| | 569 | | | | | | | US Physical Therapy Inc. | | | 60,468 | |
| | 1,122 | | | | | | | Viemed Healthcare Inc.* | | | 9,492 | |
| | | | | | | | | | | | |
| | | | | | | | Total Health Care Providers & Services | | | 15,828,108 | |
| | | | | | | | | | | | |
|
| Health Care Technology — 0.6% | |
| | 8,519 | | | | | | | American Well Corp., Class A Shares* | | | 9,201 | |
| | 4,518 | | | | | | | Certara Inc.* | | | 76,264 | |
| | 536 | | | | | | | Computer Programs & Systems Inc.* | | | 4,749 | |
| | 2,148 | | | | | | | Definitive Healthcare Corp., Class A Shares* | | | 20,449 | |
| | 4,642 | | | | | | | Doximity Inc., Class A Shares* | | | 131,044 | |
| | 4,191 | | | | | | | Evolent Health Inc., Class A Shares* | | | 142,117 | |
| | 2,001 | | | | | | | Health Catalyst Inc.* | | | 16,648 | |
| | 873 | | | | | | | HealthStream Inc. | | | 23,815 | |
| | 15,564 | | | | | | | Multiplan Corp.* | | | 17,432 | |
| | 765 | | | | | | | OptimizeRx Corp.* | | | 12,110 | |
See Notes to Financial Statements.
54
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| HEALTH CARE — 15.2% — (continued) | |
|
| Health Care Technology — 0.6% — (continued) | |
| | 2,149 | | | | | | | Phreesia Inc.* | | $ | 53,188 | |
| | 2,203 | | | | | | | Schrodinger Inc.* | | | 56,088 | |
| | 10,385 | | | | | | | Sharecare Inc.* | | | 9,762 | |
| | 547 | | | | | | | Simulations Plus Inc. | | | 22,700 | |
| | 6,416 | | | | | | | Teladoc Health Inc.* | | | 96,753 | |
| | 10,725 | | | | | | | Veeva Systems Inc., Class A Shares* | | | 2,418,595 | |
| | | | | | | | | | | | |
| | | | | | | | Total Health Care Technology | | | 3,110,915 | |
| | | | | | | | | | | | |
|
| Life Sciences Tools & Services — 2.7% | |
| | 3,534 | | | | | | | 10X Genomics Inc., Class A Shares* | | | 164,826 | |
| | 3,898 | | | | | | | Adaptive Biotechnologies Corp.* | | | 16,021 | |
| | 767 | | | | | | | Akoya Biosciences Inc.* | | | 4,403 | |
| | 2,233 | | | | | | | Azenta Inc.* | | | 145,480 | |
| | 1,206 | | | | | | | BioLife Solutions Inc.* | | | 20,381 | |
| | 2,268 | | | | | | | Bio-Rad Laboratories Inc., Class A Shares* | | | 739,096 | |
| | 34,716 | | | | | | | Bio-Techne Corp. | | | 2,554,056 | |
| | 4,064 | | | | | | | Bruker Corp. | | | 351,699 | |
| | 7,357 | | | | | | | Charles River Laboratories International Inc.* | | | 1,870,076 | |
| | 2,245 | | | | | | | Codexis Inc.* | | | 10,439 | |
| | 1,543 | | | | | | | CryoPort Inc.* | | | 27,265 | |
| | 5,171 | | | | | | | Cytek Biosciences Inc.* | | | 39,817 | |
| | 1,350 | | | | | | | Harvard Bioscience Inc.* | | | 5,846 | |
| | 12,881 | | | | | | | Illumina Inc.* | | | 1,801,150 | |
| | 3,971 | | | | | | | Maravai LifeSciences Holdings Inc., Class A Shares* | | | 30,696 | |
| | 3,229 | | | | | | | MaxCyte Inc.* | | | 14,853 | |
| | 893 | | | | | | | Medpace Holdings Inc.* | | | 354,985 | |
| | 188 | | | | | | | Mesa Laboratories Inc. | | | 20,528 | |
| | 1,289 | | | | | | | Nautilus Biotechnology Inc., Class A Shares* | | | 3,467 | |
| | 4,188 | | | | | | | OmniAb Inc.* | | | 24,458 | |
| | 234 | | | | | | | OmniAb Inc., Class CR3 Shares (Cost — $0, acquired 11/3/22)*(a)(c)(d) | | | — | |
| | 234 | | | | | | | OmniAb Inc., Class CR4 Shares (Cost — $0, acquired 11/3/22)*(a)(c)(d) | | | — | |
| | 10,108 | | | | | | | Pacific Biosciences of California Inc.* | | | 55,897 | |
| | 50,227 | | | | | | | QIAGEN NV* | | | 2,149,213 | |
| | 1,361 | | | | | | | Quanterix Corp.* | | | 32,610 | |
| | 4,548 | | | | | | | Quantum-Si Inc.* | | | 7,595 | |
| | 9,622 | | | | | | | Repligen Corp.* | | | 1,866,572 | |
| | 1,843 | | | | | | | Seer Inc., Class A Shares* | | | 3,354 | |
| | 4,034 | | | | | | | Sotera Health Co.* | | | 60,550 | |
| | 88,603 | | | | | | | Standard BioTools Inc.*(b) | | | 199,357 | |
| | 2,127 | | | | | | | Waters Corp.* | | | 717,692 | |
| | 1,540 | | | | | | | West Pharmaceutical Services Inc. | | | 551,874 | |
| | | | | | | | | | | | |
| | | | | | | | Total Life Sciences Tools & Services | | | 13,844,256 | |
| | | | | | | | | | | | |
|
| Pharmaceuticals — 1.1% | |
| | 2,445 | | | | | | | Aclaris Therapeutics Inc.* | | | 2,910 | |
| | 64,472 | | | | | | | Amneal Pharmaceuticals Inc.* | | | 355,885 | |
| | 1,437 | | | | | | | Amphastar Pharmaceuticals Inc.* | | | 66,921 | |
| | 1,899 | | | | | | | Amylyx Pharmaceuticals Inc.* | | | 35,796 | |
| | 534 | | | | | | | ANI Pharmaceuticals Inc.* | | | 36,136 | |
| | 1,849 | | | | | | | Arvinas Inc.* | | | 85,017 | |
| | 3,800 | | | | | | | Assertio Holdings Inc.* | | | 3,359 | |
| | 3,220 | | | | | | | Atea Pharmaceuticals Inc.* | | | 13,878 | |
| | 1,369 | | | | | | | Axsome Therapeutics Inc.* | | | 111,409 | |
| | 813 | | | | | | | Biote Corp., Class A Shares* | | | 4,837 | |
| | 1,882 | | | | | | | Cara Therapeutics Inc.* | | | 1,600 | |
See Notes to Financial Statements.
55
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| HEALTH CARE — 15.2% — (continued) | |
|
| Pharmaceuticals — 1.1% — (continued) | |
| | 1,467 | | | | | | | Cassava Sciences Inc.*(b) | | $ | 33,712 | |
| | 17,610 | | | | | | | Catalent Inc.* | | | 1,009,757 | |
| | 1,004 | | | | | | | CinCor Pharma Inc.*(a) | | | 3,163 | |
| | 4,809 | | | | | | | Citius Pharmaceuticals Inc.* | | | 3,695 | |
| | 1,236 | | | | | | | Collegium Pharmaceutical Inc.* | | | 45,374 | |
| | 3,140 | | | | | | | Corcept Therapeutics Inc.* | | | 73,790 | |
| | 1,546 | | | | | | | CorMedix Inc.* | | | 5,473 | |
| | 4,472 | | | | | | | Cymabay Therapeutics Inc.* | | | 143,954 | |
| | 1,704 | | | | | | | Edgewise Therapeutics Inc.* | | | 27,826 | |
| | 18,698 | | | | | | | Elanco Animal Health Inc.* | | | 297,111 | |
| | 826 | | | | | | | Enliven Therapeutics Inc.*(b) | | | 13,191 | |
| | 1,849 | | | | | | | Evolus Inc.* | | | 27,421 | |
| | 4,195 | | | | | | | Eyenovia Inc.* | | | 9,082 | |
| | 1,123 | | | | | | | EyePoint Pharmaceuticals Inc.* | | | 30,557 | |
| | 1,175 | | | | | | | Harmony Biosciences Holdings Inc.* | | | 37,717 | |
| | 1,613 | | | | | | | Harrow Inc.* | | | 17,461 | |
| | 903 | | | | | | | Ikena Oncology Inc.* | | | 1,291 | |
| | 41,144 | | | | | | | Innoviva Inc.* | | | 628,680 | |
| | 3,544 | | | | | | | Intra-Cellular Therapies Inc.* | | | 246,379 | |
| | 2,303 | | | | | | | Jazz Pharmaceuticals PLC* | | | 273,827 | |
| | 612 | | | | | | | Ligand Pharmaceuticals Inc.* | | | 48,562 | |
| | 1,539 | | | | | | | Liquidia Corp.* | | | 21,792 | |
| | 689 | | | | | | | Longboard Pharmaceuticals Inc.* | | | 15,282 | |
| | 1,787 | | | | | | | Marinus Pharmaceuticals Inc.* | | | 16,976 | |
| | 667 | | | | | | | Neumora Therapeutics Inc.*(b) | | | 11,759 | |
| | 1,878 | | | | | | | NGM Biopharmaceuticals Inc.* | | | 2,855 | |
| | 6,179 | | | | | | | Nuvation Bio Inc.* | | | 11,555 | |
| | 2,651 | | | | | | | Ocular Therapeutix Inc.* | | | 26,669 | |
| | 2,109 | | | | | | | Omeros Corp.* | | | 9,490 | |
| | 4,731 | | | | | | | Optinose Inc.* | | | 8,421 | |
| | 9,604 | | | | | | | Organon & Co. | | | 167,206 | |
| | 1,718 | | | | | | | Pacira BioSciences Inc.* | | | 51,059 | |
| | 5,127 | | | | | | | Perrigo Co. PLC | | | 134,635 | |
| | 1,080 | | | | | | | Phathom Pharmaceuticals Inc.* | | | 11,556 | |
| | 789 | | | | | | | Phibro Animal Health Corp., Class A Shares | | | 10,202 | |
| | 2,403 | | | | | | | Pliant Therapeutics Inc.* | | | 38,136 | |
| | 11,140 | | | | | | | Prestige Consumer Healthcare Inc.* | | | 775,121 | |
| | 3,024 | | | | | | | Revance Therapeutics Inc.* | | | 21,591 | |
| | 2,404 | | | | | | | Scilex Holding Co.*(c) | | | 5,457 | |
| | 1,052 | | | | | | | scPharmaceuticals Inc.* | | | 6,333 | |
| | 1,907 | | | | | | | SIGA Technologies Inc. | | | 9,935 | |
| | 20,718 | | | | | | | Supernus Pharmaceuticals Inc.* | | | 615,325 | |
| | 282 | | | | | | | Taro Pharmaceutical Industries Ltd.* | | | 11,864 | |
| | 1,170 | | | | | | | Tarsus Pharmaceuticals Inc.* | | | 44,717 | |
| | 1,513 | | | | | | | Terns Pharmaceuticals Inc.* | | | 11,075 | |
| | 2,181 | | | | | | | Theravance Biopharma Inc.* | | | 20,654 | |
| | 640 | | | | | | | Third Harmonic Bio Inc.* | | | 6,490 | |
| | 2,218 | | | | | | | Trevi Therapeutics Inc.* | | | 6,477 | |
| | 1,687 | | | | | | | Ventyx Biosciences Inc.* | | | 11,944 | |
| | 1,000 | | | | | | | Verrica Pharmaceuticals Inc.* | | | 5,270 | |
| | 1,969 | | | | | | | WaVe Life Sciences Ltd.* | | | 9,471 | |
| | 4,439 | | | | | | | Xeris Biopharma Holdings Inc.* | | | 13,650 | |
| | 1,116 | | | | | | | Zevra Therapeutics Inc.* | | | 7,522 | |
| | | | | | | | | | | | |
| | | | | | | | Total Pharmaceuticals | | | 5,816,260 | |
| | | | | | | | | | | | |
See Notes to Financial Statements.
56
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| HEALTH CARE — 15.2% — (continued) | |
|
| Pharmaceuticals, Biotechnology & Life Sciences — 0.0%@ | |
| | 1,045 | | | | | | | AstraZeneca PLC*(a)(c) | | $ | 324 | |
| | 2,089 | | | | | | | Novartis AG*(a)(c) | | | 919 | |
| | | | | | | | | | | | |
| | | | | | | | Total Pharmaceuticals, Biotechnology & Life Sciences | | | 1,243 | |
| | | | | | | | | | | | |
| | | | | | | | TOTAL HEALTH CARE | | | 79,407,083 | |
| | | | | | | | | | | | |
|
| INDUSTRIALS — 21.0% | |
|
| Aerospace & Defense — 2.0% | |
| | 1,231 | | | | | | | AAR Corp.* | | | 82,206 | |
| | 1,002 | | | | | | | Aerovironment Inc.* | | | 127,044 | |
| | 1,142 | | | | | | | AerSale Corp.* | | | 10,095 | |
| | 5,490 | | | | | | | Archer Aviation Inc., Class A Shares*(b) | | | 26,517 | |
| | 1,028 | | | | | | | Astronics Corp.* | | | 19,707 | |
| | 2,700 | | | | | | | Axon Enterprise Inc.* | | | 829,899 | |
| | 3,540 | | | | | | | BWX Technologies Inc. | | | 356,938 | |
| | 633 | | | | | | | Cadre Holdings Inc. | | | 22,744 | |
| | 1,482 | | | | | | | Curtiss-Wright Corp. | | | 350,152 | |
| | 531 | | | | | | | Ducommun Inc.* | | | 25,339 | |
| | 611 | | | | | | | Eve Holding Inc.* | | | 3,391 | |
| | 15,919 | | | | | | | HEICO Corp., Class A Shares | | | 2,476,837 | |
| | 12,029 | | | | | | | Hexcel Corp. | | | 895,679 | |
| | 1,526 | | | | | | | Huntington Ingalls Industries Inc. | | | 445,012 | |
| | 1,078 | | | | | | | Kaman Corp. | | | 49,383 | |
| | 5,418 | | | | | | | Kratos Defense & Security Solutions Inc.* | | | 98,824 | |
| | 2,522 | | | | | | | Leonardo DRS Inc.* | | | 57,275 | |
| | 282 | | | | | | | Lockheed Martin Corp. | | | 120,764 | |
| | 18,932 | | | | | | | Mercury Systems Inc.* | | | 565,499 | |
| | 1,058 | | | | | | | Moog Inc., Class A Shares | | | 158,647 | |
| | 183 | | | | | | | National Presto Industries Inc. | | | 14,151 | |
| | 820 | | | | | | | Northrop Grumman Corp. | | | 378,036 | |
| | 809 | | | | | | | Park Aerospace Corp. | | | 12,313 | |
| | 11,263 | | | | | | | Rocket Lab USA Inc.* | | | 51,641 | |
| | 4,073 | | | | | | | Spirit AeroSystems Holdings Inc., Class A Shares* | | | 116,488 | |
| | 4,234 | | | | | | | Terran Orbital Corp.* | | | 4,573 | |
| | 7,551 | | | | | | | Textron Inc. | | | 672,568 | |
| | 1,737 | | | | | | | TransDigm Group Inc. | | | 2,045,734 | |
| | 2,488 | | | | | | | Triumph Group Inc.* | | | 34,583 | |
| | 407 | | | | | | | V2X Inc.* | | | 15,669 | |
| | 12,470 | | | | | | | Virgin Galactic Holdings Inc.* | | | 21,698 | |
| | 2,234 | | | | | | | Woodward Inc. | | | 316,089 | |
| | | | | | | | | | | | |
| | | | | | | | Total Aerospace & Defense | | | 10,405,495 | |
| | | | | | | | | | | | |
|
| Air Freight & Logistics — 0.1% | |
| | 2,280 | | | | | | | Air Transport Services Group Inc.* | | | 27,519 | |
| | 968 | | | | | | | Forward Air Corp. | | | 35,942 | |
| | 9,689 | | | | | | | GXO Logistics Inc.* | | | 501,503 | |
| | 2,398 | | | | | | | Hub Group Inc., Class A Shares* | | | 101,987 | |
| | 1,467 | | | | | | | Radiant Logistics Inc.* | | | 8,509 | |
| | | | | | | | | | | | |
| | | | | | | | Total Air Freight & Logistics | | | 675,460 | |
| | | | | | | | | | | | |
|
| Building Products — 2.5% | |
| | 12,672 | | | | | | | AAON Inc. | | | 1,064,194 | |
| | 2,617 | | | | | | | Advanced Drainage Systems Inc. | | | 427,199 | |
| | 3,374 | | | | | | | Allegion PLC | | | 431,433 | |
| | 650 | | | | | | | American Woodmark Corp.* | | | 65,156 | |
| | 4,666 | | | | | | | AO Smith Corp. | | | 386,811 | |
See Notes to Financial Statements.
57
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| INDUSTRIALS — 21.0% — (continued) | |
|
| Building Products — 2.5% — (continued) | |
| | 824 | | | | | | | Apogee Enterprises Inc. | | $ | 47,141 | |
| | 1,682 | | | | | | | Armstrong World Industries Inc. | | | 202,866 | |
| | 50,953 | | | | | | | AZEK Co., Inc. (The), Class A Shares* | | | 2,451,349 | |
| | 5,429 | | | | | | | AZZ Inc. | | | 395,231 | |
| | 4,730 | | | | | | | Builders FirstSource Inc.* | | | 923,201 | |
| | 4,610 | | | | | | | Carlisle Cos., Inc. | | | 1,613,500 | |
| | 587 | | | | | | | CSW Industrials Inc. | | | 135,239 | |
| | 3,333 | | | | | | | Daikin Industries Ltd., ADR | | | 46,729 | |
| | 4,882 | | | | | | | Fortune Brands Innovations Inc. | | | 397,102 | |
| | 1,168 | | | | | | | Gibraltar Industries Inc.* | | | 90,462 | |
| | 1,552 | | | | | | | Griffon Corp. | | | 110,813 | |
| | 5,126 | | | | | | | Hayward Holdings Inc.* | | | 75,813 | |
| | 762 | | | | | | | Insteel Industries Inc. | | | 27,744 | |
| | 2,870 | | | | | | | Janus International Group Inc.* | | | 41,184 | |
| | 3,154 | | | | | | | JELD-WEN Holding Inc.* | | | 57,403 | |
| | 1,232 | | | | | | | Lennox International Inc. | | | 580,531 | |
| | 857 | | | | | | | Masonite International Corp.* | | | 111,616 | |
| | 4,986 | | | | | | | Masterbrand Inc.* | | | 86,308 | |
| | 3,428 | | | | | | | Owens Corning | | | 513,446 | |
| | 2,141 | | | | | | | PGT Innovations Inc.* | | | 89,430 | |
| | 1,220 | | | | | | | Quanex Building Products Corp. | | | 42,188 | |
| | 65,016 | | | | | | | Resideo Technologies Inc.* | | | 1,451,807 | |
| | 1,637 | | | | | | | Simpson Manufacturing Co., Inc. | | | 341,609 | |
| | 4,162 | | | | | | | Trex Co., Inc.* | | | 381,905 | |
| | 2,303 | | | | | | | UFP Industries Inc. | | | 263,993 | |
| | 5,501 | | | | | | | Zurn Elkay Water Solutions Corp. | | | 174,657 | |
| | | | | | | | | | | | |
| | | | | | | | Total Building Products | | | 13,028,060 | |
| | | | | | | | | | | | |
|
| Commercial Services & Supplies — 2.3% | |
| | 2,482 | | | | | | | ABM Industries Inc. | | | 102,531 | |
| | 3,556 | | | | | | | ACCO Brands Corp. | | | 19,843 | |
| | 4,618 | | | | | | | ACV Auctions Inc., Class A Shares* | | | 81,970 | |
| | 933 | | | | | | | Aris Water Solutions Inc., Class A Shares | | | 11,233 | |
| | 1,988 | | | | | | | BrightView Holdings Inc.* | | | 17,316 | |
| | 1,764 | | | | | | | Brink’s Co. (The) | | | 146,112 | |
| | 17,750 | | | | | | | Casella Waste Systems Inc., Class A Shares* | | | 1,599,275 | |
| | 1,052 | | | | | | | CECO Environmental Corp.* | | | 23,828 | |
| | 692 | | | | | | | Cimpress PLC* | | | 67,823 | |
| | 4,473 | | | | | | | Clean Harbors Inc.* | | | 814,533 | |
| | 4,350 | | | | | | | CoreCivic Inc.* | | | 66,251 | |
| | 1,668 | | | | | | | Deluxe Corp. | | | 32,376 | |
| | 2,333 | | | | | | | Driven Brands Holdings Inc.* | | | 32,172 | |
| | 1,039 | | | | | | | Ennis Inc. | | | 21,113 | |
| | 114,971 | | | | | | | Enviri Corp.* | | | 903,672 | |
| | 4,530 | | | | | | | GEO Group Inc. (The)* | | | 55,583 | |
| | 2,707 | | | | | | | Healthcare Services Group Inc.* | | | 34,541 | |
| | 1,890 | | | | | | | HNI Corp. | | | 84,691 | |
| | 2,175 | | | | | | | Interface Inc., Class A Shares | | | 34,191 | |
| | 1,055 | | | | | | | LanzaTech Global Inc.* | | | 3,397 | |
| | 4,501 | | | | | | | Li-Cycle Holdings Corp.* | | | 1,620 | |
| | 937 | | | | | | | Liquidity Services Inc.* | | | 16,800 | |
| | 16,597 | | | | | | | Matthews International Corp., Class A Shares | | | 480,317 | |
| | 2,914 | | | | | | | MillerKnoll Inc. | | | 89,023 | |
| | 1,242 | | | | | | | Montrose Environmental Group Inc.* | | | 51,394 | |
| | 1,411 | | | | | | | MSA Safety Inc. | | | 259,836 | |
See Notes to Financial Statements.
58
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| INDUSTRIALS — 21.0% — (continued) | |
|
| Commercial Services & Supplies — 2.3% — (continued) | |
| | 157 | | | | | | | NL Industries Inc. | | $ | 801 | |
| | 48,546 | | | | | | | OPENLANE Inc.* | | | 741,297 | |
| | 2,219 | | | | | | | Performant Financial Corp.* | | | 6,457 | |
| | 4,876 | | | | | | | Pitney Bowes Inc. | | | 19,650 | |
| | 1,655 | | | | | | | Quad/Graphics Inc. | | | 9,914 | |
| | 761 | | | | | | | SP Plus Corp.* | | | 39,123 | |
| | 3,580 | | | | | | | Steelcase Inc., Class A Shares | | | 49,189 | |
| | 17,933 | | | | | | | Stericycle Inc.* | | | 975,376 | |
| | 2,035 | | | | | | | Tetra Tech Inc. | | | 360,846 | |
| | 589 | | | | | | | UniFirst Corp. | | | 99,376 | |
| | 27,958 | | | | | | | Veralto Corp. | | | 2,416,130 | |
| | 4,657 | | | | | | | Vestis Corp. | | | 87,365 | |
| | 878 | | | | | | | Viad Corp.* | | | 32,688 | |
| | 481 | | | | | | | VSE Corp. | | | 35,642 | |
| | 11,515 | | | | | | | Waste Connections Inc. | | | 1,916,557 | |
| | | | | | | | | | | | |
| | | | | | | | Total Commercial Services & Supplies | | | 11,841,852 | |
| | | | | | | | | | | | |
|
| Construction & Engineering — 2.1% | |
| | 5,053 | | | | | | | AECOM | | | 448,858 | |
| | 1,214 | | | | | | | Ameresco Inc., Class A Shares* | | | 25,445 | |
| | 7,967 | | | | | | | API Group Corp.* | | | 279,243 | |
| | 11,289 | | | | | | | Arcosa Inc. | | | 936,987 | |
| | 520 | | | | | | | Argan Inc. | | | 24,367 | |
| | 363 | | | | | | | Bowman Consulting Group Ltd., Class A Shares* | | | 11,823 | |
| | 7,398 | | | | | | | Comfort Systems USA Inc. | | | 2,261,791 | |
| | 1,176 | | | | | | | Concrete Pumping Holdings Inc.* | | | 9,631 | |
| | 1,584 | | | | | | | Construction Partners Inc., Class A Shares* | | | 76,159 | |
| | 8,510 | | | | | | | Dycom Industries Inc.* | | | 1,076,430 | |
| | 1,789 | | | | | | | EMCOR Group Inc. | | | 560,887 | |
| | 5,337 | | | | | | | Fluor Corp.* | | | 196,402 | |
| | 1,671 | | | | | | | Granite Construction Inc. | | | 86,107 | |
| | 2,542 | | | | | | | Great Lakes Dredge & Dock Corp.* | | | 22,726 | |
| | 303 | | | | | | | IES Holdings Inc.* | | | 33,306 | |
| | 3,869 | | | | | | | INNOVATE Corp.* | | | 3,034 | |
| | 339 | | | | | | | Limbach Holdings Inc.* | | | 16,692 | |
| | 2,398 | | | | | | | MasTec Inc.* | | | 180,953 | |
| | 7,712 | | | | | | | MDU Resources Group Inc. | | | 167,196 | |
| | 629 | | | | | | | MYR Group Inc.* | | | 102,187 | |
| | 394 | | | | | | | Northwest Pipe Co.* | | | 11,753 | |
| | 2,009 | | | | | | | Primoris Services Corp. | | | 79,376 | |
| | 1,159 | | | | | | | Sterling Infrastructure Inc.* | | | 123,596 | |
| | 1,364 | | | | | | | Tutor Perini Corp.* | | | 15,454 | |
| | 805 | | | | | | | Valmont Industries Inc. | | | 170,604 | |
| | 78,023 | | | | | | | WillScot Mobile Mini Holdings Corp.* | | | 3,725,598 | |
| | | | | | | | | | | | |
| | | | | | | | Total Construction & Engineering | | | 10,646,605 | |
| | | | | | | | | | | | |
|
| Electrical Equipment — 1.3% | |
| | 1,200 | | | | | | | Acuity Brands Inc. | | | 301,488 | |
| | 459 | | | | | | | Allient Inc. | | | 13,045 | |
| | 5,997 | | | | | | | Array Technologies Inc.* | | | 81,799 | |
| | 1,445 | | | | | | | Atkore Inc. | | | 244,783 | |
| | 103,937 | | | | | | | Babcock & Wilcox Enterprises Inc.* | | | 133,039 | |
| | 1,578 | | | | | | | Blink Charging Co.* | | | 5,018 | |
| | 32,268 | | | | | | | Bloom Energy Corp., Class A Shares*(b) | | | 282,990 | |
| | 11,452 | | | | | | | ChargePoint Holdings Inc.*(b) | | | 23,706 | |
See Notes to Financial Statements.
59
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| INDUSTRIALS — 21.0% — (continued) | |
|
| Electrical Equipment — 1.3% — (continued) | |
| | 581 | | | | | | | Encore Wire Corp. | | $ | 140,021 | |
| | 5,000 | | | | | | | Energy Vault Holdings Inc.* | | | 8,400 | |
| | 1,573 | | | | | | | EnerSys | | | 144,527 | |
| | 5,586 | | | | | | | Enovix Corp.*(b) | | | 54,463 | |
| | 3,733 | | | | | | | Eos Energy Enterprises Inc.* | | | 3,555 | |
| | 3,957 | | | | | | | ESS Tech Inc.* | | | 3,437 | |
| | 2,124 | | | | | | | Fluence Energy Inc., Class A Shares* | | | 32,476 | |
| | 1,932 | | | | | | | FTC Solar Inc.* | | | 989 | |
| | 14,079 | | | | | | | FuelCell Energy Inc.* | | | 16,754 | |
| | 2,327 | | | | | | | Generac Holdings Inc.* | | | 261,811 | |
| | 6,858 | | | | | | | GrafTech International Ltd. | | | 12,070 | |
| | 2,057 | | | | | | | Hubbell Inc., Class B Shares | | | 783,038 | |
| | 5,984 | | | | | | | Legrand SA, ADR | | | 120,937 | |
| | 931 | | | | | | | LSI Industries Inc. | | | 13,434 | |
| | 19,628 | | | | | | | NEXTracker Inc., Class A Shares* | | | 1,103,879 | |
| | 1,761 | | | | | | | NuScale Power Corp.*(b) | | | 5,459 | |
| | 6,297 | | | | | | | nVent Electric PLC | | | 423,914 | |
| | 19,645 | | | | | | | Plug Power Inc.* | | | 69,347 | |
| | 332 | | | | | | | Powell Industries Inc. | | | 61,500 | |
| | 90 | | | | | | | Preformed Line Products Co. | | | 12,373 | |
| | 2,490 | | | | | | | Regal Rexnord Corp. | | | 427,010 | |
| | 22,438 | | | | | | | Sensata Technologies Holding PLC | | | 772,316 | |
| | 4,042 | | | | | | | SES AI Corp.* | | | 7,154 | |
| | 6,532 | | | | | | | Shoals Technologies Group Inc., Class A Shares* | | | 83,806 | |
| | 2,117 | | | | | | | SKYX Platforms Corp.* | | | 2,731 | |
| | 5,478 | | | | | | | Stem Inc.*(b) | | | 14,681 | |
| | 3,093 | | | | | | | SunPower Corp., Class A Shares*(b) | | | 9,619 | |
| | 8,121 | | | | | | | Sunrun Inc.* | | | 97,777 | |
| | 1,189 | | | | | | | Thermon Group Holdings Inc.* | | | 32,448 | |
| | 1,329 | | | | | | | TPI Composites Inc.* | | | 3,708 | |
| | 13,167 | | | | | | | Vertiv Holdings Co., Class A Shares | | | 890,353 | |
| | 880 | | | | | | | Vicor Corp.* | | | 32,771 | |
| | | | | | | | | | | | |
| | | | | | | | Total Electrical Equipment | | | 6,732,626 | |
| | | | | | | | | | | | |
|
| Ground Transportation — 1.5% | |
| | 909 | | | | | | | ArcBest Corp. | | | 129,860 | |
| | 740 | | | | | | | Avis Budget Group Inc. | | | 79,950 | |
| | 318 | | | | | | | Covenant Logistics Group Inc., Class A Shares | | | 15,480 | |
| | 2,149 | | | | | | | Daseke Inc.* | | | 17,729 | |
| | 3,332 | | | | | | | FTAI Infrastructure Inc. | | | 15,261 | |
| | 1,639 | | | | | | | Heartland Express Inc. | | | 20,946 | |
| | 4,870 | | | | | | | Hertz Global Holdings Inc.* | | | 38,230 | |
| | 15,091 | | | | | | | Knight-Swift Transportation Holdings Inc., Class A Shares | | | 850,227 | |
| | 1,379 | | | | | | | Landstar System Inc. | | | 262,286 | |
| | 13,357 | | | | | | | Lyft Inc., Class A Shares* | | | 212,109 | |
| | 6,113 | | | | | | | Marten Transport Ltd. | | | 115,230 | |
| | 4,353 | | | | | | | Old Dominion Freight Line Inc. | | | 1,926,115 | |
| | 234 | | | | | | | PAM Transportation Services Inc.* | | | 4,334 | |
| | 4,405 | | | | | | | RXO Inc.* | | | 94,796 | |
| | 1,714 | | | | | | | Ryder System Inc. | | | 195,567 | |
| | 3,288 | | | | | | | Saia Inc.* | | | 1,891,915 | |
| | 2,149 | | | | | | | Schneider National Inc., Class B Shares | | | 50,609 | |
| | 380 | | | | | | | U-Haul Holding Co.* | | | 24,464 | |
| | 3,826 | | | | | | | U-Haul Holding Co., Class B Shares | | | 243,219 | |
| | 346 | | | | | | | Universal Logistics Holdings Inc. | | | 11,705 | |
See Notes to Financial Statements.
60
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| INDUSTRIALS — 21.0% — (continued) | |
|
| Ground Transportation — 1.5% — (continued) | |
| | 28,779 | | | | | | | Werner Enterprises Inc. | | $ | 1,155,189 | |
| | 4,371 | | | | | | | XPO Inc.* | | | 525,919 | |
| | | | | | | | | | | | |
| | | | | | | | Total Ground Transportation | | | 7,881,140 | |
| | | | | | | | | | | | |
|
| Industrial Conglomerates — 0.7% | |
| | 37,369 | | | | | | | 3M Co. | | | 3,442,432 | |
| | 1,087 | | | | | | | Brookfield Business Corp., Class A Shares | | | 24,849 | |
| | | | | | | | | | | | |
| | | | | | | | Total Industrial Conglomerates | | | 3,467,281 | |
| | | | | | | | | | | | |
|
| Machinery — 3.8% | |
| | 2,030 | | | | | | | 374Water Inc.* | | | 2,700 | |
| | 4,809 | | | | | | | 3D Systems Corp.* | | | 19,909 | |
| | 2,428 | | | | | | | AGCO Corp. | | | 266,352 | |
| | 384 | | | | | | | Alamo Group Inc. | | | 77,679 | |
| | 9,039 | | | | | | | Albany International Corp., Class A Shares | | | 848,491 | |
| | 3,378 | | | | | | | Allison Transmission Holdings Inc. | | | 254,465 | |
| | 862 | | | | | | | Astec Industries Inc. | | | 34,997 | |
| | 16,999 | | | | | | | Barnes Group Inc. | | | 593,945 | |
| | 936 | | | | | | | Blue Bird Corp.* | | | 31,674 | |
| | 1,637 | | | | | | | Chart Industries Inc.* | | | 233,862 | |
| | 1,031 | | | | | | | Columbus McKinnon Corp. | | | 43,065 | |
| | 1,187 | | | | | | | Commercial Vehicle Group Inc.* | | | 7,763 | |
| | 1,785 | | | | | | | Crane Co. | | | 216,985 | |
| | 8,660 | | | | | | | Desktop Metal Inc., Class A Shares* | | | 5,297 | |
| | 4,568 | | | | | | | Donaldson Co., Inc. | | | 327,160 | |
| | 929 | | | | | | | Douglas Dynamics Inc. | | | 23,318 | |
| | 2,126 | | | | | | | Energy Recovery Inc.* | | | 33,229 | |
| | 17,388 | | | | | | | Enerpac Tool Group Corp., Class A Shares | | | 586,150 | |
| | 792 | | | | | | | Enpro Inc. | | | 123,409 | |
| | 2,170 | | | | | | | Esab Corp. | | | 215,090 | |
| | 987 | | | | | | | ESCO Technologies Inc. | | | 100,565 | |
| | 2,303 | | | | | | | Federal Signal Corp. | | | 188,639 | |
| | 14,568 | | | | | | | Flowserve Corp. | | | 616,518 | |
| | 1,761 | | | | | | | Franklin Electric Co., Inc. | | | 183,074 | |
| | 4,342 | | | | | | | Gates Industrial Corp. PLC* | | | 63,914 | |
| | 401 | | | | | | | Gencor Industries Inc.* | | | 6,572 | |
| | 903 | | | | | | | Gorman-Rupp Co. (The) | | | 33,709 | |
| | 9,322 | | | | | | | Graco Inc. | | | 850,726 | |
| | 1,205 | | | | | | | Greenbrier Cos., Inc. (The) | | | 62,359 | |
| | 1,229 | | | | | | | Helios Technologies Inc. | | | 54,260 | |
| | 2,680 | | | | | | | Hillenbrand Inc. | | | 127,434 | |
| | 7,121 | | | | | | | Hillman Solutions Corp.* | | | 69,359 | |
| | 4,856 | | | | | | | Hyliion Holdings Corp.* | | | 8,838 | |
| | 452 | | | | | | | Hyster-Yale Materials Handling Inc. | | | 26,614 | |
| | 2,758 | | | | | | | IDEX Corp. | | | 650,612 | |
| | 16,574 | | | | | | | ITT Inc. | | | 2,090,644 | |
| | 1,203 | | | | | | | John Bean Technologies Corp. | | | 122,080 | |
| | 436 | | | | | | | Kadant Inc. | | | 147,063 | |
| | 3,102 | | | | | | | Kennametal Inc. | | | 78,295 | |
| | 57,346 | | | | | | | Knorr-Bremse AG, ADR | | | 1,001,261 | |
| | 6,903 | | | | | | | Lincoln Electric Holdings Inc. | | | 1,771,310 | |
| | 3,124 | | | | | | | Lindsay Corp. | | | 372,724 | |
| | 984 | | | | | | | Luxfer Holdings PLC, ADR | | | 9,761 | |
| | 1,152 | | | | | | | Manitowoc Co., Inc. (The)* | | | 16,059 | |
| | 55,740 | | | | | | | Markforged Holding Corp.* | | | 37,346 | |
See Notes to Financial Statements.
61
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| INDUSTRIALS — 21.0% — (continued) | |
|
| Machinery — 3.8% — (continued) | |
| | 407 | | | | | | | Mayville Engineering Co., Inc.* | | $ | 4,982 | |
| | 9,246 | | | | | | | Microvast Holdings Inc.* | | | 7,954 | |
| | 2,009 | | | | | | | Middleby Corp. (The)* | | | 305,689 | |
| | 385 | | | | | | | Miller Industries Inc. | | | 17,329 | |
| | 4,320 | | | | | | | Mueller Industries Inc. | | | 221,962 | |
| | 111,678 | | | | | | | Mueller Water Products Inc., Class A Shares | | | 1,736,593 | |
| | 21,152 | | | | | | | Nikola Corp.* | | | 15,741 | |
| | 2,203 | | | | | | | Nordson Corp. | | | 585,227 | |
| | 108 | | | | | | | Omega Flex Inc. | | | 7,522 | |
| | 2,512 | | | | | | | Oshkosh Corp. | | | 278,480 | |
| | 333 | | | | | | | Park-Ohio Holdings Corp. | | | 8,944 | |
| | 6,335 | | | | | | | Pentair PLC | | | 492,800 | |
| | 996 | | | | | | | Proto Labs Inc.* | | | 36,284 | |
| | 1,084 | | | | | | | RBC Bearings Inc.* | | | 295,748 | |
| | 1,070 | | | | | | | REV Group Inc. | | | 22,085 | |
| | 1,310 | | | | | | | Shyft Group Inc. (The) | | | 13,506 | |
| | 2,018 | | | | | | | Snap-on Inc. | | | 556,282 | |
| | 1,610 | | | | | | | SPX Technologies Inc.* | | | 188,676 | |
| | 443 | | | | | | | Standex International Corp. | | | 76,639 | |
| | 58,975 | | | | | | | Stratasys Ltd.* | | | 728,341 | |
| | 698 | | | | | | | Tennant Co. | | | 79,007 | |
| | 2,555 | | | | | | | Terex Corp. | | | 146,529 | |
| | 2,365 | | | | | | | Timken Co. (The) | | | 198,636 | |
| | 1,948 | | | | | | | Titan International Inc.* | | | 24,857 | |
| | 3,999 | | | | | | | Toro Co. (The) | | | 369,148 | |
| | 3,101 | | | | | | | Trinity Industries Inc. | | | 78,703 | |
| | 4,610 | | | | | | | Twin Disc Inc. | | | 71,870 | |
| | 2,325 | | | | | | | Velo3D Inc.* | | | 635 | |
| | 1,657 | | | | | | | Wabash National Corp. | | | 45,203 | |
| | 1,038 | | | | | | | Watts Water Technologies Inc., Class A Shares | | | 211,700 | |
| | 2,781 | | | | | | | Westinghouse Air Brake Technologies Corp. | | | 392,928 | |
| | | | | | | | | | | | |
| | | | | | | | Total Machinery | | | 19,855,276 | |
| | | | | | | | | | | | |
|
| Marine Transportation — 0.1% | |
| | 1,644 | | | | | | | Costamare Inc. | | | 18,692 | |
| | 343 | | | | | | | Eagle Bulk Shipping Inc. | | | 21,016 | |
| | 1,622 | | | | | | | Genco Shipping & Trading Ltd. | | | 33,089 | |
| | 4,921 | | | | | | | Golden Ocean Group Ltd. | | | 63,333 | |
| | 1,059 | | | | | | | Himalaya Shipping Ltd.* | | | 8,356 | |
| | 2,188 | | | | | | | Kirby Corp.* | | | 191,931 | |
| | 1,277 | | | | | | | Matson Inc. | | | 141,811 | |
| | 1,889 | | | | | | | Pangaea Logistics Solutions Ltd. | | | 15,830 | |
| | 2,124 | | | | | | | Safe Bulkers Inc. | | | 9,855 | |
| | | | | | | | | | | | |
| | | | | | | | Total Marine Transportation | | | 503,913 | |
| | | | | | | | | | | | |
|
| Passenger Airlines — 0.2% | |
| | 4,751 | | | | | | | Alaska Air Group Inc.* | | | 177,640 | |
| | 618 | | | | | | | Allegiant Travel Co. | | | 44,978 | |
| | 25,157 | | | | | | | American Airlines Group Inc.* | | | 394,462 | |
| | 2,589 | | | | | | | Blade Air Mobility Inc.* | | | 8,233 | |
| | 1,205 | | | | | | | Frontier Group Holdings Inc.* | | | 8,363 | |
| | 2,057 | | | | | | | Hawaiian Holdings Inc.* | | | 29,024 | |
| | 12,249 | | | | | | | JetBlue Airways Corp.* | | | 79,373 | |
| | 11,297 | | | | | | | Joby Aviation Inc.* | | | 63,489 | |
| | 1,462 | | | | | | | SkyWest Inc.* | | | 93,890 | |
See Notes to Financial Statements.
62
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| INDUSTRIALS — 21.0% — (continued) | |
|
| Passenger Airlines — 0.2% — (continued) | |
| | 3,877 | | | | | | | Spirit Airlines Inc.(b) | | $ | 25,007 | |
| | 1,799 | | | | | | | Sun Country Airlines Holdings Inc.* | | | 26,985 | |
| | | | | | | | | | | | |
| | | | | | | | Total Passenger Airlines | | | 951,444 | |
| | | | | | | | | | | | |
|
| Professional Services — 2.8% | |
| | 16,260 | | | | | | | Alight Inc., Class A Shares* | | | 146,503 | |
| | 10,758 | | | | | | | ASGN Inc.* | | | 1,068,485 | |
| | 986 | | | | | | | Asure Software Inc.* | | | 9,189 | |
| | 269 | | | | | | | Barrett Business Services Inc. | | | 32,815 | |
| | 3,852 | | | | | | | BlackSky Technology Inc.* | | | 5,470 | |
| | 4,940 | | | | | | | Booz Allen Hamilton Holding Corp., Class A Shares | | | 729,687 | |
| | 854 | | | | | | | CACI International Inc., Class A Shares* | | | 320,122 | |
| | 1,785 | | | | | | | CBIZ Inc.* | | | 134,821 | |
| | 17,953 | | | | | | | Clarivate PLC* | | | 128,903 | |
| | 1,690 | | | | | | | Concentrix Corp. | | | 122,440 | |
| | 200,497 | | | | | | | Conduent Inc.* | | | 689,710 | |
| | 256 | | | | | | | CRA International Inc. | | | 33,930 | |
| | 1,208 | | | | | | | CSG Systems International Inc. | | | 65,908 | |
| | 5,647 | | | | | | | Dayforce Inc.* | | | 393,935 | |
| | 10,308 | | | | | | | Dun & Bradstreet Holdings Inc. | | | 108,646 | |
| | 6,135 | | | | | | | ExlService Holdings Inc.* | | | 190,921 | |
| | 1,942 | | | | | | | Exponent Inc. | | | 157,088 | |
| | 2,109 | | | | | | | First Advantage Corp. | | | 33,027 | |
| | 2,038 | | | | | | | FiscalNote Holdings Inc.* | | | 3,363 | |
| | 386 | | | | | | | Forrester Research Inc.* | | | 7,786 | |
| | 463 | | | | | | | Franklin Covey Co.* | | | 17,677 | |
| | 5,881 | | | | | | | FTI Consulting Inc.* | | | 1,216,661 | |
| | 6,901 | | | | | | | Genpact Ltd. | | | 234,634 | |
| | 791 | | | | | | | Heidrick & Struggles International Inc. | | | 26,894 | |
| | 213 | | | | | | | HireQuest Inc. | | | 2,854 | |
| | 569 | | | | | | | HireRight Holdings Corp.* | | | 8,063 | |
| | 10,435 | | | | | | | Huron Consulting Group Inc.* | | | 1,023,987 | |
| | 464 | | | | | | | IBEX Holdings Ltd.* | | | 7,405 | |
| | 704 | | | | | | | ICF International Inc. | | | 109,014 | |
| | 935 | | | | | | | Innodata Inc.* | | | 6,919 | |
| | 1,366 | | | | | | | Insperity Inc. | | | 139,045 | |
| | 3,911 | | | | | | | Jacobs Solutions Inc. | | | 573,548 | |
| | 45,057 | | | | | | | KBR Inc. | | | 2,704,772 | |
| | 1,238 | | | | | | | Kelly Services Inc., Class A Shares | | | 30,368 | |
| | 683 | | | | | | | Kforce Inc. | | | 47,564 | |
| | 1,954 | | | | | | | Korn Ferry | | | 124,392 | |
| | 4,534 | | | | | | | Legalzoom.com Inc.* | | | 56,222 | |
| | 1,942 | | | | | | | ManpowerGroup Inc. | | | 140,135 | |
| | 2,323 | | | | | | | Maximus Inc. | | | 194,342 | |
| | 777 | | | | | | | Mistras Group Inc.* | | | 6,721 | |
| | 511 | | | | | | | NV5 Global Inc.* | | | 51,974 | |
| | 1,511 | | | | | | | Parsons Corp.* | | | 121,802 | |
| | 2,471 | | | | | | | Paycor HCM Inc.* | | | 52,188 | |
| | 1,607 | | | | | | | Paylocity Holding Corp.* | | | 270,956 | |
| | 5,395 | | | | | | | Planet Labs PBC* | | | 11,815 | |
| | 1,137 | | | | | | | Resources Connection Inc. | | | 15,725 | |
| | 3,976 | | | | | | | Robert Half Inc. | | | 319,670 | |
| | 2,047 | | | | | | | Science Applications International Corp. | | | 286,498 | |
| | 186 | | | | | | | Skillsoft Corp.* | | | 2,269 | |
| | 1,252 | | | | | | | Sterling Check Corp.* | | | 19,619 | |
See Notes to Financial Statements.
63
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| INDUSTRIALS — 21.0% — (continued) | |
|
| Professional Services — 2.8% — (continued) | |
| | 1,178 | | | | | | | TriNet Group Inc.* | | $ | 150,796 | |
| | 1,500 | | | | | | | TrueBlue Inc.* | | | 17,625 | |
| | 988 | | | | | | | TTEC Holdings Inc. | | | 17,241 | |
| | 4,713 | | | | | | | Upwork Inc.* | | | 61,740 | |
| | 5,450 | | | | | | | Verra Mobility Corp., Class A Shares* | | | 117,829 | |
| | 374 | | | | | | | Willdan Group Inc.* | | | 7,809 | |
| | 38,358 | | | | | | | WNS Holdings Ltd., ADR* | | | 2,213,257 | |
| | | | | | | | | | | | |
| | | | | | | | Total Professional Services | | | 14,792,779 | |
| | | | | | | | | | | | |
|
| Trading Companies & Distributors — 1.6% | |
| | 33,648 | | | | | | | AerCap Holdings NV* | | | 2,596,953 | |
| | 3,931 | | | | | | | Air Lease Corp., Class A Shares | | | 157,633 | |
| | 713 | | | | | | | Alta Equipment Group Inc. | | | 8,185 | |
| | 1,464 | | | | | | | Applied Industrial Technologies Inc. | | | 277,999 | |
| | 2,405 | | | | | | | Beacon Roofing Supply Inc.* | | | 206,565 | |
| | 316 | | | | | | | BlueLinx Holdings Inc.* | | | 40,085 | |
| | 1,512 | | | | | | | Boise Cascade Co. | | | 205,496 | |
| | 6,317 | | | | | | | Core & Main Inc., Class A Shares* | | | 301,510 | |
| | 2,528 | | | | | | | Custom Truck One Source Inc.* | | | 16,230 | |
| | 434 | | | | | | | Distribution Solutions Group Inc.* | | | 13,632 | |
| | 4,179 | | | | | | | DNOW Inc.* | | | 59,133 | |
| | 477 | | | | | | | DXP Enterprises Inc.* | | | 16,943 | |
| | 261 | | | | | | | EVI Industries Inc. | | | 5,619 | |
| | 17,233 | | | | | | | Fastenal Co. | | | 1,258,181 | |
| | 3,803 | | | | | | | FTAI Aviation Ltd. | | | 214,071 | |
| | 1,351 | | | | | | | GATX Corp. | | | 171,361 | |
| | 459 | | | | | | | Global Industrial Co. | | | 20,127 | |
| | 1,604 | | | | | | | GMS Inc.* | | | 143,253 | |
| | 1,251 | | | | | | | H&E Equipment Services Inc. | | | 70,669 | |
| | 1,068 | | | | | | | Herc Holdings Inc. | | | 169,470 | |
| | 1,643 | | | | | | | Hudson Technologies Inc.* | | | 24,070 | |
| | 144 | | | | | | | Karat Packaging Inc. | | | 4,261 | |
| | 960 | | | | | | | McGrath RentCorp. | | | 119,501 | |
| | 3,453 | | | | | | | MRC Global Inc.* | | | 39,813 | |
| | 1,799 | | | | | | | MSC Industrial Direct Co., Inc., Class A Shares | | | 181,591 | |
| | 2,226 | | | | | | | Rush Enterprises Inc., Class A Shares | | | 108,406 | |
| | 432 | | | | | | | Rush Enterprises Inc., Class B Shares | | | 21,786 | |
| | 6,345 | | | | | | | SiteOne Landscape Supply Inc.* | | | 1,069,006 | |
| | 1,536 | | | | | | | Textainer Group Holdings Ltd. | | | 76,646 | |
| | 751 | | | | | | | Titan Machinery Inc.* | | | 18,948 | |
| | 281 | | | | | | | Transcat Inc.* | | | 29,550 | |
| | 1,274 | | | | | | | Watsco Inc. | | | 502,109 | |
| | 1,703 | | | | | | | WESCO International Inc. | | | 254,582 | |
| | 135 | | | | | | | Willis Lease Finance Corp.* | | | 6,469 | |
| | 1,261 | | | | | | | Xometry Inc., Class A Shares* | | | 24,665 | |
| | | | | | | | | | | | |
| | | | | | | | Total Trading Companies & Distributors | | | 8,434,518 | |
| | | | | | | | | | | | |
| | | | | | | | TOTAL INDUSTRIALS | | | 109,216,449 | |
| | | | | | | | | | | | |
|
| INFORMATION TECHNOLOGY — 15.2% | |
|
| Communications Equipment — 1.4% | |
| | 2,885 | | | | | | | ADTRAN Holdings Inc. | | | 16,416 | |
| | 458 | | | | | | | Aviat Networks Inc.* | | | 16,254 | |
| | 12,966 | | | | | | | Calix Inc.* | | | 452,124 | |
| | 368 | | | | | | | Cambium Networks Corp.* | | | 1,564 | |
| | 45,111 | | | | | | | Ciena Corp.* | | | 2,570,425 | |
See Notes to Financial Statements.
64
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| INFORMATION TECHNOLOGY — 15.2% — (continued) | |
|
| Communications Equipment — 1.4% — (continued) | |
| | 426 | | | | | | | Clearfield Inc.* | | $ | 12,852 | |
| | 7,895 | | | | | | | CommScope Holding Co., Inc.* | | | 9,198 | |
| | 1,241 | | | | | | | Comtech Telecommunications Corp.* | | | 8,389 | |
| | 1,322 | | | | | | | Digi International Inc.* | | | 39,078 | |
| | 734 | | | | | | | DZS Inc.* | | | 1,079 | |
| | 31,978 | | | | | | | EMCORE Corp.* | | | 13,501 | |
| | 5,039 | | | | | | | Extreme Networks Inc.* | | | 63,693 | |
| | 6,247 | | | | | | | F5 Inc.* | | | 1,169,563 | |
| | 4,005 | | | | | | | Harmonic Inc.* | | | 52,586 | |
| | 55,285 | | | | | | | Infinera Corp.* | | | 277,531 | |
| | 12,215 | | | | | | | Juniper Networks Inc. | | | 452,321 | |
| | 624 | | | | | | | KVH Industries Inc.* | | | 2,964 | |
| | 2,580 | | | | | | | Lumentum Holdings Inc.* | | | 125,053 | |
| | 997 | | | | | | | NETGEAR Inc.* | | | 14,945 | |
| | 2,707 | | | | | | | NetScout Systems Inc.* | | | 58,607 | |
| | 233,804 | | | | | | | Ribbon Communications Inc.* | | | 699,074 | |
| | 41,503 | | | | | | | ViaSat Inc.* | | | 812,214 | |
| | 51,088 | | | | | | | Viavi Solutions Inc.* | | | 487,890 | |
| | | | | | | | | | | | |
| | | | | | | | Total Communications Equipment | | | 7,357,321 | |
| | | | | | | | | | | | |
|
| Electronic Equipment, Instruments & Components — 2.9% | |
| | 742 | | | | | | | 908 Devices Inc.* | | | 5,454 | |
| | 9,895 | | | | | | | Advanced Energy Industries Inc. | | | 1,001,374 | |
| | 3,973 | | | | | | | Aeva Technologies Inc.* | | | 4,013 | |
| | 1,778 | | | | | | | Akoustis Technologies Inc.* | | | 1,106 | |
| | 3,844 | | | | | | | Arlo Technologies Inc.* | | | 40,016 | |
| | 2,144 | | | | | | | Arrow Electronics Inc.* | | | 251,920 | |
| | 3,596 | | | | | | | Avnet Inc. | | | 167,538 | |
| | 1,080 | | | | | | | Badger Meter Inc. | | | 171,385 | |
| | 386 | | | | | | | Bel Fuse Inc., Class B Shares | | | 20,060 | |
| | 11,647 | | | | | | | Belden Inc. | | | 992,091 | |
| | 1,380 | | | | | | | Benchmark Electronics Inc. | | | 42,380 | |
| | 138 | | | | | | | Climb Global Solutions Inc. | | | 9,380 | |
| | 6,596 | | | | | | | Cognex Corp. | | | 260,212 | |
| | 15,685 | | | | | | | Coherent Corp.* | | | 932,944 | |
| | 1,818 | | | | | | | Crane NXT Co. | | | 106,208 | |
| | 1,193 | | | | | | | CTS Corp. | | | 53,160 | |
| | 1,404 | | | | | | | Daktronics Inc.* | | | 12,187 | |
| | 1,053 | | | | | | | ePlus Inc.* | | | 86,757 | |
| | 4,084 | | | | | | | Evolv Technologies Holdings Inc.* | | | 19,481 | |
| | 6,924 | | | | | | | Fabrinet* | | | 1,492,607 | |
| | 684 | | | | | | | FARO Technologies Inc.* | | | 15,315 | |
| | 66,009 | | | | | | | Innoviz Technologies Ltd.*(b) | | | 104,954 | |
| | 8,558 | | | | | | | Insight Enterprises Inc.* | | | 1,608,904 | |
| | 4,145 | | | | | | | IPG Photonics Corp.* | | | 357,921 | |
| | 1,379 | | | | | | | Iteris Inc.* | | | 7,198 | |
| | 19,924 | | | | | | | Itron Inc.* | | | 1,846,556 | |
| | 4,790 | | | | | | | Jabil Inc. | | | 690,191 | |
| | 906 | | | | | | | Kimball Electronics Inc.* | | | 20,394 | |
| | 33,760 | | | | | | | Knowles Corp.* | | | 551,638 | |
| | 3,888 | | | | | | | Lightwave Logic Inc.* | | | 16,368 | |
| | 919 | | | | | | | Littelfuse Inc. | | | 218,943 | |
| | 1,133 | | | | | | | Luna Innovations Inc.* | | | 7,682 | |
| | 1,435 | | | | | | | Methode Electronics Inc. | | | 30,565 | |
| | 5,919 | | | | | | | MicroVision Inc.*(b) | | | 13,969 | |
See Notes to Financial Statements.
65
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| INFORMATION TECHNOLOGY — 15.2% — (continued) | |
|
| Electronic Equipment, Instruments & Components — 2.9% — (continued) | |
| | 7,172 | | | | | | | Mirion Technologies Inc., Class A Shares* | | $ | 70,142 | |
| | 1,294 | | | | | | | Napco Security Technologies Inc. | | | 58,269 | |
| | 17,448 | | | | | | | nLight Inc.* | | | 230,837 | |
| | 1,350 | | | | | | | Novanta Inc.* | | | 233,469 | |
| | 5,818 | | | | | | | OSI Systems Inc.* | | | 763,205 | |
| | 1,052 | | | | | | | PAR Technology Corp.* | | | 46,099 | |
| | 429 | | | | | | | PC Connection Inc. | | | 28,477 | |
| | 1,063 | | | | | | | Plexus Corp.* | | | 100,347 | |
| | 409 | | | | | | | Richardson Electronics Ltd. | | | 3,595 | |
| | 2,211 | | | | | | | Rogers Corp.* | | | 247,787 | |
| | 2,105 | | | | | | | Sanmina Corp.* | | | 133,036 | |
| | 977 | | | | | | | ScanSource Inc.* | | | 42,236 | |
| | 7,000 | | | | | | | SmartRent Inc., Class A Shares* | | | 20,300 | |
| | 2,227 | | | | | | | TD SYNNEX Corp. | | | 231,385 | |
| | 937 | | | | | | | TE Connectivity Ltd. | | | 134,516 | |
| | 2,386 | | | | | | | Teledyne Technologies Inc.* | | | 1,019,466 | |
| | 3,971 | | | | | | | TTM Technologies Inc.* | | | 58,969 | |
| | 4,787 | | | | | | | Vishay Intertechnology Inc. | | | 104,117 | |
| | 436 | | | | | | | Vishay Precision Group Inc.* | | | 15,064 | |
| | 6,031 | | | | | | | Vontier Corp. | | | 259,333 | |
| | 2,174 | | | | | | | Vuzix Corp.* | | | 3,674 | |
| | | | | | | | | | | | |
| | | | | | | | Total Electronic Equipment, Instruments & Components | | | 14,965,194 | |
| | | | | | | | | | | | |
|
| IT Services — 1.1% | |
| | 4,564 | | | | | | | Amdocs Ltd. | | | 416,237 | |
| | 2,207 | | | | | | | Applied Digital Corp.*(b) | | | 9,159 | |
| | 2,700 | | | | | | | BigCommerce Holdings Inc.* | | | 20,925 | |
| | 1,407 | | | | | | | Brightcove Inc.* | | | 3,116 | |
| | 1,382 | | | | | | | Couchbase Inc.* | | | 38,807 | |
| | 2,293 | | | | | | | DigitalOcean Holdings Inc.* | | | 86,950 | |
| | 7,937 | | | | | | | DXC Technology Co.* | | | 173,503 | |
| | 13,482 | | | | | | | Endava PLC, ADR* | | | 501,126 | |
| | 4,444 | | | | | | | Fastly Inc., Class A Shares* | | | 63,194 | |
| | 2,317 | | | | | | | Gartner Inc.* | | | 1,078,702 | |
| | 1,580 | | | | | | | Globant SA* | | | 352,609 | |
| | 2,238 | | | | | | | Grid Dynamics Holdings Inc.* | | | 30,191 | |
| | 959 | | | | | | | Hackett Group Inc. (The) | | | 23,706 | |
| | 1,768 | | | | | | | Information Services Group Inc. | | | 7,655 | |
| | 79,202 | | | | | | | Kyndryl Holdings Inc.* | | | 1,740,068 | |
| | 1,334 | | | | | | | Perficient Inc.* | | | 86,537 | |
| | 1,997 | | | | | | | Rackspace Technology Inc.* | | | 4,214 | |
| | 1,922 | | | | | | | Squarespace Inc., Class A Shares* | | | 63,964 | |
| | 3,012 | | | | | | | Thoughtworks Holding Inc.* | | | 9,397 | |
| | 342 | | | | | | | Tucows Inc., Class A Shares* | | | 6,464 | |
| | 79,977 | | | | | | | Unisys Corp.* | | | 415,081 | |
| | 5,286 | | | | | | | Wix.com Ltd.* | | | 740,991 | |
| | | | | | | | | | | | |
| | | | | | | | Total IT Services | | | 5,872,596 | |
| | | | | | | | | | | | |
|
| Semiconductors & Semiconductor Equipment — 2.8% | |
| | 1,895 | | | | | | | ACM Research Inc., Class A Shares* | | | 58,593 | |
| | 940 | | | | | | | Aehr Test Systems* | | | 15,294 | |
| | 2,764 | | | | | | | Allegro MicroSystems Inc.* | | | 87,038 | |
| | 906 | | | | | | | Alpha & Omega Semiconductor Ltd.* | | | 19,841 | |
| | 1,437 | | | | | | | Ambarella Inc.* | | | 80,257 | |
| | 4,385 | | | | | | | Amkor Technology Inc. | | | 136,023 | |
See Notes to Financial Statements.
66
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| INFORMATION TECHNOLOGY — 15.2% — (continued) | |
|
| Semiconductors & Semiconductor Equipment — 2.8% — (continued) | |
| | 785 | | | | | | | Atomera Inc.* | | $ | 4,946 | |
| | 1,254 | | | | | | | Axcelis Technologies Inc.* | | | 141,288 | |
| | 3,820 | | | | | | | Camtek Ltd.* | | | 304,034 | |
| | 12,004 | | | | | | | CEVA Inc.* | | | 271,771 | |
| | 2,091 | | | | | | | Cirrus Logic Inc.* | | | 191,996 | |
| | 1,728 | | | | | | | Cohu Inc.* | | | 55,521 | |
| | 19,789 | | | | | | | Credo Technology Group Holding Ltd.* | | | 426,255 | |
| | 1,731 | | | | | | | Diodes Inc.* | | | 117,673 | |
| | 5,722 | | | | | | | Entegris Inc. | | | 768,808 | |
| | 2,768 | | | | | | | FormFactor Inc.* | | | 119,107 | |
| | 3,664 | | | | | | | Ichor Holdings Ltd.* | | | 156,819 | |
| | 7,792 | | | | | | | Impinj Inc.* | | | 851,042 | |
| | 46,720 | | | | | | | indie Semiconductor Inc., Class A Shares* | | | 289,197 | |
| | 405 | | | | | | | inTEST Corp.* | | | 4,730 | |
| | 2,054 | | | | | | | Kulicke & Soffa Industries Inc. | | | 97,812 | |
| | 5,208 | | | | | | | Lattice Semiconductor Corp.* | | | 398,985 | |
| | 26,252 | | | | | | | MACOM Technology Solutions Holdings Inc.* | | | 2,318,839 | |
| | 916 | | | | | | | Maxeon Solar Technologies Ltd.* | | | 3,673 | |
| | 2,761 | | | | | | | MaxLinear Inc., Class A Shares* | | | 53,674 | |
| | 2,540 | | | | | | | MKS Instruments Inc. | | | 311,810 | |
| | 4,723 | | | | | | | Navitas Semiconductor Corp., Class A Shares* | | | 28,999 | |
| | 4,030 | | | | | | | Nova Ltd.* | | | 699,004 | |
| | 165 | | | | | | | NVE Corp. | | | 13,792 | |
| | 1,856 | | | | | | | Onto Innovation Inc.* | | | 341,801 | |
| | 1,170 | | | | | | | PDF Solutions Inc.* | | | 39,768 | |
| | 2,470 | | | | | | | Photronics Inc.* | | | 71,111 | |
| | 2,085 | | | | | | | Power Integrations Inc. | | | 148,994 | |
| | 3,727 | | | | | | | Qorvo Inc.* | | | 426,928 | |
| | 27,572 | | | | | | | Rambus Inc.* | | | 1,633,365 | |
| | 20,293 | | | | | | | Semtech Corp.* | | | 430,212 | |
| | 1,217 | | | | | | | Silicon Laboratories Inc.* | | | 167,386 | |
| | 690 | | | | | | | SiTime Corp.* | | | 63,825 | |
| | 1,185 | | | | | | | SkyWater Technology Inc.* | | | 13,699 | |
| | 1,697 | | | | | | | SMART Global Holdings Inc.* | | | 36,095 | |
| | 1,479 | | | | | | | Synaptics Inc.* | | | 148,048 | |
| | 1,545 | | | | | | | Transphorm Inc.* | | | 7,431 | |
| | 1,554 | | | | | | | Ultra Clean Holdings Inc.* | | | 67,133 | |
| | 4,890 | | | | | | | Universal Display Corp. | | | 852,914 | |
| | 54,924 | | | | | | | Veeco Instruments Inc.* | | | 1,988,798 | |
| | 10,620 | | | | | | | Wolfspeed Inc.* | | | 276,332 | |
| | | | | | | | | | | | |
| | | | | | | | Total Semiconductors & Semiconductor Equipment | | | 14,740,661 | |
| | | | | | | | | | | | |
|
| Software — 6.4% | |
| | 4,737 | | | | | | | 8x8 Inc.* | | | 13,406 | |
| | 2,712 | | | | | | | A10 Networks Inc. | | | 36,097 | |
| | 25,219 | | | | | | | ACI Worldwide Inc.* | | | 829,957 | |
| | 51,727 | | | | | | | Adeia Inc. | | | 586,584 | |
| | 778 | | | | | | | Agilysys Inc.* | | | 60,528 | |
| | 1,808 | | | | | | | Alarm.com Holdings Inc.* | | | 136,848 | |
| | 1,579 | | | | | | | Alkami Technology Inc.* | | | 39,396 | |
| | 2,040 | | | | | | | Altair Engineering Inc., Class A Shares* | | | 173,563 | |
| | 2,285 | | | | | | | Alteryx Inc., Class A Shares* | | | 109,771 | |
| | 1,559 | | | | | | | American Software Inc., Class A Shares | | | 17,492 | |
| | 2,380 | | | | | | | Amplitude Inc., Class A Shares* | | | 28,227 | |
| | 3,699 | | | | | | | ANSYS Inc.* | | | 1,236,095 | |
See Notes to Financial Statements.
67
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| INFORMATION TECHNOLOGY — 15.2% — (continued) | |
|
| Software — 6.4% — (continued) | |
| | 8,233 | | | | | | | Appfolio Inc., Class A Shares* | | $ | 1,993,127 | |
| | 1,532 | | | | | | | Appian Corp., Class A Shares* | | | 53,390 | |
| | 8,059 | | | | | | | AppLovin Corp., Class A Shares* | | | 481,284 | |
| | 2,923 | | | | | | | Asana Inc., Class A Shares* | | | 57,583 | |
| | 3,123 | | | | | | | Aspen Technology Inc.* | | | 605,519 | |
| | 2,149 | | | | | | | Atlassian Corp., Class A Shares* | | | 445,746 | |
| | 12,556 | | | | | | | Aurora Innovation Inc., Class A Shares* | | | 31,892 | |
| | 5,466 | | | | | | | AvePoint Inc.* | | | 43,728 | |
| | 7,478 | | | | | | | Bentley Systems Inc., Class B Shares | | | 384,145 | |
| | 3,873 | | | | | | | BILL Holdings Inc.* | | | 245,277 | |
| | 4,969 | | | | | | | Bit Digital Inc.*(b) | | | 12,919 | |
| | 1,661 | | | | | | | Blackbaud Inc.* | | | 114,908 | |
| | 2,111 | | | | | | | BlackLine Inc.* | | | 119,757 | |
| | 41,280 | | | | | | | Box Inc., Class A Shares* | | | 1,064,611 | |
| | 1,933 | | | | | | | Braze Inc., Class A Shares* | | | 109,988 | |
| | 3,031 | | | | | | | C3.ai Inc., Class A Shares*(b) | | | 112,056 | |
| | 63,478 | | | | | | | CCC Intelligent Solutions Holdings Inc.* | | | 743,327 | |
| | 1,428 | | | | | | | Cerence Inc.* | | | 21,277 | |
| | 5,612 | | | | | | | Cleanspark Inc.* | | | 93,833 | |
| | 3,000 | | | | | | | Clear Secure Inc., Class A Shares | | | 57,750 | |
| | 75,386 | | | | | | | Cognyte Software Ltd.* | | | 559,364 | |
| | 1,724 | | | | | | | CommVault Systems Inc.* | | | 165,004 | |
| | 6,934 | | | | | | | Confluent Inc., Class A Shares* | | | 234,855 | |
| | 750 | | | | | | | Consensus Cloud Solutions Inc.* | | | 11,940 | |
| | 231 | | | | | | | CoreCard Corp.* | | | 2,948 | |
| | 1,375 | | | | | | | Crowdstrike Holdings Inc., Class A Shares* | | | 445,706 | |
| | 934 | | | | | | | CS Disco Inc.* | | | 6,220 | |
| | 621 | | | | | | | Digimarc Corp.* | | | 21,772 | |
| | 3,618 | | | | | | | Digital Turbine Inc.* | | | 11,469 | |
| | 2,281 | | | | | | | Dolby Laboratories Inc., Class A Shares | | | 184,761 | |
| | 1,305 | | | | | | | Domo Inc., Class B Shares* | | | 15,021 | |
| | 12,729 | | | | | | | DoubleVerify Holdings Inc.* | | | 393,199 | |
| | 10,019 | | | | | | | Dropbox Inc., Class A Shares* | | | 239,955 | |
| | 27,067 | | | | | | | Dynatrace Inc.* | | | 1,341,170 | |
| | 5,732 | | | | | | | E2open Parent Holdings Inc.* | | | 24,246 | |
| | 816 | | | | | | | eGain Corp.* | | | 5,002 | |
| | 3,041 | | | | | | | Elastic NV* | | | 406,916 | |
| | 1,932 | | | | | | | Enfusion Inc., Class A Shares* | | | 16,750 | |
| | 1,579 | | | | | | | Envestnet Inc.* | | | 81,366 | |
| | 1,579 | | | | | | | Everbridge Inc.* | | | 44,638 | |
| | 1,409 | | | | | | | EverCommerce Inc.* | | | 13,794 | |
| | 1,861 | | | | | | | Expensify Inc., Class A Shares* | | | 3,871 | |
| | 2,740 | | | | | | | Five9 Inc.* | | | 167,140 | |
| | 6,135 | | | | | | | Freshworks Inc., Class A Shares* | | | 125,399 | |
| | 21,335 | | | | | | | Gen Digital Inc. | | | 458,489 | |
| | 7,576 | | | | | | | Gitlab Inc., Class A Shares* | | | 546,381 | |
| | 18,381 | | | | | | | Guidewire Software Inc.* | | | 2,193,589 | |
| | 3,620 | | | | | | | HashiCorp Inc., Class A Shares* | | | 94,373 | |
| | 1,601 | | | | | | | Informatica Inc., Class A Shares* | | | 52,161 | |
| | 836 | | | | | | | Instructure Holdings Inc.* | | | 19,161 | |
| | 1,058 | | | | | | | Intapp Inc.* | | | 41,505 | |
| | 1,046 | | | | | | | InterDigital Inc. | | | 111,943 | |
| | 2,598 | | | | | | | Jamf Holding Corp.* | | | 46,738 | |
| | 3,036 | | | | | | | Kaltura Inc.* | | | 4,038 | |
| | 32,040 | | | | | | | Lightspeed Commerce Inc.* | | | 449,842 | |
See Notes to Financial Statements.
68
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| INFORMATION TECHNOLOGY — 15.2% — (continued) | |
|
| Software — 6.4% — (continued) | |
| | 2,814 | | | | | | | LivePerson Inc.* | | $ | 3,574 | |
| | 2,448 | | | | | | | LiveRamp Holdings Inc.* | | | 85,631 | |
| | 2,364 | | | | | | | Manhattan Associates Inc.* | | | 598,872 | |
| | 8,276 | | | | | | | Marathon Digital Holdings Inc.* | | | 214,348 | |
| | 9,476 | | | | | | | Matterport Inc.* | | | 20,089 | |
| | 971 | | | | | | | MeridianLink Inc.* | | | 18,410 | |
| | 804 | | | | | | | MicroStrategy Inc., Class A Shares* | | | 822,363 | |
| | 1,693 | | | | | | | Mitek Systems Inc.* | | | 19,656 | |
| | 1,391 | | | | | | | Model N Inc.* | | | 34,163 | |
| | 2,942 | | | | | | | N-able Inc.* | | | 39,629 | |
| | 2,641 | | | | | | | nCino Inc.* | | | 78,807 | |
| | 22,848 | | | | | | | NCR Voyix Corp.* | | | 333,809 | |
| | 2,530 | | | | | | | NextNav Inc.* | | | 10,828 | |
| | 9,331 | | | | | | | Nutanix Inc., Class A Shares* | | | 589,346 | |
| | 3,960 | | | | | | | Olo Inc., Class A Shares* | | | 23,047 | |
| | 1,099 | | | | | | | ON24 Inc. | | | 7,715 | |
| | 25,914 | | | | | | | OneSpan Inc.* | | | 249,034 | |
| | 3,476 | | | | | | | PagerDuty Inc.* | | | 83,980 | |
| | 1,582 | | | | | | | Pegasystems Inc. | | | 102,893 | |
| | 2,077 | | | | | | | PowerSchool Holdings Inc., Class A Shares* | | | 43,389 | |
| | 3,045 | | | | | | | Procore Technologies Inc.* | | | 237,601 | |
| | 1,697 | | | | | | | Progress Software Corp. | | | 90,552 | |
| | 1,846 | | | | | | | PROS Holdings Inc.* | | | 65,995 | |
| | 4,410 | | | | | | | PTC Inc.* | | | 807,074 | |
| | 2,162 | | | | | | | Q2 Holdings Inc.* | | | 99,949 | |
| | 1,413 | | | | | | | Qualys Inc.* | | | 242,838 | |
| | 15,813 | | | | | | | Radware Ltd.* | | | 280,839 | |
| | 2,230 | | | | | | | Rapid7 Inc.* | | | 130,633 | |
| | 472 | | | | | | | Red Violet Inc.* | | | 8,430 | |
| | 1,777 | | | | | | | Rimini Street Inc.* | | | 5,740 | |
| | 3,288 | | | | | | | RingCentral Inc., Class A Shares* | | | 109,885 | |
| | 7,061 | | | | | | | Riot Platforms Inc.*(b) | | | 99,701 | |
| | 38,240 | | | | | | | Samsara Inc., Class A Shares* | | | 1,321,192 | |
| | 1,094 | | | | | | | Sapiens International Corp. NV | | | 33,662 | |
| | 1,053 | | | | | | | SEMrush Holdings Inc., Class A Shares* | | | 13,142 | |
| | 9,012 | | | | | | | SentinelOne Inc., Class A Shares* | | | 253,868 | |
| | 33,639 | | | | | | | Smartsheet Inc., Class A Shares* | | | 1,419,902 | |
| | 2,185 | | | | | | | SolarWinds Corp.* | | | 26,089 | |
| | 4,933 | | | | | | | SoundHound AI Inc., Class A Shares*(b) | | | 36,603 | |
| | 355 | | | | | | | SoundThinking Inc.* | | | 6,174 | |
| | 3,830 | | | | | | | Sprinklr Inc., Class A Shares* | | | 49,905 | |
| | 19,297 | | | | | | | Sprout Social Inc., Class A Shares* | | | 1,192,941 | |
| | 1,389 | | | | | | | SPS Commerce Inc.* | | | 257,187 | |
| | 19,577 | | | | | | | Tenable Holdings Inc.* | | | 942,828 | |
| | 3,769 | | | | | | | Teradata Corp.* | | | 141,790 | |
| | 5,250 | | | | | | | Terawulf Inc.* | | | 9,844 | |
| | 1,048 | | | | | | | Tyler Technologies Inc.* | | | 458,123 | |
| | 14,559 | | | | | | | UiPath Inc., Class A Shares* | | | 345,776 | |
| | 10,745 | | | | | | | Varonis Systems Inc., Class B Shares* | | | 545,846 | |
| | 21,802 | | | | | | | Verint Systems Inc.* | | | 689,161 | |
| | 1,052 | | | | | | | Veritone Inc.* | | | 2,409 | |
| | 490 | | | | | | | Viant Technology Inc., Class A Shares* | | | 4,454 | |
| | 1,679 | | | | | | | Weave Communications Inc.* | | | 21,038 | |
| | 6,701 | | | | | | | Workiva Inc., Class A Shares* | | | 577,090 | |
| | 39,886 | | | | | | | Xperi Inc.* | | | 437,151 | |
See Notes to Financial Statements.
69
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| INFORMATION TECHNOLOGY — 15.2% — (continued) | |
|
| Software — 6.4% — (continued) | |
| | 4,069 | | | | | | | Yext Inc.* | | $ | 24,089 | |
| | 5,570 | | | | | | | Zeta Global Holdings Corp., Class A Shares* | | | 58,485 | |
| | 4,721 | | | | | | | Zuora Inc., Class A Shares* | | | 38,146 | |
| | | | | | | | | | | | |
| | | | | | | | Total Software | | | 33,066,522 | |
| | | | | | | | | | | | |
|
| Technology Hardware, Storage & Peripherals — 0.6% | |
| | 855 | | | | | | | CompoSecure Inc.* | | | 4,138 | |
| | 1,437 | | | | | | | Corsair Gaming Inc.* | | | 18,609 | |
| | 236 | | | | | | | CPI Card Group Inc.* | | | 4,460 | |
| | 1,829 | | | | | | | Eastman Kodak Co.* | | | 9,767 | |
| | 1,544 | | | | | | | Immersion Corp. | | | 10,422 | |
| | 1,553 | | | | | | | Intevac Inc.* | | | 5,995 | |
| | 6,402 | | | | | | | IonQ Inc.*(b) | | | 66,325 | |
| | 10,916 | | | | | | | Pure Storage Inc., Class A Shares* | | | 574,728 | |
| | 306,548 | | | | | | | Quantum Corp.*(c) | | | 148,001 | |
| | 2,565 | | | | | | | Super Micro Computer Inc.* | | | 2,221,598 | |
| | 602 | | | | | | | Turtle Beach Corp.* | | | 6,429 | |
| | 4,412 | | | | | | | Xerox Holdings Corp. | | | 82,284 | |
| | | | | | | | | | | | |
| | | | | | | | Total Technology Hardware, Storage & Peripherals | | | 3,152,756 | |
| | | | | | | | | | | | |
| | | | | | | | TOTAL INFORMATION TECHNOLOGY | | | 79,155,050 | |
| | | | | | | | | | | | |
|
| MATERIALS — 5.2% | |
|
| Chemicals — 1.8% | |
| | 900 | | | | | | | AdvanSix Inc. | | | 25,182 | |
| | 1,001 | | | | | | | Albemarle Corp. | | | 137,988 | |
| | 1,145 | | | | | | | American Vanguard Corp. | | | 12,274 | |
| | 38,619 | | | | | | | Arcadium Lithium PLC* | | | 212,018 | |
| | 1,839 | | | | | | | Ashland Inc. | | | 172,204 | |
| | 2,013 | | | | | | | Aspen Aerogels Inc.* | | | 34,583 | |
| | 28,535 | | | | | | | Avient Corp. | | | 1,155,097 | |
| | 41,738 | | | | | | | Axalta Coating Systems Ltd.* | | | 1,366,085 | |
| | 1,215 | | | | | | | Balchem Corp. | | | 190,986 | |
| | 2,141 | | | | | | | Cabot Corp. | | | 181,878 | |
| | 5,637 | | | | | | | Chemours Co. (The) | | | 110,880 | |
| | 310 | | | | | | | Core Molding Technologies Inc.* | | | 5,695 | |
| | 3,418 | | | | | | | Danimer Scientific Inc.* | | | 4,580 | |
| | 1,888 | | | | | | | DuPont de Nemours Inc. | | | 130,631 | |
| | 11,486 | | | | | | | Ecolab Inc. | | | 2,582,512 | |
| | 3,245 | | | | | | | Ecovyst Inc.* | | | 31,314 | |
| | 8,272 | | | | | | | Element Solutions Inc. | | | 194,392 | |
| | 59,332 | | | | | | | Ginkgo Bioworks Holdings Inc.*(b) | | | 90,185 | |
| | 786 | | | | | | | Hawkins Inc. | | | 55,216 | |
| | 2,051 | | | | | | | HB Fuller Co. | | | 163,116 | |
| | 6,546 | | | | | | | Huntsman Corp. | | | 167,578 | |
| | 1,334 | | | | | | | Ingevity Corp.* | | | 60,937 | |
| | 943 | | | | | | | Innospec Inc. | | | 117,187 | |
| | 517 | | | | | | | Intrepid Potash Inc.* | | | 10,898 | |
| | 865 | | | | | | | Koppers Holdings Inc. | | | 48,976 | |
| | 772 | | | | | | | Kronos Worldwide Inc. | | | 7,017 | |
| | 1,941 | | | | | | | LSB Industries Inc.* | | | 14,286 | |
| | 1,852 | | | | | | | Mativ Holdings Inc. | | | 32,169 | |
| | 1,297 | | | | | | | Minerals Technologies Inc. | | | 93,851 | |
| | 231 | | | | | | | NewMarket Corp. | | | 148,226 | |
| | 4,722 | | | | | | | Olin Corp. | | | 254,044 | |
| | 3,607 | | | | | | | Origin Materials Inc.* | | | 2,141 | |
See Notes to Financial Statements.
70
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| MATERIALS — 5.2% — (continued) | |
|
| Chemicals — 1.8% — (continued) | |
| | 2,044 | | | | | | | Orion SA | | $ | 46,072 | |
| | 6,995 | | | | | | | Perimeter Solutions SA* | | | 42,530 | |
| | 4,506 | | | | | | | PureCycle Technologies Inc.*(b) | | | 26,090 | |
| | 532 | | | | | | | Quaker Chemical Corp. | | | 106,666 | |
| | 2,153 | | | | | | | Rayonier Advanced Materials Inc.* | | | 7,299 | |
| | 4,884 | | | | | | | RPM International Inc. | | | 563,369 | |
| | 1,646 | | | | | | | Scotts Miracle-Gro Co. (The) | | | 108,142 | |
| | 1,641 | | | | | | | Sensient Technologies Corp. | | | 109,750 | |
| | 806 | | | | | | | Stepan Co. | | | 71,895 | |
| | 1,323 | | | | | | | Trinseo PLC | | | 5,953 | |
| | 39,958 | | | | | | | Tronox Holdings PLC | | | 587,383 | |
| | 115 | | | | | | | Valhi Inc. | | | 1,567 | |
| | | | | | | | | | | | |
| | | | | | | | Total Chemicals | | | 9,490,842 | |
| | | | | | | | | | | | |
|
| Construction Materials — 0.8% | |
| | 1,321 | | | | | | | Eagle Materials Inc. | | | 334,940 | |
| | 2,163 | | | | | | | Knife River Corp.* | | | 160,257 | |
| | 21,181 | | | | | | | Summit Materials Inc., Class A Shares* | | | 904,640 | |
| | 78 | | | | | | | United States Lime & Minerals Inc. | | | 19,888 | |
| | 9,654 | | | | | | | Vulcan Materials Co. | | | 2,566,516 | |
| | | | | | | | | | | | |
| | | | | | | | Total Construction Materials | | | 3,986,241 | |
| | | | | | | | | | | | |
|
| Containers & Packaging — 1.5% | |
| | 10,650 | | | | | | | AptarGroup Inc. | | | 1,495,899 | |
| | 765 | | | | | | | Ardagh Group SA, Class A Shares*(a)(c) | | | 3,580 | |
| | 6,483 | | | | | | | Ardagh Metal Packaging SA | | | 21,264 | |
| | 9,950 | | | | | | | Avery Dennison Corp. | | | 2,154,474 | |
| | 4,613 | | | | | | | Berry Global Group Inc. | | | 268,523 | |
| | 18,944 | | | | | | | Crown Holdings Inc. | | | 1,451,489 | |
| | 11,765 | | | | | | | Graphic Packaging Holding Co. | | | 305,302 | |
| | 932 | | | | | | | Greif Inc., Class A Shares | | | 60,077 | |
| | 197 | | | | | | | Greif Inc., Class B Shares | | | 12,612 | |
| | 1,358 | | | | | | | Myers Industries Inc. | | | 26,114 | |
| | 6,084 | | | | | | | O-I Glass Inc.* | | | 102,941 | |
| | 3,412 | | | | | | | Packaging Corp. of America | | | 618,220 | |
| | 1,500 | | | | | | | Pactiv Evergreen Inc. | | | 22,125 | |
| | 1,487 | | | | | | | Ranpak Holdings Corp., Class A Shares* | | | 7,063 | |
| | 5,304 | | | | | | | Sealed Air Corp. | | | 184,951 | |
| | 9,342 | | | | | | | Silgan Holdings Inc. | | | 410,207 | |
| | 3,785 | | | | | | | Sonoco Products Co. | | | 214,534 | |
| | 1,594 | | | | | | | TriMas Corp. | | | 37,459 | |
| | 9,760 | | | | | | | WestRock Co. | | | 442,030 | |
| | | | | | | | | | | | |
| | | | | | | | Total Containers & Packaging | | | 7,838,864 | |
| | | | | | | | | | | | |
|
| Metals & Mining — 1.1% | |
| | 1,518 | | | | | | | 5E Advanced Materials Inc.* | | | 2,748 | |
| | 51,791 | | | | | | | Alamos Gold Inc., Class A Shares | | | 611,652 | |
| | 6,671 | | | | | | | Alcoa Corp. | | | 181,518 | |
| | 441 | | | | | | | Alpha Metallurgical Resources Inc. | | | 166,367 | |
| | 695 | | | | | | | Arch Resources Inc. | | | 114,876 | |
| | 4,878 | | | | | | | ATI Inc.* | | | 239,900 | |
| | 445 | | | | | | | Caledonia Mining Corp. PLC | | | 4,401 | |
| | 1,900 | | | | | | | Carpenter Technology Corp. | | | 122,835 | |
| | 2,063 | | | | | | | Century Aluminum Co.* | | | 21,600 | |
| | 79,867 | | | | | | | Cleveland-Cliffs Inc.* | | | 1,661,234 | |
| | 13,155 | | | | | | | Coeur Mining Inc.* | | | 34,071 | |
See Notes to Financial Statements.
71
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| MATERIALS — 5.2% — (continued) | |
|
| Metals & Mining — 1.1% — (continued) | |
| | 4,335 | | | | | | | Commercial Metals Co. | | $ | 234,090 | |
| | 1,279 | | | | | | | Compass Minerals International Inc. | | | 29,161 | |
| | 4,859 | | | | | | | Constellium SE, Class A Shares* | | | 94,216 | |
| | 614 | | | | | | | Contango ORE Inc.* | | | 10,395 | |
| | 2,810 | | | | | | | Dakota Gold Corp.* | | | 5,957 | |
| | 429 | | | | | | | Haynes International Inc. | | | 25,495 | |
| | 23,863 | | | | | | | Hecla Mining Co. | | | 84,475 | |
| | 6,041 | | | | | | | i-80 Gold Corp.* | | | 7,612 | |
| | 2,174 | | | | | | | Ivanhoe Electric Inc.* | | | 16,088 | |
| | 602 | | | | | | | Kaiser Aluminum Corp. | | | 43,657 | |
| | 827 | | | | | | | Materion Corp. | | | 111,083 | |
| | 1,617 | | | | | | | Metallus Inc.* | | | 35,170 | |
| | 3,923 | | | | | | | MP Materials Corp.* | | | 59,669 | |
| | 8,864 | | | | | | | Novagold Resources Inc.* | | | 21,983 | |
| | 372 | | | | | | | Olympic Steel Inc. | | | 25,303 | |
| | 1,578 | | | | | | | Perpetua Resources Corp.* | | | 4,560 | |
| | 611 | | | | | | | Piedmont Lithium Inc.* | | | 8,896 | |
| | 932 | | | | | | | Radius Recycling Inc. | | | 18,416 | |
| | 945 | | | | | | | Ramaco Resources Inc., Class A Shares | | | 16,613 | |
| | 189 | | | | | | | Ramaco Resources Inc., Class B Shares | | | 2,268 | |
| | 2,226 | | | | | | | Reliance Inc. | | | 715,036 | |
| | 2,497 | | | | | | | Royal Gold Inc. | | | 256,267 | |
| | 1,021 | | | | | | | Ryerson Holding Corp. | | | 32,243 | |
| | 7,730 | | | | | | | SSR Mining Inc. | | | 33,239 | |
| | 3,636 | | | | | | | SunCoke Energy Inc. | | | 38,942 | |
| | 1,116 | | | | | | | Tredegar Corp. | | | 4,855 | |
| | 8,508 | | | | | | | United States Steel Corp. | | | 402,769 | |
| | 2,058 | | | | | | | Warrior Met Coal Inc. | | | 117,244 | |
| | 1,114 | | | | | | | Worthington Steel Inc.* | | | 35,269 | |
| | | | | | | | | | | | |
| | | | | | | | Total Metals & Mining | | | 5,652,173 | |
| | | | | | | | | | | | |
|
| Paper & Forest Products — 0.0%@ | |
| | 630 | | | | | | | Clearwater Paper Corp.* | | | 24,753 | |
| | 1,591 | | | | | | | Glatfelter Corp.* | | | 3,548 | |
| | 2,429 | | | | | | | Louisiana-Pacific Corp. | | | 179,673 | |
| | 1,860 | | | | | | | Resolute Forest Products Inc.*(a) | | | 2,827 | |
| | 1,350 | | | | | | | Sylvamo Corp. | | | 81,554 | |
| | | | | | | | | | | | |
| | | | | | | | Total Paper & Forest Products | | | 292,355 | |
| | | | | | | | | | | | |
| | | | | | | | TOTAL MATERIALS | | | 27,260,475 | |
| | | | | | | | | | | | |
|
| REAL ESTATE — 4.7% | |
|
| Diversified REITs — 0.1% | |
| | 2,672 | | | | | | | Alexander & Baldwin Inc. | | | 43,447 | |
| | 375 | | | | | | | Alpine Income Property Trust Inc. | | | 5,854 | |
| | 1,805 | | | | | | | American Assets Trust Inc. | | | 38,934 | |
| | 2,298 | | | | | | | Armada Hoffler Properties Inc. | | | 23,394 | |
| | 7,219 | | | | | | | Broadstone Net Lease Inc., Class A Shares | | | 107,635 | |
| | 723 | | | | | | | CTO Realty Growth Inc. | | | 12,327 | |
| | 5,225 | | | | | | | Empire State Realty Trust Inc., Class A Shares | | | 52,093 | |
| | 5,698 | | | | | | | Essential Properties Realty Trust Inc. | | | 136,125 | |
| | 1,504 | | | | | | | Gladstone Commercial Corp. | | | 18,620 | |
| | 7,142 | | | | | | | Global Net Lease Inc. | | | 51,494 | |
| | 965 | | | | | | | NexPoint Diversified Real Estate Trust | | | 6,108 | |
| | 539 | | | | | | | One Liberty Properties Inc. | | | 10,909 | |
| | | | | | | | | | | | |
| | | | | | | | Total Diversified REITs | | | 506,940 | |
| | | | | | | | | | | | |
See Notes to Financial Statements.
72
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| REAL ESTATE — 4.7% — (continued) | |
|
| Health Care REITs — 0.5% | |
| | 3,733 | | | | | | | CareTrust REIT Inc. | | $ | 84,217 | |
| | 927 | | | | | | | Community Healthcare Trust Inc. | | | 25,159 | |
| | 8,279 | | | | | | | Diversified Healthcare Trust | | | 27,155 | |
| | 2,614 | | | | | | | Global Medical REIT Inc. | | | 23,395 | |
| | 86,057 | | | | | | | Healthcare Realty Trust Inc., Class A Shares | | | 1,185,865 | |
| | 26,715 | | | | | | | Healthpeak Properties Inc. | | | 447,476 | |
| | 1,529 | | | | | | | LTC Properties Inc. | | | 48,102 | |
| | 23,892 | | | | | | | Medical Properties Trust Inc.(b) | | | 100,585 | |
| | 1,681 | | | | | | | National Health Investors Inc. | | | 96,607 | |
| | 9,432 | | | | | | | Omega Healthcare Investors Inc. | | | 293,524 | |
| | 8,662 | | | | | | | Sabra Health Care REIT Inc. | | | 120,229 | |
| | 455 | | | | | | | Universal Health Realty Income Trust | | | 17,645 | |
| | | | | | | | | | | | |
| | | | | | | | Total Health Care REITs | | | 2,469,959 | |
| | | | | | | | | | | | |
|
| Hotel & Resort REITs — 0.4% | |
| | 8,214 | | | | | | | Apple Hospitality REIT Inc. | | | 132,163 | |
| | 3,087 | | | | | | | Braemar Hotels & Resorts Inc. | | | 7,038 | |
| | 18,748 | | | | | | | Chatham Lodging Trust | | | 191,230 | |
| | 8,046 | | | | | | | DiamondRock Hospitality Co. | | | 75,632 | |
| | 27,347 | | | | | | | Host Hotels & Resorts Inc. | | | 567,177 | |
| | 8,414 | | | | | | | Park Hotels & Resorts Inc. | | | 139,672 | |
| | 4,268 | | | | | | | Pebblebrook Hotel Trust | | | 67,605 | |
| | 22,301 | | | | | | | RLJ Lodging Trust | | | 264,713 | |
| | 2,238 | | | | | | | Ryman Hospitality Properties Inc. | | | 265,158 | |
| | 6,311 | | | | | | | Service Properties Trust | | | 42,915 | |
| | 4,049 | | | | | | | Summit Hotel Properties Inc. | | | 25,995 | |
| | 8,013 | | | | | | | Sunstone Hotel Investors Inc. | | | 89,666 | |
| | 3,807 | | | | | | | Xenia Hotels & Resorts Inc. | | | 58,399 | |
| | | | | | | | | | | | |
| | | | | | | | Total Hotel & Resort REITs | | | 1,927,363 | |
| | | | | | | | | | | | |
|
| Industrial REITs — 0.7% | |
| | 10,404 | | | | | | | Americold Realty Trust Inc. | | | 263,221 | |
| | 1,689 | | | | | | | EastGroup Properties Inc. | | | 296,740 | |
| | 5,127 | | | | | | | First Industrial Realty Trust Inc. | | | 271,731 | |
| | 1,071 | | | | | | | Innovative Industrial Properties Inc., Class A Shares | | | 104,947 | |
| | 10,739 | | | | | | | LXP Industrial Trust | | | 93,000 | |
| | 1,693 | | | | | | | Plymouth Industrial REIT Inc. | | | 36,518 | |
| | 21,633 | | | | | | | Rexford Industrial Realty Inc. | | | 1,100,687 | |
| | 31,449 | | | | | | | STAG Industrial Inc. | | | 1,168,016 | |
| | 3,159 | | | | | | | Terreno Realty Corp. | | | 203,124 | |
| | | | | | | | | | | | |
| | | | | | | | Total Industrial REITs | | | 3,537,984 | |
| | | | | | | | | | | | |
|
| Office REITs — 0.6% | |
| | 9,552 | | | | | | | Boston Properties Inc. | | | 618,206 | |
| | 6,768 | | | | | | | Brandywine Realty Trust | | | 29,102 | |
| | 1,288 | | | | | | | City Office REIT Inc. | | | 5,899 | |
| | 4,331 | | | | | | | COPT Defense Properties | | | 104,940 | |
| | 5,611 | | | | | | | Cousins Properties Inc. | | | 127,987 | |
| | 6,007 | | | | | | | Douglas Emmett Inc. | | | 79,413 | |
| | 3,367 | | | | | | | Easterly Government Properties Inc., Class A Shares | | | 39,731 | |
| | 43,185 | | | | | | | Equity Commonwealth* | | | 813,174 | |
| | 3,913 | | | | | | | Highwoods Properties Inc. | | | 95,673 | |
| | 5,116 | | | | | | | Hudson Pacific Properties Inc. | | | 32,435 | |
| | 25,359 | | | | | | | JBG SMITH Properties | | | 420,452 | |
| | 4,518 | | | | | | | Kilroy Realty Corp. | | | 171,187 | |
See Notes to Financial Statements.
73
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| REAL ESTATE — 4.7% — (continued) | |
|
| Office REITs — 0.6% — (continued) | |
| | 1,940 | | | | | | | Office Properties Income Trust | | $ | 5,180 | |
| | 2,327 | | | | | | | Orion Office REIT Inc. | | | 8,168 | |
| | 7,987 | | | | | | | Paramount Group Inc. | | | 35,382 | |
| | 1,310 | | | | | | | Peakstone Realty Trust | | | 18,039 | |
| | 4,416 | | | | | | | Piedmont Office Realty Trust Inc., Class A Shares | | | 27,688 | |
| | 905 | | | | | | | Postal Realty Trust Inc., Class A Shares | | | 12,960 | |
| | 2,309 | | | | | | | SL Green Realty Corp.(b) | | | 111,940 | |
| | 6,798 | | | | | | | Vornado Realty Trust | | | 178,787 | |
| | | | | | | | | | | | |
| | | | | | | | Total Office REITs | | | 2,936,343 | |
| | | | | | | | | | | | |
|
| Real Estate Management & Development — 1.1% | |
| | 4,266 | | | | | | | Anywhere Real Estate Inc.* | | | 26,748 | |
| | 30,812 | | | | | | | CBRE Group Inc., Class A Shares* | | | 2,831,315 | |
| | 11,407 | | | | | | | Compass Inc., Class A Shares* | | | 45,058 | |
| | 13,775 | | | | | | | CoStar Group Inc.* | | | 1,198,838 | |
| | 5,997 | | | | | | | Cushman & Wakefield PLC* | | | 59,910 | |
| | 6,038 | | | | | | | DigitalBridge Group Inc. | | | 110,918 | |
| | 2,770 | | | | | | | Douglas Elliman Inc. | | | 5,097 | |
| | 2,614 | | | | | | | eXp World Holdings Inc.(b) | | | 34,243 | |
| | 669 | | | | | | | Forestar Group Inc.* | | | 22,559 | |
| | 253 | | | | | | | FRP Holdings Inc.* | | | 15,231 | |
| | 1,297 | | | | | | | Howard Hughes Holdings Inc.* | | | 99,091 | |
| | 1,828 | | | | | | | Jones Lang LaSalle Inc.* | | | 347,759 | |
| | 4,535 | | | | | | | Kennedy-Wilson Holdings Inc. | | | 39,817 | |
| | 946 | | | | | | | Marcus & Millichap Inc. | | | 34,709 | |
| | 426 | | | | | | | Maui Land & Pineapple Co., Inc.* | | | 8,337 | |
| | 5,443 | | | | | | | Newmark Group Inc., Class A Shares | | | 58,730 | |
| | 21,396 | | | | | | | Opendoor Technologies Inc.* | | | 65,900 | |
| | 623 | | | | | | | RE/MAX Holdings Inc., Class A Shares | | | 5,314 | |
| | 3,994 | | | | | | | Redfin Corp.* | | | 28,377 | |
| | 769 | | | | | | | RMR Group Inc. (The), Class A Shares | | | 18,817 | |
| | 1,323 | | | | | | | St Joe Co. (The) | | | 71,270 | |
| | 398 | | | | | | | Star Holdings* | | | 4,915 | |
| | 298 | | | | | | | Stratus Properties Inc.* | | | 6,511 | |
| | 758 | | | | | | | Tejon Ranch Co.* | | | 12,606 | |
| | 2,203 | | | | | | | Zillow Group Inc., Class A Shares* | | | 119,094 | |
| | 5,836 | | | | | | | Zillow Group Inc., Class C Shares* | | | 327,691 | |
| | | | | | | | | | | | |
| | | | | | | | Total Real Estate Management & Development | | | 5,598,855 | |
| | | | | | | | | | | | |
|
| Residential REITs — 0.3% | |
| | 12,874 | | | | | | | American Homes 4 Rent, Class A Shares | | | 476,467 | |
| | 5,582 | | | | | | | Apartment Income REIT Corp. | | | 169,246 | |
| | 5,639 | | | | | | | Apartment Investment & Management Co., Class A Shares* | | | 41,616 | |
| | 474 | | | | | | | BRT Apartments Corp. | | | 7,338 | |
| | 4,028 | | | | | | | Camden Property Trust | | | 380,565 | |
| | 544 | | | | | | | Centerspace | | | 30,241 | |
| | 586 | | | | | | | Clipper Realty Inc. | | | 2,742 | |
| | 3,050 | | | | | | | Elme Communities | | | 39,284 | |
| | 6,866 | | | | | | | Equity LifeStyle Properties Inc. | | | 462,219 | |
| | 8,532 | | | | | | | Independence Realty Trust Inc. | | | 124,909 | |
| | 823 | | | | | | | NexPoint Residential Trust Inc. | | | 24,040 | |
| | 1,939 | | | | | | | UMH Properties Inc. | | | 29,861 | |
| | 2,844 | | | | | | | Veris Residential Inc. | | | 41,522 | |
| | | | | | | | | | | | |
| | | | | | | | Total Residential REITs | | | 1,830,050 | |
| | | | | | | | | | | | |
See Notes to Financial Statements.
74
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| REAL ESTATE — 4.7% — (continued) | |
|
| Retail REITs — 0.6% | |
| | 3,372 | | | | | | | Acadia Realty Trust | | $ | 55,267 | |
| | 3,842 | | | | | | | Agree Realty Corp. | | | 211,118 | |
| | 77 | | | | | | | Alexander’s Inc. | | | 17,021 | |
| | 11,034 | | | | | | | Brixmor Property Group Inc. | | | 249,479 | |
| | 968 | | | | | | | CBL & Associates Properties Inc. | | | 22,322 | |
| | 3,161 | | | | | | | Federal Realty Investment Trust | | | 318,787 | |
| | 1,847 | | | | | | | Getty Realty Corp. | | | 48,687 | |
| | 2,620 | | | | | | | InvenTrust Properties Corp. | | | 66,155 | |
| | 25,319 | | | | | | | Kimco Realty Corp. | | | 500,303 | |
| | 8,282 | | | | | | | Kite Realty Group Trust | | | 177,318 | |
| | 8,122 | | | | | | | Macerich Co. (The) | | | 133,282 | |
| | 2,529 | | | | | | | NETSTREIT Corp. | | | 42,513 | |
| | 7,074 | | | | | | | NNN REIT Inc. | | | 287,841 | |
| | 4,494 | | | | | | | Phillips Edison & Co., Inc. | | | 160,526 | |
| | 7,012 | | | | | | | Regency Centers Corp. | | | 434,393 | |
| | 4,625 | | | | | | | Retail Opportunity Investments Corp. | | | 59,801 | |
| | 421 | | | | | | | Saul Centers Inc. | | | 15,236 | |
| | 7,304 | | | | | | | SITE Centers Corp. | | | 99,188 | |
| | 3,866 | | | | | | | Tanger Inc. | | | 111,379 | |
| | 4,420 | | | | | | | Urban Edge Properties | | | 75,184 | |
| | 1,631 | | | | | | | Whitestone REIT, Class B Shares | | | 20,094 | |
| | | | | | | | | | | | |
| | | | | | | | Total Retail REITs | | | 3,105,894 | |
| | | | | | | | | | | | |
|
| Specialized REITs — 0.4% | |
| | 8,396 | | | | | | | CubeSmart | | | 366,150 | |
| | 2,960 | | | | | | | EPR Properties | | | 121,597 | |
| | 1,538 | | | | | | | Farmland Partners Inc. | | | 18,148 | |
| | 3,521 | | | | | | | Four Corners Property Trust Inc. | | | 85,138 | |
| | 9,937 | | | | | | | Gaming and Leisure Properties Inc. | | | 451,935 | |
| | 1,177 | | | | | | | Gladstone Land Corp. | | | 15,313 | |
| | 3,364 | | | | | | | Lamar Advertising Co., Class A Shares | | | 371,890 | |
| | 3,057 | | | | | | | National Storage Affiliates Trust | | | 109,471 | |
| | 5,507 | | | | | | | Outfront Media Inc. | | | 79,136 | |
| | 3,068 | | | | | | | PotlatchDeltic Corp. | | | 138,704 | |
| | 5,512 | | | | | | | Rayonier Inc. | | | 189,778 | |
| | 5,911 | | | | | | | Safehold Inc. | | | 118,929 | |
| | 974 | | | | | | | SBA Communications Corp., Class A Shares | | | 203,790 | |
| | 8,862 | | | | | | | Uniti Group Inc. | | | 51,931 | |
| | | | | | | | | | | | |
| | | | | | | | Total Specialized REITs | | | 2,321,910 | |
| | | | | | | | | | | | |
| | | | | | | | TOTAL REAL ESTATE | | | 24,235,298 | |
| | | | | | | | | | | | |
|
| UTILITIES — 3.5% | |
|
| Electric Utilities — 0.8% | |
| | 21,501 | | | | | | | ALLETE Inc. | | | 1,217,816 | |
| | 1,013 | | | | | | | Genie Energy Ltd., Class B Shares | | | 18,477 | |
| | 4,421 | | | | | | | Hawaiian Electric Industries Inc. | | | 53,848 | |
| | 3,301 | | | | | | | IDACORP Inc. | | | 290,851 | |
| | 1,299 | | | | | | | MGE Energy Inc. | | | 82,084 | |
| | 8,778 | | | | | | | NRG Energy Inc. | | | 485,599 | |
| | 7,976 | | | | | | | OGE Energy Corp. | | | 262,490 | |
| | 1,510 | | | | | | | Otter Tail Corp. | | | 136,594 | |
| | 4,396 | | | | | | | Pinnacle West Capital Corp. | | | 300,379 | |
| | 3,321 | | | | | | | PNM Resources Inc. | | | 121,250 | |
| | 27,622 | | | | | | | Portland General Electric Co. | | | 1,109,576 | |
| | | | | | | | | | | | |
| | | | | | | | Total Electric Utilities | | | 4,078,964 | |
| | | | | | | | | | | | |
See Notes to Financial Statements.
75
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | | | | Security | | Value | |
|
| UTILITIES — 3.5% — (continued) | |
|
| Gas Utilities — 0.4% | |
| | 3,816 | | | | | | | Atmos Energy Corp. | | $ | 430,864 | |
| | 4,586 | | | | | | | Brookfield Infrastructure Corp., Class A Shares | | | 152,118 | |
| | 846 | | | | | | | Chesapeake Utilities Corp. | | | 86,317 | |
| | 3,460 | | | | | | | National Fuel Gas Co. | | | 168,640 | |
| | 13,576 | | | | | | | New Jersey Resources Corp. | | | 564,897 | |
| | 1,335 | | | | | | | Northwest Natural Holding Co. | | | 49,048 | |
| | 2,063 | | | | | | | ONE Gas Inc. | | | 122,955 | |
| | 281 | | | | | | | RGC Resources Inc. | | | 5,272 | |
| | 2,318 | | | | | | | Southwest Gas Holdings Inc. | | | 157,972 | |
| | 1,982 | | | | | | | Spire Inc. | | | 117,572 | |
| | 8,025 | | | | | | | UGI Corp. | | | 196,452 | |
| | | | | | | | | | | | |
| | | | | | | | Total Gas Utilities | | | 2,052,107 | |
| | | | | | | | | | | | |
|
| Independent Power & Renewable Electricity Producers — 0.7% | |
| | 2,229 | | | | | | | Altus Power Inc., Class A Shares* | | | 15,180 | |
| | 4,984 | | | | | | | Brookfield Renewable Corp., Class A Shares | | | 118,220 | |
| | 1,443 | | | | | | | Clearway Energy Inc., Class A Shares | | | 29,235 | |
| | 2,895 | | | | | | | Clearway Energy Inc., Class C Shares | | | 63,111 | |
| | 2,632 | | | | | | | Montauk Renewables Inc.* | | | 14,950 | |
| | 17,209 | | | | | | | Ormat Technologies Inc. | | | 1,121,166 | |
| | 4,409 | | | | | | | Sunnova Energy International Inc.* | | | 32,098 | |
| | 44,648 | | | | | | | Vistra Corp. | | | 2,435,102 | |
| | | | | | | | | | | | |
| | | | | | | | Total Independent Power & Renewable Electricity Producers | | | 3,829,062 | |
| | | | | | | | | | | | |
|
| | Multi-Utilities — 0.4% | |
| | 20,111 | | | | | | | Avista Corp. | | | 667,685 | |
| | 2,619 | | | | | | | Black Hills Corp. | | | 136,267 | |
| | 15,651 | | | | | | | NiSource Inc. | | | 407,865 | |
| | 16,421 | | | | | | | Northwestern Energy Group Inc. | | | 786,894 | |
| | 581 | | | | | | | Unitil Corp. | | | 29,608 | |
| | | | | | | | | | | | |
| | | | | | | | Total Multi-Utilities | | | 2,028,319 | |
| | | | | | | | | | | | |
|
| | Water Utilities — 1.2% | |
| | 1,345 | | | | | | | American States Water Co. | | | 96,046 | |
| | 8,238 | | | | | | | American Water Works Co., Inc. | | | 976,533 | |
| | 334 | | | | | | | Artesian Resources Corp., Class A Shares | | | 11,513 | |
| | 1,459 | | | | | | | Cadiz Inc.* | | | 4,231 | |
| | 28,255 | | | | | | | California Water Service Group | | | 1,296,622 | |
| | 513 | | | | | | | Consolidated Water Co., Ltd. | | | 15,164 | |
| | 9,370 | | | | | | | Essential Utilities Inc. | | | 325,889 | |
| | 619 | | | | | | | Global Water Resources Inc. | | | 8,010 | |
| | 667 | | | | | | | Middlesex Water Co. | | | 33,944 | |
| | 64,567 | | | | | | | Pennon Group PLC, ADR | | | 1,083,434 | |
| | 734 | | | | | | | Pure Cycle Corp.* | | | 7,318 | |
| | 2,312 | | | | | | | Severn Trent PLC, ADR | | | 74,164 | |
| | 14,193 | | | | | | | SJW Group | | | 781,467 | |
| | 65,314 | | | | | | | United Utilities Group PLC, ADR | | | 1,694,245 | |
| | 586 | | | | | | | York Water Co. (The) | | | 20,744 | |
| | | | | | | | | | | | |
| | | | | | | | Total Water Utilities | | | 6,429,324 | |
| | | | | | | | | | | | |
| | | | | | | | TOTAL UTILITIES | | | 18,417,776 | |
| | | | | | | | | | | | |
| | | | | | | | TOTAL COMMON STOCKS
(Cost — $351,032,305) | | | 499,030,023 | |
| | | | | | | | | | | | |
See Notes to Financial Statements.
76
| | | | | | | | | | | | |
| Small-Mid Cap Equity Fund | |
| | | |
| Shares/Units | | | Rating†† | | | Security | | Value | |
|
| PREFERRED STOCKS — 0.3% | |
|
| FINANCIALS — 0.3% | |
|
| Banks — 0.1% | |
| | 25,655 | | | | | | | US Bancorp, 6.176% (3-Month Term SOFR + 0.862%)(e)(f) | | $ | 549,017 | |
| | | | | | | | | | | | |
|
| | Capital Markets — 0.1% | |
| | 17,972 | | | | | | | Charles Schwab Corp. (The), 5.950%(b)(f) | | | 454,871 | |
| | | | | | | | | | | | |
|
| | Insurance — 0.1% | |
| | 19,207 | | | | | | | MetLife Inc., 4.750%(f) | | | 415,640 | |
| | 11,814 | | | | | | | MetLife Inc., 5.625%(f) | | | 289,679 | |
| | | | | | | | | | | | |
| | | | | | | | Total Insurance | | | 705,319 | |
| | | | | | | | | | | | |
| | | | | | | | TOTAL PREFERRED STOCKS
(Cost — $1,638,581) | | | 1,709,207 | |
| | | | | | | | | | | | |
|
| OPEN END MUTUAL FUND SECURITIES — 0.2% | |
|
| FINANCIALS — 0.2% | |
|
| | Capital Markets — 0.2% | |
| | 2,746 | | | | | | | iShares® Core S&P Small-Capital ETF | | | 294,783 | |
| | 786 | | | | | | | iShares® Russell 2000 ETF, Common Class Shares | | | 160,132 | |
| | 4,889 | | | | | | | iShares® Russell Mid-Capital ETF, Common Class Shares | | | 395,080 | |
| | | | | | | | | | | | |
| | | | | | | | TOTAL OPEN END MUTUAL FUND SECURITIES
(Cost — $440,157) | | | 849,995 | |
| | | | | | | | | | | | |
| | | |
Face
Amount/Units† | | | Rating†† | | | | | | |
|
| | CORPORATE BONDS & NOTES — 0.1% | |
|
| | INFORMATION TECHNOLOGY — 0.1% | |
|
| Communications Equipment — 0.1% | |
| $ | 702,000 | | | | NR | | | Infinera Corp., Senior Unsecured Notes, 2.500% due 3/1/27(c) | | | 679,841 | |
| | | | | | | | | | | | |
|
| | ENERGY — 0.0%@ | |
|
| | Energy Equipment & Services — 0.0%@ | |
| | 20,000 | | | | D | | | ION Geophysical Corp., 8.000% due 12/15/25*(a)(c)(g) | | | — | |
| | | | | | | | | | | | |
| | | | | | | | TOTAL CORPORATE BONDS & NOTES
(Cost — $702,009) | | | 679,841 | |
| | | | | | | | | | | | |
| | | | | | | | TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS
(Cost — $353,813,052) | | | 502,269,066 | |
| | | | | | | | | | | | |
|
| | SHORT-TERM INVESTMENTS (h) — 3.4% | |
|
| | MONEY MARKET FUND — 0.6% | |
| | 3,011,240 | | | | | | | Invesco STIT — Government & Agency Portfolio, Institutional Class, 5.173%(i)
(Cost — $3,011,240) | | | 3,011,240 | |
| | | | | | | | | | | | |
|
| | TIME DEPOSITS — 2.8% | |
| | 21,238 | | | | | | | Barclays Bank PLC — London, 4.680% due 3/1/24 | | | 21,238 | |
| | 28,468 | CAD | | | | | | BBH — New York, 3.830% due 3/1/24 | | | 20,976 | |
| | 31,690 | | | | | | | JPMorgan Chase & Co. — New York, 4.680% due 3/1/24 | | | 31,690 | |
| | 2,062,611 | | | | | | | Royal Bank of Canada — Toronto, 4.680% due 3/1/24 | | | 2,062,611 | |
| | 12,434,608 | | | | | | | Sumitomo Mitsui Banking Corp. — Tokyo, 4.680% due 3/1/24 | | | 12,434,608 | |
| | | | | | | | | | | | |
| | | | | | | | TOTAL TIME DEPOSITS
(Cost — $14,571,123) | | | 14,571,123 | |
| | | | | | | | | | | | |
| | | | | | | | TOTAL SHORT-TERM INVESTMENTS
(Cost — $17,582,363) | | | 17,582,363 | |
| | | | | | | | | | | | |
| | | | | | | | TOTAL INVESTMENTS — 99.8%
(Cost — $371,395,415) | | | 519,851,429 | |
| | | | | | | | | | | | |
| | | | | | | | Other Assets in Excess of Liabilities — 0.2% | | | 813,086 | |
| | | | | | | | | | | | |
| | | | | | | | TOTAL NET ASSETS — 100.0% | | $ | 520,664,515 | |
| | | | | | | | | | | | |
See Notes to Financial Statements.
77
| | | | | | |
| Small-Mid Cap Equity Fund |
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
| †† | All ratings are by Standard & Poor’s Rating Service, unless otherwise noted. |
| * | Non-income producing security. |
| @ | The amount is less than 0.05%. |
| (a) | Security is valued in good faith at fair value by or under the direction of the Board of Trustees. |
| (b) | All or a portion of this security is on loan (See Note 1). |
| (d) | The aggregate value of restricted securities (excluding 144A holdings) at February 29, 2024, amounts to $0 and represents 0.0% of net assets. |
| (e) | Variable rate security. Interest rate disclosed is that which was in effect at February 29, 2024. |
| (f) | Security is perpetual in nature and has no stated maturity date. |
| (g) | Security is currently in default. |
| (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 2.8%. |
| (i) | Represents investments of collateral received from securities lending transactions. |
At February 29, 2024, 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 | | $ | 371,395,415 | | | $ | 180,852,688 | | | $ | (32,296,406) | | | $ | 148,556,282 | |
| | |
Abbreviations used in this schedule: |
| ADR | | — American Depositary Receipt |
| ETF | | — Exchange-Traded Fund |
| PLC | | — Public Limited Company |
| REIT | | — Real Estate Investment Trust |
| SOFR | | — Secured Overnight Financing Rate |
| | | | |
| Summary of Investments by Security Sector^ | | | |
Industrials | | | 21.1 | % |
Information Technology | | | 15.4 | |
Health Care | | | 15.4 | |
Financials | | | 13.2 | |
Consumer Discretionary | | | 9.2 | |
Materials | | | 5.3 | |
Real Estate | | | 4.7 | |
Energy | | | 3.9 | |
Consumer Staples | | | 3.7 | |
Utilities | | | 3.6 | |
Communication Services | | | 1.7 | |
Short-Term Investments | | | 2.8 | |
| | | | |
Total Investments | | | 100.0 | %+ |
| | | | |
| ^ | As a percentage of total investments. |
| + | Does not reflect investments of collateral received from securities lending transactions. |
See Notes to Financial Statements.
78
| | | | | | |
| Small-Mid Cap Equity Fund |
At February 29, 2024, 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 was as follows:
| | | | | | | | | | | | | | | | | | | | |
| Open Futures Contracts | | Number of
Contracts | | | Expiration
Date
(Month/Year) | | | Notional
Amount | | | Market
Value | | | Unrealized
Appreciation | |
| Contracts to Buy: | | | | | | | | | | | | | | | | | | | | |
E-mini Russell 2000 Index Futures | | | 16 | | | | 3/24 | | | $ | 1,588,006 | | | $ | 1,645,840 | | | $ | 57,834 | |
S&P MidCap 400 E-mini Index Futures | | | 3 | | | | 3/24 | | | | 825,346 | | | | 867,780 | | | | 42,434 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | 100,268 | |
| | | | | | | | | | | | | | | | | | | | |
At February 29, 2024, Small-Mid Cap Equity Fund had deposited cash of $144,996 with a broker or brokers as margin collateral on open exchange-traded futures contracts.
| | |
Currency Abbreviation used in this schedule: |
| CAD | | — Canadian Dollar |
See pages 264-265 for definitions of ratings.
See Notes to Financial Statements.
79
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| COMMON STOCKS — 97.4% | |
|
| Australia — 3.6% | |
| | 49,952 | | | AGL Energy Ltd. | | $ | 276,283 | |
| | 37,239 | | | ALS Ltd. | | | 289,756 | |
| | 6,769 | | | Ampol Ltd. | | | 173,573 | |
| | 81,852 | | | ANZ Group Holdings Ltd. | | | 1,515,569 | |
| | 36,161 | | | APA Group | | | 184,729 | |
| | 16,130 | | | Aristocrat Leisure Ltd. | | | 489,599 | |
| | 5,254 | | | ASX Ltd. | | | 224,763 | |
| | 45,484 | | | Aurizon Holdings Ltd. | | | 112,897 | |
| | 303,388 | | | Beach Energy Ltd. | | | 316,433 | |
| | 139,101 | | | BHP Group Ltd. | | | 3,995,226 | |
| | 11,375 | | | BlueScope Steel Ltd. | | | 169,526 | |
| | 38,869 | | | Brambles Ltd. | | | 380,879 | |
| | 9,964 | | | CAR Group Ltd. | | | 238,327 | |
| | 90,996 | | | Champion Iron Ltd. | | | 458,930 | |
| | 40,803 | | | Charter Hall Group, REIT | | | 334,670 | |
| | 14,045 | | | Cochlear Ltd. | | | 3,199,951 | |
| | 36,760 | | | Coles Group Ltd. | | | 404,118 | |
| | 45,984 | | | Commonwealth Bank of Australia | | | 3,482,963 | |
| | 14,003 | | | Computershare Ltd. | | | 236,425 | |
| | 33,675 | | | CSL Ltd. | | | 6,271,012 | |
| | 62,589 | | | CSR Ltd. | | | 359,782 | |
| | 31,087 | | | Dexus, REIT | | | 149,630 | |
| | 3,787 | | | EBOS Group Ltd. | | | 85,219 | |
| | 41,485 | | | Endeavour Group Ltd. | | | 148,433 | |
| | 47,359 | | | Fortescue Ltd. | | | 801,601 | |
| | 46,695 | | | Goodman Group, REIT | | | 909,315 | |
| | 54,632 | | | GPT Group (The), REIT | | | 155,359 | |
| | 7,587 | | | IDP Education Ltd. | | | 94,148 | |
| | 7,190 | | | IGO Ltd. | | | 37,309 | |
| | 65,662 | | | Insurance Australia Group Ltd. | | | 264,740 | |
| | 12,724 | | | JB Hi-Fi Ltd. | | | 509,661 | |
| | 61,643 | | | Lottery Corp., Ltd. (The) | | | 203,821 | |
| | 10,060 | | | Macquarie Group Ltd. | | | 1,277,801 | |
| | 76,916 | | | Medibank Pvt Ltd. | | | 179,564 | |
| | 4,912 | | | Mineral Resources Ltd. | | | 214,597 | |
| | 113,317 | | | Mirvac Group, REIT | | | 161,716 | |
| | 85,239 | | | National Australia Bank Ltd. | | | 1,876,856 | |
| | 30,881 | | | Northern Star Resources Ltd. | | | 260,281 | |
| | 236,494 | | | OceanaGold Corp. | | | 392,080 | |
| | 11,222 | | | Orica Ltd. | | | 124,951 | |
| | 45,801 | | | Origin Energy Ltd. | | | 267,814 | |
| | 75,451 | | | Pilbara Minerals Ltd. | | | 207,104 | |
| | 21,998 | | | Qantas Airways Ltd.* | | | 73,556 | |
| | 40,906 | | | QBE Insurance Group Ltd. | | | 463,528 | |
| | 5,201 | | | Ramsay Health Care Ltd. | | | 185,439 | |
| | 1,492 | | | REA Group Ltd. | | | 188,480 | |
| | 5,940 | | | Reece Ltd. | | | 103,904 | |
| | 46,595 | | | Rio Tinto Ltd. | | | 3,759,304 | |
| | 89,648 | | | Santos Ltd. | | | 412,853 | |
| | 140,123 | | | Scentre Group, REIT | | | 284,783 | |
| | 10,946 | | | SEEK Ltd. | | | 187,000 | |
| | 31,031 | | | Seven Group Holdings Ltd. | | | 777,450 | |
| | 12,034 | | | Sonic Healthcare Ltd. | | | 232,909 | |
| | 121,563 | | | South32 Ltd. | | | 233,909 | |
| | 66,608 | | | Stockland, REIT | | | 195,109 | |
See Notes to Financial Statements.
80
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| Australia — 3.6% — (continued) | |
| | 35,847 | | | Suncorp Group Ltd. | | $ | 357,052 | |
| | 47,457 | | | Super Retail Group Ltd. | | | 503,811 | |
| | 52,876 | | | Technology One Ltd. | | | 583,089 | |
| | 116,249 | | | Telstra Group Ltd. | | | 288,945 | |
| | 84,456 | | | Transurban Group | | | 743,903 | |
| | 22,591 | | | Treasury Wine Estates Ltd. | | | 181,850 | |
| | 173,489 | | | Ventia Services Group Pty Ltd. | | | 427,767 | |
| | 112,830 | | | Vicinity Ltd., REIT | | | 142,570 | |
| | 6,801 | | | Washington H Soul Pattinson & Co., Ltd. | | | 153,038 | |
| | 31,260 | | | Wesfarmers Ltd. | | | 1,356,172 | |
| | 95,650 | | | Westpac Banking Corp. | | | 1,640,311 | |
| | 4,567 | | | WiseTech Global Ltd. | | | 281,133 | |
| | 51,572 | | | Woodside Energy Group Ltd. | | | 1,018,251 | |
| | 33,129 | | | Woolworths Group Ltd. | | | 702,946 | |
| | | | | | | | |
| | | | Total Australia | | | 46,916,473 | |
| | | | | | | | |
|
| Austria — 0.2% | |
| | 65,556 | | | Erste Group Bank AG | | | 2,616,180 | |
| | 4,078 | | | OMV AG | | | 179,675 | |
| | 1,964 | | | Verbund AG | | | 142,031 | |
| | 2,875 | | | Voestalpine AG | | | 78,585 | |
| | | | | | | | |
| | | | Total Austria | | | 3,016,471 | |
| | | | | | | | |
|
| Belgium — 0.8% | |
| | 4,471 | | | Ageas SA/NV | | | 189,499 | |
| | 103,852 | | | Anheuser-Busch InBev SA/NV | | | 6,264,900 | |
| | 575 | | | D’ieteren Group | | | 110,719 | |
| | 933 | | | Elia Group SA/NV | | | 103,595 | |
| | 2,457 | | | Groupe Bruxelles Lambert NV | | | 184,377 | |
| | 6,877 | | | KBC Group NV | | | 483,713 | |
| | 10 | | | Lotus Bakeries NV | | | 94,067 | |
| | 382 | | | Sofina SA | | | 87,051 | |
| | 2,010 | | | Syensqo SA* | | | 179,535 | |
| | 25,309 | | | UCB SA | | | 2,909,973 | |
| | 6,159 | | | Umicore SA | | | 128,536 | |
| | 4,781 | | | Warehouses de Pauw CVA, REIT | | | 127,649 | |
| | | | | | | | |
| | | | Total Belgium | | | 10,863,614 | |
| | | | | | | | |
|
| Bermuda — 0.0%@ | |
| | 8,379 | | | Seadrill Ltd.* | | | 343,499 | |
| | | | | | | | |
|
| Brazil — 0.2% | |
| | 57,011 | | | B3 SA — Brasil Bolsa Balcao | | | 147,146 | |
| | 441,468 | | | Banco Bradesco SA, ADR | | | 1,227,281 | |
| | 93,184 | | | NU Holdings Ltd., Class A Shares* | | | 1,032,479 | |
| | | | | | | | |
| | | | Total Brazil | | | 2,406,906 | |
| | | | | | | | |
|
| Canada — 2.4% | |
| | 51,780 | | | Alamos Gold Inc., Class A Shares | | | 610,837 | |
| | 152,525 | | | Alimentation Couche-Tard Inc. | | | 9,459,551 | |
| | 10,718 | | | ATS Corp.* | | | 403,875 | |
| | 13,483 | | | Boardwalk Real Estate Investment Trust, Class Trust Un Shares | | | 755,342 | |
| | 8,455 | | | Bombardier Inc., Class B Shares* | | | 306,265 | |
| | 33,400 | | | Canadian National Railway Co. | | | 4,330,691 | |
| | 49,462 | | | Canadian Pacific Kansas City Ltd. | | | 4,199,614 | |
| | 40,465 | | | Celestica Inc.* | | | 1,719,796 | |
| | 75,053 | | | Dundee Precious Metals Inc. | | | 507,672 | |
| | 24,854 | | | Element Fleet Management Corp. | | | 414,798 | |
See Notes to Financial Statements.
81
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| Canada — 2.4% — (continued) | |
| | 6,241 | | | EQB Inc. | | $ | 396,308 | |
| | 27,170 | | | Finning International Inc. | | | 712,308 | |
| | 108,628 | | | Headwater Exploration Inc.(a) | | | 546,682 | |
| | 16,490 | | | IMAX Corp.* | | | 282,474 | |
| | 2,702 | | | Kinaxis Inc.* | | | 280,085 | |
| | 2,398 | | | lululemon athletica Inc.* | | | 1,120,082 | |
| | 37,782 | | | Lundin Mining Corp. | | | 298,715 | |
| | 22,104 | | | Nutrien Ltd. | | | 1,153,776 | |
| | 50,089 | | | NuVista Energy Ltd.* | | | 429,603 | |
| | 26,649 | | | Parex Resources Inc. | | | 430,028 | |
| | 12,332 | | | Stella-Jones Inc. | | | 693,314 | |
| | 39,836 | | | Superior Plus Corp. | | | 280,318 | |
| | 20,174 | | | Toronto-Dominion Bank (The) | | | 1,211,347 | |
| | 30,434 | | | TransAlta Corp. | | | 208,776 | |
| | 28,221 | | | Tricon Residential Inc. | | | 313,786 | |
| | 68,109 | | | Whitecap Resources Inc.(a) | | | 472,746 | |
| | | | | | | | |
| | | | Total Canada | | | 31,538,789 | |
| | | | | | | | |
|
| Chile — 0.1% | |
| | 66,683 | | | Antofagasta PLC | | | 1,531,866 | |
| | | | | | | | |
|
| China — 0.4% | |
| | 28,500 | | | BYD Co., Ltd., Class H Shares(b) | | | 701,410 | |
| | 20,100 | | | Contemporary Amperex Technology Co., Ltd., Class A Shares | | | 456,135 | |
| | 100,600 | | | Tencent Holdings Ltd. | | | 3,534,895 | |
| | | | | | | | |
| | | | Total China | | | 4,692,440 | |
| | | | | | | | |
|
| Denmark — 3.2% | |
| | 61 | | | AP Moller — Maersk AS, Class A Shares | | | 82,640 | |
| | 133 | | | AP Moller — Maersk AS, Class B Shares | | | 187,824 | |
| | 2,210 | | | Ascendis Pharma AS, ADR* | | | 326,550 | |
| | 17,854 | | | Bavarian Nordic AS* | | | 406,826 | |
| | 2,597 | | | Carlsberg AS, Class B Shares | | | 361,652 | |
| | 36,306 | | | Coloplast AS, Class B Shares(a) | | | 4,819,861 | |
| | 18,758 | | | Danske Bank AS | | | 550,989 | |
| | 2,729 | | | Demant AS* | | | 136,660 | |
| | 4,799 | | | DSV AS | | | 769,791 | |
| | 1,824 | | | Genmab AS* | | | 506,215 | |
| | 17,516 | | | ISS AS | | | 315,181 | |
| | 7,772 | | | Jyske Bank AS, Class Registered Shares | | | 628,146 | |
| | 216,410 | | | Novo Nordisk AS, Class B Shares | | | 25,877,157 | |
| | 10,315 | | | Novozymes AS, Class B Shares | | | 581,685 | |
| | 5,175 | | | Orsted AS(c) | | | 292,584 | |
| | 6,930 | | | Pandora AS | | | 1,118,756 | |
| | 1,687 | | | Rockwool AS, Class B Shares | | | 541,742 | |
| | 9,946 | | | Tryg AS | | | 211,306 | |
| | 131,504 | | | Vestas Wind Systems AS* | | | 3,668,807 | |
| | | | | | | | |
| | | | Total Denmark | | | 41,384,372 | |
| | | | | | | | |
|
| Finland — 0.7% | |
| | 3,991 | | | Elisa OYJ | | | 179,766 | |
| | 12,481 | | | Fortum OYJ(a) | | | 155,908 | |
| | 6,749 | | | Kesko OYJ, Class B Shares | | | 128,929 | |
| | 82,900 | | | Kone OYJ, Class B Shares | | | 4,058,139 | |
| | 12,776 | | | Konecranes OYJ | | | 657,846 | |
| | 18,599 | | | Metso OYJ | | | 198,668 | |
| | 11,763 | | | Neste OYJ | | | 322,466 | |
See Notes to Financial Statements.
82
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| Finland — 0.7% — (continued) | |
| | 148,093 | | | Nokia OYJ | | $ | 522,434 | |
| | 87,306 | | | Nordea Bank Abp | | | 1,061,071 | |
| | 3,109 | | | Orion OYJ, Class B Shares | | | 122,352 | |
| | 12,319 | | | Sampo OYJ, Class A Shares | | | 550,862 | |
| | 15,939 | | | Stora Enso OYJ, Class R Shares | | | 201,620 | |
| | 12,360 | | | TietoEVRY OYJ | | | 288,137 | |
| | 14,554 | | | UPM-Kymmene OYJ | | | 486,872 | |
| | 13,194 | | | Wartsila OYJ Abp | | | 204,231 | |
| | | | | | | | |
| | | | Total Finland | | | 9,139,301 | |
| | | | | | | | |
|
| France — 11.5% | |
| | 22,110 | | | Accor SA | | | 958,724 | |
| | 896 | | | Aeroports de Paris SA | | | 121,841 | |
| | 60,507 | | | Air Liquide SA | | | 12,295,434 | |
| | 16,293 | | | Airbus SE | | | 2,694,327 | |
| | 487,445 | | | Alstom SA(a) | | | 6,509,449 | |
| | 1,540 | | | Amundi SA(c) | | | 101,380 | |
| | 10,020 | | | Arkema SA | | | 1,038,720 | |
| | 180,469 | | | AXA SA | | | 6,417,243 | |
| | 1,024 | | | BioMerieux | | | 111,946 | |
| | 95,286 | | | BNP Paribas SA | | | 5,709,954 | |
| | 21,877 | | | Bollore SE | | | 149,996 | |
| | 5,089 | | | Bouygues SA | | | 201,193 | |
| | 8,086 | | | Bureau Veritas SA | | | 235,028 | |
| | 4,248 | | | Capgemini SE | | | 1,032,233 | |
| | 267,928 | | | Carrefour SA | | | 4,499,751 | |
| | 12,441 | | | Cie de Saint-Gobain SA | | | 958,495 | |
| | 18,530 | | | Cie Generale des Etablissements Michelin SCA | | | 686,904 | |
| | 1,360 | | | Covivio SA, REIT | | | 61,109 | |
| | 29,699 | | | Credit Agricole SA | | | 402,102 | |
| | 95,049 | | | Danone SA | | | 6,063,330 | |
| | 631 | | | Dassault Aviation SA | | | 124,731 | |
| | 105,857 | | | Dassault Systemes SE | | | 4,946,538 | |
| | 6,895 | | | Edenred SE | | | 341,435 | |
| | 9,050 | | | Eiffage SA | | | 985,124 | |
| | 30,757 | | | Elis SA | | | 702,057 | |
| | 49,979 | | | Engie SA | | | 801,553 | |
| | 23,025 | | | EssilorLuxottica SA | | | 4,894,338 | |
| | 1,091 | | | Eurazeo SE | | | 92,164 | |
| | 1,136 | | | Gecina SA, REIT | | | 109,731 | |
| | 10,103 | | | Getlink SE | | | 172,495 | |
| | 2,223 | | | Hermes International SCA | | | 5,578,807 | |
| | 4,651 | | | Ipsen SA | | | 511,035 | |
| | 16,612 | | | Kering SA | | | 7,656,118 | |
| | 33,396 | | | Klepierre SA, REIT | | | 848,093 | |
| | 11,589 | | | La Francaise des Jeux SAEM(c) | | | 485,213 | |
| | 21,717 | | | Legrand SA | | | 2,201,610 | |
| | 17,419 | | | L’Oréal SA | | | 8,337,341 | |
| | 14,461 | | | LVMH Moët Hennessy Louis Vuitton SE | | | 13,244,381 | |
| | 50,487 | | | Orange SA | | | 578,793 | |
| | 5,582 | | | Pernod Ricard SA | | | 938,164 | |
| | 6,210 | | | Publicis Groupe SA | | | 656,637 | |
| | 577 | | | Remy Cointreau SA | | | 61,186 | |
| | 18,119 | | | Renault SA | | | 755,504 | |
| | 21,438 | | | Rexel SA | | | 549,576 | |
| | 9,344 | | | Safran SA | | | 1,957,570 | |
See Notes to Financial Statements.
83
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| France — 11.5% — (continued) | |
| | 107,777 | | | Sanofi SA | | $ | 10,239,886 | |
| | 764 | | | Sartorius Stedim Biotech | | | 210,246 | |
| | 34,675 | | | Schneider Electric SE | | | 7,870,915 | |
| | 711 | | | SEB SA | | | 84,128 | |
| | 20,230 | | | Societe Generale SA | | | 490,344 | |
| | 2,361 | | | Sodexo SA | | | 188,064 | |
| | 3,666 | | | Sopra Steria Group | | | 939,444 | |
| | 20,499 | | | SPIE SA | | | 682,495 | |
| | 18,770 | | | STMicroelectronics NV | | | 853,326 | |
| | 21,199 | | | Technip Energies NV | | | 460,840 | |
| | 1,620 | | | Teleperformance SE | | | 200,968 | |
| | 2,721 | | | Thales SA | | | 403,118 | |
| | 163,375 | | | TotalEnergies SE | | | 10,453,438 | |
| | 3,290 | | | Unibail — Rodamco-Westfield, REIT* | | | 240,606 | |
| | 96,228 | | | Valeo SE | | | 1,115,616 | |
| | 36,245 | | | Vallourec SACA* | | | 550,280 | |
| | 19,267 | | | Veolia Environnement SA | | | 598,378 | |
| | 8,856 | | | Verallia SA(c) | | | 327,622 | |
| | 36,699 | | | Vinci SA | | | 4,698,312 | |
| | 973 | | | Virbac SACA | | | 349,359 | |
| | 17,714 | | | Vivendi SE | | | 197,759 | |
| | 5,911 | | | Worldline SA*(c) | | | 67,982 | |
| | | | | | | | |
| | | | Total France | | | 149,002,479 | |
| | | | | | | | |
|
| Germany — 8.2% | |
| | 24,025 | | | adidas AG | | | 4,861,398 | |
| | 21,072 | | | AIXTRON SE | | | 585,241 | |
| | 38,651 | | | Allianz SE, Class Registered Shares | | | 10,605,051 | |
| | 5,108 | | | Aurubis AG | | | 323,333 | |
| | 24,392 | | | BASF SE | | | 1,241,472 | |
| | 76,442 | | | Bayer AG, Class Registered Shares | | | 2,322,260 | |
| | 25,560 | | | Bayerische Motoren Werke AG | | | 3,018,660 | |
| | 14,278 | | | Bechtle AG | | | 735,730 | |
| | 9,491 | | | Beiersdorf AG | | | 1,359,999 | |
| | 3,826 | | | Brenntag SE | | | 348,861 | |
| | 1,192 | | | Carl Zeiss Meditec AG | | | 146,603 | |
| | 29,968 | | | Commerzbank AG | | | 346,543 | |
| | 3,003 | | | Continental AG | | | 240,595 | |
| | 5,146 | | | Covestro AG*(c) | | | 280,257 | |
| | 8,271 | | | CTS Eventim AG & Co. KGaA | | | 650,094 | |
| | 14,649 | | | Daimler Truck Holding AG | | | 598,315 | |
| | 4,285 | | | Delivery Hero SE, Class A Shares*(c) | | | 98,884 | |
| | 53,229 | | | Deutsche Bank AG, Class Registered Shares | | | 710,920 | |
| | 5,215 | | | Deutsche Boerse AG | | | 1,091,221 | |
| | 17,402 | | | Deutsche Lufthansa AG, Class Registered Shares* | | | 135,166 | |
| | 27,112 | | | Deutsche Post AG | | | 1,257,648 | |
| | 370,658 | | | Deutsche Telekom AG, Class Registered Shares | | | 8,810,211 | |
| | 61,484 | | | E.ON SE | | | 784,968 | |
| | 21,591 | | | Encavis AG* | | | 257,887 | |
| | 6,230 | | | Evonik Industries AG | | | 114,824 | |
| | 20,010 | | | Freenet AG | | | 539,340 | |
| | 5,467 | | | Fresenius Medical Care AG | | | 209,060 | |
| | 11,979 | | | Fresenius SE & Co. KGaA | | | 335,512 | |
| | 17,405 | | | GEA Group AG | | | 701,558 | |
| | 4,955 | | | Gerresheimer AG | | | 580,773 | |
| | 1,659 | | | Hannover Rueck SE | | | 425,630 | |
See Notes to Financial Statements.
84
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| Germany — 8.2% — (continued) | |
| | 3,563 | | | Heidelberg Materials AG | | $ | 345,530 | |
| | 2,859 | | | Henkel AG & Co. KGaA | | | 192,882 | |
| | 7,155 | | | HUGO BOSS AG | | | 486,200 | |
| | 191,104 | | | Infineon Technologies AG | | | 6,840,870 | |
| | 7,618 | | | KION Group AG | | | 383,917 | |
| | 2,142 | | | Knorr-Bremse AG | | | 149,844 | |
| | 121,503 | | | Lanxess AG | | | 3,070,739 | |
| | 2,092 | | | LEG Immobilien SE* | | | 153,918 | |
| | 21,915 | | | Mercedes-Benz Group AG | | | 1,745,560 | |
| | 29,561 | | | Merck KGaA | | | 5,043,531 | |
| | 1,516 | | | MTU Aero Engines AG | | | 364,315 | |
| | 3,718 | | | Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen, Class Registered Shares | | | 1,730,032 | |
| | 1,668 | | | Nemetschek SE | | | 159,019 | |
| | 2,613 | | | Puma SE | | | 120,010 | |
| | 131 | | | Rational AG | | | 107,638 | |
| | 2,315 | | | Rheinmetall AG | | | 1,061,395 | |
| | 121,670 | | | RWE AG | | | 4,077,890 | |
| | 130,531 | | | SAP SE | | | 24,391,620 | |
| | 9,227 | | | Scout24 SE(c) | | | 670,084 | |
| | 39,842 | | | Siemens AG, Class Registered Shares | | | 7,879,954 | |
| | 14,272 | | | Siemens Energy AG* | | | 219,177 | |
| | 7,797 | | | Siemens Healthineers AG*(c) | | | 467,961 | |
| | 3,949 | | | SMA Solar Technology AG* | | | 235,052 | |
| | 3,677 | | | Symrise AG, Class A Shares | | | 375,853 | |
| | 52,203 | | | TAG Immobilien AG* | | | 637,156 | |
| | 1,873 | | | Talanx AG | | | 133,615 | |
| | 19,685 | | | TeamViewer SE*(c) | | | 310,506 | |
| | 860 | | | Volkswagen AG | | | 135,037 | |
| | 20,104 | | | Vonovia SE | | | 560,947 | |
| | 6,630 | | | Zalando SE*(c) | | | 140,480 | |
| | | | | | | | |
| | | | Total Germany | | | 105,908,746 | |
| | | | | | | | |
|
| Hong Kong — 3.0% | |
| | 1,047,400 | | | AIA Group Ltd. | | | 8,475,892 | |
| | 739,500 | | | BOC Hong Kong Holdings Ltd. | | | 1,957,212 | |
| | 52,500 | | | CK Asset Holdings Ltd. | | | 243,466 | |
| | 74,000 | | | CK Hutchison Holdings Ltd. | | | 377,677 | |
| | 19,500 | | | CK Infrastructure Holdings Ltd. | | | 115,035 | |
| | 377,000 | | | CLP Holdings Ltd. | | | 3,149,937 | |
| | 61,200 | | | ESR Group Ltd.(c) | | | 81,961 | |
| | 1,458 | | | Futu Holdings Ltd., ADR* | | | 78,032 | |
| | 61,000 | | | Galaxy Entertainment Group Ltd. | | | 332,636 | |
| | 1,274,000 | | | Hang Lung Properties Ltd. | | | 1,379,295 | |
| | 22,800 | | | Hang Seng Bank Ltd. | | | 261,033 | |
| | 44,894 | | | Henderson Land Development Co., Ltd. | | | 129,909 | |
| | 113,000 | | | HKT Trust & HKT Ltd., Class Miscella Shares | | | 137,966 | |
| | 330,380 | | | Hong Kong & China Gas Co., Ltd. | | | 255,950 | |
| | 28,799 | | | Hong Kong Exchanges & Clearing Ltd. | | | 889,837 | |
| | 32,700 | | | Hongkong Land Holdings Ltd. | | | 110,732 | |
| | 60,900 | | | Jardine Matheson Holdings Ltd. | | | 2,556,413 | |
| | 134,000 | | | Kerry Properties Ltd. | | | 221,535 | |
| | 421,780 | | | Link REIT | | | 2,113,486 | |
| | 43,500 | | | MTR Corp., Ltd. | | | 144,664 | |
| | 38,000 | | | Power Assets Holdings Ltd. | | | 228,874 | |
| | 1,231,261 | | | Prudential PLC | | | 12,168,223 | |
| | 110,646 | | | Sino Land Co., Ltd. | | | 119,554 | |
See Notes to Financial Statements.
85
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| Hong Kong — 3.0% — (continued) | |
| | 33,000 | | | SITC International Holdings Co., Ltd. | | $ | 54,164 | |
| | 40,500 | | | Sun Hung Kai Properties Ltd. | | | 410,871 | |
| | 10,000 | | | Swire Pacific Ltd., Class A Shares | | | 83,007 | |
| | 40,400 | | | Swire Properties Ltd. | | | 83,748 | |
| | 114,500 | | | Techtronic Industries Co., Ltd. | | | 1,235,269 | |
| | 430,000 | | | United Laboratories International Holdings Ltd. (The) | | | 466,777 | |
| | 242,000 | | | WH Group Ltd.(c) | | | 145,995 | |
| | 27,000 | | | Wharf Holdings Ltd. (The) | | | 99,644 | |
| | 46,000 | | | Wharf Real Estate Investment Co., Ltd. | | | 154,512 | |
| | | | | | | | |
| | | | Total Hong Kong | | | 38,263,306 | |
| | | | | | | | |
|
| Indonesia — 0.1% | |
| | 2,065,500 | | | Bank Central Asia Tbk PT | | | 1,294,971 | |
| | | | | | | | |
|
| Ireland — 1.3% | |
| | 5,370 | | | AerCap Holdings NV* | | | 414,457 | |
| | 42,451 | | | AIB Group PLC | | | 196,756 | |
| | 107,911 | | | Bank of Ireland Group PLC | | | 940,125 | |
| | 19,321 | | | CRH PLC | | | 1,604,909 | |
| | 88,650 | | | Dalata Hotel Group PLC | | | 431,989 | |
| | 7,234 | | | DCC PLC | | | 513,310 | |
| | 146,655 | | | Experian PLC | | | 6,280,621 | |
| | 4,818 | | | Flutter Entertainment PLC* | | | 1,043,169 | |
| | 36,555 | | | Glanbia PLC | | | 661,623 | |
| | 11,651 | | | James Hardie Industries PLC, CDI* | | | 461,184 | |
| | 4,191 | | | Kerry Group PLC, Class A Shares | | | 367,607 | |
| | 4,094 | | | Kingspan Group PLC | | | 369,728 | |
| | 23,497 | | | Ryanair Holdings PLC, ADR* | | | 3,248,460 | |
| | 7,035 | | | Smurfit Kappa Group PLC | | | 300,246 | |
| | | | | | | | |
| | | | Total Ireland | | | 16,834,184 | |
| | | | | | | | |
|
| Isle of Man — 0.0%@ | |
| | 51,065 | | | Playtech PLC* | | | 286,670 | |
| | | | | | | | |
|
| Israel — 0.3% | |
| | 1,382 | | | Azrieli Group Ltd. | | | 100,083 | |
| | 34,660 | | | Bank Hapoalim BM | | | 331,677 | |
| | 41,584 | | | Bank Leumi Le-Israel BM | | | 348,367 | |
| | 2,517 | | | Check Point Software Technologies Ltd.* | | | 403,777 | |
| | 1,132 | | | CyberArk Software Ltd.* | | | 298,576 | |
| | 752 | | | Elbit Systems Ltd. | | | 167,209 | |
| | 2,737 | | | Global E-Online Ltd.* | | | 92,702 | |
| | 18,545 | | | ICL Group Ltd. | | | 98,205 | |
| | 1 | | | Isracard Ltd. | | | 3 | |
| | 30,567 | | | Israel Discount Bank Ltd., Class A Shares | | | 159,265 | |
| | 4,923 | | | Mizrahi Tefahot Bank Ltd. | | | 194,714 | |
| | 803 | | | Monday.com Ltd.* | | | 179,077 | |
| | 1,687 | | | Nice Ltd.* | | | 413,714 | |
| | 18,782 | | | Perion Network Ltd.*(a) | | | 431,047 | |
| | 31,415 | | | Teva Pharmaceutical Industries Ltd., ADR* | | | 413,107 | |
| | 1,538 | | | Wix.com Ltd.* | | | 215,597 | |
| | | | | | | | |
| | | | Total Israel | | | 3,847,120 | |
| | | | | | | | |
|
| Italy — 2.8% | |
| | 3,718 | | | Amplifon SpA | | | 123,923 | |
| | 27,317 | | | Assicurazioni Generali SpA | | | 647,627 | |
| | 15,513 | | | Azimut Holding SpA | | | 446,117 | |
| | 164,523 | | | Banco BPM SpA | | | 959,284 | |
See Notes to Financial Statements.
86
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| Italy — 2.8% — (continued) | |
| | 3,630 | | | Brunello Cucinelli SpA | | $ | 436,530 | |
| | 20,910 | | | Buzzi SpA | | | 707,133 | |
| | 16,792 | | | Davide Campari-Milano NV | | | 170,522 | |
| | 680 | | | DiaSorin SpA | | | 68,535 | |
| | 1,231,671 | | | Enel SpA | | | 7,839,159 | |
| | 61,056 | | | Eni SpA | | | 940,106 | |
| | 9,743 | | | ERG SpA | | | 265,643 | |
| | 11,438 | | | Ferrari NV | | | 4,826,602 | |
| | 169,495 | | | FinecoBank Banca Fineco SpA | | | 2,345,001 | |
| | 10,003 | | | Infrastrutture Wireless Italiane SpA(c) | | | 110,696 | |
| | 408,881 | | | Intesa Sanpaolo SpA | | | 1,302,483 | |
| | 171,289 | | | Iren SpA | | | 337,963 | |
| | 32,080 | | | Leonardo SpA | | | 685,608 | |
| | 15,200 | | | Mediobanca Banca di Credito Finanziario SpA | | | 207,133 | |
| | 5,773 | | | Moncler SpA | | | 416,104 | |
| | 14,585 | | | Nexi SpA*(c) | | | 106,954 | |
| | 14,934 | | | Poste Italiane SpA(c) | | | 175,400 | |
| | 7,256 | | | Prysmian SpA | | | 361,798 | |
| | 52,297 | | | Recordati Industria Chimica e Farmaceutica SpA | | | 2,928,787 | |
| | 221,944 | | | Saras SpA | | | 418,701 | |
| | 53,554 | | | Snam SpA | | | 250,661 | |
| | 250,258 | | | Telecom Italia SpA* | | | 75,262 | |
| | 37,248 | | | Terna — Rete Elettrica Nazionale | | | 291,861 | |
| | 245,020 | | | UniCredit SpA | | | 8,193,641 | |
| | | | | | | | |
| | | | Total Italy | | | 35,639,234 | |
| | | | | | | | |
|
| Japan — 18.6% | |
| | 15,900 | | | Adastria Co., Ltd. | | | 362,246 | |
| | 20,900 | | | Advantest Corp. | | | 981,388 | |
| | 18,100 | | | Aeon Co., Ltd. | | | 431,766 | |
| | 5,800 | | | AGC Inc. | | | 207,372 | |
| | 3,600 | | | Aisin Corp. | | | 135,880 | |
| | 12,900 | | | Ajinomoto Co., Inc. | | | 472,832 | |
| | 36,100 | | | Amada Co., Ltd. | | | 401,601 | |
| | 5,000 | | | ANA Holdings Inc.* | | | 108,950 | |
| | 13,200 | | | Asahi Group Holdings Ltd. | | | 452,604 | |
| | 5,400 | | | Asahi Intecc Co., Ltd. | | | 112,314 | |
| | 34,000 | | | Asahi Kasei Corp. | | | 236,699 | |
| | 12,300 | | | Asics Corp. | | | 524,010 | |
| | 51,800 | | | Astellas Pharma Inc. | | | 571,764 | |
| | 2,800 | | | Azbil Corp. | | | 82,232 | |
| | 17,000 | | | Bandai Namco Holdings Inc. | | | 335,568 | |
| | 13,600 | | | BIPROGY Inc. | | | 421,126 | |
| | 57,200 | | | Bridgestone Corp. | | | 2,464,183 | |
| | 6,100 | | | Brother Industries Ltd. | | | 102,270 | |
| | 28,200 | | | Canon Inc. | | | 823,538 | |
| | 4,400 | | | Capcom Co., Ltd. | | | 177,290 | |
| | 21,100 | | | Central Japan Railway Co. | | | 530,914 | |
| | 13,100 | | | Chiba Bank Ltd. (The) | | | 106,565 | |
| | 19,300 | | | Chubu Electric Power Co., Inc. | | | 240,446 | |
| | 18,300 | | | Chugai Pharmaceutical Co., Ltd. | | | 733,673 | |
| | 61,100 | | | Citizen Watch Co., Ltd. | | | 425,501 | |
| | 26,900 | | | Concordia Financial Group Ltd. | | | 136,213 | |
| | 31,100 | | | Credit Saison Co., Ltd. | | | 603,980 | |
| | 5,400 | | | Dai Nippon Printing Co., Ltd. | | | 157,653 | |
| | 63,300 | | | Daicel Corp. | | | 599,181 | |
See Notes to Financial Statements.
87
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| Japan — 18.6% — (continued) | |
| | 78,500 | | | Daido Steel Co., Ltd. | | $ | 926,487 | |
| | 7,600 | | | Daifuku Co., Ltd. | | | 179,269 | |
| | 11,300 | | | Daihen Corp. | | | 595,154 | |
| | 24,900 | | | Dai-ichi Life Holdings Inc. | | | 566,970 | |
| | 50,400 | | | Daiichi Sankyo Co., Ltd. | | | 1,673,686 | |
| | 41,600 | | | Daikin Industries Ltd. | | | 5,846,848 | |
| | 1,700 | | | Daito Trust Construction Co., Ltd. | | | 201,688 | |
| | 16,300 | | | Daiwa House Industry Co., Ltd. | | | 471,747 | |
| | 36,100 | | | Daiwa Securities Group Inc. | | | 266,090 | |
| | 52,800 | | | Denso Corp. | | | 961,898 | |
| | 5,800 | | | Dentsu Group Inc. | | | 160,472 | |
| | 2,600 | | | Disco Corp. | | | 846,104 | |
| | 16,900 | | | DMG Mori Co., Ltd.(a) | | | 390,936 | |
| | 8,300 | | | East Japan Railway Co. | | | 491,048 | |
| | 9,300 | | | Ebara Corp. | | | 785,020 | |
| | 6,500 | | | Eisai Co., Ltd. | | | 270,533 | |
| | 81,550 | | | ENEOS Holdings Inc. | | | 352,056 | |
| | 355,400 | | | FANUC Corp. | | | 10,390,448 | |
| | 4,800 | | | Fast Retailing Co., Ltd. | | | 1,395,147 | |
| | 3,200 | | | Fuji Electric Co., Ltd. | | | 194,772 | |
| | 13,400 | | | Fuji Soft Inc. | | | 571,127 | |
| | 45,100 | | | FUJIFILM Holdings Corp. | | | 2,857,157 | |
| | 41,700 | | | Fujikura Ltd. | | | 509,546 | |
| | 4,900 | | | Fujitsu Ltd. | | | 764,361 | |
| | 4,600 | | | Fuyo General Lease Co., Ltd. | | | 419,576 | |
| | 138 | | | GLP J-REIT | | | 109,446 | |
| | 800 | | | Goldwin Inc. | | | 46,384 | |
| | 3,400 | | | Hamamatsu Photonics KK | | | 122,099 | |
| | 5,700 | | | Hankyu Hanshin Holdings Inc. | | | 164,268 | |
| | 600 | | | Hikari Tsushin Inc. | | | 108,565 | |
| | 1,145 | | | Hirose Electric Co., Ltd. | | | 121,719 | |
| | 2,500 | | | Hitachi Construction Machinery Co., Ltd. | | | 72,296 | |
| | 57,700 | | | Hitachi Ltd. | | | 4,861,975 | |
| | 49,700 | | | Hitachi Zosen Corp. | | | 408,384 | |
| | 125,900 | | | Honda Motor Co., Ltd. | | | 1,495,139 | |
| | 5,500 | | | Horiba Ltd. | | | 537,632 | |
| | 2,600 | | | Hoshizaki Corp. | | | 88,772 | |
| | 46,000 | | | Hoya Corp. | | | 6,000,431 | |
| | 9,300 | | | Hulic Co., Ltd. | | | 92,763 | |
| | 2,800 | | | Ibiden Co., Ltd. | | | 129,431 | |
| | 24,685 | | | Idemitsu Kosan Co., Ltd. | | | 156,439 | |
| | 3,900 | | | Iida Group Holdings Co., Ltd. | | | 50,351 | |
| | 50,800 | | | INFRONEER Holdings Inc. | | | 520,707 | |
| | 25,400 | | | Inpex Corp. | | | 340,161 | |
| | 25,000 | | | Internet Initiative Japan Inc. | | | 463,951 | |
| | 885 | | | Invincible Investment Corp., REIT | | | 363,448 | |
| | 16,000 | | | Isuzu Motors Ltd. | | | 227,995 | |
| | 33,000 | | | ITOCHU Corp. | | | 1,438,175 | |
| | 45,000 | | | J Front Retailing Co., Ltd.(a) | | | 447,565 | |
| | 3,700 | | | Japan Airlines Co., Ltd. | | | 69,066 | |
| | 94,600 | | | Japan Exchange Group Inc. | | | 2,474,662 | |
| | 173 | | | Japan Metropolitan Fund Invest, REIT | | | 102,060 | |
| | 38,400 | | | Japan Post Bank Co., Ltd. | | | 409,275 | |
| | 56,900 | | | Japan Post Holdings Co., Ltd. | | | 549,271 | |
| | 4,900 | | | Japan Post Insurance Co., Ltd. | | | 90,262 | |
| | 32 | | | Japan Real Estate Investment Corp., REIT | | | 115,419 | |
See Notes to Financial Statements.
88
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| Japan — 18.6% — (continued) | |
| | 32,700 | | | Japan Tobacco Inc. | | $ | 849,829 | |
| | 12,700 | | | Jeol Ltd. | | | 563,884 | |
| | 15,100 | | | JFE Holdings Inc. | | | 247,643 | |
| | 23,500 | | | JGC Holdings Corp. | | | 213,928 | |
| | 4,400 | | | JSR Corp. | | | 118,142 | |
| | 11,700 | | | Kajima Corp. | | | 217,151 | |
| | 11,700 | | | Kaneka Corp. | | | 281,320 | |
| | 18,700 | | | Kansai Electric Power Co., Inc. (The) | | | 239,544 | |
| | 12,600 | | | Kao Corp. | | | 479,239 | |
| | 3,900 | | | Kawasaki Kisen Kaisha Ltd. | | | 187,737 | |
| | 135,100 | | | KDDI Corp. | | | 4,108,907 | |
| | 349 | | | KDX Realty Investment Corp., REIT, Class A Shares | | | 349,772 | |
| | 3,700 | | | Keisei Electric Railway Co., Ltd. | | | 172,848 | |
| | 19,300 | | | Keyence Corp. | | | 9,056,931 | |
| | 3,800 | | | Kikkoman Corp. | | | 248,870 | |
| | 4,500 | | | Kintetsu Group Holdings Co., Ltd. | | | 138,253 | |
| | 22,200 | | | Kirin Holdings Co., Ltd. | | | 308,818 | |
| | 3,700 | | | Kobe Bussan Co., Ltd. | | | 99,556 | |
| | 5,300 | | | Koito Manufacturing Co., Ltd. | | | 67,314 | |
| | 26,100 | | | Komatsu Ltd. | | | 757,162 | |
| | 2,600 | | | Konami Group Corp. | | | 175,155 | |
| | 137,300 | | | Kubota Corp. | | | 2,013,668 | |
| | 34,800 | | | Kyocera Corp. | | | 514,434 | |
| | 6,700 | | | Kyowa Kirin Co., Ltd. | | | 133,002 | |
| | 2,000 | | | Lasertec Corp. | | | 535,063 | |
| | 72,900 | | | LY Corp. | | | 200,147 | |
| | 10,800 | | | M3 Inc. | | | 155,181 | |
| | 43,800 | | | Makita Corp. | | | 1,144,380 | |
| | 40,300 | | | Marubeni Corp. | | | 666,137 | |
| | 9,500 | | | MatsukiyoCocokara & Co. | | | 157,212 | |
| | 14,000 | | | Mazda Motor Corp. | | | 162,021 | |
| | 2,200 | | | McDonald’s Holdings Co. Japan Ltd. | | | 102,352 | |
| | 166,500 | | | Mebuki Financial Group Inc. | | | 520,118 | |
| | 6,200 | | | MEIJI Holdings Co., Ltd. | | | 139,658 | |
| | 10,100 | | | MINEBEA MITSUMI Inc. | | | 209,134 | |
| | 119,800 | | | MISUMI Group Inc. | | | 1,835,541 | |
| | 35,300 | | | Mitsubishi Chemical Group Corp. | | | 202,449 | |
| | 93,900 | | | Mitsubishi Corp. | | | 2,011,583 | |
| | 54,200 | | | Mitsubishi Electric Corp. | | | 857,311 | |
| | 30,900 | | | Mitsubishi Estate Co., Ltd. | | | 475,086 | |
| | 18,600 | | | Mitsubishi Gas Chemical Co., Inc. | | | 303,844 | |
| | 25,000 | | | Mitsubishi HC Capital Inc. | | | 172,046 | |
| | 30,400 | | | Mitsubishi Heavy Industries Ltd. | | | 2,404,944 | |
| | 305,000 | | | Mitsubishi UFJ Financial Group Inc. | | | 3,133,244 | |
| | 35,900 | | | Mitsui & Co., Ltd. | | | 1,573,118 | |
| | 4,200 | | | Mitsui Chemicals Inc. | | | 116,413 | |
| | 24,200 | | | Mitsui Fudosan Co., Ltd. | | | 657,260 | |
| | 10,000 | | | Mitsui OSK Lines Ltd. | | | 342,468 | |
| | 65,790 | | | Mizuho Financial Group Inc. | | | 1,226,822 | |
| | 6,400 | | | MonotaRO Co., Ltd. | | | 61,284 | |
| | 17,200 | | | Morinaga Milk Industry Co., Ltd. | | | 356,640 | |
| | 55,100 | | | MS&AD Insurance Group Holdings Inc. | | | 2,730,142 | |
| | 544,500 | | | Murata Manufacturing Co., Ltd. | | | 11,068,351 | |
| | 23,100 | | | Nakanishi Inc. | | | 368,838 | |
| | 15,500 | | | Nankai Electric Railway Co., Ltd. | | | 302,603 | |
| | 6,900 | | | NEC Corp. | | | 465,343 | |
See Notes to Financial Statements.
89
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| Japan — 18.6% — (continued) | |
| | 9,500 | | | Nexon Co., Ltd. | | $ | 156,582 | |
| | 36,400 | | | Nichicon Corp. | | | 297,926 | |
| | 12,000 | | | Nidec Corp. | | | 455,604 | |
| | 47,200 | | | Nintendo Co., Ltd. | | | 2,641,673 | |
| | 68 | | | Nippon Accommodations Fund Inc., REIT, Class A Shares(a). | | | 257,752 | |
| | 38 | | | Nippon Building Fund Inc., REIT | | | 146,320 | |
| | 13,800 | | | Nippon Electric Glass Co., Ltd. | | | 333,157 | |
| | 1,800 | | | Nippon Express Holdings Inc. | | | 95,079 | |
| | 26,200 | | | Nippon Paint Holdings Co., Ltd. | | | 195,299 | |
| | 66 | | | Nippon Prologis REIT Inc. | | | 110,467 | |
| | 4,300 | | | Nippon Sanso Holdings Corp. | | | 124,772 | |
| | 24,300 | | | Nippon Steel Corp. | | | 603,600 | |
| | 815,200 | | | Nippon Telegraph & Telephone Corp. | | | 992,656 | |
| | 12,500 | | | Nippon Yusen KK | | | 398,402 | |
| | 3,100 | | | Nissan Chemical Corp. | | | 129,650 | |
| | 63,800 | | | Nissan Motor Co., Ltd. | | | 250,998 | |
| | 6,200 | | | Nissin Foods Holdings Co., Ltd. | | | 181,015 | |
| | 95,900 | | | Nissui Corp. | | | 609,361 | |
| | 16,500 | | | Nitori Holdings Co., Ltd. | | | 2,422,705 | |
| | 9,500 | | | Nitto Boseki Co., Ltd. | | | 352,935 | |
| | 4,000 | | | Nitto Denko Corp. | | | 366,178 | |
| | 84,500 | | | Nomura Holdings Inc. | | | 479,897 | |
| | 3,000 | | | Nomura Real Estate Holdings Inc. | | | 74,650 | |
| | 105 | | | Nomura Real Estate Master Fund Inc., REIT. | | | 104,287 | |
| | 10,280 | | | Nomura Research Institute Ltd. | | | 288,919 | |
| | 18,500 | | | NTT Data Group Corp. | | | 301,168 | |
| | 18,300 | | | Obayashi Corp. | | | 177,458 | |
| | 19,700 | | | Obic Co., Ltd. | | | 3,081,251 | |
| | 8,700 | | | Odakyu Electric Railway Co., Ltd. | | | 122,321 | |
| | 33,100 | | | Olympus Corp. | | | 471,030 | |
| | 4,800 | | | Omron Corp. | | | 179,697 | |
| | 9,200 | | | Ono Pharmaceutical Co., Ltd. | | | 152,339 | |
| | 1,100 | | | Oracle Corp. Japan | | | 84,303 | |
| | 30,500 | | | Oriental Land Co., Ltd. | | | 1,092,927 | |
| | 31,900 | | | ORIX Corp. | | | 670,425 | |
| | 10,400 | | | Osaka Gas Co., Ltd. | | | 207,454 | |
| | 2,800 | | | Otsuka Corp. | | | 123,083 | |
| | 11,400 | | | Otsuka Holdings Co., Ltd. | | | 462,450 | |
| | 10,500 | | | Pan Pacific International Holdings Corp. | | | 246,107 | |
| | 60,800 | | | Panasonic Holdings Corp. | | | 573,098 | |
| | 38,600 | | | Park24 Co., Ltd.* | | | 458,418 | |
| | 37,300 | | | Rakuten Group Inc. | | | 205,112 | |
| | 85,900 | | | Recruit Holdings Co., Ltd. | | | 3,479,939 | |
| | 40,900 | | | Renesas Electronics Corp. | | | 672,847 | |
| | 80,700 | | | Rengo Co., Ltd. | | | 538,523 | |
| | 56,400 | | | Resona Holdings Inc. | | | 307,202 | |
| | 19,400 | | | Resorttrust Inc. | | | 333,920 | |
| | 13,400 | | | Ricoh Co., Ltd. | | | 111,225 | |
| | 8,800 | | | Rohm Co., Ltd. | | | 150,249 | |
| | 93,100 | | | Round One Corp. | | | 436,045 | |
| | 53,500 | | | Sankyo Co., Ltd. | | | 610,225 | |
| | 10,100 | | | Sankyu Inc. | | | 356,975 | |
| | 55,900 | | | Santen Pharmaceutical Co., Ltd. | | | 554,699 | |
| | 39,300 | | | Sanwa Holdings Corp. | | | 697,340 | |
| | 6,900 | | | SBI Holdings Inc. | | | 185,488 | |
| | 2,200 | | | SCREEN Holdings Co., Ltd. | | | 274,936 | |
See Notes to Financial Statements.
90
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| Japan — 18.6% — (continued) | |
| | 3,900 | | | SCSK Corp. | | $ | 71,897 | |
| | 5,900 | | | Secom Co., Ltd. | | | 430,170 | |
| | 7,000 | | | Seiko Epson Corp. | | | 113,273 | |
| | 114,000 | | | Sekisui Chemical Co., Ltd. | | | 1,609,493 | |
| | 16,300 | | | Sekisui House Ltd. | | | 363,695 | |
| | 382,800 | | | Seven & i Holdings Co., Ltd. | | | 5,700,462 | |
| | 9,700 | | | SG Holdings Co., Ltd. | | | 121,700 | |
| | 8,100 | | | Sharp Corp. | | | 44,242 | |
| | 67,400 | | | Shimadzu Corp. | | | 1,840,164 | |
| | 8,800 | | | Shimamura Co., Ltd. | | | 467,883 | |
| | 9,200 | | | Shimano Inc. | | | 1,282,215 | |
| | 13,600 | | | Shimizu Corp. | | | 78,746 | |
| | 180,300 | | | Shin-Etsu Chemical Co., Ltd. | | | 7,701,023 | |
| | 7,000 | | | Shionogi & Co., Ltd. | | | 349,125 | |
| | 10,300 | | | Shiseido Co., Ltd. | | | 281,045 | |
| | 13,200 | | | Shizuoka Financial Group Inc. | | | 129,300 | |
| | 12,900 | | | SMC Corp. | | | 7,781,545 | |
| | 14,000 | | | Socionext Inc. | | | 360,411 | |
| | 78,000 | | | Softbank Corp. | | | 1,027,078 | |
| | 28,400 | | | SoftBank Group Corp. | | | 1,695,408 | |
| | 8,200 | | | Sompo Holdings Inc. | | | 481,317 | |
| | 71,200 | | | Sony Group Corp. | | | 6,121,392 | |
| | 2,200 | | | Square Enix Holdings Co., Ltd. | | | 93,196 | |
| | 16,300 | | | Subaru Corp. | | | 371,248 | |
| | 11,800 | | | SUMCO Corp. | | | 185,477 | |
| | 7,700 | | | Sumitomo Bakelite Co., Ltd. | | | 442,604 | |
| | 28,300 | | | Sumitomo Corp. | | | 663,493 | |
| | 21,000 | | | Sumitomo Electric Industries Ltd. | | | 312,206 | |
| | 16,000 | | | Sumitomo Forestry Co., Ltd. | | | 457,409 | |
| | 6,800 | | | Sumitomo Metal Mining Co., Ltd. | | | 177,364 | |
| | 110,400 | | | Sumitomo Mitsui Financial Group Inc. | | | 6,148,549 | |
| | 17,200 | | | Sumitomo Mitsui Trust Holdings Inc. | | | 348,810 | |
| | 7,900 | | | Sumitomo Realty & Development Co., Ltd. | | | 234,392 | |
| | 4,100 | | | Suntory Beverage & Food Ltd. | | | 134,707 | |
| | 10,800 | | | Suzuki Motor Corp. | | | 474,079 | |
| | 62,800 | | | Sysmex Corp. | | | 3,536,173 | |
| | 13,600 | | | T&D Holdings Inc. | | | 236,409 | |
| | 4,100 | | | Taisei Corp. | | | 129,018 | |
| | 179,854 | | | Takeda Pharmaceutical Co., Ltd. | | | 5,267,933 | |
| | 16,900 | | | Takeuchi Manufacturing Co., Ltd. | | | 594,360 | |
| | 10,700 | | | TDK Corp. | | | 557,515 | |
| | 154,800 | | | Terumo Corp. | | | 6,041,552 | |
| | 6,300 | | | TIS Inc. | | | 142,014 | |
| | 4,700 | | | Tobu Railway Co., Ltd. | | | 120,116 | |
| | 2,900 | | | Toho Co., Ltd. | | | 94,105 | |
| | 50,000 | | | Tokio Marine Holdings Inc. | | | 1,459,162 | |
| | 38,100 | | | Tokyo Electric Power Co. Holdings Inc.* | | | 205,842 | |
| | 13,000 | | | Tokyo Electron Ltd. | | | 3,214,908 | |
| | 9,600 | | | Tokyo Gas Co., Ltd. | | | 210,108 | |
| | 10,400 | | | Tokyo Seimitsu Co., Ltd. | | | 719,186 | |
| | 30,400 | | | Tokyo Tatemono Co., Ltd. | | | 441,010 | |
| | 14,900 | | | Tokyu Corp. | | | 189,763 | |
| | 49,700 | | | Tokyu Fudosan Holdings Corp. | | | 326,642 | |
| | 6,900 | | | TOPPAN Holdings Inc. | | | 164,513 | |
| | 38,200 | | | Toray Industries Inc. | | | 175,848 | |
| | 3,200 | | | TOTO Ltd. | | | 86,665 | |
See Notes to Financial Statements.
91
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| Japan — 18.6% — (continued) | |
| | 10,700 | | | Toyo Suisan Kaisha Ltd. | | $ | 622,304 | |
| | 30,800 | | | Toyo Tire Corp. | | | 558,446 | |
| | 22,300 | | | Toyoda Gosei Co., Ltd. | | | 459,377 | |
| | 19,600 | | | Toyota Industries Corp. | | | 1,952,848 | |
| | 383,700 | | | Toyota Motor Corp. | | | 9,209,086 | |
| | 6,000 | | | Toyota Tsusho Corp. | | | 388,535 | |
| | 3,800 | | | Trend Micro Inc. | | | 185,142 | |
| | 11,300 | | | Unicharm Corp. | | | 375,123 | |
| | 6,200 | | | USS Co., Ltd. | | | 108,070 | |
| | 6,500 | | | West Japan Railway Co. | | | 270,244 | |
| | 7,300 | | | Yakult Honsha Co., Ltd. | | | 157,181 | |
| | 56,700 | | | Yamaguchi Financial Group Inc. | | | 575,306 | |
| | 3,500 | | | Yamaha Corp. | | | 76,742 | |
| | 22,400 | | | Yamaha Motor Co., Ltd. | | | 200,551 | |
| | 7,100 | | | Yamato Holdings Co., Ltd. | | | 108,058 | |
| | 7,100 | | | Yaskawa Electric Corp. | | | 290,972 | |
| | 5,600 | | | Yokogawa Electric Corp. | | | 118,469 | |
| | 2,700 | | | Zensho Holdings Co., Ltd. | | | 118,439 | |
| | 4,100 | | | ZOZO Inc. | | | 92,965 | |
| | | | | | | | |
| | | | Total Japan | | | 240,669,806 | |
| | | | | | | | |
|
| Jersey, Channel Islands — 0.0%@ | |
| | 50,491 | | | Arcadium Lithium PLC* | | | 254,964 | |
| | | | | | | | |
|
| Jordan — 0.0%@ | |
| | 25,844 | | | Hikma Pharmaceuticals PLC | | | 640,794 | |
| | | | | | | | |
|
| Luxembourg — 0.1% | |
| | 14,367 | | | ArcelorMittal SA | | | 374,915 | |
| | 3,677 | | | Eurofins Scientific SE | | | 219,754 | |
| | 13,048 | | | Tenaris SA | | | 232,370 | |
| | | | | | | | |
| | | | Total Luxembourg | | | 827,039 | |
| | | | | | | | |
|
| Macau — 0.1% | |
| | 288,000 | | | MGM China Holdings Ltd.* | | | 464,719 | |
| | 66,800 | | | Sands China Ltd.* | | | 190,419 | |
| | | | | | | | |
| | | | Total Macau | | | 655,138 | |
| | | | | | | | |
|
| Netherlands — 5.2% | |
| | 12,450 | | | ABN AMRO Bank NV, Dutch Certificate, GDR(c) | | | 199,913 | |
| | 593 | | | Adyen NV*(c) | | | 937,004 | |
| | 40,981 | | | Aegon Ltd. | | | 245,790 | |
| | 90,228 | | | Akzo Nobel NV | | | 6,571,165 | |
| | 1,613 | | | Argenx SE* | | | 607,446 | |
| | 1,203 | | | ASM International NV | | | 738,711 | |
| | 25,228 | | | ASML Holding NV | | | 23,868,742 | |
| | 20,123 | | | ASR Nederland NV | | | 928,105 | |
| | 7,093 | | | BE Semiconductor Industries NV | | | 1,287,708 | |
| | 9,034 | | | Euronext NV(c) | | | 832,808 | |
| | 2,537 | | | EXOR NV | | | 273,828 | |
| | 33,507 | | | Fugro NV* | | | 740,276 | |
| | 3,428 | | | Heineken Holding NV | | | 264,664 | |
| | 18,471 | | | Heineken NV | | | 1,706,987 | |
| | 1,548 | | | IMCD NV | | | 235,908 | |
| | 465,990 | | | ING Groep NV | | | 6,396,196 | |
| | 3,106 | | | JDE Peet’s NV | | | 70,952 | |
| | 26,361 | | | Koninklijke Ahold Delhaize NV | | | 784,206 | |
| | 91,711 | | | Koninklijke KPN NV | | | 335,250 | |
See Notes to Financial Statements.
92
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| Netherlands — 5.2% — (continued) | |
| | 328,085 | | | Koninklijke Philips NV* | | $ | 6,567,966 | |
| | 7,356 | | | NN Group NV | | | 327,754 | |
| | 16,014 | | | OCI NV | | | 422,098 | |
| | 276,841 | | | Pharming Group NV* | | | 309,042 | |
| | 40,712 | | | Prosus NV* | | | 1,188,783 | |
| | 5,939 | | | QIAGEN NV* | | | 254,501 | |
| | 3,064 | | | Randstad NV | | | 169,120 | |
| | 99,000 | | | Stellantis NV | | | 2,595,963 | |
| | 90,209 | | | Universal Music Group NV | | | 2,718,655 | |
| | 33,563 | | | Wolters Kluwer NV | | | 5,291,322 | |
| | | | | | | | |
| | | | Total Netherlands | | | 66,870,863 | |
| | | | | | | | |
|
| New Zealand — 0.1% | |
| | 35,093 | | | Auckland International Airport Ltd. | | | 173,037 | |
| | 15,833 | | | Fisher & Paykel Healthcare Corp., Ltd. | | | 235,955 | |
| | 18,172 | | | Mercury NZ Ltd. | | | 73,884 | |
| | 36,552 | | | Meridian Energy Ltd. | | | 133,195 | |
| | 53,388 | | | Spark New Zealand Ltd. | | | 164,922 | |
| | 3,844 | | | Xero Ltd.* | | | 318,737 | |
| | | | | | | | |
| | | | Total New Zealand | | | 1,099,730 | |
| | | | | | | | |
|
| Norway — 0.4% | |
| | 9,828 | | | Adevinta ASA, Class B Shares* | | | 104,990 | |
| | 8,447 | | | Aker BP ASA | | | 205,090 | |
| | 119,657 | | | DNB Bank ASA | | | 2,393,420 | |
| | 24,798 | | | Equinor ASA | | | 610,129 | |
| | 4,942 | | | Gjensidige Forsikring ASA | | | 78,047 | |
| | 2,618 | | | Kongsberg Gruppen ASA | | | 166,814 | |
| | 13,214 | | | Mowi ASA | | | 254,965 | |
| | 182,835 | | | Norsk Hydro ASA | | | 941,433 | |
| | 18,559 | | | Orkla ASA | | | 133,027 | |
| | 1,793 | | | Salmar ASA | | | 113,700 | |
| | 16,758 | | | Telenor ASA | | | 183,387 | |
| | 4,669 | | | Yara International ASA | | | 145,224 | |
| | | | | | | | |
| | | | Total Norway | | | 5,330,226 | |
| | | | | | | | |
|
| Portugal — 0.2% | |
| | 88,591 | | | EDP — Energias de Portugal SA | | | 352,368 | |
| | 12,036 | | | Galp Energia SGPS SA | | | 189,360 | |
| | 82,864 | | | Jeronimo Martins SGPS SA | | | 1,984,790 | |
| | | | | | | | |
| | | | Total Portugal | | | 2,526,518 | |
| | | | | | | | |
|
| Singapore — 1.0% | |
| | 1,803,858 | | | CapitaLand Ascendas REIT | | | 3,697,893 | |
| | 146,550 | | | CapitaLand Integrated Commercial Trust, REIT | | | 214,790 | |
| | 73,000 | | | CapitaLand Investment Ltd. | | | 151,866 | |
| | 13,900 | | | City Developments Ltd. | | | 58,900 | |
| | 49,400 | | | DBS Group Holdings Ltd. | | | 1,227,370 | |
| | 338,200 | | | Frasers Logistics & Commercial Trust, REIT | | | 259,764 | |
| | 149,400 | | | Genting Singapore Ltd. | | | 100,894 | |
| | 52,909 | | | Grab Holdings Ltd., Class A Shares* | | | 162,430 | |
| | 2,800 | | | Jardine Cycle & Carriage Ltd. | | | 53,093 | |
| | 39,800 | | | Keppel Ltd. | | | 215,211 | |
| | 85,429 | | | Mapletree Logistics Trust, REIT | | | 94,285 | |
| | 61,400 | | | Mapletree Pan Asia Commercial Trust, REIT | | | 61,850 | |
| | 94,600 | | | Oversea-Chinese Banking Corp., Ltd. | | | 916,355 | |
| | 9,857 | | | Sea Ltd., ADR* | | | 478,262 | |
See Notes to Financial Statements.
93
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| Singapore — 1.0% — (continued) | |
| | 1,278,419 | | | Seatrium Ltd.* | | $ | 85,576 | |
| | 192,100 | | | Sembcorp Industries Ltd. | | | 730,445 | |
| | 41,250 | | | Singapore Airlines Ltd. | | | 199,565 | |
| | 19,200 | | | Singapore Exchange Ltd. | | | 135,392 | |
| | 45,300 | | | Singapore Technologies Engineering Ltd. | | | 134,538 | |
| | 227,600 | | | Singapore Telecommunications Ltd. | | | 398,105 | |
| | 174,403 | | | United Overseas Bank Ltd. | | | 3,634,348 | |
| | 54,700 | | | Wilmar International Ltd. | | | 135,460 | |
| | | | | | | | |
| | | | Total Singapore | | | 13,146,392 | |
| | | | | | | | |
|
| South Korea — 1.6% | |
| | 3,525 | | | AfreecaTV Co., Ltd. | | | 339,184 | |
| | 17,312 | | | Classys Inc. | | | 417,693 | |
| | 4,758 | | | Dentium Co., Ltd.* | | | 514,492 | |
| | 1,729 | | | Hanmi Pharm Co., Ltd. | | | 433,161 | |
| | 5,744 | | | HD Hyundai Electric Co., Ltd. | | | 535,763 | |
| | 2,069 | | | LEENO Industrial Inc. | | | 325,643 | |
| | 7,700 | | | LOTTE Fine Chemical Co., Ltd. | | | 272,822 | |
| | 850 | | | NongShim Co., Ltd. | | | 221,666 | |
| | 258,211 | | | Samsung Electronics Co., Ltd. | | | 14,135,451 | |
| | 20,774 | | | Samsung Engineering Co., Ltd.* | | | 383,623 | |
| | 3,647 | | | Samsung SDI Co., Ltd. | | | 1,032,910 | |
| | 14,526 | | | SK Hynix Inc. | | | 1,716,593 | |
| | 19,045 | | | SOLUM Co., Ltd.* | | | 413,687 | |
| | 9,006 | | | Youngone Corp.* | | | 297,204 | |
| | | | | | | | |
| | | | Total South Korea | | | 21,039,892 | |
| | | | | | | | |
|
| Spain — 2.8% | |
| | 610 | | | Acciona SA | | | 68,195 | |
| | 43,561 | | | Acerinox SA | | | 477,137 | |
| | 6,000 | | | ACS Actividades de Construccion y Servicios SA | | | 246,013 | |
| | 25,852 | | | Aena SME SA(c) | | | 4,893,373 | |
| | 91,389 | | | Amadeus IT Group SA | | | 5,370,891 | |
| | 421,135 | | | Banco Bilbao Vizcaya Argentaria SA | | | 4,183,658 | |
| | 443,422 | | | Banco Santander SA | | | 1,840,175 | |
| | 105,394 | | | Bankinter SA | | | 668,357 | |
| | 104,941 | | | CaixaBank SA | | | 473,180 | |
| | 12,985 | | | Cellnex Telecom SA(c) | | | 467,312 | |
| | 16,014 | | | Cia de Distribucion Integral Logista Holdings SA | | | 429,909 | |
| | 98 | | | Corp. ACCIONA Energias Renovables SA(a) | | | 2,023 | |
| | 8,634 | | | EDP Renovaveis SA | | | 117,635 | |
| | 3,916 | | | Enagas SA | | | 56,485 | |
| | 8,821 | | | Endesa SA | | | 158,703 | |
| | 14,392 | | | Ferrovial SE | | | 538,936 | |
| | 9,187 | | | Grifols SA* | | | 75,287 | |
| | 591,140 | | | Iberdrola SA | | | 6,786,586 | |
| | 24,381 | | | Indra Sistemas SA(a) | | | 465,907 | |
| | 136,067 | | | Industria de Diseno Textil SA | | | 6,030,419 | |
| | 7,711 | | | Laboratorios Farmaceuticos Rovi SA | | | 617,122 | |
| | 65,440 | | | Merlin Properties Socimi SA, REIT | | | 620,125 | |
| | 6,811 | | | Redeia Corp. SA | | | 108,233 | |
| | 35,656 | | | Repsol SA | | | 566,877 | |
| | 130,198 | | | Telefonica SA | | | 531,813 | |
| | | | | | | | |
| | | | Total Spain | | | 35,794,351 | |
| | | | | | | | |
|
| Sweden — 2.2% | |
| | 3,354 | | | AFRY AB | | | 52,773 | |
See Notes to Financial Statements.
94
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| Sweden — 2.2% — (continued) | |
| | 8,359 | | | Alfa Laval AB | | $ | 314,806 | |
| | 86,440 | | | Assa Abloy AB, Class B Shares | | | 2,470,210 | |
| | 73,875 | | | Atlas Copco AB, Class A Shares | | | 1,281,843 | |
| | 273,616 | | | Atlas Copco AB, Class B Shares | | | 4,099,061 | |
| | 17,053 | | | Avanza Bank Holding AB(a) | | | 376,022 | |
| | 3,252 | | | Axfood AB | | | 90,789 | |
| | 11,160 | | | Beijer Ref AB, Class B Shares | | | 157,577 | |
| | 7,491 | | | Boliden AB | | | 189,918 | |
| | 18,773 | | | Epiroc AB, Class A Shares | | | 340,945 | |
| | 9,471 | | | Epiroc AB, Class B Shares | | | 156,131 | |
| | 10,620 | | | EQT AB | | | 312,001 | |
| | 16,954 | | | Essity AB, Class B Shares | | | 395,345 | |
| | 5,184 | | | Evolution AB(c) | | | 672,459 | |
| | 20,063 | | | Fastighets AB Balder, Class B Shares* | | | 125,142 | |
| | 5,652 | | | Getinge AB, Class B Shares | | | 111,988 | |
| | 17,610 | | | H & M Hennes & Mauritz AB, Class B Shares | | | 238,820 | |
| | 57,247 | | | Hexagon AB, Class B Shares | | | 672,710 | |
| | 2,318 | | | Holmen AB, Class B Shares | | | 93,067 | |
| | 10,691 | | | Husqvarna AB, Class B Shares | | | 82,491 | |
| | 3,371 | | | Industrivarden AB, Class A Shares | | | 114,952 | |
| | 3,815 | | | Industrivarden AB, Class C Shares | | | 129,938 | |
| | 7,668 | | | Indutrade AB | | | 202,938 | |
| | 4,018 | | | Investment AB Latour, Class B Shares | | | 101,908 | |
| | 47,346 | | | Investor AB, Class B Shares | | | 1,191,716 | |
| | 1,878 | | | L E Lundbergforetagen AB, Class B Shares | | | 102,060 | |
| | 6,664 | | | Lifco AB, Class B Shares | | | 177,819 | |
| | 10,831 | | | Loomis AB, Class B Shares | | | 292,529 | |
| | 25,565 | | | NCC AB, Class B Shares | | | 345,977 | |
| | 108,797 | | | Nibe Industrier AB, Class B Shares | | | 609,437 | |
| | 2,073 | | | Saab AB, Class B Shares | | | 163,344 | |
| | 5,707 | | | Sagax AB, Class B Shares | | | 135,334 | |
| | 150,921 | | | Sandvik AB | | | 3,401,916 | |
| | 12,153 | | | Securitas AB, Class B Shares | | | 130,945 | |
| | 43,224 | | | Skandinaviska Enskilda Banken AB, Class A Shares | | | 641,653 | |
| | 9,673 | | | Skanska AB, Class B Shares | | | 178,407 | |
| | 9,547 | | | SKF AB, Class B Shares | | | 208,107 | |
| | 10,457 | | | Spotify Technology SA* | | | 2,681,279 | |
| | 16,329 | | | Svenska Cellulosa AB SCA, Class B Shares(a) | | | 230,975 | |
| | 168,884 | | | Svenska Handelsbanken AB, Class A Shares | | | 2,020,420 | |
| | 23,297 | | | Swedbank AB, Class A Shares | | | 511,320 | |
| | 5,633 | | | Swedish Orphan Biovitrum AB* | | | 138,307 | |
| | 13,201 | | | Tele2 AB, Class B Shares | | | 110,736 | |
| | 80,382 | | | Telefonaktiebolaget LM Ericsson, Class B Shares | | | 437,807 | |
| | 69,034 | | | Telia Co. AB | | | 164,366 | |
| | 14,845 | | | Trelleborg AB, Class B Shares | | | 540,040 | |
| | 5,768 | | | Volvo AB, Class A Shares | | | 160,808 | |
| | 41,530 | | | Volvo AB, Class B Shares | | | 1,143,108 | |
| | 21,268 | | | Volvo Car AB, Class B Shares* | | | 77,782 | |
| | 47,307 | | | Wihlborgs Fastigheter AB | | | 382,254 | |
| | | | | | | | |
| | | | Total Sweden | | | 28,962,280 | |
| | | | | | | | |
|
| Switzerland — 8.4% | |
| | 43,641 | | | ABB Ltd., Class Registered Shares | | | 2,011,192 | |
| | 11,783 | | | Accelleron Industries AG | | | 397,463 | |
| | 12,563 | | | Adecco Group AG, Class Registered Shares | | | 504,128 | |
| | 36,921 | | | Alcon Inc. | | | 3,142,557 | |
See Notes to Financial Statements.
95
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| Switzerland — 8.4% — (continued) | |
| | 2,436 | | | Avolta AG* | | $ | 95,404 | |
| | 1,151 | | | Bachem Holding AG, Class B Shares | | | 91,199 | |
| | 3,450 | | | Baloise Holding AG, Class Registered Shares | | | 556,797 | |
| | 818 | | | Banque Cantonale Vaudoise, Class Registered Shares | | | 98,003 | |
| | 88 | | | Barry Callebaut AG, Class Registered Shares | | | 123,719 | |
| | 515 | | | BKW AG | | | 72,250 | |
| | 796 | | | Bucher Industries AG, Class Registered Shares | | | 336,964 | |
| | 143 | | | Chocoladefabriken Lindt & Spruengli AG | | | 1,750,832 | |
| | 3 | | | Chocoladefabriken Lindt & Spruengli AG, Class Registered Shares | | | 360,341 | |
| | 52,920 | | | Cie Financiere Richemont SA, Class Registered Shares | | | 8,447,227 | |
| | 6,689 | | | Clariant AG, Class Registered Shares* | | | 82,832 | |
| | 29,108 | | | Coca-Cola HBC AG* | | | 906,280 | |
| | 5,085 | | | DSM-Firmenich AG | | | 544,581 | |
| | 202 | | | EMS-Chemie Holding AG, Class Registered Shares | | | 140,907 | |
| | 2,097 | | | Flughafen Zurich AG, Class Registered Shares | | | 442,689 | |
| | 7,618 | | | Galenica AG(c) | | | 654,667 | |
| | 921 | | | Geberit AG, Class Registered Shares | | | 535,448 | |
| | 252 | | | Givaudan SA, Class Registered Shares | | | 1,058,041 | |
| | 285,555 | | | Glencore PLC | | | 1,355,203 | |
| | 1,066 | | | Helvetia Holding AG, Class Registered Shares | | | 150,661 | |
| | 14,193 | | | Holcim AG* | | | 1,157,920 | |
| | 33,923 | | | Julius Baer Group Ltd. | | | 1,816,265 | |
| | 14,287 | | | Kuehne + Nagel International AG, Class Registered Shares | | | 4,810,316 | |
| | 7,698 | | | Logitech International SA, Class Registered Shares | | | 679,290 | |
| | 11,827 | | | Lonza Group AG, Class Registered Shares | | | 6,190,364 | |
| | 129,697 | | | Nestlé SA, Class Registered Shares | | | 13,478,999 | |
| | 144,965 | | | Novartis AG, Class Registered Shares | | | 14,654,468 | |
| | 623 | | | Partners Group Holding AG | | | 894,864 | |
| | 6,016 | | | PSP Swiss Property AG, Class Registered Shares | | | 765,631 | |
| | 75,705 | | | Roche Holding AG | | | 19,858,230 | |
| | 11,010 | | | Sandoz Group AG* | | | 342,264 | |
| | 1,188 | | | Schindler Holding AG | | | 313,101 | |
| | 580 | | | Schindler Holding AG, Class Registered Shares | | | 147,565 | |
| | 28,569 | | | SGS SA, Class Registered Shares | | | 2,742,215 | |
| | 702 | | | Siegfried Holding AG, Class Registered Shares* | | | 703,791 | |
| | 8,589 | | | SIG Group AG* | | | 170,135 | |
| | 4,166 | | | Sika AG, Class Registered Shares | | | 1,204,881 | |
| | 1,458 | | | Sonova Holding AG, Class Registered Shares | | | 449,390 | |
| | 3,076 | | | Straumann Holding AG, Class Registered Shares | | | 485,903 | |
| | 5,488 | | | Sulzer AG, Class Registered Shares | | | 642,155 | |
| | 715 | | | Swatch Group AG (The) | | | 168,838 | |
| | 1,832 | | | Swatch Group AG (The), Class Registered Shares | | | 83,900 | |
| | 803 | | | Swiss Life Holding AG, Class Registered Shares | | | 583,071 | |
| | 2,099 | | | Swiss Prime Site AG, Class Registered Shares | | | 200,614 | |
| | 8,240 | | | Swiss Re AG | | | 993,741 | |
| | 712 | | | Swisscom AG, Class Registered Shares | | | 406,740 | |
| | 2,858 | | | Swissquote Group Holding SA, Class Registered Shares | | | 760,281 | |
| | 5,991 | | | Temenos AG, Class Registered Shares | | | 450,827 | |
| | 89,827 | | | UBS Group AG, Class Registered Shares | | | 2,563,011 | |
| | 9,365 | | | VAT Group AG(c) | | | 4,697,623 | |
| | 4,002 | | | Zurich Insurance Group AG | | | 2,128,159 | |
| | | | | | | | |
| | | | Total Switzerland | | | 108,403,937 | |
| | | | | | | | |
|
| Taiwan — 0.6% | |
| | 57,000 | | | Taiwan Semiconductor Manufacturing Co., Ltd. | | | 1,238,842 | |
| | 46,600 | | | Taiwan Semiconductor Manufacturing Co., Ltd., ADR | | | 5,996,022 | |
| | | | | | | | |
| | | | Total Taiwan | | | 7,234,864 | |
| | | | | | | | |
See Notes to Financial Statements.
96
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
| United Kingdom — 16.9% | |
| | 26,528 | | | 3i Group PLC | | $ | 827,204 | |
| | 9,981 | | | 4imprint Group PLC | | | 719,593 | |
| | 47,125 | | | Abrdn PLC | | | 93,618 | |
| | 7,256 | | | Admiral Group PLC | | | 244,330 | |
| | 92,581 | | | Anglo American PLC | | | 1,993,663 | |
| | 8,151 | | | ARM Holdings PLC, ADR*(a) | | | 1,149,617 | |
| | 11,942 | | | Ashtead Group PLC | | | 862,028 | |
| | 9,437 | | | Associated British Foods PLC | | | 270,900 | |
| | 117,423 | | | AstraZeneca PLC | | | 14,868,216 | |
| | 25,005 | | | Auto Trader Group PLC(c) | | | 233,908 | |
| | 72,657 | | | Aviva PLC | | | 410,604 | |
| | 188,785 | | | BAE Systems PLC | | | 2,960,965 | |
| | 105,824 | | | Balfour Beatty PLC | | | 453,530 | |
| | 4,373,041 | | | Barclays PLC | | | 9,131,415 | |
| | 27,611 | | | Barratt Developments PLC | | | 162,733 | |
| | 63,209 | | | Beazley PLC | | | 520,907 | |
| | 38,686 | | | Berkeley Group Holdings PLC | | | 2,269,482 | |
| | 1,820,767 | | | BP PLC | | | 10,632,052 | |
| | 205,377 | | | British American Tobacco PLC | | | 6,094,783 | |
| | 90,717 | | | British Land Co. PLC (The), REIT | | | 400,333 | |
| | 171,793 | | | BT Group PLC | | | 227,212 | |
| | 52,963 | | | Bunzl PLC | | | 2,111,522 | |
| | 94,983 | | | Burberry Group PLC | | | 1,540,426 | |
| | 153,603 | | | Centrica PLC | | | 244,149 | |
| | 5,783 | | | Coca-Cola Europacific Partners PLC | | | 396,887 | |
| | 349,188 | | | Compass Group PLC | | | 9,569,443 | |
| | 20,781 | | | Computacenter PLC | | | 762,053 | |
| | 141,683 | | | ConvaTec Group PLC(c) | | | 440,648 | |
| | 14,058 | | | Croda International PLC | | | 846,565 | |
| | 18,549 | | | CVS Group PLC | | | 345,688 | |
| | 397,967 | | | Diageo PLC | | | 14,891,358 | |
| | 227,726 | | | Dowlais Group PLC | | | 261,989 | |
| | 43,555 | | | Drax Group PLC | | | 256,103 | |
| | 20,024 | | | Dunelm Group PLC | | | 291,805 | |
| | 54,930 | | | easyJet PLC | | | 377,513 | |
| | 22,193 | | | Endeavour Mining PLC | | | 363,542 | |
| | 17,393 | | | Entain PLC | | | 201,029 | |
| | 3,541 | | | Ferguson PLC | | | 748,744 | |
| | 667,500 | | | GSK PLC | | | 14,020,697 | |
| | 161,648 | | | Haleon PLC | | | 678,400 | |
| | 10,215 | | | Halma PLC | | | 297,037 | |
| | 81,188 | | | Harbour Energy PLC | | | 258,900 | |
| | 8,790 | | | Hargreaves Lansdown PLC | | | 81,121 | |
| | 750,411 | | | HSBC Holdings PLC | | | 5,849,333 | |
| | 34,716 | | | IG Group Holdings PLC | | | 307,223 | |
| | 18,312 | | | IMI PLC | | | 401,036 | |
| | 23,488 | | | Imperial Brands PLC | | | 506,413 | |
| | 53,507 | | | Inchcape PLC | | | 462,316 | |
| | 36,719 | | | Informa PLC | | | 375,819 | |
| | 4,514 | | | InterContinental Hotels Group PLC | | | 479,127 | |
| | 15,235 | | | Intermediate Capital Group PLC | | | 370,518 | |
| | 4,394 | | | Intertek Group PLC | | | 257,312 | |
| | 47,083 | | | J Sainsbury PLC | | | 148,770 | |
| | 64,038 | | | JD Sports Fashion PLC | | | 95,429 | |
| | 23,224 | | | JET2 PLC | | | 409,147 | |
| | 930,782 | | | Kingfisher PLC | | | 2,757,244 | |
See Notes to Financial Statements.
97
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| United Kingdom — 16.9% — (continued) | |
| | 20,089 | | | Land Securities Group PLC, REIT | | $ | 157,301 | |
| | 1,178,956 | | | Legal & General Group PLC | | | 3,606,314 | |
| | 1,741,980 | | | Lloyds Banking Group PLC | | | 1,024,809 | |
| | 11,392 | | | London Stock Exchange Group PLC | | | 1,276,756 | |
| | 151,494 | | | LondonMetric Property PLC, REIT | | | 346,261 | |
| | 63,316 | | | M&G PLC | | | 179,758 | |
| | 171,945 | | | Man Group PLC | | | 528,929 | |
| | 205,782 | | | Marks & Spencer Group PLC | | | 615,476 | |
| | 36,064 | | | Melrose Industries PLC | | | 289,325 | |
| | 11,912 | | | Mondi PLC | | | 211,770 | |
| | 168,085 | | | Moneysupermarket.com Group PLC | | | 521,384 | |
| | 213,427 | | | National Grid PLC | | | 2,796,219 | |
| | 917,411 | | | NatWest Group PLC | | | 2,771,059 | |
| | 3,233 | | | Next PLC | | | 340,420 | |
| | 17,668 | | | Ocado Group PLC* | | | 114,875 | |
| | 96,992 | | | OSB Group PLC | | | 509,702 | |
| | 17,783 | | | Pearson PLC | | | 215,756 | |
| | 9,115 | | | Persimmon PLC | | | 157,092 | |
| | 18,541 | | | Phoenix Group Holdings PLC | | | 116,489 | |
| | 82,654 | | | QinetiQ Group PLC | | | 387,878 | |
| | 170,096 | | | Reckitt Benckiser Group PLC | | | 10,734,579 | |
| | 240,597 | | | RELX PLC | | | 10,540,789 | |
| | 68,329 | | | Rentokil Initial PLC | | | 378,473 | |
| | 50,133 | | | Rio Tinto PLC | | | 3,217,507 | |
| | 3,690,935 | | | Rolls-Royce Holdings PLC* | | | 17,222,278 | |
| | 35,323 | | | Safestore Holdings PLC, REIT | | | 341,473 | |
| | 27,052 | | | Sage Group PLC (The) | | | 426,016 | |
| | 24,043 | | | Schroders PLC | | | 119,523 | |
| | 225,854 | | | Segro PLC, REIT | | | 2,413,674 | |
| | 262,240 | | | Serco Group PLC | | | 621,799 | |
| | 7,477 | | | Severn Trent PLC | | | 235,971 | |
| | 576,243 | | | Shell PLC | | | 18,030,031 | |
| | 23,247 | | | Smith & Nephew PLC | | | 307,239 | |
| | 9,774 | | | Smiths Group PLC | | | 198,551 | |
| | 9,235 | | | Spectris PLC | | | 408,848 | |
| | 2,011 | | | Spirax-Sarco Engineering PLC | | | 262,387 | |
| | 102,447 | | | SSE PLC | | | 2,102,707 | |
| | 14,943 | | | St. James’s Place PLC | | | 95,000 | |
| | 61,992 | | | Standard Chartered PLC | | | 522,839 | |
| | 36,265 | | | Tate & Lyle PLC | | | 274,966 | |
| | 332,298 | | | Taylor Wimpey PLC | | | 578,878 | |
| | 192,892 | | | Tesco PLC | | | 679,246 | |
| | 173,272 | | | Tritax Big Box REIT PLC | | | 322,243 | |
| | 207,580 | | | Unilever PLC | | | 10,152,297 | |
| | 18,263 | | | United Utilities Group PLC | | | 236,449 | |
| | 162,313 | | | Virgin Money UK PLC | | | 319,134 | |
| | 633,262 | | | Vodafone Group PLC | | | 557,636 | |
| | 15,349 | | | Weir Group PLC (The) | | | 355,460 | |
| | 168,136 | | | WH Smith PLC | | | 2,609,513 | |
| | 37,522 | | | Whitbread PLC | | | 1,565,886 | |
| | 17,287 | | | Wise PLC, Class A Shares* | | | 200,541 | |
| | 28,717 | | | WPP PLC | | | 257,458 | |
| | | | | | | | |
| | | | Total United Kingdom | | | 218,389,363 | |
| | | | | | | | |
See Notes to Financial Statements.
98
| | | | | | | | |
| International Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
| United States — 0.4% | |
| | 671 | | | Booking Holdings Inc.* | | $ | 2,327,585 | |
| | 16,414 | | | International Game Technology PLC | | | 445,969 | |
| | 19,245 | | | Liberty Media Corp.-Liberty Formula One, Class C Shares* | | | 1,400,266 | |
| | 2,027 | | | Linde PLC | | | 909,758 | |
| | | | | | | | |
| | | | Total United States | | | 5,083,578 | |
| | | | | | | | |
|
| Uruguay — 0.0%@ | |
| | 392 | | | MercadoLibre Inc.* | | | 625,358 | |
| | | | | | | | |
| | | | TOTAL COMMON STOCKS
(Cost — $991,420,311) | | | 1,260,465,534 | |
| | | | | | | | |
|
| PREFERRED STOCKS — 0.3% | |
|
| Germany — 0.3% | |
| | 1,468 | | | Bayerische Motoren Werke AG, Class Preferred Shares | | | 160,803 | |
| | 18,119 | | | Dr ING hc F Porsche AG, Class Preferred Shares(c) | | | 1,691,807 | |
| | 4,720 | | | Henkel AG & Co. KGaA, Class Preferred Shares | | | 355,023 | |
| | 4,200 | | | Porsche Automobil Holding SE, Class Preferred Shares | | | 224,248 | |
| | 721 | | | Sartorius AG, Class Preferred Shares | | | 272,595 | |
| | 5,547 | | | Volkswagen AG, Class Preferred Shares | | | 751,818 | |
| | | | | | | | |
| | | | TOTAL PREFERRED STOCKS
(Cost — $3,368,340) | | | 3,456,294 | |
| | | | | | | | |
|
| OPEN END MUTUAL FUND SECURITY — 0.1% | |
|
| United States — 0.1% | |
| | 33,646 | | | Vanguard FTSE Developed Markets ETF, Common Class Shares
(Cost — $1,398,743) | | | 1,637,887 | |
| | | | | | | | |
| | | | TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS
(Cost — $996,187,394) | | | 1,265,559,715 | |
| | | | | | | | |
| | |
Face
Amount† | | | | | | |
|
| SHORT-TERM INVESTMENTS (d) — 2.8% | |
|
| MONEY MARKET FUND — 0.9% | |
| $ | 12,203,970 | | | Invesco STIT — Government & Agency Portfolio, Institutional Class, 5.173%(e)
(Cost — $12,203,970) | | | 12,203,970 | |
| | | | | | | | |
|
| TIME DEPOSITS — 1.9% | |
| | 9,312 | NZD | | ANZ National Bank — Hong Kong, 3.250% due 3/1/24 | | | 5,669 | |
| | | | BBH — New York: | | | | |
| | 170,230 | DKK | | 2.500% due 3/1/24 | | | 24,684 | |
| | 223,849 | SEK | | 2.700% due 3/1/24 | | | 21,595 | |
| | 432,847 | NOK | | 3.320% due 3/1/24 | | | 40,761 | |
| | 2,348 | CAD | | 3.830% due 3/1/24 | | | 1,730 | |
| | 379,124 | GBP | | 4.150% due 3/1/24 | | | 478,606 | |
| | | | BNP Paribas — Paris: | | | | |
| | 420,245 | CHF | | 0.520% due 3/1/24 | | | 475,229 | |
| | 60,897 | AUD | | 3.100% due 3/1/24 | | | 39,580 | |
| | 1,337 | ZAR | | 6.430% due 3/1/24 | | | 70 | |
| | 277,137 | EUR | | Citibank — London, 2.820% due 3/1/24 | | | 299,530 | |
| | 13,922,644 | | | Citibank — New York, 4.680% due 3/1/24 | | | 13,922,644 | |
| | 200,823 | HKD | | HSBC Bank — Hong Kong, 3.000% due 3/1/24 | | | 25,650 | |
| | 8,451 | SGD | | HSBC Bank — Singapore, 2.560% due 3/1/24 | | | 6,280 | |
| | 7,123,473 | | | JPMorgan Chase & Co. — New York, 4.680% due 3/1/24 | | | 7,123,473 | |
| | | | Skandinaviska Enskilda Banken AB — Stockholm: | | | | |
| | 607,909 | EUR | | 2.820% due 3/1/24 | | | 657,028 | |
| | 1,290,418 | | | 4.680% due 3/1/24 | | | 1,290,418 | |
See Notes to Financial Statements.
99
| | | | | | | | |
| International Equity Fund | |
| | |
Face
Amount† | | | Security | | Value | |
|
| TIME DEPOSITS — 1.9% — (continued) | |
| | | | Sumitomo Mitsui Banking Corp. — Tokyo: | | | | |
| | 2,820,596 | JPY | | (0.420)% due 3/1/24 | | $ | 18,815 | |
| $ | 205,669 | | | 4.680% due 3/1/24 | | | 205,669 | |
| | | | | | | | |
| | | | TOTAL TIME DEPOSITS
(Cost — $24,637,431) | | | 24,637,431 | |
| | | | | | | | |
| | | | TOTAL SHORT-TERM INVESTMENTS
(Cost — $36,841,401) | | | 36,841,401 | |
| | | | | | | | |
| | | | TOTAL INVESTMENTS — 100.6%
(Cost — $1,033,028,795) | | | 1,302,401,116 | |
| | | | | | | | |
| | | | Liabilities in Excess of Other Assets — (0.6)% | | | (7,645,907 | ) |
| | | | | | | | |
| | | | TOTAL NET ASSETS — 100.0% | | $ | 1,294,755,209 | |
| | | | | | | | |
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
| * | Non-income producing security. |
| @ | The amount is less than 0.05%. |
| (a) | All or a portion of this security is on loan (See Note 1). |
| (b) | Security trades on the Hong Kong exchange. |
| (c) | Restricted security that may be sold to “qualified institutional buyers” pursuant to the conditions of Rule 144A under the Securities Act of 1933, as amended. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees, unless otherwise noted. The aggregate value of restricted 144A holdings at February 29, 2024, amounts to $19,585,481 and represents 1.5% of net assets. |
| (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 1.9%. |
| (e) | Represents investments of collateral received from securities lending transactions. |
At February 29, 2024, 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 | | $ | 1,033,028,795 | | | $ | 364,862,629 | | | $ | (95,418,329) | | | $ | 269,444,300 | |
| | |
Abbreviations used in this schedule: |
| ADR | | — American Depositary Receipt |
| CDI | | — Clearing House Electronics System (CHESS) Depositary Interest |
| ETF | | — Exchange-Traded Fund |
| GDR | | — Global Depositary Receipt |
| PLC | | — Public Limited Company |
| REIT | | — Real Estate Investment Trust |
See Notes to Financial Statements.
100
| | | | |
| International Equity Fund |
| | | | |
| Summary of Investments by Security Sector^ | |
Industrials | | | 18.3 | % |
Health Care | | | 14.7 | |
Financials | | | 14.7 | |
Consumer Discretionary | | | 11.5 | |
Information Technology | | | 11.4 | |
Consumer Staples | | | 9.4 | |
Materials | | | 6.0 | |
Energy | | | 3.8 | |
Communication Services | | | 3.3 | |
Utilities | | | 2.9 | |
Real Estate | | | 2.1 | |
Short-Term Investments | | | 1.9 | |
| | | | |
Total Investments | | | 100.0 | %+ |
| | | | |
| ^ | As a percentage of total investments. |
| + | Does not reflect investments of collateral received from securities lending transactions. |
At February 29, 2024, International Equity Fund had open exchange-traded futures contracts as described below.
The unrealized appreciation on the open contracts reflected in the accompanying financial statements was as follows:
| | | | | | | | | | | | | | | | | | | | |
| Open Futures Contracts | | Number of
Contracts | | | Expiration
Date
(Month/Year) | | | Notional
Amount | | | Market
Value | | | Unrealized
Appreciation | |
| Contracts to Buy: | | | | | | | | | | | | | | | | | | | | |
Euro STOXX 50 Futures | | | 15 | | | | 3/24 | | | $ | 748,097 | | | $ | 793,415 | | | $ | 45,318 | |
FTSE 100 Index Futures | | | 4 | | | | 3/24 | | | | 383,138 | | | | 385,107 | | | | 1,969 | |
SPI 200 Index Futures | | | 2 | | | | 3/24 | | | | 245,647 | | | | 248,931 | | | | 3,284 | |
TOPIX Index Futures | | | 1 | | | | 3/24 | | | | 157,427 | | | | 178,835 | | | | 21,408 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | 71,979 | |
| | | | | | | | | | | | | | | | | | | | |
At February 29, 2024, International Equity Fund had deposited cash of $105,092 with a broker or brokers as margin collateral on 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.
101
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| COMMON STOCKS — 96.4% | |
|
| Brazil — 6.1% | |
| | 107,833 | | | Ambev SA | | $ | 272,896 | |
| | 15,076 | | | Atacadao SA | | | 36,667 | |
| | 846,326 | | | B3 SA — Brasil Bolsa Balcao | | | 2,184,386 | |
| | 35,894 | | | Banco Bradesco SA | | | 88,816 | |
| | 27,069 | | | Banco BTG Pactual SA | | | 198,161 | |
| | 192,182 | | | Banco do Brasil SA | | | 2,236,949 | |
| | 7,586 | | | Banco Santander Brasil SA | | | 43,646 | |
| | 301,992 | | | BB Seguridade Participacoes SA | | | 2,025,471 | |
| | 7,319 | | | Caixa Seguridade Participacoes SA | | | 21,158 | |
| | 356,847 | | | CCR SA | | | 989,228 | |
| | 28,032 | | | Centrais Eletricas Brasileiras SA | | | 245,306 | |
| | 7,979 | | | Cia de Saneamento Basico do Estado de Sao Paulo SABESP | | | 127,063 | |
| | 13,971 | | | Cia Siderurgica Nacional SA | | | 47,274 | |
| | 741,998 | | | Cosan SA | | | 2,537,562 | |
| | 4,539 | | | CPFL Energia SA | | | 32,315 | |
| | 5,554 | | | Energisa SA | | | 56,804 | |
| | 21,442 | | | Eneva SA* | | | 55,342 | |
| | 78,912 | | | Engie Brasil Energia SA | | | 667,059 | |
| | 23,918 | | | Equatorial Energia SA | | | 164,461 | |
| | 139,945 | | | Fleury SA | | | 447,912 | |
| | 109,708 | | | Hapvida Participacoes e Investimentos SA*(a) | | | 80,997 | |
| | 8,586 | | | Hypera SA | | | 56,792 | |
| | 17,130 | | | JBS SA | | | 79,466 | |
| | 623,500 | | | JSL SA | | | 1,487,600 | |
| | 18,403 | | | Klabin SA | | | 83,557 | |
| | 20,216 | | | Localiza Rent a Car SA | | | 215,544 | |
| | 72 | | | Localiza Rent a Car SA* | | | 758 | |
| | 22,790 | | | Lojas Renner SA | | | 72,438 | |
| | 66,160 | | | Magazine Luiza SA* | | | 28,349 | |
| | 365,500 | | | Movida Participacoes SA | | | 627,193 | |
| | 19,733 | | | Natura & Co. Holding SA* | | | 64,746 | |
| | 47,600 | | | NU Holdings Ltd., Class A Shares* | | | 527,408 | |
| | 442,490 | | | Odontoprev SA | | | 1,072,644 | |
| | 83,952 | | | Petroleo Brasileiro SA | | | 696,152 | |
| | 101,293 | | | Petróleo Brasileiro SA, ADR | | | 1,673,360 | |
| | 18,960 | | | PRIO SA | | | 166,719 | |
| | 29,394 | | | Raia Drogasil SA | | | 157,528 | |
| | 38,686 | | | Rede D’Or Sao Luiz SA(a) | | | 197,053 | |
| | 29,221 | | | Rumo SA | | | 133,557 | |
| | 31,594 | | | Sendas Distribuidora SA | | | 90,252 | |
| | 17,164 | | | Suzano SA | | | 194,571 | |
| | 18,442 | | | TIM SA | | | 67,410 | |
| | 12,300 | | | TOTVS SA | | | 75,939 | |
| | 16,567 | | | Ultrapar Participações SA | | | 97,851 | |
| | 76,720 | | | Vale SA | | | 1,033,912 | |
| | 65,226 | | | Vale SA, Class B Shares, ADR | | | 874,681 | |
| | 520,800 | | | Vamos Locacao de Caminhoes Maquinas e Equipamentos SA | | | 914,640 | |
| | 222,323 | | | Vibra Energia SA | | | 1,156,586 | |
| | 346,439 | | | WEG SA | | | 2,557,051 | |
| | | | | | | | |
| | | | Total Brazil | | | 26,963,230 | |
| | | | | | | | |
|
| Chile — 1.0% | |
| | 145,279 | | | Antofagasta PLC | | | 3,337,402 | |
| | 1,063,451 | | | Banco de Chile | | | 123,291 | |
| | 1,424 | | | Banco de Credito e Inversiones SA | | | 39,504 | |
See Notes to Financial Statements.
102
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| Chile — 1.0% — (continued) | |
| | 1,469,702 | | | Banco Santander Chile | | $ | 71,472 | |
| | 33,447 | | | Cencosud SA | | | 60,069 | |
| | 448,463 | | | Cia Sud Americana de Vapores SA | | | 31,312 | |
| | 23,513 | | | Empresas CMPC SA | | | 41,742 | |
| | 9,413 | | | Empresas COPEC SA | | | 60,411 | |
| | 473,707 | | | Enel Americas SA | | | 48,299 | |
| | 564,409 | | | Enel Chile SA | | | 33,903 | |
| | 23,830 | | | Falabella SA* | | | 60,435 | |
| | 3,807,181 | | | Latam Airlines Group SA* | | | 47,882 | |
| | 14,044 | | | Sociedad Quimica y Minera de Chile SA, ADR(b) | | | 698,268 | |
| | | | | | | | |
| | | | Total Chile | | | 4,653,990 | |
| | | | | | | | |
|
| China — 20.9% | |
| | 9,300 | | | 360 Security Technology Inc., Class A Shares* | | | 11,245 | |
| | 3,900 | | | 37 Interactive Entertainment Network Technology Group Co., Ltd., Class A Shares | | | 10,551 | |
| | 20,000 | | | AAC Technologies Holdings Inc. | | | 49,564 | |
| | 794 | | | Advanced Micro-Fabrication Equipment Inc., Class A Shares | | | 16,129 | |
| | 3,000 | | | AECC Aviation Power Co., Ltd., Class A Shares | | | 14,330 | |
| | 111,800 | | | Agricultural Bank of China Ltd., Class A Shares | | | 64,978 | |
| | 612,000 | | | Agricultural Bank of China Ltd., Class H Shares(c) | | | 251,897 | |
| | 11,877 | | | Aier Eye Hospital Group Co., Ltd., Class A Shares | | | 24,150 | |
| | 13,600 | | | Air China Ltd., Class A Shares* | | | 14,118 | |
| | 40,000 | | | Air China Ltd., Class H Shares*(c) | | | 21,480 | |
| | 11,000 | | | Akeso Inc.*(a) | | | 66,300 | |
| | 498,276 | | | Alibaba Group Holding Ltd. | | | 4,621,743 | |
| | 48,638 | | | Alibaba Group Holding Ltd., ADR | | | 3,600,671 | |
| | 31,400 | | | Aluminum Corp. of China Ltd., Class A Shares | | | 26,277 | |
| | 74,000 | | | Aluminum Corp. of China Ltd., Class H Shares(c) | | | 36,949 | |
| | 351 | | | Amlogic Shanghai Co., Ltd., Class A Shares | | | 2,727 | |
| | 2,500 | | | Angel Yeast Co., Ltd., Class A Shares | | | 11,640 | |
| | 6,100 | | | Anhui Conch Cement Co., Ltd., Class A Shares | | | 20,266 | |
| | 354,837 | | | Anhui Conch Cement Co., Ltd., Class H Shares(c) | | | 776,501 | |
| | 1,000 | | | Anhui Gujing Distillery Co., Ltd., Class A Shares | | | 30,416 | |
| | 2,300 | | | Anhui Gujing Distillery Co., Ltd., Class B Shares | | | 32,563 | |
| | 200 | | | Anhui Yingjia Distillery Co., Ltd., Class A Shares | | | 1,766 | |
| | 600 | | | Anjoy Foods Group Co., Ltd., Class A Shares | | | 7,276 | |
| | 28,800 | | | ANTA Sports Products Ltd. | | | 282,130 | |
| | 700 | | | Asymchem Laboratories Tianjin Co., Ltd., Class A Shares | | | 9,892 | |
| | 1,342 | | | Autohome Inc., ADR | | | 34,879 | |
| | 3,600 | | | Avary Holding Shenzhen Co., Ltd., Class A Shares | | | 10,532 | |
| | 8,199 | | | AVIC Industry-Finance Holdings Co., Ltd., Class A Shares | | | 3,786 | |
| | 44,000 | | | AviChina Industry & Technology Co., Ltd., Class H Shares(c) | | | 18,062 | |
| | 2,200 | | | AVICOPTER PLC, Class A Shares | | | 11,120 | |
| | 16,800 | | | BAIC BluePark New Energy Technology Co., Ltd., Class A Shares* | | | 13,873 | |
| | 3,500 | | | Baidu Inc., ADR* | | | 354,655 | |
| | 50,918 | | | Baidu Inc., Class A Shares* | | | 646,245 | |
| | 19,200 | | | Bank of Beijing Co., Ltd., Class A Shares | | | 13,797 | |
| | 16,600 | | | Bank of Changsha Co., Ltd., Class A Shares | | | 17,909 | |
| | 4,000 | | | Bank of Chengdu Co., Ltd., Class A Shares | | | 7,330 | |
| | 54,930 | | | Bank of China Ltd., Class A Shares | | | 34,079 | |
| | 1,788,000 | | | Bank of China Ltd., Class H Shares(c) | | | 705,634 | |
| | 54,100 | | | Bank of Communications Co., Ltd., Class A Shares | | | 47,050 | |
| | 180,000 | | | Bank of Communications Co., Ltd., Class H Shares(c) | | | 117,918 | |
| | 14,800 | | | Bank of Hangzhou Co., Ltd., Class A Shares | | | 22,757 | |
| | 35,590 | | | Bank of Jiangsu Co., Ltd., Class A Shares | | | 37,881 | |
| | 16,600 | | | Bank of Nanjing Co., Ltd., Class A Shares | | | 20,140 | |
See Notes to Financial Statements.
103
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| China — 20.9% — (continued) | |
| | 8,290 | | | Bank of Ningbo Co., Ltd., Class A Shares | | $ | 25,552 | |
| | 29,640 | | | Bank of Shanghai Co., Ltd., Class A Shares | | | 26,827 | |
| | 30,184 | | | Baoshan Iron & Steel Co., Ltd., Class A Shares | | | 27,940 | |
| | 14,900 | | | Beijing Dabeinong Technology Group Co., Ltd., Class A Shares | | | 10,883 | |
| | 687 | | | Beijing Kingsoft Office Software Inc., Class A Shares | | | 25,860 | |
| | 2,000 | | | Beijing New Building Materials PLC, Class A Shares | | | 7,796 | |
| | 2,600 | | | Beijing Tongrentang Co., Ltd., Class A Shares | | | 16,057 | |
| | 1,218 | | | Beijing Wantai Biological Pharmacy Enterprise Co., Ltd., Class A Shares | | | 12,386 | |
| | 79,200 | | | Beijing-Shanghai High Speed Railway Co., Ltd., Class A Shares | | | 55,504 | |
| | 4,607 | | | Bilibili Inc., Class Z Shares* | | | 44,732 | |
| | 38,300 | | | BOE Technology Group Co., Ltd., Class A Shares | | | 21,208 | |
| | 2,800 | | | BYD Co., Ltd., Class A Shares | | | 73,923 | |
| | 34,500 | | | BYD Co., Ltd., Class H Shares(c) | | | 849,076 | |
| | 17,000 | | | BYD Electronic International Co., Ltd. | | | 64,000 | |
| | 639 | | | Cambricon Technologies Corp., Ltd., Class A Shares* | | | 14,871 | |
| | 1,820 | | | Canmax Technologies Co., Ltd., Class A Shares | | | 5,791 | |
| | 254,000 | | | CGN Power Co., Ltd., Class H Shares(a)(c) | | | 77,223 | |
| | 600 | | | Changchun High & New Technology Industry Group Inc., Class A Shares | | | 10,700 | |
| | 1,100 | | | Changjiang Securities Co., Ltd., Class A Shares | | | 840 | |
| | 3,900 | | | Chaozhou Three-Circle Group Co., Ltd., Class A Shares | | | 13,759 | |
| | 2,300 | | | Chengxin Lithium Group Co., Ltd., Class A Shares | | | 7,009 | |
| | 2,800 | | | China Baoan Group Co., Ltd., Class A Shares | | | 4,603 | |
| | 255,000 | | | China Cinda Asset Management Co., Ltd., Class H Shares(c) | | | 24,476 | |
| | 203,000 | | | China CITIC Bank Corp., Ltd., Class H Shares(c) | | | 108,204 | |
| | 43,000 | | | China Coal Energy Co., Ltd., Class H Shares(c) | | | 46,452 | |
| | 54,000 | | | China Communications Services Corp., Ltd., Class H Shares(c) | | | 22,982 | |
| | 21,100 | | | China Construction Bank Corp., Class A Shares | | | 20,496 | |
| | 5,729,224 | | | China Construction Bank Corp., Class H Shares(c) | | | 3,541,745 | |
| | 6,200 | | | China CSSC Holdings Ltd., Class A Shares | | | 30,546 | |
| | 27,298 | | | China Eastern Airlines Corp., Ltd., Class A Shares* | | | 14,447 | |
| | 47,400 | | | China Energy Engineering Corp., Ltd., Class A Shares | | | 14,340 | |
| | 91,612 | | | China Everbright Bank Co., Ltd., Class A Shares | | | 40,902 | |
| | 52,000 | | | China Everbright Bank Co., Ltd., Class H Shares(c) | | | 16,276 | |
| | 92,000 | | | China Feihe Ltd.(a) | | | 45,872 | |
| | 12,000 | | | China Galaxy Securities Co., Ltd., Class A Shares | | | 20,248 | |
| | 62,000 | | | China Galaxy Securities Co., Ltd., Class H Shares(c) | | | 32,677 | |
| | 10,800 | | | China Greatwall Technology Group Co., Ltd., Class A Shares | | | 15,581 | |
| | 53,000 | | | China Hongqiao Group Ltd. | | | 41,113 | |
| | 3,100 | | | China International Capital Corp., Ltd., Class A Shares | | | 15,023 | |
| | 34,000 | | | China International Capital Corp., Ltd., Class H Shares(a)(c) | | | 42,791 | |
| | 7,200 | | | China Jushi Co., Ltd., Class A Shares | | | 10,012 | |
| | 5,300 | | | China Life Insurance Co., Ltd., Class A Shares | | | 22,308 | |
| | 160,000 | | | China Life Insurance Co., Ltd., Class H Shares(c) | | | 196,476 | |
| | 8,800 | | | China Literature Ltd.*(a) | | | 27,051 | |
| | 80,000 | | | China Longyuan Power Group Corp., Ltd., Class H Shares(c) | | | 56,482 | |
| | 68,000 | | | China Mengniu Dairy Co., Ltd.* | | | 170,802 | |
| | 28,600 | | | China Merchants Bank Co., Ltd., Class A Shares | | | 126,837 | |
| | 908,391 | | | China Merchants Bank Co., Ltd., Class H Shares(c) | | | 3,528,745 | |
| | 17,000 | | | China Merchants Energy Shipping Co., Ltd., Class A Shares | | | 16,978 | |
| | 9,230 | | | China Merchants Securities Co., Ltd., Class A Shares | | | 18,066 | |
| | 6,520 | | | China Merchants Shekou Industrial Zone Holdings Co., Ltd., Class A Shares | | | 8,528 | |
| | 55,920 | | | China Minsheng Banking Corp., Ltd., Class A Shares | | | 31,338 | |
| | 116,200 | | | China Minsheng Banking Corp., Ltd., Class H Shares(c) | | | 40,968 | |
| | 78,000 | | | China National Building Material Co., Ltd., Class H Shares(c) | | | 29,432 | |
| | 34,000 | | | China National Nuclear Power Co., Ltd., Class A Shares | | | 40,962 | |
| | 2,470 | | | China National Software & Service Co., Ltd., Class A Shares | | | 10,980 | |
See Notes to Financial Statements.
104
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| China — 20.9% — (continued) | |
| | 5,200 | | | China Northern Rare Earth Group High-Tech Co., Ltd., Class A Shares | | $ | 13,601 | |
| | 44,000 | | | China Oilfield Services Ltd., Class H Shares(c) | | | 38,805 | |
| | 6,900 | | | China Pacific Insurance Group Co., Ltd., Class A Shares | | | 24,531 | |
| | 59,600 | | | China Pacific Insurance Group Co., Ltd., Class H Shares(c) | | | 113,354 | |
| | 43,800 | | | China Petroleum & Chemical Corp., Class A Shares | | | 37,996 | |
| | 568,000 | | | China Petroleum & Chemical Corp., Class H Shares(c) | | | 314,624 | |
| | 27,800 | | | China Railway Group Ltd., Class A Shares | | | 24,499 | |
| | 93,000 | | | China Railway Group Ltd., Class H Shares(c) | | | 45,404 | |
| | 22,980 | | | China Railway Signal & Communication Corp., Ltd., Class A Shares | | | 15,563 | |
| | 4,498 | | | China Resources Microelectronics Ltd., Class A Shares | | | 26,623 | |
| | 14,000 | | | China Resources Mixc Lifestyle Services Ltd.(a) | | | 42,675 | |
| | 44,500 | | | China Resources Pharmaceutical Group Ltd.(a) | | | 30,039 | |
| | 400 | | | China Resources Sanjiu Medical & Pharmaceutical Co., Ltd., Class A Shares | | | 3,052 | |
| | 10,099 | | | China Shenhua Energy Co., Ltd., Class A Shares | | | 54,127 | |
| | 238,500 | | | China Shenhua Energy Co., Ltd., Class H Shares(c) | | | 922,503 | |
| | 20,400 | | | China Southern Airlines Co., Ltd., Class A Shares* | | | 16,761 | |
| | 57,440 | | | China State Construction Engineering Corp., Ltd., Class A Shares | | | 42,647 | |
| | 41,600 | | | China Three Gorges Renewables Group Co., Ltd., Class A Shares | | | 26,672 | |
| | 2,535 | | | China Tourism Group Duty Free Corp., Ltd., Class A Shares | | | 30,445 | |
| | 1,800 | | | China Tourism Group Duty Free Corp., Ltd., Class H Shares(a)(c) | | | 17,710 | |
| | 1,048,000 | | | China Tower Corp., Ltd., Class H Shares(a)(c) | | | 127,255 | |
| | 40,000 | | | China United Network Communications Ltd., Class A Shares | | | 26,658 | |
| | 15,600 | | | China Vanke Co., Ltd., Class A Shares | | | 21,737 | |
| | 503,295 | | | China Vanke Co., Ltd., Class H Shares(c) | | | 390,393 | |
| | 31,600 | | | China Yangtze Power Co., Ltd., Class A Shares | | | 109,834 | |
| | 1,200 | | | China Zhenhua Group Science & Technology Co., Ltd., Class A Shares | | | 9,501 | |
| | 52,390 | | | China Zheshang Bank Co., Ltd., Class A Shares | | | 20,217 | |
| | 1,800 | | | Chongqing Brewery Co., Ltd., Class A Shares | | | 16,363 | |
| | 8,682 | | | Chongqing Changan Automobile Co., Ltd., Class A Shares | | | 17,822 | |
| | 3,000 | | | Chongqing Zhifei Biological Products Co., Ltd., Class A Shares | | | 22,232 | |
| | 132,000 | | | CITIC Ltd. | | | 132,899 | |
| | 17,365 | | | CITIC Securities Co., Ltd., Class A Shares | | | 51,330 | |
| | 36,925 | | | CITIC Securities Co., Ltd., Class H Shares(c) | | | 68,502 | |
| | 26,600 | | | CMOC Group Ltd., Class A Shares | | | 22,703 | |
| | 75,000 | | | CMOC Group Ltd., Class H Shares(c) | | | 46,421 | |
| | 1,300 | | | CNGR Advanced Material Co., Ltd., Class A Shares | | | 8,560 | |
| | 16,100 | | | CNPC Capital Co., Ltd., Class A Shares | | | 13,854 | |
| | 74,180 | | | Contemporary Amperex Technology Co., Ltd., Class A Shares | | | 1,683,389 | |
| | 45,800 | | | COSCO SHIPPING Development Co., Ltd., Class A Shares | | | 15,637 | |
| | 5,300 | | | COSCO Shipping Energy Transportation Co., Ltd., Class A Shares | | | 10,127 | |
| | 32,000 | | | COSCO Shipping Energy Transportation Co., Ltd., Class H Shares(c) | | | 30,210 | |
| | 20,720 | | | COSCO SHIPPING Holdings Co., Ltd., Class A Shares | | | 30,140 | |
| | 63,750 | | | COSCO SHIPPING Holdings Co., Ltd., Class H Shares(c) | | | 68,607 | |
| | 268,000 | | | Country Garden Holdings Co., Ltd.* | | | 21,990 | |
| | 52,000 | | | Country Garden Services Holdings Co., Ltd. | | | 39,592 | |
| | 51,400 | | | CRRC Corp., Ltd., Class A Shares | | | 45,508 | |
| | 76,000 | | | CRRC Corp., Ltd., Class H Shares(c) | | | 39,232 | |
| | 8,700 | | | CSC Financial Co., Ltd., Class A Shares | | | 28,009 | |
| | 2,400 | | | CSPC Innovation Pharmaceutical Co., Ltd., Class A Shares | | | 11,402 | |
| | 205,120 | | | CSPC Pharmaceutical Group Ltd. | | | 159,788 | |
| | 21,700 | | | Daqin Railway Co., Ltd., Class A Shares | | | 22,472 | |
| | 3,283 | | | DaShenLin Pharmaceutical Group Co., Ltd., Class A Shares | | | 10,804 | |
| | 600 | | | Dongfang Electric Corp., Ltd., Class A Shares | | | 1,362 | |
| | 62,000 | | | Dongfeng Motor Group Co., Ltd., Class H Shares(c) | | | 26,555 | |
| | 10,000 | | | East Buy Holding Ltd.*(a)(b) | | | 30,832 | |
| | 19,025 | | | East Money Information Co., Ltd., Class A Shares | | | 37,071 | |
See Notes to Financial Statements.
105
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| China — 20.9% — (continued) | |
| | 600 | | | Eastroc Beverage Group Co., Ltd., Class A Shares | | $ | 14,904 | |
| | 900 | | | Ecovacs Robotics Co., Ltd., Class A Shares | | | 4,663 | |
| | 18,600 | | | ENN Energy Holdings Ltd. | | | 153,122 | |
| | 246,799 | | | ENN Natural Gas Co., Ltd., Class A Shares | | | 640,373 | |
| | 2,000 | | | Eoptolink Technology Inc. Ltd., Class A Shares | | | 16,666 | |
| | 2,581 | | | Eve Energy Co., Ltd., Class A Shares | | | 13,734 | |
| | 7,300 | | | Everbright Securities Co., Ltd., Class A Shares | | | 17,120 | |
| | 4,000 | | | Flat Glass Group Co., Ltd., Class A Shares | | | 12,102 | |
| | 10,000 | | | Flat Glass Group Co., Ltd., Class H Shares(c) | | | 18,553 | |
| | 20,800 | | | Focus Media Information Technology Co., Ltd., Class A Shares | | | 18,189 | |
| | 5,686 | | | Foshan Haitian Flavouring & Food Co., Ltd., Class A Shares | | | 32,088 | |
| | 53,500 | | | Fosun International Ltd. | | | 30,903 | |
| | 17,700 | | | Founder Securities Co., Ltd., Class A Shares | | | 18,734 | |
| | 15,000 | | | Foxconn Industrial Internet Co., Ltd., Class A Shares | | | 38,939 | |
| | 587,000 | | | Fu Shou Yuan International Group Ltd. | | | 384,098 | |
| | 104,800 | | | Full Truck Alliance Co., Ltd., ADR* | | | 691,680 | |
| | 4,100 | | | Fuyao Glass Industry Group Co., Ltd., Class A Shares | | | 24,633 | |
| | 13,600 | | | Fuyao Glass Industry Group Co., Ltd., Class H Shares(a)(c) | | | 68,227 | |
| | 3,220 | | | Ganfeng Lithium Group Co., Ltd., Class A Shares | | | 17,914 | |
| | 8,120 | | | Ganfeng Lithium Group Co., Ltd., Class H Shares(a)(c) | | | 26,852 | |
| | 21,800 | | | GD Power Development Co., Ltd., Class A Shares | | | 14,163 | |
| | 15,100 | | | GEM Co., Ltd., Class A Shares | | | 11,237 | |
| | 26,000 | | | Genscript Biotech Corp.* | | | 52,628 | |
| | 9,000 | | | GF Securities Co., Ltd., Class A Shares | | | 17,720 | |
| | 16,800 | | | GF Securities Co., Ltd., Class H Shares(c) | | | 18,119 | |
| | 5,700 | | | Giant Network Group Co., Ltd., Class A Shares | | | 8,903 | |
| | 924 | | | Gigadevice Semiconductor Inc., Class A Shares | | | 9,395 | |
| | 4,300 | | | GoerTek Inc., Class A Shares | | | 9,937 | |
| | 2,700 | | | Goldwind Science & Technology Co., Ltd., Class A Shares | | | 2,864 | |
| | 1,100 | | | Goneo Group Co., Ltd., Class A Shares | | | 15,573 | |
| | 2,000 | | | Gotion High-tech Co., Ltd., Class A Shares* | | | 5,500 | |
| | 4,100 | | | Great Wall Motor Co., Ltd., Class A Shares | | | 13,318 | |
| | 55,500 | | | Great Wall Motor Co., Ltd., Class H Shares(c) | | | 62,892 | |
| | 222,600 | | | Gree Electric Appliances Inc. of Zhuhai, Class A Shares | | | 1,204,707 | |
| | 2,200 | | | Guangdong Haid Group Co., Ltd., Class A Shares | | | 13,165 | |
| | 7,700 | | | Guanghui Energy Co., Ltd., Class A Shares | | | 8,003 | |
| | 88,000 | | | Guangzhou Automobile Group Co., Ltd., Class H Shares(c) | | | 38,138 | |
| | 2,600 | | | Guangzhou Baiyunshan Pharmaceutical Holdings Co., Ltd., Class A Shares | | | 10,673 | |
| | 7,900 | | | Guangzhou Haige Communications Group Inc. Co., Class A Shares | | | 12,675 | |
| | 1,100 | | | Guangzhou Kingmed Diagnostics Group Co., Ltd., Class A Shares | | | 9,205 | |
| | 600 | | | Guangzhou Shiyuan Electronic Technology Co., Ltd., Class A Shares | | | 3,268 | |
| | 3,220 | | | Guangzhou Tinci Materials Technology Co., Ltd., Class A Shares | | | 9,229 | |
| | 9,400 | | | Guosen Securities Co., Ltd., Class A Shares | | | 11,263 | |
| | 16,600 | | | Guotai Junan Securities Co., Ltd., Class A Shares | | | 34,777 | |
| | 5,900 | | | Guoyuan Securities Co., Ltd., Class A Shares | | | 5,719 | |
| | 5,279 | | | H World Group Ltd., ADR | | | 193,000 | |
| | 35,000 | | | Haidilao International Holding Ltd.(a) | | | 63,865 | |
| | 7,300 | | | Haier Smart Home Co., Ltd., Class A Shares | | | 24,404 | |
| | 52,400 | | | Haier Smart Home Co., Ltd., Class H Shares(c) | | | 159,624 | |
| | 70,600 | | | Hainan Airlines Holding Co., Ltd., Class A Shares* | | | 14,013 | |
| | 29,200 | | | Hainan Airport Infrastructure Co., Ltd., Class A Shares* | | | 15,157 | |
| | 16,000 | | | Haitian International Holdings Ltd. | | | 40,432 | |
| | 9,300 | | | Haitong Securities Co., Ltd., Class A Shares | | | 11,797 | |
| | 67,200 | | | Haitong Securities Co., Ltd., Class H Shares(c) | | | 33,432 | |
| | 700 | | | Hangzhou Binjiang Real Estate Group Co., Ltd., Class A Shares | | | 734 | |
| | 3,528 | | | Hangzhou First Applied Material Co., Ltd., Class A Shares | | | 13,639 | |
See Notes to Financial Statements.
106
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| China — 20.9% — (continued) | |
| | 2,700 | | | Hangzhou Silan Microelectronics Co., Ltd., Class A Shares | | $ | 7,832 | |
| | 400 | | | Hangzhou Tigermed Consulting Co., Ltd., Class A Shares | | | 2,505 | |
| | 28,000 | | | Hansoh Pharmaceutical Group Co., Ltd.(a) | | | 49,448 | |
| | 1,600 | | | Henan Shenhuo Coal & Power Co., Ltd., Class A Shares | | | 4,104 | |
| | 5,300 | | | Henan Shuanghui Investment & Development Co., Ltd., Class A Shares | | | 21,490 | |
| | 280,500 | | | Hengan International Group Co., Ltd. | | | 867,868 | |
| | 10,778 | | | Hengli Petrochemical Co., Ltd., Class A Shares* | | | 18,990 | |
| | 8,200 | | | Hengtong Optic-electric Co., Ltd., Class A Shares | | | 13,930 | |
| | 2,990 | | | Hengyi Petrochemical Co., Ltd., Class A Shares* | | | 2,871 | |
| | 699 | | | Hithink RoyalFlush Information Network Co., Ltd., Class A Shares | | | 13,300 | |
| | 14,100 | | | HLA Group Corp., Ltd., Class A Shares | | | 16,863 | |
| | 900 | | | Hoshine Silicon Industry Co., Ltd., Class A Shares | | | 6,622 | |
| | 12,000 | | | Hua Hong Semiconductor Ltd.*(a) | | | 25,825 | |
| | 18,400 | | | Huadian Power International Corp., Ltd., Class A Shares | | | 15,805 | |
| | 1,694 | | | Huadong Medicine Co., Ltd., Class A Shares | | | 7,878 | |
| | 15,100 | | | Huafon Chemical Co., Ltd., Class A Shares | | | 14,293 | |
| | 3,500 | | | Huagong Tech Co., Ltd., Class A Shares | | | 15,317 | |
| | 2,260 | | | Hualan Biological Engineering Inc., Class A Shares | | | 6,168 | |
| | 22,500 | | | Huaneng Power International Inc., Class A Shares* | | | 27,541 | |
| | 82,000 | | | Huaneng Power International Inc., Class H Shares*(c) | | | 46,135 | |
| | 7,200 | | | Huatai Securities Co., Ltd., Class A Shares | | | 14,538 | |
| | 35,800 | | | Huatai Securities Co., Ltd., Class H Shares(a)(c) | | | 42,263 | |
| | 10,500 | | | Huaxia Bank Co., Ltd., Class A Shares | | | 9,238 | |
| | 323,799 | | | Huayu Automotive Systems Co., Ltd., Class A Shares | | | 785,934 | |
| | 1,000 | | | Huizhou Desay Sv Automotive Co., Ltd., Class A Shares | | | 14,241 | |
| | 3,200 | | | Humanwell Healthcare Group Co., Ltd., Class A Shares | | | 9,771 | |
| | 3,785 | | | Hundsun Technologies Inc., Class A Shares | | | 12,830 | |
| | 7,200 | | | Hygeia Healthcare Holdings Co., Ltd.(a) | | | 27,105 | |
| | 3,242 | | | Hygon Information Technology Co., Ltd., Class A Shares | | | 38,138 | |
| | 1,100 | | | IEIT Systems Co., Ltd., Class A Shares | | | 5,711 | |
| | 3,900 | | | Iflytek Co., Ltd., Class A Shares | | | 26,747 | |
| | 400 | | | Imeik Technology Development Co., Ltd., Class A Shares | | | 18,152 | |
| | 86,700 | | | Industrial & Commercial Bank of China Ltd., Class A Shares | | | 64,104 | |
| | 1,471,000 | | | Industrial & Commercial Bank of China Ltd., Class H Shares(c) | | | 760,023 | |
| | 31,400 | | | Industrial Bank Co., Ltd., Class A Shares | | | 72,559 | |
| | 19,760 | | | Industrial Securities Co., Ltd., Class A Shares | | | 15,942 | |
| | 800 | | | Ingenic Semiconductor Co., Ltd., Class A Shares | | | 7,278 | |
| | 62,900 | | | Inner Mongolia BaoTou Steel Union Co., Ltd., Class A Shares* | | | 13,465 | |
| | 7,700 | | | Inner Mongolia Dian Tou Energy Corp., Ltd., Class A Shares | | | 17,700 | |
| | 16,300 | | | Inner Mongolia Junzheng Energy & Chemical Industry Group Co., Ltd., Class A Shares | | | 8,764 | |
| | 8,700 | | | Inner Mongolia Yili Industrial Group Co., Ltd., Class A Shares | | | 34,247 | |
| | 29,900 | | | Inner Mongolia Yitai Coal Co., Ltd., Class B Shares | | | 60,154 | |
| | 26,500 | | | Innovent Biologics Inc.*(a) | | | 143,676 | |
| | 9,276 | | | iQIYI Inc., ADR* | | | 34,228 | |
| | 2,200 | | | Isoftstone Information Technology Group Co., Ltd., Class A Shares* | | | 13,787 | |
| | 4,116 | | | JA Solar Technology Co., Ltd., Class A Shares | | | 10,739 | |
| | 2,600 | | | Jason Furniture Hangzhou Co., Ltd., Class A Shares | | | 13,501 | |
| | 4,000 | | | JCET Group Co., Ltd., Class A Shares | | | 14,560 | |
| | 26,000 | | | JD Health International Inc.*(a) | | | 99,211 | |
| | 45,200 | | | JD Logistics Inc.*(a) | | | 44,652 | |
| | 69,935 | | | JD.com Inc., ADR | | | 1,581,930 | |
| | 97,594 | | | JD.com Inc., Class A Shares | | | 1,104,384 | |
| | 7,400 | | | Jiangsu Eastern Shenghong Co., Ltd., Class A Shares | | | 10,788 | |
| | 24,000 | | | Jiangsu Expressway Co., Ltd., Class H Shares(c) | | | 24,672 | |
| | 1,948 | | | Jiangsu Hengli Hydraulic Co., Ltd., Class A Shares | | | 15,358 | |
| | 10,301 | | | Jiangsu Hengrui Pharmaceuticals Co., Ltd., Class A Shares | | | 60,991 | |
See Notes to Financial Statements.
107
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| China — 20.9% — (continued) | |
| | 3,000 | | | Jiangsu King’s Luck Brewery JSC Ltd., Class A Shares | | $ | 22,357 | |
| | 1,000 | | | Jiangsu Pacific Quartz Co., Ltd., Class A Shares | | | 11,093 | |
| | 1,800 | | | Jiangsu Yanghe Brewery Joint-Stock Co., Ltd., Class A Shares | | | 25,233 | |
| | 1,430 | | | Jiangsu Yangnong Chemical Co., Ltd., Class A Shares | | | 10,876 | |
| | 3,200 | | | Jiangsu Yuyue Medical Equipment & Supply Co., Ltd., Class A Shares | | | 15,840 | |
| | 6,200 | | | Jiangsu Zhongtian Technology Co., Ltd., Class A Shares | | | 11,280 | |
| | 5,300 | | | Jiangxi Copper Co., Ltd., Class A Shares | | | 14,418 | |
| | 19,000 | | | Jiangxi Copper Co., Ltd., Class H Shares(c) | | | 28,371 | |
| | 9,597 | | | Jinko Solar Co., Ltd., Class A Shares | | | 11,777 | |
| | 800 | | | JiuGui Liquor Co., Ltd., Class A Shares | | | 6,790 | |
| | 6,800 | | | Joincare Pharmaceutical Group Industry Co., Ltd., Class A Shares | | | 11,401 | |
| | 2,130 | | | Jointown Pharmaceutical Group Co., Ltd., Class A Shares | | | 2,408 | |
| | 2,200 | | | Jonjee Hi-Tech Industrial And Commercial Holding Co., Ltd., Class A Shares* | | | 7,729 | |
| | 1,268 | | | Kangmei Pharmaceutical Co., Ltd., Class A Shares*#(d) | | | 2 | |
| | 5,567 | | | Kanzhun Ltd., ADR | | | 87,124 | |
| | 74,752 | | | KE Holdings Inc., ADR | | | 1,015,880 | |
| | 66,000 | | | Kingdee International Software Group Co., Ltd.* | | | 71,543 | |
| | 22,400 | | | Kingsoft Corp., Ltd. | | | 62,496 | |
| | 52,800 | | | Kuaishou Technology, Class B Shares*(a) | | | 301,225 | |
| | 2,800 | | | Kunlun Tech Co., Ltd., Class A Shares* | | | 15,526 | |
| | 1,788 | | | Kweichow Moutai Co., Ltd., Class A Shares | | | 420,733 | |
| | 1,714,000 | | | Lenovo Group Ltd. | | | 1,904,439 | |
| | 9,000 | | | Lens Technology Co., Ltd., Class A Shares | | | 15,127 | |
| | 4,500 | | | Lepu Medical Technology Beijing Co., Ltd., Class A Shares | | | 9,425 | |
| | 26,006 | | | Li Auto Inc., Class A Shares* | | | 594,255 | |
| | 56,000 | | | Li Ning Co., Ltd. | | | 140,007 | |
| | 70,500 | | | Liaoning Port Co., Ltd., Class A Shares | | | 14,491 | |
| | 14,500 | | | Lingyi iTech Guangdong Co., Class A Shares | | | 11,064 | |
| | 3,100 | | | Livzon Pharmaceutical Group Inc., Class A Shares | | | 16,560 | |
| | 39,500 | | | Longfor Group Holdings Ltd.(a) | | | 49,546 | |
| | 9,072 | | | LONGi Green Energy Technology Co., Ltd., Class A Shares | | | 26,741 | |
| | 11,038 | | | Luxshare Precision Industry Co., Ltd., Class A Shares | | | 42,276 | |
| | 2,000 | | | Luzhou Laojiao Co., Ltd., Class A Shares | | | 48,797 | |
| | 3,400 | | | Mango Excellent Media Co., Ltd., Class A Shares | | | 11,695 | |
| | 864 | | | Maxscend Microelectronics Co., Ltd., Class A Shares | | | 12,899 | |
| | 11,300 | | | Meihua Holdings Group Co., Ltd., Class A Shares | | | 16,939 | |
| | 9,480 | | | Meinian Onehealth Healthcare Holdings Co., Ltd., Class A Shares* | | | 7,343 | |
| | 325,983 | | | Meituan, Class B Shares*(a) | | | 3,307,960 | |
| | 36,900 | | | Metallurgical Corp. of China Ltd., Class A Shares | | | 16,995 | |
| | 144,600 | | | Midea Group Co., Ltd., Class A Shares | | | 1,254,475 | |
| | 4,300 | | | Ming Yang Smart Energy Group Ltd., Class A Shares | | | 6,094 | |
| | 8,716 | | | MINISO Group Holding Ltd. | | | 40,191 | |
| | 40,100 | | | MINISO Group Holding Ltd., ADR | | | 735,033 | |
| | 964,000 | | | Minth Group Ltd. | | | 1,641,363 | |
| | 1,749 | | | Montage Technology Co., Ltd., Class A Shares | | | 12,685 | |
| | 6,986 | | | Muyuan Foods Co., Ltd., Class A Shares | | | 37,314 | |
| | 4,680 | | | Nanjing King-Friend Biochemical Pharmaceutical Co., Ltd., Class A Shares | | | 9,300 | |
| | 10,195 | | | NARI Technology Co., Ltd., Class A Shares | | | 32,719 | |
| | 5,493 | | | National Silicon Industry Group Co., Ltd., Class A Shares* | | | 11,754 | |
| | 700 | | | NAURA Technology Group Co., Ltd., Class A Shares | | | 27,455 | |
| | 84,425 | | | NetEase Inc. | | | 1,819,852 | |
| | 5,803 | | | NetEase Inc., ADR | | | 626,260 | |
| | 2,400 | | | New China Life Insurance Co., Ltd., Class A Shares | | | 10,925 | |
| | 21,000 | | | New China Life Insurance Co., Ltd., Class H Shares(c) | | | 40,328 | |
| | 6,400 | | | New Hope Liuhe Co., Ltd., Class A Shares* | | | 7,880 | |
| | 33,010 | | | New Oriental Education & Technology Group Inc.* | | | 310,835 | |
See Notes to Financial Statements.
108
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| China — 20.9% — (continued) | |
| | 3,400 | | | Ninestar Corp., Class A Shares | | $ | 11,087 | |
| | 1,780 | | | Ningbo Deye Technology Co., Ltd., Class A Shares | | | 20,696 | |
| | 2,100 | | | Ningbo Orient Wires & Cables Co., Ltd., Class A Shares | | | 11,301 | |
| | 5,200 | | | Ningbo Shanshan Co., Ltd., Class A Shares | | | 8,261 | |
| | 800 | | | Ningbo Tuopu Group Co., Ltd., Class A Shares | | | 6,520 | |
| | 10,200 | | | Ningxia Baofeng Energy Group Co., Ltd., Class A Shares | | | 21,554 | |
| | 32,013 | | | NIO Inc., ADR*(b) | | | 184,075 | |
| | 43,200 | | | Nongfu Spring Co., Ltd., Class H Shares(a)(c) | | | 245,503 | |
| | 1,000 | | | Oppein Home Group Inc., Class A Shares | | | 9,595 | |
| | 14,464 | | | Orient Securities Co., Ltd., Class A Shares | | | 17,694 | |
| | 187,000 | | | People’s Insurance Co. Group of China Ltd. (The), Class H Shares(c) | | | 62,195 | |
| | 4,650 | | | Perfect World Co., Ltd., Class A Shares | | | 7,557 | |
| | 21,700 | | | PetroChina Co., Ltd., Class A Shares | | | 26,615 | |
| | 470,000 | | | PetroChina Co., Ltd., Class H Shares(c) | | | 371,331 | |
| | 2,025 | | | Pharmaron Beijing Co., Ltd., Class A Shares | | | 6,578 | |
| | 158,000 | | | PICC Property & Casualty Co., Ltd., Class H Shares(c) | | | 215,918 | |
| | 681,880 | | | Ping An Bank Co., Ltd., Class A Shares | | | 1,002,155 | |
| | 15,800 | | | Ping An Insurance Group Co. of China Ltd., Class A Shares | | | 94,070 | |
| | 834,000 | | | Ping An Insurance Group Co. of China Ltd., Class H Shares(c) | | | 3,714,401 | |
| | 18,000 | | | Poly Developments & Holdings Group Co., Ltd., Class A Shares | | | 24,419 | |
| | 8,800 | | | Pop Mart International Group Ltd.(a) | | | 22,057 | |
| | 45,300 | | | Postal Savings Bank of China Co., Ltd., Class A Shares | | | 30,427 | |
| | 183,000 | | | Postal Savings Bank of China Co., Ltd., Class H Shares(a)(c) | | | 96,628 | |
| | 22,300 | | | Power Construction Corp. of China Ltd., Class A Shares | | | 15,815 | |
| | 70,700 | | | Proya Cosmetics Co., Ltd., Class A Shares | | | 1,040,834 | |
| | 2,652 | | | Qifu Technology Inc., ADR | | | 40,973 | |
| | 8,300 | | | Qinghai Salt Lake Industry Co., Ltd., Class A Shares* | | | 18,621 | |
| | 4,000 | | | Range Intelligent Computing Technology Group Co., Ltd., Class A Shares | | | 14,318 | |
| | 11,850 | | | Rongsheng Petrochemical Co., Ltd., Class A Shares | | | 16,879 | |
| | 11,800 | | | SAIC Motor Corp., Ltd., Class A Shares | | | 24,498 | |
| | 1,400 | | | Sailun Group Co., Ltd., Class A Shares | | | 2,800 | |
| | 6,100 | | | Sanan Optoelectronics Co., Ltd., Class A Shares | | | 10,532 | |
| | 800 | | | Sangfor Technologies Inc., Class A Shares* | | | 7,039 | |
| | 24,000 | | | Sany Heavy Equipment International Holdings Co., Ltd. | | | 18,628 | |
| | 9,400 | | | Sany Heavy Industry Co., Ltd., Class A Shares | | | 18,186 | |
| | 7,247 | | | Satellite Chemical Co., Ltd., Class A Shares* | | | 16,686 | |
| | 14,700 | | | SDIC Power Holdings Co., Ltd., Class A Shares | | | 29,393 | |
| | 2,700 | | | Seres Group Co., Ltd., Class A Shares* | | | 34,279 | |
| | 7,700 | | | SF Holding Co., Ltd., Class A Shares | | | 40,826 | |
| | 975 | | | SG Micro Corp., Class A Shares | | | 9,585 | |
| | 16,700 | | | Shaanxi Coal Industry Co., Ltd., Class A Shares | | | 59,790 | |
| | 10,950 | | | Shan Xi Hua Yang Group New Energy Co., Ltd., Class A Shares | | | 15,377 | |
| | 5,600 | | | Shandong Gold Mining Co., Ltd., Class A Shares | | | 16,869 | |
| | 15,500 | | | Shandong Gold Mining Co., Ltd., Class H Shares(a)(c) | | | 24,701 | |
| | 2,250 | | | Shandong Hualu Hengsheng Chemical Co., Ltd., Class A Shares | | | 8,558 | |
| | 14,900 | | | Shandong Nanshan Aluminum Co., Ltd., Class A Shares | | | 6,414 | |
| | 6,800 | | | Shandong Sun Paper Industry JSC Ltd., Class A Shares | | | 13,429 | |
| | 62,400 | | | Shandong Weigao Group Medical Polymer Co., Ltd., Class H Shares(c) | | | 40,410 | |
| | 4,620 | | | Shanghai Aiko Solar Energy Co., Ltd., Class A Shares | | | 9,700 | |
| | 2,548 | | | Shanghai Bairun Investment Holding Group Co., Ltd., Class A Shares | | | 7,111 | |
| | 101,138 | | | Shanghai Baosight Software Co., Ltd., Class A Shares | | | 657,390 | |
| | 14,664 | | | Shanghai Baosight Software Co., Ltd., Class B Shares | | | 32,999 | |
| | 39,300 | | | Shanghai Electric Group Co., Ltd., Class A Shares* | | | 23,136 | |
| | 4,000 | | | Shanghai Fosun Pharmaceutical Group Co., Ltd., Class A Shares | | | 13,644 | |
| | 483,000 | | | Shanghai Fosun Pharmaceutical Group Co., Ltd., Class H Shares(c) | | | 871,134 | |
| | 163 | | | Shanghai Fudan Microelectronics Group Co., Ltd., Class A Shares | | | 835 | |
See Notes to Financial Statements.
109
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| China — 20.9% — (continued) | |
| | 2,000 | | | Shanghai International Airport Co., Ltd., Class A Shares* | | $ | 9,765 | |
| | 17,999 | | | Shanghai International Port Group Co., Ltd., Class A Shares | | | 13,571 | |
| | 2,700 | | | Shanghai Jinjiang International Hotels Co., Ltd., Class A Shares | | | 10,831 | |
| | 2,473 | | | Shanghai Junshi Biosciences Co., Ltd., Class A Shares* | | | 10,780 | |
| | 2,200 | | | Shanghai M&G Stationery Inc., Class A Shares | | | 10,876 | |
| | 2,700 | | | Shanghai Pharmaceuticals Holding Co., Ltd., Class A Shares | | | 6,793 | |
| | 16,800 | | | Shanghai Pharmaceuticals Holding Co., Ltd., Class H Shares(c) | | | 27,039 | |
| | 40,200 | | | Shanghai Pudong Development Bank Co., Ltd., Class A Shares | | | 39,823 | |
| | 5,102 | | | Shanghai Putailai New Energy Technology Co., Ltd., Class A Shares | | | 13,288 | |
| | 15,800 | | | Shanghai RAAS Blood Products Co., Ltd., Class A Shares | | | 15,740 | |
| | 19,600 | | | Shanghai Rural Commercial Bank Co., Ltd., Class A Shares | | | 17,511 | |
| | 1,498 | | | Shanghai United Imaging Healthcare Co., Ltd., Class A Shares | | | 29,581 | |
| | 6,100 | | | Shanxi Coking Coal Energy Group Co., Ltd., Class A Shares | | | 9,863 | |
| | 7,400 | | | Shanxi Lu’an Environmental Energy Development Co., Ltd., Class A Shares | | | 26,534 | |
| | 3,500 | | | Shanxi Meijin Energy Co., Ltd., Class A Shares* | | | 3,338 | |
| | 1,540 | | | Shanxi Xinghuacun Fen Wine Factory Co., Ltd., Class A Shares | | | 49,627 | |
| | 18,000 | | | Shenergy Co., Ltd., Class A Shares | | | 18,910 | |
| | 4,400 | | | Shengyi Technology Co., Ltd., Class A Shares | | | 10,474 | |
| | 1,260 | | | Shennan Circuits Co., Ltd., Class A Shares | | | 12,278 | |
| | 48,700 | | | Shenwan Hongyuan Group Co., Ltd., Class A Shares | | | 30,954 | |
| | 1,680 | | | Shenzhen Energy Group Co., Ltd., Class A Shares | | | 1,537 | |
| | 263,200 | | | Shenzhen Inovance Technology Co., Ltd., Class A Shares | | | 2,309,559 | |
| | 100 | | | Shenzhen Kaifa Technology Co., Ltd., Class A Shares | | | 199 | |
| | 2,240 | | | Shenzhen Kangtai Biological Products Co., Ltd., Class A Shares | | | 7,503 | |
| | 18,300 | | | Shenzhen Mindray Bio-Medical Electronics Co., Ltd., Class A Shares | | | 732,577 | |
| | 1,900 | | | Shenzhen New Industries Biomedical Engineering Co., Ltd., Class A Shares | | | 21,283 | |
| | 15,200 | | | Shenzhen Overseas Chinese Town Co., Ltd., Class A Shares* | | | 6,477 | |
| | 971 | | | Shenzhen Transsion Holdings Co., Ltd., Class A Shares | | | 21,382 | |
| | 67,100 | | | Shenzhou International Group Holdings Ltd. | | | 554,323 | |
| | 4,649 | | | Shijiazhuang Yiling Pharmaceutical Co., Ltd., Class A Shares | | | 13,847 | |
| | 4,000 | | | Sichuan Chuantou Energy Co., Ltd., Class A Shares | | | 8,692 | |
| | 17,860 | | | Sichuan Road & Bridge Group Co., Ltd., Class A Shares | | | 20,226 | |
| | 1,200 | | | Sichuan Swellfun Co., Ltd., Class A Shares | | | 8,368 | |
| | 7,000 | | | Silergy Corp. | | | 92,948 | |
| | 4,000 | | | Sinoma Science & Technology Co., Ltd., Class A Shares | | | 8,687 | |
| | 840 | | | Sinomine Resource Group Co., Ltd., Class A Shares | | | 4,382 | |
| | 567,772 | | | Sinopharm Group Co., Ltd., Class H Shares(c) | | | 1,593,378 | |
| | 16,500 | | | Sinotruk Hong Kong Ltd. | | | 43,525 | |
| | 1,176 | | | Skshu Paint Co., Ltd., Class A Shares* | | | 6,280 | |
| | 37,000 | | | Smoore International Holdings Ltd.(a) | | | 25,731 | |
| | 3,520 | | | Songcheng Performance Development Co., Ltd., Class A Shares | | | 5,250 | |
| | 2,000 | | | Spring Airlines Co., Ltd., Class A Shares* | | | 15,925 | |
| | 400 | | | StarPower Semiconductor Ltd., Class A Shares | | | 8,414 | |
| | 52,550 | | | Sungrow Power Supply Co., Ltd., Class A Shares | | | 636,319 | |
| | 16,200 | | | Sunny Optical Technology Group Co., Ltd. | | | 105,445 | |
| | 2,800 | | | Sunwoda Electronic Co., Ltd., Class A Shares | | | 5,527 | |
| | 30,403 | | | SUPCON Technology Co., Ltd., Class A Shares | | | 194,022 | |
| | 512 | | | Suzhou Maxwell Technologies Co., Ltd., Class A Shares | | | 8,636 | |
| | 1,000 | | | Suzhou TFC Optical Communication Co., Ltd., Class A Shares | | | 18,872 | |
| | 10,231 | | | TAL Education Group, ADR* | | | 150,703 | |
| | 8,060 | | | TBEA Co., Ltd., Class A Shares | | | 16,664 | |
| | 20,020 | | | TCL Technology Group Corp., Class A Shares* | | | 12,587 | |
| | 4,875 | | | TCL Zhonghuan Renewable Energy Technology Co., Ltd., Class A Shares | | | 9,146 | |
| | 399,231 | | | Tencent Holdings Ltd. | | | 14,028,226 | |
| | 17,432 | | | Tencent Music Entertainment Group, ADR* | | | 182,513 | |
| | 9,900 | | | Tianma Microelectronics Co., Ltd., Class A Shares* | | | 12,548 | |
See Notes to Financial Statements.
110
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| China — 20.9% — (continued) | |
| | 2,300 | | | Tianqi Lithium Corp., Class A Shares | | $ | 17,159 | |
| | 2,400 | | | Tianshan Aluminum Group Co., Ltd., Class A Shares | | | 1,880 | |
| | 988,000 | | | Tingyi Cayman Islands Holding Corp. | | | 1,102,359 | |
| | 31,600 | | | Tongcheng Travel Holdings Ltd.* | | | 79,522 | |
| | 4,800 | | | TongFu Microelectronics Co., Ltd., Class A Shares | | | 14,869 | |
| | 5,900 | | | Tongkun Group Co., Ltd., Class A Shares* | | | 11,137 | |
| | 4,700 | | | Tongwei Co., Ltd., Class A Shares | | | 17,298 | |
| | 400 | | | Topchoice Medical Corp., Class A Shares* | | | 3,651 | |
| | 39,000 | | | Topsports International Holdings Ltd.(a) | | | 26,430 | |
| | 25,000 | | | TravelSky Technology Ltd., Class H Shares(c) | | | 30,079 | |
| | 4,401 | | | Trina Solar Co., Ltd., Class A Shares | | | 15,315 | |
| | 12,514 | | | Trip.com Group Ltd.* | | | 563,726 | |
| | 300 | | | Tsingtao Brewery Co., Ltd., Class A Shares | | | 3,341 | |
| | 14,000 | | | Tsingtao Brewery Co., Ltd., Class H Shares(c) | | | 90,031 | |
| | 979 | | | Unigroup Guoxin Microelectronics Co., Ltd., Class A Shares* | | | 9,667 | |
| | 1,560 | | | Unisplendour Corp., Ltd., Class A Shares* | | | 4,755 | |
| | 7,991 | | | Vipshop Holdings Ltd., ADR* | | | 153,827 | |
| | 1,800 | | | Walvax Biotechnology Co., Ltd., Class A Shares | | | 4,597 | |
| | 8,300 | | | Wanda Film Holding Co., Ltd., Class A Shares* | | | 13,777 | |
| | 4,700 | | | Wanhua Chemical Group Co., Ltd., Class A Shares | | | 51,682 | |
| | 12,400 | | | Weichai Power Co., Ltd., Class A Shares | | | 29,046 | |
| | 836,200 | | | Weichai Power Co., Ltd., Class H Shares(c) | | | 1,646,726 | |
| | 3,040 | | | Weihai Guangwei Composites Co., Ltd., Class A Shares | | | 11,541 | |
| | 7,640 | | | Wens Foodstuffs Group Co., Ltd., Class A Shares | | | 20,335 | |
| | 8,300 | | | Western Mining Co., Ltd., Class A Shares | | | 19,190 | |
| | 11,400 | | | Western Securities Co., Ltd., Class A Shares | | | 12,617 | |
| | 2,442 | | | Western Superconducting Technologies Co., Ltd., Class A Shares | | | 13,500 | |
| | 1,620 | | | Will Semiconductor Co., Ltd. Shanghai, Class A Shares | | | 21,497 | |
| | 1,600 | | | Wingtech Technology Co., Ltd., Class A Shares* | | | 8,498 | |
| | 8,200 | | | Wuchan Zhongda Group Co., Ltd., Class A Shares | | | 5,235 | |
| | 2,038 | | | Wuhan Guide Infrared Co., Ltd., Class A Shares | | | 1,776 | |
| | 4,900 | | | Wuliangye Yibin Co., Ltd., Class A Shares | | | 96,274 | |
| | 1,760 | | | WUS Printed Circuit Kunshan Co., Ltd., Class A Shares | | | 6,422 | |
| | 3,864 | | | WuXi AppTec Co., Ltd., Class A Shares | | | 29,285 | |
| | 8,748 | | | WuXi AppTec Co., Ltd., Class H Shares(a)(c) | | | 54,241 | |
| | 421,500 | | | Wuxi Biologics Cayman Inc.*(a) | | | 999,356 | |
| | 22,000 | | | XCMG Construction Machinery Co., Ltd., Class A Shares | | | 18,105 | |
| | 347,600 | | | Xiaomi Corp., Class B Shares*(a) | | | 587,768 | |
| | 2,778 | | | Xinjiang Daqo New Energy Co., Ltd., Class A Shares | | | 11,261 | |
| | 1,130,000 | | | Xinyi Solar Holdings Ltd. | | | 681,865 | |
| | 24,422 | | | XPeng Inc., Class A Shares* | | | 114,679 | |
| | 28,000 | | | Yadea Group Holdings Ltd.(a) | | | 43,981 | |
| | 3,000 | | | Yankuang Energy Group Co., Ltd., Class A Shares | | | 10,774 | |
| | 49,000 | | | Yankuang Energy Group Co., Ltd., Class H Shares(c) | | | 113,224 | |
| | 3,700 | | | Yantai Jereh Oilfield Services Group Co., Ltd., Class A Shares | | | 15,442 | |
| | 1,470 | | | Yealink Network Technology Corp., Ltd., Class A Shares | | | 5,987 | |
| | 111,357 | | | Yifeng Pharmacy Chain Co., Ltd., Class A Shares | | | 607,229 | |
| | 1,800 | | | Yihai Kerry Arawana Holdings Co., Ltd., Class A Shares | | | 8,078 | |
| | 1,430 | | | YongXing Special Materials Technology Co., Ltd., Class A Shares | | | 10,964 | |
| | 5,330 | | | Yonyou Network Technology Co., Ltd., Class A Shares | | | 9,379 | |
| | 21,025 | | | Yum China Holdings Inc. | | | 909,309 | |
| | 4,160 | | | Yunda Holding Co., Ltd., Class A Shares | | | 4,163 | |
| | 7,900 | | | Yunnan Aluminium Co., Ltd., Class A Shares | | | 12,718 | |
| | 2,400 | | | Yunnan Baiyao Group Co., Ltd., Class A Shares | | | 16,597 | |
| | 800 | | | Yunnan Botanee Bio-Technology Group Co., Ltd., Class A Shares | | | 7,283 | |
| | 1,300 | | | Yunnan Energy New Material Co., Ltd., Class A Shares | | | 8,286 | |
See Notes to Financial Statements.
111
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| China — 20.9% — (continued) | |
| | 19,150 | | | Zai Lab Ltd.* | | $ | 40,672 | |
| | 800 | | | Zhangzhou Pientzehuang Pharmaceutical Co., Ltd., Class A Shares | | | 24,762 | |
| | 24,500 | | | Zhaojin Mining Industry Co., Ltd., Class H Shares(c) | | | 25,603 | |
| | 14,520 | | | Zhejiang Century Huatong Group Co., Ltd., Class A Shares* | | | 9,856 | |
| | 2,100 | | | Zhejiang Chint Electrics Co., Ltd., Class A Shares | | | 5,999 | |
| | 6,400 | | | Zhejiang Dahua Technology Co., Ltd., Class A Shares | | | 16,372 | |
| | 1,300 | | | Zhejiang Dingli Machinery Co., Ltd., Class A Shares | | | 10,649 | |
| | 27,680 | | | Zhejiang Expressway Co., Ltd., Class H Shares(c) | | | 21,153 | |
| | 2,158 | | | Zhejiang Huayou Cobalt Co., Ltd., Class A Shares | | | 8,296 | |
| | 1,900 | | | Zhejiang Jingsheng Mechanical & Electrical Co., Ltd., Class A Shares | | | 9,776 | |
| | 10,982 | | | Zhejiang Leapmotor Technology Co., Ltd.*(a) | | | 38,594 | |
| | 7,200 | | | Zhejiang NHU Co., Ltd., Class A Shares | | | 17,986 | |
| | 5,500 | | | Zhejiang Sanhua Intelligent Controls Co., Ltd., Class A Shares | | | 19,050 | |
| | 23,800 | | | Zhejiang Zheneng Electric Power Co., Ltd., Class A Shares* | | | 17,770 | |
| | 7,900 | | | Zheshang Securities Co., Ltd., Class A Shares | | | 11,238 | |
| | 18,500 | | | ZhongAn Online P&C Insurance Co., Ltd., Class H Shares*(a)(c) | | | 29,328 | |
| | 1,300 | | | Zhongji Innolight Co., Ltd., Class A Shares | | | 28,019 | |
| | 11,600 | | | Zhongjin Gold Corp., Ltd., Class A Shares | | | 16,784 | |
| | 17,500 | | | Zhongsheng Group Holdings Ltd. | | | 32,121 | |
| | 2,300 | | | Zhongtai Securities Co., Ltd., Class A Shares | | | 2,219 | |
| | 3,906 | | | Zhuzhou CRRC Times Electric Co., Ltd., Class A Shares | | | 21,060 | |
| | 11,200 | | | Zhuzhou CRRC Times Electric Co., Ltd., Class H Shares(c) | | | 32,802 | |
| | 25,900 | | | Zijin Mining Group Co., Ltd., Class A Shares | | | 47,252 | |
| | 118,000 | | | Zijin Mining Group Co., Ltd., Class H Shares(c) | | | 191,689 | |
| | 13,200 | | | Zoomlion Heavy Industry Science & Technology Co., Ltd., Class A Shares | | | 14,655 | |
| | 3,100 | | | ZTE Corp., Class A Shares | | | 12,850 | |
| | 18,000 | | | ZTE Corp., Class H Shares(c) | | | 40,675 | |
| | 9,754 | | | ZTO Express Cayman Inc., ADR | | | 187,179 | |
| | | | | | | | |
| | | | Total China | | | 93,021,918 | |
| | | | | | | | |
|
| Colombia — 0.0%@ | |
| | 6,956 | | | Bancolombia SA | | | 58,377 | |
| | 8,913 | | | Interconexion Electrica SA ESP | | | 37,968 | |
| | | | | | | | |
| | | | Total Colombia | | | 96,345 | |
| | | | | | | | |
|
| Cyprus — 0.0%@ | |
| | 2,925 | | | TCS Group Holding PLC, Class Registered Shares, GDR*#(d) | | | — | |
| | | | | | | | |
|
| Czech Republic — 0.0%@ | |
| | 3,779 | | | CEZ AS | | | 129,167 | |
| | 1,684 | | | Komercni Banka AS | | | 58,622 | |
| | 5,966 | | | Moneta Money Bank AS(a) | | | 26,215 | |
| | | | | | | | |
| | | | Total Czech Republic | | | 214,004 | |
| | | | | | | | |
|
| Egypt — 0.4% | |
| | 1,593,504 | | | Cleopatra Hospital* | | | 311,115 | |
| | 55,480 | | | Commercial International Bank - Egypt (CIB)(d) | | | 131,260 | |
| | 793,001 | | | Commercial International Bank - Egypt (CIB), Class Registered Shares, GDR | | | 1,094,349 | |
| | 22,745 | | | Eastern Co. SAE(d) | | | 26,634 | |
| | | | | | | | |
| | | | Total EgyPT | | | 1,563,358 | |
| | | | | | | | |
|
| Georgia — 0.1% | |
| | 25,900 | | | Georgia Capital PLC* | | | 400,837 | |
| | | | | | | | |
|
| Germany — 0.1% | |
| | 22,340 | | | Delivery Hero SE, Class A Shares*(a) | | | 515,535 | |
| | | | | | | | |
See Notes to Financial Statements.
112
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| Greece — 0.6% | |
| | 51,204 | | | Alpha Services & Holdings SA* | | $ | 96,091 | |
| | 339,236 | | | Eurobank Ergasias Services & Holdings SA* | | | 700,846 | |
| | 1,594 | | | FF Group*(d)(e) | | | — | |
| | 4,184 | | | Hellenic Telecommunications Organization SA | | | 63,143 | |
| | 2,718 | | | JUMBO SA | | | 79,433 | |
| | 1,626 | | | Motor Oil Hellas Corinth Refineries SA | | | 46,381 | |
| | 2,130 | | | Mytilineos SA | | | 82,876 | |
| | 126,043 | | | National Bank of Greece SA* | | | 986,827 | |
| | 36,736 | | | OPAP SA | | | 669,245 | |
| | 15,521 | | | Piraeus Financial Holdings SA* | | | 68,275 | |
| | 5,371 | | | Public Power Corp. SA* | | | 69,967 | |
| | | | | | | | |
| | | | Total Greece | | | 2,863,084 | |
| | | | | | | | |
|
| Hong Kong — 1.8% | |
| | 323,000 | | | AIA Group Ltd. | | | 2,613,818 | |
| | 116,000 | | | Alibaba Health Information Technology Ltd.* | | | 50,759 | |
| | 60,500 | | | ASMPT Ltd. | | | 743,009 | |
| | 11,000 | | | Beijing Enterprises Holdings Ltd. | | | 41,495 | |
| | 78,000 | | | Beijing Enterprises Water Group Ltd. | | | 18,348 | |
| | 72,000 | | | Bosideng International Holdings Ltd. | | | 36,338 | |
| | 64,000 | | | Brilliance China Automotive Holdings Ltd. | | | 37,231 | |
| | 15,000 | | | C&D International Investment Group Ltd. | | | 24,441 | |
| | 1,954,000 | | | China Education Group Holdings Ltd. | | | 1,120,112 | |
| | 64,800 | | | China Gas Holdings Ltd. | | | 59,203 | |
| | 424,000 | | | China Medical System Holdings Ltd. | | | 696,758 | |
| | 29,538 | | | China Merchants Port Holdings Co., Ltd. | | | 36,631 | |
| | 82,500 | | | China Overseas Land & Investment Ltd. | | | 122,922 | |
| | 15,000 | | | China Overseas Property Holdings Ltd. | | | 12,686 | |
| | 131,000 | | | China Power International Development Ltd. | | | 53,027 | |
| | 34,000 | | | China Resources Beer Holdings Co., Ltd. | | | 147,291 | |
| | 21,600 | | | China Resources Gas Group Ltd. | | | 65,252 | |
| | 70,000 | | | China Resources Land Ltd. | | | 215,883 | |
| | 46,000 | | | China Resources Power Holdings Co., Ltd. | | | 99,457 | |
| | 128,000 | | | China Ruyi Holdings Ltd.* | | | 25,180 | |
| | 42,000 | | | China State Construction International Holdings Ltd. | | | 46,760 | |
| | 35,800 | | | China Taiping Insurance Holdings Co., Ltd. | | | 31,129 | |
| | 51,000 | | | Chow Tai Fook Jewellery Group Ltd. | | | 76,111 | |
| | 42,000 | | | COSCO SHIPPING Ports Ltd. | | | 25,028 | |
| | 50,000 | | | Far East Horizon Ltd. | | | 39,802 | |
| | 57,000 | | | Galaxy Entertainment Group Ltd. | | | 310,824 | |
| | 531,000 | | | GCL Technology Holdings Ltd. | | | 74,113 | |
| | 128,000 | | | Geely Automobile Holdings Ltd. | | | 139,730 | |
| | 60,000 | | | Guangdong Investment Ltd. | | | 35,644 | |
| | 18,000 | | | Kingboard Holdings Ltd. | | | 35,395 | |
| | 92,000 | | | Kunlun Energy Co., Ltd. | | | 78,500 | |
| | 3,000 | | | Orient Overseas International Ltd. | | | 46,600 | |
| | 238,750 | | | Sino Biopharmaceutical Ltd. | | | 95,112 | |
| | 7,000 | | | Vinda International Holdings Ltd. | | | 20,802 | |
| | 1,073,000 | | | Want Want China Holdings Ltd. | | | 592,576 | |
| | 39,800 | | | Yuexiu Property Co., Ltd. | | | 26,477 | |
| | | | | | | | |
| | | | Total Hong Kong | | | 7,894,444 | |
| | | | | | | | |
|
| Hungary — 1.0% | |
| | 106,267 | | | MOL Hungarian Oil & Gas PLC | | | 845,705 | |
| | 69,618 | | | OTP Bank Nyrt | | | 3,338,967 | |
| | 3,220 | | | Richter Gedeon Nyrt | | | 85,764 | |
| | | | | | | | |
| | | | Total Hungary | | | 4,270,436 | |
| | | | | | | | |
See Notes to Financial Statements.
113
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| India — 16.5% | |
| | 1,077 | | | ABB India Ltd. | | $ | 71,075 | |
| | 3,871 | | | Adani Enterprises Ltd. | | | 152,913 | |
| | 6,610 | | | Adani Green Energy Ltd.* | | | 151,505 | |
| | 11,013 | | | Adani Ports & Special Economic Zone Ltd. | | | 175,150 | |
| | 16,305 | | | Adani Power Ltd.* | | | 107,262 | |
| | 11,758 | | | Ambuja Cements Ltd. | | | 85,990 | |
| | 4,042 | | | APL Apollo Tubes Ltd. | | | 75,191 | |
| | 2,278 | | | Apollo Hospitals Enterprise Ltd. | | | 167,598 | |
| | 30,866 | | | Ashok Leyland Ltd. | | | 63,514 | |
| | 55,327 | | | Asian Paints Ltd. | | | 1,894,096 | |
| | 2,675 | | | Astral Ltd. | | | 67,520 | |
| | 4,479 | | | AU Small Finance Bank Ltd.(a) | | | 30,786 | |
| | 6,343 | | | Aurobindo Pharma Ltd. | | | 78,744 | |
| | 3,709 | | | Avenue Supermarts Ltd.*(a) | | | 175,330 | |
| | 108,360 | | | Axis Bank Ltd. | | | 1,398,654 | |
| | 1,498 | | | Bajaj Auto Ltd. | | | 142,781 | |
| | 6,349 | | | Bajaj Finance Ltd. | | | 496,868 | |
| | 8,848 | | | Bajaj Finserv Ltd. | | | 170,374 | |
| | 580 | | | Bajaj Holdings & Investment Ltd. | | | 64,959 | |
| | 1,710 | | | Balkrishna Industries Ltd. | | | 45,833 | |
| | 13,938 | | | Bandhan Bank Ltd.(a) | | | 33,191 | |
| | 22,615 | | | Bank of Baroda. | | | 72,884 | |
| | 6,070 | | | Berger Paints India Ltd. | | | 45,319 | |
| | 80,546 | | | Bharat Electronics Ltd. | | | 199,405 | |
| | 6,110 | | | Bharat Forge Ltd. | | | 84,773 | |
| | 17,014 | | | Bharat Heavy Electricals Ltd. | | | 47,207 | |
| | 18,270 | | | Bharat Petroleum Corp., Ltd. | | | 133,049 | |
| | 51,022 | | | Bharti Airtel Ltd. | | | 694,923 | |
| | 2,430 | | | Britannia Industries Ltd. | | | 146,160 | |
| | 12,755 | | | CG Power & Industrial Solutions Ltd. | | | 69,100 | |
| | 74,248 | | | Cholamandalam Investment & Finance Co., Ltd. | | | 980,112 | |
| | 11,946 | | | Cipla Ltd. | | | 212,607 | |
| | 35,910 | | | Coal India Ltd. | | | 188,673 | |
| | 2,991 | | | Colgate-Palmolive India Ltd. | | | 90,996 | |
| | 6,095 | | | Container Corp. Of India Ltd. | | | 72,677 | |
| | 3,114 | | | Cummins India Ltd. | | | 103,392 | |
| | 14,078 | | | Dabur India Ltd. | | | 91,594 | |
| | 91,447 | | | Delhivery Ltd.* | | | 525,155 | |
| | 2,763 | | | Divi’s Laboratories Ltd. | | | 115,992 | |
| | 16,306 | | | DLF Ltd. | | | 178,241 | |
| | 2,480 | | | Dr Reddy’s Laboratories Ltd. | | | 191,980 | |
| | 3,166 | | | Eicher Motors Ltd. | | | 144,331 | |
| | 54,208 | | | GAIL India Ltd. | | | 119,868 | |
| | 94,009 | | | GMR Airports Infrastructure Ltd.* | | | 95,716 | |
| | 9,267 | | | Godrej Consumer Products Ltd. | | | 137,952 | |
| | 2,686 | | | Godrej Properties Ltd.* | | | 77,949 | |
| | 5,721 | | | Grasim Industries Ltd. | | | 151,453 | |
| | 5,654 | | | Havells India Ltd. | | | 104,506 | |
| | 21,560 | | | HCL Technologies Ltd. | | | 434,367 | |
| | 2,092 | | | HDFC Asset Management Co., Ltd.(a) | | | 95,011 | |
| | 156,595 | | | HDFC Bank Ltd. | | | 2,647,515 | |
| | 106,936 | | | HDFC Bank Ltd., ADR | | | 5,721,076 | |
| | 22,232 | | | HDFC Life Insurance Co., Ltd.(a) | | | 156,225 | |
| | 2,377 | | | Hero MotoCorp Ltd. | | | 126,862 | |
| | 113,419 | | | Hindalco Industries Ltd. | | | 694,804 | |
| | 4,638 | | | Hindustan Aeronautics Ltd. | | | 172,091 | |
See Notes to Financial Statements.
114
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| India — 16.5% — (continued) | |
| | 13,771 | | | Hindustan Petroleum Corp., Ltd. | | $ | 84,929 | |
| | 18,417 | | | Hindustan Unilever Ltd. | | | 533,304 | |
| | 116,698 | | | ICICI Bank Ltd. | | | 1,479,807 | |
| | 178,220 | | | ICICI Bank Ltd., ADR | | | 4,564,214 | |
| | 5,885 | | | ICICI Lombard General Insurance Co., Ltd.(a) | | | 122,404 | |
| | 7,139 | | | ICICI Prudential Life Insurance Co., Ltd.(a) | | | 46,229 | |
| | 72,773 | | | IDFC First Bank Ltd.* | | | 70,747 | |
| | 20,451 | | | Indian Hotels Co., Ltd., Class A Shares | | | 144,813 | |
| | 66,350 | | | Indian Oil Corp., Ltd. | | | 132,654 | |
| | 4,984 | | | Indian Railway Catering & Tourism Corp., Ltd. | | | 56,038 | |
| | 5,863 | | | Indraprastha Gas Ltd. | | | 30,137 | |
| | 460,456 | | | Indus Towers Ltd.* | | | 1,411,658 | |
| | 6,945 | | | IndusInd Bank Ltd. | | | 123,593 | |
| | 1,690 | | | Info Edge India Ltd. | | | 107,419 | |
| | 75,433 | | | Infosys Ltd. | | | 1,518,319 | |
| | 44,626 | | | Infosys Ltd., ADR | | | 890,735 | |
| | 3,160 | | | InterGlobe Aviation Ltd.*(a) | | | 120,181 | |
| | 67,919 | | | ITC Ltd. | | | 332,339 | |
| | 7,993 | | | Jindal Steel & Power Ltd. | | | 75,017 | |
| | 184,232 | | | Jio Financial Services Ltd.* | | | 687,804 | |
| | 13,170 | | | JSW Steel Ltd. | | | 128,245 | |
| | 9,086 | | | Jubilant Foodworks Ltd. | | | 51,046 | |
| | 126,959 | | | Kotak Mahindra Bank Ltd. | | | 2,604,262 | |
| | 15,670 | | | Larsen & Toubro Ltd. | | | 659,441 | |
| | 1,905 | | | LTIMindtree Ltd.(a) | | | 122,712 | |
| | 5,535 | | | Lupin Ltd. | | | 108,589 | |
| | 5,993 | | | Macrotech Developers Ltd.(a) | | | 83,652 | |
| | 21,181 | | | Mahindra & Mahindra Ltd. | | | 494,916 | |
| | 11,927 | | | Marico Ltd. | | | 75,390 | |
| | 20,837 | | | Maruti Suzuki India Ltd. | | | 2,854,879 | |
| | 18,524 | | | Max Healthcare Institute Ltd. | | | 175,587 | |
| | 1,747 | | | Mphasis Ltd. | | | 55,467 | |
| | 45 | | | MRF Ltd. | | | 79,048 | |
| | 3,203 | | | Muthoot Finance Ltd. | | | 49,896 | |
| | 7,670 | | | Nestle India Ltd. | | | 239,892 | |
| | 9,445 | | | NMDC Ltd. | | | 25,745 | |
| | 99,634 | | | NTPC Ltd. | | | 401,519 | |
| | 44,240 | | | Oberoi Realty Ltd. | | | 718,698 | |
| | 69,027 | | | Oil & Natural Gas Corp., Ltd. | | | 219,620 | |
| | 4,649 | | | One 97 Communications Ltd.* | | | 23,418 | |
| | 147 | | | Page Industries Ltd. | | | 61,213 | |
| | 1,199 | | | Persistent Systems Ltd. | | | 124,564 | |
| | 17,509 | | | Petronet LNG Ltd. | | | 57,936 | |
| | 45,200 | | | Phoenix Mills Ltd. (The) | | | 1,526,331 | |
| | 2,152 | | | PI Industries Ltd. | | | 95,691 | |
| | 3,305 | | | Pidilite Industries Ltd. | | | 109,818 | |
| | 1,130 | | | Polycab India Ltd. | | | 64,836 | |
| | 37,344 | | | Power Finance Corp., Ltd. | | | 181,039 | |
| | 106,793 | | | Power Grid Corp. of India Ltd. | | | 365,518 | |
| | 76,677 | | | Punjab National Bank. | | | 113,681 | |
| | 30,403 | | | REC Ltd. | | | 163,265 | |
| | 306,612 | | | Reliance Industries Ltd. | | | 10,855,986 | |
| | 76,900 | | | ReNew Energy Global PLC, Class A Shares* | | | 499,850 | |
| | 54,912 | | | Samvardhana Motherson International Ltd. | | | 79,063 | |
| | 5,763 | | | SBI Cards & Payment Services Ltd. | | | 50,066 | |
| | 10,447 | | | SBI Life Insurance Co., Ltd.(a) | | | 196,277 | |
See Notes to Financial Statements.
115
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| India — 16.5% — (continued) | |
| | 207 | | | Shree Cement Ltd. | | $ | 63,536 | |
| | 5,911 | | | Shriram Finance Ltd. | | | 174,136 | |
| | 2,065 | | | Siemens Ltd. | | | 116,094 | |
| | 10,219 | | | Sona Blw Precision Forgings Ltd.(a) | | | 84,854 | |
| | 3,318 | | | SRF Ltd. | | | 95,613 | |
| | 40,821 | | | State Bank of India | | | 369,131 | |
| | 107,071 | | | Sterling & Wilson Renewable* | | | 789,386 | |
| | 21,636 | | | Sun Pharmaceutical Industries Ltd. | | | 411,633 | |
| | 1,431 | | | Supreme Industries Ltd. | | | 71,335 | |
| | 187,826 | | | Suzlon Energy Ltd.* | | | 102,044 | |
| | 2,313 | | | Tata Communications Ltd. | | | 53,541 | |
| | 80,171 | | | Tata Consultancy Services Ltd. | | | 3,986,563 | |
| | 13,179 | | | Tata Consumer Products Ltd. | | | 188,522 | |
| | 865 | | | Tata Elxsi Ltd. | | | 82,611 | |
| | 40,028 | | | Tata Motors Ltd. | | | 458,640 | |
| | 9,732 | | | Tata Motors Ltd., Class A Shares | | | 74,009 | |
| | 36,204 | | | Tata Power Co., Ltd. (The) | | | 163,540 | |
| | 170,887 | | | Tata Steel Ltd. | | | 292,286 | |
| | 12,185 | | | Tech Mahindra Ltd. | | | 188,419 | |
| | 95,224 | | | Titan Co., Ltd. | | | 4,187,517 | |
| | 2,293 | | | Torrent Pharmaceuticals Ltd. | | | 74,073 | |
| | 4,291 | | | Trent Ltd. | | | 201,697 | |
| | 2,332 | | | Tube Investments of India Ltd. | | | 97,657 | |
| | 5,178 | | | TVS Motor Co., Ltd.* | | | 133,091 | |
| | 18,959 | | | UltraTech Cement Ltd. | | | 2,265,370 | |
| | 17,513 | | | Union Bank of India Ltd. | | | 30,951 | |
| | 6,461 | | | United Spirits Ltd. | | | 90,890 | |
| | 148,782 | | | UPL Ltd. | | | 851,975 | |
| | 9,840 | | | Varun Beverages Ltd. | | | 166,864 | |
| | 19,247 | | | Vedanta Ltd. | | | 61,932 | |
| | 29,760 | | | Wipro Ltd. | | | 186,516 | |
| | 264,457 | | | Yes Bank Ltd.* | | | 79,620 | |
| | 135,646 | | | Zomato Ltd.* | | | 274,119 | |
| | | | | | | | |
| | | | Total India | | | 73,490,961 | |
| | | | | | | | |
|
| Indonesia — 3.0% | |
| | 294,500 | | | Adaro Energy Indonesia Tbk PT | | | 45,256 | |
| | 137,900 | | | Amman Mineral Internasional PT* | | | 74,668 | |
| | 197,700 | | | Aneka Tambang Tbk | | | 18,350 | |
| | 3,090,000 | | | Astra International Tbk PT | | | 1,028,956 | |
| | 1,112,800 | | | Bank BTPN Syariah Tbk PT | | | 97,089 | |
| | 1,241,700 | | | Bank Central Asia Tbk PT | | | 778,487 | |
| | 3,865,648 | | | Bank Mandiri Persero Tbk PT | | | 1,716,959 | |
| | 4,204,200 | | | Bank Negara Indonesia Persero Tbk PT | | | 1,601,616 | |
| | 10,941,024 | | | Bank Rakyat Indonesia Persero Tbk PT | | | 4,247,658 | |
| | 559,731 | | | Barito Pacific Tbk PT | | | 34,791 | |
| | 174,600 | | | Charoen Pokphand Indonesia Tbk PT | | | 53,663 | |
| | 18,776,600 | | | GoTo Gojek Tokopedia Tbk PT, Class A Shares* | | | 84,507 | |
| | 53,100 | | | Indah Kiat Pulp & Paper Tbk PT | | | 29,508 | |
| | 48,800 | | | Indofood CBP Sukses Makmur Tbk PT | | | 35,802 | |
| | 106,100 | | | Indofood Sukses Makmur Tbk PT | | | 44,722 | |
| | 492,600 | | | Kalbe Farma Tbk PT | | | 46,709 | |
| | 255,049 | | | Merdeka Copper Gold Tbk PT* | | | 36,567 | |
| | 505,900 | | | Sarana Menara Nusantara Tbk PT | | | 29,601 | |
| | 79,529 | | | Semen Indonesia Persero Tbk PT | | | 30,813 | |
| | 448,700 | | | Sumber Alfaria Trijaya Tbk PT | | | 78,467 | |
See Notes to Financial Statements.
116
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| Indonesia — 3.0% — (continued) | |
| | 6,948,487 | | | Telkom Indonesia Persero Tbk PT | | $ | 1,770,161 | |
| | 37,390 | | | Telkom Indonesia Persero Tbk PT, ADR | | | 956,436 | |
| | 188,500 | | | Unilever Indonesia Tbk PT | | | 32,713 | |
| | 441,300 | | | United Tractors Tbk PT | | | 661,194 | |
| | | | | | | | |
| | | | Total Indonesia | | | 13,534,693 | |
| | | | | | | | |
|
| Ireland — 0.4% | |
| | 13,666 | | | PDD Holdings Inc., ADR* | | | 1,701,964 | |
| | | | | | | | |
|
| Kazakhstan — 0.5% | |
| | 21,061 | | | Kaspi.KZ JSC, ADR | | | 2,190,133 | |
| | 7,431 | | | Polymetal International PLC*(d)(e) | | | 1 | |
| | | | | | | | |
| | | | Total Kazakhstan | | | 2,190,134 | |
| | | | | | | | |
|
| Kuwait — 0.3% | |
| | 34,051 | | | Agility Public Warehousing Co., KSC* | | | 66,538 | |
| | 32,782 | | | Boubyan Bank KSCP | | | 68,503 | |
| | 46,363 | | | Gulf Bank KSCP | | | 44,465 | |
| | 188,976 | | | Kuwait Finance House KSCP | | | 497,709 | |
| | 20,052 | | | Mabanee Co., KPSC | | | 53,303 | |
| | 47,340 | | | Mobile Telecommunications Co., KSCP | | | 77,454 | |
| | 168,700 | | | National Bank of Kuwait SAKP | | | 537,596 | |
| | | | | | | | |
| | | | Total Kuwait | | | 1,345,568 | |
| | | | | | | | |
|
| Luxembourg — 0.1% | |
| | 3,221 | | | Reinet Investments SCA | | | 81,347 | |
| | 12,977 | | | Ternium SA, ADR | | | 526,088 | |
| | | | | | | | |
| | | | Total Luxembourg | | | 607,435 | |
| | | | | | | | |
|
| Malaysia — 0.5% | |
| | 46,100 | | | AMMB Holdings Bhd | | | 42,162 | |
| | 59,300 | | | Axiata Group Bhd | | | 34,777 | |
| | 84,300 | | | CELCOMDIGI BHD | | | 77,281 | |
| | 146,107 | | | CIMB Group Holdings Bhd | | | 198,914 | |
| | 43,400 | | | Gamuda Bhd | | | 48,339 | |
| | 47,100 | | | Genting Bhd | | | 47,399 | |
| | 53,400 | | | Genting Malaysia Bhd | | | 32,425 | |
| | 15,800 | | | Hong Leong Bank Bhd | | | 65,783 | |
| | 48,000 | | | IHH Healthcare Bhd | | | 62,214 | |
| | 53,700 | | | Inari Amertron Bhd | | | 35,938 | |
| | 56,900 | | | IOI Corp. Bhd | | | 47,717 | |
| | 11,400 | | | Kuala Lumpur Kepong Bhd | | | 53,877 | |
| | 123,009 | | | Malayan Banking Bhd | | | 247,075 | |
| | 25,900 | | | Malaysia Airports Holdings Bhd | | | 46,305 | |
| | 57,900 | | | Maxis Bhd | | | 45,394 | |
| | 29,200 | | | MISC Bhd | | | 46,821 | |
| | 45,300 | | | MR DIY Group M Bhd(a) | | | 14,894 | |
| | 1,600 | | | Nestle Malaysia Bhd | | | 42,129 | |
| | 59,300 | | | Petronas Chemicals Group Bhd | | | 87,493 | |
| | 8,600 | | | Petronas Dagangan Bhd | | | 41,402 | |
| | 18,400 | | | Petronas Gas Bhd | | | 69,748 | |
| | 12,800 | | | PPB Group Bhd | | | 42,089 | |
| | 76,700 | | | Press Metal Aluminium Holdings Bhd | | | 75,624 | |
| | 325,900 | | | Public Bank Bhd | | | 302,321 | |
| | 31,500 | | | QL Resources Bhd | | | 38,587 | |
| | 38,400 | | | RHB Bank Bhd | | | 45,335 | |
| | 45,700 | | | Sime Darby Bhd | | | 26,132 | |
See Notes to Financial Statements.
117
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| Malaysia — 0.5% — (continued) | |
| | 56,800 | | | Sime Darby Plantation Bhd | | $ | 51,854 | |
| | 31,400 | | | Telekom Malaysia Bhd | | | 40,080 | |
| | 60,400 | | | Tenaga Nasional Bhd | | | 143,444 | |
| | 20,400 | | | YTL Power International Bhd | | | 16,980 | |
| | | | | | | | |
| | | | Total Malaysia | | | 2,170,533 | |
| | | | | | | | |
|
| Mexico — 3.8% | |
| | 70,338 | | | Alfa SAB de CV, Class A Shares | | | 51,987 | |
| | 430,609 | | | America Movil SAB de CV, Series B | | | 403,889 | |
| | 53,813 | | | America Movil SAB de CV, ADR | | | 1,006,841 | |
| | 11,447 | | | Arca Continental SAB de CV | | | 123,375 | |
| | 19,551 | | | Banco del Bajio SA(a) | | | 72,354 | |
| | 4,495 | | | BBB Foods Inc., Class A Shares* | | | 94,350 | |
| | 12,194 | | | Coca-Cola Femsa SAB de CV | | | 118,779 | |
| | 65,166 | | | Fibra Uno Administracion SA de CV, REIT. | | | 117,428 | |
| | 44,150 | | | Fomento Economico Mexicano SAB de CV | | | 549,601 | |
| | 4,494 | | | Gruma SAB de CV, Class B Shares | | | 80,035 | |
| | 6,009 | | | Grupo Aeroportuario del Centro Norte SAB de CV, Class B Shares | | | 52,068 | |
| | 3,855 | | | Grupo Aeroportuario del Pacifico SAB de CV, ADR | | | 571,234 | |
| | 8,200 | | | Grupo Aeroportuario del Pacifico SAB de CV, Class B Shares | | | 121,212 | |
| | 4,394 | | | Grupo Aeroportuario del Sureste SAB de CV, Class B Shares | | | 128,875 | |
| | 30,785 | | | Grupo Bimbo SAB de CV, Series A | | | 128,772 | |
| | 12,394 | | | Grupo Carso SAB de CV, Series A1 | | | 107,329 | |
| | 448,776 | | | Grupo Financiero Banorte SAB de CV, Class O Shares | | | 4,641,008 | |
| | 39,565 | | | Grupo Financiero Inbursa SAB de CV, Class O Shares* | | | 120,195 | |
| | 185,238 | | | Grupo México SAB de CV, Series B | | | 903,054 | |
| | 4,431 | | | Industrias Peñoles SAB de CV* | | | 55,861 | |
| | 447,879 | | | Kimberly-Clark de México SAB de CV, Class A Shares | | | 995,441 | |
| | 29,228 | | | Operadora de Sites Mexicanos SAB de CV, Class 1 Shares | | | 34,135 | |
| | 529,561 | | | Orbia Advance Corp. SAB de CV | | | 978,181 | |
| | 15,666 | | | Prologis Property Mexico SA de CV, REIT | | | 69,656 | |
| | 3,707 | | | Promotora y Operadora de Infraestructura SAB de CV | | | 38,692 | |
| | 62,681 | | | Qualitas Controladora SAB de CV | | | 704,101 | |
| | 207,300 | | | Regional SAB de CV | | | 1,933,423 | |
| | 699,928 | | | Wal-Mart de Mexico SAB de CV | | | 2,795,138 | |
| | | | | | | | |
| | | | Total Mexico | | | 16,997,014 | |
| | | | | | | | |
|
| Netherlands — 0.6% | |
| | 10,236 | | | NEPI Rockcastle NV. | | | 73,035 | |
| | 95,344 | | | Prosus NV* | | | 2,784,027 | |
| | | | | | | | |
| | | | Total Netherlands | | | 2,857,062 | |
| | | | | | | | |
|
| Peru — 0.3% | |
| | 4,860 | | | Cia de Minas Buenaventura SAA, ADR | | | 73,386 | |
| | 8,664 | | | Credicorp Ltd. | | | 1,480,504 | |
| | | | | | | | |
| | | | Total Peru | | | 1,553,890 | |
| | | | | | | | |
|
| Philippines — 1.2% | |
| | 43,280 | | | Aboitiz Equity Ventures Inc. | | | 40,711 | |
| | 5,650 | | | Ayala Corp. | | | 68,111 | |
| | 152,160 | | | Ayala Land Inc. | | | 94,714 | |
| | 42,256 | | | Bank of the Philippine Islands | | | 94,033 | |
| | 48,543 | | | BDO Unibank Inc. | | | 132,066 | |
| | 6,455,900 | | | Bloomberry Resorts Corp.* | | | 1,288,009 | |
| | 545,360 | | | International Container Terminal Services Inc. | | | 2,802,094 | |
| | 63,856 | | | JG Summit Holdings Inc. | | | 46,657 | |
| | 9,430 | | | Jollibee Foods Corp. | | | 45,926 | |
See Notes to Financial Statements.
118
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| Philippines — 1.2% — (continued) | |
| | 6,170 | | | Manila Electric Co. | | $ | 42,802 | |
| | 38,866 | | | Metropolitan Bank & Trust Co. | | | 42,840 | |
| | 1,540 | | | PLDT Inc. | | | 35,973 | |
| | 689,090 | | | Robinsons Retail Holdings Inc. | | | 459,598 | |
| | 4,970 | | | SM Investments Corp. | | | 83,076 | |
| | 227,300 | | | SM Prime Holdings Inc. | | | 127,765 | |
| | 22,540 | | | Universal Robina Corp. | | | 46,937 | |
| | | | | | | | |
| | | | Total Philippines | | | 5,451,312 | |
| | | | | | | | |
|
| Poland — 0.6% | |
| | 11,364 | | | Allegro.eu SA*(a) | | | 91,782 | |
| | 3,995 | | | Bank Polska Kasa Opieki SA | | | 173,124 | |
| | 294 | | | Budimex SA | | | 53,733 | |
| | 1,723 | | | CD Projekt SA | | | 47,295 | |
| | 1,100 | | | Dino Polska SA*(a) | | | 128,053 | |
| | 71,900 | | | InPost SA* | | | 1,122,147 | |
| | 3,176 | | | KGHM Polska Miedz SA | | | 85,760 | |
| | 25 | | | LPP SA | | | 112,401 | |
| | 371 | | | mBank SA* | | | 64,584 | |
| | 13,435 | | | ORLEN SA | | | 208,552 | |
| | 18,281 | | | PGE Polska Grupa Energetyczna SA* | | | 36,502 | |
| | 20,848 | | | Powszechna Kasa Oszczednosci Bank Polski SA | | | 290,113 | |
| | 13,965 | | | Powszechny Zaklad Ubezpieczen SA | | | 171,752 | |
| | 768 | | | Santander Bank Polska SA | | | 105,701 | |
| | | | | | | | |
| | | | Total Poland | | | 2,691,499 | |
| | | | | | | | |
|
| Portugal — 0.4% | |
| | 103,349 | | | Galp Energia SGPS SA | | | 1,625,967 | |
| | | | | | | | |
|
| Qatar — 0.3% | |
| | 58,133 | | | Barwa Real Estate Co. | | | 48,838 | |
| | 73,139 | | | Commercial Bank PSQC (The) | | | 101,484 | |
| | 50,646 | | | Dukhan Bank. | | | 57,795 | |
| | 32,451 | | | Industries Qatar QSC | | | 114,893 | |
| | 120,946 | | | Masraf Al Rayan QSC | | | 83,915 | |
| | 113,710 | | | Mesaieed Petrochemical Holding Co. | | | 58,887 | |
| | 19,838 | | | Ooredoo QPSC | | | 62,023 | |
| | 9,328 | | | Qatar Electricity & Water Co. QSC | | | 44,263 | |
| | 10,432 | | | Qatar Fuel QSC | | | 42,804 | |
| | 58,343 | | | Qatar Gas Transport Co., Ltd. | | | 64,000 | |
| | 22,826 | | | Qatar International Islamic Bank QSC | | | 71,456 | |
| | 35,074 | | | Qatar Islamic Bank SAQ | | | 193,838 | |
| | 102,675 | | | Qatar National Bank QPSC | | | 428,793 | |
| | | | | | | | |
| | | | Total Qatar | | | 1,372,989 | |
| | | | | | | | |
|
| Russia — 0.0%@ | |
| | 64,081 | | | Alrosa PJSC#(d) | | | 641 | |
| | 502,100 | | | Detsky Mir PJSC, (Cost — $786,566, acquired 10/15/20)*#(a)(d)(f) | | | 5,021 | |
| | 288,791 | | | Gazprom PJSC*#(d) | | | 2,676 | |
| | 885,983 | | | Inter RAO UES PJSC#(d) | | | 8,860 | |
| | 10,171 | | | Lukoil PJSC#(d) | | | 102 | |
| | 1,550 | | | MMC Norilsk Nickel PJSC#(d) | | | 15 | |
| | 24,130 | | | Mobile TeleSystems PJSC#(d) | | | 241 | |
| | 135,663 | | | Mobile TeleSystems PJSC, ADR*#(d) | | | 1,357 | |
| | 39,065 | | | Moscow Exchange MICEX-RTS PJSC#(d) | | | 391 | |
| | 22,130 | | | Novatek PJSC#(d) | | | 221 | |
| | 38,007 | | | Novolipetsk Steel PJSC*#(d) | | | 375 | |
See Notes to Financial Statements.
119
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| Russia — 0.0%@ — (continued) | |
| | 1,593 | | | Ozon Holdings PLC, ADR*#(d) | | $ | — | |
| | 921 | | | PhosAgro PJSC#(d) | | | 9 | |
| | 19 | | | PhosAgro PJSC, Class Registered Shares, GDR*#(d) | | | — | |
| | 869 | | | Polyus PJSC*#(d) | | | 9 | |
| | 28,885 | | | Rosneft Oil Co. PJSC#(d) | | | 289 | |
| | 891,342 | | | Sberbank of Russia PJSC, (Cost — $1,699,436, acquired 8/3/16)#(d)(f) | | | 8,913 | |
| | 5,523 | | | Severstal PAO*#(d) | | | 55 | |
| | 157,330 | | | Surgutneftegas PJSC#(d) | | | 1,573 | |
| | 37,602 | | | Tatneft PJSC#(d) | | | 327 | |
| | 88,972 | | | United Co. RUSAL International PJSC*#(d) | | | 10 | |
| | 2,330 | | | VK IPJSC, GDR*#(d) | | | — | |
| | 60,086,472 | | | VTB Bank PJSC*#(d) | | | 9,854 | |
| | 3,377 | | | X5 Retail Group NV, Class Registered Shares, GDR*#(d) | | | — | |
| | 7,493 | | | Yandex NV, Class A Shares*#(d) | | | 1 | |
| | | | | | | | |
| | | | Total Russia | | | 40,940 | |
| | | | | | | | |
|
| Saudi Arabia — 2.4% | |
| | 2,193 | | | ACWA Power Co. | | | 154,217 | |
| | 4,014 | | | Ades Holding Co.* | | | 21,406 | |
| | 3,528 | | | Advanced Petrochemical Co. | | | 35,985 | |
| | 165,424 | | | Al Rajhi Bank | | | 3,929,404 | |
| | 22,118 | | | Alinma Bank | | | 259,306 | |
| | 6,060 | | | Almarai Co. JSC | | | 95,020 | |
| | 14,805 | | | Arab National Bank | | | 110,053 | |
| | 515 | | | Arabian Internet & Communications Services Co. | | | 50,589 | |
| | 11,077 | | | Bank AlBilad | | | 146,326 | |
| | 8,678 | | | Bank Al-Jazira* | | | 45,253 | |
| | 13,417 | | | Banque Saudi Fransi | | | 136,363 | |
| | 1,888 | | | Bupa Arabia for Cooperative Insurance Co. | | | 115,605 | |
| | 1,435 | | | Co. for Cooperative Insurance (The) | | | 61,980 | |
| | 891 | | | Dallah Healthcare Co. | | | 44,574 | |
| | 10,618 | | | Dar Al Arkan Real Estate Development Co.* | | | 39,640 | |
| | 12,561 | | | Dr Sulaiman Al Habib Medical Services Group Co. | | | 1,103,375 | |
| | 536 | | | Elm Co. | | | 151,159 | |
| | 8,864 | | | Etihad Etisalat Co. | | | 130,685 | |
| | 11,380 | | | Jarir Marketing Co. | | | 47,282 | |
| | 8,400 | | | Mobile Telecommunications Co. | | | 33,368 | |
| | 2,322 | | | Mouwasat Medical Services Co. | | | 76,420 | |
| | 1,036 | | | Nahdi Medical Co. | | | 39,229 | |
| | 1,801 | | | Power & Water Utility Co. for Jubail & Yanbu. | | | 36,453 | |
| | 626 | | | Rabigh Refining & Petrochemical Co.* | | | 1,381 | |
| | 33,402 | | | Riyad Bank | | | 277,534 | |
| | 4,993 | | | SABIC Agri-Nutrients Co. | | | 166,685 | |
| | 8,982 | | | Sahara International Petrochemical Co. | | | 73,461 | |
| | 29,425 | | | Saudi Arabian Mining Co.* | | | 390,552 | |
| | 59,595 | | | Saudi Arabian Oil Co.(a) | | | 503,652 | |
| | 1,248 | | | Saudi Aramco Base Oil Co. | | | 55,958 | |
| | 23,002 | | | Saudi Awwal Bank | | | 253,385 | |
| | 20,404 | | | Saudi Basic Industries Corp. | | | 428,900 | |
| | 16,357 | | | Saudi Electricity Co. | | | 87,279 | |
| | 8,724 | | | Saudi Industrial Investment Group | | | 48,233 | |
| | 10,430 | | | Saudi Investment Bank (The) | | | 45,024 | |
| | 15,381 | | | Saudi Kayan Petrochemical Co.* | | | 39,671 | |
| | 66,105 | | | Saudi National Bank (The) | | | 750,536 | |
| | 874 | | | Saudi Research & Media Group* | | | 57,614 | |
| | 1,126 | | | Saudi Tadawul Group Holding Co. | | | 72,684 | |
See Notes to Financial Statements.
120
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| Saudi Arabia — 2.4% — (continued) | |
| | 45,019 | | | Saudi Telecom Co. | | $ | 510,119 | |
| | 5,902 | | | Savola Group (The) | | | 83,429 | |
| | 6,510 | | | Yanbu National Petrochemical Co. | | | 65,035 | |
| | | | | | | | |
| | | | Total Saudi Arabia | | | 10,774,824 | |
| | | | | | | | |
|
| Singapore — 0.0%@ | |
| | 4,800 | | | BOC Aviation Ltd.(a) | | | 35,277 | |
| | | | | | | | |
|
| South Africa — 2.5% | |
| | 19,606 | | | Absa Group Ltd. | | | 167,039 | |
| | 1,405 | | | Anglo American Platinum Ltd. | | | 53,882 | |
| | 8,623 | | | Aspen Pharmacare Holdings Ltd. | | | 88,116 | |
| | 7,248 | | | Bid Corp., Ltd. | | | 169,463 | |
| | 67,296 | | | Bidvest Group Ltd. (The) | | | 819,690 | |
| | 17,288 | | | Capitec Bank Holdings Ltd. | | | 1,818,781 | |
| | 5,447 | | | Clicks Group Ltd. | | | 85,251 | |
| | 12,452 | | | Discovery Ltd. | | | 88,257 | |
| | 5,237 | | | Exxaro Resources Ltd. | | | 48,527 | |
| | 114,394 | | | FirstRand Ltd. | | | 386,488 | |
| | 20,468 | | | Gold Fields Ltd. | | | 267,920 | |
| | 12,491 | | | Harmony Gold Mining Co., Ltd. | | | 72,417 | |
| | 21,330 | | | Impala Platinum Holdings Ltd. | | | 71,873 | |
| | 1,524 | | | Kumba Iron Ore Ltd. | | | 42,686 | |
| | 905,571 | | | Life Healthcare Group Holdings Ltd. | | | 828,640 | |
| | 38,746 | | | MTN Group Ltd. | | | 168,755 | |
| | 4,207 | | | Naspers Ltd., Class N Shares | | | 688,538 | |
| | 112,460 | | | Nedbank Group Ltd. | | | 1,285,438 | |
| | 8,806 | | | Northam Platinum Holdings Ltd. | | | 50,417 | |
| | 109,313 | | | Old Mutual Ltd. | | | 68,095 | |
| | 17,652 | | | OUTsurance Group Ltd. | | | 38,324 | |
| | 39,875 | | | Pepkor Holdings Ltd.(a) | | | 38,866 | |
| | 11,851 | | | Remgro Ltd. | | | 89,841 | |
| | 304,223 | | | Sanlam Ltd. | | | 1,166,760 | |
| | 13,620 | | | Sasol Ltd. | | | 102,772 | |
| | 10,708 | | | Shoprite Holdings Ltd. | | | 144,167 | |
| | 63,957 | | | Sibanye Stillwater Ltd. | | | 65,720 | |
| | 121,660 | | | Standard Bank Group Ltd. | | | 1,279,729 | |
| | 194,908 | | | Vodacom Group Ltd. | | | 954,572 | |
| | 22,047 | | | Woolworths Holdings Ltd. | | | 73,701 | |
| | | | | | | | |
| | | | Total South Africa | | | 11,224,725 | |
| | | | | | | | |
|
| South Korea — 11.5% | |
| | 680 | | | Amorepacific Corp. | | | 61,037 | |
| | 3,472 | | | Celltrion Inc. | | | 468,111 | |
| | 468 | | | Celltrion Pharm Inc.* | | | 38,727 | |
| | 178 | | | CJ CheilJedang Corp. | | | 39,981 | |
| | 520 | | | CosmoAM&T Co., Ltd.* | | | 69,175 | |
| | 17,220 | | | Coway Co., Ltd. | | | 700,647 | |
| | 1,093 | | | DB Insurance Co., Ltd.* | | | 80,998 | |
| | 8,809 | | | Doosan Bobcat Inc. | | | 310,561 | |
| | 9,456 | | | Doosan Enerbility Co., Ltd.* | | | 115,239 | |
| | 1,125 | | | Ecopro BM Co., Ltd.* | | | 225,765 | |
| | 434 | | | Ecopro Co., Ltd.* | | | 201,785 | |
| | 210 | | | Ecopro Materials Co., Ltd.* | | | 30,370 | |
| | 1,242 | | | GS Holdings Corp. | | | 44,745 | |
| | 6,438 | | | Hana Financial Group Inc. | | | 273,404 | |
| | 297 | | | Hanjin Kal Corp. | | | 14,058 | |
See Notes to Financial Statements.
121
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| South Korea — 11.5% — (continued) | |
| | 1,886 | | | Hankook Tire & Technology Co., Ltd. | | $ | 76,695 | |
| | 159 | | | Hanmi Pharm Co., Ltd. | | | 39,834 | |
| | 715 | | | Hanmi Semiconductor Co., Ltd.* | | | 45,462 | |
| | 4,100 | | | Hanon Systems | | | 18,993 | |
| | 840 | | | Hanwha Aerospace Co., Ltd. | | | 118,018 | |
| | 1,359 | | | Hanwha Ocean Co., Ltd.* | | | 23,792 | |
| | 2,434 | | | Hanwha Solutions Corp. | | | 50,781 | |
| | 1,100 | | | HD Hyundai Co., Ltd. | | | 58,336 | |
| | 470 | | | HD Hyundai Heavy Industries Co., Ltd. | | | 41,580 | |
| | 890 | | | HD Korea Shipbuilding & Offshore Engineering Co., Ltd. | | | 74,756 | |
| | 2,744 | | | HLB Inc.* | | | 167,834 | |
| | 5,643 | | | HMM Co., Ltd.* | | | 77,220 | |
| | 482 | | | HYBE Co., Ltd. | | | 72,034 | |
| | 1,889 | | | Hyundai Engineering & Construction Co., Ltd.* | | | 48,932 | |
| | 434 | | | Hyundai Glovis Co., Ltd.* | | | 62,027 | |
| | 5,862 | | | Hyundai Mobis Co., Ltd. | | | 1,066,929 | |
| | 3,101 | | | Hyundai Motor Co. | | | 583,270 | |
| | 1,832 | | | Hyundai Steel Co.* | | | 49,423 | |
| | 6,982 | | | Industrial Bank of Korea* | | | 73,271 | |
| | 7,010 | | | Kakao Corp. | | | 280,693 | |
| | 3,932 | | | KakaoBank Corp. | | | 84,072 | |
| | 619 | | | Kakaopay Corp.* | | | 20,479 | |
| | 2,354 | | | Kangwon Land Inc.* | | | 30,680 | |
| | 36,137 | | | KB Financial Group Inc. | | | 1,705,674 | |
| | 14,260 | | | Kia Corp.* | | | 1,337,561 | |
| | 1,875 | | | Korea Aerospace Industries Ltd.* | | | 72,130 | |
| | 5,504 | | | Korea Electric Power Corp. | | | 102,328 | |
| | 955 | | | Korea Investment Holdings Co., Ltd.* | | | 50,892 | |
| | 195 | | | Korea Zinc Co., Ltd. | | | 65,473 | |
| | 4,032 | | | Korean Air Lines Co., Ltd. | | | 69,555 | |
| | 699 | | | Krafton Inc.* | | | 119,103 | |
| | 36,964 | | | KT Corp. | | | 1,083,858 | |
| | 10,994 | | | KT&G Corp. | | | 766,558 | |
| | 678 | | | Kum Yang Co., Ltd.* | | | 49,202 | |
| | 408 | | | Kumho Petrochemical Co., Ltd.* | | | 45,267 | |
| | 620 | | | L&F Co., Ltd.* | | | 79,355 | |
| | 6,425 | | | LG Chem Ltd. | | | 2,187,514 | |
| | 2,245 | | | LG Corp. | | | 157,852 | |
| | 5,730 | | | LG Display Co., Ltd. | | | 48,009 | |
| | 2,286 | | | LG Electronics Inc. | | | 162,866 | |
| | 2,154 | | | LG Energy Solution Ltd.* | | | 649,989 | |
| | 218 | | | LG H&H Co., Ltd. | | | 52,170 | |
| | 336 | | | LG Innotek Co., Ltd. | | | 51,159 | |
| | 4,603 | | | LG Uplus Corp. | | | 35,602 | |
| | 421 | | | Lotte Chemical Corp. | | | 38,655 | |
| | 2,561 | | | Meritz Financial Group Inc. | | | 159,697 | |
| | 5,672 | | | Mirae Asset Securities Co., Ltd.* | | | 38,392 | |
| | 10,210 | | | NAVER Corp. | | | 1,495,713 | |
| | 280 | | | NCSoft Corp. | | | 40,710 | |
| | 529 | | | Netmarble Corp.*(a) | | | 24,517 | |
| | 3,575 | | | NH Investment & Securities Co., Ltd.* | | | 31,480 | |
| | 638 | | | Orion Corp. | | | 44,471 | |
| | 96 | | | Pearl Abyss Corp.* | | | 2,173 | |
| | 1,134 | | | Posco DX Co., Ltd.* | | | 46,088 | |
| | 735 | | | POSCO Future M Co., Ltd.* | | | 175,415 | |
| | 1,623 | | | POSCO Holdings Inc. | | | 526,320 | |
See Notes to Financial Statements.
122
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| South Korea — 11.5% — (continued) | |
| | 1,191 | | | Posco International Corp.* | | $ | 50,231 | |
| | 1,284 | | | Samsung Biologics Co., Ltd.*(a) | | | 745,257 | |
| | 1,866 | | | Samsung C&T Corp. | | | 219,354 | |
| | 1,253 | | | Samsung Electro-Mechanics Co., Ltd. | | | 131,665 | |
| | 345,533 | | | Samsung Electronics Co., Ltd. | | | 18,915,789 | |
| | 3,787 | | | Samsung Engineering Co., Ltd.* | | | 69,933 | |
| | 715 | | | Samsung Fire & Marine Insurance Co., Ltd.* | | | 159,458 | |
| | 14,774 | | | Samsung Heavy Industries Co., Ltd.* | | | 87,781 | |
| | 1,766 | | | Samsung Life Insurance Co., Ltd. | | | 128,309 | |
| | 4,864 | | | Samsung SDI Co., Ltd. | | | 1,377,590 | |
| | 869 | | | Samsung SDS Co., Ltd. | | | 104,296 | |
| | 1,178 | | | Samsung Securities Co., Ltd. | | | 36,706 | |
| | 49,235 | | | Shinhan Financial Group Co., Ltd. | | | 1,597,735 | |
| | 670 | | | SK Biopharmaceuticals Co., Ltd.* | | | 48,708 | |
| | 725 | | | SK Bioscience Co., Ltd.* | | | 33,411 | |
| | 78,050 | | | SK Hynix Inc. | | | 9,223,464 | |
| | 815 | | | SK IE Technology Co., Ltd.*(a) | | | 44,875 | |
| | 854 | | | SK Inc. | | | 123,128 | |
| | 1,280 | | | SK Innovation Co., Ltd.* | | | 112,540 | |
| | 2,405 | | | SK Square Co., Ltd.* | | | 126,165 | |
| | 1,133 | | | SK Telecom Co., Ltd. | | | 44,728 | |
| | 436 | | | SKC Co., Ltd.* | | | 27,126 | |
| | 1,034 | | | S-Oil Corp. | | | 59,222 | |
| | 13,096 | | | Woori Financial Group Inc. | | | 146,553 | |
| | 1,358 | | | Yuhan Corp. | | | 68,657 | |
| | | | | | | | |
| | | | Total South Korea | | | 51,038,143 | |
| | | | | | | | |
|
| Taiwan — 13.7% | |
| | 11,000 | | | Accton Technology Corp. | | | 180,832 | |
| | 66,000 | | | Acer Inc. | | | 94,398 | |
| | 10,753 | | | Advantech Co., Ltd. | | | 132,340 | |
| | 3,139 | | | Airtac International Group. | | | 120,208 | |
| | 2,000 | | | Alchip Technologies Ltd. | | | 262,342 | |
| | 534,498 | | | ASE Technology Holding Co., Ltd. | | | 2,342,553 | |
| | 59,000 | | | Asia Cement Corp. | | | 75,517 | |
| | 16,000 | | | Asustek Computer Inc. | | | 230,447 | |
| | 129,800 | | | AUO Corp.* | | | 71,907 | |
| | 13,000 | | | Catcher Technology Co., Ltd. | | | 80,892 | |
| | 217,550 | | | Cathay Financial Holding Co., Ltd.* | | | 310,102 | |
| | 34,762 | | | Chailease Holding Co., Ltd. | | | 191,938 | |
| | 130,456 | | | Chang Hwa Commercial Bank Ltd. | | | 73,451 | |
| | 49,000 | | | Cheng Shin Rubber Industry Co., Ltd. | | | 72,867 | |
| | 71,000 | | | China Airlines Ltd. | | | 44,939 | |
| | 368,112 | | | China Development Financial Holding Corp.* | | | 146,167 | |
| | 274,000 | | | China Steel Corp. | | | 213,245 | |
| | 110,000 | | | Chroma ATE Inc. | | | 811,623 | |
| | 82,000 | | | Chunghwa Telecom Co., Ltd. | | | 312,251 | |
| | 97,000 | | | Compal Electronics Inc. | | | 112,416 | |
| | 401,880 | | | CTBC Financial Holding Co., Ltd. | | | 373,014 | |
| | 243,000 | | | Delta Electronics Inc. | | | 2,258,503 | |
| | 18,000 | | | E Ink Holdings Inc. | | | 139,555 | |
| | 321,277 | | | E.Sun Financial Holding Co., Ltd. | | | 256,720 | |
| | 4,100 | | | Eclat Textile Co., Ltd. | | | 70,060 | |
| | 1,000 | | | eMemory Technology Inc. | | | 85,913 | |
| | 61,000 | | | Eva Airways Corp. | | | 60,701 | |
| | 22,791 | | | Evergreen Marine Corp. Taiwan Ltd. | | | 119,179 | |
See Notes to Financial Statements.
123
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| Taiwan — 13.7% — (continued) | |
| | 67,000 | | | Far Eastern New Century Corp. | | $ | 69,005 | |
| | 35,000 | | | Far EasTone Telecommunications Co., Ltd. | | | 87,097 | |
| | 12,230 | | | Feng TAY Enterprise Co., Ltd. | | | 63,971 | |
| | 250,863 | | | First Financial Holding Co., Ltd. | | | 215,121 | |
| | 72,000 | | | Formosa Chemicals & Fibre Corp. | | | 130,295 | |
| | 27,000 | | | Formosa Petrochemical Corp. | | | 63,491 | |
| | 82,000 | | | Formosa Plastics Corp. | | | 186,061 | |
| | 178,554 | | | Fubon Financial Holding Co., Ltd. | | | 383,400 | |
| | 12,000 | | | Gigabyte Technology Co., Ltd. | | | 130,219 | |
| | 2,000 | | | Global Unichip Corp. | | | 100,839 | |
| | 164,000 | | | Globalwafers Co., Ltd. | | | 2,897,107 | |
| | 470,660 | | | Hon Hai Precision Industry Co., Ltd. | | | 1,533,426 | |
| | 7,140 | | | Hotai Motor Co., Ltd. | | | 151,629 | |
| | 206,051 | | | Hua Nan Financial Holdings Co., Ltd. | | | 143,475 | |
| | 174,096 | | | Innolux Corp.* | | | 83,284 | |
| | 61,000 | | | Inventec Corp. | | | 105,681 | |
| | 2,541 | | | Largan Precision Co., Ltd. | | | 207,585 | |
| | 43,264 | | | Lite-On Technology Corp., ADR | | | 149,447 | |
| | 94,000 | | | MediaTek Inc. | | | 3,377,175 | |
| | 250,776 | | | Mega Financial Holding Co., Ltd. | | | 306,926 | |
| | 17,000 | | | Micro-Star International Co., Ltd. | | | 102,432 | |
| | 111,000 | | | Nan Ya Plastics Corp. | | | 209,884 | |
| | 5,000 | | | Nan Ya Printed Circuit Board Corp. | | | 33,482 | |
| | 29,000 | | | Nanya Technology Corp. | | | 61,620 | |
| | 5,000 | | | Nien Made Enterprise Co., Ltd. | | | 58,452 | |
| | 70,000 | | | Novatek Microelectronics Corp. | | | 1,333,995 | |
| | 40,000 | | | Pegatron Corp. | | | 107,988 | |
| | 5,000 | | | PharmaEssentia Corp.* | | | 51,962 | |
| | 46,000 | | | Pou Chen Corp. | | | 44,379 | |
| | 70,000 | | | Powerchip Semiconductor Manufacturing Corp. | | | 61,154 | |
| | 41,806 | | | Poya International Co., Ltd. | | | 649,523 | |
| | 12,539 | | | President Chain Store Corp. | | | 106,967 | |
| | 61,000 | | | Quanta Computer Inc. | | | 445,309 | |
| | 11,000 | | | Realtek Semiconductor Corp. | | | 198,677 | |
| | 34,000 | | | Ruentex Development Co., Ltd.* | | | 39,121 | |
| | 81,598 | | | Shanghai Commercial & Savings Bank Ltd. (The) | | | 116,252 | |
| | 317,693 | | | Shin Kong Financial Holding Co., Ltd.* | | | 83,272 | |
| | 247,387 | | | SinoPac Financial Holdings Co., Ltd. | | | 157,309 | |
| | 24,700 | | | Synnex Technology International Corp. | | | 60,690 | |
| | 264,234 | | | Taishin Financial Holding Co., Ltd. | | | 145,426 | |
| | 157,696 | | | Taiwan Business Bank | | | 69,846 | |
| | 154,668 | | | Taiwan Cement Corp. | | | 157,271 | |
| | 241,337 | | | Taiwan Cooperative Financial Holding Co., Ltd. | | | 197,842 | |
| | 36,000 | | | Taiwan High Speed Rail Corp. | | | 34,390 | |
| | 39,000 | | | Taiwan Mobile Co., Ltd. | | | 122,075 | |
| | 956,507 | | | Taiwan Semiconductor Manufacturing Co., Ltd. | | | 20,788,793 | |
| | 99,284 | | | Taiwan Semiconductor Manufacturing Co., Ltd., ADR | | | 12,774,872 | |
| | 31,000 | | | Unimicron Technology Corp. | | | 175,398 | |
| | 109,000 | | | Uni-President Enterprises Corp. | | | 264,100 | |
| | 252,000 | | | United Microelectronics Corp. | | | 387,704 | |
| | 22,000 | | | Vanguard International Semiconductor Corp. | | | 50,120 | |
| | 2,000 | | | Voltronic Power Technology Corp. | | | 101,181 | |
| | 60,427 | | | Walsin Lihwa Corp. | | | 70,764 | |
| | 19,630 | | | Wan Hai Lines Ltd. | | | 31,278 | |
| | 65,216 | | | Winbond Electronics Corp. | | | 57,722 | |
| | 57,000 | | | Wistron Corp. | | | 207,263 | |
See Notes to Financial Statements.
124
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| Taiwan — 13.7% — (continued) | |
| | 8,000 | | | Wiwynn Corp. | | $ | 591,323 | |
| | 34,760 | | | WPG Holdings Ltd. | | | 102,123 | |
| | 60,700 | | | Yageo Corp. | | | 1,069,455 | |
| | 34,000 | | | Yang Ming Marine Transport Corp. | | | 53,565 | |
| | 231,915 | | | Yuanta Financial Holding Co., Ltd. | | | 201,423 | |
| | 16,000 | | | Zhen Ding Technology Holding Ltd. | | | 50,884 | |
| | | | | | | | |
| | | | Total Taiwan | | | 61,256,600 | |
| | | | | | | | |
|
| Thailand — 0.9% | |
| | 26,800 | | | Advanced Info Service PCL, NVDR | | | 150,158 | |
| | 94,800 | | | Airports of Thailand PCL, NVDR | | | 167,875 | |
| | 185,700 | | | Asset World Corp. PCL, NVDR | | | 20,014 | |
| | 236,400 | | | Bangkok Dusit Medical Services PCL, NVDR | | | 187,959 | |
| | 151,700 | | | Bangkok Expressway & Metro PCL, NVDR | | | 34,063 | |
| | 800 | | | Berli Jucker PCL, NVDR | | | 539 | |
| | 191,400 | | | BTS Group Holdings PCL, NVDR | | | 27,497 | |
| | 12,000 | | | Bumrungrad Hospital PCL, NVDR | | | 74,895 | |
| | 50,100 | | | Central Pattana PCL, NVDR | | | 90,848 | |
| | 33,616 | | | Central Retail Corp. PCL, NVDR | | | 32,607 | |
| | 87,000 | | | Charoen Pokphand Foods PCL, NVDR | | | 45,820 | |
| | 131,700 | | | CP ALL PCL, NVDR | | | 211,528 | |
| | 47,400 | | | CP Axtra PCL, NVDR | | | 43,992 | |
| | 82,000 | | | Delta Electronics Thailand PCL, NVDR* | | | 163,732 | |
| | 36,200 | | | Energy Absolute PCL, NVDR | | | 35,721 | |
| | 17,400 | | | Global Power Synergy PCL, NVDR | | | 24,839 | |
| | 68,200 | | | Gulf Energy Development PCL, NVDR | | | 81,843 | |
| | 137,900 | | | Home Product Center PCL, NVDR | | | 43,136 | |
| | 33,600 | | | Indorama Ventures PCL, NVDR | | | 21,837 | |
| | 21,950 | | | Intouch Holdings PCL, NVDR | | | 41,492 | |
| | 188,700 | | | Kasikornbank PCL | | | 646,828 | |
| | 14,400 | | | Kasikornbank PCL, NVDR | | | 49,381 | |
| | 87,300 | | | Krung Thai Bank PCL, NVDR | | | 39,171 | |
| | 22,200 | | | Krungthai Card PCL, NVDR | | | 26,572 | |
| | 182,200 | | | Land and Houses PCL, NVDR | | | 38,735 | |
| | 71,000 | | | Minor International PCL, NVDR | | | 62,853 | |
| | 19,800 | | | Muangthai Capital PCL, NVDR | | | 25,378 | |
| | 170,700 | | | PTT Exploration & Production PCL | | | 717,686 | |
| | 29,800 | | | PTT Exploration & Production PCL, NVDR | | | 125,340 | |
| | 55,700 | | | PTT Global Chemical PCL, NVDR | | | 59,082 | |
| | 62,700 | | | PTT Oil & Retail Business PCL, NVDR | | | 31,644 | |
| | 218,300 | | | PTT PCL, NVDR | | | 208,587 | |
| | 19,900 | | | SCB X PCL, NVDR | | | 62,377 | |
| | 35,400 | | | SCG Packaging PCL, NVDR | | | 27,678 | |
| | 17,600 | | | Siam Cement PCL (The), NVDR | | | 131,892 | |
| | 24,300 | | | Thai Oil PCL, NVDR | | | 38,020 | |
| | 456,700 | | | TMBThanachart Bank PCL, NVDR | | | 23,420 | |
| | 272,121 | | | True Corp. PCL, NVDR* | | | 53,528 | |
| | | | | | | | |
| | | | Total Thailand | | | 3,868,567 | |
| | | | | | | | |
|
| Turkey — 0.9% | |
| | 66,080 | | | Akbank TAS | | | 87,918 | |
| | 32,036 | | | Aselsan Elektronik Sanayi Ve Ticaret AS | | | 61,510 | |
| | 9,832 | | | BIM Birlesik Magazalar AS | | | 122,137 | |
| | 1,507 | | | Coca-Cola Icecek AS | | | 31,216 | |
| | 34,916 | | | Eregli Demir ve Celik Fabrikalari TAS* | | | 50,865 | |
| | 1,799 | | | Ford Otomotiv Sanayi AS | | | 58,575 | |
See Notes to Financial Statements.
125
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| Turkey — 0.9% — (continued) | |
| | 17,282 | | | Haci Ömer Sabanci Holding AS | | $ | 43,933 | |
| | 16,521 | | | KOC Holding AS | | | 88,919 | |
| | 251,340 | | | MLP Saglik Hizmetleri AS, Class B Shares*(a) | | | 1,376,013 | |
| | 1,074 | | | Pegasus Hava Tasimaciligi AS* | | | 29,455 | |
| | 24,386 | | | Sasa Polyester Sanayi AS* | | | 30,886 | |
| | 443,220 | | | Sok Marketler Ticaret AS | | | 950,733 | |
| | 55,071 | | | Tofas Turk Otomobil Fabrikasi AS | | | 471,640 | |
| | 11,874 | | | Turk Hava Yollari AO* | | | 107,040 | |
| | 25,061 | | | Turkcell Iletisim Hizmetleri AS | | | 53,670 | |
| | 204,992 | | | Turkiye Is Bankasi AS, Class C Shares | | | 72,801 | |
| | 21,767 | | | Turkiye Petrol Rafinerileri AS | | | 112,681 | |
| | 28,575 | | | Turkiye Sise ve Cam Fabrikalari AS | | | 46,794 | |
| | 81,036 | | | Yapi ve Kredi Bankasi AS | | | 59,879 | |
| | | | | | | | |
| | | | Total Turkey | | | 3,856,665 | |
| | | | | | | | |
|
| United Arab Emirates — 0.6% | |
| | 68,189 | | | Abu Dhabi Commercial Bank PJSC | | | 159,243 | |
| | 34,874 | | | Abu Dhabi Islamic Bank PJSC | | | 106,752 | |
| | 61,887 | | | Abu Dhabi National Oil Co. for Distribution PJSC | | | 58,996 | |
| | 91,632 | | | Aldar Properties PJSC | | | 138,003 | |
| | 549,764 | | | Americana Restaurants International PLC | | | 515,358 | |
| | 68,441 | | | Dubai Islamic Bank PJSC | | | 120,067 | |
| | 152,640 | | | Emaar Properties PJSC | | | 337,268 | |
| | 44,567 | | | Emirates NBD Bank PJSC | | | 222,088 | |
| | 78,359 | | | Emirates Telecommunications Group Co. PJSC | | | 386,290 | |
| | 99,897 | | | First Abu Dhabi Bank PJSC | | | 371,836 | |
| | 85,755 | | | Multiply Group PJSC* | | | 53,000 | |
| | | | | | | | |
| | | | Total United Arab Emirates | | | 2,468,901 | |
| | | | | | | | |
|
| United Kingdom — 1.0% | |
| | 26,745 | | | Anglo American PLC | | | 575,934 | |
| | 9,755 | | | Anglogold Ashanti PLC | | | 183,581 | |
| | 37,000 | | | Bank of Georgia Group PLC | | | 2,201,263 | |
| | 490,959 | | | Helios Towers PLC* | | | 467,125 | |
| | 3,718 | | | Pepco Group NV* | | | 18,646 | |
| | 21,479 | | | Unilever PLC | | | 1,051,164 | |
| | | | | | | | |
| | | | Total United Kingdom | | | 4,497,713 | |
| | | | | | | | |
|
| United States — 0.4% | |
| | 15,962 | | | BeiGene Ltd.* | | | 207,581 | |
| | 3,620 | | | EPAM Systems Inc.* | | | 1,101,928 | |
| | 1,962 | | | Legend Biotech Corp., ADR* | | | 127,844 | |
| | 2,000 | | | Parade Technologies Ltd. | | | 63,899 | |
| | 2,504 | | | Southern Copper Corp. | | | 202,473 | |
| | | | | | | | |
| | | | Total United States | | | 1,703,725 | |
| | | | | | | | |
|
| Uruguay — 2.0% | |
| | 43,600 | | | Arcos Dorados Holdings Inc., Class A Shares | | | 517,096 | |
| | 12,776 | | | Globant SA* | | | 2,851,220 | |
| | 3,408 | | | MercadoLibre Inc.* | | | 5,436,782 | |
| | | | | | | | |
| | | | Total Uruguay | | | 8,805,098 | |
| | | | | | | | |
| | | | TOTAL COMMON STOCKS
(Cost — $376,394,822) | | | 429,619,380 | |
| | | | | | | | |
See Notes to Financial Statements.
126
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
| Shares/Units | | | Security | | Value | |
|
| PREFERRED STOCKS — 1.8% | |
|
| Brazil — 0.7% | |
| | 120,491 | | | Banco Bradesco SA, Class Preferred Shares | | $ | 333,290 | |
| | 5,428 | | | Centrais Eletricas Brasileiras SA, Class Preferred B Shares | | | 52,316 | |
| | 30,344 | | | Cia Energetica de Minas Gerais, Class Preferred Shares | | | 73,069 | |
| | 28,455 | | | Cia Paranaense de Energia, Class Preferred B Shares | | | 58,503 | |
| | 27,094 | | | Gerdau SA, Class Preferred Shares | | | 117,186 | |
| | 109,546 | | | Itau Unibanco Holding SA, Class Preferred Shares | | | 747,951 | |
| | 124,732 | | | Itausa SA, Class Preferred Shares | | | 258,452 | |
| | 109,530 | | | Petroleo Brasileiro SA, Class Preferred Shares | | | 884,454 | |
| | 441,800 | | | Raizen SA, Class Preferred Shares | | | 314,626 | |
| | 9,738 | | | Telefonica Brasil SA, Class Preferred Shares | | | 106,726 | |
| | | | | | | | |
| | | | Total Brazil | | | 2,946,573 | |
| | | | | | | | |
|
| Chile — 0.0%@ | |
| | 3,343 | | | Sociedad Quimica y Minera de Chile SA, Class Preferred B Shares | | | 166,101 | |
| | | | | | | | |
|
| Colombia — 0.0%@ | |
| | 9,320 | | | Bancolombia SA, Class Preferred Shares | | | 76,175 | |
| | | | | | | | |
|
| Mexico — 0.1% | |
| | 351,324 | | | Cemex SAB de CV, Class Preferred Shares* | | | 268,730 | |
| | | | | | | | |
|
| Russia — 0.0%@ | |
| | 209,216 | | | Surgutneftegas PJSC, Class Preferred Shares#(d) | | | 850 | |
| | | | | | | | |
|
| South Korea — 1.0% | |
| | 940 | | | Hyundai Motor Co., Class Preferred 2nd Shares | | | 113,702 | |
| | 565 | | | Hyundai Motor Co., Class Preferred Shares | | | 67,596 | |
| | 149 | | | LG Chem Ltd., Class Preferred Shares | | | 33,578 | |
| | 88,423 | | | Samsung Electronics Co., Ltd., Class Preferred Shares | | | 4,219,764 | |
| | | | | | | | |
| | | | Total South Korea | | | 4,434,640 | |
| | | | | | | | |
| | | | TOTAL PREFERRED STOCKS
(Cost — $7,294,621) | | | 7,893,069 | |
| | | | | | | | |
|
| RIGHTS — 0.0%@ | |
|
| Brazil — 0.0%@ | |
| | 6,337 | | | Magazine Luiza SA expires 3/6/24*(e) | | | 229 | |
| | | | | | | | |
|
| South Korea — 0.0%@ | |
| | 1,821 | | | LG Display Co., Ltd. expires 3/9/24*(e) | | | 1,787 | |
| | | | | | | | |
| | | | TOTAL RIGHTS
(Cost — $0) | | | 2,016 | |
| | | | | | | | |
| | | | TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS
(Cost — $383,689,443) | | | 437,514,465 | |
| | | | | | | | |
| | |
Face
Amount† | | | | | | |
|
| SHORT-TERM INVESTMENTS (g) — 2.3% | |
|
| MONEY MARKET FUND — 0.2% | |
| $ | 843,580 | | | Invesco STIT — Government & Agency Portfolio, Institutional Class, 5.173%(h)
(Cost — $843,580) | | | 843,580 | |
| | | | | | | | |
| |
| TIME DEPOSITS — 2.1% | | | |
| | 1,782,061 | | | ANZ National Bank — London, 4.680% due 3/1/24 | | | 1,782,061 | |
| | 9,830 | | | Citibank — New York, 4.680% due 3/1/24 | | | 9,830 | |
| | 2,884,857 | | | DBS Bank Ltd. — Singapore, 4.680% due 3/1/24 | | | 2,884,857 | |
| | 66,130 | HKD | | HSBC Bank — Hong Kong, 3.000% due 3/1/24 | | | 8,446 | |
See Notes to Financial Statements.
127
| | | | | | | | |
| Emerging Markets Equity Fund | |
| | |
Face
Amount† | | | Security | | Value | |
| |
| TIME DEPOSITS — 2.1% — (continued) | | | |
| $ | 850,933 | | | JPMorgan Chase & Co. — New York, 4.680% due 3/1/24 | | $ | 850,933 | |
| | | | Skandinaviska Enskilda Banken AB — Stockholm: | | | | |
| | 2,337 | EUR | | 2.820% due 3/1/24 | | | 2,526 | |
| | 131 | GBP | | 4.150% due 3/1/24 | | | 165 | |
| | 108,254 | ZAR | | Standard Chartered Bank — Johannesburg, 6.430% due 3/1/24 | | | 5,644 | |
| | 3,929,852 | | | Sumitomo Mitsui Banking Corp. — Tokyo, 4.680% due 3/1/24 | | | 3,929,852 | |
| | | | | | | | |
| | | | TOTAL TIME DEPOSITS
(Cost — $9,474,314) | | | 9,474,314 | |
| | | | | | | | |
| | | | TOTAL SHORT-TERM INVESTMENTS
(Cost — $10,317,894) | | | 10,317,894 | |
| | | | | | | | |
| | | | TOTAL INVESTMENTS — 100.5%
(Cost — $394,007,337) | | | 447,832,359 | |
| | | | | | | | |
| | | | Liabilities in Excess of Other Assets — (0.5)% . | | | (2,291,539 | ) |
| | | | | | | | |
| | | | TOTAL NET ASSETS — 100.0% | | $ | 445,540,820 | |
| | | | | | | | |
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
| * | Non-income producing security. |
| @ | The amount is less than 0.05%. |
| (a) | Restricted security that may be sold to “qualified institutional buyers” pursuant to the conditions of Rule 144A under the Securities Act of 1933, as amended. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees, unless otherwise noted. The aggregate value of restricted 144A holdings at February 29, 2024, amounts to $12,119,134 and represents 2.7% of net assets. |
| (b) | All or a portion of this security is on loan (See Note 1). |
| (c) | Security trades on the Hong Kong exchange. |
| (e) | Security is valued in good faith at fair value by or under the direction of the Board of Trustees. |
| (f) | The aggregate value of restricted securities (excluding 144A holdings) at February 29, 2024, amounts to $13,934 and represents less than 0.05% of net assets. |
| (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 2.1%. |
| (h) | Represents investments of collateral received from securities lending transactions. |
| # | Security that used significant unobservable inputs to determine fair value. At February 29, 2024, the Fund held Level 3 securities in the amount of $41,792, representing less than 0.05% of net assets. |
At February 29, 2024, 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 | | $ | 394,007,337 | | | $ | 125,818,548 | | | | $ (71,994,326) | | | $ | 53,824,222 | |
| | |
Abbreviations used in this schedule: |
| ADR | | — American Depositary Receipt |
| GDR | | — Global Depositary Receipt |
| NVDR | | — Non Voting Depository Receipt |
| PCL | | — Public Company Limited |
| PJSC | | — Private Joint Stock Company |
| PLC | | — Public Limited Company |
| REIT | | — Real Estate Investment Trust |
See Notes to Financial Statements.
128
| | | | |
| Emerging Markets Equity Fund |
| | | | |
| Summary of Investments by Security Sector^ | | | |
Information Technology | | | | |
Semiconductors & Semiconductor Equipment | | | 12.6 | % |
Technology Hardware, Storage & Peripherals | | | 6.3 | |
IT Services | | | 2.7 | |
Other | | | 2.3 | |
Financials | | | | |
Banks | | | 18.5 | |
Insurance | | | 3.0 | |
Consumer Finance | | | 0.9 | |
Other | | | 1.4 | |
Consumer Discretionary | | | 13.5 | |
Industrials | | | 7.3 | |
Communication Services | | | 7.2 | |
Energy | | | 5.8 | |
Materials | | | 5.7 | |
Consumer Staples | | | 4.4 | |
Health Care | | | 3.6 | |
Utilities | | | 1.4 | |
Real Estate | | | 1.3 | |
Short-Term Investments | | | 2.1 | |
| | | | |
Total Investments | | | 100.0 | %+ |
| | | | |
| ^ | As a percentage of total investments. |
| + | Does not reflect investments of collateral received from securities lending transactions. |
At February 29, 2024, Emerging Markets Equity Fund had open exchange-traded futures contracts as described below.
The unrealized depreciation on the open contracts reflected in the accompanying financial statements was as follows:
| | | | | | | | | | | | | | | | | | | | |
| Open Futures Contracts | | Number of
Contracts | | | Expiration
Date
(Month/Year) | | | Notional
Amount | | | Market
Value | | | Unrealized
Depreciation | |
| Contracts to Buy: | | | | | | | | | | | | | | | | | | | | |
E-mini MSCI Emerging Markets Index Futures | | | 11 | | | | 3/24 | | | $ | 560,040 | | | $ | 559,240 | | | $ | (800) | |
| | | | | | | | | | | | | | | | | |
At February 29, 2024, Emerging Markets Equity Fund had deposited cash of $16,994 with a broker or brokers as margin collateral on open exchange-traded futures contracts.
| | |
Currency Abbreviations used in this schedule: |
| EUR | | — Euro |
| GBP | | — British Pound |
| HKD | | — Hong Kong Dollar |
| ZAR | | — South African Rand |
See Notes to Financial Statements.
129
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| CORPORATE BONDS & NOTES — 25.2% | |
|
| Advertising — 0.0%@ | |
| | | | | | Omnicom Group Inc./Omnicom Capital Inc., Senior Unsecured Notes: | | | | |
| $ | 193,000 | | | BBB+ | | 3.650% due 11/1/24 | | $ | 190,523 | |
| | 77,000 | | | BBB+ | | 3.600% due 4/15/26 | | | 74,612 | |
| | | | | | | | | | |
| | | | | | Total Advertising | | | 265,135 | |
| | | | | | | | | | |
| |
| Aerospace/Defense — 1.1% | | | |
| | 2,396,000 | | | BBB+ | | BAE Systems Holdings Inc., Company Guaranteed Notes, 3.850% due 12/15/25(a) | | | 2,337,386 | |
| | | | | | Boeing Co. (The), Senior Unsecured Notes: | | | | |
| | 510,000 | | | BBB- | | 4.875% due 5/1/25 | | | 505,464 | |
| | 2,967,000 | | | BBB- | | 2.196% due 2/4/26 | | | 2,785,245 | |
| | 50,000 | | | BBB- | | 3.100% due 5/1/26 | | | 47,641 | |
| | 70,000 | | | BBB- | | 2.700% due 2/1/27 | | | 65,199 | |
| | 480,000 | | | BBB- | | 2.800% due 3/1/27 | | | 445,529 | |
| | 260,000 | | | BBB- | | 3.200% due 3/1/29 | | | 235,252 | |
| | 250,000 | | | BBB- | | 5.150% due 5/1/30 | | | 245,834 | |
| | 440,000 | | | BBB- | | 3.250% due 2/1/35 | | | 353,787 | |
| | 40,000 | | | BBB- | | 3.550% due 3/1/38 | | | 30,955 | |
| | 420,000 | | | BBB- | | 5.705% due 5/1/40 | | | 409,285 | |
| | 140,000 | | | BBB- | | 3.750% due 2/1/50 | | | 99,649 | |
| | 1,000,000 | | | BBB- | | 5.805% due 5/1/50 | | | 960,432 | |
| | 248,000 | | | BBB- | | 3.950% due 8/1/59 | | | 176,692 | |
| | 241,000 | | | BBB- | | 5.930% due 5/1/60 | | | 231,122 | |
| | | | | | General Dynamics Corp., Company Guaranteed Notes: | | | | |
| | 350,000 | | | A- | | 3.750% due 5/15/28 | | | 337,168 | |
| | 10,000 | | | A- | | 4.250% due 4/1/40 | | | 8,957 | |
| | 60,000 | | | A- | | 4.250% due 4/1/50 | | | 51,721 | |
| | 82,000 | | | BBB | | L3 Technologies Inc., Company Guaranteed Notes, 3.850% due 12/15/26 | | | 79,208 | |
| | | | | | L3Harris Technologies Inc., Senior Unsecured Notes: | | | | |
| | 489,000 | | | BBB | | 3.850% due 12/15/26 | | | 472,348 | |
| | 388,000 | | | BBB | | 5.400% due 1/15/27 | | | 390,452 | |
| | 1,731,000 | | | BBB | | 4.400% due 6/15/28 | | | 1,682,947 | |
| | 30,000 | | | BBB | | 5.054% due 4/27/45 | | | 28,077 | |
| | 282,000 | | | BBB | | 5.600% due 7/31/53 | | | 284,209 | |
| | | | | | Lockheed Martin Corp., Senior Unsecured Notes: | | | | |
| | 90,000 | | | A- | | 3.900% due 6/15/32 | | | 83,545 | |
| | 40,000 | | | A- | | 4.500% due 5/15/36 | | | 37,815 | |
| | 126,000 | | | A- | | 3.800% due 3/1/45 | | | 102,352 | |
| | 784,000 | | | A- | | 4.150% due 6/15/53 | | | 653,613 | |
| | 120,000 | | | A- | | 5.200% due 2/15/64 | | | 117,304 | |
| | | | | | Northrop Grumman Corp., Senior Unsecured Notes: | | | | |
| | 10,000 | | | BBB+ | | 2.930% due 1/15/25 | | | 9,784 | |
| | 720,000 | | | BBB+ | | 3.250% due 1/15/28 | | | 675,676 | |
| | 334,000 | | | BBB+ | | 4.700% due 3/15/33 | | | 322,413 | |
| | 64,000 | | | BBB+ | | 4.750% due 6/1/43 | | | 58,135 | |
| | 111,000 | | | BBB+ | | 4.030% due 10/15/47 | | | 89,600 | |
| | 280,000 | | | BBB+ | | 5.250% due 5/1/50 | | | 270,255 | |
| | | | | | Raytheon Co., Senior Unsecured Notes: | | | | |
| | 24,000 | | | BBB+ | | 7.000% due 11/1/28 | | | 25,403 | |
| | 27,000 | | | BBB+ | | 4.200% due 12/15/44 | | | 21,427 | |
| | | | | | RTX Corp., Senior Unsecured Notes: | | | | |
| | 70,000 | | | BBB+ | | 3.150% due 12/15/24 | | | 68,713 | |
| | 130,000 | | | BBB+ | | 3.950% due 8/16/25 | | | 127,539 | |
| | 1,837,000 | | | BBB+ | | 4.125% due 11/16/28 | | | 1,763,014 | |
| | 140,000 | | | BBB+ | | 5.750% due 1/15/29 | | | 144,241 | |
See Notes to Financial Statements.
130
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| |
| Aerospace/Defense — 1.1% — (continued) | | | |
| $ | 140,000 | | | BBB+ | | 2.250% due 7/1/30 | | $ | 118,479 | |
| | 470,000 | | | BBB+ | | 6.000% due 3/15/31 | | | 489,507 | |
| | 816,000 | | | BBB+ | | 2.375% due 3/15/32 | | | 664,411 | |
| | 564,000 | | | BBB+ | | 6.100% due 3/15/34 | | | 595,551 | |
| | 410,000 | | | BBB+ | | 4.500% due 6/1/42 | | | 358,994 | |
| | 76,000 | | | BBB+ | | 3.750% due 11/1/46 | | | 58,029 | |
| | 377,000 | | | BBB+ | | 2.820% due 9/1/51 | | | 235,685 | |
| | 90,000 | | | BBB+ | | 3.030% due 3/15/52 | | | 58,831 | |
| | | | | | TransDigm Inc., Senior Secured Notes: | | | | |
| | 240,000 | | | B+ | | 7.125% due 12/1/31(a) | | | 246,497 | |
| | 170,000 | | | B+ | | 6.625% due 3/1/32(a) | | | 171,418 | |
| | | | | | | | | | |
| | | | | | Total Aerospace/Defense | | | 19,832,790 | |
| | | | | | | | | | |
| |
| Agriculture — 0.6% | | | |
| | | | | | Altria Group Inc., Company Guaranteed Notes: | | | | |
| | 40,000 | | | BBB | | 2.350% due 5/6/25 | | | 38,632 | |
| | 20,000 | | | BBB | | 4.400% due 2/14/26 | | | 19,695 | |
| | 210,000 | | | BBB | | 6.200% due 11/1/28 | | | 218,292 | |
| | 752,000 | | | BBB | | 4.800% due 2/14/29 | | | 738,953 | |
| | 1,690,000 | | | BBB | | 2.450% due 2/4/32 | | | 1,355,165 | |
| | 1,169,000 | | | BBB | | 6.875% due 11/1/33 | | | 1,259,246 | |
| | 90,000 | | | BBB | | 5.800% due 2/14/39 | | | 89,767 | |
| | 80,000 | | | BBB | | 3.875% due 9/16/46 | | | 58,876 | |
| | 320,000 | | | BBB | | 5.950% due 2/14/49 | | | 318,579 | |
| | 82,000 | | | BBB | | 6.200% due 2/14/59 | | | 83,490 | |
| | | | | | BAT Capital Corp., Company Guaranteed Notes: | | | | |
| | 174,000 | | | BBB+ | | 3.557% due 8/15/27 | | | 164,494 | |
| | 348,000 | | | BBB+ | | 2.259% due 3/25/28 | | | 308,003 | |
| | 105,000 | | | BBB+ | | 5.834% due 2/20/31 | | | 104,828 | |
| | 90,000 | | | BBB+ | | 6.000% due 2/20/34 | | | 89,146 | |
| | 1,949,000 | | | BBB+ | | 4.540% due 8/15/47 | | | 1,462,607 | |
| | 181,000 | | | BBB+ | | 4.758% due 9/6/49 | | | 139,982 | |
| | 237,000 | | | BBB+ | | 3.984% due 9/25/50 | | | 161,754 | |
| | 680,000 | | | BBB+ | | 5.650% due 3/16/52 | | | 597,642 | |
| | 458,000 | | | BBB+ | | 7.081% due 8/2/53 | | | 474,005 | |
| | | | | | BAT International Finance PLC, Company Guaranteed Notes: | | | | |
| | 710,000 | | | BBB+ | | 4.448% due 3/16/28 | | | 684,777 | |
| | 168,000 | | | BBB+ | | 5.931% due 2/2/29 | | | 171,584 | |
| | | | | | Imperial Brands Finance PLC, Company Guaranteed Notes: | | | | |
| | 400,000 | | | BBB | | 3.125% due 7/26/24(a) | | | 395,763 | |
| | 205,000 | | | BBB | | 3.500% due 7/26/26(a) | | | 195,022 | |
| | | | | | Philip Morris International Inc., Senior Unsecured Notes: | | | | |
| | 234,000 | | | A- | | 5.125% due 11/17/27 | | | 234,474 | |
| | 180,000 | | | A- | | 4.875% due 2/13/29 | | | 177,445 | |
| | 210,000 | | | A- | | 2.100% due 5/1/30 | | | 177,209 | |
| | 40,000 | | | A- | | 5.125% due 2/13/31 | | | 39,385 | |
| | 140,000 | | | A- | | 5.250% due 2/13/34 | | | 136,943 | |
| | 60,000 | | | A- | | 4.500% due 3/20/42 | | | 51,872 | |
| | 864,000 | | | BBB+ | | Reynolds American Inc., Company Guaranteed Notes, 5.850% due 8/15/45 | | | 786,823 | |
| | | | | | | | | | |
| | | | | | Total Agriculture | | | 10,734,453 | |
| | | | | | | | | | |
| |
| Airlines — 0.1% | | | |
| | 37,000 | | | BB- | | American Airlines Class B Pass-Through Trust, Series 2016-2, Pass-Thru Certificates, 4.375% due 6/15/24(a) | | | 36,744 | |
| | 470 | | | BB | | American Airlines Class B Pass-Through Trust, Series 2016-3, Pass-Thru Certificates, 3.750% due 10/15/25 | | | 453 | |
See Notes to Financial Statements.
131
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| |
| Airlines — 0.1% — (continued) | | | |
| $ | 250,000 | | | BB | | American Airlines Inc., Senior Secured Notes, 8.500% due 5/15/29(a) | | $ | 262,973 | |
| | | | | | Delta Air Lines Inc., Senior Unsecured Notes: | | | | |
| | 200,000 | | | BB+ | | 2.900% due 10/28/24 | | | 196,173 | |
| | 210,000 | | | BB+ | | 7.375% due 1/15/26 | | | 216,788 | |
| | | | | | Delta Air Lines Inc./SkyMiles IP Ltd., Senior Secured Notes: | | | | |
| | 133,991 | | | Baa1(b) | | 4.500% due 10/20/25(a) | | | 132,282 | |
| | 120,000 | | | Baa1(b) | | 4.750% due 10/20/28(a) | | | 117,615 | |
| | 217,000 | | | Baa3(b) | | Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., Senior Secured Notes, 6.500% due 6/20/27(a) | | | 217,462 | |
| | 95,743 | | | Caa2(b) | | Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd., Senior Secured Notes, 8.000% due 9/20/25(a) | | | 69,324 | |
| | 45,749 | | | Aa3(b) | | United Airlines Class AA Pass-Through Trust, Pass-Thru Certificates, 4.150% due 8/25/31 | | | 42,579 | |
| | | | | | United Airlines Inc., Senior Secured Notes: | | | | |
| | 130,000 | | | BB | | 4.375% due 4/15/26(a) | | | 125,263 | |
| | 810,000 | | | BB | | 4.625% due 4/15/29(a) | | | 747,186 | |
| | | | | | | | | | |
| | | | | | Total Airlines | | | 2,164,842 | |
| | | | | | | | | | |
| |
| Apparel — 0.0%@ | | | |
| | | | | | NIKE Inc., Senior Unsecured Notes: | | | | |
| | 230,000 | | | AA- | | 2.750% due 3/27/27 | | | 217,066 | |
| | 140,000 | | | AA- | | 2.850% due 3/27/30 | | | 126,038 | |
| | 100,000 | | | AA- | | 3.250% due 3/27/40 | | | 79,470 | |
| | 220,000 | | | AA- | | 3.375% due 3/27/50 | | | 166,866 | |
| | | | | | | | | | |
| | | | | | Total Apparel | | | 589,440 | |
| | | | | | | | | | |
| |
| Auto Manufacturers — 0.4% | | | |
| | | | | | Ford Motor Co., Senior Unsecured Notes: | | | | |
| | 150,000 | | | BBB- | | 3.250% due 2/12/32 | | | 123,045 | |
| | 140,000 | | | BBB- | | 6.100% due 8/19/32 | | | 139,646 | |
| | 30,000 | | | BBB- | | 4.750% due 1/15/43 | | | 24,279 | |
| | | | | | Ford Motor Credit Co. LLC, Senior Unsecured Notes: | | | | |
| | 500,000 | | | BBB- | | 4.950% due 5/28/27 | | | 486,083 | |
| | 460,000 | | | BBB- | | 2.900% due 2/16/28 | | | 412,224 | |
| | 220,000 | | | BBB- | | 2.900% due 2/10/29 | | | 191,747 | |
| | 200,000 | | | BBB- | | 5.113% due 5/3/29 | | | 192,702 | |
| | 640,000 | | | BBB- | | 7.350% due 3/6/30 | | | 678,443 | |
| | 1,500,000 | | | BBB- | | 7.200% due 6/10/30 | | | 1,583,221 | |
| | 200,000 | | | BBB- | | 4.000% due 11/13/30 | | | 176,796 | |
| | 330,000 | | | BBB- | | 7.122% due 11/7/33 | | | 351,746 | |
| | | | | | General Motors Co., Senior Unsecured Notes: | | | | |
| | 330,000 | | | BBB | | 6.125% due 10/1/25 | | | 332,721 | |
| | 250,000 | | | BBB | | 6.250% due 10/2/43 | | | 251,516 | |
| | 455,000 | | | BBB | | 5.200% due 4/1/45 | | | 401,721 | |
| | 100,000 | | | BBB | | General Motors Financial Co., Inc., Company Guaranteed Notes, 4.350% due 1/17/27 | | | 97,325 | |
| | | | | | Nissan Motor Co., Ltd., Senior Unsecured Notes: | | | | |
| | 600,000 | | | BB+ | | 3.522% due 9/17/25(a) | | | 577,187 | |
| | 900,000 | | | BB+ | | 4.345% due 9/17/27(a) | | | 854,718 | |
| | | | | | | | | | |
| | | | | | Total Auto Manufacturers | | | 6,875,120 | |
| | | | | | | | | | |
| |
| Banks — 6.6% | | | |
| | 400,000 | | | A- | | Banco Santander SA, Senior Non-Preferred Notes, 2.746% due 5/28/25 | | | 386,048 | |
| | | | | | Bank of America Corp.: | | | | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 280,000 | | | A- | | 4.000% due 4/1/24 | | | 279,604 | |
| | 60,000 | | | A- | | 3.841% (SOFR + 1.110%) due 4/25/25(c) | | | 59,817 | |
| | 210,000 | | | A- | | 3.500% due 4/19/26 | | | 203,698 | |
See Notes to Financial Statements.
132
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| |
| Banks — 6.6% — (continued) | | | |
| $ | 740,000 | | | A- | | 1.658% (SOFR + 0.910%) due 3/11/27(c) | | $ | 686,536 | |
| | 140,000 | | | A- | | 1.734% (SOFR + 0.960%) due 7/22/27(c) | | | 128,385 | |
| | 130,000 | | | A- | | 4.376% (SOFR + 1.580%) due 4/27/28(c) | | | 126,543 | |
| | 50,000 | | | A- | | 3.593% (3-Month Term SOFR + 1.632%) due 7/21/28(c) | | | 47,394 | |
| | 435,000 | | | A- | | 3.419% (3-Month Term SOFR + 1.302%) due 12/20/28(c) | | | 406,739 | |
| | 3,960,000 | | | A- | | 3.970% (3-Month Term SOFR + 1.332%) due 3/5/29(c) | | | 3,766,796 | |
| | 3,045,000 | | | A- | | 2.087% (SOFR + 1.060%) due 6/14/29(c) | | | 2,675,666 | |
| | 2,941,000 | | | A- | | 5.819% (SOFR + 1.570%) due 9/15/29(c) | | | 2,996,830 | |
| | 659,000 | | | A- | | 3.974% (3-Month Term SOFR + 1.472%) due 2/7/30(c) | | | 619,397 | |
| | 623,000 | | | A- | | 2.592% (SOFR + 2.150%) due 4/29/31(c) | | | 532,316 | |
| | 685,000 | | | A- | | 1.922% (SOFR + 1.370%) due 10/24/31(c) | | | 552,529 | |
| | 690,000 | | | A- | | 2.687% (SOFR + 1.320%) due 4/22/32(c) | | | 576,849 | |
| | 305,000 | | | A- | | 2.299% (SOFR + 1.220%) due 7/21/32(c) | | | 246,509 | |
| | 600,000 | | | A- | | 2.572% (SOFR + 1.210%) due 10/20/32(c) | | | 491,870 | |
| | 3,052,000 | | | A- | | 2.972% (SOFR + 1.330%) due 2/4/33(c) | | | 2,565,231 | |
| | 1,490,000 | | | A- | | 4.571% (SOFR + 1.830%) due 4/27/33(c) | | | 1,400,572 | |
| | 2,411,000 | | | A- | | 5.872% (SOFR + 1.840%) due 9/15/34(c) | | | 2,475,392 | |
| | 1,055,000 | | | A- | | 5.468% (SOFR + 1.650%) due 1/23/35(c) | | | 1,052,225 | |
| | 240,000 | | | A- | | 5.000% due 1/21/44 | | | 230,247 | |
| | 400,000 | | | A- | | 4.330% (3-Month Term SOFR + 1.782%) due 3/15/50(c) | | | 340,405 | |
| | 50,000 | | | A- | | 4.083% (3-Month Term SOFR + 3.412%) due 3/20/51(c) | | | 40,336 | |
| | | | | | Subordinated Notes: | | | | |
| | 600,000 | | | BBB+ | | 4.200% due 8/26/24 | | | 595,550 | |
| | 450,000 | | | BBB+ | | 4.000% due 1/22/25 | | | 443,405 | |
| | 30,000 | | | BBB+ | | 7.250% due 10/15/25 | | | 30,744 | |
| | 40,000 | | | BBB+ | | 4.450% due 3/3/26 | | | 39,361 | |
| | 20,000 | | | BBB+ | | 4.250% due 10/22/26 | | | 19,567 | |
| | | | | | Bank of Montreal: | | | | |
| | 40,000 | | | A- | | Senior Unsecured Notes, 1.850% due 5/1/25 | | | 38,452 | |
| | 50,000 | | | BBB+ | | Subordinated Notes, 3.803% (5-Year USD Swap Rate + 1.432%) due 12/15/32(c) | | | 46,029 | |
| | | | | | Bank of New York Mellon Corp. (The), Senior Unsecured Notes: | | | | |
| | 90,000 | | | A | | 1.600% due 4/24/25 | | | 86,481 | |
| | 390,000 | | | A | | 4.289% (SOFR + 1.418%) due 6/13/33(c) | | | 365,030 | |
| | 320,000 | | | A | | 5.834% (SOFR + 2.074%) due 10/25/33(c) | | | 332,249 | |
| | | | | | Bank of Nova Scotia (The): | | | | |
| | 10,000 | | | A- | | Senior Unsecured Notes, 1.300% due 6/11/25 | | | 9,505 | |
| | 180,000 | | | BBB+ | | Subordinated Notes, 4.588% (5-Year CMT Index + 2.050%) due 5/4/37(c) | | | 161,153 | |
| | | | | | Barclays PLC, Senior Unsecured Notes: | | | | |
| | 820,000 | | | BBB+ | | 4.972% (3-Month USD-LIBOR + 1.902%) due 5/16/29(c) | | | 799,001 | |
| | 200,000 | | | BBB+ | | 6.490% (SOFR + 2.220%) due 9/13/29(c) | | | 206,195 | |
| | | | | | BNP Paribas SA: | | | | |
| | | | | | Junior Subordinated Notes: | | | | |
| | 420,000 | | | BBB- | | 8.000% (5-Year CMT Index + 3.727%)(a)(c)(d) | | | 421,575 | |
| | 470,000 | | | BBB- | | 8.500% (5-Year CMT Index + 4.354%)(a)(c)(d) | | | 485,796 | |
| | | | | | Senior Non-Preferred Notes: | | | | |
| | 220,000 | | | A- | | 2.219% (SOFR + 2.074%) due 6/9/26(a)(c) | | | 210,644 | |
| | 950,000 | | | A- | | 4.400% due 8/14/28(a) | | | 916,178 | |
| | 200,000 | | | A- | | 2.871% (3-Month Term SOFR + 1.387%) due 4/19/32(a)(c) | | | 167,246 | |
| | 880,000 | | | A+ | | Senior Preferred Notes, 5.125% (1-Year CMT Index + 1.450%) due 1/13/29(a)(c) | | | 874,863 | |
| | 600,000 | | | A+ | | Senior Unsecured Notes, 5.894% (SOFR + 1.866%) due 12/5/34(a)(c) | | | 616,032 | |
| | 200,000 | | | BBB+ | | Subordinated Notes, 4.375% (5-Year USD Swap Rate + 1.483%) due 3/1/33(a)(c) | | | 187,893 | |
| | | | | | Citigroup Inc.: | | | | |
| | 220,000 | | | BB+ | | Junior Subordinated Notes, 5.950% (3-Month Term SOFR + 4.167%)(c)(d) | | | 218,687 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 70,000 | | | BBB+ | | 4.658% (SOFR + 1.887%) due 5/24/28(c) | | | 68,752 | |
See Notes to Financial Statements.
133
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| |
| Banks — 6.6% — (continued) | | | |
| $ | 2,540,000 | | | BBB+ | | 3.520% (3-Month Term SOFR + 1.413%) due 10/27/28(c) | | $ | 2,387,318 | |
| | 200,000 | | | BBB+ | | 4.075% (3-Month Term SOFR + 1.454%) due 4/23/29(c) | | | 190,878 | |
| | 100,000 | | | BBB+ | | 3.980% (3-Month Term SOFR + 1.600%) due 3/20/30(c) | | | 93,721 | |
| | 815,000 | | | BBB+ | | 2.976% (SOFR + 1.422%) due 11/5/30(c) | | | 718,141 | |
| | 550,000 | | | BBB+ | | 4.412% (SOFR + 3.914%) due 3/31/31(c) | | | 519,363 | |
| | 70,000 | | | BBB+ | | 2.572% (SOFR + 2.107%) due 6/3/31(c) | | | 59,218 | |
| | 690,000 | | | BBB+ | | 2.561% (SOFR + 1.167%) due 5/1/32(c) | | | 568,003 | |
| | 160,000 | | | BBB+ | | 2.520% (SOFR + 1.177%) due 11/3/32(c) | | | 129,877 | |
| | 1,500,000 | | | BBB+ | | 3.057% (SOFR + 1.351%) due 1/25/33(c) | | | 1,259,069 | |
| | 250,000 | | | BBB+ | | 3.785% (SOFR + 1.939%) due 3/17/33(c) | | | 221,248 | |
| | 220,000 | | | BBB+ | | 4.910% (SOFR + 2.086%) due 5/24/33(c) | | | 210,559 | |
| | 314,000 | | | BBB+ | | 8.125% due 7/15/39 | | | 398,646 | |
| | 196,000 | | | BBB+ | | 4.650% due 7/30/45 | | | 176,330 | |
| | 70,000 | | | BBB+ | | 4.650% due 7/23/48 | | | 62,257 | |
| | | | | | Subordinated Notes: | | | | |
| | 210,000 | | | BBB | | 4.400% due 6/10/25 | | | 206,902 | |
| | 20,000 | | | BBB | | 5.500% due 9/13/25 | | | 19,989 | |
| | 890,000 | | | BBB | | 4.300% due 11/20/26 | | | 866,836 | |
| | 30,000 | | | BBB | | 6.625% due 6/15/32 | | | 31,925 | |
| | 100,000 | | | BBB | | 6.675% due 9/13/43 | | | 110,362 | |
| | 286,000 | | | BBB | | 5.300% due 5/6/44 | | | 273,241 | |
| | 30,000 | | | BBB | | 4.750% due 5/18/46 | | | 26,246 | |
| | 58,000 | | | AA- | | Commonwealth Bank of Australia, Senior Unsecured Notes, 3.900% due 7/12/47(a) | | | 47,695 | |
| | | | | | Cooperatieve Rabobank UA: | | | | |
| | 860,000 | | | BBB+ | | Company Guaranteed Notes, 4.375% due 8/4/25 | | | 843,549 | |
| | | | | | Senior Non-Preferred Notes: | | | | |
| | 250,000 | | | A- | | 3.649% (1-Year CMT Index + 1.220%) due 4/6/28(a)(c) | | | 236,835 | |
| | 270,000 | | | A- | | 3.758% (1-Year CMT Index + 1.420%) due 4/6/33(a)(c) | | | 239,644 | |
| | 500,000 | | | A- | | Credit Agricole SA, Senior Non-Preferred Notes, 1.907% (SOFR + 1.676%) due 6/16/26(a)(c) | | | 476,480 | |
| | | | | | Credit Suisse AG, Senior Unsecured Notes: | | | | |
| | 500,000 | | | A+ | | 3.625% due 9/9/24 | | | 494,895 | |
| | 1,450,000 | | | A+ | | 7.950% due 1/9/25 | | | 1,475,773 | |
| | 250,000 | | | A+ | | 2.950% due 4/9/25 | | | 242,823 | |
| | 250,000 | | | A+ | | 5.000% due 7/9/27 | | | 247,660 | |
| | 2,635,000 | | | A+ | | 7.500% due 2/15/28 | | | 2,835,472 | |
| | 760,000 | | | WD(e) | | Credit Suisse Group AG, (Cost — $760,000, acquired 6/16/22), Junior Subordinated Notes, 9.750% (5-Year CMT Index + 6.383%)#(a)(c)(d)(f)(h) | | | — | |
| | 200,000 | | | BBB- | | Deutsche Bank AG, Subordinated Notes, 3.742% (SOFR + 2.257%) due 1/7/33(c) | | | 160,736 | |
| | 11,000 | | | BB+ | | Goldman Sachs Capital II, Limited Guaranteed Notes, 6.370%
(3-Month Term SOFR + 1.029%)(c)(d) | | | 9,297 | |
| | | | | | Goldman Sachs Group Inc. (The): | | | | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 265,000 | | | BBB+ | | 5.859% (SOFR + 0.505%) due 9/10/24(c) | | | 265,133 | |
| | 689,000 | | | BBB+ | | 5.831% (SOFR + 0.486%) due 10/21/24(c) | | | 689,397 | |
| | 153,000 | | | BBB+ | | 3.500% due 4/1/25 | | | 149,850 | |
| | 145,000 | | | BBB+ | | 3.272% (3-Month Term SOFR + 1.463%) due 9/29/25(c) | | | 142,989 | |
| | 371,000 | | | BBB+ | | 5.798% (SOFR + 1.075%) due 8/10/26(c) | | | 373,112 | |
| | 150,000 | | | BBB+ | | 3.500% due 11/16/26 | | | 143,941 | |
| | 685,000 | | | BBB+ | | 1.431% (SOFR + 0.798%) due 3/9/27(c) | | | 632,697 | |
| | 2,030,000 | | | BBB+ | | 1.542% (SOFR + 0.818%) due 9/10/27(c) | | | 1,847,796 | |
| | 70,000 | | | BBB+ | | 3.615% (SOFR + 1.846%) due 3/15/28(c) | | | 66,748 | |
| | 891,000 | | | BBB+ | | 3.814% (3-Month Term SOFR + 1.420%) due 4/23/29(c) | | | 842,179 | |
| | 3,294,000 | | | BBB+ | | 4.223% (3-Month Term SOFR + 1.563%) due 5/1/29(c) | | | 3,158,174 | |
| | 1,374,000 | | | BBB+ | | 6.484% (SOFR + 1.770%) due 10/24/29(c) | | | 1,439,318 | |
| | 57,000 | | | BBB+ | | 1.992% (SOFR + 1.090%) due 1/27/32(c) | | | 45,697 | |
See Notes to Financial Statements.
134
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| |
| Banks — 6.6% — (continued) | | | |
| $ | 984,000 | | | BBB+ | | 2.615% (SOFR + 1.281%) due 4/22/32(c) | | $ | 818,012 | |
| | 2,750,000 | | | BBB+ | | 2.383% (SOFR + 1.248%) due 7/21/32(c) | | | 2,236,418 | |
| | 1,573,000 | | | BBB+ | | 2.650% (SOFR + 1.264%) due 10/21/32(c) | | | 1,296,598 | |
| | 884,000 | | | BBB+ | | 6.561% (SOFR + 1.950%) due 10/24/34(c) | | | 955,109 | |
| | 210,000 | | | BBB+ | | 6.250% due 2/1/41 | | | 226,027 | |
| | 30,000 | | | BBB+ | | 3.210% (SOFR + 1.513%) due 4/22/42(c) | | | 22,326 | |
| | 70,000 | | | BBB+ | | 2.908% (SOFR + 1.472%) due 7/21/42(c) | | | 49,624 | |
| | 100,000 | | | BBB+ | | 4.750% due 10/21/45 | | | 91,382 | |
| | | | | | Subordinated Notes: | | | | |
| | 130,000 | | | BBB | | 4.250% due 10/21/25 | | | 127,723 | |
| | 460,000 | | | BBB | | 6.750% due 10/1/37 | | | 499,931 | |
| | 290,000 | | | BBB | | 5.150% due 5/22/45 | | | 277,059 | |
| | | | | | HSBC Holdings PLC: | | | | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 685,000 | | | A- | | 2.099% (SOFR + 1.929%) due 6/4/26(c) | | | 655,499 | |
| | 485,000 | | | A- | | 1.589% (SOFR + 1.290%) due 5/24/27(c) | | | 444,005 | |
| | 2,370,000 | | | A- | | 2.206% (SOFR + 1.285%) due 8/17/29(c) | | | 2,057,626 | |
| | 820,000 | | | A- | | 3.973% (3-Month Term SOFR + 1.872%) due 5/22/30(c) | | | 760,530 | |
| | 120,000 | | | A- | | 2.804% (SOFR + 1.187%) due 5/24/32(c) | | | 99,204 | |
| | | | | | Subordinated Notes: | | | | |
| | 220,000 | | | BBB | | 4.762% (SOFR + 2.530%) due 3/29/33(c) | | | 202,178 | |
| | 190,000 | | | BBB | | 6.500% due 9/15/37 | | | 200,684 | |
| | 200,000 | | | BB+ | | Intesa Sanpaolo SpA, Subordinated Notes, 5.017% due 6/26/24(a) | | | 198,749 | |
| | | | | | JPMorgan Chase & Co.: | | | | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 30,000 | | | A- | | 3.845% (SOFR + 0.980%) due 6/14/25(c) | | | 29,818 | |
| | 435,000 | | | A- | | 0.969% (3-Month Term SOFR + 0.580%) due 6/23/25(c) | | | 428,383 | |
| | 1,080,000 | | | A- | | 1.561% (SOFR + 0.605%) due 12/10/25(c) | | | 1,046,101 | |
| | 80,000 | | | A- | | 2.083% (SOFR + 1.850%) due 4/22/26(c) | | | 76,976 | |
| | 1,745,000 | | | A- | | 1.578% (SOFR + 0.885%) due 4/22/27(c) | | | 1,613,798 | |
| | 360,000 | | | A- | | 1.470% (SOFR + 0.765%) due 9/22/27(c) | | | 327,255 | |
| | 464,000 | | | A- | | 6.070% (SOFR + 1.330%) due 10/22/27(c) | | | 472,865 | |
| | 480,000 | | | A- | | 4.203% (3-Month Term SOFR + 1.522%) due 7/23/29(c) | | | 460,798 | |
| | 53,000 | | | A- | | 5.299% (SOFR + 1.450%) due 7/24/29(c) | | | 53,139 | |
| | 1,110,000 | | | A- | | 4.452% (3-Month Term SOFR + 1.592%) due 12/5/29(c) | | | 1,073,314 | |
| | 2,182,000 | | | A- | | 5.012% (SOFR + 1.310%) due 1/23/30(c) | | | 2,158,750 | |
| | 446,000 | | | A- | | 4.565% (SOFR + 1.750%) due 6/14/30(c) | | | 432,029 | |
| | 2,475,000 | | | A- | | 2.739% (3-Month Term SOFR + 1.510%) due 10/15/30(c) | | | 2,174,600 | |
| | 150,000 | | | A- | | 2.522% (SOFR + 2.040%) due 4/22/31(c) | | | 128,284 | |
| | 2,385,000 | | | A- | | 2.580% (3-Month Term SOFR + 1.250%) due 4/22/32(c) | | | 1,995,297 | |
| | 1,215,000 | | | A- | | 2.545% (SOFR + 1.180%) due 11/8/32(c) | | | 1,000,453 | |
| | 1,772,000 | | | A- | | 5.350% (SOFR + 1.845%) due 6/1/34(c) | | | 1,763,698 | |
| | 20,000 | | | A- | | 3.964% (3-Month Term SOFR + 1.642%) due 11/15/48(c) | | | 16,066 | |
| | 50,000 | | | A- | | 3.109% (SOFR + 2.440%) due 4/22/51(c) | | | 34,294 | |
| | | | | | Subordinated Notes: | | | | |
| | 270,000 | | | BBB+ | | 3.875% due 9/10/24 | | | 267,554 | |
| | 210,000 | | | BBB+ | | 4.250% due 10/1/27 | | | 205,581 | |
| | 630,000 | | | BBB+ | | 4.950% due 6/1/45 | | | 591,534 | |
| | | | | | Lloyds Banking Group PLC: | | | | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 400,000 | | | BBB+ | | 3.900% due 3/12/24 | | | 399,824 | |
| | 200,000 | | | BBB+ | | 4.375% due 3/22/28 | | | 193,050 | |
| | 445,000 | | | BBB- | | Subordinated Notes, 4.582% due 12/10/25 | | | 436,128 | |
| | 250,000 | | | AA+ | | National Securities Clearing Corp., Senior Unsecured Notes, 1.500% due 4/23/25(a) | | | 240,084 | |
See Notes to Financial Statements.
135
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| |
| Banks — 6.6% — (continued) | | | |
| | | | | | NatWest Group PLC, Senior Unsecured Notes: | | | | |
| $ | 330,000 | | | BBB+ | | 4.269% (3-Month USD-LIBOR + 1.762%) due 3/22/25(c) | | $ | 329,716 | |
| | 400,000 | | | BBB+ | | 5.076% (3-Month USD-LIBOR + 1.905%) due 1/27/30(c) | | | 390,734 | |
| | | | | | PNC Financial Services Group Inc. (The), Senior Unsecured Notes: | | | | |
| | 30,000 | | | A- | | 5.812% (SOFR + 1.322%) due 6/12/26(c) | | | 30,048 | |
| | 420,000 | | | A- | | 5.582% (SOFR + 1.841%) due 6/12/29(c) | | | 422,620 | |
| | 1,220,000 | | | A- | | 5.068% (SOFR + 1.933%) due 1/24/34(c) | | | 1,172,927 | |
| | 820,000 | | | A- | | 6.875% (SOFR + 2.284%) due 10/20/34(c) | | | 888,203 | |
| | | | | | Royal Bank of Canada, Senior Unsecured Notes: | | | | |
| | 10,000 | | | A | | 1.150% due 6/10/25 | | | 9,498 | |
| | 250,000 | | | A | | 3.875% due 5/4/32 | | | 228,239 | |
| | 260,000 | | | A | | 5.150% due 2/1/34 | | | 255,666 | |
| | | | | | Santander Holdings USA Inc., Senior Unsecured Notes: | | | | |
| | 30,000 | | | BBB+ | | 4.500% due 7/17/25 | | | 29,413 | |
| | 289,000 | | | BBB+ | | 6.174% (SOFR + 2.500%) due 1/9/30(c) | | | 288,148 | |
| | | | | | Santander UK Group Holdings PLC, Senior Unsecured Notes: | | | | |
| | 235,000 | | | BBB | | 1.089% (SOFR + 0.787%) due 3/15/25(c) | | | 234,624 | |
| | 790,000 | | | BBB | | 1.532% (1-Year CMT Index + 1.250%) due 8/21/26(c) | | | 740,716 | |
| | 1,440,000 | | | BBB | | 1.673% (SOFR + 0.989%) due 6/14/27(c) | | | 1,309,116 | |
| | | | | | Toronto-Dominion Bank (The), Senior Unsecured Notes: | | | | |
| | 210,000 | | | A | | 1.150% due 6/12/25 | | | 199,479 | |
| | 440,000 | | | A | | 4.456% due 6/8/32 | | | 419,513 | |
| | 30,000 | | | A- | | Truist Financial Corp., Senior Unsecured Notes, 6.047%
(SOFR + 2.050%) due 6/8/27(c) | | | 30,301 | |
| | | | | | UBS Group AG: | | | | |
| | | | | | Junior Subordinated Notes: | | | | |
| | 200,000 | | | BB | | 7.750% (5-Year USD SOFR ICE Swap Rate + 4.160%)(a)(c)(d) | | | 200,405 | |
| | 890,000 | | | BB | | 9.250% (5-Year CMT Index + 4.745%)(a)(c)(d) | | | 952,366 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 750,000 | | | A- | | 3.750% due 3/26/25 | | | 734,933 | |
| | 155,000 | | | A- | | 2.593% (SOFR + 1.560%) due 9/11/25(a)(c) | | | 152,326 | |
| | 320,000 | | | A- | | 4.550% due 4/17/26 | | | 314,394 | |
| | 370,000 | | | A- | | 2.193% (SOFR + 2.044%) due 6/5/26(a)(c) | | | 354,085 | |
| | 295,000 | | | A- | | 6.373% (SOFR + 3.340%) due 7/15/26(a)(c) | | | 297,047 | |
| | 960,000 | | | A- | | 1.305% (SOFR + 0.980%) due 2/2/27(a)(c) | | | 885,008 | |
| | 500,000 | | | A- | | 4.751% (1-Year CMT Index + 1.750%) due 5/12/28(a)(c) | | | 488,007 | |
| | 950,000 | | | A- | | 4.194% (SOFR + 3.730%) due 4/1/31(a)(c) | | | 873,478 | |
| | 1,915,000 | | | A- | | 3.091% (SOFR + 1.730%) due 5/14/32(a)(c) | | | 1,609,084 | |
| | 496,000 | | | A- | | 2.746% (1-Year CMT Index + 1.100%) due 2/11/33(a)(c) | | | 399,480 | |
| | 2,585,000 | | | A- | | 6.537% (SOFR + 3.920%) due 8/12/33(a)(c) | | | 2,698,027 | |
| | 2,019,000 | | | A- | | 9.016% (SOFR + 5.020%) due 11/15/33(a)(c) | | | 2,429,003 | |
| | | | | | US Bancorp, Senior Unsecured Notes: | | | | |
| | 90,000 | | | A | | 1.450% due 5/12/25 | | | 86,131 | |
| | 300,000 | | | A | | 5.850% (SOFR + 2.090%) due 10/21/33(c) | | | 303,694 | |
| | 1,365,000 | | | A | | 4.839% (SOFR + 1.600%) due 2/1/34(c) | | | 1,285,103 | |
| | | | | | Wells Fargo & Co.: | | | | |
| | 50,000 | | | BB+ | | Junior Subordinated Notes, 5.875%(c)(d) | | | 50,101 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 20,000 | | | BBB+ | | 2.188% (SOFR + 2.000%) due 4/30/26(c) | | | 19,220 | |
| | 500,000 | | | BBB+ | | 3.000% due 10/23/26 | | | 472,659 | |
| | 145,000 | | | BBB+ | | 3.526% (SOFR + 1.510%) due 3/24/28(c) | | | 137,481 | |
| | 510,000 | | | BBB+ | | 2.393% (SOFR + 2.100%) due 6/2/28(c) | | | 465,226 | |
| | 490,000 | | | BBB+ | | 4.150% due 1/24/29 | | | 469,378 | |
| | 4,965,000 | | | BBB+ | | 5.574% (SOFR + 1.740%) due 7/25/29(c) | | | 4,999,124 | |
| | 511,000 | | | BBB+ | | 6.303% (SOFR + 1.790%) due 10/23/29(c) | | | 530,037 | |
| | 305,000 | | | BBB+ | | 2.879% (3-Month Term SOFR + 1.432%) due 10/30/30(c) | | | 267,461 | |
See Notes to Financial Statements.
136
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| |
| Banks — 6.6% — (continued) | | | |
| $ | 103,000 | | | BBB+ | | 2.572% (3-Month Term SOFR + 1.262%) due 2/11/31(c) | | $ | 87,879 | |
| | 100,000 | | | BBB+ | | 4.478% (3-Month Term SOFR + 4.032%) due 4/4/31(c) | | | 95,077 | |
| | 3,560,000 | | | BBB+ | | 3.350% (SOFR + 1.500%) due 3/2/33(c) | | | 3,055,086 | |
| | 290,000 | | | BBB+ | | 4.897% (SOFR + 2.100%) due 7/25/33(c) | | | 277,190 | |
| | 795,000 | | | BBB+ | | 5.389% (SOFR + 2.020%) due 4/24/34(c) | | | 782,261 | |
| | 2,363,000 | | | BBB+ | | 5.557% (SOFR + 1.990%) due 7/25/34(c) | | | 2,350,954 | |
| | 140,000 | | | BBB+ | | 6.491% (SOFR + 2.060%) due 10/23/34(c) | | | 148,946 | |
| | 3,060,000 | | | BBB+ | | 5.013% (3-Month Term SOFR + 4.502%) due 4/4/51(c) | | | 2,826,416 | |
| | | | | | Subordinated Notes: | | | | |
| | 230,000 | | | BBB | | 5.375% due 11/2/43 | | | 219,604 | |
| | 110,000 | | | BBB | | 5.606% due 1/15/44 | | | 107,832 | |
| | 20,000 | | | BBB | | 4.650% due 11/4/44 | | | 17,271 | |
| | 20,000 | | | BBB | | 4.900% due 11/17/45 | | | 17,730 | |
| | 40,000 | | | BBB | | 4.400% due 6/14/46 | | | 32,958 | |
| | 10,000 | | | BBB | | 4.750% due 12/7/46 | | | 8,657 | |
| | 608,000 | | | A+ | | Wells Fargo Bank NA, Senior Unsecured Notes, 5.450% due 8/7/26 | | | 613,145 | |
| | | | | | | | | | |
| | | | | | Total Banks | | | 123,797,923 | |
| | | | | | | | | | |
| |
| Beverages — 0.2% | | | |
| | | | | | Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide Inc., Company Guaranteed Notes: | | | | |
| | 101,000 | | | A- | | 3.650% due 2/1/26 | | | 98,474 | |
| | 890,000 | | | A- | | 4.900% due 2/1/46 | | | 830,852 | |
| | | | | | Anheuser-Busch InBev Worldwide Inc., Company Guaranteed Notes: | | | | |
| | 140,000 | | | A- | | 4.000% due 4/13/28 | | | 135,811 | |
| | 240,000 | | | A- | | 4.750% due 1/23/29 | | | 238,010 | |
| | 260,000 | | | A- | | 3.500% due 6/1/30 | | | 240,385 | |
| | 160,000 | | | A- | | 4.350% due 6/1/40 | | | 143,496 | |
| | 160,000 | | | A- | | 5.550% due 1/23/49 | | | 164,067 | |
| | 650,000 | | | BBB- | | Bacardi Ltd., Company Guaranteed Notes, 4.450% due 5/15/25(a) | | | 640,483 | |
| | | | | | Coca-Cola Co. (The), Senior Unsecured Notes: | | | | |
| | 190,000 | | | A+ | | 2.500% due 6/1/40 | | | 135,775 | |
| | 60,000 | | | A+ | | 2.600% due 6/1/50 | | | 38,791 | |
| | | | | | Constellation Brands Inc., Senior Unsecured Notes: | | | | |
| | 100,000 | | | BBB | | 3.600% due 5/9/24 | | | 99,600 | |
| | 130,000 | | | BBB | | 4.350% due 5/9/27 | | | 127,129 | |
| | 30,000 | | | BBB | | 2.250% due 8/1/31 | | | 24,515 | |
| | | | | | Molson Coors Beverage Co., Company Guaranteed Notes: | | | | |
| | 50,000 | | | BBB | | 3.000% due 7/15/26 | | | 47,627 | |
| | 60,000 | | | BBB | | 4.200% due 7/15/46 | | | 49,034 | |
| | | | | | PepsiCo Inc., Senior Unsecured Notes: | | | | |
| | 20,000 | | | A+ | | 2.625% due 3/19/27 | | | 18,804 | |
| | 150,000 | | | A+ | | 1.625% due 5/1/30 | | | 124,758 | |
| | 60,000 | | | A+ | | 2.875% due 10/15/49 | | | 41,456 | |
| | 297,000 | | | CCC+ | | Triton Water Holdings Inc., Senior Unsecured Notes, 6.250% due 4/1/29(a) | | | 260,018 | |
| | | | | | | | | | |
| | | | | | Total Beverages | | | 3,459,085 | |
| | | | | | | | | | |
| |
| Biotechnology — 0.3% | | | |
| | | | | | Amgen Inc., Senior Unsecured Notes: | | | | |
| | 70,000 | | | BBB+ | | 3.625% due 5/22/24 | | | 69,679 | |
| | 1,371,000 | | | BBB+ | | 5.150% due 3/2/28 | | | 1,373,828 | |
| | 180,000 | | | BBB+ | | 4.050% due 8/18/29 | | | 172,075 | |
| | 471,000 | | | BBB+ | | 2.450% due 2/21/30 | | | 409,316 | |
| | 43,000 | | | BBB+ | | 3.375% due 2/21/50 | | | 30,853 | |
| | 449,000 | | | BBB+ | | 4.200% due 2/22/52 | | | 362,958 | |
| | 114,000 | | | BBB+ | | 4.875% due 3/1/53 | | | 102,227 | |
| | 160,000 | | | BBB+ | | 5.650% due 3/2/53 | | | 159,752 | |
See Notes to Financial Statements.
137
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| |
| Biotechnology — 0.3% — (continued) | | | |
| $ | 413,000 | | | BBB+ | | 4.400% due 2/22/62 | | $ | 332,029 | |
| | 167,000 | | | BBB+ | | 5.750% due 3/2/63 | | | 167,006 | |
| | | | | | Gilead Sciences Inc., Senior Unsecured Notes: | | | | |
| | 310,000 | | | BBB+ | | 3.700% due 4/1/24 | | | 309,433 | |
| | 60,000 | | | BBB+ | | 3.650% due 3/1/26 | | | 58,258 | |
| | 874,000 | | | BBB+ | | 1.650% due 10/1/30 | | | 713,420 | |
| | 90,000 | | | BBB+ | | 4.000% due 9/1/36 | | | 79,627 | |
| | 408,000 | | | BBB+ | | 2.600% due 10/1/40 | | | 284,958 | |
| | 142,000 | | | BBB+ | | 4.800% due 4/1/44 | | | 130,458 | |
| | 99,000 | | | BBB+ | | 4.500% due 2/1/45 | | | 87,094 | |
| | 130,000 | | | BBB+ | | 4.750% due 3/1/46 | | | 118,218 | |
| | | | | | | | | | |
| | | | | | Total Biotechnology | | | 4,961,189 | |
| | | | | | | | | | |
| |
| Building Materials — 0.0%@ | | | |
| | 30,000 | | | BB- | | Builders FirstSource Inc., Company Guaranteed Notes, 4.250% due 2/1/32(a) | | | 26,385 | |
| | | | | | | | | | |
| |
| Chemicals — 0.2% | | | |
| | 176,000 | | | BBB | | Eastman Chemical Co., Senior Unsecured Notes, 4.500% due 12/1/28 | | | 170,788 | |
| | | | | | International Flavors & Fragrances Inc.: | | | | |
| | 130,000 | | | BBB- | | Company Guaranteed Notes, 3.468% due 12/1/50(a) | | | 85,559 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 1,801,000 | | | BBB- | | 2.300% due 11/1/30(a) | | | 1,480,315 | |
| | 120,000 | | | BBB- | | 4.375% due 6/1/47 | | | 89,604 | |
| | 100,000 | | | BBB- | | 5.000% due 9/26/48 | | | 84,132 | |
| | 600,000 | | | BBB | | MEGlobal BV, Company Guaranteed Notes, 4.250% due 11/3/26(a) | | | 577,581 | |
| | 18,000 | | | BBB | | Monsanto Co., Senior Unsecured Notes, 4.400% due 7/15/44 | | | 12,392 | |
| | | | | | OCP SA, Senior Unsecured Notes: | | | | |
| | 200,000 | | | BB+ | | 4.500% due 10/22/25(a) | | | 195,188 | |
| | 200,000 | | | BB+ | | 3.750% due 6/23/31(a) | | | 170,178 | |
| | 400,000 | | | BB+ | | 5.125% due 6/23/51(a) | | | 296,279 | |
| | | | | | Orbia Advance Corp. SAB de CV, Company Guaranteed Notes: | | | | |
| | 270,000 | | | BBB- | | 1.875% due 5/11/26(a) | | | 246,305 | |
| | 260,000 | | | BBB- | | 2.875% due 5/11/31(a) | | | 210,894 | |
| | 213,000 | | | BBB | | RPM International Inc., Senior Unsecured Notes, 3.750% due 3/15/27 | | | 203,270 | |
| | | | | | | | | | |
| | | | | | Total Chemicals | | | 3,822,485 | |
| | | | | | | | | | |
| |
| Coal — 0.0%@ | | | |
| | | | | | Teck Resources Ltd., Senior Unsecured Notes: | | | | |
| | 200,000 | | | BBB- | | 3.900% due 7/15/30 | | | 182,360 | |
| | 10,000 | | | BBB- | | 6.000% due 8/15/40 | | | 9,905 | |
| | | | | | | | | | |
| | | | | | Total Coal | | | 192,265 | |
| | | | | | | | | | |
| |
| Commercial Services — 0.1% | | | |
| | 90,000 | | | A- | | Cintas Corp. No 2, Company Guaranteed Notes, 4.000% due 5/1/32 | | | 84,461 | |
| | | | | | Global Payments Inc., Senior Unsecured Notes: | | | | |
| | 176,000 | | | BBB- | | 4.450% due 6/1/28 | | | 169,659 | |
| | 44,000 | | | BBB- | | 3.200% due 8/15/29 | | | 39,200 | |
| | 100,000 | EUR | | BBB- | | 4.875% due 3/17/31 | | | 111,493 | |
| | 97,000 | | | BBB- | | 2.900% due 11/15/31 | | | 80,979 | |
| | | | | | Moody’s Corp., Senior Unsecured Notes: | | | | |
| | 245,000 | | | BBB+ | | 4.250% due 2/1/29 | | | 237,128 | |
| | 42,000 | | | BBB+ | | 2.000% due 8/19/31 | | | 33,957 | |
| | | | | | PayPal Holdings Inc., Senior Unsecured Notes: | | | | |
| | 10,000 | | | A- | | 1.650% due 6/1/25 | | | 9,573 | |
| | 190,000 | | | A- | | 2.300% due 6/1/30 | | | 161,687 | |
See Notes to Financial Statements.
138
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| |
| Commercial Services — 0.1% — (continued) | | | |
| $ | 118,000 | | | BBB+ | | RELX Capital Inc., Company Guaranteed Notes, 4.000% due 3/18/29 | | $ | 112,679 | |
| | | | | | United Rentals North America Inc.: | | | | |
| | | | | | Company Guaranteed Notes: | | | | |
| | 50,000 | | | BB+ | | 3.875% due 2/15/31 | | | 44,296 | |
| | 120,000 | | | BB+ | | 3.750% due 1/15/32 | | | 103,971 | |
| | 20,000 | | | BBB- | | Secured Notes, 3.875% due 11/15/27 | | | 18,854 | |
| | 60,000 | | | B | | Upbound Group Inc., Company Guaranteed Notes, 6.375% due 2/15/29(a) | | | 57,474 | |
| | 45,000 | | | B- | | WASH Multifamily Acquisition Inc., Senior Secured Notes, 5.750% due 4/15/26(a) | | | 43,687 | |
| | 200,000 | EUR | | BBB- | | Worldline SA, Senior Unsecured Notes, 4.125% due 9/12/28 | | | 210,823 | |
| | | | | | | | | | |
| | | | | | Total Commercial Services | | | 1,519,921 | |
| | | | | | | | | | |
| |
| Computers — 0.1% | | | |
| | | | | | Dell International LLC/EMC Corp.: | | | | |
| | 144,000 | | | BBB | | Company Guaranteed Notes, 3.450% due 12/15/51 | | | 98,845 | |
| | 23,000 | | | BBB | | Senior Unsecured Notes, 8.350% due 7/15/46 | | | 29,112 | |
| | 88,000 | | | BBB- | | DXC Technology Co., Senior Unsecured Notes, 2.375% due 9/15/28 | | | 75,910 | |
| | 248,000 | | | BBB | | Hewlett Packard Enterprise Co., Senior Unsecured Notes, 5.250% due 7/1/28 | | | 248,434 | |
| | 680,000 | | | A- | | International Business Machines Corp., Senior Unsecured Notes, 3.000% due 5/15/24 | | | 676,589 | |
| | | | | | | | | | |
| | | | | | Total Computers | | | 1,128,890 | |
| | | | | | | | | | |
| |
| Cosmetics/Personal Care — 0.1% | | | |
| | 560,000 | | | BBB | | Haleon US Capital LLC, Company Guaranteed Notes, 3.375% due 3/24/29 | | | 517,564 | |
| | 540,000 | | | A | | Kenvue Inc., Company Guaranteed Notes, 4.900% due 3/22/33 | | | 533,883 | |
| | 80,000 | | | AA- | | Procter & Gamble Co. (The), Senior Unsecured Notes, 3.000% due 3/25/30 | | | 73,226 | |
| | | | | | | | | | |
| | | | | | Total Cosmetics/Personal Care | | | 1,124,673 | |
| | | | | | | | | | |
| |
| Diversified Financial Services — 0.6% | | | |
| | | | | | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Company Guaranteed Notes: | | | | |
| | 1,800,000 | | | BBB | | 2.450% due 10/29/26 | | | 1,660,600 | |
| | 540,000 | | | BBB | | 3.000% due 10/29/28 | | | 485,415 | |
| | 1,497,000 | | | BBB | | 3.300% due 1/30/32 | | | 1,266,158 | |
| | | | | | Air Lease Corp., Senior Unsecured Notes: | | | | |
| | 495,000 | | | BBB | | 3.250% due 3/1/25 | | | 483,415 | |
| | 10,000 | | | BBB | | 3.375% due 7/1/25 | | | 9,715 | |
| | 725,000 | | | BBB | | 2.875% due 1/15/26 | | | 691,654 | |
| | 230,000 | | | BBB | | 5.300% due 2/1/28 | | | 228,925 | |
| | | | | | American Express Co., Senior Unsecured Notes: | | | | |
| | 190,000 | | | BBB+ | | 3.375% due 5/3/24 | | | 189,185 | |
| | 220,000 | | | BBB+ | | 4.050% due 5/3/29 | | | 212,869 | |
| | | | | | Avolon Holdings Funding Ltd.: | | | | |
| | | | | | Company Guaranteed Notes: | | | | |
| | 285,000 | | | BBB- | | 2.875% due 2/15/25(a) | | | 276,677 | |
| | 75,000 | | | BBB- | | 3.250% due 2/15/27(a) | | | 69,354 | |
| | 1,563,000 | | | BBB- | | 2.528% due 11/18/27(a) | | | 1,384,282 | |
| | 230,000 | | | BBB- | | Senior Unsecured Notes, 2.750% due 2/21/28(a) | | | 204,611 | |
| | 27,000 | | | BBB- | | Capital One Financial Corp., Subordinated Notes, 2.359%
(SOFR + 1.337%) due 7/29/32(c) | | | 20,411 | |
| | | | | | Charles Schwab Corp. (The), Senior Unsecured Notes: | | | | |
| | 700,000 | | | A- | | 5.875% due 8/24/26 | | | 710,922 | |
| | 140,000 | | | A- | | 6.136% (SOFR + 2.010%) due 8/24/34(c) | | | 145,056 | |
| | 759,000 | | | A+ | | Credit Suisse USA Inc., Company Guaranteed Notes, 7.125% due 7/15/32 | | | 847,959 | |
| | | | | | Intercontinental Exchange Inc., Senior Unsecured Notes: | | | | |
| | 13,000 | | | A- | | 2.100% due 6/15/30 | | | 10,913 | |
| | 480,000 | | | A- | | 1.850% due 9/15/32 | | | 370,586 | |
| | 540,000 | | | A- | | 4.600% due 3/15/33 | | | 516,267 | |
| | 60,000 | | | A- | | 4.950% due 6/15/52 | | | 56,333 | |
| | 200,000 | | | BB | | Jane Street Group/JSG Finance Inc., Senior Secured Notes, 4.500% due 11/15/29(a) | | | 184,225 | |
See Notes to Financial Statements.
139
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| |
| Diversified Financial Services — 0.6% — (continued) | | | |
| $ | 30,000 | | | A | | KKR Group Finance Co. II LLC, Company Guaranteed Notes, 5.500% due 2/1/43(a) | | $ | 28,502 | |
| | 650,000 | | | NR | | Lehman Brothers Holdings Inc., Subordinated Notes, 6.750% due 12/28/17*#(h)(i) | | | — | |
| | 535,000 | | | A | | LSEGA Financing PLC, Company Guaranteed Notes, 2.000% due 4/6/28(a) | | | 476,008 | |
| | 30,000 | | | A+ | | Mastercard Inc., Senior Unsecured Notes, 3.850% due 3/26/50 | | | 24,772 | |
| | 792,000 | | | BBB | | Nasdaq Inc., Senior Unsecured Notes, 5.550% due 2/15/34 | | | 797,389 | |
| | 150,000 | | | AA | | USAA Capital Corp., Senior Unsecured Notes, 2.125% due 5/1/30(a) | | | 124,252 | |
| | | | | | Visa Inc., Senior Unsecured Notes: | | | | |
| | 210,000 | | | AA- | | 2.050% due 4/15/30 | | | 180,151 | |
| | 250,000 | | | AA- | | 4.300% due 12/14/45 | | | 223,574 | |
| | | | | | | | | | |
| | | | | | Total Diversified Financial Services | | | 11,880,180 | |
| | | | | | | | | | |
| |
| Electric — 1.6% | | | |
| | | | | | AEP Texas Inc., Senior Unsecured Notes: | | | | |
| | 593,000 | | | A- | | 5.400% due 6/1/33 | | | 593,261 | |
| | 82,000 | | | A- | | 3.450% due 1/15/50 | | | 57,208 | |
| | 191,000 | | | A- | | 3.450% due 5/15/51 | | | 131,814 | |
| | | | | | AEP Transmission Co. LLC, Senior Unsecured Notes: | | | | |
| | 505,000 | | | A- | | 3.750% due 12/1/47 | | | 389,115 | |
| | 109,000 | | | A- | | 3.150% due 9/15/49 | | | 74,873 | |
| | 120,000 | | | A- | | 2.750% due 8/15/51 | | | 74,895 | |
| | 365,000 | | | A- | | 4.500% due 6/15/52 | | | 316,319 | |
| | | | | | Alabama Power Co., Senior Unsecured Notes: | | | | |
| | 17,000 | | | A- | | 5.200% due 6/1/41 | | | 16,737 | |
| | 64,000 | | | A- | | 3.700% due 12/1/47 | | | 48,582 | |
| | 60,000 | | | A- | | 3.450% due 10/1/49 | | | 43,649 | |
| | 116,000 | | | A- | | 3.125% due 7/15/51 | | | 79,036 | |
| | 311,000 | | | A- | | 3.000% due 3/15/52 | | | 207,292 | |
| | | | | | Ameren Illinois Co., 1st Mortgage Notes: | | | | |
| | 43,000 | | | A | | 3.250% due 3/15/50 | | | 30,257 | |
| | 95,000 | | | A | | 2.900% due 6/15/51 | | | 61,970 | |
| | 342,000 | | | BBB+ | | American Electric Power Co., Inc., Senior Unsecured Notes, 5.950% due 11/1/32 | | | 353,886 | |
| | 150,000 | | | BBB | | American Transmission Systems Inc., Senior Unsecured Notes, 2.650% due 1/15/32(a) | | | 123,203 | |
| | 850,000 | | | BBB+ | | Arizona Public Service Co., Senior Unsecured Notes, 3.350% due 5/15/50 | | | 580,060 | |
| | | | | | Baltimore Gas & Electric Co., Senior Unsecured Notes: | | | | |
| | 6,000 | | | A | | 3.500% due 8/15/46 | | | 4,433 | |
| | 150,000 | | | A | | 3.750% due 8/15/47 | | | 113,451 | |
| | 130,000 | | | A | | 3.200% due 9/15/49 | | | 89,260 | |
| | 67,000 | | | A | | 2.900% due 6/15/50 | | | 43,552 | |
| | 204,000 | | | A | | 4.550% due 6/1/52 | | | 178,002 | |
| | 265,000 | | | A | | 5.400% due 6/1/53 | | | 259,992 | |
| | | | | | CenterPoint Energy Houston Electric LLC: | | | | |
| | 118,000 | | | A | | 1st Mortgage Notes, 3.600% due 3/1/52 | | | 88,760 | |
| | 129,000 | | | A | | General Refinance Mortgage, 4.450% due 10/1/32 | | | 122,898 | |
| | | | | | Consolidated Edison Co. of New York Inc., Senior Unsecured Notes: | | | | |
| | 60,000 | | | A- | | 3.350% due 4/1/30 | | | 54,880 | |
| | 40,000 | | | A- | | 3.950% due 4/1/50 | | | 32,035 | |
| | 134,000 | | | A- | | 5.900% due 11/15/53 | | | 141,263 | |
| | | | | | Consumers Energy Co., 1st Mortgage Notes: | | | | |
| | 256,000 | | | A | | 3.500% due 8/1/51 | | | 191,466 | |
| | 53,000 | | | A | | 2.650% due 8/15/52 | | | 32,998 | |
| | 313,000 | | | A | | 4.200% due 9/1/52 | | | 260,247 | |
| | 83,000 | | | A | | Dominion Energy South Carolina Inc., 1st Mortgage Notes, 6.250% due 10/15/53 | | | 91,890 | |
| | 180,000 | | | A | | DTE Electric Co., General Refinance Mortgage, 3.250% due 4/1/51 | | | 125,586 | |
| | | | | | Duke Energy Carolinas LLC, 1st Mortgage Notes: | | | | |
| | 854,000 | | | A | | 3.950% due 11/15/28 | | | 822,659 | |
See Notes to Financial Statements.
140
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| |
| Electric — 1.6% — (continued) | | | |
| $ | 490,000 | | | A | | 4.950% due 1/15/33 | | $ | 482,910 | |
| | 500,000 | | | A | | 4.250% due 12/15/41 | | | 423,821 | |
| | 205,000 | | | A | | 3.200% due 8/15/49 | | | 141,659 | |
| | 395,000 | | | A | | 3.550% due 3/15/52 | | | 284,266 | |
| | 352,000 | | | A | | 5.350% due 1/15/53 | | | 344,585 | |
| | | | | | Duke Energy Florida LLC, 1st Mortgage Notes: | | | | |
| | 945,000 | | | A | | 2.500% due 12/1/29 | | | 831,043 | |
| | 733,000 | | | A | | 1.750% due 6/15/30 | | | 604,925 | |
| | 24,000 | | | A | | 4.200% due 7/15/48 | | | 19,664 | |
| | 226,000 | | | A | | 5.950% due 11/15/52 | | | 237,884 | |
| | | | | | Duke Energy Ohio Inc., 1st Mortgage Notes: | | | | |
| | 729,000 | | | A | | 3.650% due 2/1/29 | | | 688,660 | |
| | 220,000 | | | A | | 5.650% due 4/1/53 | | | 222,060 | |
| | | | | | Duke Energy Progress LLC, 1st Mortgage Notes: | | | | |
| | 130,000 | | | A | | 3.450% due 3/15/29 | | | 121,603 | |
| | 843,000 | | | A | | 5.250% due 3/15/33 | | | 841,623 | |
| | 331,000 | | | A | | 4.150% due 12/1/44 | | | 271,063 | |
| | 67,000 | | | A | | 2.900% due 8/15/51 | | | 42,986 | |
| | 830,000 | | | BBB- | | Edison International, Senior Unsecured Notes, 6.950% due 11/15/29 | | | 885,250 | |
| | 87,000 | | | A | | Entergy Arkansas LLC, 1st Mortgage Notes, 3.350% due 6/15/52 | | | 59,564 | |
| | 47,000 | | | A | | Entergy Texas Inc., 1st Mortgage Notes, 3.450% due 12/1/27 | | | 43,944 | |
| | 428,000 | | | BBB+ | | Eversource Energy, Senior Unsecured Notes, 5.450% due 3/1/28 | | | 430,231 | |
| | 85,000 | | | BBB | | Exelon Corp., Senior Unsecured Notes, 5.625% due 6/15/35 | | | 84,550 | |
| | | | | | FirstEnergy Corp., Senior Unsecured Notes: | | | | |
| | 60,000 | | | BB+ | | 1.600% due 1/15/26 | | | 55,553 | |
| | 470,000 | | | BB+ | | 4.150% due 7/15/27 | | | 447,338 | |
| | 300,000 | | | BB+ | | 5.100% due 7/15/47 | | | 258,958 | |
| | | | | | FirstEnergy Transmission LLC, Senior Unsecured Notes: | | | | |
| | 417,000 | | | BB+ | | 4.350% due 1/15/25(a) | | | 412,495 | |
| | 750,000 | | | BB+ | | 4.550% due 4/1/49(a) | | | 620,813 | |
| | | | | | Florida Power & Light Co., 1st Mortgage Notes: | | | | |
| | 251,000 | | | A+ | | 3.950% due 3/1/48 | | | 203,483 | |
| | 540,000 | | | A+ | | 3.990% due 3/1/49 | | | 439,390 | |
| | 122,000 | | | A+ | | 2.875% due 12/4/51 | | | 79,596 | |
| | 278,000 | | | BBB+ | | Georgia Power Co., Senior Unsecured Notes, 4.950% due 5/17/33 | | | 272,211 | |
| | 700,000 | | | BBB | | Jersey Central Power & Light Co., Senior Unsecured Notes, 4.700% due 4/1/24(a) | | | 699,457 | |
| | 485,000 | | | BBB | | Metropolitan Edison Co., Senior Unsecured Notes, 4.300% due 1/15/29(a) | | | 466,308 | |
| | | | | | MidAmerican Energy Co., 1st Mortgage Notes: | | | | |
| | 47,000 | | | A | | 3.100% due 5/1/27 | | | 44,453 | |
| | 141,000 | | | A | | 5.850% due 9/15/54 | | | 148,526 | |
| | 167,000 | | | A | | 5.300% due 2/1/55 | | | 162,293 | |
| | 35,000 | | | BBB+ | | NextEra Energy Capital Holdings Inc., Company Guaranteed Notes, 5.749% due 9/1/25 | | | 35,191 | |
| | | | | | Northern States Power Co., 1st Mortgage Notes: | | | | |
| | 211,000 | | | A+ | | 2.900% due 3/1/50 | | | 137,856 | |
| | 218,000 | | | A+ | | 2.600% due 6/1/51 | | | 134,645 | |
| | 255,000 | | | A+ | | 3.200% due 4/1/52 | | | 175,374 | |
| | 262,000 | | | A+ | | 5.100% due 5/15/53 | | | 250,607 | |
| | | | | | Ohio Power Co., Senior Unsecured Notes: | | | | |
| | 113,000 | | | A- | | 2.600% due 4/1/30 | | | 97,923 | |
| | 1,289,000 | | | A- | | 5.000% due 6/1/33 | | | 1,265,692 | |
| | 166,000 | | | A- | | 4.000% due 6/1/49 | | | 129,503 | |
| | 118,000 | | | A- | | 2.900% due 10/1/51 | | | 75,681 | |
| | | | | | Pacific Gas & Electric Co., 1st Mortgage Notes: | | | | |
| | 420,000 | | | BBB | | 4.950% due 6/8/25 | | | 416,080 | |
| | 500,000 | | | BBB | | 5.450% due 6/15/27 | | | 499,508 | |
See Notes to Financial Statements.
141
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| |
| Electric — 1.6% — (continued) | | | |
| $ | 89,000 | | | BBB | | 2.500% due 2/1/31 | | $ | 72,933 | |
| | 136,000 | | | BBB | | 6.150% due 1/15/33 | | | 139,158 | |
| | 1,279,000 | | | BBB | | 6.400% due 6/15/33 | | | 1,330,083 | |
| | 211,000 | | | BBB | | 6.950% due 3/15/34 | | | 228,142 | |
| | 90,000 | | | BBB | | 3.500% due 8/1/50 | | | 60,576 | |
| | 55,000 | | | BBB | | 6.700% due 4/1/53 | | | 59,155 | |
| | | | | | PECO Energy Co., 1st Mortgage Notes: | | | | |
| | 246,000 | | | A | | 3.050% due 3/15/51 | | | 165,427 | |
| | 634,000 | | | A | | 4.600% due 5/15/52 | | | 564,000 | |
| | 241,000 | | | A | | 4.375% due 8/15/52 | | | 206,230 | |
| | 560,000 | | | BBB | | Pennsylvania Electric Co., Senior Unsecured Notes, 4.150% due 4/15/25(a) | | | 548,158 | |
| | 302,000 | | | A+ | | Public Service Co. of New Hampshire, 1st Mortgage Notes, 5.150% due 1/15/53 | | | 289,550 | |
| | 500,000 | | | BBB | | Public Service Co. of New Mexico, Senior Unsecured Notes, 3.850% due 8/1/25 | | | 486,068 | |
| | | | | | Public Service Electric & Gas Co., 1st Mortgage Notes: | | | | |
| | 199,000 | | | A | | 3.200% due 5/15/29 | | | 183,511 | |
| | 285,000 | | | A | | 4.900% due 12/15/32 | | | 281,916 | |
| | | | | | San Diego Gas & Electric Co., 1st Mortgage Notes: | | | | |
| | 230,000 | | | A | | 3.320% due 4/15/50 | | | 160,164 | |
| | 270,000 | | | A | | 5.350% due 4/1/53 | | | 261,960 | |
| | | | | | Southern California Edison Co., 1st Mortgage Notes: | | | | |
| | 475,000 | | | A- | | 1.200% due 2/1/26 | | | 440,822 | |
| | 710,000 | | | A- | | 5.300% due 3/1/28 | | | 716,810 | |
| | 308,000 | | | A- | | 5.650% due 10/1/28 | | | 315,748 | |
| | 499,000 | | | A- | | 5.950% due 11/1/32 | | | 520,320 | |
| | 219,000 | | | A- | | 5.200% due 6/1/34 | | | 214,508 | |
| | 60,000 | | | A- | | 3.650% due 6/1/51 | | | 44,079 | |
| | 305,000 | | | A- | | 5.875% due 12/1/53 | | | 309,690 | |
| | 400,000 | | | A- | | Southwestern Electric Power Co., Senior Unsecured Notes, 5.300% due 4/1/33 | | | 395,164 | |
| | | | | | TenneT Holding BV, Senior Unsecured Notes: | | | | |
| | 540,000 | EUR | | A3(b) | | 4.500% due 10/28/34 | | | 626,301 | |
| | 340,000 | EUR | | A3(b) | | 4.750% due 10/28/42 | | | 415,393 | |
| | 126,000 | | | A | | Union Electric Co., 1st Mortgage Notes, 5.450% due 3/15/53 | | | 123,645 | |
| | | | | | Virginia Electric & Power Co., Senior Unsecured Notes: | | | | |
| | 52,000 | | | BBB+ | | 2.950% due 11/15/51 | | | 33,360 | |
| | 226,000 | | | BBB+ | | 5.700% due 8/15/53 | | | 229,549 | |
| | 15,000 | | | BBB+ | | 5.350% due 1/15/54 | | | 14,430 | |
| | | | | | | | | | |
| | | | | | Total Electric | | | 29,863,604 | |
| | | | | | | | | | |
| |
| Electronics — 0.0%@ | | | |
| | 540,000 | | | A2(b) | | Honeywell International Inc., Senior Unsecured Notes, 5.000% due 3/1/35 | | | 538,260 | |
| | | | | | | | | | |
| |
| Entertainment — 0.2% | | | |
| | 90,000 | | | BB- | | Caesars Entertainment Inc., Senior Secured Notes, 7.000% due 2/15/30(a) | | | 92,273 | |
| | | | | | Warnermedia Holdings Inc., Company Guaranteed Notes: | | | | |
| | 20,000 | | | BBB- | | 6.412% due 3/15/26 | | | 19,984 | |
| | 80,000 | | | BBB- | | 3.755% due 3/15/27 | | | 75,716 | |
| | 510,000 | | | BBB- | | 4.054% due 3/15/29 | | | 472,355 | |
| | 250,000 | | | BBB- | | 4.279% due 3/15/32 | | | 220,160 | |
| | 910,000 | | | BBB- | | 5.050% due 3/15/42 | | | 764,550 | |
| | 2,651,000 | | | BBB- | | 5.141% due 3/15/52 | | | 2,156,121 | |
| | 160,000 | | | BB- | | Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., Company Guaranteed Notes, 7.125% due 2/15/31(a) | | | 165,371 | |
| | | | | | | | | | |
| | | | | | Total Entertainment | | | 3,966,530 | |
| | | | | | | | | | |
See Notes to Financial Statements.
142
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| Environmental Control — 0.1% | | | |
| | | | | | Republic Services Inc., Senior Unsecured Notes: | | | | |
| $ | 130,000 | | | BBB+ | | 2.500% due 8/15/24 | | $ | 128,259 | |
| | 66,000 | | | BBB+ | | 3.375% due 11/15/27 | | | 62,596 | |
| | 260,000 | | | BBB+ | | 4.875% due 4/1/29 | | | 258,977 | |
| | 330,000 | | | BBB+ | | Waste Connections Inc., Senior Unsecured Notes, 5.000% due 3/1/34 | | | 323,108 | |
| | 170,000 | | | A- | | Waste Management Inc., Company Guaranteed Notes, 2.950% due 6/1/41 | | | 126,192 | |
| | 244,000 | | | B- | | Waste Pro USA Inc., Senior Unsecured Notes, 5.500% due 2/15/26(a) | | | 239,382 | |
| | | | | | | | | | |
| | | | | | Total Environmental Control | | | 1,138,514 | |
| | | | | | | | | | |
| |
| Food — 0.2% | | | |
| | 1,720,000 | | | BBB- | | JBS USA LUX SA/JBS USA Food Co./JBS Luxembourg Sarl, Company Guaranteed Notes, 6.750% due 3/15/34(a) | | | 1,773,196 | |
| | | | | | JBS USA LUX SA/JBS USA Food Co./JBS USA Finance Inc., Company Guaranteed Notes: | | | | |
| | 420,000 | | | BBB- | | 3.000% due 2/2/29 | | | 368,602 | |
| | 275,000 | | | BBB- | | 5.500% due 1/15/30 | | | 268,230 | |
| | 465,000 | | | BBB- | | 3.000% due 5/15/32 | | | 372,597 | |
| | 115,000 | | | BBB- | | 5.750% due 4/1/33 | | | 111,574 | |
| | | | | | Kraft Heinz Foods Co., Company Guaranteed Notes: | | | | |
| | 10,000 | | | BBB | | 3.000% due 6/1/26 | | | 9,538 | |
| | 40,000 | | | BBB | | 4.250% due 3/1/31 | | | 38,006 | |
| | 30,000 | | | BBB | | 5.000% due 6/4/42 | | | 27,737 | |
| | 160,000 | | | BBB | | 5.200% due 7/15/45 | | | 149,552 | |
| | 230,000 | | | A+ | | Mars Inc., Company Guaranteed Notes, 3.200% due 4/1/30(a) | | | 208,569 | |
| | 70,000 | | | BBB | | Mondelez International Inc., Senior Unsecured Notes, 1.500% due 5/4/25 | | | 66,929 | |
| | | | | | Pilgrim’s Pride Corp., Company Guaranteed Notes: | | | | |
| | 72,000 | | | BBB- | | 3.500% due 3/1/32 | | | 60,217 | |
| | 75,000 | | | BBB- | | 6.250% due 7/1/33 | | | 75,905 | |
| | | | | | | | | | |
| | | | | | Total Food | | | 3,530,652 | |
| | | | | | | | | | |
| |
| Forest Products & Paper — 0.0%@ | | | |
| | | | | | Suzano Austria GmbH, Company Guaranteed Notes: | | | | |
| | 180,000 | | | BBB- | | 3.750% due 1/15/31 | | | 157,611 | |
| | 770,000 | | | BBB- | | 3.125% due 1/15/32 | | | 632,855 | |
| | | | | | | | | | |
| | | | | | Total Forest Products & Paper | | | 790,466 | |
| | | | | | | | | | |
| |
| Gas — 0.2% | | | |
| | 92,000 | | | A- | | Atmos Energy Corp., Senior Unsecured Notes, 4.125% due 10/15/44 | | | 78,533 | |
| | | | | | CenterPoint Energy Resources Corp., Senior Unsecured Notes: | | | | |
| | 208,000 | | | BBB+ | | 5.250% due 3/1/28 | | | 209,405 | |
| | 52,000 | | | BBB+ | | 1.750% due 10/1/30 | | | 42,233 | |
| | 1,270,000 | | | BBB+ | | KeySpan Gas East Corp., Senior Unsecured Notes, 5.994% due 3/6/33(a) | | | 1,266,367 | |
| | 260,000 | EUR | | Baa1(b) | | National Gas Transmission PLC, Senior Unsecured Notes, 4.250% due 4/5/30 | | | 286,951 | |
| | | | | | NiSource Inc., Senior Unsecured Notes: | | | | |
| | 75,000 | | | BBB+ | | 3.490% due 5/15/27 | | | 71,332 | |
| | 161,000 | | | BBB+ | | 5.250% due 3/30/28 | | | 161,730 | |
| | 253,000 | | | BBB+ | | 3.600% due 5/1/30 | | | 231,552 | |
| | | | | | Piedmont Natural Gas Co., Inc., Senior Unsecured Notes: | | | | |
| | 90,000 | | | BBB+ | | 3.500% due 6/1/29 | | | 82,913 | |
| | 96,000 | | | BBB+ | | 2.500% due 3/15/31 | | | 80,438 | |
| | 460,000 | | | BBB+ | | 5.050% due 5/15/52 | | | 413,880 | |
| | 250,000 | | | BBB+ | | Southern Co. Gas Capital Corp., Company Guaranteed Notes, 4.400% due 5/30/47 | | | 203,322 | |
| | 255,000 | | | BBB | | Southwest Gas Corp., Senior Unsecured Notes, 5.450% due 3/23/28 | | | 257,254 | |
| | 75,000 | | | A | | Spire Missouri Inc., 1st Mortgage Notes, 4.800% due 2/15/33 | | | 72,831 | |
| | | | | | | | | | |
| | | | | | Total Gas | | | 3,458,741 | |
| | | | | | | | | | |
See Notes to Financial Statements.
143
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| Healthcare — Products — 0.2% | | | |
| | | | | | Abbott Laboratories, Senior Unsecured Notes: | | | | |
| $ | 70,000 | | | AA- | | 4.750% due 11/30/36 | | $ | 68,637 | |
| | 150,000 | | | AA- | | 4.900% due 11/30/46 | | | 144,603 | |
| | 60,000 | | | BBB+ | | Agilent Technologies Inc., Senior Unsecured Notes, 2.300% due 3/12/31 | | | 50,104 | |
| | | | | | Alcon Finance Corp., Company Guaranteed Notes: | | | | |
| | 645,000 | | | BBB+ | | 3.000% due 9/23/29(a) | | | 578,724 | |
| | 380,000 | | | BBB+ | | 2.600% due 5/27/30(a) | | | 326,179 | |
| | 200,000 | EUR | | A | | Medtronic Global Holdings SCA, Company Guaranteed Notes, 3.375% due 10/15/34 | | | 212,103 | |
| | 200,000 | EUR | | BBB | | Sartorius Finance BV, Company Guaranteed Notes, 4.500% due 9/14/32 | | | 223,451 | |
| | | | | | Solventum Corp., Company Guaranteed Notes: | | | | |
| | 420,000 | | | BBB- | | 5.400% due 3/1/29(a) | | | 419,276 | |
| | 430,000 | | | BBB- | | 5.450% due 3/13/31(a) | | | 426,048 | |
| | 590,000 | | | BBB- | | 5.600% due 3/23/34(a) | | | 587,302 | |
| | 440,000 | | | BBB- | | 5.900% due 4/30/54(a) | | | 433,513 | |
| | 13,000 | | | WR(b) | | St Jude Medical LLC, Senior Unsecured Notes, 4.750% due 4/15/43 | | | 9,493 | |
| | | | | | Thermo Fisher Scientific Inc., Senior Unsecured Notes: | | | | |
| | 164,000 | | | A- | | 2.000% due 10/15/31 | | | 134,060 | |
| | 755,000 | | | A- | | 5.086% due 8/10/33 | | | 759,289 | |
| | | | | | | | | | |
| | | | | | Total Healthcare — Products | | | 4,372,782 | |
| | | | | | | | | | |
| |
| Healthcare — Services — 0.7% | | | |
| | | | | | Centene Corp., Senior Unsecured Notes: | | | | |
| | 100,000 | | | BBB- | | 4.250% due 12/15/27 | | | 95,399 | |
| | 150,000 | | | BBB- | | 4.625% due 12/15/29 | | | 142,276 | |
| | 30,000 | | | BBB- | | 3.375% due 2/15/30 | | | 26,507 | |
| | 1,070,000 | | | BBB- | | 3.000% due 10/15/30 | | | 915,016 | |
| | 10,000 | | | BBB- | | 2.625% due 8/1/31 | | | 8,189 | |
| | 100,000 | | | A | | City of Hope, Senior Secured Notes, 5.623% due 11/15/43 | | | 97,958 | |
| | | | | | CommonSpirit Health: | | | | |
| | 30,000 | | | A- | | Secured Notes, 4.350% due 11/1/42 | | | 25,636 | |
| | | | | | Senior Secured Notes: | | | | |
| | 183,000 | | | A- | | 3.347% due 10/1/29 | | | 166,436 | |
| | 190,000 | | | A- | | 2.782% due 10/1/30 | | | 162,636 | |
| | 175,000 | | | AA | | 3.817% due 10/1/49 | | | 132,962 | |
| | 95,000 | | | A- | | 3.910% due 10/1/50 | | | 72,976 | |
| | 205,000 | | | AA | | Corewell Health Obligated Group, Senior Unsecured Notes, 3.487% due 7/15/49 | | | 155,095 | |
| | 205,000 | | | AA- | | Duke University Health System Inc., Senior Unsecured Notes, 3.920% due 6/1/47 | | | 169,672 | |
| | | | | | Elevance Health Inc., Senior Unsecured Notes: | | | | |
| | 1,120,000 | | | A | | 3.650% due 12/1/27 | | | 1,070,536 | |
| | 300,000 | | | A | | 4.100% due 5/15/32 | | | 276,626 | |
| | 247,000 | | | A | | 4.550% due 3/1/48 | | | 215,991 | |
| | 140,000 | | | A | | 4.550% due 5/15/52 | | | 122,233 | |
| | 116,000 | | | A | | 6.100% due 10/15/52 | | | 124,525 | |
| | 33,000 | | | A | | 4.850% due 8/15/54 | | | 28,195 | |
| | 140,000 | | | A | | Franciscan Missionaries of Our Lady Health System Inc., Secured Notes, 3.914% due 7/1/49 | | | 110,172 | |
| | 355,000 | | | BBB- | | Fresenius Medical Care US Finance III Inc., Company Guaranteed Notes, 1.875% due 12/1/26(a) | | | 320,111 | |
| | | | | | HCA Inc., Company Guaranteed Notes: | | | | |
| | 40,000 | | | BBB- | | 5.000% due 3/15/24 | | | 39,990 | |
| | 187,000 | | | BBB- | | 5.250% due 4/15/25 | | | 186,179 | |
| | 736,000 | | | BBB- | | 5.250% due 6/15/26 | | | 731,473 | |
| | 153,000 | | | BBB- | | 5.375% due 9/1/26 | | | 152,562 | |
| | 681,000 | | | BBB- | | 5.200% due 6/1/28 | | | 679,480 | |
| | 90,000 | | | BBB- | | 5.875% due 2/1/29 | | | 91,592 | |
| | 923,000 | | | BBB- | | 4.125% due 6/15/29 | | | 868,034 | |
See Notes to Financial Statements.
144
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| |
| Healthcare — Services — 0.7% — (continued) | | | |
| $ | 1,505,000 | | | BBB- | | 3.500% due 9/1/30 | | $ | 1,344,171 | |
| | 685,000 | | | BBB- | | 5.500% due 6/15/47 | | | 638,561 | |
| | 295,000 | | | BBB- | | 5.250% due 6/15/49 | | | 265,573 | |
| | 278,000 | | | BBB- | | 3.500% due 7/15/51 | | | 187,789 | |
| | 41,000 | | | AA | | Hoag Memorial Hospital Presbyterian, Unsecured Notes, 3.803% due 7/15/52 | | | 33,435 | |
| | | | | | Humana Inc., Senior Unsecured Notes: | | | | |
| | 20,000 | | | BBB+ | | 4.500% due 4/1/25 | | | 19,794 | |
| | 357,000 | | | BBB+ | | 1.350% due 2/3/27 | | | 320,103 | |
| | 170,000 | | | BBB+ | | 3.950% due 3/15/27 | | | 164,003 | |
| | 50,000 | | | BBB+ | | 2.150% due 2/3/32 | | | 39,639 | |
| | 70,000 | | | BBB+ | | 4.625% due 12/1/42 | | | 61,483 | |
| | 40,000 | | | BBB+ | | 4.950% due 10/1/44 | | | 36,081 | |
| | 580,000 | | | BBB- | | IQVIA Inc., Senior Secured Notes, 5.700% due 5/15/28 | | | 584,936 | |
| | 275,000 | | | AA- | | Kaiser Foundation Hospitals, Company Guaranteed Notes, 4.875% due 4/1/42 | | | 261,849 | |
| | 360,000 | | | B- | | ModivCare Escrow Issuer Inc., Senior Unsecured Notes, 5.000% due 10/1/29(a) | | | 265,898 | |
| | 88,000 | | | A+ | | Mount Nittany Medical Center Obligated Group, Unsecured Notes, 3.799% due 11/15/52 | | | 69,135 | |
| | 90,000 | | | Aa2(b) | | Nationwide Children’s Hospital Inc., Unsecured Notes, 4.556% due 11/1/52 | | | 82,923 | |
| | 90,000 | | | AA | | Presbyterian Healthcare Services, Unsecured Notes, 4.875% due 8/1/52 | | | 86,755 | |
| | 110,000 | | | AA- | | Queen’s Health Systems (The), Secured Notes, 4.810% due 7/1/52 | | | 102,810 | |
| | 240,000 | | | AA | | Roche Holdings Inc., Company Guaranteed Notes, 2.607% due 12/13/51(a) | | | 151,380 | |
| | 65,000 | | | Aa2(b) | | Seattle Children’s Hospital, Unsecured Notes, 2.719% due 10/1/50 | | | 42,090 | |
| | | | | | UnitedHealth Group Inc., Senior Unsecured Notes: | | | | |
| | 60,000 | | | A+ | | 1.250% due 1/15/26 | | | 56,073 | |
| | 50,000 | | | A+ | | 3.875% due 12/15/28 | | | 47,990 | |
| | 90,000 | | | A+ | | 4.000% due 5/15/29 | | | 86,566 | |
| | 50,000 | | | A+ | | 2.000% due 5/15/30 | | | 42,007 | |
| | 510,000 | | | A+ | | 4.200% due 5/15/32 | | | 481,559 | |
| | 223,000 | | | A+ | | 3.750% due 10/15/47 | | | 173,902 | |
| | 40,000 | | | A+ | | 4.250% due 6/15/48 | | | 33,903 | |
| | 30,000 | | | A+ | | 4.450% due 12/15/48 | | | 26,362 | |
| | 350,000 | | | A+ | | 3.700% due 8/15/49 | | | 268,450 | |
| | 20,000 | | | A+ | | 2.900% due 5/15/50 | | | 13,296 | |
| | 474,000 | | | A+ | | 3.250% due 5/15/51 | | | 333,509 | |
| | 120,000 | | | A+ | | 3.875% due 8/15/59 | | | 92,486 | |
| | 20,000 | | | A+ | | 3.125% due 5/15/60 | | | 13,087 | |
| | 115,000 | | | A+ | | 4.950% due 5/15/62 | | | 106,239 | |
| | 53,000 | | | A+ | | 5.200% due 4/15/63 | | | 50,450 | |
| | | | | | | | | | |
| | | | | | Total Healthcare — Services | | | 13,772,744 | |
| | | | | | | | | | |
| |
| Home Builders — 0.0%@ | | | |
| | | | | | Lennar Corp., Company Guaranteed Notes: | | | | |
| | 90,000 | | | BBB | | 4.500% due 4/30/24 | | | 89,804 | |
| | 130,000 | | | BBB | | 4.750% due 11/29/27 | | | 127,935 | |
| | 10,000 | | | BBB- | | MDC Holdings Inc., Company Guaranteed Notes, 6.000% due 1/15/43 | | | 9,914 | |
| | | | | | | | | | |
| | | | | | Total Home Builders | | | 227,653 | |
| | | | | | | | | | |
| |
| Household Products/Wares — 0.0%@ | | | |
| | 130,000 | | | B | | Spectrum Brands Inc., Company Guaranteed Notes, 3.875% due 3/15/31(a) | | | 123,990 | |
| | | | | | | | | | |
| |
| Insurance — 0.4% | | | |
| | 100,000 | | | B | | Alliant Holdings Intermediate LLC/Alliant Holdings Co.-Issuer, Senior Secured Notes, 4.250% due 10/15/27(a) | | | 92,414 | |
| | 83,000 | | | BBB+ | | American International Group Inc., Senior Unsecured Notes, 4.750% due 4/1/48 | | | 75,737 | |
| | | | | | Aon Corp., Company Guaranteed Notes: | | | | |
| | 22,000 | | | A- | | 4.500% due 12/15/28 | | | 21,485 | |
| | 124,000 | | | A- | | 3.750% due 5/2/29 | | | 116,396 | |
| | 288,000 | | | A- | | 2.800% due 5/15/30 | | | 250,389 | |
See Notes to Financial Statements.
145
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| |
| Insurance — 0.4% — (continued) | | | |
| $ | 730,000 | | | A- | | Aon Corp./Aon Global Holdings PLC, Company Guaranteed Notes, 3.900% due 2/28/52 | | $ | 552,506 | |
| | 720,000 | | | BBB+(e) | | Aon North America Inc., Company Guaranteed Notes, 5.450% due 3/1/34 | | | 720,269 | |
| | | | | | Athene Global Funding: | | | | |
| | 400,000 | | | A+ | | Secured Notes, 1.985% due 8/19/28(a) | | | 343,244 | |
| | 835,000 | | | A+ | | Senior Secured Notes, 6.045% (SOFR + 0.700%) due 5/24/24(a)(c) | | | 835,645 | |
| | 460,000 | | | AA | | Berkshire Hathaway Finance Corp., Company Guaranteed Notes, 4.250% due 1/15/49 | | | 405,025 | |
| | 70,000 | | | A | | Chubb INA Holdings Inc., Company Guaranteed Notes, 3.350% due 5/3/26 | | | 67,498 | |
| | 900,000 | | | BBB+ | | Farmers Exchange Capital II, Subordinated Notes, 6.151%
(3-Month USD-LIBOR + 3.744%) due 11/1/53(a)(c) | | | 829,168 | |
| | | | | | Hartford Financial Services Group Inc. (The), Senior Unsecured Notes: | | | | |
| | 98,000 | | | BBB+ | | 5.950% due 10/15/36 | | | 101,262 | |
| | 4,000 | | | BBB+ | | 4.300% due 4/15/43 | | | 3,436 | |
| | 540,000 | | | A- | | Marsh & McLennan Cos., Inc., Senior Unsecured Notes, 2.250% due 11/15/30 | | | 455,916 | |
| | 640,000 | | | BBB | | MetLife Inc., Junior Subordinated Notes, 6.400% due 12/15/36 | | | 650,799 | |
| | 340,000 | | | AA- | | Metropolitan Life Global Funding I, Senior Secured Notes, 5.150% due 3/28/33(a) | | | 336,367 | |
| | 850,000 | | | A- | | Nationwide Mutual Insurance Co., Subordinated Notes, 7.936%
(3-Month USD-LIBOR + 2.290%) due 12/15/24(a)(c) | | | 850,992 | |
| | | | | | Teachers Insurance & Annuity Association of America, Subordinated Notes: | | | | |
| | 20,000 | | | AA- | | 6.850% due 12/16/39(a) | | | 22,615 | |
| | 350,000 | | | AA- | | 4.900% due 9/15/44(a) | | | 318,237 | |
| | 995,000 | | | AA- | | 3.300% due 5/15/50(a) | | | 696,004 | |
| | 475,000 | | | BBB+ | | Willis North America Inc., Company Guaranteed Notes, 5.350% due 5/15/33 | | | 467,692 | |
| | | | | | | | | | |
| | | | | | Total Insurance | | | 8,213,096 | |
| | | | | | | | | | |
| |
| Internet — 0.3% | | | |
| | | | | | Alphabet Inc., Senior Unsecured Notes: | | | | |
| | 80,000 | | | AA+ | | 1.100% due 8/15/30 | | | 64,748 | |
| | 90,000 | | | AA+ | | 1.900% due 8/15/40 | | | 59,650 | |
| | 50,000 | | | AA+ | | 2.050% due 8/15/50 | | | 29,519 | |
| | | | | | Amazon.com Inc., Senior Unsecured Notes: | | | | |
| | 60,000 | | | AA | | 3.300% due 4/13/27 | | | 57,523 | |
| | 240,000 | | | AA | | 1.200% due 6/3/27 | | | 214,771 | |
| | 220,000 | | | AA | | 3.150% due 8/22/27 | | | 208,838 | |
| | 130,000 | | | AA | | 3.450% due 4/13/29 | | | 123,194 | |
| | 120,000 | | | AA | | 1.500% due 6/3/30 | | | 99,244 | |
| | 320,000 | | | AA | | 2.100% due 5/12/31 | | | 268,818 | |
| | 360,000 | | | AA | | 3.600% due 4/13/32 | | | 331,849 | |
| | 1,080,000 | | | AA | | 3.875% due 8/22/37 | | | 962,160 | |
| | 160,000 | | | AA | | 4.950% due 12/5/44 | | | 158,153 | |
| | 100,000 | | | AA | | 4.050% due 8/22/47 | | | 85,730 | |
| | 200,000 | | | AA | | 2.500% due 6/3/50 | | | 125,574 | |
| | 40,000 | | | AA | | 4.250% due 8/22/57 | | | 34,421 | |
| | | | | | Meta Platforms Inc., Senior Unsecured Notes: | | | | |
| | 375,000 | | | AA- | | 4.450% due 8/15/52 | | | 327,394 | |
| | 215,000 | | | AA- | | 4.650% due 8/15/62 | | | 190,372 | |
| | | | | | Northwest Fiber LLC/Northwest Fiber Finance Sub Inc.: | | | | |
| | 202,000 | | | B | | Senior Secured Notes, 4.750% due 4/30/27(a) | | | 194,064 | |
| | 162,000 | | | CCC | | Senior Unsecured Notes, 6.000% due 2/15/28(a) | | | 155,676 | |
| | 1,340,000 | | | BBB | | Prosus NV, Senior Unsecured Notes, 3.061% due 7/13/31(a) | | | 1,081,488 | |
| | | | | | | | | | |
| | | | | | Total Internet | | | 4,773,186 | |
| | | | | | | | | | |
| |
| Investment Companies — 0.0%@ | | | |
| | 200,000 | | | A1(b) | | Gaci First Investment Co., Company Guaranteed Notes, 5.250% due 10/13/32 | | | 200,500 | |
| | | | | | Icahn Enterprises LP/Icahn Enterprises Finance Corp., Company Guaranteed Notes: | | | | |
| | 80,000 | | | BB | | 6.250% due 5/15/26 | | | 78,035 | |
See Notes to Financial Statements.
146
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| |
| Investment Companies — 0.0%@ — (continued) | | | |
| $ | 128,000 | | | BB | | 5.250% due 5/15/27 | | $ | 117,897 | |
| | 215,000 | | | BB | | 9.750% due 1/15/29(a) | | | 224,944 | |
| | | | | | | | | | |
| | | | | | Total Investment Companies | | | 621,376 | |
| | | | | | | | | | |
| |
| Iron/Steel — 0.0%@ | | | |
| | 30,000 | | | BBB- | | ArcelorMittal SA, Senior Unsecured Notes, 7.000% due 10/15/39 | | | 32,030 | |
| | 525,000 | | | BBB- | | Vale Overseas Ltd., Company Guaranteed Notes, 6.875% due 11/21/36 | | | 560,749 | |
| | | | | | | | | | |
| | | | | | Total Iron/Steel | | | 592,779 | |
| | | | | | | | | | |
| |
| Leisure Time — 0.0%@ | | | |
| | 540,000 | | | BB- | | NCL Corp., Ltd., Senior Secured Notes, 8.125% due 1/15/29(a) | | | 568,610 | |
| | 200,000 | | | BB+ | | Royal Caribbean Cruises Ltd., Senior Unsecured Notes, 6.250% due 3/15/32(a) | | | 200,697 | |
| | 110,000 | | | BB- | | VOC Escrow Ltd., Senior Secured Notes, 5.000% due 2/15/28(a) | | | 105,739 | |
| | | | | | | | | | |
| | | | | | Total Leisure Time | | | 875,046 | |
| | | | | | | | | | |
| |
| Lodging — 0.2% | | | |
| | | | | | Las Vegas Sands Corp., Senior Unsecured Notes: | | | | |
| | 770,000 | | | BB+ | | 3.200% due 8/8/24 | | | 759,935 | |
| | 1,250,000 | | | BB+ | | 2.900% due 6/25/25 | | | 1,194,969 | |
| | 110,000 | | | BB+ | | 3.900% due 8/8/29 | | | 99,602 | |
| | 155,000 | | | BBB | | Marriott International Inc., Senior Unsecured Notes, 5.300% due 5/15/34 | | | 152,524 | |
| | | | | | Sands China Ltd., Senior Unsecured Notes: | | | | |
| | 1,150,000 | | | BBB- | | 5.125% due 8/8/25 | | | 1,131,879 | |
| | 200,000 | | | BBB- | | 4.050% due 1/8/26 | | | 191,905 | |
| | 350,000 | | | BBB- | | 2.550% due 3/8/27 | | | 315,578 | |
| | 200,000 | | | BBB- | | 3.100% due 3/8/29 | | | 172,830 | |
| | | | | | | | | | |
| | | | | | Total Lodging | | | 4,019,222 | |
| | | | | | | | | | |
| |
| Machinery — Diversified — 0.0%@ | | | |
| | 185,000 | | | BBB+ | | CNH Industrial Capital LLC, Company Guaranteed Notes, 4.550% due 4/10/28 | | | 181,154 | |
| | | | | | Deere & Co., Senior Unsecured Notes: | | | | |
| | 40,000 | | | A | | 3.100% due 4/15/30 | | | 36,359 | |
| | 130,000 | | | A | | 3.750% due 4/15/50 | | | 106,736 | |
| | | | | | Otis Worldwide Corp., Senior Unsecured Notes: | | | | |
| | 80,000 | | | BBB | | 2.056% due 4/5/25 | | | 77,120 | |
| | 29,000 | | | BBB | | 5.250% due 8/16/28 | | | 29,226 | |
| | 210,000 | | | BBB | | 2.565% due 2/15/30 | | | 183,178 | |
| | | | | | | | | | |
| | | | | | Total Machinery — Diversified | | | 613,773 | |
| | | | | | | | | | |
| |
| Media — 1.0% | | | |
| | 640,000 | | | BB- | | Cable One Inc., Company Guaranteed Notes, 4.000% due 11/15/30(a) | | | 479,185 | |
| | | | | | CCO Holdings LLC/CCO Holdings Capital Corp., Senior Unsecured Notes: | | | | |
| | 100,000 | | | BB- | | 4.750% due 2/1/32(a) | | | 80,862 | |
| | 100,000 | | | BB- | | 4.500% due 5/1/32 | | | 79,094 | |
| | 370,000 | | | BB- | | 4.500% due 6/1/33(a) | | | 285,268 | |
| | 130,000 | | | BB- | | 4.250% due 1/15/34(a) | | | 97,325 | |
| | | | | | Charter Communications Operating LLC/Charter Communications Operating Capital, Senior Secured Notes: | | | | |
| | 430,000 | | | BBB- | | 4.908% due 7/23/25 | | | 424,099 | |
| | 210,000 | | | BBB- | | 3.750% due 2/15/28 | | | 193,935 | |
| | 260,000 | | | BBB- | | 4.200% due 3/15/28 | | | 243,671 | |
| | 650,000 | | | BBB- | | 5.050% due 3/30/29 | | | 621,819 | |
| | 330,000 | | | BBB- | | 2.300% due 2/1/32 | | | 250,697 | |
| | 210,000 | | | BBB- | | 4.400% due 4/1/33 | | | 183,705 | |
| | 50,000 | | | BBB- | | 3.500% due 3/1/42 | | | 32,714 | |
| | 560,000 | | | BBB- | | 5.375% due 5/1/47 | | | 442,372 | |
See Notes to Financial Statements.
147
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| |
| Media — 1.0% — (continued) | | | |
| $ | 1,009,000 | | | BBB- | | 5.750% due 4/1/48 | | $ | 839,641 | |
| | 415,000 | | | BBB- | | 5.125% due 7/1/49 | | | 314,750 | |
| | 580,000 | | | BBB- | | 4.800% due 3/1/50 | | | 418,943 | |
| | 422,000 | | | BBB- | | 3.700% due 4/1/51 | | | 256,048 | |
| | 1,146,000 | | | BBB- | | 3.900% due 6/1/52 | | | 720,160 | |
| | 515,000 | | | BBB- | | 5.250% due 4/1/53 | | | 399,718 | |
| | 308,000 | | | BBB- | | 3.850% due 4/1/61 | | | 178,818 | |
| | 701,000 | | | BBB- | | 3.950% due 6/30/62 | | | 415,596 | |
| | 130,000 | | | BBB- | | 5.500% due 4/1/63 | | | 100,541 | |
| | | | | | Comcast Corp., Company Guaranteed Notes: | | | | |
| | 40,000 | | | A- | | 3.950% due 10/15/25 | | | 39,314 | |
| | 80,000 | | | A- | | 3.150% due 3/1/26 | | | 77,217 | |
| | 70,000 | | | A- | | 3.300% due 4/1/27 | | | 66,784 | |
| | 1,720,000 | | | A- | | 4.150% due 10/15/28 | | | 1,669,202 | |
| | 90,000 | | | A- | | 3.400% due 4/1/30 | | | 82,337 | |
| | 270,000 | | | A- | | 4.250% due 10/15/30 | | | 258,211 | |
| | 45,000 | | | A- | | 1.950% due 1/15/31 | | | 37,009 | |
| | 388,000 | | | A- | | 1.500% due 2/15/31 | | | 309,449 | |
| | 282,000 | | | A- | | 4.800% due 5/15/33 | | | 275,794 | |
| | 7,000 | | | A- | | 6.500% due 11/15/35 | | | 7,675 | |
| | 50,000 | | | A- | | 3.900% due 3/1/38 | | | 42,813 | |
| | 20,000 | | | A- | | 3.250% due 11/1/39 | | | 15,346 | |
| | 20,000 | | | A- | | 3.750% due 4/1/40 | | | 16,368 | |
| | 27,000 | | | A- | | 4.750% due 3/1/44 | | | 24,561 | |
| | 20,000 | | | A- | | 3.400% due 7/15/46 | | | 14,645 | |
| | 30,000 | | | A- | | 4.000% due 8/15/47 | | | 24,046 | |
| | 153,000 | | | A- | | 3.969% due 11/1/47 | | | 121,191 | |
| | 20,000 | | | A- | | 4.000% due 3/1/48 | | | 15,888 | |
| | 43,000 | | | A- | | 3.999% due 11/1/49 | | | 34,160 | |
| | 60,000 | | | A- | | 3.450% due 2/1/50 | | | 43,049 | |
| | 570,000 | | | A- | | 2.800% due 1/15/51 | | | 356,980 | |
| | 149,000 | | | A- | | 2.887% due 11/1/51 | | | 94,366 | |
| | 1,051,000 | | | A- | | 4.049% due 11/1/52 | | | 833,014 | |
| | 389,000 | | | A- | | 2.937% due 11/1/56 | | | 239,331 | |
| | 20,000 | | | A- | | 4.950% due 10/15/58 | | | 18,500 | |
| | 79,000 | | | A- | | 2.650% due 8/15/62 | | | 44,217 | |
| | 700,000 | | | A- | | 2.987% due 11/1/63 | | | 420,228 | |
| | 82,000 | | | BBB | | Cox Communications Inc., Senior Unsecured Notes, 3.150% due 8/15/24(a) | | | 80,936 | |
| | | | | | CSC Holdings LLC: | | | | |
| | | | | | Company Guaranteed Notes: | | | | |
| | 1,063,000 | | | B- | | 6.500% due 2/1/29(a) | | | 927,691 | |
| | 1,500,000 | | | B- | | 4.500% due 11/15/31(a) | | | 1,115,152 | |
| | 300,000 | | | CCC | | Senior Unsecured Notes, 5.750% due 1/15/30(a) | | | 174,958 | |
| | | | | | DISH DBS Corp.: | | | | |
| | | | | | Company Guaranteed Notes: | | | | |
| | 140,000 | | | CC | | 7.750% due 7/1/26 | | | 89,391 | |
| | 70,000 | | | CC | | 5.125% due 6/1/29 | | | 29,925 | |
| | 60,000 | | | B- | | Senior Secured Notes, 5.250% due 12/1/26(a) | | | 48,187 | |
| | 721,000 | | | Baa3(b) | | FactSet Research Systems Inc., Senior Unsecured Notes, 3.450% due 3/1/32 | | | 629,686 | |
| | | | | | Fox Corp., Senior Unsecured Notes: | | | | |
| | 220,000 | | | BBB | | 6.500% due 10/13/33 | | | 231,030 | |
| | 290,000 | | | BBB | | 5.476% due 1/25/39 | | | 270,634 | |
| | | | | | Paramount Global, Senior Unsecured Notes: | | | | |
| | 142,000 | | | BBB- | | 5.850% due 9/1/43 | | | 114,881 | |
| | 43,000 | | | BBB- | | 5.250% due 4/1/44 | | | 31,996 | |
See Notes to Financial Statements.
148
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| |
| Media — 1.0% — (continued) | | | |
| $ | 34,000 | | | BBB- | | 4.900% due 8/15/44 | | $ | 23,952 | |
| | 50,000 | | | BBB- | | 4.600% due 1/15/45 | | | 34,344 | |
| | 48,000 | | | BBB- | | 4.950% due 5/19/50 | | | 34,377 | |
| | 240,000 | | | BBB- | | Time Warner Cable Enterprises LLC, Senior Secured Notes, 8.375% due 7/15/33 | | | 266,378 | |
| | | | | | Time Warner Cable LLC, Senior Secured Notes: | | | | |
| | 50,000 | | | BBB- | | 6.550% due 5/1/37 | | | 47,094 | |
| | 230,000 | | | BBB- | | 7.300% due 7/1/38 | | | 229,379 | |
| | 270,000 | | | BBB- | | 5.875% due 11/15/40 | | | 232,933 | |
| | 1,852,000 | | | BBB- | | 5.500% due 9/1/41 | | | 1,531,049 | |
| | 700,000 | | | B+ | | VZ Secured Financing BV, Senior Secured Notes, 5.000% due 1/15/32(a) | | | 600,428 | |
| | | | | | Walt Disney Co. (The), Company Guaranteed Notes: | | | | |
| | 25,000 | | | A- | | 6.200% due 12/15/34 | | | 27,317 | |
| | 30,000 | | | A- | | 6.650% due 11/15/37 | | | 33,982 | |
| | | | | | | | | | |
| | | | | | Total Media | | | 19,046,356 | |
| | | | | | | | | | |
| |
| Mining — 0.4% | | | |
| | | | | | Anglo American Capital PLC, Company Guaranteed Notes: | | | | |
| | 550,000 | | | BBB+ | | 3.625% due 9/11/24(a) | | | 543,194 | |
| | 479,000 | | | BBB+ | | 4.750% due 4/10/27(a) | | | 468,566 | |
| | 550,000 | | | BBB+ | | 4.500% due 3/15/28(a) | | | 529,618 | |
| | 342,000 | | | BBB+ | | 2.625% due 9/10/30(a) | | | 287,947 | |
| | 276,000 | | | BBB+ | | (Cost — $271,247, acquired 2/14/24) 5.500% due 5/2/33(f) | | | 271,742 | |
| | 200,000 | | | BBB+ | | 5.500% due 5/2/33(a) | | | 196,914 | |
| | | | | | Barrick North America Finance LLC, Company Guaranteed Notes: | | | | |
| | 70,000 | | | BBB+ | | 5.700% due 5/30/41 | | | 71,100 | |
| | 200,000 | | | BBB+ | | 5.750% due 5/1/43 | | | 204,870 | |
| | 150,000 | | | A- | | BHP Billsiton Finance USA Ltd., Company Guaranteed Notes, 5.000% due 9/30/43 | | | 143,448 | |
| | 515,000 | | | BBB+ | | Corp. Nacional del Cobre de Chile, Senior Unsecured Notes, 5.125% due 2/2/33 | | | 483,425 | |
| | | | | | First Quantum Minerals Ltd.: | | | | |
| | 200,000 | | | B | | Company Guaranteed Notes, 6.875% due 10/15/27(a) | | | 190,392 | |
| | 200,000 | | | B | | Secured Notes, 9.375% due 3/1/29(a) | | | 207,702 | |
| | | | | | Freeport-McMoRan Inc., Company Guaranteed Notes: | | | | |
| | 10,000 | | | BB+ | | 4.550% due 11/14/24 | | | 9,904 | |
| | 70,000 | | | BB+ | | 5.400% due 11/14/34 | | | 68,133 | |
| | 620,000 | | | BB+ | | 5.450% due 3/15/43 | | | 576,194 | |
| | | | | | Glencore Funding LLC, Company Guaranteed Notes: | | | | |
| | 710,000 | | | BBB+ | | 4.125% due 3/12/24(a) | | | 709,713 | |
| | 510,000 | | | BBB+ | | 4.625% due 4/29/24(a) | | | 508,893 | |
| | 260,000 | | | BBB+ | | 4.000% due 3/27/27(a) | | | 250,168 | |
| | 656,000 | | | BBB+ | | 3.875% due 10/27/27(a) | | | 627,864 | |
| | 499,000 | | | BBB+ | | 5.400% due 5/8/28(a) | | | 501,842 | |
| | | | | | Newmont Corp., Company Guaranteed Notes: | | | | |
| | 61,000 | | | BBB+ | | 2.600% due 7/15/32 | | | 50,176 | |
| | 133,000 | | | BBB+ | | 5.875% due 4/1/35 | | | 137,196 | |
| | 910,000 | | | BBB+ | | Southern Copper Corp., Senior Unsecured Notes, 5.250% due 11/8/42 | | | 856,215 | |
| | 90,000 | | | BBB- | | Yamana Gold Inc., Company Guaranteed Notes, 4.625% due 12/15/27 | | | 86,270 | |
| | | | | | | | | | |
| | | | | | Total Mining | | | 7,981,486 | |
| | | | | | | | | | |
| |
| Miscellaneous Manufacturers — 0.0%@ | | | |
| | | | | | 3M Co., Senior Unsecured Notes: | | | | |
| | 90,000 | | | BBB+ | | 2.375% due 8/26/29 | | | 78,165 | |
| | 30,000 | | | BBB+ | | 3.050% due 4/15/30 | | | 26,658 | |
| | 360,000 | | | BBB+ | | 3.700% due 4/15/50 | | | 265,627 | |
| | 160,000 | | | A- | | Eaton Corp., Company Guaranteed Notes, 4.150% due 11/2/42 | | | 139,291 | |
| | 218,000 | | | BBB | | Textron Inc., Senior Unsecured Notes, 3.900% due 9/17/29 | | | 204,177 | |
| | | | | | | | | | |
| | | | | | Total Miscellaneous Manufacturers | | | 713,918 | |
| | | | | | | | | | |
See Notes to Financial Statements.
149
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| Multi-National — 0.2% | | | |
| | 253,000,000 | INR | | Aaa(b) | | Inter-American Development Bank, Senior Unsecured Notes, 7.350% due 10/6/30 | | $ | 3,108,257 | |
| | | | | | | | | | |
| |
| Oil & Gas — 2.0% | | | |
| | | | | | Antero Resources Corp., Company Guaranteed Notes: | | | | |
| $ | 1,548,000 | | | BB+ | | 7.625% due 2/1/29(a) | | | 1,595,770 | |
| | 257,000 | | | BB+ | | 5.375% due 3/1/30(a) | | | 245,165 | |
| | | | | | Apache Corp., Senior Unsecured Notes: | | | | |
| | 60,000 | | | BB+ | | 7.750% due 12/15/29 | | | 64,375 | |
| | 159,000 | | | BB+ | | 4.250% due 1/15/30 | | | 146,174 | |
| | 229,000 | | | BB+ | | 5.100% due 9/1/40 | | | 191,776 | |
| | 20,000 | | | BB+ | | 5.250% due 2/1/42 | | | 16,512 | |
| | 132,000 | | | BB+ | | 4.750% due 4/15/43 | | | 101,504 | |
| | 60,000 | | | BB+ | | 4.250% due 1/15/44 | | | 41,711 | |
| | 90,000 | | | BB+ | | 5.350% due 7/1/49 | | | 73,052 | |
| | | | | | BP Capital Markets America Inc., Company Guaranteed Notes: | | | | |
| | 70,000 | | | A- | | 3.410% due 2/11/26 | | | 67,902 | |
| | 190,000 | | | A- | | 3.588% due 4/14/27 | | | 182,644 | |
| | 110,000 | | | A- | | 3.633% due 4/6/30 | | | 102,575 | |
| | 693,000 | | | A- | | 4.989% due 4/10/34 | | | 681,925 | |
| | 70,000 | | | AA- | | Chevron Corp., Senior Unsecured Notes, 1.995% due 5/11/27 | | | 64,398 | |
| | 10,000 | | | AA- | | Chevron USA Inc., Company Guaranteed Notes, 3.850% due 1/15/28 | | | 9,734 | |
| | | | | | Continental Resources Inc., Company Guaranteed Notes: | | | | |
| | 870,000 | | | BBB- | | 3.800% due 6/1/24 | | | 865,458 | |
| | 180,000 | | | BBB- | | 2.268% due 11/15/26(a) | | | 165,240 | |
| | 640,000 | | | BBB- | | 4.375% due 1/15/28 | | | 615,336 | |
| | 120,000 | | | BBB- | | 5.750% due 1/15/31(a) | | | 117,656 | |
| | 30,000 | | | BBB- | | 4.900% due 6/1/44 | | | 24,393 | |
| | | | | | Coterra Energy Inc., Senior Unsecured Notes: | | | | |
| | 950,000 | | | BBB | | 3.900% due 5/15/27 | | | 913,406 | |
| | 150,000 | | | BBB | | 4.375% due 3/15/29 | | | 144,532 | |
| | | | | | Devon Energy Corp., Senior Unsecured Notes: | | | | |
| | 616,000 | | | BBB | | 5.250% due 9/15/24 | | | 614,224 | |
| | 190,000 | | | BBB | | 5.850% due 12/15/25 | | | 191,126 | |
| | 32,000 | | | BBB | | 5.250% due 10/15/27 | | | 31,940 | |
| | 142,000 | | | BBB | | 5.875% due 6/15/28 | | | 142,871 | |
| | 129,000 | | | BBB | | 4.500% due 1/15/30 | | | 123,115 | |
| | 460,000 | | | BBB | | 5.600% due 7/15/41 | | | 433,158 | |
| | 10,000 | | | BBB | | 4.750% due 5/15/42 | | | 8,466 | |
| | 680,000 | | | BBB | | 5.000% due 6/15/45 | | | 588,818 | |
| | | | | | Diamondback Energy Inc., Company Guaranteed Notes: | | | | |
| | 1,814,000 | | | BBB- | | 3.250% due 12/1/26 | | | 1,735,363 | |
| | 3,694,000 | | | BBB- | | 3.500% due 12/1/29 | | | 3,391,332 | |
| | 2,844,000 | | | BBB- | | 3.125% due 3/24/31 | | | 2,493,415 | |
| | 330,000 | | | BBB- | | 4.400% due 3/24/51 | | | 268,809 | |
| | 860,000 | | | BB+ | | Ecopetrol SA, Senior Unsecured Notes, 5.875% due 5/28/45 | | | 637,628 | |
| | | | | | EOG Resources Inc., Senior Unsecured Notes: | | | | |
| | 100,000 | | | A- | | 4.150% due 1/15/26 | | | 98,498 | |
| | 210,000 | | | A- | | 4.375% due 4/15/30 | | | 203,798 | |
| | 510,000 | | | A- | | 3.900% due 4/1/35 | | | 458,380 | |
| | 210,000 | | | A- | | 4.950% due 4/15/50 | | | 196,269 | |
| | | | | | EQT Corp., Senior Unsecured Notes: | | | | |
| | 6,000 | | | BBB- | | 6.125% due 2/1/25 | | | 6,014 | |
| | 3,534,000 | | | BBB- | | 3.900% due 10/1/27 | | | 3,353,564 | |
| | 352,000 | | | BBB- | | 5.700% due 4/1/28 | | | 354,888 | |
| | 201,000 | | | BBB- | | 5.000% due 1/15/29 | | | 196,085 | |
See Notes to Financial Statements.
150
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| |
| Oil & Gas — 2.0% — (continued) | | | |
| $ | 538,000 | | | BBB- | | 3.625% due 5/15/31(a) | | $ | 470,589 | |
| | 128,000 | | | BBB- | | 5.750% due 2/1/34 | | | 125,992 | |
| | | | | | Exxon Mobil Corp., Senior Unsecured Notes: | | | | |
| | 180,000 | | | AA- | | 3.482% due 3/19/30 | | | 168,053 | |
| | 460,000 | | | AA- | | 4.227% due 3/19/40 | | | 412,643 | |
| | 70,000 | | | AA- | | 4.114% due 3/1/46 | | | 59,461 | |
| | 110,000 | | | AA- | | 4.327% due 3/19/50 | | | 95,755 | |
| | 100,000 | | | AA- | | 3.452% due 4/15/51 | | | 74,112 | |
| | 75,000 | | | BBB- | | Hess Corp., Senior Unsecured Notes, 5.800% due 4/1/47 | | | 76,239 | |
| | | | | | Occidental Petroleum Corp., Senior Unsecured Notes: | | | | |
| | 94,000 | | | BB+ | | 6.950% due 7/1/24 | | | 94,349 | |
| | 740,000 | | | BB+ | | 5.550% due 3/15/26 | | | 744,999 | |
| | 90,000 | | | BB+ | | 3.400% due 4/15/26 | | | 86,322 | |
| | 140,000 | | | BB+ | | 7.500% due 5/1/31 | | | 154,867 | |
| | 75,000 | | | BB+ | | 7.875% due 9/15/31 | | | 84,488 | |
| | 90,000 | | | BB+ | | 4.625% due 6/15/45 | | | 72,716 | |
| | 30,000 | | | BB+ | | 4.100% due 2/15/47 | | | 22,098 | |
| | 690,000 | | | BB+ | | 4.200% due 3/15/48 | | | 529,965 | |
| | 177,000 | | | BBB- | | Ovintiv Inc., Company Guaranteed Notes, 6.250% due 7/15/33 | | | 181,851 | |
| | 1,860,000 | | | BB | | Petrobras Global Finance BV, Company Guaranteed Notes, 5.750% due 2/1/29 | | | 1,853,730 | |
| | | | | | Petroleos Mexicanos, Company Guaranteed Notes: | | | | |
| | 117,000 | | | BBB | | 6.625% due 6/15/35 | | | 85,596 | |
| | 465,000 | | | BBB | | 6.750% due 9/21/47 | | | 295,443 | |
| | 68,000 | | | BBB | | 6.350% due 2/12/48 | | | 41,673 | |
| | | | | | Pioneer Natural Resources Co., Senior Unsecured Notes: | | | | |
| | 30,000 | | | BBB | | 1.125% due 1/15/26 | | | 27,854 | |
| | 102,000 | | | BBB | | 5.100% due 3/29/26 | | | 101,903 | |
| | 50,000 | | | BBB | | 1.900% due 8/15/30 | | | 41,654 | |
| | 330,000 | | | BBB | | 2.150% due 1/15/31 | | | 276,106 | |
| | 50,000 | | | BB | | Range Resources Corp., Company Guaranteed Notes, 4.875% due 5/15/25 | | | 49,305 | |
| | 450,000 | | | BBB+ | | Reliance Industries Ltd., Senior Unsecured Notes, 3.625% due 1/12/52(a) | | | 327,303 | |
| | | | | | Shell International Finance BV, Company Guaranteed Notes: | | | | |
| | 610,000 | | | A+ | | 3.875% due 11/13/28 | | | 588,665 | |
| | 60,000 | | | A+ | | 2.750% due 4/6/30 | | | 53,452 | |
| | 90,000 | | | A+ | | 4.550% due 8/12/43 | | | 81,727 | |
| | 220,000 | | | A+ | | 4.375% due 5/11/45 | | | 192,176 | |
| | 290,000 | | | A+ | | 4.000% due 5/10/46 | | | 238,582 | |
| | 430,000 | | | A+ | | 3.250% due 4/6/50 | | | 306,035 | |
| | | | | | Southwestern Energy Co., Company Guaranteed Notes: | | | | |
| | 10,000 | | | BB+ | | 5.375% due 2/1/29 | | | 9,672 | |
| | 1,340,000 | | | BB+ | | 5.375% due 3/15/30 | | | 1,281,993 | |
| | 70,000 | | | BB+ | | 4.750% due 2/1/32 | | | 63,637 | |
| | 425,000 | | | BB | | Sunoco LP/Sunoco Finance Corp., Company Guaranteed Notes, 4.500% due 5/15/29 | | | 393,053 | |
| | | | | | Viper Energy Inc., Senior Unsecured Notes: | | | | |
| | 4,798,000 | | | BBB- | | 5.375% due 11/1/27(a) | | | 4,659,963 | |
| | 584,000 | | | BBB- | | 7.375% due 11/1/31(a) | | | 601,838 | |
| | | | | | | | | | |
| | | | | | Total Oil & Gas | | | 36,984,858 | |
| | | | | | | | | | |
| |
| Oil & Gas Services — 0.0%@ | | | |
| | | | | | Halliburton Co., Senior Unsecured Notes: | | | | |
| | 20,000 | | | BBB+ | | 4.850% due 11/15/35 | | | 19,226 | |
| | 50,000 | | | BBB+ | | 5.000% due 11/15/45 | | | 46,633 | |
| | 171,000 | | | A | | Schlumberger Holdings Corp., Senior Unsecured Notes, 3.900% due 5/17/28(a) | | | 164,011 | |
| | | | | | | | | | |
| | | | | | Total Oil & Gas Services | | | 229,870 | |
| | | | | | | | | | |
See Notes to Financial Statements.
151
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| Packaging & Containers — 0.1% | | | |
| $ | 94,000 | | | BBB | | Amcor Flexibles North America Inc. North America Inc., Company Guaranteed Notes, 2.690% due 5/25/31 | | $ | 79,452 | |
| | 455,000 | | | CCC+ | | Ardagh Packaging Finance PLC/Ardagh Holdings USA Inc., Company Guaranteed Notes, 5.250% due 8/15/27(a) | | | 330,565 | |
| | | | | | Berry Global Inc., Senior Secured Notes: | | | | |
| | 501,000 | | | BBB- | | 1.570% due 1/15/26 | | | 466,662 | |
| | 510,000 | | | BBB- | | 4.875% due 7/15/26(a) | | | 498,584 | |
| | 22,000 | | | BBB- | | 1.650% due 1/15/27 | | | 19,817 | |
| | 445,000 | | | BBB- | | 5.500% due 4/15/28(a) | | | 442,238 | |
| | 175,000 | | | B | | Clearwater Paper Corp., Company Guaranteed Notes, 4.750% due 8/15/28(a) | | | 162,255 | |
| | 475,000 | | | BB | | Graphic Packaging International LLC, Company Guaranteed Notes, 4.125% due 8/15/24 | | | 469,308 | |
| | | | | | | | | | |
| | | | | | Total Packaging & Containers | | | 2,468,881 | |
| | | | | | | | | | |
| |
| Pharmaceuticals — 1.3% | | | |
| | 385,000 | | | NR | | 1375209 BC Ltd., Senior Secured Notes, 9.000% due 1/30/28(a) | | | 376,792 | |
| | | | | | AbbVie Inc., Senior Unsecured Notes: | | | | |
| | 730,000 | | | A- | | 2.600% due 11/21/24 | | | 715,014 | |
| | 20,000 | | | A- | | 3.800% due 3/15/25 | | | 19,695 | |
| | 100,000 | | | A- | | 3.600% due 5/14/25 | | | 98,029 | |
| | 150,000 | | | A- | | 2.950% due 11/21/26 | | | 142,241 | |
| | 400,000 | | | A3(b) | | 4.800% due 3/15/29 | | | 398,551 | |
| | 1,430,000 | | | A- | | 3.200% due 11/21/29 | | | 1,307,901 | |
| | 180,000 | | | A3(b) | | 4.950% due 3/15/31 | | | 180,053 | |
| | 240,000 | | | A3(b) | | 5.050% due 3/15/34 | | | 241,188 | |
| | 551,000 | | | A- | | 4.550% due 3/15/35 | | | 527,942 | |
| | 611,000 | | | A- | | 4.500% due 5/14/35 | | | 581,934 | |
| | 150,000 | | | A- | | 4.750% due 3/15/45 | | | 139,123 | |
| | 10,000 | | | A- | | 4.875% due 11/14/48 | | | 9,465 | |
| | 230,000 | | | A- | | 4.250% due 11/21/49 | | | 196,938 | |
| | 255,000 | | | WR(b) | | Allergan Funding SCS, Company Guaranteed Notes, 4.550% due 3/15/35 | | | 212,381 | |
| | | | | | Bayer US Finance II LLC, Company Guaranteed Notes: | | | | |
| | 625,000 | | | BBB | | 4.375% due 12/15/28(a) | | | 582,285 | |
| | 285,000 | | | BBB | | 4.625% due 6/25/38(a) | | | 234,631 | |
| | 490,000 | | | BBB | | 4.400% due 7/15/44(a) | | | 370,237 | |
| | 970,000 | | | BBB | | 4.875% due 6/25/48(a) | | | 768,559 | |
| | | | | | Bayer US Finance LLC, Company Guaranteed Notes: | | | | |
| | 809,000 | | | BBB | | 6.375% due 11/21/30(a) | | | 814,892 | |
| | 845,000 | | | BBB | | 6.500% due 11/21/33(a) | | | 845,388 | |
| | | | | | Becton Dickinson & Co., Senior Unsecured Notes: | | | | |
| | 377,000 | | | BBB | | 3.363% due 6/6/24 | | | 374,493 | |
| | 17,000 | | | BBB | | 3.734% due 12/15/24 | | | 16,765 | |
| | 243,000 | | | BBB | | 4.693% due 2/13/28 | | | 239,616 | |
| | 42,000 | | | BBB | | 4.685% due 12/15/44 | | | 37,732 | |
| | | | | | Bristol-Myers Squibb Co., Senior Unsecured Notes: | | | | |
| | 216,000 | | | A | | 2.900% due 7/26/24 | | | 213,769 | |
| | 41,000 | | | A | | 3.400% due 7/26/29 | | | 38,219 | |
| | 493,000 | | | A | | 5.100% due 2/22/31 | | | 494,526 | |
| | 610,000 | | | A | | 5.200% due 2/22/34 | | | 614,690 | |
| | 98,000 | | | A | | 4.125% due 6/15/39 | | | 85,440 | |
| | 110,000 | | | A | | 5.550% due 2/22/54 | | | 111,409 | |
| | 90,000 | | | A | | 5.650% due 2/22/64 | | | 90,993 | |
| | | | | | Cigna Group (The): | | | | |
| | | | | | Company Guaranteed Notes: | | | | |
| | 90,000 | | | A- | | 3.400% due 3/1/27 | | | 85,711 | |
| | 1,030,000 | | | A- | | 4.375% due 10/15/28 | | | 999,484 | |
See Notes to Financial Statements.
152
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| |
| Pharmaceuticals — 1.3% — (continued) | | | |
| $ | 830,000 | | | A- | | 4.800% due 8/15/38 | | $ | 769,627 | |
| | 30,000 | | | A- | | 4.900% due 12/15/48 | | | 26,951 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 160,000 | | | A- | | 2.375% due 3/15/31 | | | 133,559 | |
| | 20,000 | | | A- | | 3.200% due 3/15/40 | | | 14,916 | |
| | 570,000 | | | A- | | 3.400% due 3/15/51 | | | 398,182 | |
| | | | | | CVS Health Corp., Senior Unsecured Notes: | | | | |
| | 6,000 | | | BBB | | 3.875% due 7/20/25 | | | 5,878 | |
| | 50,000 | | | BBB | | 3.625% due 4/1/27 | | | 47,979 | |
| | 534,000 | | | BBB | | 4.300% due 3/25/28 | | | 518,248 | |
| | 591,000 | | | BBB | | 5.000% due 1/30/29 | | | 588,843 | |
| | 620,000 | | | BBB | | 3.750% due 4/1/30 | | | 572,057 | |
| | 944,000 | | | BBB | | 2.125% due 9/15/31 | | | 761,806 | |
| | 64,000 | | | BBB | | 5.250% due 2/21/33 | | | 63,331 | |
| | 445,000 | | | BBB | | 4.875% due 7/20/35 | | | 424,629 | |
| | 440,000 | | | BBB | | 4.780% due 3/25/38 | | | 400,245 | |
| | 50,000 | | | BBB | | 4.125% due 4/1/40 | | | 41,179 | |
| | 70,000 | | | BBB | | 5.125% due 7/20/45 | | | 63,692 | |
| | 710,000 | | | BBB | | 5.050% due 3/25/48 | | | 633,079 | |
| | 30,000 | | | BBB | | 4.250% due 4/1/50 | | | 23,980 | |
| | 94,466 | | | BBB | | CVS Pass-Through Trust, Pass-Thru Certificates, 6.036% due 12/10/28 | | | 95,028 | |
| | | | | | Eli Lilly & Co., Senior Unsecured Notes: | | | | |
| | 570,000 | | | A+ | | 4.700% due 2/9/34 | | | 563,217 | |
| | 60,000 | | | A+ | | 5.000% due 2/9/54 | | | 59,150 | |
| | 450,000 | | | A+ | | 5.100% due 2/9/64 | | | 444,053 | |
| | 410,000 | | | AAA | | Johnson & Johnson, Senior Unsecured Notes, 3.625% due 3/3/37 | | | 362,612 | |
| | | | | | Merck & Co., Inc., Senior Unsecured Notes: | | | | |
| | 190,000 | | | A+ | | 1.450% due 6/24/30 | | | 155,271 | |
| | 340,000 | | | A+ | | 2.750% due 12/10/51 | | | 219,932 | |
| | 215,000 | | | B | | Option Care Health Inc., Company Guaranteed Notes, 4.375% due 10/31/29(a) | | | 196,498 | |
| | | | | | Pfizer Inc., Senior Unsecured Notes: | | | | |
| | 160,000 | | | A | | 2.625% due 4/1/30 | | | 141,535 | |
| | 140,000 | | | A | | 1.700% due 5/28/30 | | | 116,590 | |
| | | | | | Pfizer Investment Enterprises Pte Ltd., Company Guaranteed Notes: | | | | |
| | 416,000 | | | A | | 4.750% due 5/19/33 | | | 405,209 | |
| | 447,000 | | | A | | 5.300% due 5/19/53 | | | 437,395 | |
| | 158,000 | | | A | | 5.340% due 5/19/63 | | | 152,078 | |
| | 221,000 | | | BBB+ | | Shire Acquisitions Investments Ireland DAC, Company Guaranteed Notes, 3.200% due 9/23/26 | | | 210,551 | |
| | 256,000 | | | BBB+ | | Takeda Pharmaceutical Co., Ltd., Senior Unsecured Notes, 2.050% due 3/31/30 | | | 215,391 | |
| | | | | | Teva Pharmaceutical Finance Netherlands III BV, Company Guaranteed Notes: | | | | |
| | 220,000 | | | BB- | | 7.125% due 1/31/25 | | | 221,301 | |
| | 1,820,000 | | | BB- | | 3.150% due 10/1/26 | | | 1,687,846 | |
| | 720,000 | | | BB- | | 5.125% due 5/9/29 | | | 680,605 | |
| | 130,000 | | | A | | Wyeth LLC, Company Guaranteed Notes, 5.950% due 4/1/37 | | | 138,856 | |
| | | | | | | | | | |
| | | | | | Total Pharmaceuticals | | | 24,157,385 | |
| | | | | | | | | | |
| |
| Pipelines — 2.0% | | | |
| | | | | | Cameron LNG LLC, Senior Secured Notes: | | | | |
| | 50,000 | | | A | | 2.902% due 7/15/31(a) | | | 43,032 | |
| | 1,662,000 | | | A | | 3.302% due 1/15/35(a) | | | 1,374,902 | |
| | 213,000 | | | A | | 3.402% due 1/15/38(a) | | | 174,846 | |
| | | | | | Cheniere Corpus Christi Holdings LLC, Senior Secured Notes: | | | | |
| | 2,472,000 | | | BBB | | 5.125% due 6/30/27 | | | 2,461,383 | |
| | 699,000 | | | BBB | | 3.700% due 11/15/29 | | | 644,528 | |
See Notes to Financial Statements.
153
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| |
| Pipelines — 2.0% — (continued) | | | |
| | | | | | Cheniere Energy Partners LP, Company Guaranteed Notes: | | | | |
| $ | 1,147,000 | | | BBB- | | 4.500% due 10/1/29 | | $ | 1,075,798 | |
| | 143,000 | | | BBB- | | 4.000% due 3/1/31 | | | 127,601 | |
| | 936,000 | | | BBB- | | 3.250% due 1/31/32 | | | 782,906 | |
| | 255,000 | | | BBB- | | 5.950% due 6/30/33 | | | 258,160 | |
| | | | | | Columbia Pipelines Operating Co. LLC, Senior Unsecured Notes: | | | | |
| | 670,000 | | | Baa1(b) | | 6.036% due 11/15/33(a) | | | 687,832 | |
| | 100,000 | | | Baa1(b) | | 6.544% due 11/15/53(a) | | | 106,582 | |
| | 40,000 | | | BBB+ | | DCP Midstream Operating LP, Company Guaranteed Notes, 6.450% due 11/3/36(a) | | | 41,368 | |
| | 196,000 | | | BBB | | El Paso Natural Gas Co. LLC, Company Guaranteed Notes, 3.500% due 2/15/32(a) | | | 165,424 | |
| | 280,000 | | | BBB+ | | Enbridge Inc., Company Guaranteed Notes, 5.700% due 3/8/33 | | | 283,257 | |
| | | | | | Energy Transfer LP: | | | | |
| | | | | | Company Guaranteed Notes: | | | | |
| | 986,000 | | | BBB | | 7.375% due 2/1/31(a) | | | 1,032,441 | |
| | 10,000 | | | BBB | | 5.350% due 5/15/45 | | | 9,093 | |
| | | | | | Junior Subordinated Notes: | | | | |
| | 80,000 | | | BB+ | | 6.500% (5-Year CMT Index + 5.694%)(c)(d) | | | 77,740 | |
| | 180,000 | | | BB+ | | 6.750% (5-Year CMT Index + 5.134%)(c)(d) | | | 177,309 | |
| | 240,000 | | | BB+ | | 7.125% (5-Year CMT Index + 5.306%)(c)(d) | | | 231,926 | |
| | 40,000 | | | BB+ | | 9.597% (3-Month USD-LIBOR + 4.028%)(c)(d) | | | 39,565 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 360,000 | | | BBB | | 4.500% due 4/15/24 | | | 359,377 | |
| | 288,000 | | | BBB | | 3.900% due 5/15/24 | | | 286,969 | |
| | 349,000 | | | BBB | | 5.500% due 6/1/27 | | | 350,233 | |
| | 76,000 | | | BBB | | 5.550% due 2/15/28 | | | 76,648 | |
| | 30,000 | | | BBB | | 4.950% due 6/15/28 | | | 29,562 | |
| | 240,000 | | | BBB | | 5.250% due 4/15/29 | | | 239,113 | |
| | 800,000 | | | BBB | | 3.750% due 5/15/30 | | | 729,645 | |
| | 280,000 | | | BBB | | 5.550% due 5/15/34 | | | 276,966 | |
| | 90,000 | | | BBB | | 6.100% due 2/15/42 | | | 89,367 | |
| | 340,000 | | | BBB | | 5.300% due 4/1/44 | | | 308,312 | |
| | 18,000 | | | BBB | | 5.300% due 4/15/47 | | | 16,131 | |
| | 200,000 | | | BBB | | 6.000% due 6/15/48 | | | 195,975 | |
| | 750,000 | | | BBB | | 6.250% due 4/15/49 | | | 758,868 | |
| | 1,682,000 | | | BBB | | 5.000% due 5/15/50 | | | 1,454,238 | |
| | | | | | Enterprise Products Operating LLC, Company Guaranteed Notes: | | | | |
| | 660,000 | | | A- | | 4.150% due 10/16/28 | | | 637,512 | |
| | 1,550,000 | | | A- | | 2.800% due 1/31/30 | | | 1,376,073 | |
| | 150,000 | | | A- | | 6.650% due 10/15/34 | | | 165,796 | |
| | 200,000 | | | A- | | 4.850% due 3/15/44 | | | 183,556 | |
| | 80,000 | | | A- | | 3.700% due 1/31/51 | | | 60,205 | |
| | 130,000 | | | A- | | 3.950% due 1/31/60 | | | 98,892 | |
| | 60,000 | | | BBB | | 5.375% (3-Month Term SOFR + 2.832%) due 2/15/78(c) | | | 55,645 | |
| | | | | | Kinder Morgan Inc., Company Guaranteed Notes: | | | | |
| | 290,000 | | | BBB | | 4.300% due 3/1/28 | | | 281,450 | |
| | 560,000 | | | BBB | | 5.000% due 2/1/29 | | | 555,652 | |
| | 55,000 | | | BBB | | 3.250% due 8/1/50 | | | 35,649 | |
| | 132,000 | | | BBB | | 3.600% due 2/15/51 | | | 90,572 | |
| | 545,000 | | | A- | | Midwest Connector Capital Co. LLC, Company Guaranteed Notes, 4.625% due 4/1/29(a) | | | 525,051 | |
| | | | | | MPLX LP, Senior Unsecured Notes: | | | | |
| | 10,000 | | | BBB | | 4.875% due 6/1/25 | | | 9,912 | |
| | 850,000 | | | BBB | | 4.800% due 2/15/29 | | | 832,571 | |
| | 150,000 | | | BBB | | 4.500% due 4/15/38 | | | 130,707 | |
| | 280,000 | | | BBB | | 4.700% due 4/15/48 | | | 234,922 | |
See Notes to Financial Statements.
154
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| |
| Pipelines — 2.0% — (continued) | | | |
| | | | | | NGPL PipeCo LLC, Senior Unsecured Notes: | | | | |
| $ | 1,499,000 | | | BBB- | | 4.875% due 8/15/27(a) | | $ | 1,462,794 | |
| | 630,000 | | | BBB- | | 3.250% due 7/15/31(a) | | | 537,997 | |
| | 1,224,000 | | | BBB | | Northwest Pipeline LLC, Senior Unsecured Notes, 4.000% due 4/1/27 | | | 1,188,726 | |
| | | | | | ONEOK Inc., Company Guaranteed Notes: | | | | |
| | 120,000 | | | BBB | | 5.550% due 11/1/26 | | | 121,007 | |
| | 200,000 | | | BBB | | 5.800% due 11/1/30 | | | 204,830 | |
| | 390,000 | | | BBB | | 6.050% due 9/1/33 | | | 401,892 | |
| | 430,000 | | | BBB | | 6.625% due 9/1/53 | | | 464,230 | |
| | | | | | Rockies Express Pipeline LLC, Senior Unsecured Notes: | | | | |
| | 300,000 | | | BB+ | | 4.950% due 7/15/29(a) | | | 281,018 | |
| | 280,000 | | | BB+ | | 6.875% due 4/15/40(a) | | | 275,935 | |
| | | | | | Sabine Pass Liquefaction LLC, Senior Secured Notes: | | | | |
| | 129,000 | | | BBB+ | | 5.750% due 5/15/24 | | | 128,928 | |
| | 321,000 | | | BBB+ | | 5.000% due 3/15/27 | | | 318,614 | |
| | 2,640,000 | | | BBB+ | | 4.200% due 3/15/28 | | | 2,546,528 | |
| | 284,000 | | | BBB+ | | 5.900% due 9/15/37 | | | 294,412 | |
| | 258,000 | | | BBB+ | | Southern Natural Gas Co. LLC, Senior Unsecured Notes, 8.000% due 3/1/32 | | | 295,812 | |
| | | | | | Targa Resources Corp., Company Guaranteed Notes: | | | | |
| | 622,000 | | | BBB | | 6.150% due 3/1/29 | | | 641,165 | |
| | 130,000 | | | BBB | | 4.200% due 2/1/33 | | | 117,012 | |
| | 100,000 | | | BBB | | 6.500% due 2/15/53 | | | 105,445 | |
| | | | | | Targa Resources Partners LP/Targa Resources Partners Finance Corp., Company Guaranteed Notes: | | | | |
| | 50,000 | | | BBB | | 6.500% due 7/15/27 | | | 50,574 | |
| | 740,000 | | | BBB | | 5.000% due 1/15/28 | | | 723,134 | |
| | 20,000 | | | BBB | | 6.875% due 1/15/29 | | | 20,619 | |
| | 588,000 | | | BBB | | 5.500% due 3/1/30 | | | 582,881 | |
| | 1,039,000 | | | BBB | | 4.875% due 2/1/31 | | | 986,920 | |
| | 40,000 | | | BBB | | 4.000% due 1/15/32 | | | 35,727 | |
| | 690,000 | | | BBB | | Tennessee Gas Pipeline Co. LLC, Company Guaranteed Notes, 2.900% due 3/1/30(a) | | | 599,349 | |
| | 224,000 | | | BBB+ | | Texas Eastern Transmission LP, Senior Unsecured Notes, 3.500% due 1/15/28(a) | | | 209,601 | |
| | 200,000 | | | A1(b) | | TMS Issuer Sarl, Senior Secured Notes, 5.780% due 8/23/32 | | | 205,239 | |
| | | | | | Transcontinental Gas Pipe Line Co. LLC, Senior Unsecured Notes: | | | | |
| | 1,635,000 | | | BBB | | 7.850% due 2/1/26 | | | 1,699,581 | |
| | 1,237,000 | | | BBB | | 4.000% due 3/15/28 | | | 1,187,879 | |
| | 238,000 | | | BBB | | 4.600% due 3/15/48 | | | 208,717 | |
| | 110,000 | | | BB+ | | Venture Global Calcasieu Pass LLC, Senior Secured Notes, 3.875% due 11/1/33(a) | | | 92,334 | |
| | 275,000 | | | BB | | Venture Global LNG Inc., Senior Secured Notes, 9.500% due 2/1/29(a) | | | 293,445 | |
| | | | | | Western Midstream Operating LP, Senior Unsecured Notes: | | | | |
| | 10,000 | | | BBB- | | 3.100% due 2/1/25 | | | 9,749 | |
| | 40,000 | | | BBB- | | 4.500% due 3/1/28 | | | 38,270 | |
| | 630,000 | | | BBB- | | 4.050% due 2/1/30 | | | 583,487 | |
| | 90,000 | | | BBB- | | 5.500% due 8/15/48 | | | 79,158 | |
| | 90,000 | | | BBB- | | 5.250% due 2/1/50 | | | 79,675 | |
| | | | | | Williams Cos., Inc. (The), Senior Unsecured Notes: | | | | |
| | 50,000 | | | BBB | | 7.500% due 1/15/31 | | | 55,667 | |
| | 370,000 | | | BBB | | 7.750% due 6/15/31 | | | 406,710 | |
| | 116,000 | | | BBB | | 8.750% due 3/15/32 | | | 138,430 | |
| | | | | | | | | | |
| | | | | | Total Pipelines | | | 37,914,753 | |
| | | | | | | | | | |
| |
| Real Estate — 0.0%@ | | | |
| | | | | | Blackstone Property Partners Europe Holdings Sarl: | | | | |
| | 300,000 | EUR | | BBB | | Company Guaranteed Notes, 1.750% due 3/12/29 | | | 279,645 | |
| | 300,000 | EUR | | BBB | | Senior Unsecured Notes, 1.625% due 4/20/30 | | | 268,039 | |
See Notes to Financial Statements.
155
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| |
| Real Estate — 0.0%@ — (continued) | | | |
| $ | 100,000 | EUR | | BBB+ | | Vonovia Finance BV, Company Guaranteed Notes, 2.250% due 4/7/30 | | $ | 97,280 | |
| | 300,000 | EUR | | BBB+ | | Vonovia SE, Senior Unsecured Notes, 1.500% due 6/14/41 | | | 205,931 | |
| | | | | | | | | | |
| | | | | | Total Real Estate | | | 850,895 | |
| | | | | | | | | | |
| |
| Real Estate Investment Trusts (REITs) — 1.4% | | | |
| | 520,000 | | | BBB- | | American Assets Trust LP, Company Guaranteed Notes, 3.375% due 2/1/31 | | | 417,778 | |
| | | | | | American Homes 4 Rent LP, Senior Unsecured Notes: | | | | |
| | 315,000 | | | BBB | | 3.375% due 7/15/51 | | | 207,752 | |
| | 250,000 | | | BBB | | 4.300% due 4/15/52 | | | 194,330 | |
| | | | | | American Tower Corp., Senior Unsecured Notes: | | | | |
| | 1,193,000 | | | BBB- | | 5.800% due 11/15/28 | | | 1,216,163 | |
| | 186,000 | | | BBB- | | 3.800% due 8/15/29 | | | 172,181 | |
| | 208,000 | | | BBB- | | 2.100% due 6/15/30 | | | 171,152 | |
| | 137,000 | | | BBB- | | 1.875% due 10/15/30 | | | 110,079 | |
| | 1,376,000 | | | BBB- | | 2.700% due 4/15/31 | | | 1,154,915 | |
| | 447,000 | | | BBB- | | 2.300% due 9/15/31 | | | 360,884 | |
| | 200,000 | EUR | | BBB- | | 1.000% due 1/15/32 | | | 173,706 | |
| | | | | | Crown Castle Inc., Senior Unsecured Notes: | | | | |
| | 159,000 | | | BBB | | 5.000% due 1/11/28 | | | 156,618 | |
| | 463,000 | | | BBB | | 3.800% due 2/15/28 | | | 435,981 | |
| | 69,000 | | | BBB | | 3.100% due 11/15/29 | | | 61,137 | |
| | 183,000 | | | BBB | | 2.250% due 1/15/31 | | | 149,566 | |
| | 691,000 | | | BBB | | 2.100% due 4/1/31 | | | 554,793 | |
| | 1,221,000 | | | BBB | | 2.500% due 7/15/31 | | | 1,000,339 | |
| | 560,000 | EUR | | Baa2(b) | | Digital Intrepid Holding BV, Company Guaranteed Notes, 0.625% due 7/15/31 | | | 469,235 | |
| | | | | | Equinix Inc., Senior Unsecured Notes: | | | | |
| | 430,000 | | | BBB | | 1.550% due 3/15/28 | | | 374,280 | |
| | 183,000 | | | BBB | | 2.000% due 5/15/28 | | | 161,334 | |
| | 333,000 | | | BBB | | 3.200% due 11/18/29 | | | 299,208 | |
| | 270,000 | | | BBB | | 2.500% due 5/15/31 | | | 225,102 | |
| | | | | | Extra Space Storage LP, Company Guaranteed Notes: | | | | |
| | 256,000 | | | BBB+ | | 5.700% due 4/1/28 | | | 259,647 | |
| | 200,000 | | | BBB+ | | 3.900% due 4/1/29 | | | 186,914 | |
| | 206,000 | | | BBB+ | | 2.200% due 10/15/30 | | | 168,424 | |
| | 291,000 | | | BBB+ | | 2.400% due 10/15/31 | | | 234,973 | |
| | 360,000 | | | BBB+ | | 2.350% due 3/15/32 | | | 285,635 | |
| | | | | | GLP Capital LP/GLP Financing II Inc., Company Guaranteed Notes: | | | | |
| | 85,000 | | | BBB- | | 5.375% due 4/15/26 | | | 84,254 | |
| | 1,207,000 | | | BBB- | | 5.300% due 1/15/29 | | | 1,172,075 | |
| | 662,000 | | | BBB- | | 4.000% due 1/15/30 | | | 596,340 | |
| | 799,000 | | | BBB- | | 4.000% due 1/15/31 | | | 705,680 | |
| | 1,673,000 | | | BBB- | | 3.250% due 1/15/32 | | | 1,389,156 | |
| | 810,000 | | | BBB | | Healthcare Realty Holdings LP, Company Guaranteed Notes, 3.100% due 2/15/30 | | | 697,428 | |
| | 31,000 | | | BBB+ | | Healthpeak OP LLC, Company Guaranteed Notes, 3.400% due 2/1/25 | | | 30,367 | |
| | | | | | Hudson Pacific Properties LP, Company Guaranteed Notes: | | | | |
| | 65,000 | | | BB+ | | 3.950% due 11/1/27 | | | 56,210 | |
| | 790,000 | | | BB+ | | 4.650% due 4/1/29 | | | 659,162 | |
| | 190,000 | | | BB+ | | 3.250% due 1/15/30 | | | 141,649 | |
| | | | | | Invitation Homes Operating Partnership LP, Company Guaranteed Notes: | | | | |
| | 746,000 | | | BBB | | 2.300% due 11/15/28 | | | 652,774 | |
| | 935,000 | | | BBB | | 2.000% due 8/15/31 | | | 730,334 | |
| | 25,000 | | | BBB | | 4.150% due 4/15/32 | | | 22,584 | |
| | 515,000 | | | BBB | | 5.500% due 8/15/33 | | | 508,806 | |
| | 310,000 | | | BBB | | Kilroy Realty LP, Company Guaranteed Notes, 2.650% due 11/15/33 | | | 225,837 | |
| | 755,000 | | | BBB- | | LXP Industrial Trust, Company Guaranteed Notes, 2.375% due 10/1/31 | | | 599,781 | |
See Notes to Financial Statements.
156
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| |
| Real Estate Investment Trusts (REITs) — 1.4% — (continued) | | | |
| | | | | | NNN REIT Inc., Senior Unsecured Notes: | | | | |
| $ | 124,000 | | | BBB+ | | 3.100% due 4/15/50 | | $ | 80,264 | |
| | 318,000 | | | BBB+ | | 3.500% due 4/15/51 | | | 226,677 | |
| | | | | | Physicians Realty LP, Company Guaranteed Notes: | | | | |
| | 70,000 | | | BBB | | 4.300% due 3/15/27 | | | 68,164 | |
| | 15,000 | | | BBB | | 3.950% due 1/15/28 | | | 14,270 | |
| | 285,000 | | | BBB | | 2.625% due 11/1/31 | | | 232,081 | |
| | 400,000 | EUR | | A | | Prologis Euro Finance LLC, Company Guaranteed Notes, 4.250% due 1/31/43 | | | 423,058 | |
| | 297,000 | | | A | | Prologis LP, Senior Unsecured Notes, 2.250% due 4/15/30 | | | 254,847 | |
| | | | | | Realty Income Corp., Senior Unsecured Notes: | | | | |
| | 57,000 | | | A- | | 3.100% due 12/15/29 | | | 51,244 | |
| | 74,000 | | | A- | | 3.250% due 1/15/31 | | | 65,574 | |
| | 184,000 | | | A- | | 5.125% due 2/15/34 | | | 178,168 | |
| | 270,000 | EUR | | A- | | 5.125% due 7/6/34 | | | 313,811 | |
| | 15,000 | | | BBB+ | | Rexford Industrial Realty LP, Company Guaranteed Notes, 2.150% due 9/1/31 | | | 11,869 | |
| | | | | | VICI Properties LP, Senior Unsecured Notes: | | | | |
| | 1,862,000 | | | BBB- | | 4.750% due 2/15/28 | | | 1,805,881 | |
| | 85,000 | | | BBB- | | 4.950% due 2/15/30 | | | 81,048 | |
| | 487,000 | | | BBB- | | 5.125% due 5/15/32 | | | 457,785 | |
| | 185,000 | | | BBB- | | 5.625% due 5/15/52 | | | 167,699 | |
| | | | | | VICI Properties LP/VICI Notes Co., Inc., Company Guaranteed Notes: | | | | |
| | 65,000 | | | BBB- | | 4.625% due 6/15/25(a) | | | 63,955 | |
| | 522,000 | | | BBB- | | 4.500% due 9/1/26(a) | | | 504,370 | |
| | 905,000 | | | BBB- | | 4.250% due 12/1/26(a) | | | 866,733 | |
| | 1,243,000 | | | BBB- | | 3.750% due 2/15/27(a) | | | 1,171,244 | |
| | 217,000 | | | BBB- | | 4.500% due 1/15/28(a) | | | 206,376 | |
| | 80,000 | | | BBB- | | 3.875% due 2/15/29(a) | | | 73,054 | |
| | 732,000 | | | BBB- | | 4.125% due 8/15/30(a) | | | 657,938 | |
| | | | | | | | | | |
| | | | | | Total Real Estate Investment Trusts (REITs) | | | 25,450,673 | |
| | | | | | | | | | |
| |
| Retail — 0.2% | | | |
| | | | | | Costco Wholesale Corp., Senior Unsecured Notes: | | | | |
| | 560,000 | | | A+ | | 1.375% due 6/20/27 | | | 503,748 | |
| | 160,000 | | | A+ | | 1.600% due 4/20/30 | | | 133,230 | |
| | 60,000 | | | B | | Ferrellgas LP/Ferrellgas Finance Corp., Senior Unsecured Notes, 5.875% due 4/1/29(a) | | | 57,068 | |
| | | | | | Home Depot Inc. (The), Senior Unsecured Notes: | | | | |
| | 210,000 | | | A | | 2.500% due 4/15/27 | | | 195,692 | |
| | 580,000 | | | A | | 3.250% due 4/15/32 | | | 515,138 | |
| | 70,000 | | | A | | 3.300% due 4/15/40 | | | 54,870 | |
| | 20,000 | | | A | | 3.900% due 6/15/47 | | | 16,177 | |
| | 180,000 | | | A | | 3.350% due 4/15/50 | | | 130,282 | |
| | | | | | Lowe’s Cos., Inc., Senior Unsecured Notes: | | | | |
| | 805,000 | | | BBB+ | | 3.650% due 4/5/29 | | | 758,653 | |
| | 70,000 | | | BBB+ | | 4.500% due 4/15/30 | | | 68,095 | |
| | 284,000 | | | BBB+ | | 1.700% due 10/15/30 | | | 230,661 | |
| | 91,000 | | | BBB+ | | 2.625% due 4/1/31 | | | 77,511 | |
| | | | | | McDonald’s Corp., Senior Unsecured Notes: | | | | |
| | 30,000 | | | BBB+ | | 1.450% due 9/1/25 | | | 28,406 | |
| | 10,000 | | | BBB+ | | 3.700% due 1/30/26 | | | 9,771 | |
| | 30,000 | | | BBB+ | | 3.500% due 3/1/27 | | | 28,895 | |
| | 60,000 | | | BBB+ | | 3.500% due 7/1/27 | | | 57,459 | |
| | 340,000 | | | BBB+ | | 3.800% due 4/1/28 | | | 326,819 | |
| | 100,000 | | | BBB+ | | 3.600% due 7/1/30 | | | 92,645 | |
| | 20,000 | | | BBB+ | | 3.625% due 9/1/49 | | | 14,973 | |
| | 400,000 | | | BBB+ | | 4.200% due 4/1/50 | | | 330,748 | |
See Notes to Financial Statements.
157
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| |
| Retail — 0.2% — (continued) | | | |
| $ | 360,000 | | | CCC- | | Michaels Cos Inc. (The), Senior Unsecured Notes, 7.875% due 5/1/29(a) | | $ | 232,900 | |
| | | | | | Walmart Inc., Senior Unsecured Notes: | | | | |
| | 90,000 | | | AA | | 1.500% due 9/22/28 | | | 79,029 | |
| | 40,000 | | | AA | | 1.800% due 9/22/31 | | | 32,800 | |
| | | | | | | | | | |
| | | | | | Total Retail | | | 3,975,570 | |
| | | | | | | | | | |
| |
| Semiconductors — 0.3% | | | |
| | | | | | Broadcom Inc.: | | | | |
| | | | | | Company Guaranteed Notes: | | | | |
| | 85,000 | | | BBB | | 3.625% due 10/15/24 | | | 83,935 | |
| | 577,000 | | | BBB | | 4.150% due 11/15/30 | | | 540,102 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 170,000 | | | BBB | | 4.150% due 4/15/32(a) | | | 156,102 | |
| | 716,000 | | | BBB | | 3.469% due 4/15/34(a) | | | 604,610 | |
| | 1,254,000 | | | BBB | | 3.137% due 11/15/35(a) | | | 995,019 | |
| | 10,000 | | | BBB | | 3.187% due 11/15/36(a) | | | 7,837 | |
| | 108,000 | | | BBB | | 4.926% due 5/15/37(a) | | | 100,612 | |
| | | | | | Intel Corp., Senior Unsecured Notes: | | | | |
| | 370,000 | | | A- | | 1.600% due 8/12/28 | | | 321,746 | |
| | 170,000 | | | A- | | 5.125% due 2/10/30 | | | 171,387 | |
| | 54,000 | | | A- | | 3.734% due 12/8/47 | | | 41,205 | |
| | 110,000 | | | A- | | 4.750% due 3/25/50 | | | 98,324 | |
| | 230,000 | | | A- | | 3.050% due 8/12/51 | | | 152,446 | |
| | 108,000 | | | A- | | 5.050% due 8/5/62 | | | 99,620 | |
| | 64,000 | | | A- | | 5.900% due 2/10/63 | | | 66,628 | |
| | | | | | KLA Corp., Senior Unsecured Notes: | | | | |
| | 258,000 | | | A- | | 4.100% due 3/15/29 | | | 250,497 | |
| | 271,000 | | | A- | | 5.250% due 7/15/62 | | | 265,771 | |
| | 100,000 | | | BBB- | | Micron Technology Inc., Senior Unsecured Notes, 5.875% due 2/9/33 | | | 102,152 | |
| | | | | | NVIDIA Corp., Senior Unsecured Notes: | | | | |
| | 460,000 | | | A+ | | 3.500% due 4/1/50 | | | 360,508 | |
| | 160,000 | | | A+ | | 3.700% due 4/1/60 | | | 125,552 | |
| | | | | | NXP BV/NXP Funding LLC/NXP USA Inc., Company Guaranteed Notes: | | | | |
| | 90,000 | | | BBB+ | | 2.700% due 5/1/25 | | | 87,079 | |
| | 296,000 | | | BBB+ | | 2.500% due 5/11/31 | | | 244,932 | |
| | | | | | Texas Instruments Inc., Senior Unsecured Notes: | | | | |
| | 90,000 | | | A+ | | 1.750% due 5/4/30 | | | 75,335 | |
| | 66,000 | | | A+ | | 5.000% due 3/14/53 | | | 64,097 | |
| | 62,000 | | | A+ | | 5.050% due 5/18/63 | | | 59,241 | |
| | | | | | | | | | |
| | | | | | Total Semiconductors | | | 5,074,737 | |
| | | | | | | | | | |
| |
| Shipbuilding — 0.0%@ | | | |
| | 137,000 | | | BBB- | | Huntington Ingalls Industries Inc., Company Guaranteed Notes, 2.043% due 8/16/28 | | | 119,111 | |
| | | | | | | | | | |
| |
| Software — 0.3% | | | |
| | 90,000 | | | BBB+ | | Autodesk Inc., Senior Unsecured Notes, 2.850% due 1/15/30 | | | 79,938 | |
| | | | | | Microsoft Corp., Senior Unsecured Notes: | | | | |
| | 5,000 | | | AAA | | 3.450% due 8/8/36 | | | 4,403 | |
| | 7,000 | | | AAA | | 2.525% due 6/1/50 | | | 4,514 | |
| | 18,000 | | | AAA | | 2.921% due 3/17/52 | | | 12,427 | |
| | 42,000 | | | AAA | | 3.041% due 3/17/62 | | | 28,599 | |
| | | | | | MSCI Inc., Company Guaranteed Notes: | | | | |
| | 364,000 | | | BBB- | | 3.875% due 2/15/31(a) | | | 324,160 | |
| | 19,000 | | | BBB- | | 3.625% due 11/1/31(a) | | | 16,469 | |
| | | | | | Oracle Corp., Senior Unsecured Notes: | | | | |
| | 820,000 | | | BBB | | 1.650% due 3/25/26 | | | 761,730 | |
See Notes to Financial Statements.
158
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| |
| Software — 0.3% — (continued) | | | |
| $ | 235,000 | | | BBB | | 3.250% due 11/15/27 | | $ | 220,306 | |
| | 60,000 | | | BBB | | 4.650% due 5/6/30 | | | 58,505 | |
| | 600,000 | | | BBB | | 2.875% due 3/25/31 | | | 517,777 | |
| | 46,000 | | | BBB | | 6.250% due 11/9/32 | | | 48,581 | |
| | 638,000 | | | BBB | | 4.300% due 7/8/34 | | | 578,573 | |
| | 267,000 | | | BBB | | 3.850% due 7/15/36 | | | 224,423 | |
| | 479,000 | | | BBB | | 3.800% due 11/15/37 | | | 394,340 | |
| | 95,000 | | | BBB | | 6.500% due 4/15/38 | | | 101,449 | |
| | 88,000 | | | BBB | | 5.375% due 7/15/40 | | | 84,233 | |
| | 76,000 | | | BBB | | 4.000% due 7/15/46 | | | 58,475 | |
| | 91,000 | | | BBB | | 4.000% due 11/15/47 | | | 69,725 | |
| | 618,000 | | | BBB | | 3.600% due 4/1/50 | | | 435,250 | |
| | 796,000 | | | BBB | | 3.950% due 3/25/51 | | | 593,359 | |
| | 55,000 | | | BBB | | 4.375% due 5/15/55 | | | 43,176 | |
| | 138,000 | | | BBB+ | | Roper Technologies Inc., Senior Unsecured Notes, 2.350% due 9/15/24 | | | 135,538 | |
| | | | | | Salesforce Inc., Senior Unsecured Notes: | | | | |
| | 370,000 | | | A+ | | 3.700% due 4/11/28 | | | 356,878 | |
| | 140,000 | | | A+ | | 2.700% due 7/15/41 | | | 99,956 | |
| | 475,000 | | | BBB | | Take-Two Interactive Software Inc., Senior Unsecured Notes, 4.000% due 4/14/32 | | | 436,689 | |
| | | | | | | | | | |
| | | | | | Total Software | | | 5,689,473 | |
| | | | | | | | | | |
| |
| Telecommunications — 1.4% | | | |
| | | | | | AT&T Inc., Senior Unsecured Notes: | | | | |
| | 20,000 | | | BBB | | 4.250% due 3/1/27 | | | 19,495 | |
| | 760,000 | | | BBB | | 2.300% due 6/1/27 | | | 695,854 | |
| | 55,000 | | | BBB | | 4.350% due 3/1/29 | | | 53,151 | |
| | 242,000 | | | BBB | | 2.750% due 6/1/31 | | | 206,193 | |
| | 180,000 | | | BBB | | 2.550% due 12/1/33 | | | 141,844 | |
| | 833,000 | | | BBB | | 5.400% due 2/15/34 | | | 833,981 | |
| | 50,000 | | | BBB | | 5.350% due 9/1/40 | | | 48,234 | |
| | 80,000 | | | BBB | | 5.550% due 8/15/41 | | | 78,697 | |
| | 73,000 | | | BBB | | 4.350% due 6/15/45 | | | 61,031 | |
| | 382,000 | | | BBB | | 4.750% due 5/15/46 | | | 335,205 | |
| | 238,000 | | | BBB | | 4.500% due 3/9/48 | | | 198,987 | |
| | 270,000 | | | BBB | | 3.500% due 9/15/53 | | | 185,739 | |
| | 1,197,000 | | | BBB | | 3.550% due 9/15/55 | | | 814,895 | |
| | 72,000 | | | BBB | | 3.800% due 12/1/57 | | | 50,728 | |
| | 932,000 | | | BBB | | 3.650% due 9/15/59 | | | 630,951 | |
| | 18,000 | | | BBB | | 3.850% due 6/1/60 | | | 12,726 | |
| | | | | | CommScope Inc., Senior Secured Notes: | | | | |
| | 80,000 | | | CCC+ | | 6.000% due 3/1/26(a) | | | 72,096 | |
| | 390,000 | | | CCC+ | | 4.750% due 9/1/29(a) | | | 270,475 | |
| | | | | | Frontier Communications Holdings LLC, Senior Secured Notes: | | | | |
| | 250,000 | | | B | | 5.000% due 5/1/28(a) | | | 231,632 | |
| | 206,000 | | | B | | 8.625% due 3/15/31(a) | | | 208,674 | |
| | 280,000 | EUR | | BBB | | Global Switch Finance BV, Company Guaranteed Notes, 1.375% due 10/7/30 | | | 276,524 | |
| | 164,000 | | | B+ | | Intelsat Jackson Holdings SA, Senior Secured Notes, 6.500% due 3/15/30(a) | | | 152,993 | |
| | 63,000 | | | BBB | | Juniper Networks Inc., Senior Unsecured Notes, 2.000% due 12/10/30 | | | 50,766 | |
| | | | | | Motorola Solutions Inc., Senior Unsecured Notes: | | | | |
| | 83,000 | | | BBB- | | 4.600% due 5/23/29 | | | 80,673 | |
| | 37,000 | | | BBB- | | 2.750% due 5/24/31 | | | 30,890 | |
| | 26,000 | | | BBB- | | 5.600% due 6/1/32 | | | 26,110 | |
| | 150,000 | | | B | | Qwest Corp., Senior Unsecured Notes, 7.250% due 9/15/25 | | | 145,249 | |
| | 690,000 | | | BBB- | | Rogers Communications Inc., Company Guaranteed Notes, 5.300% due 2/15/34 | | | 677,064 | |
See Notes to Financial Statements.
159
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| |
| Telecommunications — 1.4% — (continued) | | | |
| | | | | | Sprint LLC, Company Guaranteed Notes: | | | | |
| $ | 2,737,000 | | | BBB- | | 7.625% due 2/15/25 | | $ | 2,772,576 | |
| | 1,387,000 | | | BBB- | | 7.625% due 3/1/26 | | | 1,433,786 | |
| | | | | | Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, Senior Secured Notes: | | | | |
| | 410,938 | | | A1(b) | | 4.738% due 3/20/25(a) | | | 408,242 | |
| | 969,000 | | | A1(b) | | 5.152% due 3/20/28(a) | | | 965,982 | |
| | 330,000 | | | BBB- | | Telefonica Emisiones SA, Company Guaranteed Notes, 4.103% due 3/8/27 | | | 319,602 | |
| | | | | | T-Mobile USA Inc., Company Guaranteed Notes: | | | | |
| | 170,000 | | | BBB | | 3.500% due 4/15/25 | | | 166,282 | |
| | 740,000 | | | BBB | | 2.250% due 2/15/26 | | | 698,263 | |
| | 1,512,000 | | | BBB | | 3.750% due 4/15/27 | | | 1,449,596 | |
| | 110,000 | | | BBB | | 2.625% due 2/15/29 | | | 97,655 | |
| | 300,000 | | | BBB | | 3.375% due 4/15/29 | | | 275,897 | |
| | 830,000 | | | BBB | | 3.875% due 4/15/30 | | | 770,564 | |
| | 100,000 | | | BBB | | 2.550% due 2/15/31 | | | 84,459 | |
| | 80,000 | | | BBB | | 2.875% due 2/15/31 | | | 68,900 | |
| | 1,930,000 | | | BBB | | 3.500% due 4/15/31 | | | 1,724,807 | |
| | 290,000 | | | BBB | | 2.250% due 11/15/31 | | | 235,289 | |
| | 330,000 | | | BBB | | 2.700% due 3/15/32 | | | 274,600 | |
| | 999,000 | | | BBB | | 5.050% due 7/15/33 | | | 977,793 | |
| | 110,000 | | | BBB | | 5.150% due 4/15/34 | | | 108,256 | |
| | 100,000 | | | BBB | | 4.375% due 4/15/40 | | | 87,658 | |
| | 60,000 | | | BBB | | 3.000% due 2/15/41 | | | 43,370 | |
| | 10,000 | | | BBB | | 3.300% due 2/15/51 | | | 6,884 | |
| | | | | | Verizon Communications Inc., Senior Unsecured Notes: | | | | |
| | 220,000 | | | BBB+ | | 2.625% due 8/15/26 | | | 207,528 | |
| | 80,000 | | | BBB+ | | 4.125% due 3/16/27 | | | 77,794 | |
| | 130,000 | | | BBB+ | | 2.100% due 3/22/28 | | | 115,774 | |
| | 546,000 | | | BBB+ | | 4.329% due 9/21/28 | | | 530,549 | |
| | 37,000 | | | BBB+ | | 4.016% due 12/3/29 | | | 35,072 | |
| | 840,000 | | | BBB+ | | 3.150% due 3/22/30 | | | 751,219 | |
| | 138,000 | | | BBB+ | | 1.680% due 10/30/30 | | | 111,183 | |
| | 385,000 | | | BBB+ | | 1.750% due 1/20/31 | | | 308,719 | |
| | 505,000 | | | BBB+ | | 2.550% due 3/21/31 | | | 425,760 | |
| | 531,000 | | | BBB+ | | 2.355% due 3/15/32 | | | 430,366 | |
| | 664,000 | | | BBB+ | | 5.050% due 5/9/33 | | | 657,411 | |
| | 1,410,000 | | | BBB+ | | 4.500% due 8/10/33 | | | 1,330,774 | |
| | 20,000 | | | BBB+ | | 4.400% due 11/1/34 | | | 18,592 | |
| | 401,000 | | | BBB+ | | 5.850% due 9/15/35 | | | 420,261 | |
| | 21,000 | | | BBB+ | | 4.272% due 1/15/36 | | | 19,070 | |
| | 10,000 | | | BBB+ | | 5.250% due 3/16/37 | | | 9,993 | |
| | 333,000 | | | BBB+ | | 2.650% due 11/20/40 | | | 229,597 | |
| | 50,000 | | | BBB+ | | 3.400% due 3/22/41 | | | 38,302 | |
| | 100,000 | | | BBB+ | | 4.125% due 8/15/46 | | | 82,282 | |
| | 10,000 | | | BBB+ | | 4.862% due 8/21/46 | | | 9,194 | |
| | 20,000 | | | BBB+ | | 5.500% due 3/16/47 | | | 20,181 | |
| | 40,000 | | | BBB+ | | 4.000% due 3/22/50 | | | 31,576 | |
| | 50,000 | | | BBB+ | | 2.875% due 11/20/50 | | | 31,942 | |
| | 69,000 | | | BBB+ | | 2.987% due 10/30/56 | | | 42,935 | |
| | 200,000 | | | BBB+ | | 3.000% due 11/20/60 | | | 121,593 | |
| | 200,000 | | | BB- | | Vmed O2 UK Financing I PLC, Senior Secured Notes, 4.750% due 7/15/31(a) | | | 173,136 | |
| | | | | | | | | | |
| | | | | | Total Telecommunications | | | 25,792,121 | |
| | | | | | | | | | |
See Notes to Financial Statements.
160
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| Transportation — 0.1% | | | |
| | | | | | Burlington Northern Santa Fe LLC, Senior Unsecured Notes: | | | | |
| $ | 351,000 | | | AA- | | 4.150% due 12/15/48 | | $ | 293,766 | |
| | 52,000 | | | AA- | | 3.050% due 2/15/51 | | | 35,518 | |
| | 174,000 | | | AA- | | 2.875% due 6/15/52 | | | 113,253 | |
| | 220,000 | | | BBB+ | | Canadian Pacific Railway Co., Company Guaranteed Notes, 3.100% due 12/2/51 | | | 149,724 | |
| | 24,000 | | | BBB | | FedEx Corp., Company Guaranteed Notes, 5.250% due 5/15/50 | | | 22,620 | |
| | | | | | Norfolk Southern Corp., Senior Unsecured Notes: | | | | |
| | 146,000 | | | BBB+ | | 2.550% due 11/1/29 | | | 128,399 | |
| | 166,000 | | | BBB+ | | 2.300% due 5/15/31 | | | 138,582 | |
| | 33,000 | | | BBB+ | | 4.800% due 8/15/43 | | | 29,198 | |
| | 188,000 | | | BBB+ | | 3.942% due 11/1/47 | | | 148,965 | |
| | 52,000 | | | BBB+ | | 3.155% due 5/15/55 | | | 34,177 | |
| | | | | | Union Pacific Corp., Senior Unsecured Notes: | | | | |
| | 60,000 | | | A- | | 2.150% due 2/5/27 | | | 55,688 | |
| | 403,000 | | | A- | | 2.800% due 2/14/32 | | | 346,870 | |
| | 884,000 | | | A- | | 2.891% due 4/6/36 | | | 713,204 | |
| | 35,000 | | | A- | | 4.300% due 3/1/49 | | | 29,746 | |
| | 188,000 | | | A- | | 3.250% due 2/5/50 | | | 135,362 | |
| | 45,000 | | | A- | | 2.950% due 3/10/52 | | | 30,084 | |
| | 144,000 | | | A- | | 3.500% due 2/14/53 | | | 107,085 | |
| | 320,000 | | | A- | | 3.839% due 3/20/60 | | | 243,625 | |
| | 10,000 | | | A- | | 3.750% due 2/5/70 | | | 7,314 | |
| | | | | | | | | | |
| | | | | | Total Transportation | | | 2,763,180 | |
| | | | | | | | | | |
| |
| Water — 0.0%@ | | | |
| | 280,000 | EUR | | BBB | | Thames Water Utilities Finance PLC, Senior Secured Notes, 4.375% due 1/18/31 | | | 281,020 | |
| | | | | | | | | | |
| | | | | | TOTAL CORPORATE BONDS & NOTES
(Cost — $494,229,349) | | | 476,469,734 | |
| | | | | | | | | | |
|
| U.S. GOVERNMENT AGENCIES & OBLIGATIONS — 24.6% | |
|
| U.S. GOVERNMENT AGENCIES — 1.0% | |
| | | | | | Federal Farm Credit Banks Funding Corp.: | | | | |
| | 3,005,000 | | | | | 2.170% due 10/29/29 | | | 2,640,056 | |
| | 135,000 | | | | | 3.500% due 9/1/32 | | | 125,438 | |
| | 225,000 | | | | | 3.875% due 9/20/32 | | | 215,777 | |
| | 2,720,000 | | | | | 3.500% due 2/28/39 | | | 2,332,273 | |
| | | | | | Federal Home Loan Banks: | | | | |
| | 5,890,000 | | | | | 5.300% due 5/22/24 | | | 5,886,413 | |
| | 635,000 | | | | | 0.920% due 2/26/27 | | | 571,304 | |
| | 2,900,000 | | | | | 2.200% due 9/24/29 | | | 2,551,625 | |
| | 3,500,000 | | | | | 1.570% due 6/30/32 | | | 2,718,972 | |
| | 690,000 | | | | | 2.490% due 3/26/40 | | | 489,153 | |
| | | | | | Federal National Mortgage Association (FNMA), Principal Strip: | | | | |
| | 575,000 | | | | | zero coupon due 1/15/30(j) | | | 441,880 | |
| | 595,000 | | | | | zero coupon due 5/15/30(j) | | | 448,249 | |
| | | | | | | | | | |
| | | | | | Total U.S. GOVERNMENT AGENCIES | | | 18,421,140 | |
| | | | | | | | | | |
| |
| U.S. GOVERNMENT OBLIGATIONS — 23.6% | | | |
| | | | | | U.S. Treasury Bonds: | | | | |
| | 2,370,000 | | | | | 5.000% due 5/15/37 | | | 2,558,582 | |
| | 2,835,000 | | | | | 4.375% due 2/15/38 | | | 2,867,946 | |
| | 1,500,000 | | | | | 1.125% due 8/15/40 | | | 917,080 | |
| | 620,000 | | | | | 1.375% due 11/15/40 | | | 393,761 | |
| | 6,000,000 | | | | | 1.875% due 2/15/41 | | | 4,134,375 | |
| | 4,490,000 | | | | | 2.000% due 11/15/41 | | | 3,108,185 | |
See Notes to Financial Statements.
161
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | | | Security | | Value | |
| |
| U.S. GOVERNMENT OBLIGATIONS — 23.6% — (continued) | | | |
| $ | 2,270,000 | | | | | 3.125% due 11/15/41 | | $ | 1,889,332 | |
| | 5,435,000 | | | | | 2.375% due 2/15/42 | | | 3,993,557 | |
| | 180,000 | | | | | 3.250% due 5/15/42 | | | 151,348 | |
| | 1,115,000 | | | | | 3.375% due 8/15/42 | | | 953,260 | |
| | 4,320,000 | | | | | 4.000% due 11/15/42 | | | 4,031,184 | |
| | 100,000 | | | | | 3.125% due 2/15/43 | | | 82,039 | |
| | 4,225,000 | | | | | 3.875% due 2/15/43 | | | 3,866,370 | |
| | 11,335,000 | | | | | 3.875% due 5/15/43 | | | 10,361,563 | |
| | 502,500 | | | | | 3.625% due 8/15/43 | | | 442,808 | |
| | 1,335,000 | | | | | 4.375% due 8/15/43 | | | 1,306,845 | |
| | 10,310,000 | | | | | 3.750% due 11/15/43 | | | 9,238,727 | |
| | 35,080,000 | | | | | 4.750% due 11/15/43 | | | 36,085,810 | |
| | 1,125,000 | | | | | 3.625% due 2/15/44 | | | 988,660 | |
| | 4,785,000 | | | | | 4.500% due 2/15/44 | | | 4,781,636 | |
| | 415,000 | | | | | 3.125% due 8/15/44 | | | 336,555 | |
| | 1,375,000 | | | | | 3.000% due 11/15/44 | | | 1,090,117 | |
| | 1,495,000 | | | | | 2.875% due 8/15/45 | | | 1,154,157 | |
| | 1,412,500 | | | | | 3.000% due 11/15/45 | | | 1,112,564 | |
| | 6,490,000 | | | | | 2.500% due 2/15/46 | | | 4,656,068 | |
| | 1,110,000 | | | | | 2.875% due 11/15/46 | | | 848,803 | |
| | 3,723,000 | | | | | 3.000% due 2/15/47 | | | 2,906,703 | |
| | 8,925,000 | | | | | 3.000% due 5/15/47 | | | 6,961,849 | |
| | 880,000 | | | | | 2.750% due 8/15/47 | | | 653,675 | |
| | 2,120,000 | | | | | 3.000% due 2/15/48 | | | 1,646,561 | |
| | 995,000 | | | | | 3.375% due 11/15/48 | | | 826,005 | |
| | 1,380,000 | | | | | 3.000% due 2/15/49 | | | 1,068,422 | |
| | 510,000 | | | | | 2.875% due 5/15/49 | | | 385,209 | |
| | 2,820,000 | | | | | 2.000% due 2/15/50 | | | 1,753,467 | |
| | 6,570,000 | | | | | 1.250% due 5/15/50 | | | 3,332,222 | |
| | 7,525,000 | | | | | 1.375% due 8/15/50 | | | 3,944,158 | |
| | 4,315,000 | | | | | 1.625% due 11/15/50 | | | 2,419,603 | |
| | 2,003,000 | | | | | 1.875% due 2/15/51 | | | 1,197,418 | |
| | 4,040,000 | | | | | 2.375% due 5/15/51 | | | 2,722,581 | |
| | 3,310,000 | | | | | 2.000% due 8/15/51 | | | 2,035,521 | |
| | 2,871,000 | | | | | 1.875% due 11/15/51 | | | 1,707,852 | |
| | 2,989,000 | | | | | 2.250% due 2/15/52 | | | 1,952,132 | |
| | 280,000 | | | | | 2.875% due 5/15/52 | | | 210,536 | |
| | 272,000 | | | | | 3.000% due 8/15/52 | | | 210,003 | |
| | 2,204,000 | | | | | 4.000% due 11/15/52 | | | 2,061,074 | |
| | 5,776,000 | | | | | 3.625% due 2/15/53 | | | 5,042,267 | |
| | 3,508,000 | | | | | 3.625% due 5/15/53 | | | 3,064,567 | |
| | 904,000 | | | | | 4.125% due 8/15/53 | | | 864,309 | |
| | 11,795,000 | | | | | 4.750% due 11/15/53 | | | 12,531,559 | |
| | 22,827,000 | | | | | 4.250% due 2/15/54 | | | 22,358,232 | |
| | 5,653,492 | | | | | U.S. Treasury Inflation Indexed Notes, 1.125% due 1/15/33 | | | 5,289,661 | |
| | | | | | U.S. Treasury Notes: | | | | |
| | 1,740,000 | | | | | 3.500% due 9/15/25 | | | 1,706,491 | |
| | 365,000 | | | | | 0.250% due 9/30/25 | | | 340,013 | |
| | 4,663,000 | | | | | 4.500% due 11/15/25 | | | 4,643,799 | |
| | 1,610,000 | | | | | 0.375% due 11/30/25 | | | 1,493,558 | |
| | 9,845,000 | | | | | 4.875% due 11/30/25 | | | 9,868,074 | |
| | 620,000 | | | | | 0.375% due 12/31/25 | | | 573,500 | |
| | 5,045,000 | | | | | 4.250% due 12/31/25 | | | 5,005,192 | |
| | 375,000 | | | | | 0.375% due 1/31/26 | | | 345,740 | |
| | 11,430,000 | | | | | 4.250% due 1/31/26 | | | 11,342,935 | |
See Notes to Financial Statements.
162
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | | | Security | | Value | |
| |
| U.S. GOVERNMENT OBLIGATIONS — 23.6% — (continued) | | | |
| $ | 9,385,000 | | | | | 4.000% due 2/15/26 | | $ | 9,272,087 | |
| | 4,214,000 | | | | | 0.500% due 2/28/26 | | | 3,884,699 | |
| | 4,995,000 | | | | | 4.625% due 3/15/26 | | | 4,994,610 | |
| | 1,759,000 | | | | | 3.750% due 4/15/26 | | | 1,728,767 | |
| | 236,000 | | | | | 0.750% due 4/30/26 | | | 217,535 | |
| | 1,183,000 | | | | | 3.625% due 5/15/26 | | | 1,159,525 | |
| | 1,324,000 | | | | | 4.500% due 7/15/26 | | | 1,322,836 | |
| | 1,270,000 | | | | | 4.625% due 9/15/26 | | | 1,273,274 | |
| | 1,605,000 | | | | | 4.625% due 10/15/26 | | | 1,609,922 | |
| | 1,064,000 | | | | | 4.625% due 11/15/26 | | | 1,067,741 | |
| | 10,100,000 | | | | | 4.000% due 1/15/27 | | | 9,978,879 | |
| | 21,095,000 | | | | | 4.125% due 2/15/27 | | | 20,914,539 | |
| | 770,000 | | | | | 1.875% due 2/28/27 | | | 715,228 | |
| | 100,000 | | | | | 2.625% due 5/31/27 | | | 94,637 | |
| | 1,185,000 | | | | | 2.750% due 7/31/27 | | | 1,123,783 | |
| | 2,160,000 | | | | | 3.125% due 8/31/27 | | | 2,072,081 | |
| | 1,343,000 | | | | | 4.125% due 10/31/27 | | | 1,331,590 | |
| | 2,210,000 | | | | | 0.750% due 1/31/28 | | | 1,926,542 | |
| | 130,000 | | | | | 4.125% due 7/31/28 | | | 129,045 | |
| | 110,000 | | | | | 4.375% due 8/31/28 | | | 110,309 | |
| | 581,000 | | | | | 4.875% due 10/31/28 | | | 594,963 | |
| | 235,000 | | | | | 1.500% due 11/30/28 | | | 207,062 | |
| | 6,000 | | | | | 4.375% due 11/30/28 | | | 6,023 | |
| | 31,500,000 | | | | | 3.750% due 12/31/28 | | | 30,771,562 | |
| | 67,436,000 | | | | | 4.000% due 1/31/29 | | | 66,629,929 | |
| | 2,365,000 | | | | | 4.250% due 2/28/29 | | | 2,364,076 | |
| | 415,000 | | | | | 2.375% due 3/31/29 | | | 379,117 | |
| | 285,000 | | | | | 3.875% due 9/30/29 | | | 279,233 | |
| | 2,597,000 | | | | | 3.875% due 11/30/29 | | | 2,543,234 | |
| | 3,431,000 | | | | | 3.625% due 3/31/30 | | | 3,309,441 | |
| | 1,556,000 | | | | | 3.750% due 5/31/30 | | | 1,510,232 | |
| | 1,545,000 | | | | | 4.875% due 10/31/30 | | | 1,596,661 | |
| | 2,362,000 | | | | | 4.375% due 11/30/30 | | | 2,373,718 | |
| | 830,000 | | | | | 4.000% due 1/31/31 | | | 816,253 | |
| | 1,345,000 | | | | | 4.250% due 2/28/31 | | | 1,342,793 | |
| | 20,000 | | | | | 1.250% due 8/15/31 | | | 16,186 | |
| | 270,000 | | | | | 2.875% due 5/15/32 | | | 243,944 | |
| | 4,063,000 | | | | | 4.125% due 11/15/32 | | | 4,018,654 | |
| | 265,000 | | | | | 3.375% due 5/15/33 | | | 247,087 | |
| | 1,447,000 | | | | | 3.875% due 8/15/33 | | | 1,403,076 | |
| | 16,418,000 | | | | | 4.500% due 11/15/33 | | | 16,719,424 | |
| | 20,440,000 | | | | | 4.000% due 2/15/34 | | | 20,027,251 | |
| | 2,020,000 | | | | | U.S. Treasury Strip Principal, zero coupon due 5/15/49(j) | | | 663,475 | |
| | | | | | | | | | |
| | | | | | Total U.S. GOVERNMENT OBLIGATIONS | | | 446,807,243 | |
| | | | | | | | | | |
| | | | | | TOTAL U.S. GOVERNMENT AGENCIES & OBLIGATIONS
(Cost — $495,925,988) | | | 465,228,383 | |
| | | | | | | | | | |
|
| MORTGAGE-BACKED SECURITIES — 21.3% | |
|
| FHLMC — 6.8% | |
| | | | | | Federal Home Loan Mortgage Corp. (FHLMC): | | | | |
| | 4,864,897 | | | | | 4.500% due 4/1/29 — 2/1/53 | | | 4,612,559 | |
| | 4,747,423 | | | | | 5.500% due 1/1/30 — 9/1/53 | | | 4,711,520 | |
| | 18,634,010 | | | | | 3.000% due 3/1/31 — 6/1/52 | | | 16,196,817 | |
| | 6,816,318 | | | | | 1.500% due 5/1/31 — 12/1/50 | | | 5,459,932 | |
| | 30,097,398 | | | | | 2.500% due 11/1/31 — 5/1/52 | | | 24,995,378 | |
See Notes to Financial Statements.
163
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | | | Security | | Value | |
|
| FHLMC — 6.8% — (continued) | |
| $ | 11,775,867 | | | | | 3.500% due 4/1/33 — 6/1/52 | | $ | 10,707,979 | |
| | 8,240,305 | | | | | 5.000% due 12/1/34 — 7/1/53 | | | 8,021,155 | |
| | 43,801,810 | | | | | 2.000% due 3/1/36 — 5/1/52 | | | 35,115,688 | |
| | 3,684,684 | | | | | 6.000% due 5/1/38 — 9/1/53 | | | 3,719,187 | |
| | 5,079 | | | | | 7.000% due 3/1/39 | | | 5,397 | |
| | 2,788,094 | | | | | 6.500% due 9/1/39 — 7/1/53 | | | 2,848,619 | |
| | 12,232,333 | | | | | 4.000% due 9/1/40 — 1/1/53 | | | 11,390,119 | |
| | 83,959 | | | | | 2.107% (5-Year CMT Index + 1.285%) due 3/1/47(c) | | | 78,006 | |
| | 264,428 | | | | | 2.875% (1-Year Refinitiv USD IBOR Consumer Cash Fallbacks Term + 1.619%) due 11/1/47(c) | | | 255,721 | |
| | 449,185 | | | | | 3.006% (1-Year Refinitiv USD IBOR Consumer Cash Fallbacks Term + 1.628%) due 11/1/48(c) | | | 423,041 | |
| | 106,150 | | | | | 3.096% (1-Year Refinitiv USD IBOR Consumer Cash Fallbacks Term + 1.621%) due 2/1/50(c) | | | 100,211 | |
| | | | | | | | | | |
| | | | | | Total FHLMC | | | 128,641,329 | |
| | | | | | | | | | |
| |
| FNMA — 9.8% | | | |
| | | | | | Federal National Mortgage Association (FNMA): | | | | |
| | 8,876,155 | | | | | 4.000% due 4/1/24 — 6/1/57 | | | 8,282,226 | |
| | 17,003,905 | | | | | 3.500% due 11/1/25 — 12/1/52 | | | 15,396,965 | |
| | 7,212,991 | | | | | 5.500% due 3/1/26 — 9/1/56 | | | 7,174,033 | |
| | 46,265,625 | | | | | 2.500% due 11/1/27 — 6/1/62 | | | 38,586,293 | |
| | 32,835,676 | | | | | 3.000% due 12/1/27 — 9/1/61 | | | 28,676,988 | |
| | 18,650,607 | | | | | 4.500% due 3/1/29 — 8/1/58 | | | 17,740,525 | |
| | 4,001,558 | | | | | 5.000% due 3/1/29 — 7/1/53 | | | 3,903,074 | |
| | 6,571,025 | | | | | 1.500% due 6/1/31 — 8/1/51 | | | 5,432,069 | |
| | 50,082 | | | | | 4.537% (1-Year Refinitiv USD IBOR Consumer Cash Fallbacks Term + 1.536%) due 3/1/34(c) | | | 49,794 | |
| | 4,039,705 | | | | | 6.000% due 8/1/34 — 7/1/53 | | | 4,087,189 | |
| | 8,817 | | | | | 6.847% (1-Year Treasury Average Rate + 1.792%) due 10/1/35(c) | | | 8,970 | |
| | 2,654 | | | | | 6.871% (1-Year Treasury Average Rate + 1.820%) due 11/1/35(c) | | | 2,690 | |
| | 7,986 | | | | | 6.977% (1-Year Treasury Average Rate + 1.941%) due 11/1/35(c) | | | 8,161 | |
| | 60,286,579 | | | | | 2.000% due 6/1/36 — 4/1/52 | | | 48,547,566 | |
| | 6,949 | | | | | 7.000% due 4/1/37 | | | 6,983 | |
| | 100,000 | | | | | 3.870% due 5/1/37 | | | 90,190 | |
| | 36,669 | | | | | 4.640% (1-Year Refinitiv USD IBOR Consumer Cash Fallbacks Term + 1.265%) due 5/1/37(c) | | | 36,197 | |
| | 202,567 | | | | | 6.500% due 9/1/37 — 10/1/53 | | | 208,471 | |
| | 4,700,000 | | | | | 4.500% due 3/1/54 — 4/1/54(k) | | | 4,444,849 | |
| | 200,000 | | | | | 5.000% due 3/1/54(k) | | | 193,895 | |
| | 1,300,000 | | | | | 6.000% due 4/1/54(k) | | | 1,305,197 | |
| | 600,000 | | | | | 6.500% due 4/1/54(k) | | | 610,173 | |
| | | | | | | | | | |
| | | | | | Total FNMA | | | 184,792,498 | |
| | | | | | | | | | |
| |
| GNMA — 4.7% | | | |
| | | | | | Government National Mortgage Association (GNMA): | | | | |
| | 13,373 | | | | | 6.000% due 12/15/33 — 6/15/37 | | | 13,627 | |
| | 255,760 | | | | | 5.000% due 10/15/34 — 9/15/40 | | | 254,752 | |
| | 19,187 | | | | | 5.500% due 5/15/37 — 6/15/38 | | | 19,525 | |
| | 29,581 | | | | | 6.500% due 1/15/38 — 10/15/38 | | | 30,620 | |
| | 39,972 | | | | | 4.500% due 3/15/41 | | | 39,050 | |
| | 331,579 | | | | | 4.000% due 6/15/41 — 11/15/45 | | | 321,071 | |
| | 164,982 | | | | | 3.000% due 9/15/42 — 10/15/42 | | | 148,318 | |
| | 99,047 | | | | | 3.500% due 6/15/48 — 5/15/50 | | | 91,889 | |
See Notes to Financial Statements.
164
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | | | Security | | Value | |
| |
| GNMA — 4.7% — (continued) | | | |
| | | | | | Government National Mortgage Association II (GNMA): | | | | |
| $ | 2,602,655 | | | | | 6.000% due 7/20/37 — 1/20/54 | | $ | 2,629,908 | |
| | 7,356,977 | | | | | 4.500% due 1/20/40 — 4/20/53 | | | 7,090,116 | |
| | 9,554,917 | | | | | 5.000% due 7/20/40 — 8/20/53 | | | 9,349,561 | |
| | 5,160,717 | | | | | 4.000% due 11/20/40 — 11/20/52 | | | 4,849,476 | |
| | 12,520,385 | | | | | 3.000% due 1/20/43 — 4/20/53 | | | 11,016,789 | |
| | 9,665,037 | | | | | 3.500% due 6/20/43 — 12/20/52 | | | 8,815,069 | |
| | 17,264,087 | | | | | 2.000% due 8/20/50 — 4/20/52 | | | 14,051,521 | |
| | 16,955,530 | | | | | 2.500% due 9/20/50 — 9/20/52 | | | 14,361,581 | |
| | 6,309,734 | | | | | 5.500% due 11/20/52 — 9/20/53 | | | 6,275,201 | |
| | 894,935 | | | | | 6.500% due 9/20/53 — 1/20/54 | | | 912,959 | |
| | 3,100,000 | | | | | 4.000% due 3/1/54(k) | | | 2,888,441 | |
| | 1,000,000 | | | | | 4.500% due 3/1/54(k) | | | 955,156 | |
| | 2,400,000 | | | | | 5.000% due 3/1/54(k) | | | 2,343,367 | |
| | 1,500,000 | | | | | 5.500% due 3/1/54(k) | | | 1,490,174 | |
| | | | | | | | | | |
| | | | | | Total GNMA | | | 87,948,171 | |
| | | | | | | | | | |
| | | | | | TOTAL MORTGAGE-BACKED SECURITIES
(Cost — $434,536,212) | | | 401,381,998 | |
| | | | | | | | | | |
|
| COLLATERALIZED MORTGAGE OBLIGATIONS — 11.2% | |
| | 690,000 | | | AAA(e) | | 280 Park Avenue Mortgage Trust, Series 2017-280P, Class A, 6.502%
(1-Month Term SOFR + 1.180%) due 9/15/34(a)(c) | | | 675,771 | |
| | 680,348 | | | Aaa(b) | | 321 Henderson Receivables V LLC, Series 2008-3A, Class A1, 8.000% due 6/15/45(a) | | | 756,542 | |
| | 370,000 | | | AAA | | AB BSL CLO 4 Ltd., Series 2023-4A, Class A, 7.318%
(3-Month Term SOFR + 2.000%) due 4/20/36(a)(c) | | | 373,762 | |
| | 63,858 | | | CC | | AFC Home Equity Loan Trust, Series 1999-2, Class 2A, 6.085%
(1-Month Term SOFR + 0.764%) due 6/25/29(c) | | | 42,966 | |
| | 1,100,000 | | | Aaa(b) | | AGL CLO 1 Ltd., Series 2019-1A, Class AR, 6.759%
(3-Month Term SOFR + 1.442%) due 10/20/34(a)(c) | | | 1,100,313 | |
| | 500,000 | | | AAA | | AIMCO CLO, Series 2017-AA, Class AR, 6.629%
(3-Month Term SOFR + 1.312%) due 4/20/34(a)(c) | | | 500,000 | |
| | 1,023,079 | | | Aaa(b) | | Allegro CLO VI Ltd., Series 2017-2A, Class A, 6.708%
(3-Month Term SOFR + 1.392%) due 1/17/31(a)(c) | | | 1,026,604 | |
| | 1,000,000 | | | AAA | | Allegro CLO XI Ltd., Series 2019-2A, Class A1A, 6.961%
(3-Month Term SOFR + 1.652%) due 1/19/33(a)(c) | | | 1,003,107 | |
| | 615,000 | | | Aa2(b) | | Allegro CLO XIII Ltd., Series 2021-1A, Class B, 7.279%
(3-Month Term SOFR + 1.962%) due 7/20/34(a)(c) | | | 615,322 | |
| | 217,907 | | | AA | | American Home Mortgage Investment Trust, Series 2004-3, Class 4A, 4.484%
(6-Month Term SOFR + 1.928%) due 10/25/34(c) | | | 216,473 | |
| | 840,223 | | | AAA(e) | | Angel Oak Mortgage Trust, Series 2023-1, Class A1, step bond to yield, 4.750% due 9/26/67(a) | | | 822,283 | |
| | 900,000 | | | BBB | | Applebee’s Funding LLC/IHOP Funding LLC, Series 2023-1A, Class A2, 7.824% due 3/5/53(a) | | | 927,289 | |
| | 210,000 | | | Baa2(b) | | Aqua Finance Trust, Series 2020-AA, Class C, 3.970% due 7/17/46(a) | | | 187,874 | |
| | 930,000 | | | Aaa(b) | | Ares Loan Funding IV Ltd., Series 2023-ALF4A, Class A1, 7.097%
(3-Month Term SOFR + 1.750%) due 10/15/36(a)(c) | | | 933,788 | |
| | 88,640 | | | AAA | | Ares XLII CLO Ltd., Series 2017-42A, Class AR, 6.499%
(3-Month Term SOFR + 1.182%) due 1/22/28(a)(c) | | | 88,640 | |
| | 229,254 | | | AAA | | Bain Capital Credit CLO, Series 2018-1A, Class A1, 6.537%
(3-Month Term SOFR + 1.222%) due 4/23/31(a)(c) | | | 229,598 | |
| | 290,000 | | | AAA | | Bain Capital Credit CLO Ltd., Series 2021-4A, Class A1, 6.749%
(3-Month Term SOFR + 1.432%) due 10/20/34(a)(c) | | | 290,713 | |
| | 498,775 | | | AAA | | Balboa Bay Loan Funding Ltd., Series 2020-1A, Class AR, 6.699%
(3-Month Term SOFR + 1.382%) due 1/20/32(a)(c) | | | 499,897 | |
| | 820,000 | | | AAA | | BAMLL Commercial Mortgage Securities Trust, Series 2019-BPR, Class AMP, 3.287% due 11/5/32(a) | | | 784,066 | |
See Notes to Financial Statements.
165
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| COLLATERALIZED MORTGAGE OBLIGATIONS — 11.2% — (continued) | |
| $ | 14,999 | | | AA+ | | Banc of America Mortgage Trust, Series 2004-F, Class 1A1, 5.264% due 7/25/34(c) | | $ | 14,124 | |
| | 1,060,000 | | | Aaa(b) | | BANK, Series 2017-BNK7, Class A4, 3.175% due 9/15/60 | | | 996,513 | |
| | | | | | BBCMS Mortgage Trust: | | | | |
| | 280,000 | | | AAA | | Series 2022-C16, Class A5, 4.600% due 6/15/55(c) | | | 270,736 | |
| | 590,000 | | | AAA | | Series 2023-C19, Class A2B, 5.753% due 4/15/56 | | | 593,552 | |
| | 5,435,808 | | | AAA | | Series 2023-C20, Class XA, 0.849% due 7/15/56(c)(l) | | | 290,564 | |
| | 1,240,000 | | | AAA | | Beast Mortgage Trust, Series 2021-SSCP, Class A, 6.182%
(1-Month Term SOFR + 0.864%) due 4/15/36(a)(c) | | | 1,228,048 | |
| | | | | | Benchmark Mortgage Trust: | | | | |
| | 213,000 | | | AAA | | Series 2019-B13, Class A4, 2.952% due 8/15/57 | | | 189,883 | |
| | 2,169,092 | | | Aa1(b) | | Series 2021-B28, Class XA, 1.272% due 8/15/54(c)(l) | | | 138,283 | |
| | 280,000 | | | Aaa(b) | | Birch Grove CLO 5 Ltd., Series 2023-5A, Class A1, 7.518%
(3-Month Term SOFR + 2.200%) due 4/20/35(a)(c) | | | 282,511 | |
| | 560,000 | | | Aaa(b) | | Birch Grove CLO 7 Ltd., Series 2023-7A, Class A1, 7.177%
(3-Month Term SOFR + 1.800%) due 10/20/36(a)(c) | | | 563,536 | |
| | 650,000 | | | Aaa(b) | | BLP Commercial Mortgage Trust, Series 2023-IND, Class A, 7.010%
(1-Month Term SOFR + 1.692%) due 3/15/40(a)(c) | | | 653,249 | |
| | 300,784 | | | AAA | | BlueMountain CLO XXII Ltd., Series 2018-22A, Class A1, 6.656%
(3-Month Term SOFR + 1.342%) due 7/15/31(a)(c) | | | 301,310 | |
| | 638,930 | | | AAA | | BlueMountain Fuji US CLO I Ltd., Series 2017-1A, Class A1R, 6.559%
(3-Month Term SOFR + 1.242%) due 7/20/29(a)(c) | | | 639,603 | |
| | 280,000 | | | AAA | | BMO Mortgage Trust, Series 2022-C1, Class A5, 3.374% due 2/15/55(c) | | | 247,210 | |
| | | | | | BRAVO Residential Funding Trust: | | | | |
| | 1,705,338 | | | NR | | Series 2021-A, Class A1, step bond to yield, 4.991% due 10/25/59(a) | | | 1,680,796 | |
| | 589,044 | | | AAA(e) | | Series 2022-NQM3, Class A1, 5.108% due 7/25/62(a)(c) | | | 577,181 | |
| | 328,175 | | | AAA(e) | | Series 2024-NQM1, Class A1, step bond to yield, 5.943% due 12/1/63(a) | | | 328,129 | |
| | 493,957 | | | AAA | | Buttermilk Park CLO Ltd., Series 2018-1A, Class A1, 6.676%
(3-Month Term SOFR + 1.362%) due 10/15/31(a)(c) | | | 494,654 | |
| | | | | | BX Commercial Mortgage Trust: | | | | |
| | 890,000 | | | Aaa(b) | | Series 2021-CIP, Class A, 6.353% (1-Month Term SOFR + 1.035%) due 12/15/38(a)(c) | | | 879,726 | |
| | 234,579 | | | A3(b) | | Series 2021-XL2, Class D, 6.829% (1-Month Term SOFR + 1.511%) due 10/15/38(a)(c) | | | 231,640 | |
| | 710,000 | | | NR | | Series 2023-VLT2, Class D, 10.092% (1-Month Term SOFR + 4.774%) due 6/15/40(a)(c) | | | 713,703 | |
| | 910,000 | | | NR | | Series 2023-VLT2, Class E, 11.189% (1-Month Term SOFR + 5.871%) due 6/15/40(a)(c) | | | 916,611 | |
| | 740,000 | | | Aaa(b) | | Series 2023-XL3, Class A, 7.079% (1-Month Term SOFR + 1.761%) due 12/9/40(a)(c) | | | 746,316 | |
| | 225,000 | | | AA-(e) | | Series 2024-MF, Class B, 6.991% (1-Month Term SOFR + 1.691%) due 2/15/39(a)(c)(g) | | | 223,115 | |
| | 229,000 | | | AAA(e) | | Series 2024-XL4, Class A, 6.760% (1-Month Term SOFR + 1.442%) due 2/15/39(a)(c)(g) | | | 228,628 | |
| | 1,215,000 | | | BBB-(e) | | BX Mortgage Trust, Series 2021-PAC, Class D, 6.731%
(1-Month Term SOFR + 1.413%) due 10/15/36(a)(c) | | | 1,181,873 | |
| | | | | | BX Trust: | | | | |
| | 220,000 | | | BBB- | | Series 2021-ARIA, Class D, 7.328% (1-Month Term SOFR + 2.010%) due 10/15/36(a)(c) | | | 215,012 | |
| | 1,100,000 | | | Aaa(b) | | Series 2021-LBA, Class AJV, 6.232% (1-Month Term SOFR + 0.914%) due 2/15/36(a)(c) | | | 1,093,677 | |
| | 311,791 | | | AAA | | Series 2021-RISE, Class A, 6.180% (1-Month Term SOFR + 0.862%) due 11/15/36(a)(c) | | | 308,915 | |
| | 1,240,386 | | | AAA | | Series 2022-GPA, Class A, 7.483% (1-Month Term SOFR + 2.165%) due 8/15/39(a)(c) | | | 1,245,471 | |
| | 252,616 | | | Aaa(b) | | Series 2022-IND, Class A, 6.809% (1-Month Term SOFR + 1.491%) due 4/15/37(a)(c) | | | 252,881 | |
| | 630,000 | | | AAA(e) | | Series 2023-DELC, Class A, 8.008% (1-Month Term SOFR + 2.690%) due 5/15/38(a)(c) | | | 636,927 | |
| | 394,000 | | | Aaa(b) | | Series 2024-BIO, Class A, 6.942% (1-Month Term SOFR + 1.642%) due 2/15/41(a)(c) | | | 396,508 | |
| | 200,000 | | | Aa2(b) | | Series 2024-BIO, Class B, 7.241% (1-Month Term SOFR + 1.941%) due 2/15/41(a)(c) | | | 200,612 | |
| | 969,000 | | | A3(b) | | Series 2024-BIO, Class C, 7.940% (1-Month Term SOFR + 2.640%) due 2/15/41(a)(c) | | | 971,938 | |
| | 940,000 | | | AAA | | Cantor Commercial Real Estate Lending, Series 2019-CF3, Class A4, 3.006% due 1/15/53 | | | 816,001 | |
| | 1,500,000 | | | (P)AAA | | CarVal CLO IX-C Ltd., Series 2024-1A, Class A, zero coupon
(1.680% – 3-Month Term SOFR) due 4/20/37(a)(m) | | | 1,501,635 | |
| | 320,000 | | | Aaa(b) | | CD Mortgage Trust, Series 2017-CD3, Class A4, 3.631% due 2/10/50 | | | 296,140 | |
| | 978,261 | | | AAA(e) | | Chase Home Lending Mortgage Trust, Series 2024-2, Class A4A, 6.000% due 2/25/55(a)(c) | | | 969,635 | |
| | 192,048 | | | BBB | | Chevy Chase Funding LLC Mortgage-Backed Certificates, Series 2004-2A, Class A1, 5.705% (1-Month Term SOFR + 0.384%) due 5/25/35(a)(c) | | | 180,264 | |
See Notes to Financial Statements.
166
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| COLLATERALIZED MORTGAGE OBLIGATIONS — 11.2% — (continued) | |
| | | | | | CIFC Funding Ltd.: | | | | |
| $ | 903,369 | | | Aaa(b) | | Series 2013-4A, Class A1RR, 6.641% (3-Month Term SOFR + 1.322%) due 4/27/31(a)(c) | | $ | 904,272 | |
| | 275,651 | | | AAA | | Series 2014-3A, Class A1R2, 6.779% (3-Month Term SOFR + 1.462%) due 10/22/31(a)(c) | | | 275,940 | |
| | 750,000 | | | AAA | | Series 2014-5A, Class A1R2, 6.778% (3-Month Term SOFR + 1.462%) due 10/17/31(a)(c) | | | 750,825 | |
| | 1,355,000 | | | Aaa(b) | | Series 2017-1A, Class ARR, 6.830% (3-Month Term SOFR + 1.550%) due 4/21/37(a)(c) | | | 1,356,492 | |
| | 237,707 | | | Aaa(b) | | Series 2018-2A, Class A1, 6.619% (3-Month Term SOFR + 1.302%) due 4/20/31(a)(c) | | | 237,766 | |
| | 600,000 | | | Aaa(b) | | Series 2019-1A, Class AR, 6.679% (3-Month Term SOFR + 1.362%) due 4/20/32(a)(c) | | | 600,242 | |
| | 290,000 | | | AAA | | Series 2021-1A, Class A1, 6.696% (3-Month Term SOFR + 1.372%) due 4/25/33(a)(c) | | | 290,776 | |
| | | | | | CIM Trust: | | | | |
| | 780,856 | | | NR | | Series 2019-R4, Class A1, 3.000% due 10/25/59(a)(c) | | | 714,127 | |
| | 447,147 | | | NR | | Series 2020-R6, Class A1A, 2.250% due 12/25/60(a)(c) | | | 388,345 | |
| | 1,767,627 | | | NR | | Series 2021-R1, Class A2, 2.400% due 8/25/56(a)(c) | | | 1,542,980 | |
| | 881,911 | | | NR | | Series 2021-R3, Class A1A, 1.951% due 6/25/57(a)(c) | | | 791,161 | |
| | 1,078,639 | | | NR | | Series 2021-R4, Class A1A, 2.000% due 5/1/61(a)(c) | | | 940,880 | |
| | 1,968,994 | | | NR | | Series 2021-R5, Class A1, 2.000% due 8/25/61(a)(c) | | | 1,602,748 | |
| | 2,256,858 | | | NR | | Series 2023-R1, Class A1A, 5.400% due 4/25/62(a)(c) | | | 2,158,532 | |
| | 1,969,475 | | | NR | | Series 2023-R3, Class A1A, 4.500% due 1/25/63(a)(c) | | | 1,773,647 | |
| | 843,112 | | | AAA(e) | | Series 2023-R4, Class A1, 5.000% due 5/25/62(a)(c) | | | 833,283 | |
| | | | | | Citigroup Commercial Mortgage Trust: | | | | |
| | 132,464 | | | Aaa(b) | | Series 2013-375P, Class A, 3.251% due 5/10/35(a) | | | 127,267 | |
| | 258,379 | | | Aaa(b) | | Series 2014-GC21, Class A5, 3.855% due 5/10/47 | | | 257,734 | |
| | 1,550,000 | | | AA-(e) | | Series 2015-GC29, Class B, 3.758% due 4/10/48(c) | | | 1,490,471 | |
| | 285,000 | | | Aa3(b) | | Series 2016-C2, Class B, 3.176% due 8/10/49 | | | 251,969 | |
| | 726,338 | | | Aaa(b) | | Series 2016-C3, Class A3, 2.896% due 11/15/49 | | | 684,352 | |
| | 500,000 | | | Aaa(b) | | Series 2016-P5, Class A4, 2.941% due 10/10/49 | | | 461,480 | |
| | 1,092,025 | | | Aaa(b) | | Series 2017-C4, Class A3, 3.209% due 10/12/50 | | | 1,016,750 | |
| | 211,425 | | | Aaa(b) | | Series 2017-P7, Class AAB, 3.509% due 4/14/50 | | | 206,366 | |
| | 650,000 | | | A-(e) | | Series 2018-TBR, Class C, 7.032% (1-Month Term SOFR + 1.714%) due 12/15/36(a)(c) | | | 642,458 | |
| | 13,192,174 | | | AA+ | | Series 2019-C7, Class XA, 0.857% due 12/15/72(c)(l) | | | 491,164 | |
| | 1,651,640 | | | CC | | Citigroup Mortgage Loan Trust, Series 2006-AR6, Class 2A4, 5.875%
(1-Month Term SOFR + 0.554%) due 9/25/36(c) | | | 482,675 | |
| | 1,200,000 | | | AAA | | Clover CLO LLC, Series 2018-1A, Class A1R, 6.699%
(3-Month Term SOFR + 1.382%) due 4/20/32(a)(c) | | | 1,201,620 | |
| | 702,003 | | | AAA | | CNH Equipment Trust, Series 2024-A, Class A3, 4.770% due 6/15/29 | | | 697,790 | |
| | 255,578 | | | Aaa(b) | | Cold Storage Trust, Series 2020-ICE5, Class A, 6.336%
(1-Month Term SOFR + 1.014%) due 11/15/37(a)(c) | | | 254,902 | |
| | 853,998 | | | AAA(e) | | COLT Mortgage Loan Trust, Series 2021-2, Class A1, 0.924% due 8/25/66(a)(c) | | | 676,570 | |
| | | | | | Commercial Mortgage Trust: | | | | |
| | 190,000 | | | BB-(e) | | Series 2013-300P, Class B, 4.394% due 8/10/30(a)(c) | | | 167,889 | |
| | 143,000 | | | Baa3(b) | | Series 2014-CR17, Class C, 4.727% due 5/10/47(c) | | | 131,670 | |
| | 139,620 | | | AAA | | Series 2014-CR18, Class A5, 3.828% due 7/15/47 | | | 138,712 | |
| | 210,000 | | | A-(e) | | Series 2014-CR21, Class C, 4.422% due 12/10/47(c) | | | 196,200 | |
| | 345,000 | | | Aaa(b) | | Series 2014-LC17, Class A5, 3.917% due 10/10/47 | | | 340,436 | |
| | 2,621,923 | | | Aa1(b) | | Series 2015-CR25, Class XA, 0.788% due 8/10/48(c)(l) | | | 22,534 | |
| | 175,000 | | | Aaa(b) | | Series 2015-CR26, Class A4, 3.630% due 10/10/48 | | | 168,582 | |
| | 165,000 | | | Aaa(b) | | Series 2018-COR3, Class A3, 4.228% due 5/10/51 | | | 155,082 | |
| | | | | | Connecticut Avenue Securities Trust: | | | | |
| | 620,000 | | | NR | | Series 2020-R01, Class 1B1, 8.686% (30-Day Average SOFR + 3.364%) due 1/25/40(a)(c) | | | 638,528 | |
| | 1,110,000 | | | BBB | | Series 2022-R04, Class 1M2, 8.422% (30-Day Average SOFR + 3.100%) due 3/25/42(a)(c) | | | 1,155,199 | |
| | 309,845 | | | A- | | Series 2022-R07, Class 1M1, 8.271% (30-Day Average SOFR + 2.950%) due 6/25/42(a)(c) | | | 318,625 | |
| | 1,220,000 | | | BBB | | Series 2023-R05, Class 1M2, 8.421% (30-Day Average SOFR + 3.100%) due 6/25/43(a)(c) | | | 1,278,200 | |
| | 410,000 | | | BBB | | Series 2024-R01, Class 1M2, 7.122% (30-Day Average SOFR + 1.800%) due 1/25/44(a)(c) | | | 411,495 | |
| | 42,157 | | | WR(b) | | Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-11, Class 3A3, 3.738% due 4/25/35(c) | | | 27,859 | |
See Notes to Financial Statements.
167
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| COLLATERALIZED MORTGAGE OBLIGATIONS — 11.2% — (continued) | |
| | | | | | Credit Suisse Commercial Mortgage Capital Trust: | | | | |
| $ | 1,260,000 | | | CCC | | Series 2014-USA, Class F, 4.373% due 9/15/37(a) | | $ | 553,369 | |
| | 517,527 | | | AAA(e) | | Series 2018-J1, Class A2, 3.500% due 2/25/48(a)(c) | | | 457,878 | |
| | 2,506,285 | | | NR | | Series 2020-RPL3, Class A1, 4.075% due 3/25/60(a)(c) | | | 2,498,562 | |
| | 314,000 | | | Aaa(b) | | Series 2021-BHAR, Class A, 6.582% (1-Month Term SOFR + 1.264%) due 11/15/38(a)(c) | | | 312,521 | |
| | 141,354 | | | AAA(e) | | Series 2021-NQM7, Class A1, 1.756% due 10/25/66(a)(c) | | | 122,027 | |
| | 2,113,421 | | | NR | | Series 2021-RPL4, Class A1, 1.796% due 12/27/60(a)(c) | | | 2,050,572 | |
| | 2,251,549 | | | NR | | Series 2022-RPL3, Class A1, 3.765% due 3/25/61(a)(c) | | | 2,228,392 | |
| | 784,129 | | | AAA(e) | | Series 2022-RPL4, Class A1, 3.904% due 4/25/62(a)(c) | | | 733,332 | |
| | | | | | Credit Suisse Mortgage Capital Certificates: | | | | |
| | 658,362 | | | Aaa(b) | | Series 2019-ICE4, Class A, 6.345% (1-Month Term SOFR + 1.027%) due 5/15/36(a)(c) | | | 658,402 | |
| | 947,642 | | | Ba3(b) | | Series 2019-ICE4, Class F, 8.015% (1-Month Term SOFR + 2.697%) due 5/15/36(a)(c) | | | 944,132 | |
| | | | | | CSAIL Commercial Mortgage Trust: | | | | |
| | 295,000 | | | Aaa(b) | | Series 2015-C1, Class A4, 3.505% due 4/15/50 | | | 288,354 | |
| | 270,000 | | | Aaa(b) | | Series 2015-C3, Class A4, 3.718% due 8/15/48 | | | 261,667 | |
| | 310,000 | | | Aaa(b) | | Series 2018-CX12, Class A4, 4.224% due 8/15/51(c) | | | 293,049 | |
| | 180,000 | | | Aaa(b) | | Series 2021-C20, Class A3, 2.805% due 3/15/54 | | | 149,432 | |
| | 280,000 | | | Aaa(b) | | CSMC NET, Series 2020-NET, Class B, 2.816% due 8/15/37(a) | | | 259,371 | |
| | 643,877 | | | AA+ | | CSMC Trust, Series 2019-AFC1, Class A2, step bond to yield, 3.776% due 7/25/49(a) | | | 597,140 | |
| | 32,966 | | | B- | | CWABS Asset-Backed Notes Trust, Series 2006-SD3, Class A1, 6.095%
(1-Month Term SOFR + 0.774%) due 7/25/36(a)(c) | | | 32,407 | |
| | | | | | DBJPM Mortgage Trust: | | | | |
| | 350,000 | | | AA-(e) | | Series 2016-C1, Class B, 4.195% due 5/10/49(c) | | | 316,547 | |
| | 163,157 | | | Aaa(b) | | Series 2016-C3, Class A4, 2.632% due 8/10/49 | | | 153,372 | |
| | 1,750,000 | | | AAA(e) | | DOLP Trust, Series 2021-NYC, Class A, 2.956% due 5/10/41(a) | | | 1,459,731 | |
| | 1,481,250 | | | BBB- | | Driven Brands Funding LLC, Series 2022-1A, Class A2, 7.393% due 10/20/52(a) | | | 1,503,083 | |
| | 252,824 | | | AAA | | Dryden 55 CLO Ltd., Series 2018-55A, Class A1, 6.596%
(3-Month Term SOFR + 1.282%) due 4/15/31(a)(c) | | | 252,925 | |
| | 240,574 | | | Aaa(b) | | Dryden 60 CLO Ltd., Series 2018-60A, Class A, 6.626%
(3-Month Term SOFR + 1.312%) due 7/15/31(a)(c) | | | 240,868 | |
| | 595,038 | | | AAA | | Dryden XXVIII Senior Loan Fund, Series 2013-28A, Class A1LR, 6.769%
(3-Month Term SOFR + 1.462%) due 8/15/30(a)(c) | | | 595,693 | |
| | 19,033 | | | CCC | | DSLA Mortgage Loan Trust, Series 2004-AR2, Class A2B, 6.234%
(1-Month Term SOFR + 0.914%) due 11/19/44(c) | | | 17,813 | |
| | 640,000 | | | Aaa(b) | | DTP Commercial Mortgage Trust, Series 2023-STE2, Class A, 6.038% due 1/15/41(a)(c) | | | 631,732 | |
| | 370,000 | | | AAA | | Elevation CLO Ltd., Series 2021-13A, Class A1, 6.766%
(3-Month Term SOFR + 1.452%) due 7/15/34(a)(c) | | | 370,854 | |
| | 900,000 | | | AAA | | Elmwood CLO I Ltd., Series 2019-1A, Class A1RR, zero coupon
(1.520% – 3-Month Term SOFR) due 4/20/37(a)(m) | | | 900,247 | |
| | 640,000 | | | AAA | | Elmwood CLO IV Ltd., Series 2020-1A, Class A, 6.816%
(3-Month Term SOFR + 1.502%) due 4/15/33(a)(c) | | | 640,800 | |
| | 750,000 | | | AAA | | Empower CLO Ltd., Series 2023-2A, Class A1, 7.514%
(3-Month Term SOFR + 2.200%) due 7/15/36(a)(c) | | | 759,664 | |
| | 759,726 | | | Aaa(b) | | Extended Stay America Trust, Series 2021-ESH, Class A, 6.512%
(1-Month Term SOFR + 1.194%) due 7/15/38(a)(c) | | | 759,297 | |
| | | | | | Federal Home Loan Mortgage Corp. (FHLMC), Interest Strips: | | | | |
| | 37,943 | | | NR | | Series 334, Class S7, 0.661% (5.986% – 30-Day Average SOFR) due 8/15/44(l)(m) | | | 3,898 | |
| | 60,557 | | | NR | | Series 353, Class S1, 0.561% (5.886% – 30-Day Average SOFR) due 12/15/46(l)(m) | | | 5,969 | |
| | 33,965 | | | NR | | Federal Home Loan Mortgage Corp. (FHLMC), REMIC, Series R007, Class ZA, 6.000% due 5/15/36 | | | 34,922 | |
| | | | | | Federal Home Loan Mortgage Corp. (FHLMC), REMICS: | | | | |
| | 5,739 | | | NR | | Series 3451, Class SB, 0.591% (5.916% - 30-Day Average SOFR) due 5/15/38(l)(m) | | | 385 | |
| | 34,305 | | | NR | | Series 3621, Class SB, 0.791% (6.116% - 30-Day Average SOFR) due 1/15/40(l)(m) | | | 3,118 | |
| | 486,700 | | | NR | | Series 3743, Class PB, 4.500% due 10/15/40 | | | 474,590 | |
| | 292,779 | | | NR | | Series 3947, Class SG, 0.511% (5.836% - 30-Day Average SOFR) due 10/15/41(l)(m) | | | 25,503 | |
See Notes to Financial Statements.
168
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| COLLATERALIZED MORTGAGE OBLIGATIONS — 11.2% — (continued) | |
| $ | 10,906 | | | NR | | Series 3973, Class SA, 1.051% (6.376% – 30-Day Average SOFR) due 12/15/41(l)(m) | | $ | 1,203 | |
| | 111,759 | | | NR | | Series 4203, Class PS, 0.811% (6.136% – 30-Day Average SOFR) due 9/15/42(l)(m) | | | 8,813 | |
| | 109,985 | | | NR | | Series 4210, Class Z, 3.000% due 5/15/43 | | | 86,793 | |
| | 20,029 | | | NR | | Series 4239, Class IO, 3.500% due 6/15/27(l) | | | 558 | |
| | 340,979 | | | NR | | Series 4316, Class XZ, 4.500% due 3/15/44 | | | 324,458 | |
| | 85,957 | | | NR | | Series 4335, Class SW, 0.561% (5.886% – 30-Day Average SOFR) due 5/15/44(l)(m) | | | 7,066 | |
| | 397,792 | | | NR | | Series 4391, Class MZ, 3.000% due 9/15/44 | | | 341,735 | |
| | 1,791,559 | | | NR | | Series 4980, Class KI, 4.500% due 6/25/50(l) | | | 411,258 | |
| | 475,019 | | | NR | | Series 4988, Class AK, 1.000% due 7/25/50 | | | 366,695 | |
| | 469,515 | | | NR | | Series 5002, Class TJ, 2.000% due 7/25/50 | | | 383,468 | |
| | 65,219 | | | NR | | Series 5010, Class IK, 2.500% due 9/25/50(l) | | | 9,762 | |
| | 231,315 | | | NR | | Series 5010, Class JI, 2.500% due 9/25/50(l) | | | 37,310 | |
| | 78,726 | | | NR | | Series 5013, Class IN, 2.500% due 9/25/50(l) | | | 12,405 | |
| | 162,247 | | | NR | | Series 5018, Class MI, 2.000% due 10/25/50(l) | | | 21,543 | |
| | 68,761 | | | NR | | Series 5040, Class IB, 2.500% due 11/25/50(l) | | | 9,835 | |
| | 998,116 | | | NR | | Series 5085, Class NI, 2.000% due 3/25/51(l) | | | 118,631 | |
| | 974,628 | | | NR | | Series 5093, Class IY, 4.500% due 12/25/50(l) | | | 223,224 | |
| | 492,933 | | | NR | | Series 5115, Class IO, 4.500% due 10/25/49(l) | | | 112,710 | |
| | 1,534,814 | | | NR | | Series 5118, Class NI, 2.000% due 2/25/51(l) | | | 199,830 | |
| | 345,974 | | | NR | | Series 5140, Class NI, 2.500% due 5/25/49(l) | | | 48,606 | |
| | 444,310 | | | NR | | Series 5148, Class BI, 2.500% due 1/25/49(l) | | | 60,323 | |
| | 180,153 | | | NR | | Series 5148, Class CI, 2.000% due 6/25/49(l) | | | 20,910 | |
| | 734,872 | | | NR | | Series 5159, Class IP, 3.000% due 11/25/51(l) | | | 106,736 | |
| | 794,311 | | | NR | | Series 5161, Class IO, 2.000% due 3/25/51(l) | | | 105,629 | |
| | 728,273 | | | NR | | Series 5202, Class IN, 3.000% due 1/25/47(l) | | | 96,644 | |
| | 500,000 | | | NR | | Series 5224, Class HL, 4.000% due 4/25/52 | | | 447,627 | |
| | 645,984 | | | NR | | Series 5274, Class IO, 2.500% due 1/25/51(l) | | | 105,078 | |
| | 1,869,371 | | | NR | | Series 5293, Class IO, 2.000% due 3/25/51(l) | | | 230,851 | |
| | 191,119 | | | NR | | Series 5341, Class AO, zero coupon due 6/25/50(j) | | | 134,968 | |
| | | | | | Federal Home Loan Mortgage Corp. (FHLMC), Structured Agency Credit Risk: | | | | |
| | 1,135,430 | | | A- | | Series 2020-DNA3, Class B1, 10.536%
(30-Day Average SOFR + 5.214%) due 6/25/50(a)(c) | | | 1,252,056 | |
| | 264,566 | | | A | | Series 2021-DNA1, Class M2, 7.122%
(30-Day Average SOFR + 1.800%) due 1/25/51(a)(c) | | | 267,606 | |
| | 650,931 | | | BBB+ | | Series 2021-DNA5, Class M2, 6.972%
(30-Day Average SOFR + 1.650%) due 1/25/34(a)(c) | | | 658,743 | |
| | 1,500,000 | | | BBB+ | | Series 2021-DNA6, Class M2, 6.822%
(30-Day Average SOFR + 1.500%) due 10/25/41(a)(c) | | | 1,497,698 | |
| | 340,000 | | | BB+ | | Series 2022-DNA2, Class M2, 9.072%
(30-Day Average SOFR + 3.750%) due 2/25/42(a)(c) | | | 355,455 | |
| | 290,000 | | | B+ | | Series 2022-DNA3, Class B1, 10.972%
(30-Day Average SOFR + 5.650%) due 4/25/42(a)(c) | | | 311,711 | |
| | 212,835 | | | BBB+ | | Series 2023-DNA1, Class M1A, 7.422%
(30-Day Average SOFR + 2.100%) due 3/25/43(a)(c) | | | 217,274 | |
| | 242,766 | | | BBB+ | | Series 2023-DNA2, Class M1A, 7.422%
(30-Day Average SOFR + 2.100%) due 4/25/43(a)(c) | | | 247,937 | |
| | | | | | Federal National Mortgage Association (FNMA), ACES: | | | | |
| | 2,987,923 | | | NR | | Series 2015-M7, Class X2, 0.480% due 12/25/24(c)(l) | | | 2,926 | |
| | 12,981,290 | | | NR | | Series 2015-M8, Class X2, 0.059% due 1/25/25(c)(l) | | | 5,090 | |
| | 524,952 | | | NR | | Series 2020-M36, Class X1, 1.448% due 9/25/34(c)(l) | | | 25,770 | |
| | 245,000 | | | NR | | Series 2021-M2S, Class A2, 1.808% due 10/25/31(c) | | | 199,815 | |
| | 425,000 | | | NR | | Series 2022-M5, Class A3, 2.358% due 1/1/34(c) | | | 343,425 | |
| | 265,000 | | | NR | | Series 2022-M10, Class A2, 1.938% due 1/25/32(c) | | | 215,882 | |
| | 462,594 | | | AA+(e) | | Federal National Mortgage Association (FNMA), Connecticut Avenue Securities,
Series 2014-C02, Class 1M2, 8.036% (30-Day Average SOFR + 2.714%) due 5/25/24(c) | | | 463,734 | |
See Notes to Financial Statements.
169
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| COLLATERALIZED MORTGAGE OBLIGATIONS — 11.2% — (continued) | |
| | | | | | Federal National Mortgage Association (FNMA), Grantor Trust: | | | | |
| $ | 40,931 | | | NR | | Series 2000-T6, Class A3, 4.238% due 11/25/40(c) | | $ | 40,221 | |
| | 99,075 | | | NR | | Series 2017-T1, Class A, 2.898% due 6/25/27 | | | 93,066 | |
| | | | | | Federal National Mortgage Association (FNMA), Interest Strip: | | | | |
| | 44,870 | | | NR | | Series 409, Class C13, 3.500% due 11/25/41(l) | | | 6,751 | |
| | 95,802 | | | NR | | Series 409, Class C18, 4.000% due 4/25/42(l) | | | 17,464 | |
| | 12,594 | | | NR | | Series 409, Class C22, 4.500% due 11/25/39(l) | | | 2,319 | |
| | | | | | Federal National Mortgage Association (FNMA), REMICS: | | | | |
| | 10,332 | | | NR | | Series 2004-38, Class FK, 5.786% (30-Day Average SOFR + 0.464%) due 5/25/34(c) | | | 10,257 | |
| | 268,067 | | | NR | | Series 2011-8, Class ZA, 4.000% due 2/25/41 | | | 252,531 | |
| | 37,430 | | | NR | | Series 2011-87, Class SG, 1.114% (6.436% – 30-Day Average SOFR) due 4/25/40(l)(m) | | | 856 | |
| | 691,447 | | | NR | | Series 2011-131, Class PB, 4.500% due 12/25/41 | | | 669,538 | |
| | 58,401 | | | NR | | Series 2012-35, Class SC, 1.064% (6.386% – 30-Day Average SOFR) due 4/25/42(l)(m) | | | 6,565 | |
| | 44,594 | | | NR | | Series 2012-46, Class BA, 6.000% due 5/25/42 | | | 46,117 | |
| | 64,635 | | | NR | | Series 2012-51, Class B, 7.000% due 5/25/42 | | | 69,373 | |
| | 48,499 | | | NR | | Series 2012-74, Class SA, 1.214% (6.536% – 30-Day Average SOFR) due 3/25/42(l)(m) | | | 2,936 | |
| | 8,083 | | | NR | | Series 2012-75, Class AO, zero coupon due 3/25/42(j) | | | 7,218 | |
| | 5,034 | | | NR | | Series 2012-101, Class BI, 4.000% due 9/25/27(l) | | | 73 | |
| | 41,529 | | | NR | | Series 2012-133, Class CS, 0.714% (6.036% – 30-Day Average SOFR) due 12/25/42(l)(m) | | | 4,275 | |
| | 164,862 | | | NR | | Series 2013-9, Class BC, 6.500% due 7/25/42 | | | 172,646 | |
| | 133,303 | | | NR | | Series 2013-9, Class CB, 5.500% due 4/25/42 | | | 135,189 | |
| | 33,220 | | | NR | | Series 2013-54, Class BS, 0.714% (6.036% – 30-Day Average SOFR) due 6/25/43(l)(m) | | | 3,757 | |
| | 24,801 | | | NR | | Series 2013-73, Class IA, 3.000% due 9/25/32(l) | | | 1,241 | |
| | 643,183 | | | NR | | Series 2014-6, Class Z, 2.500% due 2/25/44 | | | 539,940 | |
| | 269,181 | | | NR | | Series 2015-65, Class CZ, 3.500% due 9/25/45 | | | 226,082 | |
| | 32,265 | | | NR | | Series 2018-57, Class QA, 3.500% due 5/25/46 | | | 31,679 | |
| | 607,163 | | | NR | | Series 2020-37, Class IM, 4.000% due 6/25/50(l) | | | 121,984 | |
| | 215,205 | | | NR | | Series 2020-47, Class GZ, 2.000% due 7/25/50 | | | 123,192 | |
| | 700,000 | | | NR | | Series 2020-56, Class AQ, 2.000% due 8/25/50 | | | 536,123 | |
| | 75,033 | | | NR | | Series 2020-56, Class DI, 2.500% due 8/25/50(l) | | | 11,590 | |
| | 4,088,884 | | | NR | | Series 2020-57, Class NI, 2.500% due 8/25/50(l) | | | 668,702 | |
| | 604,895 | | | NR | | Series 2020-73, Class KI, 3.000% due 10/25/50(l) | | | 98,454 | |
| | 1,455,435 | | | NR | | Series 2021-43, Class IO, 2.500% due 6/25/51(l) | | | 212,682 | |
| | 520,093 | | | NR | | Series 2021-61, Class KI, 2.500% due 4/25/49(l) | | | 71,177 | |
| | 710,684 | | | NR | | Series 2021-69, Class IJ, 2.500% due 1/25/49(l) | | | 96,007 | |
| | 665,733 | | | NR | | Series 2021-77, Class WI, 3.000% due 8/25/50(l) | | | 106,409 | |
| | 1,897,785 | | | NR | | Series 2022-22, Class IO, 2.500% due 10/25/51(l) | | | 290,038 | |
| | 744,900 | | | NR | | Series 2022-86, Class IO, 2.500% due 5/25/50(l) | | | 104,848 | |
| | 1,869,026 | | | NR | | Series 2023-2, Class CI, 2.000% due 10/25/50(l) | | | 242,950 | |
| | 557,755 | | | NR | | Series 2023-36, Class AO, zero coupon due 8/25/50(j) | | | 394,108 | |
| | | | | | FHLMC Multifamily Structured Pass-Through Certificates: | | | | |
| | 2,500,000 | | | AA+(e) | | Series K104, Class XAM, 1.386% due 1/25/30(c)(l) | | | 170,747 | |
| | 440,000 | | | AAA(e) | | Series K144, Class A2, 2.450% due 4/25/32 | | | 372,195 | |
| | 953,952 | | | AAA(e) | | Series K736, Class X1, 1.282% due 7/25/26(c)(l) | | | 22,186 | |
| | 3,978,411 | | | AAA(e) | | Series K743, Class X1, 0.921% due 5/25/28(c)(l) | | | 129,459 | |
| | 142,894 | | | NR | | Series KIR2, Class A1, 2.748% due 3/25/27 | | | 137,610 | |
| | 310,000 | | | BBB- | | Five Guys Holdings Inc., Series 2023-1A, Class A2, 7.549% due 1/26/54(a) | | | 321,618 | |
| | 1,100,000 | | | Aaa(b) | | Flatiron CLO 21 Ltd., Series 2021-1A, Class A1, 6.681%
(3-Month Term SOFR + 1.372%) due 7/19/34(a)(c) | | | 1,103,723 | |
| | | | | | Freddie Mac Multifamily Structured Pass Through Certificates: | | | | |
| | 3,423,311 | | | AAA(e) | | Series K104, Class X1, 1.123% due 1/25/30(c)(l) | | | 176,324 | |
| | 10,477,787 | | | Aaa(b) | | Series K130, Class X1, 1.037% due 6/25/31(c)(l) | | | 614,302 | |
| | 4,688,314 | | | AAA(e) | | Series K131, Class X1, 0.728% due 7/25/31(c)(l) | | | 203,209 | |
| | 1,240,000 | | | Aaa(b) | | Series K146, Class A2, 2.920% due 6/25/32 | | | 1,084,769 | |
| | 736,000 | | | Aaa(b) | | Series K148, Class A2, 3.500% due 7/25/32(c) | | | 671,903 | |
See Notes to Financial Statements.
170
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| COLLATERALIZED MORTGAGE OBLIGATIONS — 11.2% — (continued) | |
| $ | 19,182,002 | | | Aaa(b) | | Series K148, Class X1, 0.250% due 7/25/32(c)(l) | | $ | 382,186 | |
| | 994,203 | | | NR | | Series KG08, Class A2, 4.134% due 5/25/33(c) | | | 949,876 | |
| | 320,000 | | | AAA(e) | | Series K-152, Class A2, 3.780% due 11/25/32(c) | | | 297,679 | |
| | 9,299,625 | | | AAA(e) | | Series K-157, Class X1, 0.254% due 5/25/33(c)(l) | | | 209,309 | |
| | 4,999,585 | | | AAA | | Series K-160, Class X1, 0.209% due 8/25/33(c)(l) | | | 100,576 | |
| | 314,076 | | | NR | | FREMF Mortgage Trust, Series 2019-KF58, Class B, 7.596%
(30-Day Average SOFR + 2.264%) due 1/25/26(a)(c) | | | 306,319 | |
| | | | | | FRESB Mortgage Trust: | | | | |
| | 128,665 | | | NR | | Series 2019-SB60, Class A10H, 3.500% due 1/25/39(c) | | | 117,640 | |
| | 784,479 | | | NR | | Series 2021-SB93, Class A10F, 1.810% due 10/25/31(c) | | | 650,880 | |
| | 237,620 | | | Aaa(b) | | Galaxy XXVI CLO Ltd., Series 2018-26A, Class A, 6.787%
(3-Month Term SOFR + 1.462%) due 11/22/31(a)(c) | | | 237,827 | |
| | 578,796 | | | AAA | | GCAT Trust, Series 2022-NQM1, Class A1, 3.332% due 2/25/67(a)(c) | | | 536,009 | |
| | | | | | GoldenTree Loan Management US CLO 1 Ltd.: | | | | |
| | 460,000 | | | AAA | | Series 2020-7A, Class AR, 6.649% (3-Month Term SOFR + 1.332%) due 4/20/34(a)(c) | | | 460,612 | |
| | 1,050,000 | | | AA | | Series 2021-11A, Class B, 7.179% (3-Month Term SOFR + 1.862%) due 10/20/34(a)(c) | | | 1,050,583 | |
| | | | | | GoodLeap Sustainable Home Solutions Trust: | | | | |
| | 257,791 | | | A(e) | | Series 2022-1GS, Class A, 2.700% due 1/20/49(a) | | | 213,265 | |
| | 463,991 | | | A(e) | | Series 2023-3C, Class A, 6.500% due 7/20/55(a) | | | 476,597 | |
| | | | | | Government National Mortgage Association (GNMA): | | | | |
| | 220,976 | | | NR | | Series 2007-51, Class SG, 1.146% (6.466% – 1-Month Term SOFR) due 8/20/37(l)(m) | | | 6,530 | |
| | 1,836 | | | NR | | Series 2010-85, Class HS, 1.216% (6.536% – 1-Month Term SOFR) due 1/20/40(l)(m) | | | 7 | |
| | 74,434 | | | NR | | Series 2012-H27, Class AI, 1.741% due 10/20/62(c)(l) | | | 2,394 | |
| | 65,393 | | | NR | | Series 2013-53, Class OI, 3.500% due 4/20/43(l) | | | 6,715 | |
| | 270,783 | | | NR | | Series 2013-85, Class IA, 0.525% due 3/16/47(c)(l) | | | 2,087 | |
| | 72,749 | | | NR | | Series 2013-107, Class AD, 2.834% due 11/16/47(c) | | | 64,542 | |
| | 64,752 | | | NR | | Series 2014-105, Class IO, 0.125% due 6/16/54(c)(l) | | | 208 | |
| | 727,352 | | | NR | | Series 2014-H20, Class FA, 5.893% (1-Month Term SOFR + 0.544%) due 10/20/64(c) | | | 723,756 | |
| | 41,431 | | | NR | | Series 2015-167, Class OI, 4.000% due 4/16/45(l) | | | 7,912 | |
| | 139,589 | | | NR | | Series 2015-167, Class SA, 0.816% (6.136% – 1-Month Term SOFR) due 11/20/45(l)(m) | | | 13,669 | |
| | 42,157 | | | NR | | Series 2016-84, Class IG, 4.500% due 11/16/45(l) | | | 8,506 | |
| | 95,182 | | | NR | | Series 2016-135, Class SB, 0.664% (5.986% – 1-Month Term SOFR) due 10/16/46(l)(m) | | | 12,872 | |
| | 59,082 | | | NR | | Series 2017-187, Class SJ, 0.766% (6.086% – 1-Month Term SOFR) due 12/20/47(l)(m) | | | 6,818 | |
| | 78,733 | | | NR | | Series 2017-H14, Class FK, 5.010% (1-Year CMT Index + 0.200%) due 5/20/67(c) | | | 78,769 | |
| | 383,917 | | | NR | | Series 2017-H22, Class IC, 0.185% due 11/20/67(c)(l) | | | 11,001 | |
| | 76,910 | | | NR | | Series 2018-124, Class NW, 3.500% due 9/20/48 | | | 69,510 | |
| | 41,934 | | | NR | | Series 2019-H13, Class FT, 5.260% (1-Year CMT Index + 0.450%) due 8/20/69(c) | | | 41,894 | |
| | 239,168 | | | NR | | Series 2020-47, Class MI, 3.500% due 4/20/50(l) | | | 43,477 | |
| | 68,241 | | | NR | | Series 2020-47, Class NI, 3.500% due 4/20/50(l) | | | 12,442 | |
| | 579,373 | | | NR | | Series 2020-103, Class AD, 1.450% due 1/16/63 | | | 437,006 | |
| | 342,469 | | | NR | | Series 2020-123, Class IL, 2.500% due 8/20/50(l) | | | 42,841 | |
| | 218,943 | | | NR | | Series 2020-123, Class NI, 2.500% due 8/20/50(l) | | | 29,068 | |
| | 71,247 | | | NR | | Series 2020-127, Class IN, 2.500% due 8/20/50(l) | | | 9,570 | |
| | 294,185 | | | NR | | Series 2020-127, Class LP, 1.500% due 6/20/50 | | | 228,700 | |
| | 75,009 | | | NR | | Series 2020-129, Class IE, 2.500% due 9/20/50(l) | | | 10,097 | |
| | 77,551 | | | NR | | Series 2020-160, Class IH, 2.500% due 10/20/50(l) | | | 10,392 | |
| | 74,126 | | | NR | | Series 2020-160, Class VI, 2.500% due 10/20/50(l) | | | 10,405 | |
| | 301,057 | | | NR | | Series 2020-160, Class YI, 2.500% due 10/20/50(l) | | | 39,138 | |
| | 2,770,082 | | | NR | | Series 2020-173, Class MI, 2.500% due 11/20/50(l) | | | 376,632 | |
| | 356,582 | | | NR | | Series 2020-181, Class WI, 2.000% due 12/20/50(l) | | | 39,838 | |
| | 181,553 | | | NR | | Series 2020-H09, Class FL, 6.613% (1-Month Term SOFR + 1.264%) due 5/20/70(c) | | | 181,398 | |
| | 196,694 | | | NR | | Series 2020-H12, Class F, 5.963% (1-Month Term SOFR + 0.614%) due 7/20/70(c) | | | 191,710 | |
| | 247,842 | | | NR | | Series 2020-H13, Class FA, 5.913% (1-Month Term SOFR + 0.564%) due 7/20/70(c) | | | 240,794 | |
| | 46,641 | | | NR | | Series 2020-H13, Class FC, 5.913% (1-Month Term SOFR + 0.564%) due 7/20/70(c) | | | 45,321 | |
| | 170,288 | | | NR | | Series 2020-H20, Class FA, 5.813% (1-Month Term SOFR + 0.464%) due 4/20/70(c) | | | 164,985 | |
See Notes to Financial Statements.
171
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| COLLATERALIZED MORTGAGE OBLIGATIONS — 11.2% — (continued) | |
| $ | 167,367 | | | NR | | Series 2021-2, Class AH, 1.500% due 6/16/63 | | $ | 125,921 | |
| | 143,595 | | | NR | | Series 2021-14, Class AB, 1.340% due 6/16/63 | | | 107,135 | |
| | 1,292,376 | | | NR | | Series 2021-77, Class LC, 1.250% due 7/20/50 | | | 1,006,860 | |
| | 377,675 | | | NR | | Series 2021-115, Class MI, 2.500% due 5/20/51(l) | | | 39,756 | |
| | 2,641,709 | | | NR | | Series 2021-133, Class IO, 0.881% due 7/16/63(c)(l) | | | 170,805 | |
| | 822,351 | | | NR | | Series 2021-138, Class IK, 3.000% due 7/20/51(l) | | | 110,136 | |
| | 417,397 | | | NR | | Series 2021-188, Class PA, 2.000% due 10/20/51 | | | 342,010 | |
| | 383,336 | | | NR | | Series 2021-H02, Class TF, 6.743% (1-Month Term SOFR + 1.394%) due 1/20/71(c) | | | 390,868 | |
| | 300,000 | | | NR | | Series 2022-3, Class B, 1.850% due 2/16/61 | | | 149,674 | |
| | 1,345,985 | | | NR | | Series 2022-3, Class IO, 0.640% due 2/16/61(c)(l) | | | 61,426 | |
| | 774,193 | | | NR | | Series 2022-81, Class CI, 3.000% due 9/20/50(l) | | | 112,689 | |
| | 371,103 | | | NR | | Series 2022-189, Class PT, 2.500% due 10/20/51 | | | 305,877 | |
| | 200,000 | | | NR | | Series 2022-196, Class BE, 3.000% due 10/16/64(c) | | | 146,764 | |
| | 1,480,041 | | | NR | | Series 2022-210, Class IO, 0.697% due 7/16/64(c)(l) | | | 93,545 | |
| | 1,486,916 | | | NR | | Series 2022-216, Class IO, 0.750% due 7/16/65(c)(l) | | | 94,862 | |
| | 1,399,807 | | | NR | | Series 2023-92, Class AH, 2.000% due 6/16/64 | | | 1,076,836 | |
| | 1,999,724 | | | NR | | Series 2023-92, Class IA, 0.611% due 6/16/64(c)(l) | | | 124,723 | |
| | 8,850,444 | | | NR | | Series 2023-179, Class IO, 0.611% due 9/16/63(c)(l) | | | 362,862 | |
| | 710,000 | | | Aaa(b) | | Great Wolf Trust, Series 2019-WOLF, Class A, 6.666%
(1-Month Term SOFR + 1.348%) due 12/15/36(a)(c) | | | 709,749 | |
| | 940,000 | | | Aa2(b) | | Greenwood Park CLO Ltd., Series 2018-1A, Class B, 6.976%
(3-Month Term SOFR + 1.662%) due 4/15/31(a)(c) | | | 942,918 | |
| | 770,000 | | | Ba3(b) | | GS Mortgage Securities Corp. II, Series 2024-70P, Class E, 8.666% due 3/10/41(a)(c) | | | 778,837 | |
| | | | | | GS Mortgage Securities Corp. Trust: | | | | |
| | 631,997 | | | BB- | | Series 2018-SRP5, Class A, 7.165% (1-Month Term SOFR + 1.847%) due 9/15/31(a)(c) | | | 451,923 | |
| | 1,772,000 | | | AA-(e) | | Series 2021-IP, Class B, 6.582% (1-Month Term SOFR + 1.264%) due 10/15/36(a)(c) | | | 1,723,547 | |
| | 370,000 | | | AA+ | | Series 2021-ROSS, Class A, 6.582% (1-Month Term SOFR + 1.264%) due 5/15/26(a)(c) | | | 344,836 | |
| | 520,000 | | | Aaa(b) | | Series 2023-FUN, Class A, 7.409% (1-Month Term SOFR + 2.091%) due 3/15/28(a)(c) | | | 521,908 | |
| | 525,000 | | | Aa3(b) | | Series 2023-FUN, Class B, 8.108% (1-Month Term SOFR + 2.790%) due 3/15/28(a)(c) | | | 526,726 | |
| | 209,569 | | | Aaa(b) | | GS Mortgage Securities Trust, Series 2017-GS6, Class A2, 3.164% due 5/10/50 | | | 196,519 | |
| | 48,344 | | | AA- | | Harborview Mortgage Loan Trust, Series 2004-5, Class 2A6, 4.633% due 6/19/34(c) | | | 45,262 | |
| | 372,819 | | | Aa1(b) | | Hildene Community Funding CDO Ltd., Series 2015-1A, Class ARR, 2.600% due 11/1/35(a) | | | 309,440 | |
| | | | | | HPS Loan Management Ltd.: | | | | |
| | 690,116 | | | Aaa(b) | | Series 11A-17, Class AR, 6.572% (3-Month Term SOFR + 1.282%) due 5/6/30(a)(c) | | | 691,366 | |
| | 280,000 | | | Aaa(b) | | Series 15A-19, Class A1R, 6.638% (3-Month Term SOFR + 1.320%) due 1/22/35(a)(c) | | | 280,562 | |
| | 40,364 | | | AA | | Impac CMB Trust, Series 2007-A, Class A, 5.935%
(1-Month Term SOFR + 0.614%) due 5/25/37(a)(c) | | | 37,528 | |
| | 710,000 | | | AAA(e) | | Independence Plaza Trust, Series 2018-INDP, Class A, 3.763% due 7/10/35(a) | | | 678,677 | |
| | 23,814 | | | Caa2(b) | | IndyMac INDX Mortgage Loan Trust, Series 2005-AR15, Class A2, 3.977% due 9/25/35(c) | | | 19,106 | |
| | 292,956 | | | NR | | InStar Leasing III LLC, Series 2021-1A, Class A, 2.300% due 2/15/54(a) | | | 257,684 | |
| | 880,116 | | | CC | | IXIS Real Estate Capital Trust, Series 2006-HE2, Class A3, 5.755%
(1-Month Term SOFR + 0.434%) due 8/25/36(c) | | | 249,580 | |
| | | | | | JPMorgan Chase Commercial Mortgage Securities Trust: | | | | |
| | 1,710,000 | | | C(b) | | Series 2018-PHH, Class F, 8.675% (1-Month Term SOFR + 3.357%) due 6/15/35(a)(c)(h) | | | 103,631 | |
| | 250,000 | | | Baa1(b) | | Series 2021-MHC, Class D, 7.132% (1-Month Term SOFR + 1.814%) due 4/15/38(a)(c) | | | 247,803 | |
| | | | | | JPMorgan Mortgage Trust: | | | | |
| | 140,861 | | | AAA | | Series 2018-3, Class A1, 3.500% due 9/25/48(a)(c) | | | 124,093 | |
| | 129,776 | | | AAA | | Series 2018-5, Class A1, 3.500% due 10/25/48(a)(c) | | | 113,725 | |
| | 24,572 | | | AAA | | Series 2019-1, Class A11, 5.500% (1-Month Term SOFR + 1.064%) due 5/25/49(a)(c) | | | 24,123 | |
| | 682,137 | | | Aaa(b) | | Series 2019-6, Class B1, 4.245% due 12/25/49(a)(c) | | | 623,202 | |
| | 1,592,068 | | | Aaa(b) | | Series 2021-13, Class A3, 2.500% due 4/25/52(a)(c) | | | 1,279,244 | |
| | 668,477 | | | (P)Aaa(b) | | Series 2024-2, Class A3, 6.000% due 8/25/54(a)(c) | | | 665,605 | |
| | 350,000 | | | CCC(e) | | JPMBB Commercial Mortgage Securities Trust, Series 2014-C23, Class E, 3.364% due 9/15/47(a)(c) | | | 311,936 | |
See Notes to Financial Statements.
172
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| COLLATERALIZED MORTGAGE OBLIGATIONS — 11.2% — (continued) | |
| | | | | | JPMDB Commercial Mortgage Securities Trust: | | | | |
| $ | 340,000 | | | A(e) | | Series 2017-C5, Class B, 4.009% due 3/15/50(c) | | $ | 276,026 | |
| | 190,000 | | | Aaa(b) | | Series 2017-C7, Class A5, 3.409% due 10/15/50 | | | 175,573 | |
| | 130,000 | | | AA- | | Series 2018-C8, Class B, 4.522% due 6/15/51 | | | 114,281 | |
| | 280,000 | | | AAA | | Kings Park CLO Ltd., Series 2021-1A, Class A, 6.709%
(3-Month Term SOFR + 1.392%) due 1/21/35(a)(c) | | | 280,620 | |
| | 890,000 | | | Aaa(b) | | KREF Ltd., Series 2021-FL2, Class A, 6.506%
(1-Month Term SOFR + 1.184%) due 2/15/39(a)(c) | | | 874,444 | |
| | 1,200,000 | | | NR | | KREST Commercial Mortgage Securities Trust, Series 2021-CHIP, Class B, 2.861% due 11/5/44(a) | | | 868,088 | |
| | 310,000 | | | AAA | | KSL Commercial Mortgage Trust, Series 2023-HT, Class A, 7.608%
(1-Month Term SOFR + 2.290%) due 12/15/36(a)(c) | | | 311,855 | |
| | 331,257 | | | AAA | | LAQ Mortgage Trust, Series 2023-LAQ, Class A, 7.409%
(1-Month Term SOFR + 2.091%) due 3/15/36(a)(c) | | | 333,017 | |
| | 1,000,000 | | | Aa1(b) | | LCM XIV LP, Series 14A, Class BR, 7.159%
(3-Month Term SOFR + 1.842%) due 7/20/31(a)(c) | | | 998,442 | |
| | | | | | Legacy Mortgage Asset Trust: | | | | |
| | 1,534,250 | | | NR | | Series 2020-GS2, Class A1, step bond to yield, 5.750% due 3/25/60(a) | | | 1,534,587 | |
| | 678,031 | | | NR | | Series 2021-GS2, Class A1, step bond to yield, 1.750% due 4/25/61(a) | | | 657,573 | |
| | 507,136 | | | NR | | Series 2021-GS3, Class A1, step bond to yield, 1.750% due 7/25/61(a) | | | 490,875 | |
| | 1,500,000 | | | AA | | Lucali CLO Ltd., Series 2020-1A, Class B, 7.176%
(3-Month Term SOFR + 1.862%) due 1/15/33(a)(c) | | | 1,503,696 | |
| | 242,333 | | | Baa2(b) | | Lunar Structured Aircraft Portfolio Notes, Series 2021-1, Class B, 3.432% due 10/15/46(a) | | | 206,923 | |
| | 1,295,000 | | | AAA | | Madison Park Funding XLVIII Ltd., Series 2021-48A, Class A, 6.721%
(3-Month Term SOFR + 1.412%) due 4/19/33(a)(c) | | | 1,297,266 | |
| | 263,833 | | | AAA | | Madison Park Funding XXVI Ltd., Series 2017-26A, Class AR, 6.781%
(3-Month Term SOFR + 1.462%) due 7/29/30(a)(c) | | | 264,295 | |
| | 392,767 | | | A+ | | MAPS Trust, Series 2021-1A, Class A, 2.521% due 6/15/46(a) | | | 348,030 | |
| | 995,224 | | | NR | | Med Trust, Series 2021-MDLN, Class G, 10.682%
(1-Month Term SOFR + 5.364%) due 11/15/38(a)(c) | | | 983,590 | |
| | 9,494 | | | WD(e) | | Merrill Lynch Mortgage Investors Trust, Series 2004-A3, Class 4A3, 4.544% due 5/25/34(c) | | | 8,217 | |
| | 209,719 | | | AAA(e) | | MHC Commercial Mortgage Trust, Series 2021-MHC, Class A, 6.233%
(1-Month Term SOFR + 0.915%) due 4/15/38(a)(c) | | | 208,512 | |
| | 918,874 | | | Aaa(b) | | MMAF Equipment Finance LLC, Series 2024-A, Class A4, 5.100% due 7/13/49(a) | | | 915,334 | |
| | 190,264 | | | NR | | Mosaic Solar Loan Trust, Series 2021-1A, Class D, 3.710% due 12/20/46(a) | | | 162,106 | |
| | | | | | MSWF Commercial Mortgage Trust: | | | | |
| | 730,000 | | | Aaa(b) | | Series 2023-2, Class A5, 6.014% due 12/15/56(c) | | | 780,583 | |
| | 3,799,544 | | | Aaa(b) | | Series 2023-2, Class XA, 0.907% due 12/15/56(c)(l) | | | 246,513 | |
| | 1,153,040 | | | AAA | | MVW Owner Trust, Series 2019-1A, Class A, 2.890% due 11/20/36(a) | | | 1,119,303 | |
| | 478,581 | | | AAA | | Neuberger Berman CLO XV, Series 2013-15A, Class A1R2, 6.496%
(3-Month Term SOFR + 1.182%) due 10/15/29(a)(c) | | | 479,277 | |
| | 1,450,000 | | | Aaa(b) | | Neuberger Berman CLO XX Ltd., Series 2015-20A, Class ARR, 6.736%
(3-Month Term SOFR + 1.422%) due 7/15/34(a)(c) | | | 1,454,926 | |
| | 682,336 | | | AAA | | Neuberger Berman Loan Advisers CLO 25 Ltd., Series 2017-25A, Class AR, 6.490%
(3-Month Term SOFR + 1.192%) due 10/18/29(a)(c) | | | 683,496 | |
| | 286,469 | | | AAA | | Neuberger Berman Loan Advisers CLO 29 Ltd., Series 2018-29A, Class A1, 6.701%
(3-Month Term SOFR + 1.392%) due 10/19/31(a)(c) | | | 286,526 | |
| | 560,000 | | | AAA | | Neuberger Berman Loan Advisers CLO 39 Ltd., Series 2020-39A, Class A1, 6.929%
(3-Month Term SOFR + 1.612%) due 1/20/32(a)(c) | | | 562,242 | |
| | 1,270,000 | | | BBB+ | | New Economy Assets Phase 1 Sponsor LLC, Series 2021-1, Class B1, 2.410% due 10/20/61(a) | | | 1,065,582 | |
| | | | | | New Residential Mortgage Loan Trust: | | | | |
| | 116,397 | | | AAA | | Series 2016-4A, Class A1, 3.750% due 11/25/56(a)(c) | | | 108,041 | |
| | 157,452 | | | NR | | Series 2018-3A, Class A1, 4.500% due 5/25/58(a)(c) | | | 151,600 | |
| | 398,713 | | | Aaa(b) | | Series 2019-2A, Class A1, 4.250% due 12/25/57(a)(c) | | | 379,376 | |
| | 419,297 | | | Aaa(b) | | Series 2019-6A, Class A1B, 3.500% due 9/25/59(a)(c) | | | 387,528 | |
| | 675,735 | | | AAA(e) | | Series 2022-NQM4, Class A1, step bond to yield, 5.000% due 6/25/62(a) | | | 663,748 | |
See Notes to Financial Statements.
173
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| COLLATERALIZED MORTGAGE OBLIGATIONS — 11.2% — (continued) | |
| $ | 345,106 | | | Aaa(b) | | Newark BSL CLO 1 Ltd., Series 2016-1A, Class A1R, 6.681%
(3-Month Term SOFR + 1.362%) due 12/21/29(a)(c) | | $ | 345,583 | |
| | 570,000 | | | AAA(e) | | NJ Trust, Series 2023-GSP, Class A, 6.481% due 1/6/29(a)(c) | | | 588,884 | |
| | 350,180 | | | AAA | | Oak Street Investment Grade Net Lease Fund, Series 2020-1A, Class A1, 1.850% due 11/20/50(a) | | | 323,275 | |
| | 250,000 | | | AAA | | Oaktree CLO Ltd., Series 2022-3A, Class A2, 7.614%
(3-Month Term SOFR + 2.300%) due 7/15/35(a)(c) | | | 250,842 | |
| | | | | | OBX Trust: | | | | |
| | 207,840 | | | AAA(e) | | Series 2022-NQM6, Class A1, step bond to yield, 4.700% due 7/25/62(a) | | | 202,542 | |
| | 383,713 | | | AAA(e) | | Series 2022-NQM7, Class A1, step bond to yield, 5.110% due 8/25/62(a) | | | 376,921 | |
| | 806,351 | | | AAA(e) | | Series 2023-NQM3, Class A1, step bond to yield, 5.949% due 2/25/63(a) | | | 806,349 | |
| | 1,369,962 | | | AAA(e) | | Series 2023-NQM7, Class A1, step bond to yield, 6.844% due 4/25/63(a) | | | 1,392,877 | |
| | 1,249,953 | | | AAA(e) | | Series 2024-NQM1, Class A1, step bond to yield, 5.928% due 11/25/63(a) | | | 1,249,049 | |
| | | | | | OCP CLO Ltd.: | | | | |
| | 479,408 | | | AAA | | Series 2018-15A, Class A1, 6.679% (3-Month Term SOFR + 1.362%) due 7/20/31(a)(c) | | | 480,127 | |
| | 250,000 | | | AAA | | Series 2019-16A, Class AR, 6.587% (3-Month Term SOFR + 1.262%) due 4/10/33(a)(c) | | | 250,071 | |
| | 1,000,000 | | | AAA | | Octagon Investment Partners 46 Ltd., Series 2020-2A, Class AR, 6.736%
(3-Month Term SOFR + 1.422%) due 7/15/36(a)(c) | | | 1,002,451 | |
| | 609,000 | | | AAA | | One New York Plaza Trust, Series 2020-1NYP, Class A, 6.382%
(1-Month Term SOFR + 1.064%) due 1/15/36(a)(c) | | | 592,933 | |
| | | | | | OneMain Financial Issuance Trust: | | | | |
| | 1,650,000 | | | AAA | | Series 2023-1A, Class A, 5.500% due 6/14/38(a) | | | 1,668,122 | |
| | 1,019,000 | | | AAA | | Series 2023-2A, Class A2, 6.825% (30-Day Average SOFR + 1.500%) due 9/15/36(a)(c) | | | 1,032,121 | |
| | 2,487,935 | | | AAA(e) | | Onslow Bay Mortgage Loan Trust, Series 2021-NQM4, Class A1, 1.957% due 10/25/61(a)(c) | | | 2,059,253 | |
| | 162,667 | | | Aaa(b) | | OPEN Trust, Series 2023-AIR, Class A, 8.407%
(1-Month Term SOFR + 3.089%) due 10/15/28(a)(c)(g) | | | 163,471 | |
| | 138,494 | | | BB+ | | Option One Mortgage Loan Trust, Series 2004-3, Class M1, 6.215%
(1-Month Term SOFR + 0.894%) due 11/25/34(c) | | | 136,886 | |
| | | | | | Palmer Square CLO Ltd.: | | | | |
| | 414,486 | | | AAA | | Series 2014-1A, Class A1R2, 6.708% (3-Month Term SOFR + 1.392%) due 1/17/31(a)(c) | | | 414,984 | |
| | 958,747 | | | AAA | | Series 2018-2A, Class A1A, 6.676% (3-Month Term SOFR + 1.362%) due 7/16/31(a)(c) | | | 960,185 | |
| | 540,000 | | | AAA | | Series 2022-4A, Class A1A, 7.468% (3-Month Term SOFR + 2.150%) due 10/20/35(a)(c) | | | 543,639 | |
| | | | | | PFS Financing Corp.: | | | | |
| | 190,000 | | | AAA | | Series 2021-A, Class A, 0.710% due 4/15/26(a) | | | 188,787 | |
| | 1,050,000 | | | AAA | | Series 2022-C, Class A, 3.890% due 5/15/27(a) | | | 1,030,652 | |
| | 788,000 | | | AAA | | Series 2022-D, Class A, 4.270% due 8/15/27(a) | | | 775,541 | |
| | 1,931,000 | | | AAA | | Series 2023-A, Class A, 5.800% due 3/15/28(a) | | | 1,953,397 | |
| | 633,000 | | | AAA | | Series 2023-C, Class A, 5.520% due 10/15/28(a) | | | 634,020 | |
| | 1,875,000 | | | AAA | | Series 2024-B, Class A, 4.950% due 2/15/29(a) | | | 1,872,350 | |
| | | | | | PMT Credit Risk Transfer Trust: | | | | |
| | 236,236 | | | NR | | Series 2019-2R, Class A, 9.193% (1-Month Term SOFR + 3.864%) due 5/30/25(a)(c) | | | 236,596 | |
| | 127,068 | | | NR | | Series 2019-3R, Class A, 9.135% (30-Day Average SOFR + 3.814%) due 11/27/31(a)(c) | | | 126,905 | |
| | 1,330,736 | | | NR | | PRET LLC, Series 2022-RN2, Class A1, step bond to yield, 5.000% due 6/25/52(a) | | | 1,300,752 | |
| | 426,947 | | | WR(b) | | Prime Mortgage Trust, Series 2006-DR1, Class 2A1, 5.500% due 5/25/35(a) | | | 386,812 | |
| | | | | | PRKCM Trust: | | | | |
| | 770,000 | | | BBB | | Series 2022-AFC2, Class M1, 6.213% due 8/25/57(a)(c) | | | 750,146 | |
| | 745,864 | | | AAA | | Series 2023-AFC1, Class A1, step bond to yield, 6.598% due 2/25/58(a) | | | 753,941 | |
| | 666,000 | | | NR | | Progress Residential, Series 2021-SFR1, Class G, 3.861% due 4/17/38(a) | | | 604,443 | |
| | 2,900,000 | | | NR | | Progress Residential Trust, Series 2021-SFR9, Class F, 4.053% due 11/17/40(a) | | | 2,483,767 | |
| | | | | | PRPM LLC: | | | | |
| | 623,536 | | | NR | | Series 2021-11, Class A1, step bond to yield, 2.487% due 11/25/26(a) | | | 611,584 | |
| | 855,574 | | | AAA(e) | | Series 2022-NQM1, Class A1, step bond to yield, 5.500% due 8/25/67(a) | | | 871,850 | |
| | 506,288 | | | AAA(e) | | Series 2024-RCF1, Class A1, step bond to yield, 4.000% due 1/25/54(a) | | | 485,563 | |
| | 513,065 | | | AAA | | Race Point VIII CLO Ltd., Series 2013-8A, Class AR2, 6.621%
(3-Month Term SOFR + 1.302%) due 2/20/30(a)(c) | | | 512,859 | |
See Notes to Financial Statements.
174
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| COLLATERALIZED MORTGAGE OBLIGATIONS — 11.2% — (continued) | |
| $ | 500,000 | | | Aaa(b) | | Rad CLO 16 Ltd., Series 2022-16A, Class A1, 7.564%
(3-Month Term SOFR + 2.250%) due 10/15/34(a)(c) | | $ | 500,535 | |
| | 1,220,000 | | | Aaa(b) | | Rad CLO 22 Ltd., Series 2023-22A, Class A1, 7.202%
(3-Month Term SOFR + 1.830%) due 1/20/37(a)(c) | | | 1,223,006 | |
| | 767,705 | | | Aaa(b) | | Ready Capital Mortgage Financing LLC, Series 2021-FL7, Class A, 6.635%
(1-Month Term SOFR + 1.314%) due 11/25/36(a)(c) | | | 763,155 | |
| | 723,980 | | | Aaa(b) | | Regatta X Funding Ltd., Series 2017-3A, Class A, 6.698%
(3-Month Term SOFR + 1.382%) due 1/17/31(a)(c) | | | 724,990 | |
| | 1,100,000 | | | AA | | Regatta XII Funding Ltd., Series 2019-1A, Class BR, 7.176%
(3-Month Term SOFR + 1.862%) due 10/15/32(a)(c) | | | 1,101,013 | |
| | 84,568 | | | Caa2(b) | | Residential Asset Securitization Trust, Series 2005-A15, Class 1A4, 5.750% due 2/25/36 | | | 77,768 | |
| | 850,000 | | | NR | | RIAL Issuer Ltd., Series 2022-FL8, Class D, 10.071%
(1-Month Term SOFR + 4.750%) due 1/19/37(a)(c) | | | 796,128 | |
| | 250,000 | | | AAA | | RRX 1 Ltd., Series 2020-1A, Class A1, 6.946%
(3-Month Term SOFR + 1.632%) due 4/15/33(a)(c) | | | 250,462 | |
| | 259,325 | | | NR | | SBA Small Business Investment Cos., Series 2018-10B, Class 1, 3.548% due 9/10/28 | | | 244,104 | |
| | | | | | Seasoned Credit Risk Transfer Trust: | | | | |
| | 66,039 | | | NR | | Series 2018-2, Class MA, 3.500% due 11/25/57 | | | 62,411 | |
| | 790,000 | | | BB(e) | | Series 2019-1, Class M, 4.750% due 7/25/58(a)(c) | | | 741,991 | |
| | 224,539 | | | NR | | Series 2019-2, Class MA, 3.500% due 8/25/58 | | | 209,835 | |
| | 210,000 | | | BBB(e) | | Series 2020-2, Class M, 4.250% due 11/25/59(a)(c) | | | 194,842 | |
| | 432,099 | | | A+ | | Sequoia Mortgage Trust, Series 2003-1, Class 1A, 6.194%
(1-Month Term SOFR + 0.874%) due 4/20/33(c) | | | 406,093 | |
| | 250,000 | | | AAA | | Signal Peak CLO 12 Ltd., Series 2022-12A, Class A1, 6.838%
(3-Month Term SOFR + 1.540%) due 7/18/34(a)(c) | | | 250,200 | |
| | 310,000 | | | AAA | | Silver Rock CLO I Ltd., Series 2020-1A, Class AR, 1.833%
(3-Month Term SOFR + 1.780%) due 10/20/33(a)(c) | | | 310,171 | |
| | 330,000 | | | AAA(e) | | SLG Office Trust, Series 2021-OVA, Class A, 2.585% due 7/15/41(a) | | | 271,000 | |
| | 310,000 | | | NR | | Soho Trust, Series 2021-SOHO, Class B, 2.697% due 8/10/38(a)(c) | | | 197,074 | |
| | | | | | SREIT Trust: | | | | |
| | 1,062,118 | | | AAA | | Series 2021-MFP, Class A, 6.163% (1-Month Term SOFR + 0.845%) due 11/15/38(a)(c) | | | 1,057,985 | |
| | 1,240,000 | | | BB+ | | Series 2021-PALM, Class E, 7.342% (1-Month Term SOFR + 2.024%) due 10/15/34(a)(c) | | | 1,208,102 | |
| | 791,243 | | | NR | | Stonepeak ABS, Series 2021-1A, Class AA, 2.301% due 2/28/33(a) | | | 736,602 | |
| | 250,000 | | | Aaa(b) | | Storm King Park CLO Ltd., Series 2022-1A, Class A1, 7.364%
(3-Month Term SOFR + 2.050%) due 10/15/35(a)(c) | | | 251,777 | |
| | 42,904 | | | AA+ | | Structured Asset Mortgage Investments II Trust, Series 2005-AR5, Class A3, 5.934%
(1-Month Term SOFR + 0.614%) due 7/19/35(c) | | | 39,436 | |
| | 850,000 | | | Aaa(b) | | STWD Ltd., Series 2022-FL3, Class A, 6.675%
(30-Day Average SOFR + 1.350%) due 11/15/38(a)(c) | | | 835,832 | |
| | 367,679 | | | NR | | Sunrun Atlas Issuer LLC, Series 2019-2, Class A, 3.610% due 2/1/55(a) | | | 335,880 | |
| | 1,090,000 | | | AAA | | Symphony CLO 40 Ltd., Series 2023-40A, Class A1, 6.984%
(3-Month Term SOFR + 1.640%) due 1/14/34(a)(c) | | | 1,090,795 | |
| | 1,015,000 | | | AAA(e) | | Taubman Centers Commercial Mortgage Trust, Series 2022-DPM, Class A, 7.504%
(1-Month Term SOFR + 2.186%) due 5/15/37(a)(c) | | | 1,019,055 | |
| | 176,294 | | | AAA | | TCI-Flatiron CLO Ltd., Series 2016-1A, Class AR3, 6.417%
(3-Month Term SOFR + 1.100%) due 1/17/32(a)(c) | | | 176,175 | |
| | | | | | Towd Point Mortgage Trust: | | | | |
| | 760,000 | | | Baa1(b) | | Series 2015-2, Class 1B3, 3.684% due 11/25/60(a)(c) | | | 657,355 | |
| | 770,000 | | | A2(b) | | Series 2016-5, Class B2, 3.792% due 10/25/56(a)(c) | | | 671,377 | |
| | 307,694 | | | AAA(e) | | Series 2020-2, Class A1A, 1.636% due 4/25/60(a)(c) | | | 272,426 | |
| | 250,000 | | | AAA | | Trinitas CLO XVIII Ltd., Series 2021-18A, Class A1, 6.749%
(3-Month Term SOFR + 1.432%) due 1/20/35(a)(c) | | | 249,525 | |
| | | | | | UBS Commercial Mortgage Trust: | | | | |
| | 340,000 | | | AA-(e) | | Series 2018-C11, Class B, 4.713% due 6/15/51(c) | | | 297,918 | |
| | 470,000 | | | Aaa(b) | | Series 2019-C17, Class A3, 2.669% due 10/15/52 | | | 413,090 | |
See Notes to Financial Statements.
175
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| COLLATERALIZED MORTGAGE OBLIGATIONS — 11.2% — (continued) | |
| $ | 906,140 | | | NR | | Velocity Commercial Capital Loan Trust, Series 2019-1, Class A, 3.760% due 3/25/49(a)(c) | | $ | 841,435 | |
| | 570,000 | | | AAA | | Venture 41 CLO Ltd., Series 2021-41A, Class A1N, 6.909%
(3-Month Term SOFR + 1.592%) due 1/20/34(a)(c) | | | 571,780 | |
| | | | | | Verus Securitization Trust: | | | | |
| | 723,243 | | | AAA | | Series 2021-5, Class A1, 1.013% due 9/25/66(a)(c) | | | 604,190 | |
| | 2,568,244 | | | AAA | | Series 2021-7, Class A1, 1.829% due 10/25/66(a)(c) | | | 2,203,391 | |
| | 789,595 | | | A | | Series 2022-7, Class A3, 5.350% due 7/25/67(a)(c) | | | 782,506 | |
| | 265,851 | | | A | | Series 2023-3, Class A3, step bond to yield, 6.743% due 3/25/68(a) | | | 267,243 | |
| | 91,557 | | | AAA | | Virginia Housing Development Authority, Revenue Bonds, Series C, 6.000% due 6/25/34 | | | 90,354 | |
| | 719,057 | | | NR | | VOLT XCIX LLC, Series 2021-NPL8, Class A1, step bond to yield, 2.116% due 4/25/51(a) | | | 699,982 | |
| | | | | | Voya CLO Ltd.: | | | | |
| | 466,922 | | | Aaa(b) | | Series 2014-2A, Class A1RR, 6.598% (3-Month Term SOFR + 1.282%) due 4/17/30(a)(c) | | | 468,010 | |
| | 350,000 | | | Aaa(b) | | Series 2022-4A, Class A, 7.468% (3-Month Term SOFR + 2.150%) due 10/20/33(a)(c) | | | 350,551 | |
| | 548,328 | | | A+ | | WaMu Mortgage Pass-Through Certificates Trust, Series 2005-AR19, Class A1B3, 6.135%
(1-Month Term SOFR + 0.814%) due 12/25/45(c) | | | 537,543 | |
| | 260,169 | | | Ca(b) | | Washington Mutual Mortgage Pass-Through Certificates WMALT, Series 2007-OA2, Class 2A, 5.781% (1-Year Treasury Average Rate + 0.700%) due 1/25/47(c) | | | 204,599 | |
| | | | | | Wells Fargo Commercial Mortgage Trust: | | | | |
| | 1,000,000 | | | Aa2(b) | | Series 2015-C28, Class AS, 3.872% due 5/15/48(c) | | | 945,987 | |
| | 150,000 | | | Aaa(b) | | Series 2015-LC20, Class A5, 3.184% due 4/15/50 | | | 145,814 | |
| | 211,889 | | | AAA | | Series 2016-BNK1, Class ASB, 2.514% due 8/15/49 | | | 206,144 | |
| | 384,614 | | | Aaa(b) | | Series 2016-C33, Class A3, 3.162% due 3/15/59 | | | 367,532 | |
| | 9,948,442 | | | Aaa(b) | | Series 2018-C43, Class XA, 0.585% due 3/15/51(c)(l) | | | 196,583 | |
| | 250,000 | | | Aaa(b) | | Series 2018-C44, Class A4, 3.948% due 5/15/51 | | | 236,828 | |
| | 3,264,733 | | | Aaa(b) | | Series 2019-C52, Class XA, 1.601% due 8/15/52(c)(l) | | | 194,321 | |
| | 180,000 | | | AAA | | Series 2019-C54, Class A4, 3.146% due 12/15/52 | | | 161,111 | |
| | 98,250 | | | Aaa(b) | | Wells Fargo Mortgage-Backed Securities Trust, Series 2019-4, Class A2, 3.000% due 9/25/49(a)(c) | | | 83,544 | |
| | 320,000 | | | AAA | | WISE CLO Ltd., Series 2023-2A, Class A, 7.161%
(3-Month Term SOFR + 1.800%) due 1/15/37(a)(c) | | | 320,447 | |
| | | | | | | | | | |
| | | | | | TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost — $221,147,324) | | | 212,109,790 | |
| | | | | | | | | | |
|
| ASSET-BACKED SECURITIES — 2.2% | |
| |
| Automobiles — 1.0% | | | |
| | | | | | Avis Budget Rental Car Funding AESOP LLC: | | | | |
| | 780,000 | | | Aaa(b) | | Series 2023-5A, Class A, 5.780% due 4/20/28(a) | | | 788,315 | |
| | 320,000 | | | Aaa(b) | | Series 2024-1A, Class A, 5.360% due 6/20/30(a) | | | 321,392 | |
| | 320,000 | | | Baa3(b) | | Series 2024-1A, Class C, 6.480% due 6/20/30(a) | | | 323,795 | |
| | 1,522,000 | | | AAA | | Capital One Prime Auto Receivables Trust, Series 2022-2, Class A3, 3.660% due 5/17/27 | | | 1,492,039 | |
| | 559,304 | | | Aaa(b) | | Chesapeake Funding II LLC, Series 2023-2A, Class A1, 6.160% due 10/15/35(a) | | | 562,330 | |
| | | | | | Credit Acceptance Auto Loan Trust: | | | | |
| | 95,938 | | | AAA | | Series 2021-3A, Class A, 1.000% due 5/15/30(a) | | | 95,077 | |
| | 318,099 | | | AAA | | Series 2021-4, Class A, 1.260% due 10/15/30(a) | | | 312,928 | |
| | | | | | Enterprise Fleet Financing LLC: | | | | |
| | 1,287,000 | | | AAA | | Series 2023-2, Class A2, 5.560% due 4/22/30(a) | | | 1,288,383 | |
| | 277,000 | | | AAA | | Series 2023-2, Class A3, 5.500% due 4/22/30(a) | | | 274,671 | |
| | | | | | Ford Credit Auto Owner Trust: | | | | |
| | 748,000 | | | AAA | | Series 2023-1, Class A, 4.850% due 8/15/35(a) | | | 743,241 | |
| | 1,238,000 | | | Aaa(b) | | Series 2023-2, Class A, 5.280% due 2/15/36(a) | | | 1,251,677 | |
| | 1,185,000 | | | AAA | | Series 2024-1, Class A, 4.870% due 8/15/36(a) | | | 1,187,046 | |
| | | | | | Ford Credit Floorplan Master Owner Trust A: | | | | |
| | 583,000 | | | AAA | | Series 2018-4, Class A, 4.060% due 11/15/30 | | | 561,646 | |
| | 2,288,000 | | | Aaa(b) | | Series 2023-1, Class A1, 4.920% due 5/15/28(a) | | | 2,281,733 | |
| | 1,491,000 | | | Aaa(b) | | GM Financial Revolving Receivables Trust, Series 2023-2, Class A, 5.770% due 8/11/36(a) | | | 1,539,650 | |
See Notes to Financial Statements.
176
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| |
| Automobiles — 1.0% — (continued) | | | |
| $ | 515,795 | | | Aaa(b) | | Honda Auto Receivables Owner Trust, Series 2021-4, Class A3, 0.880% due 1/21/26 | | $ | 502,167 | |
| | | | | | Hyundai Auto Receivables Trust: | | | | |
| | 945,000 | | | AAA | | Series 2022-B, Class A4, 3.800% due 8/15/28 | | | 920,823 | |
| | 354,000 | | | AAA | | Series 2023-C, Class A3, 5.540% due 10/16/28 | | | 357,895 | |
| | 245,000 | | | Aaa(b) | | Navistar Financial Dealer Notes Master Owner Trust II, Series 2023-1, Class A, 6.180% due 8/25/28(a) | | | 244,877 | |
| | | | | | Porsche Financial Auto Securitization Trust: | | | | |
| | 1,322,000 | | | AAA | | Series 2023-1A, Class A3, 4.810% due 9/22/28(a) | | | 1,312,368 | |
| | 531,000 | | | AAA | | Series 2023-2A, Class A3, 5.790% due 1/22/29(a) | | | 538,316 | |
| | 1,308,000 | | | Aaa(b) | | Santander Drive Auto Receivables Trust, Series 2023-5, Class A3, 6.020% due 9/15/28 | | | 1,311,671 | |
| | | | | | | | | | |
| | | | | | Total Automobiles | | | 18,212,040 | |
| | | | | | | | | | |
| |
| Credit Cards — 0.3% | | | |
| | | | | | American Express Credit Account Master Trust: | | | | |
| | 3,100,000 | | | AAA | | Series 2022-2, Class A, 3.390% due 5/15/27 | | | 3,034,258 | |
| | 118,000 | | | Aaa(b) | | Series 2022-3, Class A, 3.750% due 8/15/27 | | | 115,693 | |
| | 275,000 | | | AAA | | Series 2023-2, Class A, 4.800% due 5/15/30 | | | 275,210 | |
| | 462,000 | | | AAA | | Capital One Multi-Asset Execution Trust, Series 2022-A3, Class A, 4.950% due 10/15/27 | | | 460,772 | |
| | 2,081,000 | | | AAA | | Citibank Credit Card Issuance Trust, Series 2017-A6, Class A6, 6.205%
(1-Month Term SOFR + 0.884%) due 5/14/29(c) | | | 2,102,529 | |
| | | | | | | | | | |
| | | | | | Total Credit Cards | | | 5,988,462 | |
| | | | | | | | | | |
| |
| Student Loans — 0.9% | | | |
| | | | | | College Ave Student Loans LLC: | | | | |
| | 152,323 | | | AAA | | Series 2019-A, Class A1, 6.835% (1-Month Term SOFR + 1.514%) due 12/28/48(a)(c) | | | 152,011 | |
| | 101,549 | | | AAA | | Series 2019-A, Class A2, 3.280% due 12/28/48(a) | | | 93,350 | |
| | 275,336 | | | AAA | | Series 2023-A, Class A2, 5.330% due 5/25/55(a) | | | 266,655 | |
| | | | | | ECMC Group Student Loan Trust: | | | | |
| | 134,157 | | | Aaa(b) | | Series 2016-1A, Class A, 6.786% (30-Day Average SOFR + 1.464%) due 7/26/66(a)(c) | | | 134,911 | |
| | 940,094 | | | Aaa(b) | | Series 2017-2A, Class A, 6.486% (30-Day Average SOFR + 1.164%) due 5/25/67(a)(c) | | | 937,594 | |
| | 298,278 | | | Aaa(b) | | Edsouth Indenture No 9 LLC, Series 2015-1, Class A, 6.236%
(30-Day Average SOFR + 0.914%) due 10/25/56(a)(c) | | | 295,991 | |
| | 677,246 | | | AAA | | ELFI Graduate Loan Program LLC, Series 2023-A, Class A, 6.370% due 2/4/48(a) | | | 693,013 | |
| | | | | | Navient Private Education Loan Trust: | | | | |
| | 329,173 | | | AAA | | Series 2014-AA, Class A3, 7.032% (1-Month Term SOFR + 1.714%) due 10/15/31(a)(c) | | | 330,027 | |
| | 26,387 | | | AAA | | Series 2018-BA, Class A2A, 3.610% due 12/15/59(a) | | | 25,806 | |
| | | | | | Navient Private Education Refi Loan Trust: | | | | |
| | 356,560 | | | AAA | | Series 2019-CA, Class A2, 3.130% due 2/15/68(a) | | | 342,898 | |
| | 289,898 | | | AAA | | Series 2019-D, Class A2A, 3.010% due 12/15/59(a) | | | 273,330 | |
| | 351,137 | | | AAA | | Series 2019-D, Class A2B, 6.482% (1-Month Term SOFR + 1.164%) due 12/15/59(a)(c) | | | 350,109 | |
| | 803,734 | | | AAA | | Series 2020-CA, Class A2A, 2.150% due 11/15/68(a) | | | 744,693 | |
| | 361,095 | | | AAA | | Series 2020-IA, Class A1B, 6.432% (1-Month Term SOFR + 1.114%) due 4/15/69(a)(c) | | | 359,613 | |
| | 1,048,954 | | | Aaa(b) | | Series 2021-EA, Class A, 0.970% due 12/16/69(a) | | | 900,617 | |
| | 944,629 | | | Aaa(b) | | Series 2021-FA, Class A, 1.110% due 2/18/70(a) | | | 802,278 | |
| | 837,550 | | | Aaa(b) | | Series 2023-A, Class A, 5.510% due 10/15/71(a) | | | 820,671 | |
| | | | | | Navient Student Loan Trust: | | | | |
| | 1,100,938 | | | AA+ | | Series 2017-3A, Class A3, 6.486% (30-Day Average SOFR + 1.164%) due 7/26/66(a)(c) | | | 1,105,679 | |
| | 476,374 | | | Aaa(b) | | Series 2023-BA, Class A1B, 7.025% (30-Day Average SOFR + 1.700%) due 3/15/72(a)(c) | | | 481,667 | |
| | | | | | Nelnet Student Loan Trust: | | | | |
| | 717,126 | | | AA+ | | Series 2006-1, Class A6, 6.034% (3-Month Term SOFR + 0.712%) due 8/23/36(a)(c) | | | 709,254 | |
| | 122,920 | | | Aaa(b) | | Series 2021-A, Class APT1, 1.360% due 4/20/62(a) | | | 111,350 | |
| | 272,289 | | | AAA | | SLM Private Education Loan Trust, Series 2010-C, Class A5, 10.182%
(1-Month Term SOFR + 4.864%) due 10/15/41(a)(c) | | | 292,917 | |
| | 550,649 | | | AA+ | | SLM Student Loan Trust, Series 2003-10A, Class A4, 6.283%
(90-Day Average SOFR + 0.931%) due 12/17/68(a)(c) | | | 545,176 | |
See Notes to Financial Statements.
177
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| |
| Student Loans — 0.9% — (continued) | | | |
| | | | | | SMB Private Education Loan Trust: | | | | |
| $ | 5,784 | | | Aaa(b) | | Series 2016-A, Class A2A, 2.700% due 5/15/31(a) | | $ | 5,701 | |
| | 46,287 | | | AAA | | Series 2017-B, Class A2A, 2.820% due 10/15/35(a) | | | 44,830 | |
| | 27,351 | | | AAA | | Series 2017-B, Class A2B, 6.182% (1-Month Term SOFR + 0.864%) due 10/15/35(a)(c) | | | 27,263 | |
| | 125,507 | | | AAA | | Series 2018-A, Class A2B, 6.232% (1-Month Term SOFR + 0.914%) due 2/15/36(a)(c) | | | 125,088 | |
| | 151,063 | | | Aaa(b) | | Series 2018-B, Class A2A, 3.600% due 1/15/37(a) | | | 146,593 | |
| | 190,988 | | | AAA | | Series 2018-C, Class A2B, 6.182% (1-Month Term SOFR + 0.864%) due 11/15/35(a)(c) | | | 189,766 | |
| | 51,376 | | | AAA | | Series 2020-A, Class A2B, 6.262% (1-Month Term SOFR + 0.944%) due 9/15/37(a)(c) | | | 51,085 | |
| | 404,527 | | | AAA | | Series 2020-PTB, Class A2A, 1.600% due 9/15/54(a) | | | 367,113 | |
| | 848,369 | | | Aaa(b) | | Series 2021-A, Class A2B, 1.590% due 1/15/53(a) | | | 758,993 | |
| | 229,336 | | | Aa2(b) | | Series 2021-A, Class B, 2.310% due 1/15/53(a) | | | 213,689 | |
| | 267,258 | | | Aaa(b) | | Series 2022-A, Class APT, 2.850% due 11/16/54(a) | | | 244,761 | |
| | 907,121 | | | Aaa(b) | | Series 2022-D, Class A1B, 7.125% (30-Day Average SOFR + 1.800%) due 10/15/58(a)(c) | | | 920,414 | |
| | 1,027,924 | | | Aaa(b) | | Series 2023-A, Class A1B, 6.825% (30-Day Average SOFR + 1.500%) due 1/15/53(a)(c) | | | 1,037,856 | |
| | 2,058,869 | | | Aaa(b) | | Series 2023-B, Class A1B, 7.125% (30-Day Average SOFR + 1.800%) due 10/16/56(a)(c) | | | 2,099,675 | |
| | 331,732 | | | Aaa(b) | | Series 2023-C, Class A1A, 5.670% due 11/15/52(a) | | | 334,560 | |
| | 497,141 | | | Aaa(b) | | Series 2023-C, Class A1B, 6.875% (30-Day Average SOFR + 1.550%) due 11/15/52(a)(c) | | | 496,616 | |
| | | | | | | | | | |
| | | Total Student Loans | | | 17,833,613 | |
| | | | | | | | | | |
| | | | | | TOTAL ASSET-BACKED SECURITIES
(Cost — $42,229,842) | | | 42,034,115 | |
| | | | | | | | | | |
|
| SOVEREIGN BONDS — 1.8% | |
|
| Argentina — 0.0%@ | |
| | | | | | Argentine Republic Government International Bonds: | | | | |
| | 64,372 | | | CCC- | | 1.000% due 7/9/29 | | | 29,927 | |
| | 8,700 | | | CCC- | | step bond to yield, 0.750% due 7/9/30 | | | 4,009 | |
| | 1,815,000 | | | CCC- | | Provincia de Buenos Aires/Government Bonds, step bond to yield, 6.375% due 9/1/37 | | | 705,581 | |
| | 251,800 | | | CCC- | | Provincia de Buenos Aires/Government Bonds, step bond to yield, 6.375% due 9/1/37(a) | | | 97,887 | |
| | | | | | | | | | |
| | | | | | Total Argentina | | | 837,404 | |
| | | | | | | | | | |
| |
| Brazil — 0.0%@ | | | |
| | 400,000 | | | BB | | Brazilian Government International Bonds, 6.125% due 3/15/34 | | | 395,860 | |
| | | | | | | | | | |
| |
| Chile — 0.0%@ | | | |
| | | | | | Chile Government International Bonds: | | | | |
| | 350,000 | | | A | | 2.450% due 1/31/31 | | | 298,327 | |
| | 45,000 | | | A | | 2.550% due 1/27/32 | | | 37,941 | |
| | | | | | | | | | |
| | | | | | Total Chile | | | 336,268 | |
| | | | | | | | | | |
| |
| Colombia — 0.1% | | | |
| | | | | | Colombia Government International Bonds: | | | | |
| | 220,000 | | | BB+ | | 8.125% due 5/21/24 | | | 220,990 | |
| | 280,000 | | | BB+ | | 3.875% due 4/25/27 | | | 264,181 | |
| | 140,000 | | | BB+ | | 3.000% due 1/30/30 | | | 114,968 | |
| | 315,000 | | | BB+ | | 3.125% due 4/15/31 | | | 249,411 | |
| | 200,000 | | | BB+ | | 3.250% due 4/22/32 | | | 154,562 | |
| | 200,000 | | | BB+ | | 8.000% due 4/20/33 | | | 209,475 | |
| | 930,000 | | | BB+ | | 4.125% due 2/22/42 | | | 622,282 | |
| | | | | | | | | | |
| | | | | | Total Colombia | | | 1,835,869 | |
| | | | | | | | | | |
| |
| Dominican Republic — 0.0%@ | | | |
| | 200,000 | | | BB | | Dominican Republic International Bonds, 4.500% due 1/30/30(a) | | | 181,950 | |
| | | | | | | | | | |
| |
| Guatemala — 0.0%@ | | | |
| | 200,000 | | | BB | | Guatemala Government Bonds, 5.250% due 8/10/29 | | | 192,750 | |
| | | | | | | | | | |
See Notes to Financial Statements.
178
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| Hungary — 0.0%@ | | | |
| $ | 200,000 | | | BBB- | | Hungary Government International Bonds, 2.125% due 9/22/31 | | $ | 156,722 | |
| | | | | | | | | | |
| |
| Indonesia — 0.1% | | | |
| | | | | | Indonesia Government International Bonds: | | | | |
| | 80,000 | | | BBB | | 4.100% due 4/24/28 | | | 77,357 | |
| | 445,000 | | | BBB | | 2.850% due 2/14/30 | | | 395,448 | |
| | 320,000 | | | BBB | | 2.150% due 7/28/31 | | | 262,412 | |
| | 100,000 | | | BBB | | 7.750% due 1/17/38(a) | | | 122,587 | |
| | | | | | | | | | |
| | | | | | Total Indonesia | | | 857,804 | |
| | | | | | | | | | |
| |
| Israel — 0.0%@ | | | |
| | 200,000 | | | AA- | | Israel Government International Bonds, 2.750% due 7/3/30 | | | 171,289 | |
| | | | | | | | | | |
| |
| Kenya — 0.1% | | | |
| | 520,000 | | | B | | Kenya Government International Bonds, 6.300% due 1/23/34(a) | | | 410,120 | |
| | 540,000 | | | B | | Republic of Kenya Government International Bonds, 9.750% due 2/16/31(a) | | | 540,083 | |
| | | | | | | | | | |
| | | | | | Total Kenya | | | 950,203 | |
| | | | | | | | | | |
| |
| Mexico — 1.2% | | | |
| | | | | | Mexican Bonos: | | | | |
| | 22,540,000 | MXN | | BBB+ | | 8.500% due 5/31/29 | | | 1,288,869 | |
| | 47,930,000 | MXN | | BBB+ | | 7.750% due 11/23/34 | | | 2,548,511 | |
| | 203,975,700 | MXN | | BBB+ | | 7.750% due 11/13/42 | | | 10,347,598 | |
| | 84,090,000 | MXN | | BBB+ | | 8.000% due 11/7/47 | | | 4,322,820 | |
| | | | | | Mexico Government International Bonds: | | | | |
| | 200,000 | | | BBB | | 4.150% due 3/28/27 | | | 195,125 | |
| | 323,000 | | | BBB | | 3.750% due 1/11/28 | | | 306,290 | |
| | 572,000 | | | BBB | | 4.500% due 4/22/29 | | | 551,034 | |
| | 964,000 | | | BBB | | 2.659% due 5/24/31 | | | 799,051 | |
| | 1,260,000 | | | BBB | | 3.500% due 2/12/34 | | | 1,042,788 | |
| | 200,000 | | | BBB | | 6.350% due 2/9/35 | | | 205,072 | |
| | 210,000 | | | BBB | | 4.750% due 3/8/44 | | | 173,508 | |
| | 425,000 | | | BBB | | 4.600% due 2/10/48 | | | 336,078 | |
| | | | | | | | | | |
| | | | | | Total Mexico | | | 22,116,744 | |
| | | | | | | | | | |
| |
| Nigeria — 0.0%@ | | | |
| | 260,000 | | | B- | | Nigeria Government International Bonds, 7.143% due 2/23/30(a) | | | 230,100 | |
| | | | | | | | | | |
| |
| Oman — 0.0%@ | | | |
| | 200,000 | | | Ba1(b) | | Oman Government International Bonds, 5.625% due 1/17/28 | | | 200,500 | |
| | | | | | | | | | |
| |
| Panama — 0.1% | | | |
| | | | | | Panama Government International Bonds: | | | | |
| | 210,000 | | | BBB | | 3.875% due 3/17/28 | | | 190,732 | |
| | 500,000 | | | BBB | | 3.160% due 1/23/30 | | | 412,667 | |
| | 200,000 | | | BBB | | 2.252% due 9/29/32 | | | 140,715 | |
| | 1,150,000 | | | BBB | | 3.298% due 1/19/33 | | | 872,420 | |
| | 10,000 | | | BBB | | 4.500% due 4/1/56 | | | 6,336 | |
| | | | | | | | | | |
| | | | | | Total Panama | | | 1,622,870 | |
| | | | | | | | | | |
| |
| Paraguay — 0.0%@ | | | |
| | 200,000 | | | BB+ | | Paraguay Government International Bonds, 4.950% due 4/28/31 | | | 192,062 | |
| | | | | | | | | | |
| |
| Peru — 0.1% | | | |
| | | | | | Peruvian Government International Bonds: | | | | |
| | 900,000 | | | BBB | | 2.783% due 1/23/31 | | | 767,172 | |
| | 70,000 | | | BBB | | 6.550% due 3/14/37 | | | 75,518 | |
| | 240,000 | | | BBB | | 5.625% due 11/18/50 | | | 238,154 | |
See Notes to Financial Statements.
179
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| |
| Peru — 0.1% — (continued) | | | |
| $ | 190,000 | | | BBB | | 2.780% due 12/1/60 | | $ | 109,095 | |
| | | | | | | | | | |
| | | | | | Total Peru | | | 1,189,939 | |
| | | | | | | | | | |
| |
| Philippines — 0.1% | | | |
| | | | | | Philippine Government International Bonds: | | | | |
| | 400,000 | | | BBB+ | | 3.000% due 2/1/28 | | | 371,933 | |
| | 560,000 | | | BBB+ | | 1.648% due 6/10/31 | | | 444,769 | |
| | 550,000 | | | BBB+ | | 1.950% due 1/6/32 | | | 438,126 | |
| | | | | | | | | | |
| | | | | | Total Philippines | | | 1,254,828 | |
| | | | | | | | | | |
| |
| Poland — 0.0%@ | | | |
| | 170,000 | | | A- | | Republic of Poland Government International Bonds, 4.875% due 10/4/33 | | | 166,728 | |
| | | | | | | | | | |
| |
| South Africa — 0.0%@ | | | |
| | 300,000 | | | BB- | | Republic of South Africa Government International Bonds, 5.875% due 4/20/32 | | | 271,155 | |
| | | | | | | | | | |
| |
| United Arab Emirates — 0.0%@ | | | |
| | 200,000 | | | BBB- | | Finance Department Government of Sharjah, 6.500% due 11/23/32(a) | | | 205,919 | |
| | | | | | | | | | |
| |
| Uruguay — 0.0%@ | | | |
| | 23,333 | | | BBB+ | | Uruguay Government International Bonds, 4.500% due 8/14/24 | | | 23,241 | |
| | | | | | | | | | |
| | | | | | TOTAL SOVEREIGN BONDS
(Cost — $34,739,070) | | | 33,390,205 | |
| | | | | | | | | | |
|
| SENIOR LOANS — 1.0% | |
| | 158,384 | | | NR | | Acrisure LLC, (Cost — $156,336, acquired 2/2/23), 9.691%
(1-Month USD-LIBOR + 4.250%) due 2/15/27(c)(f) | | | 158,945 | |
| | 147,750 | | | NR | | Air Canada, (Cost — $147,173, acquired 7/27/21), 8.935%
(1-Month CME Term SOFR + 3.500%) due 8/11/28(c)(f) | | | 148,161 | |
| | 215,505 | | | NR | | Ali Group North America Corp., (Cost — $214,079, acquired 10/13/21), 7.441%
(1-Month CME Term SOFR + 2.000%) due 7/30/29(c)(f) | | | 215,586 | |
| | 248,087 | | | NR | | AlixPartners LLP, (Cost — $246,716, acquired 6/12/23), 7.941%
(1-Month CME Term SOFR + 2.500%) due 2/4/28(c)(f) | | | 248,351 | |
| | 807,924 | | | NR | | Allied Universal Holdco LLC, (Cost — $801,983, acquired 9/14/23), 9.176%
(1-Month CME Term SOFR + 3.750%) due 5/12/28(c)(f) | | | 805,718 | |
| | 152,451 | | | NR | | Alterra Mountain Co., (Cost — $152,332, acquired 3/27/19), 8.941%
(1-Month CME Term SOFR + 3.500%) due 8/17/28(c)(f) | | | 152,855 | |
| | | | | | AmWINS Group Inc.: | | | | |
| | 248,083 | | | NR | | (Cost — $246,454, acquired 6/12/23), 7.691%
(1-Month CME Term SOFR + 2.250%) due 2/19/28(c)(f) | | | 247,359 | |
| | 59,400 | | | NR | | (Cost — $58,893, acquired 2/10/23), 8.191%
(1-Month CME Term SOFR + 2.750%) due 2/19/28(c)(f) | | | 59,469 | |
| | 178,182 | | | NR | | Apple Bidco LLC, (Cost — $178,182, acquired 2/2/23), 8.191%
(1-Month CME Term SOFR + 2.750%) due 9/22/28(c)(f) | | | 177,715 | |
| | 482,543 | | | NR | | Ascensus Group Holdings Inc., (Cost — $474,199, acquired 6/12/23), 8.941%
(1-Month CME Term SOFR + 3.500%) due 8/2/28(c)(f) | | | 480,009 | |
| | | | | | Asurion LLC: | | | | |
| | 296,355 | | | NR | | (Cost — $295,386, acquired 4/10/19), 8.691%
(1-Month CME Term SOFR + 3.250%) due 12/23/26(c)(f) | | | 295,038 | |
| | 116,700 | | | NR | | (Cost — $116,085, acquired 1/29/21), 8.691%
(1-Month CME Term SOFR + 3.250%) due 7/31/27(c)(f) | | | 115,095 | |
| | 172,046 | | | NR | | (Cost — $171,785, acquired 2/15/23), 9.676%
(1-Month CME Term SOFR + 4.250%) due 8/19/28(c)(f) | | | 171,401 | |
| | 526,868 | | | NR | | athenahealth Group Inc., (Cost — $525,067, acquired 1/27/22), 8.576%
(1-Month CME Term SOFR + 3.250%) due 2/15/29(c)(f) | | | 523,657 | |
| | 549,463 | | | NR | | Avolon TLB Borrower 1 LLC, (Cost — $550,663, acquired 1/18/24), 7.820%
(1-Month CME Term SOFR + 2.500%) due 6/22/28(c)(f) | | | 550,070 | |
| | 930,000 | | | NR | | Boost Newco Borrower LLC, (Cost — $928,443, acquired 9/20/23), 8.326%
(1-Month CME Term SOFR + 3.000%) due 1/31/31(c)(f) | | | 934,650 | |
See Notes to Financial Statements.
180
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| SENIOR LOANS — 1.0% — (continued) | |
| $ | 214,702 | | | NR | | Brown Group Holding LLC, (Cost — $214,529, acquired 11/9/21), 8.176%
(1-Month CME Term SOFR + 2.750%) due 6/7/28(c)(f) | | $ | 214,153 | |
| | | | | | Caesars Entertainment Inc.: | | | | |
| | 39,700 | | | NR | | (Cost — $39,700, acquired 2/1/23), 8.663%
(3-Month CME Term SOFR + 3.250%) due 2/6/30(c)(f) | | | 39,810 | |
| | 800,000 | | | NR | | (Cost — $798,022, acquired 1/24/24), 8.040%
(3-Month CME Term SOFR + 2.750%) due 2/6/31(c)(f) | | | 800,336 | |
| | | | | | Charter Communications Operating LLC: | | | | |
| | 112,509 | | | NR | | (Cost — $112,861, acquired 2/7/20), 7.076%
(3-Month CME Term SOFR + 1.750%) due 2/1/27(c)(f) | | | 112,254 | |
| | 337,155 | | | NR | | (Cost — $337,576, acquired 12/7/23), 7.329%
(3-Month CME Term SOFR + 2.000%) due 12/7/30(c)(f) | | | 332,098 | |
| | 340,743 | | | NR | | Citadel Securities LP, (Cost — $340,696, acquired 1/30/24), 7.576%
(1-Month CME Term SOFR + 2.250%) due 7/29/30(c)(f) | | | 340,864 | |
| | 129,675 | | | NR | | Clarios Global LP, (Cost — $130,096, acquired 1/12/24), 8.326%
(1-Month CME Term SOFR + 3.000%) due 5/6/30(c)(f) | | | 129,939 | |
| | 82,855 | | | NR | | Cloudera Inc., (Cost — $82,327, acquired 8/10/21), 9.176%
(1-Month CME Term SOFR + 3.750%) due 10/8/28(c)(f) | | | 82,596 | |
| | 244,263 | | | NR | | Coherent Corp., (Cost — $243,017, acquired 12/8/21), 8.191%
(1-Month CME Term SOFR + 2.750%) due 7/2/29(c)(f) | | | 244,751 | |
| | 1,140,000 | | | NR | | Cotiviti Holdings Inc., (Cost — $1,134,300, acquired 2/22/24) due 2/24/31(f)(n) | | | 1,137,150 | |
| | 523,818 | | | NR | | DCert Buyer Inc., (Cost — $521,752, acquired 6/12/23), 9.326%
(1-Month CME Term SOFR + 4.000%) due 10/16/26(c)(f) | | | 520,693 | |
| | 248,072 | | | NR | | Deerfield Dakota Holding LLC, (Cost — $239,199, acquired 6/12/23), 9.098%
(3-Month CME Term SOFR + 3.750%) due 4/9/27(c)(f) | | | 245,487 | |
| | 387,341 | | | NR | | EMRLD Borrower LP, (Cost — $387,220, acquired 2/6/24), 7.790%
(3-Month CME Term SOFR + 2.500%) due 5/31/30(c)(f) | | | 386,954 | |
| | 55,493 | | | NR | | First Eagle Holdings Inc., (Cost — $55,631, acquired 4/5/19), 7.948%
(3-Month CME Term SOFR + 2.500%) due 2/1/27(c)(f) | | | 55,397 | |
| | 720,000 | | | NR | | Flutter Entertainment Public Limited Co., (Cost — $718,266, acquired 11/17/23), 7.698% (3-Month CME Term SOFR + 2.250%) due 11/25/30(c)(f) | | | 718,276 | |
| | 210,846 | | | NR | | Focus Financial Partners LLC, (Cost — $211,353, acquired 1/18/24), 8.076%
(1-Month CME Term SOFR + 2.750%) due 6/30/28(c)(f) | | | 209,792 | |
| | 106,967 | | | NR | | Gainwell Acquisition Corp., (Cost — $106,131, acquired 2/12/21), 9.448%
(3-Month CME Term SOFR + 4.000%) due 10/1/27(c)(f) | | | 102,555 | |
| | 75,577 | | | NR | | Garda World Security Corp., (Cost — $75,772, acquired 2/2/24), 9.625%
(3-Month CME Term SOFR + 4.250%) due 2/1/29(c)(f) | | | 75,685 | |
| | 533,052 | | | NR | | Genesee & Wyoming Inc., (Cost — $531,644, acquired 12/14/22), 7.448%
(3-Month CME Term SOFR + 2.000%) due 12/30/26(c)(f) | | | 533,665 | |
| | 357,886 | | | NR | | Grifols Worldwide Operations Ltd., (Cost — $348,400, acquired 12/14/22), 7.426%
(1-Month CME Term SOFR + 2.000%) due 11/15/27(c)(f) | | | 351,667 | |
| | 555,763 | | | NR | | Harbor Freight Tools USA Inc., (Cost — $549,201, acquired 5/3/23), 8.191%
(1-Month CME Term SOFR + 2.750%) due 10/19/27(c)(f) | | | 552,671 | |
| | | | | | Icon Public Limited Co.: | | | | |
| | 188,775 | | | NR | | (Cost — $188,194, acquired 6/16/21), 7.860%
(3-Month CME Term SOFR + 2.250%) due 7/3/28(c)(f) | | | 189,259 | |
| | 47,033 | | | NR | | (Cost — $46,889, acquired 6/16/21), 7.860%
(3-Month CME Term SOFR + 2.250%) due 7/3/28(c)(f) | | | 47,154 | |
| | 342,508 | | | NR | | Jazz Pharmaceuticals Public Limited Co., (Cost — $343,318, acquired 1/19/24), 8.441%
(1-Month CME Term SOFR + 3.000%) due 5/5/28(c)(f) | | | 343,364 | |
| | 354,600 | | | NR | | Light and Wonder International Inc., (Cost — $355,738, acquired 1/16/24), 8.070%
(1-Month CME Term SOFR + 2.750%) due 4/14/29(c)(f) | | | 355,449 | |
| | 621,382 | | | NR | | Medline Borrower LP, (Cost — $617,570, acquired 9/30/21), 8.441%
(1-Month CME Term SOFR + 3.000%) due 10/23/28(c)(f) | | | 622,159 | |
| | 239,423 | | | NR | | Nexstar Media Inc., (Cost — $238,729, acquired 8/16/19), 7.941%
(1-Month CME Term SOFR + 2.500%) due 9/18/26(c)(f) | | | 239,190 | |
| | 91,588 | | | NR | | PCI Gaming Authority, (Cost — $91,717, acquired 5/15/19), 7.941%
(1-Month CME Term SOFR + 2.500%) due 5/29/26(c)(f) | | | 91,741 | |
See Notes to Financial Statements.
181
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| SENIOR LOANS — 1.0% — (continued) | |
| $ | 452,509 | | | NR | | Peraton Corp., (Cost — $445,563, acquired 12/14/22), 9.176%
(1-Month CME Term SOFR + 3.750%) due 2/1/28(c)(f) | | $ | 453,545 | |
| | 137,077 | | | NR | | QUIKRETE Holdings Inc., (Cost — $137,346, acquired 9/7/23), 8.191%
(1-Month CME Term SOFR + 2.750%) due 3/19/29(c)(f) | | | 137,305 | |
| | 248,125 | | | NR | | Sedgwick Claims Management Services Inc., (Cost — $245,907, acquired 6/12/23), 9.076% (1-Month CME Term SOFR + 3.750%) due 2/24/28(c)(f) | | | 248,774 | |
| | 400,000 | | | NR | | Setanta Aircraft Leasing DAC, (Cost — $399,330, acquired 11/2/21), 7.610%
(3-Month CME Term SOFR + 2.000%) due 11/5/28(c)(f) | | | 400,918 | |
| | | | | | Sotera Health Holdings LLC: | | | | |
| | 360,000 | | | NR | | (Cost — $362,813, acquired 1/20/21), 8.191%
(1-Month CME Term SOFR + 2.750%) due 12/11/26(c)(f) | | | 359,325 | |
| | 497,500 | | | NR | | (Cost — $497,500, acquired 6/12/23), 9.071%
(1-Month CME Term SOFR + 3.750%) due 12/11/26(c)(f) | | | 499,057 | |
| | 285,570 | | | NR | | Station Casinos LLC, (Cost — $281,756, acquired 12/14/22), 7.676%
(1-Month CME Term SOFR + 2.250%) due 2/8/27(c)(f) | | | 285,391 | |
| | 388,996 | | | NR | | UFC Holdings LLC, (Cost — $391,913, acquired 4/30/19), 8.336%
(3-Month CME Term SOFR + 2.750%) due 4/29/26(c)(f) | | | 389,867 | |
| | 143,917 | | | NR | | VFH Parent LLC, (Cost — $143,725, acquired 1/7/22), 8.426%
(1-Month CME Term SOFR + 3.000%) due 1/13/29(c)(f) | | | 144,097 | |
| | 430,000 | | | NR | | Virgin Media Bristol LLC, (Cost — $428,903, acquired 4/30/19), 7.932%
(1-Month CME Term SOFR + 2.500%) due 1/31/28(c)(f) | | | 426,629 | |
| | | | | | | | | | |
| | | | | | TOTAL SENIOR LOANS
(Cost — $17,658,382) | | | 17,704,096 | |
| | | | | | | | | | |
|
| MUNICIPAL BONDS — 0.3% | |
|
| California — 0.1% | |
| | 310,000 | | | AA- | | California Health Facilities Financing Authority, Revenue Bonds, 3.000% due 8/15/51 | | | 247,611 | |
| | 600,000 | | | AA- | | California State University, Revenue Bonds, Series B, 5.060% due 11/1/36 | | | 602,917 | |
| | 205,000 | | | AA- | | Los Angeles Department of Water & Power, Revenue Bonds, 6.574% due 7/1/45 | | | 239,076 | |
| | | | | | University of California, Revenue Bonds: | | | | |
| | 90,000 | | | AA | | Series BF, 2.650% due 5/15/50 | | | 58,838 | |
| | 25,000 | | | AA | | Series AD, 4.858% due 5/15/12 | | | 22,973 | |
| | 266,000 | | | AA | | Series AQ, 4.767% due 5/15/15 | | | 239,865 | |
| | | | | | | | | | |
| | | | | | Total California | | | 1,411,280 | |
| | | | | | | | | | |
| |
| Connecticut — 0.0%@ | | | |
| | 300,000 | | | AA- | | State of Connecticut, Series A, GO, 5.850% due 3/15/32 | | | 312,660 | |
| | | | | | | | | | |
| |
| Minnesota — 0.0%@ | | | |
| | 260,000 | | | AA | | University of Minnesota, Revenue Bonds, 4.048% due 4/1/52 | | | 227,008 | |
| | | | | | | | | | |
| |
| New Jersey — 0.0%@ | | | |
| | 400,000 | | | Aa3(b) | | Jersey City Municipal Utilities Authority, Revenue Bonds, Series B, 5.470% due 5/15/27 | | | 404,911 | |
| | 85,000 | | | A- | | New Jersey Transportation Trust Fund Authority, Revenue Bonds, Series B, 6.561% due 12/15/40 | | | 92,817 | |
| | | | | | | | | | |
| | | | | | Total New Jersey | | | 497,728 | |
| | | | | | | | | | |
| |
| New York — 0.1% | | | |
| | | | | | City of New York, GO: | | | | |
| | 375,000 | | | AA | | Series A, 3.000% due 8/1/34 | | | 317,807 | |
| | 500,000 | | | AA | | Series G-1, 5.968% due 3/1/36 | | | 531,470 | |
| | | | | | New York City Transitional Finance Authority Future Tax Secured Revenue, Revenue Bonds: | | | | |
| | 755,000 | | | AAA | | 5.508% due 8/1/37 | | | 772,063 | |
| | 80,000 | | | AAA | | Series A-1, 5.000% due 11/1/42 | | | 80,045 | |
| | | | | | New York State Dormitory Authority, Revenue Bonds: | | | | |
| | 350,000 | | | AA+ | | 5.289% due 3/15/33 | | | 351,510 | |
| | 160,000 | | | AA+ | | Unrefunded Portion, 5.628% due 3/15/39 | | | 165,709 | |
| | | | | | | | | | |
| | | | | | Total New York | | | 2,218,604 | |
| | | | | | | | | | |
See Notes to Financial Statements.
182
| | | | | | | | | | |
| Core Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| MUNICIPAL BONDS — 0.3% — (continued) | |
| |
| Texas — 0.1% | | | |
| $ | 350,000 | | | AA- | | North Texas Tollway Authority, Revenue Bonds, Series A, 2.530% due 1/1/35 | | $ | 278,350 | |
| | | | | | State of Texas, GO: | | | | |
| | 70,000 | | | AAA | | Series B, 2.754% due 10/1/41 | | | 51,430 | |
| | 770,000 | | | AAA | | 3.824% due 10/1/33 | | | 714,612 | |
| | | | | | | | | | |
| | | | | | Total Texas | | | 1,044,392 | |
| | | | | | | | | | |
| | | | | | TOTAL MUNICIPAL BONDS
(Cost — $6,289,065) | | | 5,711,672 | |
| | | | | | | | | | |
| | | |
| Shares/Units | | | | | | | | |
|
| COMMON STOCK — 0.0%@ | |
| |
| Telecommunications — 0.0%@ | | | |
| | 11,289 | | | | | Intelsat SA*(h)
(Cost — $848,528) | | | 309,392 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS
(Cost — $1,747,603,760) | | | 1,654,339,385 | |
| | | | | | | | | | |
| | | |
Face
Amount/Units† | | | | | | | | |
|
| SHORT-TERM INVESTMENTS — 8.2% | |
| |
| TIME DEPOSITS — 4.6% | | | |
| $ | 31,357,749 | | | | | ANZ National Bank — London, 4.680% due 3/1/24 | | | 31,357,749 | |
| | 344,697 | GBP | | | | BBH — New York, 4.150% due 3/1/24 | | | 435,146 | |
| | 609,567 | AUD | | | | BNP Paribas — Paris, 3.100% due 3/1/24 | | | 396,188 | |
| | 664,416 | EUR | | | | Citibank — London, 2.820% due 3/1/24 | | | 718,101 | |
| | 53,201,780 | | | | | Citibank — New York, 4.680% due 3/1/24 | | | 53,201,780 | |
| | 419 | | | | | JPMorgan Chase & Co. — New York, 4.680% due 3/1/24 | | | 419 | |
| | 6,276,625 | JPY | | | | Sumitomo Mitsui Banking Corp. — Tokyo, (0.420)% due 3/1/24 | | | 41,868 | |
| | | | | | | | | | |
| | | | | | TOTAL TIME DEPOSITS
(Cost — $86,151,251) | | | 86,151,251 | |
| | | | | | | | | | |
|
| U.S. GOVERNMENT OBLIGATIONS — 3.6% | |
| | | U.S. Treasury Bills: | | | | |
| | 3,750,000 | | | | | 5.468% due 3/28/24(o) | | | 3,735,025 | |
| | 13,320,000 | | | | | 5.327% due 4/2/24(o) | | | 13,258,018 | |
| | 8,550,000 | | | | | 5.322% due 4/9/24(o) | | | 8,501,552 | |
| | 18,200,000 | | | | | 5.304% due 4/16/24(o) | | | 18,078,762 | |
| | 2,735,000 | | | | | 5.311% due 4/23/24(o) | | | 2,713,982 | |
| | 14,220,000 | | | | | 5.354% due 5/16/24(o) | | | 14,063,506 | |
| | 8,620,000 | | | | | 5.300% due 6/6/24(o) | | | 8,500,002 | |
| | | | | | | | | | |
| | | | | | TOTAL U.S. GOVERNMENT OBLIGATIONS
(Cost — $68,850,847) | | | 68,850,847 | |
| | | | | | | | | | |
| | | | | | TOTAL SHORT-TERM INVESTMENTS
(Cost — $155,002,098) | | | 155,002,098 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS IN SECURITIES
(Cost — $1,902,605,858) | | | 1,809,341,483 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS IN PURCHASED OPTIONS 0.0%
(Cost — $168,308) | | | 45,874 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS — 95.8%
(Cost — $1,902,774,166) | | | 1,809,387,357 | |
| | | | | | | | | | |
| | | | | | Other Assets in Excess of Liabilities — 4.2% | | | 79,397,189 | |
| | | | | | | | | | |
| | | | | | TOTAL NET ASSETS — 100.0% | | $ | 1,888,784,546 | |
| | | | | | | | | | |
See Notes to Financial Statements.
183
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
| †† | All ratings are by Standard & Poor’s Rating Service, unless otherwise noted. |
| * | Non-income producing security. |
| @ | The amount is less than 0.05%. |
| (a) | Restricted security that may be sold to “qualified institutional buyers” pursuant to the conditions of Rule 144A under the Securities Act of 1933, as amended. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees, unless otherwise noted. The aggregate value of restricted 144A holdings at February 29, 2024, amounts to $285,750,605 and represents 15.1% of net assets. |
| (b) | Rating by Moody’s Investors Service. |
| (c) | Variable rate security. Interest rate disclosed is that which was in effect at February 29, 2024. |
| (d) | Security is perpetual in nature and has no stated maturity date. |
| (e) | Rating by Fitch Ratings Service. |
| (f) | The aggregate value of restricted securities (excluding 144A holdings) at February 29, 2024, amounts to $17,975,838 and represents 1.0% of net assets. |
| (g) | Security is valued in good faith at fair value by or under the direction of the Board of Trustees. |
| (i) | Security is currently in default. |
| (j) | Principal only security. |
| (k) | This security is traded on a TBA basis (see Note 1). |
| (l) | Interest only security. |
| (m) | Inverse Floating Rate Security - interest rate fluctuates with an inverse relationship to an associated interest rate. Indicated rate is the effective rate as of February 29, 2024. |
| (n) | 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. |
| (o) | Rate shown represents yield-to-maturity. |
| # | Security that used significant unobservable inputs to determine fair value. At February 29, 2024, the Fund held Level 3 securities in the amount of $0, representing 0.0% of net assets. |
At February 29, 2024, for Core Fixed Income Fund the aggregate cost of investments, the aggregate gross unrealized appreciation and depreciation of all investments for federal income tax purposes were as follows:
| | | | | | | | | | | | | | | | |
| Fund | | Aggregate Cost For
Federal Income
Tax Purposes | | | Gross
Unrealized
Appreciation | | | Gross
Unrealized
(Depreciation) | | | Net
Unrealized
(Depreciation) | |
Core Fixed Income Fund | | $ | 1,902,774,166 | | | $ | 20,195,437 | | | $ | (110,026,863) | | | $ | (89,831,426) | |
| | |
Abbreviations used in this schedule: |
| ABS | | — Asset-Backed Security |
| ACES | | — Alternative Credit Enhancement Securities |
| CDO | | — Collateralized Debt Obligation |
| CLO | | — Collateralized Loan Obligation |
| CME | | — Chicago Mercantile Exchange |
| CMT | | — Constant Maturity Treasury Rate |
| DAC | | — Designated Activity Company |
| GO | | — General Obligation |
| IBOR | | — Interbank Offered Rate |
| ICE | | — Intercontinental Exchange |
| LIBOR | | — London Interbank Offered Rate |
| LLC | | — Limited Liability Company |
| PAM | | — Paid at Maturity |
| PLC | | — Public Limited Company |
| REMICS | | — Real Estate Mortgage Investment Conduits |
| SOFR | | — Secured Overnight Financing Rate |
See Notes to Financial Statements.
184
| | | | |
| Summary of Investments by Security Type^ | | | |
Corporate Bonds & Notes | | | 26.3 | % |
U.S. Government Agencies & Obligations | | | 25.7 | |
Mortgage-Backed Securities | | | 22.2 | |
Collateralized Mortgage Obligations | | | 11.7 | |
Asset-Backed Securities | | | 2.3 | |
Sovereign Bonds | | | 1.9 | |
Senior Loans | | | 1.0 | |
Municipal Bonds | | | 0.3 | |
Common Stock | | | 0.0 | * |
Purchased Options | | | 0.0 | * |
Short-Term Investments | | | 8.6 | |
| | | | |
Total Investments | | | 100.0 | % |
| | | | |
| ^ | As a percentage of total investments. |
| * | Position represents less than 0.05%. |
At February 29, 2024, Core Fixed Income Fund held the following Options Contracts Purchased:
Currency Option
| | | | | | | | | | | | | | | | | | | | | | | | |
Number of
Contracts | | | Notional
Amount† | | | Security Name | | Counterparty | | | Expiration
Date | | | Strike Price | | | Value | |
| | 6,312,999 | | | $ | 6,312,999 | | | OTC U.S. Dollar versus Euro, Call | | | CITI | | | | 3/11/24 | | | | EUR 1.08 | | | $ | 25,877 | |
Options on Futures
| | | | | | | | | | | | | | | | | | | | | | | | |
Number of
Contracts | | | Notional
Amount† | | | Security Name | | Counterparty | | | Expiration
Date | | | Strike Price | | | Value | |
| | 252 | | | $ | 59,649,975 | | | 3-Month SOFR Futures, Put | | | GSC | | | | 3/15/24 | | | $ | 94.50 | | | $ | 1,575 | |
| | 125 | | | | 29,653,125 | | | 3-Month SOFR Futures, Put | | | GSC | | | | 4/12/24 | | | $ | 94.75 | | | | 9,375 | |
| | 277 | | | | 29,608,703 | | | U.S. Treasury 5-Year Note Futures, Call | | | GSC | | | | 3/1/24 | | | $ | 107.25 | | | | 6,492 | |
| | 277 | | | | 29,608,703 | | | U.S. Treasury 5-Year Note Futures, Put | | | GSC | | | | 3/1/24 | | | $ | 106.25 | | | | 277 | |
| | 137 | | | | 15,117,094 | | | U.S. Treasury Note Futures, Call | | | GSC | | | | 3/1/24 | | | $ | 111.00 | | | | 2,141 | |
| | 137 | | | | 15,117,094 | | | U.S. Treasury Note Futures, Put | | | GSC | | | | 3/1/24 | | | $ | 109.50 | | | | 137 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | Total Options on Futures | | | | | | | | | | | | | | | 19,997 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | TOTAL OPTIONS CONTRACTS PURCHASED
(Cost — $168,308) | | | | | | | | | | | | | | $ | 45,874 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
See Notes to Financial Statements.
185
At February 29, 2024, 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 | |
| | 50 | | | $ | 11,899,375 | | | 3-Month SOFR Futures, Call | | | GSC | | | | 9/13/24 | | | $ | 96.88 | | | $ | 5,313 | |
| | 194 | | | | 46,169,575 | | | 3-Month SOFR Futures, Call | | | GSC | | | | 9/13/24 | | | $ | 97.00 | | | | 18,188 | |
| | 92 | | | | 9,833,938 | | | U.S. Treasury 5-Year Note Futures, Call | | | GSC | | | | 3/1/24 | | | $ | 106.75 | | | | 19,406 | |
| | 92 | | | | 9,833,938 | | | U.S. Treasury 5-Year Note Futures, Put | | | GSC | | | | 3/1/24 | | | $ | 106.75 | | | | 5,031 | |
| | 46 | | | | 5,075,813 | | | U.S. Treasury Note Futures, Call | | | GSC | | | | 3/1/24 | | | $ | 110.25 | | | | 12,937 | |
| | 46 | | | | 5,075,813 | | | U.S. Treasury Note Futures, Put | | | GSC | | | | 3/1/24 | | | $ | 110.25 | | | | 4,313 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | TOTAL OPTIONS CONTRACTS WRITTEN
(Premiums received — $254,701) | | | | | | | | | | | | | | $ | 65,188 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
At February 29, 2024, Core Fixed Income Fund held the following Forward Sale Commitments:
| | | | | | | | |
Face
Amounts† | | | Security | | Value | |
| | | | Federal National Mortgage Association (FNMA): | | | | |
| $ | 1,600,000 | | | 2.500% due 4/1/54(a) | | $ | 1,314,625 | |
| | 1,300,000 | | | 3.500% due 4/1/54(a) | | | 1,156,990 | |
| | | | | | | | |
| | | | TOTAL FORWARD SALE COMMITMENTS
(Proceeds — $2,457,270) | | $ | 2,471,615 | |
| | | | | | | | |
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
| (a) | This security is traded on a TBA basis (see Note 1). |
At February 29, 2024, 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: | | | | | | | | | | | | | | | | | | | | |
3-Month SOFR Futures | | | 400 | | | | 3/26 | | | $ | 96,094,408 | | | $ | 96,285,000 | | | $ | 190,592 | |
Euro-OAT Futures | | | 24 | | | | 3/24 | | | | 3,321,774 | | | | 3,312,176 | | | | (9,598 | ) |
U.S. Treasury 2-Year Note Futures | | | 770 | | | | 6/24 | | | | 157,678,383 | | | | 157,657,500 | | | | (20,883 | ) |
U.S. Treasury 5-Year Note Futures | | | 168 | | | | 6/24 | | | | 17,956,313 | | | | 17,960,251 | | | | 3,938 | |
U.S. Treasury 10-Year Note Futures | | | 1,593 | | | | 6/24 | | | | 175,667,760 | | | | 175,926,938 | | | | 259,178 | |
U.S. Treasury Long Bond Futures | | | 16 | | | | 6/24 | | | | 1,890,025 | | | | 1,908,000 | | | | 17,975 | |
U.S. Treasury Ultra Long Bond Futures | | | 272 | | | | 6/24 | | | | 34,481,509 | | | | 34,782,000 | | | | 300,491 | |
United Kingdom Treasury 10-Year Gilt Futures | | | 20 | | | | 6/24 | | | | 2,477,586 | | | | 2,476,576 | | | | (1,010 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 740,683 | |
| | | | | | | | | | | | | | | | | | | | |
| Contracts to Sell: | | | | | | | | | | | | | | | | | | | | |
3-Month SOFR Futures | | | 157 | | | | 3/24 | | | | 37,166,879 | | | | 37,149,144 | | | | 17,735 | |
3-Month SOFR Futures | | | 48 | | | | 6/24 | | | | 11,348,916 | | | | 11,362,200 | | | | (13,284 | ) |
Euro-Bund Futures | | | 55 | | | | 3/24 | | | | 7,966,685 | | | | 7,885,247 | | | | 81,438 | |
Japan Government 10-Year Bond Futures | | | 6 | | | | 3/24 | | | | 5,811,293 | | | | 5,853,717 | | | | (42,424 | ) |
U.S. Treasury 5-Year Note Futures | | | 529 | | | | 6/24 | | | | 56,437,657 | | | | 56,553,407 | | | | (115,750 | ) |
U.S. Treasury Long Bond Futures | | | 289 | | | | 6/24 | | | | 34,340,941 | | | | 34,463,250 | | | | (122,309 | ) |
U.S. Ultra Long Bond Futures | | | 288 | | | | 6/24 | | | | 32,796,883 | | | | 32,881,500 | | | | (84,617 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | (279,211 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Unrealized Appreciation on Open Exchange-Traded Futures Contracts | | | | | | | | | | | | | | | | | | $ | 461,472 | |
| | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
186
At February 29, 2024, Core Fixed Income Fund had deposited cash of $7,362,213 with a broker or brokers as margin collateral on open exchange-traded futures contracts.
At February 29, 2024, 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 | | | 13,625,708 | | | | USD | | | | 9,135,819 | | | | CITI | | | $ | 8,869,148 | | | | 4/19/24 | | | $ | (266,671 | ) |
Canadian Dollar | | | 7,977,188 | | | | USD | | | | 5,960,621 | | | | CITI | | | | 5,881,984 | | | | 4/19/24 | | | | (78,637 | ) |
Euro | | | 1,227,509 | | | | USD | | | | 1,352,692 | | | | CITI | | | | 1,329,296 | | | | 4/19/24 | | | | (23,396 | ) |
Euro | | | 1,994,908 | | | | USD | | | | 2,164,914 | | | | CITI | | | | 2,156,867 | | | | 3/13/24 | | | | (8,047 | ) |
Japanese Yen | | | 1,517,887,380 | | | | USD | | | | 10,653,112 | | | | CITI | | | | 10,201,940 | | | | 4/19/24 | | | | (451,172 | ) |
Mexican Peso | | | 408,256 | | | | USD | | | | 23,760 | | | | CITI | | | | 23,765 | | | | 4/19/24 | | | | 5 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | (827,918) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Contracts to Sell: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
British Pound | | | 2,768,520 | | | | USD | | | | 3,530,029 | | | | CITI | | | | 3,495,977 | | | | 4/19/24 | | | | 34,052 | |
Canadian Dollar | | | 1,350,000 | | | | USD | | | | 1,010,449 | | | | CITI | | | | 995,423 | | | | 4/19/24 | | | | 15,026 | |
Chinese Offshore Renminbi | | | 23,253,932 | | | | USD | | | | 3,268,572 | | | | CITI | | | | 3,236,761 | | | | 4/19/24 | | | | 31,811 | |
Euro | | | 1,989,120 | | | | NOK | | | | 22,551,645 | | | | CITI | | | | 2,154,060 | | | | 4/19/24 | | | | (27,905 | ) |
Euro | | | 1,430,000 | | | | USD | | | | 1,541,325 | | | | CITI | | | | 1,548,578 | | | | 4/19/24 | | | | (7,253 | ) |
Euro | | | 700,000 | | | | USD | | | | 753,052 | | | | CITI | | | | 758,045 | | | | 4/19/24 | | | | (4,993 | ) |
Euro | | | 690,000 | | | | USD | | | | 745,713 | | | | CITI | | | | 747,216 | | | | 4/19/24 | | | | (1,503 | ) |
Euro | | | 190,000 | | | | USD | | | | 206,057 | | | | CITI | | | | 205,755 | | | | 4/19/24 | | | | 302 | |
Euro | | | 1,520,000 | | | | USD | | | | 1,656,847 | | | | CITI | | | | 1,646,041 | | | | 4/19/24 | | | | 10,806 | |
Euro | | | 1,510,000 | | | | USD | | | | 1,646,285 | | | | CITI | | | | 1,635,212 | | | | 4/19/24 | | | | 11,073 | |
Indonesian Rupiah | | | 12,639,653,173 | | | | USD | | | | 806,203 | | | | CITI | | | | 803,284 | | | | 4/19/24 | | | | 2,919 | |
Indonesian Rupiah | | | 5,811,377,513 | | | | USD | | | | 373,602 | | | | CITI | | | | 369,329 | | | | 4/19/24 | | | | 4,273 | |
Mexican Peso | | | 32,068,257 | | | | USD | | | | 1,838,377 | | | | CITI | | | | 1,866,783 | | | | 4/19/24 | | | | (28,406 | ) |
Mexican Peso | | | 5,869,985 | | | | USD | | | | 339,553 | | | | CITI | | | | 341,708 | | | | 4/19/24 | | | | (2,155 | ) |
Mexican Peso | | | 4,200,000 | | | | USD | | | | 243,955 | | | | CITI | | | | 244,493 | | | | 4/19/24 | | | | (538 | ) |
Mexican Peso | | | 1,870,000 | | | | USD | | | | 108,421 | | | | CITI | | | | 108,858 | | | | 4/19/24 | | | | (437 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | 37,072 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Unrealized Depreciation on Open Forward Foreign Currency Contracts | | | | | | | | | | | | | | | | | | | | | | | | | | $ | (790,846 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
At February 29, 2024, Core Fixed Income Fund held the following OTC Interest Rate Swap Contract:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Pay/Receive
Floating Rate | | Floating Rate Index | | Fixed
Rate | | | Maturity
Date | | | Payment
Frequency | | | Counterparty | | | Notional
Amount | | | Market
Value | | | Upfront
Payment
Paid/
(Received) | | | Unrealized
Depreciation | |
| Pay | | BRL-CDI-Compounded | | | 10.238% | | | | 1/2/29 | | | | PAM | | | | CITI | | | | BRL 48,580,000 | | | $ | (117,955 | ) | | $ | — | | | $ | (117,955 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
187
At February 29, 2024, Core Fixed Income Fund held the following Centrally Cleared Interest Rate Swap Contracts:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Pay/Receive
Floating Rate | | Floating Rate Index | | Fixed
Rate | | | Maturity
Date | | | Payment
Frequency | | | Notional
Amount | | | Market
Value | | | Upfront
Payment
Paid/
(Received) | | | Unrealized
Appreciation | |
| Receive | | SOFR | | | 2.600% | | | | 2/15/48 | | | | 12-Month | | | | USD | | | | 4,007,000 | | | $ | 732,548 | | | $ | 316,204 | | | $ | 416,344 | |
| Receive | | SOFR | | | 3.050% | | | | 2/15/48 | | | | 12-Month | | | | USD | | | | 6,560,000 | | | | 737,727 | | | | 283,232 | | | | 454,495 | |
| Receive | | SOFR | | | 3.150% | | | | 5/15/48 | | | | 12-Month | | | | USD | | | | 3,644,000 | | | | 411,242 | | | | 22,942 | | | | 388,300 | |
| Receive | | SOFR | | | 3.540% | | | | 10/31/30 | | | | 12-Month | | | | USD | | | | 20,818,000 | | | | 469,205 | | | | 60,474 | | | | 408,731 | |
| Receive | | SOFR | | | 3.870% | | | | 2/28/31 | | | | 12-Month | | | | USD | | | | 11,158,000 | | | | (11,360 | ) | | | (14,216 | ) | | | 2,856 | |
| Receive | | SOFR | | | 1.520% | | | | 2/15/47 | | | | 12-Month | | | | USD | | | | 6,584,000 | | | | 2,262,205 | | | | 269,538 | | | | 1,992,667 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | $ | 4,601,567 | | | $ | 938,174 | | | $ | 3,663,393 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
At February 29, 2024, Core Fixed Income Fund held the following Centrally Cleared Credit Default Swap Contracts:
Centrally Cleared — Credit Default Swap on Index — Buy Protection (1)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Obligation & Rating | | Fixed Deal
(Pay) Rate | | | Maturity
Date | | | Payment
Frequency | | | Implied Credit
Spread at
2/29/24 (2) | | Notional
Amount (3) | | | Market
Value | | | Upfront
Payment
(Received) | | | Unrealized
Depreciation | |
Markit CDX North America High Yield Series 41 5-Year Index, NR | | | (5.000 | )% | | | 12/20/28 | | | | 3-Month | | | 3.391% | | | USD | | | | 2,869,317 | | | $ | (209,838 | ) | | $ | (18,945 | ) | | $ | (190,893 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Centrally Cleared — Credit Default Swap on Index — Sell Protection (4)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Obligation & Rating | | Fixed Deal
Receive Rate | | | Maturity
Date | | | Payment
Frequency | | | Implied Credit
Spread at
2/29/24 (2) | | Notional
Amount (3) | | | Market
Value | | | Upfront
Payment
Paid | | | Unrealized
Appreciation | |
Markit CDX North America Investment Grade Series 41 5-Year Index, NR | | | 1.000 | % | | | 12/20/28 | | | | 3-Month | | | 0.522% | | | USD | | | | 37,778,700 | | | $ | 851,857 | | | $ | 496,813 | | | $ | 355,044 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (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. |
See Notes to Financial Statements.
188
At February 29, 2024, Core Fixed Income Fund deposited cash collateral with brokers in the amount of $1,875,990 for open centrally cleared swap contracts.
| | | | | | |
Currency Abbreviations used in this schedule: | | Counterparty Abbreviations used in this schedule: |
| AUD | | — Australian Dollar | | CITI | | — Citigroup Global Markets Inc. |
| BRL | | — Brazilian Real | | GSC | | — Goldman Sachs & Co. |
| EUR | | — Euro | | | | |
| GBP | | — British Pound | | | | |
| INR | | — Indian Rupee | | | | |
| JPY | | — Japanese Yen | | | | |
| MXN | | — Mexican Peso | | | | |
| NOK | | — Norwegian Krone | | | | |
| USD | | — United States Dollar | | | | |
See pages 264-265 for definitions of ratings.
See Notes to Financial Statements.
189
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| CORPORATE BONDS & NOTES — 89.2% | |
| |
| Advertising — 0.1% | | | |
| $ | 200,000 | | | CCC | | Clear Channel Outdoor Holdings Inc., Company Guaranteed Notes, 7.500% due 6/1/29(a) | | $ | 166,000 | |
| |
| Aerospace/Defense — 1.0% | | | |
| | 190,000 | | | BB | | AAR Escrow Issuer LLC, Senior Unsecured Notes, 6.750% due 3/15/29(a) | | | 192,031 | |
| | | | | | Bombardier Inc., Senior Unsecured Notes: | | | | |
| | 250,000 | | | B | | 7.875% due 4/15/27(a) | | | 250,474 | |
| | 230,000 | | | B | | 8.750% due 11/15/30(a) | | | 241,220 | |
| | 240,000 | | | BB+ | | Rolls-Royce PLC, Company Guaranteed Notes, 5.750% due 10/15/27(a) | | | 239,702 | |
| | | | | | TransDigm Inc., Senior Secured Notes: | | | | |
| | 300,000 | | | B+ | | 6.750% due 8/15/28(a) | | | 303,970 | |
| | 100,000 | | | B+ | | 7.125% due 12/1/31(a) | | | 102,707 | |
| | 60,000 | | | B+ | | 6.625% due 3/1/32(a) | | | 60,500 | |
| | | | | | | | | | |
| | | | | | Total Aerospace/Defense | | | 1,390,604 | |
| | | | | | | | | | |
| |
| Agriculture — 0.1% | | | |
| | 140,000 | | | BB+ | | Darling Ingredients Inc., Company Guaranteed Notes, 6.000% due 6/15/30(a) | | | 138,048 | |
| | | | | | | | | | |
| |
| Airlines — 2.6% | | | |
| | | | | | American Airlines Inc., Senior Secured Notes: | | | | |
| | 770,000 | | | BB- | | 7.250% due 2/15/28(a) | | | 777,713 | |
| | 400,000 | | | BB | | 8.500% due 5/15/29(a) | | | 420,757 | |
| | 431,000 | | | Ba1(b) | | American Airlines Inc./AAdvantage Loyalty IP Ltd., Senior Secured Notes, 5.750% due 4/20/29(a) | | | 421,927 | |
| | 553,428 | | | B2(b) | | Hawaiian Brand Intellectual Property Ltd./HawaiianMiles Loyalty Ltd., Senior Secured Notes, 5.750% due 1/20/26(a) | | | 522,984 | |
| | 140,000 | | | Baa3(b) | | Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., Senior Secured Notes, 6.500% due 6/20/27(a) | | | 140,298 | |
| | 432,747 | | | Caa2(b) | | Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd., Senior Secured Notes, 8.000% due 9/20/25(a) | | | 313,336 | |
| | 116,760 | | | BBB+ | | United Airlines Class B Pass Through Trust, Pass-Thru Certificates, 4.875% due 1/15/26 | | | 115,131 | |
| | | | | | United Airlines Inc., Senior Secured Notes: | | | | |
| | 106,000 | | | BB | | 4.375% due 4/15/26(a) | | | 102,138 | |
| | 465,000 | | | BB | | 4.625% due 4/15/29(a) | | | 428,940 | |
| | | | | | VistaJet Malta Finance PLC/Vista Management Holding Inc., Senior Unsecured Notes: | | | | |
| | 80,000 | | | B- | | 7.875% due 5/1/27(a) | | | 67,839 | |
| | 80,000 | | | B- | | 9.500% due 6/1/28(a) | | | 67,518 | |
| | 150,000 | | | B- | | 6.375% due 2/1/30(a) | | | 109,734 | |
| | | | | | | | | | |
| | | | | | Total Airlines | | | 3,488,315 | |
| | | | | | | | | | |
| |
| Auto Manufacturers — 1.8% | | | |
| | | | | | Ford Motor Co., Senior Unsecured Notes: | | | | |
| | 110,000 | | | BBB- | | 3.250% due 2/12/32 | | | 90,233 | |
| | 10,000 | | | BBB- | | 6.100% due 8/19/32 | | | 9,975 | |
| | | | | | Ford Motor Credit Co. LLC, Senior Unsecured Notes: | | | | |
| | 245,000 | | | BBB- | | 4.950% due 5/28/27 | | | 238,181 | |
| | 300,000 | | | BBB- | | 7.350% due 11/4/27 | | | 313,945 | |
| | 200,000 | | | BBB- | | 6.800% due 5/12/28 | | | 206,427 | |
| | 410,000 | | | BBB- | | 7.350% due 3/6/30 | | | 434,627 | |
| | 550,000 | | | BBB- | | 4.000% due 11/13/30 | | | 486,188 | |
| | 150,000 | | | B+ | | JB Poindexter & Co., Inc., Senior Unsecured Notes, 8.750% due 12/15/31(a) | | | 153,837 | |
| | 505,000 | | | B- | | PM General Purchaser LLC, Senior Secured Notes, 9.500% due 10/1/28(a) | | | 510,571 | |
| | | | | | | | | | |
| | | | | | Total Auto Manufacturers | | | 2,443,984 | |
| | | | | | | | | | |
| |
| Auto Parts & Equipment — 0.5% | | | |
| | 150,000 | | | B+ | | American Axle & Manufacturing Inc., Company Guaranteed Notes, 5.000% due 10/1/29 | | | 130,227 | |
| | 190,000 | | | CCC | | Dornoch Debt Merger Sub Inc., Senior Unsecured Notes, 6.625% due 10/15/29(a) | | | 170,804 | |
See Notes to Financial Statements.
190
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| |
| Auto Parts & Equipment — 0.5% — (continued) | | | |
| $ | 192,000 | | | B | | Titan International Inc., Senior Secured Notes, 7.000% due 4/30/28 | | $ | 190,787 | |
| | 150,000 | | | BB+ | | ZF North America Capital Inc., Company Guaranteed Notes, 7.125% due 4/14/30(a) | | | 156,375 | |
| | | | | | | | | | |
| | | | | | Total Auto Parts & Equipment | | | 648,193 | |
| | | | | | | | | | |
| |
| Banks — 2.6% | | | |
| | 200,000 | | | Ba1(b) | | Banco Santander SA, Junior Subordinated Notes, 9.625%
(5-Year CMT Index + 5.298%)(c)(d) | | | 214,677 | |
| | 250,000 | | | BBB- | | Bank of Nova Scotia (The), Junior Subordinated Notes, 8.000%
(5-Year CMT Index + 4.017%) due 1/27/84(c) | | | 253,077 | |
| | 230,000 | | | BB- | | Barclays PLC, Junior Subordinated Notes, 8.000%
(5-Year CMT Index + 5.672%)(c)(d) | | | 230,053 | |
| | | | | | BNP Paribas SA, Junior Subordinated Notes: | | | | |
| | 200,000 | | | BBB- | | 7.375% (5-Year USD Swap Rate + 5.150%) (a)(c)(d) | | | 200,750 | |
| | 200,000 | | | BBB- | | 7.750% (5-Year CMT Index + 4.899%) (a)(c)(d) | | | 201,883 | |
| | 180,000 | | | BB+ | | Citigroup Inc., Junior Subordinated Notes, 7.200%
(5-Year CMT Index + 2.905%) due 12/30/99(c)(d) | | | 180,756 | |
| | 400,000 | | | BBB- | | Credit Agricole SA, Junior Subordinated Notes, 8.125%
(5-Year USD Swap Rate + 6.185%)(a)(c)(d) | | | 408,779 | |
| | 250,000 | | | A+ | | Credit Suisse AG, Senior Unsecured Notes, 3.625% due 9/9/24 | | | 247,448 | |
| | | | | | Credit Suisse Group AG, Junior Subordinated Notes: | | | | |
| | 230,000 | | | WR(b) | | (Cost — $228,369, acquired 4/15/20), 6.375%
(5-Year CMT Index + 4.822%)#(a)(c)(d)(e)(g) | | | — | |
| | 200,000 | | | WR(b) | | (Cost — $205,250, acquired 2/19/19), 7.500%
(5-Year USD Swap Rate + 4.600%)#(a)(c)(d)(e)(g) | | | — | |
| | 200,000 | | | WD(h) | | (Cost — $200,000, acquired 6/16/22), 9.750%
(5-Year CMT Index + 6.383%)#(a)(c)(d)(e)(g) | | | — | |
| | 360,000 | | | BB+ | | Intesa Sanpaolo SpA, Subordinated Notes, 4.198%
(1-Year CMT Index + 2.600%) due 6/1/32(a)(c) | | | 295,390 | |
| | 400,000 | | | BB- | | Lloyds Banking Group PLC, Junior Subordinated Notes, 8.000%
(5-Year CMT Index + 3.913%)(c)(d) | | | 394,783 | |
| | 200,000 | | | BBB | | Toronto-Dominion Bank (The), Junior Subordinated Notes, 8.125%
(5-Year CMT Index + 4.075%) due 10/31/82(c) | | | 208,653 | |
| | 220,000 | | | BB | | UBS Group AG, Junior Subordinated Notes, 7.750%
(5-Year USD SOFR ICE Swap Rate + 4.160%)(a)(c)(d) | | | 220,446 | |
| | 520,000 | | | BB+ | | UniCredit SpA, Subordinated Notes, 5.459%
(5-Year CMT Index + 4.750%) due 6/30/35(a)(c) | | | 480,569 | |
| | | | | | | | | | |
| | | | | | Total Banks | | | 3,537,264 | |
| | | | | | | | | | |
| |
| Beverages — 0.1% | | | |
| | 188,000 | | | CCC+ | | Triton Water Holdings Inc., Senior Unsecured Notes, 6.250% due 4/1/29(a) | | | 164,591 | |
| | | | | | | | | | |
| |
| Building Materials — 0.9% | | | |
| | 130,000 | | | B | | MIWD Holdco II LLC/MIWD Finance Corp., Company Guaranteed Notes, 5.500% due 2/1/30(a) | | | 118,813 | |
| | | | | | Smyrna Ready Mix Concrete LLC, Senior Secured Notes: | | | | |
| | 210,000 | | | BB- | | 6.000% due 11/1/28(a) | | | 203,911 | |
| | 150,000 | | | BB- | | 8.875% due 11/15/31(a) | | | 158,967 | |
| | | | | | Standard Industries Inc., Senior Unsecured Notes: | | | | |
| | 252,000 | | | BB | | 5.000% due 2/15/27(a) | | | 242,918 | |
| | 300,000 | | | BB | | 4.375% due 7/15/30(a) | | | 267,514 | |
| | 190,000 | | | BB+ | | Summit Materials LLC/Summit Materials Finance Corp., Company Guaranteed Notes, 5.250% due 1/15/29(a) | | | 184,112 | |
| | | | | | | | | | |
| | | | | | Total Building Materials | | | 1,176,235 | |
| | | | | | | | | | |
| |
| Chemicals — 1.3% | | | |
| | 521,000 | | | BB- | | Consolidated Energy Finance SA, Company Guaranteed Notes, 5.625% due 10/15/28(a) | | | 423,414 | |
| | 160,000 | | | B- | | LSF11 A5 HoldCo LLC, Senior Unsecured Notes, 6.625% due 10/15/29(a) | | | 139,169 | |
See Notes to Financial Statements.
191
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| |
| Chemicals — 1.3% — (continued) | | | |
| $ | 215,000 | | | BB | | Methanex Corp., Senior Unsecured Notes, 5.125% due 10/15/27 | | $ | 206,822 | |
| | 362,000 | | | BB- | | Minerals Technologies Inc., Company Guaranteed Notes, 5.000% due 7/1/28(a) | | | 343,788 | |
| | 190,000 | | | BB+ | | Olin Corp., Senior Unsecured Notes, 5.000% due 2/1/30 | | | 177,795 | |
| | 315,000 | | | B- | | Olympus Water US Holding Corp., Senior Secured Notes, 9.750% due 11/15/28(a) | | | 335,106 | |
| | 381,000 | | | CCC | | Trinseo Materials Operating SCA/Trinseo Materials Finance Inc., Company Guaranteed Notes, 5.125% due 4/1/29(a) | | | 145,125 | |
| | | | | | | | | | |
| | | | | | Total Chemicals | | | 1,771,219 | |
| | | | | | | | | | |
|
| Coal — 0.1% | |
| | 152,000 | | | BB | | Warrior Met Coal Inc., Senior Secured Notes, 7.875% due 12/1/28(a) | | | 153,421 | |
| | | | | | | | | | |
| |
| Commercial Services — 5.9% | | | |
| | 145,000 | | | BB | | Adtalem Global Education Inc., Senior Secured Notes, 5.500% due 3/1/28(a) | | | 136,909 | |
| | 110,000 | | | B | | Allied Universal Holdco LLC/Allied Universal Finance Corp., Senior Secured Notes, 6.625% due 7/15/26(a) | | | 109,800 | |
| | 630,000 | | | B | | Allied Universal Holdco LLC/Allied Universal Finance Corp./Atlas Luxco 4 Sarl, Senior Secured Notes, 4.625% due 6/1/28(a) | | | 560,104 | |
| | 200,000 | | | B- | | Alta Equipment Group Inc., Secured Notes, 5.625% due 4/15/26(a) | | | 193,907 | |
| | 310,000 | | | BB- | | Avis Budget Car Rental LLC/Avis Budget Finance Inc., Company Guaranteed Notes, 5.375% due 3/1/29(a) | | | 282,576 | |
| | 130,000 | | | B | | Carriage Services Inc., Company Guaranteed Notes, 4.250% due 5/15/29(a) | | | 113,157 | |
| | 340,000 | | | BB- | | CoreCivic Inc., Company Guaranteed Notes, 8.250% due 4/15/26(g) | | | 347,728 | |
| | 432,000 | | | CCC+ | | Deluxe Corp., Company Guaranteed Notes, 8.000% due 6/1/29(a) | | | 377,501 | |
| | | | | | Garda World Security Corp., Senior Unsecured Notes: | | | | |
| | 340,000 | | | CCC+ | | 9.500% due 11/1/27(a) | | | 341,617 | |
| | 119,000 | | | CCC+ | | 6.000% due 6/1/29(a) | | | 104,234 | |
| | 523,000 | | | B | | GEO Group Inc. (The), Secured Notes, 9.500% due 12/31/28(a) | | | 521,833 | |
| | 510,000 | | | BB | | GTCR W-2 Merger Sub LLC, Senior Secured Notes, 7.500% due 1/15/31(a) | | | 532,435 | |
| | 320,000 | | | B+ | | Hertz Corp. (The), Company Guaranteed Notes, 4.625% due 12/1/26(a) | | | 282,162 | |
| | 49,000 | | | B3(b) | | Legends Hospitality Holding Co. LLC/Legends Hospitality Co.-Issuer Inc., Senior Secured Notes, 5.000% due 2/1/26(a) | | | 48,742 | |
| | 233,000 | | | CCC | | Mavis Tire Express Services Topco Corp., Senior Unsecured Notes, 6.500% due 5/15/29(a) | | | 218,989 | |
| | 360,000 | | | B | | Mobius Merger Sub Inc., Senior Secured Notes, 9.000% due 6/1/30(a) | | | 353,091 | |
| | 320,000 | | | CCC+ | | MPH Acquisition Holdings LLC, Company Guaranteed Notes, 5.750% due 11/1/28(a) | | | 255,621 | |
| | 110,000 | | | B | | Paysafe Finance PLC/Paysafe Holdings US Corp., Senior Secured Notes, 4.000% due 6/15/29(a) | | | 98,611 | |
| | | | | | Prime Security Services Borrower LLC/Prime Finance Inc.: | | | | |
| | 210,000 | | | B | | Secured Notes, 6.250% due 1/15/28(a) | | | 207,329 | |
| | 231,000 | | | BB | | Senior Secured Notes, 3.375% due 8/31/27(a) | | | 211,710 | |
| | 374,000 | | | BB- | | PROG Holdings Inc., Company Guaranteed Notes, 6.000% due 11/15/29(a) | | | 344,140 | |
| | 120,000 | | | B- | | RR Donnelley & Sons Co., Secured Notes, 9.750% due 7/31/28(a) | | | 123,150 | |
| | 182,000 | | | B | | Sotheby's, Senior Secured Notes, 7.375% due 10/15/27(a) | | | 175,068 | |
| | 200,000 | | | B | | Sotheby's/Bidfair Holdings Inc., Senior Secured Notes, 5.875% due 6/1/29(a) | | | 175,808 | |
| | 122,000 | | | Caa1(b) | | StoneMor Inc., Senior Secured Notes, 8.500% due 5/15/29(a) | | | 88,649 | |
| | 290,000 | | | BB | | TriNet Group Inc., Company Guaranteed Notes, 3.500% due 3/1/29(a) | | | 257,311 | |
| | | | | | United Rentals North America Inc.: | | | | |
| | | | | | Company Guaranteed Notes: | | | | |
| | 280,000 | | | BB+ | | 5.250% due 1/15/30 | | | 271,362 | |
| | 170,000 | | | BB+ | | 3.875% due 2/15/31 | | | 150,606 | |
| | 40,000 | | | BBB- | | Senior Secured Notes, 6.000% due 12/15/29(a) | | | 40,071 | |
| | 749,000 | | | B | | Upbound Group Inc., Company Guaranteed Notes, 6.375% due 2/15/29(a) | | | 717,467 | |
| | 315,000 | | | B | | WW International Inc., Senior Secured Notes, 4.500% due 4/15/29(a) | | | 148,439 | |
| | 100,000 | | | BB- | | ZipRecruiter Inc., Senior Unsecured Notes, 5.000% due 1/15/30(a) | | | 88,153 | |
| | | | | | | | | | |
| | | | | | Total Commercial Services | | | 7,878,280 | |
| | | | | | | | | | |
See Notes to Financial Statements.
192
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| Computers — 1.5% | |
| $ | 515,000 | | | CCC+ | | Ahead DB Holdings LLC, Company Guaranteed Notes, 6.625% due 5/1/28(a) | | $ | 459,849 | |
| | 650,000 | | | CCC+ | | McAfee Corp., Senior Unsecured Notes, 7.375% due 2/15/30(a) | | | 574,425 | |
| | 373,000 | | | B+ | | NCR Atleos Corp., Senior Secured Notes, 9.500% due 4/1/29(a) | | | 394,914 | |
| | 211,000 | | | B+ | | NCR Voyix Corp., Company Guaranteed Notes, 5.125% due 4/15/29(a) | | | 195,868 | |
| | 210,000 | | | BB | | Seagate HDD Cayman, Company Guaranteed Notes, 4.091% due 6/1/29(a) | | | 191,825 | |
| | 220,000 | | | CCC+ | | Vericast Corp., Senior Secured Notes, 11.000% due 9/15/26(a) | | | 231,598 | |
| | | | | | Total Computers | | | 2,048,479 | |
| | | | | | | | | | |
| |
| Cosmetics/Personal Care — 0.2% | | | |
| | 268,000 | | | BB | | Edgewell Personal Care Co., Company Guaranteed Notes, 4.125% due 4/1/29(a) | | | 242,939 | |
| | | | | | | | | | |
| |
| Distribution/Wholesale — 0.4% | | | |
| | 65,108 | | | NR | | American News Co. LLC, Secured Notes, 8.500% (8.500% cash or 10.000% PIK) due 9/1/26(a)(i) | | | 72,514 | |
| | 160,000 | | | BB- | | H&E Equipment Services Inc., Company Guaranteed Notes, 3.875% due 12/15/28(a) | | | 144,537 | |
| | 271,000 | | | B+ | | Windsor Holdings III LLC, Senior Secured Notes, 8.500% due 6/15/30(a) | | | 280,730 | |
| | | | | | | | | | |
| | | | | | Total Distribution/Wholesale | | | 497,781 | |
| | | | | | | | | | |
|
| Diversified Financial Services — 5.1% | |
| | 369,300 | | | NR | | Accelerate360 Holdings LLC, Secured Notes, 8.000% due 3/1/28(a) | | | 382,128 | |
| | 283,000 | | | B | | AG Issuer LLC, Senior Secured Notes, 6.250% due 3/1/28(a) | | | 274,255 | |
| | 435,000 | | | BB+ | | Ally Financial Inc., Subordinated Notes, 6.700% due 2/14/33 | | | 428,722 | |
| | 249,000 | | | BBB- | | Avolon Holdings Funding Ltd., Company Guaranteed Notes, 6.375% due 5/4/28(a) | | | 252,637 | |
| | 502,000 | | | BB- | | Bread Financial Holdings Inc., Company Guaranteed Notes, 9.750% due 3/15/29(a) | | | 514,116 | |
| | | | | | Burford Capital Global Finance LLC, Company Guaranteed Notes: | | | | |
| | 724,000 | | | BB- | | 6.250% due 4/15/28(a) | | | 696,633 | |
| | 240,000 | | | BB- | | 9.250% due 7/1/31(a) | | | 252,300 | |
| | 110,000 | | | BBB- | | Charles Schwab Corp. (The), Junior Subordinated Notes, 4.000%
(10-Year CMT Index + 3.079%)(c)(d) | | | 90,754 | |
| | 635,000 | | | CCC | | Cobra AcquisitionCo LLC, Company Guaranteed Notes, 6.375% due 11/1/29(a) | | | 521,841 | |
| | 180,000 | | | BB- | | Coinbase Global Inc., Company Guaranteed Notes, 3.625% due 10/1/31(a) | | | 141,094 | |
| | 335,000 | | | BB | | Credit Acceptance Corp., Company Guaranteed Notes, 9.250% due 12/15/28(a) | | | 354,799 | |
| | 235,000 | | | Baa3(b) | | Enact Holdings Inc., Senior Unsecured Notes, 6.500% due 8/15/25(a) | | | 235,234 | |
| | | | | | Enova International Inc., Company Guaranteed Notes: | | | | |
| | 272,000 | | | B- | | 8.500% due 9/15/25(a) | | | 269,630 | |
| | 145,000 | | | B- | | 11.250% due 12/15/28(a) | | | 151,983 | |
| | 472,962 | | | B2(b) | | Global Aircraft Leasing Co., Ltd., Senior Unsecured Notes, 6.500%
(6.500% cash or 7.250% PIK) due 9/15/24(a)(i) | | | 448,723 | |
| | | | | | goeasy Ltd.: | | | | |
| | 274,000 | | | BB- | | Company Guaranteed Notes, 4.375% due 5/1/26(a) | | | 262,424 | |
| | 200,000 | | | BB- | | Senior Unsecured Notes, 7.625% due 7/1/29(a) | | | 200,102 | |
| | 200,000 | | | BB | | Jane Street Group/JSG Finance Inc., Senior Secured Notes, 4.500% due 11/15/29(a) | | | 184,225 | |
| | 303,000 | | | B1(b) | | LFS Topco LLC, Company Guaranteed Notes, 5.875% due 10/15/26(a) | | | 280,381 | |
| | 231,000 | | | BB | | OneMain Finance Corp., Company Guaranteed Notes, 5.375% due 11/15/29 | | | 214,616 | |
| | | | | | Rocket Mortgage LLC/Rocket Mortgage Co.-Issuer Inc., Company Guaranteed Notes: | | | | |
| | 360,000 | | | BB | | 3.875% due 3/1/31(a) | | | 308,084 | |
| | 120,000 | | | BB | | 4.000% due 10/15/33(a) | | | 99,725 | |
| | | | | | StoneX Group Inc., Senior Secured Notes: | | | | |
| | 127,000 | | | BB- | | 8.625% due 6/15/25(a) | | | 127,900 | |
| | 130,000 | | | BB- | | 7.875% due 3/1/31(a) | | | 131,914 | |
| | | | | | | | | | |
| | | | | | Total Diversified Financial Services | | | 6,824,220 | |
| | | | | | | | | | |
|
| Electric — 2.6% | |
| | 343,000 | | | BB+ | | Atlantica Sustainable Infrastructure PLC, Company Guaranteed Notes, 4.125% due 6/15/28(a) | | | 313,687 | |
| | | | | | Calpine Corp.: | | | | |
| | 225,000 | | | BB+ | | Senior Secured Notes, 3.750% due 3/1/31(a) | | | 193,091 | |
See Notes to Financial Statements.
193
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Electric — 2.6% — (continued) | |
| $ | 523,000 | | | B+ | | Senior Unsecured Notes, 5.000% due 2/1/31(a) | | $ | 468,103 | |
| | 245,000 | | | BB | | Clearway Energy Operating LLC, Company Guaranteed Notes, 3.750% due 1/15/32(a) | | | 205,171 | |
| | | | | | NextEra Energy Operating Partners LP: | | | | |
| | 220,000 | | | BB | | Company Guaranteed Notes, 4.500% due 9/15/27(a) | | | 205,514 | |
| | 305,000 | | | BB | | Senior Unsecured Notes, 7.250% due 1/15/29(a) | | | 310,296 | |
| | | | | | NRG Energy Inc., Company Guaranteed Notes: | | | | |
| | 174,000 | | | BB | | 5.750% due 1/15/28 | | | 171,645 | |
| | 290,000 | | | BB | | 5.250% due 6/15/29(a) | | | 274,859 | |
| | 202,000 | | | BB | | 3.625% due 2/15/31(a) | | | 169,879 | |
| | 409,000 | | | BB- | | Pattern Energy Operations LP/Pattern Energy Operations Inc., Company Guaranteed Notes, 4.500% due 8/15/28(a) | | | 375,632 | |
| | 90,000 | | | BB+ | | TransAlta Corp., Senior Unsecured Notes, 7.750% due 11/15/29 | | | 93,662 | |
| | | | | | Vistra Operations Co. LLC: | | | | |
| | 170,000 | | | BB | | Company Guaranteed Notes, 7.750% due 10/15/31(a) | | | 176,120 | |
| | 546,000 | | | BBB- | | Senior Secured Notes, 4.300% due 7/15/29(a) | | | 508,994 | |
| | | | | | | | | | |
| | | | | | Total Electric | | | 3,466,653 | |
| | | | | | | | | | |
|
| Electrical Components & Equipment — 0.3% | |
| | | | | | EnerSys, Company Guaranteed Notes: | | | | |
| | 335,000 | | | BB+ | | 4.375% due 12/15/27(a) | | | 315,662 | |
| | 29,000 | | | BB+ | | 6.625% due 1/15/32(a) | | | 29,218 | |
| | | | | | | | | | |
| | | | | | Total Electrical Components & Equipment | | | 344,880 | |
| | | | | | | | | | |
|
| Electronics — 0.5% | |
| | 370,000 | | | BB- | | Imola Merger Corp., Senior Secured Notes, 4.750% due 5/15/29(a) | | | 343,187 | |
| | 380,000 | | | BB- | | TTM Technologies Inc., Company Guaranteed Notes, 4.000% due 3/1/29(a) | | | 340,207 | |
| | | | | | | | | | |
| | | | | | Total Electronics | | | 683,394 | |
| | | | | | | | | | |
|
| Energy — Alternate Sources — 0.2% | |
| | 50,000 | | | NR | | NextEra Energy Partners LP, Company Guaranteed Notes, 2.500% due 6/15/26(a) | | | 45,187 | |
| | 350,000 | | | B1(b) | | Sunnova Energy Corp., Company Guaranteed Notes, 5.875% due 9/1/26(a) | | | 284,874 | |
| | | | | | | | | | |
| | | | | | Total Energy — Alternate Sources | | | 330,061 | |
| | | | | | | | | | |
|
| Engineering & Construction — 0.7% | |
| | 282,000 | | | B | | Brundage-Bone Concrete Pumping Holdings Inc., Secured Notes, 6.000% due 2/1/26(a) | | | 277,326 | |
| | 150,000 | | | BB+ | | TopBuild Corp., Company Guaranteed Notes, 3.625% due 3/15/29(a) | | | 134,511 | |
| | 90,000 | | | CCC | | Tutor Perini Corp., Company Guaranteed Notes, 6.875% due 5/1/25(a) | | | 89,076 | |
| | 424,000 | | | B | | VM Consolidated Inc., Company Guaranteed Notes, 5.500% due 4/15/29(a) | | | 399,838 | |
| | | | | | | | | | |
| | | | | | Total Engineering & Construction | | | 900,751 | |
| | | | | | | | | | |
|
| Entertainment — 2.5% | |
| | 478,000 | | | CCC | | Allen Media LLC/Allen Media Co-Issuer Inc., Company Guaranteed Notes, 10.500% due 2/15/28(a) | | | 239,506 | |
| | 330,000 | | | B- | | AMC Entertainment Holdings Inc., Senior Secured Notes, 7.500% due 2/15/29(a) | | | 227,225 | |
| | 555,000 | | | B+ | | Banijay Entertainment SASU, Senior Secured Notes, 8.125% due 5/1/29(a) | | | 574,514 | |
| | 154,000 | | | B | | Boyne USA Inc., Senior Unsecured Notes, 4.750% due 5/15/29(a) | | | 141,731 | |
| | | | | | Caesars Entertainment Inc.: | | | | |
| | 375,000 | | | B- | | Company Guaranteed Notes, 4.625% due 10/15/29(a) | | | 342,609 | |
| | | | | | Senior Secured Notes: | | | | |
| | 230,000 | | | BB- | | 7.000% due 2/15/30(a) | | | 235,809 | |
| | 217,000 | | | BB- | | 6.500% due 2/15/32(a) | | | 218,692 | |
| | 130,000 | | | NR | | DraftKings Holdings Inc., Company Guaranteed Notes, zero coupon due 3/15/28 | | | 110,955 | |
| | | | | | Mohegan Tribal Gaming Authority: | | | | |
| | 45,000 | | | CCC+ | | Company Guaranteed Notes, 13.250% due 12/15/27(a) | | | 48,781 | |
| | 143,000 | | | B- | | Secured Notes, 8.000% due 2/1/26(a) | | | 134,957 | |
| | 240,000 | | | B | | Ontario Gaming GTA LP, Senior Secured Notes, 8.000% due 8/1/30(a) | | | 244,977 | |
See Notes to Financial Statements.
194
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Entertainment — 2.5% — (continued) | |
| $ | 443,000 | | | B | | SeaWorld Parks & Entertainment Inc., Company Guaranteed Notes, 5.250% due 8/15/29(a) | | $ | 413,456 | |
| | 107,000 | | | BB | | Speedway Motorsports LLC/Speedway Funding II Inc., Senior Unsecured Notes, 4.875% due 11/1/27(a) | | | 101,395 | |
| | 290,000 | | | BB- | | Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., Company Guaranteed Notes, 7.125% due 2/15/31(a) | | | 299,736 | |
| | | | | | | | | | |
| | | | | | Total Entertainment | | | 3,334,343 | |
| | | | | | | | | | |
|
| Environmental Control — 1.1% | |
| | 90,000 | | | BB+ | | Clean Harbors Inc., Company Guaranteed Notes, 6.375% due 2/1/31(a) | | | 89,536 | |
| | | | | | Covanta Holding Corp., Company Guaranteed Notes: | | | | |
| | 240,000 | | | B | | 4.875% due 12/1/29(a) | | | 209,941 | |
| | 243,000 | | | B | | 5.000% due 9/1/30 | | | 211,331 | |
| | 570,000 | | | B | | Enviri Corp., Company Guaranteed Notes, 5.750% due 7/31/27(a) | | | 533,491 | |
| | 200,000 | | | BB- | | GFL Environmental Inc., Senior Secured Notes, 6.750% due 1/15/31(a) | | | 204,814 | |
| | 320,000 | | | B- | | MadisonQ LLC, Senior Secured Notes, 4.125% due 6/30/28(a) | | | 291,822 | |
| | | | | | | | | | |
| | | | | | Total Environmental Control | | | 1,540,935 | |
| | | | | | | | | | |
|
| Food — 1.3% | |
| | | | | | Albertsons Cos Inc./Safeway Inc./New Albertsons LP/Albertsons LLC, Company Guaranteed Notes: | | | | |
| | 372,000 | | | BB+ | | 5.875% due 2/15/28(a) | | | 366,896 | |
| | 120,000 | | | BB+ | | 6.500% due 2/15/28(a) | | | 120,836 | |
| | 860,000 | | | B | | C&S Group Enterprises LLC, Company Guaranteed Notes, 5.000% due 12/15/28(a) | | | 682,253 | |
| | 131,000 | | | BB | | Land O'Lakes Capital Trust I, Limited Guaranteed Notes, 7.450% due 3/15/28(a) | | | 127,919 | |
| | 347,000 | | | BB | | Performance Food Group Inc., Company Guaranteed Notes, 5.500% due 10/15/27(a) | | | 340,240 | |
| | 152,000 | | | B | | Simmons Foods Inc./Simmons Prepared Foods Inc./Simmons Pet Food Inc./Simmons Feed, Secured Notes, 4.625% due 3/1/29(a) | | | 133,379 | |
| | | | | | | | | | |
| | | | | | Total Food | | | 1,771,523 | |
| | | | | | | | | | |
|
| Forest Products & Paper — 0.2% | |
| | 278,000 | | | CCC | | Glatfelter Corp., Company Guaranteed Notes, 4.750% due 11/15/29(a) | | | 234,218 | |
| | | | | | | | | | |
| |
| Healthcare — Products — 0.5% | | | |
| | | | | | Medline Borrower LP: | | | | |
| | 537,000 | | | B+ | | Senior Secured Notes, 3.875% due 4/1/29(a) | | | 481,465 | |
| | 230,000 | | | B- | | Senior Unsecured Notes, 5.250% due 10/1/29(a) | | | 212,965 | |
| | | | | | | | | | |
| | | | | | Total Healthcare — Products | | | 694,430 | |
| | | | | | | | | | |
|
| Healthcare — Services — 2.4% | |
| | 110,000 | | | NR | | Akumin Inc., Senior Secured Notes, 9.000% (8.000 % cash until 11/1/25 then 9.000 % cash or 8.000% cash and 2.000% PIK until 5/1/27 then 9.000% cash until 8/1/27) due 8/1/27(a)(f)(i) | | | 95,288 | |
| | 190,000 | | | D | | Cano Health LLC, Company Guaranteed Notes, 6.250% due 10/1/28*(a)(j) | | | 2,850 | |
| | | | | | CHS/Community Health Systems Inc.: | | | | |
| | | | | | Secured Notes: | | | | |
| | 120,000 | | | CCC- | | 6.875% due 4/15/29(a) | | | 76,723 | |
| | 60,000 | | | CCC- | | 6.125% due 4/1/30(a) | | | 37,601 | |
| | | | | | Senior Secured Notes: | | | | |
| | 1,128,000 | | | B- | | 5.625% due 3/15/27(a) | | | 1,033,400 | |
| | 370,000 | | | B- | | 5.250% due 5/15/30(a) | | | 295,590 | |
| | 170,000 | | | B- | | 10.875% due 1/15/32(a) | | | 173,319 | |
| | 110,000 | | | BBB- | | HCA Inc., Company Guaranteed Notes, 7.500% due 11/15/95 | | | 117,531 | |
| | | | | | LifePoint Health Inc., Senior Secured Notes: | | | | |
| | 320,000 | | | B | | 9.875% due 8/15/30(a) | | | 332,396 | |
| | 120,000 | | | B | | 11.000% due 10/15/30(a) | | | 127,085 | |
| | 310,000 | | | BB- | | Molina Healthcare Inc., Senior Unsecured Notes, 3.875% due 11/15/30(a) | | | 272,224 | |
| | 366,000 | | | B- | | Select Medical Corp., Company Guaranteed Notes, 6.250% due 8/15/26(a) | | | 365,410 | |
See Notes to Financial Statements.
195
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Healthcare — Services — 2.4% — (continued) | |
| $ | 240,000 | | | BB- | | Tenet Healthcare Corp., Senior Secured Notes, 4.250% due 6/1/29 | | $ | 220,938 | |
| | 115,500 | | | CCC+ | | US Renal Care Inc., Senior Secured Notes, 10.625% due 6/28/28(a) | | | 96,876 | |
| | | | | | | | | | |
| | | | | | Total Healthcare — Services | | | 3,247,231 | |
| | | | | | | | | | |
|
| Holding Companies — Diversified — 0.2% | |
| | 200,000 | | | BB+ | | Stena International SA, Senior Secured Notes, 7.250% due 1/15/31(a) | | | 199,038 | |
| | | | | | | | | | |
| |
| Home Builders — 0.5% | | | |
| | 182,000 | | | B | | Empire Communities Corp., Senior Unsecured Notes, 7.000% due 12/15/25(a) | | | 180,061 | |
| | | | | | Forestar Group Inc., Company Guaranteed Notes: | | | | |
| | 120,000 | | | BB- | | 3.850% due 5/15/26(a) | | | 114,145 | |
| | 120,000 | | | BB- | | 5.000% due 3/1/28(a) | | | 113,578 | |
| | | | | | Mattamy Group Corp., Senior Unsecured Notes: | | | | |
| | 201,000 | | | BB+ | | 5.250% due 12/15/27(a) | | | 193,658 | |
| | 130,000 | | | BB+ | | 4.625% due 3/1/30(a) | | | 116,846 | |
| | | | | | | | | | |
| | | | | | Total Home Builders | | | 718,288 | |
| | | | | | | | | | |
| |
| Insurance — 1.2% | | | |
| | 248,006 | | | BB+ | | Highlands Holdings Bonds Issuer Ltd./Highlands Holdings Bonds Co.-Issuer Inc., Senior Secured Notes, 7.625% (7.625% cash or 8.375% PIK) due 10/15/25(a)(i) | | | 247,927 | |
| | 350,000 | | | B | | Howden UK Refinance PLC/Howden UK Refinance 2 PLC/Howden US Refinance LLC, Senior Secured Notes, 7.250% due 2/15/31(a) | | | 350,677 | |
| | 327,000 | | | B- | | Jones Deslauriers Insurance Management Inc., Senior Secured Notes, 8.500% due 3/15/30(a) | | | 340,435 | |
| | 367,000 | | | BB+ | | NMI Holdings Inc., Senior Secured Notes, 7.375% due 6/1/25(a) | | | 370,288 | |
| | 385,000 | | | BB- | | Ryan Specialty LLC, Senior Secured Notes, 4.375% due 2/1/30(a) | | | 356,315 | |
| | | | | | | | | | |
| | | | | | Total Insurance | | | 1,665,642 | |
| | | | | | | | | | |
|
| Internet — 1.5% | |
| | 200,000 | | | B | | Acuris Finance US Inc./Acuris Finance Sarl, Senior Secured Notes, 5.000% due 5/1/28(a) | | | 179,209 | |
| | 350,000 | | | B | | Cogent Communications Group Inc., Company Guaranteed Notes, 7.000% due 6/15/27(a) | | | 346,794 | |
| | | | | | Gen Digital Inc., Company Guaranteed Notes: | | | | |
| | 101,000 | | | BB- | | 6.750% due 9/30/27(a) | | | 101,617 | |
| | 198,000 | | | BB- | | 7.125% due 9/30/30(a) | | | 202,381 | |
| | 500,000 | | | B- | | GrubHub Holdings Inc., Company Guaranteed Notes, 5.500% due 7/1/27(a) | | | 436,390 | |
| | 490,000 | | | B- | | ION Trading Technologies Sarl, Senior Secured Notes, 5.750% due 5/15/28(a) | | | 440,037 | |
| | | | | | Match Group Holdings II LLC, Senior Unsecured Notes: | | | | |
| | 220,000 | | | BB | | 4.625% due 6/1/28(a) | | | 207,028 | |
| | 140,000 | | | BB | | 3.625% due 10/1/31(a) | | | 118,070 | |
| | | | | | | | | | |
| | | | | | Total Internet | | | 2,031,526 | |
| | | | | | | | | | |
|
| Iron/Steel — 1.2% | |
| | 219,000 | | | B+ | | ATI Inc., Senior Unsecured Notes, 4.875% due 10/1/29 | | | 202,015 | |
| | | | | | Cleveland-Cliffs Inc.: | | | | |
| | 255,000 | | | Ba3(b) | | Company Guaranteed Notes, 4.625% due 3/1/29(a) | | | 234,429 | |
| | 48,000 | | | B | | Senior Unsecured Notes, 6.250% due 10/1/40 | | | 41,797 | |
| | 350,000 | | | BB+ | | Commercial Metals Co., Senior Unsecured Notes, 3.875% due 2/15/31 | | | 307,015 | |
| | | | | | Mineral Resources Ltd., Senior Unsecured Notes: | | | | |
| | 268,000 | | | Ba3(b) | | 8.125% due 5/1/27(a) | | | 270,657 | |
| | 273,000 | | | Ba3(b) | | 9.250% due 10/1/28(a) | | | 285,809 | |
| | 239,000 | | | Ba3(b) | | 8.500% due 5/1/30(a) | | | 245,747 | |
| | | | | | | | | | |
| | | | | | Total Iron/Steel | | | 1,587,469 | |
| | | | | | | | | | |
|
| Leisure Time — 5.9% | |
| | | | | | Carnival Corp.: | | | | |
| | | | | | Company Guaranteed Notes: | | | | |
| | 901,000 | | | BB- | | 5.750% due 3/1/27(a) | | | 890,474 | |
| | 749,000 | | | BB- | | 6.000% due 5/1/29(a) | | | 731,197 | |
| | 630,000 | | | BB- | | 10.500% due 6/1/30(a) | | | 688,567 | |
See Notes to Financial Statements.
196
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Leisure Time — 5.9% — (continued) | |
| $ | 120,000 | | | BB+ | | Senior Secured Notes, 7.000% due 8/15/29(a) | | $ | 124,590 | |
| | 150,000 | | | BB- | | Carnival Holdings Bermuda Ltd., Company Guaranteed Notes, 10.375% due 5/1/28(a) | | | 163,758 | |
| | | | | | NCL Corp., Ltd.: | | | | |
| | | | | | Senior Secured Notes: | | | | |
| | 270,000 | | | B+ | | 5.875% due 2/15/27(a) | | | 267,038 | |
| | 270,000 | | | BB- | | 8.375% due 2/1/28(a) | | | 283,677 | |
| | 230,000 | | | BB- | | 8.125% due 1/15/29(a) | | | 242,186 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 814,000 | | | CCC+ | | 3.625% due 12/15/24(a) | | | 802,232 | |
| | 724,000 | | | CCC+ | | 7.750% due 2/15/29(a) | | | 742,623 | |
| | 180,000 | | | CCC+ | | NCL Finance Ltd., Company Guaranteed Notes, 6.125% due 3/15/28(a) | | | 175,693 | |
| | | | | | Royal Caribbean Cruises Ltd.: | | | | |
| | 490,000 | | | BB+ | | Company Guaranteed Notes, 7.250% due 1/15/30(a) | | | 509,850 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 341,000 | | | BB+ | | 4.250% due 7/1/26(a) | | | 328,718 | |
| | 340,000 | | | BB+ | | 11.625% due 8/15/27(a) | | | 367,973 | |
| | 102,000 | | | BB+ | | 5.500% due 4/1/28(a) | | | 100,235 | |
| | 400,000 | | | BB+ | | 6.250% due 3/15/32(a) | | | 401,395 | |
| | | | | | Viking Cruises Ltd.: | | | | |
| | 64,000 | | | B | | Company Guaranteed Notes, 5.875% due 9/15/27(a) | | | 62,617 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 379,000 | | | B | | 7.000% due 2/15/29(a) | | | 379,249 | |
| | 420,000 | | | B | | 9.125% due 7/15/31(a) | | | 454,881 | |
| | 200,000 | | | BB- | | VOC Escrow Ltd., Senior Secured Notes, 5.000% due 2/15/28(a) | | | 192,253 | |
| | | | | | | | | | |
| | | | | | Total Leisure Time | | | 7,909,206 | |
| | | | | | | | | | |
|
| Lodging — 1.6% | |
| | 420,000 | | | B- | | Full House Resorts Inc., Senior Secured Notes, 8.250% due 2/15/28(a) | | | 394,197 | |
| | 165,000 | | | B+ | | Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Esc, Company Guaranteed Notes, 4.875% due 7/1/31(a) | | | 145,749 | |
| | 620,000 | | | BB- | | Melco Resorts Finance Ltd., Senior Unsecured Notes, 5.375% due 12/4/29(a) | | | 561,357 | |
| | 325,000 | | | B+ | | Studio City Finance Ltd., Company Guaranteed Notes, 5.000% due 1/15/29(a) | | | 284,025 | |
| | | | | | Travel + Leisure Co., Senior Secured Notes: | | | | |
| | 245,000 | | | BB- | | 6.000% due 4/1/27 | | | 244,306 | |
| | 110,000 | | | BB- | | 4.500% due 12/1/29(a) | | | 100,823 | |
| | | | | | Wynn Macau Ltd., Senior Unsecured Notes: | | | | |
| | 200,000 | | | BB- | | 5.500% due 1/15/26(a) | | | 193,825 | |
| | 280,000 | | | BB- | | 5.125% due 12/15/29(a) | | | 252,548 | |
| | | | | | | | | | |
| | | | | | Total Lodging | | | 2,176,830 | |
| | | | | | | | | | |
|
| Machinery — Construction & Mining — 0.2% | |
| | 240,000 | | | BB | | Vertiv Group Corp., Senior Secured Notes, 4.125% due 11/15/28(a) | | | 221,673 | |
| | | | | | | | | | |
| |
| Machinery — Diversified — 0.1% | | | |
| | 88,000 | | | BB | | ATS Corp., Company Guaranteed Notes, 4.125% due 12/15/28(a) | | | 80,395 | |
| | | | | | | | | | |
| |
| Media — 6.5% | | | |
| | | | | | Altice Financing SA, Senior Secured Notes: | | | | |
| | 474,000 | | | B | | 5.000% due 1/15/28(a) | | | 419,807 | |
| | 407,000 | | | B | | 5.750% due 8/15/29(a) | | | 350,979 | |
| | 275,000 | | | BB+ | | Belo Corp., Company Guaranteed Notes, 7.750% due 6/1/27 | | | 279,970 | |
| | 381,000 | | | BB- | | Block Communications Inc., Company Guaranteed Notes, 4.875% due 3/1/28(a) | | | 337,141 | |
| | 440,000 | | | BB- | | Cable One Inc., Company Guaranteed Notes, 4.000% due 11/15/30(a) | | | 329,440 | |
| | | | | | CCO Holdings LLC/CCO Holdings Capital Corp., Senior Unsecured Notes: | | | | |
| | 705,000 | | | BB- | | 6.375% due 9/1/29(a) | | | 662,881 | |
| | 160,000 | | | BB- | | 4.750% due 2/1/32(a) | | | 129,380 | |
| | 680,000 | | | BB- | | 4.500% due 5/1/32 | | | 537,838 | |
| | 330,000 | | | BB- | | 4.500% due 6/1/33(a) | | | 254,428 | |
See Notes to Financial Statements.
197
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| |
| Media — 6.5% — (continued) | | | |
| $ | 170,000 | | | BBB- | | Charter Communications Operating LLC/Charter Communications Operating Capital, Senior Secured Notes, 3.700% due 4/1/51 | | $ | 103,147 | |
| | | | | | CSC Holdings LLC: | | | | |
| | | | | | Company Guaranteed Notes: | | | | |
| | 210,000 | | | B- | | 11.250% due 5/15/28(a) | | | 216,880 | |
| | 530,000 | | | B- | | 11.750% due 1/31/29(a) | | | 554,144 | |
| | 200,000 | | | B- | | 6.500% due 2/1/29(a) | | | 174,542 | |
| | 200,000 | | | B- | | 4.500% due 11/15/31(a) | | | 148,687 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 980,000 | | | CCC | | 5.750% due 1/15/30(a) | | | 571,531 | |
| | 465,000 | | | CCC | | 4.625% due 12/1/30(a) | | | 256,780 | |
| | 320,000 | | | BB | | Directv Financing LLC/Directv Financing Co.-Obligor Inc., Senior Secured Notes, 5.875% due 8/15/27(a) | | | 302,259 | |
| | | | | | DISH DBS Corp.: | | | | |
| | | | | | Company Guaranteed Notes: | | | | |
| | 20,000 | | | CCC+ | | 5.875% due 11/15/24 | | | 18,919 | |
| | 500,000 | | | CC | | 7.750% due 7/1/26 | | | 319,255 | |
| | 410,000 | | | B- | | Senior Secured Notes, 5.750% due 12/1/28(a) | | | 284,694 | |
| | 65,000 | | | CC | | DISH Network Corp., Senior Unsecured Notes, 3.375% due 8/15/26 | | | 38,756 | |
| | 180,000 | | | B1(b) | | Gannett Holdings LLC, Senior Secured Notes, 6.000% due 11/1/26(a) | | | 162,856 | |
| | 230,000 | | | B | | Gray Television Inc., Company Guaranteed Notes, 5.375% due 11/15/31(a) | | | 148,602 | |
| | 170,000 | | | B+ | | iHeartCommunications Inc., Senior Secured Notes, 5.250% due 8/15/27(a) | | | 126,427 | |
| | 222,000 | | | BB | | Paramount Global, Junior Subordinated Notes, 6.375%
(5-Year CMT Index + 3.999%) due 3/30/62(c) | | | 192,794 | |
| | 560,000 | | | BB | | Sirius XM Radio Inc., Company Guaranteed Notes, 4.000% due 7/15/28(a) | | | 505,073 | |
| | 327,000 | | | BB- | | Sunrise FinCo I BV, Senior Secured Notes, 4.875% due 7/15/31(a) | | | 288,806 | |
| | 50,000 | | | BBB- | | Time Warner Cable Enterprises LLC, Senior Secured Notes, 8.375% due 7/15/33 | | | 55,495 | |
| | 150,000 | | | BBB- | | Time Warner Cable LLC, Senior Secured Notes, 7.300% due 7/1/38 | | | 149,595 | |
| | | | | | Univision Communications Inc., Senior Secured Notes: | | | | |
| | 388,000 | | | B+ | | 6.625% due 6/1/27(a) | | | 376,460 | |
| | 120,000 | | | B+ | | 8.000% due 8/15/28(a) | | | 120,744 | |
| | 112,000 | | | B+ | | 7.375% due 6/30/30(a) | | | 108,275 | |
| | 67,000 | | | B- | | Urban One Inc., Senior Secured Notes, 7.375% due 2/1/28(a) | | | 57,542 | |
| | 207,000 | | | B | | Virgin Media Finance PLC, Company Guaranteed Notes, 5.000% due 7/15/30(a) | | | 178,900 | |
| | | | | | | | | | |
| | | | | | Total Media | | | 8,763,027 | |
| | | | | | | | | | |
|
| Metal Fabricate/Hardware — 0.3% | |
| | 90,000 | | | BB- | | Advanced Drainage Systems Inc., Company Guaranteed Notes, 6.375% due 6/15/30(a) | | | 90,090 | |
| | 80,000 | | | CCC+ | | Park-Ohio Industries Inc., Company Guaranteed Notes, 6.625% due 4/15/27 | | | 73,276 | |
| | 230,000 | | | B+ | | Roller Bearing Co. of America Inc., Senior Unsecured Notes, 4.375% due 10/15/29(a) | | | 209,826 | |
| | | | | | | | | | |
| | | | | | Total Metal Fabricate/Hardware | | | 373,192 | |
| | | | | | | | | | |
|
| Mining — 1.4% | |
| | 500,000 | | | B | | First Quantum Minerals Ltd., Secured Notes, 9.375% due 3/1/29(a) | | | 519,256 | |
| | 580,000 | | | BB+ | | FMG Resources August 2006 Pty Ltd., Company Guaranteed Notes, 4.375% due 4/1/31(a) | | | 520,348 | |
| | 320,000 | | | BB+ | | Freeport-McMoRan Inc., Company Guaranteed Notes, 5.450% due 3/15/43 | | | 297,391 | |
| | | | | | Hudbay Minerals Inc., Company Guaranteed Notes: | | | | |
| | 40,000 | | | B | | 4.500% due 4/1/26(a) | | | 38,594 | |
| | 482,000 | | | B | | 6.125% due 4/1/29(a) | | | 473,386 | |
| | | | | | | | | | |
| | | | | | Total Mining | | | 1,848,975 | |
| | | | | | | | | | |
|
| Miscellaneous Manufacturers — 0.0%@ | |
| | 12,101 | | | WD(h) | | Anagram Holdings LLC/Anagram International Inc., Secured Notes, 10.000% due 8/15/26*(a)(f)(j) | | | 242 | |
| | | | | | | | | | |
See Notes to Financial Statements.
198
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| Oil & Gas — 7.6% | | | |
| $ | 200,000 | | | BB+ | | Antero Resources Corp., Company Guaranteed Notes, 5.375% due 3/1/30(a) | | $ | 190,790 | |
| | 410,000 | | | B | | Berry Petroleum Co. LLC, Company Guaranteed Notes, 7.000% due 2/15/26(a) | | | 401,997 | |
| | 110,000 | | | BB | | Chesapeake Energy Corp., Company Guaranteed Notes, 5.500% due 2/1/26(a) | | | 109,110 | |
| | 450,000 | | | BB- | | Chord Energy Corp., Company Guaranteed Notes, 6.375% due 6/1/26(a) | | | 451,647 | |
| | | | | | Civitas Resources Inc., Company Guaranteed Notes: | | | | |
| | 125,000 | | | BB- | | 8.375% due 7/1/28(a) | | | 130,948 | |
| | 81,000 | | | BB- | | 8.625% due 11/1/30(a) | | | 86,739 | |
| | 280,000 | | | BB- | | 8.750% due 7/1/31(a) | | | 298,120 | |
| | | | | | Comstock Resources Inc., Company Guaranteed Notes: | | | | |
| | 110,000 | | | B+ | | 6.750% due 3/1/29(a) | | | 101,503 | |
| | 395,000 | | | B+ | | 5.875% due 1/15/30(a) | | | 345,869 | |
| | | | | | Crescent Energy Finance LLC, Company Guaranteed Notes: | | | | |
| | 469,000 | | | BB- | | 7.250% due 5/1/26(a) | | | 467,687 | |
| | 217,000 | | | BB- | | 9.250% due 2/15/28(a) | | | 227,300 | |
| | 220,000 | | | BB+ | | Endeavor Energy Resources LP/EER Finance Inc., Senior Unsecured Notes, 5.750% due 1/30/28(a) | | | 221,949 | |
| | 365,000 | | | BBB- | | HF Sinclair Corp., Senior Unsecured Notes, 5.000% due 2/1/28(a) | | | 351,526 | |
| | | | | | Hilcorp Energy I LP/Hilcorp Finance Co., Senior Unsecured Notes: | | | | |
| | 500,000 | | | BB+ | | 5.750% due 2/1/29(a) | | | 483,953 | |
| | 155,000 | | | BB+ | | 6.000% due 2/1/31(a) | | | 150,062 | |
| | 170,000 | | | BB+ | | 6.250% due 4/15/32(a) | | | 164,607 | |
| | 150,000 | | | BB+ | | 8.375% due 11/1/33(a) | | | 161,242 | |
| | 300,000 | | | BB- | | MEG Energy Corp., Company Guaranteed Notes, 5.875% due 2/1/29(a) | | | 292,747 | |
| | 348,000 | | | B- | | Nabors Industries Inc., Company Guaranteed Notes, 7.375% due 5/15/27(a) | | | 347,050 | |
| | | | | | Nabors Industries Ltd., Company Guaranteed Notes: | | | | |
| | 180,000 | | | CCC | | 7.250% due 1/15/26(a) | | | 177,510 | |
| | 125,000 | | | CCC | | 7.500% due 1/15/28(a) | | | 115,381 | |
| | 120,000 | | | BB- | | Noble Finance II LLC, Company Guaranteed Notes, 8.000% due 4/15/30(a) | | | 123,472 | |
| | 240,000 | | | B+ | | Northern Oil & Gas Inc., Senior Unsecured Notes, 8.125% due 3/1/28(a) | | | 243,233 | |
| | 110,000 | | | BB+ | | Occidental Petroleum Corp., Senior Unsecured Notes, 8.875% due 7/15/30 | | | 127,009 | |
| | | | | | Permian Resources Operating LLC, Company Guaranteed Notes: | | | | |
| | 240,000 | | | BB- | | 8.000% due 4/15/27(a) | | | 247,723 | |
| | 170,000 | | | BB- | | 5.875% due 7/1/29(a) | | | 166,258 | |
| | 359,000 | | | BB- | | 9.875% due 7/15/31(a) | | | 397,935 | |
| | 240,000 | | | BB- | | 7.000% due 1/15/32(a) | | | 246,572 | |
| | | | | | Petrobras Global Finance BV, Company Guaranteed Notes: | | | | |
| | 40,000 | | | BB | | 7.375% due 1/17/27 | | | 41,682 | |
| | 20,000 | | | BB | | 5.750% due 2/1/29 | | | 19,933 | |
| | 400,000 | | | BB | | Range Resources Corp., Company Guaranteed Notes, 8.250% due 1/15/29 | | | 417,625 | |
| | 200,000 | | | B- | | Shelf Drilling Holdings Ltd., Senior Secured Notes, 9.625% due 4/15/29(a) | | | 193,273 | |
| | 280,000 | | | NR | | SilverBow Resources Inc., Secured Notes, 13.135%
(3-Month Term SOFR + 7.750%) due 12/15/28(a)(c)(f) | | | 275,797 | |
| | | | | | Southwestern Energy Co., Company Guaranteed Notes: | | | | |
| | 195,000 | | | BB+ | | 5.375% due 2/1/29 | | | 188,601 | |
| | 540,000 | | | BB+ | | 4.750% due 2/1/32 | | | 490,913 | |
| | 529,000 | | | BB- | | Strathcona Resources Ltd., Senior Unsecured Notes, 6.875% due 8/1/26(a) | | | 527,019 | |
| | | | | | Talos Production Inc., Secured Notes: | | | | |
| | 55,000 | | | BB- | | 9.000% due 2/1/29(a) | | | 56,031 | |
| | 285,000 | | | BB- | | 9.375% due 2/1/31(a) | | | 294,262 | |
| | 338,000 | | | BB | | Valaris Ltd., Secured Notes, 8.375% due 4/30/30(a) | | | 346,865 | |
| | | | | | Vital Energy Inc., Company Guaranteed Notes: | | | | |
| | 126,000 | | | B | | 10.125% due 1/15/28 | | | 131,966 | |
| | 405,000 | | | B | | 9.750% due 10/15/30 | | | 434,081 | |
| | | | | | | | | | |
| | | | | | Total Oil & Gas | | | 10,247,987 | |
| | | | | | | | | | |
See Notes to Financial Statements.
199
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| Oil & Gas Services — 0.4% | |
| $ | 278,000 | | | B+ | | Archrock Partners LP/Archrock Partners Finance Corp., Company Guaranteed Notes, 6.250% due 4/1/28(a) | | $ | 271,274 | |
| | 212,000 | | | B+ | | Kodiak Gas Services LLC, Company Guaranteed Notes, 7.250% due 2/15/29(a) | | | 215,961 | |
| | | | | | | | | | |
| | | | | | Total Oil & Gas Services | | | 487,235 | |
| | | | | | | | | | |
|
| Packaging & Containers — 2.0% | |
| | 200,000 | | | CCC+ | | ARD Finance SA, Senior Secured Notes, 6.500%
(6.500% cash or 7.250% PIK) due 6/30/27(a)(i) | | | 85,758 | |
| | | | | | Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC: | | | | |
| | | | | | Senior Secured Notes: | | | | |
| | 210,000 | | | BB- | | 6.000% due 6/15/27(a) | | | 206,334 | |
| | 225,000 | | | BB- | | 3.250% due 9/1/28(a) | | | 195,305 | |
| | 250,000 | | | B | | Senior Unsecured Notes, 4.000% due 9/1/29(a) | | | 203,322 | |
| | 230,000 | | | BB- | | Canpack SA/Canpack US LLC, Company Guaranteed Notes, 3.875% due 11/15/29(a) | | | 199,820 | |
| | 150,000 | | | BB- | | Cascades Inc./Cascades USA Inc., Company Guaranteed Notes, 5.375% due 1/15/28(a) | | | 145,172 | |
| | | | | | Clydesdale Acquisition Holdings Inc.: | | | | |
| | 170,000 | | | CCC+ | | Company Guaranteed Notes, 8.750% due 4/15/30(a) | | | 161,987 | |
| | 415,000 | | | B | | Senior Secured Notes, 6.625% due 4/15/29(a) | | | 412,963 | |
| | 249,000 | | | BB+ | | Crown Americas LLC, Company Guaranteed Notes, 5.250% due 4/1/30 | | | 240,081 | |
| | | | | | LABL Inc., Senior Secured Notes: | | | | |
| | 271,000 | | | B- | | 5.875% due 11/1/28(a) | | | 243,083 | |
| | 127,000 | | | B- | | 9.500% due 11/1/28(a) | | | 127,163 | |
| | 244,000 | | | B | | Mauser Packaging Solutions Holding Co., Senior Secured Notes, 7.875% due 8/15/26(a) | | | 247,419 | |
| | 287,000 | | | BB- | | Silgan Holdings Inc., Company Guaranteed Notes, 4.125% due 2/1/28 | | | 268,340 | |
| | | | | | | | | | |
| | | | | | Total Packaging & Containers | | | 2,736,747 | |
| | | | | | | | | | |
| |
| Pharmaceuticals — 1.9% | | | |
| | | | | | Bausch Health Cos., Inc.: | | | | |
| | 430,000 | | | CCC- | | Company Guaranteed Notes, 5.250% due 1/30/30(a) | | | 185,965 | |
| | 50,000 | | | CCC+ | | Senior Secured Notes, 6.125% due 2/1/27(a) | | | 32,200 | |
| | 365,000 | | | B+ | | Herbalife Nutrition Ltd./HLF Financing Inc., Company Guaranteed Notes, 7.875% due 9/1/25(a) | | | 354,442 | |
| | 460,000 | | | B+ | | HLF Financing Sarl LLC/Herbalife International Inc., Company Guaranteed Notes, 4.875% due 6/1/29(a) | | | 329,392 | |
| | | | | | Organon & Co./Organon Foreign Debt Co.-Issuer BV: | | | | |
| | 200,000 | | | BB | | Senior Secured Notes, 4.125% due 4/30/28(a) | | | 183,208 | |
| | 204,000 | | | BB- | | Senior Unsecured Notes, 5.125% due 4/30/31(a) | | | 174,994 | |
| | 230,000 | | | WR(b) | | Par Pharmaceutical Inc., Senior Secured Notes, 7.500% due 4/1/27*(a)(g)(j) | | | 146,036 | |
| | 200,000 | | | BB- | | Teva Pharmaceutical Finance Co. LLC, Company Guaranteed Notes, 6.150% due 2/1/36 | | | 191,027 | |
| | | | | | Teva Pharmaceutical Finance Netherlands III BV, Company Guaranteed Notes: | | | | |
| | 250,000 | | | BB- | | 5.125% due 5/9/29 | | | 236,321 | |
| | 400,000 | | | BB- | | 7.875% due 9/15/29 | | | 426,010 | |
| | 270,000 | | | BB- | | 8.125% due 9/15/31 | | | 292,026 | |
| | | | | | | | | | |
| | | | | | Total Pharmaceuticals | | | 2,551,621 | |
| | | | | | | | | | |
|
| Pipelines — 5.4% | |
| | 341,000 | | | BB | | Antero Midstream Partners LP/Antero Midstream Finance Corp., Company Guaranteed Notes, 5.750% due 1/15/28(a) | | | 334,595 | |
| | | | | | Blue Racer Midstream LLC/Blue Racer Finance Corp., Senior Unsecured Notes: | | | | |
| | 100,000 | | | B+ | | 7.625% due 12/15/25(a) | | | 100,955 | |
| | 310,000 | | | B+ | | 6.625% due 7/15/26(a) | | | 307,864 | |
| | 200,000 | | | BB | | CNX Midstream Partners LP, Company Guaranteed Notes, 4.750% due 4/15/30(a) | | | 175,221 | |
| | 60,000 | | | BBB+ | | DCP Midstream Operating LP, Company Guaranteed Notes, 6.750% due 9/15/37(a) | | | 63,926 | |
| | 295,000 | | | BB- | | Delek Logistics Partners LP/Delek Logistics Finance Corp., Company Guaranteed Notes, 8.625% due 3/15/29(a)(a) | | | 295,763 | |
See Notes to Financial Statements.
200
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Pipelines — 5.4% — (continued) | |
| $ | 90,000 | | | BB+ | | Energy Transfer LP, Junior Subordinated Notes, 6.500%
(5-Year CMT Index + 5.694%)(c)(d) | | $ | 87,457 | |
| | | | | | EQM Midstream Partners LP, Senior Unsecured Notes: | | | | |
| | 27,000 | | | BB- | | 7.500% due 6/1/27(a) | | | 27,654 | |
| | 48,000 | | | BB- | | 5.500% due 7/15/28 | | | 47,121 | |
| | 254,000 | | | BB- | | 7.500% due 6/1/30(a) | | | 270,237 | |
| | 310,000 | | | BB- | | 6.500% due 7/15/48 | | | 315,104 | |
| | 745,000 | | | B | | Genesis Energy LP/Genesis Energy Finance Corp., Company Guaranteed Notes, 8.250% due 1/15/29 | | | 758,005 | |
| | 550,000 | | | BB- | | Harvest Midstream I LP, Senior Unsecured Notes, 7.500% due 9/1/28(a) | | | 554,904 | |
| | 250,000 | | | BB+ | | Hess Midstream Operations LP, Company Guaranteed Notes, 4.250% due 2/15/30(a) | | | 227,874 | |
| | | | | | Howard Midstream Energy Partners LLC, Senior Unsecured Notes: | | | | |
| | 698,000 | | | B+ | | 6.750% due 1/15/27(a) | | | 695,970 | |
| | 281,000 | | | B+ | | 8.875% due 7/15/28(a) | | | 296,386 | |
| | 775,000 | | | B- | | ITT Holdings LLC, Senior Unsecured Notes, 6.500% due 8/1/29(a) | | | 688,631 | |
| | | | | | NGL Energy Operating LLC/NGL Energy Finance Corp., Senior Secured Notes: | | | | |
| | 59,000 | | | B+ | | 8.125% due 2/15/29(a) | | | 59,594 | |
| | 285,000 | | | B+ | | 8.375% due 2/15/32(a) | | | 289,731 | |
| | | | | | NuStar Logistics LP, Company Guaranteed Notes: | | | | |
| | 40,000 | | | BB- | | 5.750% due 10/1/25 | | | 39,668 | |
| | 238,000 | | | BB- | | 6.375% due 10/1/30 | | | 238,893 | |
| | 110,000 | | | BB- | | Summit Midstream Holdings LLC/Summit Midstream Finance Corp., Secured Notes, step bond to yield, 9.000% due 10/15/26(a) | | | 108,953 | |
| | 170,000 | | | BB- | | Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp., Company Guaranteed Notes, 6.000% due 12/31/30(a) | | | 158,247 | |
| | | | | | Venture Global Calcasieu Pass LLC, Senior Secured Notes: | | | | |
| | 264,000 | | | BB+ | | 3.875% due 8/15/29(a) | | | 237,176 | |
| | 310,000 | | | BB+ | | 6.250% due 1/15/30(a) | | | 309,729 | |
| | 180,000 | | | BB+ | | 4.125% due 8/15/31(a) | | | 158,115 | |
| | 110,000 | | | BB+ | | 3.875% due 11/1/33(a) | | | 92,334 | |
| | 370,000 | | | BB | | Venture Global LNG Inc., Senior Secured Notes, 9.875% due 2/1/32(a) | | | 389,782 | |
| | | | | | | | | | |
| | | | | | Total Pipelines | | | 7,329,889 | |
| | | | | | | | | | |
|
| Private Equity — 0.4% | |
| | | | | | HAT Holdings I LLC/HAT Holdings II LLC, Company Guaranteed Notes: | | | | |
| | 407,000 | | | BB+ | | 3.375% due 6/15/26(a) | | | 381,159 | |
| | 180,000 | | | BB+ | | 8.000% due 6/15/27(a) | | | 187,146 | |
| | | | | | | | | | |
| | | | | | Total Private Equity | | | 568,305 | |
| | | | | | | | | | |
|
| Real Estate — 1.4% | |
| | | | | | Cushman & Wakefield US Borrower LLC, Senior Secured Notes: | | | | |
| | 413,000 | | | BB- | | 6.750% due 5/15/28(a) | | | 407,195 | |
| | 416,000 | | | BB- | | 8.875% due 9/1/31(a) | | | 433,624 | |
| | 251,875 | | | B- | | Five Point Operating Co. LP/Five Point Capital Corp., Company Guaranteed Notes, 10.500% due 1/15/28(a) | | | 257,885 | |
| | 210,000 | | | BB- | | Greystar Real Estate Partners LLC, Senior Secured Notes, 7.750% due 9/1/30(a) | | | 218,079 | |
| | | | | | Kennedy-Wilson Inc., Company Guaranteed Notes: | | | | |
| | 325,000 | | | B+ | | 4.750% due 3/1/29 | | | 263,586 | |
| | 305,000 | | | B+ | | 4.750% due 2/1/30 | | | 241,644 | |
| | | | | | | | | | |
| | | | | | Total Real Estate | | | 1,822,013 | |
| | | | | | | | | | |
|
| Real Estate Investment Trusts (REITs) — 2.0% | |
| | 803,000 | | | B+ | | Apollo Commercial Real Estate Finance Inc., Senior Secured Notes, 4.625% due 6/15/29(a) | | | 665,295 | |
| | 150,000 | | | BB+ | | CTR Partnership LP/CareTrust Capital Corp., Company Guaranteed Notes, 3.875% due 6/30/28(a) | | | 135,806 | |
See Notes to Financial Statements.
201
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Real Estate Investment Trusts (REITs) — 2.0% — (continued) | |
| | | | | | Diversified Healthcare Trust: | | | | |
| $ | 150,000 | | | B | | Company Guaranteed Notes, 9.750% due 6/15/25 | | $ | 149,481 | |
| | 70,000 | | | CCC+ | | Senior Unsecured Notes, 4.750% due 2/15/28 | | | 55,784 | |
| | 290,000 | | | NR | | IIP Operating Partnership LP, Company Guaranteed Notes, 5.500% due 5/25/26 | | | 273,684 | |
| | 125,000 | | | BB- | | Iron Mountain Information Management Services Inc., Company Guaranteed Notes, 5.000% due 7/15/32(a) | | | 111,927 | |
| | | | | | Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., Company Guaranteed Notes: | | | | |
| | 305,000 | | | BB- | | 4.250% due 2/1/27(a) | | | 281,116 | |
| | 130,000 | | | BB- | | 4.750% due 6/15/29(a) | | | 116,881 | |
| | 160,000 | | | BB- | | MPT Operating Partnership LP/MPT Finance Corp., Company Guaranteed Notes, 3.500% due 3/15/31 | | | 107,318 | |
| | | | | | Service Properties Trust: | | | | |
| | 466,000 | | | BB | | Company Guaranteed Notes, 5.500% due 12/15/27 | | | 439,142 | |
| | 60,000 | | | BB | | Senior Secured Notes, 8.625% due 11/15/31(a) | | | 63,415 | |
| | | | | | Senior Unsecured Notes: | | | | |
| | 227,000 | | | B+ | | 3.950% due 1/15/28 | | | 192,268 | |
| | 205,000 | | | B+ | | 4.375% due 2/15/30 | | | 158,227 | |
| | | | | | | | | | |
| | | | | | Total Real Estate Investment Trusts (REITs) | | | 2,750,344 | |
| | | | | | | | | | |
|
| Retail — 4.7% | |
| | 70,000 | | | BB+ | | Academy Ltd., Senior Secured Notes, 6.000% due 11/15/27(a) | | | 69,586 | |
| | | | | | Bath & Body Works Inc., Company Guaranteed Notes: | | | | |
| | 20,000 | | | BB | | 9.375% due 7/1/25(a) | | | 20,871 | |
| | 350,000 | | | BB | | 6.625% due 10/1/30(a) | | | 352,255 | |
| | 90,000 | | | BB | | Beacon Roofing Supply Inc., Senior Secured Notes, 6.500% due 8/1/30(a) | | | 90,571 | |
| | 245,000 | | | BB- | | Brinker International Inc., Company Guaranteed Notes, 5.000% due 10/1/24(a) | | | 242,836 | |
| | 524,000 | | | B- | | CEC Entertainment LLC, Senior Secured Notes, 6.750% due 5/1/26(a) | | | 519,217 | |
| | 284,000 | | | B | | Ferrellgas LP/Ferrellgas Finance Corp., Senior Unsecured Notes, 5.375% due 4/1/26(a) | | | 281,811 | |
| | | | | | Fertitta Entertainment LLC/Fertitta Entertainment Finance Co., Inc.: | | | | |
| | 390,000 | | | CCC+ | | Company Guaranteed Notes, 6.750% due 1/15/30(a) | | | 344,841 | |
| | 190,000 | | | B | | Senior Secured Notes, 4.625% due 1/15/29(a) | | | 172,613 | |
| | | | | | FirstCash Inc.: | | | | |
| | | | | | Company Guaranteed Notes: | | | | |
| | 448,000 | | | BB | | 4.625% due 9/1/28(a) | | | 414,913 | |
| | 187,000 | | | BB | | 5.625% due 1/1/30(a) | | | 177,387 | |
| | 150,000 | | | BB | | Senior Unsecured Notes, 6.875% due 3/1/32(a) | | | 148,734 | |
| | 200,000 | | | BB | | Foot Locker Inc., Senior Unsecured Notes, 4.000% due 10/1/29(a) | | | 169,476 | |
| | 200,000 | | | B+ | | Global Auto Holdings Ltd./AAG FH UK Ltd., Senior Unsecured Notes, 8.750% due 1/15/32(a) | | | 190,115 | |
| | 290,000 | | | BB- | | Ken Garff Automotive LLC, Senior Unsecured Notes, 4.875% due 9/15/28(a) | | | 267,141 | |
| | 470,000 | | | BB | | Kohl's Corp., Senior Unsecured Notes, 4.625% due 5/1/31 | | | 370,684 | |
| | 610,000 | | | CCC | | LBM Acquisition LLC, Company Guaranteed Notes, 6.250% due 1/15/29(a) | | | 550,201 | |
| | 310,000 | | | CCC+ | | Michaels Cos Inc. (The), Senior Secured Notes, 5.250% due 5/1/28(a) | | | 241,072 | |
| | | | | | Murphy Oil USA Inc., Company Guaranteed Notes: | | | | |
| | 225,000 | | | BB+ | | 4.750% due 9/15/29 | | | 209,981 | |
| | 110,000 | | | BB+ | | 3.750% due 2/15/31(a) | | | 94,072 | |
| | 97,000 | | | B- | | NMG Holding Co., Inc./Neiman Marcus Group LLC, Senior Secured Notes, 7.125% due 4/1/26(a) | | | 95,228 | |
| | 495,000 | | | CCC | | Park River Holdings Inc., Senior Unsecured Notes, 6.750% due 8/1/29(a) | | | 424,369 | |
| | 140,000 | | | B | | Raising Cane's Restaurants LLC, Senior Unsecured Notes, 9.375% due 5/1/29(a) | | | 149,319 | |
| | 110,000 | | | BB- | | Sally Holdings LLC/Sally Capital Inc., Company Guaranteed Notes, 6.750% due 3/1/32 | | | 110,004 | |
| | 180,000 | | | B3(b) | | Sizzling Platter LLC/Sizzling Platter Finance Corp., Senior Secured Notes, 8.500% due 11/28/25(a) | | | 180,753 | |
See Notes to Financial Statements.
202
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Retail — 4.7% — (continued) | |
| $ | 225,000 | | | B | | Specialty Building Products Holdings LLC/SBP Finance Corp., Senior Secured Notes, 6.375% due 9/30/26(a) | | $ | 220,264 | |
| | 100,000 | | | BB- | | Suburban Propane Partners LP/Suburban Energy Finance Corp., Senior Unsecured Notes, 5.000% due 6/1/31(a) | | | 89,911 | |
| | 90,000 | | | BB- | | Superior Plus LP/Superior General Partner Inc., Company Guaranteed Notes, 4.500% due 3/15/29(a) | | | 81,551 | |
| | | | | | | | | | |
| | | | | | Total Retail | | | 6,279,776 | |
| | | | | | | | | | |
|
| Semiconductors — 0.2% | |
| | 320,000 | | | BB- | | Entegris Inc., Company Guaranteed Notes, 5.950% due 6/15/30(a) | | | 314,143 | |
| | | | | | | | | | |
| |
| Software — 1.8% | | | |
| | 120,000 | | | CCC | | AthenaHealth Group Inc., Senior Unsecured Notes, 6.500% due 2/15/30(a) | | | 107,539 | |
| | 335,000 | | | B- | | Capstone Borrower Inc., Senior Secured Notes, 8.000% due 6/15/30(a) | | | 346,561 | |
| | 450,000 | | | B+ | | Central Parent Inc./CDK Global Inc., Senior Secured Notes, 7.250% due 6/15/29(a) | | | 453,314 | |
| | 104,000 | | | B+ | | Central Parent LLC/CDK Global II LLC/CDK Financing Co., Inc., Senior Secured Notes, 8.000% due 6/15/29(a) | | | 106,695 | |
| | 170,000 | | | B+ | | Elastic NV, Senior Unsecured Notes, 4.125% due 7/15/29(a) | | | 152,824 | |
| | 450,000 | | | B | | Helios Software Holdings Inc./ION Corporate Solutions Finance Sarl, Senior Secured Notes, 4.625% due 5/1/28(a) | | | 401,895 | |
| | | | | | Open Text Corp.: | | | | |
| | | | | | Company Guaranteed Notes: | | | | |
| | 20,000 | | | BB- | | 3.875% due 2/15/28(a) | | | 18,399 | |
| | 260,000 | | | BB- | | 3.875% due 12/1/29(a) | | | 230,019 | |
| | 200,000 | | | BBB- | | Senior Secured Notes, 6.900% due 12/1/27(a) | | | 206,644 | |
| | 160,000 | | | B+ | | Playtika Holding Corp., Company Guaranteed Notes, 4.250% due 3/15/29(a) | | | 136,656 | |
| | 616,000 | | | CCC- | | Rackspace Technology Global Inc., Senior Secured Notes, 3.500% due 2/15/28(a) | | | 253,471 | |
| | | | | | | | | | |
| | | | | | Total Software | | | 2,414,017 | |
| | | | | | | | | | |
|
| Telecommunications — 3.3% | |
| | 945,000 | | | CCC | | Altice France Holding SA, Senior Secured Notes, 10.500% due 5/15/27(a) | | | 613,576 | |
| | | | | | Altice France SA, Senior Secured Notes: | | | | |
| | 250,000 | | | B- | | 8.125% due 2/1/27(a) | | | 230,028 | |
| | 250,000 | | | B- | | 5.500% due 1/15/28(a) | | | 204,247 | |
| | 710,000 | | | B- | | 5.125% due 7/15/29(a) | | | 536,967 | |
| | 246,000 | | | B- | | 5.500% due 10/15/29(a) | | | 186,572 | |
| | 465,000 | | | B+ | | C&W Senior Financing DAC, Senior Unsecured Notes, 6.875% due 9/15/27(a) | | | 438,753 | |
| | 170,000 | | | CCC+ | | CommScope Inc., Senior Secured Notes, 4.750% due 9/1/29(a) | | | 117,899 | |
| | 200,000 | | | CCC- | | CommScope Technologies LLC, Company Guaranteed Notes, 6.000% due 6/15/25(a) | | | 163,196 | |
| | 277,000 | | | B+ | | Connect Finco Sarl/Connect US Finco LLC, Senior Secured Notes, 6.750% due 10/1/26(a) | | | 271,986 | |
| | 345,000 | | | B+ | | Iliad Holding SASU, Senior Secured Notes, 7.000% due 10/15/28(a) | | | 341,608 | |
| | 6,000 | | | BB- | | Sable International Finance Ltd., Senior Secured Notes, 5.750% due 9/7/27(a) | | | 5,759 | |
| | 230,000 | | | BBB- | | Sprint Capital Corp., Company Guaranteed Notes, 8.750% due 3/15/32 | | | 277,956 | |
| | 140,000 | | | B+ | | Telecom Italia Capital SA, Company Guaranteed Notes, 6.000% due 9/30/34 | | | 130,043 | |
| | 435,000 | | | D | | Telesat Canada/Telesat LLC, Senior Secured Notes, 4.875% due 6/1/27(a) | | | 245,090 | |
| | 690,000 | | | B- | | Viasat Inc., Senior Unsecured Notes, 7.500% due 5/30/31(a) | | | 488,175 | |
| | 260,000 | | | BB- | | Vmed O2 UK Financing I PLC, Senior Secured Notes, 4.750% due 7/15/31(a) | | | 225,077 | |
| | | | | | | | | | |
| | | | | | Total Telecommunications | | | 4,476,932 | |
| | | | | | | | | | |
|
| Transportation — 0.7% | |
| | 496,000 | | | BB | | Cargo Aircraft Management Inc., Company Guaranteed Notes, 4.750% due 2/1/28(a) | | | 438,648 | |
| | 320,000 | | | CCC+ | | Carriage Purchaser Inc., Senior Unsecured Notes, 7.875% due 10/15/29(a) | | | 277,195 | |
| | 50,000 | | | BB+ | | RXO Inc., Company Guaranteed Notes, 7.500% due 11/15/27(a) | | | 51,678 | |
| | 184,000 | | | BB- | | XPO CNW Inc., Senior Unsecured Notes, 6.700% due 5/1/34 | | | 190,604 | |
| | | | | | | | | | |
| | | | | | Total Transportation | | | 958,125 | |
| | | | | | | | | | |
See Notes to Financial Statements.
203
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| Trucking & Leasing — 0.3% | |
| $ | 375,000 | | | BB+ | | AerCap Global Aviation Trust, Company Guaranteed Notes, 6.500%
(3-Month Term SOFR + 4.562%) due 6/15/45(a)(c) | | $ | 372,408 | |
| | | | | | | | | | |
| | | | | | TOTAL CORPORATE BONDS & NOTES
(Cost — $124,821,262) | | | 120,003,037 | |
| | | | | | | | | | |
|
| COLLATERALIZED MORTGAGE OBLIGATIONS — 3.5% | |
| | 280,000 | | | BBB- | | ARES XLIV CLO Ltd., Series 2017-44A, Class CR, 8.976%
(3-Month Term SOFR + 3.662%) due 4/15/34(a)(c) | | | 280,554 | |
| | 250,000 | | | Baa3(b) | | Battalion CLO XI Ltd., Series 2017-11A, Class DR, 9.230%
(3-Month Term SOFR + 3.912%) due 4/24/34(a)(c) | | | 245,815 | |
| | 280,000 | | | Ba3(b) | | Canyon Capital CLO Ltd., Series 2021-1A, Class E, 11.986%
(3-Month Term SOFR + 6.672%) due 4/15/34(a)(c) | | | 267,402 | |
| | 250,000 | | | Baa3(b) | | Dryden 49 Senior Loan Fund, Series 2017-49A, Class DR, 8.960%
(3-Month Term SOFR + 3.662%) due 7/18/30(a)(c) | | | 249,428 | |
| | 300,000 | | | BBB- | | ICG US CLO Ltd., Series 2022-1A, Class DJ, 11.048%
(3-Month Term SOFR + 5.730%) due 7/20/35(a)(c) | | | 299,724 | |
| | 360,000 | | | BB- | | Madison Park Funding XXXV Ltd., Series 2019-35A, Class ER, 11.679%
(3-Month Term SOFR + 6.362%) due 4/20/32(a)(c) | | | 360,441 | |
| | 250,000 | | | Ba1(b) | | Marble Point CLO XIV Ltd., Series 2018-2A, Class D, 9.109%
(3-Month Term SOFR + 3.792%) due 1/20/32(a)(c) | | | 242,579 | |
| | 280,000 | | | Baa3(b) | | Mountain View CLO IX Ltd., Series 2015-9A, Class CR, 8.696%
(3-Month Term SOFR + 3.382%) due 7/15/31(a)(c) | | | 267,911 | |
| | 250,000 | | | BB- | | Neuberger Berman CLO XVIII Ltd., Series 2014-18A, Class DR2, 11.499%
(3-Month Term SOFR + 6.182%) due 10/21/30(a)(c) | | | 251,244 | |
| | 250,000 | | | BBB- | | Neuberger Berman Loan Advisers CLO 28 Ltd., Series 2018-28A, Class D, 8.429%
(3-Month Term SOFR + 3.112%) due 4/20/30(a)(c) | | | 248,810 | |
| | 150,000 | | | BBB- | | Oaktree CLO Ltd., Series 2022-2A, Class DR, 9.814%
(3-Month Term SOFR + 4.500%) due 7/15/33(a)(c) | | | 150,401 | |
| | 280,000 | | | Baa3(b) | | Ocean Trails CLO IX, Series 2020-9A, Class DR, 9.326%
(3-Month Term SOFR + 4.012%) due 10/15/34(a)(c) | | | 277,278 | |
| | 210,000 | | | BBB- | | Ocean Trails CLO V, Series 2014-5A, Class DRR, 9.026%
(3-Month Term SOFR + 3.712%) due 10/13/31(a)(c) | | | 197,971 | |
| | 110,000 | | | Baa3(b) | | Palmer Square Loan Funding Ltd., Series 2022-3A, Class C, 10.714%
(3-Month Term SOFR + 5.400%) due 4/15/31(a)(c) | | | 110,120 | |
| | 230,000 | | | BB- | | Sculptor CLO XXVI Ltd., Series 26A, Class E, 12.829%
(3-Month Term SOFR + 7.512%) due 7/20/34(a)(c) | | | 222,658 | |
| | 160,000 | | | BBB- | | Symphony CLO 40 Ltd., Series 2023-40A, Class D, 10.344%
(3-Month Term SOFR + 5.000%) due 1/14/34(a)(c) | | | 161,561 | |
| | 250,000 | | | Ba3(b) | | Symphony CLO XX Ltd., Series 2018-20A, Class E, 11.866%
(3-Month Term SOFR + 6.552%) due 1/16/32(a)(c) | | | 234,857 | |
| | 300,000 | | | BBB- | | Trinitas CLO XXVI Ltd., Series 2023-26A, Class D, 9.818%
(3-Month Term SOFR + 4.500%) due 1/20/35(a)(c) | | | 301,611 | |
| | 350,000 | | | BB- | | Voya CLO Ltd., Series 2017-3A, Class DR, 12.529%
(3-Month Term SOFR + 7.212%) due 4/20/34(a)(c) | | | 343,929 | |
| | | | | | | | | | |
| | | | | | TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost — $4,740,504) | | | 4,714,294 | |
| | | | | | | | | | |
| |
| SENIOR LOANS — 2.2% | | | |
| | 57,750 | | | NR | | Acrisure LLC, (Cost — $57,689, acquired 1/31/20), 8.941%
(1-Month USD-LIBOR + 3.500%) due 2/15/27(c)(e) | | | 57,764 | |
| | 360,705 | | | NR | | Arctic Canadian Diamond Co., Ltd., (Cost — $360,705, acquired 2/2/21), 10.000%
(3-Month USD-LIBOR + 10.000%) due 12/31/24(c)(e)(f)(g) | | | 326,077 | |
| | 109,725 | | | NR | | Clarios Global LP, (Cost — $110,082, acquired 1/12/24), 8.326%
(1-Month CME Term SOFR + 3.000%) due 5/6/30(c)(e) | | | 109,948 | |
| | 130,000 | | | NR | | Cotiviti Holdings Inc., (Cost — $129,350, acquired 2/22/24) due 2/24/31(e)(k) | | | 129,675 | |
See Notes to Financial Statements.
204
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| |
| SENIOR LOANS — 2.2% — (continued) | | | |
| $ | 317,625 | | | NR | | DCert Buyer Inc., (Cost — $313,522, acquired 4/17/20), 9.326%
(1-Month CME Term SOFR + 4.000%) due 10/16/26(c)(e) | | $ | 315,730 | |
| | 180,000 | | | NR | | DCert Buyer Inc., (Cost — $179,720, acquired 2/16/21), 12.326%
(1-Month CME Term SOFR + 7.000%) due 2/19/29(c)(e) | | | 164,764 | |
| | 80,000 | | | NR | | Deerfield Dakota Holding LLC, (Cost — $79,390, acquired 3/5/20), 12.360%
(3-Month CME Term SOFR + 6.750%) due 4/7/28(c)(e) | | | 79,650 | |
| | 260,550 | | | NR | | Equinox Holdings Inc., (Cost — $260,510, acquired 6/9/20), 14.610%
(6-Month USD-LIBOR + 9.000%) due 3/8/24(c)(e) | | | 258,433 | |
| | 57,846 | | | NR | | EyeCare Partners LLC, (Cost — $57,821, acquired 2/5/20), 9.324%
(3-Month CME Term SOFR + 3.750%) due 2/18/27(c)(e)(g) | | | 31,454 | |
| | 46,687 | | | NR | | Global Tel Link Corporation, (Cost — $46,139, acquired 8/16/19), 9.676%
(3-Month CME Term SOFR + 4.250%) due 11/29/25(c)(e) | | | 45,554 | |
| | 224,000 | | | NR | | Mileage Plus Holdings LLC, (Cost — $221,867, acquired 6/25/20), 10.770%
(3-Month CME Term SOFR + 5.250%) due 6/21/27(c)(e) | | | 231,026 | |
| | 31,418 | | | NR | | MRI Software LLC, (Cost — $30,886, acquired 3/20/23), 10.948%
(3-Month CME Term SOFR + 5.500%) due 2/10/27(c)(e) | | | 31,339 | |
| | 18,069 | | | NR | | MRI Software LLC, (Cost — $17,763, acquired 3/20/23), 10.948%
(3-Month CME Term SOFR + 5.500%) due 2/10/27(c)(e) | | | 18,024 | |
| | 148,199 | | | NR | | Peraton Corp., (Cost — $147,779, acquired 2/23/21), 9.176%
(1-Month CME Term SOFR + 3.750%) due 2/1/28(c)(e) | | | 148,539 | |
| | 162,198 | | | NR | | R.R. Donnelley & Sons Co., (Cost — $158,227, acquired 3/23/23), 12.676%
(1-Month CME Term SOFR + 7.250%) due 3/22/28(c)(e) | | | 163,288 | |
| | 109,461 | | | NR | | Redstone HoldCo 2 LP, (Cost — $108,814, acquired 4/16/21), 10.191%
(1-Month CME Term SOFR + 4.750%) due 4/27/28(c)(e) | | | 91,144 | |
| | 241,215 | | | NR | | Sedgwick Claims Management Services Inc., (Cost — $225,854, acquired 2/24/23), 9.076%
(1-Month CME Term SOFR + 3.750%) due 2/24/28(c)(e) | | | 241,846 | |
| | 68,042 | | | NR | | Spencer Spirit IH LLC, (Cost — $67,597, acquired 6/14/19), 11.430%
(1-Month CME Term SOFR + 6.000%) due 6/19/26(c)(e) | | | 67,943 | |
| | 80,000 | | | NR | | United AirLines Inc., (Cost — $79,600, acquired 2/15/24), 8.076%
(3-Month CME Term SOFR + 2.750%) due 2/22/31(c)(e) | | | 80,050 | |
| | 308,805 | | | NR | | Verscend Holding Corp., 9.441% (1-Month CME Term SOFR + 4.000%) due 8/27/25(c) | | | 309,416 | |
| | | | | | | | | | |
| | | | | | TOTAL SENIOR LOANS
(Cost — $2,958,065) | | | 2,901,664 | |
| | | | | | | | | | |
|
| COMMON STOCKS — 0.2% | |
|
| ENERGY — 0.2% | |
|
| Oil & Gas — 0.2% | |
| | 18,672 | | | | | Berry Corp. | | | 131,638 | |
| | 1,156 | | | | | Chord Energy Corp. | | | 187,792 | |
| | | | | | | | | | |
| | | | | | TOTAL COMMON STOCKS
(Cost — $148,347) | | | 319,430 | |
| | | | | | | | | | |
| |
| CONVERTIBLE PREFERRED STOCKS — 0.2% | | | |
| |
| ENERGY — 0.2% | | | |
|
| Pipelines — 0.2% | |
| | 7,695 | | | | | Equitrans Midstream Corp., 9.750% (3-Month USD-LIBOR + 8.150%)(c)(d) | | | 167,366 | |
| | 3,253 | | | | | MPLX LP, (Cost — $105,723, acquired 12/16/20), step bond to yield, 9.538%(d)(e)(f) | | | 121,711 | |
| | | | | | | | | | |
| | | | | | TOTAL CONVERTIBLE PREFERRED STOCKS
(Cost — $276,936) | | | 289,077 | |
| | | | | | | | | | |
See Notes to Financial Statements.
205
| | | | | | | | | | |
| High Yield Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| |
| SOVEREIGN BOND — 0.0%@ | | | |
|
| Argentina — 0.0%@ | |
| $ | 100,000 | | | CCC- | | Provincia de Buenos Aires/Government Bonds, step bond to yield, 6.375% due 9/1/37(a)
(Cost — $36,270) | | $ | 38,875 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS
(Cost — $132,981,384) | | | 128,266,377 | |
| | | | | | | | | | |
|
| SHORT-TERM INVESTMENTS — 4.7% | |
|
| TIME DEPOSITS — 4.7% | |
| | 1,450,121 | | | | | Citibank — New York, 4.680% due 3/1/24 | | | 1,450,121 | |
| | 4,867,144 | | | | | JPMorgan Chase & Co. — New York, 4.680% due 3/1/24 | | | 4,867,144 | |
| | 104 | | | | | Sumitomo Mitsui Banking Corp. — Tokyo, 4.680% due 3/1/24 | | | 104 | |
| | | | | | | | | | |
| | | | | | TOTAL SHORT-TERM INVESTMENTS
(Cost — $6,317,369) | | | 6,317,369 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS — 100.0%
(Cost — $139,298,753) | | | 134,583,746 | |
| | | | | | | | | | |
| | | | | | Other Assets in Excess of Liabilities — 0.0% | | | 15,596 | |
| | | | | | | | | | |
| | | | | | TOTAL NET ASSETS — 100.0% | | $ | 134,599,342 | |
| | | | | | | | | | |
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
| †† | All ratings are by Standard & Poor's Rating Service, unless otherwise noted. |
| * | Non-income producing security. |
| @ | The amount is less than 0.05%. |
| (a) | Restricted security that may be sold to "qualified institutional buyers" pursuant to the conditions of Rule 144A under the Securities Act of 1933, as amended. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees, unless otherwise noted. The aggregate value of restricted 144A holdings at February 29, 2024, amounts to $106,972,733 and represents 79.5% of net assets. |
| (b) | Rating by Moody's Investors Service. |
| (c) | Variable rate security. Interest rate disclosed is that which was in effect at February 29, 2024. |
| (d) | Security is perpetual in nature and has no stated maturity date. |
| (e) | The aggregate value of restricted securities (excluding 144A holdings) at February 29, 2024, amounts to $2,713,959 and represents 2.0% of net assets. |
| (f) | Security is valued in good faith at fair value by or under the direction of the Board of Trustees. |
| (h) | Rating by Fitch Ratings Service. |
| (i) | Payment in-kind security for which part of the income earned may be paid as additional principal. |
| (j) | Security is currently in default. |
| (k) | This position represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate. |
| # | Security that used significant unobservable inputs to determine fair value. At February 29, 2024, the Fund held Level 3 security in the amount of $0, representing 0.0% of net assets. |
At February 29, 2024, for High Yield Fund the aggregate cost of investments, the aggregate gross unrealized appreciation and depreciation of all investments for federal income tax purposes were as follows:
| | | | | | | | | | | | | | |
| Fund | | Aggregate Cost For Federal Income Tax Purposes | | Gross Unrealized Appreciation | | | Gross Unrealized (Depreciation) | | | Net Unrealized (Depreciation) | |
| High Yield Fund | | $ 139,298,753 | | $ | 2,982,482 | | | $ | (7,697,489) | | | $ | (4,715,007) | |
See Notes to Financial Statements.
206
| | |
Abbreviations used in this schedule: |
| CLO | | — Collateralized Loan Obligation |
| CMT | | — Constant Maturity Treasury Rate |
| DAC | | — Designated Activity Company |
| ICE | | — Intercontinental Exchange |
| LIBOR | | — London Interbank Offered Rate |
| LLC | | — Limited Liability Company |
| PLC | | — Public Limited Company |
| SOFR | | — Secured Overnight Financing Rate |
| | | | |
| Summary of Investments by Security Type^ | | | |
Corporate Bonds & Notes | | | 89.2 | % |
Collateralized Mortgage Obligations | | | 3.5 | |
Senior Loans | | | 2.2 | |
Common Stocks | | | 0.2 | |
Convertible Preferred Stocks | | | 0.2 | |
Sovereign Bond | | | 0.0 | * |
Short-Term Investments | | | 4.7 | |
| | | | |
Total Investments | | | 100.0 | % |
| | | | |
| ^ | As a percentage of total investments. |
| * | Position represents less than 0.05%. |
See pages 264-265 for definitions of ratings.
See Notes to Financial Statements.
207
| | | | | | | | |
| International Fixed Income Fund | |
| | |
Face
Amount/Units† | | | Security | | Value | |
|
| | MORTGAGE — BACKED SECURITIES — 29.4% | |
|
| FHLMC — 3.4% | |
| | | | Federal Home Loan Mortgage Corp. (FHLMC): | | | | |
| $ | 28,693 | | | 3.500% due 10/1/39 | | $ | 26,650 | |
| | 381,675 | | | 2.500% due 12/1/51 | | | 313,879 | |
| | 92,163 | | | 2.000% due 3/1/52 | | | 72,534 | |
| | 1,203,841 | | | 4.500% due 9/1/52 – 10/1/52 | | | 1,139,921 | |
| | 4,908,509 | | | 6.500% due 3/1/53 – 3/1/54 | | | 4,996,742 | |
| | | | | | | | |
| | | | TOTAL FHLMC | | | 6,549,726 | |
| | | | | | | | |
|
| FNMA — 25.1% | |
| | | | Federal National Mortgage Association (FNMA): | | | | |
| | 323,532 | | | 3.500% due 10/1/34 – 6/1/50 | | | 294,226 | |
| | 12,316 | | | 6.386% (1-Year CMT Index + 2.360%) due 11/1/34(a) | | | 12,669 | |
| | 3,030,504 | | | 6.500% due 8/1/37 – 8/1/53 | | | 3,086,942 | |
| | 9,300,000 | | | 5.000% due 5/1/42(b) | | | 9,019,372 | |
| | 420,421 | | | 3.000% due 10/1/49 5/1/51 | | | 363,641 | |
| | 87,962 | | | 4.000% due 6/1/50 | | | 81,660 | |
| | 444,212 | | | 2.000% due 3/1/52 | | | 350,252 | |
| | 6,463,689 | | | 4.500% due 5/1/52 – 5/1/53 | | | 6,116,137 | |
| | 8,054,889 | | | 6.000% due 4/1/53 – 7/1/53 | | | 8,094,473 | |
| | 588,334 | | | 5.500% due 9/1/53 | | | 581,975 | |
| | 5,850,000 | | | 4.000% due 3/1/54 – 4/1/54(b) | | | 5,384,556 | |
| | 2,400,000 | | | 4.500% due 3/1/54(b) | | | 2,269,550 | |
| | 9,700,000 | | | 6.500% due 3/1/54(b) | | | 9,871,282 | |
| | 2,900,000 | | | 5.500% due 4/1/54(b) | | | 2,867,581 | |
| | | | | | | | |
| | | | TOTAL FNMA | | | 48,394,316 | |
| | | | | | | | |
|
| GNMA — 0.9% | |
| | | | Government National Mortgage Association II (GNMA): | | | | |
| | 1,446 | | | 6.000% due 9/20/38 | | | 1,461 | |
| | 1,900,000 | | | 3.000% due 3/20/54(b) | | | 1,666,938 | |
| | | | | | | | |
| | | | TOTAL GNMA | | | 1,668,399 | |
| | | | | | | | |
| | | | TOTAL MORTGAGE-BACKED SECURITIES
(Cost — $57,245,443) | | | 56,612,441 | |
| | | | | | | | |
|
| | SOVEREIGN BONDS — 28.8% | |
|
| | Argentina — 0.0%@ | |
| | 22,000 | ARS | | Provincia de Buenos Aires, 112.831%
(Argentina Deposit Rates Badlar Private Banks ARS 30 to 35 Days Index + 3.750%) due 4/12/25(a)(c)(d) | | | 29 | |
| | | | | | | | |
|
| | Australia — 0.0%@ | |
| | | | Australia Government Bonds: | | | | |
| | 100,000 | AUD | | 2.500% due 5/21/30 | | | 60,061 | |
| | 50,000 | AUD | | 1.750% due 6/21/51 | | | 18,515 | |
| | | | | | | | |
| | | | Total Australia | | | 78,576 | |
| | | | | | | | |
|
| | Brazil — 0.3% | |
| | 3,300,000 | BRL | | Brazil Letras do Tesouro Nacional, zero coupon due 7/1/24 | | | 642,308 | |
| | | | | | | | |
|
| | Canada — 0.8% | |
| | 1,700,000 | CAD | | Canadian Government Bonds, 3.250% due 12/1/33 | | | 1,227,158 | |
| | 27,900,000 | INR | | Export Development Canada, 7.130% due 3/11/29(c) | | | 336,570 | |
| | | | | | | | |
| | | | Total Canada | | | 1,563,728 | |
| | | | | | | | |
|
| | Chile — 0.1% | |
| | 200,000 | | | Chile Government International Bonds, 4.850% due 1/22/29 | | | 198,636 | |
| | | | | | | | |
See Notes to Financial Statements.
208
| | | | | | | | |
| International Fixed Income Fund | |
| | |
Face
Amount/Units† | | | Security | | Value | |
|
| | China — 4.4% | |
| | | | China Government Bonds: | | | | |
| | 7,500,000 | CNY | | 2.800% due 3/24/29 | | $ | 1,067,640 | |
| | 7,100,000 | CNY | | 3.290% due 5/23/29 | | | 1,037,165 | |
| | 6,300,000 | CNY | | 2.800% due 3/25/30 | | | 897,808 | |
| | 6,000,000 | CNY | | 2.600% due 9/15/30 | | | 848,363 | |
| | 14,200,000 | CNY | | 2.690% due 8/15/32 | | | 2,018,208 | |
| | 13,700,000 | CNY | | 2.800% due 11/15/32 | | | 1,962,520 | |
| | 4,090,000 | CNY | | 3.190% due 4/15/53 | | | 651,372 | |
| | | | | | | | |
| | | | Total China | | | 8,483,076 | |
| | | | | | | | |
|
| | France — 2.6% | |
| | | | French Republic Government Bonds OAT: | | | | |
| | 900,000 | EUR | | 3.250% due 5/25/45 | | | 973,404 | |
| | 3,300,000 | EUR | | 2.000% due 5/25/48(c) | | | 2,817,596 | |
| | 1,650,000 | EUR | | 0.750% due 5/25/52 | | | 964,394 | |
| | 500,000 | EUR | | 0.500% due 5/25/72(c) | | | 209,913 | |
| | | | | | | | |
| | | | Total France | | | 4,965,307 | |
| | | | | | | | |
|
| | Hungary — 0.1% | |
| $ | 200,000 | | | Hungary Government International Bonds, 6.250% due 9/22/32(c) | | | 206,640 | |
| | | | | | | | |
|
| | Israel — 0.2% | |
| | 2,000,000 | ILS | | Israel Government Bonds – Fixed, 1.000% due 3/31/30 | | | 476,019 | |
| | | | | | | | |
|
| | Italy — 0.9% | |
| | 400,000 | | | Cassa Depositi e Prestiti SpA, 5.750% due 5/5/26(c) | | | 396,518 | |
| | | | Italy Buoni Poliennali Del Tesoro: | | | | |
| | 600,000 | EUR | | zero coupon due 4/1/26 | | | 606,074 | |
| | 200,000 | EUR | | 3.850% due 9/15/26 | | | 219,256 | |
| | 400,000 | GBP | | Republic of Italy Government International Bonds, 6.000% due 8/4/28 | | | 517,602 | |
| | | | | | | | |
| | | | Total Italy | | | 1,739,450 | |
| | | | | | | | |
|
| | Japan — 9.3% | |
| | | | Japan Government Thirty Year Bonds: | | | | |
| | 210,000,000 | JPY | | 1.700% due 9/20/44 | | | 1,457,265 | |
| | 280,000,000 | JPY | | 1.400% due 9/20/45 | | | 1,829,615 | |
| | 152,000,000 | JPY | | 0.500% due 9/20/46 | | | 813,461 | |
| | 98,000,000 | JPY | | 0.700% due 12/20/48 | | | 533,391 | |
| | 360,000,000 | JPY | | 0.500% due 3/20/49 | | | 1,853,735 | |
| | 125,000,000 | JPY | | 0.700% due 6/20/51 | | | 656,644 | |
| | 210,000,000 | JPY | | 0.700% due 12/20/51 | | | 1,096,773 | |
| | | | Japan Government Twenty Year Bonds: | | | | |
| | 181,000,000 | JPY | | 1.200% due 9/20/35 | | | 1,253,846 | |
| | 200,000,000 | JPY | | 1.000% due 12/20/35 | | | 1,353,466 | |
| | 20,000,000 | JPY | | 0.400% due 3/20/36 | | | 125,940 | |
| | 170,000,000 | JPY | | 1.500% due 9/20/43 | | | 1,147,420 | |
| | | | Japan Government Two Year Bonds: | | | | |
| | 160,000,000 | JPY | | 0.005% due 3/1/24 | | | 1,067,271 | |
| | 180,000,000 | JPY | | 0.005% due 4/1/24 | | | 1,200,817 | |
| | 80,000,000 | JPY | | 0.005% due 5/1/24 | | | 533,747 | |
| | 160,000,000 | JPY | | 0.005% due 10/1/24 | | | 1,067,420 | |
| | 110,000,000 | JPY | | 0.100% due 1/1/26 | | | 732,818 | |
| | 158,755,590 | JPY | | Japanese Government CPI Linked Bonds, 0.100% due 3/10/28 | | | 1,113,508 | |
| | | | | | | | |
| | | | Total Japan | | | 17,837,137 | |
| | | | | | | | |
|
| | Malaysia — 1.4% | |
| | 12,523,000 | MYR | | Malaysia Government Bonds, 3.519% due 4/20/28 | | | 2,631,690 | |
| | | | | | | | |
See Notes to Financial Statements.
209
| | | | | | | | |
| International Fixed Income Fund | |
| | |
Face
Amount/Units† | | | Security | | Value | |
|
| | Peru — 0.1% | |
| | 400,000 | PEN | | Peruvian Government International Bonds, 5.940% due 2/12/29(c) | | $ | 106,723 | |
| | | | | | | | |
|
| | Poland — 0.3% | |
| | | | Poland Government International Bonds: | | | | |
| | 200,000 | EUR | | 3.875% due 2/14/33 | | | 221,855 | |
| $ | 100,000 | | | 4.875% due 10/4/33 | | | 98,075 | |
| | 100,000 | EUR | | 4.250% due 2/14/43 | | | 109,709 | |
| | 100,000 | | | 5.500% due 4/4/53 | | | 99,919 | |
| | | | | | | | |
| | | | Total Poland | | | 529,558 | |
| | | | | | | | |
|
| | Romania — 0.6% | |
| | | | Romanian Government International Bonds: | | | | |
| | 600,000 | EUR | | 6.625% due 9/27/29 | | | 694,634 | |
| | 200,000 | EUR | | 1.750% due 7/13/30(c) | | | 175,446 | |
| | 100,000 | EUR | | 2.000% due 4/14/33(c) | | | 81,277 | |
| | 50,000 | EUR | | 2.750% due 4/14/41(c) | | | 35,867 | |
| | 200,000 | EUR | | 2.875% due 4/13/42(c) | | | 144,089 | |
| | | | | | | | |
| | | | Total Romania | | | 1,131,313 | |
| | | | | | | | |
|
| | Saudi Arabia — 0.6% | |
| | | | Saudi Government International Bonds: | | | | |
| | 400,000 | | | 4.750% due 1/18/28(c) | | | 396,589 | |
| | 700,000 | | | 4.875% due 7/18/33(c) | | | 686,152 | |
| | | | | | | | |
| | | | Total Saudi Arabia | | | 1,082,741 | |
| | | | | | | | |
|
| | Serbia — 0.1% | |
| | | | Serbia International Bonds: | | | | |
| | 100,000 | EUR | | 1.000% due 9/23/28(c) | | | 91,128 | |
| | 100,000 | EUR | | 1.650% due 3/3/33(c) | | | 79,484 | |
| | | | | | | | |
| | | | Total Serbia | | | 170,612 | |
| | | | | | | | |
|
| | Singapore — 0.5% | |
| | | | Singapore Government Bonds: | | | | |
| | 30,000 | SGD | | 3.375% due 9/1/33 | | | 22,834 | |
| | 1,270,000 | SGD | | 2.250% due 8/1/36 | | | 862,681 | |
| | | | | | | | |
| | | | Total Singapore | | | 885,515 | |
| | | | | | | | |
|
| | Spain — 4.4% | |
| | 100,000 | EUR | | Autonomous Community of Catalonia, 4.220% due 4/26/35 | | | 108,650 | |
| | | | Spain Government Bonds: | | | | |
| | 1,400,000 | EUR | | 2.800% due 5/31/26 | | | 1,504,079 | |
| | 400,000 | EUR | | 1.450% due 10/31/27(c) | | | 410,231 | |
| | 1,500,000 | EUR | | 1.400% due 7/30/28(c) | | | 1,520,142 | |
| | 450,000 | EUR | | 1.450% due 4/30/29(c) | | | 452,261 | |
| | 400,000 | EUR | | 0.700% due 4/30/32(c) | | | 358,091 | |
| | 2,100,000 | EUR | | 2.550% due 10/31/32(c) | | | 2,167,454 | |
| | 400,000 | EUR | | 1.850% due 7/30/35(c) | | | 371,101 | |
| | 500,000 | EUR | | 1.900% due 10/31/52(c) | | | 361,300 | |
| | 850,000 | EUR | | 3.450% due 7/30/66(c) | | | 832,370 | |
| | 800,000 | EUR | | 1.450% due 10/31/71(c) | | | 420,836 | |
| | | | | | | | |
| | | | Total Spain | | | 8,506,515 | |
| | | | | | | | |
|
| United Kingdom — 2.1% | |
| | | | United Kingdom Gilts: | | | | |
| | 1,350,000 | GBP | | 3.250% due 1/22/44 | | | 1,420,484 | |
| | 700,000 | GBP | | 3.500% due 1/22/45 | | | 760,269 | |
| | 500,000 | GBP | | 1.750% due 1/22/49 | | | 371,132 | |
See Notes to Financial Statements.
210
| | | | | | | | |
| International Fixed Income Fund | |
| | |
Face
Amount/Units† | | | Security | | Value | |
|
| United Kingdom — 2.1% — (continued) | |
| | 1,400,000 | GBP | | 0.625% due 10/22/50 | | $ | 712,953 | |
| | 1,300,000 | GBP | | 1.250% due 7/31/51 | | | 804,477 | |
| | | | | | | | |
| | | | Total United Kingdom | | | 4,069,315 | |
| | | | | | | | |
| | | | TOTAL SOVEREIGN BONDS
(Cost — $69,246,913) | | | 55,304,888 | |
| | | | | | | | |
|
| COLLATERALIZED MORTGAGE OBLIGATIONS — 17.0% | |
| $ | 201,800 | | | ACAS CLO Ltd., Series 2015-1A, Class AR3, 6.450%
(3-Month Term SOFR + 1.152%) due 10/18/28(a)(c) | | | 201,797 | |
| | 321,020 | | | ACE Securities Corp. Home Equity Loan Trust, Series 2005-HE5, Class M4, 6.335%
(1-Month Term SOFR + 1.014%) due 8/25/35(a) | | | 311,118 | |
| | 213,468 | GBP | | ALBA PLC, Series 2007-1, Class A3, 5.510%
(Sterling Overnight Index Average + 0.289%) due 3/17/39(a) | | | 263,186 | |
| | 246,076 | | | AMMC CLO 21 Ltd., Series 2017-21A, Class A, 6.827%
(3-Month Term SOFR + 1.512%) due 11/2/30(a)(c) | | | 246,946 | |
| | 241,751 | | | Apidos CLO XXVI, Series 2017-26A, Class A1AR, 6.460%
(3-Month Term SOFR + 1.162%) due 7/18/29(a)(c) | | | 241,930 | |
| | 400,000 | | | Arbor Realty Commercial Real Estate Notes Ltd., Series 2022-FL1, Class A, 6.775%
(30-Day Average SOFR + 1.450%) due 1/15/37(a)(c) | | | 398,962 | |
| | 359,067 | | | Argent Mortgage Loan Trust, Series 2005-W1, Class A1, 5.915%
(1-Month Term SOFR + 0.594%) due 5/25/35(a) | | | 303,057 | |
| | 5,159 | | | Banc of America Funding Trust, Series 2006-A, Class 1A1, 5.724% due 2/20/36(a) | | | 4,765 | |
| | 140,754 | | | Bayview Financial Asset Trust, Series 2007-SR1A, Class A, 5.885%
(1-Month Term SOFR + 0.564%) due 3/25/37(a)(c) | | | 138,544 | |
| | 400,000 | | | BDS Ltd., Series 2021-FL10, Class A, 6.784%
(1-Month Term SOFR + 1.464%) due 12/16/36(a)(c) | | | 398,344 | |
| | | | Bear Stearns Adjustable Rate Mortgage Trust: | | | | |
| | 1,704 | | | Series 2003-5, Class 1A2, 4.385% due 8/25/33(a) | | | 1,602 | |
| | 2,058 | | | Series 2003-7, Class 6A, 5.664% due 10/25/33(a) | | | 1,927 | |
| | 7,506 | | | Series 2004-2, Class 22A, 5.562% due 5/25/34(a) | | | 6,931 | |
| | 1,471 | | | Series 2004-2, Class 23A, 4.000% due 5/25/34(a) | | | 1,244 | |
| | 30,532 | | | Bear Stearns Structured Products Inc. Trust, Series 2007-R6, Class 1A1, 5.011% due 1/26/36(a) | | | 23,097 | |
| | 383,431 | | | BIG Commercial Mortgage Trust, Series 2022-BIG, Class A, 6.660%
(1-Month Term SOFR + 1.342%) due 2/15/39(a)(c) | | | 379,095 | |
| | 104,837 | EUR | | BlueMountain Fuji Euro CLO II DAC, Series 2017-2A, Class AR, 4.592%
(3-Month EURIBOR + 0.650%) due 7/15/30(a)(c) | | | 113,010 | |
| | 300,000 | EUR | | BNPP AM Euro CLO DAC, Series 2019-1A, Class AR, 4.790%
(3-Month EURIBOR + 0.820%) due 7/22/32(a)(c) | | | 320,802 | |
| | 209,819 | EUR | | Cairn CLO VII DAC, Series 2016-7A, Class A1R, 4.582%
(3-Month EURIBOR + 0.670%) due 1/31/30(a)(c) | | | 225,813 | |
| | 249,765 | EUR | | Cairn CLO X DAC, Series 2018-10A, Class AR, 4.722%
(3-Month EURIBOR + 0.780%) due 10/15/31(a)(c) | | | 268,171 | |
| | 320,496 | | | CARLYLE US CLO Ltd., Series 2017-1A, Class A1R, 6.579%
(3-Month Term SOFR + 1.262%) due 4/20/31(a)(c) | | | 320,626 | |
| | 304,697 | | | CIFC Funding Ltd., Series 2017-4A, Class A1R, 6.530%
(3-Month Term SOFR + 1.212%) due 10/24/30(a)(c) | | | 304,977 | |
| | | | Countrywide Alternative Loan Trust: | | | | |
| | 3,388 | | | Series 2005-21CB, Class A3, 5.250% due 6/25/35 | | | 2,542 | |
| | 16,796 | | | Series 2007-16CB, Class 5A1, 6.250% due 8/25/37 | | | 7,961 | |
| | 33,091 | | | Series 2007-11T1, Class A12, 5.785% (1-Month Term SOFR + 0.464%) due 5/25/37(a) | | | 10,925 | |
| | 25,564 | | | Series 2007-7T2, Class A9, 6.000% due 4/25/37 | | | 11,499 | |
| | | | Countrywide Asset-Backed Certificates: | | | | |
| | 261,901 | | | Series 2007-9, Class 2A4, 5.685% (1-Month Term SOFR + 0.364%) due 2/25/36(a) | | | 246,183 | |
| | 39,469 | | | Series 2007-12, Class 1A1, 6.175% (1-Month Term SOFR + 0.854%) due 8/25/47(a) | | | 37,602 | |
| | 293,769 | | | Series 2007-13, Class 1A, 6.275% (1-Month Term SOFR + 0.954%) due 10/25/47(a) | | | 280,576 | |
| | 7,018 | | | Series 2007-SEA2, Class 1A1, 7.435% (1-Month Term SOFR + 2.114%) due 8/25/47(a)(c) | | | 7,019 | |
See Notes to Financial Statements.
211
| | | | | | | | |
| International Fixed Income Fund | |
| | |
Face
Amount/Units† | | | Security | | Value | |
|
| COLLATERALIZED MORTGAGE OBLIGATIONS — 17.0% — (continued) | |
| | | | Countrywide Home Loan Mortgage Pass-Through Trust: | | | | |
| $ | 40,574 | | | Series 2005-2, Class 1A1, 6.075% (1-Month Term SOFR + 0.754%) due 3/25/35(a) | | $ | 34,673 | |
| | 2,827 | | | Series 2005-3, Class 2A1, 6.015% (1-Month Term SOFR + 0.694%) due 4/25/35(a) | | | 2,560 | |
| | 40,698 | | | Series 2005-9, Class 1A3, 5.895% (1-Month Term SOFR + 0.574%) due 5/25/35(a) | | | 34,545 | |
| | 12,050 | | | Series 2005-11, Class 3A1, 3.738% due 4/25/35(a) | | | 8,214 | |
| | 6,751 | | | Series 2005-HYB9, Class 3A2A, 7.884% (1-Year Term SOFR + 2.465%) due 2/20/36(a) | | | 5,661 | |
| | 497,342 | | | Series 2007-4, Class 1A47, 6.000% due 5/25/37 | | | 220,530 | |
| | 92,009 | | | Series 2007-19, Class 2A1, 6.500% due 11/25/47 | | | 46,033 | |
| | | | Credit Suisse Commercial Mortgage Capital Trust: | | | | |
| | 34,301 | | | Series 2007-5R, Class A5, 6.500% due 7/26/36 | | | 8,525 | |
| | 79,205 | | | Series 2021-INV1, Class A3, 2.500% due 7/25/56(a)(c) | | | 63,642 | |
| | 126,963 | | | CSAB Mortgage-Backed Trust, Series 2006-4, Class A6A, step bond to yield, 6.184% due 12/25/36 | | | 22,925 | |
| | 296,866 | EUR | | CVC Cordatus Loan Fund XI DAC, Series 11A, Class AR, 4.592%
(3-Month EURIBOR + 0.650%) due 10/15/31(a)(c) | | | 318,055 | |
| | 500,000 | EUR | | CVC Cordatus Opportunity Loan Fund DAC, Series 1A, Class A
(3-Month EURIBOR + 1.380%) due 8/15/33(a)(c) | | | 540,427 | |
| | 375,977 | | | Deutsche Alternative-A Securities Mortgage Loan Trust, Series 2007-3, Class 2A1, 6.185%
(1-Month Term SOFR + 0.864%) due 10/25/47(a) | | | 266,677 | |
| | 297,695 | EUR | | Dryden 27 Euro CLO DAC, Series 2017-27A, Class AR, 4.602%
(3-Month EURIBOR + 0.660%) due 4/15/33(a)(c) | | | 318,193 | |
| | 374,555 | | | Dryden 55 CLO Ltd., Series 2018-55A, Class A1, 6.596%
(3-Month Term SOFR + 1.282%) due 4/15/31(a)(c) | | | 374,704 | |
| | 141,932 | | | Dryden Senior Loan Fund, Series 2017-47A, Class A1R, 6.556%
(3-Month Term SOFR + 1.242%) due 4/15/28(a)(c) | | | 142,011 | |
| | 242,052 | | | Elevation CLO Ltd., Series 2017-8A, Class A1R2, 6.536%
(3-Month Term SOFR + 1.212%) due 10/25/30(a)(c) | | | 241,856 | |
| | 333,103 | | | Ellington Loan Acquisition Trust, Series 2007-2, Class A1, 6.485%
(1-Month Term SOFR + 1.164%) due 5/25/37(a)(c) | | | 324,843 | |
| | 400,000 | | | Elmwood CLO VII Ltd., Series 2020-4A, Class AR, 6.947%
(3-Month Term SOFR + 1.630%) due 1/17/34(a)(c) | | | 400,719 | |
| | 63,411 | GBP | | Eurohome UK Mortgages PLC, Series 2007-1, Class A, 5.490%
(3-Month GBP-LIBOR + 0.150%) due 6/15/44(a) | | | 78,867 | |
| | 203,390 | GBP | | Eurosail-UK PLC, Series 2007-4X, Class A3, 6.290%
(Sterling Overnight Index Average + 1.069%) due 6/13/45(a) | | | 256,274 | |
| | 366,133 | | | Extended Stay America Trust, Series 2021-ESH, Class A, 6.512%
(1-Month Term SOFR + 1.194%) due 7/15/38(a)(c) | | | 365,926 | |
| | | | Federal Home Loan Mortgage Corp. (FHLMC), REMICS: | | | | |
| | 6,977 | | | Series 2391, Class FJ, 5.939% (30-Day Average SOFR + 0.614%) due 4/15/28(a) | | | 6,962 | |
| | 18,944 | | | Series 2614, Class SJ, 4.705% (19.348% - 2.750% x 30-Day Average SOFR) due 5/15/33(e) | | | 19,639 | |
| | 67,568 | | | Series 4579, Class FD, 5.559% (30-Day Average SOFR + 0.464%) due 1/15/38(a) | | | 66,873 | |
| | 67,568 | | | Series 4579, Class SD, 0.000% due 1/15/38(a)(f) | | | 3,569 | |
| | | | Federal Home Loan Mortgage Corp. (FHLMC), Structured Pass-Through Certificates: | | | | |
| | 10,352 | | | Series T-35, Class A, 5.716% (30-Day Average SOFR + 0.394%) due 9/25/31(a) | | | 10,451 | |
| | 16,551 | | | Series T-62, Class 1A1, 6.281% (1-Year Treasury Average Rate + 1.200%) due 10/25/44(a) | | | 15,013 | |
| | 3,717 | | | Federal National Mortgage Association (FNMA), Grantor Trust, Series 2004-T3, Class 1A1, 6.000% due 2/25/44 | | | 3,677 | |
| | | | Federal National Mortgage Association (FNMA), REMICS: | | | | |
| | 3,726 | | | Series 2003-34, Class A1, 6.000% due 4/25/43 | | | 3,721 | |
| | 4,217 | | | Series 2006-48, Class TF, 5.836% (30-Day Average SOFR + 0.514%) due 6/25/36(a) | | | 4,160 | |
| | 45,986 | | | Series 2009-104, Class FA, 6.236% (30-Day Average SOFR + 0.914%) due 12/25/39(a) | | | 45,992 | |
| | 22,355 | | | Federal National Mortgage Association (FNMA), REMIC Trust, Series 2004-W12, Class 1A1,
6.000% due 7/25/44 | | | 22,826 | |
| | 400,000 | | | FORT CRE Issuer LLC, Series 2022-FL3, Class A, 7.172%
(30-Day Average SOFR + 1.850%) due 2/23/39(a)(c) | | | 394,467 | |
See Notes to Financial Statements.
212
| | | | | | | | |
| International Fixed Income Fund | |
| | |
Face
Amount/Units† | | | Security | | Value | |
|
| COLLATERALIZED MORTGAGE OBLIGATIONS — 17.0% — (continued) | |
| $ | 306,525 | | | Galaxy XV CLO Ltd., Series 2013-15A, Class ARR, 6.546%
(3-Month Term SOFR + 1.232%) due 10/15/30(a)(c) | | $ | 306,671 | |
| | 477,708 | | | Gallatin CLO VIII Ltd., Series 2017-1A, Class A1R, 6.666%
(3-Month Term SOFR + 1.352%) due 7/15/31(a)(c) | | | 477,770 | |
| | 879,519 | | | GCAT Trust, Series 2023-NQM4, Class A1, 4.250% due 5/25/67(a)(c) | | | 815,803 | |
| | 10,521 | | | GMACM Mortgage Loan Trust, Series 2005-AR6, Class 3A1, 4.261% due 11/19/35(a) | | | 8,724 | |
| | | | Government National Mortgage Association (GNMA): | | | | |
| | 187,744 | | | Series 2016-H15, Class FA, 6.263% (1-Month Term SOFR + 0.914%) due 7/20/66(a) | | | 187,012 | |
| | 3,989 | | | Series 2017-121, Class PE, 3.000% due 7/20/46 | | | 3,770 | |
| | 797,429 | | | GS Mortgage-Backed Securities Corp. Trust, Series 2022-PJ4, Class A4, 2.500% due 9/25/52(a)(c) | | | 640,743 | |
| | | | GS Mortgage-Backed Securities Trust: | | | | |
| | 82,487 | | | Series 2021-GR3, Class A2, 2.500% due 4/25/52(a)(c) | | | 66,154 | |
| | 82,167 | | | Series 2021-INV1, Class A2, 2.500% due 12/25/51(a)(c) | | | 66,022 | |
| | | | GSR Mortgage Loan Trust: | | | | |
| | 1,402 | | | Series 2003-1, Class A2, 6.780% (1-Year CMT Index + 1.750%) due 3/25/33(a) | | | 1,379 | |
| | 30,809 | | | Series 2005-AR7, Class 2A1, 4.695% due 11/25/35(a) | | | 29,152 | |
| | 400,000 | | | HalseyPoint CLO 3 Ltd., Series 2020-3A, Class A1A, 7.029%
(3-Month Term SOFR + 1.712%) due 11/30/32(a)(c) | | | 400,400 | |
| | | | Harborview Mortgage Loan Trust: | | | | |
| | 9,598 | | | Series 2005-2, Class 2A1A, 5.874% (1-Month Term SOFR + 0.554%) due 5/19/35(a) | | | 8,623 | |
| | 15,548 | | | Series 2005-3, Class 2A1A, 5.914% (1-Month Term SOFR + 0.594%) due 6/19/35(a) | | | 14,628 | |
| | 45,559 | | | Series 2006-SB1, Class A1A, 5.931% (1-Year Treasury Average Rate + 0.850%) due 12/19/36(a) | | | 38,081 | |
| | 60,964 | | | Series 2007-1, Class 2A1A, 5.694% (1-Month Term SOFR + 0.374%) due 3/19/37(a) | | | 53,666 | |
| | 198,474 | EUR | | Harvest CLO XI DAC, Series 2011-A, Class ARR, 4.566%
(3-Month EURIBOR + 0.650%) due 6/26/30(a)(c) | | | 213,500 | |
| | 500,000 | EUR | | Hayfin Emerald CLO XII DAC, Series 12-A, Class A, 5.662%
(3-Month EURIBOR + 1.740%) due 1/25/37(a)(c) | | | 543,770 | |
| | | | JPMorgan Mortgage Trust: | | | | |
| | 1,935 | | | Series 2003-A2, Class 3A1, 4.785% due 11/25/33(a) | | | 1,787 | |
| | 436 | | | Series 2005-A1, Class 6T1, 5.318% due 2/25/35(a) | | | 397 | |
| | 331,809 | | | Series 2021-10, Class A3, 2.500% due 12/25/51(a)(c) | | | 266,199 | |
| | 976,994 | | | Series 2021-INV4, Class A2, 3.000% due 1/25/52(a)(c) | | | 818,136 | |
| | 825,814 | | | Series 2021-INV8, Class A2, 3.000% due 5/25/52(a)(c) | | | 688,426 | |
| | 608,126 | | | Series 2022-INV1, Class A3, 3.000% due 3/25/52(a)(c) | | | 509,245 | |
| | 813,794 | | | Series 2022-LTV2, Class A3, 3.500% due 9/25/52(a)(c) | | | 707,913 | |
| | 2,872 | | | LCM XIII LP, Series 13A, Class AR3, 6.441%
(3-Month Term SOFR + 1.132%) due 7/19/27(a)(c) | | | 2,873 | |
| | 303,143 | GBP | | Ludgate Funding PLC, Series 2007-1, Class A2A, 5.483%
(3-Month GBP-LIBOR + 0.160%) due 1/1/61(a) | | | 370,766 | |
| | 300,000 | | | Manhattan West Mortgage Trust, Series 2020-1MW, Class A, 2.130% due 9/10/39(c) | | | 265,898 | |
| | 133,647 | | | Marble Point CLO X Ltd., Series 2017-1A, Class AR, 6.616%
(3-Month Term SOFR + 1.302%) due 10/15/30(a)(c) | | | 133,710 | |
| | 2,148 | | | Merrill Lynch Mortgage Investors Trust, Series 2003-A2, Class 1A1, 5.857% due 2/25/33(a) | | | 1,951 | |
| | 41,022 | | | MF1 Multifamily Housing Mortgage Loan Trust, Series 2021-FL5, Class A, 6.282%
(1-Month Term SOFR + 0.964%) due 7/15/36(a)(c) | | | 40,883 | |
| | | | MFA Trust: | | | | |
| | 130,163 | | | Series 2020-NQM2, Class A1, 1.381% due 4/25/65(a)(c) | | | 120,771 | |
| | 482,349 | | | Series 2023-NQM4, Class A1, step bond to yield, 6.105% due 12/25/68(c) | | | 484,037 | |
| | 900,000 | | | Neuberger Berman Loan Advisers NBLA CLO 53 Ltd., Series 2023-53A, Class A, 6.929%
(3-Month Term SOFR + 1.590%) due 10/24/32(a)(c) | | | 906,496 | |
| | | | New Residential Mortgage Loan Trust: | | | | |
| | 163,624 | | | Series 2019-RPL3, Class A1, 2.750% due 7/25/59(a)(c) | | | 154,336 | |
| | 172,455 | | | Series 2020-RPL1, Class A1, 2.750% due 11/25/59(a)(c) | | | 161,394 | |
| | 390,247 | GBP | | Newgate Funding PLC, Series 2007-1X, Class A3, 5.509%
(3-Month GBP-LIBOR + 0.160%) due 12/1/50(a) | | | 479,234 | |
See Notes to Financial Statements.
213
| | | | | | | | |
| International Fixed Income Fund | |
| | |
Face
Amount/Units† | | | Security | | Value | |
|
| COLLATERALIZED MORTGAGE OBLIGATIONS — 17.0% — (continued) | |
| $ | 400,000 | | | NovaStar Mortgage Funding Trust, Series 2006-1, Class A2D, 5.975%
(1-Month Term SOFR + 0.654%) due 5/25/36(a) | | $ | 374,490 | |
| | 400,000 | | | NYO Commercial Mortgage Trust, Series 2021-1290, Class A, 6.527%
(1-Month Term SOFR + 1.209%) due 11/15/38(a)(c) | | | 383,878 | |
| | 1,100,000 | | | OBX Trust, Series 2024-HYB1, Class A1, 3.520% due 3/25/53(a)(c) | | | 1,046,256 | |
| | 300,000 | | | One New York Plaza Trust, Series 2020-1NYP, Class A, 6.382%
(1-Month Term SOFR + 1.064%) due 1/15/36(a)(c) | | | 292,085 | |
| | 54,010 | | | Option One Mortgage Loan Trust, Series 2007-CP1, Class 1A1, 5.575%
(1-Month Term SOFR + 0.254%) due 3/25/37(a) | | | 47,582 | |
| | 467,164 | | | OZLM IX Ltd., Series 2014-9A, Class A1A3, 6.679%
(3-Month Term SOFR + 1.362%) due 10/20/31(a)(c) | | | 467,937 | |
| | 500,000 | EUR | | Palmer Square European Loan Funding DAC, Series 2023-3A, Class A, 5.494%
(3-Month EURIBOR + 1.500%) due 5/15/33(a)(c) | | | 541,197 | |
| | 276,629 | | | PRET LLC, Series 2021-RN3, Class A1, step bond to yield, 1.843% due 9/25/51(c) | | | 264,282 | |
| | 481,785 | | | PRKCM Trust, Series 2023-AFC4, Class A1, step bond to yield, 7.225% due 11/25/58(c) | | | 493,434 | |
| | 491,586 | | | PRPM Trust, Series 2023-NQM3, Class A1, step bond to yield, 6.221% due 11/25/68(c) | | | 493,129 | |
| | | | RALI Trust: | | | | |
| | 73,168 | | | Series 2006-QS6, Class 1A1, 6.000% due 6/25/36 | | | 55,259 | |
| | 40,937 | | | Series 2007-QO2, Class A1, 5.585% (1-Month Term SOFR + 0.264%) due 2/25/47(a) | | | 14,163 | |
| | | | Residential Asset Securitization Trust: | | | | |
| | 13,320 | | | Series 2005-A15, Class 5A1, 5.750% due 2/25/36 | | | 4,829 | |
| | 36,740 | | | Series 2006-R1, Class A2, 5.835% (1-Month Term SOFR + 0.514%) due 1/25/46(a) | | | 10,567 | |
| | 107,032 | GBP | | Residential Mortgage Securities 32 PLC, Series 32A, Class A, 6.471%
(Sterling Overnight Index Average + 1.250%) due 6/20/70(a)(c) | | | 135,421 | |
| | 148,395 | GBP | | ResLoC UK PLC, Series 2007-1X, Class A3B, 5.500%
(Sterling Overnight Index Average + 0.279%) due 12/15/43(a) | | | 182,692 | |
| | 786,541 | GBP | | Ripon Mortgages PLC, Series 1RA, Class A, 5.921%
(Sterling Overnight Index Average + 0.700%) due 8/28/56(a)(c) | | | 992,607 | |
| | | | RMAC Securities No 1 PLC: | | | | |
| | 283,622 | GBP | | Series 2006-NS3X, Class A2A, 5.490% (Sterling Overnight Index Average + 0.269%) due 6/12/44(a) | | | 348,957 | |
| | 146,843 | GBP | | Series 2006-NS1X, Class A2A, 5.490% (Sterling Overnight Index Average + 0.269%) due 6/12/44(a) | | | 181,288 | |
| | 295,017 | EUR | | Shamrock Residential DAC, Series 2022-1, Class A, 4.714%
(1-Month EURIBOR + 0.850%) due 1/24/61(a) | | | 318,834 | |
| | 701,820 | | | Signal Peak CLO 5 Ltd., Series 2018-5A, Class A, 6.696%
(3-Month Term SOFR + 1.372%) due 4/25/31(a)(c) | | | 704,187 | |
| | 252,827 | | | Sound Point CLO XVII, Series 2017-3A, Class A1R, 6.559%
(3-Month Term SOFR + 1.242%) due 10/20/30(a)(c) | | | 253,414 | |
| | 962,024 | | | Soundview Home Loan Trust, Series 2006-3, Class A4, 5.935%
(1-Month Term SOFR + 0.614%) due 11/25/36(a) | | | 908,884 | |
| | | | Structured Adjustable Rate Mortgage Loan Trust: | | | | |
| | 1,809 | | | Series 2004-1, Class 4A1, 6.912% due 2/25/34(a) | | | 1,696 | |
| | 1,611 | | | Series 2004-4, Class 3A2, 6.717% due 4/25/34(a) | | | 1,596 | |
| | 21,994 | | | Series 2004-19, Class 2A1, 6.481% (1-Year Treasury Average Rate + 1.400%) due 1/25/35(a) | | | 18,774 | |
| | | | Structured Asset Mortgage Investments II Trust: | | | | |
| | 22,144 | | | Series 2005-AR2, Class 2A1, 5.895% (1-Month Term SOFR + 0.574%) due 5/25/45(a) | | | 19,643 | |
| | 22,053 | | | Series 2005-AR8, Class A1A, 5.995% (1-Month Term SOFR + 0.674%) due 2/25/36(a) | | | 17,903 | |
| | 17,226 | | | Series 2006-AR5, Class 1A1, 5.855% (1-Month Term SOFR + 0.534%) due 5/25/36(a) | | | 11,416 | |
| | 94,204 | | | Series 2007-AR4, Class A3, 5.875% (1-Month Term SOFR + 0.554%) due 9/25/47(a) | | | 80,225 | |
| | 53,691 | | | Series 2007-AR6, Class A1, 6.581% (1-Year Treasury Average Rate + 1.500%) due 8/25/47(a) | | | 42,786 | |
| | 44,766 | | | Structured Asset Securities Corp., Series 2006-RF1, Class 1A, 5.715%
(1-Month Term SOFR + 0.394%) due 1/25/36(a)(c) | | | 36,673 | |
| | 900,000 | | | Symphony CLO 39 Ltd., Series 2023-39A, Class A, 7.002%
(3-Month Term SOFR + 1.590%) due 4/25/34(a)(c) | | | 900,448 | |
| | 400,000 | | | THL Credit Wind River CLO Ltd., Series 2019-3A, Class AR, 6.656%
(3-Month Term SOFR + 1.342%) due 7/15/31(a)(c) | | | 400,222 | |
See Notes to Financial Statements.
214
| | | | | | | | |
| International Fixed Income Fund | |
| | |
Face
Amount/Units† | | | Security | | Value | |
|
| COLLATERALIZED MORTGAGE OBLIGATIONS — 17.0% — (continued) | |
| | 299,058 | GBP | | Towd Point Mortgage Funding, Series 2019-A13A, Class A1, 6.571%
(Sterling Overnight Index Average + 1.350%) due 7/20/45(a)(c) | | $ | 378,418 | |
| | 186,879 | GBP | | Towd Point Mortgage Funding Auburn 14 PLC, Series 2020-A14X, Class A, 6.571%
(Sterling Overnight Index Average + 1.350%) due 5/20/45(a) | | | 237,065 | |
| | | | Towd Point Mortgage Trust: | | | | |
| $ | 529,407 | | | Series 2019-4, Class A1, 2.900% due 10/25/59(a)(c) | | | 496,054 | |
| | 134,079 | | | Series 2020-1, Class A1, 2.710% due 1/25/60(a)(c) | | | 125,766 | |
| | 106,768 | GBP | | Trinity Square PLC, Series 2021-1A, Class A, 6.071%
(Sterling Overnight Index Average + 0.850%) due 7/15/59(a)(c) | | | 134,946 | |
| | 62,090 | | | US Capital Funding II Ltd./US Capital Funding II Corp., 6.580%
(3-Month USD-LIBOR + 0.750%) due 8/1/34(a)(c) | | | 62,090 | |
| | 87,431 | | | UWM Mortgage Trust, Series 2021-INV5, Class A12, 3.000% due 1/25/52(a)(c) | | | 73,215 | |
| | 400,000 | | | Venture 38 CLO Ltd., Series 2019-38A, Class A1R, 6.739%
(3-Month Term SOFR + 1.422%) due 7/30/32(a)(c) | | | 400,832 | |
| | 14,940 | | | Venture XVII CLO Ltd., Series 2014-17A, Class ARR, 6.456%
(3-Month Term SOFR + 1.142%) due 4/15/27(a)(c) | | | 14,967 | |
| | 41,088 | | | Vibrant CLO VI Ltd., Series 2017-6A, Class AR, 6.582%
(3-Month Term SOFR + 1.212%) due 6/20/29(a)(c) | | | 41,102 | |
| | 153,489 | | | Vibrant CLO VII Ltd., Series 2017-7A, Class A1R, 6.619%
(3-Month Term SOFR + 1.302%) due 9/15/30(a)(c) | | | 153,565 | |
| | 227,991 | | | Voya CLO Ltd., Series 2017-1A, Class A1R, 6.528%
(3-Month Term SOFR + 1.212%) due 4/17/30(a)(c) | | | 228,182 | |
| | | | WaMu Mortgage Pass-Through Certificates Trust: | | | | |
| | 3,878 | | | Series 2002-AR9, Class 1A, 6.481% (1-Year Treasury Average Rate + 1.400%) due 8/25/42(a) | | | 3,632 | |
| | 1,098 | | | Series 2003-AR5, Class A7, 4.830% due 6/25/33(a) | | | 1,078 | |
| | 40,900 | | | Series 2003-AR9, Class 2A, 5.882% due 9/25/33(a) | | | 36,704 | |
| | 103,696 | | | Series 2004-AR1, Class A, 5.676% due 3/25/34(a) | | | 100,626 | |
| | 12,761 | | | Series 2005-AR13, Class A1A1, 6.015% (1-Month Term SOFR + 0.694%) due 10/25/45(a) | | | 12,181 | |
| | 20,500 | | | Series 2006-AR10, Class 2A1, 4.176% due 9/25/36(a) | | | 17,229 | |
| | 32,219 | | | Series 2006-AR13, Class 2A, 6.581% (1-Year Treasury Average Rate + 1.500%) due 10/25/46(a) | | | 28,671 | |
| | 15,101 | | | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2006-AR5, Class 3A, 6.021%
(1-Year Treasury Average Rate + 0.940%) due 7/25/46(a) | | | 9,094 | |
| | 40,250 | | | Washington Mutual MSC Mortgage Pass-Through Certificates Trust, Series 2002-AR3, Class 1A7, 5.369%
due 12/25/32(a) | | | 38,947 | |
| | 322,558 | | | Wind River CLO Ltd., Series 2014-1A, Class ARR, 6.610%
(3-Month Term SOFR + 1.312%) due 7/18/31(a)(c) | | | 322,429 | |
| | | | | | | | |
| | | | TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost — $34,822,726) | | | 32,707,328 | |
| | | | | | | | |
|
| | CORPORATE BONDS & NOTES — 10.2% | |
|
| | Belgium — 0.1% | |
| | 200,000 | | | KBC Group NV, Senior Unsecured Notes, 5.796%
(1-Year CMT Index + 2.100%) due 1/19/29(a)(c) | | | 201,198 | |
| | | | | | | | |
|
| | Canada — 0.3% | |
| | 100,000 | EUR | | Fairfax Financial Holdings Ltd., Senior Unsecured Notes, 2.750% due 3/29/28 | | | 101,425 | |
| | 500,000 | | | Royal Bank of Canada, Covered Notes, 4.851% due 12/14/26(c) | | | 499,218 | |
| | | | | | | | |
| | | | Total Canada | | | 600,643 | |
| | | | | | | | |
|
| | Cayman Islands — 0.1% | |
| | 200,000 | | | Sands China Ltd., Senior Unsecured Notes, 5.400% due 8/8/28 | | | 195,318 | |
| | | | | | | | |
|
| Denmark — 3.1% | |
| | 500,000 | | | Danske Bank AS, Senior Non-Preferred Notes, 5.705%
(1-Year CMT Index + 1.400%) due 3/1/30(a)(c) | | | 501,039 | |
| | | | Jyske Realkredit AS, Covered Notes: | | | | |
| | 2,400,000 | DKK | | 1.000% due 4/1/24 | | | 347,259 | |
| | 5,875,121 | DKK | | 1.000% due 10/1/50 | | | 642,890 | |
See Notes to Financial Statements.
215
| | | | | | | | |
| International Fixed Income Fund | |
| | |
Face
Amount/Units† | | | Security | | Value | |
|
| Denmark — 3.1% — (continued) | |
| | 470,913 | DKK | | 1.500% due 10/1/53 | | $ | 54,491 | |
| | | | Nordea Kredit Realkreditaktieselskab, Covered Notes: | | | | |
| | 9,400,000 | DKK | | 1.000% due 4/1/24 | | | 1,359,714 | |
| | 9,098,714 | DKK | | 1.000% due 10/1/50 | | | 967,710 | |
| | 188,114 | DKK | | 1.500% due 10/1/53 | | | 21,737 | |
| | 3,071,352 | DKK | | Nykredit Realkredit AS, Covered Notes, 1.000% due 10/1/50 | | | 341,553 | |
| | | | Realkredit Danmark AS, Covered Notes: | | | | |
| | 2,200,000 | DKK | | 1.000% due 4/1/24 | | | 318,329 | |
| | 4,000,000 | DKK | | 1.000% due 1/1/25 | | | 567,729 | |
| | 4,100,000 | DKK | | 1.000% due 4/1/25 | | | 578,359 | |
| | 1,203,280 | DKK | | 1.000% due 10/1/50 | | | 133,783 | |
| | 793,370 | DKK | | 1.500% due 10/1/53 | | | 87,323 | |
| | | | | | | | |
| | | | Total Denmark | | | 5,921,916 | |
| | | | | | | | |
|
| | France — 0.5% | |
| $ | 400,000 | | | BPCE SA, Senior Non-Preferred Notes, 6.612%
(SOFR + 1.980%) due 10/19/27(a)(c) | | | 407,998 | |
| | | | Societe Generale SA, Senior Non-Preferred Notes: | | | | |
| | 300,000 | | | 2.889% (1-Year CMT Index + 1.300%) due 6/9/32(a)(c) | | | 243,245 | |
| | 400,000 | | | 3.337% (1-Year CMT Index + 1.600%) due 1/21/33(a)(c) | | | 330,392 | |
| | | | | | | | |
| | | | Total France | | | 981,635 | |
| | | | | | | | |
|
| | Germany — 0.8% | |
| | | | Deutsche Bank AG, Senior Non-Preferred Notes: | | | | |
| | 100,000 | GBP | | 2.625% due 12/16/24 | | | 123,240 | |
| | 100,000 | EUR | | 1.000% (1.600% - 3-Month EURIBOR) due 11/19/25(e) | | | 105,658 | |
| | 350,000 | | | 3.961% (SOFR + 2.581%) due 11/26/25(a) | | | 344,336 | |
| | 300,000 | EUR | | 2.625% due 2/12/26 | | | 315,713 | |
| | 200,000 | EUR | | 1.625% due 1/20/27 | | | 201,916 | |
| | 400,000 | | | 2.552% (SOFR + 1.318%) due 1/7/28(a) | | | 364,702 | |
| | 200,000 | EUR | | 1.750% (2.050% - 3-Month EURIBOR) due 11/19/30(e) | | | 187,062 | |
| | | | | | | | |
| | | | Total Germany | | | 1,642,627 | |
| | | | | | | | |
|
| | Italy — 0.2% | |
| | | | Banca Monte dei Paschi di Siena SpA: | | | | |
| | 100,000 | EUR | | Senior Preferred Notes, 2.625% due 4/28/25 | | | 105,605 | |
| | 100,000 | EUR | | Covered Notes, 0.875% due 10/8/26 | | | 100,107 | |
| | 100,000 | EUR | | Nexi SpA, Senior Unsecured Notes, 2.125% due 4/30/29 | | | 95,826 | |
| | | | | | | | |
| | | | Total Italy | | | 301,538 | |
| | | | | | | | |
|
| | Japan — 0.2% | |
| | 200,000 | | | Nomura Holdings Inc., Senior Unsecured Notes, 2.329% due 1/22/27 | | | 183,489 | |
| | 200,000 | | | Sumitomo Mitsui Trust Bank Ltd., Senior Unsecured Notes, 5.200% due 3/7/29(c) | | | 200,471 | |
| | | | | | | | |
| | | | Total Japan | | | 383,960 | |
| | | | | | | | |
|
| | Luxembourg — 0.0%@ | |
| | 100,000 | EUR | | CPI Property Group SA, Senior Unsecured Notes, 1.500% due 1/27/31 | | | 68,596 | |
| | | | | | | | |
|
| | Netherlands — 0.2% | |
| | 400,000 | | | ABN AMRO Bank NV, Senior Non-Preferred Notes, 6.575%
(1-Year CMT Index + 1.550%) due 10/13/26(a)(c) | | | 403,790 | |
| | | | | | | | |
|
| | Qatar — 0.1% | |
| | 200,000 | | | QatarEnergy, Senior Unsecured Notes, 2.250% due 7/12/31(c) | | | 166,546 | |
| | | | | | | | |
|
| Switzerland — 0.9% | |
| | | | UBS Group AG, Senior Unsecured Notes: | | | | |
| | 250,000 | | | 4.282% due 1/9/28(c) | | | 239,914 | |
| | 250,000 | | | 3.869% (3-Month USD-LIBOR + 1.410%) due 1/12/29(a)(c) | | | 234,935 | |
| | 250,000 | EUR | | 7.750% (1-Year EURIBOR Ice Swap Rate + 4.950%) due 3/1/29(a) | | | 306,623 | |
See Notes to Financial Statements.
216
| | | | | | | | |
| International Fixed Income Fund | |
| | |
Face
Amount/Units† | | | Security | | Value | |
|
| Switzerland — 0.9% — (continued) | |
| | 300,000 | GBP | | 2.125% (1-Year United Kingdom Gilt + 1.550%) due 11/15/29(a) | | $ | 330,412 | |
| $ | 600,000 | | | 6.537% (SOFR + 3.920%) due 8/12/33(a)(c) | | | 626,234 | |
| | | | | | | | |
| | | | Total Switzerland | | | 1,738,118 | |
| | | | | | | | |
|
| | United Kingdom — 1.7% | |
| | | | Barclays PLC, Senior Unsecured Notes: | | | | |
| | 800,000 | | | 6.496% (SOFR + 1.880%) due 9/13/27(a) | | | 814,427 | |
| | 400,000 | EUR | | 4.918% (EUR Swap Rate + 1.750%) due 8/8/30(a) | | | 446,333 | |
| | 200,000 | | | HSBC Holdings PLC, Senior Unsecured Notes, 4.041%
(3-Month Term SOFR + 1.808%) due 3/13/28(a) | | | 191,711 | |
| | 100,000 | GBP | | John Lewis PLC, Senior Unsecured Notes, 6.125% due 1/21/25 | | | 125,965 | |
| | 300,000 | | | Nationwide Building Society, Senior Non-Preferred Notes, 2.972%
(SOFR + 1.290%) due 2/16/28(a)(c) | | | 277,575 | |
| | 500,000 | | | Santander UK Group Holdings PLC, Senior Unsecured Notes, 6.534%
(SOFR + 2.600%) due 1/10/29(a) | | | 512,682 | |
| | 900,000 | | | Standard Chartered PLC, Senior Unsecured Notes, 6.750%
(1-Year CMT Index + 1.850%) due 2/8/28(a)(c) | | | 922,062 | |
| | | | | | | | |
| | | | Total United Kingdom | | | 3,290,755 | |
| | | | | | | | |
|
| | United States — 2.0% | |
| | | | Bank of America Corp., Senior Unsecured Notes: | | | | |
| | 500,000 | | | 5.202% (SOFR + 1.630%) due 4/25/29(a) | | | 497,363 | |
| | 700,000 | | | 1.898% (SOFR + 1.530%) due 7/23/31(a) | | | 567,984 | |
| | | | Ford Motor Credit Co. LLC, Senior Unsecured Notes: | | | | |
| | 100,000 | GBP | | 2.748% due 6/14/24 | | | 125,237 | |
| | 100,000 | EUR | | 4.642% (3-Month EURIBOR + 0.700%) due 12/1/24(a) | | | 108,484 | |
| | 200,000 | | | 5.125% due 6/16/25 | | | 197,999 | |
| | 150,000 | | | GA Global Funding Trust, Secured Notes, 2.250% due 1/6/27(c) | | | 136,416 | |
| | 400,000 | | | Goldman Sachs Group Inc. (The), Senior Unsecured Notes, 6.484%
(SOFR + 1.770%) due 10/24/29(a) | | | 419,015 | |
| | 1,300,000 | | | Lehman Brothers Holdings Inc., Senior Unsecured Notes, 0.000% due 5/25/49*(d)(g) | | | 1,625 | |
| | | | Pacific Gas & Electric Co., 1st Mortgage Notes: | | | | |
| | 100,000 | | | 3.450% due 7/1/25 | | | 97,159 | |
| | 200,000 | | | 4.400% due 3/1/32 | | | 181,919 | |
| | 200,000 | | | PacifiCorp, 1st Mortgage Notes, 5.300% due 2/15/31 | | | 197,860 | |
| | | | Philip Morris International Inc., Senior Unsecured Notes: | | | | |
| | 200,000 | | | 4.875% due 2/13/29 | | | 197,161 | |
| | 200,000 | | | 5.250% due 2/13/34 | | | 195,633 | |
| | 100,000 | | | Principal Life Global Funding II, Secured Notes, 1.375% due 1/10/25(c) | | | 96,781 | |
| | | | Wells Fargo & Co., Senior Unsecured Notes: | | | | |
| | 200,000 | | | 3.908% (SOFR + 1.320%) due 4/25/26(a) | | | 196,172 | |
| | 600,000 | | | 4.808% (SOFR + 1.980%) due 7/25/28(a) | | | 589,941 | |
| | | | Total United States | | | 3,806,749 | |
| | | | | | | | |
| | | | TOTAL CORPORATE BONDS & NOTES
(Cost — $21,063,273) | | | 19,703,389 | |
| | | | | | | | |
|
| U.S. GOVERNMENT OBLIGATIONS — 8.5% | |
| | | | U.S. Treasury Bonds: | | | | |
| | 200,000 | | | 1.375% due 11/15/40 | | | 127,019 | |
| | 1,100,000 | | | 1.875% due 2/15/41(h) | | | 757,969 | |
| | 1,400,000 | | | 4.750% due 11/15/43 | | | 1,440,141 | |
| | 1,500,000 | | | 4.750% due 11/15/53 | | | 1,593,670 | |
| | 325,466 | | | U.S. Treasury Inflation Indexed Bonds, 2.375% due 1/15/25 | | | 325,564 | |
| | | | U.S. Treasury Inflation Indexed Notes: | | | | |
| | 1,942,620 | | | 0.250% due 1/15/25 | | | 1,908,725 | |
| | 1,306,305 | | | 0.125% due 4/15/25 | | | 1,273,874 | |
See Notes to Financial Statements.
217
| | | | | | | | |
| International Fixed Income Fund | |
| | |
Face
Amount/Units† | | | Security | | Value | |
|
| U.S. GOVERNMENT OBLIGATIONS — 8.5% — (continued) | |
| $ | 1,243,570 | | | 0.500% due 1/15/28(i) | | $ | 1,176,086 | |
| | 1,030,041 | | | 0.125% due 7/15/31 | | | 908,467 | |
| | 1,327,896 | | | 0.125% due 1/15/32 | | | 1,156,185 | |
| | 105,575 | | | 0.625% due 7/15/32 | | | 95,478 | |
| | 1,441,692 | | | 1.125% due 1/15/33 | | | 1,348,912 | |
| | | | U.S. Treasury Notes: | | | | |
| | 600,000 | | | 2.875% due 4/30/25(j) | | | 586,031 | |
| | 200,000 | | | 4.000% due 2/29/28 | | | 197,461 | |
| | 3,400,000 | | | 4.500% due 11/15/33 | | | 3,462,422 | |
| | | | | | | | |
| | | | TOTAL U.S. GOVERNMENT OBLIGATIONS
(Cost — $17,165,169) | | | 16,358,004 | |
| | | | | | | | |
|
| | ASSET-BACKED SECURITIES — 0.4% | |
|
| | Automobiles — 0.2% | |
| | 400,000 | | | Toyota Auto Loan Extended Notes Trust, Series 2019-1A, Class A, 2.560% due 11/25/31(c) | | | 397,260 | |
| | | | | | | | |
|
| | Student Loans — 0.2% | |
| | 27,239 | | | Massachusetts Educational Financing Authority, Series 2008-1, Class A1, 6.573%
(90-Day Average SOFR + 1.212%) due 4/25/38(a) | | | 27,170 | |
| | 276,089 | | | SMB Private Education Loan Trust, Series 2022-B, Class A1B, 6.775%
(30-Day Average SOFR + 1.450%) due 2/16/55(a)(c) | | | 277,518 | |
| | | | | | | | |
| | | | Total Student Loans | | | 304,688 | |
| | | | | | | | |
| | | | TOTAL ASSET-BACKED SECURITIES
(Cost — $703,290) | | | 701,948 | |
| | | | | | | | |
| | | | TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS
(Cost — $200,246,814) | | | 181,387,998 | |
| | | | | | | | |
|
| | SHORT-TERM INVESTMENTS — 19.9% | |
|
| | COMMERCIAL PAPERS — 1.8% | |
| | 750,000 | | | AT&T Inc., 6.032% due 3/19/24(c)(k) | | | 747,862 | |
| | | | Dominion Energy Inc.: | | | | |
| | 600,000 | | | 5.561% due 3/8/24(c)(k) | | | 599,354 | |
| | 300,000 | | | 5.644% due 3/21/24(c)(k) | | | 299,067 | |
| | 450,000 | | | Entergy Corp., 5.680% due 5/2/24(c)(k) | | | 445,660 | |
| | 500,000 | | | Keurig Dr Pepper Inc., 5.656% due 3/28/24(c)(k) | | | 497,900 | |
| | 800,000 | | | VW Credit Inc., 5.592% due 3/6/24(c)(k) | | | 799,382 | |
| | | | | | | | |
| | | | TOTAL COMMERCIAL PAPERS
(Cost — $3,389,225) | | | 3,389,225 | |
| | | | | | | | |
|
| | REPURCHASE AGREEMENT — 3.5% | |
| | 6,700,000 | | | Citigroup Global Markets Inc. repurchase agreement dated 2/29/24, 5.360% due 3/1/24, Proceeds at maturity — $6,700,998; (Fully collateralized by U.S. Treasury Bonds, 0.875%% due 9/30/26; Market Valued — $6,863,833) | | | | |
| | | | (Cost — $6,700,000) | | | 6,700,000 | |
| | | | | | | | |
|
| | SOVEREIGN BONDS — 10.9% | |
|
| | Japan — 10.9% | |
| | | | Japan Treasury Discount Bills: | | | | |
| | 210,000,000 | JPY | | (0.174)% due 3/18/24(k) | | | 1,401,449 | |
| | 920,000,000 | JPY | | (0.198)% due 4/8/24(k) | | | 6,139,806 | |
| | 710,000,000 | JPY | | (0.230)% due 4/15/24(k) | | | 4,738,699 | |
| | 390,000,000 | JPY | | (0.155)% due 5/13/24(k) | | | 2,602,556 | |
| | 920,000,000 | JPY | | (0.119)% due 6/3/24(k) | | | 6,138,775 | |
| | | | | | | | |
| | | | TOTAL SOVEREIGN BONDS
(Cost — $21,458,360) | | | 21,021,285 | |
| | | | | | | | |
See Notes to Financial Statements.
218
| | | | | | | | |
| International Fixed Income Fund | |
| | |
Face
Amount/Units† | | | Security | | Value | |
|
| TIME DEPOSITS — 3.5% | |
| | 68,740 | NZD | | ANZ National Bank — Hong Kong, 3.250% due 3/1/24 | | $ | 41,849 | |
| | | | BBH — New York: | | | | |
| | 587,934 | DKK | | 2.500% due 3/1/24 | | | 85,253 | |
| | 4,941 | SEK | | 2.700% due 3/1/24 | | | 477 | |
| | 3,286 | NOK | | 3.320% due 3/1/24 | | | 309 | |
| | 120,366 | CAD | | 3.830% due 3/1/24 | | | 88,690 | |
| | 161,377 | GBP | | 4.150% due 3/1/24 | | | 203,722 | |
| | | | BNP Paribas — Paris: | | | | |
| | 1,370 | CHF | | 0.520% due 3/1/24 | | | 1,550 | |
| | 243,920 | AUD | | 3.100% due 3/1/24 | | | 158,536 | |
| | 1,572 | ZAR | | 6.430% due 3/1/24 | | | 82 | |
| | 106,346 | EUR | | Citibank — London, 2.820% due 3/1/24 | | | 114,938 | |
| $ | 5,215,911 | | | Citibank — New York, 4.680% due 3/1/24 | | | 5,215,911 | |
| | 452 | HKD | | HSBC Bank — Hong Kong, 3.000% due 3/1/24 | | | 58 | |
| | 58,526 | SGD | | HSBC Bank — Singapore, 2.560% due 3/1/24 | | | 43,496 | |
| | 784,862 | | | JPMorgan Chase & Co. — New York, 4.680% due 3/1/24 | | | 784,862 | |
| | 10,289,054 | JPY | | Sumitomo Mitsui Banking Corp. — Tokyo, (0.420)% due 3/1/24 | | | 68,633 | |
| | | | | | | | |
| | | | TOTAL TIME DEPOSITS
(Cost — $6,808,366) | | | 6,808,366 | |
| | | | | | | | |
|
| U.S. GOVERNMENT OBLIGATION — 0.2% | |
| | 300,000 | | | U.S. Treasury Bills, 5.267% due 5/21/24(k)
(Cost — $296,505) | | | 296,505 | |
| | | | | | | | |
| | | | TOTAL SHORT-TERM INVESTMENTS
(Cost — $38,652,456) | | | 38,215,381 | |
| | | | | | | | |
| | | | TOTAL INVESTMENTS IN SECURITIES
(Cost — $238,899,270) | | | 219,603,379 | |
| | | | | | | | |
| | | | TOTAL INVESTMENTS IN PURCHASED OPTIONS — 0.0%
(Cost — $102,842) | | | 126,952 | |
| | | | | | | | |
| | | | TOTAL INVESTMENTS — 114.2%
(Cost — $239,002,112) | | | 219,730,331 | |
| | | | | | | | |
| | | | Liabilities in Excess of Other Assets — (14.2)% | | | (27,383,217 | ) |
| | | | | | | | |
| | | | TOTAL NET ASSETS — 100.0% | | $ | 192,347,114 | |
| | | | | | | | |
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
| * | Non-income producing security. |
| @ | The amount is less than 0.05%. |
| (a) | Variable rate security. Interest rate disclosed is that which was in effect at February 29, 2024. |
| (b) | This security is traded on a TBA basis (see Note 1). |
| (c) | Restricted security that may be sold to “qualified institutional buyers” pursuant to the conditions of Rule 144A under the Securities Act of 1933, as amended. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees, unless otherwise noted. The aggregate value of restricted 144A holdings at February 29, 2024, amounts to $47,888,389 and represents 24.9% of net assets. |
| (e) | Inverse Floating Rate Security - interest rate fluctuates with an inverse relationship to an associated interest rate. Indicated rate is the effective rate as of February 29, 2024. |
| (f) | Interest only security. |
| (g) | Security is currently in default. |
| (h) | All or a portion of this security is held at the broker as collateral for open OTC swap contracts. |
| (i) | All or a portion of this security is held at the broker as collateral for open centrally cleared swap contracts. |
| (j) | All or a portion of this security is held at the broker as collateral for open futures contracts. |
| (k) | Rate shown represents yield-to-maturity. |
See Notes to Financial Statements.
219
| | | | |
| International Fixed Income Fund |
At February 29, 2024, 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
(Depreciation) | |
| International Fixed Income Fund | | $ 239,002,112 | | $ | 9,659,510 | | | $ | (26,105,929) | | | $ | (16,446,419) | |
| | |
Abbreviations used in this schedule: |
| CLO | | — Collateralized Loan Obligation |
| CMT | | — Constant Maturity Treasury Rate |
| CPI | | — Consumer Price Index |
| DAC | | — Designated Activity Company |
| EURIBOR | | — Euro Interbank Offered Rate |
| LIBOR | | — London Interbank Offered Rate |
| LLC | | — Limited Liability Company |
| OAT | | — Obligations assimilables du Trésor |
| PAM | | — Paid at Maturity |
| PLC | | — Public Limited Company |
| REMICS | | — Real Estate Mortgage Investment Conduits |
| SOFR | | — Secured Overnight Financing Rate |
| | | | |
| Summary of Investments by Security Type^ | | | |
Mortgage-Backed Securities | | | 25.8 | % |
Sovereign Bonds | | | 25.2 | |
Collateralized Mortgage Obligations | | | 14.9 | |
Corporate Bonds & Notes | | | 9.0 | |
U.S. Government Obligations | | | 7.4 | |
Asset-Backed Securities | | | 0.3 | |
Purchased Options | | | 0.0 | * |
Short-Term Investments | | | 17.4 | |
| | | | |
Total Investments | | | 100.0 | % |
| | | | |
| ^ | As a percentage of total investments. |
| * | Position represents less than 0.05%. |
At February 29, 2024, International Fixed Income Fund held the following Options Contracts Purchased:
Interest Rate Swaptions
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Number of
Contracts | | | Notional
Amount† | | | Security Name | | Counterparty | | | Expiration
Date | | | Exercise
Rate | | | Value | |
| | 4,800,000 | | | $ | 268,937 | | | OTC 1-Year Swaption, 3-Month USD-LIBOR, Put | | | BCLY | | | | 3/26/24 | | | | 5.500% | | | $ | 109 | |
| | 3,500,000 | | | | 196,100 | | | OTC 1-Year Swaption, 3-Month USD-LIBOR, Put | | | BOA | | | | 7/15/24 | | | | 4.750% | | | | 7,244 | |
| | 16,300,000 | | | | 913,266 | | | OTC 1-Year Swaption, 3-Month USD-LIBOR, Put | | | DUB | | | | 7/10/24 | | | | 4.750% | | | | 34,158 | |
| | 9,900,000 | | | | 554,683 | | | OTC 1-Year Swaption, 3-Month USD-LIBOR, Put | | | GSC | | | | 3/26/24 | | | | 5.500% | | | | 226 | |
| | 11,400,000 | | | | 638,726 | | | OTC 1-Year Swaption, 3-Month USD-LIBOR, Put | | | JPM | | | | 3/26/24 | | | | 5.500% | | | | 260 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | Total Interest Rate Swaptions | | | | | | | | | | | | | | $ | 41,997 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
220
| | | | | | |
| International Fixed Income Fund |
Option on Futures
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Number of
Contracts | | | Notional
Amount† | | | Security Name | | Counterparty | | | Expiration
Date | | | Strike Price | | | Value | |
| | 200,000 | | | | 194,000,000 | EUR | | OTC French Republic Government Bonds OAT Futures, Put(a) | | | BNP | | | | 5/23/25 | | | EUR | 97.00 | | | $ | 84,955 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | TOTAL OPTIONS CONTRACTS PURCHASED
(Cost — $102,842) | | | | | | | | | | | | | | $ | 126,952 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
| (a) | Security is valued in good faith at fair value by or under the direction of the Board of Trustees. |
At February 29, 2024, International Fixed Income Fund held the following Options Contracts Written:
Currency Options
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Number of
Contracts | | | Notional
Amount† | | | Security Name | | Counterparty | | | Expiration
Date | | | Strike Price | | | Value | |
| | 277,000 | | | | $ 277,000 | | | OTC U.S. Dollar versus New Taiwan Dollar, Put | | | GSC | | | | 3/4/24 | | | TWD | 31.00 | | | $ | 1 | |
| | 601,000 | | | | 601,000 | | | OTC U.S. Dollar versus New Taiwan Dollar, Put | | | JPM | | | | 3/1/24 | | | TWD | 31.00 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | $ | 1 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Interest Rate Swaptions
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Number of
Contracts | | | Notional
Amount† | | | Security Name | | Counterparty | | | Expiration
Date | | | Exercise
Rate | | | Value | |
| | 1,500,000 | | | | 79,937 | GBP | | OTC 1-Year Swaption, 3-Month GBP-LIBOR, Call | | | JPM | | | | 12/16/24 | | | | 0.820% | | | $ | 348 | |
| | 600,000 | | | $ | 33,617 | | | OTC 1-Year Swaption, 3-Month USD-LIBOR, Call | | | DUB | | | | 4/8/24 | | | | 2.790% | | | | 3 | |
| | 700,000 | | | | 39,220 | | | OTC 1-Year Swaption, 3-Month USD-LIBOR, Call | | | GSC | | | | 4/2/24 | | | | 2.697% | | | | 2 | |
| | 200,000 | | | | 11,206 | | | OTC 1-Year Swaption, 3-Month USD-LIBOR, Call | | | GSC | | | | 4/8/24 | | | | 2.721% | | | | 1 | |
| | 3,500,000 | | | | 196,100 | | | OTC 1-Year Swaption, 3-Month USD-LIBOR, Put | | | BOA | | | | 7/15/24 | | | | 5.250% | | | | 1,825 | |
| | 600,000 | | | | 33,617 | | | OTC 1-Year Swaption, 3-Month USD-LIBOR, Put | | | DUB | | | | 4/8/24 | | | | 2.790% | | | | 12,426 | |
| | 16,300,000 | | | | 913,266 | | | OTC 1-Year Swaption, 3-Month USD-LIBOR, Put | | | DUB | | | | 7/10/24 | | | | 5.250% | | | | 8,391 | |
| | 700,000 | | | | 39,220 | | | OTC 1-Year Swaption, 3-Month USD-LIBOR, Put | | | GSC | | | | 4/2/24 | | | | 2.697% | | | | 15,255 | |
| | 200,000 | | | | 11,206 | | | OTC 1-Year Swaption, 3-Month USD-LIBOR, Put | | | GSC | | | | 4/8/24 | | | | 2.721% | | | | 4,274 | |
| | 1,300,000 | | | | 51,246 | EUR | | OTC 5-Year Swaption, 3-Month EURIBOR, Call | | | BCLY | | | | 3/20/24 | | | | 2.560% | | | | 1,225 | |
| | 1,300,000 | | | | 51,246 | EUR | | OTC 5-Year Swaption, 3-Month EURIBOR, Put | | | BCLY | | | | 3/20/24 | | | | 2.900% | | | | 2,845 | |
| | 500,000 | | | | 19,710 | EUR | | OTC 10-Year Swaption, 3-Month EURIBOR, Call | | | BNP | | | | 3/1/24 | | | | 2.420% | | | | — | |
| | 500,000 | | | | 19,710 | EUR | | OTC 10-Year Swaption, 3-Month EURIBOR, Put | | | BNP | | | | 3/1/24 | | | | 2.750% | | | | 498 | |
| | 2,200,000 | | | | 123,263 | | | OTC 10-Year Swaption, 3-Month USD-LIBOR, Call | | | GSC | | | | 3/21/24 | | | | 3.700% | | | | 7,970 | |
| | 1,000,000 | | | | 56,029 | | | OTC 10-Year Swaption, 3-Month USD-LIBOR, Call | | | GSC | | | | 3/22/24 | | | | 3.725% | | | | 4,416 | |
| | 500,000 | | | | 28,014 | | | OTC 10-Year Swaption, 3-Month USD-LIBOR, Call | | | JPM | | | | 3/1/24 | | | | 3.300% | | | | — | |
| | 1,100,000 | | | | 61,631 | | | OTC 10-Year Swaption, 3-Month USD-LIBOR, Call | | | JPM | | | | 3/28/24 | | | | 3.700% | | | | 5,128 | |
| | 2,200,000 | | | | 123,263 | | | OTC 10-Year Swaption, 3-Month USD-LIBOR, Put | | | GSC | | | | 3/21/24 | | | | 4.150% | | | | 3,734 | |
| | 1,000,000 | | | | 56,029 | | | OTC 10-Year Swaption, 3-Month USD-LIBOR, Put | | | GSC | | | | 3/22/24 | | | | 4.175% | | | | 1,583 | |
| | 500,000 | | | | 28,014 | | | OTC 10-Year Swaption, 3-Month USD-LIBOR, Put | | | JPM | | | | 3/1/24 | | | | 3.700% | | | | 6,730 | |
| | 1,100,000 | | | | 61,631 | | | OTC 10-Year Swaption, 3-Month USD-LIBOR, Put | | | JPM | | | | 3/28/24 | | | | 4.100% | | | | 3,244 | |
| | 200,000 | | | | 7,884 | EUR | | OTC 25-Year Swaption, 3-Month EURIBOR, Put | | | BNP | | | | 5/23/25 | | | | 0.451% | | | | 76,303 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | Total Interest Rate Swaptions | | | | | | | | | | | | | | $ | 156,201 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | TOTAL OPTIONS CONTRACTS WRITTEN
(Premiums received — $130,895) | | | | | | | | | | | | | | $ | 156,202 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
See Notes to Financial Statements.
221
| | | | | | |
| International Fixed Income Fund |
At February 29, 2024, International Fixed Income Fund held the following Forward Sale Commitments:
| | | | | | | | |
| | |
Face
Amounts† | | | Security | | Value | |
| | | | Federal National Mortgage Association (FNMA): | | | | |
| $ | 2,100,000 | | | 2.000% due 3/1/39(a) | | $ | 1,851,285 | |
| | 400,000 | | | 6.000% due 3/1/54(a) | | | 401,693 | |
| | 17,250,000 | | | 2.000% due 4/1/54(a) | | | 13,570,184 | |
| | 2,000,000 | | | 3.000% due 4/1/54(a) | | | 1,713,109 | |
| | 8,200,000 | | | 6.000% due 4/1/54(a) | | | 8,232,783 | |
| | | | | | | | |
| | | | TOTAL FORWARD SALE COMMITMENTS
(Proceeds — $25,932,781) | | $ | 25,769,054 | |
| | | | | | | | |
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
| (a) | This security is traded on a TBA basis (see Note 1). |
At February 29, 2024, 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: | | | | | | | | | | | | | | | | | | | | |
3-Month SOFR Futures | | | 3 | | | | 3/24 | | | $ | 723,750 | | | $ | 709,856 | | | $ | (13,894 | ) |
3-Month SOFR Futures | | | 119 | | | | 6/24 | | | | 28,223,916 | | | | 28,168,788 | | | | (55,128 | ) |
3-Month SOFR Futures | | | 42 | | | | 12/24 | | | | 10,009,716 | | | | 9,994,425 | | | | (15,291 | ) |
3-Month SOFR Futures | | | 44 | | | | 9/25 | | | | 10,580,168 | | | | 10,562,200 | | | | (17,968 | ) |
3-Month SOFR Futures | | | 105 | | | | 12/25 | | | | 25,278,547 | | | | 25,249,875 | | | | (28,672 | ) |
Australian Government 3-Year Bond Futures | | | 54 | | | | 3/24 | | | | 3,711,938 | | | | 3,736,963 | | | | 25,025 | |
Canada Government 10-Year Bond Futures | | | 63 | | | | 6/24 | | | | 5,556,040 | | | | 5,564,462 | | | | 8,422 | |
Euro-Bobl Futures | | | 31 | | | | 3/24 | | | | 3,931,626 | | | | 3,893,928 | | | | (37,698 | ) |
Euro-BTP Futures | | | 99 | | | | 3/24 | | | | 12,283,000 | | | | 12,606,646 | | | | 323,646 | |
Euro-BTP Futures | | | 39 | | | | 6/24 | | | | 4,924,189 | | | | 4,951,501 | | | | 27,312 | |
Euro-Bund Futures | | | 23 | | | | 6/24 | | | | 3,267,269 | | | | 3,287,772 | | | | 20,503 | |
Euro-Buxl 30-Year Bond Futures | | | 11 | | | | 3/24 | | | | 1,548,765 | | | | 1,583,113 | | | | 34,348 | |
Euro-OAT Futures | | | 47 | | | | 3/24 | | | | 6,492,765 | | | | 6,486,345 | | | | (6,420 | ) |
Euro-Schatz Note Futures | | | 74 | | | | 3/24 | | | | 8,467,398 | | | | 8,409,813 | | | | (57,585 | ) |
U.S. Treasury Ultra Long Bond Futures | | | 1 | | | | 6/24 | | | | 125,546 | | | | 127,875 | | | | 2,329 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 208,929 | |
| | | | | | | | | | | | | | | | | | | | |
| Contracts to Sell: | | | | | | | | | | | | | | | | | | | | |
3-Month SOFR Futures | | | 12 | | | | 9/24 | | | | 2,862,438 | | | | 2,846,700 | | | | 15,738 | |
3-Month SOFR Futures | | | 159 | | | | 3/25 | | | | 38,056,135 | | | | 37,961,250 | | | | 94,885 | |
3-Month SOFR Futures | | | 138 | | | | 6/25 | | | | 33,097,701 | | | | 33,045,825 | | | | 51,876 | |
Australian Government 10-Year Bond Futures | | | 27 | | | | 3/24 | | | | 1,987,493 | | | | 2,018,378 | | | | (30,885 | ) |
Japan Government 10-Year Bond Futures | | | 5 | | | | 3/24 | | | | 4,848,909 | | | | 4,878,098 | | | | (29,189 | ) |
U.S. Treasury 2-Year Note Futures | | | 13 | | | | 6/24 | | | | 2,661,916 | | | | 2,661,750 | | | | 166 | |
U.S. Treasury 5-Year Note Futures | | | 111 | | | | 6/24 | | | | 11,880,501 | | | | 11,866,594 | | | | 13,907 | |
U.S. Treasury 10-Year Note Futures | | | 106 | | | | 6/24 | | | | 11,708,031 | | | | 11,706,375 | | | | 1,656 | |
U.S. Treasury Long Bond Futures | | | 51 | | | | 6/24 | | | | 6,003,258 | | | | 6,081,750 | | | | (78,492 | ) |
U.S. Ultra Long Bond Futures | | | 36 | | | | 6/24 | | | | 4,105,042 | | | | 4,110,188 | | | | (5,146 | ) |
United Kingdom Treasury 10-Year Gilt Futures | | | 34 | | | | 6/24 | | | | 4,178,607 | | | | 4,210,180 | | | | (31,573 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 2,943 | |
| | | | | | | | | | | | | | | | | | | | |
Net Unrealized Appreciation on Open Exchange-Traded Futures Contracts | | | | | | | | | | | | | | | | | | $ | 211,872 | |
| | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
222
| | | | | | |
| International Fixed Income Fund |
At February 29, 2024, International Fixed Income Fund had deposited cash of $1,455,000 with a broker or brokers as margin collateral on open exchange-traded futures contracts.
At February 29, 2024, 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 | | | 607,000 | | | | USD | | | | 395,902 | | | | GSC | | | $ | 394,519 | | | | 3/4/24 | | | $ | (1,383 | ) |
Brazilian Real | | | 248,702 | | | | USD | | | | 49,907 | | | | BNP | | | | 50,031 | | | | 3/4/24 | | | | 124 | |
Brazilian Real | | | 991,602 | | | | USD | | | | 199,341 | | | | DUB | | | | 198,251 | | | | 5/3/24 | | | | (1,090 | ) |
Brazilian Real | | | 1,231,331 | | | | USD | | | | 248,047 | | | | DUB | | | | 247,708 | | | | 3/4/24 | | | | (339 | ) |
Brazilian Real | | | 7,764,346 | | | | USD | | | | 1,571,094 | | | | JPM | | | | 1,552,326 | | | | 5/3/24 | | | | (18,768 | ) |
Brazilian Real | | | 3,208,678 | | | | USD | | | | 658,096 | | | | JPM | | | | 643,482 | | | | 4/2/24 | | | | (14,614 | ) |
British Pound | | | 7,879,189 | | | | USD | | | | 10,000,010 | | | | BNP | | | | 9,946,688 | | | | 3/4/24 | | | | (53,322 | ) |
British Pound | | | 557,000 | | | | USD | | | | 703,696 | | | | GSC | | | | 703,157 | | | | 3/4/24 | | | | (539 | ) |
Canadian Dollar | | | 659,000 | | | | USD | | | | 488,985 | | | | BNP | | | | 485,576 | | | | 3/4/24 | | | | (3,409 | ) |
Canadian Dollar | | | 135,388 | | | | USD | | | | 101,128 | | | | GSC | | | | 99,759 | | | | 3/4/24 | | | | (1,369 | ) |
Canadian Dollar | | | 8,233,629 | | | | USD | | | | 6,099,450 | | | | JPM | | | | 6,066,853 | | | | 3/4/24 | | | | (32,597 | ) |
Chinese Offshore Renminbi | | | 897,000 | | | | USD | | | | 123,969 | | | | GSC | | | | 124,666 | | | | 3/26/24 | | | | 697 | |
Chinese Offshore Renminbi | | | 656,000 | | | | USD | | | | 92,468 | | | | HSBC | | | | 91,171 | | | | 3/26/24 | | | | (1,297 | ) |
Chinese Offshore Renminbi | | | 1,200,000 | | | | USD | | | | 167,551 | | | | SCB | | | | 166,777 | | | | 3/26/24 | | | | (774 | ) |
Chinese Offshore Renminbi | | | 4,988,000 | | | | USD | | | | 694,712 | | | | SOG | | | | 693,236 | | | | 3/26/24 | | | | (1,476 | ) |
Danish Krone | | | 6,977,482 | | | | USD | | | | 1,012,695 | | | | BOA | | | | 1,011,764 | | | | 3/4/24 | | | | (931 | ) |
Danish Krone | | | 4,100,000 | | | | USD | | | | 593,396 | | | | HSBC | | | | 595,440 | | | | 4/2/24 | | | | 2,044 | |
Danish Krone | | | 8,922,979 | | | | USD | | | | 1,299,662 | | | | SCB | | | | 1,293,870 | | | | 3/4/24 | | | | (5,792 | ) |
Euro | | | 237,000 | | | | USD | | | | 255,674 | | | | BNP | | | | 256,149 | | | | 3/4/24 | | | | 475 | |
Euro | | | 23,980,764 | | | | USD | | | | 26,033,517 | | | | DUB | | | | 25,918,397 | | | | 3/4/24 | | | | (115,120 | ) |
Euro | | | 141,000 | | | | USD | | | | 152,305 | | | | JPM | | | | 152,393 | | | | 3/4/24 | | | | 88 | |
Hungarian Forint | | | 317,237,159 | | | | USD | | | | 873,003 | | | | DUB | | | | 872,263 | | | | 3/20/24 | | | | (740 | ) |
Indian Rupee | | | 970,174 | | | | USD | | | | 11,598 | | | | BNP | | | | 11,698 | | | | 3/20/24 | | | | 100 | |
Indian Rupee | | | 2,328,280 | | | | USD | | | | 27,837 | | | | BNP | | | | 28,073 | | | | 3/20/24 | | | | 236 | |
Indian Rupee | | | 81,452,780 | | | | USD | | | | 977,713 | | | | BNP | | | | 978,512 | | | | 6/20/24 | | | | 799 | |
Indian Rupee | | | 949,572 | | | | USD | | | | 11,348 | | | | BOA | | | | 11,449 | | | | 3/20/24 | | | | 101 | |
Indian Rupee | | | 1,548,586 | | | | USD | | | | 18,586 | | | | HSBC | | | | 18,672 | | | | 3/20/24 | | | | 86 | |
Indian Rupee | | | 988,677 | | | | USD | | | | 11,826 | | | | JPM | | | | 11,921 | | | | 3/20/24 | | | | 95 | |
Indian Rupee | | | 2,333,390 | | | | USD | | | | 28,079 | | | | SCB | | | | 28,134 | | | | 3/20/24 | | | | 55 | |
Indian Rupee | | | 2,178,729 | | | | USD | | | | 26,214 | | | | SCB | | | | 26,270 | | | | 3/20/24 | | | | 56 | |
Indian Rupee | | | 1,824,393 | | | | USD | | | | 21,936 | | | | SCB | | | | 21,997 | | | | 3/20/24 | | | | 61 | |
Indian Rupee | | | 996,982 | | | | USD | | | | 11,917 | | | | SCB | | | | 12,021 | | | | 3/20/24 | | | | 104 | |
Indian Rupee | | | 3,143,161 | | | | USD | | | | 37,792 | | | | SCB | | | | 37,898 | | | | 3/20/24 | | | | 106 | |
Indian Rupee | | | 2,277,661 | | | | USD | | | | 27,356 | | | | SCB | | | | 27,462 | | | | 3/20/24 | | | | 106 | |
Indian Rupee | | | 1,155,463 | | | | USD | | | | 13,821 | | | | SCB | | | | 13,932 | | | | 3/20/24 | | | | 111 | |
Indian Rupee | | | 2,272,318 | | | | USD | | | | 27,282 | | | | SCB | | | | 27,398 | | | | 3/20/24 | | | | 116 | |
Indian Rupee | | | 5,362,021 | | | | USD | | | | 64,525 | | | | SCB | | | | 64,652 | | | | 3/20/24 | | | | 127 | |
Indian Rupee | | | 125,432,768 | | | | USD | | | | 1,506,604 | | | | SCB | | | | 1,506,854 | | | | 6/20/24 | | | | 250 | |
Indonesian Rupiah | | | 1,397,196,000 | | | | USD | | | | 90,000 | | | | BCLY | | | | 88,868 | | | | 3/20/24 | | | | (1,132 | ) |
Indonesian Rupiah | | | 746,518,506 | | | | USD | | | | 48,429 | | | | BCLY | | | | 47,482 | | | | 3/20/24 | | | | (947 | ) |
Indonesian Rupiah | | | 773,866,122 | | | | USD | | | | 48,613 | | | | BCLY | | | | 49,106 | | | | 6/20/24 | | | | 493 | |
Indonesian Rupiah | | | 4,026,410,964 | | | | USD | | | | 261,230 | | | | BNP | | | | 256,098 | | | | 3/20/24 | | | | (5,132 | ) |
Indonesian Rupiah | | | 3,103,693,524 | | | | USD | | | | 200,448 | | | | BNP | | | | 197,409 | | | | 3/20/24 | | | | (3,039 | ) |
See Notes to Financial Statements.
223
| | | | | | |
International Fixed Income Fund |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Foreign Currency | | Local Currency | | | In Exchange For | | | Counterparty | | | Market
Value | | | Settlement
Date | | | Unrealized
Appreciation/
(Depreciation) | |
| Contracts to Buy: (continued) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Indonesian Rupiah | | | 3,167,208,810 | | | | USD | | | | 202,740 | | | | BNP | | | $ | 201,540 | | | | 3/1/24 | | | $ | (1,200 | ) |
Indonesian Rupiah | | | 9,237,083,476 | | | | USD | | | | 587,091 | | | | BNP | | | | 587,520 | | | | 3/20/24 | | | | 429 | |
Indonesian Rupiah | | | 7,402,238,552 | | | | USD | | | | 472,202 | | | | BOA | | | | 469,709 | | | | 6/20/24 | | | | (2,493 | ) |
Indonesian Rupiah | | | 442,797,888 | | | | USD | | | | 28,252 | | | | BOA | | | | 28,176 | | | | 3/1/24 | | | | (76 | ) |
Indonesian Rupiah | | | 1,663,083,864 | | | | USD | | | | 108,316 | | | | GSC | | | | 105,780 | | | | 3/20/24 | | | | (2,536 | ) |
Indonesian Rupiah | | | 1,978,319,739 | | | | USD | | | | 128,334 | | | | HSBC | | | | 125,830 | | | | 3/20/24 | | | | (2,504 | ) |
Indonesian Rupiah | | | 442,293,690 | | | | USD | | | | 28,220 | | | | HSBC | | | | 28,145 | | | | 3/1/24 | | | | (75 | ) |
Indonesian Rupiah | | | 1,624,213,678 | | | | USD | | | | 105,202 | | | | JPM | | | | 103,307 | | | | 3/20/24 | | | | (1,895 | ) |
Indonesian Rupiah | | | 948,186,096 | | | | USD | | | | 60,498 | | | | JPM | | | | 60,336 | | | | 3/1/24 | | | | (162 | ) |
Indonesian Rupiah | | | 3,636,096,981 | | | | USD | | | | 230,439 | | | | JPM | | | | 230,728 | | | | 6/20/24 | | | | 289 | |
Indonesian Rupiah | | | 3,521,712,710 | | | | USD | | | | 222,779 | | | | JPM | | | | 223,470 | | | | 6/20/24 | | | | 691 | |
Indonesian Rupiah | | | 731,662,911 | | | | USD | | | | 47,754 | | | | SCB | | | | 46,537 | | | | 3/20/24 | | | | (1,217 | ) |
Indonesian Rupiah | | | 1,231,562,868 | | | | USD | | | | 78,373 | | | | SCB | | | | 78,149 | | | | 6/20/24 | | | | (224 | ) |
Indonesian Rupiah | | | 442,293,690 | | | | USD | | | | 28,220 | | | | SCB | | | | 28,145 | | | | 3/1/24 | | | | (75 | ) |
Japanese Yen | | | 50,000,000 | | | | USD | | | | 353,507 | | | | GSC | | | | 344,408 | | | | 10/1/24 | | | | (9,099 | ) |
Japanese Yen | | | 40,400,000 | | | | USD | | | | 276,446 | | | | GSC | | | | 269,486 | | | | 3/4/24 | | | | (6,960 | ) |
Japanese Yen | | | 785,710,965 | | | | USD | | | | 5,218,937 | | | | HSBC | | | | 5,241,043 | | | | 3/4/24 | | | | 22,106 | |
Japanese Yen | | | 60,000,000 | | | | USD | | | | 415,007 | | | | JPM | | | | 413,290 | | | | 10/1/24 | | | | (1,717 | ) |
Japanese Yen | | | 1,041,308,384 | | | | USD | | | | 6,910,864 | | | | JPM | | | | 6,945,992 | | | | 3/4/24 | | | | 35,128 | |
Korean Won | | | 132,976,891 | | | | USD | | | | 99,872 | | | | BCLY | | | | 99,589 | | | | 3/4/24 | | | | (283 | ) |
Korean Won | | | 132,939,937 | | | | USD | | | | 99,655 | | | | BNP | | | | 99,561 | | | | 3/4/24 | | | | (94 | ) |
Malaysian Ringgit | | | 1,264,556 | | | | USD | | | | 265,440 | | | | GSC | | | | 266,768 | | | | 3/20/24 | | | | 1,328 | |
Mexican Peso | | | 2,344,000 | | | | USD | | | | 136,485 | | | | BCLY | | | | 137,134 | | | | 3/20/24 | | | | 649 | |
Mexican Peso | | | 1,714,000 | | | | USD | | | | 99,950 | | | | BNP | | | | 100,276 | | | | 3/20/24 | | | | 326 | |
Mexican Peso | | | 32,741,303 | | | | USD | | | | 1,877,347 | | | | GSC | | | | 1,915,514 | | | | 3/20/24 | | | | 38,167 | |
New Taiwan Dollar | | | 9,315,505 | | | | USD | | | | 295,224 | | | | BCLY | | | | 295,056 | | | | 3/18/24 | | | | (168 | ) |
New Taiwan Dollar | | | 13,739,799 | | | | USD | | | | 438,355 | | | | BNP | | | | 435,314 | | | | 3/20/24 | | | | (3,041 | ) |
New Taiwan Dollar | | | 2,841,696 | | | | USD | | | | 92,000 | | | | BNP | | | | 90,033 | | | | 3/20/24 | | | | (1,967 | ) |
New Taiwan Dollar | | | 4,051,364 | | | | USD | | | | 131,000 | | | | BNP | | | | 129,761 | | | | 6/20/24 | | | | (1,239 | ) |
New Taiwan Dollar | | | 517,647 | | | | USD | | | | 16,620 | | | | BNP | | | | 16,400 | | | | 3/20/24 | | | | (220 | ) |
New Taiwan Dollar | | | 4,591,058 | | | | USD | | | | 145,286 | | | | BNP | | | | 145,457 | | | | 3/20/24 | | | | 171 | |
New Taiwan Dollar | | | 4,588,138 | | | | USD | | | | 148,100 | | | | GSC | | | | 145,095 | | | | 3/6/24 | | | | (3,005 | ) |
New Taiwan Dollar | | | 54,958,021 | | | | USD | | | | 1,764,869 | | | | JPM | | | | 1,741,220 | | | | 3/20/24 | | | | (23,649 | ) |
New Taiwan Dollar | | | 9,300,000 | | | | USD | | | | 300,000 | | | | JPM | | | | 294,068 | | | | 3/5/24 | | | | (5,932 | ) |
New Taiwan Dollar | | | 15,210 | | | | USD | | | | 490 | | | | JPM | | | | 481 | | | | 3/5/24 | | | | (9 | ) |
New Taiwan Dollar | | | 12,777,890 | | | | USD | | | | 410,817 | | | | SCB | | | | 404,838 | | | | 3/20/24 | | | | (5,979 | ) |
New Taiwan Dollar | | | 10,828,544 | | | | USD | | | | 346,325 | | | | SCB | | | | 343,078 | | | | 3/20/24 | | | | (3,247 | ) |
Norwegian Krone | | | 4,728,358 | | | | USD | | | | 446,689 | | | | BCLY | | | | 445,600 | | | | 4/2/24 | | | | (1,089 | ) |
Norwegian Krone | | | 9,716,120 | | | | USD | | | | 932,864 | | | | BOA | | | | 914,962 | | | | 3/4/24 | | | | (17,902 | ) |
Norwegian Krone | | | 5,561,242 | | | | USD | | | | 531,432 | | | | GSC | | | | 523,700 | | | | 3/4/24 | | | | (7,732 | ) |
Polish Zloty | | | 3,713,789 | | | | USD | | | | 916,497 | | | | BNP | | | | 928,068 | | | | 7/22/24 | | | | 11,571 | |
South African Rand | | | 33,104,543 | | | | USD | | | | 1,742,473 | | | | HSBC | | | | 1,723,678 | | | | 3/20/24 | | | | (18,795 | ) |
South African Rand | | | 2,328,474 | | | | USD | | | | 121,025 | | | | HSBC | | | | 121,238 | | | | 3/20/24 | | | | 213 | |
Swedish Krona | | | 14,283,140 | | | | USD | | | | 1,379,799 | | | | DUB | | | | 1,377,890 | | | | 3/4/24 | | | | (1,909 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | (272,805 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Contracts to Sell: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Australian Dollar | | | 399,000 | | | | USD | | | | 259,523 | | | | BNP | | | | 259,575 | | | | 4/2/24 | | | | (52 | ) |
Australian Dollar | | | 599,000 | | | | USD | | | | 391,730 | | | | BOA | | | | 389,320 | | | | 3/4/24 | | | | 2,410 | |
Australian Dollar | | | 189,000 | | | | USD | | | | 124,932 | | | | GSC | | | | 122,841 | | | | 3/4/24 | | | | 2,091 | |
Australian Dollar | | | 218,000 | | | | USD | | | | 142,261 | | | | JPM | | | | 141,689 | | | | 3/4/24 | | | | 572 | |
Brazilian Real | | | 248,702 | | | | USD | | | | 50,000 | | | | BNP | | | | 50,032 | | | | 3/4/24 | | | | (32 | ) |
Brazilian Real | | | 4,028,080 | | | | USD | | | | 821,052 | | | | BNP | | | | 807,809 | | | | 4/2/24 | | | | 13,243 | |
Brazilian Real | | | 246,527 | | | | USD | | | | 49,471 | | | | DUB | | | | 49,594 | | | | 3/4/24 | | | | (123 | ) |
See Notes to Financial Statements.
224
| | | | | | |
International Fixed Income Fund |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Foreign Currency | | Local Currency | | | In Exchange For | | | Counterparty | | | Market
Value | | | Settlement
Date | | | Unrealized
Appreciation/
(Depreciation) | |
| Contracts to Sell: (continued) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Brazilian Real | | | 1,048,534 | | | | USD | | | | 210,818 | | | | DUB | | | $ | 210,277 | | | | 4/2/24 | | | $ | 541 | |
Brazilian Real | | | 984,804 | | | | USD | | | | 199,341 | | | | DUB | | | | 198,114 | | | | 3/4/24 | | | | 1,227 | |
Brazilian Real | | | 2,300,000 | | | | USD | | | | 464,356 | | | | GSC | | | | 457,183 | | | | 7/2/24 | | | | 7,173 | |
Brazilian Real | | | 1,000,000 | | | | USD | | | | 201,296 | | | | JPM | | | | 198,775 | | | | 7/2/24 | | | | 2,521 | |
British Pound | | | 312,000 | | | | USD | | | | 392,895 | | | | BNP | | | | 393,869 | | | | 3/4/24 | | | | (974 | ) |
British Pound | | | 7,879,189 | | | | USD | | | | 10,001,932 | | | | BNP | | | | 9,948,483 | | | | 4/2/24 | | | | 53,449 | |
British Pound | | | 8,124,189 | | | | USD | | | | 10,317,620 | | | | BNP | | | | 10,255,975 | | | | 3/4/24 | | | | 61,645 | |
Canadian Dollar | | | 9,022,546 | | | | USD | | | | 6,722,012 | | | | HSBC | | | | 6,648,156 | | | | 3/4/24 | | | | 73,856 | |
Canadian Dollar | | | 8,230,054 | | | | USD | | | | 6,099,450 | | | | JPM | | | | 6,066,892 | | | | 4/2/24 | | | | 32,558 | |
Chinese Offshore Renminbi | | | 1,169,000 | | | | USD | | | | 161,678 | | | | BNP | | | | 162,469 | | | | 3/26/24 | | | | (791 | ) |
Chinese Offshore Renminbi | | | 1,543,255 | | | | USD | | | | 214,430 | | | | BNP | | | | 214,483 | | | | 3/26/24 | | | | (53 | ) |
Chinese Offshore Renminbi | | | 2,304,973 | | | | USD | | | | 317,485 | | | | BOA | | | | 320,347 | | | | 3/26/24 | | | | (2,862 | ) |
Chinese Offshore Renminbi | | | 1,769,306 | | | | USD | | | | 245,328 | | | | BOA | | | | 245,900 | | | | 3/26/24 | | | | (572 | ) |
Chinese Offshore Renminbi | | | 2,364,041 | | | | USD | | | | 328,075 | | | | DUB | | | | 328,557 | | | | 3/26/24 | | | | (482 | ) |
Chinese Offshore Renminbi | | | 1,107,908 | | | | USD | | | | 153,552 | | | | GSC | | | | 153,978 | | | | 3/26/24 | | | | (426 | ) |
Chinese Offshore Renminbi | | | 6,103,000 | | | | USD | | | | 844,763 | | | | HSBC | | | | 848,200 | | | | 3/26/24 | | | | (3,437 | ) |
Chinese Offshore Renminbi | | | 10,180,000 | | | | USD | | | | 1,412,596 | | | | HSBC | | | | 1,414,825 | | | | 3/26/24 | | | | (2,229 | ) |
Chinese Offshore Renminbi | | | 1,478,000 | | | | USD | | | | 206,182 | | | | HSBC | | | | 205,413 | | | | 3/26/24 | | | | 769 | |
Chinese Offshore Renminbi | | | 779,000 | | | | USD | | | | 109,948 | | | | HSBC | | | | 108,266 | | | | 3/26/24 | | | | 1,682 | |
Chinese Offshore Renminbi | | | 1,182,000 | | | | USD | | | | 166,574 | | | | HSBC | | | | 164,275 | | | | 3/26/24 | | | | 2,299 | |
Chinese Offshore Renminbi | | | 56,382,000 | | | | USD | | | | 7,892,814 | | | | NWM | | | | 7,836,019 | | | | 3/26/24 | | | | 56,795 | |
Chinese Offshore Renminbi | | | 2,383,106 | | | | USD | | | | 329,181 | | | | SCB | | | | 331,206 | | | | 3/26/24 | | | | (2,025 | ) |
Chinese Offshore Renminbi | | | 7,793,000 | | | | USD | | | | 1,098,537 | | | | SCB | | | | 1,083,078 | | | | 3/26/24 | | | | 15,459 | |
Danish Krone | | | 5,805,733 | | | | USD | | | | 867,328 | | | | BCLY | | | | 843,162 | | | | 4/2/24 | | | | 24,166 | |
Danish Krone | | | 4,525,488 | | | | USD | | | | 674,897 | | | | BNP | | | | 657,233 | | | | 4/2/24 | | | | 17,664 | |
Danish Krone | | | 6,966,919 | | | | USD | | | | 1,012,695 | | | | BOA | | | | 1,011,800 | | | | 4/2/24 | | | | 895 | |
Danish Krone | | | 4,100,000 | | | | USD | | | | 604,777 | | | | HSBC | | | | 607,334 | | | | 4/1/25 | | | | (2,557 | ) |
Danish Krone | | | 515,000 | | | | USD | | | | 74,539 | | | | JPM | | | | 74,677 | | | | 3/4/24 | | | | (138 | ) |
Danish Krone | | | 831,320 | | | | USD | | | | 121,123 | | | | JPM | | | | 120,733 | | | | 4/2/24 | | | | 390 | |
Danish Krone | | | 3,500,000 | | | | USD | | | | 509,137 | | | | JPM | | | | 508,303 | | | | 4/2/24 | | | | 834 | |
Danish Krone | | | 4,000,000 | | | | USD | | | | 591,091 | | | | JPM | | | | 589,659 | | | | 1/2/25 | | | | 1,432 | |
Danish Krone | | | 5,636,118 | | | | USD | | | | 819,970 | | | | SCB | | | | 817,261 | | | | 3/4/24 | | | | 2,709 | |
Danish Krone | | | 8,909,527 | | | | USD | | | | 1,299,662 | | | | SCB | | | | 1,293,924 | | | | 4/2/24 | | | | 5,738 | |
Danish Krone | | | 10,581,551 | | | | USD | | | | 1,540,565 | | | | UBS | | | | 1,534,370 | | | | 3/4/24 | | | | 6,195 | |
Euro | | | 1,680,000 | | | | USD | | | | 1,811,157 | | | | BNP | | | | 1,815,743 | | | | 3/4/24 | | | | (4,586 | ) |
Euro | | | 475,000 | | | | USD | | | | 511,245 | | | | BNP | | | | 513,380 | | | | 3/4/24 | | | | (2,135 | ) |
Euro | | | 584,000 | | | | USD | | | | 629,673 | | | | BNP | | | | 631,187 | | | | 3/4/24 | | | | (1,514 | ) |
Euro | | | 665,000 | | | | USD | | | | 724,580 | | | | BOA | | | | 718,732 | | | | 3/4/24 | | | | 5,848 | |
Euro | | | 23,980,764 | | | | USD | | | | 26,065,052 | | | | DUB | | | | 25,950,034 | | | | 4/2/24 | | | | 115,018 | |
Euro | | | 20,954,764 | | | | USD | | | | 22,669,660 | | | | HSBC | | | | 22,647,898 | | | | 3/4/24 | | | | 21,762 | |
Hungarian Forint | | | 140,109,412 | | | | USD | | | | 386,130 | | | | BNP | | | | 385,239 | | | | 3/20/24 | | | | 891 | |
Indian Rupee | | | 40,985,521 | | | | USD | | | | 491,256 | | | | BNP | | | | 494,175 | | | | 3/20/24 | | | | (2,919 | ) |
Indian Rupee | | | 17,353,597 | | | | USD | | | | 208,832 | | | | BOA | | | | 209,238 | | | | 3/20/24 | | | | (406 | ) |
Indian Rupee | | | 1,555,890 | | | | USD | | | | 18,586 | | | | HSBC | | | | 18,691 | | | | 6/20/24 | | | | (105 | ) |
Indian Rupee | | | 27,811,600 | | | | USD | | | | 334,035 | | | | JPM | | | | 334,108 | | | | 6/20/24 | | | | (73 | ) |
Indian Rupee | | | 5,384,411 | | | | USD | | | | 64,525 | | | | SCB | | | | 64,684 | | | | 6/20/24 | | | | (159 | ) |
Indian Rupee | | | 2,283,012 | | | | USD | | | | 27,282 | | | | SCB | | | | 27,426 | | | | 6/20/24 | | | | (144 | ) |
Indian Rupee | | | 2,288,152 | | | | USD | | | | 27,356 | | | | SCB | | | | 27,488 | | | | 6/20/24 | | | | (132 | ) |
Indian Rupee | | | 3,156,388 | | | | USD | | | | 37,792 | | | | SCB | | | | 37,918 | | | | 6/20/24 | | | | (126 | ) |
Indian Rupee | | | 1,832,597 | | | | USD | | | | 21,936 | | | | SCB | | | | 22,015 | | | | 6/20/24 | | | | (79 | ) |
Indian Rupee | | | 2,188,298 | | | | USD | | | | 26,214 | | | | SCB | | | | 26,289 | | | | 6/20/24 | | | | (75 | ) |
Indian Rupee | | | 2,343,190 | | | | USD | | | | 28,079 | | | | SCB | | | | 28,149 | | | | 6/20/24 | | | | (70 | ) |
Indonesian Rupiah | | | 886,163,402 | | | | USD | | | | 56,024 | | | | BNP | | | | 56,390 | | | | 3/1/24 | | | | (366 | ) |
See Notes to Financial Statements.
225
| | | | | | |
International Fixed Income Fund |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Foreign Currency | | Local Currency | | | In Exchange For | | | Counterparty | | | Market
Value | | | Settlement
Date | | | Unrealized
Appreciation/
(Depreciation) | |
| Contracts to Sell: (continued) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Indonesian Rupiah | | | 783,505,715 | | | | USD | | | | 50,000 | | | | BNP | | | $ | 49,825 | | | | 3/28/24 | | | $ | 175 | |
Indonesian Rupiah | | | 2,281,045,408 | | | | USD | | | | 145,540 | | | | BNP | | | | 145,151 | | | | 3/1/24 | | | | 389 | |
Indonesian Rupiah | | | 3,169,641,694 | | | | USD | | | | 202,740 | | | | BNP | | | | 201,603 | | | | 3/20/24 | | | | 1,137 | |
Indonesian Rupiah | | | 6,579,096,636 | | | | USD | | | | 420,000 | | | | BNP | | | | 418,460 | | | | 3/20/24 | | | | 1,540 | |
Indonesian Rupiah | | | 3,329,102,315 | | | | USD | | | | 217,233 | | | | BNP | | | | 211,745 | | | | 3/20/24 | | | | 5,488 | |
Indonesian Rupiah | | | 442,797,888 | | | | USD | | | | 28,011 | | | | BOA | | | | 28,177 | | | | 3/1/24 | | | | (166 | ) |
Indonesian Rupiah | | | 784,766,376 | | | | USD | | | | 49,912 | | | | BOA | | | | 49,915 | | | | 3/20/24 | | | | (3 | ) |
Indonesian Rupiah | | | 442,293,690 | | | | USD | | | | 28,011 | | | | HSBC | | | | 28,145 | | | | 3/1/24 | | | | (134 | ) |
Indonesian Rupiah | | | 3,515,675,399 | | | | USD | | | | 222,779 | | | | JPM | | | | 223,613 | | | | 3/20/24 | | | | (834 | ) |
Indonesian Rupiah | | | 3,629,414,250 | | | | USD | | | | 230,439 | | | | JPM | | | | 230,847 | | | | 3/20/24 | | | | (408 | ) |
Indonesian Rupiah | | | 754,475,439 | | | | USD | | | | 47,697 | | | | JPM | | | | 48,010 | | | | 3/1/24 | | | | (313 | ) |
Indonesian Rupiah | | | 193,710,657 | | | | USD | | | | 12,246 | | | | JPM | | | | 12,326 | | | | 3/1/24 | | | | (80 | ) |
Indonesian Rupiah | | | 801,057,374 | | | | USD | | | | 51,644 | | | | JPM | | | | 50,950 | | | | 3/20/24 | | | | 694 | |
Indonesian Rupiah | | | 1,593,235,204 | | | | USD | | | | 102,796 | | | | JPM | | | | 101,337 | | | | 3/20/24 | | | | 1,459 | |
Indonesian Rupiah | | | 442,293,690 | | | | USD | | | | 28,011 | | | | SCB | | | | 28,145 | | | | 3/1/24 | | | | (134 | ) |
Israeli New Shekel | | | 1,623,000 | | | | USD | | | | 445,756 | | | | BNP | | | | 454,393 | | | | 3/20/24 | | | | (8,637 | ) |
Japanese Yen | | | 120,300,000 | | | | USD | | | | 803,584 | | | | BCLY | | | | 802,454 | | | | 3/4/24 | | | | 1,130 | |
Japanese Yen | | | 390,000,000 | | | | USD | | | | 2,703,850 | | | | BCLY | | | | 2,631,200 | | | | 5/13/24 | | | | 72,650 | |
Japanese Yen | | | 80,000,000 | | | | USD | | | | 647,066 | | | | BCLY | | | | 538,785 | | | | 5/1/24 | | | | 108,281 | |
Japanese Yen | | | 100,003,000 | | | | USD | | | | 818,858 | | | | BCLY | | | | 670,100 | | | | 4/1/24 | | | | 148,758 | |
Japanese Yen | | | 710,000,000 | | | | USD | | | | 4,956,640 | | | | BCLY | | | | 4,768,787 | | | | 4/15/24 | | | | 187,853 | |
Japanese Yen | | | 920,000,000 | | | | USD | | | | 6,209,380 | | | | BNP | | | | 6,225,551 | | | | 6/3/24 | | | | (16,171 | ) |
Japanese Yen | | | 50,000,000 | | | | USD | | | | 371,443 | | | | GSC | | | | 364,299 | | | | 1/5/26 | | | | 7,144 | |
Japanese Yen | | | 782,131,818 | | | | USD | | | | 5,218,937 | | | | HSBC | | | | 5,241,769 | | | | 4/2/24 | | | | (22,832 | ) |
Japanese Yen | | | 16,670,000 | | | | USD | | | | 133,686 | | | | HSBC | | | | 114,825 | | | | 10/1/24 | | | | 18,861 | |
Japanese Yen | | | 50,000,000 | | | | USD | | | | 400,705 | | | | HSBC | | | | 344,408 | | | | 10/1/24 | | | | 56,297 | |
Japanese Yen | | | 210,000,000 | | | | USD | | | | 1,486,294 | | | | HSBC | | | | 1,403,922 | | | | 3/18/24 | | | | 82,372 | |
Japanese Yen | | | 83,330,000 | | | | USD | | | | 668,378 | | | | HSBC | | | | 573,990 | | | | 10/1/24 | | | | 94,388 | |
Japanese Yen | | | 80,000,000 | | | | USD | | | | 653,393 | | | | HSBC | | | | 536,064 | | | | 4/1/24 | | | | 117,329 | |
Japanese Yen | | | 80,002,000 | | | | USD | | | | 651,601 | | | | HSBC | | | | 533,649 | | | | 3/1/24 | | | | 117,952 | |
Japanese Yen | | | 80,002,000 | | | | USD | | | | 657,101 | | | | HSBC | | | | 533,649 | | | | 3/1/24 | | | | 123,452 | |
Japanese Yen | | | 1,036,576,653 | | | | USD | | | | 6,910,864 | | | | JPM | | | | 6,947,032 | | | | 4/2/24 | | | | (36,168 | ) |
Japanese Yen | | | 60,000,000 | | | | USD | | | | 437,801 | | | | JPM | | | | 437,160 | | | | 1/5/26 | | | | 641 | |
Japanese Yen | | | 39,900,000 | | | | USD | | | | 320,032 | | | | JPM | | | | 274,837 | | | | 10/1/24 | | | | 45,195 | |
Japanese Yen | | | 40,100,000 | | | | USD | | | | 321,482 | | | | JPM | | | | 276,216 | | | | 10/1/24 | | | | 45,266 | |
Japanese Yen | | | 40,000,000 | | | | USD | | | | 323,533 | | | | JPM | | | | 275,526 | | | | 10/1/24 | | | | 48,007 | |
Japanese Yen | | | 1,747,416,448 | | | | USD | | | | 11,926,235 | | | | JPM | | | | 11,656,048 | | | | 3/4/24 | | | | 270,187 | |
Japanese Yen | | | 920,000,000 | | | | USD | | | | 6,444,251 | | | | UBS | | | | 6,171,970 | | | | 4/8/24 | | | | 272,281 | |
Korean Won | | | 132,976,891 | | | | USD | | | | 99,683 | | | | BCLY | | | | 99,589 | | | | 3/4/24 | | | | 94 | |
Korean Won | | | 132,877,019 | | | | USD | | | | 99,872 | | | | BCLY | | | | 99,599 | | | | 3/20/24 | | | | 273 | |
Korean Won | | | 62,960,963 | | | | USD | | | | 47,898 | | | | BCLY | | | | 47,431 | | | | 6/20/24 | | | | 467 | |
Korean Won | | | 189,898,769 | | | | USD | | | | 145,494 | | | | BCLY | | | | 143,059 | | | | 6/20/24 | | | | 2,435 | |
Korean Won | | | 132,939,937 | | | | USD | | | | 100,000 | | | | BNP | | | | 99,561 | | | | 3/4/24 | | | | 439 | |
Korean Won | | | 184,234,273 | | | | USD | | | | 141,019 | | | | BNP | | | | 138,792 | | | | 6/20/24 | | | | 2,227 | |
Korean Won | | | 1,143,194,797 | | | | USD | | | | 861,368 | | | | BNP | | | | 856,890 | | | | 3/20/24 | | | | 4,478 | |
Korean Won | | | 451,168,307 | | | | USD | | | | 350,075 | | | | BNP | | | | 339,885 | | | | 6/20/24 | | | | 10,190 | |
Korean Won | | | 64,800,801 | | | | USD | | | | 49,810 | | | | BOA | | | | 48,817 | | | | 6/20/24 | | | | 993 | |
Korean Won | | | 205,296,988 | | | | USD | | | | 157,723 | | | | DUB | | | | 154,659 | | | | 6/20/24 | | | | 3,064 | |
Korean Won | | | 98,178,900 | | | | USD | | | | 76,464 | | | | GSC | | | | 73,962 | | | | 6/20/24 | | | | 2,502 | |
Korean Won | | | 64,252,308 | | | | USD | | | | 50,102 | | | | JPM | | | | 48,404 | | | | 6/20/24 | | | | 1,698 | |
Korean Won | | | 183,386,604 | | | | USD | | | | 141,394 | | | | JPM | | | | 138,153 | | | | 6/20/24 | | | | 3,241 | |
Korean Won | | | 64,148,738 | | | | USD | | | | 48,267 | | | | SCB | | | | 48,326 | | | | 6/20/24 | | | | (59 | ) |
Korean Won | | | 64,986,673 | | | | USD | | | | 49,258 | | | | SCB | | | | 48,957 | | | | 6/20/24 | | | | 301 | |
See Notes to Financial Statements.
226
| | | | | | |
International Fixed Income Fund |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Foreign Currency | | Local Currency | | | In Exchange For | | | Counterparty | | | Market
Value | | | Settlement
Date | | | Unrealized
Appreciation/
(Depreciation) | |
| Contracts to Sell: (continued) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Malaysian Ringgit | | | 397,495 | | | | USD | | | | 83,099 | | | | BCLY | | | $ | 83,855 | | | | 3/20/24 | | | $ | (756 | ) |
Malaysian Ringgit | | | 12,755,098 | | | | USD | | | | 2,683,024 | | | | BNP | | | | 2,690,787 | | | | 3/20/24 | | | | (7,763 | ) |
Malaysian Ringgit | | | 864,909 | | | | USD | | | | 181,000 | | | | GSC | | | | 182,459 | | | | 3/20/24 | | | | (1,459 | ) |
Mexican Peso | | | 4,249,576 | | | | USD | | | | 245,707 | | | | BNP | | | | 248,619 | | | | 3/20/24 | | | | (2,912 | ) |
New Taiwan Dollar | | | 9,320,524 | | | | USD | | | | 295,224 | | | | BCLY | | | | 294,717 | | | | 3/5/24 | | | | 507 | |
New Taiwan Dollar | | | 11,182,360 | | | | USD | | | | 353,839 | | | | BNP | | | | 354,288 | | | | 3/20/24 | | | | (449 | ) |
New Taiwan Dollar | | | 4,594,777 | | | | USD | | | | 145,286 | | | | BNP | | | | 145,304 | | | | 3/6/24 | | | | (18 | ) |
New Taiwan Dollar | | | 511,148 | | | | USD | | | | 16,620 | | | | BNP | | | | 16,372 | | | | 6/20/24 | | | | 248 | |
New Taiwan Dollar | | | 864,642 | | | | USD | | | | 28,081 | | | | BNP | | | | 27,694 | | | | 6/20/24 | | | | 387 | |
New Taiwan Dollar | | | 723,123 | | | | USD | | | | 23,410 | | | | BNP | | | | 22,911 | | | | 3/20/24 | | | | 499 | |
New Taiwan Dollar | | | 1,293,535 | | | | USD | | | | 41,877 | | | | BNP | | | | 41,281 | | | | 5/20/24 | | | | 596 | |
New Taiwan Dollar | | | 6,115,838 | | | | USD | | | | 197,459 | | | | BNP | | | | 195,884 | | | | 6/20/24 | | | | 1,575 | |
New Taiwan Dollar | | | 27,775,038 | | | | USD | | | | 882,700 | | | | BNP | | | | 879,989 | | | | 3/20/24 | | | | 2,711 | |
New Taiwan Dollar | | | 5,220,303 | | | | USD | | | | 170,000 | | | | BNP | | | | 167,201 | | | | 6/20/24 | | | | 2,799 | |
New Taiwan Dollar | | | 20,049,825 | | | | USD | | | | 645,000 | | | | BNP | | | | 642,174 | | | | 6/20/24 | | | | 2,826 | |
New Taiwan Dollar | | | 13,572,786 | | | | USD | | | | 438,355 | | | | BNP | | | | 434,721 | | | | 6/20/24 | | | | 3,634 | |
New Taiwan Dollar | | | 7,685,619 | | | | USD | | | | 247,293 | | | | JPM | | | | 243,501 | | | | 3/20/24 | | | | 3,792 | |
New Taiwan Dollar | | | 54,276,428 | | | | USD | | | | 1,764,869 | | | | JPM | | | | 1,738,414 | | | | 6/20/24 | | | | 26,455 | |
New Taiwan Dollar | | | 21,148,866 | | | | USD | | | | 670,010 | | | | SCB | | | | 670,054 | | | | 3/20/24 | | | | (44 | ) |
New Taiwan Dollar | | | 16,323,033 | | | | USD | | | | 528,647 | | | | SCB | | | | 517,158 | | | | 3/20/24 | | | | 11,489 | |
New Zealand Dollar | | | 64,000 | | | | USD | | | | 38,937 | | | | BNP | | | | 38,964 | | | | 4/2/24 | | | | (27 | ) |
New Zealand Dollar | | | 64,000 | | | | USD | | | | 39,516 | | | | BNP | | | | 38,963 | | | | 3/4/24 | | | | 553 | |
Norwegian Krone | | | 4,731,722 | | | | USD | | | | 446,689 | | | | BCLY | | | | 445,584 | | | | 3/4/24 | | | | 1,105 | |
Norwegian Krone | | | 1,375,000 | | | | USD | | | | 131,768 | | | | BCLY | | | | 129,483 | | | | 3/4/24 | | | | 2,285 | |
Norwegian Krone | | | 9,165,000 | | | | USD | | | | 872,492 | | | | BCLY | | | | 863,063 | | | | 3/4/24 | | | | 9,429 | |
Peruvian Sol | | | 367,339 | | | | USD | | | | 96,706 | | | | BOA | | | | 97,095 | | | | 3/20/24 | | | | (389 | ) |
Singapore Dollar | | | 1,227,549 | | | | USD | | | | 927,362 | | | | DUB | | | | 912,960 | | | | 3/20/24 | | | | 14,402 | |
Singapore Dollar | | | 53,000 | | | | USD | | | | 40,047 | | | | SOG | | | | 39,417 | | | | 3/20/24 | | | | 630 | |
Swedish Krona | | | 19,719 | | | | USD | | | | 1,909 | | | | BNP | | | | 1,905 | | | | 4/2/24 | | | | 4 | |
Swedish Krona | | | 9,587,862 | | | | USD | | | | 917,291 | | | | BOA | | | | 924,938 | | | | 3/4/24 | | | | (7,647 | ) |
Swedish Krona | | | 14,265,753 | | | | USD | | | | 1,379,799 | | | | DUB | | | | 1,377,928 | | | | 4/2/24 | | | | 1,871 | |
Swedish Krona | | | 4,715,000 | | | | USD | | | | 452,217 | | | | JPM | | | | 454,855 | | | | 3/4/24 | | | | (2,638 | ) |
Swiss Franc | | | 875,829 | | | | USD | | | | 999,624 | | | | BCLY | | | | 993,620 | | | | 4/2/24 | | | | 6,004 | |
Swiss Franc | | | 877,870 | | | | USD | | | | 1,021,881 | | | | SCB | | | | 992,729 | | | | 3/4/24 | | | | 29,152 | |
Thai Baht | | | 1,535,315 | | | | USD | | | | 43,000 | | | | GSC | | | | 42,780 | | | | 3/20/24 | | | | 220 | |
Thai Baht | | | 9,877,144 | | | | USD | | | | 277,331 | | | | GSC | | | | 275,216 | | | | 3/20/24 | | | | 2,115 | |
Thai Baht | | | 15,667,300 | | | | USD | | | | 440,000 | | | | GSC | | | | 436,552 | | | | 3/20/24 | | | | 3,448 | |
Thai Baht | | | 4,378,057 | | | | USD | | | | 122,669 | | | | SCB | | | | 121,990 | | | | 3/20/24 | | | | 679 | |
Thai Baht | | | 5,794,618 | | | | USD | | | | 167,644 | | | | SCB | | | | 161,461 | | | | 3/20/24 | | | | 6,183 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | 2,389,075 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Unrealized Appreciation on Open Forward Foreign Currency Contracts | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 2,116,270 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
At February 29, 2024, 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 | | SOFR | | | 2.959% | | | | PAM | | | | 3/20/24 | | | | BNP | | | USD | 9,200,000 | | | $ | (234,536 | ) | | $ | 109,629 | | | $ | (344,165 | ) |
iBoxx Investment Grade Index | | SOFR | | | 2.917% | | | | PAM | | | | 3/20/24 | | | | BNP | | | USD | 1,800,000 | | | | (73,067 | ) | | | 22,442 | | | | (95,509 | ) |
iBoxx Investment Grade Index | | SOFR | | | 2.928% | | | | PAM | | | | 3/20/24 | | | | JPM | | | USD | 2,000,000 | | | | (73,285 | ) | | | 24,936 | | | | (98,221 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | $ | (380,888 | ) | | $ | 157,007 | | | $ | (537,895 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
227
| | | | | | |
| International Fixed Income Fund |
At February 29, 2024, International Fixed Income Fund held the following OTC Interest Rate Swap Contracts:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Pay/Receive
Floating Rate | | Floating Rate Index | | Fixed
Rate | | | Maturity
Date | | | Payment
Frequency | | | Counterparty | | | Notional
Amount | | | Market
Value | | | Upfront
Payment
Paid | | | Unrealized
Appreciation/
(Depreciation) | |
| Receive | | 3-Month MYR-KLIBOR | | | 3.500% | | | | 3/20/29 | | | | 3-Month | | | | GSC | | | | MYR 23,800,000 | | | $ | 40,099 | | | $ | 31,402 | | | $ | 8,697 | |
| Receive | | 3-Month MYR-KLIBOR | | | 3.750% | | | | 9/20/33 | | | | 3-Month | | | | GSC | | | | MYR 1,510,000 | | | | 3,996 | | | | 9,565 | | | | (5,569 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | $ | 44,095 | | | $ | 40,967 | | | $ | 3,128 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
At February 29, 2024, 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 | | 3-Month Australian Bank Bill | | | 3.750% | | | | 3/15/24 | | | 3-Month | | | AUD | | | | 8,800,000 | | | $ | (8,635 | ) | | $ | (6,152 | ) | | $ | (2,483 | ) |
| Pay | | 3-Month EURIBOR | | | 2.100% | | | | 4/11/24 | | | PAM | | | EUR | | | | 1,400,000 | | | | 16,658 | | | | — | | | | 16,658 | |
| Pay | | 3-Month EURIBOR | | | 2.100% | | | | 4/13/24 | | | PAM | | | EUR | | | | 3,100,000 | | | | 37,146 | | | | — | | | | 37,146 | |
| Pay | | 3-Month EURIBOR | | | 2.100% | | | | 5/17/24 | | | PAM | | | EUR | | | | 1,000,000 | | | | 12,275 | | | | — | | | | 12,275 | |
| Pay | | 3-Month EURIBOR | | | 2.250% | | | | 4/26/24 | | | PAM | | | EUR | | | | 400,000 | | | | 5,405 | | | | — | | | | 5,405 | |
| Pay | | 3-Month EURIBOR | | | 2.250% | | | | 4/28/24 | | | PAM | | | EUR | | | | 600,000 | | | | 8,153 | | | | — | | | | 8,153 | |
| Pay | | 3-Month EURIBOR | | | 2.250% | | | | 5/3/24 | | | PAM | | | EUR | | | | 400,000 | | | | 5,497 | | | | — | | | | 5,497 | |
| Pay | | 3-Month FRA New Zealand Bank Bill | | | 3.750% | | | | 6/15/27 | | | 6-Month | | | NZD | | | | 1,800,000 | | | | (33,200 | ) | | | (18,296 | ) | | | (14,904 | ) |
| Pay | | 3-Month FRA New Zealand Bank Bill | | | 4.000% | | | | 6/14/24 | | | 6-Month | | | NZD | | | | 10,100,000 | | | | (49,698 | ) | | | (22,659 | ) | | | (27,039 | ) |
| Pay | | 3-Month FRA New Zealand Bank Bill | | | 4.250% | | | | 3/18/30 | | | 6-Month | | | NZD | | | | 6,700,000 | | | | 12,664 | | | | (9,840 | ) | | | 22,504 | |
| Pay | | 3-Month FRA New Zealand Bank Bill | | | 4.750% | | | | 3/20/25 | | | 6-Month | | | NZD | | | | 3,900,000 | | | | (16,181 | ) | | | (3,519 | ) | | | (12,662 | ) |
| Pay | | 3-Month SEK-STIBOR | | | 0.500% | | | | 6/19/24 | | | 12-Month | | | SEK | | | | 4,800,000 | | | | (7,217 | ) | | | 6,261 | | | | (13,478 | ) |
| Pay | | 3-Month South Korean Certificate of Deposit | | | 3.500% | | | | 3/20/34 | | | 3-Month | | | KRW | | | | 1,093,710,000 | | | | 11,169 | | | | 31,469 | | | | (20,300 | ) |
| Receive | | 3-Month South Korean Certificate of Deposit | | | 3.250% | | | | 3/20/29 | | | 3-Month | | | KRW | | | | 2,128,873,000 | | | | 6,020 | | | | 5,204 | | | | 816 | |
| Pay | | 6-Month Australian Bank Bill | | | 4.000% | | | | 6/21/33 | | | 6-Month | | | AUD | | | | 6,200,000 | | | | (116,445 | ) | | | (139,835 | ) | | | 23,390 | |
| Pay | | 6-Month Australian Bank Bill | | | 4.250% | | | | 3/15/33 | | | 6-Month | | | AUD | | | | 1,700,000 | | | | (8,924 | ) | | | 18,825 | | | | (27,749 | ) |
| Pay | | 6-Month Australian Bank Bill | | | 4.500% | | | | 9/15/32 | | | 6-Month | | | AUD | | | | 10,400,000 | | | | (6,504 | ) | | | (258,134 | ) | | | 251,630 | |
| Pay | | 6-Month Australian Bank Bill | | | 4.750% | | | | 12/20/33 | | | 6-Month | | | AUD | | | | 12,700,000 | | | | 13,659 | | | | (93,397 | ) | | | 107,056 | |
| Pay | | 6-Month EURIBOR | | | 0.550% | | | | 8/10/24 | | | 12-Month | | | EUR | | | | 200,000 | | | | (3,019 | ) | | | — | | | | (3,019 | ) |
| Pay | | 6-Month EURIBOR | | | 0.650% | | | | 4/12/27 | | | 12-Month | | | EUR | | | | 500,000 | | | | (42,723 | ) | | | — | | | | (42,723 | ) |
| Pay | | 6-Month EURIBOR | | | 0.650% | | | | 5/11/27 | | | 12-Month | | | EUR | | | | 300,000 | | | | (24,966 | ) | | | — | | | | (24,966 | ) |
| Pay | | 6-Month EURIBOR | | | 0.700% | | | | 4/11/27 | | | 12-Month | | | EUR | | | | 200,000 | | | | (16,716 | ) | | | — | | | | (16,716 | ) |
| Pay | | 6-Month EURIBOR | | | 1.000% | | | | 5/13/27 | | | 12-Month | | | EUR | | | | 500,000 | | | | (34,507 | ) | | | — | | | | (34,507 | ) |
| Pay | | 6-Month EURIBOR | | | 2.250% | | | | 9/21/37 | | | 12-Month | | | EUR | | | | 5,650,000 | | | | (392,776 | ) | | | 141,469 | | | | (534,245 | ) |
| Pay | | 6-Month EURIBOR | | | 2.250% | | | | 9/21/42 | | | 12-Month | | | EUR | | | | 2,310,000 | | | | (181,314 | ) | | | 176,898 | | | | (358,212 | ) |
| Pay | | 6-Month EURIBOR | | | 3.000% | | | | 3/19/27 | | | 12-Month | | | EUR | | | | 7,050,000 | | | | 53,099 | | | | 47,415 | | | | 5,684 | |
| Pay | | 6-Month EURIBOR | | | 3.000% | | | | 3/20/34 | | | 12-Month | | | EUR | | | | 7,430,000 | | | | 195,024 | | | | (929 | ) | | | 195,953 | |
| Pay | | 6-Month EURIBOR | | | 3.250% | | | | 3/20/29 | | | 12-Month | | | EUR | | | | 18,700,000 | | | | 431,931 | | | | 31,328 | | | | 400,603 | |
| Pay | | 6-Month EURIBOR | | | 3.370% | | | | 10/9/28 | | | 12-Month | | | EUR | | | | 710,000 | | | | 15,061 | | | | — | | | | 15,061 | |
| Pay | | 6-Month EURIBOR | | | 3.500% | | | | 3/20/26 | | | 12-Month | | | EUR | | | | 14,200,000 | | | | 87,696 | | | | 13,489 | | | | 74,207 | |
| Receive | | 6-Month EURIBOR | | | 0.054% | | | | 5/27/50 | | | 12-Month | | | EUR | | | | 50,000 | | | | 22,756 | | | | 6,520 | | | | 16,236 | |
| Receive | | 6-Month EURIBOR | | | 0.064% | | | | 11/17/52 | | | 12-Month | | | EUR | | | | 100,000 | | | | 53,293 | | | | 11,996 | | | | 41,297 | |
| Receive | | 6-Month EURIBOR | | | 2.750% | | | | 3/20/54 | | | 12-Month | | | EUR | | | | 4,800,000 | | | | (343,801 | ) | | | (7,890 | ) | | | (335,911 | ) |
| Receive | | 6-Month EURIBOR | | | 3.000% | | | | 3/15/33 | | | 12-Month | | | EUR | | | | 3,160,000 | | | | (58,705 | ) | | | (33,464 | ) | | | (25,241 | ) |
| Receive | | 6-Month EURIBOR | | | 3.280% | | | | 11/22/33 | | | 12-Month | | | EUR | | | | 600,000 | | | | (28,846 | ) | | | — | | | | (28,846 | ) |
| Pay | | 28-Day MXN TIIE Banxico | | | 4.870% | | | | 7/7/25 | | | 28-Day | | | MXN | | | | 31,300,000 | | | | (131,893 | ) | | | (90,196 | ) | | | (41,697 | ) |
| Pay | | Bank of Japan Uncollateralised Overnight Call Rate | | | 0.000% | | | | 3/17/31 | | | 6-Month | | | JPY | | | | 580,000,000 | | | | (198,348 | ) | | | (20,750 | ) | | | (177,598 | ) |
| Pay | | Bank of Japan Uncollateralised Overnight Call Rate | | | 0.050% | | | | 12/15/31 | | | 12-Month | | | JPY | | | | 490,000,000 | | | | (170,331 | ) | | | (164,853 | ) | | | (5,478 | ) |
See Notes to Financial Statements.
228
| | | | | | |
International Fixed Income Fund |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Pay/Receive
Floating Rate | | Floating Rate Index | | Fixed
Rate | | | Maturity
Date | | | Payment
Frequency | | Notional
Amount | | | Market
Value | | | Upfront
Payment
Paid/
(Received) | | | Unrealized
Appreciation/
(Depreciation) | |
| Pay | | Bank of Japan Uncollateralised Overnight Call Rate | | | 0.200% | | | | 6/19/29 | | | 6-Month | | | JPY | | | | 410,000,000 | | | $ | (57,016 | ) | | $ | 55,540 | | | $ | (112,556 | ) |
| Pay | | Bank of Japan Uncollateralised Overnight Call Rate | | | 0.250% | | | | 3/15/32 | | | 12-Month | | | JPY | | | | 50,000,000 | | | | (12,269 | ) | | | (1,479 | ) | | | (10,790 | ) |
| Pay | | Bank of Japan Uncollateralised Overnight Call Rate | | | 0.400% | | | | 12/15/51 | | | 12-Month | | | JPY | | | | 67,000,000 | | | | (111,174 | ) | | | (28,522 | ) | | | (82,652 | ) |
| Pay | | Bank of Japan Uncollateralised Overnight Call Rate | | | 0.450% | | | | 12/15/51 | | | 12-Month | | | JPY | | | | 190,000,000 | | | | (300,269 | ) | | | (218,952 | ) | | | (81,317 | ) |
| Pay | | Bank of Japan Uncollateralised Overnight Call Rate | | | 0.550% | | | | 9/14/28 | | | 12-Month | | | JPY | | | | 120,000,000 | | | | 4,440 | | | | 2,356 | | | | 2,084 | |
| Pay | | Bank of Japan Uncollateralised Overnight Call Rate | | | 0.700% | | | | 3/15/52 | | | 12-Month | | | JPY | | | | 40,000,000 | | | | (46,456 | ) | | | (4,225 | ) | | | (42,231 | ) |
| Pay | | Bank of Japan Uncollateralised Overnight Call Rate | | | 0.800% | | | | 6/15/52 | | | 12-Month | | | JPY | | | | 120,000,000 | | | | (122,715 | ) | | | (74,226 | ) | | | (48,489 | ) |
| Pay | | Bank of Japan Uncollateralised Overnight Call Rate | | | 0.850% | | | | 9/20/33 | | | 12-Month | | | JPY | | | | 80,000,000 | | | | 2,017 | | | | 776 | | | | 1,241 | |
| Pay | | Bank of Japan Uncollateralised Overnight Call Rate | | | 1.200% | | | | 9/20/53 | | | 12-Month | | | JPY | | | | 10,000,000 | | | | (4,222 | ) | | | 2,520 | | | | (6,742 | ) |
| Receive | | Bank of Japan Uncollateralised Overnight Call Rate | | | 0.000% | | | | 12/15/26 | | | 12-Month | | | JPY | | | | 470,000,000 | | | | 29,941 | | | | 35,657 | | | | (5,716 | ) |
| Receive | | Bank of Japan Uncollateralised Overnight Call Rate | | | 0.400% | | | | 6/19/39 | | | 6-Month | | | JPY | | | | 80,000,000 | | | | 61,396 | | | | (20,457 | ) | | | 81,853 | |
| Pay | | Canadian Overnight Repo Rate Average | | | 1.220% | | | | 3/3/25 | | | 6-Month | | | CAD | | | | 2,000,000 | | | | (57,922 | ) | | | (72,594 | ) | | | 14,672 | |
| Pay | | Canadian Overnight Repo Rate Average | | | 1.500% | | | | 6/17/30 | | | 6-Month | | | CAD | | | | 2,200,000 | | | | (193,986 | ) | | | (184,229 | ) | | | (9,757 | ) |
| Pay | | Canadian Overnight Repo Rate Average | | | 1.713% | | | | 10/2/29 | | | 6-Month | | | CAD | | | | 700,000 | | | | (48,536 | ) | | | (52,319 | ) | | | 3,783 | |
| Pay | | Canadian Overnight Repo Rate Average | | | 1.900% | | | | 12/18/29 | | | 6-Month | | | CAD | | | | 800,000 | | | | (51,094 | ) | | | (52,932 | ) | | | 1,838 | |
| Pay | | Canadian Overnight Repo Rate Average | | | 3.250% | | | | 6/21/53 | | | 6-Month | | | CAD | | | | 200,000 | | | | (3,663 | ) | | | (10,586 | ) | | | 6,923 | |
| Pay | | Canadian Overnight Repo Rate Average | | | 3.500% | | | | 5/10/25 | | | PAM | | | CAD | | | | 18,900,000 | | | | (136,329 | ) | | | (111,011 | ) | | | (25,318 | ) |
| Pay | | Canadian Overnight Repo Rate Average | | | 3.500% | | | | 12/18/25 | | | PAM | | | CAD | | | | 3,200,000 | | | | (9,781 | ) | | | (5,383 | ) | | | (4,398 | ) |
| Pay | | Canadian Overnight Repo Rate Average | | | 4.600% | | | | 8/30/25 | | | PAM | | | CAD | | | | 3,500,000 | | | | 9,149 | | | | (7,787 | ) | | | 16,936 | |
| Receive | | Canadian Overnight Repo Rate Average | | | 3.250% | | | | 3/15/28 | | | 6-Month | | | CAD | | | | 990,000 | | | | 16,642 | | | | 13,208 | | | | 3,434 | |
| Receive | | Canadian Overnight Repo Rate Average | | | 3.250% | | | | 12/20/33 | | | 6-Month | | | CAD | | | | 2,500,000 | | | | 45,547 | | | | 144,403 | | | | (98,856 | ) |
| Receive | | Canadian Overnight Repo Rate Average | | | 3.500% | | | | 6/1/32 | | | 6-Month | | | CAD | | | | 2,000,000 | | | | (1,493 | ) | | | (15,509 | ) | | | 14,016 | |
| Receive | | Canadian Overnight Repo Rate Average | | | 3.750% | | | | 12/20/33 | | | 6-Month | | | CAD | | | | 2,000,000 | | | | (25,451 | ) | | | (9,424 | ) | | | (16,027 | ) |
| Pay | | China 7-Day Reverse Repo Index | | | 2.250% | | | | 3/20/29 | | | 3-Month | | | CNY | | | | 60,090,000 | | | | 65,646 | | | | 17,782 | | | | 47,864 | |
| Pay | | Financial Benchmarks India Overnight Mumbai Interbank Outright Rate | | | 6.250% | | | | 3/20/29 | | | 6-Month | | | INR | | | | 34,103,000 | | | | (1,269 | ) | | | (1,579 | ) | | | 310 | |
| Receive | | Financial Benchmarks India Overnight Mumbai Interbank Outright Rate | | | 6.500% | | | | 3/20/34 | | | 6-Month | | | INR | | | | 19,560,000 | | | | (1,908 | ) | | | (3,702 | ) | | | 1,794 | |
| Receive | | Singapore Overnight Rate Average | | | 2.750% | | | | 3/20/29 | | | 6-Month | | | SGD | | | | 10,705,000 | | | | 86,288 | | | | (11,847 | ) | | | 98,135 | |
| Receive | | Singapore Overnight Rate Average | | | 3.000% | | | | 3/20/29 | | | 6-Month | | | SGD | | | | 2,700,000 | | | | (1,298 | ) | | | 4,143 | | | | (5,441 | ) |
| Pay | | SOFR | | | 2.310% | | | | 1/16/25 | | | PAM | | | USD | | | | 5,400,000 | | | | (150,733 | ) | | | — | | | | (150,733 | ) |
| Pay | | SOFR | | | 2.841% | | | | 10/31/24 | | | PAM | | | USD | | | | 200,000 | | | | (4,863 | ) | | | — | | | | (4,863 | ) |
| Pay | | SOFR | | | 2.910% | | | | 11/14/24 | | | PAM | | | USD | | | | 400,000 | | | | (9,363 | ) | | | — | | | | (9,363 | ) |
| Pay | | SOFR | | | 2.920% | | | | 10/17/24 | | | PAM | | | USD | | | | 600,000 | | | | (14,240 | ) | | | — | | | | (14,240 | ) |
| Pay | | SOFR | | | 2.968% | | | | 6/30/24 | | | 12-Month | | | USD | | | | 10,400,000 | | | | (244,616 | ) | | | — | | | | (244,616 | ) |
| Pay | | SOFR | | | 2.973% | | | | 10/27/24 | | | PAM | | | USD | | | | 300,000 | | | | (6,940 | ) | | | — | | | | (6,940 | ) |
| Pay | | SOFR | | | 3.000% | | | | 6/21/30 | | | 12-Month | | | USD | | | | 600,000 | | | | (40,556 | ) | | | (25,103 | ) | | | (15,453 | ) |
| Pay | | SOFR | | | 3.018% | | | | 10/24/24 | | | PAM | | | USD | | | | 200,000 | | | | (4,535 | ) | | | — | | | | (4,535 | ) |
| Pay | | SOFR | | | 3.088% | | | | 11/7/24 | | | PAM | | | USD | | | | 100,000 | | | | (2,178 | ) | | | — | | | | (2,178 | ) |
| Pay | | SOFR | | | 3.140% | | | | 10/25/24 | | | PAM | | | USD | | | | 200,000 | | | | (4,291 | ) | | | — | | | | (4,291 | ) |
| Pay | | SOFR | | | 3.190% | | | | 10/25/24 | | | PAM | | | USD | | | | 200,000 | | | | (4,193 | ) | | | — | | | | (4,193 | ) |
| Pay | | SOFR | | | 3.225% | | | | 9/30/29 | | | 12-Month | | | USD | | | | 900,000 | | | | (41,043 | ) | | | 3,140 | | | | (44,183 | ) |
| Pay | | SOFR | | | 3.225% | | | | 10/25/24 | | | PAM | | | USD | | | | 100,000 | | | | (2,062 | ) | | | — | | | | (2,062 | ) |
| Pay | | SOFR | | | 3.340% | | | | 2/23/30 | | | 12-Month | | | USD | | | | 580,000 | | | | (18,778 | ) | | | — | | | | (18,778 | ) |
See Notes to Financial Statements.
229
| | | | | | |
International Fixed Income Fund |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Pay/Receive
Floating Rate | | Floating Rate Index | | Fixed
Rate | | | Maturity
Date | | | Payment
Frequency | | Notional
Amount | | | Market
Value | | | Upfront
Payment
Paid/
(Received) | | | Unrealized
Appreciation/
(Depreciation) | |
| Pay | | SOFR | | | 3.470% | | | | 2/22/30 | | | 12-Month | | | USD | | | | 800,000 | | | $ | (20,425 | ) | | $ | — | | | $ | (20,425 | ) |
| Pay | | SOFR | | | 3.500% | | | | 6/22/30 | | | 12-Month | | | USD | | | | 190,000 | | | | (6,963 | ) | | | — | | | | (6,963 | ) |
| Pay | | SOFR | | | 3.500% | | | | 12/20/33 | | | 12-Month | | | USD | | | | 15,920,000 | | | | (533,426 | ) | | | (746,996 | ) | | | 213,570 | |
| Pay | | SOFR | | | 3.650% | | | | 11/22/24 | | | PAM | | | USD | | | | 400,000 | | | | (6,399 | ) | | | — | | | | (6,399 | ) |
| Pay | | SOFR | | | 3.650% | | | | 12/5/24 | | | PAM | | | USD | | | | 400,000 | | | | (6,305 | ) | | | — | | | | (6,305 | ) |
| Pay | | SOFR | | | 3.725% | | | | 2/7/34 | | | 12-Month | | | USD | | | | 200,000 | | | | (2,532 | ) | | | — | | | | (2,532 | ) |
| Pay | | SOFR | | | 3.750% | | | | 11/21/24 | | | PAM | | | USD | | | | 700,000 | | | | (10,523 | ) | | | — | | | | (10,523 | ) |
| Pay | | SOFR | | | 3.750% | | | | 12/11/24 | | | PAM | | | USD | | | | 300,000 | | | | (4,403 | ) | | | — | | | | (4,403 | ) |
| Pay | | SOFR | | | 3.750% | | | | 6/20/29 | | | 12-Month | | | USD | | | | 4,400,000 | | | | (25,817 | ) | | | 34,458 | | | | (60,275 | ) |
| Pay | | SOFR | | | 3.783% | | | | 2/7/34 | | | 12-Month | | | USD | | | | 100,000 | | | | (788 | ) | | | — | | | | (788 | ) |
| Pay | | SOFR | | | 3.860% | | | | 2/21/34 | | | 12-Month | | | USD | | | | 300,000 | | | | (276 | ) | | | — | | | | (276 | ) |
| Pay | | SOFR | | | 3.940% | | | | 2/22/29 | | | 12-Month | | | USD | | | | 900,000 | | | | (2,776 | ) | | | — | | | | (2,776 | ) |
| Pay | | SOFR | | | 3.951% | | | | 3/31/30 | | | 12-Month | | | USD | | | | 3,500,000 | | | | (22,505 | ) | | | — | | | | (22,505 | ) |
| Pay | | SOFR | | | 3.981% | | | | 11/30/27 | | | 12-Month | | | USD | | | | 6,500,000 | | | | (55,362 | ) | | | — | | | | (55,362 | ) |
| Pay | | SOFR | | | 4.193% | | | | 11/30/27 | | | 12-Month | | | USD | | | | 1,380,000 | | | | (994 | ) | | | (524 | ) | | | (470 | ) |
| Receive | | SOFR | | | 0.500% | | | | 6/15/24 | | | 12-Month | | | USD | | | | 800,000 | | | | 39,115 | | | | 7,740 | | | | 31,375 | |
| Receive | | SOFR | | | 1.000% | | | | 12/15/26 | | | 12-Month | | | USD | | | | 1,000,000 | | | | 95,084 | | | | 3,719 | | | | 91,365 | |
| Receive | | SOFR | | | 1.298% | | | | 8/25/24 | | | 6-Month | | | USD | | | | 1,400,000 | | | | 29,811 | | | | (30,011 | ) | | | 59,822 | |
| Receive | | SOFR | | | 1.750% | | | | 6/15/24 | | | 12-Month | | | USD | | | | 8,000,000 | | | | 286,639 | | | | 367,708 | | | | (81,069 | ) |
| Receive | | SOFR | | | 2.180% | | | | 1/16/34 | | | 12-Month | | | USD | | | | 600,000 | | | | 84,730 | | | | — | | | | 84,730 | |
| Receive | | SOFR | | | 2.965% | | | | 11/30/26 | | | 12-Month | | | USD | | | | 6,600,000 | | | | 267,301 | | | | (3,697 | ) | | | 270,998 | |
| Receive | | SOFR | | | 3.048% | | | | 11/15/32 | | | 12-Month | | | USD | | | | 450,000 | | | | 30,371 | | | | — | | | | 30,371 | |
| Receive | | SOFR | | | 3.070% | | | | 11/15/32 | | | 12-Month | | | USD | | | | 1,100,000 | | | | 72,460 | | | | — | | | | 72,460 | |
| Receive | | SOFR | | | 3.083% | | | | 11/15/32 | | | 12-Month | | | USD | | | | 1,400,000 | | | | 90,813 | | | | — | | | | 90,813 | |
| Receive | | SOFR | | | 3.086% | | | | 11/15/32 | | | 12-Month | | | USD | | | | 1,100,000 | | | | 71,071 | | | | 11,057 | | | | 60,014 | |
| Receive | | SOFR | | | 3.139% | | | | 11/15/32 | | | 12-Month | | | USD | | | | 100,000 | | | | 6,059 | | | | — | | | | 6,059 | |
| Receive | | SOFR | | | 3.150% | | | | 5/13/25 | | | PAM | | | USD | | | | 13,400,000 | | | | 216,518 | | | | 5,337 | | | | 211,181 | |
| Receive | | SOFR | | | 3.173% | | | | 11/15/32 | | | 12-Month | | | USD | | | | 200,000 | | | | 11,606 | | | | (989 | ) | | | 12,595 | |
| Receive | | SOFR | | | 3.200% | | | | 5/13/25 | | | PAM | | | USD | | | | 1,100,000 | | | | 17,249 | | | | (363 | ) | | | 17,612 | |
| Receive | | SOFR | | | 3.250% | | | | 12/20/53 | | | 12-Month | | | USD | | | | 2,400,000 | | | | 175,903 | | | | 297,742 | | | | (121,839 | ) |
| Receive | | SOFR | | | 3.500% | | | | 12/18/25 | | | PAM | | | USD | | | | 2,400,000 | | | | 14,724 | | | | 3,436 | | | | 11,288 | |
| Receive | | SOFR | | | 3.500% | | | | 12/20/38 | | | 12-Month | | | USD | | | | 3,200,000 | | | | 142,768 | | | | 50,178 | | | | 92,590 | |
| Receive | | SOFR | | | 3.500% | | | | 6/20/54 | | | 12-Month | | | USD | | | | 500,000 | | | | 8,532 | | | | (9,747 | ) | | | 18,279 | |
| Receive | | SOFR | | | 3.600% | | | | 1/17/34 | | | 12-Month | | | USD | | | | 200,000 | | | | 4,785 | | | | — | | | | 4,785 | |
| Receive | | SOFR | | | 3.655% | | | | 5/31/28 | | | 12-Month | | | USD | | | | 300,000 | | | | 4,696 | | | | — | | | | 4,696 | |
| Receive | | SOFR | | | 3.662% | | | | 5/31/28 | | | 12-Month | | | USD | | | | 1,000,000 | | | | 15,393 | | | | — | | | | 15,393 | |
| Receive | | SOFR | | | 3.691% | | | | 5/31/28 | | | 12-Month | | | USD | | | | 2,400,000 | | | | 34,251 | | | | — | | | | 34,251 | |
| Receive | | SOFR | | | 3.700% | | | | 2/20/49 | | | 12-Month | | | USD | | | | 1,200,000 | | | | 6,738 | | | | 2,297 | | | | 4,441 | |
| Receive | | SOFR | | | 3.750% | | | | 6/21/25 | | | 12-Month | | | USD | | | | 4,900,000 | | | | 123,643 | | | | 24,288 | | | | 99,355 | |
| Receive | | SOFR | | | 3.750% | | | | 6/20/31 | | | 12-Month | | | USD | | | | 400,000 | | | | 1,819 | | | | (2,001 | ) | | | 3,820 | |
| Receive | | SOFR | | | 3.750% | | | | 6/20/34 | | | 12-Month | | | USD | | | | 13,200,000 | | | | 61,396 | | | | (161,129 | ) | | | 222,525 | |
| Receive | | SOFR | | | 4.000% | | | | 6/20/26 | | | 12-Month | | | USD | | | | 4,200,000 | | | | 21,018 | | | | (12,065 | ) | | | 33,083 | |
| Receive | | SOFR | | | 4.000% | | | | 3/20/54 | | | 12-Month | | | USD | | | | 800,000 | | | | (53,384 | ) | | | (92,817 | ) | | | 39,433 | |
| Receive | | SOFR | | | 4.159% | | | | 3/31/25 | | | 12-Month | | | USD | | | | 9,700,000 | | | | 168,680 | | | | (23,062 | ) | | | 191,742 | |
| Receive | | SOFR | | | 4.228% | | | | 8/30/25 | | | PAM | | | USD | | | | 2,800,000 | | | | 6,711 | | | | (1,404 | ) | | | 8,115 | |
| Receive | | SOFR | | | 4.250% | | | | 12/20/25 | | | 12-Month | | | USD | | | | 27,709,000 | | | | 240,642 | | | | 143,567 | | | | 97,075 | |
| Pay | | SOFR | | | 4.250% | | | | 3/20/34 | | | 12-Month | | | USD | | | | 2,760,000 | | | | 89,207 | | | | 165,011 | | | | (75,804 | ) |
| Pay | | Sterling Overnight Index Average | | | 3.000% | | | | 6/17/27 | | | 12-Month | | | GBP | | | | 5,100,000 | | | | (97,164 | ) | | | (11,885 | ) | | | (85,279 | ) |
| Pay | | Sterling Overnight Index Average | | | 4.250% | | | | 3/20/54 | | | 12-Month | | | GBP | | | | 500,000 | | | | 48,466 | | | | 28,241 | | | | 20,225 | |
| Pay | | Sterling Overnight Index Average | | | 4.500% | | | | 3/20/34 | | | 12-Month | | | GBP | | | | 9,700,000 | | | | 672,693 | | | | 324,739 | | | | 347,954 | |
| Pay | | Sterling Overnight Index Average | | | 5.000% | | | | 3/20/29 | | | 12-Month | | | GBP | | | | 10,000,000 | | | | 558,891 | | | | 591,283 | | | | (32,392 | ) |
| Receive | | Sterling Overnight Index Average | | | 3.000% | | | | 6/17/35 | | | 12-Month | | | GBP | | | | 1,100,000 | | | | 73,291 | | | | 18,443 | | | | 54,848 | |
| Receive | | Sterling Overnight Index Average | | | 5.500% | | | | 3/20/26 | | | 12-Month | | | GBP | | | | 400,000 | | | | (9,026 | ) | | | (9,576 | ) | | | 550 | |
| Pay | | Swiss Average Rate Overnight Index | | | 0.300% | | | | 2/15/27 | | | 12-Month | | | CHF | | | | 200,000 | | | | (5,359 | ) | | | — | | | | (5,359 | ) |
| Receive | | Thai Overnight Repurchase Rate | | | 2.250% | | | | 3/20/29 | | | 3-Month | | | THB | | | | 62,155,000 | | | | (3,642 | ) | | | (477 | ) | | | (3,165 | ) |
| Receive | | Thai Overnight Repurchase Rate | | | 2.500% | | | | 3/20/29 | | | 3-Month | | | THB | | | | 115,929,000 | | | | (44,947 | ) | | | (29,600 | ) | | | (15,347 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | $ | 578,639 | | | $ | (68,480 | ) | | $ | 647,119 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
230
| | | | | | |
| International Fixed Income Fund |
At February 29, 2024, 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 & Ratings† | | Fixed Deal
(Pay) Rate | | | Maturity
Date | | | Payment
Frequency | | | Counterparty | | | Implied Credit
Spread at
2/29/24 (2) | | | Notional
Amount (3) | | | Market
Value | | | Upfront
Payment
(Received) | | | Unrealized
Depreciation | |
South Korea Government Bonds, AA | | | (1.000 | )% | | | 12/20/28 | | | | 3-Month | | | | BNP | | | | 0.330% | | | | USD | | | | 400,000 | | | $ | (12,448 | ) | | $ | (11,450 | ) | | $ | (998 | ) |
South Korea Government Bonds, AA | | | (1.000 | )% | | | 12/20/28 | | | | 3-Month | | | | GSC | | | | 0.330% | | | | USD | | | | 500,000 | | | | (15,559 | ) | | | (14,564 | ) | | | (995 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | (28,007 | ) | | $ | (26,014 | ) | | $ | (1,993 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| † | All ratings are by Standard & Poor’s Rating Service, unless otherwise noted. |
OTC Credit Default Swap on Sovereign Issue — Sell Protection (4)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Obligation & Rating† | | Fixed Deal
Receive Rate | | | Maturity
Date | | | Payment
Frequency | | | Counterparty | | | Implied Credit
Spread at
2/29/24 (2) | | Notional
Amount (3) | | | Market
Value | | | Upfront
Payment
(Received) | | | Unrealized
Appreciation | |
Republic of Italy Government International Bonds, BBB | | | 1.000 | % | | | 6/20/25 | | | | 3-Month | | | | BCLY | | | 0.218% | | | USD | | | | 300,000 | | | $ | 3,633 | | | $ | (7,348) | | | $ | 10,981 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| † | All ratings are by Standard & Poor’s Rating Service, unless otherwise noted. |
Centrally Cleared — Credit Default Swaps on Indexes — Buy Protection (1)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Obligation & Ratings | | Fixed Deal
(Pay) Rate | | | Maturity
Date | | | Payment
Frequency | | | Implied Credit
Spread at
2/29/24 (2) | | | Notional
Amount (3) | | | Market
Value | | | Upfront
Payment
Paid | | | Unrealized
Depreciation | |
Markit CDX North America Investment Grade Series 40 10-Year Index, NR | | | (1.000 | )% | | | 6/20/33 | | | | 3-Month | | | | 0.897% | | | | USD | | | | 500,000 | | | $ | (4,801 | ) | | $ | 4,848 | | | $ | (9,649 | ) |
Markit CDX North America Investment Grade Series 41 10-Year Index, NR | | | (1.000 | )% | | | 12/20/33 | | | | 3-Month | | | | 0.929% | | | | USD | | | | 6,600,000 | | | | (49,087 | ) | | | 64,199 | | | | (113,286 | ) |
Markit iTraxx Europe Series 40 10-Year Index, NR | | | (1.000 | )% | | | 12/20/33 | | | | 3-Month | | | | 0.961% | | | | EUR | | | | 5,800,000 | | | | (32,433 | ) | | | 72,845 | | | | (105,278 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | $ | (86,321 | ) | | $ | 141,892 | | | $ | (228,213 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Centrally Cleared — Credit Default Swaps on Corporate Issue and Indexes — Sell Protection (4)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Obligation & Ratings† | | Fixed Deal
Receive Rate | | | Maturity
Date | | | Payment
Frequency | | | Implied Credit
Spread at
2/29/24 (2) | | | Notional
Amount (3) | | | Market
Value | | | Upfront
Payment
Paid | | | Unrealized
Appreciation | |
Ford Motor Credit Co. LLC, BBB- | | | 5.000 | % | | | 6/20/25 | | | | 3-Month | | | | 0.482% | | | | USD | | | | 200,000 | | | $ | 13,463 | | | $ | 7,946 | | | $ | 5,517 | |
Markit CDX North America Investment Grade Series 40 5-Year Index, NR | | | 1.000 | % | | | 6/20/28 | | | | 3-Month | | | | 0.461% | | | | USD | | | | 300,000 | | | | 6,908 | | | | 1,420 | | | | 5,488 | |
Markit CDX North America Investment Grade Series 41 5-Year Index, NR | | | 1.000 | % | | | 12/20/28 | | | | 3-Month | | | | 0.520% | | | | USD | | | | 26,200,000 | | | | 593,020 | | | | 375,537 | | | | 217,483 | |
Markit iTraxx Europe Series 40 5-Year Index, NR | | | 1.000 | % | | | 12/20/28 | | | | 3-Month | | | | 0.552% | | | | EUR | | | | 5,300,000 | | | | 125,620 | | | | 105,420 | | | | 20,200 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | $ | 739,011 | | | $ | 490,323 | | | $ | 248,688 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| † | All ratings are by Standard & Poor’s Rating Service, unless otherwise noted. |
See Notes to Financial Statements.
231
| | | | | | |
| International Fixed Income Fund |
At February 29, 2024, International Fixed Income Fund held the following OTC Cross-Currency Swap Contracts:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty Pay | | Counterparty Receive | | Maturity
Date (5) | | | Counterparty | | | Notional
Amount of
Currency
Received (6) | | | Notional
Amount of
Currency
Delivered (6) | | | Market
Value | | | Upfront
Payment
Paid/
(Received) | | | Unrealized
Appreciation/
(Depreciation) | |
| | | | | | | | |
Floating rate equal to SOFR based on the notional amount of currency delivered | | Floating rate equal to Bank of Japan Uncollateralised Overnight Call Rate minus 0.610% based on the notional amount of currency received | | | 1/21/26 | | |
| GSC | | | | JPY 745,100,000 | | | | USD 5,348,887 | | | $ | 380,426 | | | $ | 327,490 | | | $ | 52,936 | |
| | | | | | | | |
Floating rate equal to SOFR based on the notional amount of currency delivered | | Floating rate equal to Bank of Japan Uncollateralised Overnight Call Rate minus 0.590% based on the notional amount of currency received | | | 2/3/26 | | |
| BCLY | | | | JPY 175,800,000 | | | | USD 1,255,714 | | | | 83,205 | | | | 65,746 | | | | 17,459 | |
| | | | | | | | |
Floating rate equal to SOFR based on the notional amount of currency delivered | | Floating rate equal to Bank of Japan Uncollateralised Overnight Call Rate minus 0.591% based on the notional amount of currency received | | | 2/3/26 | | |
| UBS | | | | JPY 383,800,000 | | | | USD 2,596,752 | | | | 37,027 | | | | (26,535 | ) | | | 63,562 | |
| | | | | | | | |
Floating rate equal to SOFR based on the notional amount of currency delivered | | Floating rate equal to Bank of Japan Uncollateralised Overnight Call Rate minus 0.605% based on the notional amount of currency received | | | 3/19/26 | | |
| UBS | | | | JPY 1,357,500,000 | | | | USD 9,264,470 | | | | 209,148 | | | | 51,375 | | | | 157,773 | |
| | | | | | | | |
Floating rate equal to SOFR + 0.262 based on the notional amount of currency delivered | | Floating rate equal to 3-Month AUD-LIBOR plus 0.423% based on the notional amount of currency received | | | 8/1/29 | | |
| GSC | | | | USD 1,449,000 | | | | AUD 2,100,000 | | | | (78,665 | ) | | | (3,920 | ) | | | (74,745 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | | | | | | | | | | | | | | | | | | $ | 631,141 | | | $ | 414,156 | | | $ | 216,985 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (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. |
See Notes to Financial Statements.
232
| | | | | | |
| International Fixed Income Fund |
| (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. |
At February 29, 2024, International Fixed Income Fund deposited cash collateral with brokers in the amount of $3,030,000 for open centrally cleared swap contracts.
At February 29, 2024, International Fixed Income Fund had cash collateral from brokers in the amount of $2,160,000 for open OTC swap contracts.
| | | | | | |
Currency Abbreviations used in this schedule: | | Counterparty Abbreviations used in this schedule: |
| ARS | | — Argentine Peso | | BCLY | | — Barclays Bank PLC |
| AUD | | — Australian Dollar | | BNP | | — BNP Paribas SA |
| BRL | | — Brazilian Real | | BOA | | — Bank of America |
| CAD | | — Canadian Dollar | | DUB | | — Deutsche Bank AG |
| CHF | | — Swiss Franc | | GSC | | — Goldman Sachs & Co. |
| CNY | | — China Yuan Renminbi | | HSBC | | — HSBC Bank USA |
| DKK | | — Danish Krone | | JPM | | — JPMorgan Chase & Co. |
| EUR | | — Euro | | NWM | | — NatWest Markets PLC |
| GBP | | — British Pound | | SCB | | — Standard Chartered Bank |
| HKD | | — Hong Kong Dollar | | SOG | | — Societe Generale SA |
| ILS | | — Israeli New Shekel | | UBS | | — UBS Securities LLC |
| INR | | — Indian Rupee | | | | |
| JPY | | — Japanese Yen | | | | |
| KRW | | — Korean Won | | | | |
| MXN | | — Mexican Peso | | | | |
| MYR | | — Malaysian Ringgit | | | | |
| NOK | | — Norwegian Krone | | | | |
| NZD | | — New Zealand Dollar | | | | |
| PEN | | — Peruvian Sol | | | | |
| SEK | | — Swedish Krona | | | | |
| SGD | | — Singapore Dollar | | | | |
| THB | | — Thai Baht | | | | |
| TWD | | — New Taiwan Dollar | | | | |
| USD | | — United States Dollar | | | | |
| ZAR | | — South African Rand | | | | |
See Notes to Financial Statements.
233
| | | | | | | | | | |
| Municipal Bond Fund | |
| | | |
Face
Amount† | | | Rating†† | | Security | | Value | |
|
| MUNICIPAL BONDS — 92.3% | |
|
| Alabama — 2.6% | |
| | | | | | Southeast Alabama Gas Supply District (The), Revenue Bonds: | | | | |
| $ | 1,000,000 | | | Aa3(a) | | Series A, 5.000% due 8/1/54(b) | | $ | 1,065,750 | |
| | 500,000 | | | A1(a) | | Series A, Currently Refunded, 4.000% due 6/1/49(b) . | | | 500,290 | |
| | 965,000 | | | A1(a) | | Southeast Energy Authority A Cooperative District, Revenue Bonds, Series A, 5.250% due 1/1/54(b) | | | 1,020,185 | |
| | | | | | | | | | |
| | | | | | Total Alabama | | | 2,586,225 | |
| | | | | | | | | | |
|
| Alaska — 0.4% | |
| | 200,000 | | | AA | | Borough of North Slope, GO, Series B, 5.000% due 6/30/26 . | | | 209,956 | |
| | | | | | Northern Tobacco Securitization Corp., Revenue Bonds: | | | | |
| | 105,000 | | | BBB+ | | Series A, 4.000% due 6/1/50 | | | 97,566 | |
| | 60,000 | | | BBB- | | Series B1, 4.000% due 6/1/50 | | | 60,789 | |
| | | | | | | | | | |
| | | | | | Total Alaska | | | 368,311 | |
| | | | | | | | | | |
|
| Arizona — 1.9% | |
| | 475,000 | | | BB | | Arizona Industrial Development Authority, Revenue Bonds, Somerset Academy of Las Vegas — Aliante and Skye Canyon Campus Projects, 3.000% due 12/15/31(c) . | | | 422,864 | |
| | 1,000,000 | | | A+ | | City of Mesa, Utility System Revenue, Revenue Bonds, 5.000% due 7/1/40 | | | 1,127,001 | |
| | 75,000 | | | NR | | Industrial Development Authority of the County of Pima (The), Revenue Bonds, Imagine East Mesa Charter School, 3.250% due 7/1/24(c) | | | 74,747 | |
| | 300,000 | | | BB+ | | Maricopa County Industrial Development Authority, Revenue Bonds, Paradise School Project Paragon Management Inc., 4.000% due 7/1/26(c) | | | 297,630 | |
| | | | | | | | | | |
| | | | | | Total Arizona | | | 1,922,242 | |
| | | | | | | | | | |
|
| California — 16.0% | |
| | 195,000 | | | NR | | California Community Housing Agency, Revenue Bonds, Series A2, 4.000% due 8/1/51(c) | | | 115,068 | |
| | 10,615,000 | | | NR | | California County Tobacco Securitization Agency, Revenue Bonds, zero coupon due 6/1/55 | | | 839,098 | |
| | | | | | California School Finance Authority, Revenue Bonds: | | | | |
| | 640,000 | | | BBB | | Aspire Public School Obligation Group, 5.000% due 8/1/32(c) | | | 670,087 | |
| | 250,000 | | | NR | | iLead Lancaster Holdings LLC, Series A, 4.000% due 6/1/31(c) | | | 234,517 | |
| | | | | | California State Public Works Board, Revenue Bonds: | | | | |
| | 1,000,000 | | | A+ | | Series D, 4.000% due 5/1/47 | | | 1,006,199 | |
| | 1,000,000 | | | A+ | | Series D, 5.000% due 11/1/46 | | | 1,110,615 | |
| | 15,750,000 | | | NR | | California Statewide Financing Authority, Revenue Bonds, Capital Appreciation Turbo Pooled Program, Series D, zero coupon due 6/1/55(c) | | | 841,472 | |
| | 165,000 | | | AAA | | City & County of San Francisco, GO, Series R1, 5.000% due 6/15/32 | | | 199,808 | |
| | 1,000,000 | | | AA- | | City of Los Angeles Department of Airports, Revenue Bonds, AMT, 3.250% due 5/15/49(d) | | | 801,580 | |
| | | | | | CSCDA Community Improvement Authority, Revenue Bonds: | | | | |
| | 100,000 | | | NR | | 3.125% due 8/1/56(c) | | | 71,569 | |
| | 805,000 | | | NR | | 3.250% due 4/1/57(c) | | | 569,172 | |
| | 140,000 | | | NR | | 4.000% due 10/1/56(c) | | | 120,202 | |
| | 125,000 | | | NR | | 4.000% due 12/1/56(c) | | | 92,310 | |
| | 185,000 | | | NR | | Series A2A, 4.000% due 12/1/58(c) | | | 141,730 | |
| | 100,000 | | | NR | | Series B, 4.000% due 12/1/59(c) | | | 65,243 | |
| | 500,000 | | | Aa3(a) | | Livermore Valley Joint Unified School District, GO, 4.000% due 8/1/46 | | | 499,202 | |
| | | | | | Los Angeles Department of Water & Power, Revenue Bonds: | | | | |
| | 500,000 | | | Aa2(a) | | Series A, 5.000% due 7/1/47 | | | 548,445 | |
| | 1,000,000 | | | Aa2(a) | | Series B, 5.000% due 7/1/47 | | | 1,120,512 | |
| | 1,350,000 | | | AA | | Orange Unified School District, GO, 5.000% due 8/1/35 | | | 1,603,197 | |
| | 1,000,000 | | | AA- | | Regents of the University of California Medical Center Pooled Revenue, Revenue Bonds, 5.000% due 5/15/47 | | | 1,110,615 | |
| | 595,000 | | | AA | | Riverside County Public Financing Authority, Tax Allocation, Series A, 4.000% due 10/1/40 | | | 599,242 | |
| | 500,000 | | | A2(a) | | San Diego County Regional Airport Authority, Revenue Bonds, Series A, 4.000% due 7/1/51 | | | 491,037 | |
| | 485,000 | | | Aa3(a) | | San Diego Public Facilities Financing Authority, Revenue Bonds, Series A, 5.000% due 8/1/43 | | | 522,205 | |
See Notes to Financial Statements.
234
| | | | | | | | | | |
| Municipal Bond Fund | |
| | | |
Face
Amount† | | | Rating†† | | Security | | Value | |
|
| California — 16.0% — (continued) | |
| $ | 500,000 | | | A+ | | San Francisco City & County Airport Comm-San Francisco International Airport, Revenue Bonds, AMT, Series 2020, 4.000% due 5/1/39(d) | | $ | 499,822 | |
| | 500,000 | | | AA | | San Francisco City & County Public Utilities Commission Wastewater Revenue, Revenue Bonds, Green Bond, Series A, 5.000% due 10/1/44 | | | 563,804 | |
| | 475,000 | | | Aa2(a) | | Sonoma Valley Unified School District, GO, 4.000% due 8/1/38 | | | 483,775 | |
| | 1,000,000 | | | AA- | | State of California, GO, 5.000% due 4/1/31 | | | 1,165,588 | |
| | | | | | | | | | |
| | | | | | Total California | | | 16,086,114 | |
| | | | | | | | | | |
|
| Colorado — 1.2% | |
| | 750,000 | | | AA- | | City & County of Denver, Airport System Revenue, Revenue Bonds, AMT, Series A, 5.000% due 11/15/30(d) | | | 789,068 | |
| | 500,000 | | | AA | | Colorado Health Facilities Authority, Revenue Bonds, Adventhealth Obligated, Series A, 3.000% due 11/15/51 | | | 378,371 | |
| | | | | | | | | | |
| | | | | | Total Colorado | | | 1,167,439 | |
| | | | | | | | | | |
|
| Connecticut — 0.6% | |
| | 500,000 | | | AA- | | State of Connecticut, GO, Series E, 5.000% due 11/15/28 | | | 553,923 | |
| | | | | | | | | | |
|
| District of Columbia — 1.1% | |
| | 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 | | | 446,056 | |
| | 700,000 | | | AA- | | Metropolitan Washington Airports Authority Aviation Revenue, Revenue Bonds, AMT, Series A, 4.000% due 10/1/36(d) | | | 701,467 | |
| | | | | | | | | | |
| | | | | | Total District of Columbia | | | 1,147,523 | |
| | | | | | | | | | |
|
| Florida — 5.9% | |
| | 500,000 | | | NR | | Boggy Creek Improvement District, Special Assessment, Series 2013, 5.125% due 5/1/43 | | | 500,046 | |
| | 1,000,000 | | | A | | Brevard County Health Facilities Authority, Revenue Bonds, Health First Obligated Group, Series A, 5.000% due 4/1/47 | | | 1,053,382 | |
| | 665,000 | | | AA+ | | Broward County, Water & Sewer Utility Revenue, Revenue Bonds, Series A, 4.000% due 10/1/45 | | | 667,088 | |
| | 225,000 | | | Baa3(a) | | Capital Projects Finance Authority, Revenue Bonds, Florida University Project, Series A1, 5.000% due 10/1/26 | | | 229,155 | |
| | | | | | Capital Trust Agency Inc., Revenue Bonds: | | | | |
| | 100,000 | | | Ba1(a) | | Viera Charter Schools Inc. Project, Series A, 4.000% due 10/15/29(c) | | | 97,588 | |
| | 2,500,000 | | | NR | | Wonderful Foundations Charter, Series B, zero coupon due 1/1/60 | | | 144,894 | |
| | 1,400,000 | | | A+ | | City of Cape Coral, Water & Sewer Revenue, Revenue Bonds, 5.000% due 10/1/39 | | | 1,464,722 | |
| | 130,000 | | | NR | | Finley Woods Community Development District, Special Assessment, Area One, 3.150% due 5/1/25 | | | 128,372 | |
| | | | | | Florida Development Finance Corp., Revenue Bonds: | | | | |
| | 190,000 | | | NR | | Waste Pro USA Inc. Project, AMT, 5.000% due 5/1/29(c)(d) | | | 186,019 | |
| | 100,000 | | | BBB | | Mater Academy Project, Series A, 5.000% due 6/15/56 | | | 99,439 | |
| | 275,000 | | | NR | | Lakewood Ranch Stewardship District, Special Assessment, Isles Lakewood Ranch Project, 3.875% due 5/1/29 | | | 270,988 | |
| | 1,000,000 | | | A+ | | Orange County Health Facilities Authority, Revenue Bonds, Orlando Health Obligated Group, Series A, 5.000% due 10/1/53 | | | 1,064,736 | |
| | | | | | | | | | |
| | | | | | Total Florida | | | 5,906,429 | |
| | | | | | | | | | |
|
| Georgia — 4.7% | |
| | 1,000,000 | | | AA | | Augusta, GO, 5.000% due 10/1/25 | | | 1,033,348 | |
| | 250,000 | | | AA- | | City of Atlanta, Water & Wastewater Revenue, Revenue Bonds, 5.000% due 11/1/40 | | | 253,785 | |
| | 450,000 | | | AA+ | | Henry County School District, GO, 5.000% due 8/1/25 | | | 462,471 | |
| | | | | | Main Street Natural Gas Inc., Revenue Bonds: | | | | |
| | 2,500,000 | | | Aa1(a) | | Series A, 4.000% due 7/1/52(b) | | | 2,508,877 | |
| | 435,000 | | | A3(a) | | Series A, 5.000% due 6/1/53(b) | | | 458,053 | |
| | | | | | | | | | |
| | | | | | Total Georgia | | | 4,716,534 | |
| | | | | | | | | | |
See Notes to Financial Statements.
235
| | | | | | | | | | |
| Municipal Bond Fund | |
| | | |
Face
Amount† | | | Rating†† | | Security | | Value | |
|
| Guam — 0.0%@ | |
| | | | | | Territory of Guam, Revenue Bonds: | | | | |
| $ | 15,000 | | | Baa3(a) | | Series A, 5.000% due 11/1/27 | | $ | 15,722 | |
| | 15,000 | | | Baa3(a) | | Series A, 5.000% due 11/1/28 | | | 15,912 | |
| | 15,000 | | | Baa3(a) | | Series A, 5.000% due 11/1/29 | | | 16,076 | |
| | | | | | | | | | |
| | | | | | Total Guam | | | 47,710 | |
| | | | | | | | | | |
|
| Illinois — 1.1% | |
| | 600,000 | | | A | | Illinois Finance Authority, Revenue Bonds, DePaul University, 5.000% due 10/1/36 | | | 621,295 | |
| | | | | | State of Illinois, GO: | | | | |
| | 260,000 | | | A- | | Series C, 5.000% due 12/1/45 | | | 279,291 | |
| | 150,000 | | | A- | | Series C, 5.000% due 12/1/46 | | | 160,452 | |
| | | | | | | | | | |
| | | | | | Total Illinois | | | 1,061,038 | |
| | | | | | | | | | |
|
| Indiana — 1.6% | |
| | 1,000,000 | | | A+ | | Indiana Municipal Power Agency, Revenue Bonds, Power Supply, Series C,
5.000% due 1/1/37 | | | 1,033,746 | |
| | 500,000 | | | AA+ | | Indianapolis Local Public Improvement Bond Bank, Revenue Bonds, Series D,
6.000% due 2/1/48 | | | 589,713 | |
| | | | | | | | | | |
| | | | | | Total Indiana | | | 1,623,459 | |
| | | | | | | | | | |
|
| Kansas — 0.3% | |
| | 250,000 | | | Aaa(a) | | Kansas Development Finance Authority, Revenue Bonds, Series R, 5.000% due 5/1/41 | | | 283,850 | |
| | | | | | | | | | |
|
| Kentucky — 0.2% | |
| | 230,000 | | | NR | | City of Henderson, Revenue Bonds, AMT, Pratt Paper LLC Project, Series A,
4.450% due 1/1/42(c)(d) | | | 224,999 | |
| | | | | | | | | | |
|
| Louisiana — 0.5% | |
| | | | | | New Orleans Aviation Board, AMT, General Airport North Terminal, Revenue Bonds: | | | | |
| | 250,000 | | | A | | Series B, 5.000% due 1/1/38(d) | | | 255,855 | |
| | 250,000 | | | A | | Series B, 5.000% due 1/1/37(d) | | | 256,637 | |
| | | | | | | | | | |
| | | | | | Total Louisiana | | | 512,492 | |
| | | | | | | | | | |
| | |
| Maryland — 1.7% | | | | | |
| | | | | | City of Baltimore, Tax Allocation, Harbor Point Project: | | | | |
| | 200,000 | | | NR | | Series A, 2.750% due 6/1/24(c) | | | 199,109 | |
| | 125,000 | | | NR | | Series A, 2.800% due 6/1/25(c) | | | 122,471 | |
| | 135,000 | | | NR | | Series A, 2.850% due 6/1/26(c) | | | 130,479 | |
| | 500,000 | | | AAA | | County of Prince George’s, GO, Series A, 5.000% due 8/1/40 | | | 578,819 | |
| | 630,000 | | | Baa3(a) | | Maryland Economic Development Corp., Revenue Bonds, Green Bond, Purple Line Light Rail Project, AMT, Series B, 5.250% due 6/30/55(d) | | | 641,219 | |
| | | | | | | | | | |
| | | | | | Total Maryland | | | 1,672,097 | |
| | | | | | | | | | |
|
| Massachusetts — 2.8% | |
| | 1,000,000 | | | AAA | | City of Boston, GO, Series A, 5.000% due 11/1/37 | | | 1,172,931 | |
| | 550,000 | | | AA+ | | Commonwealth of Massachusetts, GO, Series C, 5.000% due 10/1/48 | | | 603,256 | |
| | 1,000,000 | | | AA+ | | Massachusetts Bay Transportation Authority Sales Tax Revenue, Revenue Bonds, Series A1, 5.000% due 7/1/44 | | | 1,042,600 | |
| | | | | | | | | | |
| | | | | | Total Massachusetts | | | 2,818,787 | |
| | | | | | | | | | |
|
| Michigan — 2.4% | |
| | 535,000 | | | AA | | City of Lansing, GO, Series B, AGM-Insured, 5.000% due 6/1/25 | | | 547,401 | |
| | 1,000,000 | | | AA- | | Lansing Board of Water & Light, Revenue Bonds, Series A, 5.250% due 7/1/54 | | | 1,107,070 | |
| | 190,000 | | | A1(a) | | Michigan Finance Authority, Revenue Bonds, McLaren Health Care Corp., Series D2, 1.200% due 10/15/38(b) | | | 169,969 | |
| | 500,000 | | | AA+ | | Michigan State Housing Development Authority, Revenue Bonds, Series D, 5.100% due 12/1/37 | | | 548,068 | |
| | | | | | | | | | |
| | | | | | Total Michigan | | | 2,372,508 | |
| | | | | | | | | | |
See Notes to Financial Statements.
236
| | | | | | | | | | |
| Municipal Bond Fund | |
| | | |
Face
Amount† | | | Rating†† | | Security | | Value | |
| | |
| Nebraska — 1.6% | | | | | |
| $ | 500,000 | | | A2(a) | | Central Plains Energy Project, Revenue Bonds, Series 1, 5.000% due 5/1/53(b) | | $ | 524,992 | |
| | 1,000,000 | | | AA | | Omaha Public Power District, Revenue Bonds, Series A, 5.250% due 2/1/48 | | | 1,117,403 | |
| | | | | | | | | | |
| | | | | | Total Nebraska | | | 1,642,395 | |
| | | | | | | | | | |
|
| New Jersey — 3.6% | |
| | 100,000 | | | BBB | | Camden County Improvement Authority (The), Revenue Bonds, KIPP Cooper Norcross High School, 6.000% due 6/15/62 | | | 107,676 | |
| | | | | | New Jersey Economic Development Authority, Revenue Bonds: | | | | |
| | 110,000 | | | NR | | Golden Door Charter School Project, Series A, 5.125% due 11/1/29(c) | | | 110,241 | |
| | 1,000,000 | | | A- | | Series RRR, 5.000% due 3/1/28 | | | 1,082,107 | |
| | | | | | New Jersey Transportation Trust Fund Authority, Revenue Bonds: | | | | |
| | 1,250,000 | | | A+ | | Highway Reimbursement, Series A, 5.000% due 6/15/30 | | | 1,303,006 | |
| | 1,000,000 | | | A- | | Series A, 4.000% due 6/15/40 | | | 1,015,646 | |
| | | | | | | | | | |
| | | | | | Total New Jersey | | | 3,618,676 | |
| | | | | | | | | | |
|
| New York — 11.3% | |
| | | | | | City of New York, GO: | | | | |
| | 490,000 | | | AA | | Remarketing, Series J11, 5.000% due 8/1/26 | | | 513,119 | |
| | 1,000,000 | | | AA | | Series B, 5.250% due 10/1/47 | | | 1,106,014 | |
| | | | | | New York City Municipal Water Finance Authority, Revenue Bonds: | | | | |
| | 500,000 | | | AA+ | | Series CC1, 4.000% due 6/15/51 | | | 488,954 | |
| | 500,000 | | | AA+ | | Series DD1, 5.000% due 6/15/49 | | | 526,704 | |
| | 1,800,000 | | | AA | | New York City Transitional Finance Authority Building Aid Revenue, Revenue Bonds, Series S1, 5.000% due 7/15/43 | | | 1,832,402 | |
| | | | | | New York State Dormitory Authority, Revenue Bonds: | | | | |
| | 1,000,000 | | | Aa1(a) | | Series A, 5.250% due 3/15/37 | | | 1,094,168 | |
| | 500,000 | | | AA+ | | Bidding Group, Series B, Unrefunded Portion, 5.000% due 2/15/43 | | | 522,392 | |
| | | | | | New York State Thruway Authority, Revenue Bonds: | | | | |
| | 180,000 | | | AA+ | | Series A, 4.125% due 3/15/52 | | | 177,166 | |
| | 1,000,000 | | | A+ | | Series P, 5.000% due 1/1/40 | | | 1,139,523 | |
| | 225,000 | | | Baa3(a) | | New York Transportation Development Corp., Revenue Bonds, Delta Air Lines Inc. — LaGuardia, AMT, 4.000% due 10/1/30(d) | | | 224,902 | |
| | | | | | Port Authority of New York & New Jersey, Revenue Bonds: | | | | |
| | 1,000,000 | | | AA- | | Series 230, 3.000% due 12/1/31 | | | 994,902 | |
| | 500,000 | | | AA- | | Series 241, 5.000% due 7/15/41 | | | 569,436 | |
| | 1,000,000 | | | AA+ | | Triborough Bridge & Tunnel Authority Sales Tax Revenue, Revenue Bonds, Triborough Bridge and Tunnel Authority Capital Lockbox, Series A, 5.000% due 5/15/40 | | | 1,138,218 | |
| | | | | | Triborough Bridge & Tunnel Authority, Revenue Bonds: | | | | |
| | 660,000 | | | AA+ | | Series C, 5.250% due 5/15/52 | | | 726,330 | |
| | 275,000 | | | AA+ | | Series C1A, 5.000% due 5/15/39 | | | 311,273 | |
| | | | | | | | | | |
| | | | | | Total New York . | | | 11,365,503 | |
| | | | | | | | | | |
|
| North Carolina — 1.8% | |
| | 500,000 | | | AA | | City of Fayetteville, Public Works Commission Revenue, Revenue Bonds,
5.000% due 3/1/26 | | | 521,246 | |
| | 175,000 | | | BBB(e) | | North Carolina Medical Care Commission, Revenue Bonds, United Methodist Retirement, Series B1, 4.250% due 10/1/28(f) | | | 175,338 | |
| | 1,000,000 | | | AA | | North Carolina Turnpike Authority, Revenue Bonds, Triangle Expressway System, Series A, AGM-Insured, 5.000% due 1/1/58 | | | 1,069,216 | |
| | | | | | | | | | |
| | | | | | Total North Carolina | | | 1,765,800 | |
| | | | | | | | | | |
|
| North Dakota — 0.4% | |
| | 495,000 | | | Aa1(a) | | North Dakota Housing Finance Agency, Revenue Bonds, Water and Sewer System, Series A, 3.700% due 1/1/46 | | | 448,567 | |
| | | | | | | | | | |
See Notes to Financial Statements.
237
| | | | | | | | | | |
| Municipal Bond Fund | |
| | | |
Face
Amount† | | | Rating†† | | Security | | Value | |
|
| Ohio — 1.1% | |
| | | | | | Buckeye Tobacco Settlement Financing Authority, Revenue Bonds: | | | | |
| $ | 85,000 | | | BBB+ | | Series A2, 3.000% due 6/1/48 | | $ | 65,041 | |
| | 450,000 | | | NR | | Series B2, 5.000% due 6/1/55 | | | 429,461 | |
| | 600,000 | | | Baa3(a) | | Ohio Air Quality Development Authority, Revenue Bonds, Ohio Valley Electric Corp., Remarketing, Series A, 2.875% due 2/1/26 | | | 578,432 | |
| | | | | | | | | | |
| | | | | | Total Ohio | | | 1,072,934 | |
| | | | | | | | | | |
|
| Oregon — 1.1% | |
| | 1,000,000 | | | AA- | | Port of Portland Airport Revenue, Revenue Bonds, Green Bond, AMT, Series 29, 5.000% due 7/1/38(d) | | | 1,101,058 | |
| | | | | | | | | | |
|
| Pennsylvania — 1.0% | |
| | | | | | Pennsylvania Turnpike Commission, Revenue Bonds: | | | | |
| | 170,000 | | | A+ | | Series A, 4.000% due 12/1/45 | | | 168,804 | |
| | 830,000 | | | A+ | | Series A, 4.000% due 12/1/46 | | | 819,281 | |
| | | | | | | | | | |
| | | | | | Total Pennsylvania | | | 988,085 | |
| | | | | | | | | | |
|
| Puerto Rico — 1.1% | |
| | | | | | Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, Revenue Bonds: | | | | |
| | 664,000 | | | NR | | Series A1, 4.750% due 7/1/53 | | | 664,380 | |
| | 130,000 | | | NR | | Series A1, zero coupon due 7/1/24 | | | 128,575 | |
| | 225,000 | | | NR | | Series A1, zero coupon due 7/1/46 | | | 73,252 | |
| | 216,000 | | | NR | | Series A2, 4.784% due 7/1/58 | | | 215,460 | |
| | | | | | | | | | |
| | | | | | Total Puerto Rico . | | | 1,081,667 | |
| | | | | | | | | | |
|
| South Carolina — 3.1% | |
| | 2,000,000 | | | A | | South Carolina Jobs-Economic Development Authority, Revenue Bonds, Prisma Health Obligation Group, Series A, 5.000% due 5/1/28 | | | 2,123,335 | |
| | 1,000,000 | | | A+ | | South Carolina Ports Authority, Revenue Bonds, AMT, 5.000% due 7/1/43(d) | | | 1,029,842 | |
| | | | | | | | | | |
| | | | | | Total South Carolina | | | 3,153,177 | |
| | | | | | | | | | |
|
| Tennessee — 2.7% | |
| | 470,000 | | | Aa2(a) | | City of Johnson, GO, Series B, 5.000% due 6/1/25 | | | 481,763 | |
| | 1,000,000 | | | AA+ | | County of Knox, GO, 5.000% due 6/1/25 | | | 1,024,164 | |
| | 245,000 | | | Baa1(a) | | Tennergy Corp., Revenue Bonds, Gas Supply, Series A, 5.500% due 10/1/53(b) | | | 262,011 | |
| | 500,000 | | | BBB+ | | Tennessee Energy Acquisition Corp., Revenue Bonds, Series C, 5.000% due 2/1/25 | | | 501,153 | |
| | 485,000 | | | Aa2(a) | | Tennessee Housing Development Agency, Revenue Bonds, Series A, 3.850% due 1/1/35 | | | 485,390 | |
| | | | | | | | | | |
| | | | | | Total Tennessee | | | 2,754,481 | |
| | | | | | | | | | |
|
| Texas — 8.2% | |
| | | | | | City of Dallas, GO: | | | | |
| | 630,000 | | | AA- | | 5.000% due 2/15/28 | | | 686,664 | |
| | 500,000 | | | AA- | | Series A, 5.000% due 2/15/37 | | | 579,605 | |
| | 100,000 | | | BB- | | City of Houston, Airport System Revenue, Revenue Bonds, AMT, Series B1, 5.000% due 7/15/30(d) | | | 100,268 | |
| | 500,000 | | | Aa3(a) | | City of Houston, GO, Series A, 5.250% due 3/1/40 | | | 576,618 | |
| | 100,000 | | | Aaa(a) | | Crowley Independent School District, GO, PSF-GTD-Insured, 5.000% due 2/1/48 | | | 110,330 | |
| | 500,000 | | | AAA | | Dalhart Independent School District, GO, PSF-GTD-Insured, 5.000% due 2/15/42 | | | 552,387 | |
| | 995,000 | | | AAA | | Laredo Independent School District, GO, PSF-GTD-Insured, 4.000% due 8/1/25 | | | 1,008,681 | |
| | 455,000 | | | NR | | New Hope Cultural Education Facilities Finance Corp., Revenue Bonds, Beta Academy, 3.375% due 8/15/29(c) | | | 420,522 | |
| | 1,000,000 | | | AA- | | North Texas Tollway Authority, Revenue Bonds, Series A, 5.000% due 1/1/39 | | | 1,027,516 | |
| | 795,000 | | | Aaa(a) | | Northside Independent School District, GO, PSF-GTD-Insured, 0.700% due 6/1/50(b) | | | 769,870 | |
| | 145,000 | | | Aaa(a) | | Northwest Independent School District, GO, PSF-GTD-Insured, 5.000% due 2/15/48 | | | 157,527 | |
| | 1,250,000 | | | AA+ | | San Antonio Water System, Revenue Bonds, Junior Lien Revenue and Refunding Bonds, Series C, 5.000% due 5/15/46 | | | 1,286,097 | |
See Notes to Financial Statements.
238
| | | | | | | | | | |
| Municipal Bond Fund | |
| | | |
Face
Amount† | | | Rating†† | | Security | | Value | |
|
| Texas — 8.2% — (continued) | |
| $ | 1,000,000 | | | AA- | | Tarrant County Cultural Education Facilities Finance Corp., Revenue Bonds, Methodist Hospitals of Dallas, 4.000% due 10/1/52 | | $ | 953,306 | |
| | | | | | | | | | |
| | | | | | Total Texas | | | 8,229,391 | |
| | | | | | | | | | |
|
| Utah — 1.0% | |
| | 500,000 | | | Aaa(a) | | Canyons School District, GO, Utah School Bonds Guaranty Program, SCH BD GTY-Insured, 2.500% due 6/15/30 | | | 476,798 | |
| | 500,000 | | | A- | | Utah Associated Municipal Power Systems, Revenue Bonds, Horse Butte Wind, Series A, 5.000% due 9/1/32 | | | 537,824 | |
| | | | | | | | | | |
| | | | | | Total Utah | | | 1,014,622 | |
| | | | | | | | | | |
|
| Virginia — 2.9% | |
| | 500,000 | | | AA+ | | Albemarle County Economic Development Authority, Revenue Bonds, Series A, 5.000% due 6/1/38 | | | 578,826 | |
| | 1,000,000 | | | AA | | Hampton Roads Transportation Accountability Commission, Revenue Bonds, Series A, 4.000% due 7/1/52 | | | 973,712 | |
| | 1,000,000 | | | AA+ | | Virginia College Building Authority, Revenue Bonds, 21st Century College Equipment Program, 5.000% due 2/1/32 | | | 1,177,910 | |
| | 80,000 | | | AA+ | | Virginia Housing Development Authority, Revenue Bonds, Series G, 5.150% due 11/1/52 | | | 84,517 | |
| | 100,000 | | | BBB | | Virginia Small Business Financing Authority, Revenue Bonds, AMT, 4.000% due 1/1/48(d) | | | 93,084 | |
| | | | | | | | | | |
| | | | | | Total Virginia | | | 2,908,049 | |
| | | | | | | | | | |
|
| Washington — 3.1% | |
| | 1,000,000 | | | AA+ | | King County School District No. 401 Highline, GO, SCH BD GTY-Insured, 5.000% due 12/1/35 | | | 1,094,872 | |
| | 1,500,000 | | | AA+ | | State of Washington, GO, Series R-2022, 4.000% due 7/1/33 | | | 1,628,699 | |
| | | | | | Washington State Housing Finance Commission, Revenue Bonds: | | | | |
| | 100,000 | | | BB(e) | | Transforming Age Projects, Series A, 5.000% due 1/1/26(c) | | | 97,532 | |
| | 285,000 | | | Ba2(a) | | Spokane Int Acad Project, Series A, 4.000% due 7/1/26(c) | | | 272,247 | |
| | | | | | | | | | |
| | | | | | Total Washington | | | 3,093,350 | |
| | | | | | | | | | |
|
| West Virginia — 0.5% | |
| | 435,000 | | | AA- | | State of West Virginia, GO, Series A, 5.000% due 6/1/26 | | | 455,388 | |
| | | | | | | | | | |
|
| Wisconsin — 2.8% | |
| | | | | | Wisconsin Health & Educational Facilities Authority, Revenue Bonds: | | | | |
| | 1,300,000 | | | AA- | | Aspirus Inc. Obligation Group, Series A, 4.000% due 8/15/40 | | | 1,263,322 | |
| | 500,000 | | | AA | | Milwaukee Regional Medical Center Thermal Service Obligated Group, 5.000% due 4/1/37 | | | 528,718 | |
| | 1,000,000 | | | AA+ | | Wisconsin Housing & Economic Development Authority Home Ownership Revenue, Revenue Bonds, Series A, 3.250% due 9/1/26 | | | 999,775 | |
| | | | | | | | | | |
| | | | | | Total Wisconsin | | | 2,791,815 | |
| | | | | | | | | | |
| | | | | | TOTAL MUNICIPAL BONDS
(Cost — $92,205,077) | | | 92,556,638 | |
| | | | | | | | | | |
|
| SHORT-TERM INVESTMENTS — 7.4% | |
|
| TIME DEPOSITS — 7.4% | |
| | 5,200,533 | | | | | JPMorgan Chase & Co. — New York, 4.680% due 3/1/24 | | | 5,200,533 | |
| | 2,215,501 | | | | | Skandinaviska Enskilda Banken AB — Stockholm, 4.680% due 3/1/24 | | | 2,215,501 | |
| | | | | | | | | | |
| | | | | | TOTAL SHORT-TERM INVESTMENTS
(Cost—$7,416,034) | | | 7,416,034 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS — 99.7% (Cost — $99,621,111) | | | 99,972,672 | |
| | | | | | | | | | |
| | | | | | Other Assets in Excess of Liabilities — 0.3% | | | 254,602 | |
| | | | | | | | | | |
| | | | | | TOTAL NET ASSETS — 100.0% | | $ | 100,227,274 | |
| | | | | | | | | | |
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
| †† | All ratings are by Standard & Poor’s Rating Service, unless otherwise noted. |
See Notes to Financial Statements.
239
| @ | The amount is less than 0.05%. |
| (a) | Rating by Moody’s Investors Service. |
| (b) | Variable rate security. Interest rate disclosed is that which was in effect at February 29, 2024. |
| (c) | Restricted security that may be sold to “qualified institutional buyers” pursuant to the conditions of Rule 144A under the Securities Act of 1933, as amended. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees, unless otherwise noted. The aggregate value of restricted 144A holdings at February 29, 2024, amounts to $5,577,818 and represents 5.6% of net assets. |
| (d) | Income from this issue is considered a preference item for purposes of calculating the alternative minimum tax (AMT). |
| (e) | Rating by Fitch Ratings Service. |
At February 29, 2024, 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 | | $ | 99,621,111 | | | $ | 1,941,055 | | | $ | (1,589,494) | | | $ | 351,561 | |
| | |
Abbreviations used in this schedule: |
| AGM | | — Assured Guaranty Municipal |
| AMT | | — Alternative Minimum Tax |
| GO | | — General Obligation |
| PSF-GTD | | — Permanent School Fund Guaranteed |
| SCH BD GTY | | — Oregon School Bond Guaranty |
| | | | |
| Summary of Investments by Industry^ | | | |
General Obligation | | | 37.1 | % |
Health Care Providers & Services | | | 8.1 | |
School District | | | 7.2 | |
Transportation | | | 6.6 | |
Water and Sewer | | | 6.6 | |
Airport | | | 5.9 | |
Utilities | | | 3.8 | |
Power | | | 3.3 | |
Single Family Housing | | | 3.1 | |
Education | | | 2.9 | |
Tobacco Settlement | | | 2.8 | |
Development | | | 2.2 | |
Multifamily Housing | | | 1.3 | |
Higher Education | | | 0.6 | |
Bond Bank | | | 0.6 | |
Nursing Homes | | | 0.3 | |
Housing | | | 0.2 | |
Short-Term Investments | | | 7.4 | |
| | | | |
Total Investments | | | 100.0 | % |
| | | | |
| ^ | As a percentage of total investments. |
See pages 264-265 for definitions of ratings.
See Notes to Financial Statements.
240
| | | | | | | | | | |
| Inflation-Linked Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | | | Security | | Value | |
|
| U.S. GOVERNMENT OBLIGATIONS — 108.4% | |
| $ | 599,712 | | | | | U.S. Treasury Bonds, 2.125% due 2/15/54 | | $ | 604,597 | |
| | | | | | U.S. Treasury Inflation Indexed Bonds: | | | | |
| | 1,969,069 | | | | | 2.375% due 1/15/25 | | | 1,969,662 | |
| | 2,353,797 | | | | | 2.000% due 1/15/26 | | | 2,347,575 | |
| | 2,045,501 | | | | | 1.750% due 1/15/28 | | | 2,028,904 | |
| | 2,827,741 | | | | | 3.625% due 4/15/28 | | | 3,009,238 | |
| | 1,560,162 | | | | | 2.500% due 1/15/29 | | | 1,603,390 | |
| | 2,326,815 | | | | | 3.875% due 4/15/29 | | | 2,546,723 | |
| | 41,476 | | | | | 3.375% due 4/15/32(a) | | | 45,851 | |
| | 823,136 | | | | | 2.125% due 2/15/40 | | | 833,311 | |
| | 910,468 | | | | | 2.125% due 2/15/41 | | | 922,149 | |
| | 2,443,536 | | | | | 0.750% due 2/15/42 | | | 1,949,771 | |
| | 2,121,362 | | | | | 0.625% due 2/15/43 | | | 1,625,197 | |
| | 2,461,238 | | | | | 1.375% due 2/15/44 | | | 2,152,962 | |
| | 2,891,839 | | | | | 0.750% due 2/15/45 | | | 2,214,478 | |
| | 2,705,693 | | | | | 1.000% due 2/15/46 | | | 2,162,685 | |
| | 1,766,329 | | | | | 0.875% due 2/15/47 | | | 1,361,385 | |
| | 1,268,798 | | | | | 1.000% due 2/15/48 | | | 997,678 | |
| | 975,208 | | | | | 1.000% due 2/15/49 | | | 764,147 | |
| | 1,145,395 | | | | | 0.250% due 2/15/50(a) | | | 719,995 | |
| | 1,413,840 | | | | | 0.125% due 2/15/51 | | | 843,126 | |
| | 991,728 | | | | | 0.125% due 2/15/52(a) | | | 582,391 | |
| | 1,754,281 | | | | | 1.500% due 2/15/53 | | | 1,529,249 | |
| | | | | | U.S. Treasury Inflation Indexed Notes: | | | | |
| | 1,162,674 | | | | | 0.125% due 7/15/24 | | | 1,163,233 | |
| | 3,467,211 | | | | | 0.125% due 10/15/24 | | | 3,441,169 | |
| | 1,683,604 | | | | | 0.250% due 1/15/25 | | | 1,654,228 | |
| | 4,037,670 | | | | | 0.125% due 4/15/25 | | | 3,937,428 | |
| | 1,940,250 | | | | | 0.375% due 7/15/25 | | | 1,897,964 | |
| | 4,019,480 | | | | | 0.125% due 10/15/25 | | | 3,901,092 | |
| | 3,563,050 | | | | | 0.625% due 1/15/26 | | | 3,464,731 | |
| | 2,690,241 | | | | | 0.125% due 4/15/26 | | | 2,577,478 | |
| | 4,651,710 | | | | | 0.125% due 7/15/26(b) | | | 4,456,936 | |
| | 4,153,435 | | | | | 0.125% due 10/15/26 | | | 3,962,529 | |
| | 2,831,788 | | | | | 0.375% due 1/15/27 | | | 2,701,620 | |
| | 2,716,050 | | | | | 0.125% due 4/15/27 | | | 2,559,606 | |
| | 2,896,694 | | | | | 0.375% due 7/15/27 | | | 2,754,585 | |
| | 4,349,100 | | | | | 1.625% due 10/15/27(b) | | | 4,309,972 | |
| | 8,180,203 | | | | | 0.500% due 1/15/28(b) | | | 7,736,293 | |
| | 1,022,660 | | | | | 1.250% due 4/15/28(h) | | | 993,082 | |
| | 4,044,853 | | | | | 0.750% due 7/15/28 | | | 3,860,228 | |
| | 4,406,512 | | | | | 2.375% due 10/15/28 | | | 4,508,793 | |
| | 1,202,672 | | | | | 0.875% due 1/15/29 | | | 1,144,867 | |
| | 3,318,159 | | | | | 0.250% due 7/15/29 | | | 3,051,253 | |
| | 5,055,140 | | | | | 0.125% due 1/15/30(b) | | | 4,556,678 | |
| | 3,792,588 | | | | | 0.125% due 7/15/30 | | | 3,403,866 | |
| | 5,196,568 | | | | | 0.125% due 1/15/31(b) | | | 4,605,079 | |
| | 7,107,283 | | | | | 0.125% due 7/15/31(b) | | | 6,268,424 | |
| | 4,758,294 | | | | | 0.125% due 1/15/32 | | | 4,142,997 | |
| | 8,973,875 | | | | | 0.625% due 7/15/32(b) | | | 8,115,617 | |
| | 4,428,054 | | | | | 1.125% due 1/15/33 | | | 4,143,086 | |
| | 6,767,000 | | | | | 1.375% due 7/15/33(h) | | | 6,479,129 | |
| | | | | | | | | | |
| | | | | | TOTAL U.S. GOVERNMENT OBLIGATIONS
(Cost — $148,455,276) | | | 138,606,427 | |
| | | | | | | | | | |
See Notes to Financial Statements.
241
| | | | | | | | | | |
| Inflation-Linked Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| COLLATERALIZED MORTGAGE OBLIGATIONS — 12.5% | |
| | | | | | Alternative Loan Trust: | | | | |
| $ | 175,046 | | | Caa2(c) | | Series 2006-HY11, Class A1, 5.675% (1-Month Term SOFR + 0.354%) due 6/25/36(d) | | $ | 153,283 | |
| | 27,874 | | | WR(c) | | Series 2007-4CB, Class 1A35, 6.000% due 4/25/37 | | | 23,041 | |
| | 388,367 | | | Caa3(c) | | Alternative Loan Trust Resecuritization, Series 2008-2R, Class 1A1, 6.000% due 8/25/37(d) | | | 306,509 | |
| | 300,000 | | | Aaa(c) | | ARES L CLO Ltd., Series 2018-50A, Class AR, 6.626%
(3-Month Term SOFR + 1.312%) due 1/15/32(d)(e) | | | 300,466 | |
| | 16,251 | | | WR(c) | | Bear Stearns Adjustable Rate Mortgage Trust,
Series 2003-3, Class 3A2, 5.373% due 5/25/33(d) | | | 15,203 | |
| | 125,670 | | | CCC | | Bear Stearns Asset-Backed Securities Trust, Series 2004-1, Class M1, 6.410%
(1-Month Term SOFR + 1.089%) due 6/25/34(d) | | | 130,561 | |
| | 299,718 | EUR | | Aaa(c) | | Cairn CLO X DAC, Series 2018-10A, Class AR, 4.722%
(3-Month EURIBOR + 0.780%) due 10/15/31(d)(e) | | | 321,805 | |
| | 444,402 | EUR | | Aaa(c) | | Carlyle Euro CLO DAC, Series 2018-2A, Class A1A, 4.752%
(3-Month EURIBOR + 0.800%) due 8/28/31(d)(e) | | | 477,590 | |
| | 299,345 | EUR | | Aaa(c) | | Carlyle Global Markets Strategis Euro CLO Ltd., Series 2014-2A, Class AR-1, 4.651%
(3-Month EURIBOR + 0.750%) due 11/15/31(d)(e) | | | 320,267 | |
| | 27,801 | | | WR(c) | | Chevy Chase Funding LLC Mortgage-Backed Certificates, Series 2004-A, Class A1, 5.795%
(1-Month Term SOFR + 0.474%) due 3/25/35(d)(e) | | | 26,489 | |
| | | | | | CHL Mortgage Pass-Through Trust: | | | | |
| | 465,057 | | | WR(c) | | Series 2005-HYB6, Class 2A1, 4.738% due 10/20/35(d) | | | 442,743 | |
| | 42,926 | | | WR(c) | | Series 2005-HYB9, Class 2A1, 7.873% (1-Year Term SOFR + 2.465%) due 2/20/36(d) | | | 37,960 | |
| | 80,369 | | | Caa2(c) | | Series 2006-6, Class A4, 6.000% due 4/25/36 | | | 39,846 | |
| | 120,107 | | | WD(f) | | Series 2007-1, Class A1, 6.000% due 3/25/37 | | | 56,534 | |
| | | | | | Citigroup Mortgage Loan Trust: | | | | |
| | 2,928 | | | WR(c) | | Series 2004-HYB2, Class 2A, 6.243% due 3/25/34(d) | | | 2,560 | |
| | 108,982 | | | Caa2(c) | | Series 2007-AR4, Class 1A1A, 4.653% due 3/25/37(d) | | | 89,656 | |
| | 15,059 | | | WR(c) | | Citigroup Mortgage Loan Trust Inc., Series 2004-NCM2, Class 1CB1, 5.500% due 8/25/34 | | | 14,195 | |
| | 164,096 | | | NR | | Credit Suisse Commercial Mortgage, Series 2015-3R, Class 5A2, 5.585%
(1-Month Term SOFR + 0.264%) due 9/29/36(d)(e) | | | 158,919 | |
| | | | | | Credit-Based Asset Servicing & Securitization LLC: | | | | |
| | 153,000 | | | CCC | | Series 2005-CB3, Class M4, 3.520% (1-Month Term SOFR + 1.164%) due 6/25/35(d) | | | 145,486 | |
| | 689,998 | | | D | | Series 2007-CB6, Class A3, 5.670% (1-Month Term SOFR + 0.334%) due 7/25/37(d)(e) | | | 447,885 | |
| | | | | | CWABS Asset-Backed Certificates Trust: | | | | |
| | 149,011 | | | Caa2(c) | | Series 2004-7, Class MV5, 3.883% (1-Month Term SOFR + 1.839%) due 11/25/34(d) | | | 124,770 | |
| | 256,429 | | | CC | | Series 2007-1, Class 1A, 5.575% (1-Month Term SOFR + 0.254%) due 7/25/37(d) | | | 232,448 | |
| | 53,980 | | | D | | Series 2007-6, Class 1A, 5.635% (1-Month Term SOFR + 0.314%) due 9/25/37(d) | | | 47,359 | |
| | 271,836 | | | CCC | | Series 2007-8, Class 1A1, 5.625% (1-Month Term SOFR + 0.304%) due 11/25/37(d) | | | 251,458 | |
| | 500,000 | EUR | | AAA | | Dryden 44 Euro CLO, Series 2015-44A, Class A1RR, 4.822%
(3-Month EURIBOR + 0.880%) due 4/15/34(d)(e) | | | 534,011 | |
| | 189,242 | | | Aaa(c) | | Dryden Senior Loan Fund, Series 2017-47A, Class A1R, 6.556%
(3-Month Term SOFR + 1.242%) due 4/15/28(d)(e) | | | 189,347 | |
| | 559,903 | | | B | | Ellington Loan Acquisition Trust, Series 2007-1, Class A1, 6.535%
(1-Month Term SOFR + 1.214%) due 5/25/37(d)(e) | | | 539,712 | |
| | 600,000 | | | AAA | | Elmwood CLO 24 Ltd., Series 2023-3A, Class A1, 7.044%
(3-Month Term SOFR + 1.700%) due 12/11/33(d)(e) | | | 600,310 | |
| | 500,000 | | | NR | | Freddie Mac Multifamily Structured Pass Through Certificates, Series KBX1, Class A2, 2.920% due 1/25/26 | | | 486,464 | |
| | | | | | Government National Mortgage Association (GNMA): | | | | |
| | 225,717 | | | NR | | Series 2018-H15, Class FG, 6.246% (1-Year Term SOFR + 0.865%) due 8/20/68(d) | | | 221,101 | |
| | 508,477 | | | NR | | Series 2023-H11, Class FC, 6.424% (30-Day Average SOFR + 1.100%) due 5/20/73(d) | | | 513,966 | |
| | 2,660,647 | | | NR | | Series 2023-H19, Class FA, 6.224% (30-Day Average SOFR + 0.900%) due 8/20/73(d) | | | 2,660,329 | |
| | 19,168 | | | Caa3(c) | | GSAA Trust, Series 2006-7, Class AF4A, step bond to yield, 6.720% due 3/25/46 | | | 10,155 | |
| | 3,137 | | | AA- | | HarborView Mortgage Loan Trust, Series 2005-9, Class 2A1A, 6.114%
(1-Month Term SOFR + 0.794%) due 6/20/35(d) | | | 2,891 | |
See Notes to Financial Statements.
242
| | | | | | | | | | |
| Inflation-Linked Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| COLLATERALIZED MORTGAGE OBLIGATIONS — 12.5% — (continued) | |
| | 198,474 | EUR | | AAA | | Harvest CLO XI DAC, Series 11A, Class ARR, 4.566%
(3-Month EURIBOR + 0.650%) due 6/26/30(d)(e) | | $ | 213,500 | |
| $ | 41,035 | | | B- | | IndyMac INDX Mortgage Loan Trust, Series 2005-16IP, Class A1, 6.075%
(1-Month Term SOFR + 0.754%) due 7/25/45(d) | | | 32,403 | |
| | 112,306 | | | CCC | | JPMorgan Alternative Loan Trust, Series 2006-A1, Class 1A1, 5.895%
(1-Month Term SOFR + 0.574%) due 3/25/36(d) | | | 102,153 | |
| | 57,172 | | | A- | | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2019-FL12, Class A, 6.815%
(1-Month Term SOFR + 1.497%) due 12/15/31(d)(e) | | | 47,882 | |
| | 249,618 | | | Aaa(c) | | LCM Loan Income Fund I Ltd., Series 1A, Class A, 6.609%
(3-Month Term SOFR + 1.292%) due 4/20/31(d)(e) | | | 249,680 | |
| | 204,867 | | | WD(f) | | Lehman XS Trust, Series 2007-20N, Class A1, 7.735%
(1-Month Term SOFR + 2.414%) due 12/25/37(d) | | | 194,800 | |
| | 151,261 | | | CC | | Long Beach Mortgage Loan Trust, Series 2006-7, Class 2A2, 5.675%
(1-Month Term SOFR + 0.354%) due 8/25/36(d) | | | 60,682 | |
| | 600,000 | | | Aaa(c) | | LUX Trust LION, Class A, 8.008% (1-Month Term SOFR + 2.690%) due 8/15/40(d)(e) | | | 607,382 | |
| | 277,002 | EUR | | Aaa(c) | | Man GLG Euro CLO V DAC, Series 5A, Class A1R, 4.615%
(3-Month EURIBOR + 0.690%) due 12/15/31(d)(e) | | | 297,068 | |
| | 267,957 | | | AAA(f) | | Marathon Static CLO, Series 2022-18A, Class A1R, 7.068%
(3-Month Term SOFR + 1.750%) due 7/20/30(d)(e) | | | 268,070 | |
| | 195,260 | | | AAA | | MKS CLO Ltd., Series 2017-2A, Class A, 6.769%
(3-Month Term SOFR + 1.452%) due 1/20/31(d)(e) | | | 195,553 | |
| | 3,896 | | | WR(c) | | MRFC Mortgage Pass-Through Trust, Series 2000-TBC2, Class A1, 5.912%
(1-Month Term SOFR + 0.594%) due 6/15/30(d) | | | 3,709 | |
| | 300,000 | | | AAA(f) | | Neuberger Berman Loan Advisers NBLA CLO 53 Ltd., Series 2023-53A, Class A, 6.929%
(3-Month Term SOFR + 1.590%) due 10/24/32(d)(e) | | | 302,165 | |
| | | | | | New Residential Mortgage Loan Trust: | | | | |
| | 32,133 | | | NR | | Series 2018-3A, Class A1, 4.500% due 5/25/58(d)(e) | | | 30,939 | |
| | 163,624 | | | Aaa(c) | | Series 2019-RPL3, Class A1, 2.750% due 7/25/59(d)(e) | | | 154,336 | |
| | | | | | Option One Mortgage Loan Trust: | | | | |
| | 87,627 | | | CC | | Series 2007-1, Class 1A1, 5.575% (1-Month Term SOFR + 0.254%) due 1/25/37(d) | | | 55,418 | |
| | 82,746 | | | D | | Series 2007-2, Class 1A1, 5.575% (1-Month Term SOFR + 0.254%) due 3/25/37(d) | | | 54,882 | |
| | 163,070 | | | Aaa(c) | | OZLM VIII Ltd., Series 2014-8A, Class A1R3, 6.558%
(3-Month Term SOFR + 1.242%) due 10/17/29(d)(e) | | | 163,145 | |
| | 600,000 | EUR | | Aaa(c) | | Palmer Square European Loan Funding DAC, Series 2023-3A, Class A, 5.494%
(3-Month EURIBOR + 1.500%) due 5/15/33(d)(e) | | | 649,436 | |
| | 161,353 | | | A | | RASC Trust, Series 2006-KS3, Class M1, 5.930%
(1-Month Term SOFR + 0.444%) due 4/25/36(d) | | | 158,532 | |
| | 505,550 | | | WD(f) | | Residential Asset Securitization Trust, Series 2006-A10, Class A5, 6.500% due 9/25/36 | | | 169,644 | |
| | | | | | Securitized Asset-Backed Receivables LLC Trust: | | | | |
| | 444,269 | | | D | | Series 2006-FR3, Class A3, 5.935% (1-Month Term SOFR + 0.614%) due 5/25/36(d) | | | 236,714 | |
| | 92,190 | | | D | | Series 2006-HE2, Class A2C, 5.735% (1-Month Term SOFR + 0.414%) due 7/25/36(d) | | | 37,113 | |
| | 72,649 | | | WR(c) | | Sequoia Mortgage Trust, Series 6, Class A, 6.074%
(1-Month Term SOFR + 0.754%) due 4/19/27(d) | | | 69,856 | |
| | | | | | Soundview Home Loan Trust: | | | | |
| | 197,165 | | | CC | | Series 2007-OPT1, Class 1A1, 5.635% (1-Month Term SOFR + 0.314%) due 6/25/37(d) | | | 134,663 | |
| | 48,114 | | | CCC | | Series 2007-OPT2, Class 2A3, 5.615% (1-Month Term SOFR + 0.294%) due 7/25/37(d) | | | 42,603 | |
| | 494,143 | EUR | | Aaa(c) | | St Paul’s CLO DAC, Series 4A, Class ARR1, 4.778%
(3-Month EURIBOR + 0.830%) due 4/25/30(d)(e) | | | 530,511 | |
| | 49,302 | | | Aaa(c) | | Venture XVII CLO Ltd., Series 2014-17A, Class ARR, 6.456%
(3-Month Term SOFR + 1.142%) due 4/15/27(d)(e) | | | 49,393 | |
| | 500,000 | | | Aaa(c) | | VMC Finance LLC, Series 2022-FL5, Class A, 7.224%
(30-Day Average SOFR + 1.900%) due 2/18/39(d)(e) | | | 495,062 | |
See Notes to Financial Statements.
243
| | | | | | | | | | |
| Inflation-Linked Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| COLLATERALIZED MORTGAGE OBLIGATIONS — 12.5% — (continued) | |
| | | | | | Voya CLO Ltd.: | | | | |
| $ | 227,991 | | | Aaa(c) | | Series 2017-1A, Class A1R, 6.528% (3-Month Term SOFR + 1.212%) due 4/17/30(d)(e) | | $ | 228,182 | |
| | 177,038 | | | AAA | | Series 2017-2A, Class A1R, 6.556% (3-Month Term SOFR + 1.242%) due 6/7/30(d)(e) | | | 177,348 | |
| | | | | | WaMu Mortgage Pass-Through Certificates Trust: | | | | |
| | 5,409 | | | Baa1(c) | | Series 2002-AR2, Class A, 4.376%
(11th District Cost of Funds Index + 1.250%) due 2/27/34(d) | | | 5,046 | |
| | 2,131 | | | WR(c) | | Series 2002-AR17, Class 1A, 6.281%
(1-Year Treasury Average Rate + 1.200%) due 11/25/42(d) | | | 1,947 | |
| | | | | | | | | | |
| | | | | | TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost — $16,864,080) | | | 15,945,136 | |
| | | | | | | | | | |
|
| MORTGAGE-BACKED SECURITIES — 9.4% | |
|
| FHLMC — 0.4% | |
| | | | | | Federal Home Loan Mortgage Corp. (FHLMC): | | | | |
| | 93,031 | | | | | 3.000% due 7/1/52 | | | 79,727 | |
| | 478,275 | | | | | 6.500% due 10/1/53 | | | 487,533 | |
| | | | | | | | | | |
| | | | | | Total FHLMC | | | 567,260 | |
| | | | | | | | | | |
|
| FNMA — 9.0% | |
| | | | | | Federal National Mortgage Association (FNMA): | | | | |
| | 35,308 | | | | | 4.000% due 3/1/50 | | | 32,865 | |
| | 183,221 | | | | | 3.000% due 5/1/52 | | | 157,053 | |
| | 91,977 | | | | | 4.500% due 10/1/52 | | | 87,030 | |
| | 200,000 | | | | | 3.500% due 3/1/54(g) | | | 177,873 | |
| | 800,000 | | | | | 4.500% due 3/1/54(g) | | | 756,517 | |
| | 1,600,000 | | | | | 5.500% due 3/1/54(g) | | | 1,582,114 | |
| | 2,800,000 | | | | | 6.000% due 3/1/54(g) | | | 2,811,850 | |
| | 2,000,000 | | | | | 6.500% due 3/1/54(g) | | | 2,035,316 | |
| | 2,700,000 | | | | | 4.000% due 4/1/54(g) | | | 2,485,364 | |
| | 1,400,000 | | | | | 5.000% due 4/1/54(g) | | | 1,357,427 | |
| | | | | | | | | | |
| | | | | | Total FNMA | | | 11,483,409 | |
| | | | | | | | | | |
| | | | | | TOTAL MORTGAGE-BACKED SECURITIES
(Cost — $12,126,008) | | | 12,050,669 | |
| | | | | | | | | | |
|
| SOVEREIGN BONDS — 5.2% | |
|
| Canada — 0.3% | |
| | | | | | Canadian Government Real Return Bonds: | | | | |
| | 540,729 | CAD | | AAA | | 4.250% due 12/1/26 | | | 426,341 | |
| | 60,900 | CAD | | AAA | | 0.500% due 12/1/50 | | | 33,894 | |
| | | | | | | | | | |
| | | | | | Total Canada | | | 460,235 | |
| | | | | | | | | | |
|
| France — 0.9% | |
| | | | | | French Republic Government Bonds OAT: | | | | |
| | 705,756 | EUR | | AA-u(f) | | 0.100% due 3/1/26(e) | | | 752,312 | |
| | 235,616 | EUR | | AA-u(f) | | 0.100% due 7/25/31(e) | | | 246,842 | |
| | 115,671 | EUR | | AA-u(f) | | 0.100% due 7/25/38(e) | | | 113,866 | |
| | | | | | | | | | |
| | | | | | Total France | | | 1,113,020 | |
| | | | | | | | | | |
|
| Italy — 2.9% | |
| | | | | | Italy Buoni Poliennali Del Tesoro: | | | | |
| | 3,090,483 | EUR | | NR | | 1.400% due 5/26/25(e) | | | 3,306,291 | |
| | 358,347 | EUR | | Baa3u(c) | | 0.400% due 5/15/30(e) | | | 361,027 | |
| | | | | | | | | | |
| | | | | | Total Italy | | | 3,667,318 | |
| | | | | | | | | | |
See Notes to Financial Statements.
244
| | | | | | | | | | |
| Inflation-Linked Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Japan — 1.1% | |
| | | | | | Japanese Government CPI Linked Bonds: | | | | |
| | 63,718,230 | JPY | | A1(c) | | 0.100% due 3/10/28 | | $ | 446,918 | |
| | 143,716,340 | JPY | | A1(c) | | 0.100% due 3/10/29 | | | 1,011,378 | |
| | | | | | | | | | |
| | | | | | Total Japan | | | 1,458,296 | |
| | | | | | | | | | |
| | | | | | TOTAL SOVEREIGN BONDS
(Cost — $7,643,936) | | | 6,698,869 | |
| | | | | | | | | | |
|
| CORPORATE BONDS & NOTES — 0.4% | |
|
| Banks — 0.1% | |
| | 100,000 | GBP | | BBB | | HSBC Holdings PLC, Subordinated Notes, 6.000% due 3/29/40 | | | 123,486 | |
| | 35,758 | DKK | | AAA | | Nykredit Realkredit AS, Covered Notes, 1.000% due 10/1/50 | | | 3,977 | |
| | | | | | | | | | |
| | | | | | Total Banks | | | 127,463 | |
| | | | | | | | | | |
|
| Diversified Financial Services — 0.3% | |
| | | | | | Jyske Realkredit AS, Covered Notes: | | | | |
| | 3,427,107 | DKK | | AAA | | 1.000% due 10/1/50 | | | 381,033 | |
| | 99,012 | DKK | | AAA | | 1.500% due 10/1/53 | | | 10,898 | |
| | 100,000 | DKK | | AAA | | Nordea Kredit Realkreditaktieselskab, Covered Notes, 1.500% due 10/1/53 | | | 9,897 | |
| | | | | | Realkredit Danmark AS, Covered Notes: | | | | |
| | 18,628 | DKK | | AAA | | 1.000% due 10/1/53 | | | 2,050 | |
| | 178,175 | DKK | | AAA | | 1.500% due 10/1/53 | | | 20,586 | |
| | | | | | | | | | |
| | | | | | Total Diversified Financial Services | | | 424,464 | |
| | | | | | | | | | |
| | | | | | TOTAL CORPORATE BONDS & NOTES
(Cost — $753,762) | | | 551,927 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS
(Cost — $185,843,062) | | | 173,853,028 | |
| | | | | | | | | | |
|
| SHORT-TERM INVESTMENTS — 0.8% | |
|
| TIME DEPOSITS — 0.8% | |
| $ | 687,751 | | | | | ANZ National Bank — London, 4.680% due 3/1/24 | | | 687,751 | |
| | 548 | CAD | | | | BBH — New York, 3.830% due 3/1/24 | | | 404 | |
| | | | | | BNP Paribas — Paris: | | | | |
| | 456 | SGD | | | | 2.560% due 3/1/24 | | | 339 | |
| | 55,873 | AUD | | | | 3.100% due 3/1/24 | | | 36,315 | |
| | 59,909 | NZD | | | | 3.250% due 3/1/24 | | | 36,473 | |
| | 951 | GBP | | | | 4.150% due 3/1/24 | | | 1,201 | |
| | | | | | DNB — Oslo: | | | | |
| | 16,153 | SEK | | | | 2.700% due 3/1/24 | | | 1,558 | |
| | 189,211 | EUR | | | | 2.820% due 3/1/24 | | | 204,499 | |
| | | | | | Skandinaviska Enskilda Banken AB — Stockholm: | | | | |
| | 212,988 | DKK | | | | 2.500% due 3/1/24 | | | 30,884 | |
| | 470 | NOK | | | | 3.320% due 3/1/24 | | | 44 | |
| | 5,328 | ZAR | | | | Standard Chartered Bank — Johannesburg, 6.430% due 3/1/24 | | | 278 | |
| | 1,285,288 | JPY | | | | Sumitomo Mitsui Banking Corp. — Tokyo, (0.420)% due 3/1/24 | | | 8,574 | |
| | | | | | | | | | |
| | | | | | TOTAL SHORT-TERM INVESTMENTS
(Cost — $1,008,320) | | | 1,008,320 | |
| | | | | | | | | | |
| | | | | | TOTAL INVESTMENTS — 136.7%
(Cost — $186,851,382) | | | 174,861,348 | |
| | | | | | | | | | |
| | | | | | Liabilities in Excess of Other Assets — (36.7)% | | | (46,949,608 | ) |
| | | | | | | | | | |
| | | | | | TOTAL NET ASSETS — 100.0% | | $ | 127,911,740 | |
| | | | | | | | | | |
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
| †† | All ratings are by Standard & Poor’s Rating Service, unless otherwise noted. |
See Notes to Financial Statements.
245
| | | | | | |
| Inflation-Linked Fixed Income Fund |
| (a) | All or a portion of this security is held at the broker as collateral for open OTC swap contracts. |
| (b) | Position, or portion thereof, has been segregated to collateralize reverse repurchase agreements. |
| (c) | Rating by Moody’s Investors Service. |
| (d) | Variable rate security. Interest rate disclosed is that which was in effect at February 29, 2024. |
| (e) | Restricted security that may be sold to “qualified institutional buyers” pursuant to the conditions of Rule 144A under the Securities Act of 1933, as amended. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees, unless otherwise noted. The aggregate value of restricted 144A holdings at February 29, 2024, amounts to $13,356,791 and represents 10.4% of net assets. |
| (f) | Rating by Fitch Ratings Service. |
| (g) | This security is traded on a TBA basis (see Note 1). |
| (h) | All or a portion of these securities were purchased in a sale-buyback transaction. The value of these securities total $7,472,211 which represents 5.8% of net assets. |
At February 29, 2024, for Inflation-Linked Fixed Income Fund the aggregate cost of investments, the aggregate gross unrealized appreciation and depreciation of all investments for federal income tax purposes were as follows:
| | | | | | | | | | | | | | | | |
| Fund | | Aggregate Cost For
Federal Income
Tax Purposes | | | Gross
Unrealized
Appreciation | | | Gross
Unrealized
(Depreciation) | | | Net
Unrealized
(Depreciation) | |
Inflation-Linked Fixed Income Fund | | $ | 186,851,382 | | | $ | 5,774,735 | | | $ | (17,323,415) | | | $ | (11,548,680) | |
| | |
Abbreviations used in this schedule: |
| CLO | | — Collateralized Loan Obligation |
| CPI | | — Consumer Price Index |
| DAC | | — Designated Activity Company |
| EURIBOR | | — Euro Interbank Offered Rate |
| LLC | | — Limited Liability Company |
| OAT | | — Obligations assimilables du Trésor |
| PLC | | — Public Limited Company |
| SOFR | | — Secured Overnight Financing Rate |
| | | | |
| Summary of Investments by Security Type^ | | | |
U.S. Government Obligations | | | 79.3 | % |
Collateralized Mortgage Obligations | | | 9.1 | |
Mortgage-Backed Securities | | | 6.9 | |
Sovereign Bonds | | | 3.8 | |
Corporate Bonds & Notes | | | 0.3 | |
Short-Term Investments | | | 0.6 | |
| | | | |
Total Investments | | | 100.0 | % |
| | | | |
| ^ | As a percentage of total investments. |
At February 29, 2024, Inflation-Linked Fixed Income Fund held the following Options Contracts Written:
Interest Rate Swaptions
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Number of
Contracts | | | Notional
Amount† | | | Security Name | | Counterparty | | | Expiration
Date | | | Exercise
Rate | | | Value | |
| | 5,900,000 | | | | 232,578 | EUR | | OTC 2-Year Swaption, 3-Month EURIBOR, Call | | | BCLY | | | | 10/6/25 | | | | 3.150% | | | $ | 102,271 | |
| | 5,900,000 | | | | 232,578 | EUR | | OTC 2-Year Swaption, 3-Month EURIBOR, Put | | | BCLY | | | | 10/6/25 | | | | 3.150% | | | | 30,780 | |
| | 5,100,000 | | | $ | 285,746 | | | OTC 2-Year Swaption, 3-Month USD-LIBOR, Call | | | BCLY | | | | 3/20/24 | | | | 3.900% | | | | 1,017 | |
| | 4,800,000 | | | | 268,937 | | | OTC 2-Year Swaption, 3-Month USD-LIBOR, Call | | | BCLY | | | | 5/13/24 | | | | 4.269% | | | | 16,815 | |
| | 4,700,000 | | | | 263,334 | | | OTC 2-Year Swaption, 3-Month USD-LIBOR, Call | | | BNP | | | | 4/16/24 | | | | 3.800% | | | | 2,765 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | Total Interest Rate Swaptions | | | | | | | | | | | | | | $ | 153,648 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
246
| | | | | | |
| Inflation-Linked Fixed Income Fund |
Option on Futures
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Number of
Contracts | | | Notional
Amount† | | Security Name | | Counterparty | | | Expiration
Date | | | Strike Price | | | Value | |
| | 45 | | | 10,837,688EUR | | 3-Month EURIBOR Futures, Call | | | SOG | | | | 4/12/24 | | | EUR | 96.75 | | | $ | 1,520 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | TOTAL OPTIONS CONTRACTS WRITTEN
(Premiums received — $233,410) | | | | | | | | | | | | | | $ | 155,168 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
At February 29, 2024, Inflation-Linked Fixed Income Fund held the following Reverse Repurchase Agreement:
| | | | | | |
| | |
Face
Amounts† | | | Security | | Value |
| $ | 36,044,076 | | | Nomura Securities International, Inc., 5.420% due 3/6/24
(Proceeds — $36,044,076) | | $ 36,044,076 |
| | | | | | |
| | | | | | |
| † | Amount denominated in U.S. dollars, unless otherwise noted. |
For the period ended February 29, 2024, the daily average borrowing and interest rate under the reverse repurchase agreements were $36,666,019 and 5.442%, respectively.
At February 29, 2024, 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 Futures | | | 12 | | | | 3/24 | | | $ | 1,521,918 | | | $ | 1,507,327 | | | $ | (14,591 | ) |
Euro-BTP Futures | | | 9 | | | | 3/24 | | | | 1,116,953 | | | | 1,146,059 | | | | 29,106 | |
U.S. Treasury 5-Year Note Futures | | | 42 | | | | 6/24 | | | | 4,496,953 | | | | 4,490,062 | | | | (6,891 | ) |
U.S. Treasury Long Bond Futures | | | 18 | | | | 6/24 | | | | 2,121,609 | | | | 2,146,500 | | | | 24,891 | |
U.S. Ultra Long Bond Futures | | | 39 | | | | 6/24 | | | | 4,448,595 | | | | 4,452,703 | | | | 4,108 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 36,623 | |
| | | | | | | | | | | | | | | | | | | | |
| Contracts to Sell: | | | | | | | | | | | | | | | | | | | | |
Euro-Bund Futures | | | 22 | | | | 6/24 | | | | 3,125,198 | | | | 3,144,825 | | | | (19,627 | ) |
Euro-Buxl 30-Year Bond Futures | | | 3 | | | | 3/24 | | | | 422,420 | | | | 431,758 | | | | (9,338 | ) |
Euro-OAT Futures | | | 3 | | | | 6/24 | | | | 411,698 | | | | 413,179 | | | | (1,481 | ) |
Euro-Schatz Note Futures | | | 74 | | | | 3/24 | | | | 8,477,725 | | | | 8,409,813 | | | | 67,912 | |
Euro-Schatz Note Futures | | | 13 | | | | 6/24 | | | | 1,484,614 | | | | 1,484,846 | | | | (232 | ) |
Short Euro-BTP Futures | | | 15 | | | | 6/24 | | | | 1,713,825 | | | | 1,714,419 | | | | (594 | ) |
U.S. Treasury 2-Year Note Futures | | | 9 | | | | 6/24 | | | | 1,842,865 | | | | 1,842,750 | | | | 115 | |
U.S. Treasury 10-Year Note Futures | | | 132 | | | | 6/24 | | | | 14,579,813 | | | | 14,577,751 | | | | 2,062 | |
U.S. Treasury Ultra Long Bond Futures | | | 31 | | | | 6/24 | | | | 3,880,104 | | | | 3,964,125 | | | | (84,021 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | (45,204 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Unrealized Depreciation on Open Exchange-Traded Futures Contracts | | | | | | | | | | | | | | | | | | $ | (8,581 | ) |
| | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
247
| | | | | | |
| Inflation-Linked Fixed Income Fund |
At February 29, 2024, Inflation-Linked Fixed Income Fund had deposited cash of $529,000 with a broker or brokers as margin collateral on open exchange-traded futures contracts.
At February 29, 2024, 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: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Canadian Dollar | | | 610,539 | | | | USD | | | | 449,207 | | | | BCLY | | | $ | 449,869 | | | | 3/4/24 | | | $ | 662 | |
Danish Krone | | | 1,392,878 | | | | USD | | | | 202,159 | | | | MLP | | | | 201,973 | | | | 3/4/24 | | | | (186 | ) |
Danish Krone | | | 1,781,249 | | | | USD | | | | 259,445 | | | | SCB | | | | 258,289 | | | | 3/4/24 | | | | (1,156 | ) |
Euro | | | 68,000 | | | | USD | | | | 73,781 | | | | BNP | | | | 73,494 | | | | 3/4/24 | | | | (287 | ) |
Euro | | | 7,557,000 | | | | USD | | | | 8,203,879 | | | | DUB | | | | 8,167,602 | | | | 3/4/24 | | | | (36,277 | ) |
Japanese Yen | | | 93,901,196 | | | | USD | | | | 623,721 | | | | HSBC | | | | 626,363 | | | | 3/4/24 | | | | 2,642 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | (34,602 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Contracts to Sell: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
British Pound | | | 99,000 | | | | USD | | | | 125,066 | | | | BCLY | | | | 124,978 | | | | 3/4/24 | | | | 88 | |
Canadian Dollar | | | 610,274 | | | | USD | | | | 449,207 | | | | BCLY | | | | 449,871 | | | | 4/2/24 | | | | (664 | ) |
Canadian Dollar | | | 610,203 | | | | USD | | | | 456,075 | | | | JPM | | | | 449,621 | | | | 3/4/24 | | | | 6,454 | |
Danish Krone | | | 165,955 | | | | USD | | | | 24,180 | | | | JPM | | | | 24,102 | | | | 4/2/24 | | | | 78 | |
Danish Krone | | | 1,390,770 | | | | USD | | | | 202,159 | | | | MLP | | | | 201,980 | | | | 4/2/24 | | | | 179 | |
Danish Krone | | | 1,778,564 | | | | USD | | | | 259,445 | | | | SCB | | | | 258,300 | | | | 4/2/24 | | | | 1,145 | |
Danish Krone | | | 3,340,260 | | | | USD | | | | 485,957 | | | | SCB | | | | 484,352 | | | | 3/4/24 | | | | 1,605 | |
Euro | | | 7,557,000 | | | | USD | | | | 8,213,817 | | | | DUB | | | | 8,177,572 | | | | 4/2/24 | | | | 36,245 | |
Euro | | | 7,625,000 | | | | USD | | | | 8,249,015 | | | | HSBC | | | | 8,241,096 | | | | 3/4/24 | | | | 7,919 | |
Japanese Yen | | | 124,156,856 | | | | USD | | | | 831,053 | | | | BCLY | | | | 832,087 | | | | 4/2/24 | | | | (1,034 | ) |
Japanese Yen | | | 93,473,448 | | | | USD | | | | 623,721 | | | | HSBC | | | | 626,450 | | | | 4/2/24 | | | | (2,729 | ) |
Japanese Yen | | | 218,384,657 | | | | USD | | | | 1,490,490 | | | | JPM | | | | 1,456,723 | | | | 3/4/24 | | | | 33,767 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | 83,053 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Unrealized Appreciation on Open Forward Foreign Currency Contracts | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 48,451 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
248
| | | | | | |
| Inflation-Linked Fixed Income Fund |
At February 29, 2024, Inflation-Linked Fixed Income Fund held the following Centrally Cleared Interest Rate Swap Contracts:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Pay/Receive
Floating Rate | | Floating Rate Index | | Fixed
Rate | | | Maturity
Date | | | Payment
Frequency | | | Notional
Amount | | | Market
Value | | | Upfront
Payment
Paid/
(Received) | | | Unrealized
Appreciation/
(Depreciation) | |
| Receive | | 6-Month EURIBOR | | | 0.197% | | | | 11/8/52 | | | | 12-Month | | | | EUR | | | | 1,400,000 | | | $ | 706,058 | | | $ | — | | | $ | 706,058 | |
| Pay | | 6-Month EURIBOR | | | 0.550% | | | | 8/10/24 | | | | 12-Month | | | | EUR | | | | 100,000 | | | | (1,509 | ) | | | — | | | | (1,509 | ) |
| Pay | | 6-Month EURIBOR | | | 0.650% | | | | 4/12/27 | | | | 12-Month | | | | EUR | | | | 300,000 | | | | (25,632 | ) | | | — | | | | (25,632 | ) |
| Pay | | 6-Month EURIBOR | | | 0.650% | | | | 5/11/27 | | | | 12-Month | | | | EUR | | | | 300,000 | | | | (24,967 | ) | | | — | | | | (24,967 | ) |
| Pay | | 6-Month EURIBOR | | | 0.700% | | | | 4/11/27 | | | | 12-Month | | | | EUR | | | | 200,000 | | | | (16,715 | ) | | | — | | | | (16,715 | ) |
| Receive | | 6-Month EURIBOR | | | 2.750% | | | | 3/20/54 | | | | 12-Month | | | | EUR | | | | 2,800,000 | | | | (200,551 | ) | | | 102,031 | | | | (302,582 | ) |
| Pay | | 6-Month EURIBOR | | | 2.879% | | | | 8/15/32 | | | | 6-Month | | | | EUR | | | | 1,200,000 | | | | 33,247 | | | | — | | | | 33,247 | |
| Pay | | 6-Month EURIBOR | | | 3.000% | | | | 3/20/34 | | | | 12-Month | | | | EUR | | | | 12,500,000 | | | | 328,102 | | | | (209,763 | ) | | | 537,865 | |
| Receive | | Bank of Japan Uncollateralised Overnight Call Rate | | | 0.300% | | | | 9/20/27 | | | | 6-Month | | | | JPY | | | | 5,590,000 | | | | 175 | | | | (1,139 | ) | | | 1,314 | |
| Receive | | Bank of Japan Uncollateralised Overnight Call Rate | | | 0.500% | | | | 12/15/31 | | | | 12-Month | | | | JPY | | | | 75,000,000 | | | | 8,455 | | | | 1,442 | | | | 7,013 | |
| Receive | | Bank of Japan Uncollateralised Overnight Call Rate | | | 0.550% | | | | 9/14/28 | | | | 12-Month | | | | JPY | | | | 90,000,000 | | | | (3,330 | ) | | | (1,033 | ) | | | (2,297 | ) |
| Receive | | Euro Short-Term Rate Market Index | | | 3.475% | | | | 2/26/25 | | | | PAM | | | | EUR | | | | 23,800,000 | | | | 7,008 | | | | 4,691 | | | | 2,317 | |
| Receive | | SOFR | | | 2.237% | | | | 11/21/53 | | | | 6-Month | | | | USD | | | | 810,000 | | | | 238,338 | | | | — | | | | 238,338 | |
| Pay | | SOFR | | | 2.340% | | | | 11/21/28 | | | | 6-Month | | | | USD | | | | 4,130,000 | | | | (323,386 | ) | | | — | | | | (323,386 | ) |
| Receive | | SOFR | | | 2.865% | | | | 2/13/54 | | | | 12-Month | | | | USD | | | | 1,400,000 | | | | 194,223 | | | | 27,102 | | | | 167,121 | |
| Pay | | SOFR | | | 3.085% | | | | 2/13/34 | | | | 12-Month | | | | USD | | | | 3,100,000 | | | | (201,696 | ) | | | (23,830 | ) | | | (177,866 | ) |
Receive | | SOFR | | | 4.250% | | | | 12/20/25 | | | | 12-Month | | | | USD | | | | 7,740,000 | | | | 67,219 | | | | (28,248 | ) | | | 95,467 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | $ | 785,039 | | | $ | (128,747 | ) | | $ | 913,786 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
At February 29, 2024, 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) | |
| Pay | | 2-Year EUR Inflation Linked | | | 3.520% | | | | 9/15/24 | | | | EUR | | | | 200,000 | | | $ | (1,686 | ) | | $ | (516 | ) | | $ | (1,170 | ) |
| Pay | | 2-Year EUR Inflation Linked | | | 3.720% | | | | 9/15/24 | | | | EUR | | | | 300,000 | | | | (1,211 | ) | | | (654 | ) | | | (557 | ) |
| Pay | | 2-Year EUR Inflation Linked | | | 3.850% | | | | 9/15/24 | | | | EUR | | | | 400,000 | | | | (469 | ) | | | — | | | | (469 | ) |
| Receive | | 5-Year EUR Inflation Linked | | | 1.030% | | | | 3/15/24 | | | | EUR | | | | 1,000,000 | | | | 93,242 | | | | (37,985 | ) | | | 131,227 | |
| Receive | | 5-Year EUR Inflation Linked | | | 2.260% | | | | 3/15/28 | | | | EUR | | | | 600,000 | | | | 1,647 | | | | — | | | | 1,647 | |
| Receive | | 5-Year EUR Inflation Linked | | | 3.000% | | | | 5/15/27 | | | | EUR | | | | 200,000 | | | | 4,089 | | | | 100 | | | | 3,989 | |
| Receive | | 8-Year EUR Inflation Linked | | | 2.359% | | | | 8/15/30 | | | | EUR | | | | 200,000 | | | | 5,037 | | | | — | | | | 5,037 | |
| Pay | | 10-Year EUR Inflation Linked | | | 1.380% | | | | 3/15/31 | | | | EUR | | | | 1,300,000 | | | | (267,072 | ) | | | (9,569 | ) | | | (257,503 | ) |
| Pay | | 10-Year EUR Inflation Linked | | | 1.620% | | | | 5/15/28 | | | | EUR | | | | 910,000 | | | | (128,684 | ) | | | 93,051 | | | | (221,735 | ) |
| Pay | | 10-Year EUR Inflation Linked | | | 2.356% | | | | 11/15/33 | | | | EUR | | | | 400,000 | | | | 7,792 | | | | (530 | ) | | | 8,322 | |
| Pay | | 10-Year EUR Inflation Linked | | | 2.362% | | | | 11/15/33 | | | | EUR | | | | 300,000 | | | | 6,048 | | | | — | | | | 6,048 | |
| Pay | | 10-Year EUR Inflation Linked | | | 2.390% | | | | 11/15/33 | | | | EUR | | | | 200,000 | | | | 4,605 | | | | 196 | | | | 4,409 | |
| Receive | | 10-Year EUR Inflation Linked | | | 2.470% | | | | 7/15/32 | | | | EUR | | | | 200,000 | | | | 3,711 | | | | — | | | | 3,711 | |
| Receive | | 10-Year EUR Inflation Linked | | | 2.570% | | | | 6/15/32 | | | | EUR | | | | 300,000 | | | | 2,385 | | | | — | | | | 2,385 | |
| Receive | | 10-Year EUR Inflation Linked | | | 2.600% | | | | 5/15/32 | | | | EUR | | | | 400,000 | | | | 8,630 | | | | 2,060 | | | | 6,570 | |
| Receive | | 10-Year EUR Inflation Linked | | | 2.720% | | | | 6/15/32 | | | | EUR | | | | 500,000 | | | | (4,338 | ) | | | (4,228 | ) | | | (110 | ) |
| Receive | | 15-Year EUR Inflation Linked | | | 1.710% | | | | 3/15/33 | | | | EUR | | | | 100,000 | | | | 15,626 | | | | (15,114 | ) | | | 30,740 | |
| Pay | | 30-Year EUR Inflation Linked | | | 2.421% | | | | 5/15/52 | | | | EUR | | | | 30,000 | | | | (2,573 | ) | | | — | | | | (2,573 | ) |
| Receive | | 30-Year EUR Inflation Linked | | | 2.547% | | | | 11/15/53 | | | | EUR | | | | 100,000 | | | | (2,079 | ) | | | (309 | ) | | | (1,770 | ) |
| Pay | | 30-Year EUR Inflation Linked | | | 2.590% | | | | 12/15/52 | | | | EUR | | | | 100,000 | | | | 1,980 | | | | — | | | | 1,980 | |
| Pay | | 30-Year EUR Inflation Linked | | | 2.590% | | | | 3/15/52 | | | | EUR | | | | 200,000 | | | | (9,480 | ) | | | (2,478 | ) | | | (7,002 | ) |
| Receive | | 30-Year EUR Inflation Linked | | | 2.620% | | | | 11/15/53 | | | | EUR | | | | 100,000 | | | | (4,507 | ) | | | — | | | | (4,507 | ) |
See Notes to Financial Statements.
249
| | | | | | |
| Inflation-Linked Fixed Income Fund |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Pay/ Receive
Floating Rate | | Floating Rate Index | | Fixed
Rate | | | Maturity
Date | | | Notional
Amount | | | Market
Value | | | Upfront
Premiums
Paid/
(Received) | | | Unrealized
Appreciation/
(Depreciation) | |
| Pay | | 30-Year EUR Inflation Linked | | | 2.700% | | | | 4/15/53 | | | | EUR | | | | 200,000 | | | $ | 13,882 | | | $ | 1,337 | | | $ | 12,545 | |
| Pay | | 30-Year EUR Inflation Linked | | | 2.736% | | | | 10/15/53 | | | | EUR | | | | 100,000 | | | | 8,299 | | | | 1,308 | | | | 6,991 | |
| Pay | | 30-Year EUR Inflation Linked | | | 2.763% | | | | 9/15/53 | | | | EUR | | | | 300,000 | | | | 27,337 | | | | 1,172 | | | | 26,165 | |
| Pay | | 1-Year USD Inflation Linked | | | 2.510% | | | | 9/8/24 | | | | USD | | | | 300,000 | | | | (1,246 | ) | | | — | | | | (1,246 | ) |
| Pay | | 1-Year USD Inflation Linked | | | 2.560% | | | | 9/12/24 | | | | USD | | | | 400,000 | | | | (1,400 | ) | | | — | | | | (1,400 | ) |
| Pay | | 1-Year USD Inflation Linked | | | 2.565% | | | | 9/12/24 | | | | USD | | | | 400,000 | | | | (1,381 | ) | | | — | | | | (1,381 | ) |
| Receive | | 5-Year USD Inflation Linked | | | 2.703% | | | | 5/25/26 | | | | USD | | | | 510,000 | | | | 40,969 | | | | 80 | | | | 40,889 | |
| Receive | | 5-Year USD Inflation Linked | | | 2.767% | | | | 5/13/26 | | | | USD | | | | 500,000 | | | | 39,124 | | | | — | | | | 39,124 | |
| Receive | | 5-Year USD Inflation Linked | | | 2.813% | | | | 5/14/26 | | | | USD | | | | 300,000 | | | | 22,754 | | | | — | | | | 22,754 | |
| Receive | | 7-Year USD Inflation Linked | | | 1.797% | | | | 8/25/27 | | | | USD | | | | 600,000 | | | | 89,972 | | | | 5,868 | | | | 84,104 | |
| Receive | | 7-Year USD Inflation Linked | | | 1.890% | | | | 8/27/27 | | | | USD | | | | 700,000 | | | | 100,382 | | | | 1,693 | | | | 98,689 | |
| Receive | | 7-Year USD Inflation Linked | | | 2.573% | | | | 8/26/28 | | | | USD | | | | 100,000 | | | | 6,419 | | | | — | | | | 6,419 | |
| Receive | | 7-Year USD Inflation Linked | | | 2.645% | | | | 9/10/28 | | | | USD | | | | 100,000 | | | | 5,650 | | | | — | | | | 5,650 | |
| Pay | | 10-Year USD Inflation Linked | | | 1.280% | | | | 5/19/30 | | | | USD | | | | 800,000 | | | | (160,270 | ) | | | (50,027 | ) | | | (110,243 | ) |
| Pay | | 10-Year USD Inflation Linked | | | 1.760% | | | | 11/4/29 | | | | USD | | | | 1,200,000 | | | | (185,440 | ) | | | (8,764 | ) | | | (176,676 | ) |
| Pay | | 10-Year USD Inflation Linked | | | 1.882% | | | | 11/20/29 | | | | USD | | | | 1,500,000 | | | | (214,953 | ) | | | 9,233 | | | | (224,186 | ) |
| Receive | | 10-Year USD Inflation Linked | | | 2.311% | | | | 2/24/31 | | | | USD | | | | 2,300,000 | | | | 250,441 | | | | 1,035 | | | | 249,406 | |
| Pay | | 10-Year USD Inflation Linked | | | 2.335% | | | | 2/5/28 | | | | USD | | | | 960,000 | | | | (89,646 | ) | | | 59,292 | | | | (148,938 | ) |
| Pay | | 10-Year USD Inflation Linked | | | 2.352% | | | | 5/9/28 | | | | USD | | | | 360,000 | | | | (32,414 | ) | | | 24,122 | | | | (56,536 | ) |
| Pay | | 10-Year USD Inflation Linked | | | 2.360% | | | | 5/9/28 | | | | USD | | | | 540,000 | | | | (48,199 | ) | | | 36,670 | | | | (84,869 | ) |
| Pay | | 10-Year USD Inflation Linked | | | 2.364% | | | | 5/10/28 | | | | USD | | | | 550,000 | | | | (48,905 | ) | | | 37,569 | | | | (86,474 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | $ | (445,932 | ) | | $ | 144,612 | | | $ | (590,544 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
At February 29, 2024, Inflation-Linked Fixed Income Fund deposited cash collateral with brokers in the amount of $605,000 for open centrally cleared swap contracts.
| | | | | | |
Currency Abbreviations used in this schedule: | | Counterparty Abbreviations used in this schedule: |
| AUD | | — Australian Dollar | | BCLY | | — Barclays Bank PLC |
| CAD | | — Canadian Dollar | | BNP | | — BNP Paribas SA |
| DKK | | — Danish Krone | | DUB | | — Deutsche Bank AG |
| EUR | | — Euro | | HSBC | | — HSBC Bank USA |
| GBP | | — British Pound | | JPM | | — JPMorgan Chase & Co. |
| JPY | | — Japanese Yen | | MLP | | — Merrill Lynch, Pierce, Fenner & Smith Inc. |
| NOK | | — Norwegian Krone | | SCB | | — Standard Chartered Bank |
| NZD | | — New Zealand Dollar | | SOG | | — Societe Generale SA |
| SEK | | — Swedish Krona | | | | |
| SGD | | — Singapore Dollar | | | | |
| USD | | — United States Dollar | | | | |
| ZAR | | — South African Rand | | | | |
See pages 264-265 for definitions of ratings.
At February 29, 2024, Inflation-Linked Fixed Income Fund was involved in following sale-buyback transactions:
| | | | | | | | | | | | | | | | |
| Counterparty | | Borrowing
Date | | | Maturity
Date | | | Borrowing
Rate | | | Amount
Borrowed | |
BNP Paribas SA | | | 2/28/24 | | | | 3/14/24 | | | | 5.499 | % | | $ | 997,729 | |
BNP Paribas SA | | | 2/6/24 | | | | 3/5/24 | | | | 5.488 | % | | | 1,271,312 | |
| | | | | | | | | | | | | | | | |
| | | | |
| | | | | | | | | | | | $ 2,269,041 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
250
| | | | | | | | | | |
| Ultra-Short Term Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
| |
| CORPORATE BONDS & NOTES — 40.0% | | | |
|
| Aerospace/Defense — 0.2% | |
| $ | 500,000 | | | BBB- | | Boeing Co. (The), Senior Unsecured Notes, 4.875% due 5/1/25 | | $ | 495,553 | |
| | | | | | | | | | |
|
| Agriculture — 0.9% | |
| | | | | | Imperial Brands Finance PLC, Company Guaranteed Notes: | | | | |
| | 2,000,000 | | | BBB | | 3.125% due 7/26/24(a) | | | 1,978,814 | |
| | 700,000 | | | BBB | | 3.500% due 7/26/26(a) | | | 665,928 | |
| | 372,000 | | | BBB+ | | Reynolds American Inc., Company Guaranteed Notes, 4.450% due 6/12/25 | | | 366,338 | |
| | | | | | | | | | |
| | | | | | Total Agriculture | | | 3,011,080 | |
| | | | | | | | | | |
|
| Airlines — 0.6% | |
| | 2,000,000 | | | BB+ | | Delta Air Lines Inc., Senior Unsecured Notes, 2.900% due 10/28/24 | | | 1,961,726 | |
| | | | | | | | | | |
|
| Auto Manufacturers — 4.3% | |
| | 3,000,000 | | | A- | | American Honda Finance Corp., Senior Unsecured Notes, 5.894%
(SOFR + 0.550%) due 2/12/25(b) | | | 3,005,552 | |
| | | | | | Ford Motor Credit Co. LLC, Senior Unsecured Notes: | | | | |
| | 2,000,000 | | | BBB- | | 2.300% due 2/10/25 | | | 1,935,399 | |
| | 1,000,000 | | | BBB- | | 4.687% due 6/9/25 | | | 986,035 | |
| | 400,000 | | | BBB- | | 4.134% due 8/4/25 | | | 390,394 | |
| | 600,000 | | | BBB- | | 4.389% due 1/8/26 | | | 583,592 | |
| | | | | | General Motors Financial Co., Inc., Senior Unsecured Notes: | | | | |
| | 1,600,000 | | | BBB | | 2.900% due 2/26/25 | | | 1,556,705 | |
| | 200,000 | | | BBB | | 6.645% (SOFR + 1.300%) due 4/7/25(b) | | | 201,445 | |
| | 500,000 | | | BBB | | 6.694% (SOFR + 1.350%) due 5/8/27(b) | | | 502,404 | |
| | | | | | Hyundai Capital America, Senior Unsecured Notes: | | | | |
| | 2,600,000 | | | BBB+ | | 6.495% (SOFR + 1.150%) due 8/4/25(a)(b) | | | 2,608,125 | |
| | 700,000 | | | BBB+ | | 6.845% (SOFR + 1.500%) due 1/8/27(a)(b) | | | 704,477 | |
| | 1,500,000 | | | BB+ | | Nissan Motor Acceptance Co. LLC, Senior Unsecured Notes, 6.282%
(3-Month Term SOFR + 0.902%) due 3/8/24(a)(b) | | | 1,500,020 | |
| | | | | | | | | | |
| | | | | | Total Auto Manufacturers | | | 13,974,148 | |
| | | | | | | | | | |
|
| Auto Parts & Equipment — 0.6% | |
| | 2,000,000 | | | BBB | | Aptiv PLC/Aptiv Corp., Company Guaranteed Notes, 2.396% due 2/18/25 | | | 1,939,016 | |
| | | | | | | | | | |
|
| Banks — 17.4% | |
| | 1,000,000 | | | BBB | | Aozora Bank Ltd., Senior Unsecured Notes, 1.050% due 9/9/24 | | | 967,322 | |
| | 150,000 | | | A+ | | Banco Santander SA, Senior Preferred Notes, 3.892% due 5/24/24 | | | 149,430 | |
| | | | | | Bank of America Corp., Senior Unsecured Notes: | | | | |
| | 200,000 | | | A- | | 3.458% (3-Month Term SOFR + 1.232%) due 3/15/25(b) | | | 199,841 | |
| | 3,400,000 | | | A- | | 0.976% (SOFR + 0.690%) due 4/22/25(b) | | | 3,375,114 | |
| | 500,000 | | | A- | | 3.841% (SOFR + 1.110%) due 4/25/25(b) | | | 498,474 | |
| | 600,000 | | | A- | | 6.304% (3-Month Term SOFR + 1.032%) due 2/5/26(b) | | | 602,327 | |
| | 200,000 | | | A- | | 6.677% (SOFR + 1.330%) due 4/2/26(b) | | | 201,563 | |
| | 200,000 | | | A+ | | Banque Federative du Credit Mutuel SA, Senior Preferred Notes, 6.745%
(SOFR + 1.400%) due 7/13/26(a)(b) | | | 203,173 | |
| | 3,100,000 | | | BBB+ | | Barclays PLC, Senior Unsecured Notes, 3.932%
(3-Month USD-LIBOR + 1.610%) due 5/7/25(b) | | | 3,088,024 | |
| | | | | | BNP Paribas SA, Senior Non-Preferred Notes: | | | | |
| | 2,325,000 | | | A- | | 3.375% due 1/9/25(a) | | | 2,282,473 | |
| | 1,200,000 | | | A- | | 2.819% (3-Month Term SOFR + 1.373%) due 11/19/25(a)(b) | | | 1,174,322 | |
| | 3,000,000 | | | BBB+ | | Citigroup Inc., Senior Unsecured Notes, 3.352%
(3-Month Term SOFR + 1.158%) due 4/24/25(b) | | | 2,988,694 | |
| | | | | | Credit Suisse AG, Senior Unsecured Notes: | | | | |
| | 500,000 | | | A+ | | 4.750% due 8/9/24 | | | 497,763 | |
| | 2,500,000 | | | A+ | | 3.625% due 9/9/24 | | | 2,474,477 | |
See Notes to Financial Statements.
251
| | | | | | | | | | |
| Ultra-Short Term Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Banks — 17.4% — (continued) | |
| $ | 1,000,000 | | | BBB+ | | Danske Bank AS, Senior Non-Preferred Notes, 6.466%
(1-Year CMT Index + 2.100%) due 1/9/26(a)(b) | | $ | 1,003,993 | |
| | 400,000 | | | BBB | | Deutsche Bank AG, Senior Non-Preferred Notes, 3.700% due 5/30/24 | | | 397,677 | |
| | 1,237,000 | | | A | | Deutsche Bank AG, (Cost — $1,229,710, acquired 3/31/22), Senior Preferred Notes, 0.898% due 5/28/24(c) | | | 1,223,627 | |
| | 1,700,000 | | | BBB | | Deutsche Bank AG, (Cost — $1,664,305, acquired 9/20/23), Senior Non-Preferred Notes, 1.447%
(SOFR + 1.131%) due 4/1/25(b)(c) | | | 1,693,237 | |
| | | | | | DNB Bank ASA: | | | | |
| | 500,000 | | | A | | Senior Non-Preferred Notes, 1.127% (1-Year CMT Index + 0.850%) due 9/16/26(a)(b) | | | 466,510 | |
| | 400,000 | | | AA- | | Senior Preferred Notes, 2.968% (SOFR + 0.810%) due 3/28/25(a)(b) | | | 399,188 | |
| | | | | | Goldman Sachs Group Inc. (The), Senior Unsecured Notes: | | | | |
| | 2,000,000 | | | BBB+ | | 5.700% due 11/1/24 | | | 2,001,337 | |
| | 900,000 | | | BBB+ | | 3.272% (3-Month Term SOFR + 1.463%) due 9/29/25(b) | | | 887,519 | |
| | 5,900,000 | | | A- | | HSBC Holdings PLC, Senior Unsecured Notes, 6.863%
(3-Month Term SOFR + 1.492%) due 3/11/25(b) | | | 5,901,264 | |
| | | | | | ING Groep NV, Senior Unsecured Notes: | | | | |
| | 1,600,000 | | | A- | | 6.993% (SOFR + 1.640%) due 3/28/26(b) | | | 1,620,307 | |
| | 1,900,000 | | | A- | | 6.363% (SOFR + 1.010%) due 4/1/27(b) | | | 1,908,633 | |
| | | | | | JPMorgan Chase & Co., Senior Unsecured Notes: | | | | |
| | 2,300,000 | | | A- | | 3.220% (3-Month Term SOFR + 1.417%) due 3/1/25(b) | | | 2,300,226 | |
| | 500,000 | | | A- | | 2.301% (SOFR + 1.160%) due 10/15/25(b) | | | 489,877 | |
| | 300,000 | | | A- | | 6.265% (SOFR + 0.920%) due 2/24/26(b) | | | 301,347 | |
| | | | | | Lloyds Banking Group PLC, Senior Unsecured Notes: | | | | |
| | 2,200,000 | | | BBB+ | | 3.870% (1-Year CMT Index + 3.500%) due 7/9/25(b) | | | 2,183,778 | |
| | 900,000 | | | BBB+ | | 4.716% (1-Year CMT Index + 1.750%) due 8/11/26(b) | | | 887,982 | |
| | 1,900,000 | | | BBB+ | | NatWest Group PLC, Senior Unsecured Notes, 4.269%
(3-Month USD-LIBOR + 1.762%) due 3/22/25(b) | | | 1,898,366 | |
| | | | | | NatWest Markets PLC, Senior Unsecured Notes: | | | | |
| | 1,000,000 | | | A | | 6.803% (SOFR + 1.450%) due 3/22/25(a)(b) | | | 1,009,885 | |
| | 300,000 | | | A | | 6.112% (SOFR + 0.760%) due 9/29/26(a)(b) | | | 297,671 | |
| | 600,000 | | | AA- | | Nordea Bank Abp, Senior Preferred Notes, 6.315%
(SOFR + 0.960%) due 6/6/25(a)(b) | | | 605,024 | |
| | | | | | Societe Generale SA, Senior Non-Preferred Notes: | | | | |
| | 800,000 | | | BBB | | 3.875% due 3/28/24(a) | | | 798,685 | |
| | 2,300,000 | | | BBB | | 2.625% due 1/22/25(a) | | | 2,235,082 | |
| | | | | | Standard Chartered PLC, Senior Unsecured Notes: | | | | |
| | 1,700,000 | | | BBB+ | | 3.785% (3-Month USD-LIBOR + 1.560%) due 5/21/25(a)(b) | | | 1,691,019 | |
| | 1,400,000 | | | BBB+ | | 7.092% (SOFR + 1.740%) due 3/30/26(a)(b) | | | 1,409,424 | |
| | | | | | Wells Fargo & Co., Senior Unsecured Notes: | | | | |
| | 2,700,000 | | | BBB+ | | 2.406% (3-Month Term SOFR + 1.087%) due 10/30/25(b) | | | 2,641,824 | |
| | 1,300,000 | | | BBB+ | | 2.164% (3-Month Term SOFR + 1.012%) due 2/11/26(b) | | | 1,257,662 | |
| | 400,000 | | | BBB+ | | 6.665% (SOFR + 1.320%) due 4/25/26(b) | | | 403,566 | |
| | | | | | | | | | |
| | | | | | Total Banks | | | 56,617,707 | |
| | | | | | | | | | |
|
| Beverages — 0.6% | |
| | 2,100,000 | | | BBB- | | JDE Peet’s NV, Company Guaranteed Notes, 0.800% due 9/24/24(a) | | | 2,038,516 | |
| | | | | | | | | | |
|
| Cosmetics/Personal Care — 0.9% | |
| | 3,000,000 | | | BBB | | Haleon US Capital LLC, Company Guaranteed Notes, 3.024% due 3/24/24 | | | 2,994,994 | |
| | | | | | | | | | |
|
| Diversified Financial Services — 4.8% | |
| | 2,600,000 | | | BBB | | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Company Guaranteed Notes, 3.500% due 1/15/25 | | | 2,552,121 | |
| | 3,000,000 | | | BBB- | | Ally Financial Inc., Senior Unsecured Notes, 5.125% due 9/30/24 | | | 2,987,199 | |
| | 200,000 | | | BBB- | | Aviation Capital Group LLC, Senior Unsecured Notes, 5.500% due 12/15/24(a) | | | 198,994 | |
See Notes to Financial Statements.
252
| | | | | | | | | | |
| Ultra-Short Term Fixed Income Fund | |
| | | |
Face
Amount/Units† | | | Rating†† | | Security | | Value | |
|
| Diversified Financial Services — 4.8% — (continued) | |
| | | | | | Avolon Holdings Funding Ltd., Company Guaranteed Notes: | | | | |
| $ | 700,000 | | | BBB- | | 3.950% due 7/1/24(a) | | $ | 694,823 | |
| | 700,000 | | | BBB- | | 2.875% due 2/15/25(a) | | | 679,557 | |
| | 2,800,000 | | | BBB- | | Cantor Fitzgerald LP, Senior Unsecured Notes, 4.875% due 5/1/24(a) | | | 2,793,994 | |
| | 800,000 | | | A- | | LeasePlan Corp. NV, Senior Unsecured Notes, 2.875% due 10/24/24(a) | | | 785,017 | |
| | 3,700,000 | | | BBB+ | | Nomura Holdings Inc., Senior Unsecured Notes, 2.648% due 1/16/25 | | | 3,603,692 | |
| | | | | | Synchrony Financial, Senior Unsecured Notes: | | | | |
| | 400,000 | | | BBB- | | 4.375% due 3/19/24 | | | 399,704 | |
| | 900,000 | | | BBB- | | 4.250% due 8/15/24 | | | 891,813 | |
| | | |
